ANNUAL REPORT AS OF
MAY 31, 1997
SEI INSTITUTIONAL
INVESTMENTS TRUST
- ------------------------------
Large Cap Fund
- ------------------------------
Small Cap Fund
- ------------------------------
Core Fixed Income Fund
- ------------------------------
International Equity Fund
- ------------------------------
SEI Investments
<PAGE>
TABLE OF CONTENTS
================================================================================
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE.................................................. 1
REPORT OF INDEPENDENT ACCOUNTANTS....................................... 6
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS......................... 7
STATEMENT OF ASSETS AND LIABILITIES..................................... 33
STATEMENT OF OPERATIONS................................................. 34
STATEMENT OF CHANGES IN NET ASSETS...................................... 35
FINANCIAL HIGHLIGHTS.................................................... 36
NOTES TO FINANCIAL STATEMENTS........................................... 37
NOTICE TO SHAREHOLDERS.................................................. 41
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
LARGE CAP FUND
OBJECTIVE: The Large Cap Fund seeks to provide long-term growth of
capital and income.
STRATEGY: The Large Cap Fund employs a multi-manager structure to gain
exposure to the entire large cap sector, adding value through stock selection
while minimizing risk in the form of capitalization, valuation and economic
sector exposures. The Fund is jointly sub-advised by six investment managers.
Assets of the Fund are strategically allocated among its sub-advisers, each of
which has responsibility for stock selection for its respective assets under
management. Each of the sub-styles assumes a different importance in determining
overall style risk, and must therefore be weighted accordingly.
ANALYSIS: The Large Cap Fund returned 28.22% for the fiscal period ended
May 31, 1997. For the period July 1, 1996 through May 31, 1997 the Large Cap
Fund returned 28.12% outperforming the Frank Russell 1000 Index return of 26.97%
over the same time period. The broad market advanced sharply during this fiscal
period with most sectors providing returns well into double digits. The modest
growth with controlled inflation scenario continues to play itself out providing
companies with attractive business opportunities and strong corporate profits.
Technology stocks continued their strong advances throughout the period and
contributed significantly to the Fund's performance. Financial services,
healthcare, consumer non-durables and oil companies, each significant exposures
in the Fund, experienced sharp gains.
While the broad market advanced significantly during the period, the
telephone industry was rather weak as competition sharply increased at the same
time AT&T engineered their breakup. Retail companies have also had disappointing
earnings as their profits remain fleeting and the consumer remains price
conscience. Utilities have also been weak.
The Fund continues to be positioned for slower economic and corporate
profit growth along with continued low interest rates. Consumer, drug, financial
services and technology companies are expected to perform strong in this
economy.
================================================================================
LARGE CAP FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Cumulative
Inception Inception
to Date to Date
- --------------------------------------------------------------------------------
Large Cap Fund 29.50% 28.22%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN
THE SEI INSTITUTIONAL INVESTMENTS TRUST LARGE CAP FUND, VERSUS THE
FRANK RUSSELL 1000 INDEX
[LINE GRAPH OMITTED]
SEI INSTITUTIONAL
INVESTMENTS TRUST FRANK RUSSELL
LARGE CAP FUND 1000 INDEX
------------------- ----------------
6/30/96 10,000 10,000
5/31/97 12,812 12,697
1 FOR THE PERIOD ENDED MAY 31, 1997. PAST PERFORMANCE IS NO INDICATION OF FUTURE
PERFORMANCE. FUND SHARES WERE OFFERED BEGINNING 6/14/96.
1
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
===============================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
SMALL CAP FUND
OBJECTIVE: The Small Cap Fund seeks to provide capital appreciation.
STRATEGY: The Small Cap Fund's investment philosophy is to add value
through stock selection while minimizing risk in the form of capitalization,
valuation and economic sector exposures. The Small Cap Fund is sub-advised by
seven investment managers, who are responsible for the stock selection of the
investment portfolio.
Each sub-adviser employs a unique investment process that allows the Fund
to benefit from a variety of sub-styles in the small cap area of the market. The
various sub-styles are: price/book, price/earnings, deep-value, momentum,
long-term sustainable growth, micro-cap and relative price strength.
ANALYSIS: The Small Cap Fund returned 9.18% for the fiscal period ended
May 31, 1997. For the period July 1, 1996 through May 31, 1997 the Fund returned
11.99% slightly outperforming the Frank Russell 2000 Index return of 11.56% over
the same time period. The period was dominated by the value sector of the market
in the small cap arena. The value sector substantially outperformed the growth
sector throughout the period. The Russell 2000 Value Index outperformed the
Russell 2000 Growth Index by over 10% during the period.
Financial, energy and technology related issues performed well during the
first fiscal period of the Fund. The financial industry benefited from the
continuing deregulation in the banking industry, a declining interest rate
environment and the abundance of merger and acquisition activity. In particular,
the brokerage industry started to see signs of consolidation as larger
commercial banks snapped up regional investment banking operations. The energy
sector of the market rallied throughout most of the fiscal period as oil prices
continued to rise and new technological developments were introduced in the
industry. The energy sector rally tapered off towards the end of the period as
oil prices declined substantially. Technology related issues continued to show
impressive gains throughout the period as corporations continued to upgrade
existing systems. Drugs, telecommunications and leisure issues struggled
throughout the period.
LSV Asset Management ("LSV") was added as a sub-adviser to the Fund on May
13, 1997. LSV brings a "deep-value" approach of investing in small cap
securities that was not originally present in the Fund. It is our expectation
that the addition of such a sub-style investment technique should benefit the
Fund over time.
================================================================================
SMALL CAP FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Cumulative
Inception Inception
to Date to Date
- --------------------------------------------------------------------------------
Small Cap Fund 9.57% 9.18%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN
THE SEI INSTITUTIONAL INVESTMENTS TRUST SMALL CAP FUND, VERSUS THE
FRANK RUSSELL 2000 INDEX
[LINE GRAPH OMITTED]
SEI INSTITUTIONAL
INVESTMENTS TRUST FRANK RUSSELL
SMALL CAP FUND 2000 INDEX
----------------- -------------
6/30/96 10,000 10,000
5/31/97 11,199 11,156
1 FOR THE PERIOD ENDED MAY 31, 1997. PAST PERFORMANCE IS NO INDICATION OF FUTURE
PERFORMANCE. FUND SHARES WERE OFFERED BEGINNING 6/14/96.
2
<PAGE>
================================================================================
CORE FIXED INCOME FUND
OBJECTIVE: The Core Fixed Income Fund seeks to provide current income
consistent with the preservation of capital.
STRATEGY: The Core Fixed Income Fund's investment strategy focuses on
sector rotation, both among and within sectors, and issue selection. Risk is
principally controlled by explicitly limiting the Fund's interest rate exposure
relative to the Lehman Aggregate Bond Index. The Fund's sub-advisers focus on
four key areas in determining portfolio structure: duration weighting, term
structure, sector allocation, and issue selection. While the duration and term
structure decision underlie the implementation process, the advisers primarily
concentrate on sector and issue selection to add value. In addition, the
sub-advisers may use futures and options primarily for tactical hedging purposes
and to implement portfolio strategies more efficiently.
ANALYSIS: The Core Fixed Income Fund returned 8.28% for the fiscal period
ended May 31, 1997. For the period July 1, 1996 through May 31, 1997 the Core
Fixed Income Fund returned 6.85% slightly underperforming the Lehman Aggregate
Bond Index return of 6.89% over the same time period. Throughout the fiscal
period, the Fund benefited from a longer duration posture and a barbelled yield
curve posture. Performance was hindered by underweights to the strong-performing
corporate and mortgage sectors throughout much of the period. Quality exposures,
particularly to Baa and split-rated credits, boosted performance, but were
largely offset by relative coupon exposures within the mortgage area.
Yields ended the period slightly lower, despite experiencing somewhat of a
roller-coaster ride along the way. During the second half of 1996, the broad
bond market posted two consecutive quarters of strong performance, as economic
reports showed continued growth but tame inflation, hinting that the Federal
Reserve may not need to raise interest rates. However, the market's fortunes
reversed during the first quarter of 1997, when expectations of a near-term
Federal Reserve rate increase re-emerged following Federal Reserve Chairman Alan
Greenspan's comments, which hinted at the possibility of a "preemptive" interest
rate increase, even in the absence of clear inflationary signals. At its March
meeting, the Federal Reserve raised its targeted federal funds rate by 25 basis
points, its first move since lowering the rate in January 1996. The bond market
resumed its upward movement in April and May, as the lack of emergence of
inflationary data kept the Federal Reserve on hold at its May meeting. The Fund
maintained a longer duration posture, based upon the expectation that inflation
need not arise out of strong economic growth.
The corporate and mortgage sectors posted strong results relative to
Treasury issues, spurred by strong investor demand. Corporate securities
benefited from a growing economy and strong corporate fundamentals. Baa and
split-rated credits posted the strongest returns among credit tiers. Mortgage
securities benefited from declining implied volatilities and historically tight
spread levels within the corporate sector. Premium coupon issues outperformed
current and discount coupon issues throughout the period. The Fund's underweight
to corpo-
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
rate and mortgage issues throughout much of the period hindered relative
results, while significant exposure to Baa-rated credits boosted performance.
The Fund had difficulty maintaining targeted sector exposures due to the strong
cash flow experienced throughout much of the period.
================================================================================
CORE FIXED INCOME FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Cumulative
Inception Inception
to Date to Date
- --------------------------------------------------------------------------------
Core Fixed Income Fund 8.63% 8.28%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE
SEI INSTITUTIONAL INVESTMENTS TRUST CORE FIXED INCOME FUND, VERSUS THE
LEHMAN AGGREGATE BOND INDEX
[LINE GRAPH OMITTED]
SEI INSTITUTIONAL
INVESTMENTS TRUST
CORE FIXED LEHMAN AGGREGATE
INCOME FUND BOND INDEX
------------------- -----------------
6/30/96 10,000 10,000
5/31/97 10,685 10,689
1 FOR THE PERIOD ENDED MAY 31, 1997. PAST PERFORMANCE IS NO INDICATION OF FUTURE
PERFORMANCE. FUND SHARES WERE OFFERED BEGINNING 6/14/96.
INTERNATIONAL EQUITY FUND
OBJECTIVE:The International Equity Fund seeks to provide long-term capital
appreciation through investments in equity securities of non-U.S. issuers.
STRATEGY: The International Equity Fund is diversified across twenty-one
markets and includes commitments to large-cap and small-cap shares. Exposure is
also maintained in growth and value styles of active management. The Fund
employs five sub-advisers, each providing a unique regional or style management
specialty. Allocations to the sub-advisers are carefully managed to ensure
proper geographic and market exposure. Emphasis is placed on active security
selection as the principal source of value-added as opposed to active country
allocation. The Fund does not hedge foreign currency exposure.
ANALYSIS: The International Equity Fund returned 7.56% for the fiscal
period ended May 31, 1997. For the period July 1, 1996 through May 31, 1997 the
Fund returned 6.80% slightly underperforming the Morgan Stanley MSCI EAFE Index
return of 6.95% over the same time period. Relative performance over the period
was chiefly attributable to the underperformance of small-cap securities
relative to large-cap securities. During the first fiscal period of the Fund,
small-cap securities underperformed large-cap shares by 11%, as both foreign and
domestic investors favored the larger, more well-known and liquid names.
At the country level, our underweighting to the Japanese market provided a
big boost to performance. Our average underweight to the Japanese market was
approximately 5%
4
<PAGE>
================================================================================
during the fiscal period. The Japanese market underperformed other developed
international markets by approximately 41% over that same time period.
Continued sluggish economic growth and low domestic sentiment about future
prospects sent Japanese shares lower.
In Europe, the Fund's emphasis on Spanish and other smaller markets
enhanced performance as lower interest rates across Europe boosted equity
prices. The investment portfolio's slight underweight to the United Kingdom was
a marginal drag on performance, as solid earnings announcements and steady
economic growth fueled returns.
Within Asia, the Fund's overweight to Hong Kong added to relative value.
Despite the looming presence of reversion to Chinese-rule on July 1, 1997, Hong
Kong shares powered to record-highs, fueled by property conglomerates and
China-related issues.
================================================================================
INTERNATIONAL EQUITY FUND
================================================================================
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Inception Cumulative Inception
to Date to Date
- --------------------------------------------------------------------------------
International Equity Fund 7.87% 7.56%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE
SEI INSTITUTIONAL INVESTMENTS TRUST INTERNATIONAL EQUITY FUND, VERSUS THE
MORGAN STANLEY MSCI EAFE INDEX
[LINE GRAPH OMITTED]
SEI INSTITUTIONAL
INVESTMENTS TRUST
INTERNATIONAL MORGAN STANLEY
EQUITY FUND MSCI EAFE INDEX
------------------- ----------------
6/30/96 10,000 10,000
5/31/97 10,680 10,695
1 FOR THE PERIOD ENDED MAY 31, 1997. PAST PERFORMANCE IS NO INDICATION OF FUTURE
PERFORMANCE. FUND SHARES WERE OFFERED BEGINNING 6/14/96.
5
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
To the Board of Directors and the Shareholders of
The SEI Institutional Investments Trust:
We have audited the accompanying statements of net assets of the Large Cap Fund,
Small Cap Fund and International Equity Fund, and the statement of assets and
liabilities and schedule of investments of the Core Fixed Income Fund of the SEI
Institutional Investments Trust (the "Trust") as of May 31, 1997, and the
related statements of operations, changes in net assets and the financial
highlights for the period then ended. These financial statements and financial
highlights are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audit in accordance with generally accepted auditing
standards. Those standards require that we plan and perform our audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of May
31, 1997, by correspondence with the custodians and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audit provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned funds constituting the SEI Institutional Investments
Trust as of May 31, 1997 and the results of their operations, changes in their
net assets, and financial highlights for the period then ended, in conformity
with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
July 15, 1997
6
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
LARGE CAP FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 97.8%
AEROSPACE & DEFENSE -- 0.2%
Thiokol 14,500 $ 1,042
--------
1,042
--------
AIR TRANSPORTATION -- 0.7%
AMR* 13,400 1,332
Delta Air Lines 10,600 994
UAL* 12,000 936
--------
3,262
--------
AIRCRAFT -- 1.2%
Allied Signal 30,600 2,349
Boeing 6,500 684
McDonnell Douglas 11,700 753
Northrop 5,800 492
United Technologies 13,200 1,061
--------
5,339
--------
APPAREL/TEXTILES -- 0.4%
Springs Industries, Cl A 7,200 364
Tommy Hilfiger* 8,500 378
U.S. Industries* 21,800 777
VF 4,000 312
--------
1,831
--------
AUTOMOTIVE -- 1.6%
Chrysler 42,600 1,353
Eaton 9,800 782
Ford Motor 13,600 510
General Motors 60,100 3,441
Genuine Parts 26,000 871
Paccar 5,200 235
--------
7,192
--------
BANKS -- 9.3%
Amsouth Bancorp 31,900 1,248
Astoria Financial* 16,500 681
Banc One 69,700 3,015
BankAmerica 42,200 4,932
Bankers Trust New York 8,800 745
Chase Manhattan 27,400 2,589
Citicorp 4,150 475
Comerica 17,600 1,100
First Chicago 43,600 2,583
First Union 28,100 2,413
First Virginia 19,600 1,098
Fleet Financial Group 16,400 1,002
Golden West Financial 9,900 671
H.F. Ahmanson 18,900 770
JP Morgan 17,075 1,836
National City 9,600 494
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
NationsBank 47,025 $ 2,769
Norwest 31,400 1,680
Onbancorp 10,000 471
PNC Bank 48,800 2,043
Republic New York 10,900 1,087
Southtrust 59,700 2,321
Star Banc 28,500 1,176
State Street 23,800 1,062
SunTrust 19,000 1,014
Washington Mutual 28,500 1,585
--------
40,860
--------
BEAUTY PRODUCTS -- 2.8%
Colgate-Palmolive 46,100 2,858
Gillette 67,200 5,972
International Flavors & Fragrances 9,100 404
Procter & Gamble 21,850 3,013
--------
12,247
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.2%
Cox Communications* 41,500 908
--------
908
--------
BUILDING & CONSTRUCTION -- 0.3%
Centex 21,400 853
Lafarge 13,600 337
--------
1,190
--------
CHEMICALS -- 2.2%
Betz Laboratories 8,900 567
BF Goodrich 20,400 877
E.I. DuPont de Nemours 31,390 3,418
Monsanto 57,000 2,508
Praxair 16,100 847
Rohm & Haas 6,600 569
Union Carbide 10,300 482
Witco 13,600 503
--------
9,771
--------
COMMUNICATIONS EQUIPMENT -- 0.4%
ADC Telecommunications* 12,800 438
GTE 11,200 494
Tellabs* 18,400 925
--------
1,857
--------
COMPUTERS & SERVICES -- 4.9%
Cisco Systems* 65,200 4,417
Compaq Computer* 88,800 9,613
Dell Computer* 34,900 3,926
Hewlett Packard 13,800 711
IBM 30,200 2,612
--------
21,279
--------
7
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
LARGE CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
CONTAINERS & PACKAGING -- 0.8%
Crown Cork & Seal 44,000 $ 2,563
Owens-Illinois* 31,000 957
--------
3,520
--------
DRUGS -- 7.9%
Abbott Laboratories 24,900 1,569
American Home Products 8,875 677
Amgen* 32,700 2,187
Bristol-Myers Squibb 65,575 4,812
Centocor* 18,900 666
Elan, ADR* 14,058 573
Johnson & Johnson 25,300 1,515
Eli Lilly 19,600 1,823
Merck 91,300 8,206
Pfizer 65,100 6,697
Pharmacia & Upjohn 13,400 464
Schering Plough 51,300 4,655
SmithKline Beecham 8,000 700
--------
34,544
--------
ELECTRICAL SERVICES -- 2.9%
AES* 9,300 667
Baltimore Gas & Electric 44,400 1,165
Consolidated Edison of New York 24,800 722
DQE 21,000 591
DTE Energy 13,800 367
Duke Power 14,200 639
Edison International 50,400 1,178
Entergy 27,000 712
Illinova 16,000 350
Long Island Lighting 12,100 280
National Service Industries 14,000 614
Ohio Edison 8,800 187
PacifiCorp 29,075 578
Pinnacle West Capital 56,400 1,657
Portland General 17,000 680
Southern 42,900 912
TECO Energy 22,625 563
Texas Utilities 28,600 983
--------
12,845
--------
ENTERTAINMENT -- 1.3%
Bally Total Fitness* 3,200 26
King World Productions* 11,400 429
Liberty Media Group, Cl A* 71,400 1,557
Mirage Resorts* 22,100 528
Walt Disney 39,300 3,218
--------
5,758
--------
ENVIRONMENTAL SERVICES -- 0.6%
Browning-Ferris Industries 13,600 445
Republic Industries* 25,900 623
USA Waste Services* 43,200 1,566
--------
2,634
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FINANCIAL SERVICES -- 5.3%
Alex Brown 11,250 $ 754
Associates First Capital 13,500 638
Bear Stearns 56,535 1,837
Dean Witter Discover 44,100 1,819
FHLMC 23,100 762
FNMA 51,500 2,247
Green Tree Financial 23,000 805
Lehman Brothers Holding 22,500 908
MBNA 124,750 4,226
Merrill Lynch 33,100 3,509
Salomon 7,500 402
Textron 8,000 948
Travelers 78,733 4,320
--------
23,175
--------
FOOD, BEVERAGE & TOBACCO -- 4.2%
Adolph Coors, Cl B 23,900 583
American Brands 18,100 887
Anheuser Busch 23,400 1,003
Campbell Soup 55,000 2,530
Coca-Cola 21,000 1,433
CPC International 7,700 662
General Mills 15,300 968
HJ Heinz 23,700 1,019
IBP 20,000 470
Kellogg 7,000 516
Philip Morris 145,600 6,406
Quaker Oats 27,300 1,126
Ralston Purina Group 8,200 699
--------
18,302
--------
GAS/NATURAL GAS -- 0.8%
Consolidated Natural Gas 16,400 871
National Fuel & Gas 19,200 794
Noram Energy 71,400 1,089
Oneok 19,700 596
--------
3,350
--------
HOTELS & LODGING -- 0.7%
HFS* 23,700 1,277
La Quinta Inns 68,400 1,573
--------
2,850
--------
HOUSEHOLD FURNITURE & FIXTURES -- 2.9%
Clorox 3,175 401
General Electric 86,300 5,210
Illinois Tool Works 34,600 1,717
Maytag 31,400 840
Sherwin-Williams 31,700 951
Solectron* 26,100 1,631
Sunbeam 55,200 1,863
--------
12,613
--------
8
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
INSURANCE -- 5.8%
Aetna 5,700 $ 576
Allstate 12,300 906
Ambac 15,900 1,192
American General 17,100 757
American International Group 25,200 3,411
Cigna 7,800 1,355
Exel 41,000 1,814
Jefferson-Pilot 7,200 458
Lincoln National 6,875 419
Loew's 8,300 807
Marsh & McLennan 11,425 1,505
MGIC Investment 7,700 685
Old Republic International 45,100 1,359
Oxford Health Plans* 34,900 2,460
Providian 21,400 1,281
Safeco 27,600 1,201
St. Paul 16,100 1,153
TIG Holdings 11,600 313
Transamerica 8,700 791
Travelers Property Casualty 22,800 878
UNUM 29,650 2,346
--------
25,667
--------
LEASING & RENTING -- 0.3%
Clayton Homes 34,300 519
Comdisco 26,900 992
--------
1,511
--------
MACHINERY -- 4.2%
Applied Materials* 24,200 1,579
Baker Hughes 12,400 465
Black & Decker 12,000 417
Caterpillar 31,000 3,026
Cummins Engine 31,100 1,983
Deere 37,800 1,933
Dresser Industries 13,600 466
Emerson Electric 33,900 1,831
Global Industries Technologies* 25,200 466
Harnischfeger Industries 20,000 857
NACCO Industries, Cl A 3,200 163
Tenneco 17,225 771
Timken 14,000 961
Tyco Labs 54,950 3,489
--------
18,407
--------
MARINE TRANSPORTATION -- 0.4%
Carnival 26,700 1,015
Wheelabrator Technologies 46,200 595
--------
1,610
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MEASURING DEVICES -- 0.1%
Mallinckrodt 15,200 $ 568
--------
568
--------
MEDICAL PRODUCTS & SERVICES -- 2.7%
Baxter International 52,600 2,775
Boston Scientific* 35,500 1,895
Healthsouth Rehabilitation* 51,400 1,176
Medtronic 59,700 4,418
Novacare* 62,000 783
Universal Health Services, Cl B* 24,300 984
--------
12,031
--------
METALS & MINING -- 1.1%
Aluminum Company of America 34,200 2,518
Minnesota Mining &
Manufacturing 12,300 1,129
Phelps Dodge 3,800 318
Vulcan Materials 7,700 562
--------
4,527
--------
MISCELLANEOUS BUSINESS SERVICES-- 6.0%
3Com* 37,200 1,804
Altera* 36,000 1,908
Cabletron Systems* 20,500 902
Computer Associates International 42,600 2,332
Computer Sciences* 26,900 2,081
CUC International* 24,450 562
Danka Business Systems ADR 11,800 473
First Data 38,600 1,544
Harris 11,700 1,037
Ikon Office Solutions 58,600 1,699
Microsoft* 46,400 5,754
Netscape Communications* 20,600 609
Oracle Systems* 94,200 4,392
Pitney Bowes 10,175 715
Sungard Data Systems* 16,900 718
--------
26,530
--------
MISCELLANEOUS CONSUMER SERVICES -- 0.2%
Service International 30,100 1,061
--------
1,061
--------
PAPER & PAPER PRODUCTS -- 1.3%
Georgia-Pacific 5,225 461
International Paper 10,200 490
James River 29,400 1,033
Kimberly-Clark 43,200 2,165
Mead 6,800 433
Union Camp 9,600 504
Weyerhaeuser 14,750 736
--------
5,822
--------
9
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
LARGE CAP FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PETROLEUM & FUEL PRODUCTS -- 2.7%
Apache 27,800 $ 952
Atlantic Richfield 21,300 3,099
BJ Services* 12,100 669
Global Marine* 37,300 839
Kerr-McGee 12,000 777
Phillips Petroleum 30,300 1,288
Rowan* 15,100 349
Schlumberger 27,800 3,312
Transocean Offshore 5,900 407
--------
11,692
--------
PETROLEUM REFINING -- 5.0%
Amoco 30,975 2,768
Chevron 62,250 4,357
Exxon 96,100 5,694
Mobil 20,125 2,815
Royal Dutch Petroleum 4,500 879
Texaco 14,800 1,615
Tosco 18,200 594
USX-Marathon Group 87,800 2,612
Valero Energy 15,600 558
--------
21,892
--------
PRINTING & PUBLISHING -- 0.9%
McGraw-Hill 32,375 1,768
New York Times, Cl A 30,100 1,386
R.R. Donnelley & Sons 12,225 454
Washington Post, Cl B 900 347
--------
3,955
--------
PROFESSIONAL SERVICES -- 0.2%
Paychex 26,100 959
--------
959
--------
RAILROADS -- 0.6%
Canadian Pacific Limited 20,800 551
CSX 25,200 1,336
Union Pacific 9,525 645
--------
2,532
--------
RETAIL -- 4.8%
Costco* 26,200 884
CVS 23,715 1,135
Dayton-Hudson 31,100 1,497
Dollar General 17,300 582
Estee Lauder 5,000 261
Great Atlantic & Pacific Tea 15,600 431
Home Depot 16,600 1,046
JC Penney 21,850 1,125
Kohls* 20,800 1,121
Kroger* 52,100 1,335
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
May Department Stores 15,775 $ 743
Pacific Enterprises 11,100 364
PepsiCo 6,900 254
Rite Aid 30,700 1,428
Ruddick 17,800 269
Safeway* 61,900 2,785
Sears Roebuck 49,900 2,451
Smith's Food & Drug Center, Cl B 12,600 595
TJX 21,900 1,051
Waban* 26,300 799
Walgreen 16,400 767
--------
20,923
--------
RUBBER & PLASTIC -- 0.7%
Dow Chemical 17,240 1,437
Goodyear Tire & Rubber 4,200 246
Premark International 45,400 1,237
--------
2,920
--------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.1%
AMP 20,075 826
Intel 41,800 6,333
Texas Instruments 17,400 1,564
Thomas & Betts 11,400 580
--------
9,303
--------
SPECIALTY CONSTRUCTION -- 0.9%
Cooper Industries 37,250 1,900
L.M. Ericsson Telephone, ADR* 39,300 1,400
Tecumseh Products, Cl A 9,400 532
--------
3,832
--------
STEEL & STEEL WORKS -- 0.3%
Asarco 14,000 436
Texas Industries 21,800 523
USX-U.S. Steel Group 11,300 364
--------
1,323
--------
TELEPHONES & TELECOMMUNICATION -- 5.5%
Airtouch Communications* 44,700 1,246
Ameritech 64,375 4,217
Bell Atlantic 28,175 1,972
BellSouth 67,000 3,040
Lucent Technologies 76,014 4,836
Motorola 17,400 1,155
NYNEX 11,370 611
SBC Telecommunications 70,125 4,102
Sprint 17,100 836
US West 32,025 1,173
WorldCom* 34,200 1,013
--------
24,201
--------
10
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TRUCKING -- 0.1%
Yellow* 28,300 $ 541
--------
541
--------
WHOLESALE -- 0.3%
Cardinal Health 19,600 1,142
--------
1,142
--------
Total Common Stocks
(Cost $354,332) 429,318
--------
U.S. TREASURY OBLIGATION -- 0.4%
U.S. Treasury Bills (A)
Zero Coupon, 09/18/97 $1,440 1,418
--------
Total U.S. Treasury Obligation
(Cost $1,418) 1,418
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.1%
FHLMC Disc Note
5.470%, 06/12/97 200 200
FNMA Disc Note
5.440%, 06/12/97 290 290
--------
Total U.S. Government Agency Obligations
(Cost $490) 490
--------
COMMERCIAL PAPER -- 0.3%
Ford Motor Credit
5.360%, 06/02/97 121 121
General Electric Capital
5.300%, 06/02/97 1,274 1,274
--------
Total Commercial Paper
(Cost $1,395) 1,395
--------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.9%
Morgan Stanley
5.430%, dated 05/30/97, matures
06/02/97, repurchase price
$1,132,000 (collateralized by
various FHLBobligations, par
value $1,275,000, 6.336%-7.108%,
02/28/06-05/21/07, total market
value: $1,166,000) $1,131 $ 1,131
Merrill Lynch
5.500%, dated 05/30/97, matures
06/02/97, repurchase price
$2,884,000 (collateralized by
various Resolution Trust Funding
obligations, par value $2,724,000,
0.000%-8.875%, 10/15/19- 04/15/21,
total market value:
$2,942,000) 2,883 2,883
---------
Total Repurchase Agreements
(Cost $4,014) 4,014
---------
Total Investments -- 99.5%
(Cost $361,649) 436,635
---------
OTHER ASSETS AND LIABILITIES, NET -- 0.5% 2,183
---------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par value)
based on 34,661,949 outstanding
shares of beneficial interest 358,583
Undistributed net investment income 1,080
Accumulated net realized gain
on investments 3,744
Net unrealized appreciation
on futures contracts 425
Net unrealized appreciation
on investments 74,986
---------
TOTAL NET ASSETS -- 100.0% $438,818
=========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 12.66
=========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLB -- FEDERAL HOME LOAN BANK
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
SMALL CAP FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 95.9%
AEROSPACE & DEFENSE -- 0.5%
AAR 4,000 $ 124
Doncasters PLC* 6,600 147
Life Technologies 3,600 97
Thiokol 2,400 172
Wyman-Gordon* 2,500 57
----------
597
----------
AGRICULTURE -- 0.1%
Sylvan* 17,300 188
----------
188
----------
AIR TRANSPORTATION -- 0.6%
Airborne Freight 3,600 138
Airnet Systems* 8,700 147
Alaska Airgroup* 9,600 239
Mesaba Holdings* 1,000 15
Midwest Express Holdings* 5,850 186
Offshore Logistics* 3,700 67
----------
792
----------
AIRCRAFT -- 0.1%
BE Aerospace* 5,300 129
----------
129
----------
APPAREL/TEXTILES -- 2.0%
Ashworth* 6,900 61
Burlington Industries* 23,500 258
Culp Incoporated 7,600 132
First Years 8,300 158
Guilford Mills 5,400 106
Interface 14,400 335
Kellwood 5,200 136
Kenneth Cole Production* 4,800 76
Nautica Enterprises* 11,300 266
Pillowtex 5,300 113
Quaker Fabric* 11,700 186
Quiksilver* 8,700 238
Tommy Hilfiger* 1,400 62
Tultex* 17,500 112
Westpoint Stevens* 3,300 125
Worldtex* 19,700 140
----------
2,504
----------
AUTOMOTIVE -- 1.5%
Arvin Industries 4,800 133
Borg-Warner Automotive 11,200 546
Federal Mogul 26,000 757
Gentex* 6,500 131
TBC* 40,400 308
----------
1,875
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BANKS -- 8.5%
Affiliated Community Bancorp 4,900 $ 142
Albank Financial 2,700 104
Andover Bancorp Incorporated 3,800 110
Astoria Financial* 18,800 775
Bank Plus* 39,300 427
Bay View Capital 2,200 111
Cenfed Financial 16,940 491
City National 5,800 140
Coast Savings Financial* 24,000 1,023
Commerce Bancorp New Jersey 4,100 140
Commercial Federal 2,950 103
Cullen/Frost Bankers 1,500 59
Dime Community Bancorp* 15,900 276
Downey Financial 34,885 698
Eagle Financial 7,400 205
First Savings Bank of Washington 1,700 35
Firstfed Financial* 2,200 60
Greater New York Savings Bank 37,300 713
Hubco 1,800 47
Imperial Bancorp* 5,830 145
Long Island Bancorp 23,500 820
MAF Bancorp 3,200 134
Magna Group 4,500 145
New York Bancorp 2,250 74
North Fork Bancorporation 5,000 105
Onbancorp 2,600 123
One Valley Bancorp 3,400 138
Peoples Heritage Financial Group 3,600 119
Queens County Bancorp 2,600 107
Reliance Bancorp 18,200 460
Republic Bancorp 8,300 109
Riggs National 33,400 618
Silicon Valley Bancshares* 3,700 146
SIS Bancorp 3,900 111
Sovereign Bancorp 35,720 469
Sterling Bancorp 7,700 144
T R Financial 19,900 403
Trans Financial 5,400 134
UST 6,700 141
Webster Financial 2,800 113
Westamerica Bancorporation 1,000 68
----------
10,485
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.2%
Cox Radio, Cl A* 2,400 54
Emmis Broadcasting* 3,000 115
Pegasus Communications* 1,200 12
Universal Outdoor Holdings* 1,900 62
----------
243
----------
BUILDING & CONSTRUCTION -- 0.5%
Centex 3,400 136
Jacobs Engineering Group* 4,900 132
12
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Lennar 4,700 $ 123
MDC Holdings 12,800 109
Willbros Group* 7,500 78
----------
578
----------
BUILDING & CONSTRUCTION SUPPLIES -- 0.6%
Griffon* 18,700 255
Miller Industries* 23,250 381
Nortek* 5,100 119
----------
755
----------
CHEMICALS -- 1.2%
Dexter 2,700 81
General Chemical Group 12,600 312
H.B. Fuller 2,400 133
Mississippi Chemical 12,700 289
OM Group 8,600 271
Scotts* 6,900 202
Tredegar Industries 3,100 169
----------
1,457
----------
COAL MINING -- 0.3%
Zeigler Coal Holding 17,900 416
----------
416
----------
COMMUNICATIONS EQUIPMENT -- 1.1%
Act Manufacturing* 3,500 99
Coherent Communications Systems* 7,600 165
Digital Microwave* 4,300 133
Dionex* 1,000 53
Larscom Incorporated, Cl A* 8,700 105
P-Com* 1,500 48
Pairgain Technologies* 6,600 138
Sawtek* 4,100 137
Tekelec* 6,850 240
Ultrak* 10,200 130
Videoserver* 4,000 69
----------
1,317
----------
COMPUTERS & SERVICES -- 3.0%
Avid Technology* 9,500 223
Banctec* 5,700 144
Channell Commercial* 7,500 81
Cirrus Logic* 29,900 359
Comverse Technology* 4,200 192
Data General* 5,900 126
Deltek Systems* 6,000 84
Dynatech* 3,100 116
Encad* 7,100 264
HMT Technology* 3,600 48
Innovex 6,800 190
Komag* 2,300 66
Lecroy* 4,200 147
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Lexmark International Group* 5,300 $ 140
Micros Systems* 2,800 111
Microtouch Systems* 5,200 131
Natural Microsystems* 4,500 111
Network Appliance* 4,200 170
Oak Technology* 20,600 193
Quantum* 1,100 43
Trident Microsystems* 5,300 76
Wang Laboratories* 36,100 740
----------
3,755
----------
CONCRETE & MINERAL PRODUCTS -- 0.3%
Dal-Tile International* 9,500 152
Ferro 3,500 131
Florida Rock Industries 3,100 104
----------
387
----------
CONSUMER PRODUCTS -- 0.7%
Central Louisiana Electric 5,000 126
Public Service of New Mexico 23,500 414
Stride Rite 10,000 152
Vans* 8,800 110
Wolverine World Wide 3,750 97
----------
899
----------
CONTAINERS & PACKAGING -- 0.6%
Greif Brothers 2,100 59
Silgan Holdings* 10,500 315
US Can* 18,800 305
----------
679
----------
DRUGS -- 2.6%
Anesta* 3,700 63
ChiRex* 5,000 57
Creative Biomolecules* 11,900 120
Dura Pharmaceuticals* 15,200 604
Fuisz Technologies* 5,100 43
Guilford Pharmaceuticals* 8,500 217
IDEC Pharmaceuticals Corp* 1,600 36
Interneuron Pharmeceutical* 2,000 32
Jones Medical Industries 7,900 283
Liposome* 1,500 38
Martek Biosciences* 3,700 63
Medicis Pharmaceutical, Cl A* 10,000 342
NBTY* 6,400 150
Neurocrine Biosciences* 3,700 36
Onyx Pharmaceuticals * 4,300 46
Parexel International* 13,200 434
Pathogenesis* 5,100 141
Rexall Sundown* 16,400 439
Sangstat Medical* 1,900 47
----------
3,191
----------
13
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
ELECTRICAL SERVICES -- 0.8%
Calpine* 23,100 $ 474
Commonwealth Energy System 4,800 104
Esco Electronics Corp* 10,700 111
Sierra Pacific Resources 4,600 136
Sigcorp 4,300 109
----------
934
----------
ELECTRICAL TECHNOLOGY -- 0.4%
Anadigics* 3,400 113
Belden 6,200 226
Marshall Industries* 5,200 189
----------
528
----------
ENTERTAINMENT -- 1.6%
Carmike Cinemas, Cl A* 5,500 191
GC* 13,300 565
Harveys Casinos Resorts 12,200 206
MGM Grand* 1,700 64
Regal Cinemas* 16,175 532
Vistana* 8,200 97
WMS Industries* 16,100 334
----------
1,989
----------
ENVIRONMENTAL SERVICES -- 0.2%
Newpark Resources* 2,800 147
United Waste Systems* 2,400 92
----------
239
----------
FINANCIAL SERVICES -- 6.4%
Aames Financial 3,850 50
American General Hospitality 12,000 310
Americredit* 10,600 199
Apartment Investment &
Management 15,100 421
Arden Reality Group* 11,500 298
Burnham Pacific Properties 14,100 187
Central Financial Acceptance* 3,000 33
Credit Acceptance* 15,800 223
Equity Inns, REIT 47,100 618
First Alliance* 5,350 132
Hamilton Bank Corp* 1,300 28
Healthcare Realty Trust 7,400 192
Imperial Credit Industries* 22,300 421
Interra Financial 2,700 117
JSB Financial 2,500 110
Kilroy Realty 18,300 439
Liberty Property Trust 13,500 324
Long Beach Financial* 29,900 239
McDonald 4,600 177
Metris* 5,000 141
Morningstar Group* 34,900 916
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
National Surgery Centers* 4,300 $ 166
North American Mortgage 12,400 250
NVR* 5,000 77
Pacific Gulf Properties 7,600 161
Piper Jaffray 5,700 112
Prentiss Properties Trust 19,000 446
Reckson Associates 8,400 189
Redwood Trust 2,400 137
RFS Hotel Investors 16,800 313
Sirrom Capital 2,900 113
The Money Store 2,500 64
Walden Residential 11,500 273
----------
7,876
----------
FOOD, BEVERAGE & TOBACCO -- 0.9%
Adolph Coors, Cl B 5,300 129
Chiquita Brands International 22,200 341
Dimon 6,100 141
Schweitzer-Manduit International* 6,300 217
Standard Commercial 6,363 107
Universal 4,000 145
Worthington Foods 4,733 98
----------
1,178
----------
GAS/NATURAL GAS -- 0.6%
Connecticut Energy 4,800 108
Energen 3,300 109
Northwest Natural Gas 4,300 105
NUI 11,700 256
Unit* 17,900 192
----------
770
----------
GLASS PRODUCTS -- 0.6%
Excel Industries 7,500 136
Hirsch International* 9,250 210
Libbey 13,100 437
----------
783
----------
HOTELS & LODGING -- 0.4%
Candlewood Hotels* 5,300 45
Doubletree* 4,100 183
Fours Seasons Hotel 2,100 55
Signature Resorts* 8,100 238
----------
521
----------
HOUSEHOLD FURNITURE & FIXTURES -- 0.8%
Bush Industries 5,800 130
Ethan Allen Interiors 7,100 371
Furniture Brands International* 18,400 287
O'Sullivan Industries Holdings* 16,800 262
----------
1,050
----------
14
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 1.2%
Advanced Lighting Technologies* 8,950 $ 234
American Safety Razor* 39,100 582
Helen of Troy Ltd* 5,600 150
Holophane* 8,500 181
National Presto Industries 8,900 336
----------
1,483
----------
INSURANCE -- 5.9%
Allmerica Financial* 4,800 175
American Heritage Life Insurance 4,000 116
Amerin* 5,800 136
Amerus Life Holdings, Cl A* 6,400 166
Capmac Holdings 3,900 109
Capsure Holdings* 9,000 112
Delphi Financial Group, Cl A* 8,404 319
E.W. Blanch Holdings 11,900 295
Enhance Financial Services Group 5,700 238
Everest Reinsurance Holdings 4,600 156
Executive Risk 9,200 480
First American Financial 3,100 110
FPIC Insurance Group* 9,300 188
Fremont General 4,600 162
Gryphon Holdings* 16,300 242
Harleysville Group 5,900 215
Healthcare Recoveries Inc* 8,600 131
Highlands Insurance Group* 11,400 228
Horace Mann Educators 17,700 854
IPC Holdings 14,700 375
Life Re 3,300 142
Life USA Holdings* 9,100 110
Orion Capital 2,000 134
Penn Treaty American* 4,000 109
Penncorp Financial Group 5,100 174
PMI Group 2,400 132
Presidential Life 12,200 175
RLI 3,100 99
State Auto Financial 14,100 274
Terra Nova (Bermuda) Holdings-A* 8,000 160
Total Renal Care Holdings* 7,200 259
Vesta Insurance Group 3,100 142
WR Berkley 4,300 223
Western National 12,500 327
----------
7,267
----------
LEASING & RENTING -- 0.2%
Rental Service* 5,800 126
Renters' Choice* 7,250 140
----------
266
----------
LEISURE PRODUCTS -- 0.2%
DSI Toys* 12,000 97
Velcro Industries 2,600 195
----------
292
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
LUMBER & WOOD PRODUCTS -- 0.2%
TJ International 12,300 $ 288
----------
288
----------
MACHINERY -- 2.7%
Allied Products 1,500 49
Amcast Industrial 4,300 105
Aptar Group 3,100 138
Asyst Technologies* 4,100 165
BWIP Holding, Cl A 9,900 189
Camco International 1,500 77
Durco International 2,500 71
Edelbrock* 4,900 104
Fisher Scientific International 6,900 250
Gardner Denver Machinery* 11,000 297
Gleason 2,600 97
Idex 1,500 43
Kuhlman 5,800 160
Kulicke & Soffa Industries* 1,900 64
Lindsay Manufacturing 2,500 90
Magnetek* 9,200 161
Manitowoc 2,800 125
Moog* 13,200 332
Omniquip International* 16,600 334
Semitool* 4,100 51
UCAR International* 7,400 355
Varco International* 2,300 63
Zoltek* 1,300 41
----------
3,361
----------
MANUFACTURING -- 0.9%
Aviall* 2,600 38
Champion Enterprises* 7,000 129
Donaldson 1,500 55
NCH 2,000 130
Watts Industries, Cl A 20,300 505
Zebra Technologies, Cl A* 7,100 218
----------
1,075
----------
MARINE TRANSPORTATION -- 0.5%
Avondale Industries* 6,400 122
Oak Industries* 10,900 270
Royal Caribbean Cruises 6,000 209
----------
601
----------
MEASURING DEVICES -- 0.5%
Chart Industries 6,400 144
Fluke 6,400 319
Molecular Dynamics* 10,000 145
----------
608
----------
15
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MEDICAL PRODUCTS & SERVICES -- 5.6%
Algos Pharmaceuticals* 6,500 $ 114
American Homepatient* 2,500 49
Closure Medical* 2,200 46
Del Global Technologies* 3,800 34
Digene* 5,000 50
Emcare Holdings* 1,000 30
ESC Medical Systems* 6,100 165
Faulding* 15,900 175
Genesis Health Ventures* 4,000 132
Gilead Sciences* 1,400 38
Haemonetics* 10,900 187
HemaSure* 4,200 12
Hologic* 2,000 48
Horizon Mental Health
Management* 3,300 59
II-VI* 3,400 66
Interim Services* 3,500 137
Invacare 3,000 65
Lincare Holdings* 16,200 632
Lunar* 800 16
Maxicare Health Plans* 8,500 204
Medquist* 8,300 214
Mentor Corporation/Minn 5,300 140
Molecular Devices* 5,300 77
Multicare* 16,100 400
NCS Healthcare* 7,300 204
Neoprobe* 6,500 98
Novacare* 10,100 128
Occusystems* 7,000 184
OEC Medical Systems* 10,100 169
Orthodontic Centers of America* 21,200 355
Pediatrix Medical Group* 5,400 215
Pharmaceutical Product
Development* 7,100 136
PHP Healthcare* 5,300 80
Phycor* 9,400 269
Regency Health Services* 9,800 120
Renal Treatment Centers* 3,500 101
Respironics* 6,900 140
Rotech Medical* 7,100 120
Sabratek Corp* 3,200 85
Safeskin* 4,700 118
Sofamor/Danek Group* 3,200 147
Spine-Tech* 900 31
Sullivan Dental Products 11,200 176
Sun Healthcare Group* 14,700 246
Techne* 8,600 238
Tecnol Medical Products* 5,000 96
Trigon Healthcare* 9,500 185
Universal Health Services, Cl B* 1,400 57
Urohealth Systems, Cl A* 10,700 91
Urologix* 3,600 60
Ventana Medical Systems* 1,500 20
----------
6,959
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
METALS & MINING -- 0.4%
Amcol International 7,400 $ 136
Cleveland Cliffs 2,400 101
Wolverine Tube* 7,100 209
----------
446
----------
MISCELLANEOUS BUSINESS SERVICES -- 7.1%
Abacus Direct* 2,900 75
Acxiom* 6,000 102
Allin Communications* 4,200 13
American Business Information* 7,300 150
Analysts International 5,800 210
Arbor Software* 4,600 137
Aspen Technology* 11,100 425
Auspex Systems* 2,900 30
BDM International* 7,400 192
Black Box* 4,500 159
Caci International* 5,000 92
Cambridge Technology Partners* 11,300 345
Concord EFS* 17,300 389
Credit Management Solutions* 4,100 43
Dataworks* 5,400 103
Day Runner* 6,400 177
Dbt Online* 1,800 82
Discreet Logic* 4,900 80
Envoy* 4,900 148
Fair, Isaac 2,400 95
HNC Software* 3,600 119
Hooper Holmes 2,700 59
Hyperion Software* 2,900 52
Ikos Systems* 6,300 156
Infinity Financial* 5,600 76
Inso* 4,200 118
JDA Software Group* 12,000 333
Legato Systems* 2,800 56
Logicon 2,600 131
Manugistics* 3,200 208
McAfee Associates* 3,000 197
Medic Computer Systems* 2,700 47
Meta Group* 2,700 61
National Techteam* 3,600 90
NCO Group* 3,000 99
Network General* 6,000 110
Nova* 2,800 51
Orcad* 5,900 53
Overland Data* 3,200 21
Peerless Systems* 12,300 191
Pegasystems* 5,400 153
Planning Sciences
International, ADR* 4,800 24
PMT Services* 9,200 147
PRI Automation* 3,400 130
Qualix Group* 7,800 65
Registry* 4,400 212
Scopus Technology* 3,250 98
16
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Security Dynamics Technology* 1,500 $ 55
Siebel Systems* 7,400 194
Spectrum Holobyte* 14,600 93
SPSS* 1,100 35
Stratus Computer* 3,500 160
Summit Design* 9,700 75
Sunquest* 5,600 71
Superior Services* 3,000 65
Synopsys* 1,600 60
Systems and Computers
Technology* 6,900 166
Systemsoft Corp* 12,200 146
Veritas Software* 5,450 271
Viasoft* 4,600 244
Viewlogic Systems* 9,700 146
Visio* 6,550 377
Wackenhut Corrections* 8,800 173
Wall Data* 10,100 253
Wind River Systems* 3,600 122
----------
8,810
----------
MISCELLANEOUS CONSUMER SERVICES -- 0.3%
Accustaff* 2,142 51
Corestaff* 2,000 48
G&K Services 3,900 128
Robert Half International* 400 17
Romac International* 900 26
Steiner Leisure* 2,500 70
----------
340
----------
MISCELLANEOUS MANUFACTURING -- 1.2%
Cable Design Technologies* 1,200 33
Coherent* 2,500 109
Culligan Water Technologies* 3,500 156
Encore Wire* 8,000 204
General Cable* 12,600 269
Paragon Trade Brands* 6,300 102
RMI Titanium* 7,800 181
Scientific Games Holdings* 14,100 345
Superior Telecom* 4,500 102
----------
1,501
----------
OFFICE FURNITURE & FIXTURES -- 0.6%
Kimball International, Cl B 16,300 644
Knoll* 4,100 77
----------
721
----------
PAPER & PAPER PRODUCTS -- 1.1%
American Pad & Paper* 12,500 231
Buckeye Cellulose* 9,900 312
Gaylord Container* 16,300 133
Pope and Talbot 26,400 436
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Republic Group 3,300 $ 54
Shorewood Packaging* 11,500 233
----------
1,399
----------
PETROLEUM & FUEL PRODUCTS -- 3.4%
Barrett Resources* 1,300 44
Belco Oil & Gas* 6,900 162
Bellwether Exploration* 14,100 141
Berry Petroleum 17,500 263
Cabot Oil & Gas, Cl A 2,200 41
Cliffs Drilling* 3,000 210
Comstock Resources* 4,000 41
Cross Timbers Oil 6,600 128
Edge Petroleum* 4,000 57
EVI* 2,600 98
Falcon Drilling* 1,200 55
Giant Industries 10,300 149
Key Energy Group* 10,200 168
Marine Drilling* 8,200 165
Nabors Industries* 2,200 49
Noble Drilling* 3,100 67
Nuevo Energy* 3,200 140
Oceaneering International* 15,700 267
Patterson Energy* 7,000 252
Pool Energy Services* 12,100 201
Pride Petroleum Service* 16,420 365
Seacor Holdings* 2,900 150
Seitel* 3,600 134
Snyder Oil Common 5,800 106
St Mary Land & Exploration 5,900 187
Stone Energy* 4,000 112
Titan Exploration* 5,900 54
Veritas Dgc* 12,300 255
Wiser Oil 6,200 97
----------
4,158
----------
PRINTING & PUBLISHING -- 1.9%
Bowne 21,000 627
Electronics for Imaging* 2,600 104
Gibson Greetings* 5,100 111
Journal Register* 8,800 133
Lone Star Industries 6,000 239
Media General 7,700 235
Medusa 7,300 282
Merrill 4,900 160
New England Business Service 2,600 76
Southdown 7,100 287
Standard Register 3,800 133
----------
2,387
----------
PROFESSIONAL SERVICES -- 1.6%
American Oncology Resources* 4,300 61
17
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Carson Pirie* 22,800 $ 735
CDI* 2,000 81
Cornell Corrections* 1,700 20
Devry* 5,000 138
Ecsoft Group Plc* 5,600 73
Educational Management* 2,400 57
Equity International* 16,500 396
FYI* 3,900 86
Intelliquest Information Group* 4,700 92
Sylvan Learning Systems* 4,700 169
Tetra Tech* 2,000 40
----------
1,948
----------
RAILROADS -- 0.4%
Canadian National Railway 7,700 321
Railtex* 3,800 70
Rural/Metro* 2,500 80
----------
471
----------
RETAIL -- 10.3%
American Medserve* 4,900 71
Arbor Drugs 6,300 124
Authentic Fitness 13,000 190
BMC West* 19,200 254
Burlington Coat Factory
Warehouse* 31,800 568
Cash America International 26,000 254
CDW Computer Centers* 4,450 218
CKE Restaurants 4,650 111
Delchamps 7,300 199
Dollar Tree Stores* 3,700 178
Dress Barn* 16,800 290
Duck-Wall Alco Stores* 6,400 80
Eagle Hardware & Garden* 2,700 65
Filene's Basement* 18,400 115
Fine Host* 3,300 101
Finish Line* 4,800 59
Finlay Enterprises* 1,000 17
Foodmaker* 18,400 258
Friedman's, Cl A* 8,500 159
Gadzooks* 5,300 176
Goodys Family Clothing* 7,500 173
Guess* 10,900 134
Gymboree* 1,000 25
Hollywood Entertainment* 3,700 74
Ingles Markets, Cl A 22,300 322
Just for Feet* 8,325 163
Landry's Seafood Restaurants* 13,900 257
Linens N Things* 600 16
Little Switzerland* 25,000 144
Longs Drug Stores 22,600 537
Men's Wearhouse* 8,100 270
Meyer (Fred)* 3,000 138
Michaels Stores* 9,600 190
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Micro Warehouse* 7,700 $ 133
Mueller Industries* 100 4
Nichols Research* 3,650 71
NPC International Inc* 15,500 184
O'Reilly Automotive* 4,800 174
Papa John's International* 5,300 169
Paul Harris Stores* 3,900 68
Petco Animal Supplies* 10,350 277
Pier 1 Imports 9,800 219
Proffitts* 1,700 68
Quality Food Centers* 3,600 137
Ross Stores* 6,600 186
Ruddick 19,800 299
Ryan's Family Steak Houses* 12,500 114
Shopko Stores 73,000 1,725
Showbiz Pizza Time* 8,800 198
St. John Knits 3,000 128
Stage Stores* 5,200 105
Travis Boats and Motors* 6,500 89
US Office Products* 2,400 59
Waban* 40,000 1,215
West Marine* 12,200 320
Williams Sonoma* 1,800 66
Zale* 39,400 793
----------
12,731
----------
RUBBER & PLASTIC -- 0.3%
Carlisle Companies 4,300 131
Furon 7,700 196
----------
327
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 4.1%
Alliance Semiconductor* 7,000 59
AVX 12,300 335
Burr-Brown* 13,650 428
CFI Proservices* 7,100 122
Computer Products* 5,500 122
Credence Systems* 400 12
Cymer* 1,700 90
Cypress Semiconductor* 6,100 87
Elantec Semiconductor* 9,600 37
Electroglas* 700 18
Flextronics International* 1,800 43
FSI International* 3,900 55
Hadco* 1,200 72
Hutchinson Technology* 2,600 72
Integrated Device Technology* 5,400 76
Intevac* 4,600 70
Invision Technologies* 4,000 58
Level One Communications* 5,000 189
Micro Linear* 19,500 390
Microchip Technology* 1,550 55
MRV Communications* 2,200 54
18
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Novellus Systems* 700 $ 57
Photronics Labs* 3,300 147
Read-Rite* 3,000 63
Remec* 4,600 139
Rf Monolithics* 2,000 29
Sanmina* 9,600 556
Sierra Semiconductor* 9,300 224
Technitrol 4,800 120
Tower Semiconductor* 28,100 365
Triquint Semiconductor* 5,400 214
Unitrode* 4,200 208
Vitesse Semiconductor* 4,100 147
VLSI Technology* 3,200 78
Zytec* 13,200 234
----------
5,025
----------
SPECIALTY CONSTRUCTION -- 0.2%
Apogee Enterprises 7,800 144
Oakwood Homes 5,000 119
----------
263
----------
SPECIALTY MACHINERY -- 0.2%
Fedders 22,300 137
Littelfuse* 500 26
Schnitzer Steel Industries, Cl A 4,700 118
----------
281
----------
STEEL & STEEL WORKS -- 0.8%
Inland Steel Industries 5,000 123
Maverick Tube* 11,500 348
National Steel, Cl B* 8,600 116
Oregon Metallurgical* 7,500 195
Precision Castparts 2,000 125
Reliance Steel & Aluminum 3,000 109
----------
1,016
----------
TELEPHONES & TELECOMMUNICATION -- 1.0%
ACC* 1,600 41
Boston Technology* 4,500 129
Brightpoint* 11,525 357
Midcom Communications* 5,700 42
Orion Network Systems* 6,000 65
Pacific Gateway Exchange* 4,350 115
Periophonics* 6,000 112
Telco Communications Group* 15,300 361
Teletech Holdings* 2,200 51
----------
1,273
----------
TESTING LABORATORIES -- 0.5%
Curative Technologies* 3,400 95
FemRx* 8,400 17
International Telecommunications
Data Systems* 4,900 82
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Plexus* 5,200 $ 196
Quintiles Transnational* 3,200 200
----------
590
----------
TRANSPORTATION SERVICES -- 0.1%
GATX 2,300 131
----------
131
----------
TRUCKING -- 1.1%
Air Express International 2,000 73
Expeditors International of
Washington 7,900 228
Heartland Express* 2,000 44
Iron Mountain* 5,800 162
MS Carriers* 7,400 155
Rollins Truck Leasing 8,000 110
Swift Transportation* 4,500 145
USFreightways 10,000 243
Werner Enterprises 2,000 39
Yellow* 6,500 124
----------
1,323
----------
WATER UTILITIES -- 0.1%
California Water Service 2,400 110
----------
110
----------
WHOLESALE -- 4.2%
Amerisource Health* 4,000 171
Barnes Group 4,100 110
Barnett* 4,800 107
Cellstar* 7,000 251
Central Garden and Pet* 5,500 133
CHS Electronics* 12,000 299
Egghead* 27,800 130
Ha Lo Industries* 8,450 198
Harmonic Lightwaves* 6,200 102
Henry Schein* 8,300 277
Insight Enterprises* 4,100 117
Integrated Circuit Systems* 11,300 201
JP Foodservice* 5,600 162
Marquette Medical Systems,
Cl A* 9,600 221
Meade Instruments* 5,900 41
Medical Resources* 9,600 133
Michael Foods 12,900 183
North Face* 4,300 78
Omnicare 15,600 447
Patterson Dental* 4,300 148
Performance Food Group* 15,200 315
Physician Sales & Services* 2,600 38
Pioneer Standard Electronics 31,300 387
Playboy Enterprises* 6,400 75
Rexel* 7,800 142
Richfood Holdings 6,100 141
19
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
SMALL CAP FUND--CONCLUDED
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Serologicals* 8,400 $ 161
Universal Forest Products 33,600 466
----------
5,234
----------
Total Common Stocks
(Cost $111,539) 118,800
----------
U.S. TREASURY OBLIGATION -- 0.5%
U.S. Treasury Bills (A)
Zero Coupon, 09/18/97 $ 640 630
----------
Total U.S. Treasury Obligation
(Cost $630) 630
----------
REPURCHASE AGREEMENTS -- 7.1%
Morgan Stanley
5.500%, dated 05/30/97, matures
06/02/97, repurchase price
$6,610,000 (collateralized by
various FHLB obligations, par
value $7,145,000, 6.336%-7.108%,
02/28/06-05/21/97, total market
value: $6,756,000) 6,607 6,607
Merrill Lynch
5.430%, dated 05/30/97, matures
06/02/97, repurchase price
$2,262,000 (collateralized by
FHLMC obligations, par value
$2,340,000, 6.336%-7.108%,
03/25/25, total market
value: $2,310,000) 2,261 2,261
----------
Total Repurchase Agreements
(Cost $8,868) 8,868
----------
Total Investments -- 103.5%
(Cost $121,037) 128,298
----------
OTHER ASSETS AND LIABILITIES, NET -- (3.5)% (4,357)
----------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par value)
based on 11,410,362 outstanding
shares of beneficial interest 112,082
Undistributed net investment income 103
Accumulated net realized gain
on investments 3,933
Net unrealized appreciation
on futures contracts 562
Net unrealized appreciation
on investments 7,261
----------
TOTAL NET ASSETS -- 100.0% $123,941
==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 10.86
==========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLB -- FEDERAL HOME LOAN BANK
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
REIT --REAL ESTATE INVESTMENT TRUST
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 30.1%
U.S. Treasury Bonds
9.250%, 02/15/16 $22,795 $ 28,162
6.000%, 02/15/26 9,540 8,391
6.500%, 11/15/26 11,105 10,474
6.625%, 02/15/27 15,410 14,847
U.S. Treasury Notes
5.625%, 08/31/97 275 275
5.375%, 05/31/98 1,800 1,791
5.125%, 11/30/98 150 148
5.000%, 01/31/99 450 442
6.375%, 04/30/99 3,140 3,149
5.875%, 11/15/99 1,760 1,743
6.375%, 01/15/00 525 526
6.875%, 03/31/00 1,100 1,114
5.750%, 10/31/00 685 671
6.625%, 07/31/01 2,260 2,270
10.750%, 02/15/03 1,750 2,095
5.875%, 02/15/04 675 649
7.000%, 07/15/06 18,780 19,171
3.375%, 01/15/07 8,136 7,997
U.S. Treasury STRIPS
Zero Coupon, 08/15/20 6,000 1,176
----------
Total U.S. Treasury Obligations
(Cost $104,587) 105,091
----------
CORPORATE OBLIGATIONS -- 18.7%
American General
9.625%, 07/15/00 440 475
Arizona Public Service
Pvngs II Funding
8.000%, 12/30/15 1,000 1,015
Associates of North America
9.125%, 04/01/00 1,300 1,380
BankAmerica
9.200%, 05/15/03 150 165
Bear Stearns
6.500%, 06/15/00 1,450 1,439
Becton Dickinson
9.250%, 06/01/16 75 75
Boston Edison First Mortgage
9.375%, 08/15/21 550 593
Boston Edison
9.875%, 06/01/20 800 868
Castle Terrace
8.000%, 05/01/37 501 506
Chase Manhattan
8.000%, 04/15/02 1,280 1,282
Chrysler Financial
13.250%, 10/15/99 150 172
Clc Excelsior II Apartments
8.040%, 02/01/39 500 503
Commonwealth Edison
9.750%, 02/15/20 1,000 1,077
9.875%, 06/15/20 150 166
20
<PAGE>
===============================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Connecticut Light & Power
7.875%, 06/01/01 $1,100 $ 1,112
Continental Cablevision
8.875%, 09/15/05 275 299
9.500%, 08/01/13 850 956
Countrywide Capital I
8.000%, 12/15/26 600 590
Dayton Hudson
10.000%, 01/01/11 350 416
8.600%, 01/15/12 175 189
Deseret Generator & Transportation
Cooperative
9.375%, 01/02/11 175 182
Dresdner Bank
7.250%, 09/15/15 300 290
Equitable
9.000%, 12/15/04 700 769
Federal Express
9.650%, 06/15/12 425 491
9.625%, 10/15/19 150 161
Federal Paperboard
10.000%, 04/15/11 750 909
8.875%, 07/01/12 300 337
First Chicago
9.875%, 08/15/00 450 489
11.250%, 02/20/01 2,000 2,277
First National Bank of Omaha
7.320%, 12/01/10 250 238
First USA Bank of Wilmington
Delaware
6.375%, 10/23/00 2,500 2,459
Ford Capital
10.125%, 11/15/00 1,525 1,679
Ford Motor Credit
8.375%, 01/15/00 150 156
6.850%, 08/15/00 575 577
Ford Motor
7.700%, 05/15/00 1,300 1,276
General Motors Acceptance STRIPS
0.000%, 06/15/15 2,600 669
General Motors
9.625%, 12/01/00 1,271 1,381
Georgia Pacific
9.500%, 12/01/11 500 578
9.750%, 01/15/18 500 522
9.875%, 11/01/21 300 335
Goldman Sachs
6.250%, 02/01/03 800 767
GTE
10.250%, 11/01/20 300 337
Hillsboro Bay Club
7.950%, 03/01/37 102 102
Household Finance
9.625%, 07/15/00 625 674
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Hydro Quebec, Ser FU
11.750%, 02/01/12 $ 820 $ 1,107
Hydro Quebec, Ser GW
9.750%, 01/15/18 1,300 1,440
Hydro Quebec
8.050%, 07/07/24 450 481
J.C. Penney
9.750%, 06/15/21 1,200 1,318
J.P. Morgan Capital
7.950%, 02/01/27 200 199
K N Energy
9.625%, 08/01/21 1,400 1,582
Korea Electric Power Korella
7.750%, 04/01/13 300 297
Lehman Brothers Holdings, MTN
9.375%, 01/15/99 600 626
8.875%, 02/15/00 250 263
Lehman Brothers
9.875%, 10/15/00 1,625 1,765
6.125%, 02/01/01 1,500 1,459
Loew's
7.625%, 06/01/23 450 426
7.000%, 10/15/23 1,350 1,193
Long Island Lighting
9.625%, 07/01/24 350 366
May Department Stores
9.875%, 06/15/21 250 283
Midland Bank
6.950%, 03/15/11 1,000 953
Mississippi Power & Light
8.800%, 04/01/05 1,500 1,517
Mobile Energy Services
8.665%, 01/01/17 288 295
NCNB Bank
10.200%, 07/15/15 1,200 1,485
News America Holdings
10.125%, 10/15/12 600 674
Norsk Hydro A/S
9.000%, 04/15/12 275 315
Paine Webber Group
6.930%, 08/15/03 325 319
Paine Webber
6.730%, 01/20/04 150 145
Province of New Foundland
10.000%, 12/01/20 1,200 1,484
Public Services Electric & Gas
7.625%, 02/01/00 200 204
RJR Nabisco
8.750%, 08/15/05 350 350
8.750%, 07/15/07 425 423
Rohm & Haas
9.500%, 04/01/21 600 659
21
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
CORE FIXED INCOME FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Salomon Brothers
7.750%, 05/15/00 $ 225 $ 230
6.750%, 02/15/03 550 535
7.000%, 06/15/03 500 492
SBA, Ser 1996-I
7.700%, 09/01/16 393 403
SBA, Ser 1996-J
7.200%, 10/01/16 197 197
Security Pacific
11.000%, 03/01/01 1,550 1,757
Southern California Edison
8.875%, 05/01/23 125 130
Swiss Bank
7.375%, 07/15/15 200 197
7.000%, 10/15/15 300 284
System Energy Resources
7.430%, 01/15/11 388 369
TCI Communications
8.750%, 08/01/15 1,700 1,704
Tele-Communications
9.250%, 01/15/23 150 150
Tenneco
7.450%, 12/15/25 125 117
Union Camp
10.000%, 05/01/19 550 607
US West Capital Funding
7.900%, 02/01/27 1,000 991
Weyerhaeuser
7.250%, 07/01/13 325 319
Worldcom
7.750%, 04/01/07 900 909
Zurich Capital Trust (B)
8.376%, 06/01/37 3,300 3,345
----------
Total Corporate Obligations
(Cost $65,274) 65,297
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.0%
Federal Home Loan Mortgage
Disc Note
5.650%, 06/12/97 5,000 4,992
Resolution Funding STRIPS
Zero Coupon, 01/15/21 1,000 183
Resolution Trust Funding STRIPS
Zero Coupon, 10/15/20 175 33
Resolution Trust Funding
8.625%, 01/15/30 250 299
SLMA (A)
6.170%, 07/25/11 1,600 1,603
----------
Total U.S. Government Agency Obligations
(Cost $7,099) 7,110
----------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 21.2%
FHLMC REMIC Ser 1, Cl Z
9.300%, 04/15/19 $ 739 $ 774
FHLMC REMIC Ser 1907 Cl LP
Zero Coupon, 06/15/20 250 146
FHLMC ARM (A)
6.075%, 10/01/20 907 894
FHLMC
9.500%, 09/01/05 1,529 1,604
9.000%, 12/01/05 39 41
7.000%, 05/01/07-09/01/25 16,355 16,087
7.500%, 06/01/10-06/12/27 15,476 15,451
6.500%, 01/01/11-04/01/26 1,419 1,353
9.750%, 10/01/14 671 724
6.000%, 10/01/23 2,168 1,999
8.000%, 08/01/26 3,727 3,799
FNMA 30 Year TBA
7.500%, 06/01/27 3,500 3,486
FNMA REMIC Ser 1990-106 Cl-J
8.500%, 09/25/20 554 571
FNMA REMIC Ser 1991-156 Cl A
7.500%, 10/25/21 2,040 2,033
FNMA REMIC Ser 1996-56 Cl E
Zero Coupon, 04/25/23 67 37
FNMA STRIPS
9.000%, 09/25/25 348 369
FNMA (C)
7.000%, 03/01/26 792 771
FNMA
8.500%, 09/01/13 24 25
Zero Coupon, 07/25/23 88 62
Zero Coupon, 08/25/23 204 185
7.000%, 11/01/23-05/01/26 2,828 2,751
6.500%, 05/01/26-01/01/27 1,005 953
8.000%, 12/01/26 2,443 2,486
GNMA (A)
7.125%, 04/20/25 1,983 2,041
GNMA 30 Year TBA
8.000%, 06/19/27 2,000 2,034
GNMA
7.500%, 09/15/06-02/15/23 3,605 3,590
8.000%, 01/15/07-02/15/27 5,702 5,809
6.500%, 02/15/11-12/15/23 2,600 2,465
7.125%, 07/20/22 869 892
7.000%, 04/15/23-11/15/23 410 399
8.500%, 06/15/25-02/15/26 335 348
----------
Total U.S. Government Mortgage-Backed
Obligations
(Cost $73,797) 74,179
----------
22
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 8.6%
American Airlines
9.780%, 11/26/11 $ 600 $ 686
AT&T Universal Credit Card
Master Trust 1995-2 A
5.950%, 10/17/02 945 928
Banc One Credit Card Master
Trust 1995-B A
6.300%, 09/15/00 4,100 4,072
Chase Manhattan Auto Grantor
Trust, Ser 1996-B, Cl A
6.610%, 09/15/02 233 235
Chemical Master Credit Card
Trust I 1995-2 A
6.230%, 06/15/03 3,050 2,997
Chevy Auto Receivables Trust,
Ser 1996-2, Cl A
5.900%, 07/15/03 347 345
Citibank Credit Card Master
Trust I Ser 1996-1, Cl A
Zero Coupon, 02/07/03 6,400 4,997
Discover Card Acceptance
1995-2 A
6.550%, 08/15/00 725 722
First Chicago Master Trust II
1994-L A
7.150%, 04/15/01 1,575 1,595
Ford Credit Grantor Trust 93-B
4.300%, 07/15/98 950 949
IBM Credit Receivables Lease
Asset Master Trust 93-1 A
4.550%, 11/15/00 548 542
Keycorp Auto Grantor Trust
1995-A A
5.800%, 07/15/00 235 235
MBNA Master Credit Card Trust
5.938%, 01/16/07 2,800 2,817
NationsBank 1995-1 A
6.450%, 04/15/03 1,025 1,023
Premier Auto Trust 1993-2 A3
4.900%, 10/15/98 270 271
Premier Auto Trust 1993-5 A2
4.220%, 03/02/99 1,507 1,503
Premier Auto Trust 1993-5 B
4.450%, 03/02/99 102 102
Premier Auto Trust 1995-3 A3
5.950%, 12/06/98 256 256
Private Label Credit Card
Master Trust II 1994-2 A
7.800%, 09/20/03 250 256
Sears Credit Account Master
Trust 1994-1 A
7.000%, 08/15/00 1,025 1,036
Sears Credit Account Master
Trust 1995-3 A
7.000%, 10/15/04 1,300 1,312
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Toyota Auto Rec Grantor Trust
5.850%, 03/15/01 $ 938 $ 940
United Airlines Equipment
Ser 1991, Cl C
10.360%, 11/12/12 1,445 1,700
Western Financial Grantor
Trust 1995-2 A1
7.100%, 07/01/00 410 414
----------
Total Asset-Backed Securities
(Cost $29,850) 29,933
----------
MORTGAGE-BACKED OBLIGATIONS -- 3.2%
Asset Securitization Ser 1995-D4
7.100%, 08/13/29 1,370 1,377
Asset Securitization j26
Ser 1996-D6
6.880%, 11/13/26 1,800 1,785
Community Program Loan
Trust 1987-A A4
4.500%, 10/01/18 359 306
Denton Assisted Living
Construction Loan
7.875%, 03/01/38 498 499
Donaldson Lufkin Jenrette
1996-CF2 A1B (B)
7.290%, 11/12/21 1,200 1,203
Green Tree Financial,
Ser 1996-10, Cl A6
7.300%, 11/15/28 400 386
Green Tree Financial,
Ser 1997-1, Cl A-6
7.290%, 03/15/28 350 338
Hillsboro Bay Club
7.950%, 03/01/37 347 347
Merrill Lynch 1996-C2 A3
6.960%, 11/21/28 1,600 1,568
Olmstead Commons
8.400%, 03/01/37 549 565
Residential Asset
Securitization Trust
7.500%, 01/25/27 890 895
Rural Housing REMIC
Trust 1987-1B
3.330%, 10/01/28 1,412 1,336
Sanctuary At Tuttle Crossing
Construction Loan
8.250%, 06/01/37 490 498
Structured Asset Securities
1996-CFL C
6.525%, 02/25/28 125 122
----------
Total Mortgage-Backed Obligations
(Cost $11,308) 11,225
----------
23
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
CORE FIXED INCOME FUND--CONCLUDED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 2.0%
Edison Funding
5.750%, 06/05/97 $ 5,000 $ 4,997
Transamerica Finance
5.630%, 06/03/97 2,000 1,999
----------
Total Commercial Paper
(Cost $6,996) 6,996
----------
OPTIONS -- 0.0%
30 Year Treasury Put Option 72 14
----------
Total Options
(Cost $14) 14
----------
MUNICIPAL BOND -- 0.1%
Los Angeles County, California Taxable Pension
Obligation Ser D
Zero Coupon, 06/30/10 650 241
----------
Total Municipal Bond
(Cost $232) 241
----------
REPURCHASE AGREEMENT -- 15.1%
Merrill Lynch
5.600%, dated 05/30/97,
matures 06/02/97, repurchase
price $52,811,000 (collateralized
by FHLMC obligation, par value
$70,960,000, 6.345%, 03/25/25,
total market value:
$53,846,000) 52,787 52,787
----------
Total Repurchase Agreement
(Cost $52,787) 52,787
----------
Total Investments -- 101.0%
(Cost $351,944) $352,873
----------
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(A) VARIABLE RATE SECURITY--THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT AS OF MAY 31, 1997.
(B) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO DEALER.
(C) SECURITIES HAVE BEEN ISSUED ON A WHEN-ISSUED BASIS.
(D) INVERSE FLOATER
(E) STRUCTURED NOTE
ARM--ADJUSTABLE RATE MORTGAGE
BP--BASIS POINTS
CMO--COLLATERALIZED MORTGAGE OBLIGATION
FHMLC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
IO--INTEREST ONLY
LIBOR--LONDON INTER BANK OFFERING RATE
MTN--MEDIUM TERM NOTE
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
RFCO--RESOLUTION TRUST FUNDING CORPORATION
RTC--RESOLUTION TRUST CORPORATION
SER--SERIES
SLMA--STUDENT LOAN MARKETING ASSOCIATION
STRIPS--SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
TBA--TO BE ANNOUNCED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 92.1%
AUSTRALIA -- 3.7%
Amcor 27,000 $ 179
Australia & New Zealand Bank 148,275 1,015
Australian Resources 215,200 111
Broken Hill Proprietary 70,777 1,016
Capral Aluminum 121,900 441
Coles Myer 51,000 238
Commonwealth Bank of Australia 65,500 704
Consolidated Rutile 169,600 114
CRA 17,544 288
Foodland 163,700 1,028
Futuris 29,410 46
Goodman Fielder 134,071 174
Jupiters 64,500 147
Lend Lease 21,389 424
MacMahon Holdings 91,200 72
Mayne Nickless 43,000 256
National Australia Bank 246,323 3,523
Newscorp 69,087 307
Pacific Magazines & Print 77,300 212
Pasminco 103,000 209
Pioneer International 113,000 385
Qantas Airways 383,300 811
QBE Insurance 31,000 184
Rothmans Holdings 26,800 184
Simsmetal Limited 17,900 123
St. George Bank 14,625 89
Stockland Trust Group 85,000 217
Western Mining 53,545 346
Westpac Bank 176,900 960
Westpac Property Trust 70,000 94
Woodside Petroleum 23,500 198
--------
14,095
--------
AUSTRIA -- 0.2%
Brauerei Schwechat 2,300 88
Radex Heraklith 7,900 341
SCA Laakirchen 100 46
Strabag Osterreich 600 38
Voest-Alpine Stahl* 4,700 212
--------
725
--------
BELGIUM -- 0.8%
Arbed 790 86
CMB 4,030 276
GIB 25,960 1,156
Kredietbank 1,853 763
Tractabel 1,580 693
--------
2,974
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
CANADA -- 1.0%
Canadian Imperial Bank 6,400 $ 155
Cascades 35,800 227
CCL Industries, Series B 9,300 111
Dofasco 23,000 420
Methanex* 37,300 338
National Bank of Canada* 42,800 504
Oshawa Group 22,000 319
Rio Alto Exploration* 7,300 58
Royal Bank of Canada 17,910 775
Stelco 103,100 739
--------
3,646
--------
DENMARK -- 1.0%
Danske Traelast 1,280 118
Den Danske Bank 22,800 2,167
FIH, Series B 5,650 139
Kobenhavn Lufthavne 10,920 1,192
Monberg & Thorsen Holding 1,860 99
--------
3,715
--------
FINLAND -- 0.2%
Enso Oy, Series A 18,700 168
Finnair, Series 1 15,300 104
Metsa Serla, Series B 33,900 263
Rauma Oy 164 4
UPM-Kymmene 5,900 135
--------
674
--------
FRANCE -- 8.1%
Alcatel Alsthom 11,000 1,190
AXA - UAP 20,400 1,220
Banque National Paris 35,600 1,460
Bazar L'hotel de Ville 1,161 119
Bertrand Faure 5,100 237
Bollore Technologies 1,400 177
Bongrain 610 234
Bouygues 2,000 173
CGIP 2,700 766
Chargeurs International 1,650 88
CIC Union Europe 2,200 127
Club Mediterranee 800 56
Colas 550 76
Credit Commerce France 16,000 676
Credit National 6,750 358
Danone 3,344 503
De Dietrich et Compagnie 3,025 129
Ecia 650 99
Elf Aquitaine 28,000 2,796
Elf Gabon 400 117
Eridania Beghin Say 3,550 496
Esso SAF 600 54
25
<PAGE>
STATEMENT OF NET ASSETS
===============================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
INTERNATIONAL EQUITY FUND--CONTINUED
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Fimalac 1,050 $ 97
Gaumont 1,950 144
Generale des Eaux 12,700 1,561
Generale des Eaux Warrants* 12,700 9
Havas 13,600 916
Interbail 300 12
L'Oreal 3,400 1,233
La Rochette 13,300 56
Lafarge 14,035 896
Legris Industries 1,650 71
Louis Vuitton Moet Hennessy 2,370 573
Lyonnaise des Eaux Dumez 10,450 1,025
Marine Wendel 4,600 464
Michelin, Series B 19,050 1,040
Nord Est 750 17
Paribas 34,800 2,239
Parisienne de Rees* 3,750 289
Pernod Ricard 9,700 462
Peugeot 12,900 1,275
Rhone Poulenc 38,000 1,230
Saint Gobain 5,579 770
Saint Louis-Bouchon 950 219
Sanofi 7,199 624
SAT 350 94
Scac Delmas Viel 126 24
Seita 3,500 119
Skis Rossignol 3,000 66
Societe Generale 9,114 1,011
Societe Generale d'Entreprise 1,700 36
Sommer Allibert 9,000 287
Total Compaigne, Series B 12,180 1,113
Union Assurances Federal 2,050 248
Valeo 25,500 1,512
Vallourec 5,150 294
--------
31,177
--------
GERMANY -- 6.8%
Aachener & Muenchener 256 127
Agiv 11,420 212
Andrea-Noris Zahn 1,490 541
BASF 78,390 2,913
Bayer 66,000 2,575
Bayer Vereinsbank 14,800 613
Bayerische Motoren Werke 2,761 2,262
Berliner Kraft und Licht 8,700 206
BHF Bank 9,200 257
Binding Brauerei 250 72
CKAG Colonia Konzern 3,200 316
Continental 17,550 401
Daimler Benz 2,600 201
DBV Holding 1,090 411
Deutsche Pfandrbrief &
Hypotheken Bank 6,730 402
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Deutsche Telekom 8,100 $ 181
DLW* 2,250 230
Dyckerhoff & Widmann 240 32
Felten & Guilleaume 450 43
Frankfurter Hypothebanken
Centralboden 40 2
Herlitz* 1,440 152
Holsten Brau 250 54
IWKA 950 264
Kabelmetall 314 32
Kaufring* 80 5
Kolbenschmidt* 12,200 236
Lehnkering 40 5
Lufthansa 57,200 912
Man 300 86
Mannesmann 4,100 1,676
Metro AG* 13,600 1,480
Nuernberger BET 130 110
Papier Waldhof 3,400 595
Phoenix 16,000 253
Salamander 540 79
Varta* 80 13
Veba 13,650 776
Viag 6,760 3,069
Viag AG New* 484 217
Volkswagen 5,930 3,852
Wuensche 1,350 143
--------
26,006
--------
HONG KONG -- 5.6%
Cathay Pacific Airways 210,000 316
Cheung Kong Holdings 90,000 921
China Light & Power 79,500 398
Citic Pacific 62,000 354
Dao Heng Bank Group 55,000 282
Guangdong Investment 184,000 243
Guoco Group 44,000 212
Hang Lung Development 442,000 847
Hang Seng Bank 41,000 492
Harbour Centre Development 33,000 44
Henderson Land Development 192,000 1,871
Hon Kwok Land Investment 494,000 174
Hong Kong & China Gas 157,600 275
Hong Kong & Shanghai Hotels 214,000 331
Hong Kong Aircraft Engineering 61,600 188
Hong Kong Electric 375,500 1,352
Hong Kong Telecommunications 155,200 344
HSBC Holdings 191,110 5,796
Hutchison Whampoa 107,420 894
Hysan Development 50,000 167
Jardine International Motor 146,000 191
Kowloon Motor Bus 149,800 290
Kumagai Gumi 458,000 508
26
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Lai Sun Garment International 124,000 $ 140
Liu Chong Hing 127,000 170
New World Development 57,000 362
Oriental Overseas International 106,000 70
Peregrine Investment Holdings 278,000 495
Semi-Tech (Global) 52,000 86
Sun Hung Kai Properties 57,700 709
Swire Pacific, Class A 261,500 2,194
Tai Cheung Holdings 118,000 104
Top Glory International 1,210,000 256
Tysan Holdings 250,000 60
Wharf Holdings 85,740 384
--------
21,520
--------
IRELAND -- 0.4%
Anglo Irish Bank 72,100 93
Avonmore Foods 16,600 65
Golden Vale 25,000 27
Greencore Group 230,000 1,178
Hibernian Group 22,500 121
Irish Continental Group 10,400 116
--------
1,600
--------
ITALY -- 2.8%
Assicurazioni Generali 58,170 996
Banca Di Roma* 898,700 640
Banca Popolare di Brescia 44,200 232
Banca Populare di Bergamo 28,600 404
Banca Populare di Milano 80,000 430
Costa Crociere 50,000 114
Credito Bergamasco 15,400 258
Edison 255,000 1,209
ENI 280,593 1,400
Ericsson 3,700 62
IFIL 635,000 1,162
Milano Assicurazioni 25,600 56
Montedison* 1,019,800 623
Montefibre 119,800 65
Parmalat Finanziaria 608,500 868
SAI di Risp 6,100 18
Stet 363,800 1,837
Toro Assicurazioni 17,900 196
--------
10,570
--------
JAPAN -- 24.4%
Achilles 87,000 243
Aiya 19,000 248
Ajis 4,000 50
Apollo Electronics 22,000 291
Asahi Bank 199,000 1,301
Asahi Broadcasting 1,100 140
Asatsu 17,500 573
Ashikaga Bank 14,000 46
- -------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- -------------------------------------------------------------------------------
Bank of Tokyo Mitsubishi 123,000 $ 2,134
Bank of Yokohama 109,000 541
Belc 10,000 99
Canon 27,000 684
Charle 1,000 12
Chuba Electric Power 35,400 642
Chubu Steel Plate 55,000 260
Chubu Suisan 22,000 104
Chugai Pharmaceutical 71,000 603
Chuo Warehouse 13,000 94
Comany 7,000 101
Computer Engineering & Consult 14,000 144
Dai Ichi Kangyo Bank 88,000 1,073
Daicel Chemical 94,000 361
Daido Metal 21,000 106
Daido Steel 88,000 280
Daiei 45,000 294
Daikin Industries 76,000 738
Daiwa House Industries 229,000 2,695
Danto 28,000 289
Data Communication Systems 4,000 72
Denyo 8,000 81
Dio Chemicals 11,100 76
East Japan Railway 180 889
Fuji Bank 33,000 425
Fuji Photo Film 112,000 4,339
Fujitsu Business Systems 25,000 623
Genki Sushi 3,000 44
Glory 23,000 559
Gunze 42,000 191
Heiwa 5,000 85
Hitachi 167,000 1,779
Hitachi Information Systems 27,000 325
Hitachi Medical 39,000 523
Horiba 26,000 310
Horipro 16,000 136
House of Rose 2,000 36
Ichiken 67,000 225
Ichiyoshi Securities 4,000 15
Iino Kaiun* 97,000 298
Inax 27,000 188
Industrial Bank of Japan 55,400 666
Institute of General Education 14,000 102
Izumi Industries 25,000 107
Japan Energy 209,000 524
Japan Industrial Testing 500 5
Japan Living Service 34,000 168
Japan Process Development 9,000 75
Japan Tobacco 113 865
Jastec 9,000 101
Kajima 77,000 431
Kamigumi 104,000 621
Kansai Electric Power 28,900 544
27
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
INTERNATIONAL EQUITY FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Kawasaki Heavy Industries 140,000 $ 606
KDD 10,000 644
Keihanshin Real Estate 21,000 138
Kentucky Fried Chicken Japan 18,000 243
Keyence 3,240 468
King Jim 28,000 534
Kobe Steel* 1,286,000 2,475
Kubota 180,000 827
KVK 10,000 60
Lilycolor 49,000 274
Lion 98,000 438
Long Term Credit Bank 194,000 633
Marubeni 36,000 153
Marukyo 17,000 241
Matsudo Kosan 17,000 145
Matsushita Electric Industry 98,000 1,844
Matsushita Electric Works 94,000 1,042
Minebea 21,000 206
Mitsubishi Electric 280,000 1,587
Mitsubishi Heavy Industries 139,000 1,001
Mitsubishi Materials 155,000 601
Mitsubishi Motor 148,000 1,096
Mitsubishi Oil 224,000 1,116
Mitsui Petrochem 93,000 436
Miura 21,000 292
Mizuno 31,000 194
Morita Fire Pump Manufacturing 74,000 289
Nakayamafuku 15,000 80
Namura Shipbuilding 71,000 346
Nanaboshi 3,000 21
NBC Industries 7,000 90
New Oji Paper 96,000 555
NIC 25,000 286
Nihon Decoluxe 9,000 89
Nikko Securities 35,000 208
Nintendo 44,000 3,440
Nippon Computer Systems 10,000 93
Nippon Hodo 12,000 96
Nippon Kanzai 9,400 178
Nippon Meat Packers 24,000 293
Nippon Shoji Kaisha 44,000 285
Nippon Shokubai 64,000 429
Nippon Telegraph & Telephone 120 1,144
Nippon Yusen Kabushik 150,000 618
Nippondenso* 18,000 450
Nishio Rent All 23,400 291
Nissan Motors 270,000 1,791
Nittetsu Mining 41,000 300
NKK 435,000 856
Nomura Securities 50,000 593
Nova 5,000 97
Ogura Clutch 3,000 26
Ohishi Sangyo 14,000 92
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Ohmoriya 9,000 $ 97
Oie Sangyo 7,700 84
Orient 65,000 223
Osaka Gas 155,000 407
Paltac 27,000 204
Pioneer Electronics 53,000 1,311
Rengo 122,000 685
Ricoh Elemex 5,000 62
Roki Techno 8,000 110
Roland 14,000 325
Royal Hotel 15,000 77
Ryobi 78,000 295
Ryoyo Electro 15,000 287
Sagami Chain 21,900 303
Sakura Bank 228,000 1,365
Sanko 11,000 119
Sankyu Aluminium 112,000 390
Sanwa Bank 55,000 704
Sanyo Electric 164,000 692
Sanyo Special Steel 220,000 595
Satoh 29,000 299
Seijo 11,800 154
Seino Transportation 43,000 465
Sekisui Chemical 107,000 1,112
Sekisui House 304,000 2,977
Sekisui House Hokuriku 17,000 159
Shaddy 20,950 209
Shikoku Electric Power 41,100 706
Shimojima 10,400 155
Shinden 9,200 95
Shionogi 92,000 684
Showa Shell Sekiyo 60,000 536
SK Kaken 5,000 90
Snow Brand Milk Products 85,000 422
Spancrete 12,000 70
Sumitomo 73,000 646
Sumitomo Bank 65,000 899
Sumitomo Marine and
Fire Insurance 118,000 892
Sumitomo Rubber 61,000 414
Sun Life 7,000 96
Takara Standard 29,000 249
Teijin 96,000 405
Toin 13,000 77
Tokai Bank 78,000 642
Tokai Rika 36,000 270
Tokyo Electric Power 39,000 744
Tokyo Gas 223,000 569
Toppan Printing 73,000 1,003
Toshiba 195,000 1,198
Tostem 17,000 454
Toto 59,400 668
Toyo Ink 240,000 917
28
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Toyo Seikan Kaisha 21,000 $ 400
Toyota Motor 31,000 889
Trancom 12,000 69
Tsubaki Precision ADR 42,000 361
Tsudakoma 143,000 633
Tsutsumi Jewelry 12,500 301
Xebio 20,200 507
Yaizu Suisankagaku 13,000 168
Yakult Honsha 36,000 390
Yamaichi Securities 259,000 734
Yamanouchi Pharmaceutical 51,000 1,257
Yodogawa Steel Works 89,000 550
Yokohoma Rubber 124,000 545
Yonex 12,000 76
Yonkyu 10,000 172
Yoshitomi Pharmaceutical 69,000 492
--------
94,059
--------
MALAYSIA -- 2.5%
Angkasa Marketing 65,000 83
Austral Enterprises 244,000 456
Berjaya Sports 54,000 251
Boustead Holdings 104,000 234
Cement Industries 18,000 48
Datuk Keramat Holdings 124,000 192
DCB Holdings 76,000 245
Edaran Otomobil 94,000 819
Grand Central Enterprises 83,000 78
Hume Industries 45,000 240
IGB 135,000 130
IJM 99,000 227
IOI Properties 189,000 253
Island & Penninsular 17,000 55
KFC Holdings 60,000 232
Kuala Lumpur Kepong 108,000 279
Kulim 81,000 164
Lion Land 78,000 75
Magnum 145,000 241
Malayan Bank 55,560 586
Malaysian Airline System 145,000 335
Malaysian International Shipping 30,000 69
Malaysian Pacific Industries 85,000 372
MBF Capital 93,000 198
Multi Purpose Holdings 241,000 382
New Straits Times Press 55,000 324
Pan Pacific Asia 25,000 61
Perusahaan Otomobil 35,000 183
Public Finance 119,000 189
Rothmans of Pall Mall 32,000 338
Sime Darby 108,000 353
Sime Uep Properties 44,000 93
TA Enterprise 591,000 668
Tan Chong Motor 111,000 207
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Tenaga Nasional 77,000 $ 352
UMW Holdings 44,000 226
United Engineers 50,000 404
Westmont Industries 123,000 136
--------
9,778
--------
NETHERLANDS -- 5.6%
ABN-Amro Holdings 84,000 1,552
ACF Holdings 10,300 158
Aegon 23,354 1,707
Ahold 18,495 1,404
Akzo Nobel 9,500 1,264
Beers 2,500 86
DSM 1,470 146
Elsevier 94,150 1,592
Eriks Holdings 600 41
European Vinyls 17,450 490
Gamma Holding 6,300 352
Hollandsche Beton Groep 1,050 241
Hoogovens 10,500 523
Ing Groep 81,802 3,613
KLM 24,700 713
Kondor Wessels Groep 300 15
KPN 13,650 477
National Invest Bank 2,200 204
Nijverdal Tencate 2,900 158
NKF Holdings 3,000 79
Oce-Van Der Grinten 9,600 1,251
Polynorm 200 18
Royal Dutch Petroleum 16,050 3,099
Stad Rotterdam 7,871 352
Unilever 6,500 1,250
Van Ommeren 5,600 227
Volker Stevin 4,100 472
--------
21,484
--------
NEW ZEALAND -- 0.8%
Brierley Investment 272,800 254
Carter Holt Harvey 92,097 221
Fisher & Paykel 74,693 262
Fletcher Challenge Building 29,600 83
Fletcher Challenge Energy 26,000 83
Fletcher Challenge Paper 269,249 624
Guinness Peat Group 113,630 65
Independent Newspaper 20,630 103
Lion Nathan 324,752 851
Ports of Auckland 14,400 65
Telecom of New Zealand 89,436 430
--------
3,041
--------
NORWAY -- 0.6%
Den Norske Bank 167,400 656
29
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
INTERNATIONAL EQUITY FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Leif Hoegh & Company 4,800 $ 93
Norske Skog 3,200 115
Saga Petroleum 32,600 657
SAS Norge 20,400 198
Sparebanken Norway 19,500 576
Storli 2,300 44
--------
2,339
--------
SINGAPORE -- 1.8%
Acma 89,000 159
City Developments 116,400 1,083
Comfort Group 58,000 48
Cycle & Carriage 63,000 639
Fraser and Neave 24,000 191
Goldtron 23,000 13
Hai Sun Hup 206,000 146
Hai Sun Hup Warrants 61,800 15
Haw Par Brothers International 39,000 87
Inchcape 48,000 178
Industrial & Commercial Bank 57,000 213
Jardine Matheson Holdings 13,000 88
Keppel 164,750 760
Marco Polo Development 80,000 173
Natsteel 132,000 347
Overseas Chinese Bank 36,000 448
Overseas Union Enterprises 12,000 57
Pacific Carriers 91,000 62
Republic Hotels & Resorts 51,000 57
Singapore International Airlines 11,000 94
Singapore Press 23,720 473
Ssangyong Cement 34,000 78
United Overseas Bank 45,264 465
Van Der Horst 63,000 176
Wing Tai Holdings 351,000 1,046
--------
7,096
--------
SPAIN -- 2.8%
Azucarera Espana 2,800 139
Banco de Andalucia 200 32
Banco Santander 42,183 3,599
Elec Reun Zaragoza 5,330 201
Empresa Nacional de
Electricidad 20,300 1,551
Energia Industries Aragonesas 31,300 199
Fomento de Construcciones
Contratas 9,200 1,024
G.E.S.A., Series 2 4,900 275
Hidroelectrica del Cantabrico,
Series C 7,900 308
Iberdrola 26,500 325
Mapfre 519 28
Repsol 37,600 1,574
Tabacalera, Series A 5,100 259
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Telefonica de Espana 45,522 $ 1,314
Uniland 1,700 79
--------
10,907
--------
SWEDEN -- 2.1%
ASG, Series B 4,200 64
Bergman & Beving, Series B 3,300 115
Blylock & Nordsjofr, Series B 18,800 97
Catena, Series A 26,800 347
Gorthon Lines, Series B 18,800 121
Marieberg Tidnings, Series A 600 15
Rottneros 152,700 171
Sevillana de Electricidad 10,801 104
SKF, Series B 42,800 988
Sparbanken Sverige, Series A 116,400 2,283
SSAB, Series B 2,300 43
Stora Kopparbergs, Series A 68,500 1,012
Svedala Industri 2,000 40
Swedish Match 447,400 1,455
Trelleborg, Series B 22,100 383
Trygg-Hansa, Series B 5,700 104
Volvo, Series B 33,200 919
--------
8,261
--------
SWITZERLAND -- 5.1%
Aare-Tessin 330 205
Adecco 5,200 1,955
Baloise Holding 160 352
Banque Cantonale Vaud 1,120 283
BBC Brown Boveri 230 316
Bucher Holding 210 211
Cie Financiere Richemont 360 491
Clariant 3,300 2,099
CS Holding 27,740 3,485
Daetwyler Holding 120 222
EMS Chemie Holding 60 265
Intershop Holding 220 125
Julius Baer Holding 490 674
Keramik Holding 130 71
Kw Laufenburg 430 80
Motor-Columbus 120 195
Nestle SA 320 398
Novartis, Registered 1,419 1,925
Roche Holding 202 1,796
Swiss Bank* 4,890 1,175
Union Bank of Switzerland 1,140 1,250
Vontobel Holding 90 59
Winterthur 1,410 1,152
Zurich Versicherung 2,535 932
--------
19,716
--------
30
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
UNITED KINGDOM -- 15.8%
Abbey National 142,300 $ 2,049
Albert Fisher Group 148,200 91
Alvis 42,800 93
Amec 46,500 108
Anglian Water 34,600 387
ASDA Group 1,466,600 2,872
Astec 57,100 138
Barclays Bank 42,700 829
Bass 33,500 434
BAT Industries 271,551 2,431
BG 50,700 170
Blue Circle Industries 98,250 677
Bridon 28,650 45
British Aerospace 41,500 843
British Airport Authority 70,000 610
British Airways 79,750 927
British Petroleum 72,500 859
British Steel 234,400 585
British Telecommunications 235,000 1,701
British Vita 210,500 704
BTP 42,300 183
BTR 184,500 599
Bullough 6,400 13
Burn Stewart Distillers 2,200 2
Carlton Communications 89,000 764
Charter 9,300 125
Commercial Union 41,750 468
Cowie Group 23,466 138
Crest Nicholson 64,200 112
Davis Service Group 40,000 173
Ed and F Man 28,300 80
Energy Group* 35,298 317
General Accident 79,100 1,170
General Electric 100,000 570
Glaxo Wellcome 58,500 1,169
Grampian Holdings 1,700 4
Granada Group 61,250 868
Guardian Royal Exchange 163,300 744
Guinness 114,200 1,063
Harrison & Crossfield 97,900 195
Hazlewood Foods 140,300 231
Heath, C.E. 19,900 33
Heywood Williams 48,500 174
Hillsdown Holdings 167,581 482
HSBC Holdings 37,200 1,153
Hyder 44,200 586
Iceland Frozen Foods 173,687 250
IMI 34,800 202
Kenwood Appliances 18,900 40
Kingfisher 139,800 1,631
Kwik Save Group 67,400 302
Lex Service 94,000 540
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
London & Manchester Group 30,700 $ 223
LucasVarity* 167,000 527
Marston Thompson 62,800 278
National Grid Group 158,800 588
National Power 48,200 435
Next 82,500 1,000
Northern Ireland Electricity 12,700 85
Persimmon 26,100 101
Premier Oil 324,800 223
Prudential 92,000 924
Railtrack Group 43,100 451
Rank Group 85,000 596
Reckitt & Colman 39,500 556
Renold 52,600 207
Reuters Holdings 96,250 1,080
RJB Mining 174,700 1,128
Royal Sun Alliance 263,767 1,982
Safeway 161,300 948
Scottish Hydro-Electric 43,500 285
Scottish Power 141,200 887
Sedgwick Group 397,300 822
Severn Trent 90,800 1,155
Shell Transportation & Trading 93,750 1,847
South West Water 28,900 339
Southern Electric 96,000 639
Stakis 193,757 315
Standard Chartered 50,750 803
Staveley Industries 2,300 7
T & N 394,200 809
Tate & Lyle 15,000 111
Tesco 151,000 927
Thames Water 141,000 1,583
Thorn 144,500 362
TI Group 65,500 613
TLG 50,200 93
Tomkins 126,500 550
Triplex Lloyd 24,600 66
TSB Lloyds Group 189,272 1,900
Unigate 44,700 360
United Utilities 84,500 967
Vaux Group 35,800 162
Weir Group 155,500 643
Wessex Water 154,610 1,020
Whitecroft 1,200 3
Williams Holdings 122,000 621
Willis Corroon Group 126,400 277
Wolseley 65,500 498
--------
60,930
--------
Total Foreign Common Stocks
(Cost $333,149) 354,313
--------
31
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
INTERNATIONAL EQUITY FUND--CONCLUDED
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN PREFERRED STOCKS -- 0.7%
AUSTRIA -- 0.2%
Creditanstalt Bankverein 20,900 $ 864
--------
GERMANY -- 0.5%
Dragerwerk 300 5
Dyckerhoff 116 44
Escada 30 5
Krones 70 27
RWE 39,500 1,382
Suedzucker 550 279
--------
1,742
--------
ITALY -- 0.0%
Unipol 53,580 95
--------
Total Foreign Preferred Stocks
(Cost $2,622) 2,701
--------
FOREIGN CONVERTIBLE BOND -- 0.0%
FRANCE -- 0.0%
Castorama Dubois
3.150%, 01/01/03 $ 184 38
--------
Total Foreign Convertible Bond
(Cost $44) 38
--------
U.S. TREASURY OBLIGATION -- 0.6%
U.S. Treasury Bill
5.099%, 09/18/97 (1) 2,200 2,166
--------
Total U.S. Treasury Obligation
(Cost $2,165) 2,166
--------
REPURCHASE AGREEMENTS -- 6.0%
Merrill Lynch
5.500%, dated 5/30/97, matured
6/2/97, repurchase price
$8,380,245 (collateralized by
various RFCO and RFCO STRIPS
Bonds, total par value
$9,242,000, rates ranging
from 0-9.375%, maturities
from 1/15/00-4/15/30; total
market value $8,549,942) 8,380 8,380
Morgan Stanley
5.430%, dated 5/30/97, matured
6/2/97, repurchase price
$12,537,855 (collateralized by
FHLB, total par value $13,000,000,
7.108%, 5/21/07: total market
value $12,906,656) 12,536 12,536
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
State Street Bank
5.000%, dated 5/30/97, matured
6/2/97, repurchase price
$2,037,283 (collateralized by
U.S. Treasury Bond, total par
value $1,475,000, 12.000%,
8/15/13: total market
value $2,101,101) $2,037 $ 2,037
--------
Total Repurchase Agreements
(Cost $22,953) 22,953
--------
Total Investments-- 99.4%
(Cost $360,933) 382,171
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.6% 2,492
--------
NET ASSETS:
Capital Shares (unlimited
authorization -- no par
value) based on 35,987,391
outstanding shares of beneficial interest 356,132
Undistributed net investment income 2,677
Accumulated net realized gain
on investments 4,131
Net unrealized depreciation on
forward foreign currency contracts,
foreign currency and translation
of other assets and liabilities in
foreign currency (5)
Net unrealized appreciation on
futures contracts 490
Net unrealized appreciation
on investments 21,238
--------
TOTAL NET ASSETS-- 100.0% $384,663
========
NET ASSET VALUE, OFFERING PRICE
AND REDEMPTION PRICE PER SHARE $10.69
========
ADR--AMERICAN DEPOSITORY RECEIPT
FHLB--FEDERAL HOME LOAN BANK
RFCO--RESOLUTION FUNDING CORPORATION
(1) SECURITY SEGREGATED TO COLLATERALIZE FUTURES CONTRACTS WITH AN
AGGREGATE MARKET VALUE OF $22,037,645.
* NON-INCOME PRODUCING SECURITY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
32
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
------------
CORE FIXED
INCOME
FUND
------------
ASSETS:
Investment securities (Cost $351,944) $352,873
Cash 93
Interest receivable 3,834
Investment securities sold 3,092
Capital shares sold 18,559
Other assets 220
--------
Total Assets 378,671
--------
LIABILITIES:
Income payable 1,783
Investment securities purchased 26,734
Capital shares redeemed 540
Other liabilities 310
--------
Total Liabilities 29,367
--------
Net Assets $349,304
========
NET ASSETS:
Capital Shares (unlimited authorization - no par value)
based on 34,493,971 outstanding shares of
beneficial interest 348,170
Accumulated net realized gain on investments 241
Net unrealized depreciation on futures contracts (36)
Net unrealized appreciation on investments 929
--------
TOTAL NET ASSETS $349,304
========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.13
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
33
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST --FOR THE PERIOD ENDED MAY 31, 1997
<TABLE>
<CAPTION>
------------- ------------ --------------- ---------------
LARGE SMALL CORE FIXED INTERNATIONAL
CAP CAP INCOME EQUITY
FUND (1) FUND (1) FUND (1) FUND (1)
------------- ------------ --------------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 4,849 $ 521 $ -- $ 6,836
Interest 691 453 12,834 805
Less: Foreign taxes withheld -- -- -- (716)
------- ------- ------- -------
Total Investment Income 5,540 974 12,834 6,925
------- ------- ------- -------
EXPENSES:
Management fees 140 38 94 147
Less: Management fees waived (84) (23) (67) (75)
Investment advisory fees 1,117 488 566 1,499
Less: Investment advisory fees waived (439) (121) (335) (471)
Custodian/wire agent fees 45 14 32 536
Professional fees 20 7 14 39
Registration & filing fees 103 29 57 112
Trustee fees 24 8 18 34
Miscellaneous fees 22 11 17 31
------- ------- ------- -------
Total Expenses 948 451 396 1,852
------- ------- ------- -------
NET INVESTMENT INCOME 4,592 523 12,438 5,073
------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS:
Net realized gain from:
Security transactions 1,568 2,792 957 2,179
Futures contracts 2,176 1,141 56 2,332
Net realized loss on forward foreign
currency contracts and foreign
currency transactions -- -- -- (481)
Net change in unrealized depreciation
on forward foreign currency contracts,
foreign currencies, and translation
of other assets and liabilities
denominated in foreign currencies -- -- -- (5)
Net change in unrealized appreciation
on investments 74,986 7,261 929 21,238
Net change in unrealized appreciation/
(depreciation) on futures contracts 425 562 (36) 490
------- ------- ------- -------
Net Realized and Unrealized Gain on
Investments and Foreign Currency Transactions 79,155 11,756 1,906 25,753
------- ------- ------- -------
NET INCREASE IN NET ASSETS FROM OPERATIONS $83,747 $12,279 $14,344 $30,826
======= ======= ======= =======
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
(1) THE FUNDS COMMENCED OPERATIONS ON JUNE 14, 1996.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
34
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE PERIOD ENDED MAY 31, 1997
<TABLE>
<CAPTION>
----------------- --------------- --------------- -----------------
LARGE SMALL CORE FIXED INTERNATIONAL
CAP CAP INCOME EQUITY
FUND (1) FUND (1) FUND (1) FUND (1)
----------------- --------------- --------------- -----------------
6/14/96- 6/14/96- 6/14/96- 6/14/96-
5/31/97 5/31/97 5/31/97 5/31/97
----------------- --------------- --------------- -----------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 4,592 $ 523 $ 12,438 $ 5,073
Net realized gain from security transactions
and futures contracts 3,744 3,933 1,013 4,511
Net realized loss on forward foreign currency
contracts and foreign currency transactions -- -- -- (481)
Net change in unrealized depreciation
on forward foreign currency contracts, foreign
currencies, and translation of other assets and
liabilities denominated in foreign currencies -- -- -- (5)
Net change in unrealized appreciation
on investments and futures contracts 75,411 7,823 893 21,728
-------- -------- -------- --------
Net increase in net assets from operations 83,747 12,279 14,344 30,826
-------- -------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income (3,512) (420) (12,438) (1,960)
Net realized gains -- -- (772) (335)
-------- -------- -------- --------
Total dividends distributed (3,512) (420) (13,210) (2,295)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares issued 432,867 128,094 363,273 497,195
Reinvestment of cash distributions 3,507 419 13,042 2,293
Cost of shares redeemed (77,791) (16,431) (28,244) (143,356)
-------- -------- -------- --------
INCREASE IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS 358,583 112,082 348,071 356,132
-------- -------- -------- --------
Net increase in net assets 438,818 123,941 349,205 384,663
NET ASSETS:
Beginning of period (2) -- -- 99 --
-------- -------- -------- --------
End of period $438,818 $123,941 $349,304 $384,663
======== ======== ======== ========
CAPITAL SHARE TRANSACTIONS:
Shares issued 41,222 12,976 35,991 50,148
Reinvestment of cash distributions 327 42 1,283 228
Shares redeemed (6,887) (1,608) (2,780) (14,389)
-------- -------- -------- --------
Net increase in capital shares 34,662 11,410 34,494 35,987
======== ======== ======== ========
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
(1) THE FUNDS COMMENCED OPERATIONS ON JUNE 14, 1996.
(2) BEGINNING NET ASSETS INCLUDES INITIAL SEED FUNDING OF $99 FOR THE CORE FIXED INCOME FUND.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
35
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE PERIOD ENDED MAY 31, 1997
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET
REALIZED
NET ASSET AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS ON INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------
LARGE CAP FUND (1)
- ------------------
1997 $10.00 $0.17 $2.63 $(0.14) -- $12.66 28.22% $438,818 0.34%
- ------------------
SMALL CAP FUND (1)
- ------------------
1997 $10.00 $0.06 $0.85 $(0.05) -- $10.86 9.18% $123,941 0.60%
- --------------------------
CORE FIXED INCOME FUND (1)
- --------------------------
1997 $10.00 $0.64 $0.17 $(0.64) $(0.04) $10.13 8.28% $349,304 0.21%
- -----------------------------
INTERNATIONAL EQUITY FUND (1)
- -----------------------------
1997 $10.00 $0.14 $0.61 $(0.05) $(0.01) $10.69 7.56% $384,663 0.63%
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME
NET INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO AVERAGE
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
NET ASSETS WAIVERS) WAIVERS) RATE RATE+
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- ------------------
LARGE CAP FUND (1)
- ------------------
1997 1.65% 0.53% 1.46% 71% $0.049
- ------------------
SMALL CAP FUND (1)
- ------------------
1997 0.70% 0.79% 0.51% 163% $0.052
- --------------------------
CORE FIXED INCOME FUND (1)
- --------------------------
1997 6.60% 0.42% 6.39% 194% n/a
- -----------------------------
INTERNATIONAL EQUITY FUND (1)
- -----------------------------
1997 1.73% 0.82% 1.54% 120% $0.017
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
+ AVERAGE COMMISSION RATE PAID PER SHARE FOR EQUITY SECURITY PURCHASES AND SALES DURING THE PERIOD.
(1) THE FUNDS COMMENCED OPERATIONS ON JUNE 14, 1996. ALL RATIOS EXCEPT TOTAL RETURN HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
36
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
1. ORGANIZATION
SEI Institutional Investments Trust (the "Trust") was organized as a
Massachusetts business trust under a Declaration of Trust dated March 1, 1995.
The Trust commenced operations on June 14, 1996.
The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end investment company with seven funds: The Large Cap,
Small Cap, Core Fixed Income, and International Equity Funds (each a "Fund" and,
together, the "Funds") are each diversified operational Funds. The Emerging
Markets Equity, International Fixed Income and High Yield Bond Funds are
currently not operational.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed
by the Trust.
SECURITY VALUATION -- Investments in equity securities that are traded on
a national securities exchange (or reported on NASDAQ national market system)
are stated at the last quoted sales price if readily available for such equity
securities on each business day; other equity securities traded in the
over-the-counter market and listed equity securities for which no sale was
reported on that date are stated at the last quoted bid price. Foreign
securities in the International Equity Fund are valued based on quotations from
the primary market in which they are traded. Debt obligations with remaining
maturities in excess of sixty days are valued at the most recently quoted bid
price. Debt obligations with remaining maturities of sixty days or less are
valued at their amortized cost which approximates market value.
FEDERAL INCOME TAXES -- It is each Fund's intention to qualify as a
regulated investment company for Federal income tax purposes and distribute all
of its taxable income (including net capital gains). Accordingly, no provision
for Federal income taxes is required.
NET ASSET VALUE PER SHARE -- Net asset value per share is calculated on a
daily basis by dividing the assets of each Fund less its liabilities by the
number of outstanding shares of the Fund.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until maturity of the
repurchase agreement. Provisions of the repurchase agreement and procedures
adopted by the Manager and the Advisers of the Trust ensure that the market
value of the collateral, including accrued interest thereon, is sufficient in
the event of default by the counterparty. The Funds also invest in tri-party
repurchase agreements. Securities held as collateral for tri-party repurchase
agreements are maintained by the broker's custodian bank in a segregated account
until maturity of the repurchase agreement. Provisions of the repurchase
agreements ensure that the market value of the collateral, including accrued
interest thereon, is sufficient in the event of default. If the counterparty
defaults and the value of the collateral declines or if the counterparty enters
into an insolvency proceeding, realization of the collateral by the Funds may be
delayed or limited.
DISCOUNT AND PREMIUM AMORTIZATION -- All amortization is calculated using
the effective interest method over the holding period of the security.
Amortization of premiums and discounts is included in interest income.
EXPENSES -- Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Funds are
prorated to the Funds on the basis of relative net assets.
FOREIGN CURRENCY TRANSLATION -- The books and records of the International
Equity Fund are maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the
current rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at
the relevant rates of exchange prevailing on the respective dates of such
transactions.
The International Equity Fund does not isolate that portion of gains and
losses on investments in equity securities that is due to changes in the foreign
exchange rates from that which is due to change in market prices of equity
securities.
The International Equity Fund reports certain foreign currency related
transactions as components of realized gains for financial reporting purposes,
37
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
whereas such components are treated as ordinary income for Federal income
tax purposes.
FUTURES CONTRACTS -- Each of the Funds utilized futures contracts during
the period ended May 31, 1997. The Large Cap, Small Cap, and International
Equity Fund's investment in Index futures contracts is designed to enable the
Funds to more closely approximate the performance of their benchmark indices.
The Core Fixed Income Fund's use of futures contracts is primarily for tactical
hedging purposes. Initial margin deposits of cash or securities are made upon
entering into futures contracts. The contracts are marked to market daily and
the resulting changes in value are accounted for as unrealized gains and losses.
Variation margin payments are paid or received, depending upon whether
unrealized losses or gains are incurred. When the contract is closed, the Fund
records a realized gain or loss equal to the difference between the proceeds
from (or cost of) the closing transaction and the amount invested in the
contract.
Risks related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that counterparty to a contract may default on its obligation to
perform.
STRUCTURED NOTES AND INDEXED NOTES -- The Core Fixed Income Fund may invest
in structured notes and indexed notes whose values are linked either directly
and inversely to changes in foreign currency exchange rates, interest rates,
indices, or other reference instruments. The values of these instruments may be
more volatile than the rates, indices, or instruments to which they refer, but
any loss is limited to the amount of the original investment.
DISTRIBUTIONS -- Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid in capital in the period that the difference arises.
Accordingly for the International Equity Fund, $45,000 was reclassified
from accumulated net realized gain on investments to undistributed net
investment income. In addition, permanent differences primarily attributable to
realized foreign exchange gains and losses have been reclassified from
accumulated net realized gain on foreign currency transactions to undistributed
net investment income of $481,000.
These reclassifications have no effect on net assets or net asset value per
share.
OTHER -- Security transactions are recorded on the trade date of the
security purchase or sale. Cost used in determining net realized capital gains
and losses on the sale of securities are those of the specific securities sold.
Dividend income is recognized on the ex-dividend date, and interest income is
recognized using the accrual basis of accounting.
3. MANAGEMENT, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS
The Trust and SEI Fund Management (the "Manager"), are parties to a management
agreement (the "Agreement") dated March 1, 1995. Under this Agreement, the
Manager provides administrative and shareholder servicing for an annual fee of
.05% of the average daily net assets of each Fund. The Manager has agreed to
waive a portion of its fee so that the total annual expenses of each Fund will
not exceed certain voluntary expense limitations adopted by the Manager.
The Trust and SEI Investments Distribution Co. (the "Distributor") are
parties to a distribution agreement dated June 14, 1996 pursuant to which the
Distributor provides distribution-related services to the Trust. The Distributor
is not currently entitled to any fee for performing these services.
SEI Investments Management Corporation ("SIMC") serves as investment
adviser to each Fund. In connection with serving as investment adviser, SIMC is
entitled to a fee, that is calculated daily and paid monthly, at an annual rate
of .40% of the Large
38
<PAGE>
================================================================================
Cap Fund's average daily net assets, at an annual rate of .65% of the Small
Cap Fund's average daily net assets, at an annual rate of .30% of the Core Fixed
Income Fund's average daily net assets and at an annual rate of .51% of the
International Equity Fund's average daily net assets.
Alliance Capital Management L.P., IDS Advisory Group, Inc., Provident
Investment Counsel, Inc., LSV Asset Management, Mellon Equity Associates, and
Pacific Alliance Capital Management each serve as an investment sub-adviser to a
portion of the assets of the Large Cap Fund and are parties to investment
sub-advisory agreements with the Trust and SIMC dated June 14, 1996.
Nicholas-Appelgate Capital Management Inc., Wall Street Associates, Boston
Partners Asset Management, L.P., 1838 Investment Advisors, L.P., and First of
America Investment Corporation each serve as an investment sub-adviser to a
portion of the assets of the Small Cap Fund and are parties to investment
sub-advisory agreements with the Trust and SIMC dated June 14, 1996. Furman Selz
Capital Management, LLC and LSV Asset Management also serve as investment
sub-advisers to a portion of the assets and are parties to an agreement with the
Trust and SIMC dated September 20, 1996 and March 28, 1997, respectively.
Western Asset Management Company, BlackRock Financial Management, Inc., and
Firstar Investment Research & Management Company each serve as an investment
sub-adviser to a portion of the assets of the Core Fixed Income Fund and are
parties to investment sub-advisory agreements with the Trust and SIMC dated June
14, 1996.
Acadian Asset Management, Inc., Farrell Wako Global Investment Management,
Inc., Seligman Henderson Co., and Yamaichi Capital Management, Inc./ Yamaichi
Capital Management (Singapore) Limited each serve as an investment sub-adviser
to a portion of the assets of the International Equity Fund and are parties to
investment sub-advisory agreements with the Trust and SIMC dated June 14, 1996.
Lazard London International Investment Management Limited also serves as an
investment sub-adviser to a portion of the assets and is party to an agreement
with the Trust and SIMC dated December 30, 1996.
4. ORGANIZATIONAL COSTS AND TRANSACTIONS WITH AFFILIATES
Organizational costs have been capitalized by the Funds and are being amortized
over sixty months commencing with operations. In the event any of the initial
shares are redeemed by any holder thereof during the period that the Fund is
amortizing its organizational costs, the redemption proceeds payable to the
holder thereof by the Fund will be reduced by the unamortized organizational
costs in the same ratio as the number of initial shares being redeemed bears to
the initial shares outstanding at the time of redemption.
Certain officers and/or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
of quarterly, interim and committee meetings. Compensation of officers and
affiliated Trustees of the Trust is paid by the Manager.
Each of the Funds also used the Distributor as an agent in placing
repurchase agreements. For this service the Distributor retains a portion of the
interest earned as a commission. Such commissions for the period ended May 31,
1997 were nominal in the aggregate.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities
including US Government securities, other than temporary cash investments during
the period ended May 31, 1997, were as follows:
PURCHASES (000) SALES (000)
--------------- -----------
U.S. GOV'T OTHER U.S. GOV'T OTHER
---------- -------- ---------- -------
Large Cap Fund -- $552,462 -- $199,688
Small Cap Fund -- 215,351 -- 106,602
Core Fixed
Income Fund 484,131 118,457 305,499 18,430
International
Equity Fund -- 678,060 -- 344,248
39
<PAGE>
NOTES TO FINANCIAL STATEMENTS
===============================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
At May 31, 1997, the total cost of securities and the net realized gains or
losses on securities sold for Federal income tax purposes was not materially
different from amounts reported for financial reporting purposes. The aggregate
gross unrealized appreciation and depreciation on investments and futures
contracts at May 31, 1997 is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
(000) (000) (000)
---------- ---------- -----------
Large Cap
Fund $78,115 $ (2,704) $75,411
Small Cap
Fund 12,167 (4,344) 7,823
Core Fixed
Income Fund 1,982 (1,089) 893
International
Equity Fund 39,895 (18,167) 21,728
The market values of the Core Fixed Income Fund's investments will change
in response to interest rate changes and other factors. During periods of
falling interest rates, the values of fixed income securities generally rise.
Conversely, during periods of rising interest rates, the values of such
securities generally decline. Changes by recognized rating agencies in the
ratings of any fixed income security and in the ability of an issuer to make
payments of interest and principal may also affect the value of these
investments.
6. CONCENTRATION OF RISKS
The International Equity Fund invests in securities of foreign issuers in
various countries. These investments may involve certain considerations and
risks not typically associated with investments in the United States, as a
result of, among other factors, the possibility of future political and economic
developments and the level of governmental supervision and regulation of
securities markets in the respective countries.
7. FUTURES CONTRACTS
The following Funds had futures contracts open as of May 31, 1997:
NUMBER UNREALIZED
CONTRACT OF TRADE SETTLEMENT GAIN/(LOSS)
DESCRIPTION CONTRACTS PRICE MONTH (000)
- ----------- --------- ----- ---------- -----------
CORE FIXED
U.S. 10 Year Note (81) $106.34 Sept. 1997 $ (56)
U.S. Long T-Bond 17 108.45 Sept. 1997 20
-----
$ (36)
=====
LARGE CAP
S & P 500 7 765.22 June 1997 $298
S & P 500 2 757.52 June 1997 93
S & P 500 1 764.62 June 1997 43
S & P 500 23 851.32 June 1997 (8)
S & P 500 4 851.22 June 1997 (1)
----
$425
=====
SMALL CAP
S & P 500 6 765.20 June 1997 $256
S & P 500 5 770.25 June 1997 201
S & P 500 2 768.40 June 1997 82
S & P 500 1 804.50 June 1997 23
----
$562
=====
INTERNATIONAL EQUITY FUND
Australia Ords Index 12 2,482.00 June 1997 $ 34
Australia Ords Index 3 2,485.00 June 1997 8
Australia Ords Index 10 2,486.00 June 1997 26
Australia Ords Index 4 2,521.00 June 1997 8
Australia Ords Index 1 2,586.00 June 1997 1
DAX Index 5 3,467.00 June 1997 28
DAX Index 7 3,530.00 June 1997 13
DAX Index 2 3,562.00 June 1997 --
Hang Seng Index 13 14,449.00 June 1997 34
IBEX Index 34 6,381.50 June 1997 (13)
CAC 40 Index 25 2,609.50 June 1997 (37)
CAC 40 Index 5 2,620.50 June 1997 (9)
CAC 40 Index 1 2,655.00 June 1997 (3)
NIKKEI 225 Index 14 19,300.00 June 1997 50
NIKKEI 225 Index 11 18,205.00 June 1997 91
NIKKEI 225 Index 11 19,890.00 June 1997 12
NIKKEI 225 Index 29 20,080.00 June 1997 7
NIKKEI 225 Index 1 19,880.00 June 1997 1
NIKKEI 225 Index 2 19,880.00 June 1997 2
FTSE 100 Index 28 4,430.00 June 1997 218
FTSE 100 Index 1 4,500.00 June 1997 5
FTSE 100 Index 4 4,535.00 June 1997 14
-----
$490
=====
40
<PAGE>
NOTICE TO SHAREHOLDERS (UNAUDITED)
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
For shareholders that do not have a May 31, 1997 taxable year end, this notice
is for informational purposes only. For shareholders with a May 31, 1997 taxable
year end, please consult your tax advisor as to the pertinence of this notice.
For the fiscal year ended May 31, 1997 the Funds of the SEI Institutional
Investments are designating long term capital gains and qualifying dividend
income with regard to distributions paid during the year as follows:
(A) (B)
LONG TERM ORDINARY
CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS)
- ---------- --------------- --------------- ---------------
Large Cap Fund 0% 100% 100%
Core Fixed Income Fund 0% 100% 100%
International Equity Fund 0% 100% 100%
(C) (D) (E)
QUALIFYING TAX-EXEMPT FOREIGN
PORTFOLIO DIVIDENDS(1) INTEREST TAX CREDIT(2)
- ---------- ---------------- --------------- ---------------
Large Cap Fund 54% 0% 0%
Core Fixed Income Fund N/A 0% 0%
International Equity Fund 0% 0% 15%
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
(2) See attached notice which details the per share amount of foreign taxes
paid by country and the per share amount of each dividend that represents
income derived from sources within each country.
(3) This amount represents the Foreign Tax Credit.
* Items (A) and (B) are based on the percentage of each fund's total
distribution.
** Item (C) and (D)are based on the percentage of ordinary income distributions
of each fund.
*** Item (E) is based on the percentage of gross income of each fund.
+ The Notice to Shareholders relating to the Small Cap Fund was sent to
shareholders under separate cover.
41
<PAGE>
NOTICE TO SHAREHOLDERS (CONTINUED) (UNAUDITED)
===============================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1997
FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL
PURPOSES ONLY.
The SEI Institutional Investments Trust International Equity Portfolio has made
an election under Section 853 of the Internal Revenue Code (the "Code") to
provide a foreign tax deduction or credit to their shareholders for the fiscal
year ended May 31, 1997. The information provided below is pertinent to
taxpayers who meet the following two criteria: 1) file a U.S. Federal Income Tax
Return and 2) held shares of the Portfolio on the dividend record date of
December 31, 1996 and satisfy the applicable requirements of the Code.
The amount per share of income from and foreign taxes paid to each country
is listed in the following schedules:
INTERNATIONAL EQUITY PORTFOLIO
GROSS FOREIGN
COUNTRY DIVIDEND TAXES PAID
- -------- -------- ----------
Australia $0.0003 $0.0003
Austria 0.0037 0.0000
Belgium 0.0010 0.0002
Canada 0.0012 0.0002
Denmark 0.0000 0.0000
Finland 0.0000 0.0000
France 0.0043 0.0008
Germany 0.0007 0.0000
Hong Kong 0.0041 0.0000
Ireland 0.0000 0.0000
Italy 0.0003 0.0000
Japan 0.0101 0.0016
Malaysia 0.0020 0.0005
Netherlands 0.0052 0.0008
New Zealand 0.0021 0.0003
Singapore 0.0011 0.0002
Spain 0.0017 0.0003
Sweden 0.0000 0.0000
Switzerland 0.0007 0.0001
United Kingdom 0.0167 0.0025
United States 0.0056 0.0000
------- -------
$0.0608 $0.0078
======= =======
42
<PAGE>
NOTES
<PAGE>
============================
SEI INSTITUTIONAL
INVESTMENTS TRUST
============================
ANNUAL REPORT
============================
MAY 31, 1997
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Mark Nagle
CONTROLLER, CHIEF FINANCIAL OFFICER
Marc H. Cahn
VICE PRESIDENT, ASSISTANT SECRETARY
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Barbara A. Nugent
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand LLP
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
THIS ANNUAL REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED
FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE TRUST AND MUST BE
PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. SHARES OF THE SEI FUNDS ARE NOT
DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK. THE SHARES
ARE NOT FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC),
THE FEDERAL RESERVE BOARD, OR ANY OTHER GOVERNMENT AGENCY. INVESTMENT IN THE
SHARES INVOLVES RISK, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. SEI INVESTMENTS
DISTRIBUTION CO., THE DISTRIBUTOR OF THE SEI FUNDS, IS NOT AFFILIATED WITH ANY
BANK.
FOR MORE INFORMATION CALL 1-800-DIAL-SEI/1-800-342-5734
<PAGE>
<PAGE>
SEI INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-123-01
