ANNUAL REPORT AS OF
MAY 31, 1998
SEI INSTITUTIONAL
INVESTMENTS TRUST
- --------------------------------------------------------------------------------
Large Cap Fund
- --------------------------------------------------------------------------------
Small Cap Fund
- --------------------------------------------------------------------------------
Core Fixed Income Fund
- --------------------------------------------------------------------------------
International Equity Fund
- --------------------------------------------------------------------------------
[SEI LOGO OMITTED]
SEI INVESTMENTS
THE ART OF PEOPLE.
THE SCIENCE OF RESULTS.
<PAGE>
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE.................................................. 1
REPORT OF INDEPENDENT ACCOUNTANTS....................................... 7
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS......................... 8
STATEMENT OF ASSETS AND LIABILITIES..................................... 34
STATEMENT OF OPERATIONS................................................. 35
STATEMENT OF CHANGES IN NET ASSETS...................................... 36
FINANCIAL HIGHLIGHTS.................................................... 37
NOTES TO FINANCIAL STATEMENTS........................................... 38
NOTICE TO SHAREHOLDERS.................................................. 44
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
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 Portfolio 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 33.36% for the fiscal year ended May
31, 1998 outperforming the Russell 1000 Index return of 30.71% over the same
time period. The large cap equity market enjoyed another strong advance as the
economy remained strong with relatively low and stable interest rates and robust
corporate profits. In addition, high quality large-cap stocks provided a safe
haven for investors from Asia's economic difficulties.
Technology, financial services and drug companies continue to benefit from
the current economic environment and enjoyed another strong year. The cyclical
industries, helped by the low unemployment rate, of retail, chemicals and autos
moved sharply higher during the year. The proliferation of the internet and
advances in telecommunications pushed the stock prices of media and phone
companies higher as well.
The Asian crisis put pressure on companies with a significant exposure to
this region such as select technology and consumer companies. A large oil supply
and an abnormally warm winter in the United States, largely caused by El Nino,
pushed oil prices lower along with the stock prices for the oil companies. The
continued threat of unfavorable legislation against the tobacco companies
hampered the performance of their stock prices as well.
The fund is positioned to take advantage of the expected slowing of
corporate profit growth. Stock selection will take on greater importance as
companies will be highly rewarded for maintaining robust earnings growth
compared to other companies as it becomes increasingly more difficult to provide
the level of earnings growth corporations have provided during the recent past.
- --------------------------------------------------------------------------------
LARGE CAP FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Large Cap Fund 33.36% 31.45%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN
THE LARGE CAP FUND, VERSUS THE FRANK RUSSELL 1000 INDEX
[LINE GRAPH OMITTED]
PLOT POINTS TO FOLLOW:
LARGE CAP FUND FRANK RUSSELL 1000 INDEX
$10,000 $10,000
12,812 12,697
17,086 16,597
1 FOR THE PERIOD ENDED MAY 31, 1998. 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, 1998
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 Fund invests in stocks of companies
whose prices appear low relative to certain fundamental characteristics as well
as companies that are in an early stage or at a transitional point in their
development and demonstrated or have potential for above average capital growth.
The Small Cap Fund is sub-advised by eight 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 include: price/book, price/earnings, deep-value, momentum,
long-term sustainable growth, micro-cap and relative price strength.
ANALYSIS: For the fiscal year ended May 31, 1998 the Small Cap Fund
returned 26.68% compared to the benchmark Russell 2000 index which returned
21.24%. Despite the strong absolute returns delivered by small cap stocks, such
issues continued to lag larger cap securities in the U.S. market, as they have
since 1993. In addition, for the second straight year, the value sector of the
small cap market substantially outperformed the growth sector with the Russell
2000 Value Index returning 26.7% versus a return of 15.8% for the Russell 2000
Growth Index.
From an industry perspective the best performers were those with close
ties to the domestic consumer including the construction and retail names. These
stocks benefited from the strong domestic economy featuring record low
unemployment, high consumer confidence and low interest rates. Airlines also
produced good returns over the fiscal year as high load factors and lower fuel
costs added up to strong profit growth for many companies in the group. Banks
continued to produce market-beating returns as well, benefiting from both the
low interest rate environment and merger activity in the sector. On the losing
side of the roster were the stocks with earnings ties to the troubled economies
of Asia. Technology stocks were particularly hard hit as the collapse of several
Asian currencies resulted in both canceled export orders from the region as well
as increased price competition for domestic business. Energy stocks also lagged
over the fiscal year as abundant supplies combined with reduced demand from Asia
pushed crude prices to their lowest levels in ten years. The strong benchmark
relative performance of the Fund was primarily attributable to stock selection
decisions by the sub-advisors. Stock picking among the consumer and financial
names was particularly positive for relative performance.
The Fund continues to target a style-neutral position relative to the
benchmark Russell 2000 index. This minimizes uncompensated style and industry
risks and focuses on the stock selection ability of the Fund's sub-advisors.
Polynous Capital Management ("Polynous") was added as a sub-adviser to the Fund
in January of 1998 bringing an anti-momentum approach to small cap investing
that complements other sub-advisors in the Fund. It is our expectation that the
addition of this sub-style investment will benefit the Fund over time.
2
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SMALL CAP FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Small Cap Fund 26.68% 17.98%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN
THE SMALL CAP FUND, VERSUS THE FRANK RUSSELL 2000 INDEX
[LINE GRAPH OMITTED]
PLOT POINTS TO FOLLOW:
SMALL CAP FUND FRANK RUSSELL 2000 INDEX
$10,000 $10,000
11,199 11,156
14,187 13,525
1 FOR THE PERIOD ENDED MAY 31, 1998. PAST PERFORMANCE IS NO INDICATION OF FUTURE
PERFORMANCE. FUND SHARES WERE OFFERED BEGINNING 6/14/96.
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 fund interest rate exposure
relative to the Lehman Aggregate Bond Index. The Fund's sub-advisers focus on
four key areas in determining portfolio structure: duration weighting, term
structure, sector allocation, and issue selection. While the duration and term
structure decision underlie the implementation process, the 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: For the fiscal year ended May 31, 1998 the Core Fixed Income
Fund returned 11.60% strongly outperforming the Lehman Aggregate Bond Index
return of 10.91%. The Fund's longer duration posture and barbelled yield curve
structure were significant contributors to positive relative performance. In
addition, the Fund's overweight to mortgage-backed securities combined with
security selection within that sector added value throughout the period. Sector
and security selection within the corporate sector served to dampen returns for
the period. An overweight to the corporate sector was maintained throughout the
majority of the fiscal year. The Fund experienced significant cash flows
throughout the period which also acted as a modest drag on performance. Fund
assets under management grew from $331 to $795 million throughout the fiscal
year.
The U.S. Treasury market posted strong gains for the fiscal year period.
Having recovered from the effects of a March 1997 Federal Reserve rate hike,
news of a moderating economy and the nonexistence of inflationary pressures
fueled the domestic bond markets. As capital market volatility and economic
crisis surfaced in Asia, the U.S. investment-grade bond market was a major
benefactor of a global flight-to-quality which spurred demand for safe-haven
U.S. Treasury securities. In January, yields on 30-year U.S. Treasury bonds
touched 5.66%, the lowest point since the Treasury began issuing that maturity
in 1977. The bond market experienced a back-up in yields in February and March,
as a
3
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
semblance of stability in Asia lower expectations of the crisis' likely slowing
effect on the U.S. economy. However, the bond market resumed its ascent in May
as a renewed bout of Asian contagion buoyed U.S. securities, with the Japanese
yen falling to a seven-year low versus the U.S. dollar. Overall, yield levels
ended the fiscal period dramatically lower. 30-year yields fell to 5.80% from
6.91%, an astounding 1.11% decline. In contrast, yields on securities with less
than one year to maturity were largely unchanged throughout the period as Fed
inaction kept the short-end of the curve anchored. As a result of the declining
yield levels and flattening yield curve, the Fund's longer duration and barbell
yield curve emphasis added strongly to performance.
During the above market scenario, mortgage-backed securities provided the
best market sector performance on a duration-adjusted basis. Overall,
mortgage-backed securities gained as a result of their higher yield levels,
relatively low market volatility, and significant demand from yield-seeking
investors and CMO originators. The 10-year Treasury yield, which is used as a
base for most mortgage calculations, declined to 5.55% from 6.66% during the
fiscal year. Throughout much of the 111 basis point decline in 10-year yields
the mortgage market had apparently ignored the associated rise in prepayments.
However, record refinancing levels in January and peak prepayments reached in
March highlighted the largest wave of mortgage refinancings since 1993. Discount
securities, which actually benefit from rising prepayments, began to outperform
in conjunction with these market movements. Throughout most of the period, the
Fund remained overweighted in the mortgage-backed sector, which benefited
results. Individual issues were concentrated in discount coupons and structured
securities, such as commercial mortgages, which provided additional prepayment
protection and positively impacted relative performance.
Investment-grade corporate securities posted the worst broad sector
performance for the period. Despite strong performance during the initial stages
of the fiscal year, the crisis in Southeast Asia caused significant spread
widening across the credit spectrum. The Yankee sub-sector was hit particularly
hard, as many of these issuers were more directly impacted by the Asian
situation. As yield levels fell, new supply proliferated as issuers rushed to
lock in low long-term borrowing rates, placing further upward pressure on
corporate spreads. An overweight to corporate issues throughout much of the
period detracted from relative performance. Tobacco bonds were negatively
impacted throughout the period as the historic agreement between the tobacco
industry, the states, and private attorneys representing smokers was hotly
debated in Congress. Uncertainty surrounding the potential final price tag of
the settlement and the status of future legal liability for the industry caused
uncertainty for future credit quality. Fund holdings in Phillip Morris and RJR
Nabisco, the two largest tobacco companies, were negatively impacted as a
result.
4
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
Core Fixed Income Fund 11.60% 10.13%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE
CORE FIXED INCOME FUND, VERSUS THE LEHMAN AGGREGATE BOND INDEX
[LINE GRAPH OMITTED]
PLOT POINTS TO FOLLOW:
CORE FIXED INCOME FUND LEHMAN AGGREGATE BOND INDEX
$10,000 $10,000
10,685 10,689
11,924 11,856
1 FOR THE PERIOD ENDED MAY 31, 1998. 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. The Fund
also seeks to provide U.S. investors with a vehicle for international
diversification, which can reduce variability of Fund returns to the extent that
foreign markets have a relatively low correlation with the U.S. market. Exposure
is also maintained in growth and value styles of active management. As of May
31, 1998 the Fund employed three 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 10.4% for the fiscal
period ended May 31, 1998 underperforming the MSCI EAFE Index return of 11.1%
over the same time period. Strong stock selection in Europe was offset by
weakness in Asia. The currency devaluation in Thailand triggered a broad-based
decline throughout Asia. Hong Kong fell 42.7% for the year, while Malaysia fell
68%. Even the already stagnating economy in Japan was off 27% for the year ended
May 1998. International money flows quickly moved to Europe and the U.S. at the
end of 1997 and have continued throughout 1998. The significance of the crisis
in Asia is illustrated in the significant regional weighting shift that occurred
in the index. MSCI EAFE Index on May 1997 had 58% in Europe and 42% in Asia.
Only one year later, the index had a 73% exposure to Europe and 27% to Asia.
Japan has fallen to 20% of the index from 31% a year earlier. What has crippled
Asia has fueled European markets to new highs. France, Spain and Switzerland
gained 69%, 70% and 57% respectively for the one year period.
In this volatile environment, our strategy managed to keep pace with the
index. We benefited from our modest 3.0% overweight to France and 1.5%
underweight to Japan. Both weighting decisions resulted from stock selection
decisions of the underlying sub-advisors.
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
European markets benefited from solid earnings announcements, steady economic
growth and heightened merger and acquisition activity. On the contrary, sluggish
economic growth and low domestic sentiment about future prospects continued to
plague the Japanese market.
Following extensive research of the Developed Non-US equity strategy we
restructured the portfolio. On April 1, 1998 we replaced Lazard Asset Management
with Scottish Widows Investment Management Limited. Turnover of key
professionals in Lazard's investment team was the primary reason for their
replacement. Scottish Widows is a European specialist whose portfolio is
concentrated in the top names in the region. Farrell-Wako Global Investment
Management Inc. failed to perform up to our expectations and did not provide the
style exposure originally expected. SGY Asset Management's (Formerly Yamaichi
International Capital Management). Asia Ex-Japan mandate was expanded to include
Japan. Finally, Japan's weakness forced our small cap exposure to less than 2.0%
of the entire strategy. At this weight, a separate allocation to Seligman
Henderson Co., whose specialty was small cap Japan, was no longer feasible. The
decision to terminate Seligman Henderson was driven by portfolio structure.
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized
One Year Inception
Return to Date
- --------------------------------------------------------------------------------
International Equity Fund 10.40% 9.15%
- --------------------------------------------------------------------------------
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE INTERNATIONAL
EQUITY FUND, VERSUS THE MORGAN STANLEY MSCI EAFE INDEX
[LINE GRAPH OMITTED]
PLOT POINTS TO FOLLOW:
INTERNATIONAL EQUITY FUND MORGAN STANLEY MSCI EAFE INDEX
$10,000 $10,000
10,680 10,695
11,791 11,883
1 FOR THE PERIOD ENDED MAY 31, 1998. PAST PERFORMANCE IS NO INDICATION OF FUTURE
PERFORMANCE. FUND SHARES WERE OFFERED BEGINNING 6/14/96.
6
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
To the Board of Trustees and Shareholders of
The SEI Institutional Investments Trust:
In our opinion, the accompanying statements of net assets for the Large Cap Fund
and International Equity Fund and the statements of assets and liabilities,
including the schedules of investments, for the Small Cap Fund and Core Fixed
Income Fund and the related statements of operations and of changes in net
assets and the financial highlights present fairly, in all material respects,
the financial position of the SEI Institutional Investments Trust (the "Trust"),
comprised of the Large Cap Fund, Small Cap Fund, Core Fixed Income Fund, and
International Equity Fund , respectively, at May 31, 1998, the results of its
operations for the year then ended and the changes in its net assets and its
financial highlights for each of the periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at May 31, 1998 by
correspondence with the custodians and brokers and the application of
alternative auditing procedures, where necessary, where securities purchased had
not been settled, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
July 16, 1998
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
LARGE CAP FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 98.3%
AEROSPACE & DEFENSE -- 1.0%
Cordant Technologies 60,700 $ 3,027
Gencorp 52,800 1,574
Litton Industries* 66,300 3,841
Raytheon Company, Cl A 1,700 91
Raytheon Company, Cl B 49,800 2,723
----------
11,256
----------
AIR TRANSPORTATION -- 0.9%
AMR* 30,500 4,695
Delta Air Lines 20,400 2,346
UAL* 46,000 3,654
----------
10,695
----------
AIRCRAFT -- 1.3%
Allied Signal 116,900 4,997
Boeing 12,000 571
Northrop 19,700 2,112
United Technologies 79,700 7,492
----------
15,172
----------
APPAREL/TEXTILES -- 0.6%
Springs Industries, Cl A 15,800 887
U.S. Industries* 59,000 1,556
VF 73,425 3,905
----------
6,348
----------
AUTOMOTIVE -- 2.2%
Chrysler 85,200 4,739
Eaton 27,000 2,425
Ford Motor 170,300 8,834
General Motors 110,300 7,935
Paccar 15,300 845
----------
24,778
----------
BANKS -- 8.6%
Amsouth Bancorp 67,950 2,612
Astoria Financial* 34,800 1,915
BankAmerica 111,771 9,242
Bankers Trust New York 43,899 5,422
Chase Manhattan 140,714 19,128
Comerica 67,400 4,432
Commerce Bancshares 35,300 1,716
Fifth Third Bancorp 21,700 1,069
First Chicago 69,800 6,103
Golden West Financial 49,700 5,368
J.P. Morgan 21,700 2,695
National City 34,540 2,340
NationsBank 196,700 14,900
Norwest 88,000 3,421
Republic New York 60,600 7,783
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Southtrust 60,100 $ 2,438
State Street 46,100 3,178
SunTrust 40,800 3,223
Washington Mutual 23,100 1,631
----------
98,616
----------
BEAUTY PRODUCTS -- 3.2%
Avon Products 11,600 949
Colgate-Palmolive 135,100 11,754
Gillette 136,900 16,034
Procter & Gamble 97,500 8,184
----------
36,921
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.2%
Chancellor Media* 45,200 1,890
----------
1,890
----------
BUILDING & CONSTRUCTION -- 0.3%
Centex 102,300 3,657
----------
3,657
----------
CHEMICALS -- 1.2%
Eastman Chemical 36,400 2,439
FMC* 18,300 1,399
Millenium Chemicals 95,500 3,020
Nalco Chemical 37,100 1,391
PPG Industries 32,200 2,347
Union Carbide 68,800 3,436
----------
14,032
----------
COMMUNICATIONS EQUIPMENT -- 1.3%
Andrew* 75,000 1,648
GTE 81,000 4,723
Tellabs* 132,100 9,078
----------
15,449
----------
COMPUTERS & SERVICES -- 5.8%
America Online* 33,200 2,766
Cisco Systems* 253,308 19,156
Compaq Computer 364,500 9,955
Dell Computer* 146,400 12,064
IBM 126,852 14,889
Lexmark International Group* 46,300 2,570
Philips Electronics, ADR 25,800 2,454
Quantum* 129,200 2,826
----------
66,680
----------
DRUGS -- 7.2%
Abbott Laboratories 28,000 2,077
American Home Products 70,000 3,382
Amgen* 28,800 1,742
Bristol-Myers Squibb 115,500 12,416
8
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Elan, ADR* 62,458 $ 3,822
Eli Lilly 25,800 1,585
Johnson & Johnson 32,400 2,238
Merck 120,968 14,161
Perrigo* 107,000 1,177
Pfizer 110,357 11,567
Schering Plough 255,400 21,374
Warner Lambert 105,600 6,739
----------
82,280
----------
ELECTRICAL SERVICES -- 4.0%
AES* 46,500 2,212
Allegheny Energy Inc. 51,300 1,440
American Electric Power 94,200 4,274
Baltimore Gas & Electric 68,500 2,085
Consolidated Edison
of New York 41,200 1,764
DQE 49,500 1,627
DTE Energy 29,500 1,167
Edison International 81,900 2,416
Energy East 72,900 2,962
FPL Group 39,000 2,396
Firstenergy 53,300 1,582
GPU 56,100 2,160
Houston Industries 9,104 261
Illinova 34,000 988
Long Island Lighting 28,400 847
PG&E 128,030 4,033
Pinnacle West Capital 130,100 5,846
Public Service Enterprise Group 81,000 2,678
Texas Utilities 58,841 2,324
Unicom 101,100 3,475
----------
46,537
----------
ENTERTAINMENT -- 1.1%
Bally Total Fitness* 6,700 216
Liberty Media Group, Cl A* 189,000 6,237
Walt Disney 55,500 6,278
----------
12,731
----------
ENVIRONMENTAL SERVICES -- 0.5%
Browning-Ferris Industries 21,110 751
USA Waste Services* 115,600 5,455
----------
6,206
----------
FINANCIAL SERVICES -- 5.9%
Associates First Capital 17,202 1,287
Bear Stearns 122,741 6,659
FHLMC 45,600 2,075
Firstplus Financial Group* 44,400 1,770
Federal National Mortgage
Association 62,410 3,737
Household International 10,900 1,475
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Lehman Brothers Holding 52,800 $ 3,745
MBNA 404,575 12,820
Merrill Lynch 53,700 4,806
Morgan Stanley, Dean Witter,
Discover 110,600 8,634
SLM Holding 37,700 1,506
Textron 34,600 2,567
Travelers 266,265 16,242
----------
67,323
----------
FOOD, BEVERAGE & TOBACCO -- 3.0%
Adolph Coors, Cl B 51,800 1,942
Anheuser Busch 58,300 2,678
Bestfoods 28,000 1,580
Campbell Soup 67,500 3,679
Coca-Cola 59,300 4,648
General Mills 49,500 3,378
Hormel Foods 2,100 71
Philip Morris 314,482 11,754
RJR Nabisco Holdings 97,000 2,734
Sara Lee 24,500 1,442
----------
33,906
----------
GAS/NATURAL GAS -- 0.2%
Consolidated Natural Gas 27,400 1,550
National Fuel & Gas 27,500 1,165
----------
2,715
----------
HOTELS & LODGING -- 0.2%
Promus Hotel* 42,200 1,825
----------
1,825
----------
HOUSEHOLD FURNITURE & FIXTURES -- 2.8%
General Electric 221,700 18,484
Illinois Tool Works 60,900 4,019
Maytag 75,500 3,808
Solectron* 144,000 5,958
----------
32,269
----------
HOUSEHOLD PRODUCTS -- 0.1%
Whirlpool 11,200 765
----------
765
----------
INSURANCE -- 7.3%
Aetna 74,600 5,833
Allstate 51,100 4,810
Ambac 70,873 3,876
American General 102,800 6,900
American International Group 58,300 7,218
Chubb 80,800 6,429
Cigna 146,100 10,008
Conseco 49,900 2,327
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
LARGE CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Exel 68,000 $ 5,117
Foundation Health Systems, Cl A* 21,000 639
Lincoln National 1,600 144
Loew's 17,900 1,624
Old Republic International 113,850 3,245
Orion Capital 55,000 3,097
Pacificare Health Systems, Cl B* 17,500 1,446
Safeco 91,600 4,259
St. Paul 115,400 5,121
SunAmerica 57,200 2,781
United Healthcare 67,500 4,320
UNUM 91,400 5,078
----------
84,272
----------
LEASING & RENTING -- 0.2%
Comdisco 75,250 2,737
----------
2,737
----------
LEISURE PRODUCTS -- 0.1%
Mattel 27,700 1,049
----------
1,049
----------
MACHINERY -- 3.2%
Aerquip-Vickers 50,500 3,118
Caterpillar 66,400 3,648
Cummins Engine 27,900 1,451
Deere 54,400 2,822
NACCO Industries, Cl A 11,000 1,611
New Holland NV* 71,500 1,698
Parker-Hannifin 47,900 1,967
Timken 63,300 2,382
Tyco International Ltd 333,800 18,484
----------
37,181
----------
MEASURING DEVICES -- 0.2%
Honeywell 11,600 974
Mallinckrodt 32,100 989
----------
1,963
----------
MEDICAL PRODUCTS & SERVICES -- 1.9%
Baxter International 111,875 6,398
Guidant 28,000 1,804
Health Management
Associates, Cl A* 45,900 1,368
Healthsouth Rehabilitation* 90,400 2,565
Medtronic 147,700 8,216
Novacare* 125,900 1,385
----------
21,736
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
METALS & MINING -- 0.4%
Minnesota Mining &
Manufacturing 18,700 $ 1,732
Vulcan Materials 23,700 2,690
----------
4,422
----------
MISCELLANEOUS BUSINESS SERVICES -- 3.9%
3Com* 50,000 1,269
Altera* 66,300 2,229
Cendant* 240,200 5,209
Computer Associates
International 88,103 4,625
Computer Sciences* 102,000 5,298
First Data 63,500 2,111
Harris 50,400 2,429
HBO 55,000 3,175
Microsoft* 149,800 12,705
Oracle Systems* 44,400 1,049
SAP Aktiengesellschaft ADR* 8,100 1,495
Sun Microsystems* 27,500 1,102
Sungard Data Systems* 44,600 1,522
Teradyne* 34,000 1,045
----------
45,263
----------
MISCELLANEOUS CONSUMER SERVICES -- 0.3%
Service International 80,000 3,270
----------
3,270
----------
OFFICE FURNITURE & FIXTURES -- 0.1%
Champion International 15,900 763
----------
763
----------
PAPER & PAPER PRODUCTS -- 1.5%
Consolidated Papers 30,000 868
Fort James 88,520 4,232
International Paper 75,800 3,487
Kimberly-Clark 41,900 2,077
Mead 43,900 1,366
Temple-Inland 28,000 1,645
Union Camp 31,900 1,745
Westvaco 50,600 1,442
----------
16,862
----------
PETROLEUM & FUEL PRODUCTS -- 1.9%
Atlantic Richfield 29,600 2,335
BJ Services* 77,500 2,533
Burlington Resources 42,000 1,769
Nabors Industries* 43,400 1,023
Noble Drilling* 138,000 4,071
Phillips Petroleum 141,471 7,082
10
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Rowan* 44,400 $ 1,135
Schlumberger 26,500 2,069
----------
22,017
----------
PETROLEUM REFINING -- 3.5%
Amoco 86,500 3,617
Ashland 16,500 823
Coastal 30,800 2,171
Exxon 186,200 13,127
Mobil 127,325 9,931
Sun 65,800 2,797
Texaco 81,000 4,678
Tosco 45,100 1,432
Valero Energy 62,900 2,052
----------
40,628
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES -- 0.1%
Xerox 13,300 1,367
----------
1,367
----------
PRINTING & PUBLISHING -- 0.9%
Bowne 44,300 1,897
Gannett 35,946 2,370
Lafarge 22,600 850
New York Times, Cl A 41,200 2,905
Tribune 27,700 1,852
----------
9,874
----------
PROFESSIONAL SERVICES -- 0.8%
Halliburton 91,700 4,344
Norfolk Southern 39,300 1,231
Paychex 90,300 3,251
----------
8,826
----------
RAILROADS -- 0.7%
Canadian Pacific Limited 59,800 1,738
CSX 108,474 5,166
Union Pacific 23,725 1,148
----------
8,052
----------
REAL ESTATE -- 0.2%
Starwood Lodging Trust, REIT 50,913 2,402
----------
REPAIR SERVICES -- 0.0%
Ryder System 14,400 491
----------
491
----------
RETAIL -- 9.1%
Bed Bath & Beyond* 29,000 1,455
Costco* 80,700 4,671
CVS 45,501 3,194
Darden Restaurants 81,900 1,264
Dayton-Hudson 328,700 15,243
Dillards Incorporated, Cl A 67,300 2,831
Dollar General 113,456 4,326
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Federated Department Stores* 49,500 $ 2,565
Fred Meyer* 57,270 2,463
General Nutrition* 27,200 859
Great Atlantic & Pacific Tea 33,800 1,082
Home Depot 147,300 11,572
JC Penney 37,467 2,691
Kohls* 170,400 8,105
Kroger* 67,200 2,885
Lowe's 41,800 3,310
May Department Stores 66,855 4,300
Office Depot* 98,400 2,903
Rite Aid 150,000 5,372
Ruddick 48,200 862
Safeway* 329,488 12,006
Tech Data* 9,100 370
TJX 43,700 2,043
Toys "R" Us* 119,000 3,154
Wal-Mart Stores 86,500 4,774
----------
104,300
----------
RUBBER & PLASTIC -- 1.9%
Dow Chemical 104,300 10,104
Goodyear Tire & Rubber 72,700 5,225
Nike, Cl B 25,000 1,150
Premark International 59,500 1,908
Sealed Air* 63,600 3,403
----------
21,790
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 0.4%
Intel 49,488 3,535
National Semiconductor* 86,400 1,404
----------
4,939
----------
SPECIALTY CONSTRUCTION -- 0.5%
Cooper Industries 30,400 1,957
Masco 43,500 2,447
Tecumseh Products, Cl A 19,600 978
----------
5,382
----------
SPECIALTY MACHINERY -- 0.1%
American Standard* 13,600 656
----------
656
----------
STEEL & STEEL WORKS -- 0.9%
Alcan Aluminum 118,233 3,370
Alumax* 10,400 487
Aluminum Company of America 27,600 1,915
Asarco 30,500 692
Texas Industries 46,500 2,761
USX-U.S. Steel Group 25,100 900
----------
10,125
----------
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
LARGE CAP FUND--CONCLUDED
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATION -- 6.2%
Airtouch Communications* 163,600 $ 7,791
Alltel 26,100 1,029
Ameritech 173,500 7,363
AT&T 154,100 9,381
Bell Atlantic 80,298 7,357
BellSouth 114,393 7,378
L.M. Ericsson Telephone, ADR* 106,400 2,966
Lucent Technologies 108,000 7,661
Nextel Communications, Cl A* 46,700 1,100
Sprint 36,900 2,648
US West 69,900 3,547
WorldCom* 309,300 14,073
----------
72,294
----------
TRUCKING -- 0.1%
Yellow* 65,500 1,228
----------
1,228
----------
WHOLESALE -- 0.3%
BJ's Wholesale Club* 28,200 1,114
Cardinal Health 21,000 1,872
----------
2,986
----------
Total Common Stocks
(Cost $885,865) 1,128,926
----------
U.S. TREASURY OBLIGATION -- 0.1%
U.S. Treasury Bill (A)
5.340%, 06/25/98 $1,540 1,535
----------
Total U.S. Treasury Obligation
(Cost $1,535) 1,535
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.2%
FHLB
5.370%, 06/05/98 515 515
FHLMC
5.440%, 06/19/98 160 160
FNMA
5.430%, 06/10/98 730 729
5.430%, 06/19/98 590 588
5.440%, 06/22/98 155 155
----------
Total U.S. Government Agency Obligations
(Cost $2,147) 2,147
----------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 0.3%
Prudential Funding
5.450%, 06/01/98 $ 1,139 $ 1,139
5.550%, 06/03/98 2,824 2,823
----------
Total Commercial Paper
(Cost $3,962) 3,962
----------
REPURCHASE AGREEMENT -- 2.6%
J.P. Morgan
5.470%, dated 05/29/98, matures
06/01/98, repurchase price
$29,858,000 (collateralized by
various U.S. Treasury and FHLB
obligations, total par value
$30,526,000, 0.000-6.375%,
11/12/98-04/15/08, total market
value: $30,532,000) 29,844 29,844
----------
Total Repurchase Agreement
(Cost $29,844) 29,844
----------
Total Investments--101.5%
(Cost $923,353) 1,166,414
----------
OTHER ASSETS AND LIABILITIES, NET-- (1.5%)
Capital Shares Redeemed (24,277)
Other Assets and Liabilities, Net 7,200
----------
Total Other Assets and Liabilities, Net (17,077)
----------
NET ASSETS:
Portfolio Shares (unlimited
authorization -- no par value)
based on 70,302,461 outstanding
shares of beneficial interest 876,941
Undistributed net investment income 2,266
Accumulated net realized gain
on investments 27,241
Net unrealized appreciation on investments 243,061
Net unrealized depreciation on futures (172)
----------
TOTAL NET ASSETS--100.0% $1,149,337
==========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $16.35
==========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY SEGREGATED TO COLLATERIZE FUTURES CONTRACTS WITH AN AGGREGATE
MARKET VALUE OF $25,906,500.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLB -- FEDERAL HOME LOAN BANK
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
LTD -- LIMITED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
SMALL CAP FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 92.2%
AEROSPACE & DEFENSE -- 0.6%
AAR 10,500 $ 278
Aeroflex* 23,200 261
Coinstar* 12,800 110
Commonwealth Industries 9,310 136
Doncasters PLC* 6,100 199
Wyman-Gordon* 48,700 968
----------
1,952
----------
AGRICULTURE -- 0.1%
Sylvan* 18,900 283
----------
283
----------
AIR TRANSPORTATION -- 1.1%
Airborne Freight 10,380 387
Alaska Airgroup* 7,800 361
America West Holdings, Cl B* 12,100 343
International Total Services* 51,600 1,084
Mesaba Holdings* 29,500 642
Skywest 15,000 649
----------
3,466
----------
AIRCRAFT -- 0.1%
BE Aerospace * 10,000 289
----------
289
----------
APPAREL/TEXTILES -- 2.5%
Ashworth* 8,200 104
Bon Ton Stores* 11,000 187
Burlington Industries* 21,800 383
Cone Mills* 36,900 355
Culp 12,600 220
Dan River* 18,000 344
Galey & Lord* 34,000 841
Guilford Mills 24,650 666
Happy Kids* 4,600 56
Interface 8,900 349
Kellwood 7,450 246
Kenneth Cole Production* 19,300 443
Nautica Enterprises* 16,700 488
Novel Denim Holdings* 6,900 179
Pillowtex 8,290 388
Quaker Fabric* 53,800 1,432
Quiksilver* 23,200 442
Tefron* 8,900 204
Tommy Hilfiger* 2,200 148
Worldtex* 13,600 92
----------
7,567
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
AUTOMOTIVE -- 1.8%
Arvin Industries 8,410 $ 312
Borg-Warner Automotive 19,750 1,126
Coachmen Industries 14,300 341
Delco Remy International * 16,500 279
Gentex* 6,500 238
Kaydon 20,000 789
Monaco Coach* 11,100 300
National R.V. Holdings* 1,400 56
Regal Beloit 51,400 1,677
Smith (A.O.) 8,600 434
----------
5,552
----------
BANKS -- 4.8%
Affiliated Community Bancorp 8,725 335
Albank Financial 4,940 257
Andover Bancorp 7,012 240
Astoria Financial* 7,800 429
Bank North Group 26,100 953
Bay View Capital 3,400 110
Carolina First 7,600 210
Commercial Federal 4,425 147
Community First Bankshares 11,000 268
Cullen/Frost Bankers 1,500 81
Dime Bancorp* 8,035 235
Dime Community Bancorp* 17,800 516
Downey Financial 37,984 1,258
Firstfed Financial* 30,900 1,516
Flushing Financial* 12,500 339
Hubco 3,854 136
Long Island Bancorp 24,200 1,495
Magna Group 7,400 411
Peoples Heritage Financial Group 7,200 162
PFF Bancorp* 41,200 806
Prime Bancshares* 17,000 453
Reliance Bancorp 7,200 275
Republic Bancorp 16,245 307
Resource Bancshares
Mortgage Group 10,300 180
Richmond County Financial* 40,600 771
Riggs National 8,900 244
Silicon Valley Bancshares* 5,000 164
SIS Bancorp 6,940 291
Southwest Bancorp of Texas* 5,200 205
Staten Island Bancorp* 45,200 1,014
T R Financial 10,010 448
Westamerica Bancorporation 3,900 120
----------
14,376
----------
13
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
BEAUTY PRODUCTS -- 0.3%
Block Drug, Cl A 3,811 $ 167
French Fragrances* 36,400 626
Playtex Products* 15,000 216
----------
1,009
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.2%
Big Flower Holdings* 29,100 893
Capstar Broadcasting Partners* 400 8
Cox Radio, Cl A* 2,800 118
Emmis Broadcasting* 18,800 831
Essex International* 55,100 1,353
Getty Images* 8,600 175
Lamar Advertising* 2,600 83
Scandanavian Broadcasting* 1,700 52
TMP Worldwide* 9,300 242
Univision Communications* 2,000 69
----------
3,824
----------
BUILDING & CONSTRUCTION -- 2.0%
Centex 10,660 381
Crossman Communities* 75,200 2,275
Engle Homes 17,800 254
Fairfield Communities* 11,500 235
Jacobs Engineering Group* 5,500 177
Lennar 14,800 392
MDC Holdings 23,590 357
Ryland Group 21,400 429
Toll Brothers* 11,800 304
US Home* 4,500 182
Walter Industries* 49,900 954
Willbros Group* 7,500 125
----------
6,065
----------
BUILDING & CONSTRUCTION SUPPLIES -- 0.7%
Griffon* 21,600 300
NCI Building Systems* 30,200 1,602
Nortek* 6,900 212
----------
2,114
----------
CHEMICALS -- 1.1%
Cambrex 18,000 1,007
Dexter 7,290 301
General Chemical Group 14,200 362
H.B. Fuller 4,710 295
OM Group 14,800 614
Special Devices* 6,100 232
Tredegar Industries 3,700 320
Wellman 3,700 89
----------
3,220
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COAL MINING -- 0.0%
Zeigler Coal Holding 5,500 $ 100
----------
100
----------
COMMUNICATIONS EQUIPMENT -- 2.0%
Applied Signal Technology* 29,500 352
CD Radio* 2,900 100
Concord Communications* 9,600 222
Dionex* 1,000 52
DM Management* 18,600 572
DSP Communications* 15,300 281
Echostar Communications* 3,400 86
Inter-Tel* 13,000 244
Melita International* 141,900 2,075
Mercury Interactive* 12,000 399
Nice Systems Ltd* 3,100 113
Pairgain Technologies* 4,300 67
Polycom* 13,500 186
Reltec* 1,900 70
Sawtek* 25,500 654
Tekelec* 6,200 276
Wavephore* 12,200 154
----------
5,903
----------
COMPUTERS & SERVICES -- 1.8%
Apex PC Solutions* 2,900 73
Avid Technology* 17,300 701
Comverse Technology* 5,695 285
Documentum* 2,100 99
Genicom* 25,300 202
HMT Technology* 23,700 276
Infinium Software* 11,200 157
Inspire Insurance Solutions* 9,400 307
Kentek Information Systems 15,500 133
Komag* 21,000 207
Maxwell Technologies* 8,200 220
Micros Systems* 5,500 323
National Computer Systems 12,520 304
Neomagic* 5,900 90
Network Appliance* 12,200 424
New Era of Networks* 9,500 256
Sequent Computer Systems* 10,000 166
Trident Microsystems* 6,200 43
Visual Networks* 6,100 216
Wang Laboratories* 42,200 1,013
----------
5,495
----------
CONCRETE & MINERAL PRODUCTS -- 0.2%
Ferro 9,750 279
Florida Rock Industries 8,960 279
----------
558
----------
14
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.5%
Maxwell Shoe* 12,600 $ 247
Public Service of New Mexico 25,690 557
Stride Rite 17,000 226
Timberland, Cl A* 4,800 394
Wolverine World Wide 7,750 191
----------
1,615
----------
CONTAINERS & PACKAGING -- 0.2%
Silgan Holdings* 9,000 299
US Can* 14,600 247
----------
546
----------
DRUGS -- 1.5%
Alpharma, Cl A 5,800 126
Anesta* 6,800 125
ChiRex* 7,200 153
Fuisz Technologies* 13,200 155
Guilford Pharmaceuticals* 14,400 260
Ivax 115,700 1,063
Jones Pharmaceuticals 3,000 92
Medco Research* 14,700 294
Medicis Pharmaceutical, Cl A* 8,000 326
Natural Alternatives International* 5,700 101
NBTY* 15,200 265
Ocular Sciences* 10,700 314
Parexel International* 7,000 210
Pathogenesis* 4,600 166
Rexall Sundown* 4,400 147
Sangstat Medical* 2,700 71
Sequus Pharmaceuticals* 26,200 298
Shire Pharmaceuticals Group PLC* 9,000 175
Twinlab* 3,400 126
Zonagen* 3,100 113
----------
4,580
----------
ELECTRICAL SERVICES -- 0.9%
Cleco 10,800 323
Commonwealth Energy System 10,730 408
El Paso Electric* 85,100 808
Esco Electronics* 13,400 240
Orange and Rockland Utility 1,600 85
Sierra Pacific Resources 8,760 301
Sigcorp 11,050 345
United Illuminating 5,700 270
----------
2,780
----------
ELECTRICAL TECHNOLOGY -- 0.3%
Belden 6,800 270
C&D Technologies 5,700 319
Marshall Industries* 8,700 269
----------
858
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
ENTERTAINMENT -- 1.3%
Ambassador International* 5,400 $ 152
Cinar Films, Cl B* 2,400 46
Cole National* 6,700 260
Family Golf Centers* 14,100 370
Premier Parks* 3,900 207
Primadonna Resorts* 23,500 408
Rio Hotel and Casino* 78,900 1,716
Royal Olympic Cruise Lines* 10,100 133
SFX Entertainment, Cl A* 10,000 442
Sportsline USA* 6,400 174
Vistana* 6,300 134
----------
4,042
----------
ENVIRONMENTAL SERVICES -- 0.3%
American Disposal Services* 9,300 364
Eastern Environmental Services* 11,800 336
Newpark Resources* 15,500 282
US Liquids* 1,200 27
----------
1,009
----------
FINANCIAL SERVICES -- 1.8%
Affiliated Managers Group* 7,700 276
Americredit* 10,600 346
Ameritrade Holding
Corporation, Cl A* 6,900 199
Century Business Services* 2,900 50
Coast Federal* 26,100 388
Dain Rauscher 5,200 295
Federated Investors* 7,600 136
Financial Federal* 11,300 265
Franchise Mortgage Acceptance* 12,400 273
Haven Bancorp 6,500 172
Healthcare Financial Partners* 5,000 246
IMC Mortgage* 21,500 282
Imperial Credit Industries* 13,600 287
JSB Financial 5,800 337
McDonald 31,900 957
Sirrom Capital 8,100 216
Southern Pacific Funding* 18,400 283
T&W Financial* 9,900 231
Travel Services* 8,100 282
----------
5,521
----------
FOOD, BEVERAGE & TOBACCO -- 0.9%
Adolph Coors, Cl B 8,560 321
American Italian Pasta* 1,900 68
M & F Worldwide* 16,800 164
Pilgrims Pride 8,600 147
Ralcorp Holdings* 46,200 985
Robert Mondavi* 1,400 50
Schweitzer-Manduit International* 5,400 179
Smithfield Foods* 10,800 292
Standard Commercial 6,763 75
Universal 7,900 297
----------
2,578
----------
15
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
GAS/NATURAL GAS -- 0.2%
Connecticut Energy 9,800 $ 285
Energen 9,720 197
Unit* 17,900 140
----------
622
----------
GLASS PRODUCTS -- 0.2%
Excel Industries 11,750 234
Libbey 8,400 331
----------
565
----------
HOTELS & LODGING -- 0.5%
Cavanaugh Hospitalty* 8,900 122
Fours Seasons Hotel 6,400 200
Pegasus Systems* 22,200 561
Prime Hospitality* 12,000 215
Silverleaf Resorts* 11,700 204
Suburban Lodges of America* 5,900 95
----------
1,397
----------
HOUSEHOLD FURNITURE & FIXTURES -- 1.3%
Bush Industries 7,800 210
Ethan Allen Interiors 12,400 624
Furniture Brands International* 21,700 640
Meadowcraft* 148,500 2,153
O'Sullivan Industries Holdings* 16,960 254
----------
3,881
----------
HOUSEHOLD PRODUCTS -- 1.2%
Advanced Lighting Technologies* 11,200 281
American Safety Razor* 28,250 337
Holophane* 10,000 262
Juno Lighting 12,900 274
Lifetime Hoan 178,600 1,976
Lilly Industries, Cl A 2,200 43
Royal Appliance Manufacturing* 17,000 88
Thomas Industries 11,365 291
Windmere 6,700 212
----------
3,764
----------
INSURANCE -- 4.1%
Allmerica Financial* 6,800 426
American Heritage 9,760 205
Delphi Financial Group, Cl A* 4,879 265
E.W. Blanch Holdings 14,500 546
Enhance Financial Services Group 6,200 404
Everest Reinsurance Holdings 6,500 253
Fidelity National Financial 8,500 284
First American Financial 6,220 449
FPIC Insurance Group* 8,200 287
Fremont General 5,480 313
Frontier Insurance Group 56,900 1,394
Harleysville Group 13,200 320
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
HCC Insurance Holdings 11,500 $ 246
Healthplan Services* 4,300 95
Highlands Insurance Group* 10,600 221
Horace Mann Educators 30,500 1,006
IPC Holdings 36,700 1,099
Lasalle Re Holdings 10,500 381
Life USA Holdings* 30,800 499
NS Group* 3,100 40
Orion Capital 6,370 359
Penn Treaty American* 4,500 138
PMI Group 4,600 346
Presidential Life 12,390 273
Renaissancere Holdings 10,400 486
RLI 5,440 284
State Auto Financial 7,800 251
Stirling Cooke Brown Holdings* 7,300 203
Terra Nova (Bermuda)
Holdings, Cl A* 15,600 460
Total Renal Care Holdings* 9,345 287
Vesta Insurance Group 4,200 221
WR Berkley 4,800 224
Zenith National Insurance 1,700 49
----------
12,314
----------
LEASING & RENTING -- 0.4%
Aaron Rents 16,000 313
Leasing Solutions* 8,600 241
Rental Service* 6,400 166
United Rentals* 4,200 145
Xtra 5,000 262
----------
1,127
----------
LEISURE PRODUCTS -- 0.6%
Fossil* 21,650 419
Metromedia International Group* 6,600 89
Movado Group 9,200 267
Standard Motor Products 21,700 477
Steinway Musical Instruments* 8,800 263
Velcro Industries 2,800 356
----------
1,871
----------
LUMBER & WOOD PRODUCTS -- 0.3%
American Woodmark 7,300 203
Modtech* 9,300 183
TJ International 19,610 567
Triangle Pacific* 1,500 66
----------
1,019
----------
MACHINERY -- 2.8%
Allied Products 7,250 156
Amcast Industrial 10,010 216
Aptar Group 4,500 292
Asyst Technologies* 17,900 295
Camco International 1,500 105
16
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Commercial Intertech 19,100 $ 363
CTB International* 10,100 153
Gardner Denver Machinery* 16,945 459
Gehl* 5,500 102
Gleason 8,400 248
Idex 1,500 55
Kuhlman 12,800 541
Lindsay Manufacturing 2,500 116
Micrel* 8,000 250
Moog* 24,900 974
Omniquip International* 97,000 2,128
Plasma-Therm* 3,600 30
Robbins and Myers 6,000 178
Roper Industries 39,000 1,294
Terex* 3,200 99
Varco International* 10,000 261
----------
8,315
----------
MANUFACTURING -- 0.3%
Donaldson 3,000 65
NCH 3,450 220
Watts Industries, Cl A 20,300 473
Zebra Technologies, Cl A* 6,000 230
----------
988
----------
MARINE TRANSPORTATION -- 0.8%
Avondale Industries* 60,660 1,706
Oak Industries* 11,700 408
Sea Containers 10,800 437
----------
2,551
----------
MEASURING DEVICES -- 0.3%
Chart Industries 6,800 156
Cyberonics* 9,600 109
Cyberoptics* 6,600 114
Esterline Technologies* 14,600 314
Veeco Instruments* 2,500 73
----------
766
----------
MEDICAL PRODUCTS & SERVICES -- 5.3%
1-800 Contacts* 9,300 139
Adac Laboratories 96,400 1,916
Algos Pharmaceuticals* 10,800 395
American Homepatient* 25,200 425
Del Global Technologies* 22,300 256
Digene* 7,300 59
Excel Technology* 152,000 1,539
Genesis Health Ventures* 14,300 362
Haemonetics* 20,900 319
Healthworld* 12,200 172
Hologic* 15,200 319
Idexx* 20,700 461
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Imation* 27,700 $ 504
Impath* 4,300 143
Integrated Health Services 40,800 1,517
Interim Services* 10,100 294
Invacare 6,000 158
Mariner Health Group* 15,500 231
Maxxim Medical* 16,500 386
Minimed* 6,000 300
National Surgery Centers* 7,500 209
Novacare* 76,360 840
Orthodontic Centers of America* 18,000 381
Paragon Health Network* 11,118 171
Pediatrix Medical Group* 8,300 300
PHP Healthcare* 4,400 40
Physio-Control International* 18,700 393
Prime Medical Services* 142,600 1,497
Res-Care* 11,100 350
Retirement Care Association* 17,395 137
Sabratek* 3,100 81
Safeskin* 9,400 329
Schick Technologies* 5,900 109
Sofamor/Danek Group* 3,200 266
Sun Healthcare Group* 11,000 185
Techne* 3,600 63
Theragenics* 4,500 125
Trigon Healthcare* 8,900 303
Visix Space* 4,200 206
Wesley Jessen* 9,300 251
----------
16,131
----------
METALS & MINING -- 0.2%
Cleveland Cliffs 6,500 344
Wolverine Tube* 7,500 274
----------
618
----------
MISCELLANEOUS BUSINESS SERVICES-- 9.6%
Abacus Direct* 10,200 511
ABM Industries 5,000 138
Acsys* 1,500 22
Acxiom* 6,000 130
Advo Systems* 13,600 341
Answerthink Consulting Group* 2,700 42
Arbor Software* 6,600 226
Aspen Technology* 7,000 312
Atlantic Data Services* 8,300 109
Barra* 77,300 1,575
Black Box* 4,500 179
Broadvision* 12,700 202
Brooktrout Tech* 14,300 262
Business Objects ADR* 14,400 243
C-Net* 2,000 73
Career Education* 9,900 245
Carey International* 3,800 84
17
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Cognex* 1,200 $ 23
Compass International Services* 122,000 1,434
Computer Learning Centers* 13,000 223
Computer Management Sciences* 4,600 109
Coventry Health Care* 17,100 248
CSG Systems International* 2,500 107
DA Consulting Group* 7,000 101
Datastream Systems* 13,400 285
Dataworks* 98,500 1,822
Day Runner* 6,600 145
Diamond Multimedia Systems* 22,100 169
Diamond Technology Partners* 4,700 109
Doubleclick* 3,800 132
E-trade Group* 10,600 229
Electronic Processing* 6,600 83
Engineering Animation* 1,850 93
Envoy* 14,900 654
FileNet* 3,600 198
Genesys Telecom Labs* 3,200 92
GT Interative Software* 34,500 323
Hall Kinion & Associates-
Information Technology* 15,500 219
Harbinger* 3,300 77
HNC Software* 14,900 515
Hooper Holmes 12,200 284
Hyperion Software* 21,900 708
Icon CMT* 10,000 157
IDT* 8,400 219
Information Advantage* 21,200 180
Information Management Resources* 1,300 29
Inso* 16,000 218
Intelligroup* 13,700 262
J.D. Edwards* 2,400 88
JDA Software Group* 12,400 560
Labor Ready* 23,300 788
Learning* 75,700 2,157
Legato Systems* 5,000 143
Macromedia* 13,200 209
Manugistics* 6,400 182
MAPICS* 4,200 74
Metzler Group* 12,000 335
Micromuse* 11,200 241
Midway Games* 35,215 475
Mindspring Enterprises* 2,500 133
Mobius Management Solutions* 800 11
National Instruments* 6,000 200
NCO Group* 5,900 132
Network Solutions* 6,000 222
Networks Associates* 2,200 135
Newsedge* 4,100 47
Nova* 3,100 102
Objective Systems Integrator* 7,300 54
On Assignment* 18,900 638
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Ovid Technologies* 10,800 $ 265
Peregrine Systems* 7,100 146
Pervasive Software* 22,000 253
Premisys Communications* 15,000 374
Project Software & Development* 31,800 716
QuadraMed* 2,600 63
Quickresponse Services* 6,500 231
Radiant Systems* 1,900 31
Real Network* 8,300 192
Ritchie Bros. Auctioneers* 12,100 328
Sapient* 2,200 98
Saville Systems Ireland ADR* 4,300 172
Siebel Systems* 4,700 107
Software AG Systems* 30,700 748
SPR* 2,600 73
Staff Leasing* 9,200 262
Staffmark* 7,200 265
Superior Services* 3,500 107
Systems and Computers
Technology* 26,200 671
Technology Solutions* 12,200 368
Transaction Systems Architects* 7,500 304
Transition Systems* 11,900 236
TSI International Software Ltd* 13,000 286
Vantive* 1,800 48
Verio* 300 7
Visio* 2,400 113
Wackenhut Corrections* 21,000 509
Wall Data* 14,300 185
Whittman-Hart* 4,900 200
Wind River Systems* 7,000 232
Xylan* 9,000 217
----------
28,874
----------
MISCELLANEOUS CONSUMER SERVICES-- 1.1%
Carriage Services* 9,400 202
G&K Services 6,000 234
Lamalie Associates* 8,900 166
Metamor Worldwide* 2,000 60
Regis 6,500 182
Robert Half International* 600 30
Romac International* 3,600 101
Sos Staffing Services* 101,000 1,970
Steiner Leisure* 11,250 335
Unifirst 5,000 129
----------
3,409
----------
MISCELLANEOUS MANUFACTURING -- 2.4%
AFC Cable Systems* 29,150 984
Artesyn Technologies* 6,500 107
Cable Design Technologies* 11,250 265
Coastcast* 29,000 540
Culligan Water Technologies* 4,700 262
18
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EVI Weatherford* 2,600 $ 131
General Cable* 21,300 564
Hexcel* 9,000 246
Kemet* 90,600 1,458
Mac-Gray* 12,400 178
Media Arts Group* 14,500 282
N2K* 10,200 201
RMI Titanium* 7,400 159
Superior Telecom* 6,900 273
Varlen 46,400 1,572
----------
7,222
----------
OFFICE FURNITURE & FIXTURES -- 0.2%
Kimball International, Cl B 10,520 259
Knoll* 7,000 221
----------
480
----------
PAPER & PAPER PRODUCTS -- 0.5%
American Pad & Paper* 14,200 94
Buckeye Technologies* 22,200 501
Gaylord Container* 53,600 449
Shorewood Packaging* 37,800 522
----------
1,566
----------
PETROLEUM & FUEL PRODUCTS -- 1.2%
Berry Petroleum 38,500 549
Cabot Oil & Gas, Cl A 3,100 63
Cross Timbers Oil 13,650 236
Edge Petroleum* 7,500 92
Giant Industries 11,700 220
Grey Wolf* 11,000 43
Key Energy Group* 3,400 56
Marine Drilling* 19,600 369
Pool Energy Services* 9,600 196
Pride International* 12,500 280
Seacor Holdings* 9,000 527
Seitel* 11,600 197
Veritas DGC* 11,700 606
Wiser Oil 11,530 120
----------
3,554
----------
PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.1%
Pinnacle Systems* 7,500 252
----------
252
----------
PRINTING & PUBLISHING -- 1.0%
Bowne 14,400 617
Journal Register* 9,800 196
Lone Star Industries 8,390 631
New England Business Service 4,000 130
Southdown 5,600 368
Standard Register 8,210 296
World Color Press* 29,200 878
----------
3,116
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PROFESSIONAL SERVICES -- 3.0%
ABR Information Services* 7,400 $ 190
American Oncology Resources* 17,000 217
Balanced Care Group* 47,600 381
CDI* 5,000 184
Corporatefamily Solutions* 4,700 108
Devry* 7,000 279
Ecsoft Group PLC* 17,400 487
Educational Management* 14,800 518
Equity International* 18,300 435
Indigo Aviation AB-
Sponsored ADR* 21,800 251
International Network Services* 17,000 533
Personnel Group of America* 14,600 296
Phymatrix* 86,500 811
Pre Paid Legal* 1,500 53
Preview Travel* 7,700 218
Professional Detailing* 1,400 29
Promedco Management* 140,400 1,571
Provant* 3,100 62
Stein Mart* 104,600 1,647
Strayer Education 4,300 151
Sylvan Learning Systems* 8,250 252
Tetra Tech* 11,250 248
White Cap Industries* 4,100 86
----------
9,007
----------
RAILROADS -- 0.1%
Canadian National Railway 5,300 313
Rural/Metro* 2,500 59
----------
372
----------
REAL ESTATE -- 2.5%
Arden Reality Group, REIT* 23,000 631
Brandywine Realty Trust, REIT 8,900 206
Burnham Pacific Properties, REIT 15,900 224
CB Richard Ellis Services* 9,000 303
Equity Inns, REIT 22,600 323
Golf Trust of America, REIT 12,300 403
Healthcare Realty Trust, REIT 8,700 246
Home Properties of
New York, REIT 13,100 350
Intrawest 16,300 323
Kilroy Realty, REIT 36,100 945
Mid-America Apartment
Communities, REIT 16,000 431
Pacific Gulf Properties, REIT 8,700 189
RFS Hotel Investors, REIT 139,500 2,773
Resourtquest International* 5,500 84
----------
7,431
----------
19
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
REPAIR SERVICES -- 0.0%
Central Parking 2,900 $ 130
----------
130
----------
RETAIL -- 13.0%
Ames Department Stores* 18,600 459
Ann Taylor Stores* 28,300 617
Applebees International 58,900 1,436
Boise Cascade Office Products* 33,700 577
Bombay* 4,100 18
Brylane* 10,400 494
Buckle* 6,700 342
Building Material Holding* 21,200 289
Burlington Coat Factory
Warehouse* 82,860 1,662
Cash America International 12,380 209
Children's Place Retail Stores* 234,600 2,669
CKE Restaurants 5,115 162
Claire's Stores 105,300 1,981
Compucom Systems* 39,100 286
Cost Plus* 4,800 142
Dollar Tree Stores* 2,500 129
Dress Barn* 23,370 677
Duck-Wall Alco Stores* 7,100 128
Eagle Hardware & Garden* 3,500 64
Fingerhut 12,100 355
Finish Line* 88,900 2,111
Finlay Enterprises* 77,300 1,981
Foodmaker* 5,000 84
Footstar* 19,300 853
Gadzooks* 83,300 2,325
Genesco* 19,900 256
Genesis Direct* 3,200 37
Global Directmail* 123,300 2,543
Goodys Family Clothing* 5,500 265
Homebase* 83,800 728
Hot Topic* 11,400 262
Information Management
Associates* 68,000 740
Landry's Seafood Restaurants* 10,500 238
Lithia Motors* 6,500 91
Little Switzerland* 27,600 154
Longs Drug Stores 44,900 1,361
Marks Brothers Jewelers* 94,500 1,689
Men's Wearhouse* 2,300 98
Michaels Stores* 8,600 257
Nichols Research* 3,650 88
O'Charleys* 10,000 208
Pacific Sunwear of California* 20,800 931
Papa John's International* 5,700 237
Paul Harris Stores* 74,100 954
Pier 1 Imports 15,300 368
Piercing Pagoda* 4,400 154
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PJ America* 5,000 $ 99
Ross Stores* 6,600 291
Ruddick 48,400 865
Ryan's Family Steak Houses* 30,530 311
Shopko Stores 69,650 2,429
Showbiz Pizza Time* 9,900 351
Sonic* 15,300 317
St. John Knits 5,000 192
Track 'n Trail* 169,000 1,162
Tropical Sportswear* 16,900 322
U.S. Office Products* 5,100 86
Whole Foods Market* 4,599 253
Williams Sonoma* 3,800 105
Zale* 27,900 863
----------
39,355
----------
RUBBER & PLASTIC -- 0.2%
Carlisle Companies 4,300 208
Hanna 15,900 319
----------
527
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 2.1%
Aavid Thermal Technologies* 6,500 180
Applied Micro Circuits* 18,600 419
AVX 23,300 440
Burr-Brown* 9,325 239
Cymer* 5,300 101
DSP Group* 10,200 200
Etec Systems* 8,100 296
Galileo Technology Ltd* 4,200 89
Herley Industries* 12,100 160
Herley Industries (WTS)* 6,600 12
Hutchinson Technology* 8,500 213
Level One Communications* 16,725 446
Memc Electronic Materials* 17,900 243
MMC Networks* 7,200 187
MRV Communications* 3,700 86
Photronics Labs* 6,700 177
PMC Sierra* 16,600 646
Qlogic* 7,300 296
Remec* 14,800 213
RF Micro Devices* 9,000 115
Sanmina* 300 23
Semtech* 12,900 271
Stoneridge* 29,900 665
Technitrol 4,800 194
Transwitch* 8,600 118
Vitesse Semiconductor* 8,200 210
----------
6,239
----------
SPECIALTY CONSTRUCTION -- 0.2%
DR Horton* 8,000 144
20
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Insituform Technologies* 24,600 $ 317
Oakwood Homes 5,000 136
----------
597
----------
SPECIALTY MACHINERY -- 0.1%
Fedders 24,400 146
Pameco* 7,300 134
----------
280
----------
STEEL & STEEL WORKS -- 1.1%
Bethlehem Steel* 20,700 254
Inland Steel Industries 12,270 351
LTV 50,300 550
National Steel, Cl B* 65,830 1,037
Oregon Steel Mills 14,400 348
Precision Castparts 2,000 115
Quanex 5,800 180
Reliance Steel & Aluminum 7,740 296
WHX* 19,000 261
----------
3,392
----------
TELEPHONES & TELECOMMUNICATION -- 1.0%
Boston Communications Group* 12,000 103
Brightpoint* 18,000 285
Com21* 3,100 45
Concentric Network* 6,200 137
Exodus Communications* 6,900 236
Metromedia Fiber Network* 2,700 110
MGC Communications* 2,200 37
Pacific Gateway Exchange* 700 30
Princeton Video Image* 185,200 926
Skytel Communications* 9,800 222
Telegroup* 3,700 49
United Video Satellite Group* 10,500 409
World Access* 9,100 286
----------
2,875
----------
TESTING LABORATORIES -- 0.2%
Celgene* 10,700 106
Curative Health Services 8,400 236
International Telecommunications
Data Systems* 9,400 231
----------
573
----------
TRANSPORTATION SERVICES -- 0.1%
GATX 4,390 361
----------
361
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
TRUCKING -- 1.8%
Air Express International 3,000 $ 77
Arkansas Best* 10,500 102
Budget Group, Cl A* 9,000 266
Expeditors International of
Washington 7,300 292
Heartland Express* 2,000 44
Hunt JB Transportation Services 6,000 180
Iron Mountain* 7,100 295
Motor Cargo Industries* 145,800 1,823
Roadway Express 7,000 132
Rollins Truck Leasing 64,700 776
Suiza Foods* 5,950 348
Swift Transportation* 8,250 184
US Freightways 16,920 533
Werner Enterprises 7,500 143
Yellow* 9,020 169
----------
5,364
----------
WATER UTILITIES -- 0.0%
California Water Service Group 7,340 163
----------
163
----------
WHOLESALE -- 4.2%
Amerisource Health* 4,000 218
Barnes Group 10,160 302
Bindley Western Industries 9,000 320
BJ's Wholesale Club* 73,800 2,915
Cameron Ashley Building Products* 8,100 142
Central Garden and Pet* 12,000 355
CHS Electronics* 25,300 503
Greenbrier 44,900 808
Insight Enterprises* 10,200 319
Marquette Medical Systems, Cl A* 19,700 552
Meade Instruments* 65,200 676
Michael Foods 12,900 360
North Face* 12,700 315
Patterson Dental* 10,000 325
Performance Food Group* 6,500 122
Richardson Electronics 135,600 1,788
Richfood Holdings 6,100 149
SCP Pool* 7,400 178
Sed International Holdings* 5,090 45
Serologicals* 7,900 233
Tower Automotive* 27,700 1,300
United Stationers 8,200 489
US Foodservice* 8,000 265
----------
12,679
----------
Total Common Stocks
(Cost $254,281) 279,049
----------
21
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
SMALL CAP FUND--CONCLUDED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.7%
U.S. Treasury Bill (A)
5.340%, 06/25/98 $2,000 $ 1,994
----------
Total U.S. Treasury Obligation
(Cost $1,993) 1,994
----------
REPURCHASE AGREEMENT -- 9.3%
Merrill Lynch
5.470%, dated 05/29/98, matures
06/01/98, repurchase price
$28,126,000 (collateralized
by various U.S Treasury, RFIN
and FICO obligations, total par
value $39,092,000, 0.000-8.875%,
11/12/98-04/15/30, total
market value: $28,792,000) 28,113 28,113
----------
Total Repurchase Agreement
(Cost $28,113) 28,113
----------
Total Investments--102.2%
(Cost $284,387) 309,156
----------
* NON-INCOME PRODUCING SECURITY
(A) SECURITY SEGREGATED TO COLLATERALIZE FUTURE CONTRACTS WITH AN AGGREGATE
MARKET VALUE OF $24,761,850.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FICO -- FINANCING CORPORATION
LTD -- LIMITED
PLC -- PUBLIC LIMITED COMPANY
REIT -- REAL ESTATE INVESTMENT TRUST
RFIN -- RESOLUTION FUNDING CORPORATION
WTS -- WARRANTS
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 33.4%
U.S. Treasury Bill (C)
5.090%, 09/03/98 $ 1,450 $ 1,431
U.S. Treasury Bonds
10.750%, 08/15/05 18,225 23,649
9.250%, 02/15/16 60,845 83,375
6.375%, 08/15/27 18,090 19,436
6.125%, 11/15/27 20,450 21,382
U.S. Treasury Notes
5.000%, 01/31/99 450 449
5.750%, 09/30/99 1,900 1,905
5.875%, 11/15/99 1,760 1,768
6.375%, 01/15/00 525 532
5.500%, 02/29/00 3,140 3,138
5.875%, 09/30/02 16,710 16,883
5.750%, 10/31/02 1,300 1,307
5.750%, 11/30/02 700 704
5.625%, 12/31/02 2,000 2,003
10.750%, 02/15/03 400 484
5.500%, 02/28/03 30,700 30,596
3.375%, 01/15/07 (D) 7,848 7,618
3.625%, 01/15/08 (D) 35,650 35,304
3.625%, 04/15/28 (D) 1,300 1,293
U.S. Treasury STRIPS
5.980%, 11/15/21 6,470 1,624
----------
Total U.S. Treasury Obligations
(Cost $249,525) 254,881
----------
CORPORATE OBLIGATIONS -- 22.1%
AEROSPACE & DEFENSE -- 1.0%
TCI Communications
8.750%, 08/01/15 6,700 7,906
----------
7,906
----------
AIR TRANSPORTATION -- 0.9%
Boeing (B)
6.625%, 02/15/38 5,000 5,038
Federal Express
9.650%, 06/15/12 1,275 1,592
9.625%, 10/15/19 150 161
----------
6,791
----------
AUTOMOTIVE -- 1.0%
Ford Motor Capital
7.700%, 05/15/97 1,300 1,456
10.125%, 11/15/00 1,525 1,664
9.500%, 07/01/01 4,000 4,380
----------
7,500
----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
BANKS -- 3.7%
ABN Amro Bank of Chicago
6.625%, 10/31/01 $1,000 $ 1,014
BankAmerica
9.200%, 05/15/03 150 169
Chase Manhattan
8.625%, 05/01/02 1,000 1,086
Continental Bank, N.A.
12.500%, 04/01/01 1,000 1,164
Equitable
9.000%, 12/15/04 700 798
First Chicago
9.875%, 08/15/00 450 485
11.250%, 02/20/01 2,000 2,255
First Chicago Bank
8.875%, 03/15/02 2,700 2,940
First National Bank of Omaha
7.320%, 12/01/10 250 260
First USA Bank of
Wilmington Delaware
6.375%, 10/23/00 4,090 4,121
J.P. Morgan Capital
7.950%, 02/01/27 200 217
Korea Development Bank
7.125%, 09/17/01 540 492
Midlantic
9.200%, 08/01/01 600 652
Midland Bank
6.950%, 03/15/11 1,750 1,807
National Bank of Hungary
8.875%, 11/01/13 650 754
NCNB Bank
10.200%, 07/15/15 1,950 2,650
Security Pacific
11.000%, 03/01/01 2,750 3,083
Sumitomo Bank International
9.550%, 07/15/00 2,000 2,120
Swiss Bank
7.375%, 07/15/15 1,200 1,290
7.000%, 10/15/15 300 312
Westpac Banking
7.875%, 10/15/02 500 531
----------
28,200
----------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.6%
Continental Cablevision
8.875%, 09/15/05 525 595
9.000%, 09/01/08 800 937
9.500%, 08/01/13 2,350 2,749
----------
4,281
----------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
CHEMICALS -- 0.1%
Rohm & Haas
9.500%, 04/01/21 $ 600 $ 674
----------
674
----------
ELECTRICAL SERVICES -- 2.4%
Arizona Public Service
Pvngs II Funding
8.000%, 12/30/15 1,000 1,106
Boston Edison
9.875%, 06/01/20 800 902
Boston Edison First Mortgage
9.375%, 08/15/21 3,050 3,481
Commonwealth Edison
9.750%, 02/15/20 1,000 1,087
9.875%, 06/15/20 493 593
Deseret Generator &
Transportation Cooperative
9.375%, 01/02/11 172 179
Hydro Quebec
8.050%, 07/07/24 5,450 6,451
Korea Electric Power
7.750%, 04/01/13 540 424
6.750%, 08/01/27 450 376
Mobile Energy Services
8.665%, 01/01/17 279 156
Province of New Foundland
10.000%, 12/01/20 1,200 1,671
Public Services Electric & Gas
7.625%, 02/01/00 200 205
Quebec Province
11.000%, 06/15/15 1,000 1,119
System Energy Resources
7.430%, 01/15/11 364 377
----------
18,127
----------
ENTERTAINMENT -- 0.3%
News America Holdings
10.125%, 10/15/12 600 698
Time Warner
9.125%, 01/15/13 1,175 1,431
----------
2,129
----------
FINANCIAL SERVICES -- 5.8%
American General
9.625%, 07/15/00 440 471
Associated P&C Holdings (B)
6.750%, 07/15/03 4,000 4,040
BankAmerica
8.375%, 03/15/02 800 857
Bear Stearns
6.500%, 06/15/00 1,450 1,465
23
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
CORE FIXED INCOME FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Countrywide Capital I
8.000%, 12/15/26 $ 600 $ 626
Dresdner Bank
7.250%, 09/15/15 1,750 1,859
Fleet Financial Group
6.875%, 03/01/03 1,000 1,028
Ford Capital Note
9.875%, 05/15/02 1,550 1,752
Ford Motor Capital
9.500%, 06/01/10 1,000 1,238
GMAC
6.610%, 06/15/15 2,600 858
Goldman Sachs
6.250%, 02/01/03 800 799
Household Finance
9.625%, 07/15/00 815 872
J.P. Morgan Commercial Mortgage
Finance, Ser 1997-C5, Cl X,
CMO, IO (A) (B)
1.970%, 09/15/29 6,545 595
Lehman Brothers
9.875%, 10/15/00 1,625 1,759
6.125%, 02/01/01 1,750 1,750
Lehman Brothers Holdings
8.875%, 03/01/02 2,600 2,824
Lehman Brothers Holdings, MTN
8.875%, 02/15/00 550 575
Merrill Lynch
7.430%, 09/01/22 885 916
Paine Webber Group
6.930%, 08/15/03 325 332
6.730%, 01/20/04 150 152
8.875%, 03/15/05 1,100 1,243
Salomon Brothers
7.750%, 05/15/00 225 232
7.500%, 02/01/03 750 784
6.750%, 02/15/03 1,650 1,675
7.000%, 06/15/03 2,000 2,055
US West Capital Funding
7.900%, 02/01/27 1,000 1,204
Wharf International Finance
7.625%, 03/13/07 575 484
Zurich Capital Trust (B)
8.376%, 06/01/37 10,300 11,446
----------
43,891
----------
FOOD, BEVERAGE & TOBACCO -- 0.5%
Philip Morris
7.000%, 07/15/05 750 772
Nabisco
6.375%, 02/01/35 3,000 2,955
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
RJR Nabisco
8.750%, 08/15/05 $ 250 $ 264
8.500%, 07/01/07 100 103
----------
4,094
----------
GAS/NATURAL GAS -- 0.2%
K N Energy
9.625%, 08/01/21 1,400 1,586
----------
1,586
----------
INSURANCE -- 0.2%
Allstate Insurance
7.500%, 06/15/13 1,000 1,075
Loew's
7.625%, 06/01/23 450 474
----------
1,549
----------
LEASING & RENTING -- 0.2%
General Motors
9.625%, 12/01/00 1,271 1,376
----------
1,376
----------
LUMBER & WOOD PRODUCTS -- 0.3%
Georgia Pacific
9.500%, 12/01/11 1,300 1,620
9.875%, 11/01/21 300 340
----------
1,960
----------
MACHINERY -- 0.0%
Tenneco
7.450%, 12/15/25 125 131
----------
131
----------
MISCELLANEOUS MANUFACTURING -- 1.4%
N R G Energy (B)
7.625%, 02/01/06 2,000 2,108
Northrop-Gruman
9.375%, 10/15/24 2,990 3,581
Phillips Petroleum
9.180%, 09/15/21 1,200 1,329
Pohang Iron & Steel
7.125%, 07/15/04 500 420
7.375%, 05/15/05 250 209
YPF Sociedad Anonima
7.750%, 08/27/07 3,000 2,944
----------
10,591
----------
24
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
MISCELLANEOUS TRANSPORTATION -- 1.3%
British Aerospace Financial (B)
7.500%, 07/01/27 $4,600 $ 5,100
Union Pacific
7.000%, 02/01/16 5,000 5,050
----------
10,150
----------
PAPER & PAPER PRODUCTS -- 0.2%
Federal Paperboard
8.875%, 07/01/12 300 365
Union Camp
10.000%, 05/01/19 550 594
Weyerhaeuser
7.250%, 07/01/13 325 349
----------
1,308
----------
PRECIOUS METALS -- 0.0%
Wharf Capital
8.875%, 11/01/04 375 359
----------
359
----------
RETAIL -- 0.7%
Dayton Hudson
10.000%, 01/01/11 350 446
8.600%, 01/15/12 175 207
J.C. Penney
9.750%, 06/15/21 1,200 1,338
Loew's
7.000%, 10/15/23 1,350 1,335
May Department Stores
9.875%, 06/15/21 1,500 1,712
----------
5,038
----------
TELEPHONES & TELECOMMUNICATION -- 0.9%
GTE
10.250%, 11/01/20 300 335
6.940%, 04/15/28 690 699
New York Telephone
9.375%, 07/15/31 2,768 3,183
Tele-Communications
9.250%, 01/15/23 150 171
U.S. West Communication
8.875%, 06/01/31 2,200 2,472
----------
6,860
----------
WATER UTILITIES -- 0.4%
Hydro Quebec, Ser FU
11.750%, 02/01/12 820 1,201
Hydro Quebec, Ser GW
9.750%, 01/15/18 1,300 1,482
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Norsk Hydro A/S
9.000%, 04/15/12 $ 525 $ 651
----------
3,334
----------
Total Corporate Obligations
(Cost $163,753) 167,835
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.1%
FNMA STRIPS
9.000%, 09/25/25 264 280
Resolution Trust Funding STRIPS
6.230%, 10/15/20 175 45
Resolution Funding STRIPS
6.230%, 01/15/21 1,000 255
Resolution Trust Funding
8.625%, 01/15/30 250 335
----------
Total U.S. Government Agency Obligations
(Cost $803) 915
----------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 29.2%
FHLMC
9.500%, 09/01/05 1,020 1,072
9.000%, 12/01/05 30 31
7.000%, 05/01/07-06/10/28 14,508 14,752
8.500%, 09/01/08-04/01/09 2,173 2,298
8.000%, 04/01/08-08/01/26 6,733 6,968
7.500%, 08/01/10-08/01/27 1,237 1,277
6.500%, 01/01/11 172 173
9.750%, 10/01/14 464 501
6.000%, 10/01/23 1,916 1,863
FHLMC REMIC Ser 1, Cl Z
9.300%, 04/15/19 595 636
FHLMC REMIC Ser 1563, Cl B (C)
8.300%, 08/15/08 332 336
FNMA REMIC Ser 1996-56 Cl E
8.431%, 04/25/23 52 44
FHLMC Ser 1997-A, Cl A
7.350%, 04/15/19 1,661 1,727
FHLMC TBA
6.000%, 06/15/13 4,000 3,951
6.500%, 06/15/13 3,000 3,020
FNMA
6.750%, 07/30/07 400 408
8.000%, 11/01/10-06/01/28 6,963 7,207
8.500%, 09/01/13 23 24
6.500%, 06/15/13-06/10/28 33,710 33,728
6.491%, 08/25/23 34 33
6.000%, 02/01/26-06/01/28 32,760 32,037
7.000%, 06/10/28 6,350 6,429
7.500%, 06/01/28 10,000 10,263
25
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
CORE FIXED INCOME FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 1997-G5
7.050%, 06/25/04 $ 2,078 $ 2,113
FNMA PO
7.388%, 08/25/23 81 71
FNMA REMIC
5.500%, 08/25/20 2,009 1,956
FNMA REMIC Ser 1990-106, Cl-J
8.500%, 09/25/20 412 432
FNMA REMIC Ser 1991-156, Cl A
7.500%, 10/25/21 1,528 1,552
FNMA Ser 97-15 (A)
6.200%, 04/25/27 1,487 1,490
GNMA
6.500%, 08/15/23-06/01/28 38,974 38,747
7.000%, 12/15/23-04/15/28 395 402
GNMA
8.500%, 11/15/00 17 18
7.500%, 09/15/06-06/01/28 14,571 15,005
9.500%, 09/15/09 292 316
7.375%, 06/20/21 3,374 3,456
8.000%, 05/15/24-10/15/25 2,468 2,566
GNMA (A)
7.375%, 04/20/25 1,214 1,244
GNMA ARM (A)
7.000%, 10/20/22 636 651
GNMA TBA
7.000%, 06/01/28 15,960 16,184
SLMA (A)
6.147%, 07/25/11 1,600 1,604
SLMA Ser 1996-3 A1 (A)
5.707%, 10/25/04 2,677 2,675
SLMA Ser 1997-3, Cl A-1, ARM (A)
5.817%, 04/25/06 3,410 3,400
SLMA Ser 1998-1, Cl A-2 (A)
5.977%, 10/25/11 500 499
----------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $221,692) 223,159
----------
ASSET-BACKED SECURITIES -- 7.3%
American Airlines
9.780%, 11/26/11 585 696
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Asset Securitization, Ser 1995-D4
7.100%, 08/13/29 $1,346 $ 1,406
Asset Securitization,
Ser 1997-D4, Cl A1-C
7.420%, 04/14/29 3,000 3,203
AT&T Universal Credit Card
Master Trust 1995-2 A
5.950%, 10/17/02 945 949
Banc One Credit Card Master
Trust, Ser 1995-B, Cl A
6.300%, 09/15/00 4,100 4,146
Brazos Student Loan Finance,
Ser 1998-A, Cl A2 (A)
6.180%, 06/01/23 1,000 1,004
Citibank Credit Card Master
Trust I, Ser 1996-1, Cl A, PO
5.927%, 02/07/03 1,000 851
Delta Funding Hel, Ser 1998-1,
Cl A1-F (A)
5.800%, 10/25/17 2,398 2,398
Chase Manhattan Auto
Grantor Trust, Ser 1996-B, Cl A
6.610%, 09/15/02 145 146
Chase Master Credit Card
Trust I, Ser 1995-2, Cl A
6.230%, 06/15/03 6,000 6,060
Chevy Auto Receivables Trust,
Ser 1996-2, Cl A
5.900%, 07/15/03 215 215
Citibank Credit Card Master
Trust I, Ser 1996-1, Cl A
5.904%, 02/07/03 6,400 5,445
Discover Card Acceptance,
Ser 1995-2, Cl A
6.550%, 02/18/03 775 786
First Chicago Master Trust II,
Ser 1994-L, Cl A
7.150%, 04/15/01 3,075 3,123
First Union-Lehman Brothers
CMO, IO, Ser 1997-C2, Cl IO
12.170%, 11/18/27 2,100 188
IBM Credit Receivables Lease
Asset Master Trust, Ser 93-1, Cl A
4.550%, 11/15/00 145 145
Keycorp Auto Grantor Trust,
Ser 1995-A, Cl A
5.800%, 07/15/00 86 87
Metropolitan Asset Funding
REMIC, Ser 97-B
7.130%, 03/22/12 3,000 3,049
26
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Metropolitan Asset Funding
REMIC, Ser 97-B, Cl A-1B
6.670%, 12/20/06 $3,000 $ 3,026
NationsBank, Ser 1995-1, Cl A
6.450%, 04/15/03 1,025 1,041
Premier Auto Trust, Ser 1993-5, Cl A2
4.220%, 03/02/99 313 313
Premier Auto Trust, Ser 1993-5, Cl B
4.450%, 03/02/99 34 34
Rural Housing Trust, REMIC,
Ser 1987-1B
3.330%, 10/01/28 841 813
Sears Credit Account Master
Trust, Ser 1994-1, Cl A
7.000%, 08/15/00 1,025 1,039
Sears Credit Account Master
Trust, Ser 1995-3, Cl A
7.000%, 10/15/04 1,300 1,328
Structured Asset Securities
Ser 1998-C2A, Cl A (A)
5.830%, 01/25/13 600 600
Structured Product Asset (A) (B)
5.750%, 07/20/98 10,000 10,000
Toyota Auto Receivable
Grantor Trust
5.850%, 03/15/01 533 534
United Airlines Equipment,
Ser 1991, Cl C
10.360%, 11/12/12 1,445 1,857
Western Financial Grantor Trust,
Ser 1995-2, Cl A1
7.100%, 07/01/00 1,017 1,024
----------
Total Asset-Backed Securities
(Cost $54,436) 55,506
----------
MORTGAGE-BACKED OBLIGATIONS -- 10.9%
Advanta Credit Card Master
Trust II Ser 96-A, Cl A-1
6.000%, 11/15/05 3,220 3,291
Amresco Commercial, CMO
Ser 1997-C1, Cl A3
7.190%, 06/17/29 1,930 2,004
Arbors of Little Rock
7.450%, 01/01/39 950 993
Bell Tower Apartments
7.000%, 06/30/39 1,525 1,558
Castle Terrace
8.000%, 05/01/37 500 538
Caterpillar Financial Asset Trust,
Ser 1996-A, Cl A3
6.300%, 05/25/02 3,461 3,477
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Cadillac Lofts
6.875%, 03/30/39 $1,258 $ 1,265
Chase Commercial Mortgage
7.370%, 02/19/07 5,221 5,449
CLC Excelsior II Apartments
7.875%, 02/01/39 500 538
Colonial Apartments
7.050%, 01/31/39 1,288 1,322
Compass Pointe Apartments
7.062%, 05/31/39 1,418 1,438
Contimortgage Home Equity
Loan Trust, Ser 1998-1, Cl A2
6.180%, 07/15/12 9,000 9,032
Creekwood
7.300%, 11/30/38 1,000 1,047
Empire Funding Home Loan
Owner Trust, Ser 1997-4, Cl A1 (A)
5.740%, 01/25/08 2,019 2,019
Evergreen Tower
7.250%, 01/01/39 975 1,008
First Plus Home Loan Trust,
Ser 1998-2, Cl A1 (A)
5.760%, 12/10/08 4,929 4,927
Green Tree Financial,
Ser 1994-5, Cl A2
7.300%, 11/15/19 831 836
Green Tree Financial,
Ser 1995-3, Cl A
6.650%, 08/15/25 888 893
Green Tree Financial,
Ser 1996-10, Cl A6
7.300%, 11/15/28 400 422
Green Tree Financial,
Ser 1997-1, Cl A-6
7.290%, 03/15/28 350 364
Green Tree Financial,
Ser 1998 B, Cl A4
6.390%, 02/15/25 2,000 2,001
Green Tree Recreational,
Ser 1998-A, Cl A1H
6.710%, 05/15/29 1,172 1,170
GSMS 98-1 A CMO
8.000%, 08/19/19 1,100 1,152
Holt Apartments
7.275%, 07/30/38 579 602
Keystone Owner Trust,
Ser 1998-P1, Cl A1
6.620%, 11/25/08 2,260 2,260
Merit Securities CMO
Ser 11, Cl 1A1
6.580%, 07/28/22 900 900
27
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
CORE FIXED INCOME FUND--CONCLUDED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Cl 1996-C2
6.960%, 11/21/28 $ 225 $ 221
Merrill Lynch Mortgage Investors,
Cl 1996-C2, Ser A3
6.960%, 11/21/28 6,700 6,972
Nomura Asset Securities,
Ser 1996-MD5, Cl A1B
7.120%, 04/13/36 3,000 3,150
Renaissance Place
7.375%, 08/01/37 805 841
Residential Asset Securitization
Trust, Ser 98-A8, Cl A1
6.750%, 06/25/28 1,000 999
Residential Accredit Loans,
Ser 1998-QS05, Cl A1
6.750%, 04/25/28 1,690 1,693
Residential Accredit Loans,
Ser 1998-QS4, Cl A1
6.500%, 03/25/28 1,161 1,158
Residential Accredit Loans,
Ser 1997-QS10, Cl A1
7.250%, 10/25/27 514 519
Residential Asset Securitization,
Ser 1998-A6, Cl A1
6.750%, 03/01/28 1,800 1,801
Rosewood
8.000%, 07/01/37 500 539
Ryland Mortgage Ser 1994-7A, Cl A2
7.000%, 08/25/25 746 750
Sanctuary At Tuttle Crossing
8.250%, 06/01/37 490 532
Shavano Park
7.875%, 07/01/38 580 620
Somerford Place Facility
7.475%, 12/30/38 982 1,033
The Money Store Residential
Trust, Ser 97-2, Cl A1
6.650%, 11/15/07 816 818
Tuttle's Grove
6.875%, 08/31/38 1,139 1,162
UCFC Home Equity Loan,
Ser 95-B-1, Cl A5
7.250%, 12/10/20 1,600 1,644
UCFC Home Equity Loan,
Ser 1998-A, Cl A1 (A)
5.740%, 07/15/11 5,659 5,658
Union Planters Mortgage
Finance, CMO, Ser 1998-1, Cl A1
6.350%, 01/25/28 1,275 1,275
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000)/CONTRACTS VALUE (000)
- --------------------------------------------------------------------------------
Village At Stone Falls
7.375%, 08/29/37 $ 443 $ 462
Villages At Clear Springs
7.625%, 09/30/38 1,004 1,064
----------
Total Mortgage-Backed Obligations
(Cost $82,517) 83,417
----------
OPTIONS -- 0.0%
September U.S. Long Bond Future,
July Call, Strike Price $120.00 33 6
September 5 yr. U.S. Treasury
Note Future, July Put,
Strike Price $109.00 60 12
September 5 yr. U.S. Treasury
Note Future, August Call,
Strike Price $110.50 112 18
June Euro$ Future, June Call,
Strike Price $94.25 106 9
September Euro$ Future,
September Call, Strike Price $94.50 54 18
----------
Total Options
(Cost $133) 63
----------
OPTIONS SOLD SHORT -- 0.0%
September U.S. Long Bond,
July Put, Strike Price $119.00 (33) (5)
----------
Total Options Sold Short
(Cost ($6)) (5)
----------
MUNICIPAL BOND -- 0.0%
Los Angeles County, California,
Ser D (MBIA)
Zero Coupon, 06/30/10 650 297
----------
Total Municipal Bond
(Cost $250) 297
----------
COMMERCIAL PAPER -- 1.3%
Enterprise USA Funding
5.760%, 06/11/98 10,000 9,984
----------
Total Commercial Paper
(Cost $9,984) 9,984
----------
28
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 19.6%
J.P. Morgan
5.570%, dated 05/29/98,
matures 06/01/98, repurchase
price $149,778,000, (collateralized
by GNMA obligations, total
par value $458,695,000,
8.500-9.000%, 01/15/17-
07/15/27, total market
value: $152,703,000) $149,709 $149,709
--------
Total Repurchase Agreement
(Cost $149,709) 149,709
--------
Total Investments--123.9%
(Cost $932,796) $945,761
========
(A) VARIABLE RATE SECURITY--THE RATE REPORTED ON THE SCHEDULE OF INVESTMENTS IS
THE RATE IN EFFECT AS OF MAY 31, 1998.
(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 QUALIFIED BUYERS.
(C) SECURITIES SEGREGATED TO COLLATERALIZE FUTURES CONTRACTS WITH AN AGGREGATE
MARKET VALUE OF ($14,343,031).
(D) U.S. TREASURY INFLATION PROTECTION SECURITIES
ARM--ADJUSTABLE RATE MORTGAGE
CMO--COLLATERALIZED MORTGAGE OBLIGATION
FHMLC--FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA--GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
IO--INTEREST ONLY
MBIA--MUNICIPAL BOND INVESTORS ASSURANCE
MTN--MEDIUM TERM NOTE
PO--PRINCIPAL ONLY
REMIC--REAL ESTATE MORTGAGE INVESTMENT CONDUIT
SLMA--STUDENT LOAN MARKETING ASSOCIATION
RTC--RESOLUTION TRUST CORPORATION
SER--SERIES
STRIPS--SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
TBA--TO BE ANNOUNCED
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 96.0%
AUSTRALIA -- 2.8%
Australia & New Zealand Bank 111,825 $ 793
Australian Gas Light 62,822 440
Brambles 23,450 475
Broken Hill Proprietary 45,177 386
Coles Myer 50,500 227
Colonial 26,420 85
Commonwealth Bank
of Australia 131,400 1,544
Goodman Fielder 253,400 380
James Hardie Industries 71,800 220
Lend Lease 39,589 844
National Australia Bank 356,523 4,936
Newscorp 99,787 615
Qantas Airways 949,500 1,466
Rio Tinto 17,744 213
Telstra 124,204 292
Wesfarmers 27,000 219
Western Mining 77,045 241
Westpac Bank 285,100 1,880
Woodside Petroleum 40,500 232
Woolworths 63,677 219
----------
15,707
----------
BELGIUM -- 1.4%
Delhaize Freres 16,800 1,154
Fortis 4,200 1,199
Petrofina 6,800 2,792
Solvay 22,700 1,664
Tractabel 7,900 1,046
----------
7,855
----------
DENMARK -- 1.8%
Den Danske Bank 13,910 1,729
Novo Nordisk, Series B 27,350 4,305
Tele Danmark, Series B 44,500 4,163
----------
10,197
----------
FINLAND -- 0.9%
Merita, Series A 740,000 4,654
UPM-Kymmene 5,900 171
----------
4,825
----------
FRANCE -- 11.9%
Alcatel Alsthom 25,000 5,348
Axa 46,750 5,321
Banque National Paris 88,700 7,576
Banque Paribas 53,533 5,458
Castorama Dubois 27,500 4,849
Elf Aquitaine 37,000 5,139
Eridania Beghin Say 3,550 777
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
29
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
INTERNATIONAL EQUITY FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Generale des Eaux 12,950 $ 2,602
Lafarge 53,669 5,445
Marine Wendel 4,600 828
Peugeot 57,950 11,323
Pinault Printemps 5,450 4,486
Renault 93,943 4,915
Saint Gobain 5,579 1,100
Scor 6,300 397
Vallourec 5,150 436
----------
66,000
----------
GERMANY -- 9.7%
Agiv 25,920 726
BASF 76,500 3,546
Bayer Vereinsbank 66,150 5,542
Bayerische Motoren Werke 2,570 2,719
Bayerische Motoren Werke New* 514 542
Commerzbank 151,157 6,125
Deutsche Pfandrbrief &
Hypotheken Bank 46,850 3,749
Lufthansa 223,850 5,595
Mannesmann 5,015 4,905
Papier Waldhof* 3,581 642
Thyssen 51,700 13,473
Varta* 4,450 861
Viag 2,844 1,594
Volkswagen 4,303 3,490
----------
53,509
----------
HONG KONG -- 3.1%
Bank of East Asia 588,000 785
Cheung Kong Holdings 158,000 854
Cheung Kong Infrastructure 102,000 226
China Light & Power 124,000 535
China Telecom (Hong Kong)* 172,000 307
Hang Seng Bank 100,000 745
Henderson Land Development 172,000 608
Hong Kong & China Gas 1,476,000 1,933
Hong Kong Electric 371,000 1,089
Hong Kong
Telecommunications 2,222,000 4,000
HSBC Holdings 91,110 2,211
Hutchison Whampoa 186,420 974
Kumagai Gumi 514,000 259
Legend Holdings* 720,000 253
New World Development 114,000 269
Peregrine Investment Holdings 236,000 --
Sun Hung Kai Properties 416,700 2,011
Swire Pacific, Series A 60,500 224
----------
17,283
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
ITALY -- 3.9%
Assicurazioni Generali 75,594 $ 2,428
Banca Populare di Milano 80,000 720
Benetton 21,800 475
ENI 598,700 4,231
Istituto Bancario San
Paolo di Torino* 350,000 5,482
Telecom Italia 1,084,000 8,187
----------
21,523
----------
JAPAN -- 18.3%
Aiful 9,400 556
Asahi Breweries 58,000 729
Asahi Glass 64,000 346
Bank of Tokyo Mitsubishi 161,000 1,656
Bridgestone 22,000 502
Canon 216,000 5,146
Comany 1,000 7
Dai Nippon Printing 36,000 593
Daiichi Pharmaceutical 100,000 1,343
Daiwa House Industries 7,000 55
Dio Chemicals 100 --
East Japan Railway 150 713
Fanuc 25,200 928
Fuji Photo Film 102,000 3,454
Fujitsu 112,000 1,286
Hitachi 188,000 1,239
Honda Motor 219,000 7,462
Hoya 16,000 506
Ibiden 49,000 722
Industrial Bank of Japan 95,000 583
Ito Yokado 11,000 548
KDD 9,500 336
Marubeni 457,000 924
Marui 36,000 552
Matsushita Electric Industry 311,000 4,872
Meiji Milk Products 152,000 383
Meitec 17,700 604
Minebea 57,000 585
Mitsubishi Heavy Industries 467,000 1,625
Mitsubishi Materials 151,000 294
Mitsubishi Trust & Banking 62,000 551
Mitsui 202,000 1,035
Mitsui Fudosan 75,000 607
Nakayamafuku 720 2
NBC Industries 800 5
NEC 114,000 1,160
Nintendo 55,500 5,189
Nippon Express 153,000 841
Nippon Kanzai 40 --
Nippon Meat Packers 24,000 309
30
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Nippon Oil 383,000 $ 1,189
Nippon Paper Industries 254,000 1,097
Nippon Steel 370,000 628
Nippon Telegraph & Telephone 393 3,234
Nippon Yusen Kabushik 76,000 263
Nippondenso 33,000 560
Nishio Rent All 400 3
Nissan Motors 1,123,000 3,405
Nomura Securities 64,000 698
NTT Data 11 442
Obayashi 120,000 446
Ohmoriya 6,000 34
Oie Sangyo 700 2
Ono Pharmaceutical 37,000 825
Osaka Gas 325,000 702
Rohm 12,000 1,247
Sagami Chain 100 1
Sankyo 28,000 675
Secom 14,000 795
Seijo 200 1
Sekisui House 669,000 4,950
Sekisui House Hokuriku 16,000 59
Seven Eleven 7,000 449
Shaddy 950 7
Sharp 181,000 1,363
Shidax 300 5
Shimojima 200 1
Shin-Etsu Chemical 31,000 576
Shinden 13,200 73
SMC 8,000 647
Sony 119,300 10,077
Sumitomo Bank 119,000 1,113
Sumitomo Chemical 207,000 557
Sumitomo Electric 55,000 575
Sumitomo Marine and
Fire Insurance 118,000 656
Sumitomo Metal 190,000 295
Sumitomo Rubber 55,000 311
Takeda Chemical 19,000 491
Takefuji 30,000 1,486
Terumo 34,000 514
Tohoku Electric Power 41,000 555
Tokai Bank 75,000 415
Tokio Marine & Fire Insurance 91,000 862
Tokyo Electric Power 228,000 4,362
Toray 208,000 1,036
Toyota Motor 129,000 3,194
Uni-Charm 13,300 494
Yamanouchi Pharmaceutical 68,000 1,512
Yamato Transportation 50,000 575
----------
101,705
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MALAYSIA -- 0.4%
Austral Enterprises 107,000 $ 111
Berjaya Sports 42,000 88
DCB Holdings 150,000 82
Edaran Otomobil 14,000 19
Genting 52,000 135
IOI Properties 265,000 179
Kuala Lumpur Kepong 72,000 127
Malayan Bank 125,120 176
Malaysian Pacific Industries 39,000 99
Rothmans of Pall Mall 24,400 184
Sime Darby 144,000 115
Telekom Malaysia 165,000 378
Tenaga Nasional 145,000 240
United Engineers 195,000 116
Westmont Industries* 227,000 53
----------
2,102
----------
NETHERLANDS -- 5.7%
ABN AMRO Holding 65,398 1,583
Akzo Nobel 8,600 1,797
DSM 42,686 4,319
Fortis Amev 83,350 4,998
Hoogovens 97,344 4,433
ING Groep 50,644 3,477
KPN 87,000 4,862
Van Der Moolen Holding 17,500 1,266
VNU 150,000 5,146
----------
31,881
----------
NEW ZEALAND -- 0.2%
Brierley Investment 92,000 45
Fletcher Challenge Energy 8,700 27
Lion Nathan 247,752 610
Natural Gas Holdings 42,900 41
Telecom of New Zealand 70,459 324
----------
1,047
----------
NORWAY -- 0.2%
Den Norske Bank 167,400 900
----------
900
----------
SINGAPORE -- 0.9%
City Developments 47,000 170
Computer System & Service 66,000 81
Cycle & Carriage 34,000 106
Electronic Resources 100,000 72
Keppel 34,000 68
Overseas Chinese Bank 81,800 325
Overseas Union Bank 64,000 195
Parkway Holdings 58,000 102
Singapore International Airlines 33,000 183
31
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
INTERNATIONAL EQUITY FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Singapore Press Holdings 29,954 $ 245
Singapore Telecommunications 2,357,000 3,324
----------
4,871
----------
SPAIN -- 4.1%
Argentaria 40,150 3,421
Autopistas Concesionaria
Espanola 46,600 752
Banco Central Hispano
Americano 77,500 2,540
Banco de Santander 136,349 6,867
Energia Industries Aragonesas 42,100 381
Repsol 38,900 2,162
Sevillana de Electricidad 48,600 565
Telefonica de Espana 130,909 5,850
----------
22,538
----------
SWEDEN -- 2.7%
Electrolux AB, Series B 52,000 5,175
Ericsson Telephone, Series B 134,800 3,844
SKF, Series B 48,500 1,034
Skandinaviska Enskilda
Bank, Series A 80,800 1,345
Sparbanken Sverige, Series A 69,600 2,091
Trelleborg, Series B 27,000 383
Volvo, Series B 39,900 1,275
----------
15,147
----------
SWITZERLAND -- 10.1%
Adecco 10,000 4,117
Banque Cantonale Vaud 860 367
Credit Suisse Group 63,540 13,980
Georg Fischer 550 241
Julius Baer Holding 180 519
Nestle 5,400 11,564
Novartis 2,900 4,909
Swiss Bank 7,260 2,621
Union Bank of Switzerland 5,550 9,327
Zurich Versicherung 13,150 8,209
----------
55,854
----------
UNITED KINGDOM -- 17.9%
Abbey National 332,300 5,929
ASDA Group 974,100 2,894
Barclays Bank 68,100 1,816
Barratt Development 90,000 475
BAT Industries 345,951 3,114
Berkeley Group 73,944 937
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
BG 137,735 $ 710
British Aerospace 600,000 5,318
British Airways 814,200 8,613
British Petroleum 25,400 373
British Telecommunications 61,800 645
Cadbury Schweppes 276,000 4,219
Diageo 403,000 4,556
General Accident 116,400 2,662
General Electric 622,000 5,097
George Wimpey 212,500 454
Halifax 79,700 1,202
Iceland Frozen Foods 356,188 1,416
Imperial Chemical Industries 290,000 5,496
Kingfisher 348,800 6,178
Lex Service 94,000 900
National Westminster 280,000 5,115
Rank Group 302,800 1,765
RJB Mining 174,700 392
Scottish & Newcastle 247,000 3,532
Scottish Power 540,000 4,875
Sedgwick Group 256,300 623
Severn Trent 86,260 1,391
Signet Group* 692,600 540
Standard Chartered 71,800 892
Thames Water 307,800 4,997
Tomkins 206,000 1,189
TSB Lloyds Group 59,272 861
United Assurance Group 93,604 934
United Utilities 125,300 1,698
Vodafone Group 520,000 5,713
Wessex Water 82,030 619
Willis Corroon Group 382,600 987
----------
99,127
----------
Total Foreign Common Stocks
(Cost $483,867) 532,071
----------
U.S. TREASURY OBLIGATION -- 0.7%
U.S. Treasury Bill (1)
4.260%, 06/25/98 $3,960 3,948
----------
Total U.S. Treasury Obligation
(Cost $3,946) 3,948
----------
32
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 8.0%
Morgan Stanley (1)
5.47%, dated 5/29/98,
matured 6/1/98, repurchase
price $32,397,000 (collateralized
by FNMA Notes, total par value
$32,255,000, 5.71%-6.48%,
1/19/01- 6/28/04: total market
value $33,259,412) $32,382 $32,382
Merrill Lynch (1)
5.47%, dated 5/29/98,
matured 6/1/98, repurchase
price $9,273,000 (collateralized
by FICO, total par value
$540,000, 9.40%, 2/8/18; and
various RFIN Interest STRIPS,
total par value 27,804,000, 0%,
10/15/03-4/15/28, total market
value $9,454,751) $9,269 $ 9,269
State Street Bank
5.00%, dated 5/29/98,
matured 6/1/98, repurchase
price $2,517,000 (collateralized
by U.S. Treasury Notes, total
par value $1,705,000, 12%,
8/15/13: total market
value $2,571,491) 2,516 2,516
----------
Total Repurchase Agreements
(Cost $44,167) 44,167
----------
Total Investments--104.6%
(Cost $531,980) 580,186
----------
OTHER ASSETS AND LIABILITIES, NET -- (4.6%)
Capital Shares Redeemed (34,289)
Other Assets and Liabilities, Net 8,524
----------
Total Other Assets and Liabilities, Net (25,765)
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares (unlimited authorization --
no par value) based on 48,833,503
outstanding shares of beneficial interest $485,966
Undistributed net investment income 6,024
Accumulated net realized gain
on investments 13,532
Net unrealized depreciation on forward
foreign currency and translation of
other assets and liabilities in
foreign currency (60)
Net unrealized appreciation on investments 48,206
Net unrealized appreciation on futures 753
--------
TOTAL NET ASSETS--100.0% $554,421
========
NET ASSET VALUE, OFFERING AND
REDEMPTION PRICE PER SHARE $11.35
========
* NON-INCOME PRODUCING SECURITY FAIR VALUED SECURITY
+ FAIR VALUED SECURITY
(1) SECURITIES SEGREGATED TO COLLATERLIZE FUTURES CONTRACTS WITH AN AGGREGATE
MARKET VALUE OF $45,925,490.
FNMA--FEDERAL NATIONAL MORTGAGE ASSOCIATION
FICO--FINANCING CORPORATION
RFIN--RESOLUTION FUNDING CORPORATION
STRIPS--SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
33
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
<TABLE>
<CAPTION>
----------- ----------
SMALL CORE FIXED
CAP INCOME
FUND FUND
----------- ---------
ASSETS:
<S> <C> <C>
Investment securities (Cost $284,387 and $932,796, respectively) $309,156 $ 945,761
Cash 1,235 26
Interest receivable 204 9,148
Investment securities sold 3,232 61,089
Capital shares sold 8,438 --
Futures margin receivable 16,089 18
-------- ---------
Total Assets 338,354 1,016,042
-------- ---------
LIABILITIES:
Investment securities purchased 2,099 216,746
Capital shares redeemed 17,410 35,804
Advisory fee payable 165 66
Futures margin payable 16,270 23
Accrued expenses 55 167
-------- ---------
Total Liabilities 35,999 252,806
-------- ---------
Net Assets $302,355 $ 763,236
======== =========
NET ASSETS:
Capital Shares (unlimited authorization -- no par value)
based on 23,050,592 and 72,221,326 outstanding
shares of beneficial interest 254,171 742,806
Undistributed net investment income 211 (6)
Accumulated net realized gain on investments 23,634 7,381
Net unrealized appreciation (depreciation) on futures contracts (430) 90
Net unrealized appreciation on investments 24,769 12,965
-------- ---------
TOTAL NET ASSETS $302,355 $ 763,236
======== =========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 13.12 $ 10.57
======== =========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
34
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE YEAR ENDED MAY 31, 1998
<TABLE>
<CAPTION>
---------- -------- ---------- -------------
LARGE SMALL CORE FIXED INTERNATIONAL
CAP CAP INCOME EQUITY
FUND FUND FUND FUND
---------- -------- ---------- -------------
INVESTMENT INCOME:
<S> <C> <C> <C> <C>
Dividends $ 11,612 $ 1,454 $ -- $11,173
Interest 1,661 1,278 35,091 2,080
Less: Foreign taxes withheld -- -- -- (1,020)
-------- ------- ------- -------
Total Investment Income 13,273 2,732 35,091 12,233
-------- ------- ------- -------
EXPENSES:
Management fees 416 114 277 235
Less: Management fees waived (305) (83) (202) (49)
Investment advisory fees 3,325 1,482 1,666 2,390
Less: Investment advisory fees waived (1,199) (291) (959) (745)
Custodian fees 116 30 76 414
Professional fees 55 14 37 16
Registration & filing fees 185 56 149 51
Trustee fees 37 9 25 9
Miscellaneous fees 41 13 34 32
-------- ------- ------- -------
Total Expenses 2,671 1,344 1,103 2,353
-------- ------- ------- -------
NET INVESTMENT INCOME 10,602 1,388 33,988 9,880
-------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS:
Net realized gain (loss) from:
Security transactions 39,500 24,697 10,587 13,913
Futures contracts (1,176) 3,443 (774) 5,571
Net realized gain on forward foreign
currency contracts and foreign
currency transactions -- -- -- 271
Net change in unrealized depreciation
on forward foreign currency contracts,
foreign currencies, and translation
of other assets and liabilities
denominated in foreign currencies -- -- -- (55)
Net change in unrealized appreciation
on investments 168,076 17,508 12,036 26,968
Net change in unrealized appreciation
(depreciation) on futures contracts (597) (992) 126 263
-------- ------- ------- -------
Net Realized and Unrealized Gain on Investments,
Future Contracts and Foreign Currency Transactions 205,803 44,656 21,975 46,931
-------- ------- ------- -------
NET INCREASE IN NET ASSETS FROM OPERATIONS $216,405 $46,044 $55,963 $56,811
======== ======= ======= =======
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
35
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE PERIODS ENDED MAY 31.
<TABLE>
<CAPTION>
----------------------- --------------------- ---------------------- ----------------------
LARGE SMALL CORE FIXED INTERNATIONAL
CAP CAP INCOME EQUITY
FUND FUND FUND FUND
----------------------- --------------------- ---------------------- ----------------------
06/01/97- 06/14/96- 06/01/97- 06/14/96- 06/01/97- 06/14/96- 06/01/97- 06/14/96-
05/31/98 05/31/97(1) 05/31/98 05/31/97(1) 05/31/98 05/31/97(1) 05/31/98 05/31/97(1)
----------------------- --------------------- ---------------------- ----------------------
OPERATIONS:
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net investment income $ 10,602 $ 4,592 $ 1,388 $ 523 $ 33,988 $ 12,438 $ 9,880 $ 5,073
Net realized gain from
security transactions
and futures contracts 38,324 3,744 28,140 3,933 9,813 1,013 19,484 4,511
Net realized gain (loss) on
forward foreign currency
contracts and foreign
currency transactions -- -- -- -- -- -- 271 (481)
Net change in unrealized
depreciation on forward
foreign currency contracts,
foreign currencies, and
translation of other assets
and liabilities denominated
in foreign currencies -- -- -- -- -- -- (55) (5)
Net change in unrealized
appreciation on investments
and futures contracts 167,479 75,411 16,516 7,823 12,162 893 27,231 21,728
---------- -------- -------- -------- -------- -------- -------- --------
Net increase in net assets
from operations 216,405 83,747 46,044 12,279 55,963 14,344 56,811 30,826
---------- -------- -------- -------- -------- -------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income (9,415) (3,512) (1,288) (420) (33,994) (12,438) (7,086) (1,960)
Net realized gains (14,826) -- (8,430) -- (2,673) (772) (9,801) (335)
---------- -------- -------- -------- -------- -------- -------- --------
Total dividends distributed (24,241) (3,512) (9,718) (420) (36,667) (13,210) (16,887) (2,295)
---------- -------- -------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 682,733 432,867 211,227 128,094 479,000 363,273 386,064 497,195
Reinvestment of distributions 24,079 3,507 9,646 419 36,001 13,042 12,731 2,293
Cost of shares redeemed (188,457) (77,791) (78,785) (16,431) (120,365) (28,244) (268,961) (143,356)
---------- -------- -------- -------- -------- -------- -------- --------
Increase in Net Assets Derived
from Capital Share Transactions 518,355 358,583 142,088 112,082 394,636 348,071 129,834 356,132
---------- -------- -------- -------- -------- -------- -------- --------
Net increase in net assets 710,519 438,818 178,414 123,941 413,932 349,205 169,758 384,663
NET ASSETS:
Beginning of period(2) 438,818 -- 123,941 -- 349,304 99 384,663 --
---------- -------- -------- -------- -------- -------- -------- --------
End of period $1,149,337 $438,818 $302,355 $123,941 $763,236 $349,304 $554,421 $384,663
========== ======== ======== ======== ======== ======== ======== ========
CAPITAL SHARE TRANSACTIONS:
Shares issued 46,459 41,222 16,923 12,976 45,756 35,991 36,229 50,148
Reinvestment of distributions 1,634 327 782 42 3,438 1,283 1,294 228
Shares redeemed (12,452) (6,887) (6,065) (1,608) (11,466) (2,780) (24,677) (14,389)
---------- -------- -------- -------- -------- -------- -------- --------
Net increase in capital shares 35,641 34,662 11,640 11,410 37,728 34,494 12,846 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.
36
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE PERIODS ENDED MAY 31.
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
NET
REALIZED
NET ASSET AND DISTRIBUTIONS DISTRIBUTIONS
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS
BEGINNING INVESTMENT GAINS/(LOSSES) ON INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF
OF PERIOD INCOME SECURITIES INCOME GAINS OF PERIOD RETURN PERIOD (000)
=========================================================================================================================
- --------------
LARGE CAP FUND
- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1998 $12.66 $0.18 $3.98 $(0.18) $(0.29) $16.35 33.36% $1,149,337
1997(1) 10.00 0.17 2.63 (0.14) -- 12.66 28.22 438,818
- --------------
SMALL CAP FUND
- --------------
1998 $10.86 $0.07 $2.78 $(0.07) $(0.52) $13.12 26.68% $302,355
1997(1) 10.00 0.06 0.85 (0.05) -- 10.86 9.18 123,941
- ----------------------
CORE FIXED INCOME FUND
- ----------------------
1998 $10.13 $0.64 $0.50 $(0.64) $(0.06) $10.57 11.60% $763,236
1997(1) 10.00 0.64 0.17 (0.64) $(0.04) 10.13 8.28 349,304
- -------------------------
INTERNATIONAL EQUITY FUND
- -------------------------
1998 $10.69 $0.19 $0.86 $(0.16) $(0.23) $11.35 10.40% $554,421
1997(1) 10.00 0.14 0.61 (0.05) (0.01) 10.69 7.56 384,663
</TABLE>
<TABLE>
<CAPTION>
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME
RATIO OF NET INVESTMENT TO AVERAGE TO AVERAGE
EXPENSES INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
================================================================================
- --------------
LARGE CAP FUND
- --------------
<S> <C> <C> <C> <C> <C>
1998 0.32% 1.28% 0.50% 1.10% 72%
1997(1) 0.34 1.65 0.53 1.46 71
- --------------
SMALL CAP FUND
- --------------
1998 0.59% 0.61% 0.75% 0.45% 120%
1997(1) 0.60 0.70 0.79 0.51 163
- ----------------------
CORE FIXED INCOME FUND
- ----------------------
1998 0.20% 6.13% 0.41% 5.92% 324%
1997(1) 0.21 6.60 0.42 6.39 194
- -------------------------
INTERNATIONAL EQUITY FUND
- -------------------------
1998 0.53% 2.21% 0.70% 2.04% 109%
1997(1) 0.63 1.73 0.82 1.54 120
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
(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.
37
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
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. The preparation of financial statements in conformity with generally
accepted accounting principles requires the use of management estimates. Actual
results could differ from the estimates.
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. Securities for
which quotations are not readily available are valued in good faith using
methods determined under general Trustee supervision.
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
38
<PAGE>
- --------------------------------------------------------------------------------
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,
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, 1998. 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.
OPTION SELLING/PURCHASING -- Each Fund may invest in financial options
contracts solely for the purpose of hedging its existing portfolio securities,
or securities that the Fund intends to purchase, against fluctuations in fair
value caused by changes in prevailing market interest rates. When the Fund sells
or purchases an option, an amount equal to the premium received or paid by the
Fund is recorded as a liability or an asset and is subsequently adjusted to the
current market value of the option written or purchased. Premiums received or
paid from purchasing options which expire unexercised are treated by the Fund on
the expiration date as realized gains or losses. The difference between the
premium and the amount paid or received on effecting a closing purchase or sale
transaction, including brokerage commissions, is also treated as a realized gain
or loss. If an option is exercised, the premium paid or received is added to the
cost of the purchase or proceeds from the sale in determining whether the Fund
has realized a gain or a loss on investment transactions.
TBA AND OTHER PURCHASE COMMITMENTS -- The Funds may enter into purchase
commitments to purchase securities for a fixed price at a future date. Purchase
commitments may be considered securities and involve a risk of loss if the value
of the security to be purchased declines prior to settlement date, which risk is
in addition to the risk of decline in the value of a Fund's other assets.
Unsettled purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under "Security
Valuation" above.
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 Small Cap Fund, $9,000 was reclassified from accumulated net
realized gain to accumulated net investment income. This reclassification has no
effect on net assets or net asset values per share.
39
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
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.
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.
3. MANAGEMENT, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS
The Trust and SEI Investments 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 SEIInvestments 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 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. The Adviser
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
Adviser.
Alliance Capital Management L.P., American Express Asset Management,
Provident Investment Counsel, Inc., LSV Asset Management and Mellon Equity
Associates, LLP 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. Sanford C. Bernstein &
Co., Inc. also serves as an investment sub-adviser to a portion of the assets of
the Large Cap Fund and is party to an investment sub-advisory agreement with the
Trust and SIMC dated December 15, 1997.
Nicholas-Applegate Capital Management Inc., Wall Street Associates, Boston
Partners Asset Management, L.P. and 1838 Investment Advisors, L.P. 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, LSV Asset Management,
Polynous Capital Management and Robertson Stephens Investment 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, March 28, 1997,
December 15, 1997 and March 24, 1998, 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. and SGY Asset Management 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. Scottish Widows Investment Management Limited also
serves as an investment
40
<PAGE>
- --------------------------------------------------------------------------------
sub-adviser to a portion of the assets and is party to an agreement with the
Trust and SIMC dated March 23, 1998.
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.
The Funds used SEI Institutional Transfer Agency for shareholder services
and paid the following amounts as of May 31, 1998: $14,740 for Large Cap, $4,065
for Small Cap, $9,730 for Core Fixed Income and $7,400 for International Equity.
The Large Cap, Small Cap and International Equity 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, 1998 were $11,722, $11,735 and $13,956,
respectively.
5. FORWARD FOREIGN CURRENCY CONTRACTS
The International Equity Fund enters into forward foreign currency exchange
contracts as hedges against portfolio positions. Such contracts, which are
designed to protect the value of the Fund's investment securities against a
decline in the value of the hedged currency, do not eliminate fluctuations in
the underlying prices of the securities; they simply establish an exchange rate
at a future date. Also, although such contracts tend to minimize risk of loss
due to a decline in the value of a hedged currency, at the same time they tend
to limit any potential gain that might be realized should the value of such
foreign currency increase.
The following forward foreign currency contracts were outstanding at May
31, 1998:
IN UNREALIZED
MATURITY CONTRACTS TO EXCHANGE APPRECIATION
DATES DELIVER/RECEIVE FOR (DEPRECIATION)
- -------------------- --------------- -------- --------------
INTERNATIONAL EQUITY FUND:
- --------------------------
FOREIGN CURRENCY SALES:
6/2/98 CH 36,706 $ 24,842 $ 58
6/3/98 DK 4,010 590 0
6/1/98-6/2/98 UK 3,450,409 5,623,353 (6,233)
---------- --------
$5,648,785 $ (6,175)
---------- --------
FOREIGN CURRENCY PURCHASES:
6/2/98 BE 59,110,000 $1,610,188 $ (2,591)
6/2/98 DM 3,552,000 1,994,385 (3,218)
6/2/98 FF 6,735,000 1,128,045 (2,066)
6/1/98 JY 120,000,000 864,118 2,555
---------- --------
$5,596,736 $ (5,321)
========== --------
$(11,496)
========
CURRENCY LEGEND
BE Belgium Franc FR French Franc
CH Swiss Franc JY Japanese Yen
DM German Mark UK British Pounds Sterling
DK Danish Kroner
6. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities
including U.S. Government securities, other than temporary cash investments
during the period ended May 31, 1998, were as follows:
Purchases (000) Sales (000)
------------------- ------------------
U.S. Gov't Other U.S. Gov't Other
---------- ------- ---------- -----
Large Cap Fund -- $1,065,294 -- $571,680
Small Cap Fund -- 364,084 -- 246,569
Core Fixed
Income Fund $1,761,195 265,987 $1,489,820 85,556
International
Equity Fund -- 602,527 -- 468,528
41
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998
The aggregate gross unrealized appreciation and depreciation on investments
and futures contracts held by the Funds and the total cost of securities for
Federal income tax purposes at May 31, 1998 are as follows:
Total Cost
Net of Securities
Unrealized for Federal
Appreciated Depreciated Appreciation/ Income Tax
Securities Securities (Depreciation) Purposes
(000) (000) (000) (000)
----------- ----------- -------------- -----------
Large Cap
Fund $262,323 $(19,434) $242,889 $928,289
Small Cap
Fund 38,079 (13,740) 24,339 286,014
Core Fixed
Income Fund 14,712 (1,657) 13,055 933,043
International
Equity Fund 73,063 (24,104) 48,959 534,202
7. 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.
8. FUTURES CONTRACTS
The following Funds had futures contracts open as of May 31, 1998:
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- --------- ------- ---------- -----------
Large Cap Fund
S & P 500 12 $1,047.19 June 1998 $ 131
S & P 500 17 1,108.64 June 1998 (76)
S & P 500 31 1,098.54 June 1998 (60)
S & P 500 4 1,098.54 June 1998 (8)
S & P 500 10 1,112.54 June 1998 (54)
S & P 500 3 1,112.74 June 1998 (16)
S & P 500 5 1,114.34 June 1998 (29)
S & P 500 11 1,108.44 June 1998 (48)
S & P 500 2 1,113.04 June 1998 (12)
------
$ (172)
======
Small Cap Fund
Russell 2000 3 $472.52 June 1998$ (24)
Russell 2000 6 472.77 June 1998 (49)
Russell 2000 5 473.02 June 1998 (41)
Russell 2000 1 473.27 June 1998 (8)
Russell 2000 3 473.52 June 1998 (26)
Russell 2000 5 474.02 June 1998 (44)
Russell 2000 10 475.77 June 1998 (97)
Russell 2000 5 475.52 June 1998 (48)
S & P 500 5 1,047.19 June 1998 55
S & P 500 1 1,051.04 June 1998 10
S & P 500 15 1,089.13 June 1998 6
S & P 500 23 1,099.04 June 1998 (48)
S & P 500 15 1,121.84 June 1998 (116)
------
$ (430)
======
Core Fixed Income Fund
U.S. 5 Year Note (25) $108.68 June 1998 $ (13)
U.S. 5 Year Note (12) 109.31 June 1998 1
U.S. 5 Year Note (21) 109.31 June 1998 2
U.S. 5 Year Note (17) 109.32 June 1998 2
Muni Bond 13 121.07 June 1998 39
Muni Bond 12 121.32 June 1998 33
Muni Bond 27 120.76 June 1998 89
U.S. 10 Year Note (28) 112.45 June 1998 (15)
U.S. 10 Year Note (11) 112.68 June 1998 (3)
U.S. 10 Year Note (30) 111.74 June 1998 (37)
U.S. 10 Year Note (20) 112.23 June 1998 (15)
U.S. Long Bond 11 119.96 June 1998 19
U.S. Long Bond 2 119.96 June 1998 4
42
<PAGE>
===========================================================
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- --------- ------- ---------- -----------
Core Fixed Income Fund (continued)
U.S. Long Bond 21 $ 120.32 September 1998 $ 25
U.S. Long Bond 4 120.26 September 1998 5
U.S. 30 Year Bond (25) 120.21 September 1998 (32)
U.S. 30 Year Bond (27) 121.00 September 1998 (13)
U.S. 30 Year Bond (7) 121.49 September 1998 (1)
-----
$ 90
=====
International Equity Fund
Australia Ords Index 20 $2,804.00 June 1998 $ (29)
Australia Ords Index 1 2,807.00 June 1998 (2)
Australia Ords Index 1 2,819.00 June 1998 (2)
Australia Ords Index 1 2,799.00 June 1998 (1)
Australia Ords Index 2 2,825.00 June 1998 (4)
Australia Ords Index 1 2,796.00 June 1998 (1)
Australia Ords Index 5 2,840.00 June 1998 (10)
Australia Ords Index 1 2,789.00 June 1998 (1)
Australia Ords Index 1 2,792.00 June 1998 (1)
Australia Ords Index 1 2,793.00 June 1998 (1)
Australia Ords Index 1 2,771.00 June 1998 (1)
Australia Ords Index 2 2,823.00 June 1998 (3)
Australia Ords Index 1 2,706.00 June 1998 --
DAX Index 4 4,712.50 June 1998 190
DAX Index 5 4,940.00 June 1998 174
DAX Index 1 4,892.86 June 1998 37
DAX Index 1 5,105.00 June 1998 26
DAX Index 1 5,060.00 June 1998 28
DAX Index 1 5,105.00 June 1998 26
IBEX Index 15 9,355.00 June 1998 68
IBEX Index 34 9,901.00 June 1998 30
IBEX Index 1 9,845.00 June 1998 1
Hang Seng Index 34 9,400.00 June 1998 (119)
Hang Seng Index 2 8,750.00 June 1998 1
CAC 40 Index 14 3,596.73 June 1998 207
CAC 40 Index 6 3,501.50 June 1998 108
CAC 40 Index 10 3,505.50 June 1998 179
CAC 40 Index 11 3,725.00 June 1998 116
CAC 40 Index 1 3,684.00 June 1998 12
CAC 40 Index 1 3,697.50 June 1998 11
CAC 40 Index 2 3,712.00 June 1998 22
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- ----------- ------- --------- -----------
International Equity Fund (continued)
NIKKEI 225 Index 2 $16,830.00 June 1998 $ (8)
NIKKEI 225 Index 36 16,880.00 June 1998 (157)
NIKKEI 225 Index 10 16,600.00 June 1998 (34)
NIKKEI 225 Index 5 15,630.00 June 1998 1
NIKKEI 225 Index 5 15,640.00 June 1998 1
NIKKEI 225 Index 9 15,760.00 June 1998 (3)
NIKKEI 225 Index 11 16,280.00 June 1998 (24)
NIKKEI 225 Index 10 16,300.00 June 1998 (23)
NIKKEI 225 Index 15 16,310.00 June 1998 (34)
NIKKEI 225 Index 9 16,360.00 June 1998 (22)
NIKKEI 225 Index 10 15,820.00 June 1998 (5)
NIKKEI 225 Index 3 15,710.00 June 1998 --
NIKKEI 225 Index 2 15,820.00 June 1998 (1)
NIKKEI 225 Index 7 15,830.00 June 1998 (4)
NIKKEI 225 Index 29 15,900.00 June 1998 (24)
NIKKEI 225 Index 1 15,920.00 June 1998 (1)
NIKKEI 225 Index 34 15,930.00 June 1998 (31)
NIKKEI 225 Index 5 15,410.00 June 1998 5
NIKKEI 225 Index 21 15,460.00 June 1998 16
NIKKEI 225 Index 14 15,270.00 June 1998 20
NIKKEI 225 Index 2 15,700.00 June 1998 --
FTSE 100 Index 35 5,874.50 June 1998 19
FTSE 100 Index 5 5,899.50 June 1998 1
FTSE 100 Index 2 5,829.40 June 1998 3
FTSE 100 Index 44 5,930.00 June 1998 (15)
FTSE 100 Index 2 5,905.00 June 1998 --
FTSE 100 Index 3 5,955.00 June 1998 (2)
FTSE 100 Index 1 6,012.00 June 1998 (2)
FTSE 100 Index 31 5,891.00 June 1998 9
FTSE 100 Index 14 5,880.00 June 1998 6
FTSE 100 Index 1 5,805.00 June 1998 1
FTSE 100 Index 6 5,825.00 June 1998 8
FTSE 100 Index 3 5,848.00 June 1998 3
FTSE 100 Index 5 6,015.00 June 1998 (9)
FTSE 100 Index 3 6,010.00 June 1998 (5)
FTSE 100 Index 3 5,853.00 June 1998 3
-----
$ 753
=====
43
<PAGE>
NOTICE TO SHAREHOLDERS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 1998 (UNAUDITED)
For shareholders that do not have a May 31, 1998 taxable year end, this notice
is for informational purposes only. For shareholders with a May 31, 1998 taxable
year end, please consult your tax advisor as to the pertinence of this notice.
For the fiscal year ended May 31, 1998 the Funds of the SEI Institutional
Investments are designating long term and mid term capital gains and qualifying
dividend income with regard to distributions paid during the year as follows:
<TABLE>
<CAPTION>
(A) (B) (C)
LONG TERM MID TERM ORDINARY
CAPITAL GAINS CAPITAL GAINS INCOME
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS)
- ---------- ------------- ------------- -------------
<S> <C> <C> <C>
Large Cap Fund 4% 13% 83%
Small Cap Fund 6% 6% 88%
Core Fixed Income Fund 0% 0% 100%
International Equity Fund 2% 1% 97%
TOTAL (D) (E)
DISTRIBUTIONS QUALIFYING TAX-EXEMPT
PORTFOLIO (TAX BASIS) DIVIDENDS(1) INTEREST
- ---------- ------------- ------------- -------------
Large Cap Fund 100% 35% 0%
Small Cap Fund 100% 100% 0%
Core Fixed Income Fund 100% N/A 0%
International Equity Fund 100% 0% 0%
<FN>
(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.
* Items (A), (B) and (C) are based on the percentage of each fund's total
distribution.
** Item (D) and (E)are based on the percentage of ordinary income distributions
of each fund.
*** Item (F) is based on the percentage of gross income of each fund.
</FN>
</TABLE>
Due to recent changes brought about the Taxpayer Relief Act of 1997, a portion
of the foreign taxes paid and passed through to shareholders may not qualify to
be taken as a credit on your tax return but will be eligible as foreign income
tax deduction. 0.01% of the foreign taxes paid will not qualify to be taken as a
foreign tax credit.
Please consult your tax advisor for proper treatment of this information. This
notification should be kept with your permanent tax records.
44
<PAGE>
================================================================================
FOR TAXPAYERS FILING ON A CALENDAR YEAR BAIS,
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, 1998. 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, 1997 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 schedule:
INTERNATIONAL EQUITY PORTFOLIO
GROSS FOREIGN
COUNTRY DIVIDEND TAXES PAID
- -------- --------- ----------
Australia ..................... $0.0125 $0.0003
Austria ....................... 0.0009 0.0002
Belgium ....................... 0.0018 0.0003
Canada ........................ 0.0018 0.0003
Denmark ....................... 0.0015 0.0003
Finland ....................... 0.0003 0.0000
France ........................ 0.0182 0.0033
Germany ....................... 0.0082 0.0010
Great Britain ................. 0.0639 0.0098
Hong Kong ..................... 0.0114 0.0000
Ireland ....................... 0.0003 0.0000
Italy ......................... 0.0048 0.0008
Japan ......................... 0.0200 0.0033
Malaysia ...................... 0.0028 0.0007
Netherlands ................... 0.0108 0.0018
Norway ........................ 0.0021 0.0004
New Zealand ................... 0.0023 0.0004
Singapore ..................... 0.0025 0.0006
Spain ......................... 0.0061 0.0010
Sweden ........................ 0.0055 0.0009
Switzerland ................... 0.0056 0.0009
United States ................. 0.0001 0.0000
------- -------
$0.1834 $0.0263
======= =======
45
<PAGE>
NOTES
<PAGE>
NOTES
<PAGE>
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL
INVESTMENTS TRUST
- --------------------------------------------------------------------------------
ANNUAL REPORT
- --------------------------------------------------------------------------------
MAY 31, 1998
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Mark Nagle
CONTROLLER AND CHIEF FINANCIAL OFFICER
Todd Cipperman
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
Joseph M. O'Donnell
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers 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>
SEI
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
