-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Vub3ihji8haHpoazvaqHZUucTp3JWjRh+M1ZUgB+CilHoXOzna7lx28AtPiiST3w Zogd560ThYI2YoWE4gjryA== 0000935069-09-000314.txt : 20090206 0000935069-09-000314.hdr.sgml : 20090206 20090206145248 ACCESSION NUMBER: 0000935069-09-000314 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 5 CONFORMED PERIOD OF REPORT: 20081130 FILED AS OF DATE: 20090206 DATE AS OF CHANGE: 20090206 EFFECTIVENESS DATE: 20090206 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI INSTITUTIONAL INVESTMENTS TRUST CENTRAL INDEX KEY: 0000939934 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07257 FILM NUMBER: 09576719 BUSINESS ADDRESS: STREET 1: 1 FREEDOM VALLEY DRIVE CITY: OAK STATE: PA ZIP: 19456 BUSINESS PHONE: 610 676-3097 MAIL ADDRESS: STREET 1: 1 FREEDOM VALLEY DRIVE CITY: OAK STATE: PA ZIP: 19456 0000939934 S000006761 SIIT INTERNATIONAL EQUITY FUND C000018350 SIIT INTERNATIONAL EQUITY FUND - CLASS A 0000939934 S000006762 SIIT LONG DURATION FUND C000018351 SIIT LONG DURATION FUND - CLASS A 0000939934 S000006763 SIIT HIGH YIELD BOND FUND C000018352 SIIT HIGH YIELD BOND FUND - CLASS A 0000939934 S000006764 SIIT EMERGING MARKETS DEBT FUND C000018353 SIIT EMERGING MARKETS DEBT FUND - CLASS A 0000939934 S000006765 SIIT WORLD EQUITY EX-US C000018354 SIIT WORLD EQUITY EX-US - CLASS A 0000939934 S000006766 SIIT CORE FIXED INCOME C000018355 SIIT CORE FIXED INCOME - CLASS A 0000939934 S000006767 SIIT LARGE CAP FUND C000018356 SIIT LARGE CAP FUND - CLASS A 0000939934 S000006768 SIIT LARGE CAP INDEX FUND C000018357 SIIT LARGE CAP INDEX FUND - CLASS A 0000939934 S000006769 SIIT LARGE CAP DISCIPLINED EQUITY FUND C000018358 SIIT LARGE CAP DISCIPLINED EQUITY FUND - CLASS A 0000939934 S000006770 SIIT SMALL MID CAP EQUITY FUND C000018359 SIIT SMALL MID CAP EQUITY FUND - CLASS A 0000939934 S000006771 SIIT EXTENDED DURATION FUND C000018360 SIIT EXTENDED DURATION FUND - CLASS A 0000939934 S000006772 SIIT SMALL CAP FUND C000018361 SIIT SMALL CAP FUND - CLASS A 0000939934 S000010543 SIIT LARGE CAP DIVERSIFIED ALPHA FUND C000029091 SIIT LARGE CAP DIVERSIFIED ALPHA FUND - CLASS A 0000939934 S000013606 SIIT Real Return Plus Fund C000036889 Class A 0000939934 S000014581 SIIT Enhanced Income Fund C000039813 Class A 0000939934 S000019597 SIIT Screened World Equity Ex-US Fund C000054521 Class A N-CSRS 1 siitsar11_08comb.txt SIIT 11_08 SAR UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSRS -------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER 811-07257 SEI INSTITUTIONAL INVESTMENTS TRUST (Exact name of registrant as specified in charter) -------- C/O CT CORPORATION 101 FEDERAL ST. BOSTON, MA 02110 (Address of principal executive offices) (Zip code) C/O CT CORPORATION 101 FEDERAL ST. BOSTON, MA 02110 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734 DATE OF FISCAL YEAR END: MAY 31, 2009 DATE OF REPORTING PERIOD: NOVEMBER 30, 2008 ITEM 1. REPORTS TO STOCKHOLDERS. (SEI LOGO) New ways. New answers.(R) SEI Institutional Investments Trust Semi-Annual Report as of November 30, 2008 Large Cap Fund Large Cap Diversified Alpha Fund Large Cap Disciplined Equity Fund Large Cap Index Fund Small Cap Fund Small/Mid Cap Equity Fund International Equity Fund World Equity Ex-US Fund Screened World Equity Ex-US Fund Enhanced LIBOR Opportunities Fund Core Fixed Income Fund High Yield Bond Fund Long Duration Fund Extended Duration Fund Emerging Markets Debt Fund Real Return Plus Fund TABLE OF CONTENTS Schedules of Investments 1 Statements of Assets and Liabilities 194 Statements of Operations 198 Statements of Changes in Net Assets 202 Financial Highlights 208 Notes to Financial Statements 211 Disclosure of Fund Expenses 226 Board of Trustees Consideration in Approving the Advisory and Sub-Advisory Agreements 228
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q are available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) Information Technology 14.3% Financials 12.7% Health Care 12.1% Affiliated Partnership 11.6% Energy 11.6% Consumer Staples 8.8% Consumer Discretionary 7.7% Industrials 7.7% Telecommunication Services 3.4% Utilities 3.3% Cash Equivalents 3.2% Materials 2.3% U.S. Treasury Obligations 1.3%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- COMMON STOCK -- 77.0% CONSUMER DISCRETIONARY -- 7.1% Abercrombie & Fitch, Cl A 500 $ 10 Advance Auto Parts 1,200 36 Aeropostale* (A) 4,300 65 Amazon.com* (A) 32,050 1,369 American Eagle Outfitters 11,400 109 Apollo Group, Cl A* 300 23 Ascent Media, Cl A* 260 5 Autoliv 7,500 143 Autozone* 387 42 Barnes & Noble (A) 4,300 68 Bed Bath & Beyond* 900 18 Best Buy (A) 4,830 100 Big Lots* 1,900 33 Black & Decker 700 30 BorgWarner 1,700 40 Brink's Home Security Holdings* 1,200 24 Burger King Holdings 700 15 Cablevision Systems, Cl A 1,526 22 California Pizza Kitchen* (A) 1,500 12 Carnival 2,600 55 CBS, Cl B (A) 34,381 229 Centex 3,280 30 Central European Media Enterprises, Cl A* 500 8 Charlotte Russe Holding* 4,200 21 Coach* 38,040 681 Comcast, Cl A 35,737 620 Darden Restaurants 400 7 DeVry 300 17 DIRECTV Group* (A) 20,700 456 Discovery Communications, Cl C* 1,200 18 DISH Network, Cl A* 1,200 13 Dollar Tree* 700 30 DR Horton 1,400 10 DreamWorks Animation SKG, Cl A* 400 9 Eastman Kodak (A) 74,300 563 Expedia* 300 2
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Family Dollar Stores 8,800 $ 244 FGX International Holdings* 3,900 40 Foot Locker 2,600 18 Fortune Brands 6,728 254 GameStop, Cl A* (A) 1,600 35 Gannett (A) 30,000 261 Gap 39,100 509 Genuine Parts 258 10 Goodyear Tire & Rubber* 6,300 40 Guess? 1,000 13 Gymboree* 6,900 174 H&R Block 13,000 249 Hanesbrands* 2,000 26 Harley-Davidson 4,000 68 Hasbro 11,700 314 Home Depot 53,500 1,236 International Game Technology 28,100 301 Interpublic Group* 4,200 17 ITT Educational Services* 400 36 J.C. Penney 20,600 391 Jackson Hewitt Tax Service 5,700 73 John Wiley & Sons, Cl A 500 18 Johnson Controls 20,416 361 Jones Apparel Group (A) 16,100 83 KB Home (A) 2,600 30 Kohl's* 5,694 186 Landry's Restaurants 2,500 29 Leggett & Platt 5,700 83 Liberty Global, Cl A* (A) 9,874 143 Liberty Media - Entertainment, Cl A* 10,300 122 Limited Brands 600 6 Liz Claiborne (A) 9,700 28 Lowe's 28,110 581 Macy's 11,800 88 Magna International, Cl A 1,800 51 Marriott International, Cl A 14,040 236 Mattel 5,500 75 McDonald's 29,035 1,706 McGraw-Hill 1,200 30 MDC Holdings (A) 600 18 MGM Mirage* (A) 27,000 323 New York Times, Cl A (A) 2,300 17 Newell Rubbermaid 6,535 87 News, Cl A 24,839 196 Nike, Cl B 17,180 915 Omnicom Group 1,060 30 Orient-Express Hotels, Cl A (A) 600 4 Panera Bread, Cl A* 600 27 Perry Ellis International* 1,900 10 Phillips-Van Heusen 200 3 Polo Ralph Lauren, Cl A 400 17 Pulte Homes 3,100 33
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 1 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Rent-A-Center, Cl A* 1,300 $ 21 Ross Stores 6,500 172 Royal Caribbean Cruises 400 4 Scientific Games, Cl A* 500 7 Scripps Networks Interactive, Cl A 2,000 56 Sears Holdings* (A) 11,450 415 Service International 300 2 Shaw Communications, Cl B 9,700 166 Sherwin-Williams 2,725 161 Snap-On 1,517 55 Stamps.com* 5,100 45 Stanley Works 7,900 251 Staples 48,800 847 Starwood Hotels & Resorts Worldwide 10,850 183 Steinway Musical Instruments* 1,200 21 Target (A) 15,824 534 Tiffany 700 14 Tim Hortons 195 5 Time Warner 137,305 1,243 Time Warner Cable, Cl A* (A) 500 10 TJX (A) 14,800 338 Toll Brothers* (A) 1,800 36 Urban Outfitters* (A) 1,600 29 VF 1,659 87 Viacom, Cl B* 17,118 273 Walt Disney 28,842 650 Weight Watchers International 21,200 600 Whirlpool (A) 5,400 213 Wyndham Worldwide 6,300 30 Wynn Resorts* (A) 300 12 Yum! Brands 8,100 218 ------------- 21,476 ------------- CONSUMER STAPLES -- 8.1% Alberto-Culver, Cl B 1,900 41 Altria Group 21,011 338 Archer-Daniels-Midland 21,500 589 Avon Products 7,400 156 BJ's Wholesale Club* (A) 1,100 39 Brown-Forman, Cl B 1,375 60 Bunge (A) 5,500 233 Campbell Soup 4,000 128 Church & Dwight 700 41 Clorox 2,400 142 Coca-Cola 51,761 2,426 Coca-Cola Enterprises 41,100 377 Colgate-Palmolive 19,026 1,238 ConAgra Foods 25,900 382 Corn Products International 300 8 Costco Wholesale (A) 14,770 760 CVS/Caremark (A) 37,567 1,087
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Estee Lauder, Cl A 1,300 $ 36 General Mills 5,646 357 Herbalife 7,800 139 Hershey 500 18 HJ Heinz 3,707 144 Hormel Foods 1,100 29 JM Smucker 100 5 Kellogg 3,482 151 Kimberly-Clark 11,854 685 Kraft Foods, Cl A 19,894 541 Kroger (A) 26,722 739 Lorillard 559 34 McCormick 381 11 Molson Coors Brewing, Cl B 1,000 45 NBTY* 800 12 Pepsi Bottling Group 18,900 342 PepsiAmericas 6,100 102 PepsiCo 40,877 2,318 Philip Morris International 13,471 568 Procter & Gamble 83,413 5,368 Reynolds American 10,464 430 Safeway 23,746 518 Sara Lee 25,500 234 Smithfield Foods* (A) 700 5 Supervalu 13,081 156 Sysco 5,524 130 Tyson Foods, Cl A 7,100 48 UST 2,200 151 Walgreen 29,000 717 Wal-Mart Stores 40,412 2,258 Whole Foods Market 400 4 ------------- 24,340 ------------- ENERGY -- 10.7% Alpha Natural Resources* 1,500 33 Anadarko Petroleum 10,000 410 Apache 11,104 858 Arch Coal 1,000 15 Atwood Oceanics* 100 2 Baker Hughes 201 7 BJ Services 1,800 22 Cabot Oil & Gas 1,700 51 Cameron International* (A) 23,058 486 Chesapeake Energy (A) 7,860 135 Chevron 60,582 4,787 Cimarex Energy 7,500 213 Clayton Williams Energy* 500 23 Complete Production Services* 10,200 84 ConocoPhillips 58,277 3,061 Consol Energy 600 17 Continental Resources* 300 6
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 2
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Denbury Resources* 1,000 $ 10 Devon Energy 16,790 1,215 Diamond Offshore Drilling 2,700 199 Dresser-Rand Group* 100 2 El Paso 1,900 14 Encore Acquisition* 700 18 ENSCO International 7,300 237 EOG Resources 12,430 1,057 Exxon Mobil (A) 120,457 9,655 FMC Technologies* 900 25 Forest Oil* 1,300 23 Foundation Coal Holdings 800 11 Frontline (A) 900 27 Halliburton 56,880 1,001 Helmerich & Payne 1,200 30 Hercules Offshore* 400 2 Hess 11,233 607 Holly 4,100 75 Marathon Oil 28,188 738 Mariner Energy* 2,900 32 Massey Energy 1,200 19 Murphy Oil 5,400 238 Nabors Industries* 8,100 117 National Oilwell Varco* 1,444 41 Newfield Exploration* 500 11 Noble 10,100 271 Noble Energy 900 47 Occidental Petroleum (A) 20,200 1,094 Oil States International* 800 17 Overseas Shipholding Group 600 22 Patriot Coal* (A) 2,900 25 Patterson-UTI Energy 8,600 107 Peabody Energy 5,400 127 Petro-Canada 4,800 120 PetroHawk Energy* 1,400 24 Pioneer Natural Resources 400 8 Plains Exploration & Production* 1,000 23 Pride International* 1,000 16 Quicksilver Resources* 2,100 13 Range Resources 1,100 46 Schlumberger 34,806 1,766 SEACOR Holdings* 1,700 112 Smith International 1,600 47 Southwestern Energy* 11,200 385 Spectra Energy 400 6 Suncor Energy 16,874 362 Sunoco 2,800 111 Superior Energy Services* 3,300 56 Tidewater 800 32 Transocean* 5,380 360 Unit* 400 11 Valero Energy 27,700 508
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Walter Industries 600 $ 11 Weatherford International* 27,100 346 Whiting Petroleum* 900 34 Willbros Group* 800 7 Williams 7,100 115 XTO Energy 10,337 395 ------------- 32,238 ------------- FINANCIALS -- 11.7% ACE 6,430 336 Aflac 3,240 150 Alexandria Real Estate Equities+++ 500 22 Allied Capital (A) 800 2 Allied World Assurance Holdings 3,400 120 Allstate 32,399 824 AMB Property+++ 900 16 American Capital (A) 200 1 American Express 23,797 555 American Financial Group 13,100 268 American International Group (A) 42,224 85 American Physicians Capital 1,400 54 Ameriprise Financial 14,358 265 Annaly Capital Management+++ 16,700 240 AON 2,361 107 Apartment Investment & Management, Cl A+++ 2,651 30 Associated Banc 700 15 Assurant 10,507 229 Astoria Financial 900 17 AvalonBay Communities+++ 100 6 Axis Capital Holdings 13,400 339 Bancorpsouth 1,100 24 Bank of America 153,109 2,488 Bank of Hawaii 1,000 45 Bank of New York Mellon 28,186 852 BB&T (A) 17,834 534 BlackRock, Cl A 500 63 Boston Properties+++ 600 32 Brandywine Realty Trust+++ 22,000 108 BRE Properties+++ 700 21 Camden Property Trust+++ 200 5 Capital One Financial (A) 17,650 607 CapitalSource+++ (A) 13,400 70 CB Richard Ellis Group, Cl A* 9,400 43 CBL & Associates Properties+++ (A) 13,800 56 Charles Schwab 71,545 1,311 Chubb 17,972 923 Cincinnati Financial 100 3 CIT Group (A) 7,700 26 Citigroup (A) 124,047 1,028 CME Group, Cl A 6,519 1,382 Comerica 11,300 255
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 3 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Commerce Bancshares 630 $ 28 Credicorp 2,700 118 Cullen/Frost Bankers 1,200 65 Digital Realty Trust+++ 400 11 Discover Financial Services (A) 19,663 201 Douglas Emmett+++ 700 7 Eaton Vance 900 17 Endurance Specialty Holdings (A) 8,300 223 Equity Residential+++ 1,500 46 Essex Property Trust+++ 500 43 Everest Re Group 2,800 220 Federated Investors, Cl B 5,100 101 Fidelity National Financial, Cl A 5,800 71 Fifth Third Bancorp (A) 5,756 55 First American 400 10 First Industrial Realty Trust+++ (A) 800 7 First Midwest Bancorp 1,300 24 Franklin Resources 4,409 268 Fulton Financial (A) 2,500 28 Genworth Financial, Cl A 4,500 7 Goldman Sachs Group 11,264 889 Hanover Insurance Group 900 36 Hartford Financial Services Group 16,179 137 HCP+++ 2,900 60 Health Care+++ (A) 2,300 87 Hercules Technology Growth Capital 1,100 7 Hospitality Properties Trust+++ (A) 6,800 78 Host Hotels & Resorts+++ (A) 2,100 16 Hudson City Bancorp 25,600 428 Huntington Bancshares (A) 4,900 39 IntercontinentalExchange* 16,100 1,185 Invesco 1,000 13 Investment Technology Group* 600 10 Janus Capital Group 2,500 20 Jefferies Group (A) 100 1 JPMorgan Chase 101,835 3,224 Keycorp 16,518 155 Kilroy Realty+++ 200 6 Kimco Realty+++ 700 10 Lazard, Cl A 200 6 Leucadia National 5,500 108 Liberty Property Trust+++ 1,300 25 Lincoln National 13,900 191 Loews 9,447 259 M&T Bank 500 32 Mack-Cali Realty+++ 900 17 Markel* 29 9 Marsh & McLennan 2,825 72 MBIA (A) 2,700 16 Merrill Lynch 61,600 814 MetLife 12,690 365 MGIC Investment 4,900 13 Moody's (A) 11,400 247
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Morgan Stanley (A) 51,003 $ 752 NASDAQ OMX Group* 800 17 National City 3,600 7 Nationwide Financial Services, Cl A (A) 5,700 290 Nationwide Health Properties+++ 1,900 43 New York Community Bancorp 5,800 76 NewAlliance Bancshares 11,900 164 Northern Trust 1,765 81 NYSE Euronext 24,600 586 Oriental Financial Group 4,800 30 PartnerRe 200 14 Pennsylvania Real Estate Investment Trust+++ (A) 12,000 54 People's United Financial 1,900 36 Philadelphia Consolidated Holding* 700 43 Platinum Underwriters Holdings (A) 5,100 157 Plum Creek Timber+++ 500 18 PNC Financial Services Group (A) 6,956 367 Popular (A) 4,300 27 Principal Financial Group 7,600 105 Progressive 14,000 210 Prologis+++ (A) 3,200 12 Prospect Capital (A) 7,800 99 Protective Life 1,600 15 Provident Bankshares (A) 10,200 96 Prudential Financial 8,600 187 Public Storage+++ 1,900 133 Raymond James Financial 300 7 Rayonier+++ 400 13 Regency Centers+++ 200 7 Regions Financial (A) 66,062 673 RenaissanceRe Holdings 200 9 SeaBright Insurance Holdings* 5,600 59 Simon Property Group+++ 700 33 St. Joe* (A) 2,300 61 StanCorp Financial Group 900 30 State Street (A) 21,000 884 Sterling Financial (A) 13,400 71 Sunstone Hotel Investors+++ (A) 5,800 28 SunTrust Banks 9,956 316 Synovus Financial 2,900 24 T. Rowe Price Group 3,732 128 Taubman Centers+++ 700 17 TCF Financial 100 2 TD Ameritrade Holding* 2,800 37 Thomas Properties Group 300 1 Torchmark (A) 5,045 182 Travelers 33,501 1,462 UDR+++ 4,000 61 Unum Group 8,250 123 US Bancorp 32,455 876 Valley National Bancorp 635 12 Ventas+++ 3,500 80
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 4
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Vornado Realty Trust+++ 500 $ 27 Wachovia 20,058 113 Waddell & Reed Financial, Cl A 2,200 30 Washington Federal (A) 1,200 20 Webster Financial 3,600 54 Weingarten Realty Investors+++ 300 4 Wells Fargo (A) 78,246 2,261 Whitney Holding 100 2 Wilmington Trust (A) 100 2 WR Berkley 5,900 168 XL Capital, Cl A (A) 8,800 44 Zions Bancorporation 200 6 ------------- 35,228 ------------- HEALTH CARE -- 11.1% Abbott Laboratories 26,108 1,368 Aetna 36,800 803 Allergan 42,474 1,600 American Medical Systems Holdings* 9,300 82 AmerisourceBergen 5,500 172 Amgen* (A) 36,000 2,000 Amylin Pharmaceuticals* (A) 10,970 81 Barr Pharmaceuticals* 200 13 Baxter International 13,714 725 Becton Dickinson 6,947 441 Biogen Idec* (A) 5,300 224 BioMarin Pharmaceutical* 700 12 Boston Scientific* 31,300 193 Bristol-Myers Squibb 24,713 512 C.R. Bard 1,800 148 Cardinal Health 7,674 249 Celgene* 3,776 197 Cephalon* 200 15 Charles River Laboratories International* 1,100 25 Cigna 8,414 102 Community Health Systems* 1,400 18 Covance* 1,400 55 Coventry Health Care* 1,100 14 Covidien 4,600 170 Cubist Pharmaceuticals* 500 12 Dentsply International 3,200 83 Edwards Lifesciences* 400 20 Eli Lilly 30,404 1,038 Endo Pharmaceuticals Holdings* 500 11 Express Scripts* 7,300 420 Forest Laboratories* 10,400 251 Genentech* 23,380 1,791 Genzyme* 600 38 Gilead Sciences* 35,068 1,571 Health Management Associates, Cl A* 2,500 4 Henry Schein* 300 11 Hill-Rom Holdings 700 14
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Hologic* 400 $ 6 Hospira* 300 9 Humana* 13,200 399 Illumina* (A) 1,600 35 IMS Health 800 11 Intuitive Surgical* 100 13 Johnson & Johnson 58,534 3,429 King Pharmaceuticals* (A) 32,900 316 Laboratory Corp of America Holdings* 152 10 Life Technologies* (A) 2,227 58 Martek Biosciences 500 14 McKesson 3,917 137 Medco Health Solutions* 6,046 254 Medicines* 1,700 22 Medicis Pharmaceutical, Cl A 7,100 87 Medtronic 20,421 623 Merck 73,644 1,968 Merit Medical Systems* 1,000 14 Mylan Laboratories* (A) 800 8 Omnicare 900 22 Patterson* 200 4 Pediatrix Medical Group* 800 25 PerkinElmer 1,100 20 Perrigo 1,000 34 Pfizer 228,579 3,756 Pharmaceutical Product Development 1,600 42 Quest Diagnostics 2,000 93 Resmed* 200 7 Schering-Plough 70,330 1,182 Sepracor* 800 9 Somanetics* (A) 3,700 65 St. Jude Medical* 12,490 350 Stryker 16,391 638 Synovis Life Technologies* 1,100 16 Techne 800 50 Tenet Healthcare* 3,900 5 Teva Pharmaceutical Industries ADR (A) 11,820 510 Thermo Fisher Scientific* 16,533 590 Thoratec* 1,300 33 UnitedHealth Group 89,507 1,880 Universal Health Services, Cl B 300 11 Varian Medical Systems* 1,600 65 Vertex Pharmaceuticals* 300 7 Viropharma* 8,900 101 Warner Chilcott, Cl A* 14,500 192 Watson Pharmaceuticals* 200 5 WellCare Health Plans* 2,600 23 WellPoint* 6,700 238 Wyeth 32,560 1,172 Zimmer Holdings* 13,775 514 ------------- 33,555 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 5 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- INDUSTRIALS -- 7.0% 3M 4,998 $ 334 AAON 700 13 ABB ADR 4,420 57 AGCO* 1,300 32 Alliant Techsystems* 100 8 Allied Waste Industries* 11,200 120 Ametek 900 32 AMR* 1,500 13 Boeing (A) 12,155 518 Brink's 1,200 26 Bucyrus International, Cl A 3,200 63 Burlington Northern Santa Fe 4,420 339 C.H. Robinson Worldwide (A) 1,087 56 Caterpillar 14,900 611 Columbus McKinnon* 1,800 21 Continental Airlines, Cl B* (A) 1,100 16 Con-way 1,000 28 Copart* 1,600 43 Corrections of America* 200 4 Crane 2,100 31 CSX 6,090 227 Cummins 12,700 325 Danaher 3,600 200 Deere 3,200 111 Delta Air Lines* (A) 3,200 28 Deluxe 4,800 50 Donaldson 800 27 Dover 4,600 137 Dun & Bradstreet 107 9 Eaton 2,400 111 Emerson Electric 30,104 1,080 Equifax 1,100 28 Expeditors International Washington 25,100 839 Fastenal (A) 1,600 61 FedEx 1,550 109 First Solar* 400 50 Flowserve 1,300 65 Fluor 25,000 1,138 Foster Wheeler* 11,300 251 FTI Consulting* 100 5 Gardner Denver* 500 12 GATX 1,200 34 General Dynamics 11,086 573 General Electric 299,787 5,147 Goodrich 700 24 Graco 400 9 Harsco 1,100 28 Hertz Global Holdings* 300 1 Honeywell International 16,618 463 Hubbell, Cl B 800 24 IDEX 300 7
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Illinois Tool Works (A) 9,800 $ 334 Ingersoll-Rand, Cl A 3,369 53 Iron Mountain* 1,700 37 ITT 160 7 Jacobs Engineering Group* 1,500 67 JB Hunt Transport Services 2,200 59 Joy Global 300 7 Kansas City Southern* 2,800 61 Kirby* 1,300 33 L-3 Communications Holdings 1,800 121 Landstar System (A) 1,000 32 Lennox International 900 25 Lincoln Electric Holdings 400 18 Lockheed Martin 6,685 515 Manpower 1,200 38 MSC Industrial Direct, Cl A 800 28 NCI Building Systems* (A) 4,000 61 Norfolk Southern 13,200 653 Northrop Grumman 17,875 732 Paccar 214 6 Pall 100 3 Parker Hannifin 6,000 246 Pentair 600 15 Perini* (A) 2,700 52 Precision Castparts 2,195 138 Quanta Services* 19,900 324 Raytheon 9,688 473 Republic Services, Cl A (A) 1,700 41 Robert Half International 400 8 Ryder System 1,700 61 Shaw Group* 13,200 243 Southwest Airlines 3,400 30 SPX 1,629 61 Stericycle* 502 29 Terex* 200 3 Textron 1,300 20 Timken 600 9 Trinity Industries (A) 2,100 31 Tyco International 17,300 362 Union Pacific 6,762 338 United Parcel Service, Cl B (A) 19,700 1,135 United Rentals* 1,500 12 United Technologies 20,729 1,006 USG* 900 9 UTi Worldwide 1,200 13 Valmont Industries 100 6 Waste Management 2,900 85 WESCO International* 6,500 96 WW Grainger 100 7 ------------- 21,281 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 6
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- INFORMATION TECHNOLOGY -- 13.1% Accenture, Cl A 14,600 $ 452 Activision Blizzard* 42,820 501 Adobe Systems* 11,600 269 Affiliated Computer Services, Cl A* (A) 2,000 81 Agilent Technologies* 700 13 Akamai Technologies* 900 11 Altera 1,800 26 Amphenol, Cl A 1,500 35 Analog Devices 4,600 79 Ansys* 100 3 Apple* (A) 32,687 3,029 Applied Materials 1,640 16 Arrow Electronics* 400 6 Automatic Data Processing 2,646 109 Avnet* 8,500 121 Avocent* 1,200 23 BMC Software* (A) 1,200 30 Broadcom, Cl A* (A) 18,600 285 Broadridge Financial Solutions 1,600 18 Brocade Communications Systems* 2,100 7 CA 38,300 645 Cisco Systems* 119,530 1,977 CommScope* 500 6 Computer Sciences* 9,400 262 Compuware* 9,600 61 Convergys* 1,700 11 Corning 17,100 154 Cree* (A) 500 8 Daktronics (A) 3,300 30 Dell* 55,660 622 Diebold 400 11 Dolby Laboratories, Cl A* 1,100 33 eBay* 102,400 1,344 Electronic Arts* 41,436 790 EMC* 44,500 471 F5 Networks* 400 10 Factset Research Systems (A) 200 8 Fidelity National Information Services 151 3 Fiserv* 500 17 Flir Systems* (A) 400 13 Global Payments 700 25 Google, Cl A* (A) 12,610 3,694 Harris 300 10 Hewitt Associates, Cl A* 7,500 214 Hewlett-Packard 73,760 2,602 Integrated Device Technology* 3,400 18 Intel 47,346 653 International Business Machines 16,876 1,377 Intersil, Cl A 400 4 Intuit* 42,000 931
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Itron* 100 $ 5 Jabil Circuit 1,100 7 Juniper Networks* (A) 41,300 718 Lexmark International, Cl A* 2,000 52 Linear Technology (A) 12,857 257 LSI* 4,200 11 Macrovision Solutions* 8 -- Marvell Technology Group* 1,100 6 Mastercard, Cl A (A) 9,500 1,380 McAfee* 1,200 36 MEMC Electronic Materials* 554 8 Mettler Toledo International* 65 5 Microchip Technology (A) 3,100 57 Microsoft (A) 114,824 2,322 Molex 600 8 Motorola 10,300 44 National Semiconductor 7,200 79 NCR* 2,500 38 NetApp* 2,500 34 NeuStar, Cl A* 6,800 130 Nokia ADR 24,500 347 Nuance Communications* (A) 700 6 Nvidia* 4,500 34 ON Semiconductor* 1,700 5 Oracle* 10,411 167 QLogic* (A) 3,800 40 Qualcomm 111,517 3,744 Rambus* 600 6 Red Hat* 10,700 99 Research In Motion* (A) 27,090 1,150 SAIC* 800 14 Salesforce.com* 1,400 40 Seagate Technology 100,400 423 Silicon Laboratories* 8,300 174 Sohu.com* (A) 700 34 Sybase* 1,800 44 Symantec* (A) 37,040 446 Synopsys* 4,824 77 Tech Data* 100 2 Teradata* 33,500 450 Teradyne* 3,100 12 Texas Instruments 53,132 827 Tyco Electronics 19,800 326 VeriSign* (A) 48,200 1,041 Visa, Cl A 28,720 1,510 Vishay Intertechnology* (A) 18,400 80 VMware, Cl A* 200 4 Volterra Semiconductor* (A) 1,300 10 Western Digital* 25,900 316 Western Union 38,292 508 Xerox 51,279 359 Xilinx 2,700 44
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 7 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Fund (Concluded) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Yahoo!* (A) 75,500 $ 869 Zebra Technologies, Cl A* 1,000 21 ------------- 39,544 ------------- MATERIALS -- 2.1% Air Products & Chemicals 4,000 191 Airgas 1,600 57 AK Steel Holding (A) 3,300 26 Alcoa (A) 12,900 139 Aptargroup 300 10 Ashland (A) 900 9 Ball 2,400 87 Bemis 500 13 Cabot 1,000 21 Carpenter Technology 2,400 40 Celanese, Cl A 5,800 67 Century Aluminum* (A) 8,200 67 CF Industries Holdings 200 10 Cliffs Natural Resources 2,000 47 Crown Holdings* 2,600 42 Cytec Industries 2,900 64 Dow Chemical 35,700 662 E.I. Du Pont de Nemours 13,365 335 Eastman Chemical 5,800 191 Ecolab 900 34 FMC 1,600 70 Freeport-McMoRan Copper & Gold, Cl B (A) 6,808 163 Greif, Cl A 200 7 Headwaters* (A) 6,700 38 International Paper 14,700 183 Intrepid Potash* 3,000 58 Lubrizol 8,600 302 Monsanto 3,471 275 Mosaic 7,300 222 Nalco Holding (A) 9,400 107 Nucor 15,160 541 OM Group* 1,400 28 Owens-Illinois* 6,300 127 Pactiv* 200 5 PPG Industries 4,600 202 Praxair 17,071 1,008 Reliance Steel & Aluminum 4,700 97 Rohm & Haas 100 7 RPM International 2,700 32 RTI International Metals* (A) 9,900 119 Sealed Air 3,700 59 Sigma-Aldrich 1,500 65 Sonoco Products 6,800 171 Southern Copper 600 8 Steel Dynamics 3,100 26 Terra Industries 5,400 79
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- United States Steel 4,500 $ 137 Valspar 7,000 137 Vulcan Materials (A) 200 12 Weyerhaeuser 200 7 ------------- 6,404 ------------- TELECOMMUNICATION SERVICES -- 3.1% American Tower, Cl A* 16,434 448 AT&T (A) 184,272 5,263 CenturyTel (A) 2,200 58 Crown Castle International* 57,403 808 Frontier Communications 318 3 Leap Wireless International* (A) 1,100 22 NII Holdings* 900 17 Sprint Nextel 72,236 201 Verizon Communications 76,033 2,483 Windstream 20,200 179 ------------- 9,482 ------------- UTILITIES -- 3.0% AES* (A) 123,587 950 Alliant Energy 12,500 398 Ameren 5,566 198 American Electric Power 20,731 649 Atmos Energy 5,800 145 Calpine* 1,500 13 CMS Energy (A) 4,300 44 Consolidated Edison 1,300 52 Constellation Energy Group 2,600 64 Dominion Resources 2,904 107 DPL (A) 2,100 44 DTE Energy 13,600 506 Duke Energy (A) 29,700 462 Edison International 20,800 695 Energen 700 21 Entergy 4,400 374 Equitable Resources 2,600 87 Exelon 3,554 200 FirstEnergy 6,303 369 FPL Group 4,600 224 Hawaiian Electric Industries (A) 2,000 54 MDU Resources Group 3,000 61 National Fuel Gas 500 16 NiSource 7,700 93 NRG Energy* (A) 9,286 220 NV Energy 9,300 88 OGE Energy 100 3 Oneok 3,300 97 Pepco Holdings 14,100 254 PG&E 6,809 259 Pinnacle West Capital 10,500 319
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 8
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- PPL 7,565 $ 256 Progress Energy 1,200 48 Public Service Enterprise Group 12,640 391 Puget Energy 1,300 32 Questar 900 29 Reliant Energy* 6,600 38 SCANA 500 17 Sempra Energy 14,367 670 Southern 5,139 187 TECO Energy 2,300 30 UGI 600 14 Vectren 400 11 Wisconsin Energy 2,500 109 Xcel Energy (A) 16,745 314 ------------- 9,212 ------------- Total Common Stock (Cost $307,387) ($ Thousands) 232,760 ------------- U.S. TREASURY OBLIGATION -- 1.2% U.S. Treasury Bill 0.010%, 02/12/09 (B) (C) $ 3,520 3,520 ------------- Total U.S. Treasury Obligation (Cost $3,520) ($ Thousands) 3,520 ------------- CASH EQUIVALENTS -- 2.9% First Union Cash Management Program, 0.860%** 125,156 125 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.620%**+ 8,760,233 8,760 ------------- Total Cash Equivalents (Cost $8,885) ($ Thousands) 8,885 ------------- AFFILIATED PARTNERSHIP -- 10.7% SEI Liquidity Fund, L.P., 1.630%**+ (D) 32,766,990 32,314 ------------- Total Affiliated Partnership (Cost $32,767) ($ Thousands) 32,314 ------------- Total Investments -- 91.8% (Cost $352,559) ($ Thousands) $ 277,479 =============
A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ------------------------ ------------ ---------- ------------- S&P 500 Composite Index 265 Dec-2008 $(140) S&P Mid 400 Index E-Mini 139 Dec-2008 (45) ----- $(185) =====
Description - ----------- Percentages are based on a Net Assets of $302,181 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (see Note 3). +++ Real Estate Investment Trust (A) This security or a partial position of this security is on loan at November 30, 2008. The total value of securities on loan at November 30, 2008 was $31,751 ($ Thousands). (B) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (C) Security, or portion thereof, has been pledged as collateral on open futures contracts. (D) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of November 30, 2008 was $32,314 ($ Thousands). ADR -- American Depositary Receipt Cl -- Class L.P. -- Limited Partnership Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 9 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) Information Technology 16.7% Health Care 11.5% Financials 11.2% Energy 10.1% Industrials 9.5% Affiliated Partnership 9.0% Consumer Staples 8.7% Consumer Discretionary 7.8% Cash Equivalents 4.7% Utilities 3.2% Telecommunication Services 2.6% U.S. Treasury Obligations 2.6% Materials 2.4%
++ Percentages based on total investments.
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- COMMON STOCK -- 83.4% CONSUMER DISCRETIONARY -- 7.8% Abercrombie & Fitch, Cl A 1,300 $ 25 Advance Auto Parts 2,400 73 Aeropostale* 17,200 260 Amazon.com* 34,850 1,488 American Eagle Outfitters 5,000 48 AnnTaylor Stores* 3,600 16 Apollo Group, Cl A* 4,800 369 Ascent Media, Cl A* 535 11 Autozone* 800 87 Bed Bath & Beyond* 1,800 37 Best Buy 2,000 41 Big Lots* 24,300 426 BorgWarner 3,200 76 Brinker International 6,800 45 Brink's Home Security Holdings* 2,300 46 Burger King Holdings 900 19 Cablevision Systems, Cl A 2,200 32 California Pizza Kitchen* 7,900 61 Carnival 7,500 157 CBS, Cl B 14,200 95 Centex 2,300 21 Central European Media Enterprises, Cl A* 1,000 15 Charlotte Russe Holding* 5,500 28 Coach* 51,500 922 Comcast, Cl A 93,609 1,623 Darden Restaurants 800 15 DeVry 600 34 DIRECTV Group* 22,100 486 Discovery Communications, Cl C* 1,050 16 Dollar Tree* 1,300 55 DR Horton 2,600 18 DreamWorks Animation SKG, Cl A* 500 12 Eastman Kodak 73,200 554 Expedia* 1,800 15 Family Dollar Stores 1,200 33 Foot Locker 4,400 30
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Fuel Systems Solutions* 1,500 $ 52 GameStop, Cl A* 2,900 63 Gannett 26,400 230 Gap 30,400 396 Genuine Parts 864 34 Goodyear Tire & Rubber* 5,600 36 Guess? 1,700 23 Gymboree* 6,100 153 H&R Block 40,034 766 Hanesbrands* 3,700 48 Harman International Industries 4,300 65 Hasbro 21,500 576 Home Depot 40,500 936 International Game Technology 33,700 361 Interpublic Group* 7,800 32 J.C. Penney 20,900 397 Jackson Hewitt Tax Service 6,800 87 Jarden* 2,400 30 John Wiley & Sons, Cl A 700 25 Johnson Controls 10,000 176 Jones Apparel Group 8,900 45 KB Home 1,000 12 Kohl's* 5,800 189 Leggett & Platt 5,900 86 Liberty Global, Cl A* 14,400 209 Liberty Media-Capital, Ser A* 3,617 12 Liberty Media-Entertainment, Cl A* 24,100 286 Limited Brands 1,300 12 Liz Claiborne 20,100 57 Lowe's 3,200 66 Macy's 1,500 11 Marriott International, Cl A 700 12 Mattel 2,800 39 McDonald's 37,943 2,229 McGraw-Hill 2,000 50 MDC Holdings 800 25 MGM Mirage* 40,300 483 NetFlix* 14,500 333 New York Times, Cl A 4,000 30 News, Cl A 79,431 627 Nike, Cl B 25,311 1,348 Omnicom Group 900 25 Orient-Express Hotels, Cl A 1,700 12 Panera Bread, Cl A* 2,100 93 Phillips-Van Heusen 500 9 Polo Ralph Lauren, Cl A 16,174 699 Pulte Homes 5,500 58 Regis 700 8 Ross Stores 6,000 159 Royal Caribbean Cruises 700 7 Scientific Games, Cl A* 1,000 15 Scripps Networks Interactive, Cl A 3,800 106 Sears Holdings* 13,400 486
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 10
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Service International 2,800 $ 16 Shaw Communications, Cl B 28,300 484 Sherwin-Williams 4,600 271 Snap-On 11,477 414 Stamps.com* 6,600 59 Stanley Works 8,700 276 Staples 73,300 1,272 Starbucks* 1,800 16 Starwood Hotels & Resorts Worldwide 2,800 47 Target 2,600 88 Tiffany 1,500 30 Tim Hortons 583 14 Time Warner 203,178 1,839 Time Warner Cable, Cl A* 1,100 22 TJX 16,800 383 Toll Brothers* 3,400 68 Urban Outfitters* 2,900 53 VF 3,000 157 Viacom, Cl B* 8,400 134 Walt Disney 28,690 646 Weight Watchers International 32,600 923 Wynn Resorts* 400 16 Yum! Brands 13,500 364 ------------- 27,205 ------------- CONSUMER STAPLES -- 8.7% Alberto-Culver, Cl B 1,700 37 Altria Group 37,267 599 Archer-Daniels-Midland 29,483 807 Avon Products 11,000 232 BJ's Wholesale Club* 11,767 421 Brown-Forman, Cl B 21,957 964 Bunge 7,801 331 Campbell Soup 300 10 Church & Dwight 1,300 77 Coca-Cola 36,000 1,687 Coca-Cola Enterprises 32,500 298 Colgate-Palmolive 11,000 716 ConAgra Foods 18,900 279 Corn Products International 6,500 178 Costco Wholesale 16,198 834 CVS/Caremark 24,104 697 Estee Lauder, Cl A 2,300 64 General Mills 1,700 107 Hansen Natural* 100 3 Herbalife 13,500 240 Hershey 900 32 HJ Heinz 4,100 159 Hormel Foods 2,200 59 JM Smucker 300 14 Kellogg 3,500 152 Kimberly-Clark 15,000 867
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Kraft Foods, Cl A 3,560 $ 97 Kroger 36,300 1,004 Lorillard 900 55 McCormick 300 9 Molson Coors Brewing, Cl B 5,965 265 NBTY* 16,800 245 Pepsi Bottling Group 17,400 315 PepsiAmericas 10,900 183 PepsiCo 30,500 1,729 Philip Morris International 38,928 1,641 Procter & Gamble 116,884 7,521 Reynolds American 21,500 883 Safeway 22,300 486 Smithfield Foods* 1,600 11 Supervalu 8,673 103 Sysco 61,616 1,445 Tyson Foods, Cl A 70,147 471 UST 857 59 Walgreen 54,890 1,358 Wal-Mart Stores 46,851 2,618 Whole Foods Market 800 9 ------------- 30,371 ------------- ENERGY -- 10.1% Alpha Natural Resources* 2,900 64 Anadarko Petroleum 3,700 152 Apache 7,200 557 Arch Coal 17,867 275 Atwood Oceanics* 300 5 Baker Hughes 11,889 414 BJ Services 3,400 41 Cabot Oil & Gas 4,763 143 Cameron International* 2,600 55 Chesapeake Energy 5,300 91 Chevron 68,924 5,446 Cimarex Energy 3,600 102 Complete Production Services* 12,100 99 ConocoPhillips 49,521 2,601 Consol Energy 1,200 35 Continental Resources* 900 18 Denbury Resources* 1,100 10 Devon Energy 4,500 325 Diamond Offshore Drilling 900 66 Dresser-Rand Group* 200 3 Encore Acquisition* 1,400 37 ENSCO International 5,900 191 EOG Resources 17,300 1,471 Exxon Mobil 146,651 11,754 FMC Technologies* 1,600 44 Forest Oil* 2,400 42 Foundation Coal Holdings 1,300 18 Frontline 1,700 50 Halliburton 48,551 855
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 11 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Helmerich & Payne 2,000 $ 51 Hercules Offshore* 500 3 Hess 2,500 135 Marathon Oil 24,600 644 Mariner Energy* 5,400 59 Massey Energy 2,300 36 Murphy Oil 9,100 401 Nabors Industries* 7,200 104 National Oilwell Varco* 5,884 166 Newfield Exploration* 900 20 Noble 13,700 367 Noble Energy 600 31 Occidental Petroleum 27,110 1,468 Oil States International* 1,300 28 Overseas Shipholding Group 8,300 308 Patriot Coal* 5,100 43 Patterson-UTI Energy 29,300 366 Peabody Energy 5,600 131 Petro-Canada 12,600 316 PetroHawk Energy* 2,800 49 Pioneer Natural Resources 13,656 274 Plains Exploration & Production* 1,900 44 Pride International* 1,900 31 Quicksilver Resources* 4,700 29 Range Resources 2,000 83 Rowan 100 2 Schlumberger 34,134 1,732 SEACOR Holdings* 400 26 Smith International 3,100 91 Southwestern Energy* 12,300 423 Spectra Energy 700 11 Superior Energy Services* 6,400 108 Tidewater 7,500 296 Transocean* 7,283 487 Unit* 6,400 184 Valero Energy 43,100 791 Walter Industries 10,400 190 Weatherford International* 10,000 128 Whiting Petroleum* 1,900 73 Willbros Group* 2,400 20 Williams 11,500 186 XTO Energy 12,500 478 ------------- 35,377 ------------- FINANCIALS -- 11.1% Aflac 6,200 287 Alexandria Real Estate Equities+++ 900 40 Allied Capital 1,400 3 Allied World Assurance Holdings 7,400 262 Allstate 21,300 542 AMB Property+++ 1,600 28 American Capital 500 2
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- American Express 26,400 $ 615 American Financial Group 26,500 543 American International Group 12,500 25 Ameriprise Financial 22,400 414 Annaly Capital Management+++ 14,500 208 AON 11,685 529 Apartment Investment & Management, Cl A+++ 4,864 56 Aspen Insurance Holdings 3,100 57 Associated Banc 900 20 Assurant 5,300 115 Astoria Financial 1,900 35 AvalonBay Communities+++ 100 6 Axis Capital Holdings 8,300 210 Bancorpsouth 2,400 53 Bank of America 113,599 1,846 Bank of Hawaii 2,000 89 Bank of New York Mellon 56,653 1,711 BB&T 3,200 96 BlackRock, Cl A 900 113 Boston Properties+++ 9,762 521 Brandywine Realty Trust+++ 34,400 169 BRE Properties+++ 1,300 38 Brown & Brown 1,016 20 Camden Property Trust+++ 400 11 Capital One Financial 6,900 238 CapitalSource+++ 16,000 83 CB Richard Ellis Group, Cl A* 3,900 18 CBL & Associates Properties+++ 29,000 118 Charles Schwab 65,819 1,206 Chubb 16,529 849 Cincinnati Financial 100 3 CIT Group 1,500 5 Citigroup 121,176 1,005 CME Group, Cl A 7,380 1,564 Commerce Bancshares 1,175 51 Compass Diversified Holdings 900 9 Credicorp 10,300 450 Cullen/Frost Bankers 2,300 125 Developers Diversified Realty+++ 3,500 17 Digital Realty Trust+++ 400 11 Discover Financial Services 9,700 99 Douglas Emmett+++ 1,300 13 Eaton Vance 1,700 33 Endurance Specialty Holdings 21,500 579 Equity Residential+++ 3,000 91 Essex Property Trust+++ 1,100 95 Everest Re Group 100 8 Federated Investors, Cl B 1,900 38 Fidelity National Financial, Cl A 4,800 59 Fifth Third Bancorp 2,700 26 First American 700 17 First Midwest Bancorp 1,700 31
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 12
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Franklin Resources 8,100 $ 492 Fulton Financial 4,400 49 Goldman Sachs Group 8,700 687 Hanover Insurance Group 1,600 64 Hartford Financial Services Group 7,100 60 HCP+++ 5,300 110 Health Care+++ 3,100 118 Hospitality Properties Trust+++ 11,900 136 Host Hotels & Resorts+++ 3,700 28 HRPT Properties Trust+++ 1,700 5 Hudson City Bancorp 43,403 725 Huntington Bancshares 13,900 111 IntercontinentalExchange* 24,300 1,788 Invesco 1,200 15 Investment Technology Group* 9,500 159 Jefferies Group 100 1 JPMorgan Chase 65,147 2,063 Kilroy Realty+++ 500 15 Kimco Realty+++ 1,200 17 Knight Capital Group, Cl A* 14,800 245 Lazard, Cl A 400 13 Leucadia National 10,400 203 Liberty Property Trust+++ 2,500 48 Lincoln National 1,800 25 Loews 33,505 918 M&T Bank 700 45 Mack-Cali Realty+++ 2,300 44 Marsh & McLennan 4,900 125 Merrill Lynch 42,712 565 MetLife 13,700 394 Moody's 21,100 458 Morgan Stanley 30,800 454 NASDAQ OMX Group* 1,400 30 Nationwide Financial Services, Cl A 900 46 Nationwide Health Properties+++ 3,400 77 New York Community Bancorp 10,800 141 Northern Trust 10,815 496 NYSE Euronext 44,524 1,060 PartnerRe 400 28 Pennsylvania Real Estate Investment Trust+++ 13,100 59 People's United Financial 3,400 65 Philadelphia Consolidated Holding* 1,300 80 Plum Creek Timber+++ 6,386 227 PNC Financial Services Group 2,276 120 Popular 8,500 53 Principal Financial Group 2,000 28 Progressive 4,900 74 Prologis+++ 4,800 18 Protective Life 3,200 30 Provident Bankshares 7,100 67 Prudential Financial 2,400 52 Public Storage+++ 6,068 424 Raymond James Financial 500 11
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Rayonier+++ 17,944 $ 599 Regency Centers+++ 300 11 Regions Financial 81,250 828 Reinsurance Group of America 100 4 RenaissanceRe Holdings 300 14 Simon Property Group+++ 1,400 66 St. Joe* 4,000 105 StanCorp Financial Group 8,400 280 State Street 23,500 990 Sterling Financial 3,900 21 Sunstone Hotel Investors+++ 6,300 30 SunTrust Banks 500 16 Susquehanna Bancshares 500 8 Synovus Financial 5,000 42 T. Rowe Price Group 17,655 604 Taubman Centers+++ 1,300 31 TCF Financial 200 3 TD Ameritrade Holding* 52,469 698 TFS Financial 9,874 127 Torchmark 1,600 58 Travelers 41,316 1,803 UDR+++ 7,400 112 Unum Group 2,500 37 US Bancorp 29,700 801 Valley National Bancorp 1,090 21 Ventas+++ 6,100 140 Wachovia 27,887 157 Waddell & Reed Financial, Cl A 4,100 55 Washington Federal 7,800 132 Webster Financial 3,600 54 Weingarten Realty Investors+++ 600 9 Wells Fargo 60,478 1,747 Whitney Holding 200 4 Wilmington Trust 100 2 WR Berkley 20,100 571 XL Capital, Cl A 9,100 46 Zions Bancorporation 400 13 ------------- 39,110 ------------- HEALTH CARE -- 11.5% Abbott Laboratories 9,300 487 Aetna 70,812 1,545 Allergan 44,400 1,673 American Medical Systems Holdings* 4,800 42 AmerisourceBergen 40,721 1,277 Amgen* 61,869 3,436 Barr Pharmaceuticals* 500 33 Baxter International 7,100 376 Becton Dickinson 5,700 362 Biogen Idec* 13,200 559 BioMarin Pharmaceutical* 1,000 17 Boston Scientific* 47,000 290 Bristol-Myers Squibb 66,639 1,379
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 13 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ------------ ------------- ------------- C.R. Bard 800 $ 66 Cardinal Health 36,029 1,172 Celgene* 1,800 94 Cephalon* 400 29 Charles River Laboratories International* 1,900 43 Cigna 28,493 345 Community Health Systems* 2,300 30 Covance* 2,600 102 Covidien 7,575 279 Cubist Pharmaceuticals* 11,500 283 Dentsply International 4,100 107 Edwards Lifesciences* 800 40 Eli Lilly 20,000 683 Endo Pharmaceuticals Holdings* 13,600 299 Express Scripts* 9,600 552 Forest Laboratories* 28,700 694 Genentech* 40,501 3,102 Genzyme* 4,273 274 Gilead Sciences* 4,600 206 Health Management Associates, Cl A* 4,700 7 Henry Schein* 600 21 Hill-Rom Holdings 1,400 29 Hologic* 500 7 Hospira* 800 24 Humana* 28,453 860 Idexx Laboratories* 2,900 90 Illumina* 3,000 66 IMS Health 1,000 13 Intuitive Surgical* 200 26 Isis Pharmaceuticals* 2,900 33 Johnson & Johnson 65,380 3,830 King Pharmaceuticals* 9,300 89 Laboratory Corp of America Holdings* 300 19 Life Technologies* 4,345 114 Lincare Holdings* 12,600 302 McKesson 35,556 1,242 Medco Health Solutions* 26,519 1,114 Medicis Pharmaceutical, Cl A 6,400 78 Medtronic 30,600 934 Merck 41,000 1,096 Merit Medical Systems* 2,100 30 Mylan Laboratories* 1,600 15 Omnicare 10,500 253 Owens & Minor 7,400 307 Patterson* 500 9 Pediatrix Medical Group* 1,600 50 PerkinElmer 14,510 262 Perrigo 1,900 65 Pfizer 202,048 3,320 Pharmaceutical Product Development 3,400 90 Quest Diagnostics 1,700 79
Market Value Description Shares ($ Thousands) - ------------ ------------- ------------- Resmed* 400 $ 15 Schering-Plough 8,900 150 Sepracor* 1,400 16 Somanetics* 1,300 23 St. Jude Medical* 2,000 56 STERIS 14,100 390 Stryker 19,335 752 Techne 1,500 93 Tenet Healthcare* 8,200 10 Thermo Fisher Scientific* 4,100 146 UnitedHealth Group 120,000 2,521 Universal Health Services, Cl B 700 26 Varian Medical Systems* 3,000 121 Vertex Pharmaceuticals* 300 7 Viropharma* 4,400 50 Warner Chilcott, Cl A* 15,600 207 Waters* 200 8 Watson Pharmaceuticals* 400 9 WellCare Health Plans* 4,900 44 WellPoint* 18,000 641 Wyeth 11,600 418 Zimmer Holdings* 6,525 243 ------------- 40,296 ------------- INDUSTRIALS -- 9.4% 3M 7,700 515 Aecom Technology* 7,027 186 AGCO* 16,037 395 Alliant Techsystems* 200 16 Allied Waste Industries* 8,800 95 Ametek 1,500 53 AMR* 2,700 24 Boeing 36,926 1,574 Brink's 2,300 50 Bucyrus International, Cl A 12,900 252 Burlington Northern Santa Fe 7,100 544 C.H. Robinson Worldwide 9,020 461 Caterpillar 15,975 655 Columbus McKinnon* 2,600 30 Continental Airlines, Cl B* 1,700 25 Con-way 1,900 53 Copart* 3,200 85 Corrections of America* 500 9 Crane 5,500 82 CSX 16,800 626 Cummins 29,800 762 Danaher 300 17 Deere 5,350 186 Delta Air Lines* 6,475 57 Deluxe 3,800 40 Donaldson 1,600 55 Dover 16,900 504 Dun & Bradstreet 4,100 328
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 14
Market Value Description Shares ($ Thousands) - ------------ ------------- ------------- Emerson Electric 13,300 $ 477 EnPro Industries* 400 7 Equifax 2,100 53 Expeditors International Washington 37,700 1,260 Fastenal 2,800 108 FedEx 12,113 856 First Solar* 800 100 Flowserve 2,600 131 Fluor 19,341 881 Foster Wheeler* 13,500 301 FTI Consulting* 100 6 Gardner Denver* 12,700 314 GATX 2,400 68 General Dynamics 12,226 632 General Electric 252,056 4,328 Goodrich 12,600 424 Graco 1,800 39 Granite Construction 5,400 232 Harsco 2,100 53 Hertz Global Holdings* 800 3 Honeywell International 14,200 396 IDEX 600 14 Illinois Tool Works 300 10 Ingersoll-Rand, Cl A 3,169 50 Iron Mountain* 2,900 63 ITT 200 8 Jacobs Engineering Group* 14,339 642 JB Hunt Transport Services 4,200 112 John Bean Technologies 2,206 19 Joy Global 300 7 Kansas City Southern* 5,300 116 KBR 27,803 383 Kirby* 2,500 63 L-3 Communications Holdings 7,500 504 Landstar System 1,800 58 Lennox International 5,800 161 Lincoln Electric Holdings 700 32 Lockheed Martin 19,950 1,538 Manpower 2,100 66 MSC Industrial Direct, Cl A 1,400 48 Navistar International* 13,800 302 NCI Building Systems* 600 9 Norfolk Southern 10,500 519 Northrop Grumman 19,300 790 Owens Corning* 9,800 156 Paccar 475 13 Pacer International 1,700 16 Pall 3,466 95 Parker Hannifin 1,500 62 Pentair 1,600 40 Precision Castparts 4,542 285 Quanta Services* 48,912 795 Raytheon 31,309 1,528 Republic Services, Cl A 3,200 77
Market Value Description Shares ($ Thousands) - ------------ ------------- ------------- Robert Half International 1,200 $ 25 Ryder System 4,700 169 Shaw Group* 14,800 272 Southwest Airlines 53,534 463 SPX 2,800 105 Steelcase, Cl A 6,800 44 Stericycle* 1,000 57 Terex* 500 7 Textron 2,500 38 Timken 31,380 455 Titan International 6,500 62 Trinity Industries 4,000 59 Tyco International 27,385 572 Union Pacific 25,524 1,277 United Parcel Service, Cl B 29,825 1,718 United Rentals* 5,900 48 United Technologies 5,700 277 URS* 724 27 USG* 1,600 15 UTi Worldwide 2,300 25 Valmont Industries 300 17 Waste Management 2,400 70 WESCO International* 13,700 203 WW Grainger 929 65 ------------- 32,999 ------------- INFORMATION TECHNOLOGY -- 16.6% Accenture, Cl A 38,540 1,194 Activision Blizzard* 8,600 101 Adobe Systems* 25,000 579 Affiliated Computer Services, Cl A* 3,900 158 Agilent Technologies* 8,500 160 Akamai Technologies* 1,600 20 Altera 3,900 57 Amphenol, Cl A 2,700 63 Analog Devices 8,400 144 Anixter International* 8,200 225 Ansys* 500 15 Apple* 27,900 2,586 Applied Materials 3,100 30 Arrow Electronics* 1,000 14 Automatic Data Processing 2,200 90 Avnet* 12,300 175 Avocent* 2,200 41 AVX 9,440 82 BMC Software* 2,400 60 Broadcom, Cl A* 27,800 426 Broadridge Financial Solutions 2,900 33 Brocade Communications Systems* 4,400 14 CA 38,800 653 Ciena* 5,700 42 Cisco Systems* 175,013 2,895 CommScope* 1,000 11
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 15 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ------------ ------------- ------------- Computer Sciences* 14,200 $ 396 Compuware* 1,900 12 Convergys* 4,200 26 Corning 95,606 861 Cree* 400 6 Dell* 79,873 892 Diebold 7,600 213 Dolby Laboratories, Cl A* 1,900 57 Earthlink* 16,500 110 eBay* 198,891 2,611 Electronic Arts* 29,744 567 EMC* 53,600 567 F5 Networks* 4,200 105 Factset Research Systems 300 12 Fidelity National Information Services 344 6 Fiserv* 1,100 38 Flir Systems* 900 28 Global Payments 1,600 58 Google, Cl A* 11,675 3,420 Hewitt Associates, Cl A* 19,200 549 Hewlett-Packard 122,924 4,337 Integrated Device Technology* 13,900 72 Intel 140,956 1,945 International Business Machines 26,827 2,189 Intersil, Cl A 1,000 9 Intuit* 63,000 1,396 Itron* 200 9 j2 Global Communications* 600 12 Jabil Circuit 9,846 65 Juniper Networks* 2,800 49 Lexmark International, Cl A* 600 16 Linear Technology 4,400 88 LSI* 13,600 36 Marvell Technology Group* 2,000 11 Mastercard, Cl A 13,500 1,961 McAfee* 2,200 67 MEMC Electronic Materials* 1,000 15 Mettler Toledo International* 200 16 Microchip Technology 5,800 107 Microsoft 284,334 5,749 Molex 15,438 210 Motorola 103,202 445 Multi-Fineline Electronix* 2,700 28 National Semiconductor 3,700 41 NCR* 6,900 105 NetApp* 12,700 171 NeuStar, Cl A* 16,300 312 Nokia ADR 27,500 390 Nuance Communications* 1,200 11 ON Semiconductor* 2,400 7 Oracle* 41,800 673 QLogic* 37,600 399
Market Value Description Shares ($ Thousands) - ------------ ------------- ------------- Qualcomm 100,555 $ 3,376 Rambus* 100 1 Red Hat* 14,700 136 Research In Motion* 22,000 934 SAIC* 1,600 28 Salesforce.com* 2,900 83 Seagate Technology 129,800 546 Silicon Laboratories* 3,400 71 Sohu.com* 1,300 63 Sybase* 13,400 330 Symantec* 72,500 872 Synopsys* 900 14 Tech Data* 400 7 Teradata* 57,800 776 Teradyne* 5,800 22 Texas Instruments 125,412 1,953 Tyco Electronics 54,593 900 Valueclick* 11,300 70 VeriSign* 69,800 1,507 Visa, Cl A 51,468 2,705 Vishay Intertechnology* 17,100 75 VMware, Cl A* 200 4 Volterra Semiconductor* 22,300 167 Western Digital* 15,100 184 Western Union 49,265 654 Xerox 39,400 275 Xilinx 5,200 85 Yahoo!* 93,333 1,074 Zebra Technologies, Cl A* 1,800 38 ------------- 58,293 ------------- MATERIALS -- 2.4% Air Products & Chemicals 3,300 158 Airgas 300 11 AK Steel Holding 20,682 163 Alcoa 14,900 160 Aptargroup 500 17 Ashland 438 4 Ball 1,200 44 Bemis 900 24 Cabot 24,302 503 Celanese, Cl A 7,400 85 Century Aluminum* 19,100 156 CF Industries Holdings 6,898 363 Cliffs Natural Resources 3,700 88 Crown Holdings* 5,200 83 Domtar* 3,600 5 Dow Chemical 31,000 575 E.I. Du Pont de Nemours 8,900 223 Eastman Chemical 900 30 Ecolab 1,700 65 FMC 3,000 131
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 16
Market Value Description Shares ($ Thousands) - ------------ ------------- ------------- Freeport-McMoRan Copper & Gold, Cl B 4,072 $ 98 Greif, Cl A 500 17 Headwaters* 8,700 50 Intrepid Potash* 9,900 190 Lubrizol 13,200 464 Monsanto 2,300 182 Mosaic 24,826 753 Nalco Holding 11,000 125 Newmont Mining 3,400 114 Nucor 6,400 228 OM Group* 4,800 95 Owens-Illinois* 6,500 131 Pactiv* 400 10 Praxair 20,100 1,187 Reliance Steel & Aluminum 16,200 334 Rohm & Haas 401 27 RPM International 5,700 68 RTI International Metals* 9,800 118 Sealed Air 7,400 117 Sigma-Aldrich 2,800 121 Sonoco Products 17,800 447 Southern Copper 1,200 17 Steel Dynamics 5,800 48 Terra Industries 14,600 215 United States Steel 8,000 243 Valspar 700 14 Vulcan Materials 500 30 Weyerhaeuser 400 15 ------------- 8,346 ------------- TELECOMMUNICATION SERVICES -- 2.6% American Tower, Cl A* 400 11 AT&T 154,824 4,422 CenturyTel 11,300 300 Crown Castle International* 60,800 855 Frontier Communications 800 7 Leap Wireless International* 2,100 42 NII Holdings* 1,300 25 Sprint Nextel 55,100 154 Telephone & Data Systems 3,659 119 US Cellular* 7,881 311 Verizon Communications 83,875 2,739 Windstream 16,850 149 ------------- 9,134 ------------- UTILITIES -- 3.2% AES* 138,726 1,067 Alliant Energy 25,716 820 Ameren 4,500 160 American Electric Power 10,200 319
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ------------ ------------- ------------- Atmos Energy 431 $ 11 Calpine* 45,355 406 Centerpoint Energy 13,900 180 Constellation Energy Group 1,700 42 Dominion Resources 5,600 206 DPL 600 13 DTE Energy 12,700 472 Edison International 27,800 929 Energen 1,100 34 Entergy 4,800 408 Equitable Resources 5,100 170 Exelon 8,943 503 FirstEnergy 11,118 651 FPL Group 7,600 371 Hawaiian Electric Industries 3,500 95 MDU Resources Group 6,074 123 National Fuel Gas 1,000 32 NiSource 17,746 214 NRG Energy* 15,000 355 NV Energy 48,600 461 OGE Energy 100 3 Oneok 5,500 161 PG&E 13,705 521 Pinnacle West Capital 200 6 PPL 12,100 410 Progress Energy 100 4 Public Service Enterprise Group 23,600 729 Puget Energy 2,400 59 Questar 1,700 55 Reliant Energy* 30,109 173 SCANA 1,000 35 Sempra Energy 13,103 611 Southern 2,600 94 TECO Energy 16,836 219 UGI 1,400 33 Vectren 500 14 Wisconsin Energy 2,200 96 Xcel Energy 1,900 36 ------------- 11,301 ------------- Total Common Stock (Cost $399,954) ($ Thousands) 292,432 ------------- U.S. TREASURY OBLIGATIONS -- 2.6% U.S. Treasury Bills 1.438%, 12/04/08 (A) (B) $ 400 400 0.010%, 02/12/09 (A) (B) 8,755 8,754 ------------- Total U.S. Treasury Obligations (Cost $9,155) ($ Thousands) 9,154 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 17 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Diversified Alpha Fund (Concluded) November 30, 2008
Market Value Description Shares ($ Thousands) - ------------ ------------- ------------- CASH EQUIVALENT -- 4.6% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.620%**+ 16,293,364 $ 16,293 ------------- Total Cash Equivalent (Cost $16,293) ($ Thousands) 16,293 ------------- AFFILIATED PARTNERSHIP -- 9.0% SEI LIBOR Plus Portfolio+ 52,626,708 31,576 ------------- Total Affiliated Partnership (Cost $52,627) ($ Thousands) 31,576 ------------- Total Investments -- 99.6% (Cost $478,029) ($ Thousands) $ 349,455 =============
A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG DATE ($ THOUSANDS) - ----------------------- --------- ---------- ------------- S&P 500 Composite Index 251 Dec-2008 $(14,986) S&P 500 E-Mini 12 Dec-2008 (148) -------- $(15,134) ========
Percentages are based on a Net Assets of $350,970 ($ Thousands) * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (see Note 3). +++ Real Estate Investment Trust (A) Zero coupon security. The rate reported is the effective yield at time of purchase. (B) All or a portion of this security has been pledged as collateral for open futures contracts. ADR -- American Depositary Receipt Cl -- Class LIBOR -- London Interbank Offered Rate The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 18 Large Cap Disciplined Equity Fund November 30, 2008 (BAR CHART) SECTOR WEIGHTINGS++: Affiliated Partnerships 23.3% Information Technology 10.4% Energy 9.7% Health Care 9.3% Financials 9.2% Consumer Staples 9.1% Industrials 8.1% Cash Equivalents 5.6% Consumer Discretionary 5.2% Telecommunication Services 2.8% Utilities 2.8% U.S. Treasury Obligations 2.3% Materials 2.2%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- COMMON STOCK -- 78.4% CONSUMER DISCRETIONARY -- 5.9% Abercrombie & Fitch, Cl A 11,600 $ 224 Aeropostale* (A) 21,700 328 Amazon.com* 67,100 2,865 American Eagle Outfitters 154,700 1,485 Apollo Group, Cl A* (A) 53,600 4,119 ArvinMeritor (A) 53,500 211 AutoNation* 42,400 362 Autozone* 20,000 2,184 Bed Bath & Beyond* 49,400 1,002 Best Buy (A) 302,666 6,268 Big Lots* (A) 447,664 7,843 Cablevision Systems, Cl A 58,083 851 Carnival 283,200 5,947 CBS, Cl B (A) 342,440 2,281 Centex 93,900 860 Charlotte Russe Holding* 23,900 120 Coach* 504,100 9,023 Comcast, Cl A (A) 1,602,700 27,791 Darden Restaurants 31,000 567 DeVry 58,500 3,362 DIRECTV Group* (A) 657,900 14,480 DISH Network, Cl A* (A) 73,291 812 DR Horton 152,500 1,048 Family Dollar Stores 52,700 1,464 Ford Motor* (A) 1,017,390 2,737 Fortune Brands 7,500 283 GameStop, Cl A* 29,400 642 Gannett (A) 652,200 5,681 Gap (A) 404,100 5,261 General Motors 103,700 543 Genuine Parts 20,900 818 Goodyear Tire & Rubber* 108,500 698 Gymboree* 137,400 3,456 H&R Block 631,341 12,077 Harley-Davidson (A) 30,900 526 Hasbro 136,800 3,666 Home Depot 433,443 10,017 International Game Technology 101,200 1,084
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Interpublic Group* 263,200 $ 1,076 J.C. Penney (A) 309,600 5,879 Jack in the Box* (A) 57,400 1,005 Jackson Hewitt Tax Service 26,800 345 Jarden* (A) 76,500 955 Johnson Controls 300,136 5,300 Jones Apparel Group (A) 304,000 1,560 KB Home 49,500 576 Kohl's* 91,000 2,972 Leggett & Platt (A) 153,000 2,234 Lennar, Cl A 26,700 190 Limited Brands 105,700 984 Liz Claiborne (A) 299,600 854 Lowe's 93,247 1,927 Macy's 21,000 156 Mattel 100,900 1,380 McDonald's 741,897 43,586 McGraw-Hill (A) 149,603 3,740 Meredith 11,000 178 New York Times, Cl A 69,900 527 News, Cl A 2,104,666 16,627 Nike, Cl B 63,894 3,402 Nordstrom 150,126 1,707 Office Depot* 76,200 150 Omnicom Group 10,500 297 Polo Ralph Lauren, Cl A (A) 75,300 3,253 Pulte Homes 122,200 1,301 RadioShack 119,200 1,174 Rent-A-Center, Cl A* 108,800 1,786 Royal Caribbean Cruises (A) 55,400 522 Scripps Networks Interactive, Cl A 103,200 2,868 Service International 57,700 336 Sherwin-Williams 24,500 1,444 Snap-On (A) 243,496 8,778 Stanley Works 14,900 474 Staples 136,600 2,371 Starwood Hotels & Resorts Worldwide 37,500 632 Target 153,062 5,168 Tiffany 65,800 1,302 Time Warner 1,279,089 11,576 TJX (A) 297,400 6,787 Urban Outfitters* (A) 17,500 318 VF 88,000 4,602 Viacom, Cl B* (A) 286,400 4,559 Walt Disney (A) 1,111,147 25,023 Weight Watchers International 7,300 207 Whirlpool 5,600 220 Wyndham Worldwide 120,607 577 Wynn Resorts* 10,900 434 Yum! Brands (A) 158,100 4,259 ------------- 330,564 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 19 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Disciplined Equity Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- CONSUMER STAPLES -- 10.3% Altria Group 1,246,895 $ 20,050 Archer-Daniels-Midland (A) 828,205 22,676 Avon Products 78,600 1,659 BJ's Wholesale Club* (A) 23,876 854 Brown-Forman, Cl B 205,137 9,003 Bunge (A) 87,200 3,703 Campbell Soup 15,800 506 Clorox 10,800 639 Coca-Cola (A) 1,164,962 54,602 Coca-Cola Enterprises 537,300 4,932 Colgate-Palmolive 343,400 22,345 ConAgra Foods 183,100 2,701 Constellation Brands, Cl A* 83,200 1,062 Corn Products International 167,444 4,588 Costco Wholesale (A) 281,415 14,484 CVS/Caremark 238,908 6,912 Dean Foods* (A) 108,154 1,575 Dr Pepper Snapple Group* 41,400 668 Estee Lauder, Cl A 83,772 2,337 General Mills 37,000 2,337 Hershey 23,800 857 HJ Heinz 59,100 2,295 Hormel Foods 1,781 47 JM Smucker 22,300 1,012 Kellogg 25,000 1,086 Kimberly-Clark 249,894 14,441 Kraft Foods, Cl A 227,603 6,193 Kroger (A) 667,530 18,464 Lorillard 4,200 254 McCormick 63,200 1,881 Molson Coors Brewing, Cl B (A) 284,910 12,670 Pepsi Bottling Group 20,700 374 PepsiAmericas 54,000 905 PepsiCo 705,321 39,992 Philip Morris International (A) 1,096,966 46,248 Procter & Gamble 1,814,913 116,790 Reynolds American 298,000 12,242 Safeway (A) 437,200 9,531 Sara Lee 41,900 385 Supervalu 143,000 1,703 Sysco 618,572 14,506 Tyson Foods, Cl A (A) 983,093 6,597 UST 53,987 3,711 Walgreen 352,784 8,728 Wal-Mart Stores (A) 1,494,745 83,526 ------------- 582,071 ------------- ENERGY -- 11.1% Alpha Natural Resources* 1,623 36 Anadarko Petroleum 194,900 8,001 Apache 313,847 24,260 Arch Coal 218,979 3,368
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Baker Hughes (A) 256,738 $ 8,942 BJ Services 137,900 1,653 Cabot Oil & Gas 88,900 2,664 Cameron International* 30,600 646 Chesapeake Energy 130,200 2,237 Chevron 1,217,431 96,189 Complete Production Services* 166,500 1,364 ConocoPhillips 828,937 43,536 Consol Energy 34,900 1,011 Devon Energy 173,256 12,533 El Paso 246,500 1,822 ENSCO International (A) 203,800 6,605 EOG Resources 144,417 12,278 Exxon Mobil (A) 2,710,030 217,209 Foundation Coal Holdings 115,923 1,654 Halliburton 734,486 12,927 Hess 154,849 8,368 Marathon Oil 801,854 20,993 Massey Energy (A) 78,256 1,222 Murphy Oil 81,200 3,577 Nabors Industries* 152,800 2,215 National Oilwell Varco* 118,700 3,358 Noble (A) 214,100 5,736 Noble Energy 33,700 1,762 Occidental Petroleum (A) 544,198 29,463 Oil States International* 17,200 368 Overseas Shipholding Group (A) 50,400 1,868 Patriot Coal* (A) 31,700 269 Peabody Energy 64,400 1,509 Pioneer Natural Resources (A) 132,742 2,665 Range Resources 56,100 2,326 Rowan 57,500 998 Schlumberger 724,273 36,750 SEACOR Holdings* (A) 10,400 688 Smith International 94,800 2,772 Southwestern Energy* (A) 444,734 15,286 Spectra Energy 67,300 1,094 Sunoco (A) 83,200 3,306 Superior Energy Services* 26,300 443 Transocean* 58,243 3,895 Unit* 26,700 766 Valero Energy 359,000 6,588 Weatherford International* 172,100 2,198 Willbros Group* 31,100 257 Williams 14,200 230 XTO Energy 81,825 3,129 ------------- 623,034 ------------- FINANCIALS -- 10.5% Aflac 220,100 10,191 Allied World Assurance Holdings 12,900 456 Allstate 402,147 10,231 American Express 574,381 13,389
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 20
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- American Financial Group 142,400 $ 2,918 American International Group 327,014 657 Ameriprise Financial 105,136 1,941 AON 165,792 7,510 Apartment Investment & Management, Cl A+++ 124,881 1,432 Aspen Insurance Holdings 38,800 715 Associated Banc (A) 46,054 1,001 Assurant 124,000 2,699 Axis Capital Holdings 23,000 582 Bank of America (A) 3,369,409 54,753 Bank of New York Mellon 604,987 18,277 BB&T 39,200 1,175 BlackRock, Cl A (A) 15,144 1,904 BOK Financial 14,635 679 Boston Properties+++ (A) 169,852 9,070 Brandywine Realty Trust+++ 270,000 1,328 Brown & Brown (A) 64,508 1,284 Capital One Financial (A) 25,500 877 CapitalSource+++ (A) 253,800 1,322 CB Richard Ellis Group, Cl A* 187,900 857 CBL & Associates Properties+++ (A) 254,000 1,034 Charles Schwab 877,481 16,084 Chubb 105,664 5,427 Cincinnati Financial 8,700 254 CIT Group 247,100 825 Citigroup (A) 3,410,025 28,269 CME Group, Cl A 34,415 7,294 CNA Financial (A) 10,600 146 Comerica 12,800 289 Discover Financial Services 281,700 2,882 Endurance Specialty Holdings (A) 48,800 1,314 Equity Residential+++ 50,100 1,524 Federated Investors, Cl B 6,400 127 Fifth Third Bancorp 28,100 269 First Horizon National 34,600 370 First Industrial Realty Trust+++ (A) 65,300 565 First Midwest Bancorp (A) 68,000 1,252 Franklin Resources 21,709 1,319 Goldman Sachs Group 332,828 26,290 Hartford Financial Services Group 267,364 2,259 HCP+++ 171,300 3,541 Hospitality Properties Trust+++ (A) 17,200 197 Hudson City Bancorp 772,119 12,902 Huntington Bancshares (A) 474,300 3,794 Invesco 38,700 486 IPC Holdings 9,400 263 Janus Capital Group 66,570 542 JPMorgan Chase 2,198,259 69,597 Keycorp 27,500 258 Leucadia National 179,300 3,505 Lexington Realty Trust+++ (A) 35,600 173 Lincoln National 34,200 470
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Loews 509,711 $ 13,961 M&T Bank 10,500 675 Marsh & McLennan 143,000 3,647 MBIA (A) 342,400 2,003 Merrill Lynch 448,463 5,929 MetLife 542,193 15,593 Montpelier Re Holdings (A) 61,300 844 Moody's 46,500 1,010 Morgan Stanley (A) 899,316 13,265 NASDAQ OMX Group* 256,334 5,511 Northern Trust 85,124 3,906 NYSE Euronext 98,393 2,343 Pacific Capital Bancorp (A) 11,800 186 Pennsylvania Real Estate Investment Trust+++ (A) 95,900 432 People's United Financial 66,200 1,263 Platinum Underwriters Holdings (A) 138,200 4,247 Plum Creek Timber+++ 90,360 3,216 PNC Financial Services Group 40,600 2,142 Principal Financial Group 9,000 124 Progressive 84,100 1,263 Prologis+++ 15,900 61 Prudential Financial 465,900 10,110 Public Storage+++ (A) 162,484 11,356 Rayonier+++ (A) 167,738 5,602 Regions Financial (A) 677,300 6,902 Simon Property Group+++ 25,681 1,220 SLM* (A) 117,600 1,083 State Street (A) 135,200 5,693 Sterling Financial (A) 96,300 512 Sunstone Hotel Investors+++ 178,400 851 SunTrust Banks 209,900 6,660 T. Rowe Price Group 79,428 2,717 TFS Financial (A) 87,132 1,118 Torchmark 38,200 1,381 Travelers 596,067 26,018 Unum Group 79,900 1,191 US Bancorp (A) 888,025 23,959 Vornado Realty Trust+++ 3,700 198 Wachovia (A) 811,675 4,561 Washington Federal (A) 48,500 819 Webster Financial (A) 76,200 1,143 Wells Fargo (A) 1,959,492 56,610 XL Capital, Cl A (A) 246,300 1,239 Zions Bancorporation 19,200 612 ------------- 591,945 ------------- HEALTH CARE -- 10.6% Abbott Laboratories 424,381 22,233 Aetna 244,842 5,342 Alkermes* 36,200 267 Allergan 38,500 1,451
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 21 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Disciplined Equity Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- American Medical Systems Holdings* (A) 54,100 $ 476 AmerisourceBergen 307,011 9,625 Amgen* (A) 718,965 39,931 Barr Pharmaceuticals* 9,400 615 Baxter International 548,342 29,007 Becton Dickinson 153,100 9,727 Biogen Idec* (A) 187,500 7,933 Boston Scientific* 787,400 4,858 Bristol-Myers Squibb 1,490,552 30,854 C.R. Bard 33,600 2,756 Cardinal Health 288,516 9,382 Celgene* 114,500 5,965 Cephalon* (A) 23,500 1,727 Cigna 409,775 4,962 Coventry Health Care* 65,600 818 Covidien 274,442 10,113 Cubist Pharmaceuticals* (A) 28,200 693 Dentsply International 27,500 717 Dionex* 9,400 482 Eli Lilly (A) 493,972 16,869 Express Scripts* 266,700 15,338 Forest Laboratories* 150,300 3,634 Genentech* (A) 114,059 8,737 Genzyme* 118,909 7,613 Gilead Sciences* 292,963 13,122 Health Management Associates, Cl A* 71,805 105 HLTH* (A) 69,507 651 Hospira* 40,800 1,225 Humana* (A) 454,774 13,748 IMS Health 52,100 685 Intuitive Surgical* 2,100 279 Johnson & Johnson (A) 1,492,227 87,415 King Pharmaceuticals* (A) 581,000 5,583 Laboratory Corp of America Holdings* 37,100 2,351 Life Technologies* 56,924 1,486 McKesson 306,386 10,705 Medco Health Solutions* 328,748 13,807 Medicines* 8,000 103 Medtronic 530,349 16,186 Merck 1,274,694 34,060 Millipore* 6,200 314 Mylan Laboratories* 36,400 343 Patterson* 13,900 262 PerkinElmer 74,237 1,341 Pfizer (A) 4,347,689 71,433 Quest Diagnostics 52,000 2,422 Schering-Plough 430,200 7,232 Sepracor* (A) 67,804 797 St. Jude Medical* 76,600 2,147 Stryker 244,109 9,501 Tenet Healthcare* 167,500 203
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Thermo Fisher Scientific* 115,600 $ 4,125 UnitedHealth Group 211,522 4,444 Varian Medical Systems* 62,800 2,535 Viropharma* (A) 14,900 168 Warner Chilcott, Cl A* (A) 43,900 582 Waters* 20,800 857 Watson Pharmaceuticals* 18,700 444 WellPoint* 202,196 7,198 Wyeth 621,187 22,369 Zimmer Holdings* 73,923 2,759 ------------- 595,112 ------------- INDUSTRIALS -- 9.2% 3M (A) 167,744 11,227 Acuity Brands (A) 18,800 507 Aecom Technology* (A) 47,863 1,268 AGCO* (A) 209,213 5,151 Allied Waste Industries* 272,542 2,927 Avery Dennison 9,100 283 Boeing (A) 736,987 31,418 Bucyrus International, Cl A (A) 90,300 1,764 Burlington Northern Santa Fe (A) 182,500 13,981 C.H. Robinson Worldwide (A) 198,780 10,154 Caterpillar (A) 273,928 11,228 Cintas 18,800 452 Cooper Industries, Cl A 9,200 222 CSX 250,468 9,328 Cummins 569,402 14,565 Danaher 26,200 1,458 Deere (A) 185,100 6,443 Delta Air Lines* (A) 46,250 407 Deluxe 20,300 214 Dover 60,000 1,790 Eaton 11,900 551 Emerson Electric 478,430 17,171 EnPro Industries* (A) 10,600 198 Equifax 40,900 1,041 Expeditors International Washington 122,383 4,091 Fastenal 21,200 816 FedEx 207,838 14,684 Flowserve 62,018 3,121 Fluor (A) 357,929 16,300 General Dynamics 394,675 20,393 General Electric 4,869,474 83,609 GeoEye* 34,900 698 Goodrich 14,800 498 Harsco 118,710 2,986 Honeywell International 547,953 15,266 II-VI* (A) 6,900 139 Illinois Tool Works 28,500 972 Ingersoll-Rand, Cl A 44,670 700 ITT 14,900 624 Jacobs Engineering Group* 245,155 10,976 KBR 306,421 4,219
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 22
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- L-3 Communications Holdings 15,900 $ 1,068 Lockheed Martin 354,248 27,316 NCI Building Systems* (A) 12,200 186 Norfolk Southern 216,300 10,700 Northrop Grumman 270,376 11,072 Paccar 172,569 4,810 Pacer International 93,900 910 Pall 34,200 941 Parker Hannifin 56,600 2,325 Precision Castparts 93,789 5,881 Quanta Services* 271,352 4,412 Raytheon (A) 435,354 21,245 Robert Half International 19,600 409 Rockwell Automation 3,700 115 Rockwell Collins 107,199 3,653 Ryder System 179,500 6,446 Southwest Airlines 773,052 6,687 SPX 48,203 1,799 Stericycle* 15,400 882 Textron 58,800 896 Timken 87,675 1,272 Titan International (A) 158,400 1,511 Tyco International 776,672 16,232 Union Pacific (A) 426,306 21,332 United Parcel Service, Cl B (A) 258,621 14,897 United Rentals* (A) 52,700 425 United Technologies 418,652 20,317 URS* 30,344 1,152 UTi Worldwide 19,252 206 Waste Management 43,600 1,273 WESCO International* (A) 59,200 876 WW Grainger 19,200 1,355 ------------- 516,441 ------------- INFORMATION TECHNOLOGY -- 11.9% Accenture, Cl A 476,702 14,768 Adobe Systems* (A) 270,700 6,269 Advanced Micro Devices* 42,500 100 Affiliated Computer Services, Cl A* 83,900 3,394 Akamai Technologies* 117,400 1,441 Altera 100,000 1,471 Amdocs* 132,166 2,483 Amphenol, Cl A 60,703 1,410 Analog Devices 175,700 3,005 Apple* (A) 350,243 32,457 Applied Materials 123,000 1,178 Automatic Data Processing 210,053 8,625 Avocent* 43,500 818 AVX (A) 33,402 292 BMC Software* 99,600 2,486 Broadcom, Cl A* (A) 528,800 8,096 Ciena* 18,400 136 Cisco Systems* 2,930,978 48,478
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Citrix Systems* 7,900 $ 211 Cognizant Technology Solutions, Cl A* 45,100 866 Computer Sciences* 88,329 2,461 Compuware* 119,700 760 Convergys* 140,700 885 Corning 1,266,771 11,414 Daktronics (A) 59,900 546 Dell* 1,631,298 18,222 Earthlink* (A) 204,400 1,361 eBay* 857,478 11,259 Electronic Arts* 198,713 3,788 EMC* (A) 624,361 6,600 Fidelity National Information Services 13,900 239 Fiserv* 35,200 1,202 Google, Cl A* (A) 132,024 38,678 Harris 12,100 422 Hewlett-Packard (A) 1,996,962 70,453 IAC* 23,150 342 Ingram Micro, Cl A* 56,362 607 Integrated Device Technology* 14,800 77 Intel (A) 2,536,718 35,007 International Business Machines (A) 705,586 57,576 Intuit* 87,100 1,930 Jabil Circuit 32,900 216 JDS Uniphase* 72,500 197 Juniper Networks* 19,900 346 Lender Processing Services (A) 38,744 854 Lexmark International, Cl A* 112,700 2,950 Linear Technology 91,500 1,825 LSI* (A) 442,300 1,185 Mastercard, Cl A (A) 70,900 10,302 MEMC Electronic Materials* (A) 342,556 5,145 Microchip Technology 147,200 2,723 Microsoft (A) 4,520,347 91,402 Molex (A) 252,656 3,436 Motorola 1,159,341 4,997 National Semiconductor 276,400 3,040 NCR* 90,275 1,370 NetApp* 74,100 1,000 Novellus Systems* 41,800 518 Nvidia* 237,350 1,773 Oracle* (A) 1,336,558 21,505 QLogic* 196,600 2,088 Qualcomm 1,164,457 39,091 Salesforce.com* 20,600 590 SanDisk* 45,800 366 Silicon Laboratories* (A) 147,900 3,100 Sohu.com* (A) 87,958 4,269 Symantec* (A) 854,800 10,283 Synaptics* (A) 37,100 815 Teradata* 6,400 86 Teradyne* 135,300 513 Texas Instruments 928,038 14,450
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 23 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Disciplined Equity Fund (Concluded) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Total System Services 29,700 $ 424 Tyco Electronics 896,864 14,780 Valueclick* 123,000 759 VeriSign* 91,300 1,971 Volterra Semiconductor* (A) 82,500 617 Western Digital* 45,100 550 Western Union 617,656 8,196 Xerox 679,500 4,750 Xilinx 123,600 2,022 Yahoo!* 124,481 1,433 ------------- 667,750 ------------- MATERIALS -- 2.5% Air Products & Chemicals 111,900 5,344 Airgas 11,200 400 AK Steel Holding (A) 341,212 2,689 Alcoa 125,300 1,348 Allegheny Technologies 83,300 1,912 Ashland 9,890 94 Ball 46,700 1,702 Bemis 16,100 435 Celanese, Cl A 23,000 266 Century Aluminum* (A) 113,800 927 CF Industries Holdings (A) 99,460 5,235 Cliffs Natural Resources 29,000 689 Crown Holdings* 46,581 748 Dow Chemical 344,800 6,396 E.I. Du Pont de Nemours 594,062 14,887 Eastman Chemical 30,900 1,017 Ecolab 100,200 3,847 FMC 30,065 1,314 Freeport-McMoRan Copper & Gold, Cl B 138,633 3,326 Greif, Cl A 27,800 922 Headwaters* (A) 51,100 290 International Flavors & Fragrances 25,400 776 International Paper 16,800 209 Intrepid Potash* (A) 39,400 756 Monsanto 175,146 13,872 Mosaic 353,331 10,724 Nalco Holding (A) 514,256 5,868 Newmont Mining (A) 485,084 16,323 Nucor 97,400 3,475 OM Group* (A) 51,700 1,020 Pactiv* 16,900 422 PPG Industries 10,100 444 Praxair 56,600 3,342 Rock-Tenn, Cl A 18,900 638 Rohm & Haas 3,483 238 Sealed Air 177,600 2,811 Sigma-Aldrich 112,300 4,841 Terra Industries (A) 572,836 8,426
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- United States Steel (A) 311,700 $ 9,476 Vulcan Materials 21,000 1,260 ------------- 138,709 ------------- TELECOMMUNICATION SERVICES -- 3.2% American Tower, Cl A* 52,900 1,441 AT&T (A) 3,845,133 109,817 NII Holdings* 120,414 2,341 Sprint Nextel 25,759 72 Telephone & Data Systems 48,506 1,574 US Cellular* 84,586 3,335 Verizon Communications 1,610,722 52,590 Windstream 744,513 6,596 ------------- 177,766 ------------- UTILITIES -- 3.2% AES* (A) 519,900 3,998 Allegheny Energy 159,959 5,639 Alliant Energy 75,502 2,406 Ameren 24,600 875 American Electric Power 300,900 9,415 Aqua America (A) 87,329 1,894 Atmos Energy 3,528 88 Calpine* (A) 449,661 4,029 Centerpoint Energy 252,180 3,261 Consolidated Edison 2,000 81 Constellation Energy Group 59,900 1,465 Dominion Resources (A) 279,151 10,278 DPL (A) 45,500 947 Duke Energy (A) 422,700 6,577 Dynegy, Cl A* (A) 192,269 429 Edison International 404,655 13,515 Entergy 114,000 9,701 Exelon 377,758 21,234 FirstEnergy 220,226 12,901 FPL Group 102,300 4,988 Integrys Energy Group 8,100 358 MDU Resources Group 63,865 1,298 Nicor (A) 51,336 2,094 NiSource 359,500 4,332 NV Energy (A) 207,600 1,968 Oneok 50,700 1,488 Pepco Holdings 29,100 524 PG&E (A) 312,567 11,890 Pinnacle West Capital 39,400 1,198 PPL 267,100 9,052 Progress Energy 10,500 417 Public Service Enterprise Group 325,100 10,046 Questar 90,100 2,900 Reliant Energy* (A) 527,336 3,027 Sempra Energy 87,781 4,097
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 24
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Southern 100,600 $ 3,654 TECO Energy 247,451 3,217 UGI 69,707 1,628 Wisconsin Energy 21,900 952 Xcel Energy 126,700 2,383 ------------- 180,244 ------------- Total Common Stock (Cost $5,566,918) ($ Thousands) 4,403,636 ------------- U.S. TREASURY OBLIGATIONS (B) (C) -- 2.6% U.S. Treasury Bills 1.492%, 12/04/08 $ 4,845 4,845 0.774%, 07/30/09 800 796 0.030%, 12/18/08 2,225 2,225 0.010%, 02/12/09 141,930 141,916 ------------- Total U.S. Treasury Obligations (Cost $149,792) ($ Thousands) 149,782 ------------- CASH EQUIVALENTS -- 6.4% First Union Cash Management Program, 0.860%** 4,589,325 4,589 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.620%**+ 352,327,501 352,328 ------------- Total Cash Equivalents (Cost $356,917) ($ Thousands) 356,917 ------------- AFFILIATED PARTNERSHIPS -- 26.5% SEI LIBOR Plus Portfolio+ 109,827,504 658,965 SEI Liquidity Fund, L.P., 1.630%**+ (D) 841,399,367 830,869 ------------- Total Affiliated Partnerships (Cost $1,939,674) ($ Thousands) 1,489,834 ------------- Total Investments -- 113.9% (Cost $8,013,301) ($ Thousands) $ 6,400,169 =============
A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows:
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ----------------------- ------------ ---------- -------------- 3 Months Euribor 5 Mar-2009 $ 1 90-Day Euro$ 6 Mar-2009 1 90-Day Sterling 21 Mar-2009 (3) Amsterdam Index (1) Dec-2008 (5) Australian 10-Year Bond 65 Dec-2008 19 CAC40 10 Euro (2) Dec-2008 (7) Canadian 10-Year Bond 51 Mar-2009 63 Euro-Bund (41) Dec-2008 (21) FTSE Index (1) Dec-2008 11 Japan 10-Year Bond 4 Dec-2008 11
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ----------------------- ------------ ---------- -------------- Long Gilt 10-Year Bond (1) Mar-2009 $ -- S&P 500 Composite Index 5,594 Dec-2008 (273,525) S&P 500 E-Mini (4) Dec-2008 72 SPI 200 Index (2) Dec-2008 26 Topix Index (1) Dec-2008 36 U.S. 10-Year Note (74) Mar-2009 (73) --------- $(273,394) =========
A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2008 is as follows:
UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) - -------- ----------- ----------- -------------- 12/17/08 AUD 50 USD 40 $ 7 12/17/08 CAD 5,500 USD 4,474 41 12/17/08 CHF 10,875 USD 9,719 754 12/17/08 EUR 4,125 USD 5,598 366 12/17/08 GBP 3,313 USD 5,831 749 12/17/08 JPY 342,500 USD 3,496 (103) 12/17/08 NOK 500 USD 86 14 12/17/08 NZD 1,425 USD 949 170 12/17/08 SEK 4,000 USD 606 112 12/17/08 USD 536 AUD 650 (113) 12/17/08 USD 3,187 CAD 3,400 (447) 12/17/08 USD 9,271 CHF 10,375 (718) 12/17/08 USD 3,037 EUR 2,125 (342) 12/17/08 USD 3,411 GBP 1,938 (438) 12/17/08 USD 5,329 JPY 530,000 242 12/17/08 USD 1,519 NOK 8,500 (307) 12/17/08 USD 691 NZD 1,025 (131) 12/17/08 USD 605 SEK 4,000 (111) ----- $(255) =====
Percentages are based on a Net Assets of $5,618,398 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (see Note 3). +++ Real Estate Investment Trust (A) This security or a partial position of this security is on loan at November 30, 2008. The total value of securities on loan at November 30, 2008 was $819,640 ($ Thousands). (B) Zero coupon security. The rate reported is the effective yield at time of purchase. (C) Security, or portion thereof, has been pledged as collateral on open futures contracts. (D) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of November 30, 2008 was $830,869 ($ Thousands). AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class EUR -- Euro GBP -- British Pound Sterling JPY -- Japanese Yen LIBOR -- London Interbank Offered Rate L.P. -- Limited Partnership NOK -- Norwegian Krone NZD -- New Zealand Dollar SEK -- Swedish Krone USD -- U.S. Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 25 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) Affiliated Partnership 14.3% Information Technology 13.0% Financials 11.7% Health Care 11.7% Energy 11.6% Consumer Staples 10.4% Industrials 9.4% Consumer Discretionary 7.2% Utilities 3.9% Telecommunication Services 3.1% Materials 2.8% Cash Equivalents 0.8% U.S. Treasury Obligations 0.1%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- COMMON STOCK -- 99.0% CONSUMER DISCRETIONARY -- 8.4% Abercrombie & Fitch, Cl A 3,602 $ 70 Advance Auto Parts 3,808 116 Amazon.com* (A) 11,989 512 American Eagle Outfitters 7,171 69 AnnTaylor Stores* 1,847 8 Apollo Group, Cl A* 4,864 374 Ascent Media, Cl A* (A) 362 7 Autoliv 2,118 40 AutoNation* (A) 4,132 35 Autozone* 1,507 165 Barnes & Noble 1,238 19 Bed Bath & Beyond* 10,015 203 Best Buy (A) 12,847 266 Big Lots* 2,200 39 Black & Decker 2,468 105 BorgWarner 4,682 111 Boyd Gaming 1,651 7 Brinker International 2,683 18 Brink's Home Security Holdings* 1,300 26 Burger King Holdings 2,700 58 Cablevision Systems, Cl A 8,742 128 Career Education* (A) 3,759 69 Carmax* (A) 7,260 55 Carnival 16,700 351 CBS, Cl B (A) 23,169 154 Centex 3,256 30 Central European Media Enterprises,Cl A* 1,000 15 Chipotle Mexican Grill, Cl A* (A) 1,100 55 Choice Hotels International 884 22 Clear Channel Outdoor Holdings, Cl A* 700 5 Coach* 13,167 236 Comcast, Cl A 105,625 1,832 CTC Media* 1,100 5 Darden Restaurants 5,622 103 DeVry 2,400 138 Dick's Sporting Goods* 2,958 37 DIRECTV Group* (A) 22,658 499
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Discovery Communications, Cl C* 11,021 $ 167 DISH Network, Cl A* (A) 6,562 73 Dollar Tree* (A) 3,553 150 DR Horton (A) 10,268 70 DreamWorks Animation SKG, Cl A* 2,634 61 Eastman Kodak (A) 9,167 69 EW Scripps, Cl A (A) 757 2 Expedia* 6,834 57 Family Dollar Stores (A) 5,462 152 Foot Locker 4,469 30 Ford Motor* (A) 84,384 227 Fortune Brands (A) 5,920 224 GameStop, Cl A* 6,400 140 Gannett (A) 9,359 82 Gap 18,759 244 Garmin (A) 4,100 70 General Motors (A) 15,281 80 Gentex (A) 3,932 34 Genuine Parts 6,271 245 Goodyear Tire & Rubber* 7,752 50 Guess? 1,800 24 H&R Block 12,525 240 Hanesbrands* 2,643 34 Harley-Davidson 9,303 158 Harman International Industries 1,568 24 Hasbro 4,867 131 Hearst-Argyle Television, Cl A 863 7 Hillenbrand 1,724 27 Home Depot 63,715 1,472 HSN* 932 3 International Game Technology 12,243 131 International Speedway, Cl A 912 24 Interpublic Group* 15,275 62 Interval Leisure Group* 932 5 ITT Educational Services* (A) 1,521 137 J.C. Penney 8,651 164 Jarden* 2,000 25 John Wiley & Sons, Cl A 1,242 45 Johnson Controls 22,645 400 Jones Apparel Group (A) 2,953 15 KB Home (A) 2,080 24 Kohl's* (A) 11,819 386 Lamar Advertising, Cl A* (A) 2,140 32 Las Vegas Sands* (A) 2,893 15 Leggett & Platt (A) 4,919 72 Lennar, Cl A (A) 3,530 25 Liberty Global, Cl A* (A) 12,771 185 Liberty Media-Capital, Ser A* 3,492 12 Liberty Media-Entertainment, Cl A* 19,968 237 Liberty Media-Interactive, Cl A* (A) 18,247 48 Limited Brands 11,457 107 Liz Claiborne (A) 2,661 7 LKQ* 4,100 43
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 26
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Lowe's 55,110 $ 1,139 Macy's 16,730 124 Marriott International, Cl A 11,450 192 Mattel 14,042 192 McDonald's (A) 42,680 2,507 McGraw-Hill 12,339 308 MDC Holdings (A) 816 25 Meredith (A) 1,358 22 MGM Mirage* (A) 3,939 47 Mohawk Industries* (A) 1,766 54 Morningstar* (A) 500 16 New York Times, Cl A (A) 4,824 36 Newell Rubbermaid 10,965 146 News, Cl A 87,785 693 Nike, Cl B 13,348 711 Nordstrom (A) 7,412 84 NVR* (A) 124 54 Office Depot* 6,889 14 OfficeMax 1,974 11 Omnicom Group 12,244 346 O'Reilly Automotive* 5,340 139 Orient-Express Hotels, Cl A 1,000 7 Panera Bread, Cl A* (A) 762 34 Penn National Gaming* 2,089 44 Penske Auto Group (A) 1,200 9 PetSmart 4,073 71 Phillips-Van Heusen 1,400 24 Polo Ralph Lauren, Cl A (A) 1,780 77 priceline.com* (A) 1,500 104 Pulte Homes 8,618 92 RadioShack (A) 3,871 38 Regal Entertainment Group, Cl A 1,988 18 Ross Stores 5,271 140 Royal Caribbean Cruises (A) 4,600 43 Saks* 3,306 14 Scientific Games, Cl A* (A) 2,366 36 Scripps Networks Interactive, Cl A 2,872 80 Sears Holdings* (A) 2,428 88 Service International 8,794 51 Sherwin-Williams 3,837 226 Signet Jewelers 2,600 20 Sirius XM Radio* (A) 80,402 17 Snap-On 1,891 68 Stanley Works 2,509 80 Staples 26,764 465 Starbucks* 28,006 250 Starwood Hotels & Resorts Worldwide 7,384 125 Strayer Education 600 144 Target (A) 29,785 1,006 Thor Industries (A) 1,000 16 Ticketmaster Entertainment* 932 4 Tiffany 4,025 80 Tim Hortons 7,186 179
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Time Warner 135,037 $ 1,222 Time Warner Cable, Cl A* (A) 6,200 126 TJX (A) 16,254 371 Toll Brothers* (A) 4,151 83 TRW Automotive Holdings* 993 4 Urban Outfitters* (A) 3,720 68 VF 3,417 179 Viacom, Cl B* 21,469 342 Virgin Media (A) 9,820 46 WABCO Holdings 2,224 33 Walt Disney 71,784 1,617 Warner Music Group 662 2 Washington Post, Cl B 257 102 Weight Watchers International 962 27 Whirlpool (A) 2,987 118 Williams-Sonoma (A) 3,362 23 Wyndham Worldwide 5,868 28 Wynn Resorts* (A) 2,296 91 Yum! Brands 18,048 486 ------------- 28,008 ------------- CONSUMER STAPLES -- 12.1% Alberto-Culver, Cl B 2,887 62 Altria Group 78,968 1,270 Archer-Daniels-Midland 24,379 667 Avon Products 16,306 344 Bare Escentuals* (A) 2,500 12 BJ's Wholesale Club* (A) 1,872 67 Brown-Forman, Cl B 4,018 176 Bunge (A) 4,700 200 Campbell Soup 8,378 268 Central European Distribution* 1,300 31 Church & Dwight 2,632 156 Clorox 5,303 314 Coca-Cola 87,320 4,093 Coca-Cola Enterprises 12,715 117 Colgate-Palmolive 19,175 1,248 ConAgra Foods 17,486 258 Constellation Brands, Cl A* 7,431 95 Corn Products International 3,000 82 Costco Wholesale (A) 16,381 843 CVS/Caremark 53,852 1,558 Dean Foods* 4,087 59 Del Monte Foods 5,258 31 Dr Pepper Snapple Group* 9,900 160 Energizer Holdings* 1,841 80 Estee Lauder, Cl A 3,954 110 General Mills 12,696 802 Hansen Natural* (A) 2,900 86 Herbalife 1,800 32 Hershey 5,998 216 HJ Heinz 12,037 468
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 27 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Hormel Foods 2,339 $ 62 JM Smucker 4,611 209 Kellogg 9,503 413 Kimberly-Clark 15,818 914 Kraft Foods, Cl A 55,415 1,508 Kroger (A) 24,973 691 Lorillard 6,650 402 McCormick (A) 4,393 131 Molson Coors Brewing, Cl B 4,462 199 NBTY* 1,800 26 Pepsi Bottling Group 4,382 79 PepsiAmericas 1,494 25 PepsiCo 59,637 3,381 Philip Morris International 79,268 3,342 Procter & Gamble 113,174 7,283 Reynolds American 6,610 271 Rite Aid* (A) 19,101 10 Safeway 16,720 364 Sara Lee 27,251 250 Smithfield Foods* (A) 3,975 27 Supervalu 8,589 102 Sysco 22,848 536 Tyson Foods, Cl A 9,065 61 UST 5,669 390 Walgreen 37,425 926 Wal-Mart Stores 84,279 4,710 Whole Foods Market (A) 3,952 42 ------------- 40,259 ------------- ENERGY -- 13.6% Alpha Natural Resources* 2,100 47 Anadarko Petroleum 17,740 728 Apache 12,559 971 Arch Coal 4,612 71 Atwood Oceanics* 1,900 34 Baker Hughes 11,701 408 BJ Services 11,588 139 Cabot Oil & Gas 4,100 123 Cameron International* (A) 8,444 178 Chesapeake Energy (A) 21,966 377 Chevron 77,702 6,139 Cimarex Energy 2,700 77 CNX Gas* 800 25 ConocoPhillips 57,976 3,045 Consol Energy 7,044 204 Continental Resources* 1,000 20 Denbury Resources* 9,848 94 Devon Energy 16,813 1,216 Diamond Offshore Drilling (A) 2,709 200 Dresser-Rand Group* 2,734 46 El Paso 27,203 201 Encore Acquisition* 1,800 48 ENSCO International 5,623 182
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- EOG Resources 9,345 $ 795 Exterran Holdings* (A) 2,200 39 Exxon Mobil (A) 198,312 15,895 FMC Technologies* (A) 5,060 139 Forest Oil* 2,814 49 Foundation Coal Holdings 1,300 19 Frontier Oil 3,000 36 Frontline (A) 1,500 44 Global Industries* (A) 2,500 7 Halliburton 33,097 583 Helix Energy Solutions Group* (A) 2,400 15 Helmerich & Payne 3,450 87 Hercules Offshore* 2,000 12 Hess 10,712 579 Holly 1,300 24 IHS, Cl A* 1,400 51 Key Energy Services* 4,300 20 Marathon Oil 26,776 701 Mariner Energy* 3,100 34 Massey Energy 2,361 37 Murphy Oil 7,254 320 Nabors Industries* 11,000 159 National Oilwell Varco* 15,780 446 Newfield Exploration* 5,199 117 Noble 10,300 276 Noble Energy 6,562 343 Occidental Petroleum (A) 30,954 1,676 Oceaneering International* 1,500 39 Oil States International* (A) 1,700 36 Overseas Shipholding Group (A) 727 27 Patriot Coal* (A) 2,234 19 Patterson-UTI Energy 6,332 79 Peabody Energy 10,474 245 PetroHawk Energy* 9,800 171 Pioneer Natural Resources 4,744 95 Plains Exploration & Production* 4,291 99 Pride International* 6,729 109 Quicksilver Resources* 2,802 17 Range Resources (A) 5,939 246 Rowan 3,686 64 SandRidge Energy* 3,500 31 Schlumberger 44,900 2,278 SEACOR Holdings* 600 40 Smith International (A) 8,331 244 Southern Union 3,768 52 Southwestern Energy* 12,976 446 Spectra Energy 24,109 392 St. Mary Land & Exploration 1,600 32 Sunoco 4,556 181 Superior Energy Services* 2,200 37 Teekay (A) 1,000 16 Tesoro (A) 3,846 35 Tetra Technologies* 2,000 10
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 28
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Tidewater 2,170 $ 86 Transocean* (A) 12,096 809 Unit* 1,527 44 Valero Energy 20,136 369 W&T Offshore 900 13 Walter Industries 1,600 29 Weatherford International* 26,000 332 Whiting Petroleum* 1,400 54 Williams 22,346 362 XTO Energy 20,888 799 ------------- 45,013 ------------- FINANCIALS -- 13.6% Affiliated Managers Group* (A) 1,233 35 Aflac 17,956 831 Alexandria Real Estate Equities+++ 900 40 Alleghany* 134 36 Allied Capital (A) 5,864 14 Allied World Assurance Holdings 1,500 53 Allstate 20,925 532 AMB Property+++ (A) 3,144 54 American Capital (A) 6,121 26 American Express 38,034 886 American Financial Group 2,414 49 American International Group (A) 90,476 182 American National Insurance 422 31 AmeriCredit* (A) 3,072 23 Ameriprise Financial 8,700 161 Annaly Capital Management+++ 20,611 296 AON 10,550 478 Apartment Investment & Management, Cl A+++ 2,981 34 Arch Capital Group* 1,500 102 Arthur J Gallagher (A) 3,704 92 Associated Banc (A) 4,184 91 Assurant 4,693 102 Astoria Financial 2,314 43 AvalonBay Communities+++ (A) 2,989 181 Axis Capital Holdings 5,800 147 Bancorpsouth (A) 2,700 60 Bank of America 188,606 3,065 Bank of Hawaii 1,982 88 Bank of New York Mellon 43,109 1,302 BB&T (A) 20,706 621 BlackRock, Cl A 685 86 BOK Financial 775 36 Boston Properties+++ 4,584 245 Brandywine Realty Trust+++ 2,500 12 BRE Properties+++ (A) 1,320 39 Brown & Brown (A) 3,724 74 Camden Property Trust+++ (A) 1,447 38 Capital One Financial (A) 14,225 489 CapitalSource+++ (A) 5,982 31
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Capitol Federal Financial (A) 527 $ 23 CB Richard Ellis Group, Cl A* 5,117 23 CBL & Associates Properties+++ 1,906 8 Charles Schwab 35,385 649 Chubb 13,818 710 Cincinnati Financial (A) 5,686 166 CIT Group (A) 9,024 30 Citigroup (A) 205,145 1,701 City National 1,338 59 CME Group, Cl A 2,574 545 CNA Financial 700 10 Comerica 5,953 134 Commerce Bancshares 2,494 109 Conseco* 5,277 18 Cullen/Frost Bankers 2,368 128 Developers Diversified Realty+++ (A) 3,953 19 Digital Realty Trust+++ 2,900 79 Discover Financial Services 18,589 190 Douglas Emmett+++ (A) 3,900 40 Duke Realty+++ 4,609 38 E*Trade Financial* (A) 11,438 15 Eaton Vance 3,310 63 Endurance Specialty Holdings (A) 1,400 38 Equity Residential+++ 10,387 316 Erie Indemnity, Cl A 1,119 42 Essex Property Trust+++ 869 75 Everest Re Group 2,400 188 Fannie Mae (A) 28,933 34 Federal Home Loan Mortgage (A) 17,707 21 Federal Realty Investment Trust+++ 2,296 133 Federated Investors, Cl B 3,658 73 Fidelity National Financial, Cl A 7,004 86 Fifth Third Bancorp (A) 19,582 187 First American 3,784 91 First Citizens BancShares, Cl A 200 28 First Horizon National (A) 6,110 65 Forest City Enterprises, Cl A 1,942 12 Franklin Resources 5,903 359 Fulton Financial (A) 5,795 64 General Growth Properties+++ (A) 6,040 8 Genworth Financial, Cl A 14,092 20 GLG Partners (A) 1,900 5 Goldman Sachs Group 14,875 1,175 Hanover Insurance Group 1,693 68 Hartford Financial Services Group 12,710 107 HCC Insurance Holdings 3,741 87 HCP+++ 9,774 202 Health Care+++ (A) 3,983 151 Hospitality Properties Trust+++ 2,466 28 Host Hotels & Resorts+++ (A) 20,500 154 HRPT Properties Trust+++ (A) 8,002 22 Hudson City Bancorp 19,828 331 Huntington Bancshares (A) 14,534 116
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 29 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- IntercontinentalExchange* (A) 2,700 $ 199 Invesco 15,100 189 Investment Technology Group* 1,200 20 iStar Financial+++ (A) 3,295 4 Janus Capital Group 5,165 42 Jefferies Group (A) 4,214 52 Jones Lang LaSalle 800 19 JPMorgan Chase (A) 146,934 4,652 Keycorp 19,195 180 Kilroy Realty+++ 900 27 Kimco Realty+++ (A) 8,544 121 Lazard, Cl A 3,100 97 Legg Mason (A) 5,581 101 Leucadia National 7,020 137 Liberty Property Trust+++ 2,906 56 Lincoln National 10,288 141 Loews 12,036 330 M&T Bank 2,583 166 Macerich+++ 2,368 32 Mack-Cali Realty+++ 1,898 36 Markel* 350 108 Marsh & McLennan 19,465 496 Marshall & Ilsley (A) 10,160 157 MBIA (A) 6,359 37 Mercury General (A) 696 32 Merrill Lynch 57,849 765 MetLife (A) 16,609 478 MF Global* (A) 2,800 7 MGIC Investment 4,615 13 Moody's (A) 7,727 168 Morgan Stanley (A) 41,978 619 MSCI, Cl A* 1,300 20 NASDAQ OMX Group* (A) 5,400 116 National City (A) 79,576 160 Nationwide Financial Services, Cl A (A) 1,861 95 Nationwide Health Properties+++ 3,900 88 New York Community Bancorp (A) 13,372 174 Northern Trust 8,405 386 NYSE Euronext 10,200 243 Old Republic International (A) 7,690 79 OneBeacon Insurance Group, Cl A 1,100 12 PartnerRe 2,100 147 People's United Financial 13,334 254 Philadelphia Consolidated Holding* 2,248 138 Plum Creek Timber+++ 6,621 236 PNC Financial Services Group 13,103 692 Popular (A) 9,430 59 Principal Financial Group 10,218 141 Progressive 25,880 389 Prologis+++ (A) 7,988 31 Protective Life 1,809 17 Prudential Financial 16,563 359 Public Storage+++ 4,868 340
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Raymond James Financial (A) 3,021 $ 66 Rayonier+++ 2,503 84 Regency Centers+++ 2,208 79 Regions Financial 26,687 272 Reinsurance Group of America (A) 1,899 77 RenaissanceRe Holdings 2,400 113 SEI+ (B) 4,442 69 Simon Property Group+++ (A) 8,552 406 SL Green Realty+++ (A) 1,868 35 SLM* (A) 18,214 168 Sovereign Bancorp 11,858 29 St. Joe* (A) 3,761 99 StanCorp Financial Group 1,442 48 State Street (A) 16,194 682 Student Loan 102 4 SunTrust Banks 13,446 427 Synovus Financial (A) 9,072 76 T. Rowe Price Group (A) 9,980 341 Taubman Centers+++ 1,500 36 TCF Financial (A) 4,201 70 TD Ameritrade Holding* 9,645 128 TFS Financial 3,700 47 Torchmark (A) 3,550 128 Transatlantic Holdings 955 38 Travelers 22,844 997 Tree.com* 155 -- UDR+++ (A) 5,219 79 Unitrin 1,260 24 Unum Group 13,505 201 US Bancorp 65,543 1,768 Valley National Bancorp (A) 4,358 84 Ventas+++ 5,244 121 Vornado Realty Trust+++ (A) 5,210 279 Wachovia (A) 82,188 462 Waddell & Reed Financial, Cl A 2,900 39 Washington Federal (A) 3,063 52 Webster Financial 1,346 20 Weingarten Realty Investors+++ (A) 2,067 30 Wells Fargo (A) 124,086 3,585 Wesco Financial 41 12 White Mountains Insurance Group 347 94 Whitney Holding (A) 2,257 40 Wilmington Trust (A) 2,292 56 WR Berkley 5,614 160 XL Capital, Cl A (A) 10,300 52 Zions Bancorporation (A) 4,502 144 ------ 45,226 ------ HEALTH CARE -- 13.7% Abbott Laboratories (A) 58,076 3,043 Abraxis Bioscience* 140 8 Advanced Medical Optics* 1,627 9 Aetna 18,534 404
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 30
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Allergan 11,596 $ 437 AmerisourceBergen 6,262 196 Amgen* (A) 40,967 2,275 Amylin Pharmaceuticals* (A) 3,700 28 Barr Pharmaceuticals* 4,182 273 Baxter International 23,675 1,252 Beckman Coulter 2,012 88 Becton Dickinson 9,244 587 Biogen Idec* 11,000 465 BioMarin Pharmaceutical* (A) 3,000 51 Boston Scientific* 57,239 353 Bristol-Myers Squibb 74,613 1,545 Brookdale Senior Living (A) 1,200 5 C.R. Bard 3,785 311 Cardinal Health 13,629 443 Celgene* (A) 16,492 859 Cephalon* (A) 2,648 195 Cerner* (A) 2,174 78 Charles River Laboratories International* 2,043 47 Cigna 11,055 134 Community Health Systems* 2,762 36 Cooper 1,604 22 Covance* 2,536 99 Coventry Health Care* 4,862 61 Covidien 18,900 696 DaVita* 4,108 206 Dentsply International (A) 5,798 151 Edwards Lifesciences* 1,807 90 Eli Lilly 37,661 1,286 Endo Pharmaceuticals Holdings* 4,797 106 Express Scripts* 8,022 461 Forest Laboratories* 11,673 282 Genentech* 17,485 1,339 Gen-Probe* 1,727 64 Genzyme* 10,153 650 Gilead Sciences* 34,750 1,557 Health Management Associates, Cl A* 6,222 9 Health Net* 3,002 27 Henry Schein* 3,584 128 Hill-Rom Holdings (A) 1,724 35 HLTH* (A) 3,276 31 Hologic* (A) 10,000 141 Hospira* (A) 6,181 186 Humana* 6,575 199 Idexx Laboratories* (A) 1,952 60 Illumina* 3,900 86 IMS Health 5,861 77 Intuitive Surgical* (A) 1,500 199 Inverness Medical Innovations* 2,400 42 Johnson & Johnson 105,809 6,198 Kinetic Concepts* 2,413 52 King Pharmaceuticals* 8,226 79 Laboratory Corp of America Holdings* 4,311 273 Life Technologies* (A) 6,871 179
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- LifePoint Hospitals* 1,376 $ 28 Lincare Holdings* 2,327 56 McKesson 10,566 369 Medco Health Solutions* 19,120 803 Medtronic 42,385 1,294 Merck 80,740 2,157 Millipore* 1,786 90 Mylan Laboratories* (A) 9,919 93 Omnicare 4,231 102 Patterson* (A) 4,883 92 Pediatrix Medical Group* 1,400 44 PerkinElmer 4,834 87 Perrigo 3,100 107 Pfizer 254,255 4,177 Pharmaceutical Product Development 4,284 113 Quest Diagnostics 6,044 281 Resmed* 3,055 111 Schering-Plough 61,209 1,029 Sepracor* 2,861 34 St. Jude Medical* 12,946 363 Stryker 11,704 456 Techne 1,241 77 Teleflex 1,640 78 Tenet Healthcare* 15,994 19 Thermo Fisher Scientific* (A) 15,925 568 UnitedHealth Group 46,429 976 Universal Health Services, Cl B 1,588 59 Varian Medical Systems* 4,830 195 VCA Antech* 2,339 45 Vertex Pharmaceuticals* 5,900 145 Warner Chilcott, Cl A* 3,200 42 Waters* 3,872 160 Watson Pharmaceuticals* 3,318 79 WellCare Health Plans* 1,100 10 WellPoint* 19,931 710 Wyeth 50,240 1,809 Zimmer Holdings* 8,825 329 ------ 45,380 ------ INDUSTRIALS -- 11.0% 3M 26,546 1,777 Aecom Technology* 3,300 87 AGCO* (A) 3,000 74 Alexander & Baldwin (A) 1,082 28 Alliant Techsystems* 1,336 110 Allied Waste Industries* 14,933 160 Ametek 4,147 145 AMR* (A) 11,186 98 Armstrong World Industries 700 12 Avery Dennison 4,210 131 Avis Budget Group* 2,784 2 BE Aerospace* 3,600 30 Boeing (A) 28,391 1,210
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 31 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Brink's 1,300 $ 28 Bucyrus International, Cl A 2,400 47 Burlington Northern Santa Fe 10,598 812 C.H. Robinson Worldwide (A) 6,486 331 Carlisle 1,666 35 Caterpillar (A) 23,288 954 Cintas (A) 5,257 126 Continental Airlines, Cl B* (A) 3,800 56 Con-way 1,323 37 Cooper Industries, Cl A 6,800 164 Copa Holdings, Cl A (A) 1,100 24 Copart* 1,813 48 Corporate Executive Board 796 18 Corrections of America* 4,100 74 Covanta Holding* 4,000 80 Crane 1,500 22 CSX 15,332 571 Cummins 7,912 202 Danaher (A) 9,751 542 Deere 16,318 568 Delta Air Lines* (A) 23,200 205 Donaldson 2,472 85 Dover 7,357 219 Dun & Bradstreet 2,156 173 Eaton 6,326 293 Emerson Electric 29,520 1,060 Equifax 5,156 131 Expeditors International Washington 8,148 272 Fastenal (A) 5,062 195 FedEx 11,744 830 First Solar* (A) 1,700 212 Flowserve 2,300 116 Fluor 6,808 310 Foster Wheeler* 5,700 127 FTI Consulting* 2,000 110 Gardner Denver* 1,500 37 GATX 1,300 37 General Cable* (A) 1,300 21 General Dynamics 15,072 779 General Electric 374,323 6,427 Goodrich 4,892 165 Graco (A) 1,824 39 Harsco 2,770 70 Hertz Global Holdings* (A) 10,800 38 Honeywell International 28,090 783 Hubbell, Cl B 1,592 48 IDEX 2,793 64 Illinois Tool Works (A) 17,780 607 Ingersoll-Rand, Cl A 12,243 192 Iron Mountain* 7,063 154 ITT 7,002 293 Jacobs Engineering Group* 4,702 211 JB Hunt Transport Services (A) 2,672 72 John Bean Technologies 768 7
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Joy Global 3,433 $ 80 Kansas City Southern* 3,700 81 KBR 5,584 77 Kennametal 2,500 47 Kirby* 1,500 38 L-3 Communications Holdings 4,677 314 Landstar System (A) 2,165 69 Lennox International 1,600 44 Lincoln Electric Holdings 1,700 78 Lockheed Martin 12,429 958 Manitowoc 3,500 28 Manpower 3,184 100 Masco (A) 14,309 137 McDermott International* 7,000 68 Monster Worldwide* (A) 3,418 39 MSC Industrial Direct, Cl A (A) 1,520 53 Norfolk Southern 14,233 704 Northrop Grumman 12,978 532 Oshkosh Truck 1,959 14 Owens Corning* 2,700 43 Paccar 13,970 389 Pall 4,845 133 Parker Hannifin 6,404 263 Pentair 3,261 81 Pitney Bowes 8,085 200 Precision Castparts 5,346 335 Quanta Services* 6,800 111 Raytheon 15,968 779 Republic Services, Cl A 6,123 147 Robert Half International (A) 5,676 119 Rockwell Automation 5,704 178 Rockwell Collins 6,262 213 Roper Industries 3,500 160 RR Donnelley & Sons 8,477 108 Ryder System 2,306 83 Shaw Group* 2,300 42 Southwest Airlines 28,220 244 Spirit Aerosystems Holdings, Cl A* (A) 3,000 27 SPX 1,711 64 Steelcase, Cl A 2,475 16 Stericycle* 3,326 191 Sunpower, Cl A* (A) 2,700 94 Terex* 2,848 41 Textron 9,722 148 Thomas & Betts* 1,867 35 Timken 2,260 33 Toro (A) 1,060 30 Trinity Industries (A) 2,200 33 Tyco International 18,400 385 Union Pacific 19,516 976 United Parcel Service, Cl B (A) 25,741 1,483 United Rentals* 1,723 14 United Technologies 36,666 1,779 URS* 3,300 125
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 32
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- USG* 2,298 $ 22 UTi Worldwide 3,500 37 Valmont Industries 600 33 Waste Management (A) 18,594 543 WESCO International* 1,300 19 WW Grainger 2,981 210 ------ 36,412 ------ INFORMATION TECHNOLOGY -- 15.1% Accenture, Cl A 22,600 700 Activision Blizzard* 22,856 267 ADC Telecommunications* 2,967 21 Adobe Systems* 20,202 468 Advanced Micro Devices* (A) 19,934 47 Affiliated Computer Services, Cl A* (A) 3,547 143 Agilent Technologies* 14,064 265 Akamai Technologies* 5,618 69 Alliance Data Systems* 2,712 117 Altera (A) 11,673 172 Amdocs* 7,700 145 Amphenol, Cl A 6,892 160 Analog Devices 11,212 192 Ansys* 3,400 98 Apple* 33,123 3,069 Applied Materials 51,455 493 Arrow Electronics* 5,089 70 Atmel* 12,000 33 Autodesk* 8,737 145 Automatic Data Processing 19,592 804 Avnet* 4,910 70 AVX 1,424 12 BMC Software* 7,389 184 Broadcom, Cl A* 19,668 301 Broadridge Financial Solutions 5,873 67 Brocade Communications Systems* 9,800 32 CA 14,938 252 Cadence Design Systems* 6,863 27 Ciena* (A) 2,314 17 Cisco Systems* 222,027 3,672 Citrix Systems* 7,087 189 Cognizant Technology Solutions, Cl A* 11,188 215 CommScope* 1,900 22 Computer Sciences* 5,864 163 Compuware* 8,651 55 Convergys* 3,669 23 Corning 59,758 538 Cree* (A) 3,022 48 Cypress Semiconductor* (A) 4,200 16 Dell* 68,743 768 Diebold 2,729 76 Dolby Laboratories, Cl A* 1,743 52 DST Systems* (A) 1,395 53 eBay* 42,111 553
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- EchoStar, Cl A* 1,032 $ 18 Electronic Arts* 12,265 234 EMC* 78,164 826 Equinix* (A) 1,000 45 F5 Networks* 2,738 68 Factset Research Systems (A) 1,800 72 Fairchild Semiconductor International, Cl A* 3,400 13 Fidelity National Information Services 7,728 133 Fiserv* (A) 6,369 217 Flir Systems* (A) 5,400 167 Genpact* 1,400 11 Global Payments (A) 3,134 113 Google, Cl A* 8,944 2,620 Harris 5,289 185 Hewitt Associates, Cl A* 3,163 90 Hewlett-Packard 92,701 3,270 IAC* 3,232 48 Ingram Micro, Cl A* 5,423 58 Integrated Device Technology* 5,600 29 Intel 215,358 2,972 International Business Machines 51,598 4,210 International Rectifier* 1,755 20 Intersil, Cl A 3,261 29 Intuit* 12,286 272 Itron* (A) 1,000 47 Jabil Circuit 6,974 46 JDS Uniphase* (A) 7,340 20 Juniper Networks* 20,025 348 Kla-Tencor 6,709 126 Lam Research* (A) 3,991 81 Lender Processing Services 3,214 71 Lexmark International, Cl A* 3,586 94 Linear Technology (A) 8,657 173 LSI* 20,148 54 Marvell Technology Group* 19,300 112 Mastercard, Cl A (A) 2,800 407 McAfee* 5,873 178 MEMC Electronic Materials* 8,938 134 Metavante Technologies* 3,120 54 Mettler Toledo International* 1,336 110 Microchip Technology (A) 7,322 135 Micron Technology* 24,416 67 Microsoft (A) 301,500 6,096 Molex 4,470 61 Motorola 86,134 371 National Instruments 1,936 47 National Semiconductor 9,156 101 NCR* 6,689 102 NetApp* 13,355 180 NeuStar, Cl A* 2,700 52 Novell* 12,026 55 Novellus Systems* 2,877 36
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 33 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Nuance Communications* (A) 7,700 $ 71 Nvidia* 21,656 162 ON Semiconductor* 11,900 35 Oracle* 146,467 2,357 Paychex (A) 12,407 351 QLogic* (A) 3,680 39 Qualcomm 60,950 2,046 Rambus* 2,500 26 Red Hat* (A) 7,827 72 SAIC* 7,300 130 Salesforce.com* (A) 4,138 118 SanDisk* (A) 6,443 52 Seagate Technology 15,000 63 Silicon Laboratories* 1,400 29 Sohu.com* (A) 1,000 48 Sun Microsystems* 31,469 100 Symantec* (A) 32,048 386 Synopsys* 4,682 75 Tech Data* 1,550 27 Tellabs* 11,889 50 Teradata* 6,789 91 Teradyne* 4,963 19 Texas Instruments 50,008 779 Total System Services 5,291 76 Trimble Navigation* 3,914 80 Tyco Electronics 18,300 302 Unisys* (A) 8,532 6 Varian Semiconductor Equipment Associates* (A) 2,300 42 VeriSign* (A) 7,585 164 Visa, Cl A 16,900 888 Vishay Intertechnology* (A) 4,350 19 VMware, Cl A* (A) 1,100 21 WebMD Health, Cl A* 300 6 Western Digital* 8,830 108 Western Union 28,228 375 Xerox 34,651 242 Xilinx 10,857 178 Yahoo!* (A) 52,281 602 Zebra Technologies, Cl A* 1,825 39 ------------- 50,235 ------------- MATERIALS -- 3.3% Air Products & Chemicals 7,994 382 Airgas 3,315 119 AK Steel Holding 3,100 25 Albemarle 2,744 56 Alcoa (A) 31,202 336 Allegheny Technologies 4,097 94 Aptargroup 2,100 70 Ashland 2,176 21 Ball 3,875 141
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Bemis 3,974 $ 107 Cabot 2,273 47 Carpenter Technology 1,400 23 Celanese, Cl A 4,883 56 Century Aluminum* (A) 1,100 9 CF Industries Holdings 2,200 116 Chemtura 6,854 11 Cliffs Natural Resources 4,500 107 Commercial Metals 3,400 41 Crown Holdings* 6,451 104 Cytec Industries 1,581 35 Domtar* 13,137 18 Dow Chemical 35,270 654 E.I. Du Pont de Nemours 34,092 854 Eagle Materials (A) 1,300 27 Eastman Chemical 2,442 80 Ecolab 6,691 257 FMC 2,460 108 Freeport-McMoRan Copper & Gold, Cl B (A) 14,612 351 Greif, Cl A 1,000 33 Huntsman 4,629 33 International Flavors & Fragrances 2,591 79 International Paper 16,555 206 Intrepid Potash* 1,300 25 Lubrizol 2,234 78 Martin Marietta Materials (A) 1,663 146 MeadWestvaco (A) 5,558 65 Monsanto 20,650 1,636 Mosaic 6,078 185 Nalco Holding (A) 4,117 47 Newmont Mining (A) 16,533 556 Nucor 12,090 431 Owens-Illinois* 6,591 133 Packaging of America 3,099 46 Pactiv* 5,183 130 PPG Industries 6,323 278 Praxair 11,825 698 Reliance Steel & Aluminum 1,800 37 Rohm & Haas 5,053 346 RPM International 4,169 50 Schnitzer Steel Industries, Cl A 400 11 Scotts Miracle-Gro, Cl A 1,806 58 Sealed Air 5,168 82 Sigma-Aldrich 4,948 213 Smurfit-Stone Container* 6,845 4 Sonoco Products 3,246 82 Southern Copper (A) 8,748 120 Steel Dynamics 5,300 44 Temple-Inland (A) 3,675 12 Terra Industries 3,000 44 Titanium Metals 3,358 28
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 34
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- United States Steel 4,683 $ 142 Valspar 3,364 66 Vulcan Materials (A) 4,257 255 Weyerhaeuser 8,078 304 ------------- 10,952 ------------- TELECOMMUNICATION SERVICES -- 3.6% American Tower, Cl A* 15,122 412 AT&T 223,133 6,373 CenturyTel (A) 4,201 112 Clearwire, Cl A* (A) 2,500 17 Crown Castle International* 11,096 156 Embarq 5,732 187 Frontier Communications (A) 12,955 113 Leap Wireless International* (A) 1,400 28 Level 3 Communications* (A) 48,900 46 MetroPCS Communications* 9,600 140 NII Holdings* 6,620 129 Qwest Communications International (A) 58,496 187 SBA Communications, Cl A* (A) 3,700 58 Sprint Nextel 106,744 298 Telephone & Data Systems 4,102 133 US Cellular* 431 17 Verizon Communications 107,115 3,497 Windstream 17,547 155 ------------- 12,058 ------------- UTILITIES -- 4.6% AES* (A) 26,024 200 AGL Resources 2,547 77 Allegheny Energy 6,466 228 Alliant Energy 4,376 139 Ameren 8,090 288 American Electric Power 15,250 477 American Water Works 1,900 38 Aqua America (A) 4,377 95 Atmos Energy 3,691 92 Calpine* (A) 14,000 125 Centerpoint Energy 12,815 166 CMS Energy (A) 7,542 77 Consolidated Edison (A) 10,416 421 Constellation Energy Group 6,958 170 Dominion Resources 21,912 807 DPL (A) 4,546 95 DTE Energy 6,264 233 Duke Energy (A) 47,919 746 Dynegy, Cl A* (A) 13,718 31 Edison International 12,379 414 Energen 2,337 72 Entergy 7,298 621 Equitable Resources 5,066 169
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Exelon 24,729 $ 1,390 FirstEnergy 11,581 678 FPL Group 15,473 755 Great Plains Energy 3,871 73 Hawaiian Electric Industries (A) 2,746 75 Integrys Energy Group 3,002 133 MDU Resources Group 7,221 147 Mirant* 7,361 127 National Fuel Gas 2,689 87 NiSource 10,821 130 Northeast Utilities 6,107 142 NRG Energy* (A) 9,100 216 NSTAR 4,228 150 NV Energy 7,700 73 OGE Energy 2,968 78 Oneok 4,129 121 Pepco Holdings 7,944 143 PG&E 13,618 518 Pinnacle West Capital 3,992 121 PPL 14,226 482 Progress Energy 9,961 395 Public Service Enterprise Group 19,252 595 Puget Energy 5,161 126 Questar 6,746 217 Reliant Energy* 11,659 67 SCANA 4,520 157 Sempra Energy 9,523 444 Southern 29,003 1,053 TECO Energy 6,900 90 UGI 3,550 83 Vectren 2,691 76 Wisconsin Energy (A) 4,549 198 Xcel Energy (A) 16,481 310 ------------- 15,231 ------------- Total Common Stock (Cost $363,784) ($ Thousands) 328,774 ------------- U.S. TREASURY OBLIGATION -- 0.2% U.S. Treasury Bill 1.117%, 12/11/08 (C) (D) $ 533 533 ------------- Total U.S. Treasury Obligation (Cost $533) ($ Thousands) 533 ------------- CASH EQUIVALENT -- 1.0% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.620%**+ 3,254,715 3,255 ------------- Total Cash Equivalent (Cost $3,255) ($ Thousands) 3,255 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 35 SCHEDULE OF INVESTMENTS (Unaudited) Large Cap Index Fund (Concluded) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- AFFILIATED PARTNERSHIP -- 16.7% SEI Liquidity Fund, L.P., 1.630%**+ (E) 56,318,797 $ 55,498 ------------- Total Affiliated Partnership (Cost $56,319) ($ Thousands) 55,498 ------------- Total Investments -- 116.9% (Cost $423,891) ($ Thousands) $ 388,060 =============
A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ------------------------ ------------ ---------- ------------- S&P 500 Index E-Mini 99 Dec-2008 $ (1,582) S&P Mid 400 Index E-Mini 6 Dec-2008 (103) ----------- $ (1,685) ===========
Percentages are based on a Net Assets of $331,978 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (see Note 3). +++ Real Estate Investment Trust (A) This security or a partial position of this security is on loan at November 30, 2008. The total value of securities on loan at November 30, 2008 was $54,604 ($ Thousands). (B) The Fund may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its benchmark index. (C) Zero coupon security. The rate reported is the effective yield at time of purchase. (D) Security, or portion thereof, has been pledged as collateral on open future contracts.. (E) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of this security as of November 30, 2008 was $55,498 ($ Thousands). Cl -- Class L.P. -- Limited Partnership Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 36 Small Cap Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) Affiliated Partnership 20.9% Financials 16.3% Information Technology 14.7% Industrials 11.3% Health Care 10.4% Consumer Discretionary 7.8% Energy 4.3% Cash Equivalents 3.9% Materials 3.0% Consumer Staples 2.7% Utilities 2.4% Telecommunication Services 1.2% U.S. Treasury Obligation 0.9% Exchange Traded Fund 0.2% Warrants 0.0%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- COMMON STOCK -- 94.0% CONSUMER DISCRETIONARY -- 9.9% 1-800-FLOWERS.COM, Cl A* 44,200 $ 165 Aaron Rents 36,795 973 Abercrombie & Fitch, Cl A 42,226 816 Advance Auto Parts (A) 21,400 650 Aeropostale* (A) 16,350 247 American Axle & Manufacturing Holdings (A) 49,900 126 American Eagle Outfitters 31,800 305 American Greetings, Cl A 48,492 559 American Public Education* 6,900 273 Amerigon* (A) 100,459 375 Ameristar Casinos 42,608 326 AnnTaylor Stores* (A) 19,621 88 Arctic Cat 57,400 347 ArvinMeritor (A) 63,100 249 Autoliv 2,143 41 Bebe Stores 161,031 995 Belo, Cl A 202,548 391 Big 5 Sporting Goods 48,600 184 Big Lots* (A) 29,297 513 BJ's Restaurants* (A) 87,000 851 Blue Nile* (A) 11,400 272 Bluegreen* 9,299 29 Blyth 31,500 261 Bob Evans Farms (A) 19,500 327 Borders Group 14,808 16 Brink's Home Security Holdings* 34,400 688 Brown Shoe 96,974 547 Buckle (A) 12,600 238 Buffalo Wild Wings* 11,486 264 Callaway Golf (A) 56,390 568 Capella Education* (A) 19,910 1,192 Career Education* 50,042 925 Carrols Restaurant Group* 100,200 198 Carter's* 46,661 882 Casual Male Retail Group* (A) 718,900 460
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Cato, Cl A (A) 106,418 $ 1,486 CBRL Group (A) 42,389 819 CEC Entertainment* (A) 35,920 618 Centex (A) 46,100 422 Century Casinos* 126,270 116 Charlotte Russe Holding* 19,243 96 Charming Shoppes* (A) 167,554 251 Cheesecake Factory* (A) 74,900 545 Childrens Place Retail Stores* (A) 12,000 281 Chipotle Mexican Grill, Cl A* (A) 25,300 1,254 Christopher & Banks 59,546 201 Churchill Downs 1,100 39 Cinemark Holdings 28,755 217 CKE Restaurants 22,477 162 Columbia Sportswear (A) 16,500 521 Cooper Tire & Rubber (A) 59,757 286 Corinthian Colleges* (A) 121,400 1,952 Cox Radio, Cl A* (A) 10,900 63 CROCS* (A) 351,000 446 Deckers Outdoor* (A) 16,700 996 DeVry 8,043 462 Dick's Sporting Goods* (A) 68,851 868 Dollar Tree* 2,200 93 Domino's Pizza* 2,446 9 Dover Downs Gaming & Entertainment 29,350 106 DreamWorks Animation SKG, Cl A* 15,300 353 Dress Barn* 48,648 381 DSW, Cl A* (A) 144,541 1,453 Dufry South America (United Kingdom) 82,600 461 Eddie Bauer Holdings* (A) 249,300 234 Einstein Noah Restaurant Group* 15,700 78 Entercom Communications, Cl A (A) 42,221 46 Entravision Communications, Cl A* 3,242 2 Ethan Allen Interiors (A) 71,426 986 EW Scripps, Cl A (A) 35,066 103 Exide Technologies* (A) 51,332 231 FGX International Holdings* 11,900 122 Finish Line, Cl A 67,910 361 Focus Media Holding ADR* (A) 40,398 302 Foot Locker 38,840 261 Fred's, Cl A 1,129 13 Fuel Systems Solutions* (A) 15,140 524 Gaiam, Cl A* (A) 48,600 250 Genesco* 20,581 277 Genius Products* 379,930 19 Grand Canyon Education* 57,460 853 Group 1 Automotive (A) 20,700 217 Gymboree* 39,943 1,005 Harman International Industries 500 8 Harte-Hanks (A) 61,739 369 hhgregg* (A) 65,800 392 Hibbett Sports* (A) 39,825 567 Hillenbrand 5,861 93
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 37 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Iconix Brand Group* 40,835 $ 346 Interactive Data 2,700 63 International Speedway, Cl A 23,100 599 ITT Educational Services* 1,971 178 J Crew Group* (A) 45,600 462 Jack in the Box* 45,900 803 Jackson Hewitt Tax Service 38,300 493 Jakks Pacific* 19,200 344 Jarden* (A) 120,966 1,510 Jo-Ann Stores* 34,990 486 Jones Apparel Group 25,159 129 Journal Communications, Cl A (A) 152,400 361 K12* (A) 12,118 221 Lakeland Industries* 85,100 601 Landry's Restaurants (A) 9,800 114 Leapfrog Enterprises, Cl A* (A) 74,779 325 Lennar, Cl A 49,600 353 Libbey 106,600 213 Life Time Fitness* 60,895 912 Lifetime Brands 161,300 573 Lin TV, Cl A* 11 -- Lincoln Educational Services* 3,700 51 Lions Gate Entertainment* 95,500 618 Live Nation* (A) 43,895 215 Lululemon Athletica* (A) 35,400 348 Marvel Entertainment* (A) 46,375 1,366 Matthews International, Cl A 7,800 318 McCormick & Schmick's Seafood Restaurants* 45,600 164 MDC Holdings 2,415 75 MDC Partners, Cl A* 448,120 1,317 Media General, Cl A (A) 25,529 49 Men's Wearhouse (A) 17,543 187 Meredith (A) 45,700 738 Modine Manufacturing (A) 37,100 178 Morningstar* (A) 23,779 766 National CineMedia 77,455 630 National Presto Industries 1,454 95 Nautilus* (A) 35,140 103 NetFlix* (A) 90,611 2,082 New Frontier Media 100,600 144 New York* 27,738 52 O'Charleys (A) 58,014 123 Office Depot* 229,000 451 OfficeMax (A) 212,400 1,158 Orbitz Worldwide* (A) 146,400 356 Pacific Sunwear of California* 27,200 41 Panera Bread, Cl A* (A) 14,440 642 Peet's Coffee & Tea* (A) 21,546 486 Penn National Gaming* 13,556 287 PF Chang's China Bistro* 6,433 121 Phillips-Van Heusen 11,514 201 Pinnacle Entertainment* 229,554 1,309
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Polaris Industries (A) 48,294 $ 1,318 Pre-Paid Legal Services* 192 8 Princeton Review* 156,900 814 Quiksilver* 114,400 160 RC2* 32,408 345 RCN* 7,400 52 Red Robin Gourmet Burgers* (A) 12,200 149 Regis 80,937 890 Rent-A-Center, Cl A* 106,973 1,755 Retail Ventures* (A) 242,167 300 RHI Entertainment* (A) 77,500 317 RRSat Global Communications Network 65,300 618 Ruby Tuesday* (A) 73,100 84 Ryland Group (A) 15,062 256 Scholastic (A) 61,521 939 Scientific Games, Cl A* (A) 43,091 647 Shoe Carnival* 24,000 225 Shutterfly* (A) 249,200 1,704 Sinclair Broadcast Group, Cl A (A) 84,500 267 Smith & Wesson Holding* 65,400 135 Snap-On 18,845 679 Sonic Automotive, Cl A (A) 68,900 222 Sotheby's 16,693 166 Stage Stores 103,930 601 Stamps.com* 22,125 196 Standard Pacific* 38,083 73 Starwood Hotels & Resorts Worldwide 71,500 1,206 Steinway Musical Instruments* 6,480 115 Steven Madden* 52,235 894 Stewart Enterprises, Cl A 41,204 131 Stoneridge* (A) 10,100 46 Strayer Education 2,800 671 Systemax 7,800 76 Tempur-Pedic International (A) 75,505 528 Texas Roadhouse, Cl A* 76,300 427 Thor Industries (A) 38,200 598 Thunderbird Resorts* (F) 143,900 360 Timberland, Cl A* 6,264 64 Tractor Supply* (A) 36,430 1,398 True Religion Apparel* (A) 80,405 1,012 Tuesday Morning 10,367 12 Tupperware Brands 17,100 336 Tween Brands* 34,665 133 Ulta Salon Cosmetics & Fragrance* 12,307 88 Under Armour, Cl A* 20,900 480 Unifirst 800 22 Universal Electronics* 9,213 153 Valassis Communications* 42,200 62 Volcom* 7,000 70 Warnaco Group* 18,800 336 Warner Music Group (A) 130,900 390 Westport Innovations* 83,300 330 Wet Seal, Cl A* 117,058 329
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 38
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Williams-Sonoma (A) 48,600 $ 341 WMS Industries* (A) 14,684 362 Wolverine World Wide 1,185 23 World Wrestling Entertainment, Cl A (A) 17,400 202 Zale* (A) 10,296 61 Zumiez* (A) 37,658 325 ------------- 85,869 ------------- CONSUMER STAPLES -- 3.5% Alliance One International* 488,200 1,514 American Oriental Bioengineering* (A) 27,700 157 Asiatic Development (Malaysia) 661,500 595 Bare Escentuals* (A) 60,300 285 BJ's Wholesale Club* (A) 5,000 179 Boston Beer, Cl A* (A) 32,410 1,039 Casey's General Stores 40,167 1,191 Central Garden and Pet, Cl A* 54,292 227 Central Garden and Pet* 38,023 160 Chattem* (A) 13,400 972 Chiquita Brands International* (A) 23,974 267 Constellation Brands, Cl A* (A) 47,000 600 Corn Products International 43,471 1,191 Cosan Industria e Comercio (Brazil)* 184,400 905 Darling International* 107,469 537 Dean Foods* 61,921 902 Del Monte Foods 226,299 1,340 Diamond Foods 8,162 247 Flowers Foods (A) 49,770 1,333 Fresh Del Monte Produce* 22,872 577 Green Mountain Coffee Roasters* 11,500 418 Hain Celestial Group* (A) 71,400 1,124 Heckmann* (A) 67,176 416 Lancaster Colony (A) 8,387 253 Lance 64,106 1,252 Molson Coors Brewing, Cl B 19,300 858 Nash Finch (A) 10,069 452 NBTY* 39,294 572 Pantry* (A) 17,083 330 Parlux Fragrances* 1,370 5 Prestige Brands Holdings* 25,947 203 Ralcorp Holdings* (A) 33,151 2,074 Ruddick 48,767 1,334 Sanderson Farms (A) 51,421 1,603 Smart Balance* 77,000 450 Spartan Stores (A) 22,552 535 SunOpta* 146,561 277 Synutra International* (A) 10,800 129 TreeHouse Foods* (A) 9,200 219 Tyson Foods, Cl A 110,619 742 Universal (A) 44,800 1,432 USANA Health Sciences* 3,300 100 Vector Group (A) 20,400 293 WD-40 186 5
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Weis Markets 5,700 $ 180 Whole Foods Market (A) 54,200 574 Zhongpin* (A) 4,200 37 ------------- 30,085 ------------- ENERGY -- 5.4% Allis-Chalmers Energy* (A) 34,700 219 Alon USA Energy (A) 26,200 257 Alpha Natural Resources* 14,220 316 American Oil & Gas* 62,800 60 Approach Resources* 119,800 1,041 Arena Resources* (A) 94,848 2,511 Arlington Tankers (A) 75,800 725 Atlas America (A) 26,430 396 ATP Oil & Gas* (A) 131,500 878 Atwood Oceanics* 45,600 825 Basic Energy Services* 4,713 54 Berry Petroleum, Cl A (A) 44,452 521 BP Prudhoe Bay Royalty Trust 1,200 85 BPZ Energy PIPE* 75,500 465 BPZ Resources* (A) 55,972 345 Brigham Exploration* 47,200 143 Bristow Group* 4,200 95 Bronco Drilling* 4,200 27 Cal Dive International* (A) 105,537 645 Callon Petroleum* 3,800 9 Cano Petroleum* (A) 141,700 82 CARBO Ceramics 5,800 278 Carrizo Oil & Gas* (A) 61,316 1,269 Cimarex Energy 23,100 655 Clayton Williams Energy* 10,983 504 Complete Production Services* 113,129 927 Comstock Resources* (A) 39,846 1,671 Concho Resources* 8,265 195 Continental Resources* 2,100 41 Dawson Geophysical* 467 10 Delek US Holdings 132,800 730 Delta Petroleum* (A) 22,200 127 Denbury Resources* 13,500 129 DHT Maritime 95,100 509 Dresser-Rand Group* 63,809 1,066 Edge Petroleum* 5,341 1 Encore Acquisition* 12,723 336 Endeavour International* 66,400 42 Energy Partners* 273,191 923 Energy XXI Bermuda 42,476 47 EXCO Resources* 145,618 1,117 Exterran Holdings* 12,257 215 Foundation Coal Holdings 1,500 21 Geokinetics* 33,500 125 GeoMet* 302,200 620 Global Industries* (A) 86,200 254 GMX Resources* (A) 25,398 730
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 39 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Goodrich Petroleum* (A) 34,825 $ 1,256 Gran Tierra Energy* 14,234 39 Grey Wolf* (A) 209,943 1,150 Gulf Island Fabrication 11,400 164 Gulfport Energy* 20,900 103 Helmerich & Payne 14,485 367 Hercules Offshore* (A) 228,200 1,328 Holly 84,600 1,539 Hornbeck Offshore Services* 12,712 215 Infinity Bio-Energy* 631,219 253 ION Geophysical* (A) 112,546 338 James River Coal* (A) 28,600 325 Kodiak Oil & Gas* 282,100 135 Lufkin Industries (A) 6,300 311 Mahalo Energy* 266,500 34 Mariner Energy* 10,404 114 Matrix Service* 25,260 193 McMoRan Exploration* 45,355 510 Meridian Resource* 63,900 60 Mitcham Industries* 8,700 37 Natural Gas Services Group* 16,700 172 Newfield Exploration* 4,905 111 North American Energy Partners* 4,878 14 Oil Sands Quest* (A) 104,800 115 Oil Sands Quest PIPE* 74,000 81 Oil States International* 12,300 263 Omni Energy Services* 16,414 29 Overseas Shipholding Group (A) 16,200 600 Parker Drilling* (A) 109,300 334 Patterson-UTI Energy 5,000 62 Penn Virginia GP Holdings 2,800 32 PetroHawk Energy* 88,194 1,541 Petroquest Energy* 10,400 73 Pioneer Drilling* 9,917 73 Quicksilver Resources* 173,725 1,082 Rentech* (A) 446,300 286 Rex Energy* 12,411 76 Rosetta Resources* 49,100 370 RPC (A) 52,700 453 SEACOR Holdings* (A) 9,400 622 Smith International 383 11 Southern Union 61,100 840 St. Mary Land & Exploration 33,092 665 StealthGas (A) 107,400 430 Stone Energy* 33,021 549 Superior Energy Services* 37,090 625 Swift Energy* (A) 81,552 1,743 T-3 Energy Services, Cl 3* 7,186 94 Tesco ADR* 19,700 136 Tesoro (A) 24,200 222 Tetra Technologies* 81,900 395 TXCO Resources* 5,200 16 Uranium One (Canada)* 40,075 42 Vaalco Energy* 49,652 313
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- W&T Offshore 2,257 $ 32 Warren Resources* 20,800 69 Westmoreland Coal* 6,200 59 Whiting Petroleum* 19,379 742 Willbros Group* (A) 112,064 927 World Fuel Services 39,820 1,445 ------------- 46,456 ------------- FINANCIALS -- 20.6% Advance America Cash Advance Centers 83,163 142 Advanta, Cl B 33,450 99 Affiliated Managers Group* (A) 26,600 745 Alexander's+++ 899 191 Alexandria Real Estate Equities+++ (A) 5,483 243 AMB Property+++ (A) 30,500 525 AMBAC Financial Group 22,593 32 American Equity Investment Life Holding (A) 64,492 401 American Financial Group 19,520 400 Amerisafe* 9,357 152 Amtrust Financial Services (A) 68,610 613 Anchor Bancorp Wisconsin 13,500 40 Anthracite Capital+++ (A) 77,200 233 Anworth Mortgage Asset+++ (A) 386,244 2,445 Apartment Investment & Management, Cl A+++ 66,300 760 Apollo Investments* 29,000 246 Ares Capital 52,833 263 Aspen Insurance Holdings 114,050 2,102 Associated Estates Realty+++ 31,850 279 Assured Guaranty 37,700 424 Astoria Financial (A) 94,500 1,744 AvalonBay Communities+++ (A) 24,800 1,505 Bancfirst 2,060 91 Banco Latinoamericano de Exportaciones, Cl E 51,400 651 Bancorp Rhode Island 5,800 132 Bancorpsouth (A) 34,485 767 Bank Mutual (A) 56,171 576 Bank of the Ozarks (A) 23,239 633 BankFinancial 5,500 60 Berkshire Hills Bancorp (A) 37,900 1,099 BGC Partners, Cl A (A) 53,991 205 BioMed Realty Trust+++ 12,648 118 Boston Private Financial Holdings (A) 23,114 160 Boston Properties+++ (A) 55,300 2,953 Brandywine Realty Trust+++ 28,800 142 Brasil Brokers Participacoes* 328,600 224 Calamos Asset Management, Cl A 28,324 115 Camden Property Trust+++ (A) 43,700 1,157 Canaccord Capital 49,200 164 CapitalSource+++ 131,655 686
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 40
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Capitol Federal Financial 18,295 $ 782 CAPLEASE INC+++ 59,800 125 Capstead Mortgage+++ (A) 197,548 2,072 Cardinal Financial 83,507 443 Cardtronics* 100,230 134 Cash America International 15,155 409 Cathay General Bancorp (A) 10,300 211 CBL & Associates Properties+++ (A) 42,047 171 Cedar Shopping Centers+++ (A) 53,100 250 Center Financial 8,824 62 Central Pacific Financial (A) 70,297 900 Chemical Financial (A) 26,448 654 CIT Group 81,800 273 Citizens Republic Bancorp (A) 36,000 85 City Holding (A) 10,745 381 CME Group, Cl A 34 7 CNA Surety* (A) 50,736 614 CoBiz Financial (A) 8,100 89 Cohen & Steers 17,100 196 Colonial BancGroup 20,600 52 Columbia Banking System 23,373 235 Commerce Bancshares (A) 11,948 523 Community Bank System 30,392 701 Community Trust Bancorp 3,000 98 Companhia Brasileira de Desenvolvimento Imobiliario Turistico (Brazil)* 3,800 831 Compass Diversified Holdings 6,970 70 Corporate Office Properties Trust+++ 49,300 1,465 Cousins Properties+++ (A) 36,300 391 Crawford, Cl B* 9,924 112 CVB Financial (A) 44,200 496 Danvers Bancorp 57,200 729 Delphi Financial Group, Cl A 25,974 314 Dime Community Bancshares 39,532 533 Dollar Financial* (A) 91,400 693 Douglas Emmett+++ (A) 93,300 952 East West Bancorp 24,100 357 Education Realty Trust+++ 65,008 291 eHealth* 14,000 154 EMC Insurance Group 3,671 91 Employers Holdings 57,266 933 Encore Bancshares* 24,420 352 Endurance Specialty Holdings (A) 33,556 903 Enstar Group* (A) 2,800 133 Entertainment Properties Trust+++ (A) 22,380 549 Equity Lifestyle Properties+++ 8,157 282 Equity One+++ (A) 43,681 723 Equity Residential+++ (A) 65,700 1,999 ESSA Bancorp 35,715 481 Essex Property Trust+++ (A) 13,200 1,141 Evercore Partners, Cl A 53,800 539 Extra Space Storage+++ (A) 87,700 776
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Ezcorp, Cl A* 17,135 $ 283 FBL Financial Group, Cl A 32,400 368 FCStone Group* 107,474 365 Federal Realty Investment Trust+++ (A) 38,200 2,210 Federated Investors, Cl B (A) 29,193 579 Financial Federal (A) 36,500 701 First American 50,400 1,211 First Cash Financial Services* 12,077 186 First Commonwealth Financial 20,604 247 First Financial Bancorp (A) 80,733 1,009 First Financial Bankshares (A) 9,430 493 First Financial Holdings 5,900 131 First Horizon National (A) 100,284 1,072 First Merchants (A) 9,500 192 First Midwest Bancorp (A) 33,117 610 First Niagara Financial Group (A) 98,800 1,532 First Potomac Realty Trust+++ 26,821 215 FirstFed Financial* (A) 60,200 227 FirstMerit (A) 67,289 1,480 Flagstar Bancorp (A) 82,300 58 Flushing Financial 20,771 284 FNB (Pennsylvania) 24,042 297 Forestar Group* 53,600 248 Fpic Insurance Group* (A) 25,742 1,193 Frontier Financial 47,936 137 Fulton Financial (A) 58,829 654 General Shopping Brasil (Brazil)* 296,900 558 Getty Realty+++ 3,968 74 GFI Group 220 1 Glacier Bancorp 45,800 814 Gladstone Capital 12,282 74 Gluskin Sheff + Associates (Canada) 55,800 270 Great Southern Bancorp (A) 6,800 53 Greenhill (A) 11,800 804 Grubb & Ellis (A) 348,660 464 Hallmark Financial Services* 14,135 87 Hancock Holding (A) 25,971 1,120 Hanmi Financial (A) 30,000 71 Hanover Insurance Group 49,514 1,996 Harleysville Group 8,490 320 Hatteras Financial+++ (A) 86,400 2,227 HCP+++ (A) 58,500 1,209 Health Care REIT+++ (A) 6,375 242 Healthcare Realty Trust+++ (A) 5,255 101 Hercules Technology Growth Capital 127,576 823 Hersha Hospitality Trust+++ 334,400 1,177 Highbury Financial* (A) 145,700 291 Highwoods Properties+++ 27,350 653 Home Bancshares (A) 4,300 114 Home Federal Bancorp 28,400 298 Horace Mann Educators 31,374 267 Horizon Financial 400 1 HRPT Properties Trust+++ (A) 172,600 476
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 41 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Independent Bank 2,234 $ 53 Infinity Property & Casualty 21,329 979 Inland Real Estate+++ 27,800 311 Interactive Brokers Group, Cl A* 13,200 241 IntercontinentalExchange* 1,600 118 International Bancshares 15,215 358 Investment Technology Group* (A) 19,211 321 Investors Bancorp* 25,800 361 Investors Real Estate Trust+++ (A) 67,200 661 IPC Holdings 31,176 873 Irwin Financial (A) 47,500 90 Jefferies Group (A) 60,800 756 Jones Lang LaSalle 19,610 467 Kansas City Life Insurance (A) 12,331 565 KBW* (A) 38,889 883 Kite Realty Group Trust+++ 12,900 50 Knight Capital Group, Cl A* (A) 51,885 859 LaBranche* 26,100 128 LandAmerica Financial Group, Cl A 3,200 -- LaSalle Hotel Properties+++ 22,900 202 Lexington Realty Trust+++ (A) 57,600 279 Life Partners Holdings 900 32 LTC Properties+++ 39,228 764 Macerich+++ (A) 84,000 1,131 MainSource Financial Group (A) 32,600 508 MarketAxess Holdings* 137,350 879 Max Capital Group 30,100 348 Meadowbrook Insurance Group 259,500 1,456 Medical Properties Trust+++ (A) 56,700 353 Meruelo Maddux Properties* 486,900 229 MFA Mortgage Investments+++ 723,624 4,479 MGIC Investment 16,800 46 Mid-America Apartment Communities+++ 27,202 1,007 Midwest Banc Holdings 11,753 21 Montpelier Re Holdings (A) 54,600 752 MSCI, Cl A* 120,282 1,856 National Health Investors+++ 6,643 150 National Interstate 3,656 61 National Penn Bancshares 20,549 316 National Retail Properties+++ (A) 14,459 194 Nationwide Health Properties+++ 40,512 917 Navigators Group* (A) 30,349 1,648 NBT Bancorp 34,954 927 Nelnet, Cl A (A) 120,619 1,588 New York Community Bancorp 15,600 204 NewAlliance Bancshares 54,084 745 NorthStar Realty Finance+++ (A) 20,909 71 NYSE Euronext 3,600 86 OceanFirst Financial 21,260 317 Odyssey Re Holdings 16,881 760 Old National Bancorp (A) 69,369 1,192 Omega Healthcare Investors+++ 17,904 237 One Liberty Properties+++ 13,400 130
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- optionsXpress Holdings 63,873 $ 900 Oriental Financial Group 33,900 213 Pacific Capital Bancorp 4,900 77 PacWest Bancorp (A) 78,703 2,094 Pennsylvania Commerce Bancorp* 1,400 38 Pennsylvania Real Estate Investment Trust+++ (A) 41,400 186 Penson Worldwide* 19,670 130 Peoples Bancorp (A) 5,700 99 PHH* (A) 120,798 920 Philadelphia Consolidated Holding* 2,700 166 Pico Holdings* 13,358 303 Platinum Underwriters Holdings (A) 92,464 2,841 PMA Capital, Cl A* 31,919 161 Portfolio Recovery Associates* 2,721 92 Post Properties+++ (A) 72,900 1,143 Potlatch+++ 6,873 183 Presidential Life 38,700 416 ProAssurance* 23,733 1,296 Prologis+++ (A) 87,100 334 Prospect Capital 1,500 19 Prosperity Bancshares (A) 37,788 1,247 Provident Bankshares (A) 74,000 697 Provident Financial Services 3,358 50 Provident New York Bancorp 11,900 145 PS Business Parks+++ 19,195 915 Public Storage+++ 29,324 2,049 RAIT Financial Trust+++ (A) 45,800 109 RAM Holdings* (A) 74,300 25 Rayonier+++ 8,100 271 Realty Income+++ (A) 34,511 697 Reinsurance Group of America (A) 13,124 533 RenaissanceRe Holdings 17,500 825 Renasant 29,800 577 Republic Bancorp, Cl A (A) 19,100 423 Riskmetrics Group* (A) 65,240 975 RLI (A) 13,752 802 S&T Bancorp (A) 15,300 520 Safety Insurance Group (A) 25,101 881 Sanders Morris Harris Group 17,122 90 Sandy Spring Bancorp (A) 8,500 166 Santander BanCorp (A) 63,800 630 SCBT Financial (A) 5,435 185 SeaBright Insurance Holdings* 44,236 467 Selective Insurance Group (A) 60,141 1,381 Senior Housing Properties Trust+++ (A) 13,040 182 Sierra Bancorp (A) 4,600 93 Signature Bank NY* (A) 37,205 1,109 Simon Property Group+++ (A) 33,600 1,596 SL Green Realty+++ (A) 63,400 1,202 Smithtown Bancorp (A) 2,500 50 South Financial Group (A) 57,506 248 Southside Bancshares 11,070 246
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 42
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Southwest Bancorp 7,402 $ 106 Sovran Self Storage+++ 1,100 30 State Bancorp 2,600 31 StellarOne 9,544 157 Sterling Bancshares (A) 26,919 180 Sterling Financial (A) 70,500 375 Stewart Information Services (A) 50,800 594 Stifel Financial* (A) 23,340 1,004 Strategic Hotels & Resorts+++ (A) 105,700 106 Student Loan 8,500 322 Sun Bancorp* 4,800 38 Sun Communities+++ 75,900 831 Sunstone Hotel Investors+++ (A) 65,300 312 Superior Bancorp* (A) 10,645 51 Susquehanna Bancshares (A) 15,628 239 SVB Financial Group* (A) 37,237 1,491 SWS Group 67,669 989 Tanger Factory Outlet Centers+++ 6,332 232 Taubman Centers+++ (A) 38,400 915 TCF Financial (A) 55,347 924 TD Ameritrade Holding* 27,331 363 Titanium Asset* 132,700 697 Tompkins Financial 5,846 321 Tower Group 3,688 84 TradeStation Group* 92,800 651 Trico Bancshares 6,300 150 Trustco Bank (A) 124,267 1,316 Trustmark (A) 5,768 115 UCBH Holdings (A) 393,469 1,826 UMB Financial 11,900 569 Umpqua Holdings (A) 19,142 253 United Bankshares (A) 32,177 1,070 United Community Banks 25,300 333 United Financial Bancorp 68,136 898 Universal Health Realty Income Trust+++ 743 23 Uranium Participation* 157,000 935 U-Store-It Trust+++ 59,300 326 Validus Holdings 37,400 869 Value Creation* (F) (G) (H) 100,165 677 Ventas+++ 65,800 1,512 Victory Acquisition* 50,050 474 ViewPoint Financial Group 21,300 341 Vornado Realty Trust+++ (A) 35,100 1,876 Washington Federal (A) 18,381 310 Washington Real Estate Investment Trust+++ (A) 40,550 1,073 Webster Financial (A) 16,000 240 WesBanco 16,800 434 Westamerica Bancorporation (A) 24,990 1,329 Westfield Financial 76,700 792 Whitney Holding (A) 31,900 559 Willis Group Holdings 12,662 292 Wilshire Bancorp (A) 42,700 293 Wintrust Financial (A) 10,922 225
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- World Acceptance* (A) 63,837 $ 1,249 WR Berkley 20,900 594 WSFS Financial 19,080 835 Zenith National Insurance 58,509 1,930 Zions Bancorporation (A) 18,526 591 ------------- 178,149 ------------- HEALTH CARE -- 13.2% 3SBio ADR* 84,100 503 Abaxis* (A) 53,350 707 Abiomed* (A) 69,400 974 Accelrys* 101,700 397 Achillion Pharmaceuticals* 77,080 88 Acorda Therapeutics* 66,718 1,209 Advanced Medical Optics* (A) 81,100 471 Affymax* (A) 9,500 111 Affymetrix* 25,326 69 Albany Molecular Research* 34,119 324 Alexion Pharmaceuticals* (A) 54,092 1,821 Align Technology* 12,839 90 Alkermes* 112,879 833 Allos Therapeutics* 6,835 49 Allscripts-Misys Healthcare Solutions 11,400 88 Alnylam Pharmaceuticals* (A) 23,413 427 AMAG Pharmaceuticals* (A) 11,402 384 Amedisys* (A) 12,076 470 American Medical Systems Holdings* (A) 46,504 409 AMERIGROUP* (A) 21,781 535 AMN Healthcare Services* 104,635 933 Amsurg, Cl A* (A) 93,206 1,858 Analogic 3,856 151 Angiodynamics* 23,960 286 Arena Pharmaceuticals* (A) 167,900 648 Ariad Pharmaceuticals* (A) 246,937 328 Array Biopharma* (A) 81,268 307 Assisted Living Concepts, Cl A* 26,644 124 athenahealth* 20,215 552 Biogen Idec* 5,400 229 BioMarin Pharmaceutical* 69,784 1,188 Bio-Rad Laboratories, Cl A* 5,739 426 Bio-Reference Labs* 2,914 65 Bruker* 88,600 416 Cambrex* (A) 191,503 666 Cantel Medical* 4,100 39 Capital Senior Living* 3,394 9 Caraco Pharmaceutical Laboratories* 6,050 26 Cardiac Science* 8,100 53 Cardiome Pharma* 164,000 695 CardioNet* 9,500 189 Catalyst Health Solutions* 62,127 1,398 Celera* 23,800 232 Centene* (A) 74,479 1,378
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 43 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Cepheid* 46,786 $ 635 Charles River Laboratories International* 19,200 438 Chemed 32,548 1,327 Columbia Laboratories* 16,654 28 Community Health Systems* 30,800 402 Computer Programs & Systems 700 19 Conmed* 75,943 1,785 Cooper 108,866 1,459 Covance* 5,900 231 Cross Country Healthcare* 96,808 843 CryoLife* 11,389 104 Cubist Pharmaceuticals* (A) 146,972 3,610 CV Therapeutics* (A) 236,678 2,144 Cyberonics* (A) 76,170 1,046 Cynosure, Cl A* 10,000 92 Cypress Bioscience* (A) 119,389 640 Datascope 5,796 303 Depomed* 1,658 3 Dionex* 486 25 Discovery Laboratories* (A) 57,200 57 Durect* 261,701 1,099 Eclipsys* 1,996 26 Edwards Lifesciences* 10,015 498 Emergency Medical Services, Cl A* (A) 21,908 743 Emergent Biosolutions* (A) 12,200 276 Endo Pharmaceuticals Holdings* 10,890 240 Enzo Biochem* 29,372 149 eResearch Technology* 76,165 430 ev3* 74,311 372 Genoptix* 4,535 144 Gen-Probe* 9,800 361 Gentiva Health Services* 30,673 774 Greatbatch* 25,700 649 GTx* (A) 12,800 189 Haemonetics* (A) 9,820 562 Halozyme Therapeutics* 75,600 281 Hanger Orthopedic Group* 40,565 651 Hansen Medical* 35,685 328 Health Net* 43,700 394 Healthsouth* 13,468 133 Healthspring* (A) 51,607 753 Healthways* 24,135 195 HMS Holdings* 10,200 301 Hologic* 50,750 714 Human Genome Sciences* (A) 175,900 304 ICU Medical* 22,000 666 Idexx Laboratories* 14,500 448 I-Flow* 71,360 284 Illumina* 18,000 396 Immucor* 114,050 2,768 Incyte* (A) 184,600 617 Indevus Pharmaceuticals* 341,041 853
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Integra LifeSciences Holdings* (A) 17,387 $ 548 InterMune* (A) 18,300 211 Intuitive Surgical* 800 106 Invacare 29,640 438 IPC The Hospitalist* 36,691 640 Isis Pharmaceuticals* (A) 49,279 565 Kendle International* 18,384 376 Kindred Healthcare* 64,278 690 Kinetic Concepts* (A) 14,300 309 King Pharmaceuticals* 20,166 194 KV Pharmaceutical, Cl A* 1,750 8 Laboratory Corp of America Holdings* 1,600 101 LCA-Vision (A) 42,200 167 LHC Group* 56,580 1,889 Life Sciences Research* 58,547 576 Life Technologies* 2,100 55 LifePoint Hospitals* (A) 55,895 1,121 Lincare Holdings* 9,700 232 Luminex* (A) 17,243 380 Magellan Health Services* 40,941 1,345 MannKind* 18,840 59 Martek Biosciences (A) 44,634 1,248 Masimo* 23,265 635 Medarex* (A) 545,769 2,756 Medical Staffing Network Holdings* 66,600 41 Medicines* 67,449 869 Medicis Pharmaceutical, Cl A 130,532 1,596 Mentor 9,300 150 Meridian Bioscience 19,700 469 Merit Medical Systems* 53,351 774 Metabolix* (A) 100,400 702 Micrus Endovascular* (A) 80,510 853 Molina Healthcare* 8,917 211 Momenta Pharmaceuticals* (A) 50,485 449 MWI Veterinary Supply* 19,996 499 Myriad Genetics* (A) 29,225 1,732 National Dentex* 15,600 76 Natus Medical* 4,000 51 Nighthawk Radiology Holdings* 40,381 117 NovaMed* 72,024 257 Noven Pharmaceuticals* 26,800 307 NPS Pharmaceuticals* 25,477 156 NuVasive* (A) 38,267 1,318 Odyssey HealthCare* 87,500 715 Omnicell* 61,799 701 Omrix Biopharmaceuticals* (A) 25,285 629 Onyx Pharmaceuticals* 9,411 264 Optimer Pharmaceuticals* (A) 30,754 245 Orthofix International* 28,855 345 OSI Pharmaceuticals* 29,267 1,089 Owens & Minor 19,575 813 Palomar Medical Technologies* 17,109 155 Par Pharmaceutical* 40,270 470
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 44
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Parexel International* 63,015 $ 524 Patterson* 14,337 270 PDL BioPharma 82,250 788 Pediatrix Medical Group* (A) 65,227 2,030 Perrigo (A) 44,816 1,542 Pharmacopeia* 64,529 64 PharmaNet Development Group* 26,809 32 PharMerica* (A) 62,810 1,044 Phase Forward* 60,645 841 Pozen* 208,537 1,420 Profarma Distribuidora de Produtos Farmaceuticos (Brazil) 141,950 419 Providence Service* 90,700 149 PSS World Medical* 1,221 21 Psychiatric Solutions* (A) 81,194 2,054 Questcor Pharmaceuticals* 11,970 102 Quidel* 52,593 717 Regeneron Pharmaceuticals* 23,999 371 RehabCare Group* 4,354 63 Res-Care* 87,170 1,138 Resmed* 16,241 590 Rigel Pharmaceuticals* (A) 85,600 635 Salix Pharmaceuticals* 46,266 375 Seattle Genetics* 18,828 163 Sirona Dental Systems* (A) 44,099 528 Skilled Healthcare Group, Cl A* 17,200 186 Somanetics* 19,886 349 SonoSite* 2,957 54 STERIS (A) 66,001 1,825 Sun Healthcare Group* 114,140 1,144 Symmetry Medical* 46,186 414 Techne 4,000 248 Teleflex 15,298 725 Theravance* (A) 94,670 632 Thoratec* 31,740 794 TomoTherapy* 77,640 179 TranS1* (A) 21,800 162 United Therapeutics* 20,875 1,145 Valeant Pharmaceuticals International* 13,182 257 Varian* 36,071 1,320 Viropharma* (A) 95,775 1,082 Vivus* (A) 13,175 78 Volcano* (A) 49,185 803 West Pharmaceutical Services (A) 11,630 413 Wright Medical Group* (A) 16,965 288 XenoPort* 32,457 1,020 Zoll Medical* 6,200 110 ------------- 113,754 ------------- INDUSTRIALS -- 14.4% AAON 13,469 257 ABM Industries 34,700 585 Actuant, Cl A 19,680 353
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Acuity Brands (A) 39,852 $ 1,075 Administaff 6,815 116 Aegean Marine Petroleum Network (A) 170,823 2,074 AerCap Holdings* 142,200 658 Aerovironment* 9,262 298 Airtran Holdings* 68,200 232 Allen-Vanguard* 572,000 46 Altra Holdings* 34,200 263 American Ecology 5,081 90 American Woodmark 8,700 143 Ampco-Pittsburgh 12,900 215 AO Smith (A) 30,660 1,004 Apogee Enterprises 42,802 334 Applied Industrial Technologies 14,900 284 Applied Signal Technology 13,300 209 Arkansas Best (A) 33,826 898 Armstrong World Industries 5,318 90 Astec Industries* (A) 24,600 744 ATC Technology* 28,588 494 Axsys Technologies* 8,645 603 AZZ* 2,800 67 Baldor Electric 2,300 38 Barnes Group 43,890 588 BE Aerospace* 119,010 973 Beacon Roofing Supply* (A) 62,416 738 Belden (A) 49,033 854 Bowne 36,300 129 Brady, Cl A 25,605 529 Briggs & Stratton 34,115 480 Brink's (A) 36,100 786 Bucyrus International, Cl A 27,435 536 C.H. Robinson Worldwide 2,900 148 Canadian Solar* (A) 77,000 428 CBIZ* 5,450 44 CDI 2,261 23 Celadon Group* 39,596 305 Ceradyne* 9,168 241 Chart Industries* (A) 48,476 463 China Fire & Security Group* (A) 23,200 160 CIRCOR International 16,081 351 Clarcor 19,540 627 Clean Harbors* 2,006 127 Columbus McKinnon* 14,266 167 Comfort Systems USA (A) 101,800 850 Consolidated Graphics* 15,108 217 Continental Airlines, Cl B* 29,203 429 Con-way (A) 30,100 842 Copa Holdings, Cl A 32,884 729 Corrections of America* 50,833 920 CoStar Group* (A) 49,162 1,604 Courier 18,794 343 CRA International* 35,339 1,026 Crane 76,566 1,135 Cubic 55,800 1,475
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 45 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Curtiss-Wright 17,981 $ 601 Danaos (A) 25,700 137 Deluxe (A) 90,854 956 Diamond Management & Technology Consultants, Cl A 69,900 310 Diana Shipping* 15,000 133 Donaldson 12,760 437 Duff & Phelps, Cl A* 8,500 98 Dycom Industries* 51,472 306 Dynamic Materials (A) 49,300 784 EMCOR Group* (A) 84,976 1,340 Energy Conversion Devices* (A) 24,255 679 Energy Recovery* (A) 42,500 298 EnergySolutions 101,962 465 Ennis 16,621 169 EnPro Industries* (A) 54,570 1,019 ESCO Technologies* (A) 15,800 483 Esterline Technologies* 2,616 97 Evergreen Solar* (A) 281,100 767 Expeditors International Washington 35,600 1,190 Fastenal 5,400 208 Federal Signal 46,301 325 Force Protection* 180,700 719 Forward Air 20,795 481 FTI Consulting* 19,172 1,051 Fuel Tech* (A) 72,400 640 G&K Services, Cl A 22,215 520 Gardner Denver* 42,482 1,051 GATX 9,400 265 Genco Shipping & Trading (A) 11,200 102 GenCorp* 15,600 45 General Cable* 19,100 315 Genesee & Wyoming, Cl A* (A) 50,577 1,536 Geo Group* (A) 133,879 2,584 GeoEye* (A) 34,000 680 Gibraltar Industries 29,256 377 GrafTech International* 126,882 849 Graham 8,106 74 Granite Construction (A) 59,100 2,535 Griffon* 12,200 98 GT Solar International* (A) 89,600 315 H&E Equipment Services* (A) 121,800 820 Hawaiian Holdings* (A) 96,896 434 Healthcare Services Group (A) 41,572 661 Heico, Cl A 24,506 570 Heidrick & Struggles International 1,359 28 Herman Miller 17,799 262 Hexcel* (A) 68,344 513 HNI 7,525 100 Horizon Lines, Cl A 101,050 404 HUB Group, Cl A* 27,731 740 Hubbell, Cl B 23,100 691 Hudson Highland Group* 105,400 331 Huron Consulting Group* 19,600 1,021
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- ICF International* (A) 111,591 $ 2,187 ICT Group* 3,400 11 IDEX 69,031 1,588 II-VI* (A) 29,996 604 Innerworkings* 109,444 614 Insteel Industries 17,051 166 Interface, Cl A 27,021 150 JA Solar Holdings ADR* 47,740 168 JB Hunt Transport Services 36,500 979 Kadant* 20,269 304 Kaman 7,167 169 Kansas City Southern* 52,128 1,143 Kaydon (A) 49,491 1,527 KBR 41,400 570 Kelly Services, Cl A 20,100 234 Kennametal 7,580 142 Kforce* 85,900 584 Kirby* 37,840 962 Knight Transportation 48,616 766 Knoll 122,776 1,322 Korn/Ferry International* (A) 50,800 625 Ladish* (A) 50,826 842 Landstar System 12,860 413 LB Foster, Cl A* 14,935 476 LECG* 122,200 643 Lennox International 22,688 627 Lindsay Manufacturing 2,000 78 LS Starrett, Cl A 1,700 26 Lydall* 15,560 82 M&F Worldwide* (A) 15,849 250 Manitowoc 15,218 120 Marten Transport* 15,476 292 MasTec* 123,719 793 Mcgrath Rentcorp 8,253 148 Mesa Air Group* (A) 99,100 20 Michael Baker* 16,300 536 Milacron* (A) 4,714 1 Mine Safety Appliances 28,428 695 Monster Worldwide* (A) 33,800 388 Moog, Cl A* 5,418 174 MPS Group* 93,500 619 MSC Industrial Direct, Cl A 5,800 201 Mueller Industries 38,626 900 Mueller Water Products, Cl B (A) 18,300 108 NACCO Industries, Cl A 6,333 231 Navigant Consulting* 16,563 313 Navistar International* 11,800 258 NCI Building Systems* (A) 11,700 178 Nordson (A) 13,800 448 Northwest Pipe* (A) 10,130 291 Old Dominion Freight Line* 75,951 1,808 On Assignment* 27,247 157 Orbital Sciences* (A) 74,800 1,287 Orion Marine Group* 87,100 666
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 46
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Oshkosh Truck 72,313 $ 506 Pacer International (A) 71,376 692 Pall 37,200 1,023 Paragon Shipping, Cl A 30,700 137 Perini* (A) 11,700 224 Pike Electric* 12,710 155 Powell Industries* 3,700 88 PRG-Schultz International* 28,752 129 Quanex Building Products (A) 72,274 669 Quanta Services* 54,695 889 Raven Industries 15,055 385 Regal-Beloit 48,876 1,644 Republic Airways Holdings* (A) 78,965 1,103 Resources Connection* 42,780 740 Robbins & Myers 15,451 348 Rollins 52,100 902 RSC Holdings* (A) 170,400 1,387 Rush Enterprises, Cl A* 103,367 907 Ryder System 32,400 1,163 Saia* (A) 15,710 140 School Specialty* (A) 55,809 894 Shaw Group* 2,695 50 Skywest 70,302 1,069 Southwest Airlines 126,157 1,091 Spherion* 130,900 295 Standard Parking* 49,865 997 Standard Register 18,094 101 Standex International 2,127 45 Steelcase, Cl A 74,100 478 Sunpower, Cl B* 6,656 173 Sunpower, Cl A* 39,038 1,356 TAL International Group (A) 39,800 449 TBS International, Cl A* (A) 3,100 15 Tecumseh Products, Cl A* 52,024 615 Teledyne Technologies* 31,300 1,271 Tetra Tech* 27,209 545 Textainer Group Holdings 60,500 613 Thermadyne Holdings* 10,683 70 Titan Machinery* 45,000 526 Toro 1,712 49 TransDigm Group* 17,155 609 Tredegar 12,700 199 Trimas* 11,316 20 Triumph Group (A) 11,185 383 TrueBlue* 43,700 324 Twin Disc 1,897 12 UAL 68,100 766 United Rentals* (A) 13,777 111 United Stationers* 25,430 809 Vitran, Cl A* 41,062 266 Volt Information Sciences* 13,174 80 Wabash National (A) 14,300 70 Wabtec (A) 40,468 1,562 Waste Connections* (A) 42,422 1,198
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Waste Services* 6,900 $ 44 Watson Wyatt Worldwide, Cl A 32,928 1,328 Watts Water Technologies, Cl A (A) 14,162 319 Werner Enterprises (A) 20,931 364 WESCO International* 68,248 1,009 Woodward Governor 20,100 427 Xerium Technologies 8,322 10 YRC Worldwide* (A) 33,509 133 ------------- 123,911 ------------- INFORMATION TECHNOLOGY -- 18.7% 3Com* 305,142 613 Actel* 44,500 412 Actuate* 142,800 376 Acxiom 66,876 502 Adaptec* 47,842 135 ADC Telecommunications* 81,006 576 Adtran 27,650 393 Advanced Energy Industries* 116,789 909 Advent Software* (A) 37,000 825 Akamai Technologies* (A) 86,195 1,058 Alliance Semiconductor 76,500 46 Alvarion* 135,700 434 Amkor Technology* 62,000 136 Anixter International* 2,217 61 Ansys* 51,486 1,486 Applied Micro Circuits* 156,050 577 Ariba* 72,096 580 ARM Holdings ADR (A) 175,900 783 Arris Group* (A) 451,614 3,247 Arrow Electronics* 36,211 500 Art Technology Group* 641,207 1,231 AsiaInfo Holdings* 6,132 68 Asyst Technologies* (A) 330,500 145 Atheros Communications* (A) 100,310 1,465 Atmel* 251,204 703 ATMI* 148,945 1,775 Avanex* (A) 24,960 28 Avid Technology* 7,614 95 Avocent* 82,699 1,556 Axesstel* 282,641 99 Bankrate* (A) 31,728 871 Benchmark Electronics* 93,024 1,179 Black Box 29,643 726 Blackboard* (A) 28,846 710 BluePhoenix Solutions* 109,700 199 Brightpoint* 36,291 149 Broadridge Financial Solutions 57,800 659 Brocade Communications Systems* 232,000 747 Brooks Automation* 6,500 25 Cabot Microelectronics* 8,088 200 CACI International, Cl A* 44,819 1,990 Checkpoint Systems* 8,686 100
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 47 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- China Digital TV Holding ADR* (A) 61,100 $ 300 China Security & Surveillance Technology* (A) 15,700 90 Ciber* 87,000 373 Ciena* (A) 80,200 593 Cirrus Logic* 39,966 169 Cognex (A) 52,110 710 Cogo Group* 22,700 77 Coherent* (A) 47,208 1,175 CommScope* 45,910 518 Commvault Systems* (A) 103,748 1,063 comScore* 139,889 1,304 Comverse Technology* (A) 109,200 677 Concur Technologies* (A) 52,976 1,454 CPI International* 27,500 257 Cree* (A) 21,800 346 CSG Systems International* (A) 96,740 1,629 CTS 128,066 708 Cybersource* 79,540 738 Cymer* (A) 30,700 721 Cypress Semiconductor* 24,275 91 DealerTrack Holdings* (A) 153,615 1,820 Dice Holdings* 42,829 137 Diebold (A) 20,332 569 Digi International* 63,700 587 Digital River* (A) 22,072 466 Diodes* (A) 31,480 147 DivX* 28,000 135 Dolby Laboratories, Cl A* 7,400 221 DSP Group* 180,659 1,033 DTS* 39,625 657 Earthlink* (A) 249,226 1,660 EF Johnson Technologies* 103,800 134 Electro Rent 6,771 75 Electronic Arts* 10,167 194 Electronics for Imaging* 21,821 213 Emulex* 129,263 922 Entegris* 9,696 14 EPIQ Systems* (A) 37,244 605 Equinix* (A) 28,167 1,279 Euronet Worldwide* 86,137 735 Factset Research Systems (A) 16,850 674 Fair Isaac (A) 84,972 1,201 Fairchild Semiconductor International, Cl A* 56,182 224 Flir Systems* 39,350 1,221 Forrester Research* (A) 19,000 436 Gartner* 10,816 166 GSI Commerce* (A) 109,144 869 Harris Stratex Networks, Cl A* 170,069 849 Heartland Payment Systems 15,172 261 Hewitt Associates, Cl A* 16,400 469 Hittite Microwave* 6,300 184
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Hutchinson Technology* (A) 27,100 $ 76 Hypercom* 14,245 11 iGate* 12,400 76 Ikanos Communications* 105,000 124 Imation (A) 130,439 1,732 Immersion* (A) 151,400 586 Information Services Group* 108,785 337 Integral Systems 52,310 1,256 Integrated Device Technology* 79,211 410 InterDigital* 19,214 510 Intermec* 9,351 124 Internap Network Services* 23,000 63 Intevac* (A) 35,400 175 IXYS 16,902 123 j2 Global Communications* 23,800 465 Jabil Circuit 24,791 163 Jack Henry & Associates (A) 30,358 559 JDA Software Group* 126,260 1,664 JDS Uniphase* 9,011 24 Kemet* (A) 114,100 48 Kenexa* 35,700 216 Keynote Systems* 58,600 446 Knot* (A) 233,793 1,758 Lam Research* 15,400 311 Lattice Semiconductor* 12,995 20 Lawson Software* (A) 409,902 1,607 LeCroy* (A) 71,700 250 Lender Processing Services 16,500 364 Lexmark International, Cl A* 7,200 189 Linear Technology 14,100 281 Lionbridge Technologies* 53,622 52 Littelfuse* 26,055 392 Longtop Financial Technologies ADR* (A) 18,200 249 LSI* 37,500 101 LTX-Credence* (A) 212,101 78 Manhattan Associates* 50,200 771 Mantech International, Cl A* 19,467 1,059 Marchex, Cl A (A) 155,500 868 Marvell Technology Group* 16,000 93 MAXIMUS (A) 36,600 1,149 Maxwell Technologies* (A) 14,700 72 Measurement Specialties* 9,075 53 Mentor Graphics* (A) 143,974 976 Mercury Computer Systems* 76,500 210 Merrimac Industries* 13,600 32 Methode Electronics 64,951 549 Micrel (A) 55,300 409 Microsemi* (A) 156,695 3,054 MicroStrategy, Cl A* 20,981 749 MIPS Technologies, Cl A* (A) 241,400 326 MKS Instruments* 64,578 924 Monolithic Power Systems* 52,258 500
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 48
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Move* 88,039 $ 105 MTS Systems 16,653 433 Multi-Fineline Electronix* (A) 34,400 359 Ness Technologies* 103,489 487 Net 1 UEPS Technologies* 69,013 704 Netgear* 68,000 823 Netlogic Microsystems* (A) 72,301 1,348 NeuStar, Cl A* (A) 84,651 1,621 NIC 900 4 Novatel Wireless* (A) 150,100 575 Nuance Communications* (A) 87,770 806 Omniture* (A) 146,478 1,456 Omnivision Technologies* 41,600 250 ON Semiconductor* (A) 186,700 545 Open Text* (A) 32,883 875 Orbotech* 99,200 418 Orckit Communications* 50,800 134 OSI Systems* 52,400 727 Palm* (A) 127,000 304 Parametric Technology* 111,364 1,287 Park Electrochemical 36,262 645 Parkervision* (A) 107,300 397 Pegasystems 4,966 59 Perfect World ADR* (A) 46,410 810 Perot Systems, Cl A* 45,121 563 Phoenix Technologies* 6,920 23 Photronics* 6,970 3 Pixelworks* 19,290 19 Plantronics 27,181 345 PLATO Learning* 59,300 62 Plexus* (A) 23,768 396 PLX Technology* (A) 129,227 270 PMC - Sierra* 189,475 760 Polycom* (A) 174,900 3,293 Power Integrations (A) 73,346 1,342 Powerwave Technologies* (A) 97,054 47 Presstek* (A) 72,821 178 Progress Software* 12,200 260 QLogic* (A) 79,735 847 Quality Systems (A) 18,661 561 Quantum* (A) 472,300 57 Quest Software* 15,023 201 Rackable Systems* 86,067 343 Radisys* 34,800 209 RADWARE* 102,900 697 RealNetworks* 19,000 72 Red Hat* 212,700 1,967 RF Micro Devices* (A) 342,300 455 Richardson Electronics 27,448 84 RightNow Technologies* 13,241 107 Riverbed Technology* (A) 217,000 2,038 Rogers* 19,358 546 Rudolph Technologies* 172,600 570 S1* 60,500 452
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Sapient* 166,691 $ 657 SAVVIS* 61,775 486 Scansource* 10,344 176 Seachange International* (A) 159,200 1,261 Seagate Technology 52,200 220 Semtech* 1,748 20 SI International* 10,900 333 Silicon Image* 44,519 168 Sina* (A) 27,135 838 SkillSoft ADR* 117,695 706 Skyworks Solutions* (A) 550,275 2,966 Sohu.com* (A) 13,020 632 Solera Holdings* 33,890 663 Sonic Solutions* 15,340 20 SonicWALL* 11,900 47 SPSS* 34,880 852 SRA International, Cl A* 48,027 721 Standard Microsystems* 51,371 783 Starent Networks* 9,271 92 Stratasys* (A) 73,565 821 Super Micro Computer* 11,100 58 Switch & Data* 53,700 280 Sybase* (A) 119,015 2,932 Synaptics* (A) 35,783 786 Synchronoss Technologies* 3,297 23 SYNNEX* (A) 29,404 308 Synopsys* 22,522 361 Take-Two Interactive Software 1,504 18 Taleo, Cl A* 42,589 275 Technitrol 65,461 229 TechTarget* 38,611 177 Techwell* (A) 17,200 95 Tekelec* (A) 161,446 1,978 TeleCommunication Systems, Cl A* (A) 120,760 954 Teradyne* 10,932 41 Terremark Worldwide* 160,213 582 Tessera Technologies* 72,556 1,334 THQ* 109,719 520 TIBCO Software* 284,659 1,378 TNS* 29,400 251 Trimble Navigation* 20,515 418 TriQuint Semiconductor* 469,281 1,211 TTM Technologies* (A) 132,000 674 Tyler Technologies* (A) 50,107 633 Ultimate Software Group* 29,979 459 Ultra Clean Holdings* 49,900 105 Ultratech* (A) 131,979 1,656 United Online 147,297 977 Universal Display* (A) 86,100 628 Utstarcom* (A) 158,549 301 Valueclick* 14,700 91 Varian Semiconductor Equipment Associates* (A) 29,200 537
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 49 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Vasco Data Security International* (A) 54,904 $ 573 Veeco Instruments* (A) 49,675 295 Verigy* 22,308 205 Verint Systems* 62,600 376 Virtusa* (A) 11,893 59 Vishay Intertechnology* 17,181 75 VistaPrint* (A) 185,459 3,032 Vocus* 49,930 907 Volterra Semiconductor* (A) 41,660 312 Wavecom ADR* 38,937 345 Wind River Systems* 226,100 1,886 Xyratex* 99,744 274 Zoran* 165,529 1,245 Zygo* 84,603 559 ------------- 160,967 ------------- MATERIALS -- 3.8% A. Schulman 34,253 465 ADA-ES* 25,800 69 Airgas 7,100 254 Albemarle 9,730 198 AM Castle 12,082 110 AMCOL International (A) 23,500 473 Arch Chemicals 12,470 360 Bemis 12,567 340 Buckeye Technologies* 79,000 356 Bway Holding* 6,400 31 Cabot (A) 17,817 369 Carpenter Technology 99,658 1,660 Century Aluminum* 3,631 30 Chemtura 212,600 355 Compass Minerals International 4,204 235 Constar International* (A) 33,298 11 Crown Holdings* 52,300 839 Cytec Industries (A) 43,607 961 Eagle Materials 4,700 98 Ferro (A) 66,600 428 FMC 13,953 610 Glatfelter 15,277 146 Greif, Cl A 23,945 794 Grupo Simec ADR* (A) 84,000 386 H.B. Fuller (A) 91,114 1,616 Horsehead Holding* 103,400 321 Innophos Holdings 35,684 588 Innospec 5,584 32 International Flavors & Fragrances 11,386 348 Kaiser Aluminum 9,700 205 KapStone Paper and Packaging* (A) 28,200 125 Katanga Mining (Canada)* 216,000 151 Koppers Holdings 37,436 802 LSB Industries* 1,274 11 Mercer International* (A) 73,800 170
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Methanex 25,300 $ 269 Minerals Technologies 7,400 347 Myers Industries 47,383 288 Neenah Paper 23,864 195 NewMarket 18,875 632 Olin (A) 110,113 1,804 Olympic Steel 98 2 OM Group* 42,000 829 Omnova Solutions* 79,100 84 Owens-Illinois* 28,742 581 Pactiv* 13,634 341 Quaker Chemical (A) 28,200 361 Rock-Tenn, Cl A 23,900 807 Rockwood Holdings* 11,523 103 Royal Gold 2,300 92 RTI International Metals* (A) 50,200 603 Schnitzer Steel Industries, Cl A (A) 27,000 729 Schweitzer-Mauduit International 29,900 551 Scotts Miracle-Gro, Cl A (A) 14,500 469 Sensient Technologies 54,088 1,300 ShengdaTech* (A) 54,800 218 Silgan Holdings 91,512 4,140 Solutia* (A) 85,600 582 Spartech 47,400 275 Steel Dynamics 23,273 192 Temple-Inland (A) 53,000 167 Universal Stainless & Alloy* 33,500 409 US Concrete* 22,636 73 Wausau Paper 13,981 144 Western Goldfields* (A) 792,000 1,077 Westlake Chemical (A) 32,100 542 Worthington Industries (A) 35,200 468 ------------- 32,621 ------------- TELECOMMUNICATION SERVICES -- 1.5% Alaska Communications Systems Group 26,164 254 Atlantic Telegraph-Network (A) 25,000 574 Cbeyond* (A) 46,851 713 Centennial Communications* 189,181 1,462 Cincinnati Bell* 220,406 381 Clearwire, Cl A* (A) 163,100 1,080 Consolidated Communications Holdings 14,486 147 Fairpoint Communications (A) 243,400 852 Globalstar* (A) 365,800 77 Iowa Telecommunications Services 29,395 449 NTELOS Holdings 75,093 1,668 Premiere Global Services* 42,023 256 SBA Communications, Cl A* (A) 110,043 1,737 Sierra Wireless* 100,000 818 Syniverse Holdings* 109,993 1,075
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 50
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- tw telecom inc, Cl A* 63,130 $ 482 USA Mobility 56,592 617 ------------- 12,642 ------------- UTILITIES -- 3.0% AGL Resources 32,118 967 Allete (A) 39,798 1,362 Atmos Energy 28,985 723 Avista 3,600 64 Black Hills 21,198 547 Cascal 38,500 170 Centerpoint Energy 66,900 865 Central Vermont Public Service 9,900 187 Cia de Saneamento de Minas Gerais-COPASA (Brazil) 110,200 771 Cleco 60,657 1,430 CMS Energy (A) 59,800 607 El Paso Electric* 73,416 1,323 Empire District Electric 34,552 606 Energen 10,600 326 Great Plains Energy 12,700 239 Idacorp (A) 32,634 992 ITC Holdings 22,704 954 Laclede Group (A) 8,300 437 National Fuel Gas 15,000 488 New Jersey Resources 26,661 1,071 Northwest Natural Gas 17,279 863 NorthWestern 67,031 1,385 Ormat Technologies (A) 17,100 515 Piedmont Natural Gas 3,800 128 PNM Resources (A) 60,478 632 PNOC Energy Development (Philippines) 10,290,500 536 Portland General Electric 133,612 2,446 SJW 2,000 56 South Jersey Industries (A) 17,900 698 Southwest Gas 23,841 617 Synthesis Energy Systems* 65,600 64 UGI 19,900 465 UIL Holdings 16,242 484 Unisource Energy 18,258 512 Vectren 43,062 1,213 Westar Energy (A) 30,470 616 WGL Holdings (A) 18,159 656 ------------- 26,015 ------------- Total Common Stock (Cost $1,247,130) ($ Thousands) 810,469 -------------
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- EXCHANGE TRADED FUNDS -- 0.2% iShares Russell 2000 Index Fund (A) 19,318 $ 912 Midcap SPDR Trust Series 1 5,847 547 Powershares QQQ 18,008 525 ------------- Total Exchange Traded Funds (Cost $2,153) ($ Thousands) 1,984 ------------- PREFERRED STOCK -- 0.1% FINANCIALS -- 0.1% East West Bancorp 629 573 ------------- Total Preferred Stock (Cost $628) ($ Thousands) 573 ------------- CONVERTIBLE BONDS -- 0.1% ENERGY -- 0.1% Nova Biosource Fuels 10.000%, 09/30/12 (B) $ 1,698 420 Scorpio Mining 7.000%, 05/05/11 (F) (G) (H) 425 242 ------------- 662 ------------- INFORMATION TECHNOLOGY -- 0.0% Hutchinson Technology 2.250%, 03/15/10 650 469 ------------- Total Convertible Bonds (Cost $2,578) ($ Thousands) 1,131 ------------- Number of Warrants ------------- WARRANTS -- 0.0% Oilsands Quest, Expires 12/08/09* 17,500 1 Rentech, Expires 04/25/12* (F) (G) (H) 16,100 3 Titanium Asset Management, Expires 06/21/11* 122,200 165 Victory Acquisition, Expires 04/30/11* 155,512 15 Washington Mutual, Expires 01/03/03 196,061 10 ------------- Total Warrants (Cost $223) ($ Thousands) 194 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 51 SCHEDULE OF INVESTMENTS (Unaudited) Small Cap Fund (Concluded) November 30, 2008
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------- ------------- ------------- AFFILIATED PARTNERSHIP -- 26.5% SEI Liquidity Fund, L.P., 1.630%**+ (E) 235,577,292 $ 229,071 ------------- Total Affiliated Partnership (Cost $235,577) ($ Thousands) 229,071 ------------- U.S. TREASURY OBLIGATION -- 1.1% U.S. Treasury Bill 0.010%, 02/12/09 (C) (D) $ 9,355 9,354 ------------- Total U.S. Treasury Obligation (Cost $9,355) ($ Thousands) 9,354 ------------- CASH EQUIVALENTS -- 5.0% First Union Cash Management Program, 0.860%** 4,523,570 4,523 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.580%**+ 38,377,641 38,378 ------------- Total Cash Equivalents (Cost $42,901) ($ Thousands) 42,901 ------------- Total Investments -- 127.0% (Cost $1,540,545) ($ Thousands) $ 1,095,677 =============
A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ------------- ------------- Russell 2000 Index E-Mini 858 Dec-2008 $957 ====
Percentages are based on a Net Assets of $862,491 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (see Note 3). +++ Real Estate Investment Trust (A) This security or a partial position of this security is on loan at November 30, 2008. The total value of securities on loan at November 30, 2008 was $224,442 ($ Thousands). (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the board of Trustees. (C) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (D) Security, or portion thereof, has been pledged as collateral on open future contracts. (E) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of November 30, 2008 was $229,071 ($ Thousands). (F) Securities considered illiquid. The total value of such securities as of November 30, 2008 was $1,282 ($ Thousands) and represented 0.15% of net assets (see Note 3). (G) Securities considered restricted. The total value of such securities as of November 30, 2008 was $922 ($ Thousands) and represented 0.11% of net assets (see Note 3). (H) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2008 was $922 ($ Thousands) and represented 0.11% of net assets. ADR -- American Depositary Receipt Cl -- Class CV -- Convertible Security PIPE -- Private Investment in Public Entity SPDR -- Standard & Poor's Depositary Receipts Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 52 Small/Mid Cap Equity Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) Financials 18.6% Affiliated Partnership 17.5% Information Technology 13.7% Industrials 12.0% Health Care 9.5% Consumer Discretionary 8.5% Energy 4.5% Utilities 4.4% Materials 3.3% Cash Equivalent 3.2% Consumer Staples 2.5% Telecommunication Services 1.6% U.S. Treasury Obligations 0.5% Exchange Traded Fund 0.2% Warrants 0.0%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- COMMON STOCK -- 93.1% CONSUMER DISCRETIONARY -- 10.1% 1-800-FLOWERS.COM, Cl A* (A) 42,200 $ 157 Aaron Rents 38,700 1,023 Abercrombie & Fitch, Cl A 41,617 804 Advance Auto Parts 62,310 1,892 Aeropostale* (A) 3,800 57 AFC Enterprises* 714 3 American Axle & Manufacturing Holdings (A) 41,700 105 American Eagle Outfitters 199,211 1,912 American Greetings, Cl A 33,400 385 Amerigon* (A) 159,198 594 AnnTaylor Stores* (A) 96,233 432 Apollo Group, Cl A* 26,080 2,004 Arbitron 3,740 52 Arctic Cat 68,000 411 ArvinMeritor 5,168 20 Autoliv 64,174 1,225 AutoNation* (A) 26,050 222 Bebe Stores 340,645 2,105 Bed Bath & Beyond* 11,400 231 Belo, Cl A 143,211 276 Big 5 Sporting Goods 11,600 44 Big Lots* (A) 42,300 741 BJ's Restaurants* (A) 53,008 519 Black & Decker (A) 25,900 1,099 Blue Nile* (A) 17,500 418 Blyth 340 3 Borders Group 1,930 2 BorgWarner 48,687 1,152 Brinker International 92,600 615 Brink's Home Security Holdings* 80,276 1,606 Brown Shoe (A) 87,956 496 Callaway Golf (A) 71,327 718 Career Education* 117,019 2,163 Carter's* 32,603 617
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Casual Male Retail Group* (A) 412,600 $ 264 Cato, Cl A 190,000 2,652 CBRL Group (A) 59,701 1,154 CEC Entertainment* (A) 76,134 1,310 Century Casinos* 290,580 267 Charlotte Russe Holding* 17,000 85 Charming Shoppes* (A) 221,500 332 Cheesecake Factory* (A) 93,300 679 Chico's FAS* (A) 374,800 956 Childrens Place Retail Stores* (A) 14,100 331 Chipotle Mexican Grill, Cl A* (A) 41,400 2,053 Christopher & Banks 69,000 233 Churchill Downs 3,617 127 Cinemark Holdings (A) 166,746 1,256 CKE Restaurants 588 4 Cooper Tire & Rubber 82,045 393 Corinthian Colleges* 14,700 236 Cox Radio, Cl A* (A) 20,300 118 CROCS* (A) 524,000 665 Ctrip.com International ADR 680 16 Darden Restaurants 20,439 374 Deckers Outdoor* (A) 35,700 2,129 DeVry 23,011 1,323 Dick's Sporting Goods* (A) 168,082 2,119 Dillard's, Cl A (A) 40,000 146 Dollar Tree* (A) 53,500 2,266 DreamWorks Animation SKG, Cl A* 84,275 1,947 DSW, Cl A* (A) 183,948 1,849 Dufry South America (United Kingdom) 131,200 731 Eddie Bauer Holdings* (A) 282,200 265 Entercom Communications, Cl A (A) 90,474 99 Ethan Allen Interiors 19,091 264 Family Dollar Stores 129,600 3,600 FGX International Holdings* 11,500 118 Focus Media Holding ADR* (A) 61,266 458 Foot Locker 210,962 1,420 Fossil* (A) 40,800 620 Fuel Systems Solutions* 10,000 346 GameStop, Cl A* 31,400 686 Gap 83,000 1,081 Genesco* 32,155 433 Genius Products* 652,825 33 Goodyear Tire & Rubber* (A) 53,300 343 Grand Canyon Education* 88,510 1,313 Guess? 41,200 545 Gymboree* 36,500 918 H&R Block 59,747 1,143 Harley-Davidson 34,610 589 Harman International Industries 18,183 274 Hasbro 132,455 3,550 Hibbett Sports* (A) 63,667 907 Hillenbrand 29,500 470
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 53 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Equity Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Hooker Furniture (A) 49,800 $ 332 HSN* 3,679 14 Iconix Brand Group* 25,700 218 Interactive Data 19,828 459 Interpublic Group* 199,195 815 Interval Leisure Group* 46 -- ITT Educational Services* (A) 28,225 2,543 J Crew Group* (A) 69,600 706 Jackson Hewitt Tax Service 25,700 331 Jarden* (A) 252,825 3,155 Jo-Ann Stores* 20,000 278 Jones Apparel Group (A) 159,663 819 K12* (A) 7,696 140 Landry's Restaurants (A) 22,200 257 Lear* (A) 35,400 84 Lee Enterprises 34,800 36 Leggett & Platt (A) 50,300 734 Lennar, Cl A (A) 257,808 1,833 Life Time Fitness* 81,065 1,214 Limited Brands (A) 189,100 1,760 Lincoln Educational Services* 3,300 45 Live Nation* 193,300 945 Lululemon Athletica* (A) 53,900 529 M/I Homes 15,500 163 Martha Stewart Living Omnimedia, Cl A* (A) 160,200 535 Marvel Entertainment* 34,600 1,019 Mattel 71,642 979 MDC Holdings 7,508 233 Media General, Cl A 25,699 50 Men's Wearhouse 13,542 144 Meredith 17,581 284 Monro Muffler 2,800 57 Morningstar* (A) 46,225 1,488 National CineMedia 371,840 3,027 NetFlix* (A) 46,700 1,073 Newell Rubbermaid 83,820 1,120 Nordstrom 72,004 819 NVR* 1,237 537 O'Charleys 64,203 136 Office Depot* 371,000 731 OfficeMax (A) 232,600 1,268 O'Reilly Automotive* 15,800 412 Overstock.com* 7,864 82 Penn National Gaming* 111,951 2,373 PetSmart 100,366 1,761 PF Chang's China Bistro* 2,557 48 Phillips-Van Heusen 97,049 1,693 Playboy Enterprises, Cl B* 30 -- Polaris Industries 58,627 1,601 Pre-Paid Legal Services* 1,283 51 priceline.com* (A) 40,625 2,803 Pulte Homes (A) 208,486 2,220 Quiksilver* (A) 180,300 252
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- RadioShack (A) 56,916 $ 561 RC2* 34,593 368 Red Robin Gourmet Burgers* (A) 13,813 168 Regal Entertainment Group, Cl A 85,500 784 Regis 128,816 1,416 Rent-A-Center, Cl A* 101,444 1,665 Retail Ventures* 379,506 471 RHI Entertainment* 121,300 496 Ross Stores 80,107 2,123 Ruby Tuesday* (A) 79,800 92 Scholastic 36,563 558 Scientific Games, Cl A* (A) 154,098 2,313 Scripps Networks Interactive, Cl A 38,670 1,075 Shutterfly* (A) 205,000 1,402 Sinclair Broadcast Group, Cl A (A) 93,100 294 Skechers U.S.A., Cl A* 330 4 Snap-On 22,100 797 Sonic Automotive, Cl A (A) 33,900 109 Sotheby's 18,700 186 Stage Stores 71,200 412 Stamps.com* 24,600 218 Standard Pacific* (A) 233,591 451 Stanley Works 12,701 404 Starwood Hotels & Resorts Worldwide (A) 126,500 2,133 Steven Madden* 35,800 613 Strayer Education (A) 12,384 2,967 Systemax 12,700 124 Talbots 29,300 70 Tempur-Pedic International 49,284 344 Thunderbird Resorts* (C) 151,700 380 Ticketmaster Entertainment* 10,677 43 Tiffany (A) 48,900 968 Timberland, Cl A* 8,874 90 Tractor Supply* (A) 69,603 2,671 TRW Automotive Holdings* 424 1 Tupperware Brands 9,400 185 Tween Brands* 56,000 215 Universal Electronics* 8,544 142 Urban Outfitters* (A) 53,500 972 VF 26,600 1,391 VisionChina Media ADR* (A) 161,466 1,093 WABCO Holdings 16,600 247 Warnaco Group* 8,880 159 Weight Watchers International 39,400 1,115 Westport Innovations* 105,349 417 Whirlpool (A) 21,994 866 Williams-Sonoma (A) 76,500 536 WMS Industries* 124,297 3,064 Wolverine World Wide 5,040 97 Zumiez* 10,300 89 ------------- 151,158 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 54
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- CONSUMER STAPLES -- 3.0% American Oriental Bioengineering* (A) 101,300 $ 574 Asiatic Development (Malaysia) 1,167,500 1,050 Avon Products 30,269 639 Bare Escentuals* (A) 94,600 446 BJ's Wholesale Club* (A) 30,195 1,080 Boston Beer, Cl A* 12,500 401 Casey's General Stores 12,800 380 Central Garden and Pet* 49,178 207 Central Garden and Pet, Cl A* 58,660 245 Chattem* (A) 18,200 1,321 Chiquita Brands International* 42,117 470 Church & Dwight 20,019 1,190 Constellation Brands, Cl A* 32,356 413 Corn Products International 95,281 2,611 Cosan Industria e Comercio (Brazil)* 287,700 1,413 Darling International* 99,400 497 Dean Foods* 233,405 3,398 Del Monte Foods 457,402 2,708 Diamond Foods 22,837 690 Fresh Del Monte Produce* 39,500 997 Hain Celestial Group* (A) 225,100 3,543 Hansen Natural* 12,800 381 Heckmann* (A) 115,446 714 Hershey 22,340 804 Lance (A) 78,100 1,525 Lorillard 25,410 1,536 McCormick 27,560 821 Molson Coors Brewing, Cl B 18,098 805 Nash Finch (A) 22,600 1,014 NBTY* (A) 75,267 1,097 Pantry* 44,053 852 Pepsi Bottling Group 101,014 1,827 PepsiAmericas 28,200 473 Pilgrim's Pride (A) 24,400 28 Prestige Brands Holdings* 20,100 157 Ralcorp Holdings* (A) 57,206 3,579 Ruddick 47,165 1,291 Sanderson Farms 25,185 785 Supervalu 53,600 638 Synutra International* (A) 10,000 119 Tyson Foods, Cl A 239,807 1,609 Whole Foods Market (A) 84,900 898 ------------- 45,226 ------------- ENERGY -- 5.2% Alliance Resource Partners 4,487 119 Allis-Chalmers Energy* 433 3 Arena Resources* 4,242 112 Arlington Tankers (A) 114,900 1,100 Atlas America 34,274 514 ATP Oil & Gas* (A) 249,800 1,669
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Atwood Oceanics* 70,400 $ 1,274 Berry Petroleum, Cl A 32,888 385 BPZ Energy PIPE* 98,500 607 BPZ Resources* (A) 104,420 643 Bristow Group* 10,500 238 Bronco Drilling* 17,808 114 Callon Petroleum* 36,681 90 Cameron International* 15,936 336 Cano Petroleum* (A) 219,276 127 Carrizo Oil & Gas* (A) 63,943 1,324 Cimarex Energy 27,194 771 Clayton Williams Energy* (A) 16,130 741 Complete Production Services* 72,600 595 Comstock Resources* 30,044 1,260 Concho Resources* 154,352 3,641 Continental Resources* 4,300 84 Core Laboratories 21,600 1,439 Denbury Resources* 38,800 370 Dresser-Rand Group* 23,025 385 Encore Acquisition* 63,408 1,676 Endeavour International* 61,222 39 Energy Partners* 386,621 1,307 ENSCO International 10,000 324 EXCO Resources* 41,900 321 FMC Technologies* (A) 39,243 1,078 Forest Oil* 15,819 276 Foundation Coal Holdings 41,393 591 Frontier Oil (A) 26,800 320 GMX Resources* (A) 6,000 172 Goodrich Petroleum* 25,800 931 Gran Tierra Energy* 59,367 162 Grey Wolf* (A) 252,512 1,384 Helix Energy Solutions Group* 13,400 86 Helmerich & Payne 78,775 1,998 Hercules Offshore* (A) 331,800 1,931 Holly 13,400 244 Hornbeck Offshore Services* (A) 39,504 667 Hugoton Royalty Trust 21,025 426 IHS, Cl A* 59,500 2,159 Infinity Bio-Energy* 778,281 334 Key Energy Services* 19,088 91 Kinder Morgan Escrow* 24,428 -- Mahalo Energy* 329,000 43 Mariner Energy* 99,303 1,091 Massey Energy 35,978 562 Matrix Service* 67,995 519 McMoRan Exploration* 82,332 926 Meridian Resource* 35,900 34 Murphy Oil 18,373 809 Nabors Industries* 57,114 828 Newfield Exploration* 58,367 1,318 Oceaneering International* 11,825 305 Oil Sands Quest* (A) 314,800 346
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 55 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Equity Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Overseas Shipholding Group (A) 31,000 $ 1,149 Patterson-UTI Energy 69,900 873 Penn Virginia (A) 50,900 1,528 PetroHawk Energy* 131,600 2,299 Petroleum Development* 7,100 136 Pioneer Drilling* 98,100 720 Pioneer Natural Resources 34,112 685 Plains Exploration & Production* 11,000 255 Range Resources 104,947 4,352 Rentech* (A) 699,400 448 Rex Energy* (A) 74,342 453 Rowan 44 1 Southwestern Energy* 52,049 1,789 Spectra Energy 53,197 865 StealthGas (A) 160,338 641 Sunoco (A) 36,200 1,439 Superior Energy Services* 139,852 2,356 Swift Energy* (A) 158,532 3,388 T-3 Energy Services, Cl 3* 30,081 395 Tesoro (A) 47,600 437 Tetra Technologies* 55,325 267 Tidewater (A) 51,300 2,025 Transmontaigne Partners 3,400 48 Unit* 84,379 2,420 Uranium One (Canada)* 50,386 52 W&T Offshore 31,669 443 Whiting Petroleum* (A) 63,757 2,442 Willbros Group* (A) 157,115 1,299 Williams 16,625 270 World Fuel Services 103,285 3,749 ------------- 78,463 ------------- FINANCIALS -- 22.0% Advance America Cash Advance Centers 104,300 178 Advanta, Cl B (A) 53,400 158 Affiliated Managers Group* (A) 21,300 596 Alexander's+++ 503 107 Alexandria Real Estate Equities+++ (A) 24,249 1,074 Allied Capital (A) 26,700 63 Allied World Assurance Holdings 14,600 516 AMB Property+++ (A) 54,700 942 AMBAC Financial Group (A) 53,730 75 Amcore Financial (A) 44,386 162 American Equity Investment Life Holding 40,489 252 American Financial Group 154,755 3,171 AmeriCredit* (A) 82,100 603 Amtrust Financial Services 94,795 848 Annaly Capital Management+++ 296,851 4,266 Anthracite Capital+++ (A) 104,803 317 Anworth Mortgage Asset+++ (A) 748,689 4,739
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- AON 22,100 $ 1,001 Apartment Investment & Management, Cl A+++ 131,800 1,512 Arch Capital Group* 45,722 3,099 Aspen Insurance Holdings 216,010 3,981 Associated Banc (A) 171,082 3,718 Astoria Financial (A) 191,493 3,535 AvalonBay Communities+++ (A) 44,700 2,712 Banco Latinoamericano de Exportaciones, Cl E 80,200 1,016 Bancorpsouth 74,093 1,648 Bank Mutual (A) 91,571 939 Bank of Hawaii 40,603 1,811 Bank of the Ozarks (A) 15,600 425 BankFinancial 7,900 86 BGC Partners, Cl A (A) 112,402 427 BioMed Realty Trust+++ 42,676 398 BlackRock, Cl A 4,967 624 Blackstone Group (A) 320,800 2,008 Boston Private Financial Holdings 20,118 139 Boston Properties+++ (A) 99,600 5,319 Brandywine Realty Trust+++ 115,900 570 Brasil Brokers Participacoes* 440,900 301 Calamos Asset Management, Cl A (A) 99,194 404 Camden Property Trust+++ (A) 78,700 2,083 Canaccord Capital 10,500 35 Canaccord Capital (Canada) 92,900 309 CapitalSource+++ 323,896 1,688 Capitol Federal Financial 16,303 697 Capstead Mortgage+++ 181,500 1,904 Cardinal Financial 76,938 409 Cardtronics* 230,480 309 Cash America International 45,462 1,228 CB Richard Ellis Group, Cl A* 227,700 1,038 CBL & Associates Properties+++ 40,261 164 Cedar Shopping Centers+++ 63,300 298 Center Financial 8,154 57 Central Pacific Financial (A) 126,035 1,613 Chemical Financial (A) 32,000 791 Cincinnati Financial (A) 36,700 1,073 CIT Group (A) 121,700 406 City Bank 9,726 64 City Holding (A) 7,200 255 City National (A) 54,400 2,387 CME Group, Cl A 442 94 CNA Surety* 20,022 242 Colonial BancGroup (A) 117,200 294 Colonial Properties Trust+++ (A) 43,900 249 Columbia Banking System 33,360 335 Comerica 66,044 1,489 Commerce Bancshares 30,592 1,340 Community Bank System 15,633 361
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 56
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Companhia Brasileira de Desenvolvimento Imobiliario Turistico (Brazil)* 3,700 $ 807 Compass Diversified Holdings 8,341 83 Corporate Office Properties Trust+++ (A) 133,700 3,972 Cullen/Frost Bankers 84,654 4,589 CVB Financial 41,700 468 Delphi Financial Group, Cl A 24,132 292 Digital Realty Trust+++ (A) 30,739 841 Dime Community Bancshares 86,455 1,166 Discover Financial Services 49,464 506 Dollar Financial* (A) 145,000 1,099 Douglas Emmett+++ (A) 169,800 1,732 Dundee (Canada)+++ 18,537 183 E*Trade Financial* (A) 55,200 75 East West Bancorp 27,600 409 Eaton Vance 46,862 896 Education Realty Trust+++ 75,473 337 eHealth* 27,400 301 EMC Insurance Group 19,125 472 Employers Holdings 74,261 1,210 Endurance Specialty Holdings 60,623 1,632 Enstar Group* 2,600 124 Entertainment Properties Trust+++ 21,050 516 Equity Lifestyle Properties+++ 6,739 233 Equity One+++ 53,135 879 Equity Residential+++ 118,200 3,597 Essex Property Trust+++ (A) 35,500 3,070 Evercore Partners, Cl A (A) 97,200 973 Everest Re Group 26,000 2,040 Extra Space Storage+++ (A) 157,000 1,389 FCStone Group* 215,275 732 Federal Realty Investment Trust+++ (A) 75,095 4,344 Federated Investors, Cl B 109,391 2,171 Fidelity National Financial, Cl A 243,174 2,998 Financial Federal (A) 76,200 1,465 First Cash Financial Services* 29,907 461 First Commonwealth Financial 32,600 392 First Community Bancshares 2,700 78 First Financial Bancorp 99,078 1,238 First Financial Bankshares 2,547 133 First Financial Holdings 2,600 58 First Horizon National (A) 273,368 2,922 First Midwest Bancorp (A) 118,483 2,181 First Niagara Financial Group 239,800 3,719 First Potomac Realty Trust+++ 88,871 714 FirstFed Financial* (A) 18,600 70 FirstMerit (A) 90,249 1,985 Flushing Financial 8,839 121 FNB (Pennsylvania) 17,000 210 Forestar Group* 82,400 382 Friedman Billings Ramsey Group, Cl A+++ (A) 61,700 12
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Frontier Financial 74,200 $ 212 Fulton Financial (A) 241,000 2,680 General Shopping Brasil (Brazil)* 355,700 663 Glacier Bancorp 13,100 233 Gluskin Sheff + Associates (Canada) 88,600 429 Greenhill (A) 13,200 899 Grubb & Ellis (A) 591,060 786 Hancock Holding (A) 55,459 2,391 Hanover Insurance Group 178,468 7,196 Hatteras Financial+++ (A) 49,000 1,263 HCC Insurance Holdings 59,100 1,378 HCP+++ (A) 110,800 2,290 Health Care REIT+++ (A) 86,639 3,292 Healthcare Realty Trust+++ (A) 17,418 334 Hercules Technology Growth Capital (A) 248,976 1,606 Hersha Hospitality Trust+++ 282,100 993 Highbury Financial* (A) 93,400 187 Hilltop Holdings* 8,600 84 Home Bancshares 2,000 53 Horace Mann Educators (A) 110,685 943 Hospitality Properties Trust+++ (A) 90,000 1,031 Host Hotels & Resorts+++ 8,086 61 HRPT Properties Trust+++ (A) 330,100 911 Huntington Bancshares (A) 255,851 2,047 Infinity Property & Casualty 28,575 1,311 Inland Real Estate+++ 23,400 261 Interactive Brokers Group, Cl A* 35,400 646 IntercontinentalExchange* 6,549 482 Invesco 44,900 564 Investment Technology Group* 58,905 986 Investors Real Estate Trust+++ (A) 123,700 1,216 IPC Holdings 70,900 1,985 Irwin Financial (A) 33,700 64 Janus Capital Group 33,800 276 Jefferies Group (A) 169,200 2,105 Jones Lang LaSalle 40,830 973 Kansas City Life Insurance (A) 29,600 1,355 KBW* (A) 23,746 539 Kilroy Realty+++ 13,900 424 Kite Realty Group Trust+++ 20,800 81 Knight Capital Group, Cl A* 170,091 2,815 Lakeland Financial 3,000 67 LandAmerica Financial Group, Cl A (A) 17,200 2 LaSalle Hotel Properties+++ 36,500 322 Lazard, Cl A 27,587 862 Lexington Realty Trust+++ (A) 91,900 446 LTC Properties+++ 26,403 514 Macerich+++ (A) 151,200 2,035 Mack-Cali Realty+++ (A) 85,600 1,624 MarketAxess Holdings* 316,110 2,023 MBIA (A) 95,800 560
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 57 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Equity Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- MCG Capital 86,700 $ 64 Meadowbrook Insurance Group 122,500 687 Meruelo Maddux Properties* 747,000 351 MetLife 31,589 909 MFA Mortgage Investments+++ (A) 1,236,718 7,655 MGIC Investment 55,800 152 Mid-America Apartment Communities+++ 25,178 932 Montpelier Re Holdings (A) 75,900 1,045 MSCI, Cl A* 205,642 3,173 NASDAQ OMX Group* (A) 139,500 2,999 National City (A) 495,800 997 National Health Investors+++ 30,700 692 National Penn Bancshares 46,171 710 National Retail Properties+++ (A) 49,399 662 Nationwide Financial Services, Cl A (A) 23,900 1,214 Nationwide Health Properties+++ 83,450 1,888 Navigators Group* 25,667 1,394 NBT Bancorp 25,200 668 Nelnet, Cl A 50,500 665 New York Community Bancorp 49,233 642 NewAlliance Bancshares 75,229 1,037 NorthStar Realty Finance+++ (A) 107,551 366 NYSE Euronext 7,525 179 OceanFirst Financial 11,900 178 Och-Ziff Capital Management Group LLC, Cl A (A) 108,500 539 Old National Bancorp 49,752 855 Omega Healthcare Investors+++ 55,362 733 One Liberty Properties+++ 12,800 124 optionsXpress Holdings 109,991 1,550 Oriental Financial Group 41,300 259 PacWest Bancorp (A) 57,908 1,540 Parkway Properties+++ 10,300 141 PartnerRe 44,051 3,082 Pennsylvania Real Estate Investment Trust+++ (A) 32,500 146 Penson Worldwide* 86,390 570 People's United Financial 173,092 3,301 PHH* (A) 327,661 2,497 Philadelphia Consolidated Holding* 22,900 1,407 Platinum Underwriters Holdings (A) 194,110 5,965 PMA Capital, Cl A* 15,700 79 Post Properties+++ (A) 131,200 2,057 Presidential Life 20,700 223 Principal Financial Group 35,465 490 ProAssurance* 20,080 1,096 Prologis+++ (A) 149,300 572 Provident Bankshares 44,220 417 Provident Financial Services 1,480 22 PS Business Parks+++ 22,264 1,061 Public Storage+++ (A) 58,979 4,122 Radian Group (A) 34,500 94 RAIT Financial Trust+++ (A) 69,000 164
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- RAM Holdings* (A) 120,100 $ 41 Raymond James Financial (A) 59,594 1,309 Rayonier+++ 43,443 1,451 Realty Income+++ (A) 124,290 2,509 Regions Financial (A) 104,000 1,060 Reinsurance Group of America (A) 59,296 2,407 RenaissanceRe Holdings 48,100 2,267 Republic Bancorp, Cl A (A) 20,500 454 Riskmetrics Group* 66,095 987 RLI 1,700 99 S&T Bancorp 18,500 629 Safety Insurance Group 2,622 92 Sanders Morris Harris Group 13,700 72 Santander BanCorp (A) 16,900 167 SCBT Financial (A) 800 27 SeaBright Insurance Holdings* 9,770 103 Selective Insurance Group 15,200 349 Signature Bank NY* 33,593 1,001 Simon Property Group+++ (A) 60,200 2,860 SL Green Realty+++ (A) 114,300 2,167 South Financial Group (A) 63,536 274 Southside Bancshares 7,700 171 Southwest Bancorp 15,879 227 St. Joe* 15,921 421 StanCorp Financial Group 39,876 1,328 Sterling Financial (A) 12,900 69 Stifel Financial* 16,948 729 Strategic Hotels & Resorts+++ (A) 154,000 154 Suffolk Bancorp 2,500 83 Sun Bancorp* 3,500 27 Sun Communities+++ (A) 31,200 342 Sunstone Hotel Investors+++ (A) 123,110 587 Superior Bancorp* 13,804 66 Susquehanna Bancshares 15,300 234 SVB Financial Group* (A) 52,550 2,105 SWS Group 42,200 617 Taubman Centers+++ (A) 68,900 1,643 TCF Financial (A) 193,343 3,229 TD Ameritrade Holding* 126,924 1,688 Tejon Ranch* 1 -- Titanium Asset* 118,000 620 Titanium Asset Management* 29,000 152 Tompkins Financial 6,500 357 Torchmark 5,596 202 Tower Group 18,100 413 Transatlantic Holdings 30,996 1,229 Tree.com* 613 1 Trico Bancshares 6,100 145 Triplecrown Acquisition* 108,141 956 Trustco Bank (A) 149,200 1,580 Trustmark (A) 41,953 837 UCBH Holdings (A) 392,800 1,823 UMB Financial 15,290 731 Umpqua Holdings 10,900 144
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 58
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- United America Indemnity, Cl A* 51,600 $ 666 United Community Banks 48,800 643 Unitrin (A) 37,200 712 Unum Group 187,360 2,792 Uranium Participation* 258,500 1,539 U-Store-It Trust+++ (A) 82,700 455 Valley National Bancorp (A) 65,283 1,262 Value Creation* (C) (G) (H) 71,690 485 Ventas+++ (A) 140,562 3,230 Vornado Realty Trust+++ (A) 63,000 3,367 Washington Federal (A) 131,670 2,224 Webster Financial (A) 34,900 524 WesBanco (A) 10,600 274 Westamerica Bancorporation 6,500 346 Whitney Holding 15,800 277 Willis Group Holdings 38,527 889 Wilmington Trust 18,491 447 Wilshire Bancorp (A) 20,300 139 World Acceptance* (A) 120,401 2,356 WR Berkley 138,922 3,950 WSFS Financial 1,100 48 Zenith National Insurance (A) 18,200 600 Zions Bancorporation (A) 153,739 4,903 ------------- 329,457 ------------- HEALTH CARE -- 11.3% Abaxis* (A) 70,381 933 Achillion Pharmaceuticals* 178,155 203 Acorda Therapeutics* 54,105 980 Adolor* 32,100 61 Affymax* (A) 6,300 73 Affymetrix* 30,200 83 Albany Molecular Research* (A) 25,900 246 Alexion Pharmaceuticals* (A) 71,318 2,401 Align Technology* 56,530 396 Alnylam Pharmaceuticals* 11,184 204 Alpharma, Cl A* 6,002 217 AMAG Pharmaceuticals* (A) 19,541 658 Amedisys* (A) 29,000 1,128 American Medical Systems Holdings* 56,413 496 AMERIGROUP* (A) 51,090 1,255 AmerisourceBergen 34,704 1,088 AMN Healthcare Services* 36,300 324 Amsurg, Cl A* (A) 94,638 1,886 Analogic 3,905 152 Angiodynamics* 39,946 477 Arena Pharmaceuticals* (A) 297,100 1,147 Ariad Pharmaceuticals* (A) 436,900 581 Array Biopharma* (A) 129,135 488 Assisted Living Concepts, Cl A* 47,070 220 athenahealth* 42,835 1,171 Beckman Coulter 27,024 1,178 Biogen Idec* 17,100 724
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- BioMarin Pharmaceutical* (A) 184,261 $ 3,138 Bio-Rad Laboratories, Cl A* 13,415 995 Boston Scientific* 128,500 793 Cadence Pharmaceuticals* (A) 82,873 552 Capital Senior Living* 21,529 58 Caraco Pharmaceutical Laboratories* 6 -- Catalyst Health Solutions* 100,324 2,257 Celera* 67,800 660 Centene* 120,541 2,230 Cephalon* (A) 37,095 2,726 Charles River Laboratories International* (A) 30,025 685 Chemed 16,550 675 Computer Programs & Systems 4,800 134 Conceptus* (A) 17,278 254 Conmed* 83,068 1,953 Cooper 107,632 1,442 Corvel* 4,050 89 Covance* 49,409 1,931 Coventry Health Care* 70,800 883 Cross Country Healthcare* 8,715 76 Cubist Pharmaceuticals* (A) 172,700 4,242 CV Therapeutics* (A) 214,198 1,941 Cyberonics* (A) 60,600 832 Cynosure, Cl A* (A) 41,000 379 Cypress Bioscience* 43,200 232 Datascope 2,006 105 Dentsply International (A) 112,424 2,932 Depomed* 15,877 25 Eclipsys* 17,625 231 Edwards Lifesciences* 12,200 607 Electro-Optical Sciences* 130,000 448 Endo Pharmaceuticals Holdings* (A) 164,859 3,625 Enzo Biochem* 31,000 158 eResearch Technology* 109,210 616 Express Scripts* 16,154 929 Forest Laboratories* 27,500 665 Gen-Probe* 43,874 1,617 Genzyme* 7,548 483 Greatbatch* 57,100 1,443 GTx* (A) 10,200 151 Health Management Associates, Cl A* 64,152 94 Health Net* 55,225 498 Healthsouth* (A) 46,891 461 Healthspring* 43,523 635 Healthways* 55,525 449 Henry Schein* 19,023 680 Hill-Rom Holdings (A) 74,562 1,531 HLTH* (A) 122,955 1,152 Hologic* 37,052 521 Human Genome Sciences* (A) 279,300 483 Humana* 21,100 638 Idexx Laboratories* (A) 33,542 1,037
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 59 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Equity Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- I-Flow* 154,760 $ 616 Illumina* 48,700 1,072 Immucor* 92,935 2,255 Incyte* (A) 261,200 872 InterMune* (A) 24,000 276 Intuitive Surgical* 4,385 581 Inverness Medical Innovations* (A) 102,961 1,809 Isis Pharmaceuticals* 43,507 499 Kendle International* 31,995 655 Kensey Nash* 6,634 123 Kindred Healthcare* (A) 111,440 1,196 Kinetic Concepts* (A) 49,061 1,062 King Pharmaceuticals* 376,212 3,615 Laboratory Corp of America Holdings* 30,500 1,932 LCA-Vision (A) 55,500 220 LHC Group* 100,416 3,352 Life Technologies* (A) 56,974 1,487 LifePoint Hospitals* (A) 28,600 574 Lincare Holdings* (A) 69,793 1,670 Magellan Health Services* 124,021 4,074 Martek Biosciences 42,249 1,181 Medarex* (A) 753,000 3,803 MedAssets* 49,200 625 Medcath* 206 1 Medicines* 74,300 958 Medicis Pharmaceutical, Cl A (A) 154,587 1,891 Meridian Bioscience 27,800 662 Merit Medical Systems* 10,400 151 Metabolix* (A) 148,600 1,039 Micrus Endovascular* (A) 159,504 1,691 Millipore* (A) 12,635 640 Molina Healthcare* 5,174 123 MWI Veterinary Supply* (A) 61,107 1,525 Mylan Laboratories* 129,100 1,215 Myriad Genetics* 18,440 1,093 Nighthawk Radiology Holdings* 18,700 54 NPS Pharmaceuticals* 35,956 221 NuVasive* (A) 34,941 1,204 Odyssey HealthCare* 174,000 1,422 Omnicare (A) 57,253 1,380 Omnicell* 128,809 1,461 Omrix Biopharmaceuticals* (A) 20,818 518 Optimer Pharmaceuticals* (A) 64,006 509 Orthofix International* 48,195 577 OSI Pharmaceuticals* (A) 69,069 2,569 Owens & Minor 14,500 602 Palomar Medical Technologies* 21,900 198 Par Pharmaceutical* 9,863 115 Parexel International* 12,200 101 Patterson* 84,644 1,593 PDL BioPharma 75,504 723 Pediatrix Medical Group* (A) 177,701 5,530 PerkinElmer 106,337 1,920
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Perrigo (A) 13,746 $ 473 Pharmaceutical Product Development 54,972 1,448 PharmaNet Development Group* 32,100 39 Phase Forward* 456 7 Pozen* 20,900 142 Profarma Distribuidora de Produtos Farmaceuticos (Brazil) 221,400 653 Quidel* 15,500 211 Regeneron Pharmaceuticals* 12,400 192 Res-Care* 128,242 1,673 Resmed* 27,950 1,016 Rigel Pharmaceuticals* (A) 143,900 1,068 Salix Pharmaceuticals* 18,300 148 Sepracor* (A) 8,100 95 Sirona Dental Systems* 157,239 1,884 Somanetics* 35,705 626 SonoSite* 10,125 183 STERIS 17,900 495 Sun Healthcare Group* 170,600 1,709 Symmetry Medical* 129,400 1,159 Techne 19,900 1,234 Teleflex 52,881 2,506 Theravance* (A) 135,692 906 TomoTherapy* 178,630 413 TranS1* (A) 30,400 226 United Therapeutics* (A) 17,032 934 Universal Health Services, Cl B 31,277 1,162 Valeant Pharmaceuticals International* 9,000 175 Varian* 53,700 1,965 Varian Medical Systems* 28,300 1,142 VCA Antech* (A) 22,256 424 Vertex Pharmaceuticals* 24,500 602 Viropharma* (A) 135,699 1,533 Warner Chilcott, Cl A* (A) 64,200 851 Waters* 59,921 2,470 Watson Pharmaceuticals* (A) 177,447 4,214 WellCare Health Plans* 34,900 313 Zoll Medical* 7,400 132 ------------- 169,799 ------------- INDUSTRIALS -- 14.3% AAON 7,300 139 Aceto 11,300 100 Actuant, Cl A 176,080 3,159 Acuity Brands (A) 37,091 1,000 Administaff 9,198 157 Advisory Board* 41,500 1,040 Aegean Marine Petroleum Network (A) 95,257 1,156 AGCO* (A) 43,776 1,078 Aircastle 45,300 246 Alaska Air Group* (A) 33,900 778
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 60
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Albany International, Cl A 16,052 $ 247 Alexander & Baldwin 11,237 290 Allen-Vanguard* 684,500 55 Alliant Techsystems* 12,837 1,055 Allied Waste Industries* 37,127 399 Altra Holdings* 38,000 293 Ametek (A) 71,265 2,489 AO Smith (A) 72,490 2,373 Apogee Enterprises 38,400 300 Applied Industrial Technologies 40,700 776 Arkansas Best (A) 28,345 753 Armstrong World Industries (A) 24,493 416 ATC Technology* 27,132 469 Avis Budget Group* 202 -- Barnes Group 101,370 1,357 BE Aerospace* 187,315 1,532 Beacon Roofing Supply* 6,471 76 Belden (A) 82,359 1,435 Blount International* 13,925 126 BlueLinx Holdings 1,324 3 Brady, Cl A 31,545 652 Briggs & Stratton 88,600 1,248 Brink's (A) 109,376 2,381 Bucyrus International, Cl A 32,153 628 C.H. Robinson Worldwide (A) 29,300 1,497 CBIZ* 21,883 176 Ceradyne* 29,512 775 Chart Industries* 68,917 659 Cintas 57,469 1,380 CIRCOR International 21,000 458 Clarcor 45,125 1,449 Columbus McKinnon* 17,115 201 Comfort Systems USA (A) 79,200 661 Consolidated Graphics* 50,194 721 Continental Airlines, Cl B* (A) 69,195 1,016 Con-way (A) 38,700 1,082 Copart* (A) 43,359 1,156 Corrections of America* (A) 203,326 3,678 CoStar Group* (A) 89,720 2,927 Courier 24,389 445 Covanta Holding* 11,575 231 CRA International* (A) 49,284 1,430 Crane 90,651 1,343 Cubic 58,000 1,534 Cummins 29,164 746 Curtiss-Wright 38,801 1,296 Delta Air Lines* 22,500 198 Deluxe (A) 59,405 625 Donaldson 29,375 1,005 Dover 65,303 1,948 Duff & Phelps, Cl A* 8,200 94 Dun & Bradstreet 38,266 3,061 Dycom Industries* 122,604 728
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Dynamic Materials (A) 99,100 $ 1,576 EMCOR Group* 112,369 1,772 Ennis 16,000 163 EnPro Industries* (A) 78,000 1,456 Equifax 41,414 1,054 ESCO Technologies* 9,000 275 Esterline Technologies* 59,017 2,178 Evergreen Solar* (A) 431,000 1,177 Expeditors International Washington 46,900 1,568 Fastenal 2,400 92 Federal Signal 66,300 465 Flowserve 6,862 345 Force Protection* 288,700 1,149 Forward Air 47,840 1,106 FTI Consulting* (A) 47,839 2,624 G&K Services, Cl A 33,762 790 Gardner Denver* 168,939 4,181 GATX 8,300 234 GenCorp* 43,725 125 Genesee & Wyoming, Cl A* 76,600 2,327 Geo Group* 56,700 1,094 GeoEye* (A) 62,500 1,249 Gibraltar Industries (A) 20,200 261 Goodrich 23,353 786 GrafTech International* 157,001 1,050 Graham (A) 48,683 443 Granite Construction (A) 48,100 2,063 Griffon* 53,800 430 GT Solar International* (A) 139,000 489 H&E Equipment Services* (A) 204,925 1,379 Harsco 22,600 568 Hawaiian Holdings* (A) 107,003 480 Heico, Cl A 41,770 971 Heidrick & Struggles International 22,001 455 Herman Miller 27,226 401 Hexcel* 77,600 582 HNI 365 5 Horizon Lines, Cl A 232,465 930 HUB Group, Cl A* 45,095 1,204 Hubbell, Cl B (A) 54,026 1,615 Huron Consulting Group* 27,100 1,412 ICF International* (A) 76,362 1,497 IDEX 84,605 1,946 Interface, Cl A 35,040 194 ITT 44,100 1,846 JA Solar Holdings ADR* 109,755 386 Jacobs Engineering Group* 17,944 803 JB Hunt Transport Services (A) 109,919 2,947 Joy Global 24,921 580 Kadant* 26,284 394 Kaman 13,504 318 Kansas City Southern* 82,325 1,805 Kaydon (A) 74,861 2,309
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 61 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Equity Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- KBR 18,900 $ 260 Kennametal (A) 50,250 940 Kirby* 90,011 2,289 Knoll 59,200 638 Ladish* 12,869 213 Landstar System (A) 37,625 1,209 LB Foster, Cl A* 25,530 814 Lennox International 109,336 3,022 Lincoln Electric Holdings 22,763 1,040 Lydall* 24,900 131 M&F Worldwide* (A) 23,186 365 Manitowoc (A) 49,164 387 Manpower 16,771 528 Masco 7,239 69 MasTec* 136,994 878 McGrath Rentcorp 3,900 70 Michael Baker* 19,200 632 Mine Safety Appliances 21,900 535 Monster Worldwide* 51,900 595 Mueller Industries 39,900 930 Mueller Water Products, Cl B 55,420 329 Navigant Consulting* 35,842 678 NCI Building Systems* (A) 23,300 355 NN 85,100 119 Old Dominion Freight Line* 88,635 2,109 Orbital Sciences* (A) 112,446 1,934 Orion Marine Group* (A) 161,900 1,239 Oshkosh Truck 93,794 657 Paccar 31,619 881 Pacer International 18,200 176 Pall (A) 112,513 3,095 Pentair (A) 45,000 1,119 Pitney Bowes 48,436 1,197 PRG-Schultz International* 26,100 117 Quanta Services* 110,390 1,795 Regal-Beloit 46,620 1,568 Republic Airways Holdings* 87,300 1,220 Resources Connection* 362,222 6,270 Ritchie Bros Auctioneers 31,892 596 Robbins & Myers 50,983 1,147 Rollins 102,600 1,777 Roper Industries (A) 20,200 925 RR Donnelley & Sons 86,865 1,108 RSC Holdings* (A) 183,200 1,491 Rush Enterprises, Cl A* 221,257 1,943 Ryder System 131,169 4,710 Sauer-Danfoss 18,084 146 School Specialty* 30,709 492 Seaboard 420 378 Shaw Group* 28,069 516 Skywest 36,853 560 Southwest Airlines 166,400 1,439 Spirit Aerosystems Holdings, Cl A* 90,689 821
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- SPX 22,000 $ 821 Standard Parking* 114,695 2,294 Standard Register 24,768 139 Steelcase, Cl A 188,635 1,217 Stericycle* (A) 14,873 852 Sterling Construction* 6,900 114 Sunpower, Cl A* (A) 85,344 2,964 Sunpower, Cl B* 15,301 398 Suntech Power Holdings ADR* (A) 43,600 373 SYKES Enterprises* 210,349 3,902 TAL International Group (A) 80,400 908 TBS International, Cl A* (A) 25,900 122 Tecumseh Products, Cl A* 34,631 409 Teledyne Technologies* 16,600 674 Tetra Tech* (A) 47,047 943 Textainer Group Holdings (A) 121,000 1,226 Textron 70,100 1,068 Thermadyne Holdings* 12,822 84 Thomas & Betts* 35,638 677 Toro 3,224 92 TransDigm Group* 36,465 1,295 Trex* 21,700 294 Trimas* 1,802 3 Triumph Group 14,504 496 United Rentals* (A) 68,204 550 United Stationers* 54,465 1,733 United Technologies 5,754 279 URS* 51,200 1,944 Valmont Industries 5,600 310 Wabtec (A) 56,561 2,183 Waste Connections* (A) 99,131 2,799 Watson Wyatt Worldwide, Cl A 57,408 2,315 Watts Water Technologies, Cl A 16,290 367 Werner Enterprises 37,086 645 WESCO International* 139,629 2,065 WW Grainger 12,000 847 Xerium Technologies 10,272 12 YRC Worldwide* (A) 44,500 177 ------------- 214,318 ------------- INFORMATION TECHNOLOGY -- 16.1% 3Com* 455,477 916 Acxiom 103,187 775 ADC Telecommunications* (A) 223,173 1,587 Advanced Analogic Technologies* 292,000 733 Advanced Energy Industries* 151,858 1,181 Advanced Micro Devices* 73,100 173 Advent Software* (A) 56,600 1,262 Akamai Technologies* (A) 177,865 2,182 Alliance Data Systems* (A) 56,004 2,426 Amkor Technology* (A) 77,800 171 Analog Devices 50,129 857
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 62
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Anixter International* (A) 20,700 $ 567 Ansys* 31,800 918 Applied Micro Circuits* 118,900 440 Arris Group* (A) 548,585 3,944 Arrow Electronics* 68,086 940 Asyst Technologies* (A) 475,783 209 Atmel* 612,087 1,714 ATMI* (A) 197,692 2,357 Autodesk* 4,988 83 Avnet* 33,552 478 Avocent* 103,062 1,939 Bankrate* 33,130 910 Benchmark Electronics* (A) 113,525 1,439 Black Box 44,545 1,090 Blackbaud 1,116 14 Blackboard* (A) 25,606 631 BMC Software* 24,466 611 Brightpoint* 82,605 340 Broadridge Financial Solutions 37,700 430 Brooks Automation* 16,700 65 CACI International, Cl A* 12,594 559 Cadence Design Systems* (A) 127,769 493 Checkpoint Systems* 33,834 391 China Digital TV Holding ADR* (A) 95,400 468 Ciena* (A) 72,600 537 Cirrus Logic* 43,473 183 Citrix Systems* 18,442 492 Cognex 32,666 445 Cogo Group* 22,900 78 Coherent* 29,537 735 CommScope* 121,083 1,367 Commvault Systems* (A) 92,500 948 Computer Sciences* 71,635 1,996 Concur Technologies* (A) 44,660 1,226 Convergys* 118,100 743 Cray* 21,892 41 Cree* 9,164 146 CSG Systems International* 87,858 1,479 CTS 117,541 650 Cymer* (A) 28,415 668 Cypress Semiconductor* (A) 119,465 446 DealerTrack Holdings* (A) 288,999 3,425 Diebold (A) 122,982 3,444 Digital River* 22,836 482 Diodes* (A) 106,479 497 Dolby Laboratories, Cl A* 55,300 1,649 DSP Group* (A) 274,311 1,569 DST Systems* 11,400 431 DTS* 91,110 1,510 Earthlink* (A) 109,400 729 EF Johnson Technologies* (A) 118,500 153 Electronics for Imaging* 42,053 411 Emulex* 89,103 635
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Equinix* (A) 73,260 $ 3,327 Euronet Worldwide* 182,275 1,555 F5 Networks* 8,500 212 Factset Research Systems (A) 15,000 600 Fair Isaac 112 2 Fidelity National Information Services 6,590 113 Flextronics International* (A) 264,500 619 Flir Systems* 28,680 890 Gartner* 113,208 1,739 Gerber Scientific* 112,900 271 Gevity HR (A) 75,900 121 GSI Commerce* (A) 673,863 5,364 Harris Stratex Networks, Cl A* (A) 250,172 1,248 Heartland Payment Systems 28,950 497 Hewitt Associates, Cl A* 107,607 3,075 Hutchinson Technology* (A) 56,700 159 IAC* 36,300 537 Imation (A) 143,535 1,906 Immersion* (A) 237,900 921 Information Services Group* 253,600 786 Ingram Micro, Cl A* 47,838 515 Insight Enterprises* 72,500 295 Integral Systems 18,200 437 Integrated Device Technology* 555,445 2,872 InterDigital* 14,517 385 Intermec* 11,253 149 Internet Brands, Cl A* (A) 213,800 1,341 Intersil, Cl A 274,500 2,487 Intuit* 43,700 968 Itron* (A) 8,700 412 IXYS 12,100 88 j2 Global Communications* 39,800 777 Jabil Circuit 169,580 1,116 JDA Software Group* (A) 178,600 2,354 JDS Uniphase* 24,634 67 Juniper Networks* 14,699 256 Jupitermedia* 137,000 37 Kenexa* (A) 35,800 216 Keynote Systems* (A) 180,796 1,378 Knot* (A) 233,409 1,755 Kulicke & Soffa Industries* (A) 97,700 138 Lam Research* 31,619 639 Lawson Software* (A) 831,063 3,258 Lender Processing Services 80,100 1,767 Lexmark International, Cl A* 99,121 2,595 Linear Technology 24,400 487 Littelfuse* 33,788 508 LSI* 67,500 181 MAXIMUS (A) 24,800 779 McAfee* 53,423 1,620 MEMC Electronic Materials* 7,000 105 Mentor Graphics* (A) 130,910 888 MercadoLibre* (A) 34,645 427
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 63 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Equity Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Metavante Technologies* (A) 50,300 $ 869 Methode Electronics 119,400 1,010 Mettler Toledo International* 51,216 4,213 Microsemi* 310,940 6,060 MicroStrategy, Cl A* 13,180 470 Microtune* 34,150 79 MIPS Technologies, Cl A* 348,200 470 MKS Instruments* (A) 128,246 1,835 Molex (A) 96,673 1,315 Monolithic Power Systems* 20,086 192 Monotype Imaging Holdings* 99,742 539 Move* 211,025 251 MTS Systems 17,938 467 Multi-Fineline Electronix* (A) 43,400 453 National Semiconductor 38,212 420 NCR* 14,825 225 Net 1 UEPS Technologies* 118,475 1,208 NetApp* 27,029 365 Netgear* 119,500 1,446 Netscout Systems* 20,300 161 NeuStar, Cl A* 161,265 3,088 Novatel Wireless* (A) 279,800 1,072 Novellus Systems* (A) 30,300 375 Nuance Communications* (A) 151,433 1,390 Omniture* (A) 344,921 3,428 ON Semiconductor* (A) 244,115 713 Open Text* 12,293 327 OSI Systems* 98,524 1,368 Palm* (A) 223,101 533 Parametric Technology* 147,073 1,700 Park Electrochemical (A) 66,700 1,186 Parkervision* (A) 234,850 869 Pericom Semiconductor* 123,355 667 Perot Systems, Cl A* 67,129 838 Plantronics 24,108 306 Plexus* 74,895 1,249 PMC - Sierra* 820,300 3,289 Polycom* (A) 271,700 5,116 Power Integrations (A) 124,988 2,287 Powerwave Technologies* 125,857 60 QLogic* (A) 70,300 747 RealNetworks* 28,600 109 Red Hat* (A) 330,200 3,054 RF Micro Devices* (A) 388,000 516 Richardson Electronics 35,594 109 Riverbed Technology* (A) 319,400 2,999 Rogers* 3,300 93 Rudolph Technologies* 209,500 691 S1* 17,900 134 SAIC* 91,195 1,623 Salary.com* 223,825 531 Sapient* 199,100 784 SAVVIS* 143,850 1,132 Scansource* 25,491 434
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Seachange International* 144,500 $ 1,144 Seagate Technology 157,300 662 Silicon Image* 66,885 253 Silicon Laboratories* 72,497 1,520 SkillSoft ADR* 870,244 5,221 Skyworks Solutions* (A) 279,200 1,505 Sohu.com* (A) 28,840 1,400 Solera Holdings* 241,954 4,735 Standard Microsystems* 4,264 65 Stratasys* (A) 126,170 1,408 Sun Microsystems* 120,900 383 Sybase* (A) 154,341 3,803 Symyx Technologies* 20,413 82 Synaptics* 53,500 1,175 SYNNEX* (A) 32,643 341 Synopsys* 186,420 2,988 Tech Data* 10,814 189 Technitrol 43,001 150 TechTarget* 86,412 396 Techwell* (A) 17,900 99 Tekelec* 65 1 TeleCommunication Systems, Cl A* 17,200 136 TeleTech Holdings* 160,800 1,418 Teradata* 32,710 439 Teradyne* (A) 75,400 286 Terremark Worldwide* 344,085 1,249 Tessera Technologies* 123,504 2,270 TIBCO Software* 112,376 544 TNS* 44,100 377 Total System Services 49,900 712 Trimble Navigation* 149,677 3,047 TriQuint Semiconductor* (A) 740,674 1,911 TTM Technologies* (A) 269,338 1,376 Ultratech* 28,512 358 United Online (A) 255,972 1,697 Universal Display* (A) 127,500 929 Utstarcom* 138,341 263 Valueclick* 6,400 39 Varian Semiconductor Equipment Associates* 18,825 346 Vasco Data Security International* (A) 111,202 1,161 Veeco Instruments* 35,650 211 Vignette* 37,917 330 VistaPrint* (A) 437,774 7,158 Vocus* (A) 137,704 2,502 Western Digital* 97,404 1,188 Wind River Systems* (A) 158,200 1,319 Wright Express* 164,811 1,876 Xyratex* 80,198 221 Zoran* 6 -- Zygo* 109,018 721 ------------- 242,116 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 64
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- MATERIALS -- 3.9% A. Schulman 68,057 $ 924 Air Products & Chemicals 21,369 1,021 Airgas 68,956 2,465 Albemarle 34,917 710 AM Castle 7,900 72 AMCOL International (A) 42,500 856 Arch Chemicals 11,090 320 Ashland (A) 74,556 712 Bemis 24,431 660 Buckeye Technologies* 71,300 322 Cabot 41,871 866 Carpenter Technology 113,291 1,887 Celanese, Cl A 20,552 237 Century Aluminum* 17,704 144 CF Industries Holdings 3,831 202 Commercial Metals 25,400 304 Crown Holdings* 36,000 578 Cytec Industries 12,199 269 Domtar* 329,724 462 Eastman Chemical 33,102 1,089 Ecolab 41,400 1,589 Ferro 50,100 322 FMC 59,653 2,607 Glatfelter 889 8 Greif, Cl A 32,477 1,077 Grupo Simec ADR* 158,500 729 H.B. Fuller (A) 87,722 1,556 Horsehead Holding* 106,100 329 Innophos Holdings 38,480 634 Innospec 46,495 268 International Flavors & Fragrances 14,779 451 Katanga Mining (Canada)* 329,300 231 Koppers Holdings 11,336 243 Lubrizol 45,400 1,594 MeadWestvaco (A) 88,120 1,027 Myers Industries 108,232 658 Neenah Paper 41,905 343 NewMarket (A) 36,436 1,220 Olin (A) 121,786 1,995 OM Group* 12,300 243 Owens-Illinois* 118,179 2,390 Packaging of America 45,862 685 Pactiv* 142,034 3,549 PolyOne* 173,800 492 Reliance Steel & Aluminum 60,783 1,253 Rock-Tenn, Cl A 37,800 1,277 Rockwood Holdings* 77,360 692 RPM International 38,400 460 RTI International Metals* 14,600 176 Schnitzer Steel Industries, Cl A (A) 12,200 329 Schweitzer-Mauduit International 16,886 311 Silgan Holdings 149,921 6,782 Sonoco Products 121,042 3,038
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Spartech 559 $ 3 Steel Dynamics (A) 131,821 1,089 Temple-Inland (A) 158,700 501 Terra Industries 34,247 504 Titanium Metals (A) 88,400 747 United States Steel 4,300 131 Universal Stainless & Alloy* 65,000 793 US Concrete* 32,445 104 Valspar 6,835 134 Western Goldfields* 1,134,500 1,543 ------------- 58,207 ------------- TELECOMMUNICATION SERVICES -- 2.0% Alaska Communications Systems Group 96,225 933 Atlantic Telegraph-Network 11,100 255 Cbeyond* (A) 79,982 1,217 Centennial Communications* 309,100 2,389 CenturyTel (A) 125,166 3,324 Cincinnati Bell* (A) 262,011 453 Clearwire, Cl A* (A) 253,400 1,678 Embarq 51,258 1,673 Fairpoint Communications (A) 381,900 1,337 Globalstar* (A) 592,100 124 Iowa Telecommunications Services 60,742 929 NII Holdings* 223,700 4,349 NTELOS Holdings 25,082 557 SBA Communications, Cl A* (A) 343,279 5,420 Sierra Wireless* 134,300 1,098 Sierra Wireless* (A) 47,500 389 Syniverse Holdings* 150,461 1,470 Telephone & Data Systems 7,439 241 tw telecom inc, Cl A* 151,572 1,156 USA Mobility 37,525 409 Windstream 18,355 163 ------------- 29,564 ------------- UTILITIES -- 5.2% AGL Resources 162,078 4,880 Alliant Energy 67,583 2,154 Atmos Energy 73,390 1,830 Avista (A) 17,600 311 Black Hills 10,517 271 Cascal 59,400 262 Centerpoint Energy 155,000 2,004 Central Vermont Public Service 15,600 295 Cia de Saneamento de Minas Gerais-COPASA (Brazil) 159,200 1,114 Cleco 91,636 2,160 Consolidated Edison 14,243 575 DPL 46,775 974 DTE Energy 2,730 102 Empire District Electric 45,242 794
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 65 SCHEDULE OF INVESTMENTS (Unaudited) Small/Mid Cap Equity Fund (Concluded) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Energen 105,655 $ 3,254 Equitable Resources 73,926 2,467 Idacorp (A) 62,792 1,909 ITC Holdings (A) 86,530 3,634 Laclede Group 20,625 1,087 MDU Resources Group 29,185 593 National Fuel Gas 6,531 212 New Jersey Resources 57,530 2,310 Nicor (A) 50,100 2,043 Northeast Utilities 64,989 1,514 Northwest Natural Gas (A) 46,912 2,343 NorthWestern (A) 99,325 2,052 NV Energy 126,976 1,204 OGE Energy 57,515 1,524 Ormat Technologies (A) 18,900 569 Pepco Holdings 8,400 151 Pinnacle West Capital 79,600 2,420 PNM Resources 10,336 108 PNOC Energy Development (Philippines) 10,297,500 536 Portland General Electric 206,786 3,786 Puget Energy 58,600 1,435 Questar 50,900 1,639 Reliant Energy* 49,359 283 SCANA 147,477 5,125 Southwest Gas 45,049 1,167 TECO Energy 70,400 915 UGI 82,518 1,928 UIL Holdings 8,100 241 Unisource Energy 4,500 126 Vectren (A) 78,706 2,216 Westar Energy (A) 121,762 2,463 WGL Holdings 52,781 1,905 Wisconsin Energy (A) 127,010 5,520 Xcel Energy 57,684 1,085 ------------- 77,490 ------------- Total Common Stock (Cost $2,143,970) ($ Thousands) 1,395,798 ------------- EXCHANGE TRADED FUNDS -- 0.2% iShares Russell 2000 Index Fund 35,617 1,681 Midcap SPDR Trust Series 1 14,025 1,313 Powershares QQQ 12,421 362 ------------- Total Exchange Traded Funds (Cost $3,604) ($ Thousands) 3,356 -------------
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- PREFERRED STOCK -- 0.1% FINANCIALS -- 0.1% East West Bancorp 906 $ 824 ------------- Total Preferred Stock (Cost $896) ($ Thousands) 824 ------------- CONVERTIBLE BONDS -- 0.1% ENERGY -- 0.0% Nova Biosource Fuels 10.000%, 09/30/12 $ 1,826 452 Scorpio Mining 7.000%, 05/05/11 (C) (G) (H) 509 290 ------------- 742 ------------- INFORMATION TECHNOLOGY -- 0.1% Hutchinson Technology 2.250%, 03/15/10 1,125 811 ------------- Total Convertible Bonds (Cost $3,116) ($ Thousands) 1,553 -------------
Number of Warrants ------------- WARRANTS -- 0.0% Oilsands Quest, Expires 12/08/09* 20,000 1 Rentech, Expires 04/25/12* (C) (G) (H) 13,800 2 Titanium Asset Management, Expires 06/21/11* 105,000 142 Triplecrown Acquisition, Expires 10/25/12* 178,525 18 ------------- Total Warrants (Cost $189) ($ Thousands) 163 ------------- U.S. TREASURY OBLIGATIONS -- 0.6% U.S. Treasury Bills 0.423%, 02/19/09 (D) (E) 875 875 0.010%, 02/12/09 (D) (E) 7,934 7,933 ------------- Total U.S. Treasury Obligations (Cost $8,808) ($ Thousands) 8,808 ------------- CASH EQUIVALENT -- 3.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.580%**+ 56,277,698 56,278 ------------- Total Cash Equivalent (Cost $56,278) ($ Thousands) 56,278 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 66
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- AFFILIATED PARTNERSHIP -- 20.7% SEI Liquidity Fund, L.P., 1.630%**+ (F) 318,626,373 $ 310,845 ------------- Total Affiliated Partnership (Cost $318,626) ($ Thousands) 310,845 ------------- Total Investments -- 118.6% (Cost $2,535,487) ($ Thousands) $ 1,777,625 =============
A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ------------------ ------------ ---------- ------------- Russell E-Mini 784 Dec-2008 $(1,318) S&P Mid 400 E-Mini 611 Dec-2008 (480) ------- $(1,798) =======
Percentages are based on a Net Assets of $1,498,643 ($ Thousands) * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (see Note 3). +++ Real Estate Investment Trust (A) This security or a partial position of this security is on loan at November 30, 2008. The total value of securities on loan at November 30, 2008 was $303,935 ($ Thousands). (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the board of Trustees. (C) Securities considered illiquid. The total value of such securities as of November 30, 2008 was $1,157 ($ Thousands) and represented 0.08% of net assets (see Note 3). (D) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (E) Security, or portion thereof, has been pledged as collateral on open futures contracts. (F) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of November 30, 2008 was $310,845 ($ Thousands) (G) Securities considered restricted. The total value of such securities as of November 30, 2008 was $777 ($ Thousands) and represented 0.05% of net assets (see Note 3). (H) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2008 was $777 ($ Thousands) and represented 0.05% of net assets. ADR -- American Depositary Receipt Cl -- Class CV -- Convertible Security LLC -- Limited Liability Company PIPE -- Private Investment in Public Entity SPDR -- Standard & Poor's Depositary Receipts Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 67 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) Financials 18.1% Energy 9.3% Health Care 8.7% Telecommunication Services 8.2% Industrials 8.0% Consumer Staples 8.0% Affiliated Partnership 7.1% Materials 6.8% Consumer Discretionary 6.1% Utilities 5.9% Information Technology 4.2% Short-Term Investment 4.2% U.S. Treasury Obligations 2.7% Mortgage-Backed Securities 1.9% Asset-Backed Securities 0.4% U.S. Government Agency Obligations 0.3% Rights 0.1%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- COMMON STOCK -- 86.6% AUSTRALIA -- 3.5% AGL Energy (A) 23,200 $ 232 Amcor (A) 35,000 136 Ansell (A) 8,666 72 Aristocrat Leisure (A) 14,312 37 Australia & New Zealand Banking Group (A) 165,460 1,609 AWB (A) 59,495 133 Babcock & Brown 11,693 2 Bank of Queensland (A) 9,200 59 Beach Petroleum (A) 10,500 6 BHP Billiton (A) 316,897 5,947 Billabong International (A) 5,585 39 BlueScope Steel (A) 7,967 21 Boart Longyear Group (A) 9,755 2 Brambles (A) 8,400 40 Campbell Brothers (A) 1,562 20 Centennial Coal (A) 102,355 176 CFS Retail Property Trust+++ (A) 48,400 67 Challenger Financial Services Group (A) 141,531 126 Coca-Cola Amatil (A) 37,600 213 Cochlear (A) 6,212 225 Commonwealth Bank of Australia (A) 32,230 721 Computershare (A) 37,242 161 Crown (A) 23,323 71 CSL (A) 150,089 3,418 CSR (A) 13,680 12 Dexus Property Group+++ (A) 96,200 53 Downer EDI (A) 72,000 197 Energy Resources of Australia (A) 4,317 46 Fairfax Media (A) 16,607 15 Felix Resources (A) 13,530 49 Flight Centre (A) 7,100 41
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Foster's Group (A) 101,300 $ 363 Goodman Fielder (A) 325,290 287 Goodman Group+++ (A) 173,218 110 GPT Group+++ (A) 39,545 24 Incitec Pivot (A) 271,415 472 ING Industrial Fund+++ (A) 218,296 63 Insurance Australia Group (A) 49,200 118 JB Hi-Fi (A) 6,602 36 Lion Nathan (A) 29,700 169 Macquarie Airports (A) 465,293 619 Macquarie Group (A) 10,513 206 Macquarie Infrastructure Group (A) 660,681 759 Macquarie Office Trust+++ (A) 34,360 7 Mirvac Group+++ (A) 18,303 17 National Australia Bank (A) 123,646 1,627 Newcrest Mining (A) 31,964 509 Nufarm (A) 62,144 374 OneSteel (A) 12,704 21 Orica (A) 20,200 205 Origin Energy (A) 86,781 907 Pacific Brands (A) 174,604 85 Qantas Airways (A) 604,407 920 QBE Insurance Group (A) 11,500 180 Ramsay Health Care (A) 2,600 15 Rio Tinto (A) 8,534 261 Santos (A) 22,900 227 St. George Bank 8,926 128 Suncorp-Metway (A) 32,815 169 TABCORP Holdings (A) 52,575 241 Telstra (A) 632,069 1,678 Wesfarmers (A) 61,733 755 Westfield Group+++ (A) 60,000 589 Westpac Banking (A) 99,168 1,165 Woodside Petroleum (A) 10,351 245 Woolworths (A) 68,148 1,197 ------------- 28,694 ------------- AUSTRIA -- 0.3% Erste Group Bank (A) 13,472 308 IMMOFINANZ (A) 15,025 7 OMV (A) 34,933 884 Raiffeisen International Bank Holding (A) 9,614 269 Voestalpine (A) 49,682 1,055 ------------- 2,523 ------------- BELGIUM -- 0.7% Banque Nationale de Belgique (A) 3 8 Colruyt (A) 2,814 607 Delhaize Group (A) 13,200 793 Dexia (A) 64,424 281 Euronav (A) 4,934 59
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 68
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Fortis (A) 89,621 $ 85 Groupe Bruxelles Lambert (A) 13,458 994 KBC Groep (A) 9,005 274 Solvay (A) 29,055 2,078 Telenet Group Holding* (A) 633 9 Tessenderlo Chemie (A) 746 22 UCB (A) 13,372 402 ------------- 5,612 ------------- BERMUDA -- 0.0% Hiscox (GBP) (A) 2,764 13 Huabao International Holdings (HKD) (A) 9,000 6 Road King Infrastructure (HKD) (A) 12,000 4 Seadrill (NOK) (A) 43,559 353 ------------- 376 ------------- BRAZIL -- 0.1% Cia Vale do Rio Doce ADR, Cl B 20,200 220 Uniao de Bancos Brasileiros ADR 7,200 461 ------------- 681 ------------- CANADA -- 2.4% Agrium 12,910 406 Barrick Gold 50,400 1,532 Brookfield Asset Management, Cl A 40,300 620 Canadian Imperial Bank of Commerce 14,900 599 Canadian National Railway 37,620 1,366 EnCana 93,740 4,442 Fairfax Financial Holdings 2,000 580 Gerdau Ameristeel 86,800 422 Goldcorp 95,090 2,565 Inmet Mining 5,900 91 National Bank of Canada 6,460 215 Nexen 53,673 1,103 Petro-Canada 52,170 1,418 Royal Bank of Canada 43,500 1,513 Sun Life Financial 45,500 1,014 TELUS, Cl A 146 5 Toronto-Dominion Bank 37,990 1,408 ------------- 19,299 ------------- CHINA -- 0.5% Bank of Communications, Cl H (A) 1,958,000 1,295 China Citic Bank (A) 34,270 12 China Life Insurance, Cl H (A) 630,650 1,628 China Petroleum & Chemical, Cl H (A) 1,535,790 1,024 Foxconn International Holdings* (A) 2,770 1 ------------- 3,960 -------------
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- CZECH REPUBLIC -- 0.1% CEZ (A) 26,400 $ 1,062 ------------- DENMARK -- 0.6% A P Moeller - Maersk, Cl A (A) 92 474 A P Moeller - Maersk, Cl B (A) 168 865 Carlsberg, Cl B (A) 450 14 D/S Nordern (A) 4,614 123 Danisco (A) 2,537 116 Danske Bank (A) 50,570 594 East Asiatic (A) 4,170 134 Novo-Nordisk, Cl B (A) 24,196 1,241 Vestas Wind Systems* (A) 25,725 1,165 ------------- 4,726 ------------- FINLAND -- 1.1% Fortum (A) 38,215 767 Konecranes (A) 13,657 203 Metso (A) 25,017 302 Nokia (A) 166,335 2,354 Pohjola Bank, Cl A (A) 6,233 80 Sampo, Cl A (A) 128,799 2,395 Stora Enso, Cl R (A) 135,800 1,105 UPM-Kymmene (A) 71,928 1,036 Wartsila, Cl B (A) 15,573 364 YIT (A) 1,362 8 ------------- 8,614 ------------- FRANCE -- 8.3% Air France-KLM (A) 33,000 430 Alcatel-Lucent (A) 66,601 142 Alstom (A) 7,944 425 Arkema (A) 15,200 294 Atos Origin (A) 1,773 39 AXA (A) 36,550 694 BNP Paribas (A) 98,120 5,431 Bouygues (A) 1,262 52 Capital Gemini (A) 22,759 733 Carrefour (A) 4,423 167 Casino Guichard Perrachon (A) 5,629 345 Christian Dior (A) 7,386 341 Cie de Saint-Gobain (A) 25,517 1,025 Cie Generale de Geophysique-Veritas* (A) 3,555 59 CNP Assurances (A) 7,630 492 Compagnie Generale des Etablissements Michelin, Cl B (A) 20,000 959 Credit Agricole (A) 161,140 1,798 Eramet (A) 513 96 Eurazeo (A) 908 47 Eutelsat Communications (A) 18,371 386 France Telecom (A) 374,722 9,628
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 69 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Gaz de France (A) 106,786 $ 4,280 Gemalto* (A) 33,088 782 Lafarge (A) 8,768 484 Lagardere S.C.A. (A) 30,844 1,128 Pernod-Ricard (A) 17,485 1,030 Peugeot (A) 37,856 688 PPR (A) 8,310 396 Rallye (A) 3,565 64 Renault (A) 67,742 1,496 Sanofi-Aventis (A) 163,882 9,048 Schneider Electric (A) 8,745 552 SCOR (A) 13,752 269 SES Global (A) 2,447 43 Societe Generale (A) 66,222 2,835 Suez Environnement* 68,946 1,180 Thales (A) 10,297 386 Total (A) 261,727 13,732 UBISOFT Entertainment* (A) 17,884 413 Unibail-Rodamco+++ (A) 2,514 337 Vallourec (A) 6,872 733 Veolia Environnement (A) 15,040 376 Vilmorin & Cie (A) 1 -- Vivendi (A) 110,774 3,142 Wendel (A) 10,598 485 ------------- 67,462 ------------- GERMANY -- 7.2% Allianz 53,240 4,406 Arcandor* 8,201 19 BASF 117,871 3,753 Bayer 104,281 5,382 Bilfinger Berger 4,746 194 Commerzbank 62,520 572 DaimlerChrysler 25,141 787 Deutsche Bank 90,311 3,206 Deutsche Boerse 590 42 Deutsche Lufthansa 179,683 2,356 Deutsche Post 141,684 2,030 Deutsche Postbank 1,455 30 Deutsche Telekom 375,541 5,189 E.ON 255,464 8,924 Fresenius Medical Care 61,201 2,662 GEA Group 30,643 472 Hannover Rueckversicherung 9,648 221 Henkel 9,146 226 Hypo Real Estate Holding 10,638 37 Infineon Technologies* 121,400 285 K+S 8,268 370 KSB 129 51 Lanxess 11,400 191 Linde 9,655 704 MAN 13,081 592 Muenchener Rueckversicherungs 23,669 3,212
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Q-Cells* 13,900 $ 470 RWE 51,664 4,332 Salzgitter 8,352 576 SAP 96,661 3,292 SGL Carbon* 16,888 438 Siemens 25,899 1,547 Suedzucker 27,314 344 ThyssenKrupp 25,807 523 Tognum 19,372 211 TUI 60,970 678 Volkswagen 372 132 ------------- 58,456 ------------- GREECE -- 0.2% Alpha Bank (A) 56,651 578 Bank of Greece (A) 133 7 OPAP (A) 29,675 734 ------------- 1,319 ------------- HONG KONG -- 2.2% Allied Properties HK (A) 96,000 9 BOC Hong Kong Holdings (A) 1,148,250 1,333 Cheung Kong Holdings (A) 108,000 1,024 China Agri-Industries Holdings* (A) 45,000 16 China Mobile (A) 367,100 3,372 China Overseas Land & Investment (A) 1,034,000 1,351 Chinese Estates Holdings (A) 94,000 70 CLP Holdings (A) 86,000 612 Dairy Farm International Holdings (A) 3,500 14 Emperor International Holdings (A) 46,580 3 Esprit Holdings (A) 143,450 680 First Pacific (A) 56,000 22 Great Eagle Holdings (A) 37,090 34 Guoco Group (A) 27,000 166 Hang Seng Bank (A) 87,130 1,118 Henderson Land Development (A) 79,900 274 Hong Kong & China Gas (A) 11,000 20 Hongkong & Shanghai Hotels (A) 23,500 17 HongKong Electric Holdings (A) 201,370 1,136 Hongkong Land Holdings (A) 375,000 903 Hopewell Highway Infrastructure (A) 158,000 85 Hopewell Holdings (A) 8,000 21 Hutchison Telecommunications International 5,000 1 Hutchison Whampoa (A) 260,980 1,318 Hysan Development (A) 32,000 51 Jardine Matheson Holdings (A) 17,200 307 Jardine Strategic Holdings (A) 1,000 10 Kingboard Chemical Holdings (A) 20,000 30 Kowloon Development (A) 93,000 45 MTR (A) 212,500 474
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 70
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Noble Group (A) 425,000 $ 282 NWS Holdings (A) 60,300 70 Orient Overseas International (A) 32,500 53 Pacific Basin Shipping (A) 31,000 13 Pacific Century Premium Developments (A) 262,000 64 PCCW (A) 344,000 158 SEA Holdings 4,000 1 Shui On Construction and Materials (A) 8,000 4 Sinolink Worldwide Holdings (A) 618,000 35 Sun Hung Kai Properties (A) 182,900 1,461 Texwinca Holdings (A) 8,000 4 USI Holdings (A) 20,000 2 VTech Holdings (A) 2,000 6 Wharf Holdings (A) 157,052 376 Wheelock (A) 178,930 341 Wing Hang Bank (A) 4,500 21 Wing On International (A) 7,000 7 Yue Yuen Industrial Holdings (A) 85,490 156 ------------- 17,570 ------------- IRELAND -- 0.0% DCC (A) 4,477 60 Experian (A) 33,184 202 Kerry Group, Cl A (A) 6,020 125 ------------- 387 ------------- ISRAEL -- 0.4% Teva Pharmaceutical Industries ADR 75,260 3,247 ------------- ITALY -- 3.2% ACEA (A) 39,758 514 Banca Intesa (A) 619,802 1,865 Banca Intesa RNC (A) 44,685 96 Banche Popolari Unite (A) 9,679 139 Banco Popolare Scarl (A) 109,084 999 Enel (A) 655,354 4,094 ENI (A) 360,600 8,174 Fiat (A) 84,944 626 Fondiaria-Sai (A) 23,700 431 IFIL - Investments (A) 134,684 392 Iride (A) 9,076 12 Italcementi (A) 7,129 42 Mediobanca (A) 52,023 536 Prysmian (A) 8,527 95 Telecom Italia (A) 4,895,533 5,958 Terna Rete Elettrica Nazionale (A) 178,457 529 UniCredito Italiano (A) 672,375 1,535 Unipol Gruppo Finanziario (A) 262,689 378 ------------- 26,415 -------------
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- JAPAN -- 20.1% 77 Bank (A) 48,000 $ 228 ADEKA (A) 3,300 20 Aderans Holdings (A) 1,100 9 Aeon (A) 50,000 446 Aeon Credit Service (A) 36,800 463 Aeon Delight (A) 1,000 27 Aichi Bank (A) 200 16 Aiful (A) 18,750 48 Aioi Insurance (A) 15,000 60 Aisan Industry (A) 1,100 6 Aisin Seiki (A) 13,500 180 Ajinomoto (A) 40,000 427 Akita Bank (A) 1,000 4 Aloka (A) 2,200 16 Amada (A) 12,000 56 Amano (A) 100 1 AOC Holdings (A) 5,200 28 AOKI Holdings (A) 2,500 30 Aoyama Trading (A) 4,200 55 Aozora Bank (A) 15,000 17 Asahi Breweries (A) 41,800 734 Asahi Glass (A) 98,000 553 Asahi Kasei (A) 102,000 435 Asics (A) 6,000 36 Astellas Pharma (A) 72,600 2,982 Bank of Kyoto (A) 117,000 1,185 Bank of Nagoya (A) 16,000 91 Belluna (A) 2,850 7 Benesse (A) 18,300 776 BML (A) 100 2 Bridgestone (A) 46,000 775 Calsonic Kansei (A) 18,000 29 Canon Finetech (A) 2,300 23 Cawachi (A) 7,400 116 Central Japan Railway (A) 161 1,369 Chiba Bank (A) 41,000 196 Chiba Kogyo Bank* (A) 3,200 38 Chubu Electric Power (A) 21,300 589 Chudenko (A) 4,300 70 Circle K Sunkus (A) 13,000 246 CKD (A) 1,300 4 Coca-Cola Central Japan (A) 3 20 Coca-Cola West Holdings (A) 3,200 69 Corona (A) 700 6 Cosmo Oil (A) 6,000 15 Credit Saison (A) 27,200 364 CyberAgent (A) 424 262 Dai Nippon Printing (A) 4,000 42 Daihatsu Motor (A) 62,000 451 Daiichi Sankyo (A) 50,900 1,047 Daiichikosho (A) 1,900 20 Dainippon Ink and Chemicals (A) 63,000 109
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 71 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Dainippon Sumitomo Pharma (A) 29,000 $ 247 Daishi Bank (A) 5,000 21 DaVinci Advisors* (A) 296 23 DCM Japan Holdings (A) 14,900 112 Dena (A) 14 35 Denso (A) 26,800 446 Earth Chemical (A) 200 6 East Japan Railway (A) 563 4,370 EDION (A) 1,700 7 Eighteenth Bank (A) 11,000 31 Eisai (A) 8,400 286 Electric Power Development (A) 25,100 879 FamilyMart (A) 53,000 2,168 Fancl* (A) 400 5 Fast Retailing (A) 19,900 2,290 Fuji Electric Holdings (A) 61,000 80 Fuji Fire & Marine Insurance (A) 29,000 50 Fuji Heavy Industries (A) 63,000 191 Fuji Machine Manufacturing (A) 1,700 12 Fuji Television Network (A) 100 140 FUJIFILM Holdings (A) 43,300 1,063 Fujikura (A) 6,000 18 Fujitsu (A) 600,000 2,612 Fujitsu Business Systems (A) 100 1 Fukuoka Financial Group (A) 72,000 235 Furukawa Electric (A) 148,000 572 Furuno Electric (A) 2,300 13 Fuyo General Lease (A) 1,000 16 Gunma Bank (A) 4,000 24 Hachijuni Bank (A) 10,000 51 Heiwado (A) 3,100 46 Higashi-Nippon Bank (A) 13,000 37 Higo Bank (A) 6,000 37 HI-LEX (A) 200 2 Hino Motors (A) 34,000 71 Hisamitsu Pharmaceutical (A) 15,100 611 Hitachi (A) 446,100 2,081 Hitachi Capital (A) 6,600 59 Hitachi Chemical (A) 16,500 160 Hitachi Koki (A) 6,400 48 Hitachi Maxell (A) 6,400 52 Hitachi Metals (A) 76,000 455 Hitachi Software Engineering (A) 3,900 57 Hitachi Systems & Services (A) 500 7 Hokkaido Electric Power (A) 11,100 261 Hokuetsu Bank (A) 19,000 42 Hokuriku Electric Power (A) 7,100 181 Honda Motor (A) 185,300 4,163 Hosiden (A) 7,300 90 Hyakugo Bank (A) 18,000 109 Hyakujushi Bank (A) 8,000 40 Inpex Holdings (A) 157 1,010 Isetan Mitsukoshi Holdings (A) 29,200 215 Isuzu Motors (A) 661,000 826
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- IT Holdings (A) 8,300 $ 109 Itochu (A) 271,000 1,380 Itochu Enex (A) 5,500 29 Itoham Foods (A) 3,000 11 Izumiya (A) 4,000 23 J Front Retailing (A) 2,000 8 Japan Airlines (A) 140,000 326 Japan Aviation Electronics Industry (A) 9,000 35 Japan Petroleum Exploration (A) 1,200 48 Japan Steel Works (A) 195,890 2,025 Japan Tobacco (A) 633 2,337 JFE Holdings (A) 96,400 2,355 JFE Shoji Holdings (A) 15,000 41 JGC (A) 15,000 174 Juroku Bank (A) 7,000 28 Kagawa Bank (A) 3,000 16 Kajima (A) 29,000 85 Kamigumi (A) 15,000 117 Kaneka (A) 33,000 152 Kansai Electric Power (A) 12,100 329 Kanto Natural Gas Development (A) 5,000 36 Kao (A) 88,000 2,530 Kasumi (A) 4,000 23 Kawasaki Kisen Kaisha (A) 117,000 473 KDDI (A) 447 2,923 Keisei Electric Railway (A) 31,000 162 Kirin Holdings (A) 140,000 1,711 Kissei Pharmaceutical (A) 2,000 52 Koito Manufacturing (A) 2,000 13 Komatsu (A) 57,000 688 Komori (A) 6,300 68 Konami (A) 24,000 544 Konica Minolta Holdings (A) 10,500 78 Kose (A) 4,100 98 Kuraray (A) 21,000 171 Kurita Water Industries (A) 27,600 657 Kuroda Electric (A) 1,700 13 Kyoei Steel (A) 1,400 21 Kyorin (A) 2,000 21 Kyowa Hakko Kogyo (A) 12,000 102 Kyushu Electric Power (A) 26,300 625 Lawson (A) 30,900 1,552 Leopalace21 (A) 28,700 271 Lintec (A) 7,500 84 Lion (A) 13,000 74 Maeda (A) 10,000 32 Maeda Road Construction (A) 3,000 24 Makita (A) 10,700 209 Mandom (A) 1,400 39 Marubeni (A) 312,000 1,099 Maruichi Steel Tube (A) 2,200 53 Matsushita Electric Industrial (A) 53,000 646 Mazda Motor (A) 170,000 295
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 72
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Meiji Seika Kaisha (A) 26,000 $ 117 Micronics Japan (A) 1,200 10 Mie Bank (A) 5,000 20 Mikuni Coca-Cola Bottling (A) 2,700 24 Millea Holdings (A) 45,600 1,107 Minato Bank (A) 27,000 35 Mitsubishi (A) 214,400 2,675 Mitsubishi Chemical Holdings (A) 256,500 1,078 Mitsubishi Electric (A) 206,000 1,116 Mitsubishi Estate (A) 54,000 809 Mitsubishi Gas Chemical (A) 108,000 414 Mitsubishi Heavy Industries (A) 104,000 425 Mitsubishi Materials (A) 15,000 30 Mitsubishi UFJ Financial Group (A) 877,000 4,887 Mitsui (A) 216,000 1,926 Mitsui Chemicals (A) 246,000 1,000 Mitsui Fudosan (A) 51,000 789 Mitsui Home (A) 5,000 23 Mitsui OSK Lines (A) 171,000 914 Mitsui Sumitomo Insurance Group Holdings (A) 58,800 1,407 Mitsui Trust Holdings (A) 236,000 888 Mitsumi Electric (A) 14,000 180 Mizuho Financial Group (A) 72 192 Mizuno (A) 4,000 19 Mochida Pharmaceutical (A) 2,000 23 Morinaga Milk Industry (A) 19,000 64 Murata Manufacturing (A) 15,500 537 N E Chemcat (A) 1,000 14 Nachi-Fujikoshi (A) 6,000 12 Nafco (A) 1,300 16 Nagase (A) 10,000 88 Namco Bandai Holdings (A) 71,200 714 NEC (A) 147,000 415 NEC Fielding (A) 800 8 NHK Spring (A) 15,000 54 Nichirei (A) 11,000 46 Nikon (A) 46,400 527 Nintendo (A) 20,435 6,375 Nippo (A) 6,000 41 Nippon Beet Sugar Manufacturing (A) 1,000 3 Nippon Denko (A) 3,000 13 Nippon Electric Glass (A) 63,000 362 Nippon Konpo Unyu Soko (A) 1,000 10 Nippon Meat Packers (A) 7,000 88 Nippon Mining Holdings (A) 304,400 903 Nippon Oil (A) 168,000 635 Nippon Seiki (A) 1,000 7 Nippon Sheet Glass (A) 236,000 687 Nippon Shinyaku (A) 6,000 71 Nippon Shokubai (A) 5,000 28 Nippon Steel (A) 113,000 355 Nippon Telegraph & Telephone (A) 2,084 9,209
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Nippon Thompson (A) 1,000 $ 4 Nippon Yusen (A) 235,000 1,283 Nipponkoa Insurance (A) 32,000 204 Nishimatsu Construction (A) 18,000 26 Nishi-Nippon City Bank (A) 75,000 157 Nissan Motor (A) 558,900 1,890 Nissan Shatai (A) 10,000 61 Nisshin Oillio Group (A) 10,000 48 Nisshin Steel (A) 1,000 1 Nitori (A) 800 57 Nitto Denko (A) 11,000 185 Nitto Kogyo (A) 2,300 20 NOK (A) 2,500 19 Nomura Holdings (A) 2,700 20 Nomura Real Estate Holdings (A) 15,300 230 NSK (A) 23,000 85 NTT DoCoMo (A) 1,125 1,888 Oita Bank (A) 1,000 6 OJI Paper (A) 45,000 218 Oki Electric Industry, Cl B (A) 467,000 340 Okinawa Cellular Telephone (A) 3 6 OKUMA (A) 5,000 19 Omron (A) 20,900 273 Onward Holdings (A) 24,000 178 ORIX (A) 26,670 1,668 Osaka Gas (A) 41,000 157 Point (A) 840 41 Promise (A) 25,700 532 QP (A) 7,000 78 Rakuten (A) 5,476 3,012 Resona Holdings (A) 510 716 Ricoh (A) 43,000 451 Risa Partners (A) 10 3 Riso Kagaku (A) 1,600 17 Roland (A) 1,300 13 Roland DG (A) 200 3 Round One (A) 41 20 Sakai Chemical Industry (A) 3,000 7 San-A, Cl A (A) 100 3 San-In Godo Bank (A) 11,000 81 Sankyo (A) 5,900 324 Sankyu (A) 21,000 81 Sanwa Shutter (A) 34,000 116 Sapporo Hokuyo Holdings (A) 47 179 Sazaby League (A) 1,100 13 Seiko Epson (A) 21,200 306 Seino Holdings (A) 14,000 71 Senshukai 3,400 26 Seven & I Holdings (A) 102,100 2,898 Seven Bank 159 564 SFCG (A) 1,150 15 Sharp (A) 297,000 2,012 Shimadzu (A) 17,000 114 Shimamura (A) 1,200 92
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 73 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Shimano (A) 16,800 $ 624 Shin-Etsu Chemical (A) 5,400 207 Shionogi (A) 16,000 351 Shiseido (A) 23,000 430 Showa (A) 100 -- Showa Shell Sekiyu (A) 29,900 249 Sintokogio (A) 1,700 11 Sky Perfect JSAT (A) 569 217 Softbank (A) 56,200 771 Sompo Japan Insurance (A) 59,000 342 Sony (A) 51,600 1,007 Sony Financial Holdings (A) 86 256 SQUARE ENIX HOLDINGS CO (A) 12,700 364 SRI Sports (A) 6 6 Stanley Electric (A) 3,500 42 Sumikin Bussan (A) 4,000 9 Sumisho Computer Systems (A) 1,700 27 Sumitomo (A) 123,100 1,089 Sumitomo Chemical (A) 128,000 450 Sumitomo Metal Industries (A) 54,000 140 Sumitomo Metal Mining (A) 148,000 1,411 Sumitomo Mitsui Financial Group (A) 543 1,977 Sumitomo Trust & Banking (A) 101,000 458 Suruga Bank (A) 52,273 531 Suzuken (A) 14,100 317 Suzuki Motor (A) 34,700 470 T&D Holdings (A) 33,550 1,256 Taisho Pharmaceutical (A) 10,000 181 Takashimaya (A) 13,000 94 Takata (A) 7,600 60 Takeda Pharmaceutical (A) 40,900 1,992 Takefuji (A) 32,550 229 Takeuchi Manufacturing (A) 900 7 Tanabe Seiyaku (A) 123,000 1,540 TDK (A) 10,600 360 Teijin (A) 93,000 259 Temp Holdings 300 2 Terumo (A) 1,400 65 Toagosei (A) 24,000 60 Tochigi Bank (A) 16,000 92 Toei 4,000 17 Toho Gas (A) 17,000 99 Tohoku Electric Power (A) 48,300 1,178 Tokai Rika (A) 7,100 68 Tokuyama (A) 8,000 61 Tokyo Dome (A) 6,000 19 Tokyo Electric Power (A) 153,200 4,574 Tokyo Gas (A) 12,000 54 Tokyo Style (A) 2,000 15 Toppan Printing (A) 37,000 278 Topre (A) 2,500 22 Topy Industries (A) 5,000 10 Toshiba (A) 526,000 1,933 Toshiba TEC (A) 20,000 54
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Tosoh (A) 34,000 $ 71 Toyo Kohan (A) 2,000 8 Toyo Seikan Kaisha (A) 100 1 Toyo Suisan Kaisha (A) 24,000 563 Toyoda Gosei (A) 5,300 67 Toyota Industries (A) 22,300 438 Toyota Motor (A) 172,700 5,556 Trusco Nakayama (A) 1,100 13 TS Tech (A) 400 3 Tsuruha Holdings (A) 700 21 TV Asahi (A) 1 1 Ube Industries (A) 31,000 62 Unipres (A) 1,500 14 UNY (A) 41,000 362 Valor (A) 1,300 12 West Japan Railway (A) 123 548 Yachiyo Bank (A) 14 43 Yamaha (A) 16,400 152 Yamaha Motor (A) 29,500 281 Yamanashi Chuo Bank (A) 3,000 17 Yamato Kogyo (A) 10,000 225 Yamazaki Baking (A) 12,000 160 Yaskawa Electric (A) 13,000 57 Yodogawa Steel Works (A) 7,000 28 Yokogawa Electric (A) 400 2 Yurtec (A) 6,000 29 ------------- 163,767 ------------- JERSEY -- 0.0% Meinl European Land* (A) 14,598 36 ------------- MAURITIUS -- 0.0% Golden Agri-Resources (SGD) (A) 198,000 30 ------------- MEXICO -- 0.2% Fomento Economico Mexicano ADR 51,400 1,414 ------------- NETHERLANDS -- 4.2% Aegon (A) 137,253 651 Akzo Nobel (A) 6,618 226 Boskalis Westminster (A) 20,533 587 CSM (A) 446 6 European Aeronautic Defense and Space (A) 167,609 2,663 Fugro (A) 13,957 444 ING Groep (A) 296,195 2,497 Koninklijke Ahold (A) 371,891 4,141 Koninklijke DSM (A) 39,334 911 Koninklijke Philips Electronics (A) 1,292 21 Koninklijke Vopak (A) 11,573 336 Nutreco Holding (A) 2,924 95 Randstad Holding (A) 16,360 306 Reed Elsevier (A) 70,595 834
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 74
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Royal Dutch Shell, Cl A (GBP) (A) 119,097 $ 3,192 Royal Dutch Shell, Cl A (A) 269,125 7,163 Royal Dutch Shell, Cl B (A) 147,297 3,859 Royal KPN (A) 105,749 1,459 SNS Reaal (A) 2,406 15 TNT (A) 1,633 34 TomTom* (A) 2,045 12 Unilever (A) 207,196 4,831 ------------- 34,283 ------------- NEW ZEALAND -- 0.0% Fisher & Paykel Healthcare (A) 32,207 54 New Zealand Oil & Gas (A) 5,300 4 Vector (A) 76,740 84 ------------- 142 ------------- NORWAY -- 0.7% DnB (A) 257,222 975 Norsk Hydro (A) 64,360 234 Petroleum Geo-Services* (A) 15,950 72 Statoil (A) 236,070 3,987 Telenor (A) 25,500 138 Yara International (A) 22,089 366 ------------- 5,772 ------------- PORTUGAL -- 0.2% Energias de Portugal (A) 288,000 979 Jeronimo Martins (A) 88,695 463 Portugal Telecom (A) 61,229 454 ------------- 1,896 ------------- RUSSIA -- 0.2% LUKOIL ADR (A) (B) 28,740 924 MMC Norilsk Nickel ADR (A) 71,170 531 ------------- 1,455 ------------- SINGAPORE -- 0.6% ComfortDelgro (A) 207,000 187 DBS Group Holdings (A) 54,000 339 Fraser and Neave (A) 56,000 106 Haw Par (A) 14,000 31 Hong Leong Asia (A) 29,000 10 Jardine Cycle & Carriage (A) 16,000 112 Keppel (A) 98,000 276 Neptune Orient Lines (A) 79,000 55 Oversea-Chinese Banking (A) 317,000 1,088 SembCorp Industries (A) 102,000 150 Singapore Airlines (A) 9,600 67 Singapore Land (A) 1,000 2 Singapore Petroleum (A) 76,000 107 Singapore Technologies Engineering (A) 160,000 251
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Singapore Telecommunications (A) 61,000 $ 104 SP Chemicals (A) 96,000 45 United Overseas Bank (A) 196,000 1,727 UOB-Kay Hian Holdings (A) 59,000 36 Venture (A) 10,000 27 Wheelock Properties (A) 25,370 14 Wilmar International (A) 164,000 305 Yanlord Land Group (A) 56,000 23 ------------- 5,062 ------------- SOUTH AFRICA -- 0.4% ArcelorMittal (A) 114,707 2,759 Sanlam (A) 379,530 627 ------------- 3,386 ------------- SOUTH KOREA -- 0.1% Honam Petrochemical (A) 6,500 196 Hyundai Mobis (A) 2,780 117 Industrial Bank of Korea (A) 26,750 127 KB Financial Group* 9,600 198 ------------- 638 ------------- SPAIN -- 3.0% ACS Actividades Construcciones y Servicios (A) 24,171 957 Banco Bilbao Vizcaya Argentaria (A) 146,836 1,522 Banco Espanol de Credito (A) 1,151 13 Banco Santander (A) 4,201 34 Banco Santander Central Hispano (A) 590,623 4,847 Criteria Caixacorp (A) 67,227 229 Ebro Puleva (A) 1,147 15 Financiera Alba (A) 2,153 69 Gas Natural (A) 74,484 2,063 Grifols (A) 33,308 574 Grupo Catalana Occidente (A) 3,309 55 Iberdrola (A) 359,017 2,662 Iberdrola Renovables* 62,960 210 Mapfre (A) 276,468 871 Promotora de Informaciones (A) 23,084 84 Prosegur Cia de Seguridad (A) 1,141 32 Repsol (A) 175,431 3,376 Sacyr Vallehermoso (A) 5,895 57 Telefonica (A) 342,447 6,932 Union Fenosa (A) 2,539 55 ------------- 24,657 ------------- SWEDEN -- 1.5% Alfa Laval (A) 14,000 110 Atlas Copco, Cl B (A) 7,242 45 Atlas Copco, Cl A (A) 36,269 257 Eniro (A) 19,201 33
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 75 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Getinge, Cl B (A) 27,120 $ 326 Hennes & Mauritz, Cl B (A) 4,828 179 Investor, Cl B (A) 83,671 1,186 NCC, Cl B (A) 1,069 5 Nordea Bank (A) 308,088 2,226 Oriflame Cosmetics (A) 880 24 Saab, Cl B (A) 6,228 43 Scania, Cl B (A) 7,787 61 Securitas, Cl B (A) 47,128 448 Skandinaviska Enskilda Banken, Cl A (A) 46,376 393 SKF, Cl B (A) 171 1 Svenska Cellulosa, Cl B (A) 117,700 955 Svenska Handelsbanken, Cl A (A) 40,043 668 Swedbank (A) 53,341 385 Swedish Match (A) 37,867 580 Tele2, Cl B (A) 32,000 262 Telefonaktiebolaget LM Ericsson, Cl B (A) 494,206 3,471 TeliaSonera (A) 49,949 225 Trelleborg, Cl B (A) 12,277 67 Volvo, Cl B (A) 136,332 610 ------------- 12,560 ------------- SWITZERLAND -- 7.8% ABB (A) 27,244 353 ACE 9,977 521 Actelion* (A) 13,414 604 Adecco (A) 19,500 579 Baloise Holding (A) 17,890 1,000 Banque Cantonale Vaudoise (A) 110 31 Bobst Group (A) 381 12 Clariant (A) 30,488 187 Credit Suisse Group (A) 116,181 3,403 Elektrizitaets-Gesellschaft Laufenburg (A) 224 171 Galenica (A) 197 56 Georg Fischer (A) 88 17 Helvetia Holding (A) 1,227 208 Holcim (A) 2,043 91 Kuoni Reisen Holding (A) 122 32 Lindt & Spruengli (A) 150 291 Nestle (A) 393,167 14,231 Novartis (A) 291,607 13,600 Pargesa Holding (A) 771 60 Petroplus Holdings (A) 2,105 39 Roche Holding (A) 48,118 6,737 STMicroelectronics (A) 34,847 230 STMicroelectronics (EUR) (A) 926 6 Sulzer (A) 4,114 220 Swatch Group (A) 13,024 291 Swiss Life Holding (A) 6,890 424 Swiss Reinsurance (A) 72,217 2,949
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Swisscom (A) 4,260 $ 1,219 Syngenta (A) 24,037 4,319 Synthes (A) 5,533 641 Temenos Group* (A) 18,048 228 UBS* (A) 116,741 1,458 Xstrata (A) 108,367 1,559 Zurich Financial Services (A) 40,110 7,820 ------------- 63,587 ------------- TAIWAN -- 0.4% AU Optronics (A) 1,175,000 721 Chunghwa Telecom (A) 977,730 1,545 Compal Electronics (A) 1,037,781 540 Taiwan Semiconductor Manufacturing (A) 530,892 662 ------------- 3,468 ------------- THAILAND -- 0.0% PTT (A) 101,300 423 ------------- UNITED KINGDOM -- 16.4% 3i Group (A) 92,851 590 Aegis Group (A) 102,543 99 Aggreko (A) 37,332 258 Amec (A) 233,890 1,895 Anglo American (A) 48,963 1,163 Antofagasta (A) 23,600 157 Arriva (A) 1,433 14 Associated British Foods (A) 114,100 1,190 AstraZeneca (A) 202,304 7,610 Autonomy* (A) 157,129 2,258 Aveva Group (A) 2,195 18 Aviva (A) 364,616 2,258 Babcock International Group (A) 72,292 534 BAE Systems (A) 1,109,885 6,061 Balfour Beatty (A) 16,587 78 Barclays (A) 1,344,995 3,559 BBA Aviation (A) 13,357 16 BG Group (A) 336,304 4,789 BHP Billiton (A) 274,822 4,961 BP (A) 1,622,576 13,122 Brit Insurance Holdings (A) 29,951 94 British American Tobacco (A) 203,491 5,315 British Energy Group (A) 133,000 1,529 British Land+++ (A) 18,437 149 BT Group, Cl A (A) 1,364,598 2,819 Cable & Wireless (A) 711,422 1,635 Centrica (A) 788,093 2,872 Charter International 29,444 138 Close Brothers Group (A) 5,899 43 Cobham (A) 235,558 644 Colt Telecom Group* (A) 13,274 12
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 76
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Compass Group (A) 436,776 $ 2,063 Cookson Group (A) 16,604 28 Diageo (A) 72,551 1,009 Drax Group (A) 3,091 29 Eurasian Natural Resources (A) 64,992 279 Firstgroup (A) 68,672 497 Friends Provident (A) 39,450 45 Game Group (A) 124,640 300 GlaxoSmithKline (A) 434,146 7,492 Greene King (A) 10,600 64 Group 4 Securicor (A) 228,058 712 Hammerson+++ (A) 512 4 Hays (A) 25,093 28 HBOS (A) 1,014,483 1,429 Home Retail Group (A) 440,071 1,379 HSBC Holdings (A) 827,664 9,009 IG Group Holdings (A) 90,354 312 Imperial Tobacco Group (A) 88,405 2,202 Inmarsat (A) 66,477 445 International Power (A) 13,128 52 Invensys (A) 81,171 207 Investec (A) 34,699 142 Jardine Lloyd Thompson Group (A) 11,479 88 John Wood Group (A) 44,697 147 Kazakhmys (A) 28,450 114 Kingfisher (A) 372,000 684 Land Securities Group+++ (A) 37,468 545 Legal & General Group (A) 1,500,174 1,565 Liberty International+++ (A) 7,473 62 Lloyds TSB Group (A) 684,051 1,762 LogicaCMG (A) 136,558 139 Man Group (A) 16,855 65 Marston's (A) 17,030 28 Meggitt (A) 12,882 29 Mondi (A) 121,880 312 National Express Group (A) 1,617 14 National Grid (A) 72,731 757 Northumbrian Water Group (A) 7,931 32 Old Mutual (A) 1,220,426 1,033 Prudential (A) 156,497 819 QinetiQ (A) 26,048 70 Reckitt Benckiser Group (A) 56,357 2,390 Rio Tinto (A) 67,738 1,681 Rolls-Royce Group (A) 47,162 227 Royal & Sun Alliance Insurance Group (A) 1,172,683 2,760 Royal Bank of Scotland Group (A) 2,000,878 1,714 Sage Group (A) 79,420 203 Scottish & Southern Energy (A) 14,522 247 Segro+++ (A) 7,000 24 Serco Group (A) 9,470 58 Severn Trent (A) 20,348 358 Shire (A) 81,929 1,127
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Smiths Group (A) 44,957 $ 580 Southern Cross Healthcare (A) 6,914 11 Spectris (A) 8,665 57 St. James's Place (A) 60,361 182 Standard Chartered (A) 31,695 413 Standard Life (A) 116,936 473 Tate & Lyle (A) 58,125 350 Tesco (A) 226,877 1,032 Thomas Cook Group (A) 71,095 178 Unilever (A) 137,567 3,151 United Utilities Group (A) 112,800 1,051 Vedanta Resources (A) 49,270 465 Vodafone Group (A) 6,067,153 11,873 William Hill (A) 7,377 22 WPP (A) 221,191 1,232 Yell Group (A) 21,779 20 ------------- 133,751 ------------- Total Common Stock (Cost $999,113) ($ Thousands) 706,730 ------------- MORTGAGE-BACKED SECURITIES -- 2.0% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 1.1% FHLMC TBA 6.000%, 12/01/22 $ 6,000 6,118 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 (H) 10 1 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 (H) 7 1 GNMA ARM 6.000%, 07/01/09 (I) 315 310 5.500%, 04/01/09 to 07/01/09 (I) 458 452 5.125%, 10/01/09 (I) 145 143 4.750%, 01/01/09 (H) (I) 1,447 1,421 4.625%, 10/01/09 (H) (I) 112 110 ------------- 8,556 ------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 0.9% American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A 5.294%, 12/01/08 (I) 54 23 Banc of America Funding, Ser 2006-A, Cl 2A2 5.491%, 12/01/08 (I) 128 113 Banc of America Mortgage Securities, Ser 2004-10, Cl 2A1 5.000%, 12/25/19 513 488 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 6.725%, 12/01/08 (I) 207 119
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 77 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-22, Cl A1 5.084%, 12/01/08 (I) $ 447 $ 234 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2006-HYB1, Cl 1A1 5.338%, 12/01/08 (I) 455 207 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2006-HYB2, Cl 1A1 4.991%, 12/01/08 (I) 1,207 646 Deutsche ALT-A Securities Alternate Loan Trust, Ser 2006-AB3, Cl A1 6.250%, 12/01/08 (I) 613 576 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 2.074%, 12/19/08 (I) 263 60 First Horizon Asset Securities, Ser 2006-AR3, Cl 1A1 5.657%, 12/01/08 (I) 612 412 Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 1A 5.538%, 12/01/08 (I) 72 37 Master Adjustable Rate Mortgages Trust, Ser 2004-6, Cl 2A1 5.190%, 12/01/08 (I) 627 371 Master Adjustable Rate Mortgages Trust, Ser 2005-2, Cl 3A1 5.692%, 12/01/08 (I) 400 190 Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A 5.251%, 12/01/08 (I) 1,078 1,012 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 6.500%, 03/25/34 (J) 284 286 Nomura Asset Acceptance, Ser 2004-R2, Cl A1 6.500%, 12/01/08 (I) (J) 331 307 Nomura Asset Acceptance, Ser 2007-1, Cl 1A1A 5.995%, 03/25/47 876 750 Residential Accredit Loans, Ser 2005-QA3, Cl NB2 5.219%, 12/01/08 (I) 1,151 568 Residential Accredit Loans, Ser 2006-QO1, Cl 2A3 1.795%, 12/26/08 (I) 251 79 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 5.236%, 12/01/08 (I) 1,019 921
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Wells Fargo Mortgage Backed Securities Trust, Ser 2004-I, Cl B1 5.543%, 12/01/08 (I) $ 60 $ 35 ------------- 7,434 ------------- Total Mortgage-Backed Securities (Cost $19,100) ($ Thousands) 15,990 ------------- ASSET-BACKED SECURITIES -- 0.5% MORTGAGE RELATED SECURITIES -- 0.5% ACE Securities, Ser 2003-NC1, Cl M 2.175%, 12/26/08 (I) 600 379 ACE Securities, Ser 2003-OP1, Cl M1 2.095%, 12/26/08 (I) 250 155 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 2.745%, 12/26/08 (I) 333 233 Argent Securities, Ser 2003-W5, Cl M1 2.095%, 12/26/08 (I) 250 166 Argent Securities, Ser 2003-W9, Cl M1 2.085%, 12/26/08 (I) 343 223 Asset-Backed Securities Home Equity, Ser 2003-HE5, Cl M1 2.548%, 12/15/08 (I) 456 340 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 2.995%, 12/26/08 (I) 225 139 GSAA Home Equity NIM Trust, Ser 2006-2, Cl 2A1 1.495%, 12/26/08 (I) 127 126 Home Equity Asset NIM Trust, Ser 2003-4, Cl M2 3.795%, 12/26/08 (I) 229 143 Merrill Lynch Mortgage Investors, Ser 2003-HE1, Cl M2 3.045%, 12/26/08 (I) 40 19 Morgan Stanley ABS Capital I, Ser 2003-NC10, Cl M1 2.415%, 12/26/08 (I) 566 404 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 4.461%, 08/25/35 4 4 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 2.045%, 12/26/08 (I) 121 51 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 2.490%, 12/26/08 (I) 54 31 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B 1.545%, 12/26/08 (I) (J) 1,400 1,221
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 78
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------- ------------- ------------- Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 4.395%, 12/26/08 (I) $ 150 $ 90 Terwin Mortgage Trust, Ser 2006-6, Cl 2A1 4.500%, 12/26/08 230 69 ------------- Total Asset-Backed Securities (Cost $5,398) ($ Thousands) 3,793 ------------- PREFERRED STOCK -- 0.3% BRAZIL -- 0.2% Banco Bradesco 130,300 1,401 Usinas Siderurgicas de Minas Gerais, Cl A 25,950 266 ------------- 1,667 ------------- GERMANY -- 0.1% Bayerische Motoren Werke 862 16 Porsche Automobil Holding 2,662 173 RWE 900 53 Volkswagen 3,190 130 ------------- 372 ------------- ITALY -- 0.0% Istituto Finanziario Industriale* (A) 19,585 117 ------------- SOUTH KOREA -- 0.0% Samsung Electronics (A) 1,400 319 ------------- Total Preferred Stock (Cost $4,709) ($ Thousands) 2,475 ------------- U.S. TREASURY OBLIGATIONS -- 2.8% U.S. Treasury Bills 0.202%, 12/18/08 (E) (F) 690 690 0.010%, 02/12/09 (E) (F) 17,895 17,893 U.S. Treasury Inflationary Protection Securities 3.000%, 07/15/12 (G) 3,422 3,271 2.375%, 01/15/25 1,617 1,441 ------------- Total U.S. Treasury Obligations (Cost $23,922) ($ Thousands) 23,295 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS (E) -- 0.3% FHLMC 1.053%, 02/23/09 to 03/03/09 500 499 1.105%, 02/27/09 200 199 2.171%, 04/13/09 926 923 2.250%, 05/04/09 500 498
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------- ------------- ------------- FNMA 2.611%, 02/02/09 (F) $ 250 $ 250 ------------- Total U.S. Government Agency Obligations (Cost $2,361) ($ Thousands) 2,369 -------------
Number of Rights ------------- RIGHTS -- 0.1% AUSTRALIA -- 0.0% CSR, Expires 12/12/08* 5 -- General Property Trust, Expires 12/02/08* 40 9 Incitec Pivot*, Expires 12/23/08* 109 10 ------------- 19 ------------- SPAIN -- 0.0% Banco Santander, Expires 12/02/08* 4 2 Banco Santander Central Hispano, Expires 12/02/08* 363 226 Mapfre, Expires 12/03/08* 180 2 ------------- 230 ------------- SWEDEN -- 0.0% Getinge, Expires 12/23/08* 28 -- ------------- UNITED KINGDOM -- 0.1% Centrica, Expires 12/16/08* 159 181 Standard Chartered, Expires 12/19/08* 10 66 ------------- 247 ------------- Total Rights (Cost $7) ($ Thousands) 496 ------------- CORPORATE OBLIGATIONS (J) -- 0.0% UNITED STATES -- 0.0% Discover Financial Services 6.450%, 06/12/17 100 67 Shinsei Finance Cayman 6.418%, 01/29/49 (I) 490 115 ------------- Total Corporate Obligations (Cost $590) ($ Thousands) 182 ------------- AFFILIATED PARTNERSHIP -- 7.5% UNITED STATES -- 7.5% SEI Liquidity Fund, L.P. 1.630%++ (C) (D) 61,885,039 60,826 ------------- Total Affiliated Partnership (Cost $61,885) ($ Thousands) 60,826 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 79 SCHEDULE OF INVESTMENTS (Unaudited) International Equity Fund (Concluded) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- CASH EQUIVALENT -- 4.3% UNITED STATES -- 4.3% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.580% (D) (H) 35,446,085 $ 35,446 ------------- Total Cash Equivalent (Cost $35,446) ($ Thousands) 35,446 ------------- Total Investments -- 104.4% (Cost $1,152,531) ($ Thousands) $ 851,602 =============
A summary of outstanding swap agreements held by the Fund at November 30, 2008, is as follows (See Note 2 in Notes to Financial Statements): TOTAL RETURN SWAPS
NET NOTIONAL UNREALIZED REFERENCE TERMINATION AMOUNT DEPRECIATION COUNTERPARTY ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS) (THOUSANDS) - ------------ ----------------------- ---------------------- -------------------- ----------- ----------- ------------ Bank of America BAS AAA 10-Year Initial Index Spread CMBS Daily Index Negative Spread Return Minus 95 bp 01/30/09 6,000 $(2,196) Goldman Sachs BAS AAA 10-Year Initial Index Spread CMBS Daily Index Negative Spread Return Minus 150 bp 03/31/09 6,000 (2,563) JPMorgan Chase Bank MSCI Daily TR Net EAFE 3-Month Libor USD Market Index Minus 40 Bps Price Return 10/15/09 33,279 (1,225) ------- $(5,984) =======
CREDIT DEFAULT SWAPS
NET NOTIONAL UNREALIZED BUY/SELL (PAYS)/ TERMINATION AMOUNT APPRECIATION COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RECEIVES RATE DATE (THOUSANDS) ($ THOUSANDS) - ------------ ----------------------------------------- ---------- ------------- ----------- ----------- ------------- Bank of America Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55)% 12/20/11 750 $ 30 JPMorgan Chase Bank Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 750 30 Bank of America Campbell Soup Co., 4.875%, 10/01/13 Buy (0.20) 06/20/14 1,075 17 Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/13/49 1,000 404 Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/13/49 1,000 539 Goldman Sachs CMBX.NA.BBB 2 Index Buy (0.60) 03/15/49 2,000 703 Bank of America Darden Restaurants Inc., 7.125%, 02/01/16 Buy (0.45) 12/20/11 750 64 JPMorgan Chase Bank Hasbro Inc., 2.750%, 12/01/21 Buy (0.39) 12/20/11 750 390 JPMorgan Chase Bank Jones Apparel Group, 5.125%, 11/15/14 Buy (0.77) 12/20/11 750 173 Merrill Lynch MDC Holdings Inc., 5.500%, 05/15/13 Buy (0.90) 12/20/11 750 21 Bank of America Meadwestavaco Corp., 6.850%, 04/01/12 Buy (0.48) 12/20/11 750 131 JPMorgan Chase Bank MGIC Investment Corp., 6.000%, 03/15/07 Buy (0.35) 12/20/13 750 276 Bank of America MGIC Investment Corp., 6.000%, 11/01/15 Buy (0.35) 12/20/13 750 275 JPMorgan Chase Bank Nordstrom Inc., 6.950%, 03/15/28 Buy (0.28) 12/20/13 750 171 Merrill Lynch Nordstrom Inc., 6.950%, 03/15/28 Buy (0.28) 12/20/13 750 171 Bank of America PMI Group Inc., 6.000%, 09/15/16 Buy (0.35) 12/20/13 750 276 JPMorgan Chase Bank PMI Group Inc., 6.000%, 09/15/16 Buy (0.35) 12/20/13 750 275 JPMorgan Chase Bank PPG Industries Inc., 7.050%, 08/15/09 Buy (0.20) 12/20/11 750 37 JPMorgan Chase Bank Radian Group Inc., 7.750%, 06/01/11 Buy (0.39) 12/20/13 750 363 Bank of America Radian Group Inc., 7.750%, 06/01/11 Buy (0.39) 12/20/13 750 390 Bank of America The Limited Inc., 6.125%, 12/01/12 Buy (0.48) 12/20/11 750 38 Bank of America TJX Cos. Inc., 7.450%, 12/15/09 Buy (0.19) 12/20/11 750 16 ------ $4,790 ======
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 80 A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows (See Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ---------- -------------- 10 Year Swap Future (73) Dec-2008 $ (749) 90-Day Euro$ 13 Mar-2009 38 90-Day Euro$ 70 Sep-2009 484 90-Day Euro$ 18 Dec-2009 70 90-Day Euro$ (34) Mar-2010 (87) 90-Day Euro$ (20) Jun-2010 (46) 90-Day Euro$ (47) Sep-2010 (210) 90-Day Euro$ (13) Dec-2010 (81) 90-Day Euro$ (2) Mar-2011 (12) 90-Day Euro$ 36 Jun-2011 153 90-Day Euro$ 38 Sep-2011 151 90-Day Euro$ 21 Dec-2011 68 90-Day Euro$ 21 Mar-2012 69 90-Day Euro$ 17 Jun-2012 49 90-Day Euro$ 17 Sep-2012 57 90-Day Euro$ 5 Dec-2012 13 90-Day Euro$ 5 Jun-2013 13 90-Day Euro$ 5 Sep-2013 13 DJ Euro Stoxx 50 Index 919 Dec-2008 (2,674) E-Mini MSCI EAFE (143) Dec-2008 557 FTSE Index 274 Dec-2008 (369) Hang Seng Index 21 Dec-2008 137 Nikkei 225 Index 27 Dec-2008 104 SPI 200 Index 83 Dec-2008 (365) Topix Index 211 Dec-2008 (5,913) U.S. 10-Year Treasury Note (5) Dec-2008 (36) U.S. 2-Year Treasury Note (7) Dec-2008 (30) U.S. 5-Year Treasury Note 3 Dec-2008 8 U.S. 5-Year Treasury Note 13 Mar-2009 53 U.S. Long Treasury Bond (10) Dec-2008 (105) ------- $(8,640) =======
A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2008 is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) - -------- ----------- ------------- -------------- 12/19/08 AUD 1,472 USD 959 $ 1 12/19/08 CAD 23,586 USD 19,067 59 12/19/08 CHF 3,943 USD 3,265 14 12/19/08 EUR 2,549 USD 3,210 (23) 12/19/08 GBP 2,907 USD 4,451 (9) 12/19/08 HKD 50,122 USD 6,469 (1) 12/19/08 JPY 318,305 USD 3,340 (6) 12/19/08 MXP 18,146 USD 1,363 (1) 12/19/08 NOK 8,916 USD 1,259 (12) 12/19/08 SEK 2,052 USD 254 1 12/19/08 USD 11,543 AUD 17,930 119 12/19/08 USD 2,011 CAD 2,492 (2) 12/19/08 USD 421 CHF 508 (3) 12/19/08 USD 4,037 EUR 3,148 (44) 12/19/08 USD 17,607 GBP 11,738 403 12/19/08 USD 15,449 JPY 1,494,443 258 12/19/08 USD 85 NOK 591 -- 12/19/08 USD 2,366 SEK 19,079 (10) 12/19/08 USD 2,366 SGD 3,612 30 12/19/08 USD 1,188 ZAR 12,073 7 12/19/08 ZAR 20,055 USD 1,934 (51) 12/19/08-3/20/09 NZD 12,057 USD 8,000 1,437 12/19/08-3/20/09 USD 8,479 NZD 12,588 (1,624) 12/19/08-4/23/09 AUD 16,773 CHF 14,100 810 12/19/08-4/23/09 CHF 15,900 AUD 18,480 (1,201) 12/19/08-4/23/09 CHF 38,800 EUR 24,425 (1,111) 12/19/08-4/23/09 EUR 22,133 CHF 35,100 944 12/19/08-4/23/09 EUR 22,613 JPY 3,552,000 8,723 12/19/08-4/23/09 GBP 18,299 CHF 35,800 1,523 12/19/08-4/23/09 GBP 14,610 JPY 2,852,000 7,618 12/19/08-4/23/09 GBP 4,658 SGD 11,500 494
UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) - -------- ------------- ----------- -------------- 12/19/08-4/23/09 JPY 3,552,000 EUR 22,156 $(9,303) 12/19/08-4/23/09 JPY 2,852,000 GBP 14,306 (8,084) 12/19/08-4/23/09 JPY 878,000 NOK 46,728 (2,609) 12/19/08-4/23/09 NOK 49,981 JPY878,000 2,147 12/19/08-4/23/09 SGD 11,500 GBP 4,438 (831) 12/19/08-5/26/09 CHF 39,800 GBP 20,092 (2,099) 4/23/09 CAD 1,900 NZD 2,654 (99) 4/23/09 NZD 2,795 CAD 1,900 23 ------- $(2,512) =======
Percentages are based on a Net Assets of $815,665 ($ Thousands). * Non-income producing security. +++ Real Estate Investment Trust ++ Investment in Affiliated Security (see Note 3). (A) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2008 was $621,079 and represented 76.1% of Net Assets. (B) This security or a partial position of this security is on loan at November 30, 2008. The total value of securities on loan at November 30, 2008 was $58,412 ($ 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 November 30, 2008 was $60,826 ($ Thousands). (D) The rate shown is the 7-day effective yield as of November 30, 2008. (E) Zero coupon security. The rate reported on the Schedule of Investments is the effective yield at time of purchase. (F) Security, or portion thereof, has been pledged as collateral on open futures contracts. (G) The rate reported is the effective yield at time of purchase. (H) Security, or portion thereof, has been pledged as collateral on open swaps contracts. (I) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effects as of November 30, 2008. The date reported on the Schedule of Investments is the next reset date. (J) 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. ABS -- Asset-Based Security ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class C CMO -- Collateralized Mortgage Obligation EUR -- Euro FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GNMA -- Government National Mortgage Association HKD -- Hong Kong Dollar IO -- Interest Only - face amount represents notional amount JPY -- Japanese Yen L.P. -- Limited Partnership MXP -- Mexican Peso NIM -- Net Interest Margin NOK -- Norwegian Krone NZD -- New Zealand Dollar 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 Aftrican Rand Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 81 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) Financials 18.8% Energy 10.3% Telecommunication Services 8.6% Consumer Staples 7.3% Health Care 7.3% Industrials 7.3% Materials 7.1% Short-Term Investment 6.0% Affiliated Partnership 5.6% Consumer Discretionary 5.6% Utilities 5.1% Information Technology 4.9% U.S. Treasury Obligations 3.0% Mortgage-Backed Securities 2.1% Asset-Backed Securities 0.6% U.S. Government Agency Obligations 0.3% Rights 0.1% Exchange Traded Fund 0.0%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- COMMON STOCK -- 82.0% ARGENTINA -- 0.2% MetroGas ADR* 4,100 $ 6 Petrobras Energia Participaciones ADR 89,000 592 Telecom Argentina ADR* 42,600 367 Telefonica de Argentina ADR* 900 4 Tenaris ADR (A) 106,200 2,233 Transportadora de Gas del Sur ADR 11,800 23 ------------- 3,225 ------------- AUSTRALIA -- 2.4% AGL Energy(B) 45,100 450 Amcor (B) 100,200 390 Ansell (B) 11,400 95 Australia & New Zealand Banking Group (A) (B) 280,258 2,726 AWB (B) 36,210 81 Bank of Queensland (B) 12,000 77 Beach Petroleum (B) 14,300 8 BHP Billiton (A) (B) 481,000 9,026 BlueScope Steel (B) 48,923 128 Boart Longyear Group (B) 92,117 16 Boral (B) 2,000 5 Brambles (B) 154,893 736 Caltex Australia (B) 17,300 84 CFS Retail Property Trust+++ (B) 66,200 91 Challenger Financial Services Group(A) (B) 218,333 194 Coca-Cola Amatil (B) 69,800 395 Cochlear (B) 10,047 364 Commonwealth Bank of Australia (B) 47,780 1,068 Computershare (A) (B) 69,771 301 Crown (B) 73,000 222 CSL (B) 300,588 6,846
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- CSR (B) 25,800 $ 23 Dexus Property Group+++ (B) 140,500 77 Downer EDI (B) 25,000 69 Energy Resources of Australia (B) 7,344 78 Fairfax Media (B) 51,358 45 Felix Resources (B) 14,223 52 Flight Centre (B) 8,000 46 Foster's Group (B) 160,660 577 Goodman Fielder (B) 702,551 619 Goodman Group+++ (A) (B) 378,473 241 Iluka Resources (B) 24,803 72 Incitec Pivot (B) 480,000 836 ING Industrial Fund+++ (A) (B) 412,780 118 Insurance Australia Group (B) 46,500 112 JB Hi-Fi (B) 7,552 41 Lion Nathan (B) 49,100 279 Macquarie Group (A) (B) 26,182 513 Macquarie Infrastructure Group (A) (B) 835,444 960 Macquarie Office Trust+++ (B) 62,792 12 Metcash (B) 287,200 747 National Australia Bank (A) (B) 189,290 2,489 Newcrest Mining (B) 69,727 1,109 Nufarm (B) 122,677 738 OneSteel (B) 24,956 42 Orica (B) 31,100 315 Origin Energy (B) 272,105 2,848 Pacific Brands (B) 231,936 113 Qantas Airways (B) 642,114 978 QBE Insurance Group (B) 26,700 416 Ramsay Health Care (B) 4,900 29 Rio Tinto (A) (B) 17,755 543 Santos (B) 34,400 340 Suncorp-Metway (B) 95,934 495 TABCORP Holdings (B) 61,770 284 Telstra (B) 1,257,343 3,339 Wesfarmers (B) 114,032 1,394 Westfield Group+++ (B) 83,100 818 Westpac Banking (B) 142,231 1,671 Woodside Petroleum (B) 600 14 Woolworths (B) 82,904 1,456 ------------- 48,251 ------------- AUSTRIA -- 0.2% Erste Group Bank (A) (B) 35,590 815 IMMOFINANZ (A) (B) 67,691 31 OMV (B) 62,335 1,578 Raiffeisen International Bank Holding (A) (B) 19,510 546 Voestalpine (B) 44,696 948 ------------- 3,918 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 82
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- BELGIUM -- 0.6% Banque Nationale de Belgique (B) 6 $ 15 Colruyt (B) 6,156 1,327 Delhaize Group (B) 42,800 2,573 Dexia (A) (B) 147,539 645 D'ieteren (B) 331 41 Elia System Operator (B) 448 14 Euronav (B) 9,934 119 Fortis (B) 261,941 249 Groupe Bruxelles Lambert (B) 35,851 2,648 KBC Groep (B) 19,761 601 Solvay (B) 43,512 3,113 Telenet Group Holding* (B) 890 13 UCB (B) 7,797 234 ------------- 11,592 ------------- BERMUDA -- 0.2% Credicorp 60,000 2,622 Hiscox (B) 3,400 16 Huabao International Holdings (HKD) (B) 278,000 174 Road King Infrastructure (HKD) (B) 8,000 3 Seadrill (NOK) (B) 95,182 773 ------------- 3,588 ------------- BRAZIL -- 0.8% Abyara Planejamento Imobiliario 15,200 10 Banco do Brasil 140,900 887 Brascan Residential Properties 3,400 3 Camargo Correa Desenvolvimento Imobiliario 33,800 41 Cia de Saneamento Basico do Estado de Sao Paulo 84,560 866 Cia de Saneamento de Minas Gerais- COPASA (Brazil) 22,499 157 Cia Vale do Rio Doce ADR, Cl B (A) 274,790 3,256 Even Construtora e Incorporadora 1,000 1 Fertilizantes Heringer 14,600 30 Globex Utilidades 16,500 42 Industrias Romi 12,900 38 Klabin Segall 14,029 17 Localiza Rent A Car 268,200 784 Lojas Renner 147,900 870 Minerva 20,600 18 Natura Cosmeticos 30,687 276 OGX Petroleo e Gas Participacoes* 4,500 758 Petroleo Brasileiro 9,100 94 Petroleo Brasileiro ADR, Cl A 57,200 1,017 Petroleo Brasileiro ADR (A) 100,814 2,111 Profarma Distribuidora de Produtos Farmaceuticos (Brazil) 8,900 26 Rossi Residencial 49,943 75 Santos Brasil Participacoes 92,372 343
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Tecnisa (Brazil) 36,447 $ 46 Tegma Gestao Logistica 20,600 40 Uniao de Bancos Brasileiros ADR 43,930 2,816 Usinas Siderurgicas de Minas Gerais 116,800 1,093 ------------- 15,715 ------------- CANADA -- 5.1% Agrium* 48,080 1,510 Alimentation Couche Tard, Cl B 54,900 588 AltaGas Income Trust 40 1 Atco 16,600 491 Bank of Montreal 55,230 1,691 Bank of Nova Scotia 100,100 2,984 Barrick Gold 175,740 5,341 Biovail 106,300 929 Bombardier, Cl B 240,910 842 Bonavista Energy Trust 7,000 102 Brookfield Asset Management, Cl A 128,100 1,970 Canadian Imperial Bank of Commerce 49,178 1,976 Canadian National Railway 148,230 5,383 Canadian Natural Resources 26,560 1,113 Canadian Oil Sands Trust 43,800 909 Canadian Pacific Railway 34,560 1,133 Canadian Utilities 33,700 1,129 Canfor* 43,800 258 Celestica* 144,520 803 CGI Group, Cl A* 117,370 924 Daylight Resources Trust 7,030 46 Enbridge 39,470 1,212 EnCana 212,750 10,113 Enerflex Systems Income Fund 4,890 42 Fairfax Financial Holdings 10,200 2,958 Fortis 3,900 84 Freehold Royalty Trust 15,400 175 George Weston 30,440 1,352 Gerdau Ameristeel 12,700 62 Goldcorp 185,660 5,007 Husky Energy 18,980 489 Imperial Oil 30,300 1,080 Industrial Alliance Insurance and Financial Services 14,890 348 Inmet Mining 3,000 46 Keyera Facilities Income Fund 160 2 Kinross Gold 50 1 Laurentian Bank of Canada 7,400 227 Lundin Mining* 16,300 16 Magna International, Cl A 2,300 66 Manulife Financial 18,800 364 Methanex 16,900 184 Metro, Cl A 24,600 684 Mullen Group Income Fund 26,500 235 National Bank of Canada 36,170 1,202
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 83 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Nexen 111,924 $ 2,300 Nova Chemicals 37,800 312 Open Text* 9,520 274 Penn West Energy Trust 77,900 1,216 Petro-Canada 326,340 8,868 Potash Saskatchewan 26,630 1,721 Power Corp of Canada 87,340 1,794 Power Financial 42,500 873 Precision Drilling Trust 92,680 750 Quebecor, Cl B 12,200 166 Research In Motion* 13,400 588 Royal Bank of Canada 215,301 7,490 Saskatchewan Wheat Pool* 136,270 845 Savanna Energy Services 9,340 56 Sears Canada* 2,400 33 Sherritt International 18,600 52 Shoppers Drug Mart 52,780 1,890 Sino-Forest, Cl A* 72,200 421 Sun Life Financial 91,732 2,043 Suncor Energy 26,000 599 Talisman Energy 79,240 792 Teck Cominco, Cl B 105,310 509 TELUS, Cl A 13,719 430 Toronto-Dominion Bank 188,650 6,992 TransCanada 55,000 1,449 Viterra* 106,200 659 West Fraser Timber 12,900 306 Yellow Pages Income Fund 194,040 1,188 ------------- 100,688 ------------- CHILE -- 0.1% Administradora de Fondos de Pensiones Provida ADR 550 7 Banco de Chile ADR 2,100 61 Cia Cervecerias Unidas ADR 15,494 440 Cia de Telecomunicaciones de Chile ADR* 78,100 467 Embotelladora Andina ADR, Cl B 600 8 Enersis ADR 79,200 1,034 Lan Airlines ADR 35,600 303 ------------- 2,320 ------------- CHINA -- 2.0% Anhui Conch Cement, Cl H (A) (B) 592,639 2,469 Bank of China (A) (B) 12,598,000 4,005 Bank of Communications, Cl H (A) (B) 5,154,000 3,410 China BlueChemical (B) 723,000 268 China Construction Bank, Cl H (B) 5,852,000 3,109 China International Marine Containers, Cl B (B) 131,400 71 China Life Insurance, Cl H (A) (B) 1,231,100 3,178
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- China Petroleum & Chemical, Cl H (B) 3,332,300 $ 2,222 China Railway Construction, Cl H* (A) (B) 1,902,500 2,583 China Resources Microelectronics (B) 726,600 7 China Shenhua Energy (B) 458,800 869 China Shipping Development, Cl H (A) (B) 2,048,000 1,715 China Telecom, Cl H (B) 1,560,000 597 Dongfeng Motor Group, Cl H (B) 1,661,000 381 Great Wall Motor, Cl H (B) 129,000 38 Great Wall Technology, Cl H (B) 60,000 4 Greentown China Holdings (B) 111,000 36 Hangzhou Steam Turbine, Cl B (B) 98,000 74 Industrial & Commercial Bank of China, Cl H (A) (B) 16,102,000 7,949 PetroChina, Cl H (B) 4,268,000 3,530 Ping An Insurance Group of China, Cl H (A) (B) 555,500 2,106 Shanghai Electric Group, Cl H (B) 1,790,000 646 Sinotrans, Cl H (B) 502,000 68 Tingyi Cayman Islands Holding (HKD) (B) 234,000 272 Weiqiao Textile, Cl H (B) 65,000 15 Yanzhou Coal Mining, Cl H (B) 910,000 506 Zhejiang Expressway, Cl H (B) 828,000 395 ------------- 40,523 ------------- COLOMBIA -- 0.0% BanColombia ADR 22,700 462 ------------- CZECH REPUBLIC -- 0.4% CEZ (B) 166,909 6,711 Unipetrol (B) 52,000 301 ------------- 7,012 ------------- DENMARK -- 0.5% A P Moeller - Maersk, Cl A (B) 26 134 A P Moeller - Maersk, Cl B (B) 404 2,082 Amagerbanken (B) 2,060 8 D/S Nordern (B) 8,607 230 Danisco (B) 14,400 657 Danske Bank (B) 74,890 880 East Asiatic (B) 3,575 115 Novo-Nordisk, Cl B (B) 74,430 3,816 Vestas Wind Systems* (B) 50,250 2,275 ------------- 10,197 ------------- EGYPT -- 0.1% Eastern Tobacco (B) 1,000 33 Egyptian International Pharmaceutical Industrial (B) 30,000 132
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 84
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- National Societe Generale Bank SAE (B) 72,500 $ 187 Orascom Telecom Holding SAE (B) 68,000 297 Paints & Chemical Industry 7,900 41 Telecom Egypt (B) 240,000 646 ------------- 1,336 ------------- FINLAND -- 0.8% Fortum (B) 70,296 1,411 Konecranes (B) 30,280 450 Metso (B) 23,525 284 Nokia (B) 387,683 5,486 Pohjola Bank, Cl A (B) 32,000 410 Sampo, Cl A (B) 233,455 4,340 Stora Enso, Cl R (A) (B) 174,000 1,415 UPM-Kymmene (B) 79,095 1,140 Wartsila, Cl B (B) 19,723 462 YIT (A) (B) 13,000 77 ------------- 15,475 ------------- FRANCE -- 6.1% Air France-KLM (B) 65,218 850 Alcatel-Lucent (B) 102,612 219 Alstom (B) 12,443 666 Arkema (B) 34,610 669 Atos Origin (B) 12,257 271 AXA (B) 78,640 1,492 BNP Paribas (B) 162,360 8,986 Capital Gemini (B) 12,900 416 Carrefour (B) 15,185 574 Casino Guichard Perrachon (B) 7,569 463 Christian Dior (B) 15,900 733 Cie de Saint-Gobain (B) 43,459 1,746 Cie Generale de Geophysique-Veritas* (B) 11,364 187 CNP Assurances (B) 16,328 1,052 Compagnie Generale des Etablissements Michelin, Cl B (B) 22,000 1,055 Credit Agricole (B) 301,062 3,360 Credit Industriel et Commercial (B) 65 9 Eurazeo (B) 1,872 97 Eutelsat Communications (B) 29,900 628 France Telecom (B) 603,167 15,497 Gaz de France (A) (B) 199,849 8,010 Gemalto* (B) 39,786 940 Lafarge (B) 19,750 1,091 Lagardere S.C.A. (B) 40,900 1,496 Natixis (B) 273,706 559 Pernod-Ricard (A) (B) 35,231 2,075 Peugeot (B) 35,110 638 PPR (A) (B) 18,364 875 Publicis Groupe (B) 8,490 198 Rallye (B) 5,771 104
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Renault (B) 169,881 $ 3,753 Sanofi-Aventis (B) 263,834 14,567 Schneider Electric (B) 14,978 944 SCOR (B) 15,035 295 Sequana Capital (B) 766 5 SES Global (B) 15,506 272 Societe Generale (B) 136,219 5,832 Suez Environnement* 134,879 2,307 Thales (B) 13,369 501 Total (B) 422,069 22,147 UBISOFT Entertainment* (B) 28,482 658 Unibail-Rodamco+++ (B) 8,950 1,201 Vallourec (B) 12,162 1,297 Veolia Environnement (B) 36,749 920 Vivendi (B) 372,177 10,557 Wendel (A) (B) 17,762 813 ------------- 121,025 ------------- GERMANY -- 5.4% Allianz 139,097 11,510 Arcandor* 33,806 78 BASF 182,859 5,824 Bayer 179,389 9,260 Bayerische Motoren Werke 5,201 130 Bilfinger Berger 7,132 291 Celesio 25,650 651 Commerzbank (A) 135,355 1,239 DaimlerChrysler 50,421 1,577 Deutsche Bank (A) 203,590 7,228 Deutsche Boerse 2,197 157 Deutsche Lufthansa 164,845 2,162 Deutsche Post 205,416 2,943 Deutsche Postbank 12,722 259 Deutsche Telekom 909,524 12,568 E.ON 453,181 15,831 Fresenius Medical Care 117,766 5,122 GEA Group 50,121 773 Hannover Rueckversicherung 5,895 135 Henkel 9,266 229 Hypo Real Estate Holding (A) 38,441 135 Infineon Technologies* 256,200 601 K+S 7,104 318 KSB 14 5 Lanxess 15,637 261 Linde 21,451 1,563 MAN 20,227 915 Muenchener Rueckversicherungs 45,079 6,118 Q-Cells* (A) 27,140 916 RWE 90,196 7,563 Salzgitter 10,242 706 SAP 190,004 6,471 SGL Carbon* 22,739 590
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 85 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Siemens 16,856 $ 1,007 Sixt 3,146 38 Suedzucker (A) 33,700 425 ThyssenKrupp 63,018 1,276 Tognum 20,868 228 TUI (A) 45,800 509 Volkswagen 217 77 ------------- 107,689 ------------- GREECE -- 0.1% Alpha Bank (B) 127,635 1,303 OPAP (B) 55,579 1,375 ------------- 2,678 ------------- HONG KONG -- 2.5% Allied Properties HK (B) 230,000 21 BOC Hong Kong Holdings (A) (B) 1,711,500 1,986 Chaoda Modern Agriculture (B) 1,010,000 587 Cheung Kong Holdings (B) 202,000 1,916 China Agri-Industries Holdings* (B) 92,000 34 China Mobile (B) 1,528,000 14,033 China Overseas Land & Investment (A) (B) 2,018,000 2,638 China Pharmaceutical Group (B) 702,000 188 China Resources Logic (B) 25,200 7 China Resources Power Holdings (B) 886,000 1,787 China State Construction International Holdings (B) 1,768,000 217 Chinese Estates Holdings (B) 193,000 143 CLP Holdings (B) 102,500 730 CNOOC (B) 5,966,500 4,892 Cnpc Hong Kong (B) 1,570,000 495 COSCO Pacific (A) (B) 2,528,000 1,874 Dairy Farm International Holdings (B) 23,400 94 Digital China Holdings (B) 543,000 144 Emperor International Holdings (B) 65,140 5 Esprit Holdings (B) 233,970 1,110 First Pacific (B) 56,000 22 Great Eagle Holdings (B) 54,500 50 Guangdong Investment (B) 1,380,000 459 Guoco Group (B) 38,000 234 Hang Lung Group (B) 29,000 97 Hang Seng Bank (B) 149,890 1,924 Henderson Land Development (B) 161,780 555 Hong Kong & China Gas (B) 15,000 27 Hong Kong Exchanges and Clearing (B) 6,000 48 Hongkong & Shanghai Hotels (B) 4,500 3 Hongkong Chinese (B) 310,000 27 HongKong Electric Holdings (B) 159,270 898 Hongkong Land Holdings (B) 696,600 1,678 Hopewell Highway Infrastructure (B) 248,500 134 Hopewell Holdings (B) 9,000 23
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Hutchison Telecommunications International 400 $ -- Hutchison Whampoa (B) 511,980 2,588 Hysan Development (B) 38,000 60 Industrial and Commercial Bank of China Asia (B) 532,000 502 Jardine Matheson Holdings (B) 36,800 656 Jardine Strategic Holdings (B) 3,000 29 Johnson Electric Holdings (B) 315,190 53 Kingboard Chemical Holdings (B) 99,000 148 Kowloon Development (B) 88,000 42 MTR (A) (B) 389,000 868 Noble Group (B) 927,000 615 NWS Holdings (B) 105,000 121 Orient Overseas International (B) 215,500 346 Pacific Basin Shipping (B) 268,000 115 Pacific Century Premium Developments (B) 299,000 73 SEA Holdings 6,000 2 Shanghai Industrial Holdings (B) 80,000 153 Shenzhou International Group Holdings (B) 610,000 95 Shui On Construction and Materials (B) 42,000 19 Sinolink Worldwide Holdings (B) 678,000 38 Sun Hung Kai (B) 106,000 42 Sun Hung Kai Properties (A) (B) 375,800 2,999 Television Broadcasts (B) 5,000 17 Texwinca Holdings (B) 8,000 4 TPV Technology (B) 102,000 19 Transport International Holdings (B) 27,200 63 VTech Holdings (B) 19,000 57 Wharf Holdings (B) 134,679 323 Wheelock (B) 215,270 410 Wing On International (B) 45,000 47 Yue Yuen Industrial Holdings (B) 96,120 175 ------------- 49,759 ------------- HUNGARY -- 0.1% Magyar Telekom Telecommunications (B) 210,000 619 OTP Bank Nyrt (A) (B) 104,636 1,543 Richter Gedeon Nyrt (B) 1,050 140 Tiszai Vegyi Kombinat (B) 8,000 108 ------------- 2,410 ------------- INDIA -- 1.1% Apollo Tyres (B) 101,400 43 Bank of India (B) 150,936 765 Bharat Electronics (B) 17,000 192 Bharti Airtel* (B) 167,340 2,263 Birla (B) 32,250 66 Cairn India* (B) 11,470 33
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 86
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- CESC (B) 16,470 $ 66 Container of India (B) 17,759 204 Coromandel Fertilisers (B) 1,400 3 Dalmia Cement Bharat (B) 1,780 3 Dena Bank (B) 11,540 6 Dr Reddys Laboratories (B) 101,231 875 GAIL India (B) 67 -- Grasim Industries (B) 6,390 114 Great Eastern Shipping (B) 16,536 54 Gujarat Alkalies & Chemicals (B) 53,480 68 Gujarat Flourochemicals (B) 3,780 5 Gujarat Narmada Valley Fertilizers (B) 139,580 144 Gujarat State Fertilisers (B) 75,430 109 Hero Honda Motors (B) 19,265 311 Hindalco Industries (B) 362,780 388 Hindustan Unilever (B) 161,765 768 Hindustan Zinc (B) 73,746 477 Housing Development Finance (B) 74,572 2,211 ICICI Bank (B) 26,407 189 Indian Bank (B) 124,674 311 Infrastructure Development Finance Company* (B) 1,809,121 1,907 ITC (B) 134,666 470 Jindal Stainless (B) 126,770 75 Jindal Steel & Power (B) 2,950 43 JM Financial (B) 31,225 14 JSW Steel (B) 14,750 56 Kesoram Industries (B) 29,960 84 Larsen & Toubro (B) 146,004 2,145 Madras Cements (B) 60,400 69 Mahindra & Mahindra (B) 10,622 60 Maruti Udyog (B) 38,652 416 National Aluminium (B) 59,340 207 Neyveli Lignite (B) 230,000 227 NTPC (B) 49,293 158 Oil & Natural Gas (B) 72,240 1,010 Pidilite Industries (B) 13,180 24 Satyam Computer Services (B) 2,220 11 Shipping of India (B) 35,163 50 Siemens India (B) 203,114 921 State Bank of India GDR 9,020 392 Steel Authority of India (B) 327,332 441 Sterlite Industries India (B) 59,790 286 Syndicate Bank (B) 16,560 18 Tata Chemicals (B) 66,250 198 Tata Consultancy Services (B) 36,596 413 Tata Motors (B) 478 1 Tata Power (B) 15,645 211 Tata Steel (B) 32,092 98 UBS* (B) (C) 177,444 267 UCO Bank (B) 7,670 4 United Phosphorus (B) 96,500 159
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Wockhardt (B) 32,670 $ 61 Zee Entertainment Enterprises (B) 628,693 1,379 ------------- 21,543 ------------- INDONESIA -- 0.3% Astra International (B) 746,000 639 Bank Negara Indonesia Persero (B) 800,000 38 Bank Rakyat Indonesia (B) 5,304,000 1,513 Bumi Resources 6,889,500 579 Gudang Garam (B) 3,500 1 HM Sampoerna (B) 177,000 133 Perusahaan Gas Negara (B) 450,000 69 Telekomunikasi Indonesia (B) 3,679,800 1,777 Unilever Indonesia (B) 811,000 521 ------------- 5,270 ------------- IRELAND -- 0.0% Experian (B) 36,312 221 Kerry Group, Cl A (B) 7,834 163 ------------- 384 ------------- ISRAEL -- 0.7% Bank Hapoalim (B) 384,793 751 Bank Leumi Le-Israel (B) 150,000 326 Bezeq Israeli Telecommunication (B) 1,728,712 2,537 Delek Automotive Systems (B) 6,000 36 First International Bank of Israel* (B) 33,800 173 Israel Chemicals (B) 106,200 622 Mizrahi Tefahot Bank (B) 88,000 434 Teva Pharmaceutical Industries ADR (A) 146,960 6,341 Teva Pharmaceutical Industries (B) 47,734 2,049 Union Bank of Israel* (B) 18,000 40 ------------- 13,309 ------------- ITALY -- 2.3% A2A (B) 652,586 1,142 ACEA (B) 30,458 393 Banca Intesa (B) 1,127,957 3,393 Banca Intesa RNC (B) 129,719 278 Banche Popolari Unite (B) 12,431 179 Banco Popolare Scarl (B) 292,479 2,680 Enel (A) (B) 1,058,917 6,615 ENI (B) 581,170 13,175 Fiat (B) 138,324 1,019 Finmeccanica (B) 99,474 1,243 Fondiaria-Sai (B) 24,309 442 IFIL - Investments (A) (B) 179,614 522 Iride (B) 7,693 10 Mediobanca (B) 100,780 1,038 Milano Assicurazioni (B) 101,462 318
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 87 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Pirelli (B) 612,401 $ 211 Telecom Italia (A) (B) 6,221,781 7,568 Terna Rete Elettrica Nazionale (B) 343,908 1,020 UniCredito Italiano (B) 1,327,825 3,032 Unipol Gruppo Finanziario (B) 347,711 500 ------------- 44,778 ------------- JAPAN -- 15.3% 77 Bank (B) 150,000 713 ADEKA (B) 7,000 43 Aderans Holdings (B) 4,000 34 Aeon (B) 89,200 795 Aeon Credit Service (B) 79,700 1,003 Aichi Bank (B) 900 70 Aida Engineering (B) 1,000 4 Aiful (A) (B) 42,900 110 Aioi Insurance (B) 10,000 40 Aisan Industry (B) 900 5 Aisin Seiki (B) 13,200 176 Ajinomoto (B) 60,000 640 Akita Bank (B) 3,000 13 All Nippon Airways (B) 71,000 259 Aloka (B) 3,300 24 Alps Electric (B) 68,300 305 Amada (B) 8,000 37 AOC Holdings (B) 20,000 108 AOKI Holdings (B) 3,400 41 Aoyama Trading (B) 6,700 87 Aruze (B) 6,000 57 Asahi Breweries (B) 48,800 857 Asahi Glass (B) 247,000 1,393 Asahi Kasei (B) 172,000 733 Astellas Pharma (B) 146,000 5,996 Bank of Kyoto (B) 216,000 2,187 Bank of Nagoya (B) 21,000 120 Bank of Saga (B) 21,000 70 Belluna (B) 4,050 10 Benesse (B) 38,700 1,642 BML (B) 2,700 56 Bridgestone (B) 79,100 1,335 Calsonic Kansei (B) 13,000 21 Canon (B) 67,200 2,035 Canon Finetech (B) 100 1 Cawachi (B) 5,400 85 Central Japan Railway (B) 303 2,577 Chiba Bank (B) 50,000 239 Chiba Kogyo Bank* (B) 5,700 67 Chubu Electric Power (B) 33,400 923 Chudenko (B) 5,300 86 Circle K Sunkus (A) (B) 21,800 412 CKD (B) 1,200 4 Coca-Cola Central Japan (B) 2 14 Corona (B) 1,000 9
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Cosmo Oil (B) 91,000 $ 227 Credit Saison (A) (B) 42,700 572 CyberAgent (B) 757 469 Dai Nippon Printing (B) 10,000 106 Daihatsu Motor (B) 102,000 743 Daiichi Sankyo (B) 117,600 2,419 Daiichikosho (B) 8,100 83 Daikin Industries (B) 4,400 117 Dainichiseika Color & Chemicals Manufacturing (B) 8,000 20 Dainippon Ink and Chemicals (B) 429,000 743 Dainippon Sumitomo Pharma (B) 52,000 443 Daishi Bank (B) 7,000 30 DCM Japan Holdings (B) 33,700 253 Denso (B) 69,200 1,153 DTS (B) 6,400 63 Dydo Drinco (B) 100 2 Earth Chemical (B) 2,300 66 East Japan Railway (B) 1,085 8,421 EDION (A) (B) 30,700 134 Eighteenth Bank (B) 17,000 48 Eisai (B) 29,200 996 Electric Power Development (B) 45,200 1,583 FamilyMart (B) 110,000 4,500 Fancl* (B) 700 9 Fast Retailing (B) 32,100 3,692 Fuji Electric Holdings (B) 84,000 109 Fuji Fire & Marine Insurance (B) 38,000 65 Fuji Heavy Industries (B) 113,000 343 Fuji Machine Manufacturing (B) 3,900 28 FUJIFILM Holdings (B) 63,900 1,569 Fujitsu (B) 1,019,000 4,437 Fukuda Denshi (B) 1,900 41 Fukuoka Financial Group (B) 160,000 523 Furukawa Electric (B) 199,000 770 Furuno Electric (B) 3,500 20 Futaba Industrial (B) 18,700 100 Fuyo General Lease (B) 2,000 32 Goldcrest (B) 4,650 88 Gunma Bank (B) 77,000 454 Hachijuni Bank (B) 2,000 10 Heiwado (B) 4,000 59 Higashi-Nippon Bank (B) 17,000 48 Higo Bank (B) 19,000 118 HI-LEX (B) 2,800 25 Hino Motors (B) 57,000 119 Hisamitsu Pharmaceutical (B) 33,200 1,342 Hitachi (B) 747,900 3,488 Hitachi Capital (B) 10,800 96 Hitachi Chemical (B) 41,500 402 Hitachi High-Technologies (B) 44,800 844 Hitachi Maxell (B) 4,300 35 Hitachi Metals (B) 145,000 868
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 88
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Hitachi Software Engineering (B) 6,000 $ 88 Hitachi Systems & Services (B) 1,800 23 Hokkaido Electric Power (B) 19,100 449 Hokuetsu Bank (B) 25,000 55 Hokuhoku Financial Group (B) 45,000 94 Honda Motor (B) 305,100 6,855 Hosiden (B) 4,600 57 Hyakugo Bank (B) 26,000 157 Inpex Holdings (B) 283 1,819 Isetan Mitsukoshi Holdings (B) 21,900 162 Isuzu Motors (B) 1,110,000 1,388 IT Holdings (B) 4,100 54 Itochu (B) 449,000 2,287 Itochu Enex (B) 10,700 56 Itoham Foods (B) 4,000 15 IWATANI CORP (B) 4,000 8 J Front Retailing (B) 78,000 309 Japan Airlines (B) 254,000 592 Japan Aviation Electronics Industry (B) 11,000 43 Japan Petroleum Exploration (B) 1,400 56 Japan Steel Works (B) 383,510 3,966 Japan Tobacco (B) 1,302 4,807 JFE Holdings (B) 159,700 3,900 JFE Shoji Holdings (B) 26,000 70 JGC (B) 11,000 128 Kaga Electronics (B) 6,000 69 Kajima (B) 64,000 188 Kaneka (B) 54,000 248 Kansai Electric Power (B) 17,100 466 Kanto Natural Gas Development (B) 7,000 50 Kao (B) 163,000 4,686 Kasumi (B) 9,000 52 Kato Sangyo (B) 100 2 Kawasaki Kisen Kaisha (B) 205,000 829 Kayaba Industry (B) 31,000 70 KDDI (B) 1,129 7,384 Keihin (B) 4,700 37 Keisei Electric Railway (B) 52,000 272 Kikkoman (B) 21,000 238 Kinden (B) 14,000 127 Kirin Holdings (B) 150,000 1,833 Kohnan Shoji (B) 3,300 42 Koito Manufacturing (B) 6,000 40 Komatsu (B) 129,300 1,560 Konami (B) 32,600 739 Konica Minolta Holdings (B) 40,500 299 Kose (B) 5,200 124 Kuraray (B) 61,000 498 Kurita Water Industries (B) 35,600 847 Kuroda Electric (B) 2,800 21 Kyocera (B) 1,600 100 Kyoei Steel (B) 8,400 126 Kyorin (B) 4,000 42
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Kyowa Hakko Kogyo (B) 63,000 $ 537 Kyushu Electric Power (B) 46,900 1,115 Lawson (B) 58,000 2,913 Leopalace21 (B) 74,800 708 Lintec (B) 7,900 88 Lion (B) 28,000 160 Maeda (B) 14,000 44 Makino Milling Machine (B) 14,000 34 Makita (B) 33,900 662 Mandom (B) 2,600 72 Marubeni (B) 475,000 1,673 Marudai Food (B) 12,000 32 Marui Group (B) 1,800 10 Maruichi Steel Tube (B) 2,500 60 Matsushita Electric Industrial (B) 110,000 1,340 Maxvalu Nishinihon (B) 2,400 34 Mazda Motor (B) 567,000 983 Meiji Seika Kaisha (B) 44,000 198 Melco Holdings (B) 3,600 37 Micronics Japan (B) 1,400 12 Mie Bank (B) 12,000 49 Mikuni Coca-Cola Bottling (B) 4,000 36 Millea Holdings (B) 104,600 2,540 Mitsubishi (B) 412,300 5,146 Mitsubishi Chemical Holdings (B) 527,500 2,216 Mitsubishi Electric (B) 333,000 1,804 Mitsubishi Estate (B) 118,000 1,766 Mitsubishi Gas Chemical (B) 142,000 545 Mitsubishi Heavy Industries (B) 150,000 614 Mitsubishi Materials (B) 82,000 166 Mitsubishi UFJ Financial Group (A) (B) 1,409,120 7,852 Mitsui (B) 371,000 3,308 Mitsui Chemicals (B) 195,000 792 Mitsui Fudosan (B) 105,000 1,624 Mitsui High-Tec (B) 400 2 Mitsui Home (B) 7,000 32 Mitsui OSK Lines (B) 408,000 2,180 Mitsui Sumitomo Insurance Group Holdings (B) 119,700 2,864 Mitsui Trust Holdings (B) 316,000 1,188 Mitsumi Electric (A) (B) 25,100 323 Mizuho Financial Group (A) (B) 859 2,288 Mizuno (B) 9,000 43 Mochida Pharmaceutical (B) 13,000 151 Morinaga Milk Industry (B) 21,000 71 Murata Manufacturing (B) 24,700 856 N E Chemcat (B) 1,000 14 Nafco (B) 2,400 29 Nagase (B) 17,000 150 NEC (B) 248,000 700 NEC Fielding (B) 1,300 14 NHK Spring (A) (B) 43,000 155
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 89 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Nichirei (B) 18,000 $ 76 Nikon (A) (B) 62,000 704 Nintendo (B) 39,415 12,295 Nippo (B) 9,000 61 Nippon Electric Glass (B) 101,000 580 Nippon Express (B) 74,000 334 Nippon Meat Packers (B) 24,000 302 Nippon Mining Holdings (B) 544,100 1,615 Nippon Oil (B) 179,000 676 Nippon Seiki (B) 6,000 39 Nippon Sheet Glass (A) (B) 365,000 1,063 Nippon Shinyaku (B) 6,000 71 Nippon Shokubai (B) 6,000 33 Nippon Steel (B) 368,000 1,156 Nippon Steel Trading (B) 9,000 15 Nippon Telegraph & Telephone (B) 3,574 15,792 Nippon Yusen (B) 374,000 2,042 Nipponkoa Insurance (B) 99,000 631 Nishimatsu Construction (B) 26,000 38 Nishi-Nippon City Bank (B) 124,000 260 Nissan Motor (A) (B) 964,500 3,261 Nissan Shatai (B) 14,000 85 Nisshin Oillio Group (B) 10,000 48 Nisshinbo Industries (B) 10,000 69 Nitori (B) 3,750 268 Nitto Denko (B) 6,700 113 Nitto Kogyo (B) 2,800 25 NOK (B) 6,600 50 Nomura Holdings (B) 15,200 111 Nomura Real Estate Holdings (A) (B) 13,500 203 Noritake (B) 18,000 60 NSK (B) 27,000 100 NTT DoCoMo (B) 2,782 4,670 OJI Paper (B) 108,000 524 Oki Electric Industry, Cl B (A) (B) 202,000 147 Okinawa Cellular Telephone (B) 16 31 OKUMA (A) (B) 21,000 81 Omron (B) 39,400 515 Ono Pharmaceutical (B) 6,900 306 Onward Holdings (B) 46,000 341 ORIX (A) (B) 31,980 2,000 Osaka Gas (B) 91,000 348 Pacific Golf Group International Holdings (B) 7 2 Point (B) 1,700 83 Promise (B) 56,100 1,162 Rakuten (A) (B) 11,155 6,136 Resona Holdings (A) (B) 614 862 Ricoh (B) 111,000 1,163 Riso Kagaku (B) 2,200 24 Roland (B) 1,700 17 Roland DG (B) 200 2 Round One (B) 74 35
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Royal Holdings (B) 2,300 $ 24 Sakai Chemical Industry (B) 1,000 2 San-A, Cl A (B) 100 3 San-In Godo Bank (B) 20,000 147 Sanki Engineering (B) 14,000 94 Sankyo (B) 7,100 390 Sankyu (B) 53,000 205 Sapporo Hokuyo Holdings (B) 103 392 Sazaby League (B) 1,600 19 Seiko Epson (A) (B) 39,700 573 Seino Holdings (B) 24,000 122 Senshukai 4,500 34 Seven & I Holdings (B) 152,300 4,322 Seven Bank 266 944 SFCG (A) (B) 1,460 19 Sharp (B) 465,000 3,150 Shimano (B) 24,900 925 Shin-Etsu Chemical (B) 14,600 561 Shinsei Bank (B) 112,000 180 Shionogi (B) 14,000 307 Shiseido (B) 42,000 785 Showa (B) 8,000 33 Showa Denko (B) 35,000 52 Showa Shell Sekiyu (B) 27,700 231 Sintokogio (B) 2,900 18 Sky Perfect JSAT (B) 1,239 473 Softbank (A) (B) 130,300 1,787 Sompo Japan Insurance (B) 107,000 620 Sony (B) 130,600 2,549 Sony Financial Holdings (B) 110 328 Square ENIX Holdings (B) 27,800 797 SRI Sports (B) 13 12 Sumikin Bussan (B) 6,000 13 Sumitomo (B) 317,100 2,805 Sumitomo Chemical (B) 218,000 766 Sumitomo Electric Industries (B) 16,400 124 Sumitomo Heavy Industries (B) 122,000 460 Sumitomo Metal Industries (B) 248,000 641 Sumitomo Metal Mining (B) 218,000 2,078 Sumitomo Mitsui Financial Group (A) (B) 1,016 3,699 Sumitomo Trust & Banking (B) 174,000 790 Suruga Bank (B) 109,731 1,115 Suzuken (B) 22,300 501 Suzuki Motor (B) 51,700 701 T&D Holdings (B) 64,700 2,422 Tachi-S, Cl S (B) 17,000 81 Tadano (B) 30,000 156 Taisho Pharmaceutical (B) 31,000 560 Takashimaya (B) 51,000 368 Takata (A) (B) 25,700 202 Takeda Pharmaceutical (B) 83,700 4,076 Takefuji (B) 36,760 258
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 90
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Takeuchi Manufacturing (B) 1,200 $ 9 Tanabe Seiyaku (B) 248,000 3,105 TDK (B) 20,100 683 Teijin (B) 167,000 466 Teikoku Piston Ring (A) (B) 13,200 51 Temp Holdings 5,000 29 T-GAIA CORP (B) 4 4 Toagosei (B) 89,000 222 Tochigi Bank (B) 10,000 58 Toei 1,000 4 Toho Gas (B) 37,000 215 Tohoku Electric Power (B) 86,400 2,106 Tokai Rika (B) 5,300 50 Tokai Rubber Industries 200 2 Tokai Tokyo Securities (B) 11,000 24 Token (B) 2,360 54 Tokuyama (B) 18,000 138 Tokyo Dome (B) 13,000 42 Tokyo Electric Power (B) 276,900 8,268 Tokyo Leasing (B) 6,700 35 Tokyo Style (B) 4,000 30 Tokyu Land (B) 34,000 95 Topre (B) 3,600 31 Toshiba (B) 702,000 2,580 Toshiba Machine (B) 20,000 64 Toshiba TEC (B) 36,000 98 Tosoh (B) 54,000 113 Toyo Kohan (B) 1,000 4 Toyo Seikan Kaisha (B) 300 4 Toyo Suisan Kaisha (B) 53,000 1,243 Toyota Boshoku (B) 9,800 79 Toyota Industries (B) 33,200 652 Toyota Motor (B) 298,700 9,607 Toyota Tsusho (B) 4,800 46 Trusco Nakayama (B) 2,400 28 TS Tech (B) 6,100 39 Tsuruha Holdings (B) 2,000 60 TV Asahi (B) 120 158 Ube Industries (B) 38,000 76 Unipres (B) 2,700 26 UNY (B) 25,000 221 Valor (B) 6,000 54 West Japan Railway (B) 209 931 Yachiyo Bank (B) 17 52 Yahoo! Japan (A) (B) 380 124 Yamaha (B) 28,600 265 Yamaha Motor (B) 47,500 452 Yamanashi Chuo Bank (B) 2,000 12 Yamato Kogyo (B) 36,700 826 Yaskawa Electric (B) 80,000 351 Yodogawa Steel Works (B) 11,000 45 Yokogawa Electric (B) 12,000 63 Yurtec (B) 8,000 39
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Yusen Air & Sea Service (B) 500 $ 6 Zeon (B) 16,000 48 ------------- 303,644 ------------- JERSEY -- 0.0% Meinl European Land* (A) (B) 59,652 149 ------------- MALAYSIA -- 0.3% Affin Holdings (B) 60,600 22 AMMB Holdings (B) 483,000 275 BIMB Holdings (B) 7,000 2 Boustead Holdings (B) 8,000 7 British American Tobacco Malaysia (B) 70,000 865 HAP Seng Consolidated (B) 195,500 100 Hong Leong Bank (B) 50,000 69 Hong Leong Financial Group (B) 56,000 59 JT International (B) 7,000 9 KFC Holdings Malaysia (B) 50,100 101 Lion Industries (B) 371,000 66 Oriental Holdings (B) 21,000 29 Petronas Gas (B) 264,000 708 PLUS Expressways (B) 842,000 647 PPB Group (B) 282,000 667 Resorts World (B) 3,497,500 2,263 Tanjong (B) 56,000 194 Tenaga Nasional (B) 182,000 297 Titan Chemicals (B) 810,000 181 UMW Holdings (B) 152,000 216 ------------- 6,777 ------------- MAURITIUS -- 0.0% Golden Agri-Resources (SGD) (B) 619,000 93 ------------- MEXICO -- 0.8% Alfa, Cl A 111,928 206 America Movil ADR, Ser L 88,500 2,655 America Movil, Ser L 1,381,500 2,140 Cemex 1,457,200 1,055 Cemex ADR* (A) 195,100 1,356 Coca-Cola Femsa, Ser L 205,500 725 Consorcio ARA 360,317 127 Cydsa 85,300 39 Embotelladoras Arca 151,900 310 Fomento Economico Mexicano ADR 100,395 2,762 GEO* 63,900 58 Gruma, Ser B, Cl B* 2,600 1 Grupo Aeroportuario del Pacifico, Ser B, Cl B 130,700 292 Grupo Continental 221,300 299 Grupo Elektra 2,340 89 Grupo Famsa, Cl A* 91,584 59 Grupo Financiero Banorte, Ser O (A) 249,589 403
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 91 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Grupo Lamosa* 40,800 $ 38 Grupo Mexico, Ser B 1,365,377 878 Grupo Modelo 230,620 608 Grupo Televisa 13,300 40 Industrias, Ser B* 21,111 40 Industrias Bachoco 8,500 11 Mexichem 27,700 28 Urbi Desarrollos Urbanos* (A) 648,430 972 Wal-Mart de Mexico 38,800 107 ------------- 15,298 ------------- NETHERLANDS -- 3.1% Aegon (B) 378,766 1,797 Akzo Nobel (B) 11,733 400 Boskalis Westminster (B) 26,926 770 CSM (B) 10,622 135 European Aeronautic Defense and Space (A) (B) 261,907 4,162 Fugro (B) 17,106 544 ING Groep (B) 428,083 3,609 Koninklijke Ahold (B) 773,001 8,607 Koninklijke DSM (B) 91,756 2,125 Randstad Holding (B) 26,104 488 Reed Elsevier (B) 163,554 1,932 Royal Dutch Shell, Cl B (B) 263,850 6,912 Royal Dutch Shell, Cl A (B) 428,464 11,406 Royal Dutch Shell, Cl A (GBP) (B) 237,026 6,352 Royal KPN (B) 235,367 3,247 SNS Reaal (B) 19,069 118 TNT (B) 21,523 450 TomTom* (A) (B) 7,894 46 Unilever (B) 332,279 7,747 Wolters Kluwer (B) 20,400 345 ------------- 61,192 ------------- NEW ZEALAND -- 0.0% Fisher & Paykel Healthcare (B) 33,194 56 Telecom Corp of New Zealand (B) 591,500 796 Vector (B) 96,150 105 ------------- 957 ------------- NORWAY -- 0.5% DnB (B) 484,100 1,835 Norsk Hydro (B) 70,980 258 Petroleum Geo-Services* (B) 58,950 267 Statoil (B) 411,534 6,950 Telenor (B) 164,900 893 Yara International (B) 18,693 310 ------------- 10,513 ------------- PANAMA -- 0.1% Copa Holdings, Cl A (A) 55,700 1,235 -------------
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- PHILIPPINES -- 0.2% Aboitiz Equity Ventures (B) 48,000 $ 5 JG Summit Holdings (B) 968,000 36 Manila Electric (B) 103,000 123 Philippine Long Distance Telephone ADR (A) 31,417 1,506 Philippine Long Distance Telephone (B) 30,560 1,448 Pilipino Telephone (B) 560,000 82 San Miguel, Cl B (B) 58,000 51 SM Investments (B) 183,851 691 ------------- 3,942 ------------- POLAND -- 0.2% Bank Handlowy w Warszawie (B) 17,000 260 Bank Ochrony Srodowiska (B) 41 1 Cyfrowy Polsat (B) 239,447 1,050 Kredyt Bank (B) 28,228 102 Polish Oil & Gas (B) 798,000 947 Polski Koncern Naftowy Orlen (B) 107,000 942 Powszechna Kasa Oszczednosci Bank Polski (B) 5,000 54 Telekomunikacja Polska (B) 135,000 888 Zaklady Azotowe Pulawy (B) 2,100 40 ------------- 4,284 ------------- PORTUGAL -- 0.1% Banco BPI, Cl G* (B) 57,615 106 Energias de Portugal (B) 346,315 1,177 Jeronimo Martins (B) 144,072 752 Portugal Telecom (B) 122,060 906 ------------- 2,941 ------------- RUSSIA -- 1.3% Comstar United Telesystems GDR (B) 144,313 328 Gazprom OAO ADR (B) 471,450 8,280 LUKOIL ADR (A) (B) 179,319 5,740 Mechel ADR (A) 85,300 535 MMC Norilsk Nickel ADR (B) 311,640 2,323 Mobile Telesystems ADR 49,700 1,473 Novorossiysk Commercial Sea Port GDR (B) 82,000 411 Rosneft Oil GDR (A) (B) (D) 426,693 1,696 Sberbank GDR (A) 18,065 2,354 Surgutneftegaz ADR 71,608 457 Tatneft GDR 18,397 625 Uralkali GDR 72,084 525 Vimpel-Communications ADR 13,100 125 ------------- 24,872 ------------- SINGAPORE -- 0.5% ComfortDelgro (B) 80,000 72 DBS Group Holdings (B) 105,000 659
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 92
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Fraser and Neave (B) 66,000 $ 125 Haw Par (B) 19,000 43 Ho Bee Investment (B) 30,000 7 Hong Leong Asia (B) 33,000 11 Hotel Plaza (B) 11,000 9 Jardine Cycle & Carriage (B) 20,000 140 K1 Ventures (B) 76,000 7 Keppel (B) 136,000 382 Metro Holdings (B) 62,000 15 NatSteel (B) 60,000 36 Neptune Orient Lines (A) (B) 701,000 487 Oversea-Chinese Banking (B) 480,000 1,648 SembCorp Industries (B) 132,000 195 Singapore Airlines (B) 56,000 389 Singapore Land (B) 5,000 12 Singapore Technologies Engineering (B) 169,000 265 Singapore Telecommunications (B) 153,000 260 SMRT (B) 9,000 10 SP Chemicals (B) 133,500 62 United Overseas Bank (B) 367,000 3,233 UOB-Kay Hian Holdings (B) 143,000 88 UOL Group (B) 31,000 42 Venture (B) 18,000 49 Wheelock Properties (B) 27,000 15 Wilmar International (A) (B) 533,000 991 ------------- 9,252 ------------- SOUTH AFRICA -- 1.3% ABSA Group (B) 32,000 331 African Rainbow Minerals (B) 37,917 384 ArcelorMittal (A) (B) 267,289 6,432 ArcelorMittal South Africa (B) 57,600 499 Assore (B) 3,875 145 AST Group (B) 422,010 20 Aveng (B) 114,000 332 Combined Motor Holdings (B) 7,293 2 DataTec (B) 72,000 99 Enaleni Pharmaceuticals* (B) 75,740 18 Exxaro Resources (B) 62,000 446 Gold Fields (B) 54,000 448 Grindrod (B) 180,000 233 Group (B) 116,749 1,223 Harmony Gold Mining* (B) 84,000 723 Hosken Consolidated Investments (B) 5,500 22 Medi-Clinic (B) 130,000 234 Metropolitan Holdings (B) 204,000 216 Nedbank Group (B) 72,000 675 Palabora Mining (B) 16,000 96 Sanlam (B) 2,629,830 4,342 Santam (B) 17,016 116 Sappi (A) 360,416 1,294 Sasol (B) 166,771 4,793
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Standard Bank Group (B) 194,311 $ 1,684 Telkom (B) 39,554 402 ------------- 25,209 ------------- SOUTH KOREA -- 1.7% Asia Cement (B) 783 21 Daou Technology (B) 18,650 48 Dongwon Industries (B) 1,460 83 Doosan* (B) 2,170 105 Doosan Infracore (B) 11,340 101 GS Home Shopping (B) 1,514 48 Hana Financial Group (B) 24,100 288 Handsome (B) 11,850 59 Hanwha Chemical (B) 45,020 153 Honam Petrochemical (B) 6,000 181 Hyundai Department Store (B) 8,190 308 Hyundai Development (B) 79,528 1,650 Hyundai Heavy Industries (B) 12,500 1,315 Hyundai Marine & Fire Insurance (B) 6,180 55 Industrial Bank of Korea (B) 10,680 51 KB Financial Group* 55,400 1,139 Korea Development Financing (B) 2,820 46 Korea Gas (B) 11,870 456 KT (B) 43,630 982 KT Freetel (B) 38,280 744 KT&G (B) 31,130 1,723 Kyeryong Construction Industrial (B) 1,080 10 LG (B) 33,730 956 LG Chemical (B) 33,240 1,578 LG Dacom (B) 24,140 321 LG Electronics (B) 13,890 744 LG Household & Health Care (B) 5,510 627 LG Telecom (B) 76,700 566 LG.Philips LCD (B) 140,830 1,927 Lotte Confectionery (B) 390 325 Lotte Shopping (B) 5,190 635 Namyang Dairy Products (B) 25 7 Nong Shim Holdings (B) 1,110 41 Ottogi (B) 1,369 137 Pacific (B) 3,469 236 Samsung Electronics (B) 22,173 7,344 Samsung Fire & Marine Insurance (B) 30,534 4,027 Samsung Heavy Industries (B) 7,960 108 SeAH Holdings (B) 340 14 Shinhan Financial Group (B) 16,190 339 Shinsegae (B) 10,325 3,110 SK Energy (B) 4,982 231 SK Gas (B) 2,500 74 SK Holdings (B) 2,035 120 Young Poong (B) 440 146 Youngone (B) 21,210 77 ------------- 33,256 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 93 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- SPAIN -- 2.5% ACS Actividades Construcciones y Servicios (B) 44,590 $ 1,766 Banco Bilbao Vizcaya Argentaria (B) 262,055 2,716 Banco Espanol de Credito (B) 1,521 17 Banco Santander (B) 4,786 38 Banco Santander Central Hispano (B) 1,167,796 9,584 Cementos Portland Valderrivas (B) 1,462 44 Criteria Caixacorp (B) 119,590 407 Financiera Alba (B) 8,864 283 Gas Natural (A) (B) 154,065 4,268 Grifols (B) 64,880 1,119 Grupo Catalana Occidente (B) 21,917 365 Iberdrola (B) 717,067 5,317 Iberdrola Renovables* 148,704 496 Mapfre (B) 190,790 601 Promotora de Informaciones (B) 21,227 77 Repsol (B) 265,363 5,107 Sacyr Vallehermoso (A) (B) 19,522 189 Telefonica (A) (B) 844,794 17,100 Union Fenosa (B) 9,685 211 ------------- 49,705 ------------- SWEDEN -- 1.1% Alfa Laval (B) 24,862 196 Atlas Copco, Cl A (B) 46,166 326 Eniro (A) (B) 35,467 61 Getinge, Cl B (B) 37,641 452 Hennes & Mauritz, Cl B (A) (B) 4,795 178 Investor, Cl B (B) 144,845 2,053 NCC, Cl B (B) 2,141 10 Nordea Bank (B) 431,427 3,118 Oriflame Cosmetics (B) 2,324 64 Saab, Cl B (B) 10,364 72 Securitas, Cl B (B) 88,000 836 Skandinaviska Enskilda Banken, Cl A (A) (B) 46,847 397 Svenska Cellulosa, Cl B (B) 155,300 1,260 Svenska Handelsbanken, Cl A (B) 65,472 1,092 Swedbank (A) (B) 114,655 829 Swedish Match (B) 50,312 770 Tele2, Cl B (B) 36,000 295 Telefonaktiebolaget LM Ericsson, Cl B (B) 1,202,000 8,443 TeliaSonera (A) (B) 236,657 1,065 Trelleborg, Cl B (B) 19,589 106 Volvo, Cl B (A) (B) 189,506 847 ------------- 22,470 ------------- SWITZERLAND -- 6.0% ABB (B) 71,104 921 ACE 19,063 996 Actelion* (B) 27,286 1,229
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Addax Petroleum 53,800 $ 949 Adecco (B) 35,000 1,040 Baloise Holding (B) 38,247 2,137 Banque Cantonale Vaudoise (B) 1,162 324 Bobst Group (B) 338 10 Clariant (B) 52,733 324 Credit Suisse Group (B) 164,005 4,804 Elektrizitaets-Gesellschaft Laufenburg (B) 258 197 Galenica (B) 136 38 Georg Fischer (B) 262 50 Helvetia Holding (B) 2,052 348 Holcim (A) (B) 3,452 154 Lindt & Spruengli (B) 305 591 Nestle (B) 761,793 27,576 Novartis (B) 528,334 24,641 Paris RE Holdings (B) 572 8 Petroplus Holdings (B) 4,356 81 Roche Holding (B) 99,651 13,953 Schmolz + Bickenbach (B) 1,776 31 Schweizerische National- Versicherungs-Gesellschaft (A) (B) 60 30 STMicroelectronics (B) 75,586 498 Swatch Group (A) (B) 26,777 599 Swiss Life Holding (B) 9,945 613 Swiss Reinsurance (B) 113,930 4,653 Swisscom (B) 4,295 1,230 Syngenta (B) 45,416 8,160 Synthes (B) 13,205 1,529 Temenos Group* (B) 31,474 397 UBS* (B) 228,408 2,852 Xstrata (B) 261,654 3,763 Zurich Financial Services (B) 78,988 15,398 ------------- 120,124 ------------- TAIWAN -- 1.9% Acer (B) 264,301 337 Advanced Semiconductor Engineering (B) 4,914,005 1,684 Asia Optical (B) 101,000 109 Asustek Computer (B) 1,081,231 1,240 AU Optronics (B) 4,120,175 2,527 Cathay Financial Holding (B) 2,027,550 2,114 Chang Hwa Commercial Bank (B) 442,000 162 Chi Mei Optoelectronics (B) 1,565,450 459 China Bills Finance* (B) 109,000 13 China Development Financial Holding (B) 3,566,333 715 China Manmade Fibers (B) 653,000 78 China Steel (B) 648,209 433 Chinatrust Financial Holding (B) 5,637,618 1,916 Chunghwa Telecom (B) 4,908,829 7,754 Compal Electronics (B) 1,766,598 920 CTCI (B) 289,432 207
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 94
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Far Eastern Textile (B) 198,000 $ 135 Far EasTone Telecommunications (B) 765,000 895 Formosa Plastics (B) 632,000 928 Fubon Financial Holding (B) 1,733,000 1,046 Gigabyte Technology (B) 299,000 102 HannStar Display (B) 2,600,000 297 HON HAI Precision Industry (B) 1,008,616 1,964 Hua Nan Financial Holdings (B) 273,000 134 King Yuan Electronics (B) 577,000 120 Lite-On Technology (B) 819,737 584 MediaTek (B) 320,889 2,153 Mega Financial Holding (B) 2,869,000 884 Micro-Star International (B) 174,716 77 Quanta Computer (B) 911,529 989 Shih Wei Navigation (B) 155,000 164 Siliconware Precision Industries (B) 460,472 378 Taiwan Cooperative Bank (B) 1,512,850 694 Taiwan Fertilizer (B) 491,000 716 Taiwan Glass Industrial (B) 397,000 245 Taiwan Semiconductor Manufacturing ADR (A) 342,989 2,452 Taiwan Semiconductor Manufacturing (B) 1,227,788 1,532 Taiwan Sogo Shin Kong SEC (B) 27,540 11 Teco Electric and Machinery (B) 995,000 301 United Microelectronics (B) 589,527 141 UPC Technology (B) 384,799 105 Wistron (B) 571,533 380 ------------- 38,095 ------------- THAILAND -- 0 3% Bangkok Bank NVDR (B) 481,000 895 Krung Thai Bank NVDR (B) 221,000 21 PTT (B) 537,300 2,245 PTT (Foreign) (B) 14,900 62 PTT NVDR (B) 210,700 880 Ratchaburi Electricity Generating Holding (B) 148,000 129 Siam Commercial Bank (B) 1,694,500 2,314 Thai Oil (B) 484,100 262 Thai Rayon (B) 76,000 60 ------------- 6,868 ------------- TURKEY -- 0.2% Anadolu Efes Biracilik Ve Malt Sanayii (B) 69,131 546 Banvit (B) 36,000 30 Borusan Mannesmann Boru Sanayi (B) 12,000 42 Bossa Ticaret Sanayi Isletme (B) 60,000 79 Eczacibasi Ilac Sanayi (B) 243,000 134 Fortis Bank* (B) 170,803 90 Haci Omer Sabanci Holding (B) 1,263,363 2,524 KOC Holding* (B) 391,000 637
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Trakya Cam Sanayi* (B) 90,000 $ 55 Turk Hava Yollari* (B) 72,000 246 Turk Sise ve Cam Fabrikalari (B) 255,568 177 ------------- 4,560 ------------- UNITED KINGDOM -- 12.6% 3i Group (B) 181,044 1,149 Aegis Group (B) 1,002 1 Aggreko (B) 78,454 541 Amec (B) 456,680 3,700 Anglo American (B) 246,248 5,849 Antofagasta (B) 132,700 885 Arriva (B) 4,800 47 Associated British Foods (B) 150,000 1,564 AstraZeneca (B) 353,703 13,307 Autonomy* (B) 306,367 4,402 Aviva (B) 424,550 2,630 Babcock International Group (B) 118,447 875 BAE Systems (B) 2,156,365 11,778 Barclays (B) 2,537,367 6,713 BBA Aviation (B) 56,038 68 BG Group (B) 613,417 8,734 BHP Billiton (B) 565,468 10,209 BP (B) 3,013,868 24,372 British American Tobacco (B) 413,760 10,807 British Energy Group (B) 118,600 1,364 British Land+++ (B) 23,978 193 BT Group, Cl A (B) 2,613,842 5,397 Cable & Wireless (B) 1,266,590 2,912 Centrica (B) 1,297,918 4,730 Charter International 59,668 280 Close Brothers Group (B) 2,922 21 Cobham (B) 644,704 1,762 Colt Telecom Group* (B) 26,758 24 Compass Group (B) 890,889 4,207 Cookson Group (B) 18,359 31 Diageo (B) 137,638 1,915 Drax Group (B) 3,329 31 Enterprise Inns (B) 24,874 25 Eurasian Natural Resources (B) 85,328 367 Firstgroup (B) 129,729 939 Friends Provident (B) 301,022 341 Game Group (B) 260,696 628 GlaxoSmithKline (B) 869,937 15,012 Greene King (B) 35,757 216 Group 4 Securicor (B) 405,166 1,267 HBOS (B) 2,115,084 2,979 Home Retail Group (B) 696,438 2,182 HSBC Holdings (B) 1,587,743 17,282 IG Group Holdings (B) 174,033 601 Imperial Tobacco Group (B) 190,040 4,733 Informa (B) 18,877 59 Inmarsat (B) 125,671 842
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 95 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Invensys (B) 195,391 $ 497 Investec (B) 100,301 412 Jardine Lloyd Thompson Group (B) 46,311 356 John Wood Group (B) 127,293 418 Kazakhmys (B) 52,859 211 Kingfisher (B) 625,000 1,150 Land Securities Group+++ (B) 66,276 964 Legal & General Group (B) 2,309,249 2,409 Liberty International+++ (B) 36,000 301 Lloyds TSB Group (B) 1,232,498 3,175 LogicaCMG (B) 293,245 299 Marston's (B) 36,913 60 Meggitt (B) 74,574 167 Millennium & Copthorne Hotels (B) 17,795 54 Mitchells & Butlers (B) 25,916 65 Mondi (B) 186,297 477 National Express Group (B) 6,962 61 National Grid (B) 116,000 1,207 Old Mutual (B) 2,081,992 1,762 Pearson (B) 8,197 78 Persimmon (A) (B) 24,200 81 Prudential (B) 200,058 1,046 Punch Taverns (B) 6,200 12 QinetiQ (B) 37,581 100 Reckitt Benckiser Group (B) 103,506 4,390 Rio Tinto (B) 119,655 2,969 Rolls-Royce Group (B) 99,872 481 Royal & Sun Alliance Insurance Group (B) 2,203,774 5,187 Royal Bank of Scotland Group (B) 3,318,076 2,842 Sage Group (B) 372,000 952 Scottish & Southern Energy (B) 45,781 777 Segro+++ (B) 30,734 105 Severn Trent (B) 11,938 210 Shire (B) 220,147 3,027 Smith & Nephew (B) 8,981 67 Smiths Group (B) 97,913 1,262 Spectris (B) 12,481 82 St. James's Place (B) 17,193 52 Standard Chartered (B) 49,528 645 Standard Life (B) 641,906 2,599 Tate & Lyle (B) 83,128 501 Tesco (B) 425,809 1,937 Thomas Cook Group (B) 40,960 103 TUI Travel (B) 359,720 1,177 Tullett Prebon (B) 11,191 31 Unilever (B) 225,471 5,165 United Business Media (B) 7,994 53 United Utilities Group (B) 182,338 1,699 Vedanta Resources (A) (B) 58,930 556 Vodafone Group (B) 9,841,242 19,259 WPP (B) 309,874 1,726 ------------- 251,187 -------------
Shares/ Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- UNITED STATES -- 0.0% Thomson Reuters (CAD)* 13,100 $ 335 ------------- Total Common Stock (Cost $2,434,421) ($ Thousands) 1,630,105 ------------- U.S. TREASURY OBLIGATIONS -- 3.0% U.S. Treasury Bill 0.297%, 12/18/08 (C) (G) $ 1,300 1,300 0.010%, 02/12/09 (C) (G) 47,706 47,702 U.S. Treasury Inflationary Protection Securities 3.000%, 07/15/12 7,436 7,108 2.375%, 01/15/25 3,561 3,173 ------------- Total U.S. Treasury Obligations (Cost $60,651) ($ Thousands) 59,283 ------------- MORTGAGE-BACKED SECURITIES -- 2.1% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 1.3% FHLMC TBA 6.000%, 12/01/22 20,000 20,377 FHLMC CMO STRIPS, Ser 232, Cl IO, IO 5.000%, 08/01/35 (E) 11,167 1,824 FHLMC CMO STRIPS, Ser 233, Cl 12, IO 5.000%, 09/15/35 (E) 12 2 FHLMC CMO STRIPS, Ser 245, Cl IO, IO 5.000%, 05/15/37 (E) 1,098 182 FNMA CMO STRIPS, Ser 359, Cl 6, IO 5.000%, 11/01/35 (E) 8 1 GNMA ARM 5.500%, 01/20/09 (E) (F) 190 188 5.000%, 01/20/09 to 01/20/09 (F) 761 750 4.750%, 01/01/09 (E) (F) 1,447 1,421 4.625%, 10/01/09 (E) (F) 112 110 4.500%, 01/20/09 (F) 870 852 4.000%, 01/20/09 (E) (F) 212 206 ------------- 25,913 ------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 0.8% Adjustable Rate Mortgage Trust, Ser 2005-5, Cl 1A1 5.310%, 01/25/09 (F) 805 729 Banc of America Funding, Ser 2006-A, Cl 2A2 5.491%, 12/01/08 (F) 128 113 Bear Stearns Alt-A Trust, Ser 2004-12, Cl 2A2 5.875%, 01/25/09 (F) 641 321
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 96
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Citigroup Mortgage Loan Trust, Ser 2007-AR5, Cl 1A2A 5.607%, 01/25/09 (F) $ 2,224 $ 1,066 Countrywide Alternative Loan Trust, Ser 2004-33, Cl 1A1 6.725%, 12/01/08 (F) 271 155 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-22, Cl A1 5.084%, 12/01/08 (F) 481 252 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2006-HYB2, Cl 1A1 4.991%, 12/01/08 (F) 1,344 719 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2007-HYB1, Cl 1A1 5.478%, 01/25/09 (F) 1,186 670 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2007-HYB2, Cl 3A1 5.418%, 01/25/09 (F) 851 335 Deutsche ALT-A Securities Alternate Loan Trust, Ser 2006-AB3, Cl A1 6.250%, 12/01/08 (F) 613 576 DSLA Mortgage Loan Trust, Ser 2004-AR4, Cl B1 2.074%, 12/19/08 (F) 255 59 First Horizon Asset Securities, Ser 2006-AR3, Cl 1A1 5.657%, 12/01/08 (F) 1,223 823 Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 1A 5.538%, 12/01/08 (F) 80 41 Master Adjustable Rate Mortgages Trust, Ser 2004-6, Cl 2A1 5.190%, 12/01/08 (F) 783 464 Master Adjustable Rate Mortgages Trust, Ser 2005-2, Cl 3A1 5.692%, 12/01/08 (F) 799 380 Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A 5.251%, 12/01/08 (F) 1,218 1,144 Morgan Stanley Mortgage Loan Trust, Ser 2007-11AR, Cl 2A5 5.992%, 01/25/09 (F) 861 350 Morgan Stanley Mortgage Loan Trust, Ser 2007-14AR, Cl 6A1 6.406%, 01/25/09 (F) 2,830 1,258 Nomura Asset Acceptance, Ser 2004-R1, Cl A1 6.500%, 03/25/34 (D) 284 286
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------- ------------- ------------- Nomura Asset Acceptance, Ser 2004-R2, Cl A1 6.500%, 12/01/08 (D) (F) $ 331 $ 307 Nomura Asset Acceptance, Ser 2007-1, Cl 1A1A 5.995%, 03/25/47 1,324 1,134 Residential Accredit Loans, Ser 2005-QA3, Cl NB2 5.219%, 12/01/08 (F) 1,252 618 Residential Accredit Loans, Ser 2006-QO1, Cl 2A3 1.795%, 12/26/08 (F) 250 78 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 3A1 5.236%, 12/01/08 (F) 1,019 921 Structured Adjustable Rate Mortgage Loan Trust, Ser 2006-3, Cl 2A1 5.948%, 01/25/09 (F) 4,044 1,917 Structured Adjustable Rate Mortgage Loan Trust, Ser 2007-9, Cl 2A1 5.991%, 01/25/09 (F) 1,769 940 Structured Asset Securities, Ser 2006-NC1, Cl A4 1.545%, 12/26/08 (F) 300 167 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl B1 5.543%, 12/01/08 (F) 60 35 ------------- 15,858 ------------- Total Mortgage-Backed Securities (Cost $53,835) ($ Thousands) 41,771 ------------- PREFERRED STOCK -- 1.3% BRAZIL -- 1.2% All America Latina Logistica 20,400 16 Banco Bradesco 403,900 4,345 Banco Daycoval 22,000 47 Banco Itau Holding Financeira 60,700 711 Bombril* 3,000 7 Brasil Telecom 95,575 619 Braskem 34,142 95 Centrais Eletricas Brasileiras, Cl B 89,000 938 Centrais Eletricas de Santa Catarina 11,700 178 Cia de Bebidas das Americas 20,000 859 Cia Energetica de Minas Gerais 4,356 70 Cia Paranaense de Energia 75,000 898 Cia Vale do Rio Doce, Cl A 280,400 3,005 Construtora Sultepa 3,000 6 Duratex 36,400 229 Ferbasa-Ferro Ligas DA Bahia 19,473 59 Fertilizantes Fosfatados 131,700 627
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 97 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Continued) November 30, 2008
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Gerdau 629 $ 4 Industrias J B Duarte 1,200 -- Mangels Industrial 3,500 10 NET Servicos de Comunicacao* 384,000 2,307 Parana Banco 16,500 19 Petroleo Brasileiro 612,700 5,374 Sadia 45,800 67 Tam 111,942 759 Tekno Industria e Comercio 400 12 Telegraph Norte Leste Participacoes 62,800 933 Telemar Norte Leste 28,700 730 Telemig Celular Participacoes 18,000 283 Universo Online 18,500 56 Usinas Siderurgicas de Minas Gerais, Cl A 65,150 668 ------------- 23,931 ------------- GERMANY -- 0.1% Bayerische Motoren Werke 3,036 55 Porsche Automobil Holding 5,107 333 ProSiebenSat.1 Media 11,647 25 RWE 1,987 116 Volkswagen 5,856 238 ------------- 767 ------------- ITALY -- 0.0% Istituto Finanziario Industriale* (B) 40,436 241 Unipol Gruppo Finanziario (B) 47,789 48 ------------- 289 ------------- SOUTH KOREA -- 0.0% Samsung Electronics (B) 1,000 228 ------------- Total Preferred Stock (Cost $42,804) ($ Thousands) 25,215 ------------- ASSET-BACKED SECURITIES -- 0.6% MORTGAGE RELATED SECURITIES -- 0.6% ACE Securities, Ser 2003-NC1, Cl M 2.175%, 12/26/08 (F) $ 650 411 ACE Securities, Ser 2003-OP1, Cl M1 2.095%, 12/26/08 (F) 300 186 Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1 2.445%, 12/26/08 (F) 38 21 Ameriquest Mortgage Securities, Ser 2003-2, Cl M1 2.745%, 12/26/08 (F) 416 291 Argent Securities, Ser 2003-W5, Cl M1 2.095%, 12/26/08 (F) 250 166
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Argent Securities, Ser 2003-W9, Cl M1 2.085%, 12/26/08 (F) $ 369 $ 239 Asset-Backed Securities Home Equity, Ser 2003-HE5, Cl M1 2.548%, 12/15/08 (F) 456 340 Citigroup Mortgage Loan Trust, Ser 2007-AMC2, Cl A3A 1.475%, 12/26/08 (F) 1,084 871 Countrywide Asset-Backed Certificates, Ser 2003-5, Cl MV2 2.995%, 12/26/08 (F) 255 157 Credit Suisse Asset-Backed Mortgage-Backed Trust, Ser 2007-1, Cl 1A1A 5.898%, 01/25/09 (F) 2,945 1,988 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF9, Cl A3 1.675%, 12/26/08 (F) 887 756 GSAA Home Equity NIM Trust, Ser 2006-2, Cl 2A1 1.495%, 12/26/08 (F) 139 138 Home Equity Asset NIM Trust, Ser 2003-4, Cl M2 3.795%, 12/26/08 (F) 226 141 Home Equity Asset Trust, Ser 2006-5, Cl 2A3 1.545%, 12/26/08 (F) 250 123 Merrill Lynch Mortgage Investors, Ser 2003-HE1, Cl M2 3.045%, 12/26/08 (F) 51 24 Morgan Stanley ABS Capital I, Ser 2003-NC10, Cl M1 2.415%, 12/26/08 (F) 613 438 Morgan Stanley ABS Capital I, Ser 2005-HE6, Cl A2C 1.715%, 12/26/08 (F) 1,600 1,221 New Century Home Equity Loan Trust, Ser 2005-A, Cl A2 4.461%, 08/25/35 4 4 Option One Mortgage Loan Trust, Ser 2003-5, Cl M1 2.045%, 12/26/08 (F) 121 51 Residential Asset Mortgage Products, Ser 2003-RS11, Cl MII1 2.490%, 12/26/08 (F) 54 31 Resmae Mortgage Loan Trust, Ser 2006-1, Cl A2B 1.545%, 12/26/08 (D) (F) 1,500 1,308 Securitized Asset-Backed Receivables LLC Trust, Ser 2005-HE1, Cl A3C 1.725%, 12/26/08 (F) 400 329
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 98
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Structured Asset Investment Loan Trust, Ser 2003-BC4, Cl M2 4.395%, 12/26/08 (F) $ 200 $ 120 Structured Asset Securities, Ser 2007-BC1, Cl A4 1.525%, 12/26/08 (F) 1,350 447 Structured Asset Securities, Ser 2007-GEL2, Cl A1 1.545%, 12/26/08 (D) (F) 2,584 2,065 Terwin Mortgage Trust, Ser 2006-6, Cl 2A1 4.500%, 12/26/08 230 69 ------------- Total Asset-Backed Securities (Cost $16,691) ($ Thousands) 11,935 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS (C) -- 0.2% FHLMC 0.771%, 02/03/09 650 649 1.053%, 02/23/09 300 300 1.103%, 02/27/09 1,000 997 FNMA 2.611%, 02/02/09 2,775 2,773 1.481%, 05/06/09 275 274 ------------- Total U.S. Government Agency Obligations (Cost $4,982) ($ Thousands) 4,993 -------------
Number of Rights ------------- RIGHTS -- 0.1% AUSTRALIA -- 0.0% CSR, Expires 12/12/08* 6 -- Incitec Pivot, Expires 12/23/08* 186 18 ------------- 18 ------------- BELGIUM -- 0.0% Anheuser-Busch, Expires 12/11/08* (A) 5 65 ------------- BRAZIL -- 0.0% Telemig Cellular, Expires 12/17/08* 0 -- ------------- GERMANY -- 0.0% Deustche Postbank, Expires 11/26/08* 13 -- ------------- SOUTH AFRICA -- 0.1% Sappi, Expires 12/16/08* (A) 432 640 ------------- SPAIN -- 0.0% Banco Santander, Expires 12/02/08* 5 3 Banco Santander Central Hispano, Expires 12/02/08* 390 461 Mapfre, Expires 12/03/08* 145 2 ------------- 466 -------------
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Number of Rights ------------- SWEDEN -- 0.0% Getinge, Expires 12/23/08* 38 $ -- ------------- UNITED KINGDOM -- 0.0% Centrica, Expires 12/16/08* 271 307 Standard Chartered, Expires 12/19/08* 16 103 ------------- 410 ------------- Total Rights (Cost $1,479) ($ Thousands) 1,599 ------------- EXCHANGE TRADED FUND -- 0.0% CANADA -- 0.0% Energy Savings Income Fund* 5,900 31 ------------- Total Exchange Traded Fund (Cost $79) ($ Thousands) 31 ------------- CORPORATE OBLIGATIONS (D) -- 0.0% UNITED STATES -- 0.0% Discover Financial Services 6.450%, 06/12/17 $ 175 117 Shinsei Finance Cayman 6.418%, 01/29/49 (A) (F) 545 128 ------------- Total Corporate Obligations (Cost $720) ($ Thousands) 245 ------------- AFFILIATED PARTNERSHIP -- 5.7% UNITED STATES -- 5.7% SEI Liquidity Fund, L.P., 1.630**+ (H) 114,445,276 112,464 ------------- Total Affiliated Partnership (Cost $114,445) ($ Thousands) 112,464 ------------- CASH EQUIVALENT -- 6.1% UNITED STATES -- 6.1% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.580**+ 121,555,140 121,555 ------------- Total Cash Equivalent (Cost $121,555) ($ Thousands) 121,555 ------------- Total Investments -- 101.1% (Cost $2,851,662) ($ Thousands) $ 2,009,196 =============
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 99 SCHEDULE OF INVESTMENTS (Unaudited) World Equity Ex-US Fund (Concluded) November 30, 2008 A summary of outstanding swap agreements held by the Fund at November 30, 2008, is as follows (See Note 2 in Notes to Financial Statements): TOTAL RETURN SWAPS
NET NOTIONAL UNREALIZED REFERENCE TERMINATION AMOUNT DEPRECIATION COUNTERPARTY ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS) ($ THOUSANDS) - ----------------- ------------------------ ------------------------- ---------------------- ----------- ----------- ------------- Bank of America BAS AAA 10-Year Negative Spread Return Initial Index CMBS Daily Index Spread Minus 95 bp 01/30/09 7,000 $ (2,562) Bank of America BAS AAA 10-Year Negative Spread Return Initial Index CMBS Daily Index Spread Minus 75 bp 02/27/09 11,000 (4,027) Goldman Sachs BAS AAA 10-Year Negative Spread Return Initial Index CMBS Daily Index Spread Minus 150 bp 03/31/09 9,000 (3,295) Barclays Bank PLC MSCI Daily TR Net 3-Month Libor Minus 50 bp Price Return EAFE USD Market Index 09/04/09 12,000 (4,211) Barclays Bank PLC MSCI Daily TR Net 3-Month Libor Minus 25 bp Price Return EAFE USD Market Index 10/26/09 36,698 (3,639) Merrill Lynch MSCI Daily TR Net 3-Month Libor Minus 48 bp Price Return EAFE USD Market Index 06/30/09 16,363 (4,230) Merrill Lynch MSCI Daily TR Net 3-Month Libor Minus 50 bp Price Return EAFE USD Market Index 08/01/09 10,110 (682) -------- $(22,646) ========
CREDIT DEFAULT SWAPS
NET (PAYS)/ NOTIONAL UNREALIZED BUY/SELL RECEIVES TERMINATION AMOUNT APPRECIATION COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS) - ------------------- ----------------------------------------- ---------- -------- ----------- ----------- -------------- Bank of America Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55)% 12/20/11 1,000 $ 40 JPMorgan Chase Bank Black & Decker Corp., 7.125%, 06/01/11 Buy (0.55) 12/20/11 1,000 40 Bank of America Campbell Soup Co., 4.875%, 10/01/13 Buy (0.20) 06/20/14 1,600 25 Merrill Lynch CMBX.NA.A 2 Index Buy (0.25) 03/15/49 1,000 338 Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/25/49 1,000 534 Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/25/49 1,000 536 Goldman Sachs CMBX.NA.A 3 Index Buy (0.62) 12/25/49 1,000 404 Goldman Sachs CMBX.NA.BBB 2 Index Buy (0.60) 03/14/49 4,000 1,405 Bank of America Darden Restaurants Inc., 7.125%, 02/01/16 Buy (0.45) 12/20/11 1,000 86 JPMorgan Chase Bank Hasbro Inc., 2.750%, 12/01/21 Buy (0.39) 12/20/11 1,000 78 JPMorgan Chase Bank Jones Apparel Group., 5.125%, 11/15/14 Buy (0.77) 12/20/11 1,000 231 Merrill Lynch MDC Holdings Inc., 5.500%, 05/15/13 Buy (0.90) 12/20/11 1,000 29 Bank of America MeadWestvaco Corp., 6.850%, 04/01/12 Buy (0.48) 12/20/11 1,000 50 Bank of America MGIC Investment Corp., 6.000%, 11/01/15 Buy (0.35) 12/20/13 1,000 368 JPMorgan Chase Bank MGIC Investment Corp., 6.000%, 11/01/15 Buy (0.35) 12/20/13 1,000 368 JPMorgan Chase Bank Nordstrom Inc., 6.950%, 03/15/28 Buy (0.28) 12/20/13 1,000 228 Merrill Lynch Nordstrom Inc., 6.950%, 03/15/28 Buy (0.28) 12/20/13 1,000 228 Bank of America PMI Group Inc., 6.000%, 09/15/16 Buy (0.35) 12/20/13 1,000 367 JPMorgan Chase Bank PMI Group Inc., 6.000%, 09/15/16 Buy (0.35) 12/20/13 1,000 367 JPMorgan Chase Bank PPG Industries Inc., 7.050%, 08/15/09 Buy (0.20) 12/20/11 1,000 49 JPMorgan Chase Bank Radian Group Inc., 7.750%, 06/01/11 Buy (0.39) 12/20/13 1,000 484 Bank of America Radian Group Inc., 7.750%, 06/01/11 Buy (0.39) 12/20/13 1,000 521 Bank of America The Limited Inc., 6.125%, 12/01/12 Buy (0.48) 12/20/11 1,000 174 Bank of America TJX Cos. Inc., 7.450%, 12/15/09 Buy (0.19) 12/20/11 1,000 21 ------ $6,971 ======
A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows (See Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ------------------- ------------ ---------- -------------- 10 Year Swap Future (46) Dec-2008 $(467) 5 Year Swap Future 41 Dec-2008 128 90-Day Euro$ (16) Dec-2008 (20) 90-Day Euro$ 177 Sep-2009 937 90-Day Euro$ 7 Dec-2009 24 90-Day Euro$ (97) Mar-2010 (177) 90-Day Euro$ (71) Jun-2010 (361) 90-Day Euro$ (95) Sep-2010 (287) 90-Day Euro$ (12) Dec-2010 (64) 90-Day Euro$ (3) Mar-2011 (11) 90-Day Euro$ 30 Jun-2011 114 90-Day Euro$ 41 Sep-2011 155 90-Day Euro$ 18 Dec-2011 49 90-Day Euro$ 18 Mar-2012 49 90-Day Euro$ 22 Jun-2012 63
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ------------------- ------------ ---------- -------------- 90-Day Euro$ 40 Sep-2012 $ 142 90-Day Euro$ 11 Dec-2012 29 90-Day Euro$ 11 Jun-2013 29 90-Day Euro$ 11 Sep-2013 29 DJ Euro Stoxx 50 Index 2,908 Dec-2008 (3,916) E-Mini MSCI EAFE (243) Dec-2008 (23) FTSE Index 865 Dec-2008 (655) Hang Seng Index 70 Dec-2008 346 Nikkei 225 Index 30 Dec-2008 82 S&P/TSE 60 Index 259 Dec-2008 (1,166) SPI 200 Index 256 Dec-2008 (580) Topix Index 681 Dec-2008 (14,899) U.S. 10-Year Treasury Note (89) Dec-2008 (650) U.S. 2-Year Treasury Note (4) Dec-2008 (17) U.S. 5-Year Treasury Note 3 Dec-2008 (3) U.S. 5-Year Treasury Note 1 Mar-2009 1 U.S. Long Treasury Bond 2 Dec-2008 18 --------- $(21,101) =========
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 100 A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2008 is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) - ---------------- --------------- --------------- -------------- 12/5/08-12/19/08 USD 21,942 CAD 26,342 $ (715) 12/19/08 AUD 2,875 USD 1,872 2 12/19/08 CHF 15,637 USD 12,950 57 12/19/08 EUR 8,831 USD 11,240 39 12/19/08 GBP 7,781 USD 11,914 (24) 12/19/08 HKD 126,073 USD 16,271 (1) 12/19/08 JPY 1,408,820 USD 14,781 (26) 12/19/08 MXP 18,053 USD 1,356 -- 12/19/08 NOK 19,178 USD 2,734 -- 12/19/08 SEK 20,293 USD 2,512 6 12/19/08 USD 23,850 AUD 37,046 246 12/19/08 USD 3,529 CHF 4,254 (22) 12/19/08 USD 25,745 GBP 17,163 589 12/19/08 USD 1,164 HKD 9,019 -- 12/19/08 USD 24,043 JPY 2,325,687 402 12/19/08 USD 1,042 MXP 13,920 4 12/19/08 USD 5,394 SEK 43,491 (24) 12/19/08 USD 3,833 SGD 5,848 45 12/19/08 USD 5,846 ZAR 59,420 34 12/19/08 ZAR 42,289 USD 4,078 (107) 12/19/08-3/20/09 NZD 6,782 USD 4,500 808 12/19/08-3/20/09 USD 4,500 NZD 6,589 (913) 12/19/08-4/23/09 AUD 9,179 CHF 7,700 431 12/19/08-4/23/09 CHF 8,700 AUD 10,129 (647) 12/19/08-4/23/09 CHF 21,300 EUR 13,406 (612) 12/19/08-4/23/09 EUR 12,168 CHF 19,300 521 12/19/08-4/23/09 EUR 12,470 JPY 1,959,000 4,812 12/19/08-4/23/09 GBP 9,916 CHF 19,400 826 12/19/08-4/23/09 GBP 8,057 JPY 1,573,000 4,203 12/19/08-4/23/09 GBP 2,551 SGD 6,300 271 12/19/08-4/23/09 JPY 1,959,000 EUR 12,218 (5,132) 12/19/08-4/23/09 JPY 1,573,000 GBP 7,890 (4,459) 12/19/08-4/23/09 JPY 483,000 NOK 25,703 (1,436) 12/19/08-4/23/09 NOK 27,489 JPY 483,000 1,182 12/19/08-4/23/09 SGD 6,300 GBP 2,431 (455) 12/19/08-5/26/09 CHF 21,600 GBP 10,905 (1,137) 4/23/09 CAD 1,100 NZD 1,537 (57) 4/23/09 NZD 1,618 CAD 1,100 13 ------- $(1,276) =======
Percentages are based on a Net Assets of $1,987,802 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (see Note 3). +++ Real Estate Investment Trust (A) This security or a partial position of this security is on loan at November 30, 2008. The total value of securities on loan at November 30, 2008 was $109,001 ($ Thousands). (B) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2008 was $1,348,188 and represented 67.8% of Net Assets. (C) Zero coupon security. The rate reported is the effective yield at time of purchase. (D) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the board of Trustees. (E) Security, or portion thereof, has been pledged as collateral on open swaps contracts. (F) Variable Rate Security -- The rate reported is the rate in effect as of November 30, 2008. The date reported is the next reset date. (G) Security, or portion thereof, has been pledged as collateral on open futures contracts. (H) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of November 30, 2008 was $112,464 ($ Thousands). ABS -- Asset-Based Security ADR -- American Depositary Receipt ARM -- Adjustable Rate Mortgage AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc Cl -- Class CMO -- Collateralized Mortgage Obligation EUR -- Euro FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling GDR -- Global Depositary Receipt GNMA -- Government National Mortgage Association HKD -- Hong Kong Dollar JPY -- Japanese Yen IO -- Interest Only - face amount represents notional amount LLC -- Limited Liability Company LIBOR -- London Interbank Offered Rate L.P. -- Limited Partnership MXP -- Mexican Peso NIM -- Net Interest Margin NOK -- Norwegian Krone NVDR -- Non-Voting Depositary Receipt NZD -- New Zealand Dollar SEK -- Swedish Krona Ser -- Series SGD -- Singapore Dollar STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced USD -- U.S. Dollar ZAR -- South African Rand Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 101 SCHEDULE OF INVESTMENTS (Unaudited) Screened World Equity Ex-US Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) Financials 22.8% Telecommunication Services 10.8% Consumer Staples 10.3% Industrials 9.9% Energy 9.0% Health Care 8.7% Materials 8.6% Utilities 7.1% Consumer Discretionary 6.8% Information Technology 5.8% Rights 0.1% Short-Term Investment 0.1%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- COMMON STOCK -- 96.3% ARGENTINA -- 0.1% Cresud SACIF y A ADR 400 $ 2 IRSA Inversiones y Representaciones GDR* 500 2 MetroGas ADR* 100 -- Telecom Argentina ADR* 2,500 22 Telefonica de Argentina ADR* 1,000 4 Tenaris ADR 100 2 Transportadora de Gas del Sur ADR 700 1 ------------- 33 ------------- AUSTRALIA -- 3.6% AGL Energy (A) 1,200 12 Amcor (A) 9,386 36 AMP (A) 900 3 Ansell (A) 500 4 Australia & New Zealand Banking Group (A) 6,700 65 Australian Agricultural (A) 2,500 2 BHP Billiton (A) 20,884 392 Boart Longyear Group (A) 17,200 3 Boral (A) 600 1 Brambles (A) 3,800 18 Caltex Australia (A) 1,160 6 Centennial Coal (A) 8,923 15 CFS Retail Property Trust+++ (A) 2,100 3 Coca-Cola Amatil (A) 1,800 10 Cochlear (A) 200 7 Commonwealth Bank of Australia (A) 1,200 27 Computershare (A) 1,863 8 Crown (A) 1,900 6 CSL (A) 7,754 177 Dexus Property Group+++ (A) 4,800 3 Foster's Group (A) 3,800 14
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Goodman Fielder (A) 6,400 $ 6 Goodman Group+++ (A) 6,400 4 GPT Group+++ (A) 4,500 3 Incitec Pivot (A) 14,000 24 ING Industrial Fund+++ (A) 10,649 3 Insurance Australia Group (A) 2,900 7 Lend Lease (A) 5,900 30 Lion Nathan (A) 1,300 7 Macquarie Group (A) 466 9 Macquarie Infrastructure Group (A) 45,100 52 Macquarie Office Trust+++ (A) 9,500 2 National Australia Bank (A) 8,300 109 Newcrest Mining (A) 2,019 32 Nufarm (A) 6,211 37 OneSteel (A) 2,150 4 Orica (A) 1,300 13 Origin Energy (A) 10,483 110 Qantas Airways (A) 25,906 39 QBE Insurance Group (A) 500 8 Ramsay Health Care (A) 100 1 Rio Tinto (A) 624 19 Santos (A) 1,300 13 Stockland+++ (A) 2,744 8 Suncorp-Metway (A) 2,300 12 TABCORP Holdings (A) 1,896 9 Telstra (A) 29,486 78 Wesfarmers (A) 4,024 49 Westfield Group+++ (A) 2,600 26 Westpac Banking (A) 5,450 64 Woodside Petroleum (A) 1,234 29 Woolworths (A) 8,982 158 ------------- 1,777 ------------- AUSTRIA -- 0.3% Erste Group Bank (A) 1,259 29 IMMOFINANZ (A) 500 -- OMV (A) 2,430 61 Raiffeisen International Bank Holding (A) 388 11 RHI* (A) 172 3 Verbund - Oesterreichische Elektrizitaetswirtschafts, Cl A (A) 1,260 56 Voestalpine (A) 225 5 ------------- 165 ------------- BELGIUM -- 0.6% Colruyt (A) 183 40 Delhaize Group (A) 500 30 Dexia (A) 3,018 13 Euronav (A) 754 9 Fortis (A) 6,768 6 Groupe Bruxelles Lambert (A) 846 63 KBC Groep (A) 864 26
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 102
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Solvay (A) 1,400 $ 100 ------------- 287 ------------- BERMUDA -- 0.3% Catlin Group (GBP) (A) 9,800 65 Hiscox (GBP) (A) 14,300 68 Huabao International Holdings (HKD) (A) 5,000 3 Road King Infrastructure (HKD) (A) 4,000 1 Seadrill (NOK) (A) 4,004 33 ------------- 170 ------------- BRAZIL -- 0.7% Abyara Planejamento Imobiliario 1,100 1 Banco Bradesco ADR 7,100 76 Banco do Brasil 8,100 51 Brascan Residential Properties 200 -- Camargo Correa Desenvolvimento Imobiliario 1,900 2 Cia de Saneamento Basico do Estado de Sao Paulo 5,000 51 Cia de Saneamento de Minas Gerais-COPASA (Brazil) 2,000 14 EDP - Energias do Brasil 3,500 39 Even Construtora e Incorporadora 100 -- Fertilizantes Heringer 900 2 Globex Utilidades 1,000 2 Industrias Romi 1,500 4 Klabin Segall 1,200 1 Log-in Logistica Intermodal 800 2 Minerva 1,300 1 Natura Cosmeticos 5,800 52 Profarma Distribuidora de Produtos Farmaceuticos (Brazil) 600 2 Rossi Residencial 3,109 5 Souza Cruz 2,100 42 Tecnisa (Brazil) 2,294 3 Tegma Gestao Logistica 1,400 3 Uniao de Bancos Brasileiros 1,100 7 ------------- 360 ------------- CANADA -- 6.6% Agrium 2,160 68 Alimentation Couche Tard, Cl B 1,600 17 AltaGas Income Trust 90 1 Atco 400 12 Bank of Montreal 1,370 42 Bank of Nova Scotia 3,200 95 Barrick Gold 4,700 143 BCE 1,500 30 Biovail 2,300 20 Bombardier, Cl B 9,600 34
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Brookfield Asset Management, Cl A 3,800 $ 58 Canadian Imperial Bank of Commerce 1,500 60 Canadian National Railway 4,000 145 Canadian Natural Resources 1,300 54 Canadian Oil Sands Trust 3,000 62 Canadian Pacific Railway 800 26 Canadian Utilities 900 30 Canfor* 1,300 8 Celestica* 100 1 CGI Group, Cl A* 1,600 13 Enbridge 1,260 39 EnCana 7,940 379 Fairfax Financial Holdings 450 131 Finning International 2,200 23 First Quantum Minerals 900 13 Fortis 230 5 Freehold Royalty Trust 500 6 George Weston 1,150 51 Gerdau Ameristeel 450 2 Goldcorp 5,140 139 Husky Energy 900 23 Imperial Oil 1,700 61 Industrial Alliance Insurance and Financial Services 1,300 30 Inmet Mining 800 12 Keyera Facilities Income Fund 30 -- Laurentian Bank of Canada 300 9 Manulife Financial 1,900 37 Methanex 800 9 Metro, Cl A 800 22 Mullen Group Income Fund 600 5 National Bank of Canada 500 17 Nexen 3,935 81 Nova Chemicals 200 2 Penn West Energy Trust 3,700 58 Petro-Canada 7,800 212 Potash Saskatchewan 700 45 Power Corp of Canada 2,400 49 Power Financial 1,080 22 Precision Drilling Trust 4,300 35 Research In Motion* 200 9 Royal Bank of Canada 6,600 230 Saskatchewan Wheat Pool* 7,840 49 Savanna Energy Services 400 2 Sherritt International 1,500 4 Shoppers Drug Mart 1,800 64 Sino-Forest, Cl A* 2,700 16 Sun Life Financial 2,240 50 Suncor Energy 1,700 39 Talisman Energy 4,240 42 Teck Cominco, Cl B 2,800 14
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 103 SCHEDULE OF INVESTMENTS (Unaudited) Screened World Equity Ex-US Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Toronto-Dominion Bank 4,200 $ 156 TransCanada 2,700 71 West Fraser Timber 400 10 Yellow Pages Income Fund 7,200 44 ------------- 3,236 ------------- CHILE -- 0.3% Banco de Chile ADR 1,000 29 Cia de Telecomunicaciones de Chile ADR* 4,800 29 Enersis ADR 4,500 59 Lan Airlines ADR 1,200 10 ------------- 127 ------------- CHINA -- 2.2% Bank of China (A) 359,000 114 Bank of Communications, Cl H (A) 212,000 140 Baoye Group, Cl H (A) 16,000 2 China BlueChemical (A) 52,000 19 China Construction Bank, Cl H (A) 307,000 163 China Life Insurance, Cl H (A) 33,000 85 China Oilfield Services, Cl H (A) 46,000 27 China Shenhua Energy (A) 53,000 101 China Telecom, Cl H (A) 236,000 90 Industrial & Commercial Bank of China, Cl H (A) 596,000 294 Yanzhou Coal Mining, Cl H (A) 58,000 32 Zhejiang Expressway, Cl H (A) 58,000 28 ------------- 1,095 ------------- COLOMBIA -- 0.1% BanColombia ADR 1,700 35 ------------- CZECH REPUBLIC -- 0.2% CEZ (A) 2,400 97 Unipetrol (A) 4,000 23 ------------- 120 ------------- DENMARK -- 0.6% A P Moeller - Maersk, Cl B (A) 15 77 D (A) 200 2 Danisco (A) 165 8 Danske Bank (A) 2,000 23 Novo-Nordisk, Cl B (A) 2,116 109 Vestas Wind Systems* (A) 1,375 62 ------------- 281 -------------
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- EGYPT -- 0.2% Egyptian International Pharmaceutical Industrial (A) 4,000 $ 18 Orascom Telecom Holding SAE (A) 9,000 39 Telecom Egypt (A) 24,000 64 ------------- 121 ------------- FINLAND -- 0.9% Fortum (A) 3,327 67 Metso (A) 1,258 15 Nokia (A) 11,453 162 Pohjola Bank, Cl A (A) 2,000 26 Sampo, Cl A (A) 6,395 119 UPM-Kymmene (A) 3,469 50 ------------- 439 ------------- FRANCE -- 7.0% Affine+++ (A) 62 1 Air France-KLM (A) 1,094 14 Arkema (A) 1,000 19 AXA (A) 2,149 41 BNP Paribas (A) 5,080 281 Bouygues (A) 242 10 Carrefour (A) 1,400 53 Christian Dior (A) 600 28 Cie de Saint-Gobain (A) 1,424 57 CNP Assurances (A) 400 26 Compagnie Generale des Etablissements Michelin, Cl B (A) 1,500 72 Credit Agricole (A) 8,730 97 Electricite de France (A) 79 5 Eutelsat Communications (A) 1,158 24 France Telecom (A) 21,515 553 Gaz de France (A) 7,643 306 Gemalto* (A) 2,349 55 Lafarge (A) 541 30 Lagardere S.C.A. (A) 1,800 66 L'Oreal (A) 300 24 Natixis (A) 9,051 18 Pernod-Ricard (A) 1,083 64 Peugeot (A) 1,200 22 PPR (A) 654 31 Rallye (A) 595 11 Renault (A) 2,960 65 Sanofi-Aventis (A) 8,237 455 Schneider Electric (A) 780 49 SCOR (A) 1,413 28 SES Global (A) 300 5 Societe Generale (A) 4,046 173 Suez (A) 14 1 Suez Environnement* 3,800 65 Thales (A) 900 34
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Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Total (A) 1,791 $ 94 UBISOFT Entertainment* (A) 1,504 35 Unibail-Rodamco+++ (A) 156 21 Vallourec (A) 943 101 Veolia Environnement (A) 925 23 Vilmorin & Cie (A) 15 1 Vivendi (A) 12,111 344 Wendel (A) 647 30 ------------- 3,432 ------------- GERMANY -- 5.9% Allianz 2,222 184 Arcandor* 3,114 7 BASF 4,403 140 Bayer 3,563 184 Bayerische Motoren Werke 852 21 Bilfinger Berger 351 14 Celesio 900 23 Commerzbank 4,548 42 DaimlerChrysler 1,305 41 Deutsche Bank 4,041 143 Deutsche Lufthansa 7,600 100 Deutsche Post 7,280 104 Deutsche Postbank 238 5 Deutsche Telekom 23,979 331 E.ON 13,432 469 Fresenius Medical Care 2,640 115 GEA Group 1,877 29 Hannover Rueckversicherung 335 8 Hypo Real Estate Holding 800 3 K+S 267 12 Lanxess 1,304 22 Muenchener Rueckversicherungs 1,100 149 Q-Cells* 800 27 RWE 2,333 196 Salzgitter 348 24 SAP 5,510 188 SGL Carbon* 916 24 Siemens 1,883 112 Suedzucker 1,900 24 ThyssenKrupp 1,728 35 Tognum 493 5 TUI 2,800 31 Volkswagen 22 8 VTG* 545 5 Wacker Chemie 700 71 ------------- 2,896 ------------- GREECE -- 0.1% Alpha Bank (A) 3,496 36 OPAP (A) 1,500 37 ------------- 73 -------------
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- HONG KONG -- 3.0% BOC Hong Kong Holdings (A) 39,500 $ 46 Chaoda Modern Agriculture (A) 68,000 40 Cheung Kong Holdings (A) 6,000 57 China Agri-Industries Holdings* (A) 2,000 1 China Mobile (A) 41,000 376 China Overseas Land & Investment (A) 54,000 71 China Resources Power Holdings (A) 32,000 65 Chinese Estates Holdings (A) 12,000 9 CLP Holdings (A) 1,000 7 CNOOC (A) 176,000 144 Dairy Farm International Holdings (A) 1,800 7 Esprit Holdings (A) 2,500 12 Guangdong Investment (A) 98,000 33 Guoco Group (A) 2,000 12 Hang Seng Bank (A) 4,200 54 Henderson Land Development (A) 11,000 38 Hong Kong & China Gas (A) 3,000 5 HongKong Electric Holdings (A) 3,500 20 Hongkong Land Holdings (A) 20,000 48 Hopewell Highway Infrastructure (A) 13,500 7 Hutchison Whampoa (A) 23,000 116 Industrial and Commercial Bank of China Asia (A) 17,000 16 Jardine Matheson Holdings (A) 400 7 Kingboard Chemical Holdings (A) 4,000 6 Kowloon Development (A) 6,000 3 Li & Fung (A) 6,000 11 Minmetals Resources (A) 56,000 6 MTR (A) 19,000 42 Noble Group (A) 46,000 31 Orient Overseas International (A) 9,500 15 Shandong Chenming Paper Holdings, Cl B (A) 68,600 25 Shanghai Industrial Holdings (A) 22,000 42 Shenzhou International Group Holdings (A) 36,000 6 Shui On Construction and Materials (A) 4,000 2 Sun Hung Kai Properties (A) 10,000 80 Tianjin Development Holdings (A) 32,000 9 TPV Technology (A) 34,000 6 Wing On International (A) 1,000 1 Yue Yuen Industrial Holdings (A) 3,000 5 ------------- 1,481 ------------- INDIA -- 1.1% HDFC Bank ADR 1,273 73 Infosys Technologies ADR 5,865 147 ITC* 15,822 55 Larsen & Toubro GDR 2,818 38 Reliance Industries GDR (B) 4,648 214 Satyam Computer Services ADR 2,731 35 ------------- 562 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 105 SCHEDULE OF INVESTMENTS (Unaudited) Screened World Equity Ex-US Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- INDONESIA -- 0.3% Astra International (A) 40,000 $ 34 Bank Negara Indonesia Persero (A) 8,000 -- Bank Rakyat Indonesia (A) 38,000 11 Bumi Resources 185,000 16 Perusahaan Gas Negara (A) 131,000 20 Unilever Indonesia (A) 67,000 43 ------------- 124 ------------- IRELAND -- 0.1% Experian (A) 4,661 28 Kerry Group, Cl A (A) 900 19 ------------- 47 ------------- ISRAEL -- 0.8% First International Bank of Israel* (A) 6,000 31 Israel Chemicals (A) 7,150 42 Migdal Insurance & Financial Holding (A) 21,404 19 Teva Pharmaceutical Industries ADR 4,080 176 Teva Pharmaceutical Industries (A) 2,778 119 Union Bank of Israel* (A) 5,713 13 ------------- 400 ------------- ITALY -- 2.2% A2A (A) 20,500 36 ACEA (A) 4,504 58 Assicurazioni Generali (A) 1,100 26 Banca Intesa (A) 29,222 88 Banco Popolare Scarl (A) 5,911 54 Enel (A) 37,369 233 Fiat (A) 4,173 31 Fondiaria-Sai (A) 1,524 28 IFIL - Investments (A) 4,490 13 Mediobanca (A) 2,968 31 Pirelli (A) 58,000 20 Prysmian (A) 5,500 61 Telecom Italia (A) 184,535 230 Terna Rete Elettrica Nazionale (A) 11,046 33 UniCredito Italiano (A) 54,293 124 Unipol Gruppo Finanziario (A) 16,000 23 ------------- 1,089 ------------- JAPAN -- 17.8% ADEKA (A) 400 3 Aderans Holdings (A) 100 1 Aeon (A) 2,300 21 Aeon Credit Service (A) 2,300 29 Aiful (A) 5,600 14 Aisan Industry (A) 300 2 AOC Holdings (A) 1,400 8
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- AOKI Holdings (A) 300 $ 4 Aoyama Trading (A) 300 4 Asahi Breweries (A) 1,400 25 Asahi Glass (A) 5,000 28 Asahi Kasei (A) 5,000 21 Astellas Pharma (A) 3,900 160 Bank of Kyoto (A) 5,000 51 Belluna (A) 2,500 6 Benesse (A) 800 34 Bridgestone (A) 2,200 37 Canon (A) 2,700 82 Cawachi (A) 700 11 Central Japan Railway (A) 6 51 Chubu Electric Power (A) 500 14 Chudenko (A) 300 5 Circle K Sunkus (A) 200 4 Credit Saison (A) 1,400 19 Daihatsu Motor (A) 4,000 29 Daihen (A) 2,000 6 Daiichi Sankyo (A) 3,000 62 Daiichikosho (A) 300 3 Dainippon Ink and Chemicals (A) 12,000 21 Dainippon Screen Manufacturing (A) 1,000 2 Dainippon Sumitomo Pharma (A) 2,000 17 Denso (A) 2,000 33 DTS (A) 900 9 East Japan Railway (A) 35 272 Eisai (A) 300 10 Electric Power Development (A) 1,100 39 Elpida Memory* (A) 1,600 8 FamilyMart (A) 3,000 123 Fast Retailing (A) 1,000 115 Fuji Electric Holdings (A) 4,000 5 Fuji Heavy Industries (A) 4,000 12 Fuji Television Network (A) 4 6 FUJIFILM Holdings (A) 1,900 47 Fujitsu (A) 29,000 126 Fukuoka Financial Group (A) 3,000 10 Furukawa Electric (A) 8,000 31 Goldcrest (A) 1,200 23 Heiwado (A) 300 4 Higashi-Nippon Bank (A) 2,000 6 HI-LEX (A) 200 2 Hino Motors (A) 1,000 2 Hisamitsu Pharmaceutical (A) 1,000 40 Hitachi (A) 23,000 107 Hitachi Capital (A) 100 1 Hitachi Chemical (A) 900 9 Hitachi High-Technologies (A) 1,400 26 Hitachi Maxell (A) 400 3 Hitachi Metals (A) 5,000 30
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Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Hitachi Systems & Services (A) 200 $ 3 Honda Motor (A) 8,900 200 Hyakugo Bank (A) 2,000 12 Hyakujushi Bank (A) 2,000 10 Inpex Holdings (A) 10 64 Isuzu Motors (A) 24,000 30 Itochu Enex (A) 200 1 Japan Airlines (A) 4,000 9 Japan Aviation Electronics Industry (A) 2,000 8 Japan Petroleum Exploration (A) 500 20 Japan Radio (A) 8,000 11 Japan Steel Works (A) 11,000 114 Japan Tobacco (A) 36 133 JFE Holdings (A) 4,300 105 JFE Shoji Holdings (A) 2,000 5 J-Oil Mills (A) 2,000 7 Kaneka (A) 3,000 14 Kansai Electric Power (A) 200 5 Kao (A) 4,000 115 Kawasaki Kisen Kaisha (A) 9,000 36 KDDI (A) 27 177 Keisei Electric Railway (A) 2,000 10 Kirin Holdings (A) 6,000 73 Komatsu (A) 4,000 48 Konami (A) 900 20 Kose (A) 300 7 Kuraray (A) 1,500 12 Kurita Water Industries (A) 1,700 40 Kuroda Electric (A) 200 2 Kyushu Electric Power (A) 1,400 33 Lawson (A) 1,500 75 Leopalace21 (A) 1,200 11 Maeda (A) 2,000 6 Makita (A) 1,200 23 Marubeni (A) 15,000 53 Marui Group (A) 100 1 Matsuda Sangyo (A) 330 3 Matsushita Electric Industrial (A) 5,000 61 Mazda Motor (A) 8,000 14 Micronics Japan (A) 200 2 Millea Holdings (A) 3,200 78 Mitsubishi (A) 12,900 161 Mitsubishi Chemical Holdings (A) 22,500 95 Mitsubishi Electric (A) 13,000 70 Mitsubishi Estate (A) 3,000 45 Mitsubishi Gas Chemical (A) 8,000 31 Mitsubishi Heavy Industries (A) 8,000 33 Mitsubishi UFJ Financial Group (A) 45,100 251 Mitsui (A) 13,000 116 Mitsui Chemicals (A) 4,000 16 Mitsui Fudosan (A) 3,000 46 Mitsui OSK Lines (A) 12,000 64
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Mitsui Sumitomo Insurance Group Holdings (A) 3,400 $ 81 Mitsui Trust Holdings (A) 8,000 30 Mitsumi Electric (A) 1,400 18 Mizuho Financial Group (A) 23 61 Morinaga Milk Industry (A) 2,000 7 Murata Manufacturing (A) 800 28 Nafco (A) 200 2 Nagase (A) 2,000 18 Namco Bandai Holdings (A) 3,000 30 NEC (A) 8,000 23 NEC Fielding (A) 300 3 NHK Spring (A) 1,000 4 Nikon (A) 5,000 57 Nintendo (A) 1,100 343 Nippo (A) 2,000 14 Nippon Electric Glass (A) 2,000 12 Nippon Mining Holdings (A) 19,000 56 Nippon Oil (A) 12,000 45 Nippon Seiki (A) 1,000 7 Nippon Sheet Glass (A) 9,000 26 Nippon Steel (A) 9,000 28 Nippon Telegraph & Telephone (A) 107 473 Nippon Yusen (A) 10,000 55 Nishi-Nippon City Bank (A) 4,000 8 Nissan Motor (A) 26,300 89 Nitori (A) 200 14 Nitto Denko (A) 800 13 Nomura Real Estate Holdings (A) 400 6 NTT DoCoMo (A) 73 123 OJI Paper (A) 1,000 5 OKUMA (A) 4,000 15 Omron (A) 1,000 13 ORIX (A) 990 62 Osaka Gas (A) 3,000 11 Osaki Electric (A) 2,000 11 Promise (A) 1,600 33 QP (A) 400 4 Rakuten (A) 309 170 Resona Holdings (A) 37 52 Ricoh (A) 3,000 31 Round One (A) 3 1 Sanei-International (A) 900 9 San-In Godo Bank (A) 2,000 15 Sankyo (A) 200 11 Sankyu (A) 2,000 8 Sapporo Hokuyo Holdings (A) 3 11 SEC Carbon (A) 2,000 7 Seikagaku (A) 200 2 Seiko Epson (A) 900 13 Seino Holdings (A) 2,000 10 Senko (A) 2,000 8
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 107 SCHEDULE OF INVESTMENTS (Unaudited) Screened World Equity Ex-US Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Seven & I Holdings (A) 3,900 $ 111 Seven Bank 11 39 SFCG (A) 300 4 Sharp (A) 11,000 75 Shimano (A) 900 33 Shin-Etsu Chemical (A) 200 8 Shinsei Bank (A) 4,000 6 Shiseido (A) 2,000 37 Showa Shell Sekiyu (A) 4,600 38 Sky Perfect JSAT (A) 36 14 Softbank (A) 3,600 49 Sompo Japan Insurance (A) 4,000 23 Sony (A) 3,100 61 Sony Financial Holdings (A) 1 3 SQUARE ENIX HOLDINGS CO (A) 800 23 SRI Sports (A) 2 2 Sumitomo (A) 10,900 96 Sumitomo Chemical (A) 7,000 25 Sumitomo Electric Industries (A) 700 5 Sumitomo Heavy Industries (A) 7,000 26 Sumitomo Metal Industries (A) 6,000 16 Sumitomo Metal Mining (A) 5,000 48 Sumitomo Mitsui Financial Group (A) 34 124 Sumitomo Trust & Banking (A) 5,000 23 Suruga Bank (A) 2,996 30 Suzuken (A) 100 2 Suzuki Motor (A) 1,500 20 T&D Holdings (A) 1,950 73 Tachi-S, Cl S (A) 1,200 6 Taisho Pharmaceutical (A) 1,000 18 Takata (A) 300 2 Takeda Pharmaceutical (A) 2,200 107 Takefuji (A) 510 4 Tanabe Seiyaku (A) 8,000 100 TDK (A) 600 20 Teijin (A) 5,000 14 Teikoku Piston Ring (A) 1,800 7 Tochigi Bank (A) 2,000 12 Tohoku Electric Power (A) 3,300 80 Tokyo Electric Power (A) 8,400 251 Tokyu (A) 2,000 8 Toshiba (A) 21,000 77 Toshiba TEC (A) 2,000 5 Tosoh (A) 7,000 15 Toyo Suisan Kaisha (A) 1,000 23 Toyota Industries (A) 800 16 Toyota Motor (A) 9,100 293 TS Tech (A) 100 1 TV Asahi (A) 4 5 West Japan Railway (A) 7 31 Yamaha (A) 900 8 Yamaha Motor (A) 1,000 10
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Yamato Kogyo (A) 200 $ 5 Yaskawa Electric (A) 3,000 13 ------------- 8,773 ------------- JERSEY -- 0.0% Meinl European Land* (A) 5,767 14 ------------- MALAYSIA -- 0.6% AMMB Holdings (A) 58,000 33 BIMB Holdings (A) 18,800 4 Boustead Holdings (A) 10,000 9 British American Tobacco Malaysia (A) 5,000 62 HAP Seng Consolidated (A) 19,000 10 Hong Leong Bank (A) 5,000 7 Hong Leong Financial Group (A) 1,000 1 JT International (A) 7,200 9 Lion Industries (A) 22,000 4 Nestle Malaysia 2,000 15 PLUS Expressways (A) 11,000 8 PPB Group (A) 9,000 21 Sarawak Energy (A) 40,000 24 Sarawak Oil Palms (A) 12,000 7 Tanjong (A) 7,000 24 Tenaga Nasional (A) 34,000 56 Titan Chemicals (A) 53,000 12 UMW Holdings (A) 2,000 3 ------------- 309 ------------- MAURITIUS -- 0.0% Golden Agri-Resources (SGD) (A) 5,000 1 ------------- MEXICO -- 1.2% Alfa, Cl A 8,023 15 America Movil, Ser L 126,600 196 Cemex 78,900 57 Coca-Cola Femsa, Ser L 14,500 51 Consorcio ARA 17,790 6 Cydsa 3,000 1 Fomento Economico Mexicano ADR 2,700 74 GEO* 4,000 4 Grupo Continental 14,000 19 Grupo Famsa, Cl A* 6,300 4 Grupo Financiero Banorte, Ser O 11,300 18 Grupo Mexico, Ser B 78,191 50 Grupo Modelo 16,700 44 Grupo Televisa 4,600 14 Industrias Bachoco 5,000 6 Promotora Ambiental* 1,600 2 Telefonos de Mexico 4,900 5 Wal-Mart de Mexico 6,300 18 ------------- 584 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 108
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- NETHERLANDS -- 2.1% Aegon (A) 11,920 $ 57 Boskalis Westminster (A) 1,214 35 European Aeronautic Defense and Space (A) 7,061 112 Fugro (A) 1,034 33 ING Groep (A) 17,362 146 Koninklijke Ahold (A) 25,282 281 Koninklijke BAM Groep (A) 2,000 14 Koninklijke DSM (A) 2,227 52 Koninklijke Philips Electronics (A) 1,120 18 Reed Elsevier (A) 4,355 51 Royal KPN (A) 7,723 106 TNT (A) 220 5 TomTom* (A) 1,150 7 Unilever (A) 4,913 115 ------------- 1,032 ------------- NEW ZEALAND -- 0.0% Vector (A) 3,000 3 ------------- NORWAY -- 0.2% DnB (A) 14,400 54 Telenor (A) 2,900 16 Yara International (A) 1,500 25 ------------- 95 ------------- PHILIPPINES -- 0.1% San Miguel, Cl B (A) 32,000 28 ------------- POLAND -- 0.6% Bank Handlowy w Warszawie (A) 1,400 21 Bank Pekao (A) 1,012 38 Grupa Lotos* (A) 4,000 17 Kredyt Bank (A) 4,000 14 Polish Oil & Gas (A) 48,000 57 Polski Koncern Naftowy Orlen (A) 6,000 53 Powszechna Kasa Oszczednosci Bank Polski (A) 1,000 11 Telekomunikacja Polska (A) 10,000 66 Zaklady Chemiczne Police* (A) 6,000 12 ------------- 289 ------------- PORTUGAL -- 0.3% Energias de Portugal (A) 16,700 57 Galp Energia SGPS, Cl B (A) 7,400 81 Jeronimo Martins (A) 6,435 34 ------------- 172 ------------- RUSSIA -- 0.7% MMC Norilsk Nickel ADR (A) 14,450 108
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Mobile Telesystems ADR 600 $ 18 NovaTek OAO GDR (A) 1,700 37 Novolipetsk Steel GDR (A) 2,400 24 Polyus Gold ADR 816 7 Rosneft Oil GDR (A) 3,900 16 Sberbank GDR 200 32 Severstal GDR 4,900 15 Surgutneftegaz ADR (A) 4,600 30 Tatneft GDR 900 30 Uralkali GDR 2,300 17 Vimpel-Communications ADR 800 7 ------------- 341 ------------- SINGAPORE -- 0.6% Boustead Singapore (A) 4,000 2 ComfortDelgro (A) 8,000 7 DBS Group Holdings (A) 3,000 19 Fraser and Neave (A) 5,000 10 Haw Par (A) 2,000 4 Hong Leong Asia (A) 3,000 1 Jardine Cycle & Carriage (A) 1,000 7 Metro Holdings (A) 3,000 1 Neptune Orient Lines (A) 23,000 16 Oversea-Chinese Banking (A) 17,000 58 SembCorp Industries (A) 5,000 7 Singapore Airlines (A) 2,000 14 Singapore Telecommunications (A) 4,000 7 United Overseas Bank (A) 10,000 88 Wilmar International (A) 28,000 52 ------------- 293 ------------- SOUTH AFRICA -- 1.6% Anglo Platinum (A) 200 9 AngloGold Ashanti (A) 1,600 35 ArcelorMittal (A) 6,460 155 ArcelorMittal South Africa (A) 1,800 16 Assore (A) 405 15 Aveng (A) 8,000 23 DataTec (A) 16,000 22 Distell Group (A) 4,000 18 Exxaro Resources (A) 3,000 22 FirstRand (A) 12,407 21 Foschini (A) 8,000 34 Gold Fields (A) 6,000 50 Grindrod (A) 18,000 23 Group (A) 5,317 56 Hosken Consolidated Investments (A) 6,000 24 Iliad Africa (A) 9,808 6 Impala Platinum Holdings (A) 1,200 15 Imperial Holdings (A) 2,331 12 Medi-Clinic (A) 22,000 40 Metropolitan Holdings (A) 36,000 38
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 109 SCHEDULE OF INVESTMENTS (Unaudited) Screened World Equity Ex-US Fund (Continued) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Naspers, Cl N (A) 1,000 $ 15 Nedbank Group (A) 6,000 56 Sanlam (A) 36,000 59 Standard Bank Group (A) 3,000 26 Wilson Bayly Holmes-Ovcon (A) 1,000 10 ------------- 800 ------------- SOUTH KOREA -- 2.2% Amorepacific (A) 110 48 DC Chemical (A) 60 8 Dongwon Industries (A) 110 6 Doosan* (A) 150 7 Doosan Infracore (A) 840 8 Hana Financial Group (A) 1,600 19 Hyundai Department Store (A) 590 22 Hyundai Heavy Industries (A) 700 74 Korea Gas (A) 740 28 KT (A) 2,430 55 KT Freetel (A) 2,310 45 KT&G (A) 1,780 99 LG (A) 1,680 48 LG Chemical (A) 1,340 64 LG Dacom (A) 1,420 19 LG Electronics (A) 190 10 LG Household & Health Care (A) 311 35 LG Telecom (A) 5,390 40 Lotte Confectionery (A) 30 25 Lotte Shopping (A) 330 40 Ottogi (A) 110 11 Pacific (A) 240 16 POSCO (A) 13 3 S1 (A) 390 14 Samsung Electronics (A) 480 159 Samsung Fire & Marine Insurance (A) 640 84 Shinhan Financial Group (A) 160 3 Shinsegae (A) 240 72 Young Poong (A) 60 20 ------------- 1,082 ------------- SPAIN -- 3.3% ACS Actividades Construcciones y Servicios (A) 1,599 63 Banco Bilbao Vizcaya Argentaria (A) 10,782 112 Banco Espanol de Credito (A) 654 7 Banco Santander Central Hispano (A) 39,276 322 Criteria Caixacorp (A) 4,542 16 Financiera Alba (A) 124 4 Gas Natural (A) 4,028 112 Grifols (A) 1,888 33 Grupo Catalana Occidente (A) 1,268 21 Iberdrola (A) 20,642 153 Iberdrola Renovables* 1,291 4
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Mapfre (A) 7,748 $ 24 Promotora de Informaciones (A) 1,200 4 Repsol (A) 8,810 170 Sacyr Vallehermoso (A) 500 5 Telefonica (A) 27,482 556 ------------- 1,606 ------------- SWEDEN -- 1.5% D Carnegie 2,000 4 Getinge, Cl B (A) 1,246 15 Hennes & Mauritz, Cl B (A) 130 5 Investor, Cl B (A) 5,191 73 Nordea Bank (A) 17,661 128 Securitas, Cl B (A) 3,663 35 Skandinaviska Enskilda Banken, Cl A (A) 1,500 13 Svenska Cellulosa, Cl B (A) 7,500 61 Svenska Handelsbanken, Cl A (A) 2,523 42 Swedbank (A) 3,900 28 Swedish Match (A) 2,097 32 Telefonaktiebolaget LM Ericsson, Cl B (A) 33,000 232 TeliaSonera (A) 2,800 13 Trelleborg, Cl B (A) 806 4 Volvo, Cl B (A) 12,500 56 ------------- 741 ------------- SWITZERLAND -- 7.3% ACE 616 32 Actelion* (A) 770 35 Addax Petroleum 1,900 33 Adecco (A) 1,200 36 Baloise Holding (A) 1,021 57 Banque Cantonale Vaudoise (A) 72 20 Credit Suisse Group (A) 4,585 134 Elektrizitaets-Gesellschaft Laufenburg (A) 12 9 Helvetia Holding (A) 100 17 Holcim (A) 157 7 Lindt & Spruengli (A) 6 12 Nestle (A) 26,259 951 Novartis (A) 15,332 715 Petroplus Holdings (A) 497 9 Roche Holding (A) 3,843 538 Swatch Group (A) 920 21 Swiss Life Holding (A) 320 20 Swiss Reinsurance (A) 3,960 162 Swisscom (A) 158 45 Syngenta (A) 394 71 Synthes (A) 504 58 UBS* (A) 6,442 80 Xstrata (A) 6,340 91 Zurich Financial Services (A) 2,197 428 ------------- 3,581 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 110
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- TAIWAN -- 1.9% Advanced Semiconductor Engineering (A) 54,533 $ 19 Asia Optical (A) 6,060 6 Asustek Computer (A) 34,090 39 AU Optronics (A) 158,049 97 Chi Mei Optoelectronics (A) 103,000 30 China Manmade Fibers (A) 41,000 5 China Steel GDR (A) 181 2 China Synthetic Rubber (A) 12,000 12 Chunghwa Telecom (A) 132,720 210 Compal Electronics (A) 80,400 42 CTCI (A) 17,204 12 Far EasTone Telecommunications (A) 46,000 54 Fubon Financial Holding (A) 15,000 9 Gigabyte Technology (A) 19,000 6 HannStar Display (A) 131,149 15 Hua Nan Financial Holdings (A) 13,000 6 Inventec (A) 51,000 13 King Yuan Electronics (A) 32,000 7 Lite-On Technology (A) 54,000 38 Mega Financial Holding (A) 90,000 28 Oriental Union Chemical (A) 22,000 10 POU Chen (A) 61,000 28 Quanta Computer (A) 53,320 58 Shih Wei Navigation (A) 10,000 11 SinoPac Financial Holdings (A) 203,000 42 Taichung Commercial Bank (A) 37,872 6 Taiwan Semiconductor Manufacturing (A) 59,000 74 Taiwan Semiconductor Manufacturing ADR 281 2 Taiwan Sogo Shin Kong SEC (A) 10,180 4 Teco Electric and Machinery (A) 61,000 18 UPC Technology (A) 20,799 6 Wistron (A) 28,000 19 Yieh Phui Enterprise (A) 1,900 -- ------------- 928 ------------- THAILAND -- 0.2% Bangkok Bank NVDR (A) 27,000 50 Krung Thai Bank NVDR (A) 96,000 9 PTT Chemical (A) 5,800 5 Ratchaburi Electricity Generating Holding (A) 16,000 14 ------------- 78 ------------- TURKEY -- 0.6% Akbank (A) 12,000 33 Anadolu Efes Biracilik Ve Malt Sanayii (A) 6,000 47 Aselsan Elektronik Sanayi Ve Ticaret (A) 12,000 20
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Eczacibasi Ilac Sanayi (A) 48,000 $ 27 Haci Omer Sabanci Holding (A) 14,000 28 KOC Holding* (A) 27,000 44 Petrol Ofisi* (A) 5,000 9 Turk Hava Yollari* (A) 6,332 22 Turkcell Iletisim Hizmet (A) 12,000 68 ------------- 298 ------------- UNITED KINGDOM -- 16.3% 3i Group (A) 5,528 35 Aggreko (A) 2,969 21 Amec (A) 12,800 104 Amlin (A) 11,600 66 Anglo American (A) 5,598 133 Arriva (A) 5,400 53 Associated British Foods (A) 4,900 51 AstraZeneca (A) 9,910 373 Autonomy* (A) 8,928 128 Aviva (A) 6,602 41 Babcock International Group (A) 4,598 34 BAE Systems (A) 55,293 302 Barclays (A) 73,493 194 BG Group (A) 24,484 349 BHP Billiton (A) 15,066 272 BP (A) 125,822 1,017 British American Tobacco (A) 12,681 331 BT Group, Cl A (A) 70,400 145 Cable & Wireless (A) 33,580 77 Cape* (A) 2,000 1 Centrica (A) 45,384 165 Cobham (A) 14,357 39 Compass Group (A) 24,941 118 Delta (A) 2,500 3 Diageo (A) 3,901 54 Drax Group (A) 532 5 DS Smith (A) 30,500 27 E2V Technologies (A) 1,800 4 Eurasian Natural Resources (A) 2,952 13 Euromoney Institutional Investor (A) 1,500 6 Firstgroup (A) 4,212 31 Friends Provident (A) 18,600 21 Game Group (A) 10,618 26 GlaxoSmithKline (A) 22,598 390 Greene King (A) 2,327 14 Group 4 Securicor (A) 33,135 104 HBOS (A) 7,578 11 Home Retail Group (A) 11,993 38 HSBC Holdings (A) 51,188 557 IG Group Holdings (A) 6,799 23 Imperial Tobacco Group (A) 5,307 132 Inmarsat (A) 4,081 27 International Power (A) 5,800 23 Invensys (A) 5,800 15
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 111 SCHEDULE OF INVESTMENTS (Unaudited) Screened World Equity Ex-US Fund (Concluded) November 30, 2008
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- Investec (A) 4,398 $ 18 Jardine Lloyd Thompson Group (A) 1,148 9 John Wood Group (A) 6,841 23 Kazakhmys (A) 3,935 16 Kingfisher (A) 20,000 37 Land Securities Group+++ (A) 1,200 17 Legal & General Group (A) 88,831 93 Liberty International+++ (A) 660 6 Lloyds TSB Group (A) 38,118 98 LogicaCMG (A) 9,970 10 Man Group (A) 5,371 21 Marston's (A) 12,194 20 Meggitt (A) 2,300 5 Mondi (A) 16,401 42 National Express Group (A) 380 3 National Grid (A) 3,000 31 Northumbrian Water Group (A) 4,000 16 Old Mutual (A) 60,000 51 Persimmon (A) 12,000 40 Premier Farnell (A) 19,600 42 Prudential (A) 13,467 70 Reckitt Benckiser Group (A) 2,904 123 Rio Tinto (A) 3,500 87 Rolls-Royce Group (A) 4,501 22 Royal & Sun Alliance Insurance Group (A) 55,178 130 Royal Bank of Scotland Group (A) 96,994 83 SABMiller (A) 1,168 19 Scottish & Southern Energy (A) 1,657 28 Shire (A) 6,177 85 Smith & Nephew (A) 467 3 Smiths Group (A) 2,829 36 Spectris (A) 645 4 Stagecoach Group (A) 40,300 108 Standard Chartered (A) 1,174 15 Standard Life (A) 16,000 65 Tate & Lyle (A) 4,000 24 Tesco (A) 16,800 76 Thomas Cook Group (A) 15,400 39 TUI Travel (A) 13,400 44 UK Coal* (A) 2,405 3 Unilever (A) 5,461 125 United Business Media (A) 400 3 United Utilities Group (A) 5,400 50 Vodafone Group (A) 296,946 581 WPP (A) 11,252 63 ------------- 8,057 ------------- UNITED STATES -- 0.0% Thomson Reuters (CAD)* 300 8 ------------- Total Common Stock (Cost $73,058) ($ Thousands) 47,463 -------------
Market Value Description Shares ($ Thousands) - ----------- ------------- ------------- PREFERRED STOCK -- 2.0% BRAZIL -- 1.9% All America Latina Logistica 1,462 $ 1 Banco Bradesco 12,450 134 Banco Daycoval 1,400 3 Banco Itau Holding Financeira 5,000 59 Bombril* 1,100 3 Brasil Telecom 6,600 43 Braskem 2,171 6 Centrais Eletricas Brasileiras, Cl B 7,000 74 Centrais Eletricas de Santa Catarina 100 1 Cia Energetica do Ceara 1,500 12 Cia de Bebidas das Americas 2,000 86 Cia Energetica de Minas Gerais 3,330 53 Cia Paranaense de Energia 4,000 48 Cia Vale do Rio Doce, Cl A 17,600 189 Duratex 2,900 18 Ferbasa-Ferro Ligas DA Bahia 2,000 6 Fertilizantes Fosfatados 7,675 37 Gerdau 3,525 22 Mangels Industrial 300 1 Parana Banco 1,100 1 Sadia 3,000 4 Telecomunicacoes de Sao Paulo 700 14 Telegraph Norte Leste Participacoes 4,400 65 Telemar Norte Leste 1,900 48 Universo Online 1,200 4 Usinas Siderurgicas de Minas Gerais, Cl A 1,900 19 ------------- 951 ------------- GERMANY -- 0.1% Porsche Automobil Holding 40 3 RWE 70 4 Volkswagen 249 10 ------------- 17 ------------- ITALY -- 0.0% Istituto Finanziario Industriale* (A) 1,700 10 ------------- Total Preferred Stock (Cost $1,843) ($ Thousands) 978 -------------
Number of Rights ------------- RIGHTS -- 0.1% AUSTRALIA -- 0.0% General Property Trust, Expires 12/02/08* 5 1 Incitec Pivot, Expires 12/23/08* 6 1 ------------- 2 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 112
Shares Number of Market Value Description Rights ($ Thousands) - ----------- ------------- ------------- SPAIN -- 0.1% Banco Santander Central Hispano, Expires 12/02/08* 29 $ 18 ------------- SWEDEN -- 0.0% Getinge, Expires 12/23/08* 1 -- ------------- UNITED KINGDOM -- 0.0% Centrica, Expires 12/16/08* 6 7 Standard Chartered, Expires 12/19/08* 0 2 ------------- 9 ------------- Total Rights (Cost $1) ($ Thousands) 29 ------------- CASH EQUIVALENT -- 0.0% UNITED STATES -- 0.0% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.580**+ 27,895 28 ------------- Total Cash Equivalent (Cost $28) ($ Thousands) 28 ------------- Total Investments -- 98.4% (Cost $74,930) ($ Thousands) $ 48,498 =============
Percentages are based on a Net Assets of $49,284 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (see Note 3). +++ Real Estate Investment Trust (A) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of November 30, 2008, was $39,119 and represented 79.4% of Net Assets. (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. ADR -- American Depositary Receipt Cl -- Class GBP -- British Pound Sterling GDR -- Global Depositary Receipt HKD -- Hong Kong Dollar LIBOR -- London Interbank Offered Rate NOK -- Norwegian Krone NVDR -- Non-Voting Depositary Receipt Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 113 SCHEDULE OF INVESTMENTS (Unaudited) Enhanced LIBOR Opportunities Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) Affiliated Partnership 35.3% Loan Participations 22.5% Cash Equivalent 12.1% Time Deposit 9.7% Mortgage-Backed Securities 9.4% Asset-Backed Securities 6.0% Financials 3.6% Telecommunication Services 0.4% Utilities 0.4% Consumer Discretionary 0.3% Energy 0.1% Health Care 0.1% Industrials 0.1%
++ Percentages based on total investments.
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- LOAN PARTICIPATIONS -- 23.3% Alltel Communications, Inc, Ser B-2 5.316%, 05/15/15 $ 1,995 $ 1,896 Applied Systems, Inc 7.854%, 09/26/13 2,000 1,600 Bosie Paper Holdings, 2nd Lien 10.500%, 02/23/15 1,000 556 Burlington Coat Factory Warehouse, Ser C 5.060%, 05/28/13 1,000 418 Calpine, 1st Lien 6.645%, 03/31/14 1,990 1,395 Caritor 6.020%, 06/04/13 919 423 Caritor (Synthetic) 6.020%, 06/04/13 70 32 CCS Medical 7.020%, 09/30/12 967 491 Cequel Communications, 1st Lien 4.760%, 11/05/13 496 327 Cequel Communications, Ser B, 1st Lien 4.724%, 11/05/13 492 325 Clarke American, Ser B 6.290%, 06/30/14 1,975 1,096 Colleyville Resources 3.782%, 12/28/10 163 119 Colleyville Resources, Ser D 6.633%, 12/30/13 526 386 Delta Air Lines 5.258%, 04/30/12 990 628 Delta Air Lines, 2nd Lien 6.250%, 04/30/14 988 500 Dole Food, Ser B 5.500%, 04/12/13 84 59 4.689%, 04/12/13 47 33 Dollar General, Ser B-1 5.600%, 07/07/14 1,000 769
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Dollar General, Ser B-2 6.140%, 07/07/14 $ 1,000 $ 769 Dynea North, 1st Lien 5.040%, 07/10/14 920 570 Eddie Bauer, Ser B 6.366%, 04/01/14 1,474 678 First Data , Ser B-1 5.249%, 09/24/14 992 673 First Data, Ser B-1 0.000%, 09/24/14 995 675 Foamex LP, 1st Lien 7.718%, 02/12/13 812 284 Fresenius SE, Ser B1 6.750%, 08/20/14 650 586 Fresenius SE, Ser B2 6.750%, 08/20/14 350 320 Ginn La Conduit Lender, Ser A, 1st Lien 8.545%, 06/08/11 (A) 315 32 Ginn La Conduit Lender, Ser B, 1st Lien 9.500%, 06/08/11 (A) 676 68 Green Valley Ranch Gaming, 2nd Lien 6.500%, 08/16/14 1,000 390 HCA, Ser B 6.012%, 11/18/13 1,987 1,486 Hub International 6.262%, 06/13/14 1,009 613 Hub International (Delayed Draw) 6.262%, 06/13/14 226 138 IAP Worldwide Services, 1st Lien 9.062%, 12/30/12 914 562 Kepler Holdings 9.313%, 06/30/09 1,000 840 Knology 6.400%, 06/30/12 988 563 Lake at Las Vegas Joint Venture 16.100%, 06/20/12 (A) 1,085 71 15.460%, 06/20/12 (A) 988 65 12.000%, 06/20/12 250 249 Lake at Las Vegas Joint Venture (Synthetic) 16.100%, 06/20/12 (A) 120 8 Level 3 Financing 6.885%, 03/01/14 1,500 985 Life Tech 6.000%, 11/21/15 2,000 1,822 Lifecare Holding (Rainier Acquisition) 7.670%, 08/11/12 987 494 Manitowoc, Ser B 5.687%, 04/14/14 2,000 1,428 Metroflag, 2nd Lien 14.000%, 01/06/09 1,500 75 Movie Gallery (Synthetic), 1st Lien 9.512%, 03/08/12 19 8 Movie Gallery, 1st Lien 9.750%, 03/08/12 479 204
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 114
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Mylan Laboratories, Ser B 6.947%, 10/02/14 $ 1,985 $ 1,611 Nielsen Finance LLC, Ser B 4.230%, 08/09/13 488 325 Pinnacle Foods Group 6.423%, 04/02/14 988 676 Sabre 5.218%, 09/30/14 1,458 574 Serena Software 5.500%, 03/10/13 928 668 Sirva Worldwide 12.000%, 05/15/15 371 74 9.720%, 05/12/12 183 99 0.000%, 05/12/12 119 58 Sirva Worldwide (Unfunded) 0.000%, 05/12/12 163 83 Solo Cup, Ser B1 5.925%, 02/27/11 618 505 Solvest (Dole), Ser C 4.795%, 04/12/13 312 218 Spectrum Brands 2.700%, 03/30/13 63 38 Spectrum Brands, Ser B II 6.387%, 03/30/13 1,248 752 Spirit Finance 6.193%, 07/15/13 1,000 350 Texas Competitive Electric, Ser B-2 6.290%, 10/10/14 1,990 1,356 TPF Generation Holdings, LLC (Synthetic Revolver) 3.662%, 12/15/11 49 41 TPF Generation Holdings, LLC (Synthetic), 1st Lien 3.662%, 12/15/13 156 130 TPF Generation Holdings, LLC, 1st Lien 5.762%, 12/15/13 741 620 Tribune, Ser B 6.500%, 06/04/14 593 166 Tribune, Ser X 7.084%, 06/04/09 137 57 US Airways Group 5.719%, 03/19/14 733 362 Verint Systems 6.250%, 05/27/14 1,877 1,032 Weather Channel, Ser B-1 7.250%, 07/15/15 1,600 1,372 WM Bolthouse Farms, 1st Lien 6.188%, 12/17/12 1,470 1,139 Wm. Wrigley Jr., Ser B 7.750%, 09/30/14 2,000 1,855 ------------- Total Loan Participations (Cost $61,720) ($ Thousands) 39,870 -------------
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- MORTGAGE-BACKED SECURITIES -- 9.8% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 2.9% FHLMC CMO STRIPS, Ser 245, Cl IO, IO 5.000%, 05/15/37 (B) $ 366 $ 61 FNMA 6.000%, 06/01/21 to 12/01/21 1,300 1,331 FNMA TBA 6.000%, 10/01/26 to 04/01/27 2,337 2,391 5.500%, 10/01/20 to 03/01/22 1,121 1,141 ------------- 4,924 ------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.9% American Tower Trust, Ser 2007-1A, Cl D 5.957%, 04/15/37 (C) 250 218 Banc of America Funding, Ser 2005-F, Cl 4A1 5.333%, 01/20/09 (D) 495 276 Banc of America Funding, Ser 2006-D, Cl 3A1 5.587%, 01/20/09 (D) 415 284 Banc of America Large Loan, Ser 2007-BMB1, Cl A1 1.933%, 12/15/08 (C) (D) 195 135 Banc of America Mortgage Securities, Ser 2004-F, Cl 2A5 4.152%, 01/25/09 (D) 350 333 Banc of America Mortgage Securities, Ser 2005-A, Cl 2A1 4.446%, 01/25/09 (D) 267 178 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1 5.276%, 01/25/09 (D) 362 279 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-9, Cl A1 4.625%, 01/25/09 (D) 481 361 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2006-1, Cl A1 4.625%, 01/25/09 (D) 458 285 Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2 6.480%, 02/15/35 500 467 Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl J 2.373%, 12/15/08 (C) (D) 155 56 Citigroup Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1 4.900%, 01/25/09 (D) 472 361 Countrywide Alternative Loan Trust, Ser 2007-HY5R, Cl 2A1A 5.544%, 01/25/09 (D) 664 507
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 115 SCHEDULE OF INVESTMENTS (Unaudited) Enhanced LIBOR Opportunities Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-HY10, Cl 3A1A 5.379%, 01/20/09 (D) $ 467 $ 219 Credit Suisse First Boston Mortgage Securities, Ser 2000-C1, Cl A2 7.545%, 04/15/62 387 379 Crown Castle Towers LLC, Ser 2006-1A, Cl E 6.065%, 11/15/36 (C) 380 263 Crusade Global Trust, Ser 2007-1, Cl A1 4.563%, 01/20/09 (D) 239 196 Diversified REIT Trust, Ser 1999-1A, Cl A2 6.780%, 03/18/11 (C) 29 29 First Horizon Alternative Mortgage Trust, Ser 2005-AA3, Cl 3A1 5.348%, 01/25/09 (D) 262 136 First Horizon Mortgage Pass-Through Certificate, Ser 2005-AR4, Cl 2A1 5.333%, 01/25/09 (D) 232 122 First Union-Chase Commercial Mortgage,Ser 1999-C2, Cl A2 6.645%, 06/15/31 71 70 GMAC Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1 5.597%, 01/19/09 (D) 462 228 Granite Master Issuer, Ser 2006-1A, Cl A5 1.523%, 12/22/08 (C) (D) 156 93 GS Mortgage Securities, Ser 2007-EOP, Cl K 3.228%, 01/06/09 (C) (D) 75 40 Harborview Mortgage Loan Trust, Ser 2005-14, Cl 3A1A 5.302%, 01/19/09 (D) 313 258 JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1 5.443%, 01/25/09 (D) 418 272 Master Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1 5.056%, 01/25/09 (D) 470 383 Merrill Lynch Mortgage Backed Securities Trust, Ser 2007-2, Cl 1A1 5.800%, 01/25/09 (D) 480 312 Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 2A1 4.538%, 01/25/09 (D) 445 261 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1A 5.146%, 01/25/09 (D) 475 380
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1E 5.146%, 01/25/09 (D) $ 395 $ 281 MLCC Mortgage Investors, Ser 2006-1, Cl 2A1 5.379%, 01/25/09 (D) 248 190 Morgan Stanley Capital I, Ser 2007-XLFA, Cl C 1.583%, 12/15/08 (C) (D) 240 130 MortgageIT Trust, Ser 2005-1, Cl 2A 4.250%, 01/25/09 (D) 455 312 MortgageIT Trust, Ser 2005-4, Cl A1 1.675%, 12/25/08 (D) 450 188 Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A 5.330%, 01/25/09 (D) 173 124 Residential Funding Mortgage Securities, Ser 2006-SA1, Cl 1A1 5.674%, 01/25/09 (D) 148 99 Residential Funding Mortgage Securities, Ser 2007-SA2, Cl 2A2 5.666%, 01/25/09 (D) 324 212 Thornburg Mortgage Securities Trust, Ser 2005-1, Cl A3 4.769%, 01/25/09 (D) 284 243 Washington Mutual Mortgage Pass-Through Certificate, Ser 2004-AR5, Cl A6 3.837%, 01/25/09 (D) 600 578 Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR14, Cl 1A4 5.048%, 01/25/09 (D) 452 315 Washington Mutual Mortgage Pass-Through Certificate, Ser 2005-AR3, Cl A2 4.638%, 01/25/09 (D) 415 260 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A2 4.187%, 01/25/09 (D) 354 264 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-Z, Cl 2A1 4.578%, 01/25/09 (D) 466 303 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3 5.001%, 01/25/09 (D) 166 97
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 116
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2 4.997%, 01/25/09 (D) $ 119 $ 76 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1 5.636%, 01/25/09 (D) 572 299 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR13, Cl A2 5.748%, 01/25/09 (D) 450 298 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR2, Cl 2A3 5.106%, 01/25/09 (D) 169 82 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 2A1 5.240%, 01/25/09 (D) 292 148 ------------- 11,880 ------------- Total Mortgage-Backed Securities (Cost $21,976) ($ Thousands) 16,804 ------------- ASSET-BACKED SECURITIES -- 6.2% AUTOMOTIVE -- 2.3% AmeriCredit Automobile Receivables Trust, Ser 2006-1, Cl B 5.200%, 03/06/11 195 190 AmeriCredit Automobile Receivables Trust, Ser 2006-1, Cl A3 5.110%, 10/06/10 24 24 AmeriCredit Automobile Receivables Trust, Ser 2007-CM, Cl A4A 5.550%, 04/07/14 500 372 Americredit Prime Automobile Receivable, Ser 2007-2M, Cl A3 5.220%, 06/08/12 485 436 Capital Auto Receivables Asset Trust, Ser 2007-1, Cl B 5.150%, 09/17/12 230 180 Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A3A 5.020%, 09/15/11 200 194 Capital One Auto Finance Trust, Ser 2005-C, Cl A4A 4.710%, 06/15/12 99 87 Capital One Auto Finance Trust, Ser 2007-C, Cl A3A 5.130%, 04/16/12 490 439 Carmax Auto Owner Trust, Ser 2007-1, Cl C 5.530%, 07/15/13 50 31
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Carmax Auto Owner Trust, Ser 2008-1, Cl A4B 2.723%, 12/15/08 (D) $ 485 $ 419 Ford Credit Auto Owner Trust, Ser 2007-B, Cl A3A 5.150%, 11/15/11 230 219 GE Dealer Floorplan Master Note Trust, Ser 2006-2, Cl C 1.883%, 12/22/08 (D) 120 80 Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl C 5.540%, 04/15/15 105 64 Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3B 1.823%, 12/15/08 (D) 140 133 Merrill Auto Trust Securitization, Ser 2007-1, Cl C 5.960%, 12/15/13 297 273 Nissan Auto Receivables Owner Trust, Ser 2007-B, Cl A3 5.030%, 05/16/11 135 132 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl C 2.023%, 12/15/08 (D) 45 38 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl B 1.723%, 12/15/08 (D) 25 22 Swift Master Auto Receivables Trust, Ser 2007-2, Cl A 2.073%, 12/15/08 (D) 430 359 USAA Auto Owner Trust, Ser 2007-2, Cl A3 4.900%, 02/15/12 245 240 Volkswagen Auto Lease Trust, Ser 2006-A, Cl A3 5.500%, 09/21/09 25 25 ------------- 3,957 ------------- CREDIT CARDS -- 1.9% Advanta Business Card Master Trust, Ser 2007-B1, Cl B 1.703%, 12/22/08 (D) 400 189 American Express Credit Account Master Trust, Ser 2007-2, Cl B 1.603%, 12/15/08 (D) 145 77 Bank of America Credit Card Trust, Ser 2007-B5, Cl B5 2.023%, 12/15/08 (D) 470 433 Capital One Multi-Asset Execution Trust, Ser 2005-C1, Cl C1 1.823%, 12/15/08 (D) 350 284 Capital One Multi-Asset Execution Trust, Ser 2007-C2, Cl C2 1.723%, 12/15/08 (D) 400 248
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 117 SCHEDULE OF INVESTMENTS (Unaudited) Enhanced LIBOR Opportunities Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Chase Issuance Trust, Ser 2005-C2, Cl C2 1.863%, 12/15/08 (D) $ 400 $ 245 Citibank Credit Card Issuance Trust, Ser 2007-B5, Cl B5 2.576%, 01/07/09 (D) 500 321 First National Master Note Trust, Ser 2007-1, Cl B 1.623%, 12/15/08 (D) 320 273 GE Capital Credit Card Master Note Trust, Ser 2007-3, Cl C 1.723%, 12/15/08 (D) 500 395 MBNA Credit Card Master Note Trust, Ser 2006-A1, Cl A1 4.900%, 07/15/11 400 398 Washington Mutual Master Note Trust, Ser 2006-C3A, Cl C3A 1.803%, 12/15/08 (C) (D) 535 430 ------------- 3,293 ------------- MORTGAGE RELATED SECURITIES -- 1.0% First Franklin Mortgage Loan Asset, Ser 2006-FF18, Cl A2B 1.505%, 12/26/08 (D) 275 209 First Franklin Mortgage Loan Asset, Ser 2007-FF1, Cl M2 1.655%, 12/26/08 (D) 285 19 Morgan Stanley Capital I, Ser 2007-HE2, Cl M2 1.655%, 12/26/08 (D) 150 7 Morgan Stanley Home Equity Loan Trust, Ser 2005-3, Cl M1 1.845%, 12/26/08 (D) 350 258 Morgan Stanley Home Equity Loan Trust, Ser 2005-4, Cl M1 1.805%, 12/26/08 (D) 370 172 Option One Mortgage Loan Trust, Ser 2005-3, Cl M1 1.865%, 12/26/08 (D) 330 207 Option One Mortgage Loan Trust, Ser 2005-5, Cl M1 1.785%, 12/26/08 (D) 470 220 Option One Mortgage Loan Trust, Ser 2007-FXD2, Cl 2A1 5.900%, 03/25/37 214 189 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 1.515%, 12/26/08 (D) 171 141 Residential Asset Securities, Ser 2005-KS12, Cl M1 1.835%, 12/26/08 (D) 375 181
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Securitized Asset-Backed Receivables LLC, Ser 2007-NC2, Cl M2 1.655%, 12/26/08 (D) $ 145 $ 11 ------------- 1,614 ------------- OTHER ASSET-BACKED SECURITIES -- 1.0% ACAS Business Loan Trust, Ser 2006-1A, Cl A 2.411%, 02/27/09 (C) (D) 450 310 ACAS Business Loan Trust, Ser 2007-1A, Cl C 2.999%, 02/17/09 (C) (D) 425 281 CIT Equipment Collateral, Ser 2006-VT1, Cl B 5.230%, 02/20/13 47 45 Domino's Pizza Master Issuer LLC, Ser 2007-1, Cl A2 5.261%, 04/25/37 (C) (F) 400 280 Lambda Finance, Ser 2005-1A, Cl A3 2.379%, 02/17/09 (C) (D) 400 342 Peco Energy Transition Trust, Ser 2000-A, Cl A3 7.625%, 03/01/10 258 261 Sierra Receivables Funding, Ser 2007-2A, Cl A2 2.453%, 12/22/08 (C) (D) 266 197 ------------- 1,716 ------------- Total Asset-Backed Securities (Cost $14,353) ($ Thousands) 10,580 ------------- CORPORATE OBLIGATIONS -- 5.1% CONSUMER DISCRETIONARY -- 0.3% Macy's Retail Holdings 6.300%, 04/01/09 300 289 5.350%, 03/15/12 225 158 ------------- 447 ------------- ENERGY -- 0.1% Canadian Natural Resources 5.700%, 05/15/17 150 128 ------------- FINANCIALS -- 3.7% Ameriprise Financial 5.350%, 11/15/10 300 256 Banco Santander Chile 3.164%, 12/09/08 (C) (D) 450 444 Capital One Financial MTN 5.700%, 09/15/11 300 254
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 118
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Capmark Financial Group 3.038%, 02/10/09 (D) $ 500 $ 219 CIT Group 3.375%, 04/01/09 300 280 Citigroup 3.084%, 12/09/08 (D) 300 233 Comerica Bank 1.519%, 12/19/08 (D) 275 261 Everest Reinsurance Holdings 8.750%, 03/15/10 295 276 6.600%, 05/15/09 (D) 450 187 General Electric Capital 3.606%, 01/28/09 (D) 275 248 Genworth Global Funding Trusts MTN 5.200%, 10/08/10 400 300 Hartford Financial Services Group 7.900%, 06/15/10 250 223 JPMorgan Chase Capital XXI, Ser U 4.143%, 02/02/09 (D) 550 294 Lehman Brothers Holdings, Ser G MTN 0.000%, 11/10/09 (A) 500 45 Liberty Property LP 7.250%, 03/15/11+++ 300 280 MBIA Insurance 14.000%, 01/15/09 (C) (D) 200 90 Monumental Global Funding 4.953%, 01/15/09 (C) (D) 450 300 Morgan Stanley, Ser G 4.620%, 01/09/09 (D) 400 293 Prudential Financial MTN 5.100%, 12/14/11 300 271 Reinsurance Group of America 5.625%, 03/15/17 300 214 State Street 3.565%, 01/30/09 (D) 285 257 Unitrin 6.000%, 05/15/17 260 232 4.875%, 11/01/10 300 296 VTB 24 Capital PLC, Ser E MTN 3.021%, 03/09/09 (D) 200 160 Wachovia 2.939%, 12/15/08 (D) 425 380 ------------- 6,293 ------------- HEALTH CARE -- 0.1% UnitedHealth Group 3.806%, 02/09/09 (D) 250 213 -------------
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------- ------------- ------------- INDUSTRIALS -- 0.1% Continental Airlines, Ser 061G 3.161%, 03/02/09 (D) $ 300 $ 222 ------------- TELECOMMUNICATION SERVICES -- 0.4% Corning 6.050%, 06/15/15 300 261 Telecom Italia Capital 5.113%, 01/20/09 (D) 300 233 Vodafone Group PLC 2.461%, 02/27/09 (D) 300 240 ------------- 734 ------------- UTILITIES -- 0.4% KeySpan 7.625%, 11/15/10 300 308 Ohio Power 4.388%, 01/05/09 (D) 270 241 Southern, Ser A 5.300%, 01/15/12 175 173 ------------- 722 ------------- Total Corporate Obligations (Cost $11,493) ($ Thousands) 8,759 ------------- EURODOLLAR -- 0.1% SOVEREIGN -- 0.1% Republic of Trinidad & Tobago 9.875%, 10/01/09 150 154 ------------- Total EuroDollar (Cost $156) ($ Thousands) 154 ------------- COMMON STOCK -- 0.0% Sirva Worldwide* (F) (G) 2,247 68 ------------- Total Common Stock (Cost $--) ($ Thousands) 68 ------------- TIME DEPOSITS -- 10.1% Barclays Bank London 0.890%, 12/10/08 2,676 2,676 1.290%, 12/12/08 1,112 1,112 HSBC London 0.400%, 12/12/08 1,000 1,000 0.900%, 01/13/09 2,324 2,324 Lloyds TSB London 1.100%, 12/08/08 3,641 3,641 Royal Bank of Canada 0.650%, 01/14/09 4,093 4,093
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 119 SCHEDULE OF INVESTMENTS (Unaudited) Enhanced LIBOR Opportunities Fund (Concluded) November 30, 2008
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------- ------------- ------------- UBS London 0.760%, 12/03/08 $ 2,440 $ 2,440 ------------- Total Time Deposits (Cost $17,286) ($ Thousands) 17,286 ------------- AFFILIATED PARTNERSHIP -- 36.5% SEI LIBOR Plus Portfolio+ 10,420,126 62,521 ------------- Total Affiliated Partnership (Cost $101,228) ($ Thousands) 62,521 ------------- CASH EQUIVALENT -- 10.6% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.620%**+ 18,150,705 18,151 ------------- Total Cash Equivalent (Cost $18,151) ($ Thousands) 18,151 ------------- REPURCHASE AGREEMENT -- 1.9% BNP Paribas (E) 0.280%, dated 11/28/08, to be repurchased on 12/01/08 repurchase price $3,200,075, (collateralized by a FHLMC obligation, par value $3,197,847, 5.500%, 12/01/38; with total market value $3,264,000) 3,200 3,200 ------------- Total Repurchase Agreement (Cost $3,200) ($ Thousands) 3,200 ------------- Total Investments -- 103.6% (Cost $249,563) ($ Thousands) $ 177,393 =============
A summary of the open futures contracts held by the Fund at November 30, 2008, 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. 10-Year Note (38) Mar-2009 $(62) U.S. 2-Year Note (38) Mar-2009 (28) U.S. 5-Year Note (2) Mar-2009 (2) U.S. Long Treasury Bond (5) Mar-2009 (6) ---- $(98) ====
A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2008, is as follows (See Note 2 in Notes to Financials Statements):
UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) - ---------------- ------------- ------------- -------------- 12/10/08 AUD 1,078 USD 1,000 $ 299 12/10/08 CHF 1,500 NZD 1,965 (160) 12/10/08 EUR 729 USD 1,100 175 12/10/08 GBP 1,719 USD 3,300 662 12/10/08 NZD 1,984 CHF 1,500 150 12/10/08 USD 1,000 AUD 1,058 (312) 12/10/08 USD 1,100 EUR 711 (198) 12/10/08 USD 3,300 GBP 1,701 $ (690) 12/10/08-2/12/09 JPY 284,000 NOK 14,294 (950) 12/10/08-2/12/09 NOK 14,722 JPY 284,000 889 12/10/08-3/11/09 GBP 1,121 SGD 2,800 139 12/10/08-3/11/09 SGD 2,800 GBP 1,086 (193) 12/10/08-4/14/09 EUR 4,443 JPY 679,000 1,516 12/10/08-4/14/09 GBP 4,310 JPY 796,000 1,775 12/10/08-4/14/09 JPY 679,000 EUR 4,314 (1,680) 12/10/08-4/14/09 JPY 796,000 GBP 4,190 (1,960) 1/13/09-2/11/09 AUD 1,066 CHF 1,000 135 1/13/09-2/11/09 CHF 1,000 AUD 1,054 (143) 1/13/09-3/11/09 CHF 7,500 GBP 3,753 (444) 1/13/09-3/11/09 GBP 3,797 CHF 7,500 376 1/13/09-4/14/09 EUR 2,849 CHF 4,400 32 1/13/09-4/14/09 NZD 3,784 USD 2,500 445 1/13/09-4/14/09 USD 2,500 NZD 3,687 (497) 1/13/09-5/13/09 CHF 6,800 EUR 4,373 (94) 4/14/09 AUD 1,936 JPY 112,000 (68) 4/14/09 JPY 112,000 AUD 1,700 (85) 4/15/09 CHF 600 NOK 3,289 (32) 4/15/09 NOK 3,521 CHF 600 (1) ------- $ (914) =======
Percentages are based on a Net Assets of $171,196 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (see Note 3). +++ Real Estate Investment Trust (A) Security in default on interest payments. (B) Security, or portion thereof, has been pledged as collateral on open swaps 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) Variable Rate Security -- The rate reported is the rate in effects as of November 30, 2008. The date reported is the next reset date. (E) Tri-Party Repurchase Agreement (F) Securities considered illiquid. The total value of such securities as of November 30, 2008 was $348 ($ Thousands) and represented 0.20% of net assets (see Note 3). (G) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2008 was $68 ($ Thousands) and represented 0.04% of net assets. AUD -- Australian Dollar CHF -- Swiss Franc Cl -- Class CMO -- Collateralized Mortgage Obligation EUR -- Euro FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GBP -- British Pound Sterling IO -- Interest Only - face amount represents notional amount JPY -- Japanese Yen LLC -- Limited Liability Company LIBOR -- London Interbank Offered Rate MTN -- Medium Term Note NOK -- Norwegian Krone NZD -- New Zealand Dollar PLC -- Public Limited Company Ser -- Series SGD -- Singapore Dollar STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To be Announced USD -- U.S. Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 120 Core Fixed Income Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) Mortgage-Backed Securities 54.6% Affiliated Partnership 8.0% Financials 8.0% Cash Equivalent 7.0% U.S. Treasury Obligations 6.7% Asset-Backed Securities 4.3% Energy 2.0% Consumer Discretionary 1.5% U.S. Government Agency Obligations 1.3% Telecommunication Services 1.2% Utilities 1.2% Industrials 1.1% Consumer Staples 0.9% Health Care 0.6% Materials 0.5% Information Technology 0.3% Sovereign 0.3% Commercial Paper 0.2% Municipal Bonds 0.2% Certificates of Deposit 0.1% Eurodollar 0.0% Preferred Stock 0.0%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- MORTGAGE-BACKED SECURITIES -- 71.8% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 56.5% FHLB CMO, Ser 2014, Cl 1 5.340%, 03/20/14 $ 6,818 $ 6,833 FHLB CMO, Ser 2015, Cl A 5.460%, 11/27/15 12,964 13,054 FHLMC 9.750%, 10/01/14 1 1 7.500%, 11/01/17 to 06/01/32 855 906 7.000%, 11/01/15 to 06/01/32 672 700 6.500%, 10/01/16 to 09/01/38 60,130 61,911 6.000%, 01/01/13 to 03/01/38 122,041 124,643 5.500%, 09/01/13 to 09/01/38 320,091 324,812 5.000%, 10/01/14 to 12/01/34 51,169 51,715 4.500%, 04/01/19 to 03/01/36 11,194 11,075 4.000%, 09/01/18 to 10/01/33 6,697 6,584 FHLMC ARM 6.895%, 02/15/09 6,846 6,951 6.651%, 02/15/09 4,047 4,146 6.647%, 02/15/09 4,471 4,568 6.456%, 02/15/09 17,918 18,384 6.371%, 02/15/09 1,637 1,670 6.309%, 02/15/09 651 662 6.306%, 02/15/09 2,180 2,236 6.204%, 02/15/09 8,689 8,868 6.157%, 02/15/09 7,777 7,984 6.146%, 02/15/09 4,492 4,610 6.033%, 02/15/09 14 15 5.944%, 02/15/09 1,237 1,239 5.941%, 02/15/09 726 731 5.934%, 02/15/09 13,638 13,920 5.930%, 02/15/09 950 948
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- 5.876%, 02/15/09 $ 32 $ 32 5.864%, 02/15/09 2,215 2,262 5.857%, 02/15/09 2,636 2,742 5.734%, 02/15/09 2,297 2,332 5.690%, 02/15/09 1,075 1,077 5.587%, 01/25/09 5,166 5,240 5.192%, 02/15/09 939 949 5.113%, 02/15/09 5,575 5,603 FHLMC CMO, Ser 1, Cl Z 9.300%, 04/15/19 25 27 FHLMC CMO, Ser 1081, Cl K 7.000%, 05/15/21 523 559 FHLMC CMO, Ser 1101, Cl M 6.950%, 07/15/21 275 294 FHLMC CMO, Ser 1611, Cl Z 6.500%, 11/15/23 10,982 12,105 FHLMC CMO, Ser 1983, Cl Z 6.500%, 12/15/23 1,399 1,398 FHLMC CMO, Ser 2043, Cl CJ 6.500%, 04/15/28 2,318 2,400 FHLMC CMO, Ser 2389, Cl CD 6.000%, 03/15/16 1,237 1,255 FHLMC CMO, Ser 2542, Cl ES 5.000%, 12/15/17 8,683 8,708 FHLMC CMO, Ser 2544, Cl IW, IO 5.500%, 03/15/26 73 -- FHLMC CMO, Ser 2547, Cl BE 5.500%, 03/15/32 1,711 1,721 FHLMC CMO, Ser 2558, Cl BD 5.000%, 01/15/18 3,681 3,693 FHLMC CMO, Ser 2564, Cl BQ 5.500%, 10/15/17 3,201 3,329 FHLMC CMO, Ser 2590, Cl BY 5.000%, 03/15/18 1,346 1,349 FHLMC CMO, Ser 2590, Cl NU 5.000%, 06/15/17 1,808 1,839 FHLMC CMO, Ser 2603, Cl KT 4.750%, 07/15/14 4,991 5,032 FHLMC CMO, Ser 2623, Cl AJ 4.500%, 07/15/16 2,531 2,540 FHLMC CMO, Ser 2631, Cl MC 5.000%, 02/15/32 484 468 FHLMC CMO, Ser 2672, Cl HA 4.000%, 09/15/16 1,447 1,447 FHLMC CMO, Ser 2694, Cl QG 4.500%, 01/15/29 361 365 FHLMC CMO, Ser 2695, Cl BG 4.500%, 04/15/32 3,004 2,954 FHLMC CMO, Ser 2702, Cl AD 4.500%, 08/15/32 2,628 2,578 FHLMC CMO, Ser 2708, Cl DG 5.500%, 07/15/32 2,849 2,855
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 121 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- FHLMC CMO, Ser 2727, Cl PW 3.570%, 06/15/29 $ 1,085 $ 1,076 FHLMC CMO, Ser 2733, Cl ME 5.000%, 01/15/34 6,302 6,058 FHLMC CMO, Ser 2735, Cl PG 5.500%, 09/15/32 524 531 FHLMC CMO, Ser 2735, Cl OG 5.000%, 08/15/32 1,517 1,467 FHLMC CMO, Ser 2740, Cl PD 5.500%, 06/15/32 1,893 1,895 FHLMC CMO, Ser 2776, Cl AC 5.000%, 09/15/31 1,276 1,229 FHLMC CMO, Ser 2777, Cl KB 5.000%, 03/15/32 2,063 1,990 FHLMC CMO, Ser 2778, Cl JD 5.000%, 12/15/32 1,974 1,953 FHLMC CMO, Ser 2780, Cl TB 3.000%, 12/15/24 1,008 1,006 FHLMC CMO, Ser 2790, Cl TN 4.000%, 05/15/24 2,779 2,565 FHLMC CMO, Ser 2793, Cl GE 5.500%, 11/15/32 437 438 FHLMC CMO, Ser 2825, Cl QN 5.500%, 09/15/32 3,958 3,956 FHLMC CMO, Ser 2835, Cl NG 5.500%, 07/15/33 1,248 1,256 FHLMC CMO, Ser 2843, Cl BC 5.000%, 08/15/19 1,740 1,739 FHLMC CMO, Ser 2883, Cl HK 5.000%, 04/15/32 1,144 1,123 FHLMC CMO, Ser 2905, Cl ME 5.500%, 08/15/33 841 842 FHLMC CMO, Ser 2945, Cl SA 9.734%, 12/15/08 (A) 4,790 4,658 FHLMC CMO, Ser 2960, Cl NC 5.500%, 10/15/32 492 501 FHLMC CMO, Ser 3000, Cl PA 3.900%, 01/15/23 2,317 2,298 FHLMC CMO, Ser 3017, Cl TA 4.500%, 08/15/35 3,226 3,254 FHLMC CMO, Ser 3019, Cl VM 5.000%, 08/15/16 1,854 1,907 FHLMC CMO, Ser 3035, Cl PA 5.500%, 09/15/35 1,302 1,362 FHLMC CMO, Ser 3061, Cl DA 5.500%, 04/15/31 885 890 FHLMC CMO, Ser 3104, Cl QC 5.000%, 09/15/31 2,782 2,784 FHLMC CMO, Ser 3115, Cl MB 5.500%, 12/15/20 819 834 FHLMC CMO, Ser 3133, Cl GA 5.000%, 06/15/33 936 942
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- FHLMC CMO, Ser 3166, Cl GB 6.000%, 06/15/21 $ 1,102 $ 1,123 FHLMC CMO, Ser 3253, Cl A 5.000%, 08/15/20 2,618 2,634 FHLMC CMO, Ser 3268, Cl HC 5.000%, 12/15/32 1,902 1,846 FHLMC CMO, Ser 3289, Cl PB 5.000%, 11/15/29 2,979 2,972 FHLMC CMO, Ser 3298, Cl VB 5.000%, 11/15/25 2,051 1,964 FHLMC CMO, Ser 3317, Cl PG 5.000%, 04/15/36 1,606 1,553 FHLMC CMO, Ser 3320, Cl TB 5.500%, 06/15/30 1,215 1,248 FHLMC CMO, Ser 3351, Cl PK 5.500%, 01/15/32 30 31 FHLMC CMO, Ser 3372, Cl BD 4.500%, 10/15/22 2,533 2,378 FHLMC CMO, Ser 3460, Cl PC 5.000%, 08/15/34 1,400 1,393 FHLMC CMO, Ser 3460, Cl PB 5.000%, 06/15/31 1,097 1,113 FHLMC CMO, Ser 3465, Cl HA 4.000%, 07/15/17 6,562 6,488 FHLMC TBA 5.500%, 01/17/19 to 01/01/38 106,452 107,948 5.000%, 12/01/35 7,900 7,942 FNMA 8.000%, 04/01/15 to 07/01/31 429 451 7.000%, 03/01/09 to 01/01/35 7,147 7,491 6.500%, 05/01/17 to 12/01/38 79,301 81,985 6.000%, 05/01/21 to 07/01/38 169,173 173,079 5.500%, 04/01/14 to 06/01/38 189,551 192,502 5.000%, 06/01/18 to 11/01/36 113,817 114,941 4.500%, 06/01/13 to 04/01/38 188,517 186,565 4.000%, 07/01/20 to 05/01/34 14,505 13,865 FNMA ARM 6.723%, 01/25/09 30,712 31,686 6.233%, 01/25/09 92 94 6.119%, 01/25/09 27,937 28,822 6.115%, 01/25/09 1,374 1,382 6.105%, 01/25/09 883 884 6.020%, 01/25/09 1,696 1,721 6.003%, 01/25/09 1,167 1,176 5.983%, 01/25/09 1,708 1,718 5.946%, 01/25/09 2,114 2,131 5.922%, 01/25/09 4,565 4,658 5.881%, 01/25/09 1,407 1,408 5.831%, 02/15/09 3,260 3,320 5.824%, 01/25/09 16,394 16,545 5.766%, 01/25/09 3,440 3,500 5.746%, 01/25/09 2,331 2,371
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 122
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- 5.694%, 01/25/09 $ 6,405 $ 6,498 5.640%, 01/25/09 10,830 10,859 5.510%, 02/15/09 4,356 4,420 4.660%, 01/25/09 2,066 2,082 4.653%, 01/25/09 2,066 2,082 4.648%, 01/25/09 2,050 2,066 4.642%, 01/25/09 2,097 2,112 4.641%, 01/25/09 2,125 2,141 FNMA CMO, Ser 1999-11, Cl Z 5.500%, 03/25/29 3,552 3,733 FNMA CMO, Ser 2002-94, Cl BJ, IO 5.500%, 04/25/16 75 1 FNMA CMO, Ser 2003-108, Cl BE 4.000%, 11/25/18 230 221 FNMA CMO, Ser 2003-113, Cl PN 3.500%, 02/25/13 54 54 FNMA CMO, Ser 2003-15, Cl CH 4.000%, 02/25/17 1,059 1,056 FNMA CMO, Ser 2003-16, Cl PN 4.500%, 10/25/15 1,310 1,314 FNMA CMO, Ser 2003-3, Cl HJ 5.000%, 02/25/18 2,250 2,252 FNMA CMO, Ser 2004-34, Cl PL 3.500%, 05/25/14 825 825 FNMA CMO, Ser 2004-60, Cl PA 5.500%, 04/25/34 1,747 1,770 FNMA CMO, Ser 2004-88, Cl HA 6.500%, 07/25/34 1,428 1,468 FNMA CMO, Ser 2005-30, Cl B 5.000%, 07/25/32 1,979 1,874 FNMA CMO, Ser 2005-57, Cl EG 1.695%, 12/25/08 (A) 2,841 2,713 FNMA CMO, Ser 2005-58, Cl MA 5.500%, 07/25/35 1,079 1,127 FNMA CMO, Ser 2006-114, Cl CG 5.500%, 12/25/36 2,534 2,435 FNMA CMO, Ser 2006-21, Cl UA 5.500%, 12/25/32 511 514 FNMA CMO, Ser 2007-113, Cl DB 4.500%, 12/25/22 3,664 3,419 FNMA CMO, Ser 2007-26, Cl BA 5.500%, 05/25/29 885 891 FNMA CMO, Ser 2007-30, Cl MA 4.250%, 02/25/37 6,035 5,968 FNMA CMO, Ser 2007-6, Cl PA 5.500%, 02/25/37 2,102 2,135 FNMA CMO, Ser 2007-7, Cl W 5.500%, 01/25/36 1,859 1,829 FNMA CMO, Ser 2007-82, Cl B 5.000%, 11/25/33 1,240 1,201 FNMA CMO, Ser 2008-22, Cl SI 5.035%, 12/25/08 (A) 23,000 1,722
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- FNMA TBA 7.000%, 01/01/35 $ 8,500 $ 8,803 6.500%, 01/01/38 63,700 65,332 6.000%, 12/01/18 to 01/01/23 3,800 3,867 5.500%, 01/01/19 to 12/25/38 293,118 297,881 5.000%, 01/01/19 to 01/01/38 439,422 442,435 4.500%, 12/01/35 to 01/01/38 17,500 17,230 GNMA 9.500%, 12/15/20 14 16 7.000%, 04/15/26 to 09/15/34 4,550 4,692 6.500%, 06/15/11 to 07/15/35 21,816 22,469 6.000%, 03/15/14 to 02/15/35 49,741 50,967 5.500%, 04/15/14 to 12/15/32 305 313 5.000%, 05/15/33 to 11/15/35 38,639 39,031 4.500%, 09/15/34 9,585 9,470 GNMA ARM 3.750%, 01/20/09 3,672 3,601 GNMA CMO, Ser 2001-18, Cl WH 25.888%, 12/20/08 (A) 190 247 GNMA CMO, Ser 2002-51, Cl SG 26.206%, 12/20/08 (A) 179 232 GNMA CMO, Ser 2003-58, Cl IG, IO 5.500%, 05/17/29 1,157 14 GNMA CMO, Ser 2003-82, Cl IO, IO 5.500%, 03/20/29 1,196 22 GNMA CMO, Ser 2003-86, Cl ZK 5.000%, 10/20/33 11,212 10,429 GNMA CMO, Ser 2004-80, Cl IP, IO 5.500%, 07/20/34 3,409 111 GNMA CMO, Ser 2004-87, Cl LI, IO 5.000%, 12/20/28 3,053 88 GNMA CMO, Ser 2006-3, Cl A 4.212%, 01/16/28 812 799 GNMA CMO, Ser 2006-37, Cl JG 5.000%, 07/20/36 1,723 1,678 GNMA TBA 6.500%, 12/01/35 9,600 9,837 6.000%, 12/01/33 to 01/01/38 56,548 57,585 5.500%, 01/01/33 to 01/01/38 24,992 25,375 ------------- 2,961,107 ------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 15.3% Adjustable Rate Mortgage Trust, Ser 2005-8, Cl 4A11 5.436%, 01/25/09 (A) 11,592 7,696 American Home Mortgage Assets, Ser 2006-5, Cl A1 3.399%, 01/25/09 (A) 1,848 611 American Home Mortgage Assets, Ser 2007-2, Cl A1 1.520%, 12/26/08 (A) 15,528 5,965
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 123 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- American Tower Trust, Ser 2007-1A, Cl AFX 5.420%, 04/15/37 (B) $ 3,409 $ 2,605 Banc of America Alternative Loan Trust, Ser 2004-5, Cl 4A1 5.000%, 06/25/19 1,327 1,147 Banc of America Alternative Loan Trust, Ser 2004-6, Cl 4A1 5.000%, 07/25/19 1,760 1,639 Banc of America Alternative Loan Trust, Ser 2006-7, Cl A3 5.913%, 01/25/09 (A) 2,029 1,067 Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1 6.279%, 01/25/09 (A) 2,039 1,970 Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1 6.480%, 01/25/09 (A) 523 250 Banc of America Commercial Mortgage Securities, Ser 2000-1, Cl A2A 7.333%, 01/15/09 (A) 2,991 2,941 Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl B 6.309%, 06/11/35 1,075 965 Banc of America Commercial Mortgage Securities, Ser 2002-PB2, Cl A4 6.186%, 06/11/35 80 73 Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A2 4.648%, 09/11/36 2,397 1,974 Banc of America Commercial Mortgage Securities, Ser 2003-1, Cl A1 3.878%, 09/11/36 5,741 5,278 Banc of America Commercial Mortgage Securities, Ser 2004-1, Cl A3 4.429%, 11/10/39 30 26 Banc of America Commercial Mortgage Securities, Ser 2004-2, Cl A5 4.580%, 11/10/38 564 435 Banc of America Commercial Mortgage Securities, Ser 2004-4, Cl A4 4.502%, 07/10/42 3,518 3,080 Banc of America Commercial Mortgage Securities, Ser 2004-6, Cl A3 4.512%, 12/10/42 5,620 4,844
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Banc of America Commercial Mortgage Securities, Ser 2005-2, Cl A3 4.611%, 07/10/43 $ 165 $ 153 Banc of America Commercial Mortgage Securities, Ser 2005-3, Cl A4 4.668%, 07/10/43 12,400 8,980 Banc of America Commercial Mortgage Securities, Ser 2005-5, Cl A4 5.115%, 01/10/09 (A) 1,190 869 Banc of America Commercial Mortgage Securities, Ser 2006-4, Cl A4 5.634%, 07/10/46 15,000 10,318 Banc of America Commercial Mortgage Securities, Ser 2006-5, Cl XC, IO 0.118%, 01/10/09 (A) (B) 78,176 480 Banc of America Commercial Mortgage Securities, Ser 2008-1, Cl A4 6.346%, 01/10/09 (A) 1,472 980 Banc of America Funding, Ser 2005-B, Cl 2A1 5.093%, 01/20/09 (A) 5,049 2,919 Banc of America Funding, Ser 2007-8, Cl 2A2 7.000%, 10/25/37 167 90 Banc of America Funding, Ser 2007-D, Cl 3A1 5.651%, 01/20/09 (A) 3,815 2,957 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A 5.304%, 01/25/09 (A) 4,778 3,254 Bear Stearns Asset Backed Securities Trust, Ser 2006-AC1, Cl 1A1 5.750%, 02/25/36 2,659 2,111 Bear Stearns Commercial Mortgage Securities, Ser 2000-WF1, Cl A2 7.780%, 01/15/09 (A) 5,388 5,287 Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2 6.480%, 02/15/35 3,596 3,356 Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP4, Cl A3 5.610%, 11/15/33 1,709 1,546 Bear Stearns Commercial Mortgage Securities, Ser 2004-ESA, Cl C 4.937%, 05/14/16 (B) 2,473 2,462
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 124
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR5, Cl A3 4.565%, 07/11/42 $ 115 $ 104 Bear Stearns Commercial Mortgage Securities, Ser 2004-PWR6, Cl A6 4.825%, 11/11/41 637 504 Bear Stearns Commercial Mortgage Securities, Ser 2005-T20, Cl A4A 5.300%, 01/12/09 (A) 6,500 5,029 Bear Stearns Commercial Mortgage Securities, Ser 2007-PW15, Cl B 5.660%, 01/11/09 (A) (B) 1,189 257 Bear Stearns Commercial Mortgage Securities, Ser 2007-PW17, Cl A4 5.694%, 01/11/09 (A) 2,250 1,528 Bear Stearns Structured Products, Ser 2007-R11, Cl A1A 1.995%, 12/29/08 (A) (B) 23,751 23,637 Chase Mortgage Finance, Ser 2005-A1, Cl 2A3 5.235%, 01/25/09 (A) 13,166 8,352 Chase Mortgage Finance, Ser 2005-A1, Cl 1A1 5.408%, 01/25/09 (A) 2,321 1,606 Chaseflex Trust, Ser 2007-1, Cl 1A3 6.500%, 02/25/37 1,743 997 Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl A3 5.915%, 01/15/09 (A) 3,525 2,298 Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4 5.889%, 01/10/09 (A) 2,830 1,838 Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl A4 6.299%, 01/10/09 (A) 6,110 4,070 Citigroup Mortgage Loan Trust, Ser 2005-11, Cl A3 4.900%, 01/25/09 (A) 7,218 5,134 Citigroup Mortgage Loan Trust, Ser 2006-AR3, Cl 1A1A 5.936%, 01/25/09 (A) 504 321 Citimortgage Alternative Loan Trust, Ser 2006-A1, Cl 1A6 6.000%, 04/25/36 3,249 1,697 Commercial Mortgage Asset Trust, Ser 1999-C1, Cl A4 6.975%, 12/17/08 (A) 2,593 2,332 Commercial Mortgage Asset Trust, Ser 1999-C2, Cl A2 7.546%, 12/17/08 (A) 249 246 Commercial Mortgage Pass-Through Certificates , Ser 2001-J2A, Cl A2 6.096%, 07/16/34 (B) 5,564 5,071
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Commercial Mortgage Pass-Through Certificates , Ser 2006-C7, Cl AM 5.986%, 01/10/09 (A) $ 4,870 $ 2,388 Countrywide Alternative Loan Trust, Ser 2003-20CB, Cl 1A1 5.500%, 10/25/33 3,203 2,840 Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1 6.000%, 12/25/34 2,828 2,397 Countrywide Alternative Loan Trust, Ser 2004-J1, Cl 1A1 6.000%, 02/25/34 662 578 Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1 6.500%, 11/25/31 2,260 1,916 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 4.015%, 01/25/09 (A) 4,533 1,813 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 3.765%, 01/25/09 (A) 1,202 481 Countrywide Alternative Loan Trust, Ser 2005-56, Cl 4A1 1.705%, 12/26/08 (A) 8,657 3,682 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 3.589%, 12/22/08 (A) 10,454 4,492 Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 1.665%, 12/26/08 (A) 3,560 1,719 Countrywide Alternative Loan Trust, Ser 2006-0A9, Cl 2A1A 1.663%, 12/22/08 (A) 690 270 Countrywide Alternative Loan Trust, Ser 2006-OA11, Cl A4 1.585%, 12/26/08 (A) 11,362 3,940 Countrywide Alternative Loan Trust, Ser 2006-OA14, Cl 1A2 3.359%, 01/25/09 (A) 1,185 365 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO 2.090%, 01/20/09 (A) 34,292 1,061 Countrywide Alternative Loan Trust, Ser 2006-OC6, Cl 2A1 1.465%, 12/26/08 (A) 2,335 2,085 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-20, Cl A7 5.250%, 10/25/35 845 551 Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-R3, Cl AF 1.795%, 12/25/08 (A) (B) 9,089 7,084
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 125 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Credit Suisse First Boston Mortgage Securities, Ser 2001-CK1, Cl A3 6.380%, 12/18/35 $ 1,234 $ 1,163 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A1 4.485%, 11/15/36 88 80 Credit Suisse First Boston Mortgage Securities, Ser 2005-C6, Cl A4 5.230%, 01/15/09 (A) 22,220 16,259 Credit Suisse First Boston Mortgage Securities, Ser 2001-CF2, Cl A4 6.505%, 02/15/34 2,157 2,031 Credit Suisse First Boston Mortgage Securities, Ser 2001-CK3, Cl A4 6.530%, 06/15/34 6,068 5,664 Credit Suisse First Boston Mortgage Securities, Ser 2001-CKN5, Cl A4 5.435%, 09/15/34 3,390 3,064 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKN2, Cl A3 6.133%, 04/15/37 437 391 Credit Suisse First Boston Mortgage Securities, Ser 2002-CKS4, Cl A2 5.183%, 11/15/36 6,381 5,433 Credit Suisse First Boston Mortgage Securities, Ser 2002-CP5, Cl A2 4.940%, 12/15/35 955 797 Credit Suisse First Boston Mortgage Securities, Ser 2003-C4, Cl A4 5.137%, 01/15/09 (A) 1,905 1,558 Credit Suisse First Boston Mortgage Securities, Ser 2003-C5, Cl A4 4.900%, 01/15/09 (A) 1,475 1,177 Credit Suisse First Boston Mortgage Securities, Ser 2003-CK2, Cl A4 4.801%, 03/15/36 1,334 1,094 Credit Suisse First Boston Mortgage Securities, Ser 2003-CPN1, Cl A2 4.597%, 03/15/35 851 690 Credit Suisse First Boston Mortgage Securities, Ser 2004-C2, Cl A1 3.819%, 05/15/36 9,478 8,415 Credit Suisse First Boston Mortgage Securities, Ser 8, Cl 1A2 5.250%, 12/25/34 4,141 3,588 Credit Suisse Mortgage Capital Certificates, Ser 2006-C3, Cl A3 6.021%, 01/15/09 (A) 1,965 1,284 DLJ Commercial Mortgage, Ser 1999-CG2, Cl A1B 7.300%, 01/10/09 (A) 2,850 2,819 DLJ Commercial Mortgage, Ser 2000-CKP1, Cl A1B 7.180%, 11/10/33 189 182
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- DLJ Commercial Mortgage, Ser CG3, Cl A1B 7.340%, 10/10/32 $ 2,761 $ 2,713 DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B 1.874%, 12/19/08 (A) 2,671 1,099 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl 1A1A 3.399%, 01/19/09 (A) 496 205 First Horizon Alternative Mortgage Securities, Ser 2006-FA6, Cl 2A10 6.000%, 11/25/36 (H) 1,773 1,598 First Horizon Alternative Mortgage Securities, Ser 2006-RE1, Cl A1 5.500%, 05/25/35 (H) 3,170 1,637 First Union National Bank Commercial Mortgage, Ser 1999-C4, Cl A2 7.390%, 12/15/31 135 133 First Union National Bank Commercial Mortgage, Ser 2000-C2, Cl A2 7.202%, 10/15/32 1,787 1,715 First Union National Bank Commercial Mortgage, Ser 2001-C4, Cl B 6.417%, 12/12/33 926 840 GE Capital Commercial Mortgage, Ser 2001-2, Cl A3 6.030%, 08/11/33 815 786 GE Capital Commercial Mortgage, Ser 2001-3, Cl A1 5.560%, 06/10/38 69 65 Ge Capital Commercial Mortgage, Ser 2002-1A, Cl A3 6.269%, 12/10/35 1,562 1,379 GE Capital Commercial Mortgage, Ser 2003-C1, Cl A3 4.371%, 01/10/38 25 23 GE Capital Commercial Mortgage, Ser 2005-C4, Cl A3A 5.512%, 01/10/09 (A) 14,500 11,667 GE Capital Commercial Mortgage, Ser 2007-C1, Cl A4 5.543%, 12/10/49 5,060 3,263 GMAC Commercial Mortgage Securities, Ser 2000-C1, Cl A2 7.724%, 01/15/09 (A) 7,226 7,084 GMAC Commercial Mortgage Securities, Ser 2000-C2, Cl A2 7.455%, 01/16/09 (A) 11,046 10,704 GMAC Commercial Mortgage Securities, Ser 2000-C3, Cl A2 6.957%, 09/15/35 8,034 7,648
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 126
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- GMAC Commercial Mortgage Securities, Ser 2001-C2, Cl A2 6.700%, 04/15/34 $ 5,905 $ 5,520 GMAC Commercial Mortgage Securities, Ser 2002-C3, Cl A2 4.930%, 07/10/39 3,009 2,527 GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2 5.667%, 01/10/09 (A) 1,259 1,038 GMAC Commercial Mortgage Securities, Ser 2003-C3, Cl A4 5.023%, 04/10/40 5,138 4,113 GMAC Commercial Mortgage Securities, Ser 2004-C1, Cl A1 3.118%, 03/10/38 82 81 GMAC Commercial Mortgage Securities, Ser 2004-C2, Cl A1 3.896%, 08/10/38 104 103 GMAC Mortgage Loan Trust, Ser 2004-J4, Cl A1 5.500%, 09/25/34 805 769 GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1 5.205%, 01/19/09 (A) 1,298 854 Greenpoint Mortgage Funding Trust, Ser 2007-AR1, Cl 1A1A 1.475%, 12/26/08 (A) 18,044 9,094 Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl A2 5.117%, 04/10/37 1,517 1,363 Greenwich Capital Commercial Funding, Ser 2006-GG7, Cl A4 6.112%, 01/10/09 (A) 3,095 2,190 Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl X, IO 0.511%, 01/10/09 (A) (B) 22,770 236 Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 5.444%, 03/10/39 736 475 GS Mortgage Securities II, Ser 2001-GL3A, Cl A2 6.449%, 01/05/09 (A) (B) 5,378 4,961 GS Mortgage Securities II, Ser 2005-GG4, Cl AABA 4.680%, 07/10/39 6,191 5,130 GS Mortgage Securities II, Ser 2006-GG8, Cl A4 5.560%, 11/10/39 324 221 GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A 8.000%, 01/19/09 (A) (B) 6 6 GSMPS Mortgage Loan Trust, Ser 2005-RP3, Cl 1AF 1.745%, 12/25/08 (A) (B) 3,452 2,721
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- GSMPS Mortgage Loan Trust, Ser 2006-RP2, Cl 1AF1 1.795%, 12/25/08 (A) (B) $ 2,555 $ 2,531 GSR Mortgage Loan Trust, Ser 2006-8F, Cl 3A5 6.250%, 09/25/36 (H) 8,126 8,025 GSR Mortgage Loan Trust, Ser 2006-9F, Cl 4A1 6.500%, 10/25/36 1,149 882 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO 1.659%, 03/19/35 12,486 195 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO 1.554%, 01/19/09 (A) 23,931 348 Heller Financial Commercial Mortgage Asset, Ser 1999-PH1, Cl C 7.092%, 01/15/09 (A) 239 237 Impac Secured Assets CMN Owner Trust, Ser 2006-2, Cl 2A1 1.745%, 12/26/08 (A) 880 478 Indymac INDA Mortgage Loan Trust, Ser 2007-AR7, Cl 1A1 6.217%, 01/25/09 (A) 2,665 1,621 Indymac INDX Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO 1.560%, 12/25/34 6,226 54 Indymac INDX Mortgage Loan Trust, Ser 2007-AR5, Cl 1A1 6.258%, 01/25/09 (A) 3,975 1,593 JPMorgan Chase Commercial Mortgage Securities, Ser 2000-C10, Cl A2 7.371%, 01/15/09 (A) 1,887 1,844 JPMorgan Chase Commercial Mortgage Securities, Ser 2001-CIB3, Cl A3 6.465%, 11/15/35 5,615 5,140 JPMorgan Chase Commercial Mortgage Securities, Ser 2002-C3, Cl A1 4.200%, 07/12/35 46 43 JPMorgan Chase Commercial Mortgage Securities, Ser 2002-CIB5, Cl A2 5.161%, 10/12/37 1,137 963 JPMorgan Chase Commercial Mortgage Securities, Ser 2003-CB7, Cl A4 4.879%, 01/12/09 (A) 6,899 5,305
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 127 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- JPMorgan Chase Commercial Mortgage Securities, Ser 2003- PM1A, Cl A4 5.326%, 01/12/09 (A) $ 1,911 $ 1,514 JPMorgan Chase Commercial Mortgage Securities, Ser 2004-C3, Cl A2 4.223%, 01/15/42 12,948 12,226 JPMorgan Chase Commercial Mortgage Securities, Ser 2004-C3, Cl A4 4.657%, 01/15/42 4,000 3,244 JPMorgan Chase Commercial Mortgage Securities, Ser 2005- CB12, Cl A4 4.895%, 09/12/37 530 367 JPMorgan Chase Commercial Mortgage Securities, Ser 2005- LDP2, Cl A1 4.334%, 07/15/42 451 440 JPMorgan Chase Commercial Mortgage Securities, Ser 2005- LDP3, Cl A1 4.655%, 08/15/42 452 429 JPMorgan Chase Commercial Mortgage Securities, Ser 2005- LDP4, Cl A4 4.918%, 01/15/09 (A) 6,200 4,280 JPMorgan Chase Commercial Mortgage Securities, Ser 2006- CB15, Cl ASB 5.790%, 01/12/09 (A) 520 397 JPMorgan Chase Commercial Mortgage Securities, Ser 2006- CB16, Cl AM 5.593%, 05/12/45 2,370 1,113 JPMorgan Chase Commercial Mortgage Securities, Ser 2006- LDP7, Cl A2 6.051%, 01/15/09 (A) 315 269 JPMorgan Chase Commercial Mortgage Securities, Ser 2006- LDP7, Cl A1 6.023%, 01/15/09 (A) 48 45 JPMorgan Chase Commercial Mortgage Securities, Ser 2007- LD12, Cl A4 5.882%, 01/15/09 (A) 3,165 1,941 JPMorgan Chase Commercial Mortgage Securities, Ser 2007- LD12, Cl AM 6.261%, 01/15/09 (A) 350 158
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3 4.587%, 01/25/09 (A) $ 6,240 $ 4,726 JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A2 4.817%, 01/25/09 (A) 5,158 4,189 JPMorgan Mortgage Trust, Ser 2004-A5, Cl 4A4 4.817%, 01/25/09 (A) 11,500 7,645 JPMorgan Mortgage Trust, Ser 2005-A3, Cl 11A2 4.500%, 01/25/09 (A) 13,065 7,158 JPMorgan Mortgage Trust, Ser 2005-A8, Cl 1A1 5.400%, 01/25/09 (A) 5,704 4,016 JPMorgan Mortgage Trust, Ser 2006-A2, Cl 2A2 5.755%, 01/25/09 (A) 13,400 6,298 JPMorgan Mortgage Trust, Ser 2006-A3, Cl 3A4 5.736%, 01/25/09 (A) 14,500 6,782 LB Commercial Conduit Mortgage Trust, Ser 1999-C2, Cl B 7.425%, 10/15/32 371 363 LB-UBS Commercial Mortgage Trust, Ser 2000-C4, Cl A2 7.370%, 08/15/26 1,333 1,295 LB-UBS Commercial Mortgage Trust, Ser 2000-C5, Cl A2 6.510%, 12/15/26 3,028 2,869 LB-UBS Commercial Mortgage Trust, Ser 2001-C2, Cl A2 6.653%, 11/15/27 702 659 LB-UBS Commercial Mortgage Trust, Ser 2001-C3, Cl A2 6.365%, 12/15/28 1,931 1,788 LB-UBS Commercial Mortgage Trust, Ser 2002-C2, Cl A4 5.594%, 06/15/31 21,324 18,644 LB-UBS Commercial Mortgage Trust, Ser 2003-C5, Cl A2 3.478%, 07/15/27 23 23 LB-UBS Commercial Mortgage Trust, Ser 2003-C8, Cl A4 5.124%, 12/15/08 (A) 17,485 14,088 LB-UBS Commercial Mortgage Trust, Ser 2004-C8, Cl A4 4.510%, 12/15/29 360 310 LB-UBS Commercial Mortgage Trust, Ser 2005-C1, Cl C 4.836%, 12/15/08 (A) 334 86 LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A5 5.150%, 12/15/08 (A) 7,909 5,922
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 128
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- LB-UBS Commercial Mortgage Trust, Ser 2005-C2, Cl A4 4.998%, 04/15/30 $ 123 $ 105 LB-UBS Commercial Mortgage Trust, Ser 2005-C5, Cl A2 4.885%, 09/15/30 180 165 LB-UBS Commercial Mortgage Trust, Ser 2005-C7, Cl A2 5.103%, 11/15/30 995 890 LB-UBS Commercial Mortgage Trust, Ser 2006-C7, Cl A2 5.300%, 11/15/38 2,425 1,987 LB-UBS Commercial Mortgage Trust, Ser 2006-C7, Cl E 5.516%, 12/15/08 (A) 494 92 LB-UBS Commercial Mortgage Trust, Ser 2007-C1, Cl AAB 5.403%, 02/15/40 1,357 948 LB-UBS Commercial Mortgage Trust, Ser C2, Cl A2 4.821%, 04/15/30 181 167 Luminent Mortgage Trust, Ser 2006-6, Cl A1 1.595%, 12/26/08 (A) 602 251 Master Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A 3.788%, 01/21/09 (A) 11,650 8,000 Master Adjustable Rate Mortgages Trust, Ser 2007-3, Cl 12A1 1.595%, 12/26/08 (A) 21,133 8,556 Master Alternative Loans Trust, Ser 2004-4, Cl 1A1 5.500%, 05/25/34 2,699 2,420 Master Reperforming Loan Trust, Ser 2005-1, Cl 1A1 6.000%, 08/25/34 (B) 4,222 4,231 Master Reperforming Loan Trust, Ser 2006-1, Cl 1A1F 1.755%, 12/25/08 (A) 1,873 1,560 MASTR Alternative Loans Trust, Ser 2006-3, Cl AA3 6.250%, 07/25/36 802 594 Merrill Lynch 7.430%, 09/01/22 4 4 Merrill Lynch Mortgage Investors, Ser 2004-A1, Cl 4A 5.290%, 01/25/09 (A) 6,410 4,491 Merrill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5, IO 0.157%, 10/12/41 21,583 204 Merrill Lynch Mortgage Trust, Ser 2004-KEY2, Cl A4 4.864%, 01/12/09 (A) 2,652 2,016
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Merrill Lynch Mortgage Trust, Ser 2004-MKB1, Cl A3 4.892%, 02/12/42 $ 151 $ 131 Merrill Lynch Mortgage Trust, Ser 2006-1, Cl 1A 5.251%, 12/01/08 (A) 703 660 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl B 5.479%, 01/12/09 (A) 307 53 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl X, IO 0.730%, 01/12/09 (A) 4,015 71 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl C 5.509%, 01/12/09 (A) 342 58 Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-6, Cl A4 5.485%, 01/12/09 (A) 6,740 4,303 MLCC Mortgage Investors, Ser 2004-B, Cl A3 4.712%, 01/25/09 (A) 683 475 Morgan Stanley Capital I, Ser 2003- IQ5, Cl A4 5.010%, 04/15/38 3,770 3,161 Morgan Stanley Capital I, Ser 2004- HQ3, Cl A4 4.800%, 01/13/41 2,256 1,771 Morgan Stanley Capital I, Ser 2005- HQ5, Cl A3 5.007%, 01/14/42 110 91 Morgan Stanley Capital I, Ser 2005- HQ5, Cl AAB 5.037%, 01/14/42 3,294 2,736 Morgan Stanley Capital I, Ser 2005- HQ6, Cl A4A 4.989%, 08/13/42 4,630 3,403 Morgan Stanley Capital I, Ser 2005- HQ7, Cl AAB 5.355%, 01/14/09 (A) 4,083 3,316 Morgan Stanley Capital I, Ser 2006- T21, Cl A4 5.162%, 01/12/09 (A) 6,900 4,742 Morgan Stanley Dean Witter Capital I, Ser 2000-LIFE, Cl A2 7.570%, 01/15/09 (A) 2,626 2,573 Morgan Stanley Dean Witter Capital I, Ser 2001-TOP1, Cl A4 6.660%, 02/15/33 2,307 2,183
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 129 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4 6.390%, 06/15/11 $ 3,301 $ 3,052 Morgan Stanley Dean Witter Capital I, Ser 2001-TOP5, Cl A4 6.390%, 10/15/35 6,533 5,968 Morgan Stanley Dean Witter Capital I, Ser 2002-IQ2, Cl A3 5.520%, 12/15/35 396 392 Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A2 4.920%, 03/12/35 7,164 5,902 Morgan Stanley Dean Witter Capital I, Ser 2003-HQ2, Cl A1 4.180%, 03/12/35 244 209 Morgan Stanley Mortgage Loan Trust, Ser 2007-6XS, Cl 2A1S 1.505%, 12/26/08 (A) 983 932 New York Mortgage Trust, Ser 2006-1, Cl 2A2 5.651%, 01/25/09 (A) 788 497 Nomura Asset Securities, Ser 1998-D6, Cl A1C 6.690%, 03/15/30 3,558 3,322 Prime Mortgage Trust, Ser 2006-CL1, Cl A1 1.895%, 12/25/08 (A) 88 53 Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1 5.500%, 05/25/35 (B) 3,374 2,020 RAAC, Ser 2005-SP1, Cl 2A2 5.250%, 09/25/34 2,013 1,673 RBSGC Mortgage Pass-Through Certificates, Ser 2007-B, Cl 1A4 1.845%, 12/25/08 (A) 7,275 3,872 Residential Accredit Loans, Ser 2005- Q02, Cl A1 3.839%, 01/25/09 (A) 1,373 632 Residential Accredit Loans, Ser 2006- QO8, Cl 1A1A 1.485%, 12/26/08 (A) 12,762 9,750 Residential Accredit Loans, Ser 2006- QS12, Cl 2A11 5.000%, 09/25/36 1,366 1,078 Residential Asset Mortgage Products, Ser 2004-SL1, Cl A8 6.500%, 11/25/31 1,720 1,758 Residential Asset Mortgage Products, Ser 2004-SL3, Cl A2 6.500%, 12/25/31 3,098 2,893 Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1 5.217%, 01/25/09 (A) 2,452 1,411
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Salomon Brothers Mortgage Securities VII, Ser 2000-C3, Cl A2 6.592%, 12/18/33 $ 2,208 $ 2,099 Salomon Brothers Mortgage Securities VII, Ser 2002-KEY2, Cl A2 4.467%, 03/18/36 2,200 1,945 Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-18, Cl 1A1 5.639%, 01/25/09 (A) 5,536 2,567 Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1 1.715%, 12/26/08 (A) 6,978 2,863 Structured Asset Mortgage Investments, Ser 2006-AR6, Cl 1A3 1.585%, 12/26/08 (A) 242 60 Structured Asset Mortgage Investments, Ser 2006-AR8, Cl A1A 1.595%, 12/26/08 (A) 7,760 3,076 Structured Asset Mortgage Investments, Ser 2007-AR4, Cl GA4B 1.575%, 12/26/08 (A) 21,486 7,047 Thornburg Mortgage Securities Trust, Ser 2005-4, Cl A4 1.595%, 12/26/08 (A) 16,578 16,498 Thornburg Mortgage Securities Trust, Ser 2006-1, Cl A3 1.565%, 12/26/08 (A) 17,002 16,849 Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 2A1 6.216%, 01/25/09 (A) 8,128 5,686 Thornburg Mortgage Securities Trust, Ser 2007-4, Cl 3A1 6.203%, 01/25/09 (A) 7,561 5,246 US Bank National Mortgage Association, Ser 2007-1, Cl A 5.920%, 05/25/12 7,770 8,334 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C1, Cl A4 6.287%, 04/15/34 2,587 2,287 Wachovia Bank Commercial Mortgage Trust, Ser 2002-C2, Cl A4 4.980%, 11/15/34 5,996 4,940 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C5, Cl A2 3.989%, 06/15/35 955 753 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C6, Cl A3 4.957%, 01/15/09 (A) 4,281 3,833 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C7, Cl A1 4.241%, 10/15/35 (B) 524 478 Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A3 4.445%, 11/15/35 1,021 931
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 130
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Wachovia Bank Commercial Mortgage Trust, Ser 2004-C10, Cl A4 4.748%, 02/15/41 $ 3,585 $ 2,720 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C18, Cl A4 4.935%, 04/15/42 1,945 1,398 Wachovia Bank Commercial Mortgage Trust, Ser 2005-C20, Cl A4 5.285%, 01/15/09 (A) 280 257 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl A3 6.011%, 01/15/09 (A) 3,067 1,967 Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl APB 5.997%, 06/15/45 2,738 2,054 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR13, Cl 2A 4.269%, 01/25/09 (A) 1,785 913 WaMu Mortgage Pass-Through Certificates, Ser 2007-HY3, Cl 4A1 5.349%, 01/25/09 (A) 563 343 WaMu Mortgage Pass-Through Certificates, Ser 2002-AR18, Cl A 6.160%, 01/25/09 (A) 441 351 WaMu Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A 5.000%, 02/25/18 1,035 995 WaMu Mortgage Pass-Through Certificates, Ser 2003-S13, Cl 22A1 5.000%, 12/25/18 857 807 WaMu Mortgage Pass-Through Certificates, Ser 2005-AR11, Cl A1A 1.715%, 12/25/08 (A) 192 80 WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A1 1.685%, 12/25/08 (A) 4,858 1,974 WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A2 1.675%, 12/25/08 (A) 7,500 3,090 WaMu Mortgage Pass-Through Certificates, Ser 2005-AR16, Cl 1A4A 5.103%, 01/25/09 (A) 13,585 9,488 WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A2 1.685%, 12/25/08 (A) 7,392 3,360 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B 3.549%, 01/25/09 (A) 3,668 807 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR12, Cl 1A1 6.063%, 01/25/09 (A) (H) 1,637 1,357 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4 5.635%, 01/25/09 (A) 603 308
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A1B 3.319%, 01/25/09 (A) $ 2,115 $ 536 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 2A1B 3.979%, 01/25/09 (A) 2,329 466 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR15, Cl 1A 3.319%, 01/25/09 (A) 3,667 1,278 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR16, Cl 2A4 5.637%, 01/25/09 (A) 499 224 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B 3.289%, 01/25/09 (A) 708 206 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A 4.193%, 01/25/09 (A) 794 318 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR18, Cl 2A3 5.491%, 01/25/09 (A) 1,535 996 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR4, Cl DA 3.449%, 01/25/09 (A) 1,640 656 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR5, Cl A1A 3.469%, 01/25/09 (A) 2,456 811 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl A1B 3.399%, 01/25/09 (A) 1,237 329 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR7, Cl 1A 3.645%, 01/25/09 (A) 369 134 WaMu Mortgage Pass-Through Certificates, Ser 2007-0A4, Cl 1A 3.249%, 01/25/09 (A) 1,135 487 WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 1A1 5.710%, 01/25/09 (A) 8,175 4,391 WaMu Mortgage Pass-Through Certificates, Ser 2007-HY1, Cl 4A1 5.454%, 01/25/09 (A) 10,757 6,902 WaMu Mortgage Pass-Through Certificates, Ser 2007-HY3, Cl 1A1 5.659%, 01/25/09 (A) 9,230 4,557 WaMu Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl 3A2 5.814%, 01/25/09 (A) 4,684 2,607 WaMu Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl 2A1 5.691%, 01/25/09 (A) 3,753 1,721 WaMu Mortgage Pass-Through Certificates, Ser 2007-HY6, Cl 1A1 5.665%, 01/25/09 (A) 1,669 854
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 131 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- WaMu Mortgage Pass-Through Certificates, Ser 2007-HY7, Cl 2A1 5.866%, 01/25/09 (A) $ 1,452 $ 681 WaMu Mortgage Pass-Through Certificates, Ser 2007-HY7, Cl 3A1 5.898%, 01/25/09 (A) 861 427 WaMu Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl A1B 3.319%, 01/25/09 (A) 18,217 6,715 WaMu Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl 1A1B 3.229%, 01/25/09 (A) 669 193 WaMu Mortgage Pass-Through Certificates, Ser 2007-OA5, Cl 1A 3.229%, 01/25/09 (A) 16,310 7,859 WaMu Mortgage Pass-Through Certificates, Ser 2007-OA6, Cl 1A1B 3.289%, 01/25/09 (A) 782 230 WaMu Mortgage Pass-Through Certificates, Ser 2007-OA6, Cl 1A 3.289%, 01/25/09 (A) 14,436 6,148 WaMu Mortgage Pass-Through Certificates, Ser 2009-AR19, Cl 1A 3.219%, 01/25/09 (A) 2,684 936 Wells Fargo Alternative Loan Trust, Ser 2007-PA2, Cl 1A5 6.000%, 06/25/37 873 368 Wells Fargo Alternative Loan Trust, Ser 2007-PA5, Cl 1A2 6.250%, 11/25/37 448 205 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl A1 4.530%, 01/25/09 (A) 5,282 3,885 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-L, Cl A5 4.786%, 01/25/09 (A) 881 653 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-L, Cl A6 4.786%, 01/25/09 (A) 895 630 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-O, Cl A1 4.895%, 01/25/09 (A) 1,092 781 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-S, Cl A7 3.732%, 01/25/09 (A) 780 759 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR10, Cl 2A17 3.617%, 01/25/09 (A) 2,085 2,015 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR14, Cl A1 5.387%, 01/25/09 (A) 1,256 860 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 7A1 5.258%, 01/25/09 (A) 3,588 2,533
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-2, Cl 3A1 5.750%, 03/25/36 $ 14,899 $ 11,421 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-7, Cl 3A1 6.000%, 06/25/36 681 508 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR18, Cl 1A1 5.927%, 01/25/09 (A) 1,544 995 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR19, Cl A1 5.630%, 01/25/09 (A) 1,360 858 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 7A1 5.113%, 01/25/09 (A) 2,640 1,844 Wells Fargo Mortgage-Backed Securities Trust, Ser 2007-R9, Cl A1 6.000%, 01/25/09 (A) 1,683 1,010 Zuni Mortgage Loan Trust, Ser 2006-OA1, Cl A1 1.525%, 12/26/08 (A) 6,919 6,494 ------------- 799,268 ------------- Total Mortgage-Backed Securities (Cost $4,012,336) ($ Thousands) 3,760,375 ------------- CORPORATE OBLIGATIONS -- 23.1% CONSUMER DISCRETIONARY -- 1.9% British Sky Broadcasting Group 9.500%, 11/15/18 (B) 2,465 2,478 Clear Channel Communications 6.250%, 03/15/11 (C) 2,740 767 4.250%, 05/15/09 1,040 928 Comcast 6.950%, 08/15/37 358 301 6.500%, 01/15/15 3,635 3,331 6.500%, 01/15/17 2,707 2,443 6.400%, 05/15/38 365 287 6.300%, 11/15/17 349 307 5.900%, 03/15/16 339 296 5.850%, 11/15/15 733 641 5.700%, 05/15/18 2,853 2,396 Comcast Cable Communications 8.375%, 03/15/13 11,210 11,197 6.750%, 01/30/11 1,840 1,816 COX Communications 7.875%, 08/15/09 440 425 6.950%, 06/01/38 (B) 646 517 6.250%, 06/01/18 (B) 1,711 1,467 CVS 5.789%, 01/10/26 (B) 2,055 1,621 CVS Lease Pass-Through 6.036%, 12/10/28 (B) 10,363 8,226 5.880%, 01/10/28 (B) 184 144
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 132
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Daimler Finance North America LLC MTN 3.169%, 12/15/08 (A) $ 4,725 $ 4,506 DaimlerChrysler 8.500%, 01/18/31 910 675 7.300%, 01/15/12 1,995 1,633 6.500%, 11/15/13 6,275 4,714 Eastman Kodak 7.250%, 11/15/13 2,445 1,736 Ford Motor 7.450%, 07/16/31 (C) 2,770 693 Home Depot 5.875%, 12/16/36 1,831 1,184 JetBlue Airways Private Trust, Ser 2004-2, Cl G1 2.524%, 02/17/09 (A) 3,987 2,847 Macy's Retail Holdings 5.350%, 03/15/12 1,617 1,133 McDonald's MTN 6.300%, 10/15/37 1,253 1,185 5.350%, 03/01/18 6,930 6,789 Rogers Cable 5.500%, 03/15/14 1,160 1,052 Target 4.000%, 06/15/13 355 314 Thomson Reuters 6.500%, 07/15/18 337 308 5.950%, 07/15/13 2,433 2,310 Time Warner 7.700%, 05/01/32 5,349 4,627 6.875%, 05/01/12 350 322 Time Warner Cable 8.750%, 02/14/19 10,528 10,360 7.300%, 07/01/38 630 525 6.750%, 07/01/18 1,081 948 6.200%, 07/01/13 710 652 5.850%, 05/01/17 1,230 1,033 5.500%, 11/15/11 1,140 1,028 Time Warner Entertainment 8.375%, 07/15/33 2,395 2,059 Viacom 6.875%, 04/30/36 1,712 1,238 Wal-Mart Stores 6.200%, 04/15/38 1,550 1,484 5.800%, 02/15/18 3,360 3,504 Walt Disney 4.700%, 12/01/12 1,306 1,283 Yum! Brands 6.875%, 11/15/37 2,385 1,667 ------------- 101,397 -------------
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- CONSUMER STAPLES -- 1.2% Altria Group 9.950%, 11/10/38 $ 5,424 $ 5,385 9.700%, 11/10/18 14,150 14,341 Anheuser-Busch 5.500%, 01/15/18 761 666 4.625%, 02/01/15 479 416 4.500%, 04/01/18 786 632 CVS 5.750%, 06/01/17 366 318 Diageo Capital 7.375%, 01/15/14 8,280 8,628 5.750%, 10/23/17 930 841 5.200%, 01/30/13 1,570 1,504 Dr Pepper Snapple Group 7.450%, 05/01/38 (B) 821 727 6.820%, 05/01/18 (B) 3,342 3,161 Kraft Foods 7.000%, 08/11/37 1,657 1,476 6.500%, 08/11/17 323 307 6.125%, 02/01/18 6,161 5,679 6.125%, 08/23/18 1,995 1,832 Kroger 6.800%, 12/15/18 243 229 PepsiCo 7.900%, 11/01/18 6,216 6,948 Philip Morris Capital 7.500%, 07/16/09 1,155 1,158 Philip Morris International 6.375%, 05/16/38 535 460 5.650%, 05/16/18 848 761 Reynolds American 7.875%, 05/15/09 (C) 1,630 1,604 Safeway 6.350%, 08/15/17 5,196 4,841 ------------- 61,914 ------------- ENERGY -- 2.7% Anadarko Finance, Ser B 7.500%, 05/01/31 5,363 4,353 Anadarko Petroleum 6.450%, 09/15/36 1,665 1,289 5.950%, 09/15/16 6,320 5,536 3.219%, 12/15/08 (A) 4,650 4,457 Apache 6.000%, 09/15/13 3,300 3,361 5.625%, 01/15/17 390 368 Baker Hughes 7.500%, 11/15/18 5,380 5,644 Conoco Funding 7.250%, 10/15/31 885 859 6.950%, 04/15/29 3,685 3,504 6.350%, 10/15/11 430 442
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 133 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- ConocoPhillips 5.900%, 10/15/32 $ 10 $ 9 5.900%, 05/15/38 700 589 Devon Financing 6.875%, 09/30/11 4,965 4,983 El Paso 6.950%, 06/01/28 2,250 1,267 El Paso Natural Gas 5.950%, 04/15/17 930 713 Energy Transfer Partners 6.700%, 07/01/18 4,900 4,060 Florida Power 6.400%, 06/15/38 2,160 2,076 Gaz Capital for Gazprom 6.510%, 03/07/22 (B) 4,640 2,366 6.212%, 11/22/16 (B) 8,377 4,901 Hess 7.875%, 10/01/29 1,130 1,009 7.300%, 08/15/31 4,595 3,836 Husky Energy 6.800%, 09/15/37 980 717 Husky Oil 7.550%, 11/15/16 1,215 1,116 KazMunaiGaz Finance MTN 8.375%, 07/02/13 (B) 5,870 4,461 Kerr-McGee 6.950%, 07/01/24 2,325 1,926 Kinder Morgan Energy Partners 7.125%, 03/15/12 1,760 1,687 6.950%, 01/15/38 3,660 2,729 6.000%, 02/01/17 3,140 2,691 5.950%, 02/15/18 2,570 2,127 5.000%, 12/15/13 1,190 1,020 Knight 6.500%, 09/01/12 8,190 6,552 Mantis Reef 4.799%, 11/03/09 (B) 1,397 1,395 Northwest Pipeline 6.050%, 06/15/18 990 850 Occidental Petroleum 7.000%, 11/01/13 (C) 7,060 7,606 Panhandle Eastern Pipeline 6.200%, 11/01/17 784 606 Pemex Project Funding Master Trust 6.625%, 06/15/35 (B) 140 105 6.625%, 06/15/35 (C) 5,622 4,227 Petrobras International Finance 6.125%, 10/06/16 3,790 3,458 5.875%, 03/01/18 5,180 4,484 Petro-Canada 6.800%, 05/15/38 1,740 1,237 Plains All American Pipeline 6.500%, 05/01/18 2,584 1,987
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Ras Laffan Liquefied Natural Gas III 6.332%, 09/30/27 (B) $ 2,340 $ 1,682 Sonat 7.625%, 07/15/11 2,880 2,382 Southern Natural Gas 5.900%, 04/01/17 (H) (I) (J) 2,375 1,817 Spectra Energy Capital LLC 7.500%, 09/15/38 1,915 1,461 TransCanada Pipelines 7.250%, 08/15/38 1,300 1,119 Transcontinental Gas Pipe Line 6.050%, 06/15/18 1,148 986 Transocean 6.000%, 03/15/18 2,511 2,223 Weatherford International 7.000%, 03/15/38 865 668 6.350%, 06/15/17 1,790 1,546 5.950%, 06/15/12 1,465 1,350 Williams 8.750%, 03/15/32 2,170 1,584 7.750%, 06/15/31 740 499 Williams, Ser A 7.500%, 01/15/31 20 13 XTO Energy 7.500%, 04/15/12 1,320 1,303 6.750%, 08/01/37 390 321 6.500%, 12/15/18 2,970 2,742 5.750%, 12/15/13 5,025 4,723 5.650%, 04/01/16 390 344 5.500%, 06/15/18 5,622 4,862 ------------- 138,228 ------------- FINANCIALS -- 10.5% ABX Financing 6.350%, 10/15/36 (B) 5,200 4,185 Ace INA Holdings 6.700%, 05/15/36 610 474 5.700%, 02/15/17 1,290 1,086 Aegon, Ser CMS 4.567%, 01/15/09 (A) 2,180 590 Aiful 5.000%, 08/10/10 (B) 2,620 1,712 4.450%, 02/16/10 (B) 3,322 2,463 Allied Capital (H) 6.625%, 07/15/11 6,930 5,250 Allied World Assurance Holdings 7.500%, 08/01/16 2,000 1,569 American Express 8.150%, 03/19/38 1,724 1,600 7.000%, 03/19/18 889 771 6.800%, 03/01/09 (A) 1,725 951 5.875%, 05/02/13 (C) 2,100 1,888
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 134
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- American Express Bank 5.500%, 04/16/13 (C) $ 4,165 $ 3,692 American General Finance MTN 6.900%, 12/15/17 2,300 950 American International Group 8.250%, 08/15/18 (B) (C) 880 588 6.250%, 03/15/37 5,000 1,368 5.850%, 01/16/18 4,246 2,521 ASIF Global Financing XIX 4.900%, 01/17/13 (B) 450 330 Australia & New Zealand Banking Group 3.588%, 04/30/09 (A) 1,400 896 BAC Capital Trust XIV 5.630%, 03/15/09 (A) 2,287 962 Bank of America 8.125%, 05/15/09 (A) 1,287 904 8.000%, 01/30/09 (A) (C) 7,748 5,381 5.750%, 12/01/17 2,270 2,117 5.650%, 05/01/18 5,581 5,173 5.420%, 03/15/17 2,500 2,147 5.375%, 06/15/14 1,060 1,007 Bank of Ireland 3.500%, 12/22/08 (A) 1,030 618 Bank of Scotland 2.750%, 05/29/09 (A) 330 121 Bank One 7.875%, 08/01/10 4,440 4,566 BankAmerica Capital II, Ser 2 8.000%, 12/15/26 402 342 Banponce Trust I, Ser A 8.327%, 02/01/27 2,590 2,179 Barclays Bank 6.050%, 12/04/17 (B) 1,154 984 3.313%, 02/27/09 (A) 380 198 3.250%, 01/20/09 (A) 780 462 Barclays O/S Investment 2.875%, 05/18/09 (A) 160 102 Barnett Capital III 3.818%, 02/01/09 (A) 600 286 Bear Stearns 7.250%, 02/01/18 3,960 4,009 6.400%, 10/02/17 11,020 10,582 BNP Paribas 3.998%, 03/31/09 (A) 1,080 561 BP Capital Markets 5.250%, 11/07/13 7,600 7,624 BRE Properties 7.450%, 01/15/11+++ 3,100 2,839 Capital One Financial MTN 3.097%, 12/10/08 (A) 2,180 2,012 Caterpillar Financial Services MTN 6.200%, 09/30/13 5,640 5,640 5.450%, 04/15/18 (C) 1,912 1,686
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Cedar Brakes II LLC 9.875%, 09/01/13 (B) $ 4,383 $ 4,553 Citigroup 8.400%, 04/30/09 (A) 8,968 5,295 6.875%, 03/05/38 (C) 12,160 11,289 6.500%, 08/19/13 14,105 13,447 6.125%, 05/15/18 3,700 3,382 5.500%, 02/15/17 10,000 8,094 5.500%, 04/11/13 4,479 4,076 5.000%, 09/15/14 2,890 2,370 3.625%, 02/09/09 2,590 2,565 Citigroup Capital XXI 8.300%, 12/21/08 (A) 6,050 3,649 Countrywide Financial MTN 5.800%, 06/07/12 5,353 5,081 4.000%, 03/22/11 5,750 5,369 3.418%, 12/24/08 (A) 8,284 8,199 Credit Suisse First Boston 6.000%, 02/15/18 (C) 11,015 9,314 5.000%, 05/15/13 (C) 7,985 7,529 4.000%, 12/31/08 (A) 655 426 Danske Bank 5.914%, 12/16/08 (A) (B) 536 348 Delta Air Lines 6.619%, 03/18/11 369 310 DEN Norske Creditbank 2.500%, 02/27/09 (A) 390 194 Depfa ACS Bank 5.125%, 03/16/37 (B) 4,200 4,026 Deutsche Bank Capital Funding Trust 5.628%, 01/19/09 (A) (B) 4,789 3,045 Dresdner Funding Trust I 8.151%, 06/30/31 (B) 1,336 674 Eksportfinans 5.500%, 05/25/16 4,250 4,423 Equity One 3.875%, 04/15/09+++ 7,100 6,880 Export-Import Bank of Korea 5.500%, 10/17/12 3,415 3,021 Farmers Exchange Capital 7.200%, 07/15/48 (B) 3,582 2,318 7.050%, 07/15/28 (B) 1,063 722 Farmers Insurance Exchange 8.625%, 05/01/24 (B) 4,118 2,930 Fifth Third Bancorp 8.250%, 03/01/38 994 782 First Industrial MTN 7.500%, 12/01/17 2,765 1,752 Ford Motor Credit LLC 7.875%, 06/15/10 7,200 3,670 7.375%, 10/28/09 15,740 9,610 Fund American 5.875%, 05/15/13 1,448 1,082
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 135 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- General Electric Capital 6.375%, 05/15/09 (A) $ 8,380 $ 5,361 6.150%, 08/07/37 1,450 1,228 5.875%, 01/14/38 1,347 1,103 5.625%, 05/01/18 (C) 4,800 4,434 3.079%, 12/15/08 (A) 6,550 5,228 General Electric Capital, Ser A MTN 3.750%, 12/15/09 3,573 3,534 Glen Meadow Pass-Through Trust 6.505%, 02/15/09 (A) (B) 2,900 1,439 Glitnir Banki 7.451%, 09/14/16 (B) 500 1 6.693%, 06/15/16 (B) 4,480 6 6.375%, 09/25/12 (B) 3,100 108 6.330%, 07/28/11 (B) 2,440 85 GMAC LLC 7.750%, 01/19/10 (C) 2,370 1,257 7.250%, 03/02/11 (C) 2,755 1,125 5.625%, 05/15/09 (C) 7,680 5,292 5.011%, 03/02/09 (A) 8,259 2,478 Goldman Sachs Capital II 5.793%, 06/01/09 (A) 21,320 8,006 Goldman Sachs Group 6.750%, 10/01/37 6,175 3,959 6.600%, 01/15/12 2,630 2,457 6.150%, 04/01/18 7,500 6,119 5.450%, 11/01/12 2,250 2,007 5.319%, 01/12/09 (A) 3,000 2,289 5.150%, 01/15/14 2,600 2,219 5.125%, 01/15/15 2,415 1,974 4.500%, 06/15/10 (C) 450 425 4.459%, 01/22/09 (A) 1,000 786 HBOS 6.750%, 05/21/18 (B) (C) 2,400 1,994 5.920%, 04/01/09 (A) (B) 8,400 4,228 5.375%, 05/01/09 (A) (B) 962 499 HBOS Capital Funding 6.071%, 12/31/08 (A) (B) 1,920 885 HCP 6.000%, 01/30/17+++ 6,000 3,389 5.650%, 12/15/13+++ 4,035 2,411 Highwoods Properties 7.500%, 04/15/18+++ 1,339 938 Hongkong & Shanghai Banking 3.813%, 01/26/09 (A) 750 397 HSBC Bank, Ser 1M 3.438%, 12/31/08 (A) 230 122 HSBC Bank, Ser 3M 3.288%, 12/23/08 (A) 2,320 1,230 HSBC Finance 8.000%, 07/15/10 2,330 2,311 7.000%, 05/15/12 1,975 1,899 6.375%, 11/27/12 365 346
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- HSBC Holdings 6.800%, 06/01/38 (C) $ 1,825 $ 1,527 HVB Funding Trust III 9.000%, 10/22/31 (B) 1,226 493 ILFC E-Capital Trust II 6.250%, 12/21/08 (A) (B) 1,200 409 Intergas Finance 6.375%, 05/14/17 (B) 4,853 2,669 John Deere Capital MTN 5.750%, 09/10/18 853 758 5.350%, 04/03/18 660 583 JPMorgan Chase 7.900%, 04/30/09 (A) 9,264 7,252 6.400%, 05/15/38 7,900 7,746 6.000%, 10/01/17 2,855 2,649 5.750%, 01/02/13 3,670 3,544 5.150%, 10/01/15 240 220 5.125%, 09/15/14 445 405 JPMorgan Chase Capital XIII 4.712%, 12/30/08 (A) 1,440 1,061 JPMorgan Chase Capital XVIII 6.950%, 08/17/36 990 707 JPMorgan Chase Capital XX 6.550%, 09/29/36 709 514 JPMorgan Chase Capital XXV 6.800%, 10/01/37 3,785 2,789 Kaupthing Bank 7.625%, 02/28/15 (B) 8,130 325 7.125%, 05/19/16 (B) (D) 12,000 120 5.750%, 10/04/11 (B) 1,120 67 Landsbanki Islands 6.100%, 08/25/11 (B) 6,520 65 Lazard Group 7.125%, 05/15/15 5,095 3,164 6.850%, 06/15/17 3,725 2,214 Lehman Brothers Holdings MTN 14.500%, 12/20/08 (A) (D) 4,940 503 11.000%, 05/07/09 (A) (D) 5,269 537 8.920%, 02/16/17 (D) 3,023 308 6.750%, 12/28/17 (D) 10,370 1 6.500%, 07/19/17 (D) 4,040 -- 6.200%, 09/26/14 (D) 1,560 156 5.250%, 02/06/12 (D) 965 97 Lehman Brothers Holdings Capital Trust V MTN 5.857%, 11/29/49 (D) 20,630 2 Lehman Brothers Holdings, Ser H MTN 12.500%, 11/30/08 (A) (D) 3,736 381 Liberty Mutual Group 7.500%, 08/15/36 (H) 2,479 1,586 Liberty Property 7.750%, 04/15/09+++ 1,026 1,018 6.375%, 08/15/12+++ 397 344
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 136
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Lloyds TSB Bank 3.500%, 12/19/08 (A) $ 870 $ 451 Lloyds TSB Bank, Ser 2 2.375%, 02/27/09 (A) 760 400 Mangrove Bay Pass-Through Trust 6.102%, 07/15/33 (B) 2,095 546 Merna Reinsurance 5.512%, 12/31/08 (A) (B) 4,950 4,587 Merrill Lynch MTN 8.950%, 05/18/09 (A) 4,315 3,236 8.680%, 05/02/09 (A) 4,160 3,385 6.875%, 04/25/18 7,170 6,763 MetLife 6.817%, 08/15/18 (C) 2,500 2,182 6.400%, 12/15/36 10,010 5,403 6.375%, 06/15/34 538 420 MetLife Capital Trust IV 7.875%, 12/15/37 (B) 1,125 656 MetLife Capital Trust X 9.250%, 04/08/09 (A) (B) 2,700 1,796 Morgan Stanley MTN 6.750%, 04/15/11 3,362 3,169 6.625%, 04/01/18 14,965 12,411 6.250%, 08/28/17 2,815 2,303 5.950%, 12/28/17 3,655 2,941 5.300%, 03/01/13 2,050 1,752 5.050%, 01/21/11 1,050 992 5.033%, 01/15/09 (A) 2,250 2,100 4.953%, 01/20/09 (A) 7,725 5,336 4.750%, 04/01/14 2,270 1,646 MUFG Capital Finance 1 6.346%, 01/25/09 (A) 1,840 1,335 National Australia Bank 5.350%, 06/12/13 (B) 4,250 4,013 National Capital Trust II 5.486%, 12/17/08 (A) (B) 3,207 1,955 National City 6.875%, 05/15/19 4,000 3,202 National City Preferred Capital Trust I 12.000%, 12/10/08 (A) 331 304 National Rural Utilities Cooperative Finance 10.375%, 11/01/18 1,741 1,853 National Westminster Bank 3.313%, 02/23/09 (A) 740 407 National Westminster Bank, Ser C 2.438%, 02/27/09 (A) 160 88 Nationwide Mutual Insurance 6.600%, 04/15/34 (B) 2,483 1,168 NB Capital Trust IV 8.250%, 04/15/27 4,865 4,028 North Front Pass-Through Trust MTN 5.810%, 12/15/08 (A) (B) 5,291 2,460
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Paribas 3.438%, 12/29/08 (A) $ 693 $ 414 Pemex Finance 9.690%, 08/15/09 375 376 PNC Funding 5.250%, 11/15/15 2,575 2,367 Power Receivables Finance 6.290%, 01/01/12 (B) 800 780 6.290%, 01/01/12 2,532 2,471 Prime Property Fund 5.600%, 06/15/11+++ (B) 3,380 2,979 5.500%, 01/15/14+++ (B) 5,000 3,817 Progressive 6.700%, 12/15/08 (A) 1,442 766 Prudential Financial MTN 6.625%, 12/01/37 (C) 1,294 917 6.000%, 12/01/17 775 615 5.700%, 12/14/36 351 210 Rabobank Capital Funding II 5.260%, 12/31/08 (A) (B) 1,171 757 Rabobank Capital Funding Trust 5.254%, 12/31/08 (A) (B) 440 289 RBS Capital Trust III 5.512%, 03/31/09 (A) 400 185 Residential Capital LLC 9.625%, 05/15/15 (B) 1,952 200 8.500%, 05/15/10 (B) (C) 4,741 1,375 Resona Preferred Global Securities Cayman 7.191%, 07/30/49 (A) (B) (C) 2,590 1,303 Royal Bank of Canada 3.399%, 12/21/08 (A) 1,010 772 Royal Bank of Scotland Group 7.640%, 03/31/09 (A) 1,300 628 6.990%, 04/05/09 (A) (B) 2,230 1,230 3.375%, 12/23/08 (A) 2,530 1,569 RSHB Capital 6.299%, 05/15/17 (B) 5,600 2,883 Security Benefit Life Insurance 8.750%, 05/15/16 (B) 5,200 5,673 Shinsei Finance Cayman 6.418%, 01/29/49 (A) (B) (C) 4,960 1,166 Simon Property Group 5.750%, 05/01/12+++ (C) 1,875 1,464 3.750%, 01/30/09+++ 3,000 2,955 SMFG Preferred Capital 6.078%, 01/25/17 (A) (B) 6,810 4,716 Societe Generale 2.625%, 05/29/09 (A) 180 110 2.625%, 05/29/09 (A) 680 414 Standard Chartered 3.463%, 12/16/08 (A) 200 125 Standard Chartered, Ser 1 4.438%, 01/20/09 (A) 1,840 1,150
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 137 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Standard Chartered, Ser 2 2.813%, 05/28/09 (A) $ 2,800 $ 1,736 Standard Chartered, Ser 4 3.275%, 01/20/09 (A) 290 181 Stingray Pass-Through Trust MTN 5.902%, 01/12/15 (B) 3,600 432 SunTrust Capital VIII 6.100%, 12/15/08 (A) (C) 5,450 3,455 SunTrust Preferred Capital I 5.853%, 12/15/08 (A) 17,379 7,821 TNK-BP Finance MTN 7.875%, 03/13/18 (B) 2,140 920 7.500%, 07/18/16 140 65 7.500%, 07/18/16 (B) 3,750 1,650 6.625%, 03/20/17 (B) 1,750 717 Toll Road Investors Partnership II 5.050%, 02/15/45 (B) (E) 5,923 669 Travelers 6.250%, 03/15/09 (A) 5,890 3,256 Twin Reefs Pass-Through Trust 2.768%, 12/10/08 (A) (B) 641 33 UDR MTN 5.000%, 01/15/12+++ 2,000 1,393 USB Capital IX 6.189%, 04/15/09 (A) 1,518 789 Wachovia 7.980%, 03/15/09 (A) 562 403 5.250%, 08/01/14 250 207 Wachovia Bank 6.600%, 01/15/38 840 720 6.000%, 11/15/17 6,800 6,006 Wachovia Capital Trust III 5.800%, 03/15/09 (A) 4,027 1,732 WEA Finance LLC 7.125%, 04/15/18 (B) (C) 10,560 7,216 Wells Fargo 5.000%, 11/15/14 1,145 1,117 Wells Fargo Capital X 5.950%, 12/15/36 (C) 960 735 Wells Fargo Capital XV 9.750%, 03/26/09 (A) (C) 8,833 8,347 Westfield Capital 4.375%, 11/15/10 (B) 4,600 3,693 Westfield Group 5.400%, 10/01/12 (B) 2,563 2,005 Westpac Banking 4.056%, 03/31/09 (A) 870 572 Westpac Capital Trust IV 5.256%, 03/31/09 (A) (B) 1,259 748 Woodbourne Capital Trust I 2.723%, 12/08/08 (A) (B) 625 356 Woodbourne Capital Trust II 2.723%, 12/08/08 (A) (B) 625 356
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Woodbourne Capital Trust III 2.723%, 12/08/08 (A) (B) $ 625 $ 356 Woodbourne Capital Trust IV 2.723%, 12/08/08 (A) (B) 625 356 ZFS Finance USA Trust I 6.150%, 12/15/08 (A) (B) 2,549 1,669 ------------- 551,269 ------------- HEALTH CARE -- 0.8% Abbott Laboratories 5.600%, 11/30/17 470 470 AstraZeneca 5.400%, 09/15/12 1,320 1,366 5.400%, 06/01/14 1,065 1,088 Bristol-Myers Squibb 6.125%, 05/01/38 1,101 1,024 Cardinal Health 5.850%, 12/15/17 4,875 4,096 Coventry Health Care 5.950%, 03/15/17 3,870 2,020 GlaxoSmithKline 5.650%, 05/15/18 7,510 7,238 GlaxoSmithKline Capital 6.375%, 05/15/38 2,300 2,176 HCA 5.750%, 03/15/14 5,548 3,190 Humana 7.200%, 06/15/18 (C) 1,270 1,044 Schering-Plough 6.550%, 09/15/37 (C) 2,755 2,439 Tenet Healthcare 7.375%, 02/01/13 168 116 UnitedHealth Group 6.875%, 02/15/38 (C) 3,864 2,989 WellPoint 5.875%, 06/15/17 330 283 Wyeth 6.950%, 03/15/11 7,029 7,270 5.950%, 04/01/37 3,610 3,289 ------------- 40,098 ------------- INDUSTRIALS -- 1.5% Air 2 US 8.027%, 10/01/19 (B) 3,096 2,167 America West Airlines, Ser 99-1 7.930%, 01/02/19 1,545 1,150 American Airlines, Ser 99-1 7.024%, 10/15/09 2,320 2,192 Burlington Northern Santa Fe 6.200%, 08/15/36 412 344 6.150%, 05/01/37 (C) 523 433 5.750%, 03/15/18 2,175 1,983
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 138
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Cedar Brakes I LLC 8.500%, 02/15/14 (B) $ 1,306 $ 1,236 Continental Airlines 5.983%, 04/19/22 3,329 2,214 Continental Airlines, Ser 971A 7.461%, 04/01/15 1,474 1,105 Continental Airlines, Ser 99-2 7.256%, 03/15/20 1,262 959 Continental Airlines, Ser AMBC 6.236%, 03/15/20 2,045 1,370 CSX 7.450%, 04/01/38 1,461 1,275 6.250%, 04/01/15 930 867 6.250%, 03/15/18 972 853 Delta Air Lines 7.379%, 05/18/10 (C) 1,603 1,474 6.821%, 08/10/22 2,431 1,531 Delta Air Lines, Ser 2001-1 7.111%, 09/18/11 14,850 11,806 General Electric 5.250%, 12/06/17 1,700 1,558 Honeywell International 5.300%, 03/01/18 857 823 Hutchison Whampoa International 7.450%, 11/24/33 (B) 1,405 1,146 News America 6.650%, 11/15/37 (B) 1,422 1,140 6.650%, 11/15/37 (C) 260 209 6.200%, 12/15/34 (C) 315 239 Nordstrom 7.000%, 01/15/38 1,720 1,093 Norfolk Southern 7.250%, 02/15/31 2,013 1,906 7.050%, 05/01/37 (C) 221 217 5.750%, 04/01/18 178 163 Northwest Airlines, Ser 1A-2 6.841%, 04/01/11 4,500 3,690 Tyco International Group 7.000%, 12/15/19 (C) 1,875 1,546 6.875%, 01/15/21 6,490 5,051 6.750%, 02/15/11 1,170 1,131 6.375%, 10/15/11 5,490 5,081 6.125%, 01/15/09 120 120 6.000%, 11/15/13 1,945 1,684 Union Pacific 7.875%, 01/15/19 (C) 1,166 1,237 6.625%, 02/01/29 947 843 5.700%, 08/15/18 1,253 1,155 United Air Lines 6.602%, 09/01/13 800 768 United Parcel Service 4.500%, 01/15/13 (C) 7,640 7,769
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- United Technologies 6.500%, 06/01/09 $ 1,670 $ 1,691 5.400%, 05/01/35 670 559 Waste Management 7.375%, 05/15/29 5 4 7.125%, 12/15/17 4,840 4,876 7.100%, 08/01/26 1,375 1,061 ------------- 79,719 ------------- INFORMATION TECHNOLOGY -- 0.4% Corning 7.250%, 08/15/36 (H) 935 695 Electronic Data Systems 7.125%, 10/15/09 2,990 3,025 Hewlett-Packard 5.500%, 03/01/18 (C) 1,156 1,072 International Business Machines 8.000%, 10/15/38 1,242 1,380 7.625%, 10/15/18 3,849 4,137 Lexmark International 6.650%, 06/01/18 803 625 5.900%, 06/01/13 913 730 Oracle 5.750%, 04/15/18 3,813 3,574 5.250%, 01/15/16 708 672 Xerox 6.350%, 05/15/18 (C) 3,390 2,431 5.500%, 05/15/12 1,940 1,550 ------------- 19,891 ------------- MATERIALS -- 0.6% Alcoa 6.000%, 07/15/13 6,265 5,376 Codelco 4.750%, 10/15/14 (B) 900 823 Freeport-McMoRan Copper & Gold 8.375%, 04/01/17 7,725 5,485 International Paper 8.700%, 06/15/38 932 621 7.950%, 06/15/18 1,305 1,024 PPG Industries 6.650%, 03/15/18 615 582 5.750%, 03/15/13 615 593 Rio Tinto Finance USA 6.500%, 07/15/18 7,890 5,423 5.875%, 07/15/13 5,225 4,061 Stauffer Chemical 6.725%, 04/15/18 (E) 860 472 6.701%, 04/15/17 (E) 350 199 4.520%, 04/15/10 (E) 300 275
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 139 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Vale Overseas 8.250%, 01/17/34 $ 210 $ 202 6.875%, 11/21/36 7,748 6,312 Weyerhaeuser 6.750%, 03/15/12 410 351 ------------- 31,799 ------------- SOVEREIGN -- 0.4% Canadian Government Bond 4.000%, 12/01/31 1,228 1,201 Deutsche Bundesrepublik 3.750%, 01/04/15 6,750 8,990 Russian Federation Registered 7.500%, 03/31/30 1,055 876 United Mexican States MTN 7.500%, 04/08/33 218 206 5.625%, 01/15/17 84 75 United Mexican States, Ser A MTN 6.750%, 09/27/34 (C) 9,488 8,492 5.875%, 01/15/14 860 817 ------------- 20,657 ------------- TELECOMMUNICATION SERVICES -- 1.5% America Movil 5.625%, 11/15/17 2,350 1,971 AT&T 6.700%, 11/15/13 1,194 1,189 6.400%, 05/15/38 (C) 1,347 1,107 5.100%, 09/15/14 4,735 4,247 BellSouth 4.750%, 11/15/12 190 178 Bellsouth Telecommunications 7.000%, 12/01/95 2,415 1,638 British Telecommunications 9.125%, 12/15/30 2,595 2,437 8.375%, 12/15/10 1,310 1,308 5.950%, 01/15/18 449 383 Cellco Partnership 8.500%, 11/15/18 (B) (I) 7,241 7,306 7.375%, 11/15/13 (B) (C) (I) 5,145 5,097 Deutsche Telekom International Finance 5.875%, 08/20/13 302 273 5.750%, 03/23/16 2,175 1,890 Embarq 7.995%, 06/01/36 (C) 1,754 1,000 6.738%, 06/01/13 540 427 France Telecom 8.500%, 03/01/31 362 362 7.750%, 03/01/11 2,510 2,553 New Cingular Wireless Services 8.125%, 05/01/12 1,255 1,272 News America 6.150%, 03/01/37 301 223
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Qwest 7.500%, 10/01/14 (C) $ 4,060 $ 3,126 Rogers Communications 6.375%, 03/01/14 5,885 5,272 Royal 8.000%, 10/01/10 5,100 5,081 Sprint Capital 8.750%, 03/15/32 390 203 8.375%, 03/15/12 5,300 3,606 6.900%, 05/01/19 120 69 Telecom Italia Capital 6.999%, 06/04/18 (C) 3,980 2,985 5.250%, 11/15/13 580 441 5.250%, 10/01/15 370 266 4.950%, 09/30/14 1,320 964 Telefonica Emisiones 7.045%, 06/20/36 216 179 6.421%, 06/20/16 357 321 5.984%, 06/20/11 4,600 4,400 5.855%, 02/04/13 1,090 1,003 Verizon Communications 8.950%, 03/01/39 (C) 9,603 9,879 8.750%, 11/01/18 1,035 1,035 6.400%, 02/15/38 (C) 660 536 6.100%, 04/15/18 (C) 1,580 1,378 5.500%, 02/15/18 2,810 2,340 Verizon Global Funding 7.375%, 09/01/12 1,730 1,728 6.875%, 06/15/12 465 459 Vodafone Group PLC 5.625%, 02/27/17 337 286 ------------- 80,418 ------------- UTILITIES -- 1.6% Abu Dhabi National Energy 5.620%, 10/25/12 (B) 8,678 7,563 Allegheny Energy Supply 8.250%, 04/15/12 (H) (I) (J) 2,040 1,918 Arizona Public Services 8.000%, 12/30/15 684 748 CMS Energy 6.550%, 07/17/17 1,610 1,253 Commonwealth Edison 6.150%, 03/15/12 3,168 3,076 6.150%, 09/15/17 1,620 1,413 4.700%, 04/15/15 830 715 Consolidated Edison of New York 5.850%, 04/01/18 (C) 3,200 3,021 Constellation Energy Group 7.600%, 04/01/32 1,463 1,233 Dominion Resources 8.875%, 01/15/19 5,850 5,962 5.700%, 09/17/12 3,560 3,351 4.750%, 12/15/10 740 713
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 140
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Dominion Resources, Ser D 5.125%, 12/15/09 $ 850 $ 827 DPL 6.875%, 09/01/11 4,805 4,685 DTE Energy 7.050%, 06/01/11 6,528 6,469 Duke Energy 5.625%, 11/30/12 425 428 Duke Energy Carolinas 6.000%, 01/15/38 1,035 948 Exelon 5.625%, 06/15/35 2,605 1,512 FirstEnergy, Ser B 6.450%, 11/15/11 320 300 FirstEnergy, Ser C 7.375%, 11/15/31 5,825 4,791 FPL Group Capital 6.650%, 12/15/08 (A) 185 102 6.350%, 04/01/09 (A) 568 312 Hydro Quebec, Ser JL 6.300%, 05/11/11 1,050 1,101 Intergas Finance 6.375%, 05/14/17 370 207 Nevada Power 8.250%, 06/01/11 4,055 4,067 Nisource Finance 6.800%, 01/15/19 3,547 2,586 6.150%, 03/01/13 1,304 1,096 NorthWestern 5.875%, 11/01/14 1,532 1,364 Oncor Electric Delivery 7.500%, 09/01/38 (B) 1,035 889 6.800%, 09/01/18 (B) 4,894 4,405 Pacific Gas & Electric 8.250%, 10/15/18 1,130 1,254 6.050%, 03/01/34 (C) 3,275 2,855 5.800%, 03/01/37 840 703 Pacificorp 6.250%, 10/15/37 2,300 2,126 Power Contract Financing 6.256%, 02/01/10 (B) 1,886 1,837 Progress Energy 6.850%, 04/15/12 1,395 1,382 Public Service of New Mexico 7.950%, 05/15/18 3,000 2,610 SCANA MTN 6.250%, 04/01/20 1,137 956 TXU 6.500%, 11/15/24 410 170 TXU, Ser P 5.550%, 11/15/14 370 177 TXU, Ser R 6.550%, 11/15/34 (C) 4,385 1,755
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Virginia Electric and Power 8.875%, 11/15/38 $ 1,835 $ 1,994 ------------- 84,874 ------------- Total Corporate Obligations (Cost $1,564,324) ($ Thousands) 1,210,264 ------------- U.S. TREASURY OBLIGATIONS -- 8.7% U.S. Treasury Bonds 8.875%, 02/15/19 (C) 7,358 10,733 7.125%, 02/15/23 (C) 3,742 5,104 6.250%, 08/15/23 (C) 9,565 12,226 6.250%, 05/15/30 653 892 5.375%, 02/15/31 (C) 40,618 50,496 5.000%, 05/15/37 1,079 1,360 4.375%, 02/15/38 (C) 26,406 30,600 U.S. Treasury Inflation Protection Security 3.875%, 04/15/29 2,050 2,260 3.625%, 04/15/28 (C) 31,387 33,324 2.500%, 07/15/16 (C) 6,913 6,352 2.375%, 04/15/11 - 01/15/27 (C) 37,545 33,833 2.000%, 01/15/16 - 01/15/26(C) 18,462 16,106 1.875%, 07/15/15 (C) 18,292 16,211 1.750%, 01/15/28 (C) 42,269 34,845 1.375%, 07/15/18 (C) 6,697 5,998 U.S. Treasury Notes 4.750%, 02/15/37 2,197 2,669 3.750%, 11/15/18 (C) 39,916 42,617 3.500%, 02/15/18 497 520 3.250%, 12/31/09 262 269 3.125%, 08/31/13 846 895 2.750%, 10/31/13 (C) 88,339 91,839 1.750%, 11/15/11 (C) 33,177 33,605 1.250%, 11/30/10 6,521 6,547 U.S. Treasury STRIPS 6.951%, 11/15/21 (C) (E) 23,570 13,866 4.607%, 11/15/27 (C) (E) 10,385 5,000 ------------- Total U.S. Treasury Obligations (Cost $453,158) ($ Thousands) 458,167 ------------- ASSET-BACKED SECURITIES -- 5.7% AUTOMOTIVE -- 0.6% Americredit Prime Automobile Receivable, Ser 2007-1, Cl A3 5.270%, 11/08/11 3,692 3,640 Ford Credit Auto Owner Trust, Ser 2006-C, Cl A4A 5.150%, 02/15/12 2,479 2,333 Ford Credit Auto Owner Trust, Ser 2007-B, Cl A4A 5.240%, 07/15/12 126 114
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 141 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl A4 5.220%, 06/15/13 $ 1,148 $ 1,091 Harley-Davidson Motorcycle Trust, Ser 2007-2, Cl A4 5.120%, 08/15/13 1,081 1,027 Honda Auto Receivables Owner Trust, Ser 2008-1, Cl A4 4.880%, 09/18/14 3,000 2,680 Huntington Auto Trust, Ser 2008-1, Cl A4 5.640%, 02/15/13 (H) (I) (J) 5,872 5,092 Huntington Auto Trust, Ser 2008-1, Cl A3A 4.810%, 04/16/12 (H) (I) (J) 7,095 6,458 Hyundai Auto Receivables Trust, Ser 2008-A, Cl A4 5.480%, 11/17/14 1,286 1,089 Nissan Auto Receivables Owner Trust, Ser 2007-B, Cl A4 5.160%, 03/17/14 2,235 2,088 Triad Auto Receivables Owner Trust, Ser 2006-C, Cl A3 5.410%, 08/12/11 3,626 3,496 5.260%, 11/14/11 1,945 1,871 Volkswagen Auto Loan Enhanced Trust, Ser 2008-1, Cl A3 4.500%, 07/20/12 2,724 2,552 ------------- 33,531 ------------- CREDIT CARDS -- 1.5% Capital One Multi-Asset Execution Trust, Ser 2005-A6, Cl A6 4.869%, 01/15/09 (A) 2,323 1,823 Capital One Multi-Asset Execution Trust, Ser 2005-A10, Cl A 1.503%, 12/15/08 (A) 1,628 1,167 Capital One Multi-Asset Execution Trust, Ser 2006-A5, Cl A5 1.483%, 12/15/08 (A) 2,593 1,954 Capital One Multi-Asset Execution Trust, Ser 2006-A7, Cl A7 1.453%, 12/15/08 (A) 863 735 Capital One Multi-Asset Execution Trust, Ser 2006-A11, Cl A11 1.513%, 12/15/08 (A) 11,599 7,115 Capital One Multi-Asset Execution Trust, Ser 2007-A4, Cl A4 1.453%, 12/15/08 (A) 4,837 3,675 Capital One Multi-Asset Execution Trust, Ser 2007-A6, Cl A6 1.493%, 12/15/08 (A) 3,118 2,802
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Capital One Multi-Asset Execution Trust, Ser 2007-A7, Cl A7 5.750%, 07/15/20 $ 5,982 $ 4,469 Capital One Multi-Asset Execution Trust, Ser 2008-A3, Cl A3 5.050%, 02/15/16 27,229 23,146 Capital One Multi-Asset Execution Trust, Ser 2008-A5, Cl A5 4.850%, 02/18/14 870 793 Discover Card Master Trust I, Ser 2005-4, Cl A2 1.513%, 12/15/08 (A) 812 587 Discover Card Master Trust I, Ser 2006-2, Cl A3 1.503%, 12/15/08 (A) 6,084 4,494 Discover Card Master Trust, Ser 2007-A1, Cl A1 5.650%, 03/16/20 4,583 3,451 Discover Card Master Trust, Ser 2007-A2, Cl A2 3.159%, 12/15/08 (A) 4,072 3,169 Discover Card Master Trust, Ser 2008-A3, Cl A3 5.100%, 10/15/13 6,479 5,988 Discover Card Master Trust, Ser 2008-A4, Cl A4 5.650%, 12/15/15 13,403 11,590 Washington Mutual Master Note Trust, Ser 2006-A2A, Cl A 1.473%, 12/15/08 (A) (H) 3,000 2,311 Washington Mutual Master Note Trust, Ser 2007-A2, Cl A2 1.453%, 12/15/08 (A) (H) 523 427 ------------- 79,696 ------------- MORTGAGE RELATED SECURITIES -- 0.6% ABS Home Equity, Ser 2001-HE3, Cl A1 1.963%, 12/15/08 (A) 264 225 ACE Securities, Ser 2006-SL3, Cl A1 1.495%, 12/26/08 (A) 7,503 1,610 AFC Home Equity Loan Trust, Ser 2000-1, Cl 2A 1.635%, 12/26/08 (A) 3,155 406 Citigroup Mortgage Loan Trust, Ser 2007-AHL1, Cl A2A 1.435%, 12/26/08 (A) 1,182 1,030 Conseco Finance Home Loan Trust, Ser 2001-D, Cl A5 6.190%, 12/15/08 (A) 6,769 6,755
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 142
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Contimortgage Home Equity Trust, Ser 1997-2, Cl A9 7.090%, 04/15/28 $ 13 $ 12 Contimortgage Home Equity Trust, Ser 1997-5, Cl A6 6.870%, 01/15/09 (A) 11 11 Countrywide Asset-Backed Certificates, Ser 2006-S1, Cl A2 5.549%, 08/25/21 2,583 2,211 Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A 2.243%, 12/15/08 (A) 310 225 EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1 1.865%, 12/26/08 (A) (B) 1,081 867 Equivantage Home Equity Loan Trust, Ser 1997-2, Cl A3 7.775%, 07/25/28 236 166 GMAC Mortgage Loan Trust, Ser 2007-HE2, Cl A6 6.249%, 12/25/37 964 329 Morgan Stanley Capital I, Ser 2007-HE2, Cl A2A 1.435%, 12/26/08 (A) 775 716 Morgan Stanley Home Equity Loans, Ser 2007-1, Cl A1 1.445%, 12/26/08 (A) 731 668 Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S 5.858%, 01/25/47 31 21 Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3 1.565%, 12/26/08 (A) 6,400 4,196 Option One Mortgage Loan Trust, Ser 2001-4, Cl A 1.995%, 12/26/08 (A) 283 252 Option One Mortgage Loan Trust, Ser 2007-5, Cl 2A47 1.695%, 12/26/08 (A) 10,000 2,164 Residential Funding Mortgage Securities II, Ser 2000-HI1, Cl AI7 8.290%, 02/25/25 1,436 1,293 Residential Funding Mortgage Securities II, Ser 2005-HS1, Cl AI1 1.515%, 12/26/08 (A) 509 502 Residential Funding Mortgage Securities II, Ser 2007-HSA3, Cl AI2 5.980%, 01/25/09 (A) 922 852 Security National Mortgage Loan Trust, Ser 2007-1A, Cl 2A 1.745%, 12/26/08 (A) (B) 1,388 988 Terwin Mortgage Trust, Ser 2005-9HGS, Cl A1 4.000%, 01/25/09 (A) (B) 1,014 888
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Terwin Mortgage Trust, Ser 2006-6, Cl 1A2 4.750%, 01/25/09 (A) $ 10,000 $ 2,661 ------------- 29,048 ------------- OTHER ASSET-BACKED SECURITIES -- 3.0% Amortizing Residential Collateral Trust CMO, Ser 2002-BC1, Cl A 1.735%, 12/26/08 (A) 534 420 CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A2 5.234%, 02/01/23 1,160 981 CenterPoint Energy Transition Bond LLC, Ser 2008-A, Cl A1 4.192%, 02/01/20 1,993 1,890 Chase Funding Mortgage Loan Asset- Backed Certificates, Ser 2002-1, Cl 2A2 1.895%, 12/26/08 (A) 1,113 716 Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A1 5.956%, 07/25/36 156 157 Citicorp Residential Mortgage Securities, Ser 2006-1, Cl A2 5.682%, 07/25/36 2,150 2,160 Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A2 5.557%, 09/25/36 2,268 2,249 Citicorp Residential Mortgage Securities, Ser 2006-2, Cl A5 6.036%, 09/25/36 6,340 5,253 Citigroup Mortgage Loan Trust, Ser 2007-SHL1, Cl A 1.795%, 12/26/08 (A) (B) 1,486 669 Conseco Finance Home Loan Trust, Ser 2000-E, Cl M1 8.130%, 12/15/08 (A) 2,844 2,706 Conseco Finance Securitizations, Ser 2000-4, Cl A6 8.310%, 01/01/09 (A) 838 668 Countrywide Asset-Backed Certificates, Ser 2001-BC3, Cl A 1.875%, 12/26/08 (A) 66 57 Countrywide Asset-Backed Certificates, Ser 2003-BC2, Cl 2A1 1.995%, 12/26/08 (A) 115 68 Countrywide Asset-Backed Certificates, Ser 2005-17, Cl 1AF3 5.711%, 01/25/09 (A) 10,000 4,610 Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3 5.689%, 01/25/09 (A) 208 126
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 143 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Countrywide Asset-Backed Certificates, Ser 2007-3, Cl 2A1 1.495%, 12/26/08 (A) $ 6,194 $ 5,483 Countrywide Asset-Backed Certificates, Ser 2007-QH1, Cl A1 1.595%, 12/26/08 (A) (B) 1,769 1,249 Countrywide Asset-Backed Certificates, Ser 2007-SD1, Cl A1 1.845%, 12/26/08 (A) (B) 1,120 719 Countrywide Home Equity Loan Trust, Ser 2004-K, Cl 2A 1.723%, 12/15/08 (A) 1,057 484 Countrywide Home Equity Loan Trust, Ser 2005-F, Cl 2A 1.663%, 12/15/08 (A) 2,595 1,347 Credit Suisse First Boston Mortgage Securities, Ser 2001-MH29, Cl A 5.600%, 09/25/31 634 636 Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF2 5.501%, 12/25/36 1,455 1,279 Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF4 5.704%, 12/25/36 1,800 1,432 Credit-Based Asset Servicing and Securitization LLC, Ser 2007-CB4, Cl A1A 1.485%, 12/26/08 (A) 6,647 5,247 Credit-Based Asset Servicing and Securitization LLC, Ser 2007-RP1, Cl A 1.705%, 12/26/08 (A) (B) 16,718 11,175 Daimler Chrysler Master Owner Trust, Ser 2006-A, Cl A 1.453%, 12/15/08 (A) (H) 4,851 4,489 Diamond Investment Grade CDO, Ser 1X, Cl A1 3.099%, 10/11/14 5,333 5,148 Domino's Pizza Master Issuer LLC, Ser 2007-1, Cl A2 5.261%, 04/25/37 (H) 3,452 2,414 Embarcadero Aircraft Securitization Trust, Ser 2000-A, Cl A1 1.903%, 12/15/08 (A) (B) 4,125 2,228 Equity One, Ser 2003-2, Cl M1 5.050%, 09/25/33 820 693 Fieldstone Mortgage Investment, Ser 2007-A, Cl 2A2 1.665%, 12/26/08 (A) 2,000 854 First Horizon Asset Back Trust, Ser 2004-HE2, Cl A 1.615%, 12/26/08 (A) 1,444 1,158
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- First Horizon Asset Back Trust, Ser 2006-HE2, Cl A 1.525%, 12/26/08 (A) $ 716 $ 486 Ford Credit Floorplan Master Owner Trust, Ser 2006-4, Cl A 1.673%, 12/15/08 (A) (H) 5,007 4,047 GMAC Mortgage Loan Trust, Ser 2005-HE3, Cl A1VN 3.519%, 12/26/08 (A) 8,293 2,108 Great America Leasing Receivables, Ser 2006-1, Cl A3 5.340%, 01/15/10 (B) 1,049 1,047 Green Tree Financial, Ser 1996-5, Cl A6 7.750%, 07/15/27 670 600 GSAMP Trust, Ser 2003-SEA, Cl A1 1.795%, 12/26/08 (A) 2,195 1,590 JPMorgan Mortgage Acquisition, Ser 2007-CH1, Cl AF6 5.501%, 11/25/36 9,605 6,383 Lehman XS Trust, Ser 2005-5N, Cl 1A1 1.695%, 12/26/08 (A) 5,791 2,541 Lehman XS Trust, Ser 2005-7N, Cl 1A1B 1.695%, 12/26/08 (A) 4,314 1,536 Lehman XS Trust, Ser 2006-GP1, Cl A4A 1.725%, 12/26/08 (A) 8,107 1,105 Liberty Square CDO, Ser 2001-1A, Cl A 4.846%, 04/15/09 (A) (B) 2,687 2,419 Lone Star CDO Funding, Ser IX, Cl A 3.613%, 12/15/12 6,187 5,742 Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2B 5.609%, 03/25/37 358 282 Merrill Lynch Mortgage Investors, Ser 2006-WMC2, Cl A2D 5.895%, 03/25/37 5,789 2,386 Mid-State Trust, Ser 2003-11, Cl A1 4.864%, 07/15/38 2,970 2,893 MSCC Heloc Trust, Ser 2005-1, Cl A 1.585%, 12/26/08 (A) 539 365 Nelnet Student Loan Trust, Ser 2008-4, Cl A4 5.015%, 01/26/09 (A) 4,370 3,623 Oakwood Mortgage Investors, Ser 2002-C, Cl AIO, IO 6.000%, 08/15/10 4,961 408 Oncor Electric Delivery Transition Bond, Ser 2003-1, Cl A2 4.030%, 02/15/12 1,375 1,373 Origen Manufactured Housing, Ser 2002-A, Cl A1 1.663%, 12/15/08 (A) 49 44 Popular ABS Mortgage Pass-Through Trust, Ser 2007-A, Cl A3 1.705%, 12/26/08 (A) 10,380 3,220
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 144
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- RAAC Series, Ser 2007-RP4, Cl A 1.745%, 12/26/08 (A) (B) $ 19,066 $ 11,899 RAAC Series, Ser 2007-SP3, Cl A1 2.595%, 12/26/08 (A) 571 491 SLM Student Loan Trust, Ser 2005-6, Cl A5B 4.735%, 01/26/09 (A) 7,973 7,495 SLM Student Loan Trust, Ser 2006-5, Cl A4 3.615%, 01/26/09 (A) 3,355 2,940 SLM Student Loan Trust, Ser 2008-6, Cl A4 4.635%, 01/26/09 (A) 8,078 6,245 SLM Student Loan Trust, Ser 2008-8, Cl A4 5.185%, 01/26/09 (A) 1,521 1,225 5.035%, 01/26/09 (A) 7,327 5,983 Structured Asset Receivables Trust, Ser 2003-1, Cl CTFS 4.919%, 01/21/09 (A) (B) 2,000 1,850 Structured Asset Receivables Trust, Ser 2003-3, Cl X 4.819%, 01/21/09 (A) (B) 231 226 Swift Master Auto Receivables Trust, Ser 2007-1, Cl A 1.523%, 12/15/08 (A) (H) 1,869 1,587 Wells Fargo Home Equity Trust, Ser 2007-2, Cl A1 1.485%, 12/26/08 (A) 4,564 3,960 ------------- 156,864 ------------- Total Asset-Backed Securities (Cost $388,966) ($ Thousands) 299,139 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.7% FHLB 5.500%, 08/13/14 3,500 3,880 3.625%, 07/01/11 7,730 7,929 FHLB (E) 2.768%, 12/19/08 (C) 20,555 20,527 1.053%, 12/22/08 450 450 0.861%, 01/13/09 3,265 3,262 0.304%, 12/18/08 (C) 31,960 31,916 0.080%, 12/01/08 1,480 1,480 FHLMC 5.625%, 11/23/35 5,250 5,379 FHLMC (E) 2.553%, 12/15/08 500 500 FNMA 3.375%, 05/19/11 1,000 1,021 FNMA 5.250%, 08/01/12 2,800 2,883
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------- ------------- ------------- FNMA (E) 2.289%, 12/22/08 $ 250 $ 250 1.652%, 12/15/08 10,928 10,927 ------------- Total U.S. Government Agency Obligations (Cost $89,639) ($ Thousands) 90,404 ------------- MUNICIPAL BONDS -- 0.2% Commonwealth of Massachusetts, Ser B, GO, FSA Pre-Refunded @ 100 5.500%, 03/01/12 (F) 2,100 2,260 County of Galveston, Ser C, GO, AMBAC Pre-Refunded @ 100 5.000%, 02/01/13 (F) 2,090 2,280 County of Harris, Ser B, GO Pre-Refunded @ 100 5.250%, 10/01/13 (F) 2,901 3,154 Metropolitan Atlanta Rapid Transit Authority, RB, MBIA Pre-Refunded @ 100 5.000%, 01/01/13 (F) 655 716 Michigan State, Tobacco Settlement Finance, Ser A, RB 7.309%, 06/01/34 2,450 1,590 San Diego, Tobacco Settlement Asset Backed, RB 7.125%, 06/01/32 1,377 973 State of Washington, Ser C, GO Callable 01/01/18 @ 100 5.000%, 01/01/33 1,465 1,349 ------------- Total Municipal Bonds (Cost $13,683) ($ Thousands) 12,322 ------------- PREFERRED STOCK -- 0.1% Aegon, 6.375% (A) 107 857 Merrill Lynch, Cl E, 4.000% (A) 58 451 MetLife, 6.500% 87 1,079 Zurich RegCaPS Funding Trust, 4.245% (A) (B) -- 241 ------------- Total Preferred Stock (Cost $6,599) ($ Thousands) 2,628 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 145 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Continued) November 30, 2008
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------- ------------- ------------- EURODOLLAR -- 0.0% Lloyds TSB Bank 3.218%, 08/31/08 $ 740 $ 383 ------------- Total EuroDollar (Cost $633) ($ Thousands) 383 ------------- COMMERCIAL PAPER (E) -- 0.3% General Electric Capital 1.050%, 12/29/08 1,835 1,833 Rabobank USA Financial 0.951%, 12/09/08 1,480 1,480 0.991%, 12/30/08 13,795 13,784 ------------- Total Commercial Paper (Cost $17,097) ($ Thousands) 17,097 ------------- CERTIFICATES OF DEPOSIT -- 0.1% JPMorgan Chase Bank 8.750%, 11/28/21 2,751 2,694 7.590%, 03/28/22 (A) 2,630 2,429 ------------- Total Certificates of Deposit (Cost $5,263) ($ Thousands) 5,123 ------------- AFFILIATED PARTNERSHIP -- 10.6% SEI Liquidity Fund, L.P., 1.630%*++ (G) 564,245,563 553,355 ------------- Total Affiliated Partnership (Cost $564,245) ($ Thousands) 553,355 ------------- CASH EQUIVALENTS -- 9.2% Evergreen Institutional Money Market Fund, Cl I, 2.100%* 252,328,131 252,328 SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.620%*++ 231,976,790 231,977 ------------- Total Cash Equivalents (Cost $484,305) ($ Thousands) 484,305 ------------- Total Investments -- 131.5% (Cost $7,600,248) ($ Thousands) $ 6,893,562 =============
Market Value Description Contracts ($ Thousands) - ----------- ------------- ------------- WRITTEN OPTIONS -- (0.1)% Jan 2009 U.S. Ten Year Treasury Put, Expires 12/24/08, Expires 12/20/08, Strike Price $113.00 (184) $ (9) June 2009 U.S. Ten Year Treasury Put, Expires 6/16/09, Expires 06/20/09, Strike Price $96.75 (316) (79) June 2009 U.S. Ten Year Treasury Put, Expires 6/16/09, Expires 06/20/09, Strike Price $97.25 (183) (75) March 2009 U.S. Ten Year Treasury Call, Expires 2/22/09, Expires 02/21/09, Strike Price $116.00 (54) (311) March 2009 U.S. Ten Year Treasury Call, Expires 2/23/09, Expires 02/21/09, Strike Price $118.00 (335) (1,450) March 2009 U.S. Ten Year Treasury Call, Expires 2/23/09, Expires 02/21/09, Strike Price $120.00 (179) (560) March 2009 U.S. Ten Year Treasury Call, Expires 3/17/09, Expires 03/21/09, Strike Price $97.50 (155) (275) March 2009 U.S. Ten Year Treasury Call, Expires 3/17/09, Expires 03/21/09, Strike Price $98.00 (92) (81) March 2009 U.S. Ten Year Treasury Call, Expires 3/17/09, Expires 03/21/09, Strike Price $97.75 (85) (110) March 2009 U.S. Ten Year Treasury Put, Expires 11/24/08, Expires 03/21/09, Strike Price $98.00 (90) (61) March 2009 U.S. Ten Year Treasury Put, Expires 2/21/09, Expires 02/21/09, Strike Price $115.00 (246) (150) March 2009 U.S. Ten Year Treasury Put, Expires 2/23/09, Expires 02/21/09, Strike Price $108.00 (179) (11) March 2009 U.S. Ten Year Treasury Put, Expires 2/23/09, Expires 02/21/09, Strike Price $114.00 (74) (34) March 2009 U.S. Ten Year Treasury Put, Expires 3/17/09, Expires 03/21/09, Strike Price $97.75 (131) (62) ------------- Total Written Options (Premiums Received $2,025) ($ Thousands) (3,268) -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 146 A summary of outstanding swap agreements held by the Fund at November 30, 2008, is as follows (See Note 2 in Notes to Financial Statements): INTEREST RATE SWAPS
NET UNREALIZED APPRECIATION NOTIONAL AMOUNT (DEPRECIATION) COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS) ($ THOUSANDS) - ------------------------- ------------- ------------- ---------------- --------------- -------------- Barclays Bank PLC 3-Month LIBOR 3.86% 10/27/14 87,470 $ 3,097 Barclays Bank PLC 4.02% 3-Month LIBOR 10/27/39 23,000 (3,930) Barclays Bank PLC 3-Month LIBOR 3.34% 11/25/14 43,510 466 Barclays Bank PLC 3.13% 3-Month LIBOR 11/25/39 10,450 (23) Citigroup 3-Month LIBOR 4.29% 10/30/14 81,200 4,471 Citigroup 4.31% 3-Month LIBOR 10/30/39 21,970 (4,999) Citigroup 3-Month LIBOR 4.04% 12/15/10 9,870 498 Deutsche Bank 4.40% 3-Month LIBOR 03/18/16 85,200 (7,303) Deutsche Bank 4.25% 3-Month LIBOR 03/18/39 400 (97) Deutsche Bank 4.25% 3-Month LIBOR 03/18/39 1,900 (455) Deutsche Bank 3-Month LIBOR 4.40% 05/31/12 13,126 841 Merrill Lynch 3-Month LIBOR 3.70% 02/22/13 13,162 694 Merrill Lynch 3-Month LIBOR 3.40% 02/26/13 6,594 261 Merrill Lynch 3-Month LIBOR 3.95% 12/15/10 30,830 1,489 ------- $(4,990) =======
CREDIT DEFAULT SWAPS
NET UNREALIZED (PAYS)/ NOTIONAL APPRECIATION BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS) - ------------------------- ----------------------------------------- ---------- -------- ----------- ----------- -------------- Credit Suisse ABX.HE.AA 06-2 Index Sell 0.17% 05/25/46 (5,000) $ (330) Credit Suisse ABX.HE.AA 06-2 Index Sell 0.17 05/25/46 (5,300) (389) Goldman Sachs ABX.HE.AA 06-2 Index Sell 0.17 05/25/46 (3,800) (260) Greenwich Capital Markets ABX.HE.AA 06-2 Index Sell 0.17 05/25/46 (3,000) (198) Credit Suisse ABX.HE.AAA 06-1 Index Sell 0.09 08/25/37 (4,000) (341) Citigroup ABX.HE.AAA 06-2 Index Sell 0.11 05/25/46 (2,100) (310) Deutsche Bank ABX.HE.AAA 06-2 Index Sell 0.11 05/25/46 (4,100) (2,148) Barclays Bank PLC ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (4,680) (2,236) Citigroup ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (3,545) (1,683) Goldman Sachs ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (5,420) (740) Morgan Stanley ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (2,100) (305) Morgan Stanley ABX.HE.AAA 07-1 Index Sell 0.09 08/25/37 (5,200) (710) Barclays Bank PLC ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (4,600) (432) Credit Suisse ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (5,500) (544) Goldman Sachs ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (2,500) (279) Greenwich Capital Markets ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (2,600) (290) Morgan Stanley ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (4,000) (795) Morgan Stanley ABX.HE.AAA 07-2 Index Sell 0.76 01/25/38 (3,000) (582) Citigroup Arrow Electric, 6.875% 06/01/18 Buy (0.82) 03/20/14 1,485 88 Citigroup BNP Paribas, 4.750% 04/04/11 Buy (0.49) 09/20/13 5,860 1 Deutsche Bank Centex Corporation, 5.250% 06/15/15 Buy (4.40) 12/20/13 600 29 Merrill Lynch Centex Corporation, 5.250% 06/15/15 Buy (3.56) 12/20/12 1,970 312 Merrill Lynch Centex Corporation, 5.250% 06/15/15 Buy (3.65) 12/20/12 1,375 216 JPMorgan Chase Bank CMBX-NA-AAA 1 Index Buy (0.10) 10/12/52 5,770 1,053 Credit Suisse CMBX-NA-AAA 2 Index Buy (0.07) 03/15/49 5,770 1,115 Deutsche Bank CMBX-NA-AAA 3 Index Buy (0.08) 12/13/51 3,000 687 JPMorgan Chase Bank CMBX-NA-AAA 3 Index Buy (0.08) 12/13/49 1,500 386 JPMorgan Chase Bank CMBX-NA-AAA 3 Index Buy (0.08) 12/13/49 4,900 1,152 Credit Suisse CMBX-NA-AAA 4 Index Buy (0.35) 02/17/49 3,000 767 JPMorgan Chase Bank CMBX-NA-AAA 4 Index Buy (0.35) 02/17/49 4,755 1,355 JPMorgan Chase Bank CMBX-NA-AAA 4 Index Buy (0.35) 02/17/49 4,900 1,244 Citigroup CMBX-NA-AAA 5 Index Buy (0.35) 02/15/51 2,850 426 Barclays Bank PLC CMBX-NA-AJ 1 Index Buy (0.84) 10/12/49 2,000 806 Barclays Bank PLC CMBX-NA-AJ 1 Index Buy (0.84) 10/12/49 2,000 784 Morgan Stanley ConocoPhillips 4.750% 10/15/20 Sell 0.27 09/20/12 (1,620) (40) Citigroup Darden Restaurants Inc., 6.000% 08/15/35 Buy (2.73) 03/20/14 1,435 63 Deutsche Bank Darden Restaurants Inc., 6.000% 08/15/35 Buy (2.25) 03/20/14 1,650 103 Citigroup Darden Restaurants Inc., 7.125% 02/01/16 Buy (2.40) 03/20/15 1,200 74 Deutsche Bank Darden Restaurants Inc., 7.125% 02/01/16 Buy (2.25) 03/20/13 600 30 Morgan Stanley Darden Restaurants Inc., 7.125% 02/01/16 Buy (2.25) 03/20/13 600 30 Citigroup DTE Energy Company, 7.050% 06/01/11 Buy (0.70) 06/20/11 6,528 337 Credit Suisse General Electric Capital Corp., 5.625% 09/15/17 Sell 6.55 12/20/10 (2,570) 71 Barclays Bank PLC Goldman Sachs Group Inc., 6.600% 01/15/12 Buy (0.75) 12/20/12 300 30 Credit Suisse Goldman Sachs Group Inc., 6.600% 01/15/12 Buy (0.74) 12/20/12 5,275 532 Citigroup Hewlett Packard, 5.400% 03/01/17 Buy (0.72) 03/20/14 1,485 28 Citigroup Home Depot, 5.875% 12/16/36 Buy (2.67) 03/20/14 5,100 8 Citigroup HSBC Bank PLC, 4.250% 03/18/16 Buy (0.61) 12/20/17 4,500 269 Citigroup Lloyds TSB Group PLC, 5.875% 07/08/14 Buy (0.51) 12/20/17 3,200 193
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 147 SCHEDULE OF INVESTMENTS (Unaudited) Core Fixed Income Fund (Concluded) November 30, 2008
NET UNREALIZED (PAYS)/ NOTIONAL APPRECIATION BUY/SELL RECEIVES TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS) - ------------------------- ----------------------------------------- ---------- -------- ----------- ----------- -------------- Citigroup Lowes Cos. Inc., 8.250% 06/01/10 Buy (1.20) 03/20/14 5,320 $ 74 JPMorgan Chase Bank Morgan Stanley, 6.600% 04/01/12 Buy (0.91) 12/20/12 3,525 489 Citigroup Nordstrom Incorporated, 6.950% 03/15/28 Buy (3.15) 03/20/14 1,135 138 Deutsche Bank Nordstrom Incorporated, 6.950% 03/15/28 Buy (2.10) 03/20/14 4,350 698 Citigroup Pulte Homes Inc., 5.250% 01/15/14 Buy (3.91) 12/20/12 1,600 202 Deutsche Bank Pulte Homes Inc., 5.250% 01/15/14 Buy (4.62) 03/20/13 2,250 (16) Deutsche Bank Pulte Homes Inc., 5.250% 01/15/14 Buy (4.00) 03/20/15 2,250 19 Merrill Lynch Pulte Homes Inc., 5.250% 01/15/14 Buy (3.88) 12/20/12 3,050 385 Citigroup Royal Bank of Scotland PLC, 6.000% 05/10/13 Buy (0.70) 12/20/17 3,200 260 Citigroup Toll Brothers, 6.875% 11/15/12 Buy (2.83) 12/20/12 1,400 106 Merrill Lynch Toll Brothers, 6.875% 11/15/12 Buy (2.78) 12/20/12 3,300 251 Merrill Lynch Toll Brothers, 6.875% 11/15/12 Buy (2.83) 12/20/12 2,000 151 Citigroup Whirlpool Corporation, 7.750% 07/15/16 Buy (1.25) 09/20/13 1,205 125 Citigroup Whirlpool Corporation, 7.750% 07/15/16 Sell 1.33 09/20/13 (1,207) (119) Citigroup Whirlpool Corporation, 7.750% 07/15/16 Buy (1.40) 09/20/13 1,762 171 ------ $2,511 ======
A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows (See Note 2 in Notes to Financial Statements):
UNREALIZED NUMBER OF APPRECIATION CONTRACTS EXPIRATION (DEPRECIATION) TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ----------------------- ------------ ---------- -------------- 90-Day Euro$ 864 Mar-2009 $ 2,557 90-Day Euro$ 186 Jun-2009 292 90-Day Euro$ 230 Sep-2009 506 90-Day Euro$ (26) Sep-2009 (115) 90-Day Euro$ (26) Dec-2009 (127) 90-Day Euro$ (26) Mar-2010 (138) 90-Day Euro$ (26) Jun-2010 (143) 90-Day Euro$ (26) Sep-2010 (142) 90-Day Euro$ (26) Dec-2010 (132) 90-Day Euro$ (26) Mar-2011 (125) 90-Day Euro$ (26) Jun-2011 (116) Euro-Bund 161 Dec-2008 1,284 U.S. 10-Year Note (2,206) Mar-2009 (5,899) U.S. 2-Year Note 256 Mar-2009 490 U.S. 2-Year Note (173) Mar-2009 (143) U.S. 5-Year Note 2,878 Mar-2009 4,710 U.S. Long Treasury Bond (972) Mar-2009 (2,208) ------- $ 551 =======
A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2008, is as follows (See Note 2 in Notes to Financials Statements):
CURRENCY CURRENCY UNREALIZED MATURITY TO DELIVER TO RECEIVE APPRECIATION DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) - -------- ------------ ------------ ------------- 2/3/09 EUR 8,689 USD 11,533 $ 516 2/3/09 GBP 9,109 USD 15,403 1,423 2/3/09 JPY2,301,590 USD 24,305 55 2/3/09 USD 23,120 JPY2,316,816 1,290 ------ $3,284 ======
Percentages are based on a Net Assets of $5,240,402 ($ Thousands). * Rate shown is the 7-day effective yield as of November 30, 2008. + Real Estate Investment Trust ++ Investment in Affiliated Security (see Note 3). (A) Variable Rate Security -- The rate reported is the rate in effects as of November 30, 2008. The date reported is the next reset date. (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the board of Trustees. (C) This security or a partial position of this security is on loan at November 30, 2008. The total value of securities on loan at November 30, 2008 was $537,307 ($ Thousands). (D) Security in default on interest payments. (E) The rate reported is the effective yield at time of purchase. (F) Pre-Refunded Security -- The maturity date shown is the pre-refunded date. (G) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of November 30, 2008 was $553,355 ($ Thousands). (H) Securities considered illiquid. The total value of such securities as of November 30, 2008 was $50,708 ($ Thousands) and represented 0.97% of net assets (see Note 3). (I) Securities considered restricted. The total value of such securities as of November 30, 2008 was $27,689 ($ Thousands) and represented 0.53% of net assets (see Note 3). (J) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2008 was $15,286 ($ Thousands) and represented 0.29% of net assets. ABS -- Asset-Based Security 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 GO -- General Obligation IO -- Interest Only - face amount represents notional amount LLC -- Limited Liability Company L.P. -- Limited Partnership MTN -- Medium Term Note PIPE -- Private Investment in Public Entity PLC -- Public Limited Company RB -- Revenue Bond Ser -- Series STRIPS -- Separately Traded Registered Interest and Principal Securities TBA -- To Be Announced Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 148 High Yield Bond Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) Consumer Discretionary 15.8% Telecommunication Services 10.8% Affiliated Partnership 10.7% Energy 9.1% Loan Participations 8.8% Materials 7.4% Industrials 6.8% Financials 6.2% Consumer Staples 4.9% Collateralized Debt Obligations 4.6% Health Care 4.2% Utilities 3.7% Information Technology 3.6% Cash Equivalent 3.1% Convertible Bonds 0.2% Common Stock 0.1% Preferred Stock 0.0%
++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- CORPORATE OBLIGATIONS -- 80.9% CONSUMER DISCRETIONARY -- 17.6% Adelphia Communications (escrow security) 10.250%, 06/15/11 $ 125 $ 4 7.875%, 05/01/09 75 2 7.750%, 01/15/09 250 8 Adelphia Communications, Ser B (escrow security) 9.500%, 02/15/04 25 1 American Greetings 7.375%, 06/01/16 800 636 AmeriGas Partners 7.125%, 05/20/16 1,080 756 Amscan Holdings 8.750%, 05/01/14 1,725 1,000 ARAMARK 8.500%, 02/01/15 2,590 2,150 Aramark Services 6.693%, 02/02/09 (A) 325 228 ArvinMeritor 8.750%, 03/01/12 2,450 1,201 Asbury Automotive Group 7.625%, 03/15/17 225 90 Ashtead Capital 9.000%, 08/15/16 (B) 2,969 1,722 Avis Budget Car Rental LLC 5.304%, 02/17/09 (A) 615 135 Bausch & Lomb Optical Supplies 9.875%, 11/01/15 (B) (C) 2,905 2,237 Beazer Homes USA 8.625%, 05/15/11 275 148 6.875%, 07/15/15 725 261 6.500%, 11/15/13 (C) 1,300 468
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Blockbuster 9.000%, 09/01/12 (C) $ 2,500 $ 1,238 Bonten Media Acquisition 9.000%, 06/01/15 (B) 1,400 490 Boyd Gaming 7.125%, 02/01/16 1,740 983 Broder Brothers, Ser B 11.250%, 10/15/10 (C) 1,200 360 Brown Shoe 8.750%, 05/01/12 1,025 769 Burlington Coat Factory Warehouse 11.125%, 04/15/14 (C) 1,800 450 Caesars Entertainment 7.875%, 03/15/10 350 182 Carrols 9.000%, 01/15/13 700 465 CBS 7.700%, 07/30/10 5,400 5,051 CCH I Holdings LLC 11.750%, 05/15/14 (C) 150 19 11.125%, 01/15/14 275 39 10.000%, 05/15/14 350 47 9.920%, 04/01/14 (C) 400 54 CCH I LLC 11.000%, 10/01/15 (C) 7,672 2,033 11.000%, 10/01/15 275 58 CCH II LLC 10.250%, 09/15/10 (C) 2,470 1,254 CCH II LLC, Ser B 10.250%, 09/15/10 200 95 CCO Holdings LLC 8.750%, 11/15/13 (C) 4,405 2,511 Centex 5.125%, 10/01/13 370 222 4.550%, 11/01/10 255 210 Charter Communications Operating LLC 10.875%, 09/15/14 (B) 2,825 2,027 Charter Communications Operating LLC 8.000%, 04/30/12 (B) 3,200 2,280 Choctaw Resort Development Entity 7.250%, 11/15/19 (B) 930 493 Cinemark 6.470%, 03/15/14 (D) 425 349 Claire's Stores 10.500%, 06/01/17 (C) 425 57 9.625%, 06/01/15 (C) 2,265 226 9.250%, 06/01/15 (C) 750 131 Cooper-Standard Automotive 8.375%, 12/15/14 450 122 Couche-Tard US 7.500%, 12/15/13 6,483 4,911
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 149 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- COX Communications 7.875%, 08/15/09 $ 1,320 $ 1,274 CSC Holdings 8.125%, 07/15/09 4,000 3,840 CSC Holdings, Ser B 8.125%, 08/15/09 75 72 Dana (escrow security) 7.000%, 03/01/09 175 4 7.000%, 03/15/28 200 5 6.500%, 03/01/29 1,100 27 6.500%, 03/15/08 100 2 Delphi 7.125%, 05/01/29 (E) 925 18 Denny's Holdings 10.000%, 10/01/12 280 192 Dex Media 9.000%, 11/15/13 (C) 1,625 211 9.000%, 11/15/13 3,110 404 8.000%, 11/15/13 725 94 Dex Media West, Ser B 9.875%, 08/15/13 4,160 915 9.875%, 08/15/13 1,215 267 8.500%, 08/15/10 4,000 2,480 DirecTV Holdings LLC 6.375%, 06/15/15 4,972 4,040 Dollar General 10.625%, 07/15/15 (C) 785 707 DR Horton 6.500%, 04/15/16 325 205 6.000%, 04/15/11 1,095 854 5.625%, 01/15/16 600 363 Echostar DBS 7.125%, 02/01/16 3,515 2,496 7.000%, 10/01/13 300 225 6.625%, 10/01/14 2,490 1,780 El Dorado Casino Shreveport PIK 10.000%, 08/01/12 1,102 970 Expedia 8.500%, 07/01/16 (B) (C) 1,570 958 Eye Care Centers of America 10.750%, 02/15/15 600 564 Ferrellgas Partners 6.750%, 05/01/14 (B) 1,500 1,050 Fontainebleau Las Vegas 10.250%, 06/15/15 (B) 4,225 549 Ford Motor 7.450%, 07/16/31 (C) 2,441 610 6.500%, 08/01/18 3,085 586 Gaylord Entertainment 8.000%, 11/15/13 1,260 748 6.750%, 11/15/14 260 141 General Motors 8.375%, 07/15/33 (C) 1,649 363 8.250%, 07/15/23 (C) 2,800 560
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- 7.700%, 04/15/16 $ 2,901 $ 609 7.125%, 07/15/13 (C) 3,235 793 General Nutrition Centers PIK 7.583%, 03/15/09 (A) 750 431 Goodyear Tire & Rubber 9.000%, 07/01/15 (C) 1,051 783 8.625%, 12/01/11 831 620 7.857%, 08/15/11 375 274 Great Canadian Gaming 7.250%, 02/15/15 (B) 275 190 Group 1 Automotive 8.250%, 08/15/13 100 61 GSC Holdings 8.000%, 10/01/12 1,480 1,295 Hanesbrands, Ser B 6.508%, 12/15/08 (A) 4,335 2,796 Harrah's Operating 10.750%, 02/01/16 (B) (C) 5,030 1,119 8.000%, 02/01/11 625 313 5.500%, 07/01/10 300 142 Herbst Gaming 8.125%, 06/01/12 (E) 1,075 1 7.000%, 11/15/14 (E) 900 1 Hertz 10.500%, 01/01/16 (C) 1,400 560 8.875%, 01/01/14 (C) 885 457 8.875%, 01/01/14 3,575 1,846 Idearc 8.000%, 11/15/16 1,680 139 Indianapolis Downs 11.000%, 11/01/12 (B) (C) 900 428 Inergy 8.250%, 03/01/16 (B) 400 294 6.875%, 12/15/14 1,130 822 Inn of the Mountain Gods 12.000%, 11/15/10 325 107 Invista 9.250%, 05/01/12 (B) 450 328 Jarden 7.500%, 05/01/17 (C) 5,785 3,760 K. Hovnanian Enterprises 11.500%, 05/01/13 (B) 50 38 8.625%, 01/15/17 1,825 493 7.500%, 05/15/16 725 192 6.500%, 01/15/14 500 125 6.375%, 12/15/14 285 71 6.250%, 01/15/15 750 180 6.250%, 01/15/16 1,150 299 Lamar Media 7.250%, 01/01/13 (C) 2,150 1,704 6.625%, 08/15/15 (C) 4,580 3,321 LBI Media 11.000%, 10/15/13 625 219
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 150
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Lear 8.750%, 12/01/16 $ 1,355 $ 291 Leslie's Poolmart 7.750%, 02/01/13 525 389 Levi Strauss 9.750%, 01/15/15 723 434 LIN Television, Ser B 6.500%, 05/15/13 1,130 525 M/I Homes 6.875%, 04/01/12 400 212 Mediacom LLC 9.500%, 01/15/13 (C) 1,618 1,327 MediMedia USA 11.375%, 11/15/14 (B) 725 565 Meritage Homes 7.000%, 05/01/14 75 45 6.250%, 03/15/15 50 25 MGM Mirage 13.000%, 11/15/13 (B) (C) 445 372 7.500%, 06/01/16 (C) 7,020 3,615 6.875%, 04/01/16 2,020 1,050 6.750%, 09/01/12 3,200 1,728 6.750%, 04/01/13 2,550 1,326 6.000%, 10/01/09 1,750 1,418 5.875%, 02/27/14 3,085 1,573 Michaels Stores 11.375%, 11/01/16 21 5 10.000%, 11/01/14 (C) 850 268 Mobile Services Group 9.750%, 08/01/14 425 314 Mohegan Tribal Gaming Authority 6.875%, 02/15/15 (C) 975 522 6.125%, 02/15/13 (C) 325 216 Neff 10.000%, 06/01/15 (C) 1,800 315 Neiman-Marcus Group 10.375%, 10/15/15 (C) 1,410 529 Neiman-Marcus Group PIK 9.000%, 10/15/15 (C) 3,735 1,587 OSI Restaurant Partners 10.000%, 06/15/15 (C) 900 180 Penhall International 12.000%, 08/01/14 (B) 750 285 Penn National Gaming 6.750%, 03/01/15 3,490 2,303 Penske Auto Group 7.750%, 12/15/16 1,700 620 Perry Ellis International, Ser B 8.875%, 09/15/13 1,544 880 Phillips-Van Heusen 8.125%, 05/01/13 475 327 Pinnacle Entertainment 8.750%, 10/01/13 675 513 8.250%, 03/15/12 (C) 740 540
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Pokagon Gaming Authority 10.375%, 06/15/14 (B) $ 2,206 $ 1,864 Quebecor Media 7.750%, 03/15/16 700 469 Rent-A-Center, Ser B 7.500%, 05/01/10 (C) 2,125 1,976 RH Donnelley 8.875%, 10/15/17 (C) 4,075 530 RH Donnelley, Ser A-1 6.875%, 01/15/13 350 45 RH Donnelley, Ser A-2 6.875%, 01/15/13 1,810 235 RH Donnelley, Ser A-3 8.875%, 01/15/16 100 13 RJ Tower 12.000%, 06/01/13 (C) (E) 425 1 Royal Caribbean Cruises 7.250%, 06/15/16 1,065 607 7.000%, 06/15/13 (C) 670 402 RSC Equipment Rental 9.500%, 12/01/14 (C) 6,035 2,957 Ryland Group 6.875%, 06/15/13 560 386 5.375%, 05/15/12 525 368 Sally Holdings LLC 10.500%, 11/15/16 1,120 650 9.250%, 11/15/14 (C) 3,320 2,507 Sealy Mattress 8.250%, 06/15/14 (C) 5,085 2,771 Service International 7.375%, 10/01/14 1,555 1,260 7.000%, 06/15/17 975 702 6.750%, 04/01/16 1,725 1,302 6.750%, 04/01/15 1,330 1,011 SGS International 12.000%, 12/15/13 1,350 729 Shingle Springs Tribal Group 9.375%, 06/15/15 (B) 500 225 Simmons 10.000%, 12/15/14 (C) 6,595 1,319 Sinclair Broadcast Group 8.000%, 03/15/12 4,100 3,198 4.875%, 07/15/18 (B) (D) 400 214 Six Flags 9.625%, 06/01/14 (C) 550 77 Sonic Automotive, Ser B 8.625%, 08/15/13 1,907 687 Stanadyne Holdings 12.000%, 02/15/15 (D) 1,500 705 Stanadyne Holdings, Ser 1 10.000%, 08/15/14 475 318 Standard-Pacific 7.750%, 03/15/13 625 328 7.000%, 08/15/15 (C) 700 347
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 151 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Station Casinos 6.875%, 03/01/16 $ 760 $ 65 6.625%, 03/15/18 2,290 206 Steinway Musical Instruments 7.000%, 03/01/14 (B) 5,645 3,951 Stewart Enterprises 6.250%, 02/15/13 1,215 984 Sun Media 7.625%, 02/15/13 1,175 969 Tenneco 8.625%, 11/15/14 (C) 4,200 1,554 8.125%, 11/15/15 365 157 Toll 8.250%, 12/01/11 1,340 1,099 8.250%, 02/01/11 (C) 940 780 Town Sports International 12.205%, 02/01/14 (D) 1,454 1,265 Travelport LLC 11.875%, 09/01/16 (C) 5,585 1,340 9.875%, 09/01/14 415 145 7.436%, 03/02/09 (A) 2,044 491 TRW Automotive 7.250%, 03/15/17 (B) 1,805 830 7.000%, 03/15/14 (B) (C) 2,985 1,448 UAL 1995 Pass Through Trust A 9.020%, 04/19/12 584 175 United Components 9.375%, 06/15/13 1,460 759 United Rentals North America 6.500%, 02/15/12 1,900 1,330 Univision Communications 9.750%, 03/15/15 (B) 1,100 140 Vail Resorts 6.750%, 02/15/14 3,765 2,730 Vicorp Restaurants 10.500%, 04/15/11 (E) 500 15 Videotron 6.875%, 01/15/14 3,529 2,947 Visteon 12.250%, 12/31/16 (B) 259 44 8.250%, 08/01/10 (C) 250 77 7.000%, 03/10/14 15 2 WMG Acquisition 7.375%, 04/15/14 260 156 ------------- 166,719 ------------- CONSUMER STAPLES -- 5.4% B&G Foods 8.000%, 10/01/11 500 415 Biomet 11.625%, 10/15/17 1,800 1,350 Chiquita Brands International 8.875%, 12/01/15 (C) 2,040 1,449 7.500%, 11/01/14 410 279
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Constellation Brands 8.375%, 12/15/14 (C) $ 2,005 $ 1,744 7.250%, 05/15/17 3,150 2,615 7.250%, 09/01/16 (C) 5,730 4,756 Del Monte 8.625%, 12/15/12 940 851 6.750%, 02/15/15 2,760 2,249 DJO Finance LLC 10.875%, 11/15/14 2,000 1,460 Dole Food 7.250%, 06/15/10 225 159 Education Management LLC 10.250%, 06/01/16 (C) 3,100 2,154 8.750%, 06/01/14 150 109 Elizabeth Arden 7.750%, 01/15/14 (C) 1,425 969 Fleming 10.125%, 04/01/08 (E) 956 19 9.250%, 06/15/10 (E) 188 4 HCA 9.625%, 11/15/16 12,060 8,683 9.250%, 11/15/16 (C) 8,428 6,869 9.125%, 11/15/14 125 102 6.500%, 02/15/16 565 316 Johnsondiversey Holdings 10.670%, 05/15/13 560 398 Laureate Education 10.000%, 08/15/15 (B) 525 341 Merisant 9.500%, 07/15/13 (C) 2,325 372 Merisant Worldwide 12.250%, 05/15/14 1,100 -- Michael Foods 8.000%, 11/15/13 3,150 2,677 National Beef Packing 10.500%, 08/01/11 697 511 NBTY 7.125%, 10/01/15 2,356 1,743 Pantry 7.750%, 02/15/14 2,450 1,715 Quebecor World Capital 8.750%, 03/15/16 (B) (C) (E) 2,175 141 6.125%, 11/15/13 (C) (E) 1,800 63 Rite Aid 10.375%, 07/15/16 225 151 9.500%, 06/15/17 (C) 5,315 1,568 9.375%, 12/15/11 400 118 8.625%, 03/01/15 850 244 7.700%, 02/15/27 150 27 7.500%, 03/01/17 (C) 1,270 724 6.875%, 12/15/28 (B) 350 63 6.875%, 08/15/13 (C) 100 25 Seminole Indian Tribe of Florida 7.804%, 10/01/20 (B) 950 832
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Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Smithfield Foods 7.750%, 05/15/13 $ 315 $ 173 7.750%, 07/01/17 125 66 7.000%, 08/01/11 275 165 Spectrum Brands 7.375%, 02/01/15 (C) 1,960 392 SuperValu 7.500%, 11/15/14 1,400 1,092 Tyson Foods 6.600%, 04/01/16 505 315 Universal Hospital Services PIK 8.500%, 06/01/15 275 209 Universal Hospital Services 6.302%, 06/01/09 (A) 200 130 VWR Funding 10.250%, 07/15/15 1,025 620 ------------- 51,427 ------------- ENERGY -- 10.2% Allis-Chalmers Energy 9.000%, 01/15/14 4,713 2,757 Atlas Energy Resources LLC 10.750%, 02/01/18 (B) 1,420 895 Atlas Pipeline Partners 8.125%, 12/15/15 350 227 Aventine Renewable Energy 10.000%, 04/01/17 (C) 2,600 546 Brigham Exploration 9.625%, 05/01/14 875 446 Calfrac Holdings 7.750%, 02/15/15 (B) 3,000 1,680 Chaparral Energy 8.875%, 02/01/17 1,900 703 8.500%, 12/01/15 750 278 Chesapeake Energy 7.625%, 07/15/13 300 240 7.500%, 06/15/14 719 561 7.250%, 12/15/18 1,040 728 7.000%, 08/15/14 (C) 3,896 2,961 6.875%, 01/15/16 1,795 1,265 6.875%, 11/15/20 175 114 6.500%, 08/15/17 825 563 Cimarex Energy 7.125%, 05/01/17 1,650 1,287 Colorado Interstate Gas 6.800%, 11/15/15 88 73 Complete Production Services 8.000%, 12/15/16 345 217 Compton Petroleum Finance 7.625%, 12/01/13 1,820 746 Connacher Oil and Gas 10.250%, 12/15/15 (B) 2,070 1,076
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Copano Energy LLC 7.750%, 06/01/18 (B) $ 4,205 $ 2,754 Denbury Resources 7.500%, 12/15/15 3,100 2,123 7.500%, 04/01/13 4,300 3,160 Dynegy Holdings 8.375%, 05/01/16 1,775 1,234 7.750%, 06/01/19 2,180 1,450 7.500%, 06/01/15 2,385 1,658 6.875%, 04/01/11 225 185 El Paso 8.050%, 10/15/30 150 95 7.875%, 06/15/12 (C) 1,425 1,187 7.800%, 08/01/31 1,450 921 7.420%, 02/15/37 1,300 773 7.250%, 06/01/18 3,185 2,214 7.000%, 06/15/17 1,770 1,260 6.875%, 06/15/14 775 575 El Paso Performance-Linked Trust 7.750%, 07/15/11 (B) 450 373 Energy Partners 9.750%, 04/15/14 (C) 545 251 7.916%, 01/15/09 (A) 200 88 Forest Oil 8.000%, 12/15/11 1,025 897 7.750%, 05/01/14 505 401 7.250%, 06/15/19 (C) 430 295 7.250%, 06/15/19 (B) 930 637 Frontier Oil 8.500%, 09/15/16 470 395 Helix Energy Solutions Group 9.500%, 01/15/16 (B) 3,630 1,906 Hillcorp Energy 9.000%, 06/01/16 (B) 1,035 740 7.750%, 11/01/15 (B) 3,705 2,649 Holly Energy Partners 6.250%, 03/01/15 1,200 768 International Coal Group 10.250%, 07/15/14 1,050 793 KCS Energy 7.125%, 04/01/12 1,835 1,321 Key Energy Services 8.375%, 12/01/14 (B) 650 454 Mariner Energy 8.000%, 05/15/17 680 364 MarkWest Energy Partners 8.750%, 04/15/18 (B) 3,270 2,060 8.750%, 04/15/18 100 63 MarkWest Energy Partners, Ser B 8.500%, 07/15/16 250 164 6.875%, 11/01/14 1,125 743 Massey Energy 6.875%, 12/15/13 1,105 749
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 153 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Newfield Exploration 7.125%, 05/15/18 $ 1,800 $ 1,278 6.625%, 04/15/16 2,845 2,077 OPTI Canada 8.250%, 12/15/14 2,005 782 7.875%, 12/15/14 1,280 486 Pacific Energy Partners 7.125%, 06/15/14 200 185 6.250%, 09/15/15 100 80 Parker Drilling 9.625%, 10/01/13 639 527 Peabody Energy 7.375%, 11/01/16 (C) 175 150 Peabody Energy, Ser B 6.875%, 03/15/13 3,700 3,145 PetroHawk Energy 9.125%, 07/15/13 3,657 2,798 7.875%, 06/01/15 (B) 2,300 1,621 Petroleum Development 12.000%, 02/15/18 2,675 1,832 PetroProd 10.850%, 05/24/13 900 167 PHI 7.125%, 04/15/13 125 76 Plains Exploration & Production 7.625%, 06/01/18 350 233 7.000%, 03/15/17 1,120 750 Pride International 7.375%, 07/15/14 3,001 2,558 Quicksilver Resources 8.250%, 08/01/15 (C) 2,040 1,316 7.125%, 04/01/16 1,075 618 Range Resources 7.250%, 05/01/18 725 575 6.375%, 03/15/15 1,075 860 Sabine Pass LNG LP 7.500%, 11/30/16 (B) 625 431 7.500%, 11/30/16 720 497 7.250%, 11/30/13 (C) 1,550 1,108 SandRidge Energy 8.625%, 04/01/15 (B) 1,025 651 8.000%, 06/01/18 (B) 1,985 1,270 SESI LLC 6.875%, 06/01/14 950 665 Sonat 7.625%, 07/15/11 750 620 Southwestern Energy 7.500%, 02/01/18 (B) 2,000 1,690 Swift Energy 7.625%, 07/15/11 6,100 5,124 Targa Resources Partners 8.500%, 11/01/13 375 206 8.250%, 07/01/16 (B) 925 601
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Tesoro 6.625%, 11/01/15 $ 1,755 $ 1,088 United Refining 10.500%, 08/15/12 850 527 Venoco 8.750%, 12/15/11 2,940 1,984 Whiting Petroleum 7.250%, 05/01/13 1,505 1,069 Williams 7.875%, 09/01/21 885 673 7.750%, 06/15/31 475 321 Williams Partners 7.250%, 02/01/17 2,905 2,280 Williams, Ser A 7.500%, 01/15/31 375 246 ------------- 96,228 ------------- FINANCIALS -- 6.9% AAC Group Holding 10.250%, 10/01/12 (B) 1,080 896 ACE Cash Express 10.250%, 10/01/14 (B) 675 270 Algoma Acquisition 9.875%, 06/15/15 (B) 150 78 ALH Finance LLC 8.500%, 01/15/13 4,335 3,338 Alliant Holdings 11.000%, 05/01/15 (B) 1,225 873 American Achievement Group Holding 14.750%, 10/01/12 1,023 972 Cardtronics 9.250%, 08/15/13 1,010 749 9.250%, 08/15/13 605 448 Deluxe 7.375%, 06/01/15 200 122 Felcor Lodging L.P. 4.803%, 06/01/09+++ (A) 200 116 FireKeepers Development Authority 13.875%, 05/01/15 (B) 600 390 Ford Motor Credit LLC 12.000%, 05/15/15 275 134 9.875%, 08/10/11 400 186 9.750%, 09/15/10 400 202 8.000%, 12/15/16 2,275 959 7.800%, 06/01/12 7,045 3,039 7.569%, 01/13/09 (A) 900 396 7.250%, 10/25/11 1,965 869 7.241%, 01/15/09 (A) 3,340 1,470 7.000%, 10/01/13 4,212 1,772 4.361%, 01/15/09 (A) 680 371
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Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- FTI Consulting 7.750%, 10/01/16 $ 50 $ 43 7.625%, 06/15/13 960 854 Galaxy Entertainment Finance 9.875%, 12/15/12 (B) (C) 995 368 Global Cash Access LLC 8.750%, 03/15/12 575 449 GMAC LLC 8.000%, 11/01/31 (C) 5,568 1,464 7.750%, 01/19/10 (C) 150 80 7.250%, 03/02/11 1,275 521 7.000%, 02/01/12 100 35 6.875%, 08/28/12 8,405 2,942 6.875%, 09/15/11 3,900 1,499 6.750%, 12/01/14 (C) 5,840 1,898 6.625%, 05/15/12 1,755 615 6.000%, 12/15/11 (C) 425 151 5.625%, 05/15/09 640 441 3.399%, 02/17/09 (A) 425 276 GrafTech Finance 10.250%, 02/15/12 78 71 Hawker Beechcraft Acquisition LLC PIK 8.875%, 04/01/15 2,955 1,212 Hawker Beechcraft Acquisition LLC 9.750%, 04/01/17 (B) 200 65 Hellas II 10.502%, 01/15/09 (A) (B) 2,100 462 Hexion US Fin/Nova Scotia 9.750%, 11/15/14 4,460 2,319 7.304%, 02/15/09 (A) 750 368 Host Hotels & Resorts LP 6.875%, 11/01/14+++ (C) 1,790 1,235 Host Marriott LP 7.125%, 11/01/13+++ 2,190 1,593 Host Marriott LP, Ser M 7.000%, 08/15/12+++ 25 19 Host Marriott LP, Ser O 6.375%, 03/15/15+++ 1,020 686 Host Marriott LP, Ser Q 6.750%, 06/01/16+++ 2,460 1,636 HUB International Holdings 9.000%, 12/15/14 (B) 3,250 2,149 Hughes Network Systems LLC 9.500%, 04/15/14 1,110 916 Icahn Enterprises 7.125%, 02/15/13 5,325 3,208 iPayment 9.750%, 05/15/14 1,100 748 JPMorgan Chase 7.900%, 04/30/09 (A) 340 266
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- KAR Holdings 10.000%, 05/01/15 $ 1,125 $ 315 8.750%, 05/01/14 2,400 1,020 6.801%, 02/02/09 (A) 800 336 LaBranche 11.000%, 05/15/12 380 315 Lehman Brothers Holdings MTN 6.875%, 05/02/18 (E) 1,225 123 5.625%, 01/24/13 (E) 550 58 Leucadia National 8.125%, 09/15/15 450 391 Marlin Water Trust II 6.310%, 07/15/03 (B) (E) 4,000 5 MetLife Capital Trust X 9.250%, 04/08/09 (A) (B) 600 399 Nuveen Investments 10.500%, 11/15/15 (B) 6,925 2,121 10.500%, 11/15/15 (B) (C) 840 257 Omega Healthcare Investors 7.000%, 01/15/16+++ 825 631 Petroplus Finance 7.000%, 05/01/17 (B) (C) 2,500 1,550 6.750%, 05/01/14 (B) (C) 1,645 1,061 Pinnacle Foods Finance LLC 10.625%, 04/01/17 (C) 2,150 1,204 9.250%, 04/01/15 600 396 PXRE Capital Trust I 8.850%, 02/01/27 1,600 1,096 Rainbow National Services LLC 10.375%, 09/01/14 (B) 490 424 Regency Energy Partners 8.375%, 12/15/13 1,435 1,015 Rouse LP 6.750%, 05/01/13+++ (B) 1,000 220 Senior Housing Properties Trust 7.875%, 04/15/15+++ 645 529 Silicon Valley Bank 5.700%, 06/01/12 675 642 Snoqualmie Entertainment Authority 9.125%, 02/01/15 (B) (C) 1,375 797 6.875%, 02/01/09 (A) (B) 275 162 UCI Holdco 10.319%, 12/15/08 (A) 1,089 349 Universal City Development Partners 11.750%, 04/01/10 840 546 Universal City Florida Holding 7.551%, 02/01/09 (A) 2,823 1,299 USB Capital IX 6.189%, 04/15/09 (A) 415 216 Ventas Realty LP 7.125%, 06/01/15+++ 925 758 6.750%, 04/01/17+++ 775 581 6.625%, 10/15/14+++ 375 307
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 155 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Wells Fargo Capital XIII MTN 7.700%, 03/26/09 (A) $ 345 $ 280 ------------- 65,642 ------------- HEALTH CARE -- 4.7% Advanced Medical Optics 7.500%, 05/01/17 2,900 1,595 Alliance Imaging, Ser B 7.250%, 12/15/12 550 458 Biomet 10.375%, 10/15/17 8,180 6,053 10.000%, 10/15/17 (C) 1,055 950 Bio-Rad Laboratories 6.125%, 12/15/14 900 711 Community Health Systems 8.875%, 07/15/15 (C) 8,790 7,054 Cooper 7.125%, 02/15/15 2,435 1,832 CRC Health 10.750%, 02/01/16 1,925 1,117 DaVita 6.625%, 03/15/13 4,000 3,540 Fresenius Medical Care Capital Trust IV 7.875%, 06/15/11 1,820 1,656 HCA 6.750%, 07/15/13 555 355 Healthsouth 9.133%, 12/15/08 (A) 1,045 867 IASIS Healthcare LLC 8.750%, 06/15/14 450 342 MedCath Holdings 9.875%, 07/15/12 (C) 1,055 1,100 NMH Holdings 9.944%, 12/15/08 (A) (B) 745 447 Psychiatric Solutions 7.750%, 07/15/15 2,625 1,903 Res-Care 7.750%, 10/15/13 625 563 Select Medical 7.625%, 02/01/15 1,855 1,094 Spheris 11.000%, 12/15/12 1,400 532 Sun Healthcare 9.125%, 04/15/15 375 311 Surgical Care Affiliates 8.875%, 07/15/15 (B) 1,580 948 Tenet Healthcare 9.875%, 07/01/14 1,200 864 9.250%, 02/01/15 (C) 5,245 3,777 6.375%, 12/01/11 75 57
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- United Surgical Partners International PIK 9.250%, 05/01/17 $ 3,190 $ 1,914 United Surgical Partners International 8.875%, 05/01/17 (C) 2,985 1,955 US Oncology 10.750%, 08/15/14 950 713 9.000%, 08/15/12 675 562 Vanguard Health Holding I 11.250%, 10/01/15 (D) 600 462 Vanguard Health Holding II 9.000%, 10/01/14 550 440 ------------- 44,172 ------------- INDUSTRIALS -- 7.6% ACCO Brands 7.625%, 08/15/15 5,360 2,787 ACIH 11.500%, 12/15/12 (B) (E) 1,225 92 Actuant 6.875%, 06/15/17 3,400 2,669 AGY Holding 11.000%, 11/15/14 (B) 800 480 Ahern Rentals 9.250%, 08/15/13 (C) 725 203 Aleris International 10.000%, 12/15/16 1,675 176 Aleris International PIK 9.000%, 12/15/14 550 33 Allied Waste North America 7.250%, 03/15/15 1,045 922 6.875%, 06/01/17 660 574 6.500%, 11/15/10 4,400 4,158 6.125%, 02/15/14 (C) 1,550 1,345 Allied Waste North America, Ser B 7.375%, 04/15/14 (C) 943 853 7.125%, 05/15/16 460 405 Allison Transmission 11.250%, 11/01/15 (B) (C) 875 350 Altos Hornos de Mexico, Ser A 11.375%, 04/30/02 (E) 525 68 Altos Hornos de Mexico, Ser B 11.875%, 04/30/04 (E) 975 127 American Airlines, Ser 01-1 7.379%, 05/23/16 (C) 95 41 American Railcar Industries 7.500%, 03/01/14 325 234 Ames True Temper 10.000%, 07/15/12 (C) 1,135 488 6.791%, 01/15/09 (A) 1,220 634 Associated Materials 9.750%, 04/15/12 (C) 1,070 915
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Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Baker & Taylor 11.500%, 07/01/13 (B) $ 925 $ 463 Baldor Electric 8.625%, 02/15/17 2,070 1,522 BE Aerospace 8.500%, 07/01/18 1,950 1,609 Belden 7.000%, 03/15/17 175 130 Buffalo Thunder Development Authority 9.375%, 12/15/14 (B) 2,050 656 Casella Waste Systems 9.750%, 02/01/13 1,385 1,205 Chart Industries 9.125%, 10/15/15 325 236 Cornell 10.750%, 07/01/12 680 605 Corrections Corp of America 7.500%, 05/01/11 1,300 1,235 6.750%, 01/31/14 520 465 6.250%, 03/15/13 1,883 1,657 Delta Air Lines, Ser 2002-1, Cl C 7.779%, 01/02/12 (C) 655 550 Delta Air Lines, Ser 2002-1 8.300%, 12/15/29 (C) 850 13 DRS Technologies 7.625%, 02/01/18 1,466 1,455 6.875%, 11/01/13 125 124 6.625%, 02/01/16 775 769 ESCO 6.694%, 12/15/08 (A) (B) 125 81 FTI Consulting 7.750%, 10/01/16 1,005 864 General Cable 7.125%, 04/01/17 (C) 240 151 Graphic Packaging International 9.500%, 08/15/13 (C) 1,315 907 Greenbrier 8.375%, 05/15/15 1,190 881 Gulfmark Offshore 7.750%, 07/15/14 1,304 946 Indalex Holding, Ser B 11.500%, 02/01/14 401 44 Interface 9.500%, 02/01/14 275 220 Interline Brands 8.125%, 06/15/14 1,120 840 Iron Mountain 8.750%, 07/15/18 (C) 1,060 901 8.625%, 04/01/13 375 338 8.000%, 06/15/20 975 751 6.625%, 01/01/16 2,070 1,615
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- J.B. Poindexter 8.750%, 03/15/14 (C) $ 325 $ 136 Kansas City Southern de Mexico 9.375%, 05/01/12 1,010 803 L-3 Communications 7.625%, 06/15/12 1,075 994 5.875%, 01/15/15 2,587 2,095 L-3 Communications, Ser B 6.375%, 10/15/15 4,701 3,902 Language Line 11.125%, 06/15/12 1,875 1,762 MAAX 9.750%, 06/15/12 (E) 300 2 Millar Western Forest 7.750%, 11/15/13 257 108 Mobile Mini 6.875%, 05/01/15 1,215 863 Moog 7.250%, 06/15/18 (B) 420 324 Mueller Water Products 7.375%, 06/01/17 1,050 698 Nebraska Book 8.625%, 03/15/12 250 128 Noble Group 6.625%, 03/17/15 (B) 475 285 Nortek 8.500%, 09/01/14 300 91 Northwest Airlines (escrow security) 8.875%, 06/01/06 1,500 2 7.875%, 03/15/08 175 -- 7.625%, 11/15/23 (D) 1,175 1 Park-Ohio Industries 8.375%, 11/15/14 775 318 Ply Gem Industries 11.750%, 06/15/13 (B) 1,050 622 Propex Fabrics 10.000%, 12/01/12 (E) 125 -- Quality Distribution LLC 9.000%, 11/15/10 800 232 Rainbow National Services LLC 8.750%, 09/01/12 (B) 1,210 1,065 RBS Global & Rexnord 11.750%, 08/01/16 (C) 450 261 9.500%, 08/01/14 960 672 8.875%, 09/01/16 2,740 1,699 Saint Acquisition 12.500%, 05/15/17 (B) (C) 50 7 Sequa 11.750%, 12/01/15 (B) 1,050 462 SPX 7.625%, 12/15/14 (B) 1,330 1,084 Terex 8.000%, 11/15/17 9,600 6,864
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 157 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Thermadyne Holdings 9.250%, 02/01/14 $ 1,040 $ 821 Titan International 8.000%, 01/15/12 3,360 2,621 TransDigm 7.750%, 07/15/14 1,475 1,121 United Air Lines 9.125%, 01/15/12 (E) 625 -- United Air Lines, Ser A 10.670%, 05/01/04 (E) 325 -- Vought Aircraft Industries 8.000%, 07/15/11 1,070 738 8.000%, 07/15/11 3,000 2,070 ------------- 71,638 ------------- INFORMATION TECHNOLOGY -- 4.0% Activant Solutions 9.500%, 05/01/16 1,900 1,102 Advanced Micro Devices 7.750%, 11/01/12 (C) 1,875 1,162 Amkor Technology 9.250%, 06/01/16 1,750 1,024 7.125%, 03/15/11 2,000 1,450 Celestica 7.875%, 07/01/11 470 400 Compagnie Generale de Geophysique 7.750%, 05/15/17 715 439 7.500%, 05/15/15 1,339 870 Compucom Systems 12.500%, 10/01/15 (B) 1,025 741 First Data 9.875%, 09/24/15 (B) 2,475 1,423 Flextronics International 6.500%, 05/15/13 1,500 1,170 6.250%, 11/15/14 2,055 1,521 Freescale Semiconductor PIK 9.125%, 12/15/14 7,135 1,463 Freescale Semiconductor 8.875%, 12/15/14 (C) 3,130 1,064 6.694%, 12/15/08 (A) 250 61 Lender Processing Services 8.125%, 07/01/16 (B) 225 189 MagnaChip Semiconductor 6.875%, 12/15/11 (C) 425 23 NXP Funding LLC 9.500%, 10/15/15 (C) 3,520 634 7.875%, 10/15/14 3,280 984 Open Solutions 9.750%, 02/01/15 (B) 5,125 1,563 Sanmina-SCI 5.569%, 12/15/08 (A) (B) (C) 1,250 837 5.569%, 12/15/08 (A) (B) 2,380 2,023
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Seitel 9.750%, 02/15/14 $ 2,825 $ 1,638 Sensata Technologies 8.000%, 05/01/14 4,205 1,892 Smart Modular 9.383%, 01/01/09 (A) 4,960 4,737 Sungard Data Systems 10.625%, 05/15/15 (B) 75 58 10.250%, 08/15/15 8,934 5,182 9.125%, 08/15/13 907 703 3.750%, 01/15/09 4,000 3,960 ------------- 38,313 ------------- MATERIALS -- 8.3% Abitibi-Consolidated 8.850%, 08/01/30 150 27 8.550%, 08/01/10 2,850 513 8.375%, 04/01/15 425 64 Airgas 7.125%, 10/01/18 (B) 400 320 AK Steel 7.750%, 06/15/12 4,100 2,880 Appleton Papers, Ser B 9.750%, 06/15/14 975 527 Arch Western Finance LLC 6.750%, 07/01/13 (C) 7,120 5,732 Ball 6.875%, 12/15/12 (C) 825 773 Basell 8.375%, 08/15/15 (B) 1,250 191 Bowater 9.500%, 10/15/12 475 105 9.000%, 08/01/09 400 174 Bowater Canada Finance 7.950%, 11/15/11 300 66 Bway 10.000%, 10/15/10 2,015 1,733 California Steel Industries 6.125%, 03/15/14 275 168 Cascades 7.250%, 02/15/13 625 350 Catalyst Paper 7.375%, 03/01/14 338 152 Catalyst Paper, Ser D 8.625%, 06/15/11 1,545 873 Crown Americas 7.750%, 11/15/15 1,312 1,187 Crown Cork & Seal 8.000%, 04/15/23 (C) 1,675 1,235 Domtar 9.500%, 08/01/16 (C) 250 199 7.125%, 08/15/15 2,050 1,394
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 158
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Evraz Group 9.500%, 04/24/18 (B) (C) $ 3,150 $ 1,355 8.875%, 04/24/13 (B) 1,500 653 FMG Finance 10.625%, 09/01/16 (B) 1,995 1,127 Freeport-McMoRan Copper 6.750%, 05/01/10 2 74 Freeport-McMoRan Copper & Gold 8.375%, 04/01/17 7,690 5,460 8.250%, 04/01/15 2,105 1,526 7.084%, 04/01/09 (A) 1,200 720 Georgia Gulf 9.500%, 10/15/14 (C) 325 107 7.125%, 12/15/13 125 42 Georgia-Pacific 8.125%, 05/15/11 1,200 1,026 8.000%, 01/15/24 1,750 1,129 7.700%, 06/15/15 1,575 1,197 7.125%, 01/15/17 (B) (C) 2,595 1,907 7.000%, 01/15/15 (B) (C) 3,380 2,569 Georgia-Pacific LLC 9.500%, 12/01/11 135 118 Graham Packaging 9.875%, 10/15/14 4,855 3,059 Huntsman International LLC 7.875%, 11/15/14 1,355 894 Huntsman LLC 11.625%, 10/15/10 255 242 11.500%, 07/15/12 1,440 1,296 INEOS Group Holdings PLC 8.500%, 02/15/16 (B) 3,370 598 Innophos 8.875%, 08/15/14 1,535 1,305 Innophos Holdings 9.500%, 04/15/12 (B) 700 518 Intertape Polymer 8.500%, 08/01/14 935 711 Jefferson Smurfit 8.250%, 10/01/12 (C) 175 49 MacDermid 9.500%, 04/15/17 (B) 2,200 1,188 Methanex 6.000%, 08/15/15 175 162 Millennium America 7.625%, 11/15/26 200 32 Momentive Performance Materials 11.500%, 12/01/16 (C) 730 193 9.750%, 12/01/14 1,205 467 Mosaic 7.625%, 12/01/16 (B) (C) 2,825 2,429 Mosaic Global Holdings 7.300%, 01/15/28 325 224
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Nalco 8.875%, 11/15/13 $ 1,225 $ 980 7.750%, 11/15/11 1,815 1,611 Neenah 9.500%, 01/01/17 575 333 Newark Group 9.750%, 03/15/14 800 72 NewPage 10.000%, 05/01/12 (C) 1,615 872 Noranda Aluminium Acquisition 6.595%, 05/15/09 (A) 3,515 1,142 Noranda Aluminium Holding 8.345%, 05/15/09 (A) 900 108 Novelis 7.250%, 02/15/15 1,000 580 Owens Brockway Glass Container 6.750%, 12/01/14 1,245 1,083 P.H. Glatfelter 7.125%, 05/01/16 1,550 1,348 Packaging Dynamics Finance 10.000%, 05/01/16 (B) 2,565 1,180 PolyOne 8.875%, 05/01/12 (C) 1,415 865 8.875%, 05/01/12 (B) 1,930 1,180 Reichhold Industries 9.000%, 08/15/14 (B) 2,206 1,500 Rock-Tenn 9.250%, 03/15/16 (B) 665 572 5.625%, 03/15/13 2,200 1,782 Rockwood Specialties Group 7.500%, 11/15/14 1,855 1,521 Ryerson 12.000%, 11/01/15 (B) 1,000 625 10.176%, 02/01/09 (A) (B) 150 99 Sappi Papier Holding 6.750%, 06/15/12 (B) 1,100 809 Solo Cup 8.500%, 02/15/14 785 487 Steel Dynamics 7.750%, 04/15/16 (B) 2,420 1,476 7.375%, 11/01/12 2,310 1,709 Stone Container 8.375%, 07/01/12 3,000 840 8.000%, 03/15/17 (C) 1,150 305 Terra Capital, Ser B 7.000%, 02/01/17 1,575 1,138 Tube City IMS 9.750%, 02/01/15 750 375 U.S. Steel 6.650%, 06/01/37 150 88 Vedanta Resources 9.500%, 07/18/18 (B) 2,470 1,210
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 159 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Verso Paper Holdings LLC, Ser B 11.375%, 08/01/16 $ 325 $ 120 Vitro 11.750%, 11/01/13 1,005 281 9.125%, 02/01/17 (C) 3,915 1,038 ------------- 78,369 ------------- TELECOMMUNICATION SERVICES -- 12.1% American Tower 7.500%, 05/01/12 100 93 7.125%, 10/15/12 790 741 Centennial Communications 10.125%, 06/15/13 100 99 9.633%, 01/01/09 (A) 405 379 8.125%, 02/01/14 400 396 Charter Communications Operating LLC 8.375%, 04/30/14 (B) (C) 325 221 Cincinnati Bell 7.250%, 07/15/13 2,575 2,111 7.000%, 02/15/15 605 431 Citizens Communications 9.250%, 05/15/11 450 386 7.125%, 03/15/19 (C) 1,480 855 6.625%, 03/15/15 1,175 764 COX Enterprises 7.375%, 06/15/09 (B) 3,425 3,327 Cricket Communications 10.000%, 07/15/15 (B) 570 465 9.375%, 11/01/14 1,600 1,270 Cricket Communications I 9.375%, 11/01/14 (C) 5,985 4,751 CSC Holdings 8.500%, 06/15/15 (B) (C) 475 384 6.750%, 04/15/12 245 205 Digicel Group 9.250%, 09/01/12 (B) 2,260 1,672 9.125%, 01/15/15 (B) (C) 519 254 8.875%, 01/15/15 (B) (C) 4,400 2,266 DirecTV Holdings LLC 7.625%, 05/15/16 (C) 175 149 7.625%, 05/15/16 (B) 2,685 2,289 Echostar DBS 7.750%, 05/31/15 5,280 3,881 6.375%, 10/01/11 (C) 1,235 1,050 Fairpoint Communications 13.125%, 04/01/18 (B) 2,155 1,099 GCI 7.250%, 02/15/14 1,450 1,164 Hawaiian Telcom Communications, Ser B 9.750%, 05/01/13 (C) (E) 500 20
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Inmarsat Finance 10.375%, 11/15/12 $ 1,635 $ 1,435 Intelsat 9.250%, 06/15/16 (B) 150 125 7.625%, 04/15/12 125 73 6.500%, 11/01/13 1,825 876 Intelsat Bermuda 11.250%, 06/15/16 5,655 4,552 Intelsat Jackson Holdings 9.500%, 06/15/16 (B) 740 625 Intelsat Subsidiary Holding 8.875%, 01/15/15 (B) (C) 3,750 3,131 8.500%, 01/15/13 (B) 2,450 2,095 iPCS 5.317%, 02/01/09 (A) 1,180 826 iPCS PIK 6.051%, 02/01/09 (A) 2,890 1,734 Lamar Media 6.625%, 08/15/15 475 344 LBI Media 8.500%, 08/01/17 (B) 170 59 Level 3 Financing 9.250%, 11/01/14 500 263 8.750%, 02/15/17 1,125 543 6.845%, 02/17/09 (A) 100 44 Liberty Media LLC 7.875%, 07/15/09 3,600 3,528 Lucent Technologies 6.450%, 03/15/29 235 94 MetroPCS Wireless 9.250%, 11/01/14 6,835 5,605 Nextel Communications 6.875%, 10/31/13 (C) 600 252 Nielsen Finance LLC 12.500%, 08/01/16 (D) 825 305 10.000%, 08/01/14 625 450 Nordic Telephone Holdings 8.875%, 05/01/16 (B) 4,300 3,117 Nortel Networks 10.750%, 07/15/16 (B) 1,995 579 10.750%, 07/15/16 525 152 10.125%, 07/15/13 350 108 9.002%, 01/15/09 (A) 550 179 Orascom Telecom Finance 7.875%, 02/08/14 (B) (C) 2,000 1,100 PAETEC Holding 9.500%, 07/15/15 2,936 1,637 9.500%, 07/15/15 (C) 570 318 Primus Telecommunications 8.000%, 01/15/14 (C) 1,575 79 Quebecor Media 7.750%, 03/15/16 5,650 3,786
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 160
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Qwest 8.875%, 03/15/12 $ 1,175 $ 969 7.500%, 10/01/14 855 658 7.250%, 09/15/25 375 240 7.250%, 10/15/35 1,200 726 6.875%, 09/15/33 275 164 Qwest Capital Funding 7.900%, 08/15/10 (C) 750 628 7.250%, 02/15/11 1,345 1,036 7.000%, 08/03/09 (C) 1,500 1,440 Qwest Communications International 7.250%, 02/15/11 2,265 1,789 5.649%, 02/15/09 (A) 3,036 3,006 Qwest Communications International, Ser B 7.500%, 02/15/14 1,125 731 Rogers Communications 8.000%, 12/15/12 1,200 1,104 6.375%, 03/01/14 175 157 Sprint Capital 8.750%, 03/15/32 1,950 1,014 8.375%, 03/15/12 975 663 6.900%, 05/01/19 4,195 2,391 6.875%, 11/15/28 325 159 Sprint Capital, Ser 2001- 7.625%, 01/30/11 600 432 Sprint Nextel 6.000%, 12/01/16 3,165 1,756 Telcordia Technologies 10.000%, 03/15/13 (B) (C) 1,300 715 Telesat Canada 11.000%, 11/01/15 (B) 465 307 Time Warner Telecom Holdings 9.250%, 02/15/14 575 454 Videotron 9.125%, 04/15/18 (B) 1,245 1,096 Videotron Ltee 6.375%, 12/15/15 680 524 VIP Finance Ireland for Vimpel Communications 9.125%, 04/30/18 (B) 1,240 546 Virgin Media Finance 9.125%, 08/15/16 500 352 8.750%, 04/15/14 3,075 2,222 Visant Holding 10.250%, 12/01/13 6,650 4,871 8.750%, 12/01/13 1,615 1,163 West 11.000%, 10/15/16 (C) 1,325 570 9.500%, 10/15/14 (C) 3,995 2,117 Wind Acquisition Finance 10.750%, 12/01/15 (B) 4,125 3,382
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Windstream 8.625%, 08/01/16 $ 1,350 $ 1,053 8.625%, 08/01/16 4,875 3,827 8.125%, 08/01/13 2,215 1,827 7.000%, 03/15/19 1,800 1,246 Windstream Regatta Holdings 11.000%, 12/01/17 (B) 1,075 505 ------------- 114,576 ------------- UTILITIES -- 4.1% AES 8.875%, 02/15/11 1,600 1,384 8.750%, 05/15/13 (B) 489 430 8.000%, 06/01/20 (B) 2,335 1,495 8.000%, 10/15/17 3,740 2,599 7.750%, 03/01/14 25 18 Aquila 14.875%, 07/01/12 450 439 Calpine Generating LLC 14.320%, 10/01/07 (A) (E) 1,500 112 CMS Energy 8.500%, 04/15/11 675 643 Edison Mission Energy 7.625%, 05/15/27 585 398 7.500%, 06/15/13 2,525 2,058 7.200%, 05/15/19 550 401 7.000%, 05/15/17 (C) 3,685 2,764 Elwood Energy LLC 8.159%, 07/05/26 642 470 Energy Future Holdings 10.875%, 11/01/17 (B) 3,350 2,161 Ipalco Enterprises 7.250%, 04/01/16 (B) 275 209 Mirant Americas Generation LLC 8.500%, 10/01/21 2,258 1,581 8.300%, 05/01/11 440 407 Mirant North America LLC 7.375%, 12/31/13 3,535 3,058 NRG Energy 7.375%, 02/01/16 2,800 2,275 7.375%, 01/15/17 4,380 3,537 7.250%, 02/01/14 3,335 2,718 Orion Power Holdings 12.000%, 05/01/10 790 766 PNM Resources 9.250%, 05/15/15 375 295 Public Service of New Mexico 7.950%, 05/15/18 3,100 2,697 Reliant Energy 7.625%, 06/15/14 475 363 6.750%, 12/15/14 400 322 Sierra Pacific Resources 7.803%, 06/15/12 975 917
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 161 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Tenaska Alabama Partners 7.000%, 06/30/21 (B) $ 289 $ 221 Texas Competitive Electric Holdings 10.250%, 11/01/15 (B) 1,405 899 10.250%, 11/01/15 (B) 5,025 3,216 Texas Competitive Electric Holdings 10.250%, 11/01/15 (B) (C) 550 352 ------------- 39,205 ------------- Total Corporate Obligations (Cost $1,184,112) ($ Thousands) 766,289 ------------- LOAN PARTICIPATIONS -- 9.8% Advanstar Communicaitons, 2nd Lien 8.762%, 11/30/14 1,250 281 Aeroflex, Ser B-1 5.438%, 08/16/14 734 491 Affinion Holding 9.367%, 03/01/12 (A) 1,875 750 5.323%, 10/17/12 2,500 1,787 Affinion Holding PIK 9.367%, 03/01/12 (A) 3,200 1,280 Alliant Insurance Services, Ser B 6.762%, 08/21/14 1,241 788 Allison Transmission 5.332%, 08/07/14 2,459 1,459 Alltel Holdings 4.997%, 08/07/14 1,188 1,134 Alltell Holdings 5.316%, 05/16/15 73 69 Asurion 9.853%, 07/02/15 (A) 1,200 708 Asurion, 2nd Lien 11.013%, 07/07/15 (A) 722 426 9.853%, 07/07/15 1,000 590 8.268%, 07/07/15 (A) 528 312 Asurion, Ser B 6.477%, 07/07/14 (A) 650 447 5.442%, 07/07/14 1,000 687 5.306%, 07/07/14 (A) 1,200 824 BOC Edwards 8.560%, 05/31/14 200 90 4.810%, 05/31/14 820 398 Boise Paper 11.000%, 02/22/15 900 501 Boston Generating, 1st Lien 10.762%, 12/21/16 150 42 Boston Generating, 2nd Lien 8.012%, 06/21/14 650 258 CCFC (Calpine) 9.762%, 08/26/09 2,185 2,065 Cebridge 8.974%, 05/05/14 257 132
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Cebridge, 2nd Lien 8.899%, 05/05/14 $ 1,952 $ 1,006 Central Parking 5.317%, 05/22/14 (A) 834 584 4.946%, 05/22/14 (A) 1,917 1,342 Central Parking Line of Credit (Synthetic) 4.946%, 05/22/14 (A) 768 537 Century Cable Bank, Ser B 10.250%, 06/30/09 3 -- Cooper Standard 6.312%, 02/28/10 2,674 1,738 DAE Aviation Holdings, Ser B 6.650%, 09/27/14 (A) 274 156 6.519%, 09/27/14 277 158 Delta, 2nd Lien 6.750%, 04/30/14 222 112 DirecTV Holdings LLC 5.601%, 04/13/13 2,691 2,387 Dresser Rand, 1st Lien 5.070%, 05/04/14 485 329 Dresser Rand, 2nd Lien 8.557%, 05/04/15 3,365 2,042 Dresser, 2nd Lien 8.557%, 05/04/15 200 121 Entegra PIK 9.762%, 04/04/15 261 99 Entegra PIK, 3rd Lien 9.762%, 04/19/15 1,685 635 First Data , Ser B-1 5.902%, 09/24/14 525 356 First Data, Ser B-1 5.946%, 09/24/14 1,656 1,122 5.902%, 09/24/14 771 523 5.552%, 09/24/14 299 203 5.551%, 09/24/14 115 78 First Data, Ser B-3 5.926%, 09/24/14 271 183 Ford 7.590%, 12/12/13 1,001 408 Ford Motor 0.000%, 12/16/13 (A) 1,375 560 Ford, 1st Lien 7.590%, 12/12/13 395 161 General Motors 0.000%, 12/15/13 (A) 900 352 Georgia Pacific 5.446%, 12/20/10 2,200 1,695 5.366%, 02/14/13 332 255 Georgia Pacific, Ser B 4.652%, 02/14/13 397 309 Greektown Casino 0.000%, 12/03/12 475 252
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 162
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Green Valley Ranch Gaming, 2nd Lien 5.018%, 08/06/14 $ 2,000 $ 780 Harrah's Operating 0.000%, 01/28/15 2,000 1,171 Hexion Specialty Chemicals, Ser C1 6.188%, 05/05/13 (A) 1,652 881 Hexion Specialty Chemicals, Ser C2 6.063%, 05/05/13 (A) 244 130 HUB International Holdings, Ser B 0.000%, 06/13/14 (A) 2,725 1,655 HUB International Holdings, Delayed Draw 0.000%, 06/13/14 (A) 612 372 Iasis Healthcare 9.758%, 06/15/14 2,276 1,138 Infor Global Solutions 9.051%, 03/02/14 (A) 1,412 256 9.051%, 07/28/12 (A) 1,328 707 Infor Global Solutions, Delayed Draw 9.051%, 07/28/12 (A) 4 2 Intel 0.000%, 06/15/16 1,500 1,080 Intelsat Bermuda 6.834%, 02/01/14 (A) 2,400 1,752 JG Wentworth, 1st Lien 6.012%, 04/04/14 975 312 KAR Holding 6.020%, 10/18/13 1,175 702 Language Line, Ser B 7.020%, 05/14/11 (A) 474 394 LYO, Ser B 8.044%, 12/20/14 2,334 973 Lyondell Bank, Ser B 8.043%, 12/20/14 2,166 903 Lyondell Chemical 8.044%, 12/20/14 1,438 599 Lyondell Chemical, Ser B 5.951%, 12/20/14 (A) 1,597 665 5.591%, 12/20/14 (A) 1,100 458 Marvell Technology Group, Ser B 6.204%, 11/08/09 (A) 2,963 2,904 2.201%, 11/08/09 (A) 1,360 1,333 McKechnie Aerospace 8.220%, 05/11/15 700 315 5.220%, 05/11/14 242 174 McKechnie Aerospace, 1st Lien 5.220%, 05/11/14 375 270 Metroflag, 2nd Lien 12.429%, 01/06/09 325 16 Murray Bank, 2nd Lien 11.310%, 01/31/11 1,891 1,589
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- New World Gaming 9.552%, 05/18/15 $ 1,300 $ 715 News Day 9.750%, 07/29/13 975 809 Nielsen Finance LLC 4.803%, 08/09/13 298 199 4.229%, 08/09/13 27 18 0.000%, 08/09/13 275 183 NRG Energy, Ser B 5.262%, 06/02/13 (A) 2,700 2,258 Orbitz Worldwide 6.572%, 07/01/14 (A) 1,090 465 6.106%, 07/01/14 (A) 330 141 5.941%, 07/01/14 2,272 969 5.892%, 07/01/14 (A) 374 160 5.794%, 07/01/14 (A) 750 320 5.716%, 07/01/14 (A) 400 171 5.696%, 07/01/14 (A) 365 156 Penhall 10.132%, 03/28/12 715 286 Pinnacle Foods 6.763%, 04/02/14 789 540 Proquest, 2nd Lien 8.937%, 02/09/15 1,200 960 Rent Center, Ser B 4.809%, 06/30/12 1,500 1,125 Resolute Aneth LLC, 2nd Lien 8.008%, 06/27/13 1,500 1,125 Rexnord 9.676%, 02/20/13 2,260 1,740 Reynolds & Reynolds 5.171%, 10/24/12 (A) 4,000 2,350 Reynolds & Reynolds, 3rd Lien 10.671%, 04/24/14 (A) 800 360 10.671%, 04/01/14 (A) 4,000 1,800 RH Donnelley, Ser D 6.407%, 06/30/11 (A) 1,600 980 Royalty Pharma 2.804%, 05/15/15 1,250 875 Sevan Marine 9.250%, 12/20/11 500 245 Shexion, Ser C1 6.188%, 05/05/13 1,835 979 Shexion, Ser C2 6.063%, 05/05/13 400 213 Simmons Bedding 0.000%, 12/19/11 1,155 716 Simmons Holdco 8.345%, 02/15/12 2,295 69 Simmons Holdco, Unsecured 8.345%, 02/15/12 400 12 Sorenson Communications, 2nd Lien 10.180%, 02/16/14 (A) 4,450 3,605
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 163 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Talecris Biotherapeutics 9.310%, 12/06/14 (A) $ 1,185 $ 1,025 TD Ameritrade Holding, Ser A 3.470%, 12/31/11 2,000 1,607 TD Ameritrade Holding, Ser B 4.500%, 12/31/12 (A) 1,400 1,182 Texas Competitive Electric Holdings 6.490%, 10/27/14 775 525 6.490%, 10/10/14 300 204 6.489%, 10/27/14 297 201 6.457%, 10/10/14 1,371 933 6.301%, 10/27/14 75 51 0.000%, 10/10/14 325 221 0.000%, 10/27/14 948 642 Texas Competitive Electric Holdings, Ser B1 0.000%, 10/10/14 200 136 Texas Competitive Electric Holdings, Ser B-2 6.659%, 10/10/14 (A) 1,360 927 Texas Competitive Electric Holdings, Ser B3 6.301%, 10/10/14 825 559 0.000%, 10/27/14 775 525 0.000%, 10/10/14 275 186 Town Sports International 4.313%, 02/27/14 272 122 Tribune 6.500%, 06/04/14 945 265 Univision Communications 5.494%, 03/15/14 14 6 0.000%, 03/15/14 60 33 Univision Communications, Ser B 7.210%, 09/29/14 (A) 73 32 5.494%, 09/15/14 (A) 106 47 5.491%, 09/15/14 145 64 5.375%, 09/29/14 (A) 12 5 Univision Communications, Delayed Draw 4.451%, 09/29/14 (A) 47 26 4.451%, 09/15/14 (A) 89 49 Venoco 6.812%, 05/07/14 400 277 Verint Systems 5.736%, 05/09/14 1,877 1,032 Wind Acquisition Holdings 11.752%, 12/21/11 1,207 820 11.752%, 12/12/11 2,773 1,886 ------------- Total Loan Participations (Cost $140,042) ($ Thousands) 92,885 -------------
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- COLLATERALIZED DEBT OBLIGATION -- 5.2% ACAS Business Loan Trust, Ser 2007-2A, Cl A 2.549%, 02/17/09 (A) (B) $ 6,938 $ 4,052 Ares IIIR CLO, Ser 2007-3RA, Cl SUB 0.000%, 04/16/21 (B) 5,000 1,250 Ares VR CLO, Ser 2006-5RA, Cl SUB 0.000%, 02/24/18 (B) 3,500 700 Ares XI CLO, Ser 2007-11A, Cl SUB 0.000%, 10/11/21 (B) 3 728 Babson CLO, Ser 2003-I, Cl SUB 0.000%, 11/15/16 (B) 18 216 Babson CLO, Ser 2003-I, Cl D 6.452%, 01/15/09 (A) (B) 1,050 207 Babson CLO, Ser 2007-2A, Cl INC 0.000%, 01/15/09 (A) (B) 2,700 384 Ballyrock CDO, Ser 2005-3A, Cl B 3.915%, 01/26/09 (A) (B) 1,375 688 Battalion CLO, Ser 2007-1, Cl 1A 0.000%, 07/14/22 (B) 18 525 Battalion CLO, Ser 2007-1A, Cl E 9.069%, 01/14/09 (A) (B) 2,550 765 Capitalsource Advisors CLO, Ser 2006-1A, Cl SUB 0.000%, 08/27/20 (B) 2,900 522 Carlyle High Yield Partners CLO, Ser 2006-8A, Cl N 0.000%, 05/21/21 3,000 480 CIFC Funding, Ser 2007-IV 0.000%, 12/19/07 3,900 1,408 CIFC Funding, Ser 2006-1BA, Cl A3L 4.034%, 12/22/08 (A) (B) 3,525 732 CIFC Funding, Ser 2006-1BA, Cl A2L 3.624%, 12/22/08 (A) (B) 6,000 1,236 CIFC Funding, Ser 2006-I 0.000%, 10/20/20 (A) (B) 2,000 340 CIFC Funding, Ser 2006-II 0.000%, 03/01/21 (A) (B) 3,000 510 CIFC Funding, Ser 2007-1A, Cl A1LB 2.728%, 02/10/09 (A) (B) 3,250 682 CIFC Funding, Ser 2007-2A, Cl SUB 0.000%, 04/15/21 (B) 2,500 400 CIFC Funding, Ser 2007-3A, Cl B 4.785%, 01/26/09 (A) (B) 2,700 555 CIT CLO, Ser 2007-1A, Cl E 8.200%, 12/22/08 (A) 2,200 228 CIT CLO, Ser 2007-1A, Cl D 5.200%, 12/22/08 (A) (B) 3,000 250 Commercial Industrial Finance, Ser 2006-2A, Cl A1L 2.463%, 03/02/09 (A) (B) 8,500 5,162
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 164
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Connecticut Valley Structured Credit CDO, Ser 2006-3A 0.000%, 03/23/23 (B) $ 1,200 $ 72 Copper River CLO, Ser 2006-1A, Cl INC 0.000%, 01/20/09 (A) (B) 3,000 603 De Meer Middle Market CLO, Ser 2006-1A, Cl B 4.902%, 01/20/09 (A) (B) 1,200 419 De Meer Middle Market CLO, Ser 2006-1A, Cl INC 0.000%, 10/20/18 (B) 3,167 611 Denali Capital CLO VII, Ser 2007-1A, Cl INC 0.000%, 01/22/22 (B) 4,500 900 Duane Street CLO, Ser 2007-5A, Cl SN 0.000%, 10/14/21 (B) 3,500 805 Gale Force CLO, Ser 2005-1A 2.630%, 11/15/17 (B) 6,600 1,452 Gale Force CLO, Ser 2007-4A, Cl E 8.618%, 02/20/09 (A) 4,200 841 Gale Force CLO, Ser 2007-4A, Cl INC 0.000%, 02/20/09 (A) 60 1,502 Gleneagles CLO, Ser AI 0.000%, 02/01/09 (A) 6 2,400 GoldenTree Loan Opportunities III, Ser 2007-3A, Cl SUB 0.000%, 05/01/22 (B) 3,100 620 Greenbriar CLO, Ser 2007-1A, Cl D 5.942%, 02/02/09 (A) (B) 4,600 920 GSC Partners CDO Fund, Ser 2004- 5A, Cl A2 2.868%, 02/20/09 (A) (B) 3,300 1,572 Hamlet, Ser 2005-2A, Cl A2B 2.620%, 02/11/09 (A) (B) 2,800 1,274 Harch CLO, Ser 2005-2A, Cl C 4.859%, 01/22/09 (A) (B) 1,650 478 Harch CLO, Ser 2007-1A, Cl C 4.258%, 01/29/09 (A) (B) 2,750 688 ING Investment Management I CLO 0.000%, 12/01/17 (A) (B) 2 300 ING Investment Management II CLO 0.000%, 08/01/20 (A) (B) 5 720 Lafayette Square CDO, Ser 2005-1A, Cl A2 2.549%, 02/17/09 (A) (B) 3,575 1,976 Lightpoint CLO, Ser 2006-4A, Cl INC 0.000%, 04/15/18 (B) 2,000 50 Marathon CLO, Ser 2005-2A, Cl B 4.004%, 12/22/08 (A) (B) 1,300 501 Marathon CLO, Ser 2005-2A, Cl INC 0.000%, 12/20/19 (B) 1,500 210
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Marlborough Street CLO, Ser 2007-1A, Cl INC 0.000%, 04/18/19 (B) $ 2,300 $ 489 Marlborough Street CLO, Ser 2007-1A, Cl A2B 4.853%, 01/20/09 (A) (B) 5,250 2,422 NOB Hill CLO, Ser 2007-1A, Cl C 4.154%, 12/22/08 (A) (B) 2,750 550 Peritus I CDO 0.000%, 12/19/07 (F) 3,000 60 Peritus I CDO, Ser 2005-1A, Cl C 9.000%, 05/24/15 (B) (F) 10,389 1,039 Rockwall Investors CDO 0.000%, 08/01/21 (A) (B) 3,000 300 Sands Point Funding, Ser 2006-1A, Cl C 5.303%, 01/20/09 (A) (B) 2,580 903 Stanfield Daytona CLO 0.000%, 04/27/21 36 702 Stanfield Veyron CLO, Ser 2006-1A, Cl SUB 0.000%, 07/15/18 2,000 250 Tralee CDO, Ser 2007-1A, Cl SUB 0.000%, 04/16/22 (B) 2,500 450 Whitehorse CLO II 0.000%, 03/15/13 (A) (B) 35 647 ------------- Total Collateralized Debt Obligation (Cost $123,294) ($ Thousands) 48,746 ------------- CONVERTIBLE BONDS -- 0.2% Adelphia Recovery Trust, Ser ACE-1 (escrow security) 0.000%, 02/15/09 466 -- American Tower 7.000%, 10/15/17 (B) 225 194 Flextronics CV to 64.4122 1.000%, 08/01/10 1,015 797 Ford Motor CV to 108.6957 4.250%, 12/15/36 375 115 Freeport-McMoRan Copper & Gold CV to 1.3605 0.000%, 05/01/10 5 223 Mentor 2.750%, 01/01/24 220 215 Mirant CV to 131.9888 0.000%, 07/15/07 750 1 Mirant CV to 14.7167 0.000%, 06/15/21 (C) 1,950 4 ------------- Total Convertible Bonds (Cost $2,250) ($ Thousands) 1,549 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 165 SCHEDULE OF INVESTMENTS (Unaudited) High Yield Bond Fund (Concluded) November 30, 2008
Shares/Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- COMMON STOCK -- 0.1% Armstrong World Industries (C) 6,237 $ 106 Core-Mark Holding* (C) 12,992 261 Dana Holdings * 58,081 55 Federal Mogul, Cl A* 35,318 187 Huntsman 8,803 63 Mirant* 2,931 51 Owens Corning* (C) 11,144 178 Solutia* 30,438 207 ------------- Total Common Stock (Cost $3,301) ($ Thousands) 1,108 ------------- GLOBAL BOND -- 0.0% Steel Capital for OAO Severstal 9.750%, 07/29/13 (B) $ 380 163 ------------- Total Global Bond (Cost $380) ($ Thousands) 163 ------------- PREFERRED STOCK -- 0.0% Dana, Ser B* 575,400 362 ------------- Total Preferred Stock (Cost $574) ($ Thousands) 362 ------------- AFFILIATED PARTNERSHIP -- 12.0% SEI Liquidity Fund, L.P., 1.630%**+ (G) 115,990,406 113,398 ------------- Total Affiliated Partnership (Cost $115,991) ($ Thousands) 113,398 ------------- CASH EQUIVALENT -- 3.5% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.620%**+ 33,217,989 33,218 ------------- Total Cash Equivalent (Cost $33,218) ($ Thousands) 33,218 ------------- Total Investments -- 111.7% (Cost $1,603,162)($ Thousands) $ 1,057,718 =============
Percentages are based on a Net Assets of $947,052 ($ Thousands) * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (see Note 3). +++ Real Estate Investment Trust (A) Variable Rate Security -- The rate reported on the Schedule of Investments is the rate in effects as of November 30, 2008. The date reported on the Schedule of Investments is the next reset date. (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the board of Trustees. (C) This security or a partial position of this security is on loan at November 30, 2008. The total value of securities on loan at November 30, 2008 was $107,649 ($ Thousands). (D) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on November 30, 2008. The coupon on a step bond changes on a specified date. (E) Security in default on interest payments. (F) Securities considered illiquid. The total value of such securities as of November 30, 2008 was $1,099 ($ Thousands) and represented 0.12% of Net Assets. (G) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of November 30, 2008 was $113,398 ($ Thousands). CDO -- Collateralized Debt Obligation Cl -- Class CLO -- Collateralized Loan Obligation CV -- Convertible Security LLC -- Limited Liability Company L.P. -- Limited Partnership MTN -- Medium Term Note PIK -- Payment-in-Kind PLC -- Public Limited Company Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 166 Long Duration Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) Asset-Backed Securities 26.7% Mortgage-Backed Securities 26.2% U.S. Government Agency Obligations 16.1% Financials 12.0% U.S. Treasury Obligations 5.2% Cash Equivalent 3.8% Utilities 3.5% Commercial Paper 3.2% Industrials 2.1% Telecommunication Services 0.8% Health Care 0.4%
++ Percentages based on total investments.
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- ASSET-BACKED SECURITIES -- 21.8% MORTGAGE RELATED SECURITIES -- 21.8% ACE Securities, Ser WF1, Cl A2C 1.735%, 12/26/08 (A) $ 2,059 $ 1,330 Asset-Backed Securities Home Equity, Ser 2003-HE4, Cl M2 3.423%, 12/15/08 (A) 455 329 Bayview Financial Acquisition Trust, Ser 2004-B, Cl A1 2.431%, 12/29/08 (A) (B) 1,316 922 Bayview Financial Acquisition Trust, Ser 2005-A, Cl A1 1.931%, 12/29/08 (A) (B) 2,100 1,764 Bayview Financial Revolving Mortgage Loan Trust, Ser 2005-E, Cl A1 1.931%, 12/29/08 (A) (B) 2,400 1,920 Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE5, Cl 1A2 1.575%, 12/26/08 (A) 2,300 1,380 BNC Mortgage Loan Trust, Ser 2007-2, Cl A2 1.495%, 12/26/08 (A) 498 407 Continental Airlines, Ser 2002-1, Cl G1 2.599%, 02/17/09 (A) 62 49 Countrywide Asset-Backed Certificates, Ser 2003-BC1, Cl M1 2.315%, 12/26/08 (A) 180 93 Credit-Based Asset Servicing, Ser 2006-CB4, Cl AV3 1.545%, 12/26/08 (A) 2,750 1,773 Credit-Based Asset Servicing, Ser 2006-CB9, Cl A2 1.505%, 12/26/08 (A) 1,076 718 Credit-Based Asset Servicing, Ser 2007-CB4, Cl M1 1.715%, 12/26/08 (A) 1,192 155
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- First Franklin Mortgage Loan Asset- Backed Certificates, Ser 2005-FF2, Cl A2C 1.705%, 12/26/08 (A) $ 513 $ 498 First Franklin Mortgage Loan Asset- Backed Certificates, Ser 2007-FF1, Cl A2D 1.615%, 12/26/08 (A) 2,750 512 First Franklin Mortgage Loan Asset- Backed Certificates, Ser 2007-FF2, Cl A2D 1.615%, 12/26/08 (A) 1,850 285 GMAC Mortgage Loan Trust, Ser 2000-HE2, Cl A1 1.835%, 12/26/08 (A) 478 322 Home Equity Asset Trust, Ser 2007-3, Cl 2A2 1.575%, 12/26/08 (A) 2,300 1,324 Indymac Home Equity Loan Asset- Backed Trust, Ser 2002-A, Cl M1 2.520%, 12/26/08 (A) 675 534 Inman Square Funding, Ser 2A, Cl I 4.658%, 01/06/09 (A) (B) 1,670 209 Irwin Home Equity, Ser 2003-A, Cl M2 4.045%, 12/26/08 (A) 221 186 Ivy Lane CDO, Ser 2006-1A, Cl A1 3.189%, 02/05/09 (A) (B) 1,359 394 JPMorgan Mortgage Acquisition, Ser 2007-HE1, Cl AV1 1.455%, 12/26/08 (A) 781 640 Lehman XS Trust, Ser 2006-12N, Cl A1A1 1.475%, 12/26/08 (A) 169 167 Long Beach Asset Holdings, Ser 2006-9, Cl N1 6.250%, 10/25/46 (B) 826 12 Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A1 1.475%, 12/26/08 (A) 716 624 Mid-State Trust, Ser 2004-1, Cl B 8.900%, 08/15/37 397 361 Morgan Stanley Capital, Ser 2002-HE3, Cl M1 3.045%, 12/26/08 (A) 1,131 837 Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3 1.565%, 12/26/08 (A) 2,565 1,682 Nationstar Home Equity Loan Trust, Ser 2007-B, Cl 2AV4 1.715%, 12/26/08 (A) 2,000 710 Nationstar NIM Trust, Ser 2007-B, Cl A 8.750%, 05/25/37 (B) 155 6
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 167 SCHEDULE OF INVESTMENTS (Unaudited) Long Duration Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Newcastle Mortgage Securities Trust, Ser 2007-1, Cl 2A4 1.735%, 12/26/08 (A) $ 500 $ 212 Renaissance Home Equity Loan Trust, Ser 2007-1, Cl N 9.793%, 01/25/09 (A) (B) 342 144 Residential Funding Mortgage Securities, Ser 1999-HI8, Cl AI7 7.970%, 11/25/29 193 172 Saxon Asset Securities Trust, Ser 2005-1, Cl M1 2.190%, 12/26/08 (A) 1,795 1,269 Structured Asset Securities, Ser 2006-WF2, Cl A3 1.545%, 12/26/08 (A) 1,500 1,149 Structured Asset Securities, Ser 2007-EQ1, Cl A4 1.645%, 12/26/08 (A) 1,500 562 ------------- Total Asset-Backed Securities (Cost $41,574) ($ Thousands) 23,651 ------------- MORTGAGE-BACKED SECURITIES -- 21.5% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 3.1% FHLMC ARM 7.000%, 01/01/33 323 335 6.500%, 08/01/29 656 662 FHLMC CMO, Ser 2748, Cl ZT 5.500%, 02/15/24 93 89 FNMA ARM 7.000%, 04/01/34 312 324 4.817%, 01/25/09 462 462 3.886%, 01/25/09 483 481 FNMA CMO, Ser 2001-48, Cl PD 6.500%, 06/25/20 65 66 FNMA CMO, Ser 2003-122, Cl ZQ 6.000%, 12/25/33 127 139 FNMA CMO, Ser 2004-12, Cl ZX 6.000%, 03/25/34 137 134 FNMA CMO, Ser 2004-31, Cl MZ 4.250%, 05/25/34 121 91 FNMA CMO, Ser 2004-80, Cl XZ 5.000%, 11/25/34 245 208 GNMA ARM 5.375%, 01/20/09 260 256 GNMA CMO, Ser 2003-112, Cl SG 7.016%, 12/16/08 (A) 134 102 ------------- 3,349 ------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 18.4% Alliance Bancorp Trust, Ser OA1, Cl A1 1.635%, 12/26/08 (A) 1,727 685
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1 1.625%, 12/26/08 (A) $ 2,019 $ 1,580 Bayview Commercial Asset Trust, Ser 2006-1A, Cl M3 1.815%, 12/26/08 (A) (B) 1,002 130 Bayview Commercial Asset Trust, Ser 2007-2A, Cl A1 1.665%, 12/26/08 (A) (B) 2,512 1,656 Bayview Commercial Asset Trust, Ser 2007-3, Cl A1 1.635%, 12/26/08 (A) (B) 2,440 2,060 Chase Mortgage Finance, Ser 2007-A2, Cl 2A3 4.243%, 01/25/09 (A) 1,225 983 Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl AM 5.889%, 01/10/09 (A) 1,470 647 Citigroup Mortgage Loan Trust, Ser 2003-1, Cl WA2 6.500%, 06/25/31 67 64 Citigroup Mortgage Loan Trust, Ser 2004-2, Cl 2A1 6.500%, 08/25/18 (B) 40 37 Countrywide Alternative Loan Trust, Ser 2005-16, Cl A5 1.675%, 12/26/08 (A) 494 169 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 1A2 4.065%, 01/25/09 (A) 945 425 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 4.015%, 01/25/09 (A) 604 242 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 3.765%, 01/25/09 (A) 70 28 Countrywide Alternative Loan Trust, Ser 2005-61, Cl 2A1 1.675%, 12/26/08 (A) 522 214 Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 1.665%, 12/26/08 (A) 747 361 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO 2.090%, 01/20/09 (A) 6,872 213 Countrywide Home Loans, Ser 2006-2, Cl 1A1 1.715%, 12/26/08 (A) 241 105 DSLA Mortgage Loan Trust, Ser 2004-AR1, Cl A2A 1.884%, 12/19/08 (A) 86 43 DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A 1.684%, 12/19/08 (A) 387 185
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 168
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- DSLA Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1A 1.734%, 12/19/08 (A) $ 490 $ 216 Greenpoint Mortgage Funding Trust, Ser 2006-AR3, Cl 4A1 1.605%, 12/26/08 (A) 2,016 841 Greenwich Capital Commercial Funding, Ser 2005-GG5, Cl AM 5.277%, 01/10/09 (A) 1,960 1,077 GS Mortgage Securities II, Ser 2006-GG8, Cl A4 5.560%, 11/10/39 1,980 1,348 Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A 1.874%, 12/19/08 (A) 454 222 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO 1.659%, 03/19/35 1,081 17 Harborview Mortgage Loan Trust, Ser 2005-11, Cl 2A1A 1.784%, 12/19/08 (A) 699 305 Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO 1.554%, 01/19/09 (A) 3,263 47 Harborview Mortgage Loan Trust, Ser 2006-1, Cl X1, IO 2.044%, 01/19/09 (A) 7,029 168 Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B 1.795%, 12/26/08 (A) 206 99 Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1 5.452%, 01/25/09 (A) 229 159 Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 1.825%, 12/25/08 (A) 61 31 Indymac Index Mortgage Loan Trust, Ser 2004-AR8, Cl 2A2A 1.795%, 12/26/08 (A) 63 31 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1 1.785%, 12/26/08 (A) 239 121 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO 1.560%, 12/25/34 479 4 Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A 1.705%, 12/26/08 (A) 1,352 573 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-CB16, Cl AM 5.593%, 05/12/45 480 225
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4 5.875%, 01/15/09 (A) $ 535 $ 359 JPMorgan Mortgage Trust, Ser 2005-A2, Cl 9A1 4.236%, 01/25/09 (A) 493 313 Master Adjustable Rate Mortgage Trust, Ser 2006-OA2, Cl 4A1A 3.705%, 01/25/09 (A) 2,089 701 Master Alternative Loans Trust, Ser 2003-3, Cl 2A1 8.500%, 05/25/33 141 140 Master Seasoned Securities Trust, Ser 2005-1, Cl 4A1 5.606%, 01/25/09 (A) 321 168 Residential Accredit Loans, Ser 2005-QO3, Cl A1 1.795%, 12/26/08 (A) 2,498 1,058 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl 3A1 1.625%, 12/26/08 (A) 1,670 635 Washington Mutual Mortgage Pass- Through Certificates, Ser 2000-1, Cl M2 2.695%, 12/26/08 (A) 316 300 Washington Mutual Mortgage Pass- Through Certificates, Ser 2005-AR2, Cl 2A21 1.725%, 12/25/08 (A) 370 159 Washington Mutual Mortgage Pass- Through Certificates, Ser 2007-OA3, Cl 4A1 3.435%, 01/25/09 (A) 1,749 753 ------------- 19,897 ------------- Total Mortgage-Backed Securities (Cost $40,551) ($ Thousands) 23,246 ------------- CORPORATE OBLIGATIONS -- 15.4% FINANCIALS -- 9.8% Bank of America 8.000%, 01/30/09 (A) 700 486 Bank of America, Ser A 8.070%, 12/31/26 (B) 817 694 Barrick Gold Finance 5.800%, 11/15/34 397 274 Bear Stearns 7.250%, 02/01/18 475 481 4.905%, 01/16/09 (A) 700 689 Capital One Financial MTN 3.097%, 12/10/08 (A) 350 323 Cedar Brakes II LLC 9.875%, 09/01/13 (B) 254 264
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 169 SCHEDULE OF INVESTMENTS (Unaudited) Long Duration Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Chase Capital II 3.693%, 02/02/09 (A) $ 350 $ 267 Citigroup 4.125%, 02/22/10 800 766 Citigroup Capital XXI 8.300%, 12/21/08 (A) 340 205 Corestates Capital I 8.000%, 12/15/26 (B) 1,000 813 Countrywide Financial MTN 3.418%, 12/24/08 (A) 525 519 3.333%, 12/19/08 (A) 300 300 Deutsche Bank Capital Funding Trust 5.628%, 01/19/09 (A) (B) 582 370 Farmers Insurance Exchange 8.625%, 05/01/24 (B) 80 57 GMAC LLC 5.011%, 03/02/09 (A) 488 147 Goldman Sachs Group 2.886%, 02/06/09 (A) 500 423 HBOS 5.920%, 04/01/09 (A) (B) 400 201 Lehman Brothers Holdings MTN 8.920%, 02/16/17 (C) 462 47 2.954%, 07/18/11 (C) 730 66 Lehman Brothers Holdings, Ser H MTN 12.500%, 11/30/08 (A) (C) 528 54 MBNA Capital, Ser B 3.993%, 02/01/09 (A) 288 178 Morgan Stanley 5.050%, 01/21/11 385 364 5.033%, 01/15/09 (A) 325 303 Nationwide Mutual Insurance 7.875%, 04/01/33 (B) 150 83 Power Receivables Finance 6.290%, 01/01/12 (B) 247 241 Security Benefit Life 7.450%, 10/01/33 (B) 750 706 Simon Property Group 5.750%, 05/01/12+++ 420 328 Wachovia Capital Trust I 7.640%, 01/15/27 (B) 150 99 Weingarten Realty Investors MTN 8.250%, 01/22/10+++ 750 737 ZFS Finance USA Trust I 6.500%, 05/09/09 (A) (B) 300 159 ------------- 10,644 ------------- HEALTH CARE -- 0.3% UnitedHealth Group 6.875%, 02/15/38 425 329 ------------- INDUSTRIALS -- 1.7% America West Airlines, Ser 01-1 7.100%, 04/02/21 159 128
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- American Airlines Pass-Through Trust, Ser 2003-01 3.857%, 07/09/10 $ 505 $ 429 Continental Airlines, Ser 99-2 7.056%, 09/15/09 450 421 Continental Airlines, Ser AMBC 6.236%, 03/15/20 84 56 Delta Air Lines, Ser 2001-1 7.111%, 09/18/11 600 477 United Air Lines, Ser 2001-1 6.201%, 12/31/49 110 106 United Air Lines, Ser 2001-1, Cl A-1 6.071%, 03/01/13 281 261 ------------- 1,878 ------------- TELECOMMUNICATION SERVICES -- 0.7% Verizon Communications 6.400%, 02/15/38 925 752 ------------- UTILITIES -- 2.9% Entergy Gulf States 3.210%, 03/01/09 (A) 275 273 Entergy Louisiana LLC 5.830%, 11/01/10 250 242 Sempra Energy ESOP & Trust 5.781%, 11/01/14 (B) 600 594 Tennessee Valley Authority 5.500%, 06/15/38 565 613 4.875%, 01/15/48 1,420 1,401 ------------- 3,123 ------------- Total Corporate Obligations (Cost $20,816) ($ Thousands) 16,726 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 13.2% FHLB (A) 2.817%, 12/10/08 555 555 3.585%, 01/30/09 70 70 FHLB DN (D) 1.252%, 12/02/08 1,020 1,020 0.180%, 12/16/08 2,655 2,655 0.304%, 12/18/08 1,620 1,620 2.109%, 01/09/09 360 359 0.902%, 01/28/09 350 349 FHLMC 5.300%, 01/09/12 1,130 1,134 5.400%, 02/02/12 1,130 1,136 FHLMC DN (D) 2.038%, 01/07/09 180 180 0.651%, 01/20/09 390 390 FNMA 3.562%, 01/27/09 (A) 100 100 5.625%, 06/29/12 1,125 1,128
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 170
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- FNMA DN (D) 0.508%, 05/02/05 $ 395 $ 395 1.652%, 12/15/08 300 300 1.656%, 12/24/08 2,540 2,539 2.038%, 01/08/09 360 360 ------------- Total U.S. Government Agency Obligations (Cost $14,323) ($ Thousands) 14,290 ------------- U.S. TREASURY OBLIGATION -- 4.2% U.S. Treasury Bond 5.250%, 11/15/28 3,790 4,578 ------------- Total U.S. Treasury Obligation (Cost $4,264) ($ Thousands) 4,578 ------------- COMMERCIAL PAPER (D) -- 2.6% Bank of America 0.400%, 12/01/08 135 135
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------- ------------- ------------- General Electric Capital 1.050%, 12/29/08 $ 760 $ 759 JPMorgan Chase 0.499%, 12/01/08 135 135 Rabobank USA Financial 0.951%, 12/09/08 1,770 1,770 ------------- Total Commercial Paper (Cost $2,799) ($ Thousands) 2,799 ------------- CASH EQUIVALENT -- 3.1% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.580%*+ 3,388,084 3,388 ------------- Total Cash Equivalent (Cost $3,388) ($ Thousands) 3,388 ------------- Total Investments -- 81.8% (Cost $127,715) ($ Thousands) $ 88,678 =============
A summary of outstanding swap agreements held by the Fund at November 30, 2008, is as follows (See Note 2 in Notes to Financial Statements): CREDIT DEFAULT SWAPS
NET UNREALIZED (PAYS)/ APPRECIATION BUY/SELL RECEIVES TERMINATION NOTIONAL AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RATE DATE (THOUSANDS) ($ THOUSANDS) - ------------ --------------------------- ---------- -------- ----------- --------------- -------------- Credit Suisse ABX.HE.AAA 07-1 Index Sell 0.09% 08/25/37 (1,225) $(577) Merrill Lynch Centex Corp., 5.250% 06/15/15 Buy (3.56) 12/20/12 325 51 Barclays Bank PLC Goldman Sachs Group Inc., 6.600% 12/20/12 Buy (0.75) 12/20/12 50 5 JPMorgan Chase Bank Goldman Sachs Group Inc., 6.600% 01/15/12 Buy (0.74) 12/20/12 400 40 JPMorgan Chase Bank Morgan Stanley, 6.600% 04/01/12 Buy (0.91) 12/20/12 295 41 Citigroup Pulte Homes Inc., 5.250% 01/15/14 Buy (3.88) 12/20/12 100 12 Citigroup Pulte Homes Inc., 5.250% 01/15/14 Buy (3.91) 12/20/12 235 28 Credit Suisse Pulte Homes Inc., 5.250% 01/15/14 Buy (3.78) 12/20/12 325 39 Citigroup Toll Brothers, 6.875% 11/15/12 Buy (2.83) 12/20/12 220 17 Merrill Lynch Toll Brothers, 6.875% 11/15/12 Buy (2.83) 12/20/12 310 23 ----- $(321) =====
INTEREST RATE SWAPS
NET UNREALIZED APPRECIATION NOTIONAL AMOUNT (DEPRECIATION) COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS) ($ THOUSANDS) - ------------ ------------- ------------- ---------------- --------------- -------------- Barclays Bank PLC 3-Month LIBOR 5.18% 01/03/17 5,615 $ 923 Barclays Bank PLC 3-Month LIBOR 5.30% 05/02/22 5,340 1,262 Barclays Bank PLC 3-Month LIBOR 5.29% 09/05/16 3,690 593 Citigroup 4.59% 3-Month LIBOR 02/04/23 3,785 667 Citigroup 3-Month LIBOR 5.19% 03/02/22 16,450 3,731 Citigroup 4.10% 3-Month LIBOR 10/24/38 1,605 (321) Credit Suisse 3-Month LIBOR 5.39% 04/04/16 5,980 935 Credit Suisse 3-Month LIBOR 5.73% 07/05/16 4,400 868 Credit Suisse 3-Month LIBOR 5.73% 07/05/22 2,240 674 Credit Suisse 3-Month LIBOR 5.18% 11/02/20 4,910 993 Deutsche Bank 3-Month LIBOR 5.43% 02/02/22 19,515 5,078 Deutsche Bank 3-Month LIBOR 5.31% 04/03/22 26,200 6,180 ------- $21,583 =======
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 171 SCHEDULE OF INVESTMENTS (Unaudited) Long Duration Fund (Concluded) November 30, 2008 A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ----------------------- ------------ ---------- ------------- U.S. Long Treasury Bond 46 Mar-2009 $138 ====
Percentages are based on a Net Assets of $108,393 ($ Thousands). * Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (See Note 3). +++ Real Estate Investment Trust (A) Variable Rate Security - The rate reported is the rate in effects as of November 30, 2008. The date reported is the next reset date. (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the board of Trustees. (C) Security in default on interest payments. (D) The rate reported is the effective yield at time of purchase. ARM -- Adjustable Rate Mortgage CDO -- Collateralized Debt Obligation Cl -- Class CMO -- Collateralized Mortgage Obligation DN -- Discount Note FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association LIBOR -- London Interbank Offered Rate IO -- Interest Only - Face amount represents notional amount LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin PLC -- Public Limited Company Ser -- Series Amounts designated as "--" are $0 or have been rounded to $0 The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 172 Extended Duration Fund November 30, 2008 SECTOR WEIGHTINGS++: (BAR CHART) U.S. Government Agency Obligations 32.9% Mortgage-Backed Securities 22.9% Asset-Backed Securities 15.8% Financials 9.2% U.S. Treasury Obligation 6.0% Cash Equivalent 5.4% Commercial Paper 2.8% Utilities 2.1% Industrials 1.5% Consumer Disrectionary 0.5% Telecommunication Services 0.4% Health Care 0.3% Certificates of Deposit 0.2%
++ Percentages based on total investments.
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 20.7% FHLB 2.817%, 12/10/08 (A) $ 3,505 $ 3,503 3.366%, 12/26/08 (A) 1,195 1,193 3.585%, 01/30/09 (A) 3,565 3,573 2.750%, 05/07/09 1,150 1,159 FHLB DN (B) 0.080%, 12/01/08 18,930 18,930 1.252%, 12/02/08 15,820 15,820 0.180%, 12/09/08 to 12/16/08 52,200 52,197 2.666%, 12/12/08 182 182 2.818%, 12/17/08 12,970 12,954 0.304%, 12/18/08 47,375 47,368 2.768%, 12/19/08 4,730 4,723 2.109%, 01/09/09 17,825 17,784 0.861%, 01/13/09 785 784 FHLMC 1.864%, 12/08/08 (A) 1,050 1,049 1.448%, 12/18/08 (A) 2,415 2,411 1.361%, 12/29/08 (A) 1,215 1,213 5.450%, 07/09/10 1,550 1,557 5.300%, 01/09/12 1,862 1,868 5.400%, 02/02/12 1,655 1,664 FHLMC DN (B) 2.038%, 01/07/09 755 755 0.651%, 01/20/09 10,445 10,440 0.501%, 01/26/09 1,323 1,322 0.700%, 01/30/09 10,942 10,929 FNMA 3.562%, 01/27/09 (A) 4,890 4,900 5.625%, 06/29/12 1,615 1,620 FNMA DN (B) 2.461%, 12/08/08 735 735 2.261%, 12/12/08 191 191 1.652%, 12/15/08 649 649 1.656%, 12/24/08 2,530 2,530 1.979%, 01/05/09 9,520 9,517 2.038%, 01/08/09 1,975 1,974
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- 0.601%, 01/12/09 $ 18,225 $ 18,218 ------------- Total U.S. Government Agency Obligations (Cost $253,731) ($ Thousands) 253,712 ------------- MORTGAGE-BACKED SECURITIES -- 14.4% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.6% FHLMC ARM 6.500%, 08/01/29 568 573 6.072%, 02/15/09 357 360 5.838%, 02/15/09 644 651 5.248%, 02/15/09 1,367 1,352 5.130%, 02/15/09 1,268 1,242 5.086%, 02/15/09 1,930 1,935 4.521%, 02/15/09 1,199 1,170 4.103%, 02/15/09 1,899 1,849 FHLMC CMO, Ser 2006-4, Cl WE 4.500%, 02/25/36 7,050 6,773 FHLMC CMO, Ser 2733, Cl SB 6.730%, 12/15/08 (A) 9,810 8,557 FHLMC CMO, Ser 2748, Cl ZT 5.500%, 02/15/24 396 376 FNMA TBA 5.000%, 12/25/38 10,710 10,780 FNMA ARM 7.000%, 04/01/34 481 500 6.139%, 01/25/09 2,758 2,818 5.817%, 01/25/09 791 801 5.101%, 01/25/09 1,153 1,145 4.817%, 01/25/09 592 592 4.524%, 01/25/09 3,479 3,496 4.482%, 01/25/09 4,573 4,524 4.051%, 01/25/09 3,524 3,507 3.886%, 01/25/09 572 570 FNMA CMO, Ser 2001-48, Cl PD 6.500%, 06/25/20 56 57 FNMA CMO, Ser 2003-1, Cl PT 5.500%, 04/25/28 7,173 7,192 FNMA CMO, Ser 2003-122, Cl ZQ 6.000%, 12/25/33 550 604 FNMA CMO, Ser 2004-12, Cl ZX 6.000%, 03/25/34 501 489 FNMA CMO, Ser 2004-80, Cl XZ 5.000%, 11/25/34 134 114 FNMA CMO, Ser 2006-77, Cl PD 6.500%, 10/25/30 6,130 6,244 FNMA CMO, Ser 2007-83, Cl PA 6.000%, 03/25/29 7,775 7,968 GNMA CMO, Ser 2003-112, Cl SG 7.016%, 12/16/08 (A) 114 87 GNMA CMO, Ser 2003-86, Cl ZK 5.000%, 10/20/33 4,575 4,256 ------------- 80,582 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 173 SCHEDULE OF INVESTMENTS (Unaudited) Extended Duration Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 7.8% Alliance Bancorp Trust, Ser OA1, Cl A1 1.635%, 12/26/08 (A) $ 3,348 $ 1,328 American General Mortgage Loan Trust, Ser 2006-1, Cl A1 5.750%, 01/25/09 (A) (C) 97 96 American Home Mortgage Assets, Ser 2006-2, Cl 2A1 1.585%, 12/26/08 (A) 5,543 2,143 American Home Mortgage Assets, Ser 2006-3, Cl 3A12 1.585%, 12/26/08 (A) 4,555 1,904 American Home Mortgage Assets, Ser 2007-2, Cl A1 1.520%, 12/26/08 (A) 5,901 2,267 American Home Mortgage Investment Trust, Ser 2004-2, Cl 2A 5.037%, 01/25/09 (A) 7,459 7,028 American Home Mortgage Investment Trust, Ser 2007-2, Cl 11A1 1.625%, 12/26/08 (A) 4,015 3,141 Banc of America Mortgage Securities, Ser 2003-E, Cl 2A1 4.709%, 01/25/09 (A) 2,690 2,047 Bayview Commercial Asset Trust, Ser 2005-1A, Cl A1 1.695%, 12/26/08 (A) (C) 3,223 2,954 Bayview Commercial Asset Trust, Ser 2006-1A, Cl M3 1.815%, 12/26/08 (A) (C) 1,696 220 Bayview Commercial Asset Trust, Ser 2007-1, Cl A1 1.615%, 12/26/08 (A) (C) 4,467 3,036 Bayview Commercial Asset Trust, Ser 2007-2A, Cl A1 1.665%, 12/26/08 (A) (C) 4,935 3,252 Bayview Commercial Asset Trust, Ser 2007-3, Cl A1 1.635%, 12/26/08 (A) (C) 5,116 4,320 Bella Vista Mortgage Trust, Ser 2004-1, Cl 2A1 5.471%, 01/20/09 (A) 6,865 5,062 Chase Mortgage Finance, Ser 2007-A2, Cl 2A3 4.243%, 01/25/09 (A) 2,371 1,903 Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl AM 5.889%, 01/10/09 (A) 10,245 4,509 Citigroup Mortgage Loan Trust, Ser 2003-1, Cl WA2 6.500%, 06/25/31 119 113
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Citigroup Mortgage Loan Trust, Ser 2004-2, Cl 2A1 6.500%, 08/25/18 (C) $ 36 $ 34 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 2A1 4.015%, 01/25/09 (A) 1,253 501 Countrywide Alternative Loan Trust, Ser 2005-27, Cl 3A2 3.765%, 01/25/09 (A) 130 52 Countrywide Alternative Loan Trust, Ser 2005-59, Cl 1A1 3.589%, 12/22/08 (A) 3,738 1,606 Countrywide Alternative Loan Trust, Ser 2005-61, Cl 2A1 1.675%, 12/26/08 (A) 679 278 Countrywide Alternative Loan Trust, Ser 2005-72, Cl A1 1.665%, 12/26/08 (A) 1,227 592 Countrywide Alternative Loan Trust, Ser 2006-OA12, Cl A2 1.663%, 12/22/08 (A) 4,201 1,667 Countrywide Alternative Loan Trust, Ser 2006-OA2, Cl X1P, IO 2.090%, 01/20/09 (A) 8,825 273 Credit Suisse Mortgage Capital Certificates, Ser 2006-C5, Cl A3 5.311%, 12/15/39 6,560 4,006 DSLA Mortgage Loan Trust, Ser 2004-AR1, Cl A2A 1.884%, 12/19/08 (A) 96 48 DSLA Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1A 1.734%, 12/19/08 (A) 789 347 DSLA Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1A 3.605%, 01/19/09 (A) 5,888 5,618 Greenpoint Mortgage Funding Trust, Ser 2006-AR3, Cl 4A1 1.605%, 12/26/08 (A) 5,184 2,164 Greenwich Capital Commercial Funding, Ser 2007-GG9, Cl A4 5.444%, 03/10/39 2,440 1,574 GS Mortgage Securities II, Ser 2006-GG8, Cl A4 5.560%, 11/10/39 7,135 4,858 Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A 1.874%, 12/19/08 (A) 618 302 Harborview Mortgage Loan Trust, Ser 2005-01, Cl X, IO 1.659%, 03/19/35 1,100 17 Harborview Mortgage Loan Trust, Ser 2005-10, Cl 2A1A 1.784%, 12/19/08 (A) 867 387
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 174
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Harborview Mortgage Loan Trust, Ser 2005-12, Cl X2B, IO 1.554%, 01/19/09 (A) $ 5,439 $ 79 Harborview Mortgage Loan Trust, Ser 2006-1, Cl X1, IO 2.044%, 01/19/09 (A) 8,308 199 Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B 1.795%, 12/26/08 (A) 264 127 Indymac Index Mortgage Loan Trust, Ser 2004-AR6, Cl 6A1 5.452%, 01/25/09 (A) 197 137 Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2 1.825%, 12/25/08 (A) 84 42 Indymac Index Mortgage Loan Trust, Ser 2004-AR8, Cl 2A2A 1.795%, 12/26/08 (A) 206 102 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1 1.785%, 12/26/08 (A) 246 124 Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl AX2, IO 1.560%, 12/25/34 901 8 Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1B 2.175%, 12/26/08 (A) 473 198 Indymac Index Mortgage Loan Trust, Ser 2005-AR18, Cl 2A1A 1.705%, 12/26/08 (A) 1,802 764 Indymac Index Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1A 1.615%, 12/26/08 (A) 1,974 738 JPMorgan Chase Commercial Mortgage Securities, Ser 2006-LDP7, Cl A4 5.875%, 01/15/09 (A) 7,835 5,259 JPMorgan Chase Commercial Mortgage Securities, Ser 2007-CB19, Cl A4 5.937%, 01/12/09 (A) 2,035 1,254 JPMorgan Chase Commercial Mortgage Securities, Ser 2007-LDPX, Cl A3 5.420%, 01/15/49 3,080 1,864 JPMorgan Mortgage Trust, Ser 2005-A2, Cl 9A1 4.236%, 01/25/09 (A) 1,258 800 Master Adjustable Rate Mortgage Trust, Ser 2006-OA2, Cl 4A1A 3.705%, 01/25/09 (A) 7,350 2,465 Master Alternative Loans Trust, Ser 2003-3, Cl 2A1 8.500%, 05/25/33 118 117
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Master Seasoned Securities Trust, Ser 2005-1, Cl 4A1 5.606%, 01/25/09 (A) $ 697 $ 365 Morgan Stanley Capital I, Ser 2005-HQ6, Cl A4A 4.989%, 08/13/42 2,450 1,801 Morgan Stanley Capital I, Ser 2006-HQ8, Cl A4 5.387%, 01/12/09 (A) 2,175 1,523 Residential Accredit Loans, Ser 2005-QO3, Cl A1 1.795%, 12/26/08 (A) 6,405 2,712 Structured Asset Mortgage Investments, Ser 2006-AR1, Cl 3A1 1.625%, 12/26/08 (A) 2,557 973 Structured Asset Mortgage Investments, Ser 2006-AR5, Cl 2A1 1.605%, 12/26/08 (A) 655 287 Washington Mutual Mortgage Pass-Through Certificates, Ser 2000-1, Cl M2 2.695%, 12/26/08 (A) 278 263 Washington Mutual Mortgage Pass-Through Certificates, Ser 2003-AR6, Cl A1 3.953%, 01/25/09 (A) 794 606 Washington Mutual Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2 4.243%, 01/25/09 (A) 885 626 Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21 1.725%, 12/25/08 (A) 580 250 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR9, Cl 1XPP, IO 0.830%, 08/25/46 100,349 719 Washington Mutual Mortgage Pass-Through Certificates, Ser 2007-OA3, Cl 4A1 3.435%, 01/25/09 (A) 3,935 1,694 ------------- 95,743 ------------- Total Mortgage-Backed Securities (Cost $239,862) ($ Thousands) 176,325 ------------- ASSET-BACKED SECURITIES -- 10.0% MORTGAGE RELATED SECURITIES -- 10.0% ACE Securities, Ser WF1, Cl A2C 1.735%, 12/26/08 (A) 3,226 2,084
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 175 SCHEDULE OF INVESTMENTS (Unaudited) Extended Duration Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Asset-Backed Securities Home Equity, Ser 2003-HE4, Cl M2 3.423%, 12/15/08 (A) $ 738 $ 534 Asset-Backed Securities Home Equity, Ser 2005-HE6, Cl A2D 1.677%, 12/26/08 (A) 6,811 6,602 Aviation Capital Group Trust, Ser 2003-2A, Cl G2 2.253%, 12/22/08 (A) (C) 1,688 1,250 Bayview Financial Acquisition Trust, Ser 2004-B, Cl A1 2.431%, 12/29/08 (A) (C) 3,947 2,766 Bayview Financial Acquisition Trust, Ser 2005-A, Cl A1 1.931%, 12/29/08 (A) (C) 4,400 3,696 Bayview Financial Revolving Mortgage Loan Trust, Ser 2005-E, Cl A1 1.931%, 12/29/08 (A) (C) 3,200 2,560 Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE1, Cl 1A1 1.515%, 12/26/08 (A) 4,280 3,724 Bear Stearns Asset-Backed Securities Trust, Ser 2007-HE5, Cl 1A2 1.575%, 12/26/08 (A) 4,500 2,700 BNC Mortgage Loan Trust, Ser 2007-2, Cl A2 1.495%, 12/26/08 (A) 1,282 1,047 BNC Mortgage Loan Trust, Ser 2007-4, Cl A3A 1.645%, 12/26/08 (A) 3,559 3,218 Carrington Mortgage Loan Trust, Ser 2007-RFC1, Cl 1 1.445%, 12/26/08 (A) 1,459 1,334 Centex Home Equity, Ser 2002-D, Cl AF4 5.210%, 11/25/28 1,080 1,000 Citigroup Mortgage Loan Trust, Ser 2007-WFH1, Cl A1 1.455%, 12/26/08 (A) 3,145 3,002 Citigroup Mortgage Loan Trust, Ser 2007-WFH1, Cl A3 1.545%, 12/26/08 (A) 3,000 1,830 Citigroup Mortgage Loan Trust, Ser 2007-WFH2, Cl M1 1.795%, 12/26/08 (A) 3,500 906 Citigroup Mortgage Loan Trust, Ser 2007-WFH4, Cl M2 3.545%, 12/26/08 (A) 5,726 2,327 Continental Airlines, Ser 2002-1, Cl G1 2.599%, 02/17/09 (A) 217 173
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Countrywide Asset-Backed Certificates, Ser 2003-BC1, Cl M1 2.315%, 12/26/08 (A) $ 344 $ 177 Countrywide Asset-Backed Certificates, Ser 2005-12, Cl 1A1 1.545%, 02/25/36 (A) 60 60 Countrywide Asset-Backed Certificates, Ser 2007-5, Cl 2A1 1.495%, 12/26/08 (A) 3,683 3,348 Countrywide Asset-Backed Certificates, Ser 2007-6, Cl 2A1 1.495%, 12/26/08 (A) 1,707 1,525 Credit-Based Asset Servicing, Ser 2006-CB4, Cl AV3 1.545%, 12/26/08 (A) 4,750 3,063 Credit-Based Asset Servicing, Ser 2007-CB1, Cl AF1A 1.465%, 12/26/08 (A) 3,175 2,702 Credit-Based Asset Servicing, Ser 2007-CB2, Cl A2A 5.891%, 02/25/37 3,166 2,960 Credit-Based Asset Servicing, Ser 2007-CB5, Cl A1 1.455%, 12/26/08 (A) 4,979 4,111 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF10, Cl A3 1.605%, 12/26/08 (A) 456 449 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF2, Cl A2C 1.705%, 12/26/08 (A) 1,283 1,246 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2007-FF1, Cl A2D 1.615%, 12/26/08 (A) 6,000 1,117 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2007-FF2, Cl A2D 1.615%, 12/26/08 (A) 3,800 585 GMAC Mortgage Loan Trust, Ser 2000-HE2, Cl A1 1.835%, 12/26/08 (A) 652 439 GSAMP Trust, Ser 2006-HE7, Cl A2A 1.435%, 12/26/08 (A) 1,899 1,779 GSAMP Trust, Ser 2006-S6, Cl A2 5.552%, 10/25/36 4,000 742 HFC Home Equity Loan Asset-Backed Certificates, Ser 2007-1, Cl AS 1.653%, 12/22/08 (A) 1,254 747
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 176
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Home Equity Asset Trust, Ser 2005-6, Cl 1A2 1.675%, 12/26/08 (A) $ 3,833 $ 2,904 Home Equity Asset Trust, Ser 2007-3, Cl 2A2 1.575%, 12/26/08 (A) 4,500 2,590 Home Equity Mortgage Trust, Ser 2006-1, Cl A1B 1.525%, 12/26/08 (A) 464 308 Indymac Home Equity Loan Asset- Backed Trust, Ser 2002-A, Cl M1 2.520%, 12/26/08 (A) 879 695 Indymac Residential Asset-Backed Trust, Ser 2006-A, Cl A2 1.545%, 12/26/08 (A) 572 557 Inman Square Funding, Ser 2A, Cl I 4.658%, 01/06/09 (A) (C) 2,825 353 Irwin Home Equity, Ser 2003-A, Cl M2 4.045%, 12/26/08 (A) 245 205 Ivy Lane CDO, Ser 2006-1A, Cl A1 3.189%, 02/05/09 (A) (C) 2,718 788 JPMorgan Mortgage Acquisition, Ser 2006-CH2, Cl AV2 1.445%, 12/26/08 (A) 2,358 2,086 Lehman XS Trust, Ser 2006-12N, Cl A1A1 1.475%, 12/26/08 (A) 226 223 Long Beach Asset Holdings, Ser 2006-8, Cl N1 6.048%, 10/25/46 (C) 1,625 3 Long Beach Asset Holdings, Ser 2006-9, Cl N1 6.250%, 10/25/46 (C) 1,214 18 Long Beach Mortgage Loan Trust, Ser 2006-11, Cl 2A1 1.455%, 12/26/08 (A) 787 732 Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A1 1.475%, 12/26/08 (A) 4,152 3,620 Merrill Lynch Mortgage Investors Trust, Ser 2006-RM4, Cl A2B 1.495%, 12/26/08 (A) 7,123 2,047 Merrill Lynch Mortgage Investors Trust, Ser 2006-WMC1, Cl A2B 3.399%, 01/25/37 (A) 136 136 Mid-State Trust, Ser 2004-1, Cl B 8.900%, 08/15/37 328 299 Morgan Stanley Capital, Ser 2002-HE3, Cl M1 3.045%, 12/26/08 (A) 1,697 1,256 Morgan Stanley Capital, Ser 2004-NC2, Cl M2 3.195%, 12/26/08 (A) 612 476
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Morgan Stanley Capital, Ser 2007-HE5, Cl A2A 1.505%, 12/26/08 (A) $ 1,058 $ 953 Morgan Stanley Capital, Ser 2007-HE7, Cl M1 3.395%, 12/26/08 (A) 4,942 983 Morgan Stanley Home Equity Loan Trust, Ser 2007-2, Cl A1 1.495%, 12/26/08 (A) 2,108 1,842 Nationstar Home Equity Loan Trust, Ser 2006-B, Cl AV3 1.565%, 12/26/08 (A) 5,075 3,328 Nationstar Home Equity Loan Trust, Ser 2007-A, Cl AV1 1.455%, 12/26/08 (A) 2,079 1,922 Nationstar Home Equity Loan Trust, Ser 2007-A, Cl AV4 1.625%, 12/26/08 (A) 4,000 1,424 Nationstar Home Equity Loan Trust, Ser 2007-B, Cl 2AV4 1.715%, 12/26/08 (A) 4,240 1,505 Nationstar Home Equity Loan Trust, Ser 2007-C, Cl 2AV2 1.525%, 12/26/08 (A) 1,755 1,314 Nationstar NIM Trust, Ser 2007-B, Cl A 8.750%, 05/25/37 (C) 310 12 Nationstar NIM Trust, Ser 2007-C, Cl A 8.000%, 06/25/37 (C) 118 19 Nomura Asset Acceptance, Ser 2006-S1, Cl A1 1.535%, 12/26/08 (A) (C) 230 181 Nomura Home Equity Loan, Ser 2007-3, Cl 2A1 1.535%, 12/26/08 (A) 3,735 2,687 Popular Asset-Backed Mortgage Pass-Through Trust, Ser 2007-D, Cl A1 1.455%, 12/26/08 (A) 610 571 Renaissance Home Equity Loan Trust, Ser 2006-4, Cl AV1 1.465%, 12/26/08 (A) 792 722 Renaissance Home Equity Loan Trust, Ser 2007-1, Cl N 9.793%, 01/25/09 (A) (C) 654 275 Residential Asset Mortgage Products, Ser 2006-RZ5, Cl A1B 1.495%, 12/26/08 (A) 2,629 2,426 Residential Asset Mortgage Products, Ser 2007-RZ1, Cl A1 1.465%, 12/26/08 (A) 841 761
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 177 SCHEDULE OF INVESTMENTS (Unaudited) Extended Duration Fund (Continued) November 30, 2008
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Residential Funding Mortgage Securities II, Ser 2006-HSA2, Cl AI1 1.505%, 12/26/08 (A) $ 246 $ 234 Residential Funding Mortgage Securities, Ser 1999-HI8, Cl AI7 7.970%, 11/25/29 157 140 Saxon Asset Securities Trust, Ser 2005-1, Cl M1 2.190%, 12/26/08 (A) 2,925 2,069 Securitized Asset-Backed Receivables LLC Trust, Ser 2007-BR5, Cl A2A 1.525%, 12/26/08 (A) 3,673 3,211 Securitized Asset-Backed Receivables LLC Trust, Ser 2007-HE1, Cl A2A 1.455%, 12/26/08 (A) 2,850 2,531 Soundview Home Equity Loan Trust, Ser 2007-OPT5, Cl M1 3.045%, 12/26/08 (A) (C) 5,700 570 Soundview NIM Trust, Ser 2007-OPT1, Cl N 9.000%, 06/25/37 (C) 1,269 13 Structured Asset Securities, Ser 2006-WF2, Cl A3 1.545%, 12/26/08 (A) 3,600 2,757 Structured Asset Securities, Ser 2007-EQ1, Cl A4 1.645%, 12/26/08 (A) 9,817 3,676 UCFC Home Equity Loan, Ser 1998-D, Cl MF1 6.905%, 04/15/30 148 143 Wells Fargo Home Equity Trust, Ser 2007-1, Cl A1 1.495%, 12/26/08 (A) 666 623 ------------- Total Asset-Backed Securities (Cost $193,787) ($ Thousands) 121,991 ------------- CORPORATE OBLIGATIONS -- 8.8% CONSUMER DISCRETIONARY -- 0.3% Comcast 5.119%, 01/14/09 (A) 1,850 1,786 Viacom 3.169%, 12/16/08 (A) 2,000 1,912 ------------- 3,698 ------------- FINANCIALS -- 5.8% Bank of America 8.000%, 01/30/09 (A) 4,500 3,125 Bank of America, Ser A 8.070%, 12/31/26 (C) 4,278 3,634
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Barrick Gold Finance 5.800%, 11/15/34 $ 1,763 $ 1,218 Bear Stearns 7.250%, 02/01/18 3,100 3,139 4.905%, 01/16/09 (A) 4,500 4,431 Camden Property Trust 4.375%, 01/15/10 +++ 2,000 1,758 Capital One Financial MTN 3.097%, 12/10/08 (A) 1,650 1,523 Cedar Brakes II LLC 9.875%, 09/01/13 (C) 1,215 1,262 Chase Capital II 3.693%, 02/02/09 (A) 2,250 1,719 Citigroup 4.125%, 02/22/10 3,694 3,535 Citigroup Capital XXI 8.300%, 12/21/08 (A) 2,175 1,312 Countrywide Financial MTN 3.418%, 12/24/08 (A) 2,650 2,623 3.333%, 12/19/08 (A) 1,800 1,799 Deutsche Bank Capital Funding Trust 5.628%, 01/19/09 (A) (C) 2,613 1,661 Developers Diversified Realty 3.875%, 01/30/09 +++ 1,925 1,884 Farmers Insurance Exchange 8.625%, 05/01/24 (C) 255 181 First Union Institutional Capital I 8.040%, 12/01/26 1,250 1,021 GMAC LLC 5.011%, 03/02/09 (A) 1,432 430 Goldman Sachs Group 2.886%, 02/06/09 (A) 4,500 3,805 HBOS 5.920%, 04/01/09 (A) (C) 2,400 1,208 HSBC America Capital Trust II 8.380%, 05/15/27 (C) 50 46 JPMorgan Chase 6.000%, 01/15/18 4,000 3,861 Lehman Brothers Holdings MTN (D) 11.000%, 05/07/09 (A) 1,000 102 8.920%, 02/16/17 756 77 2.907%, 11/16/09 2,000 180 3.005%, 07/18/11 990 89 2.851%, 12/23/08 2,000 180 Lehman Brothers Holdings, Ser H MTN 12.500%, 11/30/08 (A) (D) 861 88 MBNA Capital, Ser B 3.993%, 02/01/09 (A) 1,863 1,151 Merrill Lynch MTN 8.950%, 05/18/09 (A) 1,340 1,005 8.680%, 05/02/09 (A) 1,305 1,062
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 178
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Metropolitan Life Global Funding I MTN 3.961%, 12/29/08 (A) (C) $ 930 $ 831 Morgan Stanley 5.050%, 01/21/11 2,250 2,125 5.033%, 01/15/09 (A) 1,900 1,773 Nationwide Mutual Insurance 7.875%, 04/01/33 (C) 673 374 Power Receivables Finance 6.290%, 01/01/12 (C) 888 867 Security Benefit Life 7.450%, 10/01/33 (C) 3,250 3,061 Simon Property Group 7.000%, 07/15/09+++ 2,000 1,925 5.750%, 05/01/12+++ 1,250 976 Toyota Motor Credit MTN 8.000%, 04/24/09 (A) 2,041 1,880 UDR, Ser E MTN 4.250%, 01/15/09+++ 1,550 1,535 Wachovia 7.980%, 03/15/09 (A) 465 334 Wachovia Capital Trust I 7.640%, 01/15/27 (C) 3,535 2,339 Weingarten Realty Investors MTN 8.250%, 01/22/10+++ 3,325 3,267 Woodbourne Capital Trust I 2.723%, 12/08/08 (A) (C) 175 100 Woodbourne Capital Trust II 2.723%, 12/08/08 (A) (C) 175 100 Woodbourne Capital Trust III 2.723%, 12/08/08 (A) (C) 175 100 Woodbourne Capital Trust IV 2.723%, 12/08/08 (A) (C) 175 100 ZFS Finance USA Trust I 6.500%, 05/09/09 (A) (C) 1,025 543 ------------- 71,339 ------------- HEALTH CARE -- 0.2% UnitedHealth Group 6.875%, 02/15/38 2,835 2,193 ------------- INDUSTRIALS -- 1.0% America West Airlines, Ser 01-1 7.100%, 04/02/21 164 131 American Airlines Pass-Through Trust, Ser 2003-01 3.857%, 07/09/10 2,962 2,518 American Airlines, Ser 99-1 7.024%, 10/15/09 1,300 1,229 Continental Airlines, Ser 99-2 7.056%, 09/15/09 2,595 2,426 Continental Airlines, Ser AMBC 6.236%, 03/15/20 107 71
Face Amount Market Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Delta Air Lines, Ser 2001-1 7.111%, 09/18/11 $ 2,400 $ 1,908 Northwest Airlines, Ser 1A-2 6.841%, 04/01/11 2,610 2,140 United Air Lines, Ser 2001-1 6.201%, 12/31/49 361 347 United Air Lines, Ser 2001-1, Cl A-1 6.071%, 03/01/13 1,178 1,096 ------------- 11,866 ------------- TELECOMMUNICATION SERVICES -- 0.2% Verizon Communications 6.400%, 02/15/38 3,825 3,109 ------------- UTILITIES -- 1.3% Entergy Gulf States 3.565%, 12/08/08 (A) (C) 500 500 3.210%, 03/01/09 (A) 810 804 Entergy Louisiana LLC 5.830%, 11/01/10 1,750 1,695 Power Contract Financing 6.256%, 02/01/10 (C) 1,056 1,028 Sempra Energy ESOP & Trust 5.781%, 11/01/14 (C) 1,400 1,386 Tennessee Valley Authority 5.500%, 06/15/38 1,555 1,686 4.875%, 01/15/48 9,085 8,963 ------------- 16,062 ------------- Total Corporate Obligations (Cost $126,871) ($ Thousands) 108,267 ------------- U.S. TREASURY OBLIGATION -- 3.8% U.S. Treasury Bond 5.250%, 11/15/28 38,570 46,585 ------------- Total U.S. Treasury Obligation (Cost $43,399) ($ Thousands) 46,585 ------------- CERTIFICATES OF DEPOSIT (A) -- 0.1% JPMorgan Chase Bank 8.750%, 11/28/21 691 677 7.590%, 03/28/22 735 679 ------------- Total Certificates of Deposit (Cost $1,395) ($ Thousands) 1,356 ------------- COMMERCIAL PAPER (B) -- 1.8% Bank of America 0.400%, 12/01/08 7,330 7,330
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 179 SCHEDULE OF INVESTMENTS (Unaudited) Extended Duration Fund (Concluded) November 30, 2008
Face Amount ($ Thousands) Market Value Description /Shares ($ Thousands) - ----------- ------------- ------------- General Electric Capital 1.050%, 12/29/08 $ 4,065 $ 4,062 Rabobank USA Financial 0.951%, 12/09/08 2,450 2,449 0.991%, 12/30/08 7,785 7,779 ------------- Total Commercial Paper (Cost $21,620) ($ Thousands) 21,620 ------------- CASH EQUIVALENT -- 3.4% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.580%*+ 41,536,846 41,537 ------------- Total Cash Equivalent (Cost $41,537) ($ Thousands) 41,537 ------------- Total Investments -- 63.0% (Cost $922,202) ($ Thousands) $ 771,393 =============
A summary of outstanding swap agreements held by the Fund at November 30, 2008, is as follows (See Note 2 in Notes to Financial Statements):
CREDIT DEFAULT SWAPS - --------------------------------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL APPRECIATION BUY/SELL (PAYS)/ TERMINATION AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION PROTECTION RECEIVES RATE DATE (THOUSANDS) ($ THOUSANDS) - ------------ --------------------------------- ---------- ------------- ----------- ----------- -------------- Credit Suisse ABX.HE.AAA 07-1 Index Sell 0.09% 08/25/37 (4,170) $(1,963) Goldman Sachs ABX.HE.AAA 06-2 Index Sell 0.09 08/25/37 (300) (40) Morgan Stanley ABX.HE.AAA 06-2 Index Sell 0.09 08/25/37 (700) (93) Merrill Lynch Centex Corp., 5.250% 06/15/15 Buy (3.56) 12/20/12 1,100 174 Merrill Lynch Centex Corp., 5.250% 06/15/15 Buy (3.65) 12/20/12 670 105 Barclays Bank PLC Goldman Sachs Group Inc., 6.600% 01/15/12 Buy (0.75) 12/20/12 50 5 JPMorgan Chase Bank Goldman Sachs Group Inc., 6.600% 01/15/12 Buy (0.74) 12/20/12 4,300 434 JPMorgan Chase Bank Morgan Stanley, 6.600% 04/01/12 Buy (0.91) 12/20/12 1,690 235 Citigroup Pulte Homes Inc., 5.250% 01/15/14 Buy (3.88) 12/20/12 1,000 117 Citigroup Pulte Homes Inc., 5.250% 01/15/14 Buy (3.91) 12/20/12 825 97 Credit Suisse Pulte Homes Inc., 5.250% 01/15/14 Buy (3.78) 12/20/12 1,000 118 Deutsche Bank Pulte Homes Inc., 5.250% 01/15/14 Buy (3.87) 12/20/12 610 72 Citigroup Toll Brothers, 6.875% 11/15/12 Buy (2.83) 12/20/12 740 56 Merrill Lynch Toll Brothers, 6.875% 11/15/12 Buy (2.78) 12/20/12 1,800 137 Merrill Lynch Toll Brothers, 6.875% 11/15/12 Buy (2.83) 12/20/12 1,050 79 ------- $ (467) =======
INTEREST RATE SWAPS - --------------------------------------------------------------------------------------------------------- NET UNREALIZED NOTIONAL AMOUNT APPRECIATION COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS) ($ THOUSANDS) - ------------ ------------- ------------- ---------------- --------------- -------------- Barclays Bank PLC 3-Month LIBOR 5.24% 11/03/25 70,000 $ 14,439 Barclays Bank PLC 3-Month LIBOR 5.40% 09/05/26 59,650 7,121 Barclays Bank PLC 3-Month LIBOR 5.60% 06/04/27 15,510 9,211 Barclays Bank PLC 3-Month LIBOR 5.77% 07/05/27 57,000 8,662 Barclays Bank PLC 3-Month LIBOR 5.69% 08/02/27 65,000 24,246 Citigroup 3-Month LIBOR 5.51% 08/02/17 18,060 3,108 Citigroup 3-Month LIBOR 4.57% 12/05/17 9,900 1,303 Citigroup 3-Month LIBOR 5.68% 08/02/27 22,200 24,624 Citigroup 3-Month LIBOR 4.87% 12/05/27 82,500 34,518 Citigroup 3-Month LIBOR 4.77% 05/02/28 83,885 766 Citigroup 3-Month LIBOR 4.41% 09/18/28 77,340 16,480 Citigroup 3-Month LIBOR 4.37% 09/19/28 14,710 14,633 Citigroup 4.10% 3-Month LIBOR 10/24/38 88,400 (2,940) Credit Suisse 3-Month LIBOR 5.06% 03/02/16 28,410 4,955 Credit Suisse 3-Month LIBOR 5.63% 07/05/17 63,940 3,747 Credit Suisse 3-Month LIBOR 5.37% 04/03/27 22,460 6,566
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 180
NET UNREALIZED NOTIONAL AMOUNT APPRECIATION COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS) ($ THOUSANDS) - ------------ ------------- ------------- ---------------- --------------- -------------- Credit Suisse 3-Month LIBOR 5.78% 07/05/27 24,900 $ 22,307 Credit Suisse 3-Month LIBOR 4.98% 01/03/28 35,640 5,306 Credit Suisse 3-Month LIBOR 4.77% 09/02/28 11,140 8,416 Credit Suisse 3-Month LIBOR 4.67% 09/10/28 25,265 2,623 Credit Suisse 3-Month LIBOR 4.39% 09/18/28 20,000 4,891 Credit Suisse 3-Month LIBOR 4.29% 10/08/28 65,185 3,498 Deutsche Bank 3-Month LIBOR 4.06% 09/19/18 33,600 2,981 Deutsche Bank 3-Month LIBOR 4.91% 12/04/27 85,000 22,798 Deutsche Bank 3-Month LIBOR 4.80% 03/05/28 47,750 4,617 Deutsche Bank 3-Month LIBOR 4.93% 07/02/28 22,800 28,035 Deutsche Bank 3-Month LIBOR 4.92% 07/03/28 37,000 6,358 JPMorgan Chase Bank 3-Month LIBOR 5.10% 03/05/17 50,000 2,377 JPMorgan Chase Bank 3-Month LIBOR 5.06% 12/04/26 51,820 8,119 JPMorgan Chase Bank 3-Month LIBOR 5.23% 03/02/27 100,000 15,052 JPMorgan Chase Bank 3-Month LIBOR 5.43% 10/02/27 60,000 19,735 JPMorgan Chase Bank 3-Month LIBOR 4.35% 09/19/28 3,160 12,216 Merrill Lynch 3-Month LIBOR 5.45% 09/04/27 15,640 13,186 Merrill Lynch 3-Month LIBOR 5.42% 10/02/27 39,000 19,834 Merrill Lynch 3-Month LIBOR 5.33% 11/02/27 20,800 22,257 Merrill Lynch 3-Month LIBOR 4.91% 12/04/27 18,860 23,470 UBS Warburg 3-Month LIBOR 4.87% 02/14/28 127,860 12,802 UBS Warburg 3-Month LIBOR 4.92% 07/02/28 127,860 24,650 -------- $456,967 ========
A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ---------- ------------- U.S. Long Treasury Bond 1,210 Mar-2009 $ 4,685 =======
Percentages are based on a Net Assets of $1,223,566 ($ Thousands). * Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (See Note 3). +++ Real Estate Investment Trust (A) Variable Rate Security - The rate reported is the rate in effects as of November 30, 2008. The date reported is the next reset date. (B) The rate reported is the effective yield at time of purchase. (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) Security in default on interest payments. ARM -- Adjustable Rate Mortgage CDO -- Collateralized Debt Obligation Cl -- Class CMO -- Collateralized Mortgage Obligation DN -- Discount Note FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only - face amount represents notional amount LLC -- Limited Liability Company MTN -- Medium Term Note NIM -- Net Interest Margin Ser -- Series TBA -- To Be Announced Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 181 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund November 30, 2008 SECTOR WEIGHTINGS+++: (BAR CHART) Sovereign 80.5% Financials 4.8% Energy 4.7% Short-Term Investments 3.7% Deposit with Counterparty as Collateral for Swap Contracts 1.7% Loan Participants 1.5% Industrials 1.0% Utilities 0.7% Materials 0.5% Telecommunication Services 0.4% Information Technology 0.3% Consumer Discretionary 0.1% Purchased Options 0.1% Warrants 0.0%
+++ Percentages based on total investments. Includes investments held as collateral for securities on loan (see Note 9).
Face Amount(1) Market Value Description (Thousands) ($ Thousands) - ----------- -------------- ------------- GLOBAL BONDS -- 86.1% ANGOLA -- 0.1% Republic of Angola 7.132%, 04/30/16 (I) (J) 1,300 $ 1,219 ------------- ARGENTINA -- 3.3% Alto Parana 6.375%, 06/09/17 (A) 370 322 Cia Transporte Energia Registered 8.875%, 12/15/16 (A) 390 133 Earls Eight MTN 9.000%, 12/31/12 (A) (C) 350 105 Province Del Neuquen 8.656%, 10/18/14 (A) 204 143 Province of Buenos Aires 9.625%, 04/18/28 (A) 1,460 307 Province of Buenos Aires Registered 9.625%, 04/18/28 1,335 214 9.375%, 09/14/18 1,440 233 4.000%, 05/15/35 (C) 1,100 143 Province of Mendoza Registered 5.500%, 09/04/18 348 122 Republic of Argentina, Ser E MTN (D) 10.000%, 01/07/05 EUR 1,650 293 9.250%, 07/20/04 EUR 2,100 373 8.750%, 02/04/49 EUR 4,835 184 7.000%, 03/18/49 EUR 2,554 454 Republic of Argentina 15.500%, 12/19/08 (D) 2,000 380 10.250%, 01/26/07 (D) EUR 850 151 9.750%, 09/19/27 (D) EUR 1,550 248 9.000%, 05/26/09 (D) EUR 1,595 61 9.000%, 11/19/08 1,000 73 8.500%, 07/01/49 (D) EUR 4,500 799 8.280%, 12/31/33 (E) 23,889 7,047 8.125%, 04/21/49 (D) EUR 2,818 107 7.820%, 12/31/33 EUR 1,714 451
Face Amount(1) Market Value Description (Thousands) ($ Thousands) - ----------- -------------- ------------- 7.000%, 10/03/15 2,400 $ 648 7.000%, 09/12/13 825 235 3.127%, 02/03/09 (B) 9,180 2,249 2.500%, 03/31/09 (C) 47,100 8,242 2.280%, 12/15/09 (B) 50,365 2,354 1.985%, 12/15/09 (B) 21,390 920 Transportadora Gas Norte 9.000%, 12/31/09 (C) 100 39 9.000%, 12/31/09 (A) (C) 210 63 7.500%, 12/31/10 (C) 136 53 7.500%, 12/31/10 (A) (C) 30 12 ------------- 27,158 ------------- BAHAMAS -- 0.1% Banco Votorantim Nassau MTN 10.625%, 04/10/14 (A) BRL 2,300 762 ------------- BELIZE -- 0.0% Government of Belize Registered 4.250%, 02/20/29 330 157 ------------- BOSNIA AND HERZEGOVINA -- 0.1% Republic of Bosnia & Herzegovina 10.039%, 12/11/17 (F) DEM 2,000 454 ------------- BRAZIL -- 13.9% Banco Safra MTN 10.875%, 04/03/17 (A) BRL 2,250 625 Braskem Finance 7.250%, 06/05/18 (A) 415 273 Brazil Notas do Tesouro Nacional, Ser F 10.000%, 01/01/14 BRL 19,320 6,596 10.000%, 01/01/17 BRL 19,320 5,970 Cesp-Comp Ener Sao Paulo MTN 9.750%, 01/15/15 (A) BRL 1,050 305 Federal Republic of Brazil 12.500%, 01/05/16 BRL 4,500 1,781 12.500%, 01/05/22 BRL 4,250 1,598 12.250%, 03/06/30 195 265 11.000%, 08/17/40 34,185 39,656 10.250%, 01/10/28 BRL 1,250 423 10.125%, 05/15/27 4,970 5,976 8.875%, 10/14/19 200 209 8.875%, 04/15/24 2,475 2,685 8.750%, 02/04/25 5,388 5,711 8.500%, 09/24/12 EUR 2,855 3,650 8.250%, 01/20/34 4,145 4,228 8.000%, 01/15/18 (E) 11,740 11,858 7.875%, 03/07/15 900 909 7.125%, 01/20/37 10,235 9,519 6.000%, 01/17/17 5,930 5,396
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 182
Face Amount(1) Market Value Description (Thousands) ($ Thousands) - ----------- -------------- ------------- GTL Trade Finance 7.250%, 10/20/17 (A) 3,335 $ 2,792 National Development 6.369%, 06/16/18 (A) 3,905 3,319 Petrobras International Finance 5.875%, 03/01/18 1,410 1,220 Usiminas Commercial 7.250%, 01/18/18 790 689 ------------- 115,653 ------------- BULGARIA -- 0.1% Bulgaria Government International Bond 8.250%, 01/15/15 876 831 ------------- CHILE -- 0.1% Codelco 6.375%, 11/30/12 1,170 1,191 ------------- CHINA -- 0.0% Citic Resources Finance 6.750%, 05/15/14 (A) 250 155 ------------- COLOMBIA -- 5.0% BanColombia 6.875%, 05/25/17 365 295 Bogota District Capital 9.750%, 07/26/28 (A) COP 1,872,000 606 Colombia Government International Bond 6.364%, 12/17/08 (B) 1,170 1,088 EEB International 8.750%, 10/31/14 (A) 320 274 Republic of Colombia 11.750%, 02/25/20 4,868 5,817 10.375%, 01/28/33 450 497 9.850%, 06/28/27 COP 6,879,000 2,408 8.375%, 02/15/27 3,100 2,883 8.250%, 12/22/14 5,330 5,357 8.125%, 05/21/24 6,130 5,732 7.375%, 09/18/37 (E) 8,230 6,831 7.375%, 01/27/17 9,995 9,220 3.949%, 02/17/09 (B) 225 189 TGI International 9.500%, 10/03/17 (A) 620 502 ------------- 41,699 ------------- DOMINICAN REPUBLIC -- 0.2% Republic of Dominican Republic 9.040%, 01/23/18 410 222 8.625%, 04/20/27 1,005 482
Face Amount(1) Market Value Description (Thousands) ($ Thousands) - ----------- -------------- ------------- Standard Bank 15.000%, 03/12/12 (A) 446 $ 308 Standard Bank, Ser E MTN 8.125%, 07/20/09 (B) 509 469 ------------- 1,481 ------------- ECUADOR -- 0.2% Republic of Ecuador Registered 10.000%, 08/15/30 5,100 1,342 9.375%, 12/15/15 750 225 4.896%, 11/15/12 286 83 ------------- 1,650 ------------- EL SALVADOR -- 1.2% Republic of El Salvador 8.250%, 04/10/32 6,205 3,723 7.750%, 01/24/23 865 735 7.650%, 06/15/35 9,199 5,244 ------------- 9,702 ------------- GABON -- 0.2% Gabonese Republic 8.200%, 12/12/17 (A) 3,675 2,058 ------------- GEORGIA -- 0.2% Republic of Georgia 7.500%, 04/15/13 2,150 1,279 ------------- GHANA -- 0.3% Republic of Ghana 8.500%, 10/04/17 (A) 4,180 2,341 ------------- INDIA -- 0.2% Vedanta Resources 9.500%, 07/18/18 (A) 4,025 1,972 ------------- INDONESIA -- 4.6% Majapahit Holding 7.875%, 06/29/37 (A) 615 264 7.750%, 10/17/16 (A) 1,300 754 7.750%, 10/17/16 200 117 7.250%, 10/17/11 (A) 885 655 7.250%, 06/28/17 (A) 840 403 Republic of Indonesia 8.500%, 10/12/35 5,960 3,823 7.750%, 01/17/38 19,825 12,540 7.500%, 01/15/16 6,240 4,565 7.250%, 04/20/15 (A) 350 259 7.250%, 04/20/15 6,820 5,052 6.875%, 03/09/17 920 614 6.875%, 01/17/18 550 367
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 183 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Continued) November 30, 2008
Face Amount(1) Market Value Description (Thousands) ($ Thousands) - ----------- -------------- ------------- 6.875%, 01/17/18 (A) (E) 5,880 $ 3,822 6.750%, 03/10/14 (A) 1,400 1,058 6.750%, 03/10/14 3,550 2,670 6.625%, 02/17/37 (A) 625 344 6.625%, 02/17/37 1,950 1,084 ------------- 38,391 ------------- IRAQ -- 1.1% Republic of Iraq 5.800%, 01/15/28 22,950 9,180 ------------- ISRAEL -- 0.1% Israel Electric MTN 7.250%, 01/15/19 555 498 ------------- JAMAICA -- 0.0% Digicel Group 8.875%, 01/15/15 (A) 450 232 ------------- KAZAKHSTAN -- 1.9% HSBK Europe 9.250%, 10/16/13 (A) 1,200 912 7.250%, 05/03/17 200 123 7.250%, 05/03/17 (A) 300 171 Kazkommerts International MTN 8.000%, 11/03/15 400 190 7.500%, 11/29/16 4,100 1,722 7.500%, 11/29/16 (A) 400 176 KazMunaiGaz Finance MTN 9.125%, 07/02/18 (A) 11,900 7,973 8.375%, 07/02/13 (A) 5,650 4,294 ------------- 15,561 ------------- LEBANON -- 0.1% Lebanese Republic Registered MTN 8.250%, 04/12/21 760 623 ------------- MALAYSIA -- 1.4% Petroliam Nasional 7.750%, 08/15/15 1,460 1,472 7.625%, 10/15/26 430 411 Petronas Capital 7.000%, 05/22/12 4,090 4,095 Petronas Capital Registered 7.875%, 05/22/22 5,665 5,880 ------------- 11,858 ------------- MEXICO -- 5.2% Grupo Televisa 6.000%, 05/15/18 (A) 600 485
Face Amount(1) Market Value Description (Thousands) ($ Thousands) - ----------- -------------- ------------- Pemex Project Funding Master Trust 6.625%, 06/15/35 400 $ 301 5.750%, 03/01/18 (A) 505 412 5.750%, 03/01/18 1,165 951 United Mexican States 8.375%, 01/14/11 3,050 3,286 8.300%, 08/15/31 6,660 6,819 7.500%, 01/14/12 4,350 4,562 6.625%, 03/03/15 3,750 3,675 6.375%, 01/16/13 4,700 4,747 6.050%, 01/11/40 1,390 1,070 5.625%, 01/15/17 (E) 8,428 7,501 United Mexican States, Ser A MTN 6.750%, 09/27/34 6,263 5,605 5.875%, 01/15/14 4,350 4,133 ------------- 43,547 ------------- NIGERIA -- 0.4% Citigroup Funding 10.000%, 01/03/17(B) 1,496 1,011 6.000%, 05/18/15 (A) 700 543 UBS 0.013%, 02/28/09 (A) (B) 800 824 UBS Jersey Branch MTN 6.296%, 11/03/09 (A) (B) 1,180 1,216 ------------- 3,594 ------------- NORWAY -- 0.3% Sea Production 7.054%, 02/14/09 5,000 2,250 ------------- OMAN -- 0.1% Blue City Investments 13.750%, 11/07/13 (I) (J) 500 430 ------------- PAKISTAN -- 0.2% Pakistan Mobile Communications 8.625%, 11/13/13 (A) 330 116 Republic of Pakistan 7.125%, 03/31/16 (A) 1,150 420 7.125%, 03/31/16 260 100 6.875%, 06/01/17 2,780 986 ------------- 1,622 ------------- PANAMA -- 2.6% Republic of Panama 9.375%, 01/16/23 595 585 9.375%, 04/01/29 6,975 6,940 8.875%, 09/30/27 4,400 4,224 8.125%, 04/28/34 940 818 7.250%, 03/15/15 7,235 6,837 6.700%, 01/26/36 3,395 2,648 ------------- 22,052 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 184
Face Amount(1) Market Value Description (Thousands) ($ Thousands) - ----------- -------------- ------------- PERU -- 2.9% Interoceanica IV Finance 3.810%, 11/30/25 (A) (F) 787 $ 318 3.638%, 11/30/18 (A) (F) 370 177 Peru Enhanced Pass-Thru 6.065%, 06/02/25 (A) (F) 250 55 3.936%, 05/31/18 (A) (F) 1,657 876 Republic of Peru 9.875%, 02/06/15 5 5 8.375%, 05/03/16 2,825 2,889 8.750%, 11/21/33 830 830 7.350%, 07/21/25 15,510 13,998 6.550%, 03/14/37 6,010 4,718 ------------- 23,866 ------------- PHILIPPINES -- 5.8% National Power 9.625%, 05/15/28 1,100 781 6.875%, 11/02/16 (A) 870 653 Republic of Philippines 10.625%, 03/16/25 3,510 3,756 9.875%, 01/15/19 500 520 9.500%, 10/21/24 200 186 9.500%, 02/02/30 4,195 4,237 9.375%, 01/18/17 10,240 10,240 9.000%, 02/15/13 500 495 8.875%, 03/17/15 400 400 8.250%, 01/15/14 3,075 2,967 8.000%, 01/15/16 9,540 8,872 7.750%, 01/14/31 (E) 6,836 6,152 7.500%, 09/25/24 10,259 8,720 ------------- 47,979 ------------- RUSSIA -- 13.8% ABN Amro Bank 9.625%, 03/01/13 1,500 1,236 Alfa Dividend Payment Rights Finance MTN 4.719%, 12/15/08 (A) (B) 306 199 Alfa Invest MTN 9.250%, 06/24/13 (A) 1,200 600 Gaz Capital MTN 6.510%, 03/07/22 220 126 6.212%, 11/22/16 2,000 1,191 Gaz Capital for Gazprom Registered MTN 8.625%, 04/28/34 2,950 2,213 GPB Eurobond Finance for Gazprombank 6.500%, 09/23/15 800 406 Kazan Orgsintez 9.250%, 10/30/11 330 83
Face Amount(1) Market Value Description (Thousands) ($ Thousands) - ----------- -------------- ------------- Kuznetski (Bank of Moscow) 8.961%, 05/25/09 (B) (C) 1,300 $ 470 Lukoil International Finance 6.656%, 06/07/22 (A) 405 192 RSHB Capital 7.175%, 05/16/13 540 365 6.299%, 05/15/17 (A) 100 51 RSHB Capital for Russian Agricultural Bank 7.750%, 05/29/18 (A) 1,100 651 7.750%, 05/29/18 400 205 7.125%, 01/14/14 (A) 2,010 1,282 Russian Federation Registered 12.750%, 06/24/28 9,375 10,593 7.500%, 03/31/30 (E) 97,358 80,807 Steel Capital for OAO Severstal 9.750%, 07/29/13 (A) 395 170 Teorema Holding 11.000%, 10/27/09 (I) (J) 2,000 1,000 TransCapital (Transneft) 8.700%, 08/07/18 (A) 3,210 1,830 7.700%, 08/07/13 (A) 150 101 6.103%, 06/27/12 (A) 600 433 UBS (Vimpelcom) 8.250%, 05/23/16 690 311 VIP Finance Ireland for Vimpel Communications 9.125%, 04/30/18 700 -- 9.125%, 04/30/18 (A) 2,200 968 8.375%, 04/30/13 (A) 1,400 770 VTB Capital 6.875%, 05/29/18 (A) 4,170 2,533 6.875%, 05/29/18 3,950 2,454 6.609%, 10/31/12 (A) 3,500 2,205 VTB Capital for Vneshtorgbank 7.815%, 02/04/09 (B) (C) 1,795 1,490 ------------- 114,935 ------------- SINGAPORE -- 0.1% DBS Bank MTN 5.000%, 05/15/09 (A) (B) 195 138 United Overseas Bank 5.375%, 03/03/09 (A) (B) 1,050 831 ------------- 969 ------------- SOUTH AFRICA -- 0.8% Republic of South Africa 8.500%, 06/23/17 815 725 6.500%, 06/02/14 4,105 3,490 5.875%, 05/30/22 3,205 2,358 ------------- 6,573 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 185 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Continued) November 30, 2008
Face Amount(1) Market Value Description (Thousands) ($ Thousands) - ----------- ------------- ------------- SOUTH KOREA -- 0.1% Shinhan Bank 6.819%, 03/20/09 (B) 590 $ 311 Woori Bank 6.208%, 05/02/37 560 305 ------------- 616 ------------- SUPRA-NATIONAL -- 0.2% European Investment Bank MTN 10.000%, 01/28/11 TRY 3,630 2,033 ------------- THAILAND -- 0.1% Bangkok Bank 9.025%, 03/15/29 370 286 True Move 10.750%, 12/16/13 (A) 850 349 10.375%, 08/01/14 (A) 1,700 561 ------------- 1,196 ------------- TRINIDAD & TOBAGO -- 0.3% Petroleum of Trinidad & Tobago 6.000%, 05/08/22 1,775 1,425 6.000%, 05/08/22 (A) 900 740 ------------- 2,165 ------------- TUNISIA -- 0.1% Banque Centrale de Tunisie 7.375%, 04/25/12 1,260 1,225 ------------- TURKEY -- 5.0% Republic of Turkey 14.000%, 01/19/11 460 262 11.875%, 01/15/30 1,275 1,689 10.000%, 02/15/12 550 288 9.500%, 01/15/14 300 300 8.000%, 02/14/34 1,300 1,066 7.375%, 02/05/25 7,610 6,281 7.250%, 03/15/15 9,395 8,269 7.250%, 03/05/38 5,745 4,337 7.000%, 09/26/16 2,785 2,367 7.000%, 03/11/19 1,900 1,520 6.875%, 03/17/36 9,805 6,864 6.750%, 04/03/18 10,030 8,124 ------------- 41,367 ------------- UKRAINE -- 2.0% Credit Suisse First Boston for City of Kiev 8.000%, 11/06/15 750 267
Face Amount(1) Market Value Description (Thousands) ($ Thousands) - ----------- ------------- ------------- Credit Suisse First Boston International (Export/Import -- Ukraine) 7.650%, 09/07/11 500 $ 210 6.800%, 10/04/12 550 220 Government of Ukraine Registered 7.650%, 06/11/13 6,180 3,181 6.875%, 03/04/11 400 240 6.875%, 03/04/11 (A) 3,825 2,180 6.750%, 11/14/17 2,290 845 6.580%, 11/21/16 10,660 4,113 HSBC Bank (Ukrsibbank) 7.750%, 12/21/11 400 180 Naftogaz Ukrainy 8.125%, 09/30/09 600 330 Springvale Holdings 9.181%, 09/07/09 (B) (I) (J) 1,000 150 UK Private Bank 8.000%, 02/06/12 (A) 800 280 Ukraine Government International Bond 6.875%, 03/04/11 1,550 884 6.450%, 02/05/09 (B) 4,060 3,045 6.385%, 06/26/12 1,500 786 ------------- 16,911 ------------- UNITED ARAB EMIRATES -- 0.8% HSBC Bank Middle East MTN 5.331%, 04/30/09 (B) AED 16,500 3,526 Jafz Sukuk 5.681%, 05/27/09 (B) AED 20,000 3,553 ------------- 7,079 ------------- URUGUAY -- 3.4% Republic of Uruguay 9.250%, 05/17/17 8,870 7,806 8.000%, 11/18/22 19,247 15,378 7.875%, 01/15/33 2,700 1,964 7.625%, 03/21/36 1,751 1,252 Republic of Uruguay PIK 7.875%, 01/15/33 2,606 1,896 ------------- 28,296 ------------- VENEZUELA -- 7.3% Government of Venezuela 13.625%, 08/15/18 1,200 888 10.750%, 09/19/13 5,115 3,632 9.375%, 01/13/34 13,925 7,171 9.250%, 05/07/28 16,025 8,316 9.250%, 09/15/27 7,725 4,867 9.000%, 05/07/23 7,970 3,945 8.500%, 10/08/14 2,820 1,622 7.650%, 04/21/25 (E) 13,920 6,334 6.000%, 12/09/20 4,475 1,880
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 186
Face Amount(1) (Thousands)/ Market Value Description Contracts ($ Thousands) - ----------- ------------- ------------- 5.750%, 02/26/16 6,485 $ 2,967 5.375%, 08/07/10 6,905 5,671 5.059%, 01/22/09 (B) 16,800 10,583 Government of Venezuela Registered 7.000%, 12/01/18 2,005 922 Petroleos de Venezuela 5.375%, 04/12/27 4,605 1,566 5.250%, 04/12/17 800 304 ------------- 60,668 ------------- VIETNAM -- 0.1% Socialist Republic of Vietnam 6.875%, 01/15/16 1,585 1,221 ------------- YEMEN -- 0.1% Pemberley SPV Finance 2008 Yemen MTN 11.500%, 02/19/14 (I) (J) 1,100 1,045 0.000%, 02/25/20 (F) (I) (J) 1,100 -- ------------- 1,045 ------------- Total Global Bonds (Cost $978,929) ($ Thousands) 717,744 ------------- DEPOSIT WITH COUNTERPARTY AS COLLATERAL FOR SWAP CONTRACTS (H) -- 1.6% UNITED STATES -- 1.6% Deposits with Credit Suisse First Boston as Collateral for Swap Contract Outstanding 940 940 Deposits with Credit Suisse First Boston as Collateral for Swap Contract Outstanding 600 600 Deposits with Credit Suisse First Boston as Collateral for Swap Contract Outstanding 2,400 2,400 Deposits with Credit Suisse First Boston as Collateral for Swap Contract Outstanding 600 600 Deposits with Deutsche Bank as Collateral for Swap Contract Outstanding BRL 659 288 Deposits with Deutsche Bank as Collateral for Swap Contract Outstanding BRL 7,115 3,111 Deposits with Goldman Sachs as Collateral for Swap Contract Outstanding BRL 1,876 820 Deposits with Merrill Lynch as Collateral for Swap Contract Outstanding 1,803 1,803
Face Amount(1) (Thousands)/ Market Value Description Contracts ($ Thousands) - ----------- ------------- ------------- Deposits with Merrill Lynch as Collateral for Swap Contract Outstanding NGN 285,300 $ 2,391 Deposits with Standard Bank as Collateral for Swap Contract Outstanding 72 72 Deposits with UBS as Collateral for Swap Contract Outstanding ILS 21 5 ------------- Total Deposit with Counterparty as Collateral for Swap Contracts (Cost $14,401) ($ Thousands) 13,030 ------------- LOAN PARTICIPATIONS -- 1.4% GERMANY -- 0.1% Rike 10.000%, 08/17/11 1,200 900 ------------- NIGERIA -- 0.3% Oando 13.900%, 02/23/10 NGN 229,710 1,279 13.900%, 03/02/10 NGN 229,710 1,279 ------------- 2,558 ------------- RUSSIA -- 0.3% Snegri Overseas 10.500%, 04/21/10 2,600 2,600 ------------- SINGAPORE -- 0.3% Neptune 0.000%, 12/05/08 (I) (J) 2,738 2,738 ------------- TURKEY -- 0.4% Cukurova, Ser B 10.973%, 05/01/12 (I) (J) 3,850 2,925 ------------- Total Loan Participations (Cost $14,301) ($ Thousands) 11,721 ------------- PURCHASED OPTIONS -- 0.1% BRAZIL -- 0.0% December 2008 BRL Call, Expires 12/20/08 Strike Price $1.71* 9,690,000 -- December 2008 BRL Call, Expires 12/20/08 Strike Price $1.71* 9,720,000 -- January 2009 BRL Call, Expires 01/17/09 Strike Price $1.71* 7,843,000 1 ------------- 1 -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 187 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Continued) November 30, 2008
Market Value Description Contracts ($ Thousands) - ----------- ------------- ------------- UNITED STATES -- 0.1% June 2009 Call, Expires 06/20/09 Strike Price $1.20* 26,000,000 $ 96 June 2009 Call, Expires 06/20/09 Strike Price $1.03* 26,000,000 122 June 2009 Call, Expires 06/20/09 Strike Price $1.24* 26,000,000 97 June 2009 Call, Expires 06/20/09 Strike Price $0.80* 26,000,000 150 May 2009 Call, Expires 05/16/09 Strike Price $1.04* 26,000,000 121 May 2009 Call, Expires 05/16/09 Strike Price $1.12* 26,000,000 104 May 2009 Call, Expires 05/16/09 Strike Price $1.04* 26,000,000 115 May 2009 Call, Expires 05/16/09 Strike Price $1.22* 26,000,000 100 ------------- 905 ------------- Total Purchased Options (Cost $1,216) ($ Thousands) 906 -------------
Number of Warrants ------------- WARRANTS -- 0.0% RUSSIA -- 0.0% Teorema Holding A, Expires 10/27/11* (I) (J) 136 75 Teorema Holding B, Expires 10/27/11* (I) (J) 272 156 ------------- Total Warrants (Cost $47) ($ Thousands) 231 -------------
Shares/ Market Value Description Contracts ($ Thousands) - ----------- ------------- ------------- AFFILIATED PARTNERSHIP -- 3.4% UNITED STATES -- 3.4% SEI Liquidity Fund, L.P., 1.630%**+ (G) 29,201,596 $ 28,823 ------------- Total Affiliated Partnership (Cost $29,202) ($ Thousands) 28,823 ------------- Total Investments -- 92.6% (Cost $1,038,096) ($ Thousands) $ 772,455 ============= WRITTEN OPTIONS -- 0.0% BRAZIL -- 0.0% December 2008 BRL Call, Expires 12/20/08, Strike Price $1.61 (9,120,000) $ -- December 2008 BRL Call, Expires 12/20/08, Strike Price $1.57 (8,917,600) -- December 2008 BRL Call, Expires 12/20/08, Strike Price $1.61 (9,150,000) -- January 2009 BRL Call, Expires 01/17/09, Strike Price $1.61 (7,383,000) (1) ------------- Total Written Options (Premiums Received $240) ($ Thousands) $ (1) -------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 188 A summary of outstanding swap agreements held by the Fund at November 30, 2008, is as follows (See Note 2 in Notes to Financial Statements): TOTAL RETURN SWAPS
NET UNREALIZED APPRECIATION TERMINATION NOTIONAL AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION FUND PAYS FUND RECEIVES DATE (THOUSANDS)(1) ($ THOUSANDS) - ------------- --------------------------- ------------------------------- ------------- ----------- --------------- -------------- Standard Bank Federal Government of Nigeria 17.000%, 12/16/08 Cash Deposit Of Notional Amount Price Return 12/16/08 BRL 9,152 $ 1 Goldman Sachs Federative Republic of Brazil, 10.000%, 01/01/17 Cash Deposit Of Notional Amount Price Return 01/01/17 BRL 1,850 (100) Deutsche Bank Federative Republic of Brazil, 6.000%, 05/15/17 Cash Deposit Of Notional Amount Price Return 08/15/10 BRL 4,411 (332) Deutsche Bank Federative Republic of Brazil, 6.000%, 08/15/10 Cash Deposit Of Notional Amount Price Return 08/15/10 BRL 400 12 Merrill Lynch Solar Gardens Ltd. Term Loan Credit Facility Cash Deposit Of Notional Amount Price Return 12/30/09 NGN 285,300 (748) Merrill Lynch Zaporozh Term Loan, 9.784%, 12/31/10 Cash Deposit Of Notional Amount Price Return 12/31/10 NGN 1,775 (598) ------- $(1,765) =======
CREDIT DEFAULT SWAPS
NET UNREALIZED APPRECIATION (PAYS)/ NOTIONAL AMOUNT (DEPRECIATION) COUNTERPARTY REFERENCE ENTITY/OBLIGATION BUY/SELL PROTECTION RECEIVES RATE TERMINATION DATE (THOUSANDS) ($ THOUSANDS) - ----------------------------------------- ------------------- ------------- ---------------- --------------- -------------- Credit Suisse JSC Gazprom 8.625% 04/28/34 Sell 1.37 08/20/16 (600) $ (201) Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/09 Sell 5.75 12/20/08 (940) 2 Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/09 Sell 5.75 12/20/09 (2,400) (573) Credit Suisse Naftogaz Ukrainy, 8.125% 09/30/09 Sell 5.20 12/20/11 (600) (260) ------- $(1,032) =======
INTEREST RATE SWAPS
NET UNREALIZED NOTIONAL AMOUNT DEPRECIATION COUNTERPARTY FUND PAYS FUND RECEIVES TERMINATION DATE (THOUSANDS) ($ THOUSANDS) - ------------ ----------------------------- ------------- ---------------- --------------- -------------- Deutsche Bank Brazil Interbank Deposit Rate 14.64% 01/02/12 BRL 7,297 $ (48) Deutsche Bank Brazil Interbank Deposit Rate 15.16% 01/02/12 BRL 15,245 2 Deutsche Bank Brazil Interbank Deposit Rate 14.17% 01/02/12 BRL 7,036 (98) HSBC Brazil Interbank Deposit Rate 14.61% 01/02/12 BRL 2,655 (19) ----- $(163) =====
A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows:
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - ------------------------- ------------ ---------- ------------- U.S. 5-Year Treasury Note 38 Mar-2009 $ 19 U.S. Long Treasury Bond 115 Mar-2009 178 ---- $197 ====
A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2008, is as follows:
UNREALIZED CURRENCY CURRENCY APPRECIATION MATURITY TO DELIVER TO RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) - --------------- ------------- ------------- -------------- 12/2/08 USD 3,540 BRL 7,711 $ (168) 12/2/08-1/5/09 BRL 50,653 USD 22,077 33 12/2/08-1/16/09 EUR 16,315 USD 24,225 3,534 12/8/08-1/14/09 MXP 67,055 USD 5,061 44 12/8/08-1/21/09 USD 6,378 MXP 85,590 9 12/11/08 KRW 2,977,223 USD 2,700 661 12/11/08 USD 2,450 KRW 2,977,223 (411) 12/18/08 TRY 3,500 USD 2,097 (122) 1/16/09 USD 7,748 EUR 5,682 (543) ------ $3,037 ======
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 189 SCHEDULE OF INVESTMENTS (Unaudited) Emerging Markets Debt Fund (Concluded) November 30, 2008 Percentages are based on a Net Assets of $833,833 ($ Thousands). * Non-income producing security. ** Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (see Note 3). (1) In U.S. dollars unless otherwise indicated. (A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the board of Trustees. (B) Variable Rate Security -- The rate reported is the rate in effects as of November 30, 2008. The date reported is the next reset date. (C) Step Bonds -- The rate reported is the effective yield on November 30, 2008. The coupon on a step bond changes on a specified date. (D) Security in default on interest payments. (E) This security or a partial position of this security is on loan at November 30, 2008. The total value of securities on loan at November 30, 2008 was $26,873 ($ Thousands). (F) Zero coupon security. The rate reported is the effective yield at time of purchase. (G) This security was purchased with cash collateral held from securities on loan (see Note 9). The total value of such securities as of November 30, 2008 was $28,823 ($ Thousands). (H) Cash on loan to swap counterparty as collateral for outstanding swap contracts. (I) Securities considered illiquid. The total value of such securities as of November 30, 2008 was $9,738 ($ Thousands) and represented 1.17% of net assets (see Note 3). (J) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total value of such securities as of November 30, 2008 was $9,738 ($ Thousands) and represented 1.17% of net assets. AED -- United Arab Emirates Dirham BRL -- Brazilian Real COP -- Colombian Peso DEM -- German Mark EURIBOR -- Euro London Interbank Offered Rate EUR -- Euro ILS -- Israeli New Sheckels KRW -- South Korean Won LIBOR -- London Interbank Offered Rate MTN -- Medium Term Note MXP -- Mexican Peso NGN -- Nigerian Naira PIK -- Payment-in-Kind Ser -- Series TRY -- New Turkish Lira USD -- U.S. Dollar Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 190 Real Return Plus Fund November 30, 2008 SECTOR WEIGHTINGS+++: (BAR CHART) U.S. Treasury Obligations 96.2% Short-Term Investments 3.8%
+++ Percentages based on total investments.
Face Amount Market Value Description ($ Thousands)/Shares ($ Thousands) - ----------- -------------------- ------------- U.S. TREASURY OBLIGATIONS -- 94.4% U.S. Treasury Bills (A) (B) 1.521%, 04/23/09 $ 3,800 $ 3,796 0.632%, 05/14/09 200 199 0.229%, 01/15/09 3,095 3,095 U.S. Treasury Inflation-Protected Securities 4.250%, 01/15/10 2,250 2,202 3.500%, 01/15/11 300 289 3.375%, 01/15/12 5,342 5,176 3.000%, 07/15/12 6,659 6,366 2.625%, 07/15/17 7,165 6,801 2.500%, 07/15/16 23,886 21,946 2.375%, 04/15/11 to 01/15/17 52,888 49,143 2.000%, 04/15/12 to 01/15/16 94,631 84,816 1.875%, 07/15/13 to 07/15/15 15,012 13,568 1.625%, 01/15/15 to 01/15/18 35,000 30,780 1.375%, 07/15/18 9,347 8,372 0.875%, 04/15/10 22,651 21,060 0.625%, 04/15/13 330 307 -------- Total U.S. Treasury Obligations (Cost $278,798) ($ Thousands) 257,916 -------- CASH EQUIVALENT -- 3.8% SEI Daily Income Trust, Prime Obligation Fund, Cl A, 1.620%*+ 10,309,540 10,310 -------- Total Cash Equivalent (Cost $10,310) ($ Thousands) 10,310 -------- Total Investments -- 98.2% (Cost $289,108) ($ Thousands) $268,226 ========
A summary of the open futures contracts held by the Fund at November 30, 2008, is as follows:
UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ---------- -------------- Amsterdam Index 27 Dec-2008 $ 50 Australian 10-Year Bond (241) Dec-2008 (1,025) Australian 10-Year Bond 31 Dec-2008 173 CAC40 10 Euro (29) Dec-2008 (35) CAC40 10 Euro 2 Dec-2008 4 Canadian 10-Year Bond (102) Mar-2009 (115) Canadian 10-Year Bond 36 Mar-2009 41 Dax Index 1 Dec-2008 (15) Dax Index 9 Dec-2008 (246) DJ Euro Stoxx 50 Index 8 Dec-2008 (7) Euro-Bund (29) Dec-2008 (212) Euro-Bund 25 Dec-2008 241 Euro-Schatz 27 Dec-2008 15 FTSE Index (5) Dec-2008 62 FTSE Index 8 Dec-2008 (51) Hang Seng Index 5 Dec-2008 54 Hang Seng Index (10) Dec-2008 (62) IBEX Index 1 Dec-2008 7 IBEX Index (20) Dec-2008 (127) Japan 10-Year Bond (9) Dec-2008 (207) Japan 10-Year Bond 11 Dec-2008 184 Long Gilt 10-Year Bond 11 Mar-2009 19 Long Gilt 10-Year Bond (17) Mar-2009 (32) NASDAQ 100 E-Mini (9) Dec-2008 32 Russell E-Mini (5) Dec-2008 109 S&P 500 Composite Index 11 Dec-2008 (830) S&P 500 E-Mini 13 Dec-2008 (152) S&P/MIB Index 18 Dec-2008 (753) S&P/TSE 60 Index (29) Dec-2008 948 SPI 200 Index 60 Dec-2008 (270) Topix Index (59) Dec-2008 943 U.S. 10-Year Note (4) Mar-2009 (15) U.S. 2-Year Note 31 Mar-2009 44 U.S. Long Treasury Bond 101 Mar-2009 232 ------- $ (996) =======
A summary of the outstanding forward foreign currency contracts held by the Fund at November 30, 2008 is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED CURRENCY TO CURRENCY TO APPRECIATION MATURITY DELIVER RECEIVE (DEPRECIATION) DATE (THOUSANDS) (THOUSANDS) ($ THOUSANDS) - -------- --------------- --------------- -------------- 12/15/08 DKK 6,400 USD 1,192 $ 102 12/15/08 NOK 116,456 USD 17,666 1,058 12/15/08 SGD 54,466 USD 37,909 1,789 12/15/08 USD 1,157 DKK 6,400 (68) 12/15/08 USD 15,438 NOK 90,611 (2,516) 12/15/08 USD 50,183 SGD 71,904 (2,499) 12/15/08-12/17/08 AUD 16,627 USD 13,271 2,456 12/15/08-12/17/08 CAD 10,910 USD 10,093 1,301 12/15/08-12/17/08 CHF 14,529 USD 12,856 878 12/15/08-12/17/08 EUR 25,315 USD 34,882 2,771 12/15/08-12/17/08 GBP 18,020 USD 31,637 3,988 12/15/08-12/17/08 JPY 1,536,903 USD 15,111 (1,042) 12/15/08-12/17/08 NZD 19,250 USD 12,103 1,577 12/15/08-12/17/08 SEK 60,043 USD 8,533 1,119 12/15/08-12/17/08 USD 12,210 AUD 16,672 (1,365) 12/15/08-12/17/08 USD 11,399 CAD 12,976 (941) 12/15/08-12/17/08 USD 16,311 CHF 18,484 (1,072) 12/15/08-12/17/08 USD 25,755 EUR 19,008 (1,644) 12/15/08-12/17/08 USD 25,580 GBP 14,599 (3,181) 12/15/08-12/17/08 USD 15,531 JPY 1,620,569 1,502 12/15/08-12/17/08 USD 13,297 NZD 20,615 (2,025) 12/15/08-12/17/08 USD 11,663 SEK 82,670 (1,455) ------- $ 733 =======
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 191 SCHEDULE OF INVESTMENTS (Unaudited) Real Return Plus Fund (Concluded) November 30, 2008 Percentages are based on a Net Assets of $273,090 ($ Thousands). * Rate shown is the 7-day effective yield as of November 30, 2008. + Investment in Affiliated Security (See Note 3). (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. AUD -- Australian Dollar CAD -- Canadian Dollar CHF -- Swiss Franc DKK -- Danish Krone EUR -- Euro GBP -- British Pound Sterling JPY -- Japanese Yen NOK -- Norwegian Krone NZD -- New Zealand Dollar SEK -- Swedish Krone SGD -- Singapore Dollar USD -- U.S. Dollar SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 192 This page intentionally left blank. Statements of Assets and Liabilities ($ Thousands) November 30, 2008 (Unaudited)
LARGE CAP LARGE CAP DIVERSIFIED DISCIPLINED LARGE CAP ALPHA EQUITY FUND FUND FUND ----------------- ----------------- ------------------ ASSETS: Investments at value $ 236,405* $ 301,586 $ 4,558,007* Affiliated investment, at value++ 41,074 47,869 1,842,162 Cash 1 367 14,866 Foreign currency, at value+++ -- 7 -- Cash held as collateral for future contracts and swap contracts -- -- 4,612 Receivable for fund shares sold 57,028 -- 30,322 Receivable for investment securities sold 1,130 2,383 32,770 Dividends and interest receivable 637 755 14,022 Receivable for variation margin 105 579 12,693 Foreign tax reclaim receivable 1 -- -- Unrealized gain on foreign spot currency contracts -- -- -- Unrealized gain on forward foreign currency contracts -- -- 2,455 Swap contracts, at value++++ -- -- -- Prepaid expenses 4 6 88 ------------ ------------ -------------- Total Assets 336,385 353,552 6,511,997 ------------ ------------ -------------- LIABILITIES: Payable upon return on securities loaned 32,767 -- 841,399 Payable for investment securities purchased 1,162 2,454 40,207 Payable for fund shares redeemed 215 14 8,096 Payable for variation margin -- -- 47 Investment advisory fees payable 46 82 743 Overdraft of Foreign currency, at value+++ -- -- -- Margin call -- -- -- Reverse repurchase agreements -- -- -- Swap contracts, at value++++ -- -- -- Unrealized loss on foreign spot currency contracts -- -- -- Unrealized loss on forward foreign currency contracts -- -- 2,710 Trustees fees payable -- -- -- CCO fees payable 1 2 27 Accrued expense payable 13 30 370 Accrued foreign capital gains tax on appreciated securities -- -- -- ------------ ------------ -------------- Total Liabilities 34,204 2,582 893,599 ------------ ------------ -------------- Net Assets $ 302,181 $ 350,970 $ 5,618,398 ------------ ------------ -------------- + Cost of investments 311,032 409,109 5,721,299 ++ Cost of affiliated investments 41,527 68,920 2,292,002 +++ Cost of foreign currency -- 9 -- ++++ Premiums received -- -- -- * Includes market value of securities on loan 31,751 -- 819,640 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 499,089 $ 610,378 $ 9,290,243 Undistributed (Distributions in excess of) net investment income 1,015 (347) (10,380) Accumulated net realized loss on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency (122,658) (115,351) (1,774,687) Net unrealized depreciation on investments, securities sold short, option contracts and swaptions (75,080) (128,574) (1,613,132) Net unrealized appreciation (depreciation) on futures contracts (185) (15,134) (273,394) Net unrealized depreciation on swap contracts -- -- -- Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies -- (2) (252) Accumulated foreign capital gains tax on appreciated securities -- -- -- ------------ ------------ -------------- Net Assets $ 302,181 $ 350,970 $ 5,618,398 ------------ ------------ -------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 11.67 $ 5.97 $ 7.17 ($302,180,715 / ($350,969,638 / ($5,618,397,763 / 25,887,620 58,773,290 783,514,891 shares) shares) shares) ------------ ------------ --------------
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 194
SMALL/MID LARGE CAP CAP INTERNATIONAL WORLD EQUITY INDEX SMALL CAP EQUITY EQUITY EX-US FUND FUND FUND FUND FUND - ---------------- ------------------ ------------------ ------------------ ------------------ $ 329,238* $ 828,228* $ 1,410,502* $ 755,330* $ 1,775,177* 58,822 267,449 367,123 96,272 234,019 4 83 1,035 24,822 32,716 -- 41 -- 7,899 12,097 -- -- -- -- 6,623 57,028 1,252 37,107 682 74,760 26 8,874 25,072 34,686 60,671 849 1,220 2,658 2,797 5,384 50 584 416 2,023 5,938 -- 1 1 723 717 -- 1 1 6 22 -- -- -- 24,611 14,491 -- -- -- 579 -- -- 18 25 13 29 ------------- ------------- --------------- ------------- -------------- 446,017 1,107,751 1,843,940 950,443 2,222,644 ------------- ------------- --------------- ------------- -------------- 56,319 235,577 318,626 61,885 114,445 57,556 8,766 24,098 39,255 76,639 130 468 1,845 1,234 3,449 15 4 7 70 140 8 372 566 237 659 -- -- 66 -- -- -- -- -- 75 -- -- -- -- 4,679 10,209 -- -- -- -- 12,922 -- -- -- 8 21 -- -- -- 27,123 15,767 -- -- -- -- -- 1 6 7 4 10 10 67 82 208 580 -- -- -- -- 1 ------------- ------------- --------------- ------------- -------------- 114,039 245,260 345,297 134,778 234,842 ------------- ------------- --------------- ------------- -------------- $ 331,978 $862,491 $ 1,498,643 $815,665 $ 1,987,802 ------------- ------------- --------------- ------------- -------------- 364,237 1,266,590 2,160,583 1,055,200 2,615,662 59,654 273,955 374,904 97,331 236,000 -- 41 (68) 7,903 12,098 -- -- -- 1,408 2,776 54,604 224,442 303,935 58,412 109,001 $ 379,470 $ 1,612,386 $ 2,626,769 $ 1,406,296 $ 3,584,461 1,391 13,005 12,904 21,060 30,635 (11,367) (318,984) (381,365) (298,557) (746,797) (35,831) (444,868) (757,862) (300,929) (842,466) (1,685) 957 (1,798) (8,640) (21,101) -- -- -- (1,194) (15,675) -- (5) (5) (2,371) (1,254) -- -- -- -- (1) ------------- ------------- --------------- ------------- -------------- $ 331,978 $862,491 $ 1,498,643 $815,665 $ 1,987,802 ------------- ------------- --------------- ------------- -------------- $ 75.88 $ 7.10 $ 6.93 $ 5.56 $ 7.10 ($331,977,807/ ($862,491,160 / ($1,498,643,203 / ($815,656,154 / ($1,987,802,241 / 4,374,892 121,455,565 216,183,656 146,784,362 279,852,945 shares) shares) shares) shares) shares) ------------- ------------- --------------- ------------- --------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 195 Statements of Assets and Liabilities ($ Thousands) November 30, 2008 (Unaudited)
SCREENED ENHANCED WORLD EQUITY LIBOR CORE EX-US OPPORTUNITIES FIXED INCOME FUND FUND FUND -------------- --------------- ----------------- ASSETS: Investments at value+ $ 48,470 $ 93,521 $ 6,108,230* Affiliated investment, at value++ 28 80,672 785,332 Repurchase agreements -- 3,200 -- Cash 199 609 -- Foreign currency, at value+++ 386 -- -- Cash pledge as collateral for forward foreign currency contracts, future contracts and swap contracts -- -- 27,173 Receivable for investment securities sold 289 4,081 785,271 Dividends and interest receivable 140 802 42,254 Receivable for fund shares sold -- -- 30,167 Receivable for variation margin -- -- 2,818 Foreign tax reclaim receivable 2 4 180 Unrealized gain on foreign spot currency contracts 31 -- -- Unrealized gain on forward foreign currency contracts -- 6,593 3,284 Swap contracts, at value++++ -- -- -- Prepaid expenses 9 3 68 -------------- --------------- ----------------- Total Assets 49,554 189,485 7,784,777 -------------- --------------- ----------------- LIABILITIES: Payable upon return on securities loaned -- -- 564,246 Payable for investment securities purchased 210 1,960 1,874,375 Payable for fund shares redeemed -- 8,683 22,020 Due to Custodian -- -- 40,252 Swap contracts, at value++++ -- -- 34,271 Options written, at value+++++ -- -- 3,268 Payable for variation margin -- 49 3,216 Overdraft of Foreign currency, at value+++ -- -- 1,133 Income distribution payable -- -- 665 Unrealized loss on foreign spot currency contracts 31 -- -- Unrealized loss on forward foreign currency contracts -- 7,507 -- Investment advisory fees payable 26 59 614 CCO fees payable 3 1 20 Accrued expense payable -- 30 295 -------------- --------------- ----------------- Total Liabilities 270 18,289 2,544,375 -------------- --------------- ----------------- Net Assets $ 49,284 $ 171,196 $ 5,240,402 -------------- --------------- ----------------- + Cost of investments and repurchase agreements 74,902 130,184 6,804,026 ++ Cost of affiliated investments 28 119,379 796,222 +++ Cost of foreign currency 386 -- (1,421) ++++ Premiums received -- -- (31,792) +++++ Premiums received -- -- (2,025) * Includes market value of securities on loan -- -- 537,307 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 87,900 $ 254,853 $ 5,885,258 Undistributed (Distribution in excess of) net investment income 546 1,232 (5,425) Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures, securities sold short, swap contracts and foreign currency (12,735) (11,617) 65,472 Net unrealized depreciation on investments, securities sold short, option contracts and swaptions (26,432) (72,170) (707,929) Net unrealized appreciation (depreciation) on futures contracts -- (98) 551 Net unrealized appreciation (depreciation) on swap contracts -- -- (2,479) Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies 5 (1,004) 4,954 -------------- --------------- ----------------- Net Assets $ 49,284 $ 171,196 $ 5,240,402 -------------- --------------- ----------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $ 5.54 $ 6.70 $ 9.07 ($49,283,808 / ($171,196,483 / ($5,240,401,936 / 8,902,695 25,533,866 577,500,639 shares) shares) shares) -------------- --------------- -----------------
Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 196
HIGH YIELD LONG EXTENDED EMERGING REAL RETURN BOND DURATION DURATION MARKETS PLUS FUND FUND FUND DEBT FUND FUND - --------------- --------------- ----------------- --------------- --------------- $ 911,102* $ 85,290 $ 729,856 $ 743,632* $ 257,916 146,616 3,388 41,537 28,823 10,310 -- -- -- -- -- -- -- 1,567 63,347 261 -- -- -- 7,293 158 -- -- 328 2,853 70 16,473 -- 178 4,469 4,984 29,359 593 3,348 19,520 1,935 4,140 -- 21,825 3,862 -- -- -- 335 197 399 147 -- -- -- -- -- -- -- 138 -- -- -- -- 4,281 18,541 -- 21,044 455,245 -- -- 3 1 12 10 4 - --------------- --------------- ----------------- --------------- --------------- 1,107,840 110,316 1,254,231 878,425 294,578 - --------------- --------------- ----------------- --------------- --------------- 115,990 -- -- 29,202 -- 20,124 -- 10,442 6,204 -- 7,310 -- 20,000 4,305 3,027 16,893 1,889 -- -- -- -- -- -- 3,185 -- -- -- -- 1 -- -- -- -- -- 566 -- -- -- -- -- 158 -- -- -- -- -- -- -- 25 -- -- -- -- 1,244 17,808 266 13 148 349 75 4 -- 3 3 1 43 21 72 74 11 - --------------- --------------- ----------------- --------------- --------------- 160,788 1,923 30,665 44,592 21,488 - --------------- --------------- ----------------- --------------- --------------- $ 947,052 $ 108,393 $ 1,223,566 $ 833,833 $ 273,090 - --------------- --------------- ----------------- --------------- --------------- 1,453,953 124,327 880,665 1,008,894 278,798 149,209 3,388 41,537 29,202 10,310 -- -- -- 7,318 141 -- (218) (1,255) -- -- -- -- -- (240) -- 107,649 -- -- 26,873 -- $ 1,586,927 $ 136,155 $ 900,523 $ 1,138,320 $ 275,711 (6,105) (2,157) (35,427) 14,870 19,548 (88,326) (7,968) 48,094 (54,012) (1,041) (545,444) (39,037) (150,809) (265,402) (20,882) -- 138 4,685 197 (996) -- 21,262 456,500 (2,960) -- -- -- -- 2,820 750 - --------------- --------------- ----------------- --------------- --------------- $ 947,052 $ 108,393 $ 1,223,566 $ 833,833 $ 273,090 - --------------- --------------- ----------------- --------------- --------------- $ 5.94 $ 8.19 $ 13.32 $ 7.60 $ 9.99 ($947,052,266 / ($108,393,408 / ($1,223,566,207 / ($833,833,435 / ($273,090,496 / 159,460,477 13,229,405 91,890,871 109,765,975 27,341,556 shares) shares) shares) shares) shares) - --------------- --------------- ----------------- --------------- ---------------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 197 Statements of Operations ($ Thousands) For the six month period ended November 30, 2008 (Unaudited)
LARGE CAP LARGE CAP LARGE CAP DIVERSIFIED DISCIPLINED FUND ALPHA FUND EQUITY FUND --------- ----------- ----------- INVESTMENT INCOME Dividends $ 3,213 $ 4,046 $ 68,015 Dividends from Affiliated Registered Investment Company(1) 146 227 4,407 Interest Income 25 79 1,095 Security Lending Income -- Net 78 -- 1,187 Less: Foreign Taxes Withheld (2) (3) -- --------- --------- ----------- Total Investment Income 3,460 4,349 74,704 --------- --------- ----------- EXPENSES: Investment Advisory Fees 610 938 14,633 Administration Fees 76 117 1,829 Trustee Fees 2 4 56 Chief Compliance Officer Fees 1 1 19 Custodian/Wire Agent Fees 11 18 252 Professional Fees 8 11 178 Printing Fees 3 5 73 Registration Fees 1 13 177 Interest Expense on Reverse Repurchase Agreements -- -- -- Proxy Expenses -- -- -- Dividend Expense on Short Sales -- 364 -- Interest Expense on Short Sales -- 282 -- Overdraft Fees -- -- -- Other Expenses 6 9 79 --------- --------- ----------- Total Expenses 718 1,762 17,296 --------- --------- ----------- Less: Waiver of Investment Advisory Fees (246) (262) (8,671) Waiver of Administration Fees (76) (117) (1,829) Fees Paid Indirectly(1) (10) -- (5) --------- --------- ----------- Net Expenses 386 1,383 6,791 --------- --------- ----------- NET INVESTMENT INCOME 3,074 2,966 67,913 --------- --------- ----------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS: Investments (16,566) (54,995) (753,156) Affiliated Investments -- (5,522) (87,274) Securities Sold Short -- -- -- Futures Contracts (3,722) (16,915) (344,064) Swap Contracts -- -- -- Foreign Currency Transactions -- -- (1,600) NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (124,513) (134,029) (1,751,843) Affiliated Investments (453) (15,637) (342,639) Futures Contracts (1,582) (23,052) (429,544) Swap Contracts -- -- -- Foreign Capital Gains Tax -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies -- (2) 99 --------- --------- ----------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(143,762) $(247,186) $(3,642,108) --------- --------- -----------
(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. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 198
LARGE CAP INTERNATIONAL WORLD EQUITY INDEX SMALL CAP SMALL/MID CAP EQUITY EX-US FUND FUND EQUITY FUND FUND FUND - --------- --------- ------------- ------------- ------------ $ 3,795 $ 9,514 $ 14,874 $ 13,785 $ 31,931 64 728 1,125 488 1,868 3 232 154 1,770 4,300 148 2,470 2,773 1,392 1,568 -- -- -- (705) (2,740) - --------- --------- ----------- --------- ----------- 4,010 12,944 18,926 16,730 36,927 - --------- --------- ----------- --------- ----------- 281 4,676 6,503 2,814 6,959 83 360 500 279 633 3 11 15 9 20 1 4 5 3 6 11 53 69 165 424 8 37 49 28 62 3 15 21 11 25 2 18 30 6 104 -- -- -- 15 26 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 11 3 7 21 26 54 87 - --------- --------- ----------- --------- ----------- 399 5,195 7,218 3,395 8,349 - --------- --------- ----------- --------- ----------- (217) (933) (1,695) (925) (2,006) (83) (360) (500) (279) (633) -- (151) (159) (29) (53) - --------- --------- ----------- --------- ----------- 99 3,751 4,864 2,162 5,657 - --------- --------- ----------- --------- ----------- 3,911 9,193 14,062 14,568 31,270 - --------- --------- ----------- --------- ----------- (7,912) (206,683) (203,195) (176,012) (407,596) -- -- -- -- -- -- -- -- -- -- (275) (11,381) (30,306) (61,766) (127,982) -- -- -- (31,780) (77,705) -- (77) (45) (16,169) (35,967) (142,604) (500,657) (835,019) (463,771) (1,102,540) (853) (6,506) (7,782) (1,059) (1,981) (2,209) (4,273) (6,951) (15,788) (49,555) -- -- -- (7,221) (26,346) -- -- -- -- 354 -- 4 3 (1,570) (656) - --------- --------- ----------- --------- ----------- $(149,942) $(720,380) $(1,069,233) $(760,568) $(1,798,704) - --------- --------- ----------- --------- -----------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 199 Statements of Operations ($ Thousands) For the six month period ended November 30, 2008 (Unaudited)
SCREENED ENHANCED WORLD EQUITY LIBOR CORE FIXED EX-US OPPORTUNITIES INCOME FUND(2) FUND FUND ------------ ------------- ---------- INVESTMENT INCOME Dividends $ 785 $ -- $ 202 Dividends from Affiliated Registered Investment Company(1) 26 197 2,828 Interest Income 20 3,492 161,351 Security Lending Income -- Net -- -- 2,507 Less: Foreign Taxes Withheld (67) -- (27) -------- -------- --------- Total Investment Income 764 3,689 166,861 -------- -------- --------- EXPENSES: Investment Advisory Fees 177 496 8,652 Administration Fees 14 55 1,442 Trustee Fees -- 2 42 Chief Compliance Officer Fees 3 1 14 Custodian/Wire Agent Fees 4 7 190 Professional Fees 2 5 133 Printing Fees 1 2 55 Registration Fees 2 3 18 Overdraft Fees -- -- -- Other Expenses 34 30 128 -------- -------- --------- Total Expenses 237 601 10,674 -------- -------- --------- Less: Waiver of Investment Advisory Fees (5) (89) (5,168) Waiver of Administration Fees (14) (55) (1,442) -------- -------- --------- Net Expenses 218 457 4,064 -------- -------- --------- NET INVESTMENT INCOME 546 3,232 162,797 -------- -------- --------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Investments (12,667) (6,354) (91,214) Affiliated Investments -- -- -- Securities Sold Short -- -- -- Futures Contracts -- -- 9,453 Written Options -- -- 7,959 Written Swaptions -- -- (9) Swap Contracts -- 363 47,683 Foreign Currency Transactions (68) (961) 8,812 NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: Investments (26,432) (22,736) (542,420) Affiliated Investments -- (32,946) (10,891) Securities Sold Short -- -- -- Futures Contracts -- (100) 4,512 Written Options -- -- (1,560) Written Swaptions -- -- 1,076 Swap Contracts -- (85) 37,081 Foreign Capital Gains Tax -- -- -- Foreign Currency and Translation of Other Assets and Liabilities Denominated in Foreign Currencies 5 (690) 3,965 -------- -------- --------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(38,616) $(60,277) $(362,756) -------- -------- ---------
(1) See Note 3 in the Notes to the Financial Statements. (2) Commenced operations on June 30, 2008. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 200
HIGH YIELD LONG EXTENDED EMERGING REAL RETURN BOND DURATION DURATION MARKETS PLUS FUND FUND FUND DEBT FUND FUND - ---------- -------- -------- --------- ----------- $ 6,606 $ 23 $ 172 $ -- $ -- 686 12 134 -- 78 62,557 2,628 18,296 39,546 10,619 741 -- -- 96 -- -- -- -- -- -- - --------- -------- -------- --------- -------- 70,590 2,663 18,602 39,642 10,697 - --------- -------- -------- --------- -------- 3,086 165 1,441 4,222 1,175 317 27 240 248 84 9 1 6 7 2 3 -- 2 3 1 43 4 29 65 12 30 3 20 23 8 13 1 9 10 3 23 1 27 22 9 -- -- -- -- 2 14 20 45 44 10 - --------- -------- -------- --------- -------- 3,538 222 1,819 4,644 1,306 - --------- -------- -------- --------- -------- (1,004) (84) (620) (1,664) (616) (317) (27) (240) (248) (84) - --------- -------- -------- --------- -------- 2,217 111 959 2,732 606 - --------- -------- -------- --------- -------- 68,373 2,552 17,643 36,910 10,091 - --------- -------- -------- --------- -------- (57,664) (511) 15,964 (33,575) (3,341) -- -- -- -- -- -- -- -- -- -- -- 102 5,216 2,032 1,984 -- -- -- 24 -- -- -- -- -- -- -- (1,980) 13,594 (4,722) -- -- -- -- (7,730) 1,409 (453,129) (21,948) (84,383) (265,610) (35,226) (2,593) -- -- (379) -- -- -- -- -- -- -- 122 5,104 128 (3,030) -- -- -- 232 -- -- -- -- -- -- -- 20,313 421,597 (1,049) -- -- -- -- -- -- -- -- -- 3,780 140 - --------- -------- -------- --------- -------- $(445,013) $ (1,350) $394,735 $(269,959) $(27,973) - --------- -------- -------- --------- --------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 201 Statements of Changes in Net Assets ($ Thousands) For the period ended November 30, 2008 (Unaudited) and the year ended May 31, 2008
LARGE CAP DIVERSIFIED LARGE CAP FUND ALPHA FUND ------------------------ ------------------------- 6/1/08 6/1/07 6/1/08 6/1/07 to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08 ----------- ---------- ------------ ---------- OPERATIONS: Net Investment Income $ 3,074 $ 7,508 $ 2,966 $ 5,612 Net Realized Gain (Loss) from Investments, Affiliated Investments, Securities Sold Short, Written Options, Written Swaptions, Futures Contracts and Swap Contracts (20,288) 69,587 (77,432) (26,707)(4) Net Realized Loss on Foreign Currency Transactions -- -- -- -- Net Change in Unrealized Depreciation on Investments, Affiliated Investments, Securities Sold Short, Written Options, Written Swaptions, Futures Contracts and Swap Contracts (126,548) (100,408) (172,718) (22,430) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions -- -- (2) -- --------- --------- --------- --------- Net Decrease in Net Assets Resulting from Operations (143,762) (23,313) (247,186) (43,525) --------- --------- --------- --------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (3,027) (8,626) (2,452) (7,084) Net Realized Gains: Class A -- -- -- (21,162) --------- --------- --------- --------- Total Dividends and Distributions (3,027) (8,626) (2,452) (28,246) --------- --------- --------- --------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 126,933 24,208 135,908 262,224 Reinvestment of Dividends & Distributions 3,016 8,602 2,276 25,898 Cost of Shares Redeemed (42,135) (333,709) (89,937) (117,944)(3) --------- --------- --------- --------- Increase (Decrease) in Net Assets Derived from Class A Transactions 87,814 (300,899) 48,247 170,178 --------- --------- --------- --------- Net Increase (Decrease) in Net Assets (58,975) (332,838) (201,391) 98,407 --------- --------- --------- --------- NET ASSETS: BEGINNING OF PERIOD 361,156 693,994 552,361 453,954 --------- --------- --------- --------- END OF PERIOD $ 302,181 $ 361,156 $ 350,970 $ 552,361 --------- --------- --------- --------- Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End $ 1,015 $ 968 $ (347) $ (861) --------- --------- --------- ---------
(1) See Note 4 in the Notes to Financial Statements for additional information. (2) Includes subscriptions as a result of an in-kind transfers of securities (see Note 8). (3) Includes redemptions as a result of in-kind transfer of securities (see Note 8). (4) Includes realized loss of $(2,669) ($ Thousands) due to in-kind redemptions (see Note 8). (5) Includes realized loss of $(63,427) ($ Thousands) due to in-kind redemptions (see Note 8). Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 202
LARGE CAP DISCIPLINED LARGE CAP EQUITY FUND INDEX FUND SMALL CAP FUND - --------------------------- ------------------------ ------------------------- 6/1/08 6/1/07 6/1/08 6/1/07 6/1/08 6/1/07 to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08 - ----------- ----------- ----------- ---------- ------------ ---------- $ 67,913 $ 140,806 $ 3,911 $ 7,641 $ 9,193 $ 14,958 (1,184,494) (412,975)(5) (8,187) 6,603 (218,064) 27,641 (1,600) (2,160) -- -- (77) (186) (2,524,026) (532,973) (145,666) (38,727) (511,436) (321,896) 99 (1,384) -- -- 4 (9) - ----------- ----------- --------- -------- ---------- ---------- (3,642,108) (808,686) (149,942) (24,483) (720,380) (279,492) - ----------- ----------- --------- -------- ---------- ---------- (63,776) (154,202) (3,764) (7,735) (7,741) (15,664) -- (470,491) -- (10,331) -- (219,331) - ----------- ----------- --------- -------- ---------- ---------- (63,776) (624,693) (3,764) (18,066) (7,741) (234,995) - ----------- ----------- --------- -------- ---------- ---------- 1,181,255(2) 3,092,387(2) 111,661 48,887 63,585 162,821 63,285 618,766 3,554 16,951 7,396 223,813 (687,600) (1,343,644)(3) (16,404) (53,349) (300,069) (189,304) - ----------- ----------- --------- -------- ---------- ---------- 556,940 2,367,509 98,811 12,489 (229,088) 197,330 - ----------- ----------- --------- -------- ---------- ---------- (3,148,944) 934,130 (54,895) (30,060) (957,209) (317,157) - ----------- ----------- --------- -------- ---------- ---------- 8,767,342 7,833,212 386,873 416,933 1,819,700 2,136,857 - ----------- ----------- --------- -------- ---------- ---------- $ 5,618,398 $ 8,767,342 $ 331,978 $386,873 $ 862,491 $1,819,700 - ----------- ----------- --------- -------- ---------- ---------- $ (10,380) $ (14,517) $ 1,391 $ 1,244 $ 13,005 $ 11,553 - ----------- ----------- --------- -------- ---------- ----------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 203 Statements of Changes in Net Assets ($ Thousands) For the period ended November 30, 2008 (Unaudited) and the year ended May 31, 2008
SMALL/MID CAP INTERNATIONAL EQUITY FUND EQUITY FUND ------------------------ ------------------------ 6/1/08 6/1/07 6/1/08 6/1/07 to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08 ----------- ---------- ----------- ---------- OPERATIONS: Net Investment Income $ 14,062 $ 20,390 $ 14,568 $ 46,649 Net Realized Gain (Loss) from Investments, Affiliated Investments, Securities Sold Short, Written Options, Written Swaptions, Futures Contracts and Swap Contracts (233,501) (84,527) (269,558) 36,393 Net Realized Gain (Loss) on Foreign Currency Transactions (45) (187) (16,169) 14,358 Net Change in Unrealized Depreciation on Investments, Affiliated Investments, Securities Sold Short, Written Options, Written Swaptions, Futures Contracts and Swap Contracts (849,752) (204,402) (487,839) (187,680) Net Change in Unrealized Appreciation on Foreign Capital Gains Tax -- -- -- 31 Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions 3 (9) (1,570) (1,243) ----------- ---------- ----------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations (1,069,233) (268,735) (760,568) (91,492) ----------- ---------- ----------- ---------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (12,474) (20,152) -- (56,937) Net Realized Gains: Class A -- (138,055) -- (230,342) ----------- ---------- ----------- ---------- Total Dividends and Distributions (12,474) (158,207) -- (287,279) ----------- ---------- ----------- ---------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 358,892 1,097,100(2) 235,028 173,293 Reinvestment of Dividends & Distributions 12,426 157,300 -- 279,171 Cost of Shares Redeemed (164,024) (320,148) (111,757) (411,365) ----------- ---------- ----------- ---------- Increase (Decrease) in Net Assets Derived from Class A Transactions 207,294 934,252 123,271 41,099 ----------- ---------- ----------- ---------- Net Increase (Decrease) in Net Assets (874,413) 507,310 (637,297) (337,672) ----------- ---------- ----------- ---------- NET ASSETS: BEGINNING OF PERIOD 2,373,056 1,865,746 1,452,962 1,790,634 ----------- ---------- ----------- ---------- END OF PERIOD $ 1,498,643 $2,373,056 $ 815,665 $1,452,962 ----------- ---------- ----------- ---------- Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $ 12,904 $ 11,316 $ 21,060 $ 6,492 ----------- ---------- ----------- ----------
(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 June 30, 2008. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 204
SCREENED ENHANCED WORLD EQUITY WORLD EQUITY LIBOR CORE FIXED EX-US FUND EX-US FUND(3) OPPORTUNITIES FUND INCOME FUND - ------------------------ ------------- ------------------------ ------------------------- 6/1/08 6/1/07 6/30/08 6/1/08 6/1/07 6/1/08 6/1/07 to 11/30/08 to 5/31/08 to 11/30/08 to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08 - ----------- ---------- ------------- ----------- ---------- ----------- ----------- $ 31,270 $ 69,836 $ 546 $ 3,232 $ 9,046 $ 162,797 $ 335,088 (613,283) (104,063) (12,667) (5,991) (4,750) (26,128) 134,777 (35,967) 27,205 (68) (961) (576) 8,812 (3,150) (1,180,422) (24,409) (26,432) (55,867) (16,236) (512,202) (150,272) 354 7 -- -- -- -- -- (656) (2,194) 5 (690) (634) 3,965 1,196 - ----------- ---------- -------- -------- -------- ----------- ----------- (1,798,704) (33,618) (38,616) (60,277) (13,150) (362,756) 317,639 - ----------- ---------- -------- -------- -------- ----------- ----------- -- (73,619) -- (3,087) (8,559) (165,733) (336,849) -- (156,358) -- -- (268) -- -- - ----------- ---------- -------- -------- -------- ----------- ----------- -- (229,977) -- (3,087) (8,827) (165,733) (336,849) - ----------- ---------- -------- -------- -------- ----------- ----------- 813,421 1,644,345 91,946 29,319 179,865 732,822 1,887,634 -- 229,316 -- 3,036 8,806 161,890 329,184 (328,035) (361,960) (4,046) (42,175) (45,744) (1,275,269) (1,942,287) - ----------- ---------- -------- -------- -------- ----------- ----------- 485,386 1,511,701 87,900 (9,820) 142,927 (380,557) 274,531 - ----------- ---------- -------- -------- -------- ----------- ----------- (1,313,318) 1,248,106 49,284 (73,184) 120,950 (909,046) 255,321 - ----------- ---------- -------- -------- -------- ----------- ----------- 3,301,120 2,053,014 -- 244,380 123,430 6,149,448 5,894,127 - ----------- ---------- -------- -------- -------- ----------- ----------- $ 1,987,802 $3,301,120 $ 49,284 $171,196 $244,380 $ 5,240,402 $ 6,149,448 - ----------- ---------- -------- -------- -------- ----------- ----------- $ 30,635 $ (635) $ 546 $ 1,232 $ 1,087 $ (5,425) $ (2,489) - ----------- ---------- -------- -------- -------- ----------- -----------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 205 Statements of Changes in Net Assets ($ Thousands) For the period ended November 30, 2008 (Unaudited) and the year ended May 31, 2008
HIGH YIELD LONG DURATION BOND FUND FUND ------------------------ ------------------------ 6/1/08 6/1/07 6/1/08 6/1/07 to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08 ----------- ---------- ----------- ---------- OPERATIONS: Net Investment Income $ 68,373 $ 114,672 $ 2,552 $ 8,849 Net Realized Gain (Loss) from Investments, Affiliated Investments, Securities Sold Short, Written Options, Written Swaptions, Futures Contracts and Swap Contracts (57,664) (29,320) (2,389) 273 Net Realized Gain (Loss) on Foreign Currency Transactions -- -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments, Affiliated Investments, Securities Sold Short, Written Options, Written Swaptions, Futures Contracts and Swap Contracts (455,722) (117,173) (1,513) (10,883) Net Change in Unrealized Appreciation (Depreciation) on Foreign Currency Transactions -- -- -- -- ---------- ---------- -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations (445,013) (31,821) (1,350) (1,761) ---------- ---------- -------- -------- DIVIDENDS AND DISTRIBUTIONS FROM: Net Investment Income: Class A (68,258) (114,928) (3,750) (9,372) Net Realized Gains: Class A -- (12,235) -- -- ---------- ---------- -------- -------- Total Dividends and Distributions (68,258) (127,163) (3,750) (9,372) ---------- ---------- -------- -------- CAPITAL SHARE TRANSACTIONS:(1) CLASS A: Proceeds from Shares Issued 156,379 389,605 1,315 16,563 Reinvestment of Dividends & Distributions 67,280 125,115 3,751 9,335 Cost of Shares Redeemed (163,195) (197,801) (7,327) (83,627) ---------- ---------- -------- -------- Increase (Decrease) in Net Assets Derived from Class A Transactions 60,464 316,919 (2,261) (57,729) ---------- ---------- -------- -------- Net Increase (Decrease) in Net Assets (452,807) 157,935 (7,361) (68,862) ---------- ---------- -------- -------- NET ASSETS: BEGINNING OF PERIOD 1,399,859 1,241,924 115,754 184,616 ---------- ---------- -------- -------- END OF PERIOD $ 947,052 $1,399,859 $108,393 $115,754 ---------- ---------- -------- -------- Undistributed (Distribution in Excess of) Net Investment Income Included in Net Assets at Period End $ (6,105) $ (6,220) $ (2,157) $ (959) ---------- ---------- -------- --------
(1) See Note 4 in the Notes to Financial Statements for additional information. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 206
EXTENDED EMERGING MARKETS REAL RETURN DURATION FUND DEBT FUND PLUS FUND - ------------------------ ------------------------ ------------------------ 6/1/08 6/1/07 6/1/08 6/1/07 6/1/08 6/1/07 to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08 to 11/30/08 to 5/31/08 - ----------- ---------- ----------- ---------- ----------- ---------- $ 17,643 $ 33,885 $ 36,910 $ 63,558 $ 10,091 $ 16,546 34,774 16,668 (36,241) (3,876) (1,357) 694 -- -- (7,730) 5,991 1,409 646 342,318 (1,154) (266,678) (31,513) (38,256) 19,222 -- -- 3,780 (1,535) 140 (368) - ---------- --------- ----------- ---------- -------- --------- 394,735 49,399 (269,959) 32,625 (27,973) 36,740 - ---------- --------- ----------- ---------- -------- --------- (36,095) (42,570) (35,822) (67,527) -- (9,863) -- -- -- (10,109) -- (2,775) - ---------- --------- ----------- ---------- -------- --------- (36,095) (42,570) (35,822) (77,636) -- (12,638) - ---------- --------- ----------- ---------- -------- --------- 271,665 546,477 156,745 345,931 23,845 232,500 36,095 42,570 35,373 76,551 -- 12,638 (237,806) (171,571) (114,995) (119,016) (84,911) (128,642) - ---------- --------- ----------- ---------- -------- --------- 69,954 417,476 77,123 303,466 (61,066) 116,496 - ---------- --------- ----------- ---------- -------- --------- 428,594 424,305 (228,658) 258,455 (89,039) 140,598 - ---------- --------- ----------- ---------- -------- --------- 794,972 370,667 1,062,491 804,036 362,129 221,531 - ---------- --------- ----------- ---------- -------- --------- $1,223,566 $ 794,972 $ 833,833 $1,062,491 $273,090 $ 362,129 - ---------- --------- ----------- ---------- -------- --------- $ (35,427) $ (16,975) $ 14,870 $ 13,782 $ 19,548 $ 9,457 - ---------- --------- ----------- ---------- -------- ---------
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 207 Financial Highlights For the period ended November 30, 2008 (Unaudited) and the years or periods ended May 31, For a share outstanding throughout each period
Net Realized and Distributions Net Asset Unrealized Dividends from Total Value, Net Gains Total from Net Realized Dividends Net Asset Beginning Investment (Losses) on from Investment Capital and Value, End of Period Income(3) Securities Operations Income Gains Distributions of Period --------- ---------- ------------ ---------- ---------- ------------- ------------- ---------- LARGE CAP FUND Class A 2008* $ 18.75 $0.16 $ (7.09) $ (6.93) $(0.15) $ -- $(0.15) $ 11.67 2008 20.31 0.32 (1.52) (1.20) (0.36) -- (0.36) 18.75 2007 16.93 0.28 3.40 3.68 (0.30) -- (0.30) 20.31 2006 15.53 0.24 1.44 1.68 (0.28) -- (0.28) 16.93 2005 14.47 0.25 1.05 1.30 (0.24) -- (0.24) 15.53 2004 12.41 0.18 2.09 2.27 (0.21) -- (0.21) 14.47 LARGE CAP DIVERSIFIED ALPHA FUND Class A 2008* $ 10.23 $0.05 $ (4.27) $ (4.22) $(0.04) $ -- $(0.04) $ 5.97 2008 11.94 0.13 (1.15) (1.02) (0.17) (0.52) (0.69) 10.23 2007 9.94 0.19 2.04 2.23 (0.16) (0.07) (0.23) 11.94 2006(2) 10.00 0.04 (0.09) (0.05) (0.01) -- (0.01) 9.94 LARGE CAP DISCIPLINED EQUITY FUND Class A 2008* $ 12.07 $0.09 $ (4.90) $ (4.81) $(0.09) $ -- $(0.09) $ 7.17 2008 14.38 0.22 (1.54) (1.32) (0.25) (0.74) (0.99) 12.07 2007++ 12.36 0.51 2.27 2.78 (0.30) (0.46) (0.76) 14.38 2006++ 12.05 0.26 0.85 1.11 (0.22) (0.58) (0.80) 12.36 2005++ 11.18 0.20 0.94 1.14 (0.18) (0.09) (0.27) 12.05 2004(1)++ 10.00 0.07 1.25 1.32 (0.06) (0.08) (0.14) 11.18 LARGE CAP INDEX FUND Class A 2008* $121.02 $1.17 $(45.18) $(44.01) $(1.13) $ -- $(1.13) $ 75.88 2008 135.30 2.47 (10.72) (8.25) (2.52) (3.51) (6.03) 121.02 2007 113.02 2.29 23.15 25.44 (2.33) (0.83) (3.16) 135.30 2006 106.24 2.06 7.77 9.83 (1.94) (1.11) (3.05) 113.02 2005 99.12 1.93 7.20 9.13 (1.82) (0.19) (2.01) 106.24 2004+++ 84.90 1.50 14.28 15.78 (1.37) (0.19) (1.56) 99.12 SMALL CAP FUND Class A 2008* $ 12.42 $0.07 $ (5.33) $ (5.26) $(0.06) $ -- $(0.06) $ 7.10 2008 16.44 0.11 (2.26) (2.15) (0.12) (1.75) (1.87) 12.42 2007 15.52 0.10 2.85 2.95 (0.12) (1.91) (2.03) 16.44 2006 14.27 0.07 2.55 2.62 (0.06) (1.31) (1.37) 15.52 2005 14.70 0.07 1.38 1.45 (0.05) (1.83) (1.88) 14.27 2004 11.60 0.06 3.59 3.65 (0.07) (0.48) (0.55) 14.70 Ratio of Expenses Ratio of to Average Expenses Net Assets to Average (Excluding Net Assets Fees Paid (Excluding Ratio of Net Ratio of Net Indirectly Fees Paid Investment Net Assets Expenses and Indirectly Income Portfolio Total End of Period to Average Including and to Average Turnover Return+ ($ Thousands) Net Assets Waivers) Waivers) Net Assets Rate+ ------- ------------- ------------ ---------- ----------- ------------ ---------- LARGE CAP FUND Class A 2008* (37.15)% $ 302,181 0.26% 0.26% 0.47% 2.01% 54% 2008 (5.95) 361,156 0.26 0.26 0.47 1.66 57 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 LARGE CAP DIVERSIFIED ALPHA FUND Class A 2008* (41.33)% $ 305,970 0.59%** 0.59%** 0.75% 1.25% 30% 2008 (8.80) 552,361 0.64** 0.64** 0.79 1.17 77 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 2008* (40.09)% $5,618,398 0.19% 0.19% 0.47% 1.85% 49% 2008 (9.57) 8,767,342 0.19 0.19 0.47 1.70 111 2007++ 23.15 7,833,212 0.23(4) 0.23(4) 0.47(4) 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 2008* (36.60)% $ 331,978 0.06% 0.06% 0.24% 2.37% 7% 2008 (6.25) 386,873 0.06 0.06 0.24 1.97 14 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 SMALL CAP FUND Class A 2008* (42.52)% $ 862,491 0.52% 0.54% 0.72% 1.28% 56% 2008 (13.58) 1,819,700 0.52 0.54 0.72 0.80 99 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
* For the six month period ended November 30, 2008 (Unaudited). All ratios for the period have been annualized. ** The expense ratio includes dividend and interest expenses on short sales. Had these expenses been excluded, the ratios would have been 0.31% for the period ended November 30, 2008 and 0.32%, 0.35% and 0.34% for 2008, 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) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. (4) 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. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 208
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(3) Securities Operations Income Gains Distributions of Period --------- ---------- ------------ ---------- ---------- ------------- ------------- ---------- SMALL/MID CAP EQUITY FUND Class A 2008* $12.22 $0.07 $(5.30) $(5.23) $(0.06) $ -- $(0.06) $ 6.93 2008 14.95 0.12 (1.91) (1.79) (0.12) (0.82) (0.94) 12.22 2007++ 13.38 0.19 2.57 2.76 (0.13) (1.06) (1.19) 14.95 2006++ 11.96 0.09 1.97 2.06 (0.08) (0.56) (0.64) 13.38 2005++ 10.70 0.05 1.38 1.43 (0.05) (0.12) (0.17) 11.96 2004(1)++ 10.00 0.02 0.69 0.71 (0.01) -- (0.01) 10.70 INTERNATIONAL EQUITY FUND Class A 2008* $11.12 $0.11 $(5.67) $(5.56) $ -- $ -- $ -- $ 5.56 2008 14.27 0.37 (1.05) (0.68) (0.44) (2.03) (2.47) 11.12 2007 14.05 0.37 3.12 3.49 (0.50) (2.77) (3.27) 14.27 2006 11.15 0.29 3.09 3.38 (0.37) (0.11) (0.48) 14.05 2005 10.06 0.23 1.16 1.39 (0.30) -- (0.30) 11.15 2004 7.76 0.18 2.28 2.46 (0.16) -- (0.16) 10.06 WORLD EQUITY EX-US FUND Class A 2008* $14.56 $0.13 $(7.59) $(7.46) $ -- $ -- $ -- $ 7.10 2008 15.96 0.38 (0.51) (0.13) (0.39) (0.88) (1.27) 14.56 2007 12.99 0.35 3.47 3.82 (0.33) (0.52) (0.85) 15.96 2006 9.81 0.27 3.01 3.28 (0.09) (0.01) (0.10) 12.99 2005(4) 10.00 0.07 (0.26) (0.19) -- -- -- 9.81 SCREENED WORLD EQUITY EX-US FUND Class A 2008(9)* $10.00 $0.06 $(4.52) $(4.46) $ -- $ -- $ -- $ 5.54 ENHANCED LIBOR OPPORTUNITIES FUND Class A 2008* $ 9.11 $0.12 $(2.41) $(2.29) $(0.12) $ -- $(0.12) $ 6.70 2008 10.14 0.42 (1.00) (0.58) (0.44) (0.01) (0.45) 9.11 2007(7) 10.00 0.27 0.03 0.30 (0.16) -- (0.16) 10.14 CORE FIXED INCOME FUND Class A 2008* $ 9.95 $0.27 $(0.87) $(0.60) $(0.28) $ -- $(0.28) $ 9.07 2008 9.99 0.54 (0.04) 0.50 (0.54) -- (0.54) 9.95 2007 9.84 0.53 0.14 0.67 (0.52) -- (0.52) 9.99 2006 10.34 0.47 (0.48) (0.01) (0.48) (0.01) (0.49) 9.84 2005 10.19 0.41 0.27 0.68 (0.42) (0.11) (0.53) 10.34 2004 10.61 0.38 (0.26) 0.12 (0.40) (0.14) (0.54) 10.19 HIGH YIELD BOND FUND Class A 2008* $ 9.17 $0.43 $(3.23) $(2.80) $(0.43) $ -- $(0.43) $ 5.94 2008 10.33 0.82 (1.07) (0.25) (0.82) (0.09) (0.91) 9.17 2007 10.08 0.84 0.30 1.14 (0.84) (0.05) (0.89) 10.33 2006(2) 10.00 0.40 0.08 0.48 (0.40) -- (0.40) 10.08 Ratio of Expenses Ratio of to Average Expenses Net Assets to Average (Excluding Net Assets Fees Paid (Excluding Ratio of Net Ratio of Net Indirectly Fees Paid Investment Net Assets Expenses and Indirectly Income Portfolio Total End of Period to Average Including and to Average Turnover Return+ ($ Thousands) Net Assets Waivers) Waivers) Net Assets Rate+ ------- ------------- ------------ ---------- ----------- ------------ ---------- SMALL/MID CAP EQUITY FUND Class A 2008* (42.94)% $1,498,643 0.49% 0.50% 0.72% 1.41% 60% 2008 (12.14) 2,373,056 0.49 0.50 0.72 0.97 95 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(1)++ 7.15 423,768 0.65 0.65 0.73 0.45 51 INTERNATIONAL EQUITY FUND Class A 2008* (50.00)% $ 815,665 0.39%(10) 0.39%(10) 0.61%(10) 2.61% 121% 2008 (5.52) 1,452,962 0.40(8) 0.41(8) 0.62(8) 2.99 145 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 WORLD EQUITY EX-US FUND Class A 2008* (51.24)% $1,987,802 0.45%(11) 0.45%(11) 0.66%(11) 2.46% 106% 2008 (1.14) 3,301,120 0.57 0.57 0.67 2.58 153 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 SCREENED WORLD EQUITY EX-US FUND Class A 2008(9)* (44.60)% $ 49,284 0.80% 0.80% 0.86% 2.00% 39% ENHANCED LIBOR OPPORTUNITIES FUND Class A 2008* (25.43)% $ 171,196 0.41% 0.41% 0.54% 2.92% 16% 2008 (5.88) 244,380 0.42 0.42 0.55 4.45 25 2007(7) 3.02 123,430 0.44 0.44 0.54 5.84 53 CORE FIXED INCOME FUND Class A 2008* (6.16)% $5,240,402 0.14% 0.14% 0.37% 5.63% 227% 2008 5.10 6,149,448 0.14 0.14 0.37 5.35 432 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 HIGH YIELD BOND FUND Class A 2008* (31.43)% $ 947,052 0.35% 0.35% 0.56% 10.77% 36% 2008 (2.36) 1,399,859 0.35 0.35 0.55 8.63 59 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
* For the six month period ended November 30, 2008 (Unaudited). All ratios for the period have been annualized. ** The expense ratio includes the litigation fees paid. Had these fees been excluded, the ratio would have been 0.18%. + Returns and portfolio turnover rates are for the period indicated and have not been annualized. Returns do not reflect the deduction of taxes the shareholder would pay on fund distributions or redemption of Fund shares. ++ Per share amounts have been adjusted for a 10 to 1 stock split paid to shareholders of record on November 16, 2006. (1) Commenced operations on December 15, 2003. All ratios for the period have been annualized. (2) Commenced operations on December 5, 2005. All ratios for the period have been annualized. (3) Per share net investment income and net realized and unrealized gains (losses) calculated using average shares. (4) Commenced operations on March 28, 2005. All ratios for the period have been annualized. (5) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.37%, 0.37%, and 0.59%, respectively. (6) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratios would have been 0.60%, 0.60%, and 0.67%, respectively. (7) Commenced operations on December 14, 2006. All ratios for the period have been annualized. (8) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratio would have been 0.39%, 0.40%, and 0.61%, respectively. (9) Commenced operations on June 30, 2008. All ratios for the period have been annualized. (10) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratio would have been 0.38%, 0.38%, and 0.60%, respectively. (11) The expense ratio includes interest expense on reverse repurchase agreements. Had this expense been excluded, the ratio would have been 0.44%, 0.44%, and 0.66%, respectively. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 209 Financial Highlights For the period ended November 30, 2008 (Unaudited) and the years or periods ended May 31, For a share outstanding throughout each period
Net Realized and Distributions Net Asset Unrealized Dividends from Total Value, Net Gains Total from Net Realized Dividends Net Asset Beginning Investment (Losses) on from Investment Capital and Value, End of Period Income(3) Securities Operations Income Gains Distributions of Period --------- ---------- ------------ ---------- ---------- ------------- ------------- ---------- LONG DURATION FUND Class A 2008* $ 8.57 $0.19 $(0.29) $(0.10) $(0.28) $ -- $(0.28) $ 8.19 2008 9.52 0.51 (0.91) (0.40) (0.55) -- (0.55) 8.57 2007 9.31 0.53 0.18 0.71 (0.50) -- (0.50) 9.52 2006 10.56 0.46 (1.07) (0.61) (0.54) (0.10) (0.64) 9.31 2005 9.77 0.42 1.03 1.45 (0.54) (0.12) (0.66) 10.56 2004(1) 10.00 0.05 (0.23) (0.18) (0.05) -- (0.05) 9.77 EXTENDED DURATION FUND Class A 2008* $ 9.42 $0.18 $ 4.09 $ 4.27 $(0.37) $ -- $(0.37) $13.32 2008 9.24 0.49 0.29 0.78 (0.60) -- (0.60) 9.42 2007 8.86 0.55 0.32 0.87 (0.49) -- (0.49) 9.24 2006 11.96 0.48 (2.68) (2.20) (0.68) (0.22) (0.90) 8.86 2005 9.53 0.43 2.84 3.27 (0.84) -- (0.84) 11.96 2004(1) 10.00 0.05 (0.44) (0.39) (0.08) -- (0.08) 9.53 EMERGING MARKETS DEBT FUND Class A 2008* $10.42 $0.35 $(2.83) $(2.48) $(0.34) $ -- $(0.34) $ 7.60 2008 10.95 0.70 (0.37) 0.33 (0.75) (0.11) (0.86) 10.42 2007 9.97 0.65 1.03 1.68 (0.62) (0.08) (0.70) 10.95 2006(2) 10.00 0.27 (0.17) 0.10 (0.13) -- (0.13) 9.97 REAL RETURN PLUS FUND Class A 2008* $10.99 $0.33 $(1.33) $(1.00) $ -- $ -- $ -- $ 9.99 2008 10.10 0.58 0.75 1.33 (0.34) (0.10) (0.44) 10.99 2007(4) 10.00 0.26 (0.03) 0.23 (0.13) -- (0.13) 10.10 Ratio of Expenses Ratio of to Average Expenses Net Assets to Average (Excluding Net Assets Fees Paid (Excluding Ratio of Net Ratio of Net Indirectly Fees Paid Investment Net Assets Expenses and Indirectly Income Portfolio Total End of Period to Average Including and to Average Turnover Return+ ($ Thousands) Net Assets Waivers) Waivers) Net Assets Rate+ ------- ------------- ------------ ---------- ----------- ------------ ---------- LONG DURATION FUND Class A 2008* (0.99)% $ 108,393 0.20% 0.20% 0.40% 4.63% 17% 2008 (4.52) 115,754 0.20 0.20 0.39 5.47 58 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 2008* 46.64% $1,223,566 0.20% 0.20% 0.38% 3.67% 31% 2008 8.33 794,972 0.20 0.20 0.38 4.99 41 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 2008* (24.46)% $ 833,833 0.55% 0.55% 0.93% 7.41% 39% 2008 3.24 1,062,491 0.55 0.55 0.93 6.65 66 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 2008* (9.10)% $ 273,090 0.36% 0.36% 0.42% 6.00% 18% 2008 13.30 362,129 0.43 0.43 0.77 5.36 47 2007(4) 2.29 221,531 0.44 0.44 0.78 5.67 18
* For the six month period ended November 30, 2008 (Unaudited). All ratios for the period have been annualized. + 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 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 / Semi-Annual Report / November 30, 2008 210 Notes to Financial Statements (Unaudited) NOVEMBER 30, 2008 1. ORGANIZATION SEI Institutional Investments Trust (the "Trust") was organized as a Massachusetts business trust under a Declaration of Trust dated March 1, 1995. The Trust commenced operations on June 14, 1996. The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company currently offering 16 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, Screened World Equity Ex-US, Enhanced LIBOR Opportunities, Core Fixed Income, High Yield Bond, Long Duration, Extended Duration, Emerging Markets Debt and Real Return Plus Funds (each a "Fund," collectively, the "Funds") each of which are diversified Funds with the exception of the Emerging Markets Debt Fund. The Trust is registered to offer Class A shares of all Funds. The assets of each Fund are segregated, and a shareholder's interest is limited to the Fund in which shares are held. The Trust'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 Trust's Board of Trustees. The Trust's Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Trust's 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 a 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 a 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 a Fund calculates net asset value, the adviser or sub-adviser may request that a Fair Value Committee Meeting be called. In addition, the Trust's 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 a Fund calculates net asset value. If price movements in a monitored index or security exceed levels established by the administrator, the SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 211 Notes to Financial Statements (Unaudited) (Continued) NOVEMBER 30, 2008 administrator notifies the adviser or sub-adviser for any Fund holding the relevant securities that such limits have been exceeded. In such event, the adviser or sub-adviser makes the determination whether a Fair Value Committee Meeting should be called based on the information provided. The International Equity, World Equity Ex-US and Screened 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 within that 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. Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), is effective for the Fund's financial statements issued after May 31, 2008. In accordance with FAS 157, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. FAS 157 established a three-tier hierarchy to maximize the use of the observable market data and minimize the use of unobservable inputs and to establish classification of the fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below: Level 1 -- quoted prices in active markets for identical investments Level 2 -- other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.) Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) The valuation techniques used by the Fund to measure fair value in accordance with FAS 157 during the six months ended November 30, 2008 maximized the use of observable inputs and minimized the use of unobservable inputs. The following is a summary of the inputs used as of November 30, 2008 in valuing the Fund's investments in accordance with FAS 157 carried at value ($ Thousands):
Investments in Securities* LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - --------------------------------- ---------- ---------- ------- ---------- Large Cap Fund $ 273,834 $ 3,645 $ -- $ 277,479 Large Cap Diversified Alpha Fund 340,301 9,154 -- 349,455 Large Cap Disciplined Equity Fund 6,245,798 154,371 -- 6,400,169 Large Cap Index Fund 387,527 533 -- 388,060 Small Cap Fund 1,079,438 15,997 242 1,095,677 Small/Mid Cap Equity Fund 1,765,464 11,871 290 1,777,625 International Equity Fund 805,973 45,629 -- 851,602 World Equity Ex-US Fund 1,890,624 118,572 -- 2,009,196 Screened World Equity Ex-US Fund 48,476 22 -- 48,498 Enhanced LIBOR Opportunities Fund 101,158 73,437 2,798 177,393 Core Fixed Income Fund 1,040,598 5,810,641 42,323 6,893,562 High Yield Bond Fund 147,724 889,347 20,647 1,057,718 Long Duration Fund 3,388 85,290 -- 88,678 Extended Duration Fund 41,537 729,457 399 771,393 Emerging Markets Debt Fund 38,733 722,320 11,402 772,455 Real Return Plus Fund 10,310 257,916 -- 268,226
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 212
Liabilities** LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - --------------------------------- -------- ------- ------- --------- International Equity Fund $ (4,679) $-- $-- $ (4,679) World Equity Ex-US Fund (10,209) -- -- (10,209) Core Fixed Income Fund (3,268) -- -- (3,268) Emerging Markets Debt Fund (1) -- -- (1)
Other Financial Instruments*** LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - --------------------------------- ---------- ---------- ------- ---------- Large Cap Fund $ (185) $ -- $-- $ (185) Large Cap Diversified Alpha Fund (15,134) -- -- (15,134) Large Cap Disciplined Equity Fund (273,649) -- -- (273,649) Large Cap Index Fund (1,685) -- -- (1,685) Small Cap Fund 957 -- -- 957 Small/Mid Cap Equity Fund (1,798) -- -- (1,798) International Equity Fund (11,152) (1,194) -- (12,346) World Equity Ex-US Fund (22,377) (15,675) -- (38,052) Enhanced LIBOR Opportunities Fund (1,012) -- -- (1,012) Core Fixed Income Fund 3,835 (2,479) -- 1,356 Long Duration Fund 138 21,262 -- 21,400 Extended Duration Fund 4,685 456,500 -- 461,185 Emerging Markets Debt Fund 3,234 (2,960) -- 274 Real Return Plus Fund (263) -- -- (263)
* Includes collateral for securities on loan. ** Includes liabilities for reverse repurchase agreements and written options contracts. *** Other financial instruments are derivative instruments not reflective in the Portfolio of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument. The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):
SMALL CAP SMALL/MID CAP ENHANCED LIBOR Investments in Securities FUND EQUITY FUND OPPORTUNITIES FUND - --------------------------------- ---------- ------------- ------------------ Beginning balance as of June 1, 2008 $ 444 $ 526 $ 16,939 Accrued discounts/premiums -- -- (47) Realized gain/(loss) -- -- (2,681) Change in unrealized appreciation/(depreciation) (186) (222) 326 Net purchase/sales -- -- (5,941) Net transfer in and/or out Level 3 (16) (14) (5,798) ----- ----- -------- Ending balance as of November 30, 2008 $ 242 $ 290 $ 2,798 ----- ----- --------
CORE FIXED HIGH YIELD EXTENDED DURATION EMERGING MARKETS Investments in Securities INCOME FUND BOND FUND FUND DEBT FUND - ------------------------------------------------ ----------- ---------- ----------------- ---------------- Beginning balance as of June 1, 2008 $ 9,766 $ 157,880 $ 455 $ 21,875 Accrued discounts/premiums 52 (21) -- (143) Realized gain/(loss) 32 (6,177) -- (353) Change in unrealized appreciation/(depreciation) (8,859) (27,715) (56) (3,057) Net purchase/sales 1,901 (16,918) -- (6,464) Net transfer in and/or out Level 3 39,431 (86,402) -- -- -------- --------- ----- -------- Ending balance as of November 30, 2008 $ 42,323 $ 20,647 $ 399 $ 11,402 -------- --------- ----- --------
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. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 213 Notes to Financial Statements (Unaudited) (Continued) NOVEMBER 30, 2008 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, those funds use of the proceeds under the reverse repurchase agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. Reverse repurchase agreements outstanding as of November 30, 2008 were as follows:
Principal Amount Value Fund ($ Thousands) Counterparty ($ Thousands) - ------------- ---------------- ------------------ ------------- International JPMorgan Chase Equity Fund $3,422 2.38%, Due 12/2/08 $3,271 JPMorgan Chase 1,617 3.00%, Due 12/2/08 1,441 World Equity JPMorgan Chase Ex-US Fund 7,436 2.38%, Due 12/2/08 7,108 JPMorgan Chase 3,561 3.00%, Due 12/2/08 3,173
COMPENSATING BALANCES -- Each of the Funds that use U.S. Bank NA as their custodian with cash overdrafts in excess of $100,000 is required to leave 112% in compensating balances with U.S. Bank NA on the following day. Each of the Funds with positive cash balances in excess of $100,000 is allowed to overdraw 90% of the balance with U.S. Bank NA on the following day. Funds that use Brown Brothers Harriman & Co. as their custodian (International Equity, World Equity Ex-US, Screened World Equity Ex-US, Emerging Markets Debt and Real Return Plus) do not have a compensating balance program. 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. 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, Screened Word Equity Ex-US, Enhanced LIBOR Opportunities, 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. These 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 Statement of Assets and Liabilities. FUTURES CONTRACTS -- Each of the Funds with the exception of the High Yield Bond Fund utilized futures contracts during the six month period ended November 30, 2008. The Funds' investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Core Fixed Income Fund's use of futures contracts is primarily for tactical hedging purposes. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 214 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 that Fund's returns. When a Fund writes or purchases an option/swaption, an amount equal to the premium received or paid by a 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 a 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 a Fund has realized a gain or a loss. The Core Fixed Income and Emerging Markets Debt Funds had option/swaptions contracts as of November 30, 2008, as disclosed in each Fund's Schedule of Investments. The risk in writing a call option/swaption is a Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is a Fund may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is a Fund may pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses could exceed amounts disclosed on the Schedule of Investments or Statement of Assets and Liabilities. Written options transactions entered into during the six month period ended November 30, 2008 are summarized as follows:
CORE FIXED EMERGING MARKETS INCOME FUND DEBT FUND ------------------------- ---------------------------- Number of Premium Number of Premium Contracts ($ Thousands) Contracts ($ Thousands) --------- ------------- ------------ ------------- Balance at the beginning of period 2,672 $ 1,913 40,770,600* $264 Written 12,555 9,311 -- -- Expired (9,987) (6,959) (6,200,000)* (24) Closing buys (2,937) (2,240) -- -- ------ ------- ---------- ---- Balance at the end of period 2,303 $ 2,025 34,570,600* $240 ------ ------- ---------- ----
* Shown in Brazilian Real. Written swaptions transactions entered into during the six month period ended November 30, 2008 are summarized as follows:
CORE FIXED INCOME FUND ------------------------------- Notional Amount Premium (Thousands) ($ Thousands) --------------- ------------- Balance at the beginning of period 44,000 $ 959 Written -- -- Expired -- -- Closing buys (44,000) (959) ------- ----- Balance at the end of period -- $ -- ------- -----
At November 30, 2008 the Funds had cash and/or securities at least equal to the value of written options/swaptions. SECURITIES SOLD SHORT -- As consistent with each Funds' investment objectives, a Fund may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, a Fund must borrow the security to make delivery to the buyer. That 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, a Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, a Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale. Until a Fund closes its short position or replaces the borrowed security, that 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 SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 215 Notes to Financial Statements (Unaudited) (Continued) NOVEMBER 30, 2008 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 a 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 a 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 swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR (London Interbank Offered Rate) or some other form of index on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund's exposure to interest rates. Payments received or made are recorded as realized gains or losses. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements, securities may be set aside as collateral by a 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 a 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 -- A Fund may invest in commitments to purchase U.S. Treasury securities on an extended settlement basis. Such transactions involve the commitment to purchase a security with payment and delivery taking place in the future, sometimes a month or more after the transaction date. The Funds account for such transactions as purchases and sales and record an unrealized gain or loss each day equal to the difference between the cost of the purchase commitment and the current market value. Realized gains or losses are recorded upon closure or settlement of such commitments. No interest is earned prior to settlement of the transaction. These instruments are subject to market fluctuation due to changes in interest rates and the market value at the time of settlement could be higher or lower than the purchase price. A Fund may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance. DELAYED DELIVERY TRANSACTIONS -- 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 those funds 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, that 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. Those funds may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When those funds have sold a security on a delayed delivery basis, that 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, SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 216 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 a Fund 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) a Fund may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared and paid to shareholders quarterly for the Large Cap, Large Cap Diversified Alpha, Large Cap Disciplined Equity, Large Cap Index, Small Cap, Small/Mid Cap Equity, Enhanced LIBOR Opportunities and Emerging Markets Debt Funds; declared daily and paid monthly for the Core Fixed Income, Long Duration, Extended Duration, High Yield Bond and Real Return Plus Funds; and declared and paid at least annually for the International Equity, World Equity Ex-US and Screened 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. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. RESTRICTED SECURITIES -- At November 30, 2008, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, these 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 private placement investments. The acquisition dates of these investments, the enforceable right to acquire these private placement investments, along with the cost and values at November 30, 2008, were as follows:
Number of Shares/ Face Amount Acquisition Right to Cost Market Value % of Net ($ Thousands) Date Acquire Date ($ Thousands) ($ Thousands) Assets ----------------- ----------- ------------ ------------- ------------- -------- SMALL CAP FUND Rentech 16,100 4/20/07 4/20/07 $ -- $ 3 0.00% Scorpio Mining 425 5/5/08 5/5/08 417 242 0.03% Value Creation 100,165 2/29/08 2/29/08 1,225 677 0.08% ------- ------- ---- $ 1,642 $ 922 0.11% ======= ======= ==== SMALL/MID CAP EQUITY FUND Rentech 13,800 4/20/07 4/20/07 $ -- $ 2 0.00% Scorpio Mining 500 5/5/08 5/5/08 499 290 0.02% Value Creation 71,600 2/29/08 2/29/08 871 485 0.03% ------- ------- ---- $ 1,370 $ 777 0.05% ======= ======= ==== CORE FIXED INCOME FUND Allegheny Energy Supply 2,040 4/19/06 4/19/06 $ 2,149 $ 1,918 0.04% Huntington Auto Trust 7,095 6/3/08 6/3/08 7,094 6,459 0.12% Huntington Auto Trust 5,872 6/3/08 6/3/08 5,870 5,092 0.10% Southern Natural Gas 2,375 3/29/07 3/29/07 2,318 1,817 0.03% Cellco Partnership 7,241 11/18/08 11/18/08 7,163 7,306 0.14% Cellco Partnership 5,145 11/18/08 11/18/08 5,103 5,097 0.10% ------- ------- ---- $29,697 $27,689 0.53% ======= ======= ====
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 217 Notes to Financial Statements (Unaudited) (Continued) NOVEMBER 30, 2008 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 six month period ended November 30, 2008, and until further notice, the Administrator has voluntarily agreed to waive all of its fee. INVESTMENT ADVISORY AGREEMENT -- SEI Investments Management Corporation ("SIMC") serves as investment adviser (the "Adviser") to each Fund. In connection with serving as investment adviser, SIMC is entitled to a fee that is calculated daily and paid monthly based on the average daily net assets of each Fund. SIMC has voluntarily agreed to waive a portion of its fee so that the total annual expenses of each Fund will not exceed certain voluntary expense limitations adopted by SIMC. These waivers may be terminated at any time. The advisory fee and voluntary expense limitations for Class A of each Fund for the period indicated are as follows:
Advisory Voluntary Expense Fees Limitations -------- ----------------- Large Cap Fund 0.400% 0.260% Large Cap Diversified Alpha Fund 0.400 0.350 Large Cap Disciplined Equity Fund 0.400 0.220 Large Cap Index Fund 0.170 0.060 Small Cap Fund 0.650 0.540 Small/Mid Cap Equity Fund 0.650 0.500 International Equity Fund 0.505 0.390 World Equity Ex-US Fund 0.550 0.450 Screened World Equity Ex-US Fund 0.650 0.800 Enhanced LIBOR Opportunities Fund 0.450 0.440 Core Fixed Income Fund 0.300 0.140 High Yield Bond Fund 0.4875 0.350 Long Duration Fund 0.300 0.200 Extended Duration Fund 0.300 0.200 Emerging Markets Debt Fund 0.850 0.550 Real Return Plus Fund 0.700 0.360
As of November 30, 2008, SIMC has entered into investment sub-advisory agreements with the following parties and pays the sub-advisers out of the fee that it receives from the Funds: Investment Sub-Adviser LARGE CAP FUND AllianceBernstein L.P. Aronson + Johnson + Ortiz, L.P. Delaware Management Company INTECH Investment Management, LLC Goldman Sachs Asset Management, L.P. Legg Mason Capital Management, Inc. LSV Asset Management Montag & Caldwell, Inc. Quantitative Management Associates, LLC LARGE CAP DIVERSIFIED ALPHA FUND Analytic Investors LLC Aronson + Johnson + Ortiz, L.P. Delaware Management Company INTECH Investment Management, LLC Legg Mason Capital Management, Inc. Quantitative Management Associates, LLC LARGE CAP DISCIPLINED EQUITY FUND AlphaSimplex Group, LLC Analytic Investors, Inc. INTECH Investment Management, LLC Legg Mason Capital Management, Inc. Quantitative Management Associates, LLC LARGE CAP INDEX FUND SSgA Funds Management, Inc. SMALL CAP FUND Artisan Partners Limited Partnership BlackRock Capital Management, Inc. Integrity Asset Management, LLC Janus Capital Management Inc. Lee Munder Investments Ltd. Los Angeles Capital Management and Equity Research, Inc. LSV Asset Management Martingale Asset Management, L.P. Mazama Capital Management, Inc. McKinley Capital Management Inc. Oppenheimer Capital LLC PanAgora Asset Management, Inc. Robeco Investment Management, Inc. Security Capital Research and Management Inc. Wellington Management Company, LLP SMALL/MID CAP EQUITY FUND BlackRock Capital Management, Inc. Integrity Asset Management, LLC Janus Capital Management Inc. Lee Munder Investments, Ltd. Los Angeles Capital Management and Equity Research, Inc. LSV Asset Management Martingale Asset Management, L.P. Mazama Capital Management, Inc. PanAgora Asset Management, Inc. Security Capital Research and Management Incorporated Wellington Management Company, LLP Wells Capital Management, Inc. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 218 Investment Sub-Adviser INTERNATIONAL EQUITY FUND AllianceBernstein L.P. AXA Rosenberg Investment Management LLC McKinley Capital Management Inc. Quantitative Management Associates, LLC Record Currency Management Limited Smith Breeden Associates, Inc. UBS Global Asset Management (Americas) Inc. WORLD EQUITY EX-US FUND AllianceBernstein L.P. Artisan Partners Limited Partnership AXA Rosenberg Investment Management LLC McKinley Capital Management Inc. Principal Global Investors, LLC Quantitative Management Associates, LLC Record Currency Management Limited Rexiter Capital Management Limited Smith Breeden Associates, Inc. UBS Global Asset Management (Americas) Inc. SCREENED WORLD EQUITY EX-US FUND AllianceBernstein L.P. AXA Rosenberg Investment Management LLC Principal Global Investors, LLC McKinley Capital Management Inc. Quantitative Management Associates, LLC ENHANCED LIBOR OPPORTUNITIES FUND Highland Capital Management L.P. Record Currency Management Limited Wellington Management Company, LLP UBS Global Asset Management (Americas) Inc. 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 Delaware Management Company J.P. Morgan Investment Management, Inc. Nomura Corporate Research & Asset Management, Inc. LONG DURATION FUND Metropolitan West Asset Management LLC EXTENDED DURATION FUND Metropolitan West Asset Management LLC EMERGING MARKETS DEBT FUND Ashmore Investment Management Limited ING Investment Management Advisors, B.V. Stone Harbor Investment Partners LP REAL RETURN PLUS FUND Deutsche Investment Management Americas, Inc. First Quadrant, L.P. OTHER -- The Distribution Agreement between the Distributor and the Trust provides that the Distributor may receive compensation on fund transactions effected for the Trust in accordance with Securities and Exchange Commission ("SEC") rules. Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. The SEC rules require that such commissions not exceed usual and customary commissions. Such commissions for the six month period ended November 30, 2008 were as follows ($ Thousands): Large Cap Fund $ 14 Large Cap Diversified Alpha Fund 8 Small Cap Fund 191 Small/Mid Cap Equity Fund 197 International Equity Fund 59 World Equity Ex-US Fund 115
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. A portion of the services provided by the Chief Compliance Officer ("CCO") and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust's Adviser, sub-advisers and service providers as required by SEC regulations. The CCO's services have been approved by and are reviewed by the Board. LSV Asset Management (partially-owned subsidiary of SIMC) serves as a sub-adviser to the Large Cap, Small Cap and Small/Mid Cap Equity Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the six month period ended November 30, 2008 were as follows ($ Thousands): Large Cap Fund $ 21 Small Cap Fund 246 Small/Mid Cap Equity Fund 356
FEES PAID INDIRECTLY -- The Funds may direct certain fund trades to the Distributor who pays a portion of the Fund's expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, can be found on the Statement of Operations and the effect on the Fund's expense ratio, as a percentage of the Fund's average daily net assets for the six month period ended November 30, 2008, can be found on the Financial Highlights. INVESTMENT IN AFFILIATED COMPANIES -- The Funds may purchase securities of certain companies with which it is affiliated to the extent these companies are represented in its Index. The Funds may invest the cash collateral from the securities lending program in the SEI Liquidity Fund LP. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 219 Notes to Financial Statements (Unaudited) (Continued) NOVEMBER 30, 2008 4. CAPITAL SHARE TRANSACTIONS Capital Share Transactions for the Funds were as follows (Thousands):
LARGE CAP LARGE CAP DIVERSIFIED DISCIPLINED LARGE CAP FUND ALPHA FUND EQUITY FUND ------------------------ ------------------------ ----------------------- 6/1/08 6/1/08 6/1/08 to 11/30/08 6/1/07 to 11/30/08 6/1/07 to 11/30/08 6/1/07 (Unaudited) to 5/31/08 (Unaudited) to 5/31/08 (Unaudited) to 5/31/08 ----------- ---------- ----------- ---------- ----------- --------- Class A: Shares Issued 9,590 1,264 14,713 24,295 120,628(1) 238,005(1) Shares Issued in Lieu of Dividends and Distributions 195 439 276 2,371 6,336 47,757 Shares Redeemed (3,155) (16,621) (10,209) (10,704)(2) (69,564) (104,554)(2) ------ ---------- ------ ------ ------- ------- Increase (Decrease) in Net Assets Derived from Class A Transactions 6,630 (14,918) 4,780 15,962 57,400 181,208 ------ ---------- ------ ------ ------- -------
LARGE CAP SMALL/MID CAP INDEX FUND SMALL CAP FUND EQUITY FUND ------------------------ ------------------------ ----------------------- 6/1/08 6/1/08 6/1/08 to 11/30/08 6/1/07 to 11/30/08 6/1/07 to 11/30/08 6/1/07 (Unaudited) to 5/31/08 (Unaudited) to 5/31/08 (Unaudited) to 5/31/08 ----------- ---------- ----------- ---------- ----------- --------- Class A: Shares Issued 1,314 402 6,801 12,562 37,0418 82,115(1) Shares Issued in Lieu of Dividends and Distributions 35 133 731 17,151 1,256 12,383 Shares Redeemed (171) (420) (32,560) (13,187) (16,272) (25,125) Effect of Stock Split -- -- -- -- -- -- ----- --- ------ ------ ------ ------ Increase (Decrease) in Net Assets Derived from Class A Transactions 1,178 115 (25,028) 16,526 22,025 69,373 ----- --- ------ ------ ------ ------
INTERNATIONAL WORLD EQUITY SCREENED WORLD EQUITY EQUITY FUND EX-US FUND EX-US FUND(3) ------------------------ ------------------------ --------------------- 6/1/08 6/1/08 6/30/08 to 11/30/08 6/1/07 to 11/30/08 6/1/07 to 11/30/08 (Unaudited) to 5/31/08 (Unaudited) to 5/31/08 (Unaudited) ----------- ---------- ----------- ---------- ----------- Class A: Shares Issued 30,136 14,402 81,894 106,952 9,492 Shares Issued in Lieu of Dividends and Distributions -- 23,314 -- 14,951 -- Shares Redeemed (14,042) (32,472) (28,762) (23,847) (589) ------ ------ ------ ------- ----- Increase in Net Assets Derived from Class A Transactions 16,094 5,244 53,132 98,056 8,903 ------ ------ ------ ------- -----
ENHANCED LIBOR CORE FIXED HIGH YIELD OPPORTUNITIES FUND INCOME FUND BOND FUND ------------------------ ------------------------ ----------------------- 6/1/08 6/1/08 6/1/08 to 11/30/08 6/1/07 to 11/30/08 6/1/07 to 11/30/08 6/1/07 (Unaudited) to 5/31/08 (Unaudited) to 5/31/08 (Unaudited) to 5/31/08 ----------- ---------- ----------- ---------- ----------- ---------- Class A: Shares Issued 3,493 18,586 76,497 187,314 18,726 40,343 Shares Issued in Lieu of Dividends and Distributions 352 922 17,076 32,620 8,876 13,246 Shares Redeemed (5,145) (4,850) (133,989) (191,923) (20,842) (21,064) ----- ------ ------- ------- ------ ------ Increase in Net Assets Derived from Class A Transactions (1,300) 14,658 (40,416) 28,011 6,760 32,525 ----- ------ ------- ------- ------ ------
(1) Includes subscriptions as a result of in-kind transfers of securities (see Note 8). (2) Includes redemptions as a result of in-kind transfers of securities (see Note 8). (3) Fund commenced operations on June 30, 2008. Amounts designated as "--" are zero or have been rounded to zero. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 220
LONG EXTENDED DURATION DURATION FUND FUND ------------------------ ------------------------ 6/1/08 6/1/08 to 11/30/08 6/1/07 o 11/30/08 6/1/07 (Unaudited) to 5/31/08 (Unaudited) to 5/31/08 ----------- ---------- ----------- ---------- Class A: Shares Issued 157 1,748 27,614 56,419 Shares Issued in Lieu of Dividends and Distributions 462 994 3,618 4,278 Shares Redeemed (904) (8,614) (23,712) (16,445) --- ----- ------ ------ Increase (Decrease) in Net Assets Derived from Class A Transactions (285) (5,872) 7,520 44,252 --- ----- ------ ------
EMERGING REAL MARKETS RETURN DEBT FUND PLUS FUND ------------------------ ------------------------ 6/1/08 6/1/08 to 11/30/08 6/1/07 to 11/30/08 6/1/07 (Unaudited) to 5/31/08 (Unaudited) to 5/31/08 ----------- ---------- ----------- ---------- Class A: Shares Issued 16,365 32,634 2,138 21,809 Shares Issued in Lieu of Dividends and Distributions 3,720 7,298 -- 1,192 Shares Redeemed (12,320) (11,353) (7,747) (11,993) ------ ------ ----- ------ Increase in Net Assets Derived from Class A Transactions 7,765 28,579 (5,609) 11,008 ------ ------ ----- ------
Amounts designated as "--" are zero or have been rounded to zero. 5. INVESTMENT TRANSACTIONS The cost of security purchases and proceeds from the sale and maturities of securities other than temporary cash investments, during the six month period ended November 30, 2008, were as follows:
U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- LARGE CAP FUND Purchases -- 187,731 187,731 Sales -- 156,823 156,823 LARGE CAP DIVERSIFIED ALPHA FUND Purchases -- 200,496 200,496 Sales -- 147,680 147,680 LARGE CAP DISCIPLINED EQUITY FUND Purchases -- 3,385,199 3,385,199 Sales -- 3,472,370 3,472,370 LARGE CAP INDEX FUND Purchases -- 123,034 123,034 Sales -- 23,846 23,846 SMALL CAP FUND Purchases -- 764,204 764,204 Sales -- 961,980 961,980 SMALL/MID CAP EQUITY FUND Purchases -- 1,310,403 1,310,403 Sales -- 1,148,035 1,148,035 INTERNATIONAL EQUITY FUND Purchases 508,615 805,294 1,313,909 Sales 600,754 770,460 1,371,214
U.S. Gov't Other Total ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- WORLD EQUITY EX-US FUND Purchases 1,089,857 1,656,502 2,746,359 Sales 1,272,199 1,300,598 2,572,797 SCREENED WORLD EQUITY EX-US FUND Purchases -- 109,834 109,834 Sales -- 23,957 23,957 ENHANCED LIBOR OPPORTUNITIES FUND Purchases -- 19,544 19,544 Sales 5,258 12,678 17,936 CORE FIXED INCOME FUND Purchases 12,088,204 869,544 12,957,748 Sales 12,438,983 788,635 13,227,618 HIGH YIELD BOND FUND Purchases -- 383,175 383,175 Sales -- 359,929 359,929 LONG DURATION FUND Purchases 10,958 3,085 14,043 Sales 3,923 7,831 11,754 EXTENDED DURATION FUND Purchases 134,899 17,574 152,473 Sales 81,290 51,515 132,805 EMERGING MARKETS DEBT FUND Purchases -- 407,681 407,681 Sales -- 325,829 325,829 REAL RETURN PLUS FUND Purchases 48,203 7,083 55,286 Sales 120,233 7,456 127,689
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 221 Notes to Financial Statements (Unaudited) (Continued) NOVEMBER 30, 2008 6. FEDERAL TAX INFORMATION It is each Fund's intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required. Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under accounting principles generally accepted in the United States of America. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise. The tax character of dividends and distributions paid during the last two years or periods ended May 31, 2008 were as follows:
Ordinary Long-term Return of Income Capital Gain Capital Total ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------ Large Cap Fund 2008 $ 8,626 $ -- $-- $ 8,626 2007 12,254 -- -- 12,254 Large Cap Diversified Alpha Fund 2008 18,510 9,736 -- 28,246 2007 5,094 1,505 -- 6,599 Large Cap Disciplined Equity Fund 2008 386,110 238,583 -- 624,693 2007 237,780 132,166 -- 369,946 Large Cap Index Fund 2008 8,808 9,258 -- 18,066 2007 7,885 1,949 -- 9,834
Ordinary Long-term Return of Income Capital Gain Capital Total ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------ Small Cap Fund 2008 $ 69,762 $157,685 $7,548 $234,995 2007 86,056 164,468 -- 250,524 Small/Mid Cap Equity Fund 2008 74,475 76,784 6,948 158,207 2007 60,501 67,293 -- 127,794 International Equity Fund 2008 153,474 133,805 -- 287,279 2007 146,614 238,163 -- 384,777 World Equity Ex-US Fund 2008 157,238 71,654 1,085 229,977 2007 80,977 10,314 -- 91,291 Enhanced LIBOR Opportunities Fund 2008 8,666 161 -- 8,827 2007 1,709 -- -- 1,709 Core Fixed Income Fund 2008 336,849 -- -- 336,849 2007 279,194 -- -- 279,194 High Yield Bond Fund 2008 125,710 1,453 -- 127,163 2007 89,624 -- -- 89,624 Long Duration Fund 2008 9,372 -- -- 9,372 2007 9,267 -- -- 9,267 Extended Duration Fund 2008 42,570 -- -- 42,570 2007 14,980 -- -- 14,980 Emerging Markets Debt Fund 2008 74,765 2,871 -- 77,636 2007 41,623 -- -- 41,623 Real Return Plus Fund 2008 11,228 1,410 -- 12,638 2007 2,421 -- -- 2,421
As of May 31, 2008, the components of Distributable Earnings/(Accumulated Losses) were as follows:
Post Undistributed Undistributed Capital Post October Ordinary Long-Term Loss October Currency Income Capital Gain Carryforwards Losses Losses ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- ------------- Large Cap Fund $ 169 $ -- $(89,413) $ -- $ -- Large Cap Diversified Alpha Fund 772 -- -- (20,939) -- Large Cap Disciplined Equity Fund 6,307 -- -- (353,839) (3,256) Large Cap Index Fund 92 619 -- -- -- Small Cap Fund -- 22 -- (40,501) (73) Small/Mid Cap Equity Fund -- -- -- (88,369) (44) International Equity Fund 10,783 1,284 -- -- -- World Equity Ex-US Fund -- -- -- (64,436) -- Enhanced LIBOR Opportunities Fund 3,100 -- (1,487) (5,371) (1,057) Core Fixed Income Fund 63,123 27,496 -- -- (1,583) High Yield Bond Fund 11,996 -- (1,148) (21,949) -- Long Duration Fund 692 -- (3,045) (2,511) -- Extended Duration Fund 22,418 -- -- (3,676) -- Emerging Markets Debt Fund 18,929 -- -- (6,706) -- Real Return Plus Fund 9,913 -- -- (1,013) --
Total Unrealized Other Distributable Appreciation Temporary Earnings/ (Depreciation) Differences (Accumulated Losses) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- -------------------- Large Cap Fund $ 38,326 $ 799 $ (50,119) Large Cap Diversified Alpha Fund 8,661 1,736 (9,770) Large Cap Disciplined Equity Fund 329,532 55,295 34,039 Large Cap Index Fund 104,361 1,142 106,214 Small Cap Fund 10,779 7,999 (21,774) Small/Mid Cap Equity Fund 33,298 8,696 (46,419) International Equity Fund 156,131 1,739 169,937 World Equity Ex-US Fund 268,027 (1,546) 202,045 Enhanced LIBOR Opportunities Fund (16,715) 1,237 (20,293) Core Fixed Income Fund (203,991) (1,412) (116,367) High Yield Bond Fund (97,285) (18,218) (126,604) Long Duration Fund (16,147) (1,651) (22,662) Extended Duration Fund (31,536) (22,803) (35,597) Emerging Markets Debt Fund (5,713) (5,216) 1,294 Real Return Plus Fund 16,452 -- 25,352
SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 222 Post-October losses represent losses realized on investment transactions from November 1, 2007 through May 31, 2008 that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:
Total Capital Loss Expires Expires Expires Carryforwards 2011 2015 2016 05/31/08 ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------ ------------- ------------- Large Cap Fund $89,413 $ -- $ -- $89,413 Enhanced LIBOR Opportunities Fund -- -- 1,487 1,487 High Yield Bond Fund -- -- 1,148 1,148 Long Duration Fund -- 2,250 795 3,045
During the year ended May 31, 2008, the Large Cap Fund, Core Fixed Income Fund, and the Extended Duration Fund utilized $65,873,216, $41,414,796 and $4,642,101, respectively, of capital loss carryforwards, to offset capital gains. For Federal income tax purposes, the cost of securities owned at November 30, 2008, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes. These differences are primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The aggregate gross unrealized appreciation and depreciation on total investments held by the Funds at November 30, 2008, was as follows:
Net Unrealized Federal Appreciated Depreciated Appreciation Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------ ------------ ------------- Large Cap Fund $ 352,252 $ 10,796 $ (86,183) $ (75,387) Large Cap Diversified Alpha Fund 478,029 4,421 (132,995) (128,574) Large Cap Disciplined Equity Fund 8,013,301 179,334 (1,792,466) (1,613,132) Large Cap Index Fund 423,891 42,061 (77,892) (35,831) Small Cap Fund 1,540,545 26,395 (471,263) (444,868) Small/Mid Cap Equity Fund 2,535,487 26,104 (783,966) (757,862) International Equity Fund 1,152,531 15,250 (316,179) (300,929) World Equity Ex-US Fund 2,851,662 13,017 (855,483) (842,466) Screened World Equity Ex-US Fund 74,930 339 (26,771) (26,432) Enhanced LIBOR Opportunities Fund 249,563 220 (72,390) (72,170) Core Fixed Income Fund 7,598,223 102,768 (810,697) (707,929) High Yield Bond Fund 1,603,162 637 (546,081) (545,444) Long Duration Fund 127,715 746 (39,783) (39,037) Extended Duration Fund 922,202 8,721 (159,530) (150,809) Emerging Markets Debt Fund 1,037,856 717 (266,358) (265,641) Real Return Plus Fund 289,108 20 (20,902) (20,882)
In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB interpretation 48 ("FIN 48"), "Accounting for Uncertainty in Income Taxes." This standard defines the threshold for recognizing the benefits of tax-return positions in the financial statements as "more-likely-than-not" to be sustained by the taxing authority and requires measurement of a tax position meeting the more-likely-than-not criterion, based on the largest benefit that is more than 50 percent likely to be realized. FIN 48 was effective as of the beginning of a company's first fiscal year beginning after December 15, 2006. At adoption, companies had to adjust their financial statements to reflect only those tax positions that are more-likely-than-not to be sustained as of the adoption date. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Based on its analysis, management has determined that the adoption of FIN 48 did not have a material impact to the Funds' financial statements upon adoption. However, management's conclusions regarding FIN 48 may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance expected from the FASB, and ongoing analyses of and changes to tax laws, regulations and interpretations thereof. 7. CONCENTRATION/RISKS In the normal course of business, the Funds enter into contracts that provide general indemnifications by the Fund to the counterparty to the contract. The Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote. The market values of the Core Fixed Income, Long Duration, Extended Duration and High Yield Bond Funds' investments may change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments. The International Equity, World Equity Ex-US, Screened World Equity Ex-US and Emerging Markets Debt Funds concentrate their investments in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 223 Notes to Financial Statements (Unaudited) (Concluded) NOVEMBER 30, 2008 8. IN-KIND TRANSFERS OF SECURITIES During the six-month period ended November 30, 2008, the Large Cap Disciplined Equity Fund issued shares of beneficial interest in exchange for securities. These securities were transferred at their current value on the date of such transactions.
Shares Value Issued ($ Thousands) ------ ------------- Large Cap Disciplined Equity Fund 09/30/2008 7,802 $ 76,845
During the year ended May 31, 2008, the Large Cap Diversified Alpha, Large Cap Disciplined Equity, and Small/Mid Cap Equity Funds issued (redeemed) shares of beneficial interest in exchange for securities. The securities were transferred at their current value on the date of such transactions.
Shares Issued Value Gain (Loss) (Redeemed) ($ Thousands) ($ Thousands) ----------- ------------- ------------- Large Cap Diversified Alpha Fund 08/31/07 (4,392,890) $ (43,929) $ (2,669) Large Cap Disciplined Equity Fund 06/29/07 478,248 6,739 -- 08/31/07 (90,947,378) (909,474) (63,427) 10/31/07 1,513,388 21,505 -- 01/16/08 1,060,716 12,580 -- Small/Mid Cap Equity Fund 10/26/07 1,208,695 17,357 --
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 a Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral between 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day's market fluctuations and the current day's lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that a Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities. Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include the SEI Liquidity Fund L.P., repurchase agreements, which are collateralized by United States Treasury and Government Agency securities, and high-quality, short-term instruments, such as floating rate corporate obligations, commercial paper, and private placements with an average weighted maturity not to exceed 60 days and a maturity not to exceed 397 days. There is no guarantee that these investments will not lose value. 10. RECENT ACCOUNTING PRONOUNCEMENTS In March 2008, the FASB issued SFAS No. 161, DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES. SFAS No. 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS No.161 requires enhanced disclosures about the Funds' derivative and hedging activities, including how such activities are accounted for and their effect on the Funds' financial position, performance, and cash flows. Management is currently evaluating the impact the adoption of SFAS No. 161 will have on the Funds' financial statements and related disclosures. On September 12, 2008, the FASB issued FASB Staff Position ("FSP") No. FAS 133-1 and FASB Interpretation Number ("FIN") 45-4 ("FSP 133-1"), DISCLOSURES ABOUT CREDIT DERIVATIVES AND CERTAIN GUARANTEES: AN AMENDMENT OF FASB STATEMENT NO. 133 AND FASB INTERPRETATION NO. 45; AND CLARIFICATION OF THE EFFECTIVE DATE OF FASB STATEMENT NO. 161. The FSP is intended to improve disclosures about credit derivatives by requiring more information about the potential adverse effects of changes in credit risk on the financial position, financial performance, and cash flows of the sellers of credit derivatives. It amends FASB Statement No. 133, ACCOUNTING FOR DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES, to require disclosures by sellers of credit derivatives, including credit derivatives embedded in hybrid instruments. The FSP also amends FIN 45, GUARANTOR'S ACCOUNTING AND DISCLOSURE REQUIREMENTS FOR GUARANTEES, INCLUDING INDIRECT GUARANTEES OF INDEBTEDNESS TO OTHERS, to require an additional disclosure about the current status of the payment/performance risk of a guarantee. FSP 133-1 and FIN 45-4 is effective for reporting periods (annual or interim) ending after November 15, 2008. Management of the Fund is currently assessing the impact of adopting FSP No. FAS 133-1 and FIN 45-4. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 224 11. OTHER MATTERS Due to volatility in the fixed income and equity markets, the market value of some of the Fund's holdings may currently be lower than shown in the Schedules of Investments ("SOI"). The values shown in the SOI's were the market values as of November 30, 2008 and do not reflect any market events after November 30, 2008. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 225 Disclosure of Fund Expenses (Unaudited) NOVEMBER 30, 2008 All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. Operating expenses such as these are deducted from the fund's gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund's average net assets; this percentage is known as the fund's expense ratio. The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table on the next page illustrates your Fund's costs in two ways: - - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The "Expenses Paid During Period" column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the "Ending Account Value" number is derived from deducting that expense cost from the Fund's gross investment return. You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under "Expenses Paid During Period." - - HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with those of other mutual funds. It assumes that the Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund's comparative cost by comparing the hypothetical result for your Fund in the "Expense Paid During Period" column with those that appear in the same charts in the shareholder reports for other funds. NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's actual return -- the account values shown do not apply to your specific investment. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 226
BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/08 11/30/08 RATIOS PERIOD* --------- --------- ---------- ------- LARGE CAP FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 628.50 0.26% $1.06 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.76 0.26% $1.32 LARGE CAP DIVERSIFIED ALPHA FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 586.70 0.59% $2.35 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.11 0.59% $2.99 LARGE CAP DISCIPLINED EQUITY FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 599.10 0.19% $0.76 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.12 0.19% $0.96 LARGE CAP INDEX FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 634.00 0.06% $0.25 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.77 0.06% $0.30 SMALL CAP FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 574.80 0.52% $2.05 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.46 0.52% $2.64 SMALL/MID CAP EQUITY FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 570.60 0.49% $1.93 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.61 0.49% $2.48 INTERNATIONAL EQUITY FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 500.00 0.39% $1.47 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.11 0.39% $1.98 WORLD EQUITY EX-US FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 487.60 0.45% $1.68 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.81 0.45% $2.28 ENHANCED LIBOR OPPORTUNITIES FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 745.70 0.41% $1.79 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.01 0.41% $2.08 CORE FIXED INCOME FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 938.40 0.14% $0.68 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.37 0.14% $0.71
BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/1/08 11/30/08 RATIOS PERIOD* --------- --------- ---------- ------- HIGH YIELD BOND FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 685.70 0.35% $1.48 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.31 0.35% $1.78 LONG DURATION FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 990.10 0.20% $1.00 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.07 0.20% $1.01 EXTENDED DURATION FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,466.40 0.20% $1.24 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.07 0.20% $1.01 EMERGING MARKETS DEBT FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 755.40 0.55% $2.42 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.31 0.55% $2.79 REAL RETURN PLUS FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 909.00 0.36% $1.72 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.26 0.36% $1.83
* Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 183/365 (to reflect one-half year period shown).
BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 6/30/08 11/30/08 RATIOS PERIOD** --------- --------- ---------- -------- SCREENED WORLD EQUITY EX-US FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 554.00 0.80% $2.61 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,021.06 0.80% $4.05
** Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 153/365 (to reflect the period since commencement of operations). SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 227 Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (Unaudited) NOVEMBER 30, 2008 SEI Institutional Investments Trust (the "Trust") and SEI Investments Management Corporation ("SIMC") have entered into an investment advisory agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the "Funds") and may manage the cash portion of the Funds' assets. Pursuant to separate sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers' skills and investment results in managing assets for specific asset classes, investment styles and strategies. The Investment Company Act of 1940, as amended (the "1940 Act") requires that the initial approval of, as well as the continuation of, the Funds' Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds' Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission ("SEC") takes the position that, as part of their fiduciary duties with respect to a mutual fund's fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement. Consistent with these responsibilities, the Trust's Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC's and the Sub-Advisers' affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust's Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers. Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers' investment management and other services; (b) SIMC's and the Sub-Advisers' investment management personnel; (c) SIMC's and the Sub-Advisers' operations and financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds' overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC's and the Sub-Advisers' profitability from their Fund-related operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and the Sub-Advisers' policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds' performance compared with similar mutual funds. At the June 25-26, 2008 and September 17-18, 2008 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board's approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including: - the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; - the Funds' investment performance and how it compared to that of other comparable mutual funds; - the Funds' expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 228 - the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and - the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC's and the Sub-Advisers' personnel, experience, track record and compliance program. The Trustees found the level of SIMC's professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements. Fund Performance. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds' performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements. FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds' net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds' respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC's voluntary waiver of management and other fees and the Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds' net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Adviser and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and supported renewal of the Investment Advisory Agreements. ECONOMIES OF SCALE. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds' shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale. Based on the Trustees' deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling. SEI Institutional Investments Trust / Semi-Annual Report / November 30, 2008 229 Notes Notes Notes SEI INSTITUTIONAL INVESTMENTS TRUST SEMI-ANNUAL REPORT NOVEMBER 30, 2008 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco Nina Lesavoy James M. Williams Mitchell A. Johnson Hubert L. Harris, Jr. OFFICERS Robert A. Nesher PRESIDENT AND CHIEF EXECUTIVE OFFICER Stephen F. Panner CONTROLLER AND CHIEF FINANCIAL OFFICER Russell Emery CHIEF COMPLIANCE OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY James Ndiaye VICE PRESIDENT, ASSISTANT SECRETARY Michael T. Pang VICE PRESIDENT, ASSISTANT SECRETARY Aaron Buser VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Andrew S. Decker ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Global Funds Services DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) (SEI LOGO) New ways. New answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-120 (11/08) ITEM 2. CODE OF ETHICS. Not applicable for semi-annual report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for semi-annual report. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for semi-annual report. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. 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 Registrant 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 Registrant's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18th 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the Registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the Registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the Registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the Registrant's internal control over financial reporting that occurred during the Registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Not applicable for semi-annual report. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit. - -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Institutional Investments Trust By (Signature and Title) /s/ Robert A. Nesher --------------------------------- Robert A. Nesher, President & CEO Date: 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: By (Signature and Title) /S/ STEPHEN F. PANNER ----------------------------------- Stephen F. Panner, Controller & CFO Date: EX-99.CERT 2 siit302certrn11_08.txt SIIT 11_08 SAR RN 302 CERT CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Robert A. Nesher, certify that: 1. I have reviewed this report on Form N-CSRS of SEI Institutional Investments Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: January 29, 2009 /s/ Robert A. Nesher - -------------------- Robert A. Nesher Chief Executive Officer EX-99.CERT 3 siit302certsp11_08.txt SIIT 11_08 SAR SP 302 CERT CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Stephen F. Panner, certify that: 1. I have reviewed this report on Form N-CSRS of SEI Institutional Investments Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: January 29, 2009 /s/ Stephen F. Panner - --------------------- Stephen F. Panner Controller & CFO EX-99.906CERT 4 siit906certrn11_08.txt SIIT 11_08 SAR RN 906 CERT CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Chief Executive Officer of the SEI Institutional Investments Trust (the "Fund"), with respect to the Fund's Form N-CSRS for the period ended November 30, 2008 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSRS fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSRS fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: January 29, 2009 /s/ Robert A. Nesher -------------------- Robert A. Nesher Chief Executive Officer EX-99.906CERT 5 siit906certsp11_08.txt SIIT 11_08 SAR SP 906 CERT CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Controller & CFO of the SEI Institutional Investments Trust (the "Fund"), with respect to the Fund's Form N-CSRS for the period ended November 30, 2008 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSRS fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSRS fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: January 29, 2009 /s/ Stephen F. Panner --------------------- Stephen F. Panner Controller & CFO -----END PRIVACY-ENHANCED MESSAGE-----