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SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 97.3%
                 

Communication Services — 5.7%

        

Alphabet Inc, Cl A *

     1,309     $ 3,536  

Alphabet Inc, Cl C *

     6,364       17,169  

AT&T Inc

    264,357       6,263  

BCE Inc

    94,985       4,990  

Comcast Corp, Cl A

    50,197       2,347  

Fox Corp

    47,250       1,976  

Liberty Media Corp-Liberty Formula One, Cl A *

     5,566       313  

Liberty Media Corp-Liberty Formula One, Cl C *

     10,102       613  

Liberty Media Corp-Liberty SiriusXM, Cl A *

     11,563       582  

Liberty Media Corp-Liberty SiriusXM, Cl C *

     9,356       471  

Live Nation Entertainment Inc *

     19,431       2,348  

Meta Platforms Inc, Cl A *

     16,652       3,514  

Netflix Inc *

     69       27  

News Corp

    6,224       140  

News Corp, Cl A

    11,141       249  

Paramount Global, Cl B

    39,700       1,215  

Roku Inc, Cl A *

     1,798       251  

TEGNA Inc

    76,800       1,760  

Verizon Communications Inc

    108,050       5,799  

Walt Disney Co/The *

     4,382       650  
                 
              54,213  

Consumer Discretionary — 9.9%

        

Airbnb Inc, Cl A *

     4,065       616  

Amazon.com Inc *

     6,641       20,396  

AutoZone Inc *

     424       790  

Best Buy Co Inc

    14,300       1,382  

Big Lots Inc

    12,000       417  

Booking Holdings Inc *

     527       1,145  

Capri Holdings Ltd *

     15,626       1,059  

Crocs Inc *

     248       21  

Dollar General Corp

    23,007       4,563  

DR Horton Inc

    590       50  

eBay Inc

    23,000       1,256  

Foot Locker Inc

    24,800       784  

Ford Motor Co

    127,065       2,231  

General Motors Co *

     92,395       4,317  

Genuine Parts Co

    48,260       5,895  

Goodyear Tire & Rubber Co/The *

     58,400       905  

Harley-Davidson Inc

    26,117       1,079  

Home Depot Inc/The

    4,422       1,396  

Hyatt Hotels Corp, Cl A *

     1,499       146  

KB Home

    32,532       1,256  

Kohl's Corp

    13,100       729  

Lear Corp

    7,400       1,164  

Lowe's Cos Inc

    43,900       9,705  

Lululemon Athletica Inc *

     679       217  

Macy's Inc

    53,200       1,379  

Marriott International Inc/MD, Cl A *

     2,239       381  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Marriott Vacations Worldwide Corp

    423     $ 68  

Mattel Inc *

     18,630       465  

McDonald's Corp

    1,536       376  

MGM Resorts International

    62,153       2,753  

NIKE Inc, Cl B

    38,281       5,227  

O'Reilly Automotive Inc *

     754       490  

Pool Corp

    1,159       531  

PulteGroup Inc

    30,600       1,520  

PVH Corp

    6,559       642  

Ross Stores Inc

    38,509       3,519  

Shake Shack Inc, Cl A *

     5,578       417  

Six Flags Entertainment Corp *

     9,445       412  

Starbucks Corp

    18,489       1,697  

Steven Madden Ltd

    4,545       194  

Tapestry Inc

    4,298       176  

Target Corp

    31,990       6,391  

Tesla Inc *

     6,140       5,344  

Texas Roadhouse Inc, Cl A

    384       36  

Whirlpool Corp

    9,600       1,932  
                 
              95,469  

Consumer Staples — 7.4%

        

Altria Group Inc

    88,572       4,543  

Bunge Ltd

    4,036       422  

Central Garden & Pet Co, Cl A *

     6,645       293  

Coca-Cola Co/The

    76,154       4,740  

Colgate-Palmolive Co

    38,118       2,933  

Conagra Brands Inc

    101,555       3,551  

Diageo PLC ADR

    16,134       3,222  

Estee Lauder Cos Inc/The, Cl A

    3,298       977  

Hershey Co/The

    3,103       628  

Inter Parfums Inc

    1,358       126  

J M Smucker Co/The

    28,356       3,821  

Keurig Dr Pepper Inc

    3,044       118  

Kimberly-Clark Corp

    28,163       3,665  

Kraft Heinz Co/The

    46,500       1,824  

Kroger Co/The

    126,438       5,917  

Molson Coors Beverage Co, Cl B

    24,900       1,299  

Mondelez International Inc, Cl A

    34,151       2,236  

PepsiCo Inc

    31,469       5,153  

Philip Morris International Inc

    92,317       9,331  

Procter & Gamble Co/The

    7,435       1,159  

Spectrum Brands Holdings Inc

    391       36  

Sysco Corp

    57,598       5,017  

Tyson Foods Inc, Cl A

    33,000       3,058  

Unilever PLC ADR

    58,813       2,956  

Walgreens Boots Alliance Inc

    82,177       3,787  

Walmart Inc

    4,113       556  
                 
              71,368  

Energy — 3.5%

        

Chevron Corp

    70,747       10,188  

ConocoPhillips

    66,556       6,314  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

1

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Devon Energy Corp

    23,300     $ 1,387  

Diamondback Energy Inc

    1,481       205  

Exxon Mobil Corp

    111,450       8,740  

Halliburton Co

    4,929       165  

Hess Corp

    5,489       555  

HollyFrontier Corp *

     22,600       688  

Marathon Oil Corp

    16,936       382  

Marathon Petroleum Corp

    22,403       1,745  

Occidental Petroleum Corp

    8,557       374  

Phillips 66

    18,011       1,517  

Valaris Ltd *

     1,375       56  

Valero Energy Corp

    12,850       1,073  

Viper Energy Partners LP (A)

     2,079       61  
                 
              33,450  

Financials — 15.8%

        

Aflac Inc

    21,300       1,301  

Allstate Corp/The

    23,300       2,851  

Ally Financial Inc

    41,901       2,091  

American Express Co

    3,216       626  

American International Group Inc

    10,998       673  

Ameriprise Financial Inc

    12,450       3,732  

Annaly Capital Management Inc ‡

     121,900       848  

Aon PLC, Cl A

    915       267  

Arthur J Gallagher & Co

    6,674       1,056  

Axis Capital Holdings Ltd

    5,378       294  

Bank of America Corp

    188,984       8,353  

Berkshire Hathaway Inc, Cl B *

     33,219       10,678  

BlackRock Inc, Cl A

    69       51  

Capital One Financial Corp

    12,946       1,984  

Charles Schwab Corp/The

    83,041       7,014  

Chubb Ltd

    24,365       4,962  

Citigroup Inc

    107,375       6,360  

Citizens Financial Group Inc

    62,700       3,287  

CME Group Inc, Cl A

    2,248       532  

CNA Financial Corp

    13,500       617  

Comerica Inc

    8,186       782  

Cullen/Frost Bankers Inc

    1,733       244  

Discover Financial Services

    13,500       1,666  

East West Bancorp Inc

    15,096       1,322  

Equitable Holdings Inc

    28,799       941  

Everest Re Group Ltd

    6,088       1,815  

FactSet Research Systems Inc

    1,033       419  

Fidelity National Financial Inc

    1,691       80  

Fifth Third Bancorp

    58,400       2,794  

First American Financial Corp

    20,850       1,398  

First Republic Bank/CA

    33,801       5,856  

Goldman Sachs Group Inc/The

    6,800       2,321  

Hancock Whitney Corp

    12,886       717  

Hartford Financial Services Group Inc/The

    25,500       1,772  

Interactive Brokers Group Inc, Cl A

    5,882       389  

Intercontinental Exchange Inc

    5,782       741  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

JPMorgan Chase & Co

    36,020     $ 5,108  

KeyCorp

    120,367       3,018  

Lincoln National Corp

    15,900       1,072  

Markel Corp *

     5,145       6,395  

Marsh & McLennan Cos Inc

    17,128       2,662  

MetLife Inc

    39,692       2,681  

MGIC Investment Corp

    82,300       1,249  

Moody's Corp

    16,435       5,293  

Morgan Stanley

    93,408       8,476  

MSCI Inc, Cl A

    290       145  

Navient Corp

    52,300       921  

Northern Trust Corp

    737       84  

PNC Financial Services Group Inc/The

    175       35  

Prudential Financial Inc

    11,200       1,251  

Radian Group Inc

    42,900       1,025  

Raymond James Financial Inc

    2,177       239  

Regions Financial Corp

    99,900       2,417  

S&P Global Inc

    5,766       2,166  

Signature Bank/New York NY

    6,668       2,300  

State Street Corp

    63,092       5,384  

Stifel Financial Corp

    6,583       484  

Travelers Cos Inc/The

    20,738       3,563  

Truist Financial Corp

    78,420       4,879  

Unum Group

    30,100       840  

Upstart Holdings Inc *(B)

     5,232       827  

US Bancorp

    124,258       7,025  

W R Berkley Corp

    10,167       918  

Wells Fargo & Co

    17,897       955  
                 
              152,246  

Health Care — 14.6%

        

Abbott Laboratories

    17,307       2,088  

AbbVie Inc

    41,760       6,171  

Alnylam Pharmaceuticals Inc *

     1,058       167  

AmerisourceBergen Corp, Cl A

    28,367       4,043  

Amgen Inc

    29,094       6,589  

AMN Healthcare Services Inc *

     4,574       485  

Anthem Inc

    3,858       1,743  

Baxter International Inc

    20,536       1,745  

Biogen Inc *

     1,950       412  

Bio-Rad Laboratories Inc, Cl A *

     1,739       1,089  

Bristol-Myers Squibb Co

    63,400       4,354  

Cardinal Health Inc

    29,900       1,615  

Catalent Inc *

     17,191       1,754  

ChemoCentryx Inc *

     5,387       163  

Cigna Corp

    172       41  

CVS Health Corp

    97,619       10,118  

Danaher Corp

    12,185       3,344  

Dexcom Inc *

     400       166  

Elanco Animal Health Inc *

     19,728       560  

Eli Lilly & Co

    15,483       3,870  

Gilead Sciences Inc

    30,055       1,815  

 

 

 

2

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

HCA Healthcare Inc

    8,085     $ 2,024  

Henry Schein Inc *

     721       62  

Humana Inc

    1,275       554  

IDEXX Laboratories Inc *

     354       188  

Illumina Inc *

     513       168  

iRhythm Technologies Inc *

     797       103  

Johnson & Johnson

    99,663       16,402  

McKesson Corp

    16,756       4,607  

Medtronic PLC

    54,722       5,745  

Merck & Co Inc

    115,930       8,878  

Mettler-Toledo International Inc *

     3,912       5,511  

Mirati Therapeutics Inc *

     1,263       111  

Moderna Inc *

     893       137  

Molina Healthcare Inc *

     2,606       800  

Natera Inc *

     8,936       588  

Novartis AG ADR

    51,087       4,468  

Organon & Co

    4,167       156  

Patterson Cos Inc

    2,266       68  

Perrigo Co PLC

    77,159       2,741  

Pfizer Inc

    255,475       11,992  

Prestige Consumer Healthcare Inc *

     5,633       335  

Quest Diagnostics Inc

    15,626       2,051  

Regeneron Pharmaceuticals Inc *

     1,500       927  

Tenet Healthcare Corp *

     2,507       216  

Thermo Fisher Scientific Inc

    7,812       4,250  

UnitedHealth Group Inc

    25,661       12,211  

Universal Health Services Inc, Cl B

    6,800       979  

Veeva Systems Inc, Cl A *

     465       106  

Vertex Pharmaceuticals Inc *

     910       209  

Viatris Inc, Cl W *

     36,713       404  

West Pharmaceutical Services Inc

    170       66  

Zoetis Inc, Cl A

    4,102       794  
                 
              140,183  

Industrials — 10.4%

        

3M Co

    23,380       3,475  

Acuity Brands Inc

    5,200       948  

AGCO Corp

    14,900       1,790  

Allison Transmission Holdings Inc, Cl A

    34,800       1,390  

American Airlines Group Inc *(B)

     28,600       493  

AMETEK Inc

    8,515       1,105  

ASGN Inc *

     1,495       166  

Boeing Co/The *

     3,018       620  

Builders FirstSource Inc *

     3,937       293  

Carlisle Cos Inc

    3,805       903  

Caterpillar Inc

    1,617       303  

Cintas Corp

    1,095       411  

CSX Corp

    13,417       455  

Cummins Inc

    9,700       1,980  

Deere & Co

    4,059       1,461  

Delta Air Lines Inc *

     24,500       978  

Eaton Corp PLC

    19,723       3,043  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Emerson Electric Co

    2,851     $ 265  

Equifax Inc

    839       183  

Expeditors International of Washington Inc

    12,991       1,343  

Fastenal Co

    12,209       628  

FedEx Corp

    5,194       1,154  

Fortive Corp

    51,403       3,328  

General Dynamics Corp

    16,733       3,923  

GMS Inc *

     2,689       146  

GXO Logistics Inc *

     54,192       4,548  

Honeywell International Inc

    28,252       5,361  

Huntington Ingalls Industries Inc

    7,900       1,615  

Johnson Controls International plc

    65,630       4,263  

Korn Ferry

    5,193       344  

L3Harris Technologies Inc

    4,900       1,236  

Lockheed Martin Corp

    129       56  

ManpowerGroup Inc

    11,900       1,265  

Matson Inc

    337       37  

MDU Resources Group Inc

    43,500       1,165  

MSC Industrial Direct Co Inc, Cl A

    3,422       265  

Mueller Industries Inc

    1,323       76  

Northrop Grumman Corp

    3,035       1,342  

Oshkosh Corp

    3,900       433  

PACCAR Inc

    6,352       583  

Parker-Hannifin Corp

    808       240  

Raytheon Technologies Corp

    57,935       5,950  

Roper Technologies Inc

    7,584       3,399  

Siemens AG ADR

    56,970       3,981  

SiteOne Landscape Supply Inc *

     618       107  

Snap-on Inc

    4,900       1,030  

Stanley Black & Decker Inc

    14,454       2,352  

Textron Inc

    21,309       1,558  

TransDigm Group Inc *

     13,999       9,332  

Uber Technologies Inc *

     54,186       1,952  

UFP Industries Inc

    2,863       246  

Union Pacific Corp

    6,555       1,612  

United Airlines Holdings Inc *

     14,900       662  

United Parcel Service Inc, Cl B

    37,770       7,948  

Vicor Corp *

     7,738       579  

Watsco Inc

    2,130       582  

WW Grainger Inc

    9,190       4,384  

XPO Logistics Inc *

     13,057       949  
                 
              100,236  

Information Technology — 21.9%

        

Accenture PLC, Cl A

    6,721       2,124  

Adobe Inc *

     15,819       7,398  

Advanced Micro Devices Inc *

     43,764       5,398  

Amphenol Corp, Cl A

    47,143       3,583  

Apple Inc

    170,438       28,143  

Applied Materials Inc

    31,213       4,189  

Arista Networks Inc *

     6,353       780  

Arrow Electronics Inc *

     12,200       1,487  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

3

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Automatic Data Processing Inc

    10,578     $ 2,163  

Bill.com Holdings Inc *

     4,243       1,009  

Block Inc, Cl A *

     11,081       1,413  

Broadcom Inc

    12,288       7,218  

Cadence Design Systems Inc *

     10,003       1,515  

Cisco Systems Inc/Delaware

    129,455       7,220  

Cloudflare Inc, Cl A *

     435       51  

Coupa Software Inc *

     287       35  

Crowdstrike Holdings Inc, Cl A *

     7,565       1,477  

Dell Technologies Inc, Cl C

    16,000       815  

Dlocal, Cl A *

     14,822       484  

DXC Technology Co *

     24,600       837  

EPAM Systems Inc *

     2,289       475  

ExlService Holdings Inc *

     3,403       411  

Fabrinet *

     1,849       185  

Fortinet Inc *

     555       191  

Global Payments Inc

    24,085       3,212  

Hewlett Packard Enterprise Co

    108,400       1,726  

HP Inc

    77,800       2,673  

Intel Corp

    196,298       9,363  

International Business Machines Corp

    15,675       1,920  

Intuit Inc

    19,962       9,469  

Juniper Networks Inc

    4,219       143  

Keysight Technologies Inc *

     5,244       825  

KLA Corp

    1,671       582  

Marqeta, Cl A *

     86,790       1,018  

Marvell Technology Inc

    3,466       237  

Mastercard Inc, Cl A

    2,909       1,050  

Microchip Technology Inc

    151,078       10,625  

Micron Technology Inc

    45,911       4,080  

Microsoft Corp

    108,841       32,521  

Monolithic Power Systems Inc

    471       216  

NCR Corp *

     20,400       827  

NetApp Inc

    3,501       274  

Nutanix Inc, Cl A *

     5,463       146  

NVIDIA Corp

    27,814       6,782  

Oracle Corp

    48,032       3,649  

Paychex Inc

    3,026       360  

PayPal Holdings Inc *

     14,551       1,629  

Pure Storage Inc, Cl A *

     6,309       164  

QUALCOMM Inc

    15,204       2,615  

RingCentral Inc, Cl A *

     2,151       281  

salesforce.com *

     25,156       5,296  

SAP SE ADR

    27,019       3,042  

Seagate Technology Holdings PLC

    27,700       2,857  

ServiceNow Inc *

     852       494  

Snap Inc, Cl A *

     30,513       1,219  

Snowflake Inc, Cl A *

     3,574       949  

Synopsys Inc *

     5,018       1,568  

Texas Instruments Inc

    3,792       645  

Twilio Inc, Cl A *

     4,543       794  

Unity Software Inc *

     11,805       1,257  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Visa Inc, Cl A

    46,648     $ 10,082  

Vishay Intertechnology Inc

    46,100       885  

VMware Inc, Cl A *

     6,247       733  

Vontier Corp

    137,370       3,338  

Western Union Co/The

    49,400       898  

WEX Inc *

     1,939       327  

Workday Inc, Cl A *

     2,716       622  

Xerox Holdings Corp

    46,300       913  
                 
              210,907  

Materials — 4.0%

        

Air Products and Chemicals Inc

    20,316       4,801  

Albemarle Corp

    340       67  

Alcoa Corp

    812       61  

Berry Global Group Inc *

     19,500       1,183  

Celanese Corp, Cl A

    1,502       209  

CF Industries Holdings Inc

    10,285       835  

Chemours Co/The

    40,300       1,112  

Commercial Metals Co

    6,043       233  

Corteva Inc

    4,023       209  

Dow Inc

    62,348       3,676  

Ecolab Inc

    10,905       1,922  

Huntsman Corp

    63,986       2,588  

Ingevity Corp *

     10,801       737  

International Paper Co

    23,200       1,010  

Linde PLC

    11,465       3,362  

LyondellBasell Industries NV, Cl A

    17,700       1,721  

Martin Marietta Materials Inc

    331       126  

Mosaic Co/The

    22,647       1,187  

O-I Glass Inc *

     60,000       767  

Packaging Corp of America

    6,890       1,014  

Reliance Steel & Aluminum Co

    14,233       2,717  

RPM International Inc

    42,964       3,633  

Steel Dynamics Inc

    14,500       1,023  

Sylvamo Corp *

     2,109       74  

Valvoline Inc

    15,700       507  

Vulcan Materials Co

    866       157  

Westlake Corp

    5,831       643  

Westrock Co

    40,000       1,811  
                 
              37,385  

Real Estate — 2.6%

        

American Tower Corp, Cl A ‡

     23,714       5,380  

AvalonBay Communities Inc ‡

     5,000       1,193  

Boston Properties Inc ‡

     21,537       2,634  

Brixmor Property Group Inc ‡

     56,000       1,407  

CBRE Group Inc, Cl A *

     4,094       396  

Crown Castle International Corp ‡

     1,601       267  

Equity Residential ‡

     13,407       1,144  

Gaming and Leisure Properties Inc ‡

     33,145       1,505  

Healthpeak Properties Inc ‡

     112,015       3,479  

Phillips Edison & Co Inc ‡

     4,908       159  

PotlatchDeltic Corp ‡

     3,085       169  

 

 

 

4

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Prologis ‡

     5,509     $ 803  

Public Storage ‡

     4,548       1,615  

RLJ Lodging Trust ‡

     3,718       52  

Service Properties Trust ‡

     37,100       320  

Simon Property Group Inc ‡

     7,700       1,059  

VICI Properties Inc ‡

     102,153       2,856  

Weyerhaeuser Co ‡

     15,936       620  
                 
              25,058  

Utilities — 1.5%

        

Ameren Corp

    1,534       132  

DTE Energy Co

    7,238       880  

Duke Energy Corp

    36,285       3,643  

Evergy Inc

    18,400       1,148  

National Fuel Gas Co

    7,381       459  

NextEra Energy Inc

    59,183       4,632  

NRG Energy Inc

    34,300       1,298  

Sempra Energy

    267       39  

UGI Corp

    19,250       740  

Vistra Corp

    79,260       1,809  
                 
              14,780  

Total Common Stock

               

(Cost $643,159) ($ Thousands)

             935,295  
                 
                 
                 

AFFILIATED PARTNERSHIP — 0.1%

SEI Liquidity Fund, L.P.

                

0.050% **†(C)

     818,767       819  
                 
                 

Total Affiliated Partnership

                

(Cost $819) ($ Thousands)

     819  
                 
                 
                 

CASH EQUIVALENT — 2.6%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     24,842,525       24,843  
                 

Total Cash Equivalent

                

(Cost $24,843) ($ Thousands)

             24,843  
                 
                 

Total Investments in Securities — 100.0%

                

(Cost $668,821) ($ Thousands)

  $ 960,957  
                 
                 
                 

 

 
 

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation (Depreciation) (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     74       Mar-2022     $ 16,365     $ 16,162     $ (203 )

S&P Mid Cap 400 Index E-MINI

     5       Mar-2022       1,322       1,329       7  
                    $ 17,687     $ 17,491     $ (196 )

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

5

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Fund (Concluded)

 

 

Percentages are based on Net Assets of $961,296 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

Security is a Master Limited Partnership. At February 28, 2022, such securities amounted to $61 ($ Thousands), or 0.0% of the Net Assets of the Fund.

(B)

Certain securities or partial positions of certain securities are on loan at February 28, 2022. The total market value of securities on loan at February 28, 2022 was $846 ($ Thousands).

(C)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of February 28, 2022 was $819 ($ Thousands).

 

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

S&P— Standard & Poor's
 

 

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Common Stock

     935,295       –       –       935,295  

Affiliated Partnership

     –       819       –       819  

Cash Equivalent

     24,843       –       –       24,843  

Total Investments in Securities

     960,138       819       –       960,957  
                                 

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Appreciation

     7       –       –       7  

Unrealized Depreciation

     (203 )     –       –       (203 )

Total Other Financial Instruments

     (196 )     –       –       (196 )

 

*

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

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 
 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Liquidity Fund, L.P.

   $ 625     $ 51,170     $ (50,974 )   $ —     $ (2 )   $ 819       818,767     $ —     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     22,716       262,683       (260,556 )     —       —       24,843       24,842,525       2       —  

Totals

   $ 23,341     $ 313,853     $ (311,530 )   $ -     $ (2 )   $ 25,662             $ 2     $ —  

 

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

 

 

6

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Disciplined Equity Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 91.2%
                 

Communication Services — 4.6%

        

Alphabet Inc, Cl A *

     4,343     $ 11,731  

Alphabet Inc, Cl C *

     4,018       10,840  

AT&T Inc

    254,277       6,024  

Comcast Corp, Cl A

    127,263       5,951  

Interpublic Group of Cos Inc/The

    34,300       1,262  

Liberty Global PLC *

     20,450       529  

Liberty Media Corp-Liberty Formula One, Cl C *

     1,103       67  

Liberty Media Corp-Liberty SiriusXM, Cl C *

     68,384       3,441  

Live Nation Entertainment Inc *

     8,394       1,014  

Meta Platforms Inc, Cl A *

     74,489       15,719  

Netflix Inc *

     645       254  

News Corp, Cl A

    11,001       246  

Omnicom Group Inc

    23,779       1,995  

Playtika Holding Corp *

     6,200       128  

Roku Inc, Cl A *

     9,953       1,389  

Verizon Communications Inc

    205,117       11,009  

Walt Disney Co/The *

     6,798       1,009  
                 
              72,608  

Consumer Discretionary — 6.8%

        

Amazon.com Inc *

     5,063       15,550  

AutoZone Inc *

     3,736       6,962  

Booking Holdings Inc *

     704       1,529  

BorgWarner Inc

    190,845       7,827  

Capri Holdings Ltd *

     19,400       1,314  

Chewy Inc, Cl A *

     39,687       1,871  

Dollar General Corp

    46,054       9,134  

DR Horton Inc

    64,514       5,509  

Ford Motor Co

    52,813       927  

General Motors Co *

     44,117       2,061  

Genuine Parts Co

    32,880       4,017  

Home Depot Inc/The

    25,310       7,994  

Lennar Corp, Cl A

    3,733       336  

Lowe's Cos Inc

    34,747       7,681  

Macy's Inc

    2,918       75  

Marriott International Inc/MD, Cl A *

     3,870       658  

Mattel Inc *

     28,949       723  

McDonald's Corp

    6,726       1,646  

NIKE Inc, Cl B

    29,480       4,025  

O'Reilly Automotive Inc *

     547       355  

Pool Corp

    8,886       4,075  

PVH Corp

    19,325       1,892  

Ralph Lauren Corp, Cl A

    16,364       2,161  

Ross Stores Inc

    58,894       5,382  

Starbucks Corp

    24,807       2,277  

Tapestry Inc

    7,107       291  

Target Corp

    10,471       2,092  

Tesla Inc *

     9,734       8,473  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Toll Brothers Inc

    3,587     $ 195  
                 
              107,032  

Consumer Staples — 6.7%

        

Altria Group Inc

    68,649       3,521  

Bunge Ltd

    16,598       1,735  

Coca-Cola Co/The

    207,059       12,887  

Coca-Cola Europacific Partners PLC

    125,770       6,441  

Conagra Brands Inc

    112,282       3,927  

Constellation Brands Inc, Cl A

    16,280       3,510  

Costco Wholesale Corp

    22,969       11,927  

Estee Lauder Cos Inc/The, Cl A

    18,488       5,479  

Hershey Co/The

    1,055       213  

J M Smucker Co/The

    23,236       3,131  

Kraft Heinz Co/The

    57,400       2,251  

Kroger Co/The

    75,079       3,514  

Mondelez International Inc, Cl A

    46,399       3,038  

PepsiCo Inc

    38,387       6,286  

Philip Morris International Inc

    84,690       8,560  

Procter & Gamble Co/The

    84,152       13,118  

Sysco Corp

    83,886       7,306  

Tyson Foods Inc, Cl A

    5,056       469  

Walmart Inc

    53,744       7,264  
                 
              104,577  

Energy — 3.0%

        

Baker Hughes Co, Cl A

    244,415       7,181  

Chevron Corp

    59,127       8,514  

ConocoPhillips

    50,907       4,829  

Diamondback Energy Inc

    2,571       355  

EQT Corp

    157,078       3,635  

Exxon Mobil Corp

    121,880       9,558  

Hess Corp

    8,581       867  

Marathon Oil Corp

    57,097       1,288  

Marathon Petroleum Corp

    4,012       312  

Occidental Petroleum Corp

    15,009       656  

Ovintiv Inc

    61,411       2,816  

Phillips 66

    14,507       1,222  

Pioneer Natural Resources Co

    22,186       5,316  

Schlumberger NV

    8,092       318  

Valero Energy Corp

    1,331       111  
                 
              46,978  

Financials — 12.8%

        

Affiliated Managers Group Inc

    7,489       1,036  

Allstate Corp/The

    35,000       4,283  

Ally Financial

    30,723       1,533  

American Express Co

    5,051       983  

American International Group Inc

    73,667       4,511  

Ameriprise Financial Inc

    21,914       6,570  

Aon PLC, Cl A

    3,628       1,060  

Arthur J Gallagher & Co

    18,547       2,934  

Bank of America Corp

    271,711       12,010  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

7

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Disciplined Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Berkshire Hathaway Inc, Cl B *

     12,933     $ 4,157  

BlackRock Inc, Cl A

    5,354       3,983  

BOK Financial Corp

    7,900       811  

Capital One Financial Corp

    60,393       9,256  

Cboe Global Markets Inc

    2,123       249  

Charles Schwab Corp/The

    7,750       655  

Citigroup Inc

    96,536       5,718  

CME Group Inc, Cl A

    9,493       2,245  

Comerica Inc

    64,262       6,136  

Discover Financial Services

    35,283       4,355  

East West Bancorp Inc

    26,929       2,358  

Equitable Holdings Inc

    85,644       2,797  

Everest Re Group Ltd

    4,427       1,320  

FactSet Research Systems Inc

    7,986       3,243  

Fidelity National Financial Inc

    22,199       1,058  

Goldman Sachs Group Inc/The

    2,200       751  

Hartford Financial Services Group Inc/The

    91,960       6,389  

Intercontinental Exchange Inc

    27,916       3,577  

Jefferies Financial Group Inc

    8,028       285  

JPMorgan Chase & Co

    129,270       18,330  

KeyCorp

    110,123       2,761  

Lincoln National Corp

    53,500       3,607  

MarketAxess Holdings Inc

    7,686       2,932  

Marsh & McLennan Cos Inc

    41,339       6,425  

MetLife Inc

    31,805       2,148  

Moody's Corp

    1,752       564  

Morgan Stanley

    16,140       1,465  

Northern Trust Corp

    5,981       681  

OneMain Holdings Inc, Cl A

    60,500       3,084  

Pinnacle Financial Partners Inc

    25,300       2,557  

PNC Financial Services Group Inc/The

    2,284       455  

Popular Inc

    29,300       2,691  

Progressive Corp/The

    32,766       3,471  

Prosperity Bancshares Inc

    30,900       2,301  

Raymond James Financial Inc

    4,577       502  

S&P Global Inc

    19,524       7,335  

State Street Corp

    74,976       6,398  

Stifel Financial Corp

    10,097       742  

Synchrony Financial

    214,707       9,185  

Travelers Cos Inc/The

    19,952       3,428  

Unum Group

    121,200       3,384  

US Bancorp

    109,094       6,168  

W R Berkley Corp

    11,447       1,034  

Wells Fargo & Co

    67,618       3,609  

Willis Towers Watson PLC

    42,103       9,360  
                 
              198,880  

Health Care — 13.8%

        

Abbott Laboratories

    53,548       6,459  

ABIOMED Inc *

     7,700       2,393  

Agilent Technologies Inc

    14,700       1,916  

Align Technology Inc *

     440       225  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

AmerisourceBergen Corp, Cl A

    43,998     $ 6,271  

Amgen Inc

    28,513       6,458  

AMN Healthcare Services Inc *

     10,231       1,086  

Anthem Inc

    11,630       5,255  

Baxter International Inc

    92,582       7,867  

BioMarin Pharmaceutical Inc *

     20,200       1,578  

Bio-Rad Laboratories Inc, Cl A *

     6,816       4,266  

Bruker Corp

    21,500       1,513  

Centene Corp *

     55,700       4,602  

Chemed Corp

    5,731       2,741  

Cigna Corp

    1,858       442  

CVS Health Corp

    143,206       14,843  

Danaher Corp

    2,631       722  

DENTSPLY SIRONA Inc

    145,722       7,889  

Dexcom Inc *

     1,178       487  

Elanco Animal Health Inc *

     16,078       457  

Eli Lilly & Co

    18,147       4,536  

Gilead Sciences Inc

    29,086       1,757  

HCA Healthcare Inc

    26,232       6,566  

Humana Inc

    23,620       10,259  

Illumina Inc *

     279       91  

Johnson & Johnson

    112,958       18,589  

Masimo Corp *

     2,024       319  

McKesson Corp

    12,842       3,531  

Medtronic PLC

    79,953       8,394  

Merck & Co Inc

    32,677       2,502  

Mettler-Toledo International Inc *

     4,396       6,193  

Moderna Inc *

     1,534       236  

Molina Healthcare Inc *

     7,672       2,354  

Neurocrine Biosciences Inc *

     21,800       1,959  

Perrigo Co PLC

    58,835       2,090  

Pfizer Inc

    167,216       7,849  

Seagen Inc *

     4,444       573  

STERIS PLC

    9,949       2,388  

Tandem Diabetes Care Inc *

     2,200       248  

Tenet Healthcare Corp *

     6,907       594  

Thermo Fisher Scientific Inc

    11,543       6,279  

United Therapeutics Corp *

     8,500       1,413  

UnitedHealth Group Inc

    68,987       32,829  

Vertex Pharmaceuticals Inc *

     434       100  

Viatris Inc, Cl W *

     59,518       655  

Zimmer Biomet Holdings Inc

    68,920       8,766  

Zoetis Inc, Cl A

    32,778       6,347  
                 
              214,887  

Industrials — 10.0%

        

3M Co

    8,143       1,210  

AMERCO *

     3,677       2,124  

Boeing Co/The *

     5,360       1,101  

Booz Allen Hamilton Holding Corp, Cl A

    115,783       9,343  

Builders FirstSource Inc *

     13,709       1,020  

Carlisle Cos Inc

    8,363       1,985  

 

 

 

8

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Disciplined Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Caterpillar Inc

    30,006     $ 5,629  

Cintas Corp

    590       221  

CSX Corp

    34,511       1,170  

Deere & Co

    21,565       7,764  

Delta Air Lines Inc *

     28,299       1,130  

Dover Corp

    45,045       7,066  

Emerson Electric Co

    75,568       7,022  

Equifax Inc

    1,381       302  

Expeditors International of Washington Inc

    38,427       3,972  

Fastenal Co

    30,920       1,591  

FedEx Corp

    10,080       2,240  

General Dynamics Corp

    3,794       889  

General Electric Co

    57,723       5,513  

Honeywell International Inc

    53,626       10,176  

IDEX Corp

    26,339       5,054  

Ingersoll Rand Inc

    120,238       6,074  

Lockheed Martin Corp

    487       211  

ManpowerGroup Inc

    22,300       2,370  

Oshkosh Corp

    25,000       2,776  

Otis Worldwide Corp

    48,857       3,827  

PACCAR Inc

    16,740       1,537  

Parker-Hannifin Corp

    26,694       7,912  

Rockwell Automation Inc

    15,671       4,178  

Snap-on Inc

    9,507       1,998  

Southwest Airlines Co *

     54,246       2,376  

Stanley Black & Decker Inc

    66,787       10,866  

Textron Inc

    14,912       1,091  

UFP Industries Inc

    11,967       1,026  

Union Pacific Corp

    29,096       7,156  

United Parcel Service Inc, Cl B

    27,082       5,699  

United Rentals Inc *

     10,890       3,502  

Vertiv Holdings Co, Cl A

    181,315       2,361  

Waste Connections Inc

    37,197       4,593  

Watsco Inc

    6,396       1,746  

WESCO International Inc *

     2,340       285  

WW Grainger Inc

    15,664       7,473  
                 
              155,579  

Information Technology — 22.7%

        

Accenture PLC, Cl A

    20,388       6,443  

Advanced Micro Devices Inc *

     71,566       8,827  

Anaplan Inc *

     5,600       265  

Apple Inc

    484,052       79,927  

Applied Materials Inc

    38,100       5,113  

Arista Networks Inc *

     14,816       1,818  

Arrow Electronics Inc *

     1,888       230  

Autodesk Inc *

     14,400       3,171  

Automatic Data Processing Inc

    42,234       8,634  

Broadcom Inc

    21,348       12,541  

Broadridge Financial Solutions Inc

    21,225       3,103  

Cadence Design Systems Inc *

     29,799       4,512  

CDW Corp/DE

    24,291       4,189  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Cisco Systems Inc/Delaware

    169,769     $ 9,468  

DocuSign Inc, Cl A *

     29,600       3,506  

EPAM Systems Inc *

     4,738       984  

Fortinet Inc *

     3,056       1,053  

Gartner Inc *

     1,093       307  

Global Payments Inc

    105,532       14,076  

Hewlett Packard Enterprise Co

    34,843       555  

HP Inc

    19,704       677  

Intel Corp

    74,319       3,545  

International Business Machines Corp

    8,298       1,017  

Intuit Inc

    14,163       6,719  

Juniper Networks Inc

    17,361       587  

Keysight Technologies Inc *

     15,135       2,382  

KLA Corp

    28,286       9,858  

Lam Research Corp

    5,295       2,972  

Manhattan Associates Inc *

     2,462       329  

Mastercard Inc, Cl A

    12,205       4,404  

Microchip Technology Inc

    74,364       5,230  

Micron Technology Inc

    19,486       1,731  

Microsoft Corp

    230,924       68,998  

Monolithic Power Systems Inc

    5,600       2,569  

Motorola Solutions Inc

    52,632       11,602  

NetApp Inc

    13,104       1,027  

NVIDIA Corp

    76,781       18,723  

NXP Semiconductors NV

    46,049       8,755  

Oracle Corp

    40,267       3,059  

Paychex Inc

    6,636       790  

PayPal Holdings Inc *

     16,833       1,884  

QUALCOMM Inc

    15,928       2,739  

RingCentral Inc, Cl A *

     1,210       158  

salesforce.com inc *

     5,830       1,227  

Seagate Technology Holdings PLC

    1,030       106  

ServiceNow Inc *

     1,555       902  

Silicon Laboratories Inc *

     14,800       2,275  

Synopsys Inc *

     14,962       4,674  

Texas Instruments Inc

    13,701       2,329  

Visa Inc, Cl A

    67,239       14,532  

VMware Inc, Cl A *

     6,523       765  

WEX Inc *

     1,709       288  

Workday Inc, Cl A *

     3,949       905  
                 
              356,480  

Materials — 4.6%

        

Air Products and Chemicals Inc

    12,323       2,912  

Avery Dennison Corp

    39,475       6,956  

Celanese Corp, Cl A

    8,006       1,115  

CF Industries Holdings Inc

    27,395       2,224  

Corteva Inc

    29,461       1,533  

Crown Holdings Inc

    34,640       4,249  

Dow Inc

    64,404       3,797  

DuPont de Nemours Inc

    28,100       2,174  

Eastman Chemical Co

    53,435       6,331  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

9

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Disciplined Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Freeport-McMoRan Inc, Cl B

    69,316     $ 3,254  

Huntsman Corp

    37,815       1,529  

Linde PLC

    1,836       538  

Louisiana-Pacific Corp

    300       22  

Mosaic Co/The

    71,245       3,735  

Packaging Corp of America

    15,758       2,320  

PPG Industries Inc

    72,448       9,668  

Reliance Steel & Aluminum Co

    21,064       4,021  

Sealed Air Corp

    4,400       295  

Sherwin-Williams Co/The

    18,133       4,771  

Vulcan Materials Co

    48,179       8,742  

Westlake Corp

    16,517       1,822  
                 
              72,008  

Real Estate — 3.6%

        

American Tower Corp, Cl A ‡

     17,093       3,878  

AvalonBay Communities Inc ‡

     8,724       2,082  

Brixmor Property Group Inc ‡

     29,200       734  

Camden Property Trust ‡

     14,900       2,460  

CBRE Group Inc, Cl A *

     16,526       1,601  

Crown Castle International Corp ‡

     61,435       10,234  

Equinix Inc ‡

     3,386       2,403  

Equity Residential ‡

     28,638       2,443  

Extra Space Storage Inc ‡

     40,946       7,704  

Lamar Advertising Co, Cl A ‡

     25,200       2,748  

Life Storage Inc ‡

     1,400       177  

Prologis Inc ‡

     45,823       6,683  

Public Storage ‡

     13,148       4,668  

SBA Communications Corp, Cl A ‡

     13,215       4,009  

Simon Property Group Inc ‡

     17,800       2,449  

Weyerhaeuser Co ‡

     58,905       2,290  
                 
              56,563  

Utilities — 2.6%

        

AES Corp/The

    161,600       3,431  

Ameren Corp

    9,415       809  

CenterPoint Energy Inc

    255,797       6,996  

Constellation Energy Corp

    27,103       1,246  

DTE Energy Co

    30,079       3,657  

Duke Energy Corp

    40,300       4,046  

Entergy Corp

    1,500       158  

Exelon Corp

    83,500       3,554  

FirstEnergy Corp

    100,300       4,198  

National Fuel Gas Co

    18,945       1,179  

PPL Corp

    143,857       3,765  

Southern Co/The

    73,100       4,735  

UGI Corp

    34,500       1,326  

Vistra Corp

    53,402       1,219  
                 
              40,319  

Total Common Stock

               

(Cost $1,177,281) ($ Thousands)

             1,425,911  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

CASH EQUIVALENT — 5.6%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     86,805,876     $ 86,806  
                 

Total Cash Equivalent

                

(Cost $86,806) ($ Thousands)

             86,806  
                 
                 

Total Investments in Securities — 96.8%

                

(Cost $1,264,087) ($ Thousands)

  $ 1,512,717  
                 
                 
                 

 

 

 

10

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Disciplined Equity Fund (Continued)

 

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     73       Mar-2022     $ 16,302     $ 15,943     $ (359 )
                                         

 

A list of the open OTC Swap agreement held by the Fund at February 28, 2022, is as follows:

 

Total Return Swaps

Counterparty

  

Reference Entity/ Obligation

    

Fund Pays

    

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional
Amount
(Thousands)

    

Value
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

Bank of America Merrill Lynch

  

United States Custom Basket of Securities

       1 Month + 0.15%       Asset Returns       Monthly       02/28/2023       USD       98,348     $ (1,249 )   $ (1,249 )

 

The following table represents the individual stock exposures comprising the Net Long Custom Basket Total Return Swap as of February 28, 2022:

 

United States Custom Basket of Long Securities

 

 

Shares

 

Description

  

Currency

    

Notional Amount (Thousands)

    

Net Unrealized Appreciation (Depreciation) (Thousands)

    

Fair Value (Thousands)

    

Percentage Value of Underlying Investment

  
    9,500  

Agilon Health Inc

    USD     $ 208     $ (16 )   $ (16 )     0.5 %
    18,683  

Airbnb Inc

    USD       3,364       (529 )     (529 )     17.6  
    70,814  

Alaska Air Group Inc

    USD       4,242       (272 )     (272 )     9.1  
    71,337  

Albertsons Companies Inc

    USD       2,080       (1 )     (1 )     -  
    6,642  

Alphabet Inc

    USD       18,142       (204 )     (204 )     6.8  
    32,300  

Altria Group Inc

    USD       1,625       31       31       (1.0 )
    5,990  

Amazon.Com Inc

    USD       18,750       (356 )     (356 )     11.8  
    689  

Anthem Inc

    USD       310       1       1       -  
    -  

Avangrid Inc

    USD       -       1       1       -  
    1,664  

Booking Holdings Inc

    USD       4,311       (697 )     (697 )     23.2  
    14,200  

Cadence Design Systems Inc

    USD       2,074       76       76       (2.5 )
    1,600  

Capital One Financial Corp

    USD       254       (8 )     (8 )     0.3  
    7,627  

Charter Communications Inc

    USD       4,648       (59 )     (59 )     2.0  
    37,200  

Colgate-Palmolive Co

    USD       2,923       (61 )     (61 )     2.0  
    15,300  

Corteva Inc

    USD       779       19       19       (0.6 )
    7,863  

Crowdstrike Holdings Inc

    USD       1,488       46       46       (1.5 )
    18,171  

Doximity Inc

    USD       1,041       74       74       (2.5 )
    -  

Draftkings Inc

    USD       -       147       147       (4.9 )
    138,243  

Dropbox Inc

    USD       3,453       (317 )     (317 )     10.5  
    2,400  

Elastic N.V.

    USD       223       (15 )     (15 )     0.5  
    9,150  

Equifax Inc

    USD       2,029       (28 )     (28 )     0.9  
    21,776  

Expedia Group Inc

    USD       4,615       (343 )     (343 )     11.5  
    -  

Fastly Inc

    USD       -       150       150       (5.0 )
    203,000  

First Horizon Corporation

    USD       3,762       1,004       1,004       (33.6 )
    8,400  

General Mills Inc

    USD       563       4       4       (0.1 )
    45,044  

Gilead Sciences Inc

    USD       2,763       (42 )     (42 )     1.4  
    19,453  

Healthcare Trust Of America Inc

    USD       603       (32 )     (32 )     1.1  
    255,900  

Hewlett Packard Enterprise Co

    USD       4,448       (374 )     (374 )     12.5  
    14,638  

Huntington Ingalls Industries Inc

    USD       2,637       372       372       (12.4 )
    1,400  

Iac/Interactivecorp

    USD       189       (28 )     (28 )     0.9  
    29,700  

Incyte Corp

    USD       2,005       23       23       (0.8 )
    10,026  

Lennox International Inc

    USD       2,658       17       17       (0.6 )
    30,000  

Marsh & Mclennan Cos Inc

    USD       4,606       55       55       (1.8 )
    8,624  

Mckesson Corp

    USD       2,362       13       13       (0.4 )
    6,314  

Mongodb Inc

    USD       2,815       (404 )     (404 )     13.5  
    2,184  

Msci Inc

    USD       1,193       (96 )     (96 )     3.2  
    53,900  

News Corp

    USD       1,247       (44 )     (44 )     1.5  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

11

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Disciplined Equity Fund (Continued)

 

 
 

Shares

 

Description

  

Currency

    

Notional Amount (Thousands)

    

Net Unrealized Appreciation (Depreciation) (Thousands)

    

Fair Value (Thousands)

    

Percentage Value of Underlying Investment

  
    33,200  

Nike Inc

    USD       4,833       (301 )     (301 )     10.1  
    51,100  

Nrg Energy Inc

    USD       1,990       (57 )     (57 )     1.9  
    4,500  

Oneok Inc

    USD       281       13       13       (0.4 )
    1,870  

O'Reilly Automotive Inc

    USD       1,262       (48 )     (48 )     1.6  
    7,271  

Palo Alto Networks Inc

    USD       3,809       512       512       (17.1 )
    25,300  

Penske Automotive Group Inc

    USD       2,542       (44 )     (44 )     1.5  
    54,800  

Philip Morris International Inc

    USD       6,010       (472 )     (472 )     15.8  
    104,890  

Pinterest Inc

    USD       2,715       91       91       (3.0 )
    9,126  

Post Holdings Inc

    USD       998       (41 )     (41 )     1.4  
    13,421  

Public Storage

    USD       4,719       45       45       (1.5 )
    131,000  

Pure Storage Inc

    USD       3,576       (179 )     (179 )     6.0  
    -  

Qualcomm Inc

    USD       -       (8 )     (8 )     0.3  
    24,000  

Rapid7 Inc

    USD       2,351       132       132       (4.4 )
    -  

Redfin Corporation

    USD       -       96       96       (3.2 )
    27,338  

Reinsurance Group America Inc

    USD       3,164       (131 )     (131 )     4.4  
    16,583  

Reliance Steel And Aluminum Co

    USD       2,764       412       412       (13.8 )
    32,300  

Starbucks Corp

    USD       3,053       (73 )     (73 )     2.4  
    57,400  

Synovus Financial Corp

    USD       3,066       (44 )     (44 )     1.5  
    57,800  

Targa Resources Corp

    USD       3,609       169       169       (5.7 )
    32,161  

Teradyne Inc

    USD       3,770       25       25       (0.8 )
    10,220  

Tesla Inc

    USD       9,427       (533 )     (533 )     17.8  
    51,900  

Textron Inc

    USD       3,661       134       134       (4.5 )
    37,373  

The Hartford Financial Services Group Inc

    USD       2,652       (41 )     (41 )     1.4  
    5,000  

The Walt Disney Company

    USD       774       (31 )     (31 )     1.0  
    -  

Trupanion

    USD       -       20       20       (0.7 )
    25,000  

United Parcel Service Inc

    USD       5,432       (134 )     (134 )     4.5  
    14,400  

Universal Health Services Inc

    USD       1,946       129       129       (4.3 )
    4,600  

Vail Resorts Inc

    USD       1,277       (80 )     (80 )     2.7  
    6,100  

Veeva Systems Inc

    USD       1,402       (5 )     (5 )     0.2  
    8,364  

Westlake Corporation

    USD       886       68       68       (2.3 )
    -  

Westrock Company

    USD       -       10       10       (0.3 )
    9,795  

Zoominfo Technologies Inc

    USD       576       (40 )     (40 )     1.3  
    14,777  

Zscaler Inc

    USD       4,224       (690 )     (690 )     23.1  
                    $ 195,179     $ (2,989 )   $ (2,989 )     100.0 %

 

The following table represents the individual stock exposures comprising the Net Short Custom Basket Total Return Swap as of February 28, 2022:

 

United States Custom Basket of Short Securities

 

 

Shares

 

Description

  

Currency

    

Notional Amount (Thousands)

    

Net Unrealized Appreciation (Depreciation) (Thousands)

    

Fair Value (Thousands)

    

Percentage Value of Underlying Investment

  
    (4,300 )

Advanced Drainage Systems Inc

    USD     $ (522 )   $ 19     $ 19       1.1 %
    (4,500 )

Affirm Holdings Inc

    USD       (202 )     13       13       0.7  
    (3,200 )

Agree Realty Corp

    USD       (201 )     (5 )     (5 )     (0.3 )
    (71,629 )

Amc Entertainment Holdings Inc

    USD       (1,395 )     45       45       2.6  
    (140,100 )

Amcor Plc

    USD       (1,655 )     8       8       0.5  
    (1,000 )

American Water Works Co Inc

    USD       (147 )     (5 )     (5 )     (0.3 )
    (76,800 )

Americold Realty Trust Shs Of Benef Interest

    USD       (2,170 )     118       118       6.8  
    (19,200 )

Ameris Bancorp

    USD       (983 )     33       33       1.9  
    (61,900 )

Angi Inc

    USD       (548 )     121       121       7.0  
    (22,000 )

Apollo Global Management Inc

    USD       (1,487 )     42       42       2.4  
    (8,700 )

Asana Inc

    USD       (637 )     160       160       9.2  
    (18,312 )

Atmos Energy Corp

    USD       (1,932 )     (91 )     (91 )     (5.2 )
    (9,100 )

Beam Therapeutics Inc

    USD       (672 )     (41 )     (41 )     (2.4 )
    (20,600 )

Beyond Meat Inc

    USD       (1,277 )     312       312       17.9  

 

 

 

12

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Disciplined Equity Fund (Continued)

 

 
 

Shares

 

Description

  

Currency

    

Notional Amount (Thousands)

    

Net Unrealized Appreciation (Depreciation) (Thousands)

    

Fair Value (Thousands)

    

Percentage Value of Underlying Investment

  
    (9,113 )

Bill.Com Holdings Inc

    USD       (2,312 )     144       144       8.3  
    (8,200 )

Black Knight Inc

    USD       (520 )     59       59       3.4  
    (21,100 )

Blackstone Mortgage Trust Inc

    USD       (673 )     2       2       0.1  
    (125,200 )

Blue Owl Capital Inc

    USD       (1,610 )     32       32       1.8  
    (2,400 )

Carmax Inc

    USD       (272 )     10       10       0.6  
    (39,100 )

Ccc Intelligent Solutions Holdings Inc

    USD       (413 )     (12 )     (12 )     (0.7 )
    (2,900 )

Celsius Holdings Inc

    USD       (180 )     (5 )     (5 )     (0.3 )
    (8,700 )

Cerevel Therapeutics Holdings Inc

    USD       (262 )     32       32       1.8  
    (8,200 )

Chart Industries Inc

    USD       (999 )     (185 )     (185 )     (10.6 )
    (4,900 )

Civitas Resources Inc

    USD       (240 )     (8 )     (8 )     (0.5 )
    (26,100 )

Clearway Energy Inc

    USD       (854 )     (27 )     (27 )     (1.6 )
    (43,071 )

Cleveland-Cliffs Inc

    USD       (852 )     (87 )     (87 )     (5.0 )
    (11,100 )

Element Solutions Inc

    USD       (270 )     (4 )     (4 )     (0.2 )
    (2,600 )

Ensign Group Inc

    USD       (209 )     (9 )     (9 )     (0.5 )
    (2,400 )

Envestnet Inc

    USD       (165 )     (14 )     (14 )     (0.8 )
    (5,200 )

Erie Indemnity Co

    USD       (971 )     61       61       3.5  
    (39,100 )

Essential Utilities Inc

    USD       (1,770 )     (82 )     (82 )     (4.7 )
    (25,800 )

Eversource Energy

    USD       (2,120 )     9       9       0.5  
    (8,900 )

Fabrinet Bearer

    USD       (908 )     17       17       1.0  
    (2,634 )

First Citizens Bancshares Inc

    USD       (2,083 )     5       5       0.3  
    (24,300 )

First Financial Bankshares Inc

    USD       (1,164 )     (1 )     (1 )     (0.1 )
    (2,920 )

Five Below Inc

    USD       (483 )     6       6       0.3  
    (10,979 )

Gamestop Corp New

    USD       (1,385 )     28       28       1.6  
    (42,800 )

Gap Inc

    USD       (663 )     40       40       2.3  
    (21,200 )

Glacier Bancorp Inc

    USD       (1,147 )     (27 )     (27 )     (1.6 )
    (1,600 )

Goosehead Insurance Inc

    USD       (160 )     20       20       1.1  
    (13,413 )

Guardant Health Inc

    USD       (925 )     36       36       2.1  
    (7,500 )

Hamilton Lane Incorporated

    USD       (603 )     17       17       1.0  
    (5,200 )

Hannon Armstrong Sustainable Infrastructure Capital

    USD       (213 )     (33 )     (33 )     (1.9 )
    (5,000 )

Highwoods Properties Inc

    USD       (216 )     (4 )     (4 )     (0.2 )
    (8,000 )

Hormel Foods Corp

    USD       (378 )     (3 )     (3 )     (0.2 )
    (9,195 )

Howmet Aerospace Inc

    USD       (322 )     (7 )     (7 )     (0.4 )
    (1,800 )

Idacorp Inc

    USD       (187 )     (2 )     (2 )     (0.1 )
    (6,300 )

Intellia Therapeutics Inc

    USD       (621 )     (2 )     (2 )     (0.1 )
    (7,000 )

Itt Inc

    USD       (619 )     4       4       0.2  
    (18,200 )

Jbg Smith Properties

    USD       (507 )     22       22       1.3  
    (3,600 )

Karuna Therapeutics Inc

    USD       (403 )     25       25       1.4  
    (14,400 )

Kb Home

    USD       (567 )     9       9       0.5  
    (27,500 )

Kilroy Realty Corporation

    USD       (1,919 )     (51 )     (51 )     (2.9 )
    (5,000 )

Kinsale Capital Group Inc

    USD       (970 )     (79 )     (79 )     (4.5 )
    (2,500 )

Lancaster Colony Corp

    USD       (397 )     (23 )     (23 )     (1.3 )
    (36,000 )

Leggett & Platt Inc

    USD       (1,410 )     75       75       4.3  
    (14,200 )

Leidos Holdings Inc

    USD       (1,200 )     (246 )     (246 )     (14.1 )
    (15,600 )

Liberty Broadband Corp

    USD       (2,390 )     101       101       5.8  
    (85,000 )

Marqeta Inc

    USD       (1,017 )     19       19       1.1  
    (4,900 )

Mirati Therapeutics Inc

    USD       (526 )     94       94       5.4  
    (11,100 )

Natera Inc

    USD       (778 )     48       48       2.8  
    (20,600 )

New Fortress Energy Inc

    USD       (504 )     (64 )     (64 )     (3.7 )
    (16,820 )

Newell Brands Inc

    USD       (437 )     34       34       2.0  
    (50,800 )

Oak Street Health Inc

    USD       (929 )     40       40       2.3  
    (52,800 )

Oge Energy Corp

    USD       (1,890 )     (93 )     (93 )     (5.3 )
    (51,200 )

Omega Healthcare Investors Inc

    USD       (1,462 )     20       20       1.1  
    (211,932 )

Opendoor Technologies Inc

    USD       (2,382 )     612       612       35.2  
    (2,300 )

Ormat Technologies Inc

    USD       (157 )     (7 )     (7 )     (0.4 )
    (53,600 )

Owl Rock Capital Corp

    USD       (788 )     (18 )     (18 )     (1.0 )
    (17,400 )

Packaging Corp Of America

    USD       (2,576 )     15       15       0.9  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

13

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Disciplined Equity Fund (Continued)

 

 
 

Shares

 

Description

  

Currency

    

Notional Amount (Thousands)

    

Net Unrealized Appreciation (Depreciation) (Thousands)

    

Fair Value (Thousands)

    

Percentage Value of Underlying Investment

  
    (73,516 )

Plug Power Inc

    USD       (1,747 )     (55 )     (55 )     (3.2 )
    (3,600 )

Q2 Holdings Inc

    USD       (238 )     4       4       0.2  
    (147,696 )

Quantumscape Corporation

    USD       (2,372 )     (12 )     (12 )     (0.7 )
    (22,100 )

Reynolds Consumer Products Inc

    USD       (641 )     (22 )     (22 )     (1.3 )
    (4,875 )

RH

    USD       (2,079 )     120       120       6.9  
    (133,586 )

Robinhood Markets Inc

    USD       (1,480 )     (124 )     (124 )     (7.1 )
    (8,700 )

Royal Gold Inc

    USD       (948 )     (107 )     (107 )     (6.1 )
    (5,900 )

Safehold Inc

    USD       (384 )     21       21       1.2  
    (33,800 )

Sentinelone Inc

    USD       (1,554 )     152       152       8.7  
    (8,500 )

Servisfirst Bancshares Inc

    USD       (730 )     (13 )     (13 )     (0.7 )
    (200,500 )

Sofi Technologies Inc

    USD       (2,522 )     226       226       13.0  
    (16,377 )

Southstate Corporation

    USD       (1,482 )     1       1       0.1  
    (3,300 )

Sps Commerce Inc

    USD       (432 )     3       3       0.2  
    (75,000 )

Sunrun Inc

    USD       (1,846 )     (200 )     (200 )     (11.5 )
    (3,762 )

Svb Financial Group

    USD       (2,427 )     147       147       8.4  
    (33,100 )

The Wendy'S Co

    USD       (769 )     16       16       0.9  
    (28,000 )

Toast Inc

    USD       (787 )     210       210       12.1  
    (23,400 )

Tripadvisor Inc

    USD       (704 )     108       108       6.2  
    (29,900 )

Tusimple Holdings Inc

    USD       (534 )     13       13       0.7  
    (7,550 )

Upstart Holdings Inc

    USD       (824 )     (454 )     (454 )     (26.1 )
    (224,000 )

Uwm Holdings Corporation

    USD       (1,035 )     62       62       3.6  
    (22,400 )

Vf Corp

    USD       (1,379 )     79       79       4.5  
    (24,700 )

Vornado Realty Trust

    USD       (1,076 )     7       7       0.4  
    (15,800 )

Western Alliance Bancorp

    USD       (1,549 )     62       62       3.6  
    (23,556 )

Wolfspeed Inc

    USD       (2,520 )     100       100       5.7  
    (14,750 )

Zillow Group Inc

    USD       (961 )     124       124       7.1  
                    $ (96,826 )   $ 1,740     $ 1,740       100.0 %

 

 

 

Percentages are based on Net Assets of $1,562,022 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

 

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

Ltd. — Limited

MSCI — Morgan Stanley Capital International

MXN — Mexican Peso

OTC — Over The Counter

PLC — Public Limited Company

S&P— Standard & Poor's

USD — U.S. Dollar

 

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Common Stock

     1,425,911       –       –       1,425,911  

Cash Equivalent

     86,806       –       –       86,806  

Total Investments in Securities

     1,512,717       –       –       1,512,717  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Depreciation

     (359 )     –       –       (359 )

OTC Swaps

                                

Total Return Swaps*

                                

Unrealized Depreciation

     –       (1,249 )     –       (1,249 )

Total Other Financial Instruments

     (359 )     (1,249 )     –       (1,608 )

 

*Futures and swap contracts are valued at the unrealized depreciation on the instrument.

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

The following is a summary of the transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

 

 

14

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Disciplined Equity Fund (Concluded)

 

 

Security Description

 

Value 5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 02/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Liquidity Fund, L.P.

   $ —     $ 3,789     $ (3,789 )   $ —     $ —     $ —       —     $ —     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     81,714       741,759       (736,668 )     1       —       86,806       86,805,876       6       —  

Totals

   $ 81,714     $ 745,548     $ (740,457 )   $ 1     $ -     $ 86,806             $ 6     $ —  

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

15

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Index Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 99.7%
                 

Communication Services — 9.1%

        

Activision Blizzard Inc

    39,556     $ 3,224  

Alphabet Inc, Cl A *

     15,418       41,646  

Alphabet Inc, Cl C *

     14,399       38,846  

Altice USA Inc, Cl A *

     11,900       138  

AT&T Inc

    366,185       8,675  

Cable One Inc

    257       368  

Charter Communications Inc, Cl A *

     6,397       3,850  

Comcast Corp, Cl A

    233,850       10,935  

Discovery Inc, Cl A *

     9,300       261  

Discovery Inc, Cl C *

     16,100       450  

DISH Network Corp, Cl A *

     12,726       407  

Electronic Arts Inc

    14,665       1,908  

Fox Corp

    23,527       956  

IAC/InterActiveCorp *

     3,932       451  

Interpublic Group of Cos Inc/The

    20,345       749  

Liberty Broadband Corp, Cl A *

     1,280       185  

Liberty Broadband Corp, Cl C *

     7,278       1,068  

Liberty Media Corp-Liberty Formula One, Cl A *

     1,600       90  

Liberty Media Corp-Liberty Formula One, Cl C *

     10,200       619  

Liberty Media Corp-Liberty SiriusXM, Cl A *

     4,020       202  

Liberty Media Corp-Liberty SiriusXM, Cl C *

     8,521       429  

Live Nation Entertainment Inc *

     7,100       858  

Loyalty Ventures Inc *

     1,044       25  

Lumen Technologies Inc (A)

     52,206       541  

Madison Square Garden Sports Corp, Cl A *

     1,086       188  

Match Group Inc *

     14,496       1,616  

Meta Platforms Inc, Cl A *

     121,200       25,577  

Netflix Inc *

     22,200       8,758  

New York Times Co/The, Cl A

    8,800       387  

News Corp

    6,900       155  

News Corp, Cl A

    19,946       445  

Nexstar Media Group Inc, Cl A

    1,900       352  

Omnicom Group Inc

    10,744       901  

Paramount Global, Cl A

    715       24  

Paramount Global, Cl B

    30,086       921  

Pinterest Inc, Cl A *

     29,300       784  

Playtika Holding Corp *

     4,700       97  

Roku Inc, Cl A *

     5,800       809  

Sirius XM Holdings Inc (A)

     46,800       288  

Skillz Inc, Cl A *(A)

     16,100       50  

Spotify Technology SA *

     7,000       1,093  

Take-Two Interactive Software Inc *

     5,800       940  

T-Mobile US Inc *

     30,392       3,745  

TripAdvisor Inc *

     5,767       147  

Twitter Inc *

     39,360       1,399  

Verizon Communications Inc

    212,476       11,403  

Vimeo Inc *

     7,357       96  

Walt Disney Co/The *

     93,050       13,814  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

World Wrestling Entertainment Inc, Cl A

    2,200     $ 130  

Zynga Inc, Cl A *

     52,600       478  
                 
              191,478  

Consumer Discretionary — 11.7%

        

Advance Auto Parts Inc

    3,308       676  

Amazon.com Inc *

     22,252       68,342  

Aptiv PLC *

     13,800       1,786  

Aramark

    11,600       429  

AutoNation Inc *

     2,132       244  

AutoZone Inc *

     1,107       2,063  

Bath & Body Works Inc

    11,757       627  

Best Buy Co Inc

    12,647       1,222  

Booking Holdings Inc *

     2,132       4,631  

BorgWarner Inc

    12,264       503  

Boyd Gaming Corp

    4,500       319  

Bright Horizons Family Solutions Inc *

     3,200       418  

Brunswick Corp/DE

    3,900       373  

Burlington Stores Inc *

     3,500       791  

Caesars Entertainment Inc *

     10,500       884  

Capri Holdings Ltd *

     7,400       501  

CarMax Inc *

     8,360       914  

Carnival Corp, Cl A *

     43,600       886  

Carter's Inc

    2,400       232  

Carvana Co, Cl A *

     4,100       617  

Chegg Inc *

     7,900       247  

Chipotle Mexican Grill Inc, Cl A *

     1,419       2,162  

Choice Hotels International Inc

    1,884       272  

Churchill Downs Inc

    2,000       482  

Columbia Sportswear Co

    2,000       185  

Darden Restaurants Inc

    6,668       968  

Deckers Outdoor Corp *

     1,400       404  

Dick's Sporting Goods Inc

    3,258       342  

Dollar General Corp

    11,800       2,340  

Dollar Tree Inc *

     11,434       1,625  

Domino's Pizza Inc

    1,900       821  

DoorDash Inc, Cl A *

     7,700       808  

DR Horton Inc

    16,768       1,432  

DraftKings Inc, Cl A *(A)

     16,600       393  

eBay Inc

    32,211       1,758  

Etsy Inc *

     6,400       991  

Expedia Group Inc *

     7,422       1,456  

Five Below Inc *

     2,800       458  

Floor & Decor Holdings Inc, Cl A *

     4,800       459  

Foot Locker Inc

    4,169       132  

Ford Motor Co

    201,384       3,536  

Frontdoor Inc *

     4,700       141  

GameStop Corp, Cl A *(A)

     3,200       395  

Gap Inc/The

    11,221       163  

Garmin Ltd

    7,700       850  

General Motors Co *

     70,500       3,294  

Gentex Corp

    12,864       390  

 

 

 

16

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Genuine Parts Co

    7,111     $ 869  

Grand Canyon Education Inc *

     2,300       200  

H&R Block Inc

    9,825       244  

Hanesbrands Inc

    17,772       275  

Harley-Davidson Inc

    7,803       322  

Hasbro Inc

    6,567       637  

Hayward Holdings Inc *

     2,100       38  

Hilton Worldwide Holdings Inc *

     13,833       2,059  

Home Depot Inc/The

    54,533       17,223  

Hyatt Hotels Corp, Cl A *

     2,600       253  

Kohl's Corp

    7,619       424  

Las Vegas Sands Corp *

     16,993       728  

Lear Corp

    3,100       488  

Leggett & Platt Inc

    7,212       267  

Lennar Corp, Cl A

    13,990       1,257  

Lennar Corp, Cl B

    713       54  

Leslie's Inc *

     6,100       130  

Lithia Motors Inc, Cl A

    1,500       511  

LKQ Corp

    13,100       615  

Lowe's Cos Inc

    35,510       7,850  

Lululemon Athletica Inc *

     5,900       1,888  

Marriott International Inc/MD, Cl A *

     13,994       2,381  

Marriott Vacations Worldwide Corp

    2,300       370  

Mattel Inc *

     17,642       441  

McDonald's Corp

    38,280       9,370  

MGM Resorts International

    19,939       883  

Mister Car Wash Inc *

     3,900       63  

Mohawk Industries Inc *

     2,866       404  

Newell Brands Inc

    19,493       463  

NIKE Inc, Cl B

    63,568       8,680  

Nordstrom Inc *

     6,912       143  

Norwegian Cruise Line Holdings Ltd *(A)

     18,900       368  

NVR Inc *

     154       764  

Ollie's Bargain Outlet Holdings Inc *

     3,700       160  

O'Reilly Automotive Inc *

     3,440       2,233  

Peloton Interactive Inc, Cl A *

     13,300       387  

Penn National Gaming Inc *

     8,500       436  

Penske Automotive Group Inc

    1,800       177  

Petco Health & Wellness Co Inc, Cl A *(A)

     3,300       58  

Planet Fitness Inc, Cl A *

     4,300       364  

Polaris Inc (A)

     2,900       352  

Pool Corp

    2,000       917  

PulteGroup Inc

    12,245       608  

PVH Corp

    3,900       382  

QuantumScape Corp, Cl A *(A)

     13,000       210  

Qurate Retail Inc *

     20,930       115  

Ralph Lauren Corp, Cl A

    2,480       327  

RH *

     800       322  

Rivian Automotive Inc, Cl A *(A)

     7,400       500  

Ross Stores Inc

    17,676       1,615  

Royal Caribbean Cruises Ltd *

     11,200       904  

Service Corp International/US

    8,394       511  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Six Flags Entertainment Corp *

     4,400     $ 192  

Skechers USA Inc, Cl A *

     6,100       281  

Starbucks Corp

    60,312       5,536  

Tapestry Inc

    14,367       588  

Target Corp

    24,975       4,989  

Tempur Sealy International Inc

    8,900       294  

Terminix Global Holdings Inc *

     6,000       255  

Tesla Inc *

     41,485       36,110  

Thor Industries Inc

    2,900       262  

TJX Cos Inc/The

    61,716       4,079  

Toll Brothers Inc

    5,051       274  

TopBuild Corp *

     1,800       386  

Tractor Supply Co

    5,800       1,182  

Travel + Leisure Co

    4,768       267  

Ulta Beauty Inc *

     2,752       1,031  

Under Armour Inc, Cl A *

     10,700       191  

Under Armour Inc, Cl C *(A)

     11,321       177  

Vail Resorts Inc

    2,000       521  

VF Corp

    16,468       955  

Victoria's Secret & Co *

     3,852       207  

Vroom Inc *

     6,400       39  

Wayfair Inc, Cl A *(A)

     4,000       564  

Wendy's Co/The

    10,075       229  

Whirlpool Corp

    2,916       587  

Williams-Sonoma Inc

    3,962       574  

Wyndham Hotels & Resorts Inc

    4,468       386  

Wynn Resorts Ltd *

     5,396       467  

YETI Holdings Inc *

     4,700       289  

Yum China Holdings Inc

    21,948       1,142  

Yum! Brands Inc

    15,148       1,857  
                 
              248,113  

Consumer Staples — 5.9%

        

Albertsons Cos Inc, Cl A

    8,200       239  

Altria Group Inc

    94,940       4,870  

Archer-Daniels-Midland Co

    28,579       2,242  

Beyond Meat Inc *(A)

     3,200       150  

Boston Beer Co Inc/The, Cl A *

     500       192  

Brown-Forman Corp, Cl A

    2,200       134  

Brown-Forman Corp, Cl B

    9,417       614  

Bunge Ltd

    7,100       742  

Campbell Soup Co

    9,978       449  

Casey's General Stores Inc

    1,900       357  

Church & Dwight Co Inc

    12,514       1,225  

Clorox Co/The

    6,303       919  

Coca-Cola Co/The

    199,040       12,388  

Colgate-Palmolive Co

    42,650       3,282  

Conagra Brands Inc

    24,176       845  

Constellation Brands Inc, Cl A

    8,031       1,732  

Costco Wholesale Corp

    22,681       11,777  

Coty Inc, Cl A *

     14,922       137  

Darling Ingredients Inc *

     8,300       602  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

17

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Estee Lauder Cos Inc/The, Cl A

    11,708     $ 3,469  

Flowers Foods Inc

    10,325       283  

Freshpet Inc *

     2,200       210  

General Mills Inc

    30,992       2,090  

Grocery Outlet Holding Corp *

     5,000       139  

Hain Celestial Group Inc/The *

     4,800       175  

Herbalife Nutrition Ltd *

     5,700       203  

Hershey Co/The

    7,498       1,517  

Hormel Foods Corp

    14,556       693  

Ingredion Inc

    3,500       311  

J M Smucker Co/The

    5,211       702  

Kellogg Co (A)

     12,703       812  

Keurig Dr Pepper Inc

    36,000       1,392  

Kimberly-Clark Corp

    17,218       2,241  

Kraft Heinz Co/The

    35,502       1,392  

Kroger Co/The

    37,246       1,743  

Lamb Weston Holdings Inc

    7,462       496  

McCormick & Co Inc/MD

    12,686       1,207  

Molson Coors Beverage Co, Cl B

    9,162       478  

Mondelez International Inc, Cl A

    71,506       4,682  

Monster Beverage Corp *

     19,187       1,619  

Olaplex Holdings Inc *

     4,200       70  

PepsiCo Inc

    70,852       11,601  

Philip Morris International Inc

    79,868       8,072  

Pilgrim's Pride Corp *

     2,900       68  

Post Holdings Inc *

     3,100       326  

Procter & Gamble Co/The

    123,354       19,230  

Reynolds Consumer Products Inc

    3,100       92  

Seaboard Corp

    16       62  

Spectrum Brands Holdings Inc

    1,818       169  

Sysco Corp

    26,448       2,304  

Tyson Foods Inc, Cl A

    14,765       1,368  

US Foods Holding Corp *

     11,700       457  

Walgreens Boots Alliance Inc

    37,025       1,707  

Walmart Inc

    73,579       9,945  
                 
              124,221  

Energy — 3.5%

        

Antero Midstream Corp

    18,600       187  

APA Corp

    17,459       622  

Baker Hughes Co, Cl A

    37,740       1,109  

Cheniere Energy Inc

    11,900       1,581  

Chevron Corp

    99,198       14,284  

ConocoPhillips

    67,655       6,418  

Continental Resources Inc/OK (A)

     3,400       188  

Coterra Energy Inc, Cl A

    40,281       940  

Devon Energy Corp

    34,627       2,062  

Diamondback Energy Inc

    9,117       1,259  

DT Midstream Inc

    4,882       259  

EOG Resources Inc

    29,890       3,435  

EQT Corp

    15,419       357  

Exxon Mobil Corp

    217,138       17,028  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Halliburton Co

    45,136     $ 1,513  

Hess Corp

    14,112       1,426  

HollyFrontier Corp *

     7,626       232  

Kinder Morgan Inc

    100,322       1,746  

Marathon Oil Corp

    40,176       906  

Marathon Petroleum Corp

    31,319       2,439  

New Fortress Energy Inc, Cl A

    1,500       41  

NOV Inc

    19,280       331  

Occidental Petroleum Corp

    43,519       1,903  

ONEOK Inc

    22,858       1,493  

Phillips 66

    22,488       1,894  

Pioneer Natural Resources Co

    11,032       2,643  

Schlumberger NV

    71,455       2,804  

Targa Resources Corp

    11,700       765  

Texas Pacific Land Corp

    300       357  

Valero Energy Corp

    21,036       1,757  

Williams Cos Inc/The

    62,496       1,955  
                 
              73,934  

Financials — 11.9%

        

Affiliated Managers Group Inc

    1,820       252  

Aflac Inc

    33,712       2,060  

AGNC Investment Corp ‡

     26,859       347  

Alleghany Corp *

     699       463  

Allstate Corp/The

    14,725       1,802  

Ally Financial Inc

    17,300       863  

American Express Co

    32,172       6,259  

American Financial Group Inc/OH

    3,514       476  

American International Group Inc

    42,623       2,610  

Ameriprise Financial Inc

    5,680       1,703  

Annaly Capital Management Inc ‡

     71,611       498  

Aon PLC, Cl A

    11,078       3,236  

Apollo Global Management Inc

    18,519       1,209  

Arch Capital Group Ltd *

     19,000       895  

Ares Management Corp, Cl A

    7,600       616  

Arthur J Gallagher & Co

    10,404       1,646  

Assurant Inc

    2,893       491  

Assured Guaranty Ltd

    3,700       229  

Axis Capital Holdings Ltd

    3,800       208  

Bank of America Corp

    369,263       16,321  

Bank of Hawaii Corp

    2,282       197  

Bank of New York Mellon Corp/The

    39,009       2,073  

Bank OZK

    6,400       301  

Berkshire Hathaway Inc, Cl B *

     94,000       30,216  

BlackRock Inc, Cl A

    7,285       5,419  

Blackstone Inc, Cl A

    35,100       4,474  

BOK Financial Corp

    1,775       182  

Brighthouse Financial Inc *

     4,028       210  

Brown & Brown Inc

    12,148       821  

Capital One Financial Corp

    21,825       3,345  

Carlyle Group Inc/The

    8,300       389  

Cboe Global Markets Inc

    5,500       645  

 

 

 

18

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Charles Schwab Corp/The

    77,140     $ 6,515  

Chubb Ltd

    22,091       4,499  

Cincinnati Financial Corp

    7,586       931  

Citigroup Inc

    101,604       6,018  

Citizens Financial Group Inc

    21,600       1,132  

CME Group Inc, Cl A

    18,370       4,345  

CNA Financial Corp

    1,500       69  

Comerica Inc

    6,753       645  

Commerce Bancshares Inc/MO

    5,747       413  

Credit Acceptance Corp *(A)

     400       220  

Cullen/Frost Bankers Inc

    3,068       432  

Discover Financial Services

    14,989       1,850  

East West Bancorp Inc

    7,200       630  

Equitable Holdings Inc

    18,800       614  

Erie Indemnity Co, Cl A

    1,419       248  

Evercore Inc, Cl A

    2,000       254  

Everest Re Group Ltd

    2,000       597  

FactSet Research Systems Inc

    1,925       782  

Fidelity National Financial Inc

    13,952       665  

Fifth Third Bancorp

    34,882       1,669  

First American Financial Corp

    5,400       362  

First Citizens BancShares Inc/NC, Cl A

    600       473  

First Hawaiian Inc

    6,600       192  

First Horizon Corp

    27,456       645  

First Republic Bank/CA

    9,200       1,594  

FNB Corp/PA

    17,100       230  

Franklin Resources Inc

    14,749       439  

Globe Life Inc

    5,087       514  

GoHealth Inc, Cl A *

     3,000       7  

Goldman Sachs Group Inc/The

    16,875       5,759  

Hanover Insurance Group Inc/The

    1,993       278  

Hartford Financial Services Group Inc/The

    17,410       1,210  

Huntington Bancshares Inc/OH

    74,282       1,153  

Interactive Brokers Group Inc, Cl A

    4,100       271  

Intercontinental Exchange Inc

    28,600       3,664  

Invesco Ltd

    17,600       374  

Janus Henderson Group PLC

    9,400       316  

Jefferies Financial Group Inc

    11,706       416  

JPMorgan Chase & Co

    150,570       21,351  

Kemper Corp

    3,300       176  

KeyCorp

    46,451       1,165  

KKR & Co Inc

    28,700       1,725  

Lazard Ltd, Cl A (B)

     4,100       142  

Lemonade Inc *(A)

     2,100       53  

Lincoln National Corp

    9,288       626  

Loews Corp

    10,736       659  

LPL Financial Holdings Inc

    4,100       742  

M&T Bank Corp

    6,557       1,195  

Markel Corp *

     680       845  

MarketAxess Holdings Inc

    1,900       725  

Marsh & McLennan Cos Inc

    26,165       4,066  

Mercury General Corp

    1,496       82  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

MetLife Inc

    36,809     $ 2,486  

MGIC Investment Corp

    16,600       252  

Moody's Corp

    8,327       2,682  

Morgan Stanley

    68,914       6,253  

Morningstar Inc

    1,200       337  

MSCI Inc, Cl A

    4,100       2,057  

Nasdaq Inc

    6,010       1,029  

New Residential Investment Corp ‡

     24,100       250  

New York Community Bancorp Inc

    25,372       293  

Northern Trust Corp

    10,605       1,208  

Old Republic International Corp

    13,590       358  

OneMain Holdings Inc, Cl A

    5,900       301  

PacWest Bancorp

    5,900       292  

People's United Financial Inc

    20,034       422  

Pinnacle Financial Partners Inc

    3,800       384  

PNC Financial Services Group Inc/The

    21,722       4,328  

Popular Inc

    4,053       372  

Primerica Inc

    1,900       247  

Principal Financial Group Inc

    13,608       961  

Progressive Corp/The

    29,980       3,176  

Prosperity Bancshares Inc

    4,600       342  

Prudential Financial Inc

    19,463       2,173  

Raymond James Financial Inc

    9,331       1,023  

Regions Financial Corp

    49,087       1,187  

Reinsurance Group of America Inc, Cl A

    3,499       388  

RenaissanceRe Holdings Ltd

    2,300       347  

Rocket Cos Inc, Cl A *(A)

     7,200       93  

S&P Global Inc

    17,777       6,679  

SEI Investments Co. †

     5,442       319  

Signature Bank/New York NY

    3,100       1,069  

SLM Corp

    14,231       280  

Starwood Property Trust Inc ‡

     15,500       370  

State Street Corp

    18,379       1,568  

Stifel Financial Corp

    5,200       382  

SVB Financial Group *

     2,900       1,757  

Synchrony Financial

    28,018       1,199  

Synovus Financial Corp

    7,896       416  

T Rowe Price Group Inc

    11,630       1,681  

TFS Financial Corp

    2,500       43  

Tradeweb Markets Inc, Cl A

    5,300       448  

Travelers Cos Inc/The

    12,675       2,178  

Truist Financial Corp

    68,863       4,285  

Umpqua Holdings Corp

    11,300       241  

Unum Group

    10,405       290  

Upstart Holdings Inc *(A)

     2,400       379  

US Bancorp

    68,697       3,884  

UWM Holdings Corp

    2,300       10  

Virtu Financial Inc, Cl A

    4,500       158  

Voya Financial Inc (A)

     5,300       357  

W R Berkley Corp

    7,321       661  

Webster Financial Corp

    9,146       551  

Wells Fargo & Co

    205,066       10,944  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

19

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Western Alliance Bancorp

    4,900     $ 459  

White Mountains Insurance Group Ltd

    179       188  

Willis Towers Watson PLC

    6,362       1,414  

Wintrust Financial Corp

    3,100       308  

Zions Bancorp NA

    8,202       581  
                 
              250,773  

Health Care — 13.0%

        

10X Genomics Inc, Cl A *

     4,000       326  

Abbott Laboratories

    89,037       10,740  

AbbVie Inc

    90,601       13,388  

ABIOMED Inc *

     2,200       684  

Acadia Healthcare Co Inc *

     4,700       266  

Adaptive Biotechnologies Corp *

     5,800       84  

Agilent Technologies Inc

    15,664       2,042  

agilon health Inc *

     8,800       178  

Align Technology Inc *

     4,000       2,046  

Alnylam Pharmaceuticals Inc *

     6,100       963  

Amedisys Inc *

     1,600       256  

AmerisourceBergen Corp, Cl A

    7,724       1,101  

Amgen Inc

    29,158       6,604  

Anthem Inc

    12,531       5,662  

Avantor Inc *

     31,100       1,079  

Baxter International Inc

    25,315       2,151  

Becton Dickinson and Co

    14,670       3,980  

Biogen Inc *

     7,500       1,583  

BioMarin Pharmaceutical Inc *

     9,400       734  

Bio-Rad Laboratories Inc, Cl A *

     1,100       688  

Bio-Techne Corp

    1,941       814  

Boston Scientific Corp *

     72,539       3,204  

Bristol-Myers Squibb Co

    114,519       7,864  

Bruker Corp

    5,200       366  

Cardinal Health Inc

    14,529       785  

Catalent Inc *

     8,800       898  

Centene Corp *

     29,458       2,434  

Cerner Corp

    15,196       1,417  

Certara Inc *

     5,700       144  

Change Healthcare Inc *

     13,808       296  

Charles River Laboratories International Inc *

     2,543       740  

Chemed Corp

    700       335  

Cigna Corp

    16,802       3,995  

Cooper Cos Inc/The

    2,504       1,024  

CureVac NV *(A)

     2,900       49  

CVS Health Corp

    67,499       6,996  

Danaher Corp

    32,502       8,919  

DaVita Inc *

     3,685       415  

Definitive Healthcare Corp, Cl A *

     600       14  

DENTSPLY SIRONA Inc

    11,166       604  

Dexcom Inc *

     4,900       2,028  

Edwards Lifesciences Corp *

     31,784       3,572  

Elanco Animal Health Inc *

     23,737       674  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Eli Lilly & Co

    43,471     $ 10,866  

Encompass Health Corp

    5,100       337  

Envista Holdings Corp *

     8,200       394  

Exact Sciences Corp *

     8,600       671  

Exelixis Inc *

     15,800       324  

Figs Inc, Cl A *

     5,100       84  

Gilead Sciences Inc

    64,434       3,892  

Globus Medical Inc, Cl A *

     4,000       281  

Guardant Health Inc *

     4,400       292  

HCA Healthcare Inc

    12,600       3,154  

Henry Schein Inc *

     7,168       619  

Hologic Inc *

     12,900       918  

Horizon Therapeutics Plc *

     11,300       1,030  

Humana Inc

    6,675       2,899  

ICU Medical Inc *

     1,000       237  

IDEXX Laboratories Inc *

     4,304       2,291  

Illumina Inc *

     7,505       2,451  

Incyte Corp *

     9,600       656  

Insulet Corp *

     3,400       900  

Integra LifeSciences Holdings Corp *

     4,100       275  

Intuitive Surgical Inc *

     18,215       5,288  

Ionis Pharmaceuticals Inc *

     7,200       240  

Iovance Biotherapeutics Inc *

     8,300       130  

IQVIA Holdings Inc *

     9,813       2,258  

Jazz Pharmaceuticals PLC *

     3,100       426  

Johnson & Johnson

    135,109       22,235  

Laboratory Corp of America Holdings *

     4,990       1,354  

Maravai LifeSciences Holdings Inc, Cl A *

     5,700       223  

Masimo Corp *

     2,400       378  

McKesson Corp

    7,770       2,136  

Medtronic PLC

    68,826       7,226  

Merck & Co Inc

    129,843       9,943  

Mettler-Toledo International Inc *

     1,149       1,619  

Mirati Therapeutics Inc *

     2,100       185  

Moderna Inc *

     17,400       2,673  

Molina Healthcare Inc *

     2,900       890  

Natera Inc *

     4,300       283  

Nektar Therapeutics, Cl A *

     8,700       89  

Neurocrine Biosciences Inc *

     4,500       404  

Novavax Inc *(A)

     4,000       333  

Novocure Ltd *

     5,200       426  

Oak Street Health Inc *(A)

     5,800       102  

Organon & Co

    12,654       472  

Penumbra Inc *

     1,800       399  

PerkinElmer Inc

    6,534       1,174  

Perrigo Co PLC

    7,800       277  

Pfizer Inc

    286,222       13,435  

Premier Inc, Cl A

    6,800       244  

QIAGEN NV *

     11,640       578  

Quest Diagnostics Inc

    6,244       820  

Quidel Corp *

     1,600       169  

Regeneron Pharmaceuticals Inc *

     5,106       3,157  

 

 

 

20

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Repligen Corp *

     2,800     $ 551  

ResMed Inc

    7,212       1,780  

Royalty Pharma PLC, Cl A

    16,800       660  

Sage Therapeutics Inc *

     3,100       113  

Sarepta Therapeutics Inc *

     3,900       299  

Seagen Inc *

     6,500       838  

Signify Health Inc, Cl A *

     1,500       21  

Sotera Health Co *

     4,500       98  

STERIS PLC

    4,400       1,056  

Stryker Corp

    17,904       4,715  

Syneos Health Inc, Cl A *

     5,200       412  

Tandem Diabetes Care Inc *

     3,300       372  

Teladoc Health Inc *

     7,853       596  

Teleflex Inc

    2,340       787  

Thermo Fisher Scientific Inc

    20,125       10,948  

Ultragenyx Pharmaceutical Inc *

     3,500       236  

United Therapeutics Corp *

     2,300       382  

UnitedHealth Group Inc

    48,220       22,946  

Universal Health Services Inc, Cl B

    3,576       515  

Veeva Systems Inc, Cl A *

     7,100       1,626  

Vertex Pharmaceuticals Inc *

     12,900       2,967  

Viatris Inc, Cl W *

     61,022       672  

Waters Corp *

     2,973       942  

West Pharmaceutical Services Inc

    3,800       1,471  

Zimmer Biomet Holdings Inc

    10,725       1,364  

Zoetis Inc, Cl A

    24,344       4,714  
                 
              275,360  

Industrials — 8.5%

        

3M Co

    29,633       4,405  

A O Smith Corp

    6,400       439  

Acuity Brands Inc

    1,900       347  

ADT Inc

    6,700       49  

Advanced Drainage Systems Inc

    3,100       362  

AECOM

    6,616       481  

AGCO Corp

    3,300       397  

Air Lease Corp, Cl A

    5,300       221  

Alaska Air Group Inc *

     6,200       348  

Allegion plc

    4,566       523  

Allison Transmission Holdings Inc, Cl A

    5,300       212  

AMERCO *

     400       231  

American Airlines Group Inc *(A)

     31,900       550  

AMETEK Inc

    11,528       1,496  

Armstrong World Industries Inc

    2,400       212  

Axon Enterprise Inc *

     3,300       463  

AZEK Co Inc/The, Cl A *

     6,100       180  

Boeing Co/The *

     27,493       5,645  

Booz Allen Hamilton Holding Corp, Cl A

    6,800       549  

Builders FirstSource Inc *

     9,700       722  

BWX Technologies Inc

    4,750       254  

CACI International Inc, Cl A *

     1,300       364  

Carlisle Cos Inc

    2,666       633  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Carrier Global Corp

    44,378     $ 1,992  

Caterpillar Inc

    27,747       5,205  

CH Robinson Worldwide Inc

    6,648       643  

ChargePoint Holdings Inc *(A)

     12,000       174  

Cintas Corp

    4,457       1,673  

Clarivate PLC *

     22,600       339  

Clean Harbors Inc *

     2,600       248  

Colfax Corp *

     6,500       261  

Copa Holdings SA, Cl A *

     1,800       153  

Copart Inc *

     10,436       1,282  

Core & Main Inc, Cl A *

     1,900       43  

CoStar Group Inc *

     19,500       1,190  

Crane Co

    2,600       263  

CSX Corp

    113,788       3,859  

Cummins Inc

    7,312       1,493  

Curtiss-Wright Corp

    1,700       251  

Deere & Co

    14,319       5,155  

Delta Air Lines Inc *

     32,900       1,313  

Donaldson Co Inc

    5,944       323  

Dover Corp

    7,457       1,170  

Driven Brands Holdings Inc *

     2,400       70  

Dun & Bradstreet Holdings Inc *

     8,900       165  

Eaton Corp PLC

    20,516       3,165  

Emerson Electric Co

    30,610       2,844  

Equifax Inc

    6,256       1,366  

Expeditors International of Washington Inc

    8,648       894  

Fastenal Co

    28,748       1,479  

FedEx Corp

    12,644       2,810  

Flowserve Corp

    6,800       207  

Fluence Energy Inc, Cl A *

     1,700       23  

Fortive Corp

    16,853       1,091  

Fortune Brands Home & Security Inc

    6,620       575  

FTI Consulting Inc *

     1,500       219  

Gates Industrial Corp PLC *

     2,800       45  

Generac Holdings Inc *

     3,200       1,010  

General Dynamics Corp

    12,872       3,018  

General Electric Co

    56,070       5,355  

Graco Inc

    8,872       640  

GXO Logistics Inc *

     5,000       420  

HEICO Corp

    2,310       341  

HEICO Corp, Cl A

    4,021       494  

Hexcel Corp

    4,400       255  

Honeywell International Inc

    35,590       6,753  

Howmet Aerospace Inc

    19,167       688  

Hubbell Inc, Cl B

    2,692       480  

Huntington Ingalls Industries Inc

    1,937       396  

IAA Inc *

     7,100       261  

IDEX Corp

    3,893       747  

Illinois Tool Works Inc

    16,180       3,500  

Ingersoll Rand Inc

    20,265       1,024  

ITT Inc

    4,551       400  

Jacobs Engineering Group Inc

    6,584       810  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

21

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

JB Hunt Transport Services Inc

    4,252     $ 863  

JetBlue Airways Corp *

     17,600       269  

Johnson Controls International plc

    36,766       2,388  

Kirby Corp *

     3,100       202  

Knight-Swift Transportation Holdings Inc, Cl A

    8,300       452  

L3Harris Technologies Inc

    10,134       2,557  

Landstar System Inc

    2,065       319  

Legalzoom.com Inc *

     1,000       16  

Leidos Holdings Inc

    7,273       741  

Lennox International Inc

    1,720       459  

Lincoln Electric Holdings Inc

    2,900       370  

Lockheed Martin Corp

    12,673       5,498  

Lyft Inc, Cl A *

     14,900       580  

ManpowerGroup Inc

    2,984       317  

Masco Corp

    12,379       694  

MasTec Inc *

     3,100       244  

MDU Resources Group Inc

    10,421       279  

Mercury Systems Inc *

     3,300       199  

Middleby Corp/The *

     2,800       497  

MSA Safety Inc

    1,900       264  

MSC Industrial Direct Co Inc, Cl A

    2,320       180  

Nielsen Holdings PLC

    18,300       319  

Nordson Corp

    3,000       679  

Norfolk Southern Corp

    12,533       3,215  

Northrop Grumman Corp

    7,678       3,395  

nVent Electric PLC

    8,573       291  

Old Dominion Freight Line Inc

    5,200       1,633  

Oshkosh Corp

    3,559       395  

Otis Worldwide Corp

    21,939       1,718  

Owens Corning

    5,000       466  

PACCAR Inc

    17,596       1,616  

Parker-Hannifin Corp

    6,604       1,957  

Pentair PLC

    8,873       514  

Plug Power Inc *

     27,400       693  

Quanta Services Inc

    7,400       806  

Raytheon Technologies Corp

    76,762       7,883  

Regal Rexnord Corp

    3,476       557  

Republic Services Inc, Cl A

    10,842       1,304  

Robert Half International Inc

    5,676       683  

Rockwell Automation Inc

    6,004       1,601  

Rollins Inc

    11,237       367  

Roper Technologies Inc

    5,400       2,420  

Ryder System Inc

    2,706       213  

Schneider National Inc, Cl B

    3,000       78  

Science Applications International Corp

    3,000       263  

Sensata Technologies Holding PLC *

     7,800       452  

Shoals Technologies Group Inc, Cl A *

     5,500       87  

SiteOne Landscape Supply Inc *

     2,400       414  

Snap-on Inc

    2,691       566  

Southwest Airlines Co *

     30,420       1,332  

Spirit AeroSystems Holdings Inc, Cl A

    5,400       270  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Stanley Black & Decker Inc

    8,293     $ 1,349  

Stericycle Inc *

     4,726       276  

Sunrun Inc *

     10,900       297  

Textron Inc

    11,322       828  

Timken Co/The

    3,269       214  

Toro Co/The

    5,440       510  

Trane Technologies PLC

    12,200       1,878  

TransDigm Group Inc *

     2,593       1,728  

TransUnion

    9,700       880  

Trex Co Inc *

     5,500       505  

TuSimple Holdings Inc, Cl A *(A)

     6,800       118  

Uber Technologies Inc *

     82,900       2,987  

Union Pacific Corp

    32,932       8,100  

United Airlines Holdings Inc *

     16,600       737  

United Parcel Service Inc, Cl B

    37,141       7,815  

United Rentals Inc *

     3,600       1,158  

Univar Solutions Inc *

     7,200       221  

Valmont Industries Inc

    1,100       238  

Verisk Analytics Inc, Cl A

    8,000       1,419  

Vertiv Holdings Co, Cl A

    15,600       203  

Virgin Galactic Holdings Inc *(A)

     8,000       77  

Waste Management Inc

    21,594       3,118  

Watsco Inc

    1,700       464  

Westinghouse Air Brake Technologies Corp

    8,837       820  

Woodward Inc

    3,000       374  

WW Grainger Inc

    2,387       1,139  

XPO Logistics Inc *

     5,000       363  

Xylem Inc/NY

    9,302       827  
                 
              179,876  

Information Technology — 28.0%

        

Accenture PLC, Cl A

    32,600       10,302  

Adobe Inc *

     24,502       11,459  

Advanced Micro Devices Inc *

     83,813       10,338  

Akamai Technologies Inc *

     8,118       879  

Allegro MicroSystems Inc *

     2,900       83  

Alliance Data Systems Corp

    2,612       176  

Alteryx Inc, Cl A *

     3,200       199  

Amdocs Ltd

    6,600       519  

Amphenol Corp, Cl A

    29,868       2,270  

Analog Devices Inc

    27,503       4,408  

Anaplan Inc *

     7,300       346  

ANSYS Inc *

     4,400       1,426  

Apple Inc

    791,963       130,769  

Applied Materials Inc

    46,355       6,221  

Arista Networks Inc *

     12,400       1,522  

Arrow Electronics Inc *

     3,689       450  

Aspen Technology Inc *

     3,500       533  

Atlassian Corp PLC, Cl A *

     7,200       2,201  

Autodesk Inc *

     11,337       2,497  

Automatic Data Processing Inc

    21,792       4,455  

Avalara Inc *

     4,300       447  

 

 

 

22

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Avnet Inc

    5,610     $ 236  

Azenta Inc

    4,000       350  

Bentley Systems Inc, Cl B

    7,400       284  

Bill.com Holdings Inc *

     4,700       1,118  

Black Knight Inc *

     7,800       438  

Block Inc, Cl A *

     24,700       3,149  

Broadcom Inc

    20,432       12,003  

Broadridge Financial Solutions Inc

    5,873       859  

C3.ai Inc, Cl A *

     3,200       72  

Cadence Design Systems Inc *

     14,163       2,145  

CDK Global Inc

    6,597       299  

CDW Corp/DE

    6,900       1,190  

Ceridian HCM Holding Inc *

     6,500       474  

Ciena Corp *

     8,000       547  

Cirrus Logic Inc *

     3,000       261  

Cisco Systems Inc/Delaware

    216,627       12,081  

Citrix Systems Inc

    6,287       644  

Cloudflare Inc, Cl A *

     12,800       1,490  

Cognex Corp

    8,800       595  

Cognizant Technology Solutions Corp, Cl A

    26,676       2,298  

Coherent Inc *

     1,300       344  

CommScope Holding Co Inc *

     10,800       103  

Concentrix Corp

    2,200       440  

Corning Inc

    39,158       1,582  

Coupa Software Inc *

     3,900       472  

Crowdstrike Holdings Inc, Cl A *

     10,200       1,991  

Datadog Inc, Cl A *

     13,100       2,111  

Datto Holding Corp *

     1,600       38  

Dell Technologies Inc, Cl C

    13,842       705  

DocuSign Inc, Cl A *

     10,000       1,184  

Dolby Laboratories Inc, Cl A

    3,543       266  

DoubleVerify Holdings Inc *

     2,800       77  

Dropbox Inc, Cl A *

     13,300       302  

Duck Creek Technologies Inc *

     3,700       87  

DXC Technology Co *

     12,936       440  

Dynatrace Inc *

     10,200       453  

Elastic NV *

     3,700       321  

Enphase Energy Inc *

     6,600       1,100  

Entegris Inc

    6,900       900  

EPAM Systems Inc *

     2,700       561  

Euronet Worldwide Inc *

     2,600       333  

Everbridge Inc *

     2,100       83  

F5 Inc *

     3,131       629  

Fair Isaac Corp *

     1,400       660  

Fastly Inc, Cl A *(A)

     5,800       108  

Fidelity National Information Services Inc

    31,348       2,985  

First Solar Inc *

     4,900       369  

Fiserv Inc *

     30,574       2,986  

Five9 Inc *

     3,600       396  

FleetCor Technologies Inc *

     4,100       960  

Fortinet Inc *

     6,800       2,343  

Gartner Inc *

     4,010       1,124  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Genpact Ltd

    9,200     $ 385  

Global Payments Inc

    14,752       1,968  

GLOBALFOUNDRIES Inc *(A)

     2,700       164  

Globant SA *

     2,100       575  

GoDaddy Inc, Cl A *

     8,600       717  

Guidewire Software Inc *

     4,200       370  

Hewlett Packard Enterprise Co

    65,970       1,050  

HP Inc

    59,170       2,033  

HubSpot Inc *

     2,300       1,207  

Informatica Inc, Cl A *

     1,700       34  

Intel Corp

    207,258       9,886  

International Business Machines Corp

    45,901       5,623  

Intuit Inc

    13,652       6,476  

IPG Photonics Corp *

     2,000       261  

Jabil Inc

    7,274       421  

Jack Henry & Associates Inc

    3,800       672  

Jamf Holding Corp *

     2,600       89  

Juniper Networks Inc

    16,925       572  

Keysight Technologies Inc *

     9,332       1,469  

KLA Corp

    7,809       2,721  

Kyndryl Holdings Inc *

     9,559       152  

Lam Research Corp

    7,252       4,071  

Littelfuse Inc

    1,300       336  

Lumentum Holdings Inc *

     4,000       395  

Mandiant Inc *

     13,200       261  

Manhattan Associates Inc *

     3,300       441  

Marvell Technology Inc

    42,238       2,886  

Mastercard Inc, Cl A

    44,900       16,201  

McAfee Corp, Cl A

    4,300       112  

Microchip Technology Inc

    28,030       1,971  

Micron Technology Inc

    57,616       5,120  

Microsoft Corp

    386,716       115,547  

MKS Instruments Inc

    2,600       392  

MongoDB Inc, Cl A *

     3,300       1,261  

Monolithic Power Systems Inc

    2,300       1,055  

Motorola Solutions Inc

    8,414       1,855  

N-able Inc *

     2,100       24  

National Instruments Corp

    6,804       273  

nCino Inc *

     2,900       133  

NCR Corp *

     7,089       287  

NetApp Inc

    11,455       898  

New Relic Inc *

     2,700       179  

NortonLifeLock Inc

    28,448       824  

Nuance Communications Inc *

     14,700       816  

Nutanix Inc, Cl A *

     10,700       286  

NVIDIA Corp

    122,624       29,902  

NXP Semiconductors NV

    13,600       2,586  

Okta Inc, Cl A *

     6,500       1,188  

ON Semiconductor Corp *

     21,800       1,365  

Oracle Corp

    84,620       6,429  

Palantir Technologies Inc, Cl A *

     85,700       1,016  

Palo Alto Networks Inc *

     4,900       2,912  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

23

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Paychex Inc

    16,707     $ 1,989  

Paycom Software Inc *

     2,600       882  

Paycor HCM Inc *(A)

     1,700       48  

Paylocity Holding Corp *

     2,100       446  

PayPal Holdings Inc *

     60,211       6,739  

Paysafe Ltd *

     38,100       122  

Pegasystems Inc

    2,300       200  

Procore Technologies Inc *

     3,100       202  

PTC Inc *

     5,400       601  

Pure Storage Inc, Cl A *

     13,600       353  

Qorvo Inc *

     5,600       766  

QUALCOMM Inc

    57,859       9,951  

RingCentral Inc, Cl A *

     4,300       563  

Sabre Corp *

     17,600       192  

salesforce.com Inc *

     47,918       10,088  

ServiceNow Inc *

     10,100       5,857  

Shift4 Payments Inc, Cl A *

     2,400       126  

Skyworks Solutions Inc

    8,400       1,161  

Smartsheet Inc, Cl A *

     6,200       330  

Snowflake Inc, Cl A *

     10,200       2,710  

SolarWinds Corp *

     2,100       28  

Splunk Inc *

     8,300       980  

SS&C Technologies Holdings Inc

    11,500       862  

StoneCo Ltd, Cl A *

     11,900       134  

Switch Inc, Cl A

    6,400       167  

Synopsys Inc *

     7,782       2,431  

TD SYNNEX Corp

    2,200       224  

Teledyne Technologies Inc *

     2,367       1,016  

Teradata Corp *

     5,489       274  

Teradyne Inc

    8,463       998  

Texas Instruments Inc

    47,308       8,042  

Thoughtworks Holding Inc *

     2,200       50  

Trade Desk Inc/The, Cl A *

     22,100       1,886  

Trimble Inc *

     12,828       895  

Twilio Inc, Cl A *

     8,500       1,486  

Tyler Technologies Inc *

     2,000       857  

Ubiquiti Inc

    300       76  

Unity Software Inc *

     7,900       841  

Universal Display Corp

    2,400       372  

VeriSign Inc *

     5,085       1,087  

Viasat Inc *

     3,000       137  

Visa Inc, Cl A

    86,800       18,759  

VMware Inc, Cl A *

     11,551       1,355  

Vontier Corp

    9,401       228  

Western Digital Corp *

     15,596       795  

Western Union Co/The

    20,528       373  

WEX Inc *

     2,400       404  

Wix.com Ltd *

     2,900       265  

Wolfspeed Inc *

     5,600       575  

Workday Inc, Cl A *

     9,700       2,222  

Xerox Holdings Corp

    7,999       158  

Zebra Technologies Corp, Cl A *

     2,725       1,126  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Zendesk Inc *

     6,100     $ 712  

Zoom Video Communications Inc, Cl A *

     11,100       1,472  

Zscaler Inc *

     3,900       933  
                 
              591,899  

Materials — 2.4%

        

Air Products and Chemicals Inc

    11,294       2,669  

Albemarle Corp

    5,873       1,150  

Alcoa Corp

    9,600       723  

Amcor PLC

    78,200       909  

AptarGroup Inc

    3,500       427  

Ardagh Metal Packaging SA *

     10,100       84  

Ashland Global Holdings Inc

    2,876       265  

Avery Dennison Corp

    4,210       742  

Axalta Coating Systems Ltd *

     10,600       287  

Ball Corp

    16,200       1,454  

Berry Global Group Inc *

     6,900       419  

Celanese Corp, Cl A

    5,583       778  

CF Industries Holdings Inc

    10,830       879  

Chemours Co/The

    9,100       251  

Cleveland-Cliffs Inc *

     23,300       521  

Corteva Inc

    36,876       1,919  

Crown Holdings Inc

    6,251       767  

Diversey Holdings Ltd *

     2,800       27  

Dow Inc

    37,976       2,239  

DuPont de Nemours Inc

    26,809       2,074  

Eagle Materials Inc

    2,100       287  

Eastman Chemical Co

    6,528       773  

Ecolab Inc

    12,755       2,248  

Element Solutions Inc

    12,800       315  

FMC Corp

    6,620       776  

Freeport-McMoRan Inc, Cl B

    75,224       3,532  

Graphic Packaging Holding Co

    15,300       315  

Huntsman Corp

    10,629       430  

International Flavors & Fragrances Inc

    12,852       1,709  

International Paper Co

    19,655       856  

Louisiana-Pacific Corp

    4,800       345  

LyondellBasell Industries NV, Cl A

    13,560       1,318  

Martin Marietta Materials Inc

    3,163       1,200  

Mosaic Co/The

    19,278       1,011  

NewMarket Corp

    300       95  

Newmont Corp

    40,933       2,710  

Nucor Corp

    14,590       1,920  

Olin Corp

    6,800       350  

Packaging Corp of America

    4,899       721  

PPG Industries Inc

    11,865       1,583  

Reliance Steel & Aluminum Co

    3,300       630  

Royal Gold Inc

    3,600       437  

RPM International Inc

    6,569       556  

Scotts Miracle-Gro Co/The, Cl A

    2,106       295  

Sealed Air Corp

    7,668       515  

Sherwin-Williams Co/The

    12,311       3,239  

 

 

 

24

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Silgan Holdings Inc

    4,808     $ 201  

Sonoco Products Co

    5,046       296  

Southern Copper Corp

    4,268       296  

Steel Dynamics Inc

    9,500       671  

Sylvamo Corp *

     1,905       67  

United States Steel Corp

    14,600       397  

Valvoline Inc

    9,404       304  

Vulcan Materials Co

    6,857       1,244  

Westlake Corp

    1,700       188  

Westrock Co

    13,345       604  
                 
              51,018  

Real Estate — 3.2%

        

Alexandria Real Estate Equities Inc ‡

     7,800       1,477  

American Campus Communities Inc ‡

     7,000       377  

American Homes 4 Rent, Cl A ‡

     14,300       544  

American Tower Corp, Cl A ‡

     23,212       5,266  

Americold Realty Trust ‡

     13,300       355  

Apartment Income Corp ‡

     7,405       382  

AvalonBay Communities Inc ‡

     7,141       1,704  

Boston Properties Inc ‡

     7,984       977  

Brixmor Property Group Inc ‡

     15,100       379  

Camden Property Trust ‡

     5,047       833  

CBRE Group Inc, Cl A *

     16,917       1,638  

Cousins Properties Inc ‡

     7,900       305  

Crown Castle International Corp ‡

     22,196       3,698  

CubeSmart ‡

     10,700       516  

CyrusOne Inc ‡

     6,400       578  

Digital Realty Trust Inc ‡

     14,296       1,929  

Douglas Emmett Inc ‡

     9,200       292  

Duke Realty Corp ‡

     19,009       1,007  

EPR Properties ‡

     3,800       189  

Equinix Inc ‡

     4,563       3,238  

Equity LifeStyle Properties Inc ‡

     9,000       672  

Equity Residential ‡

     18,877       1,610  

Essex Property Trust Inc ‡

     3,363       1,067  

Extra Space Storage Inc ‡

     6,800       1,279  

Federal Realty Investment Trust ‡

     3,996       470  

First Industrial Realty Trust Inc ‡

     6,800       392  

Gaming and Leisure Properties Inc ‡

     11,635       528  

Healthcare Trust of America Inc, Cl A ‡

     11,800       347  

Healthpeak Properties Inc ‡

     27,374       850  

Highwoods Properties Inc ‡

     5,400       235  

Host Hotels & Resorts Inc ‡

     35,640       651  

Howard Hughes Corp/The *

     2,273       217  

Hudson Pacific Properties Inc ‡

     7,600       201  

Invitation Homes Inc ‡

     30,300       1,145  

Iron Mountain Inc ‡(A)

     14,703       723  

JBG SMITH Properties ‡

     4,818       129  

Jones Lang LaSalle Inc *

     2,700       665  

Kilroy Realty Corp ‡

     5,800       415  

Kimco Realty Corp ‡

     29,771       700  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Lamar Advertising Co, Cl A ‡

     4,440     $ 484  

Life Storage Inc ‡

     4,250       538  

Medical Properties Trust Inc ‡

     29,900       608  

Mid-America Apartment Communities Inc ‡

     5,950       1,217  

National Retail Properties Inc ‡

     9,300       396  

Omega Healthcare Investors Inc ‡

     12,200       344  

Opendoor Technologies Inc *

     20,900       175  

Orion Office Inc *‡

     2,913       50  

Park Hotels & Resorts Inc *‡

     10,288       194  

Prologis Inc ‡

     37,744       5,505  

Public Storage ‡

     7,668       2,722  

Rayonier Inc ‡

     7,504       298  

Realty Income Corp ‡

     28,439       1,880  

Regency Centers Corp ‡

     8,958       590  

Rexford Industrial Realty Inc ‡

     7,800       547  

SBA Communications Corp, Cl A ‡

     5,432       1,648  

Simon Property Group Inc ‡

     16,681       2,295  

SL Green Realty Corp ‡(A)

     3,456       275  

Spirit Realty Capital Inc ‡

     6,320       293  

STORE Capital Corp ‡

     12,500       384  

Sun Communities Inc ‡

     5,900       1,068  

UDR Inc ‡

     15,193       834  

Ventas Inc ‡

     20,792       1,123  

VICI Properties Inc ‡

     32,600       911  

Vornado Realty Trust ‡

     8,936       387  

Welltower Inc ‡

     22,283       1,856  

Weyerhaeuser Co ‡

     38,546       1,499  

WP Carey Inc ‡

     9,700       751  

Zillow Group Inc, Cl A *

     3,343       191  

Zillow Group Inc, Cl C *

     9,086       523  
                 
              67,566  

Utilities — 2.5%

        

AES Corp/The

    33,824       718  

Alliant Energy Corp

    12,952       756  

Ameren Corp

    12,890       1,108  

American Electric Power Co Inc

    25,350       2,298  

American Water Works Co Inc

    9,400       1,420  

Atmos Energy Corp

    6,591       724  

Avangrid Inc

    3,094       139  

Brookfield Renewable Corp, Cl A

    7,000       262  

CenterPoint Energy Inc

    31,015       848  

CMS Energy Corp

    14,642       937  

Consolidated Edison Inc

    18,416       1,580  

Constellation Energy Corp

    16,692       768  

Dominion Energy Inc

    41,570       3,306  

DTE Energy Co

    9,864       1,199  

Duke Energy Corp

    39,416       3,958  

Edison International

    19,079       1,210  

Entergy Corp

    10,198       1,073  

Essential Utilities Inc

    12,046       567  

Evergy Inc

    12,149       758  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

25

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Eversource Energy

    17,626     $ 1,442  

Exelon Corp

    50,076       2,131  

FirstEnergy Corp

    27,727       1,160  

Hawaiian Electric Industries Inc

    5,946       244  

IDACORP Inc

    2,700       281  

National Fuel Gas Co

    4,789       298  

NextEra Energy Inc

    100,492       7,866  

NiSource Inc

    20,021       579  

NRG Energy Inc

    12,200       462  

OGE Energy Corp

    10,136       381  

PG&E Corp *

     75,818       862  

Pinnacle West Capital Corp

    5,792       410  

PPL Corp

    38,826       1,016  

Public Service Enterprise Group Inc

    25,852       1,676  

Sempra Energy

    16,423       2,369  

Southern Co/The

    54,103       3,504  

UGI Corp

    10,625       408  

Vistra Corp

    24,100       550  

WEC Energy Group Inc

    16,257       1,477  

Xcel Energy Inc

    27,581       1,857  
                 
              52,602  

Total Common Stock

               

(Cost $542,022) ($ Thousands)

             2,106,840  
                 
                 
                 

AFFILIATED PARTNERSHIP — 0.4%

SEI Liquidity Fund, L.P.

                

0.050% **†(C)

     7,930,620       7,929  
                 
                 

Total Affiliated Partnership

                

(Cost $7,931) ($ Thousands)

     7,929  
                 
                 
                 

CASH EQUIVALENT — 0.2%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     4,280,288       4,280  
                 

Total Cash Equivalent

                

(Cost $4,280) ($ Thousands)

             4,280  
                 
                 

Total Investments in Securities — 100.3%

                

(Cost $554,233) ($ Thousands)

  $ 2,119,049  
                 
                 
                 

 

 

 

26

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Large Cap Index Fund (Concluded)

 

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     29       Mar-2022     $ 6,819     $ 6,333     $ (486 )

S&P Mid Cap 400 Index E-MINI

     5       Mar-2022       1,387       1,329       (58 )
                    $ 8,206     $ 7,662     $ (544 )

 

 

 

Percentages are based on Net Assets of $2,113,548 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at February 28, 2022. The total market value of securities on loan at February 28, 2022 was $7,948 ($ Thousands).

(B)

Security is a Master Limited Partnership. At February 28, 2022, such securities amounted to $142 ($ Thousands), or 0.0% of the Net Assets of the Fund.

(C)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of February 28, 2022 was $7,929 ($ Thousands).

 

Cl — Class

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

S&P— Standard & Poor's

Ser — Series

 

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Common Stock

     2,106,840       –       –       2,106,840  

Affiliated Partnership

     –       7,929       –       7,929  

Cash Equivalent

     4,280       –       –       4,280  

Total Investments in Securities

     2,111,120       7,929       –       2,119,049  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Depreciation

     (544 )     –       –       (544 )

Total Other Financial Instruments

     (544 )     –       –       (544 )

 

*

Futures contracts are valued at the unrealized depreciation on the instrument.

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For more information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 
 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

    

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Investment Co.

   $ 428     $ —     $ (78 )   $ 51     $ (82 )   $ 319       5,442     $ 5     $ —  

SEI Liquidity Fund, L.P.

     10,182       57,081       (59,333 )     —       (1 )     7,929       7,930,620       29       —  

SEI Daily Income Trust, Government Fund, Cl F

     2,414       272,227       (270,361 )     —       —       4,280       4,280,288       1       —  

Totals

   $ 13,024     $ 329,308     $ (329,772 )   $ 51     $ (83 )   $ 12,528             $ 35     $ -  

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

27

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

S&P 500 Index Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 99.0%
                 

Communication Services — 9.6%

        

Activision Blizzard Inc

    119,000     $ 9,699  

Alphabet Inc, Cl A *

     46,041       124,363  

Alphabet Inc, Cl C *

     43,063       116,176  

AT&T Inc

    1,093,091       25,895  

Charter Communications Inc, Cl A *

     19,000       11,434  

Comcast Corp, Cl A

    698,048       32,641  

Discovery Inc, Cl A *

     26,100       732  

Discovery Inc, Cl C *(A)

     47,545       1,330  

DISH Network Corp, Cl A *

     38,068       1,217  

Electronic Arts Inc

    43,500       5,659  

Fox Corp

    71,857       2,926  

Interpublic Group of Cos Inc/The

    60,600       2,230  

Live Nation Entertainment Inc *

     20,800       2,513  

Lumen Technologies Inc (A)

     142,974       1,481  

Match Group Inc *

     43,500       4,850  

Meta Platforms Inc, Cl A *

     362,378       76,473  

Netflix Inc *

     67,779       26,740  

News Corp

    19,300       433  

News Corp, Cl A

    59,783       1,334  

Omnicom Group Inc

    32,800       2,751  

Paramount Global, Cl B

    93,181       2,852  

Take-Two Interactive Software Inc *

     17,800       2,884  

T-Mobile US Inc *

     89,800       11,064  

Twitter Inc *

     122,700       4,362  

Verizon Communications Inc

    633,852       34,019  

Walt Disney Co/The *

     278,219       41,304  
                 
              547,362  

Consumer Discretionary — 11.7%

        

Advance Auto Parts Inc

    9,700       1,983  

Amazon.com Inc *

     66,860       205,344  

Aptiv PLC *

     41,300       5,346  

AutoZone Inc *

     3,245       6,047  

Bath & Body Works Inc

    40,800       2,178  

Best Buy Co Inc

    33,987       3,284  

Booking Holdings Inc *

     6,284       13,650  

BorgWarner Inc

    37,100       1,522  

Caesars Entertainment Inc *

     33,000       2,778  

CarMax Inc *

     25,000       2,733  

Carnival Corp, Cl A *

     124,500       2,531  

Chipotle Mexican Grill Inc, Cl A *

     4,320       6,581  

Darden Restaurants Inc

    19,995       2,904  

Dollar General Corp

    35,900       7,120  

Dollar Tree Inc *

     34,569       4,912  

Domino's Pizza Inc

    5,600       2,420  

DR Horton Inc

    49,991       4,269  

eBay Inc

    95,483       5,212  

Etsy Inc *

     19,500       3,020  

Expedia Group Inc *

     22,295       4,372  

Ford Motor Co

    600,143       10,539  

Garmin Ltd

    23,395       2,584  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

General Motors Co *

     221,987     $ 10,371  

Genuine Parts Co

    21,900       2,675  

Hasbro Inc

    19,995       1,941  

Hilton Worldwide Holdings Inc *

     42,500       6,327  

Home Depot Inc/The

    161,587       51,034  

Las Vegas Sands Corp *

     53,300       2,284  

Lennar Corp, Cl A

    41,691       3,747  

LKQ Corp

    41,400       1,944  

Lowe's Cos Inc

    105,987       23,430  

Marriott International Inc/MD, Cl A *

     41,736       7,101  

McDonald's Corp

    114,387       27,999  

MGM Resorts International

    60,000       2,657  

Mohawk Industries Inc *

     8,500       1,197  

Newell Brands Inc

    57,690       1,370  

NIKE Inc, Cl B

    195,582       26,707  

Norwegian Cruise Line Holdings Ltd *(A)

     57,300       1,117  

NVR Inc *

     500       2,479  

O'Reilly Automotive Inc *

     10,300       6,687  

Penn National Gaming Inc *

     25,800       1,325  

Pool Corp

    6,200       2,843  

PulteGroup Inc

    39,283       1,951  

PVH Corp

    10,800       1,057  

Ralph Lauren Corp, Cl A

    7,495       990  

Ross Stores Inc

    54,600       4,990  

Royal Caribbean Cruises Ltd *

     34,500       2,785  

Starbucks Corp

    180,482       16,566  

Tapestry Inc

    42,791       1,750  

Target Corp

    74,691       14,921  

Tesla Inc *

     124,600       108,456  

TJX Cos Inc/The

    183,882       12,155  

Tractor Supply Co

    17,500       3,566  

Ulta Beauty Inc *

     8,400       3,146  

Under Armour Inc, Cl A *

     28,395       508  

Under Armour Inc, Cl C *(A)

     32,432       507  

VF Corp

    50,091       2,906  

Whirlpool Corp

    9,400       1,892  

Wynn Resorts Ltd *

     16,300       1,410  

Yum! Brands Inc

    45,000       5,516  
                 
              671,636  

Consumer Staples — 6.1%

        

Altria Group Inc

    280,983       14,412  

Archer-Daniels-Midland Co

    85,991       6,746  

Brown-Forman Corp, Cl B

    28,190       1,839  

Campbell Soup Co

    30,891       1,389  

Church & Dwight Co Inc

    37,500       3,669  

Clorox Co/The

    18,900       2,755  

Coca-Cola Co/The

    595,157       37,043  

Colgate-Palmolive Co

    128,791       9,910  

Conagra Brands Inc

    73,787       2,580  

Constellation Brands Inc, Cl A

    25,100       5,412  

Costco Wholesale Corp

    67,600       35,101  

 

 

 

28

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

S&P 500 Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Estee Lauder Cos Inc/The, Cl A

    35,400     $ 10,490  

General Mills Inc

    92,496       6,237  

Hershey Co/The

    22,300       4,510  

Hormel Foods Corp

    43,592       2,077  

J M Smucker Co/The

    16,695       2,250  

Kellogg Co (A)

     39,400       2,519  

Kimberly-Clark Corp

    51,396       6,689  

Kraft Heinz Co/The

    108,991       4,275  

Kroger Co/The

    103,882       4,862  

Lamb Weston Holdings Inc

    22,200       1,475  

McCormick & Co Inc/MD

    38,290       3,644  

Molson Coors Beverage Co, Cl B

    29,495       1,539  

Mondelez International Inc, Cl A

    213,378       13,972  

Monster Beverage Corp *

     57,731       4,873  

PepsiCo Inc

    211,678       34,660  

Philip Morris International Inc

    238,278       24,083  

Procter & Gamble Co/The

    370,567       57,768  

Sysco Corp

    78,300       6,820  

Tyson Foods Inc, Cl A

    45,287       4,196  

Walgreens Boots Alliance Inc

    110,387       5,088  

Walmart Inc

    217,683       29,422  
                 
              352,305  

Energy — 3.7%

        

APA Corp

    56,400       2,009  

Baker Hughes Co, Cl A

    134,200       3,943  

Chevron Corp

    295,201       42,509  

ConocoPhillips

    201,841       19,147  

Coterra Energy Inc, Cl A

    125,087       2,918  

Devon Energy Corp

    96,700       5,759  

Diamondback Energy Inc

    26,200       3,618  

EOG Resources Inc

    89,391       10,273  

Exxon Mobil Corp

    648,300       50,840  

Halliburton Co

    137,391       4,607  

Hess Corp

    42,300       4,275  

Kinder Morgan Inc

    299,483       5,211  

Marathon Oil Corp

    120,000       2,707  

Marathon Petroleum Corp

    94,011       7,321  

Occidental Petroleum Corp

    136,324       5,961  

ONEOK Inc

    68,491       4,472  

Phillips 66

    67,296       5,669  

Pioneer Natural Resources Co

    34,696       8,313  

Schlumberger NV

    214,266       8,408  

Valero Energy Corp

    62,800       5,244  

Williams Cos Inc/The

    186,696       5,840  
                 
              209,044  

Financials — 11.5%

        

Aflac Inc

    93,482       5,711  

Allstate Corp/The

    44,000       5,384  

American Express Co

    95,987       18,673  

American International Group Inc

    126,878       7,770  

Ameriprise Financial Inc

    17,200       5,156  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Aon PLC, Cl A

    33,700     $ 9,845  

Arthur J Gallagher & Co

    31,800       5,030  

Assurant Inc

    8,895       1,510  

Bank of America Corp

    1,102,883       48,747  

Bank of New York Mellon Corp/The

    115,987       6,165  

Berkshire Hathaway Inc, Cl B *

     280,528       90,176  

BlackRock Inc, Cl A

    21,896       16,288  

Brown & Brown Inc

    36,100       2,441  

Capital One Financial Corp

    65,096       9,977  

Cboe Global Markets Inc

    16,500       1,935  

Charles Schwab Corp/The

    230,091       19,434  

Chubb Ltd

    65,847       13,409  

Cincinnati Financial Corp

    22,996       2,824  

Citigroup Inc

    303,657       17,986  

Citizens Financial Group Inc

    65,500       3,434  

CME Group Inc, Cl A

    54,995       13,008  

Comerica Inc

    20,291       1,938  

Discover Financial Services

    45,000       5,555  

Everest Re Group Ltd

    6,100       1,819  

FactSet Research Systems Inc

    5,800       2,355  

Fifth Third Bancorp

    105,000       5,023  

First Republic Bank/CA

    27,500       4,765  

Franklin Resources Inc

    43,495       1,293  

Globe Life Inc

    14,446       1,458  

Goldman Sachs Group Inc/The

    51,891       17,710  

Hartford Financial Services Group Inc/The

    52,300       3,634  

Huntington Bancshares Inc/OH

    222,161       3,448  

Intercontinental Exchange Inc

    86,100       11,031  

Invesco Ltd

    51,600       1,096  

JPMorgan Chase & Co

    452,557       64,173  

KeyCorp

    143,000       3,585  

Lincoln National Corp

    26,400       1,780  

Loews Corp

    31,087       1,907  

M&T Bank Corp

    19,723       3,594  

MarketAxess Holdings Inc

    5,900       2,250  

Marsh & McLennan Cos Inc

    77,191       11,996  

MetLife Inc

    109,187       7,376  

Moody's Corp

    24,700       7,954  

Morgan Stanley

    219,653       19,931  

MSCI Inc, Cl A

    12,600       6,321  

Nasdaq Inc

    18,000       3,081  

Northern Trust Corp

    31,896       3,633  

People's United Financial Inc

    67,000       1,412  

PNC Financial Services Group Inc/The

    64,591       12,870  

Principal Financial Group Inc

    37,991       2,684  

Progressive Corp/The

    89,383       9,468  

Prudential Financial Inc

    57,700       6,443  

Raymond James Financial Inc

    28,500       3,125  

Regions Financial Corp

    146,400       3,541  

S&P Global Inc

    54,354       20,421  

Signature Bank/New York NY

    9,300       3,207  

State Street Corp

    56,200       4,796  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

29

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

S&P 500 Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

SVB Financial Group *

     9,000     $ 5,454  

Synchrony Financial

    84,021       3,594  

T Rowe Price Group Inc

    34,500       4,987  

Travelers Cos Inc/The

    37,596       6,460  

Truist Financial Corp

    204,192       12,705  

US Bancorp

    206,283       11,663  

W R Berkley Corp

    21,600       1,950  

Wells Fargo & Co

    610,448       32,580  

Willis Towers Watson PLC

    19,145       4,256  

Zions Bancorp NA

    24,300       1,723  
                 
              656,948  

Health Care — 13.2%

        

Abbott Laboratories

    270,748       32,658  

AbbVie Inc

    270,713       40,003  

ABIOMED Inc *

     7,000       2,175  

Agilent Technologies Inc

    46,191       6,021  

Align Technology Inc *

     11,300       5,779  

AmerisourceBergen Corp, Cl A

    22,996       3,278  

Amgen Inc

    86,191       19,520  

Anthem Inc

    37,096       16,762  

Baxter International Inc

    76,929       6,537  

Becton Dickinson and Co

    43,939       11,920  

Biogen Inc *

     22,400       4,727  

Bio-Rad Laboratories Inc, Cl A *

     3,300       2,066  

Bio-Techne Corp

    6,000       2,516  

Boston Scientific Corp *

     217,800       9,620  

Bristol-Myers Squibb Co

    339,770       23,332  

Cardinal Health Inc

    43,496       2,349  

Catalent Inc *

     26,400       2,694  

Centene Corp *

     89,664       7,408  

Cerner Corp

    45,200       4,215  

Charles River Laboratories International Inc *

     7,800       2,271  

Cigna Corp

    50,707       12,057  

Cooper Cos Inc/The

    7,600       3,109  

CVS Health Corp

    202,057       20,943  

Danaher Corp

    97,400       26,728  

DaVita Inc *

     10,095       1,138  

DENTSPLY SIRONA Inc

    33,991       1,840  

Dexcom Inc *

     14,900       6,167  

Edwards Lifesciences Corp *

     95,400       10,720  

Eli Lilly & Co

    121,545       30,380  

Gilead Sciences Inc

    191,778       11,583  

HCA Healthcare Inc

    36,595       9,160  

Henry Schein Inc *

     21,600       1,866  

Hologic Inc *

     39,100       2,783  

Humana Inc

    19,796       8,598  

IDEXX Laboratories Inc *

     12,900       6,867  

Illumina Inc *

     23,900       7,806  

Incyte Corp *

     29,000       1,981  

Intuitive Surgical Inc *

     54,600       15,852  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

IQVIA Holdings Inc *

     29,200     $ 6,720  

Johnson & Johnson

    403,170       66,350  

Laboratory Corp of America Holdings *

     14,700       3,988  

McKesson Corp

    23,460       6,451  

Medtronic PLC

    205,961       21,624  

Merck & Co Inc

    386,670       29,611  

Mettler-Toledo International Inc *

     3,500       4,931  

Moderna Inc *

     54,200       8,325  

Organon & Co

    38,247       1,428  

PerkinElmer Inc

    19,400       3,484  

Pfizer Inc

    859,435       40,342  

Quest Diagnostics Inc

    18,900       2,481  

Regeneron Pharmaceuticals Inc *

     16,200       10,017  

ResMed Inc

    22,400       5,527  

STERIS PLC

    15,400       3,696  

Stryker Corp

    51,396       13,535  

Teleflex Inc

    7,200       2,421  

Thermo Fisher Scientific Inc

    60,291       32,798  

UnitedHealth Group Inc

    144,287       68,662  

Universal Health Services Inc, Cl B

    11,400       1,641  

Vertex Pharmaceuticals Inc *

     38,900       8,948  

Viatris Inc, Cl W *

     185,905       2,047  

Waters Corp *

     9,400       2,977  

West Pharmaceutical Services Inc

    11,400       4,413  

Zimmer Biomet Holdings Inc

    32,095       4,082  

Zoetis Inc, Cl A

    72,400       14,020  
                 
              755,948  

Industrials — 7.8%

        

3M Co

    88,091       13,095  

A O Smith Corp

    20,700       1,420  

Alaska Air Group Inc *

     18,900       1,061  

Allegion plc

    13,996       1,603  

American Airlines Group Inc *(A)

     100,991       1,742  

AMETEK Inc

    35,500       4,608  

Boeing Co/The *

     84,491       17,349  

Carrier Global Corp

    132,285       5,937  

Caterpillar Inc

    82,791       15,530  

CH Robinson Worldwide Inc

    20,195       1,952  

Cintas Corp

    13,495       5,065  

Copart Inc *

     32,800       4,030  

CSX Corp

    339,134       11,500  

Cummins Inc

    21,796       4,449  

Deere & Co

    43,196       15,551  

Delta Air Lines Inc *

     98,287       3,924  

Dover Corp

    22,100       3,467  

Eaton Corp PLC

    60,895       9,395  

Emerson Electric Co

    91,291       8,483  

Equifax Inc

    18,595       4,060  

Expeditors International of Washington Inc

    25,991       2,686  

Fastenal Co

    88,282       4,543  

FedEx Corp

    37,300       8,291  

 

 

 

30

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

S&P 500 Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Fortive Corp

    55,025     $ 3,563  

Fortune Brands Home & Security Inc

    21,000       1,825  

Generac Holdings Inc *

     9,700       3,060  

General Dynamics Corp

    35,396       8,299  

General Electric Co

    167,986       16,044  

Honeywell International Inc

    105,387       19,997  

Howmet Aerospace Inc

    59,466       2,136  

Huntington Ingalls Industries Inc

    6,100       1,247  

IDEX Corp

    11,700       2,245  

Illinois Tool Works Inc

    43,695       9,453  

Ingersoll Rand Inc

    62,627       3,164  

Jacobs Engineering Group Inc

    20,096       2,472  

JB Hunt Transport Services Inc

    13,000       2,638  

Johnson Controls International plc

    108,946       7,077  

L3Harris Technologies Inc

    29,960       7,559  

Leidos Holdings Inc

    21,800       2,220  

Lockheed Martin Corp

    37,556       16,292  

Masco Corp

    37,600       2,107  

Nielsen Holdings PLC

    54,500       949  

Nordson Corp

    8,300       1,880  

Norfolk Southern Corp

    37,196       9,542  

Northrop Grumman Corp

    22,796       10,079  

Old Dominion Freight Line Inc

    14,300       4,491  

Otis Worldwide Corp

    65,192       5,106  

PACCAR Inc

    53,300       4,893  

Parker-Hannifin Corp

    19,800       5,869  

Pentair PLC

    25,900       1,500  

Quanta Services Inc

    21,900       2,386  

Raytheon Technologies Corp

    229,108       23,529  

Republic Services Inc, Cl A

    32,100       3,861  

Robert Half International Inc

    17,095       2,056  

Rockwell Automation Inc

    17,796       4,744  

Rollins Inc

    35,500       1,158  

Roper Technologies Inc

    16,200       7,261  

Snap-on Inc

    8,300       1,745  

Southwest Airlines Co *

     90,887       3,981  

Stanley Black & Decker Inc

    24,995       4,067  

Textron Inc

    33,991       2,486  

Trane Technologies PLC

    36,196       5,572  

TransDigm Group Inc *

     8,000       5,333  

Union Pacific Corp

    98,387       24,198  

United Airlines Holdings Inc *

     49,800       2,211  

United Parcel Service Inc, Cl B

    111,587       23,480  

United Rentals Inc *

     11,100       3,570  

Verisk Analytics Inc, Cl A

    24,700       4,380  

Waste Management Inc

    58,800       8,491  

Westinghouse Air Brake Technologies Corp

    28,753       2,669  

WW Grainger Inc

    6,700       3,196  

Xylem Inc/NY

    27,800       2,473  
                 
              448,295  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Information Technology — 27.8%

        

Accenture PLC, Cl A

    96,696     $ 30,558  

Adobe Inc *

     72,795       34,045  

Advanced Micro Devices Inc *

     250,289       30,871  

Akamai Technologies Inc *

     24,996       2,706  

Amphenol Corp, Cl A

    91,282       6,938  

Analog Devices Inc

    82,155       13,169  

ANSYS Inc *

     13,400       4,344  

Apple Inc

    2,387,684       394,254  

Applied Materials Inc

    138,200       18,546  

Arista Networks Inc *

     34,400       4,222  

Autodesk Inc *

     33,600       7,400  

Automatic Data Processing Inc

    64,491       13,185  

Broadcom Inc

    63,059       37,043  

Broadridge Financial Solutions Inc

    18,000       2,632  

Cadence Design Systems Inc *

     42,300       6,406  

CDW Corp/DE

    20,800       3,587  

Ceridian HCM Holding Inc *

     21,100       1,538  

Cisco Systems Inc/Delaware

    645,743       36,013  

Citrix Systems Inc

    19,300       1,978  

Cognizant Technology Solutions Corp, Cl A

    80,195       6,907  

Corning Inc

    117,870       4,762  

DXC Technology Co *

     38,552       1,312  

Enphase Energy Inc *

     20,800       3,467  

EPAM Systems Inc *

     8,700       1,807  

F5 Inc *

     9,300       1,868  

Fidelity National Information Services Inc

    93,100       8,866  

Fiserv Inc *

     90,800       8,868  

FleetCor Technologies Inc *

     12,500       2,928  

Fortinet Inc *

     20,700       7,132  

Gartner Inc *

     12,600       3,533  

Global Payments Inc

    44,572       5,945  

Hewlett Packard Enterprise Co

    200,874       3,198  

HP Inc

    175,874       6,043  

Intel Corp

    622,552       29,696  

International Business Machines Corp

    137,251       16,815  

Intuit Inc

    43,300       20,540  

IPG Photonics Corp *

     5,400       704  

Jack Henry & Associates Inc

    11,500       2,033  

Juniper Networks Inc

    50,600       1,710  

Keysight Technologies Inc *

     28,300       4,454  

KLA Corp

    23,200       8,085  

Lam Research Corp

    21,495       12,066  

Mastercard Inc, Cl A

    132,847       47,934  

Microchip Technology Inc

    85,292       5,999  

Micron Technology Inc

    171,100       15,204  

Microsoft Corp

    1,150,204       343,669  

Monolithic Power Systems Inc

    6,700       3,073  

Motorola Solutions Inc

    25,788       5,685  

NetApp Inc

    34,391       2,696  

NortonLifeLock Inc

    89,700       2,599  

NVIDIA Corp

    382,932       93,378  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

31

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

S&P 500 Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

NXP Semiconductors NV

    40,900     $ 7,776  

Oracle Corp

    246,765       18,747  

Paychex Inc

    48,987       5,832  

Paycom Software Inc *

     7,400       2,510  

PayPal Holdings Inc *

     179,783       20,123  

PTC Inc *

     16,300       1,814  

Qorvo Inc *

     17,000       2,325  

QUALCOMM Inc

    171,478       29,492  

salesforce.com Inc *

     149,891       31,556  

Seagate Technology Holdings PLC

    31,500       3,250  

ServiceNow Inc *

     30,400       17,630  

Skyworks Solutions Inc

    25,396       3,509  

SolarEdge Technologies Inc *

     8,100       2,587  

Synopsys Inc *

     23,400       7,310  

TE Connectivity Ltd

    49,791       7,092  

Teledyne Technologies Inc *

     7,151       3,071  

Teradyne Inc

    25,000       2,948  

Texas Instruments Inc

    141,383       24,034  

Trimble Inc *

     38,700       2,699  

Tyler Technologies Inc *

     6,300       2,698  

VeriSign Inc *

     14,900       3,184  

Visa Inc, Cl A

    256,770       55,493  

Western Digital Corp *

     47,931       2,442  

Zebra Technologies Corp, Cl A *

     8,200       3,389  
                 
              1,593,922  

Materials — 2.5%

        

Air Products and Chemicals Inc

    33,800       7,987  

Albemarle Corp

    18,000       3,526  

Amcor PLC

    236,262       2,748  

Avery Dennison Corp

    12,800       2,255  

Ball Corp

    49,692       4,459  

Celanese Corp, Cl A

    16,800       2,340  

CF Industries Holdings Inc

    33,100       2,687  

Corteva Inc

    112,031       5,829  

Dow Inc

    112,965       6,661  

DuPont de Nemours Inc

    79,082       6,119  

Eastman Chemical Co

    20,696       2,452  

Ecolab Inc

    38,115       6,718  

FMC Corp

    19,600       2,298  

Freeport-McMoRan Inc, Cl B

    224,500       10,540  

International Flavors & Fragrances Inc

    39,054       5,194  

International Paper Co

    59,696       2,599  

Linde PLC

    78,460       23,007  

LyondellBasell Industries NV, Cl A

    40,356       3,924  

Martin Marietta Materials Inc

    9,600       3,642  

Mosaic Co/The

    57,091       2,993  

Newmont Corp

    122,583       8,115  

Nucor Corp

    43,887       5,776  

Packaging Corp of America

    14,600       2,149  

PPG Industries Inc

    36,200       4,831  

Sealed Air Corp

    23,000       1,544  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Sherwin-Williams Co/The

    36,900     $ 9,710  

Vulcan Materials Co

    20,400       3,702  

Westrock Co

    41,182       1,864  
                 
              145,669  

Real Estate — 2.6%

        

Alexandria Real Estate Equities Inc ‡

     21,700       4,110  

American Tower Corp, Cl A ‡

     69,700       15,813  

AvalonBay Communities Inc ‡

     21,300       5,082  

Boston Properties Inc ‡

     21,900       2,679  

CBRE Group Inc, Cl A *

     50,991       4,938  

Crown Castle International Corp ‡

     66,096       11,011  

Digital Realty Trust Inc ‡

     43,600       5,883  

Duke Realty Corp ‡

     58,500       3,100  

Equinix Inc ‡

     13,757       9,764  

Equity Residential ‡

     52,396       4,469  

Essex Property Trust Inc ‡

     10,000       3,172  

Extra Space Storage Inc ‡

     20,600       3,876  

Federal Realty Investment Trust ‡

     10,800       1,270  

Healthpeak Properties Inc ‡

     82,800       2,572  

Host Hotels & Resorts Inc *‡

     110,274       2,015  

Iron Mountain Inc ‡(A)

     44,701       2,198  

Kimco Realty Corp ‡

     94,787       2,230  

Mid-America Apartment Communities Inc ‡

     17,700       3,622  

Prologis Inc ‡

     113,099       16,495  

Public Storage ‡

     23,295       8,270  

Realty Income Corp ‡

     86,900       5,743  

Regency Centers Corp ‡

     23,900       1,575  

SBA Communications Corp, Cl A ‡

     16,700       5,067  

Simon Property Group Inc ‡

     50,496       6,946  

UDR Inc ‡

     44,800       2,458  

Ventas Inc ‡

     61,300       3,310  

Vornado Realty Trust ‡

     24,996       1,082  

Welltower Inc ‡

     66,900       5,572  

Weyerhaeuser Co ‡

     114,945       4,469  
                 
              148,791  

Utilities — 2.5%

        

AES Corp/The

    102,600       2,178  

Alliant Energy Corp

    38,600       2,254  

Ameren Corp

    39,591       3,403  

American Electric Power Co Inc

    77,400       7,016  

American Water Works Co Inc

    27,900       4,216  

Atmos Energy Corp

    20,500       2,251  

CenterPoint Energy Inc

    96,683       2,644  

CMS Energy Corp

    44,491       2,848  

Consolidated Edison Inc

    54,300       4,657  

Constellation Energy Corp

    49,963       2,297  

Dominion Energy Inc

    123,785       9,845  

DTE Energy Co

    29,700       3,611  

Duke Energy Corp

    117,591       11,807  

Edison International

    58,296       3,697  

Entergy Corp

    30,900       3,251  

 

 

 

32

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

S&P 500 Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Evergy Inc

    35,400     $ 2,209  

Eversource Energy

    52,800       4,319  

Exelon Corp

    150,391       6,401  

FirstEnergy Corp

    83,587       3,498  

NextEra Energy Inc

    300,300       23,505  

NiSource Inc

    60,487       1,750  

NRG Energy Inc

    37,887       1,434  

Pinnacle West Capital Corp

    17,100       1,211  

PPL Corp

    115,300       3,017  

Public Service Enterprise Group Inc

    77,600       5,031  

Sempra Energy

    49,095       7,081  

Southern Co/The

    162,000       10,493  

WEC Energy Group Inc

    48,431       4,402  

Xcel Energy Inc

    82,183       5,533  
                 
              145,859  

Total Common Stock

               

(Cost $2,521,237) ($ Thousands)

             5,675,779  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 0.2%

SEI Liquidity Fund, L.P.

                

0.050% **†(B)

     7,646,744     $ 7,639  
                 
                 

Total Affiliated Partnership

                

(Cost $7,646) ($ Thousands)

     7,639  
                 
                 
                 

CASH EQUIVALENT — 0.6%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     36,748,466       36,748  
                 

Total Cash Equivalent

                

(Cost $36,748) ($ Thousands)

             36,748  
                 
                 

Total Investments in Securities — 99.8%

                

(Cost $2,565,631) ($ Thousands)

  $ 5,720,166  
                 
                 
                 

 

 
 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     265       Mar-2022     $ 62,314     $ 57,876     $ (4,438 )
                                         

 

 

 

Percentages are based on Net Assets of $5,732,535 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security.

(A)

Certain securities or partial positions of certain securities are on loan at February 28, 2022. The total market value of securities on loan at February 28, 2022 was $7,376 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of February 28, 2022 was $7,639 ($ Thousands).

 

Cl — Class

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

S&P— Standard & Poor's

USD — U.S. Dollar

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Common Stock

     5,675,779       –       –       5,675,779  

Affiliated Partnership

     –       7,639       –       7,639  

Cash Equivalent

     36,748       –       –       36,748  

Total Investments in Securities

     5,712,527       7,639       –       5,720,166  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Depreciation

     (4,438 )     –       –       (4,438 )

Total Other Financial Instruments

     (4,438 )     –       –       (4,438 )

 

 

*

Futures contracts are valued at the unrealized depreciation on the instrument.

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

33

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

S&P 500 Index Fund (Concluded)

 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Liquidity Fund, L.P.

   $ 14,433     $ 77,069     $ (83,862 )   $ 1     $ (2 )   $ 7,639       7,646,744     $ 6     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     64,021       470,241       (497,514 )     —       —       36,748       36,748,466       4       —  

Totals

   $ 78,454     $ 547,310     $ (581,376 )   $ 1     $ (2 )   $ 44,387             $ 10     $ —  

 

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

 

 

34

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 99.3%
                 

Communication Services — 3.5%

        

Advantage Solutions Inc *

     18,900     $ 149  

Altice USA Inc, Cl A *

     47,675       551  

AMC Entertainment Holdings Inc, Cl A *(A)

     117,594       2,218  

AMC Networks Inc, Cl A *

     6,160       255  

Anterix Inc *

     2,500       133  

ATN International Inc

    2,267       76  

Audacy Inc, Cl A *

     28,756       89  

Bandwidth Inc, Cl A *

     5,000       153  

Boston Omaha Corp, Cl A *

     4,300       120  

Cable One Inc

    1,200       1,719  

Cardlytics Inc *

     7,100       412  

Cargurus Inc, Cl A *

     21,300       1,032  

Cars.com Inc *

     15,200       246  

Chicken Soup For The Soul Entertainment, Cl A *

     2,500       24  

Cinemark Holdings Inc *

     24,640       432  

Clear Channel Outdoor Holdings Inc, Cl A *

     88,200       330  

Cogent Communications Holdings Inc

    9,604       609  

comScore Inc *

     20,100       53  

Consolidated Communications Holdings Inc *

     16,612       118  

CuriosityStream *

     5,600       21  

Daily Journal Corp *

     300       97  

Digital Media Solutions, Cl A *

     600       2  

EchoStar Corp, Cl A *

     8,903       217  

Emerald Holding Inc *

     5,700       20  

Entravision Communications Corp, Cl A

    14,200       91  

Eros STX Global *

     2,985       9  

Eventbrite Inc, Cl A *

     16,900       255  

EverQuote Inc, Cl A *

     4,400       65  

EW Scripps Co/The, Cl A *

     13,896       309  

Fluent Inc *

     18,300       26  

fuboTV *(A)

     30,800       263  

Gannett Co Inc *

     32,687       162  

Globalstar Inc *(A)

     146,200       173  

Gogo Inc *(A)

     13,900       198  

Gray Television Inc

    19,500       457  

Hemisphere Media Group Inc, Cl A *

     3,500       19  

IAC/InterActiveCorp *

     17,576       2,017  

IDT Corp, Cl B *

     4,100       148  

iHeartMedia Inc, Cl A *

     24,700       530  

IMAX Corp *

     11,800       244  

Integral Ad Science Holding *

     3,600       67  

Iridium Communications Inc *

     26,546       1,051  

John Wiley & Sons Inc, Cl A

    9,772       492  

Liberty Broadband Corp, Cl A *

     5,283       765  

Liberty Broadband Corp, Cl C *

     32,414       4,755  

Liberty Latin America Ltd, Cl A *

     8,300       83  

Liberty Latin America Ltd, Cl C *

     34,462       348  

Liberty Media Corp-Liberty Braves, Cl A *

     1,803       46  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Liberty Media Corp-Liberty Braves, Cl C *

     9,065     $ 224  

Liberty Media Corp-Liberty Formula One, Cl A *

     5,408       304  

Liberty Media Corp-Liberty Formula One, Cl C *

     44,642       2,711  

Liberty Media Corp-Liberty SiriusXM, Cl A *

     21,335       1,074  

Liberty Media Corp-Liberty SiriusXM, Cl C *

     36,822       1,853  

Liberty TripAdvisor Holdings Inc, Cl A *

     13,392       28  

Lions Gate Entertainment Corp, Cl A *

     14,516       223  

Lions Gate Entertainment Corp, Cl B *

     25,675       366  

LiveOne *

     5,200       4  

Loyalty Ventures Inc *

     4,280       103  

Madison Square Garden Entertainment Corp *

     6,011       471  

Madison Square Garden Sports Corp, Cl A *

     4,279       740  

Magnite Inc *

     31,638       461  

Marcus Corp/The *(A)

     5,161       94  

MediaAlpha Inc, Cl A *

     4,200       60  

National CineMedia Inc

    15,007       45  

New York Times Co/The, Cl A

    36,682       1,614  

Nexstar Media Group Inc, Cl A

    9,044       1,674  

Ooma Inc *

     2,200       37  

Outbrain *

     1,700       22  

Pinterest Inc, Cl A *

     128,911       3,448  

Playtika Holding Corp *

     23,500       484  

QuinStreet Inc *

     11,286       127  

Radius Global Infrastructure, Cl A *

     13,200       170  

Roku Inc, Cl A *

     27,148       3,788  

Scholastic Corp

    6,567       276  

Shenandoah Telecommunications Co

    10,404       233  

Sinclair Broadcast Group Inc, Cl A

    10,311       309  

Sirius XM Holdings Inc (A)

     202,081       1,245  

Skillz Inc, Cl A *(A)

     69,300       216  

Society Pass *(A)

     700       2  

Spotify Technology SA *

     31,503       4,920  

Stagwell *

     13,400       102  

TechTarget Inc *

     6,100       478  

TEGNA Inc

    50,000       1,146  

Telephone and Data Systems Inc

    23,055       400  

Telesat *(A)

     2,700       56  

Thryv Holdings *

     1,400       43  

TripAdvisor Inc *

     22,500       572  

TrueCar Inc *

     22,900       77  

United States Cellular Corp *

     2,952       81  

Vimeo Inc *

     34,746       451  

WideOpenWest Inc *

     11,700       199  

World Wrestling Entertainment Inc, Cl A

    10,034       595  

Yelp Inc, Cl A *

     16,298       552  

Ziff Davis Inc *

     10,157       1,022  

Zynga Inc, Cl A *

     235,674       2,140  
                 
              56,889  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

35

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Consumer Discretionary — 10.8%

        

1-800-Flowers.com Inc, Cl A *

     5,400     $ 84  

1stdibs.com *

     1,400       15  

2U Inc *

     15,900       167  

Aaron's Co Inc/The

    6,958       146  

Abercrombie & Fitch Co, Cl A *

     13,100       499  

Academy Sports & Outdoors Inc *

     17,500       566  

Accel Entertainment Inc, Cl A *

     14,200       186  

Acushnet Holdings Corp

    7,400       324  

Adient PLC *

     21,800       975  

Adtalem Global Education Inc *

     10,581       220  

aka Brands Holding *

     2,100       16  

American Axle & Manufacturing Holdings Inc *

     26,198       243  

American Eagle Outfitters Inc (A)

     35,122       740  

American Outdoor Brands Inc *

     3,095       48  

American Public Education Inc *

     5,227       104  

America's Car-Mart Inc/TX *

     1,250       120  

AMMO *(A)

     17,700       83  

Aramark

    52,600       1,944  

Arcimoto *(A)

     5,900       35  

Arko Corp

    25,600       214  

Asbury Automotive Group Inc *

     5,198       1,009  

Aterian *

     4,200       13  

AutoNation Inc *

     9,500       1,089  

Bally's Corp *

     8,028       289  

Barnes & Noble Education Inc *

     8,200       45  

Bassett Furniture Industries Inc

    2,000       35  

Beazer Homes USA Inc *

     7,161       117  

Bed Bath & Beyond Inc *

     23,500       397  

Big 5 Sporting Goods Corp (A)

     5,600       93  

Big Lots Inc

    7,446       259  

Biglari Holdings Inc, Cl B *

     182       25  

BJ's Restaurants Inc *

     4,642       149  

Bloomin' Brands Inc

    20,150       496  

Bluegreen Vacations Holding Corp, Cl A *

     3,387       96  

Boot Barn Holdings Inc *

     6,600       574  

Boyd Gaming Corp

    18,145       1,287  

Bright Horizons Family Solutions Inc *

     13,935       1,820  

Brinker International Inc *

     10,382       442  

Brunswick Corp/DE

    17,683       1,689  

Buckle Inc/The

    6,651       239  

Burlington Stores Inc *

     15,300       3,456  

Caleres Inc

    8,576       178  

Callaway Golf Co *

     26,006       643  

Camping World Holdings Inc, Cl A (A)

     9,200       283  

Canoo *(A)

     23,900       137  

Capri Holdings Ltd *

     33,900       2,296  

CarLotz *

     9,300       19  

CarParts.com Inc *

     10,300       86  

Carriage Services Inc, Cl A

    3,506       173  

Carrols Restaurant Group Inc

    7,900       21  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Carter's Inc

    9,570     $ 925  

Carvana Co, Cl A *

     18,100       2,724  

Cato Corp/The, Cl A

    1,696       30  

Cavco Industries Inc *

     2,131       581  

Century Casinos Inc *

     6,200       76  

Century Communities Inc

    7,300       465  

Cheesecake Factory Inc/The *

     10,323       442  

Chegg Inc *

     32,310       1,010  

Chico's FAS Inc *

     27,051       127  

Children's Place Inc/The *

     3,433       216  

Choice Hotels International Inc

    8,077       1,166  

Churchill Downs Inc

    8,431       2,031  

Chuy's Holdings Inc *

     4,769       155  

Citi Trends Inc *

     1,797       67  

Clarus Corp

    6,221       142  

Columbia Sportswear Co

    8,944       829  

Conn's Inc *

     3,909       72  

Container Store Group Inc/The *

     7,800       69  

Cooper-Standard Holdings Inc *

     3,300       42  

Coursera *

     16,000       325  

Cracker Barrel Old Country Store Inc

    5,444       731  

Crocs Inc *

     13,103       1,097  

Dana Inc

    32,698       609  

Dave & Buster's Entertainment Inc *

     9,900       429  

Deckers Outdoor Corp *

     6,304       1,820  

Del Taco Restaurants Inc

    6,700       84  

Denny's Corp *

     14,463       229  

Designer Brands Inc, Cl A *

     13,992       183  

Dick's Sporting Goods Inc (A)

     14,435       1,516  

Dillard's Inc, Cl A (A)

     1,362       341  

Dine Brands Global Inc

    3,672       308  

DoorDash Inc, Cl A *

     33,100       3,474  

Dorman Products Inc *

     6,040       564  

DraftKings Inc, Cl A *(A)

     70,900       1,679  

Drive Shack Inc *

     17,700       24  

Duluth Holdings Inc, Cl B *

     2,900       40  

El Pollo Loco Holdings Inc *

     3,900       52  

Escalade Inc

    2,500       33  

Esports Technologies *(A)

     2,500       21  

Ethan Allen Interiors Inc

    5,276       138  

European Wax Center, Cl A *

     3,200       80  

Everi Holdings Inc *

     18,900       442  

F45 Training Holdings *

     4,400       68  

Fiesta Restaurant Group Inc *

     2,905       29  

First Watch Restaurant Group *

     2,400       35  

Fisker *(A)

     37,200       454  

Five Below Inc *

     12,605       2,062  

Flexsteel Industries Inc

    1,400       30  

Floor & Decor Holdings Inc, Cl A *

     23,300       2,228  

Foot Locker Inc

    20,500       648  

Fossil Group Inc *

     10,700       145  

Fox Factory Holding Corp *

     9,600       1,133  

 

 

 

36

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Franchise Group

    6,800     $ 287  

Frontdoor Inc *

     19,150       575  

Full House Resorts *

     7,000       62  

Funko Inc, Cl A *

     6,000       105  

GameStop Corp, Cl A *(A)

     14,700       1,813  

GAN *

     7,900       53  

Gap Inc/The

    45,500       662  

Genesco Inc *

     2,669       171  

Genius Brands International *(A)

     76,600       68  

Gentex Corp

    54,290       1,643  

Gentherm Inc *

     7,548       640  

G-III Apparel Group Ltd *

     10,906       303  

Golden Entertainment Inc *

     4,131       235  

Golden Nugget Online Gaming *

     6,800       58  

Goodyear Tire & Rubber Co/The *

     62,068       961  

GoPro Inc, Cl A *

     29,300       252  

Graham Holdings Co, Cl B

    900       541  

Grand Canyon Education Inc *

     9,015       783  

Green Brick Partners Inc *

     6,200       144  

Greenlane Holdings Inc, Cl A *

     2,400       1  

Group 1 Automotive Inc

    3,935       716  

Groupon, Cl A *(A)

     5,457       119  

GrowGeneration Corp *(A)

     12,100       102  

Guess? Inc

    10,117       222  

H&R Block Inc

    39,800       987  

Hall of Fame Resort & Entertainment *

     11,800       13  

Hamilton Beach Brands Holding Co, Cl A

    2,010       30  

Hanesbrands Inc

    80,000       1,236  

Harley-Davidson Inc

    35,700       1,474  

Haverty Furniture Cos Inc

    4,363       124  

Hayward Holdings Inc *

     11,100       199  

Helen of Troy Ltd *

     5,448       1,121  

Hibbett Inc

    3,412       154  

Hilton Grand Vacations Inc *

     19,570       1,015  

Hooker Furnishings Corp

    2,700       57  

Houghton Mifflin Harcourt Co *

     29,203       612  

Hovnanian Enterprises Inc, Cl A *

     1,400       135  

Hyatt Hotels Corp, Cl A *

     11,227       1,090  

Installed Building Products Inc

    5,300       513  

International Game Technology PLC (A)

     22,500       689  

iRobot Corp *(A)

     6,202       386  

Jack in the Box Inc

    5,021       433  

JOANN (A)

     2,500       28  

Johnson Outdoors Inc, Cl A

    1,400       115  

KB Home

    18,085       698  

Kirkland's Inc *(A)

     3,000       42  

Kohl's Corp

    34,300       1,908  

Kontoor Brands Inc

    11,600       575  

Krispy Kreme (A)

     4,700       70  

Kura Sushi USA Inc, Cl A *

     800       42  

Lands' End Inc *

     2,862       49  

Landsea Homes *

     1,300       9  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Latham Group *

     7,300     $ 128  

Laureate Education Inc, Cl A

    22,700       246  

La-Z-Boy Inc

    9,526       278  

Lazydays Holdings Inc *

     1,600       29  

LCI Industries

    5,749       716  

Lear Corp

    13,771       2,167  

Legacy Housing Corp *

     1,400       36  

Leggett & Platt Inc

    31,000       1,149  

Leslie's Inc *

     30,556       651  

LGI Homes Inc *

     4,900       618  

Life Time Group Holdings *(A)

     8,300       129  

Lifetime Brands Inc

    3,300       43  

Lindblad Expeditions Holdings Inc *

     6,900       122  

Liquidity Services Inc *

     5,922       102  

Lithia Motors Inc, Cl A

    6,733       2,295  

Lordstown Motors, Cl A *(A)

     34,900       90  

Lovesac Co/The *

     2,900       123  

Lululemon Athletica Inc *

     26,182       8,377  

Lulu's Fashion Lounge Holdings *

     1,300       13  

Lumber Liquidators Holdings Inc *

     6,926       111  

M/I Homes Inc *

     6,594       325  

Macy's Inc

    71,600       1,856  

Malibu Boats Inc, Cl A *

     4,600       320  

Marine Products Corp

    1,800       22  

MarineMax Inc *

     5,161       236  

Marriott Vacations Worldwide Corp

    9,572       1,538  

MasterCraft Boat Holdings Inc *

     5,000       143  

Mattel Inc *

     80,000       1,998  

MDC Holdings Inc

    12,968       575  

Meritage Homes Corp *

     8,311       819  

Mister Car Wash Inc *

     16,500       264  

Modine Manufacturing Co *

     9,874       100  

Monarch Casino & Resort Inc *

     2,900       226  

Monro Inc

    7,828       365  

Motorcar Parts of America Inc *

     3,700       60  

Movado Group Inc

    3,520       139  

Murphy USA Inc

    5,500       994  

Nathan's Famous Inc

    900       52  

National Vision Holdings Inc *

     18,300       671  

Nautilus Inc *

     7,000       34  

NEOGAMES *

     2,300       52  

Noodles & Co, Cl A *

     11,000       75  

Nordstrom Inc *(A)

     24,600       510  

ODP Corp/The *

     10,512       463  

Ollie's Bargain Outlet Holdings Inc *

     14,700       635  

ONE Group Hospitality Inc/The *

     4,200       49  

OneSpaWorld Holdings Ltd *

     12,400       128  

OneWater Marine Inc, Cl A

    2,200       112  

Overstock.com Inc *(A)

     10,300       586  

Oxford Industries Inc

    3,454       305  

Papa John's International Inc

    7,442       795  

Party City Holdco Inc *

     26,600       115  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

37

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Patrick Industries Inc

    5,225     $ 373  

Peloton Interactive Inc, Cl A *

     61,735       1,794  

Penske Automotive Group Inc

    7,088       697  

Perdoceo Education Corp *

     16,254       170  

Petco Health & Wellness Co Inc, Cl A *(A)

     11,800       207  

PetMed Express Inc (A)

     4,596       124  

Planet Fitness Inc, Cl A *

     18,500       1,566  

PlayAGS Inc *

     8,100       68  

PLBY Group *

     7,100       113  

Polaris Inc (A)

     13,207       1,605  

Porch Group *

     16,300       132  

Portillo's, Cl A *(A)

     5,000       125  

PowerSchool Holdings, Cl A *(A)

     13,800       217  

Purple Innovation Inc, Cl A *

     10,765       65  

QuantumScape Corp, Cl A *(A)

     55,300       893  

Quotient Technology Inc *

     21,000       139  

Qurate Retail Inc

    83,022       457  

RCI Hospitality Holdings Inc

    2,300       149  

RealReal Inc/The *

     17,400       155  

Red Robin Gourmet Burgers Inc *

     2,967       52  

Red Rock Resorts Inc, Cl A

    13,200       664  

Regis Corp *

     6,527       12  

Rent the Runway, Cl A *(A)

     3,700       22  

Rent-A-Center Inc/TX, Cl A

    15,040       427  

Revolve Group Inc, Cl A *

     8,000       379  

RH *

     4,011       1,612  

Rivian Automotive Inc, Cl A *(A)

     32,700       2,209  

Rocky Brands Inc

    2,300       89  

Rush Street Interactive *

     13,600       140  

Ruth's Hospitality Group Inc

    7,898       196  

Sally Beauty Holdings Inc *

     25,291       437  

Scientific Games Corp, Cl A *

     21,862       1,376  

SeaWorld Entertainment Inc *

     11,600       805  

Service Corp International/US

    36,789       2,239  

Shake Shack Inc, Cl A *

     8,500       635  

Shift Technologies Inc *(A)

     16,800       34  

Shoe Carnival Inc

    4,152       121  

Shutterstock Inc

    5,297       480  

Signet Jewelers Ltd

    11,900       839  

Six Flags Entertainment Corp *

     17,658       771  

Skechers USA Inc, Cl A *

     29,146       1,340  

Skyline Champion Corp *

     11,800       793  

Sleep Number Corp *

     5,009       329  

Smith & Wesson Brands Inc

    12,383       218  

Snap One Holdings *(A)

     2,800       55  

Solo Brands, Cl A *(A)

     2,600       27  

Sonic Automotive Inc, Cl A

    5,064       272  

Sonos Inc *

     27,400       750  

Sportsman's Warehouse Holdings Inc *

     9,400       107  

Standard Motor Products Inc

    4,766       208  

Steven Madden Ltd

    18,151       774  

Stitch Fix Inc, Cl A *

     17,800       223  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

StoneMor *

     6,900     $ 18  

Stoneridge Inc *

     5,930       98  

Strategic Education Inc

    5,387       318  

Stride Inc *

     9,488       319  

Sturm Ruger & Co Inc

    3,942       285  

Superior Group of Cos Inc

    2,000       41  

Target Hospitality Corp *

     12,300       39  

Taylor Morrison Home Corp, Cl A *

     28,060       828  

Tempur Sealy International Inc

    40,792       1,347  

Tenneco Inc, Cl A *

     15,263       294  

Terminix Global Holdings Inc *

     28,300       1,204  

Texas Roadhouse Inc, Cl A

    16,166       1,534  

Thor Industries Inc

    12,190       1,103  

Tilly's Inc, Cl A

    5,243       67  

Toll Brothers Inc

    25,439       1,380  

TopBuild Corp *

     7,600       1,632  

Torrid Holdings *(A)

     2,700       24  

Traeger *(A)

     4,800       47  

Travel + Leisure Co

    19,700       1,104  

TravelCenters of America *

     2,700       114  

Tri Pointe Homes Inc *

     25,173       563  

Tupperware Brands Corp *(A)

     10,124       185  

Udemy *(A)

     5,000       66  

Unifi Inc *

     2,480       47  

Universal Electronics Inc *

     2,887       96  

Urban Outfitters Inc *

     15,800       435  

Vail Resorts Inc

    9,112       2,374  

Vera Bradley Inc *

     5,870       44  

Victoria's Secret & Co *

     17,100       917  

Vista Outdoor Inc *

     13,073       477  

Visteon Corp *

     6,265       753  

Vivint Smart Home *

     22,400       161  

VOXX International Corp, Cl A *

     3,800       41  

Vroom Inc *

     25,400       154  

Vuzix *(A)

     14,200       80  

Wayfair Inc, Cl A *(A)

     17,500       2,465  

Weber, Cl A (A)

     3,600       41  

Wendy's Co/The

    41,875       952  

Williams-Sonoma Inc

    16,937       2,454  

Wingstop Inc

    6,800       988  

Winmark Corp

    791       179  

Winnebago Industries Inc

    7,235       464  

Wolverine World Wide Inc

    17,896       412  

Workhorse Group Inc *(A)

     25,800       81  

WW International Inc *

     12,174       124  

Wyndham Hotels & Resorts Inc

    21,000       1,815  

XL Fleet *(A)

     8,200       16  

Xometry, Cl A *(A)

     1,700       83  

XPEL Inc *

     4,000       290  

Xponential Fitness, Cl A *

     2,000       42  

YETI Holdings Inc *

     19,400       1,194  

Yum China Holdings Inc

    98,548       5,126  

 

 

 

38

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Zumiez Inc *

     4,803     $ 214  
                 
              175,522  

Consumer Staples — 3.1%

        

22nd Century Group Inc *(A)

     39,100       91  

Albertsons Cos Inc, Cl A

    35,100       1,023  

Andersons Inc/The

    7,799       356  

AppHarvest *(A)

     12,100       46  

B&G Foods Inc, Cl A (A)

     14,611       432  

Beauty Health Co/The *

     18,500       358  

BellRing Brands Inc, Cl A *

     9,500       243  

Beyond Meat Inc *(A)

     13,000       608  

BJ's Wholesale Club Holdings Inc *

     31,200       1,962  

Boston Beer Co Inc/The, Cl A *

     2,183       837  

Bunge Ltd

    31,743       3,319  

Calavo Growers Inc

    4,426       189  

Cal-Maine Foods Inc

    9,028       400  

Casey's General Stores Inc

    8,459       1,591  

Celsius Holdings Inc *

     12,100       773  

Central Garden & Pet Co *

     2,600       123  

Central Garden & Pet Co, Cl A *

     9,529       420  

Chefs' Warehouse Inc/The *

     7,021       231  

Coca-Cola Consolidated Inc

    1,089       541  

Coty Inc, Cl A *

     77,200       708  

Darling Ingredients Inc *

     37,057       2,686  

Duckhorn Portfolio *

     8,000       157  

Edgewell Personal Care Co

    12,245       437  

elf Beauty Inc *

     10,800       285  

Energizer Holdings Inc

    15,345       512  

Flowers Foods Inc

    43,708       1,198  

Fresh Del Monte Produce Inc

    7,681       199  

Freshpet Inc *

     9,200       876  

Grocery Outlet Holding Corp *

     19,800       551  

Hain Celestial Group Inc/The *

     20,760       755  

Herbalife Nutrition Ltd *

     23,044       820  

HF Foods Group Inc *

     9,900       62  

Honest *

     18,200       105  

Hostess Brands Inc, Cl A *

     31,700       683  

Ingles Markets Inc, Cl A

    3,545       291  

Ingredion Inc

    15,465       1,372  

Inter Parfums Inc

    4,106       381  

J & J Snack Foods Corp

    3,064       502  

John B Sanfilippo & Son Inc

    1,819       145  

Keurig Dr Pepper Inc

    160,480       6,206  

Laird Superfood *

     1,300       8  

Lancaster Colony Corp

    4,229       711  

Landec Corp *

     4,693       54  

Limoneira Co

    2,895       42  

MedAvail Holdings *

     2,500       3  

Medifast Inc

    2,564       477  

MGP Ingredients Inc (A)

     3,500       279  

Mission Produce *

     9,300       121  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

National Beverage Corp

    5,204     $ 229  

Natural Grocers by Vitamin Cottage Inc

    1,085       18  

Nature's Sunshine Products Inc

    37       1  

NewAge *

     15,700       11  

Nu Skin Enterprises Inc, Cl A

    11,205       520  

Oil-Dri Corp of America

    1,010       31  

Olaplex Holdings Inc *

     18,500       310  

Performance Food Group Co *

     34,527       1,935  

Pilgrim's Pride Corp *

     10,307       243  

Post Holdings Inc *

     13,569       1,427  

PriceSmart Inc

    5,423       394  

Primo Water Corp

    35,300       513  

Revlon Inc, Cl A *

     2,920       28  

Reynolds Consumer Products Inc

    12,500       372  

Rite Aid Corp *(A)

     13,411       123  

Sanderson Farms Inc

    4,641       829  

Seaboard Corp

    57       220  

Seneca Foods Corp, Cl A *

     1,262       63  

Simply Good Foods Co/The *

     19,100       757  

Sovos Brands *

     5,900       72  

SpartanNash Co

    8,136       229  

Spectrum Brands Holdings Inc

    9,687       899  

Sprouts Farmers Market Inc *

     25,700       732  

Tattooed Chef Inc *(A)

     11,500       140  

Thorne HealthTech *

     1,500       7  

Tootsie Roll Industries Inc (A)

     3,613       122  

TreeHouse Foods Inc *

     11,809       463  

Turning Point Brands Inc

    3,200       107  

United Natural Foods Inc *

     12,698       511  

Universal Corp/VA

    5,545       300  

US Foods Holding Corp *

     50,700       1,982  

USANA Health Sciences Inc *

     2,832       249  

Utz Brands Inc

    13,800       210  

Vector Group Ltd

    32,691       366  

Veru Inc *

     14,700       82  

Village Super Market Inc, Cl A

    1,962       45  

Vita Coco *

     2,400       28  

Vital Farms Inc *

     5,500       78  

WD-40 Co

    3,086       654  

Weis Markets Inc

    3,604       222  

Whole Earth Brands Inc *

     10,300       98  

Zevia PBC, Cl A *

     2,200       14  
                 
              49,803  

Energy — 3.3%

        

Aemetis *

     5,000       64  

Alto Ingredients *

     15,300       89  

Antero Midstream Corp

    77,000       773  

Antero Resources Corp *

     65,180       1,495  

Arch Resources Inc (A)

     3,500       418  

Archrock Inc

    30,283       253  

Berry Corp

    10,600       106  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

39

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Brigham Minerals Inc, Cl A

    11,000     $ 251  

Bristow Group *

     4,997       166  

Cactus Inc, Cl A

    12,400       628  

California Resources Corp

    18,600       767  

Callon Petroleum Co *(A)

     11,100       626  

Centennial Resource Development Inc/DE, Cl A *

     42,700       375  

Centrus Energy, Cl A *

     2,000       91  

ChampionX Corp

    45,600       976  

Cheniere Energy Inc

    53,765       7,145  

Chesapeake Energy Corp (A)

     23,893       1,846  

Civitas Resources Inc

    10,134       511  

Clean Energy Fuels Corp *

     39,088       284  

CNX Resources Corp *

     46,800       765  

Comstock Resources Inc *

     24,200       201  

CONSOL Energy Inc *

     7,475       230  

Continental Resources Inc/OK

    14,696       815  

Crescent Energy, Cl A *

     6,660       101  

CVR Energy Inc

    7,097       123  

Delek US Holdings Inc *

     14,190       244  

Denbury Inc *

     11,300       821  

DHT Holdings Inc

    31,900       201  

DMC Global Inc *

     5,100       150  

Dorian LPG Ltd

    6,747       93  

Dril-Quip Inc *

     7,987       230  

DT Midstream Inc

    22,300       1,184  

Earthstone Energy Inc, Cl A *

     1,800       23  

Energy Fuels Inc/Canada *(A)

     36,000       294  

EQT Corp

    67,700       1,567  

Equitrans Midstream Corp

    91,900       589  

Expro Group Holdings *

     7,557       122  

Falcon Minerals Corp

    13,800       79  

Frontline Ltd/Bermuda (A)

     28,000       263  

FTS International Inc, Cl A *

     1,900       50  

Gevo *(A)

     45,000       160  

Golar LNG Ltd *

     22,402       390  

Green Plains Inc *

     11,190       366  

Helix Energy Solutions Group Inc *

     32,569       132  

Helmerich & Payne Inc

    23,800       862  

HighPeak Energy (A)

     1,100       23  

HollyFrontier Corp

    34,500       1,051  

International Seaways Inc

    10,128       185  

Kinetik Holdings, Cl A (A)

     700       48  

Kosmos Energy Ltd *

     98,975       481  

Laredo Petroleum *

     3,100       237  

Liberty Oilfield Services Inc, Cl A *

     20,700       258  

Magnolia Oil & Gas Corp, Cl A

    32,300       722  

Matador Resources Co

    24,900       1,235  

Murphy Oil Corp

    33,000       1,144  

Nabors Industries Ltd *

     1,191       150  

National Energy Services Reunited Corp *

     3,300       29  

New Fortress Energy Inc, Cl A

    6,400       177  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Newpark Resources Inc *

     18,020     $ 68  

NexTier Oilfield Solutions Inc *

     32,639       260  

Nordic American Tankers Ltd

    34,377       83  

Northern Oil and Gas Inc

    11,700       293  

NOV Inc

    89,300       1,531  

Oasis Petroleum Inc

    4,600       610  

Oceaneering International Inc *

     22,646       332  

Oil States International Inc *

     16,699       87  

Ovintiv Inc

    59,700       2,737  

Par Pacific Holdings Inc *

     9,986       136  

Patterson-UTI Energy Inc

    41,922       605  

PBF Energy Inc, Cl A *

     21,977       365  

PDC Energy Inc

    22,377       1,444  

Peabody Energy Corp *

     17,300       300  

ProPetro Holding Corp *

     15,600       199  

Range Resources Corp *

     54,500       1,251  

Ranger Oil, Cl A *

     4,700       159  

Renewable Energy Group Inc *

     10,100       621  

REX American Resources Corp *

     1,300       123  

RPC Inc *

     15,199       133  

Scorpio Tankers Inc

    10,813       188  

Select Energy Services Inc, Cl A *

     12,200       101  

SFL Corp Ltd

    30,976       308  

SM Energy Co

    26,913       956  

Solaris Oilfield Infrastructure Inc, Cl A

    5,400       56  

Southwestern Energy Co *

     229,471       1,145  

Talos Energy Inc *

     8,100       127  

Targa Resources Corp

    51,659       3,377  

Teekay Corp *

     14,800       50  

Teekay Tankers Ltd, Cl A *

     5,100       73  

Tellurian Inc *(A)

     84,400       322  

TETRA Technologies Inc *

     34,000       109  

Texas Pacific Land Corp

    1,300       1,545  

Tidewater Inc *

     9,800       145  

Uranium Energy Corp *(A)

     57,700       230  

Ur-Energy *(A)

     38,700       57  

US Silica Holdings Inc *

     15,626       226  

W&T Offshore Inc *

     21,338       104  

Whiting Petroleum Corp

    8,886       656  

World Fuel Services Corp

    14,841       421  
                 
              54,192  

Financials — 15.1%

        

1st Source Corp

    4,158       201  

AFC Gamma Inc

    2,800       55  

Affiliated Managers Group Inc

    9,200       1,273  

AGNC Investment Corp ‡

     120,221       1,552  

Alerus Financial Corp

    3,400       98  

Alleghany Corp *

     3,067       2,030  

Allegiance Bancshares Inc

    4,400       189  

Ally Financial Inc

    79,300       3,957  

Amalgamated Financial Corp

    3,000       52  

 

 

 

40

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

A-Mark Precious Metals Inc

    1,900     $ 136  

Ambac Financial Group Inc *

     12,500       160  

Amerant Bancorp Inc, Cl A

    7,000       227  

American Equity Investment Life Holding Co

    18,578       700  

American Financial Group Inc/OH

    15,553       2,106  

American National Bankshares Inc

    2,006       77  

American National Group Inc

    1,631       308  

Ameris Bancorp

    14,962       741  

AMERISAFE Inc

    4,533       213  

Angel Oak Mortgage

    1,600       26  

Annaly Capital Management Inc ‡

     320,559       2,231  

Apollo Commercial Real Estate Finance Inc

    32,819       428  

Apollo Global Management Inc

    84,784       5,533  

Arbor Realty Trust Inc ‡

     32,800       590  

Arch Capital Group Ltd *

     85,608       4,033  

Ares Commercial Real Estate Corp

    9,600       141  

Ares Management Corp, Cl A

    32,545       2,639  

Argo Group International Holdings Ltd

    6,816       287  

ARMOUR Residential Inc ‡(A)

     19,724       160  

Arrow Financial Corp

    3,158       108  

Artisan Partners Asset Management Inc, Cl A

    13,300       507  

AssetMark Financial Holdings Inc *

     3,900       92  

Associated Banc-Corp

    34,136       833  

Associated Capital Group Inc

    500       20  

Assured Guaranty Ltd

    14,687       910  

Atlantic Capital Bancshares Inc *

     4,300       139  

Atlantic Union Bankshares Corp

    16,882       686  

Atlanticus Holdings Corp *

     1,100       59  

Axis Capital Holdings Ltd

    17,868       976  

Axos Financial Inc *

     13,136       719  

B Riley Financial Inc

    4,400       262  

Banc of California Inc

    13,500       265  

BancFirst Corp

    4,050       316  

Banco Latinoamericano de Comercio Exterior SA, Cl E

    7,012       108  

Bancorp Inc/The *

     12,492       366  

Bank First Corp (A)

     1,900       134  

Bank of Hawaii Corp

    9,024       778  

Bank of Marin Bancorp

    3,614       128  

Bank of NT Butterfield & Son Ltd/The

    11,500       442  

Bank OZK

    27,670       1,301  

BankUnited Inc

    20,396       901  

Banner Corp

    8,151       502  

Bar Harbor Bankshares

    2,850       82  

Berkshire Hills Bancorp Inc

    10,991       342  

BGC Partners Inc, Cl A

    72,536       332  

Blackstone Inc, Cl A

    155,900       19,873  

Blackstone Mortgage Trust Inc, Cl A ‡

     35,400       1,125  

Blucora Inc *

     10,529       210  

Blue Foundry Bancorp *

     6,000       83  

Blue Ridge Bankshares

    3,700       59  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

BOK Financial Corp

    6,782     $ 697  

Bridgewater Bancshares Inc *

     6,100       103  

Bright Health Group *

     11,400       38  

Brighthouse Financial Inc *

     18,500       967  

Brightsphere Investment Group Inc

    12,563       300  

BrightSpire Capital, Cl A

    21,794       193  

Broadmark Realty Capital

    30,500       264  

Brookline Bancorp Inc

    16,574       284  

BRP Group Inc, Cl A *

     10,600       294  

Business First Bancshares Inc

    4,300       113  

Byline Bancorp Inc

    5,970       163  

Cadence Bank

    43,031       1,361  

Cambridge Bancorp

    1,500       132  

Camden National Corp

    3,058       145  

Cannae Holdings Inc *

     18,662       501  

Capital Bancorp Inc

    1,900       47  

Capital City Bank Group Inc

    2,861       80  

Capitol Federal Financial Inc

    28,287       309  

Capstar Financial Holdings Inc

    2,400       51  

Carlyle Group Inc/The

    37,200       1,744  

Carter Bankshares Inc *

     7,100       118  

Cathay General Bancorp

    16,915       796  

CBTX Inc

    3,600       108  

Central Pacific Financial Corp

    6,810       199  

Chimera Investment Corp ‡

     53,665       653  

Citizens & Northern Corp

    4,640       115  

Citizens Inc/TX, Cl A *(A)

     7,833       33  

City Holding Co

    3,685       294  

Civista Bancshares Inc

    3,400       83  

CNA Financial Corp

    6,675       305  

CNB Financial Corp/PA

    4,748       124  

CNO Financial Group Inc

    28,125       680  

Coastal Financial *

     1,900       90  

Cohen & Steers Inc

    5,536       450  

Columbia Banking System Inc

    18,029       660  

Columbia Financial Inc *

     8,700       185  

Commerce Bancshares Inc/MO

    24,890       1,787  

Community Bank System Inc

    12,351       901  

Community Trust Bancorp Inc

    3,393       143  

ConnectOne Bancorp Inc

    8,383       277  

Cowen Inc, Cl A

    5,930       176  

Crawford & Co, Cl A

    5,700       44  

Credit Acceptance Corp *(A)

     1,812       997  

CrossFirst Bankshares Inc *

     11,500       181  

Cullen/Frost Bankers Inc

    13,105       1,844  

Curo Group Holdings Corp

    4,500       60  

Customers Bancorp Inc *

     6,770       417  

CVB Financial Corp

    29,079       686  

Diamond Hill Investment Group Inc

    654       127  

Dime Community Bancshares Inc

    7,729       263  

Donegal Group Inc, Cl A

    2,500       34  

Donnelley Financial Solutions Inc *

     7,232       232  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

41

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Dynex Capital Inc (A)

     9,897     $ 152  

Eagle Bancorp Inc

    7,306       438  

East West Bancorp Inc

    32,666       2,860  

Eastern Bankshares Inc

    39,100       855  

eHealth Inc *

     5,874       91  

Ellington Financial Inc

    13,700       242  

Employers Holdings Inc

    7,074       275  

Enact Holdings (A)

     1,100       23  

Encore Capital Group Inc *

     6,675       440  

Enova International Inc *

     8,166       333  

Enstar Group Ltd *

     2,851       813  

Enterprise Bancorp Inc/MA

    2,848       115  

Enterprise Financial Services Corp

    8,465       418  

Equitable Holdings Inc

    83,100       2,714  

Equity Bancshares Inc, Cl A

    3,900       123  

Erie Indemnity Co, Cl A

    5,687       996  

Essent Group Ltd

    24,800       1,096  

Evercore Inc, Cl A

    8,776       1,114  

EZCORP Inc, Cl A *

     11,257       67  

Farmers National Banc Corp

    6,800       117  

FB Financial Corp

    7,502       333  

Federal Agricultural Mortgage Corp, Cl C

    1,988       246  

Federated Hermes Inc, Cl B

    21,970       718  

Fidelity D&D Bancorp Inc (A)

     700       35  

Fidelity National Financial Inc

    62,566       2,981  

Finance of America, Cl A *

     7,100       23  

Financial Institutions Inc

    3,243       104  

First American Financial Corp

    24,372       1,634  

First Bancorp Inc/The

    3,052       91  

First BanCorp/Puerto Rico

    47,916       677  

First Bancorp/Southern Pines NC

    7,645       343  

First Bancshares Inc/The

    4,600       162  

First Bank

    300       4  

First Busey Corp

    12,392       340  

First Citizens BancShares Inc/NC, Cl A

    2,802       2,209  

First Commonwealth Financial Corp

    22,901       370  

First Community Bankshares Inc

    4,442       130  

First Financial Bancorp

    20,633       507  

First Financial Bankshares Inc

    30,012       1,438  

First Financial Corp/IN

    2,412       112  

First Foundation Inc

    9,900       264  

First Hawaiian Inc

    29,100       846  

First Horizon Corp

    122,825       2,884  

First Internet Bancorp

    2,200       108  

First Interstate BancSystem Inc, Cl A

    29,716       1,206  

First Merchants Corp

    13,118       574  

First Mid Bancshares Inc

    3,572       143  

First of Long Island Corp/The

    4,995       109  

FirstCash Holdings

    8,420       607  

Five Star Bancorp

    2,800       85  

Flagstar Bancorp Inc

    11,700       533  

Flushing Financial Corp

    6,070       143  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

FNB Corp/PA

    77,589     $ 1,042  

Focus Financial Partners Inc, Cl A *

     13,400       671  

Franklin BSP Realty Trust

    8,054       106  

FS Bancorp Inc

    100       3  

Fulton Financial Corp

    35,712       644  

GAMCO Investors Inc, Cl A

    1,931       42  

GCM Grosvenor

    10,000       100  

Genworth Financial Inc, Cl A *

     118,100       479  

German American Bancorp Inc

    6,166       245  

Glacier Bancorp Inc

    25,075       1,389  

GoHealth Inc, Cl A *(A)

     15,000       33  

Goosehead Insurance Inc, Cl A

    4,100       357  

Granite Point Mortgage Trust Inc

    10,941       123  

Great Ajax Corp

    4,902       56  

Great Southern Bancorp Inc

    2,499       153  

Green Dot Corp, Cl A *

     12,455       357  

Greenhill & Co Inc

    3,171       56  

Greenlight Capital Re Ltd, Cl A *

     6,409       46  

Guaranty Bancshares Inc/TX

    1,500       52  

Hamilton Lane Inc, Cl A

    8,000       625  

Hancock Whitney Corp

    19,514       1,087  

Hanmi Financial Corp

    6,878       180  

Hannon Armstrong Sustainable Infrastructure Capital Inc ‡

     17,200       814  

Hanover Insurance Group Inc/The

    8,217       1,146  

HarborOne Bancorp Inc

    10,720       159  

HBT Financial Inc

    2,200       42  

HCI Group Inc

    1,115       69  

Heartland Financial USA Inc

    9,475       470  

Heritage Commerce Corp

    13,600       162  

Heritage Financial Corp/WA

    8,071       212  

Heritage Insurance Holdings Inc

    3,800       21  

Hilltop Holdings Inc

    14,700       455  

Hingham Institution For Savings The

    300       108  

Home Bancorp Inc

    1,800       71  

Home BancShares Inc/AR

    34,232       801  

Home Point Capital

    1,600       5  

HomeStreet Inc

    4,372       225  

HomeTrust Bancshares Inc

    4,102       123  

Hope Bancorp Inc

    26,995       458  

Horace Mann Educators Corp

    9,814       408  

Horizon Bancorp Inc/IN

    9,425       189  

Houlihan Lokey Inc, Cl A

    11,500       1,183  

Independent Bank Corp

    10,420       896  

Independent Bank Corp/MI

    5,400       129  

Independent Bank Group Inc

    8,402       648  

Interactive Brokers Group Inc, Cl A

    18,327       1,213  

International Bancshares Corp

    12,050       518  

Invesco Mortgage Capital Inc

    80,095       175  

Investors Bancorp Inc

    51,444       861  

Investors Title Co

    400       77  

James River Group Holdings Ltd

    8,200       218  

 

 

 

42

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Janus Henderson Group PLC

    38,600     $ 1,296  

Jefferies Financial Group Inc

    50,200       1,784  

Kearny Financial Corp/MD

    17,129       226  

Kemper Corp

    13,873       741  

Kinsale Capital Group Inc

    4,900       1,028  

KKR & Co Inc

    127,663       7,675  

KKR Real Estate Finance Trust Inc

    9,300       200  

Ladder Capital Corp, Cl A ‡

     25,162       288  

Lakeland Bancorp Inc

    13,393       242  

Lakeland Financial Corp

    5,757       462  

Lazard Ltd, Cl A (B)

     22,931       793  

Lemonade Inc *(A)

     8,200       209  

LendingClub Corp *

     22,600       420  

LendingTree Inc *

     2,700       327  

Live Oak Bancshares Inc

    7,300       467  

LPL Financial Holdings Inc

    18,362       3,323  

Luther Burbank Corp

    4,422       57  

Macatawa Bank Corp

    5,200       48  

Maiden Holdings Ltd *

     14,900       36  

Markel Corp *

     3,103       3,857  

MBIA Inc *

     10,982       167  

Mercantile Bank Corp

    3,557       131  

Merchants Bancorp/IN

    3,300       96  

Mercury General Corp

    5,978       329  

Meta Financial Group Inc

    7,600       421  

Metrocity Bankshares Inc

    3,800       92  

MetroMile *

     40,000       51  

Metropolitan Bank Holding Corp *

     2,100       215  

MFA Financial Inc ‡

     100,897       410  

MGIC Investment Corp

    74,718       1,134  

Mid Penn Bancorp Inc

    3,200       90  

Midland States Bancorp Inc

    5,600       164  

MidWestOne Financial Group Inc

    3,169       96  

Moelis & Co, Cl A

    13,700       660  

Morningstar Inc

    5,420       1,521  

Mr Cooper Group Inc *

     13,871       705  

MVB Financial Corp

    1,100       42  

National Bank Holdings Corp, Cl A

    6,400       284  

National Western Life Group Inc, Cl A

    510       109  

Navient Corp

    35,600       627  

NBT Bancorp Inc

    10,108       388  

Nelnet Inc, Cl A

    4,031       325  

New Residential Investment Corp ‡

     97,888       1,016  

New York Community Bancorp Inc

    104,039       1,201  

New York Mortgage Trust Inc ‡

     90,238       317  

NI Holdings Inc *

     2,300       41  

Nicolet Bankshares Inc *

     2,300       219  

NMI Holdings Inc, Cl A *

     19,100       442  

Northfield Bancorp Inc

    10,205       160  

Northrim BanCorp Inc

    1,300       58  

Northwest Bancshares Inc

    27,479       387  

OceanFirst Financial Corp

    13,468       301  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Ocwen Financial *

     1,700     $ 49  

OFG Bancorp

    10,925       308  

Old National Bancorp/IN

    66,562       1,217  

Old Republic International Corp

    64,144       1,690  

Old Second Bancorp Inc

    2,900       41  

OneMain Holdings Inc, Cl A

    26,100       1,331  

Open Lending, Cl A *

     23,800       496  

Oportun Financial Corp *

     5,900       96  

Oppenheimer Holdings Inc, Cl A

    2,164       93  

Orchid Island Capital Inc, Cl A ‡(A)

     37,100       122  

Origin Bancorp Inc

    5,000       231  

Orrstown Financial Services Inc

    3,700       90  

Pacific Premier Bancorp Inc

    21,036       814  

PacWest Bancorp

    26,712       1,320  

Palomar Holdings Inc, Cl A *

     5,600       361  

Park National Corp

    3,305       443  

PCSB Financial Corp

    400       7  

Peapack-Gladstone Financial Corp

    4,854       183  

PennyMac Financial Services Inc

    7,000       404  

PennyMac Mortgage Investment Trust ‡

     22,663       354  

Peoples Bancorp Inc/OH

    5,572       174  

Peoples Financial Services Corp

    1,600       76  

Pinnacle Financial Partners Inc

    17,027       1,721  

Pioneer Bancorp *

     2,700       29  

Piper Sandler Cos

    3,977       589  

PJT Partners Inc

    5,200       332  

Popular Inc

    18,256       1,677  

PRA Group Inc *

     9,758       435  

Preferred Bank/Los Angeles CA

    3,037       238  

Premier Financial Corp

    8,976       275  

Primerica Inc

    9,129       1,186  

Primis Financial Corp

    6,000       86  

ProAssurance Corp

    11,625       280  

PROG Holdings Inc *

     14,378       441  

Prosperity Bancshares Inc

    20,735       1,544  

Provident Bancorp Inc

    3,500       57  

Provident Financial Services Inc

    16,778       398  

Pzena Investment Management Inc, Cl A

    6,300       58  

QCR Holdings Inc

    3,900       218  

Radian Group Inc

    41,048       981  

RBB Bancorp

    2,600       63  

Ready Capital Corp

    12,532       186  

Red River Bancshares Inc

    1,200       61  

Redwood Trust Inc ‡

     27,405       285  

Regional Management Corp

    1,700       87  

Reinsurance Group of America Inc, Cl A

    15,516       1,720  

RenaissanceRe Holdings Ltd

    10,406       1,569  

Renasant Corp

    12,460       455  

Republic Bancorp Inc/KY, Cl A

    1,998       92  

Republic First Bancorp Inc *

     9,800       51  

RLI Corp

    9,182       932  

Rocket Cos Inc, Cl A (A)

     32,200       416  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

43

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

S&T Bancorp Inc

    8,332     $ 259  

Safety Insurance Group Inc

    3,131       261  

Sandy Spring Bancorp Inc

    10,110       476  

Sculptor Capital Management Inc, Cl A (B)

     5,700       73  

Seacoast Banking Corp of Florida

    12,398       454  

SEI Investments Co †

     24,519       1,436  

Selective Insurance Group Inc

    13,384       1,113  

Selectquote Inc *

     28,700       89  

ServisFirst Bancshares Inc

    11,200       979  

Sierra Bancorp

    2,978       80  

Silvergate Capital Corp, Cl A *

     5,900       756  

Simmons First National Corp, Cl A

    25,548       729  

SiriusPoint Ltd *

     20,200       149  

SLM Corp

    67,320       1,326  

SmartFinancial Inc

    3,100       81  

South Plains Financial Inc

    2,400       66  

South State Corp

    16,036       1,443  

Southern First Bancshares Inc *

     1,491       85  

Southern Missouri Bancorp Inc

    1,900       102  

Southside Bancshares Inc

    6,762       282  

Spirit of Texas Bancshares Inc

    2,800       80  

Starwood Property Trust Inc ‡

     66,380       1,582  

State Auto Financial Corp

    4,090       213  

StepStone Group Inc, Cl A

    9,000       311  

Stewart Information Services Corp

    5,841       396  

Stifel Financial Corp

    23,373       1,718  

Stock Yards Bancorp Inc

    5,302       283  

StoneX Group Inc *

     3,768       284  

Summit Financial Group Inc

    2,600       71  

Synovus Financial Corp

    33,292       1,753  

Texas Capital Bancshares Inc *

     11,423       761  

TFS Financial Corp

    12,343       212  

Third Coast Bancshares *

     800       19  

Tiptree Inc

    5,100       65  

Tompkins Financial Corp

    3,505       277  

Towne Bank/Portsmouth VA

    15,967       498  

TPG RE Finance Trust Inc

    14,400       170  

Tradeweb Markets Inc, Cl A

    24,100       2,036  

Trean Insurance Group Inc *

     3,800       27  

TriCo Bancshares

    6,909       300  

TriState Capital Holdings Inc *

     6,500       216  

Triumph Bancorp Inc *

     5,200       522  

Trupanion Inc *

     8,600       771  

TrustCo Bank Corp NY

    4,325       148  

Trustmark Corp

    14,539       458  

Two Harbors Investment Corp ‡

     80,442       407  

UMB Financial Corp

    10,045       1,023  

Umpqua Holdings Corp

    48,831       1,043  

United Bankshares Inc/WV

    30,056       1,101  

United Community Banks Inc/GA

    23,818       921  

United Fire Group Inc

    4,171       115  

United Insurance Holdings Corp

    1,900       7  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Universal Insurance Holdings Inc

    5,900     $ 68  

Univest Financial Corp

    7,415       215  

Unum Group

    47,000       1,312  

Upstart Holdings Inc *(A)

     10,500       1,659  

UWM Holdings Corp (A)

     20,000       87  

Valley National Bancorp

    91,768       1,282  

Value Line Inc

    300       18  

Velocity Financial *

     1,800       23  

Veritex Holdings Inc

    10,839       440  

Virtu Financial Inc, Cl A

    20,100       705  

Virtus Investment Partners Inc

    1,658       399  

Voya Financial Inc (A)

     25,100       1,690  

Walker & Dunlop Inc

    6,323       875  

Washington Federal Inc

    15,436       549  

Washington Trust Bancorp Inc

    3,870       210  

Waterstone Financial Inc

    4,000       78  

Webster Financial Corp

    40,929       2,464  

WesBanco Inc

    14,009       512  

West BanCorp Inc

    3,785       109  

Westamerica BanCorp

    6,155       365  

Western Alliance Bancorp

    23,161       2,171  

White Mountains Insurance Group Ltd

    662       695  

Wintrust Financial Corp

    12,849       1,277  

WisdomTree Investments Inc

    34,575       195  

World Acceptance Corp *

     976       192  

WSFS Financial Corp

    14,612       743  
                 
              244,992  

Health Care — 12.4%

        

10X Genomics Inc, Cl A *

     19,500       1,589  

1Life Healthcare Inc *

     25,400       275  

2seventy bio *

     4,800       71  

4D Molecular Therapeutics Inc *

     7,700       105  

89bio Inc *

     700       3  

9 Meters Biopharma *

     45,400       25  

Absci Corp *(A)

     3,000       28  

Acadia Healthcare Co Inc *

     19,987       1,133  

ACADIA Pharmaceuticals Inc *

     26,900       684  

Accelerate Diagnostics Inc *(A)

     4,900       14  

Accolade *

     11,200       201  

Accuray Inc *

     20,563       71  

Aclaris Therapeutics Inc *

     11,100       165  

Acumen Pharmaceuticals *

     2,100       12  

Acutus Medical *

     4,100       7  

Adagio Therapeutics Inc *(A)

     4,500       30  

AdaptHealth Corp, Cl A *

     15,400       268  

Adaptive Biotechnologies Corp *

     23,700       342  

Addus HomeCare Corp *

     3,600       306  

Adicet Bio *

     4,500       59  

Adverum Biotechnologies Inc *

     28,100       38  

Aeglea BioTherapeutics Inc, Cl Savings Shares *

     9,300       26  

 

 

 

44

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Aerie Pharmaceuticals Inc *

     11,900     $ 99  

Aerovate Therapeutics *(A)

     2,200       22  

Affimed NV *

     27,377       121  

Agenus Inc *

     57,300       155  

Agiliti *

     6,100       110  

agilon health Inc *

     37,800       764  

Agios Pharmaceuticals Inc *

     12,800       398  

AirSculpt Technologies *

     1,400       19  

Akebia Therapeutics Inc *

     30,985       67  

Akero Therapeutics Inc *

     7,000       124  

Akouos *

     6,000       32  

Akoya Biosciences *

     1,600       18  

Alaunos Therapeutics *(A)

     64,346       63  

Albireo Pharma Inc *

     2,400       80  

Aldeyra Therapeutics Inc *

     13,200       53  

Alector Inc *

     13,000       206  

Alignment Healthcare *

     17,000       143  

Aligos Therapeutics *

     7,500       18  

Alkermes PLC *

     36,653       911  

Allakos Inc *

     7,500       42  

Allogene Therapeutics Inc *

     18,700       171  

Allovir *

     7,300       66  

Allscripts Healthcare Solutions Inc *

     27,353       532  

Alnylam Pharmaceuticals Inc *

     27,189       4,292  

Alpha Teknova *

     1,500       26  

Alphatec Holdings Inc *

     18,300       202  

Alpine Immune Sciences *

     2,500       21  

Altimmune *

     8,900       66  

ALX Oncology Holdings *

     4,300       78  

Amedisys Inc *

     7,371       1,181  

American Well Corp, Cl A *

     43,300       183  

Amicus Therapeutics Inc *

     59,100       481  

AMN Healthcare Services Inc *

     10,609       1,126  

Amneal Pharmaceuticals Inc *

     23,588       107  

Amphastar Pharmaceuticals Inc *

     8,300       230  

Ampio Pharmaceuticals *(A)

     40,700       20  

AnaptysBio Inc *

     4,800       147  

Anavex Life Sciences Corp *(A)

     15,300       168  

AngioDynamics Inc *

     8,570       202  

Angion Biomedica *

     1,200       2  

ANI Pharmaceuticals Inc *

     2,500       94  

Anika Therapeutics Inc *

     3,070       100  

Annexon *

     6,200       30  

Antares Pharma Inc *

     38,000       133  

Apellis Pharmaceuticals Inc *

     16,300       693  

Apollo Medical Holdings Inc *(A)

     8,600       414  

Applied Molecular Transport *

     5,500       36  

Applied Therapeutics Inc *

     3,200       6  

Apria *

     4,331       162  

Apyx Medical Corp *

     7,400       75  

AquaBounty Technologies *

     11,200       18  

Arbutus Biopharma Corp *

     16,700       53  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Arcturus Therapeutics Holdings Inc *

     5,500     $ 132  

Arcus Biosciences Inc *

     10,600       394  

Arcutis Biotherapeutics Inc *

     7,000       125  

Ardelyx Inc *

     16,000       12  

Arena Pharmaceuticals Inc *

     14,165       1,345  

Arrowhead Pharmaceuticals Inc *

     23,400       1,030  

Arvinas Inc *

     10,700       693  

Asensus Surgical *(A)

     59,300       46  

Aspira Women's Health *(A)

     20,963       23  

Atara Biotherapeutics Inc *

     20,600       265  

Atea Pharmaceuticals *

     15,000       95  

Athenex Inc *

     14,700       12  

Athersys Inc *(A)

     50,000       45  

Athira Pharma *

     10,400       95  

Atossa Therapeutics *

     29,200       36  

Atreca Inc, Cl A *(A)

     7,200       13  

AtriCure Inc *

     10,320       717  

Atrion Corp

    330       236  

Aura Biosciences *

     1,200       21  

Avalo Therapeutics *

     5,300       4  

Avanos Medical Inc *

     11,100       393  

Avantor Inc *

     138,551       4,806  

Aveanna Healthcare Holdings Inc *

     10,800       57  

Avid Bioservices Inc *

     13,800       283  

Avidity Biosciences Inc *

     9,500       161  

Avita Medical *

     6,600       61  

Avrobio Inc *

     7,400       11  

Axogen Inc *

     9,085       85  

Axonics Inc *

     10,500       596  

Axsome Therapeutics Inc *(A)

     6,500       183  

Beam Therapeutics Inc *

     11,700       917  

Berkeley Lights Inc *

     10,700       82  

Beyondspring Inc *

     4,400       11  

BioAtla *

     2,800       18  

BioCryst Pharmaceuticals Inc *

     41,300       686  

BioDelivery Sciences International Inc *

     21,800       122  

Biodesix *

     2,600       6  

Biohaven Pharmaceutical Holding Co Ltd *

     12,700       1,508  

BioLife Solutions Inc *

     3,100       73  

BioMarin Pharmaceutical Inc *

     41,746       3,261  

Biomea Fusion *(A)

     5,500       35  

Bionano Genomics *(A)

     63,500       136  

Bioventus, Cl A *

     6,639       86  

Bioxcel Therapeutics Inc *

     3,900       71  

Black Diamond Therapeutics Inc *

     2,900       9  

Bluebird Bio Inc *

     14,400       87  

Blueprint Medicines Corp *

     13,200       799  

Bolt Biotherapeutics *

     3,100       11  

Bridgebio Pharma *

     22,935       179  

Brookdale Senior Living Inc, Cl A *

     42,209       290  

Brooklyn ImmunoTherapeutics *

     5,100       12  

Bruker Corp

    23,432       1,649  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

45

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Butterfly Network *(A)

     31,800     $ 164  

C4 Therapeutics Inc *

     8,100       182  

Cara Therapeutics Inc *

     9,400       97  

Cardiff Oncology Inc *

     7,700       21  

Cardiovascular Systems Inc *

     8,425       177  

CareDx Inc *

     11,500       441  

Caribou Biosciences *

     4,100       41  

Cassava Sciences *(A)

     8,700       370  

Castle Biosciences Inc *

     4,600       199  

Catalyst Pharmaceuticals Inc *

     23,400       183  

Celcuity Inc *

     1,700       17  

Celldex Therapeutics Inc *

     10,300       308  

CEL-SCI Corp *(A)

     9,900       57  

Century Therapeutics *(A)

     2,500       35  

Cerevel Therapeutics Holdings Inc *

     9,000       238  

Certara Inc *

     24,264       615  

Cerus Corp *

     38,497       226  

Change Healthcare Inc *

     57,700       1,236  

Chemed Corp

    3,445       1,648  

ChemoCentryx Inc *

     12,100       367  

Chimerix Inc *

     20,300       114  

Chinook Therapeutics *

     8,760       112  

ChromaDex Corp *

     9,900       27  

Citius Pharmaceuticals Inc *(A)

     24,300       37  

ClearPoint Neuro *(A)

     4,000       35  

Clene *

     4,900       15  

Clovis Oncology Inc *(A)

     17,166       35  

Codex DNA Inc *

     1,700       17  

Codexis Inc *

     13,961       278  

Codiak Biosciences *

     3,400       16  

Cogent Biosciences *(A)

     7,900       47  

Coherus Biosciences Inc *

     14,800       174  

Collegium Pharmaceutical Inc *

     7,800       152  

Community Health Systems Inc *

     28,329       298  

Computer Programs and Systems Inc *

     1,602       49  

CONMED Corp

    6,708       980  

Convey Health Solutions Holdings *

     2,900       17  

Corcept Therapeutics Inc *

     21,800       486  

CorMedix Inc *

     8,600       42  

Cortexyme Inc *

     4,400       19  

CorVel Corp *

     1,934       308  

Covetrus Inc *

     23,600       418  

Crinetics Pharmaceuticals Inc *

     10,300       206  

Cross Country Healthcare Inc *

     9,179       205  

CryoLife Inc *

     8,545       167  

CryoPort Inc *

     9,400       323  

Cue Biopharma Inc *

     6,900       40  

Cue Health *(A)

     3,200       26  

Cullinan Oncology *

     7,700       110  

CureVac NV *(A)

     11,800       198  

Curis Inc *

     22,600       76  

Cutera Inc *

     3,900       150  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

CVRx *

     1,700     $ 15  

Cymabay Therapeutics Inc *

     11,300       36  

Cyteir Therapeutics *(A)

     1,800       10  

Cytek Biosciences *

     3,400       46  

Cytokinetics Inc *

     18,200       643  

CytomX Therapeutics Inc *

     15,800       61  

CytoSorbents Corp *

     5,500       21  

DarioHealth *(A)

     2,900       21  

Day One Biopharmaceuticals *(A)

     2,400       33  

Deciphera Pharmaceuticals Inc *

     8,900       69  

Definitive Healthcare Corp, Cl A *(A)

     2,600       60  

Denali Therapeutics Inc *

     20,400       664  

DermTech Inc *(A)

     5,700       73  

Design Therapeutics *

     7,800       106  

DICE Therapeutics Inc *(A)

     3,100       57  

Durect Corp *

     47,000       31  

Dynavax Technologies Corp, Cl A *(A)

     23,889       293  

Dyne Therapeutics *

     6,100       52  

Eagle Pharmaceuticals Inc/DE *

     2,700       128  

Eargo Inc *

     3,100       15  

Edgewise Therapeutics *(A)

     8,300       98  

Editas Medicine Inc, Cl A *

     15,400       264  

Eiger BioPharmaceuticals Inc *

     5,600       22  

Elanco Animal Health Inc *

     102,100       2,901  

Eliem Therapeutics *

     1,500       14  

Emergent BioSolutions Inc *

     10,984       455  

Enanta Pharmaceuticals Inc *

     4,700       331  

Encompass Health Corp

    22,341       1,475  

Endo International PLC *

     49,500       154  

Ensign Group Inc/The

    12,036       1,012  

Entrada Therapeutics *(A)

     2,000       24  

Envista Holdings Corp *

     35,900       1,723  

Epizyme Inc *

     19,800       30  

Erasca Inc *(A)

     4,400       55  

Esperion Therapeutics Inc *

     6,200       25  

Evelo Biosciences Inc *(A)

     3,300       10  

Evolent Health Inc, Cl A *

     17,600       469  

Evolus Inc *

     2,300       21  

Exact Sciences Corp *

     39,526       3,085  

Exagen Inc *

     800       6  

Exelixis Inc *

     71,000       1,458  

EyePoint Pharmaceuticals *

     4,500       45  

Fate Therapeutics Inc *

     19,000       656  

FibroGen Inc *

     19,000       267  

Figs Inc, Cl A *

     22,300       366  

Finch Therapeutics Group *

     1,600       13  

Fluidigm Corp *

     18,053       66  

Foghorn Therapeutics *

     4,200       40  

Forian *

     3,900       27  

Forma Therapeutics Holdings Inc *

     7,600       75  

Forte Biosciences Inc *

     2,400       3  

Fortress Biotech *

     13,200       21  

 

 

 

46

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Frequency Therapeutics Inc *

     6,700     $ 19  

Fulcrum Therapeutics Inc *

     5,100       56  

Fulgent Genetics Inc *(A)

     4,700       293  

G1 Therapeutics Inc *(A)

     8,400       89  

Gemini Therapeutics, Cl A *

     4,700       6  

Generation Bio Co *

     9,900       51  

Geron Corp *(A)

     89,070       97  

Glaukos Corp *

     10,349       572  

Global Blood Therapeutics Inc *

     13,901       420  

Globus Medical Inc, Cl A *

     18,000       1,266  

Gossamer Bio Inc *

     13,600       123  

Graphite Bio *

     3,500       32  

Greenwich Lifesciences *

     900       18  

Gritstone bio *

     9,800       50  

GT Biopharma *

     5,100       16  

Guardant Health Inc *

     20,700       1,372  

Haemonetics Corp *

     11,447       661  

Halozyme Therapeutics Inc *

     31,158       1,105  

Hanger Inc *

     10,000       181  

Harmony Biosciences Holdings *

     5,800       232  

Harpoon Therapeutics Inc *

     1,800       7  

Harvard Bioscience Inc *

     9,669       52  

Health Catalyst Inc *

     12,300       334  

HealthEquity Inc *

     18,600       999  

HealthStream Inc *

     5,964       122  

Heron Therapeutics Inc *

     20,900       148  

Heska Corp *

     2,200       312  

Homology Medicines Inc *

     9,200       32  

Hookipa Pharma Inc *(A)

     2,400       6  

Horizon Therapeutics PLC *

     50,203       4,577  

Humanigen *

     11,300       23  

iBio *(A)

     52,600       17  

iCAD Inc *

     4,800       23  

Icosavax *(A)

     2,900       51  

ICU Medical Inc *

     4,527       1,072  

Ideaya Biosciences *

     7,400       98  

IGM Biosciences Inc *

     1,200       20  

Ikena Oncology *(A)

     8,300       51  

Imago Biosciences *

     2,100       49  

Immuneering, Cl A *

     1,800       13  

Immunic *

     3,300       38  

ImmunityBio *(A)

     13,700       94  

ImmunoGen Inc *

     41,552       234  

Immunovant Inc *

     10,200       57  

Impel Neuropharma *(A)

     1,200       9  

Inari Medical Inc *

     7,800       686  

Infinity Pharmaceuticals *

     18,700       21  

InfuSystem Holdings Inc *

     3,400       39  

Inhibrx Inc *

     6,100       131  

Innovage Holding Corp *

     3,900       19  

Innoviva Inc *

     9,309       179  

Inogen Inc *

     4,100       143  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Inotiv Inc *

     2,800     $ 74  

Inovio Pharmaceuticals Inc *(A)

     42,500       138  

Inozyme Pharma *

     3,069       18  

Insmed Inc *

     26,900       643  

Inspire Medical Systems Inc *

     6,100       1,489  

Instil Bio Inc *(A)

     11,600       124  

Insulet Corp *

     15,208       4,025  

Integer Holdings Corp *

     7,530       632  

Integra LifeSciences Holdings Corp *

     16,904       1,134  

Intellia Therapeutics Inc *

     16,000       1,582  

Intercept Pharmaceuticals Inc *(A)

     5,876       84  

Intersect ENT Inc *

     7,300       199  

Intra-Cellular Therapies Inc *

     18,500       1,026  

Invacare Corp *

     6,889       14  

Invitae Corp *(A)

     45,000       486  

Ionis Pharmaceuticals Inc *

     31,694       1,058  

Iovance Biotherapeutics Inc *

     35,200       552  

iRadimed Corp

    1,100       55  

iRhythm Technologies Inc *

     6,600       853  

Ironwood Pharmaceuticals Inc, Cl A *

     34,254       369  

IsoPlexis *

     1,800       9  

iTeos Therapeutics Inc *

     4,600       166  

IVERIC bio Inc *

     25,300       406  

Janux Therapeutics *(A)

     2,800       48  

Jazz Pharmaceuticals PLC *

     13,800       1,897  

Joint Corp/The *

     3,000       123  

Jounce Therapeutics Inc *

     7,600       57  

Kala Pharmaceuticals Inc *

     9,400       6  

Kaleido Biosciences Inc *

     2,700       4  

KalVista Pharmaceuticals Inc *

     4,700       75  

Karuna Therapeutics Inc *(A)

     5,100       536  

Karyopharm Therapeutics Inc *

     16,200       167  

KemPharm *

     6,100       36  

Keros Therapeutics *

     4,000       215  

Kezar Life Sciences Inc *

     7,900       117  

Kiniksa Pharmaceuticals Ltd, Cl A *

     6,700       69  

Kinnate Biopharma *

     7,700       60  

Kodiak Sciences Inc *

     7,600       66  

Kronos Bio *

     8,400       63  

Krystal Biotech Inc *

     4,300       273  

Kura Oncology Inc *

     13,700       217  

Kymera Therapeutics *

     7,600       302  

Landos Biopharma *

     1,400       3  

Lantheus Holdings Inc *

     15,800       756  

LeMaitre Vascular Inc

    4,200       199  

Lexicon Pharmaceuticals Inc *

     17,105       35  

LHC Group Inc *

     6,947       946  

LifeStance Health Group *(A)

     9,800       92  

Ligand Pharmaceuticals Inc *

     3,428       347  

Lineage Cell Therapeutics Inc *

     25,900       37  

LivaNova PLC *

     12,000       946  

Lucid Diagnostics *

     1,100       4  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

47

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Lyell Immunopharma *(A)

     5,100     $ 37  

MacroGenics Inc *

     12,600       118  

Madrigal Pharmaceuticals Inc *

     3,000       279  

Magenta Therapeutics Inc *

     7,300       23  

MannKind Corp *(A)

     56,200       147  

Maravai LifeSciences Holdings Inc, Cl A *

     25,018       977  

Marinus Pharmaceuticals Inc *

     10,750       84  

Masimo Corp *

     11,493       1,810  

MaxCyte Inc *

     20,500       143  

MEDNAX Inc *

     17,356       408  

Medpace Holdings Inc *

     6,700       1,025  

MEI Pharma Inc *

     16,900       37  

MeiraGTx Holdings PLC *

     6,700       96  

Meridian Bioscience Inc *

     10,041       254  

Merit Medical Systems Inc *

     11,575       753  

Mersana Therapeutics Inc *

     15,600       68  

Mesa Laboratories Inc

    1,100       281  

MiMedx Group Inc *

     26,300       133  

Mind Medicine MindMed *(A)

     77,200       94  

MiNK Therapeutics *

     400       1  

Mirati Therapeutics Inc *

     9,700       856  

Mirum Pharmaceuticals Inc *

     600       14  

ModivCare Inc *

     2,658       314  

Molecular Templates Inc *

     6,300       15  

Molina Healthcare Inc *

     13,266       4,071  

Monte Rosa Therapeutics *(A)

     2,500       36  

Morphic Holding Inc *

     4,500       179  

Multiplan *(A)

     86,800       326  

Mustang Bio Inc *

     6,700       6  

Myriad Genetics Inc *

     18,426       449  

NanoString Technologies Inc *

     10,000       355  

NantHealth *

     5,700       5  

Natera Inc *

     18,900       1,243  

National HealthCare Corp

    2,994       195  

National Research Corp, Cl A

    3,212       128  

Natus Medical Inc *

     7,358       205  

Nektar Therapeutics, Cl A *

     40,700       417  

Neogen Corp *

     24,212       864  

NeoGenomics Inc *

     25,500       546  

Neoleukin Therapeutics Inc *

     7,000       18  

Neurocrine Biosciences Inc *

     21,500       1,932  

Neuronetics Inc *

     5,300       18  

NeuroPace *

     1,500       12  

Nevro Corp *

     7,800       559  

NexImmune *(A)

     1,400       3  

NextGen Healthcare Inc *

     13,015       254  

NGM Biopharmaceuticals Inc *

     7,200       107  

Nkarta *(A)

     2,774       25  

Novavax Inc *(A)

     17,168       1,431  

Novocure Ltd *

     23,500       1,924  

Nurix Therapeutics *

     7,000       113  

Nuvalent, Cl A *(A)

     2,300       34  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

NuVasive Inc *

     11,678     $ 632  

Nuvation Bio *(A)

     34,000       172  

Oak Street Health Inc *(A)

     22,500       394  

Ocugen *(A)

     43,100       152  

Ocular Therapeutix Inc *

     18,400       103  

Olema Pharmaceuticals Inc *

     7,100       33  

Omega Therapeutics *

     1,600       19  

Omeros Corp *(A)

     12,300       89  

Omnicell Inc *

     10,112       1,307  

Oncocyte Corp *

     17,794       26  

Oncorus *

     3,100       7  

Oncternal Therapeutics *

     9,500       17  

Ontrak Inc *

     1,700       5  

OPKO Health Inc *(A)

     93,184       292  

OptimizeRx Corp *

     4,000       181  

Option Care Health Inc *

     36,227       931  

Oramed Pharmaceuticals *

     5,700       59  

OraSure Technologies Inc *

     19,939       156  

Organogenesis Holdings Inc, Cl A *

     6,021       45  

ORIC Pharmaceuticals Inc *

     7,100       55  

Ortho Clinical Diagnostics Holdings *

     27,100       479  

Orthofix Medical Inc *

     3,940       134  

OrthoPediatrics Corp *

     2,800       157  

Outlook Therapeutics *

     18,700       30  

Outset Medical Inc *

     10,800       475  

Owens & Minor Inc

    16,439       726  

Oyster Point Pharma Inc *

     1,400       14  

Pacific Biosciences of California Inc *

     43,700       521  

Pacira BioSciences Inc *

     9,945       663  

Paragon 28 Inc *(A)

     2,000       33  

Paratek Pharmaceuticals Inc *

     10,879       38  

Passage Bio *

     8,300       28  

Patterson Cos Inc

    19,200       574  

PAVmed Inc *(A)

     15,658       24  

Pennant Group Inc/The *

     6,468       105  

Penumbra Inc *

     7,900       1,752  

Perrigo Co PLC

    30,800       1,094  

Personalis Inc *

     7,700       81  

PetIQ Inc, Cl A *(A)

     6,000       119  

Phathom Pharmaceuticals Inc *

     5,900       107  

Phibro Animal Health Corp, Cl A

    4,800       102  

Phreesia Inc *

     11,200       345  

Pliant Therapeutics *

     4,700       42  

PMV Pharmaceuticals Inc *

     6,200       98  

Portage Biotech *

     800       6  

Poseida Therapeutics *

     8,100       30  

Praxis Precision Medicines *

     8,800       115  

Precigen Inc *

     21,300       48  

Precision BioSciences Inc *

     8,600       37  

Prelude Therapeutics *(A)

     3,000       26  

Premier Inc, Cl A

    26,600       956  

Prestige Consumer Healthcare Inc *

     11,279       671  

 

 

 

48

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Privia Health Group Inc *

     4,800     $ 124  

PROCEPT BioRobotics *(A)

     1,600       40  

Progyny Inc *

     14,500       571  

Prometheus Biosciences Inc *(A)

     6,900       300  

Protagonist Therapeutics Inc *

     10,100       245  

Prothena Corp PLC *

     8,200       284  

Provention Bio *(A)

     10,100       63  

PTC Therapeutics Inc *

     15,600       548  

Pulmonx Corp *

     6,600       173  

Pulse Biosciences Inc *

     2,347       12  

Puma Biotechnology Inc *

     6,700       15  

Pyxis Oncology *(A)

     2,300       14  

QIAGEN NV *

     52,083       2,588  

Quanterix Corp *

     7,000       236  

Quidel Corp *

     8,012       848  

Quotient Ltd *

     14,400       20  

R1 RCM Inc *

     27,000       734  

Radius Health Inc *

     11,400       95  

RadNet Inc *

     11,000       271  

Rain Therapeutics *

     1,600       10  

Rallybio *

     1,500       16  

Rapid Micro Biosystems, Cl A *

     1,700       12  

RAPT Therapeutics Inc *

     5,700       114  

Reata Pharmaceuticals Inc, Cl A *

     5,900       193  

Recursion Pharmaceuticals, Cl A *(A)

     24,700       270  

REGENXBIO Inc *

     9,300       244  

Relay Therapeutics Inc *

     15,500       374  

Relmada Therapeutics Inc *

     3,300       68  

Reneo Pharmaceuticals *

     1,300       6  

Repligen Corp *

     12,322       2,424  

Replimune Group Inc *

     7,600       122  

Retractable Technologies *(A)

     3,700       18  

Revance Therapeutics Inc *

     15,800       214  

REVOLUTION Medicines Inc *

     12,700       240  

Rhythm Pharmaceuticals Inc *

     10,400       79  

Rigel Pharmaceuticals Inc *

     37,059       93  

Rocket Pharmaceuticals Inc *

     8,600       153  

Royalty Pharma PLC, Cl A

    74,600       2,929  

Rubius Therapeutics Inc *

     8,800       44  

RxSight *

     1,800       24  

Sage Therapeutics Inc *

     10,500       382  

Sana Biotechnology Inc *(A)

     18,300       118  

Sangamo Therapeutics Inc *

     28,370       166  

Sarepta Therapeutics Inc *

     19,100       1,463  

Scholar Rock Holding Corp *(A)

     5,400       94  

Schrodinger Inc/United States *

     9,900       344  

Seagen Inc *

     30,600       3,943  

SeaSpine Holdings Corp *

     9,400       119  

Seelos Therapeutics *

     16,200       17  

Seer, Cl A *

     8,800       135  

Select Medical Holdings Corp

    24,865       576  

Selecta Biosciences Inc *

     16,100       30  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Sensei Biotherapeutics *

     1,600     $ 6  

Senseonics Holdings Inc *(A)

     96,400       174  

Sera Prognostics, Cl A *

     1,000       5  

Seres Therapeutics Inc *

     15,900       127  

Sesen Bio *

     44,000       28  

Sharps Compliance Corp *

     3,900       24  

Shattuck Labs *

     4,800       24  

Shockwave Medical Inc *

     7,600       1,347  

SI-BONE Inc *

     7,300       161  

Sientra Inc *

     12,898       37  

SIGA Technologies Inc *

     10,000       60  

Sight Sciences Inc *

     2,400       42  

Sigilon Therapeutics *

     1,600       2  

Signify Health Inc, Cl A *

     13,400       188  

Silk Road Medical Inc *

     7,600       282  

Silverback Therapeutics *

     3,100       13  

Simulations Plus Inc

    3,900       154  

Singular Genomics Systems *

     2,500       21  

SOC Telemed Inc, Cl A *(A)

     8,800       26  

Solid Biosciences Inc *

     1,700       1  

Sorrento Therapeutics Inc *(A)

     62,400       158  

Sotera Health Co *

     23,224       508  

Spectrum Pharmaceuticals Inc *

     45,379       31  

Spero Therapeutics Inc *

     5,410       52  

SpringWorks Therapeutics Inc *

     6,700       379  

Spruce Biosciences *

     1,900       4  

SQZ Biotechnologies *(A)

     4,900       26  

STAAR Surgical Co *

     10,778       855  

Stereotaxis Inc *

     10,500       49  

Stoke Therapeutics Inc *

     4,300       84  

Summit Therapeutics *

     4,800       13  

Supernus Pharmaceuticals Inc *

     11,300       361  

Surface Oncology Inc *

     7,100       26  

Surgery Partners Inc *

     8,100       423  

Surmodics Inc *

     3,044       137  

Sutro Biopharma Inc *

     9,400       84  

Syndax Pharmaceuticals Inc *

     10,100       157  

Syneos Health Inc, Cl A *

     23,300       1,845  

Syros Pharmaceuticals Inc *

     12,700       16  

Tabula Rasa HealthCare Inc *

     5,000       29  

Tactile Systems Technology Inc *

     4,900       100  

Talaris Therapeutics *

     6,800       48  

Talis Biomedical Corp *

     3,100       6  

Tandem Diabetes Care Inc *

     14,200       1,599  

Tarsus Pharmaceuticals *

     2,600       46  

Taysha Gene Therapies *(A)

     6,000       38  

TCR2 Therapeutics Inc *

     8,300       22  

Teladoc Health Inc *

     34,640       2,630  

Tenaya Therapeutics *(A)

     3,000       35  

Tenet Healthcare Corp *

     24,200       2,081  

Terns Pharmaceuticals *

     1,900       6  

TG Therapeutics Inc *

     29,500       291  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

49

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

TherapeuticsMD Inc *

     50,700     $ 12  

Theravance Biopharma Inc *

     12,845       129  

Theseus Pharmaceuticals *(A)

     2,500       25  

Tivity Health Inc *(A)

     9,768       266  

Tonix Pharmaceuticals Holding *

     69,800       13  

TransMedics Group Inc *

     6,200       115  

Travere Therapeutics Inc *

     13,800       376  

Treace Medical Concepts Inc *

     4,600       99  

Trevena Inc *

     35,000       16  

Turning Point Therapeutics Inc *

     11,100       351  

Twist Bioscience Corp *

     10,800       604  

Tyra Biosciences *(A)

     2,600       31  

Ultragenyx Pharmaceutical Inc *

     14,900       1,003  

United Therapeutics Corp *

     10,164       1,689  

UroGen Pharma Ltd *(A)

     5,300       32  

US Physical Therapy Inc

    2,826       260  

Utah Medical Products Inc

    1,000       90  

Vanda Pharmaceuticals Inc *

     11,800       134  

Vapotherm Inc *

     4,900       74  

Varex Imaging Corp *

     8,600       203  

Vaxart *(A)

     29,300       149  

Vaxcyte *

     10,300       239  

VBI Vaccines Inc *

     36,900       55  

Veeva Systems Inc, Cl A *

     31,493       7,213  

Ventyx Biosciences *(A)

     2,300       27  

Vera Therapeutics, Cl A *

     1,500       35  

Veracyte Inc *

     16,300       453  

Verastem Inc *

     38,800       47  

Vericel Corp *

     10,600       437  

Verrica Pharmaceuticals Inc *

     4,500       38  

Verve Therapeutics *

     3,300       108  

Viemed Healthcare Inc *

     8,200       31  

ViewRay Inc *

     29,700       124  

Viking Therapeutics Inc *

     21,500       72  

Vincerx Pharma *

     1,000       5  

Vir Biotechnology Inc *

     13,500       340  

Viracta Therapeutics (A)

     7,800       21  

VistaGen Therapeutics *

     53,300       75  

Vor BioPharma *

     2,800       25  

WaVe Life Sciences Ltd *

     4,000       10  

Werewolf Therapeutics *(A)

     6,000       43  

XBiotech Inc

    4,339       43  

Xencor Inc *

     13,200       413  

Xilio Therapeutics *

     1,600       19  

XOMA *(A)

     1,300       29  

Y-mAbs Therapeutics Inc *

     8,800       80  

Zentalis Pharmaceuticals *

     8,400       419  

Zogenix Inc *

     13,200       347  

Zynex Inc (A)

     4,180       26  
                 
              201,874  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Industrials — 13.9%

        

AAON Inc

    9,350     $ 548  

AAR Corp *

     7,429       334  

ABM Industries Inc

    15,455       693  

Acacia Research Corp *

     8,749       33  

ACCO Brands Corp

    22,029       189  

Acuity Brands Inc

    8,025       1,463  

ADT Inc

    36,200       265  

Advanced Drainage Systems Inc

    14,000       1,634  

Advent Technologies Holdings *

     3,700       10  

AECOM

    31,248       2,270  

Aerojet Rocketdyne Holdings Inc

    16,679       646  

AeroVironment Inc *

     5,125       364  

AerSale *(A)

     1,900       30  

AGCO Corp

    14,323       1,721  

AgEagle Aerial Systems *

     14,300       17  

Air Lease Corp, Cl A

    24,331       1,016  

Air Transport Services Group Inc *

     14,036       442  

Alamo Group Inc

    2,335       325  

Albany International Corp, Cl A

    6,898       606  

Allegiant Travel Co, Cl A *

     3,450       601  

Allied Motion Technologies Inc

    2,650       92  

Allison Transmission Holdings Inc, Cl A

    23,476       938  

Alta Equipment Group *

     4,403       56  

Altra Industrial Motion Corp

    14,589       620  

AMERCO

    2,100       1,213  

Ameresco Inc, Cl A *

     7,079       455  

American Superconductor Corp *

     7,200       61  

American Woodmark Corp *

     3,984       213  

API Group *

     45,300       977  

Apogee Enterprises Inc

    6,011       271  

Applied Industrial Technologies Inc

    8,661       876  

ArcBest Corp

    5,590       518  

Arcosa Inc

    10,813       570  

Argan Inc

    2,979       116  

Aris Water Solution, Cl A

    4,200       61  

Armstrong World Industries Inc

    10,877       962  

Array Technologies Inc *

     29,687       334  

ASGN Inc *

     11,469       1,271  

Astec Industries Inc

    5,163       257  

Astronics Corp *

     3,874       57  

Astronics Corp, Cl B *

     2,395       35  

Atkore Inc *

     10,400       1,058  

Atlas Air Worldwide Holdings Inc *

     6,569       515  

Atlas Technical Consultants *

     2,900       33  

Avis Budget Group Inc *

     9,460       1,735  

Axon Enterprise Inc *

     14,869       2,085  

AZEK Co Inc/The, Cl A *

     25,400       749  

AZZ Inc

    5,796       285  

Babcock & Wilcox Enterprises *

     11,900       83  

Barnes Group Inc

    11,352       527  

Barrett Business Services Inc

    1,634       98  

 

 

 

50

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Beacon Roofing Supply Inc *

     12,570     $ 750  

Beam Global *(A)

     1,900       28  

Blink Charging *(A)

     8,500       209  

Bloom Energy Corp, Cl A *

     32,000       710  

Blue Bird Corp *

     4,392       94  

BlueLinx Holdings Inc *

     1,900       170  

Boise Cascade Co

    9,070       725  

Booz Allen Hamilton Holding Corp, Cl A

    30,565       2,466  

Brady Corp, Cl A

    10,627       490  

BrightView Holdings Inc *

     9,600       130  

Brink's Co/The (A)

     10,806       757  

Builders FirstSource Inc *

     43,451       3,234  

BWX Technologies Inc

    20,824       1,112  

Byrna Technologies Inc *

     2,300       23  

CACI International Inc, Cl A *

     5,332       1,492  

Cadre Holdings

    1,400       31  

Caesarstone Ltd

    4,600       55  

Carlisle Cos Inc

    11,877       2,820  

Casella Waste Systems Inc, Cl A *

     10,991       829  

CBIZ Inc *

     11,445       445  

CECO Environmental Corp *

     5,647       30  

ChargePoint Holdings Inc *(A)

     50,600       735  

Chart Industries Inc *

     8,372       1,209  

Cimpress PLC *

     4,299       271  

CIRCOR International Inc *

     3,715       100  

Clarivate PLC *

     99,700       1,493  

Clean Harbors Inc *

     11,476       1,095  

Colfax Corp *

     26,789       1,077  

Columbus McKinnon Corp/NY

    6,165       281  

Comfort Systems USA Inc

    8,091       696  

Commercial Vehicle Group Inc *

     6,900       55  

CompX International Inc

    400       9  

Concrete Pumping Holdings Inc *

     3,900       29  

Construction Partners Inc, Cl A *

     6,500       174  

Copa Holdings SA, Cl A *(A)

     7,128       605  

Core & Main Inc, Cl A *

     12,400       279  

CoreCivic Inc *‡

     27,302       249  

Cornerstone Building Brands Inc *

     12,319       272  

Costamare Inc

    11,500       155  

CoStar Group Inc *

     89,960       5,488  

Covenant Logistics Group Inc, Cl A

    3,300       74  

CRA International Inc

    1,105       98  

Crane Co

    11,429       1,155  

CSW Industrials Inc

    3,300       397  

Curtiss-Wright Corp

    8,978       1,324  

Custom Truck One Source *

     4,700       37  

Daseke Inc *

     7,700       97  

Deluxe Corp

    10,154       316  

Desktop Metal, Cl A *(A)

     41,864       174  

Donaldson Co Inc

    28,446       1,544  

Douglas Dynamics Inc

    5,222       192  

Driven Brands Holdings Inc *

     12,800       376  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Ducommun Inc *

     2,400     $ 121  

Dun & Bradstreet Holdings Inc *

     36,200       672  

DXP Enterprises Inc/TX *

     4,162       119  

Dycom Industries Inc *

     6,707       584  

Eagle Bulk Shipping Inc

    2,513       132  

EMCOR Group Inc

    12,187       1,408  

Encore Wire Corp

    4,403       513  

Energy Recovery Inc *

     10,200       194  

Enerpac Tool Group Corp, Cl A

    13,942       240  

EnerSys

    9,683       704  

Ennis Inc

    5,288       99  

EnPro Industries Inc

    4,868       538  

Eos Energy Enterprises *(A)

     12,800       37  

ESCO Technologies Inc

    5,777       402  

EVI Industries Inc *

     1,100       23  

Evoqua Water Technologies Corp *

     26,340       1,124  

Exponent Inc

    11,872       1,125  

Federal Signal Corp

    13,747       496  

First Advantage Corp *

     11,600       187  

Flowserve Corp

    29,800       905  

Fluence Energy Inc, Cl A *

     7,300       99  

Fluor Corp *

     32,400       702  

Forrester Research Inc *

     2,464       128  

Forward Air Corp

    6,118       631  

Franklin Covey Co *

     3,304       152  

Franklin Electric Co Inc

    10,581       895  

Frontier Group Holdings *(A)

     9,200       118  

FTC Solar *

     4,100       19  

FTI Consulting Inc *

     7,368       1,076  

FuelCell Energy *(A)

     85,700       514  

Gates Industrial Corp PLC *

     21,200       336  

GATX Corp

    8,052       859  

Genco Shipping & Trading Ltd

    7,300       141  

GEO Group Inc/The (A)

     30,685       183  

Gibraltar Industries Inc *

     7,360       356  

Global Industrial Co

    2,900       92  

GMS Inc *

     9,600       521  

Gorman-Rupp Co/The

    5,777       215  

Graco Inc

    38,505       2,776  

GrafTech International Ltd

    46,100       465  

Granite Construction Inc

    10,734       325  

Great Lakes Dredge & Dock Corp *

     14,980       211  

Greenbrier Cos Inc/The

    7,123       316  

Griffon Corp

    10,437       241  

GXO Logistics Inc *

     22,190       1,862  

H&E Equipment Services Inc

    7,525       314  

Harsco Corp *

     16,828       200  

Hawaiian Holdings Inc *

     12,480       239  

Healthcare Services Group Inc

    17,339       274  

Heartland Express Inc

    9,772       140  

HEICO Corp

    10,318       1,522  

HEICO Corp, Cl A

    18,082       2,223  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

51

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Heidrick & Struggles International Inc

    4,552     $ 195  

Helios Technologies Inc

    7,277       571  

Herc Holdings Inc

    5,667       902  

Heritage-Crystal Clean Inc *

     4,400       123  

Hexcel Corp

    19,598       1,135  

Hillenbrand Inc

    16,580       791  

HireQuest

    1,100       21  

HireRight Holdings *

     5,200       68  

HNI Corp

    9,949       405  

Hub Group Inc, Cl A *

     7,462       630  

Hubbell Inc, Cl B

    12,189       2,173  

Huron Consulting Group Inc *

     5,411       267  

Hydrofarm Holdings Group *

     8,200       166  

Hyliion Holdings *(A)

     27,400       118  

HyreCar *

     3,700       10  

Hyster-Yale Materials Handling Inc

    2,002       77  

IAA Inc *

     30,529       1,122  

ICF International Inc

    4,168       369  

Ideanomics Inc *(A)

     96,300       101  

IES Holdings Inc *

     1,700       71  

Infrastructure and Energy Alternatives *

     4,500       49  

INNOVATE Corp *(A)

     10,100       34  

Insperity Inc

    8,224       740  

Insteel Industries Inc

    4,141       154  

Interface Inc, Cl A

    14,045       183  

ITT Inc

    19,763       1,737  

JELD-WEN Holding Inc *

     21,300       492  

JetBlue Airways Corp *

     73,481       1,122  

John Bean Technologies Corp

    7,231       820  

Kadant Inc

    2,625       518  

Kaman Corp

    6,573       285  

KAR Auction Services Inc *

     26,629       492  

Karat Packaging *

     1,000       16  

KBR Inc

    32,345       1,606  

Kelly Services Inc, Cl A

    7,995       170  

Kennametal Inc

    19,114       606  

Kforce Inc

    4,537       341  

Kimball International Inc, Cl B

    7,025       65  

Kirby Corp *

     13,726       894  

Knight-Swift Transportation Holdings Inc, Cl A

    36,827       2,006  

Korn Ferry

    12,258       812  

Kratos Defense & Security Solutions Inc *

     25,316       530  

Landstar System Inc

    8,844       1,366  

Legalzoom.com Inc *

     4,000       62  

Lennox International Inc

    7,529       2,010  

Lincoln Electric Holdings Inc

    13,233       1,687  

Lindsay Corp

    2,527       332  

Luxfer Holdings PLC

    7,600       132  

Lyft Inc, Cl A *

     66,600       2,593  

Manitowoc Co Inc/The *

     7,787       129  

ManpowerGroup Inc

    12,456       1,324  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

ManTech International Corp/VA, Cl A

    6,422     $ 535  

Marten Transport Ltd

    14,229       245  

Masonite International Corp *

     5,300       500  

MasTec Inc *

     13,162       1,037  

Matrix Service Co *

     4,781       33  

Matson Inc

    9,452       1,047  

Matthews International Corp, Cl A

    6,813       226  

Maxar Technologies Inc

    16,324       530  

Mayville Engineering Co Inc *

     1,500       15  

McGrath RentCorp

    5,548       451  

MDU Resources Group Inc

    46,432       1,243  

Mercury Systems Inc *

     13,023       784  

Meritor Inc *

     15,095       538  

Mesa Air Group Inc *

     7,700       33  

Middleby Corp/The *

     12,625       2,242  

Miller Industries Inc/TN

    2,311       72  

MillerKnoll

    16,907       657  

Mistras Group Inc *

     2,697       18  

Montrose Environmental Group Inc *

     5,900       260  

Moog Inc, Cl A

    6,524       542  

MRC Global Inc *

     18,112       183  

MSA Safety Inc

    8,444       1,175  

MSC Industrial Direct Co Inc, Cl A

    10,203       791  

Mueller Industries Inc

    12,808       731  

Mueller Water Products Inc, Cl A

    35,912       456  

MYR Group Inc *

     3,879       348  

National Presto Industries Inc

    1,091       87  

Nikola *(A)

     53,300       421  

NL Industries Inc

    2,000       13  

NN Inc *

     5,587       14  

Northwest Pipe Co *

     2,600       74  

NOW Inc *

     25,100       234  

NV5 Global Inc *

     3,000       322  

nVent Electric PLC

    38,400       1,303  

Omega Flex Inc

    600       87  

Oshkosh Corp

    15,717       1,745  

Owens Corning

    22,960       2,140  

PAM Transportation Services Inc *

     800       54  

Park Aerospace Corp

    5,082       70  

Park-Ohio Holdings Corp

    1,118       18  

Parsons Corp *

     5,900       204  

PGT Innovations Inc *

     12,300       265  

Pitney Bowes Inc

    41,300       206  

Plug Power Inc *(A)

     117,400       2,969  

Powell Industries Inc

    1,364       29  

Preformed Line Products Co

    690       38  

Primoris Services Corp

    13,047       344  

Proto Labs Inc *

     6,099       343  

Quanex Building Products Corp

    6,965       159  

Radiant Logistics Inc *

     12,400       86  

RBC Bearings Inc *

     6,395       1,240  

Regal Rexnord Corp

    15,438       2,475  

 

 

 

52

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Resideo Technologies Inc *

     32,500     $ 837  

Resources Connection Inc

    6,981       116  

REV Group Inc

    8,400       114  

Romeo Power *(A)

     37,200       68  

Rush Enterprises Inc, Cl A

    9,598       499  

Rush Enterprises Inc, Cl B

    2,000       98  

Ryder System Inc

    12,000       946  

Safe Bulkers Inc *

     12,300       51  

Saia Inc *

     6,092       1,750  

Schneider National Inc, Cl B

    11,200       293  

Science Applications International Corp

    13,176       1,155  

Sensata Technologies Holding PLC *

     35,700       2,067  

Shoals Technologies Group Inc, Cl A *

     23,300       368  

Shyft Group Inc/The

    7,900       319  

Simpson Manufacturing Co Inc

    9,943       1,178  

SiteOne Landscape Supply Inc *

     10,200       1,759  

SkyWest Inc *

     11,322       318  

SP Plus Corp *

     6,098       182  

Spirit AeroSystems Holdings Inc, Cl A

    23,075       1,154  

Spirit Airlines Inc *

     22,647       568  

SPX Corp *

     9,894       502  

SPX FLOW Inc

    9,394       807  

Standex International Corp

    2,729       289  

Steelcase Inc, Cl A

    20,157       245  

Stem *

     24,400       232  

Stericycle Inc *

     20,100       1,173  

Sterling Check Corp *

     3,600       76  

Sterling Construction Co Inc *

     6,300       186  

Sun Country Airlines Holdings Inc *

     8,300       224  

Sunrun Inc *

     46,410       1,266  

Team Inc *

     5,757       5  

Tennant Co

    4,138       326  

Terex Corp

    15,370       634  

Tetra Tech Inc

    12,242       1,944  

Textainer Group Holdings Ltd

    10,353       368  

Thermon Group Holdings Inc *

     6,882       118  

Timken Co/The

    14,609       958  

Titan International Inc *

     10,800       121  

Titan Machinery Inc *

     4,312       122  

Toro Co/The

    24,400       2,289  

TPI Composites Inc *

     7,500       101  

Transcat Inc *

     1,600       126  

TransUnion

    44,094       4,002  

Trex Co Inc *

     26,560       2,439  

TriNet Group Inc *

     9,100       795  

Trinity Industries Inc

    17,742       512  

Triton International Ltd

    15,284       1,004  

Triumph Group Inc *

     14,496       363  

TrueBlue Inc *

     8,328       227  

TuSimple Holdings Inc, Cl A *(A)

     30,000       523  

Tutor Perini Corp *

     8,051       79  

Uber Technologies Inc *

     368,922       13,292  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

UFP Industries Inc

    13,965     $ 1,197  

UniFirst Corp/MA

    3,440       623  

Univar Solutions Inc *

     38,750       1,190  

Universal Logistics Holdings Inc

    1,900       36  

Upwork Inc *

     26,500       670  

US Ecology Inc *

     6,140       291  

US Xpress Enterprises Inc, Cl A *

     5,300       24  

Valmont Industries Inc

    4,814       1,042  

Vectrus Inc *

     2,679       123  

Veritiv Corp *

     3,399       364  

Vertiv Holdings Co, Cl A

    73,700       960  

Viad Corp *

     4,271       149  

Vicor Corp *

     4,900       366  

View *(A)

     31,300       76  

Virgin Galactic Holdings Inc *(A)

     43,900       425  

VSE Corp

    2,500       119  

Wabash National Corp

    11,741       200  

Watsco Inc

    7,459       2,037  

Watts Water Technologies Inc, Cl A

    6,256       901  

Welbilt Inc *

     29,350       694  

Werner Enterprises Inc

    14,090       612  

WESCO International Inc *

     10,165       1,237  

Willdan Group Inc *

     2,400       77  

Willis Lease Finance Corp *

     1,000       35  

WillScot Mobile Mini Holdings Corp, Cl A *

     48,211       1,713  

Woodward Inc

    13,142       1,638  

XPO Logistics Inc *

     22,190       1,613  

Yellow *

     10,800       97  

Zurn Water Solutions Corp

    27,626       898  
                 
              225,601  

Information Technology — 23.1%

        

3D Systems Corp *

     27,947       498  

8x8 Inc *

     25,314       328  

908 Devices *

     5,300       88  

A10 Networks Inc

    13,400       191  

ACI Worldwide Inc *

     27,012       905  

ADTRAN Inc

    10,997       226  

Advanced Energy Industries Inc

    8,919       766  

Aeva Technologies *(A)

     22,800       96  

Agilysys Inc *

     5,000       210  

Akoustis Technologies Inc *

     8,400       53  

Alarm.com Holdings Inc *

     10,800       711  

Alkami Technology Inc *

     6,400       101  

Allegro MicroSystems Inc *

     9,500       272  

Alliance Data Systems Corp

    11,300       762  

Alpha & Omega Semiconductor Ltd *

     4,800       258  

Altair Engineering Inc, Cl A *

     10,400       691  

Alteryx Inc, Cl A *

     13,500       841  

Ambarella Inc *

     8,045       1,124  

Amdocs Ltd

    29,668       2,335  

American Software Inc/GA, Cl A

    7,072       155  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

53

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Amkor Technology Inc

    22,938     $ 520  

Anaplan Inc *

     32,600       1,544  

Appfolio Inc, Cl A *

     4,300       486  

Appian Corp, Cl A *

     8,800       536  

Arlo Technologies Inc *

     21,752       202  

Arrow Electronics Inc *

     15,925       1,941  

Arteris *

     1,100       16  

Asana Inc, Cl A *(A)

     15,300       838  

Aspen Technology Inc *

     15,367       2,342  

Atlassian Corp PLC, Cl A *

     32,041       9,796  

Atomera *(A)

     3,500       56  

Avalara Inc *

     19,679       2,045  

Avaya Holdings Corp *

     17,842       246  

Aviat Networks *

     2,100       59  

Avid Technology Inc *

     7,722       243  

AvidXchange Holdings *(A)

     5,700       55  

Avnet Inc

    22,599       951  

Axcelis Technologies Inc *

     7,550       523  

AXT Inc *

     9,700       72  

Azenta Inc

    16,903       1,479  

Badger Meter Inc

    6,624       658  

Belden Inc

    10,123       570  

Benchmark Electronics Inc

    9,030       236  

Benefitfocus Inc *

     5,300       53  

Bentley Systems Inc, Cl B

    31,600       1,213  

BigCommerce Holdings Inc *

     10,700       277  

Bill.com Holdings Inc *

     21,077       5,014  

Black Knight Inc *

     34,837       1,957  

Blackbaud Inc *

     10,755       672  

Blackline Inc *

     12,200       919  

Block Inc, Cl A *

     109,709       13,988  

Bottomline Technologies DE Inc *

     10,271       582  

Box Inc, Cl A *

     31,500       807  

Brightcove Inc *

     9,610       72  

BTRS Holdings Inc, Cl A *

     12,400       76  

C3.ai Inc, Cl A *(A)

     12,800       287  

CalAmp Corp *

     8,156       58  

Calix Inc *

     12,445       676  

Cambium Networks Corp *

     1,999       56  

Cantaloupe *

     14,900       116  

Casa Systems Inc *

     2,800       12  

Cass Information Systems Inc

    3,154       125  

CDK Global Inc

    27,400       1,242  

Cerence Inc *

     8,510       307  

CEVA Inc *

     5,138       209  

ChannelAdvisor Corp *

     5,900       106  

Ciena Corp *

     35,386       2,421  

Cirrus Logic Inc *

     12,895       1,120  

Cleanspark *(A)

     8,900       94  

Clearfield Inc *

     2,600       167  

Cloudflare Inc, Cl A *(A)

     59,300       6,904  

CMC Materials Inc

    6,405       1,188  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Cognex Corp

    39,216     $ 2,649  

Coherent Inc *

     5,553       1,468  

Cohu Inc *

     11,036       344  

CommScope Holding Co Inc *

     46,000       439  

CommVault Systems Inc *

     10,384       653  

Comtech Telecommunications Corp

    5,832       120  

Concentrix Corp

    9,681       1,935  

Conduent Inc *

     39,300       191  

Consensus Cloud Solutions Inc *

     3,585       200  

CoreCard *

     1,700       55  

Corsair Gaming *(A)

     6,200       143  

Couchbase *

     2,100       44  

Coupa Software Inc *

     16,800       2,033  

Crowdstrike Holdings Inc, Cl A *

     45,321       8,847  

CS Disco *

     400       15  

CSG Systems International Inc

    7,417       458  

CTS Corp

    7,545       286  

Daktronics Inc *

     4,580       21  

Datadog Inc, Cl A *

     58,055       9,353  

Datto Holding Corp *(A)

     5,200       122  

Dell Technologies Inc, Cl C

    62,590       3,190  

Diebold Nixdorf Inc *

     16,833       146  

Digi International Inc *

     7,601       153  

Digimarc Corp *(A)

     2,876       87  

Digital Turbine Inc *

     20,700       1,004  

DigitalOcean Holdings Inc *

     11,600       688  

Diodes Inc *

     9,842       882  

DocuSign Inc, Cl A *

     44,380       5,256  

Dolby Laboratories Inc, Cl A

    14,804       1,112  

Domo Inc, Cl B *

     6,432       286  

DoubleVerify Holdings Inc *

     12,000       332  

Dropbox Inc, Cl A *

     68,100       1,545  

DSP Group Inc *(A)

     –       —  

Duck Creek Technologies Inc *

     16,400       385  

Dynatrace Inc *

     45,200       2,008  

DZS *

     3,800       55  

E2open Parent Holdings Inc *(A)

     46,500       418  

Eastman Kodak Co *(A)

     9,600       46  

Ebix Inc

    5,725       169  

eGain Corp *

     4,900       58  

Elastic NV *

     17,000       1,473  

EMCORE Corp *

     7,800       30  

Enfusion, Cl A *(A)

     4,900       81  

EngageSmart *

     5,000       110  

Entegris Inc

    30,989       4,043  

Envestnet Inc *

     12,252       917  

ePlus Inc *

     6,576       308  

Euronet Worldwide Inc *

     11,688       1,499  

Everbridge Inc *

     8,700       344  

EverCommerce *

     3,600       43  

EVERTEC Inc

    13,600       549  

Evo Payments Inc, Cl A *

     10,400       251  

 

 

 

54

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

ExlService Holdings Inc *

     7,523     $ 909  

Extreme Networks Inc *

     28,887       332  

Fabrinet *

     8,515       853  

Fair Isaac Corp *

     6,091       2,870  

FARO Technologies Inc *

     4,508       247  

Fastly Inc, Cl A *(A)

     23,900       445  

First Solar Inc *

     24,300       1,830  

Five9 Inc *

     15,500       1,705  

Flywire *

     14,300       387  

FormFactor Inc *

     17,719       717  

Genpact Ltd

    41,950       1,755  

GLOBALFOUNDRIES Inc *(A)

     11,800       717  

Globant SA *

     9,100       2,493  

GoDaddy Inc, Cl A *

     38,545       3,215  

GreenBox POS *

     3,700       13  

GreenSky, Cl A *

     14,700       146  

Grid Dynamics Holdings Inc *

     11,600       141  

GTY Technology Holdings Inc *

     11,200       50  

Guidewire Software Inc *

     19,269       1,699  

Hackett Group Inc/The

    5,700       118  

Harmonic Inc *

     20,694       193  

HubSpot Inc *

     10,373       5,446  

I3 Verticals Inc, Cl A *

     4,800       127  

IBEX Holdings *

     1,200       19  

Ichor Holdings Ltd *

     6,600       232  

Identiv *

     4,400       92  

II-VI Inc *(A)

     24,239       1,684  

Impinj Inc *

     4,200       289  

Infinera Corp *

     41,084       379  

Informatica Inc, Cl A

    7,200       145  

Inseego Corp *(A)

     21,400       101  

Insight Enterprises Inc *

     7,798       811  

Instructure Holdings *

     2,600       58  

Intapp *

     2,200       51  

InterDigital Inc

    7,417       478  

International Money Express Inc *

     9,100       146  

Iteris Inc *

     12,600       41  

Itron Inc *

     10,211       487  

Jabil Inc

    33,600       1,942  

Jamf Holding Corp *(A)

     12,600       431  

JFrog Ltd *

     11,500       285  

Kaltura *

     3,700       8  

Kimball Electronics Inc *

     5,693       98  

Knowles Corp *

     20,300       442  

Kopin Corp *(A)

     20,100       53  

Kulicke & Soffa Industries Inc

    13,900       726  

KVH Industries Inc *

     1,997       17  

Kyndryl Holdings Inc *

     50,700       804  

Lattice Semiconductor Corp *

     30,962       1,939  

Limelight Networks Inc *

     27,600       108  

Littelfuse Inc

    5,531       1,428  

LivePerson Inc *

     14,991       304  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

LiveRamp Holdings Inc *

     15,074     $ 651  

Lumentum Holdings Inc *

     16,670       1,648  

Luna Innovations *

     10,800       74  

MACOM Technology Solutions Holdings Inc *

     11,125       669  

Mandiant Inc *

     53,000       1,049  

Manhattan Associates Inc *

     14,480       1,936  

Marathon Digital Holdings Inc *(A)

     21,200       537  

Marvell Technology Inc

    187,112       12,785  

Maximus Inc

    13,816       1,090  

MaxLinear Inc, Cl A *

     15,944       978  

McAfee Corp, Cl A

    19,400       504  

MeridianLink *

     2,700       53  

Meta Materials *(A)

     46,350       100  

Methode Electronics Inc

    8,684       396  

MicroStrategy Inc, Cl A *(A)

     1,953       865  

MicroVision *(A)

     35,100       141  

Mimecast Ltd *

     14,000       1,113  

Mitek Systems Inc *

     9,100       135  

MKS Instruments Inc

    12,723       1,916  

Model N Inc *

     7,600       187  

Momentive Global Inc *

     29,200       459  

MoneyGram International Inc *

     18,900       203  

MongoDB Inc, Cl A *

     14,600       5,577  

N-able Inc *

     11,350       131  

Napco Security Technologies Inc *

     6,500       133  

National Instruments Corp

    30,567       1,227  

nCino Inc *

     12,700       583  

NCR Corp *

     29,783       1,207  

NeoPhotonics Corp *

     13,200       202  

NETGEAR Inc *

     6,692       178  

NetScout Systems Inc *

     15,958       497  

New Relic Inc *

     11,700       775  

nLight Inc *

     10,600       173  

Novanta Inc *

     7,962       1,088  

Nuance Communications Inc *

     65,371       3,629  

Nutanix Inc, Cl A *

     48,600       1,298  

NVE Corp

    1,094       63  

Okta Inc, Cl A *

     29,004       5,303  

ON Semiconductor Corp *

     97,300       6,092  

ON24 *

     6,100       95  

OneSpan Inc *

     7,554       104  

Onto Innovation Inc *

     11,172       963  

OSI Systems Inc *

     4,068       328  

Ouster *(A)

     33,500       113  

PagerDuty Inc *

     18,415       623  

Palantir Technologies Inc, Cl A *

     381,800       4,524  

Palo Alto Networks Inc *

     21,885       13,005  

PAR Technology Corp *

     5,800       243  

Paya Holdings Inc *

     20,400       132  

Paycor HCM Inc *(A)

     5,700       160  

Paylocity Holding Corp *

     9,000       1,912  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

55

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Paysafe Ltd *

     157,600     $ 503  

PC Connection Inc

    2,231       109  

PDF Solutions Inc *

     6,753       185  

Pegasystems Inc

    9,336       813  

Perficient Inc *

     7,400       754  

Photronics Inc *

     13,129       242  

Ping Identity Holding Corp *

     14,700       309  

Plantronics Inc *

     10,369       292  

Plexus Corp *

     6,328       516  

Power Integrations Inc

    13,878       1,249  

Priority Technology Holdings Inc *

     1,600       8  

Procore Technologies Inc *

     13,500       880  

Progress Software Corp

    10,058       443  

PROS Holdings Inc *

     9,399       299  

Pure Storage Inc, Cl A *

     61,100       1,585  

Q2 Holdings Inc *

     12,500       813  

Qualys Inc *

     7,800       977  

Quantum *

     10,200       27  

Rackspace Technology Inc *

     11,600       129  

Rambus Inc *

     24,910       673  

Rapid7 Inc *

     12,800       1,324  

Rekor Systems *(A)

     6,700       32  

Remitly Global *(A)

     4,400       48  

Repay Holdings Corp, Cl A *

     20,900       361  

Ribbon Communications Inc *

     13,520       41  

Rimini Street Inc *

     10,000       45  

RingCentral Inc, Cl A *

     18,700       2,447  

Riot Blockchain *(A)

     17,300       298  

Rogers Corp *

     4,293       1,172  

Sabre Corp *

     75,200       822  

Sailpoint Technologies Holdings Inc *

     20,800       860  

Sanmina Corp *

     14,166       564  

Sapiens International Corp NV

    7,000       189  

ScanSource Inc *

     6,496       205  

SecureWorks Corp, Cl A *

     2,000       31  

Semtech Corp *

     14,775       1,025  

Shift4 Payments Inc, Cl A *

     9,800       516  

ShotSpotter Inc *

     1,400       36  

Silicon Laboratories Inc *

     9,082       1,396  

SiTime Corp *

     3,600       728  

SkyWater Technology *(A)

     1,700       20  

SMART Global Holdings Inc *

     8,800       242  

Smartsheet Inc, Cl A *

     27,600       1,467  

Smith Micro Software Inc *

     9,500       40  

Snowflake Inc, Cl A *

     45,400       12,061  

SolarWinds Corp

    7,850       106  

Splunk Inc *

     37,222       4,396  

Sprout Social Inc, Cl A *

     10,200       664  

SPS Commerce Inc *

     7,858       1,020  

SS&C Technologies Holdings Inc

    51,318       3,847  

StarTek Inc *

     4,000       18  

StoneCo Ltd, Cl A *

     50,000       562  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Stronghold Digital Mining, Cl A *

     1,600     $ 20  

Sumo Logic Inc *

     18,700       225  

SunPower Corp, Cl A *(A)

     18,336       329  

Super Micro Computer Inc *

     10,300       405  

Switch Inc, Cl A

    26,300       684  

Synaptics Inc *

     8,887       2,030  

TD SYNNEX Corp

    9,581       976  

Telos *

     8,500       97  

Tenable Holdings Inc *

     20,900       1,157  

Teradata Corp *

     24,500       1,225  

Thoughtworks Holding Inc *

     9,100       208  

Trade Desk Inc/The, Cl A *

     99,900       8,523  

TTEC Holdings Inc

    4,227       336  

TTM Technologies Inc *

     23,487       295  

Tucows Inc, Cl A *(A)

     2,200       148  

Turtle Beach Corp *

     4,000       95  

Twilio Inc, Cl A *

     38,242       6,685  

Ubiquiti Inc

    1,500       381  

Ultra Clean Holdings Inc *

     9,852       451  

Unisys Corp *

     15,183       324  

Unity Software Inc *

     34,500       3,673  

Universal Display Corp

    10,051       1,557  

Upland Software Inc *

     5,700       107  

Varonis Systems Inc, Cl B *

     24,100       1,051  

Veeco Instruments Inc *

     11,010       315  

Velodyne Lidar *(A)

     17,700       65  

Verint Systems Inc *

     14,650       736  

Veritone Inc *

     5,500       93  

Verra Mobility Corp, Cl A *

     32,300       543  

Viant Technology, Cl A *

     2,600       21  

Viasat Inc *

     15,956       728  

Viavi Solutions Inc *

     54,200       889  

VirnetX Holding Corp *

     20,442       37  

Vishay Intertechnology Inc

    30,417       584  

Vishay Precision Group Inc *

     3,164       99  

VMware Inc, Cl A

    51,109       5,996  

Vonage Holdings Corp *

     54,320       1,104  

Vontier Corp

    39,500       960  

Weave Communications Inc *

     1,000       10  

Western Union Co/The

    92,000       1,673  

WEX Inc *

     10,376       1,748  

Wix.com Ltd *

     12,100       1,108  

Wolfspeed Inc *

     26,423       2,714  

Workday Inc, Cl A *

     43,666       10,002  

Workiva Inc, Cl A *

     9,700       1,021  

Xerox Holdings Corp

    32,000       631  

Xperi Holding Corp

    23,950       415  

Yext Inc *

     25,100       186  

Zendesk Inc *

     27,523       3,211  

Zoom Video Communications Inc, Cl A *

     49,921       6,620  

Zscaler Inc *

     18,100       4,329  

 

 

 

56

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Zuora Inc, Cl A *

     26,300     $ 399  
                 
              376,048  

Materials — 4.3%

        

AdvanSix Inc

    5,900       236  

Alcoa Corp

    43,200       3,255  

Allegheny Technologies Inc *

     30,100       775  

American Vanguard Corp

    8,099       122  

Amyris Inc *(A)

     37,000       169  

AptarGroup Inc

    15,066       1,836  

Arconic Corp *

     24,300       746  

Ardagh Metal Packaging SA *(A)

     46,050       383  

Ashland Global Holdings Inc

    12,808       1,182  

Aspen Aerogels Inc *

     4,800       142  

Avient Corp

    21,132       1,107  

Axalta Coating Systems Ltd *

     47,600       1,287  

Balchem Corp

    7,288       1,008  

Berry Global Group Inc *

     30,941       1,877  

Cabot Corp

    12,832       939  

Carpenter Technology Corp

    9,601       369  

Century Aluminum Co *

     12,297       290  

Chase Corp

    1,500       138  

Chemours Co/The

    37,400       1,032  

Clearwater Paper Corp *

     3,751       108  

Cleveland-Cliffs Inc *

     104,460       2,336  

Coeur Mining Inc *

     58,261       250  

Commercial Metals Co

    27,141       1,046  

Compass Minerals International Inc

    7,840       460  

Constellium, Cl A *

     28,600       556  

Crown Holdings Inc

    28,151       3,453  

Danimer Scientific *(A)

     26,700       106  

Diversey Holdings Ltd *

     19,500       187  

Eagle Materials Inc

    9,183       1,256  

Ecovyst

    12,200       133  

Element Solutions Inc

    53,900       1,325  

Ferro Corp *

     18,705       406  

Forterra Inc *

     6,600       155  

FutureFuel Corp

    3,876       29  

Gatos Silver *

     7,500       25  

GCP Applied Technologies Inc *

     12,024       380  

Glatfelter

    10,271       141  

Graphic Packaging Holding Co

    65,817       1,354  

Greif Inc, Cl A

    6,319       363  

Greif Inc, Cl B

    1,300       74  

Hawkins Inc

    4,346       197  

Haynes International Inc

    2,823       103  

HB Fuller Co

    12,033       823  

Hecla Mining Co

    121,968       703  

Huntsman Corp

    47,524       1,922  

Ingevity Corp *

     8,300       566  

Innospec Inc

    5,513       526  

Intrepid Potash *

     1,960       111  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Kaiser Aluminum Corp

    3,754     $ 362  

Koppers Holdings Inc

    4,473       128  

Kraton Corp *

     7,080       327  

Kronos Worldwide Inc

    5,084       75  

Livent Corp *

     36,200       852  

Louisiana-Pacific Corp

    20,242       1,456  

Marrone Bio Innovations *

     12,500       9  

Materion Corp

    4,574       382  

Minerals Technologies Inc

    7,524       527  

MP Materials *(A)

     17,000       776  

Myers Industries Inc

    8,418       140  

Neenah Inc

    3,793       148  

NewMarket Corp

    1,497       476  

Novagold Resources Inc *

     55,300       386  

O-I Glass Inc *

     38,000       486  

Olin Corp

    33,016       1,701  

Olympic Steel Inc

    1,927       52  

Orion Engineered Carbons SA

    14,400       224  

Pactiv Evergreen Inc

    8,700       84  

Perpetua Resources *

     5,700       20  

PolyMet Mining *

     6,200       17  

PureCycle Technologies *(A)

     12,200       85  

Quaker Chemical Corp

    3,034       563  

Ranpak Holdings Corp, Cl A *

     8,300       201  

Rayonier Advanced Materials Inc *

     13,917       82  

Reliance Steel & Aluminum Co

    14,238       2,718  

Royal Gold Inc

    15,002       1,819  

RPM International Inc

    29,288       2,477  

Ryerson Holding Corp

    4,900       128  

Schnitzer Steel Industries Inc, Cl A

    5,956       290  

Schweitzer-Mauduit International Inc

    5,638       176  

Scotts Miracle-Gro Co/The, Cl A

    9,459       1,325  

Sensient Technologies Corp

    9,535       783  

Silgan Holdings Inc

    18,960       794  

Sonoco Products Co

    22,621       1,328  

Southern Copper Corp

    19,429       1,348  

Steel Dynamics Inc

    43,237       3,052  

Stepan Co

    4,825       500  

Summit Materials Inc, Cl A *

     26,706       834  

SunCoke Energy Inc

    18,646       148  

Sylvamo Corp *

     7,700       269  

TimkenSteel Corp *

     10,104       182  

Tredegar Corp

    5,341       61  

TriMas Corp

    9,876       321  

Trinseo PLC

    8,900       462  

Tronox Holdings PLC

    25,800       524  

UFP Technologies Inc *

     1,800       124  

United States Lime & Minerals Inc

    400       47  

United States Steel Corp

    61,600       1,676  

Valhi

    500       13  

Valvoline Inc

    41,736       1,349  

Verso Corp

    5,800       154  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

57

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Warrior Met Coal Inc

    12,600     $ 397  

Westlake Corp

    7,510       828  

Worthington Industries Inc

    7,402       422  

Zymergen *(A)

     18,000       69  
                 
              70,164  

Real Estate — 7.7%

        

Acadia Realty Trust ‡

     20,139       432  

Agree Realty Corp ‡

     15,447       991  

Alexander & Baldwin Inc ‡

     16,191       363  

Alexander's Inc ‡

     488       124  

American Assets Trust Inc ‡

     11,391       416  

American Campus Communities Inc ‡

     31,362       1,688  

American Homes 4 Rent, Cl A ‡

     64,900       2,467  

Americold Realty Trust ‡

     61,200       1,635  

Apartment Income ‡

     35,800       1,848  

Apartment Investment and Management Co, Cl A ‡

     34,000       243  

Apple Hospitality Inc ‡

     48,800       863  

Armada Hoffler Properties Inc ‡

     13,800       203  

Ashford Hospitality Trust Inc *‡

     3,050       26  

Braemar Hotels & Resorts Inc *‡(A)

     13,600       81  

Brandywine Realty Trust ‡

     38,639       515  

Brixmor Property Group Inc ‡

     67,900       1,706  

Broadstone Net Lease Inc, Cl A ‡

     35,900       778  

BRT Apartments Corp ‡

     2,400       53  

Camden Property Trust ‡

     22,638       3,738  

CareTrust Inc ‡

     22,653       396  

CatchMark Timber Trust Inc, Cl A ‡

     11,000       84  

Centerspace ‡

     3,403       320  

Chatham Lodging Trust *‡

     10,435       143  

City Office Inc ‡

     11,000       189  

Clipper Realty Inc ‡

     3,500       33  

Community Healthcare Trust Inc ‡

     5,400       225  

CorePoint Lodging Inc *‡

     8,250       132  

Corporate Office Properties Trust ‡

     25,430       667  

Cousins Properties Inc ‡

     34,145       1,319  

CTO Realty Growth Inc ‡

     518       32  

CubeSmart ‡

     49,122       2,368  

Cushman & Wakefield PLC *

     31,600       693  

CyrusOne Inc ‡

     29,129       2,632  

DiamondRock Hospitality Co *‡

     47,607       455  

DigitalBridge Group *‡

     110,594       802  

Diversified Healthcare Trust ‡

     55,107       159  

Douglas Elliman *

     15,445       116  

Douglas Emmett Inc ‡

     38,785       1,229  

Easterly Government Properties Inc, Cl A ‡

     19,500       406  

EastGroup Properties Inc ‡

     9,185       1,752  

Empire State Realty Trust Inc, Cl A ‡

     33,000       312  

EPR Properties ‡

     16,951       844  

Equity Commonwealth *‡

     26,344       700  

Equity LifeStyle Properties Inc ‡

     40,164       2,997  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Essential Properties Realty Trust Inc ‡

     28,000     $ 708  

eXp World Holdings Inc (A)

     13,900       372  

Farmland Partners Inc ‡

     9,000       105  

Fathom Holdings *

     1,100       14  

First Industrial Realty Trust Inc ‡

     29,453       1,696  

Forestar Group Inc *

     3,867       71  

Four Corners Property Trust Inc ‡

     17,319       457  

Franklin Street Properties Corp ‡

     27,996       162  

FRP Holdings Inc *

     1,438       83  

Gaming and Leisure Properties Inc ‡

     51,731       2,349  

Getty Realty Corp ‡

     9,189       253  

Gladstone Commercial Corp ‡

     8,919       189  

Gladstone Land Corp ‡

     7,000       209  

Global Medical Inc ‡

     15,000       235  

Global Net Lease Inc ‡

     24,033       342  

Healthcare Realty Trust Inc ‡

     33,855       883  

Healthcare Trust of America Inc, Cl A ‡

     50,150       1,474  

Hersha Hospitality Trust, Cl A *‡

     9,019       83  

Highwoods Properties Inc ‡

     23,268       1,014  

Howard Hughes Corp/The *

     9,517       910  

Hudson Pacific Properties Inc ‡

     33,970       897  

Independence Realty Trust Inc ‡

     24,401       617  

Indus Realty Trust ‡

     1,403       107  

Industrial Logistics Properties Trust ‡

     15,409       345  

Innovative Industrial Properties Inc, Cl A ‡

     5,400       1,018  

Invitation Homes Inc ‡

     137,081       5,182  

iStar Inc ‡(A)

     14,918       375  

JBG SMITH Properties ‡

     27,600       736  

Jones Lang LaSalle Inc *

     11,547       2,843  

Kennedy-Wilson Holdings Inc

    27,029       598  

Kilroy Realty Corp ‡

     26,643       1,908  

Kite Realty Group Trust ‡

     49,421       1,084  

Lamar Advertising Co, Cl A ‡

     19,797       2,159  

Lexington Realty Trust, Cl B ‡

     62,790       971  

Life Storage Inc ‡

     18,639       2,360  

LTC Properties Inc ‡

     9,217       312  

Macerich Co/The ‡(A)

     48,045       735  

Marcus & Millichap Inc

    5,100       254  

Medical Properties Trust Inc ‡

     135,562       2,757  

National Health Investors Inc ‡

     9,864       526  

National Retail Properties Inc ‡

     40,043       1,706  

National Storage Affiliates Trust ‡

     18,800       1,095  

Necessity Retail ‡

     28,700       202  

NETSTREIT Corp ‡

     10,200       226  

Newmark Group Inc, Cl A

    34,005       601  

NexPoint Residential Trust Inc ‡

     4,900       416  

Office Properties Income Trust ‡

     10,391       260  

Omega Healthcare Investors Inc ‡

     54,757       1,543  

One Liberty Properties Inc ‡

     3,662       106  

Opendoor Technologies Inc *

     103,100       861  

Orion Office Inc *‡

     11,900       203  

Outfront Media Inc ‡

     32,709       873  

 

 

 

58

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Paramount Group Inc ‡

     42,000     $ 470  

Park Hotels & Resorts Inc *‡

     53,459       1,007  

Pebblebrook Hotel Trust ‡

     29,225       658  

Phillips Edison & Co Inc ‡

     4,000       129  

Physicians Realty Trust ‡

     49,500       805  

Piedmont Office Realty Trust Inc, Cl A ‡

     28,566       487  

Plymouth Industrial Inc ‡

     7,000       183  

Postal Realty Trust Inc, Cl A ‡

     2,600       45  

PotlatchDeltic Corp ‡

     14,812       813  

Preferred Apartment Communities Inc ‡

     11,600       293  

PS Business Parks Inc ‡

     4,528       721  

Rafael Holdings Inc, Cl B *

     1,600       5  

Rayonier Inc ‡

     32,753       1,300  

RE/MAX Holdings Inc, Cl A

    4,200       124  

Realogy Holdings Corp *

     26,502       482  

Redfin Corp *(A)

     23,300       504  

Retail Opportunity Investments Corp ‡

     26,759       486  

Retail Value Inc ‡

     3,344       10  

Rexford Industrial Realty Inc ‡

     34,800       2,441  

RLJ Lodging Trust ‡

     37,154       520  

RMR Group Inc/The, Cl A

    4,170       122  

RPT Realty ‡

     18,837       244  

Ryman Hospitality Properties Inc *‡

     12,360       1,089  

Sabra Health Care Inc ‡

     52,020       699  

Safehold Inc ‡

     5,000       307  

Saul Centers Inc ‡

     2,644       122  

Seritage Growth Properties *‡(A)

     7,500       76  

Service Properties Trust ‡

     38,741       334  

SITE Centers Corp ‡

     38,907       605  

SL Green Realty Corp ‡(A)

     15,384       1,223  

Spirit Realty Capital Inc ‡

     28,313       1,313  

St. Joe

    7,300       394  

STAG Industrial Inc ‡

     40,156       1,564  

STORE Capital Corp ‡

     56,000       1,720  

Summit Hotel Properties Inc *‡

     23,629       234  

Sun Communities Inc ‡

     26,321       4,764  

Sunstone Hotel Investors Inc *‡

     48,938       518  

Tanger Factory Outlet Centers Inc ‡(A)

     23,549       393  

Tejon Ranch Co *

     6,376       108  

Terreno Realty Corp ‡

     16,863       1,160  

UMH Properties Inc ‡

     9,500       219  

Uniti Group Inc ‡

     45,160       586  

Universal Health Realty Income Trust ‡

     3,116       178  

Urban Edge Properties ‡

     27,900       508  

Urstadt Biddle Properties Inc, Cl A ‡

     6,156       116  

Veris Residential ‡

     19,767       334  

VICI Properties Inc ‡

     144,800       4,049  

Washington Real Estate Investment Trust ‡

     20,413       477  

Whitestone, Cl B ‡

     12,377       146  

WP Carey Inc ‡

     42,400       3,282  

Xenia Hotels & Resorts Inc *‡

     25,700       476  

Zillow Group Inc, Cl A *

     13,691       784  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Zillow Group Inc, Cl C *(A)

     38,797     $ 2,232  
                 
              124,519  

Utilities — 2.1%

        

ALLETE Inc

    11,770       741  

American States Water Co

    8,274       696  

Artesian Resources Corp, Cl A

    2,184       101  

Avangrid Inc (A)

     12,950       581  

Avista Corp

    16,752       748  

Black Hills Corp

    14,402       1,008  

Brookfield Infrastructure Corp, Cl A

    14,000       986  

Brookfield Renewable Corp, Cl A

    28,913       1,080  

Cadiz Inc *

     4,300       11  

California Water Service Group

    11,841       674  

Chesapeake Utilities Corp

    3,815       507  

Clearway Energy Inc, Cl A

    7,800       239  

Clearway Energy Inc, Cl C

    18,300       611  

Essential Utilities Inc

    52,837       2,489  

Global Water Resources Inc

    2,800       43  

Hawaiian Electric Industries Inc

    23,858       978  

IDACORP Inc

    11,424       1,188  

MGE Energy Inc

    8,214       592  

Middlesex Water Co

    4,001       400  

National Fuel Gas Co

    20,288       1,263  

New Jersey Resources Corp

    21,894       955  

Northwest Natural Holding Co

    7,076       368  

NorthWestern Corp

    12,146       735  

OGE Energy Corp

    46,176       1,734  

ONE Gas Inc

    12,100       1,005  

Ormat Technologies Inc (A)

     10,334       737  

Otter Tail Corp

    9,546       590  

PG&E Corp *

     348,400       3,961  

PNM Resources Inc

    19,717       891  

Portland General Electric Co

    20,200       1,026  

Pure Cycle Corp *

     5,900       70  

SJW Group

    6,264       409  

South Jersey Industries Inc

    23,496       797  

Southwest Gas Holdings Inc

    12,441       883  

Spire Inc

    11,403       765  

Sunnova Energy International Inc *

     18,900       381  

UGI Corp

    47,696       1,833  

Unitil Corp

    3,558       180  

Via Renewables Inc, Cl A (A)

     2,000       22  

Vistra Corp

    109,868       2,507  

York Water Co/The

    2,952       132  
                 
              34,917  

Total Common Stock

               

(Cost $1,155,003) ($ Thousands)

             1,614,521  
                 
                 
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

59

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Continued)

 

             

Description

     Number of
Rights		    

Market Value
($ Thousands)

  

RIGHTS — 0.0%

Media General Inc CVR *‡‡(C)

     20,200     $ –  

Tobira Therapeutics CVR *‡‡(C)

     2,300       –  

Total Rights

                

(Cost $—) ($ Thousands)

             –  
                 
                 
   


Shares

          

AFFILIATED PARTNERSHIP — 3.9%

SEI Liquidity Fund, L.P.

                

0.050% **†(D)

     63,087,906       63,101  
                 
                 

Total Affiliated Partnership

                

(Cost $63,089) ($ Thousands)

     63,101  
                 
                 
                 

CASH EQUIVALENT — 0.6%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     9,241,271       9,241  
                 

Total Cash Equivalent

                

(Cost $9,241) ($ Thousands)

             9,241  
                 
                 

Total Investments in Securities — 103.8%

                

(Cost $1,227,333) ($ Thousands)

  $ 1,686,863  
                 
                 
                 

 

 
 

 

A list of open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

Russell 2000 Index E-MINI

     58       Mar-2022     $ 6,407     $ 5,929     $ (478 )

S&P Mid Cap 400 Index E-MINI

     20       Mar-2022       5,550       5,316       (234 )
                    $ 11,957     $ 11,245     $ (712 )

 

 

 

Percentages are based on Net Assets of $1,625,767 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security.

‡‡

Expiration date not available.

(A)

Certain securities or partial positions of certain securities are on loan at February 28, 2022. The total market value of securities on loan at February 28, 2022 was $63,085 ($ Thousands).

(B)

Security is a Master Limited Partnership. At February 28, 2022, such securities amounted to $866 ($ Thousands), or 0.1% of the Net Assets of the Fund.

(C)

Level 3 security in accordance with fair value hierarchy.

(D)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of February 28, 2022 was $63,101 ($ Thousands).

 

Cl — Class

CVR — Contingent Value Rights

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

S&P— Standard & Poor's

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)(1)

    

Total
($)

  

Common Stock

     1,614,521       –       –       1,614,521  

Rights

     –       –       – ^     – ^

Affiliated Partnership

     –       63,101       –       63,101  

Cash Equivalent

     9,241       –       –       9,241  

Total Investments in Securities

     1,623,762       63,101       – ^     1,686,863  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Depreciation

     (712 )     –       –       (712 )

Total Other Financial Instruments

     (712 )     –       –       (712 )

 

*

Futures contracts are valued at the unrealized depreciaton on the instrument.

 

^ Amount represents less than $500.

 

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

 

 

 

60

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Extended Market Index Fund (Concluded)

 

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

  

Value

5/31/2021

    

Purchases

at Cost

    

Proceeds

from Sales

    

Realized Gain

(Loss)

  

Change in Unrealized Appreciation/

(Depreciation)

    

Value 2/28/2022

    

Shares

    

Income

    

Capital Gains

  

SEI Investments Co

   $ 1,682     $ 224     $ (351 )   $ 74     $ (193 )   $ 1,436       24,519     $ 19     $ —  

SEI Liquidity Fund, L.P.

     90,850       251,556       (279,301 )     4       (8 )     63,101       63,087,906       333       —  

SEI Daily Income Trust, Government Fund, Cl F

     7,519       236,993       (235,271 )     —       —       9,241       9,241,271       1       —  

Totals

   $ 100,051     $ 488,773     $ (514,923 )   $ 78     $ (201 )   $ 73,778             $ 353     $ —  

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

61

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 97.5%
                 

Communication Services — 1.7%

        

Advantage Solutions Inc *

     18,205     $ 143  

Altice USA Inc, Cl A *

     14,200       164  

AMC Networks Inc, Cl A *

     9,100       377  

Anterix Inc *

     700       37  

ATN International Inc

    700       23  

Audacy Inc, Cl A *

     54,900       170  

Cable One Inc

    119       171  

Cargurus Inc, Cl A *

     4,956       240  

Cars.com Inc *

     11,940       193  

Clear Channel Outdoor Holdings Inc, Cl A *

     64,839       243  

Cogent Communications Holdings Inc

    2,350       149  

DHI Group Inc *

     26,271       149  

Gannett Co Inc *

     41,600       207  

Gray Television Inc

    13,500       316  

Hemisphere Media Group Inc, Cl A *

     9,959       53  

Integral Ad Science Holding *

     492       9  

John Wiley & Sons Inc, Cl A

    100       5  

Liberty Latin America Ltd, Cl A *

     13,187       133  

Liberty TripAdvisor Holdings Inc, Cl A *

     40,078       85  

MediaAlpha Inc, Cl A *

     4,640       67  

Nexstar Media Group Inc, Cl A

    3,600       666  

Ooma Inc *

     11,868       199  

QuinStreet Inc *

     13,888       156  

Scholastic Corp

    1,600       67  

Shenandoah Telecommunications Co

    1,900       43  

Telephone and Data Systems Inc

    12,000       208  

Ziff Davis Inc *

     330       33  
                 
              4,306  

Consumer Discretionary — 12.0%

        

1-800-Flowers.com Inc, Cl A *

     4,494       70  

Aaron's Co Inc/The

    7,900       166  

Academy Sports & Outdoors Inc *

     4,912       159  

American Axle & Manufacturing Holdings Inc *

     41,900       388  

American Eagle Outfitters Inc (A)

     26,527       559  

American Public Education Inc *

     15,428       308  

Arko Corp

    16,810       140  

AutoNation Inc *

     1,360       156  

Beazer Homes USA Inc *

     22,574       370  

Big Lots Inc

    7,300       254  

Biglari Holdings Inc, Cl B *

     987       136  

Bluegreen Vacations Holding Corp, Cl A *

     6,375       181  

Boot Barn Holdings Inc *

     7,784       677  

Boyd Gaming Corp

    3,557       252  

Buckle Inc/The

    6,012       216  

Caleres Inc

    2,820       59  

Carriage Services Inc, Cl A

    8,490       418  

Cato Corp/The, Cl A

    12,370       218  

Cavco Industries Inc *

     804       219  

Century Casinos Inc *

     10,600       130  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Choice Hotels International Inc

    1,941     $ 280  

Chuy's Holdings Inc *

     5,813       190  

Citi Trends Inc *

     1,190       44  

Conn's Inc *

     8,359       153  

Container Store Group Inc/The *

     26,390       233  

Dana Inc

    15,100       281  

Dick's Sporting Goods Inc

    2,842       298  

Dillard's Inc, Cl A

    180       45  

Dorman Products Inc *

     1,160       108  

El Pollo Loco Holdings Inc *

     23,785       316  

Ethan Allen Interiors Inc

    32,530       848  

Fiesta Restaurant Group Inc *

     6,502       66  

Five Below Inc *

     160       26  

Genesco Inc *

     6,190       397  

Gentex Corp

    6,400       194  

Gentherm Inc *

     10,566       896  

G-III Apparel Group Ltd *

     14,700       408  

Goodyear Tire & Rubber Co/The *

     8,707       135  

Group 1 Automotive Inc

    3,300       600  

H&R Block Inc

    11,100       275  

Hamilton Beach Brands Holding Co, Cl A

    7,308       110  

Haverty Furniture Cos Inc

    26,309       747  

Helen of Troy Ltd *

     850       175  

Hibbett Inc

    10,165       458  

Hooker Furnishings Corp

    10,420       219  

Hyatt Hotels Corp, Cl A *

     2,250       219  

Johnson Outdoors Inc, Cl A

    1,909       157  

La-Z-Boy Inc

    9,000       263  

Lazydays Holdings Inc *(A)

     23,380       426  

Lifetime Brands Inc

    5,941       78  

Liquidity Services Inc *

     6,700       115  

Lovesac Co/The *

     11,689       497  

Lumber Liquidators Holdings Inc *

     11,773       189  

M/I Homes Inc *

     7,200       355  

Macy's Inc

    8,538       221  

Marine Products Corp

    4,699       57  

MarineMax Inc *

     3,400       156  

MasterCraft Boat Holdings Inc *

     11,600       332  

Mattel Inc *

     9,920       248  

MDC Holdings Inc

    10,600       470  

Meritage Homes Corp *

     3,200       316  

Modine Manufacturing Co *

     44,500       450  

Monarch Casino & Resort Inc *

     3,373       263  

Motorcar Parts of America Inc *

     3,930       64  

Movado Group Inc

    11,413       450  

Murphy USA Inc

    2,170       392  

Noodles & Co, Cl A *

     8,526       58  

Nordstrom Inc *

     7,800       162  

ODP Corp/The *

     7,100       312  

OneWater Marine Inc, Cl A *

     6,890       350  

Party City Holdco Inc *

     11,770       51  

Penske Automotive Group Inc

    310       31  

 

 

 

62

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Perdoceo Education Corp *

     22,359     $ 234  

PetMed Express Inc

    1,200       32  

Planet Fitness Inc, Cl A *

     3,120       264  

Pool Corp

    352       161  

Porch Group *

     6,140       50  

Qurate Retail Inc *

     23,700       131  

RealReal Inc/The *

     27,430       244  

Rent-A-Center Inc/TX, Cl A

    3,800       108  

Sally Beauty Holdings Inc *

     20,200       349  

SeaWorld Entertainment Inc *

     4,297       298  

Service Corp International/US

    3,600       219  

Shoe Carnival Inc

    14,676       428  

Shutterstock Inc

    1,280       116  

Signet Jewelers Ltd

    4,900       346  

Skyline Champion Corp *

     3,059       206  

Sonic Automotive Inc, Cl A

    5,600       301  

Sportsman's Warehouse Holdings Inc *

     10,728       122  

Standard Motor Products Inc

    2,100       92  

Superior Group of Cos Inc

    4,361       89  

Tenneco Inc, Cl A *

     13,680       264  

Tilly's Inc, Cl A *

     31,325       398  

TopBuild Corp *

     2,105       452  

Tri Pointe Homes Inc *

     24,200       541  

Tupperware Brands Corp *

     9,000       164  

Unifi Inc *

     20,744       389  

Vista Outdoor Inc *

     6,070       221  

Vivint Smart Home *

     18,250       131  

Williams-Sonoma Inc

    400       58  

Wingstop Inc

    7,890       1,147  

Winmark Corp

    1,393       315  

Winnebago Industries Inc

    3,300       211  

WW International Inc *

     31,330       319  

Wyndham Hotels & Resorts Inc

    21,800       1,884  

Zumiez Inc *

     4,478       199  
                 
              29,743  

Consumer Staples — 5.4%

        

Albertsons Cos Inc, Cl A

    6,600       192  

Andersons Inc/The

    5,669       258  

Beauty Health Co/The *

     28,387       550  

BellRing Brands Inc, Cl A *

     900       23  

BJ's Wholesale Club Holdings Inc *

     8,690       546  

Bunge Ltd

    5,150       538  

Cal-Maine Foods Inc *

     2,500       111  

Casey's General Stores Inc

    1,190       224  

Central Garden & Pet Co *

     3,940       186  

Central Garden & Pet Co, Cl A *

     2,850       125  

Coca-Cola Consolidated Inc

    284       141  

Edgewell Personal Care Co

    9,100       325  

Energizer Holdings Inc

    11,100       371  

Flowers Foods Inc

    17,398       477  

Fresh Del Monte Produce Inc

    200       5  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Hain Celestial Group Inc/The *

     3,200     $ 116  

Hostess Brands Inc, Cl A *

     70,499       1,519  

Ingles Markets Inc, Cl A

    11,660       959  

Ingredion Inc

    9,200       816  

Inter Parfums Inc

    3,519       327  

J & J Snack Foods Corp

    840       138  

John B Sanfilippo & Son Inc

    960       76  

Lancaster Colony Corp

    860       145  

MGP Ingredients Inc

    3,338       266  

Natural Grocers by Vitamin Cottage Inc

    12,166       206  

Nu Skin Enterprises Inc, Cl A

    5,600       260  

Post Holdings Inc *

     590       62  

PriceSmart Inc

    1,480       108  

Primo Water Corp

    5,300       77  

Sanderson Farms Inc

    790       141  

Seaboard Corp

    16       62  

Seneca Foods Corp, Cl A *

     8,000       398  

Simply Good Foods Co/The *

     4,661       185  

SpartanNash Co

    23,600       664  

Sprouts Farmers Market Inc *

     23,800       678  

Tootsie Roll Industries Inc

    3,156       106  

United Natural Foods Inc *

     13,539       545  

Universal Corp/VA

    8,300       449  

USANA Health Sciences Inc *

     780       69  

Vector Group Ltd

    3,100       35  

Veru Inc *

     11,370       64  

Village Super Market Inc, Cl A

    16,744       381  

WD-40 Co

    550       117  

Weis Markets Inc

    4,182       258  
                 
              13,299  

Energy — 4.8%

        

Alto Ingredients *

     56,994       332  

Berry Corp

    12,050       121  

Cactus Inc, Cl A

    23,068       1,169  

California Resources Corp

    4,586       189  

Centennial Resource Development Inc/DE, Cl A *

     28,738       252  

Centrus Energy, Cl A *

     2,750       124  

Civitas Resources Inc

    8,600       434  

Comstock Resources Inc *

     63,370       526  

DHT Holdings Inc

    9,500       60  

Dorian LPG Ltd *

     4,630       64  

Earthstone Energy Inc, Cl A *

     8,511       111  

Enviva

    3,313       231  

Expro Group Holdings *

     16,824       271  

Gevo *(A)

     43,490       154  

Golar LNG Ltd *

     5,600       97  

International Seaways Inc

    10,620       194  

Magnolia Oil & Gas Corp, Cl A

    9,819       219  

Matador Resources Co

    4,724       234  

Nabors Industries Ltd *

     1,961       246  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

63

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

National Energy Services Reunited Corp *

     24,501     $ 218  

NexTier Oilfield Solutions Inc *

     36,774       293  

Northern Oil and Gas Inc

    9,361       235  

Oasis Petroleum Inc

    1,897       251  

Ovintiv Inc

    7,531       345  

Par Pacific Holdings Inc *

     12,175       166  

Patterson-UTI Energy Inc

    19,399       280  

PDC Energy Inc

    20,186       1,302  

REX American Resources Corp *

     2,950       279  

RPC Inc *

     29,019       255  

Scorpio Tankers Inc

    17,348       302  

Select Energy Services Inc, Cl A *

     24,064       199  

SFL Corp Ltd

    35,220       350  

Solaris Oilfield Infrastructure Inc, Cl A

    23,841       248  

Southwestern Energy Co *

     30,000       150  

Teekay Tankers Ltd, Cl A *

     1,900       27  

VAALCO Energy Inc

    68,300       385  

W&T Offshore Inc *

     168,490       819  

Whiting Petroleum Corp

    3,421       253  

World Fuel Services Corp

    18,000       510  
                 
              11,895  

Financials — 20.4%

        

1st Source Corp

    1,000       48  

AFC Gamma Inc

    4,870       96  

Alerus Financial Corp

    1,000       29  

Alleghany Corp *

     350       232  

Amalgamated Financial Corp

    7,496       129  

American Equity Investment Life Holding Co

    7,200       271  

American National Group Inc

    2,700       510  

AMERISAFE Inc

    1,600       75  

Apollo Commercial Real Estate Finance Inc

    18,100       236  

Apollo Investment Corp

    21,366       287  

Arbor Realty Trust Inc ‡

     22,000       396  

ARMOUR Residential REIT Inc ‡(A)

     20,530       167  

Arrow Financial Corp

    2,541       87  

AssetMark Financial Holdings Inc *

     12,484       293  

Associated Banc-Corp

    30,700       749  

Assurant Inc

    1,460       248  

Atlantic Capital Bancshares Inc *

     5,815       188  

Atlanticus Holdings Corp *

     1,130       60  

Axis Capital Holdings Ltd

    2,900       158  

Axos Financial Inc *

     3,633       199  

B Riley Financial Inc

    2,325       138  

Banco Latinoamericano de Comercio Exterior SA, Cl E

    4,480       69  

Bank First Corp

    300       21  

Bank of Marin Bancorp

    4,650       164  

Banner Corp

    100       6  

BlackRock Capital Investment Corp

    5,000       20  

Bridgewater Bancshares Inc *

     7,083       119  

Brown & Brown Inc

    4,500       304  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Business First Bancshares Inc

    1,200     $ 31  

Byline Bancorp Inc

    4,800       131  

Cambridge Bancorp

    410       36  

Camden National Corp

    11,498       547  

Capital Bancorp Inc

    3,860       96  

Capital City Bank Group Inc

    1,400       39  

Capstar Financial Holdings Inc

    4,587       98  

Carter Bankshares Inc *

     7,741       129  

Cathay General Bancorp

    8,600       404  

Cboe Global Markets Inc

    2,090       245  

Central Pacific Financial Corp

    8,230       240  

City Holding Co

    350       28  

Civista Bancshares Inc

    8,665       211  

CNB Financial Corp/PA

    1,100       29  

CNO Financial Group Inc

    40,000       967  

Cohen & Steers Inc

    140       11  

Columbia Financial Inc *

     4,400       93  

Community Trust Bancorp Inc

    7,300       309  

ConnectOne Bancorp Inc

    6,199       205  

Crawford & Co, Cl A

    13,290       102  

CrossFirst Bankshares Inc *

     10,680       168  

Cullen/Frost Bankers Inc

    1,652       233  

Curo Group Holdings Corp

    14,373       192  

Customers Bancorp Inc *

     24,890       1,532  

Diamond Hill Investment Group Inc

    290       56  

Dime Community Bancshares Inc

    3,434       117  

Dynex Capital Inc (A)

     19,134       294  

Employers Holdings Inc

    1,550       60  

Enova International Inc *

     8,609       351  

Enterprise Financial Services Corp

    1,750       87  

Equity Bancshares Inc, Cl A

    3,510       110  

Erie Indemnity Co, Cl A

    910       159  

Evercore Inc, Cl A

    310       39  

Everest Re Group Ltd

    920       274  

EZCORP Inc, Cl A *

     24,940       149  

FactSet Research Systems Inc

    670       272  

Farmers National Banc Corp

    10,610       183  

Federal Agricultural Mortgage Corp, Cl C

    3,800       470  

Federated Hermes Inc, Cl B

    10,100       330  

Financial Institutions Inc

    14,061       449  

First American Financial Corp

    3,100       208  

First BanCorp/Puerto Rico

    16,651       235  

First Bancshares Inc/The

    2,497       88  

First Busey Corp

    9,500       261  

First Business Financial Services Inc

    9,400       310  

First Commonwealth Financial Corp

    16,200       262  

First Community Bankshares Inc

    6,390       187  

First Financial Bankshares Inc

    24,137       1,157  

First Financial Corp/IN

    3,120       145  

First Horizon Corp

    21,000       493  

First Internet Bancorp

    4,429       217  

First Interstate BancSystem Inc, Cl A

    5,560       226  

 

 

 

64

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

First of Long Island Corp/The

    6,335     $ 138  

Flagstar Bancorp Inc

    11,300       515  

Flushing Financial Corp

    21,730       510  

FNB Corp/PA

    31,700       426  

FS KKR Capital Corp

    14,600       317  

Fulton Financial Corp

    25,500       460  

Great Southern Bancorp Inc

    1,150       71  

Greenhill & Co Inc

    9,610       170  

Greenlight Capital Re Ltd, Cl A *

     10,820       78  

Hamilton Lane Inc, Cl A

    15,279       1,193  

Hancock Whitney Corp

    8,000       445  

Hanmi Financial Corp

    28,263       738  

Hanover Insurance Group Inc/The

    3,460       483  

HarborOne Bancorp Inc

    15,509       229  

HBT Financial Inc

    7,720       148  

Heartland Financial USA Inc

    1,750       87  

Heritage Commerce Corp

    7,602       90  

Heritage Insurance Holdings Inc

    25,379       142  

Hilltop Holdings Inc

    17,000       526  

Hingham Institution For Savings The

    90       32  

HomeStreet Inc

    10,600       545  

HomeTrust Bancshares Inc

    6,030       181  

Hope Bancorp Inc

    26,100       443  

Houlihan Lokey Inc, Cl A

    1,990       205  

Independent Bank Corp/MI

    32,680       778  

Invesco Mortgage Capital Inc

    76,500       167  

Investors Bancorp Inc

    31,100       521  

Investors Title Co

    90       17  

Kinsale Capital Group Inc

    780       164  

Lakeland Bancorp Inc

    31,070       561  

Lazard Ltd, Cl A (B)

     7,300       253  

Macatawa Bank Corp

    9,830       90  

Mercantile Bank Corp

    12,910       476  

Merchants Bancorp/IN

    6,390       185  

Mercury General Corp

    1,900       105  

Meridian

    5,800       205  

Metrocity Bankshares Inc

    2,429       59  

Metropolitan Bank Holding Corp *

     4,469       457  

Midland States Bancorp Inc

    13,400       393  

MidWestOne Financial Group Inc

    1,000       30  

Morningstar Inc

    770       216  

Mr Cooper Group Inc *

     4,955       252  

MVB Financial Corp

    350       14  

National Western Life Group Inc, Cl A

    300       64  

NBT Bancorp Inc

    2,100       81  

New Mountain Finance Corp

    22,600       305  

New Residential Investment Corp ‡

     31,400       326  

New York Mortgage Trust Inc ‡

     57,400       201  

Nicolet Bankshares Inc *

     5,925       564  

Northrim BanCorp Inc

    1,612       72  

Oaktree Specialty Lending Corp

    39,300       293  

OceanFirst Financial Corp

    3,000       67  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

OFG Bancorp

    22,500     $ 634  

Old National Bancorp/IN

    14,400       263  

Old Second Bancorp Inc

    4,960       71  

Oportun Financial Corp *

     6,407       105  

Oppenheimer Holdings Inc, Cl A

    9,778       422  

Origin Bancorp Inc

    1,690       78  

PCB Bancorp (A)

     10,100       238  

PCSB Financial Corp

    8,353       156  

Peapack-Gladstone Financial Corp

    5,103       193  

PennantPark Investment Corp

    55,400       426  

PennyMac Mortgage Investment Trust ‡

     16,000       250  

Peoples Bancorp Inc/OH

    8,130       254  

Piper Sandler Cos

    850       126  

PJT Partners Inc

    1,850       118  

Popular Inc

    12,374       1,137  

Primis Financial Corp

    14,600       209  

Prospect Capital Corp

    19,800       160  

Provident Bancorp Inc

    5,433       89  

Pzena Investment Management Inc, Cl A

    22,201       205  

QCR Holdings Inc

    3,613       202  

RBB Bancorp

    7,490       181  

Redwood Trust Inc ‡

     28,900       300  

Regional Management Corp

    17,982       923  

RenaissanceRe Holdings Ltd

    1,410       213  

Republic Bancorp Inc/KY, Cl A

    650       30  

RLI Corp

    1,680       171  

Safety Insurance Group Inc

    890       74  

Selective Insurance Group Inc

    2,280       190  

ServisFirst Bancshares Inc

    2,636       230  

Sierra Bancorp

    900       24  

Silvergate Capital Corp, Cl A *

     3,255       417  

Simmons First National Corp, Cl A

    2,000       57  

Sixth Street Specialty Lending Inc (A)

     10,400       244  

SmartFinancial Inc

    900       24  

Southern First Bancshares Inc *

     450       26  

Southern Missouri Bancorp Inc

    550       29  

Spirit of Texas Bancshares Inc

    8,600       245  

StepStone Group Inc, Cl A

    5,610       194  

Stewart Information Services Corp

    2,000       136  

Stifel Financial Corp

    21,369       1,571  

StoneX Group Inc *

     2,905       219  

Synovus Financial Corp

    9,400       495  

Tompkins Financial Corp

    750       59  

Towne Bank/Portsmouth VA

    3,200       100  

Trean Insurance Group Inc *

     13,613       97  

TriCo Bancshares

    2,200       95  

TriState Capital Holdings Inc *

     5,180       172  

TrustCo Bank Corp NY

    1,200       41  

UMB Financial Corp

    720       73  

Umpqua Holdings Corp

    22,700       485  

United Community Banks Inc/GA

    49,017       1,895  

United Fire Group Inc

    1,400       39  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

65

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Universal Insurance Holdings Inc

    46,798     $ 541  

Univest Financial Corp

    8,630       250  

Virtu Financial Inc, Cl A

    6,550       230  

Virtus Investment Partners Inc

    330       79  

W R Berkley Corp

    3,170       286  

Walker & Dunlop Inc

    1,846       255  

Waterstone Financial Inc

    24,721       483  

White Mountains Insurance Group Ltd

    128       134  

Wintrust Financial Corp

    2,712       269  

WisdomTree Investments Inc

    10,090       57  
                 
              50,621  

Health Care — 12.8%

        

Acadia Healthcare Co Inc *

     10,772       611  

Aclaris Therapeutics Inc *

     2,800       42  

Affimed NV *

     16,072       71  

Akero Therapeutics Inc *

     1,500       27  

Albireo Pharma Inc *

     4,490       150  

Allscripts Healthcare Solutions Inc *

     11,420       222  

AMN Healthcare Services Inc *

     3,155       335  

Amneal Pharmaceuticals Inc *

     13,770       62  

Amphastar Pharmaceuticals Inc *

     13,525       375  

Amylyx Pharmaceuticals *(A)

     4,098       135  

AnaptysBio Inc *

     17,490       535  

Anika Therapeutics Inc *

     4,379       142  

Apyx Medical Corp *

     5,719       58  

Arcturus Therapeutics Holdings Inc *

     12,020       288  

Arcus Biosciences Inc *

     5,983       223  

Arcutis Biotherapeutics Inc *

     3,570       64  

Atea Pharmaceuticals *

     18,520       117  

Atrion Corp

    50       36  

Aveanna Healthcare Holdings Inc *

     10,781       57  

Avid Bioservices Inc *

     5,742       118  

Avidity Biosciences Inc *

     10,977       186  

BioAtla *

     10,530       68  

BioCryst Pharmaceuticals Inc *

     13,606       226  

BioDelivery Sciences International Inc *

     149,120       832  

Biohaven Pharmaceutical Holding Co Ltd *

     1,825       217  

Bio-Techne Corp

    554       232  

Black Diamond Therapeutics Inc *(A)

     14,345       45  

Blueprint Medicines Corp *

     1,320       80  

Bruker Corp

    2,560       180  

Catalent Inc *

     2,560       261  

Catalyst Pharmaceuticals Inc *

     80,176       625  

Charles River Laboratories International Inc *

     382       111  

Chemed Corp

    490       234  

Chinook Therapeutics *

     2,300       29  

Collegium Pharmaceutical Inc *

     5,520       107  

Computer Programs and Systems Inc *

     6,050       186  

CorVel Corp *

     670       107  

Cross Country Healthcare Inc *

     8,842       197  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Curis Inc *

     29,860     $ 100  

Cutera Inc *

     1,855       71  

Cytokinetics Inc *

     5,463       193  

DermTech Inc *

     8,260       106  

Eagle Pharmaceuticals Inc/DE *

     8,441       400  

Enanta Pharmaceuticals Inc *

     1,300       92  

Encompass Health Corp

    350       23  

Endo International PLC *

     162,100       504  

Ensign Group Inc/The

    11,958       1,005  

Envista Holdings Corp *

     4,944       237  

Forma Therapeutics Holdings Inc *

     6,900       68  

Generation Bio Co *

     14,121       72  

Globus Medical Inc, Cl A *

     2,700       190  

Gossamer Bio Inc *

     3,500       32  

Halozyme Therapeutics Inc *

     12,916       458  

Harpoon Therapeutics Inc *

     9,957       41  

HealthStream Inc *

     9,710       199  

Henry Schein Inc *

     3,080       266  

ICU Medical Inc *

     780       185  

ImmunityBio *

     13,930       95  

Innoviva Inc *

     62,667       1,204  

Inspire Medical Systems Inc *

     3,454       843  

Instil Bio Inc *(A)

     8,510       91  

Intra-Cellular Therapies Inc *

     6,017       334  

Invacare Corp *

     56,120       115  

iRadimed Corp *

     1,369       68  

Ironwood Pharmaceuticals Inc, Cl A *

     60,300       649  

iTeos Therapeutics Inc *

     11,607       419  

IVERIC bio Inc *

     12,301       197  

Jazz Pharmaceuticals PLC *

     1,520       209  

Karyopharm Therapeutics Inc *

     18,342       189  

Kezar Life Sciences Inc *

     13,429       199  

Kiniksa Pharmaceuticals Ltd, Cl A *

     7,573       78  

Krystal Biotech Inc *

     2,812       179  

Lannett Co Inc *

     15,700       13  

Lantheus Holdings Inc *

     21,473       1,027  

LeMaitre Vascular Inc

    2,975       141  

Lexicon Pharmaceuticals Inc *

     23,000       48  

Masimo Corp *

     880       139  

MaxCyte Inc *

     8,650       60  

Medpace Holdings Inc *

     650       99  

Meridian Bioscience Inc *

     9,559       242  

Merit Medical Systems Inc *

     1,600       104  

Mesa Laboratories Inc

    230       59  

Mirum Pharmaceuticals Inc *

     198       5  

Molina Healthcare Inc *

     970       298  

Morphic Holding Inc *

     1,100       44  

Mustang Bio Inc *

     38,273       33  

National HealthCare Corp

    1,200       78  

Natus Medical Inc *

     4,200       117  

Neogen Corp *

     4,300       154  

NextGen Healthcare Inc *

     5,600       109  

 

 

 

66

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Nkarta *

     10,660     $ 97  

Ocular Therapeutix Inc *

     49,550       276  

Omnicell Inc *

     12,936       1,672  

Option Care Health Inc *

     8,059       207  

Organogenesis Holdings Inc, Cl A *

     9,780       73  

ORIC Pharmaceuticals Inc *

     6,410       50  

Orthofix Medical Inc *

     2,000       68  

OrthoPediatrics Corp *

     600       34  

Pacira BioSciences Inc *

     1,800       120  

Passage Bio *

     14,950       50  

Patterson Cos Inc

    7,500       224  

PerkinElmer Inc

    1,090       196  

Perrigo Co PLC

    2,100       75  

Personalis Inc *

     25,945       272  

Phibro Animal Health Corp, Cl A

    2,800       60  

PMV Pharmaceuticals Inc *

     4,030       64  

Precigen Inc *

     100,540       226  

Precision BioSciences Inc *

     30,982       132  

Premier Inc, Cl A

    4,700       169  

Prestige Consumer Healthcare Inc *

     14,950       890  

Privia Health Group Inc *

     1,450       37  

Progyny Inc *

     16,735       659  

Prometheus Biosciences Inc *

     6,190       270  

Puma Biotechnology Inc *

     25,260       58  

QIAGEN NV *

     2,750       137  

Radius Health Inc *

     10,280       86  

Relmada Therapeutics Inc *

     600       12  

Repligen Corp *

     6,270       1,233  

Rigel Pharmaceuticals Inc *

     51,325       129  

Rubius Therapeutics Inc *

     1,068       5  

Sana Biotechnology Inc *

     51,740       334  

Seer, Cl A *

     4,690       72  

Select Medical Holdings Corp

    15,300       354  

Selecta Biosciences Inc *

     38,610       71  

Seres Therapeutics Inc *

     9,892       79  

Sharps Compliance Corp *

     8,778       54  

Sierra Oncology *

     7,025       217  

SIGA Technologies Inc *

     38,020       228  

Stoke Therapeutics Inc *

     3,126       61  

Supernus Pharmaceuticals Inc *

     2,300       73  

Surface Oncology Inc *

     44,950       162  

Surmodics Inc *

     750       34  

Sutro Biopharma Inc *

     7,098       63  

Syndax Pharmaceuticals Inc *

     4,584       71  

Syros Pharmaceuticals Inc *

     39,007       50  

Tenet Healthcare Corp *

     7,028       604  

United Therapeutics Corp *

     8,139       1,353  

Utah Medical Products Inc

    1,110       100  

Vanda Pharmaceuticals Inc *

     41,620       473  

Vapotherm Inc *

     1,400       21  

Verve Therapeutics *

     3,374       110  

Viemed Healthcare Inc *

     36,886       142  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Xencor Inc *

     800     $ 25  
                 
              31,804  

Industrials — 16.0%

        

ABM Industries Inc

    3,700       166  

Acacia Research Corp *

     15,060       58  

ACCO Brands Corp

    49,600       427  

Air Lease Corp, Cl A

    5,800       242  

Alaska Air Group Inc *

     3,400       191  

Allied Motion Technologies Inc

    1,930       67  

AMERCO *

     316       182  

American Woodmark Corp *

     3,200       171  

Apogee Enterprises Inc

    5,700       257  

Applied Industrial Technologies Inc

    1,280       129  

ArcBest Corp

    7,300       677  

Argan Inc

    7,132       277  

Atkore Inc *

     10,707       1,089  

Atlas Air Worldwide Holdings Inc *

     10,752       842  

AZZ Inc

    1,400       69  

Barrett Business Services Inc

    450       27  

BlueLinx Holdings Inc *

     2,582       231  

Boise Cascade Co

    3,243       259  

CACI International Inc, Cl A *

     840       235  

Casella Waste Systems Inc, Cl A *

     2,350       177  

CBIZ Inc *

     4,100       160  

Chart Industries Inc *

     3,270       472  

Clean Harbors Inc *

     2,050       196  

Concrete Pumping Holdings Inc *

     6,320       47  

CoreCivic Inc *‡

     22,000       200  

Cornerstone Building Brands Inc *

     9,392       207  

Costamare Inc

    36,533       493  

Covenant Logistics Group Inc, Cl A

    9,683       218  

CRA International Inc

    5,462       485  

Crane Co

    3,900       394  

Curtiss-Wright Corp

    3,758       554  

Daseke Inc *

     66,477       834  

Deluxe Corp

    7,700       240  

Desktop Metal, Cl A *(A)

     31,950       133  

Ducommun Inc *

     4,495       227  

DXP Enterprises Inc/TX *

     3,335       96  

Eagle Bulk Shipping Inc

    3,908       206  

EMCOR Group Inc

    3,700       427  

Ennis Inc

    20,203       379  

EnPro Industries Inc

    2,333       258  

Evoqua Water Technologies Corp *

     6,156       263  

Exponent Inc

    16,685       1,581  

Federal Signal Corp

    8,165       295  

First Advantage Corp *

     12,630       204  

Forrester Research Inc *

     5,701       296  

Forward Air Corp

    4,476       462  

Franklin Covey Co *

     10,389       479  

FTI Consulting Inc *

     1,540       225  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

67

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Genco Shipping & Trading Ltd

    13,756     $ 265  

Generac Holdings Inc *

     1,834       579  

Global Industrial Co

    10,312       328  

GMS Inc *

     4,400       239  

Gorman-Rupp Co/The

    200       7  

Hawaiian Holdings Inc *

     10,800       207  

Heartland Express Inc

    5,000       72  

Heidrick & Struggles International Inc

    6,647       284  

Helios Technologies Inc

    11,343       889  

Herc Holdings Inc

    8,636       1,374  

Heritage-Crystal Clean Inc *

     14,796       415  

Hub Group Inc, Cl A *

     2,150       181  

Hubbell Inc, Cl B

    1,000       178  

ICF International Inc

    1,280       113  

Infrastructure and Energy Alternatives *

     33,108       360  

INNOVATE Corp *(A)

     17,404       58  

Insteel Industries Inc

    3,505       130  

Interface Inc, Cl A

    16,600       217  

John Bean Technologies Corp

    6,442       730  

Kadant Inc

    520       103  

KBR Inc

    6,452       320  

Kelly Services Inc, Cl A

    18,800       399  

Kforce Inc

    4,650       350  

Knight-Swift Transportation Holdings Inc, Cl A

    4,305       235  

Landstar System Inc

    1,430       221  

Manitowoc Co Inc/The *

     4,460       74  

ManTech International Corp/VA, Cl A

    1,770       148  

Marten Transport Ltd

    5,300       91  

Matson Inc

    4,063       450  

Matthews International Corp, Cl A

    6,500       216  

MDU Resources Group Inc

    17,600       471  

Meritor Inc *

     18,500       659  

Miller Industries Inc/TN

    3,657       113  

MRC Global Inc *

     23,365       236  

MSA Safety Inc

    1,380       192  

MYR Group Inc *

     1,360       122  

Northwest Pipe Co *

     4,150       118  

NV5 Global Inc *

     7,467       801  

Park Aerospace Corp

    18,292       254  

Park-Ohio Holdings Corp

    7,900       126  

Planet Labs PBC *

     37,558       212  

Primoris Services Corp

    18,400       485  

Quad/Graphics Inc, Cl A *(A)

     21,039       115  

Quanex Building Products Corp

    18,759       429  

Radiant Logistics Inc *

     26,774       185  

Resources Connection Inc

    21,923       364  

Rush Enterprises Inc, Cl A

    3,200       166  

Ryder System Inc

    3,500       276  

Safe Bulkers Inc *

     16,140       67  

Saia Inc *

     830       238  

Schneider National Inc, Cl B

    4,300       112  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Science Applications International Corp

    2,200     $ 193  

Shyft Group Inc/The

    4,871       197  

SkyWest Inc *

     5,000       141  

SP Plus Corp *

     4,918       147  

Standex International Corp

    970       103  

Sterling Construction Co Inc *

     5,880       174  

Sun Country Airlines Holdings Inc *

     2,480       67  

Tennant Co

    1,010       80  

Tetra Tech Inc

    1,650       262  

Textainer Group Holdings Ltd

    6,500       231  

Titan International Inc *

     21,980       246  

Titan Machinery Inc *

     5,923       168  

Toro Co/The

    1,880       176  

Transcat Inc *

     700       55  

Trex Co Inc *

     5,498       505  

TriNet Group Inc *

     1,720       150  

Triton International Ltd

    16,894       1,110  

TrueBlue Inc *

     400       11  

UniFirst Corp/MA

    610       111  

Universal Logistics Holdings Inc

    16,950       324  

US Xpress Enterprises Inc, Cl A *

     12,642       57  

Vectrus Inc *

     5,072       232  

Veritiv Corp *

     1,532       164  

Wabash National Corp

    7,900       135  

Werner Enterprises Inc

    12,200       530  

WESCO International Inc *

     2,580       314  

WillScot Mobile Mini Holdings Corp, Cl A *

     60,902       2,164  

Zurn Water Solutions Corp

    22,962       747  
                 
              39,572  

Information Technology — 12.3%

        

A10 Networks Inc

    37,312       531  

ACI Worldwide Inc *

     4,600       154  

Agilysys Inc *

     1,950       82  

Alkami Technology Inc *

     6,510       103  

Alpha & Omega Semiconductor Ltd *

     4,759       256  

Ambarella Inc *

     1,402       196  

Amdocs Ltd

    3,300       260  

American Software Inc/GA, Cl A

    2,100       46  

Amkor Technology Inc

    34,900       791  

Arlo Technologies Inc *

     12,170       113  

Arrow Electronics Inc *

     2,000       244  

Aspen Technology Inc *

     1,660       253  

Avalara Inc *

     4,348       452  

Avaya Holdings Corp *

     9,500       131  

Aviat Networks *

     4,614       131  

Avnet Inc

    9,600       404  

Axcelis Technologies Inc *

     5,392       373  

AXT Inc *

     12,803       95  

Azenta Inc

    11,716       1,025  

Bel Fuse Inc, Cl B

    10,088       159  

Blackbaud Inc *

     2,050       128  

 

 

 

68

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

BTRS Holdings Inc, Cl A *

     11,580     $ 71  

Casa Systems Inc *

     19,907       83  

Cass Information Systems Inc

    3,880       154  

CDK Global Inc

    4,750       215  

ChannelAdvisor Corp *

     8,946       161  

Ciena Corp *

     3,890       266  

Cirrus Logic Inc *

     2,380       207  

Clearfield Inc *

     3,831       246  

CommVault Systems Inc *

     2,400       151  

Concentrix Corp

    2,488       497  

CoreCard *

     600       19  

CSG Systems International Inc

    13,778       850  

CTS Corp

    2,100       80  

Digi International Inc *

     12,283       247  

Diodes Inc *

     5,858       525  

Dolby Laboratories Inc, Cl A

    260       20  

eGain Corp *

     12,394       146  

EMCORE Corp *

     12,718       49  

ePlus Inc *

     1,620       76  

ExlService Holdings Inc *

     1,710       207  

Extreme Networks Inc *

     13,868       159  

F5 Inc *

     1,180       237  

Fair Isaac Corp *

     610       287  

Genpact Ltd

    5,300       222  

Hackett Group Inc/The

    27,845       577  

I3 Verticals Inc, Cl A *

     3,446       91  

Ichor Holdings Ltd *

     4,777       168  

Impinj Inc *

     2,306       159  

International Money Express Inc *

     31,864       512  

Jack Henry & Associates Inc

    1,660       293  

Juniper Networks Inc

    8,061       273  

Kimball Electronics Inc *

     14,756       254  

Kopin Corp *(A)

     8,745       23  

Limelight Networks Inc *

     49,378       193  

Littelfuse Inc

    4,734       1,222  

Manhattan Associates Inc *

     1,730       231  

Maximus Inc

    2,600       205  

MaxLinear Inc, Cl A *

     3,992       245  

Methode Electronics Inc

    8,200       374  

Mitek Systems Inc *

     11,194       166  

MoneyGram International Inc *

     18,607       200  

Monolithic Power Systems Inc

    640       294  

NETGEAR Inc *

     8,800       234  

NetScout Systems Inc *

     1,000       31  

NortonLifeLock Inc

    2,000       58  

Nova Ltd *(A)

     10,580       1,109  

Novanta Inc *

     5,931       810  

NVE Corp

    5,636       322  

ON24 *

     3,750       58  

Onto Innovation Inc *

     2,503       216  

OSI Systems Inc *

     1,050       85  

PAR Technology Corp *

     6,405       269  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Paylocity Holding Corp *

     720     $ 153  

PC Connection Inc *

     1,700       83  

PDF Solutions Inc *

     6,016       165  

Photronics Inc *

     34,411       634  

Power Integrations Inc

    2,390       215  

Progress Software Corp

    7,080       312  

Pure Storage Inc, Cl A *

     7,972       207  

Qualys Inc *

     1,430       179  

Rambus Inc *

     10,835       293  

Rimini Street Inc *

     36,082       163  

Sanmina Corp *

     9,400       374  

Sapiens International Corp NV

    1,900       51  

ScanSource Inc *

     11,000       347  

SecureWorks Corp, Cl A *

     4,425       68  

Silicon Laboratories Inc *

     1,065       164  

SiTime Corp *

     868       175  

SMART Global Holdings Inc *

     27,317       750  

Sprout Social Inc, Cl A *

     9,387       611  

SPS Commerce Inc *

     10,286       1,336  

StarTek Inc *

     22,698       99  

Super Micro Computer Inc *

     4,905       193  

Synaptics Inc *

     1,279       292  

TaskUS Inc, Cl A *

     7,999       230  

TTM Technologies Inc *

     17,600       221  

Tucows Inc, Cl A *

     700       47  

Ultra Clean Holdings Inc *

     3,300       151  

Veeco Instruments Inc *

     15,823       452  

Verint Systems Inc *

     3,250       163  

Verra Mobility Corp, Cl A *

     14,418       242  

Viant Technology, Cl A *

     11,001       91  

Viavi Solutions Inc *

     48,000       787  

Vishay Intertechnology Inc

    23,300       447  

Vishay Precision Group Inc *

     24,165       759  

Zeta Global Holdings, Cl A *(A)

     18,893       246  
                 
              30,474  

Materials — 5.2%

        

AdvanSix Inc

    13,000       521  

American Vanguard Corp

    4,730       71  

Avery Dennison Corp

    1,420       250  

Balchem Corp

    1,560       216  

Cabot Corp

    10,891       797  

Century Aluminum Co *

     11,902       281  

Chase Corp

    670       62  

Commercial Metals Co

    19,700       759  

Forterra Inc *

     18,698       440  

Greif Inc, Cl A

    14,900       857  

Hawkins Inc

    4,520       205  

Huntsman Corp

    8,000       323  

Koppers Holdings Inc

    12,827       367  

Kronos Worldwide Inc

    21,904       323  

Livent Corp *

     8,095       191  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

69

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

LSB Industries Inc *

     14,227     $ 246  

MP Materials *

     4,776       218  

Myers Industries Inc

    8,415       140  

NewMarket Corp

    340       108  

Novagold Resources Inc *

     18,700       130  

O-I Glass Inc *

     19,200       245  

Olin Corp

    3,537       182  

Packaging Corp of America

    1,730       255  

Ranpak Holdings Corp, Cl A *

     19,447       471  

Reliance Steel & Aluminum Co

    1,386       265  

Resolute Forest Products Inc *

     48,200       601  

Royal Gold Inc

    2,260       274  

Ryerson Holding Corp

    7,947       208  

Schnitzer Steel Industries Inc, Cl A

    6,100       297  

Schweitzer-Mauduit International Inc

    8,200       256  

Sealed Air Corp

    4,522       304  

Sensient Technologies Corp

    830       68  

Silgan Holdings Inc

    16,933       709  

Sonoco Products Co

    3,700       217  

Stepan Co

    900       93  

Summit Materials Inc, Cl A *

     18,794       587  

SunCoke Energy Inc

    41,670       330  

Tredegar Corp

    24,350       280  

TriMas Corp

    3,500       114  

Trinseo PLC

    3,700       192  

UFP Technologies Inc *

     800       55  

Warrior Met Coal Inc

    7,413       233  
                 
              12,741  

Real Estate — 5.3%

        

Alexander & Baldwin Inc ‡

     3,700       83  

Alexander's Inc ‡

     180       46  

American Assets Trust Inc ‡

     8,800       322  

American Homes 4 Rent, Cl A ‡

     5,900       224  

Apple Hospitality REIT Inc ‡

     68,424       1,210  

Armada Hoffler Properties Inc ‡

     3,800       56  

Ashford Hospitality Trust Inc *‡

     9,685       83  

Camden Property Trust ‡

     1,900       314  

Cedar Realty Trust Inc ‡

     20,166       484  

Centerspace ‡

     1,120       105  

Chatham Lodging Trust *‡

     19,300       265  

City Office REIT Inc ‡

     2,700       46  

Community Healthcare Trust Inc ‡

     1,900       79  

CubeSmart ‡

     4,650       224  

Cushman & Wakefield PLC *

     19,000       417  

EastGroup Properties Inc ‡

     2,606       497  

Equity LifeStyle Properties Inc ‡

     3,290       246  

Fathom Holdings *

     4,137       53  

First Industrial Realty Trust Inc ‡

     6,928       399  

Forestar Group Inc *

     13,978       256  

Franklin Street Properties Corp ‡

     45,400       262  

FRP Holdings Inc *

     450       26  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Getty Realty Corp ‡

     3,800     $ 105  

Gladstone Commercial Corp ‡

     15,500       328  

Gladstone Land Corp ‡

     6,555       196  

Global Net Lease Inc ‡

     18,300       260  

Healthcare Realty Trust Inc ‡

     2,000       52  

Independence Realty Trust Inc ‡

     10,778       272  

Industrial Logistics Properties Trust ‡

     14,200       318  

Kite Realty Group Trust ‡

     7,000       154  

Lamar Advertising Co, Cl A ‡

     2,070       226  

Life Storage Inc ‡

     2,190       277  

Marcus & Millichap Inc

    1,600       80  

National Health Investors Inc ‡

     3,800       203  

National Storage Affiliates Trust ‡

     7,184       419  

NexPoint Residential Trust Inc ‡

     4,641       394  

Office Properties Income Trust ‡

     13,400       336  

One Liberty Properties Inc ‡

     1,100       32  

Piedmont Office Realty Trust Inc, Cl A ‡

     22,800       389  

Plymouth Industrial REIT Inc ‡

     11,500       300  

PotlatchDeltic Corp ‡

     200       11  

Preferred Apartment Communities Inc ‡

     15,000       379  

PS Business Parks Inc ‡

     1,080       172  

RE/MAX Holdings Inc, Cl A

    1,600       47  

Realogy Holdings Corp *

     16,700       304  

Rexford Industrial Realty Inc ‡

     2,745       193  

RMR Group Inc/The, Cl A

    100       3  

Sabra Health Care Inc ‡

     34,700       466  

Saul Centers Inc ‡

     850       39  

Service Properties Trust ‡

     21,900       189  

Tanger Factory Outlet Centers Inc ‡

     22,800       380  

Tejon Ranch Co *

     4,720       80  

Terreno Realty Corp ‡

     2,900       199  

UMH Properties Inc ‡

     4,300       99  

Uniti Group Inc ‡

     19,920       258  

Universal Health Realty Income Trust ‡

     850       49  

Urstadt Biddle Properties Inc, Cl A ‡

     5,650       106  
                 
              13,012  

Utilities — 1.6%

        

ALLETE Inc

    1,450       91  

American States Water Co

    2,030       171  

Artesian Resources Corp, Cl A

    3,232       150  

Brookfield Infrastructure Corp, Cl A

    2,500       176  

California Water Service Group

    2,550       145  

Chesapeake Utilities Corp

    1,200       159  

Essential Utilities Inc

    5,000       236  

Hawaiian Electric Industries Inc

    4,650       191  

IDACORP Inc

    2,090       217  

MGE Energy Inc

    1,820       131  

Middlesex Water Co

    1,340       134  

National Fuel Gas Co

    8,800       548  

New Jersey Resources Corp

    4,400       192  

NiSource Inc

    2,200       64  

 

 

 

70

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Northwest Natural Holding Co

    1,650     $ 86  

NorthWestern Corp

    2,700       163  

Otter Tail Corp

    2,000       124  

Portland General Electric Co

    4,450       226  

Pure Cycle Corp *

     8,759       104  

SJW Group

    1,450       95  

Spire Inc

    1,900       127  

UGI Corp

    2,000       77  

Unitil Corp

    2,050       103  

Via Renewables Inc, Cl A (A)

     13,183       147  

York Water Co/The

    1,400       63  
                 
              3,920  

Total Common Stock

               

(Cost $207,325) ($ Thousands)

             241,387  
                 
                 
      Number of
Rights		          

RIGHTS — 0.0%

Media General Inc CVR *‡‡(C)

     1,155       –  

Total Rights

                

(Cost $—) ($ Thousands)

             –  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 1.1%

SEI Liquidity Fund, L.P.

                

0.050% **†(D)

     2,837,767     $ 2,838  
                 
                 

Total Affiliated Partnership

                

(Cost $2,838) ($ Thousands)

     2,838  
                 
                 
                 

CASH EQUIVALENT — 2.5%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     6,147,976       6,148  
                 

Total Cash Equivalent

                

(Cost $6,148) ($ Thousands)

             6,148  
                 
                 

Total Investments in Securities — 101.1%

                

(Cost $216,311) ($ Thousands)

  $ 250,373  
                 
                 
                 

 

 
 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

Russell 2000 Index E-MINI

     8       Mar-2022     $ 810     $ 818     $ 8  
                                         

 

 

 

Percentages are based on Net Assets of $247,691 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

(A)

Certain securities or partial positions of certain securities are on loan at February 28, 2022. The total market value of securities on loan at February 28, 2022 was $2,776 ($ Thousands).

(B)

Security is a Master Limited Partnership. At February 28, 2022, such securities amounted to $253 ($ Thousands), or 0.1% of the Net Assets of the Fund.

(C)

Level 3 security in accordance with fair value hierarchy.

(D)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of February 28, 2022 was $2,838 ($ Thousands).

 

Cl — Class

CVR — Contingent Value Rights

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

 

REIT — Real Estate investment Trust

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)(1)

    

Total
($)

  

Common Stock

     241,387       –       –       241,387  

Rights

     –       –       – ^     – ^

Affiliated Partnership

     –       2,838       –       2,838  

Cash Equivalent

     6,148       –       –       6,148  

Total Investments in Securities

     247,535       2,838       – ^     250,373  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Appreciation

     8       –       –       8  

Total Other Financial Instruments

     8       –       –       8  

 

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

 

^ Amount is less than $500.

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

71

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap Fund (Concluded)

 

 

For information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/(Loss)

    

Change in Unrealized Appreciation/ (Depreciation)

    

Value 2/28/2022

   

Shares

    

Income

   

Capital Gains

  

SEI Liquidity Fund, L.P.

   $ 10,120     $ 52,642     $ (59,924 )   $ 1     $ (1 )   $ 2,838       2,837,767     $ 26     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     4,935       59,051       (57,838 )     —       —       6,148       6,147,976       —       —  

Totals

   $ 15,055     $ 111,693     $ (117,762 )   $ 1     $ (1 )   $ 8,986             $ 26     $ —  

 

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

 

 

72

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap II Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 97.3%
                 

Communication Services — 3.5%

        

Advantage Solutions Inc *

     23,690     $ 187  

Cable One Inc

    556       797  

Cargurus Inc, Cl A *

     11,472       556  

Cars.com Inc *

     16,630       269  

Cinemark Holdings Inc *(A)

     180,113       3,159  

Clear Channel Outdoor Holdings Inc, Cl A *

     150,069       561  

Cogent Communications Holdings Inc

    13,161       834  

Gannett Co Inc *

     56,290       279  

Hemisphere Media Group Inc, Cl A *

     13,504       72  

Integral Ad Science Holding *

     737       14  

Liberty Latin America Ltd, Cl A *

     18,087       182  

Liberty TripAdvisor Holdings Inc, Cl A *

     57,749       123  

Lions Gate Entertainment Corp, Cl A *

     188,526       2,896  

MediaAlpha Inc, Cl A *

     6,006       86  

Nexstar Media Group Inc, Cl A

    7,543       1,396  

Ooma Inc *

     14,072       235  

QuinStreet Inc *

     18,882       212  

Reservoir Media Inc *(A)

     24,979       179  

TEGNA Inc

    66,103       1,515  

Ziff Davis Inc *

     6,514       655  

ZipRecruiter Inc, Cl A *

     15,447       309  
                 
              14,516  

Consumer Discretionary — 14.0%

        

1-800-Flowers.com Inc, Cl A *

     6,100       94  

2U Inc *

     15,075       158  

Aaron's Co Inc/The

    36,653       769  

Academy Sports & Outdoors Inc *

     6,960       225  

Advance Auto Parts Inc

    4,429       906  

American Eagle Outfitters Inc (A)

     170,813       3,601  

American Public Education Inc *

     21,524       430  

Arko Corp

    13,320       111  

Beazer Homes USA Inc *

     30,983       507  

Biglari Holdings Inc, Cl B *

     1,374       189  

Bloomin' Brands Inc

    82,200       2,023  

Bluegreen Vacations Holding Corp, Cl A *

     8,218       233  

Boyd Gaming Corp

    8,229       584  

Brinker International Inc *

     43,145       1,835  

Brunswick Corp/DE

    12,001       1,146  

Buckle Inc/The

    8,289       298  

Caleres Inc

    3,660       76  

Callaway Golf Co *

     36,038       892  

Canada Goose Holdings Inc *

     6,730       176  

Carriage Services Inc, Cl A

    12,285       605  

Carter's Inc

    18,089       1,749  

Cato Corp/The, Cl A

    16,960       299  

Cavco Industries Inc *

     1,861       507  

Century Casinos Inc *

     14,710       181  

Choice Hotels International Inc

    4,483       647  

Churchill Downs Inc

    4,951       1,193  

Chuy's Holdings Inc *

     7,880       257  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Citi Trends Inc *

     1,670     $ 62  

Clarus Corp

    10,072       229  

Conn's Inc *

     12,567       231  

Container Store Group Inc/The *

     35,870       317  

Cooper-Standard Holdings Inc *

     8,273       105  

Dave & Buster's Entertainment Inc *

     10,268       445  

Domino's Pizza Inc

    1,978       855  

Dorman Products Inc *

     7,406       692  

El Pollo Loco Holdings Inc *

     32,182       427  

Ethan Allen Interiors Inc

    26,570       692  

Fiesta Restaurant Group Inc *

     9,221       93  

Frontdoor Inc *

     22,962       690  

Genesco Inc *

     1,690       108  

Gentherm Inc *

     6,742       572  

Goodyear Tire & Rubber Co/The *

     49,482       766  

Grand Canyon Education Inc *

     6,963       605  

Hamilton Beach Brands Holding Co, Cl A

    10,297       156  

Hanesbrands Inc

    27,595       426  

Haverty Furniture Cos Inc

    18,179       516  

Hibbett Inc

    5,573       251  

Hooker Furnishings Corp

    14,484       304  

Hyatt Hotels Corp, Cl A *

     5,208       506  

Johnson Outdoors Inc, Cl A

    2,557       211  

KB Home

    23,416       904  

Lazydays Holdings Inc *(A)

     32,130       586  

Lifetime Brands Inc

    8,050       105  

Liquidity Services Inc *

     7,960       137  

Lovesac Co/The *

     16,161       687  

Lumber Liquidators Holdings Inc *

     16,564       266  

Macy's Inc

    19,750       512  

Malibu Boats Inc, Cl A *

     2,179       152  

Marine Products Corp

    6,676       81  

MarineMax Inc *

     3,130       143  

MasterCraft Boat Holdings Inc *

     16,120       462  

Mattel Inc *

     22,947       573  

Modine Manufacturing Co *

     194,353       1,963  

Monarch Casino & Resort Inc *

     4,780       372  

Monro Inc

    15,662       731  

Motorcar Parts of America Inc *

     4,780       77  

Movado Group Inc

    22,053       869  

Murphy USA Inc

    13,086       2,365  

Noodles & Co, Cl A *

     11,033       75  

OneWater Marine Inc, Cl A *

     9,479       482  

Oxford Industries Inc

    6,241       552  

Party City Holdco Inc *

     16,560       72  

Planet Fitness Inc, Cl A *

     7,205       610  

PlayAGS Inc *

     43,097       361  

Pool Corp

    1,923       882  

Porch Group *

     8,430       68  

RealReal Inc/The *(A)

     38,510       343  

Sally Beauty Holdings Inc *

     38,106       659  

SeaWorld Entertainment Inc *

     9,923       689  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

73

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap II Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Shoe Carnival Inc

    17,108     $ 499  

Shutterstock Inc

    12,380       1,121  

Skechers USA Inc, Cl A *

     28,810       1,325  

Skyline Champion Corp *

     7,082       476  

Sportsman's Warehouse Holdings Inc *

     13,670       156  

Steven Madden Ltd

    15,184       648  

Stoneridge Inc *

     11,713       193  

Superior Group of Cos Inc

    5,990       123  

Taylor Morrison Home Corp, Cl A *

     37,486       1,106  

Tenneco Inc, Cl A *

     19,135       369  

Tilly's Inc, Cl A *

     43,160       548  

Tractor Supply Co

    2,127       433  

Unifi Inc *

     25,407       477  

Urban Outfitters Inc *

     48,652       1,338  

Vera Bradley Inc *

     218,737       1,654  

Vista Outdoor Inc *

     8,680       316  

Vivint Smart Home *

     25,280       182  

Wingstop Inc

    4,042       588  

Winmark Corp

    1,792       405  

WW International Inc *

     43,200       440  

YETI Holdings Inc *

     9,638       593  

Zumiez Inc *

     6,227       277  
                 
              57,995  

Consumer Staples — 3.9%

        

Andersons Inc/The

    13,121       598  

BJ's Wholesale Club Holdings Inc *

     13,468       847  

Cal-Maine Foods Inc *

     14,068       623  

Casey's General Stores Inc

    4,220       794  

Central Garden & Pet Co *

     6,414       304  

Energizer Holdings Inc

    18,728       625  

Flowers Foods Inc

    20,352       558  

Hain Celestial Group Inc/The *

     17,090       621  

Hostess Brands Inc, Cl A *

     102,090       2,199  

Ingles Markets Inc, Cl A

    3,639       299  

Ingredion Inc

    15,956       1,416  

Inter Parfums Inc

    8,975       834  

MGP Ingredients Inc (A)

     17,816       1,418  

Natural Grocers by Vitamin Cottage Inc

    17,685       300  

Performance Food Group Co *

     10,272       576  

Seneca Foods Corp, Cl A *

     9,947       495  

Simply Good Foods Co/The *

     10,784       427  

Spectrum Brands Holdings Inc

    8,687       806  

TreeHouse Foods Inc *

     37,583       1,475  

Turning Point Brands Inc

    7,256       243  

Veru Inc *

     14,879       83  

Village Super Market Inc, Cl A

    10,392       237  

Weis Markets Inc

    4,178       258  
                 
              16,036  

Energy — 6.4%

        

Alto Ingredients *

     79,840       466  

Berry Corp

    15,833       158  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Cactus Inc, Cl A

    36,025     $ 1,825  

California Resources Corp

    10,608       437  

Centennial Resource Development Inc/DE, Cl A *

     66,481       584  

Centrus Energy, Cl A *

     3,740       169  

Comstock Resources Inc *

     87,180       724  

Coterra Energy Inc, Cl A

    40,930       955  

Delek US Holdings Inc *

     183,467       3,161  

Diamondback Energy Inc

    8,032       1,109  

Dorian LPG Ltd *

     7,050       97  

Earthstone Energy Inc, Cl A *

     11,118       145  

Enviva

    7,663       534  

Expro Group Holdings *

     22,862       368  

Gevo *(A)

     60,970       216  

Helmerich & Payne Inc

    31,484       1,141  

International Seaways Inc

    10,160       186  

Magnolia Oil & Gas Corp, Cl A

    22,710       508  

Matador Resources Co

    10,909       541  

Nabors Industries Ltd *

     2,761       347  

National Energy Services Reunited Corp *

     9,546       85  

NCS Multistage Holdings Inc *

     2,663       111  

NexTier Oilfield Solutions Inc *

     85,070       677  

Northern Oil and Gas Inc

    52,212       1,310  

Oasis Petroleum Inc

    12,762       1,691  

Ovintiv Inc

    17,392       797  

Par Pacific Holdings Inc *

     17,073       232  

Patterson-UTI Energy Inc

    44,876       648  

PDC Energy Inc

    30,145       1,945  

REX American Resources Corp *

     3,477       328  

RPC Inc *

     67,131       589  

Scorpio Tankers Inc

    24,719       430  

Select Energy Services Inc, Cl A *

     83,443       691  

SFL Corp Ltd

    38,265       381  

Solaris Oilfield Infrastructure Inc, Cl A

    33,662       350  

Southwestern Energy Co *

     234,949       1,172  

W&T Offshore Inc *

     132,580       644  

Whiting Petroleum Corp

    7,914       584  
                 
              26,336  

Financials — 19.1%

        

AFC Gamma Inc

    6,190       122  

Amalgamated Financial Corp

    10,770       185  

American Equity Investment Life Holding Co

    84,841       3,197  

Argo Group International Holdings Ltd

    6,341       267  

ARMOUR Residential REIT Inc ‡(A)

     27,290       222  

Arrow Financial Corp

    2,327       80  

AssetMark Financial Holdings Inc *

     16,965       398  

Atlantic Capital Bancshares Inc *

     8,171       264  

Atlanticus Holdings Corp *

     1,660       88  

Axos Financial Inc *

     8,410       460  

B Riley Financial Inc

    3,259       194  

 

 

 

74

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap II Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Banco Latinoamericano de Comercio Exterior SA, Cl E

    7,480     $ 116  

Bank of Marin Bancorp

    5,540       196  

Bank of NT Butterfield & Son Ltd/The

    41,195       1,582  

Bank OZK

    24,254       1,140  

BankUnited Inc

    118,130       5,221  

Bridgewater Bancshares Inc *

     7,957       134  

Build Acquisition Corp *

     27,466       269  

Byline Bancorp Inc

    6,450       176  

Capital Bancorp Inc

    5,200       129  

Capstar Financial Holdings Inc

    4,465       96  

Carter Bankshares Inc *

     7,488       125  

Central Pacific Financial Corp

    9,670       282  

Chimera Investment Corp ‡

     103,923       1,265  

CNO Financial Group Inc

    129,900       3,140  

Cohen & Steers Inc

    10,960       891  

ConnectOne Bancorp Inc

    14,349       474  

Crawford & Co, Cl A

    19,540       151  

CrossFirst Bankshares Inc *

     15,880       250  

Cullen/Frost Bankers Inc

    3,824       538  

Curo Group Holdings Corp

    18,356       245  

Customers Bancorp Inc *

     7,523       463  

Dynex Capital Inc (A)

     55,469       853  

Enova International Inc *

     16,957       691  

Equity Bancshares Inc, Cl A

    2,790       88  

Evercore Inc, Cl A

    3,502       445  

EZCORP Inc, Cl A *

     32,810       197  

FactSet Research Systems Inc

    1,934       785  

Farmers National Banc Corp

    9,810       169  

Financial Institutions Inc

    5,883       188  

First BanCorp/Puerto Rico

    38,518       544  

First Bancshares Inc/The

    2,718       96  

First Commonwealth Financial Corp

    114,129       1,843  

First Community Bankshares Inc

    9,240       271  

First Financial Corp/IN

    3,260       152  

First Internet Bancorp

    5,939       290  

First Interstate BancSystem Inc, Cl A

    37,249       1,512  

First of Long Island Corp/The

    6,871       150  

FirstMark Horizon Acquisition Corp, Cl A *

     7,251       72  

Flushing Financial Corp

    9,446       222  

FNB Corp/PA

    203,971       2,739  

Globe Life Inc

    6,955       702  

Green Dot Corp, Cl A *

     34,172       979  

Greenhill & Co Inc

    11,903       210  

Greenlight Capital Re Ltd, Cl A *

     13,121       94  

Hamilton Lane Inc, Cl A

    8,911       696  

Hanmi Financial Corp

    18,388       480  

Hanover Insurance Group Inc/The

    10,781       1,504  

HarborOne Bancorp Inc

    21,523       318  

HBT Financial Inc

    11,650       223  

Hercules Capital (A)

     52,588       945  

Heritage Commerce Corp

    8,776       104  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Heritage Insurance Holdings Inc

    14,189     $ 79  

Home BancShares Inc/AR

    43,941       1,029  

HomeTrust Bancshares Inc

    6,870       207  

Independent Bank Corp/MI

    13,745       327  

Lakeland Bancorp Inc

    19,930       360  

Macatawa Bank Corp

    12,123       111  

MarketAxess Holdings Inc

    1,111       424  

Mercantile Bank Corp

    3,373       124  

Merchants Bancorp/IN

    8,280       240  

Metrocity Bankshares Inc

    3,932       96  

Metropolitan Bank Holding Corp *

     8,051       823  

MGIC Investment Corp

    67,201       1,020  

Morningstar Inc

    2,928       822  

Mr Cooper Group Inc *

     11,462       583  

National Western Life Group Inc, Cl A

    380       81  

Nicolet Bankshares Inc *

     10,107       963  

NMI Holdings Inc, Cl A *

     34,021       787  

Northrim BanCorp Inc

    2,084       93  

OFG Bancorp

    48,845       1,376  

Old National Bancorp/IN

    92,451       1,690  

Old Second Bancorp Inc

    4,960       71  

Oportun Financial Corp *

     10,643       174  

Oppenheimer Holdings Inc, Cl A

    13,871       599  

Origin Bancorp Inc

    2,020       93  

PacWest Bancorp

    83,736       4,138  

PCSB Financial Corp

    9,070       169  

Peapack-Gladstone Financial Corp

    5,004       189  

Peoples Bancorp Inc/OH

    8,440       264  

Pinnacle Financial Partners Inc

    22,886       2,313  

Popular Inc

    7,112       653  

PROG Holdings Inc *

     48,989       1,501  

Prosperity Bancshares Inc

    11,990       893  

Provident Bancorp Inc

    7,805       128  

Pzena Investment Management Inc, Cl A

    29,888       276  

QCR Holdings Inc

    2,958       165  

RBB Bancorp

    11,220       271  

Regional Management Corp

    9,665       496  

ServisFirst Bancshares Inc

    6,101       533  

StepStone Group Inc, Cl A

    7,691       266  

Stifel Financial Corp

    6,829       502  

StoneX Group Inc *

     6,723       507  

Tishman Speyer Innovation Corp II *

     22,840       224  

Trean Insurance Group Inc *

     22,883       162  

TriState Capital Holdings Inc *

     8,257       274  

Umpqua Holdings Corp

    178,818       3,818  

Universal Insurance Holdings Inc

    37,775       437  

Univest Financial Corp

    42,561       1,233  

Virtu Financial Inc, Cl A

    15,152       532  

Walker & Dunlop Inc

    4,271       591  

Warrior Technologies Acquisition Co *

     23,397       233  

Waterstone Financial Inc

    27,991       547  

Webster Financial Corp

    11,278       679  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

75

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap II Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Western Alliance Bancorp

    21,005     $ 1,969  

Wintrust Financial Corp

    27,667       2,749  

WisdomTree Investments Inc

    55,703       314  
                 
              79,120  

Health Care — 9.9%

        

4D Molecular Therapeutics Inc *

     10,348       142  

Absci Corp *(A)

     9,062       85  

Affimed NV *

     22,488       99  

Albireo Pharma Inc *

     10,020       334  

Allscripts Healthcare Solutions Inc *

     26,420       514  

AMN Healthcare Services Inc *

     2,753       292  

Amneal Pharmaceuticals Inc *

     18,370       83  

Amphastar Pharmaceuticals Inc *

     21,339       591  

Amylyx Pharmaceuticals *(A)

     9,487       312  

AnaptysBio Inc *

     21,891       669  

Anika Therapeutics Inc *

     5,852       190  

Apyx Medical Corp *

     7,516       76  

Arcturus Therapeutics Holdings Inc *

     16,620       398  

Arcus Biosciences Inc *

     13,816       514  

Arcutis Biotherapeutics Inc *

     4,660       83  

Arvinas Inc *

     2,618       170  

Atea Pharmaceuticals *

     25,810       164  

Aveanna Healthcare Holdings Inc *

     13,843       73  

Avid Bioservices Inc *

     7,994       164  

Avidity Biosciences Inc *

     15,167       257  

Axogen Inc *

     18,120       169  

BioAtla *

     14,390       93  

BioCryst Pharmaceuticals Inc *

     31,473       523  

BioDelivery Sciences International Inc *

     117,978       658  

Biohaven Pharmaceutical Holding Co Ltd *

     4,225       502  

Black Diamond Therapeutics Inc *(A)

     20,122       63  

C4 Therapeutics Inc *

     5,564       125  

Cano Health Inc *(A)

     26,752       130  

Cardiovascular Systems Inc *

     11,288       238  

CareDx Inc *

     6,652       255  

Castle Biosciences Inc *

     3,028       131  

Catalyst Pharmaceuticals Inc *

     134,283       1,047  

Certara Inc *

     6,453       164  

Chemed Corp

    2,138       1,023  

Codex DNA Inc *(A)

     6,963       71  

Co-Diagnostics Inc *(A)

     119,585       694  

Collegium Pharmaceutical Inc *

     7,460       145  

Computer Programs and Systems Inc *

     4,516       139  

Cross Country Healthcare Inc *

     14,611       326  

CryoLife Inc *

     6,233       122  

Curis Inc *

     40,720       136  

Cutera Inc *

     2,592       99  

Cytokinetics Inc *

     12,644       447  

DermTech Inc *(A)

     11,690       150  

DICE Therapeutics Inc *(A)

     6,628       123  

Eagle Pharmaceuticals Inc/DE *

     10,239       485  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Encompass Health Corp

    13,676     $ 903  

Endo International PLC *

     78,700       245  

Ensign Group Inc/The

    14,170       1,191  

Envista Holdings Corp *

     39,827       1,912  

Erasca Inc *(A)

     7,473       93  

Forma Therapeutics Holdings Inc *

     11,500       113  

Generation Bio Co *

     18,830       96  

Harpoon Therapeutics Inc *

     13,548       56  

HealthEquity Inc *

     6,473       348  

HealthStream Inc *

     8,420       173  

Heron Therapeutics Inc *

     20,403       145  

ImmunityBio *(A)

     18,000       123  

Inhibrx Inc *

     7,201       155  

Innoviva Inc *

     17,881       343  

Instil Bio Inc *(A)

     21,367       229  

Integra LifeSciences Holdings Corp *

     14,294       959  

Intra-Cellular Therapies Inc *

     13,917       772  

Invacare Corp *

     76,730       157  

iRadimed Corp *

     2,206       110  

iTeos Therapeutics Inc *

     21,092       762  

IVERIC bio Inc *

     28,451       456  

Karyopharm Therapeutics Inc *(A)

     42,296       437  

Kezar Life Sciences Inc *

     31,060       461  

Kiniksa Pharmaceuticals Ltd, Cl A *

     24,382       250  

Krystal Biotech Inc *

     6,493       413  

Lantheus Holdings Inc *

     13,790       659  

LeMaitre Vascular Inc

    22,282       1,058  

Lexicon Pharmaceuticals Inc *

     30,709       64  

MaxCyte Inc *

     31,056       216  

MEDNAX Inc *

     9,176       215  

Meridian Bioscience Inc *

     10,046       254  

Merit Medical Systems Inc *

     8,677       564  

Mirum Pharmaceuticals Inc *

     843       20  

Mustang Bio Inc *

     56,625       49  

Nevro Corp *

     2,596       186  

Nkarta *

     14,190       129  

NuVasive Inc *

     10,955       593  

Ocular Therapeutix Inc *

     68,417       382  

Omnicell Inc *

     1,368       177  

Option Care Health Inc *

     18,653       479  

Organogenesis Holdings Inc, Cl A *

     13,290       99  

ORIC Pharmaceuticals Inc *

     24,504       190  

Paragon 28 Inc *(A)

     10,160       166  

Passage Bio *

     21,920       73  

Personalis Inc *

     35,940       377  

PMV Pharmaceuticals Inc *

     12,866       204  

Precigen Inc *(A)

     137,020       308  

Precision BioSciences Inc *

     44,416       189  

Prestige Consumer Healthcare Inc *

     24,322       1,448  

Privia Health Group Inc *

     10,418       268  

Prometheus Biosciences Inc *(A)

     14,294       622  

Puma Biotechnology Inc *

     35,390       81  

 

 

 

76

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap II Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Quest Diagnostics Inc

    6,177     $ 811  

Quidel Corp *

     4,483       474  

Radius Health Inc *

     14,100       117  

Relay Therapeutics Inc *

     6,776       163  

Rigel Pharmaceuticals Inc *

     69,038       173  

Rubius Therapeutics Inc *

     3,439       17  

Sana Biotechnology Inc *

     71,480       462  

Seer, Cl A *

     6,490       99  

Selecta Biosciences Inc *

     52,290       97  

Seres Therapeutics Inc *

     13,910       111  

Sharps Compliance Corp *

     12,076       74  

Sierra Oncology *(A)

     16,251       502  

SIGA Technologies Inc *

     40,592       244  

Sight Sciences Inc *

     11,575       202  

Sonendo Inc *(A)

     21,193       102  

SpringWorks Therapeutics Inc *

     3,165       179  

STERIS PLC

    5,025       1,206  

Stoke Therapeutics Inc *

     4,317       84  

Surface Oncology Inc *

     62,370       225  

Sutro Biopharma Inc *

     9,579       85  

Syndax Pharmaceuticals Inc *

     6,427       100  

Syneos Health Inc, Cl A *

     3,311       262  

Syros Pharmaceuticals Inc *

     53,453       69  

Talis Biomedical Corp *

     5,322       11  

Tenet Healthcare Corp *

     6,547       563  

US Physical Therapy Inc

    5,774       531  

Utah Medical Products Inc

    1,022       92  

Vanda Pharmaceuticals Inc *

     10,260       117  

Veracyte Inc *

     9,913       276  

Verve Therapeutics *

     4,768       156  

Viemed Healthcare Inc *

     50,686       195  
                 
              41,039  

Industrials — 18.1%

        

ABM Industries Inc

    36,070       1,617  

Acacia Research Corp *

     19,680       75  

ACCO Brands Corp

    417,522       3,591  

ACV Auctions Inc, Cl A *

     29,475       389  

Air Lease Corp, Cl A

    17,313       723  

Alight Inc *

     41,887       437  

Allied Motion Technologies Inc

    2,498       87  

Allison Transmission Holdings Inc, Cl A

    23,498       939  

Altra Industrial Motion Corp

    29,048       1,234  

Argan Inc

    13,169       512  

Atkore Inc *

     7,407       753  

Atlas Air Worldwide Holdings Inc *

     12,135       951  

BlueLinx Holdings Inc *

     5,972       534  

Boise Cascade Co

    7,503       600  

BWX Technologies Inc

    29,988       1,602  

Byrna Technologies Inc *(A)

     21,199       212  

CACI International Inc, Cl A *

     3,921       1,097  

Carlisle Cos Inc

    4,973       1,181  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Cimpress PLC *

     4,025     $ 254  

CIRCOR International Inc *

     15,867       427  

Clean Harbors Inc *

     21,023       2,006  

Concrete Pumping Holdings Inc *

     9,150       68  

Cornerstone Building Brands Inc *

     12,968       286  

Costamare Inc

    51,795       699  

Covenant Logistics Group Inc, Cl A

    12,688       286  

CRA International Inc

    6,598       586  

Curtiss-Wright Corp

    3,839       566  

Daseke Inc *

     108,442       1,361  

Desktop Metal, Cl A *(A)

     45,150       188  

Ducommun Inc *

     6,360       321  

DXP Enterprises Inc/TX *

     4,850       139  

Eagle Bulk Shipping Inc

    9,040       477  

EMCOR Group Inc

    8,428       974  

Enerpac Tool Group Corp, Cl A

    23,240       401  

Ennis Inc

    7,176       135  

EnPro Industries Inc

    18,549       2,049  

Evoqua Water Technologies Corp *

     14,248       608  

First Advantage Corp *

     43,589       704  

Forrester Research Inc *

     11,974       622  

Forward Air Corp

    10,930       1,128  

Franklin Covey Co *

     14,692       677  

Gates Industrial Corp PLC *

     56,535       895  

Genco Shipping & Trading Ltd

    25,822       498  

GFL Environmental Inc

    22,697       664  

Global Industrial Co

    14,905       474  

Graham Corp

    1,287       10  

Harsco Corp *

     36,344       433  

Heartland Express Inc

    11,295       162  

Heidrick & Struggles International Inc

    7,603       325  

Herc Holdings Inc

    2,444       389  

Heritage-Crystal Clean Inc *

     49,262       1,381  

Hexcel Corp

    15,163       878  

Hillenbrand Inc

    17,071       814  

Hudson Technologies Inc *

     89,669       343  

Huntington Ingalls Industries Inc

    3,468       709  

Huron Consulting Group Inc *

     16,584       818  

Infrastructure and Energy Alternatives *

     49,198       535  

INNOVATE Corp *(A)

     23,378       78  

Insperity Inc

    7,372       663  

Insteel Industries Inc

    4,987       185  

ITT Inc

    17,197       1,511  

JetBlue Airways Corp *

     130,485       1,993  

John Bean Technologies Corp

    1,362       154  

KBR Inc

    14,934       741  

Kelly Services Inc, Cl A

    24,776       526  

Kirby Corp *

     7,637       498  

Knight-Swift Transportation Holdings Inc, Cl A

    6,955       379  

Korn Ferry

    19,310       1,280  

Landstar System Inc

    5,377       830  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

77

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap II Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Legalzoom.com Inc *(A)

     10,682     $ 167  

Manitowoc Co Inc/The *

     5,490       91  

ManTech International Corp/VA, Cl A

    9,347       779  

Masonite International Corp *

     11,327       1,068  

Matson Inc

    14,130       1,565  

Matthews International Corp, Cl A

    20,174       669  

Miller Industries Inc/TN

    3,049       94  

MRC Global Inc *

     33,040       334  

MSC Industrial Direct Co Inc, Cl A

    5,644       437  

NN Inc *

     143,788       372  

Nordson Corp

    3,130       709  

Northwest Pipe Co *

     5,672       162  

Park Aerospace Corp

    20,605       286  

Quanex Building Products Corp

    25,421       581  

Radiant Logistics Inc *

     27,127       187  

Regal Rexnord Corp

    16,910       2,712  

Resources Connection Inc

    22,583       375  

Ritchie Bros Auctioneers Inc

    11,894       623  

Safe Bulkers Inc *

     22,100       92  

Shyft Group Inc/The

    5,981       242  

Snap-on Inc

    3,662       770  

SP Plus Corp *

     16,644       497  

SPX FLOW Inc

    11,049       949  

Standex International Corp

    18,301       1,939  

Sterling Construction Co Inc *

     7,944       235  

Sun Country Airlines Holdings Inc *

     2,960       80  

Tennant Co

    5,691       448  

Tetra Tech Inc

    3,961       629  

Textainer Group Holdings Ltd

    9,390       333  

Titan International Inc *

     31,280       350  

Titan Machinery Inc *

     6,481       184  

TriNet Group Inc *

     5,833       509  

Triton International Ltd

    8,546       561  

TrueBlue Inc *

     23,381       636  

UFP Industries Inc

    12,200       1,046  

UniFirst Corp/MA

    3,580       649  

Universal Logistics Holdings Inc

    5,810       111  

US Xpress Enterprises Inc, Cl A *

     17,149       78  

Vectrus Inc *

     6,982       320  

Veritiv Corp *

     3,539       379  

WESCO International Inc *

     11,033       1,343  

WillScot Mobile Mini Holdings Corp, Cl A *

     21,035       747  

Zurn Water Solutions Corp

    12,680       412  
                 
              74,412  

Information Technology — 12.9%

        

8x8 Inc *

     29,715       385  

A10 Networks Inc

    52,705       751  

Actua Corp *(B)

     39,640       —  

Alkami Technology Inc *

     22,991       362  

Allegro MicroSystems Inc *

     6,750       194  

Alliance Data Systems Corp

    32,713       2,206  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Alpha & Omega Semiconductor Ltd *

     6,558     $ 353  

Ambarella Inc *

     3,246       454  

Arlo Technologies Inc *

     15,360       143  

Asure Software Inc *

     27,825       194  

AudioCodes Ltd

    26,300       745  

Aviat Networks *

     6,639       188  

Axcelis Technologies Inc *

     8,656       599  

AXT Inc *

     17,469       130  

Belden Inc

    13,904       783  

Broadridge Financial Solutions Inc

    4,974       727  

BTRS Holdings Inc, Cl A *

     15,810       96  

Casa Systems Inc *

     26,618       111  

Cass Information Systems Inc

    2,720       108  

ChannelAdvisor Corp *

     12,470       224  

Ciena Corp *

     8,982       615  

Clearfield Inc *

     7,544       484  

CMC Materials Inc

    1,298       241  

Cognex Corp

    6,523       441  

Concentrix Corp

    2,772       554  

Consensus Cloud Solutions Inc *

     3,822       213  

CSG Systems International Inc

    9,319       575  

CTS Corp

    7,999       303  

Datto Holding Corp *(A)

     11,901       279  

Digi International Inc *

     17,122       344  

Diodes Inc *

     4,601       412  

eGain Corp *

     13,287       157  

EMCORE Corp *

     17,370       67  

ExlService Holdings Inc *

     7,037       850  

Extreme Networks Inc *

     32,099       369  

ForgeRock Inc, Cl A *(A)

     16,425       243  

Hackett Group Inc/The

    32,746       678  

Harmonic Inc *

     97,481       908  

I3 Verticals Inc, Cl A *

     6,632       175  

Ichor Holdings Ltd *

     6,640       234  

Impinj Inc *

     5,336       367  

International Money Express Inc *

     57,102       917  

Jack Henry & Associates Inc

    5,207       921  

Juniper Networks Inc

    18,614       629  

Kimball Electronics Inc *

     4,589       79  

KnowBe4 Inc, Cl A *

     9,652       194  

Kopin Corp *(A)

     11,777       31  

Kulicke & Soffa Industries Inc

    18,069       944  

Latch Inc *(A)

     26,069       108  

Limelight Networks Inc *

     114,228       447  

Littelfuse Inc

    3,412       881  

Lumentum Holdings Inc *

     17,789       1,759  

MACOM Technology Solutions Holdings Inc *

     10,086       606  

MaxLinear Inc, Cl A *

     9,217       565  

Mimecast Ltd *

     8,667       689  

Mitek Systems Inc *

     8,237       122  

Model N Inc *

     7,887       194  

 

 

 

78

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap II Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Momentive Global Inc *

     41,738     $ 656  

MoneyGram International Inc *

     26,015       279  

NVE Corp

    7,156       409  

ON24 *

     5,130       80  

Onto Innovation Inc *

     5,781       498  

PDF Solutions Inc *

     13,925       381  

Photronics Inc *

     170,219       3,135  

Ping Identity Holding Corp *

     11,884       250  

Power Integrations Inc

    11,457       1,031  

Pure Storage Inc, Cl A *

     18,452       479  

Rackspace Technology Inc *

     108,711       1,210  

Rambus Inc *

     25,020       676  

Rimini Street Inc *

     50,519       229  

Rogers Corp *

     6,087       1,662  

ScanSource Inc *

     2,280       72  

SecureWorks Corp, Cl A *

     5,856       90  

Silicon Laboratories Inc *

     2,465       379  

Silicon Motion Technology Corp ADR

    20,952       1,520  

SiTime Corp *

     2,010       406  

SMART Global Holdings Inc *

     25,289       694  

StarTek Inc *

     29,888       131  

Sumo Logic Inc *

     12,250       147  

Super Micro Computer Inc *

     91,796       3,607  

Switch Inc, Cl A

    33,192       864  

Synaptics Inc *

     2,960       676  

TTEC Holdings Inc

    7,725       614  

Universal Display Corp

    5,098       790  

Upland Software Inc *

     10,681       201  

Veeco Instruments Inc *

     30,571       873  

Verra Mobility Corp, Cl A *

     33,371       561  

Vertex Inc, Cl A *

     8,731       122  

Viant Technology, Cl A *

     15,728       129  

Viavi Solutions Inc *

     96,124       1,576  

Vishay Intertechnology Inc

    50,800       975  

Vishay Precision Group Inc *

     19,170       602  

Weave Communications Inc *

     12,591       127  

Zeta Global Holdings, Cl A *(A)

     43,705       569  

Zuora Inc, Cl A *

     14,892       226  
                 
              53,274  

Materials — 4.7%

        

Alamos Gold Inc, Cl A

    45,476       335  

American Vanguard Corp

    7,140       108  

Cabot Corp

    21,536       1,576  

Century Aluminum Co *

     60,928       1,439  

Commercial Metals Co

    53,782       2,073  

Forterra Inc *

     26,300       620  

Hawkins Inc

    2,870       130  

Huntsman Corp

    18,503       748  

Ingevity Corp *

     10,330       705  

Innospec Inc

    6,711       641  

Koppers Holdings Inc

    3,804       109  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Kronos Worldwide Inc

    26,463     $ 390  

Livent Corp *

     86,503       2,037  

LSB Industries Inc *

     32,929       570  

MP Materials *(A)

     11,048       504  

O-I Glass Inc *

     60,032       767  

Olin Corp

    8,182       421  

Quaker Chemical Corp

    3,542       657  

Ranpak Holdings Corp, Cl A *

     4,681       113  

Reliance Steel & Aluminum Co

    8,697       1,660  

Ryerson Holding Corp

    10,936       286  

Sealed Air Corp

    10,442       701  

Silgan Holdings Inc

    26,503       1,110  

SunCoke Energy Inc

    55,380       439  

Tredegar Corp

    8,710       100  

Valvoline Inc

    26,380       853  

Warrior Met Coal Inc

    17,158       540  
                 
              19,632  

Real Estate — 3.1%

        

American Campus Communities Inc ‡

     23,023       1,239  

Americold Realty Trust ‡

     19,625       524  

Ashford Hospitality Trust Inc *‡

     13,020       112  

Corporate Office Properties Trust ‡

     21,782       571  

EastGroup Properties Inc ‡

     2,953       563  

eXp World Holdings Inc (A)

     25,121       672  

Fathom Holdings *

     6,103       78  

First Industrial Realty Trust Inc ‡

     7,124       410  

Forestar Group Inc *

     18,790       344  

Gladstone Land Corp ‡

     15,172       454  

Independence Realty Trust Inc ‡

     17,990       455  

Innovative Industrial Properties Inc, Cl A ‡

     3,695       696  

Kennedy-Wilson Holdings Inc

    29,420       651  

Lexington Realty Trust, Cl B ‡

     46,998       727  

National Storage Affiliates Trust ‡

     8,297       483  

Newmark Group Inc, Cl A

    136,133       2,407  

NexPoint Residential Trust Inc ‡

     21,133       1,796  

RE/MAX Holdings Inc, Cl A

    2,750       82  

Rexford Industrial Realty Inc ‡

     6,350       445  

Tejon Ranch Co *

     6,240       106  

Urstadt Biddle Properties Inc, Cl A ‡

     4,580       86  
                 
              12,901  

Utilities — 1.7%

        

Algonquin Power & Utilities Corp (A)

     67,135       972  

Artesian Resources Corp, Cl A

    2,952       137  

Black Hills Corp

    13,154       921  

IDACORP Inc

    10,586       1,100  

Portland General Electric Co

    41,046       2,084  

Pure Cycle Corp *

     19,581       232  

Spire Inc

    9,565       642  

UGI Corp

    16,672       641  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

79

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap II Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Via Renewables Inc, Cl A (A)

     17,348     $ 194  
                 
              6,923  

Total Common Stock

               

(Cost $336,225) ($ Thousands)

             402,184  
                 
                 
      Number of
Warrants		          

WARRANT — 0.0%

Latch Inc, Expires 06/07/2026

                

Strike Price $11.50 *

     7,807       6  
                 
                 

Total Warrant

                

(Cost $15) ($ Thousands)

             6  
                 
                 
      Number of
Rights		          

RIGHTS — 0.0%

Media General Inc CVR *‡‡(B)

     3,306       –  

Total Rights

                

(Cost $—) ($ Thousands)

             –  
                 
                 
   


Shares

          

AFFILIATED PARTNERSHIP — 3.8%

SEI Liquidity Fund, L.P.

                

0.050% **†(C)

     15,635,300       15,638  
                 
                 

Total Affiliated Partnership

                

(Cost $15,636) ($ Thousands)

     15,638  
                 
                 
                 

CASH EQUIVALENT — 2.8%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     11,638,928       11,639  
                 

Total Cash Equivalent

                

(Cost $11,639) ($ Thousands)

             11,639  
                 
                 

Total Investments in Securities — 103.9%

                

(Cost $363,515) ($ Thousands)

  $ 429,467  
                 
                 
                 

 

 

 

80

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap II Fund (Continued)

 

 

A list of the open futures contracts held by the Fund at February 28, 2022 is as follow:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation (Thousands)

  

Long Contracts

                                        

Russell 2000 Index E-MINI

     4       Mar-2022     $ 397     $ 409     $ 12  
                                         

 

 

 

Percentages are based on Net Assets of $413,531 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

(A)

Certain securities or partial positions of certain securities are on loan at February 28, 2022. The total market value of securities on loan at February 28, 2022 was $15,281 ($ Thousands).

(B)

Level 3 security in accordance with fair value hierarchy.

(C)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of February 28, 2022 was $15,638 ($ Thousands).

 

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

SPX — Standard & Poor's 500 Index

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)(1)

    

Total
($)

  

Common Stock

     402,184       –       –       402,184  

Warrant

     –       6       –       6  

Rights

     –       –       – ^     –  

Affiliated Partnership

     –       15,638       –       15,638  

Cash Equivalent

     11,639       –       –       11,639  

Total Investments in Securities

     413,823       15,644       – ^     429,467  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Appreciation

     12       –       –       12  

Total Other Financial Instruments

     12       –       –       12  

 

*

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

 

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

 

^Securities market value less than $500.

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For more information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

81

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small Cap II Fund (Concluded)

 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Liquidity Fund, L.P.

   $ 31,950     $ 86,892     $ (103,201 )   $ 3     $ (6 )   $ 15,638       15,635,300     $ 77     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     9,606       155,367       (153,334 )     —       —       11,639       11,638,928       1       —  

Totals

   $ 41,556     $ 242,259     $ (256,535 )   $ 3     $ (6 )   $ 27,277             $ 78     $ -  

 

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

 

 

82

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small/Mid Cap Equity Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 97.5%
                 

Communication Services — 4.8%

        

AMC Networks Inc, Cl A *

     27,200     $ 1,128  

Audacy Inc, Cl A *

     173,700       538  

Cable One Inc

    2,025       2,902  

Cargurus Inc, Cl A *

     28,987       1,404  

Cars.com Inc *

     129,030       2,088  

Cogent Communications Holdings Inc

    47,940       3,039  

Gogo Inc *(A)

     62,727       893  

Gray Television Inc

    59,700       1,399  

John Wiley & Sons Inc, Cl A

    86,718       4,363  

Lumen Technologies Inc (A)

     112,300       1,163  

Nexstar Media Group Inc, Cl A

    84,211       15,583  

Paramount Global, Cl B

    20,700       634  

Sinclair Broadcast Group Inc, Cl A

    36,688       1,101  

TEGNA Inc

    72,400       1,659  

Yelp Inc, Cl A *

     25,940       879  

Ziff Davis Inc *

     97,039       9,762  

ZipRecruiter Inc, Cl A *

     47,902       957  
                 
              49,492  

Consumer Discretionary — 12.1%

        

2U Inc *(A)

     47,401       498  

Aaron's Co Inc/The

    133,507       2,802  

Abercrombie & Fitch Co, Cl A *

     21,700       826  

Advance Auto Parts Inc

    16,134       3,299  

American Axle & Manufacturing Holdings Inc *

     90,600       839  

American Eagle Outfitters Inc (A)

     80,899       1,705  

Arko Corp

    111,310       929  

Asbury Automotive Group Inc *

     6,126       1,189  

Big Lots Inc (A)

     32,600       1,133  

Boot Barn Holdings Inc *

     23,760       2,068  

BorgWarner Inc

    34,400       1,411  

Brunswick Corp/DE

    43,715       4,176  

Canada Goose Holdings Inc *(A)

     20,822       543  

Carter's Inc

    5,608       542  

Churchill Downs Inc

    20,334       4,898  

Dick's Sporting Goods Inc (A)

     22,466       2,359  

Domino's Pizza Inc

    7,204       3,114  

Ethan Allen Interiors Inc

    29,100       758  

Everi Holdings Inc *

     40,264       942  

Farfetch Ltd, Cl A *

     39,423       751  

Foot Locker Inc

    37,100       1,173  

Fox Factory Holding Corp *

     3,286       388  

Frontdoor Inc *

     67,630       2,032  

Funko Inc, Cl A *

     60,771       1,061  

Gentherm Inc *

     19,225       1,631  

Golden Entertainment Inc *

     23,495       1,338  

Goodyear Tire & Rubber Co/The *

     71,642       1,110  

Grand Canyon Education Inc *

     16,229       1,409  

Group 1 Automotive Inc

    8,900       1,619  

Hanesbrands Inc

    114,636       1,771  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Harley-Davidson Inc

    42,300     $ 1,747  

Haverty Furniture Cos Inc (A)

     38,200       1,085  

Helen of Troy Ltd *

     10,190       2,096  

KB Home

    85,292       3,293  

Kohl's Corp

    18,000       1,001  

Lear Corp

    5,400       850  

Lithia Motors Inc, Cl A

    17,257       5,881  

MarineMax Inc *

     22,300       1,020  

MDC Holdings Inc

    20,400       904  

Monro Inc

    57,048       2,663  

ODP Corp/The *

     35,698       1,571  

Oxford Industries Inc

    11,379       1,006  

Papa John's International Inc

    10,961       1,171  

Patrick Industries Inc

    13,554       967  

Perdoceo Education Corp *

     45,800       479  

Polaris Inc (A)

     4,697       571  

Pool Corp

    7,004       3,212  

PulteGroup Inc

    35,200       1,748  

Qurate Retail Inc *

     68,700       379  

Red Rock Resorts Inc, Cl A

    24,002       1,207  

Rent-A-Center Inc/TX, Cl A

    17,000       483  

Sally Beauty Holdings Inc *

     138,237       2,389  

Shoe Carnival Inc

    25,952       757  

Shutterstock Inc

    44,080       3,991  

Skechers USA Inc, Cl A *

     62,440       2,871  

Sonic Automotive Inc, Cl A

    20,900       1,123  

Sonos Inc *

     28,309       775  

Sportradar Holding, Cl A *(A)

     36,713       538  

Standard Motor Products Inc

    23,722       1,037  

Stride Inc *

     36,215       1,216  

Taylor Morrison Home Corp, Cl A *

     33,395       985  

Toll Brothers Inc

    39,300       2,132  

TopBuild Corp *

     6,422       1,379  

Tractor Supply Co

    7,747       1,579  

Under Armour Inc, Cl C *(A)

     49,307       771  

Victoria's Secret & Co *

     56,236       3,016  

Vista Outdoor Inc *

     30,343       1,106  

Vroom Inc *(A)

     85,401       519  

Whirlpool Corp

    14,400       2,898  

Wingstop Inc

    38,980       5,666  

Winnebago Industries Inc

    23,879       1,530  

Wyndham Hotels & Resorts Inc

    70,024       6,051  
                 
              123,977  

Consumer Staples — 3.5%

        

Beauty Health Co/The *

     87,272       1,691  

Casey's General Stores Inc

    15,373       2,891  

Central Garden & Pet Co *

     20,313       962  

Energizer Holdings Inc

    30,800       1,028  

Hostess Brands Inc, Cl A *

     176,370       3,799  

Ingles Markets Inc, Cl A

    23,000       1,891  

Ingredion Inc

    24,400       2,165  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

83

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small/Mid Cap Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Inter Parfums Inc

    10,126     $ 941  

J M Smucker Co/The

    19,900       2,682  

MGP Ingredients Inc

    15,106       1,203  

Molson Coors Beverage Co, Cl B

    44,100       2,301  

Performance Food Group Co *

     19,984       1,120  

SpartanNash Co

    42,000       1,182  

Spectrum Brands Holdings Inc

    54,861       5,090  

Sprouts Farmers Market Inc *

     76,700       2,184  

United Natural Foods Inc *

     67,957       2,734  

Universal Corp/VA

    18,300       990  

Weis Markets Inc

    16,300       1,005  
                 
              35,859  

Energy — 4.1%

        

Cactus Inc, Cl A

    55,695       2,822  

Chesapeake Energy Corp (A)

     17,318       1,338  

CNX Resources Corp *

     72,000       1,177  

Coterra Energy Inc, Cl A

    149,087       3,478  

Diamondback Energy Inc

    29,277       4,043  

DT Midstream Inc

    49,573       2,632  

Earthstone Energy Inc, Cl A *

     78,338       1,018  

HollyFrontier Corp *

     62,400       1,900  

Magnolia Oil & Gas Corp, Cl A

    219,666       4,910  

Marathon Oil Corp

    79,900       1,803  

Matador Resources Co

    25,996       1,289  

Northern Oil and Gas Inc

    111,445       2,795  

Oasis Petroleum Inc

    30,498       4,041  

Oceaneering International Inc *

     76,401       1,119  

PBF Energy Inc, Cl A *

     58,000       964  

Rattler Midstream LP (B)

     108,226       1,495  

SM Energy Co

    30,195       1,072  

Viper Energy Partners LP (B)

     110,382       3,246  

Whiting Petroleum Corp

    16,447       1,215  

World Fuel Services Corp

    26,900       762  
                 
              43,119  

Financials — 16.2%

        

AG Mortgage Investment Trust Inc

    20,500       185  

Ally Financial Inc

    40,300       2,011  

American Equity Investment Life Holding Co

    22,700       856  

American Financial Group Inc/OH

    10,900       1,476  

Annaly Capital Management Inc ‡

     82,200       572  

Ares Capital Corp

    35,700       780  

Associated Banc-Corp

    129,185       3,151  

Atlantic Union Bankshares Corp

    25,825       1,049  

Banco Latinoamericano de Comercio Exterior SA, Cl E

    30,600       473  

Bank OZK

    100,256       4,714  

Banner Corp

    18,360       1,131  

BGC Partners Inc, Cl A

    594,780       2,724  

Capitol Federal Financial Inc

    96,794       1,057  

Cathay General Bancorp

    25,871       1,217  

Central Pacific Financial Corp

    36,278       1,059  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Chimera Investment Corp ‡

     61,200     $ 745  

Citizens Financial Group Inc

    40,500       2,123  

CNA Financial Corp

    29,500       1,348  

CNO Financial Group Inc

    120,886       2,922  

Cohen & Steers Inc

    39,922       3,244  

Columbia Banking System Inc

    101,181       3,706  

Cowen Inc, Cl A

    30,173       895  

Customers Bancorp Inc *

     50,105       3,084  

Donnelley Financial Solutions Inc *

     19,300       620  

Enterprise Financial Services Corp

    23,638       1,169  

Equitable Holdings Inc

    30,200       986  

Essent Group Ltd

    17,600       778  

Evercore Inc, Cl A

    12,758       1,620  

Everest Re Group Ltd

    3,500       1,044  

FactSet Research Systems Inc

    7,044       2,861  

Federal Agricultural Mortgage Corp, Cl C

    5,750       711  

Fifth Third Bancorp

    23,500       1,124  

First American Financial Corp

    31,700       2,125  

First Financial Bankshares Inc

    95,906       4,596  

First Horizon Corp

    109,100       2,562  

First Merchants Corp

    93,651       4,096  

FirstMark Horizon Acquisition Corp, Cl A *

     22,835       227  

Flushing Financial Corp

    39,300       923  

FNB Corp/PA

    81,000       1,088  

FS KKR Capital Corp

    35,800       777  

Fulton Financial Corp

    114,825       2,069  

Globe Life Inc

    25,332       2,558  

Hamilton Lane Inc, Cl A

    79,083       6,176  

Hancock Whitney Corp

    40,905       2,278  

Hanmi Financial Corp

    62,800       1,640  

Home BancShares Inc/AR

    160,056       3,747  

HomeStreet Inc

    14,144       728  

Hope Bancorp Inc

    61,078       1,036  

Houlihan Lokey Inc, Cl A

    12,109       1,245  

KeyCorp

    78,400       1,965  

Lincoln National Corp

    14,100       951  

LPL Financial Holdings Inc

    7,537       1,364  

MarketAxess Holdings Inc

    4,049       1,544  

MFA Financial Inc ‡

     185,800       754  

MGIC Investment Corp

    81,200       1,233  

Morningstar Inc

    10,779       3,025  

Navient Corp

    92,300       1,625  

New Residential Investment Corp ‡

     85,300       885  

Oaktree Specialty Lending Corp

    218,200       1,626  

OceanFirst Financial Corp

    51,143       1,145  

OFG Bancorp

    42,300       1,192  

Pacific Premier Bancorp Inc

    64,956       2,514  

PacWest Bancorp

    206,460       10,203  

Piper Sandler Cos

    8,611       1,275  

Popular Inc

    24,900       2,287  

Preferred Bank/Los Angeles CA

    10,200       800  

Prosperity Bancshares Inc

    43,674       3,252  

 

 

 

84

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small/Mid Cap Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Provident Financial Services Inc

    47,787     $ 1,134  

Radian Group Inc

    40,700       973  

Regions Financial Corp

    63,600       1,538  

Reinsurance Group of America Inc, Cl A

    6,400       710  

RLI Corp

    10,345       1,050  

Selective Insurance Group Inc

    13,201       1,098  

Silvergate Capital Corp, Cl A *

     9,933       1,272  

Starwood Property Trust Inc ‡

     200,879       4,789  

StepStone Group Inc, Cl A

    30,334       1,047  

Stewart Information Services Corp

    20,147       1,368  

Stifel Financial Corp

    70,700       5,196  

Synovus Financial Corp

    19,300       1,016  

Towne Bank/Portsmouth VA

    33,035       1,030  

Umpqua Holdings Corp

    70,500       1,505  

United Community Banks Inc/GA

    149,579       5,783  

Universal Insurance Holdings Inc

    27,000       312  

Unum Group

    39,000       1,089  

Veritex Holdings Inc

    34,563       1,404  

Victory Capital Holdings Inc, Cl A

    22,000       730  

Voya Financial Inc (A)

     20,900       1,408  

Washington Federal Inc

    30,647       1,090  

WisdomTree Investments Inc (A)

     134,050       755  

Zions Bancorp NA

    37,000       2,623  
                 
              165,866  

Health Care — 11.2%

        

ABIOMED Inc *

     1,549       481  

Acadia Healthcare Co Inc *

     32,869       1,864  

Agios Pharmaceuticals Inc *

     15,158       472  

Alector Inc *

     47,424       751  

AMN Healthcare Services Inc *

     30,912       3,281  

Amphastar Pharmaceuticals Inc *

     47,141       1,306  

Arvinas Inc *

     6,688       433  

Avanos Medical Inc *

     15,025       532  

Axogen Inc *

     45,808       428  

C4 Therapeutics Inc *

     16,335       366  

Cano Health Inc *(A)

     84,572       412  

CareDx Inc *

     47,546       1,825  

Catalyst Pharmaceuticals Inc *

     248,700       1,940  

Certara Inc *

     19,574       496  

Chemed Corp

    7,787       3,724  

Community Health Systems Inc *

     79,649       837  

Cooper Cos Inc/The

    1,088       445  

Cross Country Healthcare Inc *

     45,056       1,006  

DaVita Inc *

     23,500       2,650  

Dynavax Technologies Corp, Cl A *(A)

     84,705       1,038  

Encompass Health Corp

    49,815       3,289  

Ensign Group Inc/The

    99,415       8,355  

Exact Sciences Corp *

     5,390       421  

Halozyme Therapeutics Inc *

     39,706       1,408  

HealthEquity Inc *

     19,328       1,038  

Henry Schein Inc *

     14,598       1,261  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Heron Therapeutics Inc *(A)

     62,156     $ 441  

Hologic Inc *

     15,595       1,110  

Innoviva Inc *

     89,300       1,715  

Inotiv Inc *

     27,875       737  

Inspire Medical Systems Inc *

     10,615       2,591  

Integer Holdings Corp *

     11,088       930  

Intercept Pharmaceuticals Inc *(A)

     58,924       840  

Ironwood Pharmaceuticals Inc, Cl A *

     97,700       1,051  

iTeos Therapeutics Inc *

     24,235       876  

Jazz Pharmaceuticals PLC *

     13,000       1,786  

Kiniksa Pharmaceuticals Ltd, Cl A *

     77,773       796  

Lannett Co Inc *

     35,947       30  

Lantheus Holdings Inc *

     47,692       2,281  

LeMaitre Vascular Inc

    73,258       3,478  

LivaNova PLC *

     12,528       987  

Masimo Corp *

     3,413       537  

MEDNAX Inc *

     24,542       576  

Merit Medical Systems Inc *

     43,452       2,826  

Mesa Laboratories Inc

    4,027       1,028  

Nevro Corp *

     7,995       573  

NextGen Healthcare Inc *

     67,877       1,326  

Omnicell Inc *

     39,356       5,088  

Option Care Health Inc *

     48,519       1,247  

Prestige Consumer Healthcare Inc *

     22,368       1,332  

Privia Health Group Inc *

     25,163       648  

Progyny Inc *

     51,442       2,025  

Quest Diagnostics Inc

    33,101       4,345  

Quidel Corp *

     14,069       1,488  

REGENXBIO Inc *

     31,209       818  

Relay Therapeutics Inc *

     16,943       409  

Repligen Corp *

     20,150       3,964  

Select Medical Holdings Corp

    34,800       806  

Sotera Health Co *

     39,937       873  

SpringWorks Therapeutics Inc *

     8,518       482  

STERIS PLC

    29,873       7,170  

Supernus Pharmaceuticals Inc *

     33,912       1,084  

Syneos Health Inc, Cl A *

     71,866       5,692  

Talis Biomedical Corp *(A)

     19,294       40  

Travere Therapeutics Inc *

     40,035       1,091  

United Therapeutics Corp *

     18,640       3,098  

Universal Health Services Inc, Cl B

    13,600       1,957  

US Physical Therapy Inc

    24,999       2,299  

Vanda Pharmaceuticals Inc *

     47,400       538  

Veracyte Inc *

     23,995       667  

Vir Biotechnology Inc *

     19,970       503  
                 
              114,238  

Industrials — 18.2%

        

ABM Industries Inc

    94,221       4,224  

Acuity Brands Inc

    9,400       1,714  

ACV Auctions Inc, Cl A *

     91,568       1,208  

AGCO Corp

    20,900       2,511  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

85

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small/Mid Cap Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Air Lease Corp, Cl A

    63,063     $ 2,633  

Alight Inc *

     89,552       935  

Allison Transmission Holdings Inc, Cl A

    132,892       5,308  

Apogee Enterprises Inc

    31,100       1,402  

Applied Industrial Technologies Inc

    11,101       1,122  

ArcBest Corp

    25,905       2,401  

Atkore Inc *

     35,867       3,648  

Atlas Air Worldwide Holdings Inc *

     24,315       1,905  

Beacon Roofing Supply Inc *

     21,958       1,311  

BlueLinx Holdings Inc *

     15,239       1,362  

Boise Cascade Co

    14,660       1,172  

BWX Technologies Inc

    111,108       5,935  

Carlisle Cos Inc

    18,115       4,300  

CH Robinson Worldwide Inc

    20,347       1,967  

Chart Industries Inc *

     10,060       1,453  

Cimpress PLC *

     9,358       590  

Clean Harbors Inc *

     12,478       1,191  

Colfax Corp *

     141,529       5,691  

CoreCivic Inc *‡

     62,100       566  

Crane Co

    14,800       1,496  

Deluxe Corp

    26,200       815  

EMCOR Group Inc

    9,524       1,100  

Ennis Inc

    45,100       847  

Exponent Inc

    47,180       4,471  

Federal Signal Corp

    25,110       907  

Forward Air Corp

    12,435       1,283  

GATX Corp

    11,347       1,210  

Genco Shipping & Trading Ltd

    53,000       1,022  

Generac Holdings Inc *

     11,284       3,560  

GFL Environmental Inc

    82,672       2,418  

GMS Inc *

     19,072       1,035  

GXO Logistics Inc *

     39,945       3,353  

Heartland Express Inc

    17,525       252  

Heidrick & Struggles International Inc

    23,386       1,000  

Helios Technologies Inc

    34,868       2,734  

Herc Holdings Inc

    29,079       4,627  

Hillenbrand Inc

    45,643       2,178  

Hub Group Inc, Cl A *

     13,992       1,181  

Huntington Ingalls Industries Inc

    20,234       4,136  

Insperity Inc

    26,871       2,417  

Interface Inc, Cl A

    129,875       1,695  

JetBlue Airways Corp *

     61,600       941  

John Bean Technologies Corp

    23,944       2,714  

Kaman Corp

    44,588       1,936  

KAR Auction Services Inc *

     225,963       4,171  

Kforce Inc

    14,817       1,114  

Kirby Corp *

     23,207       1,512  

Korn Ferry

    14,240       943  

Landstar System Inc

    19,585       3,024  

ManpowerGroup Inc

    14,300       1,520  

ManTech International Corp/VA, Cl A

    34,048       2,839  

Matson Inc

    28,069       3,109  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

MDU Resources Group Inc

    58,000     $ 1,553  

Meritor Inc *

     62,300       2,218  

Middleby Corp/The *

     7,554       1,342  

MSC Industrial Direct Co Inc, Cl A

    20,573       1,594  

Nordson Corp

    11,401       2,582  

NOW Inc *

     119,921       1,120  

NV5 Global Inc *

     22,780       2,443  

Oshkosh Corp

    8,300       922  

Owens Corning

    18,500       1,724  

Planet Labs PBC *(A)

     114,616       646  

Quad/Graphics Inc, Cl A *(A)

     86,600       475  

Ritchie Bros Auctioneers Inc

    37,372       1,957  

Ryder System Inc

    15,400       1,214  

Sensata Technologies Holding PLC *

     44,996       2,606  

Simpson Manufacturing Co Inc

    9,072       1,075  

SkyWest Inc *

     13,600       382  

Snap-on Inc

    20,741       4,359  

Standex International Corp

    39,693       4,205  

Sterling Check Corp *(A)

     24,396       514  

Tennant Co

    18,573       1,463  

Tetra Tech Inc

    14,439       2,292  

Timken Co/The

    12,700       833  

Titan Machinery Inc *

     38,396       1,088  

Trex Co Inc *

     16,787       1,542  

TriNet Group Inc *

     18,357       1,603  

Triton International Ltd

    42,600       2,798  

UFP Industries Inc

    56,409       4,837  

UniFirst Corp/MA

    13,040       2,363  

Vectrus Inc *

     12,800       587  

WillScot Mobile Mini Holdings Corp, Cl A *

     158,133       5,618  

Woodward Inc

    4,818       600  

XPO Logistics Inc *

     46,409       3,373  

Zurn Water Solutions Corp

    54,215       1,763  
                 
              185,800  

Information Technology — 13.1%

        

8x8 Inc *

     89,914       1,165  

ACI Worldwide Inc *

     144,370       4,839  

Alarm.com Holdings Inc *

     4,959       326  

Alpha & Omega Semiconductor Ltd *

     21,563       1,159  

Altair Engineering Inc, Cl A *

     9,359       622  

Amdocs Ltd

    22,600       1,779  

Amkor Technology Inc

    104,400       2,367  

Anaplan Inc *

     12,752       604  

Arrow Electronics Inc *

     18,900       2,304  

AudioCodes Ltd

    97,463       2,762  

Avalara Inc *

     13,364       1,389  

Azenta Inc

    35,748       3,129  

Belden Inc

    27,705       1,561  

Box Inc, Cl A *

     43,059       1,103  

Broadridge Financial Solutions Inc

    18,117       2,649  

ChannelAdvisor Corp *

     15,261       274  

 

 

 

86

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small/Mid Cap Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Cirrus Logic Inc *

     10,700     $ 929  

CMC Materials Inc

    4,732       878  

Cognex Corp

    23,761       1,605  

Cognyte Software Ltd *

     122,436       1,366  

Consensus Cloud Solutions Inc *

     8,470       471  

CSG Systems International Inc

    18,241       1,126  

CTS Corp

    31,605       1,199  

Diodes Inc *

     11,979       1,073  

Ebix Inc (A)

     21,500       635  

Euronet Worldwide Inc *

     30,845       3,955  

Evo Payments Inc, Cl A *

     21,184       511  

ExlService Holdings Inc *

     11,418       1,379  

Extreme Networks Inc *

     100,885       1,159  

GLOBALFOUNDRIES Inc *(A)

     27,224       1,655  

I3 Verticals Inc, Cl A *

     38,900       1,027  

Jabil Inc

    42,700       2,468  

Jack Henry & Associates Inc

    18,968       3,354  

Juniper Networks Inc

    34,500       1,166  

KnowBe4 Inc, Cl A *

     29,043       585  

Kulicke & Soffa Industries Inc

    85,936       4,489  

Littelfuse Inc

    25,164       6,498  

Mandiant Inc *

     24,544       486  

Mimecast Ltd *

     16,686       1,327  

Momentive Global Inc *

     64,507       1,014  

Monday.com Ltd *

     1,769       281  

N-able Inc *

     77,876       901  

NCR Corp *

     21,400       867  

New Relic Inc *

     14,348       950  

Nova Ltd *

     32,530       3,409  

Novanta Inc *

     18,138       2,478  

ON Semiconductor Corp *

     33,189       2,078  

PAR Technology Corp *(A)

     19,544       820  

Perficient Inc *

     10,412       1,061  

Ping Identity Holding Corp *

     19,831       417  

Power Integrations Inc

    41,733       3,756  

Repay Holdings Corp, Cl A *

     61,413       1,061  

Sanmina Corp *

     25,300       1,006  

Seagate Technology Holdings PLC

    27,000       2,785  

Silicon Motion Technology Corp ADR

    73,196       5,310  

SMART Global Holdings Inc *

     43,820       1,203  

Smartsheet Inc, Cl A *

     12,611       671  

SolarWinds Corp *

     31,427       426  

Sprout Social Inc, Cl A *

     28,859       1,879  

SPS Commerce Inc *

     26,617       3,456  

Sumo Logic Inc *

     47,833       576  

Super Micro Computer Inc *

     27,009       1,061  

Switch Inc, Cl A

    120,903       3,146  

TaskUS Inc, Cl A *

     24,590       706  

TD SYNNEX Corp

    10,700       1,090  

Teledyne Technologies Inc *

     5,612       2,410  

Tenable Holdings Inc *

     8,857       490  

Trimble Inc *

     16,719       1,166  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

TTEC Holdings Inc

    38,432     $ 3,055  

TTM Technologies Inc *

     68,500       861  

Ultra Clean Holdings Inc *

     37,763       1,730  

Universal Display Corp

    18,568       2,876  

Verint Systems Inc *

     79,951       4,016  

Verra Mobility Corp, Cl A *

     70,935       1,192  

Viavi Solutions Inc *

     146,480       2,402  

Vishay Intertechnology Inc

    87,476       1,679  

Western Union Co/The

    32,400       589  

Xerox Holdings Corp

    43,900       865  

Zendesk Inc *

     15,302       1,785  
                 
              134,897  

Materials — 6.0%

        

AdvanSix Inc

    24,561       984  

Ashland Global Holdings Inc

    42,980       3,966  

Axalta Coating Systems Ltd *

     152,977       4,137  

Berry Global Group Inc *

     31,500       1,910  

Cabot Corp

    34,300       2,509  

Celanese Corp, Cl A

    16,000       2,228  

Chemours Co/The

    29,500       814  

Commercial Metals Co

    30,214       1,165  

Eastman Chemical Co

    7,500       889  

FMC Corp

    59,199       6,941  

Graphic Packaging Holding Co

    37,323       768  

Huntsman Corp

    48,000       1,941  

Materion Corp

    13,700       1,145  

Mosaic Co/The

    51,060       2,677  

O-I Glass Inc *

     89,400       1,143  

Quaker Chemical Corp

    12,901       2,395  

Ranpak Holdings Corp, Cl A *

     59,355       1,436  

Reliance Steel & Aluminum Co

    32,793       6,259  

Schweitzer-Mauduit International Inc

    22,500       702  

Silgan Holdings Inc

    180,921       7,577  

Steel Dynamics Inc

    13,000       918  

Summit Materials Inc, Cl A *

     57,783       1,804  

TimkenSteel Corp *

     63,600       1,147  

Trinseo PLC

    29,242       1,519  

Tronox Holdings PLC

    77,781       1,579  

Valvoline Inc

    22,900       740  

Westrock Co

    49,900       2,259  
                 
              61,552  

Real Estate — 6.6%

        

Americold Realty Trust ‡

     71,485       1,910  

Apple Hospitality REIT Inc ‡

     210,355       3,721  

Brandywine Realty Trust ‡

     80,600       1,074  

Brixmor Property Group Inc ‡

     69,700       1,751  

Centerspace ‡

     11,044       1,038  

City Office REIT Inc ‡

     72,700       1,252  

CTO Realty Growth Inc ‡

     12,210       765  

Cushman & Wakefield PLC *

     115,284       2,527  

EastGroup Properties Inc ‡

     6,033       1,151  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

87

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small/Mid Cap Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

eXp World Holdings Inc (A)

     91,504     $ 2,447  

Four Corners Property Trust Inc ‡

     37,155       980  

Franklin Street Properties Corp ‡

     150,900       872  

Gaming and Leisure Properties Inc ‡

     146,097       6,634  

Howard Hughes Corp/The *

     29,797       2,848  

Independence Realty Trust Inc ‡

     46,416       1,173  

Industrial Logistics Properties Trust ‡

     35,900       803  

Innovative Industrial Properties Inc, Cl A ‡

     13,461       2,537  

Iron Mountain Inc ‡

     28,700       1,412  

Kennedy-Wilson Holdings Inc

    107,229       2,374  

Kite Realty Group Trust ‡

     118,608       2,601  

Medical Properties Trust Inc ‡

     324,535       6,601  

National Storage Affiliates Trust ‡

     16,892       984  

Newmark Group Inc, Cl A

    269,449       4,764  

NexPoint Residential Trust Inc ‡

     47,613       4,046  

Office Properties Income Trust ‡

     45,400       1,137  

Omega Healthcare Investors Inc ‡

     29,900       842  

Pebblebrook Hotel Trust ‡

     49,721       1,119  

Phillips Edison & Co Inc ‡

     9,992       323  

Piedmont Office Realty Trust Inc, Cl A ‡

     55,300       942  

RE/MAX Holdings Inc, Cl A

    21,552       639  

Retail Value Inc *‡

     6,428       20  

RPT Realty ‡

     65,300       846  

Sabra Health Care Inc ‡

     81,500       1,095  

Service Properties Trust ‡

     48,500       419  

SITE Centers Corp ‡

     69,418       1,080  

Tanger Factory Outlet Centers Inc ‡(A)

     132,444       2,209  

Uniti Group Inc ‡

     71,260       924  
                 
              67,860  

Utilities — 1.7%

        

Algonquin Power & Utilities Corp (A)

     244,538       3,541  

Chesapeake Utilities Corp

    8,810       1,171  

National Fuel Gas Co

    20,600       1,282  

NRG Energy Inc

    59,700       2,259  

Otter Tail Corp

    21,421       1,325  

PNM Resources Inc

    23,100       1,044  

Portland General Electric Co

    17,773       902  

UGI Corp

    95,129       3,657  

Vistra Corp

    104,200       2,378  
                 
              17,559  

Total Common Stock

               

(Cost $794,253) ($ Thousands)

             1,000,219  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 2.4%

SEI Liquidity Fund, L.P.

                

0.050% **†(C)

     24,542,306     $ 24,538  
                 
                 

Total Affiliated Partnership

                

(Cost $24,543) ($ Thousands)

     24,538  
                 
                 
                 

CASH EQUIVALENT — 3.2%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     32,681,245       32,681  
                 

Total Cash Equivalent

                

(Cost $32,681) ($ Thousands)

             32,681  
                 
                 

Total Investments in Securities — 103.1%

                

(Cost $851,477) ($ Thousands)

  $ 1,057,438  
                 
                 
                 

 

 

Percentages are based on Net Assets of $1,026,096 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at February 28, 2022. The total market value of securities on loan at February 28, 2022 was $23,986 ($ Thousands).

(B)

Security is a Master Limited Partnership. At February 28, 2022, such securities amounted to $4,741 ($ Thousands), or 0.5% of the Net Assets of the Fund.

(C)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of February 28, 2022 was $24,538 ($ Thousands).

 

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

REIT — Real Estate investment Trust

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Common Stock

     1,000,219       –       –       1,000,219  

Affiliated Partnership

     –       24,538       –       24,538  

Cash Equivalent

     32,681       –       –       32,681  

Total Investments in Securities

     1,032,900       24,538       –       1,057,438  

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

 

88

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Small/Mid Cap Equity Fund (Concluded)

 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value

5/31/2021

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain

(Loss)

    

Change in Unrealized Appreciation (Depreciation)

    

Value

2/28/2022

    

Shares

    

Income

    

Capital Gains

  

SEI Liquidity Fund, L.P.

   $ 65,133     $ 170,618     $ (211,207 )   $ 8     $ (14 )   $ 24,538       24,542,306     $ 68     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     30,279       324,179       (321,778 )     1       —       32,681       32,681,245       3       —  

Totals

   $ 95,412     $ 494,797     $ (532,985 )   $ 9     $ (14 )   $ 57,219             $ 71     $ —  

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

89

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

U.S. Equity Factor Allocation Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 99.3%
                 

Communication Services — 9.6%

        

Alphabet Inc, Cl A *

     6,435     $ 17,382  

Alphabet Inc, Cl C *

     9,086       24,512  

Altice USA Inc, Cl A *

     88,585       1,024  

AT&T Inc

    386,272       9,151  

Cars.com Inc *

     46,987       760  

Clear Channel Outdoor Holdings Inc, Cl A *

     83,642       313  

Comcast Corp, Cl A

    114,414       5,350  

Interpublic Group of Cos Inc/The

    62,715       2,308  

John Wiley & Sons Inc, Cl A

    1,114       56  

Meta Platforms Inc, Cl A *

     39,717       8,381  

News Corp, Cl A

    43,215       965  

Omnicom Group Inc

    62,439       5,238  

Playtika Holding Corp *

     16,361       337  

Scholastic Corp

    11,126       468  

Sirius XM Holdings Inc

    26,583       164  

Verizon Communications Inc

    208,104       11,169  

Walt Disney Co/The *

     639       95  

WideOpenWest Inc *

     15,427       262  

Ziff Davis Inc *

     30,210       3,039  
                 
              90,974  

Consumer Discretionary — 10.3%

        

Aaron's Co Inc/The

    20,916       439  

Academy Sports & Outdoors Inc *

     68,077       2,204  

Amazon.com Inc *

     4,659       14,309  

AutoNation Inc *

     4,604       528  

AutoZone Inc *

     3,113       5,801  

Bath & Body Works Inc

    121,469       6,483  

Big 5 Sporting Goods Corp

    13,989       232  

Boyd Gaming Corp

    18,113       1,285  

Carriage Services Inc, Cl A

    4,572       225  

Cato Corp/The, Cl A

    12,943       228  

Crocs Inc *

     6,475       542  

Dick's Sporting Goods Inc

    8,099       850  

Domino's Pizza Inc

    4,509       1,949  

eBay Inc

    74,471       4,065  

Ethan Allen Interiors Inc

    15,042       392  

Foot Locker Inc

    14,648       463  

Ford Motor Co

    68,912       1,210  

Garmin Ltd

    4,661       515  

Genesco Inc *

     9,886       634  

Genuine Parts Co

    4,520       552  

Graham Holdings Co, Cl B

    2,636       1,585  

H&R Block Inc

    132,819       3,295  

Home Depot Inc/The

    3,516       1,111  

International Game Technology PLC

    19,823       607  

Lennar Corp, Cl A

    60,090       5,401  

Lennar Corp, Cl B

    10,273       776  

Lowe's Cos Inc

    5,098       1,127  

Lululemon Athletica Inc *

     3,030       969  

Macy's Inc

    219,869       5,699  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Mattel Inc *

     59,249     $ 1,480  

NIKE Inc, Cl B

    4,591       627  

O'Reilly Automotive Inc *

     1,570       1,019  

Oxford Industries Inc

    4,521       400  

Perdoceo Education Corp *

     48,283       506  

Pool Corp

    1,198       549  

PulteGroup Inc

    54,314       2,697  

Qurate Retail Inc

    262,032       1,444  

Sally Beauty Holdings Inc *

     33,171       573  

Shutterstock Inc

    15,895       1,439  

Signet Jewelers Ltd

    24,413       1,721  

Smith & Wesson Brands Inc

    35,457       625  

Starbucks Corp

    7,596       697  

Stride Inc *

     12,327       414  

Sturm Ruger & Co Inc

    11,010       797  

Target Corp

    33,444       6,681  

Taylor Morrison Home Corp, Cl A *

     83,745       2,470  

Tempur Sealy International Inc

    3,197       106  

Tesla Inc *

     1,186       1,032  

TJX Cos Inc/The

    32,074       2,120  

Toll Brothers Inc

    17,864       969  

Tractor Supply Co

    3,540       721  

Tri Pointe Homes Inc *

     84,204       1,884  

Vista Outdoor Inc *

     45,116       1,644  

Williams-Sonoma Inc

    3,815       553  

Winmark Corp

    256       58  

Yum! Brands Inc

    7,195       882  
                 
              97,584  

Consumer Staples — 9.2%

        

Albertsons Cos Inc, Cl A

    105,137       3,065  

Altria Group Inc

    64,832       3,325  

Andersons Inc/The

    7,594       346  

Archer-Daniels-Midland Co

    13,703       1,075  

Brown-Forman Corp, Cl A

    1,350       82  

Brown-Forman Corp, Cl B

    5,741       374  

Bunge Ltd

    63,957       6,687  

Casey's General Stores Inc

    1,167       219  

Church & Dwight Co Inc

    6,850       670  

Coca-Cola Co/The

    33,893       2,109  

Colgate-Palmolive Co

    48,581       3,738  

Costco Wholesale Corp

    4,102       2,130  

Estee Lauder Cos Inc/The, Cl A

    5,647       1,673  

Flowers Foods Inc

    5,717       157  

General Mills Inc

    2,933       198  

Herbalife Nutrition Ltd *

     61,912       2,203  

Hershey Co/The

    7,178       1,452  

Ingles Markets Inc, Cl A

    10,720       881  

Ingredion Inc

    2,095       186  

J M Smucker Co/The

    33,412       4,502  

Keurig Dr Pepper Inc

    7,543       292  

Kroger Co/The

    244,950       11,464  

 

 

 

90

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

U.S. Equity Factor Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Monster Beverage Corp *

     10,542     $ 890  

Nature's Sunshine Products Inc

    7,437       130  

PepsiCo Inc

    29,761       4,873  

Philip Morris International Inc

    34,871       3,525  

Procter & Gamble Co/The

    98,387       15,338  

SpartanNash Co

    21,003       591  

Tyson Foods Inc, Cl A

    28,973       2,685  

United Natural Foods Inc *

     13,045       525  

Village Super Market Inc, Cl A

    5,775       132  

Walgreens Boots Alliance Inc

    94,996       4,378  

Walmart Inc

    57,108       7,719  

WD-40 Co

    415       88  

Weis Markets Inc

    1,976       122  
                 
              87,824  

Energy — 2.0%

        

APA Corp

    119,298       4,251  

California Resources Corp

    22,893       944  

Chesapeake Energy Corp

    9,512       735  

Chevron Corp

    8,601       1,238  

ConocoPhillips

    27,593       2,617  

EOG Resources Inc

    13,208       1,518  

Exxon Mobil Corp

    63,454       4,976  

Marathon Oil Corp

    30,617       691  

Oasis Petroleum Inc

    2,228       295  

Whiting Petroleum Corp

    21,545       1,591  
                 
              18,856  

Financials — 12.9%

        

Aflac Inc

    19,461       1,189  

AGNC Investment Corp ‡

     369,292       4,768  

Ally Financial Inc

    152,672       7,618  

Amalgamated Financial Corp

    8,564       147  

American Financial Group Inc/OH

    2,072       281  

Ameriprise Financial Inc

    753       226  

Annaly Capital Management Inc ‡

     55,869       389  

Apollo Global Management Inc

    40,574       2,648  

Ares Management Corp, Cl A

    10,105       819  

Bank of America Corp

    5,050       223  

Berkshire Hathaway Inc, Cl B *

     1,244       400  

Blackstone Inc, Cl A

    2,020       257  

Brighthouse Financial Inc *

     60,749       3,175  

Brightsphere Investment Group Inc

    38,073       909  

Capital Bancorp Inc

    5,428       135  

Capital One Financial Corp

    64,131       9,829  

Carlyle Group Inc/The

    48,152       2,257  

Chimera Investment Corp ‡

     164,109       1,997  

Citigroup Inc

    140,146       8,301  

Civista Bancshares Inc

    10,579       258  

CNB Financial Corp/PA

    10,346       271  

Cohen & Steers Inc

    2,437       198  

Cowen Inc, Cl A

    17,477       518  

Credit Acceptance Corp *

     625       344  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Customers Bancorp Inc *

     20,547     $ 1,265  

Discover Financial Services

    5,499       679  

Donegal Group Inc, Cl A

    9,889       135  

Donnelley Financial Solutions Inc *

     29,237       938  

FactSet Research Systems Inc

    1,086       441  

Fidelity National Financial Inc

    7,849       374  

Financial Institutions Inc

    10,972       350  

First American Financial Corp

    31,877       2,137  

First BanCorp/Puerto Rico

    173,110       2,444  

First Bank

    10,498       153  

First Republic Bank/CA

    2,741       475  

FS Bancorp Inc

    5,024       161  

Genworth Financial Inc, Cl A *

     353,253       1,434  

Greenlight Capital Re Ltd, Cl A *

     18,058       130  

Hanover Insurance Group Inc/The

    1,192       166  

Home Bancorp Inc

    5,231       205  

Houlihan Lokey Inc, Cl A

    14,947       1,537  

Independent Bank Corp/MI

    14,771       352  

JPMorgan Chase & Co

    656       93  

KKR & Co Inc

    13,059       785  

Luther Burbank Corp

    11,625       150  

Merchants Bancorp/IN

    10,114       293  

Metropolitan Bank Holding Corp *

     2,910       298  

MFA Financial Inc ‡

     355,266       1,442  

MidWestOne Financial Group Inc

    9,770       295  

Mr Cooper Group Inc *

     17,019       865  

Navient Corp

    124,406       2,191  

New Residential Investment Corp ‡

     269,937       2,802  

New York Community Bancorp Inc

    298,087       3,440  

OFG Bancorp

    34,620       976  

Popular Inc

    60,974       5,600  

Preferred Bank/Los Angeles CA

    3,927       308  

Prudential Financial Inc

    44,506       4,970  

QCR Holdings Inc

    10,390       580  

Raymond James Financial Inc

    27,321       2,996  

RBB Bancorp

    9,848       237  

Redwood Trust Inc ‡

     74,163       771  

RenaissanceRe Holdings Ltd

    11,399       1,719  

S&P Global Inc

    4,297       1,614  

Sculptor Capital Management Inc, Cl A (A)

     14,687       188  

Signature Bank/New York NY

    5,516       1,902  

SiriusPoint Ltd *

     53,500       395  

SLM Corp

    265,229       5,225  

South Plains Financial Inc

    7,130       197  

Southern Missouri Bancorp Inc

    5,350       287  

State Street Corp

    47,804       4,079  

Stewart Information Services Corp

    8,511       578  

Stifel Financial Corp

    6,797       500  

Summit Financial Group Inc

    7,948       217  

Synchrony Financial

    184,593       7,897  

T Rowe Price Group Inc

    4,823       697  

Travelers Cos Inc/The

    4,395       755  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

91

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

U.S. Equity Factor Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

W R Berkley Corp

    24,584     $ 2,220  

Washington Federal Inc

    44,816       1,595  

Wells Fargo & Co

    52,841       2,820  
                 
              122,510  

Health Care — 15.8%

        

Abbott Laboratories

    3,302       398  

AbbVie Inc

    33,987       5,022  

Agilent Technologies Inc

    1,395       182  

Allscripts Healthcare Solutions Inc *

     35,794       697  

AmerisourceBergen Corp, Cl A

    51,600       7,355  

Amgen Inc

    11,475       2,599  

AMN Healthcare Services Inc *

     11,905       1,264  

Avantor Inc *

     46,859       1,626  

Avid Bioservices Inc *

     12,800       262  

Baxter International Inc

    3,171       269  

Bio-Rad Laboratories Inc, Cl A *

     1,667       1,043  

Bristol-Myers Squibb Co

    60,800       4,175  

Bruker Corp

    8,057       567  

Cardinal Health Inc

    142,461       7,694  

Catalent Inc *

     6,412       654  

Community Health Systems Inc *

     80,718       848  

CorVel Corp *

     2,004       319  

Cross Country Healthcare Inc *

     10,567       236  

CVS Health Corp

    112,217       11,631  

Danaher Corp

    27,329       7,499  

DaVita Inc *

     26,362       2,973  

Edwards Lifesciences Corp *

     962       108  

Eli Lilly & Co

    2,886       721  

Endo International PLC *

     147,175       458  

Fulgent Genetics Inc *

     14,617       911  

Gilead Sciences Inc

    76,890       4,644  

HCA Healthcare Inc

    6,939       1,737  

Henry Schein Inc *

     4,268       369  

Hologic Inc *

     82,925       5,902  

IDEXX Laboratories Inc *

     2,405       1,280  

IQVIA Holdings Inc *

     1,924       443  

Johnson & Johnson

    40,903       6,732  

Laboratory Corp of America Holdings *

     18,824       5,106  

McKesson Corp

    49,360       13,572  

Medpace Holdings Inc *

     2,998       459  

Medtronic PLC

    20,818       2,186  

Merck & Co Inc

    9,118       698  

Merit Medical Systems Inc *

     5,963       388  

Mettler-Toledo International Inc *

     691       973  

Moderna Inc *

     1,434       220  

Option Care Health Inc *

     10,104       260  

Organon & Co

    140,626       5,250  

Pfizer Inc

    232,633       10,920  

Prestige Consumer Healthcare Inc *

     2,766       165  

Quest Diagnostics Inc

    39,218       5,148  

Regeneron Pharmaceuticals Inc *

     3,100       1,917  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

ResMed Inc

    385     $ 95  

Senseonics Holdings Inc *

     127,189       229  

STAAR Surgical Co *

     5,130       407  

Tenet Healthcare Corp *

     29,537       2,540  

Thermo Fisher Scientific Inc

    10,613       5,773  

United Therapeutics Corp *

     31,830       5,290  

UnitedHealth Group Inc

    8,313       3,956  

Veeva Systems Inc, Cl A *

     2,677       613  

Vertex Pharmaceuticals Inc *

     6,925       1,593  

Viatris Inc, Cl W *

     113,125       1,246  

Waters Corp *

     1,961       621  

Zoetis Inc, Cl A

    2,693       521  
                 
              150,764  

Industrials — 6.5%

        

3M Co

    5,077       755  

A O Smith Corp

    4,028       276  

ACCO Brands Corp

    65,212       561  

AMERCO

    1,163       672  

Argan Inc

    10,080       392  

Atlas Air Worldwide Holdings Inc *

     19,617       1,537  

Builders FirstSource Inc *

     12,182       907  

CACI International Inc, Cl A *

     7,017       1,963  

Caesarstone Ltd

    14,105       169  

Carlisle Cos Inc

    12,496       2,967  

CH Robinson Worldwide Inc

    4,005       387  

Cintas Corp

    2,104       790  

Costamare Inc

    34,620       467  

Crane Co

    6,347       642  

Deere & Co

    8,570       3,085  

Donaldson Co Inc

    4,004       217  

Dover Corp

    4,114       645  

Eagle Bulk Shipping Inc

    6,091       321  

Emerson Electric Co

    3,302       307  

Encore Wire Corp

    13,802       1,607  

Expeditors International of Washington Inc

    52,290       5,405  

Fastenal Co

    5,517       284  

FTI Consulting Inc *

     470       69  

Genco Shipping & Trading Ltd

    21,080       406  

GEO Group Inc/The

    80,953       482  

Graco Inc

    5,055       364  

GrafTech International Ltd

    27,758       280  

Honeywell International Inc

    3,235       614  

IDEX Corp

    2,336       448  

Illinois Tool Works Inc

    4,044       875  

Johnson Controls International plc

    19,997       1,299  

Kadant Inc

    914       180  

Kforce Inc

    2,164       163  

Korn Ferry

    15,571       1,032  

L3Harris Technologies Inc

    3,381       853  

Landstar System Inc

    1,203       186  

Lennox International Inc

    1,018       272  

 

 

 

92

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

U.S. Equity Factor Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Lockheed Martin Corp

    2,324     $ 1,008  

ManpowerGroup Inc

    15,283       1,624  

Masco Corp

    64,438       3,611  

MSC Industrial Direct Co Inc, Cl A

    1,327       103  

Mueller Industries Inc

    16,740       955  

Nielsen Holdings PLC

    245,711       4,280  

Nordson Corp

    1,814       411  

Northrop Grumman Corp

    3,465       1,532  

Pentair PLC

    5,133       297  

Preformed Line Products Co

    2,111       118  

Robert Half International Inc

    37,678       4,532  

Rollins Inc

    6,919       226  

Ryder System Inc

    35,783       2,821  

Safe Bulkers Inc *

     39,276       164  

Schneider National Inc, Cl B

    12,439       325  

Science Applications International Corp

    6,936       608  

Simpson Manufacturing Co Inc

    1,174       139  

Snap-on Inc

    1,713       360  

Toro Co/The

    3,348       314  

TransUnion

    946       86  

TrueBlue Inc *

     767       21  

Tutor Perini Corp *

     28,884       283  

United Parcel Service Inc, Cl B

    14,469       3,045  

Waste Management Inc

    5,404       780  

Watts Water Technologies Inc, Cl A

    796       115  

WillScot Mobile Mini Holdings Corp, Cl A *

     62,915       2,235  
                 
              61,872  

Information Technology — 28.6%

        

Accenture PLC, Cl A

    12,927       4,085  

Advanced Micro Devices Inc *

     13,874       1,711  

Alpha & Omega Semiconductor Ltd *

     14,499       780  

Amdocs Ltd

    38,786       3,052  

Amkor Technology Inc

    70,131       1,590  

Amphenol Corp, Cl A

    9,722       739  

Apple Inc

    296,121       48,896  

Arista Networks Inc *

     20,047       2,460  

Arrow Electronics Inc *

     58,190       7,092  

Atlassian Corp PLC, Cl A *

     2,908       889  

Automatic Data Processing Inc

    2,770       566  

Avaya Holdings Corp *

     58,540       806  

Avnet Inc

    83,746       3,523  

Box Inc, Cl A *

     4,236       109  

Broadcom Inc

    2,054       1,207  

Cadence Design Systems Inc *

     13,253       2,007  

CDK Global Inc

    63,579       2,883  

Cirrus Logic Inc *

     4,575       397  

Cisco Systems Inc/Delaware

    16,749       934  

Cognizant Technology Solutions Corp, Cl A

    58,378       5,028  

CommScope Holding Co Inc *

     50,791       485  

CommVault Systems Inc *

     8,680       546  

Concentrix Corp

    6,571       1,313  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Conduent Inc *

     113,125     $ 551  

Crowdstrike Holdings Inc, Cl A *

     1,023       200  

CSG Systems International Inc

    22,989       1,419  

Datadog Inc, Cl A *

     11,099       1,788  

Dell Technologies Inc, Cl C

    12,716       648  

Diebold Nixdorf Inc *

     48,382       421  

Dolby Laboratories Inc, Cl A

    18,548       1,393  

Dropbox Inc, Cl A *

     134,015       3,041  

Dynatrace Inc *

     3,719       165  

EPAM Systems Inc *

     3,197       664  

EVERTEC Inc

    6,589       266  

F5 Inc *

     7,090       1,424  

Fair Isaac Corp *

     3,993       1,881  

Fiserv Inc *

     11,143       1,088  

Fortinet Inc *

     11,301       3,893  

Gartner Inc *

     4,630       1,298  

Genpact Ltd

    5,836       244  

HP Inc

    345,471       11,870  

Intel Corp

    185,117       8,830  

International Business Machines Corp

    71,337       8,740  

Intuit Inc

    2,517       1,194  

Jabil Inc

    84,207       4,868  

Juniper Networks Inc

    40,915       1,383  

Keysight Technologies Inc *

     4,414       695  

KLA Corp

    1,347       469  

Kulicke & Soffa Industries Inc

    41,319       2,159  

Lattice Semiconductor Corp *

     35,522       2,224  

Littelfuse Inc

    882       228  

Manhattan Associates Inc *

     9,298       1,243  

MaxLinear Inc, Cl A *

     4,253       261  

Microsoft Corp

    182,944       54,662  

Motorola Solutions Inc

    3,513       774  

NCR Corp *

     16,043       650  

NetApp Inc

    23,788       1,865  

NETGEAR Inc *

     19,298       514  

NortonLifeLock Inc

    244,052       7,073  

NVIDIA Corp

    28,639       6,984  

ON Semiconductor Corp *

     26,892       1,684  

Onto Innovation Inc *

     4,748       409  

Oracle Corp

    132,911       10,097  

Palo Alto Networks Inc *

     3,179       1,889  

Paychex Inc

    31,049       3,697  

Photronics Inc *

     60,946       1,123  

Progress Software Corp

    10,786       475  

QUALCOMM Inc

    26,606       4,576  

Rambus Inc *

     19,220       519  

Rimini Street Inc *

     29,063       132  

Sanmina Corp *

     43,381       1,726  

Skyworks Solutions Inc

    4,184       578  

SMART Global Holdings Inc *

     23,482       645  

Synaptics Inc *

     5,800       1,325  

Texas Instruments Inc

    4,696       798  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

93

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

U.S. Equity Factor Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Trade Desk Inc/The, Cl A *

     1,924     $ 164  

Unisys Corp *

     33,597       718  

Veeco Instruments Inc *

     14,805       423  

Verint Systems Inc *

     30,627       1,538  

VeriSign Inc *

     3,581       765  

Visa Inc, Cl A

    11,157       2,411  

Vishay Intertechnology Inc

    56,175       1,078  

VMware Inc, Cl A

    3,863       453  

Western Union Co/The

    284,137       5,166  

Xperi Holding Corp

    73,155       1,267  
                 
              271,824  

Materials — 1.0%

        

Avery Dennison Corp

    2,623       462  

Berry Global Group Inc *

     9,944       603  

CF Industries Holdings Inc

    4,125       335  

Chemours Co/The

    15,091       417  

Crown Holdings Inc

    19,423       2,383  

Dow Inc

    22,333       1,317  

NewMarket Corp

    193       61  

Olin Corp

    3,373       174  

Reliance Steel & Aluminum Co

    2,033       388  

Sealed Air Corp

    13,183       885  

Sensient Technologies Corp

    1,235       101  

Sherwin-Williams Co/The

    2,624       690  

Silgan Holdings Inc

    48,189       2,018  

Sonoco Products Co

    2,854       168  
                 
              10,002  

Real Estate — 2.0%

        

Alexandria Real Estate Equities Inc ‡

     512       97  

Brixmor Property Group Inc ‡

     11,638       292  

CBRE Group Inc, Cl A *

     30,150       2,920  

Cushman & Wakefield PLC *

     26,186       574  

Duke Realty Corp ‡

     8,617       457  

Easterly Government Properties Inc, Cl A ‡

     8,153       170  

EastGroup Properties Inc ‡

     2,485       474  

Equity Commonwealth *‡

     79,203       2,104  

Extra Space Storage Inc ‡

     13,077       2,460  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Independence Realty Trust Inc ‡

     30,743     $ 777  

Jones Lang LaSalle Inc *

     7,961       1,960  

Marcus & Millichap Inc

    7,021       349  

Newmark Group Inc, Cl A

    17,447       308  

Prologis Inc ‡

     10,935       1,595  

Realogy Holdings Corp *

     74,512       1,355  

Regency Centers Corp ‡

     16,036       1,057  

Simon Property Group Inc ‡

     4,732       651  

SITE Centers Corp ‡

     33,044       514  

Spirit Realty Capital Inc ‡

     2,478       115  
                 
              18,229  

Utilities — 1.4%

        

American Water Works Co Inc

    3,511       530  

Constellation Energy Corp

    39       2  

Exelon Corp

    158,728       6,755  

National Fuel Gas Co

    2,777       173  

NextEra Energy Inc

    17,427       1,364  

Otter Tail Corp

    12,038       745  

PG&E Corp *

     308,577       3,509  

UGI Corp

    6,618       254  
                 
              13,332  

Total Common Stock

               

(Cost $744,608) ($ Thousands)

             943,771  
                 
                 
                 

CASH EQUIVALENT — 0.1%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     879,023       879  
                 

Total Cash Equivalent

                

(Cost $879) ($ Thousands)

             879  
                 
                 

Total Investments in Securities — 99.4%

                

(Cost $745,487) ($ Thousands)

  $ 944,650  
                 
                 
                 

 

 

 
 

 

A list of open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     2       Mar-2022     $ 435     $ 437     $ 2  
                                         

 

 

 

Percentages are based on Net Assets of $949,971 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security.

 

(A)

Security is a Master Limited Partnership. At February 28, 2022, such securities amounted to $188 ($ Thousands), or 0.0% of the Net Assets of the Fund.

 

Cl — Class

Ltd. — Limited

PLC — Public Limited Company

 

 

 

94

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

U.S. Equity Factor Allocation Fund (Concluded)

 

S&P— Standard & Poor's

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund's investments and other financial instruments carried at value ($Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Common Stock

     943,771       –       –       943,771  

Cash Equivalent

     879       –       –       879  

Total Investments in Securities

     944,650       –       –       944,650  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Appreciation

     2       –       –       2  

Total Other Financial Instruments

     2       –       –       2  

 

*

Futures contracts are value at the unrealized appreciation on the instrument.

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 
 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ -     $ 178,345     $ (177,466 )   $ -     $ -     $ 879       879,023     $ 1     $ -  

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

95

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

U.S. Managed Volatility Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 98.3%
                 

Communication Services — 8.7%

        

Advantage Solutions Inc *

     38,245     $ 301  

Alphabet Inc, Cl A *

     786       2,123  

Alphabet Inc, Cl C *

     929       2,506  

AT&T Inc

    419,100       9,929  

Comcast Corp, Cl A

    203,507       9,516  

Electronic Arts Inc

    14,669       1,908  

Entravision Communications Corp, Cl A

    3,550       23  

Fox Corp

    202,610       8,300  

IMAX Corp *

     9,731       201  

Interpublic Group of Cos Inc/The

    15,468       569  

Meta Platforms Inc, Cl A *

     474       100  

Netflix Inc *

     1,524       601  

Nippon Telegraph & Telephone Corp ADR (A)

     140,100       4,050  

Omnicom Group Inc

    159,524       13,382  

Scholastic Corp

    11,162       470  

Shenandoah Telecommunications Co

    1,244       28  

SK Telecom Co Ltd ADR

    86,124       2,159  

Verizon Communications Inc

    487,334       26,155  

World Wrestling Entertainment Inc, Cl A

    54,452       3,227  
                 
              85,548  

Consumer Discretionary — 7.6%

        

AMMO *(A)

     12,020       57  

AutoZone Inc *

     3,200       5,963  

Canadian Tire Corp Ltd, Cl A

    23,900       3,522  

Choice Hotels International Inc

    5,620       811  

Domino's Pizza Inc

    1,214       525  

Dorman Products Inc *

     4,038       377  

DR Horton Inc

    49,600       4,236  

eBay Inc

    70,700       3,859  

Frontdoor Inc *

     10,522       316  

Gentex Corp

    27,539       834  

Graham Holdings Co, Cl B

    364       219  

H&R Block Inc

    168,643       4,184  

Hilton Worldwide Holdings Inc *

     271       40  

Honda Motor Co Ltd ADR

    112,200       3,429  

Marriott International Inc/MD, Cl A *

     12,067       2,053  

Murphy USA Inc

    23,900       4,320  

ONE Group Hospitality Inc/The *

     13,248       155  

Service Corp International/US

    79,600       4,844  

Standard Motor Products Inc

    7,340       321  

Sturm Ruger & Co Inc

    51,400       3,722  

Target Corp

    105,044       20,985  

Terminix Global Holdings Inc *

     11,308       481  

Toyota Motor Corp ADR (A)

     30,300       5,543  

Vail Resorts Inc

    8,732       2,275  

Winmark Corp

    384       87  

Yum China Holdings Inc

    31,014       1,613  
                 
              74,771  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Consumer Staples — 16.6%

        

Albertsons Cos Inc, Cl A

    12,575     $ 367  

Altria Group Inc

    118,300       6,068  

Archer-Daniels-Midland Co

    66,300       5,201  

Bunge Ltd

    19,491       2,038  

Calavo Growers Inc

    1,505       64  

Cal-Maine Foods Inc

    13,989       619  

Campbell Soup Co

    28,729       1,292  

Church & Dwight Co Inc

    39,497       3,865  

Clorox Co/The

    17,053       2,486  

Coca-Cola Co/The

    96,148       5,984  

Coca-Cola Consolidated Inc

    1,276       634  

Colgate-Palmolive Co

    77,290       5,947  

Conagra Brands Inc

    190,835       6,673  

Costco Wholesale Corp

    6,111       3,173  

Estee Lauder Cos Inc/The, Cl A

    3,389       1,004  

Flowers Foods Inc

    134,277       3,680  

General Mills Inc

    214,518       14,465  

Hain Celestial Group Inc/The *

     16,726       608  

Hershey Co/The

    33,316       6,738  

Hormel Foods Corp

    73,975       3,524  

Hostess Brands Inc, Cl A *

     26,059       561  

Ingles Markets Inc, Cl A

    405       33  

Ingredion Inc

    32,800       2,911  

Inter Parfums Inc

    1,987       185  

J & J Snack Foods Corp

    4,078       668  

J M Smucker Co/The

    106,831       14,395  

John B Sanfilippo & Son Inc

    8,548       680  

Kellogg Co (A)

     174,390       11,151  

Kraft Heinz Co/The

    199,900       7,840  

Kroger Co/The

    368,376       17,240  

Landec Corp *

     3,190       37  

MGP Ingredients Inc (A)

     2,705       215  

Mondelez International Inc, Cl A

    9,967       653  

PepsiCo Inc

    11,107       1,819  

PriceSmart Inc

    4,615       336  

Procter & Gamble Co/The

    32,293       5,034  

Reynolds Consumer Products Inc

    36,192       1,077  

Seaboard Corp

    73       282  

Simply Good Foods Co/The *

     14,309       567  

Tattooed Chef Inc *(A)

     2,218       27  

Tootsie Roll Industries Inc

    14,331       484  

Tyson Foods Inc, Cl A

    179,829       16,663  

Universal Corp/VA

    10,136       548  

USANA Health Sciences Inc *

     6,034       531  

Utz Brands Inc (A)

     24,841       379  

Vector Group Ltd

    33,330       374  

Village Super Market Inc, Cl A

    1,361       31  

Walmart Inc

    21,974       2,970  

WD-40 Co

    1,485       315  

Weis Markets Inc

    9,593       592  

 

 

 

96

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

U.S. Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Whole Earth Brands Inc *

     49,102     $ 466  
                 
              163,494  

Energy — 1.8%

        

Cheniere Energy Inc

    15,210       2,021  

Chevron Corp

    51,400       7,401  

DT Midstream Inc

    15,500       823  

EOG Resources Inc

    21,962       2,524  

Exxon Mobil Corp

    11,524       904  

Kinder Morgan Inc

    231,700       4,032  

SFL Corp Ltd

    11,649       116  
                 
              17,821  

Financials — 12.2%

        

Aflac Inc

    226,200       13,819  

AGNC Investment Corp ‡

     9,067       117  

Alerus Financial Corp

    3,967       114  

Allstate Corp/The

    137,000       16,763  

American Financial Group Inc/OH

    32,000       4,333  

Annaly Capital Management Inc ‡

     364,500       2,537  

Arbor Realty Trust Inc ‡

     15,238       274  

Argo Group International Holdings Ltd

    11,979       505  

Bank of New York Mellon Corp/The

    155,100       8,244  

Berkshire Hathaway Inc, Cl B *

     61,132       19,651  

Business First Bancshares Inc

    4,092       107  

Byline Bancorp Inc

    6,178       168  

Canadian Imperial Bank of Commerce

    44,100       5,578  

Cboe Global Markets Inc

    24,645       2,891  

Chimera Investment Corp ‡

     29,999       365  

Columbia Financial Inc *

     10,961       233  

Community Bank System Inc

    1,862       136  

Credit Acceptance Corp *

     4,134       2,274  

Dynex Capital Inc (A)

     31,885       490  

Eastern Bankshares Inc

    24,672       539  

Employers Holdings Inc

    7,980       310  

Everest Re Group Ltd

    14,000       4,175  

GCM Grosvenor (A)

     50,098       500  

Hartford Financial Services Group Inc/The

    68,500       4,759  

HCI Group Inc

    1,655       103  

HomeTrust Bancshares Inc

    1,457       44  

Houlihan Lokey Inc, Cl A

    5,584       574  

Invesco Mortgage Capital Inc

    65,282       142  

Investors Bancorp Inc

    320,600       5,367  

JPMorgan Chase & Co

    4,311       611  

Kearny Financial Corp/MD

    33,283       440  

KKR Real Estate Finance Trust Inc

    1,574       34  

Loblaw Cos Ltd

    76,100       5,932  

Marsh & McLennan Cos Inc

    23,614       3,670  

Mercury General Corp

    19,265       1,060  

MFA Financial Inc ‡

     67,862       275  

Morningstar Inc

    9,056       2,542  

National Bank Holdings Corp, Cl A

    11,323       502  

NI Holdings Inc *

     2,325       42  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

PCSB Financial Corp

    7,401     $ 138  

Ready Capital Corp

    18,762       279  

Redwood Trust Inc ‡

     20,404       212  

Safety Insurance Group Inc

    8,467       706  

StepStone Group Inc, Cl A

    11,089       383  

Stewart Information Services Corp

    6,303       428  

Two Harbors Investment Corp ‡

     50,914       258  

Virtu Financial Inc, Cl A

    84,210       2,954  

Waterstone Financial Inc

    16,306       319  

White Mountains Insurance Group Ltd

    1,381       1,450  

Zions Bancorp NA

    34,715       2,461  
                 
              119,808  

Health Care — 18.2%

        

AbbVie Inc

    101,193       14,953  

AdaptHealth Corp, Cl A *

     6,122       107  

Alkermes PLC *

     9,615       239  

Amgen Inc

    44,700       10,124  

AMN Healthcare Services Inc *

     3,122       331  

Amphastar Pharmaceuticals Inc *

     26,886       745  

Bristol-Myers Squibb Co

    355,033       24,380  

Cerner Corp

    41,666       3,885  

Citius Pharmaceuticals Inc *(A)

     77,130       119  

CONMED Corp

    200       29  

CVS Health Corp

    135,413       14,036  

Danaher Corp

    2,143       588  

DENTSPLY SIRONA Inc

    49,274       2,668  

Eagle Pharmaceuticals Inc/DE *

     3,712       176  

Gilead Sciences Inc

    260,249       15,719  

Harvard Bioscience Inc *

     3,095       17  

HealthStream Inc *

     10,051       206  

Henry Schein Inc *

     21,116       1,824  

Horizon Therapeutics PLC *

     7,567       690  

Ironwood Pharmaceuticals Inc, Cl A *

     28,422       306  

iTeos Therapeutics Inc *

     7,903       285  

Johnson & Johnson

    118,326       19,473  

McKesson Corp

    29,100       8,001  

Merck & Co Inc

    326,812       25,027  

Mesa Laboratories Inc

    1,152       294  

Natus Medical Inc *

     5,125       143  

Omnicell Inc *

     2,806       363  

Organogenesis Holdings Inc, Cl A *

     1,535       11  

Organon & Co

    28,260       1,055  

Orthofix Medical Inc *

     7,729       263  

Pacira BioSciences Inc *

     4,718       315  

Patterson Cos Inc

    11,274       337  

Pfizer Inc

    365,855       17,173  

Premier Inc, Cl A

    104,832       3,768  

Prestige Consumer Healthcare Inc *

     12,094       720  

QIAGEN NV *

     27,452       1,364  

Quest Diagnostics Inc

    28,100       3,689  

Regeneron Pharmaceuticals Inc *

     968       598  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

97

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

U.S. Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Sharps Compliance Corp *

     7,572     $ 47  

SIGA Technologies Inc *

     30,891       185  

United Therapeutics Corp *

     23,330       3,877  

Vanda Pharmaceuticals Inc *

     1,216       14  

Viemed Healthcare Inc *

     22,935       88  

West Pharmaceutical Services Inc

    2,130       824  

XBiotech Inc (A)

     3,309       33  
                 
              179,089  

Industrials — 8.3%

        

3M Co

    26,889       3,997  

Allison Transmission Holdings Inc, Cl A

    161,500       6,450  

AMERCO

    1,072       619  

AZZ Inc

    1,491       73  

BWX Technologies Inc

    5,736       306  

CBIZ Inc *

     10,386       404  

CH Robinson Worldwide Inc

    45,828       4,431  

Cummins Inc

    28,900       5,899  

Encore Wire Corp

    554       65  

Expeditors International of Washington Inc

    36,798       3,803  

Exponent Inc

    1,764       167  

FTI Consulting Inc *

     20,045       2,927  

General Dynamics Corp

    22,509       5,277  

Huntington Ingalls Industries Inc

    25,698       5,253  

JB Hunt Transport Services Inc

    651       132  

Kforce Inc

    2,887       217  

Korn Ferry

    2,486       165  

Landstar System Inc

    4,647       718  

Lockheed Martin Corp

    11,200       4,859  

Northrop Grumman Corp

    31,040       13,724  

Old Dominion Freight Line Inc

    2,261       710  

Otis Worldwide Corp

    13,855       1,085  

Republic Services Inc, Cl A

    22,800       2,742  

Robert Half International Inc

    38,243       4,600  

Schneider National Inc, Cl B

    122,700       3,205  

Snap-on Inc

    23,500       4,939  

Toro Co/The

    16,342       1,533  

TrueBlue Inc *

     865       24  

Werner Enterprises Inc

    77,491       3,368  
                 
              81,692  

Information Technology — 15.2%

        

A10 Networks Inc

    5,080       72  

Amdocs Ltd

    241,502       19,006  

Arrow Electronics Inc *

     27,800       3,388  

Avnet Inc

    73,800       3,105  

Broadridge Financial Solutions Inc

    7,858       1,149  

Canon Inc ADR (A)

     94,900       2,243  

CDK Global Inc

    62,364       2,828  

Cisco Systems Inc/Delaware

    303,429       16,922  

CSG Systems International Inc

    115,336       7,119  

Datto Holding Corp *

     45,693       1,072  

Dell Technologies Inc, Cl C

    38,100       1,942  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Hewlett Packard Enterprise Co

    286,000     $ 4,553  

Intel Corp

    387,900       18,503  

International Business Machines Corp

    115,600       14,162  

Jack Henry & Associates Inc

    4,187       740  

Jamf Holding Corp *

     42,369       1,449  

Juniper Networks Inc

    148,680       5,024  

Maximus Inc

    3,537       279  

Microsoft Corp

    8,385       2,506  

Oracle Corp

    275,015       20,893  

OSI Systems Inc *

     6,781       547  

Progress Software Corp

    10,739       473  

Rackspace Technology Inc *

     16,922       188  

Sapiens International Corp NV

    14,856       401  

Seagate Technology Holdings PLC

    81,800       8,439  

SPS Commerce Inc *

     1,853       241  

Tucows Inc, Cl A *(A)

     431       29  

Tyler Technologies Inc *

     210       90  

VMware Inc, Cl A

    16,787       1,969  

Western Union Co/The

    539,900       9,815  
                 
              149,147  

Materials — 3.4%

        

Balchem Corp

    3,578       495  

Berry Global Group Inc *

     102,600       6,223  

International Paper Co

    67,900       2,956  

NewMarket Corp

    19,320       6,139  

Novagold Resources Inc *

     27,766       194  

Packaging Corp of America

    36,600       5,387  

Sealed Air Corp

    67,600       4,538  

Sherwin-Williams Co/The

    1,019       268  

Silgan Holdings Inc

    147,500       6,177  

Valvoline Inc

    21,947       710  
                 
              33,087  

Real Estate — 2.4%

        

Agree Realty Corp ‡

     2,673       171  

Brandywine Realty Trust ‡

     270,500       3,606  

Broadstone Net Lease Inc, Cl A ‡

     21,462       465  

City Office REIT Inc ‡

     9,451       163  

CubeSmart ‡

     18,107       873  

Douglas Elliman *

     16,923       128  

Easterly Government Properties Inc, Cl A ‡

     6,148       128  

Extra Space Storage Inc ‡

     6,633       1,248  

Healthcare Realty Trust Inc ‡

     4,893       128  

Iron Mountain Inc ‡(A)

     160,400       7,888  

Jones Lang LaSalle Inc *

     2,173       535  

National Storage Affiliates Trust ‡

     4,620       269  

Plymouth Industrial REIT Inc ‡

     7,776       203  

Postal Realty Trust Inc, Cl A ‡

     34,454       601  

PS Business Parks Inc ‡

     1,736       276  

Public Storage ‡

     16,344       5,802  

Retail Opportunity Investments Corp ‡

     12,493       227  

RMR Group Inc/The, Cl A

    3,660       107  

 

 

 

98

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

U.S. Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

RPT Realty ‡

     10,459     $ 135  

SITE Centers Corp ‡

     8,387       130  

Terreno Realty Corp ‡

     4,287       295  

Urban Edge Properties ‡

     12,989       237  

Urstadt Biddle Properties Inc, Cl A ‡

     7,253       137  
                 
              23,752  

Utilities — 3.9%

        

American States Water Co

    6,717       565  

Artesian Resources Corp, Cl A

    2,987       139  

Avista Corp

    5,516       246  

California Water Service Group

    8,140       463  

Chesapeake Utilities Corp

    5,173       688  

DTE Energy Co

    31,000       3,769  

Entergy Corp

    33,400       3,514  

Evergy Inc

    222,300       13,874  

Hawaiian Electric Industries Inc

    36,925       1,513  

National Fuel Gas Co

    65,600       4,083  

Northwest Natural Holding Co

    4,110       214  

Portland General Electric Co

    117,321       5,956  

Pure Cycle Corp *

     11,804       140  

UGI Corp

    79,500       3,056  

Via Renewables Inc, Cl A

    4,100       46  
                 
              38,266  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Total Common Stock

               

(Cost $745,202) ($ Thousands)

           $ 966,475  
                 
                 
                 

AFFILIATED PARTNERSHIP — 1.2%

SEI Liquidity Fund, L.P.

                

0.050% **†(B)

     11,999,347       11,995  
                 
                 

Total Affiliated Partnership

                

(Cost $12,000) ($ Thousands)

     11,995  
                 
                 
                 

CASH EQUIVALENT — 2.4%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     23,099,314       23,099  
                 

Total Cash Equivalent

                

(Cost $23,099) ($ Thousands)

             23,099  
                 
                 

Total Investments in Securities — 101.9%

                

(Cost $780,301) ($ Thousands)

  $ 1,001,569  
                 
                 
                 

 

 
 

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI

     19       Mar-2022     $ 4,174     $ 4,150     $ (25 )
                                         

 

 

 

Percentages are based on Net Assets of $982,786 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at February 28, 2022. The total market value of securities on loan at February 28, 2022 was $11,605 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of February 28, 2022 was $11,995 ($ Thousands).

 

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

Ltd. — Limited

PLC — Public Limited Company

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Common Stock

     966,475       –       –       966,475  

Affiliated Partnership

     –       11,995       –       11,995  

Cash Equivalent

     23,099       –       –       23,099  

Total Investments in Securities

     989,574       11,995       –       1,001,569  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Depreciation

     (25 )     –       –       (25 )

Total Other Financial Instruments

     (25 )     –       –       (25 )

 

*

Futures contracts are valued at the unrealized depreciation on the instrument.

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

99

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

U.S. Managed Volatility Fund (Concluded)

 

 

 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Liquidity Fund, L.P.

   $ 32,350     $ 111,763     $ (132,112 )   $ 1     $ (7 )   $ 11,995       11,999,347     $ 35     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     20,511       228,193       (225,605 )     —       —       23,099       23,099,314       2       —  

Totals

   $ 52,861     $ 339,956     $ (357,717 )   $ 1     $ (7 )   $ 35,094             $ 37     $ —  

 

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

 

 

100

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Global Managed Volatility Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 98.3%

Australia — 0.3%

AGL Energy Ltd

    1,205,000     $ 6,615  

Newcrest Mining Ltd

    67,490       1,248  

Sonic Healthcare Ltd

    8,073       208  

Telstra Corp Ltd

    65,492       189  
              8,260  
                 

Austria — 0.0%

Oberbank AG

    175       19  

Oesterreichische Post AG

    6,377       260  

Telekom Austria AG, Cl A

    38,558       316  
              595  
                 

Belgium — 0.8%

Ageas SA/NV

    111,600       5,378  

Etablissements Franz Colruyt NV

    56,200       2,250  

KBC Group NV

    68,081       4,880  

Proximus SADP

    329,796       6,573  

Solvay SA

    4,558       510  

Warehouses De Pauw CVA ‡

     10,748       425  
              20,016  
                 

Canada — 5.0%

Alimentation Couche-Tard

    152,130       5,967  

Bank of Montreal

    52,300       5,968  

Bank of Nova Scotia/The

    106,000       7,676  

Canadian Imperial Bank of Commerce (A)

     116,400       14,723  

Canadian Tire Corp Ltd, Cl A

    71,000       10,461  

Cogeco Communications Inc

    58,200       4,644  

Emera Inc

    56,200       2,627  

Empire Co Ltd, Cl A

    67,100       2,077  

Franco-Nevada Corp

    4,000       589  

George Weston Ltd

    110,114       11,932  

Great-West Lifeco Inc

    191,600       5,760  

Hydro One Ltd

    42,600       1,051  

Loblaw Cos Ltd

    334,051       26,040  

Metro Inc/CN, Cl A

    151,200       7,887  

North West Co Inc/The

    1,369       39  

Power Corp of Canada

    274,900       8,472  

Quebecor Inc, Cl B

    197,400       4,314  

TMX Group Ltd

    8,000       808  

Toronto-Dominion Bank/The

    83,300       6,717  
              127,752  
                 

Denmark — 1.5%

AP Moller - Maersk A/S, Cl B

    1,164       3,699  

Carlsberg AS, Cl B

    95,841       14,077  

Coloplast A/S, Cl B

    35,167       5,301  

Danske Bank A/S

    95,786       1,632  

DSV A/S

    6,246       1,157  

Genmab A/S *

     3,890       1,309  

Novo Nordisk A/S, Cl B

    102,563       10,581  

Novozymes A/S, Cl B

    13,720       902  

Schouw & Co A/S

    247       22  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Sparekassen Sjaelland-Fyn A/S

    1,842     $ 54  
              38,734  
                 

Finland — 0.7%

Aspo Oyj

    27       –  

Elisa Oyj, Cl A

    122,476       6,812  

Kesko Oyj, Cl B

    15,406       455  

Orion Oyj, Cl B

    108,650       5,125  

TietoEVRY Oyj

    147,700       4,147  
              16,539  
                 

France — 2.1%

Axway Software SA

    762       16  

Boiron SA

    56       3  

Carrefour SA

    425,686       8,518  

Dassault Systemes

    6,275       303  

Fountaine Pajot SA

    344       49  

La Francaise des Jeux SAEM

    18,567       770  

Orange SA

    680,000       8,206  

Pernod Ricard SA

    12,241       2,681  

Remy Cointreau SA

    1,885       363  

Sanofi

    189,928       19,933  

Societe BIC SA

    77,200       4,076  

Stef

    149       16  

Technip Energies *

     38,467       435  

TotalEnergies SE

    133,400       6,805  
              52,174  
                 

Germany — 1.7%

Allianz SE

    16,900       3,856  

Bayerische Motoren Werke AG

    45,600       4,422  

Commerzbank AG

    36,442       306  

Deutsche Telekom AG

    615,200       11,002  

E.ON SE

    814,800       11,029  

Freenet AG

    266,100       7,110  

Henkel AG & Co KGaA

    30,008       2,299  

McKesson Europe AG

    1,563       41  

Merck KGaA

    17,841       3,569  

Uniper SE

    8,108       257  

United Internet

    7,091       240  
              44,131  
                 

Hong Kong — 2.2%

Bank of East Asia Ltd

    16,792       28  

BOC Hong Kong Holdings Ltd

    1,801,500       6,542  

Cafe de Coral Holdings Ltd

    22,000       34  

Chinney Investments Ltd

    88,000       18  

CITIC Telecom International Holdings Ltd

    872,000       310  

CK Hutchison Holdings Ltd

    449,500       3,157  

CK Infrastructure Holdings Ltd

    18,500       115  

CLP Holdings Ltd

    1,012,180       10,202  

Dah Sing Banking Group Ltd

    58,680       53  

Fountain SET Holdings Ltd

    174,279       31  

Hang Seng Bank Ltd

    124,900       2,303  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

101

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Global Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

HK Electric Investments & HK Electric Investments Ltd

    2,951,521     $ 2,916  

HKT Trust & HKT Ltd

    4,135,686       5,588  

Hong Kong & China Gas Co Ltd

    3,358,372       5,080  

Kerry Logistics Network Ltd

    117,465       285  

Langham Hospitality Investments and Langham Hospitality Investments Ltd

    196,500       22  

Link ‡

     414,200       3,352  

MTR Corp Ltd

    702,000       3,641  

PCCW Ltd

    3,158,000       1,766  

Plover Bay Technologies Ltd

    144,000       69  

Power Assets Holdings Ltd

    911,500       5,756  

Prosperity ‡

     266,000       99  

Regal Hotels International Holdings Ltd

    46,000       19  

SmarTone Telecommunications Holdings Ltd

    153,344       87  

Sun Hung Kai Properties Ltd

    352,500       4,096  

Transport International Holdings Ltd

    13,200       21  

VTech Holdings Ltd

    62,233       513  

Yue Yuen Industrial Holdings Ltd

    22       –  
              56,103  
                 

Ireland — 0.5%

Accenture PLC, Cl A

    19,206       6,070  

Kerry Group PLC, Cl A

    51,913       6,214  
              12,284  
                 

Israel — 0.7%

Bank Hapoalim BM

    276,355       2,931  

Bank Leumi Le-Israel BM

    653,000       7,065  

Bezeq The Israeli Telecommunication Corp Ltd *

     538,491       885  

Isracard Ltd

    1       –  

Israel Discount Bank Ltd, Cl A

    23,713       156  

Neto ME Holdings Ltd

    1,148       77  

Rami Levy Chain Stores Hashikma Marketing 2006 Ltd

    14,424       1,196  

Retailors Ltd *

     1,002       26  

Shufersal Ltd

    404,826       3,621  

Strauss Group Ltd

    34,839       1,145  
              17,102  
                 

Italy — 1.7%

A2A SpA

    4,431,100       7,891  

ACEA SpA

    12,421       238  

Assicurazioni Generali SpA

    10,587       211  

Credito Emiliano

    12,722       93  

Eni SpA

    1,411,010       21,908  

Ferrari NV

    7,101       1,533  

Hera SpA

    1,694,079       6,592  

Iren SpA

    795,339       2,249  

Italgas SpA

    92,300       599  

Newlat Food SpA *

     12,678       100  

Orsero SpA

    4,664       70  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Recordati SpA

    9,376     $ 458  
              41,942  
                 

Japan — 8.9%

Achilles Corp

    2,300       26  

Ahjikan Co Ltd

    5,308       39  

Akita Bank Ltd

    5,600       85  

Aozora Bank Ltd

    85,300       1,925  

Araya Industrial Co Ltd

    3,800       57  

Arcs Co Ltd

    32,800       621  

Asante Inc

    2,600       35  

Atsugi Co Ltd

    8,850       47  

Bank of Saga Ltd

    2,600       35  

Belc Co Ltd

    4,500       215  

Bridgestone Corp

    135,100       5,549  

Calbee Inc

    18,100       406  

Canon Inc

    308,500       7,262  

Cawachi Ltd

    24,400       520  

C'BON COSMETICS Co Ltd

    3,200       51  

Choushimaru Co Ltd

    7,894       77  

Chukyo Bank Ltd/The

    2,000       29  

Computer Engineering & Consulting

    14,200       139  

Create Medic Co Ltd

    2,784       23  

Daihatsu Diesel Manufacturing Co Ltd

    6,400       28  

Daiohs Corp

    2,700       23  

Doshisha Co Ltd

    6,100       82  

Doutor Nichires Holdings

    16,800       237  

DyDo Group Holdings Inc

    4,596       206  

Earth Corp

    12,000       586  

Ebara Foods Industry Inc

    1,600       40  

Ehime Bank Ltd

    3,400       28  

ENEOS Holdings Inc

    1,100,600       4,384  

ESTELLE Holdings Co Ltd

    6,000       34  

Feed One Co Ltd

    5,900       35  

FIDEA Holdings Co Ltd

    2,400       29  

Fujicco Co Ltd

    6,200       108  

Fukuda Denshi Co Ltd

    400       28  

Fukuoka Corp ‡

     21       29  

Global One Real Estate Investment ‡

     279       269  

Health Care & Medical Investment ‡

     80       98  

Heiwado Co Ltd

    15,800       275  

Hitachi Ltd

    525       26  

Hokuto Corp

    21,300       365  

Hyakujushi Bank Ltd

    4,000       63  

ITOCHU Corp

    126,500       4,126  

Itochu Enex Co Ltd

    4,800       44  

Itochu-Shokuhin Co Ltd

    953       41  

Itoham Yonekyu Holdings Inc

    10,800       65  

Japan Post Insurance Co Ltd

    99,500       1,695  

Japan Tobacco Inc

    820,100       15,118  

JFE Systems

    1,400       29  

J-Oil Mills Inc

    1,400       21  

 

 

 

102

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Global Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Kaken Pharmaceutical Co Ltd

    29,400     $ 1,079  

Kato Sangyo Co Ltd

    15,200       409  

KDDI Corp

    710,500       23,217  

Keiyo Bank Ltd

    31,400       140  

KFC Holdings Japan Ltd

    6,700       169  

Kinden Corp

    267,500       3,799  

Kitano Construction Corp

    1,300       24  

Kohnan Shoji Co Ltd

    138,458       4,394  

K's Holdings Corp

    404,800       4,371  

Kyokuyo Co Ltd

    14,100       400  

KYORIN Holdings Inc

    24,100       392  

Lawson Inc

    40,700       1,699  

Maezawa Kasei Industries

    2,400       27  

Marimo Regional Revitalization ‡

     33       36  

McDonald's Holdings Co Japan Ltd

    164,300       7,050  

MEIJI Holdings Co Ltd

    10,300       619  

Ministop Co Ltd

    20,800       260  

Miroku Jyoho Service Co Ltd

    9,400       124  

Mitsubishi Shokuhin Co Ltd

    7,400       200  

Miyazaki Bank

    1,500       29  

Miyoshi Oil & Fat Co Ltd

    10,118       102  

Mizuho Financial Group Inc

    793,440       10,516  

Mochida Pharmaceutical Co Ltd

    10,800       360  

Morozoff Ltd

    1,222       30  

MOS Food Services Inc

    4,600       122  

MS&AD Insurance Group Holdings Inc

    22,400       763  

Nakanishi Inc

    2,200       41  

Nanto Bank

    3,700       69  

Nichirin Co Ltd

    4,100       54  

Nihon Chouzai Co Ltd

    11,100       134  

Nihon Kohden Corp

    3,500       96  

Nippn Corp

    237,642       3,529  

Nippon Electric Glass Co Ltd

    177,000       4,260  

Nippon Telegraph & Telephone Corp

    1,109,000       31,736  

Nisshin Oillio Group Ltd/The

    4,849       129  

Nissin Foods Holdings Co Ltd

    19,200       1,530  

Nissui Pharmaceutical Co Ltd

    11,900       104  

NSD CO

    1,500       28  

Oita Bank

    1,700       30  

Okinawa Cellular Telephone Co

    5,411       243  

Okuwa Co Ltd

    8,700       74  

Ooedo Onsen Investment ‡

     230       131  

Oracle Corp Japan

    30,054       2,136  

Osaki Electric

    7,300       31  

Otsuka Holdings Co Ltd

    28,000       967  

OUG Holdings Inc

    2,682       65  

Plenus Co Ltd

    8,100       141  

Rengo Co Ltd

    543,000       4,051  

Rock Field Co Ltd

    7,700       106  

Rohm

    4,100       324  

San ju San Financial Group

    3,400       45  

San-A Co Ltd, Cl A

    3,000       111  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Sankyo Co Ltd

    12,200     $ 340  

Senko Group Holdings Co Ltd

    429,100       3,528  

Shikoku Bank

    9,800       68  

Shinmaywa Industries

    16,400       133  

Showa Sangyo Co Ltd

    13,700       327  

SKY Perfect JSAT Holdings Inc

    477,100       1,788  

SoftBank Corp

    1,887,900       23,827  

Sojitz Corp

    530,500       8,794  

Sompo Holdings Inc

    21,600       941  

SOSiLA Logistics ‡

     28       36  

SRA Holdings

    4,100       104  

ST Corp

    5,400       73  

Sugi Holdings Co Ltd

    28,400       1,611  

Sundrug Co Ltd

    55,300       1,500  

Teijin Ltd

    537,800       6,475  

TIS Inc

    3,700       88  

Toho Holdings Co Ltd

    1,911       31  

Tosoh Corp

    45,300       706  

Toyo Kanetsu

    1,600       34  

Trend Micro Inc/Japan

    99,400       5,547  

Tsuruha Holdings Inc

    9,200       735  

Unicafe Inc

    9,700       82  

Unicharm Corp

    115,300       4,340  

United Super Markets Holdings Inc

    70,300       649  

Valor Holdings Co Ltd

    19,500       377  

Vital KSK Holdings Inc

    19,700       140  

Wowow Inc

    6,276       96  

XYMAX Investment Corp ‡

     100       101  

Yakult Honsha

    36,100       1,955  

Yamaguchi Financial Group Inc

    365,000       2,263  

Yamanashi Chuo Bank

    3,100       27  

Yaoko Co Ltd

    10,000       571  

Zaoh Co Ltd

    2,000       33  

ZIGExN Co Ltd

    28,400       72  

ZOZO Inc

    34,700       987  
              224,128  
                 

Netherlands — 2.2%

ABN AMRO Bank NV

    109,694       1,451  

ASR Nederland NV

    149,500       6,443  

Heineken Holding NV

    3,042       248  

Heineken NV

    16,088       1,626  

ING Groep NV

    313,911       3,675  

JDE Peet's

    15,328       503  

Koninklijke Ahold Delhaize NV

    730,175       22,457  

Koninklijke KPN NV

    641,916       2,201  

NN Group NV

    137,300       6,584  

Randstad NV

    19,116       1,292  

Shell PLC

    116,238       3,097  

Signify NV

    78,500       3,999  

Wolters Kluwer NV

    28,336       2,880  
              56,456  
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

103

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Global Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

New Zealand — 0.1%

Argosy Property Ltd ‡

     41,575     $ 39  

Freightways Ltd

    4,589       38  

Heartland Group Holdings Ltd

    21,087       32  

Investore Property Ltd ‡

     188       –  

Mainfreight Ltd

    5,818       314  

Spark New Zealand Ltd

    569,720       1,745  

Vector Ltd

    8,778       23  
              2,191  
                 

Norway — 0.8%

AF Gruppen ASA

    582       13  

Aker BP ASA

    8,602       269  

DNB Bank ASA

    144,449       3,232  

Equinor ASA

    108,581       3,445  

Gjensidige Forsikring ASA

    17,425       432  

Kongsberg Gruppen ASA

    14,885       525  

Odfjell Drilling *

     21,690       55  

Orkla ASA

    664,693       6,239  

Sparebank 1 Oestlandet

    7,876       125  

SpareBank 1 SR-Bank ASA

    47,123       700  

Sparebanken More

    56       3  

Telenor ASA

    279,160       4,140  

Veidekke ASA

    7,635       118  

Yara International ASA

    6,054       308  
              19,604  
                 

Portugal — 0.2%

Jeronimo Martins SGPS SA

    213,340       4,604  

REN - Redes Energeticas Nacionais SGPS SA

    264,138       767  
              5,371  
                 

Singapore — 1.3%

Bukit Sembawang Estates Ltd

    1,700       6  

Dairy Farm International Holdings Ltd

    116,400       309  

DBS Group Holdings Ltd

    184,000       4,608  

Great Eastern Holdings Ltd

    4,800       72  

Hour Glass Ltd/The

    2,599       4  

Jardine Cycle & Carriage Ltd

    3,400       55  

Oversea-Chinese Banking Corp Ltd

    900,100       7,754  

Raffles Medical Group Ltd

    9,400       8  

Sheng Siong Group Ltd

    1,456,233       1,637  

Singapore Technologies Engineering Ltd

    828,800       2,339  

United Overseas Bank Ltd

    761,000       16,861  
              33,653  
                 

Spain — 0.4%

Endesa SA

    232,400       5,105  

Financiera Alba

    2,011       117  

Red Electrica Corp SA

    184,100       3,680  
              8,902  
                 

Sweden — 0.6%

Axfood AB

    234,971       6,183  

Essity AB, Cl B

    117,725       3,051  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Industrivarden AB, Cl A

    7,570     $ 211  

Nordea Bank Abp

    12,840       144  

Solid Forsakring *

     5,598       28  

Svenska Handelsbanken AB, Cl A

    492,100       4,722  
              14,339  
                 

Switzerland — 3.8%

Alcon Inc

    20,289       1,564  

Allreal Holding AG

    4,655       1,010  

Barry Callebaut AG

    402       929  

Basellandschaftliche Kantonalbank

    120       121  

Berner Kantonalbank AG

    607       143  

BKW AG

    5,985       756  

Chocoladefabriken Lindt & Spruengli AG

    319       3,394  

Crealogix Holding AG

    301       37  

Emmi AG

    1,669       1,949  

Graubuendner Kantonalbank

    22       40  

Helvetia Holding AG

    24,300       2,956  

Investis Holding SA

    813       95  

Luzerner Kantonalbank AG

    502       224  

Mobimo Holding AG

    1,360       457  

Nestle SA

    22,941       2,991  

Novartis AG

    139,681       12,278  

Orior AG

    1,137       104  

PSP Swiss Property AG

    20,548       2,659  

Roche Holding AG

    54,099       20,628  

SGS SA

    1,082       3,104  

SKAN Group AG

    1,091       80  

Sonova Holding AG

    16,862       6,551  

St. Galler Kantonalbank

    869       426  

Straumann Holding AG

    244       386  

Swiss Life Holding AG

    18,252       11,114  

Swiss Prime Site AG

    3,093       304  

Swisscom AG

    36,151       21,690  

TX Group AG

    944       148  

Valiant Holding AG

    4,437       462  

Walliser Kantonalbank *

     299       35  

Zug Estates Holding, Cl B

    17       36  
              96,671  
                 

United Kingdom — 4.7%

3i Group PLC

    241,600       4,313  

Aferian PLC

    28,544       55  

Alliance Pharma PLC

    70,500       98  

Amcor PLC

    20,622       240  

Aon PLC, Cl A

    14,117       4,124  

Auto Trader Group PLC

    59,874       537  

BAE Systems PLC

    786,900       7,592  

Big Yellow Group PLC ‡

     9,563       184  

British American Tobacco PLC

    311,300       13,576  

Bunzl PLC

    13,787       552  

CareTech Holdings PLC

    1,275       10  

Diversified Energy PLC

    358,191       562  

 

 

 

104

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Global Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Ferguson PLC

    38,983     $ 5,984  

Genus PLC

    10,697       464  

GlaxoSmithKline PLC

    1,254,351       26,119  

Greggs PLC

    2,421       82  

Howden Joinery Group PLC

    9,094       103  

Impact Healthcare PLC ‡

     34,014       50  

Imperial Brands PLC

    503,439       11,072  

J Sainsbury PLC

    1,540,522       5,670  

Liberty Global PLC *

     83,714       2,166  

Linde PLC

    13,924       4,083  

M&G PLC

    385,354       1,064  

Sage Group PLC/The

    39,077       365  

Savannah Energy PLC *

     24,269       9  

Seagate Technology Holdings PLC

    118,600       12,235  

Tate & Lyle PLC

    76,191       762  

Tesco PLC

    540,328       2,094  

Unilever PLC

    320,192       16,111  
              120,276  
                 

United States — 58.1%

Communication Services — 5.7%

        

Alphabet Inc, Cl A *

     4,843       13,082  

Alphabet Inc, Cl C *

     1,885       5,085  

AT&T Inc

    1,320,860       31,291  

BCE Inc

    125,530       6,594  

Comcast Corp, Cl A

    259,193       12,120  

Electronic Arts Inc

    191       25  

Fox Corp

    195,216       7,805  

Interpublic Group of Cos Inc/The

    25,607       942  

John Wiley & Sons Inc, Cl A

    10,749       541  

Liberty Global PLC, Cl A *

     51,827       1,336  

Liberty Media Corp-Liberty SiriusXM, Cl C *

     10,548       531  

Meta Platforms Inc, Cl A *

     12,637       2,667  

Omnicom Group Inc

    112,946       9,475  

Scholastic Corp

    28,823       1,213  

Verizon Communications Inc

    933,564       50,104  

Yelp Inc, Cl A *

     8,540       290  
              143,101  

Consumer Discretionary — 3.2%

        

Advance Auto Parts Inc

    43,700       8,936  

AutoZone Inc *

     9,301       17,331  

Choice Hotels International Inc

    702       101  

Domino's Pizza Inc

    1,096       474  

DR Horton Inc

    74,500       6,362  

eBay Inc

    76,000       4,149  

Ford Motor Co

    233,500       4,100  

General Motors Co *

     76,100       3,556  

Genuine Parts Co

    3,978       486  

Home Depot Inc/The

    16,481       5,205  

Johnson Outdoors Inc, Cl A

    948       78  

O'Reilly Automotive Inc *

     1,586       1,030  

Pool Corp

    517       237  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Target Corp

    108,636     $ 21,702  

Whirlpool Corp

    31,400       6,320  
              80,067  

Consumer Staples — 11.1%

        

Altria Group Inc

    116,000       5,950  

Archer-Daniels-Midland Co

    127,800       10,026  

Casey's General Stores Inc

    21,320       4,010  

Central Garden & Pet Co, Cl A *

     4,810       212  

Church & Dwight Co Inc

    84,246       8,243  

Clorox Co/The

    19,335       2,819  

Colgate-Palmolive Co

    181,553       13,970  

Conagra Brands Inc

    294,527       10,300  

Costco Wholesale Corp

    33,691       17,494  

Flowers Foods Inc

    116,029       3,180  

General Mills Inc

    318,909       21,504  

Hershey Co/The

    47,240       9,555  

Hormel Foods Corp

    81,140       3,866  

Ingredion Inc

    49,600       4,402  

J M Smucker Co/The

    158,147       21,310  

John B Sanfilippo & Son Inc

    8,796       699  

Kellogg Co

    320,664       20,503  

Keurig Dr Pepper Inc

    8,964       347  

Kimberly-Clark Corp

    67,670       8,807  

Kraft Heinz Co/The

    298,000       11,688  

Kroger Co/The

    660,842       30,927  

McCormick & Co Inc/MD

    5,352       509  

Molson Coors Beverage Co, Cl B

    118,300       6,173  

Mondelez International Inc, Cl A

    102,056       6,683  

PepsiCo Inc

    39,355       6,444  

Philip Morris International Inc

    56,588       5,719  

Procter & Gamble Co/The

    98,964       15,427  

Tyson Foods Inc, Cl A

    158,969       14,730  

USANA Health Sciences Inc *

     12,099       1,065  

Walmart Inc

    110,255       14,902  
              281,464  

Energy — 0.4%

        

Chevron Corp

    58,800       8,467  

DT Midstream Inc

    28,882       1,534  
              10,001  

Financials — 5.4%

        

Aflac Inc

    173,000       10,569  

Allstate Corp/The

    218,900       26,785  

American Financial Group Inc/OH

    38,100       5,158  

Annaly Capital Management Inc ‡

     540,500       3,762  

Arthur J Gallagher & Co

    14,149       2,238  

Bank of New York Mellon Corp/The

    217,800       11,576  

Berkshire Hathaway, Cl A *

     6       2,857  

Berkshire Hathaway Inc, Cl B *

     85,642       27,530  

Brown & Brown Inc

    42,799       2,894  

Cboe Global Markets Inc

    48,480       5,686  

CME Group Inc, Cl A

    19,911       4,709  

Everest Re Group Ltd

    26,600       7,933  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

105

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Global Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Fidus Investment Corp

    485     $ 9  

First American Financial Corp

    1,655       111  

Hartford Financial Services Group Inc/The

    144,800       10,061  

Intercontinental Exchange Inc

    49,010       6,279  

Marsh & McLennan Cos Inc

    42,165       6,553  

Nelnet Inc, Cl A

    1,651       133  

New Mountain Finance Corp

    1,132       15  

Oaktree Specialty Lending Corp

    266       2  

Provident Financial Holdings Inc (A)

     2,655       44  

Sixth Street Specialty Lending Inc

    607       14  

SLR Senior Investment Corp

    121       2  

Stellus Capital Investment Corp

    100       1  

Waterstone Financial Inc

    69,975       1,367  
              136,288  

Health Care — 11.3%

        

AbbVie Inc

    66,346       9,804  

Agilent Technologies Inc

    41,815       5,451  

Amgen Inc

    72,300       16,375  

Becton Dickinson and Co

    20,005       5,427  

Bio-Rad Laboratories Inc, Cl A *

     9,837       6,157  

Bristol-Myers Squibb Co

    372,914       25,608  

Cerner Corp

    196,993       18,370  

Chemed Corp

    13,555       6,483  

CVS Health Corp

    166,503       17,258  

Gilead Sciences Inc

    333,455       20,141  

HCA Healthcare Inc

    9,799       2,453  

Henry Schein Inc *

     55,438       4,789  

IDEXX Laboratories Inc *

     4,249       2,262  

Johnson & Johnson

    216,014       35,549  

Laboratory Corp of America Holdings *

     21,203       5,751  

McKesson Corp

    3,659       1,006  

Merck & Co Inc

    362,235       27,740  

Mettler-Toledo International Inc *

     4,439       6,253  

Molina Healthcare Inc *

     2,697       828  

National HealthCare Corp

    16,078       1,045  

Organon & Co

    30,990       1,157  

Pfizer Inc

    791,803       37,167  

Phibro Animal Health Corp, Cl A

    2,423       52  

Prestige Consumer Healthcare Inc *

     26,357       1,569  

Quest Diagnostics Inc

    66,187       8,688  

Regeneron Pharmaceuticals Inc *

     10,703       6,618  

Taro Pharmaceutical Industries Ltd *

     7,891       385  

United Therapeutics Corp *

     2,970       494  

Vertex Pharmaceuticals Inc *

     17,376       3,997  

Waters Corp *

     19,830       6,281  

West Pharmaceutical Services Inc

    3,838       1,486  
              286,644  

Industrials — 4.3%

        

3M Co

    17,268       2,567  

A O Smith Corp

    23,226       1,593  

Allison Transmission Holdings Inc, Cl A

    162,700       6,498  

AMERCO

    8,276       4,780  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

CACI International Inc, Cl A *

     21,900     $ 6,127  

CH Robinson Worldwide Inc

    67,699       6,545  

Cummins Inc

    29,300       5,981  

Expeditors International of Washington Inc

    121,546       12,563  

General Dynamics Corp

    28,253       6,624  

Graco Inc

    13,536       976  

Insperity Inc

    1,236       111  

Lockheed Martin Corp

    28,640       12,424  

Northrop Grumman Corp

    50,262       22,223  

Robert Half International Inc

    80,546       9,689  

Waste Management Inc

    8,293       1,198  

Watsco Inc

    618       169  

Werner Enterprises Inc

    182,200       7,918  

ZIM Integrated Shipping Services Ltd

    4,540       317  
              108,303  

Information Technology — 11.2%

        

Amdocs Ltd

    270,017       21,250  

Apple Inc

    1,581       261  

Arista Networks Inc *

     46,480       5,704  

Arrow Electronics Inc *

     2,126       259  

Broadcom Inc

    10,974       6,447  

Cadence Design Systems Inc *

     3,276       496  

Check Point Software Technologies Ltd *

     147,568       21,380  

Ciena Corp *

     47,952       3,281  

Cisco Systems Inc/Delaware

    590,799       32,949  

Cognizant Technology Solutions Corp, Cl A

    90,200       7,769  

CommVault Systems Inc *

     42,254       2,658  

CSG Systems International Inc

    46,100       2,845  

Dell Technologies Inc, Cl C

    177,424       9,041  

EPAM Systems Inc *

     942       196  

F5 Inc *

     58,267       11,703  

Fair Isaac Corp *

     1,209       570  

Fortinet Inc *

     15,607       5,377  

Gartner Inc *

     4,256       1,193  

HP Inc

    40,315       1,385  

Intel Corp

    629,400       30,022  

International Business Machines Corp

    165,800       20,312  

Jack Henry & Associates Inc

    8,549       1,511  

Juniper Networks Inc

    530,832       17,937  

Keysight Technologies Inc *

     14,404       2,267  

Kyndryl Holdings Inc *

     33,160       526  

Microsoft Corp

    19,221       5,743  

Motorola Solutions Inc

    36,790       8,110  

National Instruments Corp

    19,490       782  

NetApp Inc

    20,194       1,583  

NetScout Systems Inc *

     28,326       882  

Oracle Corp

    544,236       41,346  

Paychex Inc

    8,473       1,009  

Progress Software Corp

    3,578       158  

Radware Ltd *

     59,034       2,031  

Silicom Ltd *

     2,397       100  

SS&C Technologies Holdings Inc

    46,547       3,490  

 

 

 

106

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Global Managed Volatility Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Synopsys Inc *

     2,813     $ 879  

VMware Inc, Cl A

    15,254       1,790  

Western Union Co/The

    420,100       7,637  
              282,879  

Materials — 2.7%

        

Air Products and Chemicals Inc

    1,725       408  

AptarGroup Inc

    12,186       1,485  

Avery Dennison Corp

    3,109       548  

Berry Global Group Inc *

     65,400       3,966  

Ecolab Inc

    24,684       4,351  

Huntsman Corp

    2,422       98  

Materion Corp

    16,079       1,343  

NewMarket Corp

    29,900       9,501  

Nucor Corp

    11,777       1,550  

Packaging Corp of America

    64,422       9,482  

Reliance Steel & Aluminum Co

    55,876       10,665  

Royal Gold Inc

    40,266       4,883  

Sealed Air Corp

    82,700       5,552  

Sherwin-Williams Co/The

    6,353       1,672  

Silgan Holdings Inc

    314,557       13,174  

Sonoco Products Co

    6,599       387  

Stepan Co

    881       91  
              69,156  

Real Estate — 0.7%

        

Brandywine Realty Trust ‡

     319,900       4,264  

Extra Space Storage Inc ‡

     18,831       3,543  

Public Storage ‡

     31,630       11,230  
              19,037  

Utilities — 2.1%

        

Alliant Energy Corp

    19,231       1,123  

American Electric Power Co Inc

    35,905       3,255  

Consolidated Edison Inc

    52,996       4,545  

Entergy Corp

    77,600       8,164  

Evergy Inc

    266,500       16,632  

National Fuel Gas Co

    126,200       7,855  

PPL Corp

    128,810       3,371  

UGI Corp

    217,627       8,366  
              53,311  
              1,470,251  
                 

Total Common Stock

               

(Cost $2,273,951) ($ Thousands)

             2,487,474  
                 
                 
                 

PREFERRED STOCK — 0.1%

Germany — 0.1%

FUCHS PETROLUB SE

    8,195       326  

Henkel AG & Co KGaA

    25,973       2,052  

Villeroy & Boch AG

     971       26  
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

PREFERRED STOCK (continued)

Total Preferred Stock

               

(Cost $2,692) ($ Thousands)

           $ 2,404  
                 
                 
                 

AFFILIATED PARTNERSHIP — 0.5%

SEI Liquidity Fund, L.P.

                

0.050% **†(B)

     13,213,621       13,226  
                 
                 

Total Affiliated Partnership

                

(Cost $13,217) ($ Thousands)

     13,226  
                 
                 
                 

CASH EQUIVALENT — 1.6%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     41,192,151       41,192  
                 

Total Cash Equivalent

                

(Cost $41,192) ($ Thousands)

             41,192  
                 
                 

Total Investments in Securities — 100.5%

                

(Cost $2,331,052) ($ Thousands)

  $ 2,544,296  
                 
                 
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

107

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Global Managed Volatility Fund (Continued)

 

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

Euro STOXX 50

     33       Mar-2022     $ 1,540     $ 1,456     $ (68 )

FTSE 100 Index

     6       Mar-2022       605       598       (1 )

Hang Seng Index

     2       Mar-2022       296       290       (6 )

S&P 500 Index E-MINI

     38       Mar-2022       8,445       8,299       (146 )

SPI 200 Index

     2       Mar-2022       250       255       –  

TOPIX Index

     5       Mar-2022       826       821       (9 )
                    $ 11,962     $ 11,719     $ (230 )

 

A list of the open forwards contracts held by the Fund at February 28, 2022, is as follows:

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

BNP Paribas

     03/04/22       NZD       1,736       USD       1,153     $ (22 )

BNP Paribas

     03/04/22       AUD       16,187       USD       11,572       (174 )

BNP Paribas

     03/04/22       NOK       60,979       USD       6,944       9  

BNP Paribas

     03/04/22       CAD       78,814       USD       62,219       78  

BNP Paribas

     03/04/22       SEK       80,463       USD       8,746       219  

BNP Paribas

     03/04/22       HKD       214,697       USD       27,548       71  

Brown Brothers Harriman

     03/04/22       NZD       95       USD       63       (1 )

Brown Brothers Harriman

     03/04/22       USD       185       NZD       276       2  

Brown Brothers Harriman

     03/04/22       USD       16       NZD       24       —  

Brown Brothers Harriman

     03/04/22       USD       209       NOK       1,852       2  

Brown Brothers Harriman

     03/04/22       USD       43       NOK       380       —  

Brown Brothers Harriman

     03/04/22       USD       622       SGD       838       (5 )

Brown Brothers Harriman

     03/04/22       USD       682       AUD       949       7  

Brown Brothers Harriman

     03/04/22       USD       1,134       SEK       10,489       (23 )

Brown Brothers Harriman

     03/04/22       USD       1,337       HKD       10,427       (2 )

Brown Brothers Harriman

     03/04/22       USD       1,434       GBP       1,058       (14 )

Brown Brothers Harriman

     03/04/22       AUD       1,724       USD       1,234       (17 )

Brown Brothers Harriman

     03/04/22       USD       1,384       CAD       1,763       6  

Brown Brothers Harriman

     03/04/22       USD       647       CAD       821       —  

Brown Brothers Harriman

     03/04/22       CHF       2,360       USD       2,559       (14 )

Brown Brothers Harriman

     03/04/22       USD       2,793       DKK       18,221       (41 )

Brown Brothers Harriman

     03/04/22       GBP       2,752       USD       3,741       48  

Brown Brothers Harriman

     03/04/22       GBP       339       USD       450       (5 )

Brown Brothers Harriman

     03/04/22       SGD       3,324       USD       2,473       25  

Brown Brothers Harriman

     03/04/22       SGD       34       USD       25       —  

Brown Brothers Harriman

     03/04/22       USD       3,170       CHF       2,929       24  

Brown Brothers Harriman

     03/04/22       USD       687       CHF       630       —  

Brown Brothers Harriman

     03/04/22       NOK       500       USD       57       —  

Brown Brothers Harriman

     03/04/22       NOK       4,142       USD       465       (6 )

Brown Brothers Harriman

     03/04/22       USD       5,364       EUR       4,712       (70 )

Brown Brothers Harriman

     03/04/22       USD       2,563       JPY       296,170       9  

Brown Brothers Harriman

     03/04/22       USD       3,160       JPY       363,448       (4 )

Brown Brothers Harriman

     03/04/22       CAD       1,190       USD       939       1  

Brown Brothers Harriman

     03/04/22       CAD       4,984       USD       3,925       (5 )

Brown Brothers Harriman

     03/04/22       SEK       5,713       USD       615       10  

Brown Brothers Harriman

     03/04/22       SEK       1,413       USD       147       (3 )

Brown Brothers Harriman

     03/04/22       DKK       6,531       USD       999       12  

 

 

 

108

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Global Managed Volatility Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Brown Brothers Harriman

     03/04/22       DKK       1,198       USD       179     $ (2 )

Brown Brothers Harriman

     03/04/22       EUR       7,414       USD       8,441       112  

Brown Brothers Harriman

     03/04/22       EUR       994       USD       1,105       (12 )

Brown Brothers Harriman

     03/04/22       HKD       20,288       USD       2,602       5  

Brown Brothers Harriman

     03/04/22       JPY       190,226       USD       1,656       5  

Brown Brothers Harriman

     03/04/22       JPY       866,508       USD       7,492       (32 )

Morgan Stanley

     12/15/21       CLP       13,215,516       USD       209,301       1,560  

Standard Chartered

     03/04/22       SGD       21,171       USD       15,712       115  

Westpac Banking

     03/04/22       EUR       117,441       USD       133,055       1,124  
                                            $ 2,992  

 

 

 

Percentages are based on Net Assets of $2,531,234 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at February 28, 2022. The total market value of securities on loan at February 28, 2022 was $12,418 ($ Thousands).

(B)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of February 28, 2022 was $13,226 ($ Thousands).

 

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

CLP — Chilean Peso

DKK — Danish Krone

EUR — Euro

FTSE— Financial Times Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

L.P. — Limited Partnership

Ltd. — Limited

MXN — Mexican Peso

NOK — Norwegian Krone

NZD — New Zealand Dollar

PLC — Public Limited Company

S&P— Standard & Poor's

SGD — Singapore Dollar

SEK — Swedish Krona

Ser — Series

SPI — Share Price Index

TOPIX — Tokyo Price Index

USD — U.S. Dollar

 

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Common Stock

     1,791,279       696,195       –       2,487,474  

Preferred Stock

     –       2,404       –       2,404  

Affiliated Partnership

     –       13,226       –       13,226  

Cash Equivalent

     41,192       –       –       41,192  

Total Investments in Securities

     1,832,471       711,825       –       2,544,296  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Depreciation

     (230 )     –       –       (230 )

Forwards Contracts*

                                

Unrealized Appreciation

     –       3,444       –       3,444  

Unrealized Depreciation

     –       (452 )     –       (452 )

Total Other Financial Instruments

     (230 )     2,992       –       2,762  

 

*

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

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

109

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Global Managed Volatility Fund (Concluded)

 

 

The following is a summary of the transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value

5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value

2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Liquidity Fund, L.P.

   $ 21,842     $ 152,156     $ (160,782 )   $ 1     $ 9     $ 13,226       13,213,621     $ 191     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     —       427,517       (386,325 )     —       —       41,192       41,192,151       3       —  

Totals

   $ 21,842     $ 579,673     $ (547,107 )   $ 1     $ 9     $ 54,418             $ 194     $ —  

 

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

 

 

110

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Equity Ex-US Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 94.8%

Argentina — 0.1%

Ternium SA ADR

    270,299     $ 10,617  

Australia — 3.0%

Adbri Ltd

    608,537       1,479  

Altium Ltd

    32,487       767  

Aristocrat Leisure Ltd

    173,980       4,803  

ASX Ltd

    551,697       33,284  

Beacon Lighting Group Ltd

    12,449       24  

BGP Holdings *

     239,898       –  

BHP Group Ltd

    586,334       20,230  

BlueScope Steel Ltd

    1,826,988       27,385  

Fortescue Metals Group Ltd

    2,172,306       29,131  

GrainCorp Ltd, Cl A

    11,293       70  

Incitec Pivot Ltd

    999,438       2,264  

Lynas Rare Earths Ltd *

     2,266,917       17,167  

Macquarie Group Ltd

    42,240       5,605  

Mineral Resources Ltd

    37,896       1,275  

Orora Ltd

    848,712       2,306  

Premier Investments Ltd

    4,382       89  

Qantas Airways Ltd *

     11,521,970       42,970  

Ridley Corp Ltd

    27,537       29  

Seven West Media Ltd *

     37,897       17  

Sonic Healthcare Ltd

    720,049       18,551  

South32 Ltd

    10,255,407       36,512  

Suncorp Group Ltd

    5,135,490       40,414  

Technology One Ltd

    75,373       546  

Whitehaven Coal Ltd

    1,048,765       2,490  
              287,408  
                 

Austria — 0.4%

ANDRITZ AG

    104,561       4,686  

Erste Group Bank AG

    12,104       435  

OMV AG

    527,898       25,152  

Raiffeisen Bank International AG *

     46,168       763  

voestalpine AG

    70,059       2,317  
              33,353  
                 

Belgium — 0.3%

KBC Group NV

    453,851       32,529  

Brazil — 1.4%

Atacadao SA

    5,455,400       20,173  

B3 SA - Brasil Bolsa Balcao

    14,586,174       41,281  

Banco Bradesco SA ADR

    2,422,050       9,349  

Banco do Brasil SA

    338,100       2,311  

BrasilAgro - Co Brasileira de Propriedades Agricolas

    35,400       226  

Cia de Saneamento de Minas Gerais-COPASA (Brazil)

    94,500       260  

Cia Siderurgica Nacional SA

    555,251       2,705  

CPFL Energia SA

    4,188,100       24,600  

Jalles Machado SA

    26,200       55  

JBS SA

    3,624,400       25,250  

Minerva SA/Brazil

    931,944       1,955  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Petroleo Brasileiro SA ADR

    374,681     $ 5,354  
              133,519  
                 

Canada — 3.1%

Advantage Energy Ltd *

     350,800       2,049  

Aritzia Inc *

     76,896       2,922  

Birchcliff Energy Ltd (A)

     604,500       3,212  

BRP Inc

    154,344       11,054  

Canadian Natural Resources Ltd

    394,100       22,002  

Canfor Corp *

     177,499       4,015  

Capstone Mining Corp *

     68,300       354  

Celestica Inc *

     12,700       151  

CI Financial Corp

    93,718       1,533  

Colliers International Group Inc

    2,451       337  

Dollarama Inc

    245,276       12,667  

Finning International Inc

    76,400       2,222  

First Quantum Minerals Ltd

    1,225,423       35,912  

Gildan Activewear Inc

    207,400       8,137  

Home Capital Group Inc, Cl B

    497,200       15,018  

IBI Group Inc *

     11,700       130  

Interfor Corp *

     48,800       1,486  

Magna International Inc, Cl A

    311,738       23,145  

Martinrea International Inc

    74,445       580  

MEG Energy Corp *

     187,600       2,448  

Methanex Corp

    8,000       416  

National Bank of Canada

    168,771       13,523  

North West Co Inc/The

    23,000       653  

Nutrien Ltd

    132,900       11,422  

NuVista Energy Ltd *

     424,127       3,230  

Peyto Exploration & Development Corp (A)

     143,313       1,236  

Richelieu Hardware Ltd

    6,200       237  

SNC-Lavalin Group Inc

    1,741,500       39,187  

TMX Group Ltd

    287,056       28,978  

Toromont Industries Ltd

    227,514       19,272  

Tourmaline Oil Corp

    535,000       21,090  

Uni-Select Inc *

     1,652       34  

West Fraser Timber Co Ltd

    30,200       3,013  

WSP Global Inc

    67,100       8,227  
              299,892  
                 

China — 2.3%

Bank of Communications Co Ltd, Cl H

    3,656,985       2,508  

China Coal Energy Co Ltd, Cl H

    5,173,645       3,253  

China Construction Bank Corp, Cl H

    32,850,000       24,638  

China Everbright Bank Co Ltd, Cl H

    2,172,000       808  

COSCO SHIPPING Holdings Co Ltd, Cl H *

     73,000       148  

Industrial Bank Co Ltd, Cl A

    6,712,700       23,550  

JD.com Inc, Cl A *

     103,667       3,726  

Li Ning Co Ltd

    625,500       6,254  

LONGi Green Energy Technology Co Ltd, Cl A *

     4,575,222       56,700  

Midea Group Co Ltd, Cl A

    4,859,057       51,518  

NXP Semiconductors NV

    131,780       25,054  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

111

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Equity Ex-US Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Oppein Home Group Inc, Cl A

    1,070,250     $ 21,539  

PICC Property & Casualty Co Ltd

    5,270,000       5,565  

Zhenro Properties Group Ltd

    810,000       70  
              225,331  
                 

Denmark — 2.8%

ALK-Abello A/S *

     1,010       387  

AP Moller - Maersk A/S, Cl B

    10,247       32,562  

Coloplast A/S, Cl B

    55,669       8,391  

D/S Nordern A/S

    29,124       762  

Demant A/S *

     385,812       16,328  

DSV A/S

    79,023       14,642  

Genmab A/S *

     102,319       34,437  

Novo Nordisk A/S, Cl B

    1,136,603       117,258  

Pandora A/S

    352,512       36,566  

Royal Unibrew A/S

    62,400       6,660  

Solar A/S, Cl B

    1,206       143  
              268,136  
                 

Finland — 0.3%

Fortum Oyj

    228,640       4,832  

Kesko Oyj, Cl B

    285,944       8,452  

Metso Outotec Oyj

    465,470       3,962  

Orion Oyj, Cl B

    146,942       6,931  

Sampo Oyj, Cl A

    116,380       5,535  
              29,712  
                 

France — 7.4%

Air Liquide SA

    210,220       34,914  

Airbus SE

    292,500       37,426  

Alstom SA

    774,774       19,757  

BNP Paribas SA

    652,540       38,068  

Catana Group

    6,122       52  

Cie de Saint-Gobain

    813,770       50,401  

Criteo SA ADR *

     113,015       3,759  

Danone SA

    472,140       28,717  

Esker SA

    419       99  

EssilorLuxottica SA

    50,300       8,800  

Eurofins Scientific SE

    122,665       12,362  

Euronext NV

    299,865       27,020  

Faurecia SE

    721,051       27,305  

Ipsen SA

    62,126       7,236  

Legrand SA

    116,809       11,067  

L'Oreal SA

    71,776       28,363  

LVMH Moet Hennessy Louis Vuitton SE

    38,435       28,324  

Orange SA

    1,661,010       20,044  

Pernod Ricard SA

    72,754       15,938  

Publicis Groupe SA

    447,741       29,817  

Remy Cointreau SA

    28,345       5,465  

Sanofi

    909,709       95,473  

Sartorius Stedim Biotech

    17,183       6,623  

Schneider Electric SE

    60,935       9,489  

Societe Generale SA

    598,659       17,129  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Sodexo SA

    1,267,282     $ 106,442  

Somfy SA

    759       136  

Stellantis NV

    1,700,962       31,159  

Veolia Environnement SA

    315,530       11,015  
              712,400  
                 

Germany — 4.2%

adidas AG

    96,610       22,672  

Aroundtown SA

    4,870,566       30,141  

BioNTech SE ADR *(A)

     117,063       17,654  

Carl Zeiss Meditec AG

    65,863       10,318  

Continental AG *

     246,454       21,008  

Dermapharm Holding SE

    350       25  

Deutsche Bank AG

    176,563       2,206  

Deutsche Boerse AG

    198,158       33,678  

Deutsche Post AG

    118,769       5,984  

Deutsche Telekom AG

    1,748,980       31,276  

Fresenius Medical Care AG & Co KGaA

    499,610       32,100  

Heidelberger Druckmaschinen AG *

     293,969       826  

K+S AG

    162,113       4,150  

Knorr-Bremse AG

    153,560       13,473  

Merck KGaA

    121,184       24,240  

QIAGEN NV *

     117,296       5,840  

Rheinmetall AG

    445,555       66,358  

SAP SE

    346,191       39,159  

Scout24 SE

    179,757       10,409  

Siemens AG

    214,610       30,115  

Siemens Energy AG

    107,308       2,518  

Wacker Chemie AG

    14,643       2,246  
              406,396  
                 

Greece — 0.0%

Danaos Corp

    634       59  

National Bank of Greece SA *

     221,702       818  
              877  
                 

Hong Kong — 6.2%

AIA Group Ltd

    1,420,200       14,804  

Alibaba Group Holding Ltd *

     2,091,400       27,738  

Alibaba Group Holding Ltd ADR *

     95,518       10,047  

ASM Pacific Technology Ltd

    174,500       1,914  

Bank of China Ltd, Cl H

    8,699,000       3,390  

Chaoda Modern Agriculture Holdings Ltd *

     52,790       –  

China Resources Gas Group Ltd

    4,114,000       18,885  

China Resources Land Ltd

    7,586,000       36,941  

China Risun Group Ltd

    1,989,000       1,241  

China Sanjiang Fine Chemicals Co Ltd

    1,844,242       489  

Chow Tai Fook Jewellery Group Ltd

    1,585,200       3,299  

CIFI Holdings Group Co Ltd

    46,086,600       32,187  

Dongyue Group Ltd

    450,000       657  

Galaxy Entertainment Group Ltd *

     3,508,000       19,555  

Hong Kong Exchanges & Clearing Ltd

    535,535       25,942  

Industrial & Commercial Bank of China Ltd, Cl H

    25,698,181       15,372  

 

 

 

112

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Equity Ex-US Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Kunlun Energy Co Ltd

    34,624,000     $ 34,091  

Lee & Man Paper Manufacturing Ltd

    2,639,243       1,699  

Lenovo Group Ltd

    12,574,000       14,028  

Lonking Holdings Ltd

    1,502,732       401  

NetDragon Websoft Holdings Ltd

    325,000       730  

Nine Dragons Paper Holdings Ltd

    5,526,000       5,311  

Orient Overseas International Ltd

    593,003       16,780  

PetroChina Co Ltd, Cl H

    28,334,045       15,377  

Samsonite International SA *

     29,593,650       66,363  

Sands China Ltd *

     13,755,200       36,149  

Shanghai Pharmaceuticals Holding Co Ltd, Cl H

    18,660,000       33,658  

SITC International Holdings Co Ltd

    665,000       2,746  

Skyworth Group Ltd *

     706,000       400  

Techtronic Industries Co Ltd

    303,000       5,094  

Tencent Holdings Ltd

    333,200       17,951  

Tingyi Cayman Islands Holding Corp

    992,000       2,187  

Tongcheng Travel Holdings Ltd *

     9,643,200       17,983  

Topsports International Holdings Ltd

    41,064,000       42,849  

Xinyi Glass Holdings Ltd

    15,524,000       40,902  

Zhongsheng Group Holdings Ltd

    4,441,500       31,026  
              598,186  
                 

Hungary — 0.2%

OTP Bank Nyrt *

     557,668       21,694  

India — 1.4%

Butterfly Gandhimathi Appliances Ltd

    3,466       64  

Coal India Ltd

    672,781       1,525  

GAIL India Ltd

    1,189,702       2,307  

HCL Technologies Ltd

    10,031       151  

HDFC Bank Ltd ADR

    427,494       26,577  

Hindustan Aeronautics Ltd

    123,830       2,296  

Hindustan Petroleum Corp Ltd

    229,724       840  

Indian Oil Corp Ltd

    2,393,512       3,682  

Infosys Ltd

    270,075       6,165  

Karnataka Bank Ltd/The

    166,869       134  

Kewal Kiran Clothing Ltd

    9,323       25  

KPIT Technologies Ltd

    81,978       630  

Mindtree Ltd

    11,485       596  

Mphasis Ltd

    89,754       3,740  

National Aluminium Co Ltd

    4,731,568       7,707  

Nava Bharat Ventures Ltd

    28,192       48  

Oracle Financial Services Software Ltd

    17,989       815  

Orient Green Power Co Ltd *

     39,573       6  

Page Industries Ltd

    3,615       2,036  

Persistent Systems Ltd

    66,361       3,505  

Power Grid Corp of India Ltd

    7,901,117       22,013  

Precision Wires India Ltd

    15,991       19  

Redington India Ltd

    529,020       1,089  

Reliance Industries Ltd

    206,610       6,515  

Tata Elxsi Ltd

    14,721       1,269  

Tech Mahindra Ltd

    1,976,894       37,282  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

WNS Holdings Ltd ADR *

     11,264     $ 931  
              131,967  
                 

Indonesia — 0.1%

Adaro Energy Tbk PT

    17,171,000       2,943  

Astra Agro Lestari Tbk PT

    273,460       217  

Bank Mandiri Persero Tbk PT

    3,523,500       1,888  

Bank Tabungan Negara Persero Tbk PT *

     488,682       61  

Dharma Satya Nusantara Tbk PT

    1,371,800       60  

Gudang Garam Tbk PT

    105,867       232  

Hanjaya Mandala Sampoerna Tbk PT

    753,659       51  

Japfa Comfeed Indonesia Tbk PT

    1,655,800       182  

Telkom Indonesia Persero Tbk PT

    5,711,900       1,728  

United Tractors Tbk PT

    1,651,500       2,874  
              10,236  
                 

Ireland — 1.6%

Accenture PLC, Cl A

    78,473       24,799  

Bank of Ireland Group PLC *

     5,797,315       38,071  

CRH PLC

    627,900       28,070  

ICON PLC *

     243,686       58,000  
              148,940  
                 

Israel — 1.8%

Bank Hapoalim BM

    1,490,397       15,808  

Bank Leumi Le-Israel BM

    5,496,359       59,466  

Bezeq The Israeli Telecommunication Corp Ltd *

     44,347       73  

Check Point Software Technologies Ltd *

     389,963       56,498  

ICL Group Ltd

    453,160       5,228  

Inmode Ltd *

     90,616       3,868  

Isracard Ltd

    18       –  

Israel Discount Bank Ltd, Cl A

    1,725,229       11,346  

Mizrahi Tefahot Bank Ltd

    70,603       2,755  

Perion Network Ltd *

     4,063       93  

ZIM Integrated Shipping Services Ltd

    194,529       13,576  
              168,711  
                 

Italy — 3.5%

Aeffe SpA *

     23,423       60  

Azimut Holding SpA

    79,272       1,904  

Banca IFIS SpA

    56,630       1,204  

Banco BPM SpA

    2,189,431       7,495  

Danieli & C Officine Meccaniche SpA

    5,930       93  

DiaSorin SpA

    5,225       784  

Enel SpA

    4,090,970       30,126  

Eni SpA

    2,187,461       33,964  

EXOR NV

    176,053       13,338  

Iveco Group NV *

     473,172       3,953  

Mediobanca Banca di Credito Finanziario SpA

    2,784,930       29,130  

MFE-MediaForEurope, Cl A *

     322,857       291  

MFE-MediaForEurope, Cl B *

     379,719       468  

Pirelli & C SpA

    5,057,270       27,889  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

113

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Equity Ex-US Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Prysmian SpA

    1,770,196     $ 58,224  

Recordati SpA

    61,283       2,993  

Sanlorenzo SpA/Ameglia

    673       29  

Stellantis NV

    3,951,384       72,308  

Tenaris SA

    148,258       1,928  

UniCredit SpA

    3,936,401       49,108  
              335,289  
                 

Japan — 12.4%

Advantest Corp

    336,300       26,728  

AEON Financial Service Co Ltd

    228,100       2,355  

Amada Co Ltd

    2,280,000       20,229  

Aoyama Trading Co Ltd

    11,600       69  

Arealink Co Ltd

    2,000       23  

Asahi Group Holdings Ltd

    1,864,200       75,487  

Bank of Saga Ltd

    1,800       24  

Brother Industries Ltd

    83,900       1,523  

Canon Inc

    630,700       14,846  

Capcom Co Ltd (A)

     581,200       13,707  

Chori Co Ltd

    1,600       25  

COLOPL Inc *

     121,700       684  

Daihatsu Diesel Manufacturing Co Ltd

    5,200       23  

Daihen Corp

    1,300       49  

Dai-ichi Life Holdings Inc

    87,200       1,824  

Daisue Construction Co Ltd

    2,500       29  

Daito Trust Construction Co Ltd

    321,900       35,702  

Daitron Co Ltd

    1,600       25  

Daiwa House Industry Co Ltd

    112,500       3,204  

Daiwa Industries Ltd

    2,500       24  

Digital Hearts Holdings Co Ltd

    3,900       53  

Digital Holdings Inc

    4,600       60  

Dip Corp

    417,100       12,340  

Disco Corp

    17,400       4,889  

Elecom Co Ltd

    11,400       157  

ENEOS Holdings Inc

    5,508,600       21,941  

Fudo Tetra Corp

    2,000       27  

Fuji Electric Co Ltd

    769,500       39,719  

Fujibo Holdings Inc

    1,000       31  

Fujitsu Ltd

    187,200       27,037  

Glory Ltd

    3,600       65  

GungHo Online Entertainment Inc

    1,116,000       24,601  

Gunze Ltd

    1,400       48  

Hirata Corp

    1,000       45  

Hitachi Ltd

    1,313,200       64,735  

Horiba Ltd

    398,700       22,913  

I-PEX Inc

    6,700       86  

Japan Post Insurance Co Ltd

    201,100       3,425  

JK Holdings Co Ltd

    3,600       33  

Kanamoto Co Ltd

    5,200       103  

Kao Corp

    481,400       22,528  

KDDI Corp

    662,100       21,635  

Keyence Corp

    54,349       25,552  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Konami Holdings Corp

    413,900     $ 23,406  

Konica Minolta Inc

    585,700       2,477  

Lawson Inc

    70,400       2,939  

Makita Corp

    113,000       4,043  

Mazda Motor Corp

    697,000       5,166  

Miroku Jyoho Service Co Ltd

    6,800       90  

Mitsubishi Electric Corp

    737,900       8,860  

Mitsubishi UFJ Financial Group Inc

    9,756,400       60,359  

Mitsui & Co Ltd

    352,200       8,791  

Mixi Inc

    264,700       5,136  

Nihon M&A Center Holdings Inc

    14,600       214  

Nihon Unisys Ltd

    86,100       2,363  

Nikon Corp

    224,200       2,330  

Nippon Shinyaku Co Ltd

    234,100       15,173  

Nippon Telegraph & Telephone Corp

    37,100       1,062  

Nippon Thompson Co Ltd

    12,000       57  

Nissan Tokyo Sales Holdings Co Ltd

    86,600       177  

Nitto Seiko Co Ltd

    5,400       24  

Nittoku Co Ltd

    3,700       86  

Okabe Co Ltd

    6,100       38  

ORIX Corp

    4,069,100       80,724  

Pacific Industrial Co Ltd

    5,300       47  

Pasona Group Inc

    3,800       83  

Pigeon Corp

    184,100       3,395  

Recordati Industria Chimica e Farmaceutica SpA

    1,216,660       50,701  

Sankyu Inc

    495,700       17,238  

SBI Holdings Inc/Japan

    1,151,315       30,148  

SCREEN Holdings Co Ltd

    381,800       37,356  

Seiko Epson Corp

    197,800       3,043  

Seven & i Holdings Co Ltd

    355,700       17,292  

Shimamura Co Ltd

    74,900       6,775  

Shimano Inc

    34,800       8,095  

Shin-Etsu Chemical Co Ltd

    30,400       4,696  

Shinnihon Corp

    3,800       25  

Showa Denko KK

    1,766,400       32,471  

Sinfonia Technology Co Ltd

    2,900       33  

SMS Co Ltd

    347,000       9,337  

Soda Nikka Co Ltd

    4,600       29  

Sompo Holdings Inc

    34,300       1,495  

Sony Group Corp

    763,971       78,489  

Sprix Ltd

    2,400       30  

Star Micronics Co Ltd

    7,200       92  

Sumitomo Forestry Co Ltd

    3,900       75  

Sumitomo Mitsui Financial Group Inc

    276,700       9,868  

Sumitomo Rubber Industries Ltd

    171,000       1,656  

Suzuki Motor Corp

    781,700       31,093  

T&D Holdings Inc

    62,500       908  

Takaoka Toko Co Ltd

    4,000       51  

TIS Inc

    256,600       6,081  

Tobishima Corp

    4,500       45  

Tochigi Bank

    17,500       34  

 

 

 

114

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Equity Ex-US Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Toei Animation Co Ltd

    89,700     $ 7,983  

Toho Holdings Co Ltd

    45,300       746  

Tokio Marine Holdings Inc

    52,600       3,006  

Tokyo Electron Ltd

    53,400       26,151  

Toshiba Corp

    25,300       1,008  

Tosoh Corp

    2,557,700       39,881  

Trend Micro Inc/Japan

    64,500       3,599  

UT Group Co Ltd

    616,300       18,718  

Wakita & Co Ltd

    3,600       31  

Workman Co Ltd

    113,400       4,970  

Xebio Holdings Co Ltd

    4,500       38  

Yamaha Motor Co Ltd

    61,100       1,374  

Yondenko Corp

    1,900       27  

Yurtec Corp

    5,600       36  

Z Holdings Corp

    4,952,200       24,074  
              1,194,441  
                 

Luxembourg — 0.0%

Majorel Group Luxembourg SA *

     1,969       60  

Malaysia — 0.1%

Hong Leong Financial Group Bhd

    123,020       566  

Pantech Group Holdings Bhd

    216,400       32  

Petronas Chemicals Group Bhd

    3,172,600       7,221  
              7,819  
                 

Mexico — 0.4%

Arca Continental SAB de CV

    199,233       1,316  

Grupo Financiero Banorte SAB de CV, Cl O

    5,503,930       37,440  
              38,756  
                 

Monaco — 0.0%

Costamare Inc

    6,655       90  

Netherlands — 4.7%

ABN AMRO Bank NV

    2,065,680       27,321  

Adyen NV *

     13,248       27,245  

ArcelorMittal SA

    1,547,082       48,040  

ASML Holding NV

    101,952       68,235  

BE Semiconductor Industries NV

    97,151       8,215  

ING Groep NV

    5,626,138       65,862  

Koninklijke Ahold Delhaize NV

    897,320       27,598  

Koninklijke DSM NV

    171,652       32,168  

NN Group NV

    1,151,728       55,233  

OCI NV *

     983,366       27,943  

Randstad NV

    293,434       19,828  

Universal Music Group NV

    441,349       10,114  

Wolters Kluwer NV

    387,534       39,384  
              457,186  
                 

Norway — 1.7%

Aker BP ASA

    448,724       14,030  

DNB Bank ASA

    3,221,402       72,076  

Equinor ASA

    1,021,131       32,394  

FLEX LNG Ltd (A)

     27,902       692  

Gjensidige Forsikring ASA

    392,210       9,719  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Kongsberg Gruppen ASA

    10,423     $ 368  

MPC Container Ships AS

    607,898       1,912  

Norsk Hydro ASA

    888,240       8,427  

Salmar ASA

    293,210       21,637  
              161,255  
                 

Poland — 0.3%

Asseco Poland SA

    5,628       99  

Bank Polska Kasa Opieki SA

    199,190       5,482  

Cognor Holding SA

    41,096       45  

Enea SA

    23,360       49  

Orange Polska SA

    366,955       683  

PGE Polska Grupa Energetyczna SA *

     571,768       1,114  

Polskie Gornictwo Naftowe i Gazownictwo SA

    1,871,271       2,483  

Powszechna Kasa Oszczednosci Bank Polski SA *

     720,317       6,936  

Powszechny Zaklad Ubezpieczen SA

    867,127       6,535  

Santander Bank Polska SA

    8,857       665  

Tauron Polska Energia SA *

     216,977       129  
              24,220  
                 

Portugal — 0.4%

EDP - Energias de Portugal SA

    8,390,810       40,831  

Qatar — 0.1%

Gulf International Services QSC *

     152,244       74  

Industries Qatar QSC

    374,699       1,883  

Mekdam Holding Group

    38,114       101  

Ooredoo QPSC

    238,410       503  

Qatar National Bank QPSC

    1,745,029       10,447  
              13,008  
                 

Russia — 0.0%

Raspadskaya OJSC (B)

     374,156       559  

Saudi Arabia — 0.8%

Al Rajhi Bank

    472,355       20,251  

Arabian Cement Co/Saudi Arabia

    135,430       1,446  

Astra Industrial Group

    142,790       1,495  

Bank AlBilad *

     49,058       770  

Bawan Co

    102,169       990  

Etihad Etisalat Co

    266,058       2,479  

National Industrialization Co *

     1,303,903       7,862  

National Medical Care Co

    19,877       372  

Saudi Basic Industries Corp

    913,862       30,408  

Saudi Electricity Co

    236,052       1,737  

Saudi Kayan Petrochemical Co *

     808,541       4,400  

United International Transportation Co

    274,676       3,576  

Zamil Industrial Investment Co *

     241,983       1,810  
              77,596  
                 

Singapore — 0.0%

Jardine Cycle & Carriage Ltd

    103,200       1,665  

South Africa — 0.3%

ArcelorMittal South Africa Ltd *

     135,846       77  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

115

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Equity Ex-US Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Clicks Group Ltd

    673,190     $ 13,056  

Harmony Gold Mining Co Ltd ADR

    29,780       127  

Investec Ltd

    16,991       95  

MTN Group *

     583,330       7,242  

Shoprite Holdings Ltd

    301,580       4,475  

Thungela Resources Ltd *

     32,059       290  
              25,362  
                 

South Korea — 5.6%

Agabang&Company *

     18,483       62  

BNK Financial Group Inc

    912,896       5,989  

Coway Co Ltd

    816,401       48,915  

Daishin Securities Co Ltd

    34,929       496  

DB HiTek Co Ltd

    14,156       823  

DGB Financial Group Inc

    183,394       1,448  

Doosan Co Ltd

    13,472       1,276  

Fila Holdings Corp

    60,114       1,784  

Hana Financial Group Inc

    906,321       36,772  

Hanwha Aerospace Co Ltd

    59,282       2,586  

Hyosung TNC Corp

    2,851       1,156  

Hyundai Engineering & Construction Co Ltd

    30,233       1,091  

Hyundai Steel Co

    111,743       3,716  

Ilshin Spinning Co Ltd

    206       20  

KB Financial Group Inc

    1,207,006       59,908  

Kia Corp

    610,736       38,028  

Korea Investment Holdings Co Ltd

    7,078       469  

KT Corp

    162,266       4,323  

KT Corp SP ADR *

     604,051       7,967  

LG Display Co Ltd (A)

     263,211       4,123  

LG Electronics Inc

    221,204       23,147  

LG Household & Health Care Ltd

    8,130       6,440  

Lotte Confectionery Co Ltd

    316       31  

LS Electric Co Ltd

    9,570       344  

LX Semicon Co Ltd

    14,574       1,400  

Meritz Financial Group Inc

    863       26  

POSCO Holdings Inc

    58,179       13,845  

Sajodaerim Corp

    1,585       38  

Samsung Card Co Ltd

    32,499       869  

Samsung Electronics Co Ltd

    1,822,697       110,610  

Shinhan Financial Group Co Ltd

    362,856       11,788  

SK Hynix Inc

    653,646       68,558  

SK Square Co Ltd *

     260,869       12,148  

SK Telecom Co Ltd

    1,371,859       62,368  

SPC Samlip Co Ltd

    642       45  

Unid Co Ltd

    12,581       912  

Woori Financial Group Inc

    467,773       5,590  
              539,111  
                 

Spain — 0.6%

Amadeus IT Group SA, Cl A *

     570,910       38,186  

Banco Bilbao Vizcaya Argentaria SA

    1,479,220       8,750  

Industria de Diseno Textil SA

    356,947       9,408  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Laboratorios Farmaceuticos Rovi SA

    1,649     $ 134  
              56,478  
                 

Sweden — 2.0%

Assa Abloy AB, Cl B

    521,037       13,857  

Atlas Copco AB, Cl A

    105,300       5,511  

BE Group AB

    5,886       88  

Byggmax Group AB

    33,821       237  

Clas Ohlson AB, Cl B

    34,854       394  

Essity AB, Cl B

    951,550       24,659  

Ferronordic AB

    9,299       110  

Fortnox AB

    112,905       454  

Getinge AB, Cl B

    263,721       10,356  

H & M Hennes & Mauritz AB, Cl B

    733,320       12,434  

Hexagon AB, Cl B

    995,908       13,571  

Husqvarna AB, Cl B

    697,669       8,448  

Kinnevik AB, Cl B *

     315,592       8,100  

Lundin Energy AB

    153,524       5,702  

New Wave Group AB, Cl B

    23,713       362  

Nordea Bank Abp

    3,023,600       33,847  

Securitas AB, Cl B

    2,122,314       25,839  

Swedish Match AB

    4,043,000       29,666  
              193,635  
                 

Switzerland — 5.4%

Alcon Inc

    114,430       8,823  

Belimo Holding AG

    5,616       2,985  

Bossard Holding AG

    430       120  

Comet Holding AG

    1,917       582  

Georg Fischer AG

    361       446  

Holcim Ltd

    1,081,073       54,187  

Kuehne + Nagel International AG

    84,961       23,264  

Lonza Group AG

    47,460       32,914  

Nestle SA

    874,030       113,961  

Novartis AG

    7,487       658  

Partners Group Holding AG

    15,075       20,454  

Roche Holding AG

    421,282       160,207  

Sonova Holding AG

    48,743       18,938  

STMicroelectronics NV

    652,089       27,445  

Straumann Holding AG

    10,827       17,147  

Swatch Group AG/The, Cl B

    118,250       36,646  

Tecan Group AG

    4,227       1,831  

UBS Group AG

    152,163       2,771  
              523,379  
                 

Taiwan — 4.1%

Acer Inc

    2,550,000       2,647  

Asia Vital Components Co Ltd

    605,000       2,413  

ASPEED Technology Inc

    14,000       1,379  

Asustek Computer Inc

    997,000       13,299  

Cathay Financial Holding Co Ltd

    2,820,000       6,319  

China Development Financial Holding Corp

    3,837,000       2,630  

Compal Electronics Inc

    3,490,000       3,180  

 

 

 

116

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Equity Ex-US Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

CTBC Financial Holding Co Ltd

    3,352,000     $ 3,274  

eMemory Technology Inc

    32,000       2,155  

Evergreen Marine Corp Taiwan Ltd

    1,836,000       9,714  

Faraday Technology Corp

    285,000       2,841  

Fubon Financial Holding Co Ltd

    1,435,170       3,868  

General Interface Solution Holding Ltd

    845,000       2,755  

Gigabyte Technology Co Ltd

    1,444,000       7,384  

Global Unichip Corp

    7,000       116  

Greatek Electronics Inc

    273,000       718  

Holtek Semiconductor Inc

    431,000       1,693  

Hon Hai Precision Industry Co Ltd

    7,995,000       29,663  

King Yuan Electronics Co Ltd

    2,002,000       3,148  

Lite-On Technology Corp

    3,459,000       8,509  

Macronix International Co Ltd

    1,125,000       1,773  

MediaTek Inc

    839,018       32,754  

Micro-Star International Co Ltd

    1,293,000       7,324  

Novatek Microelectronics Corp

    2,265,000       37,673  

OptoTech Corp

    898,000       1,705  

Pegatron Corp

    493,000       1,226  

Pou Chen Corp

    5,358,000       6,184  

Realtek Semiconductor Corp

    658,000       10,843  

Silicon Motion Technology Corp ADR

    13,086       949  

Simplo Technology Co Ltd

    2,002,000       22,471  

Taishin Financial Holding Co Ltd

    7,344,252       5,153  

Taiwan Semiconductor Manufacturing Co Ltd

    5,506,267       117,723  

Taiwan Semiconductor Manufacturing Co Ltd ADR

    189,684       20,298  

Topco Scientific Co Ltd

    62,000       384  

Wan Hai Lines Ltd

    440,000       3,002  

WT Microelectronics Co Ltd

    108,000       324  

Yuanta Financial Holding Co Ltd

    21,414,183       19,095  
              396,586  
                 

Thailand — 1.1%

Airports of Thailand PCL *

     2,038,200       4,030  

Bangkok Bank PCL

    2,116,000       9,096  

Indorama Ventures PCL

    1,228,000       1,706  

Kasikornbank PCL

    4,123,400       20,694  

Krung Thai Bank PCL

    2,804,800       1,207  

PTT Exploration & Production PCL

    1,111,900       4,691  

PTT Global Chemical PCL

    14,400       23  

Sansiri PCL

    4,493,800       170  

Siam Commercial Bank PCL/The

    17,034,200       65,732  

Thai Oil PCL

    884,600       1,467  

Tisco Financial Group PCL

    8,600       26  
              108,842  
                 

Turkey — 0.0%

Akbank TAS

    610,235       311  

Enka Insaat ve Sanayi AS

    108,173       96  

KOC Holding AS

    360,777       827  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Tekfen Holding AS

    15,928     $ 21  
              1,255  
                 

United Arab Emirates — 0.2%

Abu Dhabi Commercial Bank PJSC

    398,654       1,169  

Dubai Islamic Bank PJSC

    1,253,434       2,082  

Emaar Properties PJSC

    3,334,456       4,634  

Emirates NBD Bank PJSC

    482,688       1,880  

First Abu Dhabi Bank PJSC

    1,144,314       6,436  
              16,201  
                 

United Kingdom — 12.8%

888 Holdings PLC

    23,393       76  

Anglo American PLC

    1,905,984       98,121  

Antofagasta PLC

    1,328,418       27,119  

Aon PLC, Cl A

    69,801       20,392  

Aptiv PLC *

     206,888       26,780  

Ashtead Group PLC

    386,461       25,015  

Atlassian Corp PLC, Cl A *

     73,580       22,495  

British American Tobacco PLC

    186,950       8,153  

Clarkson PLC

    1,023       45  

CNH Industrial NV

    2,317,124       33,313  

ConvaTec Group PLC

    18,594,804       45,340  

Dechra Pharmaceuticals PLC

    185,664       10,277  

Diageo PLC

    1,208,473       60,061  

Endava PLC ADR *

     64,199       8,550  

Endeavour Mining PLC

    902,590       24,352  

Entain PLC *

     1,456,160       32,767  

Evraz PLC (A)

     860,326       1,699  

Ferguson PLC

    174,568       26,795  

Ferrexpo PLC

    2,514,912       5,773  

Firstgroup PLC *

     96,128       127  

Frasers Group PLC *

     30,969       266  

Fresnillo PLC

    374,273       3,629  

GlaxoSmithKline PLC

    1,330,874       27,713  

Glencore PLC

    804,770       4,760  

Globaltrans Investment PLC GDR

    6,013       11  

Greencore Group PLC *

     10,838,444       19,014  

Howden Joinery Group PLC

    247,188       2,811  

Inchcape PLC

    11,317       113  

Indivior PLC *

     245,093       920  

Informa PLC *

     8,375,885       65,481  

Intertek Group PLC

    386,211       27,629  

Investec PLC

    807,235       4,402  

Just Group PLC *

     73,701       82  

Kingfisher PLC

    22,768,437       93,826  

Linde PLC

    129,701       37,746  

London Stock Exchange Group PLC

    116,750       10,351  

Man Group PLC/Jersey

    46,253       120  

Marks & Spencer Group PLC *

     342,777       804  

Melrose Industries PLC

    43,649,520       85,027  

NatWest Group PLC

    20,398,767       62,334  

Ninety One PLC

    299,409       993  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

117

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Equity Ex-US Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Nomad Foods Ltd *

     3,494,955     $ 88,003  

Pagegroup PLC

    123,008       936  

Persimmon PLC

    786,050       25,260  

Prudential PLC

    574,256       8,630  

QinetiQ Group PLC

    311,042       1,221  

RELX PLC

    841,943       25,644  

Royal Mail PLC

    511,368       2,681  

Sensata Technologies Holding PLC *

     839,869       48,637  

Shell PLC

    2,014,336       53,652  

Smith & Nephew PLC

    2,080,790       36,840  

Smiths News PLC

    201       –  

Speedy Hire PLC

    89,405       63  

SThree PLC

    3,037       18  

Unilever PLC

    284,443       14,290  

Vodafone Group PLC

    3,533,550       6,185  

Wise PLC, Cl A *

     24,368       177  
              1,237,519  
                 

United States — 1.7%

Baker Hughes Co, Cl A

    2,220,350       65,234  

Berry Global Group Inc *

     735,388       44,601  

Gentex Corp

    716,973       21,703  

Globant SA *

     17,690       4,847  

S&P Global Inc

    80,410       30,210  
              166,595  
                 

Total Common Stock

               

(Cost $8,173,195) ($ Thousands)

             9,137,642  
                 
                 
                 

PREFERRED STOCK — 0.6%

Brazil — 0.3%

Braskem SA

    318,300       2,949  

Itau Unibanco Holding SA *

     1,006,100       4,974  

Petroleo Brasileiro SA

     2,886,800       19,052  
              26,975  
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

PREFERRED STOCK (continued)

South Korea — 0.3%

Samsung Electronics Co Ltd

     455,426     $ 25,336  

Total Preferred Stock

               

(Cost $52,666) ($ Thousands)

             52,311  
                 
                 
                 

EXCHANGE TRADED FUNDS — 0.1%

United States — 0.1%

iShares MSCI ACWI ex US ETF

    1,000       52  

iShares Trust iShares ESG Aware MSCI EAFE ETF

    137,420       10,127  

Total Exchange Traded Funds

               

(Cost $10,404) ($ Thousands)

             10,179  
                 
                 
                 

AFFILIATED PARTNERSHIP — 0.2%

SEI Liquidity Fund, L.P.

                

0.050% **†(C)

     20,141,926       20,151  
                 
                 

Total Affiliated Partnership

                

(Cost $20,137) ($ Thousands)

     20,151  
                 
                 
                 

CASH EQUIVALENT — 2.7%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     261,949,789       261,950  
                 

Total Cash Equivalent

                

(Cost $261,950) ($ Thousands)

             261,950  
                 
                 

Total Investments in Securities — 98.4%

                

(Cost $8,518,352) ($ Thousands)

  $ 9,482,233  
                 
                 
                 

 

 
 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

Euro STOXX 50

     2,044       Mar-2022     $ 92,642     $ 90,157     $ (2,574 )

FTSE 100 Index

     416       Mar-2022       40,464       41,497       874  

Hang Seng Index

     45       Mar-2022       6,706       6,524       (175 )

S&P TSX 60 Index

     134       Mar-2022       26,393       26,949       224  

SPI 200 Index

     196       Mar-2022       24,866       24,972       (302 )

TOPIX Index

     365       Mar-2022       61,037       59,927       (980 )
                    $ 252,108     $ 250,026     $ (2,933 )

 

 

 

118

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Equity Ex-US Fund (Continued)

 

 

A list of the open forward foreign currency contracts held by the Fund at February 28, 2022, is as follows:

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Bank of America

     03/17/22       USD       2,145       GBP       1,603     $ 6  

Bank of America

     03/17/22       USD       23,748       GBP       17,537       (217 )

Bank of America

     03/24/22       USD       3,326       MXN       68,178       (2 )

Bank of America

     03/24/22       USD       10,831       DKK       71,008       (97 )

Bank of America

     03/24/22       DKK       16,249       USD       2,479       23  

Bank of America

     03/24/22       MXN       46,256       USD       2,238       (17 )

Bank of America

     03/24/22       SEK       84,528       USD       9,256       292  

Bank of America

     04/07/22       USD       14,769       INR       1,111,738       (104 )

Bank of America

     04/13/22       CHF       9,708       USD       10,638       33  

Bank of America

     04/22/22       USD       4,465       CAD       5,677       12  

Bank of America

     04/22/22       CAD       11,461       USD       8,940       (99 )

Bank of America

     04/28/22       USD       2,600       HKD       20,282       (4 )

Bank of America

     04/28/22       USD       2,766       TWD       75,866       (52 )

Bank of America

     04/28/22       USD       2,079       JPY       239,804       6  

Bank of America

     04/28/22       USD       8,066       JPY       926,658       (8 )

Bank of America

     04/28/22       JPY       1,503,960       USD       13,018       (60 )

Bank of America

     04/28/22       KRW       62,683,992       USD       52,678       624  

Bank of America

     05/12/22       USD       1,853       EUR       1,622       (26 )

Barclays PLC

     03/02/22       USD       20,839       RUB       1,557,373       (6,309 )

Barclays PLC

     03/24/22       USD       2,048       SEK       19,554       25  

Barclays PLC

     04/07/22       USD       7,815       INR       589,593       (37 )

Barclays PLC

     04/07/22       INR       245,180       USD       3,247       13  

Barclays PLC

     04/07/22       INR       157,053       USD       2,062       (10 )

Barclays PLC

     04/22/22       USD       2,186       CAD       2,774       1  

Barclays PLC

     04/28/22       USD       19,481       HKD       151,840       (44 )

Barclays PLC

     04/29/22       TWD       315,180       USD       11,366       91  

BNP Paribas

     03/17/22       GBP       666       USD       901       8  

BNP Paribas

     04/22/22       CAD       4,536       USD       3,570       (7 )

BNP Paribas

     04/29/22       USD       2,067       TWD       58,057       10  

BNP Paribas

     04/28/22       USD       6,412       TWD       177,961       (45 )

BNP Paribas

     04/28/22       TWD       67,661       USD       2,461       41  

Brown Brothers Harriman

     03/02/22       USD       2,148       RUB       167,649       (584 )

Brown Brothers Harriman

     03/17/22       USD       3,236       GBP       2,418       9  

Brown Brothers Harriman

     04/07/22       USD       2,142       INR       162,045       (4 )

Brown Brothers Harriman

     04/28/22       KRW       6,489,960       USD       5,350       (40 )

Citigroup

     03/02/22       RUB       344,066       USD       4,332       1,122  

Citigroup

     04/07/22       USD       2,266       INR       169,784       (26 )

Citigroup

     04/07/22       INR       158,672       USD       2,090       (3 )

Citigroup

     04/13/22       CHF       2,050       USD       2,211       (28 )

Citigroup

     04/22/22       CAD       4,754       USD       3,729       (20 )

Citigroup

     05/12/22       USD       7,517       EUR       6,727       58  

Citigroup

     05/12/22       EUR       10,174       USD       11,577       121  

Deutsche Bank

     03/03/22       ILS       40,353       USD       12,875       285  

Deutsche Bank

     03/17/22       GBP       2,743       USD       3,712       31  

Deutsche Bank

     03/17/22       USD       3,332       GBP       2,453       (42 )

Deutsche Bank

     03/24/22       SEK       54,578       USD       5,973       184  

Deutsche Bank

     03/24/22       NOK       56,491       USD       6,414       (11 )

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

119

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Equity Ex-US Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Deutsche Bank

     04/28/22       USD       4,630       JPY       533,631     $ 10  

Deutsche Bank

     05/06/22       USD       2,807       HUF       938,410       22  

Goldman Sachs

     03/03/22       BRL       16,147       USD       3,136       2  

Goldman Sachs

     03/17/22       GBP       17,700       USD       23,949       200  

Goldman Sachs

     03/24/22       USD       2,051       MXN       42,428       18  

Goldman Sachs

     03/24/22       MXN       108,086       USD       5,266       (4 )

Goldman Sachs

     04/22/22       CAD       5,041       USD       3,957       (19 )

Goldman Sachs

     04/28/22       AUD       3,068       USD       2,186       (42 )

Goldman Sachs

     05/12/22       USD       9,627       EUR       8,495       (61 )

HSBC

     03/03/22       ILS       22,056       USD       7,044       163  

HSBC

     03/03/22       BRL       66,659       USD       13,070       135  

HSBC

     04/28/22       USD       3,992       TWD       110,729       (31 )

HSBC

     04/28/22       TWD       1,277,689       USD       46,295       589  

HSBC

     05/12/22       USD       7,642       EUR       6,722       (72 )

JPMorgan Chase Bank

     04/13/22       USD       2,321       CHF       2,107       (20 )

JPMorgan Chase Bank

     04/21/22       USD       2,238       SGD       3,009       (21 )

JPMorgan Chase Bank

     04/28/22       HKD       19,614       USD       2,512       2  

JPMorgan Chase Bank

     05/12/22       USD       4,879       EUR       4,256       (87 )

Morgan Stanley

     03/03/22       USD       27,089       BRL       148,599       1,747  

Morgan Stanley

     03/03/22       BRL       39,299       USD       7,624       (2 )

Morgan Stanley

     03/17/22       USD       4,413       GBP       3,275       (20 )

Morgan Stanley

     03/17/22       GBP       6,176       USD       8,279       (8 )

Morgan Stanley

     03/24/22       MXN       126,276       USD       6,123       (33 )

Morgan Stanley

     04/07/22       USD       33,564       INR       2,537,074       (97 )

Morgan Stanley

     04/13/22       USD       2,250       CHF       2,073       15  

Morgan Stanley

     04/21/22       USD       12,400       SGD       16,709       (88 )

Morgan Stanley

     04/21/22       USD       20,260       ZAR       310,853       (268 )

Morgan Stanley

     04/22/22       USD       163,118       CAD       207,401       444  

Morgan Stanley

     04/28/22       USD       2,500       AUD       3,471       20  

Morgan Stanley

     04/28/22       USD       2,160       JPY       248,539       1  

Morgan Stanley

     04/28/22       USD       2,627       JPY       301,387       (6 )

Morgan Stanley

     04/28/22       AUD       5,492       USD       3,933       (54 )

Morgan Stanley

     04/28/22       USD       4,954       KRW       5,994,333       24  

Morgan Stanley

     04/28/22       USD       2,677       KRW       3,201,266       (19 )

Morgan Stanley

     04/28/22       HKD       19,194       USD       2,461       4  

Morgan Stanley

     04/28/22       USD       44,497       TWD       1,222,779       (756 )

Morgan Stanley

     04/28/22       TWD       66,677       USD       2,423       38  

Morgan Stanley

     04/28/22       JPY       711,895       USD       6,203       13  

Morgan Stanley

     04/28/22       JPY       101,222       USD       877       (3 )

Morgan Stanley

     04/28/22       KRW       9,469,997       USD       7,905       41  

Morgan Stanley

     05/12/22       EUR       4,860       USD       5,562       89  

Morgan Stanley

     05/12/22       USD       3,205       EUR       2,869       26  

Morgan Stanley

     05/12/22       USD       12,010       EUR       10,503       (183 )

National Bank of Australia

     04/28/22       USD       55,219       AUD       78,132       1,511  

RBS

     04/28/22       USD       3,319       JPY       383,303       14  

RBS

     04/28/22       AUD       3,436       USD       2,452       (43 )

RBS

     05/12/22       USD       3,094       EUR       2,765       20  

Standard Bank

     04/07/22       INR       168,655       USD       2,244       19  

 

 

 

120

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Equity Ex-US Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Standard Bank

     04/28/22       USD       3,780       AUD       5,288     $ 60  

Standard Bank

     04/28/22 - 04/29/22       USD       4,013       TWD       111,519       (24 )

Standard Bank

     04/28/22       TWD       221,761       USD       8,015       82  

Standard Bank

     04/28/22       JPY       13,716,003       USD       119,379       112  

UBS

     03/02/22       RUB       192,542       USD       2,497       701  

UBS

     03/03/22       BRL       26,494       USD       5,069       (72 )

UBS

     03/24/22       USD       2,379       DKK       15,850       17  

UBS

     04/13/22       CHF       5,947       USD       6,426       (70 )

UBS

     04/13/22       USD       14,627       CHF       13,525       148  

UBS

     04/22/22       USD       11,113       CAD       14,140       38  

UBS

     04/28/22       USD       5,100       JPY       588,138       14  

UBS

     04/28/22       USD       5,450       JPY       626,177       (5 )

UBS

     05/06/22       HUF       6,046,580       USD       19,221       994  

UBS

     05/12/22       USD       7,473       EUR       6,545       (103 )

UBS

     05/12/22       EUR       114,340       USD       130,837       2,081  
                                            $ 2,302  

 

 

 

Percentages are based on Net Assets of $9,640,774 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

(A)

Certain securities or partial positions of certain securities are on loan at February 28, 2022. The total market value of securities on loan at February 28, 2022 was $18,905 ($ Thousands).

(B)

Securities considered illiquid. The total value of such securities as of February 28, 2022 was $1,117 ($ Thousands) and represented 0.0% of the Net Assets of the Fund.

(C)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of February 28, 2022 was $20,151 ($ Thousands).

 

ACWI — All Country World Index

ADR — American Depositary Receipt

AUD — Australian Dollar

BRL — Brazilian Real

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DKK — Danish Krone

EAFE — Europe, Australasia and Far East

ESG — Environmental, Social and Governance

ETF — Exchange-Traded Fund

EUR — Euro

FTSE— Financial Times Stock Exchange

GBP — British Pound Sterling

GDR — Global Depositary Receipt

HKD — Hong Kong Dollar

HUF — Hungarian Forint

INR — Indian Rupee

ILS — Israeli New Sheckels

JPY — Japanese Yen

KRW — Korean Won

L.P. — Limited Partnership

Ltd. — Limited

MSCI — Morgan Stanley Capital International

MXN — Mexican Peso

 

NOK — Norwegian Krone

PJSC — Public Joint-Stock Company

PLC — Public Limited Company

RUB — Russian Ruble

S&P— Standard & Poor's

SGD — Singapore Dollar

SEK — Swedish Krona

SPI — Share Price Index

TOPIX — Tokyo Price Index

TSX — Toronto Stock Exchange

TWD — Taiwan Dollar

USD — U.S. Dollar

ZAR — South African Rand

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

121

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Equity Ex-US Fund (Concluded)

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)(1)

    

Total
($)

  

Common Stock

     1,139,582       7,998,060       –       9,137,642  

Preferred Stock

     26,975       25,336       –       52,311  

Exchange Traded Funds

     10,179       –       –       10,179  

Affiliated Partnership

     –       20,151       –       20,151  

Cash Equivalent

     261,950       –       –       261,950  

Total Investments in Securities

     1,438,686       8,043,547       –       9,482,233  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Appreciation

     1,098       –       –       1,098  

Unrealized Depreciation

     (4,031 )     –       –       (4,031 )

Forwards Contracts*

                                

Unrealized Appreciation

     –       12,409       –       12,409  

Unrealized Depreciation

     –       (10,107 )     –       (10,107 )

Total Other Financial Instruments

     (2,933 )     2,302       –       (631 )

 

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

 

*

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

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

  

Value 5/31/2021

    

Purchases at Cost

    

Proceeds from Sales

    

Realized Gain (Loss)

  

Change in

Unrealized Appreciation/

(Depreciation)

    

Value 2/28/2022

    

Shares

    

Income

    

Capital Gains

  

SEI Liquidity Fund, L.P.

   $ 145,937     $ 528,993     $ (654,788 )   $ 18     $ (9 )   $ 20,151       20,141,926     $ 780     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     342,536       913,759       (994,353 )     8       —       261,950       261,949,789       17       —  

Totals

   $ 488,473     $ 1,442,752     $ (1,649,141 )   $ 26     $ (9 )   $ 282,101             $ 797     $ —  

 

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

 

 

122

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Screened World Equity Ex-US Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 95.0%

Argentina — 0.0%

Ternium SA ADR

    843     $ 33  

Australia — 4.0%

Aristocrat Leisure Ltd

    6,710       185  

Australian Vintage Ltd

    55,293       30  

BGP Holdings *(A)

     4,500       –  

BHP Group Ltd

    23,592       814  

BlueScope Steel Ltd

    33,687       505  

ClearView Wealth

    38,689       20  

Cogstate Ltd *

     18,585       26  

Euroz Hartleys Group

    8,177       9  

GR Engineering Services

    15,488       25  

GrainCorp Ltd, Cl A

    52,637       324  

Kelly Partners Group Holdings

    2,467       9  

Lynas Rare Earths Ltd *

     54,195       410  

Macmahon Holdings Ltd

    286,343       37  

Macquarie Group Ltd

    1,630       216  

Mader Group

    10,186       17  

Midway Ltd *

     9,210       6  

Mineral Resources Ltd

    6,761       228  

MMA Offshore *

     26,297       9  

MotorCycle Holdings Ltd

    14,298       31  

NZME

    20,554       20  

OM Holdings Ltd

    113,500       81  

PTB Group

    15,686       14  

Qantas Airways Ltd *

     258,832       965  

Sonic Healthcare Ltd

    10,865       280  

South32 Ltd

    239,012       851  

Trajan Group Holdings *

     4,425       11  

Zimplats Holdings

    484       9  
              5,132  
                 

Austria — 0.8%

ANDRITZ AG

    2,906       130  

Erste Group Bank AG

    2,220       80  

OMV AG

    14,248       679  

Palfinger AG

    2,459       72  

Strabag SE

    389       16  
              977  
                 

Belgium — 0.0%

Ion Beam Applications

    1,530       32  

Brazil — 1.3%

Banco Bradesco SA ADR

    73,834       285  

CPFL Energia SA

    93,600       550  

JBS SA

    35,100       245  

Marfrig Global Foods SA

    46,300       199  

Petroleo Brasileiro SA ADR

    28,213       403  
              1,682  
                 

Canada — 4.6%

Amerigo Resources Ltd

    54,300       71  

Bonterra Energy Corp *

     20,800       160  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

BRP Inc

    3,915     $ 280  

Canadian Natural Resources Ltd

    7,600       424  

Canfor Corp *

     17,300       391  

Cardinal Energy Ltd *

     17,900       91  

Corus Entertainment Inc, Cl B

    2,817       11  

Crew Energy Inc *

     33,872       99  

Dollarama Inc

    7,477       386  

E-L Financial Corp Ltd, Cl L

    100       72  

Hammond Power Solutions Inc, Cl A

    5,300       51  

High Liner Foods Inc

    7,300       75  

Home Capital Group Inc, Cl B

    12,000       363  

Lassonde Industries Inc

    600       72  

Linamar Corp

    1,200       63  

Medical Facilities

    2,500       20  

National Bank of Canada

    5,145       412  

Nutrien Ltd

    5,200       447  

NuVista Energy Ltd *

     14,249       109  

PHX Energy Services Corp

    8,600       41  

Points.com *

     1,100       20  

Russel Metals Inc

    3,100       77  

SNC-Lavalin Group Inc

    33,200       747  

Toromont Industries Ltd

    6,936       588  

Total Energy Services Inc *

     7,500       37  

Tourmaline Oil Corp

    2,600       103  

Trican Well Service *

     109,400       294  

WSP Global Inc

    2,500       307  
              5,811  
                 

China — 3.1%

China Construction Bank Corp, Cl H

    682,000       511  

China Index Holdings Ltd ADR *

     7,650       7  

JD.com Inc, Cl A *

     3,855       138  

Kunlun Energy Co Ltd

    88,000       87  

Li Ning Co Ltd

    24,500       245  

LONGi Green Energy Technology Co Ltd, Cl A *

     87,120       1,080  

Midea Group Co Ltd, Cl A

    94,800       1,005  

Oppein Home Group Inc, Cl A

    27,863       561  

PICC Property & Casualty Co Ltd

    208,000       220  

Viomi Technology Co Ltd ADR *

     7,301       14  
              3,868  
                 

Denmark — 3.2%

Coloplast A/S, Cl B

    1,690       255  

Demant A/S *

     8,400       355  

DSV A/S

    3,909       724  

Genmab A/S *

     2,647       891  

North Media A/S

    3,339       43  

Novo Nordisk A/S, Cl B

    15,119       1,560  

Royal Unibrew A/S

    2,430       259  

Sparekassen Sjaelland-Fyn A/S

    563       17  
              4,104  
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

123

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Screened World Equity Ex-US Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Finland — 0.5%

Alma Media Oyj

    1,111     $ 12  

Consti Oyj

    934       12  

Fortum Oyj

    8,820       186  

Metso Outotec Oyj

    17,965       153  

Rapala VMC Oyj

    2,924       20  

Relais Group Oyj

    492       12  

Sampo Oyj, Cl A

    4,510       215  

Scanfil Oyj

    1,817       14  
              624  
                 

France — 6.3%

BNP Paribas SA

    5,720       334  

Cie de Saint-Gobain

    15,515       961  

Criteo SA ADR *

     4,451       148  

Dekuple

    321       9  

EssilorLuxottica SA

    1,940       339  

Eurofins Scientific SE

    1,003       101  

Guerbet

    864       27  

Haulotte Group SA *

     3,874       19  

Legrand SA

    3,552       337  

LVMH Moet Hennessy Louis Vuitton SE

    1,289       950  

Moulinvest

    624       33  

Pernod Ricard SA

    2,218       486  

Poujoulat

    140       12  

Remy Cointreau SA

    1,100       212  

Sanofi

    11,787       1,237  

Sartorius Stedim Biotech

    866       334  

Schneider Electric SE

    2,360       368  

Societe Generale SA

    13,852       396  

Sodexo SA

    12,529       1,052  

Somfy SA

    392       70  

Stellantis NV

    1,330       24  

Sword Group

    1,097       48  

Vente-Unique.Com SA

    2,529       37  

Veolia Environnement SA

    12,190       426  

Vetoquinol SA

    206       30  
              7,990  
                 

Germany — 2.9%

Bastei Luebbe AG

    2,568       20  

Bayer AG

    149       9  

Carl Zeiss Meditec AG

    1,255       197  

Deutsche Bank AG

    5,981       75  

Deutsche Post AG

    11,217       565  

DocCheck AG

    330       9  

Ecotel Communication

    483       14  

K+S AG

    2,702       69  

KSB SE & Co KGaA

    47       24  

Merck KGaA

    3,586       717  

Rheinmetall AG

    8,494       1,265  

SAP SE

    3,298       373  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Scout24 SE

    5,480     $ 317  
              3,654  
                 

Hong Kong — 7.7%

361 Degrees International Ltd *

     81,000       40  

AIA Group Ltd

    46,400       484  

Alibaba Group Holding Ltd ADR *

     2,904       305  

Build King Holdings Ltd

    269,107       31  

China Boqi Environmental Holding Co Ltd

    148,000       25  

China Foods Ltd

    124,000       53  

China Resources Land Ltd

    182,000       886  

China XLX Fertiliser Ltd

    232,000       179  

CPMC Holdings Ltd

    57,000       31  

Goodbaby International Holdings Ltd *

     215,000       26  

Industrial & Commercial Bank of China Ltd, Cl H

    1,251,000       748  

Inner Mongolia Yitai Coal Co Ltd, Cl H

    31,000       27  

Johnson Electric Holdings Ltd

    19,000       32  

Launch Tech Co Ltd, Cl H *

     77,500       30  

Lee & Man Paper Manufacturing Ltd

    161,000       104  

Lee's Pharmaceutical Holdings

    49,500       18  

Lenovo Group Ltd

    240,000       268  

Lion Rock Group Ltd

    134,180       15  

Midland Holdings Ltd *

     468,304       59  

Nameson Holdings Ltd

    94,000       6  

Orient Overseas International Ltd

    13,500       382  

PAX Global Technology Ltd

    137,000       102  

Plover Bay Technologies Ltd

    64,000       31  

Samsonite International SA *

     667,330       1,497  

Sands China Ltd *

     307,200       807  

Shanghai Pharmaceuticals Holding Co Ltd, Cl H

    196,900       355  

Shenguan Holdings Group Ltd

    900,000       53  

SITC International Holdings Co Ltd

    91,000       376  

Stella International Holdings Ltd

    34,500       35  

TCL Electronics Holdings Ltd *

     106,000       50  

Techtronic Industries Co Ltd

    11,500       193  

Tencent Holdings Ltd

    10,600       571  

Texwinca Holdings Ltd

    662,000       139  

Time Watch Investments Ltd *

     263,233       20  

TK Group Holdings Ltd

    30,000       9  

Topsports International Holdings Ltd

    851,000       888  

Xinyi Glass Holdings Ltd

    333,000       877  
              9,752  
                 

Hungary — 0.0%

Waberer's International Nyrt *

     2,121       12  

India — 2.8%

 

     8,940       44  

Andhra Sugars

    29,055       56  

Century Enka Ltd

    18,742       130  

Dwarikesh Sugar Industries Ltd

    250,799       300  

Forbes & Co Ltd *

     596       4  

 

 

 

124

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Screened World Equity Ex-US Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

GHCL Ltd

    17,444     $ 97  

Gulf Oil Lubricants India

    11,462       68  

HDFC Bank Ltd ADR

    14,310       890  

IIFL Securities

    43,051       49  

Indian Metals & Ferro Alloys Ltd

    19,018       86  

Kirloskar Pneumatic Co Ltd

    6,648       37  

KPR Mill Ltd

    14,150       120  

Monte Carlo Fashions Ltd

    8,974       59  

Orient Cement Ltd

    70,124       136  

PTC India Ltd

    19,285       22  

Redington India Ltd

    140,972       290  

Reliance Industries Ltd

    7,960       251  

Sandur Manganese & Iron Ores Ltd/The

    2,073       82  

Tech Mahindra Ltd

    43,458       820  

Visaka Industries Ltd

    8,216       62  
              3,603  
                 

Indonesia — 0.4%

Astra Otoparts

    317,300       23  

Bank OCBC Nisp *

     220,300       10  

Bayan Resources

    10,700       28  

Bukit Asam Tbk PT

    987,000       218  

Indika Energy *

     774,800       121  

Mandala Multifinance Tbk PT

    294,300       22  

Mitrabahtera Segara Sejati *

     409,600       23  

Nippon Indosari Corpindo

    76,300       7  

Pelita Samudera Shipping

    302,600       9  

Salim Ivomas Pratama

    631,500       22  

Ultrajaya Milk Industry & Trading Co Tbk PT

    104,000       11  
              494  
                 

Ireland — 0.5%

CRH PLC

    5,990       268  

ICON PLC *

     1,100       262  

James Hardie Industries PLC ADR

    3,773       122  
              652  
                 

Israel — 1.7%

Almogim Holdings

    6,574       16  

Bank Hapoalim BM

    30,514       324  

Check Point Software Technologies Ltd *

     7,415       1,074  

Duniec Brothers Ltd

    1,295       81  

ICL Group Ltd

    17,470       201  

Ilex Medical

    2,134       100  

Inmode Ltd *

     3,974       170  

ZIM Integrated Shipping Services Ltd

    3,264       228  
              2,194  
                 

Italy — 3.9%

Banco BPM SpA

    84,285       288  

Emak SpA

    7,542       14  

Eni SpA

    59,434       923  

Gefran

    2,700       30  

Prysmian SpA

    33,776       1,111  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Stellantis NV

    78,680     $ 1,440  

Tenaris SA

    4,181       54  

UniCredit SpA

    83,572       1,043  
              4,903  
                 

Japan — 8.6%

Ainavo Holdings Co Ltd

    2,175       19  

Asahi Group Holdings Ltd

    31,100       1,259  

Brother Industries Ltd

    6,200       112  

Canon Inc

    7,300       172  

Capcom Co Ltd

    12,000       283  

Chubu Shiryo Co Ltd

    15,200       139  

Cosmos Initia

    4,100       15  

Digital Holdings Inc

    2,600       34  

Earth Corp

    4,700       230  

E-Guardian Inc *

     2,900       66  

Fujikura Ltd *

     33,400       180  

Fujitsu Ltd

    4,700       679  

Furyu Corp

    19,000       173  

Gecoss

    1,800       13  

Himaraya Co Ltd

    3,100       26  

Hitachi Ltd

    27,900       1,375  

Hokuhoku Financial Group Inc

    5,800       47  

Hokuriku Gas Co Ltd

    500       13  

Ichiyoshi Securities Co Ltd

    4,900       28  

IwaiCosmo Holdings Inc

    7,900       97  

Iwaki

    2,600       23  

Jaccs Co Ltd

    2,600       74  

Kanefusa Corp

    2,300       14  

Kyowa Electronic Instruments Co Ltd

    9,800       33  

Marubeni Corp

    32,800       344  

Mitsubishi Electric Corp

    21,200       255  

Nice

    800       13  

Nippon Telegraph & Telephone Corp

    17,440       499  

NJS Co Ltd

    1,900       33  

ORIX Corp

    56,300       1,117  

Pigeon Corp

    5,700       105  

Recordati Industria Chimica e Farmaceutica SpA

    5,500       229  

Riken Technos Corp

    9,200       37  

Rohm

    1,000       79  

Shimano Inc

    1,000       233  

Shin-Etsu Chemical Co Ltd

    1,200       185  

Shofu Inc

    1,600       24  

Showa Denko KK

    35,500       653  

SK-Electronics Co Ltd

    6,400       48  

SMS Co Ltd

    10,500       283  

Sompo Holdings Inc

    2,900       126  

Sony Group Corp

    3,300       339  

Space Co Ltd

    3,000       24  

Sumitomo Mitsui Financial Group Inc

    10,800       385  

Toei Animation Co Ltd

    2,700       240  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

125

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Screened World Equity Ex-US Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Toyo Machinery & Metal

    1,800     $ 10  

Trend Micro Inc/Japan

    3,000       167  

Tsubakimoto Kogyo Co Ltd

    700       25  

UNITED Inc/Japan

    4,800       72  

Workman Co Ltd

    3,400       149  

Xebio Holdings Co Ltd

    8,900       74  

ZIGExN Co Ltd

    20,500       52  
              10,904  
                 

Malaysia — 0.3%

Allianz Malaysia Bhd

    15,800       48  

Berjaya Food

    11,400       9  

CB Industrial Product Holding

    28,100       9  

DKSH Holdings Malaysia Bhd

    30,600       37  

Hai-O Enterprise Bhd, Cl O

    15,853       7  

Innoprise Plantations

    116,300       56  

Kim Loong Resources Bhd

    27,300       14  

Matrix Concepts Holdings

    42,600       24  

MKH Bhd

    99,700       34  

Scicom MSC

    60,700       17  

Taliworks

    347,900       81  

TH Plantations *

     64,800       16  
              352  
                 

Netherlands — 5.6%

Adyen NV *

     110       226  

ArcelorMittal SA

    12,722       395  

ASML Holding NV

    1,815       1,215  

Brunel International NV

    3,087       36  

ING Groep NV

    132,798       1,555  

NN Group NV

    35,760       1,715  

OCI NV *

     19,683       559  

SNS Reaal *(A)

     1,762       –  

Universal Music Group NV

    13,447       308  

Wolters Kluwer NV

    11,104       1,129  
              7,138  
                 

New Zealand — 0.2%

Briscoe Group Ltd

    13,568       53  

Eroad Ltd *

     2,608       7  

Rakon Ltd *

     49,213       60  

Skellerup Holdings Ltd

    13,632       54  

Steel & Tube Holdings Ltd

    53,444       56  
              230  
                 

Norway — 1.3%

Aker BP ASA

    7,265       227  

Equinor ASA

    24,700       784  

Gjensidige Forsikring ASA

    11,957       296  

Norsk Hydro ASA

    34,930       331  

Western Bulk Chartering *

     6,344       42  

Wilh Wilhelmsen Holding, Cl B

    397       11  

Wilson

    1,214       11  
              1,702  
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Peru — 0.0%

Empresa Siderurgica del Peru SAA

    28,617     $ 12  

Philippines — 0.0%

Ginebra San Miguel

    5,020       11  

Poland — 0.6%

AB SA

    1,137       12  

Amica SA

    1,207       28  

BNPP Bank Polska SA *

     952       18  

Budimex SA

    494       27  

Cognor Holding SA

    24,049       26  

ComArch SA

    1,972       83  

Dom Development SA

    1,163       29  

ING Bank Slaski SA

    742       43  

Lubelski Wegiel Bogdanka SA *

     23,362       204  

PKP Cargo *

     14,365       42  

Polskie Gornictwo Naftowe i Gazownictwo SA

    40,852       54  

Powszechna Kasa Oszczednosci Bank Polski SA *

     954       9  

Stalprodukt SA

    672       44  

Tim SA/Siechnice

    4,165       32  

Toya SA

    13,420       20  

Unimot SA

    1,772       16  

VRG SA *

     9,417       9  

Wielton SA

    10,402       21  
              717  
                 

Qatar — 0.6%

Commercial Bank PSQC/The

    86,683       164  

Industries Qatar QSC

    63,419       319  

Qatar Aluminum Manufacturing

    251,139       154  

Qatar National Cement Co QSC

    35,899       61  
              698  
                 

Russia — 0.0%

Raspadskaya OJSC

    14,758       22  

Singapore — 0.4%

Boustead Singapore Ltd

    35,165       25  

BRC Asia Ltd

    77,500       95  

Excelpoint Technology

    39,400       40  

Food Empire Holdings Ltd

    75,700       29  

Geo Energy Resources Ltd

    192,600       64  

HRnetgroup Ltd

    61,100       35  

Jardine Cycle & Carriage Ltd

    11,800       190  

Samudera Shipping Line

    78,200       45  

Sing Investments & Finance Ltd

    21,700       24  

Tiong Seng Holdings Ltd

    7,037       1  
              548  
                 

South Africa — 1.1%

Blue Label Telecoms Ltd *

     289,784       99  

Clicks Group Ltd

    20,560       399  

Combined Motor Holdings Ltd

    9,481       17  

Kumba Iron Ore Ltd

    2,690       106  

 

 

 

126

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Screened World Equity Ex-US Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Metair Investments Ltd

    11,852     $ 21  

Mpact Ltd *

     37,554       76  

Sappi Ltd *

     46,269       153  

Shoprite Holdings Ltd

    11,860       176  

Thungela Resources Ltd *

     12,474       113  

Vodacom Group Ltd

    27,650       265  
              1,425  
                 

South Korea — 5.1%

Coway Co Ltd

    21,703       1,300  

CROWNHAITAI Holdings Co Ltd

    6,658       49  

Dongkuk Industries Co Ltd

    3,166       9  

Dongwon F&B Co Ltd

    1,867       269  

Dongwon Industries Co Ltd

    327       57  

DTR Automotive Corp

    1,736       108  

Eusu Holdings

    4,060       19  

Hana Financial Group Inc

    8,199       332  

Hansol Holdings Co Ltd

    13,363       36  

KB Financial Group Inc

    13,654       678  

Kia Corp

    4,090       255  

Korea District Heating

    664       20  

LG Electronics Inc

    5,983       626  

LG Household & Health Care Ltd

    248       197  

Lotte Confectionery Co Ltd

    1,470       142  

Lotte Food Co Ltd

    204       53  

LX Hausys Ltd

    2,513       115  

LX INTERNATIONAL CORP

    11,692       288  

Maeil Holdings Co Ltd

    10,365       82  

Sajodaerim Corp

    1,514       36  

Samsung Electronics Co Ltd

    1,380       84  

Samsung Electronics Co Ltd GDR

    751       1,123  

SeAH Holdings Corp

    282       25  

Shinhan Financial Group Co Ltd

    16,583       539  

Youngone Corp *

     2,544       90  
              6,532  
                 

Spain — 0.5%

Banco Santander SA

    99,680       333  

Industria de Diseno Textil SA

    10,875       286  
              619  
                 

Sweden — 1.5%

Assa Abloy AB, Cl B

    15,883       422  

Atlas Copco AB, Cl A

    4,090       214  

Ferronordic AB

    2,393       28  

FM Mattsson Mora Group AB, Cl B

    622       15  

Fortnox AB

    4,425       18  

Getinge AB, Cl B

    2,591       102  

Hexagon AB, Cl B

    30,271       413  

Lundin Energy AB

    6,985       259  

Raketech Group Holding *

     6,872       17  

Skandinaviska Enskilda Banken AB, Cl A

    32,220       374  
              1,862  
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Switzerland — 5.7%

Alcon Inc

    4,410     $ 340  

Holcim Ltd

    26,670       1,337  

Kuehne + Nagel International AG

    2,144       587  

Lonza Group AG

    500       347  

Nestle SA

    4,990       651  

Novartis AG

    946       83  

Partners Group Holding AG

    459       623  

Roche Holding AG

    4,299       1,635  

Sonova Holding AG

    1,584       615  

Straumann Holding AG

    321       508  

UBS Group AG

    25,932       472  

Zehnder Group AG

    889       77  
              7,275  
                 

Taiwan — 4.4%

Asustek Computer Inc

    40,000       534  

Axiomtek

    27,000       61  

Chien Kuo Construction Co Ltd

    69,000       35  

Coretronic Corp

    35,000       90  

CTBC Financial Holding Co Ltd

    678,000       662  

eGalax_eMPIA Technology Inc

    25,000       75  

Hon Hai Precision Industry Co Ltd

    242,000       898  

Insyde Software

    18,000       63  

MediaTek Inc

    10,000       390  

Posiflex Technology Inc

    24,000       88  

Realtek Semiconductor Corp

    23,000       379  

Scientech Corp

    62,000       198  

Sinmag Equipment

    8,000       30  

Sonix Technology Co Ltd

    63,000       199  

Taiwan Semiconductor Manufacturing Co Ltd

    28,000       598  

Taiwan Semiconductor Manufacturing Co Ltd ADR

    5,782       619  

TPK Holding Co Ltd

    253,000       352  

Yuanta Financial Holding Co Ltd

    359,160       320  
              5,591  
                 

Thailand — 2.1%

Airports of Thailand PCL *

     78,800       156  

Bangkok Bank PCL

    45,100       194  

Bangkok Life Assurance PCL

    92,400       124  

Kang Yong Electric PCL

    1,600       18  

Kiatnakin Phatra Bank PCL

    57,000       120  

Ladprao General Hospital

    109,600       19  

Lanna Resources PCL

    410,900       241  

PTT Global Chemical PCL

    91,800       150  

Ratchaphruek Hospital PLC

    96,000       20  

S Kijchai Enterprise PCL

    174,100       51  

Siam Commercial Bank PCL/The

    394,000       1,520  

Thai Stanley Electric PCL

    5,400       31  
              2,644  
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

127

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Screened World Equity Ex-US Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Turkey — 0.0%

KOC Holding AS

    15,513     $ 36  

Yapi ve Kredi Bankasi AS

    30,967       8  
              44  
                 

United Arab Emirates — 0.0%

Ras Al Khaimah Ceramics

    55,449       48  

United Kingdom — 11.8%

Anglo American PLC

    10,800       556  

Aon PLC, Cl A

    2,128       622  

Atlassian Corp PLC, Cl A *

     2,146       656  

Cerillion PLC

    3,698       34  

CNH Industrial NV

    9,257       133  

ConvaTec Group PLC

    261,063       637  

Dechra Pharmaceuticals PLC

    5,630       312  

Diageo PLC

    9,649       480  

Evraz PLC

    33,209       66  

Exillon Energy PLC *

     4,819       –  

Ferrexpo PLC

    7,137       16  

Fresnillo PLC

    8,294       80  

GlaxoSmithKline PLC

    13,066       272  

GlaxoSmithKline PLC ADR

    13,568       568  

Glencore PLC

    31,650       187  

Greencore Group PLC *

     196,128       344  

Greggs PLC

    1,924       65  

Gresham Technologies PLC

    9,760       21  

Gulf Keystone Petroleum Ltd

    17,361       45  

Hargreaves Services PLC

    10,356       70  

Impellam Group PLC *

     3,091       20  

Informa PLC *

     160,005       1,251  

Intertek Group PLC

    5,151       369  

Investec PLC

    22,788       124  

Kingfisher PLC

    305,729       1,260  

Linde PLC

    840       244  

London Stock Exchange Group PLC

    3,560       316  

Macfarlane Group PLC

    19,861       35  

Melrose Industries PLC

    479,702       934  

Mercia Asset Management PLC

    54,167       23  

NatWest Group PLC

    519,151       1,586  

Nomad Foods Ltd *

     51,209       1,289  

Norcros PLC

    9,391       34  

NWF Group PLC

    12,655       35  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Prudential PLC

    17,505     $ 263  

RELX PLC

    27,157       827  

Sensata Technologies Holding PLC *

     16,365       948  

Vodafone Group PLC

    136,690       239  
              14,961  
                 

United States — 1.5%

Berry Global Group Inc *

     16,308       989  

Gentex Corp

    14,360       435  

Globant SA *

     680       186  

Philip Morris International Inc

    3,070       310  
              1,920  
                 

Total Common Stock

               

(Cost $110,331) ($ Thousands)

             120,772  
                 
                 
                 

PREFERRED STOCK — 0.5%

Brazil — 0.4%

Braskem SA

    15,412       143  

Cia de Saneamento do Parana *

     184,500       143  

Itau Unibanco Holding SA*

     38,700       191  
              477  
                 

Germany — 0.1%

Schaeffler AG

     21,709       148  

Total Preferred Stock

               

(Cost $659) ($ Thousands)

             625  
                 
                 
                 

CASH EQUIVALENT — 1.7%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     2,219,340       2,219  
                 

Total Cash Equivalent

                

(Cost $2,219) ($ Thousands)

             2,219  
                 
                 

Total Investments in Securities — 97.2%

                

(Cost $113,209) ($ Thousands)

  $ 123,616  
                 
                 
                 

 

 
 

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

Euro STOXX 50

     18       Mar-2022     $ 860     $ 794     $ (60 )

FTSE 100 Index

     3       Mar-2022       308       299       (5 )

S&P TSX 60 Index

     1       Mar-2022       203       201       (2 )

SPI 200 Index

     3       Mar-2022       381       382       (3 )

TOPIX Index

     4       Mar-2022       663       657       (6 )
                    $ 2,415     $ 2,333     $ (76 )

 

 

Percentages are based on Net Assets of $127,193 ($ Thousands).

 

 

 

128

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Screened World Equity Ex-US Fund (Concluded)

 

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

(A)

Level 3 security in accordance with fair value hierarchy.

 

ADR — American Depositary Receipt

Cl — Class

FTSE — Financial Times Stock Exchange

GDR — Global Depositary Receipt

Ltd — Limited

PLC — Public Limited Company

S&P — Standard & Poor's

SPI — Share Price Index

TOPIX — Tokyo Price Index

TSX — Toronto Stock Exchange

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)(1)

    

Total
($)

  

Common Stock

     18,089       102,683       – ^     120,772  

Preferred Stock

     477       148       –       625  

Cash Equivalent

     2,219       –       –       2,219  

Total Investments in Securities

     20,785       102,831       –       123,616  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Depreciation

     (76 )     –       –       (76 )

Total Other Financial Instruments

     (76 )     –       –       (76 )

 

*

Futures contracts are valued at the unrealized depreciation on the instrument.

 

(1) Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

 

^ Securities market value less than $500.

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 
 

 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 2,266     $ 14,855     $ (14,902 )   $ -     $ -     $ 2,219       2,219,340     $ -     $ -  

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

129

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 91.2%

Argentina — 0.0%

Telecom Argentina SA ADR

    2,566     $ 13  

Australia — 0.1%

AGL Energy Ltd

    16,300       89  

CSL Ltd

    251       48  

Harvey Norman Holdings Ltd

    8,114       31  

Stockland ‡

     4,825       15  

Tabcorp Holdings Ltd

    7,914       29  
              212  
                 

Austria — 0.2%

Erste Group Bank AG

    395       14  

Strabag SE

    4,494       182  

Vienna Insurance Group AG Wiener Versicherung Gruppe

    6,400       168  

Wienerberger AG

    1,919       58  
              422  
                 

Belgium — 0.3%

Ageas SA/NV

    2,200       106  

Anheuser-Busch InBev SA/NV

    8,268       510  

Etablissements Franz Colruyt NV

    2,100       84  

Sofina

    97       38  
              738  
                 

Brazil — 0.4%

Ambev SA

    69,173       204  

Cia Brasileira de Distribuicao

    64,707       293  

Embraer SA *

     88,000       301  

Iochpe Maxion

    13,900       35  

JBS SA

    12,534       87  

Marfrig Global Foods SA

    13,000       56  

Telefonica Brasil

    19,600       191  
              1,167  
                 

Canada — 1.0%

Alimentation Couche-Tard

    4,500       177  

Aritzia Inc *

     1,426       54  

Bank of Montreal

    2,070       236  

BlackBerry Ltd *

     1,356       9  

Brookfield Asset Management Inc, Cl A

    282       15  

Cameco

    479       12  

Canaccord Genuity Group Inc

    1,228       13  

Canadian Imperial Bank of Commerce

    2,430       307  

Canadian Natural Resources Ltd

    2,060       115  

Canadian Pacific Railway Ltd

    660       46  

Canadian Tire Corp Ltd, Cl A

    1,200       177  

Cogeco Communications Inc

    1,500       120  

Gildan Activewear Inc

    3,331       131  

iA Financial Corp Inc

    364       22  

IGM Financial Inc

    254       9  

Intact Financial Corp

    538       77  

Keyera Corp

    852       20  

Loblaw Cos Ltd

    4,526       353  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

National Bank of Canada

    1,404     $ 113  

North West Co Inc/The

    538       15  

Open Text Corp

    331       14  

Richelieu Hardware Ltd

    662       25  

Ritchie Bros Auctioneers

    300       16  

Russel Metals Inc

    1,056       26  

TFI International Inc

    1,443       150  

Toronto-Dominion Bank/The

    1,300       105  

Tourmaline Oil Corp

    4,336       171  
              2,528  
                 

Chile — 0.1%

CAP SA

    14,414       168  

Empresa Nacional de Telecomunicaciones

    7,487       28  
              196  
                 

China — 1.9%

Anhui Anke Biotechnology Group, Cl A

    34,288       59  

Bank of Communications Co Ltd, Cl H

    337,000       231  

Bank of Jiangsu Co Ltd, Cl A

    37,599       40  

BYD Co Ltd, Cl H

    12,500       382  

China Construction Bank Corp, Cl H

    671,000       503  

China Petroleum & Chemical Corp, Cl H

    494,000       246  

China Shenhua Energy Co Ltd, Cl H

    160,500       444  

China United Network Communications, Cl A

    460,600       279  

Contemporary Amperex Technology Co Ltd, Cl A

    4,100       350  

COSCO SHIPPING Holdings Co Ltd, Cl A *

     7,800       22  

COSCO SHIPPING Holdings Co Ltd, Cl H *

     5,000       10  

Dongfeng Motor Group Co Ltd, Cl H

    10,000       8  

JD.com Inc ADR *

     1,300       93  

JD.com Inc, Cl A *

     357       13  

JOYY Inc ADR

    225       10  

Kunlun Energy Co Ltd

    12,000       12  

Li Ning Co Ltd

    3,401       34  

NetEase Inc ADR

    2,800       267  

NIO Inc ADR *

     16,100       368  

NXP Semiconductors NV

    2,174       413  

PICC Property & Casualty Co Ltd

    334,000       353  

Pinduoduo Inc ADR *

     208       11  

Sinomine Resource Group, Cl A

    3,100       53  

Tech-Bank Food, Cl A

    322,896       337  

Xiamen Xiangyu Co Ltd, Cl A

    91,700       118  

Xilinmen Furniture Co Ltd, Cl A

    53,800       280  

YTO Express Group, Cl A

    10,100       28  

ZTO Express Cayman Inc ADR

    1,729       51  
              5,015  
                 

Croatia — 0.0%

Hrvatski Telekom dd

    2,818       77  

Czech Republic — 0.1%

CEZ AS

    3,415       131  

 

 

 

130

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Komercni Banka

    4,393     $ 173  
              304  
                 

Denmark — 0.1%

AP Moller - Maersk A/S, Cl A

    16       48  

AP Moller - Maersk A/S, Cl B

    10       32  

Coloplast A/S, Cl B

    253       38  

Novozymes A/S, Cl B

    157       10  

Pandora A/S

    144       15  

Scandinavian Tobacco Group A/S

    8,800       200  
              343  
                 

Egypt — 0.0%

Oriental Weavers

    19,694       10  

Telecom Egypt Co

    8,383       10  
              20  
                 

Estonia — 0.1%

Enefit Green *

     33,629       143  

Tallinna Kaubamaja Grupp AS

    10,570       133  
              276  
                 

Finland — 0.6%

Elisa Oyj, Cl A

    741       41  

Kesko Oyj, Cl B

    1,088       32  

Metsa Board Oyj, Cl B

    2,909       29  

Metso Outotec Oyj

    41,831       356  

Nokia Oyj

    94,067       508  

Stora Enso Oyj, Cl R

    32,351       623  
              1,589  
                 

France — 2.8%

Alstom SA

    11,380       290  

Atos SE

    8,314       296  

AXA SA

    26,650       721  

BNP Paribas SA

    11,381       664  

Bollore SA

    2,887       15  

Bouygues SA

    353       13  

Carrefour SA

    9,260       185  

Cie de Saint-Gobain

    9,666       599  

Cie Generale des Etablissements Michelin SCA, Cl B

    295       41  

Credit Agricole SA

    1,212       16  

Eurazeo SA

    141       11  

Hermes International

    429       592  

Kering SA

    37       26  

La Francaise des Jeux SAEM

    247       10  

L'Oreal SA

    34       13  

LVMH Moet Hennessy Louis Vuitton SE

    292       215  

Publicis Groupe SA

    12,254       816  

Renault

    786       25  

Rexel SA

    27,930       617  

Sanofi

    10,079       1,058  

Societe BIC SA

    2,300       121  

Societe Generale SA

    592       17  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

TotalEnergies SE

    19,408     $ 990  

Valeo SA

    457       10  
              7,361  
                 

Germany — 1.8%

Allianz SE

    5,164       1,178  

Aroundtown SA

    1,352       8  

BASF SE

    2,264       149  

Bayerische Motoren Werke AG

    4,530       439  

Beiersdorf AG

    94       10  

Continental AG *

     3,588       306  

Covestro AG

    15,385       806  

Deutsche Post AG

    3,200       161  

Deutsche Telekom AG

    29,446       527  

HeidelbergCement AG

    8,580       559  

Mercedes-Benz Group

    1,927       151  

Merck KGaA

    55       11  

MTU Aero Engines AG

    1,767       429  
              4,734  
                 

Greece — 0.1%

Alpha Services and Holdings SA *

     95,874       130  

Danaos Corp

    731       68  

Fourlis Holdings SA *

     19,206       85  
              283  
                 

Hong Kong — 1.6%

Agricultural Bank of China Ltd, Cl H

    981,000       372  

Alibaba Group Holding Ltd *

     24,652       327  

Alibaba Group Holding Ltd ADR *

     3,936       414  

Beijing Enterprises Holdings Ltd

    89,500       306  

BOC Hong Kong Holdings Ltd

    3,500       13  

Central China Real Estate

    212,000       17  

China Aoyuan Group Ltd

    53,278       9  

China Merchants Bank Co Ltd, Cl H

    2,000       17  

China Railway Signal & Communication Corp Ltd, Cl H

    552,000       201  

China Resources Power Holdings Co Ltd

    54,446       122  

China State Construction International Holdings Ltd

    10,000       14  

China Yongda Automobiles Services Holdings Ltd

    16,000       19  

Far East Horizon Ltd

    179,145       153  

Haitian International Holdings Ltd

    5,000       13  

HKT Trust & HKT Ltd

    9,000       12  

Hong Kong Exchanges & Clearing Ltd

    700       34  

Industrial & Commercial Bank of China Ltd, Cl H

    149,000       89  

JNBY Design Ltd

    25,499       35  

Joinn Laboratories China, Cl H

    700       6  

Legend Holdings, Cl H

    21,784       31  

Lenovo Group Ltd

    62,000       69  

Meituan, Cl B *

     4,600       102  

Melco Resorts & Entertainment ADR *

     1,010       10  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

131

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Minth Group Ltd

    2,000     $ 7  

New China Life Insurance Co Ltd, Cl H

    43,400       124  

Nine Dragons Paper Holdings Ltd

    13,000       12  

People's Insurance Co Group of China Ltd/The, Cl H

    561,000       181  

PetroChina Co Ltd, Cl H

    668,000       363  

Pharmaron Beijing, Cl H

    1,400       17  

Postal Savings Bank of China Co Ltd, Cl H

    15,000       12  

Shenzhen Expressway Co Ltd, Cl H

    138,000       139  

Shougang Fushan Resources Group Ltd

    566,000       187  

Sun Hung Kai Properties Ltd

    5,000       58  

Tencent Holdings Ltd

    6,990       377  

Tingyi Cayman Islands Holding Corp

    54,000       119  

Xinyi Glass Holdings Ltd

    38,000       100  

Zhongliang Holdings Group

    131,500       52  
              4,133  
                 

Hungary — 0.8%

Magyar Telekom Telecommunications PLC

    369,381       466  

MOL Hungarian Oil & Gas PLC

    67,789       532  

OTP Bank Nyrt

    12,554       488  

Richter Gedeon Nyrt

    28,600       604  
              2,090  
                 

India — 1.7%

Apollo Hospitals Enterprise

    494       32  

Asian Paints Ltd

    4,414       187  

Bajaj Auto Ltd

    241       11  

Bajaj Finance Ltd

    175       16  

Bharat Petroleum Corp Ltd

    2,243       10  

Bharti Airtel Ltd *

     3,493       32  

Chambal Fertilisers and Chemicals

    10,618       54  

Divi's Laboratories Ltd

    237       13  

GAIL India Ltd

    27,295       53  

Grasim Industries Ltd

    4,366       93  

HDFC Bank Ltd

    1,792       34  

Hindalco Industries Ltd

    9,426       73  

Hindustan Petroleum Corp Ltd

    57,541       210  

ICICI Bank Ltd

    1,641       16  

Indian Oil Corp Ltd

    114,746       176  

Infosys Ltd

    10,424       238  

Infosys Ltd ADR

    21,800       489  

Jagran Prakashan Ltd *

     14,165       13  

Jindal Saw Ltd

    60,734       71  

Jindal Steel & Power Ltd *

     29,468       168  

Larsen & Toubro Infotech Ltd

    497       39  

Motherson Sumi Systems *

     13,580       18  

Motilal Oswal Financial Services

    1,502       18  

Muthoot Finance Ltd

    610       11  

NHPC Ltd

    612,000       224  

NMDC Ltd

    5,593       11  

Oil & Natural Gas Corp Ltd

    109,647       237  

Oil India Ltd

    63,500       190  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Page Industries Ltd

    472     $ 266  

Power Finance Corp Ltd

    154,126       226  

REC Ltd

    92,931       152  

SRF

    2,473       79  

Steel Authority of India Ltd

    243,888       316  

Tata Consultancy Services Ltd

    1,442       68  

Tata Consumer Products Ltd

    1,304       13  

Tata Steel Ltd

    3,076       50  

Titan Co Ltd

    4,018       137  

Trent

    3,173       47  

Vedanta Ltd

    71,310       362  

Welspun Corp Ltd

    8,881       17  

Wipro Ltd

    4,477       33  
              4,503  
                 

Indonesia — 0.1%

Erajaya Swasembada Tbk PT

    2,797,836       109  

Matahari Department Store Tbk PT

    222,853       71  
              180  
                 

Ireland — 0.4%

Accenture PLC, Cl A

    77       24  

CRH PLC

    17,565       785  

James Hardie Industries PLC

    4,774       157  
              966  
                 

Israel — 0.1%

Bank Hapoalim BM

    3,485       37  

Bank Leumi Le-Israel BM

    3,279       35  

Check Point Software Technologies Ltd *

     900       130  

Mizrahi Tefahot Bank Ltd

    837       33  
              235  
                 

Italy — 0.9%

Eni SpA

    26,584       413  

Ferrari NV

    68       15  

Hera SpA

    53,900       210  

Infrastrutture Wireless Italiane

    1,243       13  

Intesa Sanpaolo SpA

    271,715       684  

Iveco Group NV *

     12,800       107  

Sesa SpA

    72       11  

Snam SpA

    3,202       18  

Telecom Italia SpA/Milano

    29,720       12  

Terna - Rete Elettrica Nazionale

    2,808       23  

UniCredit SpA

    56,328       703  

UnipolSai Assicurazioni SpA

    75,012       204  
              2,413  
                 

Japan — 12.4%

AEON Investment Corp ‡

     100       124  

AGC Inc

    300       13  

Aisin Corp

    9,200       336  

Alps Alpine Co Ltd

    19,900       199  

Aoyama Trading Co Ltd

    10,900       65  

Aozora Bank Ltd

    5,700       129  

 

 

 

132

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Canon Inc

    24,557     $ 578  

Citizen Watch Co Ltd

    70,500       306  

Cosel Co Ltd

    7,100       51  

Credit Saison Co Ltd

    43,800       493  

Dai-ichi Life Holdings Inc

    36,500       764  

Daito Trust Construction Co Ltd

    3,401       377  

DCM Holdings Co Ltd

    22,400       218  

East Japan Railway Co

    6,500       387  

Eizo Corp

    3,600       116  

FANUC Corp

    4,000       739  

Fuji Electric Co Ltd

    200       10  

Fuji Media Holdings Inc

    18,200       198  

FUJIFILM Holdings Corp

    5,531       350  

Fujitsu Ltd

    200       29  

H.U. Group Holdings Inc

    5,300       140  

Hachijuni Bank Ltd/The

    22,300       85  

Hirogin Holdings Inc

    17,800       105  

Hitachi Ltd

    400       20  

Hokuetsu Corp

    23,700       148  

Honda Motor Co Ltd

    34,000       1,042  

Ito En

    300       17  

Itochu Enex Co Ltd

    22,300       203  

Japan Lifeline Co Ltd

    21,900       209  

Japan Post Bank Co Ltd

    1,800       16  

Japan Tobacco Inc

    63,685       1,174  

JFE Holdings Inc

    30,700       462  

JGC Holdings Corp

    56,600       568  

JTEKT

    21,800       188  

Kajima Corp

    36,500       492  

Kao Corp

    14,600       683  

KDDI Corp

    17,400       569  

Kirin Holdings Co Ltd

    48,000       797  

Komeri Co Ltd

    12,100       297  

K's Holdings Corp

    25,000       270  

Kuraray Co Ltd

    32,500       305  

KYORIN Holdings Inc

    12,700       206  

Mabuchi Motor Co Ltd

    5,500       190  

Macnica Fuji Electronics Holdings Inc

    658       15  

Makita Corp

    300       11  

Meitec Corp

    2,900       171  

Mitsubishi Chemical Holdings Corp

    21,082       150  

Mitsubishi Corp

    9,100       308  

Mitsubishi Estate Co Ltd

    67,500       1,033  

Mitsubishi Gas Chemical Co Inc

    2,265       40  

Mitsubishi HC Capital Inc

    20,200       105  

Mitsubishi UFJ Financial Group Inc

    85,300       528  

Mitsui High-Tec Inc

    305       22  

Mizuho Financial Group Inc

    22,800       302  

MS&AD Insurance Group Holdings Inc

    10,000       341  

NGK Spark Plug Co Ltd

    4,500       81  

NH Foods Ltd

    7,300       275  

Nikon Corp

    4,382       46  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Nippon Express Holdings Inc

    200     $ 12  

Nippon Paint Holdings Co Ltd

    2,100       19  

Nippon Steel Corp

    59,900       1,112  

Nippon Telegraph & Telephone Corp

    28,500       816  

Nippon Television Holdings Inc

    32,300       371  

Nippon Yusen KK

    526       49  

Nishi-Nippon Financial Holdings Inc

    23,800       171  

Nitto Denko Corp

    233       17  

Nomura Holdings Inc

    45,600       209  

Nomura Research Institute Ltd

    826       29  

North Pacific Bank Ltd

    37,500       83  

NSK Ltd

    72,600       473  

NTT Data Corp

    7,451       142  

Obayashi Corp

    21,900       183  

Oji Holdings

    12,300       63  

Oracle Corp Japan

    300       21  

ORIX Corp

    600       12  

Osaka Gas Co Ltd

    17,100       313  

OSG Corp

    16,400       275  

Otsuka Corp

    9,000       348  

Panasonic Corp

    4,500       47  

Park24 Co Ltd

    16,300       245  

Rengo Co Ltd

    25,400       190  

Resona Holdings Inc

    3,800       17  

Ricoh Co Ltd

    2,200       19  

Sawai Group Holdings Co Ltd

    6,200       246  

Secom Co Ltd

    200       15  

Seiko Epson Corp

    29,200       449  

Seino Holdings

    13,000       136  

Sekisui House Ltd

    600       12  

Shionogi & Co Ltd

    300       20  

SoftBank Group Corp

    18,900       848  

Sony Group Corp

    10,700       1,099  

Stanley Electric

    5,300       126  

Sumitomo Electric Industries Ltd

    56,600       749  

Sumitomo Heavy Industries Ltd

    8,900       217  

Sumitomo Mitsui Financial Group Inc

    30,600       1,091  

Sumitomo Mitsui Trust Holdings Inc

    23,300       831  

Suzuken Co Ltd/Aichi Japan

    5,800       187  

Takashimaya Co Ltd

    12,500       122  

Takeda Pharmaceutical Co Ltd

    21,900       669  

Teijin Ltd

    12,400       149  

Toagosei

    2,300       22  

Toho Holdings Co Ltd

    10,800       178  

Tokyo Electron Ltd

    1,273       623  

Tokyo Gas Co Ltd

    52,000       1,062  

Tokyo Ohka Kogyo Co Ltd

    149       9  

Toray Industries Inc

    110,000       630  

TOTO

    200       8  

Toyota Motor Corp

    410       8  

Trend Micro Inc/Japan

    400       22  

United Arrows Ltd

    6,900       103  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

133

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Wacoal Holdings Corp

    8,000     $ 138  

Xebio Holdings Co Ltd

    8,900       74  

Yamada Holdings Co Ltd

    81,400       283  

Yamaha Motor Co Ltd

    5,210       117  
              32,575  
                 

Malaysia — 0.2%

Astro Malaysia Holdings

    74,900       18  

Axiata Group

    13,900       13  

Hong Leong Bank Bhd

    3,500       17  

Kossan Rubber Industries

    83,600       34  

Malaysian Pacific Industries Bhd

    1,227       11  

Nestle Malaysia Bhd

    674       21  

Petronas Chemicals Group Bhd

    42,296       96  

RHB Bank Bhd

    130,700       184  

Supermax Corp Bhd

    683,398       171  

Telekom Malaysia Bhd

    7,600       9  
              574  
                 

Mexico — 0.0%

Alpek SAB de CV, Cl A

    4,007       5  

Netherlands — 1.7%

APERAM SA

    8,380       468  

ArcelorMittal SA

    14,999       466  

CNH Industrial NV

    46,000       659  

ING Groep NV

    45,833       536  

Koninklijke Ahold Delhaize NV

    37,388       1,150  

NN Group NV

    3,244       156  

Prosus NV

    4,671       288  

Signify NV

    12,293       626  
              4,349  
                 

New Zealand — 0.0%

Spark New Zealand Ltd

    9,720       30  

Nigeria — 0.0%

Zenith Bank PLC

    273,581       18  

Norway — 0.1%

Austevoll Seafood ASA

    8,600       122  

Europris ASA

    2,090       13  

Gjensidige Forsikring ASA

    469       12  
              147  
                 

Pakistan — 0.0%

Habib Bank Ltd

    63,667       42  

Kot Addu Power Co Ltd

    105,565       17  
              59  
                 

Philippines — 0.1%

Alliance Global Group Inc

    28,400       7  

DMCI Holdings Inc

    1,491,280       248  

International Container Terminal Services Inc

    5,470       22  

LT Group Inc

    125,400       24  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Nickel Asia

    303,513     $ 46  
              347  
                 

Poland — 1.0%

Bank Handlowy w Warszawie SA

    13,410       186  

Bank Polska Kasa Opieki SA

    5,500       151  

Benefit Systems *

     776       107  

CAPITEA *

     158,863       –  

Ciech SA

    12,491       120  

ComArch SA

    2,742       116  

Grupa Kety SA

    1,749       240  

LPP

    5       10  

Orange Polska SA *

     64,302       120  

Powszechna Kasa Oszczednosci Bank Polski SA *

     72,671       700  

Powszechny Zaklad Ubezpieczen SA

    86,223       650  

Toya SA

    73,963       111  

VRG SA *

     95,776       87  
              2,598  
                 

Portugal — 0.1%

EDP - Energias de Portugal SA

    5,249       26  

REN - Redes Energeticas Nacionais SGPS SA

    46,500       135  
              161  
                 

Romania — 0.6%

Banca Transilvania SA

    285,332       165  

BRD-Groupe Societe Generale SA

    77,937       354  

Fondul Proprietatea SA

    562,627       254  

OMV Petrom SA

    4,243,686       447  

Societatea Nationala de Gaze Naturale ROMGAZ SA

    23,000       201  

Sphera Franchise Group

    35,121       128  
              1,549  
                 

Russia — 0.1%

Detsky Mir PJSC

    101,061       35  

Gazprom Neft PJSC

    7,643       14  

Gazprom PJSC

    125,045       80  

HeadHunter Group PLC ADR

    161       2  

Inter RAO UES PJSC

    2,649,312       30  

Magnit PJSC

    2,567       37  

Magnitogorsk Iron & Steel Works PJSC

    26,960       6  

MMC Norilsk Nickel PJSC

    354       17  

PhosAgro PJSC GDR

    12,000       78  

Raspadskaya OJSC (A)

     9,273       14  

Rosneft Oil Co PJSC

    35,283       30  

Sberbank of Russia PJSC

    105,050       64  

X5 Retail Group NV GDR

    10,491       32  
              439  
                 

Saudi Arabia — 0.2%

Al Rajhi Bank

    6,072       260  

Aldrees Petroleum and Transport Services

    1,034       23  

Ataa Educational

    1,777       32  

 

 

 

134

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Bank AlBilad *

     1,408     $ 22  

Sahara International Petrochemical Co

    1,688       21  

Saudi Basic Industries Corp

    550       18  

Saudi Electricity Co

    7,054       52  

Saudi Industrial Investment Group

    1,701       16  
              444  
                 

Singapore — 0.2%

Best World International Ltd (B)

     24,994       25  

DBS Group Holdings Ltd

    7,000       175  

Keppel Corp Ltd

    5,100       23  

Sheng Siong Group Ltd

    9,641       11  

Singapore Exchange Ltd

    5,300       36  

United Overseas Bank Ltd

    11,200       248  
              518  
                 

South Africa — 0.3%

Aspen Pharmacare Holdings Ltd

    4,465       58  

Barloworld Ltd

    15,363       122  

Clicks Group Ltd

    670       13  

DataTec Ltd

    5,239       12  

Exxaro Resources Ltd

    1,251       16  

KAP Industrial Holdings

    27,591       8  

Mediclinic International PLC *

     24,070       107  

Motus Holdings Ltd

    16,680       119  

MTN Group

    1,659       21  

Old Mutual Ltd

    288,796       236  

PPC Ltd *

     96,325       25  

Sappi Ltd

    20,760       69  

Sibanye Stillwater Ltd

    5,196       25  

SPAR Group Ltd/The

    969       10  
              841  
                 

South Korea — 1.8%

BNK Financial Group Inc

    4,744       31  

Chongkundang Holdings Corp *

     249       14  

CJ Corp

    283       20  

CJ Freshway Corp

    200       6  

Daou Data Corp

    5,757       67  

Doosan Co Ltd *

     604       57  

Hana Financial Group Inc

    9,103       369  

Hyundai Motor Co

    100       15  

Kakao Corp

    428       34  

KB Financial Group Inc

    6,712       333  

KCC

    85       24  

Korea Real Estate Investment & Trust

    31,496       57  

KT Corp

    12,132       323  

KT&G Corp

    2,100       139  

KUMHOE&C Co Ltd *

     5,245       47  

Kyeryong Construction Industrial Co Ltd

    1,736       51  

LG HelloVision Co Ltd

    7,680       32  

LG Innotek Co Ltd

    195       54  

LG Uplus Corp

    26,750       294  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

LX INTERNATIONAL CORP

    6,931     $ 171  

Osstem Implant Co Ltd

    204       24  

PHA

    3,846       28  

POSCO Holdings Inc

    340       81  

Samsung Electronics Co Ltd

    11,643       707  

Samsung Electronics Co Ltd GDR

    814       1,220  

Samsung Life Insurance Co Ltd

    314       16  

Seah Besteel

    4,659       69  

SeAH Steel Corp

    737       61  

Seegene Inc

    722       31  

Shinsegae Inc

    492       108  

SK Hynix Inc

    480       50  

SK Square Co Ltd *

     2,356       110  

SK Telecom Co Ltd

    2,700       123  

Value Added Technology

    2,125       65  

Woongjin Thinkbig

    5,799       14  
              4,845  
                 

Spain — 0.5%

Banco Santander SA

    256,274       855  

CaixaBank SA

    7,956       26  

Endesa SA

    7,900       174  

Financiera Alba

    277       16  

Grifols SA

    16,399       312  

Industria de Diseno Textil SA

    1,156       30  

Viscofan SA

    573       36  
              1,449  
                 

Sweden — 0.3%

Autoliv Inc

    3,967       351  

Axfood AB

    942       25  

Electrolux, Cl B

    793       14  

Evolution AB

    410       48  

Getinge AB, Cl B

    417       16  

Husqvarna AB, Cl B

    891       11  

Investment Latour, Cl B

    960       27  

Skandinaviska Enskilda Banken AB, Cl A

    858       10  

Swedish Match AB

    28,200       207  
              709  
                 

Switzerland — 1.1%

Bachem Holding, Cl B

    17       10  

Cie Financiere Richemont SA, Cl A

    5,283       718  

Geberit AG

    47       31  

Intershop Holding AG

    30       20  

Kuehne + Nagel International AG

    974       267  

LEM Holding SA

    13       31  

Novartis AG

    809       71  

Partners Group Holding AG

    111       151  

Roche Holding AG

    3,779       1,437  

Schindler Holding AG

    65       14  

Swatch Group AG/The

    274       16  

Swiss Life Holding AG

    200       122  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

135

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Swisscom AG

    39     $ 24  
              2,912  
                 

Taiwan — 2.2%

Asustek Computer Inc

    22,000       293  

Cathay Financial Holding Co Ltd

    111,061       249  

Chailease Holding Co Ltd

    1,896       17  

Chicony Electronics Co Ltd

    78,000       251  

Chunghwa Telecom Co Ltd

    26,600       119  

Coretronic Corp

    58,000       149  

Evergreen Marine Corp Taiwan Ltd

    19,390       103  

Feng Hsin Steel Co Ltd

    6,349       19  

General Interface Solution Holding Ltd

    11,000       36  

Global Unichip Corp

    16,000       266  

Hon Hai Precision Industry Co Ltd

    48,000       178  

Jarllytec Co Ltd

    15,000       40  

Lien Hwa Industrial Holdings Corp

    9,201       22  

MediaTek Inc

    3,468       135  

Nanya Technology Corp *

     10,000       28  

Novatek Microelectronics Corp

    8,946       149  

Parade Technologies Ltd

    1,000       69  

Pou Chen Corp

    109,000       126  

Quanta Computer Inc

    14,000       47  

Realtek Semiconductor Corp

    13,029       215  

Ruentex Development

    5,000       13  

Silicon Motion Technology Corp ADR

    2,020       146  

SinoPac Financial Holdings Co Ltd

    298,000       183  

Sitronix Technology Corp

    28,000       297  

Taishin Financial Holding Co Ltd

    40,000       28  

Taiwan Cement Corp

    7,000       12  

Taiwan Cooperative Financial Holding Co Ltd

    118,973       113  

Taiwan Semiconductor Manufacturing Co Ltd

    85,849       1,835  

Unimicron Technology Corp

    1,000       9  

United Microelectronics Corp

    21,000       40  

Winbond Electronics Corp

    291,000       349  

Yuanta Financial Holding Co Ltd

    185,000       165  
              5,701  
                 

Thailand — 0.4%

AP Thailand

    402,100       131  

Bangkok Bank PCL

    35,900       154  

Central Retail Corp PCL

    9,000       11  

Com7 PCL, Cl F

    118,112       300  

Indorama Ventures PCL

    8,200       11  

Kiatnakin Phatra Bank PCL

    91,900       193  

Krungthai Card PCL

    7,800       15  

Thai Union Group PCL

    282,200       177  
              992  
                 

Turkey — 0.2%

Anadolu Efes Biracilik Ve Malt Sanayii AS

    92,563       162  

KOC Holding AS

    70,966       163  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Migros Ticaret AS *

     65,837     $ 171  

Turk Hava Yollari AO *

     30,651       57  

Vestel Elektronik Sanayi ve Ticaret AS

    12,850       21  
              574  
                 

United Arab Emirates — 0.0%

Dubai Islamic Bank PJSC

    14,143       24  

First Abu Dhabi Bank PJSC

    2,515       14  
              38  
                 

United Kingdom — 4.0%

Adient PLC *

     10,400       465  

Aon PLC, Cl A

    42       12  

Associated British Foods PLC

    784       20  

AstraZeneca PLC

    1,019       124  

BAE Systems PLC

    26,500       256  

Barclays PLC

    12,493       31  

Berkeley Group Holdings

    199       11  

BP PLC

    121,900       595  

British American Tobacco PLC

    4,800       209  

British Land Co PLC/The ‡

     2,990       21  

BT Group PLC, Cl A

    7,296       18  

Clarivate PLC *

     1,161       17  

Evraz PLC

    21,791       43  

GlaxoSmithKline PLC

    55,073       1,147  

Globaltrans Investment PLC GDR

    27,819       53  

Halyk Savings Bank of Kazakhstan JSC GDR

    35,706       360  

Imperial Brands PLC

    6,300       138  

Informa PLC *

     92,532       723  

Intermediate Capital Group PLC

    3,165       73  

International Consolidated Airlines Group SA

    182,161       359  

Intertek Group PLC

    255       18  

J Sainsbury PLC

    8,740       32  

JD Sports Fashion

    7,981       16  

Kaspi.KZ JSC GDR

    2,800       169  

Kingfisher PLC

    2,325       10  

Land Securities Group PLC ‡

     1,514       16  

Linde PLC

    3,745       1,098  

Lloyds Banking Group PLC

    1,147,977       746  

London Stock Exchange Group PLC

    443       39  

MD Medical Group Investments PLC GDR

    29,105       168  

Next PLC

    553       50  

Nova Ljubljanska Banka dd GDR

    13,800       208  

Pearson PLC

    88,932       773  

Perrigo Co PLC

    7,900       281  

Persimmon PLC

    740       24  

Phoenix Group Holdings

    2,176       18  

Reckitt Benckiser Group PLC

    265       22  

Spirax-Sarco Engineering PLC

    146       23  

St James's Place PLC

    688       13  

Taylor Wimpey PLC

    8,064       16  

Tesco PLC

    27,034       105  

 

 

 

136

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Travis Perkins PLC

    23,288     $ 447  

Unilever PLC

    4,200       211  

Vodafone Group PLC

    26,766       47  

Whitbread PLC *

     14,809       576  

WPP PLC

    49,729       699  
              10,500  
                 

United States — 48.5%

Communication Services — 3.4%

        

Alphabet Inc, Cl A *

     1,115       3,012  

Alphabet Inc, Cl C *

     324       874  

AT&T Inc

    65,300       1,547  

Comcast Corp, Cl A

    6,300       294  

Discovery Inc, Cl A *

     13,500       379  

Fox Corp

    9,100       381  

Interpublic Group of Cos Inc/The

    8,785       323  

Liberty Media Corp-Liberty Formula One, Cl C *

     888       54  

Lumen Technologies Inc

    4,888       51  

Meta Platforms Inc, Cl A *

     5,360       1,131  

News Corp, Cl A

    1,147       26  

Verizon Communications Inc

    11,000       590  

Walt Disney Co/The *

     656       97  
              8,759  

Consumer Discretionary — 8.5%

        

Advance Auto Parts Inc

    6,000       1,227  

AutoZone Inc *

     1,207       2,249  

Beazer Homes USA Inc *

     26,320       431  

Best Buy Co Inc

    884       85  

Chewy Inc, Cl A *

     201       9  

Crocs Inc *

     979       82  

Dana Inc

    29,390       547  

Darden Restaurants Inc

    154       22  

Designer Brands Inc, Cl A *

     51,970       678  

Dollar General Corp

    142       28  

Dollar Tree Inc *

     9,600       1,364  

DR Horton Inc

    1,600       137  

eBay Inc

    23,170       1,265  

Express Inc *

     80,050       381  

Foot Locker Inc

    12,740       403  

Ford Motor Co

    7,613       134  

Gap Inc/The

    29,940       436  

Garmin Ltd

    517       57  

Gentex Corp

    18,130       549  

Hasbro Inc

    614       60  

Las Vegas Sands Corp *

     21,700       930  

Lennar Corp, Cl A

    6,348       571  

Lowe's Cos Inc

    11,426       2,526  

M/I Homes Inc *

     6,780       334  

Mattel Inc *

     5,520       138  

McDonald's Corp

    42       10  

Murphy USA Inc

    1,493       270  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Newell Brands Inc

    33,444     $ 794  

NIKE Inc, Cl B

    7,547       1,030  

Peloton Interactive Inc, Cl A *

     301       9  

PulteGroup Inc

    203       10  

Service Corp International/US

    4,111       250  

Sportsman's Warehouse Holdings Inc *

     46,090       526  

Tapestry Inc

    13,000       532  

Target Corp

    5,899       1,178  

Taylor Morrison Home Corp, Cl A *

     16,580       489  

Tenneco Inc, Cl A *

     38,800       748  

TJX Cos Inc/The

    13,610       900  

Tractor Supply Co

    2,527       515  

Ulta Beauty Inc *

     346       130  

Whirlpool Corp

    1,100       221  
              22,255  

Consumer Staples — 3.3%

        

Altria Group Inc

    3,000       154  

Archer-Daniels-Midland Co

    5,018       394  

Bunge Ltd

    635       66  

Coca-Cola Co/The

    2,254       140  

Colgate-Palmolive Co

    8,119       625  

Conagra Brands Inc

    30,100       1,053  

Estee Lauder Cos Inc/The, Cl A

    1,295       384  

General Mills Inc

    2,100       141  

Hershey Co/The

    2,377       481  

J M Smucker Co/The

    3,200       431  

Kellogg Co

    3,472       222  

Kraft Heinz Co/The

    6,500       255  

Kroger Co/The

    18,352       859  

Molson Coors Beverage Co, Cl B

    253       13  

PepsiCo Inc

    8,344       1,366  

Philip Morris International Inc

    6,300       637  

Procter & Gamble Co/The

    3,318       517  

Tyson Foods Inc, Cl A

    3,900       361  

United Natural Foods Inc *

     8,450       340  

Walgreens Boots Alliance Inc

    364       17  

Walmart Inc

    1,148       155  
              8,611  

Energy — 2.6%

        

Baker Hughes Co, Cl A

    2,095       62  

Chevron Corp

    12,400       1,786  

CVR Energy Inc

    23,880       415  

Delek US Holdings Inc *

     29,910       515  

Devon Energy Corp

    10,242       610  

Halliburton Co

    780       26  

HollyFrontier Corp

    21,940       668  

Kinder Morgan Inc

    11,000       191  

Liberty Oilfield Services Inc, Cl A *

     58,980       736  

Murphy Oil Corp

    21,400       742  

ProPetro Holding Corp *

     88,710       1,133  

Schlumberger NV

    349       14  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

137

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Valero Energy Corp

    128     $ 11  
              6,909  

Financials — 8.0%

        

Aflac Inc

    16,633       1,016  

Allstate Corp/The

    14,400       1,762  

Ally Financial Inc

    37,394       1,866  

American Express Co

    2,949       574  

American Financial Group Inc/OH

    700       95  

American International Group Inc

    21,100       1,292  

Annaly Capital Management Inc ‡

     24,400       170  

Apollo Global Management Inc

    851       56  

Bank of New York Mellon Corp/The

    837       44  

Berkshire Hathaway Inc, Cl B *

     1,000       321  

BlackRock Inc, Cl A

    708       527  

Blackstone Inc, Cl A

    2,292       292  

Brown & Brown Inc

    1,124       76  

Capital One Financial Corp

    77       12  

Carlyle Group Inc/The

    2,770       130  

Citigroup Inc

    15,366       910  

CME Group Inc, Cl A

    4,011       949  

Cohen & Steers Inc

    317       26  

Enova International Inc *

     599       24  

Equitable Holdings Inc

    40,220       1,314  

Evercore Inc, Cl A

    606       77  

Everest Re Group Ltd

    860       256  

FactSet Research Systems Inc

    1,794       728  

Goldman Sachs Group Inc/The

    103       35  

Hartford Financial Services Group Inc/The

    3,500       243  

Houlihan Lokey Inc, Cl A

    837       86  

Huntington Bancshares Inc/OH

    606       9  

Kearny Financial Corp/MD

    19,000       251  

KeyCorp

    1,303       33  

Lincoln National Corp

    8,000       539  

Moelis & Co, Cl A

    830       40  

Moody's Corp

    7,068       2,276  

Morgan Stanley

    943       86  

MSCI Inc, Cl A

    2,219       1,113  

Northern Trust Corp

    201       23  

Oaktree Specialty Lending Corp

    24,500       182  

Progressive Corp/The

    7,041       746  

Regions Financial Corp

    569       14  

S&P Global Inc

    1,166       438  

Signature Bank/New York NY

    970       335  

State Street Corp

    236       20  

US Bancorp

    2,800       158  

Victory Capital Holdings Inc, Cl A

    322       11  

Wells Fargo & Co

    28,000       1,494  

Western Alliance Bancorp

    1,521       143  

Willis Towers Watson PLC

    580       129  

Wintrust Financial Corp

    844       84  
              21,005  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Health Care — 7.1%

        

AbbVie Inc

    990     $ 146  

Agilent Technologies Inc

    2,471       322  

AmerisourceBergen Corp, Cl A

    9,100       1,297  

Amgen Inc

    1,500       340  

Becton Dickinson and Co

    3,930       1,066  

Bio-Rad Laboratories Inc, Cl A *

     39       24  

Bristol-Myers Squibb Co

    9,300       639  

Cardinal Health Inc

    475       26  

Cigna Corp

    138       33  

CVS Health Corp

    15,891       1,647  

Danaher Corp

    1,614       443  

Gilead Sciences Inc

    3,900       236  

HCA Healthcare Inc

    212       53  

Hologic Inc *

     205       15  

IQVIA Holdings Inc *

     2,703       622  

Johnson & Johnson

    13,176       2,168  

McKesson Corp

    1,700       467  

Medpace Holdings Inc *

     223       34  

Merck & Co Inc

    17,793       1,363  

Mettler-Toledo International Inc *

     583       821  

Organon & Co

    27,790       1,037  

PerkinElmer Inc

    689       124  

Pfizer Inc

    10,200       479  

Prestige Consumer Healthcare Inc *

     790       47  

Quest Diagnostics Inc

    2,769       364  

Regeneron Pharmaceuticals Inc *

     21       13  

ResMed Inc

    760       188  

Shockwave Medical Inc *

     474       84  

Thermo Fisher Scientific Inc

    1,008       548  

United Therapeutics Corp *

     6,000       997  

UnitedHealth Group Inc

    6,009       2,860  

Viatris Inc, Cl W *

     1,174       13  

West Pharmaceutical Services Inc

    385       149  

Zimmer Biomet Holdings Inc

    153       19  

Zoetis Inc, Cl A

    130       25  
              18,709  

Industrials — 4.7%

        

Alaska Air Group Inc *

     8,640       485  

Allison Transmission Holdings Inc, Cl A

    5,300       212  

AMETEK Inc

    100       13  

CACI International Inc, Cl A *

     600       168  

Carrier Global Corp

    18,989       852  

Caterpillar Inc

    54       10  

Cintas Corp

    298       112  

Copart Inc *

     320       39  

Cummins Inc

    1,000       204  

Curtiss-Wright Corp

    4,700       693  

Dover Corp

    529       83  

Eaton Corp PLC

    495       76  

Emerson Electric Co

    98       9  

Expeditors International of Washington Inc

    2,856       295  

 

 

 

138

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

FedEx Corp

    150     $ 33  

Fortive Corp

    255       17  

Graco Inc

    11,294       814  

Hawaiian Holdings Inc *

     26,680       512  

Jacobs Engineering Group Inc

    526       65  

Johnson Controls International plc

    371       24  

Knight-Swift Transportation Holdings Inc, Cl A

    218       12  

Korn Ferry

    815       54  

L3Harris Technologies Inc

    1,101       278  

Leidos Holdings Inc

    637       65  

Lockheed Martin Corp

    500       217  

Manitowoc Co Inc/The *

     15,000       248  

Meritor Inc *

     23,290       829  

Middleby Corp/The *

     5,169       918  

MillerKnoll

    16,700       649  

Northrop Grumman Corp

    600       265  

Old Dominion Freight Line Inc

    294       92  

Otis Worldwide Corp

    9,948       779  

Parker-Hannifin Corp

    3,274       970  

Plug Power Inc *

     628       16  

Robert Half International Inc

    2,193       264  

Rockwell Automation Inc

    677       181  

Saia Inc *

     287       83  

Trane Technologies PLC

    1,108       171  

Union Pacific Corp

    4,920       1,210  

Wabash National Corp

    11,350       194  

Xylem Inc/NY

    125       11  
              12,222  

Information Technology — 8.6%

        

Adobe Inc *

     1,446       676  

Advanced Micro Devices Inc *

     2,733       337  

Amdocs Ltd

    6,000       472  

Amphenol Corp, Cl A

    4,930       375  

Analog Devices Inc

    5,730       918  

Apple Inc

    13,716       2,265  

Arrow Electronics Inc *

     775       94  

Automatic Data Processing Inc

    165       34  

Avnet Inc

    12,050       507  

Broadridge Financial Solutions Inc

    208       30  

CDW Corp/DE

    235       41  

Cisco Systems Inc/Delaware

    4,700       262  

Cognizant Technology Solutions Corp, Cl A

    1,370       118  

Corning Inc

    2,901       117  

Dell Technologies Inc, Cl C

    3,300       168  

DXC Technology Co *

     52,980       1,803  

EPAM Systems Inc *

     71       15  

Fidelity National Information Services Inc

    124       12  

Fortinet Inc *

     234       81  

Gartner Inc *

     1,073       301  

HP Inc

    728       25  

Intel Corp

    24,929       1,189  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

International Business Machines Corp

    11,288     $ 1,383  

Intuit Inc

    923       438  

Juniper Networks Inc

    5,200       176  

KLA Corp

    1,719       599  

Kyndryl Holdings Inc *

     600       10  

Lam Research Corp

    1,586       890  

Manhattan Associates Inc *

     1,001       134  

Mastercard Inc, Cl A

    3,932       1,419  

Microsoft Corp

    13,278       3,967  

Motorola Solutions Inc

    729       161  

NortonLifeLock Inc

    4,368       127  

Oracle Corp

    21,432       1,628  

Paychex Inc

    5,610       668  

QUALCOMM Inc

    995       171  

Seagate Technology Holdings PLC

    4,375       451  

Skyworks Solutions Inc

    595       82  

SS&C Technologies Holdings Inc

    239       18  

Teradyne Inc

    2,073       244  

VeriSign Inc *

     92       20  

Western Union Co/The

    11,300       205  

Zebra Technologies Corp, Cl A *

     117       48  
              22,679  

Materials — 1.3%

        

Air Products and Chemicals Inc

    159       38  

Berry Global Group Inc *

     2,400       145  

Martin Marietta Materials Inc

    29       11  

Packaging Corp of America

    5,445       801  

Pactiv Evergreen Inc

    22,557       217  

Reliance Steel & Aluminum Co

    3,742       714  

Sealed Air Corp

    2,648       178  

Sherwin-Williams Co/The

    4,447       1,170  

Silgan Holdings Inc

    3,000       126  

Westrock Co

    1,239       56  
              3,456  

Real Estate — 0.3%

        

Acadia Realty Trust ‡

     1,419       30  

Alexandria Real Estate Equities Inc ‡

     56       11  

Brandywine Realty Trust ‡

     10,000       133  

Duke Realty Corp ‡

     435       23  

Essex Property Trust Inc ‡

     64       20  

Extra Space Storage Inc ‡

     282       53  

Independence Realty Trust Inc ‡

     1,697       43  

Invitation Homes Inc ‡

     640       24  

Jones Lang LaSalle Inc *

     709       175  

SITE Centers Corp ‡

     1,639       26  

Sun Communities Inc ‡

     1,779       322  
              860  

Utilities — 0.7%

        

Entergy Corp

    900       95  

Evergy Inc

    3,500       219  

National Fuel Gas Co

    20,700       1,288  

Otter Tail Corp

    2,900       179  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

139

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

UGI Corp

    3,700     $ 142  
              1,923  
              127,388  
                 

Total Common Stock

               

(Cost $198,245) ($ Thousands)

             239,560  
                 
                 
                 

PREFERRED STOCK (B) — 0.5%

Brazil — 0.0%

Braskem SA

    6,900       64  

Metalurgica Gerdau SA

    8,300       17  

Petroleo Brasileiro SA

     4,600       30  
              111  
                 

Germany — 0.5%

Bayerische Motoren Werke AG

    151       12  

Draegerwerk AG & Co KGaA

    2,900       165  

Porsche Automobil Holding SE

    4,072       413  

Volkswagen AG

     2,697       535  
              1,125  
                 

Russia — 0.0%

Sberbank of Russia PJSC

     147,000       27  

Total Preferred Stock

               

(Cost $1,838) ($ Thousands)

             1,263  
                 
                 
                 

CASH EQUIVALENT — 0.7%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     1,852,194       1,852  
                 

Total Cash Equivalent

                

(Cost $1,852) ($ Thousands)

             1,852  
                 
                 

Total Investments in Securities — 92.4%

                

(Cost $201,935) ($ Thousands)

  $ 242,675  
                 
                 
                 

 

 
 

 

A list of open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

Euro STOXX 50

     71       Mar-2022     $ 3,208     $ 3,132     $ (69 )

FTSE 100 Index

     10       Mar-2022       1,002       997       (2 )

Hang Seng Index

     8       Apr-2022       1,206       1,160       (46 )

MSCI Singapore Index

     20       Apr-2022       510       488       (17 )

OMX Stockholm 30

     25       Mar-2022       592       565       (21 )

S&P 500 Index E-MINI

     133       Mar-2022       30,630       29,047       (1,583 )

S&P TSX 60 Index

     25       Mar-2022       4,925       5,028       53  

 

 

 

140

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Continued)

 

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

SPI 200 Index

     24       Mar-2022     $ 3,096     $ 3,058     $ (86 )
                      45,169       43,475       (1,771 )

Short Contracts

                                        

MSCI Emerging Markets

     (170 )     Mar-2022     $ (10,390 )   $ (10,002 )   $ 388  

TOPIX Index

     (96 )     Mar-2022       (16,675 )     (15,762 )     741  
                      (27,065 )     (25,764 )     1,129  
                    $ 18,104     $ 17,711     $ (642 )

 

A list of the open forward foreign currency contracts held by the Fund at February 28, 2022, is as follows:

 

>

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Barclays PLC

     03/04/22       DKK       2,018       USD       307     $ 2  

Barclays PLC

     03/04/22       USD       2,400       SEK       22,068       (61 )

Barclays PLC

     03/04/22       CHF       2,839       USD       3,093       (2 )

Barclays PLC

     03/04/22       GBP       5,546       USD       7,524       83  

Barclays PLC

     03/04/22       USD       9,545       GBP       7,036       (105 )

Barclays PLC

     03/04/22       USD       15,638       JPY       1,786,630       (125 )

Barclays PLC

     03/04/22       JPY       3,751,041       USD       32,832       262  

BNP Paribas

     03/04/22       NZD       80       USD       53       (1 )

BNP Paribas

     03/04/22       USD       162       NZD       244       3  

BNP Paribas

     03/04/22       USD       404       NOK       3,552       —  

BNP Paribas

     03/04/22       AUD       565       USD       404       (6 )

BNP Paribas

     03/04/22       NOK       1,174       USD       134       —  

BNP Paribas

     03/04/22       HKD       1,638       USD       210       1  

BNP Paribas

     03/04/22       USD       1,753       DKK       11,513       (14 )

BNP Paribas

     03/04/22       USD       1,887       HKD       14,709       (5 )

BNP Paribas

     03/04/22       CAD       3,281       USD       2,590       4  

BNP Paribas

     03/04/22       SEK       3,319       USD       361       9  

BNP Paribas

     03/04/22       USD       4,557       AUD       6,373       69  

BNP Paribas

     03/04/22       USD       6,768       CHF       6,211       3  

BNP Paribas

     03/04/22       USD       7,765       CAD       9,836       (10 )

Brown Brothers Harriman

     03/04/22       USD       13       NZD       19       —  

Brown Brothers Harriman

     03/04/22       USD       1       NZD       1       —  

Brown Brothers Harriman

     03/04/22       USD       20       NOK       173       —  

Brown Brothers Harriman

     03/04/22       USD       9       NOK       81       —  

Brown Brothers Harriman

     03/04/22       NZD       3       USD       2       —  

Brown Brothers Harriman

     03/04/22       NZD       26       USD       17       —  

Brown Brothers Harriman

     03/04/22       USD       —       SGD       1       —  

Brown Brothers Harriman

     03/04/22       USD       65       SGD       87       (1 )

Brown Brothers Harriman

     03/04/22       USD       113       DKK       735       (2 )

Brown Brothers Harriman

     03/04/22       USD       114       HKD       892       —  

Brown Brothers Harriman

     03/04/22       SGD       118       USD       87       1  

Brown Brothers Harriman

     03/04/22       SGD       13       USD       10       —  

Brown Brothers Harriman

     03/04/22       USD       160       SEK       1,471       (4 )

Brown Brothers Harriman

     03/04/22       USD       281       AUD       392       3  

Brown Brothers Harriman

     03/04/22       NOK       59       USD       7       —  

Brown Brothers Harriman

     03/04/22       NOK       382       USD       43       —  

Brown Brothers Harriman

     03/04/22       USD       315       CAD       401       1  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

141

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Brown Brothers Harriman

     03/04/22       USD       276       CAD       350     $ —  

Brown Brothers Harriman

     03/04/22       USD       603       CHF       557       4  

Brown Brothers Harriman

     03/04/22       USD       57       CHF       52       —  

Brown Brothers Harriman

     03/04/22       AUD       699       USD       500       (8 )

Brown Brothers Harriman

     03/04/22       CHF       80       USD       87       —  

Brown Brothers Harriman

     03/04/22       CHF       721       USD       781       (6 )

Brown Brothers Harriman

     03/04/22       USD       1,018       GBP       751       (11 )

Brown Brothers Harriman

     03/04/22       GBP       973       USD       1,318       13  

Brown Brothers Harriman

     03/04/22       GBP       113       USD       150       (2 )

Brown Brothers Harriman

     03/04/22       CAD       74       USD       58       —  

Brown Brothers Harriman

     03/04/22       CAD       1,118       USD       877       (5 )

Brown Brothers Harriman

     03/04/22       DKK       1,154       USD       176       2  

Brown Brothers Harriman

     03/04/22       DKK       149       USD       22       —  

Brown Brothers Harriman

     03/04/22       HKD       1,628       USD       209       —  

Brown Brothers Harriman

     03/04/22       SEK       2,295       USD       247       4  

Brown Brothers Harriman

     03/04/22       SEK       317       USD       33       (1 )

Brown Brothers Harriman

     03/04/22       USD       1,823       JPY       210,714       7  

Brown Brothers Harriman

     03/04/22       USD       1,513       JPY       173,746       (5 )

Brown Brothers Harriman

     03/04/22       USD       3,440       EUR       3,023       (44 )

Brown Brothers Harriman

     03/04/22       EUR       3,303       USD       3,758       48  

Brown Brothers Harriman

     03/04/22       EUR       332       USD       369       (4 )

Brown Brothers Harriman

     03/04/22       JPY       152,513       USD       1,327       2  

Brown Brothers Harriman

     03/04/22       JPY       332,147       USD       2,872       (12 )

Standard Chartered

     03/04/22       SGD       660       USD       490       3  

Standard Chartered

     03/04/22       USD       755       SGD       1,017       (5 )

Westpac Banking

     03/04/22       USD       22,082       EUR       19,491       (188 )

Westpac Banking

     03/04/22       EUR       24,821       USD       28,121       240  
                                            $ 137  

 

 

 

Percentages are based on Net Assets of $262,665 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security.

(A)

Level 3 security in accordance with fair value hierarchy.

(B)

There is currently no rate available.

 

ADR — American Depositary Receipt

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times Stock Exchange

GBP — British Pound Sterling

GDR — Global Depositary Receipt

HKD — Hong Kong Dollar

JSC — Joint-Stock Company

JPY — Japanese Yen

Ltd — Limited

MSCI — Morgan Stanley Capital International

 

NOK — Norwegian Krone

NZD — New Zealand Dollar

OJSC — Open Joint-Stock Company

OMX — Offset Market Exchange

PCL — Public Company Limited

PJSC — Public Joint-Stock Company

PLC — Public Limited Company

S&P— Standard & Poor's

SEK — Swedish Krona

SGD — Singapore Dollar

SPI — Share Price Index

TOPIX – Tokyo Price Index

TSX — Toronto Stock Exchange

USD — U.S. Dollar

 

 

 

142

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

World Select Equity Fund (Concluded)

 

The following is a summary of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)(1)

    

Total
($)

  

Common Stock

     138,433       101,102       25       239,560  

Preferred Stock

     111       1,152       –       1,263  

Cash Equivalent

     1,852       –       –       1,852  

Total Investments in Securities

     140,396       102,254       25       242,675  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Appreciation

     1,182       –       –       1,182  

Unrealized Depreciation

     (1,824 )     –       –       (1,824 )

Forwards Contracts*

                                

Unrealized Appreciation

     –       764       –       764  

Unrealized Depreciation

     –       (627 )     –       (627 )

Total Other Financial Instruments

     (642 )     137       –       (505 )

 

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

 

*

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

 

For the period ended February 28, 2022, there were transfers in or out of Level 3.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 
 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value

5/31/2021

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

    

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 4,159     $ 40,563     $ (42,870 )   $ —     $ —     $ 1,852       1,852,194     $ 1     $ —  

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

143

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Equity Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 95.2%

Argentina — 0.3%

Arcos Dorados Holdings, Cl A *

     283,818     $ 2,194  

Corp America Airports SA *

     266,076       1,469  
              3,663  
                 

Austria — 0.1%

Vienna Insurance Group AG Wiener Versicherung Gruppe

    49,426       1,300  

Bangladesh — 0.2%

BRAC Bank Ltd

    4,382,570       2,756  

Brazil — 4.0%

Ambev SA

    336,600       993  

Banco do Brasil SA

    1,133,554       7,747  

Banco Santander Brasil SA

    318,800       1,915  

Cia Brasileira de Aluminio *

     825,400       3,198  

Cosan SA

    1,256,100       5,147  

CPFL Energia SA

    411,200       2,415  

CSN Mineracao SA

    1,434,900       1,727  

Empreendimentos Pague Menos S *

     714,100       1,522  

Gerdau SA ADR

    296,677       1,445  

Hapvida Participacoes e Investimentos SA

    1,336,136       3,146  

JBS SA

    439,300       3,060  

Lojas Renner SA

    285,100       1,401  

Magazine Luiza SA

    2,101,500       2,452  

Marfrig Global Foods SA

    277,200       1,193  

Oncoclinicas do Brasil Servicos Medicos *

     767,000       1,492  

Petro Rio *

     150,700       755  

Petroleo Brasileiro SA ADR, Cl A

    286,293       3,748  

Santos Brasil Participacoes SA

    1,677,100       2,110  

Sinqia

    442,900       1,472  

SLC Agricola SA

    74,080       632  

TIM SA/Brazil

    656,900       1,735  

XP Inc, Cl A *

     49,075       1,587  
              50,892  
                 

Canada — 1.7%

Aclara Resources *

     460,380       388  

Capstone Mining Corp *

     405,854       2,102  

Dundee Precious Metals Inc

    349,876       2,069  

Endeavour Mining

    89,519       2,363  

First Quantum Minerals Ltd

    150,715       4,417  

Gran Tierra Energy Inc *

     1,076,244       1,485  

Ivanhoe Mines Ltd, Cl A *

     397,180       4,040  

Neo Performance Materials Inc

    107,828       1,360  

Parex Resources Inc

    129,039       2,844  
              21,068  
                 

Chile — 1.3%

Banco Santander Chile ADR

    197,443       3,854  

Cia Cervecerias Unidas SA ADR

    123,430       1,972  

Empresas CMPC SA

    1,001,350       1,664  

Falabella SA

    650,515       2,153  

Quinenco SA

    398,310       1,027  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Sociedad Quimica y Minera de Chile SA ADR

    89,606     $ 5,930  
              16,600  
                 

China — 10.6%

360 DigiTech Inc ADR

    71,992       1,350  

Autohome Inc ADR *

     48,491       1,483  

Baidu Inc ADR *

     3,971       605  

Bank of Communications, Cl A

    1,512,700       1,147  

Bank of Communications Co Ltd, Cl H

    2,368,000       1,624  

Beijing Huafeng Test & Control Technology, Cl A *

     32,073       2,123  

Beijing Kingsoft Office Software, Cl A

    33,684       1,144  

BYD Co Ltd, Cl H

    64,000       1,958  

China Coal Energy Co Ltd, Cl H

    1,568,000       986  

China Construction Bank Corp, Cl H

    17,686,000       13,265  

China Everbright Bank Co Ltd, Cl H

    4,777,000       1,777  

China Jushi, Cl A

    807,681       2,191  

China Life Insurance Co Ltd, Cl H

    649,000       1,075  

China Medical System Holdings Ltd

    2,642,000       4,699  

China National Building Material Co Ltd, Cl H

    966,000       1,242  

China Northern Rare Earth Group High-Tech, Cl A

    99,700       781  

China Petroleum & Chemical, Cl A

    2,381,173       1,642  

China Petroleum & Chemical Corp, Cl H

    6,168,000       3,068  

China Railway Group Ltd, Cl H

    3,039,000       1,785  

China Shenhua Energy Co Ltd, Cl H

    308,500       854  

Contemporary Amperex Technology Co Ltd, Cl A

    23,320       1,992  

COSCO SHIPPING Holdings Co Ltd, Cl H *

     1,497,050       3,038  

Daqin Railway Co Ltd, Cl A

    535,045       578  

Daqo New Energy Corp ADR *

     5,293       254  

Dongfeng Motor Group Co Ltd, Cl H

    4,086,000       3,510  

FinVolution Group ADR

    69,689       284  

Guangzhou GRG Metrology & Test Co Ltd, Cl A *

     24,563       83  

Guangzhou Tinci Materials Technology, Cl A

    63,200       1,070  

Haier Smart Home Co Ltd, Cl H

    1,752,600       6,112  

Hangzhou Robam Appliances Co Ltd, Cl A

    197,777       1,045  

Hundsun Technologies Inc, Cl A

    164,580       1,365  

JD.com Inc ADR *

     30,738       2,202  

JD.com Inc, Cl A *

     15,823       569  

Jiangxi Copper, Cl H

    581,000       1,053  

Kingdee International Software Group Co Ltd

    647,000       1,595  

Kunlun Energy Co Ltd

    4,786,000       4,680  

Kweichow Moutai Co Ltd, Cl A

    3,875       1,101  

Li Ning Co Ltd

    440,500       4,404  

Lufax Holding Ltd ADR *

     530,504       3,432  

NetEase Inc ADR

    29,730       2,834  

PICC Property & Casualty Co Ltd

    7,962,000       8,407  

Pinduoduo Inc ADR *

     7,725       401  

 

 

 

144

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Ping An Insurance Group Co of China Ltd, Cl A

    332,500     $ 2,674  

Ping An Insurance Group Co of China Ltd, Cl H

    711,000       5,490  

Power Construction Corp of China, Cl A

    1,010,426       1,230  

Qingdao Haier Biomedical, Cl A

    109,007       1,252  

Shenzhen Overseas Chinese Town, Cl A

    1,462,500       1,600  

Shenzhou International Group Holdings Ltd

    265,400       4,466  

Sinopec Engineering Group Co Ltd, Cl H

    1,948,500       935  

Tongwei Co Ltd, Cl A

    291,995       1,994  

Vipshop Holdings Ltd ADR *

     285,417       2,474  

Weichai Power Co Ltd, Cl H

    2,514,000       4,254  

Wuhu Sanqi Interactive Entertainment Network Technology Group Co Ltd, Cl A

    676,600       2,239  

Wuliangye Yibin Co Ltd, Cl A

    110,415       3,331  

Wuxi Lead Intelligent Equipment, Cl A

    100,867       1,083  

Xtep International Holdings Ltd

    989,500       1,645  

Zhejiang Expressway Co Ltd, Cl H

    1,926,000       1,741  

ZTO Express Cayman Inc ADR

    72,678       2,140  
              133,356  
                 

Czech Republic — 0.1%

Moneta Money Bank AS

    307,926       1,221  

Egypt — 0.2%

Commercial International Bank Egypt SAE GDR *

     722,680       2,031  

Germany — 0.1%

Krones

    17,218       1,578  

Greece — 1.2%

Alpha Services and Holdings SA *

     1,083,156       1,474  

Eurobank Ergasias Services and Holdings SA *

     3,809,438       4,134  

Mytilineos Holdings

    91,913       1,480  

National Bank of Greece SA *

     1,106,657       4,084  

OPAP SA

    39,158       570  

Piraeus Financial Holdings SA *

     1,308,487       2,070  

Star Bulk Carriers Corp

    57,430       1,727  
              15,539  
                 

Hong Kong — 11.8%

Agricultural Bank of China Ltd, Cl H

    12,321,000       4,675  

AIA Group Ltd

    446,240       4,652  

Alibaba Group Holding Ltd ADR *

     59,820       6,292  

Anhui Conch Cement Co Ltd, Cl H

    868,000       4,655  

Bank of China Ltd, Cl H

    7,570,000       2,950  

Beijing Enterprises Holdings Ltd

    644,500       2,206  

China Datang Renewable Power, Cl H

    6,297,000       2,381  

China Everbright Environment Group Ltd

    1,776,000       1,275  

China Feihe

    1,547,000       1,847  

China Galaxy Securities, Cl H

    1,211,500       695  

China Lesso Group Holdings Ltd

    1,859,000       2,862  

China Meidong Auto Holdings Ltd

    432,000       2,037  

China Mengniu Dairy Co Ltd

    876,000       5,700  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

China Merchants Port Holdings Co Ltd

    910,000     $ 1,715  

China Power International Development

    1,231,000       697  

China Resources Land Ltd

    2,334,000       11,355  

CIMC Enric Holdings Ltd

    2,242,000       2,674  

CITIC Ltd

    1,917,000       2,241  

First Pacific Co Ltd

    7,750,000       3,040  

Guangzhou Automobile Group Co Ltd, Cl H

    3,446,000       3,398  

Industrial & Commercial Bank of China Ltd, Cl H

    11,624,000       6,953  

Kingboard Laminates Holdings Ltd

    1,412,500       2,354  

Kingsoft

    525,600       1,946  

Lenovo Group Ltd

    4,166,000       4,648  

NetEase

    294,170       5,726  

New Horizon Health Ltd *

     260,000       976  

Nine Dragons Paper Holdings Ltd

    825,000       789  

PAX Global Technology Ltd

    1,590,000       1,179  

PetroChina Co Ltd, Cl H

    6,008,000       3,261  

Shandong Weigao Group Medical Polymer Co Ltd, Cl H

    867,600       1,202  

Shanghai Pharmaceuticals Holding Co Ltd, Cl H

    368,800       665  

Techtronic Industries Co Ltd

    289,500       4,867  

Tencent Holdings Ltd

    306,781       16,527  

Tian Lun Gas Holdings

    832,000       687  

Towngas Smart Energy

    3,970,000       2,821  

Truly International Holdings

    3,560,000       1,238  

Uni-President China Holdings Ltd

    2,442,000       2,541  

Vinda International Holdings Ltd

    498,000       1,424  

WH Group Ltd

    3,333,815       2,325  

WuXi AppTec Co Ltd, Cl H

    266,044       3,780  

Wuxi Biologics Cayman Inc *

     151,000       1,250  

Xinyi Solar Holdings Ltd

    3,607,000       6,536  

Yadea Group Holdings Ltd

    2,524,000       3,741  

Zhongsheng Group Holdings Ltd

    405,500       2,832  

Zoomlion Heavy Industry Science and Technology Co Ltd

    3,182,600       2,113  
              149,728  
                 

Hungary — 0.6%

OTP Bank Nyrt

    101,407       3,920  

Richter Gedeon Nyrt

    181,709       3,837  
              7,757  
                 

India — 10.2%

Apollo Tyres Ltd

    393,664       975  

Asian Paints Ltd

    37,617       1,595  

Aster DM Healthcare *

     525,490       1,205  

Astral Ltd

    38,160       993  

Avenue Supermarts Ltd, Cl A *

     23,116       1,345  

Bank of Baroda *

     610,563       874  

Bata India Ltd

    56,844       1,377  

BSE

    2,807       74  

Cipla Ltd/India

    48,614       599  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

145

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Computer Age Management Services

    33,269     $ 1,112  

Dabur India

    15,920       120  

Divi's Laboratories Ltd

    74,902       4,261  

Dr Lal PathLabs Ltd

    50,165       1,687  

Finolex Cables Ltd

    210,853       1,167  

GAIL India Ltd

    1,238,614       2,401  

Godrej Properties Ltd *

     60,265       1,213  

Grasim Industries Ltd

    22,407       478  

HCL Technologies Ltd

    360,153       5,387  

HDFC Bank Ltd

    161,967       3,046  

Hero MotoCorp Ltd

    70,486       2,386  

Hindalco Industries Ltd

    775,557       5,969  

Hindustan Petroleum Corp Ltd

    249,061       911  

Housing Development Finance Corp Ltd

    161,749       5,076  

ICICI Bank Ltd ADR

    488,755       9,516  

Indian Energy Exchange Ltd

    900,357       2,492  

Infosys Ltd

    179,801       4,104  

Infosys Ltd ADR

    217,052       4,875  

Ipca Laboratories

    136,498       1,785  

ITC Ltd

    195,469       564  

Kotak Mahindra Bank Ltd

    191,012       4,707  

KPIT Technologies Ltd

    457,289       3,514  

Narayana Hrudayalaya *

     174,512       1,597  

NCC Ltd/India

    1,051,766       877  

Oil & Natural Gas Corp Ltd

    2,427,671       5,238  

Petronet LNG Ltd

    736,273       2,104  

PI Industries

    41,751       1,378  

PNC Infratech Ltd

    442,352       1,570  

PTC India Ltd

    1,568,733       1,784  

PVR Ltd *

     69,109       1,517  

Quess

    191,513       1,627  

REC Ltd

    547,946       896  

Shriram Transport Finance Co Ltd

    74,363       1,118  

Star Health & Allied Insurance *

     236,922       2,223  

State Bank of India

    387,884       2,507  

Sun Pharmaceutical Industries

    227,301       2,556  

Tata Consultancy Services Ltd

    89,085       4,215  

Tata Steel Ltd

    166,947       2,734  

Tech Mahindra Ltd

    128,907       2,431  

Titan Co Ltd

    34,523       1,178  

UPL Ltd

    355,208       3,145  

Varun Beverages Ltd

    257,512       3,260  

Vedanta Ltd

    200,672       1,019  

VST Tillers Tractors

    49,667       1,731  

WNS Holdings Ltd ADR *

     72,283       5,973  
              128,486  
                 

Indonesia — 3.0%

Astra International Tbk PT

    3,467,500       1,405  

Avia Avian *

     36,847,800       2,090  

Bank Central Asia Tbk PT

    4,945,500       2,777  

Bank Mandiri Persero Tbk PT

    770,300       413  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Bank Rakyat Indonesia Persero Tbk PT

    26,788,876     $ 8,501  

Cisarua Mountain Dairy TBK *

     10,816,900       2,648  

Matahari Department Store Tbk PT

    8,981,500       2,868  

Medikaloka Hermina Tbk PT

    77,974,500       5,794  

Merdeka Copper Gold Tbk PT *

     7,880,400       2,149  

Pakuwon Jati Tbk PT

    81,229,684       2,603  

Telkom Indonesia Persero Tbk PT

    3,989,400       1,207  

Ultrajaya Milk Industry & Trading Co Tbk PT

    31,400,000       3,357  

Vale Indonesia

    4,925,600       1,875  
              37,687  
                 

Kenya — 0.2%

ARM Cement Ltd *

     10       –  

Equity Group Holdings PLC/Kenya

    5,792,163       2,547  
              2,547  
                 

Mexico — 2.3%

America Movil SAB de CV ADR, Cl L

    64,587       1,170  

Arca Continental SAB de CV

    198,848       1,314  

Banco del Bajio SA

    838,600       2,044  

Coca-Cola Femsa SAB de CV

    257,837       1,431  

GCC

    120,000       799  

Grupo Aeroportuario del Centro Norte SAB de CV, Cl B

    343,310       2,479  

Grupo Aeroportuario del Sureste SAB de CV ADR

    12,344       2,666  

Grupo Financiero Banorte SAB de CV, Cl O

    985,600       6,704  

Grupo Mexico SAB de CV, Ser B

    835,701       4,279  

Megacable Holdings SAB de CV

    349,100       1,029  

Promotora y Operadora de Infraestructura SAB de CV

    75,900       598  

Wal-Mart de Mexico SAB de CV

    1,201,117       4,585  
              29,098  
                 

Netherlands — 0.2%

BE Semiconductor Industries NV

    26,475       2,239  

Nigeria — 0.4%

Zenith Bank PLC

    76,698,031       4,999  

Pakistan — 0.3%

United Bank Ltd/Pakistan

    4,070,761       3,412  

Philippines — 3.1%

AllHome Corp

    17,413,000       2,995  

Alliance Global Group Inc

    19,991,310       5,004  

Ayala Corp

    376,909       6,253  

Ayala Land Inc

    5,943,100       4,532  

BDO Unibank Inc

    1,862,424       4,704  

Century Pacific Food

    2,522,700       1,322  

GT Capital Holdings Inc

    387,410       4,386  

Metropolitan Bank & Trust Co

    2,324,900       2,595  

Monde Nissin Corp *

     8,915,200       2,883  

Robinsons Land Corp

    8,086,500       3,051  

Wilcon Depot Inc

    2,102,600       1,200  
              38,925  
                 

 

 

 

146

 

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SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Poland — 0.5%

Bank Polska Kasa Opieki SA

    63,771     $ 1,755  

Cyfrowy Polsat SA

    144,871       943  

Dino Polska SA *

     22,873       1,613  

PGE Polska Grupa Energetyczna SA *

     333,823       651  

Polski Koncern Naftowy ORLEN SA

    42,186       717  

STS Holding *

     306,134       1,191  
              6,870  
                 

Qatar — 0.2%

Industries Qatar QSC

    269,883       1,356  

Qatar Islamic Bank SAQ

    113,143       654  
              2,010  
                 

Russia — 0.8%

Gazprom PJSC ADR

    593,590       1,691  

LUKOIL PJSC ADR

    153,750       3,569  

MMC Norilsk Nickel PJSC ADR

    75,778       975  

Mobile TeleSystems PJSC ADR

    556,416       1,530  

Moscow Exchange PJSC *

     945,410       439  

Ozon Holdings ADR *

     30,008       273  

Sberbank of Russia PJSC ADR

    104,765       115  

Surgutneftegas PJSC ADR

    528,675       1,015  

Yandex NV, Cl A *

     50,933       751  
              10,358  
                 

Saudi Arabia — 1.7%

Al Rajhi Bank

    125,046       5,361  

Riyad Bank

    91,255       864  

Sahara International Petrochemical Co

    56,319       701  

Saudi Arabian Oil Co

    27,406       303  

Saudi Kayan Petrochemical Co *

     324,875       1,768  

Saudi National Bank

    313,810       5,711  

Saudi Tadawul Group Holding *

     54,551       2,329  

Saudi Telecom Co

    98,536       3,003  

United Electronics Co

    34,376       1,195  
              21,235  
                 

South Africa — 2.8%

Absa Group Ltd

    140,248       1,605  

Aspen Pharmacare Holdings Ltd

    91,561       1,192  

Barloworld Ltd

    138,631       1,100  

Bidvest Group Ltd/The

    70,311       960  

Capitec Bank Holdings Ltd

    20,203       2,713  

FirstRand Ltd

    249,279       1,068  

Gold Fields Ltd

    91,902       1,280  

Impala Platinum Holdings Ltd

    110,522       2,108  

Kumba Iron Ore Ltd

    39,546       1,555  

Life Healthcare Group Holdings Ltd

    589,548       855  

Mr Price Group Ltd

    188,026       2,560  

Naspers Ltd, Cl N

    79,691       9,947  

Old Mutual Ltd

    1,535,871       1,252  

Sappi Ltd

    276,210       913  

Sasol Ltd *

     52,572       1,205  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Shoprite Holdings Ltd

    53,713     $ 797  

Sibanye Stillwater Ltd

    464,553       2,199  

Vodacom Group Ltd

    233,142       2,234  
              35,543  
                 

South Korea — 11.2%

AfreecaTV Co Ltd

    3,252       381  

Cheil Worldwide Inc

    89,666       1,678  

CJ CheilJedang Corp

    19,560       6,152  

CJ ENM Co Ltd

    28,721       3,135  

Coway Co Ltd

    55,367       3,320  

DB Insurance Co Ltd

    7,909       406  

Dentium Co Ltd *

     27,716       1,399  

DGB Financial Group Inc

    290,137       2,291  

DL E&C Co Ltd

    8,029       865  

Douzone Bizon Co Ltd

    16,466       670  

Ecopro

    4,759       1,514  

Eugene Technology Co Ltd

    35,576       1,292  

Fila Holdings Corp

    7,298       216  

GS Holdings Corp

    36,293       1,208  

Hana Financial Group Inc

    262,103       10,621  

Hana Materials Inc

    42,158       1,844  

Hankook Tire & Technology Co Ltd

    47,002       1,374  

Hansol Chemical Co Ltd

    7,128       1,291  

Hanwha Corp

    38,795       988  

Hyosung TNC Corp

    2,337       947  

Hyundai Marine & Fire Insurance Co Ltd

    25,218       605  

Hyundai Mipo Dockyard Co Ltd

    19,993       1,331  

Hyundai Mobis Co Ltd

    12,377       2,306  

Iljin Materials Co Ltd

    12,484       965  

KB Financial Group Inc

    60,970       3,026  

KH Vatec

    80,210       1,463  

Kia Corp

    99,308       6,140  

Kumho Petrochemical *

     12,769       1,723  

LG Corp

    21,079       1,327  

LG Electronics Inc

    60,361       6,221  

LG Household & Health Care Ltd

    1,321       1,046  

LG Innotek Co Ltd

    916       254  

Lotte Chemical Corp

    13,935       2,565  

LX INTERNATIONAL CORP

    22,392       552  

LX Semicon Co Ltd

    16,379       1,574  

Meritz Fire & Marine Insurance Co Ltd

    44,154       1,513  

Mirae Asset Securities Co Ltd

    55,410       406  

NAVER Corp

    7,984       2,114  

NCSoft Corp

    4,266       1,592  

NH Investment & Securities

    27,080       260  

POSCO Holdings ADR

    22,314       1,324  

POSCO Holdings Inc

    5,861       1,395  

PSK Inc

    34,875       1,388  

Samsung Electro-Mechanics Co Ltd

    15,062       2,107  

Samsung Electronics Co Ltd

    670,405       40,496  

Samsung Securities Co Ltd

    11,278       397  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

147

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Seegene Inc

    11,097     $ 479  

SK Hynix Inc

    76,926       7,939  

SK Telecom Co Ltd

    74,626       3,393  

SKC Co Ltd

    11,398       1,320  

SL Corp *

     79,708       1,579  

Youngone Corp

    16,908       598  
              140,990  
                 

Taiwan — 14.1%

Acer Inc

    1,665,000       1,729  

Airtac International Group

    66,019       2,200  

Alchip Technologies Ltd

    109,000       4,250  

Arcadyan Technology Corp

    370,000       1,531  

ASPEED Technology Inc

    12,300       1,212  

Asustek Computer Inc

    91,000       1,214  

Bizlink Holding Inc

    63,000       680  

Chailease Holding Co Ltd

    582,670       5,272  

ChipMOS Technologies

    280,000       527  

Chlitina Holding Ltd

    178,000       1,348  

CTBC Financial Holding Co Ltd

    6,296,000       6,097  

Delta Electronics Inc

    269,000       2,384  

E Ink Holdings Inc

    488,000       2,627  

Elite Material

    185,000       1,803  

Farglory Land Development

    446,000       978  

Fittech *

     210,000       1,523  

Formosa Plastics Corp

    518,000       1,950  

Fubon Financial Holding Co Ltd

    2,807,700       7,567  

Gigabyte Technology Co Ltd

    98,000       501  

Hon Hai Precision Industry Co Ltd

    1,080,912       4,010  

King Yuan Electronics Co Ltd

    276,000       434  

Lite-On Technology Corp

    623,862       1,535  

Macronix International Co Ltd

    2,334,000       3,622  

Makalot Industrial Co Ltd

    187,000       1,475  

MediaTek Inc

    227,357       8,876  

Merida Industry Co Ltd

    187,000       1,904  

Micro-Star International Co Ltd

    760,000       4,215  

momo.com Inc

    28,000       1,000  

Nien Made Enterprise Co Ltd

    104,000       1,352  

Parade Technologies Ltd

    33,000       2,283  

Powertech Technology Inc

    348,000       1,180  

Realtek Semiconductor Corp

    186,000       3,065  

Silergy Corp

    38,367       5,071  

Sino-American Silicon Products Inc

    265,000       1,759  

Taiwan Business Bank

    5,588,000       2,223  

Taiwan Paiho Ltd

    422,000       1,193  

Taiwan Semiconductor Manufacturing Co Ltd

    2,266,000       48,594  

Taiwan Semiconductor Manufacturing Co Ltd ADR

    169,024       18,087  

Unimicron Technology Corp

    287,000       2,670  

United Microelectronics Corp

    2,554,000       4,832  

Voltronic Power Technology Corp

    45,950       2,382  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Winbond Electronics Corp

    1,128,000     $ 1,353  

Wiwynn Corp *

     117,000       4,119  

Yang Ming Marine Transport Corp *

     465,000       1,959  

Yuanta Financial Holding Co Ltd

    3,680,400       3,282  
              177,868  
                 

Thailand — 3.4%

Bangkok Bank

    851,100       3,659  

Bangkok Chain Hospital

    1,239,600       726  

Bangkok Life Assurance NVDR

    1,511,800       2,032  

Com7 PCL

    816,200       2,074  

Home Product Center PCL

    10,207,845       4,781  

Humanica

    3,222,600       1,261  

JMT Network Services PCL

    1,485,700       3,089  

Kasikornbank PCL

    171,700       862  

Kasikornbank PCL NVDR

    966,500       4,836  

Kiatnakin Bank PCL

    281,200       590  

Krung Thai Bank PCL

    1,735,400       746  

Land & Houses

    6,761,600       1,996  

Major Cineplex Group NVDR

    1,499,100       929  

Mega Lifesciences

    798,700       1,056  

PTT Exploration & Production

    227,000       958  

PTT PCL

    920,700       1,122  

PTT PCL NVDR

    5,117,700       6,187  

Siam Cement PCL/The

    82,600       993  

Sri Trang Agro-Industry PCL

    3,356,200       2,751  

Thai Union Group PCL, Cl F

    4,004,800       2,508  

Tisco Financial Group PCL

    101,200       304  
              43,460  
                 

Turkey — 0.4%

Akbank TAS

    891,294       454  

BIM Birlesik Magazalar AS

    224,825       1,188  

Ford Otomotiv Sanayi AS

    28,405       556  

Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS, Cl D *

     689,728       587  

Tekfen Holding AS *

     214,474       288  

Tofas Turk Otomobil Fabrikasi AS

    64,048       373  

Turk Hava Yollari AO *

     177,391       330  

Turkcell Iletisim Hizmetleri AS

    501,283       744  
              4,520  
                 

United Arab Emirates — 1.6%

Abu Dhabi Commercial Bank PJSC

    683,370       2,005  

Aldar Properties PJSC

    921,798       1,056  

Dubai Islamic Bank PJSC

    563,900       937  

Emaar Development PJSC *

     4,444,042       5,186  

Emaar Properties PJSC

    5,527,881       7,670  

Fertiglobe

    2,300,817       2,425  

First Abu Dhabi Bank PJSC

    254,333       1,430  
              20,709  
                 

United Kingdom — 3.6%

Airtel Africa

    1,539,674       2,887  

 

 

 

148

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Equity Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Endava PLC ADR *

     2,334     $ 311  

Energean PLC *

     503,146       6,932  

Halyk Savings Bank of Kazakhstan JSC GDR

    428,593       4,323  

Hochschild Mining PLC

    3,350,660       5,222  

NAC Kazatomprom JSC GDR

    189,669       5,754  

Nova Ljubljanska Banka dd GDR

    264,407       3,983  

Polymetal International PLC

    50,326       248  

Polyus PJSC GDR

    9,030       607  

SEPLAT Energy

    3,037,908       4,383  

SolGold PLC *

     6,774,749       2,677  

TBC Bank Group PLC

    138,321       2,240  

TCS Group Holding GDR

    22,288       213  

Tullow Oil PLC *

     2,661,939       1,892  

WAG Payment Solutions *

     1,509,678       1,910  

Wizz Air Holdings PLC *

     49,168       2,192  
              45,774  
                 

United States — 1.6%

Coupang, Cl A *

     56,594       1,501  

Credicorp Ltd

    30,511       4,615  

EPAM Systems Inc *

     8,280       1,720  

Fabrinet *

     11,013       1,103  

Freshworks, Cl A *

     37,587       689  

Globant SA *

     13,859       3,797  

IHS Holding *

     191,059       2,140  

Turquoise Hill Resources *

     177,299       3,643  

Zenvia, Cl A *

     134,488       675  
              19,883  
                 

Vietnam — 1.4%

Ho Chi Minh City Development Joint Stock Commercial Bank *

     1,964,670       2,495  

Hoa Phat Group JSC

    926,113       1,924  

Military Commercial Joint Stock Bank *

     4,649,081       7,050  

Vietnam Technological & Commercial Joint Stock Bank *

     1,612,520       3,590  

Vincom Retail JSC *

     2,196,659       3,229  
              18,288  
                 

Total Common Stock

               

(Cost $1,058,824) ($ Thousands)

             1,202,390  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

PREFERRED STOCK (A) — 1.3%

Brazil — 0.1%

Cia Energetica de Minas Gerais

    434,500     $ 1,080  

Cia Paranaense de Energia

     418,100       562  
              1,642  
                 

Colombia — 0.1%

Banco Davivienda SA*

     215,784       1,770  

South Korea — 1.1%

Hyundai Motor Co

    47,947       3,503  

LG Chem Ltd

    15,335       3,458  

LG Electronics Inc *

     25,035       1,241  

Samsung Electronics Co Ltd

     93,820       5,179  
              13,381  
                 

Total Preferred Stock

               

(Cost $18,836) ($ Thousands)

             16,793  
                 
                 
      Number of
Warrants		          

WARRANTS — 0.2%

India — 0.2%

        

Voltas, Expires 05/28/2023 *

     134,600       2,240  
                 
                 

Total Warrants

                

(Cost $693) ($ Thousands)

             2,240  
                 
                 
      Number of
Rights		          

RIGHTS — 0.0%

Thailand — 0.0%

        

VGI, Expires 04/05/2022 *

     1,074,900       26  

Total Rights

                

(Cost $—) ($ Thousands)

             26  
                 
                 
   


Shares

          

CASH EQUIVALENT — 1.4%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     17,508,524       17,509  
                 

Total Cash Equivalent

                

(Cost $17,509) ($ Thousands)

             17,509  
                 
                 

Total Investments in Securities — 98.1%

                

(Cost $1,095,862) ($ Thousands)

  $ 1,238,958  
                 
                 
                 

 

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

MSCI Emerging Markets

     271       Mar-2022     $ 16,818     $ 15,944     $ (874 )
                                         

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

149

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Equity Fund (Concluded)

 

 

Percentages are based on Net Assets of $1,262,787 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

(A)

There is currently no rate available.

 

ADR — American Depositary Receipt

Cl — Class

GDR — Global Depositary Receipt

JSC — Joint-Stock Company

Ltd — Limited

MSCI — Morgan Stanley Capital International

NVDR — Non-Voting Depositary Receipt

PCL — Public Company Limited

PJSC — Public Joint-Stock Company

PLC — Public Limited Company

Ser — Series

 

The following is a summary of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Common Stock

     298,064       904,326       –       1,202,390  

Preferred Stock

     8,156       8,637       –       16,793  

Warrant

     –       2,240       –       2,240  

Right

     26       –       –       26  

Cash Equivalent

     17,509       –       –       17,509  

Total Investments in Securities

     323,755       915,203       –       1,238,958  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Depreciation

     (874 )     –       –       (874 )

Total Other Financial Instruments

     (874 )     –       –       (874 )

 

*

Futures contracts are valued at the unrealized depreciation on the instrument.

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 
 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

    

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 63,747     $ 231,957     $ (278,195 )   $ —     $ —     $ 17,509       17,508,524     $ 3     $ —  

 

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

 

 

150

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS — 33.1%

Aerospace & Defense — 0.8%

        

Bleriot US Bidco Inc., 2021 Term Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 03/11/2028

  $ 1,729     $ 1,719  

Peraton Corp., Term B Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 03/11/2028

    2,192       2,178  

Ultra Electronics Holdings PLC, Dollar Denominated Term Loan, 1st Lien

                

0.000%, 11/17/2028 (A)

     2,165       2,146  
              6,043  
                 

Air Transport — 0.7%

        

AAdvantage Loyality IP Ltd. (American Airlines, Inc.), Initial Term Loan, 1st Lien

                

5.000%, LIBOR + 4.250%, 05/08/2028

    1,519       1,545  

American Airlines Inc., 2018 Replacement Term Loan, 1st Lien

                

6.459%, LIBOR + 6.250%, 02/13/2026 (B)

     253       242  

American Airlines Inc., 2020 Term Loan, 1st Lien

                

4.500%, LIBOR + 3.500%, 05/01/2024

    1,103       1,049  

Mileage Plus Holdings LLC (Mileage Plus Intellectual Property Assets, Ltd.), Initial Term Loan, 1st Lien

                

5.500%, LIBOR + 4.750%, 04/27/2027

    905       944  

SkyMiles IP Ltd. (Delta Air Lines, Inc.), Initial Term Loan, 1st Lien

                

4.750%, LIBOR + 4.000%, 10/01/2027

    1,175       1,227  
              5,007  
                 

Automotive — 0.5%

        

Autokiniton US Holdings Inc., Closing Date Term B Loan, 1st Lien

                

5.500%, LIBOR + 4.750%, 05/29/2028 (B)

     1,978       1,963  

Holley Inc., Delayed Draw Term Loan, 1st Lien

                

4.500%, 11/17/2028

    2       2  

Holley Inc., Initial Term Loan, 1st Lien

                

4.500%, 11/17/2028

    41       40  

Truck Hero, Inc., Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 3.750%, 12/17/2027 (A)

     1,910       1,872  
              3,877  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Building & Development — 1.9%

        

Artera Services, LLC, Tranche B Term Loan, 1st Lien

                

3.250%, LIBOR + 2.750%, 10/20/2028

  $ 823     $ 792  

CP Atlas Buyer, Inc., Term B Loan, 1st Lien

                

4.500%, LIBOR + 3.750%, 03/02/2028

    1,947       1,908  

Crown Subsea Communications Holding, Inc. , Initial Term Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 06/02/2028

    1,338       1,337  

Kodiak BP, LLC, Initial Term Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 03/31/2028

    2,780       2,740  

KREF Holdings X LLC, 2021 Replacement Term Loan, 1st Lien

                

4.000%, 09/01/2027

    1,678       1,661  

MI Windows and Doors, LLC, Initial Term Loan Retired, 1st Lien

                

4.750%, LIBOR + 4.000%, 12/01/2027 (A)

     1,154       1,149  

Specialty Building Products Holdings, LLC, Initial Term Loan, 1st Lien

                

4.250%, 10/15/2028

    1,286       1,273  

SRS Distribution Inc., 2021 Refinancing Term Loan, 1st Lien

                

4.154%, CME Term SOFR + 4.000%, 07/31/2028

    2,443       2,412  

Tutor Perini Corporation, Term Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 07/30/2027 (A)(B)

     711       710  
              13,982  
                 

Business Equipment & Services — 3.1%

        

AVSC Holding Corp., 2020 B-1 Term Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 11/23/2027

    2,439       2,249  

AVSC Holding Corp., Initial Term Loan, 2nd Lien

                

4.500%, LIBOR + 3.500%, 03/06/2025 (C)

     1,132       892  

BW Holding, Inc., Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 4.000%, 12/14/2028

    791       784  

Electron Bidco Inc., Initial Term Loan, 1st Lien

                

3.750%, 11/01/2028 (A)

     1,108       1,095  

Ensono Inc, Initial Term Loan, 1st Lien

                

5.750%, LIBOR + 5.000%, 07/27/2028

    1,683       1,666  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

151

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Marlink AS, Dollar Term Loan B, 1st Lien

                

0.000%, 12/04/2028 (A)

   $ 244     $ 237  

Medline Borrower, LP, Initial Dollar Term Loan, 1st Lien

                

3.750%, LIBOR + 3.250%, 10/23/2028 (C)

     1,438       1,423  

Mercury Borrower, Inc., Initial Term Loan, 1st Lien

                

8.750%, LIBOR + 7.750%, 07/31/2028 (A)

     265       261  

Mercury Borrower, Inc., Initial Term Loan, 2nd Lien

                

4.154%, CME Term SOFR + 4.000%, 07/31/2028 (A)(C)

     1,245       1,242  

Mermaid Bidco Inc., Additional Term Facility (USD), 1st Lien

                

5.500%, LIBOR + 5.000%, 12/16/2028

    1,669       1,640  

Packers Holdings, LLC, Initial Term Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 03/31/2028

    1,530       1,501  

Pug LLC, Term B-2 Loan, 1st Lien

                

3.940%, CME Term SOFR + 3.750%, 12/29/2028

    763       755  

Pug LLC, USD Term B Loan, 1st Lien

                

4.250%, LIBOR + 3.500%, 12/04/2026

    1,683       1,649  

Service Logic Acquisition, Inc., Closing Date Initial Term Loan, 1st Lien

                

4.750%, LIBOR + 4.000%, 10/29/2027

    2,535       2,513  

4.000%, LIBOR + 3.250%, 11/02/2027

    6       6  

Sharp Midco LLC, Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 4.000%, 12/31/2028

    780       774  

TGG TS Acquisition Company, Term B Loan, 1st Lien

                

7.209%, LIBOR + 7.000%, 05/29/2026

    1,178       1,175  

TK Elevator Midco GmbH, Facility B1 (USD), 1st Lien

                

8.000%, LIBOR + 7.250%, 12/01/2028

    258       256  

4.040%, CME Term SOFR + 3.750%, 11/22/2028 (A)

     1,465       1,453  

William Morris Endeavor Entertainment, LLC (IMG Worldwide Holdings, LLC), Term B-1 Loan, 1st Lien

                

6.709%, LIBOR + 6.500%, 12/14/2025

    46       45  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

5.250%, LIBOR + 4.250%, 06/05/2025

  $ 584     $ 569  

5.250%, LIBOR + 4.250%, 10/02/2025

    501       488  

3.959%, LIBOR + 3.750%, 10/10/2025

    53       52  
              22,725  
                 

Cable & Satellite Television — 0.0%

        

Diamond Sports Group LLC, Term Loan, 1st Lien

                

4.209%, LIBOR + 4.000%, 07/18/2026

    994       369  
                 
                 

Chemicals & Plastics — 1.2%

        

Aruba Investments Holdings LLC, Initial Dollar Term Loan, 1st Lien

                

4.000%, LIBOR + 3.250%, 11/12/2027 (B)

     505       501  

Aruba Investments Holdings LLC, Initial Term Loan, 2nd Lien

                

4.442%, CME Term SOFR + 4.250%, 11/16/2027 (B)

     1,467       1,459  

Cambrex Corporation, Tranche B-2 Dollar Term Loan, 1st Lien

                

4.000%, LIBOR + 3.250%, 01/31/2028

    1,608       1,603  

DCG Acquisition Corp., Term Loan B, 1st Lien

                

4.459%, LIBOR + 4.250%, 08/31/2026 (B)(C)

     2,763       2,742  

Flexsys Holdings, Inc., Initial Term Loan, 1st Lien

                

4.190%, CME Term SOFR + 4.000%, 01/27/2029 (C)

     1,395       1,390  

SCIH Salt Holdings Inc., Incremental Term B-1 Loan, 1st Lien

                

3.250%, LIBOR + 2.750%, 06/28/2028

    1,015       999  
              8,694  
                 

Conglomerates — 0.1%

        

Conair Holdings LLC, Initial Term Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 07/27/2028 (A)

     668       660  
                 
                 

Containers & Glass Products — 2.3%

        

Anchor Packaging, LLC, Initial Term Loan, 1st Lien

                

4.209%, LIBOR + 4.000%, 07/31/2026 (B)

     1,427       1,405  

 

 

 

152

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Berlin Packaging L.L.C., Tranche B-5 Term Loan, 1st Lien

                

7.000%, LIBOR + 6.500%, 10/15/2029

  $ 451     $ 448  

3.191%, LIBOR + 3.000%, 10/15/2029

    2,119       2,103  

Mauser Packaging Solutions Holding Company, Initial Term Loan, 1st Lien

                

3.356%, LIBOR + 3.250%, 04/03/2024 (A)

     2,223       2,183  

Packaging Coordinators Midco, Inc., Term B Loan, 1st Lien

                

4.250%, LIBOR + 3.500%, 10/02/2027

    454       451  

Pregis TopCo LLC, Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 4.000%, 07/31/2026

    1,613       1,603  

Pregis TopCo LLC, Third Amendment Refinancing Term Loan, 1st Lien

                

3.750%, LIBOR + 3.250%, 10/23/2028

    1,089       1,083  

Pretium PKG Holdings, Inc., Initial Term Loan, 1st Lien

                

4.500%, 10/02/2028

    1,236       1,221  

Pretium PKG Holdings, Inc., Initial Term Loan, 2nd Lien

                

7.250%, 10/01/2029

    1,685       1,673  

Tank Holding Corp., 2020 Incremental Term Loan, 1st Lien

                

3.352%, CME Term SOFR + 3.000%, 12/15/2027

    1,747       1,733  

Tank Holding Corp., 2020 Refinancing Term Loan, 1st Lien

                

5.250%, LIBOR + 4.500%, 12/04/2026

    1,240       1,221  

Trident TPI Holdings, Inc., Tranche B-1 Term Loan, 1st Lien

                

3.709%, LIBOR + 3.500%, 09/13/2024

    1,892       1,879  

Trident TPI Holdings, Inc., Tranche B-3 DDTL Term Loan, 1st Lien

                

7.250%, LIBOR + 6.750%, 03/30/2029

    20       20  

7.250%, LIBOR + 6.750%, 07/23/2029

    11       11  

Trident TPI Holdings, Inc., Tranche B-3 Initial Term Loan, 1st Lien

                

3.440%, CME Term SOFR + 3.250%, 01/18/2029

    346       344  
              17,378  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Ecological Services & Equipment — 0.3%

        

Cast & Crew LLC, Incremental Facility No. 2 Incremental Term Loan, 1st Lien

                

3.940%, 12/29/2028 (A)

   $ 1,760     $ 1,746  

Esdec Solar Group B.V., Initial Term Loan, 1st Lien

                

7.250%, LIBOR + 6.750%, 10/01/2029

    693       683  
              2,429  
                 

Electronics/Electrical — 5.1%

        

Apttus Corporation, Initial Term Loan, 1st Lien

                

5.500%, LIBOR + 4.750%, 05/29/2028

    1,333       1,326  

athenahealth Group Inc., Initial Delayed Draw Term Loan, 1st Lien

                

0.000%, 02/15/2029 (A)

     342       339  

athenahealth Group Inc., Initial Term Loan, 1st Lien

                

4.000%, 02/15/2029 (A)

     1,967       1,947  

CommerceHub, Inc., Initial Term Loan, 1st Lien

                

4.750%, LIBOR + 4.000%, 12/01/2027 (C)

     673       662  

Delta Topco, Inc., Initial Term Loan, 2nd Lien

                

4.750%, LIBOR + 3.750%, 10/20/2027

    1,675       1,665  

ECi Macola/MAX Holding, LLC, Initial Term Loan, 1st Lien

                

3.459%, LIBOR + 3.250%, 07/31/2027

    1,974       1,954  

Epicor Software Corporation (fka Eagle Parent Inc.), Initial Term Loan, 2nd Lien

                

4.000%, LIBOR + 3.250%, 07/30/2027 (A)

     606       617  

Epicor Software Corporation (fka Eagle Parent Inc.), Term C Loan, 1st Lien

                

6.250%, LIBOR + 5.250%, 06/21/2027 (A)

     66       65  

Hyland Software Inc., 2021 Refinancing Term Loan, 2nd Lien

                

5.500%, LIBOR + 4.750%, 05/29/2028

    1,981       1,986  

Hyland Software, Inc., 2018 Refinancing Term Loan, 1st Lien

                

7.209%, LIBOR + 7.000%, 05/29/2026

    862       857  

Idera, Inc., Term B-1 Loan, 1st Lien

                

4.500%, LIBOR + 3.750%, 03/06/2028 (A)

     1,099       1,088  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

153

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

ION Trading Finance Limited, Initial Dollar Term Loan (2021), 1st Lien

                

5.500%, LIBOR + 4.750%, 05/29/2028

  $ 1,836     $ 1,825  

Ivanti Software, Inc., 2021 Specified Refinancing Loan, 2nd Lien

                

7.750%, 12/01/2028

    1,130       1,122  

Ivanti Software, Inc., 2021 Specified Refinancing Term Loan, 1st Lien

                

5.000%, 12/01/2027

    2,242       2,208  

MA Financeco., LLC, Tranche B-4 Term Loan, 1st Lien

                

5.000%, LIBOR + 4.000%, 01/08/2027

    1,525       1,508  

Magenta Buyer LLC, Initial Term Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 07/21/2028 (A)

     52       52  

McAfee Corp., Tranche B-1 Term Loan, 1st Lien

                

4.195%, CME Term SOFR + 4.000%, 03/01/2029 (A)

     2,716       2,675  

MH Sub I, LLC (Micro Holding Corp.), 2020 June New Term Loan, 1st Lien

                

4.750%, LIBOR + 3.750%, 04/09/2027 (A)

     725       719  

MH Sub I, LLC (Micro Holding Corp.), Amendment No. 2 Initial Term Loan, 1st Lien

                

4.250%, LIBOR + 3.500%, 07/01/2024

    758       748  

MH Sub I, LLC (WebMD Health Corp.), 2021 Replacement Term Loan, 2nd Lien

                

4.250%, LIBOR + 3.750%, 03/31/2028

    550       546  

Mitchell International, Inc., Initial Term Loan, 1st Lien

                

4.250%, 10/15/2028

    927       913  

Motus Group, LLC, Initial Term Loan, 1st Lien

                

4.500%, 12/11/2028

    850       844  

Netsmart, Inc., Initial Term Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 10/07/2027

    1,724       1,715  

Particle Luxembourg S.a.r.l., Initial Term Loan, 1st Lien

                

5.500%, LIBOR + 4.500%, 02/04/2027 (B)

     664       661  

3.709%, LIBOR + 3.500%, 02/12/2027 (B)

     658       656  

Ping Identity Corporation, Term Loan, 1st Lien

                

4.040%, 11/22/2028

    700       693  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Quest Software US Holdings Inc., Initial Term Loan, 1st Lien

                

4.750%, 02/01/2029 (A)

   $ 1,804     $ 1,776  

Quest Software US Holdings Inc., Term Loan, 2nd Lien

                

8.150%, 02/01/2030 (A)

     983       960  

Redstone HoldCo 2 LP, Initial Term Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 06/02/2028

    1,197       1,115  

Renaissance Holding Corp., Initial Term Loan, 2nd Lien

                

3.959%, LIBOR + 3.750%, 02/27/2026

    699       693  

3.459%, LIBOR + 3.250%, 03/26/2026

    304       302  

Snap One Holdings Corp., Initial Term Loan, 1st Lien

                

5.000%, 12/08/2028

    670       663  

Sophia L.P., Closing Date Loan, 2nd Lien

                

3.137%, CME Term SOFR + 3.000%, 10/19/2027 (C)

     1,000       1,015  

Sophia, L.P., Term Loan B, 1st Lien

                

4.000%, 10/07/2027

    1,345       1,331  

TIBCO Software Inc., Term B-3 Loan, 1st Lien

                

5.000%, LIBOR + 4.000%, 01/08/2027

    719       713  

Zelis Cost Management Buyer, Inc., Amendment No. 2 Term Loan, 1st Lien

                

3.606%, 09/30/2026

    307       303  
              38,262  
                 

Financial Intermediaries — 2.9%

        

AI Convoy (Luxembourg) S.a r.l., Facility B1 (USD), 1st Lien

                

4.500%, 01/18/2027 (A)

     906       900  

Apex Group Treasury Limited, Term Loan

                

0.000%, 07/27/2028 (A)

     30       30  

Apex Group Treasury Limited, USD Term Loan, 1st Lien

                

5.000%, LIBOR + 4.500%, 12/16/2028

    1,337       1,326  

AssuredPartners Inc., 2021 Term Loan, 1st Lien

                

7.750%, LIBOR + 7.250%, 12/01/2028

    973       957  

Deerfield Dakota Holding, LLC, Initial Dollar Term Loan, 1st Lien

                

4.500%, LIBOR + 3.500%, 01/18/2027

    616       612  

Global IID Parent LLC, Term B Loan, 1st Lien

                

5.000%, 12/16/2028

    836       833  

 

 

 

154

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

HighTower Holding, LLC, Initial Term Loan, 1st Lien

                

3.750%, LIBOR + 3.250%, 06/21/2028

  $ 1,776     $ 1,762  

Husky Injection Molding Systems Ltd., Initial Term Loan, 1st Lien

                

3.354%, LIBOR + 3.000%, 03/28/2025

    1,366       1,338  

LS Group Opco Acquisition LLC (LS Group PropCo Acquisition LLC), Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 3.750%, 11/09/2027 (A)

     1,483       1,467  

Madison IAQ LLC, Initial Term Loan, 1st Lien

                

3.750%, LIBOR + 3.250%, 08/18/2028

    1,866       1,834  

Mariner Wealth Advisors, LLC, Delayed Draw Term Loan, 1st Lien

                

3.421%, CME Term SOFR + 3.250%, 01/24/2029

    47       47  

Mirion Technologies (US Holdings), Inc., Initial Term Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 11/19/2028

    1       1  

Osmosis Buyer Limited, Initial Term B Loan, 1st Lien

                

5.750%, LIBOR + 5.000%, 08/30/2028

    2,663       2,645  

5.000%, LIBOR + 4.000%, 08/31/2028

    133       132  

Osmosis Buyer Limited, Term Loan, 1st Lien

                

4.500%, 09/15/2028 (A)

     349       347  

Paysafe Group Holdings II Limited, Facility B1, 1st Lien

                

4.000%, LIBOR + 3.500%, 08/17/2028

    199       186  

Quirch Foods Holdings, LLC, 2021 Term Loan, 1st Lien

                

5.500%, 10/27/2027

    3,163       3,155  

Secure Acquisition, Inc., Closing Date Term Loan, 1st Lien

                

5.500%, LIBOR + 5.000%, 12/16/2028 (A)

     313       310  

Secure Acquisition/Paragon, Delayed Term Loan, 1st Lien

                

0.000%, 12/16/2028 (A)

     94       93  

Summer (BC) Bidco B LLC, Additional Facility B2 (USD), 1st Lien

                

3.750%, LIBOR + 3.250%, 11/01/2028

    1,453       1,441  

Valkyr Purchaser, LLC, Initial Term Loan, 1st Lien

                

4.750%, LIBOR + 4.000%, 11/05/2027

    1,065       1,057  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Victory Buyer LLC, Initial Term Loan, 1st Lien

                

4.250%, 11/19/2028

  $ 700     $ 695  
              21,168  
                 

Food Service — 0.5%

        

IRB Holding Corp., 2022 Replacement Term B Loan, 1st Lien

                

3.750%, 12/15/2027 (A)

     1,855       1,835  

Naked Juice LLC, Delayed Draw Term Loan, 1st Lien

                

3.750%, 01/24/2029 (A)

     61       60  

Naked Juice LLC, Initial Term Loan, 1st Lien

                

3.750%, 01/24/2029 (A)

     1,058       1,048  

Sovos Brands Intermediate, Inc., Initial Term Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 08/02/2028

    630       627  
              3,570  
                 

Health Care — 3.5%

        

Air Methods Corporation, Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 3.500%, 04/22/2024

    2,009       1,858  

Auris Luxembourg III S.a r.l., Facility B2, 1st Lien

                

3.724%, LIBOR + 3.500%, 04/06/2026

    744       730  

Confluent Medical Technologies, Inc., Closing Date Term Loan, 1st Lien

                

4.126%, CME Term SOFR + 3.750%, 02/16/2029

    980       970  

Envision Healthcare Corporation, Initial Term Loan, 1st Lien

                

3.724%, LIBOR + 3.500%, 04/06/2026

    2,345       1,700  

Envision Healthcare Corporation, Series 2020 New Term Loan, 1st Lien

                

4.500%, LIBOR + 3.500%, 01/18/2027

    330       233  

eResearchTechnology, Inc., Initial Term Loan, 1st Lien

                

5.750%, LIBOR + 5.000%, 09/25/2026

    2,621       2,616  

EyeCare Partners LLC, Amendment No. 1 Delayed Draw Term Loan, 1st Lien

                

4.250%, 11/15/2028

    111       110  

EyeCare Partners LLC, Amendment No. 1 Term Loan, 1st Lien

                

4.250%, 11/15/2028

    444       439  

FC Compassus, LLC, Term B-1 Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 03/31/2028

    881       866  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

155

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Gainwell Acquisition Corp., Term B Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 07/30/2027 (A)

   $ 3,032     $ 3,014  

Global Medical Response, Inc., 2021 Refinancing Term Loan, 1st Lien

                

4.750%, LIBOR + 4.000%, 10/01/2027

    1,120       1,113  

Mamba Purchaser, Inc., Initial Loan, 2nd Lien

                

7.000%, 10/15/2029

    780       777  

Maravai Intermediate Holdings, LLC, Tranche B Term Loan, 1st Lien

                

3.137%, 10/19/2027

    1,599       1,586  

MED ParentCo, LP, Initial Term Loan, 1st Lien

                

5.500%, Prime Rate + 2.250%, 08/24/2026

    2,002       1,985  

PetVet Care Centers, LLC (fka Pearl Intermediate Parent LLC), 2021 First Lien Replacement Term Loan, 1st Lien

                

4.750%, LIBOR + 4.000%, 12/29/2027

    1,954       1,939  

PetVet Care Centers, LLC (fka Pearl Intermediate Parent LLC), Initial Term Loan, 2nd Lien

                

4.250%, LIBOR + 3.250%, 03/03/2025 (B)

     200       199  

Phoenix Newco, Inc., Initial Term Loan, 1st Lien

                

6.459%, LIBOR + 6.250%, 02/23/2029

    2,280       2,260  

Pluto Acquisition I, Inc., 2021 Term Loan, 1st Lien

                

4.500%, LIBOR + 4.000%, 09/15/2028

    155       154  

Precision Medicine Group, LLC, Amendment No. 1 Refinancing Term Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 03/31/2028

    3       3  

Radnet Management, Inc., Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 3.750%, 06/08/2028

    562       557  

Team Health Holdings, Inc., Non-Extended Term Loan, 1st Lien

                

3.750%, LIBOR + 2.750%, 02/06/2024 (A)

     835       795  

Tecostar Holdings, Inc., 2017 Term Loan, 1st Lien

                

4.750%, LIBOR + 3.750%, 09/13/2024

    3       3  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

WCG Purchaser Corp., Initial Term Loan, 1st Lien

                

6.709%, LIBOR + 6.500%, 10/01/2026

  $ 294     $ 292  

4.224%, LIBOR + 4.000%, 10/30/2026

    293       291  

3.606%, LIBOR + 3.500%, 09/30/2026

    1,552       1,543  
              26,033  
                 

Home Furnishings — 0.1%

        

TGP Holdings III LLC, Closing Date Term Loan, 1st Lien

                

3.500%, LIBOR + 3.000%, 10/25/2028

    693       678  
                 
                 

Industrial Equipment — 1.1%

        

Groupe Solmax Inc., Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 4.000%, 10/02/2028

    227       226  

4.250%, LIBOR + 3.750%, 10/15/2028

    316       314  

4.000%, LIBOR + 3.500%, 09/29/2028

    431       428  

Pro Mach Group, Inc., Closing Date Initial Term Loan, 1st Lien

                

7.000%, LIBOR + 6.500%, 08/02/2029

    1,415       1,412  

Pro Mach Group, Inc., Delayed Draw Term Loan, 1st Lien

                

6.758%, LIBOR + 6.250%, 08/31/2029

    124       124  

Restaurant Technologies, Inc., Initial Loan, 2nd Lien

                

3.209%, LIBOR + 3.000%, 05/14/2026 (C)

     974       972  

Star US Bidco LLC, Initial Term Loan, 1st Lien

                

5.000%, LIBOR + 4.000%, 01/08/2027

    2,508       2,488  

TMK Hawk Parent Corp., Initial Tranche A Loan (Super Senior Priority), 1st Lien

                

4.000%, LIBOR + 3.500%, 09/01/2027 (B)

     726       694  

TMK Hawk Parent Corp., Initial Tranche B Loan (Super Senior Priority), 1st Lien

                

4.813%, LIBOR + 4.000%, 09/15/2027

    946       810  

Triton Water Holdings, Inc., Initial Term Loan, 1st Lien

                

5.250%, LIBOR + 4.500%, 05/07/2028

    104       101  

 

 

 

156

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

3.750%, LIBOR + 3.000%, 04/23/2028

  $ 525     $ 512  
              8,081  
                 

Insurance — 1.4%

        

Acrisure, LLC, 2020 Term Loan, 1st Lien

                

3.459%, LIBOR + 3.250%, 12/23/2026

    1,329       1,306  

Acrisure, LLC, 2021-2 Additional Term Loan, 1st Lien

                

4.750%, 02/15/2027

    115       114  

Asurion, LLC, New B-7 Term Loan, 1st Lien

                

5.750%, LIBOR + 5.000%, 03/26/2026

    41       40  

Asurion, LLC, New B-8 Term Loan, 1st Lien

                

5.000%, LIBOR + 4.250%, 12/01/2027

    703       690  

Asurion, LLC, New B-9 Term Loan, 1st Lien

                

4.000%, LIBOR + 3.250%, 03/09/2028

    528       518  

Cross Financial Corp., Term B-1 Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 05/17/2028

    1,423       1,418  

HIG Finance 2 Limited, 2021 Dollar Refinancing Term Loan, 1st Lien

                

5.000%, LIBOR + 4.250%, 02/28/2028

    1,591       1,573  

Hyperion Insurance Group, Term Loan, 1st Lien

                

0.000%, 11/12/2027 (A)

     215       212  

OneDigital Borrower LLC, 2021 Term Loan, 1st Lien

                

4.750%, 11/16/2027

    2,536       2,520  

USI Inc., 2021 New Term Loan, 1st Lien

                

4.709%, LIBOR + 4.500%, 09/30/2026

    1,716       1,696  
              10,087  
                 

Leisure Goods/Activities/Movies — 1.6%

        

Alterra Mountain Company, Series B-2 Term Loan, 1st Lien

                

4.500%, LIBOR + 4.000%, 12/31/2028

    1,583       1,565  

Enterprise Development Authority, Term B Loan, 1st Lien

                

4.000%, LIBOR + 3.250%, 03/12/2028 (B)(C)

     2,056       2,047  

Equinox Holdings Inc., Incremental Term B-1 Loan, 1st Lien

                

3.209%, LIBOR + 3.000%, 11/03/2024 (B)

     2,504       2,371  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Equinox Holdings Inc., Term B-2 Loan, 1st Lien

                

4.750%, LIBOR + 4.250%, 02/12/2027 (B)

   $ 754     $ 761  

Hard Rock Northern Indiana, Term Loan B, 1st Lien

                

5.000%, 12/11/2028

    935       927  

Lakeshore Learning Materials, LLC, Initial Term Loan, 1st Lien

                

4.000%, 09/29/2028

    944       935  

Life Time, Inc., 2021 Refinancing Term Loan, 1st Lien

                

4.250%, LIBOR + 3.500%, 12/22/2027

    556       559  

MSG National Properties LLC, Term Loan, 1st Lien

                

3.750%, LIBOR + 3.000%, 11/18/2027 (C)

     1,573       1,589  

UFC Holdings LLC, Term B-3 Loan, 1st Lien

                

4.500%, LIBOR + 3.750%, 02/01/2028 (A)

     1       1  

United PF Holdings, LLC, Initial Term Loan, 1st Lien

                

4.750%, LIBOR + 4.000%, 11/01/2026

    1,243       1,192  
              11,947  
                 

Lodging & Casinos — 0.2%

        

Fertitta Entertainment, LLC, Initial B Term Loan, 1st Lien

                

4.190%, 01/27/2029 (A)

     1,025       1,019  

Raptor Acquisition Corp., Term B Loan, 1st Lien

                

4.500%, LIBOR + 4.000%, 09/15/2028

    718       716  
              1,735  
                 

Miscellaneous — 2.1%

        

Caldic, Term Loan, 1st Lien

                

0.000%, 02/23/2029 (A)

     685       678  

CROCS, Term Loan, 1st Lien

                

4.449%, 01/26/2029 (A)

     1,225       1,210  

Embecta, Term Loan, 1st Lien

                

0.000%, 01/26/2029 (A)

     700       693  

Hunter Douglas, Term Loan, 1st Lien

                

0.000%, 02/09/2029 (A)

     2,450       2,412  

ITP Aero, Term Loan, 1st Lien

                

0.000%, 02/10/2029 (A)

     1,250       1,247  

LHS Borrower/Leaf Home, Term Loan, 1st Lien

                

0.000%, 02/17/2029 (A)

     2,538       2,506  

PointClickCare, Incremental Term Loan, 1st Lien

                

0.000%, 12/29/2027 (A)

     690       685  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

157

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Prince International/Chromaflo/Ferro2, Term Loan B, 1st Lien

                

4.301%, CME Term SOFR + 4.250%, 12/22/2028 (A)

   $ 1,360     $ 1,338  

Scientific Games, Term Loan, 1st Lien

                

0.000%, 02/04/2029 (A)

     975       968  

St. George's/Medforth, Term B Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 11/15/2028 (A)

     2,175       2,144  

Viasat, Term Loan, 1st Lien

                

0.000%, 02/23/2029 (A)

     1,578       1,547  
              15,428  
                 

Nonferrous Metals/Minerals — 0.1%

        

AIP RD Buyer Corp., Term B Loan, 1st Lien

                

4.440%, CME Term SOFR + 4.250%, 12/22/2028 (A)

     560       558  
                 
                 

Oil & Gas — 0.2%

        

Woodford Express LLC, Initial Term Loan, 1st Lien

                

4.250%, LIBOR + 3.500%, 02/14/2025

    1,437       1,418  
                 
                 

Publishing — 0.2%

        

AppLovin Corporation, Amendment No. 6 New Term Loan, 1st Lien

                

3.500%, 10/25/2028

    847       839  

Dun & Bradstreet Corporation, The, 2022 Incremental Term B-2 Loan, 1st Lien

                

3.440%, 01/18/2029

    965       952  
              1,791  
                 

Retailers (Except Food & Drug) — 1.0%

        

Great Outdoors Group, LLC, Term B-2 Loan, 1st Lien

                

4.500%, 03/06/2028

    2,002       1,990  

LBM Acquisition, LLC, Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 3.750%, 11/30/2027 (A)

     1,620       1,593  

Learning Care Group (US) No. 2 Inc., 2020 Incremental Term Loan, 1st Lien

                

5.250%, LIBOR + 4.250%, 03/17/2027

    20       20  

4.750%, LIBOR + 4.250%, 02/15/2027

    249       248  

3.724%, LIBOR + 3.500%, 02/15/2027

    249       248  

Learning Care Group (US) No. 2 Inc., Initial Term Loan, 1st Lien

                

3.354%, LIBOR + 3.000%, 03/28/2025

    488       475  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

2.960%, LIBOR + 2.750%, 05/18/2025

  $ 373     $ 363  

Shutterfly, LLC, 2021 Refinancing Term B Loan, 1st Lien

                

5.000%, LIBOR + 4.500%, 12/08/2028

    1,627       1,541  

Sweetwater Borrower, LLC, Initial Term Loan, 1st Lien

                

3.454%, CME Term SOFR + 3.250%, 01/24/2029

    861       853  
              7,331  
                 

Software & Service — 0.1%

        

Proofpoint, Inc., Initial Loan, 2nd Lien

                

5.500%, LIBOR + 4.750%, 08/07/2028

    863       863  
                 
                 

Surface Transport — 0.9%

        

Dynasty Acquisition Co., Inc., 2020 Term B-1 Loan, 1st Lien

                

4.224%, LIBOR + 4.000%, 12/30/2026

    1,001       969  

Dynasty Acquisition Co., Inc., 2020 Term B-2 Loan, 1st Lien

                

5.000%, LIBOR + 4.250%, 12/31/2026

    538       521  

FCG Acquisitions, Inc., Amendment No. 1 Delayed Draw Term Loan, 1st Lien

                

4.454%, CME Term SOFR + 4.250%, 02/01/2029

    51       50  

4.126%, CME Term SOFR + 3.750%, 02/16/2029

    2       2  

3.599%, CME Term SOFR + 3.500%, 02/15/2029

    7       7  

FCG Acquisitions, Inc., Initial Term Loan, 1st Lien

                

4.974%, LIBOR + 4.750%, 04/01/2028

    1,547       1,532  

FCG Acquisitions, Inc., Initial Term Loan, 2nd Lien

                

5.500%, LIBOR + 4.750%, 04/20/2028 (C)

     959       966  

First Student Bidco Inc., Initial Term B Loan, 1st Lien

                

4.500%, LIBOR + 4.000%, 12/11/2028

    1,058       1,043  

First Student Bidco Inc., Initial Term C Loan, 1st Lien

                

4.500%, LIBOR + 4.000%, 12/14/2028

    391       385  

LaserShip, Inc., Initial Term Loan, 1st Lien

                

3.500%, LIBOR + 3.000%, 07/21/2028

    943       939  
              6,414  
                 

 

 

 

158

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

  

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Telecommunications — 1.2%

        

Consolidated Communications, Inc., Term B-1 Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 03/31/2028

  $ —     $ —  

Coral-US Co-Borrower LLC, Term B-6 Loan, 1st Lien

                

3.191%, 10/15/2029

    1,060       1,049  

DEI Sales Inc., Initial Term Loan, 1st Lien

                

3.500%, LIBOR + 3.000%, 07/21/2028 (C)

     1,067       1,061  

Genesys Cloud Services Holdings I, LLC, Initial Dollar Term Loan (2020), 1st Lien

                

5.500%, LIBOR + 4.500%, 10/27/2027

    1,921       1,917  

4.750%, LIBOR + 4.000%, 10/29/2027

    900       898  

Intelsat Jackson Holdings S.A., Tranche B-3 Term Loan Retired, 1st Lien

                

4.250%, LIBOR + 3.250%, 10/17/2024

    7       7  

Intelsat Jackson Holdings S.A., Tranche B-4 Term Loan Retired, 1st Lien

                

5.750%, LIBOR + 4.750%, 12/16/2024

    1       1  

Safe Fleet Holdings LLC, 2022 Initial Term Loan, 1st Lien

                

4.271%, CME Term SOFR + 3.750%, 02/23/2029 (A)

     685       677  

Sorenson Communications LLC, 2021 Term Loan, 1st Lien

                

4.750%, LIBOR + 4.000%, 04/21/2028 (B)

     1,807       1,802  

VC GB Holdings I Corp, Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 3.750%, 11/17/2028

    650       635  

VC GB Holdings I Corp, Initial Term Loan, 2nd Lien

                

4.500%, LIBOR + 3.750%, 11/17/2028 (A)

     1,283       1,245  
              9,292  
                 
                 

Total Loan Participations

                

(Cost $248,066) ($ Thousands)

             245,820  
                 
                 
                 

MORTGAGE-BACKED SECURITIES — 32.8%

Agency Mortgage-Backed Obligations — 1.3%

        

FHLMC ARM

                

2.787%, ICE LIBOR USD 12 Month + 2.470%, 03/01/2036(B)

     625       661  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

2.304%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.250%, 06/01/2035(B)

   $ 391     $ 412  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K028, Cl X1, IO

                

0.218%, 02/25/2023(B)

     133,684       239  

FHLMC REMIC, Ser 2010-83, Cl BA

                

5.000%, 08/25/2040

     117       125  

FNMA

                

6.000%, 09/01/2039 to 04/01/2040

    269       308  

3.000%, 05/01/2022 to 12/01/2030

    368       380  

FNMA ARM

                

2.416%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.332%, 04/01/2034(B)

     254       266  

2.306%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.205%, 05/01/2035(B)

     134       141  

2.280%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.184%, 07/01/2036(B)

     474       501  

2.274%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.193%, 10/01/2024(B)

     7       7  

2.264%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.141%, 10/01/2033(B)

     320       330  

2.247%, 08/01/2034(B)

     514       543  

2.175%, ICE LIBOR USD 12 Month + 1.800%, 05/01/2034(B)

     171       178  

2.123%, ICE LIBOR USD 12 Month + 1.873%, 10/01/2033(B)

     124       130  

2.080%, ICE LIBOR USD 12 Month + 1.557%, 06/01/2035(B)

     43       43  

2.027%, ICE LIBOR USD 12 Month + 1.777%, 09/01/2034(B)

     339       339  

2.020%, ICE LIBOR USD 12 Month + 1.770%, 10/01/2033(B)

     157       157  

1.915%, ICE LIBOR USD 12 Month + 1.665%, 04/01/2033(B)

     105       106  

1.841%, ICE LIBOR USD 12 Month + 1.565%, 05/01/2037(B)

     331       345  

1.825%, ICE LIBOR USD 6 Month + 1.580%, 07/01/2034(B)

     102       105  

1.811%, ICE LIBOR USD 12 Month + 1.601%, 06/01/2035(B)

     93       93  

1.740%, ICE LIBOR USD 12 Month + 1.490%, 10/01/2035(B)

     357       370  

1.581%, ICE LIBOR USD 6 Month + 1.433%, 03/01/2035(B)

     275       283  

FNMA CMO, Ser 2012-136, Cl DC

                

1.750%, 09/25/2041

     61       61  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

159

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA CMO, Ser 2012-137, Cl UE

                

1.750%, 09/25/2041

   $ 125     $ 124  

FNMA CMO, Ser 2015-46, Cl BA

                

3.000%, 05/25/2041

     11       11  

FNMA, Ser 2017-M13, Cl FA

                

0.503%, ICE LIBOR USD 1 Month + 0.400%, 10/25/2024(B)

     67       67  

FREMF Mortgage Trust, Ser 2013-K28, Cl C

                

3.489%, 06/25/2046(B)(D)

     1,460       1,479  

GNMA ARM

                

1.620%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.410%, 09/20/2060 to 11/20/2060 (B)

     824       836  

1.295%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.125%, 11/20/2060(B)

     1,085       1,097  

GNMA, Ser 2015-171, Cl IO, IO

                

0.810%, 11/16/2055(B)

     10,481       376  
                 
                 
              10,113  

Non-Agency Mortgage-Backed Obligations — 31.5%

        

280 Park Avenue Mortgage Trust, Ser 2017-280P, Cl D

                

1.728%, ICE LIBOR USD 1 Month + 1.537%, 09/15/2034(B)(D)

     3,000       2,962  

Adjustable Rate Mortgage Trust, Ser 2005-1, Cl 5M1

                

1.237%, ICE LIBOR USD 1 Month + 1.050%, 05/25/2035(B)

     2,013       1,992  

American Home Mortgage Investment Trust, Ser 2005-2, Cl 4A1

                

2.034%, ICE LIBOR USD 6 Month + 1.500%, 09/25/2045(B)

     54       54  

Angel Oak Mortgage Trust I LLC, Ser 2018-3, Cl A1

                

3.649%, 09/25/2048(B)(D)

     19       19  

Angel Oak Mortgage Trust I LLC, Ser 2019-1, Cl A1

                

3.920%, 11/25/2048(B)(D)

     105       106  

Angel Oak Mortgage Trust I LLC, Ser 2019-2, Cl A1

                

3.628%, 03/25/2049(B)(D)

     47       47  

Angel Oak Mortgage Trust I LLC, Ser 2019-4, Cl A1

                

2.993%, 07/26/2049(B)(D)

     34       34  

Angel Oak Mortgage Trust, Ser 2020-1, Cl A1

                

2.466%, 12/25/2059(B)(D)

     23       23  

Angel Oak Mortgage Trust, Ser 2020-2, Cl A1A

                

2.531%, 01/26/2065(B)(D)

     113       114  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Angel Oak Mortgage Trust, Ser 2020-3, Cl A1

                

1.691%, 04/25/2065(B)(D)

   $ 148     $ 148  

Angel Oak Mortgage Trust, Ser 2020-4, Cl A1

                

1.469%, 06/25/2065(B)(D)

     65       64  

Angel Oak Mortgage Trust, Ser 2020-5, Cl A1

                

1.373%, 05/25/2065(B)(D)

     633       626  

Angel Oak Mortgage Trust, Ser 2020-R1, Cl A1

                

0.990%, 04/25/2053(B)(D)

     119       118  

Angel Oak Mortgage Trust, Ser 2021-1, Cl A1

                

0.909%, 01/25/2066(B)(D)

     257       252  

Angel Oak Mortgage Trust, Ser 2021-2, Cl A1

                

0.985%, 04/25/2066(B)(D)

     1,176       1,151  

Angel Oak Mortgage Trust, Ser 2021-3, Cl A1

                

1.068%, 05/25/2066(B)(D)

     209       206  

Angel Oak Mortgage Trust, Ser 2021-5, Cl A1

                

0.951%, 07/25/2066(B)(D)

     383       372  

Arroyo Mortgage Trust, Ser 2019-1, Cl A1

                

3.805%, 01/25/2049(B)(D)

     871       863  

Arroyo Mortgage Trust, Ser 2019-3, Cl A1

                

2.962%, 10/25/2048(B)(D)

     50       50  

Arroyo Mortgage Trust, Ser 2021-1R, Cl A1

                

1.175%, 10/25/2048(B)(D)

     1,443       1,411  

Banc of America Funding, Ser 2005-F, Cl 4A1

                

2.628%, 09/20/2035(B)

     34       32  

Banc of America Funding, Ser 2006-D, Cl 3A1

                

2.994%, 05/20/2036(B)

     32       34  

Banc of America Funding, Ser 2006-I, Cl 1A1

                

2.110%, 12/20/2036(B)

     1,410       1,452  

Banc of America Mortgage Trust, Ser 2003-K, Cl 2A1

                

2.602%, 12/25/2033(B)

     575       578  

Banc of America Mortgage Trust, Ser 2004-A, Cl 2A2

                

2.623%, 02/25/2034(B)

     602       617  

Banc of America Mortgage Trust, Ser 2004-D, Cl 2A1

                

2.582%, 05/25/2034(B)

     250       257  

Banc of America Mortgage Trust, Ser 2005-A, Cl 2A1

                

2.575%, 02/25/2035(B)

     12       13  

BANK, Ser 2018-BN12, Cl A2

                

4.074%, 05/15/2061

     600       612  

 

 

 

160

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Bayview Commercial Asset Trust, Ser 2004-3, Cl A1

                

0.742%, ICE LIBOR USD 1 Month + 0.555%, 01/25/2035(B)(D)

   $ 1,466     $ 1,458  

BBCMS Mortgage Trust, Ser 2017-DELC, Cl B

                

1.221%, ICE LIBOR USD 1 Month + 1.030%, 08/15/2036(B)(D)

     5,000       4,944  

BBCMS Mortgage Trust, Ser 2018-TALL, Cl C

                

1.312%, ICE LIBOR USD 1 Month + 1.121%, 03/15/2037(B)(D)

     3,000       2,895  

Bear Stearns Alt-A Trust, Ser 2003-5, Cl 2A1

                

2.585%, 12/25/2033(B)

     769       793  

Bear Stearns Alt-A Trust, Ser 2004-7, Cl 2A1

                

2.491%, 08/25/2034(B)

     1,118       1,163  

Bear Stearns ARM Trust, Ser 2003-8, Cl 4A1

                

2.465%, 01/25/2034(B)

     1,557       1,601  

Bear Stearns ARM Trust, Ser 2004-1, Cl 21A1

                

2.006%, 04/25/2034(B)

     187       188  

Bear Stearns ARM Trust, Ser 2004-2, Cl 12A2

                

2.647%, 05/25/2034(B)

     787       761  

Bear Stearns ARM Trust, Ser 2004-3, Cl 2A

                

2.723%, 07/25/2034(B)

     755       766  

Bear Stearns ARM Trust, Ser 2004-5, Cl 2A

                

2.853%, 07/25/2034(B)

     730       744  

Bellemeade Re, Ser 2018-3A, Cl M1B

                

2.037%, ICE LIBOR USD 1 Month + 1.850%, 10/25/2028(B)(D)

     1,637       1,632  

Bellemeade Re, Ser 2019-2A, Cl M1B

                

1.637%, ICE LIBOR USD 1 Month + 1.450%, 04/25/2029(B)(D)

     490       489  

Bellemeade Re, Ser 2019-3A, Cl M1B

                

1.787%, ICE LIBOR USD 1 Month + 1.600%, 07/25/2029(B)(D)

     2,038       2,035  

Bellemeade Re, Ser 2021-1A, Cl M1A

                

1.799%, SOFR30A + 1.750%, 03/25/2031(B)(D)

     448       448  

Bellemeade Re, Ser 2021-2A, Cl M1A

                

1.249%, SOFR30A + 1.200%, 06/25/2031(B)(D)

     800       791  

Bellemeade Re, Ser 2021-3A, Cl M1A

                

1.049%, SOFR30A + 1.000%, 09/25/2031(B)(D)

     1,000       990  

Bellemeade Re, Ser 2022-1, Cl M1A

                

1.800%, SOFR30A + 1.750%, 01/26/2032(B)(D)

     1,000       998  

BFLD Trust, Ser 2020-OBRK, Cl A

                

2.241%, ICE LIBOR USD 1 Month + 2.050%, 11/15/2028(B)(D)

     240       238  

BRAVO Residential Funding Trust, Ser 2019-1, Cl A1C

                

3.500%, 03/25/2058(D)

     677       681  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

BRAVO Residential Funding Trust, Ser 2019-NQM2, Cl A1

                

2.748%, 11/25/2059(B)(D)

   $ 507     $ 502  

BRAVO Residential Funding Trust, Ser 2020-NQM1, Cl A1

                

1.449%, 05/25/2060(B)(D)

     85       85  

BRAVO Residential Funding Trust, Ser 2021-NQM1, Cl A1

                

0.941%, 02/25/2049(B)(D)

     110       108  

BRAVO Residential Funding Trust, Ser 2021-NQM2, Cl A1

                

0.970%, 03/25/2060(B)(D)

     155       153  

BRAVO Residential Funding Trust, Ser 2021-NQM3, Cl A1

                

1.699%, 04/25/2060(B)(D)

     214       213  

Bunker Hill Loan Depositary Trust, Ser 2020-1, Cl A1

                

1.724%, 02/25/2055(B)(D)

     70       69  

BWay Mortgage Trust, Ser 2013-1515, Cl A1

                

2.809%, 03/10/2033(D)

     124       125  

BX Commercial Mortgage Trust, Ser 2018-BIOA, Cl D

                

1.512%, ICE LIBOR USD 1 Month + 1.321%, 03/15/2037(B)(D)

     1,818       1,795  

BX Commercial Mortgage Trust, Ser 2018-BIOA, Cl A

                

0.862%, ICE LIBOR USD 1 Month + 0.671%, 03/15/2037(B)(D)

     909       901  

BX Commercial Mortgage Trust, Ser 2019-XL, Cl A

                

1.111%, ICE LIBOR USD 1 Month + 0.920%, 10/15/2036(B)(D)

     250       249  

BX Commercial Mortgage Trust, Ser 2019-XL, Cl E

                

1.991%, ICE LIBOR USD 1 Month + 1.800%, 10/15/2036(B)(D)

     1,062       1,051  

BX Commercial Mortgage Trust, Ser 2020-VKNG, Cl C

                

1.591%, ICE LIBOR USD 1 Month + 1.400%, 10/15/2037(B)(D)

     905       891  

BX Commercial Mortgage Trust, Ser 2021-ACNT, Cl B

                

1.442%, ICE LIBOR USD 1 Month + 1.250%, 11/15/2038(B)(D)

     2,000       1,968  

BX Commercial Mortgage Trust, Ser 2021-CIP, Cl C

                

1.662%, ICE LIBOR USD 1 Month + 1.471%, 12/15/2038(B)(D)

     2,000       1,960  

BX Commercial Mortgage Trust, Ser 2021-SOAR, Cl D

                

1.591%, ICE LIBOR USD 1 Month + 1.400%, 06/15/2038(B)(D)

     1,500       1,465  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

161

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

BX Commercial Mortgage Trust, Ser 2021-VINO, Cl A

                

0.843%, ICE LIBOR USD 1 Month + 0.652%, 05/15/2038(B)(D)

   $ 240     $ 235  

BX Commercial Mortgage Trust, Ser 2021-VOLT, Cl E

                

2.191%, ICE LIBOR USD 1 Month + 2.000%, 09/15/2036(B)(D)

     2,000       1,940  

BX Commercial Mortgage Trust, Ser 2021-VOLT, Cl A

                

0.891%, ICE LIBOR USD 1 Month + 0.700%, 09/15/2036(B)(D)

     195       189  

BX Commercial Mortgage Trust, Ser 2022-LP2, Cl A

                

1.063%, TSFR1M + 1.013%, 02/15/2039(B)(D)

     2,000       1,980  

BX Trust, Ser 2021-LGCY, Cl A

                

0.697%, ICE LIBOR USD 1 Month + 0.506%, 10/15/2023(B)(D)

     400       385  

BX Trust, Ser 2021-SDMF, Cl B

                

0.929%, ICE LIBOR USD 1 Month + 0.738%, 09/15/2034(B)(D)

     1,000       953  

BX Trust, Ser 2022-LBA6, Cl A

                

1.099%, TSFR1M + 1.000%, 01/15/2039(B)(D)

     210       207  

BX Trust, Ser 2022-VAMF, Cl D

                

1.979%, TSFR1M + 1.880%, 01/15/2039(B)(D)

     1,000       975  

BX, Ser 2021-MFM1, Cl C

                

1.391%, ICE LIBOR USD 1 Month + 1.200%, 01/15/2034(B)(D)

     1,000       968  

BXHPP Trust, Ser 2021-FILM, Cl C

                

1.291%, ICE LIBOR USD 1 Month + 1.100%, 08/15/2036(B)(D)

     2,530       2,435  

CAMB Commercial Mortgage Trust, Ser 2019-LIFE, Cl A

                

1.261%, ICE LIBOR USD 1 Month + 1.070%, 12/15/2037(B)(D)

     2,795       2,774  

CAMB Commercial Mortgage Trust, Ser 2019-LIFE, Cl B

                

1.441%, ICE LIBOR USD 1 Month + 1.250%, 12/15/2037(B)(D)

     3,000       2,962  

CAMB Commercial Mortgage Trust, Ser 2019-LIFE, Cl E

                

2.341%, ICE LIBOR USD 1 Month + 2.150%, 12/15/2037(B)(D)

     2,000       1,973  

Chase Mortgage Finance Trust, Ser 2007-A1, Cl 7A1

                

2.462%, 02/25/2037(B)

     184       189  

Chase Mortgage Finance Trust, Ser 2007-A2, Cl 2A3

                

2.378%, 06/25/2035(B)

     344       349  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

CHL Mortgage Pass-Through Trust, Ser 2004-8, Cl 2A1

                

4.500%, 06/25/2019

   $ 6     $ 1  

CHT Mortgage Trust, Ser 2017-CSMO, Cl B

                

1.591%, ICE LIBOR USD 1 Month + 1.400%, 11/15/2036(B)(D)

     2,000       1,992  

CIM Trust, Ser 2017-7, Cl A

                

3.000%, 04/25/2057(B)(D)

     153       154  

Citigroup Commercial Mortgage Trust, Ser 2006-C4, Cl C

                

6.517%, 03/15/2049(B)

     130       129  

Citigroup Commercial Mortgage Trust, Ser 2018-TBR, Cl A

                

1.021%, ICE LIBOR USD 1 Month + 0.830%, 12/15/2036(B)(D)

     4,000       3,940  

Citigroup Mortgage Loan Trust, Ser 2019-IMC1, Cl A1

                

2.720%, 07/25/2049(B)(D)

     18       18  

Cold Storage Trust, Ser 2020-ICE5, Cl D

                

2.291%, ICE LIBOR USD 1 Month + 2.100%, 11/15/2037(B)(D)

     1,474       1,461  

COLT Funding LLC, Ser 2021-3R, Cl A1

                

1.051%, 12/25/2064(B)(D)

     148       145  

COLT Mortgage Loan Trust, Ser 2020-1R, Cl A1

                

1.255%, 09/25/2065(B)(D)

     101       100  

COLT Mortgage Loan Trust, Ser 2020-2R, Cl A1

                

1.325%, 10/26/2065(B)(D)

     51       51  

COLT Mortgage Loan Trust, Ser 2020-3, Cl A1

                

1.506%, 04/27/2065(B)(D)

     41       41  

COLT Mortgage Loan Trust, Ser 2021-1, Cl A1

                

0.910%, 06/25/2066(B)(D)

     162       157  

COLT Mortgage Loan Trust, Ser 2021-2, Cl A1

                

0.924%, 08/25/2066(B)(D)

     2,963       2,859  

COLT Mortgage Loan Trust, Ser 2021-2R, Cl A1

                

0.798%, 07/27/2054(D)

     96       95  

COLT Mortgage Loan Trust, Ser 2021-4, Cl A1

                

1.397%, 10/25/2066(B)(D)

     384       371  

COLT Mortgage Loan Trust, Ser 2021-4, Cl A2

                

1.500%, 10/25/2066(B)(D)

     1,919       1,850  

COLT Mortgage Loan Trust, Ser 2021-5, Cl A1

                

1.726%, 11/26/2066(B)(D)

     963       942  

COLT Mortgage Loan Trust, Ser 2021-HX1, Cl A1

                

1.110%, 10/25/2066(B)(D)

     472       455  

 

 

 

162

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

COLT Mortgage Pass-Through Certificates, Ser 2021-1R, Cl A1

                

0.857%, 05/25/2065(B)(D)

   $ 155     $ 153  

COMM Mortgage Trust, Ser 2013-300P, Cl E

                

4.394%, 08/10/2030(B)(D)

     800       786  

COMM Mortgage Trust, Ser 2013-CR10, Cl XA, IO

                

0.706%, 08/10/2046(B)

     30,060       258  

COMM Mortgage Trust, Ser 2014-CR14, Cl XA, IO

                

0.535%, 02/10/2047(B)

     24,610       223  

COMM Mortgage Trust, Ser 2014-CR15, Cl D

                

4.690%, 02/10/2047(B)(D)

     700       703  

Connecticut Avenue Securities Trust, Ser 2021-R01, Cl 1M1

                

0.799%, SOFR30A + 0.750%, 10/25/2041(B)(D)

     458       455  

Connecticut Avenue Securities Trust, Ser 2022-R02, Cl 2M1

                

1.249%, SOFR30A + 1.200%, 01/25/2042(B)(D)

     1,922       1,918  

Credit Suisse First Boston Mortgage Securities, Ser 2005-5, Cl 3A2

                

0.487%, ICE LIBOR USD 1 Month + 0.300%, 07/25/2035(B)

     621       617  

Credit Suisse Mortgage Capital Certificates, Ser 2021-NQM4, Cl A1

                

1.101%, 05/25/2066(B)(D)

     228       223  

CSFB Mortgage-Backed Pass-Through Certificates, Ser 2004-AR5, Cl 6A1

                

2.365%, 06/25/2034(B)

     1,299       1,360  

CSMC Trust, Ser 2019-AFC1, Cl A1

                

2.573%, 07/25/2049(D)

     328       327  

CSMC Trust, Ser 2021-AFC1, Cl A1

                

0.830%, 03/25/2056(B)(D)

     171       167  

CSMC, Ser 2021-NQM1, Cl A1

                

0.809%, 05/25/2065(B)(D)

     199       196  

CSMC, Ser 2021-NQM3, Cl A1

                

1.015%, 04/25/2066(B)(D)

     321       310  

DBCG Mortgage Trust, Ser 2017-BBG, Cl C

                

1.191%, ICE LIBOR USD 1 Month + 1.000%, 06/15/2034(B)(D)

     1,100       1,079  

DBGS Mortgage Trust, Ser 2018-BIOD, Cl A

                

0.928%, ICE LIBOR USD 1 Month + 0.803%, 05/15/2035(B)(D)

     2,741       2,721  

DBWF Mortgage Trust, Ser 2018-AMXP, Cl D

                

3.791%, 05/05/2035(B)(D)

     500       490  

Deephaven Residential Mortgage Trust, Ser 2020-2, Cl A1

                

1.692%, 05/25/2065(D)

     38       37  

Deephaven Residential Mortgage Trust, Ser 2021-1, Cl A1

                

0.715%, 05/25/2065(B)(D)

     70       69  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Deephaven Residential Mortgage Trust, Ser 2021-2, Cl A1

                

0.899%, 04/25/2066(B)(D)

   $ 76     $ 74  

Deephaven Residential Mortgage Trust, Ser 2021-2, Cl A3

                

1.260%, 04/25/2066(B)(D)

     762       739  

Eagle Re, Ser 2020-1, Cl M1A

                

1.087%, ICE LIBOR USD 1 Month + 0.900%, 01/25/2030(B)(D)

     1,500       1,489  

Eagle Re, Ser 2021-2, Cl M1A

                

1.599%, SOFR30A + 1.550%, 04/25/2034(B)(D)

     3,000       2,984  

Ellington Financial Mortgage Trust, Ser 2019-2, Cl A2

                

2.892%, 11/25/2059(B)(D)

     603       600  

Ellington Financial Mortgage Trust, Ser 2020-2, Cl A1

                

1.178%, 10/25/2065(B)(D)

     817       811  

Ellington Financial Mortgage Trust, Ser 2021-1, Cl A1

                

0.797%, 02/25/2066(B)(D)

     1,051       1,023  

Ellington Financial Mortgage Trust, Ser 2021-2, Cl A1

                

0.931%, 06/25/2066(B)(D)

     110       107  

ELP Commercial Mortgage Trust, Ser 2021-ELP, Cl A

                

0.893%, ICE LIBOR USD 1 Month + 0.701%, 11/15/2038(B)(D)

     350       343  

FHLMC STACR REMIC Trust, Ser 2020-DNA6, Cl M1

                

0.949%, SOFR30A + 0.900%, 12/25/2050(B)(D)

     251       251  

FHLMC STACR REMIC Trust, Ser 2021-DNA1, Cl M1

                

0.699%, SOFR30A + 0.650%, 01/25/2051(B)(D)

     233       232  

FHLMC STACR REMIC Trust, Ser 2021-DNA3, Cl M1

                

0.799%, SOFR30A + 0.750%, 10/25/2033(B)(D)

     1,203       1,194  

FHLMC STACR REMIC Trust, Ser 2021-DNA5, Cl M2

                

1.699%, SOFR30A + 1.650%, 01/25/2034(B)(D)

     250       246  

FHLMC STACR REMIC Trust, Ser 2021-HQA2, Cl M1

                

0.749%, SOFR30A + 0.700%, 12/25/2033(B)(D)

     861       858  

FHLMC STACR REMIC Trust, Ser 2021-HQA3, Cl M1

                

0.899%, SOFR30A + 0.850%, 09/25/2041(B)(D)

     2,500       2,474  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

163

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC STACR REMIC Trust, Ser 2021-HQA4, Cl M1

                

0.999%, SOFR30A + 0.950%, 12/25/2041(B)(D)

   $ 3,000     $ 2,959  

FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1B

                

1.899%, SOFR30A + 1.850%, 01/25/2042(B)(D)

     750       738  

FHLMC STACR Trust, Ser 2018-DNA2, Cl M2AS

                

1.137%, ICE LIBOR USD 1 Month + 0.950%, 12/25/2030(B)(D)

     3,000       2,987  

FHLMC STACR Trust, Ser 2019-FTR2, Cl M1

                

1.137%, ICE LIBOR USD 1 Month + 0.950%, 11/25/2048(B)(D)

     1,266       1,264  

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M3

                

4.887%, ICE LIBOR USD 1 Month + 4.700%, 04/25/2028(B)

     291       303  

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2018-HQA1, Cl M2

                

2.487%, ICE LIBOR USD 1 Month + 2.300%, 09/25/2030(B)

     1,138       1,148  

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2021-DNA2, Cl M1

                

0.849%, SOFR30A + 0.800%, 08/25/2033(B)(D)

     1,518       1,516  

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2021-DNA7, Cl M1

                

0.899%, SOFR30A + 0.850%, 11/25/2041(B)(D)

     1,500       1,482  

FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 2M2

                

5.187%, ICE LIBOR USD 1 Month + 5.000%, 11/25/2024(B)

     162       163  

FNMA Connecticut Avenue Securities, Ser 2016-C03, Cl 2M2

                

6.087%, ICE LIBOR USD 1 Month + 5.900%, 10/25/2028(B)

     207       216  

FNMA Connecticut Avenue Securities, Ser 2018-C03, Cl 1EA2

                

1.037%, ICE LIBOR USD 1 Month + 0.850%, 10/25/2030(B)

     52       52  

FNMA Connecticut Avenue Securities, Ser 2021-R02, Cl 2M1

                

0.949%, SOFR30A + 0.900%, 11/25/2041(B)(D)

     1,660       1,644  

GCAT Trust, Ser 2020-NQM2, Cl A1

                

1.555%, 04/25/2065(D)

     68       67  

GCAT Trust, Ser 2021-CM1, Cl A

                

1.469%, 04/25/2065(B)(D)

     280       276  

GCAT Trust, Ser 2021-NQM1, Cl A1

                

0.874%, 01/25/2066(B)(D)

     1,220       1,194  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GCAT Trust, Ser 2021-NQM3, Cl A1

                

1.091%, 05/25/2066(B)(D)

   $ 197     $ 191  

GCAT Trust, Ser 2021-NQM5, Cl A1

                

1.262%, 07/25/2066(B)(D)

     613       592  

GS Mortgage Securities Trust, Ser 2011-GC3, Cl X, IO

                

0.000%, 03/10/2044(B)(D)(E)

     1,025       –  

GS Mortgage Securities Trust, Ser 2012-ALOHA, Cl D

                

4.267%, 04/10/2034(B)(D)

     1,000       997  

GS Mortgage Securities Trust, Ser 2020-DUNE, Cl B

                

1.541%, ICE LIBOR USD 1 Month + 1.350%, 12/15/2036(B)(D)

     500       495  

GS Mortgage Securities Trust, Ser 2021-STAR, Cl B

                

1.591%, ICE LIBOR USD 1 Month + 1.400%, 12/15/2036(B)(D)

     2,000       1,974  

GS Mortgage-Backed Securities Trust, Ser 2021-NQM1, Cl A2

                

1.275%, 07/25/2061(B)(D)

     1,182       1,156  

GSR Mortgage Loan Trust, Ser 2005-AR1, Cl 1A1

                

2.568%, 01/25/2035(B)

     48       47  

GSR Mortgage Loan Trust, Ser 2005-AR2, Cl 1A2

                

3.096%, 04/25/2035(B)

     177       176  

HarborView Mortgage Loan Trust, Ser 2004-6, Cl 4A

                

2.465%, 08/19/2034(B)

     992       1,062  

Hilton Orlando Trust, Ser 2018-ORL, Cl B

                

1.391%, ICE LIBOR USD 1 Month + 1.200%, 12/15/2034(B)(D)

     1,000       986  

Home RE, Ser 2021-2, Cl M1A

                

1.299%, SOFR30A + 1.250%, 01/25/2034(B)(D)

     3,000       2,984  

Impac CMB Trust, Ser 2004-6, Cl 1A2

                

0.967%, ICE LIBOR USD 1 Month + 0.780%, 10/25/2034(B)

     778       775  

Imperial Fund Mortgage Trust, Ser 2021-NQM1, Cl A1

                

1.071%, 06/25/2056(B)(D)

     275       265  

Imperial Fund Mortgage Trust, Ser 2021-NQM2, Cl A1

                

1.073%, 09/25/2056(B)(D)

     194       183  

Imperial Fund Mortgage Trust, Ser 2021-NQM3, Cl A1

                

1.595%, 11/25/2056(B)(D)

     165       155  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2019-MFP, Cl B

                

1.351%, ICE LIBOR USD 1 Month + 1.160%, 07/15/2036(B)(D)

     2,000       1,975  

 

 

 

164

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2020-NNN, Cl XAFX, IO

                

1.876%, 01/16/2037(B)(D)

   $ 12,500     $ 548  

JPMorgan Mortgage Trust, Ser 2005-A3, Cl 6A2

                

2.760%, 06/25/2035(B)

     265       271  

JPMorgan Mortgage Trust, Ser 2005-A4, Cl 4A2

                

2.390%, 07/25/2035(B)

     608       617  

JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3

                

2.270%, 11/25/2033(B)

     103       104  

JPMorgan Mortgage Trust, Ser 2007-A1, Cl 1A1

                

2.597%, 07/25/2035(B)

     624       639  

JPMorgan Mortgage Trust, Ser 2007-A1, Cl 5A2

                

2.392%, 07/25/2035(B)

     407       414  

JPMorgan Mortgage Trust, Ser 2007-A4, Cl 1A1

                

3.212%, 06/25/2037(B)

     30       26  

JPMorgan Mortgage Trust, Ser 2018-7FRB, Cl A2

                

0.937%, ICE LIBOR USD 1 Month + 0.750%, 04/25/2046(B)(D)

     108       108  

KNDL Mortgage Trust, Ser 2019-KNSQ, Cl E

                

1.991%, ICE LIBOR USD 1 Month + 1.800%, 05/15/2036(B)(D)

     1,250       1,232  

KNDL Mortgage Trust, Ser 2019-KNSQ, Cl A

                

0.991%, ICE LIBOR USD 1 Month + 0.800%, 05/15/2036(B)(D)

     150       149  

Life Mortgage Trust, Ser 2021-BMR, Cl D

                

1.591%, ICE LIBOR USD 1 Month + 1.400%, 03/15/2038(B)(D)

     983       952  

Life Mortgage Trust, Ser 2021-BMR, Cl E

                

1.941%, ICE LIBOR USD 1 Month + 1.750%, 03/15/2038(B)(D)

     1,229       1,192  

LSTAR Securities Investment, Ser 2019-4, Cl A1

                

2.731%, ICE LIBOR USD 1 Month + 2.500%, 05/01/2024(B)(D)

     201       198  

MASTR Adjustable Rate Mortgages Trust, Ser 2005-6, Cl 5A1

                

2.682%, 07/25/2035(B)

     20       19  

MASTR Alternative Loan Trust, Ser 2003-5, Cl 4A1

                

5.500%, 07/25/2033

     854       876  

Mellon Residential Funding, Ser 1999-TBC3, Cl A2

                

2.610%, 10/20/2029(B)

     122       124  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Merrill Lynch Mortgage Investors Trust, Ser 2003-E, Cl A1

                

0.807%, ICE LIBOR USD 1 Month + 0.620%, 10/25/2028(B)

   $ 447     $ 443  

Merrill Lynch Mortgage Investors Trust, Ser 2004-1, Cl 2A1

                

2.066%, 12/25/2034(B)

     623       628  

Merrill Lynch Mortgage Investors Trust, Ser 2005-A, Cl A1

                

0.647%, ICE LIBOR USD 1 Month + 0.460%, 03/25/2030(B)

     822       795  

Merrill Lynch Mortgage Investors Trust, Ser 2005-A2, Cl A3

                

2.809%, 02/25/2035(B)

     461       448  

Merrill Lynch Mortgage Investors Trust, Ser 2005-A2, Cl A2

                

2.809%, 02/25/2035(B)

     1,667       1,683  

Merrill Lynch Mortgage Investors Trust, Ser 2005-A2, Cl A5

                

2.809%, 02/25/2035(B)

     342       345  

Merrill Lynch Mortgage Investors Trust, Ser 2005-A4, Cl 1A

                

2.495%, 07/25/2035(B)

     271       172  

Merrill Lynch Mortgage Investors Trust, Ser 2007-1, Cl 2A1

                

2.300%, 01/25/2037(B)

     760       752  

MFA Trust, Ser 2020-NQM1, Cl A1

                

1.479%, 03/25/2065(B)(D)

     858       848  

MFA Trust, Ser 2020-NQM3, Cl A1

                

1.014%, 01/26/2065(B)(D)

     71       70  

MFA Trust, Ser 2021-INV1, Cl A1

                

0.852%, 01/25/2056(B)(D)

     137       135  

MFA Trust, Ser 2021-NQM1, Cl A1

                

1.153%, 04/25/2065(B)(D)

     1,209       1,199  

MFA Trust, Ser 2021-NQM2, Cl A1

                

1.029%, 11/25/2064(B)(D)

     1,648       1,605  

MHC Commercial Mortgage Trust, Ser 2021-MHC, Cl D

                

1.792%, ICE LIBOR USD 1 Month + 1.601%, 04/15/2038(B)(D)

     1,500       1,474  

MHP, Ser 2021-STOR, Cl A

                

0.891%, ICE LIBOR USD 1 Month + 0.700%, 07/15/2038(B)(D)

     105       103  

MHP, Ser 2022-MHIL, Cl A

                

0.914%, TSFR1M + 0.815%, 01/15/2027(B)(D)

     135       132  

MHP, Ser 2022-MHIL, Cl B

                

1.213%, TSFR1M + 1.114%, 01/15/2027(B)(D)

     2,000       1,958  

Mill City Mortgage Loan Trust, Ser 2021-NMR1, Cl A1

                

1.125%, 11/25/2060(B)(D)

     122       120  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

165

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Morgan Stanley Capital I Trust, Ser 2017-CLS, Cl D

                

1.591%, ICE LIBOR USD 1 Month + 1.400%, 11/15/2034(B)(D)

   $ 3,400     $ 3,366  

Morgan Stanley Capital I Trust, Ser 2018-SUN, Cl A

                

1.091%, ICE LIBOR USD 1 Month + 0.900%, 07/15/2035(B)(D)

     3,000       2,966  

Morgan Stanley Mortgage Loan Trust, Ser 2004-10AR, Cl 1A

                

3.469%, 11/25/2034(B)

     640       658  

Morgan Stanley Mortgage Loan Trust, Ser 2004-5AR, Cl 3A1

                

2.235%, 07/25/2034(B)

     339       350  

Morgan Stanley Mortgage Loan Trust, Ser 2004-8AR, Cl 4A2

                

2.440%, 10/25/2034(B)

     738       758  

MortgageIT Trust, Ser 2005-1, Cl 2A

                

1.356%, ICE LIBOR USD 1 Month + 1.250%, 02/25/2035(B)

     375       372  

MSCG Trust, Ser 2018-SELF, Cl A

                

1.091%, ICE LIBOR USD 1 Month + 0.900%, 10/15/2037(B)(D)

     1,455       1,443  

MTRO Commercial Mortgage Trust, Ser 2019-TECH, Cl A

                

1.091%, ICE LIBOR USD 1 Month + 0.900%, 12/15/2033(B)(D)

     455       449  

New Residential Mortgage Loan Trust, Ser 2017-3A, Cl A1

                

4.000%, 04/25/2057(B)(D)

     159       164  

New Residential Mortgage Loan Trust, Ser 2017-5A, Cl A1

                

1.687%, ICE LIBOR USD 1 Month + 1.500%, 06/25/2057(B)(D)

     1,380       1,396  

New Residential Mortgage Loan Trust, Ser 2017-6A, Cl A1

                

4.000%, 08/27/2057(B)(D)

     420       432  

New Residential Mortgage Loan Trust, Ser 2018-1A, Cl A1A

                

4.000%, 12/25/2057(B)(D)

     618       636  

New Residential Mortgage Loan Trust, Ser 2018-4A, Cl A1M

                

1.087%, ICE LIBOR USD 1 Month + 0.900%, 01/25/2048(B)(D)

     1,571       1,570  

New Residential Mortgage Loan Trust, Ser 2018-4A, Cl B1

                

1.237%, ICE LIBOR USD 1 Month + 1.050%, 01/25/2048(B)(D)

     2,049       2,055  

New Residential Mortgage Loan Trust, Ser 2018-4A, Cl A1S

                

0.937%, ICE LIBOR USD 1 Month + 0.750%, 01/25/2048(B)(D)

     2,541       2,532  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

New Residential Mortgage Loan Trust, Ser 2020-NQM1, Cl A1

                

2.464%, 01/26/2060(B)(D)

   $ 97     $ 97  

New Residential Mortgage Loan Trust, Ser 2020-NQM2, Cl A1

                

1.650%, 05/24/2060(B)(D)

     49       49  

New Residential Mortgage Loan Trust, Ser 2021-NQ2R, Cl A1

                

0.941%, 10/25/2058(B)(D)

     94       93  

New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A1

                

1.156%, 11/27/2056(B)(D)

     334       326  

Nomura Asset Acceptance Alternative Loan Trust, Ser 2004-AR3, Cl M1

                

1.327%, ICE LIBOR USD 1 Month + 1.140%, 11/25/2034(B)

     710       721  

Oaktown Re VII, Ser 2021-2, Cl M1A

                

1.649%, SOFR30A + 1.600%, 04/25/2034(B)(D)

     1,000       993  

OBX Trust, Ser 2018-1, Cl A2

                

0.837%, ICE LIBOR USD 1 Month + 0.650%, 06/25/2057(B)(D)

     997       994  

OBX Trust, Ser 2020-INV1, Cl A11

                

1.008%, ICE LIBOR USD 1 Month + 0.900%, 12/25/2049(B)(D)

     461       460  

OBX Trust, Ser 2021-NQM2, Cl A1

                

1.101%, 05/25/2061(B)(D)

     1,857       1,782  

OPG Trust, Ser 2021-PORT, Cl D

                

1.322%, ICE LIBOR USD 1 Month + 1.131%, 10/15/2036(B)(D)

     1,000       948  

PKHL Commercial Mortgage Trust, Ser 2021-MF, Cl F

                

3.542%, ICE LIBOR USD 1 Month + 3.350%, 07/15/2038(B)(D)

     400       390  

PRPM LLC, Ser 2021-RPL1, Cl A1

                

1.319%, 07/25/2051(B)(D)

     109       105  

Radnor Re, Ser 2019-2, Cl M1B

                

1.937%, ICE LIBOR USD 1 Month + 1.750%, 06/25/2029(B)(D)

     686       685  

Radnor Re, Ser 2020-1, Cl M1A

                

1.137%, ICE LIBOR USD 1 Month + 0.950%, 01/25/2030(B)(D)

     3,538       3,512  

Radnor Re, Ser 2021-1, Cl M1B

                

1.749%, SOFR30A + 1.700%, 12/27/2033(B)(D)

     2,000       1,980  

Residential Asset Securitization Trust, Ser 2007-A8, Cl 3A1

                

6.222%, 08/25/2022(B)

     422       273  

Residential Mortgage Loan Trust, Ser 2020-1, Cl A1

                

2.376%, 01/26/2060(B)(D)

     46       46  

 

 

 

166

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Sequoia Mortgage Trust, Ser 2002-10, Cl 1A

                

0.962%, ICE LIBOR USD 1 Month + 0.800%, 10/20/2027(B)

   $ 1,202     $ 1,209  

Sequoia Mortgage Trust, Ser 2002-9, Cl 1A

                

0.862%, ICE LIBOR USD 1 Month + 0.700%, 09/20/2032(B)

     354       347  

Sequoia Mortgage Trust, Ser 2004-12, Cl A1

                

0.702%, ICE LIBOR USD 1 Month + 0.540%, 01/20/2035(B)

     1,914       1,903  

Sequoia Mortgage Trust, Ser 2004-3, Cl A

                

0.666%, ICE LIBOR USD 6 Month + 0.500%, 05/20/2034(B)

     528       529  

Sequoia Mortgage Trust, Ser 2004-5, Cl A1

                

1.554%, 06/20/2034(B)

     972       968  

SG Residential Mortgage Trust, Ser 2021-1, Cl A1

                

1.160%, 07/25/2061(B)(D)

     319       309  

SG Residential Mortgage Trust, Ser 2021-2, Cl A1

                

1.737%, 12/25/2061(B)(D)

     1,950       1,894  

STAR Trust, Ser 2021-1, Cl A1

                

1.219%, 05/25/2065(B)(D)

     157       155  

Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1

                

2.275%, 02/25/2050(B)(D)

     47       47  

Starwood Mortgage Residential Trust, Ser 2020-3, Cl A1

                

1.486%, 04/25/2065(B)(D)

     726       721  

Starwood Mortgage Residential Trust, Ser 2021-2, Cl A1

                

0.943%, 05/25/2065(B)(D)

     79       78  

Starwood Mortgage Residential Trust, Ser 2021-3, Cl A1

                

1.127%, 06/25/2056(B)(D)

     212       206  

Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-9XS, Cl A

                

0.557%, ICE LIBOR USD 1 Month + 0.370%, 07/25/2034(B)

     1,920       1,914  

Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-7, Cl 1A3

                

2.908%, 04/25/2035(B)

     674       692  

Thornburg Mortgage Securities Trust, Ser 2004-3, Cl A

                

0.927%, ICE LIBOR USD 1 Month + 0.740%, 09/25/2034(B)

     2,150       2,180  

Thornburg Mortgage Securities Trust, Ser 2005-1, Cl A3

                

2.143%, 04/25/2045(B)

     840       854  

Toorak Mortgage, Ser 2021-INV1, Cl A1

                

1.153%, 07/25/2056(B)(D)

     1,927       1,860  

Towd Point HE Trust, Ser 2021-HE1, Cl A1

                

0.918%, 02/25/2063(B)(D)

     1,035       1,024  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Towd Point Mortgage Trust, Ser 2021-SJ2, Cl A1A

                

2.250%, 12/25/2061(B)(D)

   $ 1,839     $ 1,833  

UBS Commercial Mortgage Trust, Ser 2012-C1, Cl XA, IO

                

1.653%, 05/10/2045(B)(D)

     524       –  

VASA Trust, Ser 2021-VASA, Cl B

                

1.441%, ICE LIBOR USD 1 Month + 1.250%, 07/15/2039(B)(D)

     2,000       1,962  

Velocity Commercial Capital Loan Trust, Ser 2020-1, Cl AFX

                

2.610%, 02/25/2050(B)(D)

     948       955  

Velocity Commercial Capital Loan Trust, Ser 2021-1, Cl A

                

1.400%, 05/25/2051(B)(D)

     905       861  

Verus Securitization Trust, Ser 2019-4, Cl A1

                

2.642%, 11/25/2059(D)

     40       40  

Verus Securitization Trust, Ser 2019-INV3, Cl A1

                

2.692%, 11/25/2059(B)(D)

     54       54  

Verus Securitization Trust, Ser 2020-1, Cl A1

                

2.417%, 01/25/2060(D)

     20       20  

Verus Securitization Trust, Ser 2020-4, Cl A1

                

1.502%, 05/25/2065(D)

     42       42  

Verus Securitization Trust, Ser 2020-5, Cl A1

                

1.218%, 05/25/2065(D)

     972       957  

Verus Securitization Trust, Ser 2021-1, Cl A1

                

0.815%, 01/25/2066(B)(D)

     1,251       1,224  

Verus Securitization Trust, Ser 2021-1, Cl A2

                

1.052%, 01/25/2066(B)(D)

     256       250  

Verus Securitization Trust, Ser 2021-2, Cl A1

                

1.031%, 02/25/2066(B)(D)

     148       144  

Verus Securitization Trust, Ser 2021-3, Cl A1

                

1.046%, 06/25/2066(B)(D)

     2,207       2,149  

Verus Securitization Trust, Ser 2021-4, Cl A2

                

1.247%, 07/25/2066(B)(D)

     829       795  

Verus Securitization Trust, Ser 2021-4, Cl A1

                

0.938%, 07/25/2066(B)(D)

     162       155  

Verus Securitization Trust, Ser 2021-R1, Cl A1

                

0.820%, 10/25/2063(B)(D)

     190       188  

Verus Securitization Trust, Ser 2021-R2, Cl A1

                

0.918%, 02/25/2064(B)(D)

     1,244       1,229  

Verus Securitization Trust, Ser 2021-R3, Cl A1

                

1.020%, 04/25/2064(B)(D)

     143       141  

Visio Trust, Ser 2021-1R, Cl A1

                

1.280%, 05/25/2056(D)

     1,599       1,557  

WaMu Commercial Mortgage Securities Trust, Ser 2007-SL2, Cl D

                

2.149%, 12/27/2049(B)(D)

     502       500  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

167

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7

                

2.494%, 10/25/2033(B)

   $ 673     $ 678  

WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7

                

2.374%, 08/25/2033(B)

     654       647  

WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6

                

2.517%, 09/25/2033(B)

     756       754  

WaMu Mortgage Pass-Through Certificates, Ser 2004-AR1, Cl A

                

2.441%, 03/25/2034(B)

     1,399       1,438  

WaMu Mortgage Pass-Through Certificates, Ser 2004-AR11, Cl A

                

2.359%, 10/25/2034(B)

     455       450  

WaMu Mortgage Pass-Through Certificates, Ser 2004-AR14, Cl A1

                

2.744%, 01/25/2035(B)

     1,129       1,140  

WaMu Mortgage Pass-Through Certificates, Ser 2004-AR2, Cl A

                

1.504%, 12 Month Treas Avg + 1.400%, 04/25/2044(B)

     1,726       1,769  

WaMu Mortgage Pass-Through Certificates, Ser 2004-AR9, Cl A7

                

2.723%, 08/25/2034(B)

     1,744       1,791  

WaMu Mortgage Pass-Through Certificates, Ser 2004-CB2, Cl 1A

                

5.000%, 07/25/2034

     128       130  

Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl AS

                

3.539%, 10/15/2045

     275       277  

Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-K, Cl 1A2

                

2.615%, 07/25/2034(B)

     169       171  

Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-U, Cl A1

                

2.767%, 10/25/2034(B)

     899       890  
                 
                 
              233,232  

Total Mortgage-Backed Securities

                

(Cost $246,210) ($ Thousands)

             243,345  
                 
                 
                 

ASSET-BACKED SECURITIES — 21.7%

Automotive — 4.1%

        
         

American Credit Acceptance Receivables Trust, Ser 2018-2, Cl D

                

4.070%, 07/10/2024 (D)

     72       72  

American Credit Acceptance Receivables Trust, Ser 2021-1, Cl A

                

0.350%, 05/13/2024 (D)

     34       34  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

American Credit Acceptance Receivables Trust, Ser 2021-1, Cl B

                

0.610%, 03/13/2025 (D)

   $ 890     $ 889  

American Credit Acceptance Receivables Trust, Ser 2021-2, Cl B

                

0.680%, 05/13/2025 (D)

     120       119  

American Credit Acceptance Receivables Trust, Ser 2021-3, Cl A

                

0.330%, 06/13/2025 (D)

     94       94  

American Credit Acceptance Receivables Trust, Ser 2021-3, Cl B

                

0.660%, 02/13/2026 (D)

     185       183  

American Credit Acceptance Receivables Trust, Ser 2021-4, Cl A

                

0.450%, 09/15/2025 (D)

     433       431  

American Credit Acceptance Receivables Trust, Ser 2022-1, Cl A

                

0.990%, 12/15/2025 (D)

     485       484  

AmeriCredit Automobile Receivables Trust, Ser 2020-1, Cl C

                

1.590%, 10/20/2025

    475       473  

AmeriCredit Automobile Receivables Trust, Ser 2020-2, Cl C

                

1.480%, 02/18/2026

    550       546  

AmeriCredit Automobile Receivables Trust, Ser 2020-3, Cl C

                

1.060%, 08/18/2026

    300       296  

ARI Fleet Lease Trust, Ser 2020-A, Cl A2

                

1.770%, 08/15/2028 (D)

     41       41  

ARI Fleet Lease Trust, Ser 2021-A, Cl A2

                

0.370%, 03/15/2030 (D)

     100       99  

Arivo Acceptance Auto Loan Receivables Trust, Ser 2021-1A, Cl A

                

1.190%, 01/15/2027 (D)

     607       601  

Avid Automobile Receivables Trust, Ser 2021-1, Cl A

                

0.610%, 01/15/2025 (D)

     103       102  

CarMax Auto Owner Trust, Ser 2018-2, Cl C

                

3.570%, 12/15/2023

    425       428  

CarMax Auto Owner Trust, Ser 2021-3, Cl A2A

                

0.290%, 09/16/2024

    235       234  

Carvana Auto Receivables Trust, Ser 2021-N1, Cl A

                

0.700%, 01/10/2028

    161       158  

Carvana Auto Receivables Trust, Ser 2021-N2, Cl B

                

0.750%, 03/10/2028

    135       133  

Carvana Auto Receivables Trust, Ser 2021-N3, Cl B

                

0.660%, 06/12/2028

    600       593  

 

 

 

168

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Carvana Auto Receivables Trust, Ser 2021-P3, Cl A2

                

0.380%, 01/10/2025

  $ 251     $ 249  

CFMT LLC, Ser 2021-AL1, Cl B

                

1.390%, 09/22/2031 (D)

     418       413  

Chesapeake Funding II LLC, Ser 2019-1A, Cl A1

                

2.940%, 04/15/2031 (D)

     137       137  

Chesapeake Funding II LLC, Ser 2019-2A, Cl A1

                

1.950%, 09/15/2031 (D)

     189       190  

Chesapeake Funding II LLC, Ser 2021-1A, Cl A2

                

0.421%, ICE LIBOR USD 1 Month + 0.230%, 04/15/2033 (B)(D)

     149       147  

CPS Auto Receivables Trust, Ser 2017-C, Cl E

                

5.720%, 09/16/2024 (D)

     1,338       1,349  

CPS Auto Receivables Trust, Ser 2021-A, Cl B

                

0.610%, 02/18/2025 (D)

     255       255  

CPS Auto Receivables Trust, Ser 2021-B, Cl A

                

0.370%, 03/17/2025 (D)

     85       85  

CPS Auto Receivables Trust, Ser 2021-B, Cl B

                

0.810%, 12/15/2025 (D)

     330       327  

CPS Auto Receivables Trust, Ser 2021-C, Cl B

                

0.840%, 07/15/2025 (D)

     650       642  

CPS Auto Receivables Trust, Ser 2022-A, Cl A

                

0.980%, 04/16/2029 (D)

     203       202  

Credit Acceptance Auto Loan Trust, Ser 2019-3A, Cl A

                

2.380%, 11/15/2028 (D)

     301       302  

Credit Acceptance Auto Loan Trust, Ser 2020-1A, Cl A

                

2.010%, 02/15/2029 (D)

     600       601  

Credit Acceptance Auto Loan Trust, Ser 2021-3A, Cl A

                

1.000%, 05/15/2030 (D)

     250       244  

Donlen Fleet Lease Funding II LLC, Ser 2021-2, Cl A2

                

0.560%, 12/11/2034 (D)

     269       265  

Drive Auto Receivables Trust, Ser 2018-2, Cl D

                

4.140%, 08/15/2024

    59       59  

Drive Auto Receivables Trust, Ser 2021-1, Cl B

                

0.650%, 07/15/2025

    110       110  

DT Auto Owner Trust, Ser 2021-1A, Cl B

                

0.620%, 09/15/2025 (D)

     160       159  

DT Auto Owner Trust, Ser 2021-2A, Cl B

                

0.810%, 01/15/2027 (D)

     155       153  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

DT Auto Owner Trust, Ser 2021-3A, Cl A

                

0.330%, 04/15/2025 (D)

   $ 324     $ 321  

Enterprise Fleet Financing LLC, Ser 2019-1, Cl A2

                

2.980%, 10/20/2024 (D)

     29       29  

Enterprise Fleet Financing LLC, Ser 2020-1, Cl A2

                

1.780%, 12/22/2025 (D)

     122       122  

Enterprise Fleet Financing LLC, Ser 2021-2, Cl A2

                

0.480%, 05/20/2027 (D)

     150       147  

Exeter Automobile Receivables Trust, Ser 2018-3A, Cl D

                

4.350%, 06/17/2024 (D)

     134       136  

Exeter Automobile Receivables Trust, Ser 2021-1A, Cl B

                

0.500%, 02/18/2025

    450       449  

Exeter Automobile Receivables Trust, Ser 2021-2A, Cl B

                

0.570%, 09/15/2025

    275       273  

FHF Trust, Ser 2021-2A, Cl A

                

0.830%, 12/15/2026 (D)

     154       151  

First Investors Auto Owner Trust, Ser 2021-1A, Cl A

                

0.450%, 03/16/2026 (D)

     517       515  

First Investors Auto Owner Trust, Ser 2021-1A, Cl C

                

1.170%, 03/15/2027 (D)

     610       594  

Flagship Credit Auto Trust, Ser 2019-3, Cl A

                

2.330%, 02/15/2024 (D)

     11       11  

Flagship Credit Auto Trust, Ser 2020-1, Cl A

                

1.900%, 08/15/2024 (D)

     44       44  

Flagship Credit Auto Trust, Ser 2020-3, Cl A

                

0.700%, 04/15/2025 (D)

     31       31  

Flagship Credit Auto Trust, Ser 2020-4, Cl A

                

0.530%, 04/15/2025 (D)

     190       190  

Flagship Credit Auto Trust, Ser 2021-1, Cl A

                

0.310%, 06/16/2025 (D)

     179       178  

Flagship Credit Auto Trust, Ser 2021-2, Cl A

                

0.370%, 12/15/2026 (D)

     286       284  

Flagship Credit Auto Trust, Ser 2021-2, Cl B

                

0.930%, 06/15/2027 (D)

     215       209  

Flagship Credit Auto Trust, Ser 2021-3, Cl A

                

0.360%, 07/15/2027 (D)

     202       200  

Ford Credit Auto Owner Trust, Ser 2017-2, Cl A

                

2.360%, 03/15/2029 (D)

     450       453  

Foursight Capital Automobile Receivables Trust, Ser 2021-1, Cl A2

                

0.400%, 08/15/2024 (D)

     103       103  

Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl A2

                

0.400%, 04/15/2025 (D)

     138       137  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

169

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl A3

                

0.810%, 05/15/2026 (D)

   $ 100     $ 98  

Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl A2

                

1.150%, 09/15/2025 (D)

     100       100  

GLS Auto Receivables Issuer Trust, Ser 2020-1A, Cl A

                

2.170%, 02/15/2024 (D)

     13       13  

GLS Auto Receivables Issuer Trust, Ser 2021-1A, Cl B

                

0.820%, 04/15/2025 (D)

     365       363  

GLS Auto Receivables Issuer Trust, Ser 2021-3A, Cl A

                

0.420%, 01/15/2025 (D)

     464       462  

GLS Auto Receivables Trust, Ser 2021-2A, Cl B

                

0.770%, 09/15/2025 (D)

     250       247  

JPMorgan Chase Bank - CACLN, Ser 2021-2, Cl C

                

0.969%, 12/26/2028 (D)

     774       765  

JPMorgan Chase Bank - CACLN, Ser 2021-3, Cl D

                

1.009%, 02/26/2029 (D)

     1,576       1,550  

LAD Auto Receivables Trust, Ser 2021-1A, Cl A

                

1.300%, 08/17/2026 (D)

     442       437  

Lendbuzz Securitization Trust, Ser 2021-1A, Cl A

                

1.460%, 06/15/2026 (D)

     486       481  

Nissan Auto Receivables Owner Trust, Ser 2019-C, Cl A3

                

1.930%, 07/15/2024

    189       189  

Santander Bank - SBCLN, Ser 2021-1A, Cl B

                

1.833%, 12/15/2031 (D)

     542       538  

Santander Consumer Auto Receivables Trust, Ser 2020-AA, Cl A

                

1.370%, 10/15/2024 (D)

     62       62  

Santander Drive Auto Receivables Trust, Ser 2020-2, Cl C

                

1.460%, 09/15/2025

    1,075       1,075  

Santander Drive Auto Receivables Trust, Ser 2020-4, Cl C

                

1.010%, 01/15/2026

    400       397  

Santander Drive Auto Receivables Trust, Ser 2021-1, Cl B

                

0.500%, 04/15/2025

    600       599  

Santander Drive Auto Receivables Trust, Ser 2021-2, Cl B

                

0.590%, 09/15/2025

    130       129  

Santander Drive Auto Receivables Trust, Ser 2021-3, Cl A3

                

0.330%, 03/17/2025

    160       159  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Santander Drive Auto Receivables Trust, Ser 2021-3, Cl B

                

0.600%, 12/15/2025

  $ 130     $ 129  

Santander Retail Auto Lease Trust, Ser 2021-B, Cl A2

                

0.310%, 01/22/2024 (D)

     214       213  

Securitized Term Auto Receivables Trust, Ser 2019-1A, Cl A3

                

2.986%, 02/27/2023 (D)

     16       16  

Securitized Term Auto Receivables Trust, Ser 2019-CRTA, Cl D

                

4.572%, 03/25/2026 (D)

     340       345  

Tesla Auto Lease Trust, Ser 2020-A, Cl A2

                

0.550%, 05/22/2023 (D)

     19       19  

Tesla Auto Lease Trust, Ser 2020-A, Cl B

                

1.180%, 01/22/2024 (D)

     1,000       996  

Tidewater Auto Receivables Trust, Ser 2020-AA, Cl C

                

1.910%, 09/15/2026 (D)

     2,000       2,001  

Toyota Lease Owner Trust, Ser 2021-B, Cl A2

                

0.250%, 03/20/2024 (D)

     318       316  

Tricolor Auto Securitization Trust, Ser 2021-1A, Cl A

                

0.740%, 04/15/2024 (D)

     178       178  

United Auto Credit Securitization Trust, Ser 2021-1, Cl B

                

0.680%, 03/11/2024 (D)

     550       549  

United Auto Credit Securitization Trust, Ser 2022-1, Cl A

                

1.110%, 07/10/2024 (D)

     195       195  

Westlake Automobile Receivables Trust, Ser 2019-2A, Cl C

                

2.840%, 07/15/2024 (D)

     188       189  

Westlake Automobile Receivables Trust, Ser 2019-2A, Cl E

                

4.020%, 04/15/2025 (D)

     355       363  

Westlake Automobile Receivables Trust, Ser 2021-1A, Cl B

                

0.640%, 03/16/2026 (D)

     230       227  

Westlake Automobile Receivables Trust, Ser 2021-2A, Cl A2A

                

0.320%, 04/15/2025 (D)

     153       152  

Westlake Automobile Receivables Trust, Ser 2021-2A, Cl B

                

0.620%, 07/15/2026 (D)

     140       138  
              30,166  
                 

Credit Cards — 0.1%

        
         

Mercury Financial Credit Card Master Trust, Ser 2021-1A, Cl A

                

1.540%, 03/20/2026 (D)

     355       351  
                 
                 

 

 

 

170

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Mortgage Related Securities — 0.9%

        
         

Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A

                

0.867%, ICE LIBOR USD 1 Month + 0.680%, 01/25/2035 (B)

   $ 21     $ 21  

ACE Securities Home Equity Loan Trust, Ser 2005-SD1, Cl M2

                

2.062%, ICE LIBOR USD 1 Month + 1.875%, 11/25/2050 (B)

     911       923  

Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-3, Cl M1

                

1.087%, ICE LIBOR USD 1 Month + 0.900%, 09/25/2034 (B)

     1,102       1,098  

BRAVO Residential Funding Trust, Ser 2021-HE1, Cl A1

                

0.799%, SOFR30A + 0.750%, 01/25/2070 (B)(D)

     2,582       2,577  

BRAVO Residential Funding Trust, Ser 2021-HE2, Cl A3

                

1.099%, SOFR30A + 1.050%, 11/25/2069 (B)(D)

     1,478       1,476  

Morgan Stanley Dean Witter Capital I Trust, Ser 2002-HE2, Cl A1

                

1.047%, ICE LIBOR USD 1 Month + 0.860%, 08/25/2032 (B)(D)

     606       606  
              6,701  
                 

Other Asset-Backed Securities — 16.6%

        
         

Affirm Asset Securitization Trust, Ser 2020-Z1, Cl A

                

3.460%, 10/15/2024 (D)

     39       39  

Affirm Asset Securitization Trust, Ser 2020-Z2, Cl A

                

1.900%, 01/15/2025 (D)

     103       103  

Affirm Asset Securitization Trust, Ser 2021-A, Cl A

                

0.880%, 08/15/2025 (D)

     100       100  

Affirm Asset Securitization Trust, Ser 2021-B, Cl A

                

1.030%, 08/17/2026 (D)

     260       256  

Affirm Asset Securitization Trust, Ser 2021-Z1, Cl A

                

1.070%, 08/15/2025 (D)

     203       201  

Affirm Asset Securitization Trust, Ser 2021-Z2, Cl A

                

1.170%, 11/16/2026 (D)

     182       181  

Affirm Asset Securitization Trust, Ser 2022-X1, Cl A

                

1.750%, 02/15/2027 (D)

     350       350  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Allegro CLO II-S, Ser 2018-1RA, Cl A1

                

1.335%, ICE LIBOR USD 3 Month + 1.080%, 10/21/2028 (B)(D)

   $ 1,872     $ 1,870  

Amur Equipment Finance Receivables IX LLC, Ser 2021-1A, Cl A2

                

0.750%, 11/20/2026 (D)

     260       256  

Amur Equipment Finance Receivables VII LLC, Ser 2019-1A, Cl B

                

2.800%, 03/20/2025 (D)

     1,500       1,510  

Anchorage Capital CLO, Ser 2018-5RA, Cl A

                

1.231%, ICE LIBOR USD 3 Month + 0.990%, 01/15/2030 (B)(D)

     1,205       1,202  

Apidos CLO XII, Ser 2018-12A, Cl AR

                

1.321%, ICE LIBOR USD 3 Month + 1.080%, 04/15/2031 (B)(D)

     725       722  

Apidos CLO XV, Ser 2018-15A, Cl A1RR

                

1.264%, ICE LIBOR USD 3 Month + 1.010%, 04/20/2031 (B)(D)

     410       409  

Aqua Finance Trust, Ser 2021-A, Cl A

                

1.540%, 07/17/2046 (D)

     171       167  

Ares XXXIIR CLO, Ser 2018-32RA, Cl A1B

                

1.706%, ICE LIBOR USD 3 Month + 1.200%, 05/15/2030 (B)(D)

     725       719  

Arm Master Trust, Ser 2021-T2, Cl A

                

1.420%, 01/15/2024 (D)

     220       220  

Atalaya Equipment Leasing Trust, Ser 2021-1A, Cl A2

                

1.230%, 05/15/2026 (D)

     175       173  

Atrium XII, Ser 2017-12A, Cl DR

                

3.059%, ICE LIBOR USD 3 Month + 2.800%, 04/22/2027 (B)(D)

     500       490  

Avant Loans Funding Trust, Ser 2021-REV1, Cl A

                

1.210%, 07/15/2030 (D)

     195       191  

Avery Point IV CLO, Ser 2014-1A, Cl D

                

3.758%, ICE LIBOR USD 3 Month + 3.500%, 04/25/2026 (B)(D)

     800       802  

Avery Point IV CLO, Ser 2017-1A, Cl CR

                

2.608%, ICE LIBOR USD 3 Month + 2.350%, 04/25/2026 (B)(D)

     1,066       1,066  

Avery Point VII CLO, Ser 2019-7A, Cl DR

                

3.841%, ICE LIBOR USD 3 Month + 3.600%, 01/15/2028 (B)(D)

     500       499  

Bain Capital Credit CLO, Ser 2018-1A, Cl A1

                

1.219%, ICE LIBOR USD 3 Month + 0.960%, 04/23/2031 (B)(D)

     450       450  

Barings CLO, Ser 2017-IA, Cl AR

                

1.054%, ICE LIBOR USD 3 Month + 0.800%, 01/20/2028 (B)(D)

     3,055       3,054  

Barings CLO, Ser 2017-IA, Cl DR

                

2.804%, ICE LIBOR USD 3 Month + 2.550%, 01/20/2028 (B)(D)

     750       746  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

171

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Bayview Opportunity Master Fund IVa Trust, Ser 2017-RT1, Cl A1

                

3.000%, 03/28/2057 (B)(D)

   $ 846     $ 842  

Bayview Opportunity Master Fund IVb Trust, Ser 2017-RT6, Cl A

                

3.500%, 10/28/2057 (B)(D)

     347       343  

Bear Stearns Asset Backed Securities Trust, Ser 2005-SD2, Cl 2M2

                

1.687%, ICE LIBOR USD 1 Month + 1.500%, 12/25/2044 (B)

     29       29  

Benefit Street Partners CLO XII, Ser 2021-12A, Cl A1R

                

1.191%, ICE LIBOR USD 3 Month + 0.950%, 10/15/2030 (B)(D)

     425       424  

BHG Securitization Trust, Ser 2022-A, Cl A

                

1.710%, 02/20/2035 (D)

     415       413  

BRE Grand Islander Timeshare Issuer LLC, Ser 2017-1A, Cl A

                

2.940%, 05/25/2029 (D)

     2,285       2,295  

BRE Grand Islander Timeshare Issuer LLC, Ser 2019-A, Cl A

                

3.280%, 09/26/2033 (D)

     969       980  

BSPRT Issuer, Ser 2022-FL8, Cl A

                

1.550%, SOFR30A + 1.500%, 02/15/2037 (B)(D)

     275       274  

Carlyle Global Market Strategies CLO, Ser 2018-1A, Cl A1R2

                

1.211%, ICE LIBOR USD 3 Month + 0.970%, 04/17/2031 (B)(D)

     648       645  

Carlyle Global Market Strategies CLO, Ser 2021-1A, Cl AR3

                

1.234%, ICE LIBOR USD 3 Month + 0.980%, 07/20/2031 (B)(D)

     310       309  

Carlyle US CLO, Ser 2021-2A, Cl A1R

                

1.304%, ICE LIBOR USD 3 Month + 1.050%, 07/20/2031 (B)(D)

     1,450       1,446  

C-BASS Mortgage Loan Asset-Backed Certificates, Ser 2005-CB7, Cl M1

                

0.802%, ICE LIBOR USD 1 Month + 0.615%, 11/25/2035 (B)

     434       434  

CCG Receivables Trust, Ser 2021-1, Cl A2

                

0.300%, 06/14/2027 (D)

     76       75  

CIFC Funding, Ser 2018-2A, Cl A1

                

1.294%, ICE LIBOR USD 3 Month + 1.040%, 04/20/2031 (B)(D)

     250       249  

CIFC Funding, Ser 2018-3A, Cl AR

                

1.118%, ICE LIBOR USD 3 Month + 0.870%, 04/19/2029 (B)(D)

     841       839  

CNH Equipment Trust, Ser 2021-A, Cl A2

                

0.230%, 03/15/2024

    116       116  

Conn's Receivables Funding LLC, Ser 2020-A, Cl A

                

1.710%, 06/16/2025 (D)

     19       19  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

CoreVest American Finance Trust, Ser 2018-1, Cl A

                

3.804%, 06/15/2051 (D)

   $ 1,109     $ 1,116  

Crossroads Asset Trust, Ser 2021-A, Cl A2

                

0.820%, 03/20/2024 (D)

     146       145  

CWHEQ Revolving Home Equity Loan Resecuritization Trust, Ser 2006-RES, Cl 4L1A

                

0.471%, ICE LIBOR USD 1 Month + 0.280%, 02/15/2034 (B)(D)

     1       1  

DB Master Finance LLC, Ser 2019-1A, Cl A2II

                

4.021%, 05/20/2049 (D)

     366       373  

Denali Capital CLO XI, Ser 2018-1A, Cl A2RR

                

1.904%, ICE LIBOR USD 3 Month + 1.650%, 10/20/2028 (B)(D)

     1,000       998  

Dewolf Park CLO, Ser 2021-1A, Cl AR

                

1.161%, ICE LIBOR USD 3 Month + 0.920%, 10/15/2030 (B)(D)

     425       423  

Dext ABS LLC, Ser 2021-1, Cl A

                

1.120%, 02/15/2028 (D)

     137       135  

DLLAD LLC, Ser 2021-1A, Cl A2

                

0.350%, 09/20/2024 (D)

     266       263  

ECMC Group Student Loan Trust, Ser 2020-3A, Cl A1B

                

1.187%, ICE LIBOR USD 1 Month + 1.000%, 01/27/2070 (B)(D)

     855       863  

Elara HGV Timeshare Issuer LLC, Ser 2017-A, Cl A

                

2.690%, 03/25/2030 (D)

     489       492  

Elara HGV Timeshare Issuer LLC, Ser 2019-A, Cl A

                

2.610%, 01/25/2034 (D)

     1,296       1,281  

Elevation CLO, Ser 2017-2A, Cl A1R

                

1.471%, ICE LIBOR USD 3 Month + 1.230%, 10/15/2029 (B)(D)

     981       979  

ExteNet LLC, Ser 2019-1A, Cl A2

                

3.204%, 07/26/2049 (D)

     2,000       2,013  

FCI Funding LLC, Ser 2021-1A, Cl A

                

1.130%, 04/15/2033 (D)

     105       104  

FREED ABS Trust, Ser 2021-3FP, Cl A

                

0.620%, 11/20/2028 (D)

     69       68  

FREED ABS Trust, Ser 2022-1FP, Cl A

                

0.940%, 03/19/2029 (D)

     105       105  

Gallatin CLO IX, Ser 2018-1A, Cl D1

                

3.355%, ICE LIBOR USD 3 Month + 3.100%, 01/21/2028 (B)(D)

     700       699  

Goldentree Loan Management US CLO 2, Ser 2021-2A, Cl AR

                

1.164%, ICE LIBOR USD 3 Month + 0.910%, 11/20/2030 (B)(D)

     275       275  

GreatAmerica Leasing Receivables Funding LLC, Ser 2021-2, Cl A2

                

0.380%, 03/15/2024 (D)

     285       282  

 

 

 

172

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

GSAMP Trust, Ser 2005-SEA2, Cl B1

                

2.062%, ICE LIBOR USD 1 Month + 1.875%, 01/25/2045 (B)(D)

   $ 651     $ 652  

HPEFS Equipment Trust, Ser 2021-2A, Cl B

                

0.610%, 09/20/2028 (D)

     155       152  

Invitation Homes Trust, Ser 2018-SFR1, Cl A

                

0.820%, ICE LIBOR USD 1 Month + 0.700%, 03/17/2037 (B)(D)

     1,695       1,688  

Invitation Homes Trust, Ser 2018-SFR1, Cl B

                

1.070%, ICE LIBOR USD 1 Month + 0.950%, 03/17/2037 (B)(D)

     1,500       1,487  

Invitation Homes Trust, Ser 2018-SFR1, Cl C

                

1.370%, ICE LIBOR USD 1 Month + 1.250%, 03/17/2037 (B)(D)

     2,200       2,191  

Invitation Homes Trust, Ser 2018-SFR3, Cl A

                

1.120%, ICE LIBOR USD 1 Month + 1.000%, 07/17/2037 (B)(D)

     735       734  

Invitation Homes Trust, Ser 2018-SFR3, Cl C

                

1.420%, ICE LIBOR USD 1 Month + 1.300%, 07/17/2037 (B)(D)

     500       496  

Invitation Homes Trust, Ser 2018-SFR4, Cl A

                

1.220%, ICE LIBOR USD 1 Month + 1.100%, 01/17/2038 (B)(D)

     2,706       2,696  

Invitation Homes Trust, Ser 2018-SFR4, Cl C

                

1.520%, ICE LIBOR USD 1 Month + 1.400%, 01/17/2038 (B)(D)

     2,000       1,991  

Kentucky Higher Education Student Loan, Ser 2020-1, Cl A1B

                

1.237%, ICE LIBOR USD 1 Month + 1.050%, 11/25/2050 (B)

     1,742       1,748  

Kentucky Higher Education Student Loan, Ser 2021-1, Cl A1B

                

0.888%, ICE LIBOR USD 1 Month + 0.780%, 03/25/2051 (B)

     3,258       3,241  

Keycorp Student Loan Trust, Ser 2000-B, Cl A2

                

0.568%, ICE LIBOR USD 3 Month + 0.310%, 07/25/2029 (B)

     537       535  

KKR CLO 12, Ser 2018-12, Cl AR2A

                

1.376%, ICE LIBOR USD 3 Month + 1.135%, 10/15/2030 (B)(D)

     500       499  

KKR CLO 21, Ser 2018-21, Cl A

                

1.241%, ICE LIBOR USD 3 Month + 1.000%, 04/15/2031 (B)(D)

     580       579  

Kubota Credit Owner Trust, Ser 2020-2A, Cl A2

                

0.410%, 06/15/2023 (D)

     47       46  

LCM XXIV, Ser 2021-24A, Cl AR

                

1.234%, ICE LIBOR USD 3 Month + 0.980%, 03/20/2030 (B)(D)

     280       280  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Madison Park Funding XVII, Ser 2021-17A, Cl AR2

                

1.255%, ICE LIBOR USD 3 Month + 1.000%, 07/21/2030 (B)(D)

   $ 250     $ 249  

Madison Park Funding XXX, Ser 2018-30A, Cl A

                

0.991%, ICE LIBOR USD 3 Month + 0.750%, 04/15/2029 (B)(D)

     992       991  

Magnetite VIII, Ser 2018-8A, Cl AR2

                

1.221%, ICE LIBOR USD 3 Month + 0.980%, 04/15/2031 (B)(D)

     780       779  

Magnetite XVIII, Ser 2018-18A, Cl BR

                

2.006%, ICE LIBOR USD 3 Month + 1.500%, 11/15/2028 (B)(D)

     1,000       995  

Marlette Funding Trust, Ser 2021-1A, Cl A

                

0.600%, 06/16/2031 (D)

     44       44  

Marlette Funding Trust, Ser 2021-2A, Cl A

                

0.510%, 09/15/2031 (D)

     78       77  

Marlette Funding Trust, Ser 2021-3A, Cl A

                

0.650%, 12/15/2031 (D)

     159       158  

Marlette Funding Trust, Ser 2022-1A, Cl A

                

1.360%, 04/15/2032 (D)

     525       525  

MetLife Securitization Trust, Ser 2017-1A, Cl A

                

3.000%, 04/25/2055 (B)(D)

     164       165  

MF1, Ser 2022-FL8, Cl A

                

1.398%, SOFR30A + 1.350%, 02/19/2037 (B)(D)

     250       248  

Mill City Mortgage Loan Trust, Ser 2017-3, Cl A1

                

2.750%, 01/25/2061 (B)(D)

     173       175  

Missouri Higher Education Loan Authority, Ser 2021-1, Cl A1B

                

0.937%, ICE LIBOR USD 1 Month + 0.750%, 01/25/2061 (B)

     1,089       1,077  

Missouri Higher Education Loan Authority, Ser 2021-2, Cl A1B

                

0.887%, ICE LIBOR USD 1 Month + 0.700%, 03/25/2061 (B)

     3,299       3,249  

MMAF Equipment Finance LLC, Ser 2018-A, Cl A4

                

3.390%, 01/10/2025 (D)

     1,163       1,175  

Mountain View CLO LLC, Ser 2020-1A, Cl AR

                

1.331%, ICE LIBOR USD 3 Month + 1.090%, 10/16/2029 (B)(D)

     1,072       1,072  

Navient Private Education Loan Trust, Ser 2020-IA, Cl A1B

                

1.191%, ICE LIBOR USD 1 Month + 1.000%, 04/15/2069 (B)(D)

     1,422       1,409  

Navient Private Education Refi Loan Trust, Ser 2019-D, Cl A2B

                

1.241%, ICE LIBOR USD 1 Month + 1.050%, 12/15/2059 (B)(D)

     3,181       3,187  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

173

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Navient Private Education Refi Loan Trust, Ser 2020-HA, Cl A

                

1.310%, 01/15/2069 (D)

   $ 1,073     $ 1,051  

Navient Student Loan Trust, Ser 2021-1A, Cl A1B

                

0.787%, ICE LIBOR USD 1 Month + 0.600%, 12/26/2069 (B)(D)

     1,340       1,328  

Navient Student Loan Trust, Ser 2021-2A, Cl A1B

                

0.737%, ICE LIBOR USD 1 Month + 0.550%, 02/25/2070 (B)(D)

     1,857       1,836  

Neuberger Berman Loan Advisers CLO 25, Ser 2021-25A, Cl AR

                

1.171%, ICE LIBOR USD 3 Month + 0.930%, 10/18/2029 (B)(D)

     590       588  

Neuberger Berman Loan Advisers CLO 26, Ser 2021-26A, Cl AR

                

1.161%, ICE LIBOR USD 3 Month + 0.920%, 10/18/2030 (B)(D)

     400       399  

New Hampshire Higher Education Loan, Ser 2020-1, Cl A1B

                

1.387%, ICE LIBOR USD 1 Month + 1.200%, 09/25/2060 (B)

     949       970  

Nyctl Trust, Ser 2022-A, Cl A

                

2.100%, 11/10/2034 (D)

     525       525  

Oxford Finance Funding LLC, Ser 2020-1A, Cl A2

                

3.101%, 02/15/2028 (D)

     1,500       1,504  

OZLM XII, Ser 2018-12A, Cl A1R

                

1.349%, ICE LIBOR USD 3 Month + 1.050%, 04/30/2027 (B)(D)

     65       65  

Palmer Square Loan Funding, Ser 2018-4A, Cl A1

                

1.406%, ICE LIBOR USD 3 Month + 0.900%, 11/15/2026 (B)(D)

     377       377  

Palmer Square Loan Funding, Ser 2019-3A, Cl A2

                

2.080%, ICE LIBOR USD 3 Month + 1.600%, 08/20/2027 (B)(D)

     1,000       998  

Palmer Square Loan Funding, Ser 2021-3A, Cl A1

                

1.054%, ICE LIBOR USD 3 Month + 0.800%, 07/20/2029 (B)(D)

     210       210  

Palmer Square Loan Funding, Ser 2021-4A, Cl A1

                

0.928%, ICE LIBOR USD 3 Month + 0.800%, 10/15/2029 (B)(D)

     600       599  

PFS Financing, Ser 2020-B, Cl A

                

1.210%, 06/15/2024 (D)

     190       190  

Prodigy Finance DAC, Ser 2021-1A, Cl A

                

1.437%, ICE LIBOR USD 1 Month + 1.250%, 07/25/2051 (B)(D)

     1,761       1,757  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

SACO I Trust, Ser 2006-6, Cl A

                

0.447%, ICE LIBOR USD 1 Month + 0.260%, 06/25/2036 (B)

   $ 5     $ 5  

SCF Equipment Leasing LLC, Ser 2021-1A, Cl A2

                

0.420%, 08/20/2026 (D)

     187       187  

SCF Equipment Leasing LLC, Ser 2022-1A, Cl A2

                

2.060%, 02/22/2028 (D)

     415       416  

SMB Private Education Loan Trust, Ser 2019-B, Cl A2B

                

1.191%, ICE LIBOR USD 1 Month + 1.000%, 06/15/2037 (B)(D)

     1,065       1,072  

SMB Private Education Loan Trust, Ser 2020-PTA, Cl A2B

                

1.037%, ICE LIBOR USD 1 Month + 0.850%, 09/15/2054 (B)(D)

     2,074       2,066  

SMB Private Education Loan Trust, Ser 2020-PTB, Cl A2B

                

1.037%, ICE LIBOR USD 1 Month + 0.850%, 09/15/2054 (B)(D)

     2,806       2,795  

SMB Private Education Loan Trust, Ser 2021-A, Cl A2A2

                

0.921%, ICE LIBOR USD 1 Month + 0.730%, 01/15/2053 (B)(D)

     2,500       2,496  

SoFi Consumer Loan Program Trust, Ser 2020-1, Cl A

                

2.020%, 01/25/2029 (D)

     18       18  

SoFi Consumer Loan Program Trust, Ser 2021-1, Cl A

                

0.490%, 09/25/2030 (D)

     75       75  

STAR Trust, Ser 2021-SFR1, Cl C

                

1.170%, ICE LIBOR USD 1 Month + 1.050%, 04/17/2038 (B)(D)

     1,000       994  

STAR Trust, Ser 2021-SFR1, Cl D

                

1.420%, ICE LIBOR USD 1 Month + 1.300%, 04/17/2038 (B)(D)

     1,000       993  

STAR Trust, Ser 2021-SFR2, Cl C

                

1.720%, ICE LIBOR USD 1 Month + 1.600%, 01/17/2024 (B)(D)

     3,000       2,962  

Structured Asset Investment Loan Trust, Ser 2003-BC12, Cl 2A

                

0.907%, ICE LIBOR USD 1 Month + 0.720%, 11/25/2033 (B)

     1,952       1,905  

Structured Asset Investment Loan Trust, Ser 2004-8, Cl A8

                

1.187%, ICE LIBOR USD 1 Month + 1.000%, 09/25/2034 (B)

     2,684       2,686  

Structured Asset Investment Loan Trust, Ser 2004-BNC1, Cl A4

                

1.127%, ICE LIBOR USD 1 Month + 0.940%, 09/25/2034 (B)

     814       808  

 

 

 

174

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Symphony Static CLO I, Ser 2021-1A, Cl A

                

0.959%, ICE LIBOR USD 3 Month + 0.830%, 10/25/2029 (B)(D)

   $ 390     $ 389  

Symphony Static CLO I, Ser 2021-1A, Cl D

                

2.879%, ICE LIBOR USD 3 Month + 2.750%, 10/25/2029 (B)(D)

     500       494  

TAL Advantage VII LLC, Ser 2020-1A, Cl A

                

2.050%, 09/20/2045 (D)

     851       824  

TCI-Flatiron CLO, Ser 2017-1A, Cl B

                

2.029%, ICE LIBOR USD 3 Month + 1.560%, 11/18/2030 (B)(D)

     500       498  

Telos CLO, Ser 2018-5A, Cl A1R

                

1.191%, ICE LIBOR USD 3 Month + 0.950%, 04/17/2028 (B)(D)

     67       67  

Towd Point Mortgage Trust, Ser 2016-4, Cl A1

                

2.250%, 07/25/2056 (B)(D)

     50       50  

Towd Point Mortgage Trust, Ser 2017-1, Cl A1

                

2.750%, 10/25/2056 (B)(D)

     154       155  

Towd Point Mortgage Trust, Ser 2017-2, Cl A1

                

2.750%, 04/25/2057 (B)(D)

     133       134  

Towd Point Mortgage Trust, Ser 2017-4, Cl A1

                

2.750%, 06/25/2057 (B)(D)

     960       963  

Towd Point Mortgage Trust, Ser 2017-5, Cl A1

                

0.787%, ICE LIBOR USD 1 Month + 0.600%, 02/25/2057 (B)(D)

     937       935  

Towd Point Mortgage Trust, Ser 2017-6, Cl A1

                

2.750%, 10/25/2057 (B)(D)

     217       218  

Towd Point Mortgage Trust, Ser 2018-3, Cl A1

                

3.750%, 05/25/2058 (B)(D)

     885       905  

Towd Point Mortgage Trust, Ser 2019-HY1, Cl A1

                

1.187%, ICE LIBOR USD 1 Month + 1.000%, 10/25/2048 (B)(D)

     655       657  

Towd Point Mortgage Trust, Ser 2019-HY2, Cl M2

                

2.087%, ICE LIBOR USD 1 Month + 1.900%, 05/25/2058 (B)(D)

     3,000       3,082  

Treman Park CLO, Ser 2018-1A, Cl ARR

                

1.324%, ICE LIBOR USD 3 Month + 1.070%, 10/20/2028 (B)(D)

     270       270  

Tryon Park CLO, Ser 2018-1A, Cl A1SR

                

1.131%, ICE LIBOR USD 3 Month + 0.890%, 04/15/2029 (B)(D)

     4,167       4,162  

Upstart Securitization Trust, Ser 2020-3, Cl A

                

1.702%, 11/20/2030 (D)

     135       135  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Upstart Securitization Trust, Ser 2021-2, Cl A

                

0.910%, 06/20/2031 (D)

   $ 238     $ 236  

Upstart Securitization Trust, Ser 2021-4, Cl A

                

0.840%, 09/20/2031 (D)

     337       332  

Venture XX CLO, Ser 2017-20A, Cl CR

                

2.141%, ICE LIBOR USD 3 Month + 1.900%, 04/15/2027 (B)(D)

     750       750  

VERDE CLO, Ser 2021-1A, Cl XR

                

0.991%, ICE LIBOR USD 3 Month + 0.750%, 04/15/2032 (B)(D)

     406       406  

Verizon Owner Trust, Ser 2020-B, Cl A

                

0.470%, 02/20/2025

    225       223  

Vibrant CLO VI, Ser 2021-6A, Cl AR

                

1.164%, ICE LIBOR USD 3 Month + 0.950%, 06/20/2029 (B)(D)

     255       255  

Volvo Financial Equipment LLC, Ser 2020-1A, Cl A2

                

0.370%, 04/17/2023 (D)

     28       28  

Voya CLO, Ser 2018-2A, Cl A1R

                

1.228%, ICE LIBOR USD 3 Month + 0.970%, 04/25/2031 (B)(D)

     500       499  

Voya CLO, Ser 2018-3A, Cl A2R

                

1.641%, ICE LIBOR USD 3 Month + 1.400%, 10/18/2031 (B)(D)

     818       816  

Voya CLO, Ser 2020-1A, Cl AR

                

1.301%, ICE LIBOR USD 3 Month + 1.060%, 04/15/2031 (B)(D)

     400       399  

Voya CLO, Ser 2020-2A, Cl A1RR

                

1.261%, ICE LIBOR USD 3 Month + 1.020%, 04/17/2030 (B)(D)

     298       298  

VSE VOI Mortgage LLC, Ser 2016-A, Cl A

                

2.540%, 07/20/2033 (D)

     872       869  

VSE VOI Mortgage LLC, Ser 2016-A, Cl B

                

2.740%, 07/20/2033 (D)

     394       392  

VSE VOI Mortgage LLC, Ser 2017-A, Cl A

                

2.330%, 03/20/2035 (D)

     653       651  

Westgate Resorts LLC, Ser 2020-1A, Cl A

                

2.713%, 03/20/2034 (D)

     1,089       1,094  
              123,774  
                 

Total Asset-Backed Securities

                

(Cost $161,821) ($ Thousands)

             160,992  
                 
                 

CORPORATE OBLIGATIONS — 7.7%

Communication Services — 0.2%

        

AT&T

               

9.150%, 02/01/2023

    325       347  

Diamond Sports Group LLC

               

5.375%, 08/15/2026 (D)

     427       175  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

175

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Gray Escrow II

               

5.375%, 11/15/2031 (D)

   $ 415     $ 400  

NTT Finance

               

0.373%, 03/03/2023 (D)

     250       248  

Verizon Communications

               

0.839%, SOFRINDX + 0.790%, 03/20/2026 (B)

     350       352  

0.549%, SOFRINDX + 0.500%, 03/22/2024 (B)

     350       351  
                 
              1,873  
                 

Consumer Discretionary — 1.6%

        

7-Eleven

               

0.625%, 02/10/2023 (D)

     225       223  

BCPE Ulysses Intermediate

               

7.750%cash/0% PIK, 04/01/2027 (D)

     1,684       1,566  

Daimler Trucks Finance North America LLC

               

0.799%, U.S. SOFR + 0.750%, 12/13/2024 (B)(D)

     400       401  

Ford Motor Credit LLC

               

1.490%, ICE LIBOR USD 3 Month + 1.270%, 03/28/2022 (B)

     500       500  

General Motors Financial

               

4.250%, 05/15/2023

    300       309  

0.809%, U.S. SOFR + 0.760%, 03/08/2024 (B)

     400       401  

0.669%, U.S. SOFR + 0.620%, 10/15/2024 (B)

     600       598  

Howard University

               

2.801%, 10/01/2023

    240       241  

Hyatt Hotels

               

1.300%, 10/01/2023

    115       113  

1.099%, SOFRINDX + 1.050%, 10/01/2023 (B)

     425       426  

Hyundai Capital America MTN

               

0.800%, 04/03/2023 (D)

     360       355  

LBM Acquisition LLC

               

6.250%, 01/15/2029 (D)

     1,304       1,208  

Lennar

               

4.750%, 11/15/2022

    400       406  

Mohegan Gaming & Entertainment

               

8.000%, 02/01/2026 (D)

     845       853  

Nordstrom

               

2.300%, 04/08/2024

    160       154  

Specialty Building Products Holdings LLC

               

6.375%, 09/30/2026 (D)

     1,144       1,153  

SRS Distribution

               

6.000%, 12/01/2029 (D)

     712       673  

4.625%, 07/01/2028 (D)

     666       638  

Starbucks

               

0.470%, SOFRINDX + 0.420%, 02/14/2024 (B)

     215       215  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Volkswagen Group of America Finance LLC

               

2.700%, 09/26/2022 (D)

   $ 725     $ 729  
                 
              11,162  
                 

Consumer Staples — 0.6%

        

Campbell Soup

               

2.500%, 08/02/2022

    400       402  

Coca-Cola Europacific Partners

               

0.500%, 05/05/2023 (D)

     725       714  

Conagra Brands

               

3.250%, 09/15/2022

    349       352  

0.500%, 08/11/2023

    225       221  

GEMS MENASA Cayman

               

7.125%, 07/31/2026 (D)

     587       594  

JDE Peet's

               

0.800%, 09/24/2024 (D)

     375       359  

Mozart Debt Merger Sub

               

5.250%, 10/01/2029 (D)

     930       888  
                 
              3,530  
                 

Energy — 0.0%

        

Enbridge

               

0.680%, SOFRINDX + 0.630%, 02/16/2024 (B)

     250       251  

Pioneer Natural Resources

               

0.550%, 05/15/2023

    175       173  

Southern Natural Gas LLC

               

0.625%, 04/28/2023 (D)

     205       202  
                 
              626  
                 

Financials — 2.5%

        

AIG Global Funding

               

2.300%, 07/01/2022 (D)

     575       577  

Athene Global Funding

               

3.000%, 07/01/2022 (D)

     600       604  

0.750%, U.S. SOFR + 0.700%, 05/24/2024 (B)(D)

     450       450  

Bank of America

               

0.740%, U.S. SOFR + 0.690%, 04/22/2025 (B)

     475       476  

0.710%, U.S. SOFR + 0.660%, 02/04/2025 (B)

     195       195  

Bank of Montreal MTN

               

0.669%, SOFRINDX + 0.620%, 09/15/2026 (B)

     475       474  

Bank of Nova Scotia

               

0.430%, U.S. SOFR + 0.380%, 07/31/2024 (B)

     700       699  

Brighthouse Financial Global Funding MTN

               

0.809%, U.S. SOFR + 0.760%, 04/12/2024 (B)(D)

     315       316  

 

 

 

176

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Brookfield Property

               

4.500%, 04/01/2027 (D)

   $ 886     $ 826  

Canadian Imperial Bank of Commerce

               

0.449%, SOFRINDX + 0.400%, 12/14/2023 (B)

     425       425  

Capital One Financial

               

0.740%, U.S. SOFR + 0.690%, 12/06/2024 (B)

     275       275  

Charles Schwab

               

0.549%, SOFRINDX + 0.500%, 03/18/2024 (B)

     300       301  

Citigroup

               

0.719%, U.S. SOFR + 0.669%, 05/01/2025 (B)

     300       301  

CNA Financial

               

7.250%, 11/15/2023

    100       108  

Coinbase Global

               

3.625%, 10/01/2031 (D)

     733       646  

Commonwealth Bank of Australia

               

0.569%, U.S. SOFR + 0.520%, 06/15/2026 (B)(D)

     300       301  

0.449%, U.S. SOFR + 0.400%, 07/07/2025 (B)(D)

     300       300  

Credit Suisse NY

               

0.520%, 08/09/2023

    475       466  

Deutsche Bank NY

               

1.269%, U.S. SOFR + 1.219%, 11/16/2027 (B)

     325       321  

0.550%, U.S. SOFR + 0.500%, 11/08/2023 (B)

     400       399  

Equitable Financial Life Global Funding

               

0.439%, U.S. SOFR + 0.390%, 04/06/2023 (B)(D)

     400       400  

Goldman Sachs Group

               

0.750%, U.S. SOFR + 0.700%, 01/24/2025 (B)

     275       275  

0.669%, U.S. SOFR + 0.620%, 12/06/2023 (B)

     275       275  

0.549%, U.S. SOFR + 0.500%, 09/10/2024 (B)

     150       149  

0.479%, U.S. SOFR + 0.430%, 03/08/2023 (B)

     275       275  

HSBC Holdings PLC

               

0.630%, U.S. SOFR + 0.580%, 11/22/2024 (B)

     275       275  

Jackson Financial

               

1.125%, 11/22/2023 (D)

     275       271  

JPMorgan Chase

               

0.934%, U.S. SOFR + 0.885%, 04/22/2027 (B)

     475       477  

0.629%, U.S. SOFR + 0.580%, 06/23/2025 (B)

     200       199  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

0.629%, U.S. SOFR + 0.580%, 03/16/2024 (B)

   $ 350     $ 351  

KeyBank

               

0.390%, U.S. SOFR + 0.340%, 01/03/2024 (B)

     475       474  

0.370%, U.S. SOFR + 0.320%, 06/14/2024 (B)

     250       249  

Macquarie Group MTN

               

0.759%, U.S. SOFR + 0.710%, 10/14/2025 (B)(D)

     300       300  

Midcap Financial Issuer Trust

               

5.625%, 01/15/2030 (D)

     350       319  

Mizuho Financial Group

               

1.128%, ICE LIBOR USD 3 Month + 0.630%, 05/25/2024 (B)

     525       526  

Morgan Stanley

               

0.731%, U.S. SOFR + 0.616%, 04/05/2024 (B)

     175       173  

Morgan Stanley MTN

               

4.875%, 11/01/2022

    400       409  

NASDAQ

               

0.445%, 12/21/2022

    155       154  

National Bank of Canada

               

0.900%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.770%, 08/15/2023 (B)

     250       249  

0.750%, 08/06/2024

    350       338  

0.540%, U.S. SOFR + 0.490%, 08/06/2024 (B)

     350       350  

Nationwide Building Society

               

2.000%, 01/27/2023 (D)

     200       201  

NatWest Markets

               

0.580%, U.S. SOFR + 0.530%, 08/12/2024 (B)(D)

     340       340  

Pacific Life Global Funding II

               

0.500%, 09/23/2023 (D)

     185       181  

Principal Life Global Funding II

               

0.499%, U.S. SOFR + 0.450%, 04/12/2024 (B)(D)

     130       130  

Skandinaviska Enskilda Banken

               

0.550%, 09/01/2023 (D)

     200       197  

Societe Generale

               

1.100%, U.S. SOFR + 1.050%, 01/21/2026 (B)(D)

     275       276  

Sumitomo Mitsui Trust Bank MTN

               

0.489%, U.S. SOFR + 0.440%, 09/16/2024 (B)(D)

     350       349  

Toronto-Dominion Bank MTN

               

0.639%, U.S. SOFR + 0.590%, 09/10/2026 (B)

     300       301  

0.399%, U.S. SOFR + 0.350%, 09/10/2024 (B)

     350       349  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

177

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Truist Financial MTN

               

0.449%, U.S. SOFR + 0.400%, 06/09/2025 (B)

   $ 250     $ 249  

UBS

               

0.500%, U.S. SOFR + 0.450%, 08/09/2024 (B)(D)

     400       399  

UBS MTN

               

0.410%, U.S. SOFR + 0.360%, 02/09/2024 (B)(D)

     250       250  

UBS AG/London

               

0.700%, 08/09/2024 (D)

     300       290  
                 
              18,460  
                 

Health Care — 0.4%

        

AmerisourceBergen

               

0.737%, 03/15/2023

    340       337  

AstraZeneca

               

0.300%, 05/26/2023

    225       222  

Baxter International

               

0.490%, SOFRINDX + 0.440%, 11/29/2024 (B)(D)

     275       274  

Bristol-Myers Squibb

               

0.537%, 11/13/2023

    250       246  

Global Medical Response

               

6.500%, 10/01/2025 (D)

     462       453  

Humana

               

0.650%, 08/03/2023

    315       310  

Illumina

               

0.550%, 03/23/2023

    225       223  

PerkinElmer

               

0.550%, 09/15/2023

    425       418  

Royalty Pharma PLC

               

0.750%, 09/02/2023

    450       442  

Stryker

               

0.600%, 12/01/2023

    160       156  

Thermo Fisher Scientific

               

0.579%, U.S. SOFR + 0.530%, 10/18/2024 (B)

     235       235  

Viatris

               

1.125%, 06/22/2022

    250       250  
                 
              3,566  
                 

Industrials — 0.4%

        

Artera Services LLC

               

9.033%, 12/04/2025 (D)

     700       702  

Boeing

               

2.700%, 05/01/2022

    300       301  

1.167%, 02/04/2023

    325       323  

Carlisle

               

0.550%, 09/01/2023

    105       103  

CP Atlas Buyer

               

7.000%, 12/01/2028 (D)

     710       640  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

DAE Funding LLC MTN

               

1.550%, 08/01/2024 (D)

   $ 205     $ 197  

L3Harris Technologies

               

0.951%, ICE LIBOR USD 3 Month + 0.750%, 03/10/2023 (B)

     350       351  

TK Elevator Holdco GmbH

               

7.625%, 07/15/2028 (D)

     460       468  
                 
              3,085  
                 

Information Technology — 0.6%

        

Ahead DB Holdings LLC

               

6.625%, 05/01/2028 (D)

     288       271  

Diebold Nixdorf

               

9.375%, 07/15/2025 (D)

     1,083       1,121  

Fidelity National Information Services

               

0.375%, 03/01/2023

    275       271  

II-VI

               

5.000%, 12/15/2029 (D)

     561       560  

Microchip Technology

               

0.972%, 02/15/2024

    205       200  

Paysafe Finance

               

4.000%, 06/15/2029 (D)

     720       627  

Qorvo

               

1.750%, 12/15/2024 (D)

     220       213  

Skyworks Solutions

               

0.900%, 06/01/2023

    480       474  

SYNNEX

               

1.250%, 08/09/2024 (D)

     475       461  

VMware

               

0.600%, 08/15/2023

    275       270  
                 
              4,468  
                 

Materials — 0.5%

        

ASP Unifrax Holdings

               

7.500%, 09/30/2029 (D)

     282       257  

5.250%, 09/30/2028 (D)

     82       79  

Chemours

               

4.625%, 11/15/2029 (D)

     640       593  

International Flavors & Fragrances

               

0.697%, 09/15/2022 (D)

     105       105  

Kobe US Midco 2

               

9.250%cash/0% PIK, 11/01/2026 (D)

     816       820  

Martin Marietta Materials

               

0.650%, 07/15/2023

    140       138  

SCIH Salt Holdings

               

6.625%, 05/01/2029 (D)

     658       619  

4.875%, 05/01/2028 (D)

     565       535  

Venator Finance Sarl

               

9.500%, 07/01/2025 (D)

     324       348  

5.750%, 07/15/2025 (D)

     536       482  
                 
              3,976  
                 

 

 

 

178

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Real Estate — 0.1%

        

Iron Mountain Information Management Services

               

5.000%, 07/15/2032 (D)

   $ 405     $ 385  
                 
                 
                 

Utilities — 0.8%

        

Atmos Energy

               

0.625%, 03/09/2023

    300       297  

CenterPoint Energy

               

0.700%, SOFRINDX + 0.650%, 05/13/2024 (B)

     225       225  

CenterPoint Energy Resources

               

1.004%, ICE LIBOR USD 3 Month + 0.500%, 03/02/2023 (B)

     282       282  

Cleco Power LLC

               

0.703%, ICE LIBOR USD 3 Month + 0.500%, 06/15/2023 (B)(D)

     475       475  

Dominion Energy

               

2.450%, 01/15/2023 (D)

     250       251  

Duke Energy

               

0.299%, U.S. SOFR + 0.250%, 06/10/2023 (B)

     250       249  

Edison International

               

3.125%, 11/15/2022

    2,000       2,018  

Florida Power & Light

               

0.300%, SOFRINDX + 0.250%, 05/10/2023 (B)

     350       350  

Mississippi Power

               

0.350%, U.S. SOFR + 0.300%, 06/28/2024 (B)

     195       193  

NextEra Energy Capital Holdings

               

0.750%, ICE LIBOR USD 3 Month + 0.270%, 02/22/2023 (B)

     400       399  

ONE Gas

               

0.811%, ICE LIBOR USD 3 Month + 0.610%, 03/11/2023 (B)

     198       198  

Pacific Gas and Electric

               

3.250%, 02/16/2024

    200       201  

1.700%, 11/15/2023

    125       123  

1.200%, SOFRINDX + 1.150%, 11/14/2022 (B)

     340       340  

PPL Electric Utilities

               

0.379%, U.S. SOFR + 0.330%, 06/24/2024 (B)

     425       423  

Public Service Enterprise Group

               

0.841%, 11/08/2023

    255       252  
                 
              6,276  
                 

Total Corporate Obligations

                

(Cost $58,837) ($ Thousands)

             57,407  
                 
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATION — 0.2%

U.S. Treasury Bills

               

0.634%, 01/26/2023 (F)

   $ 1,075     $ 1,066  
                 

Total U.S. Treasury Obligation

                

(Cost $1,069) ($ Thousands)

     1,066  
                 
                 
                 

MUNICIPAL BONDS — 0.1%

California — 0.0%

        

University of California, Ser BF, RB

               

0.455%, 05/15/2022

    30       30  
                 
                 

Illinois — 0.0%

        

Chicago, Transit Authority, Ser B, RB

               

1.838%, 12/01/2023

    110       110  
                 
                 

Texas — 0.1%

        

Central Texas, Turnpike System, Ser B, RB

               

1.980%, 08/15/2042 (B)

     190       191  

Houston, Texas Airport System Revenue, Ser C, RB

               

0.883%, 07/01/2022

    45       45  
                 
              236  
                 
                 

Total Municipal Bonds

                

(Cost $375) ($ Thousands)

             376  
                 
                 
   


Shares

          

CASH EQUIVALENT — 5.1%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     38,145,818       38,146  
                 

Total Cash Equivalent

                

(Cost $38,146) ($ Thousands)

             38,146  
                 
                 

Total Investments in Securities — 100.7%

                

(Cost $754,524) ($ Thousands)

  $ 747,152  
                 
                 
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

179

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Concluded)

 

 

A list of the open future contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Short Contracts

                                        

U.S. 2-Year Treasury Notes

     (181 )     Jul-2022     $ (38,838 )   $ (38,956 )   $ (118 )

U.S. 5-Year Treasury Notes

     (5 )     Jul-2022       (589 )     (591 )     (2 )

U.S. 10-Year Treasury Notes

     (13 )     Jun-2022       (1,641 )     (1,657 )     (16 )

U.S. Long Treasury Bond

     (1 )     Jun-2022       (154 )     (157 )     (3 )
                    $ (41,222 )   $ (41,361 )   $ (139 )

 

 

 

Percentages are based on Net Assets of $741,804 ($ Thousands).

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

(A)

Unsettled bank loan. Interest rate may not be available.

(B)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(C)

Level 3 security in accordance with fair value hierarchy.

(D)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On February 28, 2022, the value of these securities amounted to $349,251 ($ Thousands), representing 47.1% of the Net Assets of the Fund.

(E)

No interest rate available.

(F)

Interest rate represents the security's effective yield at the time of purchase.

 

ARM — Adjustable Rate Mortgage

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

DAC — Designated Activity Company

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

FREMF— Freddie Mac Multi-Family

GNMA — Government National Mortgage Association

ICE— Intercontinental Exchange

IO — Interest Only — face amount represents notional amount.

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

Ltd — Limited

MTN — Medium Term Note

NASDAQ – National Association of Securities Dealers and Automated Quotations

PIK — Payment-in-Kind

PLC — Public Limited Company

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

SOFR — Secured Overnight Financing Rate

STACR — Structured Agency Credit Risk

USD — U.S. Dollar

 

The following is a summary of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Loan Participations

     –       229,819       16,001       245,820  

Mortgage-Backed Securities

     –       243,345       –       243,345  

Asset-Backed Securities

     –       160,992       –       160,992  

Corporate Obligations

     –       57,407       –       57,407  

U.S. Treasury Obligation

     –       1,066       –       1,066  

Municipal Bonds

     –       376       –       376  

Cash Equivalent

     38,146       –       –       38,146  

Total Investments in Securities

     38,146       693,005       16,001       747,152  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Depreciation

     (139 )     –       –       (139 )

Total Other Financial Instruments

     (139 )     –       –       (139 )

 

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

 

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

 

   

Investments in Loan Participations

  

Balance as of June 1, 2021

   $ 21,084  

Accrued discounts/premiums

     12  

Realized gain/(loss)

     285  

Change in unrealized appreciation/(depreciation)

     (73 )

Purchases

     5,137  

Sales

     (11,834 )

Net transfer into Level 3

     1,390  

Net transfer out of Level 3

     —  

Ending Balance as of February 28, 2022

   $ 16,001  

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date

   $ 37  

 

For the period ended February 28, 2022, there were transfers into Level 3. The transfers were due to changes in the availability of observable inputs used to determine fair value.

 

For information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

 

180

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Opportunistic Income Fund (Continued)

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2022

   

Shares

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 84,979     $ 392,142     $ (438,975 )   $ -     $ -     $ 38,146       38,145,818     $ 2     $ -  

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

181

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS — 35.7%

U.S. Treasury Bills

               

0.617%, 08/25/2022 (A)

   $ 40,400     $ 40,271  

0.366%, 07/28/2022 (A)

     81,570       81,378  

0.347%, 07/14/2022 (A)

     6,910       6,896  

0.346%, 07/21/2022 (A)

     110,385       110,150  

0.121%, 06/16/2022 (A)

     8,465       8,455  

0.120%, 06/09/2022 (A)

     19,370       19,350  

0.075%, 09/08/2022 (A)

     22,310       22,233  

0.064%, 08/11/2022 (A)

     5,320       5,305  

0.050%, 03/17/2022 (A)

     19,480       19,480  

0.037%, 03/03/2022 (A)

     20,200       20,200  

U.S. Treasury Bonds

               

2.500%, 02/15/2045

    4,494       4,640  

2.375%, 02/15/2042

    28,147       28,741  

2.375%, 05/15/2051

    6,840       7,132  

2.250%, 05/15/2041

    42,724       42,589  

2.250%, 02/15/2052

    39,602       40,344  

2.000%, 11/15/2041

    212,774       203,698  

2.000%, 02/15/2050

    7,650       7,326  

2.000%, 08/15/2051

    55,339       53,082  

1.875%, 02/15/2041

    5,803       5,455  

1.875%, 02/15/2051

    32,650       30,395  

1.875%, 11/15/2051

    109,491       102,152  

1.750%, 08/15/2041

    106,627       97,730  

1.625%, 11/15/2050

    26,786       23,469  

1.375%, 11/15/2040

    47,968       41,477  

1.375%, 08/15/2050

    91,246       75,118  

1.250%, 05/15/2050

    42,840       34,175  

1.125%, 05/15/2040

    29,657       24,664  

1.125%, 08/15/2040

    36,903       30,575  

U.S. Treasury Inflation-Protected Securities

               

0.125%, 02/15/2051

    7,733       8,314  

0.125%, 02/15/2052

    4,303       4,656  

U.S. Treasury Notes

               

2.125%, 05/15/2025

    18,779       19,040  

1.875%, 02/28/2027

    159,137       160,194  

1.875%, 02/28/2029

    231,672       232,468  

1.875%, 02/15/2032

    126,708       127,183  

1.750%, 09/30/2022

    8,460       8,508  

1.750%, 01/31/2029

    13,276       13,208  

1.625%, 05/15/2031

    11,040       10,848  

1.500%, 02/29/2024

    220,631       220,812  

1.500%, 02/15/2025

    11,861       11,814  

1.500%, 01/31/2027

    170,992       168,975  

1.375%, 10/31/2028

    45,830       44,514  

1.375%, 12/31/2028

    17,508       16,999  

1.375%, 11/15/2031

    3,990       3,825  

1.250%, 12/31/2026

    107,515       105,029  

1.250%, 03/31/2028

    13,300       12,875  

1.250%, 04/30/2028

    39,340       38,064  

1.250%, 05/31/2028

    50,950       49,260  

1.250%, 06/30/2028

    10,908       10,536  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS (continued)

1.250%, 09/30/2028

  $ 27,560     $ 26,567  

1.250%, 08/15/2031

    6,300       5,982  

1.125%, 01/15/2025

    10,911       10,757  

1.125%, 10/31/2026

    3,390       3,294  

1.125%, 08/31/2028

    14,760       14,126  

1.000%, 12/15/2024

    8,098       7,962  

1.000%, 07/31/2028

    26,369       25,056  

0.875%, 01/31/2024

    93,558       92,546  

0.875%, 06/30/2026

    32,111       30,946  

0.875%, 09/30/2026

    20,460       19,669  

0.750%, 12/31/2023

    115,484       114,040  

0.750%, 11/15/2024

    6,040       5,901  

0.750%, 04/30/2026

    20,150       19,345  

0.750%, 05/31/2026

    49,088       47,086  

0.750%, 01/31/2028

    44,820       42,175  

0.500%, 08/31/2027

    17,957       16,755  

0.500%, 10/31/2027

    5,697       5,302  

0.375%, 10/31/2023

    18,898       18,576  

0.375%, 04/15/2024

    16,028       15,647  

0.375%, 11/30/2025

    49,820       47,387  

0.375%, 12/31/2025

    20,482       19,464  

0.375%, 01/31/2026

    21,625       20,512  

0.250%, 11/15/2023

    170       167  

0.250%, 05/15/2024

    22,956       22,318  

0.250%, 06/15/2024

    17,143       16,642  

0.250%, 05/31/2025

    40       38  

0.250%, 06/30/2025

    480       458  

0.250%, 08/31/2025

    12,255       11,647  

0.250%, 09/30/2025

    35,231       33,439  

0.250%, 10/31/2025

    24,945       23,644  

0.125%, 05/31/2022

    6,424       6,418  

0.125%, 09/30/2022

    11,550       11,507  

0.125%, 12/31/2022

    32,255       32,021  

0.125%, 03/31/2023

    34,556       34,174  

0.125%, 04/30/2023

    54,735       54,055  

0.125%, 08/31/2023

    811       797  
         

Total U.S. Treasury Obligations

        

(Cost $3,371,475) ($ Thousands)

     3,310,022  
                 
                 
                 

MORTGAGE-BACKED SECURITIES — 31.6%

Agency Mortgage-Backed Obligations — 25.9%

        

FHLMC

                

7.500%, 08/01/2030 to 12/01/2036

    214       236  

7.000%, 05/01/2024 to 03/01/2039

    67       74  

6.500%, 10/01/2031 to 09/01/2039

    470       516  

6.000%, 01/01/2028 to 08/01/2038

    315       347  

5.500%, 02/01/2035 to 12/01/2038

    1,352       1,518  

5.000%, 08/01/2033 to 03/01/2049

    7,397       8,137  

4.500%, 11/01/2025 to 06/01/2050

    8,257       8,902  

4.000%, 01/01/2035 to 10/01/2051

    34,188       36,371  

 

 

 

182

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

3.500%, 03/01/2033 to 02/01/2052

  $ 93,994     $ 98,005  

3.000%, 03/01/2031 to 03/01/2052

    116,087       118,147  

2.500%, 10/01/2031 to 02/01/2052

    52,387       52,167  

2.000%, 09/01/2040 to 02/01/2052

    52,236       50,511  

FHLMC ARM

                

3.092%, ICE LIBOR USD 12 Month + 1.623%, 02/01/2050(B)

     1,066       1,089  

3.013%, ICE LIBOR USD 12 Month + 1.628%, 11/01/2048(B)

     3,660       3,739  

2.873%, ICE LIBOR USD 12 Month + 1.619%, 11/01/2047(B)

     1,319       1,352  

2.810%, ICE LIBOR USD 12 Month + 1.641%, 05/01/2049(B)

     938       956  

2.617%, ICE LIBOR USD 12 Month + 2.330%, 05/01/2036(B)

     28       30  

2.251%, ICE LIBOR USD 12 Month + 1.925%, 12/01/2036(B)

     48       50  

2.100%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.285%, 03/01/2047(B)

     596       601  

1.845%, ICE LIBOR USD 12 Month + 1.595%, 10/01/2036(B)

     11       11  

FHLMC Multiclass Certificates, Ser 2020-RR02, Cl BX, IO

                

1.666%, 08/27/2028(B)

     2,000       186  

FHLMC Multiclass Certificates, Ser 2021-P009, Cl A2

                

1.878%, 01/25/2031

     975       953  

FHLMC Multifamily Structured Pass Through Certificates, Ser KSG2, Cl A2

                

2.091%, 11/25/2031(B)

     1,395       1,357  

FHLMC Multifamily Structured Pass-Through Certificates, Ser 1519, Cl X1, IO

                

0.609%, 12/25/2035(B)

     16,207       1,003  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K032, Cl X1, IO

                

0.070%, 05/25/2023(B)

     57,087       69  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K047, Cl A2

                

3.329%, 05/25/2025(B)

     605       629  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K091, Cl X1, IO

                

0.559%, 03/25/2029(B)

     3,922       142  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K093, Cl X1, IO

                

0.952%, 05/25/2029(B)

     3,979       237  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K094, Cl XAM, IO

                

1.147%, 06/25/2029(B)

     4,850       377  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K094, Cl X1, IO

                

0.880%, 06/25/2029(B)

     2,991       169  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC Multifamily Structured Pass-Through Certificates, Ser K095, Cl XAM, IO

                

1.239%, 06/25/2029(B)

   $ 700     $ 58  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K101, Cl X1, IO

                

0.835%, 10/25/2029(B)

     1,294       72  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K157, Cl A3

                

3.990%, 08/25/2033(B)

     4,400       4,901  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K726, Cl X1, IO

                

0.895%, 04/25/2024(B)

     10,526       167  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K736, Cl X1, IO

                

1.306%, 07/25/2026(B)

     1,025       47  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K737, Cl X1, IO

                

0.636%, 10/25/2026(B)

     8,436       210  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K741, Cl X1, IO

                

0.572%, 12/25/2027(B)

     2,998       89  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K742, Cl X1, IO

                

0.779%, 03/25/2028(B)

     6,198       225  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KC05, Cl X1, IO

                

1.205%, 06/25/2027(B)

     1,571       64  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KLU1, Cl A4

                

2.854%, 01/25/2031

     1,115       1,153  

FHLMC Multifamily Structured Pass-Through Certificates, Ser X3FX, Cl A2FX

                

3.000%, 06/25/2027

     2,210       2,245  

FHLMC Multifamily WI Certificates, Ser K141, Cl A2

                

2.250%, 05/25/2032

     1,010       990  

FHLMC REMIC CMO, Ser 1999-2174, Cl PN

                

6.000%, 07/15/2029

     7       8  

FHLMC REMIC CMO, Ser 2001-2312, Cl Z

                

6.500%, 05/15/2031

     75       82  

FHLMC REMIC CMO, Ser 2002-2399, Cl XG

                

6.500%, 01/15/2032

     22       24  

FHLMC REMIC CMO, Ser 2003-2671, Cl S

                

14.408%, 09/15/2033(B)

     33       40  

FHLMC REMIC CMO, Ser 2003-2684, Cl ZN

                

4.000%, 10/15/2033

     62       65  

FHLMC REMIC CMO, Ser 2004-2733, Cl ME

                

5.000%, 01/15/2034

     140       152  

FHLMC REMIC CMO, Ser 2006-R007, Cl ZA

                

6.000%, 05/15/2036

     612       690  

FHLMC REMIC CMO, Ser 2007-3316, Cl JO, PO

                

0.000%, 05/15/2037(C)

     3       3  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

183

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC REMIC CMO, Ser 2008-3451, Cl SB, IO

                

5.839%, 05/15/2038(B)

   $ 83     $ 9  

FHLMC REMIC CMO, Ser 2009-3546, Cl A

                

1.645%, 02/15/2039(B)

     44       45  

FHLMC REMIC CMO, Ser 2010-3621, Cl SB, IO

                

6.039%, 01/15/2040(B)

     63       10  

FHLMC REMIC CMO, Ser 2011-3866, Cl SA, IO

                

5.759%, 05/15/2041(B)

     368       49  

FHLMC REMIC CMO, Ser 2012-4010, Cl KM

                

3.000%, 01/15/2042

     312       319  

FHLMC REMIC CMO, Ser 2012-4030, Cl HS, IO

                

6.419%, 04/15/2042(B)

     34       6  

FHLMC REMIC CMO, Ser 2012-4102, Cl TC

                

2.500%, 09/15/2041

     1,445       1,458  

FHLMC REMIC CMO, Ser 2012-4119, Cl IN, IO

                

3.500%, 10/15/2032

     275       28  

FHLMC REMIC CMO, Ser 2013-4161, Cl BA

                

2.500%, 12/15/2041

     3,345       3,365  

FHLMC REMIC CMO, Ser 2013-4194, Cl BI, IO

                

3.500%, 04/15/2043

     168       24  

FHLMC REMIC CMO, Ser 2013-4205, Cl PA

                

1.750%, 05/15/2043

     676       667  

FHLMC REMIC CMO, Ser 2013-4210, Cl Z

                

3.000%, 05/15/2043

     488       488  

FHLMC REMIC CMO, Ser 2013-4227, Cl VA

                

3.500%, 10/15/2037

     569       574  

FHLMC REMIC CMO, Ser 2014-4368, Cl CA

                

3.750%, 11/15/2036

     144       146  

FHLMC REMIC CMO, Ser 2015-4426, Cl QC

                

1.750%, 07/15/2037

     1,176       1,164  

FHLMC REMIC CMO, Ser 2015-4479, Cl HA

                

3.750%, 05/15/2039

     548       556  

FHLMC REMIC CMO, Ser 2017-4705, Cl A

                

4.500%, 09/15/2042

     94       94  

FHLMC REMIC CMO, Ser 2017-4742, Cl PA

                

3.000%, 10/15/2047

     1,736       1,777  

FHLMC REMIC CMO, Ser 2018-4763, Cl CA

                

3.000%, 09/15/2038

     362       371  

FHLMC REMIC CMO, Ser 2018-4767, Cl KA

                

3.000%, 03/15/2048

     813       833  

FHLMC REMIC CMO, Ser 2018-4813, Cl CJ

                

3.000%, 08/15/2048

     345       348  

FHLMC REMIC CMO, Ser 2018-4846, Cl PF

                

0.541%, ICE LIBOR USD 1 Month + 0.350%, 12/15/2048(B)

     180       179  

FHLMC REMIC CMO, Ser 2019-4879, Cl BC

                

3.000%, 04/15/2049

     163       164  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC REMIC CMO, Ser 2019-4880, Cl DA

                

3.000%, 05/15/2050

   $ 1,462     $ 1,507  

FHLMC REMIC CMO, Ser 2020-4995, Cl IC, IO

                

4.500%, 07/25/2050

     2,313       363  

FHLMC REMIC CMO, Ser 2020-5010, Cl IK, IO

                

2.500%, 09/25/2050

     446       62  

FHLMC REMIC CMO, Ser 2020-5010, Cl JI, IO

                

2.500%, 09/25/2050

     1,223       195  

FHLMC REMIC CMO, Ser 2020-5012, Cl BI, IO

                

4.000%, 09/25/2050

     8,395       1,298  

FHLMC REMIC CMO, Ser 2020-5013, Cl IN, IO

                

2.500%, 09/25/2050

     548       89  

FHLMC REMIC CMO, Ser 2020-5018, Cl IH, IO

                

3.500%, 10/25/2050

     2,892       491  

FHLMC REMIC CMO, Ser 2020-5018, Cl MI, IO

                

2.000%, 10/25/2050

     912       122  

FHLMC REMIC CMO, Ser 2020-5018, Cl IO, IO

                

3.500%, 10/25/2050

     4,984       853  

FHLMC REMIC CMO, Ser 2020-5038, Cl IJ, IO

                

4.000%, 11/25/2050

     7,098       1,229  

FHLMC REMIC CMO, Ser 2020-5040, Cl IB, IO

                

2.500%, 11/25/2050

     330       44  

FHLMC REMIC CMO, Ser 2020-5059, Cl IB, IO

                

2.500%, 01/25/2051

     1,494       246  

FHLMC REMIC CMO, Ser 2021-5069, Cl MI, IO

                

2.500%, 02/25/2051

     617       90  

FHLMC REMIC CMO, Ser 2021-5070, Cl DI, IO

                

4.000%, 02/25/2051

     7,075       1,132  

FHLMC REMIC CMO, Ser 2021-5091, Cl AB

                

1.500%, 03/25/2051

     3,187       3,090  

FHLMC REMIC CMO, Ser 2021-5119, Cl AB

                

1.500%, 08/25/2049

     1,573       1,501  

FHLMC REMIC CMO, Ser 2021-5140, Cl NI, IO

                

2.500%, 05/25/2049

     1,758       256  

FHLMC REMIC, Ser 1520, Cl X1, IO

                

0.472%, 02/25/2036(B)

     4,995       251  

FHLMC STRIPS CMO, Ser 2012-264, Cl 30

                

3.000%, 07/15/2042

     1,991       2,016  

FHLMC STRIPS CMO, Ser 2012-271, Cl 30

                

3.000%, 08/15/2042

     998       1,023  

 

 

 

184

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC STRIPS CMO, Ser 2016-353, Cl S1, IO

                

5.809%, 12/15/2046(B)

   $ 577     $ 91  

FHLMC STRIPS CMO, Ser 2017-356, Cl 300

                

3.000%, 09/15/2047

     2,894       2,992  

FNMA

                

8.000%, 05/01/2023 to 06/01/2031

    17       20  

7.500%, 02/01/2031 to 11/01/2038

    103       113  

7.000%, 09/01/2026 to 02/01/2039

    645       728  

6.500%, 12/01/2022 to 10/01/2037

    282       307  

6.000%, 02/01/2032 to 07/01/2041

    2,021       2,287  

5.500%, 12/01/2033 to 06/01/2049

    8,064       8,968  

5.000%, 07/01/2033 to 11/01/2049

    21,639       23,934  

4.500%, 08/01/2023 to 01/01/2059

    51,621       55,607  

4.200%, 01/01/2029

     1,665       1,802  

4.000%, 09/01/2033 to 08/01/2059

    80,594       85,342  

3.820%, 07/01/2027

     246       258  

3.790%, 12/01/2025

     3,185       3,288  

3.734%, 02/01/2048(B)

     493       538  

3.500%, 07/01/2031 to 02/01/2052

    103,781       108,123  

3.380%, 05/01/2028

     113       115  

3.310%, 03/01/2028

     1,905       1,983  

3.160%, 05/01/2029

     318       336  

3.080%, 01/01/2028

     160       167  

3.020%, 06/01/2024 to 05/01/2026

    3,400       3,426  

3.000%, 05/01/2029 to 07/01/2060

    203,178       207,275  

2.810%, 04/01/2025

     250       257  

2.790%, 08/01/2029

     600       624  

2.710%, 04/01/2023(B)

     93       94  

2.500%, 03/01/2035 to 03/01/2052

    161,598       160,952  

2.455%, 04/01/2040

     3,020       2,805  

2.260%, 04/01/2030

     1,060       1,064  

2.000%, 08/01/2040 to 02/01/2052

    70,970       68,607  

1.850%, 09/01/2035

     1,194       1,157  

1.500%, 12/01/2035 to 03/01/2036

    446       435  

FNMA ACES, Ser 2014-M3, Cl X2, IO

                

0.031%, 01/25/2024(B)

     16,038       36  

FNMA ACES, Ser 2015-M8, Cl X2, IO

                

0.070%, 01/25/2025(B)

     66,241       160  

FNMA ACES, Ser 2016-M11, Cl AL

                

2.944%, 07/25/2039

     212       211  

FNMA ACES, Ser 2017-M7, Cl A2

                

2.961%, 02/25/2027(B)

     681       701  

FNMA ACES, Ser 2017-M8, Cl A2

                

3.061%, 05/25/2027(B)

     195       203  

FNMA ACES, Ser 2018-M15, Cl 1A2

                

3.700%, 01/25/2036

     600       662  

FNMA ACES, Ser 2019-M28, Cl AV

                

2.232%, 02/25/2027

     482       485  

FNMA ACES, Ser 2019-M4, Cl A2

                

3.610%, 02/25/2031

     330       361  

FNMA ACES, Ser 2019-M5, Cl A2

                

3.273%, 02/25/2029

     560       597  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA ACES, Ser 2020-M6, Cl A

                

2.500%, 10/25/2037

   $ 183     $ 186  

FNMA ARM

                

2.435%, ICE LIBOR USD 12 Month + 1.584%, 01/01/2046(B)

     2,017       2,084  

2.292%, ICE LIBOR USD 12 Month + 1.578%, 06/01/2045(B)

     651       672  

1.782%, ICE LIBOR USD 12 Month + 1.532%, 12/01/2035(B)

     15       15  

FNMA Interest STRIPS CMO, Ser 2002-323, Cl 16, IO

                

7.000%, 01/25/2032

     123       17  

FNMA Interest STRIPS CMO, Ser 2003-334, Cl 16, IO

                

6.500%, 02/25/2033

     163       28  

FNMA Interest STRIPS CMO, Ser 2012-409, Cl C2, IO

                

3.000%, 04/25/2027

     475       23  

FNMA Interest STRIPS CMO, Ser 2012-409, Cl C17, IO

                

4.000%, 11/25/2041

     399       67  

FNMA Interest STRIPS CMO, Ser 2012-409, Cl C1, IO

                

3.000%, 11/25/2026

     587       25  

FNMA Interest STRIPS CMO, Ser 2012-409, Cl C22, IO

                

4.500%, 11/25/2039

     415       62  

FNMA Interest STRIPS CMO, Ser 2012-409, Cl C13, IO

                

3.500%, 11/25/2041

     336       34  

FNMA Interest STRIPS CMO, Ser 2012-411, Cl A3

                

3.000%, 08/25/2042

     1,418       1,436  

FNMA Interest STRIPS CMO, Ser 2012-414, Cl A35

                

3.500%, 10/25/2042

     1,936       2,055  

FNMA Interest STRIPS CMO, Ser 2018-424, Cl C11, IO

                

3.500%, 02/25/2048

     3,612       620  

FNMA or FHLMC TBA

                

3.000%, 05/15/2051

     43,000       43,228  

FNMA REMIC CMO, Ser 1992-143, Cl M

                

8.000%, 09/25/2022

     3       3  

FNMA REMIC CMO, Ser 1992-69, Cl Z

                

8.000%, 05/25/2022

     1       1  

FNMA REMIC CMO, Ser 1993-149, Cl SH

                

11.500%, 08/25/2023(B)

     7       7  

FNMA REMIC CMO, Ser 1993-99, Cl Z

                

7.000%, 07/25/2023

     32       33  

FNMA REMIC CMO, Ser 1994-31, Cl ZC

                

6.500%, 02/25/2024

     30       31  

FNMA REMIC CMO, Ser 1994-63, Cl PK

                

7.000%, 04/25/2024

     30       31  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

185

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA REMIC CMO, Ser 1997-32, Cl PG

                

6.500%, 04/25/2027

   $ 56     $ 61  

FNMA REMIC CMO, Ser 1999-11, Cl Z

                

5.500%, 03/25/2029

     70       72  

FNMA REMIC CMO, Ser 2001-52, Cl YZ

                

6.500%, 10/25/2031

     11       13  

FNMA REMIC CMO, Ser 2003-124, Cl TS

                

9.800%, 01/25/2034(B)

     5       6  

FNMA REMIC CMO, Ser 2005-29, Cl ZA

                

5.500%, 04/25/2035

     228       254  

FNMA REMIC CMO, Ser 2005-74, Cl CS

                

19.506%, 05/25/2035(B)

     35       40  

FNMA REMIC CMO, Ser 2006-104, Cl MI, IO

                

6.563%, 11/25/2036(B)

     280       26  

FNMA REMIC CMO, Ser 2006-125, Cl SM, IO

                

7.013%, 01/25/2037(B)

     246       43  

FNMA REMIC CMO, Ser 2006-33, Cl LS

                

29.309%, 05/25/2036(B)

     41       57  

FNMA REMIC CMO, Ser 2006-46, Cl SW

                

23.514%, 06/25/2036(B)

     32       47  

FNMA REMIC CMO, Ser 2006-51, Cl SP, IO

                

6.463%, 03/25/2036(B)

     36       4  

FNMA REMIC CMO, Ser 2007-64, Cl FA

                

0.562%, ICE LIBOR USD 1 Month + 0.470%, 07/25/2037(B)

     6       6  

FNMA REMIC CMO, Ser 2007-68, Cl SC, IO

                

6.513%, 07/25/2037(B)

     96       18  

FNMA REMIC CMO, Ser 2008-24, Cl NA

                

6.750%, 06/25/2037

     10       11  

FNMA REMIC CMO, Ser 2009-103, Cl MB

                

1.996%, 12/25/2039(B)

     56       59  

FNMA REMIC CMO, Ser 2009-86, Cl BO, PO

                

0.000%, 03/25/2037(C)

     545       496  

FNMA REMIC CMO, Ser 2010-123, Cl PM

                

4.000%, 07/25/2040

     1,367       1,416  

FNMA REMIC CMO, Ser 2010-27, Cl AS, IO

                

6.293%, 04/25/2040(B)

     412       67  

FNMA REMIC CMO, Ser 2011-2, Cl WA

                

5.835%, 02/25/2051(B)

     59       66  

FNMA REMIC CMO, Ser 2011-75, Cl FA

                

0.737%, ICE LIBOR USD 1 Month + 0.550%, 08/25/2041(B)

     44       44  

FNMA REMIC CMO, Ser 2011-96, Cl SA, IO

                

6.363%, 10/25/2041(B)

     873       127  

FNMA REMIC CMO, Ser 2012-133, Cl CS, IO

                

5.963%, 12/25/2042(B)

     462       80  

FNMA REMIC CMO, Ser 2012-134, Cl MS, IO

                

5.963%, 12/25/2042(B)

     180       30  

FNMA REMIC CMO, Ser 2012-151, Cl NX

                

1.500%, 01/25/2043

     795       768  

FNMA REMIC CMO, Ser 2012-28, Cl B

                

6.500%, 06/25/2039

     7       8  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA REMIC CMO, Ser 2012-35, Cl SC, IO

                

6.313%, 04/25/2042(B)

   $ 226     $ 39  

FNMA REMIC CMO, Ser 2012-46, Cl BA

                

6.000%, 05/25/2042

     299       339  

FNMA REMIC CMO, Ser 2012-70, Cl YS, IO

                

6.463%, 02/25/2041(B)

     5       –  

FNMA REMIC CMO, Ser 2012-74, Cl SA, IO

                

6.463%, 03/25/2042(B)

     383       48  

FNMA REMIC CMO, Ser 2012-74, Cl OA, PO

                

0.000%, 03/25/2042(C)

     26       25  

FNMA REMIC CMO, Ser 2012-75, Cl AO, PO

                

0.000%, 03/25/2042(C)

     53       49  

FNMA REMIC CMO, Ser 2012-75, Cl NS, IO

                

6.413%, 07/25/2042(B)

     87       14  

FNMA REMIC CMO, Ser 2013-101, Cl BO, PO

                

0.000%, 10/25/2043(C)

     668       593  

FNMA REMIC CMO, Ser 2013-101, Cl CO, PO

                

0.000%, 10/25/2043(C)

     1,492       1,326  

FNMA REMIC CMO, Ser 2013-11, Cl AP

                

1.500%, 01/25/2043

     2,780       2,709  

FNMA REMIC CMO, Ser 2013-124, Cl SB, IO

                

5.763%, 12/25/2043(B)

     362       62  

FNMA REMIC CMO, Ser 2013-26, Cl HI, IO

                

3.000%, 04/25/2032

     140       3  

FNMA REMIC CMO, Ser 2013-43, Cl BP

                

1.750%, 05/25/2043

     884       871  

FNMA REMIC CMO, Ser 2013-54, Cl BS, IO

                

5.963%, 06/25/2043(B)

     219       37  

FNMA REMIC CMO, Ser 2013-9, Cl BC

                

6.500%, 07/25/2042

     720       831  

FNMA REMIC CMO, Ser 2013-9, Cl CB

                

5.500%, 04/25/2042

     773       854  

FNMA REMIC CMO, Ser 2014-73, Cl MA

                

2.500%, 11/25/2044

     556       553  

FNMA REMIC CMO, Ser 2015-84, Cl PA

                

1.700%, 08/25/2033

     3,293       3,271  

FNMA REMIC CMO, Ser 2016-37, Cl MJ

                

3.500%, 08/25/2043

     208       212  

FNMA REMIC CMO, Ser 2016-48, Cl MA

                

2.000%, 06/25/2038

     3,221       3,218  

FNMA REMIC CMO, Ser 2016-57, Cl PC

                

1.750%, 06/25/2046

     4,740       4,548  

FNMA REMIC CMO, Ser 2017-13, Cl PA

                

3.000%, 08/25/2046

     972       982  

FNMA REMIC CMO, Ser 2017-76, Cl SB, IO

                

5.913%, 10/25/2057(B)

     1,379       259  

FNMA REMIC CMO, Ser 2017-85, Cl SC, IO

                

6.013%, 11/25/2047(B)

     460       77  

FNMA REMIC CMO, Ser 2018-14, Cl KC

                

3.000%, 03/25/2048

     1,897       1,943  

FNMA REMIC CMO, Ser 2018-15, Cl AB

                

3.000%, 03/25/2048

     434       448  

 

 

 

186

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA REMIC CMO, Ser 2018-38, Cl PA

                

3.500%, 06/25/2047

   $ 1,032     $ 1,048  

FNMA REMIC CMO, Ser 2018-43, Cl CT

                

3.000%, 06/25/2048

     1,427       1,453  

FNMA REMIC CMO, Ser 2018-8, Cl KL

                

2.500%, 03/25/2047

     942       942  

FNMA REMIC CMO, Ser 2018-86, Cl JA

                

4.000%, 05/25/2047

     182       186  

FNMA REMIC CMO, Ser 2019-1, Cl AB

                

3.500%, 02/25/2049

     849       873  

FNMA REMIC CMO, Ser 2019-15, Cl AB

                

3.500%, 05/25/2053

     3,139       3,306  

FNMA REMIC CMO, Ser 2019-25, Cl PA

                

3.000%, 05/25/2048

     2,074       2,127  

FNMA REMIC CMO, Ser 2019-35, Cl A

                

3.000%, 07/25/2049

     782       786  

FNMA REMIC CMO, Ser 2019-45, Cl PA

                

3.000%, 08/25/2049

     573       583  

FNMA REMIC CMO, Ser 2019-52, Cl PA

                

3.000%, 09/25/2049

     180       181  

FNMA REMIC CMO, Ser 2019-79, Cl FA

                

0.687%, ICE LIBOR USD 1 Month + 0.500%, 01/25/2050(B)

     2,345       2,368  

FNMA REMIC CMO, Ser 2020-101, Cl IA, IO

                

3.500%, 01/25/2051

     9,188       1,411  

FNMA REMIC CMO, Ser 2020-25, Cl BI, IO

                

3.500%, 01/25/2047

     1,842       269  

FNMA REMIC CMO, Ser 2020-47, Cl GZ

                

2.000%, 07/25/2050

     724       610  

FNMA REMIC CMO, Ser 2020-48, Cl AB

                

2.000%, 07/25/2050

     1,313       1,299  

FNMA REMIC CMO, Ser 2020-48, Cl DA

                

2.000%, 07/25/2050

     3,903       3,861  

FNMA REMIC CMO, Ser 2020-56, Cl DI, IO

                

2.500%, 08/25/2050

     858       137  

FNMA REMIC CMO, Ser 2020-57, Cl NI, IO

                

2.500%, 08/25/2050

     794       115  

FNMA REMIC CMO, Ser 2020-64, Cl IB, IO

                

4.000%, 09/25/2050

     2,620       454  

FNMA REMIC CMO, Ser 2020-65, Cl EI, IO

                

4.000%, 09/25/2050

     4,684       830  

FNMA REMIC CMO, Ser 2020-65, Cl JI, IO

                

4.000%, 09/25/2050

     5,637       946  

FNMA REMIC CMO, Ser 2020-65, Cl DI, IO

                

4.000%, 09/25/2050

     3,208       535  

FNMA REMIC CMO, Ser 2020-74, Cl EI, IO

                

2.500%, 10/25/2050

     425       63  

FNMA REMIC CMO, Ser 2020-84, Cl ID, IO

                

3.500%, 12/25/2050

     2,745       444  

FNMA REMIC CMO, Ser 2020-89, Cl DI, IO

                

2.500%, 12/25/2050

     2,607       371  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA REMIC CMO, Ser 2020-97, Cl AI, IO

                

2.000%, 01/25/2051

   $ 2,535     $ 364  

FNMA REMIC CMO, Ser 2020-99, Cl IA, IO

                

3.500%, 09/25/2049

     1,712       297  

FNMA REMIC CMO, Ser 2021-1, Cl IG, IO

                

2.500%, 02/25/2051

     1,744       268  

FNMA REMIC CMO, Ser 2021-27, Cl EC

                

1.500%, 05/25/2051

     5,256       5,043  

FNMA REMIC CMO, Ser 2021-3, Cl QI, IO

                

2.500%, 02/25/2051

     2,309       331  

FNMA REMIC CMO, Ser 2021-3, Cl IB, IO

                

2.500%, 02/25/2051

     2,240       380  

FNMA REMIC CMO, Ser 2021-61, Cl KI, IO

                

2.500%, 04/25/2049

     1,652       233  

FNMA REMIC CMO, Ser 2021-78, Cl ND

                

1.500%, 11/25/2051

     3,133       3,075  

FNMA TBA

                

3.500%, 04/01/2041

     15,100       15,516  

3.000%, 05/15/2036 to 04/15/2051

    193,513       195,258  

2.500%, 03/01/2026 to 04/01/2043

    187,605       184,764  

GNMA

                

7.000%, 04/15/2026 to 10/15/2032

    378       403  

6.500%, 01/15/2024 to 07/15/2035

    778       852  

6.000%, 12/15/2023 to 10/20/2040

    2,260       2,548  

5.000%, 10/15/2039 to 04/20/2050

    13,710       14,744  

4.700%, 09/20/2061(B)

     170       177  

4.500%, 01/20/2040 to 12/20/2050

    16,418       17,554  

4.475%, 01/20/2069(B)

     33       33  

4.000%, 06/20/2047 to 11/20/2050

    23,982       25,222  

3.630%, 04/20/2063(B)

     54       55  

3.500%, 06/20/2044 to 07/20/2050

    22,867       23,944  

3.000%, 09/15/2042 to 02/20/2052

    33,410       34,190  

2.500%, 12/20/2050 to 04/20/2051

    7,192       7,236  

2.000%, 12/20/2050 to 03/20/2051

    3,771       3,693  

GNMA ARM

                

1.650%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.440%, 01/20/2060(B)

     430       436  

1.625%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.500%, 07/20/2034(B)

     4       4  

GNMA CMO, Ser 2003-60, Cl GS

                

12.207%, 05/16/2033(B)

     4       4  

GNMA CMO, Ser 2005-7, Cl JM

                

16.443%, 05/18/2034(B)

     1       1  

GNMA CMO, Ser 2006-16, Cl GS, IO

                

6.828%, 04/20/2036(B)

     277       41  

GNMA CMO, Ser 2007-78, Cl SA, IO

                

6.404%, 12/16/2037(B)

     1,902       203  

GNMA CMO, Ser 2009-106, Cl KS, IO

                

6.238%, 11/20/2039(B)

     1,943       267  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

187

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA CMO, Ser 2009-66, Cl LC

                

6.000%, 08/16/2039

   $ 1,241     $ 1,375  

GNMA CMO, Ser 2009-66, Cl XS, IO

                

6.674%, 07/16/2039(B)

     11       1  

GNMA CMO, Ser 2009-8, Cl PS, IO

                

6.174%, 08/16/2038(B)

     8       –  

GNMA CMO, Ser 2010-4, Cl NS, IO

                

6.264%, 01/16/2040(B)

     2,750       463  

GNMA CMO, Ser 2010-4, Cl SL, IO

                

6.274%, 01/16/2040(B)

     58       10  

GNMA CMO, Ser 2010-59, Cl LB

                

4.500%, 10/20/2039

     128       130  

GNMA CMO, Ser 2010-85, Cl HS, IO

                

6.488%, 01/20/2040(B)

     60       2  

GNMA CMO, Ser 2010-H10, Cl FC

                

1.108%, ICE LIBOR USD 1 Month + 1.000%, 05/20/2060(B)

     1,394       1,408  

GNMA CMO, Ser 2010-H26, Cl LF

                

0.451%, ICE LIBOR USD 1 Month + 0.350%, 08/20/2058(B)

     2,022       2,019  

GNMA CMO, Ser 2011-146, Cl EI, IO

                

5.000%, 11/16/2041

     32       6  

GNMA CMO, Ser 2011-H09, Cl AF

                

0.601%, ICE LIBOR USD 1 Month + 0.500%, 03/20/2061(B)

     503       504  

GNMA CMO, Ser 2012-124, Cl AS, IO

                

6.074%, 10/16/2042(B)

     382       70  

GNMA CMO, Ser 2012-141, Cl WA

                

4.531%, 11/16/2041(B)

     338       364  

GNMA CMO, Ser 2012-98, Cl SA, IO

                

5.974%, 08/16/2042(B)

     289       51  

GNMA CMO, Ser 2012-H07, Cl KI, IO

                

1.279%, 03/20/2062(B)

     331       12  

GNMA CMO, Ser 2013-H01, Cl TA

                

0.601%, ICE LIBOR USD 1 Month + 0.500%, 01/20/2063(B)

     8       8  

GNMA CMO, Ser 2013-H01, Cl JA

                

0.421%, ICE LIBOR USD 1 Month + 0.320%, 01/20/2063(B)

     440       439  

GNMA CMO, Ser 2014-H04, Cl FB

                

0.751%, ICE LIBOR USD 1 Month + 0.650%, 02/20/2064(B)

     1,316       1,321  

GNMA CMO, Ser 2015-167, Cl OI, IO

                

4.000%, 04/16/2045

     219       36  

GNMA CMO, Ser 2016-135, Cl SB, IO

                

5.974%, 10/16/2046(B)

     386       92  

GNMA CMO, Ser 2016-84, Cl IG, IO

                

4.500%, 11/16/2045

     111       21  

GNMA CMO, Ser 2017-167, Cl BQ

                

2.500%, 08/20/2044

     973       982  

GNMA CMO, Ser 2018-11, Cl PC

                

2.750%, 12/20/2047

     1,279       1,305  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA CMO, Ser 2018-H06, Cl PF

                

0.401%, ICE LIBOR USD 1 Month + 0.300%, 02/20/2068(B)

   $ 553     $ 551  

GNMA CMO, Ser 2018-H07, Cl FD

                

0.401%, ICE LIBOR USD 1 Month + 0.300%, 05/20/2068(B)

     1,020       1,017  

GNMA CMO, Ser 2019-132, Cl NA

                

3.500%, 09/20/2049

     1,024       1,059  

GNMA CMO, Ser 2019-15, Cl GT

                

3.500%, 02/20/2049

     1,151       1,192  

GNMA CMO, Ser 2019-31, Cl JC

                

3.500%, 03/20/2049

     675       700  

GNMA CMO, Ser 2019-71, Cl PT

                

3.000%, 06/20/2049

     93       95  

GNMA CMO, Ser 2019-90, Cl AB

                

3.000%, 07/20/2049

     385       392  

GNMA CMO, Ser 2020-123, Cl NI, IO

                

2.500%, 08/20/2050

     1,150       155  

GNMA CMO, Ser 2020-123, Cl IL, IO

                

2.500%, 08/20/2050

     363       50  

GNMA CMO, Ser 2020-127, Cl IN, IO

                

2.500%, 08/20/2050

     528       73  

GNMA CMO, Ser 2020-129, Cl IE, IO

                

2.500%, 09/20/2050

     456       62  

GNMA CMO, Ser 2020-160, Cl VI, IO

                

2.500%, 10/20/2050

     541       70  

GNMA CMO, Ser 2020-160, Cl IH, IO

                

2.500%, 10/20/2050

     369       51  

GNMA CMO, Ser 2020-160, Cl YI, IO

                

2.500%, 10/20/2050

     1,731       224  

GNMA CMO, Ser 2020-181, Cl WI, IO

                

2.000%, 12/20/2050

     3,726       391  

GNMA CMO, Ser 2020-47, Cl MI, IO

                

3.500%, 04/20/2050

     965       136  

GNMA CMO, Ser 2020-47, Cl NI, IO

                

3.500%, 04/20/2050

     340       50  

GNMA CMO, Ser 2020-H09, Cl FL

                

1.312%, ICE LIBOR USD 1 Month + 1.150%, 05/20/2070(B)

     1,094       1,137  

GNMA CMO, Ser 2020-H09, Cl NF

                

1.412%, ICE LIBOR USD 1 Month + 1.250%, 04/20/2070(B)

     287       294  

GNMA CMO, Ser 2020-H12, Cl F

                

0.662%, ICE LIBOR USD 1 Month + 0.500%, 07/20/2070(B)

     129       130  

GNMA CMO, Ser 2020-H13, Cl FA

                

0.612%, ICE LIBOR USD 1 Month + 0.450%, 07/20/2070(B)

     607       609  

GNMA CMO, Ser 2021-23, Cl MG

                

1.500%, 02/20/2051

     3,466       3,389  

GNMA CMO, Ser 2021-29, Cl TI, IO

                

2.500%, 02/20/2051

     973       187  

 

 

 

188

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA TBA

                

3.500%, 03/15/2051

   $ 2,400     $ 2,476  

3.000%, 03/15/2045

     12,100       12,301  

2.500%, 03/15/2051

     46,600       46,562  

2.000%, 03/15/2051

     21,600       21,117  

GNMA, Ser 2012-112, Cl IO, IO

                

0.132%, 02/16/2053(B)

     3,148       14  

GNMA, Ser 2012-142, Cl IO, IO

                

0.222%, 04/16/2054(B)

     6,441       31  

GNMA, Ser 2012-27, Cl IO, IO

                

0.576%, 04/16/2053(B)

     5,668       43  

GNMA, Ser 2013-107, Cl AD

                

2.766%, 11/16/2047(B)

     424       424  

GNMA, Ser 2013-163, Cl IO, IO

                

1.023%, 02/16/2046(B)

     1,928       42  

GNMA, Ser 2014-186, Cl IO, IO

                

0.391%, 08/16/2054(B)

     2,031       30  

GNMA, Ser 2014-47, Cl IA, IO

                

0.143%, 02/16/2048(B)

     418       4  

GNMA, Ser 2014-50, Cl IO, IO

                

0.599%, 09/16/2055(B)

     2,228       66  

GNMA, Ser 2016-128, Cl IO, IO

                

0.754%, 09/16/2056(B)

     4,531       193  

GNMA, Ser 2017-135, Cl AG

                

2.600%, 08/16/2058

     611       609  

GNMA, Ser 2017-145, Cl IO, IO

                

0.518%, 04/16/2057(B)

     1,949       73  

GNMA, Ser 2017-157, Cl IO, IO

                

0.637%, 12/16/2059(B)

     1,107       53  

GNMA, Ser 2017-190, Cl IO, IO

                

0.558%, 03/16/2060(B)

     2,722       117  

GNMA, Ser 2017-8, Cl IO, IO

                

0.435%, 08/16/2058(B)

     1,517       48  

GNMA, Ser 2020-109, Cl AI, IO

                

0.865%, 05/16/2060(B)

     2,296       159  

GNMA, Ser 2020-184, Cl IO, IO

                

0.914%, 11/16/2060(B)

     2,927       229  

GNMA, Ser 2020-41, Cl IO, IO

                

0.631%, 07/16/2058(B)

     900       33  

GNMA, Ser 2021-37, Cl IO, IO

                

0.805%, 01/16/2061(B)

     2,945       205  

GNMA, Ser 2021-60, Cl IO, IO

                

0.835%, 05/16/2063(B)

     2,442       178  

GNMA, Ser 2021-68, Cl IO, IO

                

0.897%, 10/16/2062(B)

     2,958       223  

UMBS TBA

                

5.000%, 03/15/2051

     4,830       5,209  

4.500%, 03/15/2051

     1,862       1,966  

4.000%, 03/01/2039

     1,969       2,056  

3.500%, 03/15/2051

     26,940       27,744  

2.500%, 03/15/2051

     147,708       145,729  

2.000%, 03/15/2036 to 04/15/2051

    291,039       280,238  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

1.500%, 03/15/2036 to 04/15/2036

  $ 18,450     $ 17,935  
                 
                 
              2,403,671  

Non-Agency Mortgage-Backed Obligations — 5.7%

        

3650R Commercial Mortgage Trust, Ser 2021-PF1, Cl A5

                

2.522%, 11/15/2054

     1,140       1,100  

Alen Mortgage Trust, Ser 2021-ACEN, Cl A

                

1.240%, ICE LIBOR USD 1 Month + 1.150%, 04/15/2034(B)(D)

     1,900       1,858  

American Home Mortgage Investment Trust, Ser 2005-1, Cl 1A2

                

0.668%, ICE LIBOR USD 1 Month + 0.560%, 06/25/2045(B)

     796       797  

Angel Oak Mortgage Trust I LLC, Ser 2019-2, Cl A1

                

3.628%, 03/25/2049(B)(D)

     105       105  

Angel Oak Mortgage Trust, Ser 2020-2, Cl A1A

                

2.531%, 01/26/2065(B)(D)

     653       653  

Angel Oak Mortgage Trust, Ser 2020-5, Cl A1

                

1.373%, 05/25/2065(B)(D)

     312       309  

Angel Oak Mortgage Trust, Ser 2021-6, Cl A1

                

1.458%, 09/25/2066(B)(D)

     1,459       1,416  

Angel Oak Mortgage Trust, Ser 2021-7, Cl A3

                

2.337%, 10/25/2066(B)(D)

     970       948  

Arbor Multifamily Mortgage Securities Trust, Ser 2021-MF2, Cl B

                

2.560%, 06/15/2054(B)(D)

     1,205       1,115  

AREIT Trust, Ser 2022-CRE6, Cl A

                

1.298%, SOFR30A + 1.250%, 11/17/2024(B)(D)

     2,050       2,046  

BAMLL Commercial Mortgage Securities Trust, Ser 2018-PARK, Cl A

                

4.091%, 08/10/2038(B)(D)

     2,640       2,831  

Banc of America Alternative Loan Trust, Ser 2006-8, Cl 3A1

                

3.656%, 11/25/2021(B)

     6       5  

Banc of America Alternative Loan Trust, Ser 2007-1, Cl 2A1

                

5.731%, 04/25/2037(B)

     56       54  

Banc of America Funding Trust, Ser 2003-2, Cl 1A1

                

6.500%, 06/25/2032

     6       6  

Banc of America Funding Trust, Ser 2004-2, Cl 1CB1

                

5.750%, 09/20/2034

     43       46  

Banc of America Funding Trust, Ser 2005-B, Cl 2A1

                

2.710%, 04/20/2035(B)

     763       724  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

189

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

BANK, Ser 2017-BNK5, Cl A4

                

3.131%, 06/15/2060

   $ 1,130     $ 1,145  

BANK, Ser 2017-BNK7, Cl A5

                

3.435%, 09/15/2060

     1,170       1,210  

BANK, Ser 2019-BN19, Cl A3

                

3.183%, 08/15/2061

     385       392  

BANK, Ser 2019-BN23, Cl A3

                

2.920%, 12/15/2052

     165       165  

BANK, Ser 2022-BNK40, Cl A4

                

3.507%, 03/15/2064(B)

     2,361       2,428  

Barclays Commercial Mortgage Trust, Ser 2019-C3, Cl A3

                

3.319%, 05/15/2052

     263       270  

Bayview MSR Opportunity Master Fund Trust, Ser 2021-1, Cl A1

                

3.000%, 12/25/2051(B)(D)

     2,073       2,049  

Bayview MSR Opportunity Master Fund Trust, Ser 2021-2, Cl A2

                

2.500%, 06/25/2051(B)(D)

     2,220       2,130  

Bayview MSR Opportunity Master Fund Trust, Ser 2022-2, Cl A1

                

3.000%, 12/25/2051(B)(D)

     5,155       5,109  

BBCMS Mortgage Trust, Ser 2018-C2, Cl ASB

                

4.236%, 12/15/2051

     524       559  

BBCMS Mortgage Trust, Ser 2020-C6, Cl A2

                

2.690%, 02/15/2053

     1,205       1,206  

BBCMS Mortgage Trust, Ser 2022-C14, Cl A5

                

2.946%, 02/15/2055

     777       779  

BBCMS Trust, Ser 2015-SRCH, Cl A1

                

3.312%, 08/10/2035(D)

     1,555       1,570  

Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A

                

2.913%, 05/25/2034(B)

     12       12  

Bear Stearns Commercial Mortgage Securities Trust, Ser 2005-PWR8, Cl X1, IO

                

0.716%, 06/11/2041(B)(D)

     3       –  

Benchmark Mortgage Trust, Ser 2021-B31, Cl A5

                

2.669%, 12/15/2054

     2,210       2,163  

Benchmark Mortgage Trust, Ser 2022-B33, Cl A5

                

3.458%, 01/15/2032

     3,407       3,509  

BMO Mortgage Trust, Ser 2022-C1, Cl A1

                

2.198%, 02/15/2055

     1,590       1,588  

BMO Mortgage Trust, Ser 2022-C1, Cl A5

                

3.374%, 02/15/2055

     633       654  

BPR Trust, Ser 2021-TY, Cl A

                

1.241%, ICE LIBOR USD 1 Month + 1.050%, 09/15/2038(B)(D)

     1,000       989  

Bunker Hill Loan Depositary Trust, Ser 2019-2, Cl A1

                

2.879%, 07/25/2049(D)

     1,185       1,182  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Bunker Hill Loan Depositary Trust, Ser 2019-3, Cl A1

                

2.724%, 11/25/2059(D)

   $ 665     $ 666  

BWAY Mortgage Trust, Ser 2015-1740, Cl A

                

2.917%, 01/10/2035(D)

     3,025       2,984  

BX Commercial Mortgage Trust, Ser 2019-XL, Cl A

                

1.111%, ICE LIBOR USD 1 Month + 0.920%, 10/15/2036(B)(D)

     9,032       8,993  

BX Commercial Mortgage Trust, Ser 2020-FOX, Cl A

                

1.191%, ICE LIBOR USD 1 Month + 1.000%, 11/15/2032(B)(D)

     3,641       3,618  

BX Commercial Mortgage Trust, Ser 2021-SOAR, Cl A

                

0.861%, ICE LIBOR USD 1 Month + 0.670%, 06/15/2038(B)(D)

     1,310       1,280  

BX Commercial Mortgage Trust, Ser 2021-VOLT, Cl A

                

0.891%, ICE LIBOR USD 1 Month + 0.700%, 09/15/2036(B)(D)

     7,071       6,867  

BX Commercial Mortgage Trust, Ser 2021-XL2, Cl A

                

0.880%, ICE LIBOR USD 1 Month + 0.689%, 10/15/2038(B)(D)

     7,585       7,424  

BX Trust, Ser 2019-MMP, Cl A

                

1.191%, ICE LIBOR USD 1 Month + 1.000%, 08/15/2036(B)(D)

     517       512  

BX Trust, Ser 2019-OC11, Cl A

                

3.202%, 12/09/2041(D)

     1,945       1,945  

BX Trust, Ser 2021-ARIA, Cl A

                

1.090%, ICE LIBOR USD 1 Month + 0.899%, 10/15/2036(B)(D)

     5,110       5,008  

BX Trust, Ser 2021-MFM1, Cl A

                

0.891%, ICE LIBOR USD 1 Month + 0.700%, 01/15/2034(B)(D)

     2,150       2,097  

CALI Mortgage Trust, Ser 2019-101C, Cl A

                

3.957%, 03/10/2039(D)

     1,905       2,008  

CAMB Commercial Mortgage Trust, Ser 2019-LIFE, Cl A

                

1.261%, ICE LIBOR USD 1 Month + 1.070%, 12/15/2037(B)(D)

     1,715       1,702  

CD Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO

                

0.023%, 01/15/2046(B)(D)

     263       –  

CD Commercial Mortgage Trust, Ser 2017-CD3, Cl A4

                

3.631%, 02/10/2050

     1,240       1,285  

Century Plaza Towers, Ser 2019-CPT, Cl A

                

2.865%, 11/13/2039(D)

     1,865       1,835  

CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl ASB

                

3.367%, 06/15/2050

     718       735  

 

 

 

190

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Chase Mortgage Finance Trust, Ser 2007-A1, Cl 2A1

                

2.460%, 02/25/2037(B)

   $ 16     $ 17  

Chase Mortgage Finance Trust, Ser 2007-A1, Cl 9A1

                

2.593%, 02/25/2037(B)

     13       13  

Chase Mortgage Finance Trust, Ser 2007-A2, Cl 1A1

                

2.284%, 06/25/2035(B)

     23       23  

Chevy Chase Funding Mortgage-Backed Certificates, Ser 2003-4X, Cl A2

                

0.967%, ICE LIBOR USD 1 Month + 0.780%, 10/25/2034(B)

     916       918  

CIM Trust, Ser 2018-INV1, Cl A4

                

4.000%, 08/25/2048(B)(D)

     191       192  

CIM Trust, Ser 2021-R6, Cl A1

                

1.425%, 07/25/2061(B)(D)

     3,011       2,912  

Citigroup Commercial Mortgage Trust, Ser 2014-GC21, Cl A5

                

3.855%, 05/10/2047

     465       479  

Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl AS

                

4.017%, 10/10/2047

     880       903  

Citigroup Commercial Mortgage Trust, Ser 2019-GC41, Cl A5

                

2.869%, 08/10/2056

     4,120       4,117  

Citigroup Global Markets Mortgage Securities VII, Ser 2003-HYB1, Cl A

                

2.240%, 09/25/2033(B)

     21       22  

Citigroup Mortgage Loan Trust, Ser 2004-HYB1, Cl A41

                

2.660%, 02/25/2034(B)

     2       2  

Citigroup Mortgage Loan Trust, Ser 2004-UST1, Cl A6

                

1.954%, 08/25/2034(B)

     9       9  

Citigroup Mortgage Loan Trust, Ser 2009-10, Cl 1A1

                

2.517%, 09/25/2033(B)(D)

     42       42  

Citigroup Mortgage Loan Trust, Ser 2021-INV1, Cl A3A

                

2.500%, 05/25/2051(B)(D)

     3,904       3,746  

Citigroup Mortgage Loan Trust, Ser 2021-INV2, Cl A3A

                

2.500%, 05/25/2051(B)(D)

     1,391       1,334  

COLT Mortgage Loan Trust, Ser 2021-2, Cl A1

                

0.924%, 08/25/2066(B)(D)

     1,854       1,788  

COLT Mortgage Loan Trust, Ser 2021-4, Cl A1

                

1.397%, 10/25/2066(B)(D)

     1,975       1,910  

COLT Mortgage Loan Trust, Ser 2022-2, Cl A1

                

2.994%, 02/25/2067(D)

     2,060       2,057  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

COMM Mortgage Trust, Ser 2012-CR3, Cl A3

                

2.822%, 10/15/2045

   $ 6,573     $ 6,573  

COMM Mortgage Trust, Ser 2013-CR6, Cl A4

                

3.101%, 03/10/2046

     2,879       2,891  

Commercial Mortgage Pass-Through Certificates, Ser 2012-CR2, Cl CPZ

                

4.831%, 08/15/2045(B)(D)

     150       149  

Commercial Mortgage Pass-Through Certificates, Ser 2013-CR10, Cl A4

                

4.210%, 08/10/2046(B)

     37       38  

Commercial Mortgage Pass-Through Certificates, Ser 2013-CR11, Cl A4

                

4.258%, 08/10/2050

     4,413       4,544  

Commercial Mortgage Pass-Through Certificates, Ser 2013-CR12, Cl AM

                

4.300%, 10/10/2046

     220       224  

Commercial Mortgage Pass-Through Certificates, Ser 2013-CR12, Cl C

                

5.070%, 10/10/2046(B)

     90       87  

Commercial Mortgage Pass-Through Certificates, Ser 2013-CR12, Cl B

                

4.762%, 10/10/2046(B)

     190       193  

Commercial Mortgage Pass-Through Certificates, Ser 2013-CR8, Cl A5

                

3.612%, 06/10/2046(B)

     630       639  

Commercial Mortgage Pass-Through Certificates, Ser 2013-LC13, Cl B

                

5.009%, 08/10/2046(B)(D)

     1,150       1,179  

Commercial Mortgage Pass-Through Certificates, Ser 2013-LC6, Cl AM

                

3.282%, 01/10/2046

     3,220       3,242  

Commercial Mortgage Pass-Through Certificates, Ser 2014-CR14, Cl B

                

4.600%, 02/10/2047(B)

     350       359  

Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS2, Cl XA, IO

                

1.115%, 03/10/2047(B)

     10,130       178  

Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS3, Cl AM

                

4.012%, 06/10/2047

     510       522  

Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS4, Cl A4

                

3.420%, 08/10/2047

     1,530       1,544  

Commercial Mortgage Pass-Through Certificates, Ser 2015CR26, Cl C

                

4.478%, 10/10/2048(B)

     1,755       1,776  

Commercial Mortgage Pass-Through Certificates, Ser 2015-CR27, Cl A3

                

3.349%, 10/10/2048

     7,032       7,099  

Commercial Mortgage Pass-Through Certificates, Ser 2015-LC19, Cl XA, IO

                

1.112%, 02/10/2048(B)

     15,643       409  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

191

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Commercial Mortgage Pass-Through Certificates, Ser 2015-LC23, Cl A3

                

3.521%, 10/10/2048

   $ 804     $ 824  

Commercial Mortgage Pass-Through Certificates, Ser 2017-PANW, Cl A

                

3.244%, 10/10/2029(D)

     1,780       1,787  

Commercial Mortgage Pass-Through Certificates, Ser 2020-CBM, Cl A2

                

2.896%, 02/10/2037(D)

     2,230       2,209  

Commercial Mortgage Pass-Through Certificates, Ser 2020-CX, Cl A

                

2.173%, 11/10/2046(D)

     3,290       3,064  

Connecticut Avenue Securities Trust, Ser 2021-R01, Cl 1M2

                

1.599%, SOFR30A + 1.550%, 10/25/2041(B)(D)

     1,030       1,012  

Countrywide Alternative Loan Trust, Ser 2004-27CB, Cl A1

                

6.000%, 12/25/2034

     377       376  

Countrywide Alternative Loan Trust, Ser 2004-J6, Cl 2A1

                

6.500%, 11/25/2031

     66       67  

Countrywide Alternative Loan Trust, Ser 2004-J6, Cl PO, PO

                

0.000%, 11/25/2031(C)

     10       9  

Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2004-14, Cl 4A1

                

2.446%, 08/25/2034(B)

     80       79  

Countrywide Home Loan Mortgage Pass-Through Trust, Ser 2005-20, Cl A7

                

5.250%, 12/25/2027

     94       75  

Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl A

                

1.171%, ICE LIBOR USD 1 Month + 0.980%, 05/15/2036(B)(D)

     7,100       7,043  

CSAIL Commercial Mortgage Trust, Ser 2015-C2, Cl A4

                

3.504%, 06/15/2057

     922       943  

CSAIL Commercial Mortgage Trust, Ser 2015-C3, Cl A3

                

3.447%, 08/15/2048

     918       928  

CSAIL Commercial Mortgage Trust, Ser 2021-C20, Cl A3

                

2.805%, 03/15/2054

     573       563  

CSFB Mortgage-Backed Pass-Through Certificates, Ser 2003-29, Cl 5A1

                

7.000%, 12/25/2033

     30       31  

CSMC Trust, Ser 2014-USA, Cl A2

                

3.953%, 09/15/2037(D)

     3,530       3,579  

CSMC Trust, Ser 2014-USA, Cl B

                

4.185%, 09/15/2037(D)

     3,900       3,714  

CSMC Trust, Ser 2015-5R, Cl 1A1

                

1.008%, 09/27/2046(B)(D)

     443       442  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

CSMC Trust, Ser 2016-NXSR, Cl A4

                

3.795%, 12/15/2049(B)

   $ 1,425     $ 1,479  

CSMC Trust, Ser 2018-J1, Cl A2

                

3.500%, 02/25/2048(B)(D)

     3,521       3,518  

CSMC Trust, Ser 2018-RPL9, Cl A

                

3.850%, 09/25/2057(B)(D)

     3,839       3,931  

CSMC Trust, Ser 2019-AFC1, Cl A1

                

2.573%, 07/25/2049(D)

     1,032       1,028  

CSMC Trust, Ser 2019-NQM1, Cl A3

                

3.064%, 10/25/2059(D)

     3,026       3,011  

CSMC Trust, Ser 2020-FACT, Cl A

                

1.541%, ICE LIBOR USD 1 Month + 1.350%, 10/15/2037(B)(D)

     4,280       4,269  

CSMC Trust, Ser 2021-NQM3, Cl A3

                

1.632%, 04/25/2066(B)(D)

     1,952       1,897  

CSMC Trust, Ser 2021-NQM5, Cl A1

                

0.938%, 05/25/2066(B)(D)

     2,554       2,462  

CSMC Trust, Ser 2021-NQM7, Cl A1

                

1.756%, 10/25/2066(B)(D)

     1,624       1,575  

CSMC Trust, Ser 2021-NQM8, Cl A1

                

1.841%, 10/25/2066(B)(D)

     3,134       3,066  

CSMC Trust, Ser 2021-RPL2, Cl A1

                

2.000%, 01/25/2060(B)(D)

     909       890  

CSMC Trust, Ser 2021-RPL3, Cl A1

                

2.000%, 01/25/2060(B)(D)

     5,837       5,787  

CSMC Trust, Ser 2021-RPL6, Cl A1

                

2.000%, 10/25/2060(B)(D)

     1,724       1,687  

CSMC Trust, Ser 2022-NQM1, Cl A1

                

2.265%, 11/25/2066(B)(D)

     3,720       3,664  

DBCCRE Mortgage Trust, Ser 2014-ARCP, Cl C

                

4.935%, 01/10/2034(B)(D)

     560       565  

DBCCRE Mortgage Trust, Ser 2014-ARCP, Cl A

                

4.238%, 01/10/2034(D)

     2,450       2,500  

DBJPM Mortgage Trust, Ser 2016-C1, Cl B

                

4.195%, 05/10/2049(B)

     1,780       1,800  

DC Office Trust, Ser 2019-MTC, Cl A

                

2.965%, 09/15/2045(D)

     1,995       1,968  

Deephaven Residential Mortgage Trust, Ser 2022-1, Cl A1

                

2.205%, 01/25/2067(B)(D)

     3,080       3,044  

DSLA Mortgage Loan Trust, Ser 2004-AR2, Cl A2B

                

0.971%, ICE LIBOR USD 1 Month + 0.800%, 11/19/2044(B)

     300       289  

Ellington Financial Mortgage Trust, Ser 2021-2, Cl A1

                

0.931%, 06/25/2066(B)(D)

     2,443       2,370  

Ellington Financial Mortgage Trust, Ser 2022-1, Cl A1

                

2.206%, 01/25/2067(B)(D)

     1,020       1,012  

 

 

 

192

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

EQUS Mortgage Trust, Ser 2021-EQAZ, Cl B

                

1.291%, ICE LIBOR USD 1 Month + 1.100%, 10/15/2038(B)(D)

   $ 1,560     $ 1,525  

EQUS Mortgage Trust, Ser 2021-EQAZ, Cl A

                

0.946%, ICE LIBOR USD 1 Month + 0.755%, 10/15/2038(B)(D)

     1,931       1,892  

EverBank Mortgage Loan Trust, Ser 2018-1, Cl A22

                

3.500%, 02/25/2048(B)(D)

     626       624  

FHLMC STACR REMIC Trust, Ser 2020-DNA6, Cl M1

                

0.949%, SOFR30A + 0.900%, 12/25/2050(B)(D)

     210       210  

FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl M2

                

1.549%, SOFR30A + 1.500%, 10/25/2041(B)(D)

     2,300       2,220  

FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1A

                

1.049%, SOFR30A + 1.000%, 01/25/2042(B)(D)

     3,950       3,914  

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2021-DNA2, Cl M2

                

2.349%, SOFR30A + 2.300%, 08/25/2033(B)(D)

     980       991  

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2022-DNA2, Cl M1B

                

2.449%, SOFR30A + 2.400%, 02/25/2042(B)(D)

     1,010       1,005  

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2022-DNA2, Cl M1A

                

1.349%, SOFR30A + 1.300%, 02/25/2042(B)(D)

     2,850       2,849  

First Horizon Alternative Mortgage Securities Trust, Ser 2004-AA3, Cl A1

                

2.370%, 09/25/2034(B)

     32       32  

Flagstar Mortgage Trust, Ser 2018-2, Cl A4

                

3.500%, 04/25/2048(B)(D)

     323       323  

Flagstar Mortgage Trust, Ser 2021-13IN, Cl A2

                

3.000%, 12/30/2051(B)(D)

     4,729       4,678  

FNMA Connecticut Avenue Securities, Ser 2016-C02, Cl 1M2

                

6.187%, ICE LIBOR USD 1 Month + 6.000%, 09/25/2028(B)

     1,535       1,590  

FNMA Connecticut Avenue Securities, Ser 2017-C01, Cl 1ED1

                

1.437%, ICE LIBOR USD 1 Month + 1.250%, 07/25/2029(B)

     1,820       1,818  

FREMF Mortgage Trust, Ser 2012-K20, Cl X2A, IO

                

0.200%, 05/25/2045(D)

     11,781       1  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FWDSecuritization Trust, Ser 2019-INV1, Cl A1

                

2.810%, 06/25/2049(B)(D)

   $ 684     $ 684  

GCAT Trust, Ser 2022-INV1, Cl A1

                

3.000%, 12/25/2051(B)(D)

     2,865       2,843  

Granite Point Mortgage Trust, Ser 2021-FL3, Cl A

                

1.387%, ICE LIBOR USD 1 Month + 1.250%, 07/16/2035(B)(D)

     1,729       1,724  

GS Mortgage Securities Trust, Ser 2013-GC14, Cl A5

                

4.243%, 08/10/2046

     993       1,017  

GS Mortgage Securities Trust, Ser 2013-GC16, Cl B

                

5.161%, 11/10/2046(B)

     390       397  

GS Mortgage Securities Trust, Ser 2015-GC32, Cl XA, IO

                

0.733%, 07/10/2048(B)

     32,901       698  

GS Mortgage Securities Trust, Ser 2017-SLP, Cl C

                

3.924%, 10/10/2032(D)

     4,610       4,610  

GS Mortgage Securities Trust, Ser 2018-SRP5, Cl B

                

2.941%, ICE LIBOR USD 1 Month + 2.750%, 09/15/2031(B)(D)

     3,564       2,884  

GS Mortgage Securities Trust, Ser 2018-SRP5, Cl A

                

1.741%, ICE LIBOR USD 1 Month + 1.550%, 09/15/2031(B)(D)

     3,564       3,206  

GS Mortgage Securities Trust, Ser 2020-GC47, Cl A5

                

2.377%, 05/12/2053

     988       951  

GS Mortgage Securities Trust, Ser 2020-GSA2, Cl A4

                

1.721%, 12/12/2053

     1,863       1,722  

GS Mortgage Securities Trust, Ser 2021-GSA3, Cl A5

                

2.618%, 12/15/2054

     1,632       1,585  

GS Mortgage Securities Trust, Ser 2021-ROSS, Cl A

                

1.342%, ICE LIBOR USD 1 Month + 1.150%, 05/15/2026(B)(D)

     1,000       988  

GS Mortgage Securities Trust, Ser GC18, Cl A4

                

4.074%, 01/10/2047

     2,005       2,063  

GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, Cl A1A

                

3.750%, 10/25/2057(D)

     3,836       3,905  

GS Mortgage-Backed Securities Trust, Ser 2021-RPL1, Cl A2

                

2.000%, 12/25/2060(B)(D)

     1,111       1,065  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

193

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GS Mortgage-Backed Securities Trust, Ser 2022-PJ2, Cl A24

                

3.000%, 06/25/2052(B)(D)

   $ 2,460     $ 2,445  

GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A

                

8.000%, 09/19/2027(B)(D)

     1       1  

GSMPS Mortgage Loan Trust, Ser 2005-RP3, Cl 1AS, IO

                

4.109%, 09/25/2035(B)(D)

     168       13  

GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3

                

6.000%, 09/25/2034

     30       30  

GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4

                

5.500%, 01/25/2037

     6       7  

HarborView Mortgage Loan Trust, Ser 2005-9, Cl 2A1C

                

1.071%, ICE LIBOR USD 1 Month + 0.900%, 06/20/2035(B)

     1,141       1,129  

Hudson Yards Mortgage Trust, Ser 2019-30HY, Cl A

                

3.228%, 07/10/2039(D)

     1,900       1,923  

Hudson Yards Mortgage Trust, Ser 2019-55HY, Cl A

                

2.943%, 12/10/2041(B)(D)

     1,995       1,985  

Impac CMB Trust, Ser 2005-4, Cl 2A1

                

0.787%, ICE LIBOR USD 1 Month + 0.300%, 05/25/2035(B)

     84       82  

Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Ser 2010-1, Cl A1

                

5.314%, 01/25/2051(D)

     1,557       1,583  

Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2

                

1.047%, ICE LIBOR USD 1 Month + 0.860%, 09/25/2034(B)

     11       10  

Indymac Index Mortgage Loan Trust, Ser 2004-AR8, Cl 2A2A

                

0.987%, ICE LIBOR USD 1 Month + 0.800%, 11/25/2034(B)

     17       16  

J.P. Morgan Mortgage Trust, Ser 2022-1, Cl A3

                

2.500%, 07/25/2052(B)(D)

     11,000       10,547  

JPMBB Commercial Mortgage Securities Trust, Ser 2013-C12, Cl ASB

                

3.157%, 07/15/2045

     34       34  

JPMBB Commercial Mortgage Securities Trust, Ser 2013-C12, Cl A5

                

3.664%, 07/15/2045

     1,429       1,451  

JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl AS

                

4.420%, 11/15/2045

     1,840       1,896  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl A4

                

4.199%, 01/15/2047

   $ 505     $ 520  

JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B

                

4.886%, 01/15/2047(B)

     230       236  

JPMBB Commercial Mortgage Securities Trust, Ser 2014-C21, Cl AS

                

3.997%, 08/15/2047

     2,730       2,795  

JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C

                

4.551%, 09/15/2047(B)

     750       711  

JPMBB Commercial Mortgage Securities Trust, Ser 2014-C23, Cl A4

                

3.670%, 09/15/2047

     579       590  

JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3

                

2.912%, 10/15/2048

     3,443       3,458  

JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl B

                

4.009%, 03/15/2050(B)

     1,740       1,732  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-C16, Cl A4

                

4.166%, 12/15/2046

     2,143       2,200  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-CB15, Cl X1, IO

                

0.299%, 06/12/2043(B)

     938       –  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl A4

                

2.822%, 08/15/2049

     1,400       1,403  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP4, Cl A3

                

3.393%, 12/15/2049

     485       492  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-BCON, Cl B

                

3.756%, 01/05/2031(B)(D)

     2,415       2,434  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2019-OSB, Cl A

                

3.397%, 06/05/2039(D)

     2,000       2,053  

JPMorgan Mortgage Trust, Ser 2004-A3, Cl SF3

                

1.901%, 06/25/2034(B)

     212       210  

JPMorgan Mortgage Trust, Ser 2005-A1, Cl 3A4

                

2.593%, 02/25/2035(B)

     48       48  

JPMorgan Mortgage Trust, Ser 2005-A2, Cl 5A2

                

2.248%, 04/25/2035(B)

     15       16  

JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1

                

2.224%, 08/25/2034(B)

     74       78  

 

 

 

194

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3

                

2.270%, 11/25/2033(B)

   $ 66     $ 66  

JPMorgan Mortgage Trust, Ser 2017-5, Cl A2

                

3.061%, 10/26/2048(B)(D)

     3,258       3,365  

JPMorgan Mortgage Trust, Ser 2018-3, Cl A1

                

3.500%, 09/25/2048(B)(D)

     465       467  

JPMorgan Mortgage Trust, Ser 2018-4, Cl A1

                

3.500%, 10/25/2048(B)(D)

     369       370  

JPMorgan Mortgage Trust, Ser 2018-5, Cl A1

                

3.500%, 10/25/2048(B)(D)

     433       433  

JPMorgan Mortgage Trust, Ser 2019-8, Cl A3A

                

3.000%, 03/25/2050(B)(D)

     479       479  

JPMorgan Mortgage Trust, Ser 2019-LTV3, Cl B2

                

4.486%, 03/25/2050(B)(D)

     952       947  

JPMorgan Mortgage Trust, Ser 2020-1, Cl A3A

                

3.000%, 06/25/2050(B)(D)

     460       460  

JPMorgan Mortgage Trust, Ser 2021-14, Cl A3

                

2.500%, 05/25/2052(B)(D)

     12,266       11,768  

JPMorgan Mortgage Trust, Ser 2021-INV2, Cl A2

                

2.500%, 12/25/2051(B)(D)

     4,043       3,863  

Manhattan West Mortgage Trust, Ser 2020-1MW, Cl A

                

2.130%, 09/10/2039(D)

     2,300       2,209  

MASTR Adjustable Rate Mortgages Trust, Ser 2004-13, Cl 3A7A

                

2.755%, 11/21/2034(B)

     931       956  

MASTR Alternative Loans Trust, Ser 2004-4, Cl 1A1

                

5.500%, 05/25/2034

     225       229  

MASTR Alternative Loans Trust, Ser 2006-3, Cl 1A3

                

6.250%, 07/25/2036

     181       133  

MASTR Reperforming Loan Trust, Ser 2005-1, Cl 1A1

                

6.000%, 08/25/2034(D)

     1,208       981  

MASTR Reperforming Loan Trust, Ser 2005-2, Cl 1A1F

                

0.537%, ICE LIBOR USD 1 Month + 0.350%, 05/25/2035(B)(D)

     210       108  

MASTR Resecuritization Trust, Ser 2005-PO, Cl 3, PO

                

0.000%, 05/28/2035(C)(D)

     7       5  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

MASTR Seasoned Securitization Trust, Ser 2004-1, Cl 4A1

                

2.410%, 10/25/2032(B)

   $ 2     $ 2  

MASTR Seasoned Securitization Trust, Ser 2005-1, Cl 4A1

                

2.375%, 10/25/2032(B)

     22       22  

Med Trust, Ser 2021-MDLN, Cl A

                

1.142%, ICE LIBOR USD 1 Month + 0.950%, 11/15/2038(B)(D)

     3,109       3,062  

Mello Warehouse Securitization Trust, Ser 2020-1, Cl A

                

1.087%, ICE LIBOR USD 1 Month + 0.900%, 10/25/2053(B)(D)

     2,045       2,042  

Mello Warehouse Securitization Trust, Ser 2020-2, Cl A

                

0.987%, ICE LIBOR USD 1 Month + 0.800%, 11/25/2053(B)(D)

     2,174       2,160  

Mello Warehouse Securitization Trust, Ser 2021-1, Cl A

                

0.887%, ICE LIBOR USD 1 Month + 0.700%, 02/25/2055(B)(D)

     663       657  

Mello Warehouse Securitization Trust, Ser 2021-2, Cl A

                

0.937%, ICE LIBOR USD 1 Month + 0.750%, 04/25/2055(B)(D)

     1,839       1,823  

Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A

                

2.405%, 07/25/2033(B)

     28       28  

Merrill Lynch Mortgage Investors Trust, Ser 2004-1, Cl 2A1

                

2.066%, 12/25/2034(B)

     62       63  

Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 2A1

                

2.234%, 02/25/2034(B)

     24       25  

Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A

                

2.375%, 02/25/2034(B)

     36       37  

Merrill Lynch Mortgage Investors Trust, Ser 2004-A4, Cl A2

                

2.653%, 08/25/2034(B)

     36       36  

Merrill Lynch Mortgage Investors Trust, Ser 2004-D, Cl A2

                

1.546%, ICE LIBOR USD 6 Month + 0.720%, 09/25/2029(B)

     51       50  

Merrill Lynch Mortgage Investors Trust, Ser 2006-1, Cl 1A

                

2.100%, 02/25/2036(B)

     30       29  

MFA Trust, Ser 2021-NQM2, Cl A1

                

1.029%, 11/25/2064(B)(D)

     975       950  

MFA Trust, Ser 2021-RPL1, Cl A1

                

1.131%, 07/25/2060(B)(D)

     1,306       1,267  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

195

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Mill City Mortgage Loan Trust, Ser 2019-1, Cl A1

                

3.250%, 10/25/2069(B)(D)

   $ 2,337     $ 2,374  

Mill City Mortgage Loan Trust, Ser 2021-NMR1, Cl A1

                

1.125%, 11/25/2060(B)(D)

     1,997       1,961  

MKT Mortgage Trust, Ser 2020-525M, Cl A

                

2.694%, 02/12/2040(D)

     3,000       2,913  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Cl A4

                

3.176%, 08/15/2045

     409       409  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C20, Cl A4

                

3.249%, 02/15/2048

     363       371  

Morgan Stanley Capital I Trust, Ser 2016-BNK2, Cl XA, IO

                

0.968%, 11/15/2049(B)

     13,769       512  

Morgan Stanley Capital I Trust, Ser 2019-BPR, Cl A

                

1.591%, ICE LIBOR USD 1 Month + 1.400%, 05/15/2036(B)(D)

     3,030       2,978  

Morgan Stanley Capital I Trust, Ser 2020-HR8, Cl A3

                

1.790%, 07/15/2053

     1,356       1,252  

Morgan Stanley Capital I Trust, Ser 2020-L4, Cl ASB

                

2.624%, 02/15/2053

     3,930       3,914  

Morgan Stanley Mortgage Loan Trust, Ser 2004-3, Cl 4A

                

5.637%, 04/25/2034(B)

     80       83  

Morgan Stanley Residential Mortgage Loan Trust, Ser 2021-2, Cl A3

                

2.500%, 05/25/2051(B)(D)

     11,055       10,624  

Mortgage Loan Resecuritization Trust, Ser 2009-RS1, Cl A85

                

0.446%, ICE LIBOR USD 1 Month + 0.340%, 04/16/2036(B)(D)

     3,051       2,879  

MSBAM Commercial Mortgage Securities Trust, Ser 2012-CKSV, Cl A2

                

3.277%, 10/15/2030(D)

     150       149  

MSCG Trust, Ser 2015-ALDR, Cl A2

                

3.462%, 06/07/2035(B)(D)

     3,115       3,134  

New Residential Mortgage Loan Trust, Ser 2015-2A, Cl A1

                

3.750%, 08/25/2055(B)(D)

     1,309       1,337  

New Residential Mortgage Loan Trust, Ser 2017-4A, Cl A1

                

4.000%, 05/25/2057(B)(D)

     2,369       2,433  

New Residential Mortgage Loan Trust, Ser 2019-4A, Cl A1B

                

3.500%, 12/25/2058(B)(D)

     2,007       2,039  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

New Residential Mortgage Loan Trust, Ser 2019-6A, Cl A1B

                

3.500%, 09/25/2059(B)(D)

   $ 2,463     $ 2,498  

New Residential Mortgage Loan Trust, Ser 2019-6A, Cl B1

                

4.000%, 09/25/2059(B)(D)

     1,578       1,648  

New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1

                

2.492%, 09/25/2059(B)(D)

     376       377  

New Residential Mortgage Loan Trust, Ser 2019-RPL3, Cl A1

                

2.750%, 07/25/2059(B)(D)

     721       721  

New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A1

                

1.156%, 11/27/2056(B)(D)

     1,112       1,083  

New York Mortgage Trust, Ser 2006-1, Cl 2A2

                

2.811%, 05/25/2036(B)

     52       48  

NewRez Warehouse Securitization Trust, Ser 2021-1, Cl A

                

0.937%, ICE LIBOR USD 1 Month + 0.750%, 05/25/2055(B)(D)

     4,623       4,592  

OBX Trust, Ser 2019-EXP1, Cl 1A3

                

4.000%, 01/25/2059(B)(D)

     109       109  

OBX Trust, Ser 2020-EXP1, Cl 2A1A

                

0.937%, ICE LIBOR USD 1 Month + 0.750%, 02/25/2060(B)(D)

     264       264  

OBX Trust, Ser 2020-EXP3, Cl 2A1A

                

1.087%, ICE LIBOR USD 1 Month + 0.900%, 01/25/2060(B)(D)

     296       296  

OBX Trust, Ser 2021-NQM2, Cl A1

                

1.101%, 05/25/2061(B)(D)

     997       957  

OBX Trust, Ser 2021-NQM3, Cl A1

                

1.054%, 07/25/2061(B)(D)

     1,335       1,289  

OBX Trust, Ser 2022-NQM1, Cl A1

                

2.305%, 11/25/2061(B)(D)

     7,592       7,507  

One Bryant Park Trust, Ser 2019-OBP, Cl A

                

2.516%, 09/15/2054(D)

     2,490       2,402  

Onslow Bay Mortgage Loan Trust, Ser 2021-NQM4, Cl A1

                

1.957%, 10/25/2061(B)(D)

     1,101       1,067  

OPG Trust, Ser PORT, Cl A

                

0.675%, ICE LIBOR USD 1 Month + 0.484%, 10/15/2036(B)(D)

     4,140       3,978  

Prime Mortgage Trust, Ser 2004-CL1, Cl 1, PO

                

0.000%, 02/25/2034(C)

     7       6  

Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1

                

6.000%, 02/25/2034

     26       26  

PRKCM Trust, Ser 2021-AFC1, Cl A1

                

1.510%, 08/25/2056(B)(D)

     1,447       1,390  

PRKCM Trust, Ser 2021-AFC2, Cl A1

                

2.071%, 11/25/2056(B)(D)

     1,027       997  

 

 

 

196

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

RALI Trust, Ser 2005-QO2, Cl A1

                

1.464%, 12 Month Treas Avg + 1.360%, 09/25/2045(B)

   $ 227     $ 221  

RALI Trust, Ser 2005-QO5, Cl A1

                

1.104%, 12 Month Treas Avg + 1.000%, 01/25/2046(B)

     319       300  

RAMP Trust, Ser 2004-SL1, Cl A7

                

7.000%, 11/25/2031

     26       25  

RAMP Trust, Ser 2005-SL1, Cl A5

                

6.500%, 05/25/2032

     –       –  

Rate Mortgage Trust, Ser 2021-HB1, Cl A1

                

2.500%, 12/25/2051(B)(D)

     5,534       5,308  

Rate Mortgage Trust, Ser 2021-J1, Cl A7

                

2.500%, 07/25/2051(B)(D)

     942       920  

Rate Mortgage Trust, Ser 2021-J4, Cl A7

                

2.500%, 11/25/2051(B)(D)

     12,630       12,396  

Rate Mortgage Trust, Ser 2022-J1, Cl A7

                

3.000%, 01/25/2052(B)(D)

     2,470       2,440  

RBS Commercial Funding Trust, Ser 2013-GSP, Cl A

                

3.834%, 01/15/2032(B)(D)

     670       681  

RCKT Mortgage Trust, Ser 2022-2, Cl A2

                

2.500%, 02/25/2052(B)(D)

     1,710       1,630  

Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1

                

2.820%, 12/25/2034(B)

     194       191  

Residential Mortgage Loan Trust, Ser 2020-2, Cl A1

                

1.654%, 05/25/2060(B)(D)

     1,602       1,601  

Sequoia Mortgage Trust, Ser 2004-12, Cl A3

                

0.632%, ICE LIBOR USD 6 Month + 0.320%, 01/20/2035(B)

     103       100  

Sequoia Mortgage Trust, Ser 2018-CH4, Cl B1B

                

5.025%, 10/25/2048(B)(D)

     2,365       2,363  

SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A2B

                

4.144%, 01/05/2043(B)(D)

     115       118  

SMRT, Ser 2022-MINI, Cl A

                

1.100%, TSFR1M + 1.000%, 01/15/2024(B)(D)

     7,460       7,336  

STACR Trust, Ser 2018-DNA3, Cl M2A

                

2.287%, ICE LIBOR USD 1 Month + 2.100%, 09/25/2048(B)(D)

     1,284       1,286  

STAR Trust, Ser 2021-1, Cl A1

                

1.219%, 05/25/2065(B)(D)

     920       913  

Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1

                

2.275%, 02/25/2050(B)(D)

     545       542  

Starwood Mortgage Residential Trust, Ser 2020-3, Cl A1

                

1.486%, 04/25/2065(B)(D)

     768       762  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Starwood Mortgage Residential Trust, Ser 2020-INV1, Cl A1

                

1.027%, 11/25/2055(B)(D)

   $ 626     $ 618  

Starwood Mortgage Residential Trust, Ser 2021-4, Cl A1

                

1.162%, 08/25/2056(B)(D)

     2,073       2,023  

Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 1A1

                

0.507%, ICE LIBOR USD 1 Month + 0.320%, 10/25/2035(B)

     881       875  

Structured Asset Mortgage Investments II Trust, Ser 2004-AR5, Cl 1A1

                

0.822%, ICE LIBOR USD 1 Month + 0.660%, 10/19/2034(B)

     55       54  

Structured Asset Mortgage Investments II Trust, Ser 2005-AR1, Cl A1

                

0.642%, ICE LIBOR USD 1 Month + 0.480%, 04/19/2035(B)

     1,041       1,023  

Structured Asset Securities, Ser 2003-31A, Cl 2A7

                

2.306%, 10/25/2033(B)

     1,089       1,115  

Structured Asset Securities, Ser 2003-37A, Cl 2A

                

2.028%, 12/25/2033(B)

     33       34  

Thornburg Mortgage Securities Trust, Ser 2003-4, Cl A1

                

0.827%, ICE LIBOR USD 1 Month + 0.640%, 09/25/2043(B)

     105       106  

Towd Point Mortgage Trust, Ser 2021-1, Cl A1

                

2.250%, 11/25/2061(B)(D)

     1,580       1,571  

UBS Commercial Mortgage Trust, Ser 2018-C11, Cl B

                

4.713%, 06/15/2051(B)

     1,750       1,814  

UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl B

                

4.365%, 08/10/2049(B)(D)

     435       438  

UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A4

                

2.792%, 12/10/2045

     1,566       1,568  

Verus Securitization Trust, Ser 2019-3, Cl A1

                

2.784%, 07/25/2059(D)

     558       559  

Verus Securitization Trust, Ser 2019-4, Cl A1

                

2.642%, 11/25/2059(D)

     839       840  

Verus Securitization Trust, Ser 2019-INV2, Cl A1

                

2.913%, 07/25/2059(B)(D)

     444       445  

Verus Securitization Trust, Ser 2019-INV3, Cl A1

                

2.692%, 11/25/2059(B)(D)

     1,014       1,016  

Verus Securitization Trust, Ser 2020-2, Cl A1

                

2.226%, 05/25/2060(B)(D)

     775       770  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

197

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Verus Securitization Trust, Ser 2020-5, Cl A1

                

1.218%, 05/25/2065(D)

   $ 305     $ 300  

Verus Securitization Trust, Ser 2021-1, Cl A1

                

0.815%, 01/25/2066(B)(D)

     1,099       1,075  

Verus Securitization Trust, Ser 2021-2, Cl A1

                

1.031%, 02/25/2066(B)(D)

     2,093       2,046  

Verus Securitization Trust, Ser 2021-3, Cl A1

                

1.046%, 06/25/2066(B)(D)

     1,475       1,436  

Verus Securitization Trust, Ser 2021-4, Cl A1

                

0.938%, 07/25/2066(B)(D)

     1,691       1,619  

Verus Securitization Trust, Ser 2021-5, Cl A1

                

1.013%, 09/25/2066(B)(D)

     6,397       6,118  

Verus Securitization Trust, Ser 2021-7, Cl A1

                

1.829%, 10/25/2066(B)(D)

     2,545       2,483  

Verus Securitization Trust, Ser 2021-8, Cl A1

                

1.824%, 11/25/2066(B)(D)

     1,862       1,815  

Verus Securitization Trust, Ser 2021-R1, Cl A1

                

0.820%, 10/25/2063(B)(D)

     1,140       1,129  

Verus Securitization Trust, Ser 2021-R3, Cl A1

                

1.020%, 04/25/2064(B)(D)

     1,166       1,153  

Visio Trust, Ser 2020-1R, Cl A1

                

1.312%, 11/25/2055(D)

     738       727  

VNDO Mortgage Trust, Ser 2012-6AVE, Cl A

                

2.996%, 11/15/2030(D)

     100       101  

VNDO Mortgage Trust, Ser 2016-350P, Cl A

                

3.805%, 01/10/2035(D)

     1,210       1,249  

WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7

                

2.494%, 10/25/2033(B)

     45       45  

WaMu Mortgage Pass-Through Certificates, Ser 2003-AR6, Cl A1

                

2.562%, 06/25/2033(B)

     42       42  

WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7

                

2.374%, 08/25/2033(B)

     40       40  

WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6

                

2.517%, 09/25/2033(B)

     98       97  

WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10

                

16.949%, 06/25/2033(B)

     7       7  

WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8

                

5.250%, 10/25/2033

     172       174  

WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2

                

2.601%, 06/25/2034(B)

     29       30  

WaMu Mortgage Pass-Through Certificates, Ser 2004-AR4, Cl A6

                

2.633%, 06/25/2034(B)

     2,577       2,604  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

WaMu Mortgage Pass-Through Certificates, Ser 2004-AR7, Cl A6

                

2.552%, 07/25/2034(B)

   $ 3,093     $ 3,144  

WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A1

                

0.707%, ICE LIBOR USD 1 Month + 0.520%, 11/25/2045(B)

     6,322       6,213  

WaMu Mortgage Pass-Through Certificates, Ser 2005-AR19, Cl A1A1

                

0.727%, ICE LIBOR USD 1 Month + 0.540%, 12/25/2045(B)

     3,623       3,687  

WaMu Mortgage Pass-Through Certificates, Ser 2006-AR1, Cl 1A1B

                

1.174%, 12 Month Treas Avg + 1.070%, 01/25/2046(B)

     1,086       853  

WaMu Mortgage Pass-Through Certificates, Ser 2006-AR14, Cl 1A4

                

2.562%, 11/25/2036(B)

     70       68  

WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 2A

                

1.718%, Cost of Funds 11th District of San Fran + 1.500%, 12/25/2046(B)

     155       157  

WaMu Mortgage Pass-Through Certificates, Ser 2006-AR17, Cl 1A1B

                

0.898%, 12 Month Treas Avg + 0.810%, 12/25/2046(B)

     100       91  

Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-3, Cl CX, IO

                

5.500%, 05/25/2035

     142       24  

Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS2, Cl 1A1

                

5.750%, 02/25/2033

     6       6  

Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS8, Cl 1P, PO

                

0.000%, 05/25/2033(C)

     3       2  

Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS9, Cl 2P, PO

                

0.000%, 04/25/2033(C)

     25       23  

Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl C

                

4.693%, 09/15/2022(B)

     1,530       1,544  

Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl B

                

4.142%, 10/15/2045

     1,455       1,467  

Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR14, Cl A1

                

2.623%, 08/25/2035(B)

     19       19  

WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO

                

1.179%, 06/15/2045(B)(D)

     1,406       –  

 

 

 

198

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

WFRBS Commercial Mortgage Trust, Ser 2013-C12, Cl XA, IO

                

1.089%, 03/15/2048(B)(D)

   $ 5,329     $ 42  

WFRBS Commercial Mortgage Trust, Ser 2013-C12, Cl C

                

4.317%, 03/15/2048(B)

     490       493  

WFRBS Commercial Mortgage Trust, Ser 2013-C15, Cl A4

                

4.153%, 08/15/2046(B)

     150       152  

WFRBS Commercial Mortgage Trust, Ser 2013-C17, Cl A4

                

4.023%, 12/15/2046

     120       123  

WFRBS Commercial Mortgage Trust, Ser 2014-C19, Cl B

                

4.723%, 03/15/2047(B)

     210       213  

WFRBS Commercial Mortgage Trust, Ser 2014-C19, Cl A3

                

3.660%, 03/15/2047

     293       292  

WFRBS Commercial Mortgage Trust, Ser 2014-C19, Cl XA, IO

                

0.991%, 03/15/2047(B)

     4,010       58  

WFRBS Commercial Mortgage Trust, Ser 2014-C21, Cl B

                

4.213%, 08/15/2047(B)

     2,180       2,190  

WFRBS Commercial Mortgage Trust, Ser 2014-C21, Cl XA, IO

                

1.014%, 08/15/2047(B)

     11,206       220  

WFRBS Commercial Mortgage Trust, Ser 2014-C22, Cl B

                

4.371%, 09/15/2057(B)

     970       992  

WFRBS Commercial Mortgage Trust, Ser 2014-C23, Cl XA, IO

                

0.560%, 10/15/2057(B)

     4,298       53  

WFRBS Commercial Mortgage Trust, Ser 2014-C24, Cl AS

                

3.931%, 11/15/2047

     1,330       1,352  
                 
                 
              530,389  

Total Mortgage-Backed Securities

                

(Cost $2,967,286) ($ Thousands)

             2,934,060  
                 
                 
                 

CORPORATE OBLIGATIONS — 28.7%

Communication Services — 3.1%

        

Alphabet

               

2.050%, 08/15/2050

    630       508  

1.100%, 08/15/2030

    400       361  

0.800%, 08/15/2027

    350       324  

0.450%, 08/15/2025

    180       171  

AT&T

               

6.500%, 09/01/2037 (E)

     2,770       3,483  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

5.550%, 08/15/2041

  $ 240     $ 286  

5.350%, 09/01/2040

    310       363  

5.250%, 03/01/2037

    3,910       4,595  

4.850%, 03/01/2039

    414       457  

4.750%, 05/15/2046

    1,335       1,480  

4.500%, 05/15/2035

    2,740       3,001  

4.500%, 03/09/2048

    195       209  

4.350%, 03/01/2029

    515       560  

4.350%, 06/15/2045

    1,082       1,121  

3.800%, 12/01/2057

    10,427       9,783  

3.650%, 06/01/2051

    618       583  

3.650%, 09/15/2059

    1,849       1,677  

3.550%, 09/15/2055

    1,231       1,116  

3.500%, 06/01/2041

    823       783  

3.500%, 09/15/2053

    11,735       10,730  

3.500%, 02/01/2061

    772       680  

3.300%, 02/01/2052

    902       801  

3.100%, 02/01/2043

    2,303       2,056  

2.550%, 12/01/2033

    5,763       5,345  

2.300%, 06/01/2027

    1,200       1,184  

2.250%, 02/01/2032

    3,570       3,295  

1.700%, 03/25/2026

    7,112       6,922  

1.650%, 02/01/2028

    4,440       4,186  

Charter Communications Operating LLC / Charter Communications Operating Capital

               

6.484%, 10/23/2045

    110       131  

6.384%, 10/23/2035

    170       203  

5.750%, 04/01/2048

    2,710       2,996  

5.375%, 04/01/2038

    1,480       1,548  

5.375%, 05/01/2047

    250       264  

5.050%, 03/30/2029

    2,530       2,750  

4.908%, 07/23/2025

    2,190       2,321  

4.800%, 03/01/2050

    1,650       1,614  

4.400%, 12/01/2061

    668       595  

4.200%, 03/15/2028

    980       1,022  

3.900%, 06/01/2052

    2,135       1,857  

3.750%, 02/15/2028

    681       694  

3.700%, 04/01/2051

    404       339  

3.500%, 06/01/2041

    1,020       881  

3.500%, 03/01/2042

    2,184       1,883  

2.250%, 01/15/2029

    2,269       2,095  

Comcast

               

7.050%, 03/15/2033

    50       66  

4.400%, 08/15/2035

    3,525       3,890  

4.250%, 10/15/2030

    1,010       1,111  

4.250%, 01/15/2033

    360       393  

4.200%, 08/15/2034

    570       623  

4.150%, 10/15/2028

    3,480       3,772  

4.000%, 03/01/2048

    110       113  

3.969%, 11/01/2047

    120       122  

3.950%, 10/15/2025

    1,110       1,171  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

199

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.750%, 04/01/2040

  $ 100     $ 101  

3.700%, 04/15/2024

    1,100       1,140  

3.400%, 04/01/2030

    2,505       2,584  

3.400%, 07/15/2046

    60       56  

3.300%, 04/01/2027

    310       322  

3.250%, 11/01/2039

    250       237  

3.150%, 03/01/2026

    800       825  

2.937%, 11/01/2056 (D)

     844       710  

2.887%, 11/01/2051 (D)

     682       592  

2.800%, 01/15/2051

    270       225  

2.650%, 08/15/2062

    1,959       1,521  

2.450%, 08/15/2052

    392       316  

1.500%, 02/15/2031

    5,940       5,280  

Comcast Cable Communications Holdings

               

9.455%, 11/15/2022

    240       254  

Comcast Cable Holdings LLC

               

10.125%, 04/15/2022 (E)

     190       190  

Cox Communications

               

4.800%, 02/01/2035 (D)

     1,665       1,832  

2.600%, 06/15/2031 (D)

     1,220       1,149  

Cox Enterprises

               

7.375%, 07/15/2027 (D)

     2,895       3,509  

Fox

               

5.476%, 01/25/2039

    270       315  

4.709%, 01/25/2029

    210       229  

3.500%, 04/08/2030

    560       572  

Level 3 Financing

               

3.875%, 11/15/2029 (D)

     6,120       5,845  

3.400%, 03/01/2027 (D)

     895       880  

Netflix

               

5.875%, 11/15/2028

    1,477       1,670  

5.375%, 11/15/2029 (D)

     1,072       1,197  

3.625%, 06/15/2025 (D)

     1,375       1,406  

NTT Finance

               

1.162%, 04/03/2026 (D)

     4,810       4,573  

Paramount Global

               

6.875%, 04/30/2036

    1,175       1,482  

5.900%, 10/15/2040

    840       1,005  

4.950%, 01/15/2031

    428       464  

4.750%, 05/15/2025

    2,640       2,819  

3.875%, 04/01/2024

    230       239  

3.700%, 08/15/2024

    1,505       1,564  

Rogers Communications

               

4.100%, 10/01/2023

    133       137  

SES GLOBAL Americas Holdings GP

               

5.300%, 03/25/2044 (D)

     2,000       2,089  

Sky

               

3.750%, 09/16/2024 (D)

     2,045       2,124  

Sprint Capital

               

8.750%, 03/15/2032

    200       277  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC

               

5.152%, 03/20/2028 (D)

   $ 10,500     $ 11,294  

4.738%, 03/20/2025 (D)

     4,623       4,762  

Telefonica Emisiones

               

4.103%, 03/08/2027

    150       159  

Tencent Holdings MTN

               

3.840%, 04/22/2051 (D)

     2,320       2,126  

3.595%, 01/19/2028 (D)

     2,370       2,415  

Time Warner Cable LLC

               

7.300%, 07/01/2038

    100       125  

6.750%, 06/15/2039

    170       206  

6.550%, 05/01/2037

    40       48  

5.875%, 11/15/2040

    2,595       2,904  

5.500%, 09/01/2041

    4,882       5,204  

Time Warner Entertainment

               

8.375%, 07/15/2033

    1,380       1,883  

T-Mobile USA

               

4.375%, 04/15/2040

    2,770       2,865  

3.875%, 04/15/2030

    6,615       6,841  

3.750%, 04/15/2027

    4,608       4,784  

3.500%, 04/15/2025

    720       740  

3.500%, 04/15/2031 (D)

     3,261       3,210  

3.400%, 10/15/2052 (D)

     4,130       3,660  

3.375%, 04/15/2029 (D)

     7,661       7,497  

3.300%, 02/15/2051

    210       183  

3.000%, 02/15/2041

    480       416  

2.875%, 02/15/2031

    524       492  

2.700%, 03/15/2032 (D)

     2,680       2,520  

2.550%, 02/15/2031

    2,945       2,760  

2.250%, 02/15/2026 (D)

     9,182       8,860  

2.250%, 11/15/2031

    790       715  

Verizon Communications

               

5.500%, 03/16/2047

    100       126  

5.250%, 03/16/2037

    1,100       1,311  

4.862%, 08/21/2046

    270       323  

4.500%, 08/10/2033

    470       522  

4.400%, 11/01/2034

    5,360       5,909  

4.329%, 09/21/2028

    3,607       3,928  

4.125%, 03/16/2027

    330       351  

4.125%, 08/15/2046

    430       448  

4.016%, 12/03/2029

    1,337       1,435  

4.000%, 03/22/2050

    1,330       1,365  

3.875%, 03/01/2052

    782       809  

3.850%, 11/01/2042

    1,750       1,760  

3.700%, 03/22/2061

    2,421       2,308  

3.550%, 03/22/2051

    2,185       2,116  

3.400%, 03/22/2041

    1,556       1,498  

3.150%, 03/22/2030

    580       582  

3.000%, 03/22/2027

    220       223  

2.875%, 11/20/2050

    1,732       1,480  

2.650%, 11/20/2040

    4,808       4,172  

 

 

 

200

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.625%, 08/15/2026

  $ 940     $ 938  

2.550%, 03/21/2031

    6,379       6,123  

2.355%, 03/15/2032 (D)

     9,034       8,435  

2.100%, 03/22/2028

    700       676  

1.750%, 01/20/2031

    1,640       1,476  

1.680%, 10/30/2030

    1,548       1,391  

Vodafone Group PLC

               

5.250%, 05/30/2048

    2,370       2,717  

5.000%, 05/30/2038

    386       438  

4.875%, 06/19/2049

    3,011       3,343  

4.375%, 05/30/2028

    1,010       1,092  

4.250%, 09/17/2050

    309       316  

Walt Disney

               

8.875%, 04/26/2023

    150       162  

6.650%, 11/15/2037

    260       354  

6.200%, 12/15/2034

    265       342  

4.700%, 03/23/2050

    1,035       1,224  

4.625%, 03/23/2040

    2,385       2,730  

3.600%, 01/13/2051

    1,735       1,756  
                 
              289,092  
                 

Consumer Discretionary — 1.4%

        

7-Eleven

               

0.625%, 02/10/2023 (D)

     3,555       3,527  

Advance Auto Parts

               

3.900%, 04/15/2030

    3,088       3,192  

Alimentation Couche-Tard

               

3.550%, 07/26/2027 (D)

     2,200       2,278  

Amazon.com

               

4.950%, 12/05/2044

    600       744  

4.800%, 12/05/2034

    187       225  

4.250%, 08/22/2057

    160       185  

4.050%, 08/22/2047

    570       635  

3.875%, 08/22/2037

    5,250       5,749  

3.250%, 05/12/2061

    410       390  

3.150%, 08/22/2027

    160       167  

3.100%, 05/12/2051

    4,886       4,723  

2.700%, 06/03/2060

    785       670  

2.500%, 06/03/2050

    880       760  

2.100%, 05/12/2031

    4,183       4,027  

1.650%, 05/12/2028

    3,161       3,041  

1.500%, 06/03/2030

    540       500  

1.200%, 06/03/2027

    1,090       1,036  

1.000%, 05/12/2026

    5,263       5,068  

0.800%, 06/03/2025

    880       849  

American Honda Finance MTN

               

2.000%, 03/24/2028

    725       699  

AutoNation

               

4.750%, 06/01/2030

    3,442       3,709  

BMW US Capital LLC

               

3.800%, 04/06/2023 (D)

     1,780       1,822  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Daimler Finance North America LLC

               

2.700%, 06/14/2024 (D)

   $ 990     $ 1,004  

0.750%, 03/01/2024 (D)

     3,010       2,932  

Dick's Sporting Goods

               

4.100%, 01/15/2052

    2,454       2,148  

Dollar General

               

3.250%, 04/15/2023

    70       71  

Ford Motor

               

4.750%, 01/15/2043

    630       610  

Ford Motor Credit LLC

               

4.271%, 01/09/2027

    1,340       1,350  

4.063%, 11/01/2024

    618       627  

4.000%, 11/13/2030

    297       295  

3.625%, 06/17/2031

    1,712       1,646  

3.096%, 05/04/2023

    200       202  

2.900%, 02/10/2029 (E)

     2,035       1,900  

2.700%, 08/10/2026

    3,438       3,292  

1.490%, ICE LIBOR USD 3 Month + 1.270%, 03/28/2022 (B)

     2,200       2,201  

General Motors

               

6.250%, 10/02/2043

    940       1,142  

5.150%, 04/01/2038

    150       162  

General Motors Financial

               

4.350%, 01/17/2027

    180       189  

3.450%, 04/10/2022

    515       516  

3.150%, 06/30/2022

    3,095       3,112  

3.100%, 01/12/2032

    1,610       1,537  

Home Depot

               

3.900%, 12/06/2028

    80       86  

3.900%, 06/15/2047

    100       106  

3.350%, 04/15/2050

    800       782  

3.300%, 04/15/2040

    857       857  

3.125%, 12/15/2049

    1,497       1,411  

2.700%, 04/15/2030

    480       478  

2.500%, 04/15/2027

    430       434  

2.375%, 03/15/2051

    1,233       1,014  

Hyatt Hotels

               

1.800%, 10/01/2024

    2,515       2,461  

Hyundai Capital America

               

1.800%, 10/15/2025 (D)

     1,569       1,516  

Hyundai Capital America MTN

               

2.000%, 06/15/2028 (D)

     770       716  

1.300%, 01/08/2026 (D)

     1,714       1,619  

0.800%, 01/08/2024 (D)

     2,052       1,993  

Hyundai Capital Services

               

2.125%, 04/24/2025 (D)

     1,205       1,178  

Las Vegas Sands

               

3.200%, 08/08/2024

    1,480       1,459  

2.900%, 06/25/2025

    140       135  

Lennar

               

4.500%, 04/30/2024

    2,845       2,959  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

201

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Lowe's

               

5.000%, 04/15/2040

  $ 2,315     $ 2,655  

4.500%, 04/15/2030

    320       353  

2.500%, 04/15/2026

    260       263  

1.700%, 09/15/2028

    900       845  

Marriott International /Maryland

               

5.750%, 05/01/2025

    473       518  

4.625%, 06/15/2030

    2,746       2,965  

3.500%, 10/15/2032

    1,162       1,159  

2.850%, 04/15/2031

    1,899       1,810  

McDonald's MTN

               

4.875%, 12/09/2045

    670       760  

4.200%, 04/01/2050

    1,250       1,336  

3.800%, 04/01/2028

    1,220       1,293  

3.700%, 01/30/2026

    1,065       1,121  

3.625%, 09/01/2049

    355       349  

3.600%, 07/01/2030

    460       483  

3.500%, 03/01/2027

    180       188  

3.500%, 07/01/2027

    510       534  

3.300%, 07/01/2025

    480       494  

2.125%, 03/01/2030

    420       398  

1.450%, 09/01/2025

    850       829  

Newell Brands

               

4.700%, 04/01/2026

    560       580  

4.350%, 04/01/2023

    376       382  

NIKE

               

3.375%, 03/27/2050

    20       20  

3.250%, 03/27/2040

    330       330  

2.850%, 03/27/2030

    650       661  

2.750%, 03/27/2027

    640       657  

2.400%, 03/27/2025

    400       405  

QVC

               

4.850%, 04/01/2024

    735       744  

Sands China

               

5.125%, 08/08/2025

    810       802  

Starbucks

               

3.500%, 11/15/2050

    1,780       1,667  

3.350%, 03/12/2050

    250       227  

3.000%, 02/14/2032 (E)

     2,445       2,431  

1.300%, 05/07/2022

    974       974  

Tapestry

               

3.050%, 03/15/2032

    2,753       2,619  

Target

               

2.950%, 01/15/2052

    1,732       1,641  

2.250%, 04/15/2025

    710       714  

1.950%, 01/15/2027

    1,539       1,526  

Volkswagen Group of America Finance LLC

               

2.900%, 05/13/2022 (D)

     3,135       3,146  

1.250%, 11/24/2025 (D)

     2,520       2,401  

0.875%, 11/22/2023 (D)

     2,420       2,370  
                 
              130,786  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Consumer Staples — 1.9%

        

Adani International Container Terminal PVT

               

3.000%, 02/16/2031 (D)

   $ 612     $ 568  

Adani Ports and Special Economic Zone

               

4.200%, 08/04/2027 (D)

     1,407       1,405  

Advocate Health & Hospitals

               

2.211%, 06/15/2030

    3,565       3,419  

Aetna

               

3.875%, 08/15/2047

    360       361  

2.800%, 06/15/2023

    3,648       3,696  

Alcon Finance

               

3.000%, 09/23/2029 (D)

     3,845       3,808  

Altria Group

               

5.950%, 02/14/2049

    380       422  

5.800%, 02/14/2039

    1,065       1,167  

4.800%, 02/14/2029

    11       12  

4.400%, 02/14/2026

    203       216  

3.400%, 02/04/2041

    970       803  

2.450%, 02/04/2032

    6,560       5,857  

2.350%, 05/06/2025

    513       511  

Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide

               

4.900%, 02/01/2046

    9,141       10,329  

4.700%, 02/01/2036

    2,182       2,432  

3.650%, 02/01/2026

    1,978       2,066  

Anheuser-Busch InBev Worldwide

               

5.550%, 01/23/2049

    1,600       1,981  

5.450%, 01/23/2039

    1,150       1,370  

4.750%, 01/23/2029

    1,420       1,576  

4.600%, 04/15/2048

    4,030       4,418  

4.500%, 06/01/2050

    1,860       2,047  

4.375%, 04/15/2038

    2,353       2,528  

4.350%, 06/01/2040

    970       1,034  

4.000%, 04/13/2028

    310       330  

3.750%, 07/15/2042

    701       692  

3.500%, 06/01/2030

    1,068       1,116  

Archer-Daniels-Midland

               

2.900%, 03/01/2032

    1,571       1,589  

Bacardi

               

4.700%, 05/15/2028 (D)

     775       842  

4.450%, 05/15/2025 (D)

     3,780       3,977  

BAT Capital

               

4.700%, 04/02/2027

    500       531  

4.540%, 08/15/2047

    4,705       4,344  

4.390%, 08/15/2037

    1,090       1,045  

3.984%, 09/25/2050

    1,035       891  

3.557%, 08/15/2027

    6,295       6,335  

2.726%, 03/25/2031

    1,495       1,370  

2.259%, 03/25/2028

    795       742  

Bayer US Finance II LLC

               

4.375%, 12/15/2028 (D)

     3,750       3,998  

4.250%, 12/15/2025 (D)

     3,105       3,261  

 

 

 

202

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Bayer US Finance LLC

               

3.375%, 10/08/2024 (D)

   $ 1,475     $ 1,504  

Bon Secours Mercy Health

               

3.464%, 06/01/2030

    1,480       1,560  

Bunge Finance

               

3.750%, 09/25/2027

    1,450       1,507  

2.750%, 05/14/2031

    920       876  

1.630%, 08/17/2025

    1,343       1,304  

Cargill

               

1.375%, 07/23/2023 (D)

     690       687  

Coca-Cola

               

3.375%, 03/25/2027

    330       348  

2.600%, 06/01/2050

    200       175  

2.500%, 06/01/2040

    310       281  

1.450%, 06/01/2027 (E)

     630       604  

CommonSpirit Health

               

3.347%, 10/01/2029

    1,025       1,035  

2.782%, 10/01/2030

    1,930       1,883  

Constellation Brands

               

4.400%, 11/15/2025

    775       823  

3.200%, 02/15/2023

    6,200       6,273  

Costco Wholesale

               

1.750%, 04/20/2032

    560       517  

1.375%, 06/20/2027

    1,220       1,173  

CVS Pass-Through Trust

               

6.036%, 12/10/2028

    1,286       1,407  

5.926%, 01/10/2034 (D)

     140       162  

5.880%, 01/10/2028

    81       88  

5.789%, 01/10/2026 (D)

     561       590  

Danone

               

2.947%, 11/02/2026 (D)

     450       460  

2.589%, 11/02/2023 (D)

     1,580       1,595  

Diageo Investment

               

2.875%, 05/11/2022

    980       984  

DP World MTN

               

5.625%, 09/25/2048 (D)

     2,790       3,111  

Fresenius Medical Care US Finance III

               

1.875%, 12/01/2026 (D)

     2,440       2,337  

Hershey

               

0.900%, 06/01/2025

    210       202  

Imperial Brands Finance PLC

               

4.250%, 07/21/2025 (D)

     3,165       3,303  

3.500%, 02/11/2023 (D)

     1,450       1,463  

JBS USA LUX/ JBS USA Food/ JBS USA Finance

               

3.750%, 12/01/2031 (D)

     670       618  

3.000%, 02/02/2029 (D)

     2,235       2,110  

3.000%, 05/15/2032 (D)

     2,765       2,440  

Keurig Dr Pepper

               

4.417%, 05/25/2025

    380       402  

Kimberly-Clark

               

3.100%, 03/26/2030

    200       207  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Kraft Heinz Foods

               

5.000%, 06/04/2042

  $ 1,585     $ 1,747  

4.875%, 10/01/2049

    3,945       4,369  

3.000%, 06/01/2026

    583       582  

Kroger

               

4.450%, 02/01/2047

    275       299  

Land O' Lakes

               

6.000%, 11/15/2022 (D)

     1,890       1,929  

Molson Coors Beverage

               

3.500%, 05/01/2022

    220       221  

Molson Coors Brewing

               

4.200%, 07/15/2046

    2,679       2,663  

Mondelez International

               

1.500%, 05/04/2025

    1,070       1,042  

Mondelez International Holdings Netherlands BV

               

2.125%, 09/19/2022 (D)

     450       453  

PepsiCo

               

2.875%, 10/15/2049

    250       237  

2.625%, 03/19/2027

    80       82  

2.250%, 03/19/2025

    80       81  

1.625%, 05/01/2030

    30       28  

0.750%, 05/01/2023

    820       813  

Philip Morris International

               

2.500%, 08/22/2022

    1,530       1,541  

2.500%, 11/02/2022

    1,250       1,259  

2.100%, 05/01/2030

    460       432  

1.125%, 05/01/2023

    410       409  

Procter & Gamble

               

3.100%, 08/15/2023

    140       143  

3.000%, 03/25/2030

    380       396  

2.800%, 03/25/2027

    130       134  

Reckitt Benckiser Treasury Services PLC

               

2.750%, 06/26/2024 (D)

     3,675       3,717  

Reynolds American

               

8.125%, 05/01/2040

    1,060       1,382  

7.250%, 06/15/2037

    745       916  

6.150%, 09/15/2043

    480       533  

5.850%, 08/15/2045

    4,055       4,388  

Roche Holdings

               

2.607%, 12/13/2051 (D)

     3,154       2,790  

2.076%, 12/13/2031 (D)

     2,784       2,645  

Shire Acquisitions Investments Ireland

               

2.875%, 09/23/2023

    4,963       5,027  

Smith & Nephew PLC

               

2.032%, 10/14/2030

    1,245       1,130  

Takeda Pharmaceutical

               

5.000%, 11/26/2028

    980       1,105  

4.400%, 11/26/2023

    4,309       4,473  

2.050%, 03/31/2030

    2,118       1,965  

Trustees of the University of Pennsylvania

               

3.610%, 02/15/2119

    43       43  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

203

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Walmart

               

3.300%, 04/22/2024

  $ 175     $ 181  

2.500%, 09/22/2041

    385       353  

2.375%, 09/24/2029

    100       100  

1.800%, 09/22/2031

    200       188  

1.500%, 09/22/2028

    810       771  
                 
              175,685  
                 

Energy — 2.7%

        

Aker BP

               

4.000%, 01/15/2031 (D)

     1,094       1,119  

Apache

               

5.100%, 09/01/2040

    110       110  

4.750%, 04/15/2043 (E)

     420       400  

4.375%, 10/15/2028

    990       1,002  

4.250%, 01/15/2030

    20       20  

4.250%, 01/15/2044 (E)

     1,130       1,003  

BP Capital Markets America

               

3.796%, 09/21/2025

    90       95  

3.790%, 02/06/2024

    150       155  

3.633%, 04/06/2030

    480       500  

3.194%, 04/06/2025

    1,990       2,040  

3.119%, 05/04/2026

    400       410  

3.000%, 02/24/2050

    1,890       1,615  

BP Capital Markets PLC

               

3.535%, 11/04/2024

    150       156  

3.506%, 03/17/2025

    340       352  

Cameron LNG LLC

               

3.302%, 01/15/2035 (D)

     1,670       1,642  

2.902%, 07/15/2031 (D)

     1,530       1,508  

Canadian Natural Resources

               

6.450%, 06/30/2033

    200       246  

Cheniere Corpus Christi Holdings LLC

               

3.700%, 11/15/2029

    1,846       1,881  

Chevron

               

3.191%, 06/24/2023

    95       97  

3.078%, 05/11/2050

    950       914  

2.954%, 05/16/2026

    1,100       1,136  

2.355%, 12/05/2022

    290       292  

1.995%, 05/11/2027

    1,280       1,261  

1.554%, 05/11/2025

    830       817  

Chevron USA

               

3.850%, 01/15/2028

    990       1,066  

1.018%, 08/12/2027

    875       819  

ConocoPhillips

               

6.950%, 04/15/2029

    995       1,271  

4.300%, 08/15/2028 (D)

     1,130       1,246  

4.150%, 11/15/2034

    753       809  

3.750%, 10/01/2027 (D)

     1,385       1,479  

Continental Resources/Oklahoma

               

4.900%, 06/01/2044

    810       816  

4.500%, 04/15/2023

    480       490  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.375%, 01/15/2028

  $ 810     $ 837  

3.800%, 06/01/2024

    770       786  

2.268%, 11/15/2026 (D)

     3,665       3,492  

Coterra Energy

               

4.375%, 06/01/2024 (D)

     80       83  

4.375%, 03/15/2029 (D)

     1,840       1,975  

3.900%, 05/15/2027 (D)

     1,740       1,813  

Devon Energy

               

7.875%, 09/30/2031

    1,580       2,125  

5.850%, 12/15/2025

    1,000       1,115  

5.600%, 07/15/2041

    680       795  

5.250%, 10/15/2027

    98       102  

5.000%, 06/15/2045 (E)

     1,640       1,828  

4.750%, 05/15/2042

    567       610  

4.500%, 01/15/2030

    256       268  

Diamondback Energy

               

4.400%, 03/24/2051

    1,023       1,060  

3.500%, 12/01/2029

    930       940  

3.250%, 12/01/2026

    380       388  

3.125%, 03/24/2031

    1,479       1,444  

2.875%, 12/01/2024

    280       283  

Ecopetrol

               

5.875%, 05/28/2045

    3,400       2,962  

4.125%, 01/16/2025

    167       167  

Energy Transfer

               

6.250%, 04/15/2049

    1,390       1,605  

6.125%, 12/15/2045

    969       1,088  

6.100%, 02/15/2042

    400       445  

5.500%, 06/01/2027

    620       683  

5.400%, 10/01/2047

    2,050       2,194  

5.350%, 05/15/2045

    1,265       1,337  

5.300%, 04/01/2044

    60       62  

5.300%, 04/15/2047

    2,033       2,124  

5.250%, 04/15/2029

    2,085       2,288  

5.150%, 03/15/2045

    2,379       2,424  

5.000%, 05/15/2050

    1,505       1,565  

4.950%, 05/15/2028

    2,592       2,774  

4.950%, 06/15/2028

    410       441  

4.400%, 03/15/2027

    1,528       1,603  

4.000%, 10/01/2027

    2,095       2,166  

3.750%, 05/15/2030

    2,560       2,601  

2.900%, 05/15/2025

    740       743  

Eni SpA

               

4.000%, 09/12/2023 (D)

     4,400       4,528  

Enterprise Products Operating LLC

               

7.550%, 04/15/2038

    60       81  

6.125%, 10/15/2039

    145       179  

4.850%, 03/15/2044

    60       65  

4.800%, 02/01/2049

    230       251  

4.200%, 01/31/2050

    2,910       2,924  

4.150%, 10/16/2028

    1,580       1,703  

3.950%, 01/31/2060

    300       282  

 

 

 

204

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.700%, 01/31/2051

  $ 510     $ 475  

3.125%, 07/31/2029

    350       354  

2.800%, 01/31/2030

    1,800       1,770  

EOG Resources

               

4.950%, 04/15/2050

    1,730       2,101  

4.375%, 04/15/2030

    860       949  

4.150%, 01/15/2026

    270       288  

3.900%, 04/01/2035

    590       633  

Equinor

               

3.000%, 04/06/2027

    2,845       2,918  

2.875%, 04/06/2025

    4,615       4,699  

Exxon Mobil

               

4.327%, 03/19/2050

    760       859  

4.227%, 03/19/2040

    575       633  

4.114%, 03/01/2046

    910       993  

3.482%, 03/19/2030

    730       771  

3.452%, 04/15/2051

    1,914       1,892  

3.043%, 03/01/2026

    1,140       1,179  

2.992%, 03/19/2025

    5,715       5,868  

1.571%, 04/15/2023

    70       70  

Galaxy Pipeline Assets Bidco

               

2.940%, 09/30/2040 (D)

     696       640  

2.625%, 03/31/2036 (D)

     1,164       1,051  

2.160%, 03/31/2034 (D)

     1,678       1,560  

1.750%, 09/30/2027 (D)

     4,716       4,584  

Halliburton

               

3.800%, 11/15/2025

    28       29  

Hess

               

6.000%, 01/15/2040

    2,240       2,646  

5.600%, 02/15/2041

    1,580       1,812  

HollyFrontier

               

5.875%, 04/01/2026

    1,265       1,371  

KazMunayGas National JSC

               

6.375%, 10/24/2048 (D)

     470       521  

5.750%, 04/19/2047 (D)

     1,390       1,449  

5.375%, 04/24/2030 (D)

     1,720       1,821  

Kinder Morgan

               

5.550%, 06/01/2045

    500       574  

5.200%, 03/01/2048

    1,365       1,509  

5.050%, 02/15/2046

    646       699  

4.300%, 06/01/2025

    1,105       1,158  

4.300%, 03/01/2028

    590       629  

3.600%, 02/15/2051

    942       847  

3.250%, 08/01/2050

    739       621  

Kinder Morgan Energy Partners

               

5.500%, 03/01/2044

    715       804  

5.400%, 09/01/2044

    40       45  

5.000%, 03/01/2043

    50       53  

Lukoil Capital DAC

               

3.600%, 10/26/2031 (D)

     3,700       2,227  

2.800%, 04/26/2027 (D)

     3,175       1,714  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Lundin Energy Finance BV

               

3.100%, 07/15/2031 (D)

   $ 5,033     $ 4,802  

2.000%, 07/15/2026 (D)

     2,757       2,662  

Marathon Oil

               

5.200%, 06/01/2045

    496       545  

MPLX

               

5.500%, 02/15/2049

    580       662  

5.200%, 03/01/2047

    320       352  

5.200%, 12/01/2047

    470       512  

4.800%, 02/15/2029

    120       132  

4.700%, 04/15/2048

    1,410       1,457  

4.500%, 04/15/2038

    810       834  

4.000%, 03/15/2028

    350       365  

Occidental Petroleum

               

7.875%, 09/15/2031

    140       173  

7.500%, 05/01/2031

    240       291  

6.950%, 07/01/2024

    3,107       3,371  

5.550%, 03/15/2026

    2,180       2,343  

4.625%, 06/15/2045

    400       385  

4.500%, 07/15/2044

    1,000       945  

4.400%, 04/15/2046

    200       190  

4.200%, 03/15/2048

    390       365  

4.100%, 02/15/2047

    1,040       962  

3.400%, 04/15/2026

    100       100  

3.200%, 08/15/2026

    1,740       1,740  

3.000%, 02/15/2027

    510       497  

Oleoducto Central

               

4.000%, 07/14/2027 (D)

     884       833  

Pertamina Persero

               

6.000%, 05/03/2042 (D)

     1,220       1,351  

Petrobras Global Finance

               

6.850%, 06/05/2115

    1,090       1,011  

6.250%, 03/17/2024

    1,930       2,043  

Petroleos del Peru

               

5.625%, 06/19/2047 (D)

     1,095       972  

4.750%, 06/19/2032 (D)

     4,690       4,525  

Petroleos Mexicanos

               

7.690%, 01/23/2050

    1,840       1,653  

6.950%, 01/28/2060

    210       174  

6.625%, 06/15/2035

    2,202       1,994  

5.625%, 01/23/2046 (E)

     1,650       1,270  

2.460%, 12/15/2025

    1,252       1,266  

2.378%, 04/15/2025

    609       615  

Petroleos Mexicanos MTN

               

6.875%, 08/04/2026

    90       95  

6.750%, 09/21/2047

    4,865       4,041  

Phillips 66

               

1.300%, 02/15/2026

    925       880  

Pioneer Natural Resources

               

2.150%, 01/15/2031

    1,590       1,467  

1.900%, 08/15/2030

    2,788       2,532  

1.125%, 01/15/2026

    180       171  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

205

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Plains All American Pipeline/PAA Finance

               

3.550%, 12/15/2029

  $ 895     $ 883  

Qatar Energy

               

3.300%, 07/12/2051 (D)

     1,720       1,619  

3.125%, 07/12/2041 (D)

     1,720       1,617  

2.250%, 07/12/2031 (D)

     2,670       2,515  

Reliance Industries

               

3.625%, 01/12/2052 (D)

     6,080       5,584  

2.875%, 01/12/2032 (D)

     1,280       1,197  

Rockies Express Pipeline LLC

               

6.875%, 04/15/2040 (D)

     1,270       1,295  

4.950%, 07/15/2029 (D)

     3,655       3,536  

Ruby Pipeline

               

8.000%, 04/01/2022 (D)(E)

     1,727       1,485  

Sabine Pass Liquefaction LLC

               

5.750%, 05/15/2024

    1,680       1,787  

5.000%, 03/15/2027

    3,145       3,412  

Saudi Arabian Oil

               

1.625%, 11/24/2025 (D)

     1,810       1,749  

1.250%, 11/24/2023 (D)

     840       830  

Schlumberger Holdings

               

4.000%, 12/21/2025 (D)

     660       689  

3.900%, 05/17/2028 (D)

     857       892  

Schlumberger Investment

               

3.650%, 12/01/2023

    100       103  

Shell International Finance BV

               

6.375%, 12/15/2038

    660       898  

4.550%, 08/12/2043

    490       559  

4.375%, 05/11/2045

    990       1,097  

4.125%, 05/11/2035

    3,510       3,818  

4.000%, 05/10/2046

    1,410       1,495  

3.750%, 09/12/2046

    100       105  

3.250%, 04/06/2050

    930       891  

3.000%, 11/26/2051

    1,175       1,070  

2.750%, 04/06/2030

    660       658  

Sinopec Group Overseas Development 2014

               

4.375%, 04/10/2024 (D)

     1,020       1,068  

Spectra Energy Partners

               

3.375%, 10/15/2026

    140       144  

Tennessee Gas Pipeline LLC

               

8.375%, 06/15/2032

    2,200       2,934  

2.900%, 03/01/2030 (D)

     3,255       3,121  

TransCanada PipeLines

               

4.625%, 03/01/2034

    2,415       2,634  

Transcontinental Gas Pipe Line LLC

               

7.850%, 02/01/2026

    1,820       2,145  

Western Midstream Operating

               

3.600%, 02/01/2025

    330       331  

1.844%, 01/13/2023 (B)

     220       219  

Williams

               

8.750%, 03/15/2032

    1,284       1,799  

7.750%, 06/15/2031

    339       443  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

7.500%, 01/15/2031

  $ 9     $ 12  

5.750%, 06/24/2044

    400       469  

5.100%, 09/15/2045

    670       739  

4.900%, 01/15/2045

    450       484  

3.750%, 06/15/2027

    410       427  
                 
              248,143  
                 

Financials — 9.7%

        

ABN AMRO Bank

               

2.470%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.100%, 12/13/2029 (B)(D)

     2,000       1,912  

Aegon

               

1.892%, USD ICE Swap 11:00 NY 10 Yr + 0.100%(B)(F)

     2,180       1,945  

Alleghany

               

3.250%, 08/15/2051

    1,166       994  

Ally Financial

               

1.450%, 10/02/2023

    1,235       1,219  

American Express

               

4.050%, 12/03/2042

    70       77  

3.400%, 02/27/2023

    285       289  

2.500%, 07/30/2024

    3,000       3,043  

American International Group

               

4.750%, 04/01/2048

    195       225  

3.900%, 04/01/2026

    565       595  

2.500%, 06/30/2025

    410       412  

Antares Holdings

               

3.750%, 07/15/2027 (D)

     1,914       1,863  

Aon

               

3.900%, 02/28/2052

    2,480       2,490  

Apollo Management Holdings

               

5.000%, 03/15/2048 (D)

     730       880  

4.400%, 05/27/2026 (D)

     1,015       1,091  

Ares Capital

               

3.200%, 11/15/2031

    1,950       1,762  

ASB Bank

               

2.375%, 10/22/2031 (D)

     1,520       1,432  

Athene Global Funding

               

3.000%, 07/01/2022 (D)

     400       402  

2.950%, 11/12/2026 (D)

     3,910       3,921  

2.717%, 01/07/2029 (D)

     1,245       1,201  

2.500%, 03/24/2028 (D)

     2,702       2,607  

1.985%, 08/19/2028 (D)

     4,565       4,214  

1.730%, 10/02/2026 (D)

     2,316       2,203  

0.750%, U.S. SOFR + 0.700%, 05/24/2024 (B)(D)

     2,425       2,427  

Athene Global Funding MTN

               

2.646%, 10/04/2031 (D)

     2,549       2,388  

Athene Holding

               

4.125%, 01/12/2028

    1,140       1,198  

 

 

 

206

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Avolon Holdings Funding

               

3.950%, 07/01/2024 (D)

   $ 535     $ 547  

2.875%, 02/15/2025 (D)

     1,420       1,407  

2.528%, 11/18/2027 (D)

     1,073       1,005  

Bain Capital Specialty Finance

               

2.550%, 10/13/2026

    1,271       1,194  

Banco Santander

               

3.848%, 04/12/2023

    1,200       1,222  

3.225%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.600%, 11/22/2032 (B)

     2,000       1,855  

2.749%, 12/03/2030

    2,200       2,005  

2.746%, 05/28/2025

    2,200       2,202  

1.722%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.900%, 09/14/2027 (B)

     2,655       2,510  

1.358%, ICE LIBOR USD 3 Month + 1.120%, 04/12/2023 (B)

     400       403  

Bank of America

               

3.483%, U.S. SOFR + 1.650%, 03/13/2052 (B)

     764       740  

3.419%, ICE LIBOR USD 3 Month + 1.040%, 12/20/2028 (B)

     4,803       4,910  

3.366%, ICE LIBOR USD 3 Month + 0.810%, 01/23/2026 (B)

     1,660       1,691  

3.004%, ICE LIBOR USD 3 Month + 0.790%, 12/20/2023 (B)

     5,429       5,477  

2.972%, U.S. SOFR + 1.330%, 02/04/2033 (B)

     7,483       7,331  

2.687%, U.S. SOFR + 1.320%, 04/22/2032 (B)

     6,663       6,408  

2.592%, U.S. SOFR + 2.150%, 04/29/2031 (B)

     2,335       2,232  

2.572%, U.S. SOFR + 1.210%, 10/20/2032 (B)

     6,120       5,794  

1.843%, U.S. SOFR + 0.670%, 02/04/2025 (B)(E)

     5,087       5,037  

1.734%, U.S. SOFR + 0.960%, 07/22/2027 (B)

     14,747       14,077  

1.658%, U.S. SOFR + 0.910%, 03/11/2027 (B)

     17,184       16,459  

Bank of America MTN

               

5.000%, 01/21/2044

    1,800       2,106  

4.450%, 03/03/2026

    5,035       5,365  

4.330%, ICE LIBOR USD 3 Month + 1.520%, 03/15/2050 (B)

     1,305       1,448  

4.271%, ICE LIBOR USD 3 Month + 1.310%, 07/23/2029 (B)

     625       666  

4.250%, 10/22/2026

    130       139  

4.200%, 08/26/2024

    2,720       2,832  

4.083%, ICE LIBOR USD 3 Month + 3.150%, 03/20/2051 (B)

     2,510       2,693  

4.000%, 04/01/2024

    2,110       2,189  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.000%, 01/22/2025

  $ 2,815     $ 2,923  

3.974%, ICE LIBOR USD 3 Month + 1.210%, 02/07/2030 (B)

     2,255       2,362  

3.970%, ICE LIBOR USD 3 Month + 1.070%, 03/05/2029 (B)

     1,780       1,861  

3.864%, ICE LIBOR USD 3 Month + 0.940%, 07/23/2024 (B)

     1,225       1,253  

3.593%, ICE LIBOR USD 3 Month + 1.370%, 07/21/2028 (B)

     710       733  

3.550%, ICE LIBOR USD 3 Month + 0.780%, 03/05/2024 (B)

     1,310       1,331  

3.500%, 04/19/2026

    1,604       1,662  

3.300%, 01/11/2023

    1,181       1,201  

3.194%, ICE LIBOR USD 3 Month + 1.180%, 07/23/2030 (B)

     1,170       1,170  

3.093%, ICE LIBOR USD 3 Month + 1.090%, 10/01/2025 (B)

     670       679  

2.884%, ICE LIBOR USD 3 Month + 1.190%, 10/22/2030 (B)

     480       471  

2.496%, ICE LIBOR USD 3 Month + 0.990%, 02/13/2031 (B)

     2,170       2,067  

2.087%, U.S. SOFR + 1.060%, 06/14/2029 (B)

     13,085       12,372  

1.922%, U.S. SOFR + 1.370%, 10/24/2031 (B)

     1,292       1,170  

1.530%, U.S. SOFR + 0.650%, 12/06/2025 (B)

     5,487       5,330  

1.319%, U.S. SOFR + 1.150%, 06/19/2026 (B)

     1,088       1,040  

1.197%, U.S. SOFR + 1.010%, 10/24/2026 (B)

     2,118       2,003  

Bank of Montreal MTN

               

2.550%, 11/06/2022

    200       202  

1.850%, 05/01/2025

    1,360       1,344  

Bank of New York Mellon MTN

               

3.650%, 02/04/2024

    150       155  

3.250%, 09/11/2024

    270       278  

3.250%, 05/16/2027

    270       280  

1.600%, 04/24/2025

    410       404  

Bank of Nova Scotia

               

4.900%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.551%(B)(F)

     1,385       1,408  

1.300%, 06/11/2025

    760       734  

Barclays Bank PLC

               

1.700%, 05/12/2022

    570       570  

Barclays PLC

               

4.375%, 01/12/2026

    4,430       4,667  

Barclays PLC MTN

               

4.972%, ICE LIBOR USD 3 Month + 1.902%, 05/16/2029 (B)

     1,070       1,159  

Berkshire Hathaway Finance

               

4.250%, 01/15/2049

    1,260       1,405  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

207

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Blackstone Holdings Finance LLC

               

3.200%, 01/30/2052 (D)

   $ 1,410     $ 1,270  

Blackstone Private Credit Fund

               

4.000%, 01/15/2029 (D)

     2,861       2,758  

3.250%, 03/15/2027 (D)

     1,991       1,903  

2.625%, 12/15/2026 (D)

     5,025       4,677  

2.350%, 11/22/2024 (D)

     1,592       1,548  

Blackstone Secured Lending Fund

               

3.625%, 01/15/2026

    1,255       1,257  

2.850%, 09/30/2028 (D)

     1,154       1,063  

BNP Paribas

               

5.198%, ICE LIBOR USD 3 Month + 2.567%, 01/10/2030 (B)(D)

     1,220       1,354  

4.705%, ICE LIBOR USD 3 Month + 2.235%, 01/10/2025 (B)(D)

     1,450       1,507  

4.400%, 08/14/2028 (D)

     1,420       1,512  

3.375%, 01/09/2025 (D)

     420       428  

2.871%, U.S. SOFR + 1.387%, 04/19/2032 (B)(D)

     2,350       2,234  

2.219%, U.S. SOFR + 2.074%, 06/09/2026 (B)(D)

     950       931  

BNP Paribas MTN

               

4.375%, USD Swap Semi 30/360 5 Yr Curr + 1.483%, 03/01/2033 (B)(D)

     380       391  

BPCE

               

5.150%, 07/21/2024 (D)

     1,550       1,625  

Brighthouse Financial

               

4.700%, 06/22/2047

    4       4  

3.850%, 12/22/2051

    764       668  

Brighthouse Financial Global Funding MTN

               

1.200%, 12/15/2023 (D)

     1,540       1,512  

1.000%, 04/12/2024 (D)

     2,965       2,886  

Canadian Imperial Bank of Commerce

               

0.950%, 06/23/2023

    750       742  

Capital One Financial

               

1.343%, U.S. SOFR + 0.690%, 12/06/2024 (B)

     3,760       3,703  

Chubb INA Holdings

               

3.350%, 05/03/2026

    420       436  

CI Financial

               

4.100%, 06/15/2051

    2,015       1,911  

3.200%, 12/17/2030

    2,610       2,459  

Citadel

               

4.875%, 01/15/2027 (D)

     1,240       1,283  

Citigroup

               

8.125%, 07/15/2039

    3,046       4,765  

5.500%, 09/13/2025

    1,370       1,493  

5.300%, 05/06/2044

    255       301  

4.750%, 05/18/2046

    150       168  

4.650%, 07/30/2045

    1,140       1,299  

4.650%, 07/23/2048

    795       929  

4.600%, 03/09/2026

    2,785       2,970  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.450%, 09/29/2027

  $ 1,380     $ 1,474  

4.412%, U.S. SOFR + 3.914%, 03/31/2031 (B)

     2,020       2,189  

4.400%, 06/10/2025

    2,040       2,140  

4.300%, 11/20/2026

    590       627  

4.125%, 07/25/2028

    260       273  

3.887%, ICE LIBOR USD 3 Month + 1.563%, 01/10/2028 (B)

     545       569  

3.700%, 01/12/2026

    625       653  

3.500%, 05/15/2023

    930       951  

3.352%, ICE LIBOR USD 3 Month + 0.897%, 04/24/2025 (B)

     3,600       3,672  

3.106%, U.S. SOFR + 2.842%, 04/08/2026 (B)

     560       567  

3.070%, U.S. SOFR + 1.280%, 02/24/2028 (B)

     3,592       3,621  

3.057%, U.S. SOFR + 1.351%, 01/25/2033 (B)

     8,660       8,537  

2.572%, U.S. SOFR + 2.107%, 06/03/2031 (B)

     6,230       5,949  

2.561%, U.S. SOFR + 1.167%, 05/01/2032 (B)

     1,265       1,201  

2.520%, U.S. SOFR + 1.177%, 11/03/2032 (B)

     910       857  

2.014%, U.S. SOFR + 0.694%, 01/25/2026 (B)

     4,615       4,542  

1.678%, U.S. SOFR + 1.667%, 05/15/2024 (B)

     800       799  

CME Group

               

3.000%, 09/15/2022

    400       404  

CNO Global Funding

               

1.750%, 10/07/2026 (D)

     2,390       2,280  

Cooperatieve Rabobank UA

               

4.375%, 08/04/2025

    1,580       1,654  

Credit Agricole SA/London MTN

               

1.907%, U.S. SOFR + 1.676%, 06/16/2026 (B)(D)

     630       613  

Credit Suisse AG/New York NY

               

2.950%, 04/09/2025

    790       800  

1.000%, 05/05/2023

    4,510       4,476  

Credit Suisse AG/New York NY MTN

               

3.625%, 09/09/2024

    1,360       1,403  

Credit Suisse Group

               

4.282%, 01/09/2028 (D)

     895       931  

4.194%, U.S. SOFR + 3.730%, 04/01/2031 (B)(D)

     1,490       1,548  

3.750%, 03/26/2025

    250       256  

3.091%, U.S. SOFR + 1.730%, 05/14/2032 (B)(D)

     4,630       4,390  

2.593%, U.S. SOFR + 1.560%, 09/11/2025 (B)(D)

     255       254  

2.193%, U.S. SOFR + 2.044%, 06/05/2026 (B)(D)

     2,940       2,856  

 

 

 

208

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

1.305%, U.S. SOFR + 0.980%, 02/02/2027 (B)(D)

   $ 6,030     $ 5,589  

Danske Bank

               

5.375%, 01/12/2024 (D)

     940       990  

3.244%, ICE LIBOR USD 3 Month + 1.591%, 12/20/2025 (B)(D)

     1,320       1,336  

1.226%, 06/22/2024 (D)

     550       538  

Deutsche Bank NY

               

3.742%, U.S. SOFR + 2.257%, 01/07/2033 (B)

     4,031       3,773  

Discover Bank

               

4.200%, 08/08/2023

    1,130       1,163  

DNB Bank

               

1.605%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.680%, 03/30/2028 (B)(D)

     3,800       3,578  

Enstar Group

               

3.100%, 09/01/2031

    1,942       1,812  

Equitable Holdings

               

3.900%, 04/20/2023

    910       931  

F&G Global Funding

               

2.000%, 09/20/2028 (D)

     3,076       2,870  

1.750%, 06/30/2026 (D)

     1,580       1,521  

Farmers Exchange Capital

               

7.200%, 07/15/2048 (D)

     1,788       2,483  

Farmers Exchange Capital II

               

6.151%, ICE LIBOR USD 3 Month + 3.744%, 11/01/2053 (B)(D)

     4,120       5,011  

FS KKR Capital

               

3.250%, 07/15/2027

    167       160  

GA Global Funding Trust

               

2.250%, 01/06/2027 (D)

     1,920       1,859  

1.950%, 09/15/2028 (D)

     3,638       3,344  

0.800%, 09/13/2024 (D)

     2,702       2,585  

Goldman Sachs Capital II

               

4.000%, ICE LIBOR USD 3 Month + 0.768%(B)(F)

     435       374  

Goldman Sachs Group

               

6.750%, 10/01/2037

    1,629       2,140  

6.250%, 02/01/2041

    1,290       1,692  

5.150%, 05/22/2045

    1,870       2,244  

4.750%, 10/21/2045

    400       455  

4.250%, 10/21/2025

    1,090       1,145  

4.223%, ICE LIBOR USD 3 Month + 1.301%, 05/01/2029 (B)

     500       530  

3.750%, 05/22/2025

    500       517  

3.750%, 02/25/2026

    1,445       1,504  

3.691%, ICE LIBOR USD 3 Month + 1.510%, 06/05/2028 (B)

     640       663  

3.625%, 01/22/2023

    508       516  

3.500%, 01/23/2025

    150       154  

3.500%, 04/01/2025

    870       894  

3.500%, 11/16/2026

    2,420       2,478  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.272%, ICE LIBOR USD 3 Month + 1.201%, 09/29/2025 (B)

   $ 5,770     $ 5,869  

3.210%, U.S. SOFR + 1.513%, 04/22/2042 (B)

     120       112  

3.200%, 02/23/2023

    2,290       2,318  

3.102%, U.S. SOFR + 1.410%, 02/24/2033 (B)

     8,910       8,771  

2.908%, ICE LIBOR USD 3 Month + 1.053%, 06/05/2023 (B)

     410       412  

2.908%, U.S. SOFR + 1.472%, 07/21/2042 (B)

     280       249  

2.650%, U.S. SOFR + 1.264%, 10/21/2032 (B)

     10,610       10,061  

2.640%, U.S. SOFR + 1.114%, 02/24/2028 (B)

     1,567       1,544  

2.383%, U.S. SOFR + 1.248%, 07/21/2032 (B)

     2,335       2,164  

1.948%, U.S. SOFR + 0.913%, 10/21/2027 (B)

     1,914       1,834  

1.757%, U.S. SOFR + 0.730%, 01/24/2025 (B)

     4,282       4,234  

1.542%, U.S. SOFR + 0.818%, 09/10/2027 (B)

     10,060       9,471  

1.431%, U.S. SOFR + 0.798%, 03/09/2027 (B)

     9,675       9,140  

1.217%, 12/06/2023

    6,265       6,191  

0.925%, U.S. SOFR + 0.486%, 10/21/2024 (B)

     10,215       9,995  

0.657%, U.S. SOFR + 0.505%, 09/10/2024 (B)

     3,868       3,776  

Goldman Sachs Group MTN

               

4.800%, 07/08/2044

    260       297  

Guardian Life Global Funding

               

1.100%, 06/23/2025 (D)

     290       280  

HSBC Bank PLC

               

7.650%, 05/01/2025

    796       904  

HSBC Bank USA

               

7.000%, 01/15/2039

    510       729  

HSBC Holdings PLC

               

4.950%, 03/31/2030

    200       221  

4.583%, ICE LIBOR USD 3 Month + 1.535%, 06/19/2029 (B)

     2,515       2,676  

4.300%, 03/08/2026

    5,405       5,713  

4.250%, 03/14/2024

    1,190       1,233  

4.250%, 08/18/2025

    960       997  

4.041%, ICE LIBOR USD 3 Month + 1.546%, 03/13/2028 (B)

     830       860  

3.973%, ICE LIBOR USD 3 Month + 1.610%, 05/22/2030 (B)

     970       1,001  

3.262%, ICE LIBOR USD 3 Month + 1.055%, 03/13/2023 (B)

     155       155  

2.871%, U.S. SOFR + 1.410%, 11/22/2032 (B)

     1,250       1,186  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

209

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.633%, U.S. SOFR + 1.402%, 11/07/2025 (B)

   $ 755     $ 754  

2.206%, U.S. SOFR + 1.285%, 08/17/2029 (B)

     3,735       3,485  

2.099%, U.S. SOFR + 1.929%, 06/04/2026 (B)

     4,845       4,723  

2.013%, U.S. SOFR + 1.732%, 09/22/2028 (B)

     3,325       3,120  

1.645%, U.S. SOFR + 1.538%, 04/18/2026 (B)

     290       280  

1.589%, U.S. SOFR + 1.290%, 05/24/2027 (B)

     3,980       3,752  

ING Bank

               

5.800%, 09/25/2023 (D)

     202       212  

Intercontinental Exchange

               

1.850%, 09/15/2032

    3,890       3,462  

Intesa Sanpaolo

               

3.375%, 01/12/2023 (D)

     490       495  

3.125%, 07/14/2022 (D)

     1,420       1,427  

Intesa Sanpaolo MTN

               

5.710%, 01/15/2026 (D)

     1,260       1,328  

5.017%, 06/26/2024 (D)

     870       895  

Jackson Financial

               

4.000%, 11/23/2051 (D)

     509       457  

3.125%, 11/23/2031 (D)

     2,780       2,667  

JPMorgan Chase

               

8.750%, 09/01/2030

    1,725       2,448  

6.400%, 05/15/2038

    385       516  

4.950%, 06/01/2045

    300       359  

4.452%, ICE LIBOR USD 3 Month + 1.330%, 12/05/2029 (B)

     740       800  

4.250%, 10/01/2027

    2,590       2,771  

4.203%, ICE LIBOR USD 3 Month + 1.260%, 07/23/2029 (B)

     940       1,000  

4.125%, 12/15/2026

    2,420       2,574  

4.032%, ICE LIBOR USD 3 Month + 1.460%, 07/24/2048 (B)

     1,175       1,242  

4.023%, ICE LIBOR USD 3 Month + 1.000%, 12/05/2024 (B)

     2,220       2,290  

3.897%, ICE LIBOR USD 3 Month + 1.220%, 01/23/2049 (B)

     245       255  

3.882%, ICE LIBOR USD 3 Month + 1.360%, 07/24/2038 (B)

     215       227  

3.875%, 09/10/2024

    440       456  

3.625%, 05/13/2024

    1,490       1,539  

3.625%, 12/01/2027

    1,000       1,041  

3.200%, 06/15/2026

    1,670       1,712  

3.109%, U.S. SOFR + 2.440%, 04/22/2051 (B)

     210       194  

2.963%, U.S. SOFR + 1.260%, 01/25/2033 (B)

     4,950       4,893  

2.956%, U.S. SOFR + 2.515%, 05/13/2031 (B)

     2,570       2,499  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.947%, U.S. SOFR + 1.170%, 02/24/2028 (B)

   $ 1,470     $ 1,478  

2.580%, U.S. SOFR + 1.250%, 04/22/2032 (B)

     3,012       2,885  

2.545%, U.S. SOFR + 1.180%, 11/08/2032 (B)

     2,590       2,474  

2.522%, U.S. SOFR + 2.040%, 04/22/2031 (B)

     1,960       1,875  

2.301%, U.S. SOFR + 1.160%, 10/15/2025 (B)

     3,600       3,582  

2.182%, U.S. SOFR + 1.890%, 06/01/2028 (B)

     2,367       2,283  

2.083%, U.S. SOFR + 1.850%, 04/22/2026 (B)

     6,980       6,876  

2.069%, U.S. SOFR + 1.015%, 06/01/2029 (B)

     2,525       2,391  

2.005%, TSFR3M + 1.585%, 03/13/2026 (B)

     75       74  

1.578%, U.S. SOFR + 0.885%, 04/22/2027 (B)

     8,370       8,005  

1.561%, U.S. SOFR + 0.605%, 12/10/2025 (B)

     12,081       11,779  

1.514%, U.S. SOFR + 1.455%, 06/01/2024 (B)

     2,130       2,122  

1.470%, U.S. SOFR + 0.765%, 09/22/2027 (B)

     10,214       9,640  

1.045%, U.S. SOFR + 0.800%, 11/19/2026 (B)

     4,309       4,051  

1.040%, TSFR3M + 0.695%, 02/04/2027 (B)

     7,728       7,231  

0.969%, TSFR3M + 0.580%, 06/23/2025 (B)

     8,540       8,272  

0.870%, ICE LIBOR USD 3 Month + 0.550%, 02/01/2027 (B)

     2,740       2,655  

Kemper

               

3.800%, 02/23/2032

    1,570       1,579  

KKR Group Finance II LLC

               

5.500%, 02/01/2043 (D)

     120       141  

KKR Group Finance III LLC

               

5.125%, 06/01/2044 (D)

     1,005       1,149  

Lehman Brothers Holdings

               

6.500%, 12/31/2049 (G)

     4,040       –  

Lehman Brothers Holdings MTN

               

6.750%, 12/31/2049 (G)

     10,370       –  

Lehman Brothers Holdings Capital Trust VII MTN

               

5.857%, ICE LIBOR USD 3 Month + 0.840%(F)(G)

     20,630       –  

Lloyds Bank PLC

               

3.500%, 05/14/2025

    100       103  

Lloyds Banking Group PLC

               

4.375%, 03/22/2028

    1,180       1,258  

 

 

 

210

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.870%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.500%, 07/09/2025 (B)

   $ 530     $ 546  

2.907%, ICE LIBOR USD 3 Month + 0.810%, 11/07/2023 (B)

     5,255       5,292  

2.858%, ICE LIBOR USD 3 Month + 1.249%, 03/17/2023 (B)

     2,705       2,707  

1.627%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.850%, 05/11/2027 (B)

     3,000       2,846  

Macquarie Bank

               

3.624%, 06/03/2030 (D)

     765       758  

Macquarie Group

               

1.340%, U.S. SOFR + 1.069%, 01/12/2027 (B)(D)

     2,395       2,264  

Macquarie Group MTN

               

2.871%, U.S. SOFR + 1.532%, 01/14/2033 (B)(D)

     3,815       3,604  

1.201%, U.S. SOFR + 0.694%, 10/14/2025 (B)(D)

     3,494       3,378  

MassMutual Global Funding II

               

2.500%, 10/17/2022 (D)

     261       264  

MassMutual Global Funding II MTN

               

0.850%, 06/09/2023 (D)

     2,220       2,199  

Mercury General

               

4.400%, 03/15/2027

    1,720       1,823  

MetLife

               

6.400%, 12/15/2036

    1,400       1,570  

Metropolitan Life Global Funding I

               

3.450%, 12/18/2026 (D)

     4,445       4,646  

0.900%, 06/08/2023 (D)

     1,540       1,528  

Mitsubishi UFJ Financial Group

               

2.852%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.100%, 01/19/2033 (B)

     1,417       1,372  

2.494%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.970%, 10/13/2032 (B)

     1,563       1,470  

2.341%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.830%, 01/19/2028 (B)

     2,263       2,208  

2.309%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.950%, 07/20/2032 (B)

     2,374       2,203  

1.640%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.670%, 10/13/2027 (B)

     3,825       3,631  

1.538%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.750%, 07/20/2027 (B)

     4,540       4,307  

0.953%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.550%, 07/19/2025 (B)

     4,595       4,437  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Mizuho Financial Group

               

3.261%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.250%, 05/22/2030 (B)

   $ 3,923     $ 3,932  

Morgan Stanley

               

3.737%, ICE LIBOR USD 3 Month + 0.847%, 04/24/2024 (B)

     1,810       1,844  

2.484%, U.S. SOFR + 1.360%, 09/16/2036 (B)

     460       418  

1.593%, U.S. SOFR + 0.879%, 05/04/2027 (B)

     4,680       4,451  

0.985%, U.S. SOFR + 0.720%, 12/10/2026 (B)

     3,931       3,682  

0.790%, U.S. SOFR + 0.525%, 05/30/2025 (B)

     6,925       6,677  

Morgan Stanley MTN

               

4.431%, ICE LIBOR USD 3 Month + 1.628%, 01/23/2030 (B)

     725       782  

4.350%, 09/08/2026

    235       250  

4.100%, 05/22/2023

    110       113  

4.000%, 07/23/2025

    580       607  

3.772%, ICE LIBOR USD 3 Month + 1.140%, 01/24/2029 (B)

     280       291  

3.700%, 10/23/2024

    370       382  

3.622%, U.S. SOFR + 3.120%, 04/01/2031 (B)

     5,705       5,898  

3.591%, ICE LIBOR USD 3 Month + 1.340%, 07/22/2028 (B)

     270       279  

2.943%, U.S. SOFR + 1.290%, 01/21/2033 (B)

     5,730       5,611  

2.720%, U.S. SOFR + 1.152%, 07/22/2025 (B)

     2,085       2,096  

2.699%, U.S. SOFR + 1.143%, 01/22/2031 (B)

     10       10  

2.511%, U.S. SOFR + 1.200%, 10/20/2032 (B)

     3,930       3,711  

2.475%, U.S. SOFR + 1.000%, 01/21/2028 (B)

     782       769  

2.239%, U.S. SOFR + 1.178%, 07/21/2032 (B)

     3,373       3,105  

2.188%, U.S. SOFR + 1.990%, 04/28/2026 (B)

     2,020       1,994  

1.512%, U.S. SOFR + 0.858%, 07/20/2027 (B)

     11,630       11,018  

1.164%, U.S. SOFR + 0.560%, 10/21/2025 (B)

     3,756       3,624  

0.864%, U.S. SOFR + 0.745%, 10/21/2025 (B)

     1,536       1,471  

0.791%, U.S. SOFR + 0.509%, 01/22/2025 (B)

     7,661       7,443  

Morgan Stanley Direct Lending Fund

               

4.500%, 02/11/2027 (D)

     1,544       1,530  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

211

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

National Securities Clearing

               

1.500%, 04/23/2025 (D)

   $ 510     $ 500  

1.200%, 04/23/2023 (D)

     620       618  

Nationwide Building Society

               

4.363%, ICE LIBOR USD 3 Month + 1.392%, 08/01/2024 (B)(D)

     5,240       5,389  

3.766%, ICE LIBOR USD 3 Month + 1.064%, 03/08/2024 (B)(D)

     1,735       1,763  

Nationwide Building Society MTN

               

2.972%, U.S. SOFR + 1.290%, 02/16/2028 (B)(D)

     2,565       2,553  

Nationwide Mutual Insurance

               

2.493%, ICE LIBOR USD 3 Month + 2.290%, 12/15/2024 (B)(D)

     4,407       4,409  

Natwest Group PLC

               

4.519%, ICE LIBOR USD 3 Month + 1.550%, 06/25/2024 (B)

     820       845  

4.269%, ICE LIBOR USD 3 Month + 1.762%, 03/22/2025 (B)

     4,630       4,788  

1.642%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.900%, 06/14/2027 (B)

     1,640       1,558  

New York Life Global Funding

               

0.950%, 06/24/2025 (D)

     550       530  

New York Life Insurance

               

6.750%, 11/15/2039 (D)

     765       1,068  

3.750%, 05/15/2050 (D)

     1,870       1,921  

Nomura Holdings

               

2.648%, 01/16/2025

    1,430       1,434  

Nordea Bank ABP

               

1.000%, 06/09/2023 (D)

     1,370       1,359  

Northern Trust

               

2.375%, 08/02/2022

    300       302  

Northwestern Mutual Life Insurance

               

3.625%, 09/30/2059 (D)

     2,966       2,815  

Ohio National Financial Services

               

5.800%, 01/24/2030 (D)

     1,775       1,911  

Owl Rock Capital

               

3.400%, 07/15/2026

    2,203       2,111  

Owl Rock Capital III

               

3.125%, 04/13/2027 (D)

     2,467       2,292  

OWL Rock Core Income

               

4.700%, 02/08/2027 (D)

     1,749       1,731  

Park Aerospace Holdings

               

5.500%, 02/15/2024 (D)

     238       249  

4.500%, 03/15/2023 (D)

     4,470       4,563  

PNC Bank

               

3.875%, 04/10/2025

    910       950  

PNC Financial Services Group

               

3.500%, 01/23/2024

    255       263  

Principal Life Global Funding II

               

1.250%, 06/23/2025 (D)

     270       261  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Private Export Funding

               

0.550%, 07/30/2024 (D)

   $ 2,055     $ 1,998  

Prospect Capital

               

3.706%, 01/22/2026

    1,005       991  

Raymond James Financial

               

4.950%, 07/15/2046

    1,525       1,754  

Royal Bank of Canada

               

0.438%, N/A + 0.250%, 06/29/2085 (B)

     860       705  

Royal Bank of Canada MTN

               

2.250%, 11/01/2024

    170       170  

1.600%, 04/17/2023

    1,170       1,171  

1.150%, 06/10/2025

    730       702  

Santander Holdings USA

               

3.450%, 06/02/2025

    1,150       1,169  

Santander UK Group Holdings PLC

               

4.796%, ICE LIBOR USD 3 Month + 1.570%, 11/15/2024 (B)

     4,580       4,767  

3.823%, ICE LIBOR USD 3 Month + 1.400%, 11/03/2028 (B)

     350       359  

2.469%, U.S. SOFR + 1.220%, 01/11/2028 (B)

     705       682  

1.673%, U.S. SOFR + 0.989%, 06/14/2027 (B)

     1,885       1,782  

1.532%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.250%, 08/21/2026 (B)

     1,140       1,087  

1.089%, U.S. SOFR + 0.787%, 03/15/2025 (B)

     4,785       4,642  

SBL Holdings

               

5.000%, 02/18/2031 (D)

     2,675       2,658  

Scentre Group Trust I/ Scentre Group Trust II

               

4.375%, 05/28/2030 (D)

     1,135       1,236  

3.625%, 01/28/2026 (D)

     1,675       1,738  

Societe Generale

               

3.625%, 03/01/2041 (D)

     1,370       1,215  

Societe Generale MTN

               

2.625%, 01/22/2025 (D)

     1,345       1,333  

Standard Chartered PLC

               

5.700%, 03/26/2044 (D)

     427       479  

5.200%, 01/26/2024 (D)

     410       427  

State Street

               

3.300%, 12/16/2024

    310       321  

Stewart Information Services

               

3.600%, 11/15/2031

    1,040       1,004  

Sumitomo Mitsui Financial Group

               

1.902%, 09/17/2028

    4,805       4,498  

1.402%, 09/17/2026

    3,090       2,920  

Swedbank

               

1.300%, 06/02/2023 (D)

     930       925  

Teachers Insurance & Annuity Association of America

               

6.850%, 12/16/2039 (D)

     148       201  

 

 

 

212

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.900%, 09/15/2044 (D)

   $ 600     $ 700  

4.270%, 05/15/2047 (D)

     175       189  

3.300%, 05/15/2050 (D)

     2,360       2,212  

Toronto-Dominion Bank MTN

               

1.150%, 06/12/2025

    730       703  

0.750%, 06/12/2023

    1,430       1,415  

Travelers

               

4.600%, 08/01/2043

    50       58  

Truist Bank

               

3.800%, 10/30/2026

    250       263  

Trust Fibra Uno

               

6.390%, 01/15/2050 (D)

     956       980  

5.250%, 01/30/2026 (D)

     1,164       1,189  

UBS AG/London

               

1.750%, 04/21/2022 (D)

     1,310       1,311  

UBS AG/London MTN

               

4.500%, 06/26/2048 (D)

     1,540       1,737  

UBS Group

               

4.253%, 03/23/2028 (D)

     1,490       1,583  

4.125%, 09/24/2025 (D)

     1,010       1,058  

3.491%, 05/23/2023 (D)

     1,710       1,718  

2.859%, ICE LIBOR USD 3 Month + 0.954%, 08/15/2023 (B)(D)

     240       242  

US Bancorp

               

1.450%, 05/12/2025

    1,610       1,573  

US Bancorp MTN

               

3.600%, 09/11/2024

    160       166  

2.950%, 07/15/2022

    497       500  

Validus Holdings

               

8.875%, 01/26/2040

    1,460       2,301  

WEA Finance LLC / Westfield UK & Europe Finance PLC

               

3.750%, 09/17/2024 (D)

     1,370       1,403  

Wells Fargo

               

7.950%, 11/15/2029

    925       1,225  

5.606%, 01/15/2044

    700       855  

5.375%, 11/02/2043

    220       264  

4.480%, 01/16/2024

    392       410  

3.000%, 10/23/2026

    1,640       1,661  

2.188%, U.S. SOFR + 2.000%, 04/30/2026 (B)

     9,725       9,597  

Wells Fargo MTN

               

5.013%, U.S. SOFR + 4.502%, 04/04/2051 (B)

     9,875       12,160  

4.900%, 11/17/2045

    1,310       1,486  

4.750%, 12/07/2046

    2,365       2,654  

4.650%, 11/04/2044

    560       615  

4.478%, U.S. SOFR + 4.032%, 04/04/2031 (B)

     7,175       7,832  

4.400%, 06/14/2046

    220       236  

4.300%, 07/22/2027

    1,180       1,259  

4.150%, 01/24/2029

    1,450       1,546  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.750%, 01/24/2024

  $ 360     $ 371  

3.584%, ICE LIBOR USD 3 Month + 1.310%, 05/22/2028 (B)

     2,075       2,143  

3.500%, 03/08/2022

    42       42  

3.350%, U.S. SOFR + 1.500%, 03/02/2033 (B)

     6,655       6,740  

3.196%, ICE LIBOR USD 3 Month + 1.170%, 06/17/2027 (B)

     3,675       3,731  

2.879%, U.S. SOFR + 1.432%, 10/30/2030 (B)

     2,530       2,490  

2.572%, U.S. SOFR + 1.262%, 02/11/2031 (B)

     415       398  

2.406%, U.S. SOFR + 1.087%, 10/30/2025 (B)

     7,580       7,555  

2.393%, U.S. SOFR + 2.100%, 06/02/2028 (B)

     4,380       4,281  

2.164%, ICE LIBOR USD 3 Month + 0.750%, 02/11/2026 (B)

     1,480       1,462  

Westpac Banking

               

2.668%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.750%, 11/15/2035 (B)

     840       761  

1.953%, 11/20/2028

    2,017       1,930  
                 
              897,622  
                 

Health Care — 2.5%

        

Abbott Laboratories

               

4.900%, 11/30/2046

    840       1,037  

4.750%, 11/30/2036

    440       521  

3.750%, 11/30/2026

    406       433  

AbbVie

               

4.550%, 03/15/2035

    2,800       3,084  

4.500%, 05/14/2035

    1,399       1,555  

4.450%, 05/14/2046

    564       608  

4.400%, 11/06/2042

    2,350       2,534  

4.300%, 05/14/2036

    556       609  

4.250%, 11/14/2028

    795       858  

4.250%, 11/21/2049

    7,884       8,383  

4.050%, 11/21/2039

    946       993  

3.800%, 03/15/2025

    700       728  

3.750%, 11/14/2023

    160       165  

3.600%, 05/14/2025

    1,605       1,658  

3.200%, 05/14/2026

    145       149  

3.200%, 11/21/2029

    4,541       4,599  

2.950%, 11/21/2026

    610       621  

2.900%, 11/06/2022

    350       354  

2.600%, 11/21/2024

    2,760       2,786  

2.300%, 11/21/2022

    5,317       5,350  

Amgen

               

6.375%, 06/01/2037

    1,785       2,360  

5.150%, 11/15/2041

    316       365  

4.663%, 06/15/2051

    104       116  

4.400%, 05/01/2045

    900       956  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

213

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.400%, 02/22/2062

  $ 1,235     $ 1,299  

3.625%, 05/22/2024

    220       227  

3.350%, 02/22/2032

    980       1,004  

3.150%, 02/21/2040

    880       822  

3.000%, 02/22/2029

    2,580       2,607  

3.000%, 01/15/2052

    2,830       2,423  

2.000%, 01/15/2032

    3,445       3,188  

Anthem

               

4.625%, 05/15/2042

    219       245  

3.650%, 12/01/2027

    330       346  

3.500%, 08/15/2024

    1,950       2,005  

3.350%, 12/01/2024

    1,190       1,224  

3.300%, 01/15/2023

    133       135  

3.125%, 05/15/2022

    740       743  

2.950%, 12/01/2022

    560       566  

Astrazeneca Finance LLC

               

1.750%, 05/28/2028

    2,722       2,602  

AstraZeneca PLC

               

2.125%, 08/06/2050

    383       302  

Baxalta

               

3.600%, 06/23/2022

    870       873  

Baxter International

               

3.950%, 04/01/2030

    890       957  

BayCare Health System

               

3.831%, 11/15/2050

    2,765       3,005  

Bayer US Finance II LLC

               

4.875%, 06/25/2048 (D)

     2,228       2,440  

4.700%, 07/15/2064 (D)

     400       414  

4.625%, 06/25/2038 (D)

     2,097       2,257  

4.400%, 07/15/2044 (D)

     2,750       2,796  

Becton Dickinson

               

4.685%, 12/15/2044

    469       524  

3.734%, 12/15/2024

    446       461  

3.363%, 06/06/2024

    531       544  

1.957%, 02/11/2031

    3,000       2,726  

Biogen

               

3.625%, 09/15/2022

    815       825  

3.250%, 02/15/2051 (D)

     280       235  

Bristol-Myers Squibb

               

5.000%, 08/15/2045

    99       121  

3.875%, 08/15/2025

    566       597  

3.700%, 03/15/2052

    4,030       4,154  

3.550%, 08/15/2022

    550       556  

3.400%, 07/26/2029

    815       858  

3.200%, 06/15/2026

    1,170       1,219  

2.950%, 03/15/2032

    2,315       2,345  

2.900%, 07/26/2024

    1,352       1,383  

2.600%, 05/16/2022

    830       833  

Centene

               

3.000%, 10/15/2030

    7,488       7,138  

2.500%, 03/01/2031

    680       626  

2.450%, 07/15/2028

    4,199       3,955  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Cigna

               

4.800%, 08/15/2038

  $ 1,281     $ 1,427  

4.375%, 10/15/2028

    1,120       1,214  

4.125%, 11/15/2025

    450       474  

3.875%, 10/15/2047

    770       756  

3.750%, 07/15/2023

    715       734  

3.400%, 03/15/2050

    250       229  

3.400%, 03/15/2051

    1,050       958  

3.250%, 04/15/2025

    1,000       1,021  

CommonSpirit Health

               

4.350%, 11/01/2042

    1,385       1,460  

4.187%, 10/01/2049

    2,025       2,124  

CVS Health

               

5.125%, 07/20/2045

    170       197  

5.050%, 03/25/2048

    10,263       11,984  

4.300%, 03/25/2028

    3,572       3,856  

4.250%, 04/01/2050

    630       674  

4.125%, 04/01/2040

    240       247  

3.875%, 07/20/2025

    929       971  

3.750%, 04/01/2030

    1,835       1,921  

3.625%, 04/01/2027

    1,470       1,540  

3.375%, 08/12/2024

    95       98  

3.000%, 08/15/2026

    825       840  

2.750%, 12/01/2022

    230       232  

2.125%, 09/15/2031

    660       610  

Danaher

               

2.800%, 12/10/2051

    1,621       1,434  

2.600%, 10/01/2050

    918       788  

DH Europe Finance II Sarl

               

2.200%, 11/15/2024

    2,115       2,116  

2.050%, 11/15/2022

    1,224       1,230  

Gilead Sciences

               

4.750%, 03/01/2046

    40       45  

4.600%, 09/01/2035

    2,000       2,251  

4.000%, 09/01/2036

    685       730  

3.700%, 04/01/2024

    1,540       1,589  

3.650%, 03/01/2026

    890       928  

2.800%, 10/01/2050

    2,033       1,719  

2.600%, 10/01/2040

    1,335       1,153  

GlaxoSmithKline Capital PLC

               

2.850%, 05/08/2022

    50       50  

HCA

               

5.875%, 02/01/2029

    694       776  

5.500%, 06/15/2047

    2,275       2,662  

5.375%, 02/01/2025

    5,562       5,890  

5.250%, 04/15/2025

    750       805  

5.250%, 06/15/2026

    1,015       1,099  

5.250%, 06/15/2049

    2,905       3,305  

4.125%, 06/15/2029

    2,500       2,620  

3.500%, 09/01/2030

    5,659       5,602  

3.500%, 07/15/2051

    2,000       1,778  

2.375%, 07/15/2031

    1,015       933  

 

 

 

214

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Health Care Service, A Mutual Legal Reserve

               

2.200%, 06/01/2030 (D)

   $ 2,235     $ 2,090  

Humana

               

4.950%, 10/01/2044

    200       232  

4.800%, 03/15/2047

    50       58  

4.500%, 04/01/2025

    120       127  

3.950%, 03/15/2027

    860       909  

3.850%, 10/01/2024

    2,530       2,623  

3.150%, 12/01/2022

    190       192  

Johnson & Johnson

               

3.700%, 03/01/2046

    970       1,043  

2.450%, 09/01/2060

    2,085       1,737  

0.950%, 09/01/2027

    990       935  

0.550%, 09/01/2025

    490       467  

Mass General Brigham

               

3.192%, 07/01/2049

    245       239  

Medtronic

               

4.625%, 03/15/2045

    123       144  

Merck

               

2.750%, 12/10/2051

    1,050       936  

1.450%, 06/24/2030

    480       439  

0.750%, 02/24/2026

    840       800  

Pfizer

               

4.000%, 12/15/2036

    1,050       1,155  

2.800%, 03/11/2022

    736       736  

2.700%, 05/28/2050

    1,400       1,265  

2.625%, 04/01/2030

    720       720  

2.550%, 05/28/2040

    2,682       2,451  

1.700%, 05/28/2030

    680       634  

0.800%, 05/28/2025

    1,050       1,018  

Royalty Pharma PLC

               

1.200%, 09/02/2025

    980       931  

0.750%, 09/02/2023

    1,650       1,619  

RWJ Barnabas Health

               

3.949%, 07/01/2046

    2,445       2,665  

STERIS Irish FinCo UnLtd

               

3.750%, 03/15/2051

    3,126       3,004  

Stryker

               

2.900%, 06/15/2050

    392       346  

Takeda Pharmaceutical

               

3.175%, 07/09/2050

    603       540  

3.025%, 07/09/2040

    869       784  

Thermo Fisher Scientific

               

2.800%, 10/15/2041

    618       569  

2.000%, 10/15/2031

    1,304       1,210  

1.750%, 10/15/2028

    1,465       1,387  

UnitedHealth Group

               

6.625%, 11/15/2037

    200       280  

5.800%, 03/15/2036

    560       716  

4.625%, 07/15/2035

    940       1,083  

4.450%, 12/15/2048

    140       161  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.250%, 06/15/2048

  $ 180     $ 201  

3.875%, 12/15/2028

    250       269  

3.875%, 08/15/2059

    570       601  

3.750%, 07/15/2025

    330       346  

3.700%, 08/15/2049

    140       145  

3.500%, 06/15/2023

    230       236  

3.250%, 05/15/2051

    2,366       2,298  

3.125%, 05/15/2060

    90       81  

3.050%, 05/15/2041

    2,852       2,737  

2.900%, 05/15/2050

    2,251       2,060  

2.875%, 03/15/2023

    150       153  

2.750%, 05/15/2040

    1,867       1,725  

2.375%, 10/15/2022

    100       101  

2.000%, 05/15/2030

    220       208  

1.250%, 01/15/2026

    260       251  

Universal Health Services

               

1.650%, 09/01/2026 (D)

     1,260       1,197  

Utah Acquisition Sub

               

3.950%, 06/15/2026

    3,180       3,284  

Viatris

               

4.000%, 06/22/2050

    1,455       1,290  

2.700%, 06/22/2030

    305       285  

Wyeth LLC

               

6.450%, 02/01/2024

    365       396  

5.950%, 04/01/2037

    320       419  
                 
              230,000  
                 

Industrials — 1.9%

        

3M

               

3.700%, 04/15/2050

    300       308  

2.375%, 08/26/2029

    2,320       2,267  

AerCap Ireland Capital DAC / AerCap Global Aviation Trust

               

4.125%, 07/03/2023

    262       268  

3.500%, 05/26/2022

    2,750       2,761  

3.500%, 01/15/2025

    1,673       1,697  

3.300%, 01/30/2032

    5,060       4,804  

3.000%, 10/29/2028

    7,085       6,824  

2.450%, 10/29/2026

    6,425       6,199  

1.650%, 10/29/2024

    3,505       3,402  

1.150%, 10/29/2023

    4,716       4,607  

Air Lease

               

3.375%, 07/01/2025

    490       496  

3.250%, 03/01/2025

    525       528  

Air Lease MTN

               

2.875%, 01/15/2026

    3,019       3,007  

2.300%, 02/01/2025

    605       598  

American Airlines Pass-Through Trust, Ser 2015-1, Cl A

               

3.375%, 05/01/2027

    91       90  

Boeing

               

7.250%, 06/15/2025

    107       122  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

215

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

5.930%, 05/01/2060

  $ 550     $ 653  

5.805%, 05/01/2050

    2,655       3,154  

5.705%, 05/01/2040

    1,409       1,641  

5.150%, 05/01/2030

    2,007       2,217  

5.040%, 05/01/2027

    355       386  

4.875%, 05/01/2025

    2,290       2,434  

4.508%, 05/01/2023

    2,225       2,286  

3.750%, 02/01/2050

    2,070       1,924  

3.625%, 02/01/2031

    1,662       1,676  

3.250%, 02/01/2028

    1,654       1,653  

3.250%, 02/01/2035

    3,175       2,972  

3.200%, 03/01/2029

    720       712  

3.100%, 05/01/2026

    230       232  

2.800%, 03/01/2027

    280       276  

2.700%, 02/01/2027

    1,165       1,150  

2.196%, 02/04/2026

    4,853       4,735  

1.433%, 02/04/2024

    5,034       4,952  

Burlington Northern Santa Fe LLC

               

7.290%, 06/01/2036

    200       285  

4.550%, 09/01/2044

    1,220       1,394  

3.650%, 09/01/2025

    140       146  

3.050%, 09/01/2022

    300       301  

2.875%, 06/15/2052

    610       545  

Canadian Pacific Railway

               

6.125%, 09/15/2115

    34       44  

3.000%, 12/02/2041

    1,731       1,606  

2.450%, 12/02/2031 (E)

     2,650       2,543  

1.750%, 12/02/2026

    373       362  

1.350%, 12/02/2024

    3,513       3,427  

Carrier Global

               

3.577%, 04/05/2050

    70       67  

Caterpillar

               

4.300%, 05/15/2044

    50       57  

Cintas No. 2

               

3.700%, 04/01/2027

    590       623  

2.900%, 04/01/2022

    610       611  

Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A

               

5.983%, 04/19/2022

    1,190       1,196  

Continental Airlines Pass-Through Trust, Ser 2007-1, Cl B

               

6.903%, 04/19/2022

    3       3  

Continental Airlines Pass-Through Trust, Ser 2012-2, Cl A

               

4.000%, 10/29/2024

    45       46  

CoStar Group

               

2.800%, 07/15/2030 (D)

     1,485       1,415  

Crowley Conro LLC

               

4.181%, 08/15/2043

    791       894  

Deere

               

3.750%, 04/15/2050

    920       975  

3.100%, 04/15/2030

    160       165  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Delta Air Lines Pass-Through Trust, Ser 2020-1, Cl AA

               

2.000%, 06/10/2028

  $ 2,731     $ 2,608  

Delta Air Lines/Skymiles LP

               

4.750%, 10/20/2028 (D)

     5,816       6,066  

4.500%, 10/20/2025 (D)

     4,462       4,581  

Eaton

               

7.625%, 04/01/2024

    325       358  

4.150%, 11/02/2042

    530       569  

4.000%, 11/02/2032

    99       108  

2.750%, 11/02/2022

    1,740       1,757  

Emerson Electric

               

2.800%, 12/21/2051

    2,935       2,559  

Equifax

               

3.950%, 06/15/2023

    3,015       3,088  

2.600%, 12/15/2025

    445       446  

GE Capital International Funding Unlimited

               

4.418%, 11/15/2035

    4,666       5,245  

General Dynamics

               

4.250%, 04/01/2040

    1,915       2,138  

4.250%, 04/01/2050

    230       264  

General Electric MTN

               

6.750%, 03/15/2032

    103       133  

0.986%, ICE LIBOR USD 3 Month + 0.480%, 08/15/2036 (B)

     3,035       2,611  

Honeywell International

               

1.950%, 06/01/2030

    2,035       1,918  

1.350%, 06/01/2025

    510       499  

Howmet Aerospace

               

3.000%, 01/15/2029

    2,281       2,164  

IHS Markit

               

5.000%, 11/01/2022 (D)

     3,000       3,050  

4.750%, 02/15/2025 (D)

     1,000       1,062  

4.750%, 08/01/2028

    1,000       1,127  

3.625%, 05/01/2024

    1,550       1,601  

ILFC E-Capital Trust II

               

3.620%, ICE LIBOR USD 3 Month + 1.800%, 12/21/2065 (B)(D)

     1,200       1,026  

JetBlue Pass-Through Trust, Ser 2019-1, Cl AA

               

2.750%, 05/15/2032

    151       147  

John Deere Capital MTN

               

2.150%, 09/08/2022

    145       146  

L3Harris Technologies

               

5.054%, 04/27/2045

    330       388  

4.854%, 04/27/2035

    210       239  

Lockheed Martin

               

3.550%, 01/15/2026

    1,440       1,517  

3.100%, 01/15/2023

    110       111  

Northrop Grumman

               

5.250%, 05/01/2050

    3,940       4,951  

4.030%, 10/15/2047

    795       838  

 

 

 

216

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.850%, 04/15/2045

  $ 350     $ 358  

3.250%, 08/01/2023

    2,253       2,300  

3.250%, 01/15/2028

    1,870       1,911  

2.930%, 01/15/2025

    2,020       2,059  

Otis Worldwide

               

3.112%, 02/15/2040

    1,185       1,094  

2.056%, 04/05/2025

    340       337  

Parker-Hannifin

               

2.700%, 06/14/2024

    830       840  

Penske Truck Leasing LP / PTL Finance

               

3.950%, 03/10/2025 (D)

     225       234  

Quanta Services

               

0.950%, 10/01/2024

    1,543       1,490  

Raytheon Technologies

               

4.125%, 11/16/2028

    480       519  

3.950%, 08/16/2025

    800       843  

3.150%, 12/15/2024

    320       327  

3.125%, 07/01/2050

    1,290       1,180  

2.250%, 07/01/2030

    680       644  

Republic Services

               

4.750%, 05/15/2023

    119       123  

2.500%, 08/15/2024

    2,035       2,053  

1.450%, 02/15/2031

    4,370       3,869  

Roper Technologies

               

1.000%, 09/15/2025

    940       894  

Siemens Financieringsmaatschappij

               

1.200%, 03/11/2026 (D)

     2,830       2,710  

Southwest Airlines

               

5.125%, 06/15/2027

    1,000       1,109  

Triton Container International

               

2.050%, 04/15/2026 (D)

     1,490       1,439  

Union Pacific

               

3.839%, 03/20/2060

    970       997  

3.750%, 07/15/2025

    530       556  

3.750%, 02/05/2070

    700       697  

3.500%, 02/14/2053

    2,533       2,543  

3.375%, 02/14/2042

    927       925  

3.250%, 02/05/2050

    1,065       1,023  

2.891%, 04/06/2036

    835       808  

2.800%, 02/14/2032

    1,931       1,937  

2.400%, 02/05/2030

    1,513       1,473  

2.150%, 02/05/2027

    270       266  

United Parcel Service

               

5.200%, 04/01/2040

    525       652  

2.350%, 05/16/2022

    235       235  

US Airways Pass-Through Trust, Ser 2012-1, Cl A

               

5.900%, 10/01/2024

    23       24  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

US Airways Pass-Through Trust, Ser 2012-2, Cl A

               

4.625%, 06/03/2025

  $ 2,497     $ 2,443  
                 
              181,963  
                 

Information Technology — 1.9%

        

Adobe

               

2.300%, 02/01/2030

    1,300       1,264  

Analog Devices

               

2.100%, 10/01/2031

    1,540       1,472  

1.700%, 10/01/2028

    1,158       1,106  

Apple

               

4.650%, 02/23/2046

    2,460       2,985  

4.375%, 05/13/2045

    1,275       1,458  

3.850%, 05/04/2043

    375       403  

3.450%, 05/06/2024

    350       362  

2.850%, 08/05/2061

    1,540       1,368  

2.650%, 05/11/2050

    1,903       1,688  

2.650%, 02/08/2051

    1,930       1,714  

2.550%, 08/20/2060

    1,808       1,498  

2.450%, 08/04/2026

    2,560       2,599  

2.400%, 05/03/2023

    95       96  

2.375%, 02/08/2041

    626       558  

1.700%, 08/05/2031

    2,312       2,143  

1.400%, 08/05/2028

    5,664       5,350  

1.125%, 05/11/2025

    1,720       1,677  

Applied Materials

               

1.750%, 06/01/2030

    1,070       1,001  

Avnet

               

4.875%, 12/01/2022

    1,570       1,607  

Broadcom

               

4.300%, 11/15/2032

    1,110       1,170  

4.150%, 11/15/2030

    4,135       4,339  

3.469%, 04/15/2034 (D)

     1,727       1,667  

3.419%, 04/15/2033 (D)

     5,922       5,775  

3.150%, 11/15/2025

    1,004       1,023  

3.137%, 11/15/2035 (D)

     2,980       2,760  

2.450%, 02/15/2031 (D)

     1,347       1,244  

Broadcom/Broadcom Cayman Finance Ltd

               

3.875%, 01/15/2027

    580       604  

Corning

               

5.450%, 11/15/2079

    1,800       2,077  

Dell International LLC/EMC

               

6.100%, 07/15/2027

    778       896  

4.900%, 10/01/2026

    394       427  

3.450%, 12/15/2051 (D)

     2,296       1,944  

3.375%, 12/15/2041 (D)

     1,914       1,678  

Global Payments

               

2.900%, 11/15/2031

    1,528       1,457  

2.150%, 01/15/2027

    2,293       2,212  

1.500%, 11/15/2024

    4,631       4,521  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

217

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

HP

               

2.200%, 06/17/2025

  $ 1,864     $ 1,852  

Intel

               

4.750%, 03/25/2050

    2,280       2,666  

3.734%, 12/08/2047

    119       120  

3.250%, 11/15/2049

    660       618  

3.200%, 08/12/2061

    626       552  

3.100%, 07/29/2022

    75       76  

3.050%, 08/12/2051

    3,269       2,969  

2.800%, 08/12/2041

    2,018       1,817  

2.000%, 08/12/2031

    751       698  

1.600%, 08/12/2028

    1,454       1,378  

International Business Machines

               

3.000%, 05/15/2024

    2,340       2,393  

KLA

               

3.300%, 03/01/2050

    1,247       1,178  

Kyndryl Holdings

               

2.050%, 10/15/2026 (D)

     2,500       2,358  

Lam Research

               

3.800%, 03/15/2025

    150       157  

Marvell Technology

               

1.650%, 04/15/2026

    2,010       1,936  

Mastercard

               

3.850%, 03/26/2050

    2,850       3,098  

3.375%, 04/01/2024

    240       248  

Microsoft

               

4.100%, 02/06/2037

    245       279  

3.500%, 02/12/2035

    460       495  

3.450%, 08/08/2036

    1,622       1,740  

3.300%, 02/06/2027

    2,680       2,862  

3.041%, 03/17/2062

    281       268  

2.921%, 03/17/2052

    646       617  

2.875%, 02/06/2024

    970       993  

2.700%, 02/12/2025

    360       370  

2.675%, 06/01/2060

    309       272  

2.525%, 06/01/2050

    240       213  

2.400%, 08/08/2026

    2,510       2,548  

2.375%, 05/01/2023

    50       51  

NVIDIA

               

3.700%, 04/01/2060

    680       710  

3.500%, 04/01/2040

    990       1,017  

3.500%, 04/01/2050

    2,010       2,070  

2.850%, 04/01/2030

    2,800       2,835  

NXP BV/ NXP Funding LLC/ NXP USA

               

3.875%, 06/18/2026 (D)

     996       1,042  

3.250%, 05/11/2041 (D)

     843       772  

2.700%, 05/01/2025 (D)

     430       433  

Oracle

               

4.375%, 05/15/2055

    810       768  

4.300%, 07/08/2034

    285       294  

4.000%, 11/15/2047

    330       301  

3.950%, 03/25/2051

    6,292       5,764  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.900%, 05/15/2035

  $ 3,620     $ 3,547  

3.800%, 11/15/2037

    4,295       4,082  

3.650%, 03/25/2041

    800       725  

3.600%, 04/01/2040

    3,019       2,734  

3.600%, 04/01/2050

    621       540  

2.950%, 11/15/2024

    675       684  

2.950%, 05/15/2025

    695       700  

2.950%, 04/01/2030

    1,285       1,242  

2.875%, 03/25/2031

    2,480       2,367  

2.800%, 04/01/2027

    625       621  

1.650%, 03/25/2026

    1,950       1,868  

PayPal Holdings

               

2.300%, 06/01/2030

    6,600       6,287  

1.650%, 06/01/2025

    640       627  

1.350%, 06/01/2023

    620       618  

QUALCOMM

               

1.650%, 05/20/2032

    119       107  

salesforce.com

               

3.250%, 04/11/2023

    740       755  

Texas Instruments

               

4.150%, 05/15/2048

    1,250       1,419  

1.750%, 05/04/2030

    440       415  

1.125%, 09/15/2026

    767       740  

TSMC Arizona

               

3.250%, 10/25/2051

    955       911  

2.500%, 10/25/2031

    3,950       3,758  

1.750%, 10/25/2026

    3,310       3,207  

TSMC Global

               

1.375%, 09/28/2030 (D)

     4,320       3,781  

Visa

               

4.300%, 12/14/2045

    810       938  

3.150%, 12/14/2025

    660       684  

VMware

               

4.700%, 05/15/2030

    1,548       1,700  

3.900%, 08/21/2027

    306       320  

1.800%, 08/15/2028

    1,682       1,555  

1.400%, 08/15/2026

    3,061       2,901  

1.000%, 08/15/2024

    2,679       2,602  

0.600%, 08/15/2023

    3,825       3,756  

Vontier

               

2.950%, 04/01/2031

    925       838  

1.800%, 04/01/2026

    1,170       1,091  
                 
              173,091  
                 

Materials — 0.7%

        

Amcor Finance USA

               

3.625%, 04/28/2026

    2,000       2,092  

Anglo American Capital PLC

               

4.000%, 09/11/2027 (D)

     280       294  

3.625%, 09/11/2024 (D)

     1,810       1,858  

Barrick Gold

               

5.250%, 04/01/2042

    740       867  

 

 

 

218

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Barrick North America Finance LLC

               

5.700%, 05/30/2041

  $ 470     $ 585  

Berry Global

               

4.875%, 07/15/2026 (D)

     3,270       3,315  

1.650%, 01/15/2027

    775       723  

1.570%, 01/15/2026

    1,010       962  

BHP Billiton Finance USA

               

5.000%, 09/30/2043

    40       48  

Dow Chemical

               

4.800%, 05/15/2049

    925       1,046  

3.600%, 11/15/2050

    1,544       1,477  

DuPont de Nemours

               

4.493%, 11/15/2025

    2,095       2,232  

Ecolab

               

2.700%, 12/15/2051

    1,193       1,041  

Equate Petrochemical MTN

               

4.250%, 11/03/2026 (D)

     1,640       1,694  

2.625%, 04/28/2028 (D)

     2,250       2,126  

Glencore Funding LLC

               

4.125%, 05/30/2023 (D)

     50       51  

4.000%, 03/27/2027 (D)

     1,570       1,627  

Industrias Penoles

               

4.150%, 09/12/2029 (D)

     2,290       2,284  

International Flavors and Fragrances

               

5.000%, 09/26/2048

    2,365       2,704  

2.300%, 11/01/2030 (D)

     4,800       4,461  

1.230%, 10/01/2025 (D)

     4,110       3,917  

LYB International Finance III LLC

               

3.625%, 04/01/2051

    1,524       1,439  

3.375%, 10/01/2040

    2,308       2,160  

Nacional del Cobre de Chile

               

4.250%, 07/17/2042 (D)

     675       660  

3.625%, 08/01/2027 (D)

     2,770       2,836  

Newcrest Finance Pty

               

3.250%, 05/13/2030 (D)

     1,140       1,140  

OCP

               

4.500%, 10/22/2025 (D)

     1,860       1,869  

Orbia Advance

               

2.875%, 05/11/2031 (D)

     1,340       1,211  

1.875%, 05/11/2026 (D)

     1,410       1,320  

Sealed Air

               

1.573%, 10/15/2026 (D)

     1,600       1,507  

Southern Copper

               

5.250%, 11/08/2042

    4,540       5,286  

Suzano Austria GmbH

               

6.000%, 01/15/2029

    2,540       2,781  

Teck Resources

               

6.250%, 07/15/2041

    880       1,064  

6.125%, 10/01/2035

    782       955  

5.200%, 03/01/2042

    910       981  

Vale Overseas

               

6.875%, 11/21/2036

    1,595       1,962  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

6.250%, 08/10/2026

  $ 2,290     $ 2,594  

Westlake

               

3.600%, 08/15/2026

    837       869  

3.375%, 08/15/2061

    723       601  

3.125%, 08/15/2051

    1,146       983  

WestRock RKT LLC

               

4.000%, 03/01/2023

    330       336  
                 
              67,958  
                 

Real Estate — 0.9%

        

Agree

               

2.600%, 06/15/2033

    382       352  

2.000%, 06/15/2028

    1,682       1,583  

American Campus Communities Operating Partnership

               

3.750%, 04/15/2023

    2,255       2,289  

2.250%, 01/15/2029

    1,153       1,085  

American Tower

               

1.875%, 10/15/2030

    3,215       2,847  

AvalonBay Communities MTN

               

2.450%, 01/15/2031

    2,490       2,430  

Boston Properties

               

3.800%, 02/01/2024

    2,000       2,056  

3.400%, 06/21/2029

    1,510       1,544  

2.900%, 03/15/2030

    125       122  

Brixmor Operating Partnership

               

2.500%, 08/16/2031

    934       863  

2.250%, 04/01/2028

    537       511  

Camden Property Trust

               

2.800%, 05/15/2030

    925       915  

CC Holdings GS V LLC / Crown Castle GS III

               

3.849%, 04/15/2023

    580       592  

Crown Castle International

               

4.000%, 03/01/2027

    384       400  

2.900%, 04/01/2041

    1,079       926  

2.100%, 04/01/2031

    1,596       1,437  

1.050%, 07/15/2026

    2,312       2,154  

CyrusOne/CyrusOne Finance

               

3.450%, 11/15/2029

    950       999  

2.900%, 11/15/2024

    2,682       2,713  

2.150%, 11/01/2030

    280       272  

Equinix

               

2.950%, 09/15/2051

    1,895       1,545  

Essential Properties

               

2.950%, 07/15/2031

    2,595       2,383  

Essex Portfolio

               

2.550%, 06/15/2031

    790       752  

1.700%, 03/01/2028

    3,676       3,461  

Extra Space Storage

               

2.350%, 03/15/2032

    693       639  

Federal Realty Investment Trust

               

3.950%, 01/15/2024

    1,067       1,098  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

219

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

GLP Capital LP / GLP Financing II

               

5.750%, 06/01/2028

  $ 1,250     $ 1,385  

5.375%, 11/01/2023

    839       874  

5.375%, 04/15/2026

    1,555       1,664  

5.300%, 01/15/2029

    2,550       2,772  

5.250%, 06/01/2025

    2,330       2,455  

4.000%, 01/15/2030

    990       990  

Healthcare Realty Trust

               

3.875%, 05/01/2025

    1,455       1,506  

Healthcare Trust of America Holdings

               

3.500%, 08/01/2026

    1,010       1,046  

Hudson Pacific Properties

               

4.650%, 04/01/2029

    3,200       3,478  

Kilroy Realty

               

2.650%, 11/15/2033

    4,734       4,309  

Life Storage

               

3.875%, 12/15/2027

    935       990  

Mid-America Apartments

               

4.300%, 10/15/2023

    786       807  

4.000%, 11/15/2025

    945       992  

3.950%, 03/15/2029

    772       826  

Piedmont Operating Partnership

               

4.450%, 03/15/2024

    125       129  

Realty Income

               

3.400%, 01/15/2028

    816       840  

2.850%, 12/15/2032

    1,119       1,088  

2.200%, 06/15/2028

    824       799  

Regency Centers

               

2.950%, 09/15/2029

    1,678       1,662  

Rexford Industrial Realty

               

2.150%, 09/01/2031

    855       770  

Sabra Health Care

               

3.900%, 10/15/2029

    1,335       1,338  

Simon Property Group LP

               

2.450%, 09/13/2029

    1,915       1,850  

SL Green Operating Partnership

               

3.250%, 10/15/2022

    3,000       3,029  

SL Green Realty

               

4.500%, 12/01/2022 (E)

     500       507  

Spirit Realty

               

3.400%, 01/15/2030

    923       920  

2.100%, 03/15/2028

    1,536       1,446  

STORE Capital

               

4.625%, 03/15/2029

    985       1,059  

4.500%, 03/15/2028

    2,915       3,121  

2.750%, 11/18/2030

    1,367       1,290  

2.700%, 12/01/2031

    536       497  

Sun Communities Operating LP

               

2.300%, 11/01/2028

    767       725  

Ventas Realty

               

3.000%, 01/15/2030

    1,500       1,484  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Welltower

               

4.500%, 01/15/2024

  $ 183     $ 191  

Weyerhaeuser

               

3.375%, 03/09/2033

    2,480       2,500  
                 
              85,307  
                 

Utilities — 2.0%

        

Abu Dhabi National Energy PJSC MTN

               

3.400%, 04/29/2051 (D)

     1,850       1,797  

2.000%, 04/29/2028 (D)

     2,830       2,684  

AES

               

1.375%, 01/15/2026

    1,662       1,579  

Alabama Power

               

3.700%, 12/01/2047

    3,140       3,183  

American Transmission Systems

               

2.650%, 01/15/2032 (D)

     966       927  

Appalachian Power

               

4.500%, 03/01/2049

    60       65  

4.450%, 06/01/2045

    1,600       1,684  

Baltimore Gas and Electric

               

2.250%, 06/15/2031

    1,145       1,088  

Berkshire Hathaway Energy

               

2.850%, 05/15/2051

    3,035       2,575  

Boston Gas

               

4.487%, 02/15/2042 (D)

     140       147  

Comision Federal de Electricidad

               

4.875%, 01/15/2024 (D)

     300       310  

4.750%, 02/23/2027 (D)

     710       737  

3.875%, 07/26/2033 (D)

     790       701  

Consolidated Edison of New York

               

4.650%, 12/01/2048

    2,000       2,231  

4.450%, 03/15/2044

    2,885       3,098  

3.950%, 04/01/2050

    210       216  

3.350%, 04/01/2030

    260       267  

Consumers Energy

               

2.650%, 08/15/2052

    847       728  

2.500%, 05/01/2060

    654       505  

Dominion Energy

               

3.071%, 08/15/2024

    1,800       1,832  

DTE Electric

               

3.650%, 03/01/2052

    627       650  

2.950%, 03/01/2050

    1,343       1,222  

DTE Energy

               

2.950%, 03/01/2030

    268       263  

2.529%, 10/01/2024

    1,775       1,783  

1.050%, 06/01/2025

    4,032       3,852  

Duke Energy

               

3.500%, 06/15/2051

    461       423  

3.150%, 08/15/2027

    850       868  

2.550%, 06/15/2031

    6,493       6,080  

2.400%, 08/15/2022

    1,380       1,387  

0.900%, 09/15/2025

    1,955       1,855  

 

 

 

220

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Duke Energy Carolinas LLC

               

4.250%, 12/15/2041

  $ 1,000     $ 1,074  

4.000%, 09/30/2042

    1,512       1,578  

2.550%, 04/15/2031

    780       761  

Duke Energy Florida LLC

               

3.850%, 11/15/2042

    720       728  

3.200%, 01/15/2027

    1,600       1,660  

2.400%, 12/15/2031

    1,146       1,092  

Duke Energy Indiana LLC

               

2.750%, 04/01/2050

    1,205       1,023  

Duke Energy Progress LLC

               

4.150%, 12/01/2044

    250       264  

2.800%, 05/15/2022

    215       215  

2.500%, 08/15/2050

    1,158       956  

Entergy Arkansas LLC

               

2.650%, 06/15/2051

    2,817       2,341  

Entergy Texas

               

3.450%, 12/01/2027

    1,625       1,658  

Evergy

               

5.292%, 06/15/2022

    1,216       1,220  

Evergy Metro

               

5.300%, 10/01/2041

    250       300  

Eversource Energy

               

3.375%, 03/01/2032

    1,098       1,112  

2.900%, 10/01/2024

    3,730       3,782  

2.900%, 03/01/2027

    1,571       1,581  

1.400%, 08/15/2026

    1,111       1,059  

Exelon

               

5.625%, 06/15/2035

    1,720       2,036  

3.950%, 06/15/2025

    1,395       1,451  

FirstEnergy

               

7.375%, 11/15/2031

    4,905       6,141  

4.400%, 07/15/2027

    1,310       1,357  

1.600%, 01/15/2026

    300       282  

Florida Power and Light

               

3.250%, 06/01/2024

    455       468  

2.875%, 12/04/2051

    288       262  

2.450%, 02/03/2032

    3,599       3,495  

ITC Holdings

               

4.050%, 07/01/2023

    2,075       2,118  

2.700%, 11/15/2022

    1,560       1,573  

Jersey Central Power & Light

               

2.750%, 03/01/2032 (D)

     1,805       1,737  

KeySpan Gas East

               

3.586%, 01/18/2052 (D)

     4,825       4,403  

2.742%, 08/15/2026 (D)

     1,175       1,173  

Metropolitan Edison

               

4.300%, 01/15/2029 (D)

     2,445       2,631  

4.000%, 04/15/2025 (D)

     1,000       1,026  

3.500%, 03/15/2023 (D)

     5,050       5,104  

MidAmerican Energy

               

4.800%, 09/15/2043

    1,500       1,739  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.650%, 04/15/2029

  $ 1,330     $ 1,417  

2.700%, 08/01/2052

    997       861  

Mississippi Power

               

4.250%, 03/15/2042

    525       544  

3.950%, 03/30/2028

    1,377       1,451  

3.100%, 07/30/2051

    1,379       1,230  

National Rural Utilities Cooperative Finance MTN

               

1.875%, 02/07/2025

    1,155       1,146  

NextEra Energy Capital Holdings

               

0.750%, ICE LIBOR USD 3 Month + 0.270%, 02/22/2023 (B)

     5,000       4,995  

0.650%, 03/01/2023

    1,095       1,084  

NiSource

               

5.800%, 02/01/2042

    471       563  

Northern States Power

               

3.200%, 04/01/2052

    776       755  

NSTAR Electric

               

3.100%, 06/01/2051

    709       661  

Oncor Electric Delivery LLC

               

2.750%, 05/15/2030

    1,950       1,930  

2.700%, 11/15/2051 (D)

     734       624  

Pacific Gas and Electric

               

5.250%, 03/01/2052

    750       789  

4.950%, 07/01/2050

    1,552       1,537  

4.750%, 02/15/2044 (E)

     386       369  

4.500%, 07/01/2040

    394       371  

4.200%, 06/01/2041

    666       604  

3.950%, 12/01/2047

    1,732       1,509  

3.500%, 08/01/2050

    220       182  

3.300%, 08/01/2040

    90       76  

2.500%, 02/01/2031

    2,795       2,489  

2.100%, 08/01/2027

    4,054       3,766  

1.750%, 06/16/2022

    1,100       1,099  

1.700%, 11/15/2023

    2,910       2,859  

PacifiCorp

               

2.900%, 06/15/2052

    3,204       2,815  

PECO Energy

               

4.150%, 10/01/2044

    1,985       2,148  

2.850%, 09/15/2051

    1,387       1,240  

Pennsylvania Electric

               

4.150%, 04/15/2025 (D)

     995       1,029  

3.250%, 03/15/2028 (D)

     1,119       1,122  

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara MTN

               

6.150%, 05/21/2048 (D)

     2,090       2,301  

5.450%, 05/21/2028 (D)

     1,030       1,121  

4.125%, 05/15/2027 (D)

     1,990       2,037  

Piedmont Natural Gas

               

2.500%, 03/15/2031

    3,153       3,001  

Progress Energy

               

6.000%, 12/01/2039

    200       247  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

221

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Public Service Electric and Gas MTN

               

3.700%, 05/01/2028

  $ 3,090     $ 3,264  

2.700%, 05/01/2050

    624       546  

2.050%, 08/01/2050

    319       243  

1.900%, 08/15/2031

    1,540       1,423  

Public Service Enterprise Group

               

2.450%, 11/15/2031

    1,436       1,361  

1.600%, 08/15/2030

    881       783  

Public Service of Oklahoma

               

3.150%, 08/15/2051

    776       702  

2.200%, 08/15/2031

    1,161       1,085  

Southern California Edison

               

4.125%, 03/01/2048

    863       870  

Southern California Gas

               

2.550%, 02/01/2030

    1,840       1,790  

Southern Gas Capital

               

3.250%, 06/15/2026

    1,550       1,593  

1.750%, 01/15/2031

    1,208       1,071  

Southwestern Electric Power

               

2.750%, 10/01/2026

    1,000       1,008  

1.650%, 03/15/2026

    3,990       3,854  

Southwestern Public Service

               

3.750%, 06/15/2049

    2,000       2,052  

Trans-Allegheny Interstate Line

               

3.850%, 06/01/2025 (D)

     541       559  

Virginia Electric and Power

               

4.650%, 08/15/2043

    1,205       1,363  

3.450%, 02/15/2024

    150       154  

2.950%, 11/15/2051

    1,146       1,034  

2.450%, 12/15/2050

    445       363  

Vistra Operations LLC

               

4.300%, 07/15/2029 (D)

     2,725       2,760  

WEC Energy Group

               

0.800%, 03/15/2024

    3,430       3,341  

Wisconsin Electric Power

               

1.700%, 06/15/2028

    670       639  
                 
              185,967  
                 

Total Corporate Obligations

                

(Cost $2,712,402) ($ Thousands)

             2,665,614  
                 
                 
                 

ASSET-BACKED SECURITIES — 7.5%

Automotive — 0.7%

        
         

AmeriCredit Automobile Receivables Trust, Ser 2020-2, Cl A2A

                

0.600%, 12/18/2023

    1       1  

AmeriCredit Automobile Receivables Trust, Ser 2020-3, Cl A2

                

0.420%, 03/18/2024

    284       284  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Avis Budget Rental Car Funding AESOP LLC, Ser 2019-3A, Cl A

                

2.360%, 03/20/2026 (D)

   $ 1,574     $ 1,573  

Avis Budget Rental Car Funding AESOP LLC, Ser 2020-1A, Cl A

                

2.330%, 08/20/2026 (D)

     4,538       4,540  

Avis Budget Rental Car Funding AESOP LLC, Ser 2020-2A, Cl A

                

2.020%, 02/20/2027 (D)

     3,620       3,572  

Avis Budget Rental Car Funding AESOP LLC, Ser 2021-2A, Cl A

                

1.660%, 02/20/2028 (D)

     3,473       3,366  

Chesapeake Funding II LLC, Ser 2019-1A, Cl A1

                

2.940%, 04/15/2031 (D)

     956       958  

Chesapeake Funding II LLC, Ser 2020-1A, Cl A1

                

0.870%, 08/15/2032 (D)

     3,090       3,070  

Chesapeake Funding II LLC, Ser 2020-1A, Cl B

                

1.240%, 08/15/2032 (D)

     1,830       1,817  

Donlen Fleet Lease Funding II LLC, Ser 2021-2, Cl A2

                

0.560%, 12/11/2034 (D)

     2,537       2,497  

Donlen Fleet Lease Funding II LLC, Ser 2021-2, Cl B

                

0.980%, 12/11/2034 (D)

     1,140       1,111  

Donlen Fleet Lease Funding II LLC, Ser 2021-2, Cl C

                

1.200%, 12/11/2034 (D)

     1,990       1,932  

Enterprise Fleet Financing LLC, Ser 2019-1, Cl A2

                

2.980%, 10/20/2024 (D)

     63       63  

Enterprise Fleet Funding LLC, Ser 2021-1, Cl A3

                

0.700%, 12/21/2026 (D)

     905       876  

Exeter Automobile Receivables Trust, Ser 2021-2A, Cl A2

                

0.270%, 01/16/2024

    201       201  

Ford Credit Auto Owner Trust, Ser 2018-1, Cl A

                

3.190%, 07/15/2031 (D)

     1,344       1,379  

Ford Credit Floorplan Master Owner Trust, Ser 2018-4, Cl A

                

4.060%, 11/15/2030

    2,740       2,967  

Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl A2

                

1.150%, 09/15/2025 (D)

     1,655       1,647  

GLS Auto Receivables Issuer Trust, Ser 2021-3A, Cl A

                

0.420%, 01/15/2025 (D)

     1,471       1,465  

 

 

 

222

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Hertz Vehicle Financing III LLC, Ser 2022-1A, Cl A

                

1.990%, 06/25/2026 (D)

   $ 5,990     $ 5,911  

Hertz Vehicle Financing III, Ser 2021-2A, Cl A

                

1.680%, 12/27/2027 (D)

     3,002       2,877  

Hertz Vehicle Financing III, Ser 2021-2A, Cl C

                

2.520%, 12/27/2027 (D)

     2,030       1,949  

Hertz Vehicle Financing LLC, Ser 2022-2A, Cl A

                

2.330%, 06/26/2028 (D)

     3,726       3,680  

Hyundai Auto Receivables Trust, Ser 2021-C, Cl A4

                

1.030%, 12/15/2027

    1,347       1,299  

JPMorgan Chase Bank - CACLN, Ser 2020-1, Cl B

                

0.991%, 01/25/2028 (D)

     524       522  

JPMorgan Chase Bank - CACLN, Ser 2020-2, Cl B

                

0.840%, 02/25/2028 (D)

     1,018       1,011  

JPMorgan Chase Bank - CACLN, Ser 2021-2, Cl B

                

0.889%, 12/26/2028 (D)

     1,587       1,569  

JPMorgan Chase Bank - CACLN, Ser 2021-3, Cl B

                

0.760%, 02/26/2029 (D)

     2,991       2,947  

Santander Drive Auto Receivables Trust, Ser 2020-4, Cl A3

                

0.480%, 07/15/2024

    402       402  

Santander Drive Auto Receivables Trust, Ser 2021-2, Cl A2

                

0.280%, 04/15/2024

    442       442  

Santander Drive Auto Receivables Trust, Ser 2021-2, Cl B

                

0.590%, 09/15/2025

    1,830       1,819  

Tidewater Auto Receivables Trust, Ser 2020-AA, Cl A2

                

1.390%, 08/15/2024 (D)

     24       24  

Toyota Auto Loan Extended Note Trust, Ser 2021-1A, Cl A

                

1.070%, 02/27/2034 (D)

     1,273       1,220  

Toyota Auto Receivables Owner Trust, Ser 2019-D, Cl A3

                

1.920%, 01/16/2024

    294       296  

Westlake Automobile Receivables Trust, Ser 2019-3A, Cl C

                

2.490%, 10/15/2024 (D)

     3,023       3,033  

Westlake Automobile Receivables Trust, Ser 2021-1A, Cl A2A

                

0.390%, 10/15/2024 (D)

     1,312       1,308  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Wheels SPV II LLC, Ser 2020-1A, Cl A2

                

0.510%, 08/20/2029 (D)

   $ 1,883     $ 1,870  
              65,498  
                 

Credit Cards — 0.1%

        
         

Capital One Multi-Asset Execution Trust, Ser 2021-A2, Cl A2

                

1.390%, 07/15/2030

    2,458       2,331  

Citibank Credit Card Issuance Trust, Ser 2017-A6, Cl A6

                

0.894%, ICE LIBOR USD 1 Month + 0.770%, 05/14/2029 (B)

     5,880       5,913  
              8,244  
                 

Mortgage Related Securities — 0.2%

        
         

Aames Mortgage Trust, Ser 2002-1, Cl A3

                

7.396%, 06/25/2032

    19       18  

Accredited Mortgage Loan Trust, Ser 2005-3, Cl M3

                

0.907%, ICE LIBOR USD 1 Month + 0.720%, 09/25/2035 (B)

     5,502       5,483  

Bayview Financial Mortgage Pass-Through Trust, Ser 2006-A, Cl M3

                

1.184%, ICE LIBOR USD 1 Month + 0.975%, 02/28/2041 (B)

     778       776  

Centex Home Equity Loan Trust, Ser 2005-A, Cl M1

                

0.907%, ICE LIBOR USD 1 Month + 0.720%, 01/25/2035 (B)

     2,999       2,994  

Delta Funding Home Equity Loan Trust, Ser 1999-3, Cl A1A

                

1.011%, ICE LIBOR USD 1 Month + 0.820%, 09/15/2029 (B)

     185       182  

Master Asset-Backed Securities Trust, Ser 2006-WMC3, Cl A4

                

0.347%, ICE LIBOR USD 1 Month + 0.160%, 08/25/2036 (B)

     702       303  

Morgan Stanley Mortgage Loan Trust, Ser 2007-3XS, Cl 2A3S

                

5.858%, 01/25/2047

    13       6  

RASC Trust, Ser 2005-KS9, Cl M5

                

1.132%, ICE LIBOR USD 1 Month + 0.630%, 10/25/2035 (B)

     8,000       7,970  

Soundview Home Loan Trust, Ser 2006-OPT3, Cl 2A3

                

0.527%, ICE LIBOR USD 1 Month + 0.340%, 06/25/2036 (B)

     167       167  

Structured Asset Securities Pass-Through Certificates, Ser 2002-AL1, Cl A2

                

3.450%, 02/25/2032

    24       23  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

223

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Wells Fargo Home Equity Asset-Backed Securities Trust, Ser 2004-2, Cl A33

                

1.187%, ICE LIBOR USD 1 Month + 1.000%, 10/25/2034 (B)

   $ 2,018     $ 2,002  
              19,924  
                 

Other Asset-Backed Securities — 6.5%

        
         

522 Funding CLO, Ser 2021-6A, Cl A1R

                

1.409%, ICE LIBOR USD 3 Month + 1.150%, 10/23/2034 (B)(D)

     3,490       3,485  

ABPCI Direct Lending Fund CLO X, Ser 2020-10A, Cl A1A

                

2.204%, ICE LIBOR USD 3 Month + 1.950%, 01/20/2032 (B)(D)

     2,420       2,413  

ABPCI Direct Lending Fund IX LLC, Ser 2021-9A, Cl A1R

                

1.668%, ICE LIBOR USD 3 Month + 1.400%, 11/18/2031 (B)(D)

     4,190       4,178  

AccessLex Institute, Ser 2007-A, Cl A3

                

0.798%, ICE LIBOR USD 3 Month + 0.300%, 05/25/2036 (B)

     2,143       2,086  

ACRES Commercial Realty, Ser 2021-FL1, Cl AS

                

1.720%, ICE LIBOR USD 1 Month + 1.600%, 06/15/2036 (B)(D)

     6,000       5,915  

AGL CLO VI, Ser 2021-6A, Cl AR

                

1.454%, ICE LIBOR USD 3 Month + 1.200%, 07/20/2034 (B)(D)

     1,360       1,353  

Aimco CLO XI, Ser 2021-11A, Cl AR

                

1.371%, ICE LIBOR USD 3 Month + 1.130%, 10/17/2034 (B)(D)

     5,500       5,484  

American Homes 4 Rent, Ser 2015-SFR1, Cl A

                

3.467%, 04/17/2052 (D)

     4,491       4,577  

AMMC CLO IX, Ser 2019-19A, Cl AR

                

1.381%, ICE LIBOR USD 3 Month + 1.140%, 10/16/2028 (B)(D)

     1,036       1,036  

AMMC CLO XIII, Ser 2021-13A, Cl A1R2

                

1.317%, ICE LIBOR USD 3 Month + 1.050%, 07/24/2029 (B)(D)

     6,000       5,990  

Antares CLO, Ser 2021-1A, Cl A1R

                

1.588%, ICE LIBOR USD 3 Month + 1.460%, 10/23/2033 (B)(D)

     2,500       2,484  

Apidos CLO XXXV, Ser 2021-35A, Cl A

                

1.304%, ICE LIBOR USD 3 Month + 1.050%, 04/20/2034 (B)(D)

     1,320       1,307  

Applebee's Funding LLC / IHOP Funding LLC, Ser 2019-1A, Cl A2I

                

4.194%, 06/05/2049 (D)

     1,980       1,975  

Aqua Finance Trust, Ser 2021-A, Cl A

                

1.540%, 07/17/2046 (D)

     2,607       2,544  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Arbor Realty Commercial Real Estate Notes, Ser 2022-FL1, Cl A

                

1.500%, SOFR30A + 1.450%, 01/15/2037 (B)(D)

   $ 1,848     $ 1,846  

ARES XLVII CLO, Ser 2018-47A, Cl A1

                

1.161%, ICE LIBOR USD 3 Month + 0.920%, 04/15/2030 (B)(D)

     1,040       1,038  

Balboa Bay Loan Funding, Ser 2021-2A, Cl A1

                

1.382%, ICE LIBOR USD 3 Month + 1.170%, 01/20/2035 (B)(D)

     1,230       1,230  

Barings CLO, Ser 2017-IA, Cl AR

                

1.054%, ICE LIBOR USD 3 Month + 0.800%, 01/20/2028 (B)(D)

     2,956       2,954  

Blackbird Capital Aircraft, Ser 2021-1A, Cl A

                

2.443%, 07/15/2046 (D)

     992       952  

Brazos Education Loan Authority, Ser 2012-1, Cl A1

                

0.887%, ICE LIBOR USD 1 Month + 0.700%, 12/26/2035 (B)

     1,139       1,127  

Brazos Higher Education Authority, Ser 2010-1, Cl A2

                

1.698%, ICE LIBOR USD 3 Month + 1.200%, 02/25/2035 (B)

     4,835       4,841  

Brazos Higher Education Authority, Ser 2011-1, Cl A2

                

1.298%, ICE LIBOR USD 3 Month + 0.800%, 02/25/2030 (B)

     328       328  

Brazos Higher Education Authority, Ser 2011-2, Cl A3

                

1.258%, ICE LIBOR USD 3 Month + 1.000%, 10/27/2036 (B)

     3,520       3,519  

BSPRT Issuer, Ser 2019-FL5, Cl A

                

1.341%, ICE LIBOR USD 1 Month + 1.150%, 05/15/2029 (B)(D)

     2,878       2,866  

Carlyle Global Market Strategies CLO, Ser 2018-3RA, Cl A1A

                

1.318%, ICE LIBOR USD 3 Month + 1.050%, 07/27/2031 (B)(D)

     863       861  

Carlyle US CLO, Ser 2021-1A, Cl A1

                

1.381%, ICE LIBOR USD 3 Month + 1.140%, 04/15/2034 (B)(D)

     2,400       2,393  

Carlyle US CLO, Ser 2021-1A, Cl A2R

                

1.904%, ICE LIBOR USD 3 Month + 1.650%, 07/20/2034 (B)(D)

     3,030       3,009  

Catskill Park CLO, Ser 2017-1A, Cl A2

                

1.954%, ICE LIBOR USD 3 Month + 1.700%, 04/20/2029 (B)(D)

     1,500       1,500  

Cayuga Park CLO, Ser 2021-1A, Cl AR

                

1.361%, ICE LIBOR USD 3 Month + 1.120%, 07/17/2034 (B)(D)

     2,360       2,351  

 

 

 

224

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

CBAM, Ser 2017-1A, Cl A1

                

1.504%, ICE LIBOR USD 3 Month + 1.250%, 07/20/2030 (B)(D)

   $ 750     $ 749  

Cedar Funding V CLO, Ser 2020-5A, Cl AFRR

                

1.937%, 07/17/2031 (D)

     1,580       1,542  

Cerberus Loan Funding XXVIII, Ser 2020-1A, Cl A

                

1.974%, ICE LIBOR USD 3 Month + 1.850%, 10/15/2031 (B)(D)

     700       700  

Chase Funding Trust, Ser 2003-6, Cl 1A5

                

4.921%, 11/25/2034

    111       114  

Chase Funding Trust, Ser 2003-6, Cl 1A7

                

4.921%, 11/25/2034

    110       113  

CIFC Funding, Ser 2021-7A, Cl A1

                

1.258%, ICE LIBOR USD 3 Month + 1.130%, 01/23/2035 (B)(D)

     6,225       6,195  

CIT Education Loan Trust, Ser 2007-1, Cl A

                

0.310%, ICE LIBOR USD 3 Month + 0.090%, 03/25/2042 (B)(D)

     1,390       1,339  

Citicorp Residential Mortgage Trust, Ser 2006-2, Cl A5

                

5.104%, 09/25/2036

    1,103       1,110  

Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5

                

5.056%, 03/25/2037

    475       483  

CLI Funding VIII LLC, Ser 2022-1A, Cl A1

                

2.720%, 01/18/2047 (D)

     1,810       1,785  

College Avenue Student Loans LLC, Ser 2017-A, Cl A1

                

1.837%, ICE LIBOR USD 1 Month + 1.650%, 11/26/2046 (B)(D)

     704       711  

College Avenue Student Loans LLC, Ser 2018-A, Cl A2

                

4.130%, 12/26/2047 (D)

     502       508  

College Avenue Student Loans LLC, Ser 2019-A, Cl A2

                

3.280%, 12/28/2048 (D)

     1,030       1,042  

College Avenue Student Loans LLC, Ser 2021-A, Cl A2

                

1.600%, 07/25/2051 (D)

     1,571       1,496  

College Avenue Student Loans LLC, Ser 2021-B, Cl A2

                

1.760%, 06/25/2052 (D)

     848       813  

College Avenue Student Loans LLC, Ser 2021-C, Cl A2

                

2.320%, 07/26/2055 (D)

     534       520  

COOF Securitization Trust, Ser 2014-1, Cl A, IO

                

2.822%, 06/25/2040 (B)(D)

     165       14  

Countrywide Asset-Backed Certificates Trust, Ser 2004-6, Cl 1A1

                

0.727%, ICE LIBOR USD 1 Month + 0.540%, 12/25/2034 (B)

     2,164       2,107  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Countrywide Asset-Backed Certificates Trust, Ser 2007-13, Cl 2A1

                

1.087%, ICE LIBOR USD 1 Month + 0.900%, 10/25/2047 (B)

   $ 239     $ 237  

Countrywide Asset-Backed Certificates, Ser 2006-15, Cl A3

                

4.432%, 10/25/2046 (B)

     0       –  

Countrywide Asset-Backed Certificates, Ser 2006-SD3, Cl A1

                

0.847%, ICE LIBOR USD 1 Month + 0.660%, 07/25/2036 (B)(D)

     39       38  

Countrywide Home Equity Loan Revolving Home Equity Loan Trust, Ser 2007-A, Cl A

                

0.311%, ICE LIBOR USD 1 Month + 0.120%, 04/15/2037 (B)

     1,510       1,432  

Credit-Based Asset Servicing and Securitization LLC, Ser 2003-CB3, Cl AF1

                

3.379%, 12/25/2032

    26       25  

Credit-Based Asset Servicing and Securitization LLC, Ser 2006-CB2, Cl AF2

                

3.012%, 12/25/2036

    346       346  

CSMC Trust, Ser 2017-RPL1, Cl A1

                

2.750%, 07/25/2057 (B)(D)

     4,691       4,723  

Dryden 64 CLO, Ser 2018-64A, Cl A

                

1.211%, ICE LIBOR USD 3 Month + 0.970%, 04/18/2031 (B)(D)

     4,585       4,562  

Dryden LXXV CLO, Ser 2021-75A, Cl AR2

                

1.281%, ICE LIBOR USD 3 Month + 1.040%, 04/15/2034 (B)(D)

     1,260       1,255  

Dryden LXXVII CLO, Ser 2021-77A, Cl BR

                

2.130%, ICE LIBOR USD 3 Month + 1.650%, 05/20/2034 (B)(D)

     2,910       2,892  

Dryden XXVI Senior Loan Fund, Ser 2018-26A, Cl AR

                

1.141%, ICE LIBOR USD 3 Month + 0.900%, 04/15/2029 (B)(D)

     3,951       3,930  

Eaton Vance CLO, Ser 2021-2A, Cl AR

                

1.391%, ICE LIBOR USD 3 Month + 1.150%, 01/15/2035 (B)(D)

     1,830       1,822  

Educational Funding of the South, Ser 2011-1, Cl A2

                

0.908%, ICE LIBOR USD 3 Month + 0.650%, 04/25/2035 (B)

     1,329       1,327  

EFS Volunteer No. 3 LLC, Ser 2012-1, Cl A3

                

1.187%, ICE LIBOR USD 1 Month + 1.000%, 04/25/2033 (B)(D)

     2,472       2,472  

Elmwood CLO II, Ser 2021-2A, Cl AR

                

1.404%, ICE LIBOR USD 3 Month + 1.150%, 04/20/2034 (B)(D)

     3,100       3,093  

FirstKey Homes Trust, Ser 2020-SFR1, Cl A

                

1.339%, 08/17/2037 (D)

     1,887       1,808  

FirstKey Homes Trust, Ser 2020-SFR2, Cl A

                

1.266%, 10/19/2037 (D)

     8,636       8,232  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

225

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

FirstKey Homes Trust, Ser 2021-SFR1, Cl A

                

1.538%, 08/17/2038 (D)

   $ 2,498     $ 2,373  

FirstKey Homes Trust, Ser 2021-SFR2, Cl A

                

1.376%, 09/17/2038 (D)

     2,470       2,323  

FirstKey Homes Trust, Ser 2021-SFR3, Cl A

                

2.135%, 12/17/2038 (D)

     4,540       4,418  

FNMA Grantor Trust, Ser 2017-T1, Cl A

                

2.898%, 06/25/2027

    179       185  

Galaxy XV CLO, Ser 2021-15A, Cl ARR

                

1.211%, ICE LIBOR USD 3 Month + 0.970%, 10/15/2030 (B)(D)

     3,350       3,340  

Global SC Finance II SRL, Ser 2014-1A, Cl A2

                

3.090%, 07/17/2029 (D)

     666       665  

GoldentTree Loan Management US CLO I, Ser 2021-11A, Cl B

                

1.854%, ICE LIBOR USD 3 Month + 1.600%, 10/20/2034 (B)(D)

     6,000       5,958  

Golub Capital Partners CLO, Ser 2019-45A, Cl A

                

1.974%, ICE LIBOR USD 3 Month + 1.720%, 10/20/2031 (B)(D)

     1,500       1,501  

Great Lakes Kcap F3c Senior LLC, Ser 2017-1A, Cl A

                

2.114%, ICE LIBOR USD 3 Month + 1.900%, 12/20/2029 (B)(D)

     4,070       4,065  

Halsey Point CLO I, Ser 2019-1A, Cl A1A1

                

1.604%, ICE LIBOR USD 3 Month + 1.350%, 01/20/2033 (B)(D)

     590       590  

Halsey Point CLO III, Ser 2020-3A, Cl A1A

                

1.749%, ICE LIBOR USD 3 Month + 1.450%, 11/30/2032 (B)(D)

     700       698  

Hardee's Funding LLC, Ser 2021-1A, Cl A2

                

2.865%, 06/20/2051 (D)

     3,741       3,546  

HGI CRE CLO, Ser 2021-FL1, Cl A

                

1.176%, ICE LIBOR USD 1 Month + 1.050%, 06/16/2036 (B)(D)

     3,020       2,998  

Higher Education Funding I, Ser 2014-1, Cl A

                

1.548%, ICE LIBOR USD 3 Month + 1.050%, 05/25/2034 (B)(D)

     1,693       1,694  

Hildene Community Funding CDO, Ser 2021-1A, Cl ARR

                

2.600%, 11/01/2035 (D)

     2,220       2,203  

Hilton Grand Vacations Trust, Ser 2020-AA, Cl A

                

2.740%, 02/25/2039 (D)

     1,467       1,468  

Home Partners of America Trust, Ser 2019-2, Cl A

                

2.703%, 10/19/2039 (D)

     3,350       3,317  

Home Partners of America Trust, Ser 2021-2, Cl A

                

1.901%, 12/17/2026 (D)

     3,051       2,938  

Hotwire Funding LLC, Ser 2021-1, Cl A2

                

2.311%, 11/20/2051 (D)

     1,625       1,566  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

HPS Loan Management, Ser 2021-16A, Cl A1

                

1.395%, ICE LIBOR USD 3 Month + 1.140%, 01/23/2035 (B)(D)

   $ 7,730     $ 7,702  

HSI Asset Securitization Trust, Ser 2006-OPT3, Cl 3A3

                

0.547%, ICE LIBOR USD 1 Month + 0.360%, 02/25/2036 (B)

     20       20  

Invitation Homes Trust, Ser 2018-SFR2, Cl A

                

1.091%, ICE LIBOR USD 1 Month + 0.900%, 06/17/2037 (B)(D)

     5,527       5,518  

JGWPT XXX LLC, Ser 2013-3A, Cl A

                

4.080%, 01/17/2073 (D)

     1,311       1,404  

JGWPT XXXII LLC, Ser 2014-2A, Cl A

                

3.610%, 01/17/2073 (D)

     1,761       1,845  

KGS-Alpha SBA COOF Trust, Ser 2012-A, Cl A, IO

                

0.839%, 08/25/2038 (B)(D)

     587       11  

KGS-Alpha SBA COOF Trust, Ser 2014-2, Cl A, IO

                

3.549%, 04/25/2040 (B)(D)

     133       10  

KKR CLO XXXII, Ser 2020-32A, Cl A1

                

1.561%, ICE LIBOR USD 3 Month + 1.320%, 01/15/2032 (B)(D)

     900       900  

KREF 2022-FL3, Ser 2022-FL3, Cl A

                

1.500%, TSFR1M + 1.450%, 02/15/2039 (B)(D)

     4,100       4,087  

LCM Loan Income Fund I Income Note Issuer, Ser 2018-27A, Cl A1

                

1.321%, ICE LIBOR USD 3 Month + 1.080%, 07/16/2031 (B)(D)

     925       924  

LCM XVIII, Ser 2019-19A, Cl AR

                

1.481%, ICE LIBOR USD 3 Month + 1.240%, 07/15/2027 (B)(D)

     156       156  

LCM XXI, Ser 2018-21A, Cl AR

                

1.134%, ICE LIBOR USD 3 Month + 0.880%, 04/20/2028 (B)(D)

     741       741  

LCM XXIV, Ser 2021-24A, Cl AR

                

1.234%, ICE LIBOR USD 3 Month + 0.980%, 03/20/2030 (B)(D)

     5,900       5,893  

LoanCore Issuer, Ser 2019-CRE2, Cl A

                

1.321%, ICE LIBOR USD 1 Month + 1.130%, 05/15/2036 (B)(D)

     4,332       4,332  

Madison Park Funding XXXV, Ser 2021-35A, Cl A1R

                

1.244%, ICE LIBOR USD 3 Month + 0.990%, 04/20/2032 (B)(D)

     4,010       3,994  

Magnetite XIV-R, Ser 2018-14RA, Cl A2

                

1.359%, ICE LIBOR USD 3 Month + 1.120%, 10/18/2031 (B)(D)

     2,910       2,898  

Magnetite XXVIII, Ser 2021-28A, Cl AR

                

1.360%, ICE LIBOR USD 3 Month + 1.130%, 01/20/2035 (B)(D)

     3,300       3,277  

 

 

 

226

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

MF1, Ser 2020-FL4, Cl A

                

1.885%, TSFR1M + 1.814%, 11/15/2035 (B)(D)

   $ 1,830     $ 1,836  

MF1, Ser 2021-FL6, Cl A

                

1.226%, ICE LIBOR USD 1 Month + 1.100%, 07/16/2036 (B)(D)

     570       564  

MF1, Ser 2021-FL7, Cl A

                

1.206%, ICE LIBOR USD 1 Month + 1.080%, 10/16/2036 (B)(D)

     3,875       3,836  

Mid-State Capital Trust, Ser 2006-1, Cl A

                

5.787%, 10/15/2040 (D)

     2,523       2,623  

Mid-State Trust XI, Ser 2003-11, Cl A1

                

4.864%, 07/15/2038

    1,116       1,136  

MKS CLO, Ser 2018-2A, Cl A

                

1.444%, ICE LIBOR USD 3 Month + 1.190%, 01/20/2031 (B)(D)

     1,500       1,501  

MVW LLC, Ser 2021-1WA, Cl A

                

1.140%, 01/22/2041 (D)

     1,485       1,438  

MVW LLC, Ser 2021-1WA, Cl B

                

1.440%, 01/22/2041 (D)

     747       720  

Myers Park CLO, Ser 2018-1A, Cl B1

                

1.854%, ICE LIBOR USD 3 Month + 1.600%, 10/20/2030 (B)(D)

     890       886  

Navient Private Education Loan Trust, Ser 2014-AA, Cl A3

                

1.791%, ICE LIBOR USD 1 Month + 1.600%, 10/15/2031 (B)(D)

     1,086       1,095  

Navient Private Education Loan Trust, Ser 2016-AA, Cl A2B

                

2.341%, ICE LIBOR USD 1 Month + 2.150%, 12/15/2045 (B)(D)

     479       489  

Navient Private Education Loan Trust, Ser 2018-BA, Cl A2A

                

3.610%, 12/15/2059 (D)

     859       877  

Navient Private Education Loan Trust, Ser 2020-IA, Cl A1A

                

1.330%, 04/15/2069 (D)

     4,792       4,630  

Navient Private Education Refi Loan Trust, Ser 2018-A, Cl A2

                

3.190%, 02/18/2042 (D)

     143       143  

Navient Private Education Refi Loan Trust, Ser 2018-CA, Cl A2

                

3.520%, 06/16/2042 (D)

     280       282  

Navient Private Education Refi Loan Trust, Ser 2018-DA, Cl A2A

                

4.000%, 12/15/2059 (D)

     2,475       2,574  

Navient Private Education Refi Loan Trust, Ser 2019-A, Cl A2A

                

3.420%, 01/15/2043 (D)

     1,660       1,680  

Navient Private Education Refi Loan Trust, Ser 2019-CA, Cl A2

                

3.130%, 02/15/2068 (D)

     2,594       2,614  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Navient Private Education Refi Loan Trust, Ser 2019-D, Cl A2A

                

3.010%, 12/15/2059 (D)

   $ 2,669     $ 2,718  

Navient Private Education Refi Loan Trust, Ser 2019-FA, Cl A2

                

2.600%, 08/15/2068 (D)

     3,426       3,431  

Navient Private Education Refi Loan Trust, Ser 2019-GA, Cl A

                

2.400%, 10/15/2068 (D)

     870       871  

Navient Private Education Refi Loan Trust, Ser 2020-BA, Cl A2

                

2.120%, 01/15/2069 (D)

     1,012       1,006  

Navient Private Education Refi Loan Trust, Ser 2020-DA, Cl A

                

1.690%, 05/15/2069 (D)

     1,203       1,192  

Navient Private Education Refi Loan Trust, Ser 2020-EA, Cl A

                

1.690%, 05/15/2069 (D)

     1,773       1,753  

Navient Private Education Refi Loan Trust, Ser 2020-GA, Cl A

                

1.170%, 09/16/2069 (D)

     3,367       3,324  

Navient Private Education Refi Loan Trust, Ser 2020-HA, Cl A

                

1.310%, 01/15/2069 (D)

     2,131       2,088  

Navient Private Education Refi Loan Trust, Ser 2021-A, Cl A

                

0.840%, 05/15/2069 (D)

     870       845  

Navient Private Education Refi Loan Trust, Ser 2021-BA, Cl A

                

0.940%, 07/15/2069 (D)

     2,227       2,154  

Navient Private Education Refi Loan Trust, Ser 2021-CA, Cl A

                

1.060%, 10/15/2069 (D)

     3,626       3,512  

Navient Private Education Refi Loan Trust, Ser 2021-EA, Cl A

                

0.970%, 12/16/2069 (D)

     6,275       6,046  

Navient Private Education Refi Loan Trust, Ser 2021-FA, Cl A

                

1.110%, 02/18/2070 (D)

     5,905       5,634  

Navient Private Education Refi Loan Trust, Ser 2021-GA, Cl A

                

1.580%, 04/15/2070 (D)

     1,813       1,766  

Navient Private Education Refi Loan Trust, Ser 2022-A, Cl A

                

2.230%, 07/15/2070 (D)

     8,312       8,240  

Navient Student Loan Trust, Ser 2014-1, Cl A3

                

0.697%, ICE LIBOR USD 1 Month + 0.510%, 06/25/2031 (B)

     3,051       2,967  

Navient Student Loan Trust, Ser 2014-3, Cl A

                

0.807%, ICE LIBOR USD 1 Month + 0.620%, 03/25/2083 (B)

     3,610       3,586  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

227

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Navient Student Loan Trust, Ser 2014-4, Cl A

                

0.807%, ICE LIBOR USD 1 Month + 0.620%, 03/25/2083 (B)

   $ 2,442     $ 2,423  

Navient Student Loan Trust, Ser 2016-3A, Cl A3

                

1.537%, ICE LIBOR USD 1 Month + 1.350%, 06/25/2065 (B)(D)

     1,662       1,693  

Navient Student Loan Trust, Ser 2017-3A, Cl A3

                

1.237%, ICE LIBOR USD 1 Month + 1.050%, 07/26/2066 (B)(D)

     6,630       6,616  

Navient Student Loan Trust, Ser 2019-BA, Cl A2A

                

3.390%, 12/15/2059 (D)

     3,051       3,120  

Navient Student Loan Trust, Ser 2021-1A, Cl A1A

                

1.310%, 12/26/2069 (D)

     1,262       1,185  

Navient Student Loan Trust, Ser 2021-3A, Cl A1A

                

1.770%, 08/25/2070 (D)

     2,961       2,885  

Nelnet Student Loan Trust, Ser 2004-3, Cl A5

                

0.438%, ICE LIBOR USD 3 Month + 0.180%, 10/27/2036 (B)

     844       827  

Nelnet Student Loan Trust, Ser 2004-4, Cl A5

                

0.418%, ICE LIBOR USD 3 Month + 0.160%, 01/25/2037 (B)

     1,581       1,575  

Nelnet Student Loan Trust, Ser 2005-1, Cl A5

                

0.368%, ICE LIBOR USD 3 Month + 0.110%, 10/25/2033 (B)

     5,311       5,290  

Nelnet Student Loan Trust, Ser 2005-2, Cl A5

                

0.314%, ICE LIBOR USD 3 Month + 0.100%, 03/23/2037 (B)

     4,807       4,703  

Nelnet Student Loan Trust, Ser 2005-3, Cl A5

                

0.334%, ICE LIBOR USD 3 Month + 0.120%, 12/24/2035 (B)

     4,212       4,193  

Nelnet Student Loan Trust, Ser 2005-4, Cl A4

                

0.394%, ICE LIBOR USD 3 Month + 0.180%, 03/22/2032 (B)

     655       632  

Nelnet Student Loan Trust, Ser 2014-4A, Cl A2

                

1.137%, ICE LIBOR USD 1 Month + 0.950%, 11/25/2048 (B)(D)

     3,735       3,762  

Nelnet Student Loan Trust, Ser 2021-CA, Cl AFX

                

1.320%, 04/20/2062 (D)

     3,193       3,051  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Neuberger Berman Loan Advisers CLO XL, Ser 2021-40A, Cl A

                

1.301%, ICE LIBOR USD 3 Month + 1.060%, 04/16/2033 (B)(D)

   $ 4,175     $ 4,168  

Newcastle Mortgage Securities Trust, Ser 2007-1, Cl 1A1

                

0.377%, ICE LIBOR USD 1 Month + 0.190%, 04/25/2037 (B)

     7,750       7,548  

NP SPE X, Ser 2021-1A, Cl A1

                

2.230%, 03/19/2051 (D)

     2,570       2,489  

Octagon Investment Partners L, Ser 2021-4A, Cl AR

                

1.391%, ICE LIBOR USD 3 Month + 1.150%, 01/15/2035 (B)(D)

     3,235       3,221  

Octagon Investment Partners XIV, Ser 2021-1A, Cl AARR

                

1.191%, ICE LIBOR USD 3 Month + 0.950%, 07/15/2029 (B)(D)

     6,000       5,954  

Octagon Investment Partners XLV, Ser 2019-1A, Cl A

                

1.571%, ICE LIBOR USD 3 Month + 1.330%, 10/15/2032 (B)(D)

     1,500       1,497  

Octagon Investment Partners XXI, Ser 2021-1A, Cl AAR3

                

1.395%, ICE LIBOR USD 3 Month + 1.000%, 02/14/2031 (B)(D)

     1,300       1,298  

OHA Credit Funding VII, Ser 2022-7A, Cl AR

                

0.000%, 02/24/2037 (B)(D)(H)

     1,730       1,725  

Orange Lake Timeshare Trust, Ser 2018-A, Cl A

                

3.100%, 11/08/2030 (D)

     175       176  

Orange Lake Timeshare Trust, Ser 2019-A, Cl A

                

3.060%, 04/09/2038 (D)

     1,061       1,062  

Owl Rock CLO III, Ser 2020-3A, Cl A1L

                

2.054%, ICE LIBOR USD 3 Month + 1.800%, 04/20/2032 (B)(D)

     1,620       1,618  

Palmer Square CLO, Ser 2021-1A, Cl A1R

                

1.545%, ICE LIBOR USD 3 Month + 1.150%, 11/14/2034 (B)(D)

     2,430       2,417  

Palmer Square CLO, Ser 2022-1A, Cl A

                

0.000%, 04/20/2035 (B)(D)(H)

     5,800       5,784  

Pawneee Equipment Receivables, Ser 2021-1, Cl A2

                

1.100%, 07/15/2027 (D)

     2,055       2,021  

Point Au Roche Park CLO, Ser 2021-1A, Cl A

                

1.334%, ICE LIBOR USD 3 Month + 1.080%, 07/20/2034 (B)(D)

     3,130       3,118  

Progress Residential Trust, Ser 2019-SFR2, Cl A

                

3.147%, 05/17/2036 (D)

     252       248  

 

 

 

228

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Progress Residential Trust, Ser 2019-SFR3, Cl A

                

2.271%, 09/17/2036 (D)

   $ 2,661     $ 2,633  

Progress Residential Trust, Ser 2019-SFR4, Cl A

                

2.687%, 10/17/2036 (D)

     2,235       2,218  

Progress Residential Trust, Ser 2021-SFR11, Cl A

                

2.283%, 01/17/2039 (D)

     1,765       1,711  

Progress Residential Trust, Ser 2021-SFR3, Cl A

                

1.637%, 05/17/2026 (D)

     6,184       5,932  

Progress Residential Trust, Ser 2021-SFR8, Cl A

                

1.510%, 10/17/2038 (D)

     5,570       5,278  

RAMP Trust, Ser 2007-RZ1, Cl A3

                

0.687%, ICE LIBOR USD 1 Month + 0.500%, 02/25/2037 (B)

     6,108       6,073  

RASC Trust, Ser 2006-KS2, Cl M2

                

0.772%, ICE LIBOR USD 1 Month + 0.585%, 03/25/2036 (B)

     2,297       2,281  

Recette CLO, Ser 2021-1A, Cl ARR

                

1.334%, ICE LIBOR USD 3 Month + 1.080%, 04/20/2034 (B)(D)

     760       756  

REESE PARK CLO, Ser 2021-1A, Cl AR

                

1.371%, ICE LIBOR USD 3 Month + 1.130%, 10/15/2034 (B)(D)

     3,690       3,673  

Rockford Tower CLO, Ser 2021-2A, Cl AR

                

1.580%, ICE LIBOR USD 3 Month + 1.100%, 08/20/2032 (B)(D)

     5,000       4,982  

RR III, Ser 2018-3A, Cl A1R2

                

1.331%, ICE LIBOR USD 3 Month + 1.090%, 01/15/2030 (B)(D)

     1,100       1,098  

SBA Small Business Investment, Ser 2018-10B, Cl 1

                

3.548%, 09/10/2028

    1,833       1,891  

SBA Small Business Investment, Ser 2019-10A, Cl 1

                

3.113%, 03/10/2029

    938       960  

Sequoia Infrastructure Funding I, Ser 2021-1A, Cl A

                

1.641%, ICE LIBOR USD 3 Month + 1.400%, 04/15/2031 (B)(D)

     1,577       1,576  

Sierra Timeshare Receivables Funding LLC, Ser 2018-3A, Cl B

                

3.870%, 09/20/2035 (D)

     1,352       1,369  

Silver Rock CLO I, Ser 2020-1A, Cl A

                

1.904%, ICE LIBOR USD 3 Month + 1.650%, 10/20/2031 (B)(D)

     2,350       2,355  

SLM Private Education Loan Trust, Ser 2010-C, Cl A5

                

4.941%, ICE LIBOR USD 1 Month + 4.750%, 10/15/2041 (B)(D)

     1,906       2,114  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Ser 2003-1, Cl A5C

                

0.953%, ICE LIBOR USD 3 Month + 0.750%, 12/15/2032 (B)(D)

   $ 933     $ 923  

SLM Student Loan Trust, Ser 2003-4, Cl A5D

                

0.953%, ICE LIBOR USD 3 Month + 0.750%, 03/15/2033 (B)(D)

     817       808  

SLM Student Loan Trust, Ser 2003-7A, Cl A5A

                

1.403%, ICE LIBOR USD 3 Month + 1.200%, 12/15/2033 (B)(D)

     3,001       2,978  

SLM Student Loan Trust, Ser 2006-8, Cl A6

                

0.418%, ICE LIBOR USD 3 Month + 0.160%, 01/25/2041 (B)

     3,986       3,763  

SLM Student Loan Trust, Ser 2007-2, Cl A4

                

0.318%, ICE LIBOR USD 3 Month + 0.060%, 07/25/2022 (B)

     4,673       4,655  

SLM Student Loan Trust, Ser 2008-2, Cl B

                

1.458%, ICE LIBOR USD 3 Month + 1.200%, 01/25/2083 (B)

     1,155       1,011  

SLM Student Loan Trust, Ser 2008-3, Cl B

                

1.458%, ICE LIBOR USD 3 Month + 1.200%, 04/26/2083 (B)

     1,155       1,073  

SLM Student Loan Trust, Ser 2008-4, Cl B

                

2.108%, ICE LIBOR USD 3 Month + 1.850%, 04/25/2073 (B)

     1,155       1,126  

SLM Student Loan Trust, Ser 2008-5, Cl B

                

2.108%, ICE LIBOR USD 3 Month + 1.850%, 07/25/2073 (B)

     1,155       1,142  

SLM Student Loan Trust, Ser 2008-6, Cl A4

                

1.358%, ICE LIBOR USD 3 Month + 1.100%, 07/25/2023 (B)

     4,195       4,174  

SLM Student Loan Trust, Ser 2008-6, Cl B

                

2.108%, ICE LIBOR USD 3 Month + 1.850%, 07/26/2083 (B)

     1,155       1,142  

SLM Student Loan Trust, Ser 2008-7, Cl B

                

2.108%, ICE LIBOR USD 3 Month + 1.850%, 07/26/2083 (B)

     1,155       1,148  

SLM Student Loan Trust, Ser 2008-8, Cl B

                

2.508%, ICE LIBOR USD 3 Month + 2.250%, 10/25/2075 (B)

     1,155       1,165  

SLM Student Loan Trust, Ser 2008-9, Cl A

                

1.758%, ICE LIBOR USD 3 Month + 1.500%, 04/25/2023 (B)

     2,822       2,827  

SLM Student Loan Trust, Ser 2008-9, Cl B

                

2.508%, ICE LIBOR USD 3 Month + 2.250%, 10/25/2083 (B)

     1,155       1,155  

SLM Student Loan Trust, Ser 2010-1, Cl A

                

0.587%, ICE LIBOR USD 1 Month + 0.400%, 03/25/2025 (B)

     113       112  

SLM Student Loan Trust, Ser 2011-2, Cl A2

                

1.387%, ICE LIBOR USD 1 Month + 1.200%, 10/25/2034 (B)

     473       474  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

229

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Ser 2014-3A, Cl A6A

                

0.808%, ICE LIBOR USD 3 Month + 0.550%, 10/25/2064 (B)(D)

   $ 6,609     $ 6,436  

SMB Private Education Loan Trust, Ser 2016-B, Cl A2A

                

2.430%, 02/17/2032 (D)

     635       636  

SMB Private Education Loan Trust, Ser 2016-B, Cl A2B

                

1.641%, ICE LIBOR USD 1 Month + 1.450%, 02/17/2032 (B)(D)

     824       829  

SMB Private Education Loan Trust, Ser 2016-C, Cl A2B

                

1.291%, ICE LIBOR USD 1 Month + 1.100%, 09/15/2034 (B)(D)

     743       746  

SMB Private Education Loan Trust, Ser 2018-C, Cl A2A

                

3.630%, 11/15/2035 (D)

     860       878  

SMB Private Education Loan Trust, Ser 2019-A, Cl A2A

                

3.440%, 07/15/2036 (D)

     4,044       4,145  

SMB Private Education Loan Trust, Ser 2020-BA, Cl A1A

                

1.290%, 07/15/2053 (D)

     2,665       2,604  

SMB Private Education Loan Trust, Ser 2020-PTA, Cl A2A

                

1.600%, 09/15/2054 (D)

     2,683       2,612  

SMB Private Education Loan Trust, Ser 2020-PTB, Cl A2A

                

1.600%, 09/15/2054 (D)

     7,764       7,617  

SMB Private Education Loan Trust, Ser 2021-A, Cl APT1

                

1.070%, 01/15/2053 (D)

     6,220       5,837  

SMB Private Education Loan Trust, Ser 2021-B, Cl A

                

1.310%, 07/17/2051 (D)

     5,431       5,297  

SMB Private Education Loan Trust, Ser 2021-C, Cl A2

                

0.991%, ICE LIBOR USD 1 Month + 0.800%, 01/15/2053 (B)(D)

     3,005       2,997  

SMB Private Education Loan Trust, Ser 2021-C, Cl APT1

                

1.390%, 01/15/2053 (D)

     3,301       3,111  

SMB Private Education Loan Trust, Ser 2021-C, Cl B

                

2.300%, 01/15/2053 (D)

     1,010       973  

SMB Private Education Loan Trust, Ser 2021-D, Cl A1A

                

1.340%, 03/17/2053 (D)

     7,028       6,812  

SMB Private Education Loan Trust, Ser 2021-E, Cl A1A

                

1.680%, 02/15/2051 (D)

     3,525       3,471  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

SoFi Professional Loan Program LLC, Ser 2016-D, Cl A1

                

1.137%, ICE LIBOR USD 1 Month + 0.950%, 01/25/2039 (B)(D)

   $ 45     $ 46  

SoFi Professional Loan Program LLC, Ser 2016-E, Cl A1

                

1.037%, ICE LIBOR USD 1 Month + 0.850%, 07/25/2039 (B)(D)

     42       42  

SoFi Professional Loan Program LLC, Ser 2017-A, Cl A1

                

0.887%, ICE LIBOR USD 1 Month + 0.700%, 03/26/2040 (B)(D)

     80       80  

SoFi Professional Loan Program LLC, Ser 2017-D, Cl A2FX

                

2.650%, 09/25/2040 (D)

     65       65  

SoFi Professional Loan Program LLC, Ser 2017-E, Cl A1

                

0.687%, ICE LIBOR USD 1 Month + 0.500%, 11/26/2040 (B)(D)

     8       8  

SoFi Professional Loan Program LLC, Ser 2017-E, Cl A2B

                

2.720%, 11/26/2040 (D)

     288       289  

SoFi Professional Loan Program LLC, Ser 2018-A, Cl A2B

                

2.950%, 02/25/2042 (D)

     401       402  

SoFi Professional Loan Program LLC, Ser 2021-A, Cl AFX

                

1.030%, 08/17/2043 (D)

     1,942       1,875  

SoFi Professional Loan Program LLC, Ser 2021-B, Cl AFX

                

1.140%, 02/15/2047 (D)

     2,122       2,045  

SoFi Professional Loan Program Trust, Ser 2018-B, Cl A2FX

                

3.340%, 08/25/2047 (D)

     1,273       1,284  

SoFi Professional Loan Program Trust, Ser 2020-C, Cl AFX

                

1.950%, 02/15/2046 (D)

     1,521       1,508  

South Carolina Student Loan, Ser 2015-A, Cl A

                

1.687%, ICE LIBOR USD 1 Month + 1.500%, 01/25/2036 (B)

     1,376       1,378  

Southwick Park CLO LLC, Ser 2021-4A, Cl A1R

                

1.314%, ICE LIBOR USD 3 Month + 1.060%, 07/20/2032 (B)(D)

     5,170       5,165  

Stack Infrastructure Issuer LLC, Ser 2019-1A, Cl A2

                

4.540%, 02/25/2044 (D)

     985       1,005  

Stack Infrastructure Issuer LLC, Ser 2020-1A, Cl A2

                

1.893%, 08/25/2045 (D)

     2,480       2,378  

 

 

 

230

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Structured Asset Investment Loan Trust, Ser 2004-7, Cl A8

                

1.387%, ICE LIBOR USD 1 Month + 1.200%, 08/25/2034 (B)

   $ 1,040     $ 1,035  

Structured Asset Investment Loan Trust, Ser 2004-8, Cl A2

                

0.737%, ICE LIBOR USD 1 Month + 0.550%, 09/25/2034 (B)

     2,632       2,560  

Structured Asset Securities Mortgage Loan Trust, Ser 2006-BC5, Cl A4

                

0.527%, ICE LIBOR USD 1 Month + 0.340%, 12/25/2036 (B)

     2,698       2,665  

STWD, Ser 2019-FL1, Cl A

                

1.294%, TSFR1M + 1.194%, 07/15/2038 (B)(D)

     715       712  

STWD, Ser 2022-FL3, Cl A

                

1.400%, SOFR30A + 1.350%, 11/15/2038 (B)(D)

     3,080       3,069  

Symphony CLO XXVI, Ser 2021-26A, Cl AR

                

1.334%, ICE LIBOR USD 3 Month + 1.080%, 04/20/2033 (B)(D)

     2,405       2,399  

Towd Point Mortgage Trust, Ser 2017-4, Cl B2

                

3.424%, 06/25/2057 (B)(D)

     1,860       1,868  

Towd Point Mortgage Trust, Ser 2018-2, Cl A1

                

3.250%, 03/25/2058 (B)(D)

     751       759  

Towd Point Mortgage Trust, Ser 2019-4, Cl A1

                

2.900%, 10/25/2059 (B)(D)

     1,695       1,708  

Towd Point Mortgage Trust, Ser 2019-HY2, Cl A1

                

1.187%, ICE LIBOR USD 1 Month + 1.000%, 05/25/2058 (B)(D)

     1,677       1,682  

Towd Point Mortgage Trust, Ser 2019-MH1, Cl A1

                

3.000%, 11/25/2058 (B)(D)

     1,768       1,777  

Towd Point Mortgage Trust, Ser 2020-3, Cl A1

                

3.088%, 02/25/2063 (B)(D)

     2,112       2,128  

Trestles CLO IV, Ser 2021-4A, Cl B1

                

1.955%, ICE LIBOR USD 3 Month + 1.700%, 07/21/2034 (B)(D)

     6,300       6,257  

Triton Container Finance VIII LLC, Ser 2020-1A, Cl A

                

2.110%, 09/20/2045 (D)

     1,085       1,051  

TRP - TRIP Rail Master Funding LLC, Ser 2021-2, Cl A

                

2.150%, 06/19/2051 (D)

     2,180       2,111  

TRTX Issuer, Ser 2022-FL5, Cl A

                

1.700%, SOFR30A + 1.650%, 02/15/2039 (B)(D)

     4,050       4,051  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

United States Small Business Administration, Ser 2019-20D, Cl 1

                

2.980%, 04/01/2039

  $ 269     $ 279  

United States Small Business Administration, Ser 2019-25G, Cl 1

                

2.690%, 07/01/2044

    511       529  

Venture XXXII CLO, Ser 2018-32A, Cl A2A

                

1.311%, ICE LIBOR USD 3 Month + 1.070%, 07/18/2031 (B)(D)

     900       898  

Verizon Master Trust, Ser 2022-2, Cl A

                

1.530%, 07/20/2028

    1,524       1,510  

Verizon Owner Trust, Ser 2020-A, Cl A1A

                

1.850%, 07/22/2024

    524       526  

Voya CLO, Ser 2018-3A, Cl A1A

                

1.391%, ICE LIBOR USD 3 Month + 1.150%, 10/15/2031 (B)(D)

     2,810       2,807  

Voya CLO, Ser 2018-3A, Cl A1R

                

1.431%, ICE LIBOR USD 3 Month + 1.190%, 10/18/2031 (B)(D)

     750       748  

Voya CLO, Ser 2021-3A, Cl A1R

                

1.294%, ICE LIBOR USD 3 Month + 1.040%, 04/20/2034 (B)(D)

     1,110       1,106  

Wells Fargo Home Equity Asset-Backed Securities Trust, Ser 2006-2, Cl M2

                

0.477%, ICE LIBOR USD 1 Month + 0.290%, 07/25/2036 (B)

     10,500       10,328  

Wendy's Funding LLC, Ser 2021-1A, Cl A2I

                

2.370%, 06/15/2051 (D)

     4,020       3,829  

Whitebox CLO II, Ser 2021-2A, Cl A1R

                

1.479%, ICE LIBOR USD 3 Month + 1.220%, 10/24/2034 (B)(D)

     1,810       1,808  

Whitebox CLO III, Ser 2021-3A, Cl A1

                

1.341%, ICE LIBOR USD 3 Month + 1.220%, 10/15/2034 (B)(D)

     2,140       2,137  

Z Capital Credit Partners CLO, Ser 2021-1A, Cl A1R

                

1.751%, ICE LIBOR USD 3 Month + 1.510%, 07/16/2031 (B)(D)

     1,910       1,909  

Zais CLO XIII, Ser 2019-13A, Cl A1A

                

1.731%, ICE LIBOR USD 3 Month + 1.490%, 07/15/2032 (B)(D)

     1,302       1,306  
              605,790  
                 

Total Asset-Backed Securities

                

(Cost $705,532) ($ Thousands)

             699,456  
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

231

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

SOVEREIGN DEBT — 1.3%
                 

Abu Dhabi Government International Bond

                

3.875%, 04/16/2050(D)

   $ 1,010     $ 1,082  

2.500%, 10/11/2022(D)

     4,220       4,256  

1.700%, 03/02/2031(D)

     440       410  

Chile Government International Bond

                

3.500%, 01/31/2034

     5,811       5,761  

3.100%, 05/07/2041

     2,600       2,279  

China Government Bond

                

3.310%, 11/30/2025

   CNY 5,000       816  

Colombia Government International Bond

                

5.625%, 02/26/2044

   $ 2,570       2,317  

5.200%, 05/15/2049

     5,468       4,619  

5.000%, 06/15/2045

     3,310       2,758  

3.250%, 04/22/2032

     250       209  

3.125%, 04/15/2031

     1,010       856  

Export-Import Bank of India

                

3.375%, 08/05/2026(D)

     1,410       1,424  

Hong Kong Airport Authority

                

3.250%, 01/12/2052(D)

     2,580       2,422  

Indonesia Government International Bond

                

5.875%, 01/15/2024(D)

     1,264       1,351  

5.250%, 01/08/2047(D)

     1,210       1,382  

5.125%, 01/15/2045(D)

     2,240       2,499  

4.750%, 07/18/2047(D)

     400       432  

3.850%, 07/18/2027(D)

     1,610       1,689  

3.750%, 04/25/2022

     500       502  

Israel Government AID Bond

                

5.500%, 09/18/2033

     1,000       1,332  

0.000%, 11/01/2024(C)

     1,000       945  

0.000%, 02/15/2025(C)

     1,000       937  

0.000%, 08/15/2025(C)

     1,000       926  

Israel Government International Bond

                

3.375%, 01/15/2050

     430       420  

2.750%, 07/03/2030

     720       731  

Kazakhstan Government International Bond

                

4.875%, 10/14/2044(D)

     2,480       2,496  

Kuwait International Government Bond

                

3.500%, 03/20/2027(D)

     1,810       1,914  

Mexico Government International Bond

                

6.050%, 01/11/2040

     4,408       5,042  

4.750%, 03/08/2044

     4,300       4,251  

4.500%, 04/22/2029

     3,623       3,849  

4.400%, 02/12/2052

     200       184  

4.280%, 08/14/2041

     3,528       3,312  

4.000%, 10/02/2023

     100       104  

3.500%, 02/12/2034

     2,149       2,021  

2.659%, 05/24/2031

     5,705       5,240  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

SOVEREIGN DEBT (continued)

Panama Government International Bond

                

6.700%, 01/26/2036

   $ 1,830     $ 2,246  

4.500%, 05/15/2047

     2,430       2,393  

4.500%, 04/01/2056

     830       802  

4.500%, 01/19/2063

     304       289  

4.300%, 04/29/2053

     950       895  

3.160%, 01/23/2030

     310       304  

2.252%, 09/29/2032

     870       768  

Paraguay Government International Bond

                

5.400%, 03/30/2050(D)

     1,321       1,301  

4.950%, 04/28/2031(D)

     441       457  

3.849%, 06/28/2033(D)

     618       590  

Peruvian Government International Bond

                

6.550%, 03/14/2037

     1,070       1,357  

5.625%, 11/18/2050

     380       474  

3.600%, 01/15/2072

     3,766       3,142  

3.550%, 03/10/2051

     950       860  

3.300%, 03/11/2041

     1,680       1,495  

3.000%, 01/15/2034

     496       458  

2.783%, 01/23/2031

     2,491       2,354  

2.392%, 01/23/2026

     1,611       1,578  

Poland Government International Bond

                

4.000%, 01/22/2024

     7,800       8,053  

Qatar Government International Bond

                

4.817%, 03/14/2049(D)

     3,170       3,848  

4.000%, 03/14/2029(D)

     1,380       1,502  

3.875%, 04/23/2023

     2,870       2,946  

Republic of Italy Government International Bond

                

3.875%, 05/06/2051

     619       600  

Russian Foreign Bond - Eurobond

                

5.625%, 04/04/2042

     3,400       1,190  

Saudi Government International Bond MTN

                

2.875%, 03/04/2023(D)

     530       537  

Uruguay Government International Bond

                

5.100%, 06/18/2050

     2,630       3,137  

4.375%, 01/23/2031(E)

     3,280       3,606  
                 

Total Sovereign Debt

        

(Cost $122,959) ($ Thousands)

     117,950  
                 
                 
                 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.9%

FHLB

                

1.610%, 09/04/2024

     6,180       6,169  

1.610%, 09/04/2024

     6,180       6,169  

1.200%, 12/23/2024

     24,815       24,528  

1.040%, 06/14/2024

     24,830       24,597  

FHLMC

                

0.000%, 07/15/2031(C)

     600       486  

FHLMC MTN

                

0.000%, 12/14/2029(C)

     2,887       2,458  

 

 

 

232

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. GOVERNMENT AGENCY OBLIGATIONS (continued)

FNMA

                

2.625%, 09/06/2024

   $ 510     $ 523  

0.500%, 06/17/2025

     7,405       7,108  

0.000%, 11/15/2030(C)

     8,487       7,050  

Resolution Funding Interest STRIP

                

0.000%, 01/15/2030(C)

     1,930       1,640  

Resolution Funding Principal STRIP

                

0.000%, 04/15/2030(C)

     2,570       2,166  

Tennessee Valley Authority

                

0.750%, 05/15/2025

     1,895       1,837  

Tennessee Valley Authority Principal STRIP, PO

                

0.000%, 11/01/2025(C)

     1,000       927  
                 
                 
         

Total U.S. Government Agency Obligations

        

(Cost $86,875) ($ Thousands)

     85,658  
                 
                 
                 

MUNICIPAL BONDS — 0.3%

California — 0.1%

        

California State University, Ser B, RB

               

Callable 11/01/2031 @ 100

               

2.374%, 11/01/2035

    1,260       1,165  

University of California Regents, Ser N, RB

               

Callable 11/15/2059 @ 100

               

3.256%, 05/15/2060

    4,750       4,845  
                 
              6,010  
                 

Georgia — 0.1%

        

Georgia State, Municipal Electric Authority, Build America Project, RB

               

7.055%, 04/01/2057

    160       225  

6.637%, 04/01/2057

    2,328       3,340  
                 
              3,565  
                 

Nevada — 0.0%

        

Clark County, Airport System Revenue, Build America Project, Ser C, RB

               

6.820%, 07/01/2045

    1,170       1,761  
                 
                 

New York — 0.1%

        

New York & New Jersey, Port Authority, RB

               

4.458%, 10/01/2062

    1,600       1,919  

New York City, GO

               

Callable 08/01/2029 @ 100

               

3.000%, 08/01/2034

    870       887  

New York City, Ser D, GO

               

1.823%, 08/01/2030

    2,205       2,107  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

New York City, Transitional Finance Authority Future Tax Secured Revenue, Ser D-3, RB

               

Callable 11/01/2030 @ 100

               

2.400%, 11/01/2032

  $ 1,085     $ 1,057  

New York City, Transitional Finance Authority, Future Tax Secured Revenue, RB

               

5.508%, 08/01/2037

    1,670       2,093  

New York State, Dormitory Authority, Ser F, RB

               

3.110%, 02/15/2039

    2,795       2,835  

New York State, Transportation Authority, Ser C2, RB

               

5.175%, 11/15/2049

    480       587  
                 
              11,485  
                 

Ohio — 0.0%

        

Ohio State University, Build America Project, Ser A, RB

               

4.800%, 06/01/2111

    689       940  
                 
                 

Oregon — 0.0%

        

Oregon State, GO

               

5.762%, 06/01/2023

    944       976  
                 
                 

Texas — 0.0%

        

North Texas, Tollway Authority, Build America Project, RB

               

6.718%, 01/01/2049

    1,154       1,803  

University of Texas, Ser B, RB

               

Callable 02/15/2049 @ 100

               

2.439%, 08/15/2049

    585       528  
                 
              2,331  
                 

Virginia — 0.0%

        

University of Virginia, RB

               

Callable 03/01/2050 @ 100

               

2.256%, 09/01/2050

    1,595       1,332  

Virginia State, Housing Development Authority, Ser 2006-C, RB

               

6.000%, 06/25/2034

    78       81  
                 
              1,413  
                 
                 

Total Municipal Bonds

                

(Cost $26,933) ($ Thousands)

             28,481  
                 
                 
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

233

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

AFFILIATED PARTNERSHIP — 0.1%

SEI Liquidity Fund, L.P.

                

0.050% **†(I)

     12,359,057     $ 12,347  
                 
                 

Total Affiliated Partnership

                

(Cost $12,362) ($ Thousands)

     12,347  
                 
                 
                 

CASH EQUIVALENT — 6.1%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     562,962,733       562,963  
                 

Total Cash Equivalent

                

(Cost $562,963) ($ Thousands)

             562,963  
                 
                 

Total Investments in Securities — 112.2%

                

(Cost $10,568,787) ($ Thousands)

  $ 10,416,551  
                 
                 

 

             

Description

  

Contracts

    

Market Value
($ Thousands)

  

PURCHASED OPTIONS* — 0.0%

Total Purchased Options (J)

                

(Cost $3,399) ($ Thousands)

     6,757     $ 3,868  
                 
                 
                 

PURCHASED SWAPTION* — 0.0%

Total Purchased Swaption (K)

                

(Cost $279) ($ Thousands)

     9,470,000     $ 193  
                 
                 
                 

WRITTEN OPTIONS* — (0.1)%

Total Written Options (J)

                

(Premiums Received $7,804) ($ Thousands)

     (16,415 )   $ (8,845 )
                 
                 

 

 

 
 

 

A list of exchange traded option contracts held by the Fund at February 28, 2022, is as follows:

 

Description

  

Number of Contracts

    

Notional Amount
(Thousands)††

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

PURCHASED OPTIONS — 0.0%

                                

Put Options

                                        

March 2022, Eurodollar Mid-Curve Option*

     560     $ 162     $ 97.88       3/19/2022     $ 74  

March 2022, IMM Eurodollar Future Option*

     241       13       99.50       3/19/2022       101  

March 2022, IMM Eurodollar Future Option*

     197       13       99.63       3/19/2022       140  
                                         
              188                       315  
                                       
                                       

Call Options

                                        

June 2022, Eurodollar Mid-Curve Option*

     872       318       98.00       6/18/2022       261  

September 2022, Eurodollar Mid-Curve Option*

     1,480       929       98.75       9/17/2022       250  

December 2022, IMM Eurodollar Future Option*

     995       959       98.00       12/17/2022       1,331  

December 2022, IMM Eurodollar Future Option*

     792       445       98.38       12/17/2022       624  

June 2023, IMM Eurodollar Future Option*

     872       338       98.50       6/17/2023       496  

March 2022, IMM Eurodollar Future Option*

     238       4       99.88       3/19/2022       1  

April 2022, U.S. 10 Year Future Option*

     510       218       127.00       3/19/2022       590  
                                         
              3,211                       3,553  
                                       
                                       

Total Purchased Options

           $ 3,399                     $ 3,868  

WRITTEN OPTIONS — (0.1)%

                                

Put Options

                                        

March 2022, Eurodollar Mid-Curve Option*

     (560 )   $ (58 )     97.63       03/19/22     $ (14 )

September 2022, Eurodollar Mid-Curve Option*

     (705 )     (606 )     98.25       09/17/22       (828 )

September 2022, Eurodollar Mid-Curve Option*

     (2,220 )     (1,520 )     97.63       09/17/22       (1,443 )

March 2022, IMM Eurodollar Future Option*

     (350 )     (55 )     99.38       03/19/22       (65 )

June 2023, IMM Eurodollar Future Option*

     (165 )     (33 )     97.00       06/17/23       (87 )

March 2022, IMM Eurodollar Future Option*

     (238 )     (47 )     99.75       03/19/22       (241 )

December 2022, IMM Eurodollar Future Option*

     (995 )     (458 )     97.25       12/17/22       (286 )

December 2022, IMM Eurodollar Future Option*

     (792 )     (622 )     98.13       12/17/22       (604 )

 

 

 

234

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

Description

  

Number of Contracts

    

Notional Amount
(Thousands)††

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

WRITTEN OPTIONS (continued)

                                

April 2022, U.S. 5 Year Future Option*

     (417 )   $ (227 )   $ 117.25       03/19/22     $ (85 )
                                       
              (3,626 )                     (3,653 )
                                         
                                         

Call Options

                                        

June 2022, Eurodollar Mid-Curve Option*

     (872 )     (52 )     98.63       06/18/22       (44 )

September 2022, Eurodollar Mid-Curve Option*

     (1,480 )     (489 )     99.00       09/17/22       (148 )

September 2022, Eurodollar Mid-Curve Option*

     (705 )     (571 )     98.25       09/17/22       (370 )

March 2022, IMM Eurodollar Future Option*

     (238 )     (41 )     99.75       03/19/22       (1 )

December 2022, IMM Eurodollar Future Option*

     (792 )     (691 )     98.13       12/17/22       (901 )

December 2022, IMM Eurodollar Future Option*

     (995 )     (645 )     98.25       12/17/22       (945 )

June 2023, IMM Eurodollar Future Option*

     (872 )     (684 )     98.00       06/17/23       (948 )

April 2022, U.S. 10 Year Future Option*

     (267 )     (154 )     128.50       03/19/22       (138 )

May 2022, U.S. 10 Year Future Option*

     (1,020 )     (207 )     129.00       04/16/22       (637 )

April 2022, U.S. 5 Year Future Option*

     (1,214 )     (125 )     120.25       03/19/22       (114 )

April 2022, U.S. 5 Year Future Option*

     (665 )     (194 )     118.75       03/19/22       (255 )

April 2022, U.S. 5 Year Future Option*

     (423 )     (151 )     118.00       03/19/22       (311 )

April 2022, U.S. 5 Year Future Option*

     (430 )     (174 )     117.75       03/19/22       (380 )
                                       
              (4,178 )                     (5,192 )
                                         
                                         

Total Written Options

           $ (7,804 )                   $ (8,845 )
                                         
                                         

 

†† Represents Cost.

 

A list of the open OTC swaption contracts held by the Fund at February 28, 2022, is as follows:

 

Description

  

Counterparty

    

Number of Contracts/ Notional Amount

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

PURCHASED SWAPTION — 0.0%

                        

Put Swaptions

                                

3Y30Y Put*

     Bank of America Merrill Lynch       9,470,000     $ 2.75       01/20/2024     $ 193  

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

90-Day Euro$

     411       Jun-2023     $ 101,971     $ 100,602     $ (1,369 )

90-Day Euro$

     3,259       Dec-2022       804,820       800,695       (4,125 )

90-Day Euro$

     473       Dec-2023       116,969       115,714       (1,255 )

U.S. 5-Year Treasury Note

     2,116       Jul-2022       248,902       250,283       1,381  

U.S. 10-Year Treasury Note

     345       Jun-2022       43,678       43,966       288  

U.S. Long Treasury Bond

     1,395       Jun-2022       215,858       218,579       2,721  

U.S. Ultra Long Treasury Bond

     486       Jun-2022       89,236       90,366       1,130  

Ultra 10-Year U.S. Treasury Note

     2       Jun-2022       279       283       4  
                      1,621,713       1,620,488       (1,225 )

Short Contracts

                                        

90-Day Euro$

     (398 )     Mar-2022     $ (99,242 )   $ (98,848 )   $ 394  

Euro-Bund

     (296 )     Mar-2022       (57,979 )     (55,536 )     2,212  

U.S. 2-Year Treasury Note

     (76 )     Jul-2022       (16,314 )     (16,357 )     (43 )

U.S. 10-Year Treasury Note

     (88 )     Jun-2022       (11,132 )     (11,215 )     (83 )

U.S. Long Treasury Bond

     (210 )     Jun-2022       (32,461 )     (32,904 )     (443 )

Ultra 10-Year U.S. Treasury Note

     (735 )     Jun-2022       (102,797 )     (103,876 )     (1,079 )
                      (319,925 )     (318,736 )     958  
                    $ 1,301,788     $ 1,301,752     $ (267 )

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

235

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Continued)

 

 

A list of the open forward foreign currency contracts held by the Fund at February 28, 2022, is as follows:

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Citigroup

     04/19/22       EUR       2,790       USD       3,158     $ 18  

Citigroup

     04/19/22       USD       3,691       AUD       5,148       47  

Citigroup

     04/19/22       USD       4,236       EUR       3,700       (73 )

Citigroup

     04/19/22       USD       4,356       BRL       25,450       517  

Goldman Sachs

     04/19/22       GBP       1,568       USD       2,127       22  

Goldman Sachs

     04/19/22       CNH       9,709       USD       1,515       (19 )

Morgan Stanley

     04/19/22       USD       2,704       BRL       15,706       304  

Morgan Stanley

     04/19/22       USD       15,401       CAD       19,600       56  
                                            $ 872  

 

A list of the open centrally cleared swap agreements held by the Fund at February 28, 2022, is as follows:

 

Credit Default Swap

Reference Entity/ Obligation

  

Buy/Sell Protection

    

(Pays)/Receives Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Depreciation
(Thousands)

  

CDS-CDX.NA.IG.3712

     Sell       1.00%       Quarterly       12/20/2026     $ (294,827 )   $ 4,399     $ 6,486     $ (2,087 )
                                                                 

 

Interest Rate Swaps

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

USD-LIBOR-BBA

     FIXED 0.19%       Quarterly       06/15/2022       USD       64,527     $ (75 )   $ –     $ (75 )

3 MONTH USD - LIBOR

     1.785%       Semi-Annually       07/24/2053       USD       3,535       180       –       180  

3 MONTH USD - LIBOR

     1.7725%       Semi-Annually       07/24/2053       USD       4,780       257       –       257  

1.8075%

     3 MONTH USD - LIBOR       Semi-Annually       07/24/2053       USD       2,390       110       –       110  

1.67125%

     CMENA IR 7/9/2051 LIBOR       Quarterly       07/09/2051       USD       7,784       573       (34 )     607  

2.05%

     USD LIBOR BBA       Quarterly       06/07/2051       USD       2,650       (34 )     –       (34 )

2.00%

     USD LIBOR BBA       Quarterly       06/03/2051       USD       881       (1 )     9       (10 )

1.20%

     USD LIBOR BBA       Quarterly       10/07/2050       USD       5,857       1,050       44       1,006  

1.63%

     USD-SOFR-OIS-COMPOUND       Annually       05/15/2047       USD       15,520       385       677       (292 )

1.63%

     CMENA IR 2/15/47 LIBOR       Quarterly       02/15/2047       USD       3,454       276       (15 )     291  

1.52%

     USD SOFR COMPOUND       Annually       02/15/2047       USD       20,626       951       (25 )     976  

1.72875%

     12 Month - USD LIBOR BBA       Annually       02/15/2047       USD       9,870       35       122       (87 )

USD-SOFRRATE

     0.74%       Annually       08/19/2045       USD       4,960       976       –       976  

FIXED 0.56%

     USD-SOFTRATE       Annually       07/20/2045       USD       7,490       1,731       90       1,641  

USD CPI INDEX

     2.77%       Annually       10/20/2031       USD       18,650       (689 )     15       (704 )

1.7334%

     SOFR-COMPOUNDING       Annually       10/20/2031       USD       18,650       45       71       (26 )

1.20%

     SOFR-COMPOUNDING       Annually       11/01/2028       USD       12,403       319       (1 )     320  

1.22%

     SOFR-COMPOUNDING       Annually       08/15/2028       USD       15,938       373       (1 )     374  

USD-SOFR-OTS COMPOUND

     1.13%       Annually       08/15/2028       USD       39,576       1,146       266       880  

1.35%

     USD LIBOR BBA       Quarterly       02/15/2028       USD       70,404       2,034       (117 )     2,151  

0.71%

     12 Month SOFR COMPUND       Annually       05/15/2027       USD       26,488       1,145       62       1,083  

1.52%

     SOFR COMPOUNDING       Annually       11/20/2026       USD       24,090       142       (55 )     197  

GBLO, USNY

     3.37%       Annually       11/18/2026       USD       21,190       (387 )     316       (703 )

2.95%

     USD CPI INDEX       Annually       10/20/2026       USD       18,650       788       (9 )     797  

3 MONTH USD-LIBOR

     1.6875%       Semi-Annually       12/07/2025       USD       67,950       (434 )     –       (434 )

1.39%

     FLOAT       Semi-Annually       09/28/2025       USD       65,735       (825 )     –       (825 )

3 MONTH USD - LIBOR

     1.0355%       Semi-Annually       07/24/2025       USD       42,325       (837 )     –       (837 )

3 MONTH USD - LIBOR

     1.0255%       Semi-Annually       07/24/2025       USD       57,220       (1,140 )     –       (1,140 )

3 MONTH USD - LIBOR

     1.0725%       Semi-Annually       07/24/2025       USD       28,610       (544 )     –       (544 )

 

 

 

236

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

Interest Rate Swaps

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

3.97%

     USNY, GBLO       Annually       11/18/2023       USD       21,190     $ 567     $ (103 )   $ 670  

1.87%

     FIXED 1.87%       Quarterly       09/28/2053       USD       5,610       173       –       173  

1.7425%

     3 MONTH USD - LIBOR       Quarterly       12/07/2053       USD       5,680       334       –       334  
                                            $ 8,624     $ 1,312     $ 7,312  

 

 

 

Percentages are based on Net Assets of $9,281,259 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

(A)

Interest rate represents the security's effective yield at the time of purchase.

(B)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(C)

Zero coupon security.

(D)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On February 28, 2022, the value of these securities amounted to $1,518,339 ($ Thousands), representing 16.4% of the Net Assets of the Fund.

(E)

Certain securities or partial positions of certain securities are on loan at February 28, 2022. The total market value of securities on loan at February 28, 2022 was $12,109 ($ Thousands).

(F)

Perpetual security with no stated maturity date.

(G)

Security is in default on interest payment.

(H)

No interest rate available.

(I)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of February 28, 2022 was $12,347 ($ Thousands).

(J)

Refer to table below for details on Options Contracts.

(K)

Refer to table below for details on Swaption Contracts.

 

ACES — Alternative Credit Enhancement Securities

AID — Agency for International Development

ARM — Adjustable Rate Mortgage

AUD — Australian Dollar

BBA — British Bankers' Association

BRL — Brazilian Real

CAD — Canadian Dollar

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

CNH — Chinese Yuan Offshore

CNY — Chinese Yuan Renminbi

DAC — Designated Activity Company

DN— Discount Note

EUR — Euro

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

FREMF— Freddie Mac Multi-Family

GBP — British Pound Sterling

GNMA — Government National Mortgage Association

GO — General Obligation

ICE— Intercontinental Exchange

IO — Interest Only — face amount represents notional amount.

JSC — Joint-Stock Company

LIBOR— London Interbank Offered Rate

 

LLC — Limited Liability Company

MTN — Medium Term Note

PLC — Public Limited Company

PO — Principal Only

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

UMBS — Uniform Mortgage Backed Securities

USD — U.S. Dollar

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

U.S. Treasury Obligations

     503,082       2,806,940       –       3,310,022  

Mortgage-Backed Securities

     –       2,934,060       –       2,934,060  

Corporate Obligations

     –       2,665,614       –       2,665,614  

Asset-Backed Securities

     –       699,456       –       699,456  

Sovereign Debt

     –       117,950       –       117,950  

U.S. Government Agency Obligations

     –       85,658       –       85,658  

Municipal Bonds

     –       28,481       –       28,481  

Affiliated Partnership

     –       12,347       –       12,347  

Cash Equivalent

     562,963       –       –       562,963  

Total Investments in Securities

     1,066,045       9,350,506       –       10,416,551  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Purchased Options

     3,868       –       –       3,868  

Purchased Swaptions

     –       193       –       193  

Written Options

     (8,845 )     –       –       (8,845 )

Futures Contracts*

                                

Unrealized Appreciation

     8,130       –       –       8,130  

Unrealized Depreciation

     (8,397 )     –       –       (8,397 )

Forwards Contracts*

                                

Unrealized Appreciation

     –       964       –       964  

Unrealized Depreciation

     –       (92 )     –       (92 )

Centrally Cleared Swaps

                                

Credit Default Swaps*

                                

Unrealized Depreciation

     –       (2,087 )     –       (2,087 )

Interest Rate Swaps*

                                

Unrealized Appreciation

     –       13,023       –       13,023  

Unrealized Depreciation

     –       (5,711 )     –       (5,711 )

Total Other Financial Instruments

     (5,244 )     6,290       –       1,046  

 

*

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

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

237

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Core Fixed Income Fund (Concluded)

 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Liquidity Fund, L.P.

   $ 10,772     $ 157,963     $ (156,371 )   $ —     $ (17 )   $ 12,347       12,359,057     $ 63     $ —  

SEI Daily Income Trust, Government Fund, Cl F

     1,419,466       8,380,390       (9,236,893 )     —       —       562,963       562,962,733       46       —  

Totals

   $ 1,430,238     $ 8,538,353     $ (9,393,264 )   $ —     $ (17 )   $ 575,310             $ 109     $ —  

 

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

 

 

238

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS — 75.8%

Communication Services — 13.2%

        

Altice Financing

               

5.750%, 08/15/2029 (A)

   $ 3,414     $ 3,111  

5.000%, 01/15/2028 (A)

     6,791       6,119  

Altice France

               

8.125%, 02/01/2027 (A)

     1,461       1,538  

5.500%, 10/15/2029 (A)

     2,420       2,217  

5.125%, 07/15/2029 (A)

     1,818       1,645  

Altice France Holding

               

10.500%, 05/15/2027 (A)

     2,245       2,351  

6.000%, 02/15/2028 (A)

     2,612       2,314  

AMC Entertainment Holdings

               

10.000%cash/0% PIK, 06/15/2026 (A)

     187       173  

6.125%, 05/15/2027

    680       456  

5.750%, 06/15/2025

    115       88  

ANGI Group LLC

               

3.875%, 08/15/2028 (A)

     2,292       2,034  

Arches Buyer

               

6.125%, 12/01/2028 (A)

     2,962       2,784  

4.250%, 06/01/2028 (A)

     378       358  

Audacy Capital

               

6.750%, 03/31/2029 (A)

     5,776       5,472  

6.500%, 05/01/2027 (A)

     740       703  

Belo

               

7.250%, 09/15/2027

    442       492  

CCO Holdings LLC

               

5.375%, 06/01/2029 (A)

     800       813  

5.125%, 05/01/2027 (A)

     6,372       6,436  

5.000%, 02/01/2028 (A)

     3,640       3,662  

4.750%, 03/01/2030 (A)

     1,860       1,827  

4.750%, 02/01/2032 (A)

     190       185  

4.500%, 08/15/2030 (A)

     12,494       12,033  

4.250%, 02/01/2031 (A)

     4,245       3,977  

4.250%, 01/15/2034 (A)

     2,398       2,205  

Cinemark USA

               

8.750%, 05/01/2025 (A)

     191       200  

5.250%, 07/15/2028 (A)

     240       229  

Clear Channel International BV

               

6.625%, 08/01/2025 (A)

     887       900  

Clear Channel Outdoor Holdings

               

7.750%, 04/15/2028 (A)

     5,740       5,998  

7.500%, 06/01/2029 (A)

     817       849  

Clear Channel Worldwide Holdings

               

5.125%, 08/15/2027 (A)

     3,230       3,227  

Consolidated Communications

               

6.500%, 10/01/2028 (A)

     6,915       6,880  

5.000%, 10/01/2028 (A)

     539       511  

CSC Holdings LLC

               

7.500%, 04/01/2028 (A)

     2,140       2,137  

6.500%, 02/01/2029 (A)

     4,270       4,323  

5.750%, 01/15/2030 (A)

     5,617       4,967  

4.625%, 12/01/2030 (A)

     2,981       2,484  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.500%, 11/15/2031 (A)

   $ 1,631     $ 1,484  

4.125%, 12/01/2030 (A)

     2,810       2,523  

3.375%, 02/15/2031 (A)

     1,954       1,665  

Cumulus Media New Holdings

               

6.750%, 07/01/2026 (A)

     4,021       4,091  

Diamond Sports Group LLC

               

6.625%, 08/15/2027 (A)

     5,251       1,260  

5.375%, 08/15/2026 (A)

     10,086       4,135  

Directv Financing LLC

               

5.875%, 08/15/2027 (A)

     6,464       6,462  

DISH DBS

               

7.750%, 07/01/2026

    4,030       4,081  

7.375%, 07/01/2028

    7,592       7,189  

5.875%, 07/15/2022

    82       83  

5.875%, 11/15/2024

    4,671       4,671  

5.750%, 12/01/2028 (A)

     4,193       4,010  

5.250%, 12/01/2026 (A)

     3,720       3,647  

5.125%, 06/01/2029

    3,188       2,690  

5.000%, 03/15/2023

    2,935       2,961  

DKT Finance ApS

               

9.375%, 06/17/2023 (A)

     2,964       2,958  

Frontier Communications

               

6.750%, 05/01/2029 (A)

     475       461  

5.875%, 10/15/2027 (A)

     367       372  

5.000%, 05/01/2028 (A)

     2,104       2,042  

Frontier Communications Holdings LLC

               

6.000%, 01/15/2030 (A)

     1,662       1,548  

5.875%, 11/01/2029

    1,408       1,295  

Gannett Holdings LLC

               

6.000%, 11/01/2026 (A)

     1,809       1,800  

GCI LLC

               

4.750%, 10/15/2028 (A)

     815       800  

Getty Images

               

9.750%, 03/01/2027 (A)

     1,505       1,567  

Gray Escrow II

               

5.375%, 11/15/2031 (A)

     3,802       3,660  

Gray Television

               

7.000%, 05/15/2027 (A)

     424       446  

4.750%, 10/15/2030 (A)

     2,369       2,221  

iHeartCommunications

               

8.375%, 05/01/2027

    610       635  

6.375%, 05/01/2026

    154       159  

5.250%, 08/15/2027 (A)

     1,877       1,870  

4.750%, 01/15/2028 (A)

     1,397       1,352  

Iliad Holding SASU

               

7.000%, 10/15/2028 (A)

     310       308  

6.500%, 10/15/2026 (A)

     2,196       2,191  

Intelsat Jackson Holdings

               

9.750%, 07/15/2025 (A)(B)

     3,562       1,536  

8.500%, 10/15/2024 (A)(B)

     3,082       1,372  

5.500%, 08/01/2023 (B)

     210       91  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

239

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Intelsat Luxembourg

               

8.125%, 06/01/2023 (B)

   $ 1,010     $ 3  

ION Trading Technologies Sarl

               

5.750%, 05/15/2028 (A)

     3,125       3,070  

LCPR Senior Secured Financing DAC

               

6.750%, 10/15/2027 (A)

     3,076       3,178  

Level 3 Financing

               

5.375%, 05/01/2025

    1,260       1,265  

4.625%, 09/15/2027 (A)

     2,951       2,848  

4.250%, 07/01/2028 (A)

     453       418  

3.750%, 07/15/2029 (A)

     535       477  

3.625%, 01/15/2029 (A)

     3,751       3,285  

Live Nation Entertainment

               

6.500%, 05/15/2027 (A)

     723       774  

5.625%, 03/15/2026 (A)

     466       474  

4.875%, 11/01/2024 (A)

     2,285       2,308  

4.750%, 10/15/2027 (A)

     2,554       2,509  

3.750%, 01/15/2028 (A)

     96       92  

Lumen Technologies

               

5.625%, 04/01/2025

    316       314  

5.375%, 06/15/2029 (A)

     1,391       1,209  

5.125%, 12/15/2026 (A)

     5,082       4,728  

4.500%, 01/15/2029 (A)

     190       159  

4.000%, 02/15/2027 (A)

     1,815       1,727  

McGraw-Hill Education

               

5.750%, 08/01/2028 (A)

     4,595       4,361  

Midas OpCo Holdings LLC

               

5.625%, 08/15/2029 (A)

     435       426  

Midcontinent Communications

               

5.375%, 08/15/2027 (A)

     1,062       1,050  

Millennium Escrow

               

6.625%, 08/01/2026 (A)

     2,465       2,385  

National CineMedia LLC

               

5.750%, 08/15/2026

    1,381       981  

Netflix

               

5.875%, 11/15/2028

    713       806  

5.375%, 11/15/2029 (A)

     275       307  

4.875%, 04/15/2028

    1,022       1,095  

4.875%, 06/15/2030 (A)

     946       1,032  

News

               

5.125%, 02/15/2032 (A)

     1,365       1,396  

3.875%, 05/15/2029 (A)

     433       415  

Nexstar Broadcasting

               

5.625%, 07/15/2027 (A)

     4,399       4,498  

4.750%, 11/01/2028 (A)

     3,603       3,495  

Northwest Fiber LLC

               

4.750%, 04/30/2027 (A)

     3,620       3,365  

Photo Holdings Merger Sub

               

8.500%, 10/01/2026 (A)

     905       899  

Radiate Holdco LLC

               

6.500%, 09/15/2028 (A)

     4,837       4,595  

4.500%, 09/15/2026 (A)

     882       843  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

ROBLOX

               

3.875%, 05/01/2030 (A)

   $ 2,280     $ 2,168  

Sable International Finance

               

5.750%, 09/07/2027 (A)

     1,407       1,439  

Salem Media Group

               

6.750%, 06/01/2024 (A)

     3,133       3,051  

Scripps Escrow

               

5.875%, 07/15/2027 (A)

     190       190  

Scripps Escrow II

               

5.375%, 01/15/2031 (A)

     142       135  

3.875%, 01/15/2029 (A)

     2,667       2,499  

Sinclair Television Group

               

5.125%, 02/15/2027 (A)

     365       332  

4.125%, 12/01/2030 (A)

     7,265       6,504  

Sirius XM Radio

               

5.500%, 07/01/2029 (A)

     871       891  

5.000%, 08/01/2027 (A)

     3,081       3,123  

4.125%, 07/01/2030 (A)

     4,572       4,322  

4.000%, 07/15/2028 (A)

     1,267       1,218  

3.875%, 09/01/2031 (A)

     1,560       1,437  

SoftBank Group

               

6.000%, USD ICE Swap 11:00 NY 5 Yr + 4.226%(C)(D)

     950       923  

5.125%, 09/19/2027

    799       755  

Spanish Broadcasting System

               

9.750%, 03/01/2026 (A)

     4,353       4,440  

Sprint

               

7.875%, 09/15/2023

    1,340       1,440  

7.625%, 02/15/2025

    7,075       7,836  

7.625%, 03/01/2026

    2,559       2,917  

7.125%, 06/15/2024

    1,605       1,735  

Sprint Capital

               

8.750%, 03/15/2032

    4,090       5,675  

6.875%, 11/15/2028

    3,204       3,805  

TEGNA

               

4.625%, 03/15/2028

    2,684       2,682  

Telecom Italia Capital

               

6.000%, 09/30/2034

    265       253  

Telenet Finance Luxembourg Notes Sarl

               

5.500%, 03/01/2028 (A)

     3,800       3,762  

Telesat Canada

               

6.500%, 10/15/2027 (A)

     10,808       5,404  

5.625%, 12/06/2026 (A)

     2,048       1,505  

Terrier Media Buyer

               

8.875%, 12/15/2027 (A)

     8,333       8,541  

T-Mobile USA

               

4.750%, 02/01/2028

    1,480       1,528  

3.500%, 04/15/2031

    1,725       1,698  

3.375%, 04/15/2029

    1,375       1,346  

Trilogy International South Pacific LLC

               

8.875%, 05/15/2023 (A)

     1,831       1,794  

 

 

 

240

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

U.S. Cellular

               

6.700%, 12/15/2033

  $ 2,575     $ 2,807  

Univision Communications

               

6.625%, 06/01/2027 (A)

     1,395       1,451  

4.500%, 05/01/2029 (A)

     1,799       1,722  

Urban One

               

7.375%, 02/01/2028 (A)

     10,911       10,856  

Virgin Media Finance

               

5.000%, 07/15/2030 (A)

     1,879       1,778  

Virgin Media Secured Finance

               

5.500%, 05/15/2029 (A)

     1,983       1,981  

4.500%, 08/15/2030 (A)

     757       716  

Virgin Media Vendor Financing Notes IV DAC

               

5.000%, 07/15/2028 (A)

     2,543       2,424  

Windstream Escrow LLC

               

7.750%, 08/15/2028 (A)

     2,163       2,183  

WMG Acquisition

               

3.875%, 07/15/2030 (A)

     50       48  

3.750%, 12/01/2029 (A)

     830       793  

3.000%, 02/15/2031 (A)

     366       331  

Zayo Group Holdings

               

6.125%, 03/01/2028 (A)

     865       804  

4.000%, 03/01/2027 (A)

     400       380  

ZipRecruiter

               

5.000%, 01/15/2030 (A)

     2,830       2,786  
                 
              352,529  
                 

Consumer Discretionary — 11.8%

        

1011778 BC ULC / New Red Finance

               

4.375%, 01/15/2028 (A)

     2,817       2,764  

4.000%, 10/15/2030 (A)

     3,680       3,399  

3.875%, 01/15/2028 (A)

     222       216  

3.500%, 02/15/2029 (A)

     163       154  

Academy

               

6.000%, 11/15/2027 (A)

     1,775       1,848  

Adient Global Holdings, Ltd.

               

4.875%, 08/15/2026 (A)

     690       691  

Adtalem Global Education

               

5.500%, 03/01/2028 (A)

     6,218       5,562  

American Axle & Manufacturing

               

6.875%, 07/01/2028

    492       507  

6.500%, 04/01/2027

    540       552  

6.250%, 03/15/2026

    660       669  

5.000%, 10/01/2029

    410       389  

American Builders & Contractors Supply

               

4.000%, 01/15/2028 (A)

     3,830       3,744  

3.875%, 11/15/2029 (A)

     435       409  

American Greetings

               

8.750%, 04/15/2025 (A)

     5,700       5,757  

Aramark Services

               

5.000%, 02/01/2028 (A)

     745       746  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Asbury Automotive Group

               

4.750%, 03/01/2030

  $ 202     $ 196  

4.625%, 11/15/2029 (A)

     1,005       980  

4.500%, 03/01/2028

    3,403       3,345  

Ashton Woods USA LLC

               

6.625%, 01/15/2028 (A)

     5,147       5,289  

4.625%, 08/01/2029 (A)

     1,553       1,475  

Aston Martin Capital Holdings

               

10.500%, 11/30/2025 (A)

     5,725       5,983  

Aventine (Escrow Security)

               

0.000%, 10/15/2049 (B)(E)

     2,600       –  

Avianca Midco 2

               

9.000%, 12/01/2028 (A)

     3,123       3,103  

Bath & Body Works

               

9.375%, 07/01/2025 (A)

     29       34  

7.600%, 07/15/2037

    780       852  

7.500%, 06/15/2029

    542       594  

6.875%, 11/01/2035

    979       1,082  

6.750%, 07/01/2036

    3,177       3,465  

6.694%, 01/15/2027

    149       163  

6.625%, 10/01/2030 (A)

     2,383       2,580  

BCPE Ulysses Intermediate

               

7.750%cash/0% PIK, 04/01/2027 (A)

     1,973       1,835  

Bloomin' Brands

               

5.125%, 04/15/2029 (A)

     2,420       2,366  

Boyne USA

               

4.750%, 05/15/2029 (A)

     304       299  

Brookfield Residential Properties

               

4.875%, 02/15/2030 (A)

     1,081       987  

Caesars Entertainment

               

8.125%, 07/01/2027 (A)

     650       701  

6.250%, 07/01/2025 (A)

     1,114       1,155  

4.625%, 10/15/2029 (A)

     281       267  

Carnival

               

10.500%, 02/01/2026 (A)

     1,254       1,408  

9.875%, 08/01/2027 (A)

     2,660       2,986  

6.000%, 05/01/2029 (A)

     9,555       9,277  

5.750%, 03/01/2027 (A)

     7,370       7,178  

4.000%, 08/01/2028 (A)

     988       947  

CD&R Smokey Buyer

               

6.750%, 07/15/2025 (A)

     627       647  

Cedar Fair

               

5.500%, 05/01/2025 (A)

     285       293  

5.375%, 04/15/2027

    25       25  

5.250%, 07/15/2029

    1,912       1,910  

Cengage Learning

               

9.500%, 06/15/2024 (A)

     4,545       4,553  

Century Communities

               

6.750%, 06/01/2027

    624       645  

3.875%, 08/15/2029 (A)

     2,196       2,036  

Clarios Global

               

8.500%, 05/15/2027 (A)

     1,915       1,996  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

241

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

6.750%, 05/15/2025 (A)

   $ 896     $ 930  

6.250%, 05/15/2026 (A)

     2,042       2,112  

Constellation Merger Sub

               

8.500%, 09/15/2025 (A)

     443       418  

Cooper-Standard Automotive

               

13.000%, 06/01/2024 (A)

     768       808  

5.625%, 11/15/2026 (A)

     1,485       1,021  

CSC Holdings LLC

               

5.875%, 09/15/2022

    152       154  

Dana

               

5.625%, 06/15/2028

    2,398       2,452  

5.375%, 11/15/2027

    958       977  

4.250%, 09/01/2030

    705       672  

Dornoch Debt Merger Sub

               

6.625%, 10/15/2029 (A)

     4,159       3,858  

eG Global Finance

               

8.500%, 10/30/2025 (A)

     842       850  

6.750%, 02/07/2025 (A)

     5,711       5,711  

Empire Resorts

               

7.750%, 11/01/2026 (A)

     5,035       5,022  

Fertitta Entertainment LLC

               

6.750%, 01/15/2030 (A)

     824       784  

4.625%, 01/15/2029 (A)

     1,235       1,183  

Fontainebleau Las Vegas

               

11.000%, 06/15/2015 (A)(B)(E)

     3,481       –  

Ford Motor

               

9.000%, 04/22/2025

    445       516  

Ford Motor Credit LLC

               

5.125%, 06/16/2025

    1,285       1,344  

5.113%, 05/03/2029

    1,790       1,887  

4.687%, 06/09/2025

    1,245       1,283  

4.542%, 08/01/2026

    1,481       1,525  

4.271%, 01/09/2027

    485       489  

4.134%, 08/04/2025

    1,600       1,618  

4.125%, 08/17/2027

    2,815       2,835  

4.063%, 11/01/2024

    1,287       1,306  

4.000%, 11/13/2030

    2,463       2,443  

3.810%, 01/09/2024

    90       91  

3.625%, 06/17/2031

    11,258       10,826  

3.375%, 11/13/2025

    207       204  

3.096%, 05/04/2023

    448       451  

2.900%, 02/16/2028

    2,650       2,491  

2.900%, 02/10/2029

    890       831  

2.700%, 08/10/2026

    200       192  

Ford Motor Credit LLC MTN

               

4.389%, 01/08/2026

    650       663  

Gap

               

3.875%, 10/01/2031 (A)

     108       97  

3.625%, 10/01/2029 (A)

     1,759       1,593  

Goodyear Tire & Rubber

               

5.250%, 04/30/2031

    604       587  

5.250%, 07/15/2031 (A)

     199       193  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

5.000%, 07/15/2029 (A)

   $ 437     $ 431  

Hanesbrands

               

4.625%, 05/15/2024 (A)

     3,861       3,914  

Hertz (Escrow Security)

               

0.000%, 10/15/2024

    1,573       8  

0.000%, 08/01/2026

    715       39  

0.000%, 01/15/2028

    420       23  

Hilton Domestic Operating

               

5.750%, 05/01/2028 (A)

     326       341  

5.375%, 05/01/2025 (A)

     114       118  

4.875%, 01/15/2030

    50       51  

3.750%, 05/01/2029 (A)

     171       165  

Hilton Worldwide Finance LLC

               

4.875%, 04/01/2027

    403       412  

Houghton Mifflin Harcourt Publishers

               

9.000%, 02/15/2025 (A)

     3,890       4,080  

International Game Technology

               

6.500%, 02/15/2025 (A)

     635       675  

6.250%, 01/15/2027 (A)

     2,805       2,973  

5.250%, 01/15/2029 (A)

     200       204  

4.125%, 04/15/2026 (A)

     200       197  

IRB Holding

               

7.000%, 06/15/2025 (A)

     205       214  

Jacobs Entertainment

               

6.750%, 02/15/2029 (A)

     2,095       2,103  

Jaguar Land Rover Automotive

               

5.500%, 07/15/2029 (A)

     3,750       3,602  

KB Home

               

4.000%, 06/15/2031

    920       883  

Ken Garff Automotive LLC

               

4.875%, 09/15/2028 (A)

     442       423  

LBM Acquisition LLC

               

6.250%, 01/15/2029 (A)

     3,825       3,544  

LCM Investments Holdings II LLC

               

4.875%, 05/01/2029 (A)

     3,379       3,220  

Liberty Interactive LLC

               

8.250%, 02/01/2030

    5,829       5,712  

Lithia Motors

               

4.375%, 01/15/2031 (A)

     2,455       2,473  

3.875%, 06/01/2029 (A)

     1,513       1,493  

LSF9 Atlantis Holdings LLC

               

7.750%, 02/15/2026 (A)

     6,730       6,478  

Macy's Retail Holdings

               

5.125%, 01/15/2042

    3,649       3,217  

Macy's Retail Holdings LLC

               

5.875%, 04/01/2029 (A)

     1,825       1,866  

MajorDrive Holdings IV LLC

               

6.375%, 06/01/2029 (A)

     6,005       5,435  

Marriott Ownership Resorts

               

6.125%, 09/15/2025 (A)

     191       197  

4.500%, 06/15/2029 (A)

     72       68  

 

 

 

242

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Mattamy Group

               

4.625%, 03/01/2030 (A)

   $ 2,372     $ 2,230  

Mattel

               

5.875%, 12/15/2027 (A)

     300       318  

3.750%, 04/01/2029 (A)

     92       92  

3.375%, 04/01/2026 (A)

     2,890       2,870  

Meritage Homes

               

3.875%, 04/15/2029 (A)

     1,843       1,801  

MGM Resorts International

               

6.750%, 05/01/2025

    650       673  

6.000%, 03/15/2023

    1,615       1,664  

5.750%, 06/15/2025

    261       273  

Michaels

               

7.875%, 05/01/2029 (A)

     3,935       3,443  

5.250%, 05/01/2028 (A)

     2,430       2,272  

Midwest Gaming Borrower LLC

               

4.875%, 05/01/2029 (A)

     2,219       2,164  

NCL

               

5.875%, 02/15/2027 (A)

     2,417       2,420  

Neiman Marcus Group (Escrow Security)

               

0.000%, 10/15/2022 (E)(F)

     2,835       1,013  

Newell Brands

               

5.875%, 04/01/2036

    1,478       1,620  

4.700%, 04/01/2026

    263       272  

Peninsula Pacific Entertainment LLC

               

8.500%, 11/15/2027 (A)

     6,325       7,003  

PetSmart

               

7.750%, 02/15/2029 (A)

     1,001       1,052  

4.750%, 02/15/2028 (A)

     1,334       1,331  

PM General Purchaser LLC

               

9.500%, 10/01/2028 (A)

     543       520  

Real Hero Merger Sub 2

               

6.250%, 02/01/2029 (A)

     2,332       2,198  

Ritchie Bros Holdings

               

4.750%, 12/15/2031 (A)

     1,430       1,421  

Royal Caribbean Cruises

               

9.125%, 06/15/2023 (A)

     1,222       1,278  

5.500%, 08/31/2026 (A)

     3,341       3,325  

5.500%, 04/01/2028 (A)

     2,246       2,201  

Royal Caribbean Cruises Ltd

               

11.500%, 06/01/2025 (A)

     437       483  

10.875%, 06/01/2023 (A)

     253       272  

Service International

               

7.500%, 04/01/2027

    867       999  

5.125%, 06/01/2029

    82       84  

4.625%, 12/15/2027

    970       980  

4.000%, 05/15/2031

    132       125  

3.375%, 08/15/2030

    278       256  

Shea Homes

               

4.750%, 02/15/2028 (A)

     1,081       1,038  

4.750%, 04/01/2029 (A)

     1,323       1,258  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Six Flags Entertainment

               

5.500%, 04/15/2027 (A)

   $ 160     $ 161  

4.875%, 07/31/2024 (A)

     1,135       1,134  

Six Flags Theme Parks

               

7.000%, 07/01/2025 (A)

     1,287       1,344  

Sonic Automotive

               

4.625%, 11/15/2029 (A)

     1,452       1,378  

Specialty Building Products Holdings LLC

               

6.375%, 09/30/2026 (A)

     3,062       3,085  

Speedway Motorsports LLC

               

4.875%, 11/01/2027 (A)

     1,360       1,333  

SRS Distribution

               

6.125%, 07/01/2029 (A)

     2,616       2,500  

6.000%, 12/01/2029 (A)

     1,650       1,559  

4.625%, 07/01/2028 (A)

     1,607       1,541  

Staples

               

10.750%, 04/15/2027 (A)

     2,230       2,077  

7.500%, 04/15/2026 (A)

     2,829       2,797  

Station Casinos LLC

               

4.625%, 12/01/2031 (A)

     2,839       2,676  

4.500%, 02/15/2028 (A)

     775       745  

StoneMor

               

8.500%, 05/15/2029 (A)

     2,435       2,453  

Studio City

               

7.000%, 02/15/2027 (A)

     735       729  

Studio City Finance

               

5.000%, 01/15/2029 (A)

     4,170       3,316  

Sugarhouse HSP Gaming Prop Mezz LP

               

5.875%, 05/15/2025 (A)

     2,550       2,518  

Superior Plus

               

4.500%, 03/15/2029 (A)

     368       351  

Tempur Sealy International

               

4.000%, 04/15/2029 (A)

     764       720  

3.875%, 10/15/2031 (A)

     209       188  

Tenneco

               

7.875%, 01/15/2029 (A)

     242       256  

5.375%, 12/15/2024

    300       301  

5.125%, 04/15/2029 (A)

     3,375       3,384  

5.000%, 07/15/2026

    288       287  

Thor Industries

               

4.000%, 10/15/2029 (A)

     2,288       2,088  

Vail Resorts

               

6.250%, 05/15/2025 (A)

     981       1,010  

Vista Outdoor

               

4.500%, 03/15/2029 (A)

     2,222       2,083  

VOC Escrow

               

5.000%, 02/15/2028 (A)

     2,025       1,929  

Wheel Pros

               

6.500%, 05/15/2029 (A)

     3,825       3,500  

White Capital Buyer LLC

               

6.875%, 10/15/2028 (A)

     188       187  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

243

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

White Capital Parent LLC

               

8.250%cash/0% PIK, 03/15/2026 (A)

   $ 4,595     $ 4,630  

Wolverine Escrow LLC

               

13.125%, 11/15/2027 (A)

     180       88  

9.000%, 11/15/2026 (A)

     950       950  

8.500%, 11/15/2024 (A)

     145       124  

Wynn Las Vegas LLC

               

5.500%, 03/01/2025 (A)

     1,746       1,771  

5.250%, 05/15/2027 (A)

     60       59  

4.250%, 05/30/2023 (A)

     245       246  

Wynn Resorts Finance LLC

               

7.750%, 04/15/2025 (A)

     1,875       1,957  

5.125%, 10/01/2029 (A)

     656       631  

Yum! Brands

               

7.750%, 04/01/2025 (A)

     110       115  

6.875%, 11/15/2037

    1,840       2,098  

5.350%, 11/01/2043

    180       181  

4.625%, 01/31/2032

    396       388  

3.625%, 03/15/2031

    1,266       1,183  
                 
              324,035  
                 

Consumer Staples — 6.4%

        

180 Medical

               

3.875%, 10/15/2029 (A)

     414       397  

AHP Health Partners

               

5.750%, 07/15/2029 (A)

     276       261  

Akumin

               

7.000%, 11/01/2025 (A)

     2,895       2,526  

Akumin Escrow

               

7.500%, 08/01/2028 (A)

     2,699       2,308  

Albertsons

               

5.875%, 02/15/2028 (A)

     161       166  

4.875%, 02/15/2030 (A)

     285       286  

4.625%, 01/15/2027 (A)

     3,877       3,894  

3.500%, 03/15/2029 (A)

     531       494  

3.250%, 03/15/2026 (A)

     350       337  

Allied Universal Holdco LLC

               

6.625%, 07/15/2026 (A)

     330       338  

4.625%, 06/01/2028 (A)

     684       644  

Bausch Health

               

9.000%, 12/15/2025 (A)

     3,430       3,537  

7.250%, 05/30/2029 (A)

     295       258  

7.000%, 01/15/2028 (A)

     1,830       1,674  

6.250%, 02/15/2029 (A)

     1,990       1,697  

6.125%, 04/15/2025 (A)

     3,195       3,211  

5.500%, 11/01/2025 (A)

     1,360       1,365  

5.250%, 01/30/2030 (A)

     6,887       5,553  

5.250%, 02/15/2031 (A)

     2,162       1,719  

5.000%, 01/30/2028 (A)

     597       500  

5.000%, 02/15/2029 (A)

     455       368  

4.875%, 06/01/2028 (A)

     2,303       2,212  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Bausch Health Americas

               

9.250%, 04/01/2026 (A)

   $ 365     $ 377  

8.500%, 01/31/2027 (A)

     583       590  

Central Garden & Pet

               

5.125%, 02/01/2028

    1,515       1,543  

4.125%, 10/15/2030

    332       315  

Chobani LLC

               

7.500%, 04/15/2025 (A)

     1,270       1,264  

4.625%, 11/15/2028 (A)

     3,912       3,768  

CoreLogic

               

4.500%, 05/01/2028 (A)

     2,938       2,787  

Coty

               

6.500%, 04/15/2026 (A)

     1,785       1,822  

5.000%, 04/15/2026 (A)

     356       358  

4.750%, 01/15/2029 (A)

     4,355       4,235  

CPI CG

               

8.625%, 03/15/2026 (A)

     1,470       1,398  

Edgewell Personal Care

               

5.500%, 06/01/2028 (A)

     565       568  

4.125%, 04/01/2029 (A)

     217       204  

Embecta

               

5.000%, 02/15/2030 (A)

     1,935       1,908  

Energizer Holdings

               

4.750%, 06/15/2028 (A)

     881       833  

4.375%, 03/31/2029 (A)

     1,831       1,650  

Envision Healthcare

               

8.750%, 10/15/2026 (A)

     3,255       1,725  

Garda World Security

               

9.500%, 11/01/2027 (A)

     565       583  

6.000%, 06/01/2029 (A)

     429       389  

Grifols Escrow Issuer

               

4.750%, 10/15/2028 (A)

     600       567  

High Ridge Brands (Escrow Security)

               

0.821%, 03/15/2025

    800       –  

JBS USA LUX

               

5.500%, 01/15/2030 (A)

     2,347       2,425  

Kraft Heinz Foods

               

5.000%, 06/04/2042

    8,911       9,824  

Kronos Acquisition Holdings

               

7.000%, 12/31/2027 (A)

     3,341       2,827  

Lamb Weston Holdings

               

4.875%, 05/15/2028 (A)

     218       224  

4.375%, 01/31/2032 (A)

     108       105  

4.125%, 01/31/2030 (A)

     2,748       2,659  

Legacy LifePoint Health LLC

               

4.375%, 02/15/2027 (A)

     5,883       5,574  

LifePoint Health

               

5.375%, 01/15/2029 (A)

     2,993       2,814  

Mozart Debt Merger Sub

               

5.250%, 10/01/2029 (A)

     1,593       1,521  

3.875%, 04/01/2029 (A)

     7,373       6,996  

 

 

 

244

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

MPH Acquisition Holdings LLC

               

5.750%, 11/01/2028 (A)

   $ 2,801     $ 2,528  

NESCO Holdings II

               

5.500%, 04/15/2029 (A)

     322       310  

New Albertsons

               

8.700%, 05/01/2030

    2,229       2,675  

8.000%, 05/01/2031

    1,620       1,928  

Organon Finance 1 LLC

               

5.125%, 04/30/2031 (A)

     3,525       3,519  

4.125%, 04/30/2028 (A)

     2,190       2,154  

PECF USS Intermediate Holding III

               

8.000%, 11/15/2029 (A)

     3,650       3,559  

Performance Food Group

               

6.875%, 05/01/2025 (A)

     80       83  

5.500%, 10/15/2027 (A)

     579       589  

4.250%, 08/01/2029 (A)

     500       477  

Post Holdings

               

5.750%, 03/01/2027 (A)

     1,015       1,026  

5.625%, 01/15/2028 (A)

     1,800       1,807  

5.500%, 12/15/2029 (A)

     1,114       1,123  

4.625%, 04/15/2030 (A)

     684       644  

4.500%, 09/15/2031 (A)

     135       125  

Prime Security Services Borrower LLC

               

6.250%, 01/15/2028 (A)

     1,895       1,829  

5.750%, 04/15/2026 (A)

     1,933       1,986  

3.375%, 08/31/2027 (A)

     1,085       1,004  

Radiology Partners

               

9.250%, 02/01/2028 (A)

     1,514       1,510  

Rite Aid

               

8.000%, 11/15/2026 (A)

     3,219       3,064  

7.700%, 02/15/2027

    1,710       1,428  

7.500%, 07/01/2025 (A)

     7,044       6,762  

RP Escrow Issuer LLC

               

5.250%, 12/15/2025 (A)

     205       200  

Sabre Global

               

7.375%, 09/01/2025 (A)

     570       591  

Sigma Holdco BV

               

7.875%, 05/15/2026 (A)

     6,799       5,983  

Simmons Foods

               

4.625%, 03/01/2029 (A)

     4,580       4,243  

Sotheby's

               

5.875%, 06/01/2029 (A)

     842       834  

Spectrum Brands

               

5.750%, 07/15/2025

    45       46  

5.500%, 07/15/2030 (A)

     916       911  

5.000%, 10/01/2029 (A)

     630       622  

3.875%, 03/15/2031 (A)

     2,510       2,299  

Team Health Holdings

               

6.375%, 02/01/2025 (A)

     5,919       5,368  

Triton Water Holdings

               

6.250%, 04/01/2029 (A)

     4,422       4,074  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Turning Point Brands

               

5.625%, 02/15/2026 (A)

   $ 2,040     $ 1,989  

US Acute Care Solutions LLC

               

6.375%, 03/01/2026 (A)

     1,532       1,509  

US Foods

               

6.250%, 04/15/2025 (A)

     1,832       1,895  

4.750%, 02/15/2029 (A)

     50       49  

4.625%, 06/01/2030 (A)

     405       394  

US Renal Care

               

10.625%, 07/15/2027 (A)

     3,590       3,572  

Vector Group

               

10.500%, 11/01/2026 (A)

     5,290       5,431  

5.750%, 02/01/2029 (A)

     1,715       1,582  
                 
              177,320  
                 

Energy — 11.2%

        

Aethon United BR

               

8.250%, 02/15/2026 (A)

     1,750       1,853  

Antero Midstream Partners

               

7.875%, 05/15/2026 (A)

     718       772  

5.750%, 03/01/2027 (A)

     2,356       2,400  

5.750%, 01/15/2028 (A)

     342       347  

5.375%, 06/15/2029 (A)

     505       508  

Antero Resources

               

8.375%, 07/15/2026 (A)

     1,588       1,743  

7.625%, 02/01/2029 (A)

     2,653       2,872  

5.375%, 03/01/2030 (A)

     158       161  

Apache

               

5.100%, 09/01/2040

    5,245       5,246  

4.875%, 11/15/2027

    959       985  

4.625%, 11/15/2025

    72       74  

4.375%, 10/15/2028

    451       457  

Archrock Partners

               

6.250%, 04/01/2028 (A)

     3,533       3,533  

Ascent Resources Utica Holdings LLC

               

9.000%, 11/01/2027 (A)

     1,106       1,435  

8.250%, 12/31/2028 (A)

     4,373       4,490  

7.000%, 11/01/2026 (A)

     1,236       1,221  

5.875%, 06/30/2029 (A)

     4,341       4,129  

Baytex Energy

               

8.750%, 04/01/2027 (A)

     570       611  

Blue Racer Midstream LLC

               

7.625%, 12/15/2025 (A)

     3,959       4,162  

Buckeye Partners

               

4.500%, 03/01/2028 (A)

     590       561  

4.125%, 03/01/2025 (A)

     350       349  

4.125%, 12/01/2027

    240       227  

California Resources

               

7.125%, 02/01/2026 (A)

     530       551  

Cheniere Energy

               

4.625%, 10/15/2028

    1,682       1,718  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

245

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Cheniere Energy Partners

               

4.500%, 10/01/2029

  $ 6,616     $ 6,743  

4.000%, 03/01/2031

    1,034       1,018  

3.250%, 01/31/2032 (A)

     728       684  

Chesapeake Energy

               

6.750%, 04/15/2029 (A)

     964       1,019  

5.500%, 02/01/2026 (A)

     299       307  

Chesapeake Energy (Escrow Security)

               

0.000%, 12/31/2049 (E)

     6,045       60  

Citgo Holding

               

9.250%, 08/01/2024 (A)

     9,891       9,940  

CNX Midstream Partners

               

4.750%, 04/15/2030 (A)

     952       920  

CNX Resources

               

7.250%, 03/14/2027 (A)

     1,120       1,183  

6.000%, 01/15/2029 (A)

     246       251  

Colgate Energy Partners III LLC

               

5.875%, 07/01/2029 (A)

     3,710       3,819  

Comstock Resources

               

7.500%, 05/15/2025 (A)

     314       321  

6.750%, 03/01/2029 (A)

     3,312       3,370  

5.875%, 01/15/2030 (A)

     242       234  

Continental Resources

               

5.750%, 01/15/2031 (A)

     2,314       2,581  

CQP Holdco

               

5.500%, 06/15/2031 (A)

     3,450       3,433  

Crestwood Midstream Partners

               

8.000%, 04/01/2029 (A)

     564       600  

5.625%, 05/01/2027 (A)

     150       149  

CrownRock

               

5.625%, 10/15/2025 (A)

     2,716       2,747  

DCP Midstream Operating

               

8.125%, 08/16/2030

    1,990       2,527  

5.625%, 07/15/2027

    750       806  

5.375%, 07/15/2025

    268       284  

5.125%, 05/15/2029

    896       943  

3.250%, 02/15/2032

    315       294  

Delek Logistics Partners

               

6.750%, 05/15/2025

    1,462       1,463  

Devon Energy

               

7.950%, 04/15/2032

    1,327       1,793  

DT Midstream

               

4.375%, 06/15/2031 (A)

     2,445       2,388  

4.125%, 06/15/2029 (A)

     4,323       4,172  

Encino Acquisition Partners Holdings LLC

               

8.500%, 05/01/2028 (A)

     6,068       6,144  

Endeavor Energy Resources

               

6.625%, 07/15/2025 (A)

     412       431  

Energy Transfer

               

5.500%, 06/01/2027

    2,863       3,014  

EnLink Midstream LLC

               

5.625%, 01/15/2028 (A)

     185       187  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

5.375%, 06/01/2029

  $ 6,030     $ 6,000  

EnLink Midstream Partners

               

4.850%, 07/15/2026

    140       142  

4.400%, 04/01/2024

    670       682  

4.150%, 06/01/2025

    445       446  

Enviva Partners

               

6.500%, 01/15/2026 (A)

     2,667       2,750  

EQM Midstream Partners

               

6.500%, 07/01/2027 (A)

     1,116       1,167  

6.500%, 07/15/2048

    4,244       4,138  

6.000%, 07/01/2025 (A)

     1,221       1,245  

5.500%, 07/15/2028

    61       60  

4.750%, 01/15/2031 (A)

     357       335  

4.500%, 01/15/2029 (A)

     951       888  

EQT

               

7.500%, 02/01/2030

    1,667       1,988  

6.625%, 02/01/2025

    2,565       2,771  

3.900%, 10/01/2027

    280       283  

Equities

               

5.000%, 01/15/2029

    162       171  

3.625%, 05/15/2031 (A)

     1,367       1,329  

3.125%, 05/15/2026 (A)

     198       195  

Exterran Energy Solutions

               

8.125%, 05/01/2025

    3,672       3,686  

Genesis Energy

               

8.000%, 01/15/2027

    2,507       2,534  

7.750%, 02/01/2028

    1,978       1,953  

6.500%, 10/01/2025

    40       39  

6.250%, 05/15/2026

    70       67  

Great Western Petroleum LLC

               

12.000%, 09/01/2025 (A)

     1,998       2,085  

Gulfport Energy

               

8.000%, 05/17/2026

    457       483  

Gulfport Energy (Escrow Securities)

               

0.000%, 10/15/2024

    470       –  

0.000%, 05/15/2025 (E)

     311       –  

0.000%, 01/15/2026

    780       –  

Gulfport Energy Operating

               

8.000%, 05/17/2026 (A)

     5,045       5,335  

Harvest Midstream I

               

7.500%, 09/01/2028 (A)

     3,350       3,381  

Hess Midstream Operations

               

5.625%, 02/15/2026 (A)

     600       615  

4.250%, 02/15/2030 (A)

     315       304  

Hilcorp Energy I

               

5.750%, 02/01/2029 (A)

     1,540       1,548  

Howard Midstream Energy Partners LLC

               

6.750%, 01/15/2027 (A)

     5,555       5,513  

ITT Holdings LLC

               

6.500%, 08/01/2029 (A)

     4,301       4,032  

Laredo Petroleum

               

10.125%, 01/15/2028

    2,073       2,192  

 

 

 

246

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

9.500%, 01/15/2025

  $ 3,534     $ 3,636  

7.750%, 07/31/2029 (A)

     1,349       1,311  

Marathon Oil

               

6.600%, 10/01/2037

    2,560       3,218  

MEG Energy

               

7.125%, 02/01/2027 (A)

     585       610  

6.500%, 01/15/2025 (A)

     319       324  

Moss Creek Resources Holdings

               

10.500%, 05/15/2027 (A)

     3,328       3,137  

7.500%, 01/15/2026 (A)

     3,719       3,291  

Motiva Enterprises

               

6.850%, 01/15/2040 (A)

     1,713       1,962  

Nabors Industries

               

7.250%, 01/15/2026 (A)

     147       143  

5.750%, 02/01/2025

    510       489  

New Fortress Energy

               

6.750%, 09/15/2025 (A)

     983       945  

6.500%, 09/30/2026 (A)

     3,960       3,798  

NGL Energy Operating LLC

               

7.500%, 02/01/2026 (A)

     5,759       5,783  

NGL Energy Partners

               

7.500%, 11/01/2023

    3,934       3,777  

7.500%, 04/15/2026

    1,375       1,189  

6.125%, 03/01/2025

    5,241       4,533  

Northern Oil and Gas

               

8.125%, 03/01/2028 (A)

     5,187       5,451  

NuStar Logistics

               

6.375%, 10/01/2030

    1,092       1,106  

6.000%, 06/01/2026

    485       493  

5.750%, 10/01/2025

    187       195  

5.625%, 04/28/2027

    245       245  

Oasis Petroleum

               

6.375%, 06/01/2026 (A)

     184       187  

Occidental Petroleum

               

8.875%, 07/15/2030

    3,431       4,436  

8.500%, 07/15/2027

    1,950       2,350  

8.000%, 07/15/2025

    1,262       1,428  

6.625%, 09/01/2030

    1,631       1,898  

6.450%, 09/15/2036

    1,655       1,949  

6.375%, 09/01/2028

    2,896       3,272  

6.125%, 01/01/2031

    5,328       6,058  

5.875%, 09/01/2025

    291       312  

5.500%, 12/01/2025

    3,921       4,214  

4.625%, 06/15/2045

    1,445       1,391  

4.500%, 07/15/2044

    155       146  

PBF Holding LLC

               

9.250%, 05/15/2025 (A)

     2,380       2,422  

7.250%, 06/15/2025

    1,900       1,596  

6.000%, 02/15/2028

    255       187  

Peabody Energy

               

6.375%, 03/31/2025 (A)

     1,094       1,104  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Precision Drilling

               

7.125%, 01/15/2026 (A)

   $ 325     $ 329  

6.875%, 01/15/2029 (A)

     57       57  

Range Resources

               

8.250%, 01/15/2029

    189       207  

4.875%, 05/15/2025

    545       553  

4.750%, 02/15/2030 (A)

     142       139  

Rockcliff Energy II LLC

               

5.500%, 10/15/2029 (A)

     1,563       1,549  

Seventy Seven Operating LLC (Escrow Security)

               

6.625%, 11/15/2019 (B)(E)

     2,787       –  

Shelf Drilling Holdings

               

8.875%, 11/15/2024 (A)

     625       640  

8.250%, 02/15/2025 (A)

     3,135       2,414  

SM Energy

               

6.625%, 01/15/2027

    960       974  

6.500%, 07/15/2028

    110       113  

5.625%, 06/01/2025

    1,820       1,811  

Southwestern Energy

               

8.375%, 09/15/2028

    100       109  

7.750%, 10/01/2027

    215       227  

5.375%, 03/15/2030

    490       506  

4.750%, 02/01/2032

    1,573       1,564  

Strathcona Resources

               

6.875%, 08/01/2026 (A)

     2,510       2,428  

Summit Midstream Holdings LLC

               

8.500%, 10/15/2026 (A)

     684       677  

5.750%, 04/15/2025

    2,488       2,114  

Sunoco

               

5.875%, 03/15/2028

    2,791       2,840  

4.500%, 05/15/2029

    427       409  

4.500%, 04/30/2030 (A)

     536       512  

Tallgrass Energy Partners

               

7.500%, 10/01/2025 (A)

     875       919  

6.000%, 03/01/2027 (A)

     430       430  

6.000%, 12/31/2030 (A)

     7,918       7,626  

6.000%, 09/01/2031 (A)

     1,386       1,306  

5.500%, 01/15/2028 (A)

     165       159  

Targa Resources Partners

               

6.875%, 01/15/2029

    516       562  

6.500%, 07/15/2027

    559       593  

5.875%, 04/15/2026

    760       785  

5.500%, 03/01/2030

    540       572  

5.375%, 02/01/2027

    65       67  

5.000%, 01/15/2028

    3,156       3,254  

4.875%, 02/01/2031

    2,528       2,599  

4.000%, 01/15/2032

    303       298  

TerraForm Power Operating LLC

               

5.000%, 01/31/2028 (A)

     2,510       2,516  

4.750%, 01/15/2030 (A)

     225       221  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

247

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Transocean

               

11.500%, 01/30/2027 (A)

   $ 2,201     $ 2,201  

8.000%, 02/01/2027 (A)

     2,645       1,954  

7.500%, 04/15/2031

    1,580       980  

Transocean Guardian

               

5.875%, 01/15/2024 (A)

     1,908       1,826  

Transocean Pontus

               

6.125%, 08/01/2025 (A)

     2,349       2,314  

Transocean Proteus

               

6.250%, 12/01/2024 (A)

     1,465       1,454  

USA Compression Partners

               

6.875%, 09/01/2027

    3,650       3,653  

Venture Global Calcasieu Pass LLC

               

4.125%, 08/15/2031 (A)

     435       431  

3.875%, 08/15/2029 (A)

     435       426  

3.875%, 11/01/2033 (A)

     960       924  

Weatherford International

               

6.500%, 09/15/2028 (A)

     3,365       3,484  

Western Midstream Operating

               

5.750%, 02/01/2050

    4,089       4,161  
                 
              307,060  
                 

Financials — 7.4%

        

Acrisure LLC

               

7.000%, 11/15/2025 (A)

     1,947       1,939  

4.250%, 02/15/2029 (A)

     2,601       2,445  

Advisor Group Holdings

               

10.750%, 08/01/2027 (A)

     1,745       1,898  

Air Methods

               

8.000%, 05/15/2025 (A)

     8,993       7,464  

Alliant Holdings Intermediate LLC

               

6.750%, 10/15/2027 (A)

     2,686       2,626  

5.875%, 11/01/2029 (A)

     2,135       2,016  

Apollo Commercial Real Estate Finance

               

4.625%, 06/15/2029 (A)

     1,369       1,235  

AssuredPartners

               

5.625%, 01/15/2029 (A)

     1,859       1,710  

Asteroid Private Merger Sub

               

8.500%, 11/15/2029 (A)

     1,550       1,498  

Bank of America

               

5.875%, ICE LIBOR USD 3 Month + 2.931%(C)(D)

     1,301       1,335  

Barclays

               

7.750%, USD Swap Semi 30/360 5 Yr Curr + 4.842%(C)(D)

     2,760       2,885  

6.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.867%(C)(D)

     1,250       1,295  

BroadStreet Partners

               

5.875%, 04/15/2029 (A)

     3,795       3,529  

Brookfield Property

               

5.750%, 05/15/2026 (A)

     3,985       3,942  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.500%, 04/01/2027 (A)

   $ 6,676     $ 6,225  

Citigroup

               

5.000%, U.S. SOFR + 3.813%(C)(D)

     5,285       5,346  

Coinbase Global

               

3.625%, 10/01/2031 (A)

     3,896       3,431  

3.375%, 10/01/2028 (A)

     5,157       4,699  

Finance of America Funding LLC

               

7.875%, 11/15/2025 (A)

     7,446       6,925  

FirstCash

               

5.625%, 01/01/2030 (A)

     3,755       3,729  

Freedom Mortgage

               

8.250%, 04/15/2025 (A)

     5,175       5,162  

8.125%, 11/15/2024 (A)

     3,492       3,483  

7.625%, 05/01/2026 (A)

     360       346  

6.625%, 01/15/2027 (A)

     2,455       2,265  

HAT Holdings I LLC

               

6.000%, 04/15/2025 (A)

     1,969       2,031  

3.750%, 09/15/2030 (A)

     3,392       3,121  

Home Point Capital

               

5.000%, 02/01/2026 (A)

     1,785       1,473  

HSBC Holdings PLC

               

4.600%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.649%(C)(D)

     1,377       1,281  

HUB International

               

5.625%, 12/01/2029 (A)

     4,465       4,242  

Hunt

               

5.250%, 04/15/2029 (A)

     1,957       1,873  

Intesa Sanpaolo MTN

               

5.710%, 01/15/2026 (A)

     1,415       1,491  

Jane Street Group

               

4.500%, 11/15/2029 (A)

     1,747       1,703  

JPMorgan Chase

               

5.000%, U.S. SOFR + 3.380%(C)(D)

     1,299       1,307  

4.000%, U.S. SOFR + 2.745%(C)(D)

     2,633       2,489  

Ladder Capital Finance Holdings LLLP

               

5.250%, 10/01/2025 (A)

     1,046       1,049  

4.750%, 06/15/2029 (A)

     2,462       2,385  

4.250%, 02/01/2027 (A)

     2,584       2,516  

LD Holdings Group LLC

               

6.500%, 11/01/2025 (A)

     1,755       1,667  

6.125%, 04/01/2028 (A)

     2,712       2,418  

Lloyds Banking Group

               

7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.760%(C)(D)

     3,250       3,433  

LPL Holdings

               

4.625%, 11/15/2027 (A)

     3,637       3,619  

4.375%, 05/15/2031 (A)

     149       145  

MGIC Investment

               

5.250%, 08/15/2028

    1,300       1,316  

 

 

 

248

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

MGM Growth Properties Operating Partnership

               

5.750%, 02/01/2027

  $ 357     $ 386  

5.625%, 05/01/2024

    315       327  

4.625%, 06/15/2025 (A)

     411       423  

4.500%, 09/01/2026

    225       229  

4.500%, 01/15/2028

    175       181  

3.875%, 02/15/2029 (A)

     396       398  

Midcap Financial Issuer Trust

               

6.500%, 05/01/2028 (A)

     4,437       4,331  

5.625%, 01/15/2030 (A)

     1,503       1,371  

Morgan Stanley

               

5.300%, ICE LIBOR USD 3 Month + 3.160%(C)(D)

     872       868  

Nationstar Mortgage Holdings

               

6.000%, 01/15/2027 (A)

     2,312       2,347  

5.750%, 11/15/2031 (A)

     465       450  

5.500%, 08/15/2028 (A)

     4,120       4,110  

5.125%, 12/15/2030 (A)

     1,582       1,483  

Navient

               

5.500%, 03/15/2029

    2,370       2,240  

5.000%, 03/15/2027

    1,785       1,723  

4.875%, 03/15/2028

    552       516  

New Residential Investment

               

6.250%, 10/15/2025 (A)

     7,312       7,171  

NFP

               

6.875%, 08/15/2028 (A)

     2,423       2,253  

4.875%, 08/15/2028 (A)

     1,170       1,129  

OneMain Finance

               

7.125%, 03/15/2026

    3,300       3,577  

6.625%, 01/15/2028

    500       534  

5.375%, 11/15/2029

    1,998       2,010  

4.000%, 09/15/2030

    4,793       4,371  

3.500%, 01/15/2027

    370       350  

PennyMac Financial Services

               

5.750%, 09/15/2031 (A)

     830       782  

5.375%, 10/15/2025 (A)

     1,265       1,259  

4.250%, 02/15/2029 (A)

     295       264  

Rocket Mortgage LLC

               

4.000%, 10/15/2033 (A)

     105       98  

3.875%, 03/01/2031 (A)

     1,025       960  

3.625%, 03/01/2029 (A)

     3,201       2,997  

2.875%, 10/15/2026 (A)

     315       296  

Ryan Specialty Group LLC

               

4.375%, 02/01/2030 (A)

     4,344       4,179  

Sitka Holdings LLC

               

5.250%, ICE LIBOR USD 3 Month + 4.500%, 07/06/2026 (A)(C)

     4,994       5,006  

Starwood Property Trust

               

5.500%, 11/01/2023 (A)

     2,170       2,211  

4.375%, 01/15/2027 (A)

     315       306  

3.750%, 12/31/2024 (A)

     670       656  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.625%, 07/15/2026 (A)

   $ 190     $ 180  

Trilogy

               

10.000%, 05/15/2023 (E)(F)

     60       60  

United Wholesale Mortgage LLC

               

5.750%, 06/15/2027 (A)

     2,410       2,303  

VistaJet Malta Finance

               

6.375%, 02/01/2030 (A)

     11,256       10,710  

Voya Financial

               

4.700%, ICE LIBOR USD 3 Month + 2.084%, 01/23/2048 (C)

     1,183       1,143  

WeWork

               

7.875%, 05/01/2025 (A)

     5,225       4,729  
                 
              197,904  
                 

Health Care — 4.3%

        

Acadia Healthcare

               

5.500%, 07/01/2028 (A)

     1,201       1,204  

5.000%, 04/15/2029 (A)

     1,897       1,873  

Avantor Funding

               

4.625%, 07/15/2028 (A)

     958       972  

3.875%, 11/01/2029 (A)

     3,700       3,561  

Catalent Pharma Solutions

               

3.125%, 02/15/2029 (A)

     2,546       2,358  

Centene

               

4.625%, 12/15/2029

    2,453       2,527  

4.250%, 12/15/2027

    3,643       3,729  

3.375%, 02/15/2030

    300       288  

2.500%, 03/01/2031

    4,526       4,167  

CHS

               

8.000%, 03/15/2026 (A)

     170       176  

6.875%, 04/01/2028 (A)

     3,888       3,592  

6.875%, 04/15/2029 (A)

     2,498       2,422  

6.125%, 04/01/2030 (A)

     1,261       1,173  

6.000%, 01/15/2029 (A)

     490       491  

5.625%, 03/15/2027 (A)

     685       691  

5.250%, 05/15/2030 (A)

     2,552       2,472  

4.750%, 02/15/2031 (A)

     1,971       1,855  

DaVita

               

4.625%, 06/01/2030 (A)

     595       570  

3.750%, 02/15/2031 (A)

     4,759       4,349  

Emergent BioSolutions

               

3.875%, 08/15/2028 (A)

     522       467  

Encompass Health

               

4.750%, 02/01/2030

    2,499       2,386  

4.625%, 04/01/2031

    80       75  

4.500%, 02/01/2028

    1,240       1,207  

Endo DAC

               

9.500%, 07/31/2027 (A)

     2,088       2,036  

6.000%, 06/30/2028 (A)

     2,068       1,368  

Endo Luxembourg Finance I Sarl

               

6.125%, 04/01/2029 (A)

     1,905       1,791  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

249

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Global Medical Response

               

6.500%, 10/01/2025 (A)

   $ 2,327     $ 2,283  

HCA

               

5.875%, 02/15/2026

    6,705       7,246  

5.875%, 02/01/2029

    1,385       1,548  

5.625%, 09/01/2028

    445       493  

5.375%, 09/01/2026

    460       495  

3.500%, 09/01/2030

    7,750       7,672  

HealthEquity

               

4.500%, 10/01/2029 (A)

     108       103  

Hologic

               

3.250%, 02/15/2029 (A)

     1,062       1,006  

IQVIA

               

5.000%, 10/15/2026 (A)

     1,440       1,470  

Jazz Securities DAC

               

4.375%, 01/15/2029 (A)

     334       331  

Lannett

               

7.750%, 04/15/2026 (A)

     4,515       2,349  

Mallinckrodt International Finance

               

5.625%, 10/15/2023 (A)(B)

     850       425  

5.500%, 04/15/2025 (A)(B)

     595       296  

MEDNAX

               

5.375%, 02/15/2030 (A)

     3,632       3,614  

ModivCare Escrow Issuer

               

5.000%, 10/01/2029 (A)

     1,590       1,497  

Molina Healthcare

               

4.375%, 06/15/2028 (A)

     2,997       2,993  

Option Care Health

               

4.375%, 10/31/2029 (A)

     1,140       1,100  

Owens & Minor

               

4.500%, 03/31/2029 (A)

     483       455  

Par Pharmaceutical

               

7.500%, 04/01/2027 (A)

     5,365       5,374  

Prestige Brands

               

5.125%, 01/15/2028 (A)

     420       421  

Syneos Health

               

3.625%, 01/15/2029 (A)

     3,053       2,883  

Tenet Healthcare

               

6.875%, 11/15/2031

    1,110       1,185  

6.250%, 02/01/2027 (A)

     2,873       2,955  

6.125%, 10/01/2028 (A)

     4,294       4,350  

5.125%, 11/01/2027 (A)

     920       938  

4.875%, 01/01/2026 (A)

     2,983       3,003  

4.625%, 07/15/2024

    298       299  

4.625%, 09/01/2024 (A)

     45       46  

4.625%, 06/15/2028 (A)

     3,808       3,732  

4.375%, 01/15/2030 (A)

     3,024       2,919  

4.250%, 06/01/2029 (A)

     2,668       2,575  

Varex Imaging

               

7.875%, 10/15/2027 (A)

     2,134       2,294  
                 
              116,150  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Industrials — 7.9%

        

ACCO Brands

               

4.250%, 03/15/2029 (A)

   $ 860     $ 802  

ADT Security

               

4.875%, 07/15/2032 (A)

     2,573       2,399  

4.125%, 08/01/2029 (A)

     520       490  

Allison Transmission

               

5.875%, 06/01/2029 (A)

     855       897  

4.750%, 10/01/2027 (A)

     2,356       2,342  

3.750%, 01/30/2031 (A)

     332       308  

American Airlines

               

11.750%, 07/15/2025 (A)

     602       730  

5.750%, 04/20/2029 (A)

     5,822       5,952  

5.500%, 04/20/2026 (A)

     4,095       4,191  

American Airlines Group

               

3.750%, 03/01/2025 (A)

     2,248       2,094  

APi Escrow

               

4.750%, 10/15/2029 (A)

     234       221  

APi Group DE

               

4.125%, 07/15/2029 (A)

     280       258  

ARD Finance

               

6.500%cash/0% PIK, 06/30/2027 (A)

     1,998       1,913  

Ardagh Packaging Finance

               

5.250%, 04/30/2025 (A)

     2,581       2,615  

5.250%, 08/15/2027 (A)

     2,630       2,500  

4.125%, 08/15/2026 (A)

     1,285       1,243  

Artera Services LLC

               

9.033%, 12/04/2025 (A)

     5,629       5,645  

ATS Automation Tooling Systems

               

4.125%, 12/15/2028 (A)

     493       475  

Avis Budget Car Rental LLC

               

5.750%, 07/15/2027 (A)

     840       847  

5.375%, 03/01/2029 (A)

     301       296  

4.750%, 04/01/2028 (A)

     50       48  

Boeing

               

5.150%, 05/01/2030

    3,538       3,908  

Bombardier

               

7.875%, 04/15/2027 (A)

     1,950       1,977  

7.500%, 12/01/2024 (A)

     2,959       3,063  

7.500%, 03/15/2025 (A)

     1,155       1,166  

7.125%, 06/15/2026 (A)

     772       771  

Brand Industrial Services

               

8.500%, 07/15/2025 (A)

     1,276       1,171  

Builders FirstSource

               

5.000%, 03/01/2030 (A)

     1,297       1,328  

4.250%, 02/01/2032 (A)

     2,886       2,770  

BWAY Holding Co

               

7.250%, 04/15/2025 (A)

     5,282       5,190  

5.500%, 04/15/2024 (A)

     135       134  

BWX Technologies

               

4.125%, 06/30/2028 (A)

     607       589  

4.125%, 04/15/2029 (A)

     4,464       4,330  

 

 

 

250

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Cargo Aircraft Management

               

4.750%, 02/01/2028 (A)

   $ 3,777     $ 3,703  

CEMEX Materials LLC

               

7.700%, 07/21/2025 (A)

     2,820       3,012  

Clark Equipment

               

5.875%, 06/01/2025 (A)

     1,127       1,152  

Clean Harbors

               

4.875%, 07/15/2027 (A)

     2,794       2,801  

CoreCivic

               

8.250%, 04/15/2026

    482       489  

CP Atlas Buyer

               

7.000%, 12/01/2028 (A)

     5,235       4,718  

Delta Air Lines

               

7.375%, 01/15/2026

    446       501  

7.000%, 05/01/2025 (A)

     1,616       1,795  

Delta Air Lines/Skymiles LP

               

4.750%, 10/20/2028 (A)

     585       610  

Deluxe

               

8.000%, 06/01/2029 (A)

     3,515       3,603  

Dun & Bradstreet

               

5.000%, 12/15/2029 (A)

     146       140  

Dycom Industries

               

4.500%, 04/15/2029 (A)

     603       580  

EnerSys

               

4.375%, 12/15/2027 (A)

     892       883  

EnPro Industries

               

5.750%, 10/15/2026

    569       590  

First Student Bidco

               

4.000%, 07/31/2029 (A)

     35       33  

Fortress Transportation & Infrastructure Investors LLC

               

9.750%, 08/01/2027 (A)

     2,055       2,255  

6.500%, 10/01/2025 (A)

     2,025       2,050  

Fortress Transportation and Infrastructure Investors LLC

               

5.500%, 05/01/2028 (A)

     1,780       1,700  

GFL Environmental

               

4.750%, 06/15/2029 (A)

     318       300  

4.375%, 08/15/2029 (A)

     1,712       1,589  

4.000%, 08/01/2028 (A)

     614       570  

3.750%, 08/01/2025 (A)

     824       816  

3.500%, 09/01/2028 (A)

     4,233       4,041  

Global Infrastructure Solutions

               

5.625%, 06/01/2029 (A)

     580       573  

GrafTech Finance

               

4.625%, 12/15/2028 (A)

     3,535       3,435  

Graham Packaging

               

7.125%, 08/15/2028 (A)

     312       300  

Granite US Holdings

               

11.000%, 10/01/2027 (A)

     3,575       3,807  

Griffon

               

5.750%, 03/01/2028

    690       687  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

H&E Equipment Services

               

3.875%, 12/15/2028 (A)

   $ 3,380     $ 3,163  

Harsco

               

5.750%, 07/31/2027 (A)

     766       755  

Hawaiian Brand Intellectual Property

               

5.750%, 01/20/2026 (A)

     2,011       2,036  

Herc Holdings

               

5.500%, 07/15/2027 (A)

     335       343  

Hertz

               

5.000%, 12/01/2029 (A)

     318       297  

4.625%, 12/01/2026 (A)

     758       722  

Howmet Aerospace

               

5.900%, 02/01/2027

    1,185       1,287  

Icahn Enterprises

               

4.750%, 09/15/2024

    1,410       1,406  

4.375%, 02/01/2029

    435       403  

IEA Energy Services LLC

               

6.625%, 08/15/2029 (A)

     2,115       1,956  

Imola Merger

               

4.750%, 05/15/2029 (A)

     1,669       1,619  

JELD-WEN

               

6.250%, 05/15/2025 (A)

     235       242  

4.875%, 12/15/2027 (A)

     297       289  

4.625%, 12/15/2025 (A)

     560       550  

Korn Ferry

               

4.625%, 12/15/2027 (A)

     3,475       3,423  

LABL

               

10.500%, 07/15/2027 (A)

     480       492  

6.750%, 07/15/2026 (A)

     640       642  

Madison IAQ LLC

               

5.875%, 06/30/2029 (A)

     510       463  

4.125%, 06/30/2028 (A)

     290       274  

Masonite International

               

5.375%, 02/01/2028 (A)

     508       518  

MasTec

               

4.500%, 08/15/2028 (A)

     825       836  

Mileage Plus Holdings LLC

               

6.500%, 06/20/2027 (A)

     3,612       3,810  

MIWD Holdco II LLC

               

5.500%, 02/01/2030 (A)

     1,180       1,125  

Moog

               

4.250%, 12/15/2027 (A)

     2,212       2,169  

Nielsen Finance LLC

               

5.875%, 10/01/2030 (A)

     661       640  

5.625%, 10/01/2028 (A)

     1,046       1,011  

4.500%, 07/15/2029 (A)

     160       144  

Pactiv Evergreen Group Issuer

               

4.000%, 10/15/2027 (A)

     6,292       5,835  

Pactiv Evergreen Group Issuer LLC

               

4.375%, 10/15/2028 (A)

     2,105       1,944  

PGT Innovations

               

4.375%, 10/01/2029 (A)

     233       219  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

251

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Roller Bearing of America

               

4.375%, 10/15/2029 (A)

   $ 93     $ 90  

Science Applications International

               

4.875%, 04/01/2028 (A)

     4,064       3,966  

Sensata Technologies

               

5.625%, 11/01/2024 (A)

     80       84  

4.375%, 02/15/2030 (A)

     1,766       1,717  

3.750%, 02/15/2031 (A)

     2,203       2,049  

Sensata Technologies BV

               

4.000%, 04/15/2029 (A)

     1,025       984  

Signature Aviation US Holdings

               

4.000%, 03/01/2028 (A)

     1,806       1,779  

Silver Airways LLC

               

13.000%, 12/31/2027

    2,040       2,040  

Spirit AeroSystems

               

7.500%, 04/15/2025 (A)

     440       457  

5.500%, 01/15/2025 (A)

     240       247  

4.600%, 06/15/2028

    3,775       3,605  

Standard Industries

               

4.750%, 01/15/2028 (A)

     1,345       1,320  

3.375%, 01/15/2031 (A)

     208       184  

Stericycle

               

3.875%, 01/15/2029 (A)

     418       389  

Stevens Holding

               

6.125%, 10/01/2026 (A)

     370       382  

Summit Materials LLC

               

5.250%, 01/15/2029 (A)

     1,087       1,091  

Terex

               

5.000%, 05/15/2029 (A)

     300       297  

Tervita

               

11.000%, 12/01/2025 (A)

     1,437       1,638  

TK Elevator US Newco

               

5.250%, 07/15/2027 (A)

     200       198  

TransDigm

               

8.000%, 12/15/2025 (A)

     827       864  

6.250%, 03/15/2026 (A)

     5,519       5,678  

5.500%, 11/15/2027

    3,161       3,149  

4.625%, 01/15/2029

    860       812  

Trident TPI Holdings

               

9.250%, 08/01/2024 (A)

     2,099       2,151  

TriMas

               

4.125%, 04/15/2029 (A)

     437       411  

Triumph Group

               

8.875%, 06/01/2024 (A)

     500       534  

7.750%, 08/15/2025

    3,130       3,142  

6.250%, 09/15/2024 (A)

     115       114  

Trivium Packaging Finance BV

               

8.500%, 08/15/2027 (A)

     250       257  

5.500%, 08/15/2026 (A)

     976       985  

Tutor Perini

               

6.875%, 05/01/2025 (A)

     10,254       10,038  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Uber Technologies

               

7.500%, 09/15/2027 (A)

   $ 305     $ 326  

6.250%, 01/15/2028 (A)

     2,674       2,728  

4.500%, 08/15/2029 (A)

     424       406  

United Airlines

               

4.625%, 04/15/2029 (A)

     2,031       1,981  

4.375%, 04/15/2026 (A)

     4,530       4,518  

United Rentals North America

               

5.500%, 05/15/2027

    1,230       1,270  

4.875%, 01/15/2028

    775       791  

3.875%, 02/15/2031

    399       386  

Wabash National

               

4.500%, 10/15/2028 (A)

     325       308  

Welbilt

               

9.500%, 02/15/2024

    300       301  

WESCO Distribution

               

7.250%, 06/15/2028 (A)

     843       905  

7.125%, 06/15/2025 (A)

     556       582  

Western Global Airlines LLC

               

10.375%, 08/15/2025 (A)

     1,990       2,162  
                 
              215,325  
                 

Information Technology — 3.8%

        

ACI Worldwide

               

5.750%, 08/15/2026 (A)

     667       690  

Ahead DB Holdings LLC

               

6.625%, 05/01/2028 (A)

     4,158       3,908  

Alliance Data Systems

               

4.750%, 12/15/2024 (A)

     1,341       1,338  

ams-OSRAM

               

7.000%, 07/31/2025 (A)

     2,573       2,667  

Austin BidCo

               

7.125%, 12/15/2028 (A)

     2,365       2,312  

Avaya

               

6.125%, 09/15/2028 (A)

     6,310       6,073  

Black Knight InfoServ LLC

               

3.625%, 09/01/2028 (A)

     372       352  

Block

               

3.500%, 06/01/2031 (A)

     380       357  

Castle US Holding

               

9.500%, 02/15/2028 (A)

     2,110       2,163  

CDK Global

               

5.250%, 05/15/2029 (A)

     553       567  

CDW LLC

               

4.250%, 04/01/2028

    420       414  

3.250%, 02/15/2029

    270       252  

Ciena

               

4.000%, 01/31/2030 (A)

     1,600       1,576  

Clarivate Science Holdings

               

4.875%, 07/01/2029 (A)

     1,829       1,722  

3.875%, 07/01/2028 (A)

     1,195       1,129  

 

 

 

252

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

CommScope

               

7.125%, 07/01/2028 (A)

   $ 2,660     $ 2,509  

4.750%, 09/01/2029 (A)

     609       568  

CommScope Finance LLC

               

8.250%, 03/01/2027 (A)

     8,537       8,494  

6.000%, 03/01/2026 (A)

     970       993  

CommScope Technologies LLC

               

6.000%, 06/15/2025 (A)

     4,498       4,400  

5.000%, 03/15/2027 (A)

     340       303  

Condor Merger Sub

               

7.375%, 02/15/2030 (A)

     4,101       3,940  

Conduent Business Services LLC

               

6.000%, 11/01/2029 (A)

     580       552  

Consensus Cloud Solutions

               

6.500%, 10/15/2028 (A)

     985       992  

Diebold Nixdorf

               

9.375%, 07/15/2025 (A)

     1,469       1,521  

Elastic

               

4.125%, 07/15/2029 (A)

     3,619       3,320  

Entegris

               

4.375%, 04/15/2028 (A)

     1,372       1,345  

3.625%, 05/01/2029 (A)

     266       249  

Gartner

               

4.500%, 07/01/2028 (A)

     335       339  

3.750%, 10/01/2030 (A)

     83       81  

3.625%, 06/15/2029 (A)

     210       204  

Go Daddy Operating LLC

               

5.250%, 12/01/2027 (A)

     2,784       2,833  

3.500%, 03/01/2029 (A)

     2,263       2,143  

II-VI

               

5.000%, 12/15/2029 (A)

     5,991       5,985  

Minerva Merger Sub

               

6.500%, 02/15/2030 (A)

     917       883  

Monitronics International (Escrow Security)

               

9.125%, 04/01/2020 (B)(E)

     10,706       –  

NCR

               

6.125%, 09/01/2029 (A)

     735       763  

5.750%, 09/01/2027 (A)

     740       751  

5.125%, 04/15/2029 (A)

     378       374  

5.000%, 10/01/2028 (A)

     238       234  

Nuance Communications

               

5.625%, 12/15/2026

    173       178  

ON Semiconductor

               

3.875%, 09/01/2028 (A)

     853       846  

Open Text Holdings

               

4.125%, 02/15/2030 (A)

     4,029       3,858  

Paysafe Finance

               

4.000%, 06/15/2029 (A)

     4,382       3,813  

Plantronics

               

4.750%, 03/01/2029 (A)

     304       269  

Presidio Holdings

               

4.875%, 02/01/2027 (A)

     425       424  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

PTC

               

4.000%, 02/15/2028 (A)

   $ 3,416     $ 3,339  

Seagate HDD Cayman

               

5.750%, 12/01/2034

    2,672       2,790  

3.375%, 07/15/2031

    2,523       2,298  

SS&C Technologies

               

5.500%, 09/30/2027 (A)

     1,191       1,224  

Switch

               

4.125%, 06/15/2029 (A)

     159       152  

3.750%, 09/15/2028 (A)

     94       89  

Synaptics

               

4.000%, 06/15/2029 (A)

     2,780       2,680  

Veritas US

               

7.500%, 09/01/2025 (A)

     5,580       5,516  

ViaSat

               

6.500%, 07/15/2028 (A)

     4,535       4,184  

5.625%, 09/15/2025 (A)

     1,881       1,797  

5.625%, 04/15/2027 (A)

     1,250       1,249  

Xerox Holdings

               

5.500%, 08/15/2028 (A)

     442       441  

5.000%, 08/15/2025 (A)

     442       449  
                 
              104,892  
                 

Materials — 6.4%

        

Alcoa Nederland Holding BV

               

6.125%, 05/15/2028 (A)

     200       210  

5.500%, 12/15/2027 (A)

     200       208  

Allegheny Technologies

               

5.875%, 12/01/2027

    1,766       1,802  

5.125%, 10/01/2031

    137       133  

4.875%, 10/01/2029

    182       176  

Arconic

               

6.125%, 02/15/2028 (A)

     1,617       1,653  

6.000%, 05/15/2025 (A)

     395       407  

Ashland LLC

               

6.875%, 05/15/2043

    1,384       1,675  

ASP Unifrax Holdings

               

7.500%, 09/30/2029 (A)

     2,507       2,288  

5.250%, 09/30/2028 (A)

     3,778       3,617  

Axalta Coating Systems LLC

               

4.750%, 06/15/2027 (A)

     699       701  

3.375%, 02/15/2029 (A)

     358       327  

Baffinland Iron Mines

               

8.750%, 07/15/2026 (A)

     3,845       3,946  

Ball

               

3.125%, 09/15/2031

    2,288       2,101  

Big River Steel LLC

               

6.625%, 01/31/2029 (A)

     367       384  

Carpenter Technology

               

6.375%, 07/15/2028

    281       283  

Chemours

               

5.750%, 11/15/2028 (A)

     2,590       2,546  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

253

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.625%, 11/15/2029 (A)

   $ 3,900     $ 3,612  

Cleveland-Cliffs

               

4.875%, 03/01/2031 (A)

     250       244  

4.625%, 03/01/2029 (A)

     400       386  

Constellium

               

5.875%, 02/15/2026 (A)

     1,693       1,714  

5.625%, 06/15/2028 (A)

     775       780  

3.750%, 04/15/2029 (A)

     1,207       1,110  

Cornerstone Chemical

               

6.750%, 08/15/2024 (A)

     12,005       10,925  

Crown Americas LLC

               

4.750%, 02/01/2026

    1,324       1,347  

4.250%, 09/30/2026

    2,602       2,666  

CVR Partners

               

6.125%, 06/15/2028 (A)

     4,395       4,422  

Domtar

               

6.750%, 10/01/2028 (A)

     3,090       3,087  

Eldorado

               

6.250%, 09/01/2029 (A)

     1,366       1,380  

Element Solutions

               

3.875%, 09/01/2028 (A)

     593       562  

ERO Copper

               

6.500%, 02/15/2030 (A)

     4,735       4,576  

First Quantum Minerals

               

7.500%, 04/01/2025 (A)

     1,995       2,039  

6.875%, 03/01/2026 (A)

     430       442  

6.500%, 03/01/2024 (A)

     2,962       3,000  

Forterra Finance LLC

               

6.500%, 07/15/2025 (A)

     285       295  

Freeport-McMoRan

               

5.450%, 03/15/2043

    4,756       5,470  

5.400%, 11/14/2034

    1,443       1,622  

4.625%, 08/01/2030

    1,704       1,759  

4.375%, 08/01/2028

    1,090       1,104  

4.125%, 03/01/2028

    507       513  

GCP Applied Technologies

               

5.500%, 04/15/2026 (A)

     920       937  

Glatfelter

               

4.750%, 11/15/2029 (A)

     267       253  

Greif

               

6.500%, 03/01/2027 (A)

     580       599  

Hecla Mining

               

7.250%, 02/15/2028

    1,160       1,217  

Hexion

               

7.875%, 07/15/2027 (A)

     485       511  

IAMGOLD

               

5.750%, 10/15/2028 (A)

     2,440       2,227  

Infrabuild Australia Pty

               

12.000%, 10/01/2024 (A)

     1,373       1,404  

Innophos Holdings

               

9.375%, 02/15/2028 (A)

     2,800       2,979  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

LSB Industries

               

6.250%, 10/15/2028 (A)

   $ 2,485     $ 2,497  

Methanex

               

5.125%, 10/15/2027

    1,375       1,396  

Mineral Resources

               

8.125%, 05/01/2027 (A)

     3,845       4,063  

Mountain Province Diamonds

               

8.000%, 12/15/2022 (A)

     4,565       4,554  

New Gold

               

7.500%, 07/15/2027 (A)

     290       302  

6.375%, 05/15/2025 (A)

     579       586  

NMG Holding

               

7.125%, 04/01/2026 (A)

     10,281       10,589  

Northwest Acquisitions ULC

               

7.125%, 11/01/2022 (A)(B)(E)

     3,290       –  

NOVA Chemicals

               

5.250%, 06/01/2027 (A)

     1,105       1,108  

5.000%, 05/01/2025 (A)

     1,451       1,466  

4.875%, 06/01/2024 (A)

     535       542  

4.250%, 05/15/2029 (A)

     385       361  

Novelis

               

4.750%, 01/30/2030 (A)

     470       460  

3.875%, 08/15/2031 (A)

     144       133  

3.250%, 11/15/2026 (A)

     288       273  

OI European Group BV

               

4.750%, 02/15/2030 (A)

     2,951       2,826  

Owens-Brockway Glass Container

               

6.625%, 05/13/2027 (A)

     594       616  

6.375%, 08/15/2025 (A)

     815       856  

5.875%, 08/15/2023 (A)

     1,135       1,155  

PMHC II

               

9.000%, 02/15/2030 (A)

     1,183       1,151  

Polar US Borrower LLC

               

6.750%, 05/15/2026 (A)

     6,205       5,647  

Rain CII Carbon LLC

               

7.250%, 04/01/2025 (A)

     6,065       6,071  

Reichhold Industries

               

9.000%cash/0% PIK, 05/01/2018 (A)(B)(E)

     1,056       –  

SCIH Salt Holdings

               

6.625%, 05/01/2029 (A)

     11,942       11,225  

4.875%, 05/01/2028 (A)

     3,336       3,161  

Scotts Miracle-Gro

               

5.250%, 12/15/2026

    121       124  

4.500%, 10/15/2029

    134       129  

4.375%, 02/01/2032

    366       338  

4.000%, 04/01/2031

    391       359  

SunCoke Energy

               

4.875%, 06/30/2029 (A)

     –       –  

Tacora Resources

               

8.250%, 05/15/2026 (A)

     2,275       2,238  

 

 

 

254

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Taseko Mines

               

7.000%, 02/15/2026 (A)

   $ 2,943     $ 2,943  

Trinseo Materials Operating SCA

               

5.375%, 09/01/2025 (A)

     975       983  

5.125%, 04/01/2029 (A)

     284       269  

Tronox

               

4.625%, 03/15/2029 (A)

     3,626       3,425  

U.S. Steel

               

6.875%, 03/01/2029

    1,617       1,661  

Venator Finance Sarl

               

9.500%, 07/01/2025 (A)

     1,716       1,845  

5.750%, 07/15/2025 (A)

     8,028       7,225  

WR Grace Holdings LLC

               

5.625%, 08/15/2029 (A)

     177       169  

4.875%, 06/15/2027 (A)

     390       390  
                 
              168,775  
                 

Real Estate — 1.3%

        

Diversified Healthcare Trust

               

9.750%, 06/15/2025

    3,190       3,369  

4.375%, 03/01/2031

    1,760       1,511  

Iron Mountain

               

5.250%, 03/15/2028 (A)

     281       281  

5.250%, 07/15/2030 (A)

     1,065       1,057  

5.000%, 07/15/2028 (A)

     400       396  

4.875%, 09/15/2027 (A)

     2,933       2,937  

4.875%, 09/15/2029 (A)

     4,318       4,178  

4.500%, 02/15/2031 (A)

     424       396  

Kennedy-Wilson

               

5.000%, 03/01/2031

    170       165  

4.750%, 03/01/2029

    172       168  

Lamar Media

               

4.000%, 02/15/2030

    877       844  

Outfront Media Capital LLC

               

5.000%, 08/15/2027 (A)

     766       759  

4.250%, 01/15/2029 (A)

     3,800       3,625  

Realogy Group LLC

               

5.250%, 04/15/2030 (A)

     1,750       1,668  

RHP Hotel Properties

               

4.750%, 10/15/2027

    1,277       1,248  

4.500%, 02/15/2029 (A)

     362       342  

SBA Communications

               

3.125%, 02/01/2029

    2,279       2,117  

Service Properties Trust

               

4.950%, 02/15/2027

    3,858       3,588  

3.950%, 01/15/2028

    2,754       2,389  

VICI Properties

               

4.625%, 12/01/2029 (A)

     855       872  

4.250%, 12/01/2026 (A)

     687       694  

4.125%, 08/15/2030 (A)

     1,251       1,242  

3.750%, 02/15/2027 (A)

     885       878  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.500%, 02/15/2025 (A)

   $ 39     $ 39  
                 
              34,763  
                 

Telecommunication Services — 0.2%

        

Intelsat Jackson Holdings

               

6.500%, 03/15/2030 (A)

     3,167       3,222  

VZ Secured Financing BV

               

5.000%, 01/15/2032 (A)

     2,095       1,985  
                 
              5,207  
                 

Utilities — 1.9%

        

AmeriGas Partners

               

5.875%, 08/20/2026

    235       240  

5.500%, 05/20/2025

    500       509  

Calpine

               

5.000%, 02/01/2031 (A)

     275       255  

4.625%, 02/01/2029 (A)

     655       607  

4.500%, 02/15/2028 (A)

     4,738       4,624  

3.750%, 03/01/2031 (A)

     3,522       3,205  

FirstEnergy

               

4.400%, 07/15/2027

    2,742       2,840  

NextEra Energy Operating Partners

               

4.250%, 07/15/2024 (A)

     2,746       2,800  

NRG Energy

               

6.625%, 01/15/2027

    1,306       1,350  

5.250%, 06/15/2029 (A)

     610       622  

3.875%, 02/15/2032 (A)

     1,758       1,630  

3.625%, 02/15/2031 (A)

     5,080       4,671  

3.375%, 02/15/2029 (A)

     250       232  

Pattern Energy Operations

               

4.500%, 08/15/2028 (A)

     2,060       2,011  

PG&E

               

5.250%, 07/01/2030

    3,204       3,183  

5.000%, 07/01/2028

    412       408  

Pike

               

5.500%, 09/01/2028 (A)

     4,320       4,158  

Rockpoint Gas Storage Canada

               

7.000%, 03/31/2023 (A)

     3,642       3,637  

Talen Energy Supply LLC

               

10.500%, 01/15/2026 (A)

     1,615       727  

7.625%, 06/01/2028 (A)

     5       4  

7.250%, 05/15/2027 (A)

     520       463  

6.625%, 01/15/2028 (A)

     2,030       1,761  

Vistra

               

7.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.740%(A)(C)(D)

     3,860       3,831  

Vistra Operations LLC

               

5.625%, 02/15/2027 (A)

     635       650  

5.000%, 07/31/2027 (A)

     4,395       4,428  

4.375%, 05/01/2029 (A)

     2,520       2,442  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

255

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.300%, 07/15/2029 (A)

   $ 1,401     $ 1,419  
                 
              52,707  
                 

Total Corporate Obligations

                

(Cost $2,132,854) ($ Thousands)

             2,056,667  
                 
                 
                 

LOAN PARTICIPATIONS — 10.2%

1236904 B.C. LTD., Initial Term Loan, 1st Lien

                

5.709%, LIBOR + 5.500%, 03/04/2027 (C)

     4,047       3,981  

19th Holdings, Term Loan B, 1st Lien

                

3.750%, 02/07/2029

    2,645       2,612  

AAdvantage Loyality IP Ltd. (American Airlines, Inc.), Initial Term Loan, 1st Lien

                

5.000%, LIBOR + 4.250%, 05/08/2028

    5,672       5,767  

ACProducts Holdings, Inc., Initial Term Loan, 1st Lien

                

4.750%, LIBOR + 4.250%, 05/17/2028

    597       566  

Adient US LLC, Term B-1 Loan, 1st Lien

                

3.459%, 04/10/2028

    517       515  

AgroFresh, 1st Lien

                

7.250%, 12/31/2024 (C)

     2,553       2,551  

Alchemy US Holdco 1, LLC, Initial Term Loan, 1st Lien

                

5.709%, LIBOR + 5.500%, 10/10/2025

    427       424  

5.604%, 10/10/2025

    427       424  

Alchemy US Holdco 1, LLC, Term Loan, 1st Lien

                

5.604%, 10/10/2025

    842       837  

Alvogen Pharma US, Inc., January 2020 Loan, 1st Lien

                

6.250%, LIBOR + 5.250%, 12/31/2023

    3,304       3,080  

AMC Entertainment Holdings, Inc. (fka AMC Entertainment Inc.), Term B-1 Loan, 1st Lien

                

3.125%, LIBOR + 3.000%, 04/22/2026 (G)

     1,375       1,244  

American Trailer World Corp., Initial Term Loan, 1st Lien

                

4.040%, LIBOR + 3.750%, 03/03/2028

    695       682  

ANI Technologies, Term Loan, 1st Lien

                

7.000%, 12/15/2026

    3,966       3,946  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

AP Core Holdings II, LLC, Term B-1 Loan, 1st Lien

                

6.250%, LIBOR + 5.500%, 09/01/2027 (G)

   $ 1,880     $ 1,871  

AP Core Holdings II, LLC, Term B-2 Loan, 1st Lien

                

6.250%, LIBOR + 5.500%, 09/01/2027 (G)

     1,897       1,890  

Apollo Commercial Real Estate Finance, Inc., Term B-1 Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 03/11/2028 (E)

     1,391       1,378  

Arctic Canadian Diamond Company, 1st Lien

                

6.000%, 12/31/2024 (E)

     173       172  

Arctic Canadian Diamond Company, 2nd Lien

                

17.500%, 12/31/2027 (E)

     1,691       1,691  

Aruba Investments Holdings LLC, Initial Term Loan, 2nd Lien

                

4.442%, CME Term SOFR + 4.250%, 11/16/2027 (C)

     1,853       1,844  

ASP Unifrax Holdings, Inc., USD Term Loan, 1st Lien

                

3.974%, LIBOR + 3.750%, 12/12/2025 (G)

     1,097       1,080  

Autokiniton US Holdings Inc., Closing Date Term B Loan, 1st Lien

                

5.500%, LIBOR + 4.750%, 05/29/2028 (C)

     1,967       1,952  

Bausch Health Companies Inc., Initial Term Loan, 1st Lien

                

3.090%, LIBOR + 3.000%, 06/02/2025

    645       638  

Blackhawk Network, Temr Loan, 2nd Lien

                

7.125%, 06/15/2026

    2,412       2,388  

BoardRiders Inc., Tranche A Loan, 1st Lien

                

9.000%, 10/23/2023

    610       598  

BoardRiders Inc., Tranche B-2 Loan, 1st Lien

                

9.000%, 04/23/2024

    2,923       2,865  

Bright Bidco B.V., 2018 Refinancing Term B Loan

                

4.500%, 06/30/2024

    1,924       1,446  

Byju's, Term Loan, 1st Lien

                

6.250%, 11/24/2026 (G)

     6,636       6,600  

Carecentrix, Term Loan, 1st Lien

                

4.724%, 04/03/2025 (C)

     1,353       1,340  

Carestream Health, Extended Loan, 2nd Lien

                

13.500%, 08/08/2023 (C)

     4,473       4,026  

Carestream, Extended Loan, 1st Lien

                

7.750%, 05/08/2023 (C)

     1,989       1,989  

 

 

 

256

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

CBAC Borrower LLC, Term B Loan, 1st Lien

                

4.209%, 07/08/2024 (C)

   $ 2,603     $ 2,556  

CCI Buyer, Inc., Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 3.750%, 12/17/2027

    294       291  

Cenveo Corporation, Exit Term Loan, 1st Lien

                

8.500%, 06/23/2026

    3,911       3,838  

Cincinnati Bell, Term Loan B-2, 1st Lien

                

3.750%, 11/22/2028

    180       178  

Claire's Stores, Inc., Initial Term Loan, 1st Lien

                

6.605%, LIBOR + 6.500%, 12/18/2026

    2,011       1,987  

Clarios Global, Term Loan, 1st Lien

                

3.459%, 04/30/2026

    972       961  

ConvergeOne Holdings, Corp., Initial Term Loan, 2nd Lien

                

5.209%, LIBOR + 5.000%, 01/04/2026

    4,771       4,548  

Culligan, Delayed Term Loan, 1st Lien

                

0.000%, 07/31/2028 (G)

     221       219  

Culligan, Term Loan B, 1st Lien

                

0.000%, 07/31/2028 (G)

     974       966  

Delta Topco, Inc., Initial Term Loan, 2nd Lien

                

4.750%, LIBOR + 3.750%, 10/20/2027

    1,940       1,929  

DexKo Global Inc., Closing Date Dollar Term Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 10/04/2028

    585       577  

DIRECTV Financing, LLC, Closing Date Term Loan, 1st Lien

                

5.750%, LIBOR + 5.000%, 08/02/2027

    802       799  

DMT Solutions Global Corporation, Initial Term Loan, 1st Lien

                

8.500%, 07/02/2024 (E)

     1,036       1,021  

DMT Solutions Global Corporation, Term Loan, 1st Lien

                

8.500%, 07/02/2024

    1,017       1,002  

East Valley Tourist Development Authority , Term Loan, 1st Lien

                

8.500%, LIBOR + 8.000%, 11/23/2026 (E)

     4,746       4,734  

Emerald Expositions Holding, Inc., Initial Term Loan, 1st Lien

                

2.709%, 05/22/2024

    1,691       1,631  

Endo Luxembourg, Term Loan, 1st Lien

                

5.750%, 03/27/2028 (C)

     1,391       1,342  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Enterprise Development Authority, Term B Loan, 1st Lien

                

4.000%, LIBOR + 3.250%, 03/12/2028 (C)(E)

   $ 4,834     $ 4,813  

Envision Healthcare Corporation, Initial Term Loan, 1st Lien

                

3.724%, LIBOR + 3.500%, 04/06/2026 (G)

     13,353       9,682  

Epic Crude Services, LP, Term Loan, 1st Lien

                

5.508%, LIBOR + 5.000%, 03/02/2026

    1,653       1,362  

Epic Y-Grade Services, 1st Lien

                

7.000%, 06/30/2027 (G)

     10,094       8,490  

eResearchTechnology, Inc., Initial Term Loan, 1st Lien

                

5.750%, LIBOR + 5.000%, 09/25/2026

    4,007       3,998  

First Student Bidco Inc., Initial Term B Loan, 1st Lien

                

4.500%, LIBOR + 4.000%, 12/11/2028 (G)

     427       421  

First Student Bidco Inc., Initial Term C Loan, 1st Lien

                

4.500%, LIBOR + 4.000%, 12/14/2028 (G)

     158       155  

Foresight Energy Operating LLC, Tranche A Term Loan, 1st Lien

                

9.500%, LIBOR + 8.000%, 06/30/2027 (E)

     418       416  

Geon Performance Solutions, LLC, Initial Term Loan, 1st Lien

                

5.500%, LIBOR + 4.750%, 08/18/2028

    798       794  

Global Medical Response, Inc., 2018 New Term Loan, 1st Lien

                

5.250%, LIBOR + 4.250%, 03/14/2025 (G)

     789       784  

Grab Holdings, Inc., Initial Term Loan, 1st Lien

                

5.500%, LIBOR + 4.500%, 01/29/2026

    7,585       7,523  

Graham Packaging Company Inc., Initial Term Loan (2021), 1st Lien

                

3.750%, LIBOR + 3.000%, 08/04/2027

    539       533  

Greeneden U.S. Holdings I, LLC, Initial Dollar Term Loan (2020), 1st Lien

                

5.500%, LIBOR + 4.500%, 10/27/2027

    343       342  

4.750%, LIBOR + 4.000%, 10/29/2027

    161       160  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

257

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Gulf Finance, LLC, Term Loan, 1st Lien

                

7.750%, 08/25/2026 (G)

   $ 3,797     $ 3,504  

Hercules Achievement, Inc. (Varsity Brands Holding Co., Inc.), Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 3.500%, 12/16/2024

    477       462  

Hoffmaster Group Inc, Tranche B-1 Term Loan, 1st Lien

                

5.000%, 11/21/2023 (C)

     924       858  

Husky Injection Molding Systems Ltd., Initial Term Loan, 1st Lien

                

3.354%, LIBOR + 3.000%, 03/28/2025

    1,930       1,890  

iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.), New Term Loan, 1st Lien

                

3.209%, LIBOR + 3.000%, 05/01/2026

    643       635  

Ivanti Software, Inc., 2021 Specified Refinancing Term Loan, 1st Lien

                

5.000%, 12/01/2027

    2,682       2,641  

Ivanti Software, Inc., First Amendment Term Loan, 1st Lien

                

4.750%, LIBOR + 4.000%, 12/01/2027

    529       519  

JC Penney, 1st Lien

                

5.250%, LIBOR + 4.250%, 06/23/2023 (B)(E)

     3,751       —  

Journey Personal Care, 1st Lien

                

5.000%, 03/01/2028 (C)

     3,751       3,564  

Jump Financial, LLC, Term Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 08/07/2028

    4,230       4,146  

Knight Energy Services

                

8.500%, 02/09/2024 (C)(E)

     84       —  

KNS Acquisition Corp., Initial Term Loan, 1st Lien

                

7.000%, LIBOR + 6.250%, 04/21/2027

    3,856       3,747  

LABL, Inc., Initial Dollar Term Loan, 1st Lien

                

5.500%, LIBOR + 5.000%, 10/29/2028 (G)

     493       489  

Lifescan Global Corporation, Initial Term Loan, 2nd Lien

                

6.214%, 10/01/2024 (C)

     9,729       9,549  

Lightstone Holdco LLC, Refinancing Term B Loan

                

4.750%, 01/30/2024

    2,151       1,788  

Lightstone Holdco LLC, Refinancing Term C Loan

                

4.750%, 01/30/2024

    121       100  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Madison IAQ LLC, Initial Term Loan, 1st Lien

                

3.750%, LIBOR + 3.250%, 08/18/2028

  $ 442     $ 434  

Magnite, Inc., Initial Term Loan, 1st Lien

                

5.810%, LIBOR + 5.000%, 04/28/2028 (C)

     1,150       1,145  

Mashantucket (Western) Pequot Tribe, Term B Loan, 1st Lien

                

8.375%, Euribor + 3.250%, 02/16/2025

    7,316       7,139  

Mauser Packaging Solutions Holding Company, Initial Term Loan, 1st Lien

                

3.356%, LIBOR + 3.250%, 04/03/2024

    2,034       1,997  

Mavenir Systems, Inc., Initial Term Loan, 1st Lien

                

5.250%, LIBOR + 4.750%, 08/18/2028

    1,885       1,863  

McAfee Corp., Tranche B-1 Term Loan, 1st Lien

                

4.195%, CME Term SOFR + 4.000%, 03/01/2029

    1,052       1,036  

MED ParentCo, LP, Initial Term Loan, 1st Lien

                

5.500%, Prime Rate + 2.250%, 08/24/2026

    1,113       1,104  

Medline Borrower, LP, Initial Dollar Term Loan, 1st Lien

                

3.750%, LIBOR + 3.250%, 10/23/2028 (E)(G)

     1,079       1,068  

MLN US HoldCo LLC, Term B Loan, 1st Lien

                

4.608%, LIBOR + 4.500%, 11/30/2025

    1,161       1,123  

Monitronics International Inc., Term Loan, 1st Lien

                

7.750%, 03/29/2024

    383       317  

Mountaineer Merger Corp, Term Loan, 1st Lien

                

7.750%, 10/26/2028

    2,545       2,469  

MultiPlan, Term Loan, 1st Lien

                

4.758%, 09/01/2028

    1,378       1,337  

Naked Juice/Tropicana, Term Loan, 2nd Lien

                

6.500%, 01/24/2030

    2,015       2,021  

Nexus Buyer LLC, Initial Term Loan, 2nd Lien

                

6.750%, LIBOR + 6.250%, 11/05/2029

    1,140       1,128  

Nine West Holdings Inc., Term Loan

                

8.224%, 03/20/2024 (C)

     677       555  

8.214%, 03/20/2024 (G)

     1,211       992  

 

 

 

258

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Nouryon Finance B.V., Initial Dollar Term Loan, 1st Lien

                

3.209%, LIBOR + 3.000%, 10/01/2025

  $ 732     $ 723  

Olympus Water US Holding Corporation, Initial Dollar Term Loan, 1st Lien

                

4.250%, LIBOR + 3.750%, 11/09/2028

    273       269  

Optiv Inc., Initial Term Loan, 1st Lien

                

4.250%, LIBOR + 3.250%, 02/01/2024

    459       453  

Osmosis Buyer Limited, Initial Term B Loan, 1st Lien

                

5.750%, LIBOR + 5.000%, 08/30/2028

    3,016       2,997  

5.000%, LIBOR + 4.000%, 08/31/2028

    151       150  

Osmosis Buyer Limited, Term Loan, 1st Lien

                

0.000%, 09/15/2028 (G)

     396       393  

Pactiv Evergreen Inc., Tranche B-3 U.S. Term Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 09/24/2028

    195       192  

Padagis LLC, Term B Loan, 1st Lien

                

5.250%, LIBOR + 4.750%, 07/06/2028

    1,279       1,269  

Park River Holdings, Inc., Initial Term Loan, 1st Lien

                

4.000%, LIBOR + 3.250%, 12/28/2027 (C)

     230       226  

Petco Health and Wellness Company, Inc., Initial Term Loan, 1st Lien

                

4.000%, LIBOR + 3.250%, 03/03/2028

    640       635  

Phoenix Newco, Inc., Initial Term Loan, 1st Lien

                

6.459%, LIBOR + 6.250%, 11/15/2028

    442       438  

Plantronics, Inc., Initial Term B Loan, 1st Lien

                

2.709%, LIBOR + 2.500%, 07/02/2025 (C)

     362       351  

Polymer Additives, Inc., 1st Lien

                

6.299%, 07/31/2025 (C)

     7,781       7,598  

Prince International/Chromaflo/Ferro2, Term Loan B, 1st Lien

                

4.301%, CME Term SOFR + 4.250%, 12/22/2028

    2,515       2,475  

Quest Software US Holdings Inc., Term Loan, 2nd Lien

                

8.150%, 02/01/2030

    1,165       1,139  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

Revlon Consumer Products Corporation, 2016 Term Loan, 1st Lien

                

4.250%, LIBOR + 3.500%, 09/07/2023 (B)(E)(G)

   $ 7,980     $ 4,420  

S&S Holdings LLC, Initial Term Loan, 1st Lien

                

5.500%, LIBOR + 5.000%, 03/11/2028 (C)

     1,642       1,625  

Sabre GLBL Inc., 2021 Other Term B-1 Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 12/17/2027

    125       123  

Sabre GLBL Inc., 2021 Other Term B-2 Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 12/17/2027

    199       196  

Serta Simmons Bedding, LLC, Initial Exchange Term Loan (Super-Priority)

                

8.500%, 08/10/2023 (C)

     132       126  

Serta Simmons Bedding, LLC, Initial Exchange Term Loan (Super-Priority), 1st Lien

                

8.500%, LIBOR + 7.500%, 08/10/2023 (C)

     551       529  

Shutterfly, LLC, 2021 Refinancing Term B Loan, 1st Lien

                

5.000%, LIBOR + 4.500%, 12/08/2028

    327       310  

SIJ LLC, 1st Lien

                

10.000%, 07/15/2026 (C)(E)

     1,705       1,671  

Skillsoft Finance II, Inc., Initial Term Loan, 1st Lien

                

5.500%, LIBOR + 4.750%, 07/14/2028

    328       328  

SP PF Buyer LLC, Closing Date Term Loan, 1st Lien

                

4.709%, LIBOR + 4.500%, 12/22/2025

    2,752       2,634  

Spirit Aerosystems, Term Loan, 1st Lien

                

4.250%, 01/15/2025

    221       220  

SPX Flow

                

0.000%, 01/13/2023 (G)

     3,891       3,891  

Staples, Inc., 2019 Refinancing New Term B-1 Loan, 1st Lien

                

5.317%, LIBOR + 5.000%, 04/16/2026

    6,318       5,984  

Summer (BC) Bidco B LLC, Additional Facility B2 (USD), 1st Lien

                

3.750%, LIBOR + 3.250%, 11/01/2028

    158       157  

Sunshine Luxembourg VII S.a r.l., Facility B3, 1st Lien

                

4.500%, LIBOR + 3.750%, 10/01/2026

    1,524       1,515  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

259

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

SWF Holdings I Corp., Initial Term Loan, 1st Lien

                

4.750%, LIBOR + 4.000%, 10/06/2028

  $ 2,610     $ 2,532  

Syniverse Holdings, Inc., Initial Term Loan, 2nd Lien

                

10.000%, LIBOR + 9.000%, 03/11/2024

    1,998       1,915  

Syniverse Holdings, Inc., Tranche C Term Loan , 1st Lien

                

6.000%, LIBOR + 5.000%, 03/09/2023

    12,080       11,844  

Team Health Holdings, Inc., Initial Term Loan, 1st Lien

                

3.750%, LIBOR + 2.750%, 02/06/2024

    8,049       7,666  

Thryv, Inc., Term Loan

                

9.500%, 03/01/2026 (C)

     608       611  

Thryv, Inc., Term Loan, 1st Lien

                

9.500%, 03/01/2026 (C)

     1,162       1,167  

TK Elevator Midco GmbH, Facility B1 (USD), 1st Lien

                

8.000%, LIBOR + 7.250%, 12/01/2028

    94       93  

4.040%, CME Term SOFR + 3.750%, 11/22/2028

    332       330  

Tortoise Borrower LLC, Initial Term Loan, 1st Lien

                

4.500%, LIBOR + 3.500%, 01/31/2025 (C)

     1,839       1,223  

Travelport Finance (Luxembourg) S.a r.l., Initial Term Loan (Priority), 1st Lien

                

2.500%, LIBOR + 1.500%, 02/28/2025 (G)

     819       840  

Travelport Finance (Luxembourg) S.a r.l., Initial Term Loan, 1st Lien

                

5.132%, LIBOR + 5.000%, 05/29/2026 (G)

     1,747       1,424  

Traverse Midstream Partners LLC, Advance, 1st Lien

                

4.280%, SOFR + 4.250%, 09/27/2024

    887       883  

Triton Water Holdings, Inc., Initial Term Loan, 1st Lien

                

5.250%, LIBOR + 4.500%, 05/07/2028

    34       33  

3.750%, LIBOR + 3.000%, 04/23/2028

    347       338  

Tutor Perini Corporation, Term Loan, 1st Lien

                

4.000%, LIBOR + 3.500%, 07/30/2027 (C)

     3,679       3,670  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

LOAN PARTICIPATIONS (continued)

U.S. Renal Care, Inc., Initial Term Loan, 1st Lien

                

5.209%, LIBOR + 5.000%, 06/26/2026

  $ 729     $ 699  

Valeant, Term Loan B, 1st Lien

                

0.000%, 01/27/2027 (G)

     3,705       3,662  

VeriFone Systems, Inc., Initial Term Loan, 1st Lien

                

4.498%, LIBOR + 4.000%, 08/20/2025

    2,694       2,640  

White Cap Buyer, LLC, Initial Closing Date Term Loan, 1st Lien

                

3.800%, 10/19/2027

    788       780  

Wilsonart LLC, Tranche E Term Loan, 1st Lien

                

4.500%, LIBOR + 3.500%, 12/31/2026

    —       —  

Wok Holdings Inc., Initial Term Loan, 1st Lien

                

6.355%, LIBOR + 6.250%, 03/01/2026 (C)

     1,133       1,116  

Woodford Express LLC, Initial Term Loan, 1st Lien

                

4.250%, LIBOR + 3.500%, 02/14/2025

    3,816       3,766  
                 
                 

Total Loan Participations

                

(Cost $281,306) ($ Thousands)

             278,338  
                 
                 
                 

ASSET-BACKED SECURITIES — 8.5%

Other Asset-Backed Securities — 8.5%

        
         

Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9

                

0.735%, ICE LIBOR USD 1 Month + 0.550%, 03/15/2019 (A)(B)(C)(E)(H)

     835       29  

Ares XXXIV CLO, Ser 2020-2A, Cl FR

                

8.841%, ICE LIBOR USD 3 Month + 8.600%, 04/17/2033 (A)(C)(E)

     2,304       2,004  

B&M CLO, Ser 2014-1A, Cl E

                

5.991%, ICE LIBOR USD 3 Month + 5.750%, 04/16/2026 (A)(C)(E)

     2,626       1,904  

Battalion CLO VII, Ser 2014-7A, Cl SUB

                

0.000%, 07/17/2028 (A)(C)(E)(I)

     4,614       277  

Battalion CLO VIII, Ser 2015-8A, Cl SUB

                

0.000%, 07/18/2030 (A)(C)(E)(F)(I)

     4,378       2,714  

Battalion CLO X, Ser 2016-10A, Cl SUB

                

0.000%, 01/25/2035 (A)(C)(E)(I)

     6,380       5,503  

Battalion CLO XI, Ser 2017-11A, Cl SUB

                

0.000%, 04/24/2034 (A)(C)(E)(I)

     10,431       8,136  

 

 

 

260

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Battalion CLO XII, Ser 2018-12A, Cl SUB

                

0.000%, 05/17/2031 (A)(C)(E)(I)

   $ 8,633     $ 5,827  

Battalion CLO XIV, Ser 2019-14A

                

0.000%, 04/20/2032 (E)(I)

     6,147       5,286  

Battalion CLO XVI, Ser 2019-16A, Cl SUB

                

0.000%, 12/19/2032 (A)(C)(E)(I)

     3,572       2,965  

Battalion CLO XX, Ser 2021-20A, Cl SUB

                

0.000%, 07/15/2034 (E)(I)

     8,543       7,539  

Benefit Street Partners CLO III, Ser 2013-IIIA, Cl SUB

                

0.000%, 07/20/2029 (A)(C)(E)(F)(I)

     2,640       673  

Benefit Street Partners CLO IV

                

0.000%, 07/20/2026 *(A)(E)(J)(L)

     7       3,129  

Benefit Street Partners CLO IX

                

0.000%, 07/20/2025 (A)(E)(J)(L)

     3,363       1,858  

Benefit Street Partners CLO V

                

0.000%, 10/20/2026 (A)(E)(J)(L)

     6,413       –  

Benefit Street Partners CLO V, Ser 2018-5BA

                

0.000%, 04/20/2031 (E)(I)

     10,301       5,099  

Benefit Street Partners CLO VI, Ser 2015-VIA, Cl SUB

                

0.000%, 10/18/2029 (A)(C)(E)(I)

     9,535       4,195  

Benefit Street Partners CLO VII, Ser 2015-VIII, Cl SUB

                

0.000%, 07/18/2027 (C)(E)(I)

     9,035       133  

Benefit Street Partners CLO VIII

                

0.000%, 01/20/2031 (A)(E)(F)(I)

     9,000       4,680  

Benefit Street Partners CLO X, Ser 2016-10A, Cl SUB

                

0.000%, 04/20/2034 (A)(C)(E)(I)

     10,939       6,016  

Benefit Street Partners CLO XII, Ser 2017-12A, Cl SUB

                

0.000%, 10/15/2030 (A)(C)(E)(I)

     10,091       4,945  

Benefit Street Partners CLO XIV, Ser 2018-14A, Cl SUB

                

0.000%, 04/20/2031 (A)(C)(E)(I)

     6,857       4,320  

Benefit Street Partners CLO XVIII, Ser 2019-18A, Cl SUB

                

0.000%, 10/15/2034 (A)(C)(E)(I)

     6,048       4,655  

Benefit Street Partners CLO XX, Ser 2020-20A, Cl SUB

                

0.000%, 07/15/2034 (A)(C)(E)(I)

     3,469       3,305  

Benefit Street Partners CLO XXIII, Ser 2021-23A, Cl SUB

                

0.000%, 04/25/2034 (E)(I)

     7,870       6,302  

Cathedral Lake CLO III, Ser 2015-3A, Cl SUB

                

0.000%, 01/15/2026 (A)(C)(E)(I)

     3,653       1,498  

Cathedral Lake V, Ser 2018-5A, Cl SUB

                

0.000%, 10/21/2030 (A)(C)(E)(I)

     5,673       2,383  

CVP Cascade CLO, Ser 2014-2A, Cl E

                

6.041%, ICE LIBOR USD 3 Month + 5.800%, 07/18/2026 (A)(B)(C)(E)

     2,635       295  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

First Eagle Berkeley Fund CLO LLC, Ser 2016-1A, Cl SUB(F)

                

0.000%, 10/25/2028 (A)(C)(E)(I)

   $ 21,812     $ 9,597  

Great Lakes CLO, Ser 2015-1A, Cl SUB

                

0.000%, 01/16/2030 (A)(C)(E)(I)

     6,015       3,699  

Great Lakes CLO, Ser 2017-1A, Cl ER

                

7.741%, ICE LIBOR USD 3 Month + 7.500%, 10/15/2029 (A)(C)(E)

     3,376       3,305  

Great Lakes CLO, Ser 2018-1A, Cl ER

                

7.601%, ICE LIBOR USD 3 Month + 7.360%, 01/16/2030 (A)(C)(E)

     4,328       4,166  

Great Lakes CLO, Ser 2018-1A, Cl FR

                

10.241%, ICE LIBOR USD 3 Month + 10.000%, 01/16/2030 (A)(B)(C)(E)

     1,595       1,459  

IVY Hill Middle Market Credit Fund XII, Ser 2017-12A, Cl SUB

                

0.000%, 07/20/2029 (A)(C)(E)(I)

     1,149       1,089  

IVY Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl D

                

7.311%, ICE LIBOR USD 3 Month + 7.070%, 04/18/2030 (A)(C)(E)

     2,886       2,665  

IVY Hill Middle Market Credit Fund XIV, Ser 2018-14A, Cl SUB

                

0.000%, 04/18/2030 (A)(C)(E)(I)

     2,164       1,206  

LCM Ltd

                

0.000%, 01/20/2032 (E)(I)

     1,998       1,575  

Lockwood Grove CLO, Ser 2014-1A, Cl SUB

                

0.000%, 01/25/2030 (A)(C)(E)(I)

     4,865       3,114  

Lockwood Grove CLO, Ser 2018-1A, Cl ERR

                

6.108%, ICE LIBOR USD 3 Month + 5.850%, 01/25/2030 (A)(C)(E)

     3,201       3,105  

Neuberger Berman CLO XXII, Ser 2016-22A, Cl SUB

                

0.000%, 10/17/2030 (A)(C)(E)(I)

     5,235       2,722  

Neuberger Berman Loan Advisers CLO 36, Ser 2020-36A, Cl INC

                

0.000%, 04/20/2033 (A)(C)(E)(I)

     1,780       1,353  

Neuberger Berman Loan Advisers CLO 36, Ser 2020-36A, Cl SPIN

                

0.114%, 04/20/2033 (A)(C)(E)

     23       17  

Neuberger Berman Loan Advisers CLO 38

                

0.000%, 10/20/2032 (E)(I)

     5,458       4,468  

Neuberger Berman Loan Advisers CLO 39

                

0.000%, 10/20/2032 (E)(F)(I)

     5,795       4,850  

Neuberger Berman Loan Advisers CLO 41

                

0.000%, 10/20/2032 (E)(I)

     3,394       2,790  

NewStar Clarendon Fund CLO LLC, Ser 2015-1A, Cl E(F)

                

6.308%, ICE LIBOR USD 3 Month + 6.050%, 01/25/2027 (A)(C)(E)

     3,057       3,028  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

261

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

NewStar Exeter Fund CLO, Ser 2015-1RA, Cl E

                

7.454%, ICE LIBOR USD 3 Month + 7.200%, 01/20/2027 (A)(C)(E)

   $ 2,981     $ 2,906  

NewStar Fairfield Fund CLO, Ser 2015-2A, Cl SUB

                

0.000%, 04/20/2030 (A)(C)(E)(I)

     9,028       4,604  

NewStar Fairfield Fund CLO, Ser 2018-2A, Cl DN

                

7.634%, ICE LIBOR USD 3 Month + 7.380%, 04/20/2030 (A)(C)(E)

     4,200       3,872  

OCP CLO, Ser 2017-14A, Cl SUB

                

0.000%, 11/20/2030 (A)(C)(E)(I)

     3,012       1,898  

OCP CLO, Ser 2020-19A, Cl SUB

                

0.000%, 10/20/2034 (A)(C)(E)(I)

     1,876       1,935  

OCP CLO, Ser 2021-21A, Cl SUB

                

0.000%, 07/20/2034 (E)(I)

     7,945       6,594  

Shackleton CLO, Ser 2014-6RA

                

0.000%, 07/17/2028 (E)(I)

     6,412       385  

Shackleton CLO, Ser 2019-14A, Cl SUB

                

0.000%, 07/20/2034 (A)(C)(E)(I)

     3,251       2,357  

TCP Whitney CLO, Ser 2017-1I, Cl SUB

                

0.000%, 08/20/2029 (C)(E)(I)

     13,119       10,299  

TCW CLO, Ser 2017-1A, Cl SUB

                

0.000%, 10/29/2034 (A)(C)(E)(I)

     7,377       5,016  

TCW CLO, Ser 2018-1A, Cl SUB

                

0.000%, 04/25/2031 (A)(C)(E)(I)

     5,509       3,719  

TCW CLO, Ser 2019-2A, Cl SUB

                

0.000%, 10/20/2032 (A)(C)(E)(I)

     5,959       4,112  

TCW CLO, Warehouse Note, Ser 2020-1

                

0.000%, (E)(I)

     8,523       5,625  

Venture 35 CLO, Ser 2018-35A, Cl SUB

                

0.000%, 10/22/2031 (A)(C)(E)(I)

     15,819       6,644  

Venture XXV CLO, Ser 2016-25A, Cl SUB

                

0.000%, 04/20/2029 (A)(C)(E)(I)

     2,950       1,121  

Venture XXVI CLO, Ser 2017-26A, Cl SUB

                

0.000%, 01/20/2029 (A)(C)(E)(I)

     2,865       1,117  

Venture XXVIII CLO, Ser 2017-28A, Cl SUB

                

0.000%, 07/20/2030 (A)(C)(E)(I)

     5,750       2,760  

VOYA CLO, Ser 2020-2A

                

0.000%, 07/20/2031 (E)(I)

     7,797       7,378  

Wind River

                

0.000%, (E)(I)

     11,611       9,434  
              231,654  
                 

Total Asset-Backed Securities

                

(Cost $140,554) ($ Thousands)

             231,654  
                 
   


Shares

          

COMMON STOCK — 1.6%

21st Century Oncology *(E)(F)

     22,017       222  

Aquity Equity *(E)

     89,545       1,007  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Arctic Canadian Diamond Co *(E)

     1,633     $ —  

Battalion Oil Corp *

     414       8  

Berry Corp

    445,831       4,458  

Cenveo Corp *(E)

     146,717       1,052  

CHC Group LLC *

     1,444       —  

Chesapeake Energy Corp

    641       50  

Civitas Resources Inc

    55,129       2,782  

Clear Channel Outdoor Holdings Inc, Cl A *

     345,144       1,291  

EP Energy Corp *

     25,685       2,414  

Frontier Communications Parent Inc *

     24,698       680  

Guitar Center *(E)(F)

     24,502       4,312  

Gulfport Energy Corp *

     14,736       1,016  

Gymboree Corp *(E)

     18,542       —  

Gymboree Holding Corp *(E)

     52,848       —  

iHeartMedia Inc, Cl A *

     63,646       1,365  

Knight Energy Services LLC *(E)(J)

     2,205       —  

Magnachip Semiconductor Corp *

     38,119       694  

Medical Card Systems *(E)

     395,653       236  

Monitronics International Inc *(E)(F)

     381,412       2,929  

MYT Holding LLC *(E)(F)

     461,765       1,122  

Neiman Marcus Group *(E)

     10,950       1,752  

Nine West *(E)

     163,718       93  

Noble Corp *

     24,510       631  

Oasis Petroleum Inc

    11,342       1,503  

Parker Drilling *(E)

     5,140       23  

Parker Drilling Co *(E)

     138,594       624  

Penney Borrower LLC *

     31,845       374  

Propco Certificates *(E)

     238,837       3,742  

Reichhold Industries *(E)(F)

     1,755       3,391  

Rue 21 *

     2,551       948  

SandRidge Energy Inc *

     11,510       154  

Valaris *

     10,890       444  

Valaris Ltd *

     4,390       179  

VICI Properties Inc ‡

     104,293       2,916  

Whiting Petroleum Corp

    7,372       544  

Windstream Services *

     46,229       821  
                 

Total Common Stock

               

(Cost $40,096) ($ Thousands)

             43,777  
                 
                 
                 

PREFERRED STOCK — 0.4%

BoardRiders *(E)(F)(I)

     336,591       414  

Bowlero *(E)(I)

     1,940       1,940  

Claire's Stores Inc *(E)(F)(I)

     1,414       1,721  

Crestwood Equity Partners, 9.250% (D)(K)

     224,639       2,161  

FHLMC *(D)(I)

     29,819       103  

FNMA *(D)(I)

     43,993       148  

Foresight *(E)(I)

     60,593       909  

Guitar Center Inc *(E)(F)(I)

     782       76  

Gulfport Energy *(E)(I)

     41       204  

 

 

 

262

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

PREFERRED STOCK (continued)

Ladenburg Thalmann Financial Services, 6.500% *

     102,399     $ 1,792  

MPLX, 8.462% *(D)(E)(F)

     41,696       1,459  

MYT Holding LLC, 10.000%

    516,164       542  
                 

Total Preferred Stock

               

(Cost $10,810) ($ Thousands)

             11,469  
                 
                 
   

Face Amount
(Thousands)

          

CONVERTIBLE BONDS — 0.3%

Air Canada

               

4.000% , 07/01/2025

   $ 400       578  

DISH Network

               

3.375% , 08/15/2026

     804       729  

Liberty Media

               

3.750% , 02/15/2030

     3,728       2,722  

Liberty Media

               

4.000% , 11/15/2029

     2,170       1,475  

Pebblebrook Hotel Trust

               

1.750% , 12/15/2026

     1,275       1,413  
                 

Total Convertible Bonds

                

(Cost $6,594) ($ Thousands)

             6,917  
                 
                 
      Number of
Warrants		          

WARRANTS — 0.1%

Carestream

                

Strike Price $0.00 *‡‡(E)

     84       –  

Chesapeake Energy Corp, Expires 02/12/2026

                

Strike Price $32.13 *

     3,486       166  

Chesapeake Energy Corp, Expires 02/12/2026

                

Strike Price $27.63 *

     3,138       163  

Chesapeake Energy Corp, Expires 02/12/2026

                

Strike Price $36.18 *

     3,317       144  

Guitar Center Tranche I, Expires 12/22/2070

                

Strike Price $100.00 *(E)(F)

     5,960       502  

Guitar Center Tranche II, Expires 12/22/2070

                

Strike Price $160.00 *(E)(F)

     6,486       330  

Guitar Center Tranche III, Expires 12/22/2070

                

Strike Price $100.00 *(E)(F)

     526       27  

Neiman Marcus Group, Expires 09/24/2027

                

Strike Price $213.16 *(E)(F)

     6,679       127  

Noble Corp, Expires 02/05/2028

                

Strike Price $0.01 *

     36,606       316  

 

             

Description

     Number of
Warrants		    

Market Value
($ Thousands)

  

WARRANTS (continued)

SandRidge Energy Inc, Expires 10/07/2022

                

Strike Price $41.34 *

     9,764     $ –  

SandRidge Energy Inc, Expires 10/07/2022

                

Strike Price $42.03 *

     4,110       –  

Windstream Services

                

Strike Price $0.00 *‡‡

     50,968       841  
                 
                 

Total Warrants

                

(Cost $1,295) ($ Thousands)

             2,616  
                 
                 
   


Shares

          

CASH EQUIVALENT — 1.8%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     47,727,503       47,728  
                 

Total Cash Equivalent

                

(Cost $47,728) ($ Thousands)

             47,728  
                 
                 

Total Investments in Securities — 98.7%

                

(Cost $2,661,237) ($ Thousands)

  $ 2,679,166  
                 
                 
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

263

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Continued)

 

 

A list of the open centrally cleared swap agreements held by the Fund at February 28, 2022, is as follows:

 

Credit Default Swap

Reference Entity/ Obligation

  

Buy/Sell Protection

    

(Pays)/Receives Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Depreciation
(Thousands)

  

CDX.NA.HYSS37V1.5Y

     Sell       5.00%       Quarterly       12/20/2026       (11,890 )   $ 675     $ 719     $ (44 )

 

 

 

Percentages are based on Net Assets of $2,714,773 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security.

‡‡

Expiration date not available.

(A)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On February 28, 2022, the value of these securities amounted to $1,770,241 ($ Thousands), representing 65.2% of the Net Assets of the Fund.

(B)

Security is in default on interest payment.

(C)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(D)

Perpetual security with no stated maturity date.

(E)

Level 3 security in accordance with fair value hierarchy.

(F)

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 February 28, 2022 was $43,248 ($ Thousands) and represented 1.6% of the Net Assets of the Fund.

(G)

Unsettled bank loan. Interest rate may not be available.

(H)

Security, or a portion thereof, is owned through a holding entity, 717 AEP Leasing, LLC.

(I)

No interest rate available.

(J)

Security, or a portion thereof, is owned through a holding entity, Knights Energy Topco, LLC.

(K)

Security is a Master Limited Partnership. At February 28, 2022, such securities amounted to $2,161 ($ Thousands), or 0.1% of the Net Assets of the Fund.

(L)

Zero coupon security.

 

Cl — Class

CLO — Collateralized Loan Obligation

DAC — Designated Activity Company

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

ICE— Intercontinental Exchange

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

LLLP — Limited Liability Limited Partnership

L.P. — Limited Partnership

Ltd. — Limited

MTN — Medium Term Note

PIK — Payment in-Kind

Ser — Series

ULC — Unlimited Liability Company

USD — U.S. Dollar

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)(1)

    

Total
($)

  

Corporate Obligations

     –       2,055,536       1,131       2,056,667  

Loan Participations

     –       256,954       21,384       278,338  

Asset-Backed Securities

     –       –       231,654       231,654  

Common Stock

     20,498       2,774       20,505       43,777  

Preferred Stock

     2,851       1,895       6,723       11,469  

Convertible Bonds

     –       6,917       –       6,917  

Warrants

     144       1,486       986       2,616  

Cash Equivalent

     47,728       –       –       47,728  

Total Investments in Securities

     71,221       2,325,562       282,383       2,679,166  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Centrally Cleared Swaps

                                

Credit Default Swaps*

                                

Unrealized Depreciation

     –       (44 )     –       (44 )

Total Other Financial Instruments

     –       (44 )     –       (44 )

 

*Swap contracts are valued at the unrealized depreciation on the instrument.

 

 

 

264

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

High Yield Bond Fund (Concluded)

 

 

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

 

   

Investments in Corporate Obligations

    

Investments in Loan Participations

    

Investments in Asset-Backed Securities

    

Investments in Common Stock

    

Investments in Preferred Stock

    

Investments in Warrants

  

Balance as of May 31, 2021

   $ 5,245     $ 38,894     $ 302,772       21,934     $ 3,344     $ 1,578  

Accrued discounts/premiums

     (42 )     (44 )     (780 )     —       —       —  

Realized gain/(loss)

     20       47       9,434       2,581       116       —  

Change in unrealized appreciation/(depreciation)

     161       501       20,200       (2,606 )     564       153  

Purchases

     60       4,267       10,421       —       1,940       —  

Sales

     (76 )     (7,968 )     (110,393 )     (3,156 )     (150 )     —  

Net transfer into Level 3

     —       2,398       —       2,089       909       —  

Net transfer out of Level 3

     (4,237 )     (16,711 )     —       (337 )     —       (745 )

Ending Balance as of February 28, 2022

   $ 1,131     $ 21,384     $ 231,654     $ 20,505     $ 6,723     $ 986  

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date

   $ (2,153 )   $ 560     $ 24,336     $ (3,879 )   $ 372     $ 153  

 

For the period ended February 28, 2022, there were transfers in or out of Level 3.

 

For more information on the Fund’s policy regarding valuation of investments and other significant policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 74,591     $ 765,563     $ (792,428 )   $ 2     $ —     $ 47,728       47,727,503     $ 6     $ —  

 

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

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

265

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS — 63.0%

Communication Services — 9.2%

        

Alphabet

               

2.250%, 08/15/2060

  $ 380     $ 303  

America Movil

               

6.375%, 03/01/2035

    245       316  

6.125%, 03/30/2040

    475       606  

AT&T

               

5.150%, 02/15/2050

    840       961  

4.750%, 05/15/2046

    550       610  

4.500%, 05/15/2035

    2,685       2,940  

3.800%, 12/01/2057

    7,000       6,567  

3.650%, 09/15/2059

    2,411       2,187  

3.550%, 09/15/2055

    2,940       2,666  

3.500%, 09/15/2053

    4,341       3,969  

Bell Canada

               

4.464%, 04/01/2048

    550       601  

Charter Communications Operating LLC / Charter Communications Operating Capital

               

6.484%, 10/23/2045

    1,908       2,280  

6.384%, 10/23/2035

    1,945       2,325  

5.750%, 04/01/2048

    1,190       1,315  

5.375%, 05/01/2047

    2,361       2,491  

4.800%, 03/01/2050

    410       401  

3.900%, 06/01/2052

    625       544  

3.850%, 04/01/2061

    600       498  

3.500%, 06/01/2041

    205       177  

Charter Communications Operating LLC/ Charter Communications Operating

               

3.700%, 04/01/2051

    430       361  

Comcast

               

4.250%, 01/15/2033

    250       273  

4.049%, 11/01/2052

    845       886  

3.999%, 11/01/2049

    363       369  

3.969%, 11/01/2047

    2,963       3,012  

3.900%, 03/01/2038

    1,095       1,115  

2.987%, 11/01/2063 (A)

     2,028       1,688  

2.937%, 11/01/2056 (A)

     4,623       3,891  

2.887%, 11/01/2051 (A)

     1,451       1,259  

Discovery Communications LLC

               

5.300%, 05/15/2049

    175       190  

5.200%, 09/20/2047

    549       587  

4.650%, 05/15/2050

    380       388  

4.000%, 09/15/2055

    890       809  

Fox

               

5.576%, 01/25/2049

    170       205  

Level 3 Financing

               

3.875%, 11/15/2029 (A)

     940       898  

Paramount Global

               

5.850%, 09/01/2043

    1,475       1,759  

4.850%, 12/15/2034

    825       867  

4.375%, 03/15/2043

    20       20  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Rogers Communications

               

5.000%, 03/15/2044

  $ 442     $ 479  

4.500%, 03/15/2043

    257       267  

SES GLOBAL Americas Holdings GP

               

5.300%, 03/25/2044 (A)

     1,200       1,254  

Tencent Holdings MTN

               

3.840%, 04/22/2051 (A)

     560       513  

Time Warner Cable LLC

               

7.300%, 07/01/2038

    375       469  

6.750%, 06/15/2039

    375       455  

6.550%, 05/01/2037

    745       895  

5.875%, 11/15/2040

    395       442  

5.500%, 09/01/2041

    760       810  

4.500%, 09/15/2042

    450       424  

T-Mobile USA

               

3.600%, 11/15/2060 (A)

     615       538  

3.400%, 10/15/2052 (A)

     1,045       926  

3.300%, 02/15/2051

    475       414  

3.000%, 02/15/2041

    1,780       1,543  

Verizon Communications

               

4.522%, 09/15/2048

    350       393  

4.500%, 08/10/2033

    2,825       3,139  

4.400%, 11/01/2034

    900       992  

3.700%, 03/22/2061

    1,578       1,504  

3.550%, 03/22/2051

    1,723       1,669  

3.400%, 03/22/2041

    4,885       4,704  

2.987%, 10/30/2056

    2,702       2,304  

2.650%, 11/20/2040

    170       148  

ViacomCBS

               

4.950%, 05/19/2050

    378       413  

Vodafone Group PLC

               

5.250%, 05/30/2048

    1,386       1,589  

5.000%, 05/30/2038

    230       261  

4.875%, 06/19/2049

    541       601  

4.375%, 02/19/2043

    315       320  

4.250%, 09/17/2050

    770       788  

Walt Disney

               

7.625%, 11/30/2028

    1       1  

6.550%, 03/15/2033

    950       1,236  

3.600%, 01/13/2051

    3,620       3,663  

3.500%, 05/13/2040

    435       433  

2.750%, 09/01/2049

    532       465  
                 
              84,386  
                 

Consumer Discretionary — 1.9%

        

Alimentation Couche-Tard

               

4.500%, 07/26/2047 (A)

     675       710  

Amazon.com

               

4.950%, 12/05/2044

    1,664       2,064  

4.050%, 08/22/2047

    491       547  

3.100%, 05/12/2051

    1,620       1,566  

2.875%, 05/12/2041

    687       656  

 

 

 

266

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.700%, 06/03/2060

  $ 570     $ 486  

2.500%, 06/03/2050

    185       160  

Aptiv PLC

               

5.400%, 03/15/2049

    544       639  

Dollar Tree

               

3.375%, 12/01/2051

    265       238  

eBay

               

3.650%, 05/10/2051

    369       346  

General Motors

               

6.600%, 04/01/2036

    175       217  

6.250%, 10/02/2043

    155       188  

5.950%, 04/01/2049

    555       663  

5.150%, 04/01/2038

    180       195  

5.000%, 04/01/2035

    80       87  

Home Depot

               

4.250%, 04/01/2046

    830       915  

4.200%, 04/01/2043

    250       276  

3.900%, 06/15/2047

    607       644  

3.350%, 04/15/2050

    470       460  

Lowe's

               

4.050%, 05/03/2047

    305       313  

3.700%, 04/15/2046

    675       657  

3.000%, 10/15/2050

    710       617  

Massachusetts Institute of Technology

               

5.600%, 07/01/2111

    435       655  

McDonald's MTN

               

4.600%, 05/26/2045

    650       712  

4.450%, 03/01/2047

    1,325       1,453  

3.625%, 09/01/2049

    275       270  

Starbucks

               

4.450%, 08/15/2049

    305       325  

3.350%, 03/12/2050

    510       463  

Target

               

2.950%, 01/15/2052

    145       137  

XLIT

               

5.250%, 12/15/2043

    587       745  
                 
              17,404  
                 

Consumer Staples — 4.5%

        

Alcon Finance

               

3.800%, 09/23/2049 (A)

     325       317  

Altria Group

               

5.950%, 02/14/2049

    785       872  

5.800%, 02/14/2039

    150       164  

5.375%, 01/31/2044

    285       297  

4.450%, 05/06/2050

    250       229  

4.000%, 02/04/2061

    805       670  

3.875%, 09/16/2046

    980       842  

3.700%, 02/04/2051

    630       515  

3.400%, 02/04/2041

    810       671  

2.450%, 02/04/2032

    325       290  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide

               

4.900%, 02/01/2046

  $ 5,745     $ 6,492  

4.700%, 02/01/2036

    4,440       4,948  

Anheuser-Busch InBev Worldwide

               

5.550%, 01/23/2049

    1,191       1,475  

4.750%, 04/15/2058

    145       160  

4.600%, 04/15/2048

    990       1,085  

4.439%, 10/06/2048

    1,527       1,634  

4.375%, 04/15/2038

    445       478  

4.350%, 06/01/2040

    151       161  

Bacardi

               

5.300%, 05/15/2048 (A)

     480       570  

BAT Capital

               

5.282%, 04/02/2050

    245       249  

4.758%, 09/06/2049

    500       473  

4.540%, 08/15/2047

    1,550       1,431  

4.390%, 08/15/2037

    1,675       1,605  

3.734%, 09/25/2040

    695       599  

Baylor Scott & White Holdings

               

2.839%, 11/15/2050

    35       31  

Bimbo Bakeries USA

               

4.000%, 05/17/2051 (A)

     365       362  

City of Hope

               

4.378%, 08/15/2048

    650       749  

Coca-Cola

               

2.875%, 05/05/2041

    480       455  

Constellation Brands

               

4.100%, 02/15/2048

    565       568  

Fomento Economico Mexicano

               

3.500%, 01/16/2050

    510       478  

Health Care Service, A Mutual Legal Reserve

               

3.200%, 06/01/2050 (A)

     647       576  

Indiana University Health Obligated Group

               

2.852%, 11/01/2051

    350       321  

JBS USA LUX

               

4.375%, 02/02/2052 (A)

     930       832  

3.000%, 05/15/2032 (A)

     952       840  

Kraft Heinz Foods

               

5.000%, 06/04/2042

    540       595  

4.875%, 10/01/2049

    80       89  

Kroger

               

4.450%, 02/01/2047

    1,695       1,845  

3.950%, 01/15/2050

    500       513  

MedStar Health

               

3.626%, 08/15/2049

    530       523  

Nestle Holdings

               

3.900%, 09/24/2038 (A)

     815       888  

Philip Morris International

               

4.500%, 03/20/2042

    830       865  

4.250%, 11/10/2044

    15       16  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

267

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.875%, 08/21/2042

  $ 640     $ 621  

Reynolds American

               

5.850%, 08/15/2045

    335       363  

Roche Holdings

               

2.607%, 12/13/2051 (A)

     1,115       987  

Stanford Health Care

               

3.027%, 08/15/2051

    380       355  

University of Southern California

               

5.250%, 10/01/2111

    1,065       1,461  

Walmart

               

2.650%, 09/22/2051

    285       261  
                 
              40,821  
                 

Energy — 6.9%

        

BG Energy Capital

               

5.125%, 10/15/2041 (A)

     205       245  

BP Capital Markets America

               

3.379%, 02/08/2061

    665       586  

3.060%, 06/17/2041

    685       614  

3.001%, 03/17/2052

    545       463  

3.000%, 02/24/2050

    5       4  

2.939%, 06/04/2051

    3       3  

2.772%, 11/10/2050

    1,305       1,090  

2.721%, 01/12/2032

    260       249  

Burlington Resources LLC

               

7.200%, 08/15/2031

    20       27  

Canadian Natural Resources MTN

               

4.950%, 06/01/2047

    350       395  

Chevron

               

3.078%, 05/11/2050

    514       495  

Columbia Pipeline Group

               

5.800%, 06/01/2045

    355       424  

Conoco Funding

               

7.250%, 10/15/2031

    290       397  

ConocoPhillips

               

5.900%, 05/15/2038

    1,288       1,660  

4.875%, 10/01/2047 (A)

     190       227  

4.850%, 08/15/2048 (A)

     270       320  

4.300%, 11/15/2044

    1,015       1,115  

3.800%, 03/15/2052

    455       462  

Devon Energy

               

7.950%, 04/15/2032

    10       14  

5.600%, 07/15/2041

    155       181  

5.000%, 06/15/2045

    95       106  

4.750%, 05/15/2042

    420       452  

El Paso Natural Gas

               

8.375%, 06/15/2032

    155       207  

Energy Transfer

               

6.500%, 02/01/2042

    55       65  

6.250%, 04/15/2049

    255       294  

6.125%, 12/15/2045

    1,113       1,249  

6.000%, 06/15/2048

    35       39  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

5.950%, 10/01/2043

  $ 1,320     $ 1,459  

5.800%, 06/15/2038

    45       50  

5.400%, 10/01/2047

    2,120       2,269  

5.350%, 05/15/2045

    520       550  

5.300%, 04/15/2047

    580       606  

5.150%, 02/01/2043

    90       90  

5.150%, 03/15/2045

    200       204  

4.900%, 03/15/2035

    1,000       1,044  

Eni SpA

               

5.700%, 10/01/2040 (A)

     340       403  

Enterprise Products Operating LLC

               

6.650%, 10/15/2034

    1,055       1,346  

6.125%, 10/15/2039

    325       400  

5.700%, 02/15/2042

    540       642  

5.100%, 02/15/2045

    400       447  

4.950%, 10/15/2054

    545       604  

4.900%, 05/15/2046

    1,310       1,441  

4.850%, 03/15/2044

    290       316  

4.250%, 02/15/2048

    190       193  

4.200%, 01/31/2050

    365       367  

3.700%, 01/31/2051

    115       107  

3.300%, 02/15/2053

    255       223  

EOG Resources

               

4.950%, 04/15/2050

    414       503  

EQM Midstream Partners

               

6.500%, 07/15/2048

    500       488  

Equinor

               

3.950%, 05/15/2043

    480       506  

3.625%, 04/06/2040

    930       956  

Exxon Mobil

               

4.227%, 03/19/2040

    320       352  

3.452%, 04/15/2051

    4,079       4,032  

3.095%, 08/16/2049

    190       177  

Hess

               

5.800%, 04/01/2047

    320       383  

5.600%, 02/15/2041

    440       505  

Kinder Morgan

               

5.550%, 06/01/2045

    645       740  

5.300%, 12/01/2034

    2,406       2,698  

5.050%, 02/15/2046

    40       43  

Kinder Morgan Energy Partners

               

6.375%, 03/01/2041

    636       768  

5.000%, 08/15/2042

    700       735  

Lundin Energy Finance BV

               

3.100%, 07/15/2031 (A)

     345       329  

Marathon Petroleum

               

6.500%, 03/01/2041

    193       244  

4.750%, 09/15/2044

    65       68  

Motiva Enterprises

               

6.850%, 01/15/2040 (A)

     820       939  

MPLX

               

5.500%, 02/15/2049

    120       137  

 

 

 

268

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.500%, 04/15/2038

  $ 480     $ 494  

Northern Natural Gas

               

4.300%, 01/15/2049 (A)

     275       291  

Occidental Petroleum

               

6.574%, 10/10/2036 (B)

     3,581       1,917  

4.300%, 08/15/2039

    536       507  

Petroleos Mexicanos

               

6.950%, 01/28/2060

    382       317  

6.350%, 02/12/2048

    745       596  

Petroleos Mexicanos MTN

               

6.750%, 09/21/2047

    670       556  

Phillips 66

               

5.875%, 05/01/2042

    260       328  

4.875%, 11/15/2044

    825       938  

Phillips 66 Partners

               

4.900%, 10/01/2046

    1,284       1,420  

Plains All American Pipeline/PAA Finance

               

4.900%, 02/15/2045

    625       602  

Rockies Express Pipeline LLC

               

6.875%, 04/15/2040 (A)

     1,135       1,158  

Sabal Trail Transmission LLC

               

4.832%, 05/01/2048 (A)

     550       615  

4.682%, 05/01/2038 (A)

     360       400  

Shell International Finance BV

               

6.375%, 12/15/2038

    1,127       1,534  

5.500%, 03/25/2040

    435       549  

4.550%, 08/12/2043

    635       724  

4.375%, 05/11/2045

    1,365       1,512  

3.750%, 09/12/2046

    254       266  

3.000%, 11/26/2051

    120       109  

Suncor Energy

               

6.800%, 05/15/2038

    520       680  

3.750%, 03/04/2051

    310       297  

Texas Eastern Transmission

               

7.000%, 07/15/2032

    575       740  

4.150%, 01/15/2048 (A)

     565       579  

TotalEnergies Capital International

               

3.386%, 06/29/2060

    50       46  

3.127%, 05/29/2050

    1,430       1,321  

TransCanada PipeLines

               

7.250%, 08/15/2038

    1,070       1,482  

4.875%, 05/15/2048

    195       222  

4.750%, 05/15/2038

    380       417  

4.625%, 03/01/2034

    870       949  

Transcontinental Gas Pipe Line LLC

               

5.400%, 08/15/2041

    880       1,030  

4.600%, 03/15/2048

    536       578  

4.450%, 08/01/2042

    560       589  

Williams

               

7.500%, 01/15/2031

    310       398  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.600%, 03/15/2031

  $ 380     $ 359  
                 
              63,267  
                 

Financials — 10.8%

        

AIG SunAmerica Global Financing X

               

6.900%, 03/15/2032 (A)

     1,617       2,129  

Allstate

               

4.500%, 06/15/2043

    150       169  

American International Group

               

4.800%, 07/10/2045

    55       63  

4.750%, 04/01/2048

    165       190  

4.700%, 07/10/2035

    40       45  

4.500%, 07/16/2044

    1,455       1,614  

4.375%, 06/30/2050

    395       437  

4.375%, 01/15/2055

    50       54  

3.875%, 01/15/2035

    50       52  

Aon

               

3.900%, 02/28/2052

    1,014       1,018  

Arthur J Gallagher

               

3.500%, 05/20/2051

    435       409  

ASB Bank

               

2.375%, 10/22/2031 (A)

     540       509  

Athene Holding

               

3.450%, 05/15/2052

    500       438  

Bank of America

               

6.110%, 01/29/2037

    660       821  

6.000%, 10/15/2036

    2,245       2,844  

3.311%, U.S. SOFR + 1.580%, 04/22/2042 (C)

     1,505       1,442  

2.972%, U.S. SOFR + 1.330%, 02/04/2033 (C)

     305       299  

2.972%, U.S. SOFR + 1.560%, 07/21/2052 (C)

     940       836  

2.687%, U.S. SOFR + 1.320%, 04/22/2032 (C)

     65       63  

2.572%, U.S. SOFR + 1.210%, 10/20/2032 (C)

     585       554  

Bank of America MTN

               

5.875%, 02/07/2042

    1,870       2,424  

4.330%, ICE LIBOR USD 3 Month + 1.520%, 03/15/2050 (C)

     765       849  

4.083%, ICE LIBOR USD 3 Month + 3.150%, 03/20/2051 (C)

     1,650       1,770  

4.078%, ICE LIBOR USD 3 Month + 1.320%, 04/23/2040 (C)

     1,000       1,046  

3.974%, ICE LIBOR USD 3 Month + 1.210%, 02/07/2030 (C)

     440       461  

2.676%, U.S. SOFR + 1.930%, 06/19/2041 (C)

     290       255  

Berkshire Hathaway

               

4.500%, 02/11/2043

    218       249  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

269

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Berkshire Hathaway Finance

               

4.400%, 05/15/2042

  $ 1,300     $ 1,462  

4.200%, 08/15/2048

    880       974  

Blackstone Holdings Finance LLC

               

6.250%, 08/15/2042 (A)

     869       1,149  

Carlyle Holdings II Finance LLC

               

5.625%, 03/30/2043 (A)

     978       1,164  

Chubb INA Holdings

               

6.700%, 05/15/2036

    627       863  

2.850%, 12/15/2051

    250       223  

CI Financial

               

4.100%, 06/15/2051

    525       498  

Cincinnati Financial

               

6.920%, 05/15/2028

    1,409       1,748  

Citigroup

               

6.625%, 06/15/2032

    910       1,143  

4.750%, 05/18/2046

    1,430       1,597  

4.650%, 07/23/2048

    1,035       1,210  

4.281%, ICE LIBOR USD 3 Month + 1.839%, 04/24/2048 (C)

     1,278       1,402  

2.904%, U.S. SOFR + 1.379%, 11/03/2042 (C)

     360       324  

2.561%, U.S. SOFR + 1.167%, 05/01/2032 (C)

     565       536  

Commonwealth Bank of Australia MTN

               

3.743%, 09/12/2039 (A)

     260       257  

Cooperatieve Rabobank UA

               

5.250%, 08/04/2045

    120       144  

Credit Suisse Group

               

3.091%, U.S. SOFR + 1.730%, 05/14/2032 (A)(C)

     680       645  

Deutsche Bank NY

               

3.035%, U.S. SOFR + 1.718%, 05/28/2032 (C)

     325       306  

Everest Reinsurance Holdings

               

3.125%, 10/15/2052

    505       441  

Farmers Exchange Capital

               

7.200%, 07/15/2048 (A)

     225       312  

Farmers Exchange Capital II

               

6.151%, ICE LIBOR USD 3 Month + 3.744%, 11/01/2053 (A)(C)

     375       456  

Farmers Exchange Capital III

               

5.454%, ICE LIBOR USD 3 Month + 3.454%, 10/15/2054 (A)(C)

     400       467  

Farmers Insurance Exchange

               

4.747%, ICE LIBOR USD 3 Month + 3.231%, 11/01/2057 (A)(C)

     300       329  

Fifth Third Bancorp

               

8.250%, 03/01/2038

    286       430  

Global Atlantic Finance

               

3.125%, 06/15/2031 (A)

     380       354  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Goldman Sachs Group

               

6.750%, 10/01/2037

  $ 1,325     $ 1,741  

6.250%, 02/01/2041

    1,518       1,991  

4.750%, 10/21/2045

    40       45  

4.411%, ICE LIBOR USD 3 Month + 1.430%, 04/23/2039 (C)

     535       576  

4.017%, ICE LIBOR USD 3 Month + 1.373%, 10/31/2038 (C)

     3,510       3,701  

3.436%, U.S. SOFR + 1.632%, 02/24/2043 (C)

     1,015       977  

3.210%, U.S. SOFR + 1.513%, 04/22/2042 (C)

     725       676  

3.102%, U.S. SOFR + 1.410%, 02/24/2033 (C)

     620       610  

2.908%, U.S. SOFR + 1.472%, 07/21/2042 (C)

     25       22  

2.650%, U.S. SOFR + 1.264%, 10/21/2032 (C)

     545       517  

1.992%, U.S. SOFR + 1.090%, 01/27/2032 (C)

     300       270  

Goldman Sachs Group MTN

               

4.800%, 07/08/2044

    90       103  

Guardian Life Insurance of America

               

4.875%, 06/19/2064 (A)

     945       1,095  

Hartford Financial Services Group

               

6.625%, 03/30/2040

    350       479  

HSBC Bank USA

               

7.000%, 01/15/2039

    385       550  

HSBC Holdings

               

6.800%, 06/01/2038

    737       960  

6.500%, 09/15/2037

    1,435       1,828  

Intercontinental Exchange

               

3.000%, 09/15/2060

    550       471  

Jefferies Group

               

6.250%, 01/15/2036

    338       412  

JPMorgan Chase

               

5.600%, 07/15/2041

    1,461       1,847  

4.032%, ICE LIBOR USD 3 Month + 1.460%, 07/24/2048 (C)

     760       803  

3.964%, ICE LIBOR USD 3 Month + 1.380%, 11/15/2048 (C)

     1,465       1,548  

3.897%, ICE LIBOR USD 3 Month + 1.220%, 01/23/2049 (C)

     1,235       1,286  

3.328%, U.S. SOFR + 1.580%, 04/22/2052 (C)

     1,251       1,202  

3.109%, U.S. SOFR + 2.440%, 04/22/2051 (C)

     1,285       1,187  

3.109%, U.S. SOFR + 2.460%, 04/22/2041 (C)

     565       531  

2.545%, U.S. SOFR + 1.180%, 11/08/2032 (C)

     710       678  

 

 

 

270

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

KKR Group Finance II LLC

               

5.500%, 02/01/2043 (A)

   $ 588     $ 693  

Liberty Mutual Group

               

3.951%, 10/15/2050 (A)

     1,075       1,067  

3.950%, 05/15/2060 (A)

     45       43  

Lloyds Banking Group

               

4.344%, 01/09/2048

    391       395  

Macquarie Group MTN

               

2.871%, U.S. SOFR + 1.532%, 01/14/2033 (A)(C)

     895       846  

Marsh & McLennan

               

4.750%, 03/15/2039

    449       515  

4.200%, 03/01/2048

    540       588  

2.900%, 12/15/2051

    230       202  

Massachusetts Mutual Life Insurance

               

3.729%, 10/15/2070 (A)

     528       498  

3.375%, 04/15/2050 (A)

     637       601  

MetLife

               

5.875%, 02/06/2041

    280       363  

4.875%, 11/13/2043

    525       622  

4.721%, 12/15/2044

    255       296  

4.050%, 03/01/2045

    1,201       1,305  

Mitsubishi UFJ Financial Group

               

4.153%, 03/07/2039

    270       294  

Moody's

               

4.875%, 12/17/2048

    560       651  

3.750%, 02/25/2052

    357       357  

2.750%, 08/19/2041

    455       394  

Morgan Stanley

               

4.375%, 01/22/2047

    105       116  

3.217%, U.S. SOFR + 1.485%, 04/22/2042 (C)

     840       802  

Morgan Stanley MTN

               

6.375%, 07/24/2042

    894       1,219  

5.597%, U.S. SOFR + 4.840%, 03/24/2051 (C)

     325       433  

4.300%, 01/27/2045

    540       587  

3.971%, ICE LIBOR USD 3 Month + 1.455%, 07/22/2038 (C)

     545       571  

2.802%, U.S. SOFR + 1.430%, 01/25/2052 (C)

     843       733  

2.511%, U.S. SOFR + 1.200%, 10/20/2032 (C)

     435       411  

2.239%, U.S. SOFR + 1.178%, 07/21/2032 (C)

     420       387  

Nationwide Mutual Insurance

               

4.350%, 04/30/2050 (A)

     320       333  

New York Life Insurance

               

6.750%, 11/15/2039 (A)

     845       1,180  

5.875%, 05/15/2033 (A)

     452       570  

4.450%, 05/15/2069 (A)

     750       835  

3.750%, 05/15/2050 (A)

     226       232  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Northwestern Mutual Life Insurance

               

3.625%, 09/30/2059 (A)

   $ 874     $ 829  

Prudential Financial

               

3.905%, 12/07/2047

    120       125  

Prudential Financial MTN

               

5.700%, 12/14/2036

    1,357       1,726  

Raymond James Financial

               

4.950%, 07/15/2046

    565       650  

3.750%, 04/01/2051

    275       273  

S&P Global

               

3.250%, 12/01/2049

    250       242  

Teachers Insurance & Annuity Association of America

               

3.300%, 05/15/2050 (A)

     900       844  

Travelers

               

3.050%, 06/08/2051

    315       294  

Wells Fargo

               

5.850%, 02/01/2037

    2,570       3,188  

5.606%, 01/15/2044

    185       226  

Wells Fargo MTN

               

5.013%, U.S. SOFR + 4.502%, 04/04/2051 (C)

     3,859       4,752  

4.900%, 11/17/2045

    415       471  

4.650%, 11/04/2044

    1,090       1,197  

4.400%, 06/14/2046

    95       102  

Westpac Banking

               

3.133%, 11/18/2041

    290       260  

3.020%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.530%, 11/18/2036 (C)

     240       223  

2.668%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.750%, 11/15/2035 (C)

     75       68  

Willis North America

               

3.875%, 09/15/2049

    510       499  
                 
              99,688  
                 

Health Care — 8.1%

        

Abbott Laboratories

               

4.900%, 11/30/2046

    784       968  

AbbVie

               

4.875%, 11/14/2048

    970       1,114  

4.850%, 06/15/2044

    570       643  

4.550%, 03/15/2035

    1,545       1,702  

4.500%, 05/14/2035

    1,600       1,778  

4.450%, 05/14/2046

    200       215  

4.400%, 11/06/2042

    2,039       2,198  

4.250%, 11/21/2049

    2,240       2,382  

4.050%, 11/21/2039

    450       472  

Advocate Health & Hospitals

               

4.272%, 08/15/2048

    391       440  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

271

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Aetna

               

4.125%, 11/15/2042

  $ 400     $ 410  

Amgen

               

4.950%, 10/01/2041

    825       939  

4.400%, 05/01/2045

    2,850       3,028  

4.400%, 02/22/2062

    500       526  

4.200%, 02/22/2052

    585       613  

3.350%, 02/22/2032

    165       169  

Anthem

               

4.650%, 01/15/2043

    20       22  

4.375%, 12/01/2047

    2,393       2,629  

3.700%, 09/15/2049

    825       816  

AstraZeneca PLC

               

6.450%, 09/15/2037

    1,101       1,494  

3.000%, 05/28/2051

    213       199  

Baxter International

               

3.132%, 12/01/2051 (A)

     725       650  

BayCare Health System

               

3.831%, 11/15/2050

    365       397  

Bayer US Finance II LLC

               

4.400%, 07/15/2044 (A)

     1,080       1,098  

3.950%, 04/15/2045 (A)

     500       472  

Baylor Scott & White Holdings

               

4.185%, 11/15/2045

    1,040       1,167  

Becton Dickinson

               

3.794%, 05/20/2050

    435       435  

Biogen

               

3.250%, 02/15/2051 (A)

     100       84  

Boston Scientific

               

4.550%, 03/01/2039

    390       430  

Bristol-Myers Squibb

               

4.550%, 02/20/2048

    234       271  

4.250%, 10/26/2049

    1,393       1,558  

3.700%, 03/15/2052

    1,025       1,057  

3.550%, 03/15/2042

    370       377  

Children's Hospital Medical Center

               

2.820%, 11/15/2050

    450       404  

Cigna

               

4.900%, 12/15/2048

    225       256  

4.800%, 07/15/2046

    1,128       1,259  

3.875%, 10/15/2047

    1,350       1,325  

3.200%, 03/15/2040

    170       157  

Cleveland Clinic Foundation

               

4.858%, 01/01/2114

    72       94  

CommonSpirit Health

               

4.187%, 10/01/2049

    1,081       1,134  

3.910%, 10/01/2050

    290       294  

CVS Health

               

5.125%, 07/20/2045

    210       243  

5.050%, 03/25/2048

    3,790       4,425  

4.780%, 03/25/2038

    2,310       2,583  

4.125%, 04/01/2040

    595       613  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.700%, 08/21/2040

  $ 340     $ 297  

Danaher

               

2.800%, 12/10/2051

    500       442  

2.600%, 10/01/2050

    75       64  

Gilead Sciences

               

4.800%, 04/01/2044

    320       363  

4.600%, 09/01/2035

    775       872  

4.500%, 02/01/2045

    850       920  

GlaxoSmithKline Capital

               

6.375%, 05/15/2038

    415       567  

HCA

               

5.500%, 06/15/2047

    235       275  

5.250%, 06/15/2049

    915       1,041  

3.500%, 07/15/2051

    545       485  

Humana

               

4.950%, 10/01/2044

    680       790  

3.950%, 08/15/2049

    490       498  

Johnson & Johnson

               

3.400%, 01/15/2038

    625       648  

Kaiser Foundation Hospitals

               

4.150%, 05/01/2047

    475       529  

3.266%, 11/01/2049

    580       563  

3.002%, 06/01/2051

    2,435       2,257  

2.810%, 06/01/2041

    485       448  

Mass General Brigham

               

3.192%, 07/01/2049

    85       83  

Memorial Health Services

               

3.447%, 11/01/2049

    315       312  

Merck

               

4.150%, 05/18/2043

    400       440  

2.900%, 12/10/2061

    800       705  

2.750%, 12/10/2051

    975       869  

2.450%, 06/24/2050

    150       128  

New York and Presbyterian Hospital

               

4.763%, 08/01/2116

    179       208  

Northwell Healthcare

               

4.260%, 11/01/2047

    305       333  

NYU Langone Hospitals

               

4.428%, 07/01/2042

    745       852  

Pfizer

               

4.000%, 12/15/2036

    1,240       1,364  

Providence St. Joseph Health Obligated Group

               

3.744%, 10/01/2047

    525       566  

Regeneron Pharmaceuticals

               

2.800%, 09/15/2050

    150       124  

Stanford Health Care

               

3.795%, 11/15/2048

    431       467  

STERIS Irish FinCo UnLtd

               

3.750%, 03/15/2051

    425       408  

Stryker

               

4.100%, 04/01/2043

    590       636  

 

 

 

272

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Takeda Pharmaceutical

               

3.175%, 07/09/2050

  $ 807     $ 723  

Thermo Fisher Scientific

               

4.100%, 08/15/2047

    240       266  

2.800%, 10/15/2041

    900       829  

UnitedHealth Group

               

6.875%, 02/15/2038

    445       633  

6.625%, 11/15/2037

    555       776  

4.625%, 07/15/2035

    580       668  

4.250%, 04/15/2047

    725       805  

4.200%, 01/15/2047

    750       830  

3.700%, 08/15/2049

    584       605  

3.250%, 05/15/2051

    1,075       1,044  

3.050%, 05/15/2041

    470       451  

2.900%, 05/15/2050

    200       183  

2.750%, 05/15/2040

    115       106  

Utah Acquisition Sub

               

5.250%, 06/15/2046

    315       334  

Viatris

               

4.000%, 06/22/2050

    630       559  

3.850%, 06/22/2040

    190       178  

Wyeth LLC

               

6.000%, 02/15/2036

    760       998  

5.950%, 04/01/2037

    536       702  

Zoetis

               

4.450%, 08/20/2048

    205       232  
                 
              73,016  
                 

Industrials — 6.2%

        

3M

               

3.250%, 08/26/2049

    280       267  

AerCap Ireland Capital DAC

               

3.300%, 01/30/2032

    1,890       1,794  

Air Lease

               

3.250%, 10/01/2029

    255       250  

Air Lease MTN

               

3.000%, 02/01/2030

    180       172  

BAE Systems Holdings

               

4.750%, 10/07/2044 (A)

     828       918  

BAE Systems PLC

               

5.800%, 10/11/2041 (A)

     150       187  

3.000%, 09/15/2050 (A)

     650       572  

Boeing

               

5.930%, 05/01/2060

    930       1,104  

5.805%, 05/01/2050

    4,174       4,959  

5.705%, 05/01/2040

    2,995       3,489  

3.625%, 02/01/2031

    59       60  

Burlington Northern Santa Fe LLC

               

6.200%, 08/15/2036

    1,230       1,636  

6.150%, 05/01/2037

    540       719  

5.750%, 05/01/2040

    150       193  

5.050%, 03/01/2041

    165       199  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.900%, 04/01/2044

  $ 130     $ 157  

4.400%, 03/15/2042

    1,875       2,102  

3.300%, 09/15/2051

    490       477  

3.050%, 02/15/2051

    160       148  

2.875%, 06/15/2052

    185       165  

Canadian National Railway

               

6.200%, 06/01/2036

    156       203  

3.650%, 02/03/2048

    575       589  

Canadian Pacific Railway

               

6.125%, 09/15/2115

    1,200       1,564  

3.100%, 12/02/2051

    755       684  

3.000%, 12/02/2041

    190       176  

Carrier Global

               

3.577%, 04/05/2050

    295       281  

3.377%, 04/05/2040

    310       291  

Caterpillar

               

3.250%, 09/19/2049

    225       221  

Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A

               

5.983%, 04/19/2022

    888       892  

Crane

               

4.200%, 03/15/2048

    450       474  

CSX

               

4.750%, 05/30/2042

    935       1,070  

4.750%, 11/15/2048

    202       236  

Deere

               

3.750%, 04/15/2050

    431       457  

Emerson Electric

               

2.800%, 12/21/2051

    620       541  

FedEx

               

5.100%, 01/15/2044

    125       144  

4.550%, 04/01/2046

    1,098       1,195  

4.400%, 01/15/2047

    205       217  

3.900%, 02/01/2035

    410       428  

GE Capital International Funding Unlimited

               

4.418%, 11/15/2035

    3,503       3,938  

General Dynamics

               

4.250%, 04/01/2040

    425       475  

General Electric MTN

               

0.986%, ICE LIBOR USD 3 Month + 0.480%, 08/15/2036 (C)

     450       387  

Kansas City Southern

               

4.200%, 11/15/2069

    453       469  

Lockheed Martin

               

4.700%, 05/15/2046

    1,281       1,513  

4.070%, 12/15/2042

    242       264  

3.600%, 03/01/2035

    810       850  

Norfolk Southern

               

5.100%, 08/01/2118

    910       1,032  

4.800%, 08/15/2043

    528       575  

4.050%, 08/15/2052

    264       280  

3.942%, 11/01/2047

    351       368  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

273

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.700%, 03/15/2053

  $ 265     $ 271  

Northrop Grumman

               

4.750%, 06/01/2043

    795       915  

4.030%, 10/15/2047

    470       496  

3.850%, 04/15/2045

    770       788  

Northwest Airlines, Pass-Through Trust, Ser 2001-1, Cl A1

               

7.041%, 04/01/2022

    7       7  

Parker-Hannifin

               

4.000%, 06/14/2049

    305       320  

Parker-Hannifin MTN

               

4.450%, 11/21/2044

    405       447  

Raytheon Technologies

               

4.500%, 06/01/2042

    925       1,034  

4.350%, 04/15/2047

    900       989  

3.030%, 03/15/2052

    1,300       1,165  

Snap-on

               

3.100%, 05/01/2050

    571       535  

Trane Technologies Global Holding

               

4.300%, 02/21/2048

    140       150  

TTX

               

4.600%, 02/01/2049 (A)

     564       680  

Union Pacific

               

3.839%, 03/20/2060

    1,575       1,618  

3.799%, 04/06/2071

    652       657  

3.500%, 02/14/2053

    615       617  

3.375%, 02/14/2042

    95       95  

3.250%, 02/05/2050

    1,030       989  

2.973%, 09/16/2062

    308       265  

Union Pacific MTN

               

3.550%, 08/15/2039

    395       401  

United Airlines Pass-Through Trust, Ser 2019-1, Cl AA

               

4.150%, 08/25/2031

    279       298  

United Parcel Service

               

3.750%, 11/15/2047

    470       508  

US Airways, Pass-Through Trust, Ser 2010-1, Cl A

               

6.250%, 04/22/2023

    644       654  

Verisk Analytics

               

3.625%, 05/15/2050

    540       522  

Waste Management

               

3.900%, 03/01/2035

    360       383  

2.950%, 06/01/2041

    520       488  

WW Grainger

               

4.600%, 06/15/2045

    340       394  

4.200%, 05/15/2047

    602       673  
                 
              55,741  
                 

Information Technology — 3.8%

        

Activision Blizzard

               

4.500%, 06/15/2047

    295       341  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Analog Devices

               

2.950%, 10/01/2051

  $ 700     $ 639  

2.800%, 10/01/2041

    395       364  

Apple

               

4.650%, 02/23/2046

    1,399       1,697  

4.500%, 02/23/2036

    520       611  

4.450%, 05/06/2044

    125       146  

4.375%, 05/13/2045

    2,115       2,418  

3.850%, 05/04/2043

    190       204  

3.750%, 09/12/2047

    250       266  

3.450%, 02/09/2045

    795       813  

2.950%, 09/11/2049

    280       261  

2.700%, 08/05/2051

    1,525       1,366  

2.650%, 02/08/2051

    320       284  

2.550%, 08/20/2060

    760       630  

2.375%, 02/08/2041

    1,045       931  

Applied Materials

               

4.350%, 04/01/2047

    226       260  

Broadcom

               

3.750%, 02/15/2051 (A)

     620       579  

3.500%, 02/15/2041 (A)

     225       208  

3.137%, 11/15/2035 (A)

     490       454  

2.600%, 02/15/2033 (A)

     650       593  

Cisco Systems

               

5.900%, 02/15/2039

    751       992  

Corning

               

5.850%, 11/15/2068

    159       204  

5.450%, 11/15/2079

    575       664  

Fiserv

               

4.400%, 07/01/2049

    200       213  

Intel

               

3.734%, 12/08/2047

    1,135       1,144  

3.250%, 11/15/2049

    675       632  

3.200%, 08/12/2061

    310       274  

3.050%, 08/12/2051

    265       241  

KLA

               

5.000%, 03/15/2049

    317       384  

Lam Research

               

2.875%, 06/15/2050

    557       497  

Mastercard

               

3.850%, 03/26/2050

    170       185  

3.650%, 06/01/2049

    285       302  

Micron Technology

               

3.366%, 11/01/2041

    165       149  

Microsoft

               

3.450%, 08/08/2036

    168       180  

3.041%, 03/17/2062

    1,337       1,276  

2.921%, 03/17/2052

    3,058       2,920  

2.675%, 06/01/2060

    565       498  

NVIDIA

               

3.500%, 04/01/2040

    230       236  

3.500%, 04/01/2050

    742       764  

 

 

 

274

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Oracle

               

4.375%, 05/15/2055

  $ 885     $ 839  

4.300%, 07/08/2034

    470       485  

4.125%, 05/15/2045

    1,180       1,097  

4.000%, 07/15/2046

    1,410       1,296  

4.000%, 11/15/2047

    590       539  

3.800%, 11/15/2037

    2,170       2,062  

3.600%, 04/01/2050

    860       748  

PayPal Holdings

               

3.250%, 06/01/2050

    125       117  

salesforce.com

               

3.050%, 07/15/2061

    260       235  

2.900%, 07/15/2051

    995       902  

Texas Instruments

               

4.150%, 05/15/2048

    117       133  

TSMC Arizona

               

3.250%, 10/25/2051

    480       458  

3.125%, 10/25/2041

    375       355  

Visa

               

4.300%, 12/14/2045

    565       654  

4.150%, 12/14/2035

    220       248  
                 
              34,988  
                 

Materials — 1.0%

        

Barrick Gold

               

5.250%, 04/01/2042

    95       111  

BHP Billiton Finance USA

               

5.000%, 09/30/2043

    360       434  

Dow Chemical

               

4.375%, 11/15/2042

    130       139  

3.600%, 11/15/2050

    425       406  

DuPont de Nemours

               

5.419%, 11/15/2048

    25       31  

5.319%, 11/15/2038

    1,175       1,397  

Ecolab

               

2.700%, 12/15/2051

    520       454  

FMC

               

4.500%, 10/01/2049

    280       301  

Freeport-McMoRan

               

5.450%, 03/15/2043

    1,158       1,332  

5.400%, 11/14/2034

    99       111  

Glencore Finance Canada

               

6.000%, 11/15/2041 (A)

     661       805  

International Flavors and Fragrances

               

5.000%, 09/26/2048

    690       789  

3.468%, 12/01/2050 (A)

     760       690  

3.268%, 11/15/2040 (A)

     345       319  

LYB International Finance III LLC

               

4.200%, 10/15/2049

    695       703  

4.200%, 05/01/2050

    155       157  

Martin Marietta Materials

               

3.200%, 07/15/2051

    205       183  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Newmont Goldcorp

               

5.875%, 04/01/2035

  $ 150     $ 182  
                 
              8,544  
                 

Real Estate — 1.4%

        

Agree

               

2.900%, 10/01/2030

    280       272  

2.600%, 06/15/2033

    220       203  

Alexandria Real Estate Equities

               

3.550%, 03/15/2052

    800       770  

American Homes 4 Rent

               

3.375%, 07/15/2051

    275       236  

American Tower

               

3.100%, 06/15/2050

    190       159  

Boston Properties

               

2.450%, 10/01/2033

    480       436  

CyrusOne/CyrusOne Finance

               

3.450%, 11/15/2029

    1,920       2,019  

Equinix

               

2.950%, 09/15/2051

    595       485  

Extra Space Storage

               

2.550%, 06/01/2031

    35       33  

2.350%, 03/15/2032

    190       175  

GLP Capital

               

3.250%, 01/15/2032

    395       371  

National Retail Properties

               

4.800%, 10/15/2048

    335       385  

Regency Centers

               

4.650%, 03/15/2049

    505       564  

4.400%, 02/01/2047

    235       250  

Rexford Industrial Realty

               

2.150%, 09/01/2031

    275       248  

Rexford Industrial Realty Inc

               

2.125%, 12/01/2030

    75       68  

Simon Property Group LP

               

6.750%, 02/01/2040

    634       869  

4.250%, 11/30/2046

    65       70  

3.800%, 07/15/2050

    385       389  

3.250%, 09/13/2049

    280       257  

Spirit Realty

               

3.200%, 02/15/2031

    895       873  

2.700%, 02/15/2032

    280       265  

Ventas Realty

               

5.700%, 09/30/2043

    1,000       1,233  

Welltower

               

5.125%, 03/15/2043

    1,299       1,499  

4.950%, 09/01/2048

    274       325  

Weyerhaeuser

               

4.000%, 03/09/2052

    540       547  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

275

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

WP Carey

               

2.250%, 04/01/2033

  $ 115     $ 103  
                 
              13,104  
                 

Utilities — 9.2%

        

AEP Transmission LLC

               

3.800%, 06/15/2049

    325       329  

3.650%, 04/01/2050

    600       595  

AES

               

2.450%, 01/15/2031

    190       176  

Alabama Power

               

4.300%, 07/15/2048

    585       634  

4.150%, 08/15/2044

    585       620  

3.700%, 12/01/2047

    1,061       1,075  

American Water Capital

               

3.450%, 05/01/2050

    1,330       1,279  

Appalachian Power

               

4.450%, 06/01/2045

    650       684  

Arizona Public Service

               

3.350%, 05/15/2050

    400       357  

Baltimore Gas and Electric

               

5.200%, 06/15/2033

    943       1,080  

2.900%, 06/15/2050

    335       302  

Berkshire Hathaway Energy

               

6.125%, 04/01/2036

    4,141       5,245  

Black Hills

               

4.350%, 05/01/2033

    390       416  

4.200%, 09/15/2046

    500       512  

Brooklyn Union Gas

               

4.273%, 03/15/2048 (A)

     710       713  

CenterPoint Energy Houston Electric LLC

               

3.600%, 03/01/2052

    940       955  

Cleco Power

               

6.000%, 12/01/2040

    310       389  

CMS Energy

               

4.875%, 03/01/2044

    917       1,044  

Commonwealth Edison

               

4.350%, 11/15/2045

    1,225       1,342  

3.700%, 03/01/2045

    600       608  

3.200%, 11/15/2049

    355       334  

3.125%, 03/15/2051

    1,385       1,281  

Connecticut Light & Power

               

4.000%, 04/01/2048

    395       424  

Consolidated Edison of New York

               

6.750%, 04/01/2038

    275       372  

6.300%, 08/15/2037

    865       1,115  

4.450%, 03/15/2044

    245       263  

3.950%, 04/01/2050

    15       15  

3.850%, 06/15/2046

    500       495  

3.700%, 11/15/2059

    600       561  

Consumers Energy

               

3.100%, 08/15/2050

    260       247  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.500%, 05/01/2060

  $ 170     $ 131  

Dominion Energy

               

5.250%, 08/01/2033

    1,620       1,872  

4.900%, 08/01/2041

    1,395       1,564  

3.300%, 04/15/2041

    505       468  

DTE Electric

               

4.050%, 05/15/2048

    360       392  

Duke Energy Carolinas LLC

               

6.100%, 06/01/2037

    1,210       1,525  

6.000%, 01/15/2038

    614       783  

5.300%, 02/15/2040

    1,355       1,641  

4.250%, 12/15/2041

    850       913  

Duke Energy Florida LLC

               

6.350%, 09/15/2037

    355       470  

Duke Energy Indiana LLC

               

6.350%, 08/15/2038

    245       317  

4.900%, 07/15/2043

    600       683  

Duke Energy Progress LLC

               

4.375%, 03/30/2044

    2,155       2,343  

Electricite de France

               

6.000%, 01/22/2114 (A)

     241       269  

5.000%, 09/21/2048 (A)

     335       359  

Elm Road Generating Station Supercritical

               

5.848%, 01/19/2041 (A)

     2,007       2,407  

Entergy

               

3.750%, 06/15/2050

    739       714  

Entergy Louisiana LLC

               

4.200%, 04/01/2050

    630       679  

Entergy Texas

               

3.550%, 09/30/2049

    375       360  

Exelon

               

4.950%, 06/15/2035

    1,145       1,280  

Exelon Generation LLC

               

6.250%, 10/01/2039

    813       947  

5.750%, 10/01/2041

    414       460  

5.600%, 06/15/2042

    815       903  

Florida Power & Light

               

5.960%, 04/01/2039

    980       1,285  

5.690%, 03/01/2040

    836       1,075  

5.400%, 09/01/2035

    2,315       2,801  

3.990%, 03/01/2049

    185       200  

3.950%, 03/01/2048

    175       188  

Georgia Power

               

4.300%, 03/15/2042

    500       522  

3.700%, 01/30/2050

    1,270       1,210  

Indianapolis Power & Light

               

6.050%, 10/01/2036 (A)

     886       1,132  

Interstate Power and Light

               

3.100%, 11/30/2051

    330       291  

Jersey Central Power & Light

               

6.400%, 05/15/2036

    1,225       1,526  

 

 

 

276

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

KeySpan Gas East

               

5.819%, 04/01/2041 (A)

   $ 925     $ 1,111  

MidAmerican Energy

               

4.800%, 09/15/2043

    325       377  

4.400%, 10/15/2044

    1,350       1,502  

MidAmerican Energy MTN

               

5.800%, 10/15/2036

    340       432  

Narragansett Electric

               

4.170%, 12/10/2042 (A)

     1,320       1,376  

Northern States Power

               

5.350%, 11/01/2039

    1,195       1,497  

3.600%, 09/15/2047

    400       403  

3.400%, 08/15/2042

    385       379  

3.200%, 04/01/2052

    155       151  

NSTAR Electric

               

4.400%, 03/01/2044

    550       607  

Oglethorpe Power

               

5.250%, 09/01/2050

    836       958  

5.050%, 10/01/2048

    775       888  

Oncor Electric Delivery LLC

               

5.350%, 10/01/2052

    535       701  

5.300%, 06/01/2042

    285       350  

5.250%, 09/30/2040

    665       805  

2.700%, 11/15/2051 (A)

     640       544  

Pacific Gas and Electric

               

5.250%, 03/01/2052

    495       521  

4.200%, 06/01/2041

    220       200  

3.500%, 08/01/2050

    210       174  

3.300%, 08/01/2040

    185       156  

2.500%, 02/01/2031

    265       236  

PacifiCorp

               

6.000%, 01/15/2039

    440       558  

PECO Energy

               

3.900%, 03/01/2048

    1,015       1,084  

Piedmont Natural Gas

               

4.650%, 08/01/2043

    330       370  

PPL Electric Utilities

               

4.150%, 06/15/2048

    335       364  

4.125%, 06/15/2044

    870       934  

Public Service Electric and Gas MTN

               

4.050%, 05/01/2048

    255       272  

Public Service of Colorado

               

6.500%, 08/01/2038

    320       427  

6.250%, 09/01/2037

    570       770  

4.050%, 09/15/2049

    113       121  

Puget Sound Energy

               

4.223%, 06/15/2048

    680       732  

2.893%, 09/15/2051

    335       295  

San Diego Gas & Electric

               

3.320%, 04/15/2050

    242       228  

Sempra Energy

               

6.000%, 10/15/2039

    865       1,099  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.800%, 02/01/2038

  $ 585     $ 592  

Southern California Edison

               

6.050%, 03/15/2039

    405       491  

3.900%, 03/15/2043

    245       237  

3.650%, 02/01/2050

    95       90  

Southern California Gas

               

3.750%, 09/15/2042

    520       518  

Southern Gas Capital

               

5.875%, 03/15/2041

    1,008       1,259  

4.400%, 06/01/2043

    395       409  

Southwestern Electric Power

               

6.200%, 03/15/2040

    1,375       1,747  

Southwestern Public Service

               

4.400%, 11/15/2048

    550       613  

Tampa Electric

               

4.300%, 06/15/2048

    815       898  

Tucson Electric Power

               

3.250%, 05/01/2051

    760       690  

Virginia Electric and Power

               

4.600%, 12/01/2048

    400       458  

4.450%, 02/15/2044

    750       833  

2.450%, 12/15/2050

    220       179  

Wisconsin Public Service

               

3.300%, 09/01/2049

    175       166  

2.850%, 12/01/2051

    500       435  
                 
              85,409  
                 

Total Corporate Obligations

                

(Cost $556,633) ($ Thousands)

             576,368  
                 
                 
                 

U.S. TREASURY OBLIGATIONS — 26.8%

U.S. Treasury Bills

               

0.672%, 08/18/2022 (D)

     8,845       8,818  

0.426%, 07/28/2022 (D)

     605       604  

U.S. Treasury Bonds

               

3.750%, 08/15/2041

    1,660       2,057  

3.750%, 11/15/2043

    2,105       2,630  

3.625%, 08/15/2043

    1,837       2,252  

3.625%, 02/15/2044

    1,901       2,335  

3.125%, 11/15/2041

    2,170       2,471  

3.125%, 02/15/2043

    2,625       2,989  

3.125%, 08/15/2044

    3,605       4,122  

3.000%, 11/15/2044

    5,400       6,060  

3.000%, 05/15/2045

    5,505       6,188  

3.000%, 05/15/2047

    3,030       3,451  

2.875%, 11/15/2046

    3,330       3,696  

2.750%, 08/15/2042

    3,090       3,327  

2.750%, 11/15/2047

    4,180       4,583  

2.500%, 05/15/2046

    5,510       5,706  

2.375%, 02/15/2042

    7,325       7,480  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

277

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS (continued)

2.375%, 05/15/2051

  $ 3,565     $ 3,717  

2.250%, 05/15/2041

    4,499       4,485  

2.250%, 02/15/2052

    4,845       4,936  

2.000%, 11/15/2041

    56,499       54,089  

2.000%, 08/15/2051

    29,346       28,149  

1.875%, 02/15/2041

    4,412       4,148  

1.875%, 02/15/2051

    14,479       13,479  

1.875%, 11/15/2051

    20,525       19,149  

1.750%, 08/15/2041

    18,572       17,022  

1.375%, 11/15/2040

    120       104  

1.375%, 08/15/2050

    5,240       4,314  

1.125%, 05/15/2040

    1,240       1,031  

1.125%, 08/15/2040

    329       273  

U.S. Treasury Inflation-Protected Securities

               

1.000%, 02/15/2049

    1,641       2,147  

0.125%, 02/15/2051

    840       903  

0.125%, 02/15/2052

    467       505  

U.S. Treasury Notes

               

1.875%, 02/28/2029

    3,085       3,096  

1.875%, 02/15/2032

    490       492  

1.375%, 10/31/2028

    2,290       2,224  

1.250%, 08/15/2031

    3,265       3,100  

U.S. Treasury STRIPS

               

3.307%, 08/15/2043 (B)

     9,912       5,994  

2.003%, 08/15/2045 (B)

     5,710       3,295  
         

Total U.S. Treasury Obligations

        

(Cost $242,419) ($ Thousands)

     245,421  
                 
                 
                 

MUNICIPAL BONDS — 3.2%

California — 1.7%

        

Bay Area, Toll Authority, Build America Project, RB

               

6.263%, 04/01/2049

    600       912  

California State, Build America Project, GO

               

7.500%, 04/01/2034

    2,565       3,746  

7.350%, 11/01/2039

    1,645       2,450  

Los Angeles, Community College District, Build America Project, GO

               

6.750%, 08/01/2049

    590       937  

Los Angeles, Department of Airports, RB

               

6.582%, 05/15/2039

    275       357  

Los Angeles, Unified School District, Build America Project, Ser RY, GO

               

6.758%, 07/01/2034

    1,360       1,830  

Riverside County, Pension Obligation, RB

               

3.818%, 02/15/2038

    345       370  

San Francisco, Public Utilities Commission, Water Revenue, Build America Project, Ser DE, RB

               

6.000%, 11/01/2040

    1,235       1,660  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

University of California Regents, Ser H, RB

               

6.548%, 05/15/2048

  $ 605     $ 890  

University of California Regents, Ser N, RB

               

Callable 11/15/2059 @ 100

               

3.256%, 05/15/2060

    795       811  

University of California, Ser AD, RB

               

4.858%, 05/15/2112

    635       843  

University of California, Ser AP, RB

               

3.931%, 05/15/2045

    475       509  
                 
              15,315  
                 

Georgia — 0.1%

        

Georgia State, Municipal Electric Authority, Build America Project, RB

               

6.637%, 04/01/2057

    612       878  
                 
                 

Illinois — 0.2%

        

Greater Chicago, Metropolitan Water Reclamation District, GO

               

5.720%, 12/01/2038

    1,480       1,960  
                 
                 

Maryland — 0.0%

        

Baltimore, Revenue Authority, Water Project, Ser B, RB

               

Callable 07/01/2030 @ 100

               

2.814%, 07/01/2040

    370       363  
                 
                 

Missouri — 0.1%

        

Missouri State, Joint Municipal Electric Utility Commission, Build America Project, Ser A, RB

               

6.890%, 01/01/2042

    600       868  
                 
                 

New Jersey — 0.0%

        

New Jersey State, Turnpike Authority, Build America Project, RB

               

7.414%, 01/01/2040

    60       93  
                 
                 

New York — 0.7%

        

New York & New Jersey, Port Authority, RB

               

4.458%, 10/01/2062

    350       420  

New York City, Municipal Water Finance Authority, Build America Project, RB

               

5.440%, 06/15/2043

    570       772  

New York City, Transitional Finance Authority, Build America Project, RB

               

5.572%, 11/01/2038

    885       1,099  

New York City, Transitional Finance Authority, Future Tax Secured Revenue, Build America Project, RB

               

5.508%, 08/01/2037

    1,000       1,253  

 

 

 

278

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

New York State, Dormitory Authority, Ser F, RB

               

3.110%, 02/15/2039

  $ 1,215     $ 1,232  

New York State, Urban Development, RB

               

5.770%, 03/15/2039

    1,470       1,747  
                 
              6,523  
                 

Ohio — 0.0%

        

JobsOhio Beverage System, Ser A, RB

               

2.833%, 01/01/2038

    325       318  
                 
                 

Texas — 0.4%

        

Grand Parkway, Transportation Corp, Ser E, RB

               

5.184%, 10/01/2042

    530       669  

North Texas, Tollway Authority, Build America Project, RB

               

6.718%, 01/01/2049

    490       765  

North Texas, Tollway Authority, RB

               

Callable 01/01/2029 @ 100

               

3.029%, 01/01/2040

    735       725  

Texas State, Private Activity Bond Surface Transportation, RB

               

3.922%, 12/31/2049

    355       356  

University of Texas, Build America Bonds, RB

               

5.262%, 07/01/2039

    575       761  
                 
              3,276  
                 
                 

Total Municipal Bonds

                

(Cost $25,979) ($ Thousands)

             29,594  
                 
                 
                 

U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.1%

FNMA, PO MTN

                

0.000%, 05/15/2030(B)

     8,380       7,052  

Resolution Funding Principal STRIP

                

4.326%, 04/15/2030(B)

     17,770       14,974  

Tennessee Valley Authority

                

5.250%, 09/15/2039

     2,615       3,507  

Tennessee Valley Authority, PO

                

0.000%, 01/15/2038(B)

     3,700       2,393  
                 
                 
         

Total U.S. Government Agency Obligations

        

(Cost $23,546) ($ Thousands)

     27,926  
                 
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

SOVEREIGN DEBT — 1.3%
                 

Airport Authority

                

3.500%, 01/12/2062(A)

   $ 705     $ 693  

Indonesia Government International Bond

                

4.350%, 01/11/2048

     45       46  

3.700%, 10/30/2049

     1,025       968  

Israel Government AID Bond

                

5.500%, 09/18/2033

     1,400       1,865  

Israel Government International Bond

                

3.875%, 07/03/2050

     214       227  

3.375%, 01/15/2050

     993       970  

Mexico Government International Bond

                

5.750%, 10/12/2110

     264       272  

5.000%, 04/27/2051

     1,190       1,207  

4.750%, 04/27/2032

     280       299  

4.500%, 01/31/2050

     1,300       1,229  

4.400%, 02/12/2052

     1,030       947  

4.280%, 08/14/2041

     279       262  

3.250%, 04/16/2030

     335       326  

Minera Mexico

                

4.500%, 01/26/2050(A)

     320       307  

Panama Government International Bond

                

4.500%, 04/16/2050

     550       537  

4.500%, 04/01/2056

     128       124  

4.300%, 04/29/2053

     65       61  

3.870%, 07/23/2060

     295       254  

Perusahaan Penerbit SBSN Indonesia III

                

3.550%, 06/09/2051(A)

     145       133  

Philippine Government International Bond

                

3.200%, 07/06/2046

     660       587  

2.950%, 05/05/2045

     185       157  

Uruguay Government International Bond

                

5.100%, 06/18/2050

     290       346  
                 

Total Sovereign Debt

        

(Cost $12,008) ($ Thousands)

     11,817  
                 
                 
                 

MORTGAGE-BACKED SECURITIES — 0.9%

Agency Mortgage-Backed Obligations — 0.8%

        

FHLMC REMIC CMO, Ser 2004-2733, Cl ME

                

5.000%, 01/15/2034

     56       61  

FHLMC REMIC CMO, Ser 2004-2748, Cl ZT

                

5.500%, 02/15/2024

     149       152  

FHLMC REMIC CMO, Ser 2010-3756, Cl PZ

                

4.000%, 11/15/2040

     3,616       3,842  

FNMA CMO, Ser 2004-12, Cl ZX

                

6.000%, 03/25/2034

     977       1,101  

FNMA CMO, Ser 2004-80, Cl XZ

                

5.000%, 11/25/2034

     653       707  

FNMA REMIC CMO, Ser 2007-68, Cl SC, IO

                

6.513%, 07/25/2037(C)

     13       2  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

279

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GNMA ARM

                

1.875%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.500%, 06/20/2032(C)

   $ 26     $ 27  

GNMA CMO, Ser 2009-8, Cl PS, IO

                

6.174%, 08/16/2038(C)

     19       1  

GNMA CMO, Ser 2010-4, Cl NS, IO

                

6.264%, 01/16/2040(C)

     46       8  

GNMA CMO, Ser 2011-70, Cl BO, PO

                

0.000%, 05/20/2041(B)

     1,833       1,513  
                 
                 
              7,414  

Non-Agency Mortgage-Backed Obligations — 0.1%

        

Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5

                

5.056%, 03/25/2037

     86       88  

DSLA Mortgage Loan Trust, Ser 2005-AR2, Cl 2A1A

                

0.591%, ICE LIBOR USD 1 Month + 0.420%, 03/19/2045(C)

     30       30  

Harborview Mortgage Loan Trust, Ser 2004-8, Cl 2A4A

                

0.971%, ICE LIBOR USD 1 Month + 0.800%, 11/19/2034(C)

     64       62  

Indymac Index Mortgage Loan Trust, Ser 2004-AR12, Cl A1

                

0.967%, ICE LIBOR USD 1 Month + 0.780%, 12/25/2034(C)

     54       45  

Indymac Index Mortgage Loan Trust, Ser 2004-AR5, Cl 2A1B

                

0.987%, ICE LIBOR USD 1 Month + 0.800%, 08/25/2034(C)

     28       27  

Indymac Index Mortgage Loan Trust, Ser 2004-AR7, Cl A2

                

1.047%, ICE LIBOR USD 1 Month + 0.860%, 09/25/2034(C)

     10       10  

RAMP Trust, Ser 2004-SL1, Cl A7

                

7.000%, 11/25/2031

     7       7  

Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1

                

2.820%, 12/25/2034(C)

     13       13  

WaMu Mortgage Pass-Through Certificates, Ser 2005-AR2, Cl 2A21

                

0.847%, ICE LIBOR USD 1 Month + 0.660%, 01/25/2045(C)

     34       34  
                 
                 
              316  

Total Mortgage-Backed Securities

                

(Cost $5,603) ($ Thousands)

             7,730  
                 
                 

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

CASH EQUIVALENT — 1.0%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**

     8,721,431     $ 8,721  
                 

Total Cash Equivalent

                

(Cost $8,721) ($ Thousands)

             8,721  
                 
                 

Total Investments in Securities — 99.3%

                

(Cost $874,909) ($ Thousands)

  $ 907,577  
                 
                 
                 
   


Contracts

          

PURCHASED SWAPTION* — 0.0%

Total Purchased Swaption (E)

                

(Cost $47) ($ Thousands)

     1,500,000     $ 59  
                 
                 

 

 

 

280

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Continued)

 

 

A list of the open OTC swaption contracts held by the Fund at February 28, 2022 is as follows:

 

Description

  

Counterparty

    

Number of Contracts/ Notional Amount

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

PURCHASED SWAPTION — 0.0%

                        

Put Swaptions

                                

Swaption 3Y30Y*

     Bank of America Merrill Lynch       1,500,000     $ 2.75       01/20/2024     $ 59  

 

A list of open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

U.S. 10-Year Treasury Note

     219       Jun-2022     $ 27,726     $ 27,909     $ 183  

U.S. Ultra Long Treasury Bond

     254       Jun-2022       46,606       47,228       622  
                      74,332       75,137       805  

Short Contracts

                                        

U.S. 2-Year Treasury Note

     (53 )     Jul-2022     $ (11,384 )   $ (11,407 )   $ (23 )

U.S. 5-Year Treasury Note

     (48 )     Jul-2022       (5,643 )     (5,677 )     (34 )

U.S. Long Treasury Bond

     (75 )     Jun-2022       (11,593 )     (11,752 )     (159 )

Ultra 10-Year U.S. Treasury Note

     (185 )     Jun-2022       (25,884 )     (26,146 )     (262 )
                      (54,504 )     (54,982 )     (478 )
                    $ 19,828     $ 20,155     $ 327  

 

A list of the open centrally cleared swap agreements held by the Fund at February 28, 2022, is as follows:

 

Interest Rate Swaps

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

3 MONTH USD - LIBOR

     1.0725% FIXED       Semi-Annually       07/24/2025       USD       4,035     $ (77 )   $ –     $ (77 )

3 MONTH USD LIBOR

     1.0255% FIXED       Semi-Annually       07/24/2025       USD       8,070       (161 )     –       (161 )

3 MONTH USD LIBOR

     1.0335% FIXED       Semi-Annually       07/24/2025       USD       5,980       (118 )     –       (118 )

MONTHS USD LIBOR

     0.39 % FIXED       Semi-Annually       09/28/2025       USD       9,070       (114 )     –       (114 )

0.6875%

     MONTH USD LIBOR       Semi-Annually       12/07/2025       USD       8,590       (55 )     –       (55 )

3 MONTH USD - LIBOR

     1.8075% FIXED       Quarterly       07/24/2053       USD       335       16       –       16  

3 MONTH USD LIBOR

     1.7725% FIXED       Quarterly       07/24/2053       USD       670       36       –       36  

3 MONTH USD LIBOR

     1.785% FIXED       Quarterly       07/24/2053       USD       505       26       –       26  

MONTHS USD LIBOR

     0.87% FIXED       Quarterly       09/28/2053       USD       775       24       –       24  

MONTH USD LIBOR

     1.7425%       Quarterly       12/07/2053       USD       720       42       –       42  
                                            $ (381 )   $ –     $ (381 )

 

 

 

 

 

Percentages are based on Net Assets of $914,285 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

(A)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On February 28, 2022, the value of these securities amounted to $57,153 ($ Thousands), representing 6.3% of the Net Assets of the Fund.

(B)

Zero coupon security.

(C)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(D)

Interest rate represents the security's effective yield at the time of purchase.

(E)

Refer to table below for details on Swaption Contracts.

 

ARM — Adjustable Rate Mortgage

Cl — Class

CMO — Collateralized Mortgage Obligation

DAC — Designated Activity Company

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

ICE— Intercontinental Exchange

IO — Interest Only — face amount represents notional amount

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

Ltd. — Limited

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

281

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Fund (Concluded)

 

MTN — Medium Term Note

PLC — Public Limited Company

PO — Principal Only

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

S&P— Standard & Poor's

Ser — Series

SOFR — Secured Overnight Financing

STRIPS — Separately Traded Registered Interest and Principal Securities

USD — U.S. Dollar

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Corporate Obligations

     –       576,368       –       576,368  

U.S. Treasury Obligations

     38,019       207,402       –       245,421  

Municipal Bonds

     –       29,594       –       29,594  

U.S. Government Agency Obligations

     –       27,926       –       27,926  

Sovereign Debt

     –       11,817       –       11,817  

Mortgage-Backed Securities

     –       7,730       –       7,730  

Cash Equivalent

     8,721       –       –       8,721  

Total Investments in Securities

     46,740       860,837       –       907,577  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Purchased Swaptions

     –       59       –       59  

Futures Contracts*

                                

Unrealized Appreciation

     805       –       –       805  

Unrealized Depreciation

     (478 )     –       –       (478 )

Centrally Cleared Swaps

                                

Interest Rate Swaps*

                                

Unrealized Appreciation

     –       144       –       144  

Unrealized Depreciation

     –       (525 )     –       (525 )

Total Other Financial Instruments

     327       (322 )     –       5  

 

*

Futures contracts and Swap Contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information regarding the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

 

 
 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 72,879     $ 472,314     $ (536,472 )   $ —     $ -     $ 8,721       8,721,431     $ 1     $ —  

 

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

 

 

282

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS — 89.1%

Communication Services — 6.9%

        

Activision Blizzard

               

2.500%, 09/15/2050

  $ 2,200     $ 1,850  

Alphabet

               

2.250%, 08/15/2060

    8,008       6,396  

1.900%, 08/15/2040

    1,295       1,086  

America Movil

               

6.125%, 03/30/2040

    4,475       5,708  

AT&T

               

6.350%, 03/15/2040

    50       63  

5.350%, 09/01/2040

    2,820       3,306  

4.650%, 06/01/2044

    375       397  

4.300%, 12/15/2042

    500       509  

3.800%, 12/01/2057

    2,239       2,101  

3.550%, 09/15/2055

    2,040       1,850  

3.500%, 09/15/2053

    8,722       7,975  

Charter Communications Operating LLC / Charter Communications Operating Capital

               

6.834%, 10/23/2055

    580       727  

6.484%, 10/23/2045

    535       639  

4.800%, 03/01/2050

    930       909  

3.850%, 04/01/2061

    500       415  

Comcast

               

6.500%, 11/15/2035

    420       557  

5.650%, 06/15/2035

    3,620       4,478  

4.600%, 08/15/2045

    1,150       1,272  

4.250%, 01/15/2033

    4,035       4,399  

4.200%, 08/15/2034

    3,415       3,733  

4.049%, 11/01/2052

    6,195       6,497  

4.000%, 03/01/2048

    4,645       4,755  

3.969%, 11/01/2047

    5,255       5,342  

3.900%, 03/01/2038

    5,135       5,228  

3.400%, 04/01/2030

    775       799  

3.400%, 07/15/2046

    8,125       7,636  

3.250%, 11/01/2039

    265       251  

2.987%, 11/01/2063 (A)

     30,524       25,414  

2.937%, 11/01/2056 (A)

     31,875       26,828  

2.887%, 11/01/2051 (A)

     7,841       6,802  

2.800%, 01/15/2051

    1,820       1,519  

Cox Communications

               

4.800%, 02/01/2035 (A)

     1,400       1,540  

4.700%, 12/15/2042 (A)

     294       325  

Level 3 Financing

               

3.875%, 11/15/2029 (A)

     535       511  

NBCUniversal Media LLC

               

4.450%, 01/15/2043

    1,615       1,725  

NTT Finance

               

1.591%, 04/03/2028 (A)

     2,360       2,222  

Paramount Global

               

5.900%, 10/15/2040

    40       48  

5.850%, 09/01/2043

    790       942  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.850%, 12/15/2034

  $ 300     $ 315  

4.600%, 01/15/2045

    115       116  

4.375%, 03/15/2043

    2,164       2,159  

SES GLOBAL Americas Holdings GP

               

5.300%, 03/25/2044 (A)

     1,550       1,620  

Tencent Holdings MTN

               

3.840%, 04/22/2051 (A)

     1,245       1,140  

Time Warner Cable LLC

               

7.300%, 07/01/2038

    381       477  

5.500%, 09/01/2041

    650       693  

4.500%, 09/15/2042

    500       471  

Time Warner Entertainment

               

8.375%, 07/15/2033

    1,709       2,332  

T-Mobile USA

               

3.400%, 10/15/2052 (A)

     1,350       1,196  

3.000%, 02/15/2041

    925       802  

TWDC Enterprises 18

               

4.125%, 12/01/2041

    1,545       1,648  

TWDC Enterprises 18 MTN

               

4.125%, 06/01/2044

    2,104       2,258  

Verizon Communications

               

5.250%, 03/16/2037

    2,350       2,800  

4.862%, 08/21/2046

    1,100       1,315  

4.272%, 01/15/2036

    2,200       2,397  

3.875%, 03/01/2052

    1,284       1,328  

3.700%, 03/22/2061

    1,045       996  

3.550%, 03/22/2051

    100       97  

3.400%, 03/22/2041

    1,530       1,473  

3.000%, 11/20/2060

    1,465       1,217  

2.987%, 10/30/2056

    1,468       1,252  

2.650%, 11/20/2040

    1,995       1,731  

Vodafone Group PLC

               

5.250%, 05/30/2048

    245       281  

4.875%, 06/19/2049

    1,060       1,177  

Walt Disney

               

6.650%, 11/15/2037

    990       1,346  

6.400%, 12/15/2035

    2,043       2,715  

4.700%, 03/23/2050

    2,505       2,962  

4.625%, 03/23/2040

    295       338  

3.800%, 05/13/2060

    700       722  

3.600%, 01/13/2051

    14,054       14,220  

3.500%, 05/13/2040

    1,435       1,430  

2.750%, 09/01/2049

    23,851       20,836  
                 
              222,614  
                 

Consumer Discretionary — 4.7%

        

7-Eleven

               

2.500%, 02/10/2041 (A)

     870       728  

Alibaba Group Holding

               

4.400%, 12/06/2057

    1,550       1,525  

Alimentation Couche-Tard

               

4.500%, 07/26/2047 (A)

     900       947  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

283

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Amazon.com

               

4.050%, 08/22/2047

  $ 9,615     $ 10,712  

3.875%, 08/22/2037

    3,384       3,705  

3.250%, 05/12/2061

    8,826       8,400  

3.100%, 05/12/2051

    6,809       6,582  

2.875%, 05/12/2041

    935       892  

2.700%, 06/03/2060

    4,255       3,630  

2.500%, 06/03/2050

    8,899       7,682  

BMW US Capital LLC

               

4.150%, 04/09/2030 (A)

     540       588  

2.550%, 04/01/2031 (A)

     2,065       2,003  

Boston University

               

4.061%, 10/01/2048

    1,800       2,011  

Brown University

               

2.924%, 09/01/2050

    1,298       1,271  

California Institute of Technology

               

4.321%, 08/01/2045

    650       779  

Dollar Tree

               

3.375%, 12/01/2051

    655       588  

Emory University

               

2.969%, 09/01/2050

    1,660       1,581  

Georgetown University

               

5.215%, 10/01/2118

    1,921       2,528  

4.315%, 04/01/2049

    1,795       1,983  

2.943%, 04/01/2050

    540       490  

Home Depot

               

5.950%, 04/01/2041

    2,700       3,576  

4.500%, 12/06/2048

    4,705       5,456  

4.400%, 03/15/2045

    6,160       6,941  

4.250%, 04/01/2046

    8,912       9,823  

4.200%, 04/01/2043

    1,865       2,061  

3.900%, 06/15/2047

    11,963       12,701  

3.350%, 04/15/2050

    2,020       1,975  

3.300%, 04/15/2040

    1,465       1,466  

3.125%, 12/15/2049

    415       391  

2.750%, 09/15/2051

    2,550       2,263  

2.375%, 03/15/2051

    5,649       4,647  

Johns Hopkins University

               

4.083%, 07/01/2053

    2,000       2,424  

2.813%, 01/01/2060

    490       450  

Lowe's

               

3.700%, 04/15/2046

    1,016       989  

Massachusetts Institute of Technology

               

5.600%, 07/01/2111

    2,840       4,279  

2.294%, 07/01/2051

    21       18  

NIKE

               

3.625%, 05/01/2043

    1,295       1,349  

3.375%, 03/27/2050

    515       526  

3.250%, 03/27/2040

    1,075       1,076  

Northwestern University

               

3.688%, 12/01/2038

    2,070       2,254  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Pomona College

               

2.888%, 01/01/2051

  $ 1,240     $ 1,170  

President & Fellows of Harvard College

               

3.619%, 10/01/2037

    400       437  

2.517%, 10/15/2050

    1,410       1,251  

Princeton University

               

5.700%, 03/01/2039

    1,149       1,540  

Target

               

2.950%, 01/15/2052

    5,135       4,865  

Trustees of Boston College

               

3.042%, 07/01/2057

    1,230       1,179  

Trustees of Tufts College

               

3.099%, 08/15/2051

    2,667       2,627  

University of Chicago

               

4.411%, 10/01/2044

    715       740  

4.003%, 10/01/2053

    1,675       1,911  

2.761%, 04/01/2045

    4,620       4,431  

University of Southern California

               

3.841%, 10/01/2047

    1,320       1,452  

3.028%, 10/01/2039

    2,300       2,252  

2.805%, 10/01/2050

    925       851  

XLIT

               

5.250%, 12/15/2043

    2,405       3,050  
                 
              151,046  
                 

Consumer Staples — 3.6%

        

Altria Group

               

10.200%, 02/06/2039

    2,501       3,826  

9.950%, 11/10/2038

    1,555       2,276  

5.375%, 01/31/2044

    2,200       2,296  

4.500%, 05/02/2043

    100       93  

4.450%, 05/06/2050

    835       766  

4.250%, 08/09/2042

    575       525  

3.875%, 09/16/2046

    3,650       3,137  

Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide

               

4.900%, 02/01/2046

    2,841       3,210  

Anheuser-Busch InBev Worldwide

               

8.200%, 01/15/2039

    1,445       2,207  

8.000%, 11/15/2039

    2,786       4,188  

4.600%, 04/15/2048

    220       241  

3.750%, 07/15/2042

    320       316  

Archer-Daniels-Midland

               

2.700%, 09/15/2051

    2,075       1,882  

BAT Capital

               

4.390%, 08/15/2037

    1,535       1,471  

3.734%, 09/25/2040

    110       95  

Coca-Cola

               

3.000%, 03/05/2051

    620       590  

2.875%, 05/05/2041

    1,725       1,635  

2.500%, 06/01/2040

    340       308  

2.500%, 03/15/2051

    5,100       4,369  

 

 

 

284

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.000%, 03/05/2031

  $ 675     $ 639  

Coca-Cola Femsa

               

5.250%, 11/26/2043

    3,070       3,652  

Diageo Capital

               

2.125%, 04/29/2032

    535       502  

Estee Lauder

               

3.125%, 12/01/2049

    2,575       2,513  

Fomento Economico Mexicano

               

3.500%, 01/16/2050

    2,790       2,613  

Hormel Foods

               

3.050%, 06/03/2051

    6,495       6,208  

JBS USA LUX

               

4.375%, 02/02/2052 (A)

     1,250       1,118  

Kimberly-Clark

               

5.300%, 03/01/2041

    555       690  

3.900%, 05/04/2047

    2,275       2,468  

Kraft Heinz Foods

               

7.125%, 08/01/2039 (A)

     1,160       1,576  

5.200%, 07/15/2045

    400       451  

4.875%, 10/01/2049

    470       521  

Kroger

               

5.400%, 01/15/2049

    1,371       1,704  

Mars

               

4.200%, 04/01/2059 (A)

     1,385       1,565  

4.125%, 04/01/2054 (A)

     1,125       1,250  

3.950%, 04/01/2049 (A)

     1,780       1,930  

3.875%, 04/01/2039 (A)

     1,650       1,741  

2.375%, 07/16/2040 (A)

     1,680       1,447  

Nestle Holdings

               

4.000%, 09/24/2048 (A)

     1,410       1,570  

3.900%, 09/24/2038 (A)

     2,685       2,925  

PepsiCo

               

3.450%, 10/06/2046

    6,625       6,709  

2.750%, 10/21/2051

    3,250       2,991  

2.625%, 10/21/2041

    1,410       1,311  

Philip Morris International

               

4.875%, 11/15/2043

    2,830       3,124  

4.500%, 03/20/2042

    5,945       6,195  

4.125%, 03/04/2043

    1,886       1,889  

3.875%, 08/21/2042

    1,815       1,760  

Reynolds American

               

8.125%, 05/01/2040

    2,390       3,116  

5.850%, 08/15/2045

    1,595       1,726  

Roche Holdings

               

2.607%, 12/13/2051 (A)

     10,468       9,261  

Walmart

               

2.650%, 09/22/2051

    6,450       5,901  

2.500%, 09/22/2041

    3,410       3,129  
                 
              117,626  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Energy — 5.4%

        

BG Energy Capital

               

5.125%, 10/15/2041 (A)

   $ 3,605     $ 4,315  

BP Capital Markets America

               

3.379%, 02/08/2061

    12,776       11,254  

3.060%, 06/17/2041

    1,840       1,649  

3.001%, 03/17/2052

    1,310       1,113  

3.000%, 02/24/2050

    2,445       2,089  

2.939%, 06/04/2051

    6,350       5,341  

2.772%, 11/10/2050

    2,800       2,338  

Burlington Resources LLC

               

5.950%, 10/15/2036

    320       413  

Chevron USA

               

2.343%, 08/12/2050

    1,685       1,399  

ConocoPhillips

               

6.500%, 02/01/2039

    7,758       10,784  

5.900%, 05/15/2038

    3,700       4,768  

4.300%, 11/15/2044

    3,790       4,164  

3.800%, 03/15/2052

    1,710       1,737  

Devon Energy

               

7.875%, 09/30/2031

    815       1,096  

Energy Transfer

               

6.250%, 04/15/2049

    615       710  

6.050%, 06/01/2041

    2,225       2,497  

5.400%, 10/01/2047

    1,902       2,035  

5.300%, 04/15/2047

    185       193  

5.150%, 03/15/2045

    75       76  

5.000%, 05/15/2050

    135       140  

Eni SpA

               

5.700%, 10/01/2040 (A)

     2,285       2,711  

Enterprise Products Operating LLC

               

5.950%, 02/01/2041

    722       880  

EOG Resources

               

4.375%, 04/15/2030

    1,115       1,231  

3.900%, 04/01/2035

    2,522       2,706  

Equinor

               

5.100%, 08/17/2040

    1,415       1,712  

4.800%, 11/08/2043

    2,284       2,697  

3.700%, 04/06/2050

    2,200       2,287  

3.625%, 04/06/2040

    2,675       2,752  

2.375%, 05/22/2030

    1,410       1,373  

Exxon Mobil

               

4.327%, 03/19/2050

    2,198       2,485  

4.227%, 03/19/2040

    3,000       3,303  

3.567%, 03/06/2045

    4,555       4,585  

3.452%, 04/15/2051

    15,915       15,730  

3.095%, 08/16/2049

    705       658  

2.995%, 08/16/2039

    2,346       2,251  

Hess

               

6.000%, 01/15/2040

    3,100       3,662  

Lundin Energy Finance BV

               

3.100%, 07/15/2031 (A)

     930       887  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

285

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Marathon Petroleum

               

5.000%, 09/15/2054

  $ 530     $ 563  

Motiva Enterprises

               

6.850%, 01/15/2040 (A)

     3,225       3,693  

MPLX

               

4.500%, 04/15/2038

    465       479  

Northern Natural Gas

               

4.300%, 01/15/2049 (A)

     1,530       1,617  

Occidental Petroleum

               

4.300%, 08/15/2039

    462       437  

Petroleos Mexicanos

               

7.690%, 01/23/2050

    2,320       2,084  

6.950%, 01/28/2060

    260       216  

Phillips 66

               

3.300%, 03/15/2052

    1,425       1,260  

Saudi Arabian Oil

               

3.500%, 11/24/2070 (A)

     1,130       989  

3.250%, 11/24/2050 (A)

     375       333  

Shell International Finance BV

               

6.375%, 12/15/2038

    3,321       4,518  

4.375%, 05/11/2045

    6,967       7,718  

4.000%, 05/10/2046

    5,703       6,046  

3.750%, 09/12/2046

    7,539       7,884  

3.625%, 08/21/2042

    2,200       2,217  

3.000%, 11/26/2051

    3,447       3,139  

Suncor Energy

               

5.950%, 12/01/2034

    3,080       3,681  

Suncor Energy Ventures

               

6.000%, 04/01/2042 (A)

     2,375       2,646  

Tennessee Gas Pipeline LLC

               

8.375%, 06/15/2032

    2,020       2,694  

TotalEnergies Capital International

               

3.386%, 06/29/2060

    450       417  

3.127%, 05/29/2050

    10,005       9,246  

2.986%, 06/29/2041

    1,365       1,251  

TransCanada PipeLines

               

7.250%, 08/15/2038

    1,765       2,445  

4.625%, 03/01/2034

    1,965       2,143  

Williams

               

5.400%, 03/04/2044

    1,000       1,117  
                 
              178,854  
                 

Financials — 21.2%

        

AIA Group MTN

               

4.875%, 03/11/2044 (A)

     3,372       3,977  

AIG SunAmerica Global Financing X

               

6.900%, 03/15/2032 (A)

     4,220       5,557  

Allstate

               

4.500%, 06/15/2043

    353       398  

4.200%, 12/15/2046

    215       237  

American International Group

               

4.800%, 07/10/2045

    200       230  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.750%, 04/01/2048

  $ 60     $ 69  

4.500%, 07/16/2044

    1,745       1,936  

4.375%, 06/30/2050

    330       365  

Aon

               

3.900%, 02/28/2052

    940       944  

Apollo Management Holdings

               

5.000%, 03/15/2048 (A)

     2,125       2,562  

4.872%, 02/15/2029 (A)

     2,245       2,486  

Arthur J Gallagher

               

3.500%, 05/20/2051

    975       916  

Athene Global Funding

               

2.673%, 06/07/2031 (A)

     6,565       6,168  

Athene Holding

               

3.450%, 05/15/2052

    810       709  

Bank of America

               

7.750%, 05/14/2038

    4,140       5,988  

6.110%, 01/29/2037

    1,395       1,736  

6.000%, 10/15/2036

    3,700       4,687  

3.311%, U.S. SOFR + 1.580%, 04/22/2042 (B)

     6,062       5,810  

2.972%, U.S. SOFR + 1.330%, 02/04/2033 (B)

     1,135       1,112  

2.972%, U.S. SOFR + 1.560%, 07/21/2052 (B)

     5,739       5,102  

2.572%, U.S. SOFR + 1.210%, 10/20/2032 (B)

     5,380       5,093  

2.299%, U.S. SOFR + 1.220%, 07/21/2032 (B)

     1,075       997  

Bank of America MTN

               

5.875%, 02/07/2042

    10,847       14,063  

5.000%, 01/21/2044

    1,750       2,047  

4.330%, ICE LIBOR USD 3 Month + 1.520%, 03/15/2050 (B)

     8,435       9,359  

4.244%, ICE LIBOR USD 3 Month + 1.814%, 04/24/2038 (B)

     2,028       2,210  

4.083%, ICE LIBOR USD 3 Month + 3.150%, 03/20/2051 (B)

     12,130       13,015  

4.078%, ICE LIBOR USD 3 Month + 1.320%, 04/23/2040 (B)

     9,615       10,058  

3.970%, ICE LIBOR USD 3 Month + 1.070%, 03/05/2029 (B)

     30       31  

2.884%, ICE LIBOR USD 3 Month + 1.190%, 10/22/2030 (B)

     585       574  

2.676%, U.S. SOFR + 1.930%, 06/19/2041 (B)

     14,955       13,132  

Berkshire Hathaway

               

4.500%, 02/11/2043

    1,100       1,256  

Berkshire Hathaway Finance

               

4.400%, 05/15/2042

    1,750       1,968  

4.300%, 05/15/2043

    1,540       1,710  

4.250%, 01/15/2049

    3,025       3,373  

4.200%, 08/15/2048

    1,575       1,742  

 

 

 

286

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.850%, 10/15/2050

  $ 7,186     $ 6,304  

2.500%, 01/15/2051

    4,280       3,549  

Blackstone Holdings Finance LLC

               

6.250%, 08/15/2042 (A)

     1,313       1,735  

5.000%, 06/15/2044 (A)

     2,050       2,369  

2.000%, 01/30/2032 (A)

     1,035       939  

Carlyle Holdings II Finance LLC

               

5.625%, 03/30/2043 (A)

     3,818       4,544  

Chubb INA Holdings

               

6.700%, 05/15/2036

    4,870       6,699  

4.350%, 11/03/2045

    3,020       3,449  

3.050%, 12/15/2061

    7,697       6,876  

2.850%, 12/15/2051

    3,465       3,095  

CI Financial

               

4.100%, 06/15/2051

    1,820       1,726  

Cincinnati Financial

               

6.125%, 11/01/2034

    3,553       4,571  

Citigroup

               

8.125%, 07/15/2039

    3,670       5,741  

6.125%, 08/25/2036

    690       876  

5.316%, U.S. SOFR + 4.548%, 03/26/2041 (B)

     4,495       5,470  

4.650%, 07/30/2045

    1,539       1,754  

4.650%, 07/23/2048

    9,223       10,781  

4.281%, ICE LIBOR USD 3 Month + 1.839%, 04/24/2048 (B)

     1,494       1,639  

3.878%, ICE LIBOR USD 3 Month + 1.168%, 01/24/2039 (B)

     700       729  

2.904%, U.S. SOFR + 1.379%, 11/03/2042 (B)

     5,700       5,137  

Citigroup Capital III

               

7.625%, 12/01/2036

    890       1,255  

CME Group

               

4.150%, 06/15/2048

    1,634       1,867  

Commonwealth Bank of Australia

               

4.316%, 01/10/2048 (A)

     2,536       2,676  

Credit Suisse Group

               

3.091%, U.S. SOFR + 1.730%, 05/14/2032 (A)(B)

     1,095       1,038  

Deutsche Bank NY

               

3.035%, U.S. SOFR + 1.718%, 05/28/2032 (B)

     1,100       1,034  

Farmers Exchange Capital

               

7.200%, 07/15/2048 (A)

     800       1,111  

Farmers Exchange Capital II

               

6.151%, ICE LIBOR USD 3 Month + 3.744%, 11/01/2053 (A)(B)

     3,890       4,731  

Fifth Third Bancorp

               

8.250%, 03/01/2038

    1,885       2,837  

Goldman Sachs Capital I

               

6.345%, 02/15/2034

    3,940       4,928  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Goldman Sachs Group

               

6.750%, 10/01/2037

  $ 2,668     $ 3,505  

6.450%, 05/01/2036

    890       1,136  

6.250%, 02/01/2041

    6,398       8,391  

4.750%, 10/21/2045

    125       142  

4.411%, ICE LIBOR USD 3 Month + 1.430%, 04/23/2039 (B)

     8,245       8,877  

4.017%, ICE LIBOR USD 3 Month + 1.373%, 10/31/2038 (B)

     8,385       8,842  

3.436%, U.S. SOFR + 1.632%, 02/24/2043 (B)

     3,555       3,422  

3.210%, U.S. SOFR + 1.513%, 04/22/2042 (B)

     5,670       5,287  

3.102%, U.S. SOFR + 1.410%, 02/24/2033 (B)

     2,300       2,264  

2.908%, U.S. SOFR + 1.472%, 07/21/2042 (B)

     1,385       1,230  

2.650%, U.S. SOFR + 1.264%, 10/21/2032 (B)

     1,990       1,887  

2.383%, U.S. SOFR + 1.248%, 07/21/2032 (B)

     320       297  

1.992%, U.S. SOFR + 1.090%, 01/27/2032 (B)

     1,025       924  

Goldman Sachs Group MTN

               

4.800%, 07/08/2044

    6,368       7,282  

Guardian Life Insurance of America

               

4.875%, 06/19/2064 (A)

     3,235       3,749  

3.700%, 01/22/2070 (A)

     1,040       984  

HSBC Bank PLC

               

7.650%, 05/01/2025

    1,915       2,175  

HSBC Bank USA

               

7.000%, 01/15/2039

    7,030       10,046  

HSBC Holdings

               

6.800%, 06/01/2038

    3,469       4,517  

6.500%, 09/15/2037

    5,070       6,458  

5.250%, 03/14/2044

    431       494  

2.804%, U.S. SOFR + 1.187%, 05/24/2032 (B)

     1,660       1,567  

Intercontinental Exchange

               

4.250%, 09/21/2048

    1,397       1,542  

3.000%, 06/15/2050

    2,125       1,881  

JPMorgan Chase

               

8.750%, 09/01/2030

    1,005       1,426  

6.400%, 05/15/2038

    10,102       13,540  

5.600%, 07/15/2041

    6,115       7,733  

5.500%, 10/15/2040

    6,895       8,529  

5.400%, 01/06/2042

    7,380       9,167  

4.260%, ICE LIBOR USD 3 Month + 1.580%, 02/22/2048 (B)

     1,170       1,282  

4.032%, ICE LIBOR USD 3 Month + 1.460%, 07/24/2048 (B)

     2,845       3,008  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

287

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.964%, ICE LIBOR USD 3 Month + 1.380%, 11/15/2048 (B)

   $ 9,769     $ 10,320  

3.897%, ICE LIBOR USD 3 Month + 1.220%, 01/23/2049 (B)

     10,600       11,036  

3.882%, ICE LIBOR USD 3 Month + 1.360%, 07/24/2038 (B)

     10,245       10,803  

3.328%, U.S. SOFR + 1.580%, 04/22/2052 (B)

     13,433       12,903  

3.157%, U.S. SOFR + 1.460%, 04/22/2042 (B)

     2,985       2,802  

3.109%, U.S. SOFR + 2.440%, 04/22/2051 (B)

     3,545       3,274  

3.109%, U.S. SOFR + 2.460%, 04/22/2041 (B)

     350       329  

2.963%, U.S. SOFR + 1.260%, 01/25/2033 (B)

     935       924  

2.545%, U.S. SOFR + 1.180%, 11/08/2032 (B)

     1,030       984  

1.953%, U.S. SOFR + 1.065%, 02/04/2032 (B)

     1,660       1,513  

1.764%, TSFR3M + 1.105%, 11/19/2031 (B)

     4,080       3,669  

KKR Group Finance II LLC

               

5.500%, 02/01/2043 (A)

     1,073       1,265  

KKR Group Finance III LLC

               

5.125%, 06/01/2044 (A)

     4,587       5,244  

KKR Group Finance X LLC

               

3.250%, 12/15/2051 (A)

     1,473       1,290  

LSEGA Financing

               

3.200%, 04/06/2041 (A)

     3,764       3,526  

Macquarie Group MTN

               

2.871%, U.S. SOFR + 1.532%, 01/14/2033 (A)(B)

     2,145       2,027  

Marsh & McLennan

               

4.900%, 03/15/2049

    3,087       3,695  

4.200%, 03/01/2048

    3,155       3,434  

2.900%, 12/15/2051

    1,984       1,742  

Massachusetts Mutual Life Insurance

               

4.900%, 04/01/2077 (A)

     2,920       3,376  

3.729%, 10/15/2070 (A)

     1,975       1,861  

3.200%, 12/01/2061 (A)

     615       534  

MetLife

               

5.875%, 02/06/2041

    1,675       2,172  

5.700%, 06/15/2035

    8,339       10,445  

4.875%, 11/13/2043

    3,375       4,001  

4.721%, 12/15/2044

    3,010       3,489  

Mitsubishi UFJ Financial Group

               

3.751%, 07/18/2039

    2,181       2,286  

Moody's

               

4.875%, 12/17/2048

    1,891       2,200  

3.750%, 02/25/2052

    955       954  

2.750%, 08/19/2041

    250       217  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Morgan Stanley

               

4.457%, ICE LIBOR USD 3 Month + 1.431%, 04/22/2039 (B)

   $ 3,743     $ 4,065  

4.375%, 01/22/2047

    700       773  

3.217%, U.S. SOFR + 1.485%, 04/22/2042 (B)

     2,964       2,829  

Morgan Stanley MTN

               

6.375%, 07/24/2042

    6,545       8,926  

5.597%, U.S. SOFR + 4.840%, 03/24/2051 (B)

     1,115       1,486  

4.300%, 01/27/2045

    13,800       15,004  

3.971%, ICE LIBOR USD 3 Month + 1.455%, 07/22/2038 (B)

     6,705       7,022  

2.943%, U.S. SOFR + 1.290%, 01/21/2033 (B)

     1,345       1,317  

2.802%, U.S. SOFR + 1.430%, 01/25/2052 (B)

     3,890       3,381  

2.511%, U.S. SOFR + 1.200%, 10/20/2032 (B)

     330       312  

2.239%, U.S. SOFR + 1.178%, 07/21/2032 (B)

     1,420       1,307  

Mutual of Omaha Insurance

               

4.297%, ICE LIBOR USD 3 Month + 2.640%, 07/15/2054 (A)(B)

     555       563  

National Rural Utilities Cooperative Finance

               

4.400%, 11/01/2048

    2,130       2,382  

4.300%, 03/15/2049

    4,493       4,953  

4.023%, 11/01/2032

    407       438  

Nationwide Mutual Insurance

               

9.375%, 08/15/2039 (A)

     1,170       1,877  

4.350%, 04/30/2050 (A)

     1,130       1,177  

New York Life Global Funding

               

1.850%, 08/01/2031 (A)

     1,560       1,417  

New York Life Insurance

               

6.750%, 11/15/2039 (A)

     2,215       3,092  

5.875%, 05/15/2033 (A)

     2,224       2,805  

3.750%, 05/15/2050 (A)

     2,104       2,162  

Northwestern Mutual Life Insurance

               

3.850%, 09/30/2047 (A)

     1,488       1,506  

3.625%, 09/30/2059 (A)

     2,540       2,410  

3.450%, 03/30/2051 (A)

     550       524  

Ontario Teachers' Cadillac Fairview Properties Trust

               

2.500%, 10/15/2031 (A)

     4,425       4,211  

Pacific Life Insurance

               

4.300%, ICE LIBOR USD 3 Month + 2.796%, 10/24/2067 (A)(B)

     1,350       1,350  

Pacific LifeCorp

               

3.350%, 09/15/2050 (A)

     2,020       1,929  

Prudential Financial

               

3.905%, 12/07/2047

    2,275       2,369  

 

 

 

288

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Prudential Financial MTN

               

5.700%, 12/14/2036

  $ 6,384     $ 8,119  

3.700%, 03/13/2051

    355       360  

Raymond James Financial

               

4.950%, 07/15/2046

    165       190  

3.750%, 04/01/2051

    1,740       1,724  

S&P Global

               

3.250%, 12/01/2049

    1,776       1,716  

Securian Financial Group

               

4.800%, 04/15/2048 (A)

     2,921       3,307  

Societe Generale

               

3.625%, 03/01/2041 (A)

     1,525       1,352  

State Street

               

3.031%, U.S. SOFR + 1.490%, 11/01/2034 (B)

     3,555       3,525  

Swiss Re Treasury US

               

4.250%, 12/06/2042 (A)

     4,581       5,167  

Teachers Insurance & Annuity Association of America

               

4.900%, 09/15/2044 (A)

     2,355       2,747  

4.270%, 05/15/2047 (A)

     3,893       4,209  

3.300%, 05/15/2050 (A)

     885       830  

Travelers

               

5.350%, 11/01/2040

    1,565       1,942  

4.100%, 03/04/2049

    3,853       4,238  

4.050%, 03/07/2048

    1,800       1,940  

Travelers MTN

               

6.250%, 06/15/2037

    1,205       1,601  

UBS MTN

               

4.500%, 06/26/2048 (A)

     2,230       2,516  

UBS Group

               

3.179%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.100%, 02/11/2043 (A)(B)

     2,515       2,337  

Validus Holdings

               

8.875%, 01/26/2040

    2,035       3,207  

Wachovia

               

7.500%, 04/15/2035

    440       597  

WEA Finance LLC

               

4.625%, 09/20/2048 (A)

     2,000       1,924  

Wells Fargo

               

7.950%, 11/15/2029

    695       921  

6.600%, 01/15/2038

    9,215       12,562  

5.950%, 08/26/2036

    4,720       5,973  

5.950%, 12/15/2036

    1,002       1,226  

5.850%, 02/01/2037

    10,043       12,457  

5.606%, 01/15/2044

    2,801       3,423  

3.900%, 05/01/2045

    3,674       3,810  

3.068%, U.S. SOFR + 2.530%, 04/30/2041 (B)

     2,215       2,058  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Wells Fargo MTN

               

5.013%, U.S. SOFR + 4.502%, 04/04/2051 (B)

   $ 15,098     $ 18,591  

4.900%, 11/17/2045

    2,070       2,348  

4.750%, 12/07/2046

    5,721       6,421  

4.650%, 11/04/2044

    3,325       3,652  

4.400%, 06/14/2046

    5,300       5,677  

4.150%, 01/24/2029

    1,205       1,285  

Western & Southern Life Insurance

               

3.750%, 04/28/2061 (A)

     695       671  

Westpac Banking

               

3.133%, 11/18/2041

    1,040       934  

3.020%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.530%, 11/18/2036 (B)

     865       805  

2.150%, 06/03/2031

    725       691  

Willis North America

               

3.875%, 09/15/2049

    625       612  
                 
              694,228  
                 

Health Care — 12.6%

        

Abbott Laboratories

               

4.900%, 11/30/2046

    8,163       10,079  

AbbVie

               

4.850%, 06/15/2044

    225       254  

4.400%, 11/06/2042

    800       862  

4.250%, 11/21/2049

    2,313       2,459  

4.050%, 11/21/2039

    485       509  

Advocate Health & Hospitals

               

4.272%, 08/15/2048

    1,717       1,930  

Aetna

               

4.125%, 11/15/2042

    1,030       1,056  

Allina Health System

               

4.805%, 11/15/2045

    1,666       1,938  

3.887%, 04/15/2049

    1,454       1,553  

Amgen

               

4.200%, 02/22/2052

    1,845       1,934  

3.350%, 02/22/2032

    615       630  

2.800%, 08/15/2041

    1,048       925  

2.770%, 09/01/2053

    696       565  

Anthem

               

4.625%, 05/15/2042

    65       73  

Ascension Health

               

4.847%, 11/15/2053

    520       675  

3.945%, 11/15/2046

    2,276       2,508  

3.106%, 11/15/2039

    3,210       3,162  

AstraZeneca PLC

               

6.450%, 09/15/2037

    1,220       1,656  

4.375%, 11/16/2045

    2,084       2,375  

3.000%, 05/28/2051

    2,148       2,006  

Banner Health

               

2.907%, 01/01/2042

    1,781       1,659  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

289

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Baptist Health South Florida

               

4.342%, 11/15/2041

  $ 610     $ 672  

BayCare Health System

               

3.831%, 11/15/2050

    1,000       1,087  

Bayer US Finance II LLC

               

4.700%, 07/15/2064 (A)

     1,900       1,967  

4.625%, 06/25/2038 (A)

     645       694  

4.400%, 07/15/2044 (A)

     1,085       1,103  

3.950%, 04/15/2045 (A)

     2,680       2,531  

Baylor Scott & White Holdings

               

4.185%, 11/15/2045

    2,636       2,957  

3.967%, 11/15/2046

    120       132  

Becton Dickinson

               

3.794%, 05/20/2050

    530       530  

Bon Secours Mercy Health

               

3.205%, 06/01/2050

    1,100       1,037  

Bristol-Myers Squibb

               

4.550%, 02/20/2048

    2,723       3,159  

4.500%, 03/01/2044

    400       464  

4.250%, 10/26/2049

    17,369       19,424  

3.900%, 03/15/2062

    1,415       1,471  

3.700%, 03/15/2052

    5,539       5,710  

3.550%, 03/15/2042

    6,160       6,276  

2.550%, 11/13/2050

    1,145       969  

2.350%, 11/13/2040

    415       356  

Carilion Clinic Obligated Group

               

3.147%, 07/01/2051

    535       492  

Children's Health Care

               

3.448%, 08/15/2049

    815       782  

Children's Hospital Medical Center

               

2.820%, 11/15/2050

    1,180       1,060  

Cigna

               

4.900%, 12/15/2048

    1,385       1,573  

4.800%, 08/15/2038

    3,105       3,459  

3.875%, 10/15/2047

    1,300       1,276  

City of Hope

               

5.623%, 11/15/2043

    920       1,191  

Cleveland Clinic Foundation

               

4.858%, 01/01/2114

    1,223       1,593  

CommonSpirit Health

               

4.187%, 10/01/2049

    805       844  

3.910%, 10/01/2050

    370       375  

3.817%, 10/01/2049

    2,575       2,602  

CVS Health

               

5.050%, 03/25/2048

    2,951       3,446  

4.780%, 03/25/2038

    1,015       1,135  

Danaher

               

2.800%, 12/10/2051

    7,240       6,404  

Dartmouth-Hitchcock Health

               

4.178%, 08/01/2048

    3,560       3,846  

Duke University Health System

               

3.920%, 06/01/2047

    2,145       2,347  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Eli Lilly

               

3.950%, 03/15/2049

  $ 5,870     $ 6,528  

Gilead Sciences

               

4.800%, 04/01/2044

    750       852  

4.750%, 03/01/2046

    1,300       1,473  

4.500%, 02/01/2045

    1,050       1,136  

GlaxoSmithKline Capital

               

6.375%, 05/15/2038

    8,439       11,530  

HCA

               

5.250%, 06/15/2049

    1,980       2,252  

Humana

               

8.150%, 06/15/2038

    1,510       2,283  

4.625%, 12/01/2042

    405       452  

Indiana University Health Obligated Group

               

3.970%, 11/01/2048

    1,895       2,122  

Johnson & Johnson

               

4.850%, 05/15/2041

    5,652       6,811  

3.750%, 03/03/2047

    2,102       2,285  

3.625%, 03/03/2037

    3,045       3,287  

3.400%, 01/15/2038

    3,100       3,214  

2.900%, 01/15/2028

    505       520  

2.450%, 09/01/2060

    4,550       3,791  

2.250%, 09/01/2050

    985       829  

2.100%, 09/01/2040

    2,135       1,828  

Kaiser Foundation Hospitals

               

4.150%, 05/01/2047

    3,540       3,943  

3.266%, 11/01/2049

    1,910       1,853  

3.002%, 06/01/2051

    4,620       4,282  

2.810%, 06/01/2041

    7,861       7,266  

Mass General Brigham

               

3.765%, 07/01/2048

    1,000       1,055  

3.342%, 07/01/2060

    1,015       961  

3.192%, 07/01/2049

    2,260       2,205  

Medtronic

               

4.625%, 03/15/2045

    811       950  

Memorial Health Services

               

3.447%, 11/01/2049

    2,905       2,876  

Memorial Sloan-Kettering Cancer Center

               

5.000%, 07/01/2042

    235       293  

4.125%, 07/01/2052

    2,460       2,824  

2.955%, 01/01/2050

    489       447  

Merck

               

4.150%, 05/18/2043

    3,025       3,331  

4.000%, 03/07/2049

    550       602  

3.900%, 03/07/2039

    3,520       3,836  

3.700%, 02/10/2045

    7,390       7,700  

3.600%, 09/15/2042

    1,100       1,133  

2.900%, 12/10/2061

    4,551       4,009  

2.750%, 12/10/2051

    6,630       5,909  

2.350%, 06/24/2040

    360       317  

Merck Sharp & Dohme Corp

               

5.750%, 11/15/2036

    1,200       1,531  

 

 

 

290

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

MidMichigan Health

               

3.409%, 06/01/2050

  $ 3,520     $ 3,424  

Mount Sinai Hospitals Group

               

3.737%, 07/01/2049

    2,700       2,760  

New York and Presbyterian Hospital

               

4.763%, 08/01/2116

    1,705       1,985  

4.063%, 08/01/2056

    2,300       2,643  

Northwell Healthcare

               

4.260%, 11/01/2047

    625       682  

Novant Health

               

3.168%, 11/01/2051

    2,330       2,241  

Novartis Capital

               

4.000%, 11/20/2045

    4,325       4,763  

2.750%, 08/14/2050

    5,294       4,819  

NYU Langone Hospitals

               

5.750%, 07/01/2043

    1,700       2,258  

4.428%, 07/01/2042

    2,150       2,458  

4.368%, 07/01/2047

    1,625       1,788  

3.380%, 07/01/2055

    985       924  

OhioHealth

               

3.042%, 11/15/2050

    1,462       1,387  

Orlando Health Obligated Group

               

3.327%, 10/01/2050

    715       700  

PeaceHealth Obligated Group

               

3.218%, 11/15/2050

    4,945       4,609  

Pfizer

               

5.600%, 09/15/2040

    808       1,035  

4.400%, 05/15/2044

    2,575       2,963  

4.300%, 06/15/2043

    3,825       4,298  

4.200%, 09/15/2048

    3,265       3,723  

4.100%, 09/15/2038

    2,580       2,841  

4.000%, 12/15/2036

    2,321       2,553  

4.000%, 03/15/2049

    1,700       1,885  

2.700%, 05/28/2050

    450       407  

Pharmacia LLC

               

6.600%, 12/01/2028

    1,045       1,299  

Providence St. Joseph Health Obligated Group

               

3.744%, 10/01/2047

    1,520       1,638  

Rady Children's Hospital-San Diego

               

3.154%, 08/15/2051

    865       848  

Royalty Pharma

               

3.550%, 09/02/2050

    645       560  

RWJ Barnabas Health

               

3.949%, 07/01/2046

    50       54  

Sentara Healthcare

               

2.927%, 11/01/2051

    805       757  

Shands Teaching Hospital and Clinics

               

4.741%, 12/01/2042

    1,750       2,023  

Sharp HealthCare

               

2.680%, 08/01/2050

    1,500       1,313  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Stanford Health Care

               

3.795%, 11/15/2048

  $ 5,937     $ 6,427  

Takeda Pharmaceutical

               

3.175%, 07/09/2050

    240       215  

3.025%, 07/09/2040

    460       415  

Thermo Fisher Scientific

               

2.800%, 10/15/2041

    860       792  

Trinity Health

               

4.125%, 12/01/2045

    2,392       2,711  

UnitedHealth Group

               

6.875%, 02/15/2038

    1,115       1,585  

6.625%, 11/15/2037

    1,080       1,510  

6.500%, 06/15/2037

    1,155       1,588  

5.950%, 02/15/2041

    1,130       1,483  

5.800%, 03/15/2036

    620       793  

5.700%, 10/15/2040

    375       479  

4.750%, 07/15/2045

    7,030       8,331  

4.625%, 07/15/2035

    925       1,066  

4.450%, 12/15/2048

    11,389       13,101  

4.375%, 03/15/2042

    30       33  

4.250%, 03/15/2043

    741       817  

4.250%, 04/15/2047

    4,010       4,454  

4.250%, 06/15/2048

    2,590       2,889  

4.200%, 01/15/2047

    4,617       5,111  

3.950%, 10/15/2042

    900       948  

3.750%, 10/15/2047

    725       748  

3.700%, 08/15/2049

    1,726       1,787  

3.500%, 08/15/2039

    4,385       4,481  

3.250%, 05/15/2051

    8,470       8,225  

3.125%, 05/15/2060

    35       32  

3.050%, 05/15/2041

    4,805       4,611  

2.900%, 05/15/2050

    1,780       1,629  

2.300%, 05/15/2031

    4,080       3,931  

West Virginia United Health System Obligated Group

               

3.129%, 06/01/2050

    900       824  

Willis-Knighton Medical Center

               

4.813%, 09/01/2048

    1,795       2,179  

Wyeth LLC

               

6.500%, 02/01/2034

    1,955       2,595  

5.950%, 04/01/2037

    19,334       25,339  

Yale-New Haven Health Services

               

2.496%, 07/01/2050

    1,000       839  
                 
              407,894  
                 

Industrials — 6.4%

        

3M

               

3.250%, 08/26/2049

    1,557       1,485  

AerCap Ireland Capital DAC

               

3.300%, 01/30/2032

    1,335       1,267  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

291

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Air Canada Pass-Through Trust, Ser 2013-1, Cl A

               

4.125%, 05/15/2025 (A)

   $ 334     $ 335  

Airbus

               

3.950%, 04/10/2047 (A)

     2,500       2,660  

American Airlines Pass-Through Trust, Ser 2016-2, Cl AA

               

3.200%, 06/15/2028

    2,818       2,773  

BAE Systems PLC

               

3.000%, 09/15/2050 (A)

     1,200       1,055  

Boeing

               

5.930%, 05/01/2060

    2,145       2,547  

5.805%, 05/01/2050

    4,080       4,847  

5.705%, 05/01/2040

    350       408  

5.150%, 05/01/2030

    1,055       1,165  

Burlington Northern Santa Fe LLC

               

5.150%, 09/01/2043

    1,330       1,646  

4.900%, 04/01/2044

    8,896       10,723  

4.550%, 09/01/2044

    4,230       4,833  

4.450%, 03/15/2043

    560       633  

4.400%, 03/15/2042

    2,825       3,167  

4.375%, 09/01/2042

    260       291  

4.150%, 04/01/2045

    5,715       6,216  

4.125%, 06/15/2047

    1,100       1,223  

4.050%, 06/15/2048

    4,140       4,494  

3.550%, 02/15/2050

    700       702  

3.300%, 09/15/2051

    1,650       1,605  

2.875%, 06/15/2052

    4,295       3,838  

Canadian National Railway

               

6.200%, 06/01/2036

    6,610       8,604  

4.500%, 11/07/2043

    3,800       4,191  

Canadian Pacific Railway

               

6.125%, 09/15/2115

    1,405       1,831  

Caterpillar

               

5.200%, 05/27/2041

    395       495  

4.750%, 05/15/2064

    465       585  

Crane

               

4.200%, 03/15/2048

    775       817  

Cummins

               

2.600%, 09/01/2050

    3,535       2,929  

Deere

               

3.900%, 06/09/2042

    2,195       2,370  

3.750%, 04/15/2050

    2,050       2,173  

2.875%, 09/07/2049

    1,795       1,647  

Emerson Electric

               

2.800%, 12/21/2051

    10,181       8,875  

2.750%, 10/15/2050

    820       704  

FedEx

               

5.250%, 05/15/2050

    1,960       2,351  

GE Capital International Funding Unlimited

               

4.418%, 11/15/2035

    5,843       6,569  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

General Dynamics

               

4.250%, 04/01/2040

  $ 1,075     $ 1,200  

4.250%, 04/01/2050

    1,665       1,911  

General Electric MTN

               

6.750%, 03/15/2032

    653       843  

Georgia-Pacific LLC

               

8.875%, 05/15/2031

    475       684  

7.250%, 06/01/2028

    330       414  

Lockheed Martin

               

4.700%, 05/15/2046

    1,050       1,241  

4.090%, 09/15/2052

    5,007       5,472  

4.070%, 12/15/2042

    3,870       4,220  

2.800%, 06/15/2050

    5,469       4,873  

Norfolk Southern

               

5.100%, 08/01/2118

    1,900       2,154  

4.050%, 08/15/2052

    876       930  

3.700%, 03/15/2053

    500       512  

Parker-Hannifin

               

4.100%, 03/01/2047

    2,404       2,538  

Parker-Hannifin MTN

               

4.450%, 11/21/2044

    475       525  

Raytheon Technologies

               

4.625%, 11/16/2048

    785       907  

4.500%, 06/01/2042

    5,085       5,687  

3.750%, 11/01/2046

    1,089       1,101  

3.030%, 03/15/2052

    500       448  

Rockefeller Foundation

               

2.492%, 10/01/2050

    3,070       2,722  

Rockwell Automation

               

4.200%, 03/01/2049

    740       836  

Siemens Financieringsmaatschappij

               

2.875%, 03/11/2041 (A)

     5,590       5,225  

Snap-on

               

4.100%, 03/01/2048

    3,896       4,301  

TTX

               

4.600%, 02/01/2049 (A)

     1,642       1,980  

Union Pacific

               

3.875%, 02/01/2055

    2,130       2,215  

3.839%, 03/20/2060

    9,949       10,221  

3.750%, 02/05/2070

    500       498  

3.500%, 02/14/2053

    5,854       5,876  

3.375%, 02/14/2042

    725       724  

2.973%, 09/16/2062

    3,170       2,730  

2.950%, 03/10/2052

    14,312       13,028  

Union Pacific MTN

               

3.550%, 08/15/2039

    865       878  

United Airlines Pass-Through Trust, Ser 2019-1, Cl AA

               

4.150%, 08/25/2031

    983       1,052  

United Parcel Service

               

7.620%, 04/01/2030

     710       958  

6.200%, 01/15/2038

    5,772       7,815  

 

 

 

292

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

5.300%, 04/01/2050

  $ 1,490     $ 2,001  

5.200%, 04/01/2040

    725       900  

3.625%, 10/01/2042

    1,225       1,285  

US Airways Pass-Through Trust, Ser 2012-1, Cl A

               

5.900%, 10/01/2024

    574       605  

Waste Connections

               

2.950%, 01/15/2052

    350       304  

WW Grainger

               

4.600%, 06/15/2045

    1,328       1,537  

4.200%, 05/15/2047

    2,738       3,062  
                 
              208,467  
                 

Information Technology — 9.1%

        

Analog Devices

               

2.950%, 10/01/2051

    7,574       6,918  

2.800%, 10/01/2041

    4,420       4,074  

Apple

               

4.650%, 02/23/2046

    12,156       14,749  

4.375%, 05/13/2045

    13,588       15,533  

3.850%, 05/04/2043

    4,210       4,527  

3.850%, 08/04/2046

    14,177       15,113  

3.750%, 09/12/2047

    6,295       6,707  

3.750%, 11/13/2047

    160       171  

3.450%, 02/09/2045

    6,965       7,123  

2.950%, 09/11/2049

    30       28  

2.850%, 08/05/2061

    2,770       2,461  

2.700%, 08/05/2051

    4,995       4,475  

2.650%, 05/11/2050

    690       612  

2.650%, 02/08/2051

    9,395       8,346  

2.375%, 02/08/2041

    1,460       1,300  

Applied Materials

               

4.350%, 04/01/2047

    2,239       2,575  

Cisco Systems

               

5.900%, 02/15/2039

    3,985       5,265  

5.500%, 01/15/2040

    5,079       6,534  

Deutsche Telekom International Finance

               

9.250%, 06/01/2032

    2,192       3,296  

Intel

               

4.950%, 03/25/2060

    385       472  

4.750%, 03/25/2050

    1,475       1,724  

4.100%, 05/19/2046

    2,319       2,469  

4.100%, 05/11/2047

    3,970       4,230  

3.734%, 12/08/2047

    11,085       11,176  

3.250%, 11/15/2049

    3,825       3,583  

3.050%, 08/12/2051

    1,550       1,408  

International Business Machines

               

4.250%, 05/15/2049

    3,725       4,082  

4.000%, 06/20/2042

    2,240       2,353  

3.430%, 02/09/2052

    1,570       1,527  

Kyndryl Holdings

               

4.100%, 10/15/2041 (A)

     850       722  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Lam Research

               

2.875%, 06/15/2050

  $ 2,973     $ 2,652  

Mastercard

               

3.950%, 02/26/2048

    1,225       1,342  

3.850%, 03/26/2050

    7,436       8,082  

3.650%, 06/01/2049

    2,040       2,161  

Microsoft

               

3.700%, 08/08/2046

    3,493       3,778  

3.500%, 02/12/2035

    1,540       1,659  

3.450%, 08/08/2036

    2,110       2,263  

3.041%, 03/17/2062

    10,728       10,238  

2.921%, 03/17/2052

    28,367       27,085  

2.675%, 06/01/2060

    4,465       3,936  

2.525%, 06/01/2050

    24,942       22,132  

NVIDIA

               

3.500%, 04/01/2040

    3,175       3,260  

3.500%, 04/01/2050

    3,685       3,795  

Oracle

               

4.375%, 05/15/2055

    1,610       1,527  

4.125%, 05/15/2045

    2,060       1,916  

4.000%, 07/15/2046

    8,874       8,156  

3.800%, 11/15/2037

    4,985       4,738  

3.600%, 04/01/2040

    6,893       6,243  

PayPal Holdings

               

3.250%, 06/01/2050

    1,890       1,772  

QUALCOMM

               

4.300%, 05/20/2047

    3,215       3,630  

salesforce.com

               

3.050%, 07/15/2061

    2,850       2,575  

2.900%, 07/15/2051

    1,495       1,356  

2.700%, 07/15/2041

    1,735       1,584  

Texas Instruments

               

4.150%, 05/15/2048

    7,207       8,179  

TSMC Arizona

               

3.250%, 10/25/2051

    2,890       2,757  

Visa

               

4.300%, 12/14/2045

    9,220       10,671  

4.150%, 12/14/2035

    1,030       1,159  

2.700%, 04/15/2040

    905       851  

2.000%, 08/15/2050

    3,610       2,868  
                 
              295,918  
                 

Materials — 1.0%

        

Barrick Gold

               

5.250%, 04/01/2042

    280       328  

Barrick North America Finance LLC

               

5.750%, 05/01/2043

    1,570       1,955  

Barrick PD Australia Finance Pty

               

5.950%, 10/15/2039

    1,245       1,570  

BHP Billiton Finance USA

               

6.420%, 03/01/2026

    1,320       1,526  

5.000%, 09/30/2043

    5,220       6,298  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

293

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Ecolab

               

2.750%, 08/18/2055

  $ 2,757     $ 2,383  

2.700%, 12/15/2051

    9,550       8,333  

International Flavors and Fragrances

               

5.000%, 09/26/2048

    360       412  

3.468%, 12/01/2050 (A)

     170       154  

International Paper

               

8.700%, 06/15/2038

    1,000       1,532  

Packaging Corp of America

               

3.050%, 10/01/2051

    440       383  

Rio Tinto Finance USA

               

5.200%, 11/02/2040

    2,502       3,047  

2.750%, 11/02/2051

    3,650       3,207  

Vale Canada

               

7.200%, 09/15/2032

    310       369  

Vale Overseas

               

6.875%, 11/21/2036

    1,150       1,414  

6.875%, 11/10/2039

    723       894  
                 
              33,805  
                 

Real Estate — 1.3%

        

Alexandria Real Estate Equities

               

3.550%, 03/15/2052

    440       424  

American Homes 4 Rent

               

3.375%, 07/15/2051

    300       257  

AvalonBay Communities MTN

               

4.350%, 04/15/2048

    220       251  

4.150%, 07/01/2047

    1,200       1,336  

Crown Castle Towers LLC

               

3.663%, 05/15/2025 (A)

     2,585       2,640  

CyrusOne/CyrusOne Finance

               

3.450%, 11/15/2029

    2,800       2,944  

ERP Operating

               

4.500%, 06/01/2045

    1,100       1,260  

4.000%, 08/01/2047

    1,525       1,660  

Mid-America Apartments

               

2.875%, 09/15/2051

    4,782       4,223  

Nationwide Health Properties MTN

               

6.900%, 10/01/2037

    1,600       1,934  

Prologis

               

3.000%, 04/15/2050

    1,070       987  

Realty Income

               

4.650%, 03/15/2047

    1,355       1,575  

1.800%, 03/15/2033

    1,590       1,390  

Regency Centers

               

4.650%, 03/15/2049

    1,321       1,476  

4.400%, 02/01/2047

    480       510  

Scentre Group Trust 2

               

5.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.685%, 09/24/2080 (A)(B)

     1,880       1,866  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.379%, 09/24/2080 (A)(B)

   $ 1,330     $ 1,327  

Simon Property Group LP

               

6.750%, 02/01/2040

    3,865       5,296  

4.250%, 11/30/2046

    2,290       2,478  

3.800%, 07/15/2050

    2,025       2,044  

3.250%, 09/13/2049

    2,330       2,141  

2.650%, 07/15/2030

    1,125       1,095  

Spirit Realty

               

3.200%, 02/15/2031

    115       112  

2.700%, 02/15/2032

    490       463  

Ventas Realty

               

5.700%, 09/30/2043

    850       1,048  

4.875%, 04/15/2049

    245       282  

Welltower

               

5.125%, 03/15/2043

    1,085       1,252  

4.950%, 09/01/2048

    100       119  

Weyerhaeuser

               

4.000%, 03/09/2052

    1,020       1,033  
                 
              43,423  
                 

Utilities — 16.9%

        

AEP Texas

               

4.150%, 05/01/2049

    2,185       2,208  

AEP Transmission LLC

               

4.000%, 12/01/2046

    5,703       5,985  

3.800%, 06/15/2049

    2,030       2,056  

3.750%, 12/01/2047

    400       404  

3.650%, 04/01/2050

    1,290       1,279  

2.750%, 08/15/2051

    405       346  

Alabama Power

               

5.500%, 03/15/2041

    648       779  

5.200%, 06/01/2041

    155       182  

4.300%, 07/15/2048

    1,450       1,570  

4.150%, 08/15/2044

    135       143  

3.850%, 12/01/2042

    4,967       5,022  

3.700%, 12/01/2047

    1,500       1,520  

Ameren Illinois

               

3.700%, 12/01/2047

    5,055       5,208  

3.250%, 03/15/2050

    50       47  

2.900%, 06/15/2051

    3,724       3,313  

American Water Capital

               

4.150%, 06/01/2049

    190       200  

3.750%, 09/01/2047

    1,675       1,670  

Appalachian Power

               

6.700%, 08/15/2037

    50       64  

5.800%, 10/01/2035

    125       149  

4.500%, 03/01/2049

    500       539  

Arizona Public Service

               

5.050%, 09/01/2041

    50       56  

4.500%, 04/01/2042

    12       13  

 

 

 

294

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.350%, 11/15/2045

  $ 1,735     $ 1,776  

4.250%, 03/01/2049

    450       465  

4.200%, 08/15/2048

    1,200       1,226  

Atmos Energy

               

4.125%, 10/15/2044

    2,805       2,920  

4.125%, 03/15/2049

    2,420       2,624  

Avista

               

4.350%, 06/01/2048

    1,425       1,586  

Baltimore Gas and Electric

               

5.200%, 06/15/2033

    1,225       1,403  

3.500%, 08/15/2046

    4,995       4,955  

2.900%, 06/15/2050

    1,075       969  

2.250%, 06/15/2031

    2,840       2,698  

Berkshire Hathaway Energy

               

4.450%, 01/15/2049

    2,715       3,001  

4.250%, 10/15/2050

    4,970       5,359  

3.800%, 07/15/2048

    10,705       10,761  

Black Hills

               

4.200%, 09/15/2046

    1,135       1,163  

Brooklyn Union Gas

               

4.273%, 03/15/2048 (A)

     2,050       2,059  

CenterPoint Energy Houston Electric LLC

               

4.500%, 04/01/2044

    500       570  

4.250%, 02/01/2049

    1,760       1,941  

3.950%, 03/01/2048

    500       528  

3.600%, 03/01/2052

    1,275       1,295  

3.350%, 04/01/2051

    945       910  

2.900%, 07/01/2050

    880       780  

Commonwealth Edison

               

4.700%, 01/15/2044

    6,023       6,923  

4.600%, 08/15/2043

    2,070       2,367  

4.000%, 03/01/2048

    2,130       2,272  

4.000%, 03/01/2049

    1,175       1,254  

3.750%, 08/15/2047

    2,700       2,753  

3.700%, 03/01/2045

    6,735       6,828  

3.125%, 03/15/2051

    3,795       3,511  

Connecticut Light & Power

               

4.150%, 06/01/2045

    3,065       3,329  

4.000%, 04/01/2048

    4,327       4,646  

Consolidated Edison of New York

               

6.750%, 04/01/2038

    1,915       2,589  

6.200%, 06/15/2036

    65       83  

5.700%, 06/15/2040

    40       49  

4.500%, 05/15/2058

    930       1,007  

4.450%, 03/15/2044

    375       403  

3.950%, 03/01/2043

    6,685       6,720  

3.875%, 06/15/2047

    4,023       4,016  

3.850%, 06/15/2046

    3,427       3,395  

3.700%, 11/15/2059

    850       794  

3.200%, 12/01/2051

    2,475       2,220  

3.000%, 12/01/2060

    1,700       1,401  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Consumers Energy

               

4.350%, 04/15/2049

  $ 4,023     $ 4,547  

3.500%, 08/01/2051

    995       995  

3.100%, 08/15/2050

    830       787  

2.500%, 05/01/2060

    590       456  

Dayton Power & Light

               

3.950%, 06/15/2049

    140       146  

Dominion Energy

               

5.250%, 08/01/2033

    20       23  

4.600%, 03/15/2049

    850       946  

Dominion Energy South Carolina

               

5.100%, 06/01/2065

    1,415       1,753  

DTE Electric

               

3.950%, 06/15/2042

    80       82  

3.700%, 03/15/2045

    5,020       5,113  

3.650%, 03/01/2052

    1,560       1,617  

Duke Energy Carolinas LLC

               

6.450%, 10/15/2032

    110       139  

6.100%, 06/01/2037

    1,910       2,408  

6.050%, 04/15/2038

    2,285       2,939  

6.000%, 01/15/2038

    2,166       2,764  

5.300%, 02/15/2040

    6,675       8,084  

4.250%, 12/15/2041

    6,630       7,121  

4.000%, 09/30/2042

    10,585       11,044  

3.875%, 03/15/2046

    1,570       1,619  

Duke Energy Florida LLC

               

6.400%, 06/15/2038

    2,395       3,188  

4.200%, 07/15/2048

    480       521  

3.400%, 10/01/2046

    2,035       1,957  

Duke Energy Florida Project Finance LLC

               

3.112%, 09/01/2036

    4,105       4,234  

Duke Energy Indiana LLC

               

6.450%, 04/01/2039

    4,275       5,631  

6.350%, 08/15/2038

    1,550       2,004  

4.900%, 07/15/2043

    840       956  

3.750%, 05/15/2046

    750       757  

3.250%, 10/01/2049

    2,170       1,998  

Duke Energy Ohio

               

4.300%, 02/01/2049

    625       679  

2.125%, 06/01/2030

    825       777  

Duke Energy Progress LLC

               

4.375%, 03/30/2044

    2,880       3,131  

4.200%, 08/15/2045

    3,525       3,755  

4.150%, 12/01/2044

    975       1,029  

4.100%, 05/15/2042

    530       554  

4.100%, 03/15/2043

    860       901  

3.600%, 09/15/2047

    1,850       1,828  

East Ohio Gas

               

3.000%, 06/15/2050 (A)

     1,370       1,208  

Electricite de France

               

6.000%, 01/22/2114 (A)

     858       956  

5.000%, 09/21/2048 (A)

     2,415       2,587  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

295

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Elm Road Generating Station Supercritical

               

5.848%, 01/19/2041 (A)

   $ 1,000     $ 1,200  

Entergy Arkansas LLC

               

3.350%, 06/15/2052

    2,840       2,689  

Entergy Louisiana LLC

               

4.200%, 09/01/2048

    2,290       2,495  

4.200%, 04/01/2050

    1,445       1,557  

4.000%, 03/15/2033

    1,260       1,359  

3.100%, 06/15/2041

    3,435       3,260  

2.900%, 03/15/2051

    2,910       2,577  

Entergy Texas

               

3.550%, 09/30/2049

    1,390       1,334  

Essential Utilities

               

4.276%, 05/01/2049

    1,045       1,108  

Evergy Kansas Central

               

3.450%, 04/15/2050

    1,430       1,372  

Evergy Metro

               

5.300%, 10/01/2041

    150       180  

4.200%, 06/15/2047

    500       539  

4.200%, 03/15/2048

    1,000       1,075  

Exelon

               

4.950%, 06/15/2035

    1,410       1,576  

4.700%, 04/15/2050

    700       794  

Florida Power & Light

               

5.960%, 04/01/2039

    2,255       2,957  

5.690%, 03/01/2040

    4,978       6,400  

5.650%, 02/01/2037

    1,000       1,257  

4.050%, 06/01/2042

    1,985       2,127  

4.050%, 10/01/2044

    2,715       2,914  

3.950%, 03/01/2048

    2,965       3,192  

3.800%, 12/15/2042

    3,935       4,095  

3.700%, 12/01/2047

    600       617  

2.875%, 12/04/2051

    1,720       1,565  

2.450%, 02/03/2032

    4,845       4,705  

Georgia Power

               

4.300%, 03/15/2042

    6,235       6,506  

4.300%, 03/15/2043

    2,265       2,346  

3.700%, 01/30/2050

    3,290       3,134  

Gulf Power

               

4.550%, 10/01/2044

    700       805  

Idaho Power

               

4.200%, 03/01/2048

    1,610       1,789  

Indiana Michigan Power

               

4.550%, 03/15/2046

    780       857  

4.250%, 08/15/2048

    1,070       1,145  

Indianapolis Power & Light

               

4.650%, 06/01/2043 (A)

     1,750       1,953  

International Transmission

               

4.625%, 08/15/2043

    2,525       2,885  

Jersey Central Power & Light

               

6.150%, 06/01/2037

    775       976  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

John Sevier Combined Cycle Generation

               

4.626%, 01/15/2042

  $ 4,186     $ 4,814  

KeySpan Gas East

               

5.819%, 04/01/2041 (A)

     2,117       2,542  

MidAmerican Energy

               

4.800%, 09/15/2043

    5,260       6,096  

4.400%, 10/15/2044

    5,750       6,399  

4.250%, 05/01/2046

    1,925       2,143  

3.950%, 08/01/2047

    575       612  

3.650%, 08/01/2048

    3,125       3,160  

3.150%, 04/15/2050

    2,880       2,715  

MidAmerican Energy MTN

               

5.800%, 10/15/2036

    635       807  

5.750%, 11/01/2035

    640       806  

Narragansett Electric

               

4.170%, 12/10/2042 (A)

     1,000       1,042  

Niagara Mohawk Power

               

4.278%, 10/01/2034 (A)

     2,303       2,482  

4.119%, 11/28/2042 (A)

     2,000       2,024  

NiSource

               

5.800%, 02/01/2042

    900       1,076  

3.600%, 05/01/2030

    1,446       1,478  

Northern States Power

               

6.250%, 06/01/2036

    3,755       4,939  

6.200%, 07/01/2037

    6,850       9,152  

3.600%, 05/15/2046

    500       504  

3.400%, 08/15/2042

    464       456  

3.200%, 04/01/2052

    770       749  

2.250%, 04/01/2031

    805       769  

NSTAR Electric

               

3.100%, 06/01/2051

    2,625       2,446  

Oglethorpe Power

               

5.375%, 11/01/2040

    1,870       2,187  

5.250%, 09/01/2050

    840       962  

4.250%, 04/01/2046

    1,355       1,345  

4.200%, 12/01/2042

    2,955       2,942  

Ohio Edison

               

8.250%, 10/15/2038

    655       978  

Oncor Electric Delivery LLC

               

5.350%, 10/01/2052

    756       991  

5.300%, 06/01/2042

    419       515  

5.250%, 09/30/2040

    4,606       5,577  

4.550%, 12/01/2041

    3,870       4,367  

4.100%, 11/15/2048

    750       808  

3.800%, 06/01/2049

    4,650       4,870  

3.700%, 05/15/2050

    1,520       1,549  

3.100%, 09/15/2049

    75       69  

2.700%, 11/15/2051 (A)

     2,120       1,803  

Pacific Gas and Electric

               

4.450%, 04/15/2042

    1,465       1,369  

4.200%, 06/01/2041

    1,355       1,229  

3.750%, 08/15/2042

    95       81  

 

 

 

296

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

PacifiCorp

               

6.250%, 10/15/2037

  $ 3,180     $ 4,103  

6.000%, 01/15/2039

    4,405       5,582  

4.100%, 02/01/2042

    2,015       2,092  

3.300%, 03/15/2051

    820       770  

2.900%, 06/15/2052

    2,210       1,942  

PECO Energy

               

4.800%, 10/15/2043

    1,505       1,769  

3.700%, 09/15/2047

    800       828  

3.050%, 03/15/2051

    1,919       1,788  

Pennsylvania Electric

               

6.150%, 10/01/2038

    100       125  

Piedmont Natural Gas

               

4.650%, 08/01/2043

    1,330       1,493  

3.640%, 11/01/2046

    1,300       1,237  

PPL Electric Utilities

               

4.750%, 07/15/2043

    3,600       4,160  

4.125%, 06/15/2044

    1,925       2,066  

3.950%, 06/01/2047

    2,425       2,575  

Public Service Electric and Gas MTN

               

4.150%, 11/01/2045

    2,106       2,258  

4.050%, 05/01/2048

    2,176       2,325  

4.000%, 06/01/2044

    695       720  

3.800%, 03/01/2046

    900       937  

3.650%, 09/01/2042

    1,280       1,296  

3.600%, 12/01/2047

    3,810       3,854  

3.200%, 08/01/2049

    3,790       3,617  

Public Service of Colorado

               

6.500%, 08/01/2038

    40       53  

6.250%, 09/01/2037

    1,230       1,662  

4.750%, 08/15/2041

    40       45  

4.300%, 03/15/2044

    1,450       1,588  

4.050%, 09/15/2049

    1,505       1,608  

3.950%, 03/15/2043

    4,405       4,519  

3.200%, 03/01/2050

    1,175       1,093  

Public Service of New Hampshire

               

3.600%, 07/01/2049

    1,760       1,767  

Puget Sound Energy

               

5.795%, 03/15/2040

    130       162  

4.223%, 06/15/2048

    2,470       2,659  

2.893%, 09/15/2051

    2,315       2,037  

San Diego Gas & Electric

               

6.000%, 06/01/2026

    340       385  

4.100%, 06/15/2049

    1,540       1,619  

3.750%, 06/01/2047

    2,380       2,405  

3.320%, 04/15/2050

    3,259       3,074  

Sempra Energy

               

4.000%, 02/01/2048

    1,022       1,027  

Southern California Edison

               

5.950%, 02/01/2038

    280       334  

4.650%, 10/01/2043

    2,480       2,638  

4.125%, 03/01/2048

    4,335       4,371  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.050%, 03/15/2042

  $ 5,355     $ 5,239  

4.000%, 04/01/2047

    2,720       2,686  

3.650%, 03/01/2028

    2,075       2,151  

3.650%, 02/01/2050

    360       340  

Southern California Gas

               

4.300%, 01/15/2049

    1,230       1,346  

4.125%, 06/01/2048

    4,025       4,275  

3.750%, 09/15/2042

    2,390       2,379  

Southern Gas Capital

               

4.400%, 06/01/2043

    825       854  

4.400%, 05/30/2047

    50       53  

3.950%, 10/01/2046

    490       488  

Southwest Gas

               

3.180%, 08/15/2051

    1,065       935  

Southwestern Electric Power

               

6.200%, 03/15/2040

    1,204       1,530  

3.850%, 02/01/2048

    3,505       3,376  

Southwestern Public Service

               

4.500%, 08/15/2041

    9,440       10,471  

3.700%, 08/15/2047

    1,930       1,967  

Tampa Electric

               

4.350%, 05/15/2044

    1,225       1,332  

3.625%, 06/15/2050

    1,684       1,679  

3.450%, 03/15/2051

    600       574  

Tucson Electric Power

               

4.850%, 12/01/2048

    1,865       2,147  

4.000%, 06/15/2050

    240       244  

3.250%, 05/01/2051

    1,500       1,362  

Virginia Electric and Power

               

8.875%, 11/15/2038

    1,982       3,219  

6.350%, 11/30/2037

    2,480       3,301  

4.650%, 08/15/2043

    4,770       5,395  

4.600%, 12/01/2048

    3,310       3,789  

4.450%, 02/15/2044

    6,250       6,942  

4.000%, 01/15/2043

    300       318  

2.950%, 11/15/2051

    2,330       2,103  

2.450%, 12/15/2050

    540       440  

Wisconsin Electric Power

               

3.650%, 12/15/2042

    2,310       2,249  

Wisconsin Power & Light

               

4.100%, 10/15/2044

    325       340  

3.650%, 04/01/2050

    640       652  

Wisconsin Public Service

               

4.752%, 11/01/2044

    1,725       2,015  

2.850%, 12/01/2051

    800       697  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

297

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Xcel Energy

               

4.800%, 09/15/2041

  $ 1,707     $ 1,878  
                 
              551,078  
                 

Total Corporate Obligations

                

(Cost $2,898,455) ($ Thousands)

             2,904,953  
                 
                 
                 

MUNICIPAL BONDS — 6.1%

Alabama — 0.0%

        

Alabama State, Federal Aid Highway Finance Authority, Ser B, RB

               

Callable 09/01/2031 @ 100

               

2.650%, 09/01/2037

    1,075       1,043  
                 
                 

California — 2.8%

        

Bay Area, Toll Authority, Build America Project, RB

               

6.263%, 04/01/2049

    2,545       3,870  

California State University, Ser B, RB

               

2.719%, 11/01/2052

    890       831  

California State University, Ser B, RB

               

Callable 05/01/2047 @ 100

               

3.899%, 11/01/2047

    2,375       2,672  

California State, Build America Project, GO

               

7.625%, 03/01/2040

    870       1,349  

7.600%, 11/01/2040

    385       616  

7.550%, 04/01/2039

    1,535       2,414  

7.500%, 04/01/2034

    17,795       25,984  

7.300%, 10/01/2039

    10,750       15,933  

East Bay, Municipal Utility District Water System Revenue, RB

               

5.874%, 06/01/2040

    1,255       1,732  

Los Angeles County, Metropolitan Transportation Authority, RB

               

5.735%, 06/01/2039

    960       1,226  

Los Angeles, Community College District, Build America Project, GO

               

6.750%, 08/01/2049

    1,025       1,629  

Los Angeles, Community College District, Ser D, GO

               

6.680%, 08/01/2036

    500       704  

Los Angeles, Department of Airports, RB

               

3.887%, 05/15/2038

    1,430       1,517  

Los Angeles, Department of Water & Power, RB

               

5.716%, 07/01/2039

    1,510       2,054  

Los Angeles, Department of Water & Power, Ser C, RB

               

5.516%, 07/01/2027

    955       1,112  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

Los Angeles, Unified School District, Build America Project, GO

               

5.750%, 07/01/2034

  $ 1,785     $ 2,244  

Los Angeles, Unified School District, Build America Project, Ser RY, GO

               

6.758%, 07/01/2034

    4,950       6,659  

San Diego County, Water Authority, Build America Project, RB

               

6.138%, 05/01/2049

    1,000       1,439  

San Francisco, Public Utilities Commission, Water Revenue, Build America Project, Ser DE, RB

               

6.000%, 11/01/2040

    1,000       1,344  

San Francisco, Public Utilities Commission, Water Revenue, Ser E, RB

               

Callable 11/01/2030 @ 100

               

2.825%, 11/01/2041

    835       792  

San Jose, Redevelopment Agency, Ser A-T, TA

               

Callable 08/01/2027 @ 100

               

3.375%, 08/01/2034

    1,250       1,292  

University of California Regents, Ser N, RB

               

Callable 11/15/2049 @ 100

               

3.006%, 05/15/2050

    2,005       1,955  

University of California Regents, Ser N, RB

               

Callable 11/15/2059 @ 100

               

3.256%, 05/15/2060

    1,995       2,035  

University of California, RB

               

5.946%, 05/15/2045

    3,000       3,953  

University of California, Ser AP, RB

               

3.931%, 05/15/2045

    950       1,018  

University of California, Ser AQ, RB

               

4.767%, 05/15/2115

    1,701       2,207  

University of California, Ser J, RB

               

4.131%, 05/15/2045

    1,000       1,098  
                 
              89,679  
                 

District of Columbia — 0.0%

        

District of Columbia, Water & Sewer Authority, RB

               

4.814%, 10/01/2114

    530       717  
                 
                 

Florida — 0.1%

        

Florida State, Board of Administration Finance, Ser A, RB

               

2.154%, 07/01/2030

    3,812       3,700  
                 
                 

 

 

 

298

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

Georgia — 0.1%

        

Georgia State, Municipal Electric Authority, Build America Project, RB

               

7.055%, 04/01/2057

  $ 2,038     $ 2,863  

6.637%, 04/01/2057

    512       735  
                 
              3,598  
                 

Illinois — 0.1%

        

Greater Chicago, Metropolitan Water Reclamation District, GO

               

5.720%, 12/01/2038

    3,205       4,244  
                 
                 

Kansas — 0.1%

        

Kansas State, Development Finance Authority, Ser H, RB

               

4.727%, 04/15/2037

    2,890       3,419  
                 
                 

Maryland — 0.0%

        

Baltimore, Revenue Authority, Water Project, Ser B, RB

               

Callable 07/01/2030 @ 100

               

2.814%, 07/01/2040

    890       872  
                 
                 

Massachusetts — 0.3%

        

Massachusetts State, Build America Project, GO

               

5.456%, 12/01/2039

    4,085       5,323  

Massachusetts State, Educational Financing Authority, Ser A, RB

               

3.105%, 07/01/2030

    1,695       1,749  

Massachusetts State, School Building Authority, Sub-Ser A, RB

               

Callable 02/15/2031 @ 100

               

2.500%, 02/15/2037

    1,120       1,051  
                 
              8,123  
                 

Missouri — 0.0%

        

Missouri State, Health & Educational Facilities Authority, Ser A, RB

               

3.685%, 02/15/2047

    675       743  
                 
                 

New Jersey — 0.2%

        

New Jersey State, Turnpike Authority, Build America Project, RB

               

7.414%, 01/01/2040

    985       1,524  

7.102%, 01/01/2041

    2,460       3,708  

New Jersey State, Turnpike Authority, Ser F, RB

               

3.729%, 01/01/2036

    1,000       1,081  
                 
              6,313  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

New York — 1.1%

        

New York & New Jersey, Port Authority, RB

               

4.926%, 10/01/2051

  $ 245     $ 310  

4.458%, 10/01/2062

    2,690       3,226  

New York & New Jersey, Port Authority, Ser 181, RB

               

4.960%, 08/01/2046

    465       576  

New York City, Build America Project, GO

               

5.985%, 12/01/2036

    1,340       1,717  

New York City, Municipal Water Finance Authority, Build America Project, RB

               

6.011%, 06/15/2042

    750       1,064  

5.882%, 06/15/2044

    500       715  

5.724%, 06/15/2042

    3,720       5,152  

5.440%, 06/15/2043

    3,000       4,062  

New York City, Transitional Finance Authority, Build America Project, RB

               

5.572%, 11/01/2038

    2,475       3,072  

New York City, Transitional Finance Authority, Future Tax Secured Revenue, RB

               

5.767%, 08/01/2036

    4,000       4,828  

5.508%, 08/01/2037

    1,890       2,369  

New York State, Dormitory Authority, Ser F, RB

               

3.110%, 02/15/2039

    4,220       4,280  

New York State, Urban Development, RB

               

5.770%, 03/15/2039

    1,970       2,341  

New York State, Urban Development, Ser B, RB

               

Callable 09/15/2031 @ 100

               

2.590%, 03/15/2035

    810       774  
                 
              34,486  
                 

Ohio — 0.2%

        

JobsOhio Beverage System, Ser A, RB

               

2.833%, 01/01/2038

    460       450  

Ohio State University, Build America Project, GO

               

4.910%, 06/01/2040

    2,265       2,882  

Ohio State University, Ser A, RB

               

4.048%, 12/01/2056

    1,650       1,980  

Ohio State, Hospital Facilities Revenue Authority, Cleveland Clinic, RB

               

3.700%, 01/01/2043

    970       1,060  
                 
              6,372  
                 

Pennsylvania — 0.1%

        

Pennsylvania State, Financing Authority, Ser A, RB

               

4.144%, 06/01/2038

    2,865       3,233  
                 
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

299

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

Texas — 0.9%

        

Dallas County, Hospital District, Build America Project, Ser C, GO

               

5.621%, 08/15/2044

  $ 2,250     $ 3,035  

Dallas Fort Worth, International Airport, Ser A, RB

               

2.994%, 11/01/2038

    4,095       4,186  

Grand Parkway, Transportation Corp, Ser E, RB

               

5.184%, 10/01/2042

    325       410  

Houston, GO

               

3.961%, 03/01/2047

    1,500       1,670  

North Texas, Tollway Authority, Build America Project, RB

               

6.718%, 01/01/2049

    1,165       1,820  

North Texas, Tollway Authority, RB

               

Callable 01/01/2029 @ 100

               

3.079%, 01/01/2042

    1,170       1,132  

San Antonio, Electric & Gas Systems Revenue, RB

               

5.808%, 02/01/2041

    2,800       3,788  

Texas State, Build America Project, GO

               

5.517%, 04/01/2039

    3,825       5,171  

University of Texas, Build America Bonds, RB

               

5.262%, 07/01/2039

    4,540       6,011  
                 
              27,223  
                 

Virginia — 0.0%

        

Virginia Commonwealth University, Health System Authority, Ser A, RB

               

4.956%, 01/01/2044

    475       599  
                 
                 

Washington — 0.1%

        

Washington State, Build America Project, GO

               

5.140%, 08/01/2040

    2,495       3,216  
                 
                 
                 

Total Municipal Bonds

                

(Cost $185,113) ($ Thousands)

             197,580  
                 
                 
                 

U.S. TREASURY OBLIGATIONS — 5.4%

U.S. Treasury Bonds

               

2.375%, 02/15/2042

    51,015       52,091  

2.250%, 02/15/2052

    5,580       5,685  

2.000%, 11/15/2041

    23,700       22,689  

2.000%, 08/15/2051

    5,296       5,080  

1.875%, 11/15/2051

    39,405       36,764  

1.750%, 08/15/2041

    10,023       9,187  

U.S. Treasury Inflation-Protected Securities

               

1.000%, 02/15/2049

    2,291       2,998  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS (continued)

U.S. Treasury Notes

               

1.875%, 02/15/2032

  $ 41,205     $ 41,359  

1.750%, 01/31/2029

    1,320       1,313  
         

Total U.S. Treasury Obligations

        

(Cost $173,905) ($ Thousands)

     177,166  
                 
                 
                 

SOVEREIGN DEBT — 0.6%
                 

Airport Authority

                

3.500%, 01/12/2062(A)

     1,340       1,318  

Chile Government International Bond

                

3.500%, 01/25/2050

     3,790       3,447  

3.100%, 05/07/2041

     7,805       6,841  

Indonesia Government International Bond

                

3.700%, 10/30/2049

     1,530       1,445  

Israel Government International Bond

                

4.125%, 01/17/2048

     1,220       1,350  

3.875%, 07/03/2050

     3,210       3,409  

3.375%, 01/15/2050

     1,525       1,488  

Mexico Government International Bond MTN

                

5.750%, 10/12/2110

     285       293  

4.750%, 03/08/2044

     490       485  
                 

Total Sovereign Debt

        

(Cost $21,936) ($ Thousands)

     20,076  
                 
                 
                 

ASSET-BACKED SECURITY — 0.1%

Other Asset-Backed Security — 0.1%

        
         

American Tower Trust I, Ser 2013-13, Cl 2A

                

3.070%, 03/15/2048 (A)

     2,774       2,780  
                 
                 

Total Asset-Backed Security

                

(Cost $2,707) ($ Thousands)

             2,780  
                 
   


Shares

          

CASH EQUIVALENT — 0.5%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     16,785,046       16,785  
                 

Total Cash Equivalent

                

(Cost $16,785) ($ Thousands)

             16,785  
                 
                 

Total Investments in Securities — 101.8%

                

(Cost $3,298,901) ($ Thousands)

  $ 3,319,340  
                 
                 
                 
                 

 

 

 

300

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

             

Description

  

Contracts

    

Market Value
($ Thousands)

  

PURCHASED SWAPTION (C)* — 0.0%

Total Purchased Swaption

                

(Cost $78) ($ Thousands)

     2,500,000     $ 99  
                 
                 

 

 
 

 

A list of the OTC swaption contracts held by the Fund at February 28, 2022, is as follows:

 

Description

  

Counterparty

    

Number of Contracts/ Notional Amount

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

PURCHASED SWAPTION — 0.0%

                        

Put Swaption

                                

3Y30Y Put*

     Bank of America Merill Lynch       2,500,000     $ 2.75       01/23/2024     $ 99  

 

The list of open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

U.S. 5-Year Treasury Notes

     176       Jul-2022     $ 20,667     $ 20,817     $ 150  

U.S. 10-Year Treasury Notes

     830       Jun-2022       105,080       105,772       692  

U.S. Long Treasury Bond

     157       Jun-2022       24,206       24,600       394  

U.S. Ultra Long Treasury Bond

     55       Jun-2022       10,098       10,227       129  

Ultra 10-Year U.S. Treasury Notes

     218       Jun-2022       30,402       30,810       408  
                      190,453       192,226       1,773  

Short Contracts

                                        

U.S. 2-Year Treasury Notes

     (171 )     Jul-2022     $ (36,729 )   $ (36,804 )   $ (75 )

U.S. 5-Year Treasury Notes

     (146 )     Jul-2022       (17,166 )     (17,269 )     (103 )

U.S. Long Treasury Bond

     (60 )     Jun-2022       (9,276 )     (9,401 )     (125 )

U.S. Ultra Long Treasury Bond

     (219 )     Jun-2022       (40,189 )     (40,720 )     (531 )

Ultra 10-Year U.S. Treasury Notes

     (194 )     Jun-2022       (27,143 )     (27,418 )     (275 )
                      (130,503 )     (131,612 )     (1,109 )
                    $ 59,950     $ 60,614     $ 664  

 

A list of the open centrally cleared swap agreements held by the Fund at February 28, 2022, is as follows:

 

Interest Rate Swaps

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

3 MONTH USD – LIBOR

     .0725       Semi-Annually       07/24/2025       USD       6,330     $ (120 )   $ –     $ (120 )

3 MONTH USD – LIBOR

     .0255       Semi-Annually       07/24/2025       USD       12,660       (252 )     –       (252 )

3 MONTH USD – LIBOR

     .0355%       Semi-Annually       07/24/2025       USD       9,375       (185 )     –       (185 )

FLOATING

     1.39% FIXED       Semi-Annually       09/28/2025       USD       14,240       (179 )     –       (179 )

3 MONTH USD LIBOR

     1.6875       Semi-Annually       12/07/2025       USD       13,725       (88 )     –       (88 )

1.8075

     3 MONTH USD - LIBOR       Quarterly       07/24/2053       USD       530       24       –       24  

1.7725%

     3M USD LIBOR       Quarterly       07/24/2053       USD       1,060       57       –       57  

1.785%

     3 MONTH USD – LIBOR       Quarterly       07/24/2053       USD       780       40       –       40  

1.87% FIXED

     FLOATING       Quarterly       09/28/2053       USD       1,215       37       –       37  

1.7425

     3 MONTH USD LIBOR       Quarterly       12/07/2053       USD       1,150       68       –       68  
                                            $ (598 )   $ –     $ (598 )

 

 

 

Percentages are based on Net Assets of $3,261,907 ($ Thousands).

*

Non-income producing security.

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

 

(A)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On February 28, 2022, the value of these securities amounted to $275,483 ($ Thousands), representing 8.4% of the Net Assets of the Fund.

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

301

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Continued)

 

(B)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(C)

Refer to table below for details on Swaption Contracts.

 

Cl — Class

DAC — Designated Activity Company

GO — General Obligation

ICE— Intercontinental Exchange

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

LP — Limited Partnership

MTN — Medium Term Note

OTC — Over The Counter

PLC — Public Limited Company

PTY — Proprietary

RB — Revenue Bond

Ser — Series

SOFR — Secured Overnight Financing Rate

TA — Tax Allocation

USD — U.S. Dollar

 

The following is a summary of the level of inputs used as of February 28, 2022, in valuing the Fund's investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Corporate Obligations

     –       2,904,953       –       2,904,953  

Municipal Bonds

     –       197,580       –       197,580  

U.S. Treasury Obligations

     –       177,166       –       177,166  

Sovereign Debt

     –       20,076       –       20,076  

Asset-Backed Security

     –       2,780       –       2,780  

Cash Equivalent

     16,785       –       –       16,785  

Total Investments in Securities

     16,785       3,302,555       –       3,319,340  

 

Other Financial Instruments

  

Level 1

($)

    

Level 2

($)

    

Level 3

($)

    

Total

($)

  

Purchased Swaption

     —       99       —       99  

Futures Contracts *

                                

Unrealized Appreciation

     1,773       —       —       1,773  

Unrealized Depreciation

     (1,109 )     —       —       (1,109 )

Centrally Cleared Swaps

                                

Interest Rate Swaps *

                                

Unrealized Appreciation

     —       226       —       226  

Unrealized Depreciation

     —       (824 )     —       (824 )

Total Other Financial Instruments

     664       (499 )     —       165  

 

*

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

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

302

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Long Duration Credit Fund (Concluded)

 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value

5/31/2021

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain/ (Loss)

    

Change in Unrealized Appreciation/​(Depreciation)

    

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 60,077     $ 1,266,489     $ (1,309,781 )   $ —     $ —     $ 16,785       16,785,046     $ 3     $ —  

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

303

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS — 38.8%

Communication Services — 1.7%

        

AT&T

               

9.150%, 02/01/2023

  $ 1,200     $ 1,283  

0.690%, SOFRINDX + 0.640%, 03/25/2024 (A)

     3,400       3,401  

NTT Finance

               

0.373%, 03/03/2023 (B)

     3,675       3,636  

Verizon Communications

               

0.839%, SOFRINDX + 0.790%, 03/20/2026 (A)

     1,200       1,208  

0.549%, SOFRINDX + 0.500%, 03/22/2024 (A)

     1,200       1,203  
                 
              10,731  
                 

Consumer Discretionary — 4.6%

        

7-Eleven

               

0.625%, 02/10/2023 (B)

     5,690       5,644  

American Honda Finance MTN

               

0.875%, 07/07/2023

    550       545  

Daimler Finance North America LLC

               

2.550%, 08/15/2022 (B)

     3,650       3,672  

Daimler Trucks Finance North America LLC

               

0.799%, U.S. SOFR + 0.750%, 12/13/2024 (A)(B)

     1,125       1,126  

Ford Motor Credit LLC

               

1.490%, ICE LIBOR USD 3 Month + 1.270%, 03/28/2022 (A)

     750       750  

General Motors Financial

               

4.250%, 05/15/2023

    800       823  

3.450%, 04/10/2022

    1,450       1,453  

0.809%, U.S. SOFR + 0.760%, 03/08/2024 (A)

     1,000       1,002  

0.669%, U.S. SOFR + 0.620%, 10/15/2024 (A)

     4,825       4,809  

Howard University

               

2.801%, 10/01/2023

    575       576  

Hyatt Hotels

               

1.300%, 10/01/2023

    340       335  

1.099%, SOFRINDX + 1.050%, 10/01/2023 (A)

     1,150       1,152  

Hyundai Capital America MTN

               

0.800%, 04/03/2023 (B)

     1,445       1,424  

Lennar

               

4.750%, 11/15/2022

    1,245       1,263  

Nordstrom

               

2.300%, 04/08/2024

    530       510  

Starbucks

               

3.100%, 03/01/2023

    1,150       1,168  

0.470%, SOFRINDX + 0.420%, 02/14/2024 (A)

     645       646  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Volkswagen Group of America Finance LLC

               

2.700%, 09/26/2022 (B)

   $ 1,125     $ 1,132  
                 
              28,030  
                 

Consumer Staples — 1.7%

        

Bunge Finance

               

3.000%, 09/25/2022

    1,000       1,008  

Cargill

               

1.375%, 07/23/2023 (B)

     475       473  

Coca-Cola Europacific Partners

               

0.500%, 05/05/2023 (B)

     2,400       2,362  

Conagra Brands

               

3.250%, 09/15/2022

    996       1,004  

0.500%, 08/11/2023

    675       662  

JDE Peet's

               

0.800%, 09/24/2024 (B)

     1,000       958  

Keurig Dr Pepper

               

0.750%, 03/15/2024

    3,570       3,481  
                 
              9,948  
                 

Energy — 1.9%

        

ConocoPhillips

               

2.125%, 03/08/2024

    775       775  

Enbridge

               

0.680%, SOFRINDX + 0.630%, 02/16/2024 (A)

     1,400       1,404  

0.450%, U.S. SOFR + 0.400%, 02/17/2023 (A)

     1,885       1,883  

Phillips 66

               

3.700%, 04/06/2023

    455       465  

Pioneer Natural Resources

               

0.550%, 05/15/2023

    1,635       1,614  

Regency Energy Partners

               

5.000%, 10/01/2022

    1,315       1,331  

Saudi Arabian Oil

               

1.250%, 11/24/2023 (B)

     200       197  

Saudi Arabian Oil MTN

               

2.750%, 04/16/2022 (B)

     3,525       3,534  

Southern Natural Gas LLC

               

0.625%, 04/28/2023 (B)

     695       684  
                 
              11,887  
                 

Financials — 17.4%

        

AIG Global Funding

               

0.800%, 07/07/2023 (B)

     570       563  

American Express

               

0.750%, 11/03/2023

    3,105       3,053  

Aon

               

2.200%, 11/15/2022

    55       55  

Athene Global Funding

               

0.764%, U.S. SOFR + 0.715%, 01/07/2025 (A)(B)

     800       800  

 

 

 

304

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

0.750%, U.S. SOFR + 0.700%, 05/24/2024 (A)(B)

   $ 1,820     $ 1,822  

Bank of America

               

0.740%, U.S. SOFR + 0.690%, 04/22/2025 (A)

     1,600       1,604  

0.710%, U.S. SOFR + 0.660%, 02/04/2025 (A)

     950       951  

Bank of America MTN

               

1.486%, U.S. SOFR + 1.460%, 05/19/2024 (A)

     475       472  

0.909%, BSBY3M + 0.430%, 05/28/2024 (A)

     1,350       1,350  

Bank of Montreal MTN

               

0.729%, SOFRINDX + 0.680%, 03/10/2023 (A)

     1,000       1,003  

0.669%, SOFRINDX + 0.620%, 09/15/2026 (A)

     1,350       1,347  

0.515%, U.S. SOFR + 0.465%, 01/10/2025 (A)

     800       801  

Bank of Nova Scotia

               

1.950%, 02/01/2023

    2,720       2,728  

0.599%, SOFRINDX + 0.550%, 09/15/2023 (A)

     2,925       2,931  

0.430%, U.S. SOFR + 0.380%, 07/31/2024 (A)

     1,375       1,373  

Brighthouse Financial Global Funding MTN

               

0.809%, U.S. SOFR + 0.760%, 04/12/2024 (A)(B)

     1,080       1,084  

Canadian Imperial Bank of Commerce

               

0.470%, U.S. SOFR + 0.420%, 10/18/2024 (A)

     825       825  

0.449%, SOFRINDX + 0.400%, 12/14/2023 (A)

     3,115       3,117  

Capital One Financial

               

0.740%, U.S. SOFR + 0.690%, 12/06/2024 (A)

     800       800  

Charles Schwab

               

0.549%, SOFRINDX + 0.500%, 03/18/2024 (A)

     1,000       1,001  

Citigroup

               

0.744%, U.S. SOFR + 0.694%, 01/25/2026 (A)

     650       651  

0.719%, U.S. SOFR + 0.669%, 05/01/2025 (A)

     800       801  

CNA Financial

               

7.250%, 11/15/2023

    500       541  

Commonwealth Bank of Australia

               

0.569%, U.S. SOFR + 0.520%, 06/15/2026 (A)(B)

     850       852  

Credit Suisse NY

               

0.520%, 08/09/2023

    1,375       1,349  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

0.440%, SOFRINDX + 0.390%, 02/02/2024 (A)

   $ 4,455     $ 4,450  

Deutsche Bank NY

               

1.269%, U.S. SOFR + 1.219%, 11/16/2027 (A)

     1,100       1,087  

0.550%, U.S. SOFR + 0.500%, 11/08/2023 (A)

     1,150       1,148  

Discover Bank

               

3.350%, 02/06/2023

    3,080       3,121  

Fifth Third Bank MTN

               

1.800%, 01/30/2023

    250       251  

GA Global Funding Trust

               

0.549%, U.S. SOFR + 0.500%, 09/13/2024 (A)(B)

     3,525       3,520  

Goldman Sachs Group

               

3.200%, 02/23/2023

    2,315       2,343  

0.750%, U.S. SOFR + 0.700%, 01/24/2025 (A)

     800       801  

0.669%, U.S. SOFR + 0.620%, 12/06/2023 (A)

     4,165       4,170  

0.627%, U.S. SOFR + 0.538%, 11/17/2023 (A)

     895       888  

0.549%, U.S. SOFR + 0.500%, 09/10/2024 (A)

     550       547  

HSBC Bank Canada

               

0.950%, 05/14/2023 (B)

     2,000       1,990  

HSBC Holdings

               

0.630%, U.S. SOFR + 0.580%, 11/22/2024 (A)

     825       826  

Intercontinental Exchange

               

2.350%, 09/15/2022

    1,100       1,107  

Jackson Financial

               

1.125%, 11/22/2023 (B)

     825       812  

JPMorgan Chase

               

0.934%, U.S. SOFR + 0.885%, 04/22/2027 (A)

     1,600       1,606  

0.629%, U.S. SOFR + 0.580%, 03/16/2024 (A)

     4,210       4,217  

0.585%, U.S. SOFR + 0.535%, 06/01/2025 (A)

     925       921  

Macquarie Bank MTN

               

0.441%, 12/16/2022 (B)

     675       671  

Macquarie Group MTN

               

0.759%, U.S. SOFR + 0.710%, 10/14/2025 (A)(B)

     825       826  

MassMutual Global Funding II MTN

               

0.850%, 06/09/2023 (B)

     874       866  

Metropolitan Life Global Funding I

               

0.900%, 06/08/2023 (B)

     575       570  

Mizuho Financial Group

               

1.128%, ICE LIBOR USD 3 Month + 0.630%, 05/25/2024 (A)

     1,200       1,203  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

305

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Moody's

               

2.625%, 01/15/2023

  $ 2,600     $ 2,623  

Morgan Stanley

               

0.731%, U.S. SOFR + 0.616%, 04/05/2024 (A)

     600       592  

Morgan Stanley MTN

               

4.875%, 11/01/2022

    1,450       1,483  

3.750%, 02/25/2023

    3,820       3,893  

2.750%, 05/19/2022

    2,055       2,063  

National Bank of Canada

               

0.900%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.770%, 08/15/2023 (A)

     850       847  

0.750%, 08/06/2024

    675       653  

Nationwide Building Society

               

2.000%, 01/27/2023 (B)

     600       602  

0.550%, 01/22/2024 (B)

     750       729  

Natwest Group

               

6.000%, 12/19/2023

    925       981  

NatWest Markets

               

0.580%, U.S. SOFR + 0.530%, 08/12/2024 (A)(B)

     1,265       1,266  

Nordea Bank ABP

               

1.000%, 06/09/2023 (B)

     875       868  

Pacific Life Global Funding II

               

0.500%, 09/23/2023 (B)

     735       719  

Principal Life Global Funding II

               

0.499%, U.S. SOFR + 0.450%, 04/12/2024 (A)(B)

     430       431  

0.430%, U.S. SOFR + 0.380%, 08/23/2024 (A)(B)

     1,300       1,296  

Protective Life Global Funding

               

1.082%, 06/09/2023 (B)

     610       606  

Royal Bank of Canada

               

1.900%, 09/23/2022 (B)

     3,375       3,392  

Santander Holdings USA

               

3.400%, 01/18/2023

    675       685  

Skandinaviska Enskilda Banken

               

0.550%, 09/01/2023 (B)

     425       417  

Societe Generale

               

1.100%, U.S. SOFR + 1.050%, 01/21/2026 (A)(B)

     800       802  

State Street

               

2.825%, U.S. SOFR + 2.690%, 03/30/2023 (A)

     1,365       1,366  

Sumitomo Mitsui Trust Bank MTN

               

0.489%, U.S. SOFR + 0.440%, 09/16/2024 (A)(B)

     1,000       998  

Toronto-Dominion Bank

               

2.100%, 07/15/2022 (B)

     1,495       1,502  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Toronto-Dominion Bank MTN

               

0.639%, U.S. SOFR + 0.590%, 09/10/2026 (A)

   $ 850     $ 852  

0.530%, U.S. SOFR + 0.480%, 01/27/2023 (A)

     1,344       1,347  

Truist Financial MTN

               

0.449%, U.S. SOFR + 0.400%, 06/09/2025 (A)

     900       897  

UBS

               

0.519%, U.S. SOFR + 0.470%, 01/13/2025 (A)(B)

     2,340       2,339  

0.370%, U.S. SOFR + 0.320%, 06/01/2023 (A)(B)

     2,225       2,226  

UBS AG/London

               

0.700%, 08/09/2024 (B)

     850       822  

USAA Capital

               

1.500%, 05/01/2023 (B)

     890       889  
                 
              108,001  
                 

Health Care — 2.4%

        

AmerisourceBergen

               

0.737%, 03/15/2023

    1,100       1,091  

Anthem

               

2.950%, 12/01/2022

    925       936  

AstraZeneca

               

0.300%, 05/26/2023

    1,475       1,454  

Baxter International

               

0.490%, SOFRINDX + 0.440%, 11/29/2024 (A)(B)

     825       823  

Cigna

               

3.050%, 11/30/2022

    350       354  

0.613%, 03/15/2024

    570       555  

Humana

               

0.650%, 08/03/2023

    3,160       3,111  

Illumina

               

0.550%, 03/23/2023

    1,000       991  

PerkinElmer

               

0.550%, 09/15/2023

    1,250       1,229  

Royalty Pharma PLC

               

0.750%, 09/02/2023

    1,450       1,423  

Stryker

               

0.600%, 12/01/2023

    410       400  

Thermo Fisher Scientific

               

0.579%, U.S. SOFR + 0.530%, 10/18/2024 (A)

     3,010       3,012  
                 
              15,379  
                 

Industrials — 1.5%

        

AerCap Ireland Capital DAC

               

0.729%, U.S. SOFR + 0.680%, 09/29/2023 (A)

     1,325       1,322  

 

 

 

306

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Air Lease MTN

               

0.553%, ICE LIBOR USD 3 Month + 0.350%, 12/15/2022 (A)

   $ 1,200     $ 1,199  

Boeing

               

2.700%, 05/01/2022

    725       727  

1.167%, 02/04/2023

    1,100       1,096  

Carlisle

               

0.550%, 09/01/2023

    300       294  

DAE Funding LLC MTN

               

1.550%, 08/01/2024 (B)

     965       926  

PACCAR Financial MTN

               

0.800%, 06/08/2023

    320       317  

Penske Truck Leasing Lp

               

4.875%, 07/11/2022 (B)

     2,350       2,380  

TTX MTN

               

3.050%, 11/15/2022 (B)

     700       707  
                 
              8,968  
                 

Information Technology — 2.0%

        

Analog Devices

               

0.300%, U.S. SOFR + 0.250%, 10/01/2024 (A)

     590       590  

Fidelity National Information Services

               

0.375%, 03/01/2023

    950       938  

Hewlett Packard Enterprise

               

4.450%, 10/02/2023

    675       700  

Microchip Technology

               

0.972%, 02/15/2024

    610       595  

NXP BV

               

4.625%, 06/01/2023 (B)

     650       670  

Qorvo

               

1.750%, 12/15/2024 (B)

     635       615  

salesforce.com

               

0.625%, 07/15/2024

    2,740       2,664  

Skyworks Solutions

               

0.900%, 06/01/2023

    1,610       1,588  

SYNNEX

               

1.250%, 08/09/2024 (B)

     1,375       1,334  

VMware

               

1.000%, 08/15/2024

    2,210       2,146  

0.600%, 08/15/2023

    830       815  
                 
              12,655  
                 

Materials — 0.1%

        

International Flavors & Fragrances

               

0.697%, 09/15/2022 (B)

     380       379  

Martin Marietta Materials

               

0.650%, 07/15/2023

    495       487  
                 
              866  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Sovereign — 0.9%

        

European Investment Bank

               

0.339%, U.S. SOFR + 0.290%, 06/10/2022 (A)(B)

   $ 3,295     $ 3,297  

Inter-American Development Bank

               

0.309%, U.S. SOFR + 0.260%, 09/16/2022 (A)

     2,145       2,147  
                 
              5,444  
                 

Utilities — 4.6%

        

American Electric Power

               

0.797%, ICE LIBOR USD 3 Month + 0.480%, 11/01/2023 (A)

     1,430       1,429  

Atmos Energy

               

0.625%, 03/09/2023

    1,000       989  

CenterPoint Energy

               

0.700%, SOFRINDX + 0.650%, 05/13/2024 (A)

     625       625  

CenterPoint Energy Resources

               

1.004%, ICE LIBOR USD 3 Month + 0.500%, 03/02/2023 (A)

     876       876  

0.700%, 03/02/2023

    2,710       2,682  

Cleco Power LLC

               

0.703%, ICE LIBOR USD 3 Month + 0.500%, 06/15/2023 (A)(B)

     1,350       1,349  

Dominion Energy

               

2.450%, 01/15/2023 (B)

     800       804  

0.733%, ICE LIBOR USD 3 Month + 0.530%, 09/15/2023 (A)

     1,726       1,726  

DTE Energy

               

0.550%, 11/01/2022

    875       870  

Mississippi Power

               

0.350%, U.S. SOFR + 0.300%, 06/28/2024 (A)

     740       733  

NextEra Energy Capital Holdings

               

0.590%, SOFRINDX + 0.540%, 03/01/2023 (A)

     1,715       1,719  

0.450%, U.S. SOFR + 0.400%, 11/03/2023 (A)

     1,325       1,325  

OGE Energy

               

0.703%, 05/26/2023

    540       532  

ONE Gas

               

0.811%, ICE LIBOR USD 3 Month + 0.610%, 03/11/2023 (A)

     698       698  

Pacific Gas and Electric

               

3.250%, 02/16/2024

    625       629  

1.700%, 11/15/2023

    525       516  

1.200%, SOFRINDX + 1.150%, 11/14/2022 (A)

     750       750  

PPL Electric Utilities

               

0.470%, ICE LIBOR USD 3 Month + 0.250%, 09/28/2023 (A)

     1,235       1,232  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

307

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Public Service Enterprise Group

               

0.841%, 11/08/2023

  $ 3,815     $ 3,764  

Southern California Edison

               

0.879%, U.S. SOFR + 0.830%, 04/01/2024 (A)

     1,690       1,693  

Southern California Gas

               

0.548%, ICE LIBOR USD 3 Month + 0.350%, 09/14/2023 (A)

     1,795       1,791  

Virginia Electric and Power

               

3.450%, 09/01/2022

    1,600       1,609  
                 
              28,341  
                 

Total Corporate Obligations

                

(Cost $241,612) ($ Thousands)

             240,250  
                 
                 
                 

ASSET-BACKED SECURITIES — 29.4%

Automotive — 15.1%

        
         

American Credit Acceptance Receivables Trust, Ser 2018-2, Cl D

                

4.070%, 07/10/2024 (B)

     205       207  

American Credit Acceptance Receivables Trust, Ser 2021-1, Cl B

                

0.610%, 03/13/2025 (B)

     3,195       3,190  

American Credit Acceptance Receivables Trust, Ser 2021-2, Cl B

                

0.680%, 05/13/2025 (B)

     400       398  

American Credit Acceptance Receivables Trust, Ser 2021-3, Cl A

                

0.330%, 06/13/2025 (B)

     199       198  

American Credit Acceptance Receivables Trust, Ser 2021-3, Cl B

                

0.660%, 02/13/2026 (B)

     590       583  

American Credit Acceptance Receivables Trust, Ser 2021-4, Cl A

                

0.450%, 09/15/2025 (B)

     1,244       1,238  

American Credit Acceptance Receivables Trust, Ser 2022-1, Cl A

                

0.990%, 12/15/2025 (B)

     1,435       1,431  

Americredit Automobile Receivables Trust, Ser 2018-1, Cl C

                

3.500%, 01/18/2024

    325       327  

AmeriCredit Automobile Receivables Trust, Ser 2020-2, Cl C

                

1.480%, 02/18/2026

    2,145       2,130  

AmeriCredit Automobile Receivables Trust, Ser 2020-3, Cl A2

                

0.420%, 03/18/2024

    399       399  

AmeriCredit Automobile Receivables Trust, Ser 2020-3, Cl C

                

1.060%, 08/18/2026

    1,225       1,208  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

ARI Fleet Lease Trust, Ser 2020-A, Cl A2

                

1.770%, 08/15/2028 (B)

   $ 321     $ 322  

ARI Fleet Lease Trust, Ser 2020-A, Cl A3

                

1.800%, 08/15/2028 (B)

     250       251  

ARI Fleet Lease Trust, Ser 2021-A, Cl A2

                

0.370%, 03/15/2030 (B)

     300       297  

Avid Automobile Receivables Trust, Ser 2021-1, Cl A

                

0.610%, 01/15/2025 (B)

     301       300  

Capital One Prime Auto Receivables Trust, Ser 2020-1, Cl A3

                

1.600%, 11/15/2024

    501       502  

CarMax Auto Owner Trust, Ser 2019-1, Cl A3

                

3.050%, 03/15/2024

    618       622  

CarMax Auto Owner Trust, Ser 2019-3, Cl A3

                

2.180%, 08/15/2024

    547       550  

Carmax Auto Owner Trust, Ser 2019-3, Cl C

                

2.600%, 06/16/2025

    675       682  

Carmax Auto Owner Trust, Ser 2021-1, Cl A3

                

0.340%, 12/15/2025

    1,585       1,553  

Carmax Auto Owner Trust, Ser 2021-2, Cl A3

                

0.520%, 02/17/2026

    1,070       1,045  

Carvana Auto Receivables Trust, Ser 2021-N1, Cl A

                

0.700%, 01/10/2028

    1,153       1,133  

Carvana Auto Receivables Trust, Ser 2021-N2, Cl A1

                

0.320%, 03/10/2028

    81       81  

Carvana Auto Receivables Trust, Ser 2021-N2, Cl B

                

0.750%, 03/10/2028

    495       489  

Carvana Auto Receivables Trust, Ser 2021-N3, Cl B

                

0.660%, 06/12/2028

    1,725       1,706  

Carvana Auto Receivables Trust, Ser 2021-N4, Cl A1

                

0.830%, 09/11/2028

    852       845  

Carvana Auto Receivables Trust, Ser 2021-P3, Cl A2

                

0.380%, 01/10/2025

    669       663  

CFMT LLC, Ser 2021-AL1, Cl B

                

1.390%, 09/22/2031 (B)

     1,254       1,239  

Chesapeake Funding II LLC, Ser 2018-3A, Cl A1

                

3.390%, 01/15/2031 (B)

     154       156  

Chesapeake Funding II LLC, Ser 2019-2A, Cl A1

                

1.950%, 09/15/2031 (B)

     469       471  

Chesapeake Funding II LLC, Ser 2021-1A, Cl A2

                

0.421%, ICE LIBOR USD 1 Month + 0.230%, 04/15/2033 (A)(B)

     498       494  

 

 

 

308

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

CPS Auto Receivables Trust, Ser 2021-A, Cl A

                

0.350%, 01/16/2024 (B)

   $ 98     $ 98  

CPS Auto Receivables Trust, Ser 2021-A, Cl B

                

0.610%, 02/18/2025 (B)

     895       894  

CPS Auto Receivables Trust, Ser 2021-B, Cl A

                

0.370%, 03/17/2025 (B)

     285       285  

CPS Auto Receivables Trust, Ser 2021-B, Cl B

                

0.810%, 12/15/2025 (B)

     1,100       1,089  

CPS Auto Receivables Trust, Ser 2021-C, Cl B

                

0.840%, 07/15/2025 (B)

     1,900       1,877  

CPS Auto Receivables Trust, Ser 2022-A, Cl A

                

0.980%, 04/16/2029 (B)

     2,431       2,421  

Credit Acceptance Auto Loan Trust, Ser 2019-3A, Cl A

                

2.380%, 11/15/2028 (B)

     2,347       2,355  

Credit Acceptance Auto Loan Trust, Ser 2020-1A, Cl A

                

2.010%, 02/15/2029 (B)

     885       887  

Credit Acceptance Auto Loan Trust, Ser 2021-3A, Cl A

                

1.000%, 05/15/2030 (B)

     570       556  

Donlen Fleet Lease Funding 2 LLC, Ser 2021-2, Cl A1

                

0.456%, ICE LIBOR USD 1 Month + 0.330%, 12/11/2034 (A)(B)

     1,200       1,198  

Donlen Fleet Lease Funding II LLC, Ser 2021-2, Cl A2

                

0.560%, 12/11/2034 (B)

     1,579       1,554  

Drive Auto Receivables Trust, Ser 2018-2, Cl D

                

4.140%, 08/15/2024

    204       206  

Drive Auto Receivables Trust, Ser 2021-1, Cl B

                

0.650%, 07/15/2025

    805       803  

DT Auto Owner Trust, Ser 2019-2A, Cl C

                

3.180%, 02/18/2025 (B)

     385       387  

DT Auto Owner Trust, Ser 2020-2A, Cl A

                

1.140%, 01/16/2024 (B)

     23       23  

DT Auto Owner Trust, Ser 2020-2A, Cl B

                

2.080%, 03/16/2026 (B)

     1,501       1,506  

DT Auto Owner Trust, Ser 2020-3A, Cl A

                

0.540%, 04/15/2024 (B)

     218       218  

DT Auto Owner Trust, Ser 2020-3A, Cl B

                

0.910%, 12/16/2024 (B)

     1,615       1,612  

DT Auto Owner Trust, Ser 2021-1A, Cl A

                

0.350%, 01/15/2025 (B)

     745       743  

DT Auto Owner Trust, Ser 2021-1A, Cl B

                

0.620%, 09/15/2025 (B)

     580       575  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

DT Auto Owner Trust, Ser 2021-2A, Cl B

                

0.810%, 01/15/2027 (B)

   $ 530     $ 524  

DT Auto Owner Trust, Ser 2021-3A, Cl A

                

0.330%, 04/15/2025 (B)

     922       915  

DT Auto Owner Trust, Ser 2021-4A, Cl A

                

0.560%, 09/15/2025 (B)

     2,055       2,045  

Enterprise Fleet Financing LLC, Ser 2019-1, Cl A2

                

2.980%, 10/20/2024 (B)

     67       67  

Enterprise Fleet Financing LLC, Ser 2019-2, Cl A2

                

2.290%, 02/20/2025 (B)

     223       223  

Enterprise Fleet Financing LLC, Ser 2019-3, Cl A2

                

2.060%, 05/20/2025 (B)

     572       575  

Enterprise Fleet Financing LLC, Ser 2020-1, Cl A2

                

1.780%, 12/22/2025 (B)

     2,331       2,338  

Enterprise Fleet Financing LLC, Ser 2021-2, Cl A2

                

0.480%, 05/20/2027 (B)

     515       504  

Enterprise Fleet Funding LLC, Ser 2021-1, Cl A2

                

0.440%, 12/21/2026 (B)

     1,936       1,909  

Exeter Automobile Receivables Trust, Ser 2018-3A, Cl D

                

4.350%, 06/17/2024 (B)

     385       389  

Exeter Automobile Receivables Trust, Ser 2021-1A, Cl B

                

0.500%, 02/18/2025

    1,585       1,582  

Exeter Automobile Receivables Trust, Ser 2021-2A, Cl B

                

0.570%, 09/15/2025

    1,275       1,266  

FHF Trust, Ser 2021-2A, Cl A

                

0.830%, 12/15/2026 (B)

     453       446  

First Investors Auto Owner Trust, Ser 2019-2A, Cl A

                

2.210%, 09/16/2024 (B)

     11       11  

First Investors Auto Owner Trust, Ser 2021-1A, Cl A

                

0.450%, 03/16/2026 (B)

     1,257       1,251  

First Investors Auto Owner Trust, Ser 2022-1A, Cl A

                

2.030%, 01/15/2027 (B)

     3,600       3,597  

Flagship Credit Auto Trust, Ser 2019-3, Cl C

                

2.740%, 10/15/2025 (B)

     1,000       1,008  

Flagship Credit Auto Trust, Ser 2020-1, Cl A

                

1.900%, 08/15/2024 (B)

     86       86  

Flagship Credit Auto Trust, Ser 2020-3, Cl A

                

0.700%, 04/15/2025 (B)

     90       90  

Flagship Credit Auto Trust, Ser 2020-4, Cl A

                

0.530%, 04/15/2025 (B)

     511       510  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

309

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Flagship Credit Auto Trust, Ser 2021-1, Cl A

                

0.310%, 06/16/2025 (B)

   $ 576     $ 573  

Flagship Credit Auto Trust, Ser 2021-2, Cl B

                

0.930%, 06/15/2027 (B)

     755       736  

Flagship Credit Auto Trust, Ser 2021-3, Cl A

                

0.360%, 07/15/2027 (B)

     577       569  

Ford Credit Auto Owner Trust, Ser 2017-2, Cl A

                

2.360%, 03/15/2029 (B)

     322       324  

Foursight Capital Automobile Receivables Trust, Ser 2021-1, Cl A2

                

0.400%, 08/15/2024 (B)

     365       364  

Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl A2

                

0.400%, 04/15/2025 (B)

     434       432  

Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl A3

                

0.810%, 05/15/2026 (B)

     265       259  

Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl A2

                

1.150%, 09/15/2025 (B)

     245       244  

GLS Auto Receivables Issuer Trust, Ser 2020-1A, Cl A

                

2.170%, 02/15/2024 (B)

     11       11  

GLS Auto Receivables Issuer Trust, Ser 2021-1A, Cl B

                

0.820%, 04/15/2025 (B)

     1,235       1,230  

GLS Auto Receivables Issuer Trust, Ser 2021-3A, Cl A

                

0.420%, 01/15/2025 (B)

     601       599  

GLS Auto Receivables Trust, Ser 2021-2A, Cl B

                

0.770%, 09/15/2025 (B)

     865       854  

GM Financial Consumer Automobile Receivables Trust, Ser 2018-4, Cl A3

                

3.210%, 10/16/2023

    88       88  

JPMorgan Chase Bank - CACLN, Ser 2020-1, Cl B

                

0.991%, 01/25/2028 (B)

     685       682  

JPMorgan Chase Bank - CACLN, Ser 2020-2, Cl B

                

0.840%, 02/25/2028 (B)

     1,440       1,430  

Lendbuzz Securitization Trust, Ser 2021-1A, Cl A

                

1.460%, 06/15/2026 (B)

     1,323       1,311  

Mercedes-Benz Auto Lease Trust, Ser 2020-B, Cl A3

                

0.400%, 11/15/2023

    1,515       1,509  

Nissan Auto Receivables Owner Trust, Ser 2019-C, Cl A3

                

1.930%, 07/15/2024

    308       309  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Prestige Auto Receivables Trust, Ser 2021-1A, Cl A2

                

0.550%, 09/16/2024 (B)

   $ 900     $ 897  

Santander Consumer Auto Receivables Trust, Ser 2020-AA, Cl A

                

1.370%, 10/15/2024 (B)

     574       575  

Santander Drive Auto Receivables Trust, Ser 2019-3, Cl C

                

2.490%, 10/15/2025

    259       260  

Santander Drive Auto Receivables Trust, Ser 2020-2, Cl B

                

0.960%, 11/15/2024

    753       754  

Santander Drive Auto Receivables Trust, Ser 2020-2, Cl C

                

1.460%, 09/15/2025

    300       300  

Santander Drive Auto Receivables Trust, Ser 2020-4, Cl C

                

1.010%, 01/15/2026

    1,600       1,587  

Santander Drive Auto Receivables Trust, Ser 2021-1, Cl C

                

0.750%, 02/17/2026

    1,625       1,614  

Santander Drive Auto Receivables Trust, Ser 2021-2, Cl B

                

0.590%, 09/15/2025

    410       407  

Santander Drive Auto Receivables Trust, Ser 2021-3, Cl B

                

0.600%, 12/15/2025

    495       490  

Santander Retail Auto Lease Trust, Ser 2021-B, Cl A2

                

0.310%, 01/22/2024 (B)

     724       720  

Securitized Term Auto Receivables Trust, Ser 2019-1A, Cl A3

                

2.986%, 02/27/2023 (B)

     42       42  

Tesla Auto Lease Trust, Ser 2020-A, Cl A2

                

0.550%, 05/22/2023 (B)

     123       123  

Tidewater Auto Receivables Trust, Ser 2020-AA, Cl A2

                

1.390%, 08/15/2024 (B)

     38       38  

Tidewater Auto Receivables Trust, Ser 2020-AA, Cl B

                

1.610%, 03/17/2025 (B)

     1,405       1,407  

Tricolor Auto Securitization Trust, Ser 2021-1A, Cl A

                

0.740%, 04/15/2024 (B)

     526       525  

UNIFY Auto Receivables Trust, Ser 2021-1A, Cl A2

                

0.390%, 02/15/2024 (B)

     432       432  

United Auto Credit Securitization Trust, Ser 2021-1, Cl B

                

0.680%, 03/11/2024 (B)

     2,025       2,022  

 

 

 

310

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

United Auto Credit Securitization Trust, Ser 2022-1, Cl A

                

1.110%, 07/10/2024 (B)

   $ 585     $ 585  

United Auto Credit Securitization Trust, Ser 2022-1, Cl B

                

2.100%, 03/10/2025 (B)

     805       803  

Westlake Automobile Receivables Trust, Ser 2018-3A, Cl D

                

4.000%, 10/16/2023 (B)

     581       584  

Westlake Automobile Receivables Trust, Ser 2019-2A, Cl C

                

2.840%, 07/15/2024 (B)

     623       625  

Westlake Automobile Receivables Trust, Ser 2019-2A, Cl E

                

4.020%, 04/15/2025 (B)

     1,050       1,075  

Westlake Automobile Receivables Trust, Ser 2020-3A, Cl A2

                

0.560%, 05/15/2024 (B)

     851       850  

Westlake Automobile Receivables Trust, Ser 2020-3A, Cl B

                

0.780%, 11/17/2025 (B)

     330       328  

Westlake Automobile Receivables Trust, Ser 2021-1A, Cl B

                

0.640%, 03/16/2026 (B)

     950       938  

Westlake Automobile Receivables Trust, Ser 2021-2A, Cl A2A

                

0.320%, 04/15/2025 (B)

     507       504  

Westlake Automobile Receivables Trust, Ser 2021-2A, Cl B

                

0.620%, 07/15/2026 (B)

     485       477  
              93,819  
                 

Credit Cards — 0.3%

        
         

Capital One Multi-Asset Execution Trust, Ser 2019-A2, Cl A2

                

1.720%, 08/15/2024

    310       311  

Citibank Credit Card Issuance Trust, Ser 2018-A3, Cl A3

                

3.290%, 05/23/2025

    490       501  

Mercury Financial Credit Card Master Trust, Ser 2021-1A, Cl A

                

1.540%, 03/20/2026 (B)

     1,225       1,212  
              2,024  
                 

Mortgage Related Securities — 0.1%

        
         

Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A

                

0.867%, ICE LIBOR USD 1 Month + 0.680%, 01/25/2035 (A)

     74       74  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Asset Backed Securities Home Equity Loan Trust, Ser 2006-HE1, Cl A4

                

0.787%, ICE LIBOR USD 1 Month + 0.600%, 01/25/2036 (A)

   $ 426     $ 426  
              500  
                 

Other Asset-Backed Securities — 13.9%

        
         

Affirm Asset Securitization Trust, Ser 2020-Z1, Cl A

                

3.460%, 10/15/2024 (B)

     130       131  

Affirm Asset Securitization Trust, Ser 2020-Z2, Cl A

                

1.900%, 01/15/2025 (B)

     338       338  

Affirm Asset Securitization Trust, Ser 2021-A, Cl A

                

0.880%, 08/15/2025 (B)

     290       289  

Affirm Asset Securitization Trust, Ser 2021-B, Cl A

                

1.030%, 08/17/2026 (B)

     740       728  

Affirm Asset Securitization Trust, Ser 2021-Z1, Cl A

                

1.070%, 08/15/2025 (B)

     1,163       1,152  

Affirm Asset Securitization Trust, Ser 2021-Z2, Cl A

                

1.170%, 11/16/2026 (B)

     530       526  

Affirm Asset Securitization Trust, Ser 2022-X1, Cl A

                

1.750%, 02/15/2027 (B)

     1,625       1,623  

Amur Equipment Finance Receivables IX LLC, Ser 2021-1A, Cl A2

                

0.750%, 11/20/2026 (B)

     882       871  

Apidos CLO XII, Ser 2018-12A, Cl AR

                

1.321%, ICE LIBOR USD 3 Month + 1.080%, 04/15/2031 (A)(B)

     925       922  

Aqua Finance Trust, Ser 2021-A, Cl A

                

1.540%, 07/17/2046 (B)

     475       463  

Atalaya Equipment Leasing Trust, Ser 2021-1A, Cl A2

                

1.230%, 05/15/2026 (B)

     500       496  

Avant Loans Funding Trust, Ser 2021-REV1, Cl A

                

1.210%, 07/15/2030 (B)

     610       599  

Bayview Opportunity Master Fund IVb Trust, Ser 2017-RT6, Cl A

                

3.500%, 10/28/2057 (A)(B)

     270       267  

Benefit Street Partners CLO X, Ser 2021-10A, Cl X

                

0.854%, ICE LIBOR USD 3 Month + 0.600%, 04/20/2034 (A)(B)

     375       375  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

311

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Benefit Street Partners CLO XII, Ser 2021-12A, Cl A1R

                

1.191%, ICE LIBOR USD 3 Month + 0.950%, 10/15/2030 (A)(B)

   $ 1,200     $ 1,198  

BHG Securitization Trust, Ser 2022-A, Cl A

                

1.710%, 02/20/2035 (B)

     1,290       1,283  

BSPRT Issuer, Ser 2022-FL8, Cl A

                

1.550%, SOFR30A + 1.500%, 02/15/2037 (A)(B)

     825       822  

Carbone CLO, Ser 2017-1A, Cl A1

                

1.394%, ICE LIBOR USD 3 Month + 1.140%, 01/20/2031 (A)(B)

     350       348  

Carlyle Global Market Strategies CLO, Ser 2018-1A, Cl A1R2

                

1.211%, ICE LIBOR USD 3 Month + 0.970%, 04/17/2031 (A)(B)

     997       993  

Carlyle Global Market Strategies CLO, Ser 2021-1A, Cl AR3

                

1.234%, ICE LIBOR USD 3 Month + 0.980%, 07/20/2031 (A)(B)

     1,940       1,933  

CCG Receivables Trust, Ser 2021-1, Cl A2

                

0.300%, 06/14/2027 (B)

     261       258  

CIFC Funding, Ser 2017-1A, Cl ARR

                

1.369%, ICE LIBOR USD 3 Month + 1.110%, 01/22/2031 (A)(B)

     750       749  

CIFC Funding, Ser 2018-2A, Cl A1

                

1.294%, ICE LIBOR USD 3 Month + 1.040%, 04/20/2031 (A)(B)

     575       571  

CIFC Funding, Ser 2018-3A, Cl AR

                

1.118%, ICE LIBOR USD 3 Month + 0.870%, 04/19/2029 (A)(B)

     1,150       1,146  

CIFC Funding, Ser 2020-2A, Cl AR2

                

1.251%, ICE LIBOR USD 3 Month + 1.010%, 04/15/2030 (A)(B)

     1,550       1,548  

Cloud Pass-Through Trust, Ser 2019-1A, Cl CLOU

                

3.554%, 12/05/2022 (A)(B)

     8       8  

Conn's Receivables Funding LLC, Ser 2020-A, Cl A

                

1.710%, 06/16/2025 (B)

     60       60  

Crossroads Asset Trust, Ser 2021-A, Cl A2

                

0.820%, 03/20/2024 (B)

     560       558  

DB Master Finance LLC, Ser 2019-1A, Cl A2II

                

4.021%, 05/20/2049 (B)

     1,124       1,146  

Dewolf Park CLO, Ser 2021-1A, Cl AR

                

1.161%, ICE LIBOR USD 3 Month + 0.920%, 10/15/2030 (A)(B)

     1,125       1,120  

Dext ABS LLC, Ser 2021-1, Cl A

                

1.120%, 02/15/2028 (B)

     414       409  

FCI Funding LLC, Ser 2021-1A, Cl A

                

1.130%, 04/15/2033 (B)

     361       357  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Ford Credit Floorplan Master Owner Trust A, Ser 2019-2, Cl B

                

3.250%, 04/15/2026

  $ 1,290     $ 1,322  

FREED ABS Trust, Ser 2021-3FP, Cl A

                

0.620%, 11/20/2028 (B)

     189       188  

FREED ABS Trust, Ser 2022-1FP, Cl A

                

0.940%, 03/19/2029 (B)

     310       309  

Galaxy XV CLO, Ser 2021-15A, Cl ARR

                

1.211%, ICE LIBOR USD 3 Month + 0.970%, 10/15/2030 (A)(B)

     1,000       997  

Galaxy XXIII CLO, Ser 2021-23A, Cl AR

                

1.129%, ICE LIBOR USD 3 Month + 0.870%, 04/24/2029 (A)(B)

     1,397       1,395  

GreatAmerica Leasing Receivables Funding LLC, Ser 2021-2, Cl A2

                

0.380%, 03/15/2024 (B)

     765       756  

Hilton Grand Vacations Trust, Ser 2020-AA, Cl A

                

2.740%, 02/25/2039 (B)

     1,702       1,704  

HPEFS Equipment Trust, Ser 2021-2A, Cl B

                

0.610%, 09/20/2028 (B)

     535       524  

HPS Loan Management, Ser 2021-19, Cl XR

                

0.858%, ICE LIBOR USD 3 Month + 0.600%, 01/25/2034 (A)(B)

     580       580  

KKR CLO 21, Ser 2018-21, Cl A

                

1.241%, ICE LIBOR USD 3 Month + 1.000%, 04/15/2031 (A)(B)

     775       773  

KKR CLO, Ser 2017-11, Cl AR

                

1.421%, ICE LIBOR USD 3 Month + 1.180%, 01/15/2031 (A)(B)

     750       748  

LCM XXIII, Ser 2020-23A, Cl A1R

                

1.324%, ICE LIBOR USD 3 Month + 1.070%, 10/20/2029 (A)(B)

     940       939  

LCM XXIV, Ser 2021-24A, Cl AR

                

1.234%, ICE LIBOR USD 3 Month + 0.980%, 03/20/2030 (A)(B)

     1,000       999  

Madison Park Funding XVII, Ser 2021-17A, Cl AR2

                

1.255%, ICE LIBOR USD 3 Month + 1.000%, 07/21/2030 (A)(B)

     1,685       1,678  

Madison Park Funding XXX, Ser 2018-30A, Cl A

                

0.991%, ICE LIBOR USD 3 Month + 0.750%, 04/15/2029 (A)(B)

     1,661       1,660  

Magnetite VIII, Ser 2018-8A, Cl AR2

                

1.221%, ICE LIBOR USD 3 Month + 0.980%, 04/15/2031 (A)(B)

     685       684  

Marlette Funding Trust, Ser 2021-1A, Cl A

                

0.600%, 06/16/2031 (B)

     124       123  

Marlette Funding Trust, Ser 2021-2A, Cl A

                

0.510%, 09/15/2031 (B)

     268       267  

 

 

 

312

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Marlette Funding Trust, Ser 2021-3A, Cl A

                

0.650%, 12/15/2031 (B)

   $ 416     $ 412  

Marlette Funding Trust, Ser 2022-1A, Cl A

                

1.360%, 04/15/2032 (B)

     1,625       1,624  

MetLife Securitization Trust, Ser 2017-1A, Cl A

                

3.000%, 04/25/2055 (A)(B)

     129       129  

MF1, Ser 2022-FL8, Cl A

                

1.398%, SOFR30A + 1.350%, 02/19/2037 (A)(B)

     750       745  

Mill City Mortgage Loan Trust, Ser 2017-3, Cl A1

                

2.750%, 01/25/2061 (A)(B)

     193       195  

Mill City Mortgage Trust, Ser 2015-1, Cl M1

                

3.621%, 06/25/2056 (A)(B)

     16       16  

MMAF Equipment Finance LLC, Ser 2020-BA, Cl A2

                

0.380%, 08/14/2023 (B)

     430       428  

Morgan Stanley Capital 1 Trust, Ser 2012-STAR, Cl A1

                

2.084%, 08/05/2034 (B)

     23       23  

Navient Private Education Refi Loan Trust, Ser 2019-GA, Cl A

                

2.400%, 10/15/2068 (B)

     448       449  

Navient Private Education Refi Loan Trust, Ser 2020-CA, Cl A1

                

0.941%, ICE LIBOR USD 1 Month + 0.750%, 11/15/2068 (A)(B)

     395       395  

Navient Private Education Refi Loan Trust, Ser 2020-DA, Cl A

                

1.690%, 05/15/2069 (B)

     1,106       1,096  

Navient Private Education Refi Loan Trust, Ser 2021-A, Cl A

                

0.840%, 05/15/2069 (B)

     526       511  

Navient Student Loan Trust, Ser 2018-1A, Cl A2

                

0.537%, ICE LIBOR USD 1 Month + 0.350%, 03/25/2067 (A)(B)

     261       260  

Navistar Financial Dealer Note Master Trust, Ser 2020-1, Cl A

                

1.137%, ICE LIBOR USD 1 Month + 0.950%, 07/25/2025 (A)(B)

     435       436  

Neuberger Berman Loan Advisers CLO 25, Ser 2021-25A, Cl AR

                

1.171%, ICE LIBOR USD 3 Month + 0.930%, 10/18/2029 (A)(B)

     2,065       2,060  

Neuberger Berman Loan Advisers CLO 26, Ser 2021-26A, Cl AR

                

1.161%, ICE LIBOR USD 3 Month + 0.920%, 10/18/2030 (A)(B)

     1,150       1,147  

NYCTL Trust, Ser 2019-A, Cl A

                

2.190%, 11/10/2032 (B)

     118       119  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Nyctl Trust, Ser 2022-A, Cl A

                

2.100%, 11/10/2034 (B)

   $ 1,600     $ 1,599  

OCP CLO, Ser 2018-5A, Cl A1R

                

1.347%, ICE LIBOR USD 3 Month + 1.080%, 04/26/2031 (A)(B)

     300       299  

Octagon Investment Partners 30, Ser 2021-1A, Cl A1R

                

1.254%, ICE LIBOR USD 3 Month + 1.000%, 03/17/2030 (A)(B)

     670       669  

Octagon Investment Partners XVI, Ser 2018-1A, Cl A1R

                

1.261%, ICE LIBOR USD 3 Month + 1.020%, 07/17/2030 (A)(B)

     350       349  

Octagon Investment Partners XXI, Ser 2021-1A, Cl XR3

                

1.045%, ICE LIBOR USD 3 Month + 0.650%, 02/14/2031 (A)(B)

     50       50  

OHA Credit Funding 3, Ser 2021-3A, Cl XR

                

0.854%, ICE LIBOR USD 3 Month + 0.600%, 07/02/2035 (A)(B)

     563       562  

Onemain Financial Issuance Trust, Ser 2018-1A, Cl A

                

3.300%, 03/14/2029 (B)

     93       93  

OneMain Financial Issuance Trust, Ser 2019-1A, Cl A

                

3.480%, 02/14/2031 (B)

     84       84  

OZLM VII, Ser 2018-7RA, Cl A1R

                

1.251%, ICE LIBOR USD 3 Month + 1.010%, 07/17/2029 (A)(B)

     827       826  

OZLM VIII, Ser 2021-8A, Cl A1R3

                

1.221%, ICE LIBOR USD 3 Month + 0.980%, 10/17/2029 (A)(B)

     745       744  

OZLM XII, Ser 2018-12A, Cl A1R

                

1.349%, ICE LIBOR USD 3 Month + 1.050%, 04/30/2027 (A)(B)

     57       57  

Palmer Square Loan Funding, Ser 2021-4A, Cl A1

                

0.928%, ICE LIBOR USD 3 Month + 0.800%, 10/15/2029 (A)(B)

     1,600       1,597  

PFS Financing, Ser 2019-A, Cl A2

                

2.860%, 04/15/2024 (B)

     400       401  

PFS Financing, Ser 2020-B, Cl A

                

1.210%, 06/15/2024 (B)

     1,750       1,751  

PFS Financing, Ser 2020-F, Cl A

                

0.930%, 08/15/2024 (B)

     2,015       2,012  

SCF Equipment Leasing LLC, Ser 2021-1A, Cl A2

                

0.420%, 08/20/2026 (B)

     630       628  

SCF Equipment Leasing LLC, Ser 2022-1A, Cl A2

                

2.060%, 02/22/2028 (B)

     1,280       1,282  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

313

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Sequoia Infrastructure Funding I, Ser 2021-1A, Cl A

                

1.641%, ICE LIBOR USD 3 Month + 1.400%, 04/15/2031 (A)(B)

   $ 1,640     $ 1,639  

Sierra Timeshare Receivables Funding LLC, Ser 2018-2A, Cl A

                

3.500%, 06/20/2035 (B)

     103       104  

SMB Private Education Loan Trust, Ser 2021-A, Cl A1

                

0.691%, ICE LIBOR USD 1 Month + 0.500%, 01/15/2053 (A)(B)

     332       332  

SoFi Consumer Loan Program Trust, Ser 2019-3, Cl C

                

3.350%, 05/25/2028 (B)

     307       309  

SoFi Consumer Loan Program Trust, Ser 2020-1, Cl A

                

2.020%, 01/25/2029 (B)

     140       140  

SoFi Consumer Loan Program Trust, Ser 2021-1, Cl A

                

0.490%, 09/25/2030 (B)

     637       631  

SOUND POINT CLO XVII, Ser 2021-3A, Cl A1R

                

1.234%, ICE LIBOR USD 3 Month + 0.980%, 10/20/2030 (A)(B)

     750       749  

Stratus CLO, Ser 2021-2A, Cl A

                

0.993%, ICE LIBOR USD 3 Month + 0.900%, 12/28/2029 (A)(B)

     1,050       1,049  

Structured Asset Investment Loan Trust, Ser 2005-6, Cl M2

                

0.967%, ICE LIBOR USD 1 Month + 0.780%, 07/25/2035 (A)

     477       477  

Symphony CLO XIV, Ser 2019-14A, Cl AR

                

1.188%, ICE LIBOR USD 3 Month + 0.950%, 07/14/2026 (A)(B)

     238       238  

Symphony CLO XVIII, Ser 2021-18A, Cl X

                

1.009%, ICE LIBOR USD 3 Month + 0.750%, 07/23/2033 (A)(B)

     833       833  

Symphony Static CLO I, Ser 2021-1A, Cl A

                

0.959%, ICE LIBOR USD 3 Month + 0.830%, 10/25/2029 (A)(B)

     1,110       1,107  

Towd Point Mortgage Trust, Ser 2016-4, Cl A1

                

2.250%, 07/25/2056 (A)(B)

     64       64  

Towd Point Mortgage Trust, Ser 2017-1, Cl A1

                

2.750%, 10/25/2056 (A)(B)

     413       415  

Towd Point Mortgage Trust, Ser 2017-2, Cl A1

                

2.750%, 04/25/2057 (A)(B)

     518       520  

Towd Point Mortgage Trust, Ser 2017-4, Cl A1

                

2.750%, 06/25/2057 (A)(B)

     417       419  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Towd Point Mortgage Trust, Ser 2017-5, Cl A1

                

0.787%, ICE LIBOR USD 1 Month + 0.600%, 02/25/2057 (A)(B)

   $ 292     $ 291  

Towd Point Mortgage Trust, Ser 2017-6, Cl A1

                

2.750%, 10/25/2057 (A)(B)

     120       121  

Towd Point Mortgage Trust, Ser 2019-HY2, Cl A1

                

1.187%, ICE LIBOR USD 1 Month + 1.000%, 05/25/2058 (A)(B)

     345       346  

Towd Point Mortgage Trust, Ser 2019-HY3, Cl A1A

                

1.187%, ICE LIBOR USD 1 Month + 1.000%, 10/25/2059 (A)(B)

     337       339  

Tryon Park CLO, Ser 2018-1A, Cl A1SR

                

1.131%, ICE LIBOR USD 3 Month + 0.890%, 04/15/2029 (A)(B)

     1,314       1,312  

Upstart Securitization Trust, Ser 2020-3, Cl A

                

1.702%, 11/20/2030 (B)

     459       459  

Upstart Securitization Trust, Ser 2021-2, Cl A

                

0.910%, 06/20/2031 (B)

     836       830  

Upstart Securitization Trust, Ser 2021-4, Cl A

                

0.840%, 09/20/2031 (B)

     896       883  

VERDE CLO, Ser 2021-1A, Cl XR

                

0.991%, ICE LIBOR USD 3 Month + 0.750%, 04/15/2032 (A)(B)

     438       438  

Verizon Owner Trust, Ser 2020-A, Cl A1A

                

1.850%, 07/22/2024

    1,527       1,534  

Vibrant CLO VI, Ser 2021-6A, Cl AR

                

1.164%, ICE LIBOR USD 3 Month + 0.950%, 06/20/2029 (A)(B)

     982       981  

Voya CLO, Ser 2017-1A, Cl A1R

                

1.141%, ICE LIBOR USD 3 Month + 0.900%, 01/18/2029 (A)(B)

     712       709  

Voya CLO, Ser 2018-2A, Cl A1R

                

1.228%, ICE LIBOR USD 3 Month + 0.970%, 04/25/2031 (A)(B)

     950       948  

Voya CLO, Ser 2018-2A, Cl AR

                

1.229%, ICE LIBOR USD 3 Month + 0.970%, 07/23/2027 (A)(B)

     1,523       1,522  

Voya CLO, Ser 2020-1A, Cl AR

                

1.301%, ICE LIBOR USD 3 Month + 1.060%, 04/15/2031 (A)(B)

     1,150       1,148  

Voya CLO, Ser 2021-1A, Cl A1R

                

1.191%, ICE LIBOR USD 3 Month + 0.950%, 04/17/2030 (A)(B)

     1,000       999  

 

 

 

314

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Voya CLO, Ser 2021-2A, Cl A1R

                

1.221%, ICE LIBOR USD 3 Month + 0.980%, 06/07/2030 (A)(B)

   $ 2,275     $ 2,270  
              86,137  
                 

Total Asset-Backed Securities

                

(Cost $183,642) ($ Thousands)

             182,480  
                 
                 

MORTGAGE-BACKED SECURITIES — 16.7%

Agency Mortgage-Backed Obligations — 1.8%

        

FHLMC

                

3.500%, 12/01/2034

     518       539  

FHLMC ARM

                

2.141%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.070%, 02/01/2030(A)

     7       7  

FHLMC CMO, Ser 2012-4030, Cl AN

                

1.750%, 04/15/2027

     416       416  

FHLMC CMO, Ser 2013-4159, Cl LA

                

3.500%, 02/15/2040

     18       18  

FHLMC CMO, Ser 2013-4272, Cl YG

                

2.000%, 11/15/2026

     363       365  

FHLMC CMO, Ser 2014-4297, Cl CA

                

3.000%, 12/15/2030

     22       22  

FHLMC CMO, Ser 2014-4379, Cl CB

                

2.250%, 04/15/2033

     139       140  

FHLMC CMO, Ser 2014-4387, Cl DA

                

3.000%, 01/15/2032

     203       206  

FHLMC CMO, Ser 2018-4818, Cl BD

                

3.500%, 03/15/2045

     592       600  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KPLB, Cl A

                

2.770%, 05/25/2025

     700       717  

FNMA

                

6.000%, 01/01/2027 to 04/01/2040

    97       111  

5.500%, 12/01/2023 to 12/01/2024

    13       13  

5.000%, 02/01/2023 to 03/01/2025

    3       3  

3.000%, 10/01/2030

     335       347  

FNMA ARM

                

2.340%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.215%, 01/01/2029(A)

     4       4  

2.236%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.120%, 11/01/2025(A)

     –       –  

2.167%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.119%, 11/01/2023(A)

     –       –  

2.045%, 05/01/2028(A)

     –       –  

2.009%, ICE LIBOR USD 6 Month + 1.774%, 09/01/2024(A)

     3       3  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

1.974%, ICE LIBOR USD 6 Month + 1.824%, 09/01/2024(A)

   $ 8     $ 8  

FNMA CMO, Ser 1993-58, Cl H

                

5.500%, 04/25/2023

     1       1  

FNMA CMO, Ser 2001-33, Cl FA

                

0.637%, ICE LIBOR USD 1 Month + 0.450%, 07/25/2031(A)

     4       4  

FNMA CMO, Ser 2002-64, Cl FG

                

0.387%, ICE LIBOR USD 1 Month + 0.250%, 10/18/2032(A)

     1       1  

FNMA CMO, Ser 2012-137, Cl UE

                

1.750%, 09/25/2041

     217       216  

FNMA CMO, Ser 2013-97, Cl KA

                

3.000%, 11/25/2031

     51       52  

FNMA CMO, Ser 2015-46, Cl BA

                

3.000%, 05/25/2041

     26       26  

FNMA CMO, Ser 2016-99, Cl H

                

3.000%, 08/25/2043

     959       965  

FNMA, Ser 2012-M4, Cl 1A2

                

2.976%, 04/25/2022(A)

     8       8  

FNMA, Ser 2012-M9, Cl A2

                

2.482%, 04/25/2022

     22       22  

FNMA, Ser 2017-M13, Cl FA

                

0.503%, LIBOR USD 1 Month + 0.400%, 10/25/2024(A)

     81       81  

FREMF Mortgage Trust, Ser 2013-K32, Cl B

                

3.531%, 10/25/2046(A)(B)

     725       738  

FREMF Mortgage Trust, Ser K22, Cl B

                

3.679%, 08/25/2045(A)(B)

     1,635       1,648  

FREMF Mortgage Trust, Ser K24, Cl B

                

3.506%, 11/25/2045(A)(B)

     1,200       1,212  

FREMF Mortgage Trust, Ser K28, Cl B

                

3.489%, 06/25/2046(A)(B)

     715       726  

FREMF Mortgage Trust, Ser K33, Cl B

                

3.496%, 08/25/2046(A)(B)

     1,110       1,128  

GNMA CMO, Ser 2010-151, Cl KA

                

3.000%, 09/16/2039

     18       18  

GNMA CMO, Ser 2011-158, Cl CA

                

3.000%, 10/20/2026

     247       250  

GNMA CMO, Ser 2015-56, Cl LB

                

1.500%, 04/16/2040

     467       467  
                 
                 
              11,082  

Non-Agency Mortgage-Backed Obligations — 14.9%

        

Angel Oak Mortgage Trust I LLC, Ser 2018-3, Cl A1

                

3.649%, 09/25/2048(A)(B)

     42       42  

Angel Oak Mortgage Trust I LLC, Ser 2019-1, Cl A1

                

3.920%, 11/25/2048(A)(B)

     105       105  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

315

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Angel Oak Mortgage Trust I LLC, Ser 2019-2, Cl A1

                

3.628%, 03/25/2049(A)(B)

   $ 127     $ 127  

Angel Oak Mortgage Trust I LLC, Ser 2019-4, Cl A1

                

2.993%, 07/26/2049(A)(B)

     117       118  

Angel Oak Mortgage Trust, Ser 2020-1, Cl A1

                

2.466%, 12/25/2059(A)(B)

     56       56  

Angel Oak Mortgage Trust, Ser 2020-2, Cl A1A

                

2.531%, 01/26/2065(A)(B)

     368       368  

Angel Oak Mortgage Trust, Ser 2020-3, Cl A1

                

1.691%, 04/25/2065(A)(B)

     506       504  

Angel Oak Mortgage Trust, Ser 2020-4, Cl A1

                

1.469%, 06/25/2065(A)(B)

     305       302  

Angel Oak Mortgage Trust, Ser 2020-R1, Cl A1

                

0.990%, 04/25/2053(A)(B)

     437       434  

Angel Oak Mortgage Trust, Ser 2021-1, Cl A1

                

0.909%, 01/25/2066(A)(B)

     876       860  

Angel Oak Mortgage Trust, Ser 2021-3, Cl A1

                

1.068%, 05/25/2066(A)(B)

     680       670  

Angel Oak Mortgage Trust, Ser 2021-5, Cl A1

                

0.951%, 07/25/2066(A)(B)

     1,111       1,079  

Arroyo Mortgage Trust, Ser 2019-3, Cl A1

                

2.962%, 10/25/2048(A)(B)

     226       225  

Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2

                

2.689%, 07/25/2035(A)

     42       42  

Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1

                

2.408%, 11/25/2035(A)

     7       6  

BBCMS Mortgage Trust, Ser 2020-C8, Cl A1

                

0.601%, 10/15/2053

     794       769  

Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1

                

3.006%, 06/25/2035(A)

     25       25  

Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1

                

2.328%, 08/25/2035(A)

     51       50  

BFLD Trust, Ser 2020-OBRK, Cl A

                

2.241%, ICE LIBOR USD 1 Month + 2.050%, 11/15/2028(A)(B)

     840       834  

BPR Trust, Ser 2021-TY, Cl A

                

1.241%, ICE LIBOR USD 1 Month + 1.050%, 09/15/2038(A)(B)

     1,930       1,908  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

BRAVO Residential Funding Trust, Ser 2020-NQM1, Cl A1

                

1.449%, 05/25/2060(A)(B)

   $ 264     $ 263  

BRAVO Residential Funding Trust, Ser 2021-NQM1, Cl A1

                

0.941%, 02/25/2049(A)(B)

     395       388  

BRAVO Residential Funding Trust, Ser 2021-NQM2, Cl A1

                

0.970%, 03/25/2060(A)(B)

     488       483  

BRAVO Residential Funding Trust, Ser 2021-NQM3, Cl A1

                

1.699%, 04/25/2060(A)(B)

     652       646  

BSREP Commercial Mortgage Trust, Ser DC, Cl A

                

1.142%, ICE LIBOR USD 1 Month + 0.950%, 08/15/2038(A)(B)

     1,840       1,812  

Bunker Hill Loan Depositary Trust, Ser 2020-1, Cl A1

                

1.724%, 02/25/2055(A)(B)

     235       234  

BWay Mortgage Trust, Ser 2013-1515, Cl A1

                

2.809%, 03/10/2033(B)

     310       312  

BX Commercial Mortgage Trust, Ser 2019-XL, Cl B

                

1.271%, ICE LIBOR USD 1 Month + 1.080%, 10/15/2036(A)(B)

     977       969  

BX Commercial Mortgage Trust, Ser 2019-XL, Cl A

                

1.111%, ICE LIBOR USD 1 Month + 0.920%, 10/15/2036(A)(B)

     2,536       2,525  

BX Commercial Mortgage Trust, Ser 2021-VINO, Cl A

                

0.843%, ICE LIBOR USD 1 Month + 0.652%, 05/15/2038(A)(B)

     1,025       1,003  

BX Commercial Mortgage Trust, Ser 2021-VOLT, Cl A

                

0.891%, ICE LIBOR USD 1 Month + 0.700%, 09/15/2036(A)(B)

     540       524  

BX Commerical Mortgage Trust, Ser 2021-MFM1, Cl B

                

1.141%, ICE LIBOR USD 1 Month + 0.950%, 01/15/2034(A)(B)

     1,370       1,326  

BX Trust, Ser 2021-LGCY, Cl A

                

0.697%, ICE LIBOR USD 1 Month + 0.506%, 10/15/2023(A)(B)

     1,200       1,154  

BX Trust, Ser 2021-MFM1, Cl A

                

0.891%, ICE LIBOR USD 1 Month + 0.700%, 01/15/2034(A)(B)

     1,265       1,234  

BX Trust, Ser 2022-LBA6, Cl A

                

1.099%, TSFR1M + 1.000%, 01/15/2039(A)(B)

     670       661  

 

 

 

316

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Chase Mortgage Finance, Ser 2021-CL1, Cl M1

                

1.249%, SOFR30A + 1.200%, 02/25/2050(A)(B)

   $ 564     $ 561  

CHC Commercial Mortgage Trust, Ser 2019-CHC, Cl A

                

1.311%, ICE LIBOR USD 1 Month + 1.120%, 06/15/2034(A)(B)

     1,271       1,256  

CHL Mortgage Pass-Through Trust, Ser 2004-29, Cl 1A1

                

0.727%, ICE LIBOR USD 1 Month + 0.540%, 02/25/2035(A)

     11       10  

CIM Trust, Ser 2017-7, Cl A

                

3.000%, 04/25/2057(A)(B)

     159       160  

Citigroup Commercial Mortgage Trust, Ser 2016-P3, Cl AAB

                

3.127%, 04/15/2049

     204       206  

Citigroup Commercial Mortgage Trust, Ser SMRT, Cl A

                

4.149%, 01/10/2036(B)

     625       642  

Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A

                

2.524%, 09/25/2034(A)

     9       9  

Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1

                

2.772%, 03/25/2036(A)

     61       53  

Citigroup Mortgage Loan Trust, Ser 2018-RP2, Cl A1

                

2.795%, 02/25/2058(A)(B)

     259       261  

Citigroup Mortgage Loan Trust, Ser 2019-IMC1, Cl A1

                

2.720%, 07/25/2049(A)(B)

     56       56  

Cold Storage Trust, Ser 2020-ICE5, Cl A

                

1.091%, ICE LIBOR USD 1 Month + 0.900%, 11/15/2037(A)(B)

     1,617       1,595  

COLT Funding LLC, Ser 2021-3R, Cl A1

                

1.051%, 12/25/2064(A)(B)

     496       487  

COLT Mortgage Loan Trust, Ser 2020-1, Cl A1

                

2.488%, 02/25/2050(A)(B)

     103       103  

COLT Mortgage Loan Trust, Ser 2020-1R, Cl A1

                

1.255%, 09/25/2065(A)(B)

     331       328  

COLT Mortgage Loan Trust, Ser 2020-2, Cl A1

                

1.853%, 03/25/2065(A)(B)

     238       238  

COLT Mortgage Loan Trust, Ser 2020-2R, Cl A1

                

1.325%, 10/26/2065(A)(B)

     212       212  

COLT Mortgage Loan Trust, Ser 2020-3, Cl A1

                

1.506%, 04/27/2065(A)(B)

     150       149  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

COLT Mortgage Loan Trust, Ser 2021-1, Cl A1

                

0.910%, 06/25/2066(A)(B)

   $ 555     $ 537  

COLT Mortgage Loan Trust, Ser 2021-2, Cl A1

                

0.924%, 08/25/2066(A)(B)

     646       623  

COLT Mortgage Loan Trust, Ser 2021-2R, Cl A1

                

0.798%, 07/27/2054(B)

     327       325  

COLT Mortgage Loan Trust, Ser 2021-4, Cl A1

                

1.397%, 10/25/2066(A)(B)

     1,104       1,067  

COLT Mortgage Loan Trust, Ser 2021-HX1, Cl A1

                

1.110%, 10/25/2066(A)(B)

     1,058       1,019  

COLT Mortgage Pass-Through Certificates, Ser 2021-1R, Cl A1

                

0.857%, 05/25/2065(A)(B)

     605       598  

COMM Mortgage Trust, Ser 2014-UBS5, Cl A2

                

3.031%, 09/10/2047

     27       27  

COMM Mortgage Trust, Ser CR23, Cl A2

                

2.852%, 05/10/2048

     336       336  

Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl B

                

1.421%, LIBOR USD 1 Month + 1.230%, 05/15/2036(A)(B)

     2,180       2,158  

Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl A

                

1.171%, ICE LIBOR USD 1 Month + 0.980%, 05/15/2036(A)(B)

     745       739  

Credit Suisse Mortgage Capital Certificates, Ser 2021-NQM4, Cl A1

                

1.101%, 05/25/2066(A)(B)

     1,122       1,094  

CSMC Trust, Ser 2019-AFC1, Cl A1

                

2.573%, 07/25/2049(B)

     994       990  

CSMC Trust, Ser 2021-AFC1, Cl A1

                

0.830%, 03/25/2056(A)(B)

     592       578  

CSMC, Ser 2021-NQM1, Cl A1

                

0.809%, 05/25/2065(A)(B)

     756       744  

CSMC, Ser 2021-NQM3, Cl A1

                

1.015%, 04/25/2066(A)(B)

     1,043       1,009  

DBCG Mortgage Trust, Ser 2017-BBG, Cl A

                

0.891%, ICE LIBOR USD 1 Month + 0.700%, 06/15/2034(A)(B)

     650       642  

Deephaven Residential Mortgage Trust, Ser 2020-2, Cl A1

                

1.692%, 05/25/2065(B)

     164       164  

Deephaven Residential Mortgage Trust, Ser 2021-1, Cl A1

                

0.715%, 05/25/2065(A)(B)

     245       241  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

317

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Deephaven Residential Mortgage Trust, Ser 2021-2, Cl A1

                

0.899%, 04/25/2066(A)(B)

   $ 255     $ 247  

Ellington Financial Mortgage Trust, Ser 2020-2, Cl A1

                

1.178%, 10/25/2065(A)(B)

     104       103  

Ellington Financial Mortgage Trust, Ser 2021-1, Cl A1

                

0.797%, 02/25/2066(A)(B)

     151       147  

Ellington Financial Mortgage Trust, Ser 2021-2, Cl A1

                

0.931%, 06/25/2066(A)(B)

     388       376  

ELP Commercial Mortgage Trust, Ser 2021-ELP, Cl A

                

0.893%, ICE LIBOR USD 1 Month + 0.701%, 11/15/2038(A)(B)

     1,060       1,038  

Extended Stay America Trust, Ser ESH, Cl B

                

1.572%, ICE LIBOR USD 1 Month + 1.380%, 07/15/2038(A)(B)

     497       491  

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M3

                

4.887%, ICE LIBOR USD 1 Month + 4.700%, 04/25/2028(A)

     1,033       1,074  

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQ2, Cl M3

                

3.437%, ICE LIBOR USD 1 Month + 3.250%, 05/25/2025(A)

     328       332  

FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 2M2

                

5.187%, ICE LIBOR USD 1 Month + 5.000%, 11/25/2024(A)

     558       564  

FNMA Connecticut Avenue Securities, Ser 2016-C03, Cl 2M2

                

6.087%, ICE LIBOR USD 1 Month + 5.900%, 10/25/2028(A)

     595       623  

FNMA Connecticut Avenue Securities, Ser 2018-C03, Cl 1EA2

                

1.037%, ICE LIBOR USD 1 Month + 0.850%, 10/25/2030(A)

     130       130  

GCAT Trust, Ser 2020-NQM2, Cl A1

                

1.555%, 04/25/2065(B)

     173       171  

GCAT Trust, Ser 2021-CM1, Cl A

                

1.469%, 04/25/2065(A)(B)

     1,018       1,004  

GCAT Trust, Ser 2021-NQM1, Cl A1

                

0.874%, 01/25/2066(A)(B)

     645       632  

GCAT Trust, Ser 2021-NQM3, Cl A1

                

1.091%, 05/25/2066(A)(B)

     675       655  

GCAT Trust, Ser 2021-NQM5, Cl A1

                

1.262%, 07/25/2066(A)(B)

     1,699       1,641  

GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1

                

3.094%, 11/19/2035(A)

     94       92  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GS Mortgage Securities Trust, Ser 2021-RENT, Cl A

                

0.862%, ICE LIBOR USD 1 Month + 0.700%, 11/21/2035(A)(B)

   $ 1,039     $ 1,028  

GS Mortgage-Backed Securities Trust, Ser 2019-SL1, Cl A1

                

2.625%, 01/25/2059(A)(B)

     264       265  

GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1

                

2.636%, 07/25/2035(A)

     124       86  

GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1

                

2.808%, 05/25/2037(A)

     85       59  

Impac CMB Trust, Ser 2004-9, Cl 1A1

                

0.868%, ICE LIBOR USD 1 Month + 0.760%, 01/25/2035(A)

     23       23  

Impac CMB Trust, Ser 2005-2, Cl 1A1

                

0.707%, ICE LIBOR USD 1 Month + 0.520%, 04/25/2035(A)

     27       27  

Impac CMB Trust, Ser 2005-3, Cl A1

                

0.667%, ICE LIBOR USD 1 Month + 0.480%, 08/25/2035(A)

     27       26  

Impac CMB Trust, Ser 2005-5, Cl A1

                

0.827%, ICE LIBOR USD 1 Month + 0.320%, 08/25/2035(A)

     19       18  

Impac CMB Trust, Ser 2005-8, Cl 1A

                

0.707%, ICE LIBOR USD 1 Month + 0.520%, 02/25/2036(A)

     62       61  

Imperial Fund Mortgage Trust, Ser 2021-NQM1, Cl A1

                

1.071%, 06/25/2056(A)(B)

     967       932  

Imperial Fund Mortgage Trust, Ser 2021-NQM2, Cl A1

                

1.073%, 09/25/2056(A)(B)

     556       524  

Imperial Fund Mortgage Trust, Ser 2021-NQM3, Cl A1

                

1.595%, 11/25/2056(A)(B)

     501       471  

JPMorgan Chase Commercial Mortgage Securities, Ser 2021-MHC, Cl A

                

0.991%, ICE LIBOR USD 1 Month + 0.800%, 04/15/2038(A)(B)

     1,167       1,149  

JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1

                

2.980%, 08/25/2035(A)

     23       21  

JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1

                

3.044%, 05/25/2037(A)

     52       50  

JPMorgan Mortgage Trust, Ser 2018-7FRB, Cl A2

                

0.937%, ICE LIBOR USD 1 Month + 0.750%, 04/25/2046(A)(B)

     230       230  

 

 

 

318

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

JPMorgan Wealth Management, Ser 2021-CL1, Cl M1

                

1.349%, SOFR30A + 1.300%, 03/25/2051(A)(B)

   $ 1,042     $ 1,038  

KNDL Mortgage Trust, Ser 2019-KNSQ, Cl A

                

0.991%, LIBOR USD 1 Month + 0.800%, 05/15/2036(A)(B)

     290       287  

LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2

                

2.579%, 03/10/2049(B)

     2,398       2,407  

LSTAR Securities Investment, Ser 2019-4, Cl A1

                

2.731%, ICE LIBOR USD 1 Month + 2.500%, 05/01/2024(A)(B)

     378       373  

Mello Warehouse Securitization Trust, Ser 2021-2, Cl A

                

0.937%, ICE LIBOR USD 1 Month + 0.750%, 04/25/2055(A)(B)

     2,045       2,028  

Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1

                

3.007%, 06/25/2037(A)

     62       44  

MFA Trust, Ser 2020-NQM1, Cl A1

                

1.479%, 03/25/2065(A)(B)

     158       156  

MFA Trust, Ser 2020-NQM3, Cl A1

                

1.014%, 01/26/2065(A)(B)

     212       209  

MFA Trust, Ser 2021-INV1, Cl A1

                

0.852%, 01/25/2056(A)(B)

     486       478  

MFA Trust, Ser 2021-NQM2, Cl A1

                

1.029%, 11/25/2064(A)(B)

     522       509  

MHC Commercial Mortgage Trust, Ser 2021-MHC, Cl B

                

1.292%, ICE LIBOR USD 1 Month + 1.101%, 04/15/2038(A)(B)

     4,075       4,014  

MHP, Ser 2021-STOR, Cl A

                

0.891%, ICE LIBOR USD 1 Month + 0.700%, 07/15/2038(A)(B)

     325       318  

MHP, Ser 2022-MHIL, Cl A

                

0.914%, TSFR1M + 0.815%, 01/15/2027(A)(B)

     390       382  

Mill City Mortgage Loan Trust, Ser 2018-1, Cl A1

                

3.250%, 05/25/2062(A)(B)

     123       124  

Mill City Mortgage Loan Trust, Ser 2018-2, Cl A1

                

3.500%, 05/25/2058(A)(B)

     327       330  

Mill City Mortgage Loan Trust, Ser 2021-NMR1, Cl A1

                

1.125%, 11/25/2060(A)(B)

     428       420  

Mortgage Repurchase Agreement Financing Trust, Ser 2021-1, Cl A1

                

0.626%, ICE LIBOR USD 1 Month + 0.500%, 03/10/2022(A)(B)

     2,275       2,275  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

MortgageIT Trust, Ser 2005-5, Cl A1

                

0.707%, ICE LIBOR USD 1 Month + 0.520%, 12/25/2035(A)

   $ 57     $ 58  

MTRO Commercial Mortgage Trust, Ser 2019-TECH, Cl A

                

1.091%, LIBOR USD 1 Month + 0.900%, 12/15/2033(A)(B)

     775       764  

New Residential Mortgage Loan Trust, Ser 2017-3A, Cl A1

                

4.000%, 04/25/2057(A)(B)

     187       192  

New Residential Mortgage Loan Trust, Ser 2017-6A, Cl A1

                

4.000%, 08/27/2057(A)(B)

     457       470  

New Residential Mortgage Loan Trust, Ser 2018-1A, Cl A1

                

3.985%, 09/25/2057(A)(B)

     204       208  

New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1

                

2.492%, 09/25/2059(A)(B)

     95       95  

New Residential Mortgage Loan Trust, Ser 2020-NQM1, Cl A1

                

2.464%, 01/26/2060(A)(B)

     381       380  

New Residential Mortgage Loan Trust, Ser 2020-NQM2, Cl A1

                

1.650%, 05/24/2060(A)(B)

     178       176  

New Residential Mortgage Loan Trust, Ser 2021-NQ2R, Cl A1

                

0.941%, 10/25/2058(A)(B)

     249       245  

New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A1

                

1.156%, 11/27/2056(A)(B)

     961       937  

OBX Trust, Ser 2018-1, Cl A2

                

0.837%, ICE LIBOR USD 1 Month + 0.650%, 06/25/2057(A)(B)

     35       35  

OBX Trust, Ser 2021-NQM2, Cl A1

                

1.101%, 05/25/2061(A)(B)

     827       794  

Paragon Mortgages, Ser 2006-12A, Cl A2C

                

0.726%, ICE LIBOR USD 3 Month + 0.220%, 11/15/2038(A)(B)

     86       84  

PRPM LLC, Ser 2021-RPL1, Cl A1

                

1.319%, 07/25/2051(A)(B)

     315       305  

Residential Funding Mortgage Securities, Ser 2007-SA3, Cl 2A1

                

4.316%, 07/27/2037(A)

     68       58  

Residential Mortgage Loan Trust, Ser 2020-1, Cl A1

                

2.376%, 01/26/2060(A)(B)

     116       115  

Sequoia Mortgage Trust, Ser 2004-12, Cl A1

                

0.702%, ICE LIBOR USD 1 Month + 0.540%, 01/20/2035(A)

     10       10  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

319

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Sequoia Mortgage Trust, Ser 2018-CH3, Cl A1

                

4.500%, 08/25/2048(A)(B)

   $ 43     $ 43  

SG Residential Mortgage Trust, Ser 2021-1, Cl A1

                

1.160%, 07/25/2061(A)(B)

     1,204       1,168  

Silverstone Master Issuer, Ser 2022-1A, Cl 1A

                

0.000%, 01/21/2070(A)(B)

     1,660       1,659  

SREIT Trust, Ser 2021-MFP, Cl B

                

1.271%, ICE LIBOR USD 1 Month + 1.080%, 11/15/2038(A)(B)

     900       882  

STAR Trust, Ser 2021-1, Cl A1

                

1.219%, 05/25/2065(A)(B)

     522       518  

Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1

                

2.275%, 02/25/2050(A)(B)

     118       118  

Starwood Mortgage Residential Trust, Ser 2020-3, Cl A1

                

1.486%, 04/25/2065(A)(B)

     111       110  

Starwood Mortgage Residential Trust, Ser 2021-2, Cl A1

                

0.943%, 05/25/2065(A)(B)

     269       265  

Starwood Mortgage Residential Trust, Ser 2021-3, Cl A1

                

1.127%, 06/25/2056(A)(B)

     759       735  

Toorak Mortgage, Ser 2021-INV1, Cl A1

                

1.153%, 07/25/2056(A)(B)

     554       535  

Towd Point Mortgage Trust, Ser 2021-SJ1, Cl A1

                

2.250%, 07/25/2068(A)(B)

     1,215       1,212  

Towd Point Mortgage Trust, Ser 2022-EBO1, Cl A

                

2.161%, 01/25/2052(A)(B)

     1,020       1,020  

TTAN, Ser 2021-MHC, Cl A

                

1.042%, ICE LIBOR USD 1 Month + 0.850%, 03/15/2038(A)(B)

     1,083       1,066  

TTAN, Ser 2021-MHC, Cl B

                

1.292%, ICE LIBOR USD 1 Month + 1.100%, 03/15/2038(A)(B)

     699       686  

UBS Commercial Mortgage Trust, Ser 2017-C3, Cl ASB

                

3.215%, 08/15/2050

     250       255  

UBS Commercial Mortgage Trust, Ser 2017-C6, Cl ASB

                

3.504%, 12/15/2050

     250       257  

Verus Securitization Trust, Ser 2019-4, Cl A1

                

2.642%, 11/25/2059(B)

     128       128  

Verus Securitization Trust, Ser 2019-INV3, Cl A1

                

2.692%, 11/25/2059(A)(B)

     178       178  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Verus Securitization Trust, Ser 2020-1, Cl A1

                

2.417%, 01/25/2060(B)

   $ 47     $ 47  

Verus Securitization Trust, Ser 2020-4, Cl A1

                

1.502%, 05/25/2065(B)

     258       256  

Verus Securitization Trust, Ser 2021-1, Cl A1

                

0.815%, 01/25/2066(A)(B)

     407       398  

Verus Securitization Trust, Ser 2021-1, Cl A2

                

1.052%, 01/25/2066(A)(B)

     531       518  

Verus Securitization Trust, Ser 2021-2, Cl A1

                

1.031%, 02/25/2066(A)(B)

     533       521  

Verus Securitization Trust, Ser 2021-R1, Cl A1

                

0.820%, 10/25/2063(A)(B)

     778       771  

Verus Securitization Trust, Ser 2021-R2, Cl A1

                

0.918%, 02/25/2064(A)(B)

     790       781  

Verus Securitization Trust, Ser 2021-R3, Cl A1

                

1.020%, 04/25/2064(A)(B)

     564       557  

WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1

                

3.082%, 03/25/2036(A)

     70       71  

Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl AS

                

3.539%, 10/15/2045

     620       624  

Wells Fargo Commercial Mortgage Trust, Ser 2015-NXS2, Cl A2

                

3.020%, 07/15/2058

     611       613  

Wells Fargo Commercial Mortgage Trust, Ser 2016-C32, Cl ASB

                

3.324%, 01/15/2059

     474       483  
                 
                 
              92,358  

Total Mortgage-Backed Securities

                

(Cost $105,094) ($ Thousands)

             103,440  
                 
                 
                 

U.S. TREASURY OBLIGATIONS — 12.5%

U.S. Treasury Bills

               

0.634%, 01/26/2023 (C)

     6,550       6,498  

0.391%, 12/29/2022 (C)

     3,225       3,201  

0.240%, 12/01/2022 (C)

     2,650       2,637  

U.S. Treasury Notes

               

1.750%, 09/30/2022

    10,000       10,057  

0.500%, 03/15/2023

    23,745       23,594  

0.250%, 06/15/2024

    6,375       6,189  

0.125%, 01/31/2023

    13,150       13,037  

 

 

 

320

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS (continued)

0.125%, 05/15/2023

  $ 12,705     $ 12,543  
         

Total U.S. Treasury Obligations

        

(Cost $78,303) ($ Thousands)

     77,756  
                 
                 
                 

MUNICIPAL BONDS — 2.7%

California — 0.6%

        

Golden State Tobacco Securitization, RB, ST APPROP

               

0.672%, 06/01/2023

    1,945       1,925  

Riverside County, Infrastructure Financing Authority, Ser B, RB

               

0.398%, 11/01/2022

    1,460       1,454  

San Francisco Bay Area, Rapid Transit District Sales Tax Revenue, Ser B, RB

               

2.537%, 07/01/2022

    810       815  

University of California, Ser BF, RB

               

0.455%, 05/15/2022

    230       230  
                 
              4,424  
                 

District of Columbia — 0.2%

        

District of Columbia Water & Sewer Authority, Sub-Ser D-SUBORDINATE, RB

               

1.672%, 10/01/2023

    1,130       1,132  
                 
                 

Illinois — 0.2%

        

Chicago, Transit Authority, Ser B, RB

               

1.838%, 12/01/2023

    145       145  

Illinois State, Sales Tax Revenue, Ser B, RB

               

1.900%, 06/15/2022

    890       892  
                 
              1,037  
                 

Massachusetts — 0.1%

        

Massachusetts Water Resources Authority, Ser C, RB

               

0.534%, 08/01/2022

    485       484  
                 
                 

New York — 1.1%

        

City of New York New York, Ser D-2, GO

               

1.150%, 03/01/2023

    1,925       1,924  

New York & New Jersey, Port Authority, Ser AAA, RB

               

1.086%, 07/01/2023

    3,105       3,094  

New York State, Urban Development, RB

               

2.550%, 03/15/2022

    1,625       1,626  
                 
              6,644  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

South Carolina — 0.4%

        

South Carolina State, Public Service Authority, Ser E, RB

               

3.722%, 12/01/2023

  $ 2,470     $ 2,551  
                 
                 

Texas — 0.1%

        

Central Texas, Turnpike System, Ser B, RB

               

1.980%, 08/15/2042 (A)

     375       376  

Houston, Texas Airport System Revenue, Ser C, RB

               

0.883%, 07/01/2022

    180       180  
                 
              556  
                 
                 

Total Municipal Bonds

                

(Cost $16,909) ($ Thousands)

             16,828  
                 
                 
                 

COMMERCIAL PAPER — 0.4%

Arabella Finance LLC

                

0.360%, 04/08/2022 (B)(C)

   $ 2,500       2,499  

Total Commercial Paper

                

(Cost $2,499) ($ Thousands)

     2,499  
                 
                 
   


Shares

          

CASH EQUIVALENT — 1.3%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     8,006,075       8,006  
                 

Total Cash Equivalent

                

(Cost $8,006) ($ Thousands)

             8,006  
                 
                 
   

Face Amount
(Thousands)

          

REPURCHASE AGREEMENT — 0.3%

BNP Paribas

                

0.050%, dated 2/28/2022, to be repurchased on 3/1/2022, repurchase price $1,900,003 (collateralized by various U.S. Government Agency,

0.125% - 6.000%, 02/15/2024 - 07/20/2051, ranging in par value from $100 - $2,018,896; with total market value of $1,938,002) (D)

   $ 1,900       1,900  

Total Repurchase Agreement

                

(Cost $1,900) ($ Thousands)

             1,900  
                 
                 

Total Investments in Securities — 102.1%

                

(Cost $637,965) ($ Thousands)

  $ 633,159  
                 
                 
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

321

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Continued)

 

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

U.S. 2-Year Treasury Note

     59       Jul-2022     $ 12,672     $ 12,698     $ 27  
                                         

Short Contracts

                                        

U.S. 5-Year Treasury Note

     (1 )     Jul-2022     $ (118 )   $ (118 )   $ (1 )

U.S. 10-Year Treasury Note

     (39 )     Jun-2022       (4,922 )     (4,970 )     (48 )

U.S. Long Treasury Bond

     (1 )     Jun-2022       (154 )     (157 )     (2 )
                      (5,194 )     (5,245 )     (51 )
                    $ 7,478     $ 7,453     $ (24 )

 

 

 

Percentages are based on Net Assets of $620,195 ($ Thousands).

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

(A)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(B)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On February 28, 2022, the value of these securities amounted to $318,248 ($ Thousands), representing 51.3% of the Net Assets of the Fund.

(C)

Interest rate represents the security's effective yield at the time of purchase.

(D)

Tri-Party Repurchase Agreement.

 

 

ABS — Asset-Backed Security

APPROP — Appropriations

ARM — Adjustable Rate Mortgage

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

DAC — Designated Activity Company

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

FREMF— Freddie Mac Multi-Family

GMAC — General Motors Acceptance Corporation

GNMA — Government National Mortgage Association

GO — General Obligation

ICE— Intercontinental Exchange

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

SOFR — Secured Overnight Financing Rate

SOFR30A — Secured Overnight Financing Rate 30-day Average

SOFRINDX — Secured Overnight Financing Rate Index

USD — U.S. Dollar

 

 

 

 

322

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Ultra Short Duration Bond Fund (Concluded)

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Corporate Obligations

     –       240,250       –       240,250  

Asset-Backed Securities

     –       182,480       –       182,480  

Mortgage-Backed Securities

     –       103,440       –       103,440  

U.S. Treasury Obligations

     –       77,756       –       77,756  

Municipal Bonds

     –       16,828       –       16,828  

Commercial Paper

     –       2,499       –       2,499  

Cash Equivalent

     8,006       –       –       8,006  

Repurchase Agreement

     –       1,900       –       1,900  

Total Investments in Securities

     8,006       625,153       –       633,159  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Appreciation

     27       –       –       27  

Unrealized Depreciation

     (51 )     –       –       (51 )

Total Other Financial Instruments

     (24 )     –       –       (24 )

 

*

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

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.    

 

For more information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 
 

The following is a summary of the transactions with affiliates for the period ended February 28, 2022:

 

Security Description

 

Value 5/31/2021

   

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 3,695     $ 223,220     $ (218,909 )   $ —     $ —     $ 8,006       8,006,075     $ —     $ —  

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

323

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS — 94.0%

Angola — 0.9%

        

Angola Via Avenir II BV MTN

               

7.854%, ICE LIBOR USD 6 Month + 7.500%, 07/01/2023 (A)

   $ 3,595     $ 3,577  

Angolan Government International Bond

               

9.375%, 05/08/2048

    5,165       4,869  

9.375%, 05/08/2048 (B)

     590       556  

8.250%, 05/09/2028

    2,096       2,086  

Angolan Government International Bond MTN

               

9.125%, 11/26/2049 (B)

     1,550       1,438  

9.125%, 11/26/2049

    1,205       1,118  

8.000%, 11/26/2029

    3,348       3,275  

Republic of Angola Via Avenir Issuer II Ireland DAC

               

6.927%, 02/19/2027

    3,159       2,930  
              19,849  
                 

Argentina — 1.3%

        

Argentine Republic Government International Bond

               

2.000%, 3.875%, 01/09/2038, 07/09/2022 (C)

     5,633       2,084  

2.500%, 3.500%, 07/09/2041, 07/09/2022 (C)

     14,074       4,785  

0.500%, 1.500%, 07/09/2035, 07/09/2022 (C)

     7,892       2,336  

1.000%, 07/09/2029

    12,020       3,966  

0.500%, 0.750%, 07/09/2030, 07/09/2023 (C)

     36,991       11,800  

0.500%, 07/09/2029

  EUR 13       5  

0.125%, 07/09/2030

    407       137  

Provincia de Buenos Aires MTN

               

2.000%, 3.000%, 09/01/2037, 09/01/2022 (C)

     977       329  

Provincia de Cordoba

               

5.000%, 12/10/2025 (B)

   $ 721       537  

Rio Energy

               

6.875%, 02/01/2025 (B)

     372       298  

YPF

               

4.000%, 9.000%, 02/12/2026, 01/01/2023 (C)

     1,055       897  
              27,174  
                 

Armenia — 0.1%

        

Republic of Armenia International Bond

               

3.600%, 02/02/2031

    1,447       1,230  
                 
                 

Azerbaijan — 0.8%

        

Republic of Azerbaijan International Bond

               

5.125%, 09/01/2029

    2,772       2,923  

Southern Gas Corridor CJSC

               

6.875%, 03/24/2026

    8,079       9,031  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

State Oil of the Azerbaijan Republic

               

6.950%, 03/18/2030

  $ 3,691     $ 4,285  

State Oil of the Azerbaijan Republic MTN

               

4.750%, 03/13/2023

    1,100       1,114  

4.750%, 03/13/2023

    229       232  
              17,585  
                 

Bahamas — 0.0%

        

Bahamas Government International Bond

               

6.000%, 11/21/2028

    980       822  
                 
                 

Bahrain — 0.8%

        

Bahrain Government International Bond

               

7.000%, 01/26/2026 (B)

     2,354       2,523  

7.000%, 10/12/2028 (B)

     756       799  

6.125%, 08/01/2023

    849       879  

6.000%, 09/19/2044

    402       337  

5.625%, 09/30/2031 (B)

     1,664       1,567  

5.625%, 09/30/2031

    209       197  

5.450%, 09/16/2032 (B)

     981       903  

5.450%, 09/16/2032

    5,615       5,166  

Bahrain Government International Bond MTN

               

6.250%, 01/25/2051

    200       169  

5.250%, 01/25/2033 (B)

     1,057       935  

4.250%, 01/25/2028

    1,254       1,190  

CBB International Sukuk Programme WLL

               

3.875%, 05/18/2029 (B)

     1,625       1,552  

Oil and Gas Holding BSCC (B)

                

8.375%, 11/07/2028

    810       882  

7.625%, 11/07/2024

    858       897  
              17,996  
                 

Belarus — 0.2%

        

Development Bank of the Republic of Belarus JSC

               

6.750%, 05/02/2024

    1,681       1,157  

Republic of Belarus International Bond

               

6.875%, 02/28/2023 (B)

     2,423       905  

6.378%, 02/24/2031 (B)

     1,061       287  

6.378%, 02/24/2031

    767       207  

6.200%, 02/28/2030

    215       58  

6.200%, 02/28/2030 (B)

     134       36  

5.875%, 02/24/2026

    2,070       559  
              3,209  
                 

Belize — 0.0%

        

Belize Government International Bond

               

4.938%, 02/20/2038

    1,613       822  
                 
                 

Benin — 0.0%

        

Benin Government International Bond

               

6.875%, 01/19/2052

  EUR 115       114  

4.950%, 01/22/2035

    581       557  

 

 

 

324

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

4.875%, 01/19/2032

  EUR 156     $ 156  
              827  
                 

Bermuda — 0.2%

        

Bermuda Government International Bond

               

4.750%, 02/15/2029

  $ 2,514       2,791  

3.717%, 01/25/2027

    1,093       1,135  

2.375%, 08/20/2030

    306       289  
              4,215  
                 

Brazil — 6.3%

        

Brazil Letras do Tesouro Nacional

               

7.296%, 07/01/2023 (D)

   BRL 23,000       3,817  

7.125%, 01/01/2024 (D)

     79,000       12,456  

0.000%, 01/01/2025 (D)

     51,000       7,273  

Brazil Loan Trust 1

               

5.477%, 07/24/2023 (B)

   $ 1,037       1,052  

Brazil Minas SPE via State of Minas Gerais

               

5.333%, 02/15/2028

    1,343       1,353  

5.333%, 02/15/2028

    1,329       1,337  

Brazil Notas do Tesouro Nacional, Ser B

               

6.000%, 05/15/2045

  BRL 1,442       1,099  

6.000%, 08/15/2050

    180       138  

Brazil Notas do Tesouro Nacional, Ser F

               

10.000%, 01/01/2023

    143,322       27,300  

10.000%, 01/01/2025

    87,841       16,510  

10.000%, 01/01/2027

    91,265       16,929  

10.000%, 01/01/2029

    60,291       10,910  

10.000%, 01/01/2031

    35,453       6,326  

Brazilian Government International Bond

               

5.625%, 01/07/2041

  $ 523       508  

5.625%, 02/21/2047

    928       878  

5.000%, 01/27/2045

    3,758       3,334  

4.750%, 01/14/2050

    1,200       1,002  

4.625%, 01/13/2028

    1,600       1,624  

4.500%, 05/30/2029

    810       801  

3.875%, 06/12/2030

    1,101       1,028  

3.750%, 09/12/2031

    7,509       6,777  

2.875%, 06/06/2025

    3,125       3,108  

Centrais Eletricas Brasileiras

               

4.625%, 02/04/2030 (B)

     232       219  

CSN Inova Ventures

               

6.750%, 01/28/2028 (B)

     800       830  

6.750%, 01/28/2028

    430       446  

CSN Resources

               

4.625%, 06/10/2031 (B)

     804       729  

Globo Comunicacao e Participacoes

               

5.500%, 01/14/2032 (B)

     640       586  

Gol Finance

               

7.000%, 01/31/2025 (B)(E)

     1,322       1,195  

Iochpe-Maxion Austria GmbH

               

5.000%, 05/07/2028 (B)

     433       403  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

MC Brazil Downstream Trading SARL

               

7.250%, 06/30/2031 (B)

   $ 1,343     $ 1,242  

Minerva Luxembourg

               

4.375%, 03/18/2031 (B)

     462       422  

MV24 Capital BV

               

6.748%, 06/01/2034 (B)

     181       177  

Petrobras Global Finance BV

               

5.500%, 06/10/2051

    698       596  

StoneCo

               

3.950%, 06/16/2028

    1,960       1,549  

Suzano Austria GmbH (B)

                

7.000%, 03/16/2047

    572       656  

6.000%, 01/15/2029

    406       445  

5.000%, 01/15/2030

    687       703  
              135,758  
                 

Cameroon — 0.0%

        

Republic of Cameroon International Bond

               

5.950%, 07/07/2032

  EUR 823       806  
                 
                 

Cayman Islands — 0.2%

        

Bioceanico Sovereign Certificate Ltd

               

2.501%, 06/05/2034 (D)

   $ 2,520       1,840  

Neon Capital MTN

               

2.216%, 01/06/2028 (A)

   JPY 371,867       2,746  
              4,586  
                 

Chile — 1.5%

        

ALFA Desarrollo SPA

               

4.550%, 09/27/2051 (B)

   $ 354       300  

ATP Tower Holdings LLC

               

4.050%, 04/27/2026 (B)

   CLP 381       353  

Banco de Credito e Inversiones

               

3.500%, 10/12/2027 (B)

   $ 1,691       1,738  

Bonos de la Tesoreria de la Republica

               

1.900%, 09/01/2030

  CLP 1,934,482       2,438  

Bonos de la Tesoreria de la Republica en pesos

               

5.000%, 03/01/2035

    405,000       472  

4.700%, 09/01/2030 (B)

     555,000       667  

4.500%, 03/01/2026

    935,000       1,136  

2.800%, 10/01/2033 (B)

     625,000       601  

Cencosud

               

4.375%, 07/17/2027 (B)

   $ 2,283       2,342  

Chile Government International Bond

               

3.625%, 10/30/2042

    1,368       1,303  

3.500%, 01/31/2034

    336       333  

3.250%, 09/21/2071

    2,386       1,923  

3.100%, 05/07/2041

    405       355  

3.100%, 01/22/2061

    730       591  

2.750%, 01/31/2027

    2,252       2,255  

2.550%, 01/27/2032

    1,387       1,308  

2.550%, 07/27/2033

    10,666       9,717  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

325

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

2.450%, 01/31/2031

  $ 378     $ 356  

Empresa de los Ferrocarriles del Estado

               

3.830%, 09/14/2061

    500       417  

Empresa de Transporte de Pasajeros Metro

               

3.650%, 05/07/2030 (B)

     217       220  

Empresa Nacional del Petroleo

               

3.450%, 09/16/2031 (B)

     504       464  

Nacional del Cobre de Chile

               

3.750%, 01/15/2031 (B)

     234       236  

3.700%, 01/30/2050 (B)

     669       594  

3.150%, 01/14/2030

    1,000       969  

3.000%, 09/30/2029

    1,050       1,011  

3.000%, 09/30/2029 (B)

     390       376  
              32,475  
                 

China — 6.6%

        

Alibaba Group Holding Ltd

               

3.250%, 02/09/2061

    208       162  

Blossom Joy

               

3.100% (A)(F)

     243       242  

China Government Bond

               

3.810%, 09/14/2050

  CNY 8,700       1,476  

3.720%, 04/12/2051

    5,400       904  

3.530%, 10/18/2051

    29,980       4,910  

3.280%, 12/03/2027

    69,330       11,330  

3.270%, 11/19/2030

    116,010       19,010  

3.020%, 10/22/2025

    65,100       10,508  

3.020%, 05/27/2031

    12,210       1,962  

3.010%, 05/13/2028

    13,870       2,230  

2.910%, 10/14/2028

    5,000       799  

2.890%, 11/18/2031

    112,370       17,959  

2.880%, 11/05/2023

    37,000       5,924  

2.850%, 06/04/2027

    63,890       10,211  

2.690%, 08/12/2026

    6,000       957  

2.680%, 05/21/2030

    73,820       11,506  

1.990%, 04/09/2025

    85,700       13,392  

China Government International Bond

               

3.250%, 10/19/2023

  $ 2,175       2,232  

1.250%, 10/26/2026 (B)

     2,160       2,109  

0.550%, 10/21/2025

    1,700       1,626  

0.400%, 10/21/2023

    3,830       3,764  

China Minmetals Corp

               

3.750% (A)(F)

     3,389       3,416  

Chinalco Capital Holdings

               

2.125%, 06/03/2026

    632       605  

Chinalco Capital Holdings Ltd

               

4.250%, 04/21/2022

    900       903  

4.100% (A)(F)

     307       314  

CNAC HK Finbridge

               

4.125%, 07/19/2027

    575       598  

3.875%, 06/19/2029

    1,107       1,123  

3.000%, 09/22/2030

    1,021       971  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

CNAC HK Finbridge Co Ltd

               

5.125%, 03/14/2028

  $ 361     $ 394  

CNRC Capitale

               

3.900% (A)(F)

     200       201  

Country Garden Holdings

               

4.800%, 08/06/2030

    1,082       725  

Dianjian Haiyu Ltd

               

4.300% (A)(F)

     205       210  

Dianjian International Finance Ltd

               

4.600% (A)(F)

     448       455  

ENN Clean Energy International Investment

               

3.375%, 05/12/2026 (B)

     308       301  

Huarong Finance II MTN

               

5.500%, 01/16/2025

    730       728  

Leader Goal International MTN

               

4.250% (A)(F)

     263       266  

Meituan

               

3.050%, 10/28/2030

    238       199  

Minmetals Bounteous Finance BVI

               

3.375% (A)(F)

     1,080       1,088  

Powerchina Roadbridge Group British Virgin Islands

               

3.080% (A)(F)

     423       416  

Shimao Group Holdings

               

5.600%, 07/15/2026

    2,542       725  

5.200%, 01/30/2025

    2,111       654  

Sinopec Group Overseas Development 2018

               

2.700%, 05/13/2030

    802       779  

2.300%, 01/08/2031

    2,792       2,619  

Sunac China Holdings

               

7.000%, 07/09/2025

    232       88  

6.500%, 01/26/2026

    207       80  

Tencent Holdings MTN

               

3.240%, 06/03/2050 (B)

     620       509  

Wanda Properties International

               

7.250%, 01/29/2024

    1,217       1,119  

Wanda Properties Overseas

               

6.950%, 12/05/2022

    200       186  

6.875%, 07/23/2023

    244       230  
              143,115  
                 

Colombia — 4.9%

        

AI Candelaria Spain

               

7.500%, 12/15/2028 (B)

     1,453       1,438  

Colombia Government International Bond

               

9.850%, 06/28/2027

  COP 7,914,000       2,160  

9.850%, 06/28/2027

    994,000       271  

8.125%, 05/21/2024

  $ 288       318  

7.375%, 09/18/2037

    1,116       1,239  

6.125%, 01/18/2041

    3,264       3,162  

5.625%, 02/26/2044

    1,555       1,402  

5.200%, 05/15/2049

    6,303       5,325  

 

 

 

326

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

5.000%, 06/15/2045

  $ 6,012     $ 5,009  

4.500%, 03/15/2029

    5,828       5,640  

4.375%, 03/21/2023

  COP 4,586,000       1,154  

4.125%, 02/22/2042

  $ 7,833       6,105  

3.875%, 02/15/2061 (E)

     1,402       1,007  

3.250%, 04/22/2032

    2,305       1,928  

3.125%, 04/15/2031

    2,194       1,859  

3.000%, 01/30/2030

    1,198       1,031  

Colombian TES

               

10.000%, 07/24/2024

  COP 14,816,300       3,918  

9.250%, 05/28/2042

    3,869,500       946  

7.750%, 09/18/2030

    20,757,800       4,826  

7.500%, 08/26/2026

    48,279,200       11,674  

7.250%, 10/18/2034

    27,925,800       5,968  

7.250%, 10/26/2050

    6,253,600       1,209  

7.000%, 03/26/2031

    25,917,200       5,687  

7.000%, 03/26/2031

    1,757,100       386  

7.000%, 06/30/2032

    11,329,600       2,438  

6.250%, 11/26/2025

    29,255,200       6,871  

6.250%, 07/09/2036

    8,114,800       1,541  

6.000%, 04/28/2028

    22,723,100       4,954  

5.750%, 11/03/2027

    35,369,800       7,716  

3.000%, 03/25/2033

    1,516,300       1,067  

2.250%, 04/18/2029

    1,309,400       916  

Ecopetrol

               

6.875%, 04/29/2030

  $ 686       718  

5.875%, 11/02/2051

    504       422  

Empresas Publicas de Medellin ESP (B)

                

8.375%, 11/08/2027

  COP 4,600,000       1,059  

7.625%, 09/10/2024

    2,224,000       540  

7.625%, 09/10/2024

    1,827,000       444  

Financiera de Desarrollo Territorial Findeter

               

7.875%, 08/12/2024 (B)

     1,408,000       348  

7.875%, 08/12/2024

    1,095,000       271  

Geopark

               

5.500%, 01/17/2027 (B)

   $ 1,438       1,361  

Gran Tierra Energy

               

7.750%, 05/23/2027 (B)

     390       354  

Grupo Aval

               

4.375%, 02/04/2030 (B)

     1,083       955  

SierraCol Energy Andina LLC

               

6.000%, 06/15/2028 (B)

     1,003       916  
              106,553  
                 

Costa Rica — 0.3%

        

Costa Rica Government International Bond

               

7.158%, 03/12/2045

    2,261       2,185  

7.158%, 03/12/2045

    600       582  

7.000%, 04/04/2044

    780       747  

7.000%, 04/04/2044

    1,211       1,160  

6.125%, 02/19/2031

    2,201       2,190  
              6,864  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

Croatia — 0.1%

        

Croatia Government International Bond

               

1.500%, 06/17/2031

  EUR 700     $ 719  

1.125%, 03/04/2033

    1,336       1,294  
              2,013  
                 

Czech Republic — 1.7%

        

Czech Republic Government Bond

               

4.200%, 12/04/2036

  CZK 12,390       623  

2.750%, 07/23/2029

    134,160       5,824  

2.500%, 08/25/2028

    147,960       6,343  

2.400%, 09/17/2025

    167,370       7,193  

2.000%, 10/13/2033

    71,520       2,854  

1.250%, 02/14/2025

    137,070       5,681  

1.200%, 03/13/2031

    38,160       1,452  

1.000%, 06/26/2026

    53,520       2,167  

0.950%, 05/15/2030

    47,180       1,775  

0.250%, 02/10/2027

    15,200       586  

0.050%, 11/29/2029

    47,130       1,655  
              36,153  
                 

Dominican Republic — 1.5%

        

Dominican Republic International Bond

               

9.750%, 06/05/2026

  DOP 24,700       470  

7.450%, 04/30/2044 (B)

   $ 587       613  

7.450%, 04/30/2044

    506       529  

6.850%, 01/27/2045

    2,518       2,464  

6.500%, 02/15/2048

    5,899       5,536  

6.400%, 06/05/2049

    1,551       1,431  

6.000%, 02/22/2033 (B)

     6,017       5,905  

5.875%, 01/30/2060

    3,748       3,158  

5.875%, 01/30/2060 (B)

     509       429  

5.500%, 02/22/2029 (B)

     1,959       1,948  

5.300%, 01/21/2041

    4,066       3,487  

4.875%, 09/23/2032

    3,905       3,553  

4.500%, 01/30/2030

    2,943       2,722  
              32,245  
                 

Ecuador — 1.1%

        

Ecuador Government International Bond

               

9.007%, 07/31/2030 (D)

     100       59  

6.889%, 07/31/2030 (B)(D)

     2,261       1,328  

5.000%, 5.500%, 07/31/2030, 07/31/2022 (B)(C)

     4,158       3,638  

1.000%, 2.500%, 07/31/2035, 07/31/2022 (C)

     10,572       7,427  

1.000%, 2.500%, 07/31/2035, 07/31/2022 (B)(C)

     8,475       5,954  

0.500%, 1.500%, 07/31/2040, 07/31/2022 (B)(C)

     5,565       3,410  

0.500%, 1.500%, 07/31/2040, 07/31/2022 (C)

     3,046       1,867  
              23,683  
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

327

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

Egypt — 2.9%

        

Egypt Government Bond

               

16.300%, 04/09/2024

  EGP 21,507     $ 1,416  

16.100%, 05/07/2029

    21,345       1,456  

15.900%, 07/02/2024

    13,572       891  

14.664%, 10/06/2030

    7,247       463  

14.556%, 10/13/2027

    17,572       1,128  

14.483%, 04/06/2026

    151,884       9,746  

14.406%, 07/07/2027

    24,826       1,586  

14.382%, 01/12/2031

    14,496       914  

14.292%, 01/05/2028

    28,937       1,838  

14.196%, 07/07/2023

    30,301       1,936  

14.060%, 01/12/2026

    67,382       4,274  

Egypt Government International Bond

               

8.875%, 05/29/2050

  $ 2,020       1,587  

8.875%, 05/29/2050 (B)

     6,854       5,384  

8.700%, 03/01/2049 (B)

     921       719  

8.700%, 03/01/2049

    820       640  

7.903%, 02/21/2048

    2,133       1,565  

7.903%, 02/21/2048 (B)

     96       70  

7.625%, 05/29/2032 (B)

     3,674       3,067  

7.625%, 05/29/2032

    6,511       5,435  

6.588%, 02/21/2028 (B)(E)

     936       834  

5.250%, 10/06/2025 (B)

     788       750  

Egypt Government International Bond MTN

               

8.500%, 01/31/2047

    5,575       4,309  

8.150%, 11/20/2059

    378       282  

7.600%, 03/01/2029

    1,133       1,015  

7.500%, 02/16/2061

    844       600  

7.300%, 09/30/2033

    1,318       1,076  

7.300%, 09/30/2033 (B)

     4,624       3,776  

6.375%, 04/11/2031 (B)

   EUR 1,464       1,305  

6.375%, 04/11/2031

    1,260       1,124  

5.875%, 02/16/2031

  $ 200       155  

5.800%, 09/30/2027 (B)

     740       650  

5.625%, 04/16/2030

  EUR 1,081       963  

4.750%, 04/11/2025

    633       678  

4.750%, 04/11/2025 (B)

     325       348  

4.750%, 04/16/2026

    900       899  
              62,879  
                 

El Salvador — 0.4%

        

El Salvador Government International Bond

               

9.500%, 07/15/2052

  $ 5,844       3,141  

8.625%, 02/28/2029

    1,343       732  

7.750%, 01/24/2023

    2,360       1,988  

7.650%, 06/15/2035 (B)

     196       102  

7.625%, 02/01/2041

    1,285       645  

7.625%, 02/01/2041 (B)

     755       379  

7.125%, 01/20/2050

    328       162  

6.375%, 01/18/2027 (B)

     1,014       555  

5.875%, 01/30/2025

    2,295       1,383  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

5.875%, 01/30/2025 (B)

   $ 138     $ 83  
              9,170  
                 

Ethiopia — 0.0%

        

Ethiopia International Bond

               

6.625%, 12/11/2024

    431       324  

Federal Democratic Republic of Ethiopia

               

6.625%, 12/11/2024 (B)

     432       325  
              649  
                 

Gabon — 0.2%

        

Gabon Government International Bond

               

7.000%, 11/24/2031 (B)

     2,421       2,220  

6.625%, 02/06/2031

    975       886  

6.625%, 02/06/2031 (B)

     609       –  
              3,106  
                 

Georgia — 0.1%

        

Georgia Government International Bond

               

2.750%, 04/22/2026 (B)

     750       716  

2.750%, 04/22/2026

    580       554  
              1,270  
                 

Ghana — 1.0%

        

Republic of Ghana Government Bonds

               

20.750%, 03/06/2023

  GHS 2,770       417  

19.250%, 12/18/2023

    5,730       843  

10.750%, 10/14/2030

  $ 3,743       3,639  

8.950%, 03/26/2051

    200       129  

8.950%, 03/26/2051 (B)

     912       590  

8.875%, 05/07/2042

    1,946       1,268  

8.875%, 05/07/2042 (B)

     1,486       969  

8.750%, 03/11/2061 (B)

     1,817       1,167  

8.750%, 03/11/2061

    1,039       667  

8.627%, 06/16/2049 (B)

     731       469  

8.625%, 04/07/2034

    4,345       2,868  

8.125%, 03/26/2032 (B)

     240       160  

7.875%, 03/26/2027 (B)

     779       562  

7.875%, 02/11/2035 (B)

     1,485       970  

7.875%, 02/11/2035

    1,944       1,270  

7.750%, 04/07/2029 (B)

     450       306  

7.750%, 04/07/2029

    1,321       898  

7.625%, 05/16/2029

    1,727       1,168  

7.625%, 05/16/2029 (B)

     403       273  

6.375%, 02/11/2027

    1,986       1,378  

Tullow Oil (B)

                

10.250%, 05/15/2026

    535       523  

7.000%, 03/01/2025

    1,747       1,371  
              21,905  
                 

Guatemala — 0.4%

        

CT Trust

               

5.125%, 02/03/2032 (B)

     1,444       1,446  

Guatemala Government Bond

               

6.125%, 06/01/2050

    188       194  

 

 

 

328

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

5.375%, 04/24/2032

  $ 1,718     $ 1,770  

5.375%, 04/24/2032 (B)

     187       193  

4.900%, 06/01/2030

    2,191       2,202  

4.650%, 10/07/2041 (B)

     1,234       1,129  

4.650%, 10/07/2041

    247       226  

4.500%, 05/03/2026

    941       950  

3.700%, 10/07/2033

    735       666  

3.700%, 10/07/2033 (B)

     320       290  
              9,066  
                 

Honduras — 0.1%

        

Honduras Government International Bond

               

6.250%, 01/19/2027

    479       436  

5.625%, 06/24/2030

    1,066       927  
              1,363  
                 

Hong Kong — 0.1%

        

NWD

               

4.125%, 07/18/2029

    1,026       972  
                 
                 

Hungary — 1.3%

        

Hungary Government Bond

               

6.750%, 10/22/2028

  HUF 658,330       2,152  

5.500%, 06/24/2025

    747,520       2,280  

4.000%, 04/28/2051

    190,210       450  

3.250%, 10/22/2031

    2,112,900       5,517  

3.000%, 06/26/2024

    101,050       291  

3.000%, 10/27/2027

    864,870       2,336  

3.000%, 08/21/2030

    750,100       1,925  

3.000%, 10/27/2038

    155,240       345  

2.750%, 12/22/2026

    1,555,570       4,210  

2.250%, 04/20/2033

    172,760       394  

2.250%, 06/22/2034

    196,330       431  

1.500%, 04/22/2026

    123,360       322  

Hungary Government International Bond

               

5.375%, 02/21/2023

  $ 476       491  

3.125%, 09/21/2051 (B)

     2,475       2,033  

2.125%, 09/22/2031 (B)

     5,396       4,858  

2.125%, 09/22/2031

    379       341  

1.500%, 11/17/2050

  EUR 363       305  
              28,681  
                 

India — 0.3%

        

Adani Electricity Mumbai

               

3.949%, 02/12/2030 (B)

   $ 720       671  

Export-Import Bank of India MTN

               

3.250%, 01/15/2030

    1,430       1,372  

2.250%, 01/13/2031

    1,052       926  

Network i2i

               

5.650%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.277% (A)(B)(F)

     290       292  

Power Finance MTN

               

3.950%, 04/23/2030 (B)

     786       758  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

Reliance Industries (B)

                

3.625%, 01/12/2052

  $ 986     $ 905  

2.875%, 01/12/2032

    1,175       1,099  

Vedanta Resources

               

7.125%, 05/31/2023

    300       278  

6.375%, 07/30/2022

    550       539  

Vedanta Resources Finance II

               

13.875%, 01/21/2024 (B)

     403       411  
              7,251  
                 

Indonesia — 6.8%

        

Indonesia Asahan Aluminium Persero

               

6.757%, 11/15/2048

    345       388  

6.530%, 11/15/2028 (B)

     593       669  

5.800%, 05/15/2050 (B)

     1,683       1,702  

5.710%, 11/15/2023 (B)

     866       903  

4.750%, 05/15/2025 (B)

     359       367  

Indonesia Government International Bond

               

8.500%, 10/12/2035

    1,900       2,778  

8.500%, 10/12/2035

    400       585  

7.750%, 01/17/2038

    2,250       3,118  

5.250%, 01/08/2047 (B)

     240       274  

4.750%, 02/11/2029

    534       592  

3.500%, 01/11/2028

    2,736       2,822  

3.200%, 09/23/2061

    673       564  

3.050%, 03/12/2051

    2,357       2,104  

2.850%, 02/14/2030

    4,759       4,712  

2.150%, 07/28/2031

    2,186       2,029  

1.400%, 10/30/2031

  EUR 442       454  

1.300%, 03/23/2034

    755       742  

1.100%, 03/12/2033

    1,000       981  

Indonesia Government International Bond MTN

               

5.250%, 01/17/2042

  $ 4,428       4,961  

5.125%, 01/15/2045

    280       312  

4.625%, 04/15/2043

    1,186       1,247  

3.750%, 06/14/2028

  EUR 372       455  

Indonesia Treasury Bond

               

9.000%, 03/15/2029

  IDR 89,762,000       7,179  

8.750%, 05/15/2031

    94,417,000       7,541  

8.375%, 03/15/2024

    58,925,000       4,431  

8.375%, 03/15/2034

    80,180,000       6,284  

8.375%, 04/15/2039

    94,054,000       7,437  

8.250%, 05/15/2029

    150,430,000       11,596  

8.250%, 06/15/2032

    5,973,000       462  

8.250%, 05/15/2036

    117,159,000       9,100  

8.125%, 05/15/2024

    139,107,000       10,460  

7.500%, 08/15/2032

    45,947,000       3,377  

7.500%, 06/15/2035

    47,500,000       3,483  

7.500%, 05/15/2038

    62,756,000       4,563  

7.500%, 04/15/2040

    63,173,000       4,624  

7.125%, 06/15/2042

    13,600,000       967  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

329

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

7.000%, 05/15/2027

  IDR 66,379,000     $ 4,905  

7.000%, 09/15/2030

    30,854,000       2,212  

6.625%, 05/15/2033

    36,763,000       2,559  

6.500%, 06/15/2025

    27,423,000       2,000  

6.500%, 02/15/2031

    21,432,000       1,493  

6.375%, 04/15/2032

    62,475,000       4,291  

6.125%, 05/15/2028

    19,675,000       1,377  

Medco Bell Pte

               

6.375%, 01/30/2027 (B)

   $ 626       609  

Minejesa Capital BV (B)

                

5.625%, 08/10/2037

    447       422  

4.625%, 08/10/2030

    582       569  

Pertamina Persero

               

2.300%, 02/09/2031 (B)

     3,682       3,293  

Pertamina Persero MTN

               

6.450%, 05/30/2044

    328       385  

5.625%, 05/20/2043

    208       221  

3.650%, 07/30/2029 (B)

     985       989  

Perusahaan Penerbit SBSN Indonesia III

               

4.325%, 05/28/2025

    2,051       2,156  

Perusahaan Perseroan Persero Perusahaan Listrik Negara

               

1.875%, 11/05/2031 (B)

   EUR 943       935  

Perusahaan Perseroan Persero Perusahaan Listrik Negara MTN

               

6.150%, 05/21/2048

  $ 1,070       1,178  

5.250%, 10/24/2042

    1,097       1,104  

5.250%, 05/15/2047

    710       703  

4.375%, 02/05/2050 (B)

     355       320  

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara MTN

               

6.150%, 05/21/2048 (B)

     1,015       1,118  
              147,102  
                 

Iraq — 0.1%

        

Iraq Government International Bond

               

5.800%, 01/15/2028

    1,523       1,460  
                 
                 

Israel — 0.2%

        

Bank Leumi Le-Israel

               

3.275%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.631%, 01/29/2031 (A)(B)

     592       567  

Israel Government International Bond

               

4.500%, 04/03/2120

    2,033       2,257  

Leviathan Bond

               

6.750%, 06/30/2030 (B)

     550       557  
              3,381  
                 

Ivory Coast — 0.3%

        

Ivory Coast Government International Bond

               

6.875%, 10/17/2040

  EUR 1,804       1,840  

6.625%, 03/22/2048

    3,244       3,113  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

6.625%, 03/22/2048

  EUR 883     $ 847  

6.625%, 03/22/2048 (B)

     675       648  

5.875%, 10/17/2031 (B)

     198       205  

5.750%, 12/31/2032

  $ 52       50  

5.750%, 12/31/2032

    27       26  

5.250%, 03/22/2030

  EUR 621       647  
              7,376  
                 

Jordan — 0.2%

        

Jordan Government International Bond

               

7.375%, 10/10/2047

  $ 2,095       1,897  

7.375%, 10/10/2047 (B)

     62       56  

5.850%, 07/07/2030 (B)

     1,823       1,709  

4.950%, 07/07/2025

    547       547  
              4,209  
                 

Kazakhstan — 1.5%

        

Development Bank of Kazakhstan JSC

               

4.125%, 12/10/2022

    880       881  

2.950%, 05/06/2031 (B)

     723       658  

Kazakhstan Government International Bond

               

4.875%, 10/14/2044

    1,804       1,815  

KazMunayGas National JSC

               

6.375%, 10/24/2048 (B)

     1,741       1,929  

6.375%, 10/24/2048

    350       388  

5.750%, 04/19/2047 (B)

     4,787       4,989  

5.375%, 04/24/2030

    1,605       1,700  

5.375%, 04/24/2030 (B)

     1,295       1,371  

5.375%, 04/24/2030

    6,045       6,402  

4.750%, 04/24/2025 (B)

     1,737       1,790  

3.500%, 04/14/2033

    2,037       1,847  

KazTransGas JSC

               

4.375%, 09/26/2027

    1,987       1,990  

4.375%, 09/26/2027 (B)

     1,219       1,221  

National Bank of Kazakhstan Notes

               

9.068%, 03/25/2022 (D)

   KZT 1,649,012       3,344  

Tengizchevroil Finance International

               

3.250%, 08/15/2030 (B)

   $ 630       580  

2.625%, 08/15/2025

    1,794       1,703  
              32,608  
                 

Kenya — 0.3%

        

Republic of Kenya Government International Bond

               

8.250%, 02/28/2048

    2,752       2,377  

8.000%, 05/22/2032

    2,242       2,113  

7.000%, 05/22/2027

    2,181       2,093  

7.000%, 05/22/2027 (B)

     300       288  
              6,871  
                 

Kuwait — 0.1%

        

Meglobal Canada ULC MTN MTN

               

5.875%, 05/18/2030 (B)

     250       283  

 

 

 

330

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

NBK SPC

               

1.625%, U.S. SOFR + 1.050%, 09/15/2027 (A)(B)

   $ 1,000     $ 939  

NBK Tier 1 Financing 2

               

4.500%, USD Swap Semi 30/360 6 Yr Curr + 2.832% (A)(B)(F)

     693       684  
              1,906  
                 

Lebanon — 0.4%

        

Lebanon Government International Bond

               

8.250%, 05/17/2034 (G)

     11,222       1,190  

8.200%, 05/17/2033 (G)

     3,557       377  

6.850%, 03/23/2027 (G)

     1,116       129  

6.750%, 11/29/2027 (G)

     3,188       368  

6.650%, 04/22/2024 (G)

     2,000       230  

6.000%, 01/27/2023 (G)

     738       85  

Lebanon Government International Bond MTN

               

8.250%, 04/12/2021 (G)

     14,601       1,752  

7.000%, 03/20/2028 (G)

     2,671       287  

6.850%, 05/25/2029 (G)

     2,941       338  

6.650%, 02/26/2030 (G)

     2,063       238  

6.600%, 11/27/2026 (G)

     2,218       256  

6.400%, 05/26/2023 (G)

     2,645       308  

6.375%, 03/09/2020 (G)

     6,273       730  

6.250%, 05/27/2022 (G)

     409       47  

6.150%, 06/19/2020 (G)

     8,161       949  

6.100%, 10/04/2022 (G)

     3,900       453  

6.100%, 10/04/2022 (G)

     3,411       397  

5.800%, 04/14/2020 (G)

     8,853       1,030  
              9,164  
                 

Macau — 0.0%

        

Studio City Finance (B)

                

6.500%, 01/15/2028 (E)

     507       444  

6.000%, 07/15/2025

    119       111  
              555  
                 

Malaysia — 6.6%

        

1MDB Energy

               

5.990%, 05/11/2022

    2,000       2,008  

1MDB Global Investments

               

4.400%, 03/09/2023

    6,000       5,838  

1MDB Global Investments Ltd

               

4.400%, 03/09/2023

    9,700       9,439  

Malaysia Government Bond

               

5.248%, 09/15/2028

  MYR 4,097       1,069  

4.935%, 09/30/2043

    1,200       307  

4.921%, 07/06/2048

    3,873       984  

4.736%, 03/15/2046

    1,052       260  

4.392%, 04/15/2026

    5,125       1,275  

4.254%, 05/31/2035

    13,310       3,229  

4.232%, 06/30/2031

    2,000       494  

4.181%, 07/15/2024

    24,035       5,907  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

4.065%, 06/15/2050

  MYR 3,800     $ 855  

4.059%, 09/30/2024

    17,428       4,281  

3.955%, 09/15/2025

    52,510       12,883  

3.906%, 07/15/2026

    23,403       5,717  

3.900%, 11/30/2026

    9,147       2,235  

3.899%, 11/16/2027

    4,810       1,171  

3.885%, 08/15/2029

    31,074       7,499  

3.828%, 07/05/2034

    44,271       10,349  

3.800%, 08/17/2023

    42,002       10,228  

3.795%, 09/30/2022

    4,800       1,157  

3.757%, 04/20/2023

    30,150       7,325  

3.757%, 05/22/2040

    29,134       6,525  

3.733%, 06/15/2028

    27,174       6,520  

3.502%, 05/31/2027

    7,247       1,732  

3.480%, 03/15/2023

    10,106       2,445  

3.478%, 06/14/2024

    9,387       2,274  

3.418%, 08/15/2022

    13,665       3,279  

2.632%, 04/15/2031

    52,449       11,458  

Malaysia Government International Bond

               

3.882%, 03/10/2022

    2,991       713  

Malaysia Government Investment Issue

               

4.369%, 10/31/2028

    2,000       497  

4.119%, 11/30/2034

    6,809       1,636  

4.070%, 09/30/2026

    14,000       3,436  

Malaysia Wakala Sukuk

               

2.070%, 04/28/2031

  $ 1,970       1,899  

Petronas Capital MTN

               

4.550%, 04/21/2050

    2,131       2,393  

3.500%, 04/21/2030

    1,790       1,833  

2.480%, 01/28/2032

    2,021       1,889  
              143,039  
                 

Mexico — 8.3%

        

America Movil

               

7.125%, 12/09/2024

  MXN 23,310       1,090  

Banco Mercantil del Norte (B)(F)

                

7.500%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 5.470% (A)

   $ 623       609  

6.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.967% (A)

     1,569       1,545  

Banco Nacional de Comercio Exterior SNC

               

2.720%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.000%, 08/11/2031 (A)(B)

     1,777       1,701  

Cemex (B)

                

5.450%, 11/19/2029

    622       618  

5.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.534% (A)(F)

     277       267  

3.875%, 07/11/2031

    782       695  

Comision Federal de Electricidad

               

7.350%, 11/25/2025

  MXN 52,305       2,375  

6.264%, 02/15/2052 (B)

   $ 2,313       2,310  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

331

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

5.750%, 02/14/2042 (B)

   $ 570     $ 549  

4.750%, 02/23/2027 (B)

     364       378  

4.688%, 05/15/2029 (B)

     6,229       6,167  

3.348%, 02/09/2031 (B)

     605       537  

FEL Energy VI Sarl

               

5.750%, 12/01/2040 (B)

     281       264  

Mexican Bonos

               

10.000%, 12/05/2024

  MXN 234,123       12,073  

8.500%, 05/31/2029

    126,900       6,429  

8.500%, 11/18/2038

    274,359       13,922  

8.000%, 11/07/2047

    91,207       4,368  

7.750%, 05/29/2031

    138,313       6,702  

7.750%, 11/13/2042

    182,284       8,538  

7.500%, 06/03/2027

    335,965       16,218  

6.500%, 06/09/2022

    186,400       9,113  

5.750%, 03/05/2026

    32,092       1,459  

5.750%, 03/05/2026

    10,982       499  

Mexican Bonos, Ser M20

               

8.000%, 12/07/2023

    86,710       4,262  

Mexican Udibonos

               

4.500%, 12/04/2025

    172,508       8,726  

3.500%, 11/16/2023

    99,484       4,854  

Mexico City Airport Trust

               

5.500%, 07/31/2047 (B)

   $ 1,068       959  

Mexico Government International Bond

               

5.000%, 04/27/2051

    1,116       1,132  

4.750%, 04/27/2032

    1,230       1,313  

4.600%, 02/10/2048

    578       553  

4.350%, 01/15/2047

    1,567       1,456  

4.280%, 08/14/2041

    2,104       1,975  

3.771%, 05/24/2061

    527       427  

3.750%, 04/19/2071

    1,488       1,176  

3.500%, 02/12/2034

    4,727       4,446  

2.659%, 05/24/2031

    3,288       3,020  

2.250%, 08/12/2036

  EUR 608       583  

Mexico Government International Bond MTN

               

6.050%, 01/11/2040

  $ 859       983  

5.750%, 10/12/2110

    3,850       3,962  

Minera Mexico

               

4.500%, 01/26/2050 (B)

     870       835  

Petroleos Mexicanos

               

7.690%, 01/23/2050 (B)

     2,359       2,119  

7.690%, 01/23/2050

    4,653       4,180  

6.950%, 01/28/2060

    471       391  

6.840%, 01/23/2030 (B)

     534       536  

6.700%, 02/16/2032 (B)

     7,965       7,685  

6.700%, 02/16/2032

    211       204  

6.625%, 06/15/2035

    7,189       6,510  

6.625%, 06/15/2038

    205       177  

6.500%, 01/23/2029 (B)

     1,111       1,112  

6.500%, 06/02/2041

    2,783       2,349  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

6.375%, 01/23/2045

  $ 1,575     $ 1,280  

5.950%, 01/28/2031

    1,757       1,645  

5.950%, 01/28/2031 (B)

     727       681  

5.350%, 02/12/2028 (B)

     826       796  

Petroleos Mexicanos MTN

               

6.750%, 09/21/2047

    3,093       2,569  

6.750%, 09/21/2047

    440       365  

Poinsettia Finance

               

6.625%, 06/17/2031

    6,992       6,905  
              178,592  
                 

Mongolia — 0.3%

        

Development Bank of Mongolia LLC

               

7.250%, 10/23/2023 (B)

     1,149       1,192  

Mongolia Government International Bond

               

5.125%, 04/07/2026

    546       545  

4.450%, 07/07/2031

    635       576  

3.500%, 07/07/2027

    1,655       1,523  

Mongolia Government International Bond MTN

               

8.750%, 03/09/2024

    2,896       3,135  
              6,971  
                 

Morocco — 0.2%

        

Morocco Government International Bond

               

5.500%, 12/11/2042

    1,150       1,139  

4.000%, 12/15/2050

    1,029       812  

3.000%, 12/15/2032

    1,942       1,687  

OCP

               

3.750%, 06/23/2031 (B)

     203       179  
              3,817  
                 

Mozambique — 0.1%

        

Mozambique International Bond

               

5.000%, 9.000%, 09/15/2031, 09/15/2023 (B)(C)

     2,053       1,755  

5.000%, 9.000%, 09/15/2031, 09/15/2023 (C)

     400       342  
              2,097  
                 

Netherlands — 0.0%

        

IHS Netherlands Holdco BV

               

8.000%, 09/18/2027 (B)

     399       406  

VEON Holdings BV

               

3.375%, 11/25/2027 (B)

     783       337  
              743  
                 

Nigeria — 1.0%

        

Nigeria Government International Bond

               

9.248%, 01/21/2049 (B)

     706       657  

9.248%, 01/21/2049

    524       488  

8.747%, 01/21/2031

    303       296  

7.875%, 02/16/2032

    5,990       5,502  

7.696%, 02/23/2038

    3,037       2,556  

7.696%, 02/23/2038 (B)

     852       717  

 

 

 

332

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

Nigeria Government International Bond MTN

               

8.250%, 09/28/2051 (B)

   $ 4,802     $ 4,105  

7.625%, 11/28/2047 (B)

     1,380       1,110  

7.375%, 09/28/2033 (B)

     1,092       966  

7.375%, 09/28/2033

    3,845       3,401  

6.500%, 11/28/2027 (B)

     610       580  

6.500%, 11/28/2027

    70       66  

6.125%, 09/28/2028

    1,161       1,064  
              21,508  
                 

Oman — 1.0%

        

Oman Government International Bond

               

7.375%, 10/28/2032 (B)

     306       340  

7.000%, 01/25/2051 (B)

     642       634  

7.000%, 01/25/2051

    200       198  

6.750%, 10/28/2027

    5,564       5,960  

6.750%, 01/17/2048 (B)

     2,188       2,097  

6.750%, 01/17/2048

    4,735       4,538  

6.500%, 03/08/2047

    300       281  

6.250%, 01/25/2031

    2,212       2,295  

6.250%, 01/25/2031 (B)

     1,402       1,454  

4.750%, 06/15/2026

    1,402       1,403  

Oman Government International Bond MTN

               

6.000%, 08/01/2029

    805       827  

6.000%, 08/01/2029 (B)

     784       805  

4.875%, 02/01/2025 (B)

     632       643  
              21,475  
                 

Pakistan — 0.4%

        

Pakistan Global Sukuk Programme

               

7.950%, 01/31/2029 (B)

     1,542       1,523  

Pakistan Government International Bond

               

8.250%, 09/30/2025 (B)

     335       338  

7.875%, 03/31/2036

    285       236  

6.875%, 12/05/2027

    1,455       1,353  

6.875%, 12/05/2027 (B)

     1,073       998  

Pakistan Government International Bond MTN

               

8.875%, 04/08/2051

    470       392  

7.375%, 04/08/2031

    1,777       1,521  

6.000%, 04/08/2026 (B)

     1,413       1,292  
              7,653  
                 

Panama — 1.2%

        

Aeropuerto Internacional de Tocumen

               

5.125%, 08/11/2061 (B)

     469       427  

AES Panama Generation Holdings SRL

               

4.375%, 05/31/2030 (B)

     639       617  

Banco Nacional de Panama

               

2.500%, 08/11/2030 (B)

     1,160       1,021  

Cable Onda

               

4.500%, 01/30/2030 (B)

     227       215  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

Empresa de Transmision Electrica

               

5.125%, 05/02/2049 (B)

   $ 873     $ 882  

Panama Bonos del Tesoro

               

3.362%, 06/30/2031

    2,505       2,400  

Panama Government International Bond

               

9.375%, 04/01/2029

    1,120       1,527  

8.125%, 04/28/2034

    699       979  

6.700%, 01/26/2036

    400       491  

4.500%, 04/16/2050

    2,586       2,525  

4.500%, 04/01/2056

    2,984       2,882  

4.500%, 01/19/2063

    2,266       2,154  

4.300%, 04/29/2053

    360       339  

3.870%, 07/23/2060

    3,526       3,036  

3.750%, 03/16/2025

    1,220       1,252  

3.298%, 01/19/2033

    1,485       1,425  

3.160%, 01/23/2030

    591       580  

2.252%, 09/29/2032

    4,431       3,914  
              26,666  
                 

Papua New Guinea — 0.0%

        

Papua New Guinea Government International Bond

               

8.375%, 10/04/2028

    850       790  
                 
                 

Paraguay — 0.3%

        

Paraguay Government International Bond

               

6.100%, 08/11/2044

    1,980       2,128  

5.400%, 03/30/2050

    946       932  

4.950%, 04/28/2031

    1,086       1,127  

2.739%, 01/29/2033

    1,410       1,231  
              5,418  
                 

Peru — 2.8%

        

ABY Transmission Sur

               

6.875%, 04/30/2043 (B)

     313       393  

Fondo MIVIVIENDA

               

7.000%, 02/14/2024 (B)

   PEN 5,422       1,449  

Inkia Energy

               

5.875%, 11/09/2027 (B)

   $ 487       475  

Kallpa Generacion SA (B)

                

4.875%, 05/24/2026

    398       407  

4.125%, 08/16/2027

    1,197       1,190  

Nexa Resources

               

5.375%, 05/04/2027 (B)

     4,041       4,073  

Peru Government Bond

               

6.950%, 08/12/2031

  PEN 3,899       1,082  

6.350%, 08/12/2028

    3,966       1,078  

6.150%, 08/12/2032

    13,534       3,522  

5.940%, 02/12/2029

    5,721       1,513  

5.400%, 08/12/2034

    11,192       2,635  

5.350%, 08/12/2040

    959       210  

5.200%, 09/12/2023

    1,204       323  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

333

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

Peruvian Government International Bond

               

8.750%, 11/21/2033

  $ 790     $ 1,150  

8.200%, 08/12/2026

  PEN 18       5  

8.200%, 08/12/2026

    6,280       1,858  

6.950%, 08/12/2031

    24,601       6,828  

6.950%, 08/12/2031

    724       201  

6.900%, 08/12/2037

    9,608       2,519  

6.850%, 02/12/2042

    882       228  

6.350%, 08/12/2028

    4,735       1,287  

5.700%, 08/12/2024 (B)

     6,317       1,710  

5.625%, 11/18/2050

  $ 626       781  

5.400%, 08/12/2034

  PEN 1,738       409  

3.750%, 03/01/2030

  EUR 170       211  

3.600%, 01/15/2072

  $ 1,006       839  

3.230%, 07/28/2121

    4,321       3,185  

3.000%, 01/15/2034

    1,931       1,782  

2.844%, 06/20/2030

    255       245  

2.783%, 01/23/2031

    6,507       6,148  

1.950%, 11/17/2036

  EUR 1,091       1,056  

1.250%, 03/11/2033

    3,208       3,076  

Petroleos del Peru

               

5.625%, 06/19/2047 (B)

   $ 1,432       1,271  

5.625%, 06/19/2047

    5,676       5,038  

4.750%, 06/19/2032

    1,799       1,736  

4.750%, 06/19/2032 (B)

     1,695       1,635  
              61,548  
                 

Philippines — 0.7%

        

Philippine Government International Bond

               

5.000%, 01/13/2037

    779       878  

3.900%, 11/26/2022

  PHP 52,000       1,007  

3.700%, 03/01/2041

  $ 1,087       1,035  

3.200%, 07/06/2046

    910       809  

3.000%, 02/01/2028

    693       700  

2.950%, 05/05/2045

    548       467  

2.650%, 12/10/2045

    1,073       874  

1.950%, 01/06/2032

    7,894       7,127  

1.750%, 04/28/2041

  EUR 606       589  

1.648%, 06/10/2031

  $ 2,848       2,517  
              16,003  
                 

Poland — 1.6%

        

Republic of Poland Government Bond

               

3.250%, 07/25/2025

  PLN 12,833       2,978  

2.750%, 04/25/2028

    7,185       1,592  

2.500%, 04/25/2024

    7,644       1,772  

2.500%, 07/25/2026

    24,576       5,481  

2.500%, 07/25/2027

    56,456       12,425  

1.750%, 04/25/2032

    24,266       4,712  

1.250%, 10/25/2030

    5,030       962  

0.250%, 10/25/2026

    14,296       2,870  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

Republic of Poland Government International Bond

               

3.000%, 03/17/2023

  $ 1,001     $ 1,011  
              33,803  
                 

Qatar — 1.4%

        

Qatar Energy

               

3.300%, 07/12/2051 (B)

     1,274       1,199  

3.125%, 07/12/2041 (B)

     1,413       1,328  

3.125%, 07/12/2041

    663       623  

2.250%, 07/12/2031

    3,850       3,627  

2.250%, 07/12/2031 (B)

     973       916  

Qatar Government International Bond

               

5.103%, 04/23/2048

    1,583       1,987  

5.103%, 04/23/2048 (B)

     4,998       6,272  

4.817%, 03/14/2049

    4,678       5,679  

4.400%, 04/16/2050 (B)

     2,116       2,440  

4.400%, 04/16/2050

    200       231  

3.750%, 04/16/2030

    4,237       4,574  

3.750%, 04/16/2030 (B)

     770       831  

State of Qatar

               

6.400%, 01/20/2040 (B)

     674       931  
              30,638  
                 

Romania — 1.7%

        

Romania Government Bond

               

5.850%, 04/26/2023

  RON 2,330       535  

5.000%, 02/12/2029

    11,435       2,464  

4.850%, 04/22/2026

    2,725       604  

4.750%, 10/11/2034

    1,205       241  

4.400%, 09/25/2023

    970       219  

4.250%, 06/28/2023

    3,930       886  

4.150%, 01/26/2028

    13,770       2,872  

4.150%, 10/24/2030

    4,200       836  

4.000%, 10/25/2023

    4,865       1,089  

3.650%, 07/28/2025

    21,105       4,546  

3.650%, 09/24/2031

    7,895       1,484  

3.250%, 06/24/2026

    3,370       699  

Romanian Government International Bond

               

4.000%, 02/14/2051

  $ 2,212       1,869  

3.625%, 03/27/2032 (B)

     1,752       1,647  

3.000%, 02/27/2027 (B)

     802       781  

2.750%, 04/14/2041 (B)

   EUR 1,038       858  

2.625%, 12/02/2040 (B)

     452       374  

2.000%, 04/14/2033 (B)

     381       329  

Romanian Government International Bond MTN

               

6.125%, 01/22/2044

  $ 312       355  

4.625%, 04/03/2049

  EUR 2,036       2,164  

4.125%, 03/11/2039

    345       355  

3.875%, 10/29/2035

    1,700       1,757  

3.750%, 02/07/2034 (B)

     1,299       1,328  

3.375%, 02/08/2038 (B)

     1,908       1,843  

 

 

 

334

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

3.375%, 01/28/2050

  EUR 3,177     $ 2,739  

2.875%, 04/13/2042 (B)

     773       641  

2.875%, 04/13/2042

    746       618  

2.500%, 02/08/2030 (B)

     935       955  

2.124%, 07/16/2031

    166       156  

2.000%, 01/28/2032

    206       186  

2.000%, 04/14/2033

    800       692  
              36,122  
                 

Russia — 2.2%

        

Gazprom OAO Via Gaz Capital

               

5.150%, 02/11/2026 (B)

   $ 3,647       1,715  

Gazprom PJSC Via Gaz Capital

               

4.950%, 02/06/2028 (B)

     684       287  

Gazprom PJSC via Gaz Finance

               

4.599%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.264% (A)(B)(E)(F)

     1,233       567  

GTLK Europe Capital DAC

               

4.949%, 02/18/2026

    1,336       628  

4.650%, 03/10/2027

    797       263  

Lukoil Capital DAC

               

3.600%, 10/26/2031 (B)

     899       541  

Russian Federal Bond - OFZ

               

8.500%, 09/17/2031

  RUB 148,472       998  

8.150%, 02/03/2027

    1,048,775       6,360  

7.950%, 10/07/2026

    289,831       2,066  

7.750%, 09/16/2026

    214,105       1,512  

7.700%, 03/23/2033

    115,299       715  

7.700%, 03/16/2039

    142,850       896  

7.650%, 04/10/2030

    12,078       78  

7.250%, 05/10/2034

    228,246       1,338  

7.050%, 01/19/2028

    1,035,010       4,925  

7.000%, 08/16/2023

    52,160       403  

7.000%, 07/30/2036

    127,961       740  

6.900%, 05/23/2029

    184,016       1,159  

6.900%, 07/23/2031

    503,017       3,000  

6.700%, 03/14/2029

    590,667       3,693  

6.100%, 07/18/2035

    84,790       447  

6.000%, 10/06/2027

    95,220       598  

4.500%, 07/16/2025

    959,165       6,128  

Russian Federal Inflation-Linked Bond

               

2.500%, 07/17/2030

    30,885       253  

Russian Foreign Bond - Eurobond

               

12.750%, 06/24/2028

  $ 200       153  

7.500%, 03/31/2030

    2       1  

5.250%, 06/23/2047

    2,800       980  

5.100%, 03/28/2035

    5,000       1,750  

4.375%, 03/21/2029

    12,800       5,762  

4.250%, 06/23/2027

    800       400  

Vnesheconombank Via VEB Finance

               

6.800%, 11/22/2025 (B)

     600       150  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

6.800%, 11/22/2025

  $ 240     $ 60  
              48,566  
                 

Saudi Arabia — 1.3%

        

EIG Pearl Holdings Sarl (B)

                

4.387%, 11/30/2046

    1,240       1,206  

3.545%, 08/31/2036

    992       966  

Global Sukuk

               

1.602%, 06/17/2026

    2,600       2,491  

KSA Sukuk

               

2.250%, 05/17/2031 (B)

     2,576       2,483  

Saudi Arabian Oil MTN

               

4.250%, 04/16/2039

    1,620       1,721  

Saudi Government International Bond MTN

               

4.625%, 10/04/2047 (B)

     3,953       4,346  

4.500%, 10/26/2046

    2,958       3,199  

4.500%, 10/26/2046 (B)

     704       761  

3.450%, 02/02/2061

    1,529       1,391  

3.250%, 10/26/2026 (B)

     2,158       2,239  

3.250%, 10/22/2030

    1,889       1,948  

3.250%, 10/22/2030 (B)

     841       867  

3.250%, 11/17/2051 (B)

     2,160       1,944  

2.500%, 02/03/2027

    1,400       1,403  

2.250%, 02/02/2033 (B)

     2,132       2,005  
              28,970  
                 

Senegal — 0.2%

        

Senegal Government International Bond

               

6.750%, 03/13/2048

    1,949       1,638  

5.375%, 06/08/2037

  EUR 606       560  

5.375%, 06/08/2037 (B)

     538       497  

4.750%, 03/13/2028

    1,030       1,082  

4.750%, 03/13/2028 (B)

     170       178  
              3,955  
                 

Serbia — 0.2%

        

Serbia International Bond

               

3.125%, 05/15/2027

    451       495  

2.125%, 12/01/2030

  $ 880       737  

1.650%, 03/03/2033

  EUR 406       352  

1.500%, 06/26/2029

    1,788       1,710  

Serbia International Bond MTN

               

2.050%, 09/23/2036

    1,524       1,273  

Serbia Treasury Bonds

               

5.875%, 02/08/2028

  RSD 36,980       388  

4.500%, 01/11/2026

    31,490       310  
              5,265  
                 

South Africa — 5.5%

        

Bidvest Group

               

3.625%, 09/23/2026 (B)

   $ 528       506  

Eskom Holdings SOC

               

4.314%, 07/23/2027

    1,785       1,667  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

335

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

Eskom Holdings SOC MTN

               

6.350%, 08/10/2028

  $ 650     $ 662  

Eskom Holdings SOC Ltd

               

7.125%, 02/11/2025 (B)

     4,243       4,167  

Eskom Holdings SOC Ltd MTN

               

8.450%, 08/10/2028 (B)

     1,612       1,607  

7.500%, 09/15/2033

  ZAR 52,500       2,573  

6.750%, 08/06/2023

  $ 1,456       1,449  

6.750%, 08/06/2023 (B)

     1,100       1,095  

Republic of South Africa Government International Bond

               

5.750%, 09/30/2049

    5,022       4,331  

4.850%, 09/30/2029

    2,266       2,209  

Sasol Financing USA LLC

               

6.500%, 09/27/2028

    540       559  

5.875%, 03/27/2024

    661       673  

4.375%, 09/18/2026

    532       520  

South Africa Government International Bond

               

10.500%, 12/21/2026

  ZAR 138,821       9,978  

9.000%, 01/31/2040

    130,862       7,376  

8.875%, 02/28/2035

    187,473       10,896  

8.750%, 01/31/2044

    190,249       10,319  

8.750%, 02/28/2048

    257,629       13,906  

8.500%, 01/31/2037

    226,230       12,449  

8.250%, 03/31/2032

    121,550       7,070  

8.000%, 01/31/2030

    108,104       6,438  

7.000%, 02/28/2031

    114,109       6,198  

6.500%, 02/28/2041

    30,833       1,329  

6.300%, 06/22/2048

  $ 1,946       1,811  

6.250%, 03/31/2036

  ZAR 103,805       4,714  

5.875%, 09/16/2025

  $ 326       348  

5.875%, 06/22/2030

    199       208  

5.650%, 09/27/2047

    2,567       2,206  

5.000%, 10/12/2046 (E)

     475       387  

4.850%, 09/27/2027

    690       694  

Stillwater Mining

               

4.500%, 11/16/2029

    323       295  
              118,640  
                 

South Korea — 0.0%

        

Korea International Bond

               

1.000%, 09/16/2030

    812       735  
                 
                 

Sri Lanka — 0.5%

        

Sri Lanka Government International Bond

               

7.850%, 03/14/2029

    2,519       1,115  

7.550%, 03/28/2030

    1,701       748  

6.850%, 03/14/2024

    1,445       687  

6.825%, 07/18/2026 (B)

     1,612       755  

6.825%, 07/18/2026

    800       375  

6.750%, 04/18/2028

    4,865       2,141  

6.750%, 04/18/2028 (B)

     7,201       3,169  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

6.350%, 06/28/2024

  $ 1,368     $ 643  

6.200%, 05/11/2027

    2,234       987  

5.750%, 04/18/2023

    1,124       559  
              11,179  
                 

St. Lucia — 0.1%

        

Digicel Holdings Bermuda

               

8.750%, 05/25/2024 (B)

     790       798  

Digicel International Finance

               

8.750%, 05/25/2024 (B)

     650       656  
              1,454  
                 

Supranational — 0.8%

        

Africa Finance

               

2.875%, 04/28/2028 (B)

     2,555       2,449  

African Export-Import Bank

               

3.798%, 05/17/2031 (B)

     301       293  

African Export-Import Bank MTN

               

3.994%, 09/21/2029 (B)

     543       543  

Banque Ouest Africaine de Developpement

               

5.000%, 07/27/2027 (B)

     1,274       1,319  

4.700%, 10/22/2031 (B)

     934       956  

4.700%, 10/22/2031

    430       440  

European Investment Bank MTN

               

8.500%, 09/17/2024

  ZAR 11,350       768  

Inter-American Development Bank MTN

               

7.875%, 03/14/2023

  IDR 134,700,000       9,689  
              16,457  
                 

Taiwan — 0.0%

        

TSMC Arizona

               

3.250%, 10/25/2051

  $ 220       210  

2.500%, 10/25/2031

    254       242  
              452  
                 

Tanzania — 0.0%

        

AngloGold Ashanti Holdings

               

3.750%, 10/01/2030

    323       307  
                 
                 

Thailand — 3.1%

        

Thailand Government Bond

               

5.670%, 03/13/2028

  THB 3,000       113  

4.875%, 06/22/2029

    15,000       551  

3.775%, 06/25/2032

    300,593       10,475  

3.650%, 06/20/2031

    85,000       2,935  

3.625%, 06/16/2023

    34,000       1,082  

3.400%, 06/17/2036

    268,387       8,922  

3.300%, 06/17/2038

    161,478       5,261  

2.875%, 12/17/2028

    134,998       4,418  

2.875%, 06/17/2046

    4,865       145  

2.400%, 12/17/2023

    167,000       5,271  

2.125%, 12/17/2026

    25,000       792  

2.000%, 12/17/2031

    434,984       13,117  

2.000%, 06/17/2042

    56,426       1,479  

 

 

 

336

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

1.600%, 12/17/2029

  THB 15,000     $ 446  

1.600%, 06/17/2035

    51,336       1,408  

1.585%, 12/17/2035

    22,000       597  

1.450%, 12/17/2024

    124,000       3,845  

1.250%, 03/12/2028

    79,365       2,622  

0.950%, 06/17/2025

    87,000       2,657  
              66,136  
                 

Trinidad & Tobago — 0.1%

        

Trinidad & Tobago Government International Bond

               

4.500%, 08/04/2026

  $ 409       411  

4.500%, 06/26/2030

    819       795  

4.375%, 01/16/2024

    217       220  
              1,426  
                 

Tunisia — 0.3%

        

Tunisian Republic

               

6.375%, 07/15/2026 (B)

   EUR 1,928       1,581  

6.375%, 07/15/2026

    962       789  

5.750%, 01/30/2025 (B)

   $ 2,401       1,776  

5.750%, 01/30/2025

    830       614  

5.625%, 02/17/2024

  EUR 2,086       1,837  
              6,597  
                 

Turkey — 1.6%

        

Aydem Yenilenebilir Enerji

               

7.750%, 02/02/2027 (B)

   $ 972       792  

Export Credit Bank of Turkey (B)

                

8.250%, 01/24/2024

    327       336  

6.125%, 05/03/2024

    831       821  

5.375%, 10/24/2023

    1,487       1,466  

Hazine Mustesarligi Varlik Kiralama

               

7.250%, 02/24/2027 (B)

     4,657       4,587  

QNB Finansbank

               

6.875%, 09/07/2024 (B)

     898       934  

TC Ziraat Bankasi MTN

               

5.125%, 05/03/2022 (B)

     561       560  

Turkey Government Bond

               

12.600%, 10/01/2025

  TRY 11,388       606  

11.700%, 11/13/2030

    17,444       730  

10.600%, 02/11/2026

    19,572       953  

9.000%, 05/04/2022

    5,060       361  

1.500%, 06/18/2025

    20,575       2,897  

Turkey Government International Bond

               

7.250%, 12/23/2023

  $ 2,958       3,010  

6.875%, 03/17/2036

    1,313       1,146  

6.500%, 09/20/2033

    3,679       3,173  

6.375%, 10/14/2025

    409       396  

6.350%, 08/10/2024

    517       512  

6.000%, 01/14/2041

    1,091       835  

5.950%, 01/15/2031

    2,363       2,009  

5.750%, 03/22/2024

    145       143  

5.750%, 05/11/2047

    1,131       812  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

4.875%, 10/09/2026

  $ 847     $ 752  

4.750%, 01/26/2026

    2,817       2,571  

Turkiye Sise ve Cam Fabrikalari AS

               

6.950%, 03/14/2026 (B)

     725       728  

Turkiye Vakiflar Bankasi TAO

               

6.500%, 01/08/2026 (B)

     570       545  

Ulker Biskuvi Sanayi

               

6.950%, 10/30/2025

    1,381       1,273  

Yapi ve Kredi Bankasi MTN

               

5.850%, 06/21/2024 (B)

     632       628  
              33,576  
                 

Uganda — 0.4%

        

Republic of Uganda Government Bonds

               

17.000%, 01/16/2025

  UGX 631,100       199  

17.000%, 04/03/2031

    13,196,900       4,324  

16.375%, 03/04/2032

    2,046,100       653  

16.250%, 11/08/2035

    1,610,800       –  

16.000%, 05/06/2027

    3,245,900       1,008  

14.250%, 06/22/2034

    7,863,100       2,243  

10.000%, 09/07/2023

    1,594,500       446  
              8,873  
                 

Ukraine — 0.8%

        

NAK Naftogaz Ukraine via Kondor Finance

               

7.625%, 11/08/2026 (B)

   $ 1,334       464  

7.125%, 07/19/2024

  EUR 970       381  

NPC Ukrenergo

               

6.875%, 11/09/2026 (B)

   $ 1,699       595  

6.875%, 11/09/2026

    400       140  

State Agency of Roads of Ukraine

               

6.250%, 06/24/2028

    2,299       690  

6.250%, 06/24/2028 (B)

     554       166  

Ukraine Government Bond

               

17.000%, 05/11/2022

  UAH 99,987       3,267  

15.840%, 02/26/2025

    92,615       2,336  

Ukraine Government International Bond

               

9.750%, 11/01/2028

  $ 1,223       421  

7.750%, 09/01/2024 (B)

     819       268  

7.750%, 09/01/2025 (B)

     3,051       1,028  

7.750%, 09/01/2026 (B)

     3,030       1,008  

7.750%, 09/01/2026

    1,155       384  

7.750%, 09/01/2027

    3,193       1,063  

7.375%, 09/25/2032

    2,712       869  

7.253%, 03/15/2033

    864       284  

7.253%, 03/15/2033 (B)

     366       120  

6.876%, 05/21/2029

    6,692       2,170  

6.876%, 05/21/2029 (B)

     423       137  

6.750%, 06/20/2026

  EUR 1,790       623  

2.090%, N/A + 0.000%, 05/31/2040 (A)

   $ 800       170  

1.258%, N/A + 0.000%, 05/31/2040 (A)(B)

     3,182       675  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

337

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

Ukreximbank Via Biz Finance

               

9.750%, 01/22/2025

  $ 31     $ 20  
              17,279  
                 

United Arab Emirates — 1.7%

        

Abu Dhabi Crude Oil Pipeline LLC (B)

                

4.600%, 11/02/2047

    2,651       2,902  

3.650%, 11/02/2029

    923       965  

Abu Dhabi Government International Bond

               

4.125%, 10/11/2047 (B)

     863       960  

Abu Dhabi Government International Bond MTN

               

3.875%, 04/16/2050 (B)

     1,107       1,186  

3.875%, 04/16/2050

    628       673  

3.000%, 09/15/2051

    970       893  

3.000%, 09/15/2051 (B)

     764       704  

2.500%, 04/16/2025

    2,821       2,853  

1.700%, 03/02/2031

    1,640       1,530  

1.625%, 06/02/2028

    1,426       1,362  

DAE Funding LLC

               

3.375%, 03/20/2028 (B)

     850       817  

DP World MTN (B)

                

6.850%, 07/02/2037

    245       299  

5.625%, 09/25/2048

    648       723  

4.700%, 09/30/2049

    215       215  

DP World Crescent MTN

               

4.848%, 09/26/2028

    725       789  

DP World Salaam

               

6.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.750% (A)(F)

     4,046       4,233  

Emirate of Dubai Government International Bonds MTN

               

5.250%, 01/30/2043

    670       717  

Finance Department Government of Sharjah MTN (B)

                

4.000%, 07/28/2050

    1,319       1,084  

3.625%, 03/10/2033

    1,257       1,178  

Galaxy Pipeline Assets Bidco

               

2.940%, 09/30/2040

    6,002       5,520  

2.940%, 09/30/2040 (B)

     900       828  

2.625%, 03/31/2036 (B)

     827       747  

2.160%, 03/31/2034

    2,202       2,047  

MDGH - GMTN BV MTN

               

4.500%, 11/07/2028 (B)

     796       879  

3.950%, 05/21/2050

    338       359  

Sharjah Sukuk Program MTN

               

3.854%, 04/03/2026

    1,037       1,074  

UAE INTERNATIONAL GOVERNMENT BOND MTN

               

2.000%, 10/19/2031 (B)

     1,903       1,808  
              37,345  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

United Kingdom — 0.0%

        

Standard Chartered Bank MTN

               

8.250%, 05/18/2029 (B)

   IDR 8,997,000     $ 694  
                 
                 

United States — 0.6%

        

JPMorgan Chase Bank MTN (B)

                

8.375%, 04/19/2039

    1,563,000       120  

7.500%, 06/15/2035

    48,361,000       3,546  

7.000%, 09/18/2030 (A)

     117,660,000       8,436  

Sagicor Financial

               

5.300%, 05/13/2028 (B)

   $ 712       710  
              12,812  
                 

Uruguay — 0.4%

        

Uruguay Government International Bond

               

8.250%, 05/21/2031

  UYU 19,962       469  

5.100%, 06/18/2050

  $ 260       310  

4.975%, 04/20/2055

    1,070       1,268  

4.375%, 01/23/2031

    5,757       6,329  
              8,376  
                 

Uzbekistan — 0.2%

        

Republic of Uzbekistan International Bond

               

3.900%, 10/19/2031

    774       650  

Republic of Uzbekistan International Bond MTN

               

5.375%, 02/20/2029

    1,819       1,814  

3.700%, 11/25/2030

    301       260  

Uzauto Motors AJ

               

4.850%, 05/04/2026 (B)

     1,269       1,221  

Uzbekneftegaz JSC

               

4.750%, 11/16/2028 (B)

     1,187       1,029  
              4,974  
                 

Venezuela — 0.2%

        

Petroleos de Venezuela

               

9.750%, 05/17/2035 (G)

     3,202       120  

6.000%, 05/16/2024 (G)

     16,821       631  

6.000%, 05/16/2024 (G)

     7,900       296  

6.000%, 05/16/2024 (G)

     1,777       67  

6.000%, 11/15/2026 (G)

     24,577       922  

5.500%, 04/12/2037 (G)

     1,620       61  

5.375%, 04/12/2027 (G)

     7,825       293  

Venezuela Government International Bond

               

9.250%, 09/15/2027 (G)

     3,400       187  

9.250%, 05/07/2028 (G)

     4,965       273  

8.250%, 10/13/2024 (G)

     4,151       228  

7.750%, 10/13/2019 (G)

     7,816       430  
              3,508  
                 

Vietnam — 0.1%

        

Mong Duong Finance Holdings BV

               

5.125%, 05/07/2029 (B)

     1,594       1,379  
                 
                 

 

 

 

338

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

GLOBAL BONDS (continued)

Zambia — 0.9%

        

First Quantum Minerals (B)

                

7.500%, 04/01/2025

  $ 528     $ 540  

6.875%, 03/01/2026

    531       546  

6.875%, 10/15/2027

    928       986  

Zambia Government Bond

               

13.000%, 08/29/2026

  ZMW 2,040       87  

13.000%, 12/18/2027

    8,370       322  

13.000%, 01/25/2031

    26,933       873  

11.000%, 01/25/2026

    27,670       1,147  

11.000%, 06/28/2026

    118,640       4,740  

10.000%, 06/28/2024

    99,750       4,715  

Zambia Government International Bond

               

8.970%, 07/30/2027 (G)

   $ 2,696       1,988  

5.375%, 09/20/2022 (G)

     3,413       2,427  

5.375%, 09/20/2022 (B)(G)

     1,822       1,295  
              19,666  
                 

Total Global Bonds

                

(Cost $2,310,705) ($ Thousands)

             2,034,428  
                 
                 
                 

U.S. TREASURY OBLIGATIONS — 0.3%

U.S. Treasury Bills

               

2.999%, 04/21/2022 (H)

     183       183  

0.072%, 04/28/2022 (H)

     6,673       6,672  

U.S. Treasury Note

               

0.415%, US Treasury 3 Month Bill Money Market Yield + 0.055%, 10/31/2022

    122       122  
         

Total U.S. Treasury Obligations

        

(Cost $6,975) ($ Thousands)

     6,977  
                 
                 
   


Shares

          

AFFILIATED PARTNERSHIP — 0.1%

SEI Liquidity Fund, L.P.

                

0.050% **†(I)

     3,138,678       3,139  
                 
                 

Total Affiliated Partnership

                

(Cost $3,139) ($ Thousands)

     3,139  
                 
                 

Total Investments in Securities — 94.4%

                

(Cost $2,320,819) ($ Thousands)

  $ 2,044,544  
                 
                 
                 

 

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

R186 Bond Future

     741       May-2022     $ 5,455     $ 5,437     $ 5  

R2030 Bond Future

     640       May-2022       3,875       3,885       27  

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

339

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

R2032 Bond Future

     1,260       May-2022     $ 7,305     $ 7,356     $ 85  

R2035 Bond Future

     1,879       May-2022       10,943       11,054       165  

R2037 Bond Future

     2,400       May-2022       13,402       13,473       56  

R213 Bond Future

     613       May-2022       3,359       3,369       26  

U.S. 2-Year Treasury Note

     49       Jul-2022       10,528       10,546       18  

U.S. 5-Year Treasury Note

     171       Jul-2022       20,139       20,226       87  

U.S. 10-Year Treasury Note

     141       Jun-2022       17,852       17,969       116  

U.S. Ultra Long Treasury Bond

     72       Jun-2022       13,264       13,387       123  
                      106,122       106,702       708  

Short Contracts

                                        

Euro-BOBL

     (59 )     Mar-2022     $ (8,972 )   $ (8,738 )   $ 168  

Euro-Bund

     (88 )     Mar-2022       (17,357 )     (16,511 )     728  

Euro-BUXL

     (55 )     Mar-2022       (13,496 )     (12,218 )     1,192  

U.S. Long Treasury Bond

     (5 )     Jun-2022       (773 )     (783 )     (10 )
                      (40,598 )     (38,250 )     2,078  
                    $ 65,524     $ 68,452     $ 2,786  

 

A list of the open forward foreign currency contracts held by the Fund at February 28, 2022, is as follows:

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Barclays PLC

     03/08/22       EUR       1,495       HUF       556,118     $ 5  

Barclays PLC

     03/16/22       USD       586       RON       2,530       (13 )

Barclays PLC

     03/16/22       USD       1,466       CNY       9,364       17  

Barclays PLC

     03/16/22       USD       1,573       MXN       33,486       62  

Barclays PLC

     03/16/22       USD       1,763       IDR       25,602,532       18  

Barclays PLC

     03/16/22       USD       928       IDR       13,329,550       (2 )

Barclays PLC

     03/16/22       USD       3,176       TRY       46,716       107  

Barclays PLC

     04/21/22       USD       682       TRY       9,820       (26 )

Barclays PLC

     03/16/22       USD       4,647       HUF       1,511,522       (70 )

Barclays PLC

     03/16/22       USD       6,169       CZK       133,399       (227 )

Barclays PLC

     03/16/22       USD       9,232       ZAR       148,760       378  

Barclays PLC

     04/21/22       TRY       13,627       USD       967       57  

Barclays PLC

     03/16/22       TRY       97,372       USD       6,339       (502 )

Barclays PLC

     03/16/22       ZAR       31,138       USD       2,032       20  

Barclays PLC

     03/16/22       ZAR       116,664       USD       7,200       (337 )

Barclays PLC

     03/16/22       RUB       336,321       USD       4,446       1,376  

Barclays PLC

     03/16/22       HUF       1,635,374       USD       5,168       216  

Barclays PLC

     03/16/22       IDR       11,000,000       USD       764       (1 )

Barclays PLC

     04/06/22       EUR       1,549       USD       1,751       10  

BNP Paribas

     03/16/22       USD       691       ZAR       10,647       (3 )

BNP Paribas

     03/18/22       PLN       3,516       EUR       755       9  

BNP Paribas

     04/29/22       IDR       7,915,310       USD       553       4  

BNP Paribas

     05/23/22       KRW       184,156       USD       154       1  

Citigroup

     03/03/22       USD       3,435       ILS       10,867       (45 )

Citigroup

     03/03/22 - 06/15/22       USD       10,433       EGP       170,094       308  

Citigroup

     03/03/22       USD       10,417       BRL       57,576       756  

Citigroup

     06/02/22       USD       3,181       BRL       16,425       (76 )

Citigroup

     03/03/22       BRL       16,425       USD       3,264       77  

Citigroup

     03/03/22       BRL       8,379       USD       1,566       (60 )

Citigroup

     03/03/22 - 03/16/22       CZK       75,056       EUR       3,083       119  

Citigroup

     03/03/22 - 06/15/22       EGP       241,497       USD       15,001       (125 )

Citigroup

     03/03/22 - 03/08/22       HUF       2,194,932       EUR       6,075       173  

 

 

 

340

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Citigroup

     03/03/22 - 03/16/22       CLP       15,271,890       USD       19,074     $ (115 )

Citigroup

     03/08/22       EUR       3,081       HUF       1,096,180       (140 )

Citigroup

     03/08/22 - 03/18/22       PLN       9,989       EUR       2,188       72  

Citigroup

     03/16/22       USD       8,148       PLN       33,511       678  

Citigroup

     03/14/22 - 03/16/22       USD       42,222       PLN       172,249       (1,083 )

Citigroup

     03/16/22       PLN       11,380       USD       2,792       74  

Citigroup

     03/14/22 - 03/16/22       PLN       73,362       USD       18,530       (273 )

Citigroup

     03/15/22       USD       4,631       KRW       5,506,720       (53 )

Citigroup

     03/15/22       KRW       5,506,720       USD       4,615       38  

Citigroup

     03/16/22       EUR       493       CZK       12,354       (4 )

Citigroup

     03/16/22       EUR       1,857       USD       2,089       3  

Citigroup

     04/06/22       EUR       608       USD       682       (2 )

Citigroup

     03/16/22       USD       938       CZK       21,221       7  

Citigroup

     03/16/22       USD       6,366       CZK       136,894       (270 )

Citigroup

     03/16/22       USD       14,671       IDR       213,858,681       201  

Citigroup

     05/31/22       USD       79       IDR       1,138,388       —  

Citigroup

     03/16/22       USD       16,746       CLP       14,298,366       1,216  

Citigroup

     03/16/22       USD       18,983       RUB       1,434,622       (5,889 )

Citigroup

     03/16/22       USD       19,543       COP       78,287,224       510  

Citigroup

     03/16/22       USD       23,436       SGD       32,115       225  

Citigroup

     03/16/22       USD       27,319       ZAR       435,678       826  

Citigroup

     03/16/22       USD       1,125       ZAR       17,250       (11 )

Citigroup

     03/16/22       RON       51,114       USD       11,551       (40 )

Citigroup

     03/16/22       ZAR       30,201       USD       1,962       11  

Citigroup

     03/16/22       ZAR       149,304       USD       9,472       (173 )

Citigroup

     03/16/22       UAH       211,842       USD       7,500       975  

Citigroup

     03/16/22       MXN       212,094       USD       10,257       (98 )

Citigroup

     03/16/22       RUB       718,834       USD       9,286       2,725  

Citigroup

     03/16/22       HUF       1,919,787       USD       6,126       312  

Citigroup

     03/16/22       UGX       28,809,294       USD       7,757       (359 )

Citigroup

     03/16/22       COP       47,587,155       USD       12,015       (174 )

Citigroup

     03/16/22       IDR       72,002,260       USD       5,011       4  

Citigroup

     03/16/22 - 04/14/22       IDR       24,051,346       USD       1,666       (5 )

Citigroup

     03/18/22       EUR       1,523       PLN       7,016       (36 )

Citigroup

     03/21/22       USD       343       THB       11,066       (4 )

Citigroup

     04/06/22 - 06/30/22       RON       36,058       EUR       7,158       (97 )

Citigroup

     04/20/22       KZT       178,925       USD       398       41  

Citigroup

     06/15/22       USD       1,462       UAH       42,578       (259 )

Citigroup

     06/30/22       EUR       433       RON       2,212       7  

Deutsche Bank

     03/03/22       USD       411       EUR       368       3  

Deutsche Bank

     03/08/22       EUR       433       PLN       1,998       (9 )

Deutsche Bank

     03/16/22       USD       418       RUB       32,233       (124 )

Deutsche Bank

     03/21/22       USD       1,064       THB       34,176       (18 )

Goldman Sachs

     03/16/22       IDR       51,500,000       USD       3,586       5  

Goldman Sachs

     03/02/22       IDR       13,826,136       USD       955       (7 )

Goldman Sachs

     03/03/22       EUR       1,429       USD       1,619       14  

Goldman Sachs

     03/03/22 - 04/04/22       BRL       24,160       USD       4,316       (356 )

Goldman Sachs

     03/03/22 - 03/16/22       USD       21,391       MXN       451,123       643  

Goldman Sachs

     03/15/22 - 03/16/22       USD       5,878       MXN       119,825       (27 )

Goldman Sachs

     03/03/22 - 04/04/22       USD       29,340       BRL       161,109       1,766  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

341

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Goldman Sachs

     03/08/22       EUR       1,491       HUF       554,298     $ 5  

Goldman Sachs

     03/08/22 - 03/18/22       EUR       4,996       PLN       22,726       (184 )

Goldman Sachs

     03/08/22       HUF       700,541       EUR       1,944       61  

Goldman Sachs

     03/10/22 - 03/16/22       THB       277,823       USD       8,269       (234 )

Goldman Sachs

     03/16/22       USD       2,255       PLN       9,249       181  

Goldman Sachs

     03/14/22       USD       5,353       PLN       21,189       (292 )

Goldman Sachs

     03/14/22 - 03/16/22       PLN       73,717       USD       18,048       442  

Goldman Sachs

     03/16/22       PLN       2,002       USD       516       (12 )

Goldman Sachs

     03/15/22       USD       21,487       AUD       29,687       58  

Goldman Sachs

     03/15/22       AUD       29,687       USD       21,281       (264 )

Goldman Sachs

     03/15/22 - 03/16/22       USD       15,105       ZAR       239,397       360  

Goldman Sachs

     03/15/22 - 06/15/22       USD       15,706       ZAR       240,606       (263 )

Goldman Sachs

     03/15/22 - 03/16/22       ZAR       133,263       USD       8,759       150  

Goldman Sachs

     03/16/22       ZAR       254,249       USD       15,725       (700 )

Goldman Sachs

     03/15/22       JPY       2,458,935       USD       21,519       161  

Goldman Sachs

     03/16/22       USD       124       CLP       109,342       13  

Goldman Sachs

     03/16/22       USD       1,668       COP       6,738,811       58  

Goldman Sachs

     03/16/22       USD       4,051       CNY       25,996       64  

Goldman Sachs

     03/16/22       USD       10,719       THB       363,735       414  

Goldman Sachs

     03/16/22       USD       11,757       RUB       887,265       (3,659 )

Goldman Sachs

     03/16/22       USD       14,505       TWD       399,578       (245 )

Goldman Sachs

     03/16/22       USD       18,901       EUR       16,692       (141 )

Goldman Sachs

     03/16/22       EGP       30,359       USD       1,889       (38 )

Goldman Sachs

     03/16/22       CZK       74,731       EUR       3,005       49  

Goldman Sachs

     03/16/22       UAH       101,594       USD       3,590       461  

Goldman Sachs

     03/16/22       MXN       169,678       USD       8,230       (54 )

Goldman Sachs

     03/16/22       RUB       276,889       USD       3,571       1,043  

Goldman Sachs

     03/16/22       INR       867,456       USD       11,491       6  

Goldman Sachs

     03/16/22       PHP       1,106,184       USD       21,823       265  

Goldman Sachs

     03/16/22       COP       14,907,943       USD       3,652       (167 )

Goldman Sachs

     03/18/22       PLN       7,006       EUR       1,504       17  

Goldman Sachs

     04/06/22 - 06/30/22       EUR       7,431       RON       37,332       84  

Goldman Sachs

     04/14/22 - 04/29/22       USD       4,904       IDR       70,968,439       21  

Goldman Sachs

     04/20/22       USD       1,761       KZT       781,185       (204 )

Goldman Sachs

     04/21/22       TRY       39,103       USD       2,714       102  

Goldman Sachs

     05/24/22       USD       6,538       ILS       21,036       42  

Goldman Sachs

     06/15/22       USD       3,105       UAH       90,478       (549 )

Goldman Sachs

     06/30/22       RON       3,703       EUR       732       (4 )

JPMorgan Chase Bank

     03/01/22 - 04/28/22       USD       5,572       MYR       23,567       48  

JPMorgan Chase Bank

     03/01/22       USD       674       MYR       2,816       (3 )

JPMorgan Chase Bank

     03/24/22 - 03/25/22       IDR       161,773,349       USD       11,301       58  

JPMorgan Chase Bank

     03/02/22 - 03/21/22       IDR       342,467,419       USD       23,751       (67 )

JPMorgan Chase Bank

     03/03/22 - 04/28/22       USD       1,813       EUR       1,619       7  

JPMorgan Chase Bank

     04/28/22       USD       1,914       EUR       1,685       (17 )

JPMorgan Chase Bank

     03/03/22 - 05/23/22       USD       9,841       BRL       52,347       204  

JPMorgan Chase Bank

     03/03/22 - 05/04/22       EUR       14,912       USD       17,024       262  

JPMorgan Chase Bank

     04/05/22       USD       12,573       EUR       11,243       72  

JPMorgan Chase Bank

     03/03/22 - 04/06/22       USD       11,791       EUR       10,382       (125 )

JPMorgan Chase Bank

     03/03/22 - 05/23/22       BRL       166,569       USD       29,221       (3,061 )

JPMorgan Chase Bank

     03/07/22 - 06/06/22       USD       35,817       CNY       228,963       341  

JPMorgan Chase Bank

     03/07/22 - 05/16/22       CNY       212,730       USD       33,487       (196 )

 

 

 

342

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

JPMorgan Chase Bank

     03/08/22       EUR       2,864       HUF       1,062,757     $ 3  

JPMorgan Chase Bank

     03/08/22       EUR       508       HUF       181,599       (21 )

JPMorgan Chase Bank

     03/08/22       HUF       557,987       EUR       1,508       3  

JPMorgan Chase Bank

     03/21/22       USD       2,269       THB       75,965       56  

JPMorgan Chase Bank

     03/10/22 - 03/11/22       USD       3,536       THB       115,100       (13 )

JPMorgan Chase Bank

     03/14/22       USD       403       COP       1,588,784       4  

JPMorgan Chase Bank

     03/14/22       USD       156       CZK       3,521       1  

JPMorgan Chase Bank

     03/16/22       USD       1,114       CZK       24,480       (23 )

JPMorgan Chase Bank

     03/14/22       USD       1,424       TRY       19,616       (41 )

JPMorgan Chase Bank

     05/16/22       PLN       466       USD       117       6  

JPMorgan Chase Bank

     03/14/22 - 03/17/22       PLN       20,327       USD       5,260       (93 )

JPMorgan Chase Bank

     03/14/22 - 03/16/22       CLP       3,045,281       USD       3,705       (121 )

JPMorgan Chase Bank

     03/14/22 - 03/16/22       COP       42,795,550       USD       10,777       (185 )

JPMorgan Chase Bank

     05/23/22       KRW       90,610       USD       76       —  

JPMorgan Chase Bank

     03/15/22       KRW       6,415,922       USD       5,302       (32 )

JPMorgan Chase Bank

     03/16/22       USD       736       ZMW       13,614       30  

JPMorgan Chase Bank

     03/16/22       USD       1,777       CLP       1,529,145       144  

JPMorgan Chase Bank

     03/16/22 - 03/21/22       USD       3,618       RUB       287,310       (1,015 )

JPMorgan Chase Bank

     03/16/22       EUR       2,698       CZK       69,229       52  

JPMorgan Chase Bank

     03/16/22       EUR       3,014       CZK       74,236       (81 )

JPMorgan Chase Bank

     03/16/22       USD       6,257       HUF       2,013,977       (158 )

JPMorgan Chase Bank

     03/16/22       EGP       6,895       USD       430       (8 )

JPMorgan Chase Bank

     03/16/22       USD       1,158       RON       5,122       4  

JPMorgan Chase Bank

     05/16/22       USD       10,289       RON       45,462       (50 )

JPMorgan Chase Bank

     03/16/22       USD       13,204       IDR       192,214,956       162  

JPMorgan Chase Bank

     03/16/22       USD       894       IDR       12,782,545       (5 )

JPMorgan Chase Bank

     03/16/22       USD       3,323       ZAR       52,984       100  

JPMorgan Chase Bank

     03/16/22 - 05/16/22       USD       12,724       ZAR       196,679       (93 )

JPMorgan Chase Bank

     03/16/22 - 05/16/22       USD       21,746       MXN       459,888       674  

JPMorgan Chase Bank

     03/16/22       USD       1,412       MXN       28,591       (17 )

JPMorgan Chase Bank

     03/16/22       UAH       29,865       USD       1,067       147  

JPMorgan Chase Bank

     03/16/22       MXN       37,400       USD       1,786       (40 )

JPMorgan Chase Bank

     03/16/22 - 05/16/22       USD       39,639       PLN       159,650       (1,622 )

JPMorgan Chase Bank

     03/16/22       CZK       40,230       USD       1,820       28  

JPMorgan Chase Bank

     03/16/22 - 05/16/22       MXN       40,798       USD       1,992       2  

JPMorgan Chase Bank

     03/16/22 - 05/16/22       MXN       93,293       USD       4,487       (63 )

JPMorgan Chase Bank

     03/16/22 - 05/16/22       ZAR       62,101       USD       4,015       24  

JPMorgan Chase Bank

     03/16/22 - 04/19/22       ZAR       606,820       USD       38,398       (668 )

JPMorgan Chase Bank

     03/16/22 - 04/01/22       RUB       936,423       USD       11,778       3,303  

JPMorgan Chase Bank

     03/18/22       EUR       1,528       PLN       7,009       (44 )

JPMorgan Chase Bank

     03/18/22       PLN       1,574       EUR       349       16  

JPMorgan Chase Bank

     03/21/22       THB       4,235       USD       127       (3 )

JPMorgan Chase Bank

     03/22/22       PHP       108,380       USD       2,103       (8 )

JPMorgan Chase Bank

     04/21/22       TRY       –       USD       –       —  

JPMorgan Chase Bank

     04/28/22       EUR       16,175       USD       18,322       118  

JPMorgan Chase Bank

     04/28/22       EUR       346       USD       386       (3 )

JPMorgan Chase Bank

     04/28/22       JPY       287,998       USD       2,532       27  

JPMorgan Chase Bank

     05/11/22       USD       1,718       VND       39,364,871       1  

JPMorgan Chase Bank

     05/23/22       USD       16,500       KRW       19,771,710       (70 )

JPMorgan Chase Bank

     06/30/22       EUR       1,772       RON       8,984       15  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

343

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

JPMorgan Chase Bank

     06/30/22       RON       2,969       EUR       585     $ (6 )

Merrill Lynch

     03/16/22       USD       1,126       PLN       4,614       89  

Merrill Lynch

     03/16/22       USD       2,348       CLP       1,938,838       88  

Merrill Lynch

     03/16/22       PHP       83,860       USD       1,618       (16 )

Merrill Lynch

     03/16/22       THB       284,425       USD       8,488       (217 )

Merrill Lynch

     03/16/22       HUF       573,300       USD       1,823       87  

Morgan Stanley

     03/02/22 - 04/29/22       USD       6,110       IDR       88,423,873       38  

Morgan Stanley

     03/08/22 - 03/18/22       EUR       2,611       PLN       12,063       (53 )

Morgan Stanley

     03/11/22       THB       57,936       USD       1,769       (4 )

Morgan Stanley

     03/15/22       MXN       58,332       USD       2,826       (22 )

Morgan Stanley

     03/15/22 - 03/16/22       ZAR       108,821       USD       7,107       77  

Morgan Stanley

     03/16/22       USD       3,532       ZAR       54,263       (27 )

Morgan Stanley

     03/16/22       USD       4,981       RUB       378,091       (1,530 )

Morgan Stanley

     03/16/22       CZK       37,452       EUR       1,518       38  

Morgan Stanley

     03/16/22       RUB       429,611       USD       5,584       1,663  

Morgan Stanley

     03/18/22       PLN       14,069       EUR       3,012       25  

Standard Bank

     03/03/22 - 03/08/22       USD       13,708       EUR       12,101       (116 )

Standard Bank

     03/03/22 - 05/04/22       EUR       34,554       USD       39,201       334  

Standard Bank

     03/15/22       MXN       73,015       USD       3,534       (32 )

Standard Bank

     03/16/22       USD       850       IDR       12,304,514       6  

Standard Bank

     03/16/22       USD       1,742       PLN       7,119       133  

Standard Bank

     03/16/22       USD       5,470       COP       21,512,720       40  

Standard Bank

     03/16/22       USD       4,913       MYR       20,884       66  

Standard Bank

     03/16/22       USD       836       MYR       3,500       (1 )

Standard Bank

     03/16/22       USD       6,583       CLP       5,568,526       412  

Standard Bank

     03/16/22       USD       18,701       THB       600,250       (329 )

Standard Bank

     03/16/22       ZAR       34,780       USD       2,252       6  

Standard Bank

     03/16/22       TWD       399,578       USD       14,520       260  

Standard Bank

     06/15/22       INR       450,969       USD       5,902       6  

Standard Bank

     06/15/22       INR       420,911       USD       5,502       (1 )

Standard Chartered

     03/14/22       USD       2,854       CLP       2,371,017       125  

Standard Chartered

     03/16/22       USD       380       PEN       1,563       31  

Standard Chartered

     03/16/22       RUB       113,763       USD       1,493       455  

Standard Chartered

     03/16/22       CLP       1,392,947       USD       1,686       (64 )

Standard Chartered

     03/16/22       COP       55,613,728       USD       13,948       (297 )

Standard Chartered

     03/21/22       THB       56,581       USD       1,741       9  

Standard Chartered

     04/04/22       USD       528       BRL       2,840       19  

Standard Chartered

     04/14/22       USD       2,189       IDR       31,664,389       9  

Standard Chartered

     05/23/22       CNY       36,629       USD       5,751       (21 )

Standard Chartered

     05/25/22       USD       3,632       MYR       15,249       5  

Standard Chartered

     06/30/22       EUR       177       RON       904       2  

State Street

     04/05/22       USD       1,531       EUR       1,363       3  

State Street

     03/03/22       USD       704       EUR       618       (10 )

State Street

     03/08/22       EUR       1,507       HUF       538,647       (60 )

State Street

     03/14/22       USD       3,569       CLP       2,870,143       37  

State Street

     03/14/22       BRL       16,132       USD       2,940       (181 )

State Street

     03/15/22       USD       5,350       KRW       6,415,922       (17 )

State Street

     03/15/22       USD       10,636       JPY       1,229,650       45  

State Street

     03/15/22       USD       10,688       JPY       1,229,285       (10 )

 

 

 

344

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

State Street

     03/16/22       USD       373       COP       1,479,184     $ 6  

State Street

     03/16/22       USD       527       MXN       10,946       7  

State Street

     03/16/22       EUR       3,085       CZK       75,400       (109 )

State Street

     03/18/22       EUR       441       PLN       2,004       (17 )
                                            $ (1,050 )

 

A list of the open centrally cleared swap agreements held by the Fund at February 28, 2022, is as follows:

 

Interest Rate Swaps

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

6.745%

     28-DAY MXN - TIIE       Monthly       06/23/2022       MXN       49,636     $ 1     $ –     $ 1  

1.36%

     1-DAY CLP - SINACOFI CHILE INTERBANK RATE AVG       Semi-Annually       06/17/2025       CLP       2,668,591       (542 )     –       (542 )

1.16%

     1-DAY CLP - SINACOFI CHILE INTERBANK RATE AVG       Semi-Annually       06/23/2025       CLP       3,237,689       (684 )     –       (684 )

1-DAY SINACOFI CHILE INTERBANK RATE AVG (CLICP)

     2.26% FIXED       Semi-Annually       03/16/2026       CLP       2,687,914       (517 )     –       (517 )

5.815%

     28-DAY MEXICAN INTERBANK RATE (TIIE)       Monthly       4/06/2026       MXN       41,751       (147 )     –       (147 )

1-DAY INR MIBOR

     5.145%       Semi-Annually       08/27/2026       INR       310,000       75       –       75  

1-DAY INR MIBOR

     5.148%       Semi-Annually       09/02/2026       INR       300,000       73       –       73  

6-MONTH CZK PRIBOR

     3.25%       Semi-Annually       11/22/2026       CZK       95,901       (106 )     –       (106 )

6-MONTH CZK PRIBOR

     3.33%       Semi-Annually       11/25/2026       CZK       90,930       (85 )     –       (85 )

7.72%

     28-DAY MXN - TIIE       Monthly       12/03/2026       MXN       16,200       (3 )     –       (3 )

8.155%

     28-DAY MXN - TIIE       Monthly       12/28/2026       MXN       21,000       14       –       14  

1-DAY OVERNIGHT BRAZIL INTERBANK DEPOSIT(CETIP)

     10.29%       Annually       01/04/2027       BRL       7,948       64       –       64  

COLOMBIA OVERNIGHT INTERBANK REFERENCE RATE

     6.395%       Quarterly       01/06/2027       COP       460,499       7       –       7  

CZK - 6-MONTH PRAGUE INTERBANK OFFER RATE (PRIBOR)

     4.03%       Semi-Annually       01/10/2027       CZK       81,658       90       –       90  

HUF - 6-MONTH BUDAPEST INTERBANK OFFER RATE(BUBOR)

     5.1%       Semi-Annually       01/11/2027       HUF       1,237,291       40       –       40  

CNY - 7-DAY CHINA FIXING REPO RATES (CNRR007)

     2.355       Quarterly       01/18/2027       CNY       23,400       (10 )     –       (10 )

COLOMBIA OVERNIGHT INTERBANK REFERENCE RATE

     7.14%       Quarterly       01/31/2027       COP       16,045,765       135       –       135  

OP - COLOMBIA OVERNIGHT INTERBANK REFERENCE

     7.348       Quarterly       02/10/2027       COP       8,172,454       51       –       51  

CZK - 6-MONTH PRAGUE INTERBANK OFFER RATE(PRIBOR)

     3.66%       Semi-Annually       02/10/2027       CZK       36,661       13       –       13  

CZK - 6-MONTH PRAGUE INTERBANK OFFER RATE (PRIBOR)

     3.745       Semi-Annually       02/11/2027       CZK       36,661       7       –       7  

7.51%

     28-DAY MXN - TIIE       Monthly       04/20/2027       MXN       11,913       (8 )     –       (8 )

28-DAY MXN - TIIE

     6.9225%       Monthly       08/31/2029       MXN       58,394       152       –       152  

28-DAY MXN - TIIE

     6.82%       Monthly       09/10/2029       MXN       27,850       81       –       81  

1.75%

     6-MONTH PLN - WIBOR       Annually       02/26/2030       PLN       6,203       (220 )     –       (220 )

1-DAY CLP - SINACOFI CHILE INTERBANK RATE AVG

     2.33%       Semi-Annually       06/05/2030       CLP       1,146,740       342       –       342  

2.145%

     1-DAY CLP - SINACOFI CHILE INTERBANK RATE AVG       Semi-Annually       08/24/2030       CLP       616,282       (196 )     –       (196 )

1.905%

     6-MONTH PLN WIBOR       Annually       05/18/2031       PLN       3,124       (112 )     –       (112 )

6-MONTH HUF BUBOR

     3.305%       Annually       10/04/2031       HUF       539,013       (212 )     –       (212 )

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

345

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

 

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

28-DAY MXN MEXICAN INTERBANK RATE(TIIE)

     7.345%       Monthly       11/10/2031       MXN       23,157     $ (43 )   $ –     $ (43 )

28-DAY MEXICAN INTERBANK RATE (TIIE)

     7.375%       Monthly       11/10/2031       MXN       28,822       (51 )     –       (51 )

6.45%

     28-DAY MXN - TIIE       Monthly       04/01/2025       MXN       45,932       (91 )     –       (91 )

3.69%

     6-MONTH HUF BUBOR       Annually       11/11/2031       HUF       463,175       141       –       141  

7.7325%

     1-DAY BRL- CETIP 01/02/2025       Annually       01/02/2025       BRL       19,516       (369 )     –       (369 )

6.455%

     1-DAY BRL - CETIP       Annually       01/02/2025       BRL       4,989       (132 )     –       (132 )

6.71%

     28-DAY MXN - TIIE       Monthly       07/07/2022       MXN       45,683       –       –       0  

6.77%

     1-DAY BRL - CETIP       Annually       01/02/2023       BRL       8,540       (80 )     –       (80 )

9.255%

     1-DAY BRL - CETIP       Annually       01/02/2023       BRL       2,474       (16 )     –       (16 )

5.25%

     1-DAY BRL - CETIP       Annually       01/02/2023       BRL       15,387       (179 )     –       (179 )

6.61%

     1-DAY BRL - CETIP       Annually       01/02/2023       BRL       6,301       (61 )     –       (61 )

6.23%

     1-DAY BRL - CETIP       Annually       01/02/2023       BRL       7,534       (77 )     –       (77 )

4.43%

     1-DAY BRL - CETIP       Annually       01/02/2023       BRL       16,859       209       –       209  

MXN-28-DAY MEXICAN INTERBANK RATE(TIIE)

     7.2%       Monthly       01/27/2023       MXN       351,174       38       –       38  

5.55%

     28-DAY MXN - TIIE       Monthly       04/13/2023       MXN       66,291       (73 )     –       (73 )

3-Month MOSCOW PRIME OFFER RATE (MOSPRIME)

     7.192% FIXED       Annually       07/27/2023       RUB       1,623,347       (2,126 )     –       (2,126 )

5.01%

     28-DAY MEXICAN INTERBANK RATE (TIIE)       Monthly       11/22/2023       MXN       211,565       (319 )     –       (319 )

3.76%

     6-MONTH CZK PRIBOR       Annually       11/22/2023       CZK       274,636       (169 )     –       (169 )

3.795%

     6-MONTH CZK PRIBOR       Annually       11/25/2023       CZK       259,529       (152 )     –       (152 )

7.45%

     1-DAY OVERNIGHT BRAZIL INTERBANK DEPOSIT (CETIP)       Annually       01/02/2024       BRL       15,514       (232 )     –       (232 )

6.5%

     1-DAY BRL - CETIP       Annually       01/02/2024       BRL       6,494       (125 )     –       (125 )

4.99%

     1-DAY BRL CETIP       Annually       01/02/2024       BRL       11,034       (254 )     –       (254 )

5.715%

     1-DAY BRL CETIP       Annually       01/02/2024       BRL       11,232       (235 )     –       (235 )

5.56%

     1-DAY BRL - CETIP       Annually       01/02/2024       BRL       26,364       (578 )     –       (578 )

4.835%

     1-DAY BRL - CETIP       Annually       01/02/2024       BRL       30,017       (714 )     –       (714 )

1-DAY BRL CETIP

     5.9725%       Annually       01/02/2024       BRL       10,140       (204 )     –       (204 )

5.76%

     1-DAY BRL - CETIP       Annually       01/02/2024       BRL       12,439       (266 )     –       (266 )

HUF - 6-MONTH BUDAPEST INTERBANK OFFER RATE(BUBOR)

     5.3%       Annually       01/11/2024       HUF       2,887,654       93       –       93  

HUF - 6-MONTH BUDAPEST INTERBANK OFFER RATE (BUBOR)

     5.16%       Annually       01/12/2024       HUF       3,928,303       (96 )     –       (96 )

1-DAY FED BILL OVERNIGHT MUMBAI INTERBANK SWAP-MIBOR

     5.741%       Annually       01/20/2024       INR       1,300,000       73       –       73  

5.1525%

     28-DAY MEXICAN INTERBANK RATE (TIIE)       Monthly       02/22/2024       MXN       185,141       (260 )     –       (260 )

5.47%

     28-DAY MXN - TIIE       Monthly       06/19/2024       MXN       221,391       (263 )     –       (263 )

6-MONTH CZK PRIBOR

     2.465%       Annually       09/21/2024       CZK       133,863       (278 )     –       (278 )

5.65%

     1-DAY BRL - CETIP       Annually       01/02/2025       BRL       17,121       (516 )     –       (516 )

6.77%

     1-DAY BRL - CETIP       Annually       01/02/2025       BRL       5,570       (139 )     –       (139 )

6.82%

     1-DAY BRL - CETIP       Annually       01/02/2025       BRL       4,671       (115 )     –       (115 )

MXN - 28-DAY MEXICAN INTERBANK RATE (TIIE)

     7.64%       Monthly       01/01/2032       MXN       38,803       34       –       34  
                                            $ (9,322 )   $ –     $ (9,322 )

 

 

 

346

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Continued)

 

 

A list of open OTC swap agreements held by the Fund at February 28, 2022, is as follows:

 

Interest Rate Swaps

Counterparty

  

Fund Pays

    

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

JPMorgan Chase

     3.43%       1-DAY CLP - SINACOFI CHILE INTERBANK RATE AVG       Semi-Annually       05/10/2022       CLP       933,434     $ 4     $ –     $ 4  

Goldman Sachs

     5.900%       28-DAY MXN - TIIE       Monthly       09/12/2022       MXN       99,662       (28 )     –       (28 )

Goldman Sachs

     11.985%       1-DAY BRL - CETIP       Annually       01/02/2023       BRL       3,000       268       –       268  

Goldman Sachs

     10.89%       1-DAY BRL - CETIP       Quarterly       01/03/2023       BRL       6,139       387       –       387  

Goldman Sachs

     7.072%       3-MONTH MOSCOW PRIME OFFERED RATE - RUB       Quarterly       04/02/2023       RUB       1,057,550       (1,082 )     –       (1,082 )

JPMorgan Chase

     3-Month MYR KLIBOR       2.48%       Quarterly       10/27/2023       MYR       37,000       3       –       3  

Goldman Sachs

     CHIBPROM VARIABLE       7.235% FIXED       Semi-Annually       02/18/2024       CLP       6,801,150       6       –       6  

Goldman Sachs

     L-CLICP-CHIBPROM       7.205%       Semi-Annually       02/22/2024       CLP       6,801,150       (2 )     –       (2 )

Goldman Sachs

     3-Month RUB MOSPRIME       7.981%       Annually       10/04/2024       RUB       473,557       (906 )     –       (906 )

Goldman Sachs

     6.355%       28-DAY MXN - TIIE       Monthly       05/21/2025       MXN       29,801       (65 )     –       (65 )

Goldman Sachs

     6.205%       28-DAY MXN - TIIE       Monthly       12/08/2025       MXN       21,174       (56 )     –       (56 )

Goldman Sachs

     6.165%       28-DAY MXN - TIIE       Monthly       03/05/2026       MXN       63,199       (179 )     –       (179 )

JPMorgan Chase

     6.13%       28-DAY MXN - TIIE       Monthly       06/18/2026       MXN       47,000       (144 )     –       (144 )

Citibank

     1.87750%       6-MONTH CZK PRIBOR       Annually       07/09/2026       CZK       57,553       (184 )     –       (184 )

Citibank

     1.822%       6-MONTH CZK PRIBOR       Annually       07/12/2026       CZK       95,449       (318 )     –       (318 )

Citibank

     1.8282%       6-MONTH CZK PRIBOR       Annually       07/12/2026       CZK       102,726       (341 )     –       (341 )

Goldman Sachs

     CZECH INTERBANK OFFERED(CZK-PRIBOR)       2.158% FIXED       Annually       08/30/2026       CZK       120,567       (341 )     –       (341 )

Goldman Sachs

     6.381%       28-DAY MXN - TIIE       Monthly       09/16/2026       MXN       35,000       (96 )     –       (96 )

Goldman Sachs

     6-MONTH FBIL MIBOR (VARIABLE)       5.87% FIXED       Semi-Annually       02/04/2027       INR       760,673       46       –       46  

Goldman Sachs

     6-MONTH FBIL MIBOR (VARIABLE)       5.9171% FIXED       Semi-Annually       02/07/2027       INR       888,427       83       –       83  
                                                    $ (2,945 )   $ –     $ (2,945 )

 

 

 

Percentages are based on Net Assets of $2,164,787 ($ Thousands).

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

(A)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(B)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On February 28, 2022, the value of these securities amounted to $323,157 ($ Thousands), representing 14.9% of the Net Assets of the Fund.

(C)

Step Bonds – Represents the current rate, the step rate, the step date and the final maturity date.

(D)

Zero coupon security.

(E)

Certain securities or partial positions of certain securities are on loan at February 28, 2022. The total market value of securities on loan at February 28, 2022 was $2,929 ($ Thousands).

(F)

Perpetual security with no stated maturity date.

(G)

Security is in default on interest payment.

(H)

Interest rate represents the security's effective yield at the time of purchase.

(I)

This security was purchased with cash collateral held from securities on loan. The total market value of such securities as of February 28, 2022 was $3,139 ($ Thousands).

 

AUD — Australian Dollar

BRL — Brazilian Real

 

BUBOR— Budapest Interbank Offered Rate

CETIP— Central of Custody and Financial Settlement of Securities

CLICP — Sinacofi Chile Interbank Rate Avg

CLP — Chilean Peso

CNY — Chinese Yuan Onshore

COP — Colombian Peso

CZK — Czech Koruna

DAC — Designated Activity Company

EGP — Egyptian Pound

EUR — Euro

GHS — Ghanaian Cedi

HUF — Hungarian Forint

ICE— Intercontinental Exchange

IDR — Indonesian Rupiah

ILS — Israeli New Sheckels

INR — Indian Rupee

JPY — Japanese Yen

JSC — Joint-Stock Company

KRW — Korean Won

KZT - Kazakhstani Tenge

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

Ltd. — Limited

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

347

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Emerging Markets Debt Fund (Concluded)

 

MIBOR — Mumbai InterBank Overnight Rate

MosPrime— Moscow Prime Offered Rate

MTN — Medium Term Note

MXN — Mexican Peso

MYR — Malaysian Ringgit

OTC — Over The Counter

PEN — Peruvian Nuevo Sol

PHP— Philippine Peso

PJSC — Public Joint-Stock Company

PLN — Polish Zloty

PRIBOR— Prague Interbank Offered Rate

RON — Romanian Leu

RSD — Serbian Dinar

RUB — Russian Ruble

SAR— Saudi Riyal

SEK — Swedish Krona

Ser — Series

SGD — Singapore Dollar

THB — Thai Baht

TIIE — Interbank Equilibrium Interest Rate

TRY — Turkish Lira

TWD — Taiwan Dollar

UAH — Ukrainian Hryvnia

UGX — Ugandan Shilling

ULC — Unlimited Liability Company

USD — U.S. Dollar

UYU — Uruguayan Peso

WIBOR— Warsaw Interbank Offered Rate

ZAR — South African Rand

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Global Bonds

     –       2,034,428       –       2,034,428  

U.S. Treasury Obligations

     –       6,977       –       6,977  

Affiliated Partnership

     –       3,139       –       3,139  

Total Investments in Securities

     –       2,044,544       –       2,044,544  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Appreciation

     2,796       –       –       2,796  

Unrealized Depreciation

     (10 )     –       –       (10 )

Forwards Contracts*

                                

Unrealized Appreciation

     –       28,159       –       28,159  

Unrealized Depreciation

     –       (29,209 )     –       (29,209 )

OTC Swaps

                                

Interest Rate Swaps*

                                

Unrealized Appreciation

     –       797       –       797  

Unrealized Depreciation

     –       (3,742 )     –       (3,742 )

Centrally Cleared Swaps

                                

Interest Rate Swaps*

                                

Unrealized Appreciation

     –       1,733       –       1,733  

Unrealized Depreciation

     –       (11,055 )     –       (11,055 )

Total Other Financial Instruments

     2,786       (13,317 )     –       (10,531 )

 

*

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

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information regarding the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 
 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

    

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Liquidity Fund, L.P.

   $ 3,893     $ 27,837     $ (28,591 )   $ -     $ -     $ 3,139       3,138,678     $ 34     $ -  

 

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

 

 

348

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Real Return Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS — 99.5%

U.S. Treasury Inflation-Protected Securities

               

2.375%, 01/15/2025

  $ 11,886     $ 13,426  

2.375%, 01/15/2027

    7,618       9,059  

2.000%, 01/15/2026

    7,715       8,814  

0.625%, 04/15/2023

    19,644       20,620  

0.625%, 01/15/2024

    21,263       22,599  

0.625%, 01/15/2026

    16,156       17,568  

0.500%, 04/15/2024

    11,816       12,571  

0.375%, 07/15/2023

    22,143       23,411  

0.375%, 07/15/2025

    19,403       20,913  

0.375%, 01/15/2027

    15,513       16,846  

0.250%, 01/15/2025

    17,553       18,716  

0.125%, 07/15/2024

    19,273       20,505  

0.125%, 10/15/2024

    17,019       18,107  

0.125%, 04/15/2025

    13,990       14,881  

0.125%, 10/15/2025

    16,971       18,142  

0.125%, 10/15/2025

    3       3  

0.125%, 04/15/2026

    13,194       14,077  

0.125%, 07/15/2026

    16,448       17,662  

0.125%, 10/15/2026

    18,429       19,802  
         

Total U.S. Treasury Obligations

        

(Cost $298,716) ($ Thousands)

     307,722  
                 
                 

Total Investments in Securities — 99.5%

                

(Cost $298,716) ($ Thousands)

  $ 307,722  
                 
                 
                 

 

 

Percentages are based on Net Assets of $309,259 ($ Thousands).

 

As of February 28, 2022, all of the Fund's investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

349

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS — 35.6%

U.S. Treasury Bill

               

0.789%, 08/25/2022 (A)

   $ 7,165     $ 7,142  

U.S. Treasury Notes

               

1.750%, 12/31/2024

    59,580       59,797  

1.500%, 02/29/2024

    91,965       92,041  

1.125%, 01/15/2025

    550       542  

0.875%, 01/31/2024

    42,220       41,763  

0.750%, 12/31/2023

    53,336       52,669  

0.500%, 03/15/2023

    11,875       11,799  

0.500%, 03/31/2025

    27,000       26,067  

0.375%, 04/15/2024

    74,795       73,016  

0.250%, 06/15/2024

    81,840       79,449  

0.125%, 05/15/2023

    25,100       24,781  

0.125%, 10/15/2023

    33,595       32,918  

0.125%, 12/15/2023

    90,760       88,675  
         

Total U.S. Treasury Obligations

        

(Cost $598,797) ($ Thousands)

     590,659  
                 
                 
                 

CORPORATE OBLIGATIONS — 29.5%

Communication Services — 0.5%

        

AT&T

               

2.300%, 06/01/2027

    2,000       1,973  

Level 3 Financing

               

3.400%, 03/01/2027 (B)

     700       688  

Netflix

               

5.875%, 02/15/2025

    915       994  

Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC

               

5.152%, 03/20/2028 (B)

     1,000       1,076  

4.738%, 03/20/2025 (B)

     1,341       1,381  

T-Mobile USA

               

3.875%, 04/15/2030

    770       796  

3.750%, 04/15/2027

    640       664  

3.500%, 04/15/2025

    705       725  
                 
              8,297  
                 

Consumer Discretionary — 3.9%

        

7-Eleven

               

0.800%, 02/10/2024 (B)

     12,395       12,098  

Alimentation Couche-Tard

               

3.550%, 07/26/2027 (B)

     400       414  

Daimler Trucks Finance North America LLC

               

0.649%, U.S. SOFR + 0.600%, 12/14/2023 (B)(C)

     8,270       8,304  

Ford Motor Credit LLC

               

1.383%, ICE LIBOR USD 3 Month + 1.080%, 08/03/2022 (C)

     955       956  

General Motors Financial

               

3.150%, 06/30/2022

    285       286  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

1.050%, 03/08/2024

  $ 9,230     $ 8,993  

Genuine Parts

               

1.750%, 02/01/2025

    3,595       3,534  

Hyatt Hotels

               

1.300%, 10/01/2023

    1,400       1,378  

Hyundai Capital America

               

1.250%, 09/18/2023 (B)

     3,660       3,608  

Hyundai Capital America MTN

               

0.800%, 01/08/2024 (B)

     5,610       5,448  

Toyota Motor Credit MTN

               

0.450%, 01/11/2024

    7,760       7,576  

Volkswagen Group of America Finance LLC

               

0.875%, 11/22/2023 (B)

     12,945       12,677  
                 
              65,272  
                 

Consumer Staples — 2.2%

        

BAT Capital

               

3.557%, 08/15/2027

    895       901  

3.222%, 08/15/2024

    860       870  

BayCare Health System

               

2.610%, 11/15/2022

    1,190       1,203  

Bayer US Finance II LLC

               

3.875%, 12/15/2023 (B)

     745       765  

2.850%, 04/15/2025 (B)

     520       519  

CommonSpirit Health

               

2.760%, 10/01/2024

    1,445       1,457  

1.547%, 10/01/2025

    10,550       10,181  

Fresenius US Finance II

               

4.500%, 01/15/2023 (B)

     955       971  

Hormel Foods

               

0.650%, 06/03/2024

    8,800       8,556  

Imperial Brands Finance PLC

               

4.250%, 07/21/2025 (B)

     1,035       1,080  

JBS USA LUX

               

3.000%, 02/02/2029 (B)

     1,025       968  

Keurig Dr Pepper

               

0.750%, 03/15/2024

    7,575       7,387  
                 
              34,858  
                 

Energy — 2.4%

        

ConocoPhillips

               

2.125%, 03/08/2024

    12,035       12,042  

Enbridge

               

0.550%, 10/04/2023

    11,500       11,257  

Energy Transfer

               

5.950%, 12/01/2025

    748       821  

4.250%, 04/01/2024

    250       257  

4.050%, 03/15/2025

    1,000       1,035  

Petroleos Mexicanos

               

6.700%, 02/16/2032 (B)

     1,089       1,051  

 

 

 

350

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Saudi Arabian Oil MTN

               

2.875%, 04/16/2024 (B)

   $ 11,985     $ 12,126  
                 
              38,589  
                 

Financials — 13.2%

        

American Express

               

0.750%, 11/03/2023

    11,545       11,352  

Athene Global Funding

               

0.750%, U.S. SOFR + 0.700%, 05/24/2024 (B)(C)

     920       921  

Avolon Holdings Funding

               

3.625%, 05/01/2022 (B)

     890       892  

2.528%, 11/18/2027 (B)

     133       125  

Bank of America

               

3.004%, ICE LIBOR USD 3 Month + 0.790%, 12/20/2023 (C)

     1,620       1,634  

Bank of America MTN

               

2.881%, ICE LIBOR USD 3 Month + 1.021%, 04/24/2023 (C)

     2,000       2,004  

1.486%, U.S. SOFR + 1.460%, 05/19/2024 (C)

     2,150       2,137  

0.810%, U.S. SOFR + 0.740%, 10/24/2024 (C)

     9,200       8,979  

Citigroup

               

3.352%, ICE LIBOR USD 3 Month + 0.897%, 04/24/2025 (C)

     1,645       1,678  

0.981%, U.S. SOFR + 0.669%, 05/01/2025 (C)

     8,965       8,708  

Credit Suisse Group

               

2.593%, U.S. SOFR + 1.560%, 09/11/2025 (B)(C)

     2,210       2,199  

Credit Suisse NY

               

0.495%, 02/02/2024

    8,365       8,099  

0.440%, SOFRINDX + 0.390%, 02/02/2024 (C)

     6,856       6,849  

Discover Bank

               

2.450%, 09/12/2024

    987       987  

DNB Bank

               

0.856%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.330%, 09/30/2025 (B)(C)

     1,405       1,358  

F&G Global Funding

               

0.900%, 09/20/2024 (B)

     10,100       9,727  

Federation des Caisses Desjardins du Quebec

               

0.450%, 10/07/2023 (B)

     7,660       7,524  

General Electric MTN

               

0.695%, ICE LIBOR USD 3 Month + 0.380%, 05/05/2026 (C)

     330       325  

Goldman Sachs Group

               

0.925%, U.S. SOFR + 0.486%, 10/21/2024 (C)

     13,525       13,233  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Goldman Sachs Group MTN

               

2.905%, ICE LIBOR USD 3 Month + 0.990%, 07/24/2023 (C)

   $ 500     $ 502  

HSBC Holdings PLC

               

1.488%, ICE LIBOR USD 3 Month + 1.000%, 05/18/2024 (C)

     225       227  

0.976%, U.S. SOFR + 0.708%, 05/24/2025 (C)

     1,870       1,807  

0.732%, U.S. SOFR + 0.534%, 08/17/2024 (C)

     700       685  

0.630%, U.S. SOFR + 0.580%, 11/22/2024 (C)

     12,255       12,267  

Jackson National Life Global Funding

               

1.750%, 01/12/2025 (B)

     5,650       5,556  

JPMorgan Chase

               

4.023%, ICE LIBOR USD 3 Month + 1.000%, 12/05/2024 (C)

     11,510       11,874  

3.900%, 07/15/2025

    8,470       8,859  

0.969%, TSFR3M + 0.580%, 06/23/2025 (C)

     385       373  

0.697%, U.S. SOFR + 0.580%, 03/16/2024 (C)

     2,325       2,296  

Lloyds Banking Group PLC

               

3.870%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 3.500%, 07/09/2025 (C)

     180       185  

2.858%, ICE LIBOR USD 3 Month + 1.249%, 03/17/2023 (C)

     1,910       1,911  

Macquarie Group

               

3.189%, ICE LIBOR USD 3 Month + 1.023%, 11/28/2023 (B)(C)

     515       520  

1.340%, U.S. SOFR + 1.069%, 01/12/2027 (B)(C)

     705       666  

Macquarie Group MTN

               

1.201%, U.S. SOFR + 0.694%, 10/14/2025 (B)(C)

     910       880  

Morgan Stanley MTN

               

0.791%, U.S. SOFR + 0.509%, 01/22/2025 (C)

     725       704  

0.560%, U.S. SOFR + 0.466%, 11/10/2023 (C)

     15,260       15,141  

0.529%, U.S. SOFR + 0.455%, 01/25/2024 (C)

     2,745       2,713  

Nationwide Building Society

               

4.363%, ICE LIBOR USD 3 Month + 1.392%, 08/01/2024 (B)(C)

     335       345  

3.766%, ICE LIBOR USD 3 Month + 1.064%, 03/08/2024 (B)(C)

     350       356  

0.550%, 01/22/2024 (B)

     9,170       8,913  

Nationwide Building Society MTN

               

3.622%, ICE LIBOR USD 3 Month + 1.181%, 04/26/2023 (B)(C)

     1,890       1,895  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

351

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Nationwide Mutual Insurance

               

2.493%, ICE LIBOR USD 3 Month + 2.290%, 12/15/2024 (B)(C)

   $ 1,000     $ 1,000  

Natwest Group PLC

               

3.498%, ICE LIBOR USD 3 Month + 1.480%, 05/15/2023 (C)

     1,900       1,906  

Pacific Life Global Funding II

               

0.500%, 09/23/2023 (B)

     5,615       5,491  

Park Aerospace Holdings

               

4.500%, 03/15/2023 (B)

     170       173  

Protective Life Global Funding

               

1.082%, 06/09/2023 (B)

     7,785       7,729  

Royal Bank of Canada MTN

               

1.600%, 01/21/2025

    11,675       11,464  

Santander UK Group Holdings PLC

               

4.796%, ICE LIBOR USD 3 Month + 1.570%, 11/15/2024 (C)

     410       427  

3.373%, ICE LIBOR USD 3 Month + 1.080%, 01/05/2024 (C)

     355       359  

1.089%, U.S. SOFR + 0.787%, 03/15/2025 (C)

     200       194  

Trinity Acquisition

               

4.625%, 08/15/2023

    860       892  

UBS AG/London

               

0.700%, 08/09/2024 (B)

     1,170       1,131  

UBS Group

               

1.008%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.830%, 07/30/2024 (B)(C)

     7,365       7,260  

Wells Fargo MTN

               

3.750%, 01/24/2024

    10,785       11,119  

2.164%, ICE LIBOR USD 3 Month + 0.750%, 02/11/2026 (C)

     3,485       3,443  
                 
              219,994  
                 

Health Care — 1.9%

        

AbbVie

               

3.800%, 03/15/2025

    35       36  

3.750%, 11/14/2023

    550       567  

Baxter International

               

0.868%, 12/01/2023 (B)

     1,325       1,301  

Gilead Sciences

               

0.750%, 09/29/2023

    6,067       5,979  

HCA

               

5.000%, 03/15/2024

    610       641  

4.750%, 05/01/2023

    1,655       1,703  

Humana

               

3.850%, 10/01/2024

    1,500       1,555  

0.650%, 08/03/2023

    675       664  

PerkinElmer

               

0.850%, 09/15/2024

    1,170       1,129  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Royalty Pharma PLC

               

0.750%, 09/02/2023

  $ 985     $ 967  

Stryker

               

0.600%, 12/01/2023

    6,490       6,337  

Thermo Fisher Scientific

               

1.215%, 10/18/2024

    10,155       9,919  
                 
              30,798  
                 

Industrials — 0.9%

        

AerCap Ireland Capital DAC

               

4.875%, 01/16/2024

    580       602  

1.650%, 10/29/2024

    650       631  

Air Lease

               

2.200%, 01/15/2027

    770       738  

Air Lease MTN

               

0.700%, 02/15/2024

    400       388  

BAE Systems Holdings

               

3.850%, 12/15/2025 (B)

     625       654  

Boeing

               

1.433%, 02/04/2024

    680       669  

Canadian Pacific Railway

               

1.350%, 12/02/2024

    8,520       8,312  

Delta Air Lines Pass-Through Trust, Ser 2002-1, Cl G

               

6.718%, 01/02/2023

    –       –  

IHS Markit

               

5.000%, 11/01/2022 (B)

     1,500       1,525  

3.625%, 05/01/2024

    430       444  

Sydney Airport Finance

               

3.900%, 03/22/2023 (B)

     965       985  
                 
              14,948  
                 

Information Technology — 0.8%

        

Global Payments

               

1.500%, 11/15/2024

    790       771  

NXP BV

               

4.625%, 06/01/2023 (B)

     1,485       1,532  

Oracle

               

1.650%, 03/25/2026

    1,865       1,787  

Skyworks Solutions

               

0.900%, 06/01/2023

    1,145       1,129  

VMware

               

1.000%, 08/15/2024

    9,175       8,910  
                 
              14,129  
                 

Materials — 0.1%

        

Berry Global

               

0.950%, 02/15/2024

    1,415       1,376  

International Flavors & Fragrances

               

0.697%, 09/15/2022 (B)

     750       748  
                 
              2,124  
                 

 

 

 

352

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Real Estate — 0.7%

        

American Campus Communities Operating Partnership

               

3.750%, 04/15/2023

  $ 1,505     $ 1,528  

Camden Property Trust

               

2.950%, 12/15/2022

    1,490       1,503  

CyrusOne/CyrusOne Finance

               

2.900%, 11/15/2024

    1,430       1,446  

GLP Capital LP / GLP Financing II

               

5.375%, 11/01/2023

    2,803       2,919  

HCP

               

4.000%, 06/01/2025

    635       665  

Kilroy Realty

               

3.450%, 12/15/2024

    1,215       1,244  

Kimco Realty

               

3.400%, 11/01/2022

    1,350       1,366  

SL Green Operating Partnership

               

3.250%, 10/15/2022

    210       212  
                 
              10,883  
                 

Sovereign — 0.8%

        

European Investment Bank

               

0.339%, U.S. SOFR + 0.290%, 06/10/2022 (B)(C)

     13,700       13,709  
                 
                 
                 

Utilities — 2.1%

        

American Electric Power

               

2.031%, 03/15/2024

    5,795       5,782  

CenterPoint Energy

               

0.700%, SOFRINDX + 0.650%, 05/13/2024 (C)

     8,468       8,470  

Dominion Energy

               

3.300%, 03/15/2025

    1,570       1,601  

2.450%, 01/15/2023 (B)

     500       502  

0.733%, ICE LIBOR USD 3 Month + 0.530%, 09/15/2023 (C)

     7,303       7,304  

Eversource Energy

               

2.900%, 03/01/2027

    1,505       1,514  

Jersey Central Power & Light

               

4.700%, 04/01/2024 (B)

     1,545       1,606  

NextEra Energy Capital Holdings

               

0.650%, 03/01/2023

    1,250       1,238  

Southern California Edison

               

0.879%, U.S. SOFR + 0.830%, 04/01/2024 (C)

     6,679       6,692  
                 
              34,709  
                 

Total Corporate Obligations

                

(Cost $496,286) ($ Thousands)

             488,310  
                 
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES — 21.3%

Agency Mortgage-Backed Obligations — 8.8%

        

FHLMC

                

3.500%, 02/01/2034 to 12/01/2034

  $ 5,937     $ 6,184  

2.500%, 08/01/2031

     515       521  

FHLMC ARM

                

1.834%, ICE LIBOR USD 12 Month + 1.465%, 03/01/2037(C)

     9       9  

FHLMC CMO, Ser 2004-2761, Cl FT

                

0.541%, LIBOR USD 1 Month + 0.350%, 12/15/2033(C)

     31       31  

FHLMC CMO, Ser 2005-2922, Cl FE

                

0.441%, LIBOR USD 1 Month + 0.250%, 02/15/2035(C)

     616       617  

FHLMC CMO, Ser 2005-2990, Cl LK

                

0.561%, LIBOR USD 1 Month + 0.370%, 10/15/2034(C)

     761       764  

FHLMC CMO, Ser 2006-3102, Cl FB

                

0.491%, LIBOR USD 1 Month + 0.300%, 01/15/2036(C)

     346       347  

FHLMC CMO, Ser 2006-3136, Cl KF

                

0.491%, LIBOR USD 1 Month + 0.300%, 04/15/2036(C)

     347       348  

FHLMC CMO, Ser 2009-3616, Cl FG

                

0.841%, LIBOR USD 1 Month + 0.650%, 03/15/2032(C)

     365       369  

FHLMC CMO, Ser 2010-3762, Cl FP

                

0.641%, LIBOR USD 1 Month + 0.450%, 03/15/2040(C)

     83       84  

FHLMC CMO, Ser 2010-3774, Cl EW

                

3.500%, 12/15/2025

     244       251  

FHLMC CMO, Ser 2011-3867, Cl FN

                

0.541%, LIBOR USD 1 Month + 0.350%, 04/15/2040(C)

     9       9  

FHLMC CMO, Ser 2011-3895, Cl FM

                

0.541%, LIBOR USD 1 Month + 0.350%, 12/15/2040(C)

     236       237  

FHLMC CMO, Ser 2011-3940, Cl PF

                

0.541%, LIBOR USD 1 Month + 0.350%, 05/15/2040(C)

     36       36  

FHLMC CMO, Ser 2011-3946, Cl FG

                

0.541%, LIBOR USD 1 Month + 0.350%, 10/15/2039(C)

     33       33  

FHLMC CMO, Ser 2011-3960, Cl JF

                

0.641%, LIBOR USD 1 Month + 0.450%, 04/15/2041(C)

     66       66  

FHLMC CMO, Ser 2012-4048, Cl GF

                

0.541%, LIBOR USD 1 Month + 0.350%, 10/15/2040(C)

     85       85  

FHLMC CMO, Ser 2012-4094, Cl BF

                

0.591%, LIBOR USD 1 Month + 0.400%, 08/15/2032(C)

     529       529  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

353

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC CMO, Ser 2012-4102, Cl LF

                

0.441%, LIBOR USD 1 Month + 0.250%, 01/15/2040(C)

   $ 128     $ 128  

FHLMC CMO, Ser 2013-4203, Cl DM

                

3.000%, 04/15/2033

     266       272  

FHLMC CMO, Ser 2014-4379, Cl CD

                

2.500%, 04/15/2033

     260       262  

FHLMC CMO, Ser 2015-4482, Cl CA

                

3.000%, 04/15/2034

     327       328  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K037, Cl A1

                

2.592%, 04/25/2023

     246       248  

FHLMC Multifamily Structured Pass-Through Certificates, Ser K038, Cl A1

                

2.604%, 10/25/2023

     134       135  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KF34, Cl A

                

0.467%, LIBOR USD 1 Month + 0.360%, 08/25/2024(C)

     283       283  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KF37, Cl A

                

0.467%, ICE LIBOR USD 1 Month + 0.360%, 09/25/2027(C)

     139       140  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KF38, Cl A

                

0.437%, LIBOR USD 1 Month + 0.330%, 09/25/2024(C)

     472       473  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KF39, Cl A

                

0.427%, LIBOR USD 1 Month + 0.320%, 11/25/2024(C)

     271       272  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KF40, Cl A

                

0.447%, LIBOR USD 1 Month + 0.340%, 11/25/2027(C)

     105       105  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KF43, Cl A

                

0.347%, ICE LIBOR USD 1 Month + 0.240%, 01/25/2028(C)

     473       473  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KF51, Cl A

                

0.507%, ICE LIBOR USD 1 Month + 0.400%, 08/25/2025(C)

     574       575  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KF59, Cl A

                

0.647%, ICE LIBOR USD 1 Month + 0.540%, 02/25/2029(C)

     1,074       1,077  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KF66, Cl A

                

0.627%, ICE LIBOR USD 1 Month + 0.520%, 07/25/2029(C)

     886       892  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC Multifamily Structured Pass-Through Certificates, Ser KF68, Cl A

                

0.597%, ICE LIBOR USD 1 Month + 0.490%, 07/25/2026(C)

   $ 770     $ 772  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KF83, Cl AL

                

0.467%, ICE LIBOR USD 1 Month + 0.360%, 06/25/2030(C)

     1,472       1,474  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KF86, Cl AL

                

0.397%, ICE LIBOR USD 1 Month + 0.290%, 08/25/2027(C)

     960       961  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ08, Cl A2

                

2.356%, 08/25/2022

     234       235  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ24, Cl A1

                

2.283%, 05/25/2026

     772       778  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ26, Cl A1

                

2.135%, 07/25/2025

     1,977       1,986  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ29, Cl A1

                

0.735%, 01/25/2026

     1,272       1,242  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ30, Cl A1

                

0.526%, 01/25/2025

     3,220       3,161  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ31, Cl A1

                

0.569%, 05/25/2026

     1,823       1,789  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ32, Cl A1

                

0.516%, 06/25/2025

     2,518       2,467  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ34, Cl A1

                

0.681%, 06/25/2026

     1,164       1,119  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ37, Cl A1

                

1.679%, 12/25/2027

     2,535       2,506  

FHLMC Multifamily Structured Pass-Through Certificates, Ser KPLB, Cl A

                

2.770%, 05/25/2025

     900       922  

FHLMC Multifamily Structured Pass-Through Certificates, Ser Q004, Cl AFL

                

0.844%, 12 Month Treas Avg + 0.740%, 05/25/2044(C)

     494       494  

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-HQ1, Cl M3

                

4.287%, ICE LIBOR USD 1 Month + 4.100%, 08/25/2024(C)

     140       141  

FNMA

                

3.430%, 10/01/2023

     1,313       1,339  

 

 

 

354

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

3.000%, 10/01/2030 to 08/01/2035

  $ 5,439     $ 5,606  

2.977%, 01/01/2026(C)

     1,538       1,586  

2.500%, 02/01/2031 to 11/01/2034

    4,593       4,654  

2.000%, 12/01/2036

     2,097       2,084  

FNMA ACES, Ser 2016-M11, Cl AL

                

2.944%, 07/25/2039

     559       559  

FNMA CMO, Ser 2005-83, Cl FP

                

0.517%, LIBOR USD 1 Month + 0.330%, 10/25/2035(C)

     698       701  

FNMA CMO, Ser 2006-31, Cl FP

                

0.487%, LIBOR USD 1 Month + 0.300%, 05/25/2036(C)

     126       126  

FNMA CMO, Ser 2006-56, Cl FE

                

0.617%, LIBOR USD 1 Month + 0.430%, 07/25/2036(C)

     568       573  

FNMA CMO, Ser 2007-98, Cl FD

                

0.637%, LIBOR USD 1 Month + 0.450%, 06/25/2037(C)

     307       310  

FNMA CMO, Ser 2008-24, Cl PF

                

0.837%, LIBOR USD 1 Month + 0.650%, 02/25/2038(C)

     168       170  

FNMA CMO, Ser 2010-43, Cl VF

                

0.737%, LIBOR USD 1 Month + 0.550%, 05/25/2040(C)

     408       412  

FNMA CMO, Ser 2012-111, Cl NF

                

0.537%, LIBOR USD 1 Month + 0.350%, 05/25/2042(C)

     617       620  

FNMA CMO, Ser 2012-54, Cl CF

                

0.887%, LIBOR USD 1 Month + 0.700%, 05/25/2042(C)

     177       181  

FNMA CMO, Ser 2012-93, Cl GF

                

0.437%, LIBOR USD 1 Month + 0.250%, 07/25/2040(C)

     34       34  

FNMA CMO, Ser 2013-116, Cl CB

                

2.500%, 04/25/2033

     280       282  

FNMA CMO, Ser 2013-6, Cl MC

                

2.000%, 02/25/2040

     56       56  

FNMA CMO, Ser 2016-48, Cl UF

                

0.587%, LIBOR USD 1 Month + 0.400%, 08/25/2046(C)

     251       253  

FNMA CMO, Ser 2020-10, Cl FA

                

0.687%, ICE LIBOR USD 1 Month + 0.500%, 03/25/2050(C)

     1,637       1,648  

FNMA REMIC CMO, Ser 2019-79, Cl FA

                

0.687%, ICE LIBOR USD 1 Month + 0.500%, 01/25/2050(C)

     509       514  

FNMA TBA

                

3.000%, 03/15/2043 to 04/15/2051

    14,425       14,554  

2.500%, 04/01/2043

     16,025       15,774  

FREMF Mortgage Trust, Ser K21, Cl B

                

3.917%, 07/25/2045(B)(C)

     2,181       2,189  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FREMF Mortgage Trust, Ser K28, Cl B

                

3.489%, 06/25/2046(B)(C)

   $ 2,855     $ 2,899  

FREMF Mortgage Trust, Ser K33, Cl B

                

3.496%, 08/25/2046(B)(C)

     2,000       2,032  

FREMF Mortgage Trust, Ser K35, Cl B

                

3.934%, 12/25/2046(B)(C)

     3,175       3,261  

FREMF Mortgage Trust, Ser K37, Cl B

                

4.560%, 01/25/2047(B)(C)

     1,000       1,036  

GNMA

                

3.550%, 10/15/2050

     2,090       2,092  

3.000%, 01/20/2027 to 02/20/2028

    1,655       1,697  

GNMA ARM

                

2.000%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.500%, 02/20/2041(C)

     94       98  

GNMA CMO, Ser 2007-1, Cl F

                

0.462%, LIBOR USD 1 Month + 0.300%, 01/20/2037(C)

     430       431  

GNMA CMO, Ser 2010-98, Cl QF

                

0.562%, LIBOR USD 1 Month + 0.400%, 01/20/2040(C)

     342       342  

GNMA CMO, Ser 2011-151, Cl BF

                

0.512%, LIBOR USD 1 Month + 0.350%, 04/20/2041(C)

     351       353  

GNMA CMO, Ser 2012-77, Cl FM

                

0.796%, LIBOR USD 1 Month + 0.670%, 11/16/2039(C)

     572       578  

GNMA TBA

                

2.500%, 03/15/2051

     14,675       14,663  

2.000%, 03/15/2051

     4,375       4,277  

GNMA, Ser 2008-92, Cl E

                

5.556%, 03/16/2044(C)

     496       505  

GNMA, Ser 2010-159, Cl D

                

4.298%, 09/16/2044(C)

     1,341       1,348  

GNMA, Ser 23, Cl D

                

3.488%, 07/16/2049(C)

     734       738  

UMBS TBA

                

2.500%, 03/15/2051

     7,625       7,523  

2.000%, 03/15/2051 to 04/15/2051

    11,925       11,419  
                 
                 
              145,747  

Mortgage Related Securities — 0.2%

        

Bravo Mortgage Asset Trust, Ser 2006-1A, Cl A2

                

0.588%, ICE LIBOR USD 1 Month + 0.240%, 07/25/2036(B)(C)

     7       –  

Centex Home Equity Loan Trust, Ser 2006-A, Cl M1

                

0.637%, ICE LIBOR USD 1 Month + 0.450%, 06/25/2036(C)

     1,033       1,029  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

355

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GSAA Home Equity Trust, Ser 2005-6, Cl M1

                

0.832%, ICE LIBOR USD 1 Month + 0.645%, 06/25/2035(C)

   $ 1,740     $ 1,751  

GSAA Home Equity Trust, Ser 2005-MTR1, Cl A4

                

0.927%, ICE LIBOR USD 1 Month + 0.740%, 10/25/2035(C)

     379       379  

GSAA Home Equity Trust, Ser 2007-8, Cl A3

                

1.087%, ICE LIBOR USD 1 Month + 0.900%, 08/25/2037(C)

     708       711  
                 
                 
              3,870  

Non-Agency Mortgage-Backed Obligations — 12.3%

        

Banc of America Commercial Mortgage Trust, Ser BNK3, Cl ASB

                

3.366%, 02/15/2050

     1,525       1,561  

BBCMS Mortgage Trust, Ser C7, Cl A1

                

1.079%, 04/15/2053

     1,129       1,108  

Benchmark Mortgage Trust, Ser 2018-B1, Cl A2

                

3.571%, 01/15/2051

     638       643  

Benchmark Mortgage Trust, Ser B19, Cl A1

                

0.628%, 09/15/2053

     592       580  

Benchmark Mortgage Trust, Ser B5, Cl A2

                

4.077%, 07/15/2051

     1,750       1,781  

Braemar Hotels & Resorts Trust, Ser 2018-PRME, Cl A

                

1.011%, ICE LIBOR USD 1 Month + 0.820%, 06/15/2035(B)(C)

     2,777       2,754  

BX Commercial Mortgage Trust, Ser 2019-XL, Cl A

                

1.111%, ICE LIBOR USD 1 Month + 0.920%, 10/15/2036(B)(C)

     2,059       2,050  

BX Commercial Mortgage Trust, Ser 2019-XL, Cl B

                

1.271%, ICE LIBOR USD 1 Month + 1.080%, 10/15/2036(B)(C)

     2,809       2,784  

BX Commercial Mortgage Trust, Ser 2020-FOX, Cl A

                

1.191%, ICE LIBOR USD 1 Month + 1.000%, 11/15/2032(B)(C)

     1,922       1,910  

BX Commercial Mortgage Trust, Ser SOAR, Cl B

                

1.061%, ICE LIBOR USD 1 Month + 0.870%, 06/15/2038(B)(C)

     4,000       3,907  

BX Commercial Mortgage Trust, Ser VINO, Cl B

                

1.043%, ICE LIBOR USD 1 Month + 0.852%, 05/15/2038(B)(C)

     3,600       3,514  

CD Commercial Mortgage Trust, Ser 2016-CD1, Cl ASB

                

2.622%, 08/10/2049

     6,267       6,305  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

CD Commercial Mortgage Trust, Ser 2017-CD4, Cl ASB

                

3.317%, 05/10/2050

   $ 2,096     $ 2,144  

CHC Commercial Mortgage Trust, Ser 2019-CHC, Cl A

                

1.311%, ICE LIBOR USD 1 Month + 1.120%, 06/15/2034(B)(C)

     2,944       2,910  

CIT Mortgage Loan Trust, Ser 2007-1, Cl 1A

                

1.537%, ICE LIBOR USD 1 Month + 1.350%, 10/25/2037(B)(C)

     310       311  

Citigroup Commercial Mortgage Trust, Ser 2015-GC31, Cl AAB

                

3.431%, 06/10/2048

     1,275       1,300  

Citigroup Commercial Mortgage Trust, Ser 2015-GC35, Cl AAB

                

3.608%, 11/10/2048

     4,734       4,832  

Citigroup Commercial Mortgage Trust, Ser GC37, Cl AAB

                

3.098%, 04/10/2049

     1,633       1,660  

Citigroup Commercial Mortgage Trust, Ser P4, Cl A2

                

2.450%, 07/10/2049

     434       435  

Citigroup Commercial Mortgage Trust, Ser SMRT, Cl A

                

4.149%, 01/10/2036(B)

     375       385  

Citigroup Commercial Mortgage Trust, Ser WSS, Cl A

                

2.141%, ICE LIBOR USD 1 Month + 1.950%, 02/15/2039(B)(C)

     2,637       2,635  

COMM Mortgage Trust, Ser 2012-CR2, Cl A4

                

3.147%, 08/15/2045

     1,040       1,040  

COMM Mortgage Trust, Ser 2012-CR3, Cl A3

                

2.822%, 10/15/2045

     3,099       3,099  

COMM Mortgage Trust, Ser 2013-CR11, Cl ASB

                

3.660%, 08/10/2050

     145       147  

COMM Mortgage Trust, Ser 2013-CR9, Cl ASB

                

3.834%, 07/10/2045

     401       406  

COMM Mortgage Trust, Ser 2013-LC6, Cl ASB

                

2.478%, 01/10/2046

     –       –  

COMM Mortgage Trust, Ser 2014-UBS5, Cl A2

                

3.031%, 09/10/2047

     152       153  

COMM Mortgage Trust, Ser 2014-UBS6, Cl ASB

                

3.387%, 12/10/2047

     1,120       1,139  

Comm Mortgage Trust, Ser CR13, Cl A3

                

3.928%, 11/10/2046

     889       903  

COMM Mortgage Trust, Ser CR2, Cl A3

                

2.841%, 08/15/2045(B)

     1,345       1,343  

 

 

 

356

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

COMM Mortgage Trust, Ser PC1, Cl A4

                

3.620%, 07/10/2050

   $ 1,474     $ 1,493  

COMM Mortgage Trust, Ser UBS5, Cl A3

                

3.565%, 09/10/2047

     1,900       1,929  

Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl B

                

1.421%, ICE LIBOR USD 1 Month + 1.230%, 05/15/2036(B)(C)

     5,520       5,465  

Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl A

                

1.171%, ICE LIBOR USD 1 Month + 0.980%, 05/15/2036(B)(C)

     2,925       2,902  

CSAIL Commercial Mortgage Trust, Ser 2016-C5, Cl ASB

                

3.533%, 11/15/2048

     40       41  

DBCG Mortgage Trust, Ser 2017-BBG, Cl A

                

0.891%, ICE LIBOR USD 1 Month + 0.700%, 06/15/2034(B)(C)

     4,400       4,344  

DBJPM Mortgage Trust, Ser C3, Cl ASB

                

2.756%, 08/10/2049

     1,697       1,714  

DBWF Mortgage Trust, Ser AMXP, Cl A

                

3.747%, 05/05/2035(B)(C)

     1,800       1,796  

Extended Stay America Trust, Ser ESH, Cl B

                

1.572%, ICE LIBOR USD 1 Month + 1.380%, 07/15/2038(B)(C)

     1,093       1,080  

First Franklin Mortgage Loan Trust, Ser 2006-FF18, Cl A1

                

0.297%, ICE LIBOR USD 1 Month + 0.110%, 12/25/2037(C)

     2,354       2,306  

GCAT Trust, Ser 2021-NQM6, Cl A1

                

1.855%, 08/25/2066(B)(C)

     3,963       3,883  

Gosforth Funding, Ser 2018-1A, Cl A1

                

0.948%, ICE LIBOR USD 3 Month + 0.450%, 08/25/2060(B)(C)

     177       177  

GS Mortgage Securities II, Ser 2018-GS10, Cl A1

                

3.199%, 07/10/2051

     598       602  

GS Mortgage Securities Trust, Ser 2013-GC13, Cl AAB

                

3.719%, 07/10/2046(C)

     252       255  

GS Mortgage Securities Trust, Ser 2013-GC14, Cl AAB

                

3.817%, 08/10/2046

     330       335  

GS Mortgage Securities Trust, Ser 2016-GS3, Cl AAB

                

2.777%, 10/10/2049

     1,176       1,187  

GS Mortgage Securities Trust, Ser 2021-RENT, Cl A

                

0.862%, ICE LIBOR USD 1 Month + 0.700%, 11/21/2035(B)(C)

     2,969       2,936  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

GS Mortgage Securities Trust, Ser GC14, Cl A4

                

3.955%, 08/10/2046

   $ 1,340     $ 1,357  

GS Mortgage Securities Trust, Ser GCJ7, Cl AS

                

4.085%, 05/10/2045

     409       409  

GS Mortgage Securities Trust, Ser GS9, Cl A2

                

3.839%, 03/10/2051

     1,016       1,026  

GS Mortgage Securities, Ser ALOH, Cl A

                

3.551%, 04/10/2034(B)

     3,564       3,556  

GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, Cl A1A

                

3.750%, 10/25/2057(B)

     936       952  

JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl ASB

                

3.705%, 01/15/2047

     155       157  

JPMBB Commercial Mortgage Securities Trust, Ser 2014-C21, Cl ASB

                

3.428%, 08/15/2047

     481       488  

JPMBB Commercial Mortgage Securities Trust, Ser C31, Cl ASB

                

3.540%, 08/15/2048

     1,771       1,808  

JPMDB Commercial Mortgage Securities Trust, Ser 2016-C2, Cl ASB

                

2.954%, 06/15/2049

     762       772  

JPMDB Commercial Mortgage Securities Trust, Ser C8, Cl A2

                

4.031%, 06/15/2051

     1,686       1,713  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-C6, Cl A3

                

3.507%, 05/15/2045

     218       218  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-C8, Cl ASB

                

2.379%, 10/15/2045

     71       71  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-LC11, Cl ASB

                

2.554%, 04/15/2046

     712       715  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser JP3, Cl ASB

                

2.777%, 08/15/2049

     2,569       2,594  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser MARG, Cl A

                

1.291%, ICE LIBOR USD 1 Month + 1.100%, 05/15/2034(B)(C)

     1,418       1,410  

JPMorgan Wealth Management, Ser 2021-CL1, Cl M1

                

1.349%, SOFR30A + 1.300%, 03/25/2051(B)(C)

     3,056       3,045  

LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2

                

2.579%, 03/10/2049(B)

     8,181       8,212  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

357

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Mello Warehouse Securitization Trust, Ser 2021-2, Cl A

                

0.937%, ICE LIBOR USD 1 Month + 0.750%, 04/25/2055(B)(C)

   $ 5,525     $ 5,478  

Merrill Lynch Mortgage Investors Trust, Ser 2004-A, Cl A1

                

0.647%, ICE LIBOR USD 1 Month + 0.460%, 04/25/2029(C)

     250       243  

MHC Commercial Mortgage Trust, Ser 2021-MHC, Cl B

                

1.292%, ICE LIBOR USD 1 Month + 1.101%, 04/15/2038(B)(C)

     11,040       10,874  

Mill City Mortgage Loan Trust, Ser 2021-NMR1, Cl A1

                

1.125%, 11/25/2060(B)(C)

     3,359       3,298  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Cl A4

                

3.176%, 08/15/2045

     –       –  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C13, Cl ASB

                

3.557%, 11/15/2046

     159       161  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2014-C15, Cl A3

                

3.773%, 04/15/2047

     334       340  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2014-C18, Cl ASB

                

3.621%, 10/15/2047

     269       274  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C26, Cl ASB

                

3.323%, 10/15/2048

     566       576  

Nationstar Home Equity Loan Trust, Ser 2007-A, Cl AV4

                

0.417%, ICE LIBOR USD 1 Month + 0.230%, 03/25/2037(C)

     390       387  

Nationstar Home Equity Loan Trust, Ser 2007-B, Cl 2AV4

                

0.507%, ICE LIBOR USD 1 Month + 0.320%, 04/25/2037(C)

     862       856  

Newcastle Mortgage Securities Trust, Ser 2007-1, Cl 1A1

                

0.377%, ICE LIBOR USD 1 Month + 0.190%, 04/25/2037(C)

     1,942       1,892  

OBX Trust, Ser 2022-NQM1, Cl A1

                

2.305%, 11/25/2061(B)(C)

     6,805       6,728  

One Market Plaza Trust, Ser 1MKT, Cl A

                

3.614%, 02/10/2032(B)

     1,500       1,493  

Option One Mortgage Loan Trust, Ser 2006-1, Cl 1A1

                

0.627%, ICE LIBOR USD 1 Month + 0.440%, 01/25/2036(C)

     56       56  

PRKCM Trust, Ser 2021-AFC2, Cl A1

                

2.071%, 11/25/2056(B)(C)

     6,396       6,207  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

RASC Trust, Ser 2006-KS6, Cl A4

                

0.437%, ICE LIBOR USD 1 Month + 0.250%, 08/25/2036(C)

   $ 407     $ 406  

RBS Commercial Funding Trust, Ser GSP, Cl A

                

3.834%, 01/15/2032(B)(C)

     2,010       2,043  

SBALR Commercial Mortgage Trust, Ser 2020-RR1, Cl A1

                

2.025%, 02/13/2053(B)

     1,945       1,941  

SREIT Trust, Ser MFP, Cl A

                

0.922%, ICE LIBOR USD 1 Month + 0.731%, 11/15/2038(B)(C)

     3,270       3,205  

Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF2, Cl M1

                

0.757%, ICE LIBOR USD 1 Month + 0.570%, 05/25/2035(C)

     217       216  

Structured Asset Securities Mortgage Loan Trust, Ser 2006-WF3, Cl M1

                

0.437%, ICE LIBOR USD 1 Month + 0.250%, 09/25/2036(C)

     607       604  

Terwin Mortgage Trust, Ser 2006-3, Cl 1A2

                

0.647%, ICE LIBOR USD 1 Month + 0.460%, 04/25/2037(B)(C)

     322       321  

Towd Point Mortgage Trust, Ser 2019-HY2, Cl A1

                

1.187%, ICE LIBOR USD 1 Month + 1.000%, 05/25/2058(B)(C)

     2,620       2,628  

Towd Point Mortgage Trust, Ser 2020-4, Cl A1

                

1.750%, 10/25/2060(B)

     1,503       1,476  

Towd Point Mortgage Trust, Ser 2021-1, Cl A1

                

2.250%, 11/25/2061(B)(C)

     2,262       2,249  

Towd Point Mortgage Trust, Ser 2021-SJ1, Cl A1

                

2.250%, 07/25/2068(B)(C)

     1,380       1,377  

TTAN, Ser 2021-MHC, Cl A

                

1.042%, ICE LIBOR USD 1 Month + 0.850%, 03/15/2038(B)(C)

     4,369       4,298  

TTAN, Ser 2021-MHC, Cl B

                

1.292%, ICE LIBOR USD 1 Month + 1.100%, 03/15/2038(B)(C)

     3,794       3,726  

UBS Commercial Mortgage Trust, Ser 2017-C6, Cl ASB

                

3.504%, 12/15/2050

     500       514  

UBS Commercial Mortgage Trust, Ser 2019-C16, Cl A1

                

2.739%, 04/15/2052

     1,252       1,259  

UBS Commercial Mortgage Trust, Ser C12, Cl A2

                

4.152%, 08/15/2051

     2,200       2,234  

 

 

 

358

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4

                

3.525%, 05/10/2063

   $ –     $ –  

WaMu Mortgage Pass-Through Certificates, Ser 2005-AR15, Cl A1A1

                

0.707%, ICE LIBOR USD 1 Month + 0.520%, 11/25/2045(C)

     1,045       1,027  

Wells Fargo Commercial Mortgage Trust, Ser 2016-C32, Cl ASB

                

3.324%, 01/15/2059

     395       403  

Wells Fargo Commercial Mortgage Trust, Ser 2016-C34, Cl A2

                

2.603%, 06/15/2049

     1,409       1,409  

Wells Fargo Commercial Mortgage Trust, Ser 2016-C36, Cl A2

                

2.504%, 11/15/2059

     128       127  

Wells Fargo Commercial Mortgage Trust, Ser 2016-LC24, Cl A2

                

2.501%, 10/15/2049

     47       47  

Wells Fargo Commercial Mortgage Trust, Ser 2016-NXS5, Cl A2

                

2.711%, 01/15/2059

     7       7  

Wells Fargo Commercial Mortgage Trust, Ser 2020-C56, Cl A1

                

1.341%, 06/15/2053

     1,495       1,479  

Wells Fargo Commercial Mortgage Trust, Ser BNK1, Cl ASB

                

2.514%, 08/15/2049

     812       816  

Wells Fargo Commercial Mortgage Trust, Ser C28, Cl A3

                

3.290%, 05/15/2048

     2,052       2,074  

Wells Fargo Commercial Mortgage Trust, Ser C34, Cl ASB

                

2.911%, 06/15/2049

     2,169       2,192  

Wells Fargo Commercial Mortgage Trust, Ser C41, Cl ASB

                

3.390%, 11/15/2050

     1,100       1,131  

Wells Fargo Commercial Mortgage Trust, Ser C57, Cl A1

                

0.903%, 08/15/2053

     1,997       1,940  

Wells Fargo Commercial Mortgage Trust, Ser FCMT, Cl A

                

1.391%, ICE LIBOR USD 1 Month + 1.200%, 05/15/2031(B)(C)

     1,450       1,436  

Wells Fargo Commercial Mortgage Trust, Ser LC16, Cl A4

                

3.548%, 08/15/2050

     1,886       1,891  

Wells Fargo Commercial Mortgage Trust, Ser LC20, Cl A2

                

2.678%, 04/15/2050

     638       638  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

WFRBS Commercial Mortgage Trust, Ser 2012-C10, Cl A3

                

2.875%, 12/15/2045

   $ 1,376     $ 1,381  

WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl A2

                

3.431%, 06/15/2045

     953       953  

WFRBS Commercial Mortgage Trust, Ser 2012-C8, Cl A3

                

3.001%, 08/15/2045

     1,233       1,234  

WFRBS Commercial Mortgage Trust, Ser C18, Cl A4

                

3.896%, 12/15/2046

     1,254       1,280  
                 
                 
              203,512  

Total Mortgage-Backed Securities

                

(Cost $357,571) ($ Thousands)

             353,129  
                 
                 
                 

ASSET-BACKED SECURITIES — 13.7%

Automotive — 2.6%

        
         

ARI Fleet Lease Trust, Ser 2019-A, Cl A2A

                

2.410%, 11/15/2027 (B)

     363       364  

Chesapeake Funding II LLC, Ser 2019-1A, Cl A1

                

2.940%, 04/15/2031 (B)

     1,372       1,375  

Credit Acceptance Auto Loan Trust, Ser 2019-3A, Cl B

                

2.860%, 01/16/2029 (B)

     500       502  

Credit Acceptance Auto Loan Trust, Ser 2020-1A, Cl B

                

2.390%, 04/16/2029 (B)

     3,690       3,699  

Donlen Fleet Lease Funding 2 LLC, Ser 2021-2, Cl A1

                

0.456%, ICE LIBOR USD 1 Month + 0.330%, 12/11/2034 (B)(C)

     3,240       3,233  

Donlen Fleet Lease Funding 2 LLC, Ser 2021-2, Cl B

                

0.980%, 12/11/2034 (B)

     1,000       974  

DT Auto Owner Trust, Ser 2022-1A, Cl B

                

2.430%, 09/15/2026 (B)

     4,770       4,782  

Enterprise Fleet Funding LLC, Ser 2021-1, Cl A3

                

0.700%, 12/21/2026 (B)

     360       348  

GM Financial Automobile Leasing Trust, Ser 2020-3, Cl B

                

0.760%, 10/21/2024

    300       297  

JPMorgan Chase Bank - CACLN, Ser 2020-1, Cl B

                

0.991%, 01/25/2028 (B)

     2,140       2,131  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

359

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

JPMorgan Chase Bank - CACLN, Ser 2020-2, Cl B

                

0.840%, 02/25/2028 (B)

   $ 940     $ 934  

Santander Consumer Auto Receivables Trust, Ser 2020-BA, Cl A4

                

0.540%, 04/15/2025 (B)

     7,700       7,653  

Santander Consumer Auto Receivables Trust, Ser 2020-BA, Cl B

                

0.770%, 12/15/2025 (B)

     4,710       4,658  

Santander Retail Auto Lease Trust, Ser 2020-A, Cl B

                

1.880%, 03/20/2024 (B)

     750       753  

Tidewater Auto Receivables Trust, Ser 2020-AA, Cl A2

                

1.390%, 08/15/2024 (B)

     169       169  

Westlake Automobile Receivables Trust, Ser 2020-3A, Cl B

                

0.780%, 11/17/2025 (B)

     5,215       5,190  

Wheels SPV 2 LLC, Ser 2020-1A, Cl A3

                

0.620%, 08/20/2029 (B)

     4,110       4,034  

World Omni Auto Receivables Trust, Ser 2021-B, Cl B

                

1.040%, 06/15/2027

    3,050       2,973  
              44,069  
                 

Credit Cards — 0.0%

        
         

Master Credit Card Trust, Ser 2021-1A, Cl B

                

0.790%, 11/21/2025 (B)

     550       533  
                 
                 

Other Asset-Backed Securities — 11.1%

        
         

Ameriquest Mortgage Securities Asset-Backed Pass-Through, Ser 2005-R9, Cl M1

                

0.892%, ICE LIBOR USD 1 Month + 0.705%, 11/25/2035 (C)

     1,876       1,867  

BANK, Ser BN14, Cl A2

                

4.128%, 09/15/2060

    494       503  

BANK, Ser BN28, Cl A1

                

0.628%, 03/15/2063

    483       469  

BANK, Ser BNK7, Cl A2

                

3.061%, 09/15/2060

    1,055       1,056  

BANK, Ser BNK7, Cl ASB

                

3.265%, 09/15/2060

    2,750       2,815  

BANK, Ser BNK8, Cl ASB

                

3.314%, 11/15/2050

    2,230       2,288  

Barings CLO, Ser 2017-IA, Cl AR

                

1.054%, ICE LIBOR USD 3 Month + 0.800%, 01/20/2028 (B)(C)

     1,528       1,527  

Barings CLO, Ser 2018-3A, Cl A1

                

1.204%, ICE LIBOR USD 3 Month + 0.950%, 07/20/2029 (B)(C)

     624       623  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

BBCMS Trust, Ser BXH, Cl A

                

1.191%, ICE LIBOR USD 1 Month + 1.000%, 10/15/2037 (B)(C)

   $ 1,200     $ 1,185  

Bear Stearns Asset Backed Securities I Trust, Ser 2005-HE11, Cl M2

                

0.862%, ICE LIBOR USD 1 Month + 0.675%, 11/25/2035 (C)

     109       109  

Bear Stearns Asset Backed Securities I Trust, Ser 2005-HE6, Cl M2

                

1.192%, ICE LIBOR USD 1 Month + 1.005%, 06/25/2035 (C)

     463       462  

BSPRT Issuer, Ser 2018-FL4, Cl A

                

1.241%, ICE LIBOR USD 1 Month + 1.050%, 09/15/2035 (B)(C)

     54       54  

BSPRT Issuer, Ser 2019-FL5, Cl A

                

1.341%, ICE LIBOR USD 1 Month + 1.150%, 05/15/2029 (B)(C)

     2,649       2,638  

Carlyle Global Market Strategies CLO, Ser 2021-1A, Cl AR3

                

1.234%, ICE LIBOR USD 3 Month + 0.980%, 07/20/2031 (B)(C)

     4,500       4,483  

CARLYLE US CLO, Ser 2021-1A, Cl X

                

1.254%, ICE LIBOR USD 3 Month + 1.000%, 07/20/2034 (B)(C)

     1,250       1,249  

Cedar Funding II CLO, Ser 2021-1A, Cl AXR

                

1.104%, ICE LIBOR USD 3 Month + 0.850%, 04/20/2034 (B)(C)

     2,742       2,743  

CNH Equipment Trust, Ser 2020-A, Cl A3

                

1.160%, 06/16/2025

    1,944       1,941  

Countrywide Asset-Backed Certificates, Ser 2006-BC4, Cl 2A3

                

0.667%, ICE LIBOR USD 1 Month + 0.480%, 11/25/2036 (C)

     1,551       1,538  

Credit-Based Asset Servicing & Securitization LLC, Ser 2005-CB3, Cl M3

                

1.162%, ICE LIBOR USD 1 Month + 0.975%, 06/25/2035 (C)

     451       449  

Dryden 33 Senior Loan Fund, Ser 2020-33A, Cl AR3

                

1.241%, ICE LIBOR USD 3 Month + 1.000%, 04/15/2029 (B)(C)

     961       960  

EFS Volunteer No. 3 LLC, Ser 2012-1, Cl A3

                

1.187%, ICE LIBOR USD 1 Month + 1.000%, 04/25/2033 (B)(C)

     1,340       1,340  

First Franklin Mortgage Loan Trust, Ser 2006-FF9, Cl 1A

                

0.437%, ICE LIBOR USD 1 Month + 0.250%, 06/25/2036 (C)

     2,371       2,356  

Ford Credit Floorplan Master Owner Trust A, Ser 2019-4, Cl A

                

2.440%, 09/15/2026

    12,000       12,088  

 

 

 

360

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

FS Rialto, Ser 2019-FL1, Cl A

                

1.326%, ICE LIBOR USD 1 Month + 1.200%, 12/16/2036 (B)(C)

   $ 1,537     $ 1,533  

Galaxy XXIII CLO, Ser 2021-23A, Cl AR

                

1.129%, ICE LIBOR USD 3 Month + 0.870%, 04/24/2029 (B)(C)

     4,165       4,162  

GPMT, Ser 2019-FL2, Cl A

                

1.471%, ICE LIBOR USD 1 Month + 1.300%, 02/22/2036 (B)(C)

     779       779  

GSAMP Trust, Ser 2006-HE3, Cl A2C

                

0.507%, ICE LIBOR USD 1 Month + 0.320%, 05/25/2046 (C)

     518       516  

Hilton Grand Vacations Trust, Ser 2020-AA, Cl A

                

2.740%, 02/25/2039 (B)

     2,266       2,268  

HPS Loan Management, Ser 2021-16, Cl X

                

1.154%, ICE LIBOR USD 3 Month + 0.900%, 04/20/2034 (B)(C)

     600       600  

HSI Asset Securitization Trust, Ser 2006-OPT1, Cl M1

                

0.727%, ICE LIBOR USD 1 Month + 0.540%, 12/25/2035 (C)

     1,597       1,589  

ICG US CLO, Ser 2021-1A, Cl XRR

                

0.978%, ICE LIBOR USD 3 Month + 0.700%, 07/28/2034 (B)(C)

     1,564       1,563  

Invitation Homes Trust, Ser 2018-SFR2, Cl B

                

1.271%, ICE LIBOR USD 1 Month + 1.080%, 06/17/2037 (B)(C)

     2,000       1,983  

JPMorgan Mortgage Acquisition Trust, Ser 2007-CH4, Cl A5

                

0.427%, ICE LIBOR USD 1 Month + 0.240%, 05/25/2037 (C)

     2,284       2,268  

JPMorgan Mortgage Acquisition Trust, Ser 2007-CH4, Cl M1

                

0.417%, ICE LIBOR USD 1 Month + 0.230%, 05/25/2037 (C)

     3,000       2,900  

JPMorgan Mortgage Acquisition Trust, Ser 2007-CH5, Cl A1

                

0.347%, ICE LIBOR USD 1 Month + 0.160%, 06/25/2037 (C)

     2,690       2,671  

LCM XXIV, Ser 2021-24A, Cl AR

                

1.234%, ICE LIBOR USD 3 Month + 0.980%, 03/20/2030 (B)(C)

     1,180       1,178  

LMREC, Ser 2019-CRE3, Cl A

                

1.587%, ICE LIBOR USD 1 Month + 1.400%, 12/22/2035 (B)(C)

     2,320       2,309  

LoanCore Issuer, Ser 2018-CRE1, Cl A

                

1.321%, ICE LIBOR USD 1 Month + 1.130%, 05/15/2028 (B)(C)

     1,241       1,232  

LoanCore Issuer, Ser 2018-CRE1, Cl AS

                

1.691%, ICE LIBOR USD 1 Month + 1.500%, 05/15/2028 (B)(C)

     1,034       1,033  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

LoanCore Issuer, Ser 2019-CRE2, Cl AS

                

1.691%, ICE LIBOR USD 1 Month + 1.500%, 05/15/2036 (B)(C)

   $ 1,900     $ 1,890  

LoanCore Issuer, Ser CRE3, Cl A

                

1.241%, ICE LIBOR USD 1 Month + 1.050%, 04/15/2034 (B)(C)

     1,414       1,411  

Madison Park Funding LII, Ser 2021-52A, Cl X

                

0.993%, ICE LIBOR USD 3 Month + 0.900%, 01/22/2035 (B)(C)

     2,500       2,498  

Madison Park Funding XIX, Ser 2020-19A, Cl A1R2

                

1.179%, ICE LIBOR USD 3 Month + 0.920%, 01/22/2028 (B)(C)

     1,121       1,121  

Madison Park Funding XVII, Ser 2021-17A, Cl AR2

                

1.255%, ICE LIBOR USD 3 Month + 1.000%, 07/21/2030 (B)(C)

     2,000       1,991  

Magnetite XVI, Ser 2018-16A, Cl AR

                

1.041%, ICE LIBOR USD 3 Month + 0.800%, 01/18/2028 (B)(C)

     689       686  

Magnetite XVIII, Ser 2021-18A, Cl AR2

                

1.386%, ICE LIBOR USD 3 Month + 0.880%, 11/15/2028 (B)(C)

     2,560       2,555  

MF1, Ser 2020-FL4, Cl A

                

1.885%, TSFR1M + 1.814%, 11/15/2035 (B)(C)

     890       893  

MF1, Ser FL3, Cl A

                

2.264%, TSFR1M + 2.164%, 07/15/2035 (B)(C)

     183       183  

MMAF Equipment Finance LLC, Ser 2020-BA, Cl A3

                

0.490%, 08/14/2025 (B)

     2,770       2,711  

Morgan Stanley ABS Capital I Trust, Ser 2007-HE7, Cl A2B

                

1.187%, ICE LIBOR USD 1 Month + 1.000%, 07/25/2037 (C)

     1,965       1,959  

MVW LLC, Ser 2021-1WA, Cl A

                

1.140%, 01/22/2041 (B)

     2,809       2,721  

Nationstar HECM Loan Trust, Ser 2006-B, Cl AV4

                

0.467%, ICE LIBOR USD 1 Month + 0.280%, 09/25/2036 (C)

     98       98  

Navient Private Education Refi Loan Trust, Ser 2019-GA, Cl A

                

2.400%, 10/15/2068 (B)

     7,226       7,235  

Navient Private Education Refi Loan Trust, Ser 2020-DA, Cl A

                

1.690%, 05/15/2069 (B)

     2,885       2,859  

Navient Private Education Refi Loan Trust, Ser 2020-FA, Cl A

                

1.220%, 07/15/2069 (B)

     4,575       4,490  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

361

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Navient Private Education Refi Loan Trust, Ser 2020-GA, Cl A

                

1.170%, 09/16/2069 (B)

   $ 763     $ 753  

Navient Private Education Refi Loan Trust, Ser 2020-HA, Cl A

                

1.310%, 01/15/2069 (B)

     2,940       2,880  

Navient Private Education Refi Loan Trust, Ser 2021-A, Cl A

                

0.840%, 05/15/2069 (B)

     2,281       2,216  

Navient Private Education Refi Loan Trust, Ser 2021-BA, Cl A

                

0.940%, 07/15/2069 (B)

     5,280       5,107  

Navient Student Loan Trust, Ser 2015-2, Cl A3

                

0.757%, ICE LIBOR USD 1 Month + 0.570%, 11/26/2040 (C)

     829       817  

Navient Student Loan Trust, Ser 2017-2A, Cl A

                

1.237%, ICE LIBOR USD 1 Month + 1.050%, 12/27/2066 (B)(C)

     695       694  

Navient Student Loan Trust, Ser 2017-3A, Cl A2

                

0.787%, ICE LIBOR USD 1 Month + 0.600%, 07/26/2066 (B)(C)

     765       765  

Navient Student Loan Trust, Ser 2018-3A, Cl A2

                

0.607%, ICE LIBOR USD 1 Month + 0.420%, 03/25/2067 (B)(C)

     509       508  

Nelnet Student Loan Trust, Ser 2012-5A, Cl A

                

0.787%, ICE LIBOR USD 1 Month + 0.600%, 10/27/2036 (B)(C)

     295       289  

Nelnet Student Loan Trust, Ser 2021-A, Cl APT1

                

1.360%, 04/20/2062 (B)

     8,197       7,861  

One New York Plaza Trust, Ser 1NYP, Cl A

                

1.141%, ICE LIBOR USD 1 Month + 0.950%, 01/15/2036 (B)(C)

     952       940  

Palmer Square CLO, Ser 2018-1A, Cl A1

                

1.271%, ICE LIBOR USD 3 Month + 1.030%, 04/18/2031 (B)(C)

     500       499  

Palmer Square Loan Funding, Ser 2020-2A, Cl A1

                

1.254%, ICE LIBOR USD 3 Month + 1.000%, 04/20/2028 (B)(C)

     457       457  

Palmer Square Loan Funding, Ser 2021-2A, Cl A1

                

1.280%, ICE LIBOR USD 3 Month + 0.800%, 05/20/2029 (B)(C)

     922       920  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Park Place Securities Asset-Backed Pass-Through Certificates, Ser 2005-WCW3, Cl M1

                

0.907%, ICE LIBOR USD 1 Month + 0.720%, 08/25/2035 (C)

   $ 944     $ 965  

People's Choice Home Loan Securities Trust, Ser 2005-4, Cl 1A3

                

0.867%, ICE LIBOR USD 1 Month + 0.680%, 12/25/2035 (C)

     2,079       2,034  

PFS Financing, Ser 2022-B, Cl A

                

0.648%, SOFR30A + 0.600%, 02/17/2026 (B)(C)

     2,400       2,400  

PHEAA Student Loan Trust, Ser 2016-1A, Cl A

                

1.337%, ICE LIBOR USD 1 Month + 1.150%, 09/25/2065 (B)(C)

     1,285       1,294  

Progress Residential Trust, Ser 2019-SFR2, Cl A

                

3.147%, 05/17/2036 (B)

     989       974  

Progress Residential Trust, Ser 2020-SFR2, Cl A

                

2.078%, 06/17/2037 (B)

     1,879       1,847  

RAMP Series Trust, Ser 2006-NC2, Cl A3

                

0.767%, ICE LIBOR USD 1 Month + 0.580%, 02/25/2036 (C)

     668       665  

RAMP Series Trust, Ser 2006-RZ4, Cl A3

                

0.457%, ICE LIBOR USD 1 Month + 0.270%, 10/25/2036 (C)

     340       340  

Reese Park CLO, Ser 2021-1A, Cl XR

                

1.141%, ICE LIBOR USD 3 Month + 0.900%, 10/15/2034 (B)(C)

     1,098       1,098  

Saxon Asset Securities Trust, Ser 2006-3, Cl A3

                

0.357%, ICE LIBOR USD 1 Month + 0.170%, 10/25/2046 (C)

     2,360       2,327  

Sequoia Infrastructure Funding I, Ser 2021-1A, Cl A

                

1.641%, ICE LIBOR USD 3 Month + 1.400%, 04/15/2031 (B)(C)

     4,861       4,858  

Sierra Timeshare Receivables Funding LLC, Ser 2019-1A, Cl A

                

3.200%, 01/20/2036 (B)

     1,262       1,279  

Sierra Timeshare Receivables Funding LLC, Ser 2019-3A, Cl A

                

2.340%, 08/20/2036 (B)

     969       966  

SLC Student Loan Trust, Ser 2005-3, Cl A3

                

0.323%, ICE LIBOR USD 3 Month + 0.120%, 06/15/2029 (C)

     634       632  

SLC Student Loan Trust, Ser 2007-1, Cl A4

                

0.566%, ICE LIBOR USD 3 Month + 0.060%, 05/15/2029 (C)

     826       817  

 

 

 

362

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

SLM Student Loan Trust, Ser 2003-10A, Cl A3

                

0.673%, ICE LIBOR USD 3 Month + 0.470%, 12/15/2027 (B)(C)

   $ 255     $ 255  

SLM Student Loan Trust, Ser 2003-11, Cl A6

                

0.753%, ICE LIBOR USD 3 Month + 0.550%, 12/15/2025 (B)(C)

     249       249  

SLM Student Loan Trust, Ser 2004-1, Cl A4

                

0.518%, ICE LIBOR USD 3 Month + 0.260%, 10/27/2025 (C)

     274       273  

SLM Student Loan Trust, Ser 2005-4, Cl A3

                

0.378%, ICE LIBOR USD 3 Month + 0.120%, 01/25/2027 (C)

     619       616  

SLM Student Loan Trust, Ser 2005-5, Cl A4

                

0.398%, ICE LIBOR USD 3 Month + 0.140%, 10/25/2028 (C)

     562       560  

SLM Student Loan Trust, Ser 2012-2, Cl A

                

0.887%, ICE LIBOR USD 1 Month + 0.700%, 01/25/2029 (C)

     900       879  

SLM Student Loan Trust, Ser 2013-2, Cl A

                

0.637%, ICE LIBOR USD 1 Month + 0.450%, 06/25/2043 (C)

     1,098       1,084  

SLM Student Loan Trust, Ser 2013-4, Cl A

                

0.737%, ICE LIBOR USD 1 Month + 0.550%, 06/25/2043 (C)

     1,133       1,119  

Stratus CLO, Ser 2021-2A, Cl A

                

0.993%, ICE LIBOR USD 3 Month + 0.900%, 12/28/2029 (B)(C)

     4,125       4,120  

Treman Park CLO, Ser 2018-1A, Cl ARR

                

1.324%, ICE LIBOR USD 3 Month + 1.070%, 10/20/2028 (B)(C)

     1,498       1,497  

Tricon American Homes Trust, Ser 2017-SFR2, Cl A

                

2.928%, 01/17/2036 (B)

     1,934       1,931  

Tricon American Homes Trust, Ser 2017-SFR2, Cl B

                

3.275%, 01/17/2036 (B)

     1,545       1,548  

Voya CLO, Ser 2018-2A, Cl AR

                

1.229%, ICE LIBOR USD 3 Month + 0.970%, 07/23/2027 (B)(C)

     2,941       2,940  

Voya CLO, Ser 2021-2A, Cl A1R

                

1.221%, ICE LIBOR USD 3 Month + 0.980%, 06/07/2030 (B)(C)

     6,420       6,406  

Voya CLO, Ser 2021-3A, Cl XR

                

1.104%, ICE LIBOR USD 3 Month + 0.850%, 04/20/2034 (B)(C)

     2,186       2,186  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Wells Fargo Home Equity Trust, Ser 2006-1, Cl M3

                

0.682%, ICE LIBOR USD 1 Month + 0.495%, 05/25/2036 (C)

   $ 1,755     $ 1,748  
              183,241  
                 

Total Asset-Backed Securities

                

(Cost $230,179) ($ Thousands)

             227,843  
                 
                 

MUNICIPAL BONDS — 4.4%

Alabama — 0.3%

        

Alabama State, Federal Aid Highway Finance Authority, Ser B, RB

               

1.038%, 09/01/2025

    5,635       5,473  
                 
                 

California — 0.2%

        

Riverside County, Pension Obligation, RB

               

2.363%, 02/15/2023

    2,855       2,879  
                 
                 

Colorado — 0.3%

        

Denver, Airport System Revenue, Ser C, RB

               

1.115%, 11/15/2024

    3,475       3,397  

0.877%, 11/15/2023

    2,350       2,319  
                 
              5,716  
                 

Florida — 0.5%

        

Hillsborough County, Aviation Authority, Sub-Ser, RB

               

2.036%, 10/01/2024

    5,150       5,166  

Miami-Dade County, Aviation Revenue, Ser B, RB

               

2.949%, 10/01/2025

    3,145       3,225  

1.229%, 10/01/2025

    370       358  
                 
              8,749  
                 

Illinois — 0.2%

        

Chicago O'Hare, International Airport, Ser D, RB

               

1.168%, 01/01/2024

    2,375       2,350  
                 
                 

Michigan — 0.3%

        

Michigan State, Finance Authority, RB

               

0.487%, 10/01/2023

    4,460       4,383  
                 
                 

New Jersey — 0.2%

        

New Jersey State, Turnpike Authority, Ser B, RB

               

0.638%, 01/01/2024

    3,595       3,530  
                 
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

363

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

New York — 1.8%

        

Long Island, Power Authority, Ser C, RB

               

Callable 06/01/2022 @ 100

               

0.764%, 03/01/2023

  $ 3,610     $ 3,600  

New York & New Jersey, Port Authority, Ser AAA, RB

               

1.086%, 07/01/2023

    11,480       11,439  

New York City, Transitional Finance Authority, Future Tax Secured Revenue, Ser A3, RB

               

2.710%, 08/01/2023

    5,095       5,184  

New York City, Transitional Finance Authority, Future Tax Secured Revenue, Ser B, RB

               

2.310%, 11/01/2026

    820       828  

New York State, Dormitory Authority, RB

               

0.887%, 03/15/2025

    6,915       6,678  

New York State, Dormitory Authority, Ser D, RB

               

5.000%, 03/15/2024

    950       1,011  
                 
              28,740  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

South Carolina — 0.4%

        

South Carolina State, Public Service Authority, Ser D, RB

               

2.388%, 12/01/2023

  $ 6,892     $ 6,975  
                 
                 

Texas — 0.2%

        

Dallas Fort Worth, International Airport, Ser A, RB

               

1.939%, 11/01/2023

    3,500       3,524  
                 

Total Municipal Bonds

                

(Cost $73,131) ($ Thousands)

             72,319  
                 
                 
   


Shares

          

CASH EQUIVALENT — 2.6%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     42,631,561       42,632  
                 

Total Cash Equivalent

                

(Cost $42,632) ($ Thousands)

             42,632  
                 
                 

Total Investments in Securities — 107.1%

                

(Cost $1,798,596) ($ Thousands)

  $ 1,774,892  
                 
                 
                 

 

 

 

364

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Limited Duration Bond Fund (Concluded)

 

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

U.S. 2-Year Treasury Note

     216       Jul-2022     $ 46,338     $ 46,489     $ 151  
                                         

Short Contracts

                                        

U.S. 5-Year Treasury Note

     (196 )     Jul-2022     $ (23,079 )   $ (23,183 )   $ (104 )

U.S. Ultra Long Treasury Bond

     (17 )     Jun-2022       (3,120 )     (3,161 )     (41 )

Ultra 10-Year U.S. Treasury Note

     (98 )     Jun-2022       (13,712 )     (13,850 )     (138 )
                      (39,911 )     (40,194 )     (283 )
                    $ 6,427     $ 6,295     $ (132 )

 

 

 

Percentages are based on Net Assets of $1,657,011 ($ Thousands).

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

(A)

Interest rate represents the security's effective yield at the time of purchase.

(B)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On February 28, 2022, the value of these securities amounted to $454,608 ($ Thousands), representing 27.4% of the Net Assets of the Fund.

(C)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

 

ABS — Asset-Backed Security

ACES — Alternative Credit Enhancement Structure

ARM — Adjustable Rate Mortgage

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

DAC — Designated Activity Company

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

FREMF— Freddie Mac Multi-Family

GNMA — Government National Mortgage Association

ICE— Intercontinental Exchange

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

PLC — Public Limited Company

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

 

SOFR — Secured Overnight Financing Rate

SOFR30A — Secured Overnight Financing Rate 30-day Average

TBA — To Be Announced

UMBS — Uniform Mortgage Backed Securities

USD — U.S. Dollar

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

U.S. Treasury Obligations

     –       590,659       –       590,659  

Corporate Obligations

     –       488,310       –       488,310  

Mortgage-Backed Securities

     –       353,129       –       353,129  

Asset-Backed Securities

     –       227,843       –       227,843  

Municipal Bonds

     –       72,319       –       72,319  

Cash Equivalent

     42,632       –       –       42,632  

Total Investments in Securities

     42,632       1,732,260       –       1,774,892  

 

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Appreciation

     151       –       –       151  

Unrealized Depreciation

     (283 )     –       –       (283 )

Total Other Financial Instruments

     (132 )     –       –       (132 )

 

 

*

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

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 
 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value 5/31/2021

    

Purchases at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2022

    

Shares

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 81,577     $ 1,296,532     $ (1,335,477 )   $ —     $ -     $ 42,632       42,631,561     $ 3     $ —  

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

365

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS — 85.9%

Communication Services — 5.9%

        

Alphabet

               

2.250%, 08/15/2060

  $ 1,273     $ 1,016  

1.900%, 08/15/2040

    4,045       3,392  

America Movil

               

6.125%, 03/30/2040

    3,485       4,445  

AT&T

               

8.750%, 11/15/2031

    1,150       1,615  

6.800%, 05/15/2036

    2,915       3,656  

4.900%, 08/15/2037

    3,040       3,406  

3.650%, 06/01/2051

    3,295       3,108  

3.650%, 09/15/2059

    2,231       2,024  

3.550%, 09/15/2055

    3,810       3,455  

3.500%, 06/01/2041

    950       903  

3.500%, 09/15/2053

    930       850  

2.250%, 02/01/2032

    2,430       2,243  

1.700%, 03/25/2026

    8,665       8,434  

0.000%, 11/27/2022 (A)(B)

     6,000       5,942  

Charter Communications Operating LLC / Charter Communications Operating Capital

               

4.908%, 07/23/2025

    115       122  

4.464%, 07/23/2022

    50       50  

Comcast

               

5.650%, 06/15/2035

    290       359  

4.200%, 08/15/2034

    11,767       12,862  

4.049%, 11/01/2052

    935       981  

3.969%, 11/01/2047

    4,063       4,130  

3.950%, 10/15/2025

    4,345       4,583  

3.900%, 03/01/2038

    1,460       1,486  

3.700%, 04/15/2024

    165       171  

3.400%, 04/01/2030

    1,200       1,238  

3.400%, 07/15/2046

    1,180       1,109  

3.375%, 02/15/2025

    8,485       8,746  

3.375%, 08/15/2025

    2,560       2,639  

3.300%, 02/01/2027

    1,870       1,931  

3.150%, 03/01/2026

    3,625       3,736  

3.150%, 02/15/2028

    870       889  

2.987%, 11/01/2063 (A)

     4,549       3,787  

2.937%, 11/01/2056 (A)

     17,103       14,395  

2.887%, 11/01/2051 (A)

     16,286       14,128  

1.500%, 02/15/2031

    15,750       14,000  

Comcast Cable Communications Holdings

               

9.455%, 11/15/2022

    3,850       4,069  

Cox Communications

               

1.800%, 10/01/2030 (A)

     3,600       3,183  

Discovery Communications LLC

               

5.000%, 09/20/2037

    1,310       1,412  

2.950%, 03/20/2023

    2,362       2,387  

NTT Finance

               

1.591%, 04/03/2028 (A)

     6,835       6,435  

1.162%, 04/03/2026 (A)

     6,955       6,612  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Paramount Global

               

6.875%, 04/30/2036

  $ 2,760     $ 3,481  

5.850%, 09/01/2043

    599       714  

4.750%, 05/15/2025

    3,700       3,951  

4.375%, 03/15/2043

    4,225       4,216  

Time Warner Cable LLC

               

7.300%, 07/01/2038

    1,580       1,978  

6.550%, 05/01/2037

    2,145       2,578  

4.500%, 09/15/2042

    585       551  

T-Mobile USA

               

3.875%, 04/15/2030

    3,110       3,216  

2.050%, 02/15/2028

    4,220       4,014  

Verizon Communications

               

7.750%, 12/01/2030

    1,750       2,358  

4.862%, 08/21/2046

    1,062       1,270  

4.272%, 01/15/2036

    3,735       4,070  

3.550%, 03/22/2051

    2,210       2,140  

2.987%, 10/30/2056

    1,857       1,583  

2.550%, 03/21/2031

    4,865       4,670  

1.750%, 01/20/2031

    1,478       1,331  

Walt Disney

               

6.400%, 12/15/2035

    3,085       4,101  

4.700%, 03/23/2050

    3,840       4,541  

3.600%, 01/13/2051

    4,100       4,148  

2.750%, 09/01/2049

    8,483       7,411  

2.000%, 09/01/2029

    2,585       2,468  
                 
              224,719  
                 

Consumer Discretionary — 3.2%

        

7-Eleven

               

0.800%, 02/10/2024 (A)

     1,669       1,629  

Air Canada Pass-Through Trust, Ser 2015-1, Cl A

               

3.600%, 03/15/2027 (A)

     3,415       3,420  

Amazon.com

               

3.875%, 08/22/2037

    4,470       4,895  

3.100%, 05/12/2051

    9,110       8,806  

2.800%, 08/22/2024

    3,125       3,195  

1.650%, 05/12/2028

    2,580       2,482  

American Honda Finance MTN

               

0.400%, 10/21/2022

    4,678       4,661  

Aptiv

               

2.396%, 02/18/2025

    3,325       3,326  

BMW US Capital LLC

               

2.800%, 04/11/2026 (A)

     4,055       4,155  

2.550%, 04/01/2031 (A)

     11,170       10,836  

British Airways Pass-Through Trust, Ser 2020-1A

               

4.250%, 11/15/2032 (A)

     1,460       1,536  

Ferguson Finance

               

4.500%, 10/24/2028 (A)

     1,717       1,855  

3.250%, 06/02/2030 (A)

     4,865       4,871  

 

 

 

366

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Ford Motor Credit LLC

               

4.271%, 01/09/2027

  $ 3,050     $ 3,073  

General Motors Financial

               

1.700%, 08/18/2023

    7,585       7,554  

Georgetown University

               

4.315%, 04/01/2049

    2,709       2,993  

Home Depot

               

5.875%, 12/16/2036

    4,344       5,739  

4.500%, 12/06/2048

    2,090       2,423  

4.400%, 03/15/2045

    2,450       2,760  

4.250%, 04/01/2046

    400       441  

3.900%, 06/15/2047

    1,505       1,598  

3.500%, 09/15/2056

    3,235       3,215  

3.350%, 09/15/2025

    620       644  

3.350%, 04/15/2050

    820       802  

3.300%, 04/15/2040

    920       920  

2.800%, 09/14/2027

    3,485       3,556  

2.750%, 09/15/2051

    3,000       2,662  

Hyundai Capital America

               

2.375%, 10/15/2027 (A)

     3,040       2,928  

1.250%, 09/18/2023 (A)

     5,140       5,067  

Lowe's

               

1.300%, 04/15/2028

    3,000       2,767  

Massachusetts Institute of Technology

               

5.600%, 07/01/2111

    3,610       5,439  

QVC

               

4.850%, 04/01/2024

    1,060       1,073  

Resorts World Las Vegas LLC / RWLV Capital

               

4.625%, 04/06/2031 (A)

     2,465       2,260  

University of Southern California

               

2.805%, 10/01/2050

    214       197  

Volkswagen Group of America Finance LLC

               

1.250%, 11/24/2025 (A)

     8,265       7,876  

XLIT

               

5.250%, 12/15/2043

    2,417       3,065  
                 
              124,719  
                 

Consumer Staples — 6.4%

        

Advocate Health & Hospitals

               

2.211%, 06/15/2030

    3,670       3,520  

Altria Group

               

9.950%, 11/10/2038

    1,818       2,661  

5.950%, 02/14/2049

    625       694  

5.800%, 02/14/2039

    285       313  

5.375%, 01/31/2044

    1,740       1,816  

4.500%, 05/02/2043

    420       392  

3.875%, 09/16/2046

    3,455       2,969  

3.400%, 05/06/2030

    940       925  

2.450%, 02/04/2032

    5,170       4,616  

Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide

               

4.900%, 02/01/2046

    275       311  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.700%, 02/01/2036

  $ 2,766     $ 3,083  

Anheuser-Busch InBev Worldwide

               

8.000%, 11/15/2039

    5,774       8,680  

4.750%, 01/23/2029

    5,220       5,794  

Archer-Daniels-Midland

               

2.700%, 09/15/2051

    2,580       2,340  

Ascension Health

               

2.532%, 11/15/2029

    3,795       3,779  

BAT Capital

               

4.390%, 08/15/2037

    3,458       3,314  

2.726%, 03/25/2031

    8,265       7,574  

2.259%, 03/25/2028

    5,295       4,943  

Blue Cross & Blue Shield of Minnesota

               

3.790%, 05/01/2025 (A)

     2,086       2,158  

Bon Secours Mercy Health

               

3.464%, 06/01/2030

    1,930       2,035  

2.095%, 06/01/2031

    1,430       1,332  

Coca-Cola

               

2.000%, 03/05/2031

    4,030       3,817  

Costco Wholesale

               

1.600%, 04/20/2030

    3,000       2,782  

CVS Pass-Through Trust

               

8.353%, 07/10/2031 (A)

     1,826       2,258  

7.507%, 01/10/2032 (A)

     1,265       1,530  

6.036%, 12/10/2028

    2,304       2,521  

4.163%, 08/11/2036 (A)

     1,813       1,923  

Health Care Service, A Mutual Legal Reserve

               

3.200%, 06/01/2050 (A)

     3,025       2,695  

Hormel Foods

               

1.700%, 06/03/2028

    3,965       3,786  

0.650%, 06/03/2024

    2,990       2,907  

JBS Finance Luxembourg Sarl

               

2.500%, 01/15/2027 (A)

     4,605       4,329  

JBS USA LUX

               

3.000%, 02/02/2029 (A)

     3,045       2,875  

JDE Peet's

               

0.800%, 09/24/2024 (A)

     10,975       10,512  

Kaiser Foundation Hospitals

               

3.150%, 05/01/2027

    2,005       2,078  

Keurig Dr Pepper

               

5.085%, 05/25/2048

    743       867  

Kroger

               

3.850%, 08/01/2023

    2,700       2,766  

Land O' Lakes

               

6.000%, 11/15/2022 (A)

     640       653  

Mars

               

4.200%, 04/01/2059 (A)

     1,620       1,830  

3.600%, 04/01/2034 (A)

     1,790       1,891  

3.200%, 04/01/2030 (A)

     2,435       2,509  

2.700%, 04/01/2025 (A)

     6,160       6,243  

2.375%, 07/16/2040 (A)

     5,406       4,656  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

367

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Nestle Holdings

               

3.500%, 09/24/2025 (A)

   $ 5,490     $ 5,741  

New York and Presbyterian Hospital

               

1.651%, 08/01/2030

    2,487       2,295  

Northwestern University

               

4.643%, 12/01/2044

    120       146  

3.662%, 12/01/2057

    2,140       2,387  

Novartis Capital

               

3.000%, 11/20/2025

    4,590       4,729  

OhioHealth

               

2.834%, 11/15/2041

    4,000       3,687  

PepsiCo

               

2.375%, 10/06/2026

    3,920       3,954  

1.950%, 10/21/2031

    5,595       5,304  

1.625%, 05/01/2030

    1,490       1,390  

Philip Morris International

               

4.500%, 03/20/2042

    2,830       2,949  

4.375%, 11/15/2041

    2,207       2,290  

3.875%, 08/21/2042

    3,890       3,773  

2.500%, 11/02/2022

    5,170       5,210  

0.875%, 05/01/2026

    3,360       3,161  

Providence St. Joseph Health Obligated Group

               

2.532%, 10/01/2029

    8,536       8,399  

Reynolds American

               

8.125%, 05/01/2040

    980       1,278  

7.250%, 06/15/2037

    2,870       3,528  

4.450%, 06/12/2025

    1,760       1,840  

Roche Holdings

               

2.625%, 05/15/2026 (A)

     3,145       3,203  

2.076%, 12/13/2031 (A)

     12,195       11,587  

1.930%, 12/13/2028 (A)

     10,791       10,358  

SSM Health Care

               

3.688%, 06/01/2023

    7,331       7,464  

Stanford Health Care

               

3.310%, 08/15/2030

    1,105       1,143  

Takeda Pharmaceutical

               

2.050%, 03/31/2030

    3,352       3,110  

University of Southern California

               

5.250%, 10/01/2111

    3,625       4,974  

Walmart

               

2.550%, 04/11/2023

    8,465       8,558  

2.375%, 09/24/2029

    789       786  
                 
              241,921  
                 

Energy — 5.2%

        

Baker Hughes Holdings LLC

               

2.061%, 12/15/2026

    5,585       5,453  

BP Capital Markets America

               

3.937%, 09/21/2028

    2,460       2,609  

3.379%, 02/08/2061

    3,136       2,762  

3.001%, 03/17/2052

    2,470       2,099  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.939%, 06/04/2051

  $ 3,500     $ 2,944  

2.772%, 11/10/2050

    1,835       1,532  

2.721%, 01/12/2032

    1,575       1,509  

BP Capital Markets PLC

               

3.723%, 11/28/2028

    7,159       7,520  

Cameron LNG LLC

               

2.902%, 07/15/2031 (A)

     478       471  

Cheniere Corpus Christi Holdings LLC

               

5.125%, 06/30/2027

    2,120       2,312  

3.700%, 11/15/2029

    2,205       2,246  

2.742%, 12/31/2039 (A)

     2,925       2,672  

Chevron

               

2.895%, 03/03/2024

    4,470       4,562  

2.236%, 05/11/2030

    7,687       7,484  

Colonial Enterprises

               

3.250%, 05/15/2030 (A)

     3,710       3,769  

ConocoPhillips

               

6.500%, 02/01/2039

    4,165       5,789  

1.406%, ICE LIBOR USD 3 Month + 0.900%, 05/15/2022 (C)

     3,955       3,963  

Diamondback Energy

               

4.750%, 05/31/2025

    1,525       1,623  

3.125%, 03/24/2031

    2,740       2,675  

Energy Transfer

               

4.000%, 10/01/2027

    1,415       1,463  

Eni SpA

               

4.000%, 09/12/2023 (A)

     6,800       6,997  

Enterprise Products Operating LLC

               

3.900%, 02/15/2024

    4,250       4,397  

EOG Resources

               

4.375%, 04/15/2030

    2,135       2,356  

Equinor

               

3.250%, 11/18/2049

    1,385       1,323  

2.875%, 04/06/2025

    3,480       3,543  

2.375%, 05/22/2030

    2,270       2,211  

Exxon Mobil

               

4.227%, 03/19/2040

    4,660       5,131  

3.452%, 04/15/2051

    6,590       6,513  

3.095%, 08/16/2049

    1,145       1,069  

3.043%, 03/01/2026

    1,985       2,054  

2.995%, 08/16/2039

    2,830       2,715  

1.571%, 04/15/2023

    7,680       7,696  

Galaxy Pipeline Assets Bidco

               

2.625%, 03/31/2036 (A)

     2,555       2,307  

1.750%, 09/30/2027 (A)

     4,331       4,209  

Hess

               

6.000%, 01/15/2040

    2,790       3,296  

5.800%, 04/01/2047

    25       30  

5.600%, 02/15/2041

    395       453  

HollyFrontier

               

5.875%, 04/01/2026

    2,080       2,255  

 

 

 

368

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Kinder Morgan

               

5.550%, 06/01/2045

  $ 2,055     $ 2,358  

Lukoil Capital DAC

               

3.600%, 10/26/2031 (A)

     1,760       1,059  

2.800%, 04/26/2027 (A)

     1,705       921  

Reliance Industries

               

3.625%, 01/12/2052 (A)

     4,510       4,142  

2.875%, 01/12/2032 (A)

     2,455       2,297  

Sabal Trail Transmission LLC

               

4.246%, 05/01/2028 (A)

     3,810       4,085  

Saudi Arabian Oil

               

1.625%, 11/24/2025 (A)

     1,810       1,749  

1.250%, 11/24/2023 (A)

     8,940       8,828  

Saudi Arabian Oil MTN

               

2.750%, 04/16/2022 (A)

     2,985       2,993  

Schlumberger Finance Canada

               

1.400%, 09/17/2025

    2,565       2,490  

Schlumberger Holdings

               

3.900%, 05/17/2028 (A)

     2,444       2,543  

Shell International Finance BV

               

6.375%, 12/15/2038

    1,630       2,218  

4.125%, 05/11/2035

    4,275       4,650  

4.000%, 05/10/2046

    3,265       3,462  

3.750%, 09/12/2046

    4,600       4,810  

2.500%, 09/12/2026

    350       354  

2.375%, 11/07/2029

    3,030       2,952  

Spectra Energy Partners

               

3.375%, 10/15/2026

    2,045       2,103  

Suncor Energy

               

3.100%, 05/15/2025

    3,945       4,028  

Tennessee Gas Pipeline LLC

               

8.375%, 06/15/2032

    3,445       4,594  

2.900%, 03/01/2030 (A)

     4,230       4,056  

Texas Eastern Transmission LP

               

3.500%, 01/15/2028 (A)

     3,373       3,452  

TotalEnergies Capital

               

3.883%, 10/11/2028

    5,330       5,681  

TotalEnergies Capital International

               

3.386%, 06/29/2060

    685       634  

3.127%, 05/29/2050

    350       323  

2.986%, 06/29/2041

    270       247  

TransCanada PipeLines

               

3.750%, 10/16/2023

    5,000       5,124  
                 
              206,165  
                 

Financials — 31.6%

        

AIA Group

               

3.600%, 04/09/2029 (A)

     9,500       10,043  

AIG Global Funding

               

0.450%, 12/08/2023 (A)

     5,260       5,137  

AIG SunAmerica Global Financing X

               

6.900%, 03/15/2032 (A)

     1,601       2,108  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Alleghany

               

3.250%, 08/15/2051

  $ 3,005     $ 2,562  

American Express

               

3.700%, 08/03/2023

    4,810       4,935  

2.500%, 08/01/2022

    6,052       6,083  

American International Group

               

4.800%, 07/10/2045

    300       346  

4.750%, 04/01/2048

    165       190  

4.500%, 07/16/2044

    2,910       3,229  

4.375%, 06/30/2050

    555       613  

4.375%, 01/15/2055

    290       313  

Ameriprise Financial

               

4.000%, 10/15/2023

    2,450       2,529  

Antares Holdings

               

3.950%, 07/15/2026 (A)

     2,915       2,852  

ANZ New Zealand International

               

1.250%, 06/22/2026 (A)

     6,300       5,983  

Apollo Management Holdings

               

5.000%, 03/15/2048 (A)

     1,855       2,236  

4.400%, 05/27/2026 (A)

     1,140       1,225  

4.000%, 05/30/2024 (A)

     6,353       6,552  

ASB Bank

               

1.625%, 10/22/2026 (A)

     6,325       6,074  

Athene Global Funding

               

3.000%, 07/01/2022 (A)

     940       946  

2.950%, 11/12/2026 (A)

     6,830       6,849  

2.673%, 06/07/2031 (A)

     10,290       9,668  

2.500%, 03/24/2028 (A)

     10,320       9,958  

Banco Bilbao Vizcaya Argentaria

               

1.125%, 09/18/2025

    4,260       4,050  

Banco Santander

               

2.746%, 05/28/2025

    4,355       4,360  

2.706%, 06/27/2024

    7,775       7,842  

1.722%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.900%, 09/14/2027 (C)

     820       775  

Bank of America

               

6.000%, 10/15/2036

    490       621  

3.366%, ICE LIBOR USD 3 Month + 0.810%, 01/23/2026 (C)

     14,685       14,962  

3.311%, U.S. SOFR + 1.580%, 04/22/2042 (C)

     12,830       12,296  

3.004%, ICE LIBOR USD 3 Month + 0.790%, 12/20/2023 (C)

     2,399       2,420  

2.972%, U.S. SOFR + 1.330%, 02/04/2033 (C)

     1,845       1,807  

2.972%, U.S. SOFR + 1.560%, 07/21/2052 (C)

     9,858       8,764  

2.687%, U.S. SOFR + 1.320%, 04/22/2032 (C)

     2,720       2,616  

2.572%, U.S. SOFR + 1.210%, 10/20/2032 (C)

     7,005       6,632  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

369

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

1.843%, U.S. SOFR + 0.670%, 02/04/2025 (C)

   $ 6,695     $ 6,630  

1.734%, U.S. SOFR + 0.960%, 07/22/2027 (C)

     900       859  

Bank of America MTN

               

4.330%, ICE LIBOR USD 3 Month + 1.520%, 03/15/2050 (C)

     1,440       1,598  

4.271%, ICE LIBOR USD 3 Month + 1.310%, 07/23/2029 (C)

     10,460       11,142  

4.244%, ICE LIBOR USD 3 Month + 1.814%, 04/24/2038 (C)

     4,228       4,608  

4.183%, 11/25/2027

    7,675       8,064  

4.083%, ICE LIBOR USD 3 Month + 3.150%, 03/20/2051 (C)

     1,020       1,094  

4.000%, 01/22/2025

    1,300       1,350  

3.970%, ICE LIBOR USD 3 Month + 1.070%, 03/05/2029 (C)

     1,330       1,390  

3.705%, ICE LIBOR USD 3 Month + 1.512%, 04/24/2028 (C)

     18,945       19,624  

3.593%, ICE LIBOR USD 3 Month + 1.370%, 07/21/2028 (C)

     55       57  

3.559%, ICE LIBOR USD 3 Month + 1.060%, 04/23/2027 (C)

     675       693  

3.458%, ICE LIBOR USD 3 Month + 0.970%, 03/15/2025 (C)

     10,595       10,798  

3.248%, 10/21/2027

    3,785       3,871  

2.884%, ICE LIBOR USD 3 Month + 1.190%, 10/22/2030 (C)

     5,995       5,879  

2.676%, U.S. SOFR + 1.930%, 06/19/2041 (C)

     11,865       10,418  

Bank of Montreal MTN

               

3.300%, 02/05/2024

    5,005       5,126  

1.250%, 09/15/2026

    3,825       3,627  

0.625%, 07/09/2024

    4,375       4,217  

Bank of New York Mellon MTN

               

2.450%, 08/17/2026

    715       724  

Bank of Nova Scotia

               

4.900%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.551%(C)(D)

     3,150       3,202  

0.650%, 07/31/2024

    5,281       5,096  

Barclays PLC

               

4.375%, 01/12/2026

    4,465       4,704  

3.932%, ICE LIBOR USD 3 Month + 1.610%, 05/07/2025 (C)

     4,830       4,967  

Berkshire Hathaway

               

4.500%, 02/11/2043

    865       988  

3.125%, 03/15/2026

    1,978       2,052  

Berkshire Hathaway Finance

               

2.850%, 10/15/2050

    6,420       5,632  

1.450%, 10/15/2030

    4,000       3,652  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Blackstone Holdings Finance LLC

               

5.000%, 06/15/2044 (A)

   $ 738     $ 853  

4.750%, 02/15/2023 (A)

     2,014       2,066  

4.450%, 07/15/2045 (A)

     1,534       1,656  

3.500%, 09/10/2049 (A)

     2,250       2,122  

3.150%, 10/02/2027 (A)

     1,878       1,906  

2.550%, 03/30/2032 (A)

     2,000       1,897  

2.000%, 01/30/2032 (A)

     6,840       6,208  

Blackstone Private Credit Fund

               

2.625%, 12/15/2026 (A)

     2,920       2,718  

Blackstone Secured Lending Fund

               

3.625%, 01/15/2026

    3,105       3,110  

BNP Paribas

               

2.219%, U.S. SOFR + 2.074%, 06/09/2026 (A)(C)

     4,375       4,286  

2.159%, U.S. SOFR + 1.218%, 09/15/2029 (A)(C)

     2,305       2,134  

1.323%, U.S. SOFR + 1.004%, 01/13/2027 (A)(C)

     6,285       5,909  

Brighthouse Financial Global Funding MTN

               

1.000%, 04/12/2024 (A)

     3,400       3,310  

Brookfield Finance

               

2.724%, 04/15/2031

    2,500       2,391  

Canadian Imperial Bank of Commerce

               

0.950%, 10/23/2025

    3,400       3,237  

Capital One Financial

               

3.650%, 05/11/2027

    4,523       4,684  

3.300%, 10/30/2024

    2,868       2,936  

Carlyle Finance Subsidiary LLC

               

3.500%, 09/19/2029 (A)

     2,697       2,754  

CDP Financial

               

5.600%, 11/25/2039 (A)

     700       945  

Charles Schwab

               

2.650%, 01/25/2023

    3,996       4,040  

Chubb INA Holdings

               

4.350%, 11/03/2045

    1,138       1,300  

3.050%, 12/15/2061

    7,555       6,749  

2.850%, 12/15/2051

    3,795       3,390  

CI Financial

               

4.100%, 06/15/2051

    5,035       4,775  

3.200%, 12/17/2030

    6,030       5,681  

Cincinnati Financial

               

6.920%, 05/15/2028

    3,363       4,171  

6.125%, 11/01/2034

    2,882       3,707  

Citadel

               

4.875%, 01/15/2027 (A)

     3,820       3,953  

Citadel Finance LLC

               

3.375%, 03/09/2026 (A)

     3,615       3,534  

Citigroup

               

8.125%, 07/15/2039

    3,119       4,879  

5.500%, 09/13/2025

    985       1,074  

4.750%, 05/18/2046

    1,040       1,162  

 

 

 

370

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

4.650%, 07/23/2048

  $ 3,288     $ 3,843  

4.450%, 09/29/2027

    200       214  

4.281%, ICE LIBOR USD 3 Month + 1.839%, 04/24/2048 (C)

     2,918       3,201  

3.400%, 05/01/2026

    6,375       6,560  

3.352%, ICE LIBOR USD 3 Month + 0.897%, 04/24/2025 (C)

     6,380       6,508  

3.300%, 04/27/2025

    2,490       2,550  

2.904%, U.S. SOFR + 1.379%, 11/03/2042 (C)

     2,190       1,974  

1.462%, U.S. SOFR + 0.770%, 06/09/2027 (C)

     3,767       3,562  

CME Group

               

5.300%, 09/15/2043

    2,500       3,182  

4.150%, 06/15/2048

    1,989       2,273  

Commonwealth Bank of Australia

               

1.125%, 06/15/2026 (A)

     3,668       3,490  

Cooperatieve Rabobank UA

               

3.875%, 09/26/2023 (A)

     3,000       3,093  

1.080%, ICE LIBOR USD 3 Month + 0.860%, 09/26/2023 (A)(C)

     6,790       6,851  

Credit Agricole

               

1.247%, U.S. SOFR + 0.892%, 01/26/2027 (A)(C)

     4,395       4,133  

Credit Agricole MTN

               

3.750%, 04/24/2023 (A)

     4,640       4,743  

Credit Suisse Group

               

3.091%, U.S. SOFR + 1.730%, 05/14/2032 (A)(C)

     1,795       1,702  

2.193%, U.S. SOFR + 2.044%, 06/05/2026 (A)(C)

     7,295       7,085  

Deutsche Bank NY

               

3.035%, U.S. SOFR + 1.718%, 05/28/2032 (C)

     1,810       1,701  

0.962%, 11/08/2023

    4,865       4,775  

0.898%, 05/28/2024

    5,355       5,191  

Empower Finance 2020

               

3.075%, 09/17/2051 (A)

     1,255       1,131  

Enstar Group

               

3.100%, 09/01/2031

    3,285       3,065  

Equitable Financial Life Global Funding

               

1.400%, 07/07/2025 (A)

     1,473       1,425  

1.400%, 08/27/2027 (A)

     1,973       1,849  

0.800%, 08/12/2024 (A)

     2,165       2,086  

Equitable Financial Life Global Funding MTN

               

1.300%, 07/12/2026 (A)

     7,275       6,919  

F&G Global Funding

               

1.750%, 06/30/2026 (A)

     5,611       5,402  

Fairfax Financial Holdings

               

3.375%, 03/03/2031

    2,495       2,466  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Farmers Exchange Capital III

               

5.454%, ICE LIBOR USD 3 Month + 3.454%, 10/15/2054 (A)(C)

   $ 1,750     $ 2,041  

Federation des Caisses Desjardins du Quebec

               

0.700%, 05/21/2024 (A)

     5,925       5,733  

Fifth Third Bancorp

               

2.550%, 05/05/2027

    1,920       1,918  

First Republic Bank

               

2.500%, 06/06/2022

    1,718       1,722  

1.912%, U.S. SOFR + 0.620%, 02/12/2024 (C)

     2,800       2,795  

Five Corners Funding Trust

               

4.419%, 11/15/2023 (A)

     4,190       4,346  

GA Global Funding Trust

               

1.950%, 09/15/2028 (A)

     6,225       5,722  

1.625%, 01/15/2026 (A)

     2,345       2,253  

1.000%, 04/08/2024 (A)

     3,650       3,528  

Goldman Sachs Capital I

               

6.345%, 02/15/2034

    2,200       2,752  

Goldman Sachs Group

               

6.750%, 10/01/2037

    450       591  

6.450%, 05/01/2036

    670       855  

4.750%, 10/21/2045

    200       227  

4.411%, ICE LIBOR USD 3 Month + 1.430%, 04/23/2039 (C)

     3,380       3,639  

4.017%, ICE LIBOR USD 3 Month + 1.373%, 10/31/2038 (C)

     1,517       1,600  

3.850%, 01/26/2027

    155       161  

3.800%, 03/15/2030

    830       865  

3.500%, 01/23/2025

    2,520       2,590  

3.500%, 11/16/2026

    8,613       8,819  

3.436%, U.S. SOFR + 1.632%, 02/24/2043 (C)

     2,323       2,236  

3.272%, ICE LIBOR USD 3 Month + 1.201%, 09/29/2025 (C)

     11,575       11,774  

3.210%, U.S. SOFR + 1.513%, 04/22/2042 (C)

     8,735       8,145  

3.102%, U.S. SOFR + 1.410%, 02/24/2033 (C)

     11,335       11,158  

2.908%, U.S. SOFR + 1.472%, 07/21/2042 (C)

     420       373  

2.650%, U.S. SOFR + 1.264%, 10/21/2032 (C)

     1,439       1,365  

2.640%, U.S. SOFR + 1.114%, 02/24/2028 (C)

     5,015       4,942  

2.600%, 02/07/2030

    735       705  

2.383%, U.S. SOFR + 1.248%, 07/21/2032 (C)

     9,570       8,871  

1.992%, U.S. SOFR + 1.090%, 01/27/2032 (C)

     1,640       1,479  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

371

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

1.948%, U.S. SOFR + 0.913%, 10/21/2027 (C)

   $ 6,510     $ 6,238  

1.676%, ICE LIBOR USD 3 Month + 1.170%, 05/15/2026 (C)

     1,125       1,139  

1.431%, U.S. SOFR + 0.798%, 03/09/2027 (C)

     9,400       8,880  

Goldman Sachs Group MTN

               

4.800%, 07/08/2044

    7,375       8,434  

HSBC Bank PLC

               

7.650%, 05/01/2025

    3,080       3,498  

HSBC Bank USA

               

7.000%, 01/15/2039

    7,096       10,141  

HSBC Holdings PLC

               

4.041%, ICE LIBOR USD 3 Month + 1.546%, 03/13/2028 (C)

     11,362       11,773  

3.262%, ICE LIBOR USD 3 Month + 1.055%, 03/13/2023 (C)

     8,800       8,805  

ING Groep

               

4.625%, 01/06/2026 (A)

     3,840       4,124  

4.100%, 10/02/2023

    3,950       4,079  

3.550%, 04/09/2024

    4,975       5,105  

Intercontinental Exchange

               

4.250%, 09/21/2048

    1,454       1,605  

3.000%, 06/15/2050

    2,750       2,435  

Jackson Financial

               

3.125%, 11/23/2031 (A)

     3,295       3,162  

JPMorgan Chase

               

8.750%, 09/01/2030

    1,361       1,932  

7.750%, 07/15/2025

    1,690       1,974  

6.400%, 05/15/2038

    5,612       7,522  

5.500%, 10/15/2040

    1,000       1,237  

4.260%, ICE LIBOR USD 3 Month + 1.580%, 02/22/2048 (C)

     1,445       1,583  

3.964%, ICE LIBOR USD 3 Month + 1.380%, 11/15/2048 (C)

     45       48  

3.897%, ICE LIBOR USD 3 Month + 1.220%, 01/23/2049 (C)

     2,970       3,092  

3.882%, ICE LIBOR USD 3 Month + 1.360%, 07/24/2038 (C)

     6,195       6,532  

3.875%, 09/10/2024

    7,610       7,892  

3.509%, ICE LIBOR USD 3 Month + 0.945%, 01/23/2029 (C)

     15,247       15,642  

3.328%, U.S. SOFR + 1.580%, 04/22/2052 (C)

     10,020       9,625  

3.220%, ICE LIBOR USD 3 Month + 1.155%, 03/01/2025 (C)

     2,530       2,573  

3.200%, 06/15/2026

    1,300       1,333  

3.157%, U.S. SOFR + 1.460%, 04/22/2042 (C)

     14,070       13,205  

3.109%, U.S. SOFR + 2.440%, 04/22/2051 (C)

     255       235  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

2.963%, U.S. SOFR + 1.260%, 01/25/2033 (C)

   $ 1,475     $ 1,458  

2.545%, U.S. SOFR + 1.180%, 11/08/2032 (C)

     1,655       1,581  

2.522%, U.S. SOFR + 2.040%, 04/22/2031 (C)

     2,203       2,107  

2.069%, U.S. SOFR + 1.015%, 06/01/2029 (C)

     5,075       4,805  

1.953%, U.S. SOFR + 1.065%, 02/04/2032 (C)

     2,560       2,334  

0.969%, TSFR3M + 0.580%, 06/23/2025 (C)

     1,655       1,603  

0.870%, ICE LIBOR USD 3 Month + 0.550%, 02/01/2027 (C)

     1,630       1,579  

KKR Group Finance III LLC

               

5.125%, 06/01/2044 (A)

     9,343       10,682  

KKR Group Finance VIII LLC

               

3.500%, 08/25/2050 (A)

     1,275       1,180  

KKR Group Finance X LLC

               

3.250%, 12/15/2051 (A)

     3,115       2,728  

Korea Development Bank MTN

               

1.750%, 02/18/2025

    5,905       5,861  

Kreditanstalt fuer Wiederaufbau

               

2.125%, 01/17/2023

    3,320       3,350  

Lincoln National

               

3.400%, 01/15/2031

    3,100       3,151  

Lloyds Banking Group PLC

               

2.438%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.000%, 02/05/2026 (C)

     4,500       4,468  

1.627%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.850%, 05/11/2027 (C)

     2,636       2,501  

LSEGA Financing

               

3.200%, 04/06/2041 (A)

     3,618       3,389  

1.375%, 04/06/2026 (A)

     4,681       4,459  

Macquarie Group

               

3.189%, ICE LIBOR USD 3 Month + 1.023%, 11/28/2023 (A)(C)

     9,208       9,293  

Macquarie Group MTN

               

1.629%, U.S. SOFR + 0.910%, 09/23/2027 (A)(C)

     1,844       1,747  

Marsh & McLennan

               

3.500%, 03/10/2025

    4,200       4,350  

Massachusetts Mutual Life Insurance

               

3.375%, 04/15/2050 (A)

     1,153       1,088  

3.200%, 12/01/2061 (A)

     7,385       6,410  

MassMutual Global Funding II

               

1.200%, 07/16/2026 (A)

     6,000       5,738  

Met Tower Global Funding MTN

               

1.250%, 09/14/2026 (A)

     3,545       3,377  

 

 

 

372

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

MetLife

               

4.050%, 03/01/2045

  $ 1,250     $ 1,358  

Metropolitan Life Global Funding I MTN

               

3.600%, 01/11/2024 (A)

     6,420       6,619  

2.400%, 01/11/2032 (A)

     3,850       3,709  

Mitsubishi UFJ Financial Group

               

3.195%, 07/18/2029

    1,820       1,835  

1.538%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.750%, 07/20/2027 (C)

     9,850       9,344  

Moody's

               

2.550%, 08/18/2060

    2,136       1,605  

Morgan Stanley

               

3.625%, 01/20/2027

    8,990       9,365  

3.217%, U.S. SOFR + 1.485%, 04/22/2042 (C)

     1,455       1,389  

1.593%, U.S. SOFR + 0.879%, 05/04/2027 (C)

     2,650       2,520  

Morgan Stanley MTN

               

6.375%, 07/24/2042

    2,125       2,898  

4.300%, 01/27/2045

    4,605       5,007  

3.971%, ICE LIBOR USD 3 Month + 1.455%, 07/22/2038 (C)

     3,030       3,173  

3.875%, 04/29/2024

    5,310       5,490  

3.750%, 02/25/2023

    5,317       5,418  

2.943%, U.S. SOFR + 1.290%, 01/21/2033 (C)

     2,245       2,198  

2.699%, U.S. SOFR + 1.143%, 01/22/2031 (C)

     700       677  

2.511%, U.S. SOFR + 1.200%, 10/20/2032 (C)

     2,490       2,351  

2.475%, U.S. SOFR + 1.000%, 01/21/2028 (C)

     4,050       3,982  

2.239%, U.S. SOFR + 1.178%, 07/21/2032 (C)

     6,485       5,970  

1.512%, U.S. SOFR + 0.858%, 07/20/2027 (C)

     2,237       2,119  

Mutual of Omaha Insurance

               

4.297%, ICE LIBOR USD 3 Month + 2.640%, 07/15/2054 (A)(C)

     1,515       1,536  

National Rural Utilities Cooperative Finance

               

4.750%, ICE LIBOR USD 3 Month + 2.910%, 04/30/2043 (C)

     2,056       2,011  

4.400%, 11/01/2048

    1,000       1,118  

4.300%, 03/15/2049

    2,648       2,919  

4.023%, 11/01/2032

    440       473  

Nationwide Building Society MTN

               

2.972%, U.S. SOFR + 1.290%, 02/16/2028 (A)(C)

     5,570       5,544  

Nationwide Mutual Insurance

               

9.375%, 08/15/2039 (A)

     1,450       2,326  

4.350%, 04/30/2050 (A)

     3,471       3,615  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Natwest Group PLC

               

3.498%, ICE LIBOR USD 3 Month + 1.480%, 05/15/2023 (C)

   $ 4,655     $ 4,671  

1.642%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.900%, 06/14/2027 (C)

     4,320       4,104  

New York Life Global Funding

               

1.850%, 08/01/2031 (A)

     2,550       2,317  

New York Life Insurance

               

5.875%, 05/15/2033 (A)

     2,224       2,805  

3.750%, 05/15/2050 (A)

     1,420       1,459  

Ontario Teachers' Cadillac Fairview Properties Trust

               

2.500%, 10/15/2031 (A)

     13,605       12,948  

Owl Rock Capital

               

2.875%, 06/11/2028

    3,498       3,180  

Pacific Life Insurance

               

4.300%, ICE LIBOR USD 3 Month + 2.796%, 10/24/2067 (A)(C)

     1,555       1,555  

Peachtree Corners Funding Trust

               

3.976%, 02/15/2025 (A)

     4,431       4,590  

PNC Bank

               

3.300%, 10/30/2024

    3,540       3,656  

PNC Financial Services Group

               

2.600%, 07/23/2026

    8,635       8,754  

Pricoa Global Funding I

               

3.450%, 09/01/2023 (A)

     5,410       5,554  

Principal Life Global Funding II

               

1.500%, 08/27/2030 (A)

     3,374       3,025  

Prospect Capital

               

3.706%, 01/22/2026

    2,520       2,485  

Prudential Financial

               

3.935%, 12/07/2049

    140       146  

Prudential Financial MTN

               

5.700%, 12/14/2036

    1,660       2,111  

3.700%, 03/13/2051

    780       790  

1.500%, 03/10/2026

    4,945       4,837  

Prudential PLC

               

3.125%, 04/14/2030

    2,008       2,036  

Royal Bank of Canada MTN

               

2.300%, 11/03/2031

    8,390       7,933  

0.650%, 07/29/2024

    1,971       1,900  

Scentre Group Trust 1/ Scentre Group Trust 2

               

4.375%, 05/28/2030 (A)

     4,021       4,378  

3.750%, 03/23/2027 (A)

     865       903  

3.625%, 01/28/2026 (A)

     4,545       4,716  

3.500%, 02/12/2025 (A)

     1,460       1,501  

Scentre Group Trust 2

               

4.750%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.379%, 09/24/2080 (A)(C)

     6,340       6,327  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

373

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Securian Financial Group

               

4.800%, 04/15/2048 (A)

   $ 3,138     $ 3,552  

Security Benefit Global Funding MTN

               

1.250%, 05/17/2024 (A)

     1,501       1,463  

Societe Generale

               

3.625%, 03/01/2041 (A)

     2,840       2,518  

State Street

               

3.031%, U.S. SOFR + 1.490%, 11/01/2034 (C)

     5,555       5,509  

Sumitomo Mitsui Financial Group

               

0.948%, 01/12/2026

    3,000       2,828  

SVB Financial Group

               

1.800%, 10/28/2026

    9,770       9,430  

Swiss Re Treasury US

               

4.250%, 12/06/2042 (A)

     3,000       3,384  

Toronto-Dominion Bank MTN

               

0.700%, 09/10/2024

    3,763       3,637  

Travelers

               

3.750%, 05/15/2046

    1,505       1,561  

Truist Bank

               

3.800%, 10/30/2026

    3,870       4,075  

3.200%, 04/01/2024

    4,030       4,132  

2.250%, 03/11/2030

    980       928  

Truist Financial

               

4.000%, 05/01/2025

    8,635       9,060  

Truist Financial MTN

               

3.050%, 06/20/2022

    4,080       4,098  

2.850%, 10/26/2024

    2,635       2,682  

1.887%, U.S. SOFR + 0.862%, 06/07/2029 (C)

     4,036       3,811  

1.267%, U.S. SOFR + 0.609%, 03/02/2027 (C)

     13,155       12,584  

UBS MTN

               

4.500%, 06/26/2048 (A)

     3,430       3,869  

UBS Group

               

4.125%, 09/24/2025 (A)

     1,415       1,483  

1.494%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.850%, 08/10/2027 (A)(C)

     2,100       1,981  

1.008%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.830%, 07/30/2024 (A)(C)

     8,100       7,985  

US Bancorp

               

3.375%, 02/05/2024

    4,430       4,552  

Validus Holdings

               

8.875%, 01/26/2040

    1,880       2,963  

Wells Fargo

               

6.600%, 01/15/2038

    2,620       3,572  

5.950%, 12/15/2036

    1,035       1,266  

5.606%, 01/15/2044

    3,816       4,663  

3.068%, U.S. SOFR + 2.530%, 04/30/2041 (C)

     3,585       3,330  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

3.000%, 04/22/2026

  $ 8,965     $ 9,102  

Wells Fargo MTN

               

5.013%, U.S. SOFR + 4.502%, 04/04/2051 (C)

     560       690  

4.900%, 11/17/2045

    2,045       2,320  

4.750%, 12/07/2046

    3,483       3,909  

4.400%, 06/14/2046

    2,890       3,095  

4.300%, 07/22/2027

    939       1,002  

3.584%, ICE LIBOR USD 3 Month + 1.310%, 05/22/2028 (C)

     12,541       12,950  

3.350%, U.S. SOFR + 1.500%, 03/02/2033 (C)

     2,805       2,841  

3.196%, ICE LIBOR USD 3 Month + 1.170%, 06/17/2027 (C)

     12,160       12,347  

2.879%, U.S. SOFR + 1.432%, 10/30/2030 (C)

     4,800       4,724  

2.572%, U.S. SOFR + 1.262%, 02/11/2031 (C)

     3,330       3,193  

2.393%, U.S. SOFR + 2.100%, 06/02/2028 (C)

     9,055       8,850  

Westpac Banking

               

3.020%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.530%, 11/18/2036 (C)

     1,405       1,307  

2.668%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 1.750%, 11/15/2035 (C)

     3,770       3,415  

2.150%, 06/03/2031

    1,135       1,081  

1.953%, 11/20/2028

    7,370       7,052  
                 
              1,224,480  
                 

Health Care — 5.9%

        

AbbVie

               

4.250%, 11/21/2049

    2,100       2,233  

Advocate Health & Hospitals

               

4.272%, 08/15/2048

    2,984       3,354  

Amgen

               

4.200%, 02/22/2052

    1,330       1,394  

3.350%, 02/22/2032

    1,720       1,762  

3.000%, 02/22/2029

    1,815       1,834  

Ascension Health

               

3.945%, 11/15/2046

    2,394       2,638  

3.106%, 11/15/2039

    1,800       1,773  

Astrazeneca Finance LLC

               

1.750%, 05/28/2028

    5,675       5,425  

1.200%, 05/28/2026

    9,470       9,075  

AstraZeneca PLC

               

3.375%, 11/16/2025

    1,463       1,523  

Banner Health

               

2.907%, 01/01/2042

    2,652       2,471  

Bayer US Finance II LLC

               

4.700%, 07/15/2064 (A)

     3,935       4,073  

 

 

 

374

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Bristol-Myers Squibb

               

5.000%, 08/15/2045

  $ 2,120     $ 2,595  

4.550%, 02/20/2048

    285       331  

3.700%, 03/15/2052

    2,010       2,072  

3.550%, 03/15/2042

    3,915       3,989  

3.400%, 07/26/2029

    4,405       4,637  

3.200%, 06/15/2026

    2,705       2,817  

2.950%, 03/15/2032

    5,810       5,885  

2.350%, 11/13/2040

    700       601  

Cigna

               

4.800%, 08/15/2038

    1,565       1,743  

4.125%, 11/15/2025

    2,154       2,270  

2.375%, 03/15/2031

    3,000       2,828  

CommonSpirit Health

               

4.350%, 11/01/2042

    1,680       1,771  

4.187%, 10/01/2049

    3,085       3,236  

Eli Lilly

               

3.375%, 03/15/2029

    3,155       3,329  

Gilead Sciences

               

4.750%, 03/01/2046

    1,735       1,965  

GlaxoSmithKline Capital

               

3.875%, 05/15/2028

    2,190       2,346  

Health Care Service, A Mutual Legal Reserve

               

2.200%, 06/01/2030 (A)

     4,645       4,344  

Johnson & Johnson

               

3.750%, 03/03/2047

    3,000       3,261  

2.900%, 01/15/2028

    2,565       2,642  

2.625%, 01/15/2025

    1,660       1,696  

1.300%, 09/01/2030

    5,355       4,883  

Kaiser Foundation Hospitals

               

4.150%, 05/01/2047

    3,080       3,430  

2.810%, 06/01/2041

    5,100       4,714  

McKesson

               

0.900%, 12/03/2025

    2,000       1,892  

Medtronic

               

4.625%, 03/15/2045

    528       619  

4.375%, 03/15/2035

    1,732       1,975  

Memorial Health Services

               

3.447%, 11/01/2049

    1,880       1,861  

Merck

               

3.600%, 09/15/2042

    2,145       2,210  

3.400%, 03/07/2029

    2,385       2,513  

1.900%, 12/10/2028

    4,930       4,770  

1.700%, 06/10/2027

    6,350       6,182  

MultiCare Health System

               

2.803%, 08/15/2050

    4,400       3,917  

New York and Presbyterian Hospital

               

4.763%, 08/01/2116

    1,395       1,624  

Northwell Healthcare

               

4.260%, 11/01/2047

    2,135       2,330  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Novartis Capital

               

2.750%, 08/14/2050

  $ 6,006     $ 5,468  

NY Society for Relief of Ruptured & Crippled Maintaining Hospital Special Surgery

               

2.667%, 10/01/2050

    5,260       4,594  

Orlando Health Obligated Group

               

3.327%, 10/01/2050

    815       798  

PerkinElmer

               

0.850%, 09/15/2024

    7,190       6,937  

Pfizer

               

3.000%, 12/15/2026

    2,300       2,384  

2.625%, 04/01/2030

    5,520       5,522  

Pharmacia LLC

               

6.600%, 12/01/2028

    1,100       1,367  

RWJ Barnabas Health

               

3.477%, 07/01/2049

    4,050       4,116  

Thermo Fisher Scientific

               

1.750%, 10/15/2028

    1,055       999  

1.215%, 10/18/2024

    14,645       14,304  

UnitedHealth Group

               

6.875%, 02/15/2038

    2,380       3,384  

6.625%, 11/15/2037

    1,609       2,249  

6.500%, 06/15/2037

    1,675       2,303  

4.750%, 07/15/2045

    890       1,055  

4.625%, 07/15/2035

    5,545       6,389  

4.200%, 01/15/2047

    1,432       1,585  

3.875%, 12/15/2028

    1,835       1,975  

3.850%, 06/15/2028

    1,430       1,532  

3.750%, 07/15/2025

    3,700       3,877  

3.700%, 12/15/2025

    1,900       1,999  

3.500%, 02/15/2024

    7,225       7,464  

3.250%, 05/15/2051

    20       19  

3.050%, 05/15/2041

    1,620       1,555  

2.300%, 05/15/2031

    10,665       10,275  

Wyeth LLC

               

6.000%, 02/15/2036

    1,400       1,838  

5.950%, 04/01/2037

    3,960       5,190  
                 
              234,011  
                 

Industrials — 8.7%

        

AerCap Ireland Capital DAC

               

3.300%, 01/30/2032

    5,500       5,222  

3.000%, 10/29/2028

    7,330       7,060  

2.450%, 10/29/2026

    2,920       2,817  

1.650%, 10/29/2024

    7,695       7,468  

1.150%, 10/29/2023

    7,930       7,746  

Air Lease

               

3.875%, 07/03/2023

    4,406       4,504  

Airbus

               

3.950%, 04/10/2047 (A)

     2,800       2,979  

BAE Systems Holdings

               

3.800%, 10/07/2024 (A)

     1,700       1,762  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

375

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

BAE Systems PLC

               

5.800%, 10/11/2041 (A)

   $ 1,940     $ 2,422  

3.400%, 04/15/2030 (A)

     2,307       2,355  

1.900%, 02/15/2031 (A)

     4,286       3,872  

Boeing

               

5.930%, 05/01/2060

    1,660       1,971  

5.805%, 05/01/2050

    2,250       2,673  

5.150%, 05/01/2030

    9,860       10,891  

3.100%, 05/01/2026

    4,140       4,176  

1.875%, 06/15/2023

    3,240       3,229  

Burlington Northern Santa Fe LLC

               

6.150%, 05/01/2037

    2,590       3,450  

4.900%, 04/01/2044

    2,563       3,089  

4.550%, 09/01/2044

    5,235       5,982  

4.375%, 09/01/2042

    375       420  

4.150%, 04/01/2045

    3,245       3,529  

2.875%, 06/15/2052

    2,500       2,234  

Caterpillar

               

3.803%, 08/15/2042

    1,580       1,681  

3.400%, 05/15/2024

    3,050       3,146  

Caterpillar Financial Services MTN

               

2.550%, 11/29/2022

    8,625       8,718  

0.950%, 01/10/2024

    26,050       25,723  

Continental Airlines Pass-Through Trust, Ser 2012-2, Cl A

               

4.000%, 10/29/2024

    3,139       3,195  

CSX

               

3.350%, 09/15/2049

    4,726       4,534  

Deere

               

3.750%, 04/15/2050

    225       239  

3.100%, 04/15/2030

    4,033       4,169  

Delta Air Lines Pass-Through Trust, Ser 2015-1, Cl A

               

3.875%, 07/30/2027

    1,127       1,151  

Delta Air Lines Pass-Through Trust, Ser 2019-1, Cl A

               

3.404%, 04/25/2024

    2,800       2,815  

Delta Air Lines Pass-Through Trust, Ser 2020-1, Cl AA

               

2.000%, 06/10/2028

    2,913       2,781  

Emerson Electric

               

2.200%, 12/21/2031

    6,250       5,943  

1.800%, 10/15/2027

    1,930       1,866  

GE Capital International Funding Unlimited

               

4.418%, 11/15/2035

    13,439       15,108  

General Dynamics

               

4.250%, 04/01/2040

    985       1,100  

4.250%, 04/01/2050

    2,100       2,411  

2.250%, 06/01/2031

    5,990       5,816  

1.875%, 08/15/2023

    2,790       2,798  

Honeywell International

               

1.750%, 09/01/2031

    2,980       2,741  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

John Deere Capital

               

3.650%, 10/12/2023

  $ 4,902     $ 5,049  

John Deere Capital MTN

               

3.450%, 06/07/2023

    5,311       5,439  

2.800%, 07/18/2029

    4,220       4,291  

2.650%, 06/24/2024

    5,050       5,130  

2.650%, 06/10/2026

    360       367  

1.250%, 01/10/2025

    16,230       15,899  

0.400%, 10/10/2023

    11,755       11,545  

Lockheed Martin

               

4.070%, 12/15/2042

    3,300       3,599  

Norfolk Southern

               

3.800%, 08/01/2028

    3,180       3,365  

Northrop Grumman

               

2.930%, 01/15/2025

    5,115       5,213  

PACCAR Financial MTN

               

1.100%, 05/11/2026

    3,079       2,954  

Penske Truck Leasing LP / PTL Finance

               

4.000%, 07/15/2025 (A)

     2,904       3,022  

3.950%, 03/10/2025 (A)

     2,752       2,860  

3.450%, 07/01/2024 (A)

     5,540       5,666  

Protective Life Global Funding

               

1.618%, 04/15/2026 (A)

     7,358       7,080  

1.170%, 07/15/2025 (A)

     1,476       1,424  

Raytheon Technologies

               

4.500%, 06/01/2042

    2,300       2,572  

Ryder System MTN

               

4.625%, 06/01/2025

    4,800       5,098  

Siemens Financieringsmaatschappij

               

1.700%, 03/11/2028 (A)

     5,330       5,061  

SMBC Aviation Capital Finance DAC

               

3.000%, 07/15/2022 (A)

     2,035       2,045  

Snap-on

               

4.100%, 03/01/2048

    570       629  

3.100%, 05/01/2050

    3,240       3,037  

Southwest Airlines

               

5.125%, 06/15/2027

    3,780       4,191  

Southwest Airlines Pass-Through Trust, Ser 2007-1

               

6.150%, 08/01/2022

    83       84  

Triton Container International

               

2.050%, 04/15/2026 (A)

     3,535       3,414  

TTX

               

4.600%, 02/01/2049 (A)

     2,100       2,532  

TTX MTN

               

3.600%, 01/15/2025 (A)

     5,563       5,782  

Union Pacific

               

3.500%, 02/14/2053

    2,645       2,655  

3.375%, 02/14/2042

    1,185       1,183  

2.950%, 03/10/2052

    8,931       8,130  

2.375%, 05/20/2031

    3,745       3,631  

 

 

 

376

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Union Pacific MTN

               

3.550%, 08/15/2039

  $ 1,365     $ 1,386  

United Airlines Pass-Through Trust, Ser 2012-1, Cl A

               

4.150%, 04/11/2024

    2,315       2,361  

United Airlines Pass-Through Trust, Ser 2019-1, Cl AA

               

4.150%, 08/25/2031

    1,526       1,633  

United Parcel Service

               

5.300%, 04/01/2050

    3,026       4,063  

Verisk Analytics

               

3.625%, 05/15/2050

    2,930       2,832  

WW Grainger

               

4.600%, 06/15/2045

    419       485  
                 
              331,493  
                 

Information Technology — 7.4%

        

Adobe

               

1.700%, 02/01/2023

    13,670       13,720  

Analog Devices

               

2.950%, 10/01/2051

    1,918       1,752  

2.100%, 10/01/2031

    1,400       1,338  

1.700%, 10/01/2028

    5,205       4,970  

Apple

               

4.650%, 02/23/2046

    6,435       7,808  

4.500%, 02/23/2036

    2,660       3,127  

4.375%, 05/13/2045

    515       589  

3.850%, 08/04/2046

    7,470       7,963  

3.350%, 02/09/2027

    4,255       4,477  

3.250%, 02/23/2026

    19,945       20,822  

3.000%, 02/09/2024

    4,245       4,347  

2.850%, 05/11/2024

    1,055       1,078  

2.850%, 08/05/2061

    2,000       1,777  

2.650%, 05/11/2050

    3,755       3,332  

2.375%, 02/08/2041

    2,275       2,026  

1.650%, 02/08/2031

    4,730       4,395  

Applied Materials

               

3.900%, 10/01/2025

    3,155       3,335  

Cisco Systems

               

5.900%, 02/15/2039

    2,007       2,652  

2.200%, 09/20/2023

    4,525       4,558  

Corning

               

7.250%, 08/15/2036

    1,844       2,174  

Genpact Luxembourg Sarl

               

3.700%, 04/01/2022

    3,310       3,312  

3.375%, 12/01/2024

    5,226       5,366  

Intel

               

4.950%, 03/25/2060

    1,052       1,291  

4.000%, 12/15/2032

    4,300       4,716  

3.200%, 08/12/2061

    888       784  

2.875%, 05/11/2024

    5,830       5,966  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

International Business Machines

               

4.150%, 05/15/2039

  $ 2,325     $ 2,481  

3.300%, 05/15/2026

    1,805       1,878  

2.200%, 02/09/2027

    2,700       2,679  

Intuit

               

1.350%, 07/15/2027

    2,989       2,828  

Mastercard

               

3.850%, 03/26/2050

    3,255       3,538  

3.300%, 03/26/2027

    2,855       2,999  

2.950%, 06/01/2029

    2,420       2,486  

Microsoft

               

4.100%, 02/06/2037

    3,548       4,045  

3.700%, 08/08/2046

    6,874       7,434  

3.500%, 02/12/2035

    1,290       1,389  

3.450%, 08/08/2036

    130       139  

3.041%, 03/17/2062

    1,100       1,050  

2.921%, 03/17/2052

    4,307       4,112  

2.875%, 02/06/2024

    2,060       2,109  

2.675%, 06/01/2060

    1,078       950  

2.525%, 06/01/2050

    7,800       6,921  

2.400%, 08/08/2026

    12,085       12,270  

NXP BV / NXP Funding LLC

               

4.875%, 03/01/2024 (A)

     3,252       3,409  

Oracle

               

4.375%, 05/15/2055

    680       645  

4.000%, 07/15/2046

    6,860       6,305  

3.800%, 11/15/2037

    2,190       2,081  

3.600%, 04/01/2040

    9,370       8,487  

3.600%, 04/01/2050

    500       435  

2.950%, 05/15/2025

    2,160       2,176  

2.950%, 04/01/2030

    9,310       8,999  

2.500%, 05/15/2022

    4,700       4,705  

QUALCOMM

               

4.300%, 05/20/2047

    3,216       3,632  

1.300%, 05/20/2028

    5,677       5,264  

salesforce.com

               

1.500%, 07/15/2028

    23,395       22,058  

Texas Instruments

               

4.150%, 05/15/2048

    3,754       4,260  

3.875%, 03/15/2039

    200       218  

2.250%, 09/04/2029

    8,645       8,532  

1.375%, 03/12/2025

    4,015       3,946  

TSMC Arizona

               

2.500%, 10/25/2031

    1,565       1,489  

1.750%, 10/25/2026

    3,120       3,023  

Visa

               

4.150%, 12/14/2035

    1,125       1,266  

2.700%, 04/15/2040

    750       705  

2.000%, 08/15/2050

    3,610       2,868  

Vontier

               

2.950%, 04/01/2031

    9,760       8,846  

1.800%, 04/01/2026

    2,300       2,144  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

377

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Wipro IT Services LLC

               

1.500%, 06/23/2026 (A)

   $ 4,937     $ 4,678  
                 
              287,154  
                 

Materials — 1.5%

        

Air Products and Chemicals

               

1.850%, 05/15/2027

    3,190       3,132  

BHP Billiton Finance USA

               

6.420%, 03/01/2026

    1,590       1,839  

5.000%, 09/30/2043

    1,400       1,689  

Ecolab

               

4.800%, 03/24/2030

    892       1,021  

1.650%, 02/01/2027

    13,780       13,396  

Freeport-McMoRan

               

5.250%, 09/01/2029

    4,974       5,192  

4.625%, 08/01/2030

    1,615       1,667  

4.250%, 03/01/2030

    805       813  

Huntsman International LLC

               

2.950%, 06/15/2031

    2,975       2,843  

Linde

               

3.200%, 01/30/2026

    2,315       2,405  

Nacional del Cobre de Chile

               

4.250%, 07/17/2042 (A)

     2,100       2,053  

Newcrest Finance Pty

               

3.250%, 05/13/2030 (A)

     2,440       2,441  

PPG Industries

               

1.200%, 03/15/2026

    3,460       3,303  

Rio Tinto Finance USA

               

5.200%, 11/02/2040

    1,185       1,443  

2.750%, 11/02/2051

    4,000       3,515  

Sealed Air

               

1.573%, 10/15/2026 (A)

     1,950       1,836  

Vale Overseas

               

6.875%, 11/10/2039

    1,885       2,332  
                 
              50,920  
                 

Real Estate — 1.9%

        

AvalonBay Communities MTN

               

3.350%, 05/15/2027

    2,980       3,096  

Boston Properties

               

4.500%, 12/01/2028

    2,630       2,872  

Crown Castle Towers LLC

               

3.663%, 05/15/2025 (A)

     3,940       4,024  

Essential Properties

               

2.950%, 07/15/2031

    3,050       2,800  

Federal Realty Investment Trust

               

1.250%, 02/15/2026

    5,026       4,806  

Mid-America Apartments

               

2.875%, 09/15/2051

    7,830       6,915  

Newmark Group

               

6.125%, 11/15/2023

    3,140       3,276  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Realty Income

               

1.800%, 03/15/2033

  $ 2,570     $ 2,246  

Regency Centers

               

4.650%, 03/15/2049

    290       324  

4.400%, 02/01/2047

    1,620       1,720  

Sabra Health Care

               

3.900%, 10/15/2029

    4,275       4,286  

3.200%, 12/01/2031

    3,025       2,813  

Simon Property Group LP

               

6.750%, 02/01/2040

    470       644  

4.250%, 11/30/2046

    2,169       2,348  

3.800%, 07/15/2050

    3,600       3,633  

3.375%, 10/01/2024

    5,488       5,646  

2.450%, 09/13/2029

    5,076       4,903  

Sun Communities Operating LP

               

2.300%, 11/01/2028

    7,870       7,434  

Vornado Realty

               

3.500%, 01/15/2025

    3,895       4,001  

Welltower

               

4.950%, 09/01/2048

    2,632       3,123  

WP Carey

               

4.600%, 04/01/2024

    2,670       2,786  
                 
              73,696  
                 

Utilities — 8.2%

        

AEP Texas

               

3.450%, 01/15/2050

    2,695       2,495  

Alabama Power

               

3.850%, 12/01/2042

    600       607  

3.700%, 12/01/2047

    2,800       2,838  

1.450%, 09/15/2030

    3,416       3,061  

Ameren Illinois

               

4.500%, 03/15/2049

    7,670       8,821  

2.700%, 09/01/2022

    2,000       2,008  

Atmos Energy

               

4.125%, 03/15/2049

    3,950       4,283  

Baltimore Gas and Electric

               

2.250%, 06/15/2031

    4,625       4,394  

Berkshire Hathaway Energy

               

6.125%, 04/01/2036

    1,472       1,864  

4.450%, 01/15/2049

    140       155  

3.800%, 07/15/2048

    1,065       1,071  

3.250%, 04/15/2028

    1,720       1,788  

CenterPoint Energy Houston Electric LLC

               

4.500%, 04/01/2044

    2,215       2,525  

3.000%, 03/01/2032

    1,620       1,643  

2.900%, 07/01/2050

    745       660  

Cleco Corporate Holdings LLC

               

3.375%, 09/15/2029

    1,810       1,785  

CMS Energy

               

3.000%, 05/15/2026

    7,285       7,371  

 

 

 

378

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Commonwealth Edison

               

4.700%, 01/15/2044

  $ 2,000     $ 2,299  

4.000%, 03/01/2048

    4,060       4,331  

3.200%, 11/15/2049

    1,585       1,493  

3.000%, 03/01/2050

    1,890       1,720  

2.550%, 06/15/2026

    4,665       4,712  

Consolidated Edison of New York

               

3.875%, 06/15/2047

    3,000       2,995  

Consumers Energy

               

3.500%, 08/01/2051

    560       560  

Dominion Energy

               

3.375%, 04/01/2030

    605       616  

Dominion Energy South Carolina

               

4.600%, 06/15/2043

    1,000       1,117  

DTE Electric

               

3.375%, 03/01/2025

    2,289       2,361  

DTE Energy

               

2.529%, 10/01/2024

    3,695       3,711  

Duke Energy Carolinas LLC

               

5.300%, 02/15/2040

    1,700       2,059  

3.875%, 03/15/2046

    5,500       5,671  

2.550%, 04/15/2031

    2,855       2,786  

Duke Energy Indiana LLC

               

6.350%, 08/15/2038

    255       330  

4.900%, 07/15/2043

    260       296  

Duke Energy Ohio

               

2.125%, 06/01/2030

    1,325       1,248  

Duke Energy Progress LLC

               

4.200%, 08/15/2045

    2,580       2,748  

4.100%, 05/15/2042

    1,081       1,131  

East Ohio Gas

               

3.000%, 06/15/2050 (A)

     1,115       983  

2.000%, 06/15/2030 (A)

     2,370       2,178  

1.300%, 06/15/2025 (A)

     2,700       2,607  

Eastern Energy Gas Holdings LLC

               

2.500%, 11/15/2024

    2,410       2,412  

Entergy

               

2.400%, 06/15/2031

    4,865       4,500  

Entergy Arkansas LLC

               

3.350%, 06/15/2052

    3,885       3,678  

Entergy Louisiana LLC

               

4.200%, 09/01/2048

    4,715       5,137  

0.950%, 10/01/2024

    10,785       10,468  

Entergy Mississippi LLC

               

2.850%, 06/01/2028

    4,095       4,100  

Entergy Texas

               

3.550%, 09/30/2049

    2,095       2,010  

Essential Utilities

               

4.276%, 05/01/2049

    1,375       1,458  

Eversource Energy

               

3.800%, 12/01/2023

    2,905       2,986  

2.900%, 10/01/2024

    3,908       3,962  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Florida Power & Light

               

5.960%, 04/01/2039

  $ 155     $ 203  

5.690%, 03/01/2040

    4,657       5,988  

4.125%, 02/01/2042

    3,785       4,116  

2.850%, 04/01/2025

    2,515       2,568  

2.450%, 02/03/2032

    19,885       19,311  

Georgia Power

               

4.300%, 03/15/2043

    4,305       4,458  

3.700%, 01/30/2050

    5,360       5,106  

Idaho Power

               

4.200%, 03/01/2048

    2,585       2,873  

Indiana Michigan Power

               

4.250%, 08/15/2048

    585       626  

Indianapolis Power & Light

               

4.050%, 05/01/2046 (A)

     65       70  

Jersey Central Power & Light

               

2.750%, 03/01/2032 (A)

     3,955       3,806  

Korea Gas MTN

               

2.750%, 07/20/2022 (A)

     4,490       4,510  

Massachusetts Electric

               

1.729%, 11/24/2030 (A)

     1,300       1,164  

MidAmerican Energy

               

3.150%, 04/15/2050

    2,700       2,545  

NextEra Energy Capital Holdings

               

1.900%, 06/15/2028

    6,380       6,064  

Niagara Mohawk Power

               

4.278%, 10/01/2034 (A)

     1,959       2,111  

Northern States Power

               

7.125%, 07/01/2025

    3,220       3,708  

6.250%, 06/01/2036

    600       789  

2.250%, 04/01/2031

    2,830       2,705  

NSTAR Electric

               

3.250%, 05/15/2029

    2,684       2,749  

3.100%, 06/01/2051

    870       811  

Oglethorpe Power

               

5.375%, 11/01/2040

    1,710       2,000  

4.250%, 04/01/2046

    1,280       1,270  

4.200%, 12/01/2042

    190       189  

Ohio Power

               

2.600%, 04/01/2030

    3,565       3,478  

Oncor Electric Delivery LLC

               

7.500%, 09/01/2038

    120       176  

5.350%, 10/01/2052

    2,154       2,823  

5.300%, 06/01/2042

    1,281       1,574  

3.750%, 04/01/2045

    3,830       3,910  

Pacific Gas and Electric

               

4.200%, 06/01/2041

    2,340       2,122  

PacifiCorp

               

6.250%, 10/15/2037

    2,375       3,064  

6.000%, 01/15/2039

    4,485       5,683  

2.950%, 06/01/2023

    4,940       5,012  

2.900%, 06/15/2052

    7,960       6,995  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

379

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

PECO Energy

               

2.850%, 09/15/2051

  $ 3,000     $ 2,681  

PPL Electric Utilities

               

4.150%, 06/15/2048

    2,400       2,612  

3.950%, 06/01/2047

    1,802       1,913  

Public Service Electric and Gas MTN

               

4.050%, 05/01/2048

    2,792       2,983  

3.700%, 05/01/2028

    1,180       1,246  

3.250%, 09/01/2023

    1,450       1,486  

Public Service of Colorado

               

6.250%, 09/01/2037

    220       297  

3.200%, 03/01/2050

    1,760       1,637  

Public Service of New Hampshire

               

3.600%, 07/01/2049

    3,895       3,911  

2.200%, 06/15/2031

    5,585       5,248  

Public Service of Oklahoma

               

6.625%, 11/15/2037

    960       1,249  

Puget Energy

               

2.379%, 06/15/2028

    3,960       3,765  

San Diego Gas & Electric

               

4.500%, 08/15/2040

    2,025       2,274  

3.600%, 09/01/2023

    1,224       1,249  

3.320%, 04/15/2050

    445       420  

Sempra Energy

               

4.000%, 02/01/2048

    405       407  

3.800%, 02/01/2038

    1,290       1,305  

Southern

               

0.420%, U.S. SOFR + 0.370%, 05/10/2023 (C)

     5,495       5,490  

Southern California Edison

               

2.850%, 08/01/2029

    2,850       2,805  

Southern California Gas

               

4.300%, 01/15/2049

    1,165       1,275  

3.750%, 09/15/2042

    200       199  

2.550%, 02/01/2030

    4,835       4,705  

Union Electric

               

4.000%, 04/01/2048

    1,160       1,246  

3.900%, 09/15/2042

    90       94  

Virginia Electric & Power

               

3.150%, 01/15/2026

    3,000       3,086  

Virginia Electric and Power

               

6.350%, 11/30/2037

    1,810       2,409  

2.950%, 11/15/2051

    6,040       5,452  

Wisconsin Electric Power

               

1.700%, 06/15/2028

    2,300       2,193  

Wisconsin Power & Light

               

6.375%, 08/15/2037

    50       66  

3.650%, 04/01/2050

    40       41  

3.050%, 10/15/2027

    2,570       2,619  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Wisconsin Public Service

               

3.300%, 09/01/2049

  $ 2,475     $ 2,352  
                 
              319,324  
                 

Total Corporate Obligations

                

(Cost $3,378,710) ($ Thousands)

             3,318,602  
                 
                 
                 

U.S. TREASURY OBLIGATIONS — 8.7%

U.S. Treasury Bills

                

0.412%, 10/06/2022 (E)

     10,798       10,752  

U.S. Treasury Bonds

               

2.375%, 02/15/2042

    28,720       29,326  

2.000%, 11/15/2041

    350       335  

2.000%, 08/15/2051

    17,213       16,511  

1.875%, 11/15/2051

    57,400       53,552  

1.750%, 08/15/2041

    6,699       6,140  

U.S. Treasury Notes

               

1.875%, 02/28/2027

    12,080       12,160  

1.875%, 02/28/2029

    13,425       13,471  

1.875%, 02/15/2032

    19,030       19,101  

1.750%, 01/31/2029

    4,540       4,517  

1.500%, 02/29/2024

    13,633       13,644  

1.500%, 02/15/2025

    39,620       39,462  

1.500%, 01/31/2027

    53,005       52,380  

1.375%, 12/31/2028

    21,005       20,395  

1.125%, 01/15/2025

    17,465       17,218  

0.875%, 01/31/2024

    24,840       24,571  
         

Total U.S. Treasury Obligations

        

(Cost $332,003) ($ Thousands)

     333,535  
                 
                 
                 

MUNICIPAL BONDS — 2.8%

California — 0.8%

        

Bay Area, Toll Authority, RB

               

2.574%, 04/01/2031

    3,300       3,336  

2.425%, 04/01/2026

    1,400       1,423  

California State University, Ser D, RB

               

1.490%, 11/01/2028

    2,580       2,433  

California State, Build America Project, GO

               

7.600%, 11/01/2040

    585       936  

7.550%, 04/01/2039

    2,305       3,625  

7.500%, 04/01/2034

    5,125       7,484  

California State, Health Facilities Financing Authority, RB

               

1.679%, 06/01/2028

    4,975       4,784  

East Bay, Municipal Utility District Water System Revenue, RB

               

5.874%, 06/01/2040

    300       414  

 

 

 

380

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

Los Angeles, Community College District, GO

               

1.606%, 08/01/2028

  $ 4,780     $ 4,603  

Los Angeles, Unified School District, Build America Project, Ser RY, GO

               

6.758%, 07/01/2034

    1,120       1,507  

Riverside County, Pension Obligation, RB

               

3.818%, 02/15/2038

    1,300       1,395  

University of California Regents, Ser H, RB

               

6.548%, 05/15/2048

    120       177  

University of California, RB

               

5.770%, 05/15/2043

    1,375       1,799  
                 
              33,916  
                 

Colorado — 0.1%

        

City & County of Denver's Airport System Revenue, Ser C, RB

               

2.037%, 11/15/2028

    4,000       3,886  
                 
                 

Florida — 0.0%

        

Florida State, Board of Administration Finance, Ser A, RB

               

1.705%, 07/01/2027

    1,383       1,345  
                 
                 

Georgia — 0.2%

        

Georgia State, Municipal Electric Authority, Build America Project, RB

               

7.055%, 04/01/2057

    2,819       3,961  

6.637%, 04/01/2057

    2,445       3,508  
                 
              7,469  
                 

Illinois — 0.1%

        

Greater Chicago, Metropolitan Water Reclamation District, GO

               

5.720%, 12/01/2038

    2,580       3,416  
                 
                 

Kansas — 0.0%

        

Kansas State, Development Finance Authority, Ser H, RB

               

4.727%, 04/15/2037

    1,455       1,721  
                 
                 

Massachusetts — 0.2%

        

Massachusetts State, Build America Project, GO

               

4.910%, 05/01/2029

    100       116  

Massachusetts State, Build America Project, RB

               

5.731%, 06/01/2040

    80       107  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

Massachusetts State, Educational Financing Authority, Ser A, RB

               

2.925%, 07/01/2028

  $ 2,550     $ 2,607  

1.638%, 07/01/2026

    2,125       2,065  
                 
              4,895  
                 

Michigan — 0.2%

        

Michigan State, Finance Authority, RB

               

3.084%, 12/01/2034

    1,685       1,742  

Michigan State, Finance Authority, RB

               

Callable 03/01/2026 @ 100

               

2.671%, 09/01/2049 (C)

     4,600       4,747  
                 
              6,489  
                 

New Jersey — 0.2%

        

New Jersey State, Transportation Trust Fund Authority, Ser C, RB

               

5.754%, 12/15/2028

    2,300       2,629  

New Jersey State, Turnpike Authority, Build America Project, RB

               

7.102%, 01/01/2041

    2,500       3,768  
                 
              6,397  
                 

New York — 0.7%

        

New York & New Jersey, Port Authority, RB

               

4.926%, 10/01/2051

    165       209  

4.458%, 10/01/2062

    205       246  

New York & New Jersey, Port Authority, Ser 181, RB

               

4.960%, 08/01/2046

    1,315       1,628  

New York & New Jersey, Port Authority, Ser AAA, RB

               

1.086%, 07/01/2023

    2,225       2,217  

New York City, Transitional Finance Authority Future Tax Secured Revenue, Sub-Ser, RB

               

3.480%, 08/01/2026

    2,100       2,224  

New York City, Transitional Finance Authority, Future Tax Secured Revenue, RB

               

5.767%, 08/01/2036

    490       591  

New York State, Dormitory Authority, Ser F, RB

               

3.110%, 02/15/2039

    2,435       2,470  

New York State, Thruway Authority, Ser M, RB

               

2.900%, 01/01/2035

    4,150       4,177  

New York State, Urban Development, RB

               

5.770%, 03/15/2039

    8,225       9,774  
                 
              23,536  
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

381

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MUNICIPAL BONDS (continued)

Oregon — 0.1%

        

Oregon State, School Boards Association, Ser B, GO, NATL

               

5.550%, 06/30/2028

  $ 4,000     $ 4,570  
                 
                 

Pennsylvania — 0.1%

        

Pennsylvania, Economic Development Financing Authority, RB

               

2.152%, 06/15/2029

    5,465       5,353  
                 
                 

Texas — 0.1%

        

City of Houston, Airport System Revenue, Sub-Ser C, RB

               

2.085%, 07/01/2028

    2,320       2,264  

Grand Parkway, Transportation Corp, Ser E, RB

               

5.184%, 10/01/2042

    555       701  

North Texas, Tollway Authority, Build America Project, RB

               

6.718%, 01/01/2049

    845       1,320  

Texas State, Build America Project, GO

               

5.517%, 04/01/2039

    565       764  

Texas State, Dallas Area, Rapid Transit, RB

               

1.147%, 12/01/2026

    1,200       1,153  
                 
              6,202  
                 
                 

Total Municipal Bonds

                

(Cost $106,511) ($ Thousands)

             109,195  
                 
                 
                 

SOVEREIGN DEBT — 1.0%
                 

Chile Government International Bond

                

3.500%, 01/25/2050

     1,590       1,446  

3.500%, 04/15/2053

     4,705       4,198  

Colombia Government International Bond

                

4.125%, 02/22/2042

     2,790       2,175  

3.250%, 04/22/2032

     4,010       3,354  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

SOVEREIGN DEBT (continued)

European Investment Bank

                

2.250%, 03/15/2022

   $ 4,055     $ 4,058  

1.375%, 09/06/2022

     2,790       2,798  

Israel Government International Bond

                

3.875%, 07/03/2050

     1,190       1,264  

Japan Bank for International Cooperation

                

1.750%, 01/23/2023

     7,830       7,870  

Mexico Government International Bond

                

2.659%, 05/24/2031

     2,595       2,383  

Province of Quebec Canada

                

6.350%, 01/30/2026

     270       311  

2.500%, 04/09/2024

     8,465       8,636  
                 

Total Sovereign Debt

        

(Cost $40,270) ($ Thousands)

     38,493  
                 
                 
                 

ASSET-BACKED SECURITY — 0.0%

Other Asset-Backed Securities — 0.0%

        
         

American Tower Trust I, Ser 2013-13, Cl 2A

                

3.070%, 03/15/2048 (A)

     65       65  
                 
                 

Total Asset-Backed Security

                

(Cost $64) ($ Thousands)

             65  
                 
   


Shares

          

CASH EQUIVALENT — 2.3%

SEI Daily Income Trust, Government Fund, Cl F

                

0.010%**†

     89,606,446       89,606  
                 

Total Cash Equivalent

                

(Cost $89,606) ($ Thousands)

             89,606  
                 
                 

Total Investments in Securities — 100.7%

                

(Cost $3,947,164) ($ Thousands)

  $ 3,889,496  
                 
                 
                 

 

 
 

 

The open futures contracts held by the Fund at February 28, 2022 are as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Short Contracts

                                        

Ultra 10-Year U.S. Treasury Note

     (77 )     Jun-2022     $ (10,732 )   $ (10,882 )   $ (150 )
                                         

 

 

 

Percentages are based on Net Assets of $3,864,339 ($ Thousands).

**

The rate reported is the 7-day effective yield as of February 28, 2022.

†

Investment in Affiliated Security.

(A)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On February 28, 2022, the value of these securities amounted to $679,497 ($ Thousands), representing 17.6% of the Net Assets of the Fund.

(B)

Zero coupon security.

 

(C)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(D)

Perpetual security with no stated maturity date.

(E)

Interest rate represents the security's effective yield at the time of purchase.

 

 

 

382

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Intermediate Duration Credit Fund (Concluded)

 

Cl — Class

DAC — Designated Activity Company

GO — General Obligation

ICE— Intercontinental Exchange

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

MTN — Medium Term Note

NATL— National Public Finance Guarantee Corporation

PLC — Public Limited Company

Pty — Proprietary

RB — Revenue Bond

Ser — Series

SOFR — Secured Overnight Financing Rate

USD — U.S. Dollar

 

The following is a list of the level of inputs used as of February 28, 2022 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Corporate Obligations

     –       3,318,602       –       3,318,602  

U.S. Treasury Obligations

     –       333,535       –       333,535  

Municipal Bonds

     –       109,195       –       109,195  

Sovereign Debt

     –       38,493       –       38,493  

Asset-Backed Security

     –       65       –       65  

Cash Equivalent

     89,606       –       –       89,606  

Total Investments in Securities

     89,606       3,799,890       –       3,889,496  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Futures Contracts*

                                

Unrealized Depreciation

     (150 )     –       –       (150 )

Total Other Financial Instruments

     (150 )     –       –       (150 )

 

*

Futures contracts are valued at the unrealized depreciation on the instrument.

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements.

 

 
 

 

The following is a summary of the Fund’s transactions with affiliates for the period ended February 28, 2022 ($ Thousands):

 

Security Description

 

Value

5/31/2021

   

Purchases

at Cost

   

Proceeds from Sales

   

Realized Gain (Loss)

    

Change in Unrealized Appreciation (Depreciation)

   

Value 2/28/2028

    

Shares

    

Income

   

Capital Gains

  

SEI Daily Income Trust, Government Fund, Cl F

   $ 69,308     $ 1,558,329     $ (1,538,031 )   $ —     $ —     $ 89,606       89,606,446     $ 6     $ —  

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

383

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Dynamic Asset Allocation Fund

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK — 89.4%
                 

Communication Services — 8.6%

        

Activision Blizzard Inc

    39,300     $ 3,203  

Alphabet Inc, Cl A *

     15,045       40,639  

Alphabet Inc, Cl C *

     14,001       37,772  

AT&T Inc

    355,719       8,427  

Charter Communications Inc, Cl A *

     6,200       3,731  

Comcast Corp, Cl A

    227,800       10,652  

Discovery Inc, Cl A *

     8,300       233  

Discovery Inc, Cl C *

     14,019       392  

DISH Network Corp, Cl A *

     12,801       409  

Electronic Arts Inc

    14,300       1,860  

Fox Corp

    23,166       943  

Interpublic Group of Cos Inc/The

    19,400       714  

Live Nation Entertainment Inc *

     6,500       785  

Lumen Technologies Inc

    43,915       455  

Match Group Inc *

     14,400       1,605  

Meta Platforms Inc, Cl A *

     118,000       24,902  

Netflix Inc *

     22,200       8,758  

News Corp

    6,400       144  

News Corp, Cl A

    19,300       431  

Omnicom Group Inc

    10,200       856  

Paramount Global, Cl B

    29,640       907  

Take-Two Interactive Software Inc *

     5,900       956  

T-Mobile US Inc *

     29,565       3,643  

Twitter Inc *

     39,300       1,397  

Verizon Communications Inc

    206,800       11,099  

Walt Disney Co/The *

     90,777       13,477  
                 
              178,390  

Consumer Discretionary — 10.6%

        

Advance Auto Parts Inc

    3,200       654  

Amazon.com Inc *

     21,845       67,092  

Aptiv PLC *

     13,700       1,773  

AutoZone Inc *

     1,069       1,992  

Bath & Body Works Inc

    13,200       705  

Best Buy Co Inc

    11,300       1,092  

Booking Holdings Inc *

     2,000       4,345  

BorgWarner Inc

    11,800       484  

Caesars Entertainment Inc *

     11,000       926  

CarMax Inc *

     8,000       875  

Carnival Corp, Cl A *

     40,200       817  

Chipotle Mexican Grill Inc, Cl A *

     1,400       2,133  

Darden Restaurants Inc

    6,400       929  

Dollar General Corp

    11,800       2,340  

Dollar Tree Inc *

     11,384       1,618  

Domino's Pizza Inc

    1,800       778  

DR Horton Inc

    16,500       1,409  

eBay Inc

    31,700       1,731  

Etsy Inc *

     6,300       976  

Expedia Group Inc *

     7,400       1,451  

Ford Motor Co

    197,700       3,472  

Garmin Ltd

    7,800       862  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

General Motors Co *

     73,100     $ 3,415  

Genuine Parts Co

    7,051       861  

Hasbro Inc

    6,300       611  

Hilton Worldwide Holdings Inc *

     14,100       2,099  

Home Depot Inc/The

    52,732       16,654  

Las Vegas Sands Corp *

     17,000       729  

Lennar Corp, Cl A

    13,800       1,240  

LKQ Corp

    13,300       624  

Lowe's Cos Inc

    34,469       7,620  

Marriott International Inc/MD, Cl A *

     13,520       2,300  

McDonald's Corp

    37,200       9,106  

MGM Resorts International

    18,700       828  

Mohawk Industries Inc *

     2,728       384  

Newell Brands Inc

    17,999       428  

NIKE Inc, Cl B

    63,800       8,712  

Norwegian Cruise Line Holdings Ltd *

     18,900       368  

NVR Inc *

     160       793  

O'Reilly Automotive Inc *

     3,400       2,207  

Penn National Gaming Inc *

     7,700       395  

Pool Corp

    2,000       917  

PulteGroup Inc

    13,100       651  

PVH Corp

    3,600       352  

Ralph Lauren Corp, Cl A

    2,500       330  

Ross Stores Inc

    18,000       1,645  

Royal Caribbean Cruises Ltd *

     11,200       904  

Starbucks Corp

    58,700       5,388  

Tapestry Inc

    13,500       552  

Target Corp

    24,500       4,894  

Tesla Inc *

     40,600       35,340  

TJX Cos Inc/The

    60,500       3,999  

Tractor Supply Co

    5,600       1,141  

Ulta Beauty Inc *

     2,700       1,011  

Under Armour Inc, Cl A *

     9,200       165  

Under Armour Inc, Cl C *

     10,636       166  

VF Corp

    16,224       941  

Whirlpool Corp

    2,900       584  

Wynn Resorts Ltd *

     5,200       450  

Yum! Brands Inc

    14,800       1,814  
                 
              219,072  

Consumer Staples — 5.6%

        

Altria Group Inc

    91,300       4,683  

Archer-Daniels-Midland Co

    28,300       2,220  

Brown-Forman Corp, Cl B

    8,925       582  

Campbell Soup Co

    9,900       445  

Church & Dwight Co Inc

    12,400       1,213  

Clorox Co/The

    6,000       875  

Coca-Cola Co/The

    194,200       12,087  

Colgate-Palmolive Co

    42,500       3,270  

Conagra Brands Inc

    24,000       839  

Constellation Brands Inc, Cl A

    8,300       1,790  

Costco Wholesale Corp

    22,100       11,475  

 

 

 

384

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Dynamic Asset Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Estee Lauder Cos Inc/The, Cl A

    11,500     $ 3,408  

General Mills Inc

    30,000       2,023  

Hershey Co/The

    7,400       1,497  

Hormel Foods Corp

    13,600       648  

J M Smucker Co/The

    5,382       725  

Kellogg Co

    12,600       806  

Kimberly-Clark Corp

    17,000       2,212  

Kraft Heinz Co/The

    35,266       1,383  

Kroger Co/The

    33,500       1,568  

Lamb Weston Holdings Inc

    7,100       472  

McCormick & Co Inc/MD

    12,300       1,171  

Molson Coors Beverage Co, Cl B

    9,700       506  

Mondelez International Inc, Cl A

    69,400       4,544  

Monster Beverage Corp *

     18,520       1,563  

PepsiCo Inc

    68,962       11,292  

Philip Morris International Inc

    77,500       7,833  

Procter & Gamble Co/The

    121,014       18,865  

Sysco Corp

    25,300       2,204  

Tyson Foods Inc, Cl A

    14,500       1,343  

Walgreens Boots Alliance Inc

    35,300       1,627  

Walmart Inc

    70,865       9,578  
                 
              114,747  

Energy — 3.3%

        

APA Corp

    18,600       663  

Baker Hughes Co, Cl A

    43,600       1,281  

Chevron Corp

    96,382       13,879  

ConocoPhillips

    65,668       6,229  

Coterra Energy Inc, Cl A

    40,200       938  

Devon Energy Corp

    31,900       1,900  

Diamondback Energy Inc

    8,500       1,174  

EOG Resources Inc

    29,500       3,390  

Exxon Mobil Corp

    211,600       16,594  

Halliburton Co

    44,700       1,499  

Hess Corp

    13,700       1,384  

Kinder Morgan Inc

    96,777       1,684  

Marathon Oil Corp

    38,000       857  

Marathon Petroleum Corp

    31,111       2,422  

Occidental Petroleum Corp

    43,628       1,908  

ONEOK Inc

    21,900       1,430  

Phillips 66

    21,700       1,828  

Pioneer Natural Resources Co

    11,300       2,707  

Schlumberger NV

    70,737       2,776  

Valero Energy Corp

    20,100       1,679  

Williams Cos Inc/The

    60,300       1,886  
                 
              68,108  

Financials — 10.3%

        

Aflac Inc

    30,800       1,882  

Allstate Corp/The

    14,500       1,774  

American Express Co

    31,200       6,070  

American International Group Inc

    41,900       2,566  

Ameriprise Financial Inc

    5,500       1,649  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Aon PLC, Cl A

    11,106     $ 3,244  

Arthur J Gallagher & Co

    10,200       1,614  

Assurant Inc

    2,700       458  

Bank of America Corp

    360,000       15,912  

Bank of New York Mellon Corp/The

    38,400       2,041  

Berkshire Hathaway Inc, Cl B *

     91,400       29,381  

BlackRock Inc, Cl A

    7,106       5,286  

Brown & Brown Inc

    11,600       784  

Capital One Financial Corp

    21,100       3,234  

Cboe Global Markets Inc

    5,200       610  

Charles Schwab Corp/The

    75,000       6,334  

Chubb Ltd

    21,526       4,384  

Cincinnati Financial Corp

    7,500       921  

Citigroup Inc

    98,800       5,852  

Citizens Financial Group Inc

    21,700       1,137  

CME Group Inc, Cl A

    17,900       4,234  

Comerica Inc

    6,600       630  

Discover Financial Services

    14,900       1,839  

Everest Re Group Ltd

    1,900       567  

FactSet Research Systems Inc

    1,900       772  

Fifth Third Bancorp

    34,700       1,660  

First Republic Bank/CA

    9,100       1,577  

Franklin Resources Inc

    14,100       419  

Globe Life Inc

    4,600       464  

Goldman Sachs Group Inc/The

    17,000       5,802  

Hartford Financial Services Group Inc/The

    17,350       1,205  

Huntington Bancshares Inc/OH

    73,800       1,145  

Intercontinental Exchange Inc

    28,345       3,632  

Invesco Ltd

    16,200       344  

JPMorgan Chase & Co

    147,400       20,901  

KeyCorp

    47,399       1,188  

Lincoln National Corp

    8,000       539  

Loews Corp

    9,900       607  

M&T Bank Corp

    6,421       1,170  

MarketAxess Holdings Inc

    1,900       725  

Marsh & McLennan Cos Inc

    25,400       3,947  

MetLife Inc

    36,100       2,439  

Moody's Corp

    8,147       2,624  

Morgan Stanley

    71,665       6,503  

MSCI Inc, Cl A

    4,100       2,057  

Nasdaq Inc

    5,800       993  

Northern Trust Corp

    10,300       1,173  

People's United Financial Inc

    21,800       460  

PNC Financial Services Group Inc/The

    21,000       4,184  

Principal Financial Group Inc

    12,600       890  

Progressive Corp/The

    29,500       3,125  

Prudential Financial Inc

    19,100       2,133  

Raymond James Financial Inc

    9,150       1,003  

Regions Financial Corp

    47,200       1,142  

S&P Global Inc

    17,691       6,646  

Signature Bank/New York NY

    3,000       1,035  

SVB Financial Group *

     2,900       1,757  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

385

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Dynamic Asset Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Synchrony Financial

    27,911     $ 1,194  

T Rowe Price Group Inc

    11,400       1,648  

Travelers Cos Inc/The

    12,400       2,131  

Truist Financial Corp

    67,182       4,180  

US Bancorp

    67,900       3,839  

W R Berkley Corp

    6,700       605  

Wells Fargo & Co

    199,200       10,631  

Willis Towers Watson PLC

    6,095       1,355  

Zions Bancorp NA

    7,900       560  
                 
              212,807  

Health Care — 11.9%

        

Abbott Laboratories

    88,139       10,631  

AbbVie Inc

    88,353       13,056  

ABIOMED Inc *

     2,200       684  

Agilent Technologies Inc

    15,300       1,995  

Align Technology Inc *

     3,700       1,892  

AmerisourceBergen Corp, Cl A

    7,361       1,049  

Amgen Inc

    28,000       6,341  

Anthem Inc

    12,100       5,467  

Baxter International Inc

    25,338       2,153  

Becton Dickinson and Co

    14,437       3,916  

Biogen Inc *

     7,300       1,540  

Bio-Rad Laboratories Inc, Cl A *

     1,063       665  

Bio-Techne Corp

    1,900       797  

Boston Scientific Corp *

     70,700       3,123  

Bristol-Myers Squibb Co

    110,500       7,588  

Cardinal Health Inc

    13,500       729  

Catalent Inc *

     8,500       867  

Centene Corp *

     29,530       2,440  

Cerner Corp

    14,600       1,361  

Charles River Laboratories International Inc *

     2,500       728  

Cigna Corp

    16,681       3,966  

Cooper Cos Inc/The

    2,400       982  

CVS Health Corp

    65,743       6,814  

Danaher Corp

    31,700       8,699  

DaVita Inc *

     3,200       361  

DENTSPLY SIRONA Inc

    10,900       590  

Dexcom Inc *

     4,900       2,028  

Edwards Lifesciences Corp *

     31,000       3,483  

Eli Lilly & Co

    39,543       9,884  

Gilead Sciences Inc

    63,156       3,815  

HCA Healthcare Inc

    11,900       2,979  

Henry Schein Inc *

     6,600       570  

Hologic Inc *

     12,500       890  

Humana Inc

    6,400       2,780  

IDEXX Laboratories Inc *

     4,200       2,236  

Illumina Inc *

     7,900       2,580  

Incyte Corp *

     9,100       622  

Intuitive Surgical Inc *

     17,916       5,202  

IQVIA Holdings Inc *

     9,500       2,186  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Johnson & Johnson

    131,607     $ 21,659  

Laboratory Corp of America Holdings *

     4,854       1,317  

McKesson Corp

    7,736       2,127  

Medtronic PLC

    67,155       7,051  

Merck & Co Inc

    125,900       9,641  

Mettler-Toledo International Inc *

     1,100       1,550  

Moderna Inc *

     17,800       2,734  

Organon & Co

    12,990       485  

PerkinElmer Inc

    6,300       1,132  

Pfizer Inc

    280,496       13,167  

Quest Diagnostics Inc

    6,100       801  

Regeneron Pharmaceuticals Inc *

     5,300       3,277  

ResMed Inc

    7,200       1,777  

STERIS PLC

    4,900       1,176  

Stryker Corp

    16,700       4,398  

Teleflex Inc

    2,300       774  

Thermo Fisher Scientific Inc

    19,646       10,687  

UnitedHealth Group Inc

    47,000       22,366  

Universal Health Services Inc, Cl B

    3,600       518  

Vertex Pharmaceuticals Inc *

     12,800       2,944  

Viatris Inc, Cl W *

     60,474       666  

Waters Corp *

     3,000       950  

West Pharmaceutical Services Inc

    3,700       1,432  

Zimmer Biomet Holdings Inc

    10,300       1,310  

Zoetis Inc, Cl A

    23,767       4,602  
                 
              246,230  

Industrials — 7.1%

        

3M Co

    28,600       4,251  

A O Smith Corp

    6,500       446  

Alaska Air Group Inc *

     6,400       359  

Allegion plc

    4,233       485  

American Airlines Group Inc *

     32,800       566  

AMETEK Inc

    11,400       1,480  

Boeing Co/The *

     27,600       5,667  

Carrier Global Corp

    43,879       1,969  

Caterpillar Inc

    26,900       5,046  

CH Robinson Worldwide Inc

    6,500       628  

Cintas Corp

    4,400       1,651  

Copart Inc *

     10,500       1,290  

CSX Corp

    111,700       3,788  

Cummins Inc

    7,100       1,449  

Deere & Co

    14,000       5,040  

Delta Air Lines Inc *

     31,600       1,261  

Dover Corp

    7,200       1,129  

Eaton Corp PLC

    20,101       3,101  

Emerson Electric Co

    30,200       2,806  

Equifax Inc

    6,000       1,310  

Expeditors International of Washington Inc

    8,200       848  

Fastenal Co

    29,200       1,503  

FedEx Corp

    12,349       2,745  

Fortive Corp

    17,624       1,141  

 

 

 

386

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Dynamic Asset Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Fortune Brands Home & Security Inc

    6,600     $ 574  

Generac Holdings Inc *

     3,100       978  

General Dynamics Corp

    11,700       2,743  

General Electric Co

    54,599       5,215  

Honeywell International Inc

    34,300       6,508  

Howmet Aerospace Inc

    19,066       685  

Huntington Ingalls Industries Inc

    2,000       409  

IDEX Corp

    3,800       729  

Illinois Tool Works Inc

    14,356       3,106  

Ingersoll Rand Inc

    19,930       1,007  

Jacobs Engineering Group Inc

    6,500       799  

JB Hunt Transport Services Inc

    4,200       852  

Johnson Controls International plc

    35,803       2,326  

L3Harris Technologies Inc

    9,910       2,500  

Leidos Holdings Inc

    7,000       713  

Lockheed Martin Corp

    12,324       5,346  

Masco Corp

    12,000       672  

Nielsen Holdings PLC

    17,600       307  

Nordson Corp

    2,700       612  

Norfolk Southern Corp

    12,100       3,104  

Northrop Grumman Corp

    7,500       3,316  

Old Dominion Freight Line Inc

    4,600       1,445  

Otis Worldwide Corp

    21,489       1,683  

PACCAR Inc

    17,100       1,570  

Parker-Hannifin Corp

    6,400       1,897  

Pentair PLC

    8,146       472  

Quanta Services Inc

    6,800       741  

Raytheon Technologies Corp

    74,671       7,669  

Republic Services Inc, Cl A

    10,600       1,275  

Robert Half International Inc

    5,500       662  

Rockwell Automation Inc

    5,700       1,519  

Rollins Inc

    11,025       360  

Roper Technologies Inc

    5,300       2,376  

Snap-on Inc

    2,600       547  

Southwest Airlines Co *

     29,300       1,283  

Stanley Black & Decker Inc

    8,300       1,350  

Textron Inc

    10,600       775  

Trane Technologies PLC

    11,700       1,801  

TransDigm Group Inc *

     2,600       1,733  

Union Pacific Corp

    32,100       7,895  

United Airlines Holdings Inc *

     16,000       710  

United Parcel Service Inc, Cl B

    36,300       7,638  

United Rentals Inc *

     3,600       1,158  

Verisk Analytics Inc, Cl A

    8,200       1,454  

Waste Management Inc

    19,430       2,806  

Westinghouse Air Brake Technologies Corp

    9,372       870  

WW Grainger Inc

    2,100       1,002  

Xylem Inc/NY

    8,900       792  
                 
              145,943  

Information Technology — 25.1%

        

Accenture PLC, Cl A

    31,500       9,955  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Adobe Inc *

     23,800     $ 11,131  

Advanced Micro Devices Inc *

     81,736       10,081  

Akamai Technologies Inc *

     8,000       866  

Amphenol Corp, Cl A

    30,200       2,295  

Analog Devices Inc

    26,744       4,287  

ANSYS Inc *

     4,300       1,394  

Apple Inc

    778,031       128,469  

Applied Materials Inc

    44,900       6,026  

Arista Networks Inc *

     11,000       1,350  

Autodesk Inc *

     11,100       2,445  

Automatic Data Processing Inc

    21,200       4,334  

Broadcom Inc

    20,593       12,097  

Broadridge Financial Solutions Inc

    5,800       848  

Cadence Design Systems Inc *

     13,700       2,075  

CDW Corp/DE

    6,900       1,190  

Ceridian HCM Holding Inc *

     6,700       488  

Cisco Systems Inc/Delaware

    210,700       11,751  

Citrix Systems Inc

    6,100       625  

Cognizant Technology Solutions Corp, Cl A

    26,600       2,291  

Corning Inc

    37,800       1,527  

DXC Technology Co *

     12,338       420  

Enphase Energy Inc *

     6,700       1,117  

EPAM Systems Inc *

     2,800       582  

F5 Inc *

     3,000       603  

Fidelity National Information Services Inc

    30,700       2,924  

Fiserv Inc *

     30,000       2,930  

FleetCor Technologies Inc *

     4,000       937  

Fortinet Inc *

     6,700       2,308  

Gartner Inc *

     4,200       1,178  

Global Payments Inc

    14,672       1,957  

Hewlett Packard Enterprise Co

    65,400       1,041  

HP Inc

    58,300       2,003  

Intel Corp

    203,100       9,688  

International Business Machines Corp

    44,658       5,471  

Intuit Inc

    14,200       6,736  

IPG Photonics Corp *

     1,800       235  

Jack Henry & Associates Inc

    3,600       636  

Juniper Networks Inc

    15,900       537  

Keysight Technologies Inc *

     9,100       1,432  

KLA Corp

    7,623       2,657  

Lam Research Corp

    7,087       3,978  

Mastercard Inc, Cl A

    43,300       15,623  

Microchip Technology Inc

    28,100       1,976  

Micron Technology Inc

    55,600       4,941  

Microsoft Corp

    374,770       111,978  

Monolithic Power Systems Inc

    2,100       963  

Motorola Solutions Inc

    8,367       1,844  

NetApp Inc

    11,100       870  

NortonLifeLock Inc

    28,000       811  

NVIDIA Corp

    124,700       30,408  

NXP Semiconductors NV

    13,400       2,548  

Oracle Corp

    80,300       6,100  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

387

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Dynamic Asset Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Paychex Inc

    15,900     $ 1,893  

Paycom Software Inc *

     2,400       814  

PayPal Holdings Inc *

     58,500       6,548  

PTC Inc *

     5,100       568  

Qorvo Inc *

     5,400       739  

QUALCOMM Inc

    55,800       9,597  

salesforce.com *

     48,800       10,274  

Seagate Technology Holdings PLC

    10,500       1,083  

ServiceNow Inc *

     9,900       5,741  

Skyworks Solutions Inc

    8,100       1,119  

SolarEdge Technologies Inc *

     2,600       830  

Synopsys Inc *

     7,700       2,405  

TE Connectivity Ltd

    16,500       2,350  

Teledyne Technologies Inc *

     2,281       979  

Teradyne Inc

    8,100       955  

Texas Instruments Inc

    46,100       7,837  

Trimble Inc *

     12,100       844  

Tyler Technologies Inc *

     2,000       857  

VeriSign Inc *

     4,800       1,026  

Visa Inc, Cl A

    83,655       18,080  

Western Digital Corp *

     15,403       785  

Zebra Technologies Corp, Cl A *

     2,700       1,116  
                 
              519,397  

Materials — 2.3%

        

Air Products and Chemicals Inc

    11,000       2,599  

Albemarle Corp

    5,800       1,136  

Amcor PLC

    78,388       912  

Avery Dennison Corp

    4,100       722  

Ball Corp

    16,400       1,472  

Celanese Corp, Cl A

    5,600       780  

CF Industries Holdings Inc

    10,600       861  

Corteva Inc

    36,905       1,920  

Dow Inc

    37,371       2,203  

DuPont de Nemours Inc

    26,240       2,030  

Eastman Chemical Co

    6,600       782  

Ecolab Inc

    12,575       2,217  

FMC Corp

    6,300       739  

Freeport-McMoRan Inc, Cl B

    72,900       3,423  

International Flavors & Fragrances Inc

    12,857       1,710  

International Paper Co

    19,200       836  

Linde PLC

    25,553       7,493  

LyondellBasell Industries NV, Cl A

    13,400       1,303  

Martin Marietta Materials Inc

    3,100       1,176  

Mosaic Co/The

    18,300       960  

Newmont Corp

    40,300       2,668  

Nucor Corp

    14,500       1,909  

Packaging Corp of America

    4,700       692  

PPG Industries Inc

    12,000       1,601  

Sealed Air Corp

    7,200       483  

Sherwin-Williams Co/The

    12,125       3,190  

Vulcan Materials Co

    6,800       1,234  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Westrock Co

    13,241     $ 599  
                 
              47,650  

Real Estate — 2.3%

        

Alexandria Real Estate Equities Inc ‡

     6,900       1,307  

American Tower Corp, Cl A ‡

     22,747       5,161  

AvalonBay Communities Inc ‡

     6,900       1,646  

Boston Properties Inc ‡

     6,900       844  

CBRE Group Inc, Cl A *

     16,500       1,598  

Crown Castle International Corp ‡

     21,500       3,582  

Digital Realty Trust Inc ‡

     14,000       1,889  

Duke Realty Corp ‡

     18,800       996  

Equinix Inc ‡

     4,457       3,163  

Equity Residential ‡

     16,800       1,433  

Essex Property Trust Inc ‡

     3,200       1,015  

Extra Space Storage Inc ‡

     6,600       1,242  

Federal Realty Investment Trust ‡

     3,400       400  

Healthpeak Properties Inc ‡

     27,600       857  

Host Hotels & Resorts Inc *‡

     34,985       639  

Iron Mountain Inc ‡

     13,871       682  

Kimco Realty Corp ‡

     29,700       699  

Mid-America Apartment Communities Inc ‡

     5,700       1,166  

Prologis Inc ‡

     36,798       5,367  

Public Storage ‡

     7,700       2,734  

Realty Income Corp ‡

     28,000       1,850  

Regency Centers Corp ‡

     7,300       481  

SBA Communications Corp, Cl A ‡

     5,500       1,669  

Simon Property Group Inc ‡

     16,600       2,283  

UDR Inc ‡

     14,900       818  

Ventas Inc ‡

     19,600       1,058  

Vornado Realty Trust ‡

     7,800       338  

Welltower Inc ‡

     21,500       1,791  

Weyerhaeuser Co ‡

     37,127       1,443  
                 
              48,151  

Utilities — 2.3%

        

AES Corp/The

    33,300       707  

Alliant Energy Corp

    12,100       707  

Ameren Corp

    12,800       1,100  

American Electric Power Co Inc

    25,500       2,312  

American Water Works Co Inc

    8,900       1,345  

Atmos Energy Corp

    6,500       714  

CenterPoint Energy Inc

    31,500       862  

CMS Energy Corp

    14,500       928  

Consolidated Edison Inc

    17,400       1,492  

Constellation Energy Corp

    16,466       757  

Dominion Energy Inc

    40,832       3,247  

DTE Energy Co

    9,600       1,167  

Duke Energy Corp

    38,730       3,889  

Edison International

    18,700       1,186  

Entergy Corp

    9,900       1,042  

Evergy Inc

    11,299       705  

Eversource Energy

    16,900       1,382  

 

 

 

388

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Dynamic Asset Allocation Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Exelon Corp

    49,400     $ 2,102  

FirstEnergy Corp

    27,700       1,159  

NextEra Energy Inc

    98,000       7,670  

NiSource Inc

    18,800       544  

NRG Energy Inc

    12,100       458  

Pinnacle West Capital Corp

    5,800       411  

PPL Corp

    38,300       1,002  

Public Service Enterprise Group Inc

    24,900       1,614  

Sempra Energy

    16,100       2,322  

Southern Co/The

    53,400       3,459  

WEC Energy Group Inc

    15,962       1,451  

Xcel Energy Inc

    27,300       1,838  
                 
              47,572  

Total Common Stock

               

(Cost $650,954) ($ Thousands)

             1,848,067  
                 
                 

Total Investments in Securities — 89.4%

                

(Cost $650,954) ($ Thousands)

  $ 1,848,067  
                 
                 
                 
   


Contracts

          

PURCHASED SWAPTIONS* — 1.4%

Total Purchased Swaptions (A)

                

(Cost $17,907) ($ Thousands)

     300,563,223     $ 28,882  
                 
                 

 

 
 

 

A list of the open OTC swaption contracts held by the Fund at February 28, 2022, is as follows:

 

Description

  

Counterparty

    

Number of Contracts/ Notional Amount

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

PURCHASED SWAPTIONS — 1.4%

                        

Call Swaptions

                                

CMS One Look*

     Bank of America Merrill Lynch       191,367,893     $ 2.00       08/19/2023     $ 17,021  

CMS One Look*

     Bank of America Merrill Lynch       109,195,330     $ 1.99       08/17/2024       11,861  

Total Purchased Swaptions

             300,563,223                     $ 28,882  

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Depreciation (Thousands)

  

Long Contracts

                                        

S&P 500 Index E-MINI^

     1,020       Mar-2022     $ 237,220     $ 222,768     $ (14,452 )

 

A list of OTC swap agreements held by the Fund at February 28, 2022, is as follows:

 

Total Return Swaps

Counterparty

  

Reference Entity/ Obligation

    

Fund Pays

    

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional
Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/
Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Thousands)

  

Bank of America Merrill Lynch^

     PAYB +BCOMTR/0.10 %  

Total Return

       0.10 %     Quarterly       3/10/2022       USD       (109,537 )   $ 20,451     $ –     $ 20,451  
                                                            $ 20,451     $ –     $ 20,451  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

389

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Dynamic Asset Allocation Fund (Concluded)

 

 

A list of the open centrally cleared swap agreements held by the Fund at February 28, 2022, is as follows:

 

Interest Rate Swaps

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Thousands)

  

USD-SOFR-OIS COMPOUND

     1.66       Annually       11/24/2031       USD       224,228     $ 975     $ –     $ 975  

1Y CPI-CPURNSA^

     2.1475%       Annually       12/10/2030       USD       70,504       10,789       –       10,789  
                                            $ 11,764     $ –     $ 11,764  

 

 

 

Percentages are based on Net Assets of $2,066,457 ($ Thousands).

*

Non-income producing security.

‡

Real Estate Investment Trust.

(A)

Refer to table below for details on Swaption Contracts.

^

Security, or a portion thereof, is held by DAA Commodity Strategy Subsidiary, Ltd. as of February 28, 2022.

 

Cl — Class

Ltd. — Limited

MSCI — Morgan Stanley Capital International

OTC — Over The Counter

PLC — Public Limited Company

S&P— Standard & Poor's

SOFR — Secured Overnight Finance Rate

USD — U.S. Dollar

 

The following is a list of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Common Stock

     1,848,067       –       –       1,848,067  

Total Investments in Securities

     1,848,067       –       –       1,848,067  

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Purchased Swaptions

     –       28,882       –       28,882  

Futures Contracts*

                                

Unrealized Depreciation

     (14,452 )     –       –       (14,452 )

OTC Swaps

                                

Total Return Swaps*

                                

Unrealized Appreciation

     –       20,451       –       20,451  

Centrally Cleared Swaps

                                

Interest Rate Swaps*

                                

Unrealized Appreciation

     –       11,764       –       11,764  

Total Other Financial Instruments

     (14,452 )     61,097       –       46,645  

 

*

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

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

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

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

 

390

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS — 63.6%

U.S. Treasury Bills^

               

0.300%, 05/26/2022 (A)

   $ 3,000     $ 2,998  

0.175%, 04/28/2022 (A)

     700       700  

0.116%, 04/05/2022 (A)

     6,900       6,899  

0.114%, 04/21/2022 (A)

     1,800       1,799  

0.073%, 03/29/2022 (A)

     11,650       11,649  

0.042%, 03/24/2022 (A)

     13,000       12,999  

0.036%, 03/03/2022 (A)

     12,000       12,000  

0.033%, 03/22/2022 (A)

     12,000       12,000  

0.032%, 03/15/2022 (A)

     12,000       12,000  

0.027%, 03/10/2022 (A)

     12,750       12,750  

0.000%, 06/28/2022 (A)

     800       799  

U.S. Treasury Inflation-Protected Securities (C)

                

2.375%, 01/15/2025

    2,662       3,007  

0.625%, 04/15/2023

    3,220       3,380  

0.625%, 01/15/2024

    27,848       29,598  

0.625%, 01/15/2026

    20,409       22,193  

0.500%, 04/15/2024

    6,787       7,221  

0.375%, 07/15/2023

    26,051       27,543  

0.375%, 07/15/2025

    49,406       53,252  

0.375%, 01/15/2027

    20,817       22,606  

0.250%, 01/15/2025

    43,000       45,848  

0.125%, 07/15/2024

    13,430       14,288  

0.125%, 10/15/2024

    34,152       36,335  

0.125%, 10/15/2025

    27,996       29,928  

0.125%, 07/15/2026

    68,315       73,358  

0.125%, 01/15/2031

    1,831       2,002  

0.125%, 07/15/2031

    10,285       11,297  

U.S. Treasury Notes^

               

0.661%, US Treasury 3 Month Bill Money Market Yield + 0.055%, 07/31/2022

    5,800       5,802  

0.655%, US Treasury 3 Month Bill Money Market Yield + 0.049%, 01/31/2023

    10,100       10,104  

0.640%, US Treasury 3 Month Bill Money Market Yield + 0.034%, 04/30/2023

    17,500       17,506  

0.635%, US Treasury 3 Month Bill Money Market Yield + 0.029%, 07/31/2023

    6,500       6,510  

0.591%, US Treasury 3 Month Bill Money Market Yield + -0.015%, 01/31/2024

    5,200       5,204  

0.415%, US Treasury 3 Month Bill Money Market Yield + 0.055%, 10/31/2022

    1,900       1,900  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. TREASURY OBLIGATIONS (continued)

0.125%, 04/30/2023

  $ 300     $ 296  
         

Total U.S. Treasury Obligations

        

(Cost $505,964) ($ Thousands)

     515,771  
                 
                 
   


Shares

          

COMMON STOCK — 29.7%
                 

Communication Services — 2.2%

        

Activision Blizzard Inc

    6,249       509  

Alphabet Inc, Cl A *

     901       2,434  

Alphabet Inc, Cl C *

     840       2,266  

AMC Entertainment Holdings Inc, Cl A *

     2,900       55  

AT&T Inc (D)

     102,658       2,432  

Cogent Communications Holdings Inc

    600       38  

Electronic Arts Inc

    2,468       321  

Iridium Communications Inc *

     1,034       41  

Liberty Media Corp-Liberty Formula One, Cl C *

     971       59  

Live Nation Entertainment Inc *

     700       84  

Lumen Technologies Inc

    14,730       153  

Madison Square Garden Entertainment Corp *

     322       25  

Madison Square Garden Sports Corp, Cl A *

     227       39  

Match Group Inc *

     1,032       115  

Meta Platforms Inc, Cl A *

     7,126       1,504  

Netflix Inc *

     3,068       1,210  

Pinterest Inc, Cl A *

     1,332       36  

Roku Inc, Cl A *

     963       134  

Spotify Technology SA *

     783       122  

Take-Two Interactive Software Inc *

     1,159       188  

T-Mobile US Inc *

     8,649       1,066  

Twitter Inc *

     1,974       70  

Verizon Communications Inc

    59,357       3,186  

Walt Disney Co/The *

     13,186       1,958  

Zynga Inc, Cl A *

     11,409       104  
                 
              18,149  

Consumer Staples — 7.3%

        

Albertsons Cos Inc, Cl A

    3,900       114  

Altria Group Inc (D)

     44,142       2,264  

Andersons Inc/The

    1,600       73  

Archer-Daniels-Midland Co

    13,020       1,021  

B&G Foods Inc, Cl A

    971       29  

Beauty Health Co/The *

     2,600       50  

Beyond Meat Inc *

     1,228       57  

BJ's Wholesale Club Holdings Inc *

     3,001       189  

Boston Beer Co Inc/The, Cl A *

     227       87  

Brown-Forman Corp, Cl A

    927       57  

Brown-Forman Corp, Cl B

    4,282       279  

Bunge Ltd

    3,140       328  

Cal-Maine Foods Inc

    1,050       46  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

391

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Campbell Soup Co

    4,377     $ 197  

Casey's General Stores Inc

    893       168  

Celsius Holdings Inc *

     1,200       77  

Central Garden & Pet Co, Cl A *

     1,500       66  

Church & Dwight Co Inc

    5,480       536  

Clorox Co/The

    3,093       451  

Coca-Cola Co/The (D)

     90,958       5,661  

Coca-Cola Consolidated Inc

    140       70  

Colgate-Palmolive Co

    20,627       1,587  

Conagra Brands Inc

    10,830       379  

Constellation Brands Inc, Cl A

    3,580       772  

Costco Wholesale Corp (D)

     10,201       5,297  

Coty Inc, Cl A *

     9,568       88  

Darling Ingredients Inc *

     3,785       274  

Edgewell Personal Care Co

    1,666       60  

elf Beauty Inc *

     1,900       50  

Energizer Holdings Inc

    1,760       59  

Estee Lauder Cos Inc/The, Cl A

    5,520       1,636  

Flowers Foods Inc

    4,144       114  

Freshpet Inc *

     1,200       114  

General Mills Inc

    14,581       983  

Grocery Outlet Holding Corp *

     1,687       47  

Hain Celestial Group Inc/The *

     2,027       74  

Herbalife Nutrition Ltd *

     2,034       72  

Hershey Co/The

    3,546       717  

Hormel Foods Corp

    6,444       307  

Hostess Brands Inc, Cl A *

     3,030       65  

Ingredion Inc

    1,768       157  

Inter Parfums Inc

    400       37  

J & J Snack Foods Corp

    153       25  

J M Smucker Co/The

    2,600       350  

John B Sanfilippo & Son Inc

    400       32  

Kellogg Co

    5,802       371  

Keurig Dr Pepper Inc

    17,017       658  

Kimberly-Clark Corp

    7,868       1,024  

Kraft Heinz Co/The

    16,041       629  

Kroger Co/The

    18,593       870  

Lamb Weston Holdings Inc

    3,742       249  

Lancaster Colony Corp

    464       78  

McCormick & Co Inc/MD

    5,605       533  

Medifast Inc

    246       46  

Molson Coors Beverage Co, Cl B

    3,957       206  

Mondelez International Inc, Cl A

    33,416       2,188  

Monster Beverage Corp *

     8,338       704  

Nu Skin Enterprises Inc, Cl A

    857       40  

Olaplex Holdings Inc *

     3,500       59  

PepsiCo Inc (D)

     32,320       5,292  

Performance Food Group Co *

     4,178       234  

Philip Morris International Inc (D)

     37,379       3,778  

Pilgrim's Pride Corp *

     1,222       29  

Post Holdings Inc *

     1,672       176  

PriceSmart Inc

    500       36  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Primo Water Corp

    3,775     $ 55  

Procter & Gamble Co/The (D)

     57,436       8,954  

Reynolds Consumer Products Inc

    1,100       33  

Sanderson Farms Inc

    505       90  

Seaboard Corp

    7       27  

Simply Good Foods Co/The *

     1,700       67  

Spectrum Brands Holdings Inc

    1,001       93  

Sprouts Farmers Market Inc *

     2,601       74  

Sysco Corp

    12,477       1,087  

TreeHouse Foods Inc *

     979       38  

Tyson Foods Inc, Cl A (D)

     6,735       624  

United Natural Foods Inc *

     1,400       56  

US Foods Holding Corp *

     5,318       208  

USANA Health Sciences Inc *

     500       44  

Vector Group Ltd

    1,419       16  

Walgreens Boots Alliance Inc

    17,112       789  

Walmart Inc (D)

     33,412       4,516  

WD-40 Co

    255       54  

Weis Markets Inc

    1,200       74  
                 
              59,215  

Energy — 8.2%

        

Antero Midstream Corp

    14,297       144  

Antero Resources Corp *

     11,666       267  

APA Corp

    14,804       528  

Arch Resources Inc

    600       72  

Archrock Inc

    7,507       63  

Baker Hughes Co, Cl A

    30,635       900  

Brigham Minerals Inc, Cl A

    1,217       28  

Bristow Group *

     1,500       50  

Cactus Inc, Cl A

    2,000       101  

California Resources Corp

    2,900       120  

Callon Petroleum Co *

     1,700       96  

Centennial Resource Development Inc/DE, Cl A *

     7,400       65  

Centrus Energy, Cl A *

     800       36  

ChampionX Corp

    8,645       185  

Cheniere Energy Inc

    9,796       1,302  

Chesapeake Energy Corp

    4,400       340  

Chevron Corp (D)

     81,762       11,774  

Civitas Resources Inc

    1,569       79  

Clean Energy Fuels Corp *

     5,769       42  

CNX Resources Corp *

     7,233       118  

Comstock Resources Inc *

     2,700       22  

ConocoPhillips (D)

     54,248       5,146  

CONSOL Energy Inc *

     1,700       52  

Continental Resources Inc/OK

    2,588       143  

Coterra Energy Inc, Cl A

    30,945       722  

Delek US Holdings Inc *

     2,782       48  

Denbury Inc *

     1,800       131  

Devon Energy Corp

    28,149       1,676  

DHT Holdings Inc

    8,000       50  

 

 

 

392

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Diamondback Energy Inc

    7,609     $ 1,051  

DMC Global Inc *

     900       26  

Dorian LPG Ltd

    3,100       43  

Dril-Quip Inc *

     1,950       56  

DT Midstream Inc

    4,871       259  

Energy Fuels Inc/Canada *

     6,200       51  

EOG Resources Inc

    23,528       2,704  

EQT Corp

    12,210       283  

Equitrans Midstream Corp

    18,676       120  

Expro Group Holdings *

     1,766       28  

Exxon Mobil Corp (D)

     172,261       13,509  

Frontline Ltd/Bermuda

    6,114       58  

Gevo *

     9,500       34  

Golar LNG Ltd *

     4,523       79  

Green Plains Inc *

     1,500       49  

Halliburton Co

    37,034       1,242  

Helmerich & Payne Inc

    4,012       145  

Hess Corp

    11,440       1,156  

HollyFrontier Corp

    6,353       193  

International Seaways Inc

    2,400       44  

Kinder Morgan Inc

    86,800       1,510  

Kosmos Energy Ltd *

     15,416       75  

Laredo Petroleum *

     500       38  

Liberty Oilfield Services Inc, Cl A *

     4,026       50  

Magnolia Oil & Gas Corp, Cl A

    6,491       145  

Marathon Oil Corp

    31,418       709  

Marathon Petroleum Corp (D)

     27,278       2,124  

Matador Resources Co

    3,957       196  

Murphy Oil Corp

    5,443       189  

Nabors Industries Ltd *

     500       63  

New Fortress Energy Inc, Cl A

    1,400       39  

NexTier Oilfield Solutions Inc *

     8,900       71  

Northern Oil and Gas Inc

    1,900       48  

NOV Inc

    18,216       312  

Oasis Petroleum Inc

    900       119  

Occidental Petroleum Corp

    35,522       1,553  

Oceaneering International Inc *

     6,023       88  

ONEOK Inc

    19,968       1,304  

Ovintiv Inc

    10,494       481  

Par Pacific Holdings Inc *

     2,977       41  

Patterson-UTI Energy Inc

    9,465       137  

PBF Energy Inc, Cl A *

     4,480       74  

PDC Energy Inc

    4,199       271  

Peabody Energy Corp *

     3,500       61  

Phillips 66

    19,764       1,665  

Pioneer Natural Resources Co

    8,841       2,118  

ProPetro Holding Corp *

     2,306       29  

Range Resources Corp *

     9,795       225  

Renewable Energy Group Inc *

     1,552       95  

REX American Resources Corp *

     293       28  

Schlumberger NV

    61,620       2,418  

Scorpio Tankers Inc

    2,441       42  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

SFL Corp Ltd

    5,417     $ 54  

SM Energy Co

    4,500       160  

Southwestern Energy Co *

     40,602       203  

Targa Resources Corp

    10,020       655  

Tellurian Inc *

     14,200       54  

Texas Pacific Land Corp

    288       342  

Uranium Energy Corp *

     14,100       56  

US Silica Holdings Inc *

     3,500       51  

Valero Energy Corp (D)

     17,345       1,448  

Whiting Petroleum Corp

    1,400       103  

Williams Cos Inc/The

    55,025       1,721  

World Fuel Services Corp

    2,750       78  
                 
              66,673  

Health Care — 5.8%

        

10X Genomics Inc, Cl A *

     903       74  

Abbott Laboratories

    14,382       1,735  

AbbVie Inc

    15,530       2,295  

ABIOMED Inc *

     259       80  

Acadia Healthcare Co Inc *

     945       54  

ACADIA Pharmaceuticals Inc *

     2,900       74  

Agilent Technologies Inc

    2,727       355  

Agios Pharmaceuticals Inc *

     700       22  

Align Technology Inc *

     662       339  

Alkermes PLC *

     2,200       55  

Alnylam Pharmaceuticals Inc *

     1,098       173  

Amedisys Inc *

     200       32  

AmerisourceBergen Corp, Cl A

    1,191       170  

Amgen Inc (D)

     5,187       1,175  

Amicus Therapeutics Inc *

     2,611       21  

AMN Healthcare Services Inc *

     600       64  

Amphastar Pharmaceuticals Inc *

     1,407       39  

Anthem Inc

    2,108       952  

Apellis Pharmaceuticals Inc *

     1,200       51  

Apollo Medical Holdings Inc *

     500       24  

Arena Pharmaceuticals Inc *

     993       94  

Arrowhead Pharmaceuticals Inc *

     822       36  

Arvinas Inc *

     500       32  

Avanos Medical Inc *

     842       30  

Avantor Inc *

     4,694       163  

Baxter International Inc (D)

     3,896       331  

Beam Therapeutics Inc *

     400       31  

Becton Dickinson and Co

    2,544       690  

Biogen Inc *

     1,077       227  

Biohaven Pharmaceutical Holding Co Ltd *

     500       59  

BioMarin Pharmaceutical Inc *

     1,431       112  

Bio-Rad Laboratories Inc, Cl A *

     127       79  

Bio-Techne Corp

    303       127  

Blueprint Medicines Corp *

     472       29  

Boston Scientific Corp *

     11,741       519  

Bristol-Myers Squibb Co

    19,167       1,316  

Bruker Corp

    976       69  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

393

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Cardinal Health Inc

    2,208     $ 119  

CareDx Inc *

     600       23  

Cassava Sciences *

     500       21  

Catalent Inc *

     1,341       137  

Centene Corp *

     5,109       422  

Cerner Corp

    2,527       236  

Change Healthcare Inc *

     1,000       21  

Charles River Laboratories International Inc *

     461       134  

Chemed Corp

    127       61  

Cigna Corp

    2,653       631  

CONMED Corp

    400       58  

Cooper Cos Inc/The

    430       176  

CorVel Corp *

     200       32  

Covetrus Inc *

     1,565       28  

CVS Health Corp

    11,119       1,152  

Cytokinetics Inc *

     1,200       42  

Danaher Corp

    5,044       1,384  

DaVita Inc *

     611       69  

Denali Therapeutics Inc *

     600       20  

DENTSPLY SIRONA Inc

    1,674       91  

Dexcom Inc *

     760       315  

Edwards Lifesciences Corp *

     4,727       531  

Elanco Animal Health Inc *

     3,758       107  

Eli Lilly & Co

    7,087       1,771  

Emergent BioSolutions Inc *

     500       21  

Enanta Pharmaceuticals Inc *

     500       35  

Encompass Health Corp

    884       58  

Ensign Group Inc/The

    361       30  

Envista Holdings Corp *

     1,600       77  

Exact Sciences Corp *

     1,679       131  

Exelixis Inc *

     2,196       45  

Fate Therapeutics Inc *

     590       20  

Gilead Sciences Inc (D)

     11,425       690  

Globus Medical Inc, Cl A *

     700       49  

Guardant Health Inc *

     466       31  

Haemonetics Corp *

     567       33  

Halozyme Therapeutics Inc *

     1,232       44  

HCA Healthcare Inc

    2,070       518  

Health Catalyst Inc *

     877       24  

HealthEquity Inc *

     500       27  

HealthStream Inc *

     1,168       24  

Henry Schein Inc *

     936       81  

Hologic Inc *

     1,540       110  

Horizon Therapeutics PLC *

     1,773       162  

Humana Inc

    1,175       510  

ICU Medical Inc *

     126       30  

IDEXX Laboratories Inc *

     643       342  

Illumina Inc *

     1,095       358  

Inari Medical Inc *

     500       44  

Incyte Corp *

     1,556       106  

Inspire Medical Systems Inc *

     200       49  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Insulet Corp *

     413     $ 109  

Integer Holdings Corp *

     400       34  

Integra LifeSciences Holdings Corp *

     572       38  

Intellia Therapeutics Inc *

     400       40  

Intra-Cellular Therapies Inc *

     1,100       61  

Intuitive Surgical Inc *

     3,071       892  

Ionis Pharmaceuticals Inc *

     1,024       34  

IQVIA Holdings Inc *

     1,421       327  

iRhythm Technologies Inc *

     400       52  

Ironwood Pharmaceuticals Inc, Cl A *

     2,400       26  

Jazz Pharmaceuticals PLC *

     548       75  

Johnson & Johnson (D)

     22,372       3,682  

Kodiak Sciences Inc *

     400       3  

Laboratory Corp of America Holdings *

     751       204  

LHC Group Inc *

     437       59  

Ligand Pharmaceuticals Inc *

     222       22  

LivaNova PLC *

     443       35  

Masimo Corp *

     428       67  

McKesson Corp

    1,342       369  

Medpace Holdings Inc *

     300       46  

Medtronic PLC

    11,627       1,221  

Merck & Co Inc

    21,074       1,614  

Merit Medical Systems Inc *

     500       33  

Mesa Laboratories Inc

    98       25  

Mettler-Toledo International Inc *

     190       268  

Mirati Therapeutics Inc *

     282       25  

Moderna Inc *

     2,518       387  

ModivCare Inc *

     195       23  

Molina Healthcare Inc *

     374       115  

Natera Inc *

     559       37  

Nektar Therapeutics, Cl A *

     2,016       21  

Neogen Corp *

     882       31  

Neurocrine Biosciences Inc *

     870       78  

NextGen Healthcare Inc *

     2,384       47  

Novavax Inc *

     479       40  

Novocure Ltd *

     712       58  

NuVasive Inc *

     400       22  

Omnicell Inc *

     250       32  

Option Care Health Inc *

     2,000       51  

Organon & Co

    1,865       70  

Owens & Minor Inc

    1,100       49  

Pacira BioSciences Inc *

     600       40  

Penumbra Inc *

     195       43  

PerkinElmer Inc

    1,009       181  

Perrigo Co PLC

    429       15  

Pfizer Inc

    47,628       2,236  

Phreesia Inc *

     800       25  

Premier Inc, Cl A

    500       18  

Progyny Inc *

     800       31  

PTC Therapeutics Inc *

     600       21  

QIAGEN NV *

     2,382       118  

Quest Diagnostics Inc

    831       109  

 

 

 

394

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Quidel Corp *

     200     $ 21  

Regeneron Pharmaceuticals Inc *

     945       584  

Repligen Corp *

     532       105  

ResMed Inc

    1,475       364  

Royalty Pharma PLC, Cl A

    2,100       82  

Sage Therapeutics Inc *

     703       26  

Sarepta Therapeutics Inc *

     531       41  

Seagen Inc *

     1,200       155  

Select Medical Holdings Corp

    1,200       28  

Shockwave Medical Inc *

     200       35  

STAAR Surgical Co *

     220       17  

STERIS PLC

    678       163  

Stryker Corp

    3,169       835  

Syneos Health Inc, Cl A *

     1,027       81  

Tandem Diabetes Care Inc *

     400       45  

Teladoc Health Inc *

     1,308       99  

Teleflex Inc

    299       101  

Tenet Healthcare Corp *

     900       77  

Thermo Fisher Scientific Inc

    3,124       1,699  

Twist Bioscience Corp *

     400       22  

Ultragenyx Pharmaceutical Inc *

     358       24  

United Therapeutics Corp *

     370       61  

UnitedHealth Group Inc (D)

     7,866       3,743  

Universal Health Services Inc, Cl B

    523       75  

Veeva Systems Inc, Cl A *

     1,100       252  

Veracyte Inc *

     1,100       31  

Vertex Pharmaceuticals Inc *

     2,149       494  

Viatris Inc, Cl W *

     7,958       88  

Vir Biotechnology Inc *

     600       15  

Waters Corp *

     470       149  

West Pharmaceutical Services Inc

    555       215  

Xencor Inc *

     1,342       42  

Zentalis Pharmaceuticals *

     500       25  

Zimmer Biomet Holdings Inc

    1,622       206  

Zoetis Inc, Cl A

    3,494       677  
                 
              46,894  

Industrials — 0.0%

        

MDU Resources Group Inc

    2,708       73  
                 
                 

Information Technology — 1.9%

        

Accenture PLC, Cl A

    1,603       506  

Adobe Inc *

     1,281       599  

Akamai Technologies Inc *

     500       54  

Amdocs Ltd

    847       67  

ANSYS Inc *

     146       47  

Aspen Technology Inc *

     424       65  

Atlassian Corp PLC, Cl A *

     322       98  

Autodesk Inc *

     453       100  

Automatic Data Processing Inc

    1,097       224  

Avalara Inc *

     200       21  

Bill.com Holdings Inc *

     100       24  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Black Knight Inc *

     300     $ 17  

Block Inc, Cl A *

     1,369       175  

Bottomline Technologies DE Inc *

     683       39  

Broadridge Financial Solutions Inc

    300       44  

Cadence Design Systems Inc *

     659       100  

Cass Information Systems Inc

    700       28  

CDK Global Inc

    835       38  

Ceridian HCM Holding Inc *

     500       36  

Citrix Systems Inc

    200       20  

Cloudflare Inc, Cl A *

     600       70  

Cognizant Technology Solutions Corp, Cl A

    1,495       129  

CommVault Systems Inc *

     400       25  

Coupa Software Inc *

     169       20  

Crowdstrike Holdings Inc, Cl A *

     422       82  

Datadog Inc, Cl A *

     625       101  

DocuSign Inc, Cl A *

     422       50  

Dynatrace Inc *

     800       35  

Elastic NV *

     300       26  

EPAM Systems Inc *

     98       20  

Fair Isaac Corp *

     100       47  

Fidelity National Information Services Inc

    1,456       139  

Fiserv Inc *

     1,398       137  

Five9 Inc *

     300       33  

FleetCor Technologies Inc *

     195       46  

Fortinet Inc *

     350       121  

Gartner Inc *

     237       66  

Genpact Ltd

    600       25  

Global Payments Inc

    881       117  

Globant SA *

     90       25  

Guidewire Software Inc *

     400       35  

HubSpot Inc *

     100       52  

International Business Machines Corp

    2,165       265  

Intuit Inc

    814       386  

Jack Henry & Associates Inc

    349       62  

Manhattan Associates Inc *

     286       38  

Mastercard Inc, Cl A

    2,228       804  

Microsoft Corp (D)

     20,252       6,051  

MongoDB Inc, Cl A *

     140       53  

NortonLifeLock Inc

    1,294       37  

Nuance Communications Inc *

     1,074       60  

Okta Inc, Cl A *

     353       64  

Oracle Corp

    4,682       356  

PagerDuty Inc *

     1,210       41  

Palantir Technologies Inc, Cl A *

     3,300       39  

Palo Alto Networks Inc *

     266       158  

Paychex Inc

    971       116  

Paycom Software Inc *

     89       30  

Paylocity Holding Corp *

     200       42  

PayPal Holdings Inc *

     3,069       343  

PTC Inc *

     500       56  

RingCentral Inc, Cl A *

     100       13  

salesforce.com Inc *

     2,517       530  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

395

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

ServiceNow Inc *

     462     $ 268  

Snowflake Inc, Cl A *

     500       133  

Splunk Inc *

     373       44  

SS&C Technologies Holdings Inc

    440       33  

Synopsys Inc *

     255       80  

Trade Desk Inc/The, Cl A *

     940       80  

Twilio Inc, Cl A *

     437       76  

Tyler Technologies Inc *

     90       39  

Unity Software Inc *

     400       43  

Verint Systems Inc *

     500       25  

VeriSign Inc *

     200       43  

Visa Inc, Cl A

    4,233       915  

VMware Inc, Cl A

    611       72  

Vonage Holdings Corp *

     1,649       33  

WEX Inc *

     200       34  

Workday Inc, Cl A *

     479       110  

Zendesk Inc *

     700       82  

Zoom Video Communications Inc, Cl A *

     462       61  

Zscaler Inc *

     140       33  
                 
              15,451  

Materials — 0.0%

        

Aspen Aerogels Inc *

     1,300       38  
                 
                 

Real Estate — 2.9%

        

Agree Realty Corp ‡

     800       51  

Alexandria Real Estate Equities Inc ‡

     2,218       420  

American Campus Communities Inc ‡

     2,531       136  

American Homes 4 Rent, Cl A ‡

     4,875       185  

American Tower Corp, Cl A ‡

     6,964       1,580  

Americold Realty Trust ‡

     3,783       101  

Apartment Income Corp ‡

     2,315       119  

Apartment Investment and Management Co, Cl A ‡

     3,215       23  

Apple Hospitality REIT Inc ‡

     2,165       38  

AvalonBay Communities Inc ‡

     2,231       532  

Boston Properties Inc ‡

     2,330       285  

Brandywine Realty Trust ‡

     1,779       24  

Brixmor Property Group Inc ‡

     4,839       122  

Broadstone Net Lease Inc, Cl A ‡

     3,200       69  

Camden Property Trust ‡

     1,390       229  

CareTrust Inc ‡

     2,100       37  

CBRE Group Inc, Cl A *

     4,770       462  

Corporate Office Properties Trust ‡

     1,429       37  

Cousins Properties Inc ‡

     2,324       90  

Crown Castle International Corp ‡

     6,751       1,125  

CubeSmart ‡

     2,939       142  

Cushman & Wakefield PLC *

     1,464       32  

CyrusOne Inc ‡

     1,804       163  

DiamondRock Hospitality Co *‡

     5,700       54  

Digital Realty Trust Inc ‡

     4,615       623  

DigitalBridge Group *‡

     7,034       51  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Douglas Emmett Inc ‡

     2,384     $ 76  

Duke Realty Corp ‡

     6,526       346  

EastGroup Properties Inc ‡

     560       107  

Empire State Realty Trust Inc, Cl A ‡

     4,209       40  

EPR Properties ‡

     947       47  

Equinix Inc ‡

     1,453       1,031  

Equity Commonwealth *‡

     2,000       53  

Equity LifeStyle Properties Inc ‡

     2,527       189  

Equity Residential ‡

     5,485       468  

Essential Properties Realty Trust Inc ‡

     1,598       40  

Essex Property Trust Inc ‡

     985       312  

Extra Space Storage Inc ‡

     2,111       397  

Federal Realty Investment Trust ‡

     1,299       153  

First Industrial Realty Trust Inc ‡

     1,752       101  

Forestar Group Inc *

     1,774       32  

Four Corners Property Trust Inc ‡

     1,856       49  

Franklin Street Properties Corp ‡

     7,900       46  

Gaming and Leisure Properties Inc ‡

     3,525       160  

Getty Realty Corp ‡

     1,100       30  

Healthcare Realty Trust Inc ‡

     2,439       64  

Healthcare Trust of America Inc, Cl A ‡

     4,002       118  

Healthpeak Properties Inc ‡

     7,751       241  

Highwoods Properties Inc ‡

     1,928       84  

Host Hotels & Resorts Inc *‡

     9,976       182  

Howard Hughes Corp/The *

     936       89  

Hudson Pacific Properties Inc ‡

     2,073       55  

Independence Realty Trust Inc ‡

     2,100       53  

Industrial Logistics Properties Trust ‡

     1,400       31  

Innovative Industrial Properties Inc, Cl A ‡

     300       57  

Invitation Homes Inc ‡

     8,896       336  

Iron Mountain Inc ‡

     4,356       214  

JBG SMITH Properties ‡

     1,710       46  

Jones Lang LaSalle Inc *

     692       170  

Kennedy-Wilson Holdings Inc

    1,415       31  

Kilroy Realty Corp ‡

     1,720       123  

Kimco Realty Corp ‡

     7,515       177  

Kite Realty Group Trust ‡

     4,176       92  

Lamar Advertising Co, Cl A ‡

     1,069       117  

Lexington Realty Trust, Cl B ‡

     4,731       73  

Life Storage Inc ‡

     1,343       170  

Macerich Co/The ‡

     3,603       55  

Marcus & Millichap Inc

    600       30  

Medical Properties Trust Inc ‡

     9,612       195  

Mid-America Apartment Communities Inc ‡

     1,837       376  

National Health Investors Inc ‡

     759       40  

National Retail Properties Inc ‡

     2,895       123  

National Storage Affiliates Trust ‡

     1,757       102  

Newmark Group Inc, Cl A

    3,341       59  

Omega Healthcare Investors Inc ‡

     3,539       100  

Opendoor Technologies Inc *

     7,300       61  

Outfront Media Inc ‡

     2,325       62  

Park Hotels & Resorts Inc *‡

     3,709       70  

 

 

 

396

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Pebblebrook Hotel Trust ‡

     2,447     $ 55  

Physicians Realty Trust ‡

     2,813       46  

PotlatchDeltic Corp ‡

     1,021       56  

Prologis Inc ‡

     11,594       1,691  

PS Business Parks Inc ‡

     204       32  

Public Storage ‡

     2,438       866  

Rayonier Inc ‡

     2,527       100  

Realty Income Corp ‡

     9,437       624  

Redfin Corp *

     1,258       27  

Regency Centers Corp ‡

     2,349       155  

Retail Opportunity Investments Corp ‡

     1,911       35  

Rexford Industrial Realty Inc ‡

     3,448       242  

RLJ Lodging Trust ‡

     3,871       54  

Ryman Hospitality Properties Inc *‡

     867       76  

Sabra Health Care Inc ‡

     2,961       40  

Saul Centers Inc ‡

     866       40  

SBA Communications Corp, Cl A ‡

     1,875       569  

Service Properties Trust ‡

     2,782       24  

Simon Property Group Inc ‡

     5,021       691  

SITE Centers Corp ‡

     2,800       44  

SL Green Realty Corp ‡

     828       66  

Spirit Realty Capital Inc ‡

     1,868       87  

St. Joe

    1,158       63  

STAG Industrial Inc ‡

     3,018       118  

STORE Capital Corp ‡

     4,740       146  

Sun Communities Inc ‡

     1,749       317  

Sunstone Hotel Investors Inc *‡

     5,094       54  

Terreno Realty Corp ‡

     1,022       70  

UDR Inc ‡

     5,228       287  

Uniti Group Inc ‡

     3,838       50  

Universal Health Realty Income Trust ‡

     400       23  

Urban Edge Properties ‡

     2,552       46  

Ventas Inc ‡

     5,832       315  

Veris Residential ‡

     2,576       43  

VICI Properties Inc ‡

     9,770       273  

Vornado Realty Trust ‡

     2,517       109  

Welltower Inc ‡

     6,898       574  

Weyerhaeuser Co ‡

     10,668       415  

WP Carey Inc ‡

     2,708       210  

Xenia Hotels & Resorts Inc *‡

     2,172       40  

Zillow Group Inc, Cl A *

     1,100       63  

Zillow Group Inc, Cl C *

     2,700       155  
                 
              23,194  

Utilities — 1.4%

        

AES Corp/The

    7,044       150  

Alliant Energy Corp

    2,488       145  

Ameren Corp

    2,635       226  

American Electric Power Co Inc

    5,465       495  

American States Water Co

    500       42  

American Water Works Co Inc

    2,016       305  

Atmos Energy Corp

    1,051       115  

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK (continued)

Black Hills Corp

    800     $ 56  

Brookfield Infrastructure Corp, Cl A

    466       33  

Brookfield Renewable Corp, Cl A

    1,100       41  

California Water Service Group

    397       23  

CenterPoint Energy Inc

    6,306       172  

Clearway Energy Inc, Cl C

    1,281       43  

CMS Energy Corp

    3,057       196  

Consolidated Edison Inc

    3,458       297  

Constellation Energy Corp

    3,470       160  

Dominion Energy Inc

    8,769       697  

DTE Energy Co

    2,033       247  

Duke Energy Corp

    8,093       813  

Edison International

    3,785       240  

Entergy Corp

    2,066       217  

Essential Utilities Inc

    2,137       101  

Evergy Inc

    2,236       140  

Eversource Energy

    3,581       293  

Exelon Corp

    10,212       435  

FirstEnergy Corp

    5,441       228  

Hawaiian Electric Industries Inc

    1,150       47  

IDACORP Inc

    890       92  

MGE Energy Inc

    600       43  

Middlesex Water Co

    200       20  

National Fuel Gas Co

    1,000       62  

New Jersey Resources Corp

    1,300       57  

NextEra Energy Inc

    20,712       1,621  

NiSource Inc

    3,419       99  

NRG Energy Inc

    2,983       113  

OGE Energy Corp

    1,585       59  

ONE Gas Inc

    406       34  

Ormat Technologies Inc

    275       20  

PG&E Corp *

     14,363       163  

Pinnacle West Capital Corp

    1,409       100  

PNM Resources Inc

    534       24  

Portland General Electric Co

    1,024       52  

PPL Corp

    8,609       225  

Public Service Enterprise Group Inc

    6,426       417  

Sempra Energy

    3,105       448  

SJW Group

    700       46  

Southern Co/The

    11,040       715  

UGI Corp

    1,563       60  

Unitil Corp

    500       25  

Via Renewables Inc, Cl A

    3,000       33  

Vistra Corp

    6,274       143  

WEC Energy Group Inc

    3,646       331  

Xcel Energy Inc

    6,456       435  
                 
              11,394  

Total Common Stock

               

(Cost $147,264) ($ Thousands)

             241,081  
                 
                 

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

397

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS — 8.5%

Communication Services — 1.1%

        

Altice Financing

               

3.000%, 01/15/2028

  EUR 226     $ 225  

Altice France

               

3.375%, 01/15/2028

    112       115  

AT&T

               

4.300%, 12/15/2042

  $ 227       231  

3.500%, 09/15/2053

    81       74  

Baidu

               

3.425%, 04/07/2030

    201       202  

1.625%, 02/23/2027

    342       322  

CCO Holdings LLC

               

4.750%, 02/01/2032 (E)

     489       476  

4.500%, 08/15/2030 (E)

     54       52  

4.500%, 06/01/2033 (E)

     189       177  

DISH DBS

               

5.250%, 12/01/2026 (E)

     920       902  

Globo Comunicacao e Participacoes

               

4.875%, 01/22/2030 (E)

     415       371  

Lorca Telecom Bondco

               

4.000%, 09/18/2027

  EUR 226       243  

Lumen Technologies

               

4.500%, 01/15/2029 (E)

   $ 470       393  

Prosus

               

3.680%, 01/21/2030 (E)

     479       432  

3.257%, 01/19/2027 (E)

     262       251  

Summer BC Holdco B SARL

               

5.750%, 10/31/2026

  EUR 226       255  

Tencent Holdings MTN

               

3.240%, 06/03/2050 (E)

   $ 412       338  

2.390%, 06/03/2030

    200       186  

1.810%, 01/26/2026 (E)

     621       601  

Time Warner Cable LLC

               

4.500%, 09/15/2042

    245       231  

T-Mobile USA

               

3.375%, 04/15/2029 (E)

     63       62  

2.875%, 02/15/2031

    315       296  

2.625%, 02/15/2029

    107       100  

2.550%, 02/15/2031

    837       784  

Weibo

               

3.375%, 07/08/2030

    1,183       1,097  
                 
              8,416  
                 

Consumer Discretionary — 1.0%

        

Adient Global Holdings

               

3.500%, 08/15/2024

  EUR 226       251  

Advance Auto Parts

               

3.900%, 04/15/2030

  $ 784       811  

Alibaba Group Holding

               

2.125%, 02/09/2031

    1,023       921  

Carnival

               

4.000%, 08/01/2028 (E)

     527       505  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Clarios Global

               

4.375%, 05/15/2026 (E)

   EUR 161     $ 177  

Expedia Group

               

6.250%, 05/01/2025 (E)

   $ 24       26  

4.625%, 08/01/2027

    224       240  

Harley-Davidson Financial Services

               

3.350%, 06/08/2025 (E)

     1,134       1,146  

3.050%, 02/14/2027 (E)

     54       53  

Las Vegas Sands Corp

               

3.900%, 08/08/2029

    653       626  

Mattel

               

3.750%, 04/01/2029 (E)

     193       193  

MDC Holdings

               

6.000%, 01/15/2043

    340       368  

MercadoLibre

               

2.375%, 01/14/2026

    200       187  

NH Hotel Group

               

4.000%, 07/02/2026

  EUR 107       118  

Nissan Motor

               

4.345%, 09/17/2027 (E)

   $ 1,034       1,064  

Nobel Bidco BV

               

3.125%, 06/15/2028

  EUR 226       229  

Ross Stores

               

4.700%, 04/15/2027

  $ 946       1,039  

Royal Caribbean Cruises Ltd

               

11.500%, 06/01/2025 (E)

     301       333  

Wynn Macau

               

5.625%, 08/26/2028 (E)

     341       297  
                 
              8,584  
                 

Consumer Staples — 0.8%

        

Albertsons

               

3.500%, 03/15/2029 (E)

     351       326  

Altria Group

               

4.800%, 02/14/2029

    160       173  

3.400%, 05/06/2030

    850       837  

BAT Capital

               

4.700%, 04/02/2027

    545       579  

2.726%, 03/25/2031

    504       462  

2.259%, 03/25/2028

    1,268       1,184  

BRF GmbH

               

4.350%, 09/29/2026

    200       197  

Cencosud

               

5.150%, 02/12/2025

    613       638  

Kimberly-Clark de Mexico

               

2.431%, 07/01/2031 (E)

     292       271  

Natura Cosmeticos

               

4.125%, 05/03/2028 (E)

     271       258  

Virgolino de Oliveira Finance

               

10.500%, 01/28/2018 (E)(F)

     500       4  
                 
              4,929  
                 

 

 

 

398

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Energy — 0.6%

        

BP Capital Markets America

               

2.939%, 06/04/2051

  $ 1,066     $ 897  

Continental Resources/Oklahoma

               

2.268%, 11/15/2026 (E)

     960       915  

Enbridge Energy Partners

               

7.375%, 10/15/2045

    587       828  

Energy Transfer

               

6.250%, 04/15/2049

    297       343  

Eni

               

4.250%, 05/09/2029 (E)

     950       1,009  

Marathon Petroleum

               

6.500%, 03/01/2041

    150       190  

Oleoducto Central

               

4.000%, 07/14/2027 (E)

     235       222  

ONEOK

               

6.350%, 01/15/2031

    124       147  

ONEOK Partners

               

6.125%, 02/01/2041

    54       62  

Tengizchevroil Finance International

               

3.250%, 08/15/2030 (E)

     255       235  

TransCanada PipeLines

               

6.200%, 10/15/2037

    302       379  

6.100%, 06/01/2040

    486       613  

Transocean Poseidon

               

6.875%, 02/01/2027 (E)

     313       306  
                 
              6,146  
                 

Financials — 3.1%

        

ABN AMRO Bank

               

4.750%, 07/28/2025 (E)

     200       210  

Aircastle

               

5.250%, 08/11/2025 (E)

     432       461  

4.250%, 06/15/2026

    54       56  

4.125%, 05/01/2024

    172       176  

2.850%, 01/26/2028 (E)

     778       743  

Alfa

               

5.250%, 03/25/2024 (E)

     814       838  

Aviation Capital Group LLC

               

5.500%, 12/15/2024 (E)

     432       459  

4.875%, 10/01/2025 (E)

     175       183  

4.375%, 01/30/2024 (E)

     152       156  

4.125%, 08/01/2025 (E)

     6       6  

3.500%, 11/01/2027 (E)

     157       155  

1.950%, 01/30/2026 (E)

     406       387  

1.950%, 09/20/2026 (E)

     142       134  

Banco de Credito del Peru MTN

               

3.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.000%, 07/01/2030 (E)(G)

     728       694  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Banco Santander

               

7.500%, USD ICE Swap 11:00 NY 5 Yr + 4.989%(G)(H)

   $ 600     $ 624  

Bank of America

               

1.734%, U.S. SOFR + 0.960%, 07/22/2027 (G)

     1,043       996  

Bank of New York Mellon

               

4.700%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.358%(G)(H)

     192       197  

BNP Paribas

               

2.871%, U.S. SOFR + 1.387%, 04/19/2032 (E)(G)

     687       653  

CDBL Funding 1 MTN

               

3.500%, 10/24/2027

    520       527  

Charles Schwab

               

5.375%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.971%(G)(H)

     397       418  

4.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.168%(G)(H)

     583       564  

CITIC MTN

               

2.850%, 02/25/2030

    278       268  

Citigroup

               

5.950%, ICE LIBOR USD 3 Month + 4.068%(G)(H)

     232       234  

4.075%, ICE LIBOR USD 3 Month + 1.192%, 04/23/2029 (G)

     288       303  

4.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.597%(G)(H)

     348       336  

3.980%, ICE LIBOR USD 3 Month + 1.338%, 03/20/2030 (G)

     196       206  

Credit Suisse Group

               

7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.598%(E)(G)(H)

     200       209  

7.500%, USD Swap Semi 30/360 5 Yr Curr + 4.600%(G)(H)

     749       763  

6.375%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.822%(E)(G)(H)

     300       302  

4.194%, U.S. SOFR + 3.730%, 04/01/2031 (E)(G)

     382       397  

3.091%, U.S. SOFR + 1.730%, 05/14/2032 (E)(G)

     670       635  

Deutsche Bank NY

               

3.961%, U.S. SOFR + 2.581%, 11/26/2025 (G)

     295       301  

2.129%, U.S. SOFR + 1.870%, 11/24/2026 (G)

     330       318  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

399

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Discover Financial Services

               

6.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.783%(G)(H)

   $ 1,248     $ 1,304  

Fifth Third Bancorp

               

4.500%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 4.215%(G)(H)

     236       237  

Goldman Sachs Group

               

4.125%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 2.949%(G)(H)

     296       281  

3.102%, U.S. SOFR + 1.410%, 02/24/2033 (G)

     93       92  

2.615%, U.S. SOFR + 1.281%, 04/22/2032 (G)

     688       650  

2.383%, U.S. SOFR + 1.248%, 07/21/2032 (G)

     231       214  

HSBC Holdings PLC

               

4.583%, ICE LIBOR USD 3 Month + 1.535%, 06/19/2029 (G)

     499       531  

4.292%, ICE LIBOR USD 3 Month + 1.348%, 09/12/2026 (G)

     260       271  

ING Groep

               

6.875%, USD ICE Swap 11:00 NY 5 Yr + 5.124%(G)(H)

     725       727  

JPMorgan Chase

               

3.769%, ICE LIBOR USD 3 Month + 3.470%(G)(H)

     291       290  

3.534%, ICE LIBOR USD 3 Month + 3.320%(G)(H)

     145       144  

2.580%, U.S. SOFR + 1.250%, 04/22/2032 (G)

     688       659  

Morgan Stanley MTN

               

2.943%, U.S. SOFR + 1.290%, 01/21/2033 (G)

     213       209  

Nationwide Building Society MTN

               

2.972%, U.S. SOFR + 1.290%, 02/16/2028 (E)(G)

     307       305  

OEC Finance

               

7.125%cash/0% PIK, 12/26/2046 (E)

     221       7  

5.250%cash/0% PIK, 12/27/2033 (E)

     206       6  

Santander Holdings USA

               

4.400%, 07/13/2027

    351       370  

2.490%, U.S. SOFR + 1.249%, 01/06/2028 (G)

     85       83  

SLM

               

4.200%, 10/29/2025

    650       653  

Societe Generale

               

2.797%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.300%, 01/19/2028 (E)(G)

     613       595  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Standard Chartered

               

6.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.661%(E)(G)(H)

   $ 514     $ 526  

1.809%, ICE LIBOR USD 3 Month + 1.510%(E)(G)(H)

     400       348  

Swiss Re Finance Luxembourg

               

5.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.582%, 04/02/2049 (G)

     400       424  

Truist Financial

               

5.100%, US Treas Yield Curve Rate T Note Const Mat 10 Yr + 4.349%(G)(H)

     792       822  

UniCredit

               

3.127%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.550%, 06/03/2032 (E)(G)

     350       319  

1.982%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.200%, 06/03/2027 (E)(G)

     510       476  

US Bancorp

               

5.300%, ICE LIBOR USD 3 Month + 2.914%(G)(H)

     408       412  

Voya Financial

               

5.650%, ICE LIBOR USD 3 Month + 3.580%, 05/15/2053 (G)

     258       260  

Wells Fargo

               

3.900%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 3.453%(G)(H)

     306       294  

2.188%, U.S. SOFR + 2.000%, 04/30/2026 (G)

     420       414  
                 
              24,832  
                 

Health Care — 0.2%

        

Amgen

               

3.000%, 02/22/2029

    237       239  

Baxalta

               

3.600%, 06/23/2022

    222       223  

Centene Corp

               

2.625%, 08/01/2031

    295       272  

Cigna

               

4.375%, 10/15/2028

    384       416  

IQVIA

               

2.250%, 03/15/2029

  EUR 200       204  

Organon

               

2.875%, 04/30/2028

    200       210  

 

 

 

400

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Teva Pharmaceutical Finance Netherlands II BV

               

3.750%, 05/09/2027

  EUR 200     $ 210  
                 
              1,774  
                 

Industrials — 0.7%

        

AerCap Ireland Capital DAC

               

6.500%, 07/15/2025

  $ 187       206  

4.450%, 04/03/2026

    156       163  

2.450%, 10/29/2026

    569       549  

Air Lease

               

3.625%, 04/01/2027

    38       39  

2.100%, 09/01/2028

    165       151  

Air Lease MTN

               

2.875%, 01/15/2026

    83       82  

APCOA Parking Holdings GmbH

               

4.625%, 01/15/2027

  EUR 226       241  

Ardagh Metal Packaging Finance USA LLC

               

3.250%, 09/01/2028 (E)

   $ 437       411  

Cemex

               

3.875%, 07/11/2031 (E)

     500       444  

Delta Air Lines/Skymiles LP

               

4.750%, 10/20/2028 (E)

     450       469  

4.500%, 10/20/2025 (E)

     388       398  

Deutsche Lufthansa MTN

               

3.000%, 05/29/2026

  EUR 100       109  

Embraer Netherlands Finance BV

               

6.950%, 01/17/2028 (E)

   $ 242       252  

5.400%, 02/01/2027

    575       580  

ENA Master Trust

               

4.000%, 05/19/2048 (E)

     269       259  

Flowserve

               

2.800%, 01/15/2032

    228       210  

IHS Markit

               

4.750%, 08/01/2028

    31       35  

4.250%, 05/01/2029

    145       159  

Lima Metro Line 2 Finance

               

5.875%, 07/05/2034

    234       256  

4.350%, 04/05/2036 (E)

     220       223  

Odebrecht Holdco Finance

               

0.000%, 09/10/2058 (B)(E)

     480       3  

TK Elevator Midco GmbH

               

4.375%, 07/15/2027

  EUR 118       132  

TransDigm

               

6.250%, 03/15/2026 (E)

   $ 448       461  

Westinghouse Air Brake Technologies

               

3.200%, 06/15/2025

    134       135  
                 
              5,967  
                 

Information Technology — 0.2%

        

Broadcom

               

4.150%, 11/15/2030

    776       814  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Infor

               

1.750%, 07/15/2025 (E)

   $ 323     $ 313  

Kyndryl Holdings

               

2.050%, 10/15/2026 (E)

     568       536  

Playtech

               

4.250%, 03/07/2026

  EUR 200       223  

SK Hynix

               

2.375%, 01/19/2031 (E)

   $ 262       240  
                 
              2,126  
                 

Materials — 0.3%

        

Axalta Coating Systems LLC

               

3.375%, 02/15/2029 (E)

     628       573  

Braskem Netherlands Finance BV

               

4.500%, 01/31/2030 (E)

     220       217  

Indonesia Asahan Aluminium Persero

               

4.750%, 05/15/2025 (E)

     330       337  

INEOS Quattro Finance 2

               

2.500%, 01/15/2026 (E)

   EUR 280       298  

Inversiones CMPC

               

4.375%, 05/15/2023

  $ 237       241  

Suzano Austria GmbH

               

3.750%, 01/15/2031

    163       153  

2.500%, 09/15/2028

    861       784  

Volcan Cia Minera SAA

               

4.375%, 02/11/2026 (E)

     144       138  
                 
              2,741  
                 

Real Estate — 0.1%

        

Host Hotels & Resorts

               

4.000%, 06/15/2025

    391       405  

3.500%, 09/15/2030

    131       128  

2.900%, 12/15/2031

    214       198  
                 
              731  
                 

Utilities — 0.4%

        

AES Panama Generation Holdings SRL

               

4.375%, 05/31/2030 (E)

     297       287  

Chile Electricity PEC

               

0.000%, 01/25/2028 (B)(E)

     491       360  

Comision Federal de Electricidad

               

4.688%, 05/15/2029 (E)

     294       291  

3.348%, 02/09/2031 (E)

     574       510  

Duke Energy Carolinas NC Storm Funding LLC

               

2.617%, 07/01/2041

    314       303  

Engie Energia Chile

               

3.400%, 01/28/2030

    349       326  

Terraform Global Operating LLC

               

6.125%, 03/01/2026 (E)

     77       77  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

401

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

CORPORATE OBLIGATIONS (continued)

Vistra

               

7.000%, US Treas Yield Curve Rate T Note Const Mat 5 Yr + 5.740%(E)(G)(H)

   $ 272     $ 270  

Vistra Operations LLC

               

4.375%, 05/01/2029 (E)

     522       506  
                 
              2,930  
                 

Total Corporate Obligations

                

(Cost $72,600) ($ Thousands)

             69,176  
                 
                 
                 

MORTGAGE-BACKED SECURITIES — 7.8%

Agency Mortgage-Backed Obligations — 1.6%

        

FHLMC CMO, Ser 2016-4585, Cl DS, IO

                

5.809%, 05/15/2046(G)

     802       147  

FHLMC CMO, Ser 2017-4693, Cl SL, IO

                

5.959%, 06/15/2047(G)

     1,172       213  

FHLMC CMO, Ser 2017-4719, Cl JS, IO

                

5.959%, 09/15/2047(G)

     922       145  

FHLMC CMO, Ser 2020-4954, Cl SL, IO

                

5.863%, 02/25/2050(G)

     1,382       235  

FHLMC CMO, Ser 2020-4981, Cl HS, IO

                

5.913%, 06/25/2050(G)

     2,657       424  

FHLMC CMO, Ser 2020-5015, Cl BI, IO

                

4.000%, 09/25/2050

     1,771       293  

FNMA

                

3.000%, 02/01/2052

     2,292       2,332  

FNMA CMO, Ser 2011-131, Cl ST, IO

                

6.353%, 12/25/2041(G)

     561       103  

FNMA CMO, Ser 2014-17, Cl SA, IO

                

5.863%, 04/25/2044(G)

     1,723       351  

FNMA CMO, Ser 2014-78, Cl SE, IO

                

5.913%, 12/25/2044(G)

     919       171  

FNMA CMO, Ser 2016-77, Cl DS, IO

                

5.813%, 10/25/2046(G)

     834       140  

FNMA CMO, Ser 2017-62, Cl AS, IO

                

5.963%, 08/25/2047(G)

     1,087       188  

FNMA CMO, Ser 2017-81, Cl SA, IO

                

6.013%, 10/25/2047(G)

     1,249       230  

FNMA CMO, Ser 2020-89, Cl KI, IO

                

4.000%, 12/25/2050

     3,747       575  

FNMA TBA

                

3.000%, 03/15/2043

     1,682       1,699  

GNMA CMO, Ser 2017-122, Cl SA, IO

                

6.038%, 08/20/2047(G)

     813       128  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

UMBS TBA

                

2.500%, 03/15/2051

   $ 5,956     $ 5,876  
                 
                 
              13,250  

Non-Agency Mortgage-Backed Obligations — 6.2%

        

Alternative Loan Trust, Ser 2005-20CB, Cl 3A6

                

5.500%, 07/25/2035

     40       34  

Alternative Loan Trust, Ser 2006-24CB, Cl A16

                

5.750%, 08/25/2036

     216       158  

Alternative Loan Trust, Ser 2006-28CB, Cl A14

                

6.250%, 10/25/2036

     162       113  

Alternative Loan Trust, Ser 2006-J1, Cl 1A13

                

5.500%, 02/25/2036

     93       81  

AREIT Trust, Ser 2022-CRE6, Cl A

                

1.298%, SOFR30A + 1.250%, 11/17/2024(E)(G)

     1,388       1,386  

Ashford Hospitality Trust, Ser 2018-KEYS, Cl A

                

1.192%, ICE LIBOR USD 1 Month + 1.000%, 06/15/2035(E)(G)

     526       521  

BAMLL Commercial Mortgage Securities Trust, Ser 2013-WBRK, Cl D

                

3.534%, 03/10/2037(E)(G)

     395       369  

BAMLL Commercial Mortgage Securities Trust, Ser 2017-SCH, Cl AF

                

1.192%, ICE LIBOR USD 1 Month + 1.000%, 11/15/2033(E)(G)

     1,535       1,493  

BBCMS Mortgage Trust, Ser 2020-BID, Cl A

                

2.331%, ICE LIBOR USD 1 Month + 2.140%, 10/15/2037(E)(G)

     710       710  

BCP Trust, Ser 2021-330N, Cl A

                

0.990%, ICE LIBOR USD 1 Month + 0.799%, 06/15/2038(E)(G)

     135       134  

Bellemeade Re, Ser 2018-3A, Cl M1B

                

2.037%, ICE LIBOR USD 1 Month + 1.850%, 10/25/2028(E)(G)

     311       310  

Bellemeade Re, Ser 2019-1A, Cl M1B

                

1.937%, ICE LIBOR USD 1 Month + 1.750%, 03/25/2029(E)(G)

     451       451  

Bellemeade Re, Ser 2019-2A, Cl M1C

                

2.187%, ICE LIBOR USD 1 Month + 2.000%, 04/25/2029(E)(G)

     516       514  

Bellemeade Re, Ser 2019-3A, Cl M1B

                

1.787%, ICE LIBOR USD 1 Month + 1.600%, 07/25/2029(E)(G)

     339       338  

Bellemeade Re, Ser 2019-3A, Cl M1C

                

2.137%, ICE LIBOR USD 1 Month + 1.950%, 07/25/2029(E)(G)

     366       364  

 

 

 

402

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Bellemeade Re, Ser 2019-4A, Cl M1B

                

2.187%, ICE LIBOR USD 1 Month + 2.000%, 10/25/2029(E)(G)

   $ 624     $ 623  

Bellemeade Re, Ser 2021-1A, Cl M1C

                

2.999%, SOFR30A + 2.950%, 03/25/2031(E)(G)

     378       376  

Bellemeade Re, Ser 2021-2A, Cl M1B

                

1.549%, SOFR30A + 1.500%, 06/25/2031(E)(G)

     617       604  

BFLD Trust, Ser 2021-FPM, Cl A

                

1.792%, ICE LIBOR USD 1 Month + 1.600%, 06/15/2038(E)(G)

     1,065       1,054  

BHMS, Ser 2018-ATLS, Cl A

                

1.441%, ICE LIBOR USD 1 Month + 1.250%, 07/15/2035(E)(G)

     762       754  

BX Commercial Mortgage Trust, Ser 2019-IMC, Cl D

                

2.091%, ICE LIBOR USD 1 Month + 1.900%, 04/15/2034(E)(G)

     152       148  

BX Commercial Mortgage Trust, Ser 2019-IMC, Cl E

                

2.341%, ICE LIBOR USD 1 Month + 2.150%, 04/15/2034(E)(G)

     610       596  

BX Trust, Ser 2018-EXCL, Cl A

                

1.279%, ICE LIBOR USD 1 Month + 1.088%, 09/15/2037(E)(G)

     783       773  

CFCRE Commercial Mortgage Trust, Ser 2016-C4, Cl A4

                

3.283%, 05/10/2058

     625       634  

CGRBS Commercial Mortgage Trust, Ser 2013-VN05, Cl A

                

3.369%, 03/13/2035(E)

     285       288  

Chase Mortgage Finance Trust, Ser 2007-S5, Cl 1A17

                

6.000%, 07/25/2037

     77       48  

CHL Mortgage Pass-Through Trust, Ser 2006-10, Cl 1A8

                

6.000%, 05/25/2036

     98       62  

CHL Mortgage Pass-Through Trust, Ser 2006-13, Cl 1A19

                

6.250%, 09/25/2036

     52       32  

Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl D

                

4.417%, 04/10/2046(E)(G)

     250       250  

Citigroup Commercial Mortgage Trust, Ser 2015-GC27, Cl A5

                

3.137%, 02/10/2048

     779       789  

Citigroup Commercial Mortgage Trust, Ser 2015-GC35, Cl A4

                

3.818%, 11/10/2048

     390       404  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Citigroup Commercial Mortgage Trust, Ser 2016-GC36, Cl A5

                

3.616%, 02/10/2049

   $ 950     $ 980  

Citigroup Commercial Mortgage Trust, Ser 2017-P8, Cl AS

                

3.789%, 09/15/2050(G)

     392       408  

CLNY Trust, Ser 2019-IKPR, Cl D

                

2.216%, ICE LIBOR USD 1 Month + 2.025%, 11/15/2038(E)(G)

     750       735  

COMM Mortgage Trust, Ser 2010-C1, Cl D

                

5.792%, 07/10/2046(E)(G)

     690       691  

COMM Mortgage Trust, Ser 2013-CR12, Cl A4

                

4.046%, 10/10/2046

     920       942  

COMM Mortgage Trust, Ser 2013-SFS, Cl A1

                

1.873%, 04/12/2035(E)

     222       221  

COMM Mortgage Trust, Ser 2015-CR24, Cl A5

                

3.696%, 08/10/2048

     490       505  

COMM Mortgage Trust, Ser 2015-DC1, Cl A5

                

3.350%, 02/10/2048

     700       716  

Connecticut Avenue Securities Trust, Ser 2018-R07, Cl 1M2

                

2.587%, ICE LIBOR USD 1 Month + 2.400%, 04/25/2031(E)(G)

     80       80  

Connecticut Avenue Securities Trust, Ser 2019-R02, Cl 1M2

                

2.487%, ICE LIBOR USD 1 Month + 2.300%, 08/25/2031(E)(G)

     47       47  

Connecticut Avenue Securities Trust, Ser 2019-R03, Cl 1M2

                

2.337%, ICE LIBOR USD 1 Month + 2.150%, 09/25/2031(E)(G)

     24       24  

Connecticut Avenue Securities Trust, Ser 2019-R04, Cl 2M2

                

2.287%, ICE LIBOR USD 1 Month + 2.100%, 06/25/2039(E)(G)

     15       15  

Connecticut Avenue Securities Trust, Ser 2019-R05, Cl 1M2

                

2.187%, ICE LIBOR USD 1 Month + 2.000%, 07/25/2039(E)(G)

     8       8  

Connecticut Avenue Securities Trust, Ser 2019-R06, Cl 2M2

                

2.287%, ICE LIBOR USD 1 Month + 2.100%, 09/25/2039(E)(G)

     66       66  

Connecticut Avenue Securities Trust, Ser 2020-R02, Cl 2M2

                

2.187%, ICE LIBOR USD 1 Month + 2.000%, 01/25/2040(E)(G)

     200       200  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

403

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Connecticut Avenue Securities Trust, Ser 2021-R03, Cl 1M2

                

1.699%, SOFR30A + 1.650%, 12/25/2041(E)(G)

   $ 304     $ 295  

Connecticut Avenue Securities Trust, Ser 2022-R01, Cl 1M2

                

1.949%, SOFR30A + 1.900%, 12/25/2041(E)(G)

     1,008       986  

Connecticut Avenue Securities Trust, Ser 2022-R02, Cl 2M1

                

1.249%, SOFR30A + 1.200%, 01/25/2042(E)(G)

     874       872  

CSAIL Commercial Mortgage Trust, Ser 2015-C2, Cl A4

                

3.504%, 06/15/2057

     421       431  

DBWF Mortgage Trust, Ser 2018-GLKS, Cl A

                

1.192%, ICE LIBOR USD 1 Month + 1.030%, 12/19/2030(E)(G)

     798       790  

Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006-AR4, Cl A2

                

0.567%, ICE LIBOR USD 1 Month + 0.380%, 12/25/2036(G)

     150       68  

Eagle Re, Ser 2020-1, Cl M1A

                

1.087%, ICE LIBOR USD 1 Month + 0.900%, 01/25/2030(E)(G)

     820       814  

FHLMC Multifamily Structured Credit Risk, Ser 2021-MN1, Cl M1

                

2.049%, SOFR30A + 2.000%, 01/25/2051(E)(G)

     103       100  

FHLMC STACR REMIC Trust, Ser 2021-DNA5, Cl M2

                

1.699%, SOFR30A + 1.650%, 01/25/2034(E)(G)

     260       255  

FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl M2

                

1.549%, SOFR30A + 1.500%, 10/25/2041(E)(G)

     976       942  

FHLMC STACR REMIC Trust, Ser 2021-HQA4, Cl M2

                

2.399%, SOFR30A + 2.350%, 12/25/2041(E)(G)

     635       612  

FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1B

                

1.899%, SOFR30A + 1.850%, 01/25/2042(E)(G)

     533       525  

FHLMC STACR Trust, Ser 2019-DNA3, Cl M2

                

2.237%, ICE LIBOR USD 1 Month + 2.050%, 07/25/2049(E)(G)

     52       52  

FHLMC STACR Trust, Ser 2019-DNA4, Cl M2

                

2.137%, ICE LIBOR USD 1 Month + 1.950%, 10/25/2049(E)(G)

     153       153  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FHLMC STACR Trust, Ser 2019-FTR2, Cl M2

                

2.337%, ICE LIBOR USD 1 Month + 2.150%, 11/25/2048(E)(G)

   $ 403     $ 394  

FHLMC STACR Trust, Ser 2019-HQA3, Cl M2

                

2.037%, ICE LIBOR USD 1 Month + 1.850%, 09/25/2049(E)(G)

     348       348  

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-HQA2, Cl M2B

                

2.837%, ICE LIBOR USD 1 Month + 2.650%, 12/25/2029(G)

     630       654  

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2021-DNA7, Cl M2

                

1.849%, SOFR30A + 1.800%, 11/25/2041(E)(G)

     953       919  

FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 1M2

                

5.087%, ICE LIBOR USD 1 Month + 4.900%, 11/25/2024(G)

     142       147  

FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 1M2

                

4.187%, ICE LIBOR USD 1 Month + 4.000%, 05/25/2025(G)

     144       146  

FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 2M2

                

4.187%, ICE LIBOR USD 1 Month + 4.000%, 05/25/2025(G)

     1       2  

FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 2M2

                

5.187%, ICE LIBOR USD 1 Month + 5.000%, 07/25/2025(G)

     7       7  

FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 1M2

                

5.187%, ICE LIBOR USD 1 Month + 5.000%, 07/25/2025(G)

     138       141  

FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 1M2

                

5.887%, ICE LIBOR USD 1 Month + 5.700%, 04/25/2028(G)

     89       94  

FNMA Connecticut Avenue Securities, Ser 2016-C05, Cl 2M2

                

4.637%, ICE LIBOR USD 1 Month + 4.450%, 01/25/2029(G)

     458       474  

FNMA Connecticut Avenue Securities, Ser 2016-C06, Cl 1M2

                

4.437%, ICE LIBOR USD 1 Month + 4.250%, 04/25/2029(G)

     155       160  

FNMA Connecticut Avenue Securities, Ser 2017-C03, Cl 1M2

                

3.187%, ICE LIBOR USD 1 Month + 3.000%, 10/25/2029(G)

     337       344  

 

 

 

404

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

FNMA Connecticut Avenue Securities, Ser 2021-R02, Cl 2M2

                

2.049%, SOFR30A + 2.000%, 11/25/2041(E)(G)

   $ 429     $ 411  

GS Mortgage Securities Trust, Ser 2011-GC5, Cl D

                

5.158%, 08/10/2044(E)(G)

     12       6  

GS Mortgage Securities Trust, Ser 2013-G1, Cl A2

                

3.557%, 04/10/2031(E)(G)

     1,485       1,466  

GS Mortgage Securities Trust, Ser 2013-G1, Cl A1

                

2.059%, 04/10/2031(E)

     24       24  

GS Mortgage Securities Trust, Ser 2014-GC18, Cl D

                

5.051%, 01/10/2047(E)(G)

     431       189  

GS Mortgage Securities Trust, Ser 2014-GC22, Cl A5

                

3.862%, 06/10/2047

     767       789  

GS Mortgage Securities Trust, Ser 2019-BOCA, Cl A

                

1.391%, ICE LIBOR USD 1 Month + 1.200%, 06/15/2038(E)(G)

     1,039       1,030  

GS Mortgage Securities Trust, Ser 2019-SMP, Cl A

                

1.341%, ICE LIBOR USD 1 Month + 1.150%, 08/15/2032(E)(G)

     860       854  

GS Mortgage Securities Trust, Ser 2021-1, Cl AS

                

2.638%, 08/17/2026

     23       23  

GS Mortgage Securities Trust, Ser 2021-1, Cl A1

                

1.433%, 08/17/2026

     177       172  

GS Mortgage Securities Trust, Ser 2021-1, Cl A2

                

2.435%, 08/17/2026

     358       357  

HFX, Ser 2017-1A, Cl A3

                

3.647%, 03/15/2035

     800       807  

Home Re, Ser 2020-1, Cl M1B

                

3.437%, ICE LIBOR USD 1 Month + 3.250%, 10/25/2030(E)(G)

     266       266  

HomeBanc Mortgage Trust, Ser 2005-1, Cl A1

                

0.687%, ICE LIBOR USD 1 Month + 0.500%, 03/25/2035(G)

     31       28  

JPMBB Commercial Mortgage Securities Trust, Ser 2014-C21, Cl A5

                

3.775%, 08/15/2047

     955       982  

JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl XA, IO

                

0.816%, 09/15/2047(G)

     15,233       251  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl A5

                

3.822%, 07/15/2048

   $ 485     $ 503  

JPMBB Commercial Mortgage Securities Trust, Ser 2015-C31, Cl A3

                

3.801%, 08/15/2048

     826       853  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-C8, Cl AS

                

3.424%, 10/15/2045(E)

     1,200       1,205  

JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A5

                

3.805%, 07/15/2047

     900       921  

JPMorgan Chase, Ser 2019-CL1, Cl M3

                

2.287%, ICE LIBOR USD 1 Month + 2.100%, 04/25/2047(E)(G)

     131       130  

LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl AJ

                

5.452%, 09/15/2039(G)

     84       35  

LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2

                

2.579%, 03/10/2049(E)

     545       547  

Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2014-C16, Cl A5

                

3.892%, 06/15/2047

     950       976  

Morgan Stanley Capital I Trust, Ser 2015-XLF2, Cl SNMA

                

2.392%, ICE LIBOR USD 1 Month + 2.200%, 11/15/2026(E)(G)

     92       85  

Morgan Stanley Capital I Trust, Ser 2016-UB12, Cl A4

                

3.596%, 12/15/2049

     755       783  

Natixis Commercial Mortgage Securities Trust, Ser 2019-MILE, Cl A

                

1.691%, ICE LIBOR USD 1 Month + 1.500%, 07/15/2036(E)(G)

     346       344  

PMT Credit Risk Transfer Trust, Ser 2019-1R, Cl A

                

2.231%, ICE LIBOR USD 1 Month + 2.000%, 03/27/2024(E)(G)

     93       93  

PMT Credit Risk Transfer Trust, Ser 2019-2R, Cl A

                

2.981%, ICE LIBOR USD 1 Month + 2.750%, 05/27/2023(E)(G)

     310       308  

PMT Credit Risk Transfer Trust, Ser 2019-3R, Cl A

                

2.931%, ICE LIBOR USD 1 Month + 2.700%, 10/27/2022(E)(G)

     50       50  

PMT Credit Risk Transfer Trust, Ser 2020-1R, Cl A

                

2.581%, ICE LIBOR USD 1 Month + 2.350%, 02/27/2023(E)(G)

     165       165  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

405

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

MORTGAGE-BACKED SECURITIES (continued)

Radnor Re, Ser 2019-1, Cl M1B

                

2.137%, ICE LIBOR USD 1 Month + 1.950%, 02/25/2029(E)(G)

   $ 404     $ 405  

Radnor Re, Ser 2019-2, Cl M1B

                

1.937%, ICE LIBOR USD 1 Month + 1.750%, 06/25/2029(E)(G)

     327       327  

Radnor Re, Ser 2020-1, Cl M1A

                

1.137%, ICE LIBOR USD 1 Month + 0.950%, 01/25/2030(E)(G)

     311       308  

STACR Trust, Ser 2018-DNA3, Cl M2

                

2.287%, ICE LIBOR USD 1 Month + 2.100%, 09/25/2048(E)(G)

     276       280  

Traingle Re, Ser 2020-1, Cl M1B

                

4.087%, ICE LIBOR USD 1 Month + 3.900%, 10/25/2030(E)(G)

     226       226  

Traingle Re, Ser 2021-1, Cl M1B

                

3.187%, ICE LIBOR USD 1 Month + 3.000%, 08/25/2033(E)(G)

     85       85  

UBS Commercial Mortgage Trust, Ser 2018-C10, Cl A4

                

4.313%, 05/15/2051

     1,000       1,079  

UBS Commercial Mortgage Trust, Ser 2018-C8, Cl A4

                

3.983%, 02/15/2051

     855       908  

UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A5

                

2.850%, 12/10/2045

     194       195  

Wells Fargo Commercial Mortgage Trust, Ser 2016-NXS6, Cl C

                

4.393%, 11/15/2049(G)

     620       623  

Wells Fargo Commercial Mortgage Trust, Ser 2018-C48, Cl A5

                

4.302%, 01/15/2052

     103       112  

Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 2M2

                

5.687%, ICE LIBOR USD 1 Month + 5.500%, 11/25/2025(E)(G)

     33       26  

Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 1M2

                

5.437%, ICE LIBOR USD 1 Month + 5.250%, 11/25/2025(E)(G)

     125       99  
                 
                 
              50,100  

Total Mortgage-Backed Securities

                

(Cost $64,003) ($ Thousands)

             63,350  
                 
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

U.S. GOVERNMENT AGENCY OBLIGATIONS ^ — 3.3%

FFCB

                

0.901%, US Treasury 3 Month Bill Money Market Yield + 0.420%, 11/07/2022(G)

   $ 1,200     $ 1,204  

0.751%, US Treasury 3 Month Bill Money Market Yield + 0.270%, 05/16/2022(G)

     3,000       3,002  

0.670%, U.S. SOFR + 0.380%, 05/08/2023(G)

     7,400       7,430  

0.600%, U.S. SOFR + 0.310%, 11/07/2022(G)

     2,500       2,505  

0.425%, U.S. SOFR + 0.135%, 11/06/2023(G)

     2,000       2,003  

0.380%, U.S. SOFR + 0.090%, 09/23/2022(G)

     500       500  

FHLMC

                

0.375%, 07/21/2025^

     1,400       1,338  

FHLMC MTN

                

0.480%, U.S. SOFR + 0.190%, 06/02/2022(G)

     1,000       1,001  

0.420%, U.S. SOFR + 0.130%, 08/05/2022(G)

     2,500       2,501  

FNMA

                

0.625%, 04/22/2025

     1,300       1,258  

0.500%, 06/17/2025

     1,500       1,440  

0.250%, 05/22/2023

     1,500       1,483  

0.250%, 07/10/2023

     1,100       1,085  

0.250%, 11/27/2023

     100       98  
                 
                 
         

Total U.S. Government Agency Obligations

        

(Cost $26,994) ($ Thousands)

     26,848  
                 
                 
                 

ASSET-BACKED SECURITIES — 3.2%

Automotive — 0.7%

        
         

Avis Budget Rental Car Funding AESOP LLC, Ser 2018-1A, Cl A

                

3.700%, 09/20/2024(E)

     1,000       1,027  

Avis Budget Rental Car Funding AESOP LLC, Ser 2018-2A, Cl A

                

4.000%, 03/20/2025(E)

     1,100       1,142  

Carvana Auto Receivables Trust, Ser 2021-N3, Cl C

                

1.020%, 06/12/2028

     333       326  

Carvana Auto Receivables Trust, Ser 2021-N4, Cl D

                

2.300%, 09/11/2028

     329       323  

Carvana Auto Receivables Trust, Ser 2021-P4, Cl D

                

2.610%, 09/11/2028

     420       409  

 

 

 

406

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

CPS Auto Receivables Trust, Ser 2022-A, Cl C

                

2.170%, 04/16/2029(E)

   $ 600     $ 593  

FHF Trust, Ser 2021-2A, Cl A

                

0.830%, 12/15/2026(E)

     304       299  

First Investors Auto Owner Trust, Ser 2020-1A, Cl A

                

1.490%, 01/15/2025(E)

     28       28  

Ford Credit Auto Owner Trust, Ser 2021-1, Cl D

                

2.310%, 10/17/2033(E)

     510       491  

Hertz Vehicle Financing III LLC, Ser 2022-1A, Cl C

                

2.630%, 06/25/2026(E)

     600       592  

LAD Auto Receivables Trust, Ser 2021-1A, Cl A

                

1.300%, 08/17/2026(E)

     553       547  
              5,777  
                 

Credit Cards — 0.2%

        
         

Brex Commercial Charge Card Master Trust, Ser 2021-1, Cl A

                

2.090%, 07/15/2024(E)

     373       372  

Mission Lane Credit Card Master Trust, Ser 2021-A, Cl B

                

2.240%, 09/15/2026(E)

     152       150  

World Financial Network Credit Card Master Trust, Ser 2019-B, Cl M

                

3.040%, 04/15/2026

     830       835  
              1,357  
                 

Other Asset-Backed Securities — 2.3%

        
         

Affirm Asset Securitization Trust, Ser 2020-A, Cl A

                

2.100%, 02/18/2025(E)

     531       531  

Affirm Asset Securitization Trust, Ser 2021-Z1, Cl A

                

1.070%, 08/15/2025(E)

     244       241  

Affirm Asset Securitization Trust, Ser 2021-Z2, Cl A

                

1.170%, 11/16/2026(E)

     261       259  

Affirm Asset Securitization Trust, Ser 2022-X1, Cl A

                

1.750%, 02/15/2027(E)

     944       943  

AGL CLO 12, Ser 2021-12A, Cl A1

                

1.414%, ICE LIBOR USD 3 Month + 1.160%, 07/20/2034(E)(G)

     837       833  

Atalaya Equipment Leasing Trust, Ser 2021-1A, Cl A1

                

0.326%, 11/15/2022(E)

     167       167  

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Atalaya Equipment Leasing Trust, Ser 2021-1A, Cl B

                

2.080%, 02/15/2027(E)

   $ 170     $ 167  

Balboa Bay Loan Funding, Ser 2021-1A, Cl A

                

1.454%, ICE LIBOR USD 3 Month + 1.200%, 07/20/2034(E)(G)

     521       520  

Ballyrock CLO 15, Ser 2021-1A, Cl C

                

3.341%, ICE LIBOR USD 3 Month + 3.100%, 04/15/2034(E)(G)

     500       497  

Ballyrock CLO 16, Ser 2021-16A, Cl A1

                

1.384%, ICE LIBOR USD 3 Month + 1.130%, 07/20/2034(E)(G)

     1,054       1,050  

Cajun Global LLC, Ser 2021-1, Cl A2

                

3.931%, 11/20/2051(E)

     166       163  

College Ave Student Loans LLC, Ser 2021-C, Cl B

                

2.720%, 07/26/2055(E)

     212       206  

Conn's Receivables Funding LLC, Ser 2021-A, Cl A

                

1.050%, 05/15/2026(E)

     854       853  

Diamond Issuer, Ser 2021-1A, Cl A

                

2.305%, 11/20/2051(E)

     768       740  

Domino's Pizza Master Issuer LLC, Ser 2021-1A, Cl A2I

                

2.662%, 04/25/2051(E)

     392       376  

Dryden 78 CLO, Ser 2020-78A, Cl C

                

2.191%, ICE LIBOR USD 3 Month + 1.950%, 04/17/2033(E)(G)

     660       660  

Dryden 78 CLO, Ser 2020-78A, Cl D

                

3.241%, ICE LIBOR USD 3 Month + 3.000%, 04/17/2033(E)(G)

     340       337  

Elevation CLO, Ser 2020-11A, Cl C

                

2.441%, ICE LIBOR USD 3 Month + 2.200%, 04/15/2033(E)(G)

     580       577  

Elmwood CLO IX, Ser 2021-2A, Cl D

                

3.204%, ICE LIBOR USD 3 Month + 2.950%, 07/20/2034(E)(G)

     509       505  

Flatiron CLO 21, Ser 2021-1A, Cl D

                

3.148%, ICE LIBOR USD 3 Month + 2.900%, 07/19/2034(E)(G)

     540       539  

GCI Funding I LLC, Ser 2021-1, Cl A

                

2.380%, 06/18/2046(E)

     286       277  

Goldentree Loan Management US CLO 7, Ser 2021-7A, Cl AR

                

1.324%, ICE LIBOR USD 3 Month + 1.070%, 04/20/2034(E)(G)

     553       551  

Hardee's Funding LLC, Ser 2018-1A, Cl A23

                

5.710%, 06/20/2048(E)

     374       401  

Hardee's Funding LLC, Ser 2020-1A, Cl A2

                

3.981%, 12/20/2050(E)

     263       267  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

407

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

ASSET-BACKED SECURITIES (continued)

Invitation Homes Trust, Ser 2018-SFR2, Cl C

                

1.471%, ICE LIBOR USD 1 Month + 1.280%, 06/17/2037(E)(G)

   $ 197     $ 195  

Invitation Homes Trust, Ser 2018-SFR3, Cl C

                

1.420%, ICE LIBOR USD 1 Month + 1.300%, 07/17/2037(E)(G)

     94       94  

Issuer LLC, Ser 2021-1, Cl A2

                

3.734%, 07/30/2051(E)

     720       701  

Magnetite XXVI, Ser 2021-26A, Cl A1R

                

1.378%, ICE LIBOR USD 3 Month + 1.120%, 07/25/2034(E)(G)

     985       984  

MVW LLC, Ser 2021-2A, Cl B

                

1.830%, 05/20/2039(E)

     414       402  

Neighborly Issuer LLC, Ser 2021-1A, Cl A2

                

3.584%, 04/30/2051(E)

     278       270  

Nelnet Student Loan Trust, Ser 2021-DA, Cl AFX

                

1.630%, 04/20/2062(E)

     261       254  

Neuberger Berman Loan Advisers CLO 42, Ser 2021-42A, Cl A

                

1.341%, ICE LIBOR USD 3 Month + 1.100%, 07/16/2035(E)(G)

     984       979  

Neuberger Berman Loan Advisers CLO 43, Ser 2021-43A, Cl A

                

1.371%, ICE LIBOR USD 3 Month + 1.130%, 07/17/2035(E)(G)

     624       620  

OCP CLO, Ser 2021-18A, Cl AR

                

1.344%, ICE LIBOR USD 3 Month + 1.090%, 07/20/2032(E)(G)

     722       716  

Octane Receivables Trust, Ser 2021-2A, Cl B

                

2.020%, 09/20/2028(E)

     575       561  

Rad CLO 7, Ser 2020-7A, Cl C

                

2.241%, ICE LIBOR USD 3 Month + 2.000%, 04/17/2033(E)(G)

     300       300  

SMB Private Education Loan Trust, Ser 2021-E, Cl A1A

                

1.680%, 02/15/2051(E)

     584       575  

Upstart Securitization Trust, Ser 2020-3, Cl A

                

1.702%, 11/20/2030(E)

     132       132  

Upstart Securitization Trust, Ser 2021-3, Cl B

                

1.660%, 07/20/2031(E)

     460       444  

Voya CLO, Ser 2019-1A, Cl DR

                

3.091%, ICE LIBOR USD 3 Month + 2.850%, 04/15/2031(E)(G)

     265       263  
              19,150  
                 

Total Asset-Backed Securities

                

(Cost $26,486) ($ Thousands)

             26,284  
                 

 

             

Description

  

Face Amount
(Thousands)

    

Market Value
($ Thousands)

  

SOVEREIGN DEBT — 0.4%
                 

Colombia Government International Bond

                

3.125%, 04/15/2031

   $ 213     $ 180  

Dominican Republic International Bond

                

4.875%, 09/23/2032(E)

     871       793  

Egypt Government International Bond MTN

                

5.875%, 02/16/2031(E)

     364       282  

Malaysia Government International Bond

                

3.882%, 03/10/2022

   MYR 5,183       1,235  

Qatar Government International Bond

                

3.400%, 04/16/2025(E)

   $ 294       305  

Saudi Government International Bond MTN

                

2.900%, 10/22/2025(E)

     539       552  
                 

Total Sovereign Debt

        

(Cost $3,516) ($ Thousands)

     3,347  
                 
                 
                 

MUNICIPAL BONDS — 0.2%

New York — 0.2%

        

New York & New Jersey, Port Authority, Ser AAA, RB

               

1.086%, 07/01/2023

    490       488  

New York City, Ser D, GO

               

1.923%, 08/01/2031

    530       499  
                 
              987  
                 

West Virginia — 0.0%

        

Tobacco Settlement Finance Authority, RB

               

Callable 12/01/2030 @ 100

               

3.000%, 06/01/2035

    448       456  
                 
                 
                 

Total Municipal Bonds

                

(Cost $1,470) ($ Thousands)

             1,443  
                 
                 

Total Investments in Securities — 116.7%

                

(Cost $848,297) ($ Thousands)

  $ 947,300  
                 
                 
                 
                 
   


Shares

          

COMMON STOCK SOLD SHORT— (12.9)%

Communication Services — (0.6)%

        

Altice USA Inc, Cl A *

     (2,037 )     (24 )

Cable One Inc

    (88 )     (126 )

Charter Communications Inc, Cl A *

     (1,233 )     (742 )

Comcast Corp, Cl A

    (44,871 )     (2,098 )

Discovery Inc, Cl A *

     (1,700 )     (48 )

Discovery Inc, Cl C *

     (2,700 )     (75 )

DISH Network Corp, Cl A *

     (1,752 )     (56 )

Fox Corp

    (4,400 )     (178 )

Interpublic Group of Cos Inc/The

    (4,335 )     (159 )

Liberty Broadband Corp, Cl A *

     (342 )     (49 )

Liberty Broadband Corp, Cl C *

     (1,184 )     (174 )

 

 

 

408

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

Liberty Media Corp-Liberty SiriusXM, Cl C *

     (900 )   $ (45 )

New York Times Co/The, Cl A

    (2,224 )     (98 )

News Corp, Cl A

    (5,139 )     (115 )

Nexstar Media Group Inc, Cl A

    (146 )     (27 )

Omnicom Group Inc

    (1,859 )     (156 )

Paramount Global, Cl B

    (5,942 )     (182 )

Sirius XM Holdings Inc

    (12,800 )     (79 )

TEGNA Inc

    (2,600 )     (60 )
                 
                 
              (4,491 )
                 

Consumer Discretionary — (8.4)%

        

2U Inc *

     (1,300 )     (14 )

Academy Sports & Outdoors Inc *

     (1,300 )     (42 )

Acushnet Holdings Corp

    (600 )     (26 )

Adient PLC *

     (4,728 )     (212 )

Adtalem Global Education Inc *

     (1,800 )     (37 )

Advance Auto Parts Inc

    (471 )     (96 )

Amazon.com Inc *

     (1,998 )     (6,136 )

American Axle & Manufacturing Holdings Inc *

     (2,343 )     (22 )

American Eagle Outfitters Inc

    (1,200 )     (25 )

Aptiv PLC *

     (11,747 )     (1,520 )

Aramark

    (4,507 )     (167 )

Asbury Automotive Group Inc *

     (200 )     (39 )

AutoNation Inc *

     (500 )     (57 )

AutoZone Inc *

     (190 )     (354 )

Bally's Corp *

     (900 )     (32 )

Bath & Body Works Inc

    (1,733 )     (93 )

Best Buy Co Inc

    (2,053 )     (198 )

Bloomin' Brands Inc

    (1,700 )     (42 )

Booking Holdings Inc *

     (773 )     (1,679 )

BorgWarner Inc

    (11,591 )     (475 )

Boyd Gaming Corp

    (1,419 )     (101 )

Bright Horizons Family Solutions Inc *

     (1,210 )     (158 )

Brinker International Inc *

     (759 )     (32 )

Brunswick Corp/DE

    (2,373 )     (227 )

Burlington Stores Inc *

     (561 )     (127 )

Caesars Entertainment Inc *

     (3,738 )     (315 )

Callaway Golf Co *

     (2,690 )     (67 )

Canoo *

     (8,000 )     (46 )

Capri Holdings Ltd *

     (4,354 )     (295 )

CarMax Inc *

     (1,562 )     (171 )

Carnival Corp, Cl A *

     (15,865 )     (323 )

Carter's Inc

    (1,094 )     (106 )

Carvana Co, Cl A *

     (639 )     (96 )

Cavco Industries Inc *

     (244 )     (67 )

Century Communities Inc

    (959 )     (61 )

Cheesecake Factory Inc/The *

     (700 )     (30 )

Chegg Inc *

     (2,471 )     (77 )

Chipotle Mexican Grill Inc, Cl A *

     (510 )     (777 )

Choice Hotels International Inc

    (902 )     (130 )

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

Churchill Downs Inc

    (912 )   $ (220 )

Columbia Sportswear Co

    (1,300 )     (121 )

Coursera *

     (1,500 )     (31 )

Cracker Barrel Old Country Store Inc

    (300 )     (40 )

Crocs Inc *

     (1,669 )     (140 )

Dana Inc

    (7,636 )     (142 )

Darden Restaurants Inc

    (2,568 )     (373 )

Dave & Buster's Entertainment Inc *

     (1,000 )     (43 )

Deckers Outdoor Corp *

     (902 )     (260 )

Dick's Sporting Goods Inc

    (600 )     (63 )

Dollar General Corp

    (2,218 )     (440 )

Dollar Tree Inc *

     (2,014 )     (286 )

Domino's Pizza Inc

    (695 )     (300 )

DoorDash Inc, Cl A *

     (945 )     (99 )

Dorman Products Inc *

     (1,280 )     (120 )

DR Horton Inc

    (10,826 )     (925 )

DraftKings Inc, Cl A *

     (4,500 )     (107 )

eBay Inc

    (5,480 )     (299 )

Etsy Inc *

     (1,019 )     (158 )

Everi Holdings Inc *

     (1,800 )     (42 )

Expedia Group Inc *

     (2,776 )     (544 )

Fisker *

     (4,700 )     (57 )

Five Below Inc *

     (400 )     (65 )

Floor & Decor Holdings Inc, Cl A *

     (628 )     (60 )

Foot Locker Inc

    (1,000 )     (32 )

Ford Motor Co

    (168,301 )     (2,955 )

Fox Factory Holding Corp *

     (1,672 )     (197 )

Frontdoor Inc *

     (1,300 )     (39 )

GameStop Corp, Cl A *

     (400 )     (49 )

Gap Inc/The

    (1,700 )     (25 )

Garmin Ltd

    (4,654 )     (514 )

General Motors Co *

     (60,371 )     (2,821 )

Gentex Corp

    (9,527 )     (288 )

Gentherm Inc *

     (1,360 )     (115 )

Genuine Parts Co

    (1,421 )     (174 )

G-III Apparel Group Ltd *

     (700 )     (19 )

Goodyear Tire & Rubber Co/The *

     (12,136 )     (188 )

GoPro Inc, Cl A *

     (5,500 )     (47 )

Graham Holdings Co, Cl B

    (200 )     (120 )

Grand Canyon Education Inc *

     (1,055 )     (92 )

Group 1 Automotive Inc

    (300 )     (55 )

H&R Block Inc

    (2,903 )     (72 )

Hanesbrands Inc

    (12,770 )     (197 )

Harley-Davidson Inc

    (6,074 )     (251 )

Hasbro Inc

    (3,830 )     (372 )

Helen of Troy Ltd *

     (798 )     (164 )

Hilton Grand Vacations Inc *

     (1,700 )     (88 )

Hilton Worldwide Holdings Inc *

     (5,548 )     (826 )

Home Depot Inc/The

    (9,276 )     (2,930 )

Houghton Mifflin Harcourt Co *

     (3,200 )     (67 )

Hyatt Hotels Corp, Cl A *

     (800 )     (78 )

Installed Building Products Inc

    (522 )     (50 )

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

409

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

International Game Technology PLC

    (1,600 )   $ (49 )

iRobot Corp *

     (653 )     (41 )

Jack in the Box Inc

    (587 )     (51 )

KB Home

    (2,697 )     (104 )

Kohl's Corp

    (1,200 )     (67 )

Kontoor Brands Inc

    (2,100 )     (104 )

Las Vegas Sands Corp *

     (6,046 )     (259 )

La-Z-Boy Inc

    (1,759 )     (51 )

LCI Industries

    (1,075 )     (134 )

Lear Corp

    (2,892 )     (455 )

Leggett & Platt Inc

    (4,494 )     (167 )

Lennar Corp, Cl A

    (9,139 )     (821 )

Lennar Corp, Cl B

    (600 )     (45 )

LGI Homes Inc *

     (567 )     (72 )

Lithia Motors Inc, Cl A

    (200 )     (68 )

LKQ Corp

    (2,308 )     (108 )

Lowe's Cos Inc

    (5,961 )     (1,318 )

Lululemon Athletica Inc *

     (3,161 )     (1,011 )

M/I Homes Inc *

     (662 )     (33 )

Macy's Inc

    (2,200 )     (57 )

Malibu Boats Inc, Cl A *

     (300 )     (21 )

Marriott International Inc/MD, Cl A *

     (5,461 )     (929 )

Marriott Vacations Worldwide Corp

    (1,034 )     (166 )

Mattel Inc *

     (9,581 )     (239 )

McDonald's Corp

    (14,594 )     (3,572 )

MDC Holdings Inc

    (2,282 )     (101 )

Meritage Homes Corp *

     (1,148 )     (113 )

MGM Resorts International

    (8,541 )     (378 )

Mohawk Industries Inc *

     (1,583 )     (223 )

Murphy USA Inc

    (300 )     (54 )

National Vision Holdings Inc *

     (700 )     (26 )

Newell Brands Inc

    (12,226 )     (290 )

NIKE Inc, Cl B

    (38,337 )     (5,235 )

Nordstrom Inc *

     (1,200 )     (25 )

Norwegian Cruise Line Holdings Ltd *

     (6,986 )     (136 )

NVR Inc *

     (104 )     (516 )

Ollie's Bargain Outlet Holdings Inc *

     (478 )     (21 )

O'Reilly Automotive Inc *

     (614 )     (399 )

Oxford Industries Inc

    (500 )     (44 )

Papa John's International Inc

    (462 )     (49 )

Patrick Industries Inc

    (900 )     (64 )

Peloton Interactive Inc, Cl A *

     (7,478 )     (217 )

Penn National Gaming Inc *

     (2,832 )     (145 )

Penske Automotive Group Inc

    (600 )     (59 )

Planet Fitness Inc, Cl A *

     (1,692 )     (143 )

Polaris Inc

    (1,637 )     (199 )

Pool Corp

    (371 )     (170 )

PulteGroup Inc

    (7,558 )     (375 )

PVH Corp

    (1,994 )     (195 )

QuantumScape Corp, Cl A *

     (8,046 )     (130 )

Qurate Retail Inc

    (1,600 )     (9 )

Ralph Lauren Corp, Cl A

    (1,574 )     (208 )

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

Red Rock Resorts Inc, Cl A

    (1,000 )   $ (50 )

Rent-A-Center Inc/TX, Cl A

    (800 )     (23 )

RH *

     (140 )     (56 )

Rivian Automotive Inc, Cl A *

     (5,500 )     (372 )

Ross Stores Inc

    (2,601 )     (238 )

Royal Caribbean Cruises Ltd *

     (4,313 )     (348 )

Scientific Games Corp, Cl A *

     (1,638 )     (103 )

SeaWorld Entertainment Inc *

     (700 )     (49 )

Service Corp International/US

    (2,970 )     (181 )

Shake Shack Inc, Cl A *

     (400 )     (30 )

Signet Jewelers Ltd

    (600 )     (42 )

Six Flags Entertainment Corp *

     (1,594 )     (70 )

Skechers USA Inc, Cl A *

     (4,368 )     (201 )

Skyline Champion Corp *

     (1,450 )     (98 )

Smith & Wesson Brands Inc

    (2,001 )     (35 )

Sonos Inc *

     (2,304 )     (63 )

Standard Motor Products Inc

    (1,109 )     (48 )

Starbucks Corp

    (22,656 )     (2,080 )

Steven Madden Ltd

    (2,200 )     (94 )

Stoneridge Inc *

     (1,270 )     (21 )

Strategic Education Inc

    (289 )     (17 )

Stride Inc *

     (300 )     (10 )

Sturm Ruger & Co Inc

    (301 )     (22 )

Tapestry Inc

    (8,511 )     (348 )

Target Corp

    (4,100 )     (819 )

Taylor Morrison Home Corp, Cl A *

     (3,051 )     (90 )

Tempur Sealy International Inc

    (4,543 )     (150 )

Tenneco Inc, Cl A *

     (2,374 )     (46 )

Terminix Global Holdings Inc *

     (2,290 )     (97 )

Tesla Inc *

     (6,422 )     (5,590 )

Texas Roadhouse Inc, Cl A

    (1,072 )     (102 )

Thor Industries Inc

    (2,255 )     (204 )

TJX Cos Inc/The

    (10,166 )     (672 )

Toll Brothers Inc

    (3,291 )     (179 )

TopBuild Corp *

     (881 )     (189 )

Tractor Supply Co

    (994 )     (203 )

Travel + Leisure Co

    (2,152 )     (121 )

Tri Pointe Homes Inc *

     (3,744 )     (84 )

Tupperware Brands Corp *

     (1,400 )     (26 )

Ulta Beauty Inc *

     (515 )     (193 )

Under Armour Inc, Cl A *

     (6,708 )     (120 )

Under Armour Inc, Cl C *

     (5,941 )     (93 )

Vail Resorts Inc

    (731 )     (190 )

VF Corp

    (10,261 )     (595 )

Victoria's Secret & Co *

     (577 )     (31 )

Vista Outdoor Inc *

     (1,960 )     (71 )

Visteon Corp *

     (927 )     (111 )

Wayfair Inc, Cl A *

     (558 )     (79 )

Wendy's Co/The

    (3,372 )     (77 )

Whirlpool Corp

    (1,770 )     (356 )

Williams-Sonoma Inc

    (571 )     (83 )

Wingstop Inc

    (600 )     (87 )

 

 

 

410

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

Winnebago Industries Inc

    (1,169 )   $ (75 )

Wolverine World Wide Inc

    (1,654 )     (38 )

Wyndham Hotels & Resorts Inc

    (1,950 )     (169 )

Wynn Resorts Ltd *

     (1,843 )     (159 )

XPEL Inc *

     (500 )     (36 )

YETI Holdings Inc *

     (2,601 )     (160 )

Yum China Holdings Inc

    (7,466 )     (388 )

Yum! Brands Inc

    (5,869 )     (719 )
                 
                 
              (68,699 )
                 

Information Technology — (2.2)%

        

Advanced Micro Devices Inc *

     (6,166 )     (760 )

Amphenol Corp, Cl A

    (2,512 )     (191 )

Analog Devices Inc

    (2,211 )     (354 )

Apple Inc

    (34,428 )     (5,685 )

Applied Materials Inc

    (3,667 )     (492 )

Arista Networks Inc *

     (1,045 )     (128 )

Arrow Electronics Inc *

     (498 )     (61 )

Azenta Inc

    (400 )     (35 )

Broadcom Inc

    (1,622 )     (953 )

CDW Corp/DE

    (683 )     (118 )

Ciena Corp *

     (900 )     (62 )

Cisco Systems Inc/Delaware

    (19,000 )     (1,060 )

Cognex Corp

    (900 )     (61 )

Corning Inc

    (3,295 )     (133 )

Dell Technologies Inc, Cl C

    (1,337 )     (68 )

Enphase Energy Inc *

     (366 )     (61 )

Entegris Inc

    (500 )     (65 )

F5 Inc *

     (403 )     (81 )

First Solar Inc *

     (500 )     (38 )

Hewlett Packard Enterprise Co

    (5,957 )     (95 )

HP Inc

    (4,799 )     (165 )

II-VI Inc *

     (418 )     (29 )

Intel Corp

    (18,485 )     (882 )

Jabil Inc

    (678 )     (39 )

Juniper Networks Inc

    (2,600 )     (88 )

Keysight Technologies Inc *

     (801 )     (126 )

KLA Corp

    (565 )     (197 )

Lam Research Corp

    (589 )     (331 )

Lattice Semiconductor Corp *

     (900 )     (56 )

Lumentum Holdings Inc *

     (500 )     (49 )

Marvell Technology Inc

    (3,065 )     (209 )

Meta Materials *

     (29,400 )     (63 )

Microchip Technology Inc

    (2,163 )     (152 )

Micron Technology Inc

    (4,851 )     (431 )

MKS Instruments Inc

    (424 )     (64 )

Monolithic Power Systems Inc

    (188 )     (86 )

Motorola Solutions Inc

    (658 )     (145 )

NetApp Inc

    (828 )     (65 )

NVIDIA Corp

    (9,184 )     (2,240 )

NXP Semiconductors NV

    (945 )     (180 )

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

ON Semiconductor Corp *

     (1,477 )   $ (92 )

Pure Storage Inc, Cl A *

     (1,112 )     (29 )

Qorvo Inc *

     (439 )     (60 )

QUALCOMM Inc

    (4,566 )     (785 )

Skyworks Solutions Inc

    (592 )     (82 )

Super Micro Computer Inc *

     (748 )     (29 )

Synaptics Inc *

     (200 )     (46 )

TD SYNNEX Corp

    (500 )     (51 )

Teledyne Technologies Inc *

     (200 )     (86 )

Teradyne Inc

    (603 )     (71 )

Texas Instruments Inc

    (4,030 )     (685 )

Trimble Inc *

     (976 )     (68 )

Universal Display Corp

    (146 )     (23 )

Western Digital Corp *

     (1,510 )     (77 )

Wolfspeed Inc *

     (600 )     (62 )

Zebra Technologies Corp, Cl A *

     (216 )     (89 )
                 
                 
              (18,433 )
                 

Materials — (1.7)%

        

Air Products and Chemicals Inc

    (2,507 )     (592 )

Albemarle Corp

    (1,358 )     (266 )

Alcoa Corp

    (2,500 )     (188 )

Allegheny Technologies Inc *

     (2,700 )     (69 )

Amcor PLC

    (20,336 )     (236 )

AptarGroup Inc

    (800 )     (97 )

Arconic Corp *

     (1,600 )     (49 )

Ashland Global Holdings Inc

    (900 )     (83 )

Avery Dennison Corp

    (981 )     (173 )

Avient Corp

    (1,100 )     (58 )

Axalta Coating Systems Ltd *

     (2,073 )     (56 )

Ball Corp

    (3,535 )     (317 )

Berry Global Group Inc *

     (2,042 )     (124 )

Cabot Corp

    (900 )     (66 )

Celanese Corp, Cl A

    (1,274 )     (177 )

CF Industries Holdings Inc

    (2,678 )     (217 )

Chemours Co/The

    (1,900 )     (52 )

Cleveland-Cliffs Inc *

     (4,200 )     (94 )

Commercial Metals Co

    (1,269 )     (49 )

Compass Minerals International Inc

    (900 )     (53 )

Constellium, Cl A *

     (2,800 )     (54 )

Corteva Inc

    (7,435 )     (387 )

Crown Holdings Inc

    (1,635 )     (201 )

Dow Inc

    (9,076 )     (535 )

DuPont de Nemours Inc

    (7,026 )     (544 )

Eagle Materials Inc

    (400 )     (55 )

Eastman Chemical Co

    (1,400 )     (166 )

Ecolab Inc

    (2,745 )     (484 )

Element Solutions Inc

    (3,700 )     (91 )

FMC Corp

    (1,821 )     (214 )

Freeport-McMoRan Inc, Cl B

    (17,099 )     (803 )

Graphic Packaging Holding Co

    (2,440 )     (50 )

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

411

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

             

Description

  

Shares

    

Market Value
($ Thousands)

  

COMMON STOCK SOLD SHORT (continued)

HB Fuller Co

    (900 )   $ (62 )

Hecla Mining Co

    (9,900 )     (57 )

Huntsman Corp

    (3,869 )     (156 )

Innospec Inc

    (1,100 )     (105 )

International Flavors & Fragrances Inc

    (2,497 )     (332 )

International Paper Co

    (4,558 )     (198 )

Livent Corp *

     (1,900 )     (45 )

Louisiana-Pacific Corp

    (1,174 )     (84 )

LyondellBasell Industries NV, Cl A

    (4,721 )     (459 )

Martin Marietta Materials Inc

    (787 )     (299 )

Minerals Technologies Inc

    (1,700 )     (119 )

Mosaic Co/The

    (4,861 )     (255 )

MP Materials *

     (400 )     (18 )

Newmont Corp

    (8,778 )     (581 )

Nucor Corp

    (3,164 )     (416 )

O-I Glass Inc *

     (5,100 )     (65 )

Olin Corp

    (1,900 )     (98 )

Packaging Corp of America

    (1,183 )     (174 )

PPG Industries Inc

    (2,592 )     (346 )

Reliance Steel & Aluminum Co

    (921 )     (176 )

Royal Gold Inc

    (900 )     (109 )

RPM International Inc

    (2,007 )     (170 )

Scotts Miracle-Gro Co/The, Cl A

    (575 )     (81 )

Sealed Air Corp

    (1,548 )     (104 )

Sherwin-Williams Co/The

    (2,803 )     (738 )

Silgan Holdings Inc

    (2,000 )     (84 )

Sonoco Products Co

    (488 )     (29 )

Southern Copper Corp

    (925 )     (64 )

Steel Dynamics Inc

    (2,524 )     (178 )

Summit Materials Inc, Cl A *

     (1,300 )     (41 )

SunCoke Energy Inc

    (16,900 )     (134 )

Tronox Holdings PLC

    (2,200 )     (45 )

United States Steel Corp

    (2,600 )     (71 )

Valvoline Inc

    (3,100 )     (100 )

Vulcan Materials Co

    (1,993 )     (362 )

Westlake Corp

    (1,000 )     (110 )

Westrock Co

    (3,206 )     (145 )
                 
                 
              (13,210 )
                 

Total Common Stock Sold Short

                

(Proceeds $92,286) ($ Thousands)

             (104,833 )
                 
                 

Total Investments Sold Short — (12.9)%

                

(Proceeds $92,286) ($ Thousands)

  $ (104,833 )
                 
                 
   


Contracts

          

PURCHASED OPTIONS*^ — 0.1%

Total Purchased Options (I)

                

(Cost $433) ($ Thousands)

     316     $ 1,054  
                 
                 

 

             

Description

  

Contracts

    

Market Value
($ Thousands)

  

WRITTEN OPTIONS*^ — (0.1)%

Total Written Options (I)

                

(Premiums Received $331) ($ Thousands)

     (367 )   $ (491 )
                 
                 

 

 

 

412

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

 

 

A list of the exchange traded option contracts held by the Fund at February 28, 2022, is as follows:

 

Description

  

Number of Contracts

    

Notional Amount
(Thousands)†

    

Exercise Price

    

Expiration Date

    

Value
(Thousands)

  

PURCHASED OPTIONS *^ — 0.1%

                                

Call Options

                                        

April 2022, Crude Oil

     263     $ 296     $ 100.00       3/19/2022     $ 784  

May 2022, Crude Oil

     53       137       100.00       3/19/2022       270  
                                         
                                       
                                       

Total Purchased Options

           $ 433                     $ 1,054  

WRITTEN OPTIONS *^ — (0.1)%

                                

Put Options

                                        

April 2022, Crude Oil

     (30 )   $ (106 )     85.00       03/19/22     $ (24 )

May 2022, Crude Oil

     (21 )     (63 )     85.00       03/19/22       (22 )
                                       
              (169 )                     (46 )
                                         
                                         

Call Options

                                        

April 2022, Crude Oil

     (263 )     (105 )     110.00       03/19/22       (321 )

May 2022, Crude Oil

     (53 )     (57 )     110.00       03/19/22       (124 )
                                       
              (162 )                     (445 )
                                         
                                         

Total Written Options

           $ (331 )                   $ (491 )
                                         
                                         

 

† Represents cost.

 

A list of the open futures contracts held by the Fund at February 28, 2022, is as follows:

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Long Contracts

                                        

Brent Crude^

     125       Apr-2022     $ 10,397     $ 12,246     $ 1,849  

Coffee C^

     2       Jul-2022       184       174       (10 )

Coffee C^

     32       May-2022       3,016       2,795       (221 )

Copper^

     5       Dec-2022       559       555       (4 )

Copper^

     37       May-2022       4,182       4,120       (62 )

Corn^

     125       May-2022       4,012       4,317       305  

Gasoline^

     15       May-2022       1,861       1,833       (28 )

Gasoline^

     20       Apr-2022       2,225       2,463       238  

Gold^

     69       Apr-2022       12,592       13,115       523  

Heating Oil^

     17       May-2022       1,913       2,032       119  

KC HRW Wheat^

     50       May-2022       2,132       2,382       250  

Lean Hogs^

     16       Jun-2022       725       726       1  

Lean Hogs^

     64       Apr-2022       2,465       2,650       185  

Live Cattle^

     59       Jul-2022       3,251       3,250       (1 )

Live Cattle^

     37       May-2022       2,114       2,093       (21 )

LME Lead^

     38       Mar-2022       2,177       2,273       96  

LME Lead^

     21       Jun-2022       1,225       1,253       28  

LME Nickel^

     23       Jun-2022       2,924       3,338       414  

LME Nickel^

     18       Mar-2022       2,183       2,657       474  

LME Primary Aluminum^

     49       Mar-2022       3,221       4,133       912  

LME Primary Aluminum^

     23       Jun-2022       1,776       1,935       159  

LME Zinc^

     5       Mar-2022       445       460       15  

Low Sulphur Gasoil^

     87       May-2022       6,687       7,221       534  

Natural Gas^

     234       Apr-2022       10,227       10,343       116  

Natural Gas^

     9       Apr-2022       359       396       37  

NYMEX Cocoa^

     28       May-2022       742       708       (34 )

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

413

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

 

Type of Contract

  

Number of
Contracts

    

Expiration Date

    

Notional Amount (Thousands)

    

Value (Thousands)

    

Unrealized Appreciation/ (Depreciation) (Thousands)

  

Silver^

     18       May-2022     $ 2,114     $ 2,193     $ 79  

Soybean^

     120       May-2022       9,516       9,820       304  

Soybean^

     35       Nov-2022       2,483       2,513       30  

Soybean Meal^

     74       May-2022       3,363       3,303       (60 )

Soybean Meal^

     1       Dec-2022       40       40       –  

Soybean Oil^

     82       May-2022       3,230       3,568       338  

Sugar No. 11^

     156       May-2022       3,110       3,093       (17 )

Ultra 10-Year U.S. Treasury Notes

     18       Jun-2022       2,546       2,544       (2 )

Wheat^

     110       May-2022       4,289       5,137       848  

WTI Crude Oil^

     101       Apr-2022       8,825       9,443       618  
                      123,110       131,122       8,012  

Short Contracts

                                        

Cotton No. 2^

     (29 )     May-2022     $ (1,736 )   $ (1,727 )   $ 9  

Feeder Cattle^

     (35 )     May-2022       (2,956 )     (2,835 )     121  

LME Lead^

     (5 )     May-2022       (280 )     (299 )     (19 )

LME Primary Aluminum^

     (3 )     May-2022       (196 )     (253 )     (57 )

LME Zinc^

     (12 )     Jun-2022       (1,099 )     (1,099 )     –  

LME Zinc^

     (17 )     May-2022       (1,530 )     (1,561 )     (31 )

MSCI EAFE Index

     (111 )     Mar-2022       (12,540 )     (12,005 )     535  

NY Harbor ULSD^

     (18 )     May-2022       (2,163 )     (2,152 )     11  

Platinum^

     (24 )     Apr-2022       (1,320 )     (1,246 )     74  

S&P 500 Index E-MINI

     (110 )     Mar-2022       (25,572 )     (24,024 )     1,548  

Soybean Oil^

     (4 )     Jul-2022       (156 )     (170 )     (14 )

U.S. 2-Year Treasury Notes

     (164 )     Jul-2022       (35,227 )     (35,297 )     (70 )

U.S. 5-Year Treasury Notes

     (32 )     Jul-2022       (3,772 )     (3,785 )     (13 )

U.S. Ultra Long Treasury Bond

     (15 )     Jun-2022       (2,796 )     (2,789 )     7  
                      (91,343 )     (89,242 )     2,101  
                    $ 31,767     $ 41,880     $ 10,113  

 

A list of the open forward foreign currency contracts held by the Fund at February 28, 2022, is as follows:

 

Counterparty

  

Settlement Date

    

Currency to Deliver
(Thousands)

    

Currency to Receive
(Thousands)

    

Unrealized Appreciation
(Depreciation)
(Thousands)

  

Barclays PLC

     03/02/22       USD       3,829       RUB       286,174     $ (1,159 )

BNP Paribas

     04/22/22       USD       2,228       CAD       2,834       6  

Brown Brothers Harriman

     03/24/22       USD       993       SEK       9,074       (31 )

Brown Brothers Harriman

     03/24/22       SEK       6,534       USD       706       13  

Brown Brothers Harriman

     04/28/22       USD       308       AUD       429       3  

Brown Brothers Harriman

     05/12/22       USD       5       EUR       4       —  

Brown Brothers Harriman

     05/12/22       EUR       108       USD       124       2  

Citigroup

     03/02/22       RUB       303,567       USD       3,910       1,078  

Citigroup

     04/28/22       USD       2,133       AUD       2,942       3  

Citigroup

     04/28/22       AUD       11,412       USD       8,059       (227 )

Deutsche Bank

     03/24/22       USD       48       RUB       4,040       (12 )

Goldman Sachs

     03/24/22       USD       5,760       SEK       54,190       (12 )

Goldman Sachs

     06/16/22       MYR       5,636       USD       1,328       (16 )

JPMorgan Chase Bank

     03/24/22       USD       4,133       SEK       38,705       (28 )

JPMorgan Chase Bank

     03/24/22       SEK       92,099       USD       10,106       338  

Morgan Stanley

     04/22/22       CAD       12,294       USD       9,669       (26 )

Morgan Stanley

     05/12/22       EUR       2,949       USD       3,375       54  

UBS

     03/02/22       USD       287       RUB       21,434       (87 )
                                            $ (101 )

 

 

 

414

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

 

A list of the open centrally cleared swap agreements held by the Fund at February 28, 2022, is as follows:

 

Credit Default Swaps

Reference Entity/ Obligation

  

Buy/Sell Protection

    

(Pays)/Receives Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

CBMX.BBB.577808

     Sell       3.00%       Monthly       09/17/2058     $ (2,900 )   $ (319 )   $ (339 )   $ 20  

CDX.NAHYS37V1-5Y

     Buy       5.00%       Quarterly       12/20/2026       6,890       (391 )     (437 )     46  

CDX.NAIGS.37V1-5Y

     Buy       1.00%       Quarterly       12/20/2026       48,950       (735 )     (1,047 )     312  

China

     Buy       1.00%       Quarterly       12/20/2026       20,500       (313 )     (546 )     233  

CMBX.BBB.577807

     Buy       3.00%       Monthly       05/11/2063       1,394       339       371       (32 )

Malaysia

     Buy       1.00%       Quarterly       12/20/2026       36,970       (395 )     (830 )     435  
                                            $ (1,814 )   $ (2,828 )   $ 1,014  

 

Interest Rate Swaps

Fund Pays

  

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

1.9905%

     3-MONTH USD - LIBOR       Quarterly       04/21/2025       USD       2,040     $ (14 )   $ –     $ (14 )

2.4875

     3-MONTH USD - LIBOR       Quarterly       06/09/2025       USD       1,240       (29 )     –       (29 )

2.293

     3-MONTH USD - LIBOR       Quarterly       08/04/2025       USD       1,833       (32 )     –       (32 )

1.487

     3-MONTH USD - LIBOR       Quarterly       10/04/2026       USD       7,010       101       –       101  

1.66

     3-MONTH USD - LIBOR       Quarterly       11/08/2026       USD       1,040       7       –       7  

1.67

     3-MONTH USD - LIBOR       Quarterly       11/09/2026       USD       1,230       7       –       7  

2.44

     3-MONTH USD - LIBOR       Quarterly       04/04/2027       USD       3,640       (109 )     –       (109 )

0.5575

     3-MONTH USD - LIBOR       Quarterly       06/05/2027       USD       15,050       969       –       969  

2.3545

     3-MONTH USD - LIBOR       Quarterly       07/12/2027       USD       720       (19 )     –       (19 )

2.1495

     3-MONTH USD - LIBOR       Quarterly       06/04/2029       USD       5,145       (94 )     –       (94 )

1.593

     3-MONTH USD - LIBOR       Quarterly       09/27/2029       USD       2,440       52       –       52  

0.6165

     3-MONTH USD - LIBOR       Quarterly       05/21/2031       USD       17,160       429       –       429  

2.631

     3-MONTH USD - LIBOR       Quarterly       11/10/2035       USD       1,300       (99 )     –       (99 )
                                            $ 1,169     $ –     $ 1,169  

 

A list of the open OTC swap agreements held by the Fund at February 28, 2022, is as follows:

 

Credit Default Swaps

Counterparty

  

Reference Entity/ Obligation

    

Buy/Sell Protection

    

(Pays)/Receives Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

Credit Suisse

     CMBX.NA.A.6 Index       Sell       2.00%       Monthly       05/11/2063     $ (1,125 )   $ (87 )   $ (24 )   $ (63 )

Credit Suisse

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       12/31/2049       (775 )     (188 )     (49 )     (139 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       12/31/2049       (216 )     (52 )     (13 )     (39 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       12/31/2049       (563 )     (136 )     (39 )     (97 )

Deutsche Bank

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       12/31/2049       (171 )     (42 )     (19 )     (23 )

Deutsche Bank

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       12/31/2049       (29 )     (7 )     (1 )     (6 )

Credit Suisse

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       12/31/2049       (161 )     (39 )     (10 )     (29 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (181 )     (44 )     (28 )     (16 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (253 )     (61 )     (40 )     (21 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (16 )     (4 )     (2 )     (2 )

JPMorgan Chase

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (142 )     (35 )     (13 )     (22 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (288 )     (70 )     (37 )     (33 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (189 )     (46 )     (19 )     (27 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (28 )     (7 )     (3 )     (4 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Quarterly       05/11/2063       (55 )     (13 )     (6 )     (7 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (747 )     (181 )     (56 )     (125 )

Credit Suisse

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (961 )     (232 )     (135 )     (97 )

Credit Suisse

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (242 )     (59 )     (34 )     (25 )

JPMorgan Chase

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (34 )     (8 )     (3 )     (5 )

Deutsche Bank

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (28 )     (7 )     (3 )     (4 )

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

415

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

 

Counterparty

  

Reference Entity/ Obligation

    

Buy/Sell Protection

    

(Pays)/Receives Rate

    

Payment Frequency

    

Termination Date

    

Notional Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/ Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

Deutsche Bank

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063     $ (100 )   $ (24 )   $ (11 )   $ (13 )

Deutsche Bank

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (100 )     (24 )     (11 )     (13 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (165 )     (40 )     (14 )     (26 )

Citibank

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (29 )     (7 )     (4 )     (3 )

Citibank

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (4 )     (2 )     (1 )     (1 )

Citibank

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (21 )     (5 )     (3 )     (2 )

Citibank

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (29 )     (7 )     (4 )     (3 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (14 )     (3 )     (1 )     (2 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (28 )     (7 )     (2 )     (5 )

Goldman Sachs

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (162 )     (39 )     (24 )     (15 )

Citibank

     CMBX.NA.BBB.6 Index       Sell       3.00%       Monthly       05/11/2063       (15 )     (4 )     (1 )     (3 )

JPMorgan Chase

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (184 )     (45 )     (22 )     (23 )

Citibank

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (32 )     (8 )     (4 )     (4 )

Citibank

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Quarterly       05/11/2063       (29 )     (7 )     (3 )     (4 )

Citibank

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Quarterly       05/11/2063       (33 )     (8 )     (4 )     (4 )

JPMorgan Chase

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (35 )     (8 )     (3 )     (5 )

Citibank

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (90 )     (22 )     (10 )     (12 )

Citibank

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (65 )     (16 )     (7 )     (9 )

Citibank

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (45 )     (11 )     (5 )     (6 )

Citibank

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (19 )     (5 )     (2 )     (3 )

Citibank

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (64 )     (15 )     (7 )     (8 )

Citibank

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Quarterly       05/11/2063       (46 )     (11 )     (6 )     (5 )

JPMorgan Chase

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (533 )     (129 )     (62 )     (67 )

Credit Suisse

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (108 )     (26 )     (13 )     (13 )

Credit Suisse

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (4 )     (1 )     —       (1 )

Goldman Sachs

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (20 )     (5 )     (2 )     (3 )

JPMorgan Chase

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Quarterly       05/11/2063       (91 )     (22 )     (11 )     (11 )

Citibank

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (7 )     (2 )     (1 )     (1 )

Citibank

     CMBX.NA.BBB-.6 Index       Sell       3.00%       Monthly       05/11/2063       (90 )     (22 )     (9 )     (13 )

Morgan Stanley

     CMBX.NA.BBB-.9       Buy       3.00%       Monthly       09/17/2058       531       58       106       (48 )

Morgan Stanley

     CMBX.NA.BBB-.9       Buy       3.00%       Monthly       09/17/2058       266       29       50       (21 )

Citibank

     CMBX.NA.BBB-.9       Buy       3.00%       Monthly       09/17/2058       531       58       104       (46 )

Citibank

     CMBX.NA.BBB-.9       Buy       3.00%       Monthly       09/17/2058       2,255       247       446       (199 )

Citibank

     CMBX.NA.BBB-.9       Buy       3.00%       Monthly       09/17/2058       1,127       124       218       (94 )

Citibank

     CMBX.NA.BBB-.9       Buy       3.00%       Monthly       09/17/2058       57       6       11       (5 )

Citibank

     CMBX.NA.BBB-.9 Index       Buy       3.00%       Monthly       09/17/2058       264       28       17       11  

Citibank

     CMBX.NA.BBB-.9 Index       Buy       3.00%       Monthly       09/17/2058       1,255       138       83       55  

Citibank

     CMBX.NA.BBB-.9 Index       Buy       3.00%       Monthly       09/17/2058       265       28       17       11  

Citibank

     CMBX.NA.BBB-.9 Index       Buy       3.00%       Monthly       09/17/2058       251       28       17       11  

Citibank

     CMBX.NA.BBB-.9 Index       Buy       3.00%       Monthly       09/17/2058       509       56       38       18  

Goldman Sachs

     CMBX-BBB-557874       Buy       3.00%       Monthly       09/17/2058       498       55       84       (29 )

Citibank

     CMBX-BBB-560152       Buy       3.00%       Monthly       09/17/2058       532       59       104       (45 )

Citibank

     CMBX-BBB-561625       Buy       3.00%       Monthly       09/17/2058       55       6       11       (5 )

JPMorgan Chase

     CMBX-BBB-562055       Buy       3.00%       Monthly       09/17/2058       232       26       46       (20 )
                                                      (897 )   $ 571       (1,468 )

 

 

 

416

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

 

Total Return Swaps

Counterparty

  

Reference Entity/ Obligation

    

Fund Pays

    

Fund Receives

    

Payment Frequency

    

Termination Date

    

Currency

    

Notional
Amount
(Thousands)

    

Value
(Thousands)

    

Upfront Payments/
Receipts
(Thousands)

    

Net Unrealized
Appreciation
(Depreciation)
(Thousands)

  

Macquarie Bank Limited

     Bloomberg Commodity Index ^     US T-BILL HIGH DISCOUNT RATE + 9 BPS       INDEX RETURN       Monthly       03/16/2022       USD       (11,714 )   $ 457     $ –     $ 457  

Macquarie Bank Limited

     MacQuarie Commodity Product 251 E ^     0.34 %     INDEX RETURN       Monthly       03/05/2022       USD       (3,838 )     112       –       112  

Merrill Lynch

     Bloomberg Commodity Index ^     US T-BILL HIGH DISCOUNT RATE + 11 BPS       INDEX RETURN       Monthly       03/16/2022       USD       (17,056 )     666       –       666  

Merrill Lynch

     Bloomberg Commodity Index ^     US T-BILL HIGH DISCOUNT RATE + 12 BPS       INDEX RETURN       Monthly       03/16/2022       USD       (2,431 )     99       –       99  

Merrill Lynch

  

BofA Merrill Lynch Commodity Total Return Index^

       3-Month U.S. Treasury rate plus 13 BPS       INDEX RETURN       Monthly       03/05/2022       USD       (6,140 )     38       –       38  

Morgan Stanley

     iBoxx$ Liquid High Yield Index       INDEX RETURN       4.00 %     Quarterly       03/21/2022       USD       12,542       299       –       299  

Societe Generale

     Bloomberg Commodity Index ^     US T-BILL HIGH DISCOUNT RATE + 11 BPS       INDEX RETURN       Monthly       03/17/2022       USD       (10,441 )     408       –       408  

Societe Generale

     Bloomberg Commodity Index ^     US T-BILL HIGH DISCOUNT RATE + 14 BPS       INDEX RETURN       Monthly       03/17/2022       USD       (2,649 )     108       –       108  

Societe Generale

     Societe Generale Commodities Custom Alpha 061 Index ^     0.35 %     INDEX RETURN       Monthly       03/05/2022       USD       (5,463 )     (15 )     –       (15 )
                                                            $ 2,172     $ –     $ 2,172  

 

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

417

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Continued)

 

As of February 28, 2022, the Reverse Repurchase Agreements held by the Fund are listed below:

 

 

Principal Amount ($ Thousands)

 

Counterparty

  

Rate

    

Maturity

    

Value

($ Thousands)

  
  $ (11,832 )

Chase Securities

     0.12%       Open Ended     $ (11,832 )
    (104,223 )

HSBC

     0.09%       Open Ended       (104,223 )
    (42,215 )

HSBC

     0.08%       Open Ended       (42,215 )
                            $ (158,270 )

 

 

Percentages are based on Net Assets of $811,743 ($ Thousands).

^

Security, or a portion thereof, is held by the MARR Commodity Strategy Subsidiary, Ltd. as of February 28, 2022.

*

Non-income producing security.

‡

Real Estate Investment Trust.

(A)

Interest rate represents the security's effective yield at the time of purchase.

(B)

Zero coupon security.

(C)

Security, or a portion thereof, has been pledged as collateral on reverse repurchase agreements.

(D)

Security, or portion thereof, has been pledged as collateral on securities sold short.

(E)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On February 28, 2022, the value of these securities amounted to $86,260 ($ Thousands), representing 10.6% of the Net Assets of the Fund.

(F)

Security is in default on interest payment.

(G)

Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.

(H)

Perpetual security with no stated maturity date.

(I)

Refer to table below for details on Options Contracts.

 

AUD — Australian Dollar

BPS — Basis Points

CAD — Canadian Dollar

Cl — Class

CLO — Collateralized Loan Obligation

CMBX — Commercial Mortgage-Backed Index

CMO — Collateralized Mortgage Obligation

DAC — Designated Activity Company

EAFE — Europe, Australasia and Far East

EUR — Euro

FFCB — Federal Farm Credit Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

HRW— Hard Red Winter

ICE— Intercontinental Exchange

IO — Interest Only — face amount represents notional amount.

LIBOR— London Interbank Offered Rate

LLC — Limited Liability Company

LME — London Metal Exchange

LP — Limited Partnership

Ltd — Limited

MSCI — Morgan Stanley Capital International

MTN — Medium Term Note

MYR — Malaysian Ringgit

NYMEX — New York Mercantile Exchange

 

OTC — Over The Counter

PIK — Payment-in-Kind

PLC — Public Limited Company

RB — Revenue Bond

REIT — Real Estate Investment Trust

REMIC — Real Estate Mortgage Investment Conduit

RUB — Russian Ruble

S&P— Standard & Poor's

SEK — Swedish Krona

Ser — Series

SOFR — Secured Overnight Financing Rate

STACR — Structured Agency Credit Risk

TBA — To Be Announced

ULSD — Ultra-Low Sulfur Diesel

UMBS — Uniform Mortgage Backed Securities

USD — U.S. Dollar

WTI — West Texas Intermediate

 

The following is a summary of the level of inputs used as of February 28, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

 

Investments in Securities

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

U.S. Treasury Obligations

     –       515,771       –       515,771  

Common Stock

     241,081       –       –       241,081  

Corporate Obligations

     –       69,176       –       69,176  

Mortgage-Backed Securities

     –       63,350       –       63,350  

U.S. Government Agency Obligations

     –       26,848       –       26,848  

Asset-Backed Securities

     –       26,284       –       26,284  

Sovereign Debt

     –       3,347       –       3,347  

Municipal Bonds

     –       1,443       –       1,443  

Total Investments in Securities

     241,081       706,219       –       947,300  

Securities Sold Short

                                

Common Stock

     (104,833 )     –       –       (104,833 )

Total Securities Sold Short

     (104,833 )     –       –       (104,833 )

 

Other Financial Instruments

  

Level 1
($)

    

Level 2
($)

    

Level 3
($)

    

Total
($)

  

Purchased Options

     1,054       –       –       1,054  

Written Options

     (491 )     –       –       (491 )

Futures Contracts*

                                

Unrealized Appreciation

     10,777       –       –       10,777  

Unrealized Depreciation

     (664 )     –       –       (664 )

Forwards Contracts*

                                

Unrealized Appreciation

     –       1,497       –       1,497  

Unrealized Depreciation

     –       (1,598 )     –       (1,598 )

Centrally Cleared Swaps

                                

Credit Default Swaps*

                                

Unrealized Appreciation

     –       1,046       –       1,046  

Unrealized Depreciation

     –       (32 )     –       (32 )

Interest Rate Swaps*

                                

Unrealized Appreciation

     –       1,565       –       1,565  

Unrealized Depreciation

     –       (396 )     –       (396 )

OTC Swaps

                                

Credit Default Swaps*

                                

Unrealized Appreciation

     –       106       –       106  

Unrealized Depreciation

     –       (1,574 )     –       (1,574 )

Total Return Swaps*

                                

Unrealized Appreciation

     –       2,187       –       2,187  

Unrealized Depreciation

     –       (15 )     –       (15 )

Reverse Repurchase Agreements

     –       (158,270 )     –       (158,270 )

Total Other Financial Instruments

     10,676       (155,484 )     –       (144,808 )

 

*

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

 

 

 

418

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

 

 

 

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

February 28, 2022

Multi-Asset Real Return Fund (Concluded)

 

For the period ended February 28, 2022, there were no transfers in or out of Level 3.

 

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.

 

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

 

 

SEI Institutional Investments Trust / Quarterly Report / February 28, 2022

 

419