N-CSR 1 siitar5_07comb.txt SEI INST. INVEST. TRUST AR 5_07 UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSR -------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER 811-07257 SEI INSTITUTIONAL INVESTMENTS TRUST (Exact name of registrant as specified in charter) -------- c/o CT Corporation 101 Federal Street Boston, MA 02110 (Address of principal executive offices) (Zip code) SEI Investments One Freedom Valley Drive Oaks, PA 19456 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734 DATE OF FISCAL YEAR END: MAY 31, 2007 DATE OF REPORTING PERIOD: MAY 31, 2007 ITEM 1. REPORTS TO STOCKHOLDERS. SEI New ways. New answers.(R) -------------------------------------------------------------------------------- SEI Institutional Investments Trust -------------------------------------------------------------------------------- Annual Report as of May 31, 2007 -------------------------------------------------------------------------------- Large Cap Fund Large Cap Diversified Alpha Fund Large Cap Disciplined Equity Fund Large Cap Index Fund Small Cap Fund Small/Mid Cap Equity Fund International Equity Fund World Equity Ex-US Fund Enhanced Income Fund Core Fixed Income Fund High Yield Bond Fund Long Duration Fund Extended Duration Fund Emerging Markets Debt Fund Real Return Plus Fund TABLE OF CONTENTS ---------------------------------------------------------------- Management's Discussion and Analysis of Fund Performance 1 ---------------------------------------------------------------- Schedules of Investments 22 ---------------------------------------------------------------- Statements of Assets and Liabilities 230 ---------------------------------------------------------------- Statements of Operations 234 ---------------------------------------------------------------- Statements of Changes in Net Assets 238 ---------------------------------------------------------------- Financial Highlights 244 ---------------------------------------------------------------- Notes to Financial Statements 246 ---------------------------------------------------------------- Report of Independent Registered Public Accounting Firm 260 ---------------------------------------------------------------- Trustees and Officers of the Trust 261 ---------------------------------------------------------------- Disclosure of Fund Expenses 265 ---------------------------------------------------------------- Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements 267 ---------------------------------------------------------------- Notice to Shareholders 270 ---------------------------------------------------------------- The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q are available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Large Cap Fund Objective The Large Cap Fund (the "Fund") seeks to provide long-term growth of capital and income. Strategy The Fund employs a multi-manager structure under the general supervision of SEI Investments Management Corporation (SIMC) to gain exposure to the entire large cap sector, adding value through stock selection while controlling risk in the form of capitalization and economic sector exposures. The Fund is jointly sub-advised by eight investment managers. Assets of the Fund are allocated among its sub-advisers, each of which has responsibility for stock selection for its respective assets under management. Analysis The U.S. equity market, as measured by the Russell 1000 Index, returned close to 23% for the fiscal year ended May 31, 2007. The twelve-month period witnessed a steady advance in U.S. large caps as every month but February had positive returns. The fiscal year began on a strong note as investors became confident that the two-year old Federal Reserve interest rate hike campaign would be ending. The rally continued unabated throughout the remainder of 2006 and into 2007 as investors became more comfortable with a "Goldilocks scenario": strong enough growth to stave off a recession, but not so strong as to spark inflation. Market volatility remained at historical lows as continued strong corporate earnings, a torrid pace of mergers & acquisition activity and low unemployment provided support for stocks. The rally continued for the first five months of 2007 despite fallout in the sub-prime market and a sharp one-day market sell-off at the end of February. Throughout the fiscal year, the volatile price of oil continued to have a meaningful impact on markets. Falling prices in the second half of 2006 helped to perpetuate the rally though this impact waned as oil prices rebounded starting in late January. Value stocks outperformed growth by over 5% for the fiscal year ended May 31, 2007, though most of this differential was realized in the first two months of the fiscal year. The fastest growing and most expensive stock quintiles in the Russell 1000 Index were the notable laggards. The long running underperformance of large caps relative to small caps waned during the fiscal year as the Russell 1000 Index outperformed the Russell 2000 Index by 4%. Reflecting the breadth of the large cap market rally over the period, each of the ten sectors had double digit returns and seven posted returns greater than 20%. Telecommunication services led the rally with close to a 50% return as the sector began to recover from its multi-year post-bubble losses. The materials and utilities sectors also rallied strongly during the period with returns above 30%. The Fund underperformed its benchmark with a return of 21.97% for the fiscal year ended May 31, 2007. The Fund's benchmark, the Russell 1000 Index, returned 22.93%. Underperformance can be attributed to negative stock selection within the technology sector and to a lesser extent negative stock selection in consumer staples. Two of the three fundamental growth managers, Delaware Management Company and Montag & Caldwell, Inc. fell short of both the Russell 1000 and Russell 1000 Growth benchmarks in a difficult growth environment. In particular negative stock selection within technology accounted for the vast majority of Delaware Management Company's underperformance, while energy stock selection weighed on Montag & Caldwell, Inc. The third growth manager, Goldman Sachs Asset Management bested the Russell 1000 Growth Index during the fiscal year. The Fund benefited from strong stock selection within the diversified financial services and healthcare equipment industries. The three value managers in the strategy, AllianceBernstein, L.P., LSV Asset Management, and Aronson + Johnson + Ortiz, L.P. strongly outperformed the Russell 1000 Value benchmark. The core managers that were added during the 2006 fiscal year had mixed results. Quantitative Management Associates, LLC outperformed the Russell 1000 Index, while Enhanced Investment Technologies, LLC (Intech) fell short of the core benchmark for the period. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Large Cap Fund (concluded) Large Cap Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date -------------------------------------------------------------------------------- Large Cap Fund, Class A 21.97% 13.81% 9.70% 7.65% 9.41% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, Class A, versus the Russell 1000 Index [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS: Large Cap Fund, Russell 1000 Class A Index 5/31/97 $100,000 $100,000 5/31/98 133,360 130,710 5/31/99 159,232 157,257 5/31/00 173,722 176,065 5/31/01 153,674 157,103 5/31/02 131,607 136,145 5/31/03 119,788 125,649 5/31/04 141,794 149,409 5/31/05 154,583 163,483 5/31/06 171,387 178,818 5/31/07 209,040 219,821 1 For the period ended May 31, 2007. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- 2 SEI Institutional Investments Trust / Annual Report / May 31, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Large Cap Diversified Alpha Fund Objective The Large Cap Diversified Alpha Fund (the "Fund") seeks to provide long-term growth of capital by investing in the equity securities of large companies and in portfolio strategies designed to correlate to a portfolio composed of large cap equity securities. While the Fund is expected to have an absolute return and risk profile similar to the broad U.S. large cap equity market, returns may be derived in part from investing significant portions of the Fund in securities outside of the large cap market. Strategy The Fund uses a multi-manager approach under the general supervision of SEI Investments Management Corporation (SIMC), allocating the assets among multiple sub-advisers that use different investment strategies to seek to achieve returns in excess of the performance of a broad U.S. large cap benchmark. This allocation among investment strategies aims to diversify the sources from which sub-advisers seek to achieve excess returns (i.e., returns in excess of a benchmark index), and thereby diversify the relative risk of the Fund. Some sub-advisers may engage in short sales up to 30% of the value of their Fund allocation and use the proceeds from the sale to purchase long positions in additional equity securities. Some sub-advisers may also use portfolio strategies that are designed to correlate with a portfolio of large cap equity securities, but which are composed of derivative instruments backed by other types of securities. Aronson + Johnson + Ortiz, L.P., Analytic Investors, Inc., and Quantitative Management Associates, LLC seek to overweight stocks with attractive fundamental and/or technical characteristics and underweight or even short stocks with unattractive fundamental and/or technical characteristics. Enhanced Investment Technologies, LLC (INTECH) employs a volatility capture strategy, Delaware Management Company seeks to identify stocks with underappreciated growth characteristics, while Smith Breeden Associates, Inc. seeks to generate alpha within the U.S. fixed income market and transports it to the equity market. Analysis The U.S. equity market, as measured by the Russell 1000 Index, returned close to 23% for the fiscal year ended May 31, 2007. The twelve-month period witnessed a steady advance in U.S. large caps as every month but February had positive returns. The fiscal year began on a strong note as investors became confident that the two-year old Federal Reserve interest rate hike campaign would be ending. The rally continued unabated throughout the remainder of 2006 and into 2007 as investors became more comfortable with a "Goldilocks scenario": strong enough growth to stave off a recession, but not so strong as to spark inflation. Market volatility remained at historical lows as continued strong corporate earnings, a torrid pace of mergers & acquisition activity and low unemployment provided support for stocks. The rally continued for the first five months of 2007 despite fallout in the sub-prime market and a sharp one-day market sell-off at the end of February. Throughout the fiscal year, the volatile price of oil continued to have a meaningful impact on markets. Falling prices in the second half of 2006 helped to perpetuate the rally though this impact waned as oil prices rebounded starting in late January. Value stocks outperformed growth by over 5% for the fiscal year ended May 31, 2007, though most of this differential was realized in the first two months of the fiscal year. The fastest growing and most expensive stock quintiles in the Russell 1000 Index were the notable laggards. The long running underperformance of large caps relative to small caps waned during the fiscal year as the Russell 1000 Index outperformed the Russell 2000 Index by 4%. Reflecting the breadth of the large cap market rally over the period, each of the ten sectors had double digit returns and seven posted returns greater than 20%. Telecommunications services led the rally with close to a 50% return as the sector began to recover from its multi-year post-bubble losses. The materials and utilities sectors also rallied strongly during the period with returns above 30%. The Fund underperformed its benchmark with a return of 22.64% for the fiscal year ended May 31, 2007. The Fund's benchmark, the S&P 500 Index, returned 22.79%.The Fund was roughly in-line with the broad large cap market for the fiscal year ended May 31, 2007. The strategy had positive contributions from Aronson + Johnson + Ortiz, L.P., Analytic Investors, Inc., and Quantitative Management Associates, LLC. Their emphasis on value related factors in their model helped to drive performance, and they also benefited from the added flexibility of shorting stocks and re-investing the proceeds into additional long securities. Analytic Investors, Inc. generated particularly strong performance as it got an extra boost from its dynamic process of emphasizing stock characteristics in its model that have been in favor recently. Smith Breeden Associates, Inc. roughly matched the market return as the alpha generated in the first half of the fiscal year dissipated by the end of the fiscal year. INTECH lagged as individual -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Large Cap Diversified Alpha Fund (concluded) stock volatility remained low and correlations amongst stocks were somewhat higher than history. Finally, Delaware Management Company significantly underperformed as the market shunned stocks with high expected growth rates and a handful of negative stock events dragged down performance. Large Cap Diversified Alpha Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized One Year Inception Return to Date -------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund, Class A 22.64% 17.27% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Large Cap Diversified Alpha Fund, Class A, versus the S&P 500 Composite Index [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS: Large Cap Diversified Alpha Fund, S&P 500 Class A Composite Index 2/28/06 $100,000 $100,000 5/31/06 99,508 99,652 5/31/07 122,037 122,362 1 For the period ended May 31, 2007. Past performance is no indication of future performance. Class A shares were offered beginning 2/28/06. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- 4 SEI Institutional Investments Trust / Annual Report / May 31, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Large Cap Disciplined Equity Fund Objective The Large Cap Disciplined Equity Fund (the "Fund") seeks to provide long-term growth of capital by investing in the equity securities of large companies and in portfolio strategies designed to correlate to a portfolio composed of large cap equity securities. While the Fund is expected to have an absolute return and risk profile similar to the broad U.S. large cap equity market, returns may be derived in part from investing significant portions of the Fund in securities outside of the large cap market. Strategy The Fund seeks to exceed the total return of the S&P 500 Index, with a similar level of volatility, by investing primarily in a portfolio of common stocks included in the S&P 500 Index, as well as other equity securities and derivative instruments whose value is derived from the performance of the S&P 500 Index. The Fund also employs overlay strategies for return enhancement and alpha source diversification. The Fund uses a multi-manager approach, with five sub-advisers offering different investment philosophies to manage portions of the Fund's portfolio. All of the sub-advisers employ rigorous risk-control processes in order to manage relative risk against the benchmark. Analysis The U.S. equity market, as measured by the Russell 1000 Index, returned close to 23% for the fiscal year ended May 31, 2007. The twelve-month period witnessed a steady advance in U.S. large caps as every month but February had positive returns. The fiscal year began on a strong note as investors became confident that the two-year old Federal Reserve interest rate hike campaign would be ending. The rally continued unabated throughout the remainder of 2006 and into 2007 as investors became more comfortable with a "Goldilocks scenario": strong enough growth to stave off a recession, but not so strong as to spark inflation. Market volatility remained at historical lows as continued strong corporate earnings, a torrid pace of mergers & acquisition activity and low unemployment provided support for stocks. The rally continued for the first five months of 2007 despite fallout in the sub-prime market and a sharp one-day market sell-off at the end of February. Throughout the fiscal year, the volatile price of oil continued to have a meaningful impact on markets. Falling prices in the second half of 2006 helped to perpetuate the rally though this impact waned as oil prices rebounded starting in late January. Value stocks outperformed growth by over 5% for the fiscal year ended May 31, 2007, though most of this differential was realized in the first two months of the fiscal year. The fastest growing and most expensive stock quintiles in the Russell 1000 Index were the notable laggards. The long running underperformance of large caps relative to small caps waned during the fiscal year as the Russell 1000 Index outperformed the Russell 2000 Index by 4%. Reflecting the breadth of the large cap market rally over the period, each of the ten sectors had double digit returns and seven posted returns greater than 20%.Telecommunications services led the rally with close to a 50% return as the sector began to recover from its multi-year post-bubble losses. The materials and utilities sectors also rallied strongly during the period with returns above 30%. The Fund outperformed the large cap market for the fiscal year ended May 31, 2007. The Fund outperformed its benchmark with a return of 23.15% for the fiscal year ended May 31, 2007. The Fund's benchmark, the S&P 500 Index, returned 22.79%. Analytic Investors, Inc. (`Analytic') strongly outperformed for the period, while Enhanced Investment Technologies, LLC (Intech) lagged. Quantitative Management Associates, LLC (`QMA') modestly outperformed, while Smith Breeden Associates, Inc. (`Smith Breeden') and AlphaSimplex Group, LLC (`AlphaSimplex') modestly lagged the large cap market. Analytic and QMA performed particularly well due to their emphasis on stocks with attractive valuations and positive earnings sentiment. Intech's volatility capture process struggled during the fiscal year as individual stock volatility remained low, and stocks with higher volatility generally underperformed those with lower volatility. Smith Breeden, which transports its active returns from fixed income onto equities lagged for the period due to spread widening in asset- and mortgage-backed securities. AlphaSimplex's mandate lagged for the period due primarily to equity stock-picking model. There were no sub-adviser changes during the fiscal year; however, AlphaSimplex's mandate was changed from an equity stock picking allocation combined with a global tactical asset allocation overlay (`GTAA') strategy to solely a GTAA overlay strategy. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Large Cap Disciplined Equity Fund (concluded) Large Cap Disciplined Equity Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized One Year Three Year Inception Return Return to Date -------------------------------------------------------------------------------- Large Cap Disciplined Equity Fund, Class A 23.15% 14.08% 14.82% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Large Cap Disciplined Equity Fund, Class A, versus the S&P 500 Composite Index [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS: Large Cap Disciplined Equity Fund, S&P 500 Class A Composite Index 8/28/03 $100,000 $100,000 5/31/04 113,235 114,353 5/31/05 124,853 123,776 5/31/06 136,502 134,470 5/31/07 168,102 165,116 1 For the period ended May 31, 2007. Past performance is not an indication of future performance. Class A shares were offered beginning 8/28/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- 6 SEI Institutional Investments Trust / Annual Report / May 31, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Large Cap Index Fund Objective The Large Cap Index Fund (the "Fund") seeks to provide investment results that correspond to the aggregate price and dividend performance of the securities in the Russell 1000 Index (the "Index"). Strategy The Fund attempts to match the performance of the widely followed Index by replicating its composition in full. Deviation of performance between the Fund and the Index, measured by tracking error, is typically attributable to trading costs and cash reserves held for liquidity needs. The presence of cash in the Fund may result in underperformance relative to the Index in rising markets, and out-performance in declining markets. To mitigate these effects, the Fund may use stock index futures to hedge its cash position. Futures contracts enable the Fund to maintain exposure to the market with reduced trading expenses, since the cost of the futures contracts is relatively nominal. The value of the stock index futures held by the Fund may not exceed 20% of the Fund's assets. Analysis The Fund performed in line with the Russell 1000 Index with a return of 22.87% for the fiscal year ended May 31, 2007. The Fund's benchmark, the Russell 1000 Index, returned 22.93%. The twelve-month period witnessed a steady advance in U.S. large caps as every month but February had positive returns. The fiscal year began on a strong note as investors became confident that the two year old Federal Reserve interest rate hike campaign would be ending. The rally continued unabated throughout the remainder of 2006 and into 2007 as investors became more comfortable with a "Goldilocks scenario": strong enough growth to stave off a recession, but not so strong as to spark inflation. Market volatility remained at historical lows as continued strong corporate earnings, a torrid pace of mergers & acquisition activity and low unemployment provided support for stocks. The rally continued for the first five months of 2007 despite fallout in the sub-prime market and a sharp one-day market sell-off at the end of February. Throughout the fiscal year, the volatile price of oil continued to have a meaningful impact on markets. Falling prices in the second half of 2006 helped to perpetuate the rally though this impact waned as oil prices rebounded starting in late January. Value stocks outperformed growth by over 5% for the fiscal year ended May 31, 2007, though most of this differential was realized in the first two months of the fiscal year. The fastest growing and most expensive stock quintiles in the Russell 1000 Index were the notable laggards. The long running underperformance of large caps relative to small caps waned during the fiscal year as the Russell 1000 Index outperformed the Russell 2000 Index by 4%. Reflecting the breadth of the large cap market rally over the period, each of the ten sectors had double digit returns and seven posted returns greater than 20%.Telecommunications services led the rally with close to a 50% return as the sector began to recover from its multi-year post-bubble losses. The materials and utilities sectors also rallied strongly during the period with returns above 30%. Large Cap Index Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized One Year 3 Year 5 Year Inception Return Return Return to Date -------------------------------------------------------------------------------- Large Cap Index Fund, Class A 22.87% 13.66% 9.95% 8.18% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Large Cap Index Fund, Class A, versus the Russell 1000 Index [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS: Large Cap Index Fund, Russell 1000 Class A Index 4/1/02 $100,000 $100,000 5/31/02 93,404 93,440 5/31/03 86,128 86,236 5/31/04 102,243 102,543 5/31/05 111,741 112,203 5/31/06 122,177 122,728 5/31/07 150,119 150,869 1 For the period ended May 31, 2007. Past performance is not an indication of future performance. Class A shares were offered beginning 4/1/02. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Small Cap Fund Objective The Small Cap Fund (the "Fund") seeks to provide long-term capital appreciation by investing in equity securities of smaller companies. Strategy With respect to this Fund, SEI Investments ('SEI') employs a multi-manager structure to gain exposure to small cap stocks, adding value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by fifteen investment managers. Assets of the Fund are strategically allocated among its sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Changes to Portfolio PanAgora Asset Management, Inc. ('Panagora') was added to the Fund in November 2006 for a Russell 2000 mandate. The manager, new to SEI's small cap mandates in 2006, brings a diversifying source of excess returns to the Fund. Panagora provides broad coverage over the investment universe by applying disciplined processes in which each stock is given a unique weighting to factors such as growth, value, and beta. The stocks are then evaluated based on their unique factor weightings and the performance of those and other factors in the marketplace. The manager also uses strict portfolio construction technology to avoid unnecessary risk. Robeco Investment Management, Inc. was also brought into the Fund in November 2006, for a Russell 2000 Value mandate, and is new to SEI's small cap equity mandates. The product seeks to exploit market anomalies through both traditional value investments and special situations, investing when a near-term, positive catalyst exists at company and sector levels. Portfolio companies should exhibit excellent cash flow characteristics, strong management teams and identifiable positive catalysts as well as high return on invested capital, dominant market shares, and compelling valuations. Risk control is managed through stock selection, portfolio construction and a disciplined investment process with rigorous buy criteria. Analysis The small cap market, as measured by the Russell 2000 Index, generated 18.92% for the fiscal year ended May 31, 2007. The period had a slow start with regard to total return, as value stocks outpaced growth stocks, but picked up substantially in the fourth quarter of 2006 when growth stocks pulled ahead. Before the inflection point, volatile stocks and uncertainty regarding tension in the Middle East made investors more risk-averse, bidding up securities in the utilities and consumer staples sectors, as the value index bested the growth index. Beginning in the fourth quarter of 2006, strong mergers & acquisition activity helped advance market returns. Information technology stocks, especially within the software and services area, saw businesses' anticipated return to spending. Materials stocks bested the broad market on sustained high prices of raw materials as well as demand from emerging economies such as China, and supply issues boosted energy returns. Pharmaceuticals and biotech stocks underperformed the broader market for the period, as there has been increased difficulty in passing drugs through the FDA due to its more conservative approach. Though the housing market and REITs have had a tough time so far in 2007, bank securities were hardest hit when sub-prime lenders were affected by the news of deteriorating credit quality, which created a scare throughout the industry. The Fund performed well for the fiscal year ended May 31, 2007, with a return of 20.32%. The Fund's benchmark, the Russell 2000 Index, returned 18.92%. Stock selection contributed heavily to the return. The growth team at Lee Munder Investments, Ltd. added nicely to the Fund's return from information technology, while value manager David J. Greene and Company, LLC posted superior numbers in the capital goods area. Telecommunications stocks provided an advantage to the Fund; Wellington Management Company, LLP was a driver behind that return. Key stocks in the consumer durables and apparel, including those of shoe and handbag manufacturers, also boosted the Fund's performance. An underweight to the bank industry, especially seen in the portfolio of Artisan Partners Limited Partnership, but present in most value managers' portfolios, gave the Fund a significant edge. Growth, in the form of high forward-price-to-earnings stocks, hurt core manager Martingale Asset Management, L.P., while Los Angeles Capital Management and Equity Research, Inc. was helped by its tendency to hold stocks on the larger end of the capitalization spectrum. Despite positive stock selection, an overweight to apartments caused underperformance for the dedicated REIT manager, Security Capital Research and Management Incorporated. The Fund is positioned to capture the opportunities in the small cap area of the market under a variety of market conditions. To this end, the Fund targets a style-neutral position relative to the Russell 2000 Index, in order to control unnecessary risks and put the focus on stock selection by the specialist sub-advisers. However, the Fund does have a positive allocation to information technology on the expectation that businesses will spend on technology to improve productivity, and is underweight banks which managers believe to be overvalued. -------------------------------------------------------------------------------- 8 SEI Institutional Investments Trust / Annual Report / May 31, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Small Cap Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date -------------------------------------------------------------------------------- Small Cap Fund, Class A 20.32% 16.26% 14.04% 11.35% 11.19% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Small Cap Fund, Class A, versus the Russell 2000 Index [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS: Small Cap Fund, Russell 2000 Class A Index 5/31/97 $100,000 $100,000 5/31/98 126,680 121,240 5/31/99 119,320 117,979 5/31/00 144,449 129,670 5/31/01 156,568 137,049 5/31/02 151,887 136,363 5/31/03 141,513 125,209 5/31/04 186,457 163,135 5/31/05 204,749 179,154 5/31/06 243,507 211,832 5/31/07 292,988 251,911 1 For the period ended May 31, 2007. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 9 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Small/Mid Cap Equity Fund Objective The Small-Mid Cap Equity Fund (the "Fund") seeks to provide long-term capital appreciation by investing in equity securities of smaller-to-mid cap companies. Strategy SEI Investments ('SEI') employs a multi-manager structure in the Fund, focusing on smaller-to-mid cap securities. The Fund adds value through stock selection while minimizing risk in the form of capitalization, valuation and economic sector exposures. The Fund is jointly sub-advised by eleven investment managers. Assets of the Fund are strategically allocated among its various sub-advisers, each of which has a responsibility for stock selection for its respective assets under management. Changes to Portfolio PanAgora Asset Management ('Panagora') was added to the Fund in October 2006 for a Russell 2500 Index mandate. The manager, new to SEI's small cap mandates in 2006, brings a diversifying source of excess returns to the Fund. Panagora provides broad coverage over the investment universe by applying disciplined processes in which each stock is given a unique weighting to factors such as growth, value, and beta. The stocks are then evaluated based on their unique factor weightings and the performance of those and other factors in the marketplace. The manager also uses strict portfolio construction technology to avoid unnecessary risk. Lee Munder Investments, Ltd. ('Lee Munder') was brought into the Fund two months later, in January 2007, for a Russell 2500 Index mandate. The manager has been in various SEI funds since 2003, and a different team in the same firm, focusing on growth investments, has been in SEI funds since 2002. The Lee Munder value product uses a classic value approach of identifying quality businesses at attractive valuations relative to the companies' peers, sectors, and market as a whole. The manager lessens risk through its constraints regarding sector and position size. Analysis The small-mid cap market, as measured by the Russell 2500 Index, generated 20.96% for the fiscal year ended May 31, 2007. The period had a slow start with regard to total return, as value stocks outpaced growth stocks, but picked up substantially in the fourth quarter of 2006 when growth stocks pulled ahead. Before the inflection point, volatile stocks and uncertainty regarding tension in the Middle East made investors more risk-averse, bidding up securities in the utilities and consumer staples sectors, as the value index bested the growth index. Beginning in the fourth quarter, strong mergers & acquisition activity helped advance market returns. Information technology stocks, especially within the software and services area, are starting to benefit from businesses' anticipated return to spending. Materials stocks bested the broad market on sustained high prices of raw materials as well as demand from emerging economies such as China, and supply issues boosted energy returns. Pharmaceuticals and biotech stocks underperformed the broader market for the period, as there has been increased difficulty in passing drugs through the FDA due to its more conservative approach. The housing market and REITs have had a tough time so far in 2007; bank securities were also hit hard when subprime lenders were affected by the news of deteriorating credit quality, which created a scare throughout the industry. The Fund has performed well for the fiscal year ended May 31, 2007, yielded 21.60%. The Fund's benchmark, the Russell 2500 Index, also had a strong year, returned 20.96%. Stock selection was the main contributor to the return. Individual holdings in the information technology sector boosted the Fund's returns, especially due to the work of Lee Munder Investments' growth team. Key stocks in the consumer durables and apparel, including those of shoe and handbag manufacturers, also boosted the Fund's performance. An underweight to the bank industry, especially seen in the portfolio of Artisan Partners Limited Partnership, but present in most value managers' portfolios, gave the Fund an edge - though it was lost due to individual holdings in the area. Stock selection in consumer staples, and an overweight to that area, helped the Fund via value managers BlackRock Capital Management, Inc. and LSV Asset Management. Despite Wellington Capital Management Company's efforts in materials, the Fund as a whole was hurt from an underweight to that sector, which outperformed the greater market over the period. Stock selection in biotech and pharmaceuticals detracted as well, in part from holdings in Delaware Management Company's portfolio. Core manager Los Angeles Capital Management and Equity Research, Inc. had strong returns for the year, while growth, in the form of high forward-price-to-earnings stocks, hurt core manager Martingale Asset Management, L.P. The dedicated REIT (Real Estate Investment Trust) manager, Security Capital Research and Management Incorporated, posted positive stock selection for its portfolio, but an overweight to apartments caused underperformance. The Fund is positioned to capture the opportunities in the small/mid cap area of the market under a variety of market conditions. To this end, the Fund generally targets a style-neutral position relative to the Russell 2500 Index, in order to control unnecessary risks and put the -------------------------------------------------------------------------------- 10 SEI Institutional Investments Trust / Annual Report / May 31, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 focus on stock selection by the specialist sub-advisers. However, the Fund does have positive allocation to information technology in expectation of businesses spending on technology to improve productivity. Small/Mid Cap Equity Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized One Year 3 Year Inception Return Return to Date -------------------------------------------------------------------------------- Small/Mid Cap Equity Fund, Class A 21.60% 17.45% 17.28% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Small/Mid Cap Equity Fund, Class A, versus the Russell 2500 Index [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS: Small/Mid Cap Equity Fund, Russell 2500 Class A Index 12/15/03 $100,000 $100,000 5/31/04 107,145 105,145 5/31/05 121,481 118,625 5/31/06 142,752 138,922 5/31/07 173,587 168,040 1 For the period ended May 31, 2007. Past performance is not an indication of future performance. Class A shares were offered beginning 12/15/03. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 11 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 International Equity Fund Objective The International Equity Fund (the "Fund") seeks to provide capital appreciation. Changes to Portfolio In November 2006, Morgan Stanley Investment Management Limited was replaced by a quantitative manager AXA Rosenberg Investment Management, Inc. ('AXA'). AXA brings a diversifying source of excess return with a well constructed systematic approach that removes human emotion through robust fundamental analysis and risk management. Record Currency Management Limited ('Record') was also introduced into the strategy in August of 2006. Record was hired as an overlay currency strategy to hedge implicit currency bets and provide excess returns to make the fund more efficient. Analysis For the fiscal year ended May 31, 2007, the global equity markets continued to rally, with the benchmark, Morgan Stanley MSCI EAFE Index, rising nearly 27%. Markets ended strong in 2006 and continued to perform well for the first month and a half of 2007. However, in late February, a sell-off in the Shanghai "A" shares market rippled across the globe, along with the sub-prime market concerns and fear surrounding reversal of the Japanese carry trade. The markets rebounded well in subsequent months. The fiscal year ended May 31, 2007 produced strong numbers on the back of continued mergers & acquisition activity, especially in Europe, robust global growth in-spite of higher commodity prices, and improved corporate profitability in the global markets. U.S. investors benefited from the weakening U.S. dollar in the international markets. Europe was the strongest performing region due to strong mergers & acquisition activity, especially in the utilities sector. Among the benchmark, the Morgan Stanley MSCI EAFE Index, countries, Portugal, Denmark, Sweden, Spain and Germany posted strong returns for the year. Singapore was the strongest performing country in the benchmark during this period. Japan lagged the benchmark although it was still net positive for the year. Utilities, industrials and materials were the strongest performing sectors, while energy, information technology and the defensive sector, health care, underperformed the benchmark. In spite of the lack of dispersion in the markets, the Fund performed close to expectations delivering a solid return over the benchmark. The Fund outperformed its benchmark with a return of 28.00% for the fiscal year ended May 31, 2007. The Fund's benchmark, the Morgan Stanley MSCI EAFE Index, returned 26.84%. Strong stock selection in industrials, consumer discretionary, and an overweight and good stock picking in materials were strong contributors to the Fund's performance. Strong stock picking in countries such as Italy, France, United Kingdom, Japan and Spain and an exposure to emerging market nations also contributed to out-performance. International Equity Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date -------------------------------------------------------------------------------- International Equity Fund, Class A 28.00% 23.93% 16.50% 8.65% 8.58% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the International Equity Fund, Class A, versus the Morgan Stanley MSCI EAFE Index [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS: International Morgan Stanley Equity Fund, MSCI EAFE Class A Index 5/31/97 $100,000 $100,000 5/31/98 110,400 111,110 5/31/99 118,051 115,954 5/31/00 144,990 135,829 5/31/01 118,587 112,426 5/31/02 106,812 101,633 5/31/03 91,399 89,132 5/31/04 120,399 118,242 5/31/05 136,930 135,529 5/31/06 179,064 173,803 5/31/07 229,202 220,452 1 For the period ended May 31, 2007. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- 12 SEI Institutional Investments Trust / Annual Report / May 31, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 World Equity Ex-US Fund Objective The World Equity Ex-US Fund (the "Fund") seeks to provide capital appreciation. Changes to Portfolio In November 2006, Morgan Stanley Investment Management Limited was replaced by a quantitative manager, AXA Rosenberg Investment Management, Inc. ('AXA'). AXA brings a diversifying source of excess return with a well constructed systematic approach that removes human emotion through robust fundamental analysis and risk management. Record Currency Management Limited ('Record') was also introduced into the strategy in August of 2006. Record was hired as an overlay currency strategy to hedge implicit currency bets and provide excess returns on to make the fund more efficient. Analysis For the year ended May 31, 2007, the global equity markets continued to rally, with the benchmark, Morgan Stanley MSCI World Ex-US Index, rising nearly 29%. Markets ended strong in 2006 and continued to perform well for the first month and a half of 2007. However, in late February, a sell-off in the Shanghai "A" shares market rippled across the globe, along with the sub-prime market concerns and fear surrounding reversal of the Japanese carry trade. The markets rebounded well in subsequent months. The fiscal year ended May 31, 2007 produced strong numbers on the back of continued mergers & acquisition activity, especially in Europe, robust global growth in-spite of higher commodity prices, and improved corporate profitability in the global markets. U.S. investors benefited from the weakening U.S. dollar in the international markets. Europe was the strongest performing region due to strong mergers & acquisition activity, especially in the utilities sector. Among the developed countries, Portugal, Denmark, Sweden, Spain and Germany posted strong returns for the year. Singapore was the strongest performing developed country in the benchmark during this period. In emerging markets, Philippines, Mexico, China, Brazil, Malaysia, India and Indonesia had a strong year. Japan, Taiwan and Russia lagged the benchmark although they were still net positive for the year. Utilities, telecommunication services and materials were the strongest performing sectors, while energy, information technology and the defensive sector, health care, underperformed the benchmark. The Fund posted strong returns for the fiscal year ended May 31, 2007. The Fund outperformed its benchmark with a return of 30.29% for the fiscal year ended May 31, 2007. The Fund's benchmark, the Morgan Stanley MSCI Ex-US Index, returned 28.92%.Strong stock selection in developed countries such as Italy, Japan, France, Hong Kong and Spain were strong contributors to performance. The Fund also performed well in emerging market nations especially in China where an overweight coupled with strong stock selection helped. An overweight to Mexico and strong stock selection in Russia also added value. Strong stock selection industrials, energy, financials and telecommunication services benefited the Fund. World Equity Ex-US Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized One Year Inception Return to Date -------------------------------------------------------------------------------- World Equity Ex-US Fund, Class A 30.29% 27.86% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the World Equity Ex-US Fund, Class A, versus the Morgan Stanley MSCI World Ex-US Index [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS: World Equity Morgan Stanley MSCI Ex-US Fund, World Ex-US Class A Index 3/28/05 $100,000 $100,000 5/31/05 98,000 98,055 5/31/06 130,850 126,618 5/31/07 170,485 160,552 1 For the period ended May 31, 2007. Past performance is not an indication of future performance. Class A shares were offered beginning 3/28/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 13 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Core Fixed Income Fund Objective The Core Fixed Income Fund (the "Fund") seeks to provide current income consistent with the preservation of capital. Strategy The Fund's investment strategy focuses on sector rotation, both among and within sectors, and issue selection. Risk is principally controlled by explicitly limiting fund interest rate exposure relative to the Lehman Aggregate Bond Index. The Fund's sub-advisers focus on four key areas in determining portfolio structure: duration weighting, term structure, sector allocation, and issue selection. While the duration and term structure decision underlie the implementation process, the sub-advisers primarily concentrate on sector and issue selection to add value. In addition, the sub-advisers may use derivatives for tactical hedging purposes and to implement portfolio strategies more efficiently. Analysis The Fund outperformed its benchmark with a return of 6.95% for the fiscal year ended May 31, 2007. The Fund's benchmark, the Lehman Aggregate Bond Index, returned 6.66%. The Federal Reserve ('Fed') raised the Federal Funds rate at their June 2006 meeting by 0.25%. Since then they kept rates unchanged as core inflation moderated and the economy continued to chug along at a 2-3% growth rate. Over the last 12 months, two and ten-year Treasury yields traded in a somewhat narrow range declining only 0.13% and 0.23% respectively. Yields fell for the majority of the period as investors expected the Fed to ease monetary policy; however, as that expectation diminished, yields began to creep back up. These shifts in interest rates caused little change in the slope of the yield curve (or the difference between 10 year Treasury yields and two year Treasury yields) flattening it by 0.10%. The behavior of the spread sectors was better than U.S. Treasuries and all spread sectors outperformed equivalently matched Treasuries. Corporate bonds thrived on strong fundamentals, including robust earnings and only modestly higher default rates even as valuations appeared stretched and levered buyout activity continued. The Asset-Backed Security ('ABS') sector repeated another year of good performance generating 0.39% in excess return. Throughout most of 2006, spreads for ABS continued to move tighter despite significant new issuance due to unprecedented demand from non traditional investors, including hedge funds and collateralized debt obligations. This reversed in early 2007 with the turmoil in the subprime housing market due to increased delinquencies and foreclosures. Fortunately this contagion did not significantly affect the higher quality securities that comprise the investment grade structured markets. Mortgage-Backed Securities (MBS) performed well as they were the best performing sector behind corporate bonds. With the exception of late first quarter 2007, volatility remained low for the majority of the period providing a stable environment for mortgage performance. Various strategies in the Fund allowed it to exceed the market return. The Fund's interest rate positioning detracted slightly from performance for the period while sector allocations proved beneficial. The overall underweight to the corporate sector hurt the Fund but the avoidance of many leveraged buyout candidates and an allocation to higher beta corporate bonds at the long end of the curve more than offset the sector call. The material overweights to the structured sectors, MBS, Commercial Mortgage-Backed Securities ('CMBS') and ABS also added excess return. Security selection, especially in corporate and mortgage-backed securities, was the main driver of enhanced returns. Core Fixed Income Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3 Year 5 Year 10 Year Inception Return Return Return Return to Date -------------------------------------------------------------------------------- Core Fixed Income Fund, Class A 6.95% 4.49% 5.09% 6.31% 6.51% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Core Fixed Income Fund, Class A, versus the Lehman Aggregate Bond Index [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS: Core Fixed Income Lehman Aggregate Fund, Bond Class A Index 5/31/97 $100,000 $100,000 5/31/98 111,600 110,910 5/31/99 116,231 115,735 5/31/00 118,637 118,177 5/31/01 135,152 133,681 5/31/02 143,842 144,510 5/31/03 159,808 161,244 5/31/04 161,614 160,534 5/31/05 172,556 171,483 5/31/06 172,400 170,660 5/31/07 184,382 182,026 1 For the period ended May 31, 2007. Past performance is not an indication of future performance. Class A shares were offered beginning 6/14/96. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- 14 SEI Institutional Investments Trust / Annual Report / May 31, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 High Yield Bond Fund Objective The High Yield Bond Fund (the "Fund") seeks to maximize total return. Strategy Under normal circumstances, the Fund will invest at least 80% of its net assets in high yield fixed income securities. The Fund will invest primarily in fixed income securities rated below investment grade (junk bonds), including corporate bonds and debentures, convertible and preferred securities, and zero coupon obligations. The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation (SIMC). To a limited extent, SIMC may also directly manage a portion of the Fund's portfolio. In managing the Fund's assets, the sub-advisers and, to the extent applicable, SIMC select securities that offer a high current yield as well as total return potential. The Fund's securities are diversified as to issuers and industries. The Fund's average weighted maturity may vary, and will generally not exceed ten years. There is no limit on the maturity or on the credit quality of any security. The Fund will invest primarily in securities rated BB, B, CCC, CC, C and D. However, it may also invest in non-rated securities or securities rated investment grade (AAA, AA, A and BBB). Analysis The Fund underperformed its benchmark with a return of 11.81% for the fiscal year ended May 31, 2007. The Fund's benchmark, Merrill Lynch U.S. High Yield Master II Constrained Index, returned 12.72%, as a healthy credit environment, favorable technicals, and low default rates continued to support the market. The automotive sector was a top performer and General Motors and Ford posted strong returns. General Motors is further along in its restructuring plan compared to Ford as both companies are garnering some optimism from the broader market. The cable sector was also a top performer as Charter Communications registered the best return within this segment. The company has gathered more subscribers with their triple-play offering of cable, phone, and internet services. The firm was also able to refinance existing debt at lower interest rates which was a positive event. The beverage sector was the only segment that posted a negative return for the period. The sector was dragged down by water and juice producer Le-Natures, whose bonds plummeted more than 85% after it was discovered that the company was involved in fraudulent activities. Moody's U.S. issuer-based default rate continued to trend toward historical lows. The trailing twelve month reading of 1.52% is slightly above the lowest rate during the current economic cycle. The market is anticipating default rates to increase slowly over the next twelve months but to remain below the historical average. The Fund's underweight to Charter Communications was a negative for the period as their bonds were up sharply due to upward revaluations across the cable sector, improved corporate fundamentals, and debt refinancing. The Fund's overweight to Le-Natures was a negative as corporate fraud hammered bond prices. While the Fund's allocation to the distressed area of the high yield market has historically added value, exposure to Owens Corning and Armstrong World Industries were negatives for the period offsetting gains from Adelphia Communications. The Fund's overweights to consumer products and fixed line telecom were positives for the period. In consumer products, Jostens was a solid performer as the company reported strong financial results during the year. Level 3 Communications, a constituent of the fixed line telecom sector, was a key performer due to good financials and debt refinancing. The Fund's exposure to structured credit, such as collateralized debt obligations, was a positive as well. High Yield Bond Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized One Year Inception Return to Date -------------------------------------------------------------------------------- High Yield Bond Fund, Class A 11.81% 11.29% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the High Yield Bond Fund, Class A versus the Merrill Lynch U.S. High Yield Master II Constrained Index [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS: High Yield Merrill Lynch U.S. High Yield Bond Fund, Master II Constrained Class A Index 12/5/05 $100,000 $100,000 5/31/06 104,861 104,060 5/31/07 117,245 117,297 1 For the period ended May 31, 2007. Past performance is not an indication of future performance. Class A shares were offered beginning 12/05/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 15 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Long Duration Fund Objective The Long Duration Fund (the "Fund") seeks to duplicate the return characteristics similar to those of high-quality corporate bonds, with a duration range of 10-13 years. Strategy The Fund's investment strategy is designed to aid investors, especially corporate pension plans, with asset/liability management in order to reduce funding status volatility caused by changes in interest rates. The Fund seeks to duplicate the risk and return characteristics of a long fixed income securities portfolio (approximate duration of 10 to 13 years) by using cash bonds and derivative securities, including interest rate swap agreements and Treasury futures contracts, for the purpose of managing the overall duration of the Fund. Additionally, the Fund will invest in other fixed income securities, including U.S. Agency, corporate and structured securities, to produce incremental return. Due to the long duration or interest rate sensitivity of the Fund, the Fund may experience large positive and negative absolute returns depending on the change in interest rates. Analysis The Fund's return of 7.67% outperformed the Lehman 15 Year Bellweather Swap Index's return of 7.60% and underperformed the Lehman Long U.S. Treasury Index's return of 7.69% for the fiscal year ended May 31, 2007. Falling interest rates was a positive environment for long duration assets during the fiscal year. The Federal Reserve ('Fed') raised the Federal Funds rate at their June 2006 meeting by 0.25%. Since then they kept rates unchanged as core inflation moderated and the economy continued to chug along at a 2-3% growth rate. Over the last 12 months, two and ten-year Treasury yields traded in a somewhat narrow range declining only 0.13% and 0.23% respectively. Yields fell for the majority of the period as investors expected the Fed to ease monetary policy; however, as that expectation diminished, yields began to creep back up. These shifts in interest rates caused little change in the slope of the yield curve (or the difference between 30-year Treasury yields and two-year Treasury yields) causing it to flatten 0.10%. The behavior of the spread sectors was better than U.S. Treasuries and all spread sectors outperformed equivalently matched Treasuries. Corporate bonds thrived on strong fundamentals, including robust earnings and only modestly higher default rates even as valuations appeared stretched and leveraged buyout activity continued. The Asset-Backed Security (ABS) sector repeated another year of good performance generating 0.39% in excess return. Throughout most of 2006, spreads for ABS continued to move tighter despite significant new issuance due to unprecedented demand from non traditional investors, including hedge funds and collateralized debt obligations. This reversed in early 2007 with the turmoil in the subprime housing market due to increased delinquencies and foreclosures. Fortunately this contagion did not significantly affect the higher quality securities that comprise the investment grade structured markets. Mortgage-Backed Securities (MBS) performed well as they were the best performing sector behind corporate bonds. With the exception of late first quarter 2007, volatility remained low for the majority of the period providing a stable environment for mortgage performance. As would be expected in a period of falling long term interest rates, the Fund's return registered a positive nominal return. It's important to remember that the strategy of the Fund is, in fact, to provide absolute returns that match the performance of pension plan liabilities; as such falling interest rates generate a positive return on the assets of the Fund, which essentially mimics the behavior that lower discount rates have on the pension plan's liabilities. The Fund's active management strategy succeeded in slightly outpacing the benchmark. The Fund's execution of duration and spread strategies added to performance. Likewise the Fund's superior security selection in the Asset-backed, Mortgage-backed, and corporate sectors, especially auto and insurance, also provided superior risk adjusted returns. -------------------------------------------------------------------------------- 16 SEI Institutional Investments Trust / Annual Report / May 31, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Long Duration Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized One Year 3 Year Inception Return Return to Date -------------------------------------------------------------------------------- Long Duration Fund, Class A 7.67% 5.24% 4.45% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Long Duration Fund, Class A, versus the Lehman Long U.S. Treasury Index and Lehman 15 Year Bellweather Swap Index 2 [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS: Long Duration Lehman Long Lehman 15 Year Fund, U.S. Treasury Bellweather Swap Class A Index Index 2 4/21/04 $100,000 $100,000 $100,000 5/31/04 98,218 99,012 98,446 5/31/05 113,206 114,983 114,119 5/31/06 106,323 108,510 106,381 5/31/07 114,478 116,854 114,466 1 For the period ended May 31, 2007. Past performance is not an indication of future performance. Class A shares were offered beginning 4/21/04. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. 2 The Lehman 15 Year Bellweather Swap Index is the most appropriate measure of the Fund's performance. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 17 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Extended Duration Fund Objective The Extended Duration Fund (the "Fund") seeks to duplicate return characteristics similar to those of high-quality corporate bonds, with a duration range of 23-26 years. Strategy The Fund's investment strategy is designed to aid investors, especially corporate pension plans, with asset/liability management in order to reduce funding status volatility caused by changes in interest rates. The Fund seeks to duplicate the risk and return characteristics of a long fixed income securities portfolio (approximate duration of 23 to 26 years) by using cash bonds and derivative securities, including interest rate swap agreements and Treasury futures contracts, for the purpose of managing the overall duration of the Fund. Additionally, the Fund will invest in other fixed income securities, including U.S. Agency, corporate and structured securities, to produce incremental return. Due to the long duration or interest rate sensitivity of the Fund, the Fund may experience large positive and negative absolute returns depending on the change in interest rates. Analysis The Fund outperformed its benchmark with a return of 9.73% for the fiscal year ended May 31, 2007. The Fund's benchmark, a hybrid of the Lehman 20 Year Bellweather Swap and the Lehman 3 Month Bellweather Swap Indices, returned 9.72%. Falling interest rates was a positive environment for long duration assets during the fiscal year. The Federal Reserve ('Fed') raised the Federal Funds rate at their June 2006 meeting by 0.25%. Since then they kept rates unchanged as core inflation moderated and the economy continued to chug along at a 2-3% growth rate. Over the last 12 months, two and ten-year Treasury yields traded in a somewhat narrow range declining only 0.13% and 0.23% respectively. Yields fell for the majority of the period as investors expected the Fed to ease monetary policy; however, as that expectation diminished, yields began to creep back up. These shifts in interest rates caused little change in the slope of the yield curve (or the difference between 30-year Treasury yields and two-year Treasury yields) causing it to flatten 0.10%. The behavior of the spread sectors was better than U.S. Treasuries and all spread sectors outperformed equivalently matched Treasuries. Corporate bonds thrived on strong fundamentals, including robust earnings and only modestly higher default rates even as valuations appeared stretched and leveraged buyout activity continued. The Asset-Backed Security (ABS) sector repeated another year of good performance generating 0.39% in excess return. Throughout most of 2006, spreads for ABS continued to move tighter despite significant new issuance due to unprecedented demand from non traditional investors, including hedge funds and collateralized debt obligations. This reversed in early 2007 with the turmoil in the subprime housing market due to increased delinquencies and foreclosures. Fortunately this contagion did not significantly affect the higher quality securities that comprise the investment grade structured markets. Mortgage-Backed Securities (MBS) performed well as they were the best performing sector behind corporate bonds. With the exception of late first quarter 2007, volatility remained low for the majority of the period providing a stable environment for mortgage performance. As would be expected in a period of falling long term interest rates, the Fund's return registered a positive nominal return. It's important to remember that the strategy of the Fund is, in fact to provide absolute returns that match the performance of pension plan liabilities; as such falling interest rates generate a positive return on the assets of the Fund, which essentially mimics the behavior that lower discount rates have on the pension plan's liabilities. The Fund's active management strategy succeeded in slightly outpacing the benchmark. The Fund's execution of duration and spread strategies added to performance. Likewise the Fund's superior security selection in the Asset-backed, Mortgage-backed, and corporate sectors, especially auto and insurance, also provided superior risk adjusted returns. -------------------------------------------------------------------------------- 18 SEI Institutional Investments Trust / Annual Report / May 31, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Extended Duration Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized Annualized One Year 3 Year Inception Return Return to Date -------------------------------------------------------------------------------- Extended Duration Fund, Class A 9.73% 6.35% 4.78% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Extended Duration Fund, Class A, versus Lehman 20 Year U.S. Treasury Strip Index, the Hybrid ((2 X A)-B) of the following two indexes, the Lehman 20 Year Bellweather Swap Index (A), and the Lehman 3 Month Bellweather Swap Index (B) [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS:
Extended Duration Lehman 20 Year Lehman 20 Year Lehman 3 Month Fund, U.S. Treasury Strip Bellweather Swap Bellweather Swap Class A Index Hybrid ((2xA)-B) Index (A) Index (B) 4/21/04 $100,000 $100,000 $100,000 $100,000 $100,000 5/31/04 96,117 99,061 96,963 98,535 100,120 5/31/05 130,469 133,664 132,946 117,001 102,162 5/31/06 105,366 117,798 106,530 107,372 106,341 5/31/07 115,619 129,872 116,884 115,768 112,094
1 For the period ended May 31, 2007. Past performance is not an indication of future performance. Class A shares were offered beginning 4/21/04. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. 2 The Hybrid (2 X Lehman 20 Year Bellwether Swap Index)-Lehman 3 Month Bellwether Swap Index is the most appropriate measure of the Fund's performance. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 19 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Emerging Markets Debt Fund Objective The Emerging Markets Debt Fund (the "Fund") seeks to maximize total return. Strategy Under normal circumstances, the Fund will invest at least 80% of its net assets in fixed income securities of emerging market issuers. The Fund will invest primarily in U.S.-dollar-denominated debt securities of government, government-related and corporate issuers in emerging market countries, as well as entities organized to restructure the outstanding debt of such issuers. The Fund uses a multi-manager approach, relying upon a number of sub-advisers with differing investment philosophies to manage portions of the Fund's portfolio under the general supervision of SEI Investments Management Corporation (SIMC). The sub-advisers will spread the Fund's holdings across a number of countries and industries to limit its exposure to a single emerging market economy. There are no restrictions on the Fund's average portfolio maturity, or on the maturity of any specific security. There is no minimum rating standard for the Fund's securities and the Fund's securities will generally be in the lower or lowest rating categories (including those below investment grade, commonly referred to as junk bonds). Analysis The Fund outperformed its benchmark with a return of 17.40% for the fiscal year ended May 31, 2007. The Fund's benchmark, J.P. Morgan EMBI Global Diversified Index, returned 13.98%. Broadly, the market continues to benefit from strong internal factors - improving economies and the passage of critical reforms - as well has strong external factors - high commodity prices. The continued improvement in Emerging Market Debt (EMD) credit fundamentals was again rewarded by the rating agencies throughout the period as Uruguay, Venezuela, Brazil, Russia and Argentina all saw their ratings upgraded. Uruguay's credit rating was raised by Standards & Poor (S&P) to B from B- after the country posted a third year of growth and its currency appreciated, which makes it easier for the country to pay off its debt. Ecuador saw its credit rating outlook raised as the country continues to benefit from high oil prices. S&P raised Venezuela's credit rating to BB- from B+. S&P cited the sharp increase in international reserves and a drop in external debt, reflecting the country's large current account surplus, buoyant economic growth and the potential buyback of external debt. Additionally, S&P revised its rating outlook on Colombian government debt to positive from stable, citing the country's improving external debt profile and credit position. This view applied to both long-term foreign and local currency sovereign credit ratings. Moody's upgraded Russia's credit rating from Baa3 to Baa2. The agency cited continued growth in international reserves and positive effects of recent debt buybacks as justification for the upgrade. Finally, Brazil had its credit rating raised one level by S&P to BB. The increase is the second since September 2004. With the large number of credit rating improvements for EMD countries over the past year, the JPM EMBIG index average credit rating is now BB+, its highest average rating on record. Further, there is now a strong probability that the index will hold an average credit rating of BBB-, or investment grade, over the next year. During the period, EMD spreads over U.S. Treasuries tightened 44 basis point to end at 166 basis points with the market yield ending the period at 6.60%. Politics were at the forefront during the period, with investor attention focused on presidential elections in Mexico, Brazil and Ecuador. In Mexico, the July election was the closest in Mexican history with Felipe Calderon winning by a slim margin. After a few weeks of speculation of vote rigging, Mexico's Federal Electoral Court officially rejected any possibility of a widespread recount of the votes cast in an August decision. As a result, Felipe Calderon of the ruling PAN party was inaugurated as Mexico's next president when Vicente Fox stepped down in December. In Brazil, incumbent President Lula failed to win in the first round, winning 48.6% of the vote, to Geraldo Alckmin's 41.6%. However, in the second round, held on October 29, Lula received 61% to Alckmin's 39% and will serve a second term. After many months of divergent polling results, Rafael Correa won Ecuador's election, receiving 58% of votes tallied, compared with 42% for Alvaro Noboa, Ecuador's largest banana exporter. On the news of the victory by Correa, Ecuadorian bonds fell dramatically, ending down 18% during the period. The Fund's overweight to Brazil was the largest contributor to performance. Brazil bonds gained 21.04% benefiting from the aforementioned credit ratings upgrades while shaking off political volatility. An underweight to Russia also added to performance. Despite the ratings upgrades, Russia bonds underperformed the market by 3% during the period. Finally, the funds overweight to Argentina added to performance as its bonds returned 26.4%. Argentina announced that it has paid back its entire $9.5 billion debt to the international monetary fund -------------------------------------------------------------------------------- 20 SEI Institutional Investments Trust / Annual Report / May 31, 2007 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 (IMF), effectively cutting free from the Washington-based lender after years of bitter clashes. Argentina called it the start of a new phase and says it now has more freedom to carry out economic policies that have not always met with the IMF's approval. The Fund's underweight to the Philippines detracted from performance as the country was one of the top performing countries in the index, returning 17.7%. The Fund has been underweight Philippines bonds all year due to the country's high debt/gross domestic product (GDP) ratio. Finally, the Fund's lack of exposure to Cote D'Ivoire (Ivory Coast) detracted as bonds gained 35.3% during the period. Cote D'Ivoire bonds rallied sharply on increased expectations for the government and rebels will begin to hold open talks which could simmer tensions between the two that have divided the country for three years. Emerging Markets Debt Fund AVERAGE ANNUAL TOTAL RETURN 1 -------------------------------------------------------------------------------- Annualized One Year Inception Return to Date -------------------------------------------------------------------------------- Emerging Markets Debt Fund, Class A 17.40% 12.14% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $100,000 Investment in the Emerging Markets Debt Fund, Class A, versus the J.P. Morgan EMBI Global Diversified Index, and the J.P. Morgan EMBI Global Index [LINE GRAPH OMITTED] PLOT POINTS ARE AS FOLLOWS: Emerging Markets J.P. Morgan EMBI Global Debt Fund, Diversified J.P. Morgan EMBI Global Class A Index Index 12/5/05 $100,000 $100,000 $100,000 5/31/06 101,102 101,492 101,141 5/31/07 118,576 115,680 115,119 1 For the period ended May 31, 2007. Past performance is not an indication of future performance. Class A shares were offered beginning 12/05/05. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 21 SCHEDULE OF INVESTMENTS Large Cap Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 22.5% Financials 13.6% Information Technology 10.9% Health Care 10.9% Consumer Discretionary 9.1% Consumer Staples 8.9% Energy 7.1% Industrials 5.6% Short-Term Investments 3.7% Telecommunication Services 3.3% Utilities 2.8% Materials 0.8% Commercial Paper 0.4% U.S. Treasury Obligation 0.2% Certificate of Deposit 0.1% Master Note 0.1% Asset-Backed Securities 0.0% Warrants ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 96.7% CONSUMER DISCRETIONARY -- 11.6% Abercrombie & Fitch, Cl A 1,000 $ 83 Aeropostale* 4,300 199 Amazon.com* 3,000 207 American Eagle Outfitters 26,950 728 AnnTaylor Stores* 3,600 141 Apollo Group, Cl A* 9,820 471 Autoliv 15,700 937 Autozone* 1,687 217 Barnes & Noble 4,300 184 Bed Bath & Beyond* 1,800 73 Big Lots (B)* 7,500 236 BorgWarner (B) 3,700 311 Brinker International (B) 24,416 780 Cablevision Systems, Cl A 12,226 442 Carmax* 10,500 252 CBS, Cl B 46,969 1,562 Circuit City Stores 900 14 Clear Channel Communications 3,325 128 Coach* 22,173 1,139 Comcast, Cl A (B)* 72,377 1,984 DaimlerChrysler* 1,400 128 Darden Restaurants 755 34 Dick's Sporting Goods (B)* 5,200 289 Dillard's, Cl A 3,300 120 DIRECTV Group* 49,800 1,163 Discovery Holding, Cl A* 4,400 103 Dollar Tree Stores* 16,400 694 Dow Jones 200 11 E.W. Scripps, Cl A 1,603 73 Eastman Kodak (B) 12,600 320 EchoStar Communications, Cl A (B)* 3,643 168 Expedia* 7,200 173 Family Dollar Stores (B) 5,900 199 Federated Department Stores* 25,276 1,009 Foot Locker 1,300 29 Ford Motor (B) 10,100 84 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Fortune Brands 23,268 $ 1,880 GameStop, Cl A* 3,000 111 Gannett 10,297 606 Gap 7,500 139 General Motors (B) 33,061 991 Gentex 21,200 376 Genuine Parts 4,558 234 Goodyear Tire & Rubber* 15,600 553 Gymboree* 7,200 322 Hanesbrands* 2,300 60 Harley-Davidson (B) 9,400 574 Harman International Industries 800 95 Harrah's Entertainment 226 19 Hasbro 41,900 1,347 Hilton Hotels (B) 4,930 175 Home Depot 56,692 2,204 IAC/InterActive (B)* 23,659 819 Idearc* 9,032 318 International Game Technology 91,922 3,694 International Speedway, Cl A 500 26 Interpublic Group (B)* 20,200 237 ITT Educational Services* 3,300 374 J.C. Penney 13,843 1,114 Jarden* 2,200 94 John Wiley & Sons, Cl A 1,500 69 Johnson Controls 4,372 480 Jones Apparel Group 19,874 592 KB Home 6,200 284 Kellwood 2,000 58 Kohl's (B)* 17,494 1,318 Lamar Advertising, Cl A 21,004 1,376 Las Vegas Sands* 600 47 Leggett & Platt 1,400 34 Liberty Global, Cl A* 11,274 433 Liberty Media Holding-Capital, Ser A* 5,106 576 Liberty Media Holding-Interactive, Cl A* 7,800 189 Limited Brands 5,400 142 Liz Claiborne 600 21 Lowe's (B) 57,960 1,902 Magna International, Cl A* 4,200 374 Marriott International, Cl A 2,488 115 Mattel 48,500 1,358 McDonald's 69,545 3,515 McGraw-Hill 64,277 4,519 Meredith 900 56 MGM Mirage* 41,400 3,293 Midas* 6,700 151 Newell Rubbermaid 13,239 420 News, Cl A 35,439 783 Nike, Cl B (B) 23,730 1,347 Nordstrom 2,000 104 Nutri/System (B)* 600 39 NVR (B)* 500 398 -------------------------------------------------------------------------------- 22 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Office Depot* 8,284 $ 302 OfficeMax 3,700 166 Omnicom Group 3,230 340 PetSmart (B) 7,100 243 Phillips-Van Heusen 1,000 61 Polo Ralph Lauren 2,522 246 Pulte Homes (B) 5,200 142 R.H. Donnelley 1,200 94 RadioShack 5,500 188 Ross Stores 3,500 115 Ryland Group 600 28 Saks 13,400 269 Sears Holdings* 680 122 Select Comfort (B)* 2,300 42 Service International 6,800 95 ServiceMaster 4,000 62 Shaw Communications, Cl B* 8,100 338 Sherwin-Williams 8,025 543 Snap-On 3,817 206 Staples 140,000 3,508 Starbucks (B)* 19,982 576 Starwood Hotels & Resorts Worldwide 2,300 166 Target (B) 32,804 2,048 Tiffany 1,100 58 Tim Hortons 2,495 78 Time Warner 187,663 4,010 TJX 10,000 280 Toll Brothers* 900 26 Tribune (B) 25,350 816 Universal Technical Institute (B)* 5,100 120 Urban Outfitters (B)* 5,400 144 VF 9,659 906 Viacom, Cl B* 45,148 2,028 Walt Disney 43,042 1,525 Weight Watchers International (B) 50,000 2,611 Wendy's International 11,638 467 Whirlpool 4,729 528 Williams-Sonoma (B) 21,710 736 Wyndham Worldwide* 5,840 217 Wynn Resorts (B)* 1,500 145 XM Satellite Radio Holdings, Cl A* 5,300 61 Yum! Brands 13,550 918 -------------- 80,614 -------------- CONSUMER STAPLES -- 9.7% Alberto-Culver* 4,100 102 Altria Group 41,384 2,942 Anheuser-Busch 20,679 1,103 Archer-Daniels-Midland 17,389 609 Avon Products 5,900 227 Bunge (B) 2,100 164 Campbell Soup 8,645 343 Church & Dwight 2,800 140 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Clorox 1,619 $ 109 Coca-Cola 84,401 4,472 Coca-Cola Enterprises 29,162 681 Colgate-Palmolive 30,426 2,037 ConAgra Foods 67,600 1,724 Corn Products International 4,200 172 Costco Wholesale (B) 30,680 1,733 CVS 45,317 1,747 Dean Foods 6,433 211 Del Monte Foods 661 8 Energizer Holdings (B)* 3,600 357 Estee Lauder, Cl A 9,100 430 General Mills 17,246 1,056 Hansen Natural* 2,400 96 Hershey 242 13 HJ Heinz 15,307 728 Hormel Foods 2,339 88 JM Smucker 3,800 219 Kellogg 7,982 431 Kimberly-Clark 24,454 1,735 Kraft Foods, Cl A 88,440 2,993 Kroger 55,922 1,696 Loews - Carolina 3,859 300 McCormick 7,381 275 Molson Coors Brewing, Cl B 7,500 687 Pepsi Bottling Group 4,239 148 PepsiAmericas 15,648 385 PepsiCo 87,427 5,974 Prestige Brands Holdings (B)* 3,200 42 Procter & Gamble 193,048 12,268 Reynolds American (B) 33,960 2,209 Safeway 49,476 1,706 Sara Lee 12,700 227 Supervalu 14,221 677 Sysco 7,424 246 Tyson Foods, Cl A 15,800 352 UST (B) 20,100 1,073 Wal-Mart Stores 120,958 5,758 Walgreen 111,906 5,050 WM Wrigley Jr. 23,086 1,353 -------------- 67,096 -------------- ENERGY -- 9.5% Anadarko Petroleum 9,136 454 Apache 104 8 Baker Hughes 61,471 5,070 BP ADR* 1,200 80 Cabot Oil & Gas 4,300 168 Cameron International* 3,729 264 Chesapeake Energy (B) 18,800 655 Chevron 108,998 8,882 Cimarex Energy 8,400 353 ConocoPhillips 68,571 5,309 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 23 SCHEDULE OF INVESTMENTS Large Cap Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Devon Energy 30,090 $ 2,310 Dresser-Rand Group* 16,200 577 EOG Resources 400 31 Exxon Mobil 233,635 19,431 FMC Technologies* 1,700 129 Forest Oil (B)* 800 33 Frontier Oil 1,900 77 Frontline (B)* 8,700 399 Grant Prideco* 1,200 68 Halliburton 77,800 2,797 Hess 1,253 74 Holly (B) 8,400 589 Hornbeck Offshore Services (B)* 3,700 148 Marathon Oil 32,444 4,017 National Oilwell Varco* 200 19 Noble Energy 8,574 543 Occidental Petroleum 5,110 281 Oceaneering International* 1,900 95 Overseas Shipholding Group 1,800 143 Petro-Canada* 11,800 598 Plains Exploration & Production* 1,500 79 Quicksilver Resources* 1,200 53 Range Resources 1,500 58 Schlumberger 63,406 4,937 SEACOR Holdings* 600 56 Southwestern Energy* 2,800 133 Spectra Energy* 462 12 Suncor Energy* 34,702 3,025 Sunoco 11,000 877 Superior Energy Services* 1,000 40 Tesoro 1,400 87 Transocean* 2,700 265 Valero Energy 18,000 1,343 Weatherford International* 26,010 1,413 Williams 3,800 121 XTO Energy 1,510 88 -------------- 66,189 -------------- FINANCIALS -- 21.6% A.G. Edwards 996 88 ACE 1,800 111 Aflac 4,740 251 Alleghany (B)* 304 114 Allied Capital (B) 4,167 132 Allstate 46,460 2,857 AMBAC Financial Group 3,200 287 American Capital Strategies (B) 8,046 390 American Express 59,712 3,880 American Financial Group 5,350 191 American International Group 106,120 7,677 AmeriCredit (B)* 12,900 342 Ameriprise Financial 4,558 286 Annaly Capital Management+ 9,500 147 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Anthracite Capital+ 494 $ 6 AON (B) 10,361 445 Apartment Investment & Management, Cl A+ 2,443 134 Archstone-Smith Trust+ 1,701 105 Arthur J. Gallagher 1,100 32 Assurant 16,807 999 Astoria Financial 7,733 206 AvalonBay Communities+ 2,114 276 Axis Capital Holdings 13,900 550 Bank of America 213,209 10,812 Bank of New York 7,300 296 BB&T 41,934 1,766 Bear Stearns 10,145 1,521 BlackRock 114 18 Boston Properties+ 1,294 150 Brandywine Realty Trust+ 1,600 51 BRE Properties, Cl A+ 3,000 190 Brookfield Asset Management, Cl A* 10,900 690 Camden Property Trust+ 507 38 Capital One Financial 444 35 CapitalSource+ (B) 3,000 79 CB Richard Ellis Group, Cl A* 4,800 179 Cbot Holdings, Cl A (B)* 700 138 Charles Schwab 96,992 2,179 Chicago Mercantile Exchange Holdings, Cl A 8,037 4,268 Chubb 24,660 1,353 CIT Group 18,748 1,124 Citigroup 224,063 12,209 Colonial BancGroup 1,800 45 Comerica 30,597 1,922 Commerce Bancorp 1,484 51 Commerce Bancshares 1,128 53 Compass Bancshares 3,107 217 Countrywide Financial (B) 44,151 1,719 Credicorp 300 17 Cullen/Frost Bankers 1,000 53 Duke Realty+ 4,500 181 Eaton Vance 11,700 514 Equity Residential+ (B) 4,843 245 Erie Indemnity, Cl A 529 29 Essex Property Trust+ 1,700 216 Everest Re Group 3,400 365 Fannie Mae 23,614 1,509 Federal Realty Investment Trust+ 380 34 Fidelity National Financial, Cl A 8,400 236 First American 500 27 First Cash Financial Services* 8,200 204 First Horizon National (B) 1,222 49 First Marblehead (B) 2,750 102 First Mercury Financial* 2,400 45 Forest City Enterprises, Cl A (B) 4,052 284 Franklin Resources 5,171 702 -------------------------------------------------------------------------------- 24 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Freddie Mac 57,910 $ 3,868 General Growth Properties+ 2,700 159 Genworth Financial, Cl A 15,400 556 Goldman Sachs Group 12,064 2,785 Hartford Financial Services Group 12,650 1,305 Health Care Property Investors+ (B) 9,100 297 Health Care+ (B) 3,700 162 Hospitality Properties Trust+ 3,684 164 Host Hotels & Resorts+ (B) 5,674 145 HRPT Properties Trust+ 8,200 94 Hudson City Bancorp (B) 13,400 177 Huntington Bancshares 1,500 34 IndyMac Bancorp (B) 5,100 171 IntercontinentalExchange (B)* 34,500 5,000 iStar Financial+ 6,800 327 Janus Capital Group (B) 25,700 711 JER Investors Trust+ 7,200 135 Jones Lang LaSalle 9,100 1,062 JPMorgan Chase 171,105 8,868 Keycorp 50,333 1,792 Kimco Realty+ 500 23 Legg Mason 17,910 1,809 Lehman Brothers Holdings 22,500 1,651 Lincoln National 14,107 1,023 Loews 35,347 1,804 M&T Bank 2,330 257 Macerich+ 300 27 Mack-Cali Realty+ 2,300 111 Markel* 329 162 Marsh & McLennan (B) 9,425 309 Marshall & Ilsley 2,672 128 MBIA 8,300 552 Mellon Financial 7,600 329 Merrill Lynch 64,128 5,947 Metlife 10,290 700 MGIC Investment 6,400 416 Moody's (B) 51,759 3,605 Morgan Stanley 56,982 4,846 National City (B) 46,464 1,607 Nationwide Financial Services, Cl A (B) 9,700 601 New York Community Bancorp 4,949 87 Newcastle Investment+ 11,200 332 NewStar Financial* 2,200 31 Northern Trust 3,765 245 Nuveen Investments, Cl A 1,200 66 NYSE Euronext* 1,000 83 Old Republic International 22,700 492 Oriental Financial Group 10,300 125 People's United Financial 8,999 182 Philadelphia Consolidated Holding* 2,400 99 PMI Group 13,800 682 PNC Financial Services Group 14,243 1,051 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Principal Financial Group 11,600 $ 705 Progressive 5,264 121 Prologis+ 1,136 73 Prudential Financial 6,300 643 Public Storage+ 1,877 168 Radian Group (B) 7,764 481 Regency Centers+ 600 47 Regions Financial 39,562 1,411 Reinsurance Group of America 8,000 501 Safeco 18,962 1,190 SeaBright Insurance Holdings* 4,400 79 Simon Property Group+ 301 33 SL Green Realty+ (B) 3,116 436 Sovereign Bancorp 4,200 98 St. Joe (B) 1,000 52 State Street 3,101 212 SunTrust Banks 32,726 2,922 Synovus Financial 2,603 86 T. Rowe Price Group 5,132 264 Taubman Centers+ 400 22 TCF Financial 1,000 28 Thornburg Mortgage+ (B) 17,100 474 Torchmark 4,545 319 Travelers 68,634 3,718 UDR+ 3,830 116 United PanAm Financial* 3,000 47 UnumProvident 9,450 251 US Bancorp (B) 89,052 3,079 Valley National Bancorp (B) 5,200 127 Ventas+ (B) 5,600 237 Vornado Realty Trust+ 2,065 250 Wachovia 71,114 3,854 Washington Mutual (B) 62,660 2,740 Weingarten Realty Investors+ 1,500 70 Wells Fargo 42,746 1,543 Wilmington Trust 587 25 XL Capital, Cl A 6,658 543 Zions Bancorporation 1,051 85 -------------- 149,665 -------------- HEALTH CARE -- 11.7% Abbott Laboratories 35,508 2,001 Aetna 24,100 1,276 Alcon 1,408 194 Allergan 44,587 5,552 AmerisourceBergen 14,242 729 Amgen* 35,541 2,002 Applera - Applied Biosystems Group 11,330 322 Barr Pharmaceuticals* 448 24 Bausch & Lomb 900 61 Baxter International 6,704 381 Becton Dickinson 14,297 1,090 Biogen Idec* 7,629 398 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 25 SCHEDULE OF INVESTMENTS Large Cap Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Biomet 2,100 $ 92 Bradley Pharmaceuticals* 4,900 108 Bristol-Myers Squibb 8,913 270 C.R. Bard 2,400 203 Cardinal Health 6,484 470 Celgene (B)* 35,296 2,162 Cephalon* 338 28 Cerner (B)* 5,700 324 Charles River Laboratories International* 10,900 580 Chemed 900 60 Cigna 10,648 1,785 Conceptus (B)* 6,500 121 Covance* 288 19 Cytyc* 600 25 Dade Behring Holdings 3,700 199 Dentsply International 1,400 51 Edwards Lifesciences* 700 35 Eli Lilly 18,004 1,055 Express Scripts (B)* 5,600 572 Forest Laboratories* 7,772 394 Genentech* 85,602 6,828 Genzyme* 1,500 97 Gilead Sciences* 18,629 1,542 Haemonetics* 5,700 283 Health Net* 500 29 Henry Schein* 1,423 76 Hillenbrand Industries 3,100 205 HLTH (B)* 8,200 124 Humana* 3,403 211 ICU Medical* 5,000 201 Idexx Laboratories* 816 72 IMS Health 2,923 96 Invitrogen* 7,600 551 Johnson & Johnson 52,904 3,347 Kinetic Concepts* 2,900 145 King Pharmaceuticals (B)* 49,984 1,062 Laboratory of America Holdings* 7,979 628 LifePoint Hospitals* 1,100 45 Manor Care (B) 1,987 135 McKesson 6,717 424 Medco Health Solutions* 12,973 1,009 Medimmune* 3,000 174 Medtronic 33,750 1,794 Merck 154,604 8,109 Millennium Pharmaceuticals* 4,800 52 Mylan Laboratories 2,213 44 PDL BioPharma* 2,000 55 PerkinElmer 2,100 56 Pfizer 356,579 9,802 Quest Diagnostics 459 22 Respironics* 600 26 Schering-Plough 15,868 519 Sciele Pharma (B)* 6,600 163 Sepracor* 400 19 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- St. Jude Medical* 53,970 $ 2,304 Stryker (B)* 30,391 2,046 Tenet Healthcare (B)* 19,500 136 Thermo Fisher Scientific* 38,613 2,108 Triad Hospitals* 500 27 United Therapeutics (B)* 5,000 330 United Health Group 95,007 5,204 Universal Health Services, Cl B 1,181 73 VCA Antech* 4,658 184 Ventana Medical Systems* 1,400 72 Vertex Pharmaceuticals* 100 3 Waters* 1,200 72 WellCare Health Plans* 2,400 221 WellPoint* 14,860 1,210 Wyeth 51,704 2,991 Zimmer Holdings* 40,200 3,540 -------------- 81,049 -------------- INDUSTRIALS -- 7.5% 3M 1,698 149 Acuity Brands 7,400 449 AGCO* 5,400 234 Allied Waste Industries* 2,100 28 American Standard 5,100 305 AMR* 3,316 94 Applied Industrial Technologies 2,400 70 Avery Dennison 5,901 385 Boeing 11,430 1,150 Brink's 1,800 119 Burlington Northern Santa Fe 1,185 110 C.H. Robinson Worldwide (B) 3,087 167 Carlisle 600 26 Caterpillar 30,300 2,381 Cenveo* 2,700 66 Ceradyne (B)* 1,700 115 ChoicePoint* 9,200 404 Con-way 566 32 Continental Airlines, Cl B (B)* 5,200 209 Copart* 2,600 81 Corporate Executive Board 322 21 Corrections of America* 3,900 253 Covanta Holding* 5,800 144 Crane 2,100 92 CSX 3,290 149 Cummins 6,700 631 Danaher 3,030 223 Deere 11,600 1,397 Diamond Management & Technology Consultants (B) 1,500 20 Dover 6,264 314 Dun & Bradstreet 407 41 Eaton 13,891 1,302 Emerson Electric 51,222 2,482 -------------------------------------------------------------------------------- 26 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Equifax 2,909 $ 122 Expeditors International Washington (B) 68,114 2,974 FedEx 5,400 603 Gardner Denver* 12,000 494 General Dynamics 4,486 360 General Electric 316,443 11,892 Goodman Global* 3,400 75 Graco 5,400 216 Honeywell International 41,518 2,404 HUB Group, Cl A* 2,700 100 Ingersoll-Rand, Cl A 5,661 291 ITT 1,060 71 Kansas City Southern (B)* 700 29 L-3 Communications Holdings 6,800 648 Labor Ready* 3,900 94 Laidlaw International 900 31 Lincoln Electric Holdings 400 28 Lockheed Martin 17,585 1,725 Manitowoc 2,700 205 Manpower 6,200 570 Masco 12,600 381 MSC Industrial Direct, Cl A 11,200 600 Northrop Grumman 26,575 2,009 Paccar 3,643 318 Pall 600 27 Parker Hannifin 11,100 1,125 Pitney Bowes 1,307 62 Precision Castparts 3,225 386 Quanta Services (B)* 11,600 348 Raytheon 12,388 689 Robert Half International 1,400 49 Rockwell Automation 7,000 476 Rockwell Collins 632 45 Roper Industries 752 44 RR Donnelley & Sons 3,700 158 Ryder System 9,000 485 Saia* 700 20 Southwest Airlines (B) 3,900 56 SPX 3,529 310 Stericycle* 5,801 529 Terex* 2,700 229 Timken 8,600 302 Trinity Industries (B) 1,200 55 UAL (B)* 3,000 118 Union Pacific 1,981 239 United Parcel Service, Cl B 56,708 4,081 United Technologies 28,659 2,022 US Airways Group* 2,000 71 Waste Management 11,300 437 WW Grainger 1,036 91 -------------- 52,337 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY -- 14.6% Activision* 6,500 $ 129 Adobe Systems* 6,532 288 Agilent Technologies (B)* 20,300 775 Akamai Technologies (B)* 12,294 544 Alliance Data Systems* 3,900 304 Amphenol, Cl A 5,660 203 Apple* 19,717 2,397 Applied Materials 36,040 688 Arrow Electronics* 4,265 175 Autodesk* 1,400 64 Automatic Data Processing 4,746 236 Avaya* 7,007 112 Avnet* 19,700 844 BEA Systems* 12,000 154 BMC Software* 17,221 571 Broadcom, Cl A* 337 10 Broadridge Financial Solutions* 1,336 27 CA 1,100 29 Cadence Design Systems (B)* 19,096 434 CDW 1,116 95 Ceridian* 3,158 112 Cisco Systems* 164,820 4,437 Cognizant Technology Solutions, Cl A* 4,000 314 Computer Sciences* 11,600 643 Compuware* 8,600 98 Convergys* 10,000 257 Dell* 1,500 40 Diebold 2,000 99 DST Systems* 1,722 144 eBay* 153,700 5,004 Electronic Arts* 49,136 2,401 Electronic Data Systems 11,700 337 EMC* 54,200 915 Exar* 7,000 95 F5 Networks* 700 57 Factset Research Systems 2,900 185 Fidelity National Information Services 3,951 213 First Data 2,700 88 Fiserv* 22,327 1,323 Google, Cl A* 21,515 10,709 Hewlett-Packard 133,705 6,112 Ingram Micro, Cl A* 6,200 128 Integrated Device Technology* 5,700 86 Intel 66,046 1,464 International Business Machines 27,676 2,950 International Rectifier* 2,300 83 Intevac* 5,000 96 Intuit* 125,192 3,818 Iron Mountain* 3,400 93 Juniper Networks* 13,500 330 Kla-Tencor 1,000 55 Kronos* 2,700 148 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 27 SCHEDULE OF INVESTMENTS Large Cap Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- L-1 Identity Solutions (B)* 9,300 $ 199 Lam Research* 4,367 234 Lexmark International, Cl A* 6,600 343 Linear Technology (B) 39,931 1,433 LSI Logic* 19,286 167 Mastercard, Cl A 500 75 McAfee* 5,100 188 MEMC Electronic Materials* 1,454 88 Mettler Toledo International* 1,865 183 Micron Technology* 1,887 23 Microsoft 221,464 6,792 MicroStrategy, Cl A* 1,970 205 Molex 2,500 74 Motorola 854 16 MPS Group* 2,900 40 NCR* 900 48 Network Appliance (B)* 26,374 849 Network Equipment Technologies* 1,800 19 Novellus Systems (B)* 7,109 218 Nvidia* 7,030 244 Oracle* 88,411 1,713 Paychex 116,043 4,688 QLogic* 2,118 36 Qualcomm 223,517 9,600 Rambus (B)* 4,400 83 Red Hat* 390 10 Research In Motion* 38,900 6,461 Salesforce.com* 3,100 147 SanDisk (B)* 55,800 2,430 Sanmina-SCI* 34,739 124 Seagate Technology (B) 146,000 3,006 Silicon Laboratories* 500 17 Solectron* 51,000 173 Sybase* 2,692 65 SYKES Enterprises* 2,600 51 Symantec* 25,040 501 Synopsys* 15,609 414 Tech Data* 3,416 126 Teradyne* 4,400 75 Texas Instruments 15,132 535 Trimble Navigation* 2,600 76 Varian Semiconductor Equipment Associates* 600 25 VeriFone Holdings* 1,300 45 VeriSign* 900 27 Vishay Intertechnology (B)* 28,200 503 Western Digital* 22,800 429 Western Union* 205,012 4,603 Xerox* 27,079 511 Xilinx (B) 1,200 34 Yahoo! (B)* 78,931 2,265 -------------- 101,124 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- MATERIALS -- 3.0% Air Products & Chemicals 3,300 $ 257 Albemarle 5,400 219 Alcan 8,200 711 Alcoa 37,300 1,540 Allegheny Technologies 2,300 266 Ashland 4,100 247 Ball 500 28 Bemis 3,200 108 Cabot 3,600 174 Carpenter Technology 100 13 Celanese, Ser A 3,200 116 Crown Holdings* 2,600 65 Dow Chemical 56,840 2,579 E.I. Du Pont de Nemours 11,865 621 Eagle Materials 3,200 161 Eastman Chemical 6,900 457 Ecolab 8,833 381 Florida Rock Industries 500 34 FMC 900 75 Freeport-McMoRan Copper & Gold, Cl B 3,952 311 Gerdau Ameristeel* 5,100 80 Headwaters (B)* 3,400 67 Hecla Mining (B)* 4,100 33 International Flavors & Fragrances 5,800 298 International Paper 16,500 646 Lubrizol 13,003 855 Lyondell Chemical 9,300 346 MeadWestvaco 4,800 168 Methanex 11,700 304 Monsanto 492 30 Mosaic* 15,100 530 Nalco Holding 1,800 48 Nova Chemicals 3,500 125 Nucor 17,900 1,209 Owens-Illinois 3,300 112 Pactiv* 9,400 319 PPG Industries 8,999 686 Praxair 50,551 3,442 Rohm & Haas 7,700 408 Scotts Miracle-Gro, Cl A 700 32 Sealed Air 760 25 Sigma-Aldrich 1,928 83 Smurfit-Stone Container* 17,000 220 Sonoco Products 4,116 178 Southern Copper (B) 4,600 408 Steel Dynamics 2,300 108 Titanium Metals* 1,300 45 United States Steel 5,800 656 Valspar 6,600 191 -------------------------------------------------------------------------------- 28 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Vulcan Materials 5,800 $ 694 Weyerhaeuser 3,700 303 -------------- 21,012 -------------- TELECOMMUNICATION SERVICES -- 4.0% Alltel 7,635 523 American Tower, Cl A* 38,917 1,680 AT&T 275,197 11,377 Atlantic Tele-Network 1,500 43 CenturyTel 12,129 599 Citizens Communications 15,218 241 Crown Castle International (B)* 44,694 1,646 Embarq (B) 1,099 71 Leap Wireless International* 2,500 214 Sprint Nextel 152,066 3,475 Telephone & Data Systems 5,000 309 US Cellular* 1,600 127 Verizon Communications 153,233 6,670 Vodafone Group ADR* 4,600 145 Windstream 24,600 369 -------------- 27,489 -------------- UTILITIES -- 3.5% AES* 4,500 107 Allegheny Energy* 2,922 156 Alliant Energy 11,300 488 Ameren (B) 14,700 780 American Electric Power 45,131 2,150 Atmos Energy 5,600 181 Centerpoint Energy 40,800 772 CMS Energy 6,400 117 Consolidated Edison 3,700 181 Constellation Energy Group 4,699 431 Dominion Resources 4,052 359 DTE Energy (B) 21,200 1,121 Duke Energy 925 18 Dynegy* 6,200 60 Edison International 13,900 810 Energen 14,400 848 Energy East 17,700 428 Entergy 6,299 711 Equitable Resources 6,300 328 Exelon 1,954 152 FirstEnergy 29,603 2,049 FPL Group (B) 8,300 531 Great Plains Energy (B) 4,900 152 Integrys Energy Group 500 28 KeySpan 5,800 242 MDU Resources Group 2,521 76 Mirant* 19,200 891 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- National Fuel Gas 4,100 $ 187 NiSource 11,700 260 Northeast Utilities 10,400 316 NRG Energy (B)* 13,843 1,217 NSTAR 7,700 268 OGE Energy 6,200 229 Oneok 6,800 368 Pepco Holdings 26,900 803 PG&E 23,019 1,134 Pinnacle West Capital 14,600 678 PPL 20,965 964 Progress Energy 3,200 160 Public Service Enterprise Group 1,520 135 Puget Energy 7,830 197 Questar 800 86 Reliant Energy (B)* 17,900 459 SCANA 2,381 101 Sempra Energy 4,367 268 Sierra Pacific Resources* 1,300 25 Southern 6,639 239 TECO Energy 1,500 26 TXU 10,275 693 UGI 13,700 395 Vectren 1,800 52 Wisconsin Energy 5,900 286 Xcel Energy (B) 38,645 886 -------------- 24,599 -------------- Total Common Stock (Cost $520,106) ($ Thousands) 671,174 -------------- Number of Warrants --------- WARRANTS -- 0.0% FINANCIALS -- 0.0% Lucent Technologies, Expires 12/10/07* 758 -- -------------- Total Warrants (Cost $--) ($ Thousands) -- -------------- CASH EQUIVALENTS -- 4.4% First Union Cash Management Program, 5.221%** 1,426,738 1,427 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 5,998,441 5,998 SEI Liquidity Fund L.P., 5.490% (C)**++ 23,381,684 23,382 -------------- Total Cash Equivalents (Cost $30,807) ($ Thousands) 30,807 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 29 SCHEDULE OF INVESTMENTS Large Cap Fund (Concluded) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS (C) -- 2.4% FINANCIALS -- 2.4% American General Finance (E)(F) 5.370%, 06/15/07 $ 1,256 $ 1,256 Bear Stearns EXL (E) 5.360%, 06/15/07 1,541 1,541 Countrywide Financial MTN (E) 5.430%, 06/27/07 520 520 Countrywide Financial MTN, Ser A (E) 5.440%, 08/06/07 1,299 1,299 Irish Life & Permanent MTN, Ser X (E)(F) 5.360%, 06/21/07 1,152 1,152 Jackson National Life Funding (E) (F) 5.320%, 06/01/07 1,905 1,905 Morgan Stanley EXL (E) 5.400%, 06/04/07 303 303 Morgan Stanley EXL, Ser S (E) 5.360%, 06/04/07 433 433 Nationwide Building Society (E) (F) 5.410%, 06/28/07 476 476 5.370%, 06/07/07 866 866 Northern Rock (E) (F) 5.380%, 06/04/07 892 892 Premium Asset Trust, Ser 2004-10 (E)(F) 5.380%, 06/15/07 1,212 1,212 SLM MTN (E) 5.320%, 06/15/07 953 953 Skandinav Enskilda Bank (E) (F) 5.320%, 06/18/07 953 952 Stanfield Victoria LLC MTN (F) 5.450%, 06/11/07 866 866 UniCredito Italiano Bank (E) (F) 5.350%, 07/11/07 2,165 2,165 -------------- Total Corporate Obligations (Cost $16,791) ($ Thousands) 16,791 -------------- COMMERCIAL PAPER (C) (D) -- 0.9% FINANCIALS -- 0.9% KKR Pacific Funding Trust 5.310%, 06/15/07 1,567 1,564 OCALA Funding 5.310%, 06/19/07 649 648 Rhineland Funding Capital 5.280%, 06/06/07 318 318 Thornburg Mortgage Capital Resources 5.290%, 06/07/07 1,732 1,730 Valour Bay Capital LLC 5.320%, 06/11/07 707 706 5.320%, 06/13/07 1,299 1,297 -------------- Total Commercial Paper (Cost $6,263) ($ Thousands) 6,263 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT (C) -- 0.2% Barclays Bank (E) 5.440%, 06/11/07 $ 433 $ 433 CC USA MTN (F) 5.520%, 06/18/07 866 866 -------------- Total Certificates of Deposit (Cost $1,299) ($ Thousands) 1,299 -------------- U.S.TREASURY OBLIGATION (A)(D) -- 0.5% U.S. Treasury Bill 4.813%, 08/23/07 3,060 3,028 -------------- Total U.S. Treasury Obligation (Cost $3,026) ($ Thousands) 3,028 -------------- MASTER NOTE (C) (D) -- 0.2% Bear Stearns 5.430%, 06/01/07 866 866 -------------- Total Master Note (Cost $866) ($ Thousands) 866 -------------- ASSET-BACKED SECURITY (C) (E) (F) -- 0.1% MORTGAGE RELATED SECURITIES -- 0.1% Duke Funding, Ser 2004-6B, Cl A1S1 5.420%, 07/09/07 650 650 -------------- Total Asset-Backed Security (Cost $650) ($ Thousands) 650 -------------- REPURCHASE AGREEMENTS (C) (G) -- 1.5% Barclays Capital 5.280%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $298,524 (collateralized by a U.S. Government obligation, par value $304,481, 0.000%, 06/01/07, total market value $304,451) 298 298 Deutsche Bank 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $852,293 (collateralized by U.S. Government obligations, ranging in par value $4,711-$280,580, 4.000%- 6.000%, 02/01/08-11/04/20, total market value $869,214) 852 852 -------------------------------------------------------------------------------- 30 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $9,527,274 (collateralized by U.S. Government obligations, ranging in par value $2,012,583-$16,494,142, 3.875%-8.875%, 06/15/08-03/15/31, total market value $9,716,399) $ 9,526 $ 9,526 -------------- Total Repurchase Agreements (Cost $10,676) ($ Thousands) 10,676 -------------- Total Investments -- 106.9% (Cost $590,484) ($ Thousands) $ 741,554 ============== A summary of the open future contracts held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- S&P 500 Composite Index 38 Jun-2007 $ 520 S&P Mid 400 Index E-Mini 23 Jun-2007 101 --------- $ 621 ========= Percentages are based on Net Assets of $693,994 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 2007. + Real Estate Investments Trust ++ Affiliated security (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 May 31, 2007 (see Note 9). The total value of securities on loan at May 31, 2007 was $57,964 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of May 31, 2007 was $59,927 ($ 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 May 31, 2007. (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 ADR -- American Depositary Receipt Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company LP -- Limited Partnership MTN -- Medium Term Note Ser -- Series Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 31 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 14.9% Financials 13.7% Information Technology 11.8% Consumer Discretionary 11.6% Asset-Backed Securities 10.5% Health Care 7.8% Industrials 6.6% Energy 6.4% Consumer Staples 4.5% U.S. Government Agency Mortgage-Backed Obligations 3.1% Materials 2.7% Utilities 2.6% Short-Term Investments 2.4% Telecommunication Services 0.9% U.S. Government Agency Obligations 0.3% U.S. Treasury Obligations 0.2% Commercial Paper ++Percentages based on total investments. -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 89.7% CONSUMER DISCRETIONARY -- 13.3% Abercrombie & Fitch, Cl A 600 $ 50 Aeropostale* 11,500 532 Amazon.com* 1,800 124 American Eagle Outfitters (B) 33,600 907 AnnTaylor Stores* 10,100 395 Apollo Group, Cl A* 4,900 235 Autoliv (B) 6,400 382 Autonation* 1,211 27 Autozone* 1,100 142 Bed Bath & Beyond* 1,200 49 Best Buy 8,684 419 Big Lots* 12,600 397 Brinker International (B) 14,400 460 Cablevision Systems, Cl A (B) 47,060 1,703 Carmax* 13,339 320 CBS, Cl B 13,700 456 Circuit City Stores 900 14 Clear Channel Communications 2,530 97 Coach* (B) 20,400 1,048 Comcast, Cl A* (B) 59,627 1,634 Darden Restaurants 4,000 182 Dick's Sporting Goods* 1,600 89 Dillard's, Cl A 12,447 452 DIRECTV Group* (B) 71,190 1,663 Discovery Holding, Cl A* 2,700 63 Dollar Tree Stores* 15,400 652 Dow Jones 100 5 DSW, Cl A* 1,100 42 E.W. Scripps, Cl A 1,300 59 Eastman Kodak (B) 36,137 916 EchoStar Communications, Cl A* (B) 41,554 1,914 Expedia* 3,500 84 Family Dollar Stores 3,400 114 Federated Department Stores* 4,900 196 Foot Locker 800 18 Ford Motor (B) 105,189 877 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- GameStop, Cl A* 1,800 $ 67 Gannett 3,000 176 Gap 1,500 28 General Motors (B) 34,409 1,032 Gentex 24,300 431 Genuine Parts 3,000 154 Goodyear Tire & Rubber* 11,692 415 GSI Commerce* 5,600 128 Gymboree* 9,500 425 Hanesbrands* (B) 27,511 718 Harley-Davidson 8,400 513 Harman International Industries 400 47 Harrah's Entertainment 136 12 Hasbro (B) 20,900 672 Hilton Hotels 3,400 121 Home Depot 4,200 163 IAC/InterActive* (B) 11,300 391 Idearc* 16,978 599 International Game Technology 62,500 2,512 International Speedway, Cl A 300 16 Interpublic Group* (B) 69,395 815 ITT Educational Services* (B) 11,000 1,245 J. Crew Group* 4,500 202 J.C. Penney (B) 19,038 1,532 Jack in the Box* 1,900 145 Jarden* 1,400 60 John Wiley & Sons, Cl A 1,595 73 Johnson Controls (B) 8,380 919 Jones Apparel Group 12,100 360 Keystone Automotive Industries* 1,800 74 Kohl's* (B) 18,600 1,401 Lamar Advertising, Cl A (B) 16,400 1,074 Las Vegas Sands* 400 31 Laureate Education* 500 30 Leggett & Platt 900 22 Liberty Global, Cl A* 6,500 250 Liberty Media Holding-Capital, Ser A* 2,900 327 Liberty Media Holding-Interactive, Cl A* 5,300 128 Limited Brands 1,500 39 Liz Claiborne 300 10 Marriott International, Cl A 7,162 330 Mattel (B) 27,900 782 McDonald's (B) 23,200 1,173 McGraw-Hill (B) 11,900 837 Meredith 500 31 MGM Mirage* 29,500 2,346 Newell Rubbermaid 7,700 245 News, Cl A 23,122 511 Nike, Cl B 1,800 102 Nordstrom 1,000 52 Nutri/System* 300 20 NVR* 900 717 Office Depot* 16,991 619 OfficeMax 2,819 127 -------------------------------------------------------------------------------- 32 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Omnicom Group 3,600 $ 379 PetSmart (B) 10,800 370 Phillips-Van Heusen 2,600 159 Polo Ralph Lauren (B) 10,600 1,034 R.H. Donnelley 600 47 RadioShack 3,100 106 Regal Entertainment Group, Cl A 2,864 66 Rent-A-Center* 900 24 Ross Stores 9,700 319 Ryland Group 400 19 Saks 4,600 92 Sally Beauty Holdings* 6,559 60 Sears Holdings* 500 90 Service International 2,800 39 ServiceMaster 2,500 39 Shaw Communications, Cl B* (B) 13,500 563 Sherwin-Williams 9,000 609 Snap-On 2,200 119 Staples 91,000 2,280 Starbucks* 500 14 Target 16,230 1,013 Thor Industries 300 13 Tiffany 700 37 Tim Hortons 1,483 46 Time Warner (B) 78,300 1,673 TJX 20,321 568 Toll Brothers* 500 15 Tribune 4,300 138 TRW Automotive Holdings* (B) 27,859 1,131 United Auto Group 22,722 505 Universal Technical Institute* 7,300 172 Urban Outfitters* 3,100 82 VF 3,200 300 Viacom, Cl B* (B) 11,700 526 Walt Disney (B) 47,709 1,691 Weight Watchers International 32,700 1,708 Wendy's International (B) 5,300 213 Whirlpool (B) 9,182 1,025 Wyndham Worldwide* 2,800 104 Wynn Resorts* 900 87 XM Satellite Radio Holdings, Cl A* 3,300 38 Yum! Brands (B) 12,800 867 -------------- 60,346 -------------- CONSUMER STAPLES -- 7.3% Alberto-Culver* 3,100 77 Altria Group (B) 28,237 2,008 Anheuser-Busch 12,700 677 Archer-Daniels-Midland 11,464 402 Avon Products 3,900 150 BJ's Wholesale Club* 4,158 157 Brown-Forman, Cl B 200 14 Campbell Soup 6,300 250 Church & Dwight 1,800 90 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Clorox (B) 12,110 $ 813 Coca-Cola (B) 24,200 1,282 Coca-Cola Enterprises 5,200 121 Colgate-Palmolive 6,700 449 ConAgra Foods (B) 37,900 966 Constellation Brands, Cl A* 693 17 Corn Products International 12,854 527 Costco Wholesale 1,000 57 CVS 8,121 313 Dean Foods 12,000 393 Del Monte Foods 1,600 19 Energizer Holdings* (B) 5,400 535 Estee Lauder, Cl A (B) 1,700 80 General Mills 11,800 723 Hansen Natural* 1,500 60 Herbalife* 1,500 60 Hershey 200 11 HJ Heinz 5,600 266 Hormel Foods 4,800 180 JM Smucker 2,400 139 Kellogg 5,000 270 Kimberly-Clark 10,800 766 Kraft Foods, Cl A 10,758 364 Kroger (B) 50,143 1,520 Loews - Carolina 8,267 643 McCormick 6,700 250 Molson Coors Brewing, Cl B 1,500 137 NBTY* (B) 9,300 489 Pepsi Bottling Group 20,500 717 PepsiCo (B) 23,300 1,592 Procter & Gamble (B) 64,400 4,093 Reynolds American (B) 14,700 956 Rite Aid* 20,036 127 Safeway (B) 41,404 1,428 Sara Lee 1,300 23 Smithfield Foods* 8,568 275 Supervalu 3,274 156 Sysco 4,600 152 Tyson Foods, Cl A (B) 60,165 1,341 UST 5,300 283 Wal-Mart Stores (B) 77,837 3,705 Walgreen 60,200 2,717 WM Wrigley Jr. 2,000 117 -------------- 32,957 -------------- ENERGY -- 7.4% Apache 1,468 118 Baker Hughes 1,000 82 Cabot Oil & Gas 2,800 109 Cameron International* 2,300 163 Chesapeake Energy (B) 13,900 485 Chevron (B) 69,240 5,642 Cimarex Energy (B) 10,700 450 ConocoPhillips (B) 20,865 1,616 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 33 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Devon Energy 9,588 $ 736 Dresser-Rand Group* 7,300 260 EnCana (B) 8,200 503 EOG Resources 200 15 Exxon Mobil (B) 135,775 11,292 FMC Technologies* 1,100 83 Forest Oil* 400 16 Frontier Oil 1,400 56 Frontline* 13,100 600 Grant Prideco* (B) 8,900 505 Halliburton (B) 17,100 615 Hess 9,470 561 Holly 8,900 624 Hornbeck Offshore Services* 6,000 239 Marathon Oil (B) 26,684 3,304 National Oilwell Varco* 800 76 Noble 1,900 175 Noble Energy 1,200 76 Occidental Petroleum 900 49 Oceaneering International* 1,600 80 Overseas Shipholding Group 1,000 80 Petro-Canada* (B) 11,200 567 Plains Exploration & Production* 900 48 Pride International* 9,655 348 Quicksilver Resources* 700 31 Range Resources 1,000 39 SEACOR Holdings* 400 37 Southwestern Energy* 1,800 86 Spectra Energy* 362 10 Sunoco 11,600 925 Superior Energy Services* 4,600 185 Tesoro 1,400 87 Tidewater 8,200 541 Transocean* 4,200 413 Unit* 2,062 127 Valero Energy (B) 12,266 915 W&T Offshore 1,776 52 Williams 9,000 286 XTO Energy (B) 5,200 302 -------------- 33,609 -------------- FINANCIALS -- 16.5% A.G. Edwards 11,087 977 ACE 1,400 86 Aflac 2,800 148 Alleghany* 204 76 Allied Capital 2,600 82 Allstate (B) 18,000 1,107 AMBAC Financial Group 2,000 179 American Capital Strategies 5,000 242 American Express 3,900 253 American Financial Group 16,572 591 American International Group (B) 23,100 1,671 American National Insurance 81 12 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- AmeriCredit* (B) 21,202 $ 563 Ameriprise Financial 3,000 189 Annaly Capital Management+ 11,500 178 AON 16,825 722 Apartment Investment & Management, Cl A+ 1,700 93 Archstone-Smith Trust+ 1,100 68 Ashford Hospitality Trust+ 900 11 Assurant (B) 17,431 1,036 Astoria Financial 400 11 AvalonBay Communities+ 7,171 935 Axis Capital Holdings (B) 14,600 578 Bank of America (B) 65,281 3,310 Bank of New York 4,400 178 Bankunited Financial, Cl A 1,700 39 BB&T 11,800 497 Bear Stearns 3,400 510 BlackRock 100 15 Boston Properties+ 2,857 330 Brandywine Realty Trust+ 3,800 121 BRE Properties, Cl A+ 2,000 126 Brookfield Asset Management, Cl A* 2,100 133 Camden Property Trust+ 400 30 Capital One Financial 140 11 CapitalSource+ 2,200 58 CB Richard Ellis Group, Cl A* 3,000 112 Cbot Holdings, Cl A* 500 98 Charles Schwab 1,700 38 Chicago Mercantile Exchange Holdings, Cl A 4,500 2,389 Chubb 8,200 450 CIT Group (B) 12,571 753 Citigroup (B) 92,052 5,016 Colonial BancGroup 1,300 33 Comerica (B) 13,400 842 Commerce Bancorp 800 28 Commerce Bancshares* 555 26 Compass Bancshares 1,900 133 Conseco* 7,542 149 Countrywide Financial (B) 22,900 892 Credicorp 2,800 163 Cullen/Frost Bankers 500 27 Duke Realty+ 2,600 104 E*Trade Financial* 5,392 129 Eaton Vance 7,600 334 Equity Residential+ 3,700 187 Erie Indemnity, Cl A 300 17 Essex Property Trust+ 1,000 127 Fannie Mae 3,807 243 Federal Realty Investment Trust+ 300 27 Fidelity National Financial, Cl A 457 13 First American (B) 10,022 537 First Cash Financial Services* 6,500 162 First Citizens BancShares, Cl A 104 20 -------------------------------------------------------------------------------- 34 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- First Horizon National 700 $ 28 First Marblehead 6,419 239 Forest City Enterprises, Cl A 2,600 182 Franklin Resources 5,300 719 Freddie Mac 1,100 73 General Growth Properties+ 5,600 331 Genworth Financial, Cl A 4,900 177 Goldman Sachs Group (B) 10,000 2,308 Hanover Insurance Group 1,700 83 Hartford Financial Services Group 1,750 181 Health Care Property Investors+ 5,500 180 Health Care+ 2,100 92 Hospitality Properties Trust+ 2,900 129 Host Hotels & Resorts+ 7,388 189 HRPT Properties Trust+ 5,000 57 Hudson City Bancorp 8,200 108 Huntington Bancshares 6,000 135 IndyMac Bancorp 200 7 IntercontinentalExchange* 22,500 3,261 iStar Financial+ 8,300 399 Janus Capital Group 10,400 288 JER Investors Trust+ 4,200 79 Jones Lang LaSalle (B) 8,031 937 JPMorgan Chase (B) 118,563 6,145 Keycorp 6,500 231 Kimco Realty+ 500 23 Lehman Brothers Holdings (B) 18,909 1,388 Lincoln National 1,100 80 Loews (B) 52,627 2,686 M&T Bank 1,500 166 Macerich+ 200 18 Mack-Cali Realty+ 1,300 63 Markel* 382 188 Marsh & McLennan 5,700 187 Marshall & Ilsley 1,700 82 MBIA 600 40 Mellon Financial 5,301 230 Merrill Lynch (B) 32,034 2,971 Metlife (B) 32,412 2,204 Moody's (B) 35,000 2,438 Morgan Stanley (B) 35,398 3,010 National City 8,300 287 Nationwide Financial Services, Cl A 1,400 87 New York Community Bancorp 3,200 56 Newcastle Investment+ 7,800 231 Northern Trust 2,500 163 Nuveen Investments, Cl A 900 49 Nymex Holdings 100 13 NYSE Euronext* 600 50 Old Republic International 4,100 89 Pacific Capital Bancorp 1,800 46 People's United Financial 5,630 114 Philadelphia Consolidated Holding* 1,600 66 PMI Group (B) 10,700 529 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- PNC Financial Services Group (B) 18,123 $ 1,337 Popular 7,600 131 Principal Financial Group 1,700 103 Progressive 3,700 85 Prologis+ 600 39 Prudential Financial 700 71 Public Storage+ 1,292 116 Radian Group 6,100 378 Raymond James Financial 2,502 83 Rayonier+ 11,679 525 Regency Centers+ 400 31 Regions Financial 10,544 376 Reinsurance Group of America 1,100 69 Safeco 9,200 577 Simon Property Group+ 200 22 SL Green Realty+ 2,049 287 SLM 681 38 Sovereign Bancorp 2,500 58 St. Joe 600 31 State Street 2,000 137 SunTrust Banks 1,500 134 Synovus Financial 1,600 53 T. Rowe Price Group 3,400 175 Taubman Centers+ 300 17 TCF Financial 600 17 Thornburg Mortgage+ (B) 7,400 205 Torchmark 3,000 210 Transatlantic Holdings 3,993 286 Travelers (B) 41,523 2,249 UDR+ 2,400 73 UnumProvident 1,300 35 US Bancorp 10,200 353 Valley National Bancorp 3,580 88 Ventas+ 3,500 148 Vornado Realty Trust+ 1,300 157 Wachovia (B) 15,635 847 Washington Mutual (B) 18,300 800 Weingarten Realty Investors+ 700 33 Wells Fargo (B) 56,779 2,049 Whitney Holding 300 9 Wilmington Trust 200 9 WR Berkley 5,654 186 Zions Bancorporation 600 48 -------------- 75,002 -------------- HEALTH CARE -- 11.9% Abbott Laboratories 4,300 242 Aetna (B) 24,900 1,318 Allergan 24,600 3,063 AmerisourceBergen (B) 36,228 1,856 Amgen* (B) 18,894 1,064 Applera - Applied Biosystems Group 18,300 520 Barr Pharmaceuticals* 300 16 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 35 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Bausch & Lomb* 600 $ 41 Baxter International 9,647 548 Beckman Coulter 4,200 275 Becton Dickinson (B) 8,600 656 Biogen Idec* 6,300 329 Biomet 1,100 48 Biovail* 18,000 437 Bristol-Myers Squibb 14,955 453 C.R. Bard 1,600 135 Cardinal Health (B) 36,639 2,655 Celgene* 8,800 539 Cephalon* 300 25 Cerner* 4,500 256 Charles River Laboratories International* (B) 8,600 457 Cigna (B) 8,412 1,410 Community Health Systems* 3,700 141 Conceptus* 2,800 52 Covance* 300 20 Cytyc* 400 17 Dade Behring Holdings 12,567 677 Dentsply International 900 32 Dionex* 200 14 Edwards Lifesciences* 600 30 Eli Lilly (B) 10,000 586 Express Scripts* (B) 9,500 970 Forest Laboratories* (B) 15,900 806 Genentech* 34,974 2,790 Genzyme* 5,300 342 Gilead Sciences* (B) 8,000 662 Haemonetics* 8,000 397 Health Net* (B) 20,284 1,158 Henry Schein* 3,295 176 Hillenbrand Industries 1,900 126 HLTH* 31,831 480 Humana* 11,900 738 ICU Medical* 5,700 229 Idexx Laboratories* 500 44 Immucor* 1,100 35 IMS Health 2,000 65 Integra LifeSciences Holdings* 1,600 82 Invitrogen* 5,900 427 Johnson & Johnson (B) 70,977 4,491 Kinetic Concepts* 1,900 95 King Pharmaceuticals* 5,500 117 Laboratory of America Holdings* 3,400 268 LifePoint Hospitals* 1,000 41 Manor Care 1,500 102 McKesson (B) 42,863 2,706 Medco Health Solutions* (B) 15,454 1,202 Medimmune* (B) 10,600 614 Medtronic 7,000 372 Merck (B) 20,900 1,096 Millennium Pharmaceuticals* 2,900 31 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Mylan Laboratories (B) 14,500 $ 287 OSI Pharmaceuticals* 900 34 PDL BioPharma* 600 16 PerkinElmer 4,600 122 Pfizer (B) 138,900 3,818 Quest Diagnostics 600 29 Resmed* 300 13 Respironics* 400 18 Schering-Plough 5,700 187 Sciele Pharma* 5,400 133 Sepracor* 300 15 St. Jude Medical* 1,000 43 STERIS 3,200 96 Stryker* 2,300 155 Tenet Healthcare* 3,605 25 Thermo Fisher Scientific* 4,500 246 Triad Hospitals* 200 11 UnitedHealth Group (B) 69,900 3,828 Universal Health Services, Cl B 900 56 VCA Antech* 3,000 119 Ventana Medical Systems* 1,400 72 Vertex Pharmaceuticals* 200 6 Waters* 6,600 398 WellCare Health Plans* 1,300 120 WellPoint* (B) 26,607 2,166 Wyeth (B) 14,085 815 Zimmer Holdings* 28,300 2,492 -------------- 53,894 -------------- INDUSTRIALS -- 8.8% 3M 2,200 193 Acuity Brands 10,000 607 AGCO* 3,500 151 Allied Waste Industries* 3,160 43 American Standard 1,400 84 AMR* 12,984 368 Applied Industrial Technologies 1,750 51 Avery Dennison 6,600 431 Avis Budget Group* 8,357 253 Boeing (B) 30,249 3,043 Brink's 1,200 79 Burlington Northern Santa Fe 6,000 559 C.H. Robinson Worldwide 2,100 114 Carlisle 6,100 269 Caterpillar (B) 11,100 872 Cenveo* 3,700 90 Chicago Bridge & Iron 7,900 308 Con-way 1,217 69 Continental Airlines, Cl B* 5,774 232 Copart* 1,600 50 Corporate Executive Board 100 7 Corrections of America* 2,300 149 Covanta Holding* 3,600 89 Crane 2,500 109 -------------------------------------------------------------------------------- 36 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CSX 2,200 $ 100 Cummins 8,319 784 Danaher 1,900 140 Deere 1,400 169 Diamond Management & Technology Consultants 900 12 Dover (B) 10,600 531 Dun & Bradstreet (B) 6,100 611 Eaton 4,000 375 Emerson Electric 9,100 441 Equifax 1,649 69 Expeditors International Washington 47,900 2,091 FedEx (B) 7,708 860 Gardner Denver* (B) 11,100 457 General Dynamics 2,800 225 General Electric (B) 88,300 3,318 Genlyte Group* 900 78 Goodman Global* 1,000 22 Graco (B) 1,400 56 Harsco 4,800 256 Hertz Global Holdings* 8,703 184 Honeywell International (B) 16,100 932 HUB Group, Cl A* 3,900 144 Illinois Tool Works 2,200 116 ITT 600 40 Jacobs Engineering Group* (B) 16,134 935 Kansas City Southern* 400 16 KBR* 1,395 38 L-3 Communications Holdings 700 67 Labor Ready* 6,400 154 Laidlaw International 600 21 Landstar System 1,100 53 Lennox International 9,851 337 Lincoln Electric Holdings 200 14 Lockheed Martin (B) 9,500 932 Manitowoc 1,900 144 Manpower 2,200 202 MSC Industrial Direct, Cl A (B) 8,300 445 Norfolk Southern (B) 7,500 434 Northrop Grumman (B) 26,895 2,034 Paccar 1,650 144 Pall 300 13 Parker Hannifin (B) 17,204 1,744 Pitney Bowes 800 38 Precision Castparts 1,900 227 Quanta Services* 15,900 477 Raytheon (B) 14,368 799 Robert Half International 300 11 Rockwell Automation 6,800 463 Rockwell Collins 500 35 Roper Industries 200 12 RR Donnelley & Sons (B) 17,621 755 Ryder System (B) 21,643 1,167 Shaw Group* 3,428 139 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Southwest Airlines 2,300 $ 33 SPX (B) 13,768 1,210 Stericycle* 5,300 483 Terex* 1,700 144 Timken 10,800 380 Trinity Industries 4,000 185 UAL* 2,500 98 Union Pacific 3,800 459 United Parcel Service, Cl B 37,800 2,720 United Rentals* 5,100 171 United Technologies 10,800 762 URS* 3,947 198 US Airways Group* 1,600 57 Waste Management (B) 13,000 503 WESCO International* 5,379 349 WW Grainger 1,000 88 -------------- 39,921 -------------- INFORMATION TECHNOLOGY -- 15.4% Activision* 4,500 89 Adobe Systems* 1,800 79 Advanced Energy Industries* 1,500 37 Agilent Technologies* (B) 12,992 496 Akamai Technologies* 6,200 274 Alliance Data Systems* 2,400 187 Amphenol, Cl A 3,800 136 Apple* 1,500 182 Applied Materials (B) 64,774 1,237 Arrow Electronics* (B) 38,192 1,568 Atmel* 11,404 64 Autodesk* 900 41 Automatic Data Processing 7,700 383 Avaya* 4,700 75 Avnet* (B) 25,599 1,097 BEA Systems* 8,100 104 BMC Software* (B) 17,300 573 Broadcom, Cl A* 300 9 Broadridge Financial Solutions* 875 18 CA 700 19 Cadence Design Systems* (B) 37,500 852 CDW 600 51 Ceridian* 2,200 78 Check Point Software Technologies* (B) 21,500 502 Checkfree* 3,524 138 Cisco Systems* (B) 92,100 2,479 Cognizant Technology Solutions, Cl A* 1,700 134 Computer Sciences* (B) 29,844 1,653 Compuware* 14,600 166 Convergys* 23,400 602 Dell* 700 19 Diebold 1,200 60 DST Systems* 2,600 218 eBay* (B) 100,600 3,276 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 37 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Electronic Arts* 700 $ 34 Electronic Data Systems (B) 48,282 1,391 EMC* (B) 38,900 657 Exar* 7,400 101 F5 Networks* 400 33 Factset Research Systems 4,100 262 Fair Isaac 2,200 83 Fairchild Semiconductor International* 5,381 99 Fidelity National Information Services 2,244 121 First Data 3,190 104 Fiserv* (B) 12,700 752 Google, Cl A* 8,179 4,071 Harris 1,100 55 Hewlett-Packard (B) 98,608 4,507 Ingram Micro, Cl A* (B) 51,905 1,075 Integrated Device Technology* 3,800 57 Intel 40,786 904 International Business Machines (B) 46,135 4,918 International Rectifier* 10,000 362 Intevac* 12,700 245 Intuit* (B) 95,900 2,925 Iron Mountain* 1,900 52 Jabil Circuit 11,418 263 Juniper Networks* 3,100 76 Kla-Tencor 400 22 L-1 Identity Solutions* 10,800 231 Lam Research* 9,579 514 Lexmark International, Cl A* 5,800 301 Linear Technology 400 14 LSI Logic* 12,096 105 Mastercard, Cl A 200 30 McAfee* 3,100 114 MEMC Electronic Materials* 900 55 Mettler Toledo International* 1,200 118 Micron Technology* 1,000 12 Microsoft (B) 144,200 4,423 Molex 1,800 54 Motorola 600 11 MPS Group* 7,700 106 NCR* 8,402 451 Network Appliance* (B) 16,600 534 Novatel Wireless* 1,900 44 Novellus Systems* 4,200 129 Nvidia* 12,221 424 Oracle* (B) 101,700 1,971 Paychex 54,600 2,206 PMC - Sierra* 36,500 281 QLogic* 1,300 22 Qualcomm (B) 95,500 4,102 Rambus* 3,300 62 Red Hat* 200 5 Research In Motion* 14,200 2,358 Salesforce.com* 2,300 109 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SanDisk* 38,200 $ 1,664 Seagate Technology 93,000 1,915 Silicon Image* 6,700 56 Silicon Laboratories* 12,200 422 SYKES Enterprises* 5,900 115 Symantec* 26,500 530 Synopsys* 3,500 93 Tech Data* (B) 25,751 949 Teradyne* 24,600 419 Texas Instruments 32,189 1,138 Trimble Navigation* 1,500 44 Unisys* 27,423 228 Valueclick* 15,700 492 VeriFone Holdings* 900 31 VeriSign* 500 15 Vishay Intertechnology* 31,442 560 Western Digital* 20,079 378 Western Union 69,821 1,567 Xerox* 15,710 296 Xilinx 11,700 333 -------------- 70,096 -------------- MATERIALS -- 3.4% Air Products & Chemicals 4,100 320 Albemarle 3,200 130 Alcan (B) 7,300 633 Alcoa (B) 15,700 648 Allegheny Technologies 1,400 162 Ashland 5,800 350 Ball 900 50 Bemis 2,200 74 Cabot 2,000 97 Carpenter Technology 100 13 Celanese, Ser A 3,743 136 Commercial Metals 2,500 88 Crown Holdings* (B) 32,641 814 Dow Chemical (B) 8,700 395 E.I. Du Pont de Nemours (B) 14,425 755 Eagle Materials 4,600 231 Eastman Chemical 600 40 Ecolab 5,800 250 Florida Rock Industries 200 13 FMC 1,279 107 Freeport-McMoRan Copper & Gold, Cl B 2,211 174 Gerdau Ameristeel* 10,400 163 Greif, Cl A 500 28 Headwaters* 700 14 Hecla Mining* 16,400 131 Huntsman 17,983 360 International Flavors & Fragrances 3,900 200 International Paper (B) 32,574 1,276 Lubrizol 500 33 Lyondell Chemical 3,800 141 -------------------------------------------------------------------------------- 38 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Methanex 11,500 $ 298 Monsanto 400 25 Mosaic* 14,400 506 Myers Industries 500 11 Nalco Holding 600 16 Nova Chemicals 11,600 413 Nucor (B) 6,000 405 Owens-Illinois (B) 29,628 1,007 Packaging of America 100 2 Pactiv* 5,500 187 PPG Industries 600 46 Praxair 35,300 2,403 Rohm & Haas 3,800 201 Scotts Miracle-Gro, Cl A 400 18 Sealed Air 800 26 Sigma-Aldrich 1,200 52 Smurfit-Stone Container* 31,950 413 Sonoco Products 2,500 108 Southern Copper (B) 7,800 692 Steel Dynamics 7,200 338 Titanium Metals* 1,297 45 United States Steel 400 45 Vulcan Materials (B) 4,769 571 -------------- 15,654 -------------- TELECOMMUNICATION SERVICES -- 2.7% Alltel 6,134 420 American Tower, Cl A* 2,300 99 AT&T (B) 94,592 3,911 Bell Aliant Regional Communications Income Fund (Canada)* 254 8 CenturyTel (B) 16,900 835 Citizens Communications 10,000 159 Crown Castle International* 2,100 77 Embarq 9,393 604 Leap Wireless International* 1,500 128 NII Holdings* 2,064 168 Qwest Communications International* (B) 67,609 696 Rogers Communications, Cl B* (B) 14,900 618 Sprint Nextel 8,500 194 Telephone & Data Systems 8,000 495 US Cellular* (B) 23,649 1,877 Verizon Communications (B) 40,078 1,745 Windstream 21,450 322 -------------- 12,356 -------------- UTILITIES -- 3.0% AES* 4,513 107 Allegheny Energy* 1,800 96 Allete 200 10 Alliant Energy 3,200 138 Ameren 3,800 202 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- American Electric Power 8,600 $ 410 Atmos Energy 3,400 110 Centerpoint Energy 10,900 206 CMS Energy 23,590 431 Consolidated Edison 6,800 332 Constellation Energy Group 800 73 Dominion Resources 1,500 133 DTE Energy 1,700 90 Duke Energy 724 14 Dynegy* 3,500 34 Edison International (B) 12,300 717 Energen (B) 14,200 837 Energy East 21,300 515 Entergy 1,900 215 Equitable Resources 3,600 187 Exelon 1,100 86 FirstEnergy (B) 15,100 1,045 FPL Group 4,800 307 Great Plains Energy 3,100 96 Integrys Energy Group 300 17 KeySpan 4,610 192 MDU Resources Group 1,450 44 Mirant* (B) 11,400 529 National Fuel Gas 2,500 114 NiSource 9,100 202 Northeast Utilities 13,614 414 NRG Energy* (B) 6,300 554 NSTAR 4,600 160 OGE Energy 4,100 151 Oneok 4,000 216 Pepco Holdings 900 27 PG&E (B) 29,561 1,456 Pinnacle West Capital 4,400 204 PPL 2,600 119 Progress Energy 7,600 381 Public Service Enterprise Group 6,256 556 Puget Energy 4,700 118 Questar 500 54 Reliant Energy* 10,681 274 SCANA 1,500 64 Sempra Energy 2,400 147 Southern 3,900 140 TXU 5,740 387 UGI 8,600 248 Vectren 1,100 32 Wisconsin Energy 700 34 Xcel Energy 14,801 340 -------------- 13,565 -------------- Total Common Stock (Cost $359,249) ($ Thousands) 407,400 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 39 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 13.1% MORTGAGE RELATED SECURITIES -- 13.1% Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 (D) 8.070%, 06/12/07 $ 40 $ 34 Ace Securities, Ser 2003-OP1, Cl M1 (D) 6.020%, 06/26/07 250 251 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (D) 5.350%, 06/25/07 862 865 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (D) 5.100%, 06/25/07 256 253 Argent Securities, Ser 2003-W9, Cl M1 (D) 6.010%, 06/26/07 215 216 Bear Stearns Asset-Backed Securities, Ser 2007-AQ2, Cl A1 (D) 5.420%, 06/30/07 789 789 Bear Stearns Asset-Backed Securities, Ser 2007-HE3, Cl 1A1 (D) 5.440%, 06/30/07 752 752 Bear Stearns Asset-Backed Securities, Ser 2007-HE4, Cl 1A1 (D) 5.440%, 06/30/07 909 909 Bear Stearns Mortgage Funding Trust, Ser 2006-SL5, Cl 1A (D) 5.470%, 06/26/07 498 496 Carrington Mortgage Loan Trust, Ser 2007-FRE1, Cl A1 (D) 5.440%, 06/25/07 806 806 Citigroup Mortgage Loan Trust, Ser 2006-FX1, Cl A1 (D) 5.420%, 06/30/07 196 196 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 (D) 4.975%, 06/01/07 158 160 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (D) 6.470%, 06/27/07 30 30 Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 3A (D) 5.550%, 06/27/07 139 139 Countrywide Asset-Backed Certificates, Ser 2005-7, Cl MV8 (D) 6.770%, 06/27/07 50 49 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 (D) 5.549%, 08/25/21 267 266 Countrywide Asset-Backed Certificates, Ser 2066-S9, Cl A1 (D) 5.420%, 06/25/07 1,100 1,100 Countrywide Home Equity Loan Trust, Ser 2006-D, Cl 2A (D) 5.520%, 06/30/07 183 183 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Home Loans, Ser 2006-OA5, Cl 1M4 (D) 6.370%, 06/27/07 $ 50 $ 49 Countrywide Home Loans, Ser 2007-HYB1, Cl 1A1 (D) 5.581%, 06/01/07 844 842 Credit Suisse Asset-Backed Mortgage Trust, Ser 2007-1, Cl 1A1A (D) 5.898%, 12/25/37 1,512 1,511 Credit-Based Asset Servicing, Ser 2007-CB3, Cl A1 (F) 5.766%, 03/25/37 1,409 1,405 Credit-Based Asset Servicing, Ser 2007-CB4, Cl A1A (D) 5.410%, 06/27/07 736 736 Credit-Based Asset Servicing, Ser 2007-CB4, Cl A2A (F) 5.844%, 04/25/37 797 796 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M4 (D) 6.060%, 06/19/07 49 48 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M5 (D) 6.130%, 06/19/07 30 29 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M7 (D) 7.070%, 06/19/07 30 29 DSLA Mortgage Loan Trust, Ser 2006-AR2, Cl M4 (D) 5.920%, 06/19/07 60 59 FBR Securitization Trust, Ser 2005-4, Cl M11 (D) 7.320%, 06/27/07 25 22 First Franklin Mortgage Loan, Ser 2003-FF5, Cl M6 (D) 8.820%, 06/25/07 3 2 First Franklin Mortgage Loan, Ser 2005-FF4, Cl 2A3 (D) 5.540%, 06/25/07 176 176 First Franklin Mortgage Loan, Ser 2006-FF14, Cl A2 (D) 5.380%, 06/25/07 902 902 First Franklin Mortgage Loan, Ser 2006-FFA, Cl A3 (D) 5.440%, 06/25/07 1,080 1,080 First Franklin Mortgage Loan, Ser 2006-FFB, Cl A2 (D) 5.450%, 06/26/07 404 404 First Horizon Alternative Mortgage Trust, Ser 2006-AA6, Cl 2A1 (D) 5.686%, 06/01/07 767 766 First Horizon Asset Securities, Ser 2006-AR1, Cl 2A1 (D) 5.869%, 06/01/07 2,065 2,078 -------------------------------------------------------------------------------- 40 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GMAC Mortgage Loan Trust, Ser 2006-HE1, Cl A (D) 5.530%, 06/25/07 $ 500 $ 500 GS Mortgage Securities, Ser 2006-GG6, Cl AM (D) 5.622%, 04/10/38 500 498 GSAMP Trust, Ser 2007-HE2, Cl A2A (D) 5.440%, 06/20/07 934 935 Harborview Mortgage Loan Trust, Ser 2004-7, Cl 2A1 (D) 3.409%, 06/01/07 1,003 1,015 Hasco NIM Trust, Ser 2006-OP2A, Cl A (E) 5.856%, 01/26/36 2 2 Holmes Financing, Ser 2006-10A, Cl 1C (D) (E) 5.626%, 07/16/07 100 100 Home Equity Asset Trust, Ser 2003-4, Cl M2 (D) 7.220%, 06/25/07 50 50 Home Equity Asset Trust, Ser 2005-9N, Cl A (E) 6.500%, 05/27/36 25 18 Home Equity Asset Trust, Ser 2006-1N, Cl 1A (E) 6.500%, 05/27/36 13 10 Home Equity Asset Trust, Ser 2006-4, Cl 2A1 (D) 5.380%, 06/01/07 613 613 Home Equity Mortgage Trust, Ser 2006-5, Cl A1 (F) 5.500%, 01/25/37 1,391 1,389 Home Equity Mortgage Trust, Ser 2007-2, Cl 2A1A (D) 5.470%, 06/30/07 1,144 1,144 Impac CMB Trust, Ser 2004-10, Cl 4M1 (D) 5.920%, 03/25/35 49 49 Impac Secured Assets CMO Owners Trust, Ser 2006-3, Cl A4 (D) 5.410%, 06/27/07 374 374 Impac Secured Assets CMO Owners Trust, Ser 2006-4, Cl A2A (D) 5.400%, 06/16/07 821 821 Impac Secured Assets CMO Owners Trust, Ser 2006-5, Cl 1A1A (D) 5.430%, 06/21/07 1,429 1,429 Impac Secured Assets CMO Owners Trust, Ser 2007-1, Cl A1 (D) 5.380%, 06/25/07 2,065 2,064 Impac Secured Assets CMO Owners Trust, Ser 2007-2, Cl 1A1A (D) 5.430%, 05/25/37 1,136 1,136 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Impac Secured Assets CMO Owners Trust, Ser 2007-3, Cl 1A1A (D) 5.430%, 06/30/07 $ 1,103 $ 1,103 Indymac Index Mortgage Loan Trust, Ser 2006-AR11, Cl 4A1 (D) 5.807%, 06/01/07 627 626 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M1 (D) 5.770%, 06/27/07 250 251 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M6 (D) 7.070%, 04/25/46 42 40 Indymac Index Mortgage Loan Trust, Ser 2006-AR4, Cl M4 (D) 6.020%, 06/25/07 30 29 Indymac Index Mortgage Loan Trust, Ser 2006-AR6, Cl M7 (D) 6.870%, 06/25/07 40 38 Indymac Index Mortgage Loan Trust, Ser 2006-AR8, Cl M5 (D) 5.870%, 06/26/07 50 49 JP Morgan Mortgage Acquisition, Ser 2006-RM1, Cl A2 (D) 5.400%, 06/27/07 185 185 JP Morgan Mortgage Acquisition, Ser 2006-WF1, Cl A1B (D) 5.420%, 06/30/07 415 415 Lehman XS Trust, Ser 2005-5N, Cl M3 (D) 6.320%, 06/25/07 70 69 Lehman XS Trust, Ser 2005-7N, Cl M3II (D) 6.470%, 06/27/07 50 50 Lehman XS Trust, Ser 2006-10N, Cl 1M5 (D) 5.850%, 07/25/46 48 47 Lehman XS Trust, Ser 2006-11, Cl M10 (D) 7.320%, 06/25/07 35 28 Lehman XS Trust, Ser 2006-12N, Cl M4 (D) 5.870%, 06/25/07 45 45 Lehman XS Trust, Ser 2006-12N, Cl M5 (D) 5.920%, 06/25/07 25 24 Lehman XS Trust, Ser 2006-19, Cl A1 (D) 5.420%, 06/25/07 497 498 Lehman XS Trust, Ser 2006-20, Cl A1 (D) 5.420%, 06/25/07 1,358 1,358 Long Beach Asset Holdings, Ser 2006-2, Cl N1 (E) 5.780%, 04/25/46 7 5 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 41 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Master Asset-Backed Securities Trust, Ser 2006-AB1, Cl A1 (D) 5.460%, 06/27/07 $ 116 $ 117 Merrill Lynch Mortgage Investors, Ser 2003-HE1, M2 (D) 6.970%, 06/25/07 23 23 Merrill Lynch Mortgage Investors, Ser 2005-A4, Cl 1A (D) 4.775%, 06/01/07 319 321 Merrill Lynch Mortgage Investors, Ser 2005-A8, Cl A1B1 (D) 5.250%, 06/25/07 210 209 Merrill Lynch Mortgage Investors, Ser 2006-MLN1, Cl A2A (D) 5.390%, 06/29/07 439 439 Merrill Lynch Mortgage Investors, Ser 2006-RM4, Cl A2A (D) 5.400%, 06/27/07 458 458 Merrill Lynch Mortgage Investors, Ser 2007-HE2, Cl A2A (D) 5.440%, 06/30/07 904 904 Merrill Lynch Mortgage Investors, Ser 2007-MLN1, Cl A2A (D) 5.430%, 06/26/07 1,591 1,591 Merrill Lynch Mortgage Investors, Ser 2007-SL1, Cl A1A (D) 5.620%, 06/11/07 774 774 Morgan Stanley Dean Witter Capital I, Ser 2002-AM3, Cl M1 (D) 6.270%, 06/25/07 417 417 National Collegiate Student Loan Trust, Ser 2003-3, Cl C (D) 5.790%, 06/28/07 200 200 National Collegiate Student Loan Trust, Ser 2004-2, Cl C (D) 6.120%, 06/25/07 250 257 New Century Home Equity Loan Trust, Ser 2003-B, Cl M1 (D) 5.970%, 06/27/07 87 87 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 (F) 4.461%, 06/25/07 110 109 Nomura Asset Acceptance, Ser 2007-1, Cl 1A1A (F) 5.995%, 06/09/07 771 771 Nomura Home Equity Loan, Ser 2007-3, Cl 2A1 (D) 5.460%, 06/30/07 1,267 1,267 Novastar Home Equity Loan, Ser 2007-1, Cl A2A (D) 5.420%, 06/30/07 1,425 1,425 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (D) 5.970%, 06/23/07 93 93 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 (D) 5.440%, 06/26/07 $ 954 $ 954 Ownit Mortgage Loan Asset-Backed Securities Trust, Ser 2006-4, Cl A2S (D) 5.350%, 06/26/07 745 745 Park Place Securities, Ser 2005-WHQ2, Cl A2C (D) 5.550%, 06/28/07 222 222 RAAC, Ser 2006-SP4, Cl A1 (D) 5.420%, 06/06/07 572 572 RAAC, Ser 2007-SP1, Cl A1 (D) 5.450%, 06/10/07 1,119 1,119 Residential Asset Mortgage Products, Ser 2006-RZ4, Cl A1 (D) 5.410%, 06/25/07 403 403 Residential Asset Mortgage Products, Ser 2007-RS1, Cl A1 5.400%, 06/09/07 682 682 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (D) 5.275%, 06/25/07 372 370 Residential Funding Mortgage Securities, Ser 2006-HI5, Cl A1 (D) 5.420%, 06/25/07 587 587 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (D) (E) 5.420%, 06/25/07 597 597 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (D) (E) 5.470%, 06/25/07 100 100 SB Finance NIM Trust, Ser 2005-HE3, Cl N1 (E) 4.750%, 09/25/35 11 11 SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (E) 7.500%, 06/25/36 12 12 Saco I Trust, Ser 2005-10, Cl 2A1 (D) 5.580%, 06/30/07 610 610 Sail NIM Notes, Ser 2006-BC1A, Cl A (E) 7.000%, 03/27/36 37 6 Soundview Home Equity Loan Trust, Ser 2006-OPT5, Cl M1 (D) 5.570%, 06/19/07 1,000 999 Structured Asset Investment Loan, Ser 2003-BC4, Cl M2 8.320%, 06/25/07 93 93 Structured Asset Securities, Ser 2006-GEL4, Cl A1 (D) (E) 5.440%, 06/27/07 735 733 Structured Asset Securities, Ser 2007-GEL2, Cl A1 (D) (E) 5.470%, 06/25/07 1,496 1,496 -------------------------------------------------------------------------------- 42 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/shares ($ Thousands) -------------------------------------------------------------------------------- Terwin Mortgage Trust, Ser 2006-17HE, Cl A2A (D) (E) 5.400%, 06/25/07 $ 855 $ 854 Terwin Mortgage Trust, Ser 2006-2HGS, Cl B1 (D) (E) 6.100%, 06/25/07 35 6 Terwin Mortgage Trust, Ser 2006-6, Cl A1 (D) 4.500%, 07/25/37 140 139 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY2, Cl 1A1 (D) 5.776%, 04/25/37 781 783 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY4, Cl 1A1 (D) 5.575%, 06/01/07 962 953 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY6, Cl 1A1 (D) 5.707%, 06/25/37 1,600 1,600 -------------- Total Asset-Backed Securities (Cost $59,624) ($ Thousands) 59,543 -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.1% FHLMC TBA 6.000%, 11/01/21 972 982 FNMA ARM 5.568%, 05/01/36 262 263 FNMA TBA 6.500%, 06/01/37 7,000 7,109 6.000%, 06/17/19 1,000 1,010 5.500%, 01/01/21 896 889 5.500%, 02/01/21 925 918 5.500%, 06/01/22 8,000 7,937 5.000%, 06/17/21 3,100 3,022 GNMA ARM 5.500%, 01/20/34 365 367 5.500%, 12/20/35 171 173 5.500%, 01/20/36 190 192 5.000%, 08/20/36 228 229 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $23,207) ($ Thousands) 23,091 -------------- CASH EQUIVALENT -- 2.9% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 13,302,140 13,302 -------------- Total Cash Equivalent (Cost $13,302) ($ Thousands) 13,302 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.1% FHLMC (A) (C) 5.249%, 11/09/07 $ 1,450 $ 1,417 5.193%, 07/02/07 75 75 FHLMC (C) 5.233%, 07/16/07 50 50 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 2,205 556 FNMA (A) (C) 5.204%, 06/27/07 1,700 1,694 5.200%, 06/06/07 50 50 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 3,062 777 FNMA CMO STRIPS, Ser 377, Cl 2, IO 5.000%, 10/01/36 577 150 -------------- Total U.S. Government Agency Obligations (Cost $4,704) ($ Thousands) 4,769 -------------- CORPORATE OBLIGATIONS -- 0.4% CONSUMER DISCRETIONARY -- 0.1% COX Communications 4.625%, 06/01/13 40 38 CVS Caremark 5.750%, 06/01/17 70 69 Comcast 5.300%, 01/15/14 50 49 Time Warner 6.875%, 05/01/12 40 42 -------------- 198 -------------- ENERGY -- 0.0% Kinder Morgan Energy Partners 5.000%, 12/15/13 40 38 -------------- FINANCIALS -- 0.3% Bear Stearns 5.350%, 02/01/12 135 134 CIT Group 5.000%, 02/13/14 55 52 Capmark Financial Group (E) 6.300%, 05/10/17 18 18 5.875%, 05/10/12 35 35 Credit Suisse First Boston USA 6.500%, 01/15/12 25 26 Genworth Financial 5.750%, 06/15/14 40 40 Goldman Sachs Group 5.500%, 11/15/14 80 79 Household Finance 6.375%, 10/15/11 40 41 JPMorgan Chase 5.125%, 09/15/14 40 39 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 43 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers Holdings MTN 5.750%, 05/17/13 $ 15 $ 15 5.500%, 04/04/16 25 25 5.250%, 02/06/12 65 64 Morgan Stanley (D) 4.750%, 04/01/14 40 38 Morgan Stanley MTN, Ser G (D) 5.650%, 07/04/07 130 130 Residential Capital 6.500%, 04/17/13 75 74 Simon Property Group+ 5.600%, 09/01/11 35 35 Simon Property Group+ 5.750%, 12/01/15 25 25 Wachovia 5.300%, 10/15/11 170 169 4.875%, 02/15/14 25 24 Washington Mutual Preferred Funding (D) (E) 6.534%, 03/15/49 215 210 istar Financial, Ser 1+ 5.875%, 03/15/16 25 24 -------------- 1,297 -------------- HEALTH CARE -- 0.0% Aetna 5.750%, 06/15/11 40 41 Teva Pharmaceutical Finance LLC 5.550%, 02/01/16 40 39 Wellpoint 6.800%, 08/01/12 25 26 -------------- 106 -------------- INDUSTRIALS -- 0.0% Lafarge 6.150%, 07/15/11 25 25 US Steel 5.650%, 06/01/13 35 35 -------------- 60 -------------- TELECOMMUNICATION SERVICES -- 0.0% Vodafone Group PLC 5.625%, 02/27/17 75 73 5.350%, 02/27/12 25 25 -------------- 98 -------------- UTILITIES -- 0.0% Dominion Resources 4.750%, 12/15/10 25 24 Exelon Generation 6.950%, 06/15/11 40 42 -------------- 66 -------------- Total Corporate Obligations (Cost $1,857) ($ Thousands) 1,863 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/shares ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 0.3% U.S. Treasury Bills (A) (C) 4.814%, 08/23/07 $ 185 $ 183 4.747%, 07/05/07 200 199 U.S. Treasury Bond 2.375%, 04/15/11 931 926 -------------- Total U.S. Treasury Obligations (Cost $1,312) ($ Thousands) 1,308 -------------- COMMERCIAL PAPER (C) -- 0.2% FINANCIALS -- 0.2% Meridian Funding 5.320%, 06/01/07 800 800 -------------- Total Commercial Paper (Cost $800) ($ Thousands) 800 -------------- Total Investments -- 112.8% (Cost $464,055) ($ Thousands) $ 512,076 ============== COMMON STOCK SOLD SHORT -- (11.5)% CONSUMER DISCRETIONARY -- (3.5)% Advance Auto Parts (9,000) (373) Amazon.com* (6,900) (477) Apollo Group, Cl A* (3,991) (191) Barnes & Noble (8,800) (376) Career Education* (19,564) (682) Circuit City Stores (18,600) (299) Coldwater Creek* (14,700) (365) Corinthian Colleges* (17,700) (259) CVS Caremark (1,400) (54) Discovery Holding, Cl A* (51,133) (1,196) Dreamworks Animation SKG, Cl A* (11,066) (331) Eastman Kodak (7,500) (190) Gentex (75,167) (1,334) H&R Block (19,000) (450) Hilton Hotels (7,000) (249) International Game Technology (9,314) (374) International Speedway, Cl A (546) (29) Las Vegas Sands* (10,100) (788) Liberty Media Holding-Capital, Ser A* (11,390) (1,286) MDC Holdings (22,292) (1,211) News, Cl A (5,500) (122) Penn National Gaming* (3,800) (203) Pulte Homes (22,500) (614) Quiksilver* (26,700) (377) R.H. Donnelley (11,121) (867) Sally Beauty Holdings (25,600) (235) Scientific Games, Cl A* (25,900) (967) Standard-Pacific (43,588) (929) Tiffany (5,372) (282) Tractor Supply* (1,424) (76) -------------------------------------------------------------------------------- 44 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Urban Outfitters* (225) $ (6) Warner Music Group (28,000) (471) XM Satellite Radio Holdings, Cl A* (25,600) (296) -------------- (15,959) -------------- CONSUMER STAPLES -- (0.1)% Hansen Natural* (3,900) (155) Whole Foods Market (4,570) (188) -------------- (343) -------------- ENERGY -- (1.7)% Arch Coal (14,011) (566) Cameco (13,200) (686) CNX Gas Corp* (12,300) (362) Consol Energy (800) (39) Diamond Offshore Drilling (1,100) (104) Enbridge (13,200) (470) Foundation Coal Holdings (2,789) (123) Peabody Energy (11,357) (614) Pioneer Natural Resources (1,802) (93) Pogo Producing (20,651) (1,116) Quicksilver Resources* (39,041) (1,737) Rowan (11,000) (434) Smith International (3,000) (166) Spectra Energy (21,052) (561) Tetra Technologies* (15,000) (419) W&T Offshore (13,800) (406) -------------- (7,896) -------------- FINANCIALS -- (1.2)% Affiliated Managers Group* (300) (39) Camden Property Trust+ (3,600) (269) Capitol Federal Financial (11,000) (423) Douglas Emmett+ (7,935) (209) East West Bancorp (562) (23) Fidelity National Financial, Cl A (4,300) (121) Hudson City Bancorp (110,172) (1,453) Leucadia National (32,166) (1,153) Marsh & McLennan (1,500) (49) Nasdaq Stock Market* (8,800) (293) Peoples United Financial (21,420) (432) T. Rowe Price Group (1,500) (77) Valley National Bancorp (31,682) (776) -------------- (5,317) -------------- HEALTH CARE -- (1.6)% Advanced Medical Optics (9,700) (341) Affymetrix* (11,300) (294) Amylin Pharmaceuticals* (4,256) (197) Boston Scientific* (2,094) (33) Brookdale Senior Living (18,913) (893) Cooper (12,699) (700) -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Endo Pharmaceuticals Holdings* (9,100) $ (321) Omnicare (17,100) (640) Patterson* (2,200) (83) Pharmaceutical Product Development (22,336) (815) Qiagen* (6,800) (118) Resmed* (16,600) (748) Respironics* (8,800) (389) Tenet Healthcare* (92,700) (644) Thermo Fisher Scientific* (5,700) (311) Vertex Pharmaceuticals* (26,530) (792) -------------- (7,319) -------------- INDUSTRIALS -- (1.0)% Avis Budget Group (2,800) (85) Corporate Executive Board (11,790) (784) Covanta Holding* (6,200) (154) Expeditors International Washington (7,400) (323) Fastenal (5,266) (228) Joy Global (3,900) (221) Kirby* (4,900) (196) Oshkosh Truck (6,200) (382) Southwest Airlines (64,097) (917) Spirit Aerosystems Holdings, Cl A* (12,300) (429) Steelcase, Cl A (8,500) (165) Stericycle* (3,680) (336) UTi Worldwide (14,500) (406) -------------- (4,626) -------------- INFORMATION TECHNOLOGY -- (1.9)% Advanced Micro Devices* (26,931) (384) Automatic Data Processing (1,489) (74) Avid Technology* (7,700) (263) CACI International, Cl A* (1,400) (72) Ceridian* (11,000) (389) Equinix* (4,200) (367) F5 Networks* (2,005) (163) Fair Isaac (9,170) (347) Global Payments (2,585) (104) Intersil, Cl A (15,739) (474) Juniper Networks* (14,316) (349) Linear Technology (4,803) (172) LSI Logic* (41,100) (357) Mastercard, Cl A (40) (6) MEMIC Electronic Materials* (5,900) (359) Micron Technology (27,600) (336) Novell* (23,100) (181) Paychex (27,752) (1,121) PMC-Sierra* (426) (3) QLogic* (23,743) (405) Rambus* (5,511) (104) Red Hat* (9,100) (223) Salesforce.com* (16,419) (776) -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 45 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SanDisk* (11,045) $ (481) SAVVIS* (9,200) (462) Silicon Laboratories* (18,879) (654) -------------- (8,626) -------------- MATERIALS -- (0.3)% Ivanhoe Mines* (40,700) (578) Mosaic (19,100) (671) -------------- (1,249) -------------- TELECOMMUNICATION SERVICES -- (0.2)% Crown Castle International* (347) (13) Level 3 Communications* (15,207) (89) NII Holdings, Cl B* (3,500) (285) SBA Communications, Cl A* (5,226) (168) Windstream (9,863) (148) -------------- (703) -------------- UTILITIES -- 0.0% Aqua America (9,900) (226) -------------- Total Common Stock Sold Short (Proceeds $(49,046)) ($ Thousands) $ (52,264) -------------- A summary of the open futures contracts held by the Fund at May 31, 2007, is as follows (See Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- 90-Day Euro$ (12) Mar-2008 $ 10 90-Day Euro$ (2) Mar-2009 2 90-Day Euro$ (7) Mar-2010 4 90-Day Euro$ (8) Mar-2011 4 90-Day Euro$ (1) Mar-2012 1 90-Day Euro$ (11) Jun-2007 8 90-Day Euro$ 6 Jun-2008 (3) 90-Day Euro$ 24 Jun-2009 (20) 90-Day Euro$ (38) Jun-2010 27 90-Day Euro$ (3) Jun-2011 3 90-Day Euro$ (9) Sep-2007 7 90-Day Euro$ (6) Sep-2008 7 90-Day Euro$ 24 Sep-2009 (20) 90-Day Euro$ (7) Sep-2010 4 90-Day Euro$ (3) Sep-2011 3 90-Day Euro$ (36) Dec-2007 21 90-Day Euro$ (17) Dec-2008 14 90-Day Euro$ (7) Dec-2009 4 90-Day Euro$ (7) Dec-2010 4 90-Day Euro$ (1) Dec-2011 1 S&P 500 Index 252 Jun-2007 6,476 U.S. 2 Year Treasury Note 2 Sep-2007 (1) U.S. 5 Year Treasury Note (30) Sep-2007 4 U.S. 10 Year Treasury Note 20 Sep-2007 (11) U.S. Long Treasury Bond 4 Sep-2007 (1) -------------- $ 6,548 ============== A summary of outstanding swap agreements held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements):
---------------------------------------------------------------------------------------------------------------------- TOTAL RETURN SWAPS ---------------------------------------------------------------------------------------------------------------------- NOTIONAL UNREALIZED EXPIRATION AMOUNT APPRECIATION DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ---------------------------------------------------------------------------------------------------------------------- Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 8 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. (Counterparty: Bank of America) 09/30/07 5,000 $ 8 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 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. (Counterparty: Bank of America) 08/01/07 7,500 37 Receive payment on the monthly reset spread from Banc of America - CMBS IG 10Yr Index plus 20 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. (Counterparty: Bank of America) 10/31/07 3,000 (5) Receive payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5 Plus Index minus 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. (Counterparty: Wachovia) 06/30/07 5,000 2 Receive payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5 Plus Index plus 12 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. (Counterparty: Merrill Lynch) 09/30/07 5,000 3 -------------- $ 45 ==============
---------------------------------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS ---------------------------------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ---------------------------------------------------------------------------------------------------------------------- Fund receives monthly payment of 0.4400% (5.280% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 05/25/46 6,000 $ (18) Fund pays quarterly payment of 0.3200% (1.280% per annum) times the notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 03/20/14 200 1 Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 250 1 Fund pays quarterly payment of 0.4400% (1.760% per annum) times the notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 (2) Fund pays quarterly payment of 0.5500% (2.200% per annum) times the notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 (1)
-------------------------------------------------------------------------------- 46 SEI Institutional Investments Trust / Annual Report / May 31, 2007
---------------------------------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ---------------------------------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.2000% (0.800% per annum) times the notional amount of Campbell Soup Co., 4.875%, 10/01/13. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 06/20/14 350 $ (1) Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 4,600 32 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 300 1 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 200 -- Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 250 -- Fund pays quarterly payment of 0.4450% (1.780% per annum) times the notional amount of Darden Restaurants, Inc., 7.125%, 02/01/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 (1) Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 250 (2) Fund pays quarterly payment of 0.4250% (1.700% per annum) times the notional amount of Eastman Chemical Co., 7.600%, 02/01/27. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 (1) Fund pays quarterly payment of 1.1800% (4.720% per annum) times the notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 -- Fund pays quarterly payment of 0.3700% (1.480% per annum) times the notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 250 -- Fund pays quarterly payment of 0.4750% (1.900% per annum) times the notional amount of The Limited, Inc., 6.125%, 12/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 (1) Fund pays quarterly payment of 0.7300% (2.920% per annum) times the notional amount of Masco Corp., 5.875%, 07/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 250 (2) Fund pays quarterly payment of 0.4750% (1.900% per annum) times the notional amount of MeadWestvaco, 6.850%, 04/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 (1) Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of MGIC Investment Corp., 6.000%, 03/15/07. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 250 --
---------------------------------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ---------------------------------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.2200% (0.880% per annum) times the notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 $ 1 Fund pays quarterly payment of 0.1400% (0.560% per annum) times the notional amount of Pitney Bowes, Inc., 4.625%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 500 1 Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 250 2 Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 250 2 Fund pays quarterly payment of 0.1900% (0.760% per annum) times the notional amount of TJX Cos, Inc., 7.450%, 12/15/09. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 (1) Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 250 -- Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 07/25/45 625 3 Fund receives monthly payment of 0.6400% (7.680% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 500 2 Fund pays quarterly payment of 0.3400% (1.360% per annum) times the notional amount of Agrium, Inc., 8.250%, 02/15/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 2 Fund pays quarterly payment of 0.4600% (1.840% per annum) times the notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 -- Fund pays quarterly payment of 0.5500% (2.200% per annum) times the notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 -- Fund pays quarterly payment of 0.2150% (0.860% per annum) times the notional amount of Carnival Corp., 6.650%, 01/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 06/20/12 200 -- Fund pays quarterly payment of 0.2600% (1.040% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 250 1
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 47 SCHEDULE OF INVESTMENTS Large Cap Diversified Alpha Fund (Concluded) May 31, 2007
------------------------------------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------------------------------------- Fund pays quarterly payment of 1.1800% (4.720% per annum) times the notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 $ 1 Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Hasbro, Inc., 2.750%, 12/01/21. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 (2) Fund pays quarterly payment of 0.7700% (3.080% per annum) times the notional amount of Jones Apparel Group, Inc., 5.125%, 11/15/14. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 (4) Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Lubrizol Corp., 7.250%,06/15/35. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 (1) Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of MGIC Investment Corp., 6.000%, 11/01/15. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 250 3 Fund pays quarterly payment of 0.2800% (1.120% per annum) times the notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 250 (1) Fund pays quarterly payment of 0.2200% (0.880% per annum) times the notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 1 Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 250 (1) Fund pays quarterly payment of 0.2000% (0.800% per annum) times the notional amount of PPG Industries, Inc., 7.050%, 08/15/09. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 (1) Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 250 (1) Fund pays quarterly payment of 0.2700% (1.080% per annum) times the notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 -- Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 07/25/45 500 2 Fund receives monthly payment of 0.6400% (7.680% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 500 (2)
------------------------------------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------------------------------------- Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 200 $ 1 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG., Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,250 9 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 4,600 32 Fund pays quarterly payment of 0.4400% (1.760% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 500 (5) Fund pays quarterly payment of 0.2500% (1.000% per annum) times the notional amount of Dow Chemical Co., 6.000%,10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 250 1 Fund pays quarterly payment of 0.1300% (0.520% per annum) times the notional amount of Lowe's Cos., 8.250%, 06/01/10. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 250 -- Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 250 (2) Fund pays quarterly payment of 0.9000% (3.600% per annum) times the notional amount of MDC Holdings, Inc., 5.500%, 05/15/13. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 250 (4) Fund pays quarterly payment of 0.2800% (1.120% per annum) times the notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 250 -- Fund pays quarterly payment of 0.6900% (2.760% per annum) times the notional amount of RR Donnelly & Sons Co., 4.950%, 04/01/14. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 250 1 Fund pays quarterly payment of 0.2700% (1.080% per annum) times the notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 250 -- Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 03/20/12 250 (1) Fund pays quarterly payment of 0.3380% (1.352% per annum) times the notional amount of Whirlpool Corp., 7.750%, 07/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 250 -- ------------- $ 44 =============
-------------------------------------------------------------------------------- 48 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $453,954 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 2007. + Real Estate Investments Trust ++ Affiliated security (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. (B) All or a portion of this security is held as collateral for securities sold short. The total value of collateral for securities sold short at May 31, 2007 was $169,840 ($ Thousands). (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 May 31, 2007. The date reported on the Schedule of Investments is the next reset date. (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 May 31, 2007. The coupon on a step bond changes on a specified date. 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 LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin PLC -- Public Liability Company Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 49 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 17.9% Financials 12.6% Asset-Backed Securities 9.7% Information Technology 8.3% Health Care 7.9% Consumer Discretionary 7.8% Industrials 7.1% Consumer Staples 6.7% Energy 5.4% U.S. Government Agency Mortgage-Backed Obligations 4.6% Short-Term Investments 2.8% Telecommunication Services 2.7% Utilities 2.7% Materials 2.0% Commercial Paper 1.2% U.S. Government Agency Obligations 0.4% U.S. Treasury Obligations 0.1% Certificate of Deposit 0.1% Master Note ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 77.6% CONSUMER DISCRETIONARY -- 8.4% Abercrombie & Fitch, Cl A 25,300 $ 2,091 Aeropostale (B)* 126,700 5,866 Amazon.com* 44,500 3,077 American Eagle Outfitters (B) 138,200 3,731 Apollo Group, Cl A* 17,400 835 Autozone* 23,600 3,036 Best Buy 20,048 968 Big Lots* 130,000 4,095 Brinker International (B) 37,650 1,203 Cablevision Systems, Cl A 686,386 24,840 Carmax (B)* 40,924 982 CBS, Cl B 239,140 7,954 Clear Channel Communications 46,203 1,774 Coach* 163,800 8,413 Comcast, Cl A (B)* 852,892 23,378 Darden Restaurants 74,600 3,400 Dillard's, Cl A 66,800 2,425 DIRECTV Group* 1,041,711 24,334 Dollar General 90,000 1,948 Eastman Kodak 254,202 6,447 EchoStar Communications, Cl A (B)* 223,875 10,312 Family Dollar Stores 20,300 683 Federated Department Stores* 176,826 7,061 Ford Motor (B) 2,762,145 23,036 Gannett 9,500 559 General Motors (B) 665,129 19,947 Gentex 107,200 1,903 Goodyear Tire & Rubber* 350,808 12,443 Gymboree (B)* 85,900 3,840 Hanesbrands* 83,458 2,178 Harley-Davidson (B) 144,000 8,797 Harman International Industries 5,200 617 Harrah's Entertainment 3,818 326 Hasbro 178,700 5,745 Hilton Hotels 148,618 5,283 Home Depot 293,195 11,396 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- IAC/InterActive (B)* 236,900 $ 8,197 Idearc* 45,748 1,613 International Game Technology 96,800 3,890 Interpublic Group* 177,400 2,084 J. Crew Group* 15,000 673 J.C. Penney 345,295 27,789 Jack in the Box (B)* 6,300 482 Johnson Controls 40,795 4,475 Jones Apparel Group 188,500 5,614 Kellwood 33,300 959 Kohl's (B)* 303,900 22,890 Lamar Advertising, Cl A 53,000 3,472 Limited Brands 27,300 717 Marriott International, Cl A (B) 426,981 19,662 Marvel Entertainment (B)* 37,300 1,030 Mattel 444,500 12,450 McDonald's 734,432 37,126 McGraw-Hill 46,200 3,248 Newell Rubbermaid 19,900 632 News, Cl A 764,500 16,888 Nike, Cl B 19,900 1,129 Nordstrom 191,026 9,920 Office Depot* 683,471 24,878 OfficeMax 87,500 3,929 Omnicom Group 47,100 4,960 Papa John's International* 12,100 374 Polo Ralph Lauren 70,500 6,876 RadioShack 136,200 4,650 Sears Holdings (B)* 145,912 26,267 Select Comfort (B)* 13,000 236 Sherwin-Williams 122,800 8,306 Snap-On 45,600 2,466 Starbucks* 76,208 2,196 Target (B) 210,862 13,164 Tiffany 32,500 1,709 Time Warner 1,175,028 25,110 TJX 125,500 3,510 United Auto Group (B) 46,052 1,024 Universal Technical Institute (B)* 15,800 373 VF 91,300 8,562 Viacom, Cl B* 244,700 10,992 Walt Disney 1,361,431 48,249 Wendy's International 126,700 5,084 Whirlpool 119,239 13,313 Wyndham Worldwide* 18,400 684 Yum! Brands 208,100 14,093 -------------- 660,868 -------------- CONSUMER STAPLES -- 7.7% Altria Group 791,053 56,244 Anheuser-Busch 142,225 7,586 Archer-Daniels-Midland 780,652 27,354 Avon Products 17,900 687 -------------------------------------------------------------------------------- 50 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Campbell Soup 104,700 $ 4,157 Clorox 395,999 26,587 Coca-Cola 894,187 47,383 Colgate-Palmolive 225,800 15,120 ConAgra Foods 520,900 13,283 CVS 228,857 8,820 Dean Foods 98,500 3,227 Estee Lauder, Cl A 8,800 416 General Mills 109,900 6,730 HJ Heinz 38,700 1,841 Kimberly-Clark 324,594 23,033 Kraft Foods, Cl A 417,405 14,125 Kroger 1,157,076 35,083 Loews - Carolina 173,239 13,469 McCormick 37,400 1,395 Molson Coors Brewing, Cl B 25,000 2,289 Pepsi Bottling Group 6,300 220 PepsiCo 610,127 41,690 Procter & Gamble 1,113,827 70,784 Reynolds American (B) 367,100 23,876 Safeway 594,875 20,511 Sara Lee 58,200 1,042 Smithfield Foods* 61,172 1,966 Supervalu 61,600 2,935 Sysco 11,100 368 Tyson Foods, Cl A (B) 1,283,152 28,601 UST 169,300 9,039 Wal-Mart Stores 1,794,805 85,433 Walgreen 121,903 5,502 -------------- 600,796 -------------- ENERGY -- 7.2% Anadarko Petroleum 25,864 1,284 Apache 23,800 1,922 Chesapeake Energy (B) 346,200 12,069 Chevron 1,369,532 111,603 Cimarex Energy 34,900 1,467 ConocoPhillips 835,224 64,671 Devon Energy 76,221 5,852 Dresser-Rand Group* 31,900 1,136 ENSCO International 4,400 267 Exxon Mobil 2,780,396 231,246 Halliburton 426,960 15,349 Hess 700 41 Hornbeck Offshore Services (B)* 39,800 1,588 Marathon Oil 309,570 38,328 National Oilwell Varco* 11,200 1,058 Noble 132,789 12,268 Noble Energy 12,100 766 Occidental Petroleum 210,715 11,583 Schlumberger 242,068 18,850 Sunoco 82,300 6,560 Transocean* 243,510 23,922 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Valero Energy 38,100 $ 2,843 Williams 28,400 902 XTO Energy 15,100 876 -------------- 566,451 -------------- FINANCIALS -- 17.5% ACE 469,283 28,894 Aflac 13,200 698 Allstate 508,047 31,245 American Express 251,846 16,365 American International Group 847,061 61,276 AmeriCredit (B)* 68,200 1,811 Ameriprise Financial 76,836 4,829 Apartment Investment & Management, Cl A+ 122,800 6,738 Archstone-Smith Trust+ 111,100 6,855 Ashford Hospitality Trust+ 58,500 726 Assurant 6,300 374 AvalonBay Communities+ 10,300 1,343 Bank of America 3,019,800 153,134 Bank of New York 151,100 6,129 BB&T 86,500 3,642 Bear Stearns 52,511 7,875 Boston Properties+ (B) 127,191 14,713 Capital One Financial (B) 12,000 957 CB Richard Ellis Group, Cl A* 179,500 6,681 Charles Schwab 56,300 1,265 Chicago Mercantile Exchange Holdings, Cl A 6,800 3,611 Chubb 227,000 12,455 CIT Group 63,300 3,794 Citigroup 2,623,669 142,964 CNA Financial* 33,529 1,704 Comerica 23,600 1,483 Compass Bancshares 38,700 2,709 Countrywide Financial (B) 113,300 4,412 DCT Industrial Trust+ (B)* 25,300 280 Developers Diversified Realty+ 18,000 1,110 Equity Residential+ 40,200 2,037 Fannie Mae 184,904 11,819 First Industrial Realty Trust+ (B) 39,400 1,757 Franklin Resources 56,409 7,657 Freddie Mac 251,349 16,788 Genworth Financial, Cl A 218,700 7,895 Goldman Sachs Group 221,503 51,127 Hartford Financial Services Group 44,964 4,639 Hospitality Properties Trust+ 9,500 422 Host Hotels & Resorts+ (B) 245,798 6,273 Janus Capital Group (B) 115,700 3,203 Jones Lang LaSalle 12,400 1,447 JPMorgan Chase 2,297,423 119,075 Keycorp (B) 161,800 5,762 Kimco Realty+ 188,700 8,735 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 51 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers Holdings 533,563 $ 39,153 Lexington Realty Trust+ (B) 82,300 1,712 Lincoln National 23,192 1,681 Loews 838,836 42,806 Mellon Financial 27,744 1,202 Merrill Lynch 781,481 72,467 Metlife 779,936 53,036 Moody's (B) 186,870 13,015 Morgan Stanley 919,187 78,168 National City (B) 43,316 1,498 Newcastle Investment+ (B) 51,800 1,536 NorthStar Realty Finance+ 28,900 416 PNC Financial Services Group 255,028 18,821 Popular (B) 44,800 771 Principal Financial Group 12,100 736 Prologis+ 68,200 4,410 Prudential Financial 179,300 18,292 Public Storage+ 72,400 6,480 Regions Financial (B) 146,200 5,215 Safeco (B) 77,161 4,842 Simon Property Group+ 87,981 9,500 SLM 23,179 1,303 Sovereign Bancorp 28,700 667 SunTrust Banks 87,000 7,768 T. Rowe Price Group 129,428 6,646 Thornburg Mortgage+ (B) 108,000 2,995 Travelers 825,086 44,695 UnumProvident 43,000 1,141 US Bancorp (B) 737,168 25,491 Vornado Realty Trust+ 84,000 10,165 Wachovia 681,401 36,925 Washington Mutual (B) 187,841 8,212 Wells Fargo 1,573,106 56,773 World Acceptance (B)* 6,600 280 XL Capital, Cl A (B) 173,334 14,137 -------------- 1,371,663 -------------- HEALTH CARE -- 8.9% Abbott Laboratories 383,916 21,634 Aetna 228,288 12,083 Allergan 3,400 423 AmerisourceBergen 457,677 23,442 Amgen* 82,521 4,648 Applera -- Applied Biosystems Group 293,500 8,332 Baxter International 439,750 24,995 Becton Dickinson 137,300 10,469 Biogen Idec* 99,200 5,180 Bristol-Myers Squibb 257,147 7,794 C.R. Bard 19,204 1,621 Cardinal Health 484,415 35,101 Celgene (B)* 257,300 15,757 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Charles River Laboratories International* 40,800 $ 2,169 Cigna 49,572 8,310 Eli Lilly 214,972 12,602 Express Scripts (B)* 14,000 1,429 Forest Laboratories* 46,200 2,343 Genentech* 356,257 28,419 Gilead Sciences* 170,600 14,121 Haemonetics* 35,000 1,737 Health Net* 160,317 9,151 Humana* 241,325 14,974 ICU Medical* 21,000 843 Immucor* 12,700 401 IMS Health 48,500 1,586 Integra LifeSciences Holdings* 9,300 477 Invitrogen* 35,300 2,557 Johnson & Johnson 1,910,796 120,896 King Pharmaceuticals (B)* 200,200 4,252 Laboratory of America Holdings* 84,900 6,685 Manor Care 54,800 3,726 McKesson 497,118 31,383 Medco Health Solutions* 126,667 9,850 Medimmune* 72,833 4,216 Medtronic 122,849 6,532 Merck 739,994 38,813 OSI Pharmaceuticals* 32,800 1,239 PerkinElmer 35,000 928 Pfizer 2,186,233 60,100 Schering-Plough 269,800 8,833 Stryker* 57,500 3,870 Thermo Fisher Scientific* 153,500 8,381 United Therapeutics (B)* 64,400 4,250 UnitedHealth Group 486,622 26,652 Ventana Medical Systems* 16,900 870 Waters* 135,700 8,183 WellCare Health Plans* 8,500 782 WellPoint* 582,502 47,422 Wyeth 418,249 24,192 Zimmer Holdings* 30,400 2,677 -------------- 697,330 -------------- INDUSTRIALS -- 8.5% 3M 126,144 11,096 Acuity Brands 43,300 2,629 Allied Waste Industries* 180,976 2,436 American Standard 16,900 1,010 Avery Dennison 100,000 6,527 Boeing 792,779 79,746 Burlington Northern Santa Fe 65,900 6,137 C.H. Robinson Worldwide 3,200 173 Caterpillar 89,128 7,004 Cenveo* 13,800 337 -------------------------------------------------------------------------------- 52 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Ceradyne (B)* 17,300 $ 1,169 Cooper Industries, Cl A 61,000 3,268 Crane 11,300 494 CSX 192,200 8,733 Cummins 85,520 8,058 Deere 45,300 5,457 Dover 105,900 5,300 Eaton 7,800 731 Emerson Electric 309,830 15,011 FedEx 269,579 30,090 Flowserve (B) 48,851 3,391 Gardner Denver* 92,200 3,798 General Dynamics 140,800 11,298 General Electric 3,775,852 141,896 Goodman Global* 22,700 498 Goodrich 8,600 512 Honeywell International 283,853 16,438 IHS, Cl A* 5,900 237 Illinois Tool Works (B) 179,500 9,463 Jacobs Engineering Group* 90,167 5,225 JB Hunt Transport Services 12,100 353 Labor Ready* 61,500 1,476 Lockheed Martin 477,624 46,855 MSC Industrial Direct, Cl A (B) 58,900 3,155 Northrop Grumman (B) 403,914 30,540 Paccar 124,313 10,844 Pall 35,600 1,593 Parker Hannifin 209,632 21,248 Raytheon 138,582 7,705 Robert Half International 94,100 3,307 Rockwell Automation 83,800 5,703 Rockwell Collins 24,300 1,717 RR Donnelley & Sons 111,053 4,755 Ryder System 54,500 2,939 SPX 91,985 8,083 Stericycle* 11,900 1,085 Terex* 113,000 9,579 Timken 18,600 654 Tyco International 1,459,731 48,697 Union Pacific 13,800 1,665 United Parcel Service, Cl B 183,650 13,217 United Technologies 369,044 26,036 URS* 6,200 312 Waste Management 257,600 9,961 WESCO International (B)* 78,369 5,080 WW Grainger 88,900 7,828 -------------- 662,549 -------------- INFORMATION TECHNOLOGY -- 10.5% Adobe Systems* 31,500 1,389 Advanced Energy Industries* 33,200 815 Agilent Technologies (B)* 268,100 10,233 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Apple* 195,930 $ 23,817 Applied Materials 184,300 3,520 Arrow Electronics (B)* 661,063 27,137 Automatic Data Processing 54,253 2,696 Avaya* 58,200 931 Avnet* 336,110 14,399 BMC Software* 357,200 11,838 Cadence Design Systems* 19,800 450 Cisco Systems* 2,490,148 67,035 Cognizant Technology Solutions, Cl A* 97,500 7,660 Computer Sciences* 69,705 3,862 Compuware* 26,500 301 Convergys* 173,500 4,466 Corning* 45,200 1,130 eBay* 493,600 16,072 Electronic Data Systems 1,109,291 31,959 EMC* 1,068,700 18,050 Exar* 18,300 249 Fidelity National Information Services 8,200 442 First Data 60,513 1,979 Fiserv* 194,200 11,506 Google, Cl A* 119,154 59,309 Hewlett-Packard 2,223,137 101,620 Ingram Micro, Cl A* 627,606 13,004 Intel 550,528 12,205 International Business Machines (B) 974,818 103,916 Intevac* 32,800 633 Intuit* 27,300 833 j2 Global Communications (B)* 22,900 763 Juniper Networks* 30,500 744 Kla-Tencor (B) 35,600 1,957 L-1 Identity Solutions (B)* 74,300 1,589 Lexmark International, Cl A* 94,500 4,907 Littelfuse* 8,600 345 MEMC Electronic Materials* 33,400 2,030 Microsoft 3,332,162 102,197 MicroStrategy, Cl A* 11,900 1,235 Motorola 3,874 70 NCR* 261,906 14,056 Network Appliance (B)* 413,500 13,311 Novellus Systems* 114,800 3,523 Nvidia* 388,100 13,455 Oracle* 1,878,716 36,410 PMC - Sierra (B)* 198,100 1,527 Qualcomm 446,900 19,194 Silicon Image* 114,500 960 SYKES Enterprises* 16,800 327 Symantec (B)* 390,100 7,798 Tech Data (B)* 40,966 1,510 Teradyne (B)* 354,500 6,034 Texas Instruments 503,464 17,802 Varian Semiconductor Equipment Associates* 15,150 639 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 53 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Western Union* 12,703 $ 285 Xerox* 661,059 12,474 Xilinx (B) 176,500 5,027 Yahoo!* 13,600 390 -------------- 824,015 -------------- MATERIALS -- 2.9% Air Products & Chemicals 72,900 5,685 Alcoa 419,400 17,313 Allegheny Technologies 120,000 13,871 Ashland 109,827 6,625 Ball 24,900 1,378 Celanese, Ser A 105,456 3,837 Crown Holdings* 625,268 15,588 Dow Chemical 202,300 9,180 E.I. Du Pont de Nemours 473,864 24,793 Eagle Materials 56,800 2,850 Ecolab 35,200 1,519 Freeport-McMoRan Copper & Gold, Cl B 101,979 8,026 Headwaters (B)* 82,400 1,625 Hecla Mining (B)* 104,500 836 Hercules* 200,640 3,778 Huntsman 47,785 956 International Flavors & Fragrances 88,800 4,558 International Paper 555,258 21,749 Lyondell Chemical 35,931 1,335 Monsanto 353,720 21,789 Nucor 200,000 13,508 Owens-Illinois 231,284 7,864 Pactiv* 163,900 5,568 Rohm & Haas 55,300 2,931 Temple-Inland 52,300 3,295 United States Steel 92,000 10,411 Vulcan Materials 139,109 16,650 Weyerhaeuser 11,600 951 -------------- 228,469 -------------- TELECOMMUNICATION SERVICES -- 3.1% Alltel 83,646 5,731 AT&T 3,427,465 141,691 CenturyTel 122,400 6,049 Embarq (B) 89,055 5,723 Qwest Communications International (B)* 1,464,869 15,074 Sprint Nextel 508,000 11,608 US Cellular* 101,552 8,060 Verizon Communications (B) 881,998 38,393 Windstream (B) 486,513 7,308 -------------- 239,637 -------------- -------------------------------------------------------------------------------- Shares /Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- UTILITIES -- 2.9% AES* 1,075,741 $ 25,527 Allegheny Energy* 298,200 15,921 Ameren (B) 54,400 2,887 American Electric Power 229,600 10,936 Centerpoint Energy 346,900 6,567 CMS Energy 122,400 2,234 Constellation Energy Group 71,800 6,589 Dominion Resources 51,700 4,580 Duke Energy 291,200 5,690 Dynegy* 216,600 2,097 Edison International 35,802 2,086 Entergy 55,000 6,209 Exelon 194,782 15,193 FirstEnergy 119,400 8,266 FPL Group 136,200 8,707 Integrys Energy Group 3,710 207 Mirant* 198,900 9,229 NiSource 44,200 982 Northeast Utilities 29,792 906 NRG Energy (B)* 136,732 12,017 PG&E 430,307 21,197 Pinnacle West Capital 63,100 2,930 PPL 41,400 1,903 Progress Energy (B) 52,200 2,615 Public Service Enterprise Group 231,072 20,551 Sempra Energy 32,730 2,007 Southern 129,900 4,678 TXU 378,299 25,516 Xcel Energy 102,304 2,348 -------------- 230,575 -------------- Total Common Stock (Cost $5,047,616) ($Thousands) 6,082,353 -------------- ASSET-BACKED SECURITIES -- 13.8% MORTGAGE RELATED SECURITIES -- 13.8% Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 (E) 8.070%, 06/12/07 $ 1,040 884 Ace Securities, Ser 2003-NC1, Cl M1 (E) 6.100%, 06/25/07 3,600 3,608 Ace Securities, Ser 2003-OP1, Cl M1 (E) 6.020%, 06/26/07 1,500 1,508 Ace Securities, Ser 2005-HE7, Cl A1B2 (E) 5.620%, 06/27/07 2,983 2,985 Ace Securities, Ser 2007-HE4, Cl A2A (E) 5.450%, 06/30/07 27,579 27,579 -------------------------------------------------------------------------------- 54 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Adjustable Rate Mortgage NIM Trust, Ser 2005-4, Cl A (A) 5.500%, 12/27/35 $ 453 $ 385 Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 1A2 (E) 4.711%, 06/25/07 496 505 Adjustable Rate Mortgage Trust, Ser 2005-5, Cl 1A1 (E) 4.952%, 06/01/07 2,262 2,260 Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 (E) 6.020%, 06/25/07 317 318 American Home Mortgage Assets, Ser 2006-3, Cl M5 (E) 5.940%, 10/25/46 1,200 1,154 American Home Mortgage Investment Trust, Ser 2005-1, Cl 4A1 (E) 4.992%, 06/01/07 2,486 2,506 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (E) 5.294%, 06/25/07 14,805 14,681 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (E) 5.350%, 06/25/07 10,818 10,854 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (E) 5.100%, 06/25/07 6,825 6,759 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (E) 6.220%, 06/25/07 2,373 2,375 Argent Securities, Ser 2003-W5, Cl M1 (E) 6.020%, 06/25/07 1,000 1,006 Argent Securities, Ser 2003-W9, Cl M1 (E) 6.010%, 06/26/07 2,059 2,070 Asset-Backed Funding Certificates, Ser 2004-OPT5, Cl M1 (E) 6.070%, 06/14/07 1,000 1,004 Asset-Backed Funding NIM Trust, Ser 2005-HE2A, Cl N1 (A) 6.000%, 07/26/35 493 266 Asset-Backed Funding NIM Trust, Ser 2005-WMC1, Cl N1 (A) 5.900%, 07/26/35 135 134 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (E) 6.070%, 06/15/07 2,828 2,836 Banc of America Commercial Mortgage, Ser 2006-2, Cl A1 5.611%, 05/10/45 4,290 4,304 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Bear Stearns Alternative Trust, Ser 2004-12, Cl 2A2 (E) 4.943%, 06/01/07 $ 14,223 $ 14,352 Bear Stearns Asset-Backed Securities, Ser 2007-AQ2, Cl A1 (E) 5.420%, 06/30/07 13,378 13,378 Bear Stearns Asset-Backed Securities, Ser 2007-HE3, Cl 1A1 (E) 5.440%, 06/30/07 12,744 12,745 Bear Stearns Asset-Backed Securities, Ser 2007-HE4, Cl 1A1 (E) 5.440%, 06/30/07 17,728 17,734 Carrington Mortgage Loan Trust, Ser 2007-FRE1, Cl A1 (E) 5.440%, 06/25/07 15,767 15,770 Citifinancial Mortgage Securities, Ser 2004-1, Cl AF2 (H) 2.645%, 06/01/07 2,046 1,981 Citigroup Mortgage Loan Trust, Ser 2005-HE4, Cl A2C (E) 5.590%, 06/27/07 8,916 8,929 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 (E) 4.975%, 06/01/07 4,077 4,132 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (E) 6.470%, 06/27/07 1,325 1,306 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 (E) 7.320%, 06/27/07 1,551 1,452 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl M3 (E) 5.750%, 06/30/07 2,800 2,793 Countrywide Alternative Loan Trust, Ser 2006-OA16, Cl M5 (E) 5.870%, 10/25/46 1,205 1,152 Countrywide Asset-Backed Certificates, Ser 2005-13N, Cl NOTE (A) 6.000%, 11/25/36 13 12 Countrywide Asset-Backed Certificates, Ser 2005-7, Cl MV8 (E) 6.770%, 06/27/07 1,350 1,319 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 8,750 8,709 Countrywide Home Equity Loan Trust, Ser 2006-D, Cl 2A (E) 5.520%, 06/30/07 9,173 9,168 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 55 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Home Loans, Ser 2004-22, Cl A1 (E) 5.084%, 06/01/07 $ 1,917 $ 1,899 Countrywide Home Loans, Ser 2005-HY10, Cl 1A1 (E) 5.294%, 06/01/07 4,433 4,471 Countrywide Home Loans, Ser 2005-HYB9, Cl 1A1 (E) 5.150%, 06/01/07 2,677 2,677 Countrywide Home Loans, Ser 2005-HYB9, Cl 1A2 (E) 5.150%, 06/01/07 535 535 Countrywide Home Loans, Ser 2006-OA4, Cl M4 (E) 6.140%, 06/27/07 1,615 1,627 Countrywide Home Loans, Ser 2006-OA4, Cl M5 (E) 6.190%, 06/27/07 1,100 1,096 Countrywide Home Loans, Ser 2006-OA5, Cl 1M4 (E) 6.370%, 06/27/07 3,168 3,120 Countrywide Home Loans, Ser 2007-HYB1, Cl 1A1 5.581%, 06/01/07 9,089 9,073 Credit Suisse First Boston Mortgage Securities, Ser 2005-3, Cl 5A1 5.500%, 07/25/20 7,321 7,301 Credit-Based Asset Servicing, Ser 2005-CB8, Cl AF1B (H) 5.451%, 06/25/07 4,445 4,426 Credit-Based Asset Servicing, Ser 2007-CB3, Cl A1 (H) 5.766%, 03/25/37 27,526 27,453 Credit-Based Asset Servicing, Ser 2007-CB4, Cl A1A (E) 5.410%, 06/27/07 14,342 14,344 Credit-Based Asset Servicing, Ser 2007-CB4, Cl A2A (E) 5.844%, 04/25/37 15,540 15,513 DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl B2 (E) 6.520%, 11/19/44 1,640 1,640 Duke Funding, Ser 2004-6B, Cl A1S1 (A) (C) (E) 5.420%, 07/09/07 4,320 4,320 FBR Securitization Trust, Ser 2005-2, Cl M10 (E) 7.570%, 06/28/07 600 407 FBR Securitization Trust, Ser 2005-4, Cl M11 (E) 7.320%, 06/27/07 1,265 1,091 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FBR Securitization Trust, Ser 2005-4, Cl M12 (E) 7.320%, 06/27/07 $ 521 $ 457 FBR Securitization Trust, Ser 2005-5, Cl M12 (E) 7.570%, 06/27/07 693 632 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2003-FF4, Cl M3 (E) 8.170%, 06/27/07 223 206 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2005-FF10, Cl A4 (E) 5.640%, 06/25/07 25,000 24,893 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2005-FF8A, Cl N1 (A) 6.500%, 09/25/35 752 699 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2005-FF9, Cl A3 (E) 5.600%, 06/25/07 18,033 18,004 First Franklin Mortgage Loan Asset-Backed Securities, Ser 2006-FF9, Cl M1 (E) 5.570%, 06/25/07 20,000 19,971 First Franklin Mortgage Loan, Ser 2003-FF5, Cl M6 (E) 8.820%, 06/25/07 149 115 First Franklin Mortgage Loan, Ser 2005-FFH4, Cl N1 (A) 5.682%, 12/25/35 148 144 First Franklin Mortgage Loan, Ser 2006-FF14, Cl A2 (E) 5.380%, 06/25/07 17,611 17,608 First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1 (E) 5.349%, 06/01/07 1,042 1,039 First Horizon Alternative Mortgage Trust, Ser 2006-AA6, Cl 2A1 (E) 5.686%, 06/01/07 22,255 22,220 First Horizon Asset Securities, Ser 2006-AR3, Cl 1A1 (E) 5.695%, 06/01/07 6,270 6,246 GE-WMC Mortgage Securities NIM Trust, Ser 2005-2A, Cl N1 (A) 5.500%, 01/25/36 105 102 GMAC Mortgage Loan Trust, Ser 2006-HE1, Cl A (E) 21,800 21,783 5.530%, 06/25/07 -------------------------------------------------------------------------------- 56 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GS Mortgage Securities, Ser 2006-GG6, Cl AM (E) 5.622%, 04/10/38 $ 21,000 $ 20,903 GSAA Home Equity Trust, Ser NI, Cl M9 (A) 6.500%, 10/25/35 1,121 1,125 GSAMP NIM Trust, Ser 2005-WM2N, Cl N (A) 5.500%, 11/25/35 683 512 GSAMP Trust, Ser 2007-HE2, Cl A2A (E) 5.440%, 06/20/07 18,280 18,282 HSI Asset Securitization Trust, Ser 2005-I1, Cl 2A3 (E) 5.610%, 06/27/07 17,700 17,513 HSI Asset Securitization Trust, Ser 2005-NC1, Cl 2A4 (E) 5.640%, 06/25/07 2,719 2,716 Holmes Financing, Ser 2006-10A, Cl 1C (A) (E) 5.626%, 07/16/07 3,250 3,250 Home Equity Asset Trust, Ser 2003-4, Cl M2 (E) 7.220%, 06/25/07 2,085 2,088 Home Equity Asset Trust, Ser 2004-6N, Cl A (A) 5.250%, 01/27/35 982 964 Home Equity Asset Trust, Ser 2004-7N, Cl A (A) 4.500%, 02/27/35 1,110 1,084 Home Equity Asset Trust, Ser 2005-5N, Cl A (A) 5.500%, 12/27/35 1,438 1,006 Home Equity Asset Trust, Ser 2005-6N, Cl A (A) 6.000%, 01/27/36 480 336 Home Equity Asset Trust, Ser 2005-7N, Cl A (A) 6.500%, 02/27/36 625 438 Home Equity Asset Trust, Ser 2006-1N, Cl 1A (A) 6.500%, 05/27/36 389 292 Home Equity Mortgage Trust, Ser 2006-5, Cl A1 (H) 5.500%, 01/25/37 17,237 17,214 Home Equity Mortgage Trust, Ser 2007-2, Cl 2A1A (E) 5.470%, 06/30/07 22,320 22,318 Impac CMB Trust, Ser 2004-10, Cl 4M1 (E) 5.920%, 03/25/35 2,300 2,314 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Impac Secured Assets CMO Owners Trust, Ser 2006-3, Cl A4 (E) 5.410%, 06/27/07 $ 14,589 $ 14,589 Impac Secured Assets CMO Owners Trust, Ser 2007-1, Cl A1 (E) 5.380%, 06/25/07 35,166 35,157 Impac Secured Assets CMO Owners Trust, Ser 2007-2, Cl 1A1A (E) 5.430%, 05/25/37 22,199 22,199 Impac Secured Assets CMO Owners Trust, Ser 2007-3, Cl 1A1A (E) 5.430%, 06/30/07 21,500 21,496 Indymac INDA Mortgage Loan Trust, Ser 2005-AR2, Cl 1A1 (E) 4.881%, 06/01/07 1,246 1,239 Indymac Index Mortgage Loan Trust, Ser 2006-AR12, Cl M2 (E) 5.870%, 09/25/46 1,270 1,270 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl M6 (E) 7.070%, 04/25/46 1,325 1,275 Indymac Index Mortgage Loan Trust, Ser 2006-AR4, Cl M4 (E) 6.020%, 06/25/07 940 920 JP Morgan Mortgage Acquisition, Ser 2006-RM1, Cl A2 (E) 5.400%, 06/27/07 3,706 3,706 JP Morgan Mortgage Acquisition, Ser 2006-WF1, Cl A1B (E) 5.420%, 06/30/07 5,117 5,117 Lehman XS NIM Trust, Ser 2005-5N, Cl A (A) 7.000%, 11/28/35 495 495 Lehman XS Trust, Ser 2005-5N, Cl M3 (E) 6.320%, 06/25/07 2,424 2,397 Lehman XS Trust, Ser 2005-5N, Cl M4 (E) 7.070%, 06/30/07 3,000 2,682 Lehman XS Trust, Ser 2005-7N, Cl M51 (E) 6.570%, 06/30/07 620 589 Lehman XS Trust, Ser 2005-7N, Cl M7I (E) 7.070%, 06/27/07 1,350 1,201 Lehman XS Trust, Ser 2005-9N, Cl M4 (E) 6.720%, 06/30/07 936 934 Lehman XS Trust, Ser 2005-9N, Cl M6 (E) 7.070%, 06/30/07 2,300 2,139 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 57 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman XS Trust, Ser 2006-11, Cl M10 (E) 7.320%, 06/25/07 $ 1,145 $ 912 Lehman XS Trust, Ser 2006-12N, Cl M4 (E) 5.870%, 06/25/07 1,475 1,482 Lehman XS Trust, Ser 2006-12N, Cl M5 (E) 5.920%, 06/25/07 815 793 Lehman XS Trust, Ser 2006-2N, Cl M5 (E) 6.470%, 06/27/07 1,221 1,206 Long Beach Asset Holdings, Ser 2005-WL1, Cl N1 (A) 5.193%, 06/25/45 380 374 Long Beach Asset Holdings, Ser 2006-2, Cl N1 (A) 5.780%, 04/25/46 203 152 Long Beach Mortgage Loan Trust, Ser 2006-WL1, Cl 1A3 (E) 5.650%, 06/27/07 3,084 3,091 Master Adjustable Rate Mortgage Trust, Ser 2005-2, Cl 3A1 (E) 4.756%, 06/01/07 6,672 6,707 Master Asset-Backed Securities NIM Trust, Ser 2006-CI13, Cl N1 (A) 7.000%, 12/25/35 135 115 Master Asset-Backed Securities Trust, Ser 2003-WMC2, Cl M1 (E) 6.020%, 06/27/07 1,115 1,115 Merrill Lynch Mortgage Investors, Ser 2005-A4, Cl 1A (E) 4.775%, 06/01/07 3,614 3,635 Merrill Lynch Mortgage Investors, Ser 2005-AR1N, Cl N1 (A) 5.000%, 06/25/36 553 545 Merrill Lynch Mortgage Investors, Ser 2005-NCB, Cl A1A (E) 5.450%, 06/01/07 401 400 Merrill Lynch Mortgage Investors, Ser 2006-1, Cl 1A (E) 5.328%, 06/01/07 11,218 11,303 Merrill Lynch Mortgage Investors, Ser 2006-MLN1, Cl A2A (E) 5.390%, 06/29/07 4,591 4,591 Merrill Lynch Mortgage Investors, Ser 2006-RM4, Cl A2A (E) 5.400%, 06/27/07 7,081 7,081 Merrill Lynch Mortgage Investors, Ser 2007-HE2, Cl A2A (E) 5.440%, 06/30/07 17,671 17,671 Merrill Lynch Mortgage Investors, Ser 2007-MLN1, Cl A2A (E) 5.430%, 06/26/07 31,037 31,037 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Morgan Stanley Capital I, Ser 2003-NC10, Cl M1 (E) 6.000%, 06/27/07 $ 2,483 $ 2,486 Morgan Stanley Dean Witter Capital I, Ser 2003-NC1, Cl M2 (E) 8.394%, 06/27/07 1,188 1,190 Morgan Stanley Dean Witter Capital I, Ser 2003-NC4, Cl M2 (E) 8.320%, 06/25/07 542 543 National Collegiate Student Loan Trust, Ser 2003-3, Cl C (E) 5.790%, 06/28/07 5,650 5,650 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (E) 4.450%, 06/01/07 1,680 1,668 Nomura Home Equity Loan, Ser 2007-3, Cl 2A1 (E) 5.460%, 06/30/07 24,700 24,700 Novastar Home Equity Loan, Ser 2007-1, Cl A2A (E) 5.420%, 06/30/07 24,214 24,209 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (E) 5.970%, 06/23/07 1,677 1,681 Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (A) (E) 7.820%, 06/27/07 200 178 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (A) (E) 7.820%, 06/27/07 410 316 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 (E) 5.440%, 06/26/07 18,607 18,607 Option One Mortgage Securities, Ser 2005-3A, Cl N1 (A) 5.438%, 08/26/35 556 460 Ownit Mortgage Loan Asset-Backed Securities Trust, Ser 2006-1, Cl AF1 (H) 5.424%, 12/25/36 8,869 8,824 Ownit Mortgage Loan NIM Trust, Ser 2005-4N, Cl N1 (A) 5.000%, 08/25/36 2,308 2,249 Ownit Mortgage Loan NIM Trust, Ser 2005-5A, Cl N1 (A) 5.500%, 10/25/36 151 150 People's Financial Realty Mortgage Security, Ser 2006-1, Cl B1 (E) 7.820%, 06/03/07 1,315 1,229 RAAC, Ser 2007-SP1, Cl A1 (E) 5.450%, 06/10/07 21,861 21,861 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (E) 5.720%, 06/27/07 1,485 1,489 -------------------------------------------------------------------------------- 58 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Residential Accredit Loans, Ser 2006-Q04, Cl N1 (A) 6.048%, 04/25/46 $ 595 $ 593 Residential Accredit Loans, Ser 2006-Q06, Cl M5 (E) 5.820%, 06/29/07 2,000 1,940 Residential Asset Mortgage Products, Ser 2006-RZ4, Cl A1 (E) 5.410%, 06/25/07 12,966 12,966 Residential Asset Mortgage Products, Ser 2006-RZ4, Cl M9 (E) 7.820%, 06/25/07 670 512 Residential Asset Mortgage Products, Ser 2007-RS1, Cl A1 (E) 5.400%, 06/09/07 11,606 11,604 Residential Asset Securities, Ser 2005-KS8, Cl A3 (E) 5.580%, 08/25/35 1,375 1,377 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (E) 5.275%, 06/25/07 9,050 8,999 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (A) (E) 5.420%, 06/25/07 12,994 12,993 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (A) (E) 5.470%, 06/25/07 6,879 6,878 SB Finance NIM Trust, Ser 2005-HE3, Cl 2N1 (A) 5.000%, 06/25/35 557 553 SB Finance NIM Trust, Ser 2005-HE3, Cl N1 (A) 4.750%, 09/25/35 1,386 1,368 SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (A) 7.500%, 06/25/36 463 462 SLM Student Loan Trust, Ser 2006-C, Cl C (E) 5.745%, 06/28/07 5,400 5,356 Saco I Trust, Ser 2005-10, Cl 2A1 (E) 5.580%, 06/30/07 16,768 16,783 Saco I Trust, Ser 2005-9, Cl A1 (E) 5.570%, 06/27/07 6,913 6,911 Saco I Trust, Ser 2005-WM3, Cl A1 (E) 5.580%, 06/27/07 5,469 5,468 Sail NIM Notes, Ser 2005-11A, Cl A (A) 7.500%, 01/27/36 953 172 Sharps SP I LLC NIM Trust, Ser 2005-HE3N, Cl N (A) 5.000%, 05/25/35 429 421 Sharps SP I LLC NIM Trust, Ser 2005-HE5N, Cl A1 (A) 5.800%, 08/25/35 1,332 999 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Sharps SP I LLC NIM Trust, Ser 2005-WF1N, Cl NA (A) 6.150%, 05/25/35 $ 573 $ 515 Soundview Home Equity Loan Trust, Ser 2005-OPT4, Cl M8 (E) 7.820%, 06/25/07 850 766 Structured Adjustable Rate Mortgage Loan, Ser 2005-16XS, Cl M2 (E) 6.220%, 06/25/07 2,841 2,806 Structured Asset Investment Loan, Ser 2003-BC4, Cl M2 (E) 8.320%, 06/25/07 2,133 2,137 Structured Asset Investment Loan, Ser 2005-4, Cl M11 (E) 7.820%, 06/25/07 1,040 929 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl B4 (E) 6.270%, 06/27/07 785 793 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl B5 (E) 6.370%, 06/27/07 515 520 Structured Asset Securities, Ser 2004-19XS, Cl A2 (H) 4.370%, 06/01/07 1,877 1,864 Terwin Mortgage Trust, Ser 2006-2 HGS, Cl A1 (A) (E) 4.500%, 03/25/37 15,847 15,643 Terwin Mortgage Trust, Ser 2006-2 HGS, Cl AX, IO (A) (E) 20.000%, 03/25/37 1,297 1 Terwin Mortgage Trust, Ser 2006-2 HGS, Cl B1 (A) (E) 6.100%, 06/25/07 1,670 269 Terwin Mortgage Trust, Ser 2006-4SL, Cl A1 (A) (E) 4.500%, 05/25/37 14,464 14,320 Terwin Mortgage Trust, Ser 2006-HF1, Cl A1A (A) (E) 4.500%, 02/25/37 2,767 2,750 Wachovia Mortgage Loan Trust LLC, Ser 2005-B, Cl 1A2 (E) 4.963%, 06/01/07 695 696 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY2, Cl 1A1 (E) 5.776%, 04/25/37 11,714 11,740 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY4, Cl 1A1 (E) 5.575%, 06/01/07 23,086 22,871 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-HY6, Cl 1A1 (E) 5.707%, 06/25/37 24,000 23,996 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 59 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wells Fargo Home Equity Trust, Ser 2004-2, Cl M8A (A) (E) 8.320%, 06/28/07 $ 1,200 $ 1,130 -------------- Total Asset-Backed Securities (Cost $1,086,108) ($ Thousands) 1,079,586 -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.9% FHLMC ARM 5.794%, 02/01/36 7,307 7,351 FHLMC TBA 6.000%, 01/01/21 1,000 1,010 6.000%, 07/01/21 3,941 3,980 6.000%, 10/01/21 8,504 8,589 6.000%, 11/01/21 3,822 3,860 4.000%, 12/01/20 5,211 4,865 FNMA 5.500%, 06/01/20 887 881 5.500%, 11/01/20 1,852 1,838 5.500%, 12/01/20 1,747 1,735 5.500%, 01/01/21 8,450 8,386 5.500%, 02/01/21 7,054 6,999 5.500%, 03/01/21 13,985 13,879 5.500%, 04/01/21 873 867 5.500%, 05/01/21 851 845 5.500%, 07/01/21 2,774 2,753 5.500%, 11/01/21 1,970 1,955 5.500%, 12/01/21 2,918 2,895 FNMA ARM 5.568%, 05/01/36 11,332 11,377 5.507%, 05/01/36 4,678 4,687 4.541%, 01/01/35 4,378 4,380 FNMA TBA 6.500%, 06/01/37 91,000 92,422 6.000%, 06/17/19 3,000 3,030 5.500%, 06/01/22 180,000 178,594 5.000%, 06/17/21 48,000 46,785 GNMA ARM 6.000%, 02/20/35 1,328 1,339 6.000%, 03/20/35 240 242 5.875%, 11/20/30 601 607 5.750%, 02/20/32 654 658 5.500%, 08/20/32 453 457 5.500%, 08/20/34 569 574 5.500%, 12/20/35 646 655 5.500%, 01/20/36 457 461 5.500%, 03/20/36 909 917 5.375%, 06/20/23 541 545 5.375%, 06/20/33 641 646 5.000%, 06/20/35 2,946 2,968 5.000%, 07/20/35 1,291 1,298 5.000%, 09/20/35 2,798 2,812 5.000%, 10/20/35 1,479 1,486 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- 5.000%, 11/20/35 $ 3,405 $ 3,421 5.000%, 01/20/36 2,093 2,103 5.000%, 02/20/36 1,693 1,701 5.000%, 03/20/36 862 866 4.750%, 12/20/33 17,333 17,333 4.750%, 03/20/34 2,520 2,512 4.500%, 10/20/35 1,571 1,566 4.500%, 11/20/35 1,064 1,060 4.250%, 04/20/34 424 424 4.000%, 04/20/35 985 982 4.000%, 05/20/36 591 591 -------------- Total U.S. Government Agency Mortgage- Backed Obligations (Cost $463,995) ($ Thousands) 462,187 -------------- CORPORATE OBLIGATIONS -- 2.3% CONSUMER DISCRETIONARY -- 0.1% COX Communications 4.625%, 06/01/13 2,035 1,923 CVS Caremark 5.750%, 06/01/17 1,330 1,312 Comcast 5.300%, 01/15/14 2,545 2,488 Time Warner 6.875%, 05/01/12 2,035 2,137 -------------- 7,860 -------------- ENERGY -- 0.0% Kinder Morgan Energy Partners 5.000%, 12/15/13 2,035 1,943 -------------- FINANCIALS -- 2.0% American General Finance (A) (C) (E) 5.370%, 06/15/07 8,353 8,352 Bear Stearns 5.350%, 02/01/12 2,250 2,230 Bear Stearns EXL (C) (E) 5.360%, 06/15/07 10,254 10,254 CIT Group 5.000%, 02/13/14 2,715 2,570 Capmark Financial Group (A) 6.300%, 05/10/17 327 325 5.875%, 05/10/12 655 650 Countrywide Financial MTN (C) (E) 5.430%, 06/27/07 3,456 3,456 Countrywide Financial MTN, Ser A (C) (E) 5.440%, 08/06/07 8,641 8,641 Credit Suisse First Boston USA 6.500%, 01/15/12 1,355 1,412 Genworth Financial 5.750%, 06/15/14 2,035 2,047 -------------------------------------------------------------------------------- 60 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Goldman Sachs Group 5.500%, 11/15/14 $ 4,070 $ 4,025 Household Finance 6.375%, 10/15/11 2,035 2,096 Irish Life & Permanent MTN, Ser X (A) (C) (E) 5.360%, 06/21/07 7,661 7,661 istar Financial, Ser 1+ 5.875%, 03/15/16 1,355 1,317 JPMorgan Chase 5.125%, 09/15/14 2,035 1,981 Jackson National Life Funding (A) (C) (E) 5.320%, 06/01/07 12,673 12,673 Lehman Brothers Holdings MTN 5.750%, 05/17/13 685 690 5.500%, 04/04/16 1,350 1,327 Merrill Lynch 6.050%, 05/16/16 2,050 2,074 Morgan Stanley (E) 4.750%, 04/01/14 2,035 1,915 Morgan Stanley EXL (C) (E) 5.400%, 06/04/07 2,016 2,016 Morgan Stanley EXL, Ser S (C) (E) 5.360%, 06/04/07 2,880 2,880 Morgan Stanley MTN, Ser G (E) 5.650%, 07/04/07 2,355 2,351 Nationwide Building Society (A) (C) (E) 5.410%, 06/28/07 3,168 3,168 5.370%, 06/07/07 5,761 5,761 Northern Rock (A) (C) (E) 5.380%, 06/04/07 5,933 5,933 Premium Asset Trust, Ser 2004-10 (A) (C) (E) 5.380%, 06/15/07 8,065 8,065 Residential Capital 6.875%, 06/30/15 335 337 6.500%, 04/17/13 3,180 3,143 6.000%, 02/22/11 900 884 SLM MTN (C) (E) 5.320%, 06/15/07 6,337 6,337 Shinsei Finance Cayman (A) (E) 6.418%, 01/29/49 2,235 2,222 Simon Property Group+ 5.750%, 12/01/15 1,355 1,360 5.600%, 09/01/11 1,150 1,154 Skandinav Enskilda Bank (A) (C) (E) 5.320%, 06/18/07 6,337 6,336 Stanfield Victoria LLC MTN (A) (C) 5.450%, 06/11/07 5,760 5,761 UniCredito Italiano Bank (A) (C) (E) 5.350%, 07/11/07 14,401 14,400 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wachovia 5.300%, 10/15/11 $ 4,220 $ 4,195 4.875%, 02/15/14 1,355 1,300 Washington Mutual Preferred Funding (A) (E) 6.534%, 03/15/49 2,500 2,444 -------------- 155,743 -------------- HEALTH CARE -- 0.1% Aetna 5.750%, 06/15/11 2,035 2,053 Teva Pharmaceutical Finance LLC 5.550%, 02/01/16 2,035 1,979 Wellpoint 6.800%, 08/01/12 1,355 1,423 -------------- 5,455 -------------- INDUSTRIALS -- 0.0% Lafarge 6.150%, 07/15/11 1,245 1,271 US Steel 5.650%, 06/01/13 695 689 -------------- 1,960 -------------- TELECOMMUNICATION SERVICES -- 0.0% Vodafone Group PLC 5.625%, 02/27/17 1,295 1,263 5.350%, 02/27/12 440 436 -------------- 1,699 -------------- UTILITIES -- 0.1% Dominion Resources 4.750%, 12/15/10 1,355 1,322 Exelon Generation 6.950%, 06/15/11 2,035 2,124 -------------- 3,446 -------------- Total Corporate Obligations (Cost $177,480) ($ Thousands) 178,106 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.3% FHLMC (I) 5.249%, 11/09/07 24,925 24,363 5.203%, 07/02/07 1,050 1,045 5.190%, 07/16/07 3,500 3,478 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 25,267 6,378 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 5,186 1,303 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 61 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/shares ($ Thousands) -------------------------------------------------------------------------------- FHLMC CMO STRIPS, Ser 233, Cl 4, IO 4.500%, 09/15/35 $ 2,599 $ 661 FHLMC CMO STRIPS, Ser 233, Cl 6, IO 4.500%, 08/15/35 800 205 FHLMC CMO STRIPS, Ser 245, Cl IO, IO 5.000%, 05/15/37 -- -- FNMA (I) 5.202%, 06/27/07 4,250 4,234 5.178%, 06/06/07 8,550 8,544 5.176%, 07/02/07 21,750 21,654 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 1,226 306 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 99,255 25,178 FNMA CMO STRIPS, Ser 365, Cl 2, IO 5.000%, 03/01/36 3,500 859 FNMA CMO STRIPS, Ser 365, Cl 4, IO 5.000%, 04/01/36 4,169 1,036 FNMA CMO STRIPS, Ser 377, Cl 2, IO 5.000%, 10/01/36 13,034 3,387 -------------- Total U.S. Government Agency Obligations (Cost $101,178) ($ Thousands) 102,631 -------------- PREFERRED/CONVERTIBLE STOCK -- 0.0% FINANCIALS -- 0.0% Home Ownership Funding (A) (F) (H)* 3,900 561 -------------- Total Preferred/Convertible Stock (Cost $1,061) ($ Thousands) 561 -------------- CASH EQUIVALENTS -- 4.1% FIMAT USA 2,850,489 2,850 First Union Cash Management Program, 5.221%** 9,092,581 9,093 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 152,743,334 152,743 SEI Liquidity Fund L.P., 5.490% (C)**++ 155,533,226 155,533 UBS Margin Deposit 279,483 279 -------------- Total Cash Equivalents (Cost $320,498) ($ Thousands) 320,498 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (D) -- 2.1% FINANCIALS -- 2.1% General Electric Capital 5.239%, 06/04/07 $ 8,000 $ 7,996 HSBC Finance 5.257%, 06/12/07 25,000 24,960 ING Funding 5.266%, 06/05/07 30,000 29,983 KKR Pacific Funding Trust (C) 5.310%, 06/15/07 10,426 10,405 OCALA Funding (C) 5.310%, 06/19/07 4,320 4,309 Rhineland Funding Capital (C) 5.280%, 06/06/07 2,117 2,116 Thornburg Mortgage Capital Resources (C) 5.290%, 06/07/07 11,521 11,511 Toyota Credit Puerto Rico 5.251%, 06/15/07 40,000 39,918 Toyota Motor Credit 5.250%, 06/18/07 20,000 19,951 Valour Bay Capital LLC (C) 5.320%, 06/11/07 4,702 4,695 5.320%, 06/13/07 8,641 8,625 -------------- Total Commercial Paper (Cost $164,469) ($ Thousands) 164,469 -------------- U.S. TREASURY OBLIGATIONS -- 0.4% U.S. Treasury Bills (D) (G) 5.869%, 07/05/07 2,550 2,539 5.016%, 06/14/07 500 499 4.813%, 08/23/07 4,078 4,035 U.S. Treasury Bond 2.375%, 04/15/11 22,729 22,599 -------------- Total U.S. Treasury Obligations (Cost $29,744) ($ Thousands) 29,672 -------------- CERTIFICATES OF DEPOSIT (C) -- 0.1% Barclays Bank (E) 5.440%, 06/11/07 2,880 2,880 CC USA MTN (A) 5.520%, 06/18/07 5,761 5,761 -------------- Total Certificates of Deposit (Cost $8,641) ($ Thousands) 8,641 -------------- MASTER NOTE (C) (D) -- 0.1% Bear Stearns 5.430%, 06/01/07 5,761 5,761 -------------- Total Master Note (Cost $5,761) ($ Thousands) 5,761 -------------- -------------------------------------------------------------------------------- 62 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (C) (J) -- 0.9% Barclays Capital 5.280%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $1,985,759 (collateralized by a U.S. Government obligation, par value $2,025,388, 0.000%, 06/01/07, total market value $2,025,186) $ 1,985 $ 1,985 Deutsche Bank 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $5,669,387 (collateralized by U.S. Government obligations, ranging in par value $31,337-$1,866,399, 4.000%-6.000%, 02/01/08-11/04/20, total market value $5,781,944) 5,669 5,669 Lehman Brothers 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $63,374,717 (collateralized by U.S. Government obligations, ranging in par value $13,387,551-$109,717,804, 3.875%-8.875%, 06/15/08-03/15/31, total market value $64,632,764) 63,365 63,365 -------------- Total Repurchase Agreements (Cost $71,019) ($ Thousands) 71,019 -------------- Total Investments -- 108.6% (Cost $7,477,570) ($ Thousands) $ 8,505,484 ============== A summary of the open future contracts held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- 90-Day Euro$ (326) Mar-2008 $ 265 90-Day Euro$ (89) Mar-2009 99 90-Day Euro$ (217) Mar-2010 89 90-Day Euro$ (96) Mar-2011 28 90-Day Euro$ (38) Mar-2012 25 90-Day Euro$ 155 Jun-2007 (11) 90-Day Euro$ 99 Jun-2008 (55) 90-Day Euro$ 330 Jun-2009 (269) 90-Day Euro$ (780) Jun-2010 537 90-Day Euro$ (33) Jun-2011 23 90-Day Euro$ (273) Sep-2007 291 90-Day Euro$ (83) Sep-2008 90 90-Day Euro$ 330 Sep-2009 (269) 90-Day Euro$ (140) Sep-2010 91 90-Day Euro$ (28) Sep-2011 19 90-Day Euro$ (208) Dec-2007 105 90-Day Euro$ (895) Dec-2008 800 90-Day Euro$ (278) Dec-2009 136 90-Day Euro$ (69) Dec-2010 38 90-Day Euro$ (38) Dec-2011 26 90-Day GBP Libor (100) Sep-2007 22 3-Month Euribor (79) Sep-2007 3 Australia 10 Year Bond Index (207) Jun-2007 308 Amsterdam Index 10 Jun-2007 30 CAC40 10 Euro 2 Jun-2007 1 Canadian 10 Year Bond Index 112 Jun-2007 (55) DAX Index 4 Jun-2007 79 Euro-Bobl 34 Jun-2007 (71) Euro-Bond 148 Jun-2007 (86) -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- FTSE 100 Index 7 Jun-2007 $ -- Japan 10 Year Bond Index 27 Jun-2007 (83) Long Gilt 10 Year Index (94) Sep-2007 35 S&P 500 Index 4,565 Jun-2007 139,311 S&P 500 Index E-Mini (1) Jun-2007 (4) S&P/MIB Index 5 Jun-2007 108 S&P/TSE 60 Index (1) Jun-2007 (4) SPI 200 Index 13 Jun-2007 22 Topix Index 2 Jun-2007 9 U.S. 2 Year Treasury Note (19) Sep-2007 7 U.S. 5 Year Treasury Note 155 Sep-2007 (46) U.S. 10 Year Treasury Note 186 Sep-2007 (103) U.S. Long Treasury Bond 19 Sep-2007 1 --------- $ 141,542 ========= A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2007 is as follows, (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 6/20/07 AUD 21,900 USD 18,042 $ (73) 6/20/07 CAD 7,700 USD 7,071 (136) 6/20/07 CHF 26,000 USD 21,420 171 6/20/07 EUR 19,425 USD 26,091 (62) 6/20/07 GBP 12,625 USD 25,065 96 6/20/07 JPY 3,617,500 USD 30,663 900 6/20/07 NOK 254,000 USD 42,327 221 6/20/07 NZD 9,500 USD 6,916 (80) 6/20/07 SEK 174,500 USD 25,467 196 6/20/07 USD 20,836 AUD 25,650 381 6/20/07 USD 14,034 CAD 15,200 193 6/20/07 USD 14,620 CHF 17,625 (216) 6/20/07 USD 22,466 EUR 16,500 (251) 6/20/07 USD 17,942 GBP 9,063 (19) 6/20/07 USD 19,185 JPY 2,287,500 (365) 6/20/07 USD 45,062 NOK 272,500 110 6/20/07 USD 11,699 NZD 16,225 249 6/20/07 USD 27,601 SEK 188,000 (374) --------- $ 941 ========= A summary of outstanding swap agreements held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements):
---------------------------------------------------------------------------------------------- TOTAL RETURN SWAPS ---------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ---------------------------------------------------------------------------------------------- Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 8 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. (Counterparty: Bank of America) 09/30/07 32,000 $ 54 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 12.5 basis points times the notion- al 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: Wachovia) 09/30/07 40,000 69 Receive payment on the monthly reset spread from Banc of America - CMBS IG 10Yr Index plus 20 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. (Counterparty: Bank of America) 10/31/07 70,000 (120)
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 63 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund (Continued) May 31, 2007
---------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ---------------------------------------------------------------------------------------------- Receive payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5 Plus Index plus 12.5 basis points times the notion- al 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: Wachovia) 05/31/07 90,000 53 Receive payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5 Plus Index minus 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. (Counterparty: Wachovia) 06/30/07 22,000 10 Receive payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5 Plus Index plus 7 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. (Counterparty: Wachovia) 12/31/07 80,000 11 Receive payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5 Plus Index plus 12 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. (Counterparty: Merrill Lynch) 09/30/07 100,000 58 -------- $ 135 ========
---------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS ---------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ---------------------------------------------------------------------------------------------- Fund receives monthly payment of 0.4400% (5.280% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 05/25/46 101,000 $ (300) Fund receives monthly payment of 0.6400% (7.680% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 08/25/37 3,500 122 Fund pays quarterly payment of 0.3200% (1.280% per annum) times the notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 03/20/14 3,700 22 Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 4,375 6 Fund pays quarterly payment of 0.4400% (1.760% per annum) times the notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 4,375 (40) Fund pays quarterly payment of 0.5500% (2.200% per annum) times the notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 4,375 (24) Fund pays quarterly payment of 0.2000% (0.800% per annum) times the notional amount of Campbell Soup Co., 4.875%, 10/01/13. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 06/20/14 6,850 (16)
---------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ---------------------------------------------------------------------------------------------- Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 4,375 -- Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 79,300 554 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 5,950 10 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 4,000 9 Fund pays quarterly payment of 0.4450% (1.780% per annum) times the notional amount of Darden Restaurants, Inc., 7.125%, 02/01/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 4,250 (4) Fund pays quarterly payment of 0.3700% (1.480% per annum) times the notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 4,375 (29) Fund pays quarterly payment of 0.4250% (1.700% per annum) times the notional amount of Eastman Chemical Co., 7.600%, 02/01/27. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 4,250 (19) Fund pays quarterly payment of 1.1800% (4.720% per annum) times the notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 4,375 (71) Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 4,375 (22) Fund pays quarterly payment of 0.4750% (1.900% per annum) times the notional amount of The Limited, Inc., 6.125%, 12/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 4,250 (7) Fund pays quarterly payment of 0.7300% (2.920% per annum) times the notional amount of Masco Corp., 5.875%, 07/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 4,250 (16) Fund pays quarterly payment of 0.4750% (1.900% per annum) times the notional amount of MeadWestvaco, 6.850%, 04/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 4,250 (2) Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of MGIC Investment Corp., 6.000%, 03/01/15. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 4,375 14
-------------------------------------------------------------------------------- 64 SEI Institutional Investments Trust / Annual Report / May 31, 2007
---------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ---------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.2200% (0.880% per annum) times the notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 4,375 (19) Fund pays quarterly payment of 0.1400% (0.560% per annum) times the notional amount of Pitney Bowes, Inc., 4.625%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 9,100 23 Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 4,375 6 Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 4,375 43 Fund pays quarterly payment of 0.1900% (0.760% per annum) times the notional amount of TJX Cos, Inc., 7.450%, 12/15/09. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 4,250 24 Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 4,375 (20) Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 07/25/45 5,625 30 Fund receives monthly payment of 0.6400% (7.680% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 5,000 23 Fund pays quarterly payment of 0.3400% (1.360% per annum) times the notional amount of Agrium, Inc., 8.250%, 02/15/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 4,250 (22) Fund pays quarterly payment of 0.4600% (1.840% per annum) times the notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 4,375 (44) Fund pays quarterly payment of 0.5500% (2.200% per annum) times the notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 4,375 (24) Fund pays quarterly payment of 0.2150% (0.860% per annum) times the notional amount of Carnival Corp., 6.650%, 01/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 06/20/12 4,000 (2) Fund pays quarterly payment of 0.2600% (1.040% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 4,375 17
---------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ---------------------------------------------------------------------------------------------- Fund pays quarterly payment of 1.1800% (4.720% per annum) times the notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 4,250 (72) Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Hasbro, Inc., 2.750%, 12/01/21. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 4,250 37 Fund pays quarterly payment of 0.7700% (3.080% per annum) times the notional amount of Jones Apparel Group, Inc., 5.125%, 11/15/14. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 4,250 15 Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Lubrizol Corp., 7.250%, 06/15/35. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 4,375 (20) Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of MGIC Investment Corp., 6.000%, 03/15/07. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 4,375 43 Fund pays quarterly payment of 0.2800% (1.120% per annum) times the notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 4,375 (3) Fund pays quarterly payment of 0.2200% (0.880% per annum) times the notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 4,375 (19) Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 4,375 48 Fund pays quarterly payment of 0.2000% (0.800% per annum) times the notional amount of PPG Industries, Inc., 7.050%, 08/15/09. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 4,250 2 Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 4,250 (34) Fund pays quarterly payment of 0.2700% (1.080% per annum) times the notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 4,250 14 Fund pays quarterly payment of 0.3200% (1.280% per annum) times the notional amount of Washington Mutual Co., 5.250%, 09/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 03/20/12 4,000 (8) Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 07/25/45 14,150 52
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 65 SCHEDULE OF INVESTMENTS Large Cap Disciplined Equity Fund (Concluded) May 31, 2007
---------------------------------------------------------------------------------------------- UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ---------------------------------------------------------------------------------------------- Fund receives monthly payment of 0.6400% (7.680% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 3,000 (12) Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 3,700 27 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG., Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 22,225 160 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 79,300 554 Fund receives quarterly payment of 0.4400% (1.760% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 8,750 (86) Fund pays quarterly payment of 0.2500% (1.000% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 4,375 20 Fund pays quarterly payment of 0.1300% (0.520% per annum) times the notional amount of Lowe's Cos., 8.250%, 06/01/10. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 4,250 5 Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 4,375 (18) Fund pays quarterly payment of 0.9000% (3.600% per annum) times the notional amount of MDC Holdings, Inc., 5.500%, 05/15/13. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 4,250 (39) Fund pays quarterly payment of 0.2800% (1.120% per annum) times the notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 4,375 (3) Fund pays quarterly payment of 0.6900% (2.760% per annum) times the notional amount of RR Donnelly & Sons Co., 4.950%, 04/01/14. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 4,250 (3) Fund pays quarterly payment of 0.2700% (1.080% per annum) times the notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 4,375 14 Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 03/20/12 4,375 (13) Fund pays quarterly payment of 0.3380% (1.352% per annum) times the notional amount of Whirlpool Corp., 7.750%, 07/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 4,250 (1) -------- $ 882 ========
-------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $7,833,212 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 2007. + Real Estate Investments Trust ++ Affiliated security (A) This security was sold within terms of a private placement memorandum, exempt from registration under Section 3A-4, 4(2) or 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 May 31, 2007 (See Note 9). The total value of securities on loan at May 31, 2007 was $387,291 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (See Note 9). The total value of such securities as of May 31, 2007 was $398,629 ($ 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 May 31, 2007. The date reported on the Schedule of Investments is the next reset date. (F) Security considered illiquid. The total value of the security as of May 31, 2007 was $561 ($ Thousands), representing 0.01% of the Fund's net assets. (G) Security, or a portion thereof, has been pledged as collateral on open future contracts. (H) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on May 31, 2007. 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) Tri-Party Repurchase Agreement ARM -- Adjustable Rate Mortgage AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CMO -- Collateralized Mortgage Obligation 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 LIBOR -- London Interbank Offering Rate LLC -- Limited Liability Company LP -- Limited Partnership MTN -- Medium Term Note NIM -- Net Interest Margin NOK -- Norwegian Krone NZD -- New Zealand Dollar PLC -- Public Liability Company SEK -- Swedish Krona Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced 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. -------------------------------------------------------------------------------- 66 SEI Institutional Investments Trust / Annual Report / May 31, 2007 Large Cap Index Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 21.6% Financials 13.4% Information Technology 10.8% Health Care 9.8% Consumer Discretionary 9.8% Industrials 8.4% Energy 7.8% Consumer Staples 6.7% Short-Term Investments 3.6% Utilities 3.4% Telecommunication Services 3.1% Materials 1.0% Commercial Paper 0.2% Certificate of Deposit 0.2% U.S. Treasury Obligations 0.1% Master Note 0.1% Asset-Backed Securities ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 98.2% CONSUMER DISCRETIONARY -- 10.8% Abercrombie & Fitch, Cl A 2,402 $ 199 Advance Auto Parts 2,808 116 Amazon.com (B)* 8,489 587 American Eagle Outfitters 4,671 126 AnnTaylor Stores* 1,847 72 Apollo Group, Cl A* 3,664 176 Autoliv 2,218 132 Autonation* 4,132 91 Autozone* 1,407 181 Barnes & Noble 1,238 53 Beazer Homes USA (B) 1,037 37 Bed Bath & Beyond (B)* 7,615 310 Best Buy 10,647 514 BorgWarner (B) 1,641 138 Boyd Gaming 1,051 53 Brinker International 3,483 111 Brunswick 2,533 87 Burger King Holdings 500 13 Cablevision Systems, Cl A 5,942 215 Career Education* 2,459 86 Carmax* 5,860 141 CBS, Cl B 18,269 608 Centex 3,256 158 Cheesecake Factory (B)* 2,046 58 Chico's FAS* 4,616 126 Choice Hotels International 884 36 Circuit City Stores 4,985 80 Clear Channel Communications 13,535 520 Clear Channel Outdoor Holdings, Cl A* 700 20 Coach* 10,367 532 Coldwater Creek* 1,700 42 Comcast, Cl A (B)* 78,625 2,155 CTC Media* 700 18 Darden Restaurants 3,922 179 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Dick's Sporting Goods (B)* 1,029 $ 57 Dillard's, Cl A 1,675 61 DIRECTV Group* 21,858 511 Discovery Holding, Cl A* 7,242 169 Dollar General 8,431 182 Dollar Tree Stores* 2,653 112 Dow Jones (B) 1,677 89 DR Horton 8,768 205 DreamWorks Animation SKG, Cl A* 934 28 E.W. Scripps, Cl A 2,272 104 Eastman Kodak (B) 7,767 197 EchoStar Communications, Cl A (B)* 5,662 261 Expedia (B)* 5,124 123 Family Dollar Stores (B) 4,262 143 Federated Department Stores* 12,330 492 Foot Locker 4,469 98 Ford Motor (B) 48,024 401 Fortune Brands 4,020 325 GameStop, Cl A* 3,600 133 Gannett 6,359 374 Gap 13,759 255 General Motors (B) 12,581 377 Gentex 3,932 70 Genuine Parts 4,671 240 Getty Images* 1,519 76 Goodyear Tire & Rubber* 5,652 201 H&R Block (B) 8,825 209 Hanesbrands* 2,643 69 Harley-Davidson (B) 7,203 440 Harman International Industries 1,768 210 Harrah's Entertainment 4,975 425 Harte-Hanks 1,489 39 Hasbro 4,467 144 Hearst-Argyle Television 863 22 Hilton Hotels (B) 10,324 367 Home Depot 53,015 2,061 IAC/InterActive* 4,664 161 Idearc* 3,955 139 International Game Technology 9,143 367 International Speedway, Cl A 912 48 Interpublic Group (B)* 12,575 148 ITT Educational Services* 1,121 127 J.C. Penney 6,251 503 Jarden* 1,300 55 John Wiley & Sons, Cl A 1,242 57 Johnson Controls 5,215 572 Jones Apparel Group 3,053 91 KB Home 2,080 95 Kohl's* 8,819 664 Lamar Advertising, Cl A 2,140 140 Las Vegas Sands* 3,693 288 Laureate Education* 1,231 74 Leggett & Platt 4,919 120 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 67 SCHEDULE OF INVESTMENTS Large Cap Index Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Lennar, Cl A 3,530 $ 161 Liberty Global, Cl A* 10,896 418 Liberty Media Holding-Capital, Ser A* 3,792 428 Liberty Media Holding-Interactive, Cl A* 17,647 428 Limited Brands 9,457 248 Liz Claiborne 2,661 92 Lowe's (B) 41,810 1,372 Marriott International, Cl A 8,550 394 Mattel 10,442 293 McClatchy, Cl A 1,417 39 McDonald's 33,080 1,672 McGraw-Hill 9,539 671 MDC Holdings 816 44 Meredith 758 47 MGM Mirage* 3,192 254 Mohawk Industries (B)* 1,366 139 New York Times, Cl A (B) 3,524 89 Newell Rubbermaid 7,365 234 News, Cl A 61,985 1,369 Nike, Cl B (B) 10,348 587 Nordstrom 6,412 333 Nutri/System (B)* 900 59 NVR* 124 99 O'Reilly Automotive* 3,240 123 Office Depot* 7,789 284 OfficeMax 1,974 89 Omnicom Group 4,522 476 OSI Restaurant Partners 1,602 65 Panera Bread, Cl A (B)* 762 43 Penn National Gaming (B)* 2,089 112 PetSmart 3,773 129 Polo Ralph Lauren 1,680 164 Pool (B) 1,292 53 Pulte Homes (B) 6,018 164 R.H. Donnelley 1,361 106 RadioShack 3,871 132 Regal Entertainment Group, Cl A (B) 1,988 46 Ross Stores 3,871 127 Ryland Group (B) 1,075 50 Saks 3,306 66 Sally Beauty Holdings* 1,887 17 Scientific Games, Cl A* 1,966 73 Sears Holdings* 2,328 419 Service International (B) 8,394 117 ServiceMaster 7,782 121 Sherwin-Williams 3,037 205 Sirius Satellite Radio (B)* 38,952 114 Snap-On 1,491 81 Standard-Pacific 1,539 33 Stanley Works 2,109 133 Staples 19,564 490 Starbucks (B)* 20,706 597 Starwood Hotels & Resorts Worldwide 5,784 417 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Station Casinos 1,219 $ 107 Target 23,385 1,460 Thor Industries 1,000 44 Tiffany (B) 3,525 185 Tim Hortons 4,986 155 Time Warner 100,837 2,155 TJX 12,354 346 Toll Brothers* 3,351 98 Tractor Supply (B)* 1,000 53 TravelCenters of America LLC* 176 8 Tribune (B) 4,900 158 TRW Automotive Holdings* 993 40 United Auto Group 1,200 27 Urban Outfitters (B)* 3,120 83 VF 2,417 227 Viacom, Cl B* 17,169 771 Virgin Media 7,620 198 Walt Disney 55,484 1,966 Warner Music Group (B) 2,562 43 Washington Post, Cl B 157 121 Weight Watchers International 962 50 Wendy's International 2,713 109 Westfield Financial 1,868 176 Whirlpool 1,987 222 Williams-Sonoma (B) 2,662 90 Wyndham Worldwide* 5,068 189 Wynn Resorts (B)* 1,396 135 XM Satellite Radio Holdings, Cl A* 7,837 91 Yum! Brands 7,324 496 -------------- 45,208 -------------- CONSUMER STAPLES -- 8.6% Alberto-Culver* 2,187 54 Altria Group 56,168 3,994 Anheuser-Busch 20,779 1,108 Archer-Daniels-Midland 17,579 616 Avon Products 12,106 465 Bare Escentuals* 700 29 BJ's Wholesale Club* 1,872 71 Brown-Forman, Cl B 1,675 114 Campbell Soup 6,178 245 Church & Dwight 1,632 82 Clorox 4,103 275 Coca-Cola 54,820 2,905 Coca-Cola Enterprises 8,515 199 Colgate-Palmolive 13,875 929 ConAgra Foods 13,986 357 Constellation Brands, Cl A* 5,631 137 Corn Products International 2,100 86 Costco Wholesale (B) 11,981 677 CVS 41,952 1,617 Dean Foods 3,487 114 -------------------------------------------------------------------------------- 68 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Del Monte Foods 5,258 $ 63 Energizer Holdings (B)* 1,541 153 Estee Lauder, Cl A 3,354 159 General Mills 9,496 581 Hansen Natural (B)* 1,600 64 Hershey 4,698 248 HJ Heinz 9,037 430 Hormel Foods 1,939 73 JM Smucker 1,655 95 Kellogg 6,703 362 Kimberly-Clark 12,418 881 Kraft Foods, Cl A 44,840 1,517 Kroger 19,373 587 Loews - Carolina 2,493 194 McCormick 3,593 134 Molson Coors Brewing, Cl B 1,431 131 Pepsi Bottling Group 3,682 129 PepsiAmericas 1,494 37 PepsiCo 44,437 3,036 Procter & Gamble 88,277 5,610 Reynolds American (B) 4,610 300 Rite Aid (B)* 14,201 90 Safeway 12,120 418 Sara Lee 20,451 366 Smithfield Foods* 2,775 89 Supervalu 5,489 261 Sysco 16,648 551 Tyson Foods, Cl A 6,265 140 UST (B) 4,469 239 Wal-Mart Stores 66,179 3,150 Walgreen 27,225 1,229 Whole Foods Market (B) 3,852 158 WM Wrigley Jr. 6,200 363 -------------- 35,912 -------------- ENERGY -- 9.3% Anadarko Petroleum 12,440 618 Apache 8,859 715 Arch Coal 3,912 158 Baker Hughes 8,601 709 BJ Services 8,088 237 Cabot Oil & Gas 2,800 109 Cameron International* 3,022 214 Cheniere Energy (B)* 1,500 57 Chesapeake Energy 11,166 389 Chevron 59,702 4,865 Cimarex Energy 2,300 97 CNX Gas (B)* 800 24 ConocoPhillips 44,476 3,444 Consol Energy 4,944 240 Denbury Resources* 3,324 120 Devon Energy 11,813 907 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Diamond Offshore Drilling 1,709 $ 161 Dresser-Rand Group* 734 26 El Paso 18,403 314 ENSCO International 4,123 250 EOG Resources 6,545 503 Exxon Mobil 154,212 12,826 FMC Technologies* 1,780 135 Forest Oil (B)* 1,314 53 Foundation Coal Holdings 1,300 57 Frontier Oil 3,000 121 Global Industries* 2,500 59 Grant Prideco* 3,427 195 Halliburton 25,497 917 Helix Energy Solutions Group* 2,400 96 Helmerich & Payne 2,850 97 Hess 7,312 433 Holly (B) 1,300 91 Marathon Oil 9,288 1,150 Massey Energy 1,961 57 Murphy Oil (B) 5,054 298 National Oilwell Varco* 4,692 443 Newfield Exploration* 3,499 168 Noble Energy 4,662 295 Occidental Petroleum 23,054 1,267 Oceaneering International* 1,500 75 Overseas Shipholding Group 727 58 Patterson-UTI Energy 4,432 117 Peabody Energy (B) 7,174 388 Pioneer Natural Resources 3,244 167 Plains Exploration & Production* 1,947 103 Pogo Producing (B) 1,470 79 Pride International* 4,429 159 Quicksilver Resources (B)* 1,701 76 Range Resources 3,939 153 Rowan 2,986 118 SEACOR Holdings* 600 55 Smith International (B) 5,331 296 Southwestern Energy* 4,488 214 Spectra Energy* 16,809 448 St. Mary Land & Exploration 1,600 60 Sunoco 3,256 260 Superior Energy Services* 2,200 88 Tesoro 3,746 232 Tetra Technologies (B)* 2,000 56 Tidewater 1,570 104 Todco* 1,700 84 Unit* 1,127 69 Valero Energy 14,736 1,100 W&T Offshore 400 12 Williams 15,946 506 XTO Energy 9,711 563 -------------- 38,555 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 69 SCHEDULE OF INVESTMENTS Large Cap Index Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- FINANCIALS -- 20.8% A.G. Edwards 2,057 $ 181 Affiliated Managers Group (B)* 833 108 Aflac 13,456 711 Alleghany (B)* 132 49 Allied Capital (B) 3,964 126 Allstate 17,125 1,053 AMB Property+ 2,644 153 AMBAC Financial Group 2,768 248 American Capital Strategies (B) 4,321 209 American Express 29,134 1,893 American Financial Group 2,414 86 American International Group 59,276 4,288 American National Insurance 422 61 AmeriCredit (B)* 3,072 82 Ameriprise Financial 5,900 371 Annaly Capital Management+ 6,911 107 AON (B) 7,950 341 Apartment Investment & Management, Cl A+ 2,584 142 Archstone-Smith Trust+ 5,740 354 Arthur J. Gallagher 2,604 77 Associated Banc 3,384 112 Assurant 3,293 196 Astoria Financial 2,314 62 AvalonBay Communities+ (B) 2,089 272 Bancorpsouth 2,200 55 Bank of America 122,823 6,228 Bank of Hawaii 1,382 74 Bank of New York 20,352 825 BB&T 15,006 632 Bear Stearns (B) 3,274 491 BlackRock 485 74 BOK Financial 475 26 Boston Properties+ (B) 3,084 357 Brandywine Realty Trust+ (B) 2,500 79 BRE Properties, Cl A+ 1,320 83 Brown & Brown 2,824 74 Camden Property Trust+ (B) 1,447 108 Capital One Financial (B) 10,925 872 CapitalSource+ 2,582 68 Capitol Federal Financial 527 20 CB Richard Ellis Group, Cl A* 5,117 190 CBL & Associates Properties+ 1,906 78 Cbot Holdings, Cl A (B)* 1,400 275 Charles Schwab 28,085 631 Chicago Mercantile Exchange Holdings, Cl A 942 500 Chubb 11,218 616 Cincinnati Financial 4,186 190 CIT Group 5,424 325 Citigroup 133,845 7,293 City National 1,038 80 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CNA Financial* 700 $ 36 Colonial BancGroup 3,954 100 Colonial Properties Trust+ (B) 1,300 64 Comerica 4,353 273 Commerce Bancorp 4,854 168 Commerce Bancshares* 1,914 90 Compass Bancshares 3,537 248 Conseco* 3,877 76 Countrywide Financial (B) 16,475 642 Cullen/Frost Bankers 1,668 89 Developers Diversified Realty+ 3,253 201 Douglas Emmett+* 2,000 53 Duke Realty+ 3,709 149 E*Trade Financial* 11,438 274 East West Bancorp 1,488 60 Eaton Vance 3,310 145 Equity Residential+ (B) 7,787 395 Erie Indemnity, Cl A 1,419 79 Essex Property Trust+ 669 85 Fannie Mae 26,133 1,670 Federal Realty Investment Trust+ 1,496 133 Federated Investors, Cl B 2,658 103 Fidelity National Financial, Cl A 5,904 166 Fifth Third Bancorp (B) 12,682 537 First American 2,184 117 First Citizens BancShares, Cl A 200 39 First Horizon National (B) 3,229 130 First Marblehead (B) 1,198 45 Forest City Enterprises, Cl A (B) 1,942 136 Franklin Resources 4,603 625 Freddie Mac 18,607 1,243 Fulton Financial 4,195 64 General Growth Properties+ 4,740 280 Genworth Financial, Cl A 12,092 436 Goldman Sachs Group 9,675 2,233 Hanover Insurance Group 1,293 63 Hartford Financial Services Group 8,610 888 HCC Insurance Holdings 2,841 93 Health Care Property Investors+ 5,174 169 Health Care+ (B) 2,083 91 Hospitality Properties Trust+ 2,466 110 Host Hotels & Resorts+ (B) 13,900 355 HRPT Properties Trust+ 5,102 59 Hudson City Bancorp (B) 15,428 203 Huntington Bancshares (B) 6,589 148 IndyMac Bancorp (B) 2,099 70 IntercontinentalExchange* 1,800 261 Investment Technology Group* 1,200 49 Investors Financial Services 1,755 108 iStar Financial+ 3,295 158 Janus Capital Group 5,065 140 Jefferies Group 3,214 98 Jones Lang LaSalle 1,000 117 -------------------------------------------------------------------------------- 70 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- JPMorgan Chase 93,522 $ 4,847 Keycorp 10,695 381 Kilroy Realty+ 900 67 Kimco Realty+ 6,044 280 Legg Mason 3,481 352 Lehman Brothers Holdings 14,394 1,056 Leucadia National (B) 4,220 151 Liberty Property Trust+ 2,306 108 Lincoln National 7,588 550 Loews 11,818 603 M&T Bank 1,983 219 Macerich+ 1,868 167 Mack-Cali Realty+ 1,898 92 Markel* 250 123 Marsh & McLennan (B) 14,865 488 Marshall & Ilsley 6,860 329 MBIA 3,559 237 Mellon Financial 11,063 479 Mercury General 696 39 Merrill Lynch 23,349 2,165 Metlife 12,538 853 MGIC Investment 2,315 150 Moody's (B) 6,427 448 Morgan Stanley 28,878 2,456 NASDAQ Stock Market (B)* 2,600 87 National City 14,476 501 Nationwide Financial Services, Cl A 1,361 84 Nelnet, Cl A 363 9 New York Community Bancorp 8,172 143 Northern Trust 5,905 384 Nuveen Investments, Cl A 2,148 118 Nymex Holdings 200 25 NYSE Euronext (B)* 7,100 590 Old Republic International 5,890 128 People's United Financial 3,334 67 Philadelphia Consolidated Holding* 1,648 68 Plum Creek Timber+ (B) 5,021 210 PMI Group 2,343 116 PNC Financial Services Group 9,403 694 Popular (B) 7,230 124 Principal Financial Group 7,418 451 Progressive 21,180 488 Prologis+ 6,588 426 Protective Life 1,809 90 Prudential Financial 12,463 1,271 Public Storage+ 3,268 292 Radian Group (B) 2,198 136 Raymond James Financial 2,421 81 Rayonier+ 1,903 86 Regency Centers+ 1,908 150 Regions Financial 19,787 706 Reinsurance Group of America 799 50 Safeco 2,835 178 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SEI (H) 1,821 $ 112 Simon Property Group+ (B) 5,952 643 Sky Financial Group 2,865 79 SL Green Realty+ (B) 1,568 220 SLM 11,114 625 South Financial Group 1,800 43 Sovereign Bancorp 10,558 245 St. Joe (B) 2,061 108 Stancorp Financial Group 1,442 73 State Street (B) 8,904 608 Student Loan 102 21 SunTrust Banks 9,746 870 Synovus Financial 7,072 234 T. Rowe Price Group 7,080 364 Taubman Centers+ 1,500 83 TCF Financial 3,801 107 TD Ameritrade Holding (B)* 8,645 177 Thornburg Mortgage+ (B) 3,241 90 Torchmark 2,650 186 Transatlantic Holdings 655 47 Travelers 18,744 1,015 UDR+ 3,819 116 UnionBanCal 1,397 86 Unitrin 1,260 62 UnumProvident (B) 9,405 250 US Bancorp (B) 47,943 1,658 Valley National Bancorp (B) 3,008 74 Ventas+ (B) 3,544 150 Vornado Realty Trust+ 3,510 425 Wachovia 50,764 2,751 Washington Federal 2,263 57 Washington Mutual (B) 23,627 1,033 Webster Financial 1,346 61 Weingarten Realty Investors+ (B) 2,067 96 Wells Fargo 90,486 3,266 Wesco Financial 41 18 Whitney Holding 1,557 48 Wilmington Trust 1,692 72 WR Berkley 4,214 139 Zions Bancorporation 2,802 225 -------------- 86,820 -------------- HEALTH CARE -- 11.9% Abbott Laboratories 40,976 2,309 Abraxis BioScience (B)* 563 14 Advanced Medical Optics* 1,627 57 Aetna 13,934 738 Allergan 4,048 504 AmerisourceBergen 5,162 264 Amgen* 31,767 1,789 Amylin Pharmaceuticals (B)* 3,000 139 Applera - Applied Biosystems Group 5,194 147 Barr Pharmaceuticals* 2,982 159 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 71 SCHEDULE OF INVESTMENTS Large Cap Index Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Bausch & Lomb* 1,430 $ 97 Baxter International 17,675 1,005 Beckman Coulter 1,812 119 Becton Dickinson 6,644 507 Biogen Idec* 9,114 476 Biomet 6,690 292 Boston Scientific* 33,039 518 Bristol-Myers Squibb 53,013 1,607 Brookdale Senior Living 700 33 C.R. Bard 2,785 235 Cardinal Health 10,329 748 Celgene* 9,992 612 Cephalon (B)* 1,748 145 Cerner (B)* 1,774 101 Charles River Laboratories International* 1,843 98 Cigna 2,585 433 Community Health Systems* 2,862 109 Cooper 1,104 61 Covance* 1,336 89 Coventry Health Care* 4,362 260 Cytyc* 2,903 123 Dade Behring Holdings 2,242 121 DaVita* 2,708 150 Dentsply International 4,198 152 Edwards Lifesciences* 1,507 76 Eli Lilly 26,461 1,551 Endo Pharmaceuticals Holdings* 3,697 131 Express Scripts* 3,061 313 Forest Laboratories* 8,673 440 Gen-Probe* 1,327 72 Genentech* 12,485 996 Genzyme* 7,053 455 Gilead Sciences* 12,175 1,008 Health Management Associates, Cl A (B) 6,222 68 Health Net* 3,002 171 Henry Schein* 2,284 122 Hillenbrand Industries 1,724 114 HLTH (B)* 4,456 67 Hospira* 4,081 163 Humana* 4,375 271 Idexx Laboratories (B)* 826 73 ImClone Systems* 1,728 71 IMS Health 5,361 175 Intuitive Surgical (B)* 1,000 138 Invitrogen (B)* 1,290 93 Johnson & Johnson 79,709 5,043 Kinetic Concepts* 1,213 61 King Pharmaceuticals (B)* 6,226 132 Laboratory of America Holdings* 3,111 245 LifePoint Hospitals* 1,376 56 Lincare Holdings* 2,327 93 Manor Care (B) 1,994 136 McKesson 8,166 516 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Medco Health Solutions* 7,510 $ 584 Medimmune* 6,694 387 Medtronic 32,485 1,727 Merck 58,740 3,081 Millennium Pharmaceuticals* 7,816 85 Millipore* 1,486 111 Mylan Laboratories 6,619 131 Omnicare (B) 3,131 117 Patterson* 3,583 134 PDL BioPharma (B)* 3,031 83 Pediatrix Medical Group* 1,400 81 PerkinElmer 3,334 88 Pfizer 197,255 5,423 Pharmaceutical Product Development 2,684 98 Quest Diagnostics (B) 4,144 203 Resmed* 2,155 97 Respironics* 1,840 81 Schering-Plough 39,909 1,307 Sepracor (B)* 2,861 139 Sierra Health Services* 1,334 56 St. Jude Medical* 9,146 390 Stryker (B)* 8,004 539 Techne* 941 56 Tenet Healthcare (B)* 12,694 88 Thermo Fisher Scientific* 11,125 607 Triad Hospitals* 2,463 132 UnitedHealth Group 36,229 1,984 Universal Health Services, Cl B 1,188 73 Varian Medical Systems* 3,530 142 VCA Antech* 2,339 93 Vertex Pharmaceuticals* 3,400 102 Waters* 2,772 167 Watson Pharmaceuticals* 2,518 78 WebMD Health, Cl A (B)* 300 15 WellCare Health Plans* 900 83 WellPoint* 17,131 1,395 Wyeth 36,240 2,096 Zimmer Holdings* 6,625 583 -------------- 49,697 -------------- INDUSTRIALS -- 10.8% 3M 20,246 1,781 AGCO* 2,500 108 Alexander & Baldwin 1,082 58 Alliant Techsystems* 936 95 Allied Waste Industries* 6,933 93 American Standard 4,872 291 Ametek 2,947 111 AMR* 6,386 181 Armor Holdings* 800 69 Avery Dennison 2,610 170 Avis Budget Group* 2,784 84 Boeing 21,491 2,162 -------------------------------------------------------------------------------- 72 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Brink's 1,300 $ 86 Burlington Northern Santa Fe 9,798 912 C.H. Robinson Worldwide (B) 4,786 259 Carlisle 1,666 74 Caterpillar 18,088 1,421 ChoicePoint* 2,297 101 Cintas 3,657 140 Con-way 1,323 75 Continental Airlines, Cl B (B)* 2,600 104 Copart* 1,813 57 Corporate Executive Board 1,096 73 Corrections of America* 1,650 107 Covanta Holding* 3,200 79 Crane 1,500 66 CSX 11,932 542 Cummins 2,756 260 Danaher 6,351 467 Deere 6,309 760 Donaldson 1,972 72 Dover 5,457 273 DRS Technologies 1,100 56 Dun & Bradstreet 1,656 166 Eaton 4,126 387 Emerson Electric 22,120 1,072 Equifax 4,056 170 Expeditors International Washington 5,748 251 Fastenal (B)* 3,262 141 FedEx 8,244 920 Flowserve 1,600 111 Fluor 2,304 240 Gardner Denver* 1,500 62 GATX 1,300 67 General Dynamics 10,872 872 General Electric 279,923 10,519 Goodrich 3,392 202 Graco 1,824 73 Harsco 2,270 121 Hertz Global Holdings* 2,300 49 HNI 1,322 58 Honeywell International 20,890 1,210 Hubbell, Cl B 1,592 90 IDEX 2,193 83 Illinois Tool Works (B) 13,480 711 ITT 5,002 337 Jacobs Engineering Group* 3,302 191 JB Hunt Transport Services 2,972 87 Joy Global 3,033 172 Kansas City Southern (B)* 2,100 86 KBR* 4,384 121 Kennametal 1,100 85 Kirby* 1,500 60 L-3 Communications Holdings 3,277 312 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Laidlaw International 2,305 $ 79 Landstar System 1,465 71 Lennox International 1,700 58 Lincoln Electric Holdings 1,200 84 Lockheed Martin 9,829 964 Manitowoc 1,700 129 Manpower 2,284 210 Masco 10,709 324 Monster Worldwide* 3,418 161 MSC Industrial Direct, Cl A 1,120 60 Norfolk Southern 11,233 650 Northrop Grumman 9,178 694 Oshkosh Truck (B) 1,959 121 Paccar (B) 6,680 583 Pall 3,345 150 Parker Hannifin 3,303 335 Pentair 2,761 102 Pitney Bowes 5,985 286 Precision Castparts 3,646 436 Quanta Services* 2,900 87 Raytheon 12,068 671 Republic Services 4,523 137 Robert Half International 4,176 147 Rockwell Automation 4,504 306 Rockwell Collins 4,562 322 Roper Industries 2,400 140 RR Donnelley & Sons 5,677 243 Ryder System 1,506 81 Shaw Group* 2,200 89 Southwest Airlines (B) 21,320 305 Spirit Aerosystems Holdings, Cl A* 1,600 56 SPX 1,611 142 Steelcase, Cl A 2,475 48 Stericycle* 1,113 101 Teleflex 1,140 92 Terex (B)* 2,748 233 Textron 3,461 371 Thomas & Betts* 1,667 97 Timken 2,260 79 Toro 1,060 63 Trinity Industries (B) 2,200 102 UAL (B)* 2,800 110 Union Pacific 7,208 870 United Parcel Service, Cl B 17,341 1,248 United Rentals* 1,800 60 United Technologies 27,166 1,917 URS* 1,400 70 US Airways Group* 1,700 61 USG (B)* 2,298 118 Walter Industries 1,200 39 Waste Management 14,494 560 WESCO International* 1,300 84 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 73 SCHEDULE OF INVESTMENTS Large Cap Index Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- WW Grainger 1,881 $ 166 YRC Worldwide* 1,708 69 -------------- 44,994 -------------- INFORMATION TECHNOLOGY -- 14.8% Activision (B)* 7,778 154 Acxiom 2,400 67 ADC Telecommunications (B)* 2,967 50 Adobe Systems* 16,102 710 Advanced Micro Devices (B)* 15,234 217 Affiliated Computer Services, Cl A* 2,547 149 Agilent Technologies* 10,864 415 Akamai Technologies (B)* 4,518 200 Alliance Data Systems* 2,112 165 Altera* 9,873 225 Amphenol, Cl A 4,892 175 Analog Devices 9,212 334 Apple* 22,923 2,787 Applied Materials (B) 36,755 702 Arrow Electronics* 3,389 139 Atmel* 12,000 67 Autodesk* 6,237 283 Automatic Data Processing 15,492 770 Avaya* 12,515 200 Avnet* 3,310 142 AVX 1,424 26 BEA Systems* 10,507 135 BMC Software* 5,789 192 Broadcom, Cl A* 12,068 369 Broadridge Financial Solutions* 3,873 78 CA (B) 11,238 298 Cadence Design Systems* 7,763 176 CDW (B) 1,622 138 Ceridian* 3,775 134 Checkfree (B)* 2,072 81 Ciena* 2,314 79 Cisco Systems* 164,327 4,424 Citrix Systems* 5,087 171 Cognizant Technology Solutions, Cl A* 3,744 294 Computer Sciences* 4,664 258 Compuware* 8,751 99 Convergys* 3,669 94 Corning* 41,958 1,049 Cree (B)* 2,222 50 Cypress Semiconductor* 5,000 107 Dell* 62,243 1,672 Diebold 1,829 91 Dolby Laboratories, Cl A* 843 28 DST Systems* 1,495 125 eBay* 31,711 1,033 Electronic Arts* 8,165 399 Electronic Data Systems 13,942 402 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- EMC* 59,264 $ 1,001 F5 Networks* 1,019 83 Factset Research Systems 1,200 77 Fair Isaac 1,626 62 Fairchild Semiconductor International* 3,400 63 Fidelity National Information Services 5,028 271 First Data 20,528 671 Fiserv* 4,869 289 Global Payments 1,634 65 Google, Cl A* 5,608 2,791 Harris 3,589 179 Hewitt Associates, Cl A* 2,863 86 Hewlett-Packard 75,401 3,447 Ingram Micro, Cl A* 4,123 85 Integrated Device Technology* 5,600 84 Intel 156,558 3,471 International Business Machines (B) 41,698 4,445 International Rectifier* 1,755 64 Intersil, Cl A 3,861 116 Intuit* 9,386 286 Iron Mountain* 4,363 120 Jabil Circuit 4,874 112 JDS Uniphase (B)* 5,140 67 Juniper Networks* 15,225 372 Kla-Tencor (B) 5,409 297 Lam Research* 3,791 203 Lexmark International, Cl A* 2,686 140 Linear Technology (B) 6,857 246 LSI Logic* 20,148 175 Mastercard, Cl A (B) 1,700 254 Maxim Integrated Products 8,724 268 McAfee* 4,373 161 MEMC Electronic Materials* 3,938 239 Mettler Toledo International* 1,036 102 Microchip Technology (B) 5,622 228 Micron Technology (B)* 19,416 237 Microsoft 224,000 6,870 Molex 3,570 106 MoneyGram International 2,400 70 Motorola 62,334 1,134 National Instruments 1,436 45 National Semiconductor 8,656 233 NAVTEQ* 2,569 110 NCR* 4,789 257 Network Appliance (B)* 9,955 320 Novell* 8,426 66 Novellus Systems (B)* 3,677 113 Nvidia* 9,304 323 Oracle* 106,967 2,073 Paychex 9,007 364 PMC - Sierra (B)* 5,800 45 QLogic* 4,180 71 -------------------------------------------------------------------------------- 74 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Qualcomm 44,950 $ 1,931 Rambus (B)* 2,500 47 Red Hat (B)* 5,327 131 Riverbed Technology (B)* 300 13 Salesforce.com (B)* 2,438 115 SanDisk (B)* 6,143 268 Sanmina-SCI* 14,365 51 Silicon Laboratories* 1,400 48 Solectron (B)* 22,315 76 Spansion, Cl A (B)* 2,400 26 Sun Microsystems* 92,977 474 Symantec* 25,448 509 Synopsys* 3,882 103 Tech Data (B)* 1,550 57 Tektronix 1,979 60 Tellabs* 11,889 130 Teradyne* 4,963 84 Texas Instruments 38,708 1,369 Total System Services (B) 969 32 Trimble Navigation* 3,114 91 Unisys* 8,532 71 VeriFone Holdings* 1,300 45 VeriSign* 6,585 196 Vishay Intertechnology* 4,350 78 Western Digital* 5,930 112 Western Union* 20,328 456 Xerox* 26,151 493 Xilinx 9,257 264 Yahoo! (B)* 37,881 1,087 Zebra Technologies, Cl A* 1,825 73 -------------- 61,500 -------------- MATERIALS -- 3.4% Air Products & Chemicals 5,994 467 Airgas 2,015 86 Albemarle 2,144 87 Alcoa 23,402 966 Allegheny Technologies 2,697 312 Ashland 1,676 101 Ball 2,775 154 Bemis 2,774 93 Cabot 1,673 81 Carpenter Technology 700 93 Celanese, Ser A 2,083 76 Chemtura 6,854 75 Commercial Metals 3,400 119 Crown Holdings* 4,551 113 Cytec Industries 1,081 64 Domtar* 12,837 140 Dow Chemical (B) 25,870 1,174 E.I. Du Pont de Nemours 24,792 1,297 Eagle Materials 1,400 70 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Eastman Chemical 2,142 $ 142 Ecolab 4,691 202 Florida Rock Industries 1,270 86 FMC 1,030 86 Freeport-McMoRan Copper & Gold, Cl B 10,212 804 Huntsman 2,429 49 International Flavors & Fragrances 2,391 123 International Paper 12,055 472 Louisiana-Pacific 2,846 58 Lubrizol 1,734 114 Lyondell Chemical 6,009 223 Martin Marietta Materials 1,263 196 MeadWestvaco 4,758 167 Monsanto 14,450 890 Mosaic* 4,178 147 Nalco Holding 2,817 74 Newmont Mining (B) 11,133 453 Nucor 8,290 560 Owens-Illinois 4,091 139 Packaging of America 1,899 49 Pactiv* 3,483 118 PPG Industries 4,423 337 Praxair 8,725 594 Reliance Steel & Aluminum 1,800 110 Rohm & Haas 4,353 231 RPM International 2,969 67 Scotts Miracle-Gro, Cl A 1,406 65 Sealed Air 4,268 138 Sigma-Aldrich 3,548 154 Smurfit-Stone Container* 6,845 88 Sonoco Products 2,646 115 Southern Copper (B) 416 37 Steel Dynamics 2,600 122 Temple-Inland 3,075 194 Titanium Metals* 2,158 75 United States Steel 3,383 383 Valhi 122 2 Valspar 2,664 77 Vulcan Materials 2,511 301 Westlake Chemical (B) 600 17 Weyerhaeuser 5,878 482 -------------- 14,309 -------------- TELECOMMUNICATION SERVICES -- 3.8% Alltel 9,695 664 American Tower, Cl A* 11,422 493 AT&T 169,133 6,992 CenturyTel 3,201 158 Citizens Communications 9,155 145 Crown Castle International (B)* 5,496 202 Embarq (B) 3,932 253 Leap Wireless International* 1,400 120 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 75 SCHEDULE OF INVESTMENTS Large Cap Index Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Level 3 Communications (B)* 40,400 $ 235 NeuStar, Cl A* 1,700 50 NII Holdings* 3,920 319 Qwest Communications International (B)* 42,496 437 SBA Communications, Cl A* 2,900 93 Sprint Nextel 78,044 1,783 Telephone & Data Systems 2,902 180 US Cellular* 431 34 Verizon Communications (B) 78,515 3,418 Windstream 11,947 180 -------------- 15,756 -------------- UTILITIES -- 4.0% AES* 17,724 421 AGL Resources 1,947 83 Allegheny Energy* 4,266 228 Alliant Energy 3,176 137 Ameren (B) 5,390 286 American Electric Power 10,650 507 Aqua America (B) 3,177 73 Atmos Energy 2,491 81 Centerpoint Energy 8,015 152 CMS Energy (B) 6,142 112 Consolidated Edison (B) 7,016 342 Constellation Energy Group 4,758 437 Dominion Resources 9,356 829 DPL 3,246 99 DTE Energy (B) 4,764 252 Duke Energy 32,919 643 Dynegy* 10,818 105 Edison International 8,779 511 Energen 2,037 120 Energy East 4,167 101 Entergy 5,598 632 Equitable Resources 3,266 170 Exelon 18,029 1,406 FirstEnergy 8,181 566 FPL Group (B) 10,773 689 Great Plains Energy 2,271 71 Hawaiian Electric Industries 2,146 53 Integrys Energy Group 2,002 112 KeySpan 4,653 194 MDU Resources Group 4,621 140 Mirant* 6,861 318 National Fuel Gas 2,289 104 NiSource 7,421 165 Northeast Utilities 3,907 119 NRG Energy (B)* 3,400 299 NSTAR 2,928 102 OGE Energy 2,268 84 Oneok 3,029 164 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Pepco Holdings 4,944 $ 148 PG&E 9,218 454 Pinnacle West Capital 2,592 120 PPL 10,226 470 Progress Energy 6,761 339 Public Service Enterprise Group 6,726 598 Puget Energy 3,461 87 Questar 2,273 245 Reliant Energy (B)* 9,159 235 SCANA 3,020 128 Sempra Energy 6,923 424 Sierra Pacific Resources* 5,600 106 Southern (B) 19,803 713 Southern Union 2,768 96 TECO Energy 6,100 107 TXU 12,338 832 UGI 2,950 85 Vectren 1,991 58 Wisconsin Energy 3,249 157 Xcel Energy 10,881 250 -------------- 16,559 -------------- Total Common Stock (Cost $262,988) ($ Thousands) 409,310 -------------- CASH EQUIVALENTS -- 5.5% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 5,229,233 5,229 SEI Liquidity Fund L.P., 5.490% (C)**++ 17,777,554 17,778 -------------- Total Cash Equivalents (Cost $23,007) ($ Thousands) 23,007 -------------- CORPORATE OBLIGATIONS (C) -- 3.1% FINANCIALS -- 3.1% American General Finance (E) (F) 5.370%, 06/15/07 $ 955 955 Bear Stearns EXL (E) 5.360%, 06/15/07 1,172 1,172 Countrywide Financial MTN (E) 5.430%, 06/27/07 395 395 Countrywide Financial MTN, Ser A (E) 5.440%, 08/06/07 988 988 Irish Life & Permanent MTN, Ser X (E) (F) 5.360%, 06/21/07 876 876 Jackson National Life Funding (E) (F) 5.320%, 06/01/07 1,449 1,449 Morgan Stanley EXL (E) 5.400%, 06/04/07 231 231 -------------------------------------------------------------------------------- 76 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Morgan Stanley EXL, Ser S (E) 5.360%, 06/04/07 $ 329 $ 329 Nationwide Building Society (E) (F) 5.410%, 06/28/07 362 362 5.370%, 06/07/07 658 658 Northern Rock (E) (F) 5.380%, 06/04/07 678 678 Premium Asset Trust, Ser 2004-10 (E) (F) 5.380%, 06/15/07 922 922 SLM MTN (E) 5.320%, 06/15/07 724 724 Skandinav Enskilda Bank (E) (F) 5.320%, 06/18/07 724 724 Stanfield Victoria LLC MTN (F) 5.450%, 06/11/07 658 658 UniCredito Italiano Bank (E) (F) 5.350%, 07/11/07 1,646 1,646 -------------- Total Corporate Obligations (Cost $12,767) ($ Thousands) 12,767 -------------- ASSET-BACKED SECURITY (C) (E) (F) -- 0.1% MORTGAGE RELATED SECURITIES -- 0.1% Duke Funding, Ser 2004-6B, Cl A1S1 5.420%, 07/09/07 494 494 -------------- Total Asset-Backed Security (Cost $494) ($ Thousands) 494 -------------- COMMERCIAL PAPER (C) (D) -- 1.1% FINANCIALS -- 1.1% KKR Pacific Funding Trust 5.310%, 06/15/07 1,192 1,189 OCALA Funding 5.310%, 06/19/07 494 492 Rhineland Funding Capital 5.280%, 06/06/07 242 242 Thornburg Mortgage Capital Resources 5.290%, 06/07/07 1,317 1,316 Valour Bay Capital LLC 5.320%, 06/11/07 537 537 5.320%, 06/13/07 988 986 -------------- Total Commercial Paper (Cost $4,762) ($ Thousands) 4,762 -------------- CERTIFICATES OF DEPOSIT (C) -- 0.2% Barclays Bank (E) 5.440%, 06/11/07 329 329 CC USA MTN (F) 5.520%, 06/18/07 658 658 -------------- Total Certificates of Deposit (Cost $987) ($ Thousands) 987 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bill (A) (D) 5.003%, 06/07/07 $ 755 $ 754 -------------- Total U.S. Treasury Obligation (Cost $754) ($ Thousands) 754 -------------- MASTER NOTE (C) (D) -- 0.2% Bear Stearns 5.430%, 06/01/07 658 658 -------------- Total Master Note (Cost $658) ($ Thousands) 658 -------------- REPURCHASE AGREEMENTS (C) (G) -- 1.9% Barclays Capital 5.280%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $226,974 (collateralized by a U.S. Government obligation, par value $231,503, 0.000%, 06/01/07, total market value $231,480) 227 227 Deutsche Bank 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $648,015 (collateralized by U.S. Government obligations, ranging in par value $ 3,582-$213,331, 4.000%-6.000%, 02/01/08-11/04/20, total market value $660,880) 648 648 Lehman Brothers 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $7,243,773 (collateralized by U.S. Government obligations, ranging in par value $1,530,206-$12,540,820, 3.875%-8.875%, 06/15/08-03/15/31, total market value $7,387,569) 7,243 7,243 -------------- Total Repurchase Agreements (Cost $8,118) ($ Thousands) 8,118 -------------- Total Investments -- 110.5% (Cost $314,535) ($ Thousands) $ 460,857 ============== -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 77 SCHEDULE OF INVESTMENTS Large Cap Index Fund (Concluded) May 31, 2007 A summary of the open futures contracts held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------- S&P 500 Index E-Mini 89 Jun-2007 $ 504 S&P Mid 400 Index E-Mini 7 Jun-2007 51 ------------- $ 555 ============= Percentages are based on Net Assets of $416,933 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 2007. + Real Estate Investments Trust ++ Affiliated security (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 May 31, 2007 (See Note 9). The total value of securities on loan at May 31, 2007 was $44,322 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (See Note 9). The total value of such securities as of May 31, 2007 was $45,564 ($ 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 May 31, 2007. The date reported on the Schedule of Investments is the next reset date. (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. Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company LP -- Limited Partnership MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 78 SEI Institutional Investments Trust / Annual Report / May 31, 2007 Small Cap Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 21.4% Financials 15.9% Information Technology 14.8% Short-Term Investments 11.7% Industrials 10.0% Consumer Discretionary 8.1% Health Care 5.1% Energy 3.7% Materials 2.5% Consumer Staples 2.4% Commercial Paper 2.2% Utilities 1.1% Telecommunication Services 0.5% Certificate of Deposit 0.3% Master Note 0.2% Asset-Backed Securities 0.1% Exchange Traded Funds 0.0% U.S. Treasury Obligations 0.0% Warrants 0.0% Rights ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 97.1% CONSUMER DISCRETIONARY -- 12.9% 1-800 Contacts (B)* 32,700 $ 648 AC Moore Arts & Crafts* 6,020 137 Advance Auto Parts 22,900 949 Aeropostale* 11,468 531 AFC Enterprises* 4,100 80 Aftermarket Technology (B)* 51,591 1,546 Amazon.com* 28,169 1,948 American Axle & Manufacturing Holdings (B) 100,931 2,909 American Greetings, Cl A (B) 139,319 3,652 Applebee's International* 21,069 552 Arctic Cat 68,600 1,313 ArvinMeritor (B) 186,777 3,900 Asbury Automotive Group 101,755 2,776 Audiovox, Cl A* 10,256 138 Bally Technologies (B)* 46,775 1,271 Bebe Stores (B) 42,915 772 Belo, Cl A 144,823 3,219 Big 5 Sporting Goods 39,500 999 Big Lots* 43,784 1,379 BJ's Restaurants (B)* 77,500 1,569 Blockbuster, Cl A* 159,179 704 Bluegreen* 11,799 141 Blyth 47,968 1,316 Bob Evans Farms 20,785 804 Bon-Ton Stores 19,388 925 Books-A-Million 12,652 208 Borders Group (B) 28,600 637 Brinker International (B) 23,329 746 Brown Shoe 65,509 1,942 Building Materials Holding (B) 28,500 437 Cablevision Systems, Cl A 5,634 204 Cache* 2,687 45 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Carrols Restaurant Group* 100,460 $ 1,588 Carter's* 42,395 1,150 Casual Male Retail Group (B)* 114,500 1,344 Cato, Cl A 77,000 1,675 CBRL Group (B) 94,817 4,261 CEC Entertainment (B)* 50,049 1,938 Champion Enterprises (B)* 79,500 904 Charlotte Russe Holding* 26,083 726 Charming Shoppes (B)* 128,600 1,602 Charter Communications, Cl A* 33,803 136 Cheesecake Factory* 16,400 463 Childrens Place Retail Stores* 12,600 711 Chipotle Mexican Grill, Cl A (B)* 37,800 3,274 Cinemark Holdings* 40,381 781 Coach* 79,100 4,063 Cooper Tire & Rubber 68,989 1,661 Core-Mark Holding* 1,600 55 Corinthian Colleges (B)* 86,700 1,267 Courier 14,049 565 CPI 2,566 204 CROCS (B)* 134,310 10,927 CSK Auto (B)* 175,466 3,193 CSS Industries 1,554 60 Ctrip.com International ADR* 28,695 2,193 Dana (B) 262,200 464 Deckers Outdoor* 6,613 581 Denny's* 12,400 57 Dick's Sporting Goods (B)* 10,693 594 Directed Electronics* 8,700 77 Domino's Pizza 4,100 80 Dover Downs Gaming & Entertainment (B) 27,650 404 Dress Barn (B)* 74,237 1,714 Drew Industries* 5,700 192 Dufry South America (United Kingdom)* 104,800 2,351 DXP Enterprises* 7,520 357 Eddie Bauer Holdings (B)* 266,900 3,667 Entercom Communications 35,852 954 Ethan Allen Interiors (B) 90,665 3,292 Finish Line, Cl A (B) 39,035 500 Focus Media Holding ADR (B)* 46,160 2,042 Furniture Brands International (B) 125,300 1,817 Gaiam, Cl A (B)* 120,100 1,936 GameStop, Cl A (B)* 37,700 1,394 Genesco* 7,500 393 Getty Images* 6,183 309 Gildan Activewear* 48,200 1,685 Group 1 Automotive 50,369 2,126 GSI Commerce (B)* 64,221 1,469 Guess?* 33,780 1,493 Guitar Center* 5,055 271 Gymboree (B)* 33,310 1,489 Handleman (B) 59,100 416 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 79 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Harris Interactive* 14,321 $ 80 Hayes Lemmerz International* 20,909 120 Hibbett Sports* 98,510 2,755 Hooker Furniture 2,581 64 HOT Topic (B)* 80,030 887 Hovnanian Enterprises, Cl A* 18,119 458 INVESTools (B)* 31,283 382 ITT Educational Services* 1,971 223 Jackson Hewitt Tax Service 101,351 3,066 Jakks Pacific (B)* 58,100 1,526 Jarden (B)* 65,554 2,794 Jo-Ann Stores* 21,618 731 Journal Communications, Cl A 174,059 2,393 K2 (B)* 196,921 3,005 Kellwood (B) 39,500 1,138 Keystone Automotive Industries* 22,496 929 Kimball International, Cl B 21,168 289 La-Z-Boy 10,142 119 Lakeland Industries* 79,994 1,102 Landry's Restaurants (B) 15,825 463 Leapfrog Enterprises (B)* 99,222 1,102 Lear* 2,949 105 Libbey* 72,700 1,630 Life Time Fitness (B)* 49,100 2,513 Lifetime Brands 137,060 2,886 Lithia Motors, Cl A 18,500 497 Live Nation* 8,753 196 LKQ (B)* 44,712 1,116 Lodgenet Entertainment* 12,811 455 Luby's* 15,629 151 M/I Homes 3,700 106 Magna Entertainment, Cl A* 11,145 38 Maidenform Brands* 32,661 612 MarineMax (B)* 88,807 1,845 Martha Stewart Living Omnimedia, Cl A 10,400 187 Marvel Entertainment (B)* 114,300 3,156 McCormick & Schmick's Seafood Restaurants* 101,672 2,862 MDC Partners, Cl A* 438,394 3,595 Media General, Cl A 22,066 804 Men's Wearhouse 12,273 655 Meritage Homes (B)* 47,299 1,641 Modine Manufacturing 80,782 1,899 Morgans Hotel Group (B)* 53,310 1,310 Morningstar* 15,893 760 Mothers Work* 4,049 151 Movie Gallery* 16,023 38 National CineMedia* 42,089 1,202 Nautilus (B) 48,200 621 NetFlix* 12,547 275 New York* 38,550 471 Nutri/System (B)* 33,000 2,162 O'Charleys* 28,048 634 OfficeMax 2,947 132 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Orient-Express Hotels, Cl A 29,300 $ 1,570 Outdoor Channel Holdings (B)* 147,500 1,476 Overstock.com* 5,100 94 Pacific Sunwear of California* 59,890 1,191 Payless Shoesource* 31,380 1,121 PC Mall* 6,778 83 Perry Ellis International* 79,192 2,482 Phillips-Van Heusen 28,320 1,731 Pier 1 Imports (B) 115,200 867 Pinnacle Entertainment* 32,600 998 Polaris Industries (B) 48,419 2,667 Priceline.com (B)* 26,260 1,624 Princeton Review* 322,480 2,106 Quiksilver (B)* 626,300 8,837 RC2* 26,383 1,186 RCN* 12,223 344 Red Robin Gourmet Burgers (B)* 17,600 756 Regis (B) 91,334 3,641 Rent-A-Center* 77,670 2,105 Restoration Hardware* 60,624 380 Retail Ventures* 66,603 1,291 RRSat Global Communications Network* 48,900 939 Ruby Tuesday (B) 73,100 2,015 Ryland Group (B) 27,900 1,289 Sally Beauty Holdings* 27,644 253 Sauer-Danfoss 5,814 158 Scholastic (B)* 37,400 1,188 Shoe Carnival* 23,039 675 Shuffle Master* 19,495 375 Shutterfly (B)* 203,300 3,804 Snap-On 22,235 1,202 Sonic Automotive, Cl A (B) 160,460 4,995 Sotheby's Holdings (B) 37,903 1,799 Source Interlink* 25,700 140 Stage Stores 46,637 975 Standard Motor Products 15,635 243 Standard-Pacific (B) 122,223 2,606 Stanley Furniture 4,428 102 Starwood Hotels & Resorts Worldwide 88,500 6,378 Stein Mart (B) 19,300 242 Steinway Musical Instruments 6,400 247 Stewart Enterprises, Cl A 51,604 399 Stride Rite (B) 123,310 2,485 Sturm Ruger* 13,219 183 Talbots (B) 28,300 616 Tempur-Pedic International (B) 127,300 3,228 Tenneco* 42,651 1,391 Texas Roadhouse, Cl A* 49,003 679 Timberland, Cl A (B)* 86,700 2,370 Town Sports International Holdings* 35,500 714 Triarc, Cl B 38,600 596 TRW Automotive Holdings* 3,000 122 Tuesday Morning (B) 20,600 287 Tupperware Brands 27,367 791 -------------------------------------------------------------------------------- 80 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Tween Brands* 22,000 $ 958 Under Armour, Cl A (B)* 90,065 4,308 Unifirst 20,006 835 Vail Resorts (B)* 23,366 1,401 Valassis Communications* 27,800 498 Valuevision Media, Cl A* 13,308 149 Virgin Media 5,500 143 Volcom* 50,300 2,188 Warnaco Group* 32,813 1,128 Warner Music Group (B) 96,400 1,620 West Marine (B)* 41,716 621 Wet Seal, Cl A* 75,200 469 WMS Industries (B)* 38,100 1,614 Wolverine World Wide 38,930 1,130 World Wrestling Entertainment, Cl A 28,600 501 Zale (B)* 77,896 2,092 Zumiez (B)* 57,000 2,200 -------------- 275,484 -------------- CONSUMER STAPLES -- 3.2% Alliance One International* 260,401 2,502 Andersons 16,012 626 Asiatic Development (Malaysia)* 997,500 1,952 B&G Foods* 21,400 292 BJ's Wholesale Club* 120,600 4,561 Casey's General Stores (B) 38,122 1,030 Central Garden and Pet (B)* 91,757 1,286 Chattem (B)* 30,855 1,965 Chiquita Brands International (B) 193,440 3,548 Coca-Cola Bottling 2,040 113 Corn Products International 31,033 1,273 Del Monte Foods 85,100 1,025 Hain Celestial Group* 104,280 2,982 Herbalife* 28,330 1,140 Imperial Sugar 4,097 116 J&J Snack Foods 17,963 707 JM Smucker 13,805 797 Lancaster Colony 46,800 2,050 Lance 100,100 2,377 Longs Drug Stores (B) 49,536 2,837 Molson Coors Brewing, Cl B (B) 27,700 2,537 Nash Finch (B) 60,484 2,846 NBTY (B)* 72,227 3,794 Nu Skin Enterprises, Cl A 31,559 554 Pantry* 27,917 1,216 Pathmark Stores* 49,685 646 Peet's Coffee & Tea* 6,800 177 Performance Food Group (B)* 38,358 1,362 Physicians Formula Holdings* 74,100 1,282 Pilgrim's Pride (B) 124,945 4,414 Ralcorp Holdings (B)* 46,185 2,686 Ruddick 39,300 1,230 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Sanderson Farms (B) 45,200 $ 1,943 Smart & Final* 44,100 971 Spectrum Brands* 76,352 641 United Natural Foods* 2,805 77 Universal (B) 92,149 5,858 USANA Health Sciences (B)* 32,100 1,248 Weis Markets 41,200 1,767 -------------- 68,428 -------------- ENERGY -- 6.7% Allis-Chalmers Energy* 9,147 185 Alon USA Energy 15,705 624 American Oil & Gas* 70,650 364 Arch Coal 30,707 1,240 Arena Resources (B)* 32,925 1,675 Arlington Tankers (B) 76,800 2,064 Atlas America (B) 24,375 1,210 ATP Oil & Gas* 9,582 435 Atwood Oceanics (B)* 33,900 2,225 Aurora Oil & Gas* 279,400 559 Aventine Renewable Energy Holdings (B)* 42,700 719 BA Energy PIPE (F) (G) (H)* 119,000 890 BA Energy, Deal #3 PIPE (F) (G) (H)* 30,500 228 Basic Energy Services* 74,300 1,984 Berry Petroleum, Cl A (B) 77,304 2,816 Bois d'Arc Energy* 2,000 34 BPZ Energy PIPE (F) (G) (H)* 189,500 1,115 Bronco Drilling (B)* 18,700 313 Cal Dive International (B)* 306,300 4,735 CARBO Ceramics (B) 55,900 2,482 Carrizo Oil & Gas* 20,186 821 Cimarex Energy 50,600 2,127 Complete Production Services* 113,100 3,037 Comstock Resources* 61,300 1,861 Core Laboratories* 17,740 1,631 Delek US Holdings 73,100 1,743 Delta Petroleum (B)* 36,200 711 Denbury Resources (B)* 24,549 890 Double Hull Tankers 62,630 996 Dresser-Rand Group* 131,938 4,697 Dril-Quip (B)* 50,555 2,453 Edge Petroleum (B)* 97,870 1,415 Encore Acquisition (B)* 68,050 1,875 Energy Partners (B)* 17,675 304 ENGlobal (B)* 19,300 200 Evergreen Energy (B)* 110,500 764 EXCO Resources (B)* 31,459 568 Forest Oil (B)* 44,700 1,814 Foundation Coal Holdings 16,518 730 Gasco Energy* 67,255 156 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 81 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- GeoMet* 195,890 $ 1,555 Giant Industries* 6,700 516 Global Industries* 107,200 2,542 Goodrich Petroleum (B)* 47,648 1,697 Grey Wolf (B)* 459,600 3,640 Gulf Island Fabrication (B) 4,400 146 Gulfmark Offshore* 11,700 588 Hercules Offshore (B)* 122,939 4,294 Holly (B) 14,500 1,016 Infinity Bio-Energy* 396,781 2,020 Input/Output (B)* 343,525 5,507 InterOil* 24,530 901 Kodiak Oil & Gas* 60,900 378 Lone Star Technologies* 44,300 2,985 Lufkin Industries 15,900 1,016 Mariner Energy (B)* 90,400 2,258 Matrix Service (B)* 46,600 1,191 Meridian Resource* 80,802 237 NATCO Group, Cl A* 2,900 125 Natural Gas Services Group* 76,800 1,297 North American Oil Sands (Canada) (F) (G) (H)* 245,500 4,133 Oceaneering International* 18,700 936 Oil Sands Quest PIPE (F) (G) (H)* 74,000 197 Oil Sands Quest (Canada) (B)* 402,300 1,191 Oil States International* 700 27 OPTI (Canada)* 105,800 2,388 Pacific Ethanol (B)* 28,500 384 Parallel Petroleum* 31,659 730 Parker Drilling* 12,900 151 Penn Virginia 15,100 1,205 Petroquest Energy* 76,887 1,089 Plains Exploration & Production* 4,646 246 Rentech (B)* 833,831 2,043 Rosetta Resources (B)* 80,800 1,971 RPC 102,400 1,739 St. Mary Land & Exploration 60,600 2,264 Stone Energy* 37,700 1,230 Superior Energy Services* 43,802 1,759 Superior Offshore International* 59,800 1,039 Superior Well Services* 54,709 1,418 Swift Energy (B)* 111,133 4,782 SXR Uranium One (Canada)* 127,375 1,986 Synenco Energy (Canada)* 27,419 404 Synenco Energy, Cl A (Canada)* 139,500 2,055 Tesoro 44,682 2,765 Trico Marine Services* 9,833 414 Union Drilling (B)* 33,900 517 Universal Compression Holdings* 32,187 2,392 Uranium Resources* 131,020 1,293 US BioEnergy* 72,700 936 USEC* 68,660 1,586 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Venoco* 78,300 $ 1,556 VeraSun Energy (B)* 39,900 606 W-H Energy Services* 58,293 3,719 World Fuel Services 59,967 2,453 -------------- 142,203 -------------- FINANCIALS -- 19.4% Acadia Realty Trust+ 59,300 1,685 Advance America Cash Advance Centers 56,800 1,003 Advanta, Cl B 40,760 2,049 Affiliated Managers Group (B)* 50,927 6,631 Affirmative Insurance Holdings 6,600 102 Alexandria Real Estate Equities+ 7,670 807 AMB Property+ (B) 45,200 2,615 AmCOMP* 18,684 172 Amcore Financial 24,774 738 American Equity Investment Life Holding (B) 125,160 1,501 American Financial Realty Trust+ (B) 141,500 1,596 American Home Mortgage Investment+ (B) 150,351 3,284 American Physicians Capital* 12,900 527 Ameris Bancorp 8,700 202 Amerisafe* 90,699 1,677 Amtrust Financial Services* 14,000 217 Anchor Bancorp Wisconsin 3,081 88 Annaly Capital Management+ 281,012 4,339 Anthracite Capital+ 166,741 2,039 Anworth Mortgage Asset+ 248,104 2,315 AON 27,800 1,193 Arbor Realty Trust+ 88,887 2,532 Archstone-Smith Trust+ 61,157 3,773 Argonaut Group* 29,223 968 Ashford Hospitality Trust+ (B) 176,464 2,190 Aspen Insurance Holdings 53,400 1,448 Asset Acceptance Capital* 12,500 240 Assured Guaranty 107,304 3,174 Asta Funding (B) 15,600 659 AvalonBay Communities+ 36,600 4,772 BancFirst 7,800 337 Bancorpsouth 120,180 3,009 Bank Mutual 170,656 2,019 Bank of the Ozarks 11,600 333 BankAtlantic Bancorp, Cl A 91,496 867 Bankunited Financial, Cl A 73,185 1,677 Berkshire Hills Bancorp 21,700 714 BioMed Realty Trust+ 27,900 783 Boston Private Financial Holdings (B) 49,900 1,413 Boston Properties+ (B) 27,400 3,170 Brandywine Realty Trust+ 68,900 2,192 Calamos Asset Management, Cl A 22,311 557 Camden Property Trust+ 28,200 2,105 -------------------------------------------------------------------------------- 82 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Canaccord Capital (Canada) 15,100 $ 314 Canaccord Capital (Canada)* 79,100 1,646 Capital Lease Funding+ 157,400 1,758 Capital Trust, Cl A+ (B) 26,500 1,179 Capstead Mortgage+ (B) 100,100 1,014 Cardinal Financial 53,758 527 Cascade Bancorp (B) 27,302 614 Cash America International 55,407 2,299 Castlepoint Holdings (B)* 124,900 1,973 Cathay General Bancorp (B) 30,500 1,033 CB Richard Ellis Group, Cl A* 55,788 2,076 CBRE Realty Finance+* 73,500 968 Cedar Shopping Centers+ 34,504 550 Center Financial 18,000 310 Centerline Holding 5,000 98 Central Pacific Financial 41,629 1,413 Chemical Financial (B) 54,900 1,476 Chicago Mercantile Exchange Holdings, Cl A 1,534 815 Citizens Banking 72,747 1,385 City Bank 16,108 524 City Holding 8,800 335 CNA Surety* 53,300 1,089 CoBiz 26,700 494 Cohen & Steers (B) 14,400 749 Columbia Banking System 20,600 625 Commerce Group 67,400 2,298 Community Bancorp* 18,785 558 Community Bank System 32,900 676 Community Trust Bancorp 28,494 968 CompuCredit (B)* 38,714 1,425 Corporate Office Properties Trust+ (B) 84,500 3,807 Corus Bankshares (B) 137,691 2,505 Crawford, Cl B 14,224 97 Darwin Professional Underwriters* 35,400 837 DCT Industrial Trust+ (B)* 54,400 601 Dearborn Bancorp* 38,346 632 Delphi Financial Group, Cl A 86,400 3,710 DiamondRock Hospitality+ 65,400 1,370 Dime Community Bancshares 55,372 748 Dollar Financial* 80,100 2,448 Douglas Emmett+* 47,100 1,242 Downey Financial (B) 36,971 2,691 Dundee (Canada)+* 63,200 2,343 Dundee Wealth Management (Canada)* 115,010 1,834 Eagle Hospitality Properties Trust+ 43,400 580 East West Bancorp 35,300 1,431 Eaton Vance 37,768 1,658 Education Realty Trust+ (B) 104,928 1,521 EMC Insurance Group 5,471 139 Employers Holdings* 43,361 919 Endurance Specialty Holdings 40,176 1,600 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Entertainment Properties Trust+ 7,534 $ 445 Equity Inns+ 31,213 624 Equity Lifestyle Properties+ 6,900 376 Equity One+ (B) 51,335 1,504 Equity Residential+ (B) 53,900 2,731 Essex Property Trust+ (B) 16,100 2,048 Evercore Partners, Cl A 113,700 3,605 Extra Space Storage+ (B) 121,400 2,174 Ezcorp, Cl A* 51,273 771 FBL Financial Group, Cl A 24,700 950 Federal Agricultural Mortgage, Cl C (B) 70,264 2,065 Federal Realty Investment Trust+ 37,000 3,279 FelCor Lodging Trust+ 96,600 2,530 First American 47,400 2,538 First Cash Financial Services* 118,500 2,954 First Financial Bancorp (B) 70,451 1,037 First Financial Holdings 7,300 241 First Industrial Realty Trust+ (B) 35,507 1,584 First Merchants (B) 43,900 1,069 First Mercury Financial* 42,100 789 First Midwest Bancorp (B) 57,868 2,129 First Niagara Financial Group 92,200 1,265 First Place Financial 712 15 First Regional Bancorp* 5,400 139 First State Bancorporation (B) 38,950 862 FirstFed Financial (B)* 63,097 4,068 FirstMerit 48,923 1,053 Flagstar Bancorp 82,300 1,058 Flushing Financial 53,800 885 FNB (Pennsylvania) 26,142 437 Fpic Insurance Group (B)* 29,200 1,354 Fremont General 15,540 206 Frontier Financial (B) 7,125 166 GAMCO Investors, Cl A (B) 14,100 727 Glacier Bancorp 21,282 455 Gluskin Sheff + Associates (Canada)* 97,500 2,446 GMP Capital* 9,900 221 GMP Capital Trust (Canada) 39,600 885 Gramercy Capital+ 55,882 1,767 Greater Bay Bancorp (B) 101,544 2,834 Greenhill (B) 25,000 1,800 Greenlight Capital Ltd.* 17,650 418 Grubb & Ellis* 34,000 430 Grubb & Ellis Realty Advisors* 316,300 2,059 Hallmark Financial Services* 105,560 1,368 Hancock Holding 21,599 854 Hanmi Financial 41,699 729 Hanover Insurance Group 46,159 2,252 HCC Insurance Holdings 28,450 936 Health Care+ 13,578 594 Hersha Hospitality Trust+ (B) 173,100 2,101 HFF* 19,900 317 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 83 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Highbury Financial (B)* 27,700 $ 184 Highbury Financial Units* 118,000 1,169 Highland Hospitality+ 67,854 1,308 Hilb Rogal & Hobbs (B) 51,300 2,226 Horace Mann Educators 47,201 1,054 Horizon Financial 4,625 104 HRPT Properties Trust+ 170,200 1,954 Hub International 20,000 826 IMPAC Mortgage Holdings+ (B) 87,200 540 Independent Bank 15,936 276 IndyMac Bancorp 23,060 774 Infinity Property & Casualty (B) 22,069 1,166 Innkeepers USA Trust+ 188,603 3,325 IntercontinentalExchange* 4,900 710 International Bancshares 16,745 450 Intervest Bancshares* 22,677 562 Investment Technology Group* 22,000 894 Investors Bancorp* 2,300 32 Irwin Financial 94,608 1,504 ITLA Capital 2,473 136 JER Investors Trust+ 46,829 880 Jones Lang LaSalle 4,560 532 Kansas City Life Insurance 13,400 602 KBW (B)* 30,100 984 Lakeland Financial 2,800 62 LandAmerica Financial Group (B) 12,600 1,168 LaSalle Hotel Properties+ 14,900 709 LTC Properties+ 14,656 351 Luminent Mortgage Capital+ (B) 342,900 3,120 Macatawa Bank 5,611 88 Macerich+ 27,300 2,435 Mack-Cali Realty+ 54,600 2,637 MAF Bancorp 71,290 3,841 Maguire Properties+ 51,600 1,864 Marlin Business Services* 44,698 920 Marsh & McLennan 59,492 1,953 Max Re Capital 30,400 864 Meruelo Maddux Properties* 164,000 1,353 MFA Mortgage Investments+ 357,800 2,691 MGIC Investment 7,500 488 Midwest Banc Holdings (B) 56,300 904 Move* 458,839 1,927 Nara Bancorp 26,300 422 NASDAQ Stock Market (B)* 165,500 5,508 National Financial Partners 27,241 1,276 National Health Investors+ 7,072 251 National Retail Properties+ (B) 54,029 1,310 Nationwide Financial Services, Cl A 20,499 1,269 Nationwide Health Properties+ 9,604 298 Navigators Group* 25,564 1,266 NBT Bancorp 76,300 1,724 Netbank 18,400 5 New Westfield Financial* 10,000 104 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- NewAlliance Bancshares 126,044 $ 2,032 Newcastle Investment+ (B) 112,651 3,341 NNN Realty Advisors* 169,500 1,873 NorthStar Realty Finance+ 119,625 1,724 Novastar Financial+ (B) 22,300 165 NYSE Euronext* 3,700 307 Ocwen Financial* 57,161 809 Odyssey Re Holdings (B) 24,100 1,033 Ohio Casualty 73,900 3,182 Old National Bancorp 113,700 2,030 Omega Healthcare Investors+ 12,768 220 optionsXpress Holdings 38,800 989 Oriental Financial Group 6,074 73 Oritani Financial* 2,400 37 Pacific Capital Bancorp 57,760 1,487 Penson Worldwide* 17,000 489 People's United Financial 33,800 682 PFF Bancorp 100,510 3,016 Philadelphia Consolidated Holding* 23,755 979 Pico Holdings (B)* 28,958 1,361 Piper Jaffray (B)* 58,830 3,936 Platinum Underwriters Holdings 130,303 4,488 PMA Capital, Cl A* 45,591 485 PMI Group 18,343 907 Portfolio Recovery Associates (B)* 43,221 2,559 Post Properties+ (B) 15,100 801 Potlatch 10,028 439 Preferred Bank 17,100 653 Premierwest Bancorp (B) 5,077 71 Presidential Life 56,300 1,028 ProAssurance (B)* 46,523 2,630 Prologis+ 65,700 4,248 Provident Bankshares (B) 26,566 889 PS Business Parks+ 7,300 490 Public Storage+ (B) 40,024 3,582 Rainier Pacific Financial Group 15,610 318 RAIT Financial Trust+ (B) 135,459 3,991 Realty Income+ 25,109 689 Redwood Trust+ 6,884 369 RenaissanceRe Holdings 13,800 810 RLI 17,188 987 Safety Insurance Group 40,412 1,683 Santander BanCorp 43,665 758 Security Capital Assurance 17,400 560 Selective Insurance Group 20,830 570 Shore Bancshares (B) 2,800 73 Sierra Bancorp (B) 2,400 67 Signature Bank (B)* 94,217 3,133 Simon Property Group+ (B) 50,300 5,431 SL Green Realty+ (B) 22,800 3,194 Smithtown Bancorp (B) 4,400 104 South Financial Group 93,939 2,236 Southwest Bancorp 16,429 404 -------------------------------------------------------------------------------- 84 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- St. Joe 33,178 $ 1,737 Sterling Bancorp 2,773 44 Sterling Financial, Washington Shares (B) 146,835 4,440 Stewart Information Services 93,113 3,689 Strategic Hotels & Resorts+ 108,900 2,540 Suffolk Bancorp 3,100 95 Sun Communities+ 69,300 2,145 Superior Bancorp* 117,681 1,199 Susquehanna Bancshares (B) 58,400 1,257 SVB Financial Group (B)* 42,800 2,271 SWS Group 24,693 596 Synergy Financial Group 64,700 884 Taubman Centers+ 41,400 2,278 Taylor Capital Group 5,554 167 TD Ameritrade Holding* 142,813 2,932 Technology Investment Capital 45,700 787 TFS Financial* 3,800 46 Thomas Properties Group 41,900 705 TierOne 9,701 304 TradeStation Group* 96,100 1,146 Triad Guaranty* 33,434 1,491 Trico Bancshares 3,700 84 Trustmark 28,399 765 UCBH Holdings 111,590 2,077 UMB Financial 43,721 1,688 Umpqua Holdings 36,854 920 UnionBanCal 21,001 1,289 United America Indemnity, Cl A* 31,963 799 United Bankshares 49,000 1,654 United Fire & Casualty 61,777 2,419 United Security Bancshares (B) 2,000 45 UnumProvident 23,364 620 Ventas+ (B) 74,500 3,156 Victory Acquisition* 48,847 513 Virginia Commerce Bancorp (B)* 18,140 331 Vornado Realty Trust+ 7,400 896 W Holding 14,600 80 Washington Federal 73,290 1,838 Washington Real Estate Investment Trust+ 13,090 492 Weingarten Realty Investors+ (B) 47,000 2,193 WesBanco (B) 44,700 1,401 West Coast Bancorp 8,800 272 Westfield Financial 64,500 668 Whitney Holding 19,923 618 Wilshire Bancorp 24,700 315 Winthrop Realty Trust+ 157,100 1,059 Wintrust Financial 17,000 780 World Acceptance (B)* 48,422 2,052 WR Berkley 29,900 985 WSB Financial Group* 19,300 330 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- WSFS Financial (B) 27,894 $ 1,843 Zenith National Insurance 58,495 2,829 -------------- 414,934 -------------- HEALTH CARE -- 10.4% 3SBio ADR* 109,900 1,222 Abaxis* 1,806 41 Abraxis BioScience* 17,075 420 Acadia Pharmaceuticals (B)* 60,400 773 Accelrys* 145,300 930 Adams Respiratory Therapeutics (B)* 9,742 446 Advanced Magnetics (B)* 11,604 732 Advanced Medical Optics (B)* 40,800 1,432 Affymetrix (B)* 155,902 4,050 Albany Molecular Research* 52,039 741 Align Technology (B)* 129,567 2,953 Alkermes (B)* 217,692 3,496 Alliance Imaging* 254,278 2,227 Alpharma, Cl A (B) 77,300 1,878 Altus Pharmaceuticals* 54,600 738 Amedisys (B)* 52,590 1,962 America Service Group* 28,400 526 American Medical Systems Holdings (B)* 16,598 311 AMERIGROUP* 43,344 1,105 AMN Healthcare Services* 136,900 3,083 Amsurg* 101,392 2,495 Analogic 35,356 2,334 Anesiva* 18,800 142 Angiotech Pharmaceuticals* 85,000 572 Animal Health International* 56,300 701 Applera - Celera Group* 148,800 1,986 Apria Healthcare Group (B)* 162,667 4,711 Arena Pharmaceuticals (B)* 120,000 1,668 Ariad Pharmaceuticals (B)* 285,500 1,550 Array Biopharma* 29,400 365 Axcan Pharma* 113,307 2,129 Bio-Imaging Technologies* 4,208 29 Bio-Reference Labs* 3,666 95 Biogen Idec* 10,470 547 BioMarin Pharmaceuticals (B)* 98,774 1,762 Biosite* 2,684 247 Bradley Pharmaceuticals (B)* 37,887 837 Cambrex 97,103 1,207 Cell Genesys (B)* 458,300 1,980 Centene* 11,054 254 Cephalon (B)* 97,800 8,118 Chemed 71,528 4,792 Community Health Systems* 54,200 2,066 Computer Programs & Systems 36,131 1,213 Conceptus (B)* 63,100 1,172 Conmed (B)* 112,099 3,510 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 85 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Cooper (B) 78,648 $ 4,337 Cross Country Healthcare (B)* 100,900 1,757 Cubist Pharmaceuticals (B)* 230,998 5,301 Cutera* 41,174 1,079 CV Therapeutics (B)* 469,000 4,943 Cynosure, Cl A* 36,104 1,154 Cypress Bioscience (B)* 21,153 320 Dade Behring Holdings 7,300 393 Datascope 21,008 774 DexCom* 52,070 342 Digene (B)* 81,533 3,628 Dionex* 5,743 407 Discovery Laboratories (B)* 208,598 707 DJO* 99,479 3,881 Eclipsys* 45,512 928 Emageon (B)* 114,200 866 Emergency Medical Services, Cl A* 16,140 563 Emergent Biosolutions* 21,400 214 Encysive Pharmaceuticals (B)* 328,800 1,295 Enzon Pharmaceuticals (B)* 47,800 405 eResearch Technology* 82,503 739 Exelixis (B)* 216,918 2,403 Five Star Quality Care (B)* 186,611 1,523 Flamel Technologies ADR* 14,800 411 Foxhollow Technologies (B)* 15,400 348 Greatbatch* 14,398 433 Hansen Medical* 2,641 51 Healthspring (B)* 87,497 2,137 HealthTronics* 96,771 465 Hologic (B)* 24,880 1,346 Home Diagnostics* 125,100 1,394 Human Genome Sciences (B)* 160,103 1,696 ICU Medical* 12,024 483 Illumina (B)* 11,045 360 Immunomedics* 37,518 200 Incyte (B)* 334,600 2,372 Inverness Medical Innovations (B)* 38,796 1,850 Isis Pharmaceuticals (B)* 34,452 347 ISTA Pharmaceuticals (B)* 166,700 1,330 Kendle International* 31,255 1,079 Kensey Nash* 4,600 107 Keryx Biopharmaceuticals* 90,600 990 Kindred Healthcare (B)* 53,650 1,717 Landauer 4,797 238 LeMaitre Vascular* 57,500 351 Lifecell (B)* 19,109 538 LifePoint Hospitals* 88,129 3,577 Magellan Health Services (B)* 49,450 2,215 Martek Biosciences (B)* 17,800 373 Matrixx Initiatives* 24,200 484 Medarex (B)* 465,200 7,439 Medcath* 32,048 1,058 Medical Staffing Network Holdings* 78,200 463 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Medicines* 42,700 $ 833 Medicis Pharmaceutical, Cl A (B) 34,190 1,128 Mentor (B) 40,300 1,630 Merge Technologies* 85,242 590 Metabolix* 55,200 1,272 MGI Pharma (B)* 26,400 564 Micrus Endovascular* 33,400 714 Molina Healthcare* 20,773 664 Myriad Genetics (B)* 125,593 4,781 National Dentex* 22,200 410 Neurocrine Biosciences (B)* 42,800 497 Noven Pharmaceuticals (B)* 112,740 2,644 NuVasive* 11,243 292 Odyssey HealthCare (B)* 174,000 2,257 Omnicell* 11,244 253 Option Care (B) 188,724 2,844 OraSure Technologies* 75,700 580 Orthofix International* 13,563 641 OSI Pharmaceuticals (B)* 17,000 642 Owens & Minor 120,212 4,268 Panacos Pharmaceuticals (B)* 104,014 435 Par Pharmaceutical (B)* 62,570 1,834 PDL BioPharma (B)* 46,200 1,271 Penwest Pharmaceuticals (B)* 165,400 2,150 Pharmacopeia Drug Discovery* 92,129 556 PharmaNet Development Group* 39,352 1,264 PolyMedica 54,900 2,232 Pozen (B)* 23,500 371 Profarma Distribuidora de Produtos Farmaceuticos (Brazil)* 93,700 1,431 Providence Service* 34,885 941 Psychiatric Solutions* 42,310 1,651 Quidel* 1,800 26 Regeneron Pharmaceuticals (B)* 60,925 1,367 Res-Care* 74,395 1,540 Sciele Pharma (B)* 174,112 4,304 Senomyx (B)* 17,216 230 Sirona Dental Systems (B)* 39,900 1,383 Somanetics (B)* 23,300 427 Spectranetics (B)* 91,134 877 STERIS 77,107 2,319 Sun Healthcare Group* 50,100 716 SuperGen (B)* 14,000 91 SurModics (B)* 36,000 1,351 Symbion* 68,000 1,488 Symmetry Medical* 33,710 517 Tercica (B)* 112,700 754 Thermogenesis* 24,537 67 Trizetto Group* 41,200 763 United Therapeutics (B)* 53,155 3,508 Varian* 29,038 1,709 Viropharma* 38,600 559 Vnus Medical Technologies* 30,252 405 -------------------------------------------------------------------------------- 86 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Volcano* 60,570 $ 1,227 WellCare Health Plans* 11,440 1,053 West Pharmaceutical Services 64,706 3,291 Wright Medical Group (B)* 21,900 534 Zoll Medical* 31,162 700 -------------- 222,205 -------------- INDUSTRIALS -- 15.2% ABM Industries 29,894 882 ABX Air* 38,165 241 ACCO Brands* 91,961 2,300 Active Power (B)* 195,800 333 Actuant, Cl A 41,977 2,335 Acuity Brands 54,530 3,311 Administaff 7,100 259 Advisory Board* 56,713 2,953 Aecom Technology* 65,100 1,491 AGCO* 45,006 1,948 Airtran Holdings (B)* 82,482 1,022 Alaska Air Group* 56,574 1,650 Albany International, Cl A 127,447 4,986 Altra Holdings* 40,200 680 Amerco* 4,012 283 American Commercial Lines (B)* 104,746 3,319 American Ecology 5,581 121 American Reprographics (B)* 56,023 1,726 American Woodmark (B) 60,370 2,249 Ameron International (B) 5,700 447 Ampco-Pittsburgh 1,000 38 AMR* 3,500 99 AO Smith 51,750 2,033 Apogee Enterprises 57,434 1,414 Applied Industrial Technologies 28,200 825 Applied Signal Technology 2,550 41 Arkansas Best (B) 46,695 1,928 Armor Holdings* 24,000 2,062 Astec Industries (B)* 22,300 961 ASV* 13,191 231 Avis Budget Group* 39,931 1,208 Barnes Group 40,965 1,208 Basin Water (B)* 137,100 973 BE Aerospace* 169,567 6,493 Belden CDT (B) 21,344 1,222 Blount International (B)* 109,400 1,429 Brady, Cl A 39,557 1,469 Briggs & Stratton (B) 106,693 3,462 Brink's 23,600 1,556 Bucyrus International, Cl A 30,971 2,197 Casella Waste Systems, Cl A* 16,014 172 Celadon Group* 11,900 196 Ceradyne (B)* 72,000 4,865 Chart Industries* 63,200 1,454 Chicago Bridge & Iron 85,866 3,345 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CIRCOR International 46,129 $ 1,762 Clean Harbors (B)* 69,876 3,283 Columbus McKinnon* 15,466 464 Comfort Systems USA 92,740 1,298 Commercial Vehicle Group* 58,500 1,134 COMSYS IT Partners* 58,889 1,356 Consolidated Graphics* 32,171 2,336 Continental Airlines, Cl B* 10,837 435 Corrections of America* 29,637 1,920 CoStar Group (B)* 25,037 1,359 CRA International* 17,965 950 Crane 42,700 1,866 Cubic (B) 54,600 1,372 Curtiss-Wright 24,740 1,115 Danaos* 21,300 682 Deluxe (B) 135,857 5,933 Diamond Management & Technology Consultants (B) 34,800 453 Dollar Thrifty Automotive Group (B)* 37,900 1,762 Dynamic Materials (B) 108,200 3,922 EDO 20,000 671 EGL* 11,973 555 Electro Rent* 10,371 149 EMCOR Group* 44,843 2,941 Encore Wire 4,895 142 Energy Conversion Devices* 1,800 62 EnerSys* 7,380 134 EnPro Industries* 64,870 2,695 Equifax 790 33 ESCO Technologies (B)* 36,904 1,870 Evergreen Solar (B)* 108,300 908 Exponent* 11,300 260 ExpressJet Holdings* 93,193 577 Federal Signal 81,378 1,330 First Consulting Group* 108,500 982 Flanders (B)* 261,183 1,857 Flint Energy Services (Canada)* 76,800 1,940 Flowserve (B) 22,900 1,589 Force Protection* 166,100 4,293 Franklin Electric 8,647 408 Freightcar America 7,973 394 FTI Consulting* 34,772 1,289 Fuel Tech* 9,746 259 Gardner Denver* 29,280 1,206 GATX 16,500 849 General Cable (B)* 111,880 7,625 Genesee & Wyoming, Cl A* 16,473 536 Geo Group* 69,139 3,768 Global Cash Access* 8,000 130 Goodman Global* 94,899 2,080 GrafTech International* 208,986 3,235 Granite Construction 37,947 2,599 Greenbrier (B) 6,416 202 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 87 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Griffon (B)* 30,564 $ 713 Grupo Aeroportuario del Sureste ADR (B)* 36,300 1,848 H&E Equipment Services* 136,130 3,556 Heico, Cl A 37,511 1,343 Heidrick & Struggles International* 7,600 370 Herman Miller (B) 38,305 1,379 Hexcel (B)* 50,800 1,175 HUB Group, Cl A* 127,197 4,704 Hubbell, Cl B (B) 42,800 2,411 Hudson Highland Group* 43,880 947 ICF International* 60,440 1,113 IHS, Cl A* 34,100 1,370 II-VI* 61,045 1,694 IKON Office Solutions 209,679 3,055 Infrasource Services* 34,003 1,231 Innerworkings (B)* 98,831 1,313 Innovative Solutions & Support* 1 -- Interface, Cl A* 50,460 852 Ionatron* 38,800 192 JA Solar Holdings ADR (B)* 27,957 665 Jacobs Engineering Group* 5,068 294 JetBlue Airways* 66,000 711 K&F Industries Holdings* 12,400 328 Kadant* 35,527 1,060 Kansas City Southern (B)* 62,377 2,561 Kaydon (B) 55,798 2,692 KBR* 39,300 1,082 Kelly Services, Cl A 14,951 431 Kenexa (B)* 53,394 2,083 Kennametal (B) 16,064 1,236 Kforce* 29,851 480 Kirby* 40,727 1,630 Knight Transportation (B) 136,075 2,549 Knoll 177,739 4,301 Korn/Ferry International* 14,900 388 Lamson & Sessions (B)* 51,300 1,433 Layne Christensen* 14,600 657 LECG* 124,400 1,841 Lincoln Electric Holdings 42,700 3,001 Lydall* 12,284 173 Marten Transport* 46,200 894 Mcgrath Rentcorp 9,979 311 Mesa Air Group (B)* 276,060 1,946 Middleby* 9,795 1,215 Midwest Air Group* 2,058 31 Milacron (B)* 22,814 176 Mine Safety Appliances 7,258 312 Moog, Cl A* 25,572 1,101 NACCO Industries, Cl A 5,784 983 Navigant Consulting* 46,500 969 Navios Maritime Holdings 53,930 566 Navistar International (B)* 70,342 4,565 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- NCI Building Systems (B)* 44,400 $ 2,283 On Assignment* 93 1 Orbital Sciences (B)* 112,451 2,318 Orion Marine Group* 136,100 1,837 Pacer International 10,388 280 Pall 55,400 2,479 PeopleSupport* 98,600 1,194 Perini (B)* 131,165 7,214 PHH* 47,800 1,482 Power-One (B)* 195,218 715 PRG-Schultz International* 30,560 500 Quanta Services (B)* 100,119 3,005 RBC Bearings* 47,045 1,816 Regal-Beloit (B) 22,600 1,099 Republic Airways Holdings* 116,105 2,713 Robbins & Myers 11,722 527 Ryder System 62,200 3,354 Saia* 52,542 1,502 SAIC* 15,900 320 School Specialty (B)* 32,496 1,135 Shaw Group* 32,200 1,303 Simpson Manufacturing (B) 58,000 1,933 SIRVA* 40,478 115 Skywest 102,692 2,827 Spherion (B)* 197,985 1,950 Standard Register 36,893 439 Superior Essex (B)* 12,000 424 TAL International Group 73,200 1,905 Taleo, Cl A* 32,856 644 Tecnisa (Brazil)* 371,700 2,426 Tecumseh Products, Cl A (B)* 87,700 1,401 Teledyne Technologies (B)* 73,394 3,382 Tetra Tech (B)* 135,319 2,985 Titan International 17,115 540 Tredegar 32,989 762 Trex* 9,600 192 Trimas* 85,360 1,070 UAP Holding 53,665 1,581 United Industrial (B) 20,855 1,249 United Rentals* 99,600 3,342 United Stationers* 41,976 2,816 Universal Forest Products (B) 16,500 793 URS* 48,873 2,457 US Xpress Enterprises, Cl A* 47,212 656 Volt Information Sciences (B)* 23,533 584 Wabash National 57,800 846 Wabtec 63,726 2,496 Walter Industries 80,300 2,585 Washington Group International* 33,543 2,818 Waste Connections (B)* 73,422 2,263 Waste Industries USA 8,400 262 Watson Wyatt Worldwide, Cl A 137,916 7,112 WESCO International* 14,341 930 -------------------------------------------------------------------------------- 88 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Williams Scotsman International (B)* 118,723 $ 2,726 YRC Worldwide (B)* 42,300 1,700 -------------- 323,606 -------------- INFORMATION TECHNOLOGY -- 20.4% 24/7 Real Media* 177,900 2,089 Actel (B)* 26,800 374 Acxiom 13,842 385 Adaptec* 211,900 862 ADC Telecommunications* 61,128 1,024 Adtran 5,200 141 Advanced Analogic Technologies* 20,985 186 Advanced Energy Industries* 13,851 340 Advent Software (B)* 37,600 1,355 Aeroflex* 160,300 2,267 Agilysys 61,200 1,329 Akamai Technologies (B)* 60,992 2,696 Alliance Semiconductor* 109,100 513 Allot Communications* 167,635 1,138 AMIS Holdings* 205,564 2,627 Amkor Technology (B)* 272,500 3,875 Anadigics (B)* 108,721 1,369 Andrew* 99,228 1,313 Anixter International* 2,217 164 Ansoft* 72,705 2,329 Ansys* 5,948 334 aQuantive (B)* 125,365 7,997 Ariba* 9,800 91 ARM Holdings ADR (B)* 197,700 1,641 Arris Group (B)* 178,499 2,936 Art Technology Group (B)* 255,003 724 Aspen Technology (B)* 93,265 1,386 Asyst Technologies* 488,058 3,504 ATMI* 72,817 2,225 Authorize.Net Holdings* 94,774 1,550 Avanex (B)* 222,500 376 Avocent (B)* 152,050 4,262 Axcelis Technologies* 39,604 255 Axesstel* 431,541 647 BearingPoint (B)* 257,400 1,902 Benchmark Electronics* 54,400 1,203 BISYS Group* 29,759 350 Black Box 70,547 2,570 Blackbaud 9,363 222 Blackboard* 18,312 754 Bookham* 15,155 33 Brightpoint* 18,992 250 Broadridge Financial Solutions* 54,900 1,111 Brocade Communications Systems* 656,605 6,028 Brooks Automation (B)* 101,900 1,803 C-COR* 20,799 304 Cabot Microelectronics* 355 12 CACI International, Cl A (B)* 67,851 3,498 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Captaris* 52,094 $ 268 Cavium Networks (B)* 4,600 97 Checkfree (B)* 16,338 641 Checkpoint Systems* 36,337 909 Chordiant Software* 50,156 710 Ciber (B)* 295,179 2,630 Cirrus Logic* 116,266 900 Citrix Systems* 17,845 600 CMGI* 398,515 996 CNET Networks* 281,700 2,555 Cogent (B)* 21,100 327 Cognex 24,000 565 Coherent (B)* 43,178 1,339 Cohu 4,288 88 Color Kinetics (B)* 6,300 185 CommScope (B)* 53,152 2,909 Commvault Systems* 42,700 716 Comtech Group (B)* 77,185 1,346 Comtech Telecommunications* 8,968 401 Comverge* 13,738 353 Comverse Technology* 121,800 2,792 Concur Technologies (B)* 68,996 1,374 Conexant Systems (B)* 255,700 330 Covansys* 2,581 87 CPI International* 62,961 1,290 Cray* 121,923 988 Credence Systems* 232,411 772 CSG Systems International (B)* 163,213 4,537 CTS 69,600 837 Cymer (B)* 62,997 2,529 Cypress Semiconductor* 39,141 840 Daktronics (B) 24,775 594 DealerTrack Holdings* 105,860 3,820 Digimarc* 64,900 611 Digital River* 2,887 148 Diodes (B)* 43,407 1,606 DSP Group* 29,600 645 Dycom Industries* 33,321 991 Earthlink (B)* 280,400 2,322 EFJ* 134,800 712 Electronic Data Systems 38,562 1,111 Electronics for Imaging* 156,857 4,472 Emergis (Canada)* 343,300 2,100 EMS Technologies* 5,655 115 Emulex* 102,358 2,271 Entegris (B)* 191,532 2,203 Epicor Software* 5,600 81 EPIQ Systems (B)* 73,745 1,947 Equinix (B)* 7,736 676 Euronet Worldwide (B)* 60,007 1,612 Factset Research Systems 19,880 1,269 Fairchild Semiconductor International* 47,903 882 Flir Systems (B)* 44,475 1,839 Formfactor (B)* 15,167 603 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 89 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Foundry Networks* 128,000 $ 2,058 Gateway* 90,438 162 Genesis Microchip* 50,644 440 Gevity HR (B) 79,000 1,659 Harris Stratex Networks* 55,700 952 Heartland Payment Systems (B) 51,272 1,305 Hewitt Associates, Cl A* 19,656 590 Hittite Microwave* 30,945 1,258 Hutchinson Technology (B)* 105,600 1,930 i2 Technologies (B)* 34,200 642 Ikanos Communications (B)* 156,090 1,114 Imation (B) 64,636 2,450 Immersion (B)* 371,548 4,529 Informatica (B)* 124,600 1,901 infoUSA* 900 10 Insight Enterprises* 40,803 904 Interdigital Communications* 63,200 2,057 Intermec* 9,351 230 Interwoven* 13,745 206 Intevac (B)* 136,727 2,637 IPG Photonics (B)* 33,600 754 Itron* 21,128 1,429 JDA Software Group* 159,545 2,902 Juniper Networks* 53,700 1,311 Jupitermedia (B)* 239,500 1,724 Keane* 50,900 722 Kemet* 146,935 1,128 Keynote Systems* 83,800 1,324 Knot (B)* 84,800 1,608 Komag (B)* 224,400 5,444 Kulicke & Soffa Industries* 27,997 268 Lattice Semiconductor (B)* 700,000 3,689 Lawson Software (B)* 488,066 4,480 LeCroy (B)* 71,700 660 Liquidity Services* 118,715 2,371 Littelfuse* 108,102 4,333 LoJack* 40,600 892 LTX* 550,871 3,223 Macrovision* 80,664 2,255 Magma Design Automation* 59,484 882 Manhattan Associates* 112,025 3,255 Mantech International, Cl A* 22,367 715 Marchex, Cl B (B)* 404,125 6,260 Mastec* 101,473 1,379 Mattson Technology* 7,300 72 MAXIMUS 45,600 1,971 McAfee* 15,300 562 Measurement Specialties* 17,700 352 Mentor Graphics* 168,259 2,399 Mercury Computer Systems* 64,300 837 Merix* 17,037 127 Methode Electronics 158,123 2,384 Microsemi (B)* 275,383 6,348 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- MicroStrategy, Cl A* 24,861 $ 2,581 Microtune* 24,700 126 MIPS Technologies* 162,900 1,440 MIVA* 33,927 189 MKS Instruments (B)* 100,800 2,747 MoneyGram International 20,200 589 Monolithic Power Systems* 18,563 314 MTS Systems 15,599 685 Navisite* 190,300 1,275 Neoware* 125,500 1,522 Net 1 UEPS Technologies (B)* 32,460 869 Netgear (B)* 41,670 1,555 Netlogic Microsystems (B)* 23,321 719 Novatel* 31,500 1,165 Novatel Wireless (B)* 83,500 1,940 Nuance Communications (B)* 133,283 2,230 Omniture (B)* 56,207 984 Omnivision Technologies* 28,100 455 ON Semiconductor (B)* 348,490 3,743 Online Resources (B)* 37,800 470 Openwave Systems* 26,381 272 Opsware (B)* 90,100 815 Orbotech* 116,300 2,600 OSI Systems* 62,300 1,668 Palm (B)* 151,300 2,465 Parametric Technology* 159,560 2,981 Parkervision (B)* 121,000 1,266 Parkervision* 33,000 345 Paxar (B)* 40,677 1,230 PC Connection* 6,694 77 Perficient* 90,235 1,895 Perot Systems, Cl A* 216,657 3,700 Photon Dynamics* 43,463 476 Photronics (B)* 107,662 1,583 Pixelworks* 84,970 116 Plantronics (B) 40,380 981 Plexus* 124,730 2,745 PLX Technology* 220,596 2,402 PMC - Sierra (B)* 256,600 1,978 Polycom (B)* 282,300 8,955 Power Integrations* 64,104 1,827 Powerwave Technologies (B)* 478,430 3,052 Presstek (B)* 71,780 492 Quality Systems (B)* 46,573 1,907 Quantum* 841,700 2,601 Quest Software* 16,423 283 Rackable Systems (B)* 132,300 1,605 RADWARE* 71,800 946 Red Hat (B)* 358,500 8,805 RF Micro Devices (B)* 1,118,230 7,302 Richardson Electronics 43,531 416 RightNow Technologies (B)* 55,875 871 Rofin-Sinar Technologies* 940 63 -------------------------------------------------------------------------------- 90 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Rogers* 16,196 $ 652 Rudolph Technologies* 23,900 383 Seachange International* 244,200 2,198 Seagate Technology (B) 45,852 944 Secure Computing (B)* 170,700 1,301 SI International* 27,400 864 Sigma Designs (B)* 31,205 872 Silicon Image (B)* 118,100 990 Silicon Motion Technology ADR* 52,305 1,210 Silicon Storage Technology* 130,774 517 Sina* 51,178 2,042 Sirf Technology Holdings (B)* 84,064 1,824 Skyworks Solutions (B)* 1,193,512 8,462 Smart Modular Technologies WWH* 41,305 592 Smith Micro Software (B)* 66,790 1,051 SonicWALL* 66,600 550 Sonus Networks (B)* 94,648 821 Sourcefire* 26,800 368 SourceForge* 81,410 361 Spatialight* 95,000 11 Spatialight Deal #3 PIPE (F) (G) (H)* 88,000 9 Spatialight PIPE (F) (G) (H)* 8,233 1 SPSS* 27,715 1,220 SRA International, Cl A (B)* 43,127 1,095 Standard Microsystems (B)* 58,371 1,811 Stratasys (B)* 14,825 714 Sun Microsystems* 234,942 1,198 Sunpower, Cl A (B)* 8,629 461 Supertex* 1,292 43 Switch & Data Facilities (B)* 66,800 1,242 Sybase* 139,177 3,349 Symmetricom (B)* 165,522 1,346 Synchronoss Technologies (B)* 74,605 2,018 SYNNEX* 61,900 1,268 Synopsys* 50,830 1,348 TAC Acquisition* 342,500 4 Technitrol 139,961 3,687 Tekelec (B)* 171,614 2,574 Tessco Technologies* 6,923 173 Tessera Technologies* 39,700 1,805 THQ (B)* 124,440 4,243 TIBCO Software (B)* 379,915 3,427 TNS 17,710 210 Transaction Systems Architects* 52,681 1,794 Transwitch* 22,482 39 Trident Microsystems (B)* 76,300 1,557 Triquint Semiconductor (B)* 557,100 2,941 TTM Technologies (B)* 161,800 1,789 Tyler Technologies* 21,168 257 Ultratech (B)* 130,500 1,742 United Online (B) 318,636 5,436 Universal Display (B)* 94,311 1,472 Utstarcom (B)* 127,969 923 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Valueclick* 14,833 $ 465 Varian Semiconductor Equipment Associates (B)* 77,100 3,250 Vasco Data Security International (B)* 92,821 2,114 Veeco Instruments* 19,690 357 VeriFone Holdings (B)* 98,515 3,412 Verigy* 22,450 642 Verint Systems* 64,059 1,925 VeriSign* 36,953 1,102 Viasat* 38,350 1,242 Vignette* 20,657 384 VistaPrint* 27,521 1,103 Volterra Semiconductor* 8,194 129 Wavecom ADR (B)* 50,137 1,612 Websense* 4,815 108 WidePoint* 281,700 285 Wind River Systems (B)* 352,300 3,738 Wright Express* 47,200 1,655 Xyratex* 48,596 1,072 Zhone Technologies* 77,655 112 Zoran* 151,629 3,052 -------------- 436,265 -------------- MATERIALS -- 4.7% ADA-ES (B)* 24,500 538 AK Steel Holding* 85,313 2,962 AM Castle 25,893 958 Aptargroup (B) 34,020 1,278 Arch Chemicals 28,915 1,017 Bemis 27,690 931 Bowater 12,107 252 Brush Engineered Materials (B)* 30,620 1,643 Buckeye Technologies (B)* 280,601 3,990 Carpenter Technology 12,000 1,591 Century Aluminum* 4,149 234 CF Industries Holdings 35,104 1,570 Cleveland-Cliffs (B) 71,640 6,325 Constar International* 68,398 469 Crown Holdings* 34,000 848 Cytec Industries 53,200 3,163 Ferro 25,586 608 First Quantum Minerals (Canada)* 33,800 2,707 FMC 13,721 1,148 Grande Cache Coal (Canada)* 181,600 195 Greif, Cl A 96,362 5,364 H.B. Fuller (B) 114,560 3,122 Haynes International* 21,100 1,871 Headwaters (B)* 52,300 1,031 Hercules* 255,225 4,806 Huntsman 34,030 681 Innospec 1,409 84 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 91 SCHEDULE OF INVESTMENTS Small Cap Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Kaiser Aluminum* 12,200 $ 930 Koppers Holdings 10,500 338 Metal Management 31,688 1,534 Methanex 22,200 576 Myers Industries 92,100 2,042 Neenah Paper 57,895 2,536 NewMarket 20,475 980 NN 13,200 166 Olin 48,092 973 OM Group* 27,800 1,738 Omnova Solutions* 80,600 452 Owens-Illinois 1,240 42 Pioneer* 14,408 496 PolyOne* 49,900 356 Quanex (B) 94,100 4,511 Rock-Tenn, Cl A 84,191 2,940 RTI International Metals* 1,060 94 Ryerson (B) 33,300 1,263 Schnitzer Steel Industries, Cl A (B) 69,401 3,762 Schweitzer-Mauduit International 62,542 1,879 Sensient Technologies 93,000 2,422 Sherritt International (Canada) 147,500 2,147 Silgan Holdings (B) 116,649 6,733 Spartech 71,037 1,904 Steel Dynamics 105,700 4,957 Symyx Technologies (B)* 46,375 486 Texas Industries (B) 35,415 3,080 Wellman 141,300 497 Wheeling-Pittsburgh (B)* 72,300 1,591 WR Grace* 15,415 417 -------------- 101,228 -------------- TELECOMMUNICATION SERVICES -- 1.4% Alaska Communications Systems Group 107,128 1,691 Aruba Networks (B)* 23,000 445 BigBand Networks* 95,400 1,649 Boston Communications Group* 14,208 26 Cbeyond (B)* 43,086 1,524 Centennial Communications* 118,037 1,203 Cincinnati Bell* 341,232 1,989 Citizens Communications 569 9 Clearwire, Cl A (B)* 148,000 2,886 Cogent Communications Group* 59,200 1,699 Consolidated Communications Holdings 20,342 433 CT Communications 20,587 646 Dobson Communications, Cl A* 44,090 469 Fairpoint Communications 106,400 1,915 Golden Telecom 7,500 399 IDT* 27,700 334 IDT, Cl B (B)* 47,338 589 Iowa Telecommunications Services 22,579 508 iPCS* 1,044 36 Leap Wireless International* 7,600 650 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Level 3 Communications* 52,120 $ 303 NeuStar, Cl A (B)* 31,203 907 NTELOS Holdings 50,400 1,271 Orckit Communications* 70,800 775 Premiere Global Services (B)* 108,400 1,373 Qwest Communications International* 33,557 345 SBA Communications, Cl A (B)* 105,905 3,403 Syniverse Holdings (B)* 77,900 997 Time Warner Telecom, Cl A (B)* 88,130 1,706 USA Mobility 24,400 562 Vonage Holdings* 20,508 62 -------------- 30,804 -------------- UTILITIES -- 2.8% AGL Resources 31,987 1,365 Allete 62,469 2,999 Atmos Energy 43,942 1,423 Avista 51,600 1,209 Black Hills 90,959 3,728 Centerpoint Energy (B) 110,900 2,099 Cleco 58,583 1,581 CMS Energy (B) 103,500 1,889 El Paso Electric* 41,800 1,137 Empire District Electric (B) 50,406 1,189 Energen 15,956 940 Great Plains Energy 15,600 485 Hawaiian Electric Industries 15,400 377 Idacorp 43,897 1,458 Integrys Energy Group 38,301 2,141 ITC Holdings 16,000 694 Laclede Group 20,113 627 New Jersey Resources 28,174 1,543 Nicor (B) 57,002 2,676 Northwest Natural Gas 16,549 825 Oneok 32,900 1,780 Ormat Technologies (B) 111,300 4,051 PNM Resources (B) 169,812 5,011 Portland General Electric 55,385 1,625 Reliant Energy* 64,203 1,645 SCANA 1,890 80 SEMCO Energy* 81,000 625 SJW 4,000 129 South Jersey Industries 30,313 1,178 Southern Union 66,700 2,321 Southwest Gas 85,616 3,267 UGI 20,200 582 UIL Holdings 17,700 581 Unisource Energy 17,458 638 Vectren 54,230 1,571 Westar Energy (B) 80,348 2,130 WGL Holdings 51,156 1,804 Wisconsin Energy 14,343 695 -------------- 60,098 -------------- -------------------------------------------------------------------------------- 92 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Total Common Stock (Cost $1,687,146) ($ Thousands) $ 2,075,255 -------------- EXCHANGE TRADED FUND -- 0.1% iShares Russell 2000 Index Fund (B)* 27,548 2,319 -------------- Total Exchange Traded Fund (Cost $1,692) ($ Thousands) 2,319 -------------- Number of Warrants --------- WARRANTS -- 0.0% Parkervision, Deal #2 (F) (G) (H) (I)* 7,500 24 Parkervision, Deal #3 (F) (G) (H) (I)* 8,250 27 Rentech, Expires 04/25/12* 16,100 13 Washington Mutual, Expires 12/26/50* 250,261 68 -------------- Total Warrants (Cost $51) ($ Thousands) 132 -------------- Number of Rights --------- RIGHTS -- 0.0% Hayez Lemmerz International 16,625 41 -------------- Total Rights (Cost $19) ($ Thousands) 41 -------------- CASH EQUIVALENTS -- 13.8% First Union Cash Management Program, 5.221%** 3,187,901 3,188 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 46,679,248 46,679 SEI Liquidity Fund L.P., 5.490% (C)**++ 245,657,555 245,658 -------------- Total Cash Equivalents (Cost $295,525) ($ Thousands) 295,525 -------------- CORPORATE OBLIGATIONS (C) -- 8.3% FINANCIALS -- 8.3% American General Finance (A) (E) 5.370%, 06/15/07 $ 13,193 13,192 Bear Stearns EXL (E) 5.360%, 06/15/07 16,195 16,195 Countrywide Financial MTN (E) 5.430%, 06/27/07 5,459 5,459 Countrywide Financial MTN, Ser A (E) 5.440%, 08/06/07 13,648 13,648 Irish Life & Permanent MTN, Ser X (A) (E) 5.360%, 06/21/07 12,101 12,100 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Jackson National Life Funding (A) (E) 5.320%, 06/01/07 $ 20,017 $ 20,017 Morgan Stanley EXL (E) 5.400%, 06/04/07 3,185 3,185 Morgan Stanley EXL, Ser S (E) 5.360%, 06/04/07 4,549 4,549 Nationwide Building Society (A) (E) 5.410%, 06/28/07 5,004 5,004 5.370%, 06/07/07 9,099 9,099 Northern Rock (A) (E) 5.380%, 06/04/07 9,371 9,371 Premium Asset Trust, Ser 2004-10 (A) (E) 5.380%, 06/15/07 12,738 12,738 SLM MTN (E) 5.320%, 06/15/07 10,008 10,008 Skandinav Enskilda Bank (A) (E) 5.320%, 06/18/07 10,008 10,008 Stanfield Victoria LLC MTN (A) 5.450%, 06/11/07 9,098 9,098 UniCredito Italiano Bank (A) (E) 5.350%, 07/11/07 22,746 22,744 -------------- Total Corporate Obligations (Cost $176,415) ($ Thousands) 176,415 -------------- COMMERCIAL PAPER (C) (D) -- 3.1% FINANCIALS -- 3.1% KKR Pacific Funding Trust 5.310%, 06/15/07 16,468 16,434 OCALA Funding 5.310%, 06/19/07 6,824 6,806 Rhineland Funding Capital 5.280%, 06/06/07 3,344 3,342 Thornburg Mortgage Capital Resources 5.290%, 06/07/07 18,197 18,181 Valour Bay Capital LLC 5.320%, 06/11/07 7,426 7,415 5.320%, 06/13/07 13,648 13,623 -------------- Total Commercial Paper (Cost $65,801) ($ Thousands) 65,801 -------------- CERTIFICATES OF DEPOSIT (C) -- 0.7% Barclays Bank (E) 5.440%, 06/11/07 4,549 4,549 CC USA MTN (A) 5.520%, 06/18/07 9,099 9,099 -------------- Total Certificates of Deposit (Cost $13,648) ($ Thousands) 13,648 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 93 SCHEDULE OF INVESTMENTS Small Cap Fund (Concluded) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MASTER NOTE (C) (D) -- 0.4% FINANCIALS -- 0.4% Bear Stearns 5.430%, 06/01/07 $ 9,098 $ 9,098 -------------- Total Master Note (Cost $9,098) ($ Thousands) 9,098 -------------- ASSET-BACKED SECURITY (A) (C) (E) -- 0.3% MORTGAGE RELATED SECURITY -- 0.3% Duke Funding, Ser 2004-6B, Cl A1S1 5.420%, 07/09/07 6,824 6,824 -------------- Total Asset-Backed Security (Cost $6,824) ($ Thousands) 6,824 -------------- U.S. TREASURY OBLIGATION (D) (J) -- 0.1% U.S. Treasury Bill 4.813%, 08/23/07 580 574 -------------- Total U.S. Treasury Obligation (Cost $574) ($ Thousands) 574 -------------- REPURCHASE AGREEMENTS (C) (K) -- 5.2% Barclays Capital 5.280%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $3,136,415 (collateralized by a U.S. Government obligation, par value $3,199,007, 0.000%, 06/01/07, total market value $3,198,687) 3,136 3,136 Deutsche Bank 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $8,954,535 (collateralized by U.S. Government obligations, ranging in par value $49,495-$2,947,890, 4.000%-6.000%, 02/01/08-11/04/20, total market value $9,132,314) 8,953 8,953 Lehman Brothers 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $100,097,442 (collateralized by U.S. Government obligations, ranging in par value $21,145,020-$173,294,209, 3.875%-8.875%, 06/15/08-03/15/31, total market value $102,084,468) 100,083 100,083 -------------- Total Repurchase Agreements (Cost $112,172) ($ Thousands) 112,172 -------------- Total Investments -- 129.1% (Cost $2,368,965) ($ Thousands) $ 2,757,804 ============== -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- A summary of the open future contracts held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- Russell 2000 Index E-Mini 149 Jun-2007 $ 582 ======= A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2007 is as follows, (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- CURRENCY TO CURRENCY TO UNREALIZED MATURITY DELIVER RECEIVE DEPRECIATION DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 6/13/07 CAD 379 USD 350 $ (5) ======= Percentages are based on Net Assets of $2,136,857 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 2007. + Real Estate Investments Trust ++ Affiliated security (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 May 31, 2007 (see Note 9). The total value of securities on loan at May 31, 2007 was $610,514 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of May 31, 2007 was $629,616 ($ 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 May 31, 2007. (F) Securities considered illiquid. The total value of such securities as of May 31, 2007 was $6,624 ($ Thousands) and represents 0.31% 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 May 31, 2007 was $6,624 ($ Thousands) and represented 0.31% of Net Assets. (H) This security considered restricted. The total value of such securities as of May 31, 2007 was $6,624 ($ Thousands) and represented 0.31% 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 CAD -- Canadian Dollar Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company LP -- Limited Partnership MTN -- Medium Term Note PIPE -- Private Investment in Public Entity Ser -- Series 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. -------------------------------------------------------------------------------- 94 SEI Institutional Investments Trust / Annual Report / May 31, 2007 Small/Mid Cap Equity Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 22.7% Financials 13.9% Short-Term Investments 13.6% Information Technology 11.4% Industrials 10.4% Consumer Discretionary 8.1% Health Care 4.7% Materials 4.5% Energy 3.4% Utilities 2.9% Consumer Staples 2.1% Commercial Paper 1.3% Telecommunication Services 0.4% Certificate of Deposit 0.3% Master Note 0.2% Asset-Backed Securities 0.1% U.S. Treasury Obligations 0.0% Exchanged Traded Funds 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 -- 95.5% CONSUMER DISCRETIONARY -- 12.9% Abercrombie & Fitch, Cl A 10,794 $ 892 Advance Auto Parts 24,500 1,015 Aftermarket Technology* 10,843 325 Amazon.com* 17,305 1,196 American Axle & Manufacturing Holdings (B) 47,834 1,379 American Eagle Outfitters (B) 70,300 1,898 American Greetings, Cl A 31,969 838 Amerigon* 60,960 1,008 AnnTaylor Stores* 29,400 1,149 Applebee's International* 5,971 156 Arctic Cat 50,400 965 ArvinMeritor 10,217 213 Asbury Automotive Group 60,805 1,659 Autoliv 43,770 2,613 Autonation* 26,050 576 Bally Technologies* 13,274 361 Barnes & Noble 13,565 580 Beazer Homes USA (B) 4,200 150 Bebe Stores 12,180 219 Belo, Cl A 107,776 2,396 Big Lots* 54,532 1,718 Blockbuster, Cl A* 200,895 888 Blyth 1,700 47 Bob Evans Farms 10,055 389 Bon-Ton Stores 1,336 64 Books-A-Million 16,073 265 Borders Group (B) 31,800 709 BorgWarner (B) 11,400 959 Bright Horizons Family Solutions* 20,194 855 Brinker International (B) 62,571 2,000 Brown Shoe 35,847 1,062 Brunswick 95,214 3,278 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Cablevision Systems, Cl A 41,657 $ 1,508 Carrols Restaurant Group* 50,005 791 Casual Male Retail Group (B)* 98,000 1,151 Cato, Cl A 58,500 1,272 CBRL Group (B) 56,771 2,551 CEC Entertainment* 23,778 921 Charlotte Russe Holding* 28,568 796 Charming Shoppes (B)* 129,811 1,617 Cheesecake Factory (B)* 15,600 440 Chipotle Mexican Grill, Cl A (B)* 40,200 3,482 Cinemark Holdings* 90,363 1,749 Circuit City Stores 14,200 228 CKX (B)* 58,800 625 Coach* 56,900 2,922 Coinstar* 8,401 265 Columbia Sportswear (B) 8,000 558 Cooper Tire & Rubber 10,381 250 Corinthian Colleges* 5,400 79 Courier 3,984 160 CROCS (B)* 97,100 7,900 CSK Auto (B)* 48,753 887 Deckers Outdoor (B)* 4,200 369 Denny's* 69,174 317 Dick's Sporting Goods (B)* 13,582 755 Dillard's, Cl A (B) 40,000 1,452 Dollar Tree Stores (B)* 108,346 4,584 Dover Downs Gaming & Entertainment 9,600 140 Dress Barn (B)* 38,900 898 Dufry South America (United Kingdom)* 90,100 2,021 DXP Enterprises* 1,585 75 E.W. Scripps, Cl A 10,842 495 Eastman Kodak 17,657 448 Eddie Bauer Holdings* 231,500 3,181 Entercom Communications (B) 45,975 1,223 Ethan Allen Interiors 7,000 254 Family Dollar Stores 3,072 103 Finish Line, Cl A 11,206 143 Focus Media Holding ADR (B)* 59,071 2,613 Foot Locker 169,182 3,712 Ford Motor 7,457 62 Furniture Brands International (B) 48,500 703 GameStop, Cl A* 83,200 3,077 Getty Images* 5,760 288 Gildan Activewear* 42,000 1,468 Goodyear Tire & Rubber* 112,809 4,001 Group 1 Automotive 1,855 78 GSI Commerce (B)* 82,654 1,891 Gymboree* 37,794 1,689 H&R Block 19,512 462 Handleman (B) 21,700 153 Harman International Industries 15,671 1,859 Harris Interactive* 65,567 367 Hasbro 129,306 4,157 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 95 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hibbett Sports (B)* 105,791 $ 2,959 Hovnanian Enterprises, Cl A (B)* 37,646 951 International Speedway, Cl A 8,300 435 ITT Educational Services* 15,272 1,729 Jackson Hewitt Tax Service 61,209 1,852 Jarden* 46,491 1,981 Jo-Ann Stores* 30,194 1,021 Jones Apparel Group 126,514 3,768 Journal Communications, Cl A 890 12 KB Home 18,900 867 Keystone Automotive Industries* 28,791 1,189 Kimball International, Cl B 14,450 197 Knology* 11,940 222 Laureate Education* 25,000 1,498 Leapfrog Enterprises (B)* 17,198 191 Lear* 7,100 253 Leggett & Platt 24,079 589 Life Time Fitness (B)* 39,000 1,996 LKQ (B)* 54,676 1,365 Lodgenet Entertainment* 19,320 685 Maidenform Brands* 10,000 187 Martha Stewart Living Omnimedia, Cl A (B) 105,400 1,893 Marvel Entertainment (B)* 72,900 2,013 Men's Wearhouse 3,478 186 Meredith 57,611 3,584 Morgans Hotel Group (B)* 39,900 981 Morningstar (B)* 25,300 1,210 Mothers Work* 1,836 69 National CineMedia* 38,338 1,095 Nautilus (B) 51,300 661 New Oriental Education & Technology Group ADR* 22,338 1,049 Newell Rubbermaid 13,737 436 Nutri/System (B)* 37,500 2,457 NVR* 2,279 1,816 O'Charleys* 73,607 1,663 OfficeMax 32,208 1,446 Orient-Express Hotels, Cl A 50,600 2,711 Pacific Sunwear of California* 16,998 338 Panera Bread, Cl A (B)* 8,900 502 Payless Shoesource* 40,668 1,453 Penn National Gaming (B)* 73,533 3,929 Perry Ellis International* 59,616 1,868 PetSmart (B) 83,100 2,844 PF Chang's China Bistro (B)* 8,000 310 Pier 1 Imports 14,222 107 Pinnacle Entertainment* 55,512 1,699 Polaris Industries (B) 43,508 2,397 Priceline.com (B)* 35,500 2,195 Quiksilver (B)* 342,500 4,833 R.H. Donnelley (B) 40,741 3,175 RadioShack 55,137 1,882 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Regal Entertainment Group, Cl A (B) 79,600 $ 1,821 Regis 51,758 2,064 Rent-A-Center* 84,095 2,279 Retail Ventures* 3,272 63 Ruby Tuesday 79,800 2,200 Ryland Group (B) 25,300 1,169 Saks (B) 83,609 1,676 Sally Beauty Holdings* 82,300 755 Sauer-Danfoss 24,511 666 Sinclair Broadcast Group, Cl A 30,309 464 Sirius Satellite Radio* 37,369 109 Sonic Automotive, Cl A (B) 33,900 1,055 Source Interlink* 5,566 30 Stage Stores 4,900 102 Standard Motor Products 36,250 564 Standard-Pacific (B) 145,925 3,111 Starwood Hotels & Resorts Worldwide 87,900 6,335 Steinway Musical Instruments 3,000 116 Strayer Education 3,800 476 Stride Rite 69,556 1,402 Talbots (B) 74,500 1,620 Tempur-Pedic International (B) 70,300 1,783 Tenneco* 15,600 509 Tiffany 46,703 2,455 Timberland, Cl A (B)* 74,900 2,048 Town Sports International Holdings (B)* 72,467 1,457 TravelCenters of America LLC* 5,180 228 Triarc, Cl B 19,700 304 TRW Automotive Holdings* 43,019 1,746 Tupperware Brands (B) 48,384 1,399 Under Armour, Cl A (B)* 70,300 3,362 Unifirst 5,672 237 Urban Outfitters (B)* 171,900 4,569 Valuevision Media, Cl A* 2,900 32 Virgin Media 1,100 29 Volcom (B)* 51,000 2,218 Warnaco Group* 11,580 398 Weight Watchers International 23,300 1,217 West Marine (B)* 70,306 1,047 Westfield Financial 23,200 2,191 Wet Seal, Cl A* 130,000 810 Whirlpool (B) 21,994 2,456 Williams-Sonoma (B) 7,600 258 WMS Industries* 1,200 51 Wynn Resorts (B)* 16,100 1,554 -------------- 240,196 -------------- CONSUMER STAPLES -- 3.6% Alliance One International* 301,399 2,896 Andersons 6,077 238 Asiatic Development* 857,000 1,677 -------------------------------------------------------------------------------- 96 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Avon Products 21,363 $ 820 Bare Escentuals* 13,500 566 BJ's Wholesale Club* 141,916 5,367 Bunge 2,672 209 Casey's General Stores 10,519 284 Central Garden and Pet* 18,679 268 Central Garden and Pet, Cl A* 10,708 143 Chiquita Brands International (B) 62,800 1,152 Corn Products International 21,711 891 Del Monte Foods 141,412 1,704 Hain Celestial Group* 94,400 2,700 Herbalife* 36,557 1,471 Imperial Sugar 926 26 J&J Snack Foods 3,900 153 JM Smucker 18,232 1,052 Lance 86,400 2,052 Loews - Carolina 43,697 3,397 Longs Drug Stores (B) 30,385 1,740 Molson Coors Brewing, Cl B (B) 43,657 3,998 Nash Finch (B) 50,520 2,377 NBTY (B)* 78,002 4,097 Pantry* 6,164 269 Pepsi Bottling Group 76,500 2,677 PepsiAmericas 72,700 1,790 Performance Food Group* 10,886 387 Pilgrim's Pride (B) 169,933 6,004 Prestige Brands Holdings* 8,766 115 Ralcorp Holdings (B)* 26,045 1,515 Reddy Ice Holdings 37,021 1,130 Ruddick 31,500 986 Seaboard 420 932 Smart & Final* 3,700 81 Smithfield Foods* 45,886 1,475 Spectrum Brands* 22,155 186 Supervalu 71,200 3,392 Tyson Foods, Cl A 57,184 1,275 Universal (B) 59,136 3,759 USANA Health Sciences (B)* 20,200 785 UST 8,932 477 Whole Foods Market (B) 20,100 826 -------------- 67,339 -------------- ENERGY -- 5.5% Alon USA Energy 7,800 310 Arch Coal 19,860 802 Arlington Tankers (B) 65,900 1,771 Atlas America 6,909 343 BA Energy PIPE (F) (G) (H)* 80,500 602 BA Energy, Deal #3 PIPE (F) (G) (H)* 26,500 198 Basic Energy Services (B)* 64,100 1,711 Berry Petroleum, Cl A (B) 44,140 1,608 BPZ Energy PIPE (F) (G) (H)* 163,000 959 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Bronco Drilling (B)* 16,000 $ 268 Cal Dive International* 102,500 1,585 Cameron International (B)* 55,956 3,967 Carrizo Oil & Gas (B)* 26,766 1,089 Compagnie Generale de Geophysique-Veritas ADR (B)* 57,900 2,575 Complete Production Services* 57,900 1,555 Comstock Resources* 36,000 1,093 Consol Energy 22,602 1,098 Continental Resources* 39,400 587 Delek US Holdings 70,500 1,681 Dresser-Rand Group* 80,052 2,850 Encore Acquisition (B)* 61,900 1,705 Energy Transfer Partners LP 3,100 190 ENGlobal* 6,300 65 Evergreen Energy (B)* 95,500 660 FMC Technologies (B)* 38,900 2,941 Foundation Coal Holdings 21,792 963 Frontier Oil 32,689 1,316 Gasco Energy* 5,300 12 Giant Industries* 5,000 385 Global Industries* 5,526 131 Grant Prideco (B)* 107,000 6,077 Grey Wolf (B)* 143,000 1,133 Helix Energy Solutions Group (B)* 93,100 3,710 Hercules Offshore (B)* 64,200 2,243 Holly (B) 19,178 1,344 Houston Exploration* 11,800 708 Infinity Bio-Energy* 258,407 1,315 Input/Output* 16,118 258 Lufkin Industries 9,900 633 Massey Energy 30,153 874 Meridian Resource* 127,584 374 Murphy Oil 9,975 589 NATCO Group, Cl A* 800 34 Newfield Exploration* 37,156 1,785 North American Oil Sands (Canada) (F) (G) (H)* 160,000 2,694 Oil Sands Quest (F) (G) (H) PIPE* 63,500 169 Oil Sands Quest* 311,800 923 OPTI (Canada)* 91,100 2,056 Parallel Petroleum (B)* 39,802 918 Patterson-UTI Energy 96,300 2,544 Penn Virginia 7,000 559 Petroquest Energy (B)* 100,909 1,429 Pioneer Natural Resources 10,197 526 Range Resources (B) 41,652 1,614 Rentech (B)* 730,523 1,790 Rosetta Resources* 24,200 590 SEACOR Holdings (B)* 20,700 1,915 Southwestern Energy* 50,979 2,427 Sunoco 36,200 2,886 Superior Energy Services* 19,987 803 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 97 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Superior Well Services* 27,252 $ 706 Swift Energy (B)* 72,657 3,126 SXR Uranium One (Canada)* 101,086 1,576 Synenco Energy (Canada)* 12,051 178 Synenco Energy, Cl A (Canada)* 124,100 1,828 Tesoro (B) 94,142 5,826 Tetra Technologies (B)* 60,700 1,695 Tidewater (B) 23,499 1,551 Universal Compression Holdings* 14,319 1,064 US BioEnergy* 59,900 772 USEC* 24,491 566 Venoco* 68,200 1,355 VeraSun Energy (B)* 10,800 164 W-H Energy Services* 7,292 465 Williams 11,800 375 World Fuel Services 38,800 1,587 -------------- 102,774 -------------- FINANCIALS -- 21.2% A.G. Edwards 54,902 4,840 Acadia Realty Trust+ 46,700 1,327 Advance America Cash Advance Centers 96,800 1,708 Advanta, Cl B 38,200 1,920 Affiliated Managers Group (B)* 86,035 11,202 Affirmative Insurance Holdings 5,400 83 Alexandria Real Estate Equities+ 32,360 3,404 AllianceBernstein Holding 1,504 137 AMB Property+ 45,100 2,609 AmCOMP* 164,900 1,515 Amcore Financial 7,112 212 American Equity Investment Life Holding 15,700 188 American Financial Group 172,299 6,142 American Financial Realty Trust+ 121,500 1,370 American Home Mortgage Investment+ (B) 186,350 4,070 American Physicians Capital (B)* 3,600 147 AmeriCredit (B)* 90,950 2,415 Ameris Bancorp 3,100 72 Amerisafe* 51,528 953 Amtrust Financial Services (B)* 12,200 189 Anchor Bancorp Wisconsin 4,900 140 Annaly Capital Management+ 196,821 3,039 Anthracite Capital+ 115,394 1,411 Anworth Mortgage Asset+ 56,000 522 AON 31,500 1,352 Arbor Realty Trust+ 19,473 555 Arch Capital Group* 23,652 1,700 Archstone-Smith Trust+ (B) 62,100 3,832 Argonaut Group* 4,800 159 Ashford Hospitality Trust+ (B) 277,100 3,439 Aspen Insurance Holdings 56,400 1,530 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Associated Banc (B) 61,751 $ 2,038 Assurant 33,353 1,983 Asta Funding (B) 14,500 612 Astoria Financial 30,300 808 AvalonBay Communities+ (B) 36,800 4,798 Axis Capital Holdings 29,116 1,152 BancFirst 1,600 69 Bancorpsouth 12,098 303 Bank Mutual 28,594 338 Bank of Hawaii 15,900 851 Bank of the Ozarks (B) 4,000 115 BankAtlantic Bancorp, Cl A 25,934 246 Bankunited Financial, Cl A (B) 139,057 3,187 Banner 4,200 151 BlackRock 4,942 759 BOK Financial 6,565 356 Boston Private Financial Holdings (B) 52,000 1,472 Boston Properties+ 27,200 3,146 Brandywine Realty Trust+ 69,300 2,204 Calamos Asset Management, Cl A (B) 42,483 1,060 Camden Property Trust+ 56,850 4,244 Canaccord Capital (Canada)* 80,900 1,684 Capital of the West 3,891 96 Capital Trust, Cl A+ (B) 11,800 525 CapitalSource+ (B) 36,178 951 Cardinal Financial 15,257 150 Cascade Bancorp (B) 1,625 37 Cash America International 60,791 2,522 CB Richard Ellis Group, Cl A* 14,309 533 CBL & Associates Properties+ 12,980 533 Cedar Shopping Centers+ 14,201 226 Center Financial 5,500 95 Central Pacific Financial 41,848 1,420 Chemical Financial (B) 29,400 791 Chicago Mercantile Exchange Holdings, Cl A 2,017 1,071 City Bank 10,526 342 City Holding 4,500 171 CNA Surety* 6,000 123 Colonial BancGroup 99,577 2,513 Commerce Bancorp 18,018 622 Commerce Bancshares* 4,100 193 Community Bancorp* 18,836 559 Community Bank System 30,000 617 CompuCredit (B)* 52,349 1,927 Conseco* 77,736 1,532 Corporate Office Properties Trust+ (B) 96,100 4,329 Corus Bankshares (B) 120,429 2,191 Cullen/Frost Bankers 40,552 2,156 Delphi Financial Group, Cl A 19,600 842 Dime Community Bancshares 76,799 1,037 Dollar Financial* 62,600 1,913 Douglas Emmett+ (B)* 102,300 2,698 -------------------------------------------------------------------------------- 98 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Downey Financial (B) 50,183 $ 3,653 Dundee (Canada)+* 43,800 1,624 Dundee Wealth Management (Canada)* 112,900 1,801 E*Trade Financial* 252,100 6,038 East West Bancorp 29,000 1,176 Eaton Vance 114,581 5,029 Education Realty Trust+ 15,943 231 EMC Insurance Group 14,900 378 Employers Holdings* 12,107 257 Endurance Specialty Holdings 69,716 2,777 Entertainment Properties Trust+ 10,638 628 Equity One+ 14,738 432 Equity Residential+ (B) 53,100 2,691 Essex Property Trust+ (B) 16,400 2,087 Evercore Partners, Cl A 47,300 1,500 Extra Space Storage+ 120,800 2,164 Ezcorp, Cl A* 45,700 687 Federal Realty Investment Trust+ (B) 32,700 2,898 Federated Investors, Cl B 81,321 3,167 FelCor Lodging Trust+ 47,700 1,249 First Cash Financial Services* 131,500 3,278 First Community Bancshares 1,400 44 First Financial Bancorp 19,970 294 First Financial Bankshares (B) 2,100 85 First Financial Holdings 2,600 86 First Horizon National (B) 55,900 2,252 First Industrial Realty Trust+ (B) 42,500 1,895 First Marblehead (B) 27,893 1,039 First Merchants 2,900 71 First Midwest Bancorp (B) 43,300 1,593 First Niagara Financial Group 211,700 2,904 First Regional Bancorp* 3,000 77 FirstFed Financial (B)* 58,366 3,763 FirstMerit 13,269 286 Forest City Enterprises, Cl A 39,800 2,790 Fortress Investment Group LLC (B)* 68,800 1,844 Fremont General (B) 31,200 413 Friedman Billings Ramsey Group, Cl A+ (B) 61,700 387 Frontier Financial (B) 10,600 247 Gluskin Sheff + Associates (Canada)* 77,100 1,934 GMP Capital Trust (Canada) 43,000 961 Gramercy Capital+ 9,100 288 Great Southern Bancorp 1,200 33 Greene County Bancshares 1,600 56 Greenhill (B) 21,900 1,577 Grubb & Ellis* 45,000 570 Grubb & Ellis Realty Advisors* 258,650 1,684 Hancock Holding 6,127 242 Hanmi Financial 15,200 266 Hanover Insurance Group 37,918 1,850 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- HCC Insurance Holdings 30,050 $ 989 Hersha Hospitality Trust+ 166,200 2,018 Highbury Financial (B)* 29,800 198 Highbury Financial Units* 63,600 630 Highwoods Properties+ (B) 19,200 842 Home Bancshares (B) 47,600 1,061 Horace Mann Educators 83,551 1,865 Horizon Financial 1,500 34 Hospitality Properties Trust+ 105,282 4,679 Host Hotels & Resorts+ (B) 84,900 2,167 HRPT Properties Trust+ (B) 169,700 1,948 Huntington Bancshares (B) 124,262 2,791 IMPAC Mortgage Holdings+ (B) 59,700 370 IndyMac Bancorp (B) 56,258 1,889 Infinity Property & Casualty 6,264 331 Innkeepers USA Trust+ 53,379 941 IntercontinentalExchange* 11,800 1,710 Investment Technology Group* 39,000 1,585 Irwin Financial 33,700 536 iStar Financial+ 37,501 1,801 ITLA Capital 4,447 244 Jefferies Group 49,800 1,526 JER Investors Trust+ 14,200 267 Jones Lang LaSalle 17,935 2,093 Kansas City Life Insurance 16,800 755 KBW (B)* 50,400 1,648 KKR Financial Holdings LLC (B) 60,500 1,620 LandAmerica Financial Group (B) 24,700 2,289 Legg Mason 6,619 669 Macerich+ 27,300 2,435 Mack-Cali Realty+ 95,400 4,607 Maguire Properties+ 51,100 1,846 Marsh & McLennan 68,886 2,261 Meruelo Maddux Properties* 129,900 1,072 MFA Mortgage Investments+ 199,700 1,502 MGIC Investment (B) 29,200 1,898 Move* 362,000 1,520 MVC Capital 101,500 1,964 Nara Bancorp 10,600 170 NASDAQ Stock Market (B)* 138,600 4,613 National Financial Partners 34,400 1,611 National Interstate 3,400 83 National Retail Properties+ (B) 45,700 1,108 Nationwide Financial Services, Cl A 69,394 4,296 Navigators Group* 9,567 474 New York Community Bancorp (B) 225,608 3,944 NewAlliance Bancshares 19,456 314 Newcastle Investment+ (B) 47,404 1,406 NNN Realty Advisors* 135,000 1,492 NorthStar Realty Finance+ 124,231 1,790 Nuveen Investments, Cl A 64,500 3,538 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 99 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- NYSE Euronext* 5,400 $ 449 Ocwen Financial* 60,235 853 Old National Bancorp 50,500 901 Old Republic International 26,318 570 Omega Healthcare Investors+ 30,600 527 OneBeacon Insurance Group* 24,100 606 Oriental Financial Group 32,774 396 Pacific Capital Bancorp 10,749 277 PartnerRe 4,933 379 PennantPark Investment (B)* 87,100 1,305 Penson Worldwide* 10,000 288 People's United Financial 145,660 2,941 PFF Bancorp 86,760 2,604 Philadelphia Consolidated Holding* 19,300 795 Piper Jaffray (B)* 52,200 3,492 Platinum Underwriters Holdings 105,886 3,647 PMI Group 45,196 2,234 Portfolio Recovery Associates (B)* 45,000 2,664 Post Properties+ (B) 13,900 737 Potlatch + 1,253 55 Preferred Bank 5,400 206 Premierwest Bancorp (B) 2,646 37 Presidential Life 20,700 378 ProAssurance* 10,310 583 Prologis+ 65,200 4,216 PS Business Parks+ 7,300 490 Public Storage+ (B) 39,654 3,549 Radian Group (B) 34,500 2,136 Rainier Pacific Financial Group 4,426 90 RAIT Financial Trust+ (B) 124,937 3,681 Realty Income+ (B) 57,290 1,571 Redwood Trust+ 10,808 579 Reinsurance Group of America 24,231 1,517 Resource Capital+ 16,300 260 Safeco (B) 33,800 2,121 Safety Insurance Group 18,032 751 Sierra Bancorp (B) 1,000 28 Signature Bank* 11,000 366 Simon Property Group+ (B) 49,200 5,313 SL Green Realty+ (B) 22,800 3,194 Smithtown Bancorp (B) 1,430 34 South Financial Group 80,062 1,905 Southwest Bancorp 6,031 148 St. Joe 61,771 3,233 Stancorp Financial Group 22,500 1,144 Sterling Financial, Washington Shares (B) 56,952 1,722 Stewart Information Services (B) 13,600 539 Strategic Hotels & Resorts+ 108,000 2,519 Suffolk Bancorp 1,500 46 Superior Bancorp* 13,873 141 SVB Financial Group (B)* 33,000 1,751 SWS Group 60,996 1,472 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- T. Rowe Price Group 5,144 $ 264 Taubman Centers+ 41,000 2,256 Taylor Capital Group 13,249 399 TCF Financial 99,632 2,813 TD Ameritrade Holding* 50,099 1,029 Thomas Properties Group 36,100 608 Thomas Weisel Partners Group (B)* 46,600 815 TierOne (B) 16,162 506 Tompkins Trustco 800 30 Tower Group 16,400 519 TradeStation Group* 85,300 1,017 Transatlantic Holdings 2,798 200 Triad Guaranty* 25,257 1,126 Trico Bancshares 2,700 61 Trustmark 54,300 1,462 UMB Financial 12,552 485 Umpqua Holdings (B) 30,300 756 UnionBanCal 8,127 499 United Bankshares 38,400 1,296 United Community Banks 7,700 234 United Fire & Casualty 28,498 1,116 United Security Bancshares (B) 2,100 47 Unitrin 37,200 1,822 UnumProvident (B) 129,792 3,445 Ventas+ 73,800 3,126 Vineyard National Bancorp 1,300 32 Vornado Realty Trust+ 7,200 871 Washington Federal 55,370 1,389 Webster Financial 18,859 848 Weingarten Realty Investors+ 46,600 2,174 West Coast Bancorp 3,200 99 Westamerica Bancorporation 1,061 49 Whitney Holding 7,000 217 Willis Group Holdings 11,296 523 Wilshire Bancorp 7,800 99 Winston Hotels+ 79,600 1,187 Winthrop Realty Trust+ (B) 135,100 911 Wintrust Financial 24,800 1,138 World Acceptance (B)* 63,904 2,708 WSFS Financial 1,900 126 Zenith National Insurance 26,347 1,274 Zions Bancorporation 8,300 668 -------------- 394,873 -------------- HEALTH CARE -- 9.9% Abraxis BioScience* 28,645 705 Acadia Pharmaceuticals* 67,800 867 Advanced Magnetics (B)* 14,807 934 Affymetrix (B)* 114,400 2,972 Air Methods* 8,531 301 Albany Molecular Research* 23,606 336 Align Technology* 15,100 344 -------------------------------------------------------------------------------- 100 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Alkermes* 162,800 $ 2,615 Alliance Imaging* 23,700 208 Alpharma, Cl A 4,454 108 American Dental Partners* 13,542 350 AMERIGROUP* 58,136 1,482 Amsurg* 77,750 1,913 Amylin Pharmaceuticals* 3,362 155 Analogic 2,680 177 Angiotech Pharmaceuticals* 88,700 597 Applera - Celera Group* 78,900 1,053 Apria Healthcare Group (B)* 134,902 3,907 Arena Pharmaceuticals (B)* 102,100 1,419 Ariad Pharmaceuticals (B)* 248,900 1,352 Axcan Pharma* 167,157 3,141 Barr Pharmaceuticals* 48,700 2,597 Bausch & Lomb* 50,999 3,463 Beckman Coulter 8,666 567 Biogen Idec* 32,900 1,718 Bradley Pharmaceuticals* 17,185 379 Cadence Pharmaceuticals* 34,193 498 Centene* 3,400 78 Cephalon (B)* 91,547 7,599 Cerner (B)* 5,700 324 Chemed 12,827 859 Coley Pharmaceutical Group (B)* 64,332 535 Collagenex Pharmaceuticals (B)* 39,421 417 Computer Programs & Systems 45,141 1,516 Conmed* 76,821 2,405 Cooper 19,912 1,098 Corvel* 14,281 392 Covance* 24,788 1,650 Coventry Health Care* 14,100 841 Cubist Pharmaceuticals (B)* 166,900 3,830 CV Therapeutics (B)* 216,900 2,286 Cynosure, Cl A* 46,264 1,479 Cypress Bioscience (B)* 27,225 412 Cytyc* 57,200 2,418 Dade Behring Holdings 81,302 4,379 DaVita* 28,100 1,552 Dentsply International 90,688 3,277 Depomed (B)* 115,800 506 Digene* 9,400 418 Discovery Laboratories* 161,969 549 DJO (B)* 65,153 2,542 Eclipsys* 15,800 322 Edwards Lifesciences* 16,400 823 Emageon (B)* 123,900 939 Emergency Medical Services, Cl A* 7,575 264 Encysive Pharmaceuticals (B)* 248,300 978 Endo Pharmaceuticals Holdings* 88,101 3,112 Enzon Pharmaceuticals (B)* 25,400 215 eResearch Technology (B)* 197,800 1,772 Exelixis (B)* 144,100 1,597 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Express Scripts (B)* 13,500 $ 1,378 Genzyme* 28,329 1,828 Geron (B)* 51,700 477 Healthspring* 41,048 1,002 HLTH* 4,300 65 Hologic* 8,000 433 Human Genome Sciences (B)* 112,600 1,192 I-Flow* 1,700 27 Idexx Laboratories (B)* 4,523 399 Immunomedics* 76,130 406 IMS Health 35,530 1,162 Incyte (B)* 245,700 1,742 Inverness Medical Innovations* 12,600 601 Invitrogen (B)* 33,500 2,427 Kindred Healthcare* 38,980 1,247 Kinetic Concepts (B)* 44,900 2,253 King Pharmaceuticals (B)* 215,632 4,580 Lifecell (B)* 63,800 1,796 Lincare Holdings (B)* 31,668 1,270 Magellan Health Services (B)* 42,100 1,886 Manor Care (B) 41,481 2,821 Martek Biosciences (B)* 18,500 387 Matria Healthcare* 5,411 173 Maxygen* 46,461 473 Medarex (B)* 413,400 6,610 Medcath* 51,591 1,703 Medicines* 37,300 728 Medicis Pharmaceutical, Cl A (B) 35,100 1,158 Mentor (B) 57,294 2,317 MGI Pharma* 21,100 451 Micrus Endovascular* 35,400 757 Mindray Medical International ADR* 10,600 302 MWI Veterinary Supply* 25,539 985 Mylan Laboratories 21,600 427 Neurocrine Biosciences* 2,600 30 Nighthawk Radiology Holdings (B)* 33,600 610 Noven Pharmaceuticals* 51,030 1,197 NuVasive* 17,000 441 Odyssey HealthCare* 153,870 1,996 Omnicare (B) 80,196 3,001 Omnicell* 7,390 166 Option Care (B) 112,600 1,697 Orthofix International* 3,846 182 OSI Pharmaceuticals (B)* 13,100 495 Owens & Minor 43,721 1,552 Palomar Medical Technologies (B)* 42,955 1,671 Par Pharmaceutical* 7,097 208 Patterson* 15,116 567 PDL BioPharma (B)* 50,900 1,400 PerkinElmer 73,970 1,961 Pharmaceutical Product Development 12,500 456 PharmaNet Development Group* 40,013 1,285 PolyMedica (B) 47,400 1,927 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 101 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Pozen (B)* 20,900 $ 330 Profarma Distribuidora de Produtos Farmaceuticos (Brazil)* 81,500 1,245 Res-Care* 17,570 364 Resmed* 19,600 884 Respironics* 38,351 1,693 Sciele Pharma (B)* 48,489 1,199 Sepracor (B)* 66,300 3,229 Sirona Dental Systems (B)* 33,000 1,143 Somanetics (B)* 29,433 539 Spectranetics (B)* 116,615 1,122 SurModics (B)* 7,900 296 Symbion* 79,800 1,746 Symmetry Medical* 9,567 147 Techne* 14,300 854 Tenet Healthcare* 84,995 591 Thermogenesis* 20,600 56 United Therapeutics (B)* 50,000 3,300 Universal Health Services, Cl B 32,695 2,020 Varian Medical Systems* 54,900 2,212 Vertex Pharmaceuticals* 8,700 260 Viropharma (B)* 30,700 445 Watson Pharmaceuticals* 176,649 5,451 WellCare Health Plans* 19,115 1,759 West Pharmaceutical Services (B) 55,288 2,812 -------------- 185,544 -------------- INDUSTRIALS -- 14.1% ABM Industries 6,650 196 ABX Air* 22,127 140 ACCO Brands* 39,800 995 Actuant, Cl A 9,385 522 Acuity Brands 44,201 2,683 Aecom Technology* 7,000 160 Aegean Marine Petroleum Network* 30,214 559 Aerovironment (B)* 24,134 501 AGCO* 64,789 2,804 Alaska Air Group (B)* 89,919 2,622 Albany International, Cl A (B) 90,855 3,554 Alexander & Baldwin 9,112 487 Alliant Techsystems (B)* 22,255 2,248 Allied Waste Industries* 151,500 2,039 Amerco* 3,924 277 American Commercial Lines (B)* 98,206 3,112 American Reprographics (B)* 46,502 1,432 American Woodmark (B) 78,012 2,906 Ametek 52,540 1,983 AMR* 14,149 401 AO Smith 69,507 2,731 Apogee Enterprises 20,056 494 Arkansas Best (B) 18,500 764 Armor Holdings (B)* 20,900 1,796 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ASV* 2,400 $ 42 Avis Budget Group* 28,963 876 Badger Meter 711 18 BE Aerospace* 101,141 3,873 Belden CDT 22,748 1,303 Blount International (B)* 94,200 1,230 Brady, Cl A 11,227 417 Briggs & Stratton 87,232 2,831 Brink's 62,700 4,134 Bucyrus International, Cl A (B) 10,685 758 C&D Technologies 11,540 72 Ceradyne (B)* 23,400 1,581 Chicago Bridge & Iron 141,044 5,495 ChoicePoint* 5,900 259 Cintas 13,766 528 CIRCOR International 7,792 298 Clean Harbors* 6,669 313 Columbus McKinnon* 12,190 366 Comfort Systems USA 37,878 530 COMSYS IT Partners* 27,008 622 Con-way 18,421 1,045 Consolidated Graphics* 10,300 748 Continental Airlines, Cl B (B)* 67,877 2,727 Copart* 34,200 1,067 Corrections of America* 42,431 2,750 CoStar Group (B)* 32,246 1,750 Cubic 6,600 166 Cummins 43,101 4,061 Curtiss-Wright 52,102 2,348 Deere 1,058 127 Deluxe 52,951 2,312 Dollar Thrifty Automotive Group (B)* 10,900 507 Dun & Bradstreet 28,566 2,860 Dynamic Materials 97,000 3,516 EDO 13,600 457 EGL* 9,600 445 EMCOR Group (B)* 62,805 4,119 Energy Conversion Devices (B)* 3,100 107 EnerSys* 4,147 75 EnPro Industries* 46,200 1,919 Equifax 40,739 1,712 ESCO Technologies* 6,700 340 ExpressJet Holdings* 246,583 1,526 Federal Signal 23,094 377 Flanders* 28,422 202 Flint Energy Services (Canada)* 66,200 1,671 Flow International* 115,800 1,487 Fluor 2,236 233 Force Protection* 132,500 3,425 Foster Wheeler* 19,906 2,061 Franklin Electric (B) 11,705 552 Freightcar America (B) 9,000 445 -------------------------------------------------------------------------------- 102 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Gardner Denver* 75,211 $ 3,098 GATX 4,272 220 General Cable (B)* 45,558 3,105 General Electric 12,748 479 Genlyte Group (B)* 11,200 976 Geo Group* 25,252 1,376 Global Cash Access (B)* 148,300 2,410 Goodman Global* 8,500 186 Goodrich 27,303 1,624 GrafTech International* 253,423 3,923 Granite Construction 74,178 5,080 Griffon* 33,275 777 Grupo Aeroportuario del Sureste ADR (B)* 31,900 1,624 H&E Equipment Services* 84,200 2,199 Hardinge 56,011 1,745 Harsco 3,600 192 Heico, Cl A 48,221 1,726 Heidrick & Struggles International (B)* 11,500 561 Herman Miller 55,900 2,012 Hertz Global Holdings* 27,800 589 Honeywell International 7,640 442 Hudson Highland Group* 2,107 46 Huron Consulting Group* 7,100 487 IHS, Cl A* 29,311 1,178 IKON Office Solutions 254,553 3,709 Infrasource Services* 56,818 2,057 Innerworkings (B)* 127,239 1,691 Interface, Cl A* 14,321 242 Ionatron* 3,200 16 JA Solar Holdings ADR (B)* 31,027 738 Jacobs Engineering Group* 37,275 2,160 JB Hunt Transport Services 59,100 1,722 JetBlue Airways (B)* 72,659 783 Joy Global 45,300 2,565 Kadant* 10,083 301 Kaman 9,979 293 Kansas City Southern (B)* 31,608 1,298 Kaydon 15,836 764 Kenexa (B)* 22,280 869 Kennametal (B) 21,300 1,638 Kforce* 8,968 144 Kirby* 37,311 1,493 Knoll 110,528 2,675 Ladish* 9,019 400 Lamson & Sessions (B)* 1,300 36 Landstar System 13,200 642 Lincoln Electric Holdings 16,484 1,159 Manitowoc 12,900 978 Mcgrath Rentcorp 4,300 134 Middleby* 6,700 831 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Monster Worldwide* 41,200 $ 1,945 Moog, Cl A* 34,850 1,501 Mueller Industries 39,900 1,396 NACCO Industries, Cl A 3,036 516 Navistar International* 11,974 777 NCI Building Systems (B)* 38,200 1,964 Orion Marine Group* 116,900 1,578 Oshkosh Truck (B) 25,989 1,603 Pacer International 4,612 124 Pentair 20,837 771 Perini (B)* 31,471 1,731 PHH* 47,900 1,485 Pitney Bowes 12,578 601 Quanta Services (B)* 100,158 3,006 Republic Airways Holdings* 25,600 598 Republic Services 80,910 2,450 Robbins & Myers 16,255 730 Robert Half International 19,300 678 RR Donnelley & Sons 13,674 586 Ryder System 20,493 1,105 Saia* 9,800 280 School Specialty* 9,223 322 Sequa, Cl A* 746 82 Shaw Group (B)* 57,908 2,343 Simpson Manufacturing (B) 48,400 1,613 SIRVA* 8,435 24 Skywest 41,405 1,140 Spirit Aerosystems Holdings, Cl A* 102,369 3,574 SPX 13,500 1,186 Standard Register 17,918 213 Steelcase, Cl A 136,962 2,660 Superior Essex* 15,278 540 TAL International Group (B) 65,600 1,707 Team* 1,600 63 Tecnisa (Brazil)* 319,400 2,085 Teledyne Technologies* 9,705 447 Teleflex 25,423 2,041 Terex (B)* 38,755 3,285 Tetra Tech* 15,473 341 Thomas & Betts* 3,600 209 Timken 30,900 1,086 Tredegar 70,443 1,628 Trex* 1,400 28 Trinity Industries (B) 53,700 2,479 UAP Holding 33,200 978 United Rentals* 97,800 3,281 United Stationers* 36,535 2,451 United Technologies 10,531 743 URS* 74,384 3,740 USA Truck* 47,600 797 USG* 12,100 621 UTI Worldwide 900 25 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 103 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Volt Information Sciences* 18,125 $ 450 Wabtec 53,470 2,094 Walter Industries 40,714 1,311 Washington Group International (B)* 29,609 2,487 Waste Connections* 78,906 2,432 Waste Industries USA 3,100 97 Watson Wyatt Worldwide, Cl A 30,630 1,580 WESCO International* 44,470 2,883 Williams Scotsman International (B)* 120,235 2,761 Woodward Governor 47,400 2,618 WW Grainger 32,300 2,844 YRC Worldwide (B)* 40,500 1,628 -------------- 263,824 -------------- INFORMATION TECHNOLOGY -- 16.7% 24/7 Real Media* 152,800 1,794 Activision (B)* 155,000 3,067 Acxiom 12,265 341 Adaptec* 182,200 742 ADC Telecommunications (B)* 66,552 1,115 Advanced Analogic Technologies* 34,800 308 Advent Software (B)* 30,900 1,114 Akamai Technologies* 85,741 3,791 Altera* 19,100 436 AMIS Holdings* 45,001 575 Amkor Technology (B)* 246,928 3,511 Anadigics (B)* 123,804 1,559 Analog Devices 10,519 381 Andrew (B)* 215,782 2,855 aQuantive* 51,566 3,289 Arris Group (B)* 130,278 2,143 Arrow Electronics* 43,662 1,792 AsiaInfo Holdings* 29,836 269 Aspen Technology (B)* 25,500 379 Asyst Technologies* 314,396 2,257 Atmel* 152,268 851 ATMI (B)* 69,633 2,127 Authorize.Net Holdings (B)* 69,346 1,134 Avaya* 101,400 1,622 Avnet* 35,611 1,526 Avocent* 99,166 2,780 AVX 58,870 1,059 Baidu.com ADR (B)* 4,855 683 Benchmark Electronics* 5,516 122 BISYS Group* 8,446 99 Black Box 31,535 1,149 Blackboard (B)* 51,371 2,114 BMC Software* 69,600 2,307 Bottomline Technologies* 90,786 1,151 Brightpoint* 11,122 146 Broadcom, Cl A* 642 20 Brocade Communications Systems* 15,901 146 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Brooks Automation (B)* 83,600 $ 1,479 CACI International, Cl A* 9,096 469 Captaris* 62,330 321 Carrier Access* 6,000 24 Checkfree (B)* 53,577 2,103 Checkpoint Systems* 35,059 878 Cirrus Logic* 62,098 481 Citrix Systems* 70,660 2,375 CMGI* 203,652 509 CNET Networks (B)* 268,900 2,439 Coherent* 12,395 384 CommScope (B)* 25,155 1,377 Computer Sciences* 10,330 572 Comverge* 28,109 722 Concur Technologies (B)* 88,191 1,757 Convergys* 190,148 4,894 CPI International* 3,600 74 Credence Systems* 262,236 871 Cree* 6,564 148 CSG Systems International (B)* 136,093 3,783 CTS 106,405 1,279 Cymer (B)* 62,177 2,496 Cypress Semiconductor* 61,949 1,330 Daktronics (B) 31,665 759 DealerTrack Holdings* 36,295 1,310 Diebold 10,309 511 Diodes (B)* 46,261 1,711 Dycom Industries* 10,800 321 Earthlink* 72,600 601 EFJ* 109,000 576 Electronic Data Systems 120,400 3,469 Electronics for Imaging* 91,578 2,611 Emergis (Canada)* 309,300 1,892 Emulex* 16,131 358 EnerNOC* 2,000 78 Epicor Software* 2,900 42 EPIQ Systems (B)* 60,168 1,588 Equinix* 9,496 830 eSpeed, Cl A* 7,100 65 F5 Networks* 22,900 1,861 Factset Research Systems 3,800 243 FEI (B)* 11,200 416 Flextronics International* 496,800 5,738 Flir Systems* 12,925 535 Forrester Research* 8,582 233 Foundry Networks (B)* 158,300 2,545 Genesis Microchip* 11,929 104 Gevity HR 72,600 1,525 Glu Mobile (B)* 71,713 891 Greenfield Online* 37,584 594 Harmonic* 49,900 454 Harris Stratex Networks* 48,100 822 Heartland Payment Systems 20,400 519 -------------------------------------------------------------------------------- 104 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hewitt Associates, Cl A* 42,872 $ 1,287 Hutchinson Technology (B)* 90,700 1,658 Ikanos Communications* 46,700 333 Imation 54,657 2,072 Informatica (B)* 139,800 2,133 Ingram Micro, Cl A* 25,229 523 Integrated Device Technology* 26,200 393 Interdigital Communications* 56,700 1,846 Intermec* 8,053 198 International Rectifier* 3,889 141 Intersil, Cl A 78,300 2,357 Interwoven* 103,065 1,544 Intevac* 19,300 372 Itron* 9,194 622 Jack Henry & Associates 25,000 661 JDA Software Group (B)* 102,200 1,859 Juniper Networks* 75,621 1,846 Jupitermedia (B)* 194,500 1,400 Keynote Systems* 115,368 1,823 Komag* 43,500 1,055 Kulicke & Soffa Industries* 5,500 53 L-1 Identity Solutions (B)* 15,641 334 Lattice Semiconductor* 333,100 1,755 Lawson Software (B)* 159,973 1,469 Lexmark International, Cl A* 57,962 3,010 Lionbridge Technologies* 109,500 658 Liquidity Services* 53,618 1,071 Littelfuse* 22,178 889 LivePerson* 71,386 450 LoJack* 14,800 325 LTX* 135,306 792 Magma Design Automation* 30,803 456 Manhattan Associates* 63,341 1,841 Mantech International, Cl A* 7,200 230 Marchex, Cl B (B)* 112,009 1,735 Mastec (B)* 130,216 1,770 Mattson Technology* 3,800 37 MAXIMUS 36,700 1,586 McAfee* 24,073 885 Mellanox Technologies* 39,800 806 Mentor Graphics* 74,604 1,064 Methode Electronics 78,844 1,189 Mettler Toledo International* 36,279 3,566 Micros Systems* 15,955 885 Microsemi (B)* 197,700 4,557 MicroStrategy, Cl A* 6,527 678 Microtune* 24,700 126 MIPS Technologies* 140,100 1,238 MKS Instruments* 53,400 1,455 Monolithic Power Systems* 26,036 441 MoSys (B)* 63,222 509 MTS Systems 6,313 277 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- National Semiconductor 44,800 $ 1,206 NCR* 68,100 3,655 Net 1 UEPS Technologies (B)* 41,834 1,120 Netlogic Microsystems* 2,600 80 Novatel* 26,000 962 Novellus Systems (B)* 86,903 2,667 Nuance Communications (B)* 317,553 5,313 Omniture (B)* 71,625 1,254 ON Semiconductor (B)* 127,500 1,369 OSI Systems (B)* 54,500 1,459 OYO Geospace* 4,700 355 Palm (B)* 92,900 1,513 Parametric Technology* 93,383 1,744 Parkervision (B)* 63,500 664 Parkervision* 58,000 607 Paxar* 27,177 822 PC Connection* 8,161 94 Perficient* 40,092 842 Pericom Semiconductor* 87,554 960 Perot Systems, Cl A (B)* 223,052 3,810 Photochannel Networks* 399,100 1,517 Photon Dynamics* 15,469 169 Photronics* 2,700 40 Plantronics 11,460 278 Plexus (B)* 128,302 2,824 PMC - Sierra (B)* 223,800 1,725 Polycom (B)* 231,600 7,346 Power Integrations (B)* 82,023 2,338 Powerwave Technologies* 73,530 469 Presstek* 7,100 49 QLogic* 32,400 553 Quality Systems (B)* 17,903 733 Quest Software* 26,300 453 Red Hat (B)* 293,300 7,203 RF Micro Devices (B)* 531,600 3,471 Richardson Electronics 12,344 118 Riverbed Technology (B)* 58,200 2,428 Salary.com* 82,664 940 Salesforce.com (B)* 54,000 2,551 Sanmina-SCI* 9,221 33 Satyam Computer Services ADR (B)* 91,100 2,308 SAVVIS* 42,700 2,143 Seachange International* 84,500 760 Sierra Wireless* 55,500 1,204 Sigma Designs (B)* 39,834 1,113 Silicon Storage Technology* 312,328 1,234 Sina* 24,346 972 Sirf Technology Holdings (B)* 49,453 1,073 SkillSoft ADR* 133,063 1,220 Skyworks Solutions* 321,200 2,277 Solectron* 502,700 1,709 Sonus Networks (B)* 120,542 1,045 Spatialight* 85,000 10 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 105 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Spatialight Deal #3 PIPE (F) (G) (H)* 59,000 $ 6 Spatialight PIPE (F) (G) (H)* 7,367 1 Standard Microsystems* 3,064 95 Stratasys (B)* 18,890 910 Sun Microsystems* 273,509 1,395 Sunpower, Cl A (B)* 30,492 1,629 Sybase (B)* 221,317 5,325 SYKES Enterprises* 113,700 2,215 Symmetricom* 9,774 79 SYNNEX* 6,078 124 Synopsys* 96,532 2,560 TAC Acquisition* 181,100 2 Technitrol 66,200 1,744 Tektronix 20,107 609 Teradyne* 103,289 1,758 THQ (B)* 96,760 3,300 TNS 14,400 171 Total System Services 51,020 1,693 Transaction Systems Architects* 33,138 1,128 Trident Microsystems (B)* 151,864 3,098 TTM Technologies* 123,000 1,360 Unisys* 24,498 204 United Online (B) 189,200 3,228 Universal Display (B)* 80,500 1,257 Varian Semiconductor Equipment Associates* 92,100 3,882 Veeco Instruments* 25,400 460 VeriSign* 79,813 2,381 Vignette* 51,495 958 Vishay Intertechnology (B)* 76,200 1,358 VistaPrint (B)* 26,804 1,074 Vocus* 36,750 883 Western Digital* 157,100 2,955 Wind River Systems (B)* 283,900 3,012 Wright Express* 44,300 1,554 Xyratex* 11,607 256 Zoran* 52,847 1,064 -------------- 311,511 -------------- MATERIALS -- 5.7% Airgas 67,647 2,884 AK Steel Holding* 46,542 1,616 Albemarle 72,319 2,939 Allegheny Technologies 24,600 2,843 AM Castle 9,585 355 Aptargroup 20,326 763 Arch Chemicals 7,039 247 Ashland 22,400 1,351 Bemis 20,758 698 Bowater 21,288 443 Buckeye Technologies (B)* 202,524 2,880 Cabot 31,691 1,531 Carpenter Technology 11,892 1,577 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Celanese, Ser A 147,100 $ 5,353 Chemtura 69,205 754 Cleveland-Cliffs (B) 48,900 4,317 Commercial Metals 102,565 3,605 Crown Holdings* 154,395 3,849 Domtar* 54,437 593 Eastman Chemical 33,100 2,190 Ferro 18,855 448 First Quantum Minerals (Canada)* 29,100 2,331 FMC 73,004 6,107 Grande Cache Coal (Canada)* 197,800 213 Greif, Cl A 43,274 2,409 H.B. Fuller 61,500 1,676 Headwaters (B)* 57,809 1,140 Hercules* 89,100 1,678 Huntsman 14,803 296 Innospec 15,378 920 Koppers Holdings 13,000 418 Louisiana-Pacific 105,500 2,163 Lubrizol 73,263 4,815 Material Sciences* 2,661 28 MeadWestvaco 72,461 2,536 Metal Management 8,975 435 Neenah Paper 24,115 1,056 NewMarket 2,791 134 Olin 13,649 276 Olympic Steel 2,640 89 Omnova Solutions* 3,800 21 Owens-Illinois 78,059 2,654 Packaging of America 24,859 643 PolyOne* 181,700 1,295 Quaker Chemical 2,134 51 Quanex 21,900 1,050 Reliance Steel & Aluminum 43,600 2,676 Rock-Tenn, Cl A 81,690 2,853 Rohm & Haas 11,188 593 RPM International 38,400 872 Schnitzer Steel Industries, Cl A (B) 55,915 3,031 Schweitzer-Mauduit International 38,228 1,148 Sensient Technologies 24,800 646 Sherritt International (Canada) 120,300 1,751 Silgan Holdings 7,966 460 Sonoco Products 117,287 5,079 Spartech 75,977 2,036 Steel Dynamics 34,800 1,632 Symyx Technologies* 9,088 95 Texas Industries (B) 47,798 4,157 United States Steel 18,700 2,116 Wausau Paper 12,109 166 Wellman 75,500 266 Wheeling-Pittsburgh (B)* 79,800 1,756 WR Grace* 3,100 84 -------------- 107,087 -------------- -------------------------------------------------------------------------------- 106 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 1.7% Alaska Communications Systems Group 63,600 $ 1,004 Atlantic Tele-Network 4,700 133 Cbeyond (B)* 50,750 1,796 Centennial Communications* 76,400 778 CenturyTel 97,103 4,799 Cincinnati Bell* 5,900 34 Citizens Communications 120,755 1,914 Clearwire, Cl A (B)* 123,700 2,412 Cogent Communications Group* 48,100 1,380 Consolidated Communications Holdings 5,969 127 CT Communications 24,782 778 Dobson Communications, Cl A* 16,900 180 Fairpoint Communications 93,400 1,681 Global Crossing* 4,800 102 Iowa Telecommunications Services 21,800 490 Leap Wireless International* 23,300 1,991 Level 3 Communications (B)* 265,230 1,544 MetroPCS Communications* 14,200 506 NeuStar, Cl A* 39,697 1,154 NTELOS Holdings 17,600 444 Premiere Global Services* 41,600 527 Qwest Communications International* 153,678 1,581 SBA Communications, Cl A* 156,508 5,029 Syniverse Holdings* 18,600 238 Time Warner Telecom, Cl A* 700 14 Vonage Holdings* 22,500 68 -------------- 30,704 -------------- UTILITIES -- 4.2% AES* 8,703 207 AGL Resources 115,302 4,919 Alliant Energy 89,241 3,855 Atmos Energy 83,932 2,719 Avista 28,900 677 Black Hills 90,175 3,696 Centerpoint Energy 66,000 1,249 Consolidated Edison 30,607 1,494 El Paso Electric* 23,500 640 Empire District Electric 29,289 691 Energen 66,154 3,898 Equitable Resources 44,476 2,314 Idacorp 4,990 166 Integrys Energy Group 65,113 3,640 Laclede Group 22,700 707 MDU Resources Group 55,187 1,673 New Jersey Resources 27,463 1,504 Nicor 74,300 3,488 NiSource 22,559 501 Northeast Utilities 12,171 370 OGE Energy 72,691 2,684 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Oneok 50,705 $ 2,743 Ormat Technologies (B) 56,300 2,049 Pepco Holdings 78,500 2,344 Pinnacle West Capital 60,765 2,821 PNM Resources (B) 117,360 3,463 Portland General Electric 15,996 469 Progress Energy 20,444 1,024 Puget Energy 107,818 2,718 Reliant Energy* 96,909 2,483 SCANA 53,086 2,250 South Jersey Industries 1,443 56 Southern Union 29,800 1,037 Southwest Gas 33,172 1,266 TECO Energy 9,348 164 UGI 61,311 1,766 Unisource Energy 5,417 198 Vectren 94,462 2,736 Westar Energy 110,219 2,922 WGL Holdings 48,686 1,717 Wisconsin Energy 61,390 2,973 Xcel Energy 20,372 467 -------------- 78,758 -------------- Total Common Stock (Cost $1,491,604) ($ Thousands) 1,782,610 -------------- EXCHANGE TRADED FUNDS -- 0.0% iShares Russell 2000 Index Fund* 6,929 584 iShares Russell Midcap Value Index Fund* 1,523 248 -------------- Total Exchange Traded Funds (Cost $781) ($ Thousands) 832 -------------- Number of Warrants --------- WARRANTS -- 0.0% Parkervision, Deal #2 (F) (G) (H) (I)* 14,500 49 Parkervision, Deal #3 (F) (G) (H) (I)* 6,250 20 Rentech, Expires 04/25/12* 13,800 11 -------------- Total Warrants (Cost $13) ($ Thousands) 80 -------------- CASH EQUIVALENTS -- 12.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 61,006,292 61,006 SEI Liquidity Fund L.P., 5.490% (C)**++ 177,426,925 177,427 -------------- Total Cash Equivalents (Cost $238,433) ($ Thousands) 238,433 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 107 SCHEDULE OF INVESTMENTS Small/Mid Cap Equity Fund (Concluded) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS (C) -- 6.8% FINANCIALS -- 6.8% American General Finance (A) (E) 5.370%, 06/15/07 $ 9,528 $ 9,528 Bear Stearns EXL (E) 5.360%, 06/15/07 11,697 11,697 Countrywide Financial MTN (E) 5.430%, 06/27/07 3,943 3,943 Countrywide Financial MTN, Ser A (E) 5.440%, 08/06/07 9,857 9,857 Irish Life & Permanent MTN, Ser X (A) (E) 5.360%, 06/21/07 8,740 8,739 Jackson National Life Funding (A) (E) 5.320%, 06/01/07 14,457 14,457 Morgan Stanley EXL (E) 5.400%, 06/04/07 2,300 2,300 Morgan Stanley EXL, Ser S (E) 5.360%, 06/04/07 3,286 3,286 Nationwide Building Society (A) (E) 5.410%, 06/28/07 3,614 3,614 5.370%, 06/07/07 6,571 6,571 Northern Rock (A) (E) 5.380%, 06/04/07 6,769 6,769 Premium Asset Trust, Ser 2004-10 (A) (E) 5.380%, 06/15/07 9,200 9,200 SLM MTN (E) 5.320%, 06/15/07 7,229 7,229 Skandinav Enskilda Bank (A) (E) 5.320%, 06/18/07 7,229 7,228 Stanfield Victoria LLC MTN (A) 5.450%, 06/11/07 6,571 6,571 UniCredito Italiano Bank (A) (E) 5.350%, 07/11/07 16,428 16,427 -------------- Total Corporate Obligations (Cost $127,416) ($ Thousands) 127,416 -------------- COMMERCIAL PAPER (C) (D) -- 2.6% FINANCIALS -- 2.6% KKR Pacific Funding Trust 5.310%, 06/15/07 11,894 11,870 OCALA Funding 5.310%, 06/19/07 4,929 4,915 Rhineland Funding Capital 5.280%, 06/06/07 2,415 2,413 Thornburg Mortgage Capital Resources 5.290%, 06/07/07 13,143 13,131 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Valour Bay Capital LLC 5.320%, 06/11/07 $ 5,364 $ 5,356 5.320%, 06/13/07 9,857 9,840 -------------- Total Commercial Paper (Cost $47,525) ($ Thousands) 47,525 -------------- CERTIFICATES OF DEPOSIT (C) -- 0.5% Barclays Bank (E) 5.440%, 06/11/07 3,286 3,286 CC USA MTN (A) 5.520%, 06/18/07 6,571 6,571 -------------- Total Certificates of Deposit (Cost $9,857) ($ Thousands) 9,857 -------------- MASTER NOTE (C) (D) -- 0.4% Bear Stearns 5.430%, 06/01/07 6,572 6,572 -------------- Total Master Note (Cost $6,572) ($ Thousands) 6,572 -------------- ASSET-BACKED SECURITY (A) (C) (E) -- 0.3% MORTGAGE RELATED SECURITIES -- 0.3% Duke Funding, Ser 2004-6B, Cl A1S1 5.420%, 07/09/07 4,929 4,929 -------------- Total Asset-Backed Security (Cost $4,929) ($ Thousands) 4,929 -------------- U.S. TREASURY OBLIGATION (D) (J) -- 0.1% U.S. Treasury Bill 4.813%, 08/23/07 1,732 1,714 -------------- Total U.S. Treasury Obligation (Cost $1,713) ($ Thousands) 1,714 -------------- REPURCHASE AGREEMENTS (C) (K) -- 4.3% Barclays Capital 5.280%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $2,265,285 (collateralized by a U.S. Government obligation, par value $2,310,493, 0.000%, 06/01/07, total market value $2,310,262) 2,265 2,265 Deutsche Bank 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $6,467,441 (collateralized by U.S. Government obligations, ranging in par value $35,748-$2,129,123, 4.000%-6.000%, 02/01/08-11/04/20, total market value $6,595,842) 6,466 6,466 -------------------------------------------------------------------------------- 108 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $72,295,685 (collateralized by U.S. Government obligations, ranging in par value $15,272,055-$125,162,276, 3.875%-8.875%, 06/15/08-03/15/31, total market value $73,730,821) $ 72,285 $ 72,285 -------------- Total Repurchase Agreements (Cost $81,016) ($ Thousands) 81,016 -------------- Total Investments -- 123.3% (Cost $2,009,859) ($ Thousands) $ 2,300,984 ============== A summary of the open future contracts held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements): ------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) ------------------------------------------------------------------------------- Russell 2000 Index E-Mini 367 Jun-2007 $ 1,591 S&P Mid 400 Index E-Mini 308 Jun-2007 1,778 -------------- $ 3,369 ============== A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2007 is as follows, (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- CURRENCY TO CURRENCY TO UNREALIZED MATURITY DELIVER RECEIVE DEPRECIATION DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 6/13/07 CAD 254 USD 235 $ (3) ============== -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $1,865,746 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 2007. + Real Estate Investments Trust ++ Affiliated security (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 May 31, 2007 (see Note 9). The total value of securities on loan at May 31, 2007 was $442,451 ($ Thousands). (C) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of May 31, 2007 was $454,742 ($ 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 May 31, 2007. (F) Securities considered illiquid. The total value of such securities as of May 31, 2007 was $3,796 ($ Thousands) and represents 0.25% 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 May 31, 2007 was $3,796 ($ Thousands) and represents 0.25% of Net Assets. (H) This security considered restricted. The total value of such securities as of May 31, 2007 was $3,796 ($ Thousands) and represented 0.25% 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 CAD -- Canadian Dollar Cl -- Class EXL -- Extendable Maturity LLC -- Limited Liability Company LP -- Limited Partnership MTN -- Medium Term Note PIPE -- Private Investment in Public Entity Ser -- Series USD -- U.S. Dollar The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 109 SCHEDULE OF INVESTMENTS International Equity Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 25.0% Financials 10.3% Short-Term Investments 9.2% Consumer Discretionary 8.7% Materials 8.5% Industrials 5.0% Energy 5.0% Telecommunication Services 3.9% Consumer Staples 3.9% U.S. Government Agency Mortgage-Backed Obligations 3.9% Health Care 3.9% Asset-Backed Securities 3.8% Information Technology 3.2% Utilities 2.2% Time Deposits 1.7% Commercial Paper 0.7% U.S. Treasury Obligations 0.6% U.S. Government Agency Obligations 0.3% Certificates of Deposit 0.2% Master Note 0.0% Exchanged Traded Funds ++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 -- 5.1% ABB Grain 700 $ 5 Adelaide Brighton 9,500 29 AGL Energy 200 3 Amcor 95,281 587 AMP 415,300 3,475 Australia & New Zealand Banking Group 120,683 2,881 Australian Infrastructure Fund 256,100 632 Australian Stock Exchange (B) 4,229 170 Babcock & Brown 11,650 310 BHP Billiton 65,219 1,702 BHP Billiton ADR 2,800 147 BlueScope Steel 205,000 1,878 Boral 30,100 220 Brambles* 126,010 1,336 Caltex Australia 18,857 400 Challenger Financial Services Group (B) 404,317 1,974 Cochlear 9,985 514 Coles Myer 114,200 1,562 Commonwealth Bank of Australia 58,452 2,680 CSL 28,247 2,085 Downer EDI 151,348 936 Felix Resources 8,700 41 Foster's Group 137,400 723 Goodman Fielder 377,449 797 GPT Group 131,313 559 GUD Holdings 71,300 538 Independence Group 10,000 66 ING Industrial Fund (B) 220,852 444 Insurance Australia Group 87,300 431 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- John Fairfax Holdings 234,000 $ 943 Jubilee Mines (B) 178,800 2,575 Leighton Holdings 48,700 1,794 Lend Lease 45,257 745 Macquarie Airports (B) 1,237,404 4,260 Macquarie Bank 18,039 1,308 Macquarie Infrastructure Group 1,245,895 3,815 MFS (B) 164,300 861 Minara Resources 494,200 3,366 Mincor Resources 15,300 53 Mirvac Group 107,458 511 Multiplex Group 328,900 1,339 National Australia Bank 106,481 3,749 Newcrest Mining 55,500 1,011 OneSteel (B) 29,400 161 Origin Energy 1,900 14 Pacific Brands 1,194,562 3,421 PaperlinX 556,400 1,902 Peptech 271,900 343 Perilya 12,800 44 Qantas Airways (B) 219,315 1,035 QBE Insurance Group (B) 354,471 9,159 Rinker Group 30,330 482 Rio Tinto (B) 16,200 1,280 Sally Malay Mining 19,500 78 Santos 12,625 140 Seven Network (B) 95,900 911 Sims Group 11,600 261 Southern Cross Broadcasting Australia 38,800 539 SP AusNet 1,200 2 Specialty Fashion Group 283,200 357 St George Bank (B) 17,800 550 TABCORP Holdings (B) 40,100 589 Tattersall's 237,600 936 Telstra (B) 370,706 1,491 Telstra (Installment Receipts) 1,249,500 3,506 Toll Holdings 37,007 708 West Australian Newspapers Holdings 123,800 1,481 Westfield Group 33,100 588 Westpac Banking 65,195 1,406 Woolworths 198,727 4,525 WorleyParsons (B) 48,912 1,206 Zinifex 39,900 581 -------------- 91,151 -------------- AUSTRIA -- 0.6% Agrana Beteiligungs 955 109 Boehler-Uddeholm (B) 7,000 680 Conwert Immobilien Invest* 16,021 334 IMMOFINANZ* 53,900 870 OMV (B) 43,900 2,914 -------------------------------------------------------------------------------- 110 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Raiffeisen International Bank Holding (B) 3,784 $ 592 Telekom Austria (B) 64,000 1,752 Voestalpine (B) 53,707 3,900 -------------- 11,151 -------------- BELGIUM -- 1.3% AGFA-Gevaert 17,000 444 Belgacom 33,650 1,531 Cofinimmo+ 101 20 Compagnie Maritime Belge 25,984 1,983 Cumerio 23,400 786 Delhaize Group (B) 9,900 945 Dexia (B) 43,140 1,386 Elia System Operator 355 14 Fortis 128,994 5,360 Fortis (Netherlands Line) 105,230 4,376 Gimv 10,100 727 InBev 16,276 1,371 KBC Groep 10,800 1,490 Solvay (B) 11,565 1,847 UCB 20,357 1,190 -------------- 23,470 -------------- BERMUDA -- 0.1% Frontline (B) 26,800 1,248 -------------- BRAZIL -- 0.1% Cia Vale do Rio Doce ADR 24,700 1,122 Gerdau ADR 38,925 885 Uniao de Bancos Brasileiros ADR 7,200 809 -------------- 2,816 -------------- CANADA -- 1.8% Alcan 25,200 2,171 Bombardier, Cl B 158,300 788 Cameco 53,531 2,776 Canadian Natural Resources 27,300 1,815 Eastern Platinum 460,550 1,068 EnCana 31,200 1,912 Gerdau Ameristeel 86,800 1,345 Kinross Gold 253,150 3,379 Manulife Financial 10,500 392 Methanex 27,600 720 Nexen 1 -- Potash Saskatchewan 44,300 3,143 Research In Motion 22,060 3,664 Rogers Communications, Cl B 112,990 4,687 Suncor Energy (B) 9,500 825 Teck Cominco, Cl B 84,000 3,551 TELUS 16,892 1,018 -------------- 33,254 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CHINA -- 0.1% China Petroleum & Chemical, Cl H 1,106,000 $ 1,235 People's Food Holdings 5,000 6 -------------- 1,241 -------------- DENMARK -- 1.0% AP Moeller - Maersk, A Shares 37 441 AP Moeller - Maersk, B Shares 192 2,345 Carlsberg, Cl B (B) 31,006 3,764 Dampskibsselskabet Torm 28,000 1,108 Danske Bank 81,854 3,567 East Asiatic (B) 6,800 381 H Lundbeck 5,641 141 Jyske Bank* 4,275 327 Novo-Nordisk, Cl B 26,000 2,738 Sydbank 5,006 272 Vestas Wind Systems 38,300 2,691 -------------- 17,775 -------------- FINLAND -- 1.6% Cargotec, Cl B 8,600 542 Elisa, Cl A 30,918 893 Huhtamaki 2,265 41 Kemira 19,200 432 Kemira GrowHow 163,400 2,639 Konecranes 8,336 351 M-real, Cl B 160,200 1,089 Metso 23,000 1,279 Neste Oil (B) 43,666 1,650 Nokia 163,646 4,481 Nokia ADR 4,200 115 Nokian Renkaat 17,400 606 OKO Bank, Cl A 29,519 596 Orion, Cl B 6,380 158 Outokumpu 50,929 1,826 Rautaruukki 64,380 3,985 Sampo, Cl A 50,367 1,593 Sponda 68,000 1,107 Stora Enso, Cl R 49,513 945 UPM-Kymmene 119,100 3,087 Wartsila, Cl B 8,400 557 -------------- 27,972 -------------- FRANCE -- 9.8% Accor (B) 16,286 1,515 Air France-KLM 78,106 3,989 Air Liquide (B) 6,281 1,491 Atos Origin* 1,773 109 AXA (B) 73,184 3,200 BNP Paribas (B) 125,590 15,240 Bouygues (B) 54,147 4,780 Business Objects 5,462 226 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 111 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Capgemini (B) 94,825 $ 7,227 Carrefour (B) 14,600 1,064 Casino Guichard Perrachon (B) 4,833 511 Christian Dior 11,200 1,466 Cie de Saint-Gobain (B) 40,288 4,418 Ciments Francais (B) 4,100 973 Club Mediterranee* 1,722 115 Compagnie Generale des Etablissements Michelin, Cl B (B) 35,613 4,666 Credit Agricole (B) 155,792 6,432 Dassault Systemes (B) 8,055 489 Financiere de L'Odet 552 250 France Telecom (B) 254,798 7,828 Groupe Danone (B) 50,743 7,950 Havas 50,375 303 L'Oreal (B) 19,229 2,285 Lafarge (B) 22,016 3,810 Lagardere S.C.A. 4,870 407 Natixis 3,022 79 Nexans (B) 3,400 548 Nexity 1,328 120 PagesJaunes Groupe 14,600 312 Pernod-Ricard 9,200 2,021 Peugeot (B) 54,133 4,290 Publicis Groupe 9,500 431 Renault (B) 44,323 6,337 Rhodia* 740,800 3,090 Sanofi-Aventis (B) 181,190 17,472 Sanofi-Aventis (Germany Line) 822 79 Schneider Electric 23,094 3,334 SCOR 1 -- Sequana Capital 334 10 Societe Generale (B) 65,551 12,772 Sodexho Alliance 13,500 1,020 Technip 6,800 527 Thales (B) 5,401 331 Thomson 37,800 729 Total (B) 228,606 17,227 Unibail+ (B) 9,500 2,726 Vallourec 13,225 4,233 Veolia Environnement (B) 20,800 1,741 Vinci (B) 94,570 7,483 Vivendi (B) 174,193 7,590 -------------- 175,246 -------------- GERMANY -- 7.9% Allianz 72,965 16,200 Altana (B) 11,100 271 BASF 69,863 8,653 Bayer (B) 164,422 11,835 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Bayerische Motoren Werke 94,280 $ 6,314 Commerzbank (B) 46,245 2,275 Continental 6,788 960 DaimlerChrysler 119,984 11,003 Deutsche Bank (B) 71,692 10,907 Deutsche Beteiligungs 23,100 836 Deutsche Boerse 6,800 1,610 Deutsche Lufthansa 128,700 3,729 Deutsche Telekom 69,600 1,291 E.ON (B) 84,854 13,951 Fresenius Medical Care (B) 28,300 4,154 Heidelberger Druckmaschinen 6,518 321 Hochtief 9,100 1,055 Hypo Real Estate Holding 3,422 236 Infineon Technologies (B)* 314,450 4,875 MAN 8,192 1,189 Metro (B) 10,000 809 MTU Aero Engines Holding 1,132 70 Muenchener Rueckversicherungs 34,826 6,556 Norddeutsche Affinerie 45,800 1,682 RWE 33,231 3,765 Salzgitter (B) 24,390 4,675 SAP 25,648 1,228 Siemens 73,050 9,627 Software 9,200 877 Suedzucker (B) 67,352 1,464 ThyssenKrupp 63,961 3,737 TUI (B) 53,400 1,452 Volkswagen 12,440 1,888 Vossloh 15,500 1,806 Wincor Nixdorf 4,303 428 -------------- 141,729 -------------- GREECE -- 0.2% Coca Cola Hellenic Bottling* 17,276 800 Cosmote Mobile Communications 7,677 247 Hellenic Telecommunications Organization 39,000 1,244 OPAP 26,852 1,026 Titan Cement 3,568 211 -------------- 3,528 -------------- GUERNSEY -- 0.0% Mapeley 756 51 -------------- HONG KONG -- 1.8% Bank of East Asia 220,900 1,290 BOC Hong Kong Holdings 320,900 763 Cheung Kong Holdings 230,300 2,981 China Mobile Hong Kong 626,900 5,859 China Netcom Group 328,000 836 -------------------------------------------------------------------------------- 112 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- China Oriental Group 353,000 $ 130 Chinese Estates Holdings 667,700 1,074 CLP Holdings 258,500 1,822 Esprit Holdings 28,000 345 Great Eagle Holdings 61,000 234 Guoco Group 19,000 264 Hang Lung Group 80,000 321 Hang Lung Properties 412,800 1,300 Henderson Land Development 68,000 470 Hong Kong & China Gas (B) 193,600 405 Hong Kong Exchanges and Clearing 19,500 218 Hongkong & Shanghai Hotels 380,300 620 HongKong Electric Holdings 240,200 1,241 Hopewell Holdings 191,300 838 Hopson Development Holdings 44,000 116 Jardine Strategic Holdings 3,000 43 Kerry Properties (B) 20,500 126 Li & Fung 381,200 1,279 Miramar Hotel & Investment 3,000 5 MTR 548,400 1,337 New World China Land 11,600 9 New World Development 437,800 1,067 Orient Overseas International 7,000 70 Pacific Century Premium Developments 261,000 82 PCCW 235,000 148 Sino Land 333,189 729 Swire Pacific, Cl A 234,600 2,640 Transport International Holdings 25,200 129 USI Holdings 22,000 14 Vtech Holdings 62,100 453 Wharf Holdings 381,100 1,539 Wheelock 309,300 761 -------------- 31,558 -------------- INDIA -- 0.1% Canara Bank 100,000 601 Infosys Technologies ADR 3,400 168 Punjab National Bank 46,000 607 -------------- 1,376 -------------- IRELAND -- 0.4% Allied Irish Banks 31,649 955 Bank of Ireland 10,146 219 CRH 72,102 3,503 DCC 26,900 930 Depfa Bank 41,500 765 Dragon Oil 7,826 27 Fyffes 30,918 35 Total Produce* 35,854 37 -------------- 6,471 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ISRAEL -- 0.0% Teva Pharmaceutical Industries ADR 12,600 $ 494 -------------- ITALY -- 3.8% Aedes 57,400 504 AEM 351,700 1,346 Arnoldo Mondadori Editore (B) 34,000 351 Autostrade (B) 142,250 4,795 Banca Intesa (B) 299,567 2,286 Banche Popolari Unite (B) 7,138 205 Banco Popolare di Verona e Novara (B) 41,306 1,255 Beni Stabili 1,209,400 2,033 Buzzi Unicem (B) 50,900 1,772 Cementir 40,000 581 Danieli 31,500 771 Ducati Motor Holding 704,700 1,496 Edison 10,266 33 Enel 277,407 3,156 ENI (B) 302,821 10,709 Fiat (B) 273,682 7,837 Fiat RNC 79,960 2,037 Finmeccanica 37,800 1,189 Fondiaria-Sai (B) 18,900 972 IFIL - Investments 487,643 5,397 Immobiliare Grande Distribuzione 114,900 591 Immobiliare Lombarda 95,852 28 IMMSI (B) 271,400 851 Indesit 42,000 998 Iride 9,076 34 Italcementi (B) 35,800 1,162 Italmobiliare 6,600 932 KME Group 337,400 323 MARR 49,900 533 Mediaset 7,629 82 Pirelli & C 480,000 572 Telecom Italia 671,626 1,947 Telecom Italia Media (B) 557,730 229 Telecom Italia RNC 493,477 1,151 UniCredito Italiano (B) 1,008,083 9,462 -------------- 67,620 -------------- JAPAN -- 17.7% ADEKA 53,400 574 Advantest (B) 12,000 512 Aeon 144,300 2,695 Aisin Seiki 36,200 1,221 All Nippon Airways 12,000 46 Alps Electric 1,000 10 Amada 113,200 1,426 AOC Holdings 41,400 565 Aoyama Trading 25,600 773 Arnest One 7,600 73 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 113 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Asahi Breweries 23,700 $ 378 Asahi Glass 45,000 599 Astellas Pharma 5,300 235 Atsugi 762,600 1,208 Autobacs Seven 29,800 961 Bank of Kyoto (B) 82,500 963 Bank of the Ryukyus 44,200 838 BML 300 5 Bridgestone 46,000 899 Canon 91,600 5,384 Cawachi 1,700 49 Chiyoda 4,000 80 Chugoku Electric Power 1,000 21 CMK (B) 114,700 1,183 Coca-Cola West Holdings (B) 26,900 568 COMSYS Holdings 34,000 393 Cosmo Oil 330,000 1,582 Dai Nippon Printing (B) 9,000 132 Daicel Chemical Industries 8,000 52 Daiei 1,850 20 Daifuku 12,040 156 Dainippon Ink and Chemicals 86,000 315 Dainippon Screen Manufacturing 2,000 15 Dainippon Sumitomo Pharma 35,000 365 Daishi Bank 1,000 4 Daito Trust Construction 6,100 323 Daiwa House Industry 36,000 539 Daiwa Securities Group 82,000 943 Denki Kagaku Kogyo 37,000 168 Denso 17,400 610 EDION 22,900 283 Eighteenth Bank 21,000 86 Eisai 15,400 716 FamilyMart 11,600 295 Fanuc 27,700 2,642 Fields 27 33 Fuji Electric Holdings 75,000 354 Fuji Fire & Marine Insurance 52,000 204 Fuji Heavy Industries 83,000 399 Fuji Television Network 219 446 FUJIFILM Holdings 67,500 2,793 Fujikura 47,000 324 Fujitsu 124,000 846 Fukuyama Transporting 154,100 635 Glory 2,800 57 Godo Steel 2,000 9 Gunma Bank 335,200 2,309 Gunze 147,800 857 Hakuhodo DY Holdings 1,140 77 Hankyu Holdings 206,000 1,179 Heiwa 12,200 146 Hirose Electric 3,300 428 HIS 3,600 102 Hitachi 418,100 3,068 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hitachi Capital 15,600 $ 262 Hitachi Construction Machinery 12,200 408 Hitachi High-Technologies 900 23 Hokkaido Electric Power 84,000 2,000 Honda Motor 111,000 3,900 House Foods 4,200 68 Hoya 29,800 964 Idemitsu Kosan 5,800 666 Ines 71,500 498 Inpex Holdings 177 1,555 Itochu 129,100 1,408 Japan Aviation Electronics Industry 1,000 12 Japan Steel Works (B) 415,800 5,939 Japan Tobacco 1,131 5,886 Japan Wool Textile 27,200 226 JFE Holdings 112,100 6,810 Joshin Denki 62,700 384 Joyo Bank 41,000 264 JS Group 25,800 541 Kamigumi 34,000 288 Kaneka 33,000 285 Kansai Electric Power 101,900 2,560 Kawasaki Kisen Kaisha (B) 44,000 533 KDDI 207 1,767 Keyence 1,900 406 Kirin Brewery 39,000 603 Kobe Steel 244,000 837 Komatsu 82,500 2,188 Komori 23,000 546 Konica Minolta Holdings 57,000 774 Kumagai Gumi 258,400 488 Kurabo Industries 87,300 256 Kyocera 5,100 501 Kyushu Electric Power 85,900 2,327 Maeda (B) 4,000 18 Maeda Road Construction 11,000 94 Makita 26,300 1,092 Marubeni (B) 89,000 622 Maruichi Steel Tube 9,500 296 Matsushita Electric Industrial 130,000 2,743 Millea Holdings 64,300 2,555 Mitsubishi 352,600 8,582 Mitsubishi Chemical Holdings 196,500 1,718 Mitsubishi Electric 61,000 557 Mitsubishi Estate 237,000 7,276 Mitsubishi Gas Chemical 76,000 634 Mitsubishi Heavy Industries 282,900 1,716 Mitsubishi Materials 103,000 542 Mitsubishi Paper Mills 360,800 770 Mitsubishi UFJ Financial Group 477 5,477 Mitsubishi UFJ Securities 51,000 586 Mitsuboshi Belting 48,400 284 Mitsui 254,000 5,004 Mitsui Chemicals 320,000 2,309 -------------------------------------------------------------------------------- 114 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Mitsui Mining & Smelting 72,000 $ 335 Mitsui OSK Lines 371,000 5,080 Mitsui Sumitomo Insurance 141,800 1,769 Mitsumi Electric 3,000 95 Miyazaki Bank 16,000 68 Mizuho Financial Group 518 3,661 Murata Manufacturing 10,480 740 Nanto Bank 14,000 71 NEC 165,000 840 NGK Spark Plug 32,100 515 Nichicon (B) 71,100 1,051 Nikon 79,700 2,015 Nintendo 19,145 6,687 Nippo 82,300 649 Nippon Beet Sugar Manufacturing 175,500 458 Nippon Electric Glass 40,700 649 Nippon Express 17,000 101 Nippon Konpo Unyu Soko 68,000 899 Nippon Mining Holdings 378,900 3,328 Nippon Oil 153,000 1,299 Nippon Sharyo 225,600 502 Nippon Shokubai 26,000 231 Nippon Steel 623,000 4,352 Nippon Telegraph & Telephone 1,516 7,131 Nippon Yusen KK 181,000 1,669 Nissan Motor 529,860 5,890 Nissan Shatai 17,000 93 Nisshinbo Industries 108,000 1,489 Nomura Holdings 29,400 601 NSK 75,000 768 NTT Data 302 1,440 NTT DoCoMo 737 1,252 NTT Urban Development 419 1,011 Obayashi 90,000 501 Odakyu Electric Railway (B) 81,800 510 Okasan Holdings (B) 22,000 150 Okaya 500 7 Oki Electric Industry (B) 467,000 859 Okumura 171,100 850 Ono Pharmaceutical 11,700 670 Onward Kashiyama 19,000 248 ORIX 35,480 9,495 Osaka Gas 109,000 405 Rakuten 508 173 Ricoh 55,000 1,196 Riso Kagaku 3,300 59 Rohm 7,000 629 Sankyo 12,500 538 Sanwa Shutter 26,000 152 Sega Sammy Holdings 17,600 324 Seikagaku 1,000 12 Seiko Epson 29,200 844 Seino Transportation 4,000 39 Sekisui House 49,000 721 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SFCG (B) 4,200 $ 796 Sharp 157,000 3,003 Shimamura 3,800 408 Shin-Etsu Chemical 22,500 1,507 Shinsei Bank 222,000 973 Showa Shell Sekiyu 58,600 709 SMC 9,900 1,245 Softbank (B) 241,600 5,325 Sojitz 98,900 429 Sompo Japan Insurance 97,200 1,219 Sony 118,000 6,790 Stanley Electric 36,400 795 Sumco 112,900 5,431 Sumitomo 183,200 3,324 Sumitomo Chemical 173,000 1,145 Sumitomo Electric Industries 1,500 23 Sumitomo Heavy Industries 31,000 352 Sumitomo Metal Industries 348,600 1,886 Sumitomo Metal Mining 61,000 1,390 Sumitomo Mitsui Financial Group 1,145 11,091 Sumitomo Realty & Development 48,000 1,813 Sumitomo Wiring Systems 5,000 117 Suzuki Motor 97,100 2,710 Taiheiyo Cement 40,000 183 Taisho Pharmaceutical (B) 34,000 656 Takeda Pharmaceutical 15,000 1,006 Takefuji 32,990 1,216 Tamura Taiko Holdings 89,500 253 Tanabe Seiyaku 12,000 155 TDK 25,300 2,295 Teijin 151,000 806 TKC 3,300 56 Toagosei 366,600 1,390 Toda (B) 374,200 2,135 Tokai Rika 7,900 205 Tokushima Bank 5,000 34 Tokyo Electric Power 181,100 6,021 Tokyo Electron (B) 37,100 2,665 Tokyo Gas 123,100 606 Tokyu 83,400 574 Tokyu Land 59,200 731 Toppan Printing 65,000 685 Toshiba (B) 551,400 4,119 Toshiba TEC 4,000 23 Tosoh 49,000 251 Towa Real Estate Development 13,000 52 Toyo Seikan Kaisha 42,400 818 Toyota Auto Body 12,000 205 Toyota Industries 14,900 674 Toyota Motor 263,900 15,815 Trend Micro 30,000 988 Trusco Nakayama 1,100 22 TV Asahi 106 215 UNY 38,000 424 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 115 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Ushio 24,600 $ 510 West Japan Railway 170 790 Yahoo! Japan (B) 5,287 1,810 Yamada Denki 17,370 1,634 Yamaha 29,300 618 Yamaha Motor 30,100 766 Yamatane 284,100 399 Yamato Transport 62,400 905 Yamazaki Baking (B) 12,000 108 Yaskawa Electric 28,000 304 Yokogawa Bridge 61,000 333 Yokohama Rubber 172,200 1,241 -------------- 316,517 -------------- LUXEMBOURG -- 0.2% Colt Telecom Group* 28,085 86 Oriflame Cosmetics SDR 4,600 241 SES Global FDR 81,800 1,783 SES Global FDR (Paris Exchange) 36,186 789 -------------- 2,899 -------------- MEXICO -- 0.7% America Movil ADR, Ser L 132,455 8,020 Fomento Economico Mexicano ADR (B) 112,780 4,493 Telefonos de Mexico ADR, Ser L 13,100 530 -------------- 13,043 -------------- NETHERLANDS -- 4.6% ABN AMRO Holding (B) 71,003 3,404 Aegon 113,686 2,331 Akzo Nobel 104,871 8,559 ASML Holding* 9,843 255 Buhrmann (B) 109,820 1,433 European Aeronautic Defense and Space 34,900 1,098 Fugro 11,738 688 Heineken Holding 13,736 695 ING Groep 404,230 18,010 Koninklijke DSM 19,200 954 Koninklijke Wessanen 3,146 51 Mittal Steel 108,615 6,523 OPG Groep 27,200 983 Randstad Holdings 10,544 859 Reed Elsevier 9,657 192 Royal Dutch Shell, Cl A 353,019 13,144 Royal Dutch Shell, Cl A (GBP) (B) 174,409 6,493 Royal Dutch Shell, Cl B 180,394 6,808 Royal KPN 63,813 1,083 Unilever (B) 230,032 6,863 Vedior 3,073 91 Wolters Kluwer (B) 58,400 1,819 -------------- 82,336 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- NEW ZEALAND -- 0.3% Air New Zealand 374,000 $ 819 Contact Energy 30,949 202 Fisher & Paykel Appliances Holdings 322,900 926 Infratil 83,200 396 Kiwi Income Property Trust 328,400 388 Macquarie Goodman Property Trust 322,800 352 Telecom of New Zealand 536,236 1,918 Vector 34,418 73 -------------- 5,074 -------------- NORWAY -- 1.3% Cermaq (B) 33,600 576 DnB 122,365 1,650 Ementor* 165,900 1,402 Marine Harvest* 679,300 752 Norske Skogindustrier 29,828 447 Orkla (B) 127,974 2,258 Renewable Energy 4,800 152 Schibsted 44,400 2,133 Sparebanken Nord-Norge 27,200 676 Statoil (B) 23,400 639 Storebrand 66,100 1,040 Tandberg 150,700 3,395 Telenor (B) 95,200 1,849 Yara International (B) 215,637 6,243 -------------- 23,212 -------------- PORTUGAL -- 0.2% Banco BPI 48,675 424 Banco Comercial Portugues 173,796 882 Banco Espirito Santo 39,292 900 Cimpor Cimentos de Portugal 5,652 56 Energias de Portugal 403,186 2,295 Sonae Industria 1,684 22 -------------- 4,579 -------------- SINGAPORE -- 1.8% Allgreen Properties 1,404,400 1,688 CapitaCommercial Trust+ (B) 804,500 1,567 CapitaLand 248,000 1,343 Cerebos Pacific 3,000 7 China Aviation Oil Singapore 25,000 32 City Developments 135,400 1,529 Cosco Singapore 1,406,900 2,469 DBS Group Holdings 364,300 5,792 Flextronics International 600 7 Fraser and Neave 86,000 326 Guocoland 13,000 42 Haw Par 4,000 20 Ho Bee Investment 26,000 38 Hong Leong Finance 186,400 498 -------------------------------------------------------------------------------- 116 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Hotel Grand Central 34,350 $ 24 Hotel Plaza 17,000 23 Jardine Cycle & Carriage 30,000 276 K1 Ventures 224,000 45 Keppel Land 532,200 3,252 Kim Eng Holdings 408,600 475 Mapletree Logistics Trust+ 1,309,900 1,252 MCL Land 6,000 11 Metro Holdings* 16,000 11 NatSteel 10,000 10 Neptune Orient Lines 167,000 501 Olam International 880,500 1,939 Oversea-Chinese Banking 280,500 1,748 SembCorp Industries 26,000 95 Singapore Airlines 26,000 317 Singapore Exchange 156,000 784 Singapore Petroleum 80,000 277 Singapore Press Holdings 62,000 179 Singapore Technologies Engineering 135,000 311 Singapore Telecommunications* 538,950 1,263 SP Chemicals 48,000 38 United Overseas Bank 136,000 2,161 UOB-Kay Hian Holdings 20,000 21 Wheelock Properties S 32,000 70 Wing Tai Holdings 691,800 1,588 -------------- 32,029 -------------- SOUTH AFRICA -- 0.2% Harmony Gold Mining* 133,700 1,952 Harmony Gold Mining ADR (B)* 7,200 107 Sanlam 379,530 1,227 Sasol 28,576 1,032 -------------- 4,318 -------------- SOUTH KOREA -- 0.7% Honam Petrochemical 12,900 1,396 Hyundai Mobis 8,020 727 Industrial Bank of Korea 26,750 537 Kookmin Bank 17,670 1,601 POSCO 700 336 Samsung Electronics 1,213 699 Samsung Electronics GDR 3,542 1,015 Shinhan Financial Group 84,500 5,215 SK Telecom 360 78 SK Telecom ADR (B) 31,000 833 -------------- 12,437 -------------- SPAIN -- 3.0% Acerinox (B) 15,786 402 ACS Actividades Construcciones y Servicios 112,699 7,549 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Banco Bilbao Vizcaya Argentaria (B) 208,703 $ 5,274 Banco Popular Espanol (B) 51,831 1,038 Banco Santander Central Hispano (B) 600,801 11,545 Cementos Portland Valderrivas 3,200 449 Ebro Puleva 40,002 883 Enagas 11,900 301 Endesa (B) 8,048 433 Gas Natural SDG (B) 92,995 5,485 Grupo Ferrovial 8,500 903 Iberdrola 66,960 3,850 Inditex (B) 9,179 580 Repsol (B) 219,030 8,032 Sacyr Vallehermoso (B) 7,888 452 Sol Melia (B) 25,200 598 Telefonica (B) 304,154 6,913 -------------- 54,687 -------------- SWEDEN -- 1.9% Assa Abloy, Cl B 30,700 691 Atlas Copco, Cl A 333,710 5,612 Axfood 6,900 259 Boliden (B) 31,500 654 D Carnegie 6,600 132 Electrolux, Ser B (B) 45,400 1,143 Hennes & Mauritz, Cl B 5,200 330 Husqvarna, Cl B 46,039 699 Industrivarden, Cl A 31,000 684 Investor, Cl B 154,550 4,013 Klovern 118,700 556 Kungsleden 658 11 Sandvik 63,159 1,176 Skandinaviska Enskilda Banken, Cl A 42,230 1,390 SKF 34,500 741 Svenska Cellulosa, Cl B 150,516 2,608 Svenska Handelsbanken, Cl A 30,537 901 Swedish Match 27,131 502 Tele2, Cl B 48,000 802 Telefonaktiebolaget LM Ericsson, Cl B 786,041 2,985 TeliaSonera 463,171 3,434 Trelleborg, Cl B 30,200 961 Volvo, Cl B (B) 143,725 3,015 Wihlborgs Fastigheter 2,706 58 -------------- 33,357 -------------- SWITZERLAND -- 5.2% ABB 51,501 1,101 Adecco (B) 8,952 653 AFG Arbonia-Forster Holdings 1,000 519 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 117 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Bobst Group 2,798 $ 181 Bucher Industries 693 105 Clariant 37,000 631 Compagnie Financiere Richemont, Cl A 60,280 3,707 Credit Suisse Group 130,128 9,891 Elektrizitaets-Gesellschaft Laufenburg 420 524 Energiedienst Holding 500 280 Forbo Holding 31 17 Geberit 1,052 184 Georg Fischer* 1,100 844 Gurit Holding 200 244 Helvetia Holding 1,320 531 Holcim 51,043 5,644 Inficon Holding 5,400 948 Kudelski 15,400 599 Nestle 18,202 7,085 Novartis 224,980 12,640 Phonak Holding 2,695 257 Rieter Holding 67 37 Roche Holding 71,227 13,066 Romande Energie Holding 230 328 Straumann Holding 1,400 407 Swatch Group 8,039 466 Swiss Life Holding 3,640 980 Swiss Reinsurance (B) 79,267 7,542 Swisscom (B) 7,094 2,496 UBS 142,450 9,288 Xstrata 106,420 6,109 Zurich Financial Services 17,924 5,481 -------------- 92,785 -------------- TAIWAN -- 0.2% Compal Electronics 1,027,481 933 Taiwan Semiconductor Manufacturing 525,602 1,085 Taiwan Semiconductor Manufacturing ADR 114,378 1,248 -------------- 3,266 -------------- THAILAND -- 0.0% PTT (L) 101,300 749 -------------- UNITED KINGDOM -- 15.4% 3i Group 17,834 428 Acergy 159,100 3,585 Amec 267,600 3,150 Anglo American 207,364 12,465 Antofagasta 23,600 260 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ARM Holdings 84,487 $ 235 AstraZeneca 177,883 9,451 AstraZeneca (SEK) 33,254 1,761 Aviva 506,893 8,001 BAE Systems 880,500 7,790 Balfour Beatty 19,447 177 Barclays 861,115 12,298 Barratt Developments 56,865 1,227 Bellway 15,726 447 Berkeley Group Holdings 25,100 939 BHP Billiton 52,695 1,282 Bovis Homes Group 10,597 222 BP 1,202,676 13,429 Brit Insurance Holdings 46,000 316 British Airways 55,647 517 British American Tobacco 78,818 2,668 British Energy Group 447,600 4,651 British Land+ 43,312 1,240 Brixton+ 916 9 BT Group 162,737 1,061 Burberry Group 214,350 2,898 Cable & Wireless 95,317 372 Cadbury Schweppes 23,399 329 Carnival 30,777 1,594 Carphone Warehouse Group 66,000 392 Cattles 15,762 129 Centrica 342,344 2,595 Charter 13,163 269 Close Brothers Group 4,066 76 Compass Group 236,000 1,760 Cookson Group 16,197 229 Daily Mail & General Trust 15,056 251 Davis Service Group 2,315 30 Diageo 270,099 5,754 Drax Group 7,380 117 DS Smith 94,600 468 Emap 11,250 195 Enterprise Inns 60,089 877 Firstgroup 12,131 166 FKI 174,700 477 Friends Provident 652,879 2,557 GKN 110,000 852 GlaxoSmithKline 315,719 8,181 Greene King 62,900 1,385 Hays 86,293 297 HBOS 597,965 12,857 Home Retail Group 196,696 1,836 HSBC Holdings 641,802 11,857 Hunting 60,400 956 Imperial Tobacco Group 98,392 4,251 International Power 67,124 602 Investec 49,600 678 -------------------------------------------------------------------------------- 118 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ITV 299,890 $ 696 J Sainsbury 63,489 701 Kazakhmys 48,000 1,232 Kelda Group 56,842 1,149 Kingfisher 252,200 1,238 Kingston Communications 340,500 497 Land Securities Group+ 2,641 102 Legal & General Group 121,887 371 Lloyds TSB Group 136,139 1,548 LogicaCMG 2,878 9 Luminar 40,600 634 Marks & Spencer Group 355,350 4,913 Marston's 124,100 1,148 Michael Page International 41,582 469 Millennium & Copthorne Hotels 29,700 440 Minerva 315,800 2,511 Mitchells & Butlers 87,239 1,531 National Grid 239,717 3,713 Nestor Healthcare Group 13,700 44 Next 15,509 678 Northern Foods 513,400 1,290 Old Mutual 662,161 2,269 Pearson 23,945 425 Premier Oil 36,200 791 Prudential 178,400 2,670 Punch Taverns 59,890 1,592 Reckitt Benckiser 37,810 2,054 Reed Elsevier 126,430 1,707 Reuters Group 92,800 1,153 Rio Tinto 43,315 3,144 Rolls-Royce Group, Cl B 4,203,200 9 Royal & Sun Alliance Insurance Group 703,674 2,203 Royal Bank of Scotland Group 1,704,083 21,152 SABMiller 144,500 3,436 Scottish & Newcastle 155,681 1,999 Scottish & Southern Energy 74,485 2,244 Segro+ 49,200 697 Severn Trent 38,800 1,206 Smith & Nephew 410,950 5,040 Smiths Group 63,015 1,417 St Ives Group 81,500 447 Stagecoach Group 121,242 443 Standard Chartered 57,332 1,939 Tate & Lyle 62,427 742 Taylor Woodrow 226,091 2,046 TDG 175,000 1,076 Tesco 320,700 2,910 Trinity Mirror 22,515 256 Unilever 34,849 1,075 United Utilities 77,399 1,181 Vodafone Group 8,121,958 25,384 Whitbread 20,831 780 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Wimpey George 170,295 $ 2,115 WPP Group 118,300 1,748 Yell Group 119,000 1,190 -------------- 276,350 -------------- Total Common Stock (Cost $1,244,579) ($ Thousands) 1,595,789 -------------- CORPORATE OBLIGATIONS -- 6.4% CONSUMER DISCRETIONARY -- 0.1% CVS Caremark 5.750%, 06/01/17 $ 205 202 Comcast 5.300%, 01/15/14 530 518 Cox Communications 4.625%, 06/01/13 425 402 Time Warner 6.875%, 05/01/12 425 446 -------------- 1,568 -------------- ENERGY -- 0.1% Dominion Resources 4.750%, 12/15/10 285 278 Exelon Generation 6.950%, 06/15/11 425 444 Kinder Morgan Energy Partners 5.000%, 12/15/13 425 405 -------------- 1,127 -------------- FINANCIALS -- 6.2% Aetna 5.750%, 06/15/11 425 429 American General Finance (C) (D) (F) 5.370%, 06/15/07 7,536 7,536 Bear Stearns 5.350%, 02/01/12 395 391 Bear Stearns EXL (C) (D) 5.360%, 06/15/07 9,251 9,251 Capmark Financial Group (F) 6.300%, 05/10/17 50 50 5.875%, 05/10/12 100 99 Cit Group 5.000%, 02/13/14 565 535 Countrywide Financial Services MTN (C) (D) 5.430%, 06/27/07 3,118 3,118 Countrywide Financial Services MTN, Ser A (C) (D) 5.440%, 08/06/07 7,796 7,796 Credit Suisse First Boston USA 6.500%, 01/15/12 285 297 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 119 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Genworth Financial 5.750%, 06/15/14 $ 425 $ 427 Goldman Sachs 5.500%, 11/15/14 845 836 HSBC Finance 6.375%, 10/15/11 425 438 Irish Life & Permanent MTN, Ser X (C) (D) (F) 5.360%, 06/21/07 6,912 6,912 Istar Financial+ 5.875%, 03/15/16 285 277 JPMorgan Chase 5.125%, 09/15/14 425 414 Jackson National Life Funding (C) (D) (F) 5.320%, 06/01/07 11,434 11,434 Lehman Brothers Holdings MTN 5.750%, 05/17/13 145 146 5.500%, 04/04/16 280 275 Merrill Lynch 6.050%, 05/16/16 425 430 Morgan Stanley 4.750%, 04/01/14 425 400 Morgan Stanley EXL (C) (D) 5.400%, 06/04/07 1,819 1,819 Morgan Stanley EXL, Ser S (C) (D) 5.360%, 06/04/07 2,599 2,598 Morgan Stanley MTN, Ser G (D) 5.650%, 07/04/07 420 419 Nationwide Building Society (C) (D) (F) 5.410%, 06/28/07 2,858 2,858 5.370%, 06/07/07 5,197 5,197 Northern Rock (C) (D) (F) 5.380%, 06/04/07 5,353 5,353 Premium Asset Trust, Ser 2004-10 (C) (D) (F) 5.380%, 06/15/07 7,276 7,276 Residential Capital 6.875%, 06/30/15 75 75 6.500%, 04/17/13 865 855 6.000%, 02/22/11 200 196 SLM EXL MTN (C) (D) 5.320%, 06/15/07 5,717 5,717 Shinsei Finance Cayman (D) (F) 6.418%, 01/29/49 490 487 Simon Property Group+ 5.750%, 12/01/15 285 286 5.600%, 09/01/11 240 241 Skandinav Enskilda Bank (C) (D) (F) 5.320%, 06/18/07 5,717 5,717 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Stanfield Victoria MTN (C) (F) 5.450%, 06/11/07 $ 5,197 $ 5,196 UniCredito Italiano Bank (C) (D) (F) 5.350%, 07/11/07 12,993 12,992 Wachovia 5.300%, 10/15/11 745 742 4.875%, 02/15/14 285 273 Washington Mutual Preferred Funding (B) (D) (F) 6.534%, 03/15/49 500 489 -------------- 110,277 -------------- HEALTH CARE -- 0.0% Teva Pharmaceutical 5.550%, 02/01/16 425 413 Wellpoint 6.800%, 08/01/12 285 300 -------------- 713 -------------- INDUSTRIALS -- 0.0% Lafarge 6.150%, 07/15/11 255 261 US Steel 5.650%, 06/01/13 105 104 -------------- 365 -------------- TELECOMMUNICATION SERVICES -- 0.0% Vodafone Group 5.625%, 02/27/17 225 220 5.350%, 02/27/12 80 79 -------------- 299 -------------- Total Corporate Obligations (Cost $114,216) ($ Thousands) 114,349 U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 4.9% FHLMC 6.000%, 07/01/21 2,980 3,010 6.000%, 09/01/21 977 987 6.000%, 10/01/21 9,446 9,540 6.000%, 11/01/21 3,822 3,860 6.000%, 05/01/22 1,994 2,014 FNMA 5.500%, 01/01/21 (A) 1,772 1,758 5.500%, 02/01/21 (A) 876 869 FNMA TBA 6.500%, 06/01/37 20,000 20,313 6.000%, 06/01/37 6,000 5,993 5.500%, 06/01/22 3,600 3,572 5.000%, 06/17/21 29,000 28,266 -------------------------------------------------------------------------------- 120 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GNMA ARM 5.625%, 02/20/34 $ 626 $ 633 5.500%, 06/30/07 506 509 5.500%, 05/20/34 676 683 5.500%, 03/20/36 (I) 496 500 5.250%, 08/20/34 251 252 5.000%, 06/20/35 (I) 658 663 5.000%, 02/20/36 (I) 304 305 4.750%, 12/20/33 2,140 2,140 4.500%, 07/20/35 384 387 4.500%, 06/20/36 839 842 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $87,468) ($ Thousands) 87,096 -------------- ASSET-BACKED SECURITIES -- 4.8% MORTGAGE RELATED SECURITIES -- 4.8% ACE Securities, Ser 2003-NC1, Cl M (D) 6.100%, 06/25/07 600 601 ACE Securities, Ser 2003-OP1, Cl M1 (D) 6.020%, 06/26/07 250 251 Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 (D) 8.070%, 06/12/07 110 93 American Home Mortgage Investment Trust, Ser 2004-3, Cl 2A (D) 3.590%, 09/01/07 2,856 2,905 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (D) (K) 5.294%, 06/25/07 4,275 4,239 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (D) 5.350%, 06/25/07 2,587 2,596 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (D) 5.100%, 06/25/07 1,365 1,352 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (D) 6.220%, 06/25/07 380 380 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Argent Securities, Ser 2003-W5, Cl M1 (D) 6.020%, 06/25/07 $ 250 $ 252 Argent Securities, Ser 2003-W9, Cl M1 (D) 6.010%, 06/26/07 343 345 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (D) 6.070%, 06/15/07 456 457 Banc of America Commercial Mortgage, Ser 2006-2, Cl A1 5.611%, 05/10/45 771 774 Banc of America Funding, Ser 2006-A, Cl 2A2 (D) 5.566%, 06/01/07 175 178 Banc of America Mortgage Securities, Ser 2004-10, Cl 2A1 5.000%, 12/25/19 635 615 Basic Asset Backed Securities Trust, Ser 2006-1, Cl A1 (D) 5.400%, 06/25/07 1,489 1,489 Chase Funding Mortgage Loan, Ser 2003-1, Cl 1A4 4.119%, 02/25/29 59 59 Chase Funding Mortgage Loan, Ser 2004-2, Cl 1A3 4.209%, 09/25/26 230 228 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 (D) 4.975%, 06/01/07 727 737 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (D) 6.470%, 06/27/07 225 222 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 (D) 7.320%, 06/27/07 338 317 Countrywide Alternative Loan Trust, Ser 2006-0A11, Cl M3 (D) 5.750%, 06/30/07 456 455 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 (D) 6.920%, 01/25/34 267 270 Countrywide Asset-Backed Certificates, Ser 2004-11, Cl A2 (D) 5.700%, 06/25/07 100 100 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 121 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 (D) 5.460%, 06/25/07 $ 441 $ 441 Countrywide Asset-Backed Certificates, Ser 2006-IM1, Cl A1 (D) 5.410%, 06/27/07 385 385 Countrywide Home Equity Loan Trust, Ser 2006-D, Cl 2A (D) 5.520%, 06/30/07 2,018 2,017 Countrywide Home Loans, Ser 2004-22, Cl A1 (D) 5.084%, 06/01/07 579 574 Countrywide Home Loans, Ser 2006-HYB1, Cl 1A1 5.365%, 06/20/07 562 557 Countrywide Home Loans, Ser 2006-HYB2, Cl 1A1 (D) 5.054%, 06/20/07 1,641 1,637 Credit Suisse Asset-Backed Mortgage Trust, Ser 2006-1, Cl A1B (D) 5.540%, 06/26/07 509 509 DLSA Mortgage Loan Trust, Ser 2006-AR1, Cl M4 (D) 6.060%, 06/19/07 221 217 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 (D) 5.920%, 06/19/07 331 333 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M5 (D) 6.130%, 06/19/07 140 137 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M7 (D) 7.070%, 06/19/07 140 137 Deutsche Alternatives Securities Mortgage Loan Trust, Ser 2006-AB3, Cl A1 (D) 6.250%, 06/30/36 1,150 1,150 Duke Funding, Ser 2004-6B, Cl A1S1 (C) (D) (F) 5.420%, 07/09/07 3,898 3,898 First Franklin Mortgage Loan Asset, Ser 2004-FF10, Cl A2 (D) 5.720%, 06/26/07 97 98 First Franklin Mortgage Loan Asset, Ser 2005-FF4, Cl 2A3 (D) 5.540%, 06/25/07 1,586 1,587 First Horizon Alternative Mortgage Trust, Ser 2006-AA6, Cl 2A1 (D) 5.686%, 06/01/07 3,837 3,831 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- First Horizon Mortgage Pass-Through Trust, Ser 2006-AR3, Cl 1A1 (D) 5.695%, 06/01/07 $ 784 $ 781 GMAC Mortgage Loan Trust, Ser 2006-HE1, Cl A (D) (K) 5.530%, 06/25/07 4,900 4,896 GSAA Home Equity NIM Trust, Ser 2006-2, Cl 2A1 (D) (K) 5.420%, 06/27/07 2,215 2,214 GSAA Home Equity NIM Trust, Ser 2006-HE3N, Cl N1 (F) 5.500%, 05/25/36 64 46 Greenpoint Mortgage Funding Trust, Ser 2006-AR1, Cl M3 (D) 5.890%, 06/27/07 300 298 HSI Asset Securitization Trust, Ser 2005-NC2, Cl M2A1 (D) 5.450%, 06/25/07 309 309 Home Equity Asset NIM Trust, Ser 2003-4, Cl M2 (D) 7.220%, 06/25/07 355 355 Home Equity Asset NIM Trust, Ser 2006-1N, Cl A (F) 6.500%, 05/27/36 66 49 Impac NIM Trust, Ser 2006-1, Cl N (F) 6.000%, 03/25/36 12 12 Indymac Mortgage Loan Trust, Ser 2004-AR11, Cl 4A1 (D) 5.807%, 06/01/07 1,725 1,723 Indymac Mortgage Loan Trust, Ser 2004-AR6, Cl 1A (D) 5.495%, 06/01/07 228 228 Lehman Mortgage Trust, Ser 2006-4, Cl 4A1 6.000%, 08/25/21 3,095 3,116 Lehman XS Trust, Ser 2005-5N, Cl M4 (D) 7.070%, 06/30/07 525 469 Lehman XS Trust, Ser 2005-7N, Cl M51 (D) 6.570%, 06/30/07 120 114 Lehman XS Trust, Ser 2005-7N, Cl M71 (D) 7.070%, 06/27/07 300 267 Lehman XS Trust, Ser 2005-9N, Cl M4 (D) 6.720%, 06/30/07 170 170 MLCC Mortgage Investors, Ser 2006-1, Cl 1A1 (D) 5.328%, 06/01/07 1,843 1,857 -------------------------------------------------------------------------------- 122 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Master Adjustable Rate Mortgages, Ser 2004-6, Cl 2A1 (D) 5.329%, 07/25/34 $ 2,492 $ 2,493 Master Adjustable Rate Mortgages, Ser 2005-2, Cl 3A1 (D) 4.756%, 06/01/07 834 838 Master Asset Backed Securities Trust, Ser 2006-AB1, Cl A1 (D) 5.460%, 06/27/07 2,030 2,030 Merrill Lynch Mortgage Investors Trust, Ser 2003-HE1, Cl M2 (D) 6.970%, 06/25/07 140 140 Merrill Lynch Mortgage Investors Trust, Ser 2005-HE2, Cl A2A (D) 5.430%, 06/27/07 188 188 Morgan Stanley, Ser 2003-NC10, Cl M1 (D) 6.000%, 06/27/07 573 574 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (D) 4.450%, 06/01/07 560 556 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 (G) 4.461%, 06/25/07 1,315 1,304 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 (F) 6.500%, 03/25/34 360 365 Nomura Asset Acceptance, Ser 2004-R2, Cl A1 (D) (F) 6.500%, 10/25/34 436 441 Nomura Asset Acceptance, Ser 2007-1, Cl 1A1A (G) 5.995%, 06/09/07 1,402 1,402 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (D) 5.970%, 06/23/07 373 374 Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (D) (F) 7.820%, 06/27/07 60 53 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (D) (F) 7.820%, 06/27/07 140 108 Ownit Mortgage Loan, Ser 2006-1, Cl AF1 (G) 5.424%, 12/25/36 1,023 1,018 Renaissance Home Equity Loan Trust, Ser 2004-2, Cl AF3 (G) 4.464%, 07/25/34 186 185 Residential Accredit Loans, Ser 2005-Q05, Cl M3 (D) 6.120%, 06/25/07 399 398 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Residential Accredit Loans, Ser 2005-QA3, Cl NB2 (D) 5.248%, 06/25/07 $ 1,541 $ 1,539 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (D) 5.720%, 06/27/07 339 339 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 (D) 6.050%, 06/25/07 54 54 Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A1 (D) (K) 5.400%, 06/27/07 2,985 2,985 Residential Asset Securities, Ser 2005-KS11, Cl AI1 (D) 5.400%, 06/27/07 581 581 Residential Asset Securities, Ser 2006-EMX2, Cl A1 (D) 5.400%, 06/27/07 910 911 Residential Asset Securities, Ser 2006-KS2, Cl A1 (D) 5.390%, 06/27/07 1,283 1,283 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (D) 5.275%, 06/25/07 1,527 1,518 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (D) (F) 5.420%, 06/25/07 1,169 1,169 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (D) (F) 5.470%, 06/25/07 1,400 1,400 SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (F) 7.500%, 06/25/36 76 75 Sharps SP I LLC NIM Trust, Ser 2005-HE3N, Cl N (F) 5.000%, 05/25/35 97 95 Structured Adjustable Rate Mortgage Loan, Ser 2005-16 XS, Cl M2 (D) 6.220%, 06/25/07 200 198 Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 8.320%, 06/25/07 278 279 Structured Asset Investment Loan Trust, Ser 2005-1, Cl A4 (D) (F) 5.550%, 06/25/07 221 221 Structured Asset Investment Loan Trust, Ser 2005-8, Cl A2 (D) 5.450%, 06/25/07 191 191 Structured Asset Securities, Ser 2005-WF1, Cl A2 (D) 5.520%, 06/25/07 227 227 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 123 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Terwin Mortgage Trust, Ser 2006-5, Cl 1A2A (D) (F) (K) 5.410%, 06/26/07 $ 3,056 $ 3,055 Terwin Mortgage Trust, Ser 2006-6, Cl 2A1 (D) 4.500%, 06/25/36 444 439 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY4, Cl 1A1 5.575%, 06/01/07 2,886 2,859 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl HY6 5.707%, 06/25/37 1,000 1,000 Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1 (D) 5.371%, 06/01/07 216 217 -------------- Total Asset-Backed Securities (Cost $86,473) ($ Thousands) 86,429 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.7% FHLMC (A) (H) 5.249%, 11/09/07 5,975 5,839 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 5,907 1,491 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 1,360 342 FNMA 5.235%, 07/02/07 (A) (H) 175 174 5.204%, 06/27/07 (A) (H) 475 473 4.680%, 06/01/07 (H) 25 25 FNMA CMO STRIPS, Ser 10, Cl FD (D) 5.670%, 06/25/07 1,605 1,609 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 491 123 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 8,590 2,179 FNMA CMO STRIPS, Ser 377, Cl 2, IO (A) 5.000%, 10/01/36 1,058 275 -------------- Total U.S. Government Agency Obligations (Cost $12,291) ($ Thousands) 12,530 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- PREFERRED STOCK -- 0.5% BRAZIL -- 0.1% Petroleo Brasileiro 33,100 $ 793 Usinas Siderurgicas de Minas Gerais, Cl A 29,000 1,622 -------------- 2,415 -------------- GERMANY -- 0.1% Porsche 1,042 1,842 Volkswagen 1,122 111 -------------- 1,953 -------------- ITALY -- 0.2% Istituto Finanziario Industriale 70,300 2,841 -------------- SOUTH KOREA -- 0.1% Samsung Electronics 1,400 633 -------------- Total Preferred Stock (Cost $5,381) ($ Thousands) 7,842 -------------- EQUITY LINKED WARRANT -- 0.3% TAIWAN -- 0.3% HON HAI Precision Industry* 702 4,950 -------------- Total Equity Linked Warrant (Cost $3,325) ($ Thousands) 4,950 -------------- EXCHANGE TRADED FUND -- 0.0% iShares MSCI EAFE Index Fund* 400 32 -------------- Total Exchange Traded Fund (Cost $32) ($ Thousands) 32 -------------- CASH EQUIVALENTS -- 9.3% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 26,722,074 26,722 SEI Liquidity Fund, L.P., 5.490% (C)**++ 140,322,602 140,323 -------------- Total Cash Equivalents (Cost $167,045) ($ Thousands) 167,045 -------------- -------------------------------------------------------------------------------- 124 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- TIME DEPOSITS -- 2.8% Brown Brothers Harriman 7.750%, 06/01/07 ZAR 294 $ 41 6.950%, 06/01/07 NZD 19 14 5.408%, 06/01/07 AUD 134 111 4.770%, 06/01/07 44,502 44,502 4.760%, 06/01/07 GBP 504 997 3.350%, 06/01/07 CAD 106 99 3.250%, 06/01/07 HKD 1,735 222 3.150%, 06/01/07 NOK 4 1 3.030%, 06/01/07 EUR 300 404 3.000%, 06/01/07 DKK 6,299 1,138 2.350%, 06/01/07 SEK 450 65 1.293%, 06/01/07 CHF 1,245 1,016 1.150%, 06/01/07 SGD 136 89 0.100%, 06/01/07 JPY 243,488 1,999 -------------- Total Time Deposits (Cost $50,698) ($ Thousands) 50,698 -------------- COMMERCIAL PAPER (C) (E) -- 2.1% KKR Pacific Funding Trust 5.310%, 06/15/07 $ 9,407 9,387 OCALA Funding LLC 5.310%, 06/19/07 3,898 3,888 Rhineland Funding Capital 5.280%, 06/06/07 1,910 1,909 Thornburg Mortgage Capital Resources 5.290%, 06/07/07 10,394 10,385 Valour Bay Capital LLC 5.320%, 06/11/07 4,242 4,236 5.320%, 06/13/07 7,796 7,782 -------------- Total Commercial Paper (Cost $37,587) ($ Thousands) 37,587 -------------- U.S. TREASURY OBLIGATIONS (E) -- 0.9% U.S. Treasury Bills 4.833%, 06/14/07 (A) 450 449 4.813%, 08/23/07 (A) 3,158 3,125 4.440%, 06/21/07 2,820 2,813 3.330%, 07/26/07 5,300 5,263 U.S. Treasury Inflationary Index Notes 3.875%, 04/15/29 874 1,073 2.375%, 04/15/11 (B) 3,960 3,938 -------------- Total U.S. Treasury Obligations (Cost $16,679) ($ Thousands) 16,661 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT (C) -- 0.4% Barclays Bank 5.440%, 06/11/07 (D) $ 2,599 $ 2,599 CC USA (F) 5.520%, 06/18/07 5,197 5,197 -------------- Total Certificates of Deposit (Cost $7,796) ($ Thousands) 7,796 -------------- MASTER NOTE (C) (E) -- 0.3% Bear Stearns 5.430%, 06/01/07 5,197 5,197 -------------- Total Master Note (Cost $5,197) ($ Thousands) 5,197 -------------- REPURCHASE AGREEMENTS (C) (J) -- 3.6% Barclays Capital 5.280%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $1,791,559 (collateralized by a U.S. Government obligation, par value $1,827,312, 0.000%, 06/01/07, total market value $1,827,129) 1,791 1,791 Deutsche Bank 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $5,114,940 (collateralized by U.S. Government obligations, ranging in par value $28,272-$1,683,871, 4.000%- 6.000%, 02/01/08-11/04/20, total market value $5,216,490) 5,114 5,114 Lehman Brothers 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $57,176,884 (collateralized by U.S. Government obligations, ranging in par value $12,078,294-$98,987,773, 3.875%- 8.875%, 06/15/08-03/15/31, total market value $58,311,898) 57,168 57,168 -------------- Total Repurchase Agreements (Cost $64,073) ($ Thousands) 64,073 -------------- Total Investments -- 126.1% (Cost $1,902,840) ($ Thousands) $ 2,258,074 ============== -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 125 SCHEDULE OF INVESTMENTS International Equity Fund (Continued) May 31, 2007 A summary of the open futures contracts held by the Fund at May 31, 2007, is as follows (See Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION/ TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- 90-Day Euro$ (52) Mar-2008 $ 34 90-Day Euro$ (39) Mar-2009 13 90-Day Euro$ (35) Mar-2010 7 90-Day Euro$ (23) Mar-2011 (4) 90-Day Euro$ 4 Mar-2012 (3) 90-Day Euro$ (42) Jun-2007 32 90-Day Euro$ (18) Jun-2008 18 90-Day Euro$ 57 Jun-2009 (46) 90-Day Euro$ (132) Jun-2010 73 90-Day Euro$ 13 Jun-2011 (13) 90-Day Euro$ (52) Sep-2007 42 90-Day Euro$ (52) Sep-2008 25 90-Day Euro$ 57 Sep-2009 (6) 90-Day Euro$ (39) Sep-2010 5 90-Day Euro$ 15 Sep-2011 (14) 90-Day Euro$ (36) Dec-2007 16 90-Day Euro$ (214) Dec-2008 122 90-Day Euro$ (36) Dec-2009 7 90-Day Euro$ (34) Dec-2010 (1) 90-Day Euro$ 4 Dec-2011 (3) Amsterdam Index 46 Jun-2007 158 CAC40 10 Euro 163 Jun-2007 269 DAX Index 46 Jun-2007 1,759 DJ Euro Stoxx 50 Index 204 Jun-2007 1,401 FTSE 100 Index 305 Jun-2007 2,175 Hang Seng Index 25 Jun-2007 (6) IBEX 35 Plus Index 26 Jun-2007 195 MSCI Sing Index 25 Jun-2007 (22) Nikkei 225 Index 26 Jun-2007 55 OMX Index 387 Jun-2007 29 S&P/MIB Index 24 Jun-2007 556 SPI 200 Index 80 Jun-2007 651 Topix Index 139 Jun-2007 751 U.S. 2 Year Treasury Note (5) Sep-2007 2 U.S. 5 Year Treasury Note (55) Sep-2007 7 U.S. 10 Year Treasury Note (47) Sep-2007 2 U.S. Long Treasury Bond (1) Jun-2007 3 U.S. Long Treasury Bond (17) Sep-2007 -- ------ $8,289 ====== A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2007, is as follows (See Note 2 in Notes to Financials Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 6/21/07 AUD 20,099 EUR 12,297 $ (60) 6/21/07 AUD 18,739 GBP 7,820 (31) 6/21/07 CAD 39,593 USD 36,239 (822) 6/21/07 EUR 5,811 AUD 9,541 68 6/21/07 EUR 4,806 CHF 7,935 15 6/21/07 EUR 8,098 USD 10,945 42 6/21/07 GBP 4,326 AUD 10,425 67 6/21/07 HKD 96,872 USD 12,394 (14) 6/21/07 NZD 1,495 USD 1,088 (12) 6/21/07 SGD 16,624 USD 10,913 28 6/21/07 CHF 8,724 EUR 5,302 9 6/21/07 MXP 128,719 USD 11,876 (93) 6/21/07 ZAR 31,642 USD 4,468 28 6/21/07-6/25/07 USD 26,097 AUD 31,758 170 6/21/07-6/25/07 USD 91,394 GBP 46,359 291 6/21/07-6/25/07 USD 5,447 NOK 32,959 17 6/21/07-6/25/07 USD 3,926 SEK 26,856 (36) 6/21/07-8/21/07 NZD 30,443 JPY 2,411,000 (2,415) 6/21/07-8/21/07 JPY 3,854,000 NZD 47,039 2,683 6/21/07-9/21/07 USD 69,132 CHF 84,112 (219) 6/21/07-10/19/07 CHF 63,800 USD 52,598 202 6/21/07-10/19/07 GBP 12,554 JPY 2,881,000 (1,002) 6/21/07-10/19/07 USD 70,849 JPY 8,358,355 (1,783) 6/21/07-10/19/07 GBP 18,661 CHF 44,200 (644) 6/21/07-11/21/07 CHF 68,500 GBP 28,766 610 6/21/07-11/21/07 JPY 5,763,000 GBP 24,920 1,485 6/21/07-11/21/07 JPY 8,677,000 USD 73,647 1,728 -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 6/25/07 USD 866 DKK 4,786 $ -- 6/25/07 USD 40,174 EUR 29,810 (33) 6/25/07 USD 1,948 HKD 15,228 2 6/25/07 USD 176 NZD 241 2 6/25/07 USD 1,230 SGD 1,871 (5) 9/21/07-10/19/07 CHF 9,300 NZD 10,741 147 9/21/07-11/21/07 JPY 717,000 AUD 7,540 222 10/19/07 NZD 2,754 CHF 2,400 (28) ------- $ 619 ======== A summary of outstanding swap agreements held by the Fund at May 31, 2007, 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) --------------------------------------------------------------------------------------------------------------------- Delivers payment on the quarterly reset spread from Swiss Market Index plus 25 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. (Counterparty: Bear Stearns) 01/17/08 10,700 CHF $ 453 Receive payment on the monthly reset spread from Banc of America -- CMBS AAA10Yr Index plus 8 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. (Counterparty: Bank of America) 07/31/07 25,000 42 Receive payment on the monthly reset spread from Banc of America -- CMBS AAA10Yr Index plus 8 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. (Counterparty: Bank of America) 08/31/07 5,000 9 Receive payment on the monthly reset spread from Banc of America -- CMBS AAA10Yr Index plus 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. (Counterparty: Bank of America) 08/31/07 9,000 37 Receive payment on the monthly reset spread from Banc of America -- CMBS AAA10Yr 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. (Counterparty: Bank of America) 09/30/07 12,000 21 Receive payment on the monthly reset spread from Banc of America -- CMBS AAA10Yr Index plus 20 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. (Counterparty: Goldman Sachs) 10/31/07 5,000 14 Receive payment on the monthly reset spread from Banc of America -- CMBS AAA10Yr Index plus 15 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. (Counterparty: Wachovia) 08/31/07 7,000 37 Receive payment on the monthly reset spread from Banc of America -- CMBS IG 10Yr Index plus 20 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. (Counterparty: Bank of America) 10/31/07 5,000 (9)
-------------------------------------------------------------------------------- 126 SEI Institutional Investments Trust / Annual Report / May 31, 2007
--------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) --------------------------------------------------------------------------------------------------------------------- Receive payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 8.5 Plus Index minus 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. (Counterparty: Wachovia) 06/30/07 5,000 $ 2 Receive payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 8.5 Plus Index plus 17.5 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. (Counterparty: Wachovia) 10/31/07 6,000 9 Receive payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 8.5 Plus Index plus 20 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. (Counterparty: Wachovia) 10/31/07 6,000 4 Receive payment on the monthly reset spread from Lehman Brothers -- CMBS AAA 10YR Index plus 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. (Counterparty: Wachovia) 08/31/07 13,000 9 Delivers payment on the quarterly reset spread from MSCI EAFE Index minus 20 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. (Counterparty: Bear Stearns) 03/24/08 16,017 1,143 Delivers payment on the quarterly reset spread from MSCI Japan Net Index plus 20 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. (Counterparty: Goldman Sachs) 03/24/08 15,200 (401) ------- $ 1,370 ======= --------------------------------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS --------------------------------------------------------------------------------------------------------------------- Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 07/25/45 6,000 $ (88) Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 07/25/45 6,500 (104) Fund receives monthly payment of 0.4400% (5.280% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 05/25/46 5,000 (145) Fund receives monthly payment of 0.6400% (7.680% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 08/25/37 500 17 Fund receives monthly payment of 0.6400% (7.680% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 500 (2) Fund pays quarterly payment of 0.3200% (1.280% per annum) times the notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 03/20/14 650 4 Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 2
--------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) --------------------------------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.4400% (1.760% per annum) times the notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 $ (7) Fund pays quarterly payment of 0.5500% (2.200% per annum) times the notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (4) Fund pays quarterly payment of 0.2000% (0.800% per annum) times the notional amount of Campbell Soup Co., 4.875%, 10/01/13. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 06/20/14 1,075 (2) Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG., Series 7 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 13,800 96 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 925 2 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 600 1 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 750 -- Fund pays quarterly payment of 0.4450% (1.780% per annum) times the notional amount of Darden Restaurants, Inc., 7.125%, 02/01/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (1) Fund pays quarterly payment of 0.3700% (1.480% per annum) times the notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (10) Fund pays quarterly payment of 0.4250% (1.700% per annum) times the notional amount of Eastman Chemical Co., 7.600%, 02/01/27. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (3) Fund pays quarterly payment of 1.1800% (4.720% per annum) times the notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (12) Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (6) Fund pays quarterly payment of 0.4750% (1.900% per annum) times the notional amount of Ltd. Brands, Inc., 6.125%, 12/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (1) Fund pays quarterly payment of 0.7300% (2.920% per annum) times the notional amount of Masco Corp., 5.875%, 07/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 (3) Fund pays quarterly payment of 0.4750% (1.900% per annum) times the notional amount of MeadWestvaco, 6.850%, 04/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 --
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 127 SCHEDULE OF INVESTMENTS International Equity Fund (Concluded) May 31, 2007
--------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) --------------------------------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of MGIC Investment Corp., 6.000%, 11/01/15. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 $ 1 Fund pays quarterly payment of 0.2200% (0.880% per annum) times the notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (3) Fund pays quarterly payment of 0.1400% (0.560% per annum) times the notional amount of Pitney Bowes, Inc., 4.625%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,600 2 Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 7 Fund pays quarterly payment of 0.3900% (1.760% per annum) times the notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 750 8 Fund pays quarterly payment of 0.1900% (0.760% per annum) times the notional amount of TJX Cos, Inc., 7.450%, 12/15/09. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 4 Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 750 (3) Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bear Stearns) 07/25/45 1,875 10 Fund pays quarterly payment of 0.3400% (1.360% per annum) times the notional amount of Agrium, Inc., 8.250%, 02/15/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (4) Fund pays quarterly payment of 0.4600% (1.840% per annum) times the notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (7) Fund pays quarterly payment of 0.5500% (2.200% per annum) times the notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (4) Fund pays quarterly payment of 0.2150% (0.860% per annum) times the notional amount of Carnival Corp., 6.650%, 01/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 06/20/12 600 (1) Fund pays quarterly payment of 0.2600% (1.040% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 3 Fund pays quarterly payment of 1.1800% (4.720% per annum) times the notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (12) Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Hasbro, Inc., 2.750%, 12/01/21. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 7
--------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) --------------------------------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.7700% (3.080% per annum) times the notional amount of Jones Apparel Group, Inc., 5.125%, 11/15/14. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 $ 3 Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (3) Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of MGIC Investment Corp., 6.000%, 03/15/07. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 1 Fund pays quarterly payment of 0.2800% (1.120% per annum) times the notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 (1) Fund pays quarterly payment of 0.2200% (0.880% per annum) times the notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 (3) Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 7 Fund pays quarterly payment of 0.2000% (0.800% per annum) times the notional amount of PPG Industries, Inc., 7.050%, 08/15/09. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 -- Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 750 (4) Fund pays quarterly payment of 0.2700% (1.080% per annum) times the notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 2 Fund pays quarterly payment of 0.3200% (1.280% per annum) times the notional amount of Washington Mutual Co., 5.250%, 09/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 03/20/12 700 (1) Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 07/25/45 2,500 9 Fund receives monthly payment of 0.6400% (7.680% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund will deliver the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 1,000 5 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund will deliver the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 650 5 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG., Index. Upon a defined credit event, Fund will deliver the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 13,800 96 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund will deliver the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 3,850 28
-------------------------------------------------------------------------------- 128 SEI Institutional Investments Trust / Annual Report / May 31, 2007
--------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) --------------------------------------------------------------------------------------------------------------------- Fund receives quarterly payment of 0.4400% (1.760% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund will deliver the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,500 $ (15) Fund pays quarterly payment of 0.2500% (1.000% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 750 3 Fund pays quarterly payment of 0.1300% (0.520% per annum) times the notional amount of Lowe's Cos., 8.250%, 06/01/10. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 1 Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (3) Fund pays quarterly payment of 0.9000% (3.600% per annum) times the notional amount of MDC Holdings, Inc., 5.500%, 05/15/13. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (7) Fund pays quarterly payment of 0.2800% (1.120% per annum) times the notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 750 (1) Fund pays quarterly payment of 0.6900% (2.760% per annum) times the notional amount of RR Donnelly & Sons Co., 4.950%, 04/01/14. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 (1) Fund pays quarterly payment of 0.2700% (1.080% per annum) times the notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 750 2 Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 03/20/12 750 (2) Fund pays quarterly payment of 0.3380% (1.352% per annum) times the notional amount of Whirlpool Corp., 7.750%, 07/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 750 -- ------- $ (137) =======
-------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $1,790,634 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of May 31, 2007. + Real Estate Investments Trust ++ Affiliated security (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 May 31, 2007 (See Note 9). The total value of securities on loan at May 31, 2007 was $353,477 ($ Thousands). (C) This security was purchased with cash collateral held from securities lending (See Note 9). The total value of such securities as of May 31, 2007 was $359,644 ($ Thousands). (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2007. The date reported on the Schedule of Investments is the next reset date. (E) The rate reported is the effective yield at time of purchase. -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- (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 May 31, 2007. 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. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (J) Tri-Party Repurchase Agreement. (K) Security, or a poriton of this security, has been pledged as collateral on reverse repurchase agreements. (L) Security fair valued using methods determined in good faith by the valuation committee of the Board of Trustees. The total value of such securities as of May 31, 2007 was $749 ($Thousands) and represented 0.00% of Net Assets. ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortage AUD -- Australian Dollar CAD -- Canadian Dollar 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 GNMA -- Government National Mortgage Association HKD -- Hong Kong Dollar IO -- Interest Only -- Face Amount Represents Notional Amount JPY -- Japanese Yen LLC -- Limited Liability Company LP -- Limited Partnership MTN -- Medium Term Note MXP -- Mexican Peso NIM -- Net Interest Margin NOK -- Norwegian Krone NZD -- New Zealand Dollar SDR -- Swedish Depository 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 $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 129 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 23.3% Financials 9.1% Materials 8.9% Consumer Discretionary 8.7% Industrials 6.9% Short-Term Investments 6.3% Energy 5.7% U.S. Government Agency Mortgage-Backed Obligations 5.4% Telecommunication Services 5.1% Information Technology 5.1% Asset-Backed Securities 3.9% Consumer Staples 3.6% Utilities 3.4% Health Care 2.1% Time Deposits 0.7% Commercial Paper 0.7% U.S. Government Agency Obligations 0.6% U.S. Treasury Obligations 0.2% Equity-Linked Warrants 0.2% Certificates of Deposit 0.1% Master Note 0.0% Exchanged Traded Funds 0.0% Rights ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- COMMON STOCK -- 82.5% ARGENTINA -- 0.0% MetroGas ADR* 3,000 $ 14 Telecom Argentina, Ser B ADR 10,700 304 Telefonica de Argentina* 400 8 -------------- 326 -------------- AUSTRALIA -- 3.8% Adelaide Brighton 27,000 82 Amcor 107,589 662 AMP 425,400 3,560 Australia & New Zealand Banking Group 93,083 2,222 Australian Infrastructure Fund 204,700 505 Australian Stock Exchange 8,400 338 BHP Billiton 107,953 2,817 BlueScope Steel 148,000 1,356 Boral 64,400 470 Brambles (B)* 65,335 691 Brambles* 39,540 419 Caltex Australia 26,737 566 Challenger Financial Services Group (B) 340,507 1,663 Cochlear 2,441 126 Coles Myer 2,900 40 Commonwealth Bank of Australia 39,130 1,794 CSL 21,444 1,583 Downer EDI 142,894 883 Felix Resources 5,600 26 Foster's Group 138,200 727 Goodman Fielder 352,982 745 GPT Group 16,878 72 GUD Holdings 57,000 430 Independence Group 4,600 31 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- ING Industrial Fund (B) 218,881 $ 440 Insurance Australia Group 40,200 199 John Fairfax Holdings 155,800 628 Jubilee Mines 132,400 1,907 Leighton Holdings 37,000 1,363 Lend Lease 27,239 449 Macquarie Airports (B) 934,693 3,218 Macquarie Bank 15,800 1,146 Macquarie Infrastructure Group 998,323 3,057 Metcash 287,200 1,229 MFS 122,200 640 Minara Resources 355,900 2,424 Mincor Resources 9,400 32 Mirvac Group 33,026 157 Multiplex Group 245,300 999 National Australia Bank 113,379 3,992 Newcrest Mining 40,900 745 OneSteel 32,000 175 Origin Energy 1,000 7 Pacific Brands 1,006,327 2,882 PaperlinX 409,900 1,401 Peptech 217,300 274 Perilya 6,000 21 Port Bouvard 13,800 26 Portman 7,000 43 Qantas Airways (B) 208,789 985 QBE Insurance Group (B) 343,939 8,887 Rinker Group 23,101 367 Rio Tinto 10,500 830 Sally Malay Mining 5,500 22 Santos 53,449 593 Seven Network 71,900 683 Sims Group 7,542 170 Sonic Healthcare 6,647 80 Southern Cross Broadcasting Australia 31,000 431 Specialty Fashion Group 226,400 286 St George Bank 3,500 108 TABCORP Holdings 26,400 388 Tattersall's 179,300 706 Telstra (B) 250,940 1,009 Telstra (Installment Receipts) 913,900 2,564 Toll Holdings 45,045 861 West Australian Newspapers Holdings 90,800 1,086 Westfield Group 22,700 403 Westpac Banking 79,038 1,705 Woolworths 162,286 3,695 WorleyParsons 40,165 990 Zinifex 142,500 2,076 -------------- 78,187 -------------- -------------------------------------------------------------------------------- 130 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- AUSTRIA -- 0.3% Andritz 162 $ 11 Conwert Immobilien Invest* 209 4 IMMOFINANZ* 37,792 610 OMV (B) 28,400 1,885 Raiffeisen International Bank Holding (B) 2,869 449 Telekom Austria (B) 51,500 1,410 Voestalpine (B) 36,223 2,630 -------------- 6,999 -------------- BELGIUM -- 0.9% AGFA-Gevaert 9,603 251 Belgacom (B) 25,603 1,165 Compagnie Maritime Belge 21,204 1,618 Cumerio 16,400 551 D'ieteren 53 24 Delhaize Group 7,100 678 Dexia (B) 40,005 1,285 Fortis 137,834 5,727 Fortis (Netherlands Line) 68,261 2,838 Gimv 7,100 511 InBev 7,543 636 KBC Groep 4,200 580 Solvay 8,500 1,357 UCB 14,810 866 -------------- 18,087 -------------- BERMUDA -- 0.0% Frontline 19,000 884 -------------- BRAZIL -- 1.0% Banco Bradesco ADR (B) 131,899 3,349 Banco do Brasil 11,600 478 Banestes-Banco do Estado do Espirito Santo 144,400 78 Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR (B) 61,087 2,060 Cia de Saneamento Basico do Estado de Sao Paulo 3,692,000 597 Cia Petroquimica do Sul 10,500 195 Cia Vale do Rio Doce ADR 84,295 3,831 Gerdau ADR (B) 53,325 1,213 Localiza Rent A CAR 87,900 991 Petroleo Brasileiro ADR 3,024 327 Santos-Brasil 65,276 911 Tim Participacoes ADR (B) 82,357 3,014 Uniao de Bancos Brasileiros 2,800 31 Uniao de Bancos Brasileiros ADR 33,930 3,811 -------------- 20,886 -------------- -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- CANADA -- 4.8% Agrium 5,789 $ 223 Alcan 48,960 4,218 Algoma Steel 6,300 330 Angiotech Pharmaceuticals 330 2 ARC Energy Trust 8,100 173 Aspreva Pharmaceuticals 3,000 61 Atco 5,600 290 AUR Resources 8,500 237 Bank of Montreal 26,000 1,731 Bank of Nova Scotia 57,800 2,909 Barrick Gold 55,200 1,606 Barrick Gold (USD) 18,900 551 Biovail 52,400 1,274 BPO Properties 2,300 151 CAE 58,200 753 Cameco 58,769 3,047 Canaccord Capital 22,600 470 Canadian Imperial Bank of Commerce 25,900 2,487 Canadian National Railway (B) 9,700 529 Canadian Natural Resources 54,000 3,591 Canadian Utilities 10,356 482 Canetic Resources Trust 16,300 257 CGI Group, Cl A 308,080 3,328 CI Financial Income Fund 22,040 608 Cognos 25,200 1,005 Denison Mines* 57,800 753 Dorel Industries, Cl B 24,600 794 Dundee 500 29 Eastern Platinum 433,500 1,006 EnCana 66,100 4,050 Ensign Resource Service Group 15,000 311 Fairfax Financial Holdings 10,300 2,081 Finning International 36,400 1,032 Flint Energy Services 3,400 86 Gerdau Ameristeel 25,200 390 Gildan Activewear 10,000 348 Husky Energy 36,900 3,077 Inmet Mining 4,600 328 IPSCO 1 -- Kinross Gold 253,850 3,388 Legacy Hotels+ 8,700 113 Linamar 4,200 76 Manulife Financial 21,000 783 Methanex 35,010 914 MI Developments, Class A 4,700 182 National Bank of Canada 43,009 2,617 Nexen 45,480 1,362 Nortel Networks 25,120 653 Northbridge Financial 57 2 Nova Chemicals 20,000 713 Open Text 23,800 541 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 131 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Petro-Canada 51,000 $ 2,575 Pinetree Capital 113,900 1,209 Potash Saskatchewan 73,800 5,237 Power Corp of Canada 57,600 2,147 Power Financial 17,950 689 PrimeWest Energy Trust 27,202 573 QLT 7,500 55 Research In Motion 36,030 5,980 Rogers Communications, Cl B 125,640 5,212 Royal Bank of Canada 83,280 4,540 Saputo 8,499 335 Sherritt International 59,700 869 Shoppers Drug Mart 5,800 274 Sun Life Financial 81,125 3,833 Suncor Energy 13,600 1,182 Talisman Energy 41,800 845 Teck Cominco, Cl B 57,800 2,444 TELUS 32,594 1,964 Tesco 3,000 93 Toronto-Dominion Bank 15,700 1,085 Transcontinental 7,340 146 Yellow Pages Income Fund 94,411 1,287 -------------- 98,516 -------------- CHILE -- 0.2% A.F.P. Provida ADR 2,800 81 Cervecerias Unidas ADR 2,200 76 Cia Cervecerias Unidas ADR 5,500 191 Embotelladora Andina ADR 600 12 Empresa Nacional de Electricidad ADR 73,000 3,402 Enersis ADR 22,500 413 Lan Airlines ADR 4,700 378 -------------- 4,553 -------------- CHINA -- 1.2% China Construction Bank 859,000 515 China International Marine Containers 109,500 297 China Petroleum & Chemical, Cl H 6,450,000 7,201 China Shipping Container Lines 631,000 373 China Shipping Development 1,444,000 2,825 China Telecom 5,119,000 2,753 Dongfeng Motor Group 262,000 134 Great Wall Motor 210,000 278 Great Wall Technology 114,000 52 Guangdong Electric Power Development 247,600 235 Hangzhou Steam Turbine* 3,000 9 Harbin Power Equipment 210,000 259 Huadian Power International 432,000 227 Huaneng Power International 342,000 352 Industrial & Commercial Bank of China, Cl H 1,358,000 711 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Jiangxi Copper 99,000 $ 158 Lenovo Group 588,000 294 PetroChina, Cl H 2,602,000 3,405 PICC Property & Casualty 514,000 318 Shanghai Electric Group 96,000 41 Weiqiao Textile 148,000 329 Yanzhou Coal Mining 2,750,000 3,542 -------------- 24,308 -------------- COLOMBIA -- 0.1% BanColombia ADR 61,651 1,727 -------------- CZECH REPUBLIC -- 0.1% CEZ 51,407 2,625 Telefonica O2 Czech Republic 11,000 319 Unipetrol* 7,941 104 -------------- 3,048 -------------- DENMARK -- 0.6% AP Moeller - Maersk 137 1,662 Carlsberg, Cl B (B) 17,000 2,064 Dampskibsselskabet Torm 19,800 783 Danske Bank 61,546 2,682 East Asiatic (B) 7,125 400 H Lundbeck 6,795 170 Jyske Bank* 4,000 306 Novo-Nordisk, Cl B 19,600 2,064 Sydbank 1,700 92 Topdanmark* 675 125 Vestas Wind Systems 27,500 1,933 -------------- 12,281 -------------- EGYPT -- 0.0% Egyptian International Pharmaceutical Industrial 18,000 96 Mobinil-Egyptian Mobile Services 5,893 174 Orascom Telecom Holding 1,880 25 Paints & Chemical Industry 8,000 78 Suez Cement 2,000 20 -------------- 393 -------------- FINLAND -- 1.0% Cargotec, Cl B 6,100 384 Elisa, Cl A 28,080 811 Kemira 13,600 306 Kemira GrowHow 130,600 2,109 Konecranes 5,950 251 M-real, Cl B 111,600 758 Metso 16,300 907 Neste Oil (B) 39,131 1,478 Nokia 92,096 2,522 -------------------------------------------------------------------------------- 132 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Nokian Renkaat 11,700 $ 408 OKO Bank, Cl A 24,498 494 Outokumpu 38,339 1,374 Rautaruukki 50,400 3,120 Sampo, Cl A 39,154 1,239 Sponda 47,700 777 Stora Enso, Cl R 92,417 1,765 UPM-Kymmene 44,300 1,148 Wartsila, Cl B 5,700 378 -------------- 20,229 -------------- FRANCE -- 7.5% Accor (B) 11,475 1,067 Air France-KLM 67,501 3,447 Air Liquide (B) 5,800 1,377 Alstom 431 68 Atos Origin* 900 55 AXA (B) 82,488 3,606 BNP Paribas (B) 108,093 13,117 Bouygues (B) 49,543 4,373 Capgemini (B) 91,510 6,975 Carrefour (B) 13,800 1,006 Casino Guichard Perrachon (B) 7,238 766 Christian Dior (B) 7,500 982 Cie de Saint-Gobain 29,629 3,249 Ciments Francais 2,763 656 Club Mediterranee* 2,765 185 CNP Assurances 6,582 882 Compagnie Generale des Etablissements Michelin, Cl B (B) 35,298 4,624 Credit Agricole (B) 110,688 4,570 Dassault Systemes (B) 5,748 349 Financiere de L'Odet 600 272 France Telecom (B) 195,440 6,004 Groupe Danone (B) 51,998 8,147 Havas 30,000 181 L'Oreal (B) 16,705 1,985 Lafarge (B) 22,472 3,889 Lagardere S.C.A. 27,689 2,312 Natixis 4,496 118 Nexity 531 48 PagesJaunes Groupe 12,870 275 Pernod-Ricard 6,700 1,472 Peugeot (B) 50,225 3,980 Publicis Groupe 6,600 299 Renault (B) 42,066 6,014 Rhodia 742,650 3,098 Sanofi-Aventis (B) 150,349 14,498 Schneider Electric 20,279 2,928 SCOR (B) 4,061 111 Sequana Capital 334 10 Societe Fonciere Financiere et de Participations 49 15 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Societe Generale (B) 55,989 $ 10,909 Sodexho Alliance 9,100 688 Technip 4,900 380 Thales 196 12 Thomson 24,210 467 Total (B) 186,648 14,065 Unibail+ 6,600 1,894 Vallourec 13,565 4,342 Veolia Environnement (B) 16,027 1,341 Vinci 93,380 7,389 Vivendi (B) 147,401 6,423 -------------- 154,920 -------------- GERMANY -- 6.0% Allianz 71,805 15,943 Altana 421 10 BASF 53,431 6,618 Bayer 152,593 10,983 Bayerische Motoren Werke (B) 81,756 5,475 Commerzbank 49,930 2,456 Continental 6,972 986 DaimlerChrysler 93,718 8,594 Deutsche Bank (B) 55,667 8,469 Deutsche Beteiligungs 18,400 666 Deutsche Boerse 5,122 1,213 Deutsche Lufthansa 91,300 2,645 Deutsche Telekom 79,400 1,472 E.ON (B) 66,423 10,921 Fresenius Medical Care 29,812 4,376 Heidelberger Druckmaschinen 1,629 80 Hochtief 6,400 742 Hypo Real Estate Holding 5,612 387 Infineon Technologies (B)* 296,900 4,602 Lanxess 8,100 459 MAN 8,551 1,241 Metro (B) 7,900 639 MTU Aero Engines Holding 543 34 Muenchener Rueckversicherungs (B) 37,984 7,151 Norddeutsche Affinerie 32,600 1,198 RWE 26,610 3,015 Salzgitter (B) 19,125 3,666 SAP 22,080 1,057 Siemens 61,088 8,051 Software 6,300 601 Suedzucker (B) 51,413 1,117 ThyssenKrupp 50,795 2,968 TUI (B) 45,800 1,245 Volkswagen 11,359 1,724 Vossloh 11,100 1,294 Wincor Nixdorf 2,302 229 -------------- 122,327 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 133 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- GREECE -- 0.1% Coca Cola Hellenic Bottling* 11,101 $ 514 Cosmote Mobile Communications 7,530 242 Hellenic Telecommunications Organization 27,100 864 OPAP 7,420 284 Public Power 11,000 299 Titan Cement 1,470 87 -------------- 2,290 -------------- GUERNSEY -- 0.0% Mapeley 504 34 -------------- HONG KONG -- 2.1% Bank of East Asia 176,900 1,033 BOC Hong Kong Holdings 289,100 688 Cheung Kong Holdings 200,500 2,595 China Merchants Bank 83,233 215 China Mobile Hong Kong 1,283,300 11,994 China Netcom Group 427,000 1,088 China Oriental Group 238,000 87 China Overseas Land & Investment 2,422,000 3,324 China State Construction International Holdings 120,000 143 China Unicom 36,000 53 Chinese Estates Holdings 469,000 754 Chow Sang Sang Holdings 78,000 63 CLP Holdings 147,800 1,042 Cosco Pacific 1,044,000 2,740 Digital China Holdings 332,000 159 Esprit Holdings 41,200 507 Great Eagle Holdings 37,000 142 Guangzhou Investment 852,000 227 Guoco Group 13,000 181 Hang Lung Group 50,000 201 Hang Lung Properties 293,200 923 Henderson Land Development 48,000 332 Hong Kong & China Gas 147,400 308 Hong Kong Exchanges and Clearing 1,000 11 Hongkong & Shanghai Hotels 279,200 455 HongKong Electric Holdings 219,900 1,136 Hopewell Holdings 115,500 506 Hopson Development Holdings 128,000 338 Hutchison Whampoa 32,000 309 Industrial and Commercial Bank of China Asia 145,000 316 Jardine Strategic Holdings 3,000 43 Li & Fung 371,400 1,246 MTR 392,600 957 New World China Land 114,400 92 New World Development 287,500 701 Orient Overseas International 115,500 1,156 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Pacific Century Premium Developments 297,000 $ 93 Shanghai Industrial Holdings 56,000 165 Shenzhen Investment 354,000 213 Silver Grant International 734,000 221 Sino Land 472,423 1,033 Sinolink Worldwide Holdings 480,000 124 Swire Pacific, Cl A 195,400 2,199 Transport International Holdings 14,000 72 Vtech Holdings 45,500 332 Wharf Holdings 322,700 1,304 Wheelock 224,400 552 Wing On International 38,000 63 -------------- 42,436 -------------- HUNGARY -- 0.2% Danubius Hotel and Spa* 3,367 177 Egis 1,200 142 Magyar Telekom 55,000 276 MOL Hungarian Oil & Gas 5,400 698 OTP Bank 57,753 3,064 -------------- 4,357 -------------- INDIA -- 1.0% Bank of India 56,610 294 Bharat Electronics 6,510 290 Bharti Televentures 166,031 3,473 CESC 17,280 152 Essar Steel 132,110 120 GAIL India 47,810 360 Grasim Industries 6,390 393 Gujarat Narmada Valley Fertilizers 43,890 116 Gujarat State Fertilisers 20,519 88 Hindalco Industries 64,100 222 Hindustan Zinc 23,880 385 Indian Overseas Bank 65,400 181 Indian Petrochemicals 2,970 26 Infosys Technologies 55,119 2,611 Infosys Technologies ADR 2,600 128 ITC 678,827 2,738 JSW Steel 16,810 250 Mahindra & Mahindra 10,622 198 Maruti Udyog 2,180 44 National Aluminium 40,460 250 Oil & Natural Gas 26,090 593 Sesa GOA 2,593 107 Siemens India 102,397 3,223 State Bank of India GDR 9,020 740 Steel Authority of India 196,890 680 Sterlite Industries India 33,650 451 Tata Motors 145,611 2,710 -------------------------------------------------------------------------------- 134 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Tata Steel 6,640 $ 103 UCO Bank 41,180 24 -------------- 20,950 -------------- INDONESIA -- 0.3% Bank Central Asia 827,000 492 Bank Rakyat Indonesia 2,194,500 1,517 HM Sampoerna 163,000 235 International Nickel Indonesia 49,000 305 Telekomunikasi Indonesia 2,805,800 3,036 -------------- 5,585 -------------- IRELAND -- 0.3% Allied Irish Banks 21,482 648 Bank of Ireland 4,601 99 CRH 56,803 2,759 DCC 20,457 708 Depfa Bank 39,800 734 Kerry Group, Cl A 13,600 398 -------------- 5,346 -------------- ISRAEL -- 0.3% Bank Hapoalim 483,654 2,617 Bank Leumi Le-Israel 96,000 407 Bezeq Israeli Telecommunication 1,062,823 1,873 Clal Insurance 8,100 261 Delek Group 500 117 First International Bank of Israel* 14,000 186 Harel Insurance Investments & Finances 2,500 152 Mizrahi Tefahot Bank 33,000 258 Teva Pharmaceutical Industries 9,600 375 Teva Pharmaceutical Industries ADR 5,800 227 -------------- 6,473 -------------- ITALY -- 2.8% Aedes 38,700 340 AEM 252,400 966 Autostrade 145,700 4,911 Banca Intesa (B) 233,521 1,782 Banco Popolare di Verona e Novara (B) 27,210 827 Beni Stabili 873,800 1,469 Buzzi Unicem 15,100 526 Cementir 27,400 398 Danieli 21,800 534 Ducati Motor Holding 505,700 1,074 Edison 259,000 827 Enel 206,840 2,353 ENI (B) 255,488 9,035 Fiat (B) 248,282 7,110 Fiat RNC 71,220 1,814 Finmeccanica 24,300 764 Fondiaria-Sai (B) 16,300 838 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- IFIL - Investments 501,300 $ 5,548 Immobiliare Grande Distribuzione 79,800 410 Immobiliare Lombarda 178,951 53 IMMSI 188,900 592 Indesit 29,700 706 Iride 7,693 29 Italcementi (B) 41,000 1,331 Italmobiliare 4,700 663 KME Group 269,600 258 MARR 33,900 362 Pirelli & C 10,843 13 Pirelli & C Real Estate 495 35 Snam Rete Gas 49,200 303 Telecom Italia 728,000 2,111 Telecom Italia RNC 334,306 780 UniCredito Italiano (B) 947,865 8,897 -------------- 57,659 -------------- JAPAN -- 13.2% ADEKA 34,800 374 Advantest (B) 8,300 354 Aeon 137,200 2,562 Aichi Bank 900 101 Aisin Seiki 63,400 2,139 All Nippon Airways 71,000 273 Alpen 3,500 59 Alps Electric 14,200 138 Amada 70,100 883 AOC Holdings 28,700 392 Aoyama Trading 24,000 725 Arnest One 5,700 163 Asahi Breweries 27,300 435 Asahi Glass 63,000 838 Asahi Kasei 93,000 596 Astellas Pharma 21,300 942 Atsugi 549,700 871 Autobacs Seven 20,700 668 Bank of Kyoto 58,200 679 Bank of the Ryukyus 31,600 599 BML 1,000 18 Bosch 21,000 97 Bridgestone 34,200 668 Canon 73,300 4,308 Canon Finetech 3,700 181 Cawachi 1,800 52 Chiyoda 3,000 65 Chugoku Electric Power 19,300 410 Chukyo Bank 12,000 36 CMK 85,700 884 Coca-Cola West Holdings (B) 21,600 456 COMSYS Holdings 28,000 324 Cosmo Oil 257,800 1,236 Cosmos Initia 10,000 60 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 135 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Daicel Chemical Industries 30,000 $ 194 Daiei 4,050 43 Daifuku 6,755 88 Dainippon Ink and Chemicals 61,000 223 Dainippon Screen Manufacturing 5,000 37 Dainippon Sumitomo Pharma 35,000 365 Daishi Bank 23,000 102 Daito Trust Construction 1,900 101 Daiwa House Industry 25,000 375 Daiwa Securities Group 64,000 736 Denki Kagaku Kogyo 16,000 73 Denso 28,700 1,006 East Japan Railway 184 1,420 EDION 55,600 687 Eighteenth Bank 16,000 65 FamilyMart 7,500 191 Fanuc 24,400 2,328 Fields 4 5 Fuji Fire & Marine Insurance 28,000 110 Fuji Heavy Industries 61,000 293 Fuji Machine Manufacturing 3,400 69 FUJIFILM Holdings 60,500 2,503 Fujikura 34,000 234 Fujitsu 81,000 553 Fukuyama Transporting 107,100 441 Glory 4,300 87 Gunma Bank 225,800 1,555 Gunze 102,300 593 Hakuhodo DY Holdings 3,140 211 Hankyu Holdings (B) 76,000 435 Hirose Electric 2,200 285 HIS 2,400 68 Hitachi 219,900 1,614 Hitachi Capital 11,500 193 Hitachi Construction Machinery 14,100 471 Hitachi High-Technologies 600 16 Hitachi Kokusai Electric 8,000 95 Hitachi Metals 1,000 12 Hokkaido Electric Power 66,300 1,578 Hokkoku Bank 4,000 18 Honda Motor 142,200 4,996 Hoya 23,300 754 Idemitsu Kosan 3,700 425 Iida Home Max 2,200 35 Ines 57,200 399 Inpex Holdings 171 1,502 Isuzu Motors 330,000 1,606 Itochu 115,000 1,255 Japan Airport Terminal 2,400 41 Japan Digital Laboratory 2,000 26 Japan Steel Works (B) 425,700 6,081 Japan Tobacco 1,266 6,589 Japan Wool Textile 21,600 180 JFE Holdings 90,300 5,486 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Joshin Denki 50,100 $ 307 Joyo Bank 33,000 212 JS Group 12,900 271 Kagoshima Bank 11,000 83 Kamigumi 18,000 152 Kaneka 30,000 259 Kansai Electric Power 66,800 1,678 Kato Sangyo 1,300 17 Katokichi 11,500 64 Kawasaki Heavy Industries 84,000 329 Kawasaki Kisen Kaisha (B) 42,000 509 KDDI 134 1,144 Keyence 1,600 342 Kirin Brewery 37,000 572 Kobe Steel 168,000 576 Komatsu 63,000 1,670 Komori 15,000 356 Konica Minolta Holdings 38,500 523 Kumagai Gumi 184,200 348 Kurabo Industries 69,700 204 Kyocera 5,300 520 Kyushu Electric Power 79,800 2,162 Leopalace21 20,700 697 Maeda 7,000 31 Maeda Road Construction 7,000 60 Makita (B) 14,500 602 Marubeni (B) 63,000 440 Matsushita Electric Industrial 124,000 2,616 Matsushita Electric Works 20,000 250 Mazda Motor 7,000 39 Millea Holdings 44,400 1,764 Mitsubishi 231,500 5,635 Mitsubishi Chemical Holdings 287,500 2,514 Mitsubishi Electric 41,000 375 Mitsubishi Estate 241,850 7,425 Mitsubishi Gas Chemical 37,000 309 Mitsubishi Heavy Industries 176,100 1,068 Mitsubishi Paper Mills 250,700 535 Mitsubishi UFJ Financial Group 506 5,820 Mitsubishi UFJ Securities 38,000 437 Mitsuboshi Belting 38,700 227 Mitsui 221,200 4,358 Mitsui Chemicals 189,000 1,364 Mitsui Mining & Smelting 47,000 219 Mitsui OSK Lines 316,000 4,327 Mitsui Sumitomo Insurance 103,600 1,293 Mitsumi Electric 4,600 145 Mizuho Financial Group 413 2,919 Murata Manufacturing 10,100 713 NEC 103,000 524 NGK Spark Plug 40,900 656 Nichicon 50,300 743 Nikon 57,300 1,449 Nintendo 18,345 6,408 -------------------------------------------------------------------------------- 136 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Nippo 65,800 $ 519 Nippon Beet Sugar Manufacturing 139,700 365 Nippon Electric Glass 39,600 632 Nippon Express 12,000 72 Nippon Konpo Unyu Soko 59,400 785 Nippon Mining Holdings 279,600 2,456 Nippon Oil 168,000 1,426 Nippon Sharyo 180,300 401 Nippon Shokubai 14,000 124 Nippon Steel 423,900 2,961 Nippon Telegraph & Telephone 1,097 5,160 Nippon Yusen KK (B) 141,000 1,300 Nissan Motor 428,300 4,761 Nissan Shatai 13,000 71 Nisshin Seifun Group 7,000 72 Nisshin Steel 58,000 238 Nisshinbo Industries 76,000 1,048 Nomura Holdings 21,800 446 NSK 48,000 491 NTT Data 201 959 NTT DoCoMo 600 1,020 NTT Urban Development 408 985 Obayashi 64,000 356 Odakyu Electric Railway (B) 38,200 238 Oita Bank 8,000 52 Okasan Holdings 16,000 109 Oki Electric Industry (B) 202,000 371 Okumura 99,000 492 Ono Pharmaceutical 7,500 430 Onward Kashiyama 30,000 391 ORIX 27,990 7,491 Osaka Gas 128,000 476 Rakuten 470 160 Rengo 48,000 242 Ricoh 53,000 1,153 Riso Kagaku 2,200 39 Rohm 8,000 718 Royal Holdings 3,000 37 Sankyo 8,300 357 Sanwa Shutter 20,000 117 Seikagaku 4,100 47 Seiko Epson 12,400 358 Seino Transportation 17,000 167 Sekisui House 39,000 574 SFCG 3,700 702 Sharp 122,000 2,334 Shimamura 3,200 344 Shin-Etsu Chemical 17,700 1,186 Shinsei Bank 175,000 767 Showa Shell Sekiyu 52,400 634 Sintokogio 4,700 65 SMC 10,000 1,258 Softbank (B) 217,600 4,796 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Sojitz 62,200 $ 270 Sompo Japan Insurance 62,800 788 Sony 112,200 6,457 Stanley Electric 16,600 362 Sumco 110,600 5,320 Sumitomo 189,300 3,434 Sumitomo Bakelite 20,000 141 Sumitomo Chemical 145,000 959 Sumitomo Heavy Industries 123,000 1,396 Sumitomo Metal Industries 306,400 1,658 Sumitomo Metal Mining 80,000 1,822 Sumitomo Mitsui Financial Group 928 8,989 Sumitomo Realty & Development 47,000 1,775 Sumitomo Trust & Banking 8,000 81 Sumitomo Wiring Systems 4,000 94 Suzuki Motor 71,200 1,987 Tachihi Enterprise 400 18 Takeda Pharmaceutical 12,300 825 Takefuji 24,230 893 Tamura Taiko Holdings 71,000 201 TDK 19,200 1,742 Teijin 128,000 683 Toagosei 293,000 1,111 Toda 266,900 1,523 Tohoku Electric Power 7,600 176 Tokai Rika 4,200 109 Tokyo Electric Power 134,200 4,462 Tokyo Electron (B) 28,700 2,062 Tokyo Gas 140,900 694 Tokyu 66,600 458 Tokyu Land 43,400 536 Toppan Printing 40,000 422 Toshiba (B) 626,600 4,681 Toshiba TEC 21,000 121 Tosoh 38,000 194 Towa Real Estate Development 10,000 40 Toyo Seikan Kaisha 30,500 588 Toyota Auto Body 7,700 132 Toyota Industries 10,500 475 Toyota Motor 204,900 12,279 Trend Micro 32,200 1,060 Trusco Nakayama 2,400 47 Uniden 14,000 109 UNY 46,000 513 Ushio 15,900 330 West Japan Railway 100 465 Yahoo! Japan (B) 4,647 1,591 Yamada Denki 13,570 1,277 Yamaha 25,800 544 Yamaha Motor 15,500 394 Yamatane 227,000 319 Yamato Kogyo 5,100 183 Yamato Transport 49,700 721 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 137 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Yamazaki Baking 6,000 $ 54 Yokogawa Bridge 48,700 266 Yokohama Rubber 119,500 861 -------------- 271,139 -------------- LUXEMBOURG -- 0.1% Oriflame Cosmetics SDR 1,700 89 SES Global FDR 38,100 831 SES Global FDR (Paris Exchange) 31,763 692 Ternium ADR 13,100 351 -------------- 1,963 -------------- MALAYSIA -- 0.6% Affin Holdings 166,600 115 Boustead Holdings 155,000 117 Digi.Com 32,000 196 EON Capital 63,000 125 Genting 134,000 311 Hong Leong Bank 70,400 129 Hong Leong Financial Group 64,000 117 IOI 513,100 4,152 Mulpha International* 51,900 29 Petronas Dagangan 33,000 72 Public Bank 117,000 343 Resorts World 2,628,500 2,490 Selangor Properties 2,000 3 Sunway City 110,000 157 Tenaga Nasional 852,900 2,936 -------------- 11,292 -------------- MEXICO -- 1.4% Alfa 63,900 510 America Movil ADR, Ser L 120,020 7,267 America Movil, Ser L 517,500 1,560 Cemex* 246,300 954 Coca-Cola Femsa, Ser L 42,700 171 Consorcio* 1,622,372 2,612 Controladora Comercial Mexicana 76,800 209 Corp Mexicana de Restaurantes 21,600 14 Cydsa* 20,000 16 Embotelladoras Arca 46,700 169 Fomento Economico Mexicano ADR 115,370 4,596 Gruma 2,600 9 Grupo Bimbo, Ser A 67,300 431 Grupo Carso, Ser A1 99,600 421 Grupo Continental 72,400 162 Grupo Financiero Banorte (B) 632,989 2,957 Grupo Mexicano de Desarrollo* 9,900 42 Grupo Mexico, Ser B 122,800 731 Grupo Televisa 12,700 73 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Grupo Televisa ADR 101,100 $ 2,910 Industrias Penoles 11,100 128 Industrias, Ser B* 46,700 222 Organizacion Soriana 114,100 351 Telefonos de Mexico 488,600 984 Telefonos de Mexico ADR, Ser L 9,300 376 Wal-Mart de Mexico, Ser V 5,900 22 -------------- 27,897 -------------- NETHERLANDS -- 3.7% ABN AMRO Holding (B) 81,490 3,907 Aegon (B) 111,176 2,280 Akzo Nobel 97,812 7,983 ASML Holding* 24,428 633 Buhrmann 16,800 219 European Aeronautic Defense and Space 92,940 2,923 Fugro 7,222 423 Heineken (B) 5,174 302 Heineken Holding 8,798 445 ING Groep 319,203 14,222 Koninklijke BAM Groep (B) 50,300 1,495 Koninklijke DSM 17,881 888 Mittal Steel 109,355 6,567 OPG Groep 19,200 694 Randstad Holdings 6,908 563 Reed Elsevier 71,857 1,431 Royal Dutch Shell, Cl A 299,627 11,094 Royal Dutch Shell, Cl A (GBP) (B) 112,950 4,205 Royal Dutch Shell, Cl B 179,858 6,788 Royal KPN 63,082 1,070 Unilever (B) 266,351 7,946 Vedior 700 21 Wolters Kluwer 20,400 635 -------------- 76,734 -------------- NEW ZEALAND -- 0.2% Air New Zealand 317,600 695 Contact Energy 34,149 223 Fisher & Paykel Appliances Holdings 258,000 740 Infratil 66,500 316 Kiwi Income Property Trust 262,400 310 Macquarie Goodman Property Trust 258,000 282 Telecom of New Zealand (B) 385,804 1,380 Vector 77,607 165 -------------- 4,111 -------------- NORWAY -- 0.8% Cermaq 23,000 394 DnB 43,083 581 Ementor* 115,100 973 Marine Harvest* 459,300 508 -------------------------------------------------------------------------------- 138 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Norske Skogindustrier 31,642 $ 475 Orkla (B) 105,155 1,855 Renewable Energy 2,300 73 Schibsted 31,500 1,513 Sparebanken Nord-Norge 21,700 539 Storebrand 46,300 729 Tandberg 107,800 2,429 Telenor (B) 68,900 1,338 Yara International (B) 147,163 4,261 -------------- 15,668 -------------- PHILIPPINES -- 0.1% JG Summit Holdings (J) 755,000 196 Manila Electric (J) 62,000 126 Philippine National Bank (J)* 80,100 93 SM Investments (J) 89,500 788 -------------- 1,203 -------------- POLAND -- 0.1% Bank Handlowy w Warszawie 5,600 255 Echo Investment* 1,400 54 Globe Trade Centre* 10,000 174 Grupa Lotos 14,000 239 ING Bank Slaski 600 217 KGHM Polska Miedz 10,400 426 Orbis 4,868 146 Polish Oil & Gas 80,000 135 Polski Koncern Naftowy Orlen* 47,000 812 Telekomunikacja Polska* 72,000 533 -------------- 2,991 -------------- PORTUGAL -- 0.2% Banco BPI 56,998 497 Banco Comercial Portugues 118,847 603 Banco Espirito Santo 23,989 550 Cimpor Cimentos de Portugal 7,744 76 Energias de Portugal 358,533 2,041 Sonae Industria 8,200 107 -------------- 3,874 -------------- RUSSIA -- 1.6% Cherkizovo Group GDR 46,359 675 LUKOIL ADR 31,067 2,358 LUKOIL Sponsored ADR 12,849 966 Magnitogorsk Iron & Steel Works* 82,690 1,013 MMC Norilsk Nickel ADR 22,145 4,220 Mobile Telesystems ADR 67,400 3,652 Novolipetsk Steel GDR (B) 65,891 1,746 OAO Gazprom ADR 63,700 2,325 Open Investments GDR* 52,000 1,586 Polyus Gold ADR 24,771 949 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Rosneft Oil GDR 238,788 $ 1,886 Rostelecom ADR 4,900 259 Sberbank GDR 8,544 3,101 Surgutneftegaz ADR 1,000 55 Surgutneftegaz ADR (B) 35,501 1,953 Unified Energy System GDR 33,900 4,152 VTB Bank (B) 116,740 1,319 -------------- 32,215 -------------- SINGAPORE -- 1.3% Allgreen Properties 1,122,000 1,349 CapitaCommercial Trust+ 570,200 1,111 CapitaLand 204,000 1,105 Cerebos Pacific 3,000 7 China Aviation Oil Singapore 10,000 13 City Developments 97,700 1,103 Cosco Singapore 1,015,400 1,782 DBS Group Holdings 303,400 4,824 Flextronics International 38,300 442 Fraser and Neave 32,000 121 Guocoland 46,000 150 Haw Par 10,000 51 Ho Bee Investment 8,000 12 Hong Leong Finance 149,100 398 Hotel Plaza 21,000 28 Jardine Cycle & Carriage 22,000 202 K1 Ventures 173,000 35 Keppel Land 382,800 2,339 Kim Eng Holdings+ 319,600 372 Mapletree Logistics Trust 919,200 879 MCL Land 9,000 16 Metro Holdings* 37,000 25 NatSteel 10,000 10 Neptune Orient Lines 440,000 1,320 Olam International 777,900 1,713 Oversea-Chinese Banking 201,400 1,255 SembCorp Industries 26,000 95 Singapore Airlines 63,000 767 Singapore Exchange 110,900 557 Singapore Petroleum 47,000 162 Singapore Technologies Engineering 93,000 214 Singapore Telecommunications* 414,100 970 SP Chemicals 19,000 15 Straits Trading 55,000 162 United Overseas Bank 101,400 1,611 UOB-Kay Hian Holdings 19,000 20 Venture 6,000 60 Wheelock Properties S 23,000 50 Wing Tai Holdings 545,200 1,252 -------------- 26,597 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 139 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SOUTH AFRICA -- 0.9% African Rainbow Minerals* 14,000 $ 241 Allied Technologies 6,000 55 AngloGold Ashanti 9,900 406 Assore 4,923 190 DataTec 15,293 87 Distell Group 16,000 121 Harmony Gold Mining* 32,500 474 Harmony Gold Mining ADR* 24,200 361 Impala Platinum Holdings 4,000 123 Johnnic Communications 4,000 58 Johnnic Holdings 62,458 128 Lewis Group 3,000 28 Liberty Group 24,000 310 Liberty Holdings 2,400 78 Merafe Resources 909,672 235 Metropolitan Holdings 66,000 151 Mittal Steel South Africa 43,000 765 MTN Group 8,000 110 Nampak 7,696 23 Sanlam 1,230,410 3,977 Sappi (B) 163,598 3,058 Sasol 147,817 5,340 Standard Bank Group 108,100 1,599 Telkom 39,000 940 -------------- 18,858 -------------- SOUTH KOREA -- 2.6% Daegu Bank 4,180 68 Daewoo Shipbuilding & Marine Engineering 82,260 4,053 Dongbu Insurance 2,800 88 Doosan 2,290 328 E1 1,596 156 GS Holdings 5,030 257 Honam Petrochemical 6,000 649 Hynix Semiconductor 15,700 486 Hyundai Development 43,250 3,014 Hyundai Heavy Industries 3,780 1,291 Hyundai Mipo Dockyard 1,750 443 Hyundai Mobis 8,070 732 Hyundai Motor 36,150 2,558 Industrial Bank of Korea 10,680 215 KCC Engineering & Construction 2,560 177 KISWIRE 2,710 117 Kookmin Bank 6,040 547 Kookmin Bank ADR 5,920 535 Kookmin Bank ADR (B) 32,363 2,925 Korea Electric Power 25,130 1,106 Korea Kumho Petrochemical 2,770 154 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- KT 1,400 $ 67 KT&G 7,750 568 LG Chem 110 8 LG Electronics 3,810 287 LG Home Shopping 1,514 128 LG Philips LCD 68,710 2,845 Lotte Confectionery 83 108 LS Cable 4,710 332 Nong Shim Holdings 1,110 104 Pacific 160 29 POSCO 4,660 2,238 Pusan Bank 13,950 212 Samsung Electronics 12,821 7,387 Samsung Electronics GDR 3,984 1,141 Samsung Fire & Marine Insurance 12,729 2,296 Samsung Heavy Industries 7,580 334 Samwhan 3,580 138 SFA Engineering 2,225 96 Shinhan Financial Group 114,960 7,095 Shinhan Financial Group ADR 1,300 160 Shinsegae 3,723 2,666 Shinyoung Securities 2,160 123 SK 7,018 794 SK Gas 2,250 191 SK Telecom 519 113 SK Telecom ADR 24,500 658 Woori Finance Holdings 20,330 483 Woori Investment & Securities 77,710 2,155 -------------- 52,655 -------------- SPAIN -- 2.3% Acerinox (B) 5,792 148 ACS Actividades Construcciones y Servicios (B) 112,893 7,562 Banco Bilbao Vizcaya Argentaria (B) 190,964 4,826 Banco Popular Espanol (B) 39,539 792 Banco Santander Central Hispano (B) 431,419 8,290 Cementos Portland Valderrivas 1,297 182 Ebro Puleva 38,941 860 Gas Natural SDG (B) 93,204 5,497 Grupo Ferrovial 6,000 637 Iberdrola 68,588 3,944 Inditex (B) 9,165 579 Repsol (B) 196,947 7,222 Sacyr Vallehermoso (B) 12,390 710 Sol Melia 18,200 432 Telefonica (B) 206,299 4,689 Union Fenosa 3,136 185 -------------- 46,555 -------------- -------------------------------------------------------------------------------- 140 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- SWEDEN -- 1.4% Alfa Laval 1,100 $ 69 Assa Abloy, Cl B 19,200 432 Atlas Copco, Cl A 327,700 5,511 Axfood 9,550 358 Boliden 25,000 519 D Carnegie 3,300 66 Hennes & Mauritz, Cl B 3,300 209 Husqvarna, Cl B 22,800 346 Industrivarden, Cl A 21,800 481 Investor, Cl B 153,100 3,976 Klovern 94,900 445 Kungsleden 655 10 Nordea Bank 93,000 1,534 Sandvik 61,915 1,153 Skandinaviska Enskilda Banken, Cl A 25,570 842 SKF 24,500 526 Svenska Cellulosa, Cl B 161,489 2,798 Svenska Handelsbanken, Cl A 35,263 1,041 Swedish Match 11,269 209 Tele2, Cl B 36,000 601 Telefonaktiebolaget LM Ericsson, Cl B 736,364 2,796 TeliaSonera 371,529 2,755 Trelleborg, Cl B 9,800 312 Volvo, Cl B 81,000 1,699 Wihlborgs Fastigheter 2,623 56 -------------- 28,744 -------------- SWITZERLAND -- 3.8% ABB 61,666 1,318 Addax Petroleum 13,000 499 Adecco (B) 7,103 518 AFG Arbonia-Forster Holdings 700 363 Bobst Group 516 33 Bucher Industries 2,200 332 Ciba Specialty Chemicals 5,100 329 Clariant 23,700 404 Compagnie Financiere Richemont, Cl A 57,764 3,552 Credit Suisse Group 97,077 7,379 Elektrizitaets-Gesellschaft Laufenburg 240 300 Energiedienst Holding 480 269 Forbo Holding 550 303 Geberit 304 53 Georg Fischer* 813 624 Gurit Holding 100 122 Helvetia Holding 800 322 Holcim 39,196 4,334 Inficon Holding 3,800 667 Kudelski 10,500 408 Nestle 14,191 5,524 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Novartis 192,053 $ 10,790 Phonak Holding 3,138 300 Rieter Holding 144 80 Roche Holding 69,777 12,800 Swatch Group 5,858 339 Swiss Life Holding 2,300 619 Swiss Reinsurance (B) 61,264 5,829 Swisscom (B) 6,154 2,166 UBS 105,945 6,908 Xstrata 126,167 7,242 Zurich Financial Services 12,277 3,754 -------------- 78,480 -------------- TAIWAN -- 1.6% Acer 231,000 427 Advanced Semiconductor Engineering 2,277,873 2,620 Asustek Computer 255,000 629 AU Optronics 348,140 537 Capital Securities 191,000 87 Cheng Loong 269,000 105 China Development Financial Holding 1,187,000 478 China Steel 611,000 712 Chinatrust Financial Holding 3,057,600 2,318 Chunghwa Telecom* 437,000 820 Compal Electronics 500,000 454 CTCI 157,000 129 Delta Electronics* 154,000 503 Eastern Media International 390,000 113 Far Eastern Textile 360,000 359 Far EasTone Telecommunications 249,000 295 Formosa Chemicals & Fibre 214,000 439 Formosa Taffeta 227,000 215 HON HAI Precision Industry 424,215 2,998 HON HAI Precision Industry GDR 26,454 380 Hung Sheng Construction 108,000 83 Inventec* 463,000 333 KYE Systems 46,000 65 Lite-On Technology 386,000 456 MediaTek 219,000 3,467 Mitac International 260,000 338 Nan Ya Plastic* 449,000 870 Nien Hsing Textile 263,000 174 Powerchip Semiconductor 652,000 388 President Securities 242,000 132 ProMOS Technologies 820,000 338 Quanta Computer* 284,000 430 Shih Wei Navigation 80,000 110 Siliconware Precision Industries 1,856,507 3,877 Sincere Navigation 73,000 112 Taiwan Cement 396,000 373 Taiwan Cooperative Bank 332,000 224 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 141 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Taiwan Polypropylene 28,000 $ 22 Taiwan Semiconductor Manufacturing 399,399 824 Taiwan Semiconductor Manufacturing ADR 386,870 4,221 Tung Ho Steel Enterprise 258,000 288 United Microelectronics 809,192 470 Walsin Lihwa 656,000 345 Winbond Electronics* 546,000 197 Wistron 144,000 243 -------------- 32,998 -------------- THAILAND -- 0.3% Bangkok Bank NVDR (J) 133,000 442 CalComp Electronics Thailand NVDR (J) 589,200 90 Kasikornbank NVDR (J) 172,000 342 Krung Thai Bank NVDR (J) 786,000 250 PTT (J) 34,400 254 PTT (Foreign) (J) 336,300 2,487 Siam Commercial Bank (Public) (J) 867,300 1,750 Thai Airways International NVDR (J) 124,000 160 -------------- 5,775 -------------- TURKEY -- 0.2% Anadolu Isuzu Otomotiv Sanayi 9,000 62 Aygaz 27,000 107 Bossa Ticaret Sanayi Isletme 32,000 45 Eczacibasi Ilac Sanayi 20,902 96 Ford Otomotiv Sanayi 21,000 207 Haci Omer Sabanci Holding 578,747 2,697 Ihlas Holding 134,000 79 KOC Holding 75,000 412 Petrol Ofisi 42,000 216 Tupras Turkiye Petrol Rafine 10,000 237 Turk Hava Yollari 24,000 153 Turk Sise ve Cam Fabrikalari 48,000 195 Turk Traktor ve Ziraat Makineler 6,000 62 Turkcell Iletisim Hizmet 15,000 101 Vestel Elektronik Sanayi 50,029 133 Yazicilar Holding 8,000 60 -------------- 4,862 -------------- UNITED KINGDOM -- 11.5% 3i Group 18,491 444 Acergy 162,950 3,671 Amec 268,140 3,156 Anglo American 217,335 13,065 Antofagasta 22,700 250 ARM Holdings 63,141 176 AstraZeneca 154,475 8,207 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- AstraZeneca (SEK) 15,850 $ 839 Aviva 354,833 5,601 BAE Systems 756,000 6,688 Balfour Beatty 8,818 80 Barclays 755,687 10,793 Barratt Developments 47,656 1,028 Bellway 9,119 259 Berkeley Group Holdings 18,100 677 BHP Billiton 113,628 2,765 Bovis Homes Group 15,614 327 BP 934,845 10,439 Brit Insurance Holdings 33,800 232 British Airways 42,504 395 British American Tobacco 70,534 2,387 British Energy Group 338,000 3,512 British Land+ 48,179 1,379 BT Group 268,154 1,748 Burberry Group 214,950 2,906 Cable & Wireless 6,000 23 Cadbury Schweppes 33,625 473 Carnival 23,488 1,216 Carphone Warehouse Group 44,000 262 Cattles 8,020 66 Centrica 646,199 4,899 Charter 8,104 166 Close Brothers Group 4,196 78 Compass Group 155,500 1,160 Cookson Group 10,001 142 Daily Mail & General Trust 3,025 50 Davis Service Group 6,814 88 Diageo 281,005 5,987 Drax Group 4,919 78 DS Smith 70,900 351 Emap 3,952 68 Enterprise Inns 27,626 403 Firstgroup 5,500 75 FKI 130,300 356 Friends Provident 160,985 631 GKN 74,300 575 GlaxoSmithKline 300,490 7,787 Greene King 96,693 2,129 Group 4 Securicor 45,844 199 Hammerson+ 2,946 93 Hays 41,626 143 HBOS 458,192 9,852 Home Retail Group 188,353 1,758 HSBC Holdings 619,920 11,453 Hunting 42,400 671 Imperial Tobacco Group 73,389 3,170 Intercontinental Hotels Group 25 1 International Power 18,852 169 -------------------------------------------------------------------------------- 142 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Market Value Description Shares ($ Thousands) -------------------------------------------------------------------------------- Investec 32,000 $ 438 J Sainsbury 30,626 338 Kazakhmys 43,000 1,104 Kelda Group 35,000 708 Kingfisher 173,600 852 Kingston Communications 272,100 397 Land Securities Group+ 1,443 56 Legal & General Group 297,896 906 Liberty International+ 27,281 655 Lloyds TSB Group 132,466 1,507 LogicaCMG 110,702 363 Luminar 28,200 441 Marks & Spencer Group 364,000 5,033 Marston's 170,100 1,574 Michael Page International 36,801 415 Millennium & Copthorne Hotels 27,100 401 Minerva 224,900 1,788 Mitchells & Butlers 94,951 1,666 National Grid 207,828 3,219 Nestor Healthcare Group 10,900 35 Next 20,311 887 Northern Foods 357,900 899 Old Mutual 409,956 1,405 Pearson 19,537 347 Persimmon 34,100 921 Premier Oil 25,200 551 Prudential 111,000 1,661 Punch Taverns 40,320 1,072 Reckitt Benckiser 25,627 1,392 Reed Elsevier 32,200 435 Resolution 58,671 733 Reuters Group 90,400 1,123 Rio Tinto 42,802 3,107 Royal & Sun Alliance Insurance Group 467,158 1,463 Royal Bank of Scotland Group 1,354,499 16,813 SABMiller 142,837 3,396 Scottish & Newcastle 100,866 1,295 Scottish & Southern Energy 65,140 1,962 Segro+ 35,000 496 Severn Trent 18,300 569 Smith & Nephew 410,100 5,029 Smiths Group 44,000 990 St Ives Group 65,100 357 Stagecoach Group 85,307 312 Standard Chartered 54,707 1,850 Tate & Lyle 41,897 498 Taylor Woodrow 5,895 53 TDG 139,800 859 Tesco 226,300 2,054 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Trinity Mirror 11,453 $ 130 Unilever 70,172 2,164 United Utilities 54,803 836 Vodafone Group 6,279,975 19,627 Whitbread 14,300 536 Wimpey George 110,177 1,369 WPP Group 79,800 1,179 Yell Group 117,900 1,179 -------------- 237,041 -------------- Total Common Stock (Cost $1,391,053) ($ Thousands) 1,694,453 -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.4% FHLMC 6.000%, 07/01/21 $ 6,960 7,030 6.000%, 08/01/21 970 980 6.000%, 10/01/21 10,427 10,532 6.000%, 11/01/21 873 882 6.000%, 03/01/22 4,951 5,000 6.000%, 04/01/22 2,984 3,014 FNMA 5.500%, 12/01/20 3,594 3,568 5.500%, 02/01/21 909 902 FNMA TBA 6.500%, 06/01/37 32,000 32,500 6.000%, 06/17/19 4,000 4,040 6.000%, 06/01/37 6,000 5,992 5.500%, 06/01/22 24,000 23,812 5.000%, 06/17/21 27,000 26,317 GNMA ARM 5.625%, 02/20/34 391 396 5.500%, 06/30/07 506 509 5.500%, 08/20/34 760 765 5.000%, 01/20/33 774 781 5.000%, 04/20/34 428 430 4.750%, 12/20/33 2,140 2,140 4.500%, 06/20/36 1,492 1,496 4.000%, 02/20/35 361 362 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $132,185) ($ Thousands) 131,448 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 143 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 5.7% MORTGAGE RELATED SECURITIES -- 5.7% ACE Securities, Ser 2003-NC1, Cl M (D) 6.100%, 06/25/07 $ 650 $ 652 ACE Securities, Ser 2003-OP1, Cl M1 (D) 6.020%, 06/26/07 300 301 Aames Mortgage Investment Trust, Ser 2005-4, Cl B2 (D) 8.070%, 06/12/07 150 128 Adjustable Rate Mortgage Trust, Ser 2005-5, Cl 1A1 (D) 4.952%, 06/01/07 1,131 1,130 Aegis Asset Backed Securities Trust, Ser 2003-3, Cl M1 (D) 6.020%, 06/25/07 69 69 American Home Mortgage Investment Trust, Ser 2004-3, Cl 2A (D) 3.590%, 09/01/07 3,793 3,857 American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A (D) 5.294%, 06/25/07 4,502 4,464 American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A (D) 5.350%, 06/25/07 3,293 3,303 American Home Mortgage Investment Trust, Ser 2006-1, Cl 2A3 (D) 5.100%, 06/25/07 1,365 1,352 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 (D) 6.220%, 06/25/07 475 475 Argent Securities, Ser 2003-W5, Cl M1 (D) 6.020%, 06/25/07 250 252 Argent Securities, Ser 2003-W9, Cl M1 (D) 6.010%, 06/26/07 369 371 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE5, Cl M1 (D) 6.070%, 06/15/07 456 457 Banc of America Commercial Mortgage, Ser 2006-2, Cl A1 5.611%, 05/10/45 993 996 Banc of America Funding, Ser 2006-A, Cl 2A2 (D) 5.566%, 06/01/07 175 179 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Basic Asset Backed Securities Trust, Ser 2006-1, Cl A1 (D) 5.400%, 06/25/07 $ 1,406 $ 1,406 Bear Stearns Alt-A Trust, Ser 2004-12, Cl 2A2 4.943%, 06/01/07 1,650 1,664 Chase Funding Mortgage Loan, Ser 2003-1, Cl 1A4 4.119%, 02/25/29 66 66 Chase Funding Mortgage Loan, Ser 2004-2, Cl 1A3 4.209%, 09/25/26 283 281 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 (D) 4.975%, 06/01/07 948 961 Countrywide Alternative Loan Trust, Ser 2005-69, Cl M3 (D) 6.470%, 06/27/07 220 217 Countrywide Alternative Loan Trust, Ser 2005-IM1, Cl M3 (D) 7.320%, 06/27/07 380 356 Countrywide Alternative Loan Trust, Ser 2006-0A11, Cl M3 (D) 5.750%, 06/30/07 450 449 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 (D) 6.920%, 01/25/34 303 306 Countrywide Asset-Backed Certificates, Ser 2004-11, Cl A2 (D) 5.700%, 06/25/07 109 109 Countrywide Asset-Backed Certificates, Ser 2005-15, Cl 1AF1 (D) 5.460%, 06/25/07 472 473 Countrywide Asset-Backed Certificates, Ser 2006-IM1, Cl A1 (D) 5.410%, 06/27/07 432 432 Countrywide Home Equity Loan Trust, Ser 2006-D, Cl 2A (D) 5.520%, 06/30/07 2,263 2,261 Countrywide Home Loans, Ser 2004-22, Cl A1 (D) 5.084%, 06/01/07 624 618 Countrywide Home Loans, Ser 2006-HYB2, Cl 1A1 (D) 5.054%, 06/20/07 1,826 1,821 Countrywide Home Loans, Ser 2007-HYB1, Cl 1A1 (D) 5.581%, 06/01/07 1,499 1,496 -------------------------------------------------------------------------------- 144 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Credit Suisse Asset-Backed Mortgage Trust, Ser 2006-1, Cl A1B (D) 5.540%, 06/26/07 $ 475 $ 475 Credit Suisse Asset-Backed Mortgage Trust, Ser 2007-1, Cl 1A1A (D) 5.898%, 12/25/37 4,192 4,190 DLSA Mortgage Loan Trust, Ser 2006-AR1, Cl M4 (D) 6.060%, 06/19/07 250 246 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 (D) 5.920%, 06/19/07 321 324 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M5 (D) 6.130%, 06/19/07 150 147 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl M7 (D) 7.070%, 06/19/07 150 147 Deutsche Alternatives Securities Mortgage Loan Trust, Ser 2006-AB3, Cl A1 (D) 6.250%, 06/30/36 1,150 1,150 Duke Funding, Ser 2004-6B, Cl A1S1 (C) (D) (F) 5.420%, 07/09/07 2,224 2,224 First Franklin Mortgage Loan Asset, Ser 2004-FF10, Cl A2 (D) 5.720%, 06/26/07 108 108 First Franklin Mortgage Loan Asset, Ser 2005-FF4, Cl 2A3 (D) 5.540%, 06/25/07 1,762 1,763 First Horizon Alternative Mortgage Trust, Ser 2006-AA6, Cl 2A1 (D) 5.686%, 06/01/07 5,372 5,364 First Horizon Mortgage Pass-Through Trust, Ser 2006-AR3, Cl 1A1 (D) 5.695%, 06/01/07 1,567 1,561 GMAC Mortgage Loan Trust, Ser 2006-HE1, Cl A (D) 5.530%, 06/25/07 5,400 5,396 GSAA Home Equity NIM Trust, Ser 2006-2, Cl 2A1 (D) 5.420%, 06/27/07 2,343 2,342 GSAA Home Equity NIM Trust, Ser 2006-HE3N, Cl N1 (F) 5.500%, 05/25/36 62 44 Greenpoint Mortgage Funding Trust, Ser 2006-AR1, Cl M3 (D) 5.890%, 06/27/07 350 348 HSI Asset Securitization Trust, Ser 2005-NC2, Cl M2A1 (D) 5.450%, 06/25/07 348 348 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Home Equity Asset NIM Trust, Ser 2003-4, Cl M2 (D) 7.220%, 06/25/07 $ 350 $ 351 Home Equity Asset NIM Trust, Ser 2006-1N, Cl A (F) 6.500%, 05/27/36 55 41 Impac NIM Trust, Ser 2006-1, Cl N (F) 6.000%, 03/25/36 12 12 Indymac Mortgage Loan Trust, Ser 2004-AR11, Cl 4A1 (D) 5.807%, 06/01/07 2,195 2,192 Indymac Mortgage Loan Trust, Ser 2004-AR6, Cl 1A (D) 5.495%, 06/01/07 259 259 Lehman Mortgage Trust, Ser 2006-4, Cl 4A1 6.000%, 08/25/21 3,783 3,808 Lehman XS Trust, Ser 2005-5N, Cl M4 (D) 7.070%, 06/30/07 575 514 Lehman XS Trust, Ser 2005-7N, Cl M71 (D) 7.070%, 06/27/07 335 298 MLCC Mortgage Investors, Ser 2006-1, Cl 1A1 (D) 5.328%, 06/01/07 2,083 2,099 Master Adjustable Rate Mortgages, Ser 2004-6, Cl 2A1 (D) 5.329%, 07/25/34 3,114 3,117 Master Adjustable Rate Mortgages, Ser 2005-2, Cl 3A1 (D) 4.756%, 06/01/07 1,668 1,677 Master Asset Backed Securities Trust, Ser 2006-AB1, Cl A1 (D) 5.460%, 06/27/07 2,233 2,233 Merrill Lynch Mortgage Investors Trust, Ser 2003-HE1, Cl M2 (D) 6.970%, 06/25/07 177 177 Merrill Lynch Mortgage Investors Trust, Ser 2005-HE2, Cl A2A (D) 5.430%, 06/27/07 211 211 Morgan Stanley, Ser 2003-NC10, Cl M1 (D) 6.000%, 06/27/07 621 621 New Century Home Equity Loan Trust, Ser 2004-A, Cl AII3 (D) 4.450%, 06/01/07 597 593 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 (G) 4.461%, 06/25/07 1,315 1,304 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 (F) 6.500%, 03/25/34 360 365 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 145 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Nomura Asset Acceptance, Ser 2004-R2, Cl A1 (D) (F) 6.500%, 10/25/34 $ 436 $ 441 Nomura Asset Acceptance, Ser 2007-1, Cl 1A1A (G) 5.995%, 06/09/07 2,119 2,119 Novastar Home Equity Loan, Ser 2007-1, Cl A2A (D) 5.420%, 06/30/07 3,592 3,592 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 (D) 5.970%, 06/23/07 373 374 Option One Mortgage Loan Trust, Ser 2006-1, Cl M10 (D) (F) 7.820%, 06/27/07 70 62 Option One Mortgage Loan Trust, Ser 2006-1, Cl M11 (D) (F) 7.820%, 06/27/07 150 115 Renaissance Home Equity Loan Trust, Ser 2004-2, Cl AF3 (G) 4.464%, 07/25/34 206 204 Residential Accredit Loans, Ser 2005-Q05, Cl M3 (D) 6.120%, 06/25/07 349 348 Residential Accredit Loans, Ser 2005-QA3, Cl NB2 (D) 5.248%, 06/25/07 1,677 1,674 Residential Accredit Loans, Ser 2006-Q01, Cl 2A3 (D) 5.720%, 06/27/07 338 338 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 (D) 6.050%, 06/25/07 54 54 Residential Asset Mortgage Products, Ser 2006-RZ1, Cl A1 (D) 5.400%, 06/27/07 3,167 3,168 Residential Asset Mortgage Products, Ser 2007-RS1, Cl A1 5.400%, 06/09/07 2,887 2,886 Residential Asset Securities, Ser 2006-EMX2, Cl A1 (D) 5.400%, 06/27/07 992 992 Residential Asset Securities, Ser 2006-KS2, Cl A1 (D) 5.390%, 06/27/07 1,425 1,425 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 (D) 5.275%, 06/25/07 1,527 1,518 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2A (D) (F) 5.420%, 06/25/07 1,299 1,299 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B (D) (F) 5.470%, 06/25/07 1,500 1,500 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- SB Finance NIM Trust, Ser 2006-KS4N, Cl N1 (F) 7.500%, 06/25/36 $ 62 $ 62 Sharps SP I LLC NIM Trust, Ser 2005-HE3N, Cl N (F) 5.000%, 05/25/35 102 100 Structured Adjustable Rate Mortgage Loan, Ser 2005-16 XS, Cl M2 (D) 6.220%, 06/25/07 205 203 Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 (D) 8.320%, 06/25/07 371 372 Structured Asset Investment Loan Trust, Ser 2005-1, Cl A4 (D) (F) 5.550%, 06/25/07 249 249 Structured Asset Investment Loan Trust, Ser 2005-8, Cl A2 (D) 5.450%, 06/25/07 215 215 Structured Asset Securities, Ser 2007-GEL2, Cl A1 5.470%, 06/25/07 4,082 4,082 Terwin Mortgage Trust, Ser 2006-5, Cl 1A2A (D) (F) 5.410%, 06/26/07 3,000 3,000 Terwin Mortgage Trust, Ser 2006-6, Cl 2A1 (D) 4.500%, 06/25/36 441 437 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY2, Cl 1A1 (D) 5.776%, 04/25/37 1,952 1,957 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY4, Cl 1A1 (D) 5.575%, 06/01/07 3,848 3,812 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl HY6 (D) 5.707%, 06/25/37 3,000 2,999 Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1 (D) 5.371%, 06/01/07 216 217 -------------- Total Asset-Backed Securities (Cost $116,771) ($ Thousands) 116,765 -------------- CORPORATE OBLIGATIONS -- 3.5% CONSUMER DISCRETIONARY -- 0.1% CVS Caremark 5.750%, 06/01/17 305 301 Comcast 5.300%, 01/15/14 520 508 -------------------------------------------------------------------------------- 146 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Cox Communications 4.625%, 06/01/13 $ 415 $ 392 Time Warner 6.875%, 05/01/12 415 436 -------------- 1,637 -------------- ENERGY -- 0.1% Dominion Resources 4.750%, 12/15/10 280 273 Exelon Generation 6.950%, 06/15/11 415 434 Kinder Morgan Energy Partners 5.000%, 12/15/13 415 396 -------------- 1,103 -------------- FINANCIALS -- 3.3% Aetna 5.750%, 06/15/11 415 419 American General Finance (C) (D) (F) 5.370%, 06/15/07 4,300 4,300 Bear Stearns 5.350%, 02/01/12 555 550 Bear Stearns EXL (C) (D) 5.360%, 06/15/07 5,279 5,279 Capmark Financial Group 6.300%, 05/10/17 77 77 5.875%, 05/10/12 155 154 Cit Group 5.000%, 02/13/14 555 525 Countrywide Financial Services MTN (C) (D) 5.430%, 06/27/07 1,779 1,779 Countrywide Financial Services MTN, Ser A (C) (D) 5.440%, 08/06/07 4,448 4,448 Credit Suisse First Boston USA 6.500%, 01/15/12 280 292 Genworth Financial 5.750%, 06/15/14 415 417 Goldman Sachs 5.500%, 11/15/14 835 826 HSBC Finance 6.375%, 10/15/11 415 427 Irish Life & Permanent MTN, Ser X (C) (D) (F) 5.360%, 06/21/07 3,944 3,944 Istar Financial+ 5.875%, 03/15/16 280 272 JPMorgan Chase 5.125%, 09/15/14 415 404 Jackson National Life Funding (C) (D) (F) 5.320%, 06/01/07 6,524 6,524 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers Holdings MTN 5.750%, 05/17/13 $ 140 $ 141 5.500%, 04/04/16 275 270 Merrill Lynch 6.050%, 05/16/16 415 420 Morgan Stanley 4.750%, 04/01/14 415 391 Morgan Stanley EXL (C) (D) 5.400%, 06/04/07 1,038 1,038 Morgan Stanley EXL, Ser S (C) (D) 5.360%, 06/04/07 1,483 1,483 Morgan Stanley MTN, Ser G (D) 5.650%, 07/04/07 595 594 Nationwide Building Society (C) (D) (F) 5.410%, 06/28/07 1,631 1,631 5.370%, 06/07/07 2,966 2,966 Northern Rock (C) (D) (F) 5.380%, 06/04/07 3,055 3,055 Premium Asset Trust, Ser 2004-10 (C) (D) (F) 5.380%, 06/15/07 4,152 4,152 Residential Capital 6.875%, 06/30/15 80 80 6.500%, 04/17/13 980 969 6.000%, 02/22/11 220 216 SLM EXL MTN (C) (D) 5.320%, 06/15/07 3,262 3,262 Shinsei Finance Cayman (D) (F) 6.418%, 01/29/49 545 542 Simon Property Group+ 5.750%, 12/01/15 280 281 5.600%, 09/01/11 300 301 Skandinav Enskilda Bank (C) (D) (F) 5.320%, 06/18/07 3,262 3,262 Stanfield Victoria MTN (C) (F) 5.450%, 06/11/07 2,966 2,966 UniCredito Italiano Bank (C) (D) (F) 5.350%, 07/11/07 7,414 7,413 Wachovia 5.300%, 10/15/11 965 959 4.875%, 02/15/14 280 269 Washington Mutual Preferred Funding (B) (D) (F) 6.534%, 03/15/49 600 586 -------------- 67,884 -------------- HEALTH CARE -- 0.0% Teva Pharmaceutical 5.550%, 02/01/16 415 404 Wellpoint 6.800%, 08/01/12 280 294 -------------- 698 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 147 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- INDUSTRIALS -- 0.0% Lafarge 6.150%, 07/15/11 $ 250 $ 255 US Steel 5.650%, 06/01/13 165 164 -------------- 419 -------------- TELECOMMUNICATION SERVICES -- 0.0% Vodafone Group 5.625%, 02/27/17 320 312 5.350%, 02/27/12 110 109 -------------- 421 -------------- Total Corporate Obligations (Cost $72,043) ($ Thousands) 72,162 -------------- PREFERRED STOCK -- 1.3% AUSTRALIA -- 0.0% News 2,988 67 -------------- BRAZIL -- 1.1% Acesita 8,100 296 Banco Bradesco 32,600 821 Banco Itau Holding Financeira 11,000 484 Centrais Eletricas Brasileiras, Cl B 23,658,000 619 Centrais Eletricas de Santa Catarina 4,800 102 Cia Brasileira de Petroleo Ipiranga 6,300 78 Cia de Bebidas das Americas* 99,000 67 Cia Energetica de Minas Gerais 89,427,772 3,493 Cia Paranaense de Energia 21,166,000 314 Cia Vale do Rio Doce, Cl A 51,200 1,956 Construtora Sultepa 600 2 Gerdau 14,800 334 Industrias J B Duarte* 1,200 -- Magnesita 6,157,000 90 Mangels Industrial 1,400 15 NET Servicos de Comunicacao* 190,354 3,176 Paranapanema* 7,900 156 Petroleo Brasileiro 136,800 3,276 Tam 110,542 3,748 Tele Norte Leste Participacoes 22,800 435 Telecomunicacoes de Sao Paulo 3,700 108 Telemar Norte Leste 9,000 243 Usinas Siderurgicas de Minas Gerais, Cl A 31,800 1,779 -------------- 21,592 -------------- GERMANY -- 0.1% Porsche 837 1,480 -------------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ITALY -- 0.1% Istituto Finanziario Industriale 50,500 $ 2,041 -------------- SOUTH KOREA -- 0.0% Hyundai Motor (Second Preferred) 9,150 358 Samsung Electronics 1,000 452 -------------- 810 -------------- Total Preferred Stock (Cost $18,753) ($ Thousands) 25,990 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.8% FHLMC (A) (H) 5.249%, 11/09/07 $ 7,375 7,209 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 8,564 2,161 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 1,461 367 FNMA (A) (H) 5.213%, 08/01/07 100 99 5.204%, 06/27/07 1,095 1,091 4.680%, 06/01/07 650 650 FNMA CMO STRIPS, Ser 10, Cl FD (D) 5.670%, 06/25/07 1,806 1,810 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 572 143 FNMA CMO STRIPS, Ser 360, Cl 2, IO 5.000%, 08/01/35 9,781 2,481 FNMA CMO STRIPS, Ser 377, Cl 2, IO 5.000%, 10/01/36 1,731 450 -------------- Total U.S. Government Agency Obligations (Cost $16,124) ($ Thousands) 16,461 -------------- EQUITY LINKED WARRANT -- 0.3% TAIWAN -- 0.3% HON HAI Precision Industry* 718 5,067 -------------- Total Equity Linked Warrant (Cost $3,804) ($ Thousands) 5,067 -------------- -------------------------------------------------------------------------------- 148 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- EXCHANGE TRADED FUND -- 0.0% iShares MSCI EAFE Index Fund* 700 $ 57 -------------- Total Exchange Traded Fund (Cost $56) ($ Thousands) 57 -------------- Number of Rights --------- RIGHTS -- 0.0% BRAZIL -- 0.0% Ambev, Expires 04/30/08* 66 -- -------------- Total Rights (Cost $--) ($ Thousands) -- -------------- CASH EQUIVALENTS -- 6.0% UNITED STATES -- 6.0% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 43,852,077 43,852 SEI Liquidity Fund, L.P., 5.490% (C)**++ 80,072,000 80,072 -------------- Total Cash Equivalents (Cost $123,924) ($ Thousands) 123,924 -------------- TIME DEPOSITS -- 2.4% Brown Brothers Harriman 7.750%, 06/01/07 ZAR 2,360 332 6.950%, 06/01/07 NZD 39 29 5.408%, 06/01/07 AUD 111 91 4.770%, 06/01/07 43,909 43,909 4.760%, 06/01/07 GBP 131 259 3.350%, 06/01/07 CAD 179 167 3.250%, 06/01/07 HKD 2,706 346 3.150%, 06/01/07 NOK 3 1 3.030%, 06/01/07 EUR 1,388 1,868 3.000%, 06/01/07 DKK 15 3 2.350%, 06/01/07 SEK 343 50 1.293%, 06/01/07 CHF 1,992 1,625 1.150%, 06/01/07 SGD 29 19 0.100%, 06/01/07 JPY 47,260 388 -------------- Total Time Deposits (Cost $49,087) ($ Thousands) 49,087 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (C) (E)-- 1.1% KKR Pacific Funding Trust 5.310%, 06/15/07 5,368 $ 5,357 OCALA Funding LLC 5.310%, 06/19/07 2,224 2,218 Rhineland Funding Capital 5.280%, 06/06/07 1,090 1,089 Thornburg Mortgage Capital Resources 5.290%, 06/07/07 5,931 5,926 Valour Bay Capital LLC 5.320%, 06/11/07 2,421 2,417 5.320%, 06/13/07 4,448 4,441 -------------- Total Commercial Paper (Cost $21,448) ($ Thousands) 21,448 -------------- U.S. TREASURY OBLIGATIONS (E) -- 0.7% U.S. Treasury Bills 4.922%, 06/14/07 (A) 200 200 4.813%, 08/23/07 (A) 3,233 3,198 4.721%, 07/26/07 2,530 2,512 3.624%, 06/21/07 1,460 1,456 U.S. Treasury Inflationary Index Notes 3.875%, 04/15/29 1,249 1,534 2.375%, 04/15/11 5,618 5,586 -------------- Total U.S. Treasury Obligations (Cost $14,518) ($ Thousands) 14,486 -------------- CERTIFICATES OF DEPOSIT (C) -- 0.2% Barclays Bank (D) 5.440%, 06/11/07 1,483 1,483 CC USA (F) 5.520%, 06/18/07 2,965 2,965 -------------- Total Certificates of Deposit (Cost $4,448) ($ Thousands) 4,448 -------------- MASTER NOTE (C) (E)-- 0.1% Bear Stearns 5.430%, 06/01/07 2,966 2,966 -------------- Total Master Note (Cost $2,966) ($ Thousands) 2,966 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 149 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (C) (I) -- 1.8% Barclays Capital 5.280%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $1,022,307 (collateralized by a U.S. Government obligation, par value $1,042,709, 0.000%, 06/01/07, total market value $1,042,605) $ 1,022 $ 1,022 Deutsche Bank 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $2,918,710 (collateralized by U.S. Government obligations, ranging in par value $16,133-$960,858, 4.000%- 6.000%, 02/01/08-11/04/20, total market value $2,976,656) 2,918 2,918 Lehman Brothers 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $32,626,524 (collateralized by U.S. Government obligations, ranging in par value $6,892,169-$56,484,837, 3.875%- 8.875%, 06/15/08-03/15/31, total market value $33,274,191) 32,622 32,622 -------------- Total Repurchase Agreements (Cost $36,562) ($ Thousands) 36,562 -------------- Total Investments -- 112.8% (Cost $2,003,742) ($ Thousands) $ 2,315,324 ============== A summary of the open futures contracts held by the Fund at May 31, 2007, is as follows (See Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION/ CONTRACTS EXPIRATION (DEPRECIATION) TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- 90-Day Euro$ (55) Mar-2008 $ 22 90-Day Euro$ (44) Mar-2009 24 90-Day Euro$ (39) Mar-2010 10 90-Day Euro$ (34) Mar-2011 (4) 90-Day Euro$ (4) Mar-2012 4 90-Day Euro$ (31) Jun-2007 (17) 90-Day Euro$ (8) Jun-2008 9 90-Day Euro$ 102 Jun-2009 (82) 90-Day Euro$ (182) Jun-2010 112 90-Day Euro$ (4) Jun-2011 3 90-Day Euro$ (55) Sep-2007 28 90-Day Euro$ (56) Sep-2008 29 90-Day Euro$ 102 Sep-2009 (82) 90-Day Euro$ (44) Sep-2010 9 90-Day Euro$ 7 Sep-2011 (5) 90-Day Euro$ (58) Dec-2007 17 90-Day Euro$ (274) Dec-2008 163 90-Day Euro$ (38) Dec-2009 11 90-Day Euro$ (43) Dec-2010 5 90-Day Euro$ (4) Dec-2011 3 Amsterdam Index 69 Jun-2007 219 CAC40 10 Euro 224 Jun-2007 343 DAX Index 70 Jun-2007 2,481 DJ Euro Stoxx 50 Index 342 Jun-2007 1,520 FTSE 100 Index 451 Jun-2007 2,714 Hang Seng Index 54 Jun-2007 6 IBEX 35 Plus Index 38 Jun-2007 271 MSCI Sing Index 35 Jun-2007 (31) Nikkei 225 Index 14 Jun-2007 62 OMX Index 578 Jun-2007 40 S&P/MIB Index 35 Jun-2007 746 S&P/TSE 60 Index 189 Jun-2007 1,979 SPI 200 Index 140 Jun-2007 946 Topix Index 232 Jun-2007 1,052 U.S. 2 Year Treasury Note (37) Sep-2007 13 U.S. 5 Year Treasury Note (202) Sep-2007 25 U.S. 10 Year Treasury Note (29) Sep-2007 -- U.S. Long Treasury Bond (1) Jun-2007 3 U.S. Long Treasury Bond (18) Sep-2007 -- -------- $ 12,648 ======== A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2007, is as follows (See Note 2 in Notes to Financials Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 6/21/07 AUD 8,311 EUR 5,083 $ (29) 6/21/07 AUD 7,444 GBP 3,107 (12) 6/21/07 EUR 3,209 AUD 5,269 38 6/21/07 EUR 2,650 CHF 4,375 8 6/21/07 EUR 19,071 USD 25,776 98 6/21/07 GBP 2,389 AUD 5,756 37 6/21/07 HKD 108,295 USD 13,856 (15) 6/21/07 SEK 4,800 USD 704 9 6/21/07 SGD 14,364 USD 9,430 24 6/21/07 CHF 4,810 EUR 2,924 5 6/21/07 MXP 114,409 USD 10,555 (83) 6/21/07 USD 4,102 ZAR 29,053 (26) 6/21/07-6/25/07 USD 24,911 AUD 30,314 160 6/21/07-6/25/07 USD 26,596 CAD 28,912 469 6/21/07-6/25/07 USD 92,462 GBP 46,897 286 6/21/07-6/25/07 USD 6,543 NOK 39,590 20 6/21/07-8/21/07 NZD 16,768 JPY 1,328,000 (1,330) -------------------------------------------------------------------------------- 150 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 6/21/07-8/21/07 JPY 2,123,000 NZD 25,912 $ 1,478 6/21/07-9/21/07 USD 50,892 CHF 62,028 (101) 6/21/07-10/19/07 CHF 34,800 USD 28,691 112 6/21/07-10/19/07 GBP 6,915 JPY 1,587,000 (552) 6/21/07-10/19/07 USD 53,038 JPY 6,299,644 (1,031) 6/21/07-10/19/07 GBP 10,176 CHF 24,100 (354) 6/21/07-11/21/07 CHF 37,400 GBP 15,707 335 6/21/07-11/21/07 JPY 3,175,000 GBP 13,729 818 6/21/07-11/21/07 JPY 4,784,000 USD 40,605 953 6/25/07 USD 5,714 SEK 39,120 (47) 6/25/07 USD 1,365 DKK 7,548 (1) 6/25/07 USD 60,997 EUR 45,263 (46) 6/25/07 USD 3,040 HKD 23,758 3 6/25/07 USD 257 NZD 353 2 6/25/07 USD 1,876 SGD 2,853 (6) 9/21/07-10/19/07 CHF 3,900 NZD 4,526 82 9/21/07-11/21/07 JPY 394,000 AUD 4,143 122 10/19/07 NZD 1,492 CHF 1,300 (15) --------- $ 1,411 ============== A summary of outstanding swap agreements held by the Fund at May 31, 2007, 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) ------------------------------------------------------------------------------------------------------------------------- Delivers payment on the quarterly reset spread from Swiss Market Index plus 23 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. (Counterparty: JPMorgan Chase) 01/24/08 14,200 CHF $ 439 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 8 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. (Counterparty: Bank of America) 07/31/07 25,000 42 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 8 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. (Counterparty: Bank of America) 09/30/07 17,000 29 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 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. (Counterparty: Bank of America) 08/31/07 19,000 40 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 20 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. (Counterparty: Bank of America) 09/30/07 15,000 27 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 20 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. (Counterparty: Goldman Sachs) 10/31/07 7,000 20 Receive payment on the monthly reset spread from Banc of America - CMBS AAA10Yr Index plus 15 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. (Counterparty: Wachovia) 08/31/07 9,000 38
------------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------------------------------------- Receive payment on the monthly reset spread from Banc of America - CMBS IG 10Yr Index plus 20 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. (Counterparty: Bank of America) 10/31/07 6,000 $ (10) Receive payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5 Plus Index minus 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. (Counterparty: Wachovia) 06/30/07 6,000 3 Receive payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5 Plus Index plus 17.5 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. (Counterparty: Wachovia) 10/31/07 10,000 15 Receive payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5 Plus Index plus 20 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. (Counterparty: Wachovia) 10/31/07 16,000 10 Receive payment on the monthly reset spread from Lehman Brothers - CMBS AAA 10YR Index plus 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. (Counterparty: Wachovia) 08/31/07 17,000 11 Delivers payment on the quarterly reset spread from MSCI EAFE Index minus 20 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. (Counterparty: Bear Stearns) 03/24/08 21,163 1,510 Delivers payment on the quarterly reset spread from MSCI Japan Net Index plus 20 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. (Counterparty: Goldman Sachs) 03/24/08 20,100 (531) --------- $ 1,643 ========= ------------------------------------------------------------------------------------------------------------------------ CREDIT DEFAULT SWAPS ------------------------------------------------------------------------------------------------------------------------ Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 07/25/45 6,000 $ (88) Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 07/25/45 6,500 (104) Fund receives monthly payment of 0.4400% (5.280% per annum) times the notional amount of the ABX.HE.A 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 05/25/46 13,000 (376) Fund receives monthly payment of 0.6400% (7.680% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 08/25/37 1,000 35 Fund pays quarterly payment of 0.3200% (1.280% per annum) times the notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 03/20/14 850 5 Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of Alcan, Inc., 4.875%, 09/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 3
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 151 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Continued) May 31, 2007
------------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.4400% (1.760% per annum) times the notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 $ (9) Fund pays quarterly payment of 0.5500% (2.200% per annum) times the notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (5) Fund pays quarterly payment of 0.2000% (0.800% per annum) times the notional amount of Campbell Soup Co., 4.875%, 10/01/13. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 06/20/14 1,600 (4) Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG., Series 7 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 18,400 129 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 1,400 2 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 -- Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Bank of America) 12/20/11 950 2 Fund pays quarterly payment of 0.4450% (1.780% per annum) times the notional amount of Darden Restaurants, Inc., 7.125%, 02/01/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (1) Fund pays quarterly payment of 0.3700% (1.480% per annum) times the notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 (7) Fund pays quarterly payment of 0.4250% (1.700% per annum) times the notional amount of Eastman Chemical Co., 7.600%, 02/01/27. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (4) Fund pays quarterly payment of 1.1800% (4.720% per annum) times the notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (17) Fund pays quarterly payment of 0.3700% (1.480% per annum) times the notional amount of Johnson Controls, Inc., 7.125%, 07/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 (8) Fund pays quarterly payment of 0.4750% (1.900% per annum) times the notional amount of Ltd. Brands, Inc., 6.125%, 12/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (1) Fund pays quarterly payment of 0.7300% (2.920% per annum) times the notional amount of Masco Corp., 5.875%, 07/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 (4) Fund pays quarterly payment of 0.4750% (1.900% per annum) times the notional amount of MeadWestvaco, 6.850%, 04/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (2) ------------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of MGIC Investment Corp., 6.000%, 11/01/15. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 $ 1 Fund pays quarterly payment of 0.2200% (0.880% per annum) times the notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (4) Fund pays quarterly payment of 0.1400% (0.560% per annum) times the notional amount of Pitney Bowes, Inc., 4.625%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 2,100 5 Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 10 Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/13 1,000 11 Fund pays quarterly payment of 0.1900% (0.760% per annum) times the notional amount of TJX Cos, Inc., 7.450%, 12/15/09. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 6 Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Bank of America) 12/20/11 1,000 (5) Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bear Stearns) 07/25/45 1,875 10 Fund receives monthly payment of 0.6400% (7.680% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 08/25/37 1,000 5 Fund pays quarterly payment of 0.3400% (1.360% per annum) times the notional amount of Agrium, Inc., 8.250%, 02/15/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 (5) Fund pays quarterly payment of 0.4600% (1.840% per annum) times the notional amount of Autozone, Inc., 5.875%, 10/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 (10) Fund pays quarterly payment of 0.5500% (2.200% per annum) times the notional amount of Black & Decker Corp., 7.125%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 (5) Fund pays quarterly payment of 0.2150% (0.860% per annum) times the notional amount of Carnival Corp., 6.650%, 01/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 06/20/12 950 (1) Fund pays quarterly payment of 0.2600% (1.040% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 1,000 4 Fund pays quarterly payment of 1.1800% (4.720% per annum) times the notional amount of Gap, Inc., 8.800%, 12/15/08. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 (17)
-------------------------------------------------------------------------------- 152 SEI Institutional Investments Trust / Annual Report / May 31, 2007
------------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------------------------------------- Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Hasbro, Inc., 2.750%, 12/01/21. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 $ 9 Fund pays quarterly payment of 0.7700% (3.080% per annum) times the notional amount of Jones Apparel Group, Inc., 5.125%, 11/15/14. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 3 Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 (4) Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of MGIC Investment Corp., 6.000%, 03/15/07. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 1,000 1 Fund pays quarterly payment of 0.2800% (1.120% per annum) times the notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 1,000 (1) Fund pays quarterly payment of 0.2200% (0.880% per annum) times the notional amount of Nucor Corp., 4.875%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 (4) Fund pays quarterly payment of 0.3500% (1.400% per annum) times the notional amount of PMI Group, Inc., 6.000%, 09/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 1,000 10 Fund pays quarterly payment of 0.2000% (0.800% per annum) times the notional amount of PPG Industries, Inc., 7.050%, 08/15/09. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 1 Fund pays quarterly payment of 0.3900% (1.560% per annum) times the notional amount of Radian Group, Inc., 7.750%, 06/01/11. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/13 1,000 (5) Fund pays quarterly payment of 0.2700% (1.080% per annum) times the notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 3 Fund pays quarterly payment of 0.3200% (1.280% per annum) times the notional amount of Washington Mutual Co., 5.250%, 09/15/17. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 03/20/12 1,000 (2) Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 07/25/45 3,500 13 Fund receives monthly payment of 0.6400% (7.680% per annum) times the notional amount of the ABX.HE.A 07-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Merrill Lynch) 08/25/37 500 (2) Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 850 6 Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG., Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 18,400 129 ------------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ------------------------------------------------------------------------------------------------------------------------- Fund receives quarterly payment of 0.4000% (1.600% per annum) times the notional amount of CDX.NA.IG. Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 5,100 $ 37 Fund receives quarterly payment of 0.4400% (1.760% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 2,000 (20) Fund pays quarterly payment of 0.2500% (1.000% per annum) times the notional amount of Dow Chemical Co., 6.000%, 10/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 1,000 5 Fund pays quarterly payment of 0.1300% (0.520% per annum) times the notional amount of Lowe's Cos., 8.250%, 06/01/10. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,000 1 Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Lubrizol Corp., 7.250%, 06/15/25. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,000 (4) Fund pays quarterly payment of 0.9000% (3.600% per annum) times the notional amount of MDC Holdings, Inc., 5.500%, 05/15/13. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,000 (9) Fund pays quarterly payment of 0.2800% (1.120% per annum) times the notional amount of Nordstrom, Inc., 6.950%, 03/15/28. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/13 1,000 (1) Fund pays quarterly payment of 0.6900% (2.760% per annum) times the notional amount of RR Donnelly & Sons Co., 4.950%, 04/01/14. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,000 (1) Fund pays quarterly payment of 0.2700% (1.080% per annum) times the notional amount of Southwest Airlines Co., 6.500%, 03/01/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 12/20/11 1,000 3 Fund pays quarterly payment of 0.4500% (1.800% per annum) times the notional amount of Weyerhaeuser, Co., 6.750%, 03/15/12. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: Merrill Lynch) 03/20/12 1,000 (3) Fund pays quarterly payment of 0.3380% (1.352% per annum) times the notional amount of Whirlpool Corp., 7.750%, 07/15/16. Upon a defined credit event, Fund will receive the notional amount and deliver the defined obligation. (Counterparty: JPMorgan Chase) 12/20/11 1,000 -- --------- $ (284) =========
Percentages are based on Net Assets of $2,053,014 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of May 31, 2007. + Real Estate Investments Trust ++ Affiliated security (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 May 31, 2007 (see Note 9). The total value of securities on loan at May 31, 2007 was $197,529 ($ Thousands). (C) This security was purchased with cash collateral held from securities lending (See Note 9). The total value of such securities as of May 31, 2007 was $205,222 ($ Thousands). (D) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2007. The date reported on the Schedule of Investments is the next reset date. (E) The rate reported is the effective yield at time of purchase. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 153 SCHEDULE OF INVESTMENTS World Equity Ex-US Fund (Concluded) May 31, 2007 -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- (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 May 31, 2007. 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 fair valued using methods determined in good faith by the valuation committee of the Board of Trustees. The total value of such securities as of May 31, 2007 was $6,978 ($Thousands) and represented 0.34% of Net Assets. ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CMO -- Collateralized Mortgage Obligation DKK -- Danish Krone EUR -- Euro 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 GNMA -- Government National Mortgage Association HKD -- Hong Kong Dollar IO -- Interest Only - Face Amount Represents Notional Amount JPY -- Japanese Yen LLC -- Limited Liability Company LP -- Limited Partnership 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 $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 154 SEI Institutional Investments Trust / Annual Report / May 31, 2007 Enhanced Income Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 43.0% Financials 29.0% Asset-Backed Securities 9.0% U.S. Government Agency Mortgage-Backed Obligations 6.2% Short-Term Investments 6.0% Time Deposits 1.8% Consumer Discretionary 1.4% Utilities 0.8% U.S. Government Agency Obligations 0.8% Consumer Staples 0.7% Telecommunication Services 0.5% Industrials 0.4% Energy 0.2% Health Care 0.1% Sovereign 0.1% Certificates of Deposit ++Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- LOAN PARTICIPATIONS -- 32.7% Advanced Micro Devices 7.340%, 12/31/13 $ 764 $ 767 Blockbuster 8.629%, 08/20/11 1,029 1,033 Boston Generating, LLC, 1st Lien 7.600%, 12/20/13 777 782 Boston Generating, LLC, 1st Lien (Synthetic) 7.600%, 12/20/13 220 222 Brickman Group Holdings 7.399%, 01/23/14 1,000 1,003 CCS Medical 8.600%, 09/30/12 997 998 Caritor (E) 0.000%, 05/17/13 930 933 Caritor (Synthetic) (E) 0.000%, 05/11/13 70 70 Cequel Communications 7.349%, 11/05/13 1,500 1,501 Clarke American, Tranche B 7.840%, 03/09/14 2,000 1,999 Crescent Resources, LLC 8.320%, 09/07/12 1,000 1,000 Ford Motor 8.360%, 12/15/13 1,496 1,508 Ginn La Conduit Lender, 1st Lien, Tranche A 7.850%, 06/08/11 315 304 Ginn La Conduit Lender, 1st Lien, Tranche B 8.350%, 06/08/11 683 658 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Greenwood Racing 7.570%, 11/28/11 $ 998 $ 1,003 Healthsouth 7.850%, 03/10/13 1,366 1,376 Helix Energy Solutions Group 7.330%, 07/01/13 1,477 1,483 Kepler Holdings 10.850%, 06/30/09 1,000 1,008 Knology (E) 0.000%, 04/13/12 1,000 1,006 Michaels Stores 7.625%, 10/31/13 1,500 1,505 Monitor Oil 10.850%, 12/14/13 998 998 Montecito Broadcast Group 7.860%, 01/27/13 988 993 Onex Carestream Finance 7.340%, 04/10/13 1,000 1,003 Reliant Energy 7.695%, 12/01/10 855 858 5.187%, 12/01/10 643 645 Revolution Studios, Tranche B 9.070%, 09/30/14 1,228 1,234 Sabre 7.605%, 09/30/14 1,500 1,501 Solo Cup Company (E) 0.000%, 02/27/11 1,000 1,016 Sorenson Communications 7.860%, 02/16/14 1,489 1,489 Tribune, Tranche B (E) 0.000%, 05/09/14 600 600 Tribune, Tranche X (E) 0.000%, 05/09/09 400 402 US Airways Group 7.850%, 03/19/14 2,000 2,013 Univision Communications (Delay Draw) (E) 0.000%, 08/15/14 134 78 Univision Communications (E) 0.000%, 08/15/14 391 391 Vanguard Car Rental USA Holding 8.350%, 06/14/13 1,415 1,424 Venoco, 2nd Lien 9.320%, 05/07/14 2,000 2,018 Verint Systems 8.090%, 05/09/14 2,000 2,004 WM Bolthouse Farms, 1st Lien 7.625%, 12/17/12 1,492 1,499 -------------- Total Loan Participations (Cost $40,251) ($ Thousands) 40,325 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 155 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 29.4% AUTOMOTIVE -- 3.3% Aesop Funding II LLC, Ser 2003-3A, Cl A3 (B) 3.720%, 07/20/09 $ 330 $ 325 Aesop Funding II LLC, Ser 2005-1A, Cl A1 (B) 3.950%, 04/20/09 400 396 AmeriCredit Automobile Receivables Trust, Ser 2004-BM, Cl A4 5.200%, 03/06/11 195 194 2.670%, 03/07/11 297 293 AmeriCredit Automobile Receivables Trust, Ser 2006-1, Cl A3 5.110%, 10/06/10 300 299 AmeriCredit Automobile Receivables Trust, Ser 2007-AX, Cl A4 (C) 5.360%, 10/06/13 285 285 AmeriCredit Automobile Receivables Trust, Ser 2007-BF, Cl A3A 5.160%, 04/06/12 300 299 Banc of America Securities Auto Trust, Ser 2005-WF1, Cl A3 3.990%, 08/18/09 287 286 Capital Auto Receivables Asset Trust, Ser 2007-1, Cl B 5.150%, 09/17/12 230 227 Capital One Prime Auto Receivables, Ser 2004-3, Cl A3 3.390%, 01/15/09 102 101 Carmax Auto Owner Trust, Ser 2005-1, Cl A3 4.130%, 05/15/09 72 71 Carmax Auto Owner Trust, Ser 2007-1, Cl C 5.530%, 07/15/13 50 50 Ford Credit Auto Owner Trust, Ser 2006-A, Cl C 5.480%, 09/15/11 250 250 Harley Davidson Motorcycle Trust, Ser 2007-1, Cl C 5.540%, 04/15/15 105 105 Honda Auto Receivables Owners Trust, Ser 2004-3, Cl A3 2.910%, 10/20/08 54 54 Honda Auto Receivables Owners Trust, Ser 2004-3, Cl A4 3.280%, 02/18/10 200 197 Santander Drive Auto Receivables Trust, Ser 2007-1, Cl A2 5.200%, 12/15/10 385 384 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl B 5.620%, 01/15/12 $ 25 $ 25 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl C 5.920%, 01/15/12 45 45 Volkswagen Auto Lease Trust, Ser 2006-A, Cl A3 5.500%, 09/21/09 225 225 -------------- 4,111 -------------- CREDIT CARDS -- 4.6% Advanta Business Card Master Trust, Ser 2005-C1, Cl C1 (C) 5.830%, 06/20/07 400 402 Advanta Business Card Master Trust, Ser 2007-B1, Cl B (C) 5.570%, 12/22/14 400 401 American Express Credit Master Trust, Ser 2007-2, Cl B (C) 5.500%, 09/15/16 145 145 Bank One Issuance Trust, Ser 2003-B1, Cl B1 (C) 5.690%, 06/15/07 285 286 Bank One Issuance Trust, Ser 2003-C2, Cl C2 (C) 6.460%, 06/16/07 500 504 Bank of America Credit Card Trust, Ser 2007-C1, Cl C1 (C) 5.610%, 06/26/07 450 451 Capital One Multi-Asset Execution Trust, Ser 2004-B4, Cl B4 (C) 5.620%, 06/15/07 250 250 Capital One Multi-Asset Execution Trust, Ser 2005-C1, Cl C1 (C) 5.720%, 02/15/13 350 351 Capital One Multi-Asset Execution Trust, Ser 2007-C2, Cl C2 (C) 5.620%, 06/15/07 400 400 Chase Issuance Trust, Ser 2005-C2, Cl C2 (C) 5.760%, 01/15/15 400 401 Citibank Credit Card Issuance Trust, Ser 2001-C1, Cl C1 (C) 6.436%, 01/15/10 400 402 First National Master Note Trust, Ser 2007-1, Cl B (C) 5.530%, 04/15/13 320 320 First USA Credit Card Master Trust, Ser 1998-2, Cl C (B) 6.800%, 02/18/11 550 555 -------------------------------------------------------------------------------- 156 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Household Affinity Credit Card Master Note Trust, Ser 2003-1, Cl B (C) 5.870%, 06/15/07 $ 475 $ 477 MBNA Credit Card Master Trust, Ser 2006-C2, Cl C2 (C) 5.620%, 08/15/13 300 300 -------------- 5,645 -------------- MORTGAGE RELATED SECURITIES -- 19.3% Ace Securities, Ser 2006-HE1, Cl A2A (C) 5.400%, 02/25/36 69 69 Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 2A1 (C) 5.710%, 03/25/36 550 550 American Tower Trust, Ser 2007-1A, Cl D (B) 5.957%, 04/15/37 250 246 Banc of America Funding, Ser 2005-F, Cl 4A1 (C) 5.355%, 06/01/07 564 560 Banc of America Funding, Ser 2006-D, Cl 3A1 (C) 5.571%, 06/01/07 513 511 Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1 (C) 4.461%, 02/25/35 336 329 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1 (C) 5.285%, 06/01/07 456 453 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-9, Cl A1 (C) 4.625%, 10/25/35 572 563 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-1, Cl A1 (C) 4.625%, 06/01/07 548 537 Bear Stearns Commercial Mortgage, Ser TOP2, Cl A2 6.480%, 02/15/35 500 515 Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl J (B) (C) 6.270%, 04/15/22 155 155 Citigroup Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1 (C) 4.900%, 10/25/35 571 566 Countrywide Alternative Loan Trust, Ser 2007-HY5R, Cl 2A1A (C) 5.544%, 06/01/07 876 873 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A (C) 5.386%, 06/01/07 $ 552 $ 551 Countrywide Home Loans, Ser 2006-HYB1, Cl 1A1 (C) 5.365%, 06/20/07 1 1 Credit Suisse First Boston Mortgage Securities, Ser 2000-C1, Cl A2 7.545%, 04/15/62 500 521 Crown Castle Towers LLC, Ser 2006-1A, Cl E (B) 6.065%, 11/15/36 380 375 Diversified Reit Trust, Ser 1999-1A, Cl A2 (B) 6.780%, 03/18/11 153 155 First Franklin Mortgage Loan Asset, Ser 2006-FF18, Cl A2B (C) 5.430%, 12/25/37 275 275 First Franklin Mortgage Loan Asset, Ser 2007-FF1, Cl M2 (C) 5.580%, 01/25/38 285 285 First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1 (C) 5.349%, 06/01/07 329 328 First Horizon Mortgage Pass-Through Trust, Ser 2005-AR4, Cl 2A1 (C) 5.340%, 10/25/35 263 262 GMAC Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1 (C) 5.606%, 06/01/07 117 117 GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1 (C) 5.198%, 01/25/36 484 481 GSR Mortgage Loan Trust, Ser 2006-AR2, Cl 3A1 (C) 5.750%, 04/25/36 78 78 Harborview Mortgage Loan Trust, Ser 2005-14, Cl 3A1A (C) 5.320%, 12/19/35 416 414 Holmes Master Issuer PLC, Ser 2007-1, Cl 1C1 (C) 5.625%, 07/16/07 100 100 Indymac Indx Mortgage Loan Trust, Ser 2006-AR41, Cl A3 (C) 5.500%, 06/25/07 474 475 JP Morgan Mortgage Trust, Ser 2007-A3, Cl 1A1 (C) 5.507%, 06/01/07 508 499 MLCC Mortgage Investors, Ser 2006-1, Cl 2A1 (C) 5.398%, 02/25/36 327 325 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 157 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1 (C) 5.051%, 07/25/35 $ 570 $ 564 Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 2A1 (C) 4.538%, 12/25/34 360 356 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1A (C) 5.191%, 12/25/35 454 449 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1E (C) 5.150%, 12/25/35 211 209 Morgan Stanley Capital I, Ser 2007-HE2, Cl M2 (C) 5.580%, 01/25/37 150 149 Morgan Stanley Capital I, Ser 2007-XLFA, Cl C (B) (C) 5.480%, 10/15/20 240 240 Morgan Stanley Home Equity Loans, Ser 2005-3, Cl M1 (C) 5.770%, 08/25/35 350 352 Morgan Stanley Home Equity Loans, Ser 2005-4, Cl M1 (C) 5.730%, 09/25/35 370 370 MortgageIT Trust, Ser 2005-1, Cl 2A (C) 4.250%, 02/25/35 571 559 MortgageIT Trust, Ser 2005-4, Cl A1 (C) 5.600%, 06/25/07 546 547 Option One Mortgage Loan Trust, Ser 2005-3, Cl M1 (C) 5.790%, 06/25/07 330 331 Option One Mortgage Loan Trust, Ser 2005-5, Cl M1 (C) 5.710%, 06/27/07 470 471 Option One Mortgage Loan Trust, Ser 2007-FXD2, Cl 2A1 (F) 5.900%, 03/25/37 336 336 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 (C) 5.440%, 06/26/07 297 297 Pendeford Master Issuer PLC, Ser 2007-1A, Cl 1C (B) (C) 5.660%, 05/12/59 225 225 Permanent Master Issuer, Ser 2007-1, Cl 1C (C) 5.526%, 07/15/42 150 150 Residential Asset Securities, Ser 2005-KS12, Cl M1 (C) 5.760%, 06/25/07 375 376 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A (C) 5.353%, 11/25/35 $ 203 $ 201 Residential Funding Mortgage Securities, Ser 2006-SA1, Cl 1A1 (C) 5.674%, 02/25/36 181 181 Residential Funding Mortgage Securities, Ser 2007-SA2, Cl 2A2 (C) 5.687%, 06/01/07 384 385 Securitized Asset-Backed Receivables LLC, Ser 2007-NC2, Cl M2 (C) 5.580%, 01/25/37 145 144 Washington Mutual Mortgage Pass-Through Certificates, Ser 2004-AR5, Cl A6 (C) 3.842%, 06/01/07 600 582 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR14, Cl 1A4 (C) 5.064%, 12/25/35 537 530 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR3, Cl A2 (C) 4.639%, 06/01/07 491 483 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2 (C) 3.989%, 06/01/07 477 471 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Z, Cl 2A1 (C) 4.577%, 06/01/07 585 576 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2 (C) 4.997%, 06/01/07 152 151 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2 (C) 4.525%, 06/01/07 561 551 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1 (C) 5.639%, 07/25/36 570 567 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR13, Cl A2 (C) 5.759%, 09/25/36 585 585 -------------------------------------------------------------------------------- 158 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1 (C) 5.533%, 06/01/07 $ 480 $ 478 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 3A1 (C) 5.094%, 06/01/07 443 440 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 2A1 (C) 5.240%, 06/01/07 345 342 -------------- 23,817 -------------- OTHER ASSET-BACKED SECURITIES -- 2.2% ACAS Business Loan Trust, Ser 2007-1A, Cl C (B) (C) 6.203%, 08/16/19 530 530 Caterpillar Financial Asset Trust, Ser 2005-A, Cl A3 3.900%, 02/25/09 142 141 Cit Equipment Collateral, Ser 2006-VT1, Cl B 5.230%, 02/20/13 194 193 Crusade Global Trust, Ser 2007-1, Cl A1 (C) 5.420%, 04/19/38 342 342 Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 (B) 5.261%, 04/25/37 400 394 GE Dealer Floorplan Master Note Trust, Ser 2006-2, Cl C (C) 5.750%, 04/20/13 120 120 John Deere Owner Trust, Ser 2007-A, Cl A2 5.240%, 10/15/09 85 85 Lambda Finance, Ser 2005-1A, Cl A3 (B) (C) 5.590%, 11/15/29 400 400 Marlin Leasing Receivables LLC, Ser 2006-1A, Cl A2 (B) 5.430%, 11/17/08 250 250 Peco Energy Transition Trust, Ser 2000-A, Cl A3 7.625%, 03/01/10 295 306 -------------- 2,761 -------------- Total Asset-Backed Securities (Cost $36,417) ($ Thousands) 36,334 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 16.7% CONSUMER DISCRETIONARY -- 1.8% CBS 7.700%, 07/30/10 $ 250 $ 265 COX Communications 4.625%, 01/15/10 300 294 Comcast Cable Communications 6.200%, 11/15/08 300 303 DaimlerChrysler 7.200%, 09/01/09 300 310 Federated Department Stores 6.300%, 04/01/09 300 304 Macy's Retail Holding 5.350%, 03/15/12 225 221 Time Warner Cable (B) 5.400%, 07/02/12 500 494 -------------- 2,191 -------------- CONSUMER STAPLES -- 0.8% Altria Group 7.000%, 11/04/13 250 267 General Mills (C) 5.485%, 07/23/07 400 400 Miller Brewing 4.250%, 08/15/08 300 296 -------------- 963 -------------- ENERGY -- 0.4% Canadian Natural Resources 5.700%, 05/15/17 150 147 KeySpan 7.625%, 11/15/10 300 320 -------------- 467 -------------- FINANCIALS -- 10.8% Ameriprise Financial 5.350%, 11/15/10 300 299 Banco Santander Chile (B) (C) 5.690%, 06/09/07 450 451 CIT Group 3.375%, 04/01/09 300 289 Capital One Financial MTN 5.700%, 09/15/11 300 300 Capmark Financial Group (B) (C) 5.000%, 05/10/10 500 501 Citigroup (C) 5.610%, 06/11/07 300 300 Comerica Bank (C) 5.365%, 06/19/09 275 275 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 159 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Financial (C) 5.490%, 07/05/07 $ 500 $ 499 Everest Reinsurance Holdings 8.750%, 03/15/10 295 319 Everest Reinsurance Holdings (C) 6.600%, 05/15/37 450 441 General Electric Capital (C) 5.445%, 07/28/07 275 275 Goldman Sachs Capital III (C) 6.130%, 09/29/49 500 500 Goldman Sachs Group (C) 5.536%, 02/06/12 500 500 Hartford Financial Services Group 7.900%, 06/15/10 250 267 Huntington National Bank 4.375%, 01/15/10 300 291 International Lease Finance MTN, Ser P (C) 5.756%, 01/15/10 500 504 JP Morgan Chase Capital XXI, Ser U (C) 6.305%, 02/02/37 550 556 Lehman Brothers Holdings MTN, Ser G (C) 5.607%, 11/10/09 500 502 Liberty Property+ 7.250%, 03/15/11 300 316 Merrill Lynch MTN, Ser C (C) 5.685%, 07/21/09 500 501 Monumental Global Funding (B) 5.556%, 07/16/07 450 450 Morgan Stanley MTN, Ser G (C) 5.650%, 07/04/07 400 399 Prudential Financial MTN 5.100%, 12/14/11 300 296 RSHB Captl 7.175%, 05/16/13 40 42 6.299%, 05/15/17 (B) 205 206 Reinsurance Group of America 5.625%, 03/15/17 300 289 Residential Capital 6.460%, 05/22/09 490 490 6.457%, 04/17/09 (C) 250 250 State Street (C) 5.455%, 04/30/12 285 285 Textron Financial MTN 4.600%, 05/03/10 350 342 UBS Luxembourg (C) 6.230%, 02/11/15 130 131 Union Planters 7.750%, 03/01/11 250 268 Unitrin 6.000%, 05/15/17 260 254 4.875%, 11/01/10 300 293 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- VTB 24 Capital PLC MTN, Ser E (C) 6.150%, 12/07/09 $ 200 $ 201 VTB Capital (B) (C) 6.100%, 09/21/07 250 250 Wachovia (C) 5.475%, 06/15/07 425 426 Western Union 5.400%, 11/17/11 300 296 Willis North America 5.125%, 07/15/10 300 293 -------------- 13,347 -------------- HEALTH CARE -- 0.2% Wyeth 6.950%, 03/15/11 250 262 -------------- INDUSTRIALS -- 0.5% Continental Airlines, Ser 061G (C) 5.698%, 06/02/13 300 301 Continental Airlines, Ser A 5.983%, 04/19/22 300 296 -------------- 597 -------------- SOVEREIGN -- 0.1% Republic of Trinidad & Tobago 9.875%, 10/01/09 150 165 -------------- TELECOMMUNICATION SERVICES -- 0.7% Corning 6.050%, 06/15/15 300 299 Telecom Italia Capital (C) 5.969%, 07/18/07 300 302 Vodafone Group PLC (C) 5.640%, 02/27/12 300 300 -------------- 901 -------------- UTILITIES -- 1.4% Dominion Resources, Ser B (C) 5.540%, 08/14/07 450 450 Nisource Finance (C) 5.930%, 08/23/07 500 501 Ohio Power (C) 5.530%, 04/05/10 270 270 PSEG Power 3.750%, 04/01/09 300 291 Southern Ser A 5.300%, 01/15/12 175 174 -------------- 1,686 -------------- Total Corporate Obligations (Cost $20,686) ($ Thousands) 20,579 -------------- -------------------------------------------------------------------------------- 160 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 9.1% FNMA TBA 6.000%, 11/01/08 $ 7 $ 7 6.000%, 06/01/21 84 85 6.000%, 07/01/21 189 192 6.000%, 08/01/21 845 854 6.000%, 09/01/21 946 955 6.000%, 10/01/21 1,642 1,658 6.000%, 11/01/21 87 88 6.000%, 12/01/21 72 73 6.000%, 10/01/26 5,112 5,129 6.000%, 04/01/27 688 690 5.500%, 10/01/20 221 220 5.500%, 02/01/22 500 496 5.500%, 03/01/22 779 773 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $11,284) ($ Thousands) 11,220 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.8% FHLMC (A) 4.760%, 06/22/07 420 419 FHLMC CMO, Ser 3153, Cl FX (C) 5.859%, 06/15/07 577 579 -------------- Total U.S. Government Agency Obligations (Cost $999) ($ Thousands) 998 -------------- TIME DEPOSITS -- 6.1% Royal Bank of Canada 5.250%, 06/19/07 2,988 2,988 Royal Bank of Scotland 5.270%, 06/19/07 2,500 2,500 UBS London 5.250%, 06/29/07 2,016 2,016 -------------- Total Time Deposits (Cost $7,504) ($ Thousands) 7,504 -------------- CASH EQUIVALENT -- 5.7% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%*++ 7,091,854 7,092 -------------- Total Cash Equivalent (Cost $7,092) ($ Thousands) 7,092 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CERTIFICATE OF DEPOSIT -- 0.1% Sovereign Bank 4.000%, 02/01/08 $ 100 $ 99 -------------- Total Certificate of Deposit (Cost $99) ($ Thousands) 99 -------------- REPURCHASE AGREEMENT (D) -- 0.6% Bank of New York 5.310%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $700,103 (collateralized by a U.S. Government obligation, par value $738,887, 5.500%, 03/01/37, total market value $714,000) 700 700 -------------- Total Repurchase Agreement (Cost $700) ($ Thousands) 700 -------------- Total Investments -- 101.2% (Cost $125,032) ($ Thousands) $ 124,851 ============== A summary of the open futures contracts held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- 90-Day Euro$ 46 Jun-2007 $ (13) 90-Day Euro$ (46) Dec-2007 50 U.S. 2 Year Treasury Note 6 Sep-2007 (2) U.S. 5 Year Treasury Note (45) Sep-2007 5 U.S. 10 Year Treasury Note (118) Sep-2007 19 -------- $ 59 ======== A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 6/12/07 EUR 852 CHF 1,407 $ 2 6/12/07 CHF 1,594 EUR 969 2 6/12/07-7/11/07 USD 5,339 JPY 631,000 (141) 6/12/07-8/10/07 NZD 4,355 JPY 349,000 (322) 6/12/07-8/10/07 JPY 562,000 NZD 6,820 375 6/12/07-10/10/07 USD 5,217 CHF 6,300 (48) 6/12/07-10/10/07 CHF 10,500 GBP 4,396 84 6/12/07-10/10/07 GBP 3,220 CHF 7,700 (59) 6/12/07-11/9/07 GBP 3,922 JPY 899,000 (308) 6/12/07-11/9/07 JPY 1,326,000 GBP 5,755 383 6/12/07-11/13/07 CHF 9,100 USD 7,536 60 6/12/07-11/13/07 JPY 989,000 USD 8,386 219 6/13/07 AUD 2,499 EUR 1,529 (8) 6/13/07 AUD 2,044 GBP 853 (3) 6/13/07 EUR 1,046 AUD 1,719 13 6/13/07 GBP 624 AUD 1,505 10 9/12/07-11/9/07 CHF 900 NZD 1,050 24 9/12/07-11/9/07 JPY 106,000 AUD 1,124 41 10/10/07 AUD 360 JPY 35,000 (4) -------- $ 320 ======== -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 161 SCHEDULE OF INVESTMENTS Enhanced Income Fund (Concluded) May 31, 2007 A summary of outstanding swap agreements held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements):
----------------------------------------------------------------------------------------- CREDIT DEFAULT SWAP ----------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ----------------------------------------------------------------------------------------- Fund receives monthly payment of 0.5400% (6.480% per annum) times the notional amount of the ABX.HE.A 06-1 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Bank of America) 07/25/45 2,750 $(48) ==== ----------------------------------------------------------------------------------------- TOTAL RETURN SWAP ----------------------------------------------------------------------------------------- Receive payment on the monthly reset spread from Lehman Brothers - CMBS AAA 8.5 Plus Index plus 30 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. (Counterparty: Goldman Sachs) 11/01/07 7,000 $ 5 ====
Percentages are based on Net Assets of $123,430 ($ Thousands). * Rate shown is the 7-day effective yield as of May 31, 2007. + Real Estate Investments Trust ++ Affiliated security (A) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (C) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effect as of May 31, 2007. The date reported on the Schedule of Investments is the next reset date. (D) Tri-Party Repurchase Agreement (E) Unsettled Position -- Interest rate will not be known until settlement. (F) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on May 31, 2007. The coupon on a step bond changes on a specified date. AUD -- Australian Dollar CHF -- Swiss Franc CMO -- Collateralized Mortgage Obligation Cl -- Class EUR -- Euro FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling JPY -- Japanese Yen LLC -- Limited Liability Company MTN -- Medium Term Note NZD -- New Zealand Dollar PLC -- Public Liability Company Ser -- Series TBA -- To Be Announced USD -- United States Dollar The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 162 SEI Institutional Investments Trust / Annual Report / May 31, 2007 Core Fixed Income Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 23.9% U.S. Government Agency Mortgage-Backed Obligations 16.5% Short-Term Investments 16.3% Asset-Backed Securities 15.2% U.S. Treasury Obligations 11.5% Financials 7.9% U.S. Government Agency Obligations 1.5% Commercial Paper 1.4% Energy 1.2% Industrials 1.0% Consumer Discretionary 1.0% Utilities 0.8% Telecommunication Services 0.4% Sovereign Bonds 0.4% Health Care 0.4% Certificates of Deposit 0.2% Master Note 0.1% Materials 0.1% Consumer Staples 0.1% Purchased Options 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) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 32.4% FHLMC 9.750%, 10/01/14 $ 6 $ 6 8.500%, 09/01/08 to 04/01/09 11 11 7.500%, 11/01/07 to 06/01/32 1,075 1,121 7.000%, 06/01/07 to 06/01/32 1,386 1,431 6.500%, 10/01/16 to 10/01/36 41,719 42,541 6.000%, 01/01/13 to 06/01/35 8,328 8,416 5.500%, 09/01/13 to 03/01/37 46,125 45,560 5.125%, 04/18/11 4,182 4,177 5.000%, 04/01/20 to 09/01/35 69,061 66,566 4.500%, 04/01/19 to 04/01/20 3,571 3,424 4.000%, 03/01/19 to 01/01/34 31,714 29,551 FHLMC ARM 6.331%, 03/01/37 12,670 12,807 6.178%, 01/01/37 9,545 9,621 6.171%, 07/01/36 7,625 7,671 6.009%, 04/01/37 5,815 5,857 5.915%, 04/01/37 9,404 9,425 5.910%, 01/01/37 4,162 4,175 5.785%, 05/01/37 2,507 2,514 5.699%, 03/01/36 1,810 1,810 5.175%, 12/01/35 1,095 1,090 5.114%, 01/01/36 7,006 6,930 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC TBA 6.000%, 07/15/32 $ 4,330 $ 4,325 5.500%, 06/01/33 822 802 5.000%, 06/12/37 7,900 7,517 FNMA 8.000%, 04/01/08 to 07/01/31 626 653 7.500%, 06/01/30 7.000%, 03/01/09 to 04/01/32 3,368 3,496 6.500%, 05/01/17 to 05/01/37 8,498 8,659 6.000%, 04/01/17 to 01/01/36 14,877 14,903 5.500%, 04/01/14 to 11/01/36 292,486 287,512 5.000%, 06/01/18 to 12/01/36 165,767 158,768 4.500%, 06/01/18 to 10/01/18 7,216 6,926 4.000%, 09/01/18 to 03/01/36 64,917 59,396 FNMA ARM 7.038%, 06/01/07 2,566 2,662 7.026%, 06/01/07 2,601 2,699 7.020%, 06/01/07 2,637 2,736 7.018%, 06/01/07 2,747 2,845 6.897%, 11/01/35 2,713 2,815 6.444%, 07/01/36 4,893 4,969 5.935%, 05/01/37 2,806 2,817 5.933%, 11/01/36 7,620 7,679 5.928%, 09/01/36 7,738 7,798 5.740%, 04/01/36 2,543 2,547 5.645%, 02/01/36 13,305 13,312 5.614%, 05/01/37 2,803 2,789 4.508%, 04/01/09 1,381 1,364 5.507%, 06/01/36 1,483 1,488 5.188%, 11/01/36 1,419 1,404 5.082%, 10/01/36 4,264 4,230 5.037%, 07/01/35 2,674 2,650 4.871%, 09/01/35 1,443 1,415 FNMA TBA 6.500%, 06/01/37 112,090 113,841 6.000%, 06/17/19 to 06/01/37 111,300 111,167 5.500%, 06/01/22 to 06/12/37 211,833 207,440 5.000%, 06/17/21 to 06/01/37 399,512 380,855 4.500%, 06/12/37 3,600 3,326 GNMA 9.500%, 12/15/20 19 21 7.000%, 04/15/26 to 09/15/34 6,861 7,173 6.500%, 06/15/11 to 07/15/35 17,468 17,936 6.000%, 03/15/14 to 02/15/35 75,278 75,826 5.500%, 04/15/14 to 10/20/34 7,346 7,218 5.000%, 05/15/33 to 11/15/35 46,388 44,577 GNMA ARM 3.750%, 06/01/07 5,316 5,291 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 163 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GNMA TBA 6.500%, 06/19/33 $ 10,400 $ 10,637 6.000%, 06/01/33 to 05/01/34 38,358 38,538 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $1,930,254) ($ Thousands) 1,909,726 -------------- CORPORATE OBLIGATIONS -- 24.0% CONSUMER DISCRETIONARY -- 1.3% COX Communications 7.875%, 08/15/09 440 461 5.875%, 12/01/16 (C) 1,815 1,800 CVS (C) 5.789%, 01/10/26 2,159 2,084 CVS Lease Pass-Through Trust (C) 6.036%, 12/10/28 10,780 10,581 5.880%, 01/10/28 191 186 Clear Channel Communications 6.250%, 03/15/11 (J) 2,740 2,666 4.250%, 05/15/09 1,040 1,005 Comcast 9.000%, 09/01/08 710 738 6.500%, 01/15/15 3,635 3,778 6.500%, 01/15/17 (J) 1,825 1,892 5.650%, 06/15/35 2,225 1,971 Comcast Cable Communications 8.375%, 03/15/13 5,480 6,184 6.750%, 01/30/11 5,950 6,187 DaimlerChrysler 8.500%, 01/18/31 935 1,194 7.300%, 01/15/12 1,995 2,129 6.500%, 11/15/13 4,200 4,380 DaimlerChrysler MTN 5.750%, 09/08/11 2,830 2,847 5.690%, 06/08/07 (F) 5,920 5,930 Estee Lauder 5.550%, 05/15/17 2,330 2,295 Ford Motor (J) 7.450%, 07/16/31 2,770 2,278 Macy's Retail Holding 5.350%, 03/15/12 1,617 1,591 News America 6.400%, 12/15/35 2,725 2,662 6.200%, 12/15/34 315 300 Target 5.375%, 05/01/17 4,075 3,985 4.000%, 06/15/13 355 328 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Time Warner 7.700%, 05/01/32 $ 4,185 $ 4,647 6.875%, 05/01/12 350 368 6.550%, 05/01/37 (C) 1,170 1,153 5.850%, 05/01/17 (C) 935 922 Time Warner Entertainment 8.375%, 07/15/33 2,700 3,214 -------------- 79,756 -------------- CONSUMER STAPLES -- 0.2% Altria Group 7.750%, 01/15/27 1,145 1,345 7.000%, 11/04/13 3,450 3,688 Kraft Foods 5.250%, 10/01/13 2,025 1,972 Philip Morris Capital 7.500%, 07/16/09 1,155 1,193 Reynolds American 7.875%, 05/15/09 1,630 1,694 -------------- 9,892 -------------- ENERGY -- 1.9% Anadarko Finance, Ser B 7.500%, 05/01/31 5,363 5,850 Anadarko Petroleum 6.450%, 09/15/36 5,150 5,011 5.755%, 06/15/07 (F) 4,650 4,660 BP Canada Finance 3.625%, 01/15/09 2,740 2,667 Canadian Natural Resources 6.250%, 03/15/38 1,405 1,354 5.700%, 05/15/17 1,420 1,395 Conoco Funding 7.250%, 10/15/31 885 1,016 6.950%, 04/15/29 4,195 4,671 6.350%, 10/15/11 430 446 ConocoPhillips 5.900%, 10/15/32 10 10 4.750%, 10/15/12 880 855 ConocoPhillips Canada 5.625%, 10/15/16 2,510 2,516 Devon Financing 6.875%, 09/30/11 2,575 2,705 EMP Nacional del Petrole (C) 6.750%, 11/15/12 171 179 4.875%, 03/15/14 892 846 El Paso 6.950%, 06/01/28 2,250 2,273 -------------------------------------------------------------------------------- 164 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- El Paso Natural Gas (C) 5.950%, 04/15/17 $ 1,055 $ 1,039 Enbridge 5.800%, 06/15/14 1,629 1,627 GAZ Capital (C) 6.510%, 03/07/22 4,640 4,721 6.212%, 11/22/16 8,377 8,398 Hess 7.300%, 08/15/31 6,731 7,313 Husky Oil Ltd. 7.550%, 11/15/16 1,680 1,860 Kansas Gas & Electric 5.647%, 09/29/15 2,815 2,729 Kerr-Mcgee 6.950%, 07/01/24 2,325 2,439 Kinder Morgan Energy Partners 7.125%, 03/15/12 1,760 1,864 6.000%, 02/01/17 660 657 5.000%, 12/15/13 1,190 1,136 Mantis Reef II (C) 4.799%, 11/03/09 1,095 1,074 Nakilat (C) 6.267%, 12/31/33 856 828 6.067%, 12/31/33 1,524 1,467 Nevada Power, Ser M 5.950%, 03/15/16 1,250 1,243 Nexen 7.875%, 03/15/32 958 1,104 5.875%, 03/10/35 280 256 Pemex Project Funding Master Trust 6.660%, 06/15/07 (C) (F) 1,411 1,453 6.625%, 06/15/35 4,034 4,276 Petrobras International Finance 6.125%, 10/06/16 6,680 6,713 Petroleum Export (C) 5.265%, 06/15/11 636 618 4.623%, 06/15/10 399 393 Ras Laffan LNG II (C) 5.298%, 09/30/20 879 830 Ras Laffan LNG III (C) 6.332%, 09/30/27 2,590 2,577 Shell International Finance 5.200%, 03/22/17 2,270 2,207 Sonat 7.625%, 07/15/11 2,880 3,026 Southern Natural Gas (C) (J) 5.900%, 04/01/17 1,170 1,152 Southern Star Cent Gas (C) 6.000%, 06/01/16 1,875 1,870 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Tesoro (C) 6.500%, 06/01/17 $ 765 $ 766 Williams 8.750%, 03/15/32 2,170 2,582 7.750%, 06/15/31 (J) 740 810 Williams, Ser A 7.500%, 01/15/31 20 22 XTO Energy 7.500%, 04/15/12 1,320 1,425 YPF Sociedad Anonima MTN, Ser A 7.750%, 08/27/07 3,000 3,004 -------------- 109,933 -------------- FINANCIALS -- 15.5% ABX Financing (C) 6.350%, 10/15/36 5,200 5,086 ACE 6.700%, 05/15/36 1,180 1,225 ASIF Global Financing XIX (C) 4.900%, 01/17/13 450 437 Aegon (F) 5.362%, 07/15/07 2,180 1,880 Aiful (C) 5.000%, 08/10/10 2,620 2,560 4.450%, 02/16/10 3,322 3,199 Allied Capital 6.625%, 07/15/11 6,705 6,780 Allied World Assurance 7.500%, 08/01/16 2,000 2,126 American Express (F) 6.800%, 09/01/16 995 1,039 American General Finance (C) (F) (K) 5.370%, 06/15/07 23,287 23,286 American International Group 6.250%, 03/15/37 (J) 3,660 3,537 5.600%, 10/18/16 (J) 1,210 1,208 4.700%, 10/01/10 2,975 2,918 American International Group MTN 5.450%, 05/18/17 3,355 3,306 Australia & New Zealand Banking Group (F) 5.556%, 10/29/49 1,590 1,377 BAC Capital Trust XI 6.625%, 05/23/36 1,555 1,627 BNP Paribas (F) 5.445%, 09/23/07 1,080 923 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 165 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2007 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Banco Mercantile (C) (F) 6.135%, 10/13/16 $ 2,345 $ 2,354 Banco Santander Chile 7.375%, 07/18/12 659 710 Bank One 7.875%, 08/01/10 4,440 4,755 Bank of America 5.420%, 03/15/17 (C) 3,300 3,218 5.375%, 06/15/14 1,920 1,899 4.250%, 10/01/10 1,560 1,511 Bank of Ireland (F) 5.625%, 06/05/07 1,030 893 Bank of Nova Scotia (F) 5.625%, 08/23/07 790 683 Bank of Scotland (F) 5.625%, 11/29/49 330 283 Bankamerica Capital II 8.000%, 12/15/26 402 418 Banponce Trust I, Ser A 8.327%, 02/01/27 2,410 2,513 Barclays Bank (F) 5.750%, 07/02/07 440 384 Bear Stearns EXL (F) (K) 5.360%, 06/15/07 28,587 28,587 Capital One Bank 4.875%, 05/15/08 2,985 2,971 Capital One Financial 6.150%, 09/01/16 1,850 1,853 Capital One III 7.686%, 08/15/36 2,000 2,137 Chuo Mitsui Trust & Banking (C) (F) 5.506%, 12/15/49 1,814 1,739 Cigna 6.150%, 11/15/36 1,375 1,345 Citigroup 5.500%, 02/15/17 2,155 2,120 5.100%, 09/29/11 1,295 1,278 4.125%, 02/22/10 (J) 6,820 6,622 3.625%, 02/09/09 6,275 6,106 Corp Andina de Fomento 5.125%, 05/05/15 710 680 Countrywide Financial MTN (F) (K) 5.430%, 06/27/07 9,636 9,636 Countrywide Financial MTN, Ser A (F) (K) 5.440%, 08/06/07 24,090 24,090 Credit Suisse First Boston (F) 5.500%, 06/19/07 655 560 Credit Suisse First Boston London (C) (F) (L) 0.000%, 06/24/07 8,339 7,620 0.000%, 06/24/07 4,701 4,296 ------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Credit Suisse USA (J) 5.500%, 08/16/11 $ 4,315 $ 4,324 Danske Bank (C) (F) 5.914%, 06/16/07 536 538 Den Norske Bank (F) 5.625%, 08/18/07 190 164 5.563%, 08/27/07 650 553 Depfa ACS Bank (C) 5.125%, 03/16/37 4,200 3,909 Deutsche Bank Capital Funding Trust (C) (F) 5.628%, 01/19/49 4,789 4,636 Developers Divers Realty+ 5.375%, 10/15/12 1,155 1,136 Dresdner Funding Trust I (C) 8.151%, 06/30/31 1,336 1,578 Dryden Investor Trust (C) (H) 7.157%, 07/23/08 1,442 1,470 ERP Operating 5.750%, 06/15/17 2,210 2,193 5.500%, 10/01/12 550 547 Eksportfinans 5.500%, 05/25/16 4,250 4,315 Eksportfinans MTN, Ser G 5.125%, 10/26/11 1,078 1,073 Equity One+ 3.875%, 04/15/09 7,100 6,860 Farmers Exchange Capital (C) 7.200%, 07/15/48 3,582 3,663 7.050%, 07/15/28 1,063 1,103 Farmers Insurance Exchange (C) 8.625%, 05/01/24 4,118 4,868 First Industrial MTN 7.500%, 12/01/17 2,765 3,030 Ford Motor Credit 7.875%, 06/15/10 7,200 7,269 7.375%, 10/28/09 (J) 15,740 15,795 7.250%, 10/25/11 329 324 7.000%, 10/01/13 6,549 6,267 6.625%, 06/16/08 10,480 10,489 Fund American 5.875%, 05/15/13 1,448 1,428 GE Capital Franchise MTN+ 6.860%, 06/15/07 1,100 1,100 GMAC LLC 8.000%, 11/01/31 898 987 7.750%, 01/19/10 2,370 2,434 7.560%, 06/25/07 (F) 11,009 11,395 7.250%, 03/02/11 2,755 2,808 6.306%, 07/16/07 (F) 3,340 3,341 6.125%, 01/22/08 415 414 6.125%, 08/28/07 (J) 9,860 9,861 5.625%, 05/15/09 7,680 7,583 -------------------------------------------------------------------------------- 166 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- General Electric Capital MTN, Ser A 6.000%, 06/15/12 $ 7,085 $ 7,241 3.750%, 12/15/09 4,022 3,874 Glitnir Bank 6.693%, 06/15/16 (C) (F) 4,480 4,661 6.330%, 07/28/11 (C) 2,440 2,495 Goldman Sachs Capital II (F) 5.793%, 12/29/49 9,315 9,186 Goldman Sachs Group 6.600%, 01/15/12 2,630 2,737 5.125%, 01/15/15 (J) 4,555 4,389 HBOS (C) (F) 5.375%, 11/29/49 2,419 2,368 HSBC Bank (F) 5.875%, 06/19/07 1,460 1,263 5.663%, 06/11/07 2,320 1,972 HSBC Finance 8.000%, 07/15/10 2,330 2,492 7.000%, 05/15/12 1,975 2,088 6.375%, 11/27/12 365 377 HVB Funding Trust III (C) 9.000%, 10/22/31 1,226 1,558 Hartford Financial Services Group (J) 5.500%, 10/15/16 1,470 1,450 Health Care Properties+ 6.000%, 01/30/17 6,000 5,936 5.650%, 12/15/13 3,400 3,331 Highwoods Realty+ 7.500%, 04/15/18 3,888 4,255 7.125%, 02/01/08 3,803 3,841 ILFC E-Capital Trust II (C) (F) (J) 6.250%, 12/21/65 1,200 1,194 Intergas Finance (C) (J) 6.375%, 05/14/17 4,703 4,623 International Lease Finance MTN 5.750%, 06/15/11 3,350 3,399 5.650%, 06/01/14 1,675 1,667 5.580%, 08/24/07 (F) 1,805 1,811 Irish Life & Permanent MTN, Ser X (C) (F) (K) 5.360%, 06/21/07 21,360 21,359 JPMorgan Chase 5.750%, 01/02/13 3,670 3,700 5.600%, 06/01/11 4,515 4,542 5.150%, 10/01/15 180 174 5.125%, 09/15/14 2,010 1,957 JPMorgan Chase Capital XVIII, Ser R (J) 6.950%, 08/17/36 3,605 3,741 Jackson National Life Funding (C) (F) (K) 5.320%, 06/01/07 35,332 35,332 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Kaupthing Bank 7.125%, 05/19/16 (C) $ 12,000 $ 12,760 6.045%, 07/12/07 (C) (F) 6,870 6,923 5.750%, 10/04/11 (C) 1,120 1,122 Korea Development Bank 4.250%, 11/13/07 560 556 Landsbanki Islands (C) 6.100%, 08/25/11 6,520 6,633 Lazard Group 7.125%, 05/15/15 5,765 5,997 Lehman Brothers Holdings Capital Trust VII MTN 5.857%, 05/31/12 611 606 5.857%, 11/29/49 (F) 2,620 2,592 Lehman Brothers Holdings Capital Trust VIII (F) 6.190%, 08/31/07 1,310 1,316 Lehman Brothers Holdings MTN 11.000%, 11/07/16 (F) 5,269 5,090 8.920%, 08/16/07 (F) 3,023 2,940 5.750%, 05/17/13 3,705 3,731 5.250%, 02/06/12 2,765 2,731 0.000%, 06/20/07 (F) (M) 4,940 4,765 Lehman Brothers Holdings MTN, Ser H (F) (M) 0.000%, 11/30/07 3,736 3,375 Liberty Mutual Group (C) (J) 7.500%, 08/15/36 2,714 2,847 Liberty Property+ 7.750%, 04/15/09 1,026 1,062 6.375%, 08/15/12 397 410 Lloyds TSB Bank, Ser 1 (F) 5.625%, 11/14/07 410 360 Lloyds TSB Bank, Ser 2 (F) 5.563%, 08/21/07 110 95 Lloyds TSB Bank, Ser 3 (F) 5.560%, 08/31/07 1,600 1,374 Lukoil International Finance (C) 6.656%, 06/07/22 409 409 6.356%, 06/07/17 646 646 MUFG Capital Finance (F) 6.346%, 07/25/49 1,459 1,467 6.346%, 07/25/49 1,840 1,846 Mangrove Bay Passthru Trust (C) (F) 6.102%, 07/15/33 2,095 2,033 Master Alternative Loans Trust, Ser 2006-3, Cl AA3 6.250%, 06/01/07 802 805 Mellon Capital I, Ser A 7.720%, 12/01/26 827 859 Merrill Lynch 7.430%, 09/01/22 5 5 5.700%, 05/02/17 1,980 1,949 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 167 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Merrill Lynch MTN (F) 8.950%, 11/18/07 $ 4,185 $ 3,938 8.680%, 11/02/07 4,035 3,841 Merrill Lynch MTN, Ser B 3.375%, 09/14/07 1,650 1,641 Metlife 6.400%, 12/15/36 4,440 4,250 Mizuho Finance 8.375%, 04/27/09 785 822 8.375%, 12/29/49 530 555 Morgan Stanley 5.375%, 10/15/15 1,345 1,309 5.300%, 03/01/13 2,637 2,596 4.750%, 04/01/14 2,270 2,137 Morgan Stanley EXL (F) (K) 5.400%, 06/04/07 5,621 5,621 Morgan Stanley EXL, Ser S (F) (K) 5.360%, 06/04/07 8,030 8,030 Morgan Stanley MTN (F) 5.809%, 07/18/07 1,530 1,533 NB Capital Trust IV 8.250%, 04/15/27 4,865 5,060 National Australia Bank (F) 5.525%, 10/09/07 130 112 5.525%, 10/09/07 740 639 National Capital Trust II (C) (F) 5.486%, 06/17/07 3,207 3,088 National Westminster Bank, Ser B (F) 5.625%, 07/09/07 740 637 National Westminster Bank, Ser C (F) 5.500%, 08/27/07 160 137 Nationwide Building Society (C) (F) (K) 5.410%, 06/28/07 8,833 8,833 5.370%, 06/07/07 16,060 16,060 Nationwide Mutual Insurance (C) 6.600%, 04/15/34 2,483 2,398 North Front Pass-Through Trust (C) (F) 5.810%, 06/15/07 5,291 5,155 Northern Rock (C) (F) (K) 5.380%, 06/04/07 16,542 16,542 PF Export Receivables Master Trust (C) 6.436%, 06/01/15 1,696 1,754 PNC Funding 5.625%, 02/01/17 1,425 1,410 5.250%, 11/15/15 2,975 2,884 Paribas, Ser 1986 (F) 5.500%, 06/11/07 693 594 Pemex Finance 9.690%, 08/15/09 1,125 1,179 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Power Receivables Financial 6.290%, 01/01/12 $ 3,545 $ 3,579 6.290%, 01/01/12 (C) 1,119 1,130 Premium Asset Trust, Ser 2004-10 (C) (F) (K) 5.380%, 06/15/07 22,484 22,484 Prime Property Funding+ (C) 5.600%, 06/15/11 3,380 3,368 5.500%, 01/15/14 5,000 4,958 Prologis+ 5.500%, 04/01/12 2,550 2,539 5.250%, 11/15/10 870 862 Prudential Financial MTN 5.700%, 12/14/36 2,425 2,280 RBS Capital Trust III (F) 5.512%, 09/30/07 400 388 RSHB Captl (C) 6.299%, 05/15/17 5,600 5,617 Rabobank Capital Fund Trust II (C) (F) 5.260%, 12/29/49 1,171 1,136 Rabobank Capital Fund Trust III (C) (F) 5.254%, 06/30/07 1,337 1,283 Residential Capital 7.187%, 07/11/07 (C) (F) 3,170 3,158 6.500%, 06/01/12 2,251 2,251 6.500%, 04/17/13 4,665 4,611 6.460%, 08/22/07 (F) 1,195 1,196 6.125%, 11/21/08 8,980 8,959 6.000%, 02/22/11 1,860 1,828 Resona Bank Ltd. (C) (F) 5.850%, 09/29/49 1,793 1,758 Resona Preferred Global Securities (C) (F) 7.191%, 07/30/49 2,590 2,718 Royal Bank of Canada (F) 5.538%, 06/21/07 1,010 865 Royal Bank of Scotland Group 5.750%, 06/11/07 (F) 2,380 2,032 5.000%, 10/01/14 2,465 2,371 SLM MTN (F) (K) 5.320%, 06/15/07 17,666 17,666 SLM MTN, Ser CPI (F) 3.540%, 06/01/07 4,180 3,916 SMFG Preferred Capital (C) (F) (J) 6.078%, 01/25/17 6,810 6,701 Security Benefit Life (C) 8.750%, 05/15/16 5,200 5,975 Shinsei Finance Cayman (C) (F) 6.418%, 01/29/49 4,560 4,533 Simon Property Group+ 5.750%, 05/01/12 2,200 2,220 5.600%, 09/01/11 1,930 1,937 -------------------------------------------------------------------------------- 168 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Skandinav Enskilda Bank (C) (F) (K) 5.320%, 06/18/07 $ 17,666 $ 17,665 Societe Generale 5.922%, 10/05/07 (C) (F) 2,034 1,997 5.438%, 11/26/07 (F) 680 586 5.395%, 11/26/07 (F) 180 155 Standard Chartered I (F) 5.563%, 07/16/07 1,840 1,523 Standard Chartered II (F) 5.625%, 11/07/07 2,790 2,344 Standard Chartered III (F) 5.525%, 06/04/07 180 149 Standard Chartered IV (F) 5.730%, 07/06/07 290 241 Stanfield Victoria LLC MTN (C) (K) 5.450%, 06/11/07 16,060 16,060 Stingray Pass-Through Trust (C) 5.902%, 01/12/15 3,600 3,337 Sumitomo Mitsui Banking 8.150%, 08/01/08 442 453 8.150%, 08/29/49 951 974 SunTrust Capital VIII (F) (J) 6.100%, 06/06/07 5,450 5,050 TNK-BP Finance 7.500%, 07/18/16 140 147 7.500%, 07/18/16 (C) (J) 3,750 3,934 6.625%, 03/20/17 (C) 1,750 1,720 Toll Road Investment Partners II (C) (E) 5.440%, 02/15/45 6,915 885 Toyota Motor Credit 2.875%, 08/01/08 1,970 1,913 Twin Reefs Pass-Through (C) (F) 6.320%, 06/10/07 900 902 UDR+ 5.500%, 04/01/14 2,900 2,840 UFJ Finance Aruba 8.750%, 08/13/49 316 329 8.750%, 11/29/49 1,060 1,104 US Bancorp MTN, Ser N 3.125%, 03/15/08 1,520 1,493 UniCredito Italiano Bank (C) (F) (K) 5.350%, 07/11/07 40,150 40,145 Wachovia 5.300%, 10/15/11 4,770 4,742 5.250%, 08/01/14 250 245 4.875%, 02/15/14 2,470 2,369 Wachovia Capital Trust III (F) 5.800%, 03/15/11 3,717 3,722 Washington Mutual 4.000%, 01/15/09 1,478 1,443 Washington Mutual Bank 5.650%, 08/15/14 3,920 3,871 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Washington+ 5.350%, 05/01/15 $ 695 $ 672 Wells Fargo 5.000%, 11/15/14 1,145 1,103 Wells Fargo Capital 5.950%, 12/15/36 960 916 Westfield Capital (C) 4.375%, 11/15/10 1,900 1,833 Westfield Group (C) 5.400%, 10/01/12 2,695 2,671 Westpac Banking (F) 5.525%, 09/30/07 870 742 Westpac Capital Trust IV (C) (F) 5.256%, 12/29/49 1,259 1,187 Woodbourne Pass-Through Trust (C) (F) 6.420%, 06/08/07 2,500 2,518 Woori Bank (C) (F) (J) 6.125%, 05/03/16 1,385 1,401 ZFS Finance USA Trust II (C) (F) 6.450%, 12/15/65 2,549 2,523 Zions Bancorp 5.500%, 11/16/15 1,880 1,829 Zurich Capital Trust I (C) 8.376%, 06/01/37 8,350 8,720 -------------- 913,074 -------------- HEALTH CARE -- 0.5% Abbott Laboratories 5.875%, 05/15/16 2,960 3,004 Amgen (C) 5.850%, 06/01/17 2,235 2,225 Cardinal Health (J) 5.850%, 12/15/17 4,875 4,778 Coventry Health Care 5.950%, 03/15/17 2,930 2,896 HCA 5.750%, 03/15/14 5,548 4,875 Tenet Healthcare 7.375%, 02/01/13 168 158 Teva Pharmaceutical Finance LLC 6.150%, 02/01/36 1,190 1,135 Wyeth 6.950%, 03/15/11 8,125 8,526 5.950%, 04/01/37 4,220 4,088 -------------- 31,685 -------------- INDUSTRIALS -- 1.6% Air 2 US (C) 8.027%, 10/01/19 4,944 5,191 America West Airlines, Ser 1999-1 7.930%, 01/02/19 4,748 5,113 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 169 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- American Airlines, Ser 1999-1 7.024%, 10/15/09 $ 2,320 $ 2,372 Burlington North Santa Fe 6.150%, 05/01/37 1,205 1,184 Cedar Brakes I LLC (C) 8.500%, 02/15/14 1,457 1,572 Cedar Brakes II LLC (C) 9.875%, 09/01/13 5,635 6,234 Continental Airlines, Ser 02-1 6.563%, 02/15/12 1,400 1,454 Continental Airlines, Ser 1999-2 7.256%, 03/15/20 1,424 1,520 Continental Airlines, Ser 971A 7.461%, 04/01/15 2,330 2,420 Continental Airlines, Ser A 5.983%, 04/19/22 3,000 2,962 Continental Airlines, Ser AMBC 6.236%, 03/15/20 2,308 2,318 Corning 5.250%, 08/15/36 955 997 Delta Air Lines, Ser 2000-1 7.379%, 05/18/10 1,409 1,439 Delta Air Lines, Ser 2001-1, Cl A-2 7.111%, 09/18/11 10,100 10,460 Eastman Kodak 7.250%, 11/15/13 2,445 2,457 Electronic Data Systems 7.125%, 10/15/09 2,990 3,080 Hutchison Wham International (C) 7.450%, 11/24/33 2,425 2,746 Stauffer Chemical (E) 5.833%, 04/15/18 860 453 5.704%, 04/15/17 350 194 5.202%, 04/15/10 300 256 Tyco International Group 7.000%, 06/15/28 1,875 2,226 6.875%, 01/15/29 8,875 10,394 6.750%, 02/15/11 1,170 1,229 6.375%, 10/15/11 8,785 9,162 6.125%, 11/01/08 320 323 6.125%, 01/15/09 120 121 6.000%, 11/15/13 1,945 2,036 US Steel 6.050%, 06/01/17 785 778 5.650%, 06/01/13 1,120 1,110 United Technologies 6.500%, 06/01/09 1,670 1,708 5.400%, 05/01/35 670 617 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Waste Management 7.375%, 05/15/29 $ 5 $ 5 7.125%, 12/15/17 4,840 5,091 7.100%, 08/01/26 1,375 1,421 Xerox 5.500%, 05/15/12 2,235 2,207 -------------- 92,850 -------------- MATERIALS -- 0.2% Codelco (C) 4.750%, 10/15/14 900 851 Vale Overseas Limited 8.250%, 01/17/34 210 251 6.875%, 11/21/36 6,568 6,727 6.250%, 01/23/17 3,430 3,451 Weyerhaeuser 6.750%, 03/15/12 410 426 -------------- 11,706 -------------- SOVEREIGN -- 0.4% Quebec Province 5.125%, 11/14/16 3,640 3,569 Republic of Italy 5.375%, 06/15/33 1,780 1,705 Russian Federation (C) (G) 7.500%, 09/30/07 2,622 2,938 Russian Federation Registered (G) 7.500%, 03/31/30 1,072 1,202 State of Israel 5.500%, 11/09/16 3,000 2,952 United Mexican States 5.625%, 01/15/17 84 84 United Mexican States MTN, Ser A 7.500%, 04/08/33 218 263 6.750%, 09/27/34 8,530 9,494 5.875%, 01/15/14 1,545 1,581 -------------- 23,788 -------------- TELECOMMUNICATION SERVICES -- 1.1% AT&T 6.800%, 05/15/36 1,255 1,328 6.150%, 09/15/34 4,730 4,635 5.100%, 09/15/14 2,410 2,328 America Movil 6.375%, 03/01/35 2,830 2,841 BellSouth 4.750%, 11/15/12 190 183 BellSouth Telecommunications 7.000%, 12/01/95 2,248 2,272 British Telecommunications PLC 8.375%, 12/15/10 1,310 1,439 -------------------------------------------------------------------------------- 170 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Deutsche Telekom International Finance 8.250%, 06/15/30 $ 1,140 $ 1,393 5.750%, 03/23/16 2,175 2,141 Embarq 7.995%, 06/01/36 1,190 1,241 France Telecom 8.500%, 03/01/31 1,895 2,431 Koninklije 8.000%, 10/01/10 5,100 5,480 New Cingular Wireless Services 8.125%, 05/01/12 1,255 1,391 Rogers Wireless 6.375%, 03/01/14 1,405 1,441 SBC Communications 5.625%, 06/15/16 2,375 2,351 Sprint Capital 8.750%, 03/15/32 2,045 2,357 8.375%, 03/15/12 5,300 5,809 6.875%, 11/15/28 1,027 1,002 6.125%, 11/15/08 2,950 2,967 Sprint Nextel 6.000%, 12/01/16 2,181 2,103 Telecom Italia Capital 5.250%, 11/15/13 580 560 5.250%, 10/01/15 370 350 4.950%, 09/30/14 1,320 1,239 Telefonica Emisiones Sau 5.984%, 06/20/11 5,705 5,779 Telus 8.000%, 06/01/11 1,509 1,614 Verizon Communications 7.375%, 09/01/12 1,730 1,873 6.875%, 06/15/12 465 492 5.500%, 04/01/17 2,345 2,289 Vodafone Group PLC 6.150%, 02/27/37 1,214 1,171 -------------- 62,500 -------------- UTILITIES -- 1.3% Allegheny Energy Supply (C) (J) 8.250%, 04/15/12 1,755 1,909 Amerada Hess 7.875%, 10/01/29 650 743 Arizona Public Services 8.000%, 12/30/15 780 855 Cogentrix Energy (C) 8.750%, 10/15/08 6,200 6,477 Commonwealth Edison 4.700%, 04/15/15 1,362 1,249 Commonwealth Edison, Ser 104 5.950%, 08/15/16 1,600 1,584 Commonwealth Edison, Ser 98 6.150%, 03/15/12 3,168 3,199 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- DPL 6.875%, 09/01/11 $ 5,385 $ 5,630 Dominion Resources 5.700%, 09/17/12 3,560 3,587 4.750%, 12/15/10 740 722 4.125%, 02/15/08 250 248 Dominion Resources, Ser D 5.125%, 12/15/09 850 843 Duke Energy 6.250%, 01/15/12 460 474 5.625%, 11/30/12 525 529 Empresa Nacional Electric 8.625%, 08/01/15 340 395 Exelon 5.625%, 06/15/35 4,860 4,457 FPL Energy American Wind (C) 6.639%, 06/20/23 4,783 4,972 FirstEnergy, Ser B 6.450%, 11/15/11 3,110 3,214 FirstEnergy, Ser C 7.375%, 11/15/31 7,425 8,308 Hydro-Quebec, Ser JL 6.300%, 05/11/11 1,050 1,088 Midamerican Energy Holdings 6.125%, 04/01/36 1,765 1,744 Nevada Power, Ser A 8.250%, 06/01/11 4,055 4,397 NiSource Finance 6.150%, 03/01/13 1,304 1,318 Northwestern 5.875%, 11/01/14 1,532 1,499 Pacific Gas & Electric 6.050%, 03/01/34 3,275 3,247 5.800%, 03/01/37 840 803 Power Contract Financing (C) 6.256%, 02/01/10 3,592 3,613 Public Service Colorado 7.875%, 10/01/12 2,670 2,958 Swepco Capital Trust I (F) 5.250%, 10/01/43 4,465 4,423 TXU Energy 7.000%, 03/15/13 460 474 TXU, Ser P (J) 5.550%, 11/15/14 370 328 TXU, Ser Q 6.500%, 11/15/24 410 352 TXU, Ser R 6.550%, 11/15/34 4,385 3,697 -------------- 79,336 -------------- Total Corporate Obligations (Cost $1,409,908) ($ Thousands) 1,414,520 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 171 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 22.1% AUTOMOTIVE -- 0.7% AmeriCredit Automobile Receivables Trust, Ser 2003-DM, Cl A4 2.840%, 08/06/10 $ 1,932 $ 1,924 AmeriCredit Automobile Receivables Trust, Ser 2004-1, Cl C 4.220%, 07/06/09 46 45 Americredit Prime Automobile Receivables, Ser 2007-1, Cl A3 5.120%, 11/08/11 3,692 3,692 Capital Auto Receivables Asset Trust, Ser 2004-2, Cl A2 3.350%, 02/15/08 22 22 Capital Auto Receivables Asset Trust, Ser 2006-1, Cl A3 5.030%, 10/15/09 2,473 2,465 Capital Auto Receivables Asset Trust, Ser 2007-1, Cl A3A 5.000%, 04/15/11 2,046 2,036 Carmax Auto Owner Trust, Ser 2006-2, Cl A3 5.150%, 02/15/11 4,312 4,299 Carmax Auto Owner Trust, Ser 2007-2, Cl A3 5.230%, 12/15/11 2,567 2,567 DaimlerChrysler Auto Trust, Ser 2006-D, Cl A4 4.940%, 02/08/12 2,283 2,259 Ford Credit Auto Owner Trust, Ser 2005-A, Cl A3 3.480%, 11/15/08 2,968 2,957 Ford Credit Auto Owner Trust, Ser 2005-B, Cl A3 4.170%, 01/15/09 618 615 Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl A2 5.290%, 06/15/07 1,814 1,813 Honda Auto Receivables Owner Trust, Ser 2004-2, Cl A3 3.300%, 06/16/08 637 636 Nissan Auto Receivables Owner Trust, Ser 2006-B, Cl A3 5.160%, 02/15/10 1,176 1,173 Triad Auto Receivables Owner Trust, Ser 2003-B, Cl A4 3.200%, 12/13/10 585 576 Triad Auto Receivables Owner Trust, Ser 2006-B, Cl A4 5.520%, 06/12/07 1,086 1,088 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Triad Auto Receivables Owner Trust, Ser 2006-C, Cl A3 5.260%, 11/14/11 $ 1,931 $ 1,927 USAA Auto Owner Trust, Ser 2004-3, Cl A3 3.160%, 02/17/09 294 293 USAA Auto Owner Trust, Ser 2004-3, Cl A4 3.530%, 06/15/11 1,862 1,834 USAA Auto Owner Trust, Ser 2005-1, Cl A3 3.900%, 07/15/09 294 293 USAA Auto Owner Trust, Ser 2006-3, Cl A4 5.360%, 06/15/12 1,832 1,834 WFS Financial Owner Trust, Ser 2003-3, Cl A4 3.250%, 05/20/11 790 786 WFS Financial Owner Trust, Ser 2003-4, Cl A4 3.150%, 05/20/11 1,636 1,623 WFS Financial Owner Trust, Ser 2004-1, Cl A4 2.810%, 08/22/11 653 646 WFS Financial Owner Trust, Ser 2005-3, Cl A3A 4.250%, 06/17/10 539 536 Wachovia Auto Owner Trust, Ser 2004-A, Cl A4 3.660%, 07/20/10 4,252 4,233 Wachovia Auto Owner Trust, Ser 2005-B, Cl A2 4.820%, 02/20/09 663 662 -------------- 42,834 -------------- CREDIT CARDS -- 0.3% Capital One Master Trust, Ser 1998-1, Cl A 6.310%, 06/15/11 9,047 9,119 Chase Issuance Trust, Ser 2004-A9, Cl A9 3.220%, 06/15/10 3,314 3,289 Citibank Credit Card Issuance Trust, Ser 2004-A4, Cl A4 3.200%, 08/24/09 3,886 3,866 Discover Card Master Trust I, Ser 2003-1, Cl A3 (F) 5.460%, 06/15/07 1,005 1,006 MBNA Credit Card Master Note Trust, Ser 2003-A7, Cl A7 2.650%, 11/15/10 2,675 2,602 -------------- 19,882 -------------- -------------------------------------------------------------------------------- 172 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MORTGAGE RELATED SECURITIES -- 20.6% ABS Home Equity Loan Trust, Ser 2001-HE3, Cl A1 (F) 5.860%, 06/15/07 $ 402 $ 402 AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A (F) 5.560%, 06/25/07 4,012 4,016 Ace Securities, Ser 2006-SI3, Cl A1 (F) 5.420%, 06/25/07 10,806 10,805 Adjustable Rate Mortgage Trust, Ser 2005-8, Cl 4A11 (F) 5.442%, 06/01/07 12,892 12,638 American Tower Trust, Ser 2007-1A, Cl AFX (C) 5.420%, 04/15/37 3,409 3,372 Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A (F) 5.660%, 06/25/07 672 672 Asset Securitization, Ser 1996-D2, Cl A1 6.920%, 02/14/29 21 21 Banc of America Alternative Loan Trust, Ser 2004-5, Cl 4A1 5.000%, 06/25/19 1,753 1,732 Banc of America Alternative Loan Trust, Ser 2004-6, Cl 4A1 5.000%, 07/25/19 2,146 2,111 Banc of America Alternative Loan Trust, Ser 2006-4, Cl 4CB1 6.500%, 05/25/46 298 301 Banc of America Alternative Loan Trust, Ser 2006-7, Cl A3 (F) 5.913%, 10/25/36 2,029 2,021 Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1 (F) 6.294%, 06/01/07 2,616 2,624 Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1 (F) 6.507%, 06/01/07 605 608 Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl A4 6.186%, 06/11/35 80 82 Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B 6.309%, 06/11/35 1,075 1,109 Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A1 3.878%, 09/11/36 7,558 7,285 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A2 4.648%, 06/01/07 $ 2,349 $ 2,249 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 3,263 3,120 Banc of America Commercial Mortgage Securities, Ser 2004-2, Cl A5 4.580%, 06/01/07 564 533 Banc of America Commercial Mortgage Securities, Ser 2004-4, Cl A4 4.502%, 07/10/42 3,518 3,390 Banc of America Commercial Mortgage Securities, Ser 2004-6, Cl A3 4.512%, 12/10/42 5,620 5,406 Banc of America Commercial Mortgage Securities, Ser 2005-2, Cl A3 4.611%, 07/10/43 172 169 Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4 4.668%, 07/10/43 12,400 11,659 Banc of America Commercial Mortgage Securities, Ser 2005-5, Cl A4 (F) 5.115%, 10/10/45 1,806 1,745 Banc of America Commercial Mortgage Securities, Ser 2006-4, Cl A4 5.634%, 07/10/46 15,000 14,968 Banc of America Commercial Mortgage Securities, Ser 2006-5, Cl XC, IO (C) (F) 0.049%, 06/01/07 78,513 1,219 Banc of America Commercial Mortgage, Ser 2005-4, Cl A5A 4.933%, 06/01/07 578 552 Banc of America Commercial Mortgage, Ser 2007-6, Cl A4 (F) 5.182%, 06/01/07 4,280 4,179 Banc of America Funding, Ser 2005-B, Cl 2A1 (F) 5.112%, 06/01/07 6,193 6,131 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 173 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Banc of America Funding, Ser 2006-D, Cl 5A1 (F) 5.864%, 06/01/07 $ 1,547 $ 1,534 Banc of America Mortgage Securities, Ser 2003-1, Cl 2A4 5.000%, 02/25/18 4,306 4,172 Banc of America Mortgage Securities, Ser 2004-F, Cl 2A6 (F) 4.148%, 06/01/07 1,697 1,655 Bear Stearns Asset-Backed Securities, Ser 2006-AC1, Cl 1A1 (G) 5.750%, 06/01/07 3,321 3,285 Bear Stearns Commercial Mortgage Securities 5.660%, 09/11/41 1,189 1,172 Bear Stearns Commercial Mortgage Securities, Ser 2004-ESA, Cl C(C) 4.937%, 05/14/16 2,473 2,452 Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR5, Cl A3 4.565%, 07/11/42 115 111 Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR6, Cl A6 4.825%, 11/11/41 637 610 Bear Stearns Commercial Mortgage Securities, Ser 2004-T16, Cl A3 4.030%, 02/13/46 100 97 Bear Stearns Commercial Mortgage Securities, Ser 2005-T18, Cl A4 (F) 4.933%, 06/01/07 2,463 2,358 Bear Stearns Commercial Mortgage Securities, Ser 2006-T22, Cl A1 (F) 5.415%, 06/01/07 818 818 Bear Stearns Commercial Mortgage Securities, Ser 2007-PW15, Cl A3 5.309%, 02/11/44 2,636 2,591 CIGNA CBO, Ser 1996-1, Cl A2 (C) (G) 6.460%, 11/15/08 3,313 3,312 California Infrastructure SCE, Ser 1997-1, Cl A7 6.420%, 12/26/09 2,053 2,059 Capital One Multi-Asset Execution Trust, Ser 2006-A10, Cl A10 5.150%, 06/16/14 1,427 1,420 Chase Funding Mortgage Loan, Ser 2002-1, Cl 2A2 (F) 5.820%, 06/25/07 1,639 1,639 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Chase Manhattan Commercial Mortgage Trust, Ser 99-C2, Cl A2 (F) 7.546%, 11/17/32 $ 340 $ 351 Chase Mortgage Finance, Ser 2005-A1, Cl 1A1 (F) 5.415%, 06/01/07 2,706 2,651 Chase Mortgage Finance, Ser 2005-A1, Cl 2A3 (F) 5.250%, 06/01/07 13,166 12,933 Chaseflex Trust, Ser 2007-1, Cl 1A3 6.500%, 02/25/37 2,035 2,048 Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A2 (G) 5.682%, 07/25/36 2,150 2,143 Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A2 (G) 5.557%, 06/01/07 2,268 2,257 Citigroup Commercial Mortgage Trust, Ser 2004-CA, Cl C (F) 5.356%, 06/01/07 1,520 1,505 Citigroup Mortgage Loan Trust, Ser 2006-AR3, Cl 1A1A (F) 5.952%, 06/01/07 580 578 Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A (F) 5.360%, 06/25/07 3,206 3,206 Commercial Mortgage Pass-Through Certificate, Ser 1999-1, Cl E (F) 7.224%, 06/01/07 4,604 4,683 Commercial Mortgage Pass-Through Certificate, Ser 2000-C1, Cl C 7.706%, 08/15/33 637 675 Commercial Mortgage Pass-Through Certificate, Ser 2004-LB3A, Cl B (F) 5.281%, 06/01/07 2,400 2,359 Commercial Mortgage Pass-Through Certificate, Ser 2005-C6, Cl A3 5.144%, 06/10/07 12,600 12,339 Commercial Mortgage Pass-Through Certificate, Ser 2006-C7, Cl AM (F) 5.987%, 06/01/07 11,330 11,486 Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 8.130%, 08/15/31 4,203 4,252 Conseco Finance Securitization, Ser 2000-4, Cl A6 8.310%, 05/01/32 950 782 Contimortgage Home Equity Loan Trust, Ser 1997-2, Cl A9 7.090%, 04/15/28 54 54 -------------------------------------------------------------------------------- 174 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Contimortgage Home Equity Loan Trust, Ser 1997-5, Cl A6 6.870%, 03/15/24 $ 150 $ 150 Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1 6.000%, 12/25/34 3,348 3,347 Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 6.000%, 02/25/34 826 822 Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1 6.500%, 11/25/31 2,809 2,830 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 (F) 6.377%, 06/01/07 5,351 5,291 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 (F) 6.127%, 06/01/07 2,125 2,129 Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1 (F) 5.630%, 06/25/07 10,588 10,616 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 (F) 5.650%, 06/20/07 12,744 12,789 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 2X, IO (E) 1.710%, 06/01/07 29,683 995 Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 (F) 5.590%, 06/27/07 4,794 4,794 Countrywide Alternative Loan Trust, Ser 2006-7CB, Cl 1A9 6.000%, 05/25/36 578 582 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl A4 (F) 5.510%, 06/25/07 14,044 14,029 Countrywide Alternative Loan Trust, Ser 2006-OA14, Cl 1A2 (F) 5.907%, 06/01/07 1,352 1,352 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO 2.500%, 05/20/46 43,472 1,860 Countrywide Alternative Loan Trust, Ser 2006-OC6, Cl 2A1 (F) 5.390%, 06/25/07 4,723 4,724 Countrywide Asset-Backed Certificates, Ser 2001-BC3, Cl A (F) 5.800%, 06/25/07 93 93 Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 (F) 5.920%, 06/25/07 115 115 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Ser 2005-11, Cl AF1 (F) 5.500%, 06/25/07 $ 2,829 $ 2,829 Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A2 (F) 5.683%, 10/25/46 1,529 1,524 Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3 (F) 5.689%, 10/25/46 208 207 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 4,132 4,113 Countrywide Asset-Backed Certificates, Ser 2007-3, Cl 2A1 (F) 5.420%, 06/25/07 1,435 1,435 Countrywide Home Equity Loan Trust, Ser 2004-K, Cl A2 (F) 5.620%, 06/15/07 1,706 1,708 Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A (F) 5.560%, 06/15/07 7,719 7,725 Countrywide Home Equity Loan Trust, Ser 2005-H, Cl 2A (F) 5.560%, 06/15/07 6,514 6,519 Countrywide Home Loans, Ser 2005-20, Cl A7 5.250%, 06/01/07 882 857 Countrywide Home Loans, Ser 2005-R3, Cl AF (C) (F) 5.720%, 06/25/07 11,644 11,715 Credit Suisse First Boston Mortgage Securities, Ser 2005-C2, Cl A4 4.832%, 04/15/37 1,169 1,111 Credit Suisse First Boston Mortgage Securities, Ser 1998-C2, Cl A2 6.300%, 11/15/30 3,377 3,404 Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A (G) 5.600%, 09/25/31 963 948 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 5.183%, 11/15/36 19,927 19,587 Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl A4 (F) 5.137%, 08/15/36 1,905 1,864 Credit Suisse First Boston Mortgage Securities, Ser 2003-CK2, Cl A4 4.801%, 03/15/36 119 115 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 175 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Credit Suisse First Boston Mortgage Securities, Ser 2004-C2, Cl A1 3.819%, 05/15/36 $ 11,056 $ 10,544 Credit Suisse First Boston Mortgage Securities, Ser 2004-C5, Cl A4 4.829%, 06/15/07 3,302 3,153 Credit Suisse First Boston Mortgage Securities, Ser 2005-C1, Cl AAB 4.815%, 06/01/07 1,154 1,120 Credit Suisse First Boston Mortgage Securities, Ser 8, Cl 1A2 5.250%, 06/01/07 5,167 5,009 Criimi Mae Commercial Mortgage, Ser 1998-C1, Cl A2 (C) 7.000%, 06/02/33 1,457 1,445 DLJ Commercial Mortgage, Ser 1999-CG2, Cl A1B 7.300%, 06/10/32 3,524 3,625 DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B (F) 5.720%, 06/19/07 5,447 5,476 Delta Funding Home Equity Loan, Ser 1999-3, Cl A1A (F) 6.140%, 06/15/07 402 402 Deutsche Mortgage and Asset Receivables, Ser 1998-C1, Cl A2 6.538%, 06/15/31 3,111 3,114 Duke Funding, Ser 2004-6B, Cl A1S1 (C) (F) (K) 5.420%, 07/09/07 12,045 12,045 EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 (C) (F) 5.790%, 06/25/07 1,363 1,369 Equivantage Home Equity Loan Trust, Ser 1997-2, Cl A3 (G) 7.775%, 06/01/07 385 384 First Horizon Trust, Ser 2004-HE2, Cl A (F) 5.540%, 06/25/07 2,091 2,092 First Horizon Trust, Ser 2006-HE2, Cl A (F) 5.450%, 06/25/07 880 879 First Union National Bank, Ser 2001-C4, Cl B 6.417%, 12/12/33 926 957 Fleet Home Equity Trust, Ser 2001-1, Cl A (F) 5.530%, 06/01/07 157 157 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GE Capital Commercial Mortgage, Ser 2001-3, Cl A1 5.560%, 06/10/38 $ 113 $ 113 GE Capital Commercial Mortgage, Ser 2001-A, Cl A3 6.030%, 08/11/33 1,531 1,543 GE Capital Commercial Mortgage, Ser 2002-3A, Cl A2 4.996%, 12/10/37 12,500 12,228 GE Capital Commercial Mortgage, Ser 2003-C1, Cl A3 4.371%, 01/10/38 25 24 GE Capital Commercial Mortgage, Ser 2004-C3, Cl A4 (F) 5.189%, 06/01/07 2,979 2,911 GE Capital Commercial Mortgage, Ser 2005-C4, Cl A3A (F) 5.334%, 06/01/07 14,000 13,904 GMAC Commercial Mortgage Securities, Ser 2000-C2, Cl A2 7.455%, 08/16/33 3,284 3,435 GMAC Commercial Mortgage Securities, Ser 2004-C1, Cl A1 3.118%, 03/10/38 572 560 GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A1 3.896%, 08/10/38 248 244 GMAC Mortgage Loan Trust, Ser 2004-HE4, Cl A1 (F) 5.600%, 06/25/07 2,994 2,995 GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1 5.500%, 06/01/07 1,048 1,038 GMAC Mortgage Loan Trust, Ser 2005-HE3, Cl A1VN (F) 5.580%, 06/25/07 21,469 21,489 GS Mortgage Securities, Ser 1998-GLII, Cl A2 6.562%, 04/13/31 6,639 6,670 GS Mortgage Securities, Ser 2004-GG2, Cl A6 (F) 5.396%, 08/10/38 1,043 1,031 GS Mortgage Securities, Ser 2005-GG4, Cl AABA 4.680%, 07/10/39 5,800 5,571 GS Mortgage Securities, Ser 2006-C1, Cl B 6.970%, 10/18/30 878 890 -------------------------------------------------------------------------------- 176 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GSAMP Trust, Ser 2003-SEA, Cl A1 (F) 5.720%, 06/25/07 $ 2,911 $ 2,923 GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A (C) 8.000%, 09/19/27 8 8 GSMPS Mortgage Loan Trust, Ser 2006-RP2, Cl 1AF1 (C) (F) 5.720%, 06/25/07 3,118 3,113 Great America Leasing Receivables, Ser 2006-1, Cl A3 (C) 5.340%, 01/15/10 2,517 2,512 Green Tree Financial, Ser 1996-5, Cl A6 7.750%, 07/15/27 952 987 Greenpoint Mortgage Funding Trust, Ser 2007-AR1, Cl 1A1A (F) 5.400%, 06/25/07 22,522 22,526 Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A2 5.117%, 04/10/37 1,517 1,503 Greenwich Capital Commercial Funding, Ser 2007-GC9, Cl X, IO (C) (F) 0.512%, 06/01/07 22,813 547 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO (E) 1.435%, 06/01/07 19,653 405 Harborview Mortgage Loan Trust, Ser 2005-10, Cl X, IO (F) 1.404%, 06/01/07 29,728 794 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO (F) 1.209%, 06/01/07 28,186 665 Heller Financial Commercial Mortgage, Ser 1999-PH1, Cl C (F) 7.040%, 06/15/07 239 244 IMPAC CMB Trust, Ser 2003-12, Cl A1 (F) 6.080%, 06/25/07 1,092 1,093 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO (E) 1.589%, 06/01/07 14,310 304 JPMorgan Chase Commercial Mortgage, Ser 2002-C2, Cl A2 5.050%, 12/12/34 5,996 5,860 JPMorgan Chase Commercial Mortgage, Ser 2002-CIB5, Cl A2 5.161%, 10/12/37 1,137 1,117 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage, Ser 2003-CB7, Cl A4 (F) 4.879%, 06/12/07 $ 1,672 $ 1,612 JPMorgan Chase Commercial Mortgage, Ser 2004-C3, Cl A1 4.200%, 07/12/35 75 73 JPMorgan Chase Commercial Mortgage, Ser 2004-C3, Cl A2 4.223%, 01/15/42 12,948 12,575 JPMorgan Chase Commercial Mortgage, Ser 2004-C3, Cl A4 4.657%, 01/15/42 4,000 3,843 JPMorgan Chase Commercial Mortgage, Ser 2005-CB11, Cl ASB (F) 5.201%, 08/12/37 1,711 1,683 JPMorgan Chase Commercial Mortgage, Ser 2005-CB12, Cl A4 4.895%, 09/12/37 530 505 JPMorgan Chase Commercial Mortgage, Ser 2005-CB13, Cl AM (F) 5.335%, 06/01/07 1,143 1,123 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP3, Cl ASB (F) 4.893%, 08/15/42 2,276 2,206 JPMorgan Chase Commercial Mortgage, Ser 2005-LDP4, Cl A4 (F) 4.918%, 06/01/07 6,200 5,911 JPMorgan Chase Commercial Mortgage, Ser 2006-CB16, Cl AM 5.593%, 05/12/45 11,570 11,457 JPMorgan Chase Commercial Mortgage, Ser 2006-LDP7, Cl A1 (F) 5.834%, 06/01/07 70 71 JPMorgan Chase Commercial Mortgage, Ser 2006-LDP7, Cl A2 (F) 5.862%, 06/01/07 315 320 JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AF6 (G) 5.501%, 06/01/07 9,605 9,386 JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2 (F) 4.850%, 12/25/34 6,572 6,460 JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A4 (F) 4.849%, 06/01/07 11,500 11,209 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 177 SCHEDULE OF INVESTMENTS CORE FIXED INCOME FUND (CONTINUED) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2 (F) 4.511%, 06/25/07 $ 13,065 $ 12,249 JPMorgan Mortgage Trust, Ser 2005-A8, Cl 1A1 (F) 5.410%, 06/01/07 6,424 6,327 JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2 (F) 5.773%, 06/01/07 13,400 13,344 JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4 (F) 5.768%, 06/01/07 14,500 14,446 LB Commercial Conduit Mortgage Trust, Ser 1999-C2, Cl B 7.425%, 10/15/32 371 386 LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 5.594%, 06/15/31 20,824 20,887 LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4 (F) 5.124%, 11/15/32 16,549 16,170 LB-UBS Commercial Mortgage Trust, Ser 2004-C4, Cl A2 (F) 4.567%, 06/11/07 510 503 LB-UBS Commercial Mortgage Trust, Ser 2004-C8, Cl A4 4.510%, 06/11/07 360 346 LB-UBS Commercial Mortgage Trust, Ser 2005-C1, Cl C (F) 4.836%, 06/11/07 334 314 LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4 4.998%, 04/15/30 123 120 LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A5 (F) 5.150%, 04/15/30 7,909 7,681 LB-UBS Commercial Mortgage Trust, Ser 2005-C5, Cl A2 4.885%, 09/15/30 180 178 LB-UBS Commercial Mortgage Trust, Ser 2005-C7, Cl A2 5.103%, 11/15/30 995 985 LB-UBS Commercial Mortgage Trust, Ser 2005-C7, Cl AM (F) 5.263%, 06/11/07 1,312 1,278 LB-UBS Commercial Mortgage Trust, Ser 2006-C7, Cl A2 5.300%, 11/15/38 2,425 2,404 LB-UBS Commercial Mortgage Trust, Ser 2006-C7, Cl E (F) 5.516%, 06/11/07 494 477 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Ser 2007-C1. Cl AAB 5.403%, 02/15/40 $ 1,357 $ 1,341 LB-UBS Commercial Mortgage Trust, Ser 2007-C2, Cl A2 5.303%, 02/15/40 2,500 2,476 LB-UBS Commercial Mortgage Trust, Ser 2007-C3, Cl A2 6.365%, 12/15/28 1,931 1,989 Lehman XS Trust, Ser 2005-5N, Cl 1A1 (F) 5.620%, 06/01/07 8,110 8,124 Lehman XS Trust, Ser 2005-7N, Cl 1A1B (F) 5.620%, 06/25/07 5,709 5,733 Lone Star CBO Funding, Ser 1X, Cl A 5.834%, 06/15/07 8,721 8,725 Long Beach Mortgage Loan Trust, Ser 2006-4, Cl 2A1 (F) 5.400%, 06/25/07 7,191 7,191 MLCC Mortgage Investors, Ser 2004-B, Cl A3 (F) 7.034%, 06/01/07 1,143 1,155 Master Adjustable Rate Mortgage Trust, Ser 2004-13, Cl 3A7A (F) 3.787%, 06/01/07 11,650 11,322 Master Alternative Loans Trust, Ser 2004-4, Cl 1A1 5.500%, 05/25/34 3,268 3,227 Master Asset-Backed Securities Trust, Ser 2005-AB1, Cl A1B (G) 5.143%, 06/01/07 739 734 Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 (C) 6.000%, 08/25/34 5,146 5,129 Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F (F) 5.680%, 06/25/07 2,287 2,297 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl C (F) 5.509%, 08/12/48 342 330 Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A (F) 5.347%, 06/01/07 8,449 8,305 Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2B (G) 5.609%, 06/01/07 699 696 Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D (G) 5.895%, 06/25/07 5,789 5,745 -------------------------------------------------------------------------------- 178 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Merrill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5 (F) 4.855%, 10/12/41 $ 4,751 $ 4,548 Merrill Lynch Mortgage Trust, Ser 2004-BPC1, Cl XC, IO (F) 0.157%, 06/01/07 22,046 438 Merrill Lynch Mortgage Trust, Ser 2004-MKB1, Cl A3 4.892%, 02/12/42 151 147 Merrill Lynch Mortgage Trust, Ser 2004-MKB1, Cl B (F) 5.280%, 02/12/42 916 896 Merrill Lynch Mortgage Trust, Ser 2005-CIP1, Cl AM (F) 5.107%, 06/01/07 1,116 1,073 Merrill Lynch Mortgage Trust, Ser 2005-LC1, Cl A4 (F) 5.291%, 06/01/07 4,548 4,441 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl ASB (F) 5.133%, 12/12/49 6,890 6,706 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl B (F) 5.479%, 08/12/48 307 297 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl X, IO (F) 0.736%, 08/12/48 4,040 169 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4 (F) 5.485%, 03/12/51 8,200 8,069 Metropolitan Asset Funding, Ser 1997-B, Cl A1D (C) 7.130%, 03/20/12 101 101 Mid-State Trust, Ser 11, Cl A1 4.864%, 07/15/38 3,351 3,152 Morgan Stanley Capital I, Ser 2003-IQ5, Cl A4 5.010%, 06/01/07 3,770 3,672 Morgan Stanley Capital I, Ser 2004-HQ3, Cl D 4.900%, 01/13/41 339 325 Morgan Stanley Capital I, Ser 2004-T13, Cl B (F) 4.760%, 09/13/45 1,145 1,093 Morgan Stanley Capital I, Ser 2005-HQ5, Cl A3 5.007%, 01/14/42 110 108 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Morgan Stanley Capital I, Ser 2005-HQ5, Cl AAB 5.037%, 01/14/42 $ 3,614 $ 3,533 Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A 4.989%, 08/13/42 4,630 4,443 Morgan Stanley Capital I, Ser 2005-HQ7, Cl AAB (F) 5.350%, 06/01/07 5,573 5,490 Morgan Stanley Capital I, Ser 2006-WMC1, Cl A2A (F) 5.390%, 06/25/07 555 555 Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A (F) 5.360%, 06/25/07 1,565 1,564 Morgan Stanley Dean Witter Capital, Ser 2000-LIFE, Cl A2 7.570%, 11/15/36 3,068 3,191 Morgan Stanley Dean Witter Capital, Ser 2002-IQ2, Cl A3 5.520%, 12/15/35 2,212 2,210 Morgan Stanley Dean Witter Capital, Ser 2003-HQ2, Cl A1 4.180%, 03/12/35 278 265 Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1 (F) 5.370%, 06/25/07 1,533 1,533 Morgan Stanley Mortgage Loan Trust Ser 2007-3XS, Cl 2A3S (G) 5.858%, 06/01/07 31 31 Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S (F) 5.430%, 06/25/07 1,398 1,398 Nationslink Funding, Ser 1999-1, Cl 2 6.316%, 11/20/08 5,821 5,861 New York Mortgage Trust, Ser 2006-1, Cl 2A2 (F) 5.663%, 06/01/07 788 787 Nomura Asset Securities, Ser 1998-D6, Cl A1C 6.690%, 03/15/30 166 173 Oakwood Mortgage Investors, Ser 2002-C, Cl A, IO 6.000%, 08/15/10 6,833 925 Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2 4.030%, 02/15/12 2,791 2,740 Option One Mortgage Loan Trust, Ser 2001-4, Cl A (F) 5.920%, 06/25/07 433 434 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 179 SCHEDULE OF INVESTMENTS CORE FIXED INCOME FUND (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Origen Manufactured Housing, Ser 2002-A, Cl A1 (F) 5.560%, 06/15/07 $ 74 $ 74 Ownit Mortgage Loan Asset-Backed Securities Trust, Ser 2006-1, Cl AF1 (G) 5.424%, 12/25/36 942 937 Prime Mortgage Trust, Ser 2006-CL1, Cl A1 (F) 5.820%, 06/25/07 120 120 Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1 (C) 5.500%, 05/25/35 3,876 3,820 RAAC, Ser 2005-SP1, Cl 2A2 5.250%, 06/01/07 2,361 2,330 Renaissance Home Equity Loan Trust, Ser 2005-3, Cl AF2 (G) 4.723%, 06/01/07 584 581 Renaissance Home Equity Loan Trust, Ser 2006-1, Cl AF3 (G) 5.608%, 06/01/07 998 994 Renaissance Home Equity Loan Trust, Ser 2007-2. Cl AF3 (G) 0.000%, 07/01/07 1,143 1,137 Residential Accredit Loans, Ser QO8, Cl 1A1A (F) 5.410%, 06/25/07 19,353 19,359 Residential Asset Mortgage Products, Ser 2003-RS7, Cl AI6 5.340%, 06/01/07 1,356 1,325 Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 6.500%, 11/25/31 2,332 2,355 Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2 6.500%, 12/25/31 3,965 3,997 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 (F) 5.244%, 06/01/07 3,897 3,873 Residential Funding Mortgage Securities, Ser 2000-HI1, Cl AI7 (G 8.290%, 02/25/25 2,380 2,370 Residential Funding Mortgage Securities, Ser 2005-HS1, Cl AI1 (F) 5.440%, 06/25/07 5,731 5,718 Residential Funding Mortgage Securities, Ser 2007-HSA3, Cl AI2 (F) 5.890%, 05/25/37 922 922 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Securitized Asset-Backed Receivables LLC, Ser 2005-FR4, Cl A3 (F) 5.520%, 06/25/07 $ 1,574 $ 1,574 Start, Ser 2003-1, Cl X (F) 4.130%, 07/21/07 3,994 3,974 Start, Ser 2003-2, Cl X (F) 4.600%, 07/21/07 1,576 1,575 Structured Adjustable Rate Mortgage Loan, Ser 2005-19XS, Cl 1A1 (F) 5.640%, 06/26/07 10,465 10,511 TMS SBA Loan Trust, Ser 1999-1, Cl A (F) 6.050%, 06/15/07 182 181 Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1 (C) (F) 4.000%, 06/01/07 2,973 2,937 Thornburg Mortgage Securities Trust, Ser 2005-3, Cl 2A1 (F) (J) 5.560%, 06/25/07 14,357 14,368 Thornburg Mortgage Securities Trust, Ser 2005-4, Cl A4 (F) 5.520%, 06/25/07 18,614 18,592 Thornburg Mortgage Securities Trust, Ser 2006-1, Cl A3 (F) 5.490%, 06/01/07 24,414 24,392 UBS Paine Webber Commercia Mortgage Trust, Ser 2003-C5, Cl A2 3.478%, 07/15/27 1,990 1,947 UBS Paine Webber Commercial Mortgage Trust, Ser 2004-C8, Cl A 4.201%, 12/15/29 886 862 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1A, Cl A4 6.287%, 04/15/34 2,587 2,667 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C2, Cl A4 4.980%, 11/15/34 2,061 2,006 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3 4.957%, 08/15/35 4,490 4,407 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A2 (C) (F) 5.077%, 06/01/07 3,361 3,272 -------------------------------------------------------------------------------- 180 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 4.445%, 11/15/35 $ 949 $ 922 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C9, Cl A4 5.012%, 12/15/35 993 962 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C9, Cl B 5.109%, 06/01/07 593 577 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C10, Cl A4 4.748%, 02/15/41 9,950 9,487 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C11, Cl B 5.306%, 06/01/07 2,965 2,911 Wachovia Bank Commercial Mortgage Trust, Ser 2004-C15, Cl B 4.892%, 06/01/07 1,579 1,503 Wachovia Bank Commercial Mortgage Trust, Ser 2005 C-22, Cl A4 (F) 5.441%, 06/01/07 8,028 7,872 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C18, Cl A4 4.935%, 04/15/42 3,563 3,407 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C19, Cl A6 4.699%, 05/15/44 1,349 1,268 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A4 (F) 5.223%, 06/01/07 280 278 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A7 (F) 5.118%, 06/01/07 2,924 2,829 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C21, Cl A4 (F) 5.371%, 06/01/07 1,824 1,786 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl APB 5.997%, 06/15/45 3,853 3,932 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Washington Mutual Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A (F) 4.124%, 06/01/07 $ 2,417 $ 2,397 Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A 5.000%, 02/25/18 1,413 1,366 Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-MS2, Cl 3A1 5.000%, 03/25/18 5,247 5,085 Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 22A1 5.000%, 06/01/07 1,065 1,043 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1 (F) 5.610%, 06/25/07 6,977 6,991 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2 (F) 5.600%, 06/25/07 10,071 10,107 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A (F) 5.121%, 06/25/07 13,585 13,391 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2 (F) 5.610%, 06/25/07 10,376 10,405 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-1, Cl 3A2 5.750%, 02/25/36 6,327 6,315 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B (F) 6.053%, 06/01/07 4,607 4,607 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4 (F) 5.668%, 06/01/07 768 767 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A (F) 5.823%, 06/01/07 4,530 4,548 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 181 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A1B (F) 5.823%, 06/01/07 $ 2,614 $ 2,608 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 2A1B (F) 5.896%, 06/01/07 2,888 2,889 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR16, Cl 2A4 (F) 5.668%, 12/25/36 589 583 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B (F) 5.793%, 06/01/07 853 850 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A (F) 5.892%, 06/01/07 969 971 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA (F) 5.953%, 06/01/07 4,766 4,769 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl A1B (F) 5.903%, 06/01/07 1,507 1,505 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-0A3, Cl 2A (F) 5.733%, 06/01/07 432 432 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 1A1 (F) 5.732%, 06/01/07 9,627 9,612 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 4A1 (F) 5.492%, 06/01/07 10,266 10,196 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-HY3, Cl 1A1 (F) 5.705%, 06/01/07 11,380 11,357 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl 1A (F) 5.777%, 06/01/07 24,300 24,300 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl 1A1B (F) 5.777%, 06/01/07 24,300 24,270 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-0, Cl A1 (F) 4.894%, 06/01/07 $ 1,264 $ 1,233 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl A-1 (F) 4.527%, 06/01/07 6,297 6,110 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-S, Cl A7 (F) 3.540%, 06/01/07 280 271 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-14, Cl 2A1 5.500%, 06/01/07 1,303 1,261 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR10, Cl 2A14 (F) 4.110%, 06/01/07 1,500 1,467 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR10, Cl 2A17 (F) 3.500%, 06/01/07 2,085 2,034 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR14, Cl A1 (F) 5.388%, 06/01/07 1,448 1,415 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 7A1 (F) 5.258%, 06/01/07 3,974 3,873 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-2, Cl 3A1 5.750%, 03/25/36 16,977 16,682 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-7, Cl 3A1 6.000%, 06/01/07 821 820 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR18, Cl 1A1 (F) 6.000%, 06/01/07 1,849 1,845 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR19, Cl A1 (F) 5.690%, 06/01/07 3,911 3,870 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 7A1 5.114%, 06/01/07 2,941 2,880 -------------------------------------------------------------------------------- 182 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities, Ser 2004-l, Cl A5 (F) 4.802%, 07/25/34 $ 881 $ 859 Wells Fargo Mortgage-Backed Securities, Ser 2004-l, Cl A6 (F) 4.802%, 07/25/34 895 867 Zuni Mortgage Loan Trust, Ser 2006-0A1, Cl A1 (F) 5.450%, 06/25/07 12,654 12,643 -------------- 1,213,753 -------------- OTHER ASSET-BACKED SECURITIES -- 0.5% CNH Equipment Trust, Ser 2004-A, Cl A4A (F) 5.430%, 06/15/07 3,468 3,471 California Infrastructure PG&E, Ser 1, Cl A8 6.480%, 12/26/09 494 495 Caterpillar Financial Asset Trust, Ser 2006-A, Cl A2 5.590%, 02/25/09 64 64 Connecticut RRB Special Purpose Trust, Ser 2001-1, Cl A5 6.210%, 12/30/11 1,371 1,401 Credit-Based Asset Servicing, Ser 2006-CB2, Cl AF2 (G) 5.501%, 12/25/36 1,999 1,990 Diamond Investment Grade CDO, Ser 1X, Cl A1 (F) 5.779%, 10/11/07 9,933 9,941 Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2 (C) 5.261%, 04/25/37 3,452 3,400 Embarcadero Aircraft, Ser 2000-A, Cl A1 (C) (F) 5.800%, 06/15/07 4,465 3,896 Equity One Asset-Backed Securities, Ser 2003-2, Cl M1 5.050%, 09/25/33 1,050 1,034 MSDWCC Heloc Trust, Ser 2005-1, Cl A (F) 5.510%, 06/25/07 720 720 -------------- 26,412 -------------- Total Asset-Backed Securities (Cost $1,316,044) ($ Thousands) 1,302,881 -------------- U.S. TREASURY OBLIGATIONS -- 20.6% U.S. Treasury Bills 4.749%, 06/21/07 (A) 743 741 4.625%, 02/15/17 (A) (B) 23,387 22,885 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. Treasury Bonds 8.875%, 02/15/19 (J) $ 7,358 $ 9,851 8.125%, 08/15/19 (J) 10,595 13,563 7.500%, 11/15/16 2,362 2,816 7.125%, 02/15/23 (J) 4,442 5,402 6.625%, 02/15/27 (J) 5,374 6,380 6.250%, 08/15/23 to 05/15/30 (J) 42,184 47,810 6.125%, 11/15/27 (J) 41,371 46,756 5.375%, 02/15/31 (J) 3,765 3,926 4.500%, 03/31/12 to 02/15/36 (J) 157,856 151,612 3.875%, 01/15/09 to 04/15/29 (D) 8,987 9,565 3.625%, 04/15/28 (D) (J) 29,447 34,715 2.375%, 04/15/11 to 01/15/27 (D) (J) 67,636 66,739 2.000%, 01/15/26 (D) 5,064 4,666 U.S. Treasury Notes 6.000%, 08/15/09 (J) 24,250 24,794 5.125%, 05/15/16 (J) 37,151 37,729 5.000%, 07/31/08 110 110 4.875%, 10/31/08 to 02/15/12 (J) 144,087 144,282 4.750%, 02/15/10 to 02/15/37 (J) 81,731 80,623 4.625%, 11/30/08 to 02/29/12 (J) 28,380 28,212 4.500%, 02/15/09 to 05/15/17 (J) 170,783 168,291 4.375%, 11/15/08 to 12/15/10 (J) 32,670 32,259 4.250%, 11/15/14 (J) 27,648 26,564 4.000%, 04/15/10 to 02/15/14 (J) 3,270 3,145 3.875%, 05/15/09 to 09/15/10 (J) 27,240 26,708 3.750%, 05/15/08 (J) 9,730 9,613 3.500%, 11/15/09 to 02/15/10 (J) 46,135 44,624 3.375%, 02/15/08 to 10/15/09 (J) 78,960 77,056 3.375%, 01/15/12 (D) 266 276 2.500%, 07/15/16 (D) (J) 21,479 21,474 2.000%, 07/15/14 (D) (J) 9,475 9,173 1.875%, 07/15/15 (D) (J) 34,270 32,709 0.875%, 04/15/10 (D) 65 62 U.S. Treasury STRIPS 6.294%, 11/15/21 (E) (J) 23,570 11,238 4.839%, 08/15/19 (E) 13,073 7,079 -------------- Total U.S. Treasury Obligations (Cost $1,221,916) ($ Thousands) 1,213,448 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 183 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.7% FFCB 4.750%, 05/07/10 $ 2,245 $ 2,221 FHLB 5.400%, 01/02/09 4,470 4,466 5.375%, 08/19/11 2,690 2,711 4.375%, 09/17/10 (J) 3,000 2,932 FHLB CMO, Ser 2014-17, Cl 1 5.340%, 03/20/14 15,358 15,357 FHLMC 6.875%, 09/15/10 (J) 6,520 6,859 6.625%, 09/15/09 (J) 4,870 5,022 6.000%, 06/15/11 6,320 6,509 5.750%, 06/27/16 2,853 2,907 5.625%, 11/23/35 (J) 5,250 5,023 5.000%, 01/16/09 (J) 5,703 5,678 5.000%, 04/18/17 3,381 3,312 4.750%, 03/05/12 6,600 6,478 FHLMC CMO, Ser 1, Cl Z 9.300%, 04/15/19 38 40 FHLMC CMO, Ser 1081, Cl K 7.000%, 05/15/21 691 715 FHLMC CMO, Ser 1101, Cl M 6.950%, 07/15/21 353 352 FHLMC CMO, Ser 1611, Cl Z 6.500%, 11/15/23 9,965 10,265 FHLMC CMO, Ser 1663, Cl ZB 6.750%, 06/01/07 1,549 1,587 FHLMC CMO, Ser 1983, Cl Z 6.500%, 12/15/23 1,399 1,445 FHLMC CMO, Ser 2043, Cl CJ 6.500%, 04/15/28 3,022 3,070 FHLMC CMO, Ser 2389, Cl CD 6.000%, 03/15/16 2,766 2,774 FHLMC CMO, Ser 2542, Cl ES 5.000%, 12/15/17 3,680 3,576 FHLMC CMO, Ser 2544, Cl IW, IO 5.500%, 03/15/26 1,627 54 FHLMC CMO, Ser 2579, Cl PI, IO 5.500%, 03/15/27 400 5 FHLMC CMO, Ser 2583, Cl TD 4.500%, 12/15/13 3,443 3,339 FHLMC CMO, Ser 2614, Cl TD 3.500%, 05/15/16 6,239 5,986 FHLMC CMO, Ser 2623, Cl AJ 4.500%, 06/01/07 2,531 2,445 FHLMC CMO, Ser 2631, Cl MT 3.500%, 01/15/22 2,994 2,970 FHLMC CMO, Ser 2645, Cl MK 3.500%, 07/15/22 3,746 3,706 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC CMO, Ser 2647, Cl PJ 3.250%, 06/15/26 $ 10,757 $ 10,418 FHLMC CMO, Ser 2733, Cl ME 5.000%, 01/15/34 6,302 5,837 FHLMC CMO, Ser 2735, Cl OG 5.000%, 08/15/32 1,507 1,443 FHLMC CMO, Ser 2735, Cl PG 5.500%, 09/15/32 520 508 FHLMC CMO, Ser 2778, Cl JD 5.000%, 12/15/32 2,186 2,090 FHLMC CMO, Ser 2780, Cl TB 3.000%, 12/15/24 2,609 2,544 FHLMC CMO, Ser 2793, Cl GE 5.500%, 11/15/32 434 423 FHLMC CMO, Ser 2809, Cl HX, IO 6.000%, 10/15/24 1,771 63 FHLMC CMO, Ser 2841, Cl BD 4.000%, 06/01/07 165 159 FHLMC CMO, Ser 2883, Cl HK 5.000%, 04/15/32 1,126 1,088 FHLMC CMO, Ser 2890, Cl AP 3.750%, 12/15/11 3,304 3,225 FHLMC CMO, Ser 2899, Cl QY 4.000%, 10/15/25 2,184 2,139 FHLMC CMO, Ser 2945, Cl SA 2.718%, 06/15/07 6,606 6,093 FHLMC CMO, Ser 2950, Cl OP 5.500%, 10/15/33 4,283 4,227 FHLMC CMO, Ser 2960, Cl NC 5.500%, 10/15/32 489 483 FHLMC CMO, Ser 2964, Cl ND 5.500%, 04/15/33 3,032 2,964 FHLMC CMO, Ser 2975, Cl EA 5.000%, 06/01/07 2,220 2,196 FHLMC CMO, Ser 3000, Cl PA 3.900%, 01/15/23 3,669 3,552 FHLMC CMO, Ser 3017, Cl TA 4.500%, 08/15/35 3,837 3,664 FHLMC CMO, Ser 3019, Cl VM 5.000%, 08/15/16 2,103 2,057 FHLMC CMO, Ser 3020, Cl MA 5.500%, 04/15/27 5,177 5,172 FHLMC CMO, Ser 3035, Cl DM 5.500%, 11/15/25 3,012 3,010 FHLMC CMO, Ser 3086, Cl PA 5.500%, 05/15/26 6,249 6,246 FHLMC CMO, Ser 3115, Cl MB 5.500%, 12/15/20 814 800 FHLMC CMO, Ser 3135, Cl JA 6.000%, 09/15/27 5,777 5,813 FHLMC CMO, Ser 3151, Cl LA 6.000%, 11/15/27 5,886 5,919 -------------------------------------------------------------------------------- 184 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC CMO, Ser 3151, Cl PA 6.000%, 06/01/07 $ 7,453 $ 7,497 FHLMC CMO, Ser 3164, Cl NA 6.000%, 06/01/07 16,551 16,660 FHLMC CMO, Ser 3164, Cl NC 6.000%, 12/15/32 537 541 FHLMC CMO, Ser 3171, Cl NE 6.000%, 06/01/07 2,737 2,755 FHLMC CMO, Ser 3172, Cl PA 6.000%, 06/01/07 7,240 7,285 FHLMC CMO, Ser 3176, Cl HA 6.000%, 02/15/28 6,021 6,064 FHLMC CMO, Ser 3178, Cl MA 6.000%, 10/15/26 16,802 16,916 FHLMC CMO, Ser 3179, Cl PD 5.750%, 06/01/07 9,350 9,365 FHLMC CMO, Ser 3184, Cl LA 6.000%, 03/15/28 7,700 7,751 FHLMC CMO, Ser 3192, Cl GA 6.000%, 03/15/27 4,305 4,332 FHLMC CMO, Ser 3205, Cl PC 6.000%, 09/15/32 4,464 4,493 FHLMC CMO, Ser 3215, Cl QA 6.000%, 06/15/27 5,441 5,477 FHLMC CMO, Ser 3216, Cl NA 6.000%, 05/15/28 3,605 3,632 FHLMC CMO, Ser 3228, Cl PC 5.500%, 07/15/30 2,677 2,660 FHLMC CMO, Ser 3228, Cl PH 5.500%, 04/15/27 8,316 8,302 FHLMC CMO, Ser 3268, Cl HC 5.000%, 12/15/32 1,902 1,819 FHLMC CMO, Ser 3279, Cl PH 6.000%, 02/15/27 3,649 3,685 FHLMC CMO, Ser 3288, Cl PA 5.500%, 05/15/29 6,606 6,595 FHLMC CMO, Ser 3291, Cl BY 4.500%, 03/15/22 4,082 3,712 FHLMC CMO, Ser 3298, Cl VB 5.000%, 11/15/25 2,051 2,004 FHLMC CMO, Ser 3300, Cl PB 5.500%, 02/15/31 2,086 2,071 FHLMC CMO, Ser 3303, Cl PB 5.500%, 08/15/30 4,510 4,479 FHLMC CMO, Ser 3305, Cl PD 5.500%, 11/15/35 1,788 1,740 FHLMC CMO, Ser 3312, Cl AP 5.000%, 11/15/25 2,020 2,017 FHLMC CMO, Ser 3316, Cl EA 5.500%, 10/15/29 12,755 12,734 FHLMC CMO, Ser 3316, Cl HA 5.000%, 07/15/35 6,812 6,606 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC CMO, Ser 3316, Cl PB 5.500%, 03/15/31 $ 993 $ 985 FHLMC MTN 5.250%, 03/15/12 3,092 3,066 FHLMC, Ser 2588, Cl LG 5.500%, 03/15/32 FHLMC, Ser 2825, Cl QN 5.500%, 09/15/32 3,949 3,871 FHLMC, Ser 2835, Cl NG 5.500%, 07/15/33 1,240 1,219 FICO Strip Principal 0.000%, 09/26/19 6,474 3,363 FNMA 7.250%, 01/15/10 (J) 10,744 11,289 7.125%, 06/15/10 (J) 7,100 7,488 6.625%, 09/15/09 70 72 6.625%, 11/15/30 (J) 1,198 1,383 6.000%, 05/15/11 (J) 9,790 10,074 5.550%, 03/29/10 2,337 2,335 5.400%, 03/26/12 5,857 5,835 5.250%, 08/01/12 (J) 5,689 5,669 5.197%, 06/25/07 (E) 5,220 5,202 5.192%, 06/27/07 (E) 300 299 4.875%, 05/18/12 1,414 1,395 FNMA CMO, Ser 1999-11, Cl Z 5.500%, 03/25/29 4,427 4,378 FNMA CMO, Ser 2001-60, Cl JZ 6.000%, 03/25/31 207 207 FNMA CMO, Ser 2002-94, Cl BJ, IO 5.500%, 04/25/16 434 22 FNMA CMO, Ser 2002-T11, Cl A 4.768%, 04/25/12 338 334 FNMA CMO, Ser 2003-113, Cl PN 3.500%, 02/25/13 1,025 1,010 FNMA CMO, Ser 2003-15, Cl CH 4.000%, 06/01/07 1,673 1,620 FNMA CMO, Ser 2003-16, Cl PN 4.500%, 06/01/07 2,196 2,156 FNMA CMO, Ser 2003-30, Cl ET 3.500%, 08/25/16 3,423 3,300 FNMA CMO, Ser 2003-33, Cl CH 4.000%, 06/01/07 4,236 4,083 FNMA CMO, Ser 2003-86, Cl OX 4.500%, 09/25/26 9,158 8,959 FNMA CMO, Ser 2003-92, Cl PC 4.500%, 05/25/15 3,810 3,729 FNMA CMO, Ser 2003-T1, Cl A 3.807%, 11/25/12 1,049 1,006 FNMA CMO, Ser 2004-19, Cl AY 4.000%, 04/25/19 4,384 3,908 FNMA CMO, Ser 2004-34, Cl PL 3.500%, 05/25/14 3,615 3,548 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 185 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FNMA CMO, Ser 2004-88, Cl HA 6.500%, 07/25/34 $ 2,232 $ 2,270 FNMA CMO, Ser 2005-29, Cl AD 4.500%, 08/25/34 3,951 3,861 FNMA CMO, Ser 2005-30, Cl B 5.000%, 07/25/32 1,886 1,776 FNMA CMO, Ser 2005-38, Cl CD 5.000%, 06/25/19 2,633 2,593 FNMA CMO, Ser 2005-57, Cl EG (F) 5.620%, 06/25/07 3,600 3,602 FNMA CMO, Ser 2005-69, Cl JM 4.500%, 08/25/25 4,336 3,947 FNMA CMO, Ser 2005-92, Cl NM 3.500%, 04/25/13 1,169 1,152 FNMA CMO, Ser 2005-C2, Cl A2 4.821%, 04/15/30 233 230 FNMA CMO, Ser 2006-112, CL QA 5.500%, 06/01/07 9,451 9,420 FNMA CMO, Ser 2006-114, Cl CG 5.500%, 12/25/36 3,099 3,028 FNMA CMO, Ser 2006-18, Cl PA 5.500%, 01/25/26 3,154 3,145 FNMA CMO, Ser 2006-29, Cl PA 5.500%, 08/25/26 8,730 8,711 FNMA CMO, Ser 2006-31, Cl PA 5.500%, 11/25/26 3,733 3,725 FNMA CMO, Ser 2006-34, Cl PA 6.000%, 05/25/27 7,736 7,765 FNMA CMO, Ser 2006-41, Cl MA 5.500%, 04/25/24 3,315 3,309 FNMA CMO, Ser 2006-53, Cl PA 5.500%, 12/25/26 1,079 1,076 FNMA CMO, Ser 2006-55, Cl PA 6.000%, 05/25/26 5,146 5,167 FNMA CMO, Ser 2006-64, Cl PA 5.500%, 06/01/07 2,503 2,496 FNMA CMO, Ser 2006-80, Cl PB 6.000%, 06/01/07 6,919 6,957 FNMA CMO, Ser 2007-30, Cl MA 4.250%, 02/25/37 7,845 7,534 FNMA CMO, Ser 2007-5, Cl PB 6.000%, 07/25/33 4,768 4,794 FNMA CMO, Ser 2007-6, Cl PA 5.500%, 02/25/37 2,250 2,209 FNMA CMO, Ser 2007-7, Cl W 5.500%, 01/25/36 2,228 2,171 FNMA CMO, Ser 2007-B1, Cl VA 5.500%, 04/25/17 4,483 4,467 FNMA CMO, Ser 2632, Cl NE 4.000%, 06/15/13 10,122 9,737 -------------------------------------------------------------------------------- Face Amount ($ Thousands) Market Value Description /Contracts ($ Thousands) -------------------------------------------------------------------------------- FNMA CMO, Ser 3173, Cl PH 6.000%, 09/15/27 $ 4,898 $ 4,932 FNMA CMO, Ser 3217, Cl PY 6.000%, 07/15/29 10,086 10,157 FNMA CMO, Ser 3279, Cl PA 5.500%, 02/15/23 9,897 9,889 FNMA CMO, Ser 34, Cl QJ 4.500%, 01/25/16 5,128 5,034 FNMA CMO, Ser 45, Cl BA 4.500%, 11/25/14 166 165 FNMA CMO, Ser G93-20, Cl ZQ 7.000%, 06/01/07 1,560 1,612 FNMA CMO, Ser G93-39, Cl ZQ 6.500%, 06/01/07 1,682 1,725 FNMA CMO, Ser G93-41, Cl Z 7.000%, 06/01/07 2,180 2,256 GNMA CMO, Ser 2001-18, Cl WH (F) 7.840%, 06/20/07 263 273 GNMA CMO, Ser 2002-51, Cl SG (F) 9.446%, 06/20/07 238 259 GNMA CMO, Ser 2003-58, Cl LG, IO 5.500%, 05/17/29 3,000 199 GNMA CMO, Ser 2003-82, Cl IO, IO 5.500%, 03/20/29 3,440 190 GNMA CMO, Ser 2003-86, Cl ZK 5.000%, 10/20/33 10,403 9,039 GNMA CMO, Ser 2004-80, Cl IP, IO 5.500%, 07/20/34 6,475 521 GNMA CMO, Ser 2004-87, Cl LI, IO 5.000%, 12/20/28 6,082 403 GNMA CMO, Ser 2004-88, Cl MA 3.650%, 01/20/28 6,050 5,919 GNMA CMO, Ser 2006-17, Cl KY 5.000%, 04/20/36 8,481 8,325 GNMA CMO, Ser 2006-3, Cl A 4.212%, 01/16/28 948 924 GNMA CMO, Ser 2006-33, Cl NA 5.000%, 01/20/36 3,691 3,472 GNMA CMO, Ser 2006-37, Cl JG 5.000%, 07/20/36 1,723 1,621 GNMA CMO, Ser 2007-7, Cl PG 5.000%, 02/16/37 12,822 11,982 GNMA CMO, Ser 8, Cl A 3.942%, 08/16/25 1,328 1,295 -------------- Total U.S. Government Agency Obligations (Cost $636,187) ($ Thousands) 632,268 -------------- -------------------------------------------------------------------------------- 186 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Contracts ($ Thousands) -------------------------------------------------------------------------------- FOREIGN BONDS -- 0.2% Canadian Government 4.000%, 12/01/31 $ 1,180 $ 1,531 Deutsche Bundesrepublik 3.750%, 01/04/15 6,750 8,699 -------------- Total Foreign Bonds (Cost $9,933) ($ Thousands) 10,230 -------------- PREFERRED STOCK -- 0.1% Aegon, 6.235% (F) 27,000 679 Aegon, 6.375% 79,895 1,998 Deutsche Bank Contingent Capital Trust II, 6.550% 38,000 962 Merrill Lynch, 5.860% 63,100 1,593 Metlife, 6.500% 86,821 2,251 -------------- Total Preferred Stock (Cost $7,365) ($ Thousands) 7,483 -------------- PURCHASED SWAPTIONS -- 0.1% U.S. Swaption Call, Barclays 13,735,000 452 U.S. Swaption Call, Barclays 105,907,000 575 U.S. Swaption Call, Bear Stearns 68,900,000 1,574 U.S. Swaption Call, Merrill Lynch 11,686,000 432 U.S. Swaption Call, Merrill Lynch 88,575,000 543 U.S. Swaption Put, Barclays 11,026,000 317 U.S. Swaption Put, Barclays 85,920,000 394 U.S. Swaption Put, Bear Stearns 68,900,000 1,574 -------------- Total Purchased Swaptions (Cost $6,197) ($ Thousands) 5,861 -------------- CASH EQUIVALENTS -- 8.1% Evergreen Select Money Market Fund, Institutional Class, 5.210%* 344,308 344 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%*++ 44,463,701 44,464 SEI Liquidity Fund L.P., 5.490% (K)*++ 433,619,499 433,619 -------------- Total Cash Equivalents (Cost $478,427) ($ Thousands) 478,427 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (A) -- 2.0% Financials -- 2.0% Deutsche Bank 5.310%, 06/01/07 $ 4,689 $ 4,689 KKR Pacific Funding Trust (K) 5.310%, 06/15/07 29,069 29,009 OCALA Funding (K) 5.310%, 06/19/07 12,045 12,013 Rhineland Funding Capital (K) 5.280%, 06/06/07 5,903 5,899 Thornburg Mortgage Capital Resources (K) 5.290%, 06/07/07 32,120 32,092 Valour Bay Capital LLC (K) 5.320%, 06/11/07 13,109 13,089 5.320%, 06/13/07 24,090 24,047 -------------- Total Commercial Paper (Cost $120,838) ($ Thousands) 120,838 -------------- CERTIFICATES OF DEPOSIT -- 0.5% Barclays Bank (F) (K) 5.440%, 06/11/07 8,030 8,030 CC USA MTN (C) (K) 5.520%, 06/18/07 16,060 16,060 JPMorgan Chase 8.750%, 08/28/07 2,751 2,728 7.590%, 06/28/07 (F) 2,630 2,475 -------------- Total Certificates of Deposit (Cost $29,339) ($ Thousands) 29,293 -------------- MASTER NOTE (A) (K) -- 0.3% Bear Stearns 5.430%, 06/01/07 16,060 16,060 -------------- Total Master Note (Cost $16,060) ($ Thousands) 16,060 -------------- MUNICIPAL BONDS -- 0.1% Michigan Tobacco Settlement Finance, Ser A, RB 7.309%, 06/01/34 2,400 2,486 San Diego, Tobacco Settlement Asset Backed, RB 7.125%, 06/01/32 1,507 1,543 -------------- Total Municipal Bonds (Cost $3,951) ($ Thousands) 4,029 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 187 SCHEDULE OF INVESTMENTS Core Fixed Income Fund (Concluded) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Contracts ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (I) -- 14.3% Barclays 5.280%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $5,536,206 (collateralized by a U.S. Government obligation, par value $5,646,690, 0.000%, 06/01/07, total market value $5,646,125) (K) $ 5,535 $ 5,535 Deutsche Bank 5.250%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $643,893,888 (collateralized by U.S. Government obligations, ranging in par value $29,600,000-$50,000,000, 5.500%, 05/08/09, total market value $656,676,000) 643,800 643,800 Deutsche Bank 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $15,805,992 (collateralized by U.S. Government obligations, ranging in par value $87,366-$5,203,434, 4.000%- 6.000%, 02/01/08-11/04/20, total market value $16,119,796)(K) 15,804 15,804 Lehman Brothers 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $176,685,812 (collateralized by U.S. Government obligations, ranging in par value $37,323,880-$305,888,217, 3.875%- 8.875%, 06/15/08-03/15/31, total market value $180,193,188)(K) 176,660 176,660 -------------- Total Repurchase Agreements (Cost $841,799) ($ Thousands) 841,799 -------------- Total Investments -- 135.5% (Cost $8,028,218) ($ Thousands) $ 7,986,863 ============== WRITTEN SWAPTIONS -- 0.0% U.S. Swaption Call, Barclays (52,000,000) (1,061) U.S. Swaption Call, Merrill Lynch (44,000,000) (972) U.S. Swaption Put, Barclays (42,000,000) (746) -------------- Total Written Swaptions (Premium Received $(3,050)) ($ Thousands) $ (2,779) -------------- -------------------------------------------------------------------------------- Market Value Description Contracts ($ Thousands) -------------------------------------------------------------------------------- WRITTEN OPTIONS -- 0.0% July 2007 U.S. Ten Year Treasury Call, Expires 07/13/07, Strike Price: $99.25 (163) (7) June 2007 U.S. Ten Year Treasury Call, Expires 06/18/07, Strike Price $95 (172) (1) June 2007 U.S. Ten Year Treasury Put, Expires 06/18/07, Strike Price $94.75 (172) (47) -------------- Total Written Options (Premium Received $(105)) ($ Thousands) $ (55) -------------- A summary of the open futures contracts held by the Fund at May 31, 2007, is as follows: (see Note 2 in Notes to Financial Statements) -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- 90-Day Euro$ 1,840 Mar-2008 $ (963) 90-Day Euro$ 127 Jun-2007 (115) 90-Day Euro$ 1,078 Jun-2008 (852) 90-Day Euro$ 264 Sep-2008 (279) Euro-Bond 343 Jun-2007 (2,422) U.S. 2 Year Treasury Note 1,022 Sep-2007 (370) U.S. 5 Year Treasury Note 2,582 Sep-2007 (1,256) U.S. 10 Year Treasury Note (86) Sep-2007 6 U.S. Long Treasury Bond (7) Jun-2007 27 U.S. Long Treasury Bond (106) Sep-2007 18 ---------- $ (6,206) ========== A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2007, 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) -------------------------------------------------------------------------------- 8/8/07 CAD 6,242 USD 5,590 $ (263) 8/8/07 EUR 6,809 USD 9,277 92 8/8/07 GBP 9,109 USD 18,090 86 8/8/07 USD 19,751 JPY 2,316,816 (553) ---------- $ (638) ========== -------------------------------------------------------------------------------- 188 SEI Institutional Investments Trust / Annual Report /May 31, 2007 A summary of outstanding swap agreements held by the Fund at May 31, 2007 is as follows (see Note 2 in Notes to Financial Statements):
----------------------------------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS ----------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE ($ THOUSANDS) ($ THOUSANDS) ----------------------------------------------------------------------------------------------------------------------- Fund receives monthly payment of 0.2020% (2.420% per annum) times the notional amount of the ABX.HE.BBB 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 5,845 $ (12) Fund pays monthly payment of 0.1100% (1.330% per annum) times the notional amount of the ABX.HE.BBB 06-2 Index. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 7,599 (7) Fund pays monthly payment of 0.1100% (1.330% per annum) times the notional amount of the ABX.HE.BBB 06-2 Index. Upon a defined credit event, Fund receives the notional amount and delivers the defined deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 7,599 (190) Fund receives monthly payment of 0.2017% (2.420% per annum) times the notional amount of the ABX.HE.BBB 06-2 Index. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Lehman Brothers) 05/25/46 5,845 124 Fund receives quarterly payment of 0.0675% (0.270% per annum) times the notional amount of ConocoPhillips, 4.750%, 10/15/12. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: Morgan Stanley & Co.) 09/20/12 1,620 12 ----- $ (73) ===== ----------------------------------------------------------------------------------------------------------------------- INTEREST RATE SWAPS ----------------------------------------------------------------------------------------------------------------------- Pay fixed rate of 4.524% and receive floating rate, rate based on 5Y5Y Swaption Straddle. (Counterparty: Lehman Brothers) 05/24/17 6,830 $ (25) Pay fixed rate of 4.650% and receive floating rate, rate based on 5Y5Y Swaption Straddle. (Counterparty: Lehman Brothers) 05/18/17 12,000 (156) Receive fixed rate of 7.160% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Lehman Brothers) 05/25/22 6,000 22 Receive fixed rate of 7.880% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Lehman Brothers) 06/04/22 4,170 89 ----- $ (70) =====
-------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $5,894,127 ($ Thousands). * Rate shown is the 7-day effective yield as of May 31, 2007. + Real Estate Investment Trust ++ Affiliated security (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. (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 May 31, 2007. The date reported on the Schedule of Investments is the next reset date. (G) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on May 31, 2007. The coupon on a step bond changes on a specified date. (H) Securities considered illiquid. The total value of such securities as of May 31, 2007 was $1,470 ($ Thousands) and represented 0.02% of Net Assets. (I) Tri-Party Repurchase Agreement (J) This security or a partial position of this security is on loan at May 31, 2007 (see Note 9). The total value of securities on loan at May 31, 2007 was $1,069,407 ($ Thousands). (K) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of May 31, 2007 was $1,111,358 ($ 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. ARM -- Adjustable Rate Mortgage CAD -- Canadian Dollar CDO -- Collateralized Debt Obligation Cl -- Class CMO -- Collateralized Mortgage Obligation EXL -- Extendable Maturity EUR -- Euro FFCB -- Federal Fund Credit Bank FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FICO -- Fair Isaac Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GNMA -- Government National Mortgage Association IO -- Interest Only - Face Amount Represents Notional Amount JPY -- Japanese Yen LLC -- Limited Liability Company LP -- Limited Partnership MTN -- Medium Term Note 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 USD -- U.S. Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 189 SCHEDULE OF INVESTMENTS High Yield Bond Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 21.7% Financials 20.5% Consumer Discretionary 10.8% Short-Term Investments 8.4% Telecommunication Services 7.9% Materials 7.5% Industrials 7.0% Energy 5.0% Health Care 3.0% Information Technology 2.8% Utilities 2.5% Consumer Staples 1.5% Commercial Paper 0.3% Certificates of Deposit 0.3% Preferred Convertible Stock 0.2% Preferred Stock 0.2% Master Note 0.2% Common Stock 0.2% Asset Backed Securities ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 85.4% CONSUMER DISCRETIONARY -- 23.2% ALH Finance LLC 8.500%, 01/15/13 $ 3,125 $ 3,133 AMF Bowling Worldwide 10.000%, 03/01/10 800 840 Acco Brands 7.625%, 08/15/15 3,655 3,710 Adelphia Communications (C) 10.250%, 06/15/11 125 55 7.875%, 05/01/09 75 32 7.750%, 01/15/09 250 108 Adelphia Communications, Ser B PIK (C) 9.500%, 02/15/04 25 11 American Casino & Entertainment 7.850%, 02/01/12 25 26 American Greetings 7.375%, 06/01/16 700 715 Amscan Holdings 8.750%, 05/01/14 1,800 1,818 Aramark 8.856%, 08/01/07 (A) (D) 325 335 8.500%, 02/01/15 (A) (F) 4,825 5,072 Arvinmeritor (F) 8.750%, 03/01/12 1,700 1,774 Asbury Auto Group (A) 7.625%, 03/15/17 125 125 Ashtead Capital (A) 9.000%, 08/15/16 965 1,045 Autonation (D) 7.356%, 07/15/07 680 687 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Avis Budget Car Rental (A) (D) 7.860%, 08/15/07 $ 615 $ 637 7.750%, 05/15/16 225 233 Barrington Broadcasting (A) 10.500%, 08/15/14 525 556 Beazer Homes USA 8.625%, 05/15/11 275 277 6.875%, 07/15/15 (F) 725 678 6.500%, 11/15/13 1,300 1,214 Bonten Media Acquisition PIK (A) 0.000%, 06/01/15 1,400 1,400 Boyd Gaming 7.750%, 12/15/12 (F) 650 677 7.125%, 02/01/16 2,650 2,650 6.750%, 04/15/14 525 530 Broder Brothers, Ser B 11.250%, 10/15/10 1,200 1,197 Brookstone (F) 12.000%, 10/15/12 595 628 Brown Shoe 8.750%, 05/01/12 1,175 1,245 Burlington Coat (F) 11.125%, 04/15/14 2,500 2,600 CBD Media Holdings 9.250%, 07/15/12 525 556 8.625%, 06/01/11 275 283 CCH I Holdings LLC 12.470%, 01/15/14 (B) (F) 100 104 11.400%, 05/15/14 (B) (F) 150 152 11.000%, 10/01/15 7,577 8,240 9.920%, 04/01/14 (F) 1,800 1,723 CCH II LLC 10.250%, 09/15/10 660 703 10.250%, 10/01/13 365 405 CCH II LLC, Ser B 10.250%, 09/15/10 25 27 CCO Holdings LLC 8.750%, 11/15/13 2,430 2,551 CSC Holdings 7.875%, 12/15/07 175 177 7.625%, 07/15/18 510 513 7.250%, 07/15/08 225 228 CSC Holdings, Ser B 8.125%, 08/15/09 275 285 Cablevision Systems, Ser B 9.820%, 10/03/07 (D) 1,350 1,429 8.000%, 04/15/12 (F) 675 685 Caesars Entertainment 8.875%, 09/15/08 400 412 7.875%, 03/15/10 600 628 Canwest Media (F) 8.000%, 09/15/12 775 800 -------------------------------------------------------------------------------- 190 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Choctaw Resort Development Entity (A) 7.250%, 11/15/19 $ 993 $ 1,000 Cinemark (B) 7.960%, 03/15/14 425 393 Clair's Stores 10.500%, 06/01/17 (A) (F) 5,800 5,677 9.250%, 06/01/15 (A) 1,000 991 Clair's Stores PIK (A) (F) 9.625%, 06/01/15 2,745 2,687 Collins & Aikman Floorcovering, Ser B 9.750%, 02/15/10 375 384 Cooper Standard Auto 8.375%, 12/15/14 1,025 963 Cornell 10.750%, 07/01/12 475 515 Couche-Tard US 7.500%, 12/15/13 450 466 Dana (C) (F) 6.500%, 03/01/09 2,375 2,304 Del Laboratories 10.356%, 07/28/07 (D) 300 310 8.000%, 02/01/12 2,480 2,418 Delphi (C) (F) 6.500%, 05/01/09 400 464 Denny's 10.000%, 10/01/12 575 612 Dex Media 8.000%, 11/15/13 175 183 7.680%, 11/15/13 (B) 1,625 1,527 7.670%, 11/15/13 (B) 1,750 1,645 Dex Media East LLC 12.125%, 11/15/12 2,390 2,593 9.875%, 11/15/09 871 906 Dex Media Finance West, Ser B 8.500%, 08/15/10 850 887 Dex Media West, Ser B 9.875%, 08/15/13 1,095 1,189 DirectTV Holdings 8.375%, 03/15/13 2,306 2,433 6.375%, 06/15/15 4,730 4,588 Easton-Bell Sports 8.375%, 10/01/12 2,040 2,030 Echostar DBS 7.125%, 02/01/16 1,810 1,858 7.000%, 10/01/13 1,770 1,812 6.625%, 10/01/14 1,050 1,050 El Dorado Casino Shreveport PIK (F) 0.000%, 08/01/12 1,102 1,058 Elizabeth Arden 7.750%, 01/15/14 1,125 1,156 Eye Care Centers of America 10.750%, 02/15/15 600 667 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Federal-Mogul 8.370%, 11/15/01 (C) $ 300 $ 297 7.750%, 07/01/06 (C) 125 123 7.700%, 01/15/09 (C) (F) 75 74 7.375%, 01/15/06 (C) 150 147 Festival Fun Park LLC 10.875%, 04/15/14 2,524 2,581 Fontainebleau Las Vegas (A) 10.250%, 06/15/15 5,400 5,562 Ford Motor 9.500%, 09/15/11 75 77 8.900%, 01/15/32 850 754 8.875%, 01/15/22 50 45 7.450%, 07/16/31 (F) 3,301 2,715 6.500%, 08/01/18 (F) 1,935 1,589 4.250%, 12/15/36 150 171 French Lick Resorts (A) (F) 10.750%, 04/15/14 1,252 1,058 General Motors 8.375%, 07/15/33 (F) 7,249 6,742 8.250%, 07/15/23 (F) 1,077 1,006 7.700%, 04/15/16 851 798 7.125%, 07/15/13 (F) 1,825 1,711 General Nutrition Center PIK (A) (F) 0.142%, 03/15/14 650 653 Goodyear Tire & Rubber 8.625%, 12/01/11 (A) 665 718 7.857%, 08/15/11 1,050 1,097 Great Canadian Gaming (A) 7.250%, 02/15/15 275 278 Gregg Appliances 9.000%, 02/01/13 2,363 2,534 Group 1 Automotive (F) 8.250%, 08/15/13 475 493 Hanesbrand (A) (D) 8.735%, 06/15/07 2,640 2,739 Harrahs Operating 8.000%, 02/01/11 625 644 Herbst Gaming 8.125%, 06/01/12 3,089 3,143 7.000%, 11/15/14 1,375 1,296 Hertz 8.875%, 01/01/14 2,422 2,607 Hydrochem Industrial (A) 9.250%, 02/15/13 875 901 Idearc (A) 8.000%, 11/15/16 1,680 1,741 Inn of the Mountain Gods 12.000%, 11/15/10 225 244 Isle of Capri Casinos (F) 7.000%, 03/01/14 1,775 1,757 Jarden (F) 7.500%, 05/01/17 3,095 3,157 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 191 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Jo-Ann Stores (F) 7.500%, 03/01/12 $ 300 $ 297 LBI Media (B) 8.900%, 10/15/13 625 575 Lamar Media 7.250%, 01/01/13 725 745 6.625%, 08/15/15 1,200 1,194 Lamar Media, Ser B 6.625%, 08/15/15 75 75 Leslie's Poolmart 7.750%, 02/01/13 525 533 Lin Television 6.500%, 05/15/13 1,600 1,616 Lin Television, Ser B 6.500%, 05/15/13 1,000 1,010 MGM Mirage 8.375%, 02/01/11 1,750 1,829 7.500%, 06/01/16 3,510 3,457 6.875%, 04/01/16 2,020 1,934 6.750%, 04/01/13 1,600 1,572 5.875%, 02/27/14 2,670 2,483 Majestic Star Casino LLC 9.500%, 10/15/10 1,675 1,759 Majestic Star II 9.750%, 01/15/11 1,275 1,243 Mandalay Resort Group 9.375%, 02/15/10 525 563 7.625%, 07/15/13 (F) 750 749 Mediacom Broadband LLC 8.500%, 10/15/15 600 621 8.500%, 10/15/15 (A) 300 311 Mediacom LLC (F) 9.500%, 01/15/13 2,970 3,067 Medianews Group 6.875%, 10/01/13 100 92 6.375%, 04/01/14 150 133 Michaels Stores 11.375%, 11/01/16 (A) (F) 600 663 10.000%, 11/01/14 (A) 177 191 Mohegan Tribal Gaming 6.875%, 02/15/15 1,300 1,300 6.125%, 02/15/13 250 246 NPC International 9.500%, 05/01/14 100 104 Neff (A) 10.000%, 06/01/15 950 971 Neiman Marcus Group (F) 10.375%, 10/15/15 1,397 1,572 Neiman Marcus Group PIK 9.000%, 10/15/15 250 274 Nexstar Holdings LLC (B) 9.140%, 04/01/13 530 527 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Nielsen Finance LLC 10.000%, 08/01/14 (A) $ 1,425 $ 1,553 9.950%, 08/01/16 (A) (B) (F) 1,000 727 Penhall International (A) 12.000%, 08/01/14 970 1,067 Penn National Gaming 6.875%, 12/01/11 925 932 6.750%, 03/01/15 1,565 1,588 Perry Ellis International, Ser B 8.875%, 09/15/13 2,064 2,141 Petro Stopping Centers 9.000%, 02/15/12 225 239 Phillips Van-Heusen 8.125%, 05/01/13 375 395 7.250%, 02/15/11 75 77 Pokagon Gaming Authority (A) 10.375%, 06/15/14 525 591 Primedia (D) 10.735%, 08/15/07 1,350 1,392 8.875%, 05/15/11 1,075 1,107 Quebecor Media (A) 7.750%, 03/15/16 1,025 1,076 RH Donnelley 10.875%, 12/15/12 415 447 RH Donnelley, Ser A-1 6.875%, 01/15/13 1,875 1,847 RH Donnelley, Ser A-2 6.875%, 01/15/13 2,100 2,068 RH Donnelley, Ser A-3 8.875%, 01/15/16 450 485 RJ Tower (C) (F) 12.000%, 06/01/13 425 36 Reader's Digest (A) 9.000%, 02/15/17 200 197 Rental Service (A) 9.500%, 12/01/14 4,690 5,042 SGS International 12.000%, 12/15/13 1,650 1,815 Sally Holdings LLC (A) (F) 10.500%, 11/15/16 1,660 1,720 9.250%, 11/15/14 1,930 2,002 Sbarro (A) 10.375%, 02/01/15 125 129 Sealy Mattress 8.250%, 06/15/14 2,750 2,874 Seneca Gaming 7.250%, 05/01/12 575 586 Service 7.625%, 10/01/18 652 691 7.375%, 10/01/14 1,398 1,449 7.000%, 06/15/17 1,225 1,217 6.750%, 04/01/15 (A) 835 843 6.750%, 04/01/16 (F) 750 738 -------------------------------------------------------------------------------- 192 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Simmons (B) (F) 8.560%, 12/15/14 $ 3,085 $ 2,630 Sinclair Broadcast Group (A) (B) 4.875%, 07/15/18 400 390 Sonic Automotive, Ser B (F) 8.625%, 08/15/13 2,580 2,706 Spectrum Brands 7.375%, 02/01/15 2,850 2,415 Stanadyne Holdings (B) 9.570%, 02/15/15 1,500 1,245 Stanadyne, Ser 1 10.000%, 08/15/14 475 507 Station Casinos 6.875%, 03/01/16 3,655 3,372 6.625%, 03/15/18 3,450 3,105 Steinway Musical Instruments (A) 7.000%, 03/01/14 4,720 4,685 Stewart Enterprises (F) 6.250%, 02/15/13 1,110 1,093 Sun Media 7.625%, 02/15/13 2,040 2,106 Superior Essex Com & Essex Group 9.000%, 04/15/12 600 624 TRW Automotive (A) 7.250%, 03/15/17 1,905 1,910 7.000%, 03/15/14 2,170 2,173 Tenneco Automotive (F) 8.625%, 11/15/14 3,724 3,947 Town Sports International (B) 8.490%, 02/01/14 2,079 1,902 Travelport LLC 11.875%, 09/01/16 (A) (F) 1,560 1,759 9.985%, 06/01/07 (A) (D) 2,044 2,121 Turning Stone Casino Entertainment (A) 9.125%, 12/15/10 425 431 Turning Stone Resort Casinos (A) 9.125%, 09/15/14 125 128 Umbrella Acquisition PIK (A) (F) 9.750%, 03/15/15 4,625 4,787 Unifi 11.500%, 05/15/14 225 224 United Auto Group (A) 7.750%, 12/15/16 1,500 1,515 United Components 9.375%, 06/15/13 1,030 1,069 United Rentals North America 6.500%, 02/15/12 2,290 2,307 Universal City Florida 10.110%, 08/01/07 (D) (F) 4,573 4,722 8.375%, 05/01/10 25 26 Vail Resorts 6.750%, 02/15/14 2,160 2,157 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Vicorp Restaurants 10.500%, 04/15/11 $ 50 $ 43 Videotron 6.875%, 01/15/14 3,610 3,646 Visant Holding 8.760%, 12/01/13 (B) 4,110 3,812 8.750%, 12/01/13 (F) 1,385 1,447 Visteon (F) 7.000%, 03/10/14 1,015 893 WMG Acquisition 7.375%, 04/15/14 2,640 2,564 WMG Holdings (B) 9.420%, 12/15/14 745 581 Wynn Las Vegas LLC 6.625%, 12/01/14 2,614 2,624 -------------- 288,570 -------------- CONSUMER STAPLES - 2.8% B&G Foods Holding 8.000%, 10/01/11 500 509 Carrols 9.000%, 01/15/13 1,375 1,416 Constellation Brands 7.250%, 09/01/16 5,855 5,899 7.250%, 05/15/17 (A) (F) 3,150 3,170 Dean Foods 7.000%, 06/01/16 770 768 Del Monte (F) 6.750%, 02/15/15 1,450 1,450 Dole Foods 7.250%, 06/15/10 1,000 990 Fleming (C) 10.125%, 04/01/08 983 84 9.250%, 06/15/10 188 16 Jean Coutu Group 8.500%, 08/01/14 (F) 300 324 7.625%, 08/01/12 250 265 Merisant (F) 9.500%, 07/15/13 2,075 1,893 Merisant Worldwide (B) (F) 18.640%, 05/15/14 1,025 615 NBTY 7.125%, 10/01/15 2,462 2,511 Natural Beef Pack 10.500%, 08/01/11 1,213 1,277 Pantry 7.750%, 02/15/14 975 980 Pilgrim's Pride 7.625%, 05/01/15 525 539 Playtex Products 9.375%, 06/01/11 (F) 2,735 2,820 8.000%, 03/01/11 920 959 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 193 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Rite Aid 9.500%, 06/15/17 (A) $ 3,065 $ 3,080 9.375%, 12/15/15 (A) 850 854 9.250%, 06/01/13 (F) 1,000 1,015 8.625%, 03/01/15 (F) 1,000 970 7.700%, 02/15/27 (F) 150 130 7.500%, 01/15/15 25 25 6.875%, 08/15/13 (F) 100 90 6.875%, 12/15/28 (F) 350 284 Stater Brothers Holdings (D) 8.855%, 06/15/07 1,859 1,878 -------------- 34,811 -------------- ENERGY -- 7.9% Allis-Chalmers Energy 9.000%, 01/15/14 4,313 4,464 Atlas Pipeline Partners 8.125%, 12/15/15 350 364 Aventine Renewable Energy (A) 10.000%, 04/01/17 1,075 1,118 Baytex Energy 9.625%, 07/15/10 525 550 Brigham Exploration 9.625%, 05/01/14 625 637 9.625%, 05/01/14 (A) 375 382 Chaparral Energy 8.875%, 02/01/17 (A) 625 634 8.500%, 12/01/15 1,738 1,742 Chesapeake Energy 7.750%, 01/15/15 2,591 2,701 7.500%, 06/15/14 719 752 7.000%, 08/15/14 851 876 6.875%, 01/15/16 1,898 1,926 6.500%, 08/15/17 1,150 1,138 Cimarex Energy 7.125%, 05/01/17 2,250 2,278 Colorado Interstate Gas 6.800%, 11/15/15 125 131 5.950%, 03/15/15 250 248 Compton Pet Finance 7.625%, 12/01/13 350 353 Comstock Resources 6.875%, 03/01/12 50 49 Denbury Resources 7.500%, 04/01/13 2,465 2,527 7.500%, 12/15/15 2,280 2,348 Dynegy Holdings (A) 7.750%, 06/01/19 4,215 4,173 7.500%, 06/01/15 550 546 El Paso 7.750%, 07/15/11 (A) 450 476 7.420%, 02/15/37 900 942 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- El Paso MTN 8.050%, 10/15/30 $ 150 $ 169 7.800%, 08/01/31 (F) 1,450 1,590 7.750%, 01/15/32 (F) 1,750 1,919 El Paso Production Holdings 7.750%, 06/01/13 2,265 2,393 Encore Acquisition 7.250%, 12/01/17 800 772 6.000%, 07/15/15 600 546 Energy Partners Ltd. 10.480%, 07/15/07 (A) (D) 425 433 9.750%, 04/15/14 (A) 1,000 1,014 Energy XXI Gulf Coast (A) 10.000%, 06/15/13 885 872 Forest Oil 8.000%, 12/15/11 1,025 1,076 Frigstad Discoverer (A) 11.500%, 02/21/12 1,000 1,000 Giant Industries 8.000%, 05/15/14 50 54 Grant Prideco, Ser B 6.125%, 08/15/15 300 297 Hanover Compressor 9.000%, 06/01/14 1,885 2,031 7.500%, 04/15/13 775 798 Hanover Equipment Trust, Ser 2001 B 8.750%, 09/01/11 2,675 2,762 Hilcorp Energy (A) 9.000%, 06/01/16 375 400 7.750%, 11/01/15 2,325 2,337 Holly Energy Partners 6.250%, 03/01/15 1,200 1,161 Inergy Finance 6.875%, 12/15/14 300 297 Mariner Energy 8.000%, 05/15/17 50 51 Markwest Energy, Ser B 8.500%, 07/15/16 675 710 6.875%, 11/01/14 1,400 1,374 Mueller Water Products (A) 7.375%, 06/01/17 2,450 2,476 Newfield Exploration 6.625%, 04/15/16 1,355 1,362 North American Energy Partner 8.750%, 12/01/11 225 232 Northwest Pipeline 7.000%, 06/15/16 225 240 Northwest Pipeline (A) 5.950%, 04/15/17 275 271 OPTI Canada (A) 8.250%, 12/15/14 1,780 1,891 PHI 7.125%, 04/15/13 125 122 -------------------------------------------------------------------------------- 194 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Pacific Energy 6.250%, 09/15/15 $ 100 $ 99 Pacific Energy Partners 7.125%, 06/15/14 200 209 Parker Drilling 10.110%, 06/01/07 (D) 3,022 3,082 9.625%, 10/01/13 639 690 Peabody Energy (F) 7.375%, 11/01/16 2,790 2,954 Peabody Energy, Ser B 6.875%, 03/15/13 1,500 1,519 Petrohawk Energy (F) 9.125%, 07/15/13 1,725 1,854 Plains Exploration (F) 7.000%, 03/15/17 600 597 Pogo Producing 7.875%, 05/01/13 700 735 6.875%, 10/01/17 225 329 6.625%, 03/15/15 275 278 Pogo Producing, Ser B 8.250%, 04/15/11 1,072 1,099 Pride International 7.375%, 07/15/14 1,391 1,433 Quicksilver Resources 7.125%, 04/01/16 1,425 1,414 Range Resources 6.375%, 03/15/15 350 345 Regency Energy Partners (A) 8.375%, 12/15/13 1,750 1,818 Sabine Pass LNG LP (A) 7.500%, 11/30/16 1,520 1,558 7.250%, 11/30/13 550 562 Semgroup (A) 8.750%, 11/15/15 965 1,010 Sesi LLC 6.875%, 06/01/14 950 955 Southern Natural Gas 7.350%, 02/15/31 375 409 Tesoro 6.625%, 11/01/15 775 786 6.500%, 06/01/17 (A) 1,275 1,277 6.250%, 11/01/12 175 175 Transcont Gas Pipe 6.400%, 04/15/16 150 154 United Refining (A) 10.500%, 08/15/12 850 899 Veneco 8.750%, 12/15/11 2,430 2,503 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Verasun Energy (A) 9.375%, 06/01/17 $ 1,400 $ 1,395 Whiting Petroleum 7.000%, 02/01/14 1,580 1,533 Williams 8.125%, 03/15/12 505 550 7.750%, 06/15/31 (F) 475 520 7.625%, 07/15/19 (F) 500 549 6.375%, 10/01/10 (A) 725 737 Williams Partners LP 7.250%, 02/01/17 2,445 2,592 -------------- 98,624 -------------- FINANCIALS -- 12.3% AAC Group Holding (B) 8.780%, 10/01/12 1,080 983 AAC Group Holding PIK (F) 12.750%, 10/01/12 825 915 Ace Cash Express (A) 10.250%, 10/01/14 675 690 Alamosa Delaware 8.500%, 01/31/12 1,665 1,753 American General Finance (A) (D) (G) 5.370%, 06/15/07 3,974 3,974 American Real Estate (A) 7.125%, 02/15/13 3,225 3,169 Armstrong World (C) (F) 7.450%, 05/15/29 525 -- Bear Stearns EXL (D) (G) 5.360%, 06/15/07 4,879 4,879 CDX HY, Ser 8-T1 (A) 7.625%, 06/29/12 6,750 6,661 CDX HY, Ser 8-T2 (A) 6.750%, 06/29/12 2,000 1,979 Cardtronics 9.250%, 08/15/13 150 157 Countrywide Financial MTN (D) (G) 5.430%, 06/27/07 1,645 1,645 Countrywide Financial MTN, Ser A (D) (G) 5.440%, 08/06/07 4,111 4,111 Deluxe (A) (F) 7.375%, 06/01/15 200 203 FTI Consulting 7.750%, 10/01/16 1,175 1,228 7.625%, 06/15/13 425 439 Felcor Lodging LP+ 8.500%, 06/01/11 245 262 7.275%, 10/31/07 (D) 200 202 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 195 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Ford Motor Credit 9.806%, 07/17/07 (D) $ 3,340 $ 3,607 9.750%, 09/15/10 (F) 812 861 8.105%, 07/13/07 (D) 275 276 8.000%, 12/15/16 6,450 6,402 7.800%, 06/01/12 3,495 3,478 7.375%, 10/28/09 600 602 7.375%, 02/01/11 650 648 7.250%, 10/25/11 800 787 7.000%, 10/01/13 (F) 4,062 3,887 6.926%, 07/18/07 (D) 680 675 GMAC LLC 8.000%, 11/01/31 5,464 6,003 7.560%, 06/25/07 (D) 622 644 7.000%, 02/01/12 100 101 6.875%, 08/28/12 5,355 5,381 6.750%, 12/01/14 5,905 5,886 6.625%, 05/15/12 1,325 1,318 6.000%, 12/15/11 250 244 Hawker Beechcraft Acquisition 9.750%, 04/01/17 (A) (F) 175 175 8.500%, 04/01/15 685 723 Hawker Beechcraft Acquisition PIK (A) 8.875%, 04/01/15 250 264 Hellas II (A) (D) 11.115%, 06/21/07 2,100 2,179 Host Hotels & Resorts LP+ 6.875%, 11/01/14 600 612 Host Marriott+ 7.125%, 11/01/13 825 846 Host Marriott, Ser M+ 7.000%, 08/15/12 375 382 Host Marriott, Ser O+ 6.375%, 03/15/15 575 573 Host Marriott, Ser Q+ 6.750%, 06/01/16 2,490 2,524 Ipayment 9.750%, 05/15/14 1,100 1,130 Irish Life & Permanent MTN, Ser X (A) (D) (G) 5.360%, 06/21/07 3,645 3,645 Jackson National Life Funding (A) (D) (G) 5.320%, 06/01/07 6,030 6,030 K&F Acquisition 7.750%, 11/15/14 500 532 KAR Holdings 10.000%, 05/01/15 (A) (F) 700 717 9.358%, 05/01/14 (A) (D) 800 816 8.750%, 05/01/14 (A) 1,525 1,555 Marlin Water Trust II (A) (C) 0.000%, 07/15/03 4,000 520 Medimedia USA (A) (F) 11.375%, 11/15/14 725 774 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Morgan Stanley EXL (D) (G) 5.400%, 06/04/07 $ 959 $ 959 Morgan Stanley EXL, Ser S (D) (G) 5.360%, 06/04/07 1,370 1,370 NSG Holdings LLC (A) 7.750%, 12/15/25 450 474 Nationwide Building Society (A) (D) (G) 5.410%, 06/28/07 1,507 1,507 5.370%, 06/07/07 2,741 2,741 Northern Rock (A) (D) (G) 5.380%, 06/04/07 2,823 2,823 Omega Healthcare Investors+ 7.000%, 01/15/16 825 846 PNA Intmed Holding (A) (D) 12.360%, 08/15/07 475 485 PXRE Capital Trust 1 8.850%, 02/01/27 1,400 1,428 Petroplus Finance 7.000%, 05/01/17 500 504 7.000%, 05/01/17 (A) (F) 2,650 2,670 6.750%, 05/01/14 1,000 1,001 6.750%, 05/01/14 (A) 985 986 Pinnacle Foods Finance LLC 10.625%, 04/01/17 (A) (F) 2,125 2,162 9.250%, 04/01/15 (A) 850 863 Premium Asset Trust, Ser 2004-10 (A) (D) (G) 5.380%, 06/15/07 3,837 3,837 Realogy (A) (F) 12.375%, 04/15/15 1,750 1,706 10.500%, 04/15/14 800 803 Rouse LP+ (A) (F) 6.750%, 05/01/13 700 706 SLM MTN (D) (G) 5.320%, 06/15/07 3,015 3,015 Senior Housing Properties+ 7.875%, 04/15/15 645 677 Skandinav Enskilda Bank (A) (D) (G) 5.320%, 06/18/07 3,015 3,015 Snoqualmie Enterprises Authority (A) (D) 9.150%, 08/01/07 275 281 Snoqualmie Enterprises Authority (A) (F) 9.125%, 02/01/15 1,425 1,486 Stanfield Victoria LLC MTN (A) (G) 5.450%, 06/11/07 2,741 2,741 Trains HY, Ser 2006-1 (A) 7.548%, 05/01/16 3,255 3,305 Trustreet Properties+ 7.500%, 04/01/15 925 1,000 UniCredito Italiano Bank (A) (D) (G) 5.350%, 07/11/07 6,852 6,852 -------------------------------------------------------------------------------- 196 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Universal City Development 11.750%, 04/01/10 $ 1,350 $ 1,434 Ventas Realty+ 7.125%, 06/01/15 500 517 6.750%, 04/01/17 775 794 6.625%, 10/15/14 375 381 Yankee Acquisition 9.750%, 02/15/17 (A) (F) 375 383 8.500%, 02/15/15 (A) 1,000 1,022 -------------- 152,821 -------------- HEALTH CARE -- 5.7% Advanced Mecial Optics (A) 7.500%, 05/01/17 1,650 1,627 Bio-Rad Laboratories 7.500%, 08/15/13 175 178 6.125%, 12/15/14 775 744 CDRV Investors (B) 7.150%, 01/01/15 1,200 1,090 CDRV Investors PIK (A) 9.860%, 12/01/11 2,300 2,300 CRC Health 10.750%, 02/01/16 1,600 1,780 Cooper (A) 7.125%, 02/15/15 1,985 2,025 Encore Medical Finance (A) 11.750%, 11/15/14 1,175 1,254 Fresenius Medical Capital Trust II 7.875%, 02/01/08 381 386 Fresenius Medical Capital Trust IV 7.875%, 06/15/11 2,055 2,171 Genesis Healthcare 8.000%, 10/15/13 1,225 1,303 HCA 9.250%, 11/15/16 (A) 10,883 11,930 9.125%, 11/15/14 (A) 802 870 8.750%, 09/01/10 105 112 6.750%, 07/15/13 555 523 6.500%, 02/15/16 (F) 2,975 2,618 HCA PIK (A) 9.625%, 11/15/16 4,875 5,375 Kinetic Concepts 7.375%, 05/15/13 275 284 MQ Associates (B) (F) 44.380%, 08/15/12 139 36 Medcath Holdings 9.875%, 07/15/12 1,055 1,137 Mylan Laboratories 6.375%, 08/15/15 660 685 Norcross Safety Products, Ser B 9.875%, 08/15/11 1,225 1,292 Psychiatric Solutions (A) 7.750%, 07/15/15 2,975 3,042 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Res-care 7.750%, 10/15/13 $ 625 $ 641 Select Medical 11.080%, 09/29/07 (D) (F) 600 591 7.625%, 02/01/15 2,575 2,382 Spheris 11.000%, 12/15/12 1,400 1,428 Sun Healthcare Group (A) 9.125%, 04/15/15 375 394 Tenet Healthcare 9.875%, 07/01/14 (F) 3,350 3,434 9.250%, 02/01/15 4,894 4,882 Triad Hospitals 7.000%, 05/15/12 890 926 7.000%, 11/15/13 1,890 1,980 US Oncology Holdings 10.750%, 08/15/14 5,039 5,493 9.000%, 08/15/12 650 679 United Surgical Partners (A) (F) 8.875%, 05/01/17 1,995 2,062 United Surgical Partners PIK (A) 9.250%, 05/01/17 2,615 2,703 Universal Hospital Services (A) (D) 8.759%, 12/01/07 200 203 Universal Hospital Services PIK (A) 8.500%, 06/01/15 250 255 -------------- 70,815 -------------- INDUSTRIALS -- 8.4% AGY Holdings (A) 11.000%, 11/15/14 800 839 Acih (A) (B) (F) 13.340%, 12/15/12 900 747 Ahern Rentals 9.250%, 08/15/13 1,225 1,268 Ainsworth Lumber 7.250%, 10/01/12 300 234 6.750%, 03/15/14 (F) 400 301 Aleris International (A) 10.000%, 12/15/16 1,625 1,708 Aleris International PIK (A) 9.000%, 12/15/14 75 80 Alliant Techsystems 6.750%, 04/01/16 350 355 Allied Waste North America (F) 7.250%, 03/15/15 550 568 6.125%, 02/15/14 2,425 2,383 Allied Waste North America, Ser B (F) 7.375%, 04/15/14 650 667 Altos Hornos de Mexico, Ser A (C) 0.000%, 04/30/02 525 401 Altos Hornos de Mexico, Ser B (C) 0.000%, 04/30/04 975 745 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 197 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- American Airlines, Ser 01-1 7.379%, 05/23/16 $ 117 $ 111 American Axle & Manufacturing 7.875%, 03/01/17 375 377 American Railcar 7.500%, 03/01/14 1,025 1,058 Ames True Temper 10.000%, 07/15/12 1,400 1,389 9.356%, 07/15/07 (D) 1,220 1,244 Associated Materials (B) (F) 12.540%, 03/01/14 850 654 Baker & Taylor (A) 11.500%, 07/01/13 925 977 Baldor Electric 8.625%, 02/15/17 1,165 1,252 Belden (A) 7.000%, 03/15/17 745 763 Buffalo Thunder Development Authority (A) (F) 9.375%, 12/15/14 2,100 2,160 Buhrmann US 8.250%, 07/01/14 1,650 1,675 7.875%, 03/01/15 600 597 Chart Industries 9.125%, 10/15/15 325 342 Corrections Corp of America 6.750%, 01/31/14 785 792 6.250%, 03/15/13 2,838 2,806 D R Horton 5.625%, 09/15/14 1,035 977 DRS Technologies 7.625%, 02/01/18 (F) 925 958 6.875%, 11/01/13 150 151 6.625%, 02/01/16 775 781 Dayton Superior (F) 13.000%, 06/15/09 1,483 1,520 Delta Air Lines, Ser 02-1 (C) (F) 8.300%, 12/15/29 850 58 Delta Air Lines, Ser 2002-1, Cl C (C) (F) 7.779%, 01/02/12 769 779 Education Management LLC (F) 10.250%, 06/01/16 1,750 1,907 Esco 9.230%, 06/15/07 (A) (D) 125 130 8.625%, 12/15/13 (A) 680 728 General Cable (A) (F) 7.125%, 04/01/17 460 466 Goodman Global Holdings 7.875%, 12/15/12 1,805 1,837 Graftech Finance (A) 10.250%, 02/15/12 978 1,032 Gulfmark Offshore 7.750%, 07/15/14 1,304 1,337 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- H-Lines Finance Holding (B) 9.060%, 04/01/13 $ 775 $ 758 Harland Clarke Holdings 10.105%, 05/15/15 (A) (D) 185 186 9.500%, 05/15/15 (A) 185 189 Harvest Operations 7.875%, 10/15/11 975 960 Horizon Lines LLC 9.000%, 11/01/12 800 849 Indalex Holding, Ser B 11.500%, 02/01/14 1,125 1,194 Interface 9.500%, 02/01/14 275 300 Interline Brands 8.125%, 06/15/14 1,050 1,092 Intermec 7.000%, 03/15/08 125 126 Iron Mountain 8.750%, 07/15/18 565 612 8.625%, 04/01/13 613 630 7.750%, 01/15/15 660 680 6.625%, 01/01/16 2,630 2,538 J.B. Poindexter (F) 8.750%, 03/15/14 400 379 K Hovnanian Enterprises 8.625%, 01/15/17 (F) 1,825 1,898 7.500%, 05/15/16 450 439 6.250%, 01/15/15 100 93 6.250%, 01/15/16 1,225 1,127 L-3 Communications 6.125%, 07/15/13 535 530 5.875%, 01/15/15 3,877 3,780 L-3 Communications, Cl B 6.375%, 10/15/15 2,696 2,689 Language Line 11.125%, 06/15/12 250 273 Maax (F) 9.750%, 06/15/12 800 532 Meritage Homes 7.000%, 05/01/14 925 898 6.250%, 03/15/15 250 236 Millar Western Forest 7.750%, 11/15/13 982 852 Mobile Mini (A) 6.875%, 05/01/15 700 699 Mobile Services Group (A) 9.750%, 08/01/14 425 463 NCL 10.625%, 07/15/07 475 463 NTK Holdings (F) 4.682%, 03/01/14 100 75 Nebraska Book 8.625%, 03/15/12 250 252 -------------------------------------------------------------------------------- 198 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Noble Group (A) 6.625%, 03/17/15 $ 475 $ 444 Nortek 8.500%, 09/01/14 1,050 1,042 Northwest Airlines 10.000%, 02/01/09 (C) (F) 171 129 8.875%, 06/01/06 (C) (F) 1,500 1,151 7.875%, 03/15/08 (C) (F) 175 136 7.625%, 11/15/23 (C) 1,175 875 Nutro Products (A) (D) 9.370%, 10/15/07 950 997 Open Solutions (A) 9.750%, 02/01/15 4,150 4,306 Park-Ohio Industries (F) 8.375%, 11/15/14 775 763 Ply Gem 9.000%, 02/15/12 175 162 Polypore 8.750%, 05/15/12 200 206 Polypore International (B) (F) 7.980%, 10/01/12 475 460 Propex Frabics 10.000%, 12/01/12 200 185 Quality Distributors 9.000%, 11/15/10 800 782 Quebecor World Capital (A) (F) 8.750%, 03/15/16 2,870 2,963 RBS Global & Rexnord 11.750%, 08/01/16 (F) 450 507 9.500%, 08/01/14 870 935 8.875%, 09/01/16 860 897 Rainbow National Services LLC (A) 10.375%, 09/01/14 475 533 8.750%, 09/01/12 1,210 1,292 Saint Acquisition (A) 12.500%, 05/15/17 1,825 1,784 Seitel Acquisition (A) 9.750%, 02/15/14 950 974 Stallion Oilfield Services (A) 9.750%, 02/01/15 1,775 1,855 Sunstate Equipment (A) 10.500%, 04/01/13 730 785 Super Value 7.500%, 11/15/14 800 840 Tembec Industries (F) 8.625%, 06/30/09 800 471 Terex 7.375%, 01/15/14 1,949 2,032 Titan International 8.000%, 01/15/12 2,285 2,354 Tousa 10.375%, 07/01/12 (F) 715 577 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Transdigm 7.750%, 07/15/14 $ 300 $ 312 7.750%, 07/15/14 (A) 1,050 1,092 Tube City IMS (A) 9.750%, 02/01/15 750 787 UCI Holdco PIK (A) 0.488%, 06/15/07 674 696 United Air Lines (C) 9.125%, 01/15/12 625 5 United Air Lines, Ser A (C) 10.670%, 05/01/04 325 2 United Airlines, Ser 95A1 9.020%, 04/19/12 739 427 Vanguard Health Holdings I (B) 8.680%, 10/01/15 225 191 Vanguard Health Holdings II 9.000%, 10/01/14 1,950 2,043 Visant (F) 7.625%, 10/01/12 635 649 Wimar Opco LLC (A) (F) 9.625%, 12/15/14 2,975 3,005 -------------- 104,592 -------------- INFORMATION TECHNOLOGY -- 3.4% Activant Solution 9.500%, 05/01/16 2,675 2,675 Advanced Micro Devices (F) 7.750%, 11/01/12 1,085 1,066 Compagnie Generale de Geophysique 7.500%, 05/15/15 1,225 1,282 Flextronics International 6.250%, 11/15/14 2,250 2,177 Freescale Semiconductor 10.125%, 12/15/16 (A) (F) 4,585 4,591 9.230%, 06/15/07 (A) (D) 250 250 8.875%, 12/15/14r (A) 1,355 1,357 Freescale Semiconductor PIK (A) 9.125%, 12/15/14 4,025 3,985 Magnachip Semiconductor 8.605%, 06/15/07 (D) (F) 150 138 6.875%, 12/15/11 (F) 425 371 NXP Funding LLC 9.500%, 10/15/15 (A) (F) 4,120 4,264 7.875%, 10/15/14 (A) 3,390 3,492 Sensata Technologies (F) 8.000%, 05/01/14 1,945 1,964 Smart Modular (D) 10.849%, 07/01/07 760 806 Sungard Data Systems (F) 10.250%, 08/15/15 8,385 9,171 UGS 10.000%, 06/01/12 500 545 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 199 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- UGS Capital PIK (A) 10.348%, 06/15/07 $ 2,924 $ 3,004 Viasystems 10.500%, 01/15/11 375 382 -------------- 41,520 -------------- MATERIALS -- 9.0% AEP Industries 7.875%, 03/15/13 385 396 AK Steel 7.875%, 02/15/09 1,071 1,071 7.750%, 06/15/12 1,200 1,234 Abitibi-Consolidated 8.550%, 08/01/10 700 669 Appleton Papers 8.125%, 06/15/11 425 443 Appleton Papers, Ser B 9.750%, 06/15/14 1,075 1,134 Arch Western Finance 6.750%, 07/01/13 4,325 4,309 BPC Holding (F) 8.875%, 09/15/14 1,075 1,102 Bowater 9.500%, 10/15/12 475 481 8.355%, 06/15/07 (D) 2,575 2,578 Bowater Canada Finance 7.950%, 11/15/11 600 578 Bway 10.000%, 10/15/10 650 679 Cascades 7.250%, 02/15/13 625 630 Catalyst Paper 7.375%, 03/01/14 338 319 Catalyst Paper, Ser D 8.625%, 06/15/11 1,515 1,519 Claymont Steel (A) 8.875%, 02/15/15 275 279 Crown Americas 7.750%, 11/15/15 1,711 1,788 Crown Cork & Seal 8.000%, 04/15/23 1,650 1,654 Domtar (F) 9.500%, 08/01/16 250 280 7.125%, 08/15/15 1,650 1,660 Equistar Chemical 10.125%, 09/01/08 275 289 FMG Finance 10.625%, 09/01/16 (A) (F) 3,765 4,523 10.000%, 09/01/13 (A) 350 393 Freeport-McMoRan, Copper & Gold 8.564%, 04/01/15 (D) 1,200 1,264 8.375%, 04/01/17 4,800 5,244 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Georgia Gulf 9.500%, 10/15/14 (A) $ 25 $ 26 7.125%, 12/15/13 (F) 300 276 Georgia-Pacific 8.125%, 05/15/11 1,325 1,381 8.000%, 01/15/24 1,225 1,234 7.700%, 06/15/15 (F) 1,575 1,599 7.125%, 01/15/17 (A) 945 943 7.000%, 01/15/15 (A) 2,450 2,438 Graham Packaging (F) 9.875%, 10/15/14 2,760 2,843 Huntsman International LLC (A) 7.875%, 11/15/14 1,355 1,424 Huntsman LLC 11.625%, 10/15/10 255 274 11.500%, 07/15/12 1,440 1,598 Ineos Group Holdings PLC (A) (F) 8.500%, 02/15/16 2,935 2,953 Innophos 8.875%, 08/15/14 500 528 Innophos Holdings (A) 9.500%, 04/15/12 700 714 Intertape Polymer 8.500%, 08/01/14 450 466 Jefferson Smurfit 8.250%, 10/01/12 800 818 Lyondell Chemical 10.875%, 05/01/09 1,401 1,401 10.500%, 06/01/13 995 1,087 8.250%, 09/15/16 600 650 8.000%, 09/15/14 1,267 1,340 6.875%, 06/15/17 5,580 5,587 Macdermid (A) 6.750%, 04/15/17 1,075 1,134 Massey Energy 6.625%, 11/15/10 1,087 1,076 Metals USA Holding PIK (A) 11.365%, 06/22/07 1,075 1,066 Methanex 6.000%, 08/15/15 175 165 Millennium America 7.625%, 11/15/26 200 196 Momentive Performance (A) (F) 11.500%, 12/01/16 3,505 3,680 9.750%, 12/01/14 805 841 Mosaic (A) 7.625%, 12/01/16 1,750 1,859 7.375%, 12/01/14 625 652 Mosaic Global Holdings 7.300%, 01/15/28 325 317 Nalco 8.875%, 11/15/13 (F) 1,345 1,443 7.750%, 11/15/11 2,355 2,437 -------------------------------------------------------------------------------- 200 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Neenah 9.500%, 01/01/17 $ 575 $ 569 Newark Group 9.750%, 03/15/14 700 728 Noranda Aluminum Acquisition PIK (A) 9.360%, 11/18/07 1,995 2,015 Novelis 7.250%, 02/15/15 1,150 1,213 Owens-Brockway Glass 8.875%, 02/15/09 175 179 8.250%, 05/15/13 4,360 4,600 6.750%, 12/01/14 (F) 450 455 Owens-Illinois 7.350%, 05/15/08 200 202 P H Glatfelter 7.125%, 05/01/16 1,425 1,453 PNA Group (A) 10.750%, 09/01/16 2,975 3,302 Packaging Dynamics (A) 10.000%, 05/01/16 1,995 2,015 Polyone (F) 8.875%, 05/01/12 2,735 2,817 Reichold Industries (A) 9.000%, 08/15/14 1,471 1,530 Rock-Tenn 5.625%, 03/15/13 2,200 2,090 Rockwood Specialties Group 7.500%, 11/15/14 1,510 1,563 Solo Cup (F) 8.500%, 02/15/14 910 796 Solutia 11.250%, 07/15/09 (C) 1,000 1,022 7.375%, 10/15/27 (C) (F) 600 543 0.774%, 10/15/37 (C) 75 68 Stelco (D) 10.824%, 03/31/16 400 424 Terra Capital, Ser B 7.000%, 02/01/17 2,625 2,632 US Steel 6.650%, 06/01/37 150 148 Verso Paper Holdings LLC (A) 11.375%, 08/01/16 400 428 Vitro (A) 9.125%, 02/01/17 1,645 1,725 -------------- 111,479 -------------- TELECOMMUNICATION SERVICES -- 9.5% American Cellular, Ser B 10.000%, 08/01/11 493 518 American Tower 7.500%, 05/01/12 100 104 7.125%, 10/15/12 1,826 1,897 Axtel (A) 5.625%, 02/01/17 1,895 1,914 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Centennial Communications 11.099%, 07/01/07 (D) $ 100 $ 105 10.750%, 12/15/08 130 131 10.125%, 06/15/13 (F) 2,500 2,703 8.125%, 02/01/14 (F) 1,350 1,407 Cincinnati Bell 8.375%, 01/15/14 (F) 1,825 1,871 7.250%, 07/15/13 1,775 1,846 Citizens Communications 9.250%, 05/15/11 875 967 6.250%, 01/15/13 525 520 Consolidated Communication Holdings 9.750%, 04/01/12 3,203 3,395 Cricket Communications I 9.375%, 11/01/14 4,625 4,902 Digicel Group Ltd. (A) (F) 8.875%, 01/15/15 1,225 1,214 Digicel Group Ltd. PIK (A) (F) 0.028%, 01/15/15 1,800 1,768 Digicel Ltd. (A) 9.250%, 09/01/12 2,045 2,170 Dobson Cellular Systems 9.875%, 11/01/12 240 262 Dobson Cellular Systems, Ser B 8.375%, 11/01/11 500 533 Dobson Communications 9.606%, 07/15/07 (D) 935 963 8.875%, 10/01/13 (F) 2,715 2,858 Embarq 7.082%, 06/01/16 1,000 1,019 GCI 7.250%, 02/15/14 1,450 1,443 Hawaiian Telecom Communications, Ser B (F) 9.750%, 05/01/13 625 669 IPCS (A) (D) 7.480%, 08/01/07 935 937 IPCS PIK (A) 0.000%, 05/01/14 220 221 Insight Communications (B) (F) 9.340%, 02/15/11 400 419 Intelsat 9.000%, 06/15/16 600 657 Intelsat Bermuda 11.250%, 06/15/16 2,065 2,359 9.250%, 06/15/16 1,137 1,259 8.872%, 08/12/07 (D) 2,330 2,382 Intelsat Intermediate (B) 8.190%, 02/01/15 5,025 4,221 Intelsat Ltd. (F) 6.500%, 11/01/13 2,300 1,966 Intelsat Sub Holdings Ltd. 8.625%, 01/15/15 425 455 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 201 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Level 3 Financing 9.250%, 11/01/14 (A) $ 8,675 $ 9,055 9.150%, 02/15/15 (A) (D) (F) 100 102 8.750%, 02/15/17 (A) 325 334 Lucent Technologies (F) 6.450%, 03/15/29 325 301 MetroPCS Wireless 9.250%, 11/01/14 (A) 3,225 3,414 9.250%, 11/01/14 (A) (F) 5,400 5,724 Nordic Telephone (A) (F) 8.875%, 05/01/16 2,410 2,612 Nortel Networks (A) (D) 9.606%, 07/15/07 150 162 Orascom Telecom Finance (A) 7.875%, 02/08/14 275 269 Primus Telecommunications 12.750%, 10/15/09 25 24 8.000%, 01/15/14 (F) 2,000 1,380 Qwest 8.875%, 03/15/12 2,070 2,272 8.605%, 06/15/07 (D) 1,544 1,691 7.875%, 09/01/11 600 635 7.500%, 10/01/14 1,105 1,163 7.250%, 09/15/25 925 946 7.250%, 10/15/35 1,025 1,034 6.500%, 06/01/17 (A) 275 272 Qwest Capital Funding (F) 7.900%, 08/15/10 700 730 Qwest Communications International 8.860%, 08/11/07 (D) 5,160 5,224 7.500%, 02/15/14 400 413 7.250%, 02/15/11 125 128 Qwest Communications International, Ser B (F) 7.500%, 02/15/14 3,650 3,769 Rogers Wireless 8.000%, 12/15/12 850 898 7.250%, 12/15/12 225 240 6.375%, 03/01/14 1,285 1,318 Rural Cellular 8.360%, 06/01/13 (A) 440 441 8.250%, 03/15/12 2,215 2,331 Rural Cellular, Ser B 11.375%, 05/15/10 325 325 Securus Technologies (F) 11.000%, 09/01/11 250 253 Syniverse Technologies, Ser B 7.750%, 08/15/13 125 121 Telenet Group Holdings (A) (B) (F) 8.830%, 06/15/14 1,300 1,238 Triton (F) 8.500%, 06/01/13 1,425 1,489 US Unwired, Ser B 10.000%, 06/15/12 400 433 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Virgin Media Finance PLC 9.125%, 08/15/16 $ 350 $ 381 8.750%, 04/15/14 825 872 West (F) 11.000%, 10/15/16 50 54 9.500%, 10/15/14 4,560 4,799 Wind Acquisitions Finance (A) 10.750%, 12/01/15 2,425 2,837 Windstream 8.625%, 08/01/16 6,250 6,828 8.125%, 08/01/13 185 199 7.000%, 03/15/19 1,560 1,554 -------------- 118,320 -------------- UTILITIES -- 3.2% AES 9.375%, 09/15/10 750 821 9.000%, 05/15/15 (A) 600 639 8.875%, 02/15/11 2,205 2,376 7.750%, 03/01/14 600 632 Aquila 14.875%, 07/01/12 450 585 9.000%, 11/15/21 871 889 8.000%, 03/01/23 3,515 3,594 Calpine Generating (C) 14.320%, 10/01/07 326 116 Edison Mission Energy (A) 7.625%, 05/15/27 950 962 7.200%, 05/15/19 1,450 1,445 7.000%, 05/15/17 5,350 5,330 Mirant (C) 0.000%, 07/15/07 750 56 Mirant Americas 8.500%, 10/01/21 3,533 3,820 8.300%, 05/01/11 300 319 Mirant North America 7.375%, 12/31/13 2,910 3,077 NRG Energy 7.375%, 02/01/16 3,775 3,917 7.375%, 01/15/17 4,860 5,048 7.250%, 02/01/14 1,555 1,598 Reliant Energy 9.250%, 07/15/10 2,300 2,412 Sierra Pacific Resources 7.803%, 06/15/12 425 449 TXU, Ser P 5.550%, 11/15/14 600 532 TXU, Ser R 6.550%, 11/15/34 150 126 Tenaska Alabama (A) 7.000%, 06/30/21 782 819 -------------- 39,562 -------------- -------------------------------------------------------------------------------- 202 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Total Corporate Obligations (Cost $1,035,449) ($ Thousands) $ 1,061,114 -------------- LOAN PARTICIPATIONS -- 6.9% FINANCIALS -- 6.9% Affinion 11.660%, 03/01/12 $ 875 875 Affinion Holding 11.660%, 01/24/12 2,000 2,000 BOC Edwards 0.000%, 05/31/14 200 200 Boston Generating 7.600%, 12/19/13 1,750 1,760 Boston Generating, 1st Lien 12.350%, 12/21/16 129 141 Boston Generating, 2nd Lien 9.600%, 06/21/14 650 665 9.570%, 06/18/14 500 511 CCFC (D) 11.320%, 08/26/09 2,219 2,316 Cannery Casino, 2nd Lien 9.610%, 05/18/14 300 303 Cebridge, 2nd Lien (D) 11.371%, 05/05/14 3,639 3,776 Century Cable Bank, Ser B (D) 10.250%, 06/30/09 3 3 Charter, 3rd Lien 7.850%, 03/01/14 500 501 Claire's Stores 0.000%, 05/29/13 975 970 Community Health Bridge 0.000%, 04/10/08 3,000 2,985 Cooper Standard (D) 7.875%, 12/23/11 2,716 2,728 Delphi 8.125%, 12/31/07 1,400 1,403 Delta, 2nd Lien 8.605%, 04/30/14 225 228 Dresser, 1st Lien 7.860%, 05/04/14 850 849 Dresser, 2nd Lien 11.110%, 05/04/15 1,550 1,580 0.000%, 05/04/15 200 204 Entegra PIK 11.340%, 04/04/15 225 234 Entegra PIK, 3rd Lien 11.340%, 04/19/15 1,450 1,506 Ford 8.360%, 12/12/13 623 628 Georgia Pacific 7.340%, 02/14/13 350 352 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Georgia Pacific, Ser B (D) 7.485%, 02/14/13 $ 424 $ 426 Green Valley 8.560%, 08/16/14 225 227 7.310%, 02/16/14 217 218 Green Valley, 2nd Lien 8.610%, 08/06/14 2,000 2,017 HCA, Ser B 7.614%, 11/15/14 1,995 2,009 Iasis Healthcare 10.606%, 06/15/14 1,975 2,000 Idearc, Ser B 7.350%, 11/15/14 3,491 3,515 Intelsat Bermuda 7.860%, 02/02/14 1,825 1,832 JG Wentworth, 1st Lien 10.350%, 10/04/14 500 509 7.600%, 04/04/14 975 976 KAR Holding 7.570%, 04/20/14 1,225 1,233 Level 3 7.570%, 12/01/11 500 501 McKechnie Aerospace Ltd. 0.000%, 05/11/14 250 251 0.000%, 05/11/15 700 706 Murray Bank, 2nd Lien (D) 13.860%, 01/31/11 2,422 2,610 Murray Bank, 3rd Lien (D) 17.860%, 07/28/11 2,045 2,127 NRG Energy Strip (D) 7.350%, 02/01/13 1,760 1,761 Nalco, Ser B 7.163%, 11/04/10 927 933 Nielsen Finance 8.190%, 08/09/13 697 702 Northwest Air (D) 7.320%, 08/21/08 1,500 1,504 Paetec Holdings 8.820%, 02/28/13 1,000 1,011 Penhall 12.824%, 03/28/12 600 600 Pinnacle Foods 8.099%, 04/02/14 1,000 1,007 Proquest 0.000%, 02/09/14 800 800 Proquest, 2nd Lien 11.090%, 02/09/16 1,200 1,218 Readers Digest 7.339%, 03/02/14 1,200 1,202 Rental Services 8.857%, 11/30/13 2,189 2,226 Revlon 9.365%, 01/15/12 1,450 1,495 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 203 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Rexnord 11.598%, 02/20/13 $ 1,900 $ 1,913 Reynold, 3rd Lien 12.850%, 04/01/14 1,300 1,336 Sandridge 8.625%, 04/01/15 1,025 1,061 Simmons 10.648%, 02/15/12 2,295 2,272 Simmons Holding Unsecured 0.000%, 02/15/12 200 198 Soren, 2nd Lien 0.000%, 02/16/14 1,250 1,266 TPF Generation Holdings LLC 9.620%, 12/15/14 1,250 1,270 Tropicana Entertainment 7.850%, 12/31/11 1,485 1,497 UPC 0.000%, 04/01/13 1,000 1,001 0.000%, 12/31/13 1,000 1,001 Univision 7.605%, 09/15/14 1,879 1,877 0.000%, 09/15/14 121 -- Univision Communications 7.570%, 03/15/14 940 939 0.000%, 03/15/14 60 -- Venoco 9.320%, 05/07/14 400 404 Verint System 0.000%, 05/09/14 2,000 2,004 Wide Open West 10.360%, 04/28/13 1,250 1,262 Wind Acquisition Holdings 12.609%, 12/12/11 2,332 2,385 0.000%, 12/21/11 700 716 -------------- Total Loan Participations (Cost $83,835) ($ Thousands) 84,736 -------------- COLLATERALIZED LOAN OBLIGATIONS -- 4.3% FINANCIALS -- 4.3% Ares IIIR, Ser 2007-1A, Cl SUB 13.800%, 04/16/21 5,000 4,900 Ares VR, Ser 2006-1A, Cl SUB (A) 10.490%, 02/24/18 3,500 3,150 Babson, Ser 2007-2A 0.000%, 07/20/19 2,700 2,700 CIFC Funding, Ser 2006-I (A) (D) 13.290%, 10/20/20 2,000 2,000 CIFC Funding, Ser 2006-II (A) (D) 13.770%, 03/01/21 3,000 3,000 CIFC Funding, Ser 2007-2A, Cl SUB 0.000%, 04/15/21 2,500 2,383 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Capitalsource Advisors, Ser 2006-1A, Cl SUB 0.000%, 08/27/20 $ 2,900 $ 2,835 Copper River, Ser 2006-1A, Cl INC 0.000%, 01/20/21 3,000 2,970 De Meer Middle Market, Ser 2006-1A, Cl INC 0.000%, 10/20/18 1,908 1,760 Denali Capital VII, Ser 2007-1A 10.780%, 01/22/22 4,500 4,500 Gleneagles, Ser AI (D) 12.940%, 11/01/17 6 6,000 Golden Tree Loan Opportunities III Ltd., Ser 2007-3A, Cl SUB 0.000%, 05/01/22 3,100 3,068 ING Investment Management II (A) (D) 11.120%, 08/01/20 5 4,728 Lightpoint, Ser 2006-4A, Cl IN (A) 0.000%, 04/15/18 2,000 1,630 Marathon, Ser 2005-2A, Cl INC (A) 11.520%, 12/20/19 1,500 1,425 Marlborough Street, Ser 2007-1A 0.000%, 04/18/19 2,300 2,116 Stanfield Vayron, Ser 2006-1A, Cl SUB 9.060%, 07/15/18 2,000 1,840 Tralee, Ser 2007-1A, Cl SUB 0.000%, 04/16/22 2,500 2,340 -------------- Total Collateralized Loan Obligations (Cost $52,199) ($ Thousands) 53,345 -------------- COLLATERALIZED DEBT OBLIGATIONS -- 1.4% FINANCIALS -- 1.4% Carlyle High Yield Partners, Ser 2006-8A, Cl N (E) 0.000%, 05/21/21 3,000 2,745 Connecticut Valley Structured Credit, Ser 2006-3A, Cl NOTE (A) 10.930%, 03/23/23 1,200 1,092 Peritus I (I) 3,000 1,050 Peritus I, Ser 2005-1A, Cl C (A) 9.000%, 05/24/15 11,079 10,270 Petroprod 10.850%, 05/24/13 900 900 Sevan Marine 5.655%, 05/14/13 900 909 -------------- Total Collateralized Debt Obligations (Cost $17,186) ($ Thousands) 16,966 -------------- -------------------------------------------------------------------------------- 204 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CONVERTIBLE BONDS -- 0.1% Adelphia Recovery Trust, Ser ACC-1 $ 466 $ -- Flextronics CV to 64.4122 1.000%, 08/01/10 1,190 1,138 Huntsman CV to 1.7674 5.000%, 02/16/08 1 25 Mirant CV to 14.7167 (C) (F) 2.500%, 06/15/21 1,950 146 -------------- Total Convertible Bonds (Cost $1,272) ($ Thousands) 1,309 -------------- PREFERRED STOCK -- 0.3% Rockwall Investors, 12.030%* 3,000,000 2,910 Rural Cellular PIK, 12.250%* 375 450 -------------- Total Preferred Stock (Cost $3,248) ($ Thousands) 3,360 -------------- COMMON STOCK -- 0.2% Armstrong World Industries* 6,123 343 Core-Mark Holding* 12,075 417 Delta Air Lines (F)* 19,510 372 Huntsman* 7,595 152 Owens Corning (F)* 28,431 1,021 Time Warner Cable (F)* 7,063 271 UAL (F)* 1,091 43 -------------- Total Common Stock (Cost $2,695) ($ Thousands) 2,619 -------------- ASSET-BACKED SECURITIES -- 0.2% MORTGAGE RELATED SECURITIES -- 0.2% Duke Funding, Ser 2004-6B, Cl A1S1 (A) (D) (G) 5.420%, 07/09/07 2,056 2,056 Harborview Mortgage Loan Trust, Ser 2006-4 Class X1, IO (I) 1.740%, 06/01/07 -- -- Washington Mutual, Ser 2007-OA2, Cl 1XPP, IO (E) (I) 0.002%, 03/25/47 -- -- -------------- Total Asset-Backed Securities (Cost $2,153) ($ Thousands) 2,056 -------------- -------------------------------------------------------------------------------- Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.0% FHLMC CMO, Ser 2603, Cl LI, IO 5.500%, 09/15/08 $ -- $ -- FHLMC CMO, Ser 2621, Cl IJ, IO 5.500%, 12/15/26 -- -- FHLMC CMO, Ser 2696, Cl NI, IO 5.500%, 03/15/23 -- -- FNMA CMO, Ser 2003-37, Cl IG, IO 5.500%, 05/25/32 -- -- -------------- Total U.S. Government Agency Obligations (Cost $17) ($ Thousands) -- -------------- CASH EQUIVALENTS -- 9.5% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%**++ 43,961,943 43,962 SEI Liquidity Fund L.P., 5.490% (G)**++ 74,003,065 74,003 -------------- Total Cash Equivalents (Cost $117,965) ($ Thousands) 117,965 -------------- COMMERCIAL PAPER (H) -- 1.7% KKR Pacific Funding Trust (G) 5.310%, 06/15/07 4,961 4,951 OCALA Funding (G) 5.310%, 06/19/07 2,056 2,050 Rhineland Funding Capital (G) 5.280%, 06/06/07 1,007 1,006 Stone Container (F) 8.000%, 03/15/17 1,725 1,729 Thornburg Mortgage Capital Resources (G) 5.290%, 06/07/07 5,482 5,477 Valour Bay Capital LLC (G) 5.320%, 06/11/07 2,237 2,234 5.320%, 06/13/07 4,111 4,104 -------------- Total Commercial Paper (Cost $21,551) ($ Thousands) 21,551 -------------- CERTIFICATES OF DEPOSIT (G) -- 0.3% Barclays Bank (D) 5.440%, 06/11/07 1,370 1,370 CC USA MTN (A) 5.520%, 06/18/07 2,741 2,741 -------------- Total Certificates of Deposit (Cost $4,111) ($ Thousands) 4,111 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 205 SCHEDULE OF INVESTMENTS High Yield Bond Fund (Concluded) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MASTER NOTE (G) (H) -- 0.2% Bear Stearns 5.430%, 06/01/07 $ 2,741 $ 2,741 -------------- Total Master Note (Cost $2,741) ($ Thousands) 2,741 -------------- REPURCHASE AGREEMENTS (G) (J) -- 2.7% Barclays Capital 5.280%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $944,829 (collateralized by a U.S. Government obligation, par value $963,684, 0.000%, 06/01/07, total market value $963,588) 945 945 Deutsche Bank 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $2,697,507 (collateralized by U.S. Government obligations, ranging in par value $14,910-$888,037, 4.000%- 6.000%, 02/01/08-11/04/20, total market value $2,751,062) 2,697 2,697 Lehman Brothers 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $30,153,836 (collateralized by U.S. Government obligations, ranging in par value $6,369,828-$52,203,982,3.875%- 8.875%, 06/15/08-03/15/31, total market value $30,752,417) 30,149 30,149 -------------- Total Repurchase Agreements (Cost $33,791) ($ Thousands) 33,791 -------------- Total Investments -- 113.2% (Cost $1,378,213) ($ Thousands) $ 1,405,664 ============== -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $1,241,924 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of May 31, 2007. + Real Estate Investment Trust ++ Affiliated security (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 May 31, 2007. 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 May 31, 2007. The reset date is reported on the Schedule of Investments is the next reset date. (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 May 31, 2007 (see Note 9). The total value of securities on loan at May 31, 2007was $177,671 ($ Thousands). (G) This security was purchased with cash collateral held from securities lending (see Note 9). The total value of such securities as of May 31, 2007 was $189,668 ($ 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 May 31, 2007 was $1,050 ($ Thousands) and represented 0.08% of Net Assets. (J) Tri-Party Repurchase Agreement Cl -- Class CMO -- Collateralized Mortgage Obligation CV -- Convertible Security EXL -- Extendable Maturity FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association IO -- Interest Only - Face Amount Represents Notional Amount 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 Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 206 SEI Institutional Investments Trust / Annual Report / May 31, 2007 Long Duration Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 52.7% Asset-Backed Securities 13.7% Financials 10.5% U.S. Government Agency Mortgage-Backed Obligations 6.6% U.S Government Agency Obligations 6.4% Commercial Paper 3.5% Short-Term Investments 1.9% Utilities 1.8% U.S. Treasury Obligations 1.2% Industrials 0.8% Consumer Discretionary 0.5% Telecommunication Services 0.4% Certificates of Deposit ++Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 55.1% MORTGAGE RELATED SECURITIES -- 55.1% Ace Securities, Ser WF1, Cl A2C (B) 5.660%, 06/25/07 $ 3,000 $ 3,007 American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1 (B) 5.550%, 06/25/07 2,568 2,568 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE4, Cl M2 (B) 7.320%, 06/15/07 1,163 1,167 Aviation Capital Group Trust, Ser 2003-2A, Cl G2 (A) (B) 6.120%, 06/20/07 608 615 Bayview Commercial Asset Trust, Ser 2006-1A, Cl M3 (A) (B) 5.740%, 06/25/07 1,329 1,324 Bayview Commercial Asset Trust, Ser 2007-2A, Cl A1 (B) 5.590%, 07/25/37 2,800 2,800 Bayview Commercial Asset Trust, Ser 2007-3, Cl A1 (B) 5.560%, 07/25/37 3,100 3,100 Bayview Financial Acquisition Trust, Ser 2004-B, Cl A1 (A) (B) 5.820%, 06/28/07 1,500 1,500 Bayview Financial Acquisition Trust, Ser 2005-A, Cl A1 (A) (B) 5.820%, 06/28/07 2,100 2,100 Bayview Financial Revolving Mortgage Loan Trust, Ser 2005-E, Cl A1 (A) (B) 5.820%, 06/28/07 2,400 2,400 Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE5, Cl 1A2 (B) 5.500%, 05/25/37 2,300 2,300 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Carrington Mortgage Loan Trust, Ser 2006-NC5, ClA1 (B) 5.370%, 06/25/07 $ 1,221 $ 1,221 Citigroup Mortgage Loan Trust, Ser 2003-1, Cl WA2 6.500%, 06/25/31 93 94 Citigroup Mortgage Loan Trust, Ser 2004-2, Cl 2A1 (A) 6.500%, 08/25/18 261 262 Continental Airlines, Ser 2002-1, Cl G1 (B) 5.810%, 08/15/07 97 97 Countrywide Alternative Loan Trust, Ser 2005-16, Cl A5 (B) 5.600%, 06/25/07 690 691 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 1A2 (B) 6.427%, 06/25/07 1,317 1,321 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 (B) 6.377%, 06/01/07 713 705 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 (B) 6.127%, 06/01/07 124 124 Countrywide Alternative Loan Trust, Ser 2005-51, Cl 2A2A (B) 5.610%, 06/20/07 494 494 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 (B) 5.650%, 06/20/07 1,189 1,193 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 2X, IO (G) 1.710%, 06/01/07 4,667 156 Countrywide Alternative Loan Trust, Ser 2005-61, Cl 2A1 (B) 5.600%, 06/25/07 656 657 Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 (B) 5.590%, 06/27/07 1,006 1,006 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl N1 (A) 6.000%, 09/25/46 522 520 Countrywide Alternative Loan Trust, Ser 2006-OA12, Cl A2 (B) 5.530%, 06/20/07 2,626 2,633 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO 2.500%, 05/20/46 8,711 373 Countrywide Asset-Backed Certificates, Ser 2003-BC1, Cl M1 (B) 6.240%, 06/25/07 407 408 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 207 SCHEDULE OF INVESTMENTS Long Duration Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Ser 2004-13, Cl AV2 (B) 5.580%, 06/27/07 $ 228 $ 228 Countrywide Asset-Backed Certificates, Ser 2005-12, Cl 1A1 (B) 5.470%, 06/27/07 1,929 1,929 Countrywide Asset-Backed Certificates, Ser 2005-13, Cl AF1 (B) 5.450%, 06/27/07 424 424 Countrywide Home Equity Loan Trust, Ser 2005-M, Cl A2 (B) 5.440%, 06/15/07 643 643 Countrywide Home Loans, Ser 2006-2, Cl 1A1 (B) 5.640%, 03/25/35 342 342 Credit-Based Asset Servicing, Ser 2005-CB5, Cl AF1 (B) 5.460%, 06/25/07 428 428 Credit-Based Asset Servicing, Ser 2006-CB4, Cl AV3 (B) 5.470%, 06/25/07 2,750 2,740 Credit-Based Asset Servicing, Ser 2007-CB2, Cl A2A (H) 5.891%, 02/25/37 2,410 2,405 DSLA Mortgage Loan Trust, Ser 2004-AR1, Cl A2A (B) 5.730%, 06/19/07 183 184 DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A (B) 5.530%, 06/19/07 591 592 DSLA Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1A (B) 5.580%, 06/21/07 725 727 First Franklin Mortgage Loan Asset, Ser 2007-FF1, Cl A2D (B) 5.540%, 06/25/07 2,750 2,751 First Franklin Mortgage Loan Asset, Ser 2007-FF2, Cl A2D (B) 5.540%, 06/25/07 1,850 1,842 GMAC Mortgage Loan Trust, Ser 2000-HE2, Cl A1 (B) 5.540%, 06/25/07 765 765 GSR Mortgage Loan Trust, Ser 2005-HEL1, Cl M2 (B) 6.050%, 06/29/07 1,700 1,692 Greenpoint Mortgage Funding Trust, Ser 2005-HE2, Cl A1 (B) 5.520%, 06/15/07 84 84 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A (B) 5.720%, 06/19/07 $ 866 $ 868 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO (G) 1.435%, 06/01/07 1,702 35 Harborview Mortgage Loan Trust, Ser 2005-10, Cl X, IO (B) 1.404%, 06/01/07 3,654 98 Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A (B) 5.630%, 06/19/07 1,024 1,028 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO (B) 1.209%, 06/01/07 3,844 91 Harborview Mortgage Loan Trust, Ser 2006-1, Cl X1, IO (B) 1.748%, 03/19/37 8,888 365 Home Equity Asset Trust, Ser 2005-5, Cl 2A1 (B) 5.430%, 06/25/07 31 31 Home Equity Asset Trust, Ser 2007-2, Cl 2A4 (B) 5.690%, 06/02/07 1,900 1,901 Home Equity Asset Trust, Ser 2007-3, Cl 2A2 (B) 5.500%, 06/25/07 2,300 2,300 Home Equity Mortgage Trust, Ser 2006-1, Cl A1B (B) 5.450%, 06/27/07 1,176 1,176 Indymac Home Equity Loan Asset- Backed Trust, Ser 2002-A, Cl M1 (B) 6.445%, 06/27/07 1,187 1,188 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1 (B) 5.710%, 06/25/07 653 654 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO (G) 1.589%, 06/01/07 1,213 26 Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B (B) 5.720%, 06/27/07 819 822 Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1 (B) 5.460%, 06/01/07 286 283 Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 (B) 5.750%, 06/25/07 229 229 Indymac Index Mortgage Loan Trust, Ser 2004-AR8, Cl 2A2A (B) 5.720%, 06/27/07 172 173 -------------------------------------------------------------------------------- 208 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A (B) 5.630%, 06/25/07 $ 1,685 $ 1,688 Inman Square Funding, Ser 2A, Cl I (A) (B) 5.800%, 07/06/07 1,950 1,950 Irwin Home Equity, Ser 2003-A, Cl M2 (B) 7.470%, 06/27/07 449 450 JPMorgan Chase Commercial Mortgage, Ser 2006-CB16, Cl AM 5.593%, 05/12/45 2,330 2,307 Lehman XS NIM Trust, Ser 2006-2N, Cl A1 (A) 7.000%, 02/27/46 971 971 Lehman XS Trust, Ser 2006-12N, Cl A1A1 (B) 5.400%, 06/25/07 933 933 Long Beach Asset Holdings, Ser 2006-9, Cl N1 (A) 6.250%, 10/25/46 935 897 Master Alternative Loans Trust, Ser 2003-3, Cl 2A1 8.500%, 05/25/33 236 238 Master Seasoned Securities Trust, Ser 2005-1, Cl 4A1 (B) 5.831%, 06/25/07 491 495 Merrill Lynch Mortgage Investors, Ser 2006-WMC1, Cl A2B (B) 5.460%, 06/27/07 2,750 2,750 Mid-State Trust, Ser 2004-1, Cl B 8.900%, 08/15/37 463 471 Morgan Stanley Capital I, Ser 2002- HE3, Cl M1 (B) 6.420%, 06/26/07 1,929 1,931 Morgan Stanley Capital I, Ser 2004- NC2, Cl M2 (B) 6.520%, 06/26/07 1,493 1,497 NationStar NIM Trust, Ser 2007-B, Cl A (A) 8.750%, 05/25/37 1,301 1,294 Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3 (B) 5.490%, 06/25/07 2,565 2,562 Nationstar Home Equity Loan Trust, Ser 2007-B, Cl 2AV4 (B) 5.686%, 06/25/07 2,000 2,001 Nomura Asset Acceptance, Ser 2006-S1, Cl A1 (A) (B) 5.460%, 06/25/07 959 959 Renaissance Home Equity Loan Trust, Ser 2007-1, Cl N (A) 9.793%, 04/25/37 838 837 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Residential Asset Mortgage Products, Ser 2004-RS11, Cl A2 (B) 5.590%, 06/25/07 $ 154 $ 154 Residential Asset Mortgage Products, Ser 2007-RZ1, Cl A1 (B) 5.390%, 06/25/07 1,640 1,640 Residential Asset Securities, Ser 2005-KS8, Cl A1 (B) 5.430%, 06/27/07 21 21 Residential Funding Mortgage Securities II, Ser 2006-HSA2, Cl AI1 (B) 5.430%, 06/27/07 1,333 1,333 Residential Funding Mortgage Securities, Ser 1999-HI8, Cl AI7 (H) 7.970%, 11/25/29 327 326 Saxon Asset Securities Trust, Ser 2004-3, Cl A3 (B) 5.660%, 06/26/07 19 19 Saxon Asset Securities Trust, Ser 2005-1, Cl M1 (B) 5.850%, 06/25/07 1,795 1,796 Soundview Home Equity Loan Trust, Ser 2006-1, Cl A2 (B) 5.460%, 06/27/07 2,301 2,301 Structured Asset Investment Loan Trust, Ser 2005-HE3, Cl A3 (B) 5.440%, 06/27/07 115 115 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl 3A1 (B) 5.550%, 06/28/07 1,945 1,948 Terwin Mortgage Trust, Ser 2005-11, Cl 1A1A (A) (H) 4.500%, 06/25/07 150 149 Terwin Mortgage Trust, Ser 2005- 14HE, Cl AF1 (B) 5.460%, 06/27/07 409 409 Terwin Mortgage Trust, Ser 2006-8, Cl 2A1 (A) (B) 4.500%, 08/25/37 1,151 1,133 Vertical CDO Ltd., Ser 2007-1A, Cl A1 (A) (B) 6.090%, 06/10/07 950 886 Washington Mutual, Ser 2000-1, Cl M2 (B) 6.620%, 06/25/07 610 610 Washington Mutual, Ser 2005-AR1, Cl A2A2 (B) 5.570%, 06/25/07 60 60 Washington Mutual, Ser 2005-AR2, Cl 2A21 (B) 5.650%, 06/25/07 570 572 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 209 SCHEDULE OF INVESTMENTS Long Duration Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Washington Mutual, Ser 2005-AR2, Cl 2A22 (B) 5.540%, 06/25/07 $ 85 $ 85 Washington Mutual, Ser 2005-AR6, Cl 2AB1 (B) 5.510%, 06/25/07 122 122 -------------- Total Asset-Backed Securities (Cost $102,224) ($ Thousands) 101,790 -------------- CORPORATE OBLIGATIONS -- 18.9% CONSUMER DISCRETIONARY -- 0.9% Comcast (B) 5.656%, 07/16/07 825 826 Johnson Controls (B) 5.587%, 07/17/07 786 787 -------------- 1,613 -------------- FINANCIALS -- 14.4% Bank of America, Ser A (A) 8.070%, 12/31/26 1,667 1,734 Barrick Gold Finance 5.800%, 11/15/34 897 818 Capital One Financial MTN (B) 5.620%, 06/11/07 1,000 1,003 Corestates Capital Trust I (A) 8.000%, 12/15/26 1,000 1,036 Countrywide Financial (B) 5.606%, 08/05/07 200 200 Countrywide Home Loans MTN, Ser E 6.935%, 07/16/07 690 691 Credit Suisse First Boston London (A) (B) (E) 0.000%, 06/24/07 1,271 1,161 Deutsche Bank Capital Funding Trust (A) (B) 5.628%, 01/19/49 1,182 1,144 Deutsche Bank Luxembourg (A) 6.825%, 12/28/07 281 283 Farmers Insurance Exchange (A) 8.625%, 05/01/24 160 189 Ford Motor Credit 7.000%, 10/01/13 865 828 6.625%, 06/16/08 240 240 Ford Motor Credit (B) 8.355%, 08/02/07 475 479 GMAC LLC (B) 7.560%, 06/25/07 938 971 HSBC Capital Trust II (A) 8.380%, 05/15/27 9 9 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers Holdings (B) 5.585%, 07/12/07 $ 940 $ 940 Lehman Brothers Holdings MTN (B) 8.920%, 08/16/07 462 449 5.579%, 07/18/07 730 731 Lehman Brothers Holdings MTN, Ser H (B) (F) 0.000%, 11/30/07 528 477 Meridian Funding (A) (B) 5.560%, 07/06/07 115 115 Merrill Lynch MTN (B) 8.950%, 11/18/07 650 612 8.680%, 11/02/07 660 628 Nationwide Mutual Insurance (A) 6.600%, 04/15/34 305 295 Popular North America (B) 5.690%, 06/12/07 735 736 Power Receivables Financial (A) 6.290%, 01/01/12 345 349 Residential Capital (B) 6.725%, 06/29/07 880 880 6.460%, 08/22/07 880 881 Rosyln Bancorp 5.750%, 11/15/07 900 897 Security Benefit Life (A) 7.450%, 10/01/33 1,500 1,637 Simon Property Group+ 5.750%, 05/01/12 870 878 State Street Institutional Capital, Cl B (A) 8.035%, 03/15/27 1,368 1,425 Toyota Motor Credit MTN (B) 8.000%, 10/24/07 1,395 1,353 ZFS Finance USA Trust V (A) (B) 6.500%, 05/09/37 500 493 Zurich Capital Trust I (A) 8.376%, 06/01/37 1,863 1,945 -------------- 26,507 -------------- INDUSTRIALS -- 1.2% America West Airlines, Ser 01-1 7.100%, 04/02/21 171 181 American Airlines, Ser AMBC 3.857%, 07/09/10 213 206 Cedar Brakes II LLC (A) 9.875%, 09/01/13 734 812 Continental Airlines, Ser 99-2 7.056%, 09/15/09 900 920 Continental Airlines, Ser AMBC 6.236%, 03/15/20 95 96 -------------- 2,215 -------------- -------------------------------------------------------------------------------- 210 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES -- 0.5% New England Telephone & Telegraph 7.650%, 06/15/07 $ 900 $ 901 -------------- UTILITIES -- 1.4% Entergy Gulf States (B) 5.760%, 08/15/07 525 525 Power Contract Financing (A) 6.256%, 02/01/10 901 906 Progress Energy Florida, Cl A (B) 5.760%, 06/13/07 1,000 1,001 Sempra Energy (B) 5.830%, 08/21/07 190 190 -------------- 2,622 -------------- UTILITIES -- 0.5% TXU Electric Delivery (A) (B) 5.725%, 06/16/07 1,000 1,000 -------------- Total Corporate Obligations (Cost $35,146) ($ Thousands) 34,858 -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 11.0% FHLMC 7.000%, 01/01/33 417 433 6.500%, 08/01/29 730 737 FHLMC ARM 7.267%, 01/01/33 319 319 6.625%, 06/01/07 635 654 5.838%, 01/01/34 1,246 1,261 5.203%, 04/01/34 1,117 1,124 5.121%, 04/01/34 1,017 1,016 4.048%, 08/01/34 1,222 1,226 3.825%, 05/01/34 1,659 1,663 3.409%, 08/01/34 1,594 1,591 FNMA 7.000%, 04/01/34 467 481 FNMA ARM 7.136%, 01/01/33 400 407 6.269%, 07/01/33 450 459 6.139%, 08/01/36 2,090 2,112 5.745%, 06/01/33 1,525 1,554 4.812%, 06/01/35 2,580 2,572 4.680%, 08/01/34 1,053 1,059 3.886%, 04/01/35 1,100 1,100 GNMA ARM 5.375%, 06/20/32 580 585 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $20,192) ($ Thousands) 20,353 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/shares ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.9% FHLB 5.505%, 04/30/09 $ 1,595 $ 1,595 5.500%, 05/29/09 3,530 3,531 FHLMC CMO, Ser 2006-4, Cl WE 4.500%, 02/25/36 3,050 2,654 FHLMC CMO, Ser 2733, Cl SB (B) 3.222%, 06/15/07 3,350 2,391 FHLMC CMO, Ser 2748, Cl ZT 5.500%, 02/15/24 86 79 FNMA CMO, Ser 2001-48, Cl PD 6.500%, 06/25/20 283 285 FNMA CMO, Ser 2003-122, Cl ZQ 6.000%, 12/25/33 116 113 FNMA CMO, Ser 2003-33, Cl PC 4.500%, 03/25/27 47 47 FNMA CMO, Ser 2004-12, Cl ZX 6.000%, 03/25/34 125 121 FNMA CMO, Ser 2004-31, Cl MZ 4.250%, 05/25/34 114 80 FNMA CMO, Ser 2004-80, Cl XZ 5.000%, 11/25/34 228 177 GNMA CMO, Ser 2003-112, Cl SG (B) 1.170%, 06/16/07 157 80 GNMA CMO, Ser 2003-86, Cl ZK 5.000%, 10/20/33 1,794 1,558 -------------- Total U.S. Government Agency Obligations (Cost $12,740) ($ Thousands) 12,711 -------------- COMMERCIAL PAPER (D) -- 6.7% Kitty Hawk Funding 5.270%, 06/27/07 3,510 3,497 National Rural Utilities 5.240%, 06/21/07 4,450 4,437 Ranger Funding 5.260%, 06/21/07 4,515 4,502 -------------- Total Commercial Paper (Cost $12,436) ($ Thousands) 12,436 -------------- CASH EQUIVALENT -- 3.7% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%*+ 6,741,416 6,741 -------------- Total Cash Equivalent (Cost $6,741) ($ Thousands) 6,741 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 211 SCHEDULE OF INVESTMENTS Long Duration Fund (Concluded) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATION (D) -- 1.9% U.S. Treasury Bills 4.962%, 06/21/07 (C) $ 2,033 $ 2,028 4.914%, 06/21/07 1,531 1,527 -------------- Total U.S. Treasury Obligation (Cost $3,554) ($ Thousands) 3,555 -------------- CERTIFICATES OF DEPOSIT (B) -- 0.5% JPMorgan Chase 8.750%, 08/28/07 455 452 7.590%, 06/28/07 385 362 -------------- Total Certificates of Deposit (Cost $820) ($ Thousands) 814 -------------- Total Investments -- 104.7% (Cost $193,853) ($ Thousands) $ 193,258 ============== A summary of the open futures contracts held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. Long Treasury Bond 22 Sep-2007 $ (3) ======= A summary of outstanding swap agreements held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements):
--------------------------------------------------------------------------------------------- INTEREST RATE SWAPS --------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) --------------------------------------------------------------------------------------------- Pay fixed rate of 4.524% and receive floating rate, rate based on 5Y5Y Swaption Straddle. (Counterparty: Lehman Brothers) 05/24/17 1,060 $ (4) Pay fixed rate of 4.650% and receive floating rate, rate based on 5Y5Y Swaption Straddle. (Counterparty: Lehman Brothers) 05/18/17 1,900 (25) Receive fixed rate of 5.008% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 01/04/21 54,565 (2,082) Receive fixed rate of 5.064% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 03/02/16 11,060 (293) Receive fixed rate of 5.178% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Barclays Capital) 01/03/17 5,615 (44) 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 (924) Receive fixed rate of 5.186% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 03/02/22 16,450 (613) Receive fixed rate of 5.280% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Barclays Capital) 09/05/16 3,690 (44) Receive fixed rate of 5.302% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Barclays Capital) 05/02/22 5,340 (136) Receive fixed rate of 5.391% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Credit Suisse First Boston) 04/04/16 5,980 (19) Receive fixed rate of 5.310% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Deutsche Bank) 04/03/22 26,200 (644) Receive fixed rate of 5.433% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Deutsche Bank) 02/02/22 19,515 30 Receive fixed rate of 5.728% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Credit Suisse First Boston) 07/05/16 4,400 155 --------- $ (4,643) =========
-------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $184,616 ($ Thousands). * Rate shown is the 7-day effective yield as of May 31, 2007. + Affiliated security (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 May 31, 2007. The date reported on the Schedule of Investments is the next reset date. (C) Security, or portion of this security, has been pledged as collateral on open futures contracts. (D) The rate reported is the effective yield at the time of purchase. (E) 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. (F) 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. (G) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (H) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on May 31, 2007. The coupon on a step bond changes on a specified date. ARM -- Adjustable Rate Mortgage Cl -- Class CDO -- Collateralized Debt Obligation CMO -- Collateralized Mortgage Obligation FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only - Face Amount Represents Notional Amount LIBOR -- London InterBank Offering Rate LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 212 SEI Institutional Investments Trust / Annual Report / May 31, 2007 Extended Duration Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 46.0% Asset-Backed Securities 11.4% Financials 10.8% Commercial Paper 9.1% U.S. Government Agency Obligations 7.4% U.S. Government Agency Mortgage Backed Obligations 6.3% U.S. Treasury Obligations 4.4% Short-Term Investments 1.8% Industrials 1.6% Utilities 0.5% Consumer Discretionary 0.4% Telecommunication Services 0.3% Certificate of Deposit ++Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 51.6% MORTGAGE RELATED SECURITIES -- 51.6% Ace Securities, Ser WF1, Cl A2C (B) 5.660%, 06/25/07 $ 4,700 $ 4,711 American General Mortgage Loan Trust, Ser 2006-1, Cl A1 (A) (B) 5.750%, 12/25/35 1,364 1,361 American Home Mortgage Assets, Ser 2006-2, Cl 2A1 (B) 5.510%, 06/25/07 1,020 1,022 American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1 (B) 5.550%, 06/25/07 5,106 5,106 Asset-Backed Securities Home Equity Loan Trust, Ser 2003-HE4, Cl M2 (B) 7.320%, 06/15/07 1,887 1,892 Aviation Capital Group Trust, Ser 2003-2A, Cl G2 (A) (B) 6.120%, 06/20/07 1,271 1,284 Bayview Commercial Asset Trust, Ser 2005-1A, Cl A1 (A) (B) 5.620%, 06/25/07 4,642 4,642 Bayview Commercial Asset Trust, Ser 2006-1A, Cl M3 (A) (B) 5.740%, 06/25/07 2,249 2,240 Bayview Commercial Asset Trust, Ser 2007-1, Cl A1 (A) (B) 5.540%, 06/25/07 5,366 5,352 Bayview Commercial Asset Trust, Ser 2007-2A, Cl A1 (A) (B) 5.590%, 07/25/37 5,500 5,500 Bayview Commercial Asset Trust, Ser 2007-3, Cl A1 (A) (B) 5.560%, 07/25/37 6,500 6,500 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Bayview Financial Acquisition Trust, Ser 2004-B, Cl A1 (A) (B) 5.820%, 06/28/07 $ 4,500 $ 4,500 Bayview Financial Acquisition Trust, Ser 2005-A, Cl A1 (A) (B) 5.820%, 06/28/07 4,400 4,400 Bayview Financial Revolving Mortgage Loan Trust, Ser 2005-E, Cl A1 (A) (B) 5.820%, 06/28/07 3,200 3,200 Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE5, Cl 1A2 (B) 5.500%, 05/25/37 4,500 4,500 Carrington Mortgage Loan Trust, Ser 2007-RFC1, Cl 1 (B) 5.370%, 06/25/07 2,710 2,709 Citigroup Mortgage Loan Trust, Ser 2003-1, Cl WA2 6.500%, 06/25/31 167 168 Citigroup Mortgage Loan Trust, Ser 2004-2, Cl 2A1 (A) 6.500%, 08/25/18 237 238 Citigroup Mortgage Loan Trust, Ser 2007-WFH1, Cl A3 (B) 5.470%, 06/25/07 3,000 2,996 Continental Airlines, Ser 2002-1, Cl G1 (B) 5.810%, 08/15/07 339 340 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 (B) 6.377%, 06/01/07 1,479 1,463 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 (B) 6.127%, 06/01/07 229 230 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 (B) 5.650%, 06/20/07 1,915 1,922 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 2X, IO (E) 1.710%, 06/01/07 6,152 206 Countrywide Alternative Loan Trust, Ser 2005-61, Cl 2A1 (B) 5.600%, 06/25/07 854 855 Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 (B) 5.590%, 06/27/07 1,652 1,652 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl N1 (A) 6.000%, 09/25/46 731 728 Countrywide Alternative Loan Trust, Ser 2006-OA12, Cl A2 (B) 5.530%, 06/20/07 5,167 5,182 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 213 SCHEDULE OF INVESTMENTS Extended Duration Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO 2.500%, 05/20/46 $ 11,187 $ 479 Countrywide Asset-Backed Certificates, Ser 2003-BC1, Cl M1 (B) 6.240%, 06/25/07 780 780 Countrywide Asset-Backed Certificates, Ser 2004-13, Cl AV2 (B) 5.580%, 06/27/07 304 304 Countrywide Asset-Backed Certificates, Ser 2005-13, Cl AF1 (B) 5.450%, 06/27/07 636 636 Countrywide Home Equity Loan Trust, Ser 2005-M, Cl A2 (B) 5.440%, 06/15/07 779 779 Credit-Based Asset Servicing, Ser 2005-CB5, Cl AF1 (B) 5.460%, 06/25/07 699 699 Credit-Based Asset Servicing, Ser 2006-CB4, Cl AV3 (B) 5.470%, 06/25/07 4,750 4,732 Credit-Based Asset Servicing, Ser 2007-CB2, Cl A2A (H) 5.891%, 02/25/37 3,944 3,936 DSLA Mortgage Loan Trust, Ser 2004-AR1, Cl A2A (B) 5.730%, 06/19/07 205 205 DSLA Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1A (B) 5.580%, 06/21/07 1,166 1,170 Equifirst Mortgage Loan Trust, Ser 2004-3, Cl A1 (B) 5.650%, 06/27/07 39 39 First Franklin Mortgage Loan Asset, Ser 2006-FF17, Cl A6 (B) 5.630%, 06/25/07 4,700 4,697 First Franklin Mortgage Loan Asset, Ser 2007-FF1, Cl A2D (B) 5.540%, 06/25/07 4,800 4,802 First Franklin Mortgage Loan Asset, Ser 2007-FF2, Cl A2D (B) 5.540%, 06/25/07 2,800 2,788 GMAC Mortgage Loan Trust, Ser 2000-HE2, Cl A1 (B) 5.540%, 06/25/07 1,042 1,043 GSAMP Trust, Ser 2006-S6, Cl A2 (H) 5.552%, 10/25/36 4,000 3,990 GSR Mortgage Loan Trust, Ser 2005-HEL1, Cl M2 (B) 6.050%, 06/29/07 2,400 2,388 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Greenpoint Mortgage Funding Trust, Ser 2005-HE2, Cl A1 (B) 5.520%, 06/15/07 $ 205 $ 205 Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A (B) 5.720%, 06/19/07 1,178 1,181 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO (E) 1.435%, 06/01/07 1,732 36 Harborview Mortgage Loan Trust, Ser 2005-10, Cl 2A1A (B) 5.630%, 06/21/07 1,139 1,142 Harborview Mortgage Loan Trust, Ser 2005-10, Cl X, IO (B) 1.404%, 06/01/07 5,586 149 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO (B) 1.209%, 06/01/07 6,406 151 Harborview Mortgage Loan Trust, Ser 2006-1, Cl X1, IO (B) 1.748%, 03/19/37 10,504 432 Hasco NIM Trust, Ser 2006-FF11, Cl A (A) 6.168%, 08/26/36 809 801 Home Equity Asset Trust, Ser 2005-5, Cl 2A1 (B) 5.430%, 06/25/07 51 51 Home Equity Asset Trust, Ser 2007-2, Cl 2A4 (B) 5.690%, 06/02/07 1,400 1,401 Home Equity Asset Trust, Ser 2007-3, Cl 2A2 (B) 5.500%, 06/25/07 4,500 4,500 Indymac Home Equity Loan Asset-Backed Trust, Ser 2002-A, Cl M1 (B) 6.445%, 06/27/07 1,545 1,546 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1 (B) 5.710%, 06/25/07 671 672 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO 1.589%, 06/01/07 2,282 48 Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B (B) 5.720%, 06/27/07 1,050 1,053 Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1 (B) 5.460%, 06/01/07 246 244 Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 (B) 5.750%, 06/25/07 311 313 -------------------------------------------------------------------------------- 214 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Indymac Index Mortgage Loan Trust, Ser 2004-AR8, Cl 2A2A (B) 5.720%, 06/27/07 $ 240 $ 242 Indymac Index Mortgage Loan Trust, Ser 2005,AR18, Cl 2A1B (B) 6.100%, 06/25/07 590 595 Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A (B) 5.630%, 06/25/07 2,247 2,250 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1A (B) 5.540%, 06/25/07 2,449 2,451 Indymac Residential Asset Backed Trust, Ser 2006-A, Cl A2 (B) 5.470%, 06/25/07 2,350 2,351 Inman Square Funding, Ser 2A, Cl I (A) (B) 5.800%, 07/06/07 3,300 3,300 Irwin Home Equity, Ser 2003-A, Cl M2 (B) 7.470%, 06/27/07 496 497 Lehman XS NIM Trust, Ser 2006-2N, Cl A1 (A) 7.000%, 02/27/46 1,553 1,553 Lehman XS Trust, Ser 2006-12N, Cl A1A1 (B) 5.400%, 06/25/07 1,244 1,244 Long Beach Asset Holdings, Ser 2006-8, Cl N1 (A) 6.048%, 10/25/46 1,877 1,793 Long Beach Asset Holdings, Ser 2006-9, Cl N1 (A) 6.250%, 10/25/46 1,375 1,320 Long Beach Mortgage Loan Trust, Ser 2006-11, Cl 2A1 (B) 5.380%, 06/25/07 1,916 1,916 Master Alternative Loans Trust, Ser 2003-3, Cl 2A1 8.500%, 05/25/33 197 199 Master Seasoned Securities Trust, Ser 2005-1, Cl 4A1 (B) 5.831%, 06/25/07 1,066 1,075 Mid-State Trust, Ser 2004-1, Cl B 8.900%, 08/15/37 384 390 Morgan Stanley Capital I, Ser 2002-HE3, Cl M1 (B) 6.420%, 06/26/07 2,893 2,896 NationStar NIM Trust, Ser 2007-B, Cl A (A) 8.750%, 05/25/37 2,601 2,588 Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3 (B) 5.490%, 06/25/07 5,075 5,069 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Nationstar Home Equity Loan Trust, Ser 2007-A, Cl AV4 (B) 5.550%, 06/25/07 $ 4,000 $ 4,005 Nationstar Home Equity Loan Trust, Ser 2007-B, Cl 2AV4 (B) 5.686%, 06/25/07 4,240 4,242 Nomura Asset Acceptance, Ser 2006-S4, Cl AIO, IO (B) 10.000%, 08/25/36 9,167 782 Popular Asset-Backed Mortgage Pass-Through Trust, Ser 2007-D, Cl A1 (B) 5.380%, 06/25/07 1,728 1,727 Renaissance Home Equity Loan Trust, Ser 2007-1, Cl N (A) 9.793%, 04/25/37 1,605 1,603 Residential Asset Mortgage Products, Ser 2004-RS11, Cl A2 (B) 5.590%, 06/25/07 458 458 Residential Asset Securities, Ser 2004-KS11, Cl AI2 (B) 5.590%, 06/27/07 196 196 Residential Funding Mortgage Securities, Ser 1999-HI8, Cl AI7 (H) 7.970%, 11/25/29 267 266 Saco I Trust, Ser 2006-8, Cl AIO, IO (A) 5.500%, 06/25/36 26,380 768 Saxon Asset Securities Trust, Ser 2004-3, Cl A3 (B) 5.660%, 06/26/07 94 94 Saxon Asset Securities Trust, Ser 2005-1, Cl M1 (B) 5.850%, 06/25/07 2,925 2,926 Soundview NIM Trust, Ser 2007-OPT1, Cl N (A) 9.000%, 06/25/37 3,057 3,063 Structured Asset Investment Loan Trust, Ser 2005-HE3, Cl A3 (B) 5.440%, 06/27/07 115 115 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl 3A1 (B) 5.550%, 06/28/07 2,979 2,983 Structured Asset Mortgage Investments, Ser 2006-AR5, Cl 2A1 (B) 5.530%, 06/25/07 932 934 Terwin Mortgage Trust, Ser 2005-11, Cl 1A1A (A) (H) 4.500%, 06/25/07 250 249 Terwin Mortgage Trust, Ser 2006-8, Cl 2A1 (A) (B) 4.500%, 08/25/37 1,599 1,574 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 215 SCHEDULE OF INVESTMENTS Extended Duration Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- UCFC Home Equity Loan, Ser 1998-D, Cl MF1 6.905%, 04/15/30 $ 270 $ 269 Vertical CDO Ltd., Ser 2007-1A, Cl A1 (A) (B) 6.090%, 06/10/07 1,850 1,726 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C25, Cl AM (B) 5.951%, 06/01/07 3,620 3,652 Washington Mutual, Ser 2000-1, Cl M2 (B) 6.620%, 06/25/07 536 536 Washington Mutual, Ser 2003-AR6, Cl A1 (B) 4.332%, 06/01/07 1,520 1,520 Washington Mutual, Ser 2004-AR3, Cl A2 (B) 4.243%, 06/25/34 1,088 1,067 Washington Mutual, Ser 2005-AR1, Cl A2A2 (B) 5.570%, 06/25/07 89 89 Washington Mutual, Ser 2005-AR2, Cl 2A21 (B) 5.650%, 06/25/07 893 896 Washington Mutual, Ser 2005-AR2, Cl 2A22 (B) 5.540%, 06/25/07 74 74 Washington Mutual, Ser 2005-AR6, Cl 2AB1 (B) 5.510%, 06/25/07 103 103 Washington Mutual, Ser 2006-AR9, Cl 1XPP (E) 0.338%, 06/01/07 134,054 1,220 -------------- Total Asset-Backed Securities (Cost $191,984) ($ Thousands) 191,157 -------------- CORPORATE OBLIGATIONS -- 17.6% CONSUMER DISCRETIONARY -- 0.6% Comcast (B) 5.656%, 07/16/07 1,100 1,101 Johnson Controls (B) 5.587%, 07/17/07 1,049 1,050 -------------- 2,151 -------------- FINANCIALS -- 12.7% Bank of America, Ser A (A) 8.070%, 12/31/26 3,428 3,566 Barrick Gold Finance 5.800%, 11/15/34 1,263 1,151 Capital One Financial MTN (B) 5.620%, 06/11/07 1,000 1,003 Countrywide Financial (B) 5.606%, 08/05/07 1,200 1,201 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Home Loans MTN, Ser E 6.935%, 07/16/07 $ 597 $ 598 Credit Suisse First Boston London (A) (B) (E) 0.000%, 06/24/07 1,988 1,817 Deutsche Bank Capital Funding Trust (A) (B) 5.628%, 01/19/49 2,013 1,949 Deutsche Bank Luxembourg (A) 6.825%, 12/28/07 304 306 Developers Divers Realty+ 3.875%, 01/30/09 1,700 1,654 Duke Realty+ 6.750%, 05/30/08 1,125 1,134 Farmers Insurance Exchange (A) 8.625%, 05/01/24 175 207 First Union Institutional Capital I 8.040%, 12/01/26 1,250 1,301 Ford Motor Credit 8.355%, 08/02/07(B) 750 756 7.000%, 10/01/13 1,682 1,610 6.625%, 06/16/08 500 500 GMAC LLC (B) 7.560%, 06/25/07 982 1,016 HSBC Capital Trust II (A) 8.380%, 05/15/27 41 43 Lehman Brothers Holdings (B) 5.585%, 07/12/07 2,070 2,069 Lehman Brothers Holdings MTN (B) 8.920%, 08/16/07 756 735 5.579%, 07/18/07 990 991 Lehman Brothers Holdings MTN, Ser H (B) (F) 0.000%, 11/30/07 861 778 Meridian Funding (A) (B) 5.560%, 07/06/07 128 128 Merrill Lynch MTN (B) 8.950%, 11/18/07 1,340 1,261 8.680%, 11/02/07 1,305 1,242 Nationwide Mutual Insurance (A) 6.600%, 04/15/34 522 504 Popular North America (B) 5.690%, 06/12/07 1,200 1,202 Power Receivables Financial (A) 6.290%, 01/01/12 276 279 Residential Capital (B) 6.725%, 06/29/07 1,700 1,701 6.460%, 08/22/07 1,700 1,701 Rosyln Bancorp 5.750%, 11/15/07 1,400 1,395 Security Benefit Life (A) 7.450%, 10/01/33 2,500 2,729 -------------------------------------------------------------------------------- 216 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Simon Property Group+ 5.750%, 05/01/12 $ 1,130 $ 1,141 State Street Institutional Capital, Cl B (A) 8.035%, 03/15/27 1,824 1,899 Toyota Motor Credit MTN (B) 8.000%, 10/24/07 2,041 1,980 UDR MTN, Ser E+ 4.250%, 01/15/09 1,550 1,510 Woodbourne Pass-Through Trust (A) (B) 6.420%, 06/08/07 700 705 ZFS Finance USA Trust V (A) (B) 6.500%, 05/09/37 825 814 Zurich Capital Trust I (A) 8.376%, 06/01/37 2,430 2,537 -------------- 47,113 -------------- INDUSTRIALS -- 2.0% America West Airlines, Ser 01-1 7.100%, 04/02/21 175 186 American Airlines, Ser AMBC 3.857%, 07/09/10 2,328 2,248 Cedar Brakes II LLC (A) 9.875%, 09/01/13 954 1,056 Continental Airlines, Ser 99-2 7.056%, 09/15/09 1,800 1,841 Continental Airlines, Ser AMBC 6.236%, 03/15/20 120 121 Viacom (B) 5.700%, 06/16/07 2,000 2,006 -------------- 7,458 -------------- TELECOMMUNICATION SERVICES -- 0.5% New England Telephone & Telegraph 7.650%, 06/15/07 1,786 1,787 -------------- UTILITIES -- 1.3% Entergy Gulf States (B) 5.760%, 08/15/07 560 560 Power Contract Financing (A) 6.256%, 02/01/10 1,620 1,629 Progress Energy Florida, Cl A (B) 5.760%, 06/13/07 1,700 1,702 Sempra Energy (B) 5.830%, 08/21/07 870 870 -------------- 4,761 -------------- UTILITIES -- 0.5% TXU Electric Delivery (A) (B) 5.725%, 06/16/07 1,900 1,901 -------------- Total Corporate Obligations (Cost $65,641) ($ Thousands) 65,171 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.2% FHLB 5.505%, 04/30/09 $ 3,155 $ 3,154 5.500%, 05/29/09 6,915 6,917 FHLMC (E) 5.199%, 06/25/07 5,630 5,610 FHLMC CMO, Ser 2006-4, Cl WE 4.500%, 02/25/36 4,000 3,481 FHLMC CMO, Ser 2733, Cl SB (B) 3.222%, 06/15/07 6,460 4,611 FHLMC CMO, Ser 2748, Cl ZT 5.500%, 02/15/24 365 336 FHLMC CMO, Ser 3096, Cl FL (B) 5.720%, 06/15/07 5,013 5,022 FHLMC CMO, Ser 3152, Cl JF (B) 5.770%, 06/15/07 5,253 5,270 FNMA CMO, Ser 2001-48, Cl PD 6.500%, 06/25/20 245 246 FNMA CMO, Ser 2003-122, Cl ZQ 6.000%, 12/25/33 503 489 FNMA CMO, Ser 2003-33, Cl PC 4.500%, 03/25/27 40 40 FNMA CMO, Ser 2004-12, Cl ZX 6.000%, 03/25/34 458 443 FNMA CMO, Ser 2004-80, Cl XZ 5.000%, 11/25/34 125 97 GNMA CMO, Ser 2003-112, Cl SG (B) 1.170%, 06/16/07 134 68 GNMA CMO, Ser 2003-86, Cl ZK 5.000%, 10/20/33 2,451 2,130 -------------- Total U.S. Government Agency Obligations (Cost $37,890) ($ Thousands) 37,914 -------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 8.2% FHLMC 6.500%, 08/01/29 631 637 FHLMC ARM 7.267%, 01/01/33 525 525 5.203%, 04/01/34 1,437 1,446 5.121%, 04/01/34 1,186 1,185 4.048%, 08/01/34 1,642 1,647 3.825%, 05/01/34 2,154 2,160 3.409%, 08/01/34 2,409 2,404 FNMA 7.000%, 04/01/34 720 741 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 217 SCHEDULE OF INVESTMENTS Extended Duration Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- FNMA ARM 7.136%, 01/01/33 $ 651 $ 662 6.269%, 07/01/33 450 459 6.139%, 08/01/36 3,989 4,031 5.817%, 11/01/33 1,805 1,814 5.745%, 06/01/33 1,961 1,998 4.812%, 06/01/35 5,088 5,073 4.680%, 08/01/34 1,348 1,356 4.480%, 10/01/34 3,160 3,185 3.886%, 04/01/35 1,303 1,303 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $30,422) ($ Thousands) 30,626 -------------- COMMERCIAL PAPER (D) -- 12.1% HSBC Finance 5.070%, 06/22/07 8,500 8,474 Kitty Hawk Funding 5.270%, 06/25/07 2,700 2,690 5.250%, 06/18/07 5,900 5,885 National Rural Utilities 5.240%, 06/05/07 3,755 3,753 5.240%, 06/21/07 4,930 4,916 Park Avenue Receivables 5.260%, 06/26/07 8,575 8,544 Ranger Funding 5.250%, 06/08/07 7,530 7,522 Yorktown Capital 5.270%, 07/09/07 3,079 3,062 -------------- Total Commercial Paper (Cost $44,846) ($ Thousands) 44,846 -------------- U.S. TREASURY OBLIGATION -- 7.1% U.S. Treasury Bill (C) (D) 4.913%, 06/21/07 26,314 26,244 -------------- Total U.S. Treasury Obligation (Cost $26,243) ($ Thousands) 26,244 -------------- CASH EQUIVALENT -- 4.9% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%*++ 18,212,830 18,213 -------------- Total Cash Equivalent (Cost $18,213) ($ Thousands) 18,213 -------------- -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT (B) -- 0.4% JPMorgan Chase 8.750%, 08/28/07 $ 691 $ 685 7.590%, 06/28/07 735 692 -------------- Total Certificates of Deposit (Cost $1,391) ($ Thousands) 1,377 -------------- Total Investments -- 112.1% (Cost $416,630) ($ Thousands) $ 415,548 ============== A summary of the open futures contracts held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. Long Treasury Bond 44 Sep-2007 $ 1 ======= A summary of outstanding swap agreements held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements):
----------------------------------------------------------------------------------------------------------------------- INTEREST RATE SWAPS ----------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ----------------------------------------------------------------------------------------------------------------------- Pay fixed rate of 4.524% and receive floating rate, rate based on 5Y5Y Swaption Straddle. (Counterparty: Lehman Brothers) 05/24/17 2,080 $ (8) Pay fixed rate of 4.650% and receive floating rate, rate based on 5Y5Y Swaption Straddle. (Counterparty: Lehman Brothers) 05/18/07 3,700 (48) Receive fixed rate of 4.934% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Lehman Brothers) 12/04/16 13,245 (357) Receive fixed rate of 4.986% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Deutsche Bank) 10/04/25 17,630 (1,227) Receive fixed rate of 5.048% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 01/04/26 59,690 (3,023) Receive fixed rate of 5.060% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: JPMorgan Chase) 12/04/26 28,410 (1,468) Receive fixed rate of 5.060% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Lehman Brothers) 12/04/26 65,000 (3,367) 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 (944) Receive fixed rate of 5.095% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: JPMorgan Chase) 03/05/17 15,510 (432) Receive fixed rate of 5.143% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Deutsche Bank) 01/07/25 21,660 (798) Receive fixed rate of 5.144% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 02/02/26 28,000 (1,102) Receive fixed rate of 5.216% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Barclays Capital) 04/04/25 49,000 (2,051) 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 (2,093) Receive fixed rate of 5.216% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Deutsche Bank) 04/04/25 43,000 (1,800) Receive fixed rate of 5.233% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Lehman Brothers) 03/02/27 58,600 (2,581) Receive fixed rate of 5.234% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: JPMorgan Chase) 03/02/27 50,000 (2,194) Receive fixed rate of 5.243% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 11/03/25 51,820 (2,069) Receive fixed rate of 5.244% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Barclays Capital) 11/03/25 51,820 (2,063)
-------------------------------------------------------------------------------- 218 SEI Institutional Investments Trust / Annual Report / May 31, 2007
----------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ----------------------------------------------------------------------------------------------------------------------- Receive fixed rate of 5.289% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 10/03/26 25,615 $ (932) Receive fixed rate of 5.364% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Credit Suisse First Boston) 05/02/27 21,440 (602) Receive fixed rate of 5.371% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Credit Suisse First Boston) 04/03/27 20,800 (566) Receive fixed rate of 5.399% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Barclays Capital) 09/05/26 22,460 (521) Receive fixed rate of 5.596% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Barclays Capital) 06/04/27 24,900 -- Receive fixed rate of 5.652% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Salomon Brothers) 08/02/26 14,135 295 Receive fixed rate of 5.807% and pay floating rate, rate based on 3 Month LIBOR. (Counterparty: Credit Suisse First Boston) 07/05/26 6,065 244 --------- $ (29,707) =========
Percentages are based on Net Assets of $370,667 ($ Thousands). * Rate shown is the 7-day effective yield as of May 31, 2007. + Real Estate Investment Trust ++ Affiliated security (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 May 31, 2007. The date reported on the Schedule of Investments is the next reset date. (C) Security, or portion of this security, has been pledged as collateral on open futures contracts. (D) The rate reported is the effective yield at time of purchase. (E) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (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. (H) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on May 31, 2007. The coupon on a step bond changes on a specified date. ARM -- Adjustable Rate Mortgage CDO -- Collateralized Debt Obligation Cl -- Class CMO -- Collateralized Mortgage Obligation FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only - Face Amount Represents Notional Amount LIBOR -- London InterBank Offering Rate LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 219 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund May 31, 2007 -------------------------------------------------------------------------------- Sector Weightings (unaudited)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 80.0% Sovereign 6.6% Financials 3.6% Short-Term Investments 2.8% Deposits to Counterparty as Collateral for Swap Contracts 2.5% Energy 2.1% Time Deposits 0.9% Utilities 0.7% Commercial Paper 0.4% Telecommunication Services 0.1% Materials 0.1% Certificates of Deposit 0.1% Master Note 0.1% Asset-Backed Securities 0.0% Warrants ++Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9). -------------------------------------------------------------------------------- Face Amount(1) Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- GLOBAL BONDS -- 88.5% ARGENTINA -- 7.3% Cia Transporte Energia Registered (A) 8.875%, 12/15/16 390 $ 399 Province Del Neuquen (A) 8.656%, 10/18/14 230 238 Province of Buenos Aires (A) 9.620%, 04/18/28 1,460 1,453 Province of Buenos Aires Registered 9.375%, 09/14/18 440 438 2.000%, 05/15/35 (H) 1,100 519 0.000%, 04/18/28 335 331 Province of Mendoza Registered 5.500%, 09/04/18 110 94 Republic of Argentina 10.250%, 01/26/07 (I) EUR 850 404 9.000%, 11/19/08 (I) EUR 1,000 223 9.000%, 05/29/09 (I) EUR 1,375 614 8.798%, 12/15/35 (B) 1,600 232 8.500%, 07/01/04 (I) EUR 4,300 1,921 8.280%, 12/31/33 (C) 10,910 11,412 8.125%, 04/21/08 (I) EUR 2,000 915 7.820%, 12/31/33 EUR 214 282 7.446%, 12/15/35 (B) 8,265 1,302 5.475%, 08/03/07 (B) 1,175 861 5.475%, 08/03/07 (B) 15,150 11,105 2.977%, 12/31/33 (B) 2,550 1,263 1.330%, 12/31/38 (C) (H) 35,660 16,118 Republic of Argentina MTN, Ser E (I) 10.000%, 01/07/05 EUR 1,650 786 9.250%, 07/20/04 EUR 2,100 951 8.750%, 02/04/49 EUR 4,725 2,162 7.000%, 03/18/49 EUR 2,300 1,047 Republic of Argentina VII 0.642%, 09/12/13 2,950 2,876 -------------------------------------------------------------------------------- Face Amount(1) Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- Transportadora Gas Norte (A) (H) 7.500%, 12/31/12 210 $ 205 6.500%, 12/31/12 40 38 Transportadora Gas Norte Registered (H) 7.500%, 12/31/12 100 98 6.500%, 12/31/12 164 160 -------------- 58,447 -------------- BAHAMAS -- 0.2% Banco Votorantim Nassau (A) (E) 0.087%, 04/10/14 2,300 1,245 -------------- BELIZE -- 0.0% Government of Belize Registered (H) 4.250%, 02/20/29 330 270 -------------- BERMUDA -- 0.1% Critic Resources Finance (A) 6.750%, 05/15/14 250 247 Digicell Group (A) 8.875%, 01/15/15 450 446 -------------- 693 -------------- BOSNIA-HERZEGOVINA -- 0.1% Republic of Bosnia & Herzegovina, Ser B (E) 9.810%, 12/11/17 EUR 2,000 1,063 -------------- BRAZIL -- 10.1% Cesp-Comp Ener Sao Paulo (A) 9.750%, 01/15/15 BRL 1,050 630 Federal Republic of Brazil 12.500%, 01/05/22 BRL 8,240 5,654 11.000%, 08/17/40 25,025 33,533 10.250%, 01/10/28 4,800 2,884 10.125%, 05/15/27 2,900 4,241 8.875%, 10/14/19 200 250 8.750%, 02/04/25 5,893 7,608 8.250%, 01/20/34 2,250 2,869 8.000%, 01/15/18 3,920 4,379 7.125%, 01/20/37 (C) 12,420 14,003 6.000%, 01/17/17 4,715 4,746 -------------- 80,797 -------------- CAYMAN ISLANDS -- 0.5% Banco Safra (A) (E) 0.075%, 04/03/17 2,250 1,224 Blue City Investments 13.750%, 11/07/13 500 500 Earls Eight (A) (H) 7.500%, 12/31/12 350 340 -------------------------------------------------------------------------------- 220 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount(1) Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- Interoceanica IV Finance (A) (E) 3.783%, 11/30/25 800 $ 391 3.611%, 11/30/18 370 240 Peru Enhanced Pass-Thru (A) (E) 5.815%, 05/31/25 250 100 3.905%, 05/31/18 1,175 799 Vale Overseas 6.875%, 11/21/36 185 190 6.250%, 01/23/17 70 70 -------------- 3,854 -------------- CHILE -- 0.5% Codelco 5.500%, 10/15/13 575 571 Republic of Chile 5.500%, 01/15/13 3,665 3,672 -------------- 4,243 -------------- COLOMBIA -- 5.0% BanColombia (E) 0.135%, 05/25/17 235 235 Republic of Colombia 12.000%, 10/22/15 COP 4,527,000 2,759 11.750%, 02/25/20 6,233 9,287 10.750%, 01/15/13 (C) 638 791 10.375%, 01/28/33 2,865 4,283 8.250%, 12/22/14 1,540 1,767 8.125%, 05/21/24 (C) 10,295 12,344 7.375%, 01/27/17 3,435 3,777 7.375%, 09/18/37 4,030 4,505 7.160%, 08/16/07 (B) 225 244 -------------- 39,992 -------------- CYPRUS -- 0.2% Springvale Holdings (B) 11.389%, 09/07/07 1,000 1,000 Teorema Holding 9.000%, 10/27/08 600 603 -------------- 1,603 -------------- DOMINICAN REPUBLIC -- 0.3% Republic of Dominican Republic 9.040%, 01/23/18 410 473 8.625%, 04/20/27 1,250 1,480 -------------- 1,953 -------------- -------------------------------------------------------------------------------- Face Amount(1) Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- ECUADOR -- 0.8% Republic of Ecuador Registered 10.000%, 08/15/07 (H) 2,085 $ 1,845 9.375%, 12/15/15 (C) 5,125 4,843 -------------- 6,688 -------------- EL SALVADOR -- 2.0% Republic of El Salvador 8.250%, 04/10/32 6,090 7,536 7.750%, 01/24/23 1,760 2,046 7.650%, 06/15/35 5,364 6,249 -------------- 15,831 -------------- HUNGARY -- 0.3% Republic of Hungary 6.500%, 08/12/09 HUF 493,350 2,619 -------------- INDONESIA -- 2.8% Indosat Finance 7.125%, 06/22/12 1,000 1,014 Republic of Indonesia 10.250%, 07/15/27 IDR 35,537,000 4,224 8.500%, 10/12/35 1,560 1,927 7.500%, 01/15/16 1,340 1,472 7.500%, 01/15/16 (A) 2,200 2,420 7.250%, 04/20/15 200 216 7.250%, 04/20/15 (A) (C) 3,470 3,744 6.875%, 03/09/17 1,300 1,378 6.750%, 03/10/14 2,760 2,880 6.625%, 02/17/37 1,450 1,446 6.625%, 02/17/37 (A) 1,625 1,619 -------------- 22,340 -------------- IRAQ -- 0.8% Republic of Iraq 5.800%, 01/15/28 9,450 6,018 -------------- IRELAND -- 0.1% Dal Capital (Vneshtorgbk) 7.000%, 04/13/09 RUB 18,000 706 -------------- JERSEY -- 0.2% Aldar Funding 5.767%, 11/10/11 550 681 UBS Jersey Branch MTN (A) (B) 0.785%, 11/01/13 1,180 1,270 -------------- 1,951 -------------- LEBANON -- 0.1% Lebanese Republic Registered 8.250%, 04/12/21 760 718 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 221 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount(1) Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- LUXEMBOURG -- 1.5% Alfa Dividend Payment Rights Finance (A) (B) 7.255%, 06/15/07 447 $ 447 Gaz Capital for Gazprom Registered 9.625%, 03/01/13 1,100 1,290 8.625%, 04/28/34 5,150 6,625 Kuznetski (Bank of Moscow) (H) 7.500%, 11/25/15 1,000 1,027 RSHB Captl 7.175%, 05/16/13 250 264 6.299%, 05/15/17 (A) 2,120 2,126 UBS (Vimpelcom) 8.250%, 05/23/16 490 526 -------------- 12,305 -------------- MALAYSIA -- 2.5% Bank Megara Monetary Note (E) 3.159%, 11/01/07 MYR 10,100 2,931 Government of Malaysia 7.500%, 07/15/11 4,250 4,560 3.814%, 02/15/17 9,635 2,927 3.502%, 05/31/27 MYR 10,100 2,919 Petronas Capital Registered 7.875%, 05/22/12 900 1,089 7.875%, 05/22/22 4,390 5,300 -------------- 19,726 -------------- MEXICO -- 6.8% Mexican Bonos, Ser M20 8.000%, 12/07/23 MXP 56,383 5,469 Pemex Project Funding Master Trust 9.500%, 09/15/27 (A) 1,800 2,489 8.625%, 02/01/22 300 378 7.375%, 12/15/14 530 586 United Mexican States 8.125%, 12/30/19 2,360 2,879 7.500%, 04/08/33 4,780 5,774 6.625%, 03/03/15 9,130 9,783 5.625%, 01/15/17 1,050 1,052 United Mexican States MTN 8.300%, 08/15/31 7,325 9,559 6.375%, 01/16/13 1,317 1,374 United Mexican States MTN, Ser A 6.750%, 09/27/34 13,363 14,873 United Mexican States MTN, Ser E 0.006%, 05/08/17 EUR 5,000 5 -------------- 54,221 -------------- -------------------------------------------------------------------------------- Face Amount(1) Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- NETHERLANDS -- 0.7% HSBK Europe 7.250%, 05/03/17 300 $ 298 ING Bank MTN, Ser E 9.625%, 05/30/08 600 602 Kazkommerts International (A) 7.500%, 11/29/16 400 385 Kazkommerts International Registered (A) 7.500%, 11/29/16 800 768 Majapahti Holding (A) 7.750%, 10/17/16 1,500 1,584 7.250%, 10/17/11 885 915 White Nights Belagroprom Bank (B) 0.000%, 06/15/07 1,010 1,360 -------------- 5,912 -------------- PAKISTAN -- 0.2% Pakistan Mobile Communications (A) 8.625%, 11/13/13 330 342 Republic of Pakistan 7.875%, 03/31/36 320 335 7.125%, 03/31/16 (A) 1,150 1,167 -------------- 1,844 -------------- PANAMA -- 2.0% Republic of Panama 9.375%, 04/01/29 1,795 2,443 8.875%, 09/30/27 3,875 5,018 7.250%, 03/15/15 (C) 4,125 4,476 6.700%, 01/26/36 4,010 4,210 -------------- 16,147 -------------- PERU -- 2.7% Republic of Peru 8.750%, 11/21/33 1,480 1,968 8.375%, 05/03/16 1,000 1,183 7.350%, 07/21/25 7,480 8,621 Republic of Peru FLIRB, Ser 20YR 6.143%, 09/07/07 1,004 1,006 6.143%, 09/07/07 (B) 7,891 7,891 5.000%, 03/07/17 611 611 -------------- 21,280 -------------- PHILIPPINES -- 7.4% DMCI Water (J) 0.000%, 12/31/09 1,492 1,492 National Power 9.625%, 05/15/28 1,100 1,400 6.875%, 11/02/16 (A) 870 892 -------------------------------------------------------------------------------- 222 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount(1) Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- Republic of Philippines 10.625%, 03/16/25 5,800 $ 8,388 9.875%, 01/15/19 500 655 9.500%, 10/21/24 200 262 9.500%, 02/02/30 (C) 14,850 19,862 9.375%, 01/18/17 (C) 5,315 6,551 8.250%, 01/15/14 1,960 2,198 8.000%, 01/15/16 1,180 1,330 7.750%, 01/14/31 (C) 9,171 10,414 7.500%, 09/25/24 (C) 4,284 4,777 6.375%, 01/15/32 (C) 1,300 1,269 -------------- 59,490 -------------- POLAND -- 0.3% Government of Poland 5.250%, 01/15/14 2,635 2,606 -------------- RUSSIA -- 12.2% Kazan Orgsintez 9.250%, 10/30/11 330 335 Lukoil International Finance 6.656%, 06/07/22 205 205 Russian Federation Registered 12.750%, 06/24/28 480 869 12.750%, 06/24/28 5,790 10,479 7.500%, 03/31/30 (H) 77,068 86,431 -------------- 98,319 -------------- SOUTH AFRICA -- 0.8% Republic of South Africa 6.500%, 06/02/14 5,515 5,798 5.875%, 05/30/22 930 910 -------------- 6,708 -------------- SUPRA-NATIONAL -- 0.5% European Investment Bank 10.000%, 01/28/11 3,630 2,376 International Bank Reconstruction & Development MTN, Ser G (E) 0.198%, 05/09/17 2,500 1,889 -------------- 4,265 -------------- THAILAND -- 0.1% True Move (A) 10.750%, 12/16/13 850 910 -------------- TUNISIA -- 0.1% Banque Centrale de Tunisie 8.250%, 09/19/27 420 510 7.375%, 04/25/12 525 566 -------------- 1,076 -------------- -------------------------------------------------------------------------------- Face Amount(1) Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- TURKEY -- 5.5% Republic of Turkey 11.875%, 01/15/30 6,225 $ 9,695 10.000%, 02/15/12 550 442 9.500%, 01/15/14 1,600 1,866 8.000%, 02/14/34 1,300 1,436 7.375%, 02/05/25 7,660 7,941 7.250%, 03/15/15 3,580 3,746 7.000%, 09/26/16 1,285 1,317 7.000%, 06/05/20 2,700 2,749 6.875%, 03/17/36 9,150 8,858 1.539%, 01/19/11 (E) 8,795 6,434 -------------- 44,484 -------------- UKRAINE -- 2.3% Government of Ukraine Registered 7.650%, 06/11/13 (C) 5,425 5,879 6.875%, 03/04/11 400 415 6.875%, 03/04/11 (A) 3,825 3,957 6.580%, 11/21/16 2,950 2,996 6.580%, 11/21/16 (A) 4,705 4,770 Naftogaz Ukrainy 8.125%, 09/30/09 600 604 -------------- 18,621 -------------- UNITED KINGDOM -- 0.5% Barclays Bank (A) (B) 0.000%, 07/17/22 674 841 Credit Suisse First Boston International (Export/Import - Ukraine) 6.800%, 10/04/12 550 546 Credit Suisse First Boston for the City of Kiev 8.000%, 11/06/15 750 790 JPMorgan Chase Bank London 10.250%, 07/19/27 IDR 5,065,000 605 Standard Bank MTN, Ser E (B) 0.000%, 07/20/09 509 526 UK Private Bank (A) 8.000%, 02/06/12 800 799 -------------- 4,107 -------------- UNITED STATES -- 0.2% Citigroup Funding (A) 6.000%, 05/18/15 700 720 DST 10.750%, 03/01/09 1,100 1,100 -------------- 1,820 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 223 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount(1) Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- URUGUAY -- 3.6% Republic of Uruguay 9.250%, 05/17/17 5,450 $ 6,731 8.000%, 11/18/22 11,587 13,498 7.625%, 03/21/36 700 793 7.500%, 03/15/15 1,475 1,611 5.000%, 09/14/18 UYU 52,870 2,610 Republic of Uruguay PIK 7.875%, 01/15/33 2,700 3,143 4.875%, 01/15/33 400 466 -------------- 28,852 -------------- VENEZUELA -- 7.2% Government of Venezuela 13.625%, 08/15/18 1,200 1,734 10.750%, 09/19/13 6,775 7,886 9.375%, 01/13/34 3,170 3,685 9.250%, 09/15/27 20,680 23,916 8.500%, 10/08/14 6,915 7,347 7.650%, 04/21/25 385 386 6.000%, 12/09/20 3,450 3,045 5.750%, 02/26/16 (C) 8,175 7,317 Government of Venezuela Registered 7.000%, 12/01/18 500 482 Petroleos De Venezuela 5.375%, 04/12/27 2,355 1,687 -------------- 57,485 -------------- Total Global Bonds (Cost $683,658) ($ Thousands) 711,209 -------------- DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS (G) -- 2.9% UNITED STATES -- 2.9% Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding TRY 1,285 974 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 600 600 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 600 600 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 940 940 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 940 940 Deposits with Credit Suisse First Boston as Collateral for Swap Contracts Outstanding 2,400 2,400 -------------------------------------------------------------------------------- Face Amount(1) Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- Deposits with Goldman Sachs as Collateral for Swap Contracts Outstanding BRL 3,752 $ 1,944 Deposits with HSBC as Collateral for Swap Contracts Outstanding TRY 8,048 6,098 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 2,992 2,992 Deposits with JPMorgan Chase as Collateral for Swap Contracts Outstanding 1,047 1,047 Deposits with Merrill Lynch as Collateral for Swap Contracts Outstanding 243 243 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 4,500 4,500 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 175 175 Deposits with Standard Bank as Collateral for Swap Contracts Outstanding 72 71 -------------- Total Deposit with Counterparty as Collateral for Swap Contracts (Cost $23,322) ($ Thousands) 23,524 -------------- CORPORATE OBLIGATIONS (D) -- 1.8% UNITED STATES -- 1.8% American General Finance (A) (B) 5.370%, 06/15/07 1,091 1,091 Bear Stearns EXL (B) 5.360%, 06/15/07 1,339 1,339 Countrywide Financial Services MTN (B) 5.430%, 06/27/07 451 451 Countrywide Financial Services MTN, Ser A (B) 5.440%, 08/06/07 1,128 1,128 Irish Life & Permanent MTN, Ser X (A) (B) 5.360%, 06/21/07 1,000 1,000 Jackson National Life Funding (A) (B) 5.320%, 06/01/07 1,655 1,655 Morgan Stanley EXL (B) 5.400%, 06/04/07 263 263 Morgan Stanley EXL, Ser S (B) 5.360%, 06/04/07 376 376 Nationwide Building Society (A) (B) 5.410%, 06/28/07 414 414 5.370%, 06/07/07 752 752 Northern Rock (A) (B) 5.380%, 06/04/07 775 775 -------------------------------------------------------------------------------- 224 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Face Amount(1) Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- Premium Asset Trust, Ser 2004-10 (A) (B) 5.380%, 06/15/07 1,053 $ 1,053 SLM EXL MTN (B) 5.320%, 06/15/07 828 828 Skandinav Enskilda Bank (A) (B) 5.320%, 06/18/07 827 828 Stanfield Victoria MTN (A) 5.450%, 06/11/07 752 752 UniCredito Italiano Bank (A) (B) 5.350%, 07/11/07 1,881 1,881 -------------- Total Corporate Obligations (Cost $14,586) ($ Thousands) 14,586 -------------- ASSET-BACKED SECURITY (A) (B) (D) -- 0.1% UNITED STATES -- 0.1% Duke Funding, Ser 2004-6B, Cl A1S1 5.420%, 07/09/07 564 564 -------------- Total Asset-Backed Security (Cost $564) ($ Thousands) 564 -------------- LOAN PARTICIPATIONS -- 1.4% INDONESIA -- 0.3% Star Energy Mezzanine Note 0.000%, 04/01/08 2,300 2,300 -------------- NIGERIA -- 0.0% PPMC GTEE Note (J) (K) 0.000%, 09/27/07 270 270 -------------- TURKEY -- 1.0% Cukurova, Ser A 0.000%, 05/01/08 4,450 4,450 Cukurova, Ser B 0.000%, 05/01/12 3,850 3,850 -------------- 8,300 UNITED STATES -- 0.1% Baja Ferries 5.100%, 01/26/17 313 313 -------------- Total Loan Participations (Cost $11,183) ($ Thousands) 11,183 -------------- Number of Warrants --------- WARRANTS -- 0.0% CYPRUS -- 0.0% Teorema Holding, Expires 10/27/09* -- -- -------------- -------------------------------------------------------------------------------- Face Amount(1)/Shares Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- MEXICO -- 0.0% United Mexican States, Expires 09/24/2007 140,000 $ 115 -------------- Total Warrants (Cost $150) ($ Thousands) 115 -------------- CASH EQUIVALENT (D) -- 2.5% UNITED STATES -- 2.5% SEI Liquidity Fund, L.P., 5.490%**+ 20,310,000 20,310 -------------- Total Cash Equivalents (Cost $20,310) ($ Thousands) 20,310 -------------- TIME DEPOSITS -- 2.2% UNITED STATES -- 2.2% Brown Brothers Harriman 7.750%, 06/01/07 17,508 17,508 3.030%, 06/01/07 EUR 4 6 -------------- Total Time Deposits (Cost $17,514) ($ Thousands) 17,514 -------------- U.S. TREASURY OBLIGATION (C) (E) (L) -- 1.4% U.S. Treasury Bills 5.053%, 08/23/07 11,700 11,576 -------------- Total U.S. Treasury Obligation (Cost $11,567) ($ Thousands) 11,576 -------------- COMMERCIAL PAPER (D) (E) -- 0.7% UNITED STATES -- 0.7% KKR Pacific Funding Trust 5.310%, 06/15/07 1,361 1,359 OCALA Funding LLC 5.310%, 06/19/07 564 563 Rhineland Funding Capital 5.280%, 06/06/07 276 276 Thornburg Mortgage Capital Resources 5.290%, 06/07/07 1,504 1,503 Valour Bay Capital LLC 5.320%, 06/11/07 614 613 5.320%, 06/13/07 1,128 1,126 -------------- Total Commercial Paper (Cost $5,440) ($ Thousands) 5,440 -------------- -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 225 SCHEDULE OF INVESTMENTS Emerging Markets Debt Fund (Continued) May 31, 2007 -------------------------------------------------------------------------------- Face Amount(1) Market Value Description (Thousands) ($ Thousands) -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT (D) -- 0.1% UNITED STATES -- 0.1% Barclays Bank (B) 5.440%, 06/11/07 376 $ 376 CC USA (A) 5.520%, 06/18/07 752 752 -------------- Total Certificates of Deposit (Cost $1,128) ($ Thousands) 1,128 -------------- MASTER NOTE (D) (E) -- 0.1% Bear Stearns 5.430%, 06/01/07 752 752 -------------- Total Master Note (Cost $752) ($ Thousands) 752 -------------- REPURCHASE AGREEMENTS (D) (F) -- 1.2% Barclays Capital 5.280%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $259,302 (collateralized by a U.S. Government obligation, par value $264,477, 0.000%, 06/01/07, total market value $264,450) 259 259 Deutsche Bank 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $740,313 (collateralized by U.S. Government obligations, ranging in par value $4,092-$243,716, 4.000%-6.000%, 02/01/08-11/04/20, total market value $755,011) 740 740 Lehman Brothers 5.300%, dated 05/31/07, to be repurchased on 06/01/07, repurchase price $8,275,521 (collateralized by U.S. Government obligations, ranging in par value $1,748,157- $14,327,039, 3.875%-8.875%, 06/15/08- 03/15/31, total market value $8,439,798) 8,274 8,274 -------------- Total Repurchase Agreements (Cost $9,273) ($ Thousands) 9,273 -------------- Total Investments -- 102.9% (Cost $799,447) ($ Thousands) $ 827,174 ============== A summary of the open futures contracts held by the Fund at May 31, 2007, is as follows (See Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. Long Treasury Bond (53) Jun-2007 $ 161 ======== A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 6/4/07 BRL 24,417 USD 12,531 $ (117) 6/4/07-7/3/07 USD 19,129 BRL 38,203 639 6/4/07-7/26/07 TRY 5,891 USD 4,313 (122) 6/19/07 USD 4,500 MXP 49,523 105 6/28/07 PLZ 8,808 USD 3,059 (51) 6/28/07-7/23/07 USD 12,513 PLZ 35,214 (80) 6/29/07-10/19/07 EUR 12,952 USD 17,644 147 7/10/07 USD 148 NGN 19,272 3 7/16/07-10/25/07 USD 3,649 RUB 95,127 35 7/18/07 USD 5,300 HUF 965,763 (109) 7/26/07 USD 1,800 TRY 2,572 117 --------- $ 567 ========= A summary of outstanding swap agreements held by the Fund at February 28, 2007, is as follows:
----------------------------------------------------------------------------------------------------------- TOTAL RETURN SWAPS ----------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ----------------------------------------------------------------------------------------------------------- Receive 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 $ 47 Receive 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: JPMorgan Chase) 08/15/10 BRL 4,450 477 Receive 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: JPMorgan Chase) 05/15/11 BRL 1,577 156 Receive 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: Goldman Sachs) 01/01/17 BRL 3,700 22 Receive 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) 01/04/08 NGN 24,630 9 Receive 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) 12/20/08 NGN 9,152 7 Receive payment at maturity on the Gazprom 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) 05/17/08 4,500 --
-------------------------------------------------------------------------------- 226 SEI Institutional Investments Trust / Annual Report / May 31, 2007
----------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ----------------------------------------------------------------------------------------------------------- Receive payment at maturity on the Turkish TRY 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: Credit Suisse First Boston) 03/07/12 TRY 1,300 $ 66 Receive payment at maturity on the Turkish TRY 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: HSBC Bank) 03/07/12 8,300 538 --------- $ 1,322 =========
----------------------------------------------------------------------------------------------------------- CREDIT DEFAULT SWAPS ----------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ----------------------------------------------------------------------------------------------------------- Fund receives quarterly payment of 0.4000%(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 $ 26 Fund receives semi-annual payment of 2.8750%(5.750% per annum) times 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 47 Fund receives semi-annual payment of 2.8750%(5.750% per annum) times 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 72 Fund receives semi-annual payment of 2.8750%(5.750% per annum) times 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) 12/20/09 2,400 221 Fund receives semi-annual payment of 2.6000%(5.200% per annum) times 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) 02/20/12 600 46 Fund receives semi-annual payment of 0.8100%(1.620% per annum) times the notional amount of Republic of Turkey, 11.875%,01/15/30. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 02/12/12 8,000 140 Fund receives semi-annual payment of 0.9600%(1.920% per annum) times the notional amount of Republic of Turkey, 11.875%,01/15/30. Upon a defined credit event, Fund pays the notional amount and takes receipt of the defined deliverable obligation. (Counterparty: JPMorgan Chase) 03/20/12 3,400 96 --------- $ 648 =========
----------------------------------------------------------------------------------------------------------- INTEREST RATE SWAPS ----------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION EXPIRATION AMOUNT (DEPRECIATION) DESCRIPTION DATE (THOUSANDS) ($ THOUSANDS) ----------------------------------------------------------------------------------------------------------- Receive fixed rate of 10.880% and pay floating rate, rate based on BRL CDI Index. (Counterparty: Lehman Brothers) 01/02/12 BRL 4,400 $ 37 Receive fixed rate of 11.093% and pay floating rate, rate based on BRL CDI Index. (Counterparty: Lehman Brothers) 01/02/12 BRL 11,800 131 --------- $ 168 =========
-------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $804,036 ($ Thousands). * Non-Income Producing Security ** Rate shown is the 7-day effective yield as of May 31, 2007. + Affiliated 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 May 31, 2007. The date reported on the Schedule of Investments is the next reset date. (C) This security or a partial position of this security is on loan at May 31, 2007 (see Note 9). The total value of securities on loan at May 31, 2007 was $49,859 ($Thousands). (D) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of May 31, 2007 was $52,053 ($ 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 May 31, 2007. 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 May 31, 2007 was $1,762 ($ Thousands) and represented 0.22% 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 May 31, 2007 was $270 ($ Thousands) and represented 0.03% of net assets. (L) Security, or portion thereof, has been pledged as collateral on open futures contracts. BRL -- Brazilian Real Cl -- Class COP -- Chilean Peso EUR -- Euro EXL -- Extendable Maturity FLIRB -- Front Loaded Interest Reduction Bond HUF -- Hungarian Forint IDR -- Indonesian Rupiah LLC -- Limited Liability Company LP -- Limited Partnership MTN -- Medium Term Note MXP -- Mexican Peso MYR -- Malaysian Ringgit NGN -- Nigerian Naira PIK -- Payment-in-Kind PLZ -- Polish Zloty RUB -- Russian Ruble Ser -- Series TRY -- New Turkish Lira USD -- U.S. Dollar UYU -- Uruguay Peso Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 227 SCHEDULE OF INVESTMENTS Real Return Plus Fund May 31, 2007 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)++: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 98.3% U.S. Treasury Obligations 1.7% Short-Term Investments ++Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 96.2% U.S. Treasury Bills (A) (C) 4.974%, 06/07/07 $ 9,083 $ 9,076 4.905%, 07/19/07 1,495 1,485 U.S. Treasury Bonds (B) 2.500%, 07/15/16 16,878 16,874 2.375%, 04/15/11 18,690 18,584 2.000%, 07/15/14 to 01/15/16 40,106 38,688 1.875%, 07/15/13 to 07/15/15 18,388 17,725 0.875%, 04/15/10 15,760 15,018 U.S. Treasury Notes (B) 4.250%, 01/15/10 390 408 3.875%, 01/15/09 17,754 18,104 3.500%, 01/15/11 393 407 3.375%, 01/15/12 5,312 5,514 3.000%, 07/15/12 27,552 28,245 2.375%, 01/15/17 12,703 12,542 2.000%, 04/15/12 to 01/15/14 14,720 14,264 1.625%, 01/15/15 17,425 16,351 -------------- Total U.S. Treasury Obligations (Cost $215,970) ($ Thousands) 213,285 -------------- CASH EQUIVALENT -- 1.7% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 5.330%*+ 3,701,081 3,701 -------------- Total Cash Equivalent (Cost $3,701) ($ Thousands) 3,701 -------------- Total Investments -- 97.9% (Cost $219,671) ($ Thousands) $ 216,986 ============== A summary of the open futures contracts held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- Australia 10 Year Bond Index (117) Jun-2007 $ 194 Amsterdam Index 22 Jun-2007 61 CAC40 10 Euro (40) Jun-2007 (64) Canadian 10 Year Bond Index (198) Sep-2007 86 DAX Index (1) Jun-2007 45 DJ Euro Stoxx 50 Index (8) Jun-2007 (17) Euro-Bond 55 Jun-2007 (67) Euro-Schatz (136) Jun-2007 5 FTSE 100 Index (50) Jun-2007 (401) IBEX 35 Plus Index (10) Jun-2007 (65) Hang Seng Index 46 Jun-2007 29 Japan 10 Year Bond Index 12 Jun-2007 (153) Long Gilt 10 Year Index 41 Sep-2007 (17) S&P 500 Index 24 Jun-2007 592 S&P/MIB Index -- Jun-2007 4 S&P/TSE 60 Index (23) Jun-2007 (144) SPI 200 Index (36) Jun-2007 (316) Topix Index 13 Jun-2007 112 U.S. 10 Year Treasury Note 76 Sep-2007 (21) U.S. Long Treasury Bond 46 Sep-2007 (22) ---------- $ (159) ========== A summary of the outstanding forward foreign currency contracts held by the Fund at May 31, 2007, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) -------------------------------------------------------------------------------- 6/20/07 HKD 403 USD 52 $ -- 6/20/07 JPY 2,879,422 USD 24,430 727 6/20/07 NOK 9,515 USD 1,592 15 6/20/07 USD 1,575 DKK 8,648 (12) 6/20/07 USD 52 HKD 403 -- 6/20/07 USD 1,632 NOK 10,011 28 6/20/07 USD 6,563 SEK 44,898 (59) 6/20/07 USD 2,509 SGD 3,819 (8) 6/20/07-9/19/07 AUD 13,108 USD 10,768 (69) 6/20/07-9/19/07 CAD 17,872 USD 15,984 (762) 6/20/07-9/19/07 CHF 33,007 USD 27,238 197 6/20/07-9/19/07 EUR 7,926 USD 10,579 (96) 6/20/07-9/19/07 GBP 3,449 USD 6,763 (58) 6/20/07-9/19/07 NZD 19,606 USD 14,144 (287) 6/20/07-9/19/07 SEK 63,298 USD 9,160 (22) 6/20/07-9/19/07 USD 15,958 AUD 20,239 772 6/20/07-9/19/07 USD 11,585 CAD 12,600 218 6/20/07-9/19/07 USD 13,171 CHF 16,105 1 6/20/07-9/19/07 USD 15,614 EUR 11,548 (49) 6/20/07-9/19/07 USD 15,989 GBP 8,143 111 6/20/07-9/19/07 USD 17,670 JPY 2,067,000 (578) 6/20/07-9/19/07 USD 18,069 NZD 25,817 903 ---------- $ 972 ========== -------------------------------------------------------------------------------- 228 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $221,531 ($ Thousands). * Rate shown is the 7-day effective yield as of May 31, 2007. + Affiliated security (A) The rate reported is the effective yield at time of purchase. (B) Treasury Inflation Index Notes (C) Security, or portion thereof, has been pledged as collateral on open futures contracts. AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class DKK -- Danish Krone EUR -- Euro GBP -- British Pound Sterling HKD -- Hong Kong Dollar JPY -- Japanese Yen NOK -- Norwegian Krone NZD -- New Zealand Dollar SEK -- Swedish Krona SGD -- Singapore Dollar USD -- U.S. Dollar Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 229 Statements of Assets and Liabilities ($ Thousands) May 31, 2007
------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP LARGE CAP DIVERSIFIED DISCIPLINED LARGE CAP ALPHA EQUITY FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $ 701,498* $498,774 $8,126,189* Affiliated investment, at value++ 29,380 13,302 308,276 Repurchase agreements+ 10,676 -- 71,019 Cash 39 213 -- Foreign currency, at value+++ -- -- -- Restricted cash held for swaps -- -- 3,105 Restricted cash held for securities sold short -- 639 -- Receivable for investment securities sold 27,015 2,757 70,260 Dividends and interest receivable 1,175 835 17,683 Receivable for fund shares sold 410 15,447 122,248 Receivable for variation margin 154 18 487 Foreign tax reclaim receivable 4 -- -- Unrealized gain on foreign spot currency contracts -- -- -- Unrealized gain on forward foreign currency contracts -- -- 2,517 Swap contracts at value++++ -- -- -- Prepaid expenses 6 1 44 ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 770,357 531,986 8,721,828 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned 59,927 -- 398,629 Payable for fund shares redeemed 12,136 3,082 84,475 Payable for investment securities purchased 3,986 22,251 396,443 Payable for securities sold short# -- 52,264 -- Payable to custodian -- -- 405 Payable for variation margin 129 62 1,293 Overdraft of foreign currency, at value+++ -- 7 -- Unrealized loss on foreign spot currency contracts -- -- -- Unrealized loss on forward foreign currency contracts -- -- 1,576 Reverse repurchase agreements -- -- -- Swap contracts at value++++ -- 229 4,107 Investment advisory fees payable 153 108 1,291 Trustees fees payable 2 1 22 Accrued expense payable 30 28 375 Accrued foreign capital gains tax on appreciated securities -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 76,363 78,032 888,616 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 693,994 $453,954 $7,833,212 ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 561,104 450,753 7,169,294 ++ Cost of affiliated investments 29,380 13,302 308,276 +++ Cost of foreign currency -- (7) -- ++++ Premiums received -- (318) (5,124) # Proceeds from securities sold short -- (49,046) -- * Includes market value of securities on loan 57,964 -- 387,291 NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) $ 712,174 $394,622 $6,429,221 Undistributed (distributions in excess of) net investment income 2,077 1,914 34,310 Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency (171,948) 5,978 198,175 Net unrealized appreciation on investments, securities sold short, option contracts and swaptions 151,070 44,803 1,027,914 Net unrealized appreciation on futures contracts 621 6,548 141,542 Net unrealized appreciation on swap contracts -- 89 1,017 Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- 1,033 Accumulated foreign capital gains tax on appreciated securities -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $ 693,994 $453,954 $7,833,212 ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 20.31 $ 11.94 $ 14.38 ($693,993,882/ ($453,954,022/ ($7,833,212,297/ 34,176,153 shares) 38,030,608 shares) 544,905,703 shares) ------------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 230 SEI Institutional Investments Trust / Annual Report / May 31, 2007
----------------------------------------------------------------------------------------------------------------------------------- SMALL/MID LARGE CAP CAP INDEX SMALL CAP EQUITY FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments at value+ $429,620* $2,353,295* $1,981,535* Affiliated investment, at value++ 23,119 292,337 238,433 Repurchase agreements+ 8,118 112,172 81,016 Cash -- 2,790 560 Foreign currency, at value+++ -- 45 36 Restricted cash held for swaps -- -- -- Restricted cash held for securities sold short -- -- -- Receivable for investment securities sold 2,194 17,382 23,238 Dividends and interest receivable 747 1,438 1,475 Receivable for fund shares sold 187 8,696 24,718 Receivable for variation margin 3 54 213 Foreign tax reclaim receivable -- 2 -- Unrealized gain on foreign spot currency contracts -- -- -- Unrealized gain on forward foreign currency contracts -- -- -- Swap contracts at value++++ -- -- -- Prepaid expenses 3 15 10 ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 463,991 2,788,226 2,351,234 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned 45,564 629,616 454,742 Payable for fund shares redeemed 367 3,731 7,362 Payable for investment securities purchased 1,089 16,986 22,555 Payable for securities sold short# -- -- -- Payable to custodian -- -- -- Payable for variation margin 4 -- -- Overdraft of foreign currency, at value+++ -- -- -- Unrealized loss on foreign spot currency contracts -- -- -- Unrealized loss on forward foreign currency contracts -- 5 3 Reverse repurchase agreements -- -- -- Swap contracts at value++++ -- -- -- Investment advisory fees payable 14 927 728 Trustees fees payable 1 6 5 Accrued expense payable 19 98 93 Accrued foreign capital gains tax on appreciated securities -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 47,058 651,369 485,488 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $416,933 $2,136,857 $1,865,746 ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 291,459 2,076,628 1,771,426 ++ Cost of affiliated investments 23,076 292,337 238,433 +++ Cost of foreign currency -- 45 34 ++++ Premiums received -- -- -- # Proceeds from securities sold short -- -- -- * Includes market value of securities on loan 44,322 610,514 442,451 NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) $268,170 $1,651,692 $1,492,171 Undistributed (distributions in excess of) net investment income 1,304 1,444 1,671 Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency 582 94,300 77,409 Net unrealized appreciation on investments, securities sold short, option contracts and swaptions 146,322 388,839 291,125 Net unrealized appreciation on futures contracts 555 582 3,369 Net unrealized appreciation on swap contracts -- -- -- Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- 1 Accumulated foreign capital gains tax on appreciated securities -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $416,933 $2,136,857 $1,865,746 ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption $ 135.30 $ 16.44 $ 14.95 Price Per Share -- Class A ($416,933,467/ ($2,136,856,814/ ($1,865,746,321/ 3,081,625 shares) 129,958,172 shares) 124,785,504 shares) ------------------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------- INTERNATIONAL WORLD EQUITY EQUITY EX-US FUND FUND ----------------------------------------------------------------------------------------------------------------- ASSETS: Investments at value+ $2,026,956* $2,154,838* Affiliated investment, at value++ 167,045 123,924 Repurchase agreements+ 64,073 36,562 Cash 42,092 46,598 Foreign currency, at value+++ 7,374 10,649 Restricted cash held for swaps -- -- Restricted cash held for securities sold short -- -- Receivable for investment securities sold 102,611 33,712 Dividends and interest receivable 9,220 8,142 Receivable for fund shares sold 4,086 122,854 Receivable for variation margin 1,507 1,928 Foreign tax reclaim receivable 633 431 Unrealized gain on foreign spot currency contracts 6 8 Unrealized gain on forward foreign currency contracts 7,816 5,059 Swap contracts at value++++ 926 890 Prepaid expenses 13 9 ----------------------------------------------------------------------------------------------------------------- Total Assets 2,434,358 2,545,604 ----------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable upon return on securities loaned 359,644 205,222 Payable for fund shares redeemed 131,392 20,827 Payable for investment securities purchased 128,258 261,087 Payable for securities sold short# -- -- Payable to custodian -- -- Payable for variation margin 15 155 Overdraft of foreign currency, at value+++ -- -- Unrealized loss on foreign spot currency contracts 5 16 Unrealized loss on forward foreign currency contracts 7,197 3,648 Reverse repurchase agreements 16,356 -- Swap contracts at value++++ -- -- Investment advisory fees payable 614 977 Trustees fees payable 5 5 Accrued expense payable 207 291 Accrued foreign capital gains tax on appreciated securities 31 362 ----------------------------------------------------------------------------------------------------------------- Total Liabilities 643,724 492,590 ----------------------------------------------------------------------------------------------------------------- Net Assets $1,790,634 $2,053,014 ----------------------------------------------------------------------------------------------------------------- + Cost of investments and repurchase agreements 1,735,795 1,879,818 ++ Cost of affiliated investments 167,045 123,924 +++ Cost of foreign currency 7,298 10,399 ++++ Premiums received (307) (469) # Proceeds from securities sold short -- -- * Includes market value of securities on loan 353,477 197,529 NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) $1,241,926 $1,588,459 Undistributed (distributions in excess of) net investment income 24,835 25,183 Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency 158,706 112,549 Net unrealized appreciation on investments, securities sold short, option contracts and swaptions 355,234 311,582 Net unrealized appreciation on futures contracts 8,289 12,648 Net unrealized appreciation on swap contracts 1,233 1,359 Net unrealized appreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 442 1,596 Accumulated foreign capital gains tax on appreciated securities (31) (362) ----------------------------------------------------------------------------------------------------------------- Net Assets $1,790,634 $2,053,014 ----------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 14.27 $ 15.96 ($1,790,633,572/ ($2,053,013,808/ 125,446,265 shares) 128,663,672 shares) -----------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 231 Statements of Assets and Liabilities ($ Thousands) May 31, 2007
------------------------------------------------------------------------------------------------------------------------------------ ENHANCED CORE HIGH YIELD INCOME FIXED INCOME BOND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $117,059 $6,666,981* $1,253,908* Affiliated investment, at value++ 7,092 478,083 117,965 Repurchase agreements+ 700 841,799 33,791 Cash -- -- 529 Foreign currency, at value+++ -- 2,322 -- Restricted cash held for swaps -- -- -- Restricted cash held for securities sold short -- -- -- Receivable for investment securities sold 4,034 328,291 20,728 Dividends and interest receivable 843 40,135 20,901 Receivable for fund shares sold -- 75,098 29,718 Receivable for variation margin 21 2,252 -- Foreign tax reclaim receivable 1 242 8 Unrealized gain on foreign spot currency contracts -- -- -- Unrealized gain on forward foreign currency contracts 1,213 178 -- Swap contracts at value ++++ -- -- -- Prepaid expenses -- 39 4 ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 130,963 8,435,420 1,477,552 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Payable upon return on securities loaned -- 1,111,358 189,668 Payable for fund shares redeemed -- 66,589 3,549 Income distribution payable -- 670 166 Payable for investment securities purchased 6,506 1,356,087 41,851 Payable to custodian 51 447 -- Payable for variation margin 1 866 -- Overdraft of foreign currency, at value+++ -- -- -- Unrealized loss on foreign spot currency contracts -- -- -- Unrealized loss on forward foreign currency contracts 893 816 -- Reverse repurchase agreements -- -- -- Swap contracts at value++++ 29 773 -- Options written, at value+++++ -- 55 -- Swaptions# -- 2,779 -- Investment advisory fees payable 39 533 329 Trustees fees payable -- 17 3 Accrued expense payable 14 303 62 ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 7,533 2,541,293 235,628 ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $123,430 $5,894,127 $1,241,924 ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements 117,940 7,550,135 1,260,248 ++ Cost of affiliated investments 7,092 478,083 117,965 +++ Cost of foreign currency -- 1,894 -- ++++ Premiums received/paid 14 (630) -- +++++ Premiums received -- (105) -- # Premiums received -- (3,050) -- * Includes market value of securities on loan -- 1,069,407 177,671 NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) $121,746 $5,991,284 $1,209,544 Undistributed (distributions in excess of) net investment income 1,322 179 283 Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency 207 (49,746) 4,646 Net unrealized appreciation (depreciation) on investments, securities sold short, option contracts and swaptions (181) (41,034) 27,451 Net unrealized appreciation (depreciation) on futures contracts 59 (6,206) -- Net unrealized appreciation (depreciation) on swap contracts (43) (143) -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 320 (207) -- ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $123,430 $5,894,127 $1,241,924 ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 10.14 $ 9.99 $ 10.33 ($123,429,621/ ($5,894,127,295/ ($1,241,924,264/ 12,175,740 shares) 589,905,765 shares) 120,174,981 shares) ------------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 232 SEI Institutional Investments Trust / Annual Report / May 31, 2007
---------------------------------------------------------------------------------------------------------------------------------- LONG EXTENDED EMERGING REAL RETURN DURATION DURATION MARKETS PLUS FUND FUND DEBT FUND FUND ---------------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments at value+ $186,517 $397,335 $797,591* $213,285 Affiliated investment, at value++ 6,741 18,213 20,310 3,701 Repurchase agreements+ -- -- 9,273 -- Cash 20 -- 7,912 -- Foreign currency, at value+++ -- -- 3,246 75 Restricted cash held for swaps -- -- -- -- Restricted cash held for securities sold short -- -- -- -- Receivable for investment securities sold 603 725 6,285 -- Dividends and interest receivable 931 1,768 11,647 1,258 Receivable for fund shares sold -- 14,236 29,219 18,225 Receivable for variation margin -- -- 771 -- Foreign tax reclaim receivable -- -- 180 -- Unrealized gain on foreign spot currency contracts -- -- 3 -- Unrealized gain on forward foreign currency contracts -- -- 1,046 2,972 Swap contracts at value ++++ -- -- 2,138 -- Prepaid expenses 1 2 -- -- ---------------------------------------------------------------------------------------------------------------------------------- Total Assets 194,813 432,279 889,621 239,516 ---------------------------------------------------------------------------------------------------------------------------------- LIABILITIES: Payable upon return on securities loaned -- -- 52,053 -- Payable for fund shares redeemed -- -- 1,519 18 Income distribution payable -- -- -- -- Payable for investment securities purchased 5,512 26,238 31,153 15,867 Payable to custodian -- 5,587 -- -- Payable for variation margin -- -- -- 14 Overdraft of foreign currency, at value+++ -- -- -- -- Unrealized loss on foreign spot currency contracts -- -- 1 -- Unrealized loss on forward foreign currency contracts -- -- 479 2,000 Reverse repurchase agreements -- -- -- -- Swap contracts at value++++ 4,643 29,707 -- -- Options written, at value+++++ -- -- -- -- Swaptions# -- -- -- -- Investment advisory fees payable 27 52 324 69 Trustees fees payable 1 1 2 1 Accrued expense payable 14 27 54 16 ---------------------------------------------------------------------------------------------------------------------------------- Total Liabilities 10,197 61,612 85,585 17,985 ---------------------------------------------------------------------------------------------------------------------------------- Net Assets $184,616 $370,667 $804,036 $221,531 ---------------------------------------------------------------------------------------------------------------------------------- + Cost of investments and repurchase agreements 187,112 398,417 779,137 215,970 ++ Cost of affiliated investments 6,741 18,213 20,310 3,701 +++ Cost of foreign currency -- -- 3,224 70 ++++ Premiums received/paid -- -- -- -- +++++ Premiums received -- -- -- -- # Premiums received -- -- -- -- * Includes market value of securities on loan -- -- 49,859 -- NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) $196,145 $413,093 $757,731 $220,281 Undistributed (distributions in excess of) net investment income (1,039) (2,645) 8,879 2,128 Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency (5,249) (8,993) 6,825 988 Net unrealized appreciation (depreciation) on investments, securities sold short, option contracts and swaptions (595) (1,082) 27,727 (2,685) Net unrealized appreciation (depreciation) on futures contracts (3) 1 161 (159) Net unrealized appreciation (depreciation) on swap contracts (4,643) (29,707) 2,138 -- Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- -- 575 978 ---------------------------------------------------------------------------------------------------------------------------------- Net Assets $184,616 $370,667 $804,036 $221,531 ---------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 9.52 $ 9.24 $ 10.95 $ 10.10 ($184,615,709/ ($370,667,055/ ($804,035,576/ ($221,531,091/ 19,386,187 shares) 40,119,192 shares) 73,422,958 shares) 21,943,131 shares) ----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 233 Statements of Operations ($ Thousands) For the year or period ended May 31, 2007
---------------------------------------------------------------------------------------------------------------- LARGE CAP LARGE CAP LARGE CAP DIVERSIFIED DISCIPLINED FUND ALPHA FUND EQUITY FUND ---------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends $ 12,340 $ 4,053 $ 92,972 Dividends from Affiliated Investments(1) 939 1,226 12,237 Interest Income 154 2,030 64,414 Income from Securities Lending 101 -- 433 Less: Foreign Taxes Withheld (7) (5) (1) ---------------------------------------------------------------------------------------------------------------- Total Investment Income 13,527 7,304 170,055 ---------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 2,969 1,221 25,575 Administration Fees 371 153 3,197 Trustee Fees 9 4 76 Professional Fees 30 14 311 Custodian/Wire Agent Fees 25 20 333 Printing Fees 14 6 141 Registration Fees 5 8 92 Interest Expense on Reverse Repurchase Agreements -- -- 397 Dividend Expense -- 626 -- Interest Expense on Short Sales -- 214 -- Overdraft Fees -- -- -- Other Expenses 24 6 100 ---------------------------------------------------------------------------------------------------------------- Total Expenses 3,447 2,272 30,222 ---------------------------------------------------------------------------------------------------------------- Less: Waiver of Investment Advisory Fees (1,146) (220) (12,572) Waiver of Administration Fees (371) (153) (3,197) Fees Paid Indirectly(1) (25) -- -- ---------------------------------------------------------------------------------------------------------------- Net Expenses 1,905 1,899 14,453 ---------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 11,622 5,405 155,602 ---------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments 47,928 9,497 265,736 Affiliated Investments -- -- -- Securities Sold Short -- (3,466) -- Futures Contracts 2,393 1,762 53,687 Written Options -- -- 540 Written Swaptions -- -- -- Swap Contracts -- 1 1,852 Foreign Currency Transactions -- -- 66 NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 84,535 42,781 726,048 Affiliated Investments -- -- -- Securities Sold Short -- 3,905 -- Futures Contracts 621 7,112 171,449 Written Options -- -- (420) Written Swaptions -- -- -- Swap Contracts -- 99 905 Foreign Capital Gains Tax -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies -- -- 1,086 ---------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $147,099 $67,096 $1,376,551 ----------------------------------------------------------------------------------------------------------------
(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. -------------------------------------------------------------------------------- 234 SEI Institutional Investments Trust / Annual Report / May 31, 2007
------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP INTERNATIONAL WORLD EQUITY INDEX SMALL CAP SMALL/MID CAP EQUITY EX-US FUND FUND EQUITY FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Dividends $ 6,939 $ 18,827 $ 15,412 $ 46,091 $ 35,731 Dividends from Affiliated Investments(1) 343 2,803 3,469 1,105 1,867 Interest Income 37 243 118 9,223 9,127 Income from Securities Lending 65 1,700 892 1,038 486 Less: Foreign Taxes Withheld (1) (52) (36) (1,526) (1,977) ------------------------------------------------------------------------------------------------------------------------------------ Total Investment Income 7,383 23,521 19,855 55,931 45,234 ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES: Investment Advisory Fees 647 12,899 9,690 8,887 7,887 Administration Fees 190 992 745 880 717 Trustee Fees 5 24 18 21 17 Professional Fees 19 97 73 83 72 Custodian/Wire Agent Fees 19 137 94 341 716 Printing Fees 8 44 33 38 32 Registration Fees 1 9 19 14 35 Interest Expense on Reverse Repurchase Agreements -- -- -- 2,163 1,482 Dividend Expense -- -- -- -- -- Interest Expense on Short Sales -- -- -- -- -- Overdraft Fees -- -- -- 47 54 Other Expenses 14 46 31 87 78 ------------------------------------------------------------------------------------------------------------------------------------ Total Expenses 903 14,248 10,703 12,561 11,090 ------------------------------------------------------------------------------------------------------------------------------------ Less: Waiver of Investment Advisory Fees (484) (2,539) (2,505) (2,938) (232) Waiver of Administration Fees (190) (992) (745) (880) (717) Fees Paid Indirectly(1) -- (399) (290) (48) (31) ------------------------------------------------------------------------------------------------------------------------------------ Net Expenses 229 10,318 7,163 8,695 10,110 ------------------------------------------------------------------------------------------------------------------------------------ NET INVESTMENT INCOME 7,154 13,203 12,692 47,236 35,124 ------------------------------------------------------------------------------------------------------------------------------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments 3,287 182,808 96,254 287,696 106,215 Affiliated Investments 7 -- -- -- -- Securities Sold Short -- -- -- -- -- Futures Contracts 491 5,945 3,093 16,457 21,792 Written Options -- -- -- 120 73 Written Swaptions -- -- -- -- -- Swap Contracts -- -- -- 1,220 864 Foreign Currency Transactions -- (16) (20) 3,562 4,070 NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 67,602 174,214 201,760 72,873 225,713 Affiliated Investments 22 -- -- -- -- Securities Sold Short -- -- -- -- -- Futures Contracts 704 582 3,377 10,735 14,478 Written Options -- -- -- (100) (50) Written Swaptions -- -- -- -- -- Swap Contracts -- -- -- 1,574 1,823 Foreign Capital Gains Tax -- -- -- 7 (253) Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies -- -- 1 1,119 2,091 ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $79,267 $376,736 $317,157 $442,499 $411,940 ------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 235 Statements of Operations ($ Thousands) For the year or period ended May 31, 2007
-------------------------------------------------------------------------------------------------------------- ENHANCED CORE FIXED HIGH YIELD INCOME INCOME BOND FUND(2) FUND FUND -------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends $ 3 $ 506 $ 5,350 Dividends from Affiliated Investments(1) 375 3,915 2,742 Interest Income 2,829 281,570 79,474 Income from Securities Lending -- 1,562 392 Less: Foreign Taxes Withheld (2) 43 (1) -------------------------------------------------------------------------------------------------------------- Total Investment Income 3,205 287,596 87,957 -------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 230 16,061 5,011 Administration Fees 26 2,677 511 Trustee Fees 1 65 13 Professional Fees 3 263 52 Custodian/Wire Agent Fees 4 337 56 Printing Fees 1 118 23 Registration Fees 3 57 15 Overdraft Fees -- -- -- Other Expenses 11 101 22 -------------------------------------------------------------------------------------------------------------- Total Expenses 279 19,679 5,703 -------------------------------------------------------------------------------------------------------------- Less: Waiver of Investment Advisory Fees (28) (9,505) (1,613) Waiver of Administration Fees (26) (2,677) (511) -------------------------------------------------------------------------------------------------------------- Net Expenses 225 7,497 3,579 -------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 2,980 280,099 84,378 ============================================================================================================== NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments 46 26,646 5,439 Affiliated Investments -- -- -- Futures Contracts 181 (3,536) 157 Written Options -- 2,107 -- Written Swaptions -- 47 -- Swap Contracts 6 (47) -- Foreign Currency Transactions 25 (433) -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (181) 38,863 27,791 Affiliated Investments -- -- -- Futures Contracts 59 (1,421) 46 Written Options -- (23) -- Written Swaptions -- 271 -- Swap Contracts (43) (13) -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies 320 273 -- -------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $3,393 $342,833 $117,811 ==============================================================================================================
(1) See Note 3 in the Notes to Financial Statements. (2) Commenced operations on December 14, 2006. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 236 SEI Institutional Investments Trust / Annual Report / May 31, 2007
----------------------------------------------------------------------------------------------------------------------------- LONG EXTENDED EMERGING REAL RETURN DURATION DURATION MARKETS PLUS FUND FUND DEBT FUND FUND(2) ----------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends $ -- $ -- $ 10 $ -- Dividends from Affiliated Investments(1) 206 320 -- 408 Interest Income 9,969 16,750 41,902 4,512 Income from Securities Lending -- -- 87 -- Less: Foreign Taxes Withheld -- -- (36) -- ----------------------------------------------------------------------------------------------------------------------------- Total Investment Income 10,175 17,070 41,963 4,920 ----------------------------------------------------------------------------------------------------------------------------- EXPENSES: Investment Advisory Fees 537 879 5,312 564 Administration Fees 89 146 312 40 Trustee Fees 2 4 8 1 Professional Fees 9 15 32 5 Custodian/Wire Agent Fees 10 16 110 6 Printing Fees 4 7 14 2 Registration Fees -- 5 11 6 Overdraft Fees -- -- 26 -- Other Expenses 34 37 41 5 ----------------------------------------------------------------------------------------------------------------------------- Total Expenses 685 1,109 5,866 629 ----------------------------------------------------------------------------------------------------------------------------- Less: Waiver of Investment Advisory Fees (238) (376) (2,097) (234) Waiver of Administration Fees (89) (146) (312) (40) ----------------------------------------------------------------------------------------------------------------------------- Net Expenses 358 587 3,457 355 ----------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 9,817 16,483 38,506 4,565 ----------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments (427) (843) 8,617 227 Affiliated Investments -- -- -- -- Futures Contracts (108) 208 (38) 761 Written Options -- -- -- -- Written Swaptions -- -- -- -- Swap Contracts (3,442) (6,342) 1,115 -- Foreign Currency Transactions -- -- 1,815 (16) NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments 828 864 44,412 (2,685) Affiliated Investments -- -- -- -- Futures Contracts (3) 1 161 (159) Written Options -- -- -- -- Written Swaptions -- -- -- -- Swap Contracts 5,917 2,452 2,073 -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies -- -- 89 978 ----------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $12,582 $12,823 $96,750 $ 3,671 -----------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 237 Statements of Changes in Net Assets ($ Thousands) For the years or period ended May 31,
------------------------------------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED LARGE CAP FUND ALPHA FUND(3) ------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 ------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 11,622 $ 17,264 $ 5,405 $ 604 Net Realized Gain from Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts 50,321 181,097(4) 7,794 855 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts 85,156 (59,095) 53,897 (2,457) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions -- -- -- -- ------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 147,099 139,266 67,096 (998) ------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (12,254) (19,617) (4,339) (167) Net Realized Gains: Class A -- -- (2,260) -- Class T -- -- -- -- ------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (12,254) (19,617) (6,599) (167) ------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 23,377 64,999 362,896(2) 154,549 Reinvestment of Dividends & Distributions 12,156 18,627 5,620 117 Cost of Shares Redeemed (277,601) (1,153,807)(6) (114,105) (14,455) ------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions (242,068) (1,070,181) 254,411 140,211 ------------------------------------------------------------------------------------------------------------- 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 (242,068) (1,070,217) 254,411 140,211 ------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (107,223) (950,568) 314,908 139,046 ------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 801,217 1,751,785 139,046 -- ------------------------------------------------------------------------------------------------------------- END OF PERIOD $ 693,994 $ 801,217 $ 453,954 $139,046 ------------------------------------------------------------------------------------------------------------- Undistributed Net Investment Income Included in Net Assets at Period End $ 2,077 $ 2,683 $ 1,914 $ 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. -------------------------------------------------------------------------------- 238 SEI Institutional Investments Trust / Annual Report / May 31, 2007
---------------------------------------------------------------------------------------------------------------------------------- LARGE CAP DISCIPLINED LARGE CAP EQUITY FUND INDEX FUND SMALL CAP FUND ---------------------------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 2007 2006 ---------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 155,602 $ 90,360 $ 7,154 $ 6,331 $ 13,203 $ 8,079 Net Realized Gain from Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts 321,815 265,538 3,785 4,064 188,753 252,103(5) Net Realized Gain (Loss) on Foreign Currency Transactions 66 (1,945) -- -- (16) (7) Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Securities Sold Short, Written Options, Futures Contracts and Swap Contracts 897,982 18,798 68,328 18,810 174,796 46,908 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions 1,086 (53) -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 1,376,551 372,698 79,267 29,205 376,736 307,083 ---------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (145,402) (77,248) (7,315) (5,960) (15,831) (6,512) Net Realized Gains: Class A (224,544) (203,409) (2,519) (3,638) (234,693) (132,939) Class T -- -- -- -- -- (4) ---------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (369,946) (280,657) (9,834) (9,598) (250,524) (139,455) ---------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 2,619,199(2) 1,990,928(2) 34,661 89,506 231,295 553,160(2) Reinvestment of Dividends & Distributions 366,050 278,155 9,512 8,989 240,779 132,742 Cost of Shares Redeemed (1,097,058) (954,069) (63,757) (71,721) (412,567) (513,260)(6) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 1,888,191 1,315,014 (19,584) 26,774 59,507 172,642 ---------------------------------------------------------------------------------------------------------------------------------- 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 1,888,191 1,315,014 (19,584) 26,774 59,507 172,528 ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 2,894,796 1,407,055 49,849 46,381 185,719 340,156 ---------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 4,938,416 3,531,361 367,084 320,703 1,951,138 1,610,982 ---------------------------------------------------------------------------------------------------------------------------------- END OF PERIOD $ 7,833,212 $4,938,416 $ 416,933 $367,084 $2,136,857 $1,951,138 ================================================================================================================================== Undistributed Net Investment Income Included in Net Assets at Period End $ 34,310 $ 23,495 $ 1,304 $ 1,433 $ 1,444 $ 3,575 ==================================================================================================================================
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 239 Statements of Changes in Net Assets ($ Thousands) For the years or period ended May 31,
--------------------------------------------------------------------------------------------------------------- SMALL/MID CAP INTERNATIONAL EQUITY FUND EQUITY FUND --------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 --------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 12,692 $ 7,380 $ 47,236 $ 38,858 Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts 99,347 122,485 305,493 347,429 Net Realized Gain (Loss) on Foreign Currency Transactions (20) (30) 3,562 4,671 Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts 205,137 32,495 85,082 63,376 Net Change in Unrealized Appreciation (Depreciation) on Foreign Capital Gain Tax -- -- 7 (38) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions 1 -- 1,119 (277) --------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 317,157 162,330 442,499 454,019 --------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (13,728) (6,272) (69,089) (49,222) Net Realized Gains: Class A (114,066) (48,124) (315,688) (14,153) --------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (127,794) (54,396) (384,777) (63,375) --------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 550,115 560,033(2) 181,985 241,196 Reinvestment of Dividends & Distributions 126,672 54,236 375,674 61,850 Cost of Shares Redeemed (217,044) (274,460) (481,732) (713,959) --------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 459,743 339,809 75,927 (410,913) --------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 459,743 339,809 75,927 (410,913) --------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 649,106 447,743 133,649 (20,269) --------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 1,216,640 768,897 1,656,985 1,677,254 --------------------------------------------------------------------------------------------------------------- END OF PERIOD $1,865,746 $1,216,640 $1,790,634 $1,656,985 --------------------------------------------------------------------------------------------------------------- Undistributed Net Investment Income Included in Net Assets at Period End $ 1,671 $ 2,130 $ 24,835 $ 27,089 ---------------------------------------------------------------------------------------------------------------
(1) See Note 4 in the Notes to Financial Statements for additional information. (2) Includes subscriptions as a result of an in-kind transfers of securities (see Note 8). (3) Commenced operations on December 14, 2006. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 240 SEI Institutional Investments Trust / Annual Report / May 31, 2007
------------------------------------------------------------------------------------------------------------------------ WORLD EQUITY ENHANCED CORE FIXED EX-US FUND INCOME FUND(3) INCOME FUND ------------------------------------------------------------------------------------------------------------------------ 2007 2006 2007 2007 2006 ------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 35,124 $ 13,042 $ 2,980 $ 280,099 $ 202,566 Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts 128,944 49,169 233 25,217 (66,645) Net Realized Gain (Loss) on Foreign Currency Transactions 4,070 4,234 25 (433) 32 Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Written Swaptions, Futures Contracts and Swap Contracts 241,964 88,398 (165) 37,677 (136,030) Net Change in Unrealized Appreciation (Depreciation) on Foreign Capital Gain Tax (253) (109) -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions 2,091 (484) 320 273 (1,399) ------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets Resulting from Operations 411,940 154,250 3,393 342,833 (1,476) ------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (36,280) (5,570) (1,709) (279,194) (210,525) Net Realized Gains: Class A (55,011) (572) -- -- (3,202) ------------------------------------------------------------------------------------------------------------------------ Total Dividends and Distributions (91,291) (6,142) (1,709) (279,194) (213,727) ------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 1,005,592 663,123 122,922 2,013,899 1,519,017 Reinvestment of Dividends & Distributions 90,953 5,899 1,709 272,084 207,316 Cost of Shares Redeemed (272,762) (142,944) (2,885) (1,101,898) (1,129,976) ------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Class A Transactions 823,783 526,078 121,746 1,184,085 596,357 ------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets Derived from Capital Share Transactions 823,783 526,078 121,746 1,184,085 596,357 ------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 1,144,432 674,186 123,430 1,247,724 381,154 ------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 908,582 234,396 -- 4,646,403 4,265,249 ------------------------------------------------------------------------------------------------------------------------ END OF PERIOD $2,053,014 $ 908,582 $123,430 $ 5,894,127 $ 4,646,403 ------------------------------------------------------------------------------------------------------------------------ Undistributed Net Investment Income Included in Net Assets at Period End $ 25,183 $ 15,577 $ 1,322 $ 179 $ 46 ------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 241 Statements of Changes in Net Assets ($ Thousands) For the years or period ended May 31,
---------------------------------------------------------------------------------------------------------- HIGH YIELD LONG DURATION BOND FUND FUND ---------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 ---------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 84,378 $ 27,355 $ 9,817 $ 6,234 Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts 5,596 4,576 (3,977) (1,715) Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts 27,837 (386) 6,742 (14,378) Net Change in Unrealized Appreciation on Foreign Currency Transactions -- -- -- -- ---------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 117,811 31,545 12,582 (9,859) ---------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (84,450) (27,352) (9,267) (7,087) Net Realized Gains: Class A (5,174) -- -- (1,170) ---------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (89,624) (27,352) (9,267) (8,257) ---------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: 1 CLASS A: Proceeds from Shares Issued 398,488 896,573 10,523 119,916 Reinvestment of Dividends & Distributions 87,670 26,937 9,267 8,257 Cost of Shares Redeemed (134,792) (65,332) (3,813) (20,787) ---------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 351,366 858,178 15,977 107,386 ---------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 351,366 858,178 15,977 107,386 ---------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 379,553 862,371 19,292 89,270 ---------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 862,371 -- 165,324 76,054 ---------------------------------------------------------------------------------------------------------- END OF PERIOD $1,241,924 $862,371 $184,616 $165,324 ---------------------------------------------------------------------------------------------------------- Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $ 283 $ 3 $ (1,039) $ (873) ----------------------------------------------------------------------------------------------------------
(1) See Note 4 in the Notes to Financial Statements for additional information. (2) Commenced operations on December 14, 2006. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 242 SEI Institutional Investments Trust / Annual Report / May 31, 2007
--------------------------------------------------------------------------------------------------------------------- EXTENDED EMERGING MARKETS REAL RETURN DURATION FUND DEBT FUND PLUS FUND(2) --------------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 2007 --------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 16,483 $ 8,976 $ 38,506 $ 9,698 $ 4,565 Net Realized Gain (Loss) from Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts (6,977) (2,264) 9,694 2,977 988 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- 1,815 12 (16) Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Written Options, Futures Contracts and Swap Contracts 3,317 (49,207) 46,646 (16,620) (2,844) Net Change in Unrealized Appreciation on Foreign Currency Transactions -- -- 89 486 978 --------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 12,823 (42,495) 96,750 (3,447) 3,671 --------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (14,980) (12,291) (36,685) (5,375) (2,421) Net Realized Gains: Class A -- (4,323) (4,938) -- -- --------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (14,980) (16,614) (41,623) (5,375) (2,421) --------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: 1 CLASS A: Proceeds from Shares Issued 151,838 135,387 291,823 523,743 228,504 Reinvestment of Dividends & Distributions 14,980 16,614 40,676 5,250 2,422 Cost of Shares Redeemed (16,917) (24,748) (63,398) (40,363) (10,645) --------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Class A Transactions 149,901 127,253 269,101 488,630 220,281 --------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets Derived from Capital Share Transactions 149,901 127,253 269,101 488,630 220,281 --------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 147,744 68,144 324,228 479,808 221,531 --------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 222,923 154,779 479,808 -- -- --------------------------------------------------------------------------------------------------------------------- END OF PERIOD $370,667 $222,923 $804,036 $479,808 $221,531 --------------------------------------------------------------------------------------------------------------------- Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $ (2,645) $ (1,598) $ 8,879 $ 4,454 $ 2,128 ---------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 243 Financial Highlights For the years or periods ended May 31, For a share outstanding throughout each period
------------------------------------------------------------------------------------------------------------------------------------ Net Realized and Distributions Net Asset Unrealized Dividends from Total Value, Net Gains Total from Net Realized Dividends Net Asset Beginning Investment (Losses) on from Investment Capital and Value, End of Period Income Securities Operations Income Gains Distributions of Period ------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP FUND Class A 2007 $ 16.93 $0.28(4) $ 3.40(4) $ 3.68 $(0.30) $ -- $(0.30) $ 20.31 2006 15.53 0.24(4) 1.44(4) 1.68 (0.28) -- (0.28) 16.93 2005 14.47 0.25(4) 1.05(4) 1.30 (0.24) -- (0.24) 15.53 2004 12.41 0.18(4) 2.09(4) 2.27 (0.21) -- (0.21) 14.47 2003 13.82 0.16(4) (1.41)(4) (1.25) (0.16) -- (0.16) 12.41 LARGE CAP DIVERSIFIED ALPHA FUND Class A 2007 $ 9.94 $0.19(4) $ 2.04(4) $ 2.23 $(0.16) $(0.07) $(0.23) $ 11.94 2006(2) 10.00 0.04(4) (0.09)(4) (0.05) (0.01) -- (0.01) 9.94 LARGE CAP DISCIPLINED EQUITY FUND Class A 2007++ $ 12.36 $0.51(4) $ 2.27(4) $ 2.78 $(0.30) $(0.46) $(0.76) $ 14.38 2006++ 12.05 0.26(4) 0.85(4) 1.11 (0.22) (0.58) (0.80) 12.36 2005++ 11.18 0.20(4) 0.94(4) 1.14 (0.18) (0.09) (0.27) 12.05 2004(1) 10.00 0.07(4) 1.25(4) 1.32 (0.06) (0.08) (0.14) 11.18 LARGE CAP INDEX FUND Class A 2007 $113.02 $2.29(4) $23.15(4) $25.44 $(2.33) $(0.83) $(3.16) $135.30 2006 106.24 2.06(4) 7.77(4) 9.83 (1.94) (1.11) (3.05) 113.02 2005 99.12 1.93(4) 7.20(4) 9.13 (1.82) (0.19) (2.01) 106.24 2004+++ 84.90 1.50(4) 14.28(4) 15.78 (1.37) (0.19) (1.56) 99.12 2003+++ 93.40 1.10 (8.50)(5) (7.40) (1.10) -- (1.10) 84.90 SMALL CAP FUND Class A 2007 $ 15.52 $0.10(4) $ 2.85(4) $ 2.95 $(0.12) $(1.91) $(2.03) $ 16.44 2006 14.27 0.07(4) 2.55(4) 2.62 (0.06) (1.31) (1.37) 15.52 2005 14.70 0.07(4) 1.38(4) 1.45 (0.05) (1.83) (1.88) 14.27 2004 11.60 0.06(4) 3.59(4) 3.65 (0.07) (0.48) (0.55) 14.70 2003 12.53 0.07(4) (0.94)(4) (0.87) (0.06) -- (0.06) 11.60 SMALL/MID CAP EQUITY FUND Class A 2007++ $ 13.38 $0.19(4) $ 2.57(4) $ 2.76 $(0.13) $(1.06) $(1.19) $ 14.95 2006++ 11.96 0.09(4) 1.97(4) 2.06 (0.08) (0.56) (0.64) 13.38 2005++ 10.70 0.05(4) 1.38(4) 1.43 (0.05) (0.12) (0.17) 11.96 2004(3)++ 10.00 0.02(4) 0.69(4) 0.71 (0.01) -- (0.01) 10.70 ------------------------------------------------------------------------------------------------------------------------------------ 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 Assets Expenses Indirectly Fees Paid Income Portfolio Total End of Period to Average and including Indirectly to Average Turnover Return+ ($ Thousands) Net Assets Waivers) and Waivers) Net Assets Rate+ ------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP FUND Class A 2007 21.97% $ 693,994 0.26% 0.26% 0.46% 1.57% 47% 2006 10.87 801,217 0.25 0.26 0.48 1.47 103 2005 9.02 1,751,751 0.26 0.26 0.47 1.67 43 2004 18.37 1,787,850 0.26 0.26 0.48 1.34 109 2003 (8.98) 3,008,463 0.26 0.26 0.47 1.39 51 LARGE CAP DIVERSIFIED ALPHA FUND Class A 2007 22.64% $ 453,954 0.62%* 0.62%* 0.74% 1.77% 132% 2006(2) (0.49) 139,046 0.45* 0.45* 0.66 1.70 47 LARGE CAP DISCIPLINED EQUITY FUND Class A 2007++ 23.15% $7,833,212 0.23%(6) 0.23%(6) 0.47%(6) 2.43% 135% 2006++ 9.33 4,938,416 0.24 0.24 0.47 2.10 140 2005++ 10.26 3,531,361 0.31 0.31 0.47 1.69 71 2004(1) 13.23 2,285,041 0.33 0.33 0.47 1.33 67 LARGE CAP INDEX FUND Class A 2007 22.87% $ 416,933 0.06% 0.06% 0.24% 1.88% 10% 2006 9.34 367,084 0.08 0.08 0.24 1.84 20 2005 9.29 320,703 0.13 0.13 0.24 1.89 8 2004+++ 18.71 284,711 0.16 0.16 0.24 1.58 6 2003+++ (7.79) 142,612 0.20 0.20 0.25 1.67 12 SMALL CAP FUND Class A 2007 20.32% $2,136,857 0.52% 0.54% 0.72% 0.67% 92% 2006 18.93 1,951,138 0.52 0.54 0.72 0.44 119 2005 9.81 1,610,876 0.54 0.54 0.72 0.46 94 2004 31.76 1,309,254 0.54 0.54 0.72 0.45 135 2003 (6.83) 1,193,935 0.54 0.54 0.72 0.67 97 SMALL/MID CAP EQUITY FUND Class A 2007++ 21.60% $1,865,746 0.48% 0.50% 0.72% 0.85% 104% 2006++ 17.51 1,216,640 0.50 0.53 0.72 0.69 123 2005++ 13.38 768,897 0.62 0.62 0.72 0.47 98 2004(3)++ 7.15 423,768 0.65 0.65 0.73 0.45 51
* The expense ratio includes dividend and interest expenses. Had these expenses been excluded the ratio would have been 0.35% and 0.34% for 2007 and 2006, respectively. + Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. ++ Per share amounts have been adjusted for a 10 to 1 stock split paid to shareholders of record on November 16, 2006. +++ Per share amounts have been adjusted for a 10 to 1 reverse stock split paid to shareholders of record on November 26, 2003. (1) Commenced operations on August 28, 2003. All ratios for the period have been annualized. (2) Commenced operations on February 28, 2006. All ratios for the period have been annualized. (3) Commenced operations on December 15, 2003. All ratios for the period have been annualized. (4) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. (5) The 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. (6) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.22%, 0.22%, and 0.47%, respectively. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 244 SEI Institutional Investments Trust / Annual Report / May 31, 2007
------------------------------------------------------------------------------------------------------------------------------------ Net Realized and Distributions Net Asset Unrealized Dividends from Total Value, Net Gains Total from Net Realized Dividends Net Asset Beginning Investment (Losses) on from Investment Capital and Value, End of Period Income Securities Operations Income Gains Distributions of Period ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EQUITY FUND Class A 2007 $14.05 $0.37(3) $ 3.12(3) $ 3.49 $(0.50) $(2.77) $(3.27) $14.27 2006 11.15 0.29(3) 3.09(3) 3.38 (0.37) (0.11) (0.48) 14.05 2005 10.06 0.23(3) 1.16(3) 1.39 (0.30) -- (0.30) 11.15 2004 7.76 0.18(3) 2.28(3) 2.46 (0.16) -- (0.16) 10.06 2003 9.21 0.13 (1.46) (1.33) (0.12) -- (0.12) 7.76 WORLD EQUITY EX-US FUND Class A 2007 $12.99 $0.35(3) $ 3.47(3) $ 3.82 $(0.33) $(0.52) $(0.85) $15.96 2006 9.81 0.27(3) 3.01(3) 3.28 (0.09) (0.01) (0.10) 12.99 2005(4) 10.00 0.07(3) (0.26)(3) (0.19) -- -- -- 9.81 ENHANCED INCOME FUND Class A 2007(7) $10.00 $0.27(3) $ 0.03(3) $ 0.30 $(0.16) $$ -- $ (0.16) $ 10.14 CORE FIXED INCOME FUND Class A 2007 $ 9.84 $0.53(3) $ 0.14(3) $ 0.67 $(0.52) $ -- $(0.52) $ 9.99 2006 10.34 0.47(3) (0.48)(3) (0.01) (0.48) (0.01) (0.49) 9.84 2005 10.19 0.41(3) 0.27(3) 0.68 (0.42) (0.11) (0.53) 10.34 2004 10.61 0.38(3) (0.26)(3) 0.12 (0.40) (0.14) (0.54) 10.19 2003 10.27 0.50 0.60 1.10 (0.50) (0.26) (0.76) 10.61 HIGH YIELD BOND FUND Class A 2007 $10.08 $0.84(3) $ 0.30(3) $ 1.14 $(0.84) $(0.05) $(0.89) $10.33 2006(2) 10.00 0.40(3) 0.08(3) 0.48 (0.40) -- (0.40) 10.08 LONG DURATION FUND Class A 2007 $ 9.31 $0.53(3) $ 0.18(3) $ 0.71 $(0.50) $ -- $(0.50) $ 9.52 2006 10.56 0.46(3) (1.07)(3) (0.61) (0.54) (0.10) (0.64) 9.31 2005 9.77 0.42(3) 1.03(3) 1.45 (0.54) (0.12) (0.66) 10.56 2004(1) 10.00 0.05(3) (0.23)(3) (0.18) (0.05) -- (0.05) 9.77 EXTENDED DURATION FUND Class A 2007 $ 8.86 $0.55(3) $ 0.32(3) $ 0.87 $(0.49) $ -- $(0.49) $ 9.24 2006 11.96 0.48(3) (2.68)(3) (2.20) (0.68) (0.22) (0.90) 8.86 2005 9.53 0.43(3) 2.84(3) 3.27 (0.84) -- (0.84) 11.96 2004(1) 10.00 0.05(3) (0.44)(3) (0.39) (0.08) -- (0.08) 9.53 EMERGING MARKETS DEBT FUND Class A 2007 $ 9.97 $0.65(3) $1.03(3) $ 1.68 $(0.62) $(0.08) $(0.70) $10.95 2006(2) 10.00 0.27(3) (0.17)(3) 0.10 (0.13) -- (0.13) 9.97 REAL RETURN PLUS FUND Class A 2007(7) $10.00 $0.26(3) $(0.03)(3) $ 0.23 $(0.13) $ -- $(0.13) $10.10 ------------------------------------------------------------------------------------------------------------------------------------ Ratio of Expenses Ratio of to Average Expenses Net Assets to Average (Excluding Net Assets Ratio of Net Ratio of Net Fees Paid (Excluding Investment Net Assets Expenses Indirectly Fees Paid Income Portfolio Total End of Period to Average and including Indirectly to Average Turnover Return+ ($ Thousands) Net Assets Waivers) and Waivers) Net Assets Rate+ ------------------------------------------------------------------------------------------------------------------------------------ INTERNATIONAL EQUITY FUND Class A 2007 28.00% $1,790,634 0.50%(5) 0.50%(5) 0.71%(5) 2.69% 153% 2006 30.77 1,656,985 0.36 0.36 0.63 2.30 116 2005 13.73 1,677,254 0.43 0.43 0.58 2.12 48 2004 31.73 1,391,076 0.48 0.48 0.65 1.92 80 2003 (14.43) 1,176,097 0.48 0.48 0.68 1.85 58 WORLD EQUITY EX-US FUND Class A 2007 30.29% $2,053,014 0.71%(6) 0.71%(6) 0.77%(6) 2.45% 154% 2006 33.52 908,582 0.60 0.61 0.76 2.22 104 2005(4) (1.90) 234,396 0.60 0.60 0.70 4.35 15 ENHANCED INCOME FUND Class A 2007(7) 3.02% $ 123,430 0.44% 0.44% 0.54% 5.84% 53% CORE FIXED INCOME FUND Class A 2007 6.95% $5,894,127 0.14% 0.14% 0.37% 5.23% 428% 2006 (0.09) 4,646,403 0.14 0.14 0.37 4.62 545 2005 6.77 4,265,249 0.15 0.15 0.37 3.94 615 2004 1.13 3,074,873 0.19* 0.19* 0.38 3.62 532 2003 11.10 2,431,368 0.18 0.18 0.37 4.79 436 HIGH YIELD BOND FUND Class A 2007 11.81% $ $ 1,241,924 0.35% 0.35% 0.56% 8.25% 98% 2006(2) 4.85 862,371 0.35 0.35 0.57 8.15 58 LONG DURATION FUND Class A 2007 7.67% $ 184,616 0.20% 0.20% 0.38% 5.49% 97% 2006 (6.08) 165,324 0.20 0.20 0.39 4.69 113 2005 15.26 76,054 0.20 0.20 0.41 4.05 449 2004(1) (1.78) 6,317 0.20 0.20 0.57 5.02 31 EXTENDED DURATION FUND Class A 2007 9.73% $ 370,667 0.20% 0.20% 0.38% 5.63% 123% 2006 (19.24) 222,923 0.20 0.20 0.39 4.64 170 2005 35.74 154,779 0.20 0.20 0.41 3.99 379 2004(1) (3.88) 27,787 0.20 0.20 0.44 5.17 42 EMERGING MARKETS DEBT FUND Class A 2007 17.40% $ 804,036 0.55% 0.55% 0.94% 6.16% 89% 2006(2) 1.00 479,808 0.55 0.55 0.95 5.43 51 REAL RETURN PLUS FUND Class A 2007(7) 2.29% $ 221,531 0.44% 0.44% 0.78% 5.67% 18%
* The expense ratio includes the litigation fees paid. Had these fees been excluded the ratio would have been 0.18%. + Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. (1) Commenced operations on April 21, 2004. All ratios for the period have been annualized. (2) Commenced operations on December 5, 2005. All ratios for the period have been annualized. (3) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. (4) Commenced operations on March 28, 2005. All ratios for the period have been annualized. (5) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.37%, 0.37%, and 0.59%, respectively. (6) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.60%, 0.60%, and 0.67%, respectively. (7) Commenced operations on December 14, 2006. All ratios for the period have been annualized. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 245 Notes to Financial Statements MAY 31, 2007 1. ORGANIZATION SEI Institutional Investments Trust (the "Trust") was organized as a Massachusetts business trust under a Declaration of Trust dated March 1, 1995. The Trust commenced operations on June 14, 1996. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company currently offering 15 Funds: The Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, International Equity, World Equity Ex-US, Enhanced Income, Core Fixed Income, High Yield Bond, Long Duration, Extended Duration, Emerging Markets Debt and Real Return Plus Funds (each a "Fund," collectively, the "Funds") each of which are diversified Funds with the exception of the Emerging Markets Debt Fund. The Trust is registered to offer Class A shares of all Funds. The assets of each Fund are segregated, and a shareholder's interest is limited to the Fund in which shares are held. The Fund's prospectus provides a description of each Fund's investment objectives, policies, and strategies. 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 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 -------------------------------------------------------------------------------- 246 SEI Institutional Investments Trust / Annual Report / May 31, 2007 or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided. The International Equity and World Equity Ex-US Funds that hold international securities also use a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by these Funds based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a "confidence interval" which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, these Funds that hold international securities will value the non-U.S. securities in their fund that exceed the applicable "confidence interval" based upon the adjusted prices provided by the fair valuation vendor. Options and warrants for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, at the closing bid price. Options and warrants not traded on a national securities exchange are valued at the last quoted bid price. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are recorded on the trade date. Cost used in determining net realized capital gains and losses on the sale of securities is determined on the basis of specific identification. Dividend income and expense is recognized on the ex-dividend date, and interest income or expense is recognized using the accrual basis of accounting. Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income. REPURCHASE AGREEMENTS -- Each Fund may agree to purchase securities from financial institutions subject to the seller's agreement to repurchase them at a mutually agreed upon date and price. It is each Fund's policy that repurchase agreements are fully collateralized by U.S. Treasury and Government Agency securities. All collateral is held by the Fund's custodian bank or a bank with which the custodian bank has entered into a subcustodian agreement, or is segregated in the Federal Reserve Book Entry System. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited. REVERSE REPURCHASE AGREEMENTS -- The Large Cap Disciplined Equity, International Equity and World Equity Ex-US Funds may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. Additional assets are maintained in an account with the broker. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. Reverse repurchase agreements outstanding as of May 31, 2007 were as follows: Principal Amount Value Fund ($ Thousands) Counterparty ($ Thousands) -------------------------------------------------------------------------------- International Bear Stearns, Equity Fund $16,356 5.380%, Due 6/25/07 $16,356 COMPENSATING BALANCES -- Funds with cash overdrafts in excess of $100,000 are required to leave 112% in compensating balances with U.S. Bank NA, the custodian of the Trust, on the following day. Funds with positive cash balances in excess of $100,000 are allowed to overdraw 90% of the balance with U.S. Bank NA on the following day. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis: (I) market value of investment securities, assets and liabilities at the current rate of exchange; and (II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 247 Notes to Financial Statements (Continued) MAY 31, 2007 The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes. FORWARD FOREIGN CURRENCY CONTRACTS -- The Funds may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. All commitments are "marked-to-market" daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Large Cap Disciplined Equity, Small Cap, Small/Mid Cap Equity, International Equity, World Equity Ex-US, Enhanced Income, Core Fixed Income, Emerging Markets Debt and Real Return Plus Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are recognized as ordinary income or loss for Federal income tax purposes. The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Finally, the risk exists that losses could exceed amounts disclosed on the Schedule of Investments or Statement of Assets and Liabilities. FUTURES CONTRACTS -- Each of the Funds utilized futures contracts during the year ended May 31, 2007. The Funds' investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Core Fixed Income Fund's use of futures contracts is primarily for tactical hedging purposes. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction. Finally, the risk exists that losses could exceed amounts disclosed on the Schedule of Investments or Statement of Assets and Liabilities. OPTIONS/SWAPTIONS WRITTEN/PURCHASED -- Each Fund may invest in financial options/swaptions contracts primarily for the purpose of hedging their existing portfolio securities, or securities that the Funds intend to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. The Core Fixed Income Fund may also invest in financial option/swaption contracts to enhance the Fund's returns. When a Fund writes or purchases an option/swaption, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option/swaption written or purchased. Premiums received or paid from writing or purchasing options/swaptions which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option/swaption is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The Core Fixed Income Fund had option contracts as of May 31, 2007, as disclosed in the Fund's Schedule of Investments. The risk in writing a call option/swaption is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is that the Funds may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is that the Funds pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses could exceed amounts disclosed on the Schedule of Investments or Statement of Assets and Liabilities. -------------------------------------------------------------------------------- 248 SEI Institutional Investments Trust / Annual Report / May 31, 2007 Written options transactions entered into during the year ended May 31, 2007 are summarized as follows:
------------------------------------------------------------------------------------------------------------------------------------ LARGE CAP DISCIPLINED INTERNATIONAL WORLD EQUITY CORE FIXED EQUITY FUND EQUITY FUND EX-US FUND INCOME FUND ------------------------------------------------------------------------------------------------------------------------------------ Number of Premium Number of Premium Number of Premium Number of Premium Contracts ($ Thousands) Contracts ($ Thousands) Contracts ($ Thousands) Contracts ($ Thousands) ------------------------------------------------------------------------------------------------------------------------------------ Balance at the beginning of period 1,034 $ 530 260 $ 118 100 $ 70 669 $ 471 Written 178 11 37 2 46 3 6,608 2,179 Expired (1,212) (541) (297) (120) (146) (73) (4,074) (1,576) Closing buys -- -- -- -- -- -- (2,696) (969) ------------------------------------------------------------------------------------------------------------------------------------ Balance at the end of period -- $ -- -- $ -- -- $ -- 507 $ 105 ------------------------------------------------------------------------------------------------------------------------------------
Written swaptions transactions entered into during the year ended May 31, 2007 are summarized as follows: -------------------------------------------------------------------------------- CORE FIXED INCOME FUND -------------------------------------------------------------------------------- Number of Premium Contracts ($ Thousands) -------------------------------------------------------------------------------- Balance at the beginning of period -- $ -- Written 172,410,000 3,097 Expired (34,410,000) (47) Closing buys -- -- -------------------------------------------------------------------------------- Balance at the end of period 138,000,000 $ 3,050 -------------------------------------------------------------------------------- At May 31, 2007 the Funds had cash and/or securities at least equal to the value of written options/swaptions. SECURITIES SOLD SHORT -- As consistent with the Funds' investment objectives, the Funds may engage in short sales 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 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 249 Notes to Financial Statements (Continued) MAY 31, 2007 receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage the Fund's exposure to interest rates. Payments received or made are recorded as realized gains or losses. The Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements, securities may be set aside as collateral by the Fund's custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio; protect the Fund's value from changes in interest rates; or expose a Fund to a different security or market. Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Net payments of interest are recorded as realized gains or losses. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Schedule of Investments or the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. FORWARD TREASURY COMMITMENTS -- The Funds may invest in commitments to purchase U.S. Treasury securities on an extended settlement basis. Such transactions involve the commitment to purchase a security with payment and delivery taking place in the future, sometimes a month or more after the transaction date. The Funds account for such transactions as purchases and sales and record an unrealized gain or loss each day equal to the difference between the cost of the purchase commitment and the current market value. Realized gains or losses are recorded upon closure or settlement of such commitments. No interest is earned prior to settlement of the transaction. These instruments are subject to market fluctuation due to changes in interest rates and the market value at the time of settlement could be higher or lower than the purchase price. The Funds may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance. DELAYED DELIVERY TRANSACTIONS -- The Large Cap Disciplined Equity, Large Cap Diversified Alpha, Core Fixed Income, International Equity and World Equity Ex-US Funds may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security. COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses. For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the "equity" tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class. 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 -------------------------------------------------------------------------------- 250 SEI Institutional Investments Trust / Annual Report / May 31, 2007 invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of the Funds. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, Enhanced Income and Emerging Markets Debt Funds; declared daily and paid monthly for the Core Fixed Income, Long Duration, Extended Duration, High Yield Bond and Real Return Plus Funds; and declared and paid at least annually for the International Equity and World Equity Ex-US Funds. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds. RESTRICTED SECURITIES -- At May 31, 2007, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at May 31, 2007, were as follows:
Number Acquisition Right to Cost Market Value % of Net of Shares Date Acquire Date ($ Thousands) ($ Thousands) Assets ------------------------------------------------------------------------------------------------------------------------- SMALL CAP FUND BA Energy PIPE 119,000 8/10/06 8/10/06 $1,004 $ 890 0.04% BA Energy, Deal #3 PIPE 30,500 4/30/07 4/30/07 221 228 0.01% BPZ Energy PIPE 189,500 5/08/07 5/08/07 995 1,115 0.05% North American Oil Sands (Canada) 245,500 5/31/06 5/31/06 2,681 4,133 0.20% Oil Sands Quest PIPE 74,000 5/02/07 5/02/07 204 197 0.01% Spatialight Deal # 3 PIPE 88,000 1/12/06 1/12/06 198 9 0.00% Spatialight PIPE 8,233 6/21/06 6/21/06 -- 1 0.00% Parkervision Warrants, Deal #3 8,250 3/28/06 3/28/06 -- 27 0.00% Parkervision Warrants, Deal #2 7,500 6/20/05 6/20/05 16 24 0.00% ------ ------ ----- $5,319 $6,624 0.31% SMALL/MID CAP EQUITY FUND BA Energy PIPE 80,500 8/10/06 8/10/06 $ 679 $ 602 0.03% BA Energy, Deal #3 PIPE 26,500 4/30/07 4/30/07 192 198 0.01% BPZ Energy PIPE 163,000 5/08/07 5/08/07 856 959 0.05% North American Oil Sands (Canada) 160,000 5/31/06 5/31/06 1,748 2,694 0.15% Oil Sands Quest PIPE 63,500 5/02/07 5/02/07 175 169 0.01% Spatialight Deal # 3 PIPE 59,000 1/12/06 1/12/06 133 6 0.00% Spatialight PIPE 7,367 6/21/06 6/21/06 -- 1 0.00% Parkervision Warrants, Deal #3 14,500 3/28/06 3/28/06 -- 49 0.00% Parkervision Warrants, Deal #2 6,250 6/20/05 6/20/05 13 20 0.00% ------ ------ ----- $3,796 $4,698 0.25%
INVESTMENTS IN REAL ESTATE INVESTMENT TRUSTS ("REITS") -- Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. 3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION AND TRANSFER AGENCY AGREEMENTS --The Trust and SEI Investments Global Funds Services (the "Administrator") are parties to an Amended and Restated Administration and Transfer Agency Agreement dated December 10, 2003 under which the Administrator provides administrative and shareholder servicing for an annual fee of 0.05% of the average daily net assets of each Fund. For the year ended May 31, 2007, and until further notice, the Administrator has voluntarily agreed to waive all of its fee. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 251 Notes to Financial Statements (Continued) MAY 31, 2007 INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC") serves as investment adviser (the "Adviser") to each Fund. In connection with serving as investment adviser, SIMC is entitled to a fee that is calculated daily and paid monthly based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. Accordingly, effective October 1, 2005, the advisory fee and voluntary expense limitations for Class A of each Fund are as follows: -------------------------------------------------------------------------------- Advisory Voluntary Expense Fees Limitations -------------------------------------------------------------------------------- Large Cap Fund 0.400% 0.260% Large Cap Diversified Alpha Fund 0.400 0.350 Large Cap Disciplined Equity Fund 0.400 0.220 Large Cap Index Fund 0.170 0.060 Small Cap Fund 0.650 0.540 Small/Mid Cap Equity Fund 0.650 0.500 International Equity Fund 0.505 0.390 World Equity Ex-US Fund 0.550 0.600 Enhanced Income Fund 0.450 0.440 Core Fixed Income Fund 0.300 0.140 High Yield Bond Fund 0.490 0.350 Long Duration Fund 0.300 0.200 Extended Duration Fund 0.300 0.200 Emerging Markets Debt Fund 0.850 0.550 Real Return Plus Fund 0.700 0.440 As of May 31, 2007, 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 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. -------------------------------------------------------------------------------- Investment Sub-Adviser -------------------------------------------------------------------------------- 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 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 Investment Management, Inc. Security Capital Research and Management Incorporated Wellington Management Company, LLP SMALL/MID CAP EQUITY FUND BlackRock Capital Management, Inc. Delaware Management Company Integrity Asset Management, LLC Lee Munder Investments, Ltd. Los Angeles Capital Management and Equity Research, Inc. LSV Asset Management Martingale Asset Management, L.P. Mazama Capital Management, Inc. PanAgora Asset Management, Inc. Security Capital Research and Management Incorporated Wellington Management Company, LLP INTERNATIONAL EQUITY FUND AllianceBernstein L.P. AXA Rosenberg Investment Management, 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. -------------------------------------------------------------------------------- 252 SEI Institutional Investments Trust / Annual Report / May 31, 2007 -------------------------------------------------------------------------------- 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. ENHANCED INCOME FUND Highland Capital Management L.P. Record Currency Management Limited Wellington Management Company, LLP CORE FIXED INCOME FUND ING Investment Management Co. Metropolitan West Asset Management LLC Wells Capital Management, Inc. Western Asset Management Company Western Asset Management Company Limited HIGH YIELD BOND FUND Ares Management LLC J.P. Morgan Investment Management, Inc. Nomura Corporate Research & Asset Management, Inc. LONG DURATION FUND Metropolitan West Asset Management LLC EXTENDED DURATION FUND Metropolitan West Asset Management LLC EMERGING MARKETS DEBT FUND Ashmore Investment Management Limited ING Investment Management Co. Stone Harbor Investment Partners LP REAL RETURN PLUS FUND Deutsche Investment Management Americas, Inc. First Quadrant, L.P. OTHER --The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with Securities and Exchange Commission ("SEC") rules. Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions. Such commissions for the year ended May 31, 2007 were as follows ($ Thousands): Large Cap Fund $ 33 Large Cap Disciplined Equity Fund 147 Small Cap Fund 763 Small/Mid Cap Equity Fund 510 International Equity Fund 252 World Equity Ex-US Fund 291 ------ $1,996 ====== Certain officers and/or trustees of the Trust are also officers of the Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser or Administrator. LSV Asset Management (partially-owned subsidiary of SIMC) serves as a sub-adviser to the Large Cap, Small Cap and Small/Mid Cap Equity Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended May 31, 2007 were as follows ($ Thousands): Large Cap Fund $ 131 Small Cap Fund 938 Small/Mid Cap Equity Fund 785 ------ $1,854 ====== FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, can be found on the Statement of Operations and the effect on the Fund's expense ratio, as a percentage of the Fund's average daily net assets for the year ended May 31, 2007, can be found on the Financial Highlights. INVESTMENT IN AFFILIATED COMPANIES -- The Funds may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its Index. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 253 Notes to Financial Statements (Continued) MAY 31, 2007 4. CAPITAL SHARE TRANSACTIONS Capital Share Transactions for the Funds were as follows (Thousands):
------------------------------------------------------------------------------------------------------------------------------- LARGE CAP LARGE CAP DIVERSIFIED DISCIPLINED LARGE CAP FUND ALPHA FUND(3) EQUITY FUND ------------------------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 2007 2006 ------------------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 1,317 3,921 33,976(1) 15,405 103,185(1) 16,060(1) Shares Issued in Lieu of Dividends and Distributions 678 1,141 519 11 23,565 2,265 Shares Redeemed (15,154) (70,494)(2) (10,457) (1,423) (61,085) (7,680) Effect of Stock Split -- -- -- -- 439,286 -- ------------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions (13,159) (65,432) 24,038 13,993 504,951 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 (13,159) (65,434) 24,038 13,993 504,951 10,645 -------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------- LARGE CAP SMALL/MID CAP INDEX FUND SMALL CAP FUND EQUITY FUND ------------------------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 2007 2006 ------------------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 280 795 14,887 36,891(1) 21,452 4,313(1) Shares Issued in Lieu of Dividends and Distributions 78 81 15,994 9,074 8,913 425 Shares Redeemed (524) (647) (26,642) (33,139)(2) (11,013) (2,072) Effect of Stock Split -- -- -- -- 96,339 -- ------------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions (166) 229 4,239 12,826 115,691 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 (166) 229 4,239 12,819 115,691 2,666 -------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------- INTERNATIONAL WORLD EQUITY ENHANCED EQUITY FUND EX-US FUND INCOME FUND(4) -------------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 2007 -------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 13,259 19,087 71,102 56,952 12,291 Shares Issued in Lieu of Dividends and Distributions 28,933 4,873 6,384 499 171 Shares Redeemed (34,641) (56,427) (18,759) (11,419) (286) -------------------------------------------------------------------------------------------------------------------- Total Class A Transactions 7,551 (32,467) 58,727 46,032 12,176 -------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Shares 7,551 (32,467) 58,727 46,032 12,176 --------------------------------------------------------------------------------------------------------------------
(1) Includes subscriptions as a result of in-kind transfers of securities (see note 8). (2) Includes redemptions as a result of in-kind transfers of securities (see note 8). (3) The Large Cap Diversified Alpha Fund commenced operations on February 28, 2006. (4) The Enhanced Income Debt Fund commenced operations on December 14, 2006. Amounts designated as "--" are zero or have been rounded to zero. -------------------------------------------------------------------------------- 254 SEI Institutional Investments Trust / Annual Report / May 31, 2007
----------------------------------------------------------------------------------------------------------------------------- LONG CORE FIXED HIGH YIELD DURATION INCOME FUND BOND FUND(1) FUND ----------------------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 2007 2006 ----------------------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 200,308 150,170 39,242 89,411 1,075 11,855 Shares Issued in Lieu of Dividends and Distributions 27,065 20,531 8,625 2,668 954 838 Shares Redeemed (109,460) (111,285) (13,284) (6,487) (394) (2,143) ----------------------------------------------------------------------------------------------------------------------------- Total Class A Transactions 117,913 59,416 34,583 85,592 1,635 10,550 ----------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Shares 117,913 59,416 34,583 85,592 1,635 10,550 -----------------------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------- EXTENDED EMERGING REAL DURATION MARKETS RETURN FUND DEBT FUND(2) PLUS FUND(3) ----------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 2007 ----------------------------------------------------------------------------------------------------------------- Class A: Shares Issued 15,142 12,856 27,399 51,578 22,760 Shares Issued in Lieu of Dividends and Distributions 1,544 1,618 3,858 514 238 Shares Redeemed (1,733) (2,247) (5,979) (3,947) (1,055) ----------------------------------------------------------------------------------------------------------------- Total Class A Transactions 14,953 12,227 25,278 48,145 21,943 ----------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Capital Shares 14,953 12,227 25,278 48,145 21,943 -----------------------------------------------------------------------------------------------------------------
(1) The High Yield Bond Fund commenced operations on December 5, 2005. (2) The Emerging Markets Debt Fund commenced operations on December 5, 2005. (3) The Real Return Plus Fund commenced operations on December 14, 2006. 5. INVESTMENT TRANSACTIONS The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the year ended May 31, 2007, were as follows: -------------------------------------------------------------------------------- U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- LARGE CAP FUND Purchases -- 338,377 338,377 Sales -- 591,009 591,009 LARGE CAP DIVERSIFIED ALPHA FUND* Purchases 129,757 556,886 686,643 Sales 113,305 311,144 424,449 LARGE CAP DISCIPLINED EQUITY FUND* Purchases 2,726,667 7,057,085 9,783,752 Sales 2,451,964 5,639,229 8,091,193 LARGE CAP INDEX FUND Purchases -- 38,490 38,490 Sales -- 59,213 59,213 SMALL CAP FUND Purchases -- 1,800,582 1,800,582 Sales -- 2,017,045 2,017,045 SMALL/MID CAP FUND Purchases -- 1,775,182 1,775,182 Sales -- 1,480,664 1,480,664 INTERNATIONAL EQUITY FUND Purchases 850,453 1,792,309 2,642,762 Sales 838,534 2,051,261 2,889,795 -------------------------------------------------------------------------------- U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- WORLD EQUITY EX-US FUND Purchases 1,093,363 1,807,589 2,900,952 Sales 1,030,653 1,078,448 2,109,101 ENHANCED INCOME FUND Purchases 28,799 37,442 66,241 Sales 13,579 6,647 20,226 CORE FIXED INCOME FUND Purchases 19,580,048 2,406,890 21,986,938 Sales 18,857,582 2,202,265 21,059,847 HIGH YIELD BOND FUND Purchases 822 1,112,953 1,113,775 Sales 2,481 817,019 819,500 LONG DURATION BOND FUND Purchases 16,969 102,841 119,810 Sales 14,400 103,631 118,031 EXTENDED DURATION BOND FUND Purchases 36,164 257,651 293,815 Sales 18,902 197,199 216,101 EMERGING MARKETS DEBT FUND Purchases -- 740,004 740,004 Sales -- 488,724 488,724 REAL RETURN PLUS FUND Purchases 230,426 -- 230,426 Sales 28,040 -- 28,040 * Includes in-kind transactions (see Note 8). -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 255 Notes to Financial Statements (Continued) MAY 31, 2007 6. FEDERAL TAX INFORMATION It is each Fund's intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage-and asset-backed securities for tax purposes, defaulted bond basis adjustments, reclassification of long term capital gain distributions on Real Estate Investment Trust securities, reclassification of income and expense from swap transactions, and gains and losses on passive foreign investment companies and certain foreign currency related transactions, have been reclassified to/from the following accounts as of May 31, 2007: -------------------------------------------------------------------------------- Undistributed Accumulated Net Investment Realized Income (Loss) Gain (Loss) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Large Cap Fund $ 26 $ (26) Large Cap Diversified Alpha Fund 379 (379) Large Cap Disciplined Equity Fund 615 (615) Large Cap Index Fund 32 (32) Small Cap Fund 497 (497) Small/Mid Cap Equity Fund 577 (577) International Equity Fund 19,599 (19,599) World Equity Ex-US Fund 10,762 (10,762) Enhanced Income Fund 51 (51) Core Fixed Income Fund (772) 772 High Yield Bond Fund 352 (352) Long Duration Fund (716) 716 Extended Duration Fund (2,550) 2,550 Emerging Markets Debt Fund 2,604 (2,604) Real Return Plus Fund (16) 16 These reclassifications have no impact on net assets or net asset value per share. The tax character of dividends and distributions paid during the last two years or periods were as follows: -------------------------------------------------------------------------------- Ordinary Long-term Income Capital Gain Total ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Large Cap Fund 2007 $ 12,254 $ -- $ 12,254 2006 19,617 -- 19,617 Large Cap Diversified Alpha Fund 2007 5,094 1,505 6,599 2006 167 -- 167 Large Cap Disciplined Equity Fund 2007 237,780 132,166 369,946 2006 172,080 108,577 280,657 Large Cap Index Fund 2007 7,885 1,949 9,834 2006 6,360 3,238 9,598 Small Cap Fund 2007 86,056 164,468 250,524 2006 45,737 93,718 139,455 Small/Mid Cap Equity Fund 2007 60,501 67,293 127,794 2006 34,951 19,445 54,396 International Equity Fund 2007 146,614 238,163 384,777 2006 49,222 14,153 63,375 World Equity Ex-US Fund 2007 80,977 10,314 91,291 2006 6,142 -- 6,142 Enhanced Income Fund 2007 1,709 -- 1,709 Core Fixed Income Fund 2007 279,194 -- 279,194 2006 212,264 1,463 213,727 High Yield Bond Fund 2007 89,624 -- 89,624 2006 27,352 -- 27,352 Long Duration Fund 2007 9,267 -- 9,267 2006 8,254 3 8,257 Extended Duration Fund 2007 14,980 -- 14,980 2006 16,599 15 16,614 Emerging Markets Debt Fund 2007 41,623 -- 41,623 2006 5,375 -- 5,375 Real Return Plus Fund 2007 2,421 -- 2,421 -------------------------------------------------------------------------------- 256 SEI Institutional Investments Trust / Annual Report / May 31, 2007 As of May 31, 2007, the components of Distributable Earnings/(Accumulated Losses) were as follows:
-------------------------------------------------------------------------------------------------------------------- Undistributed Undistributed Capital Post Post Ordinary Long-Term Loss October October Income Capital Gain Carryforwards Losses Currency Losses ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------------------------------------------- Large Cap Fund $ 2,077 $ -- $(155,287) $ -- $ -- Large Cap Diversified Alpha Fund 11,981 4,805 -- -- -- Large Cap Disciplined Equity Fund 241,227 182,292 -- -- -- Large Cap Index Fund 2,089 3,432 -- -- -- Small Cap Fund 52,986 56,768 -- -- (10) Small/Mid Cap Equity Fund 47,893 43,950 -- -- (31) International Equity Fund 136,790 75,887 -- -- -- World Equity Ex-US Fund 118,246 37,914 -- -- -- Enhanced Income Fund 1,751 161 -- -- -- Core Fixed Income Fund 25,163 -- (41,415) (5,288) (1,027) High Yield Bond Fund 15,553 1,453 -- -- -- Long Duration Fund 803 -- (2,250) (2,997) -- Extended Duration Fund 1,659 -- (4,642) (4,342) -- Emerging Markets Debt Fund 20,631 1,133 -- -- -- Real Return Plus Fund 4,164 457 -- -- -- -------------------------------------------------------------------------------------------- Unrealized Other Total Appreciation Temporary Distributable Earnings/ (Depreciation) Differences (Accumulated Losses) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------------------- Large Cap Fund $135,651 $ (621) $ (18,180) Large Cap Diversified Alpha Fund 49,102 (6,556) 59,332 Large Cap Disciplined Equity Fund 981,637 (1,165) 1,403,991 Large Cap Index Fund 143,684 (442) 148,763 Small Cap Fund 374,424 997 485,165 Small/Mid Cap Equity Fund 283,992 (2,229) 373,575 International Equity Fund 335,792 239 548,708 World Equity Ex-US Fund 311,213 (2,818) 464,555 Enhanced Income Fund 155 (383) 1,684 Core Fixed Income Fund (50,635) (23,955) (97,157) High Yield Bond Fund 25,985 (10,611) 32,380 Long Duration Fund (5,246) (1,839) (11,529) Extended Duration Fund (30,797) (4,304) (42,426) Emerging Markets Debt Fund 29,230 (4,689) 46,305 Real Return Plus Fund (1,888) (1,483) 1,250
Post-October losses represent losses realized on investment transactions from November 1, 2006 through May 31, 2007 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 Expire Carryforwards 2011 2014 2015 5/31/07 ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) --------------------------------------------------------------------------------------- Large Cap Fund $155,287 $ -- $ -- $155,287 Core Fixed Income Fund -- 15,381 26,034 41,415 Long Duration Fund -- -- -- 2,250 2,250 Extended Duration Fund -- -- 4,642 4,642
During the year ended May 31, 2007, the Large Cap Fund utilized $47,566,633 of capital loss carryforwards,to offset capital gains. For Federal income tax purposes, the cost of securities owned at May 31, 2007, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The aggregate gross unrealized appreciation and depreciation on total investments held by the Funds at May 31, 2007, was as follows:
-------------------------------------------------------------------------------------------- Net Unrealized Federal Appreciated Depreciated Appreciation Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------------------- Large Cap Fund $ 606,524 $ 156,536 $(21,506) $135,030 Large Cap Diversified Alpha Fund 466,393 50,392 (4,709) 45,683 Large Cap Disciplined Equity Fund 7,526,273 1,049,763 (70,552) 979,211 Large Cap Index Fund 317,728 150,552 (7,423) 143,129 Small Cap Fund 2,383,962 439,853 (66,011) 373,842
-------------------------------------------------------------------------------------------- Net Unrealized Federal Appreciated Depreciated Appreciation Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------------------- Small/Mid Cap Equity Fund $2,020,362 $325,318 $(44,696) $280,622 International Equity Fund 1,932,213 366,768 (40,907) 325,861 World Equity Ex-US Fund 2,019,352 322,423 (26,451) 295,972 Enhanced Income Fund 125,032 145 (326) (181) Core Fixed Income Fund 8,035,063 28,948 (77,148) (48,200) High Yield Bond Fund 1,379,679 33,105 (7,120) 25,985 Long Duration Fund 193,859 629 (1,230) (601) Extended Duration Fund 416,638 1,200 (2,290) (1,090) Emerging Markets Debt Fund 800,818 31,673 (5,317) 26,356 Real Return Plus Fund 219,693 -- (2,707) (2,707)
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 -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 257 Notes to Financial Statements (Concluded) MAY 31, 2007 considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. 8. IN-KIND TRANSFERS OF SECURITIES During the year ended May 31, 2007, the Large Cap Disciplined Equity and Large Cap Diversified Alpha Funds issued shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of such transactions. -------------------------------------------------------------------------------- Shares Value Issued ($Thousands) -------------------------------------------------------------------------------- Large Cap Diversified Alpha Fund 09/29/06 928,885 $ 9,614 Large Cap Disciplined Equity Fund 06/30/06 155,459 19,260 07/31/06 118,902 14,756 09/29/06 364,480 47,218 03/30/07 584,267 7,794 04/16/07 137,659 1,897 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. Funds received cash as collateral for securities on loan and made investments. Investments purchased with cash collateral are presented on the schedule of investments for each Fund. 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 In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB interpretation 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes." This standard defines the threshold for recognizing the benefits of tax-return positions in the financial statements as "more-likely-than-not" to be sustained by the taxing authority and requires measurement of a tax position meeting the more-likely-than-not criterion, based on the largest benefit that is more than 50 percent likely to be realized. FIN 48 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 -------------------------------------------------------------------------------- 258 SEI Institutional Investments Trust / Annual Report / May 31, 2007 sustained as of the adoption date. The Fund will not be required to adopt FIN 48 until the year ended May 30, 2008. As of May 31, 2007, Management is currently evaluating the impact from adopting FIN 48. In September 2006, the FASB issued Statement on Financial Accounting Standards ("SFAS") No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of May 31, 2007, 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. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 259 SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2007 Report of Independent Registered Public Accounting Firm To the Board of Trustees and Shareholders of SEI Institutional Investments Trust: We have audited the accompanying statements of assets and liabilities of SEI Institutional Investments Trust comprising the Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/ Mid Cap Equity, International Equity, World Equity Ex-US, Enhanced Income, Core Fixed Income, High Yield Bond, Long Duration, Extended Duration, Emerging Markets Debt and Real Return Plus Funds, (collectively, the "Funds"), including the schedules of investments as of May 31, 2007 and the related statements of operations for the year then ended or period from inception through May 31, 2007 (inception for the Real Return Plus and Enhanced Income Funds is December 14, 2006), the statements of changes in net assets, and the financial highlights for each of the years or periods in the two-year period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the years or periods in the three-year period ended May 31, 2005, were audited by other auditors, whose report dated July 27, 2005, expressed an unqualified opinion thereon. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2007, by correspondence with custodians and brokers. As to securities purchases or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Investments Trust as of May 31, 2007, and the results of their operations for the year or period then ended, the changes in their net assets and the financial highlights for each of the years or periods in the two year period then ended, in conformity with U.S. generally accepted accounting principles. /s/ KPMG LLP Philadelphia, Pennsylvania July 30, 2007 -------------------------------------------------------------------------------- 260 SEI Institutional Investments Trust / Annual Report / May 31, 2007 Trustees and Officers of the Trust (Unaudited) The following information is current as of July 27, 2007. Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
---------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ---------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES ------------------- Robert A. Nesher Chairman since 1982 Currently performs various 75 Trustee of The Advisors' One Freedom of the services on behalf of SEI Inner Circle Fund, The Valley Drive, Board of Investments for which Mr. Advisors' Inner Circle Oaks, PA 19456 Trustees* Nesher is compensated. Fund II, Bishop Street 60 yrs. old Funds, Director of SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Opportunity Master Fund, L.P., SEI Opportunity Fund, L.P., SEI Structured Credit Fund, L.P., and SEI Multi-Strategy Funds plc. ---------------------------------------------------------------------------------------------------------------------------- William M. Doran Trustee* since 1982 Self-employed consultant 75 Trustee of The Advisors' 1701 Market Street since 2003. Partner, Inner Circle Fund, The Philadelphia, PA Morgan, Lewis & Bockius Advisors' Inner Circle 19103 LLP (law firm) from 1976 Fund II, Bishop Street 67 yrs. old to 2003, counsel to the Funds, Director of SEI Trust, SEI, SIMC, the since 1974. Director of Administrator and the the Distributor since Distributor. Secretary of 2003. Director of SEI SEI since 1978. Investments -- Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited and SEI Asset Korea Co., Ltd. ---------------------------------------------------------------------------------------------------------------------------- TRUSTEES -------- F. Wendell Gooch Trustee since 1982 Retired 75 Trustee of STI Classic One Freedom Funds and STI Classic Valley Drive, Variable Trust. Oaks, PA 19456 74 yrs. old ---------------------------------------------------------------------------------------------------------------------------- James M. Storey Trustee since 1995 Attorney, sole 75 Trustee of The Advisors' One Freedom practitioner since 1994. Inner Circle Fund, The Valley Drive, Partner, Dechert Price & Advisors' Inner Circle Oaks, PA 19456 Rhoads, September 1987- Fund II, Bishop Street 76 yrs. old December 1993. Funds, Massachusetts Health and Education Tax- Exempt Trust, and U.S. Charitable Gift Trust. ----------------------------------------------------------------------------------------------------------------------------
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR. 1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST. -------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 261 Trustees and Officers of the Trust (Unaudited) (Continued)
---------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ---------------------------------------------------------------------------------------------------------------------------- TRUSTEES (CONTINUED) -------- George J. Trustee since 1996 Self-Employed Consultant, 75 Trustee of The Advisors' Sullivan, Jr. Newfound Consultants Inc. Inner Circle Fund, The One Freedom since April 1997. Advisors' Inner Circle Valley Drive Fund II, Bishop Street Oaks, PA 19456 Funds, State Street 64 yrs. old Navigator Securities Lending Trust, SEI Opportunity Master Fund, L.P., SEI Opportunity Fund, L.P., and SEI Structured Credit Fund, L.P. ---------------------------------------------------------------------------------------------------------------------------- Rosemarie B. Greco Trustee since 1999 Director, Governor's 75 Director, Sonoco, Inc.; One Freedom` Office of Health Care Director, Exelon Valley Drive Reform, Commonwealth of Corporation; Trustee, Oaks, PA 19456 Pennsylvania since 2003. Pennsylvania Real Estate 61 yrs. old Founder and Principal, Investment Trust. Grecoventures Ltd. from 1999 to 2002. ---------------------------------------------------------------------------------------------------------------------------- Nina Lesavoy Trustee since 2003 Managing Partner, Cue 75 Director of SEI One Freedom Capital since March 2002, Opportunity Master Fund, Valley Drive, Managing Partner and Head L.P., SEI Opportunity Oaks, PA 19456 of Sales, Investorforce, Fund, L.P., and SEI 50 yrs. old March 2000-December 2001; Structured Credit Fund, Global Partner working for L.P. the CEO, Invesco Capital, January 1998-January 2000. Head of Sales and Client Services, Chancellor Capital and later LGT Asset Management, 1986-2000. ---------------------------------------------------------------------------------------------------------------------------- James M. Williams Trustee since 2004 Vice President and Chief 75 Trustee/Director of Ariel One Freedom Investment Officer, J. Mutual Funds, SEI Valley Drive, Paul Getty Trust, Opportunity Master Fund, Oaks, PA 19456 Non-Profit Foundation for L.P., SEI Opportunity 59 yrs. old Visual Arts, since Fund, L.P., and SEI December 2002. President, Structured Credit Fund, Harbor Capital Advisors L.P. and Harbor Mutual Funds, 2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. ---------------------------------------------------------------------------------------------------------------------------- Mitchell A. Trustee since 2007 Private Investor since 75 Trustee of the Advisors' Johnson 1994. Inner Circle Fund, The One Freedom Advisor's Inner Circle Valley Drive, Fund II, and Bishop Oaks, PA 19456 Street Funds. 65 yrs. old ---------------------------------------------------------------------------------------------------------------------------- OFFICERS -------- Robert A. Nesher President since 2005 Currently performs various N/A N/A One Freedom & CEO services on behalf of SEI Valley Drive, for which Mr. Nesher is Oaks, PA 19456 compensated. 60 yrs. old ---------------------------------------------------------------------------------------------------------------------------- Stephen F. Panner Controller since 2005 Fund Accounting Director N/A N/A One Freedom and of the Administrator since Valley Drive, Chief 2005. Fund Administration Oaks, PA 19456 Financial Manager, Old Mutual Fund 37 yrs. old Officer Services, 2000-2005. Chief Financial Officer, Controller and Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2004-2005. Assistant Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2000-2004. Assistant Treasurer, Old Mutual Advisors Fund, 2004-2005. ----------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 262 SEI Institutional Investments Trust / Annual Report / May 31, 2007
---------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ---------------------------------------------------------------------------------------------------------------------------- OFFICERS (CONTINUED) -------- Russell Emery Chief since 2006 Chief Compliance Officer N/A N/A One Freedom Compliance of SEI Opportunity Master Valley Drive Officer Fund, L.P., SEI Oaks, PA 19456 Opportunity Fund, L.P., 44 yrs. old SEI Structured Credit Fund, L.P., SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Index Funds, SEI Liquid Asset Trust, SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors' Inner Circle Fund, The Advisors' Inner Circle Fund II, and Bishop Street Funds, since March 2006. Director of Investment Product Management and Development of SIMC, February 2003- March 2006. Senior Investment Analyst-- Equity Team of SEI, March 2000- February 2003. ---------------------------------------------------------------------------------------------------------------------------- Timothy D. Barto Vice since 2002 General Counsel, Vice N/A N/A One Freedom President President and Secretary of Valley Drive and SIMC and the Administrator Oaks, PA 19456 Secretary since 2004. Vice President 39 yrs. old and Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999. Assistant Secretary of SIMC, the Administrator and the Distributor and Vice President of the Distributor, 1999-2003. ---------------------------------------------------------------------------------------------------------------------------- Sofia A. Rosala Vice since 2004 Vice President and N/A N/A One Freedom President Assistant Secretary of Valley Drive and SIMC and the Administrator Oaks, PA 19456 Assistant since 2005. Compliance 33 yrs. old Secretary Officer of SEI, September 2001-2004. ---------------------------------------------------------------------------------------------------------------------------- James Ndiaye Vice since 2005 Vice President and N/A N/A One Freedom President Assistant Secretary of Valley Drive and SIMC since 2005. Vice Oaks, PA 19456 Assistant President, Deutsche Asset 38 yrs. old Secretary Management (2003-2004). Associate, Morgan, Lewis & Bockius LLP (2000-2003). ---------------------------------------------------------------------------------------------------------------------------- Michael T. Pang Vice since 2005 Vice President and N/A N/A One Freedom President Assistant Secretary of Valley Drive and SIMC since 2005. Counsel, Oaks, PA 19456 Assistant Caledonian Bank & Trust's 35 yrs. old Secretary Mutual Funds Group (2004). Counsel, Permal Asset Management (2001-2004). ----------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 263 Trustees and Officers of the Trust (Unaudited) (Concluded)
---------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE ---------------------------------------------------------------------------------------------------------------------------- OFFICERS (CONTINUED) -------- John J. McCue Vice since 2004 Director of Portfolio N/A N/A One Freedom President Implementations for SIMC Valley Drive since 1995. Managing Oaks, PA 19456 Director of Money Market 44 yrs. old Investments for SIMC since 2003. ---------------------------------------------------------------------------------------------------------------------------- Nicole Welch Anti-Money since 2005 Assistant Vice President N/A N/A One Freedom Laundering and Anti-Money Laundering Valley Drive Compliance Compliance Coordinator of Oaks, PA 19456 Officer SEI since 2005. 29 yrs. old Compliance Analyst, TD Waterhouse (2004). Senior Compliance Analyst, UBS Financial Services (2002-2004). Knowledge Management Analyst, PriceWaterhouseCoopers Consulting (2000-2002). ----------------------------------------------------------------------------------------------------------------------------
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2 THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST. -------------------------------------------------------------------------------- 264 SEI Institutional Investments Trust / Annual Report / May 31, 2007 Disclosure of Fund Expenses (Unaudited) MAY 31, 2007 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 / Annual Report / May 31, 2007 265 Disclosure of Fund Expenses (Concluded) (Unaudited) MAY 31, 2007 BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/1/06 5/31/07 RATIOS PERIOD* ------------------------------------------------------------------------------- LARGE CAP FUND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,107.00 0.26% $1.37 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.64 0.26% $1.31 ------------------------------------------------------------------------------- LARGE CAP DIVERSIFIED ALPHA FUND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,117.70 0.35% $1.85 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.19 0.35% $1.77 ------------------------------------------------------------------------------- LARGE CAP DISCIPLINED EQUITY FUND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,111.30 0.22% $1.16 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.83 0.22% $1.11 ------------------------------------------------------------------------------- LARGE CAP INDEX FUND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,106.50 0.06% $0.32 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.63 0.06% $0.30 ------------------------------------------------------------------------------- SMALL CAP FUND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,110.40 0.52% $2.74 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.34 0.52% $2.62 ------------------------------------------------------------------------------- SMALL/MID CAP EQUITY FUND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,118.20 0.48% $2.53 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.54 0.48% $2.42 ------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,152.00 0.39% $2.09 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.99 0.39% $1.97 ------------------------------------------------------------------------------- WORLD EQUITY EX-US FUND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,159.20 0.60% $3.23 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,021.94 0.60% $3.02 BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/1/06 5/31/07 RATIOS PERIOD* ------------------------------------------------------------------------------- CORE FIXED INCOME FUND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,007.00 0.14% $0.70 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.93 0.14% $0.71 ------------------------------------------------------------------------------- HIGH YIELD BOND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,062.80 0.35% $1.80 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.19 0.35% $1.77 ------------------------------------------------------------------------------- LONG DURATION BOND FUND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $ 971.40 0.20% $0.98 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.93 0.20% $1.01 ------------------------------------------------------------------------------- EXTENDED DURATION BOND FUND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $ 897.00 0.20% $0.95 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.93 0.20% $1.01 ------------------------------------------------------------------------------- EMERGING MARKETS DEBT FUND ------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,057.50 0.55% $2.82 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.19 0.55% $2.77 BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 12/14/06(1) 5/31/07 RATIOS PERIOD -------------------------------------------------------------------------------- ENHANCED INCOME FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,030.20 0.44% $2.07** HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.74 0.44% $2.22* -------------------------------------------------------------------------------- REAL RETURN PLUS FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,022.90 0.44% $2.06** HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.74 0.44% $2.22* (1) Date of inception * Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (to reflect one-half year period shown). ** Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 169/365 (to reflect one-half year period shown). -------------------------------------------------------------------------------- 266 SEI Institutional Investments Trust / Annual Report / May 31, 2007 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) MAY 31, 2007 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 the series of the Trust (the "Funds") and may manage the cash portion of the Funds' assets. Pursuant to separate sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers' skills and investment results in managing assets for specific asset classes, investment styles and strategies. The Investment Company Act of 1940, as amended (the "1940 Act") requires that the initial approval of, as well as the continuation of, the Funds' Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds' Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission ("SEC") takes the position that, as part of their fiduciary duties with respect to a mutual fund's fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement. Consistent with these responsibilities, the Trust's Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC's and the Sub-Advisers' affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust's Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers. Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers' investment management and other services; (b) SIMC's and the Sub-Advisers' investment management personnel; (c) SIMC's and the Sub-Advisers' operations and financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds' overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC's and the Sub-Advisers' profitability from their Fund-related operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and the Sub-Advisers' policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds' performance compared with similar mutual funds. At the March 14, 2007 and June 28-29, 2007 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers ------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 267 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Concluded) (Unaudited) MAY 31, 2007 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 the Funds' investment performance and how it compared to that of other comparable mutual funds; o the Funds' 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 the Funds, 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. The Trustees found the level of SIMC's professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements. FUND PERFORMANCE. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds' performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements. FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds' net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds' respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC's voluntary waiver of management and other fees and the Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds' net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Adviser and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took ------------------------------------------------------------------------------- 268 SEI Institutional Investments Trust / Annual Report/ May 31, 2007 into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and supported renewal of the Investment Advisory Agreements. ECONOMIES OF SCALE. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds' shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale. Based on the Trustees' deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling. ------------------------------------------------------------------------------- SEI Institutional Investments Trust / Annual Report / May 31, 2007 269 Notice to Shareholders (Unaudited) For shareholders who do not have a May 31, 2007, taxable year end, this notice is for informational purposes only. For shareholders with a May 31, 2007, taxable year end, please consult your tax adviser as to the pertinence of this notice. For the fiscal year ended May 31, 2007, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows: (A) (B) LONG TERM ORDINARY CAPITAL GAINS INCOME TOTAL DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS (TAX BASIS) (TAX BASIS) (TAX BASIS) -------------------------------------------------------------------------------- Large Cap Fund 0% 100% 100% Large Cap Diversified Alpha Fund 23% 77% 100% Large Cap Disciplined Equity Fund 36% 64% 100% Large Cap Index Fund 20% 80% 100% Small Cap Fund 66% 34% 100% Small/Mid Cap Equity Fund 53% 47% 100% International Equity Fund (3) 62% 38% 100% World Equity Ex-US Fund (4) 11% 89% 100% Enhanced Income Fund 0% 100% 100% Core Fixed Income Fund 0% 100% 100% High Yield Bond Fund 0% 100% 100% Long Duration Fund 0% 100% 100% Extended Duration Fund 0% 100% 100% Emerging Markets Debt Fund 0% 100% 100% Real Return Plus Fund 0% 100% 100%
(C) DIVIDENDS (D) QUALIFYING QUALIFYING QUALIFIED FOR CORPORATE DIVIDEND INCOME (E) QUALIFIED SHORT-TERM DIVIDENDS REC. (15% TAX RATE U.S. GOVERNMENT INTEREST CAPITAL DEDUCTION (1) FOR QDI) (2) INTEREST INCOME GAIN ------------------------------------------------------------------------------------------------------------- Large Cap Fund 100% 100% 1% 2% 0% Large Cap Diversified Alpha Fund 25% 13% 1% 2% 100% Large Cap Disciplined Equity Fund 25% 24% 1% 4% 100% Large Cap Index Fund 85% 48% 1% 1% 100% Small Cap Fund 13% 13% 1% 1% 100% Small/Mid Cap Equity Fund 14% 10% 1% 1% 100% International Equity Fund (3) 0% 22% 1% 3% 100% World Equity Ex-US Fund (4) 0% 12% 1% 4% 100% Enhanced Income Fund 0% 0% 0% 73% 0% Core Fixed Income Fund 0% 0% 19% 77% 100% High Yield Bond Fund 0% 0% 0% 85% 100% Long Duration Fund 0% 0% 3% 93% 100% Extended Duration Fund 0% 0% 8% 93% 100% Emerging Markets Debt Fund 0% 0% 1% 43% 100% Real Return Plus Fund 0% 0% 65% 65% 0%
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction. (2) The percentage in this column represents the amount of "Qualifying Dividend Income" as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of "Ordinary Income Distributions." It is the intention of each of the aforementioned funds to designate the maximum amount permitted by the law. The information reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2007. Complete information will be computed and reported in conjunction with your 2007 Form 1099-DIV. (3) The fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2007, the total amount of foreign source income is $44,834,992. The total amount of foreign tax to be paid is $1,525,763. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV. (4) The fund intends to pass through a foreign tax credit to shareholders. For fiscal year ended 2007, the total amount of foreign source income is $23,210,922. The total amount of foreign tax to be paid is $1,976,592. Your allocable share of the foreign tax credit will be reported on Form 1099 DIV. Items (A) and (B) are based on the percentage of each fund's total distribution. Items (C) and (D) are based on the percentage of ordinary income distributions of each fund. Item (E) is based on the percentage of gross income of each fund. Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records. -------------------------------------------------------------------------------- 270 SEI Institutional Investments Trust / Annual Report / May 31, 2007 Notes Notes SEI INSTITUTIONAL INVESTMENTS TRUST ANNUAL REPORT MAY 31, 2007 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 Mitchell A. Johnson 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-140 (5/07) ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a)(1) The registrant's board of trustees has determined that the registrant has at least one audit committee financial expert serving on the audit committee. (a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr. Sullivan is an independent as defined in Form N-CSR Item 3 (a) (2). ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Fees billed by KPMG LLP ("KPMG") related to the Trust. KPMG billed the Trust aggregate fees for services rendered to the Trust for the fiscal years 2007 and 2006 as follows:
--------- ----------------------------------------------------------------- -------------------------------------------------------- FISCAL 2007 FISCAL 2006 --------- ----------------------------------------------------------------- -------------------------------------------------------- All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Trust that were service service Trust that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were pre-approved did not require were pre-approved did not require pre-approval pre-approval --------- --------- ----------------- ------------------- ----------------- ----------------- ------------------- ------------------ (a) Audit Fees(1) $383,500 N/A $0 $230,100 N/A $0 --------- --------- ----------------- ------------------- ----------------- ----------------- ------------------- ------------------ (b) Audit- Related $0 $0 $0 $0 $0 $0 Fees --------- --------- ----------------- ------------------- ----------------- ----------------- ------------------- ------------------ (c) Tax Fees $0 $0 $0 $0 $0 $0 --------- --------- ----------------- ------------------- ----------------- ----------------- ------------------- ------------------ (d) All Other $0 $232,000 $0 $0 $0 $231,000 Fees --------- --------- ----------------- ------------------- ----------------- ----------------- ------------------- ------------------
Notes: (1) Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. (e)(1) The trust's Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Funds may be pre-approved. The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant's Chief Financial Officer ("CFO") and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor's annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC's rules and whether the provision of such services would impair the auditor's independence. Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial expert, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting. Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval. All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services. In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor's independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence. (e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows: ---------------------- ----------------------- ----------------------- FISCAL 2007 FISCAL 2006 ---------------------- ----------------------- ----------------------- Audit-Related Fees 0% 0% ---------------------- ----------------------- ----------------------- Tax Fees 0% 0% ---------------------- ----------------------- ----------------------- All Other Fees 0% 0% ---------------------- ----------------------- ----------------------- (f) Not Applicable. (g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2007 and 2006 were $232,000 and $231,000, respectively. Non-audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the registrant. (h) During the past fiscal year, Registrant's principal accountant provided certain non-audit services to Registrant's investment adviser or to entities controlling, controlled by, or under common control with Registrant's investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The audit committee of Registrant's Board of Trustees reviewed and considered these non-audit services provided by Registrant's principal accountant to Registrant's affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18th 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional Investments Trust By (Signature and Title)* /s/ Robert A. Nesher ------------------------- Robert A. Nesher President & CEO Date: August 7, 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: August 7, 2007 By (Signature and Title)* /s/ Stephen F. Panner ------------------------- Stephen F. Panner Controller & CFO Date: August 7, 2007 * Print the name and title of each signing officer under his or her signature.