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Previous: CAREADVANTAGE INC, 10KSB, 1998-01-29 |
Next: SEI INSTITUTIONAL INVESTMENTS TRUST, NSAR-A, 1998-01-29 |
SEMI-ANNUAL REPORT AS OF
NOVEMBER 30, 1997 (UNAUDITED)
SEI INSTITUTIONAL
INVESTMENTS TRUST
=====================================================
Large Cap Fund
=====================================================
Small Cap Fund
=====================================================
Core Fixed Income Fund
=====================================================
International Equity Fund
=====================================================
SEI INVESTMENTS
<PAGE>
TABLE OF CONTENTS
================================================================================
STATEMENT OF NET ASSETS/
SCHEDULE OF INVESTMENTS.............................................. 1
STATEMENT OF ASSETS AND LIABILITIES..................................... 28
STATEMENT OF OPERATIONS................................................. 29
STATEMENT OF CHANGES IN NET ASSETS...................................... 30
FINANCIAL HIGHLIGHTS.................................................... 31
NOTES TO FINANCIAL STATEMENTS........................................... 32
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
LARGE CAP FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 97.8%
AEROSPACE & DEFENSE -- 0.4%
Gencorp 36,200 $ 907
Thiokol 20,900 1,727
-------
2,634
-------
AIR TRANSPORTATION -- 0.6%
AMR* 9,800 1,188
Delta Air Lines 18,800 2,095
UAL* 17,900 1,522
-------
4,805
-------
AIRCRAFT -- 1.1%
Allied Signal 84,400 3,133
Boeing 19,000 1,009
United Technologies 51,300 3,844
-------
7,986
-------
APPAREL/TEXTILES -- 0.4%
Springs Industries, Cl A 10,900 550
U.S. Industries* 71,200 1,833
VF 2,200 563
-------
2,946
-------
AUTOMOTIVE -- 1.6%
Chrysler 30,400 1,043
Eaton 14,900 1,407
Ford Motor 74,660 3,210
General Motors 94,800 5,783
Genuine Parts 11,125 356
Paccar 10,400 572
-------
12,371
-------
BANKS -- 10.1%
Astoria Financial* 24,100 1,329
Banc One 37,600 1,932
BankAmerica 114,871 8,386
BankBoston 21,714 1,935
Bankers Trust New York 35,299 4,185
Chase Manhattan 74,264 8,067
Citicorp 39,200 4,702
Comerica 26,900 2,292
First Chicago 33,600 2,629
First of America Bank 64,800 3,807
First Union 20,325 991
Fleet Financial Group 20,200 1,334
Golden West Financial 18,800 1,685
JP Morgan 24,425 2,789
National City 46,400 3,097
NationsBank 82,750 4,970
Norwest 85,800 3,212
ONBANCorp 19,500 1,311
PNC Bank 55,400 2,981
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Republic New York 33,100 $ 3,600
Southtrust 53,800 2,932
State Street 44,000 2,618
SunTrust 28,100 1,995
Washington Mutual 49,000 3,387
-------
76,166
-------
BEAUTY PRODUCTS -- 2.9%
Avon Products 10,800 624
Colgate-Palmolive 73,400 4,904
Gillette 101,240 9,346
International Flavors &
Fragrances 15,800 761
Procter & Gamble 82,900 6,326
-------
21,961
-------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.2%
Cox Communications* 55,800 1,894
-------
BUILDING & CONSTRUCTION -- 0.3%
Centex 35,000 2,218
-------
CHEMICALS -- 1.3%
BetzDearborn 11,000 670
BF Goodrich 22,825 1,016
E.I. DuPont de Nemours 75,670 4,583
Millenium Chemicals 82,300 1,893
Rohm & Haas 8,100 745
Witco 12,275 529
-------
9,436
-------
COMMUNICATIONS EQUIPMENT -- 0.4%
ADC Telecommunications* 15,900 591
Andrew* 22,200 588
GTE 10,200 516
Tellabs* 25,600 1,331
-------
3,026
-------
COMPUTERS & SERVICES -- 5.9%
Cisco Systems* 134,139 11,569
Compaq Computer* 247,500 15,453
Dell Computer* 48,500 4,083
Hewlett Packard 36,300 2,217
International Business Machines 77,508 8,492
Philips Electronics, ADR 23,800 1,595
Quantum* 42,500 1,132
-------
44,541
-------
DRUGS -- 7.4%
Abbott Laboratories 40,400 2,626
Amgen* 67,800 3,466
Bristol-Myers Squibb 69,525 6,509
Elan, ADR* 44,758 2,361
1
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
LARGE CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Eli Lilly 82,500 $ 5,203
Merck 119,068 11,259
Perrigo* 72,900 1,039
Pfizer 79,657 5,795
Schering Plough 191,800 12,023
SmithKline Beecham 12,300 610
Warner Lambert 33,500 4,686
-------
55,577
-------
ELECTRICAL SERVICES -- 3.6%
AES* 38,800 1,421
Baltimore Gas & Electric 98,475 3,022
Consolidated Edison
of New York 38,000 1,435
DQE 32,000 1,062
DTE Energy 20,300 666
Duke Power 19,950 1,037
Edison International 58,600 1,571
Firstenergy 23,200 626
FPL Group 55,100 3,082
GPU 51,700 2,042
Houston Industries 9,104 216
Illinova 23,500 568
Long Island Lighting 19,500 527
National Service Industries 17,300 810
PG&E 39,530 1,117
PacifiCorp 35,875 836
Pinnacle West Capital 103,800 4,003
TECO Energy 34,250 878
Texas Utilities 54,241 2,170
-------
27,089
-------
ENERGY & POWER -- 0.1%
Calenergy* 18,200 605
-------
ENTERTAINMENT -- 1.1%
Bally Total Fitness* 6,500 121
King World Productions* 17,400 946
Liberty Media Group, Cl A* 87,600 2,957
Walt Disney 41,000 3,892
-------
7,916
-------
ENVIRONMENTAL SERVICES -- 0.4%
Browning-Ferris Industries 16,800 600
USA Waste Services* 67,100 2,219
-------
2,819
-------
FINANCIAL SERVICES -- 6.1%
Associates First Capital 22,500 1,446
Bear Stearns 100,341 4,164
Firstplus Financial Group* 40,900 1,559
FNMA 64,800 3,422
Green Tree Financial 22,600 692
Household International 16,200 2,041
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Lehman Brothers Holding 36,200 $ 1,830
MBNA 297,275 7,896
Merrill Lynch 73,500 5,159
Morgan Stanley, Dean Witter,
Discover & Co . 99,600 5,410
Textron 23,800 1,407
Travelers 217,011 10,959
-------
45,985
-------
FOOD, BEVERAGE & TOBACCO -- 3.5%
Adolph Coors, Cl B 35,800 1,289
Anheuser Busch 28,800 1,244
Campbell Soup 54,800 3,069
Coca-Cola 39,700 2,481
CPC International 11,600 1,199
General Mills 44,200 3,271
HJ Heinz 24,600 1,232
IBP 29,300 668
Kellogg 17,200 798
Philip Morris 207,332 9,019
Quaker Oats 27,900 1,479
RJR Nabisco Holdings 25,000 911
-------
26,660
-------
GAS/NATURAL GAS -- 0.7%
Consolidated Natural Gas 22,575 1,363
National Fuel & Gas 29,400 1,373
Oneok* 31,800 1,189
Williams 19,550 1,045
-------
4,970
-------
HOUSEHOLD FURNITURE & FIXTURES -- 2.8%
General Electric 164,465 12,129
Illinois Tool Works 55,000 3,015
Maytag 52,000 1,680
Sherwin-Williams 38,400 1,097
Sunbeam 71,100 3,133
-------
21,054
-------
HOUSEHOLD PRODUCTS -- 0.1%
Raychem 8,900 842
-------
INSURANCE -- 5.2%
Allstate 22,000 1,889
Ambac Financial Group 48,773 1,957
American General 21,100 1,137
American International Group 54,600 5,504
Cigna 8,100 1,355
Conseco 26,700 1,243
Exel 62,700 3,856
Jefferson-Pilot 27,200 2,076
Lincoln National 6,675 476
Loew's 12,300 1,305
2
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Marsh & McLennan 25,100 $ 1,868
MGIC Investment 26,800 1,566
Old Republic International 69,000 2,488
Orion Capital 37,800 1,703
Safeco 22,300 1,090
St. Paul 21,800 1,744
Torchmark 39,100 1,596
Travelers Property Casualty 35,900 1,427
UNUM 80,300 3,809
USF&G 37,100 749
-------
38,838
-------
LEASING & RENTING -- 0.2%
Comdisco 58,450 1,710
-------
MACHINERY -- 4.2%
Aeroquip-Vickers 34,800 1,777
Applied Materials* 85,700 2,828
Caterpillar 61,200 2,934
Cummins Engine 19,300 1,242
Deere 49,300 2,702
Dresser Industries 19,400 725
Emerson Electric 12,875 708
Global Industries Technologies* 36,900 660
NACCO Industries, Cl A 7,500 817
New Holland NV* 65,800 1,649
Parker-Hannifin 44,100 1,962
Tenneco 48,225 2,089
Timken 43,900 1,556
Tyco International Ltd. 258,000 10,127
-------
31,776
-------
MEASURING DEVICES -- 0.1%
Mallinckrodt 22,100 818
-------
MEDICAL PRODUCTS & SERVICES -- 2.8%
Baxter International 87,975 4,454
Boston Scientific* 38,400 1,735
Guidant 22,200 1,426
Healthsouth Rehabilitation* 134,000 3,518
Medtronic 184,100 8,791
Novacare* 86,600 1,072
-------
20,996
-------
METALS & MINING -- 0.7%
Minnesota Mining &
Manufacturing 30,925 3,013
Vulcan Materials 21,800 2,217
-------
5,230
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES -- 4.6%
3Com* 59,050 $ 2,141
Altera* 39,600 1,854
Computer Associates International 90,003 4,686
Computer Sciences* 50,000 3,959
Harris 34,600 1,641
Microsoft* 85,900 12,155
Oracle Systems* 93,100 3,101
Pitney Bowes 12,475 1,049
Solectron* 91,000 3,316
Sungard Data Systems* 25,400 657
-------
34,559
-------
MISCELLANEOUS CONSUMER SERVICES -- 0.2%
Service International 35,900 1,313
-------
MOTORCYCLES, BICYCLES & PARTS -- 0.1%
Harley-Davidson 36,900 976
-------
PAPER & PAPER PRODUCTS -- 1.3%
Fort James 44,920 1,758
Georgia-Pacific 4,300 367
International Paper 55,800 2,647
Kimberly-Clark 55,250 2,876
Union Camp 12,225 734
Weyerhaeuser 24,100 1,273
-------
9,655
-------
PETROLEUM & FUEL PRODUCTS -- 3.1%
Apache 61,000 2,242
Atlantic Richfield 74,300 6,055
Global Marine* 55,600 1,463
Noble Drilling* 54,000 1,623
Phillips Petroleum 64,246 3,112
Rowan* 40,900 1,391
Schlumberger 89,700 7,383
-------
23,269
-------
PETROLEUM REFINING -- 4.4%
Amoco 19,300 1,737
Chevron 101,402 8,131
Exxon 152,825 9,322
Mobil 49,525 3,563
Sun 38,400 1,553
Texaco 38,900 2,198
Tosco 35,600 1,159
USX-Marathon Group 107,100 3,668
Valero Energy 43,000 1,349
-------
32,680
-------
3
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
LARGE CAP FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PRINTING & PUBLISHING -- 1.5%
Bowne 30,300 $ 1,157
Dow Jones 13,050 660
Gannett 33,146 1,925
Lafarge 20,900 624
McGraw-Hill 39,150 2,679
New York Times, Cl A 38,000 2,256
R.R. Donnelley & Sons 22,225 783
Tribune 25,500 1,438
-------
11,522
-------
PROFESSIONAL SERVICES -- 0.5%
Halliburton 32,000 1,726
Paychex 44,600 1,829
-------
3,555
-------
RAILROADS -- 0.5%
Burlington Northern Santa Fe 30,900 2,827
Union Pacific 11,825 710
-------
3,537
-------
RETAIL -- 6.3%
Costco* 61,500 2,725
CVS 29,401 1,952
Dayton-Hudson 86,200 5,727
Dollar General 71,425 2,687
Federated Department Stores* 45,700 2,082
Fred Meyer* 39,270 1,330
Great Atlantic & Pacific Tea 23,300 719
Home Depot 89,100 4,984
Homebase* 27,300 229
JC Penney 26,850 1,725
Kohls* 56,900 4,118
Kroger* 77,900 2,683
May Department Stores 19,575 1,052
Rite Aid 52,500 3,452
Ruddick 32,900 670
Safeway* 103,944 6,315
Sears Roebuck 8,975 411
TJX 40,300 1,390
Toys "R" Us* 46,700 1,594
Walgreen 47,600 1,532
-------
47,377
-------
RUBBER & PLASTIC -- 0.9%
Dow Chemical 29,140 2,878
Premark International 40,900 1,069
Rubbermaid 16,375 397
Sealed Air* 40,100 2,281
-------
6,625
-------
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
SEMI-CONDUCTORS/INSTRUMENTS -- 1.3%
AMP 41,400 $ 1,798
Intel 94,068 7,302
Thomas & Betts 14,100 640
--------
9,740
--------
SPECIALTY CONSTRUCTION -- 0.4%
Cooper Industries 52,225 2,696
Tecumseh Products, Cl A 13,400 660
--------
3,356
--------
STEEL & STEEL WORKS -- 0.8%
Aluminum Company of America 47,500 3,194
Asarco 20,900 520
Texas Industries 32,000 1,490
USX-U.S. Steel Group 23,100 723
--------
5,927
--------
TELEPHONES & TELECOMMUNICATION -- 7.2%
Airtouch Communications* 97,600 3,831
Alltel 14,700 584
Ameritech 112,975 8,706
AT&T 112,975 6,312
Bell Atlantic 97,998 8,746
BellSouth 100,093 5,480
L.M. Ericsson Telephone, ADR* 50,400 2,038
Lucent Technologies 65,100 5,216
Motorola 18,000 1,132
SBC Telecommunications 10,825 788
Sprint 25,500 1,493
US West 79,525 3,594
WorldCom* 183,900 5,885
--------
53,805
--------
TRUCKING -- 0.2%
Yellow* 44,700 1,179
--------
WHOLESALE -- 0.3%
BJ's Wholesale Club* 27,300 795
Cardinal Health 15,600 1,182
--------
1,977
--------
Total Common Stocks
(Cost $594,122) 733,921
--------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill (A)
Zero coupon, 02/05/98 $ 1,330 1,317
--------
Total U.S. Treasury Obligation
(Cost $1,318) 1,317
--------
4
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.2%
FHLB Discount Note
5.600%, 12/01/97 $ 120 $ 120
FHLMC Discount Notes
5.460%, 12/05/97 145 145
5.490%, 12/11/97 490 489
FNMA Discount Notes
5.430%, 12/11/97 805 804
5.500%, 12/23/97 290 289
--------
Total U.S. Government Agency Obligations
(Cost $1,847) 1,847
--------
COMMERCIAL PAPER -- 0.1%
Ford Motor Credit
5.540%, 12/01/97 181 181
Prudential Funding
5.450%, 12/01/97 679 679
--------
Total Commercial Paper
(Cost $860) 860
--------
REPURCHASE AGREEMENT -- 1.8%
Merrill Lynch
5.650%, dated 11/28/97, matures
12/01/97, repurchase price
$13,303,000 (collateralized
by U.S. Treasury Note par value
$6,500,000, 5.625%, total market
value $6,650,000) 13,297 13,297
--------
Total Repurchase Agreement
(Cost $13,297) 13,297
--------
Total Investments -- 100.1%
(Cost $611,444) 751,242
--------
OTHER ASSETS AND LIABILITIES, NET -- (0.1%) (875)
--------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Capital shares (unlimited
authorization -- no par value) based
on 51,291,105 outstanding shares
of beneficial interest $593,892
Undistributed net investment income 1,567
Accumulated net realized gain
on investments 14,720
Net unrealized appreciation
on investments 139,798
Net unrealized appreciation
on futures contracts 390
--------
Total Net Assets -- 100.0% $750,367
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $14.63
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FHLB -- FEDERAL HOME LOAN BANK
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SMALL CAP FUND
COMMON STOCKS -- 95.6%
AEROSPACE & DEFENSE -- 1.0%
AAR 7,000 $ 270
Aeroflex* 17,800 152
Buckeye Technologies* 11,100 486
Coinstar* 12,800 123
Commonwealth Industries 8,810 146
Doncasters PLC* 7,500 195
Mac-Gray 8,600 127
PRT Group* 14,700 197
Wyman-Gordon* 13,000 278
--------
1,974
--------
AGRICULTURE -- 0.1%
Sylvan* 18,900 260
--------
AIR TRANSPORTATION -- 0.9%
Airborne Freight 4,890 311
Alaska Airgroup* 18,500 691
America West Holdings, Cl B* 20,600 328
Mesaba Holdings* 14,000 306
Skywest 8,500 206
--------
1,842
--------
5
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
AIRCRAFT -- 0.1%
BE Aerospace* 7,000 $ 221
-------
APPAREL/TEXTILES -- 2.1%
Ashworth* 14,700 160
Culp 12,600 235
Dan River* 18,000 270
Fieldcrest Cannon* 13,300 448
First Years 7,300 172
Galey & Lord* 20,800 374
Guilford Mills 10,650 270
Interface 6,900 207
Kellwood 7,050 242
Kenneth Cole Production* 6,100 102
Nautica Enterprises* 8,500 239
Novel Denim Holdings* 6,900 157
Pillowtex 7,790 206
Quaker Fabric* 14,700 288
Quiksilver* 11,600 306
Tefron* 8,900 187
Tommy Hilfiger* 2,200 86
Worldtex* 13,600 116
-------
4,065
-------
AUTOMOTIVE -- 1.6%
Arvin Industries 7,110 245
Borg-Warner Automotive 13,350 629
Coachmen Industries 14,300 318
Federal Mogul 43,100 1,772
Gentex* 6,500 161
-------
3,125
-------
BANKS -- 9.0%
Affiliated Community Bancorp 8,725 249
Albank Financial 4,640 215
Andover Bancorp 5,310 200
Astoria Financial* 30,577 1,686
Bank North Group 7,000 423
Bank Plus* 1,500 17
Bay View Capital 5,000 169
Cenfed Financial 10,040 409
Century Bancorp 7,300 131
Coast Savings Financial* 33,400 2,004
Commercial Federal 2,950 142
Cullen/Frost Bankers 1,500 80
Dime Bancorp* 7,535 183
Dime Community Bancorp* 17,800 414
Downey Financial 40,585 1,116
Eagle Financial 14,400 745
Firstfed Financial* 9,600 350
Flushing Financial* 14,000 311
Hubco 1,854 64
Imperial Bancorp* 20,330 949
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Long Island Bancorp 24,700 $ 1,164
Magna Group 7,000 280
New York Bancorp 3,000 106
North Fork Bancorporation 5,000 152
ONBANCorp 4,760 320
Peoples Heritage Financial Group 3,600 153
PFF Bancorp* 39,000 717
Prime Bancshares* 13,400 265
Reliance Bancorp 38,100 1,262
Republic Bancorp 15,345 265
Riggs National 35,250 857
Silicon Valley Bancshares* 2,000 105
SIS Bancorp 6,540 220
Sterling Bancorp 10,800 237
TR Financial 43,210 1,421
Trans Financial 4,900 168
Westamerica Bancorporation 1,300 119
-------
17,668
-------
BEAUTY PRODUCTS -- 0.1%
Block Drug, Cl A 3,811 172
-------
BICYCLES -- 0.0%
Rockshox* 7,900 67
-------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.2%
Cox Radio, Cl A* 2,800 95
Getty Communications PLC* 8,600 124
McClatchy Newspapers, Cl A 6,700 193
Pegasus Communications* 1,200 26
-------
438
-------
BUILDING & CONSTRUCTION -- 0.7%
Centex 5,030 319
Crossman Communities* 6,000 136
Jacobs Engineering Group* 5,500 145
Lennar 4,700 98
MDC Holdings 22,190 245
Toll Brothers* 11,800 285
Willbros Group* 7,500 131
-------
1,359
-------
BUILDING & CONSTRUCTION SUPPLIES -- 0.2%
Griffon* 8,200 128
Miller Industries* 8,200 80
Nortek* 6,500 158
-------
366
-------
CHEMICALS -- 1.3%
Cambrex 16,800 762
Dexter 6,890 274
General Chemical Group 14,200 391
H.B. Fuller 4,410 216
6
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Mississippi Chemical 400 $ 8
OM Group 10,300 395
Scotts* 3,700 108
Special Devices* 9,900 260
Tredegar Industries 3,100 204
------
2,618
------
COAL MINING -- 0.1%
Zeigler Coal Holding 13,800 219
------
COMMUNICATIONS EQUIPMENT -- 1.1%
Ace-Comm* 3,700 61
Davox* 8,900 294
Digital Microwave* 8,600 135
Dionex* 1,000 50
Mercury Interactive 12,000 292
Nice Systems Ltd* 5,100 222
Pairgain Technologies* 3,900 92
Powerwave Technologies* 7,000 174
Sawtek* 7,000 204
Tekelec* 13,700 519
Transcrypt International* 6,600 153
------
2,196
------
COMPUTERS & SERVICES -- 2.9%
Apex PC Solutions* 10,550 232
Avid Technology* 18,000 526
Box Hill Systems* 6,000 70
Channell Commercial* 8,500 100
Cirrus Logic* 11,200 148
Comverse Technology* 4,200 141
Data General* 5,900 106
Deltek Systems* 7,750 134
Dynatech* 3,100 113
Encad* 8,700 336
HMT Technology* 20,000 262
Inspire Insurance Solutions* 4,100 78
Kentek Information Systems 15,500 120
Lecroy* 4,500 172
Maxwell Technologies* 7,500 201
Memco Software Ltd* 4,500 104
Micros Systems* 4,300 226
National Computer Systems 5,910 216
Natural Microsystems* 7,200 342
Network Appliance* 7,200 363
Oak Technology* 17,600 145
Sequent Computer Systems* 10,000 232
Telxon 11,800 288
Trident Microsystems* 15,400 176
Wang Laboratories* 35,500 785
------
5,616
------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
CONCRETE & MINERAL PRODUCTS -- 0.3%
Ferro 11,540 $ 442
Florida Rock Industries 8,460 220
------
662
------
CONSUMER PRODUCTS -- 0.6%
Stride Rite 40,800 487
Vans* 26,500 426
Wolverine World Wide 7,750 177
------
1,090
------
CONTAINERS & PACKAGING -- 0.3%
Greif Brothers 2,100 69
Silgan Holdings* 9,000 313
US Can* 15,800 261
------
643
------
DRUGS -- 2.3%
Alpharma, Cl A 12,600 288
Anesta* 6,800 109
ChiRex* 7,200 175
Dura Pharmaceuticals* 19,200 842
Fuisz Technologies* 8,700 78
Guilford Pharmaceuticals* 14,400 324
IDEC Pharmaceuticals* 2,300 80
Ivax 61,600 435
Jones Medical Industries 11,000 363
Medicis Pharmaceutical, Cl A* 7,500 321
Onyx Pharmaceuticals* 6,400 46
Parexel International* 16,300 562
Pathogenesis* 9,200 327
Rexall Sundown* 19,800 470
Sangstat Medical* 2,700 94
------
4,514
------
ELECTRICAL SERVICES -- 1.0%
Commonwealth Energy System 10,130 289
Central Louisiana Electric 8,500 247
Esco Electronics* 12,600 206
Public Service of New Mexico 43,590 891
Sierra Pacific Resources 8,260 280
Sigcorp 10,450 280
------
2,193
------
ELECTRICAL TECHNOLOGY -- 0.6%
Anadigics* 8,200 273
Belden 6,800 225
Electro Scientific Industries* 5,000 208
Marshall Industries* 8,700 300
Smart Modular* 1,200 74
------
1,080
------
7
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
ENTERTAINMENT -- 1.2%
Cinar Films, Cl B* 1,200 $ 50
Family Golf Centers* 9,400 267
Harveys Casinos Resorts 13,800 273
N2k* 7,500 146
Regal Cinemas* 8,475 216
Vistana* 9,600 212
WMS Industries* 51,700 1,202
-------
2,366
-------
ENVIRONMENTAL SERVICES -- 0.3%
American Disposal Services* 2,300 82
Eastern Environmental Services* 8,700 207
Newpark Resources* 11,200 223
-------
512
-------
FINANCIAL SERVICES -- 5.3%
Americredit* 10,600 293
Apartment Investment &
Management, REIT 28,000 990
Arden Reality Group, REIT* 21,400 651
Bedford Property Investors, REIT 9,000 184
Brandywine Realty Trust, REIT 8,900 215
Burnham Pacific Properties, REIT 15,900 228
Equity Inns, REIT 21,100 320
First Alliance* 9,375 195
Franchise Mortgage Acceptance* 9,300 163
Healthcare Realty Trust, REIT 8,700 254
Home Properties of
New York, REIT 12,300 327
Imperial Credit Industries* 21,200 507
Interra Financial 4,900 270
JSB Financial 5,500 256
Kilroy Realty, REIT 33,700 885
Liberty Property Trust, REIT 25,100 701
McDonald 29,100 784
Metris* 6,600 251
Mid-America Apartment
Communities, REIT 15,000 414
Moneygram Payment Systems* 10,800 139
Pacific Gulf Properties, REIT 8,700 195
Piper Jaffray 9,750 270
Prentiss Properties Trust, REIT 32,000 828
RFS Hotel Investors, REIT 35,300 671
Sirrom Capital 4,800 211
T&W Financial* 9,900 160
-------
10,362
-------
FOOD, BEVERAGE & TOBACCO -- 1.0%
Adolph Coors, Cl B 8,060 290
Chiquita Brands International 32,400 549
M&F Worldwide 16,800 162
Morningstar Group* 7,000 343
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Pilgrims Pride 9,000 $ 144
Schweitzer-Manduit International* 5,400 192
Standard Commercial 6,363 111
Universal 7,400 293
-------
2,084
-------
GAS/NATURAL GAS -- 0.7%
Connecticut Energy 9,200 238
Energen 4,560 173
Northwest Natural Gas 8,600 241
NUI 21,800 537
Unit* 17,900 196
-------
1,385
-------
GLASS PRODUCTS -- 0.3%
Excel Industries 11,050 215
Hirsch International* 5,450 109
Libbey 8,400 332
-------
656
-------
HOTELS & LODGING -- 0.6%
CapStar Hotel* 2,100 79
Doubletree* 1,500 66
Pegasus Systems* 12,000 213
Prime Hospitality* 12,000 229
Signature Resorts* 12,800 342
Silverleaf Resorts* 11,300 234
-------
1,163
-------
HOUSEHOLD FURNITURE & FIXTURES -- 0.7%
Bush Industries 7,800 206
Ethan Allen Interiors 15,200 585
Furniture Brands International* 21,700 425
O'Sullivan Industries Holdings* 15,960 203
-------
1,419
-------
HOUSEHOLD PRODUCTS -- 1.4%
Advanced Lighting Technologies* 8,500 178
American Safety Razor* 47,750 907
Helen of Troy Ltd* 11,200 160
Holophane* 10,000 227
National Presto Industries 16,600 651
Royal Appliance Manufacturing* 17,000 118
Thomas Industries 7,110 226
Windmere 13,100 316
-------
2,783
-------
INSURANCE -- 5.7%
Allmerica Financial* 6,800 330
American Heritage 4,580 168
Arm Financial 6,000 122
Capmac Holdings 11,500 390
8
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
CNA Surety 11,990 $ 174
Concentra Managed Care* 5,500 186
Delphi Financial Group, Cl A* 4,490 180
E.W. Blanch Holdings 17,100 591
Enhance Financial Services Group 6,200 346
Everest Reinsurance Holdings 6,500 247
Executive Risk 2,900 188
First American Financial 3,880 238
FPIC Insurance Group* 8,200 225
Fremont General 5,180 238
Frontier Insurance Group 3,000 72
Harleysville Group 13,200 305
Healthcare Recoveries* 7,000 142
Highlands Insurance Group* 21,200 596
Horace Mann Educators 31,300 1,749
IPC Holdings 27,300 822
Lasalle Re Holdings 9,800 322
Life Re 3,300 189
Life USA Holdings* 26,300 441
NS Group* 2,700 51
Orion Capital 5,970 269
Penn Treaty American* 4,500 146
Penncorp Financial Group 8,300 281
PMI Group 2,800 182
Presidential Life 11,290 229
Renaissancere Holdings 9,700 406
RLI 5,140 225
State Auto Financial 15,600 388
Stirling Cooke Brown Holdings* 3,400 82
Total Renal Care Holdings* 14,000 362
Vesta Insurance Group 4,200 230
WR Berkley 4,800 200
-------
11,312
-------
LEASING & RENTING -- 0.3%
Aaron Rents 12,800 214
Rental Service* 8,500 214
Renters' Choice* 9,350 210
-------
638
-------
LEISURE PRODUCTS -- 0.4%
DSI Toys* 12,000 33
Fossil* 8,700 194
Standard Motor Products 9,700 191
Velcro Industries 2,800 266
-------
684
-------
LUMBER & WOOD PRODUCTS -- 0.4%
American Woodmark 7,300 161
Modtech* 12,150 255
TJ International 17,010 423
-------
839
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MACHINERY -- 2.7%
Allied Products 5,250 $ 127
Amcast Industrial 9,410 233
Aptar Group 3,600 205
Asyst Technologies* 8,400 259
Brooks Automation* 2,700 57
Camco International 1,500 94
CTB International 10,100 168
Gardner Denver Machinery* 11,030 414
Gehl* 5,200 117
Gleason 7,900 205
Idex 1,500 50
Kuhlman 12,800 452
Kulicke & Soffa Industries* 2,200 61
Lam Research* 500 15
Layne Christensen * 6,500 113
Lindsay Manufacturing 2,500 101
Magnetek* 8,600 180
Manitowoc 4,200 140
Micrel* 6,500 225
Moog* 29,200 1,062
Omniquip International* 19,600 375
Robbins and Myers 3,000 115
Terex 16,900 346
Varco International* 5,600 287
-------
5,401
-------
MANUFACTURING -- 0.7%
Donaldson 1,500 72
Gasonics International* 12,800 170
Halter Marine Group* 4,750 132
NCH 3,250 222
Watts Industries, Cl A 27,000 687
Zebra Technologies, Cl A* 2,000 64
-------
1,347
-------
MARINE TRANSPORTATION -- 1.0%
Avondale Industries* 48,160 1,367
Hvide Marine* 8,000 226
Oak Industries* 11,700 324
-------
1,917
-------
MEASURING DEVICES -- 1.0%
Advanced Energy Industries* 6,800 134
Aetrium* 14,900 278
Chart Industries 9,600 222
Cohu 5,700 202
Cyberoptics 9,500 260
Esterline Technologies* 7,300 258
Fluke 9,000 214
Molecular Dynamics* 9,000 181
MTS Systems 5,700 219
-------
1,968
-------
9
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
MEDICAL PRODUCTS & SERVICES -- 4.6%
Advanced Health* 5,800 $ 79
Algos Pharmaceuticals* 10,800 281
American Homepatient* 23,500 482
Apria Healthcare Group* 36,300 572
Assisted Living Concepts* 8,200 140
Capital Senior Living* 7,300 94
Carematrix 6,200 165
Castle Dental Centers* 5,500 60
Del Global Technologies* 22,300 223
Digene* 7,300 67
ESC Medical Systems* 7,100 255
Genesis Health Ventures* 4,000 97
Gilead Sciences* 1,400 48
Haemonetics* 12,300 181
Hanger Orthopedic Group* 8,500 105
Healthworld 12,200 128
Hologic* 10,400 269
Horizon Health 6,500 153
Integrated Health Services 14,100 429
Interim Services* 10,100 286
Invacare 3,000 69
Mariner Health Group* 10,200 148
Maxicare Health Plans* 8,500 109
Medquist* 7,650 199
Mentor Corporation 7,500 255
Molecular Devices* 6,200 129
National Surgery Centers* 7,500 187
NCS Healthcare* 10,400 277
Novacare* 16,760 207
OEC Medical Systems* 3,300 71
Orthodontic Centers of America* 24,900 451
Paragon Health Network* 3,706 192
Pediatrix Medical Group* 8,600 381
Pharmaceutical Product
Development* 5,200 79
PHP Healthcare* 4,400 71
Renal Treatment Centers* 7,000 233
Res-Care* 11,100 261
Respironics* 6,900 185
Sabratek* 3,800 99
Safeskin* 4,700 224
Schick Technologies* 4,000 105
Sofamor/Danek Group* 3,200 225
Sun Healthcare Group* 11,000 236
Techne* 3,600 67
Trigon Healthcare* 11,400 292
Universal Health Services, Cl B* 1,400 61
Urologix* 6,400 127
------
9,054
------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
METALS & MINING -- 0.3%
Cleveland Cliffs 6,100 $ 263
Wolverine Tube* 7,500 238
------
501
------
MISCELLANEOUS BUSINESS SERVICES -- 7.4%
Abacus Direct* 4,500 188
Acxiom* 6,000 103
Advo Systems* 13,600 296
American Business Info, Cl A* 4,600 54
American Software* 15,600 144
Arbor Software* 7,200 218
Aspen Technology* 16,400 625
Axent Technologies* 4,700 98
Black Box* 4,500 160
Borland International* 24,400 247
Cambridge Technology Partners* 9,500 369
Concord EFS* 17,100 436
Credit Management Solutions* 6,800 82
Cybermedia* 6,300 142
Day Runner* 6,600 257
Discreet Logic* 5,700 108
Engineering Animation* 3,100 143
Envoy* 16,800 519
Fair, Isaac 4,000 171
Harbinger 3,500 105
HNC Software* 4,100 129
Hooper Holmes 5,400 86
Hyperion Software* 17,900 771
ITI Technologies* 6,700 167
J.D. Edwards* 2,400 82
JDA Software Group* 16,700 518
Learning* 53,500 970
Legato Systems* 3,200 122
Logility* 5,800 80
Manugistics* 6,400 223
McAfee Associates* 3,000 137
Metzler Group* 6,900 269
NCO Group* 4,500 170
Nova* 4,900 131
Novacare Employee Services* 8,300 75
Ontrack Data International* 4,900 112
Peerless Systems* 11,200 167
Pegasystems* 10,300 198
Peritus Software Services* 6,600 113
Pierce Leahy* 3,200 78
PRI Automation* 5,500 188
Project Software & Development* 23,000 449
Quickresponse Services* 2,300 81
Registry* 7,000 308
Remedy* 2,500 109
RWD Technologies* 4,600 93
Security Dynamics Technology* 2,700 92
10
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Siebel Systems* 1,400 $ 58
Software AG Systems* 21,800 222
Staff Leasing* 10,800 240
Stratus Computer* 3,500 114
Summit Design* 4,700 65
Sunquest* 2,700 21
Superior Services* 3,500 83
Systems & Computers
Technology* 8,500 397
Technology Solutions* 11,100 343
Transaction Systems Architects* 8,500 330
Vantive 3,000 72
Veritas Software* 9,525 416
Vestcom International* 8,100 164
Viewlogic Systems* 14,800 394
Visio* 14,800 557
Wackenhut Corrections* 11,900 333
Wall Data* 8,100 132
Wonderware 15,100 276
-------
14,600
-------
MISCELLANEOUS CONSUMER SERVICES -- 0.5%
Carriage Services* 7,800 152
Corestaff* 2,000 54
CPI 6,400 119
G&K Services 4,500 165
Lamalie Associates* 8,900 165
Robert Half International* 600 23
Romac International* 3,600 70
SOS Staffing Services* 13,600 286
-------
1,034
-------
MISCELLANEOUS MANUFACTURING -- 1.4%
AFC Cable Systems* 9,250 247
Cable Design Technologies* 6,500 263
Coastcast* 11,400 160
Coherent* 2,500 94
Culligan Water Technologies* 4,700 211
Encore Wire* 12,000 413
General Cable* 14,200 485
Paragon Trade Brands* 4,600 104
RMI Titanium* 7,800 185
Samsonite 5,500 199
Varlen 11,100 304
-------
2,665
-------
OFFICE FURNITURE & FIXTURES -- 0.2%
Kimball International, Cl B 4,960 199
Knoll* 6,200 187
-------
386
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
PAPER & PAPER PRODUCTS -- 0.6%
American Pad & Paper* 14,200 $ 206
Gaylord Container* 28,400 193
Shorewood Packaging* 29,200 704
-------
1,103
-------
PETROLEUM & FUEL PRODUCTS -- 3.3%
Basin Exploration* 700 13
Belco Oil & Gas* 7,700 158
Berry Petroleum 32,500 607
Cabot Oil & Gas, Cl A 3,100 64
Cliffs Drilling* 6,000 333
Comstock Resources* 17,300 227
Cross Timbers Oil 6,700 155
Eagle Geophysical* 6,400 104
Edge Petroleum* 6,900 94
Evergreen Resources* 13,400 209
EVI* 2,600 134
Forcenergy Gas* 1,900 59
Giant Industries 11,000 202
Grey Wolf* 10,600 66
HS Resources* 10,100 161
IRI International 3,500 56
Key Energy Group* 13,600 331
Marine Drilling* 12,500 284
National Energy Group
International* 37,500 162
Nuevo Energy* 1,400 58
Oceaneering International* 12,100 250
Patterson Energy* 8,000 294
Petroglyph Energy* 4,500 50
Pool Energy Services* 10,600 274
Pride International* 7,000 193
SEACOR SMIT* 8,000 446
Seitel* 5,800 223
Snyder Oil Common 12,010 239
UTI Energy* 14,900 417
Veritas DGC* 11,600 464
Wiser Oil 11,430 174
-------
6,501
-------
PRINTING & PUBLISHING -- 2.7%
Applied Graphics Technologies* 4,700 219
Big Flower Press Holdings* 27,100 595
Bowne 25,600 978
Electronics for Imaging* 2,600 125
Journal Register* 9,800 166
Lone Star Industries 8,090 422
Media General 22,800 972
Merrill 9,400 189
New England Business Service 4,000 127
Southdown 9,100 525
11
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Standard Register 7,710 $ 264
Valassis Communications* 27,300 821
-------
5,403
-------
PROFESSIONAL SERVICES -- 1.6%
American Oncology Resources* 28,900 394
Boron Lepore & Associates* 7,200 176
Carson Pirie* 6,890 356
CDI* 5,000 207
Consolidated Graphics* 4,850 232
Devry* 7,000 187
Educational Management* 4,100 102
Equity International* 29,000 620
Fabri-Centers of America, Cl A* 8,000 168
FYI* 4,600 109
Pre Paid Legal* 2,500 71
Preview Travel* 4,300 40
Sylvan Learning Systems* 4,900 200
Tetra Tech* 7,000 179
White Cap Industries* 4,100 79
-------
3,120
-------
RAILROADS -- 0.2%
Canadian National Railway 5,300 274
Rural/Metro* 2,500 85
-------
359
-------
REAL ESTATE -- 0.2%
Golf Trust of America, REIT 12,300 332
Intrawest 3,500 59
-------
391
-------
RETAIL -- 9.3%
Ames Department Stores* 18,600 316
Arbor Drugs 6,300 171
Authentic Fitness 14,200 233
Boise Cascade Office Products* 13,600 247
Bombay* 23,800 123
Brylane* 7,200 373
Building Material Holding 21,200 239
Burlington Coat Factory
Warehouse* 77,360 1,446
Cash America International 34,980 437
CDW Computer Centers* 5,250 310
Charming Shoppes* 69,200 340
Cheesecake Factory* 6,200 191
Children's Place Retail Stores* 7,100 36
CKE Restaurants 7,150 269
Compucom Systems* 29,900 306
Dollar Tree Stores* 2,500 104
Dress Barn* 25,570 658
Duck-Wall Alco Stores* 7,100 109
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Eagle Hardware & Garden* 3,500 $ 60
Fine Host* 4,400 129
Finlay Enterprises* 8,600 185
Foodmaker* 12,800 198
Footstar* 22,300 669
Fred Meyer* 10,060 341
Gadzooks* 6,800 190
Genesco* 6,300 82
Goodys Family Clothing* 5,500 183
Guitar Center* 3,000 65
Homebase* 62,300 522
Hot Topic* 8,400 210
Information Management
Associates* 6,700 70
Landry's Seafood Restaurants* 15,600 439
Little Switzerland* 27,600 185
Longs Drug Stores 41,900 1,226
Men's Wearhouse* 10,700 376
Michaels Stores* 9,600 311
Microage* 2,600 52
Nichols Research* 3,650 86
O'Charleys* 10,000 180
Pacific Sunwear of California* 10,200 333
Papa John's International* 7,900 263
Paul Harris Stores* 16,900 357
Petco Animal Supplies* 16,250 479
Pier 1 Imports 14,700 329
Piercing Pagoda* 4,400 117
Proffitts* 2,800 86
Quality Food Centers* 6,000 377
Ross Stores* 6,600 257
Ruddick 22,300 454
Ryan's Family Steak Houses* 28,730 255
Shopko Stores 67,050 1,408
Showbiz Pizza Time* 10,900 234
Sonic* 10,200 282
St. John Knits 5,000 191
Tropical Sportswear* 16,900 199
Track 'n Trail* 6,100 64
US Office Products* 5,100 101
Whole Foods Market* 4,599 211
Williams Sonoma* 2,600 99
Zale* 23,300 518
-------
18,281
-------
RUBBER & PLASTIC -- 0.6%
Carlisle Companies 4,300 183
Furon 12,400 490
Hanna 16,700 412
-------
1,085
-------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.1%
Alliance Semiconductor* 11,400 72
12
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
AVX 12,300 $ 331
Burr-Brown* 12,350 374
Computer Products* 6,500 129
Cypress Semiconductor* 8,700 95
Elantec Semiconductor* 9,600 58
ESS Technology* 46,900 469
Etec Systems* 5,000 229
FSI International* 1,300 20
Hadco* 4,200 260
Helix Technology 12,400 292
Hutchinson Technology* 2,900 69
IEC Electronics 16,500 248
Integrated Device Technology* 7,700 78
International Manufacturing
Services* 14,600 148
Intevac* 12,500 125
Level One Communications* 9,750 407
Microchip Technology* 1,850 65
Novellus Systems* 500 19
Photronics Labs* 6,200 296
PMC-Sierra* 9,300 256
Qlogic* 6,300 209
Remec* 10,600 248
Sanmina* 11,000 748
Stoneridge* 22,900 385
Technitrol 4,800 152
Unitrode* 8,400 158
Vitesse Semiconductor* 4,100 183
Zytec* 700 18
------
6,141
------
SPECIALTY CONSTRUCTION -- 0.2%
Apogee Enterprises 10,000 221
Oakwood Homes 5,000 150
------
371
------
SPECIALTY MACHINERY -- 0.1%
Fedders 24,400 139
Littelfuse* 1,000 28
Pameco 7,300 114
------
281
------
STEEL & STEEL WORKS -- 0.9%
Inland Steel Industries 11,570 221
Maverick Tube* 23,000 657
National Steel, Cl B* 32,230 483
Precision Castparts 2,000 119
Quanex 5,800 173
Reliance Steel & Aluminum 7,340 206
------
1,859
------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATION -- 1.2%
Boston Communications Group* 16,000 $ 150
Boston Technology* 2,300 49
Brightpoint* 39,650 637
Concentric Network 6,200 64
ICG Communications* 1,800 42
Intermedia Communications
of Florida* 1,400 69
LCC International* 9,800 194
Mas Technology Limited, ADR* 9,200 143
Metromedia Fiber Network* 2,600 44
Nextlink Communications* 8,900 180
Pacific Gateway Exchange* 6,800 264
Smartalk Teleservices* 7,700 165
United Video Satellite Group* 10,500 273
------
2,274
------
TESTING LABORATORIES -- 0.4%
Aurora Biosciences 7,700 100
Celgene 10,700 97
Curative Technologies* 3,400 97
International Telecommunications
Data Systems* 5,600 146
Neurex 2,200 34
Plexus* 10,400 277
------
751
------
TRANSPORTATION SERVICES -- 0.2%
Galileo International* 8,900 239
GATX 4,090 248
------
487
------
TRUCKING -- 1.6%
Air Express International 3,000 86
American Freightways 7,500 108
Arkansas Best* 33,800 372
Expeditors International
of Washington 9,600 374
Heartland Express* 2,000 47
Iron Mountain* 6,900 260
MS Carriers* 7,400 179
Roadway Express 10,900 294
Rollins Truck Leasing 30,700 516
Swift Transportation* 5,500 153
USFreightways 14,920 459
Werner Enterprises 2,000 43
Yellow* 8,520 225
------
3,116
------
WATER UTILITIES -- 0.1%
California Water Service 4,520 242
------
13
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
SMALL CAP FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
WHOLESALE -- 4.7%
Adflex Solutions* 10,500 $ 202
Amerisource Health* 4,000 259
Aztec Manufacturing 14,100 241
Barnes Group 9,560 250
BJ's Wholesale Club* 73,800 2,149
Cameron Ashley Building
Products* 8,100 127
Cellstar* 10,500 272
Central Garden and Pet* 9,500 270
CHS Electronics* 3,200 60
Greenbrier 23,700 406
HA-LO Industries* 10,850 276
Insight Enterprises* 13,950 541
Integrated Circuit Systems* 11,300 318
JP Foodservice* 8,000 236
Marquette Medical Systems, Cl A* 16,700 376
Michael Foods 12,900 285
North Face* 17,000 370
Patterson Dental* 6,000 246
Performance Food Group* 6,500 137
Pioneer Standard Electronics 48,000 789
Richfood Holdings 6,100 167
SED International Holdings* 18,490 237
Serologicals* 9,800 218
Tower Automotive* 6,000 238
United Stationers 7,700 331
Universal Forest Products 24,300 371
--------
9,372
--------
Total Common Stocks
(Cost $163,827) 188,601
--------
U.S. TREASURY OBLIGATION -- 0.2%
U.S. Treasury Bill (A)
Zero coupon, 02/05/98 $ 410 406
--------
Total U.S. Treasury Obligation
(Cost $406) 406
--------
REPURCHASE AGREEMENT -- 4.1%
Merrill Lynch
5.650%, dated 11/28/97,
matures 12/01/97, repurchase price
$8,102,000 (collateralized by various
U.S. Treasury Notes par value
$4,700,000, 5.250%- 6.000%, 12/31/97-09/30/98,
total market value: $4,759,000) 8,098 8,098
--------
Total Repurchase Agreement
(Cost $8,098) 8,098
--------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Total Investments -- 99.9%
(Cost $172,331) $197,105
--------
OTHER ASSETS AND LIABILITIES, NET -- 0.1% 192
--------
NET ASSETS:
Capital shares (unlimited
authorization -- no par value) based
on 15,622,355 outstanding shares of
beneficial interest 163,326
Undistributed net investment income 157
Accumulated net realized gain
on investments 8,893
Net unrealized appreciation on investments 24,774
Net unrealized appreciation on futures
contracts 147
--------
Total Net Assets -- 100.0% $197,297
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 12.63
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
CL -- CLASS
PLC -- PUBLIC LIMITED COMPANY
REIT -- REAL ESTATE INVESTMENT TRUST
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CORE FIXED INCOME FUND
U.S. TREASURY OBLIGATIONS -- 25.6%
U.S. Treasury Bonds
9.250%, 02/15/16 $ 28,695 $ 38,527
6.000%, 02/15/26 8,220 8,093
6.500%, 11/15/26 2,489 2,622
6.625%, 02/15/27 34,202 36,659
6.375%, 08/15/27 2,000 2,079
6.125%, 11/15/27 150 152
U.S. Treasury Notes
5.000%, 01/31/99 450 446
6.000%, 06/30/99 3,140 3,151
5.875%, 11/15/99 1,760 1,763
6.375%, 01/15/00 525 531
6.375%, 05/15/00 500 506
5.750%, 10/31/00 685 684
6.625%, 03/31/02 200 206
6.250%, 06/30/02 1,070 1,086
6.250%, 08/31/02 35 36
5.750%, 11/30/02 2,900 2,889
10.750%, 02/15/03 400 486
14
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
5.875%, 02/15/04 $ 675 $ 676
3.375%, 01/15/07 (E) 7,519 7,416
6.625%, 05/15/07 740 779
6.125%, 08/15/07 2,900 2,956
6.250%, 08/15/23 1,810 1,841
U.S. Treasury STRIPS
Zero coupon, 08/15/20 6,000 1,493
U.S. Treasury Bill (C)
Zero coupon, 03/05/98 950 937
--------
Total U.S. Treasury Obligations
(Cost $108,883) 116,014
--------
CORPORATE OBLIGATIONS -- 20.6%
AIR TRANSPORTATION -- 0.4%
Federal Express
9.650%, 06/15/12 1,275 1,567
9.625%, 10/15/19 150 162
--------
1,729
--------
BANKS -- 4.0%
BankAmerica
9.200%, 05/15/03 150 169
Continental Bank, N.A .
12.500%, 04/01/01 1,000 1,181
Equitable
9.000%, 12/15/04 700 792
First Chicago
9.875%, 08/15/00 450 489
11.250%, 02/20/01 2,000 2,280
First National Bank of Omaha
7.320%, 12/01/10 250 254
First USA Bank of
Wilmington Delaware
6.375%, 10/23/00 4,090 4,100
J.P. Morgan Capital
7.950%, 02/01/27 200 212
Korea Development Bank
7.125%, 09/17/01 540 517
Midland Bank
6.950%, 03/15/11 1,750 1,778
NCNB Bank
10.200%, 07/15/15 1,200 1,596
National Bank of Hungary
8.875%, 11/01/13 650 702
Security Pacific
11.000%, 03/01/01 2,750 3,118
Swiss Bank
7.375%, 07/15/15 200 212
7.000%, 10/15/15 300 306
--------
17,706
--------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.8%
Continental Cablevision
8.875%, 09/15/05 $ 525 $ 589
9.000%, 09/01/08 800 925
9.500%, 08/01/13 1,725 2,012
--------
3,526
--------
CHEMICALS -- 0.1%
Rohm & Haas
9.500%, 04/01/21 600 673
--------
673
--------
ELECTRICAL SERVICES -- 1.9%
Arizona Public Service
PVNGS II Funding
8.000%, 12/30/15 1,000 1,075
Boston Edison
9.875%, 06/01/20 800 878
Boston Edison First Mortgage
9.375%, 08/15/21 1,050 1,186
Commonwealth Edison
9.750%, 02/15/20 1,000 1,087
9.875%, 06/15/20 150 176
Deseret Generator & Transportation
Cooperative
9.375%, 01/02/11 174 181
Hydro Quebec
8.050%, 07/07/24 450 514
Korea Electric Power
7.750%, 04/01/13 540 448
6.750%, 08/01/27 450 395
Long Island Lighting
9.625%, 07/01/24 350 360
Mississippi Power & Light
8.800%, 04/01/05 1,500 1,509
Mobile Energy Services
8.665%, 01/01/17 284 306
Public Services Electric
& Gas (MBIA)
7.625%, 02/01/00 200 205
System Energy Resources
7.430%, 01/15/11 375 380
--------
8,700
--------
ENTERTAINMENT -- 0.2%
News America Holdings
10.125%, 10/15/12 600 698
--------
698
--------
FINANCIAL SERVICES -- 6.2%
Associates of North America
9.125%, 04/01/00 1,300 1,381
Bear Stearns
6.500%, 06/15/00 1,450 1,459
15
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
CORE FIXED INCOME FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Chrysler Financial
13.250%, 10/15/99 $ 150 $ 168
Countrywide Capital I
8.000%, 12/15/26 600 624
Dresdner Bank
7.250%, 09/15/15 1,250 1,303
FNMA, MTN
8.250%, 04/23/12 1,325 1,333
Ford Motor Capital
7.700%, 05/15/97 1,300 1,412
10.125%, 11/15/00 1,525 1,679
9.500%, 07/01/01 1,000 1,101
9.500%, 06/01/10 1,000 1,219
Ford Motor Credit
8.375%, 01/15/00 150 157
6.850%, 08/15/00 575 584
GMAC
0.000%, 06/15/15 2,600 796
Goldman Sachs
6.250%, 02/01/03 800 791
Household Finance
9.625%, 07/15/00 815 880
Lehman Brothers
9.875%, 10/15/00 1,625 1,767
6.125%, 02/01/01 1,750 1,737
Lehman Brothers Holdings, MTN
9.375%, 01/15/99 600 621
8.875%, 02/15/00 250 263
Paine Webber
6.730%, 01/20/04 150 150
Paine Webber Group
6.930%, 08/15/03 325 329
Salomon Brothers
7.750%, 05/15/00 225 232
6.750%, 02/15/03 1,650 1,660
7.000%, 06/15/03 500 509
Salomon
7.500%, 02/01/03 750 779
US West Capital Funding
7.900%, 02/01/27 1,000 1,075
Wharf International Finance
7.625%, 03/13/07 575 569
Zurich Capital Trust (B)
8.376%, 06/01/37 3,300 3,655
-------
28,233
-------
FOOD, BEVERAGE & TOBACCO -- 0.6%
Philip Morris
7.000%, 07/15/05 750 760
RJR Nabisco
8.250%, 07/01/04 1,000 1,036
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
8.750%, 08/15/05 $ 250 $ 265
8.500%, 07/01/07 100 105
8.750%, 07/15/07 425 455
-------
2,621
-------
GAS/NATURAL GAS -- 0.4%
K N Energy
9.625%, 08/01/21 1,400 1,666
-------
1,666
-------
INSURANCE -- 0.2%
American General
9.625%, 07/15/00 440 476
Loew's
7.625%, 06/01/23 450 461
-------
937
-------
LEASING & RENTING -- 0.3%
General Motors
9.625%, 12/01/00 1,271 1,385
-------
1,385
-------
LUMBER & WOOD PRODUCTS -- 0.5%
Georgia Pacific
9.500%, 12/01/11 1,300 1,594
9.750%, 01/15/18 500 521
9.875%, 11/01/21 300 341
-------
2,456
-------
MACHINERY -- 0.0%
Tenneco
7.450%, 12/15/25 125 127
-------
127
-------
MISCELLANEOUS MANUFACTURING -- 1.0%
N R G Energy (B)
7.625%, 02/01/06 2,000 2,083
Phillips Petroleum
9.180%, 09/15/21 1,200 1,329
Pohang Iron & Steel
7.125%, 07/15/04 500 463
7.375%, 05/15/05 250 233
-------
4,108
-------
MISCELLANEOUS TRANSPORTATION -- 1.1%
British Aerospace Financial (B)
7.500%, 07/01/27 4,600 4,939
-------
4,939
-------
16
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
PAPER & PAPER PRODUCTS -- 0.3%
Federal Paperboard
8.875%, 07/01/12 $ 300 $ 359
Union Camp
10.000%, 05/01/19 550 605
Weyerhaeuser
7.250%, 07/01/13 325 341
-------
1,305
-------
PRECIOUS METALS -- 0.1%
Wharf Capital
8.875%, 11/01/04 375 393
-------
393
-------
RETAIL -- 1.0%
Dayton Hudson
10.000%, 01/01/11 350 440
8.600%, 01/15/12 175 203
J.C. Penney
9.750%, 06/15/21 1,200 1,340
Loew's
7.000%, 10/15/23 1,350 1,294
May Department Stores
9.875%, 06/15/21 1,500 1,719
-------
4,996
-------
TELEPHONES & TELECOMMUNICATION -- 0.8%
GTE
10.250%, 11/01/20 300 338
New York Tel
9.375%, 07/15/31 1,125 1,285
TCI Communications
8.750%, 08/01/15 1,700 1,938
Tele-Communications
9.250%, 01/15/23 150 169
-------
3,730
-------
WATER UTILITIES -- 0.7%
Hydro Quebec, Ser FU
11.750%, 02/01/12 820 1,170
Hydro Quebec, Ser GW
9.750%, 01/15/18 1,300 1,474
Norsk Hydro A/S
9.000%, 04/15/12 525 639
-------
3,283
-------
Total Corporate Obligations
(Cost $90,352) 93,211
-------
FOREIGN GOVERNMENT AGENCY OBLIGATIONS -- 0.7%
Petroliam Nasional Berhd (B)
7.125%, 10/18/06 550 538
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Quebec Province
11.000%, 06/15/15 $ 1,000 $ 1,140
Province of New Foundland
10.000%, 12/01/20 1,200 1,623
-------
Total Foreign Government Agency Obligations
(Cost $3,156) 3,301
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.3%
FHLMC, REMIC, Ser 1563, Cl B (A)
8.250%, 08/15/08 534 538
GNMA ARM (A)
Zero Coupon, 12/23/98 1,000 986
GNMA, ARM (A)
6.875%, 10/20/22 721 737
Resolution Trust Funding STRIPS
Zero Coupon, 10/15/20 175 42
Zero Coupon, 01/15/21 1,000 234
Resolution Trust Funding
8.625%, 01/15/30 250 333
SBA, Ser 1996-J
7.200%, 10/01/16 193 200
SLMA, Ser 1996-3 A1 (A)
5.773%, 10/25/04 3,048 3,046
SLMA (A)
6.213%, 07/25/11 1,600 1,604
SLMA, Ser 1997-3, Cl A-1, ARM (A)
5.883%, 04/25/06 5,260 5,240
SLMA, Ser 1997-1, Cl A-2, ARM (A)
5.853%, 01/25/10 2,000 1,994
-------
Total U.S. Government Agency Obligations
(Cost $14,864) 14,954
-------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS--23.6%
FHLMC
9.500%, 09/01/05 1,249 1,311
9.000%, 12/01/05 34 36
7.000%, 05/01/07-09/01/25 12,769 12,848
7.500%, 10/01/09-06/01/12 1,236 1,264
6.500%, 01/01/11-04/01/26 1,354 1,333
9.750%, 10/01/14 562 604
6.000%, 10/01/23 2,029 1,945
8.000%, 08/01/26 3,564 3,683
FHLMC REMIC Ser 1, Cl Z
9.300%, 04/15/19 661 706
FHLMC TBA
7.000%, 12/15/12 925 936
7.500%, 12/15/12 200 205
7.000%, 12/11/27 2,000 2,008
7.500%, 12/11/27 7,800 7,963
17
<PAGE>
SCHEDULE OF INVESTMENTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
CORE FIXED INCOME FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FHLMC, Ser 1997-A, Cl A
7.350%, 04/15/19 $ 1,722 $ 1,768
FNMA
6.750%, 07/30/07 400 405
8.500%, 09/01/13 23 25
7.000%, 05/01/23-07/01/27 4,765 4,774
6.500%, 05/01/26-01/01/27 995 977
6.000%, 02/01/26-10/01/27 12,779 12,239
8.000%, 12/01/26 2,280 2,358
FNMA CMO, Ser 1997-G5
7.050%, 06/25/04 2,213 2,243
FNMA REMIC
5.500%, 08/25/20 2,458 2,370
FNMA REMIC Ser 1996-56 Cl E
Zero Coupon, 04/25/23 63 48
FNMA REMIC, Ser 1990-106, Cl-J
8.500%, 09/25/20 493 514
FNMA REMIC, Ser 1991-156, Cl A
7.500%, 10/25/21 1,788 1,801
FNMA STRIPS
9.000%, 09/25/25 308 329
FNMA TBA
6.500%, 12/01/27 17,500 17,155
7.000%, 12/01/27 3,200 3,210
6.500%, 12/11/27 1,000 980
7.500%, 12/11/27 500 509
FNMA, PO
0.000%, 08/25/23 263 240
FNMA, Ser 97-15 (A)
6.180%, 04/25/27 1,757 1,758
GNMA
8.000%, 11/15/00-10/01/26 3,614 3,740
8.500%, 11/15/00-02/15/26 74 78
7.500%, 09/15/06-10/15/27 2,231 2,278
6.500%, 08/15/23-02/15/24 6,881 6,773
7.000%, 01/15/24-12/15/24 3,371 3,383
GNMA (A)
7.375%, 04/20/25 1,629 1,675
GNMA TBA
6.500%, 12/17/27 500 491
--------
Total U.S. Government Mortgage-Backed
Obligations
(Cost $105,638) 106,963
--------
ASSET-BACKED SECURITIES -- 11.0%
Asset Securitization, Ser 1995-D4
7.100%, 08/13/29 1,359 1,405
Advanta Credit Card Master Trust,
Ser 1995-C, Cl A (A)
5.919%, 01/01/05 6,000 6,020
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
American Airlines
9.780%, 11/26/11 $ 600 $ 704
Asset Securitization, Ser 1997-D4,
Cl A1-C
7.420%, 04/14/29 3,000 3,176
Asset Securitization, Ser 1996-D6
6.880%, 11/13/26 1,800 1,847
AT&T Universal Credit Card
Master Trust 1995-2 A
5.950%, 10/17/02 945 940
Banc One Credit Card Master
Trust 1995-B A
6.300%, 09/15/00 4,100 4,115
Chase Manhattan Auto Grantor
Trust, Ser 1996-B, Cl A
6.610%, 09/15/02 187 189
Citibank Credit Card Master
Trust 1996-1 A
Zero Coupon, 02/07/03 2,500 2,040
Citibank Credit Card Master
Trust I, Ser 1996-1, Cl A
Zero Coupon, 02/07/03 1,100 898
Citibank Credit Card Master Trust,
Ser 1996-1, Cl A
Zero Coupon, 02/07/03 300 245
Citibank Credit Card Master Trust I,
Ser 1996-1, Cl A
Zero Coupon, 02/07/03 2,500 2,040
Chemical Master Credit Card Trust I,
Ser 1995-2, Cl A
6.230%, 06/15/03 6,000 6,012
Chevy Auto Receivables Trust,
Ser 1996-2, Cl A
5.900%, 07/15/03 277 276
Community Program Loan Trust,
Ser 1987-A, Cl A4
4.500%, 10/01/18 350 312
Discover Card Acceptance,
Ser 1995-2, Cl A
6.550%, 02/18/03 725 731
First Chicago Master Trust II,
Ser 1994-L, Cl A
7.150%, 04/15/01 3,075 3,128
First Union-Lehman Brothers CMO,
IO, Ser 1997-C2, Cl IO
1.389%, 11/18/27 2,100 200
IBM Credit Receivables Lease Asset
Master Trust, Ser 93-1, Cl A
4.550%, 11/15/00 292 291
Keycorp Auto Grantor Trust,
Cl 1995-A, Ser A
5.800%, 07/15/00 147 149
18
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Metropolitan Asset Funding
REMIC, Ser 97-B
7.130%, 03/22/12 $ 3,000 $ 3,026
Metropolitan Asset Funding
REMIC, Ser 97-B, Cl A-1B
6.670%, 12/20/06 3,000 3,015
NationsBank, Ser 1995-1, Cl A
6.450%, 04/15/03 1,025 1,033
Premier Auto Trust, Ser 1993-2, Cl A3
4.900%, 10/15/98 111 112
Premier Auto Trust, Ser 1993-5, Cl A2
4.220%, 03/02/99 783 782
Premier Auto Trust, Ser 1993-5, Cl B
4.450%, 03/02/99 59 59
Private Label Credit Card Master
Trust II, Ser 1994-2, Cl A
7.800%, 09/20/03 250 254
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 1,323
Toyota Auto Receivable Grantor Trust
5.850%, 03/15/01 606 605
Union Acceptance Ser 1997-B, Cl A2
6.700%, 04/10/01 1,600 1,624
United Airlines Equipment
Ser 1991, Cl C
10.360%, 11/12/12 1,445 1,794
Western Financial Grantor Trust,
Ser 1995-2, Cl A1
7.100%, 07/01/00 287 290
-------
Total Asset-Backed Securities
(Cost $48,939) 49,674
-------
MORTGAGE-BACKED OBLIGATIONS -- 6.0%
Arbors of Little Rock (D)
7.450%, 01/01/39 950 965
Castle Terrace (D)
8.000%, 05/01/37 500 525
Chase Commercial Mortgage
7.370%, 02/19/07 3,461 3,617
CLC Excelsior II Apartments (D)
8.040%, 02/01/39 499 525
Colony Park Apartments (D)
8.300%, 09/25/38 979 1,039
Creekwood (D)
7.300%, 11/30/38 999 1,017
Cypress Pointe (D)
7.700%, 02/25/38 999 1,046
Concorde Club (D)
7.750%, 06/01/04 871 911
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Contimortgage Home Equity Loan
Trust, Ser 1997-4, Cl A7
6.630%, 09/15/16 $ 1,000 $ 1,002
Denton Assisted Living (D)
7.875%, 03/01/38 498 524
Green Tree Financial,
Ser 1996-10, Cl A6
7.300%, 11/15/28 400 415
Green Tree Financial,
Ser 1997-1, Cl A-6
7.290%, 03/15/28 350 358
Hillsboro Bay Club (D)
7.950%, 03/01/37 470 494
Holt Apartments (D)
7.275%, 07/30/38 579 585
Merrill Lynch Mortgage Investors,
Cl 1996-C2, Ser A3
6.960%, 11/21/28 3,700 3,781
Merrill Lynch Mortgage Investors,
Cl 1996-C2
6.960%, 11/21/28 225 220
JP Morgan Commercial Mortgage
Finance, Ser 1997-C5, Cl X,
CMO, IO (A) (B)
1.562%, 09/15/29 6,545 619
Olmstead Commons (D)
8.400%, 03/01/37 549 587
Renaissance Place (D)
7.375%, 08/01/37 805 817
Residential Accredit Loans,
Ser 1997-QS10, Cl A1
7.250%, 10/25/27 595 600
Residential Asset Securitization Trust
7.500%, 01/25/27 753 757
Rosewood (D)
8.000%, 07/01/37 500 528
Rural Housing Trust, REMIC,
Ser 1987-1B
3.330%, 10/01/28 1,123 1,074
Ryland Mortgage Ser 1994-7a, Cl A2
7.000%, 08/25/25 840 843
Sanctuary At Tuttle Crossing (D)
8.250%, 06/01/37 490 520
SBA, Ser 1996-I
7.700%, 09/01/16 386 408
Scottsdale Links (D)
7.650%, 07/01/38 485 504
Shavano Park (D)
7.875%, 07/01/38 580 587
Somerford Place Facility (D)
7.475%, 12/30/38 981 1,003
Village At Stone Falls (D)
7.375%, 08/29/37 442 449
19
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
CORE FIXED INCOME FUND--CONCLUDED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Villages at Clear Springs (D)
7.625%, 09/30/38 $ 1,004 $ 1,033
---------
Total Mortgage-Backed Obligations
(Cost $26,809) 27,353
---------
OPTIONS -- 0.0%
December '97 EuroDollar Future
Call Option (72) (2)
January '98 US Long Bond
Future Call Option (47) (47)
March '98 US Long Bond
Future Call Option (33) (55)
March '98 US Long Bond
Future Put Option (47) (10)
March '98 US Long Bond
Future Put Option (71) (33)
March '98 US Long Bond
Future Put Option 7 11
---------
Total Options
(Cost ($221) (136)
---------
MUNICIPAL BOND -- 0.1%
Los Angeles County, California,
Ser D (MBIA)
0.000%, 06/30/10 650 271
---------
Total Municipal Bond
(Cost $241) 271
---------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 18.7%
Merrill Lynch
5.680%, dated 11/28/97,
matures 12/01/97, repurchase
price $84,741,000
(collateralized by various
FHLMC obligations, par value
$126,796,000, 0.000%-7.108%,
11/21/02-08/01/37 and various
Resolution Funding obligations
par value $19,131,000, 0.000%,
01/15/03-04/15/30, total market
value: $95,351,000) $84,701 $ 84,701
---------
Total Repurchase Agreement
(Cost $84,701) 84,701
---------
Total Investments -- 109.6%
(Cost $483,362) 496,306
---------
(A) VARIABLE RATE SECURITY--THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS
THE RATE IN EFFECT AS OF NOVEMBER 30, 1997.
(B) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD ONLY TO A DEALER.
(C) SECURITIES HAVE BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACT.
(D) LOANS SUPPORTING CONSTRUCTION IN PROGRESS.
(E) U.S. TREASURY INFLATION INDEX NOTE.
ARM--ADJUSTABLE RATE MORTGAGE
CL--CLASS
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
SBA--SMALL BUSINESS ADMINISTRATION
SER--SER
SLMA--STUDENT LOAN MARKETING ASSOCIATION
STRIPS--SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
TBA--TO BE ANNOUNCED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20
<PAGE>
================================================================================
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 97.9%
AUSTRALIA -- 3.8%
Amalgamated Holdings 23,000 $ 92
Australia & New Zealand Bank 111,825 766
Australian Resources* 215,200 23
Broken Hill Proprietary 68,677 629
Capral Aluminum 121,900 229
Coles Myer 50,500 248
Commonwealth Bank
of Australia 131,400 1,556
Consolidated Rutile 169,600 58
Email 170,800 377
Foodland 163,700 1,229
Futuris 29,410 31
General Property Trust, units 109,000 195
Hardie (James) Industries 71,800 205
Jupiters 64,500 114
Lend Lease 39,589 808
MacMahon Holdings 91,200 29
National Australia Bank 269,123 3,558
Newscorp 99,787 533
Pacific Magazines & Print 77,300 156
Pasminco 137,000 142
Pioneer International 112,000 294
Qantas Airways 383,300 704
QBE Insurance 70,000 309
Rio Tinto 41,244 453
Rothmans Holdings 49,500 253
Simsmetal Limited 17,900 93
Stockland Trust Group 85,000 209
Telstra* 48,750 91
Telstra Installment Receipts* 35,454 67
Wesfarmers 27,000 223
Western Mining 77,045 246
Westpac Bank 215,100 1,349
Westpac Property Trust 70,000 84
Woodside Petroleum 40,500 290
-------
15,643
-------
AUSTRIA -- 0.2%
Brauerei Schwechat 2,300 89
Radex Heraklith 7,900 287
SCA Laakirchen 100 55
Strabag Osterreich 600 32
Voest-Alpine Stahl 4,700 174
-------
637
-------
BELGIUM -- 0.6%
Arbed 4,290 520
CMB 5,730 441
CNP 1,500 97
Kredietbank 1,153 465
Petrofina 800 309
Tractabel 7,900 678
-------
2,510
-------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
DENMARK -- 1.2%
Danske Traelast 1,280 $ 113
Den Danske Bank 24,800 2,945
FIH, Series B 5,650 143
Kobenhavn Lufthavne 15,020 1,743
Monberg & Thorsen Holding 1,860 82
-------
5,026
-------
FINLAND -- 0.2%
Finnair, Series 1 15,300 122
Metsa Serla, Series B 33,900 291
Outokumpu Oyj, Series A 3,200 44
Rauma Oy 19,000 328
UPM-Kymmene 5,900 127
-------
912
-------
FRANCE -- 6.9%
Alcatel Alsthom 13,600 1,705
AXA - UAP 23,500 1,706
Banque National Paris 33,300 1,625
Bazar L'hotel de Ville 1,161 107
Bertrand Faure 5,100 347
Bongrain 610 255
CGIP 3,950 1,286
Chargeurs International 1,650 98
CIC Union Europe 2,200 158
De Dietrich et Compagnie 1,758 83
Ecia 650 101
Elf Aquitaine 20,600 2,391
Eridania Beghin Say 3,550 552
Fimalac 1,050 83
Galaries Lafayette 250 108
Gaumont 1,950 130
Generale des Eaux 12,800 1,692
Generale des Eaux Warrants* 12,700 8
Havas 22,700 1,483
Lafarge 14,035 928
Marine Wendel 4,600 528
Paribas 27,700 2,002
Parisienne de Rees 3,750 297
Peugeot 31,600 3,572
Rhone Poulenc 43,400 1,952
Saint Gobain 5,579 758
Scor 3,700 159
Seita 3,500 124
Societe Generale 14,364 1,889
Union Assurances Federal 2,050 248
Valeo 30,000 1,985
Vallourec 5,150 311
-------
28,671
-------
21
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
INTERNATIONAL EQUITY FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
GERMANY -- 8.3%
Agiv 25,920 $ 529
Andrea-Noris Zahn AG 14,900 579
BASF 44,500 1,574
Bayer 33,120 1,222
Bayer Vereinsbank 14,800 879
Bayerische Motoren Werke 6,211 4,686
Berliner Kraft und Licht 13,950 343
Binding Brauerei 250 61
CKAG Colonia Konzern 3,200 267
Commerzbank 40,607 1,417
Continental 17,550 438
DBV Holding 1,090 340
Deutsche Pfandrbrief &
Hypotheken Bank 6,730 382
DLW* 2,250 265
Dresdner Bank 48,400 1,881
Dyckerhoff & Widmann 240 28
FAG Kugelfischer Georg Schaefer 7,850 116
Fried. Krupp 750 153
Heidelberger Zement 9,650 764
Henkel Kgaa 34,500 2,113
Herlitz 1,440 105
Hoechst 48,500 1,721
Holsten Brau 250 55
IWKA 950 221
Kolbenschmidt* 12,200 160
Lufthansa 23,500 446
Mannesmann 4,900 2,276
Metro AG 37,640 1,736
Nuernberger BET 130 126
Papier Waldhof 3,400 654
Phoenix 16,000 276
Preussag 2,800 793
SGL Carbon 350 45
Thyssen 8,100 1,937
Veba 8,450 501
Viag 7,360 3,745
Viag AG New 484 246
Volkswagen 2,650 1,505
-------
34,585
-------
HONG KONG -- 3.6%
Cheung Kong Holdings 80,000 564
China Light & Power 109,000 550
China Resources Enterprises 16,000 34
China Telecom (Hong Kong) 46,000 77
Citic Pacific 78,000 311
Guangdong Brewery Holdings 27,875 4
Guangdong Warrants 99* 22,300 3
Guoco Group 84,000 196
Hang Lung Development 500,000 760
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Hang Seng Bank 44,000 $ 387
Harbour Centre Development 33,000 33
Henderson Land Development 172,000 850
Hon Kwok Land Investment 543,400 114
Hong Kong & China Gas 216,600 389
Hong Kong Aircraft Engineering 61,600 170
Hong Kong Electric 408,500 1,382
Hong Kong Telecommunications 209,000 397
HSBC Holdings 182,310 4,399
Hutchison Whampoa 100,420 669
Jardine International Motor 146,000 84
Kowloon Motor Bus 149,800 329
Kumagai Gumi 514,000 402
Lai Sun Garment International 124,000 77
Liu Chong Hing 127,000 122
New World Development 84,000 311
Oriental Overseas International 106,000 61
Peregrine Investment Holdings 236,000 232
QPL International Holdings 200,000 124
Semi-Tech (Global) 208,000 43
Sun Hung Kai Properties 179,700 1,372
Swire Pacific, Class A 67,500 338
Tai Cheung Holdings 118,000 51
Tysan Holdings 250,000 39
Wharf Holdings 178,740 364
-------
15,238
-------
IRELAND -- 0.4%
Anglo Irish Bank 72,100 121
Avonmore Foods 16,600 60
Greencore Group 285,000 1,289
Hibernian Group 22,500 164
Irish Continental Group 10,400 127
-------
1,761
-------
ITALY -- 3.0%
Assicurazioni Generali 65,170 1,462
Banca Populare di Bergamo 21,300 341
Banca Popolare di Brescia 18,000 135
Banca Populare di Milano 80,000 435
Bulgari 44,400 225
ENI 626,593 3,661
Ericsson 3,700 144
Istituto Bancario san
Paolo di Torino 287,800 2,385
Milano Assicurazioni 25,600 78
Montedison 1,019,800 843
Montefibre 119,800 93
Telecom Italia 404,800 2,525
Toro Assicurazioni 20,900 258
--------
12,585
--------
22
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
JAPAN -- 22.8%
77th Bank 46,000 $ 361
Aiya 35,000 302
Ajis 11,000 34
Apollo Electronics 35,000 302
Asahi Bank 100,000 423
Asatsu 22,000 383
Bank of Tokyo Mitsubishi 74,000 1,073
Belc 15,000 108
Benesse 2,700 76
Best Denki 4,000 21
Canon 162,000 3,911
Charle 14,000 114
Chichibu Onoda Cement 147,000 369
Chuba Electric Power 43,200 694
Chubu Steel Plate 95,000 155
Chubu Suisan 38,000 116
Chuo Warehouse 21,000 100
Comany 11,000 86
Computer Engineering & Consult 14,000 144
Dai Ichi Kangyo Bank 152,000 1,191
Dai Nippon Printing 19,000 377
Daido Metal 34,000 107
Daiichi Pharmaceutical 155,000 1,859
Daikin Industries 120,000 631
Daitec Limited 1,000 16
Daiwa House Industries 72,000 581
Danto 26,000 169
Data Communication Systems 9,000 118
Denyo 13,000 65
Dio Chemicals 24,100 106
East Japan Railway 281 1,277
Fuji Electric 159,000 459
Fuji Heavy Industries 114,000 384
Fuji Photo Film 110,000 3,958
Fujitsu 86,000 964
Fujitsu Business Systems 35,000 631
Genki Sushi 9,000 113
Glory 48,000 591
Gunma Bank 52,000 390
Hitachi 256,000 1,816
Hitachi Information Systems 35,000 305
Hitachi Medical 74,000 667
Honda Motor 18,000 652
Horiba 34,000 346
Horipro 16,000 105
House of Rose 13,000 58
Ichiken 67,000 79
Iino Kaiun* 136,000 264
Industrial Bank of Japan 58,400 522
Institute of General Education 14,000 59
Izumi Industries 30,000 50
Japan Knowledge 10,000 49
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Japan Living Service 50,000 $ 133
Japan Process Development 20,000 76
Japan Tobacco 132 1,011
Jastec 13,000 87
Kamigumi 112,000 447
Kandenko 41,000 250
Kansai Electric Power 31,100 529
Kawasaki Heavy Industries 183,000 449
KDD 9,500 485
Keihanshin Real Estate 69,000 308
Kentucky Fried Chicken Japan 31,000 279
Keyence 4,540 662
King Jim 34,800 306
Kirin Brewery 70,000 539
Kobe Steel* 819,000 783
Kubota 310,000 1,072
KVK 10,000 16
Lilycolor 66,000 176
Marubeni 247,000 618
Marukyo 28,000 198
Matsudo Kosan 17,000 94
Matsushita Electric Industry 358,000 5,584
Matsushita Electric Works 75,000 612
Minebea 21,000 234
Mitsubishi Heavy Industries 690,000 2,715
Mitsubishi Materials 308,000 695
Mitsubishi Motor 178,000 611
Mitsubishi Oil 65,000 145
Mitsubishi Rayon 135,000 418
Mitsubishi Trust & Banking 34,000 453
Miura 32,000 354
Morita Fire Pump Manufacturing 101,000 226
Nakayamafuku 22,000 91
Namura Shipbuilding 71,000 184
NBC Industries 12,000 84
New Oji Paper 104,000 433
NIC 34,000 229
Nihon Decoluxe 14,000 80
Nintendo 37,900 3,921
Nippon Computer Systems 11,000 77
Nippon Express 153,000 801
Nippon Kanzai 14,400 223
Nippon Meat Packers 24,000 314
Nippon Paper Industries 158,000 773
Nippon Shoji Kaisha 44,000 137
Nippon Steel 206,000 381
Nippon Telegraph & Telephone 177 1,457
Nishimatsuya Chain* 14,000 91
Nishio Rent All 37,400 314
Nissan Motors 934,000 4,063
Nittetsu Mining 64,000 300
NKK 734,000 742
Nomura Securities 65,000 805
23
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
INTERNATIONAL EQUITY FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Nova 15,000 $ 53
NTN 87,000 301
Ogura Clutch 5,000 25
Ohishi Sangyo 23,000 112
Ohmoriya 11,000 78
Oie Sangyo 17,700 87
Ono Pharmaceutical 37,000 945
Paltac 63,000 259
Pioneer Electronics 6,000 104
Rengo 92,000 300
Ricoh Elemex 10,000 74
Roki Techno 14,000 66
Roland 13,000 223
Royal Hotel 19,000 78
Ryoyo Electro 31,000 328
Sagami Chain 31,900 315
Sakura Bank 199,000 696
Sanko 19,000 117
Sankyo 33,000 1,053
Sanwa Bank 89,000 977
Sanyo Electric 384,000 1,084
Sanyo Special Steel 335,000 420
Sato Foods 2,000 29
Satoh 57,000 337
Seijo 28,400 205
Seino Transportation 65,000 415
Sekisui House 518,000 3,727
Sekisui House Hokuriku 26,000 140
Shaddy 29,950 189
Sharp 268,000 1,794
Shidax 4,300 75
Shikoku Electric Power 43,700 658
Shimojima 24,400 168
Shinden 13,200 97
Shionogi 128,000 729
Showa Shell Sekiyo 60,000 395
SK Kaken 8,000 94
Sony 7,300 624
Spancrete 17,000 63
Sumitomo Marine and
Fire Insurance 118,000 597
Sun Life 14,000 143
Takara Standard 54,000 366
Teijin 96,000 252
Tohoku Electric Power 34,200 517
Toin 25,000 119
Tokai Rika 59,000 190
Tokyo Electric Power 67,600 1,213
Toppan Printing 82,000 1,112
Toray 189,000 859
Toshiba 207,000 931
Tostem 44,000 500
Toyo Ink 229,000 556
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Toyoda Automatic Loom Works 25,000 $ 466
Toyota Motor 53,000 1,529
Trancom 12,000 28
Tsubaki Nakashimi 79,000 452
Tsudakoma 230,000 541
Tsutsumi Jewelry 24,500 303
Xebio 44,400 536
Yaizu Suisankagaku 13,000 111
Yamanouchi Pharmaceutical 65,000 1,579
Yamazaki Baking 30,000 350
Yokohoma Rubber 138,000 375
Yonex 20,000 85
Yonkyu 18,000 169
-------
95,109
-------
MALAYSIA -- 0.6%
Austral Enterprises 244,000 272
Berjaya Sports 54,000 118
Boustead Holdings 104,000 108
Edaran Otomobil 124,000 287
Grand Central Enterprises 83,000 26
IOI Properties 180,000 92
Kuala Lumpur Kepong 94,000 205
Kulim 81,000 81
Lion Land 78,000 18
Malayan Bank 28,560 73
Malaysian Airline System 145,000 107
Malaysian International Shipping 154,000 179
Malaysian Pacific Industries 86,000 236
New Straits Times Press 55,000 61
O.Y.L. Industries 27,000 73
Public Finance 119,000 39
RHB Sakura Merchant Bankers* 800 --
Rothmans of Pall Mall 33,400 296
Sime Darby 90,000 90
Telekom Malaysia 45,000 100
Tenaga Nasional 46,000 85
United Engineers 46,000 43
Westmont Industries* 227,000 43
-------
2,632
-------
NETHERLANDS -- 5.6%
ABN-Amro Holding 65,398 1,247
ACF Holdings 10,300 187
ASR Verzekeringsgroep 7,942 408
Aegon 24,354 2,077
Akzo Nobel 21,700 3,818
Beers 2,500 86
DSM 12,415 1,134
Fortis Amev 18,900 782
Gamma Holding 6,300 327
Heineken 9,800 1,659
Hollandsche Beton Groep 16,150 293
24
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Hoogovens 20,400 $ 920
Ing Groep 94,486 3,842
KLM 7,200 259
National Invest Bank 2,239 247
Nijverdal Tencate 2,987 136
NKF Holdings 3,125 85
Phillips Electronics 8,200 542
Royal Dutch Petroleum 61,100 3,182
Unilever 27,900 1,623
Van Ommeren 5,600 194
Volker Wessels Stevin 11,056 347
-------
23,395
-------
NEW ZEALAND -- 0.4%
Air New Zealand, Series B 44,637 91
Brierley Investment 152,000 108
Fisher & Paykel 74,693 239
Fletcher Challenge Building 21,856 64
Fletcher Challenge Forest 1 --
Fletcher Challenge Paper 269,249 344
Independent Newspaper 33,201 181
Lion Nathan 188,352 446
Telecom of New Zealand 66,759 343
-------
1,816
-------
NORWAY -- 0.5%
Den Norske Bank 167,400 713
Leif Hoegh & Company 4,800 94
Saga Petroleum 32,600 585
Sparebanken Norway 19,500 651
Storli 2,300 44
-------
2,087
-------
SINGAPORE -- 0.7%
Acma 89,000 80
Bukit Sembawang Estates 7,000 52
City Developments 82,400 406
Development Bank of
Singapore, F 12,000 113
Electronic Resources 85,000 119
Hai Sun Hup 206,000 90
Haw Par Brothers International 39,000 54
Hong Kong Land ADR 54,000 119
Keppel 39,750 135
Natsteel 86,000 181
Natsteel Electronics* 125,000 200
Overseas Chinese Bank 25,800 155
Overseas Union Bank 24,000 94
Pacific Carriers 91,000 40
Parkway Holdings 34,000 81
Singapore Technologies
Engineering 90,000 263
Singapore International Airlines 15,000 98
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Singapore Press 11,720 $ 160
Ssangyong Cement 34,000 34
Wing Tai Holdings 344,000 443
-------
2,917
-------
SPAIN -- 1.7%
Autopistas Concesionaria Espanola 35,800 478
Azucarera Espana 2,800 132
Banco de Andalucia 200 31
Banco de Santander 94,549 2,861
Banco de Valencia 8,600 169
Banco Pastor 2,900 206
Banco Zaragozano 5,400 140
CIA Espanola de Petroleos 2,000 61
Energia Industries Aragonesas 42,100 285
G.E.S.A., Series 2 4,900 352
Repsol 42,400 1,835
Tabacalera, Series A 5,100 390
Uniland 1,700 99
-------
7,039
-------
SWEDEN -- 2.5%
ASG, Series B 4,200 90
Avesta Sheffield 18,500 131
Bergman & Beving, Series B 6,600 121
Blylock & Nordsjofr, Series B 18,800 83
Electrolux AB, Series B 24,000 1,891
Ericsson Telephone, Series B 7,600 310
Gorthon Lines, Series B 26,800 427
Rottneros 152,700 122
SKF, Series B 48,500 1,138
Sparbanken Sverige, Series A 126,100 3,211
Stora Kopparbergs, Series A 44,400 590
Svedala Industri 7,600 141
Swedish Match 75,400 255
Trelleborg, Series B 32,100 449
Trygg-Hansa, Series B 11,200 349
Volvo, Series B 39,900 1,065
-------
10,373
-------
SWITZERLAND -- 7.6%
Aare-Tessin 330 188
ABB - Asea Brown Boveri Group 270 360
Adecco 4,900 1,445
Baloise Holding 320 571
Banca del Gottardo, Series B 180 102
Banque Cantonale Vaud 1,120 331
Bucher Holding 210 189
Ciba Specialty Chemicals* 5,460 582
Cie Financiere Richemont 480 534
Clariant 5,760 4,752
CS Holding 33,440 4,896
Daetwyler Holding 120 219
25
<PAGE>
STATEMENT OF NET ASSETS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
INTERNATIONAL EQUITY FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
EMS Chemie Holding* 180 $ 885
Fischer (Georg) 70 96
Intershop Holding 220 104
Julius Baer Holding 490 800
Keramik Holding 130 59
Kw Laufenburg 430 82
Motor-Columbus 120 217
Nestle SA 1,870 2,755
Novartis 220 352
Novartis, Registered 1,419 2,270
Roche Holding 242 2,168
Swiss Bank* 7,260 2,087
Union Bank of Switzerland 3,420 4,358
Vontobel Holding 90 68
Zurich Versicherung 2,535 1,068
---------
31,538
---------
UNITED KINGDOM -- 27.3%
Abbey National 415,075 6,626
Albert Fisher Group 148,200 93
Alvis 53,500 140
Amec 46,500 100
ASDA Group 1,753,600 4,732
Astec 57,100 111
Barclays Bank 132,930 3,206
Barratt Development 90,000 370
BAT Industries 583,951 5,248
Berkeley Group 73,944 838
BG 137,736 654
BG, Series B 156,100 76
Blue Circle Industries 187,500 1,077
British Aerospace 65,730 1,794
British Airport Authority 118,500 1,000
British Airways 319,500 2,898
British Petroleum 168,400 2,304
British Steel 69,200 162
British Telecommunications 192,600 1,487
British Vita 436,250 1,805
BTP 42,300 227
BTR 1,593,040 5,530
Carlton Communications 169,550 1,299
Charter 9,300 114
Cowie Group* 23,466 151
Crest Nicholson 64,200 117
Davis Service Group 40,000 210
Dixons Group 190,125 2,163
Ed and F Man 84,500 326
Energy Group 35,298 379
English China Clays 15,000 65
Firstbus 187,700 740
Gallaher Group 39,800 216
General Accident 116,400 1,893
Glaxo Wellcome 81,930 1,799
Granada Group 142,500 2,039
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Grand Metropolitan 130,500 $ 1,188
Greenalls Group 39,200 252
Guardian Royal Exchange 163,300 786
Guinness 114,200 1,036
Halifax* 105,500 1,212
Hambro Countrywide 44,700 84
Harrison & Crossfield 97,900 195
Hazlewood Foods 219,100 576
Heywood Williams 82,400 328
Hillsdown Holdings 298,481 781
HSBC Holdings 59,170 1,508
Hyder 56,700 901
Iceland Frozen Foods 356,188 755
IMI 34,800 212
Inchcape 360,700 1,286
Johnson Matthey 28,400 262
Kingfisher 185,910 2,563
Kwik Save Group 158,000 827
Laporte 13,800 148
Lex Service 94,000 692
London & Manchester Group 30,700 264
LucasVarity 275,566 884
M & G Group 11,100 268
Marston Thompson 89,200 408
Morrison Supermarket 81,200 282
National Grid Group 158,800 789
National Power 309,900 2,960
Northern Ireland Electricity 12,700 110
Persimmon 82,400 298
Premier Oil 324,800 299
Prudential 148,560 1,601
Railtrack Group 43,100 724
Rank Group 203,500 1,188
Reckitt & Coleman 99,000 1,444
Redrow Group 19,300 48
Renold 52,600 239
Reuters Holdings 154,780 1,747
Rexam 198,000 963
RJB Mining 174,700 472
Royal Sun Alliance 332,932 2,998
Safeway 161,300 883
Scottish Hydro-Electric 43,500 345
Scottish Power 29,900 242
Sedgwick Group 397,300 839
Severn Trent 86,260 1,367
Shell Transportation & Trading 437,910 2,981
Signet Group* 773,400 395
South West Water 28,900 438
Stakis 234,557 394
Standard Chartered 170,040 1,889
Storehouse 94,300 388
Taylor Woodrow 78,700 231
Tesco 151,000 1,220
Thames Water 152,900 2,304
Thorn 20,916 53
TI Group 82,395 666
26
<PAGE>
================================================================================
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TLG 50,200 $ 90
Tomkins 218,659 1,112
Trinity International Holdings 53,600 428
Triplex Lloyd 24,600 86
TSB Lloyds Group 264,742 3,019
Unigate 90,500 884
United Assurance Group 93,604 817
United Utilities 125,300 1,611
Vaux Group 66,700 287
Weir Group 295,300 1,289
Wessex Water 154,610 1,265
Willis Corroon Group 420,400 877
Wilson Bowden 10,100 89
Wimpey(George) 212,500 389
Wolseley 156,270 1,341
--------
113,786
--------
Total Foreign Common Stocks
(Cost $415,360) 408,260
--------
FOREIGN PREFERRED STOCKS -- 0.3%
AUSTRIA -- 0.3%
Bank Austria 23,464 965
--------
965
--------
GERMANY -- 0.0%
Draegerwerk 300 6
Suedzucker 250 119
--------
125
--------
ITALY -- 0.0%
Unipol 53,580 93
--------
93
--------
Total Foreign Preferred Stocks
(Cost $893) 1,183
--------
U.S. TREASURY OBLIGATION -- 0.6%
U.S. Treasury Bill (1)
5.115%, 02/05/98 $ 2,500 2,476
--------
Total U.S. Treasury Obligation
(Cost $2,477) 2,476
--------
REPURCHASE AGREEMENTS -- 4.6%
Merill Lynch
5.700%, dated 11/28/97,
matured 12/01/97, repurchase
price $11,404,787 (collateralized
by various RFCO STRIPS,
total par value
$29,652,000, 0.00%,
maturities from 04/15/03
to 01/15/30, total market
value $11,628,581) 11,399 11,399
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Morgan Stanley
5.700%, dated 11/28/97,
matured 12/01/97, repurchase
price $7,609,442 (collateralized
by U.S. Treasury Note, total par
value $7,620,000, 5.625%,
11/30/00, total market
value $7,795,013) $7,606 $ 7,606
State Street Bank,
5.00%, dated 11/28/97, matured
12/01/97, repurchase price $344,143
(collateralized by U.S. Treasury
Note, par value $350,000, 02/28/99,
5.875%, market value $355,793) 344 344
--------
Total Repurchase Agreements
(Cost $19,349) 19,349
--------
Total Investments -- 103.4%
(Cost $438,079) 431,268
--------
Other Assets and Liabilities, Net -- (3.4%) (14,078)
NET ASSETS:
Capital shares (unlimited
authorization -- no par value)
based on 41,430,275 outstanding
shares of beneficial interest 415,046
Undistributed net investment income 6,511
Accumulated net realized gain
on investments 2,757
Net unrealized appreciation on
forward foreign currency contracts,
foreign currency and translation
of other assets and liabilities
in foreign currency 125
Net unrealized depreciation on
futures contracts (438)
Net unrealized depreciation on investments (6,811)
--------
Total Net Assets -- 100.0% 417,190
========
Net Asset Value, Offering Price and
Redemption Price Per Share $10.07
========
* NON-INCOME PRODUCING SECURITY
ADR--AMERICAN DEPOSITORY RECEIPT
RFCO--RESOLUTION FUNDING CORPORATION
STRIPS--SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
(1) SECURITIES SEGREGATED TO COLLATERALIZE FUTURES CONTRACTS WITH AN AGGREGATE
MARKET VALUE OF $21,078,548.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
27
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
-------------
CORE FIXED
INCOME
FUND
-------------
ASSETS:
Investment securities (Cost $483,362) $496,306
Cash 34
Interest receivable 5,460
Investment securities sold 6,856
Other assets 143
--------
Total Assets 508,799
--------
LIABILITIES:
Income payable 2,337
Investment securities purchased 53,083
Capital shares redeemed 255
Other liabilities 130
--------
Total Liabilities 55,805
--------
Net Assets $452,994
========
NET ASSETS:
Capital shares (unlimited authorization --
no par value)
based on 43,114,444 outstanding shares of
beneficial interest 436,897
Accumulated net realized gain on investments 3,281
Net unrealized depreciation on futures contracts (128)
Net unrealized appreciation on investments 12,944
--------
TOTAL NET ASSETS $452,994
========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.51
========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
28
<PAGE>
STATEMENT OF OPERATIONS (000)
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE SIX-MONTH PERIOD ENDED
NOVEMBER 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
---------- ---------- ------------- -------------
LARGE SMALL CORE FIXED INTERNATIONAL
CAP CAP INCOME EQUITY
FUND FUND FUND FUND
---------- ---------- ------------- -------------
INVESTMENT INCOME:
<S> <C> <C> <C> <C>
Dividends $ 4,687 $ 633 $ -- $ 5,082
Interest 753 382 13,776 564
Less: Foreign taxes withheld -- -- -- (456)
------- ------- ------- --------
Total Investment Income 5,440 1,015 13,776 5,190
------- ------- ------- --------
EXPENSES:
Management fees 160 44 105 105
Less: Management fees waived (96) (27) (63) --
Investment advisory fees 1,284 575 627 1,068
Less: Investment advisory fees waived (428) (105) (351) (202)
Custodian/wire agent fees 43 11 28 220
Professional fees 30 8 20 9
Registration & filing fees 55 12 46 5
Trustee fees 27 7 17 11
Miscellaneous fees 14 4 10 18
------- ------- ------- --------
Total Expenses 1,089 529 439 1,234
------- ------- ------- --------
NET INVESTMENT INCOME 4,351 486 13,337 3,956
------- ------- ------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS:
Net realized gain (loss) from:
Security transactions 13,560 4,249 3,011 86
Futures contracts (2,584) 711 29 (1,460)
Net realized loss on forward foreign
currency contracts and foreign
currency transactions -- -- -- (122)
Net change in unrealized appreciation
on forward foreign currency contracts,
foreign currencies, and translation
of other assets and liabilities
denominated in foreign currencies -- -- -- 130
Net change in unrealized appreciation
(depreciation) on investments 64,813 17,513 12,015 (28,049)
Net change in unrealized depreciation
on futures contracts (35) (415) (92) (928)
------- ------- ------- --------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency Transactions 75,754 22,058 14,963 (30,343)
------- ------- ------- --------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $80,105 $22,544 $28,300 $(26,387)
======= ======= ======= ========
<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.
29
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE SIX-MONTH PERIOD ENDED NOVEMBER
30, 1997 (UNAUDITED) AND THE PERIOD ENDED MAY 31, 1997.
<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-
11/30/97 05/31/97(1) 11/30/97 05/31/97(1) 11/30/97 05/31/97(1) 11/30/97 05/31/97(1)
------------------- ------------------- ------------------- -------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 4,351 $ 4,592 $ 486 $ 523 $ 13,337 $ 12,438 $ 3,956 $ 5,073
Net realized gain (loss) from
security transactions
and futures contracts 10,976 3,744 4,960 3,933 3,040 1,013 (1,374) 4,511
Net realized loss on
forward foreign currency
contracts and foreign
currency transactions -- -- -- -- -- -- (122) (481)
Net change in unrealized
appreciation (depreciation)
on forward foreign currency
contracts, foreign currencies,
and translation of other assets
and liabilities denominated
in foreign currencies -- -- -- -- -- -- 130 (5)
Net change in unrealized appreciation
(depreciation) on investments
and futures contracts 64,778 75,411 17,098 7,823 11,923 893 (28,977) 21,728
-------- -------- -------- -------- -------- -------- -------- --------
Net increase (decrease) in net
assets from operations 80,105 83,747 22,544 12,279 28,300 14,344 (26,387) 30,826
-------- -------- -------- -------- -------- -------- -------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income (3,864) (3,512) (432) (420) (13,337) (12,438) -- (1,960)
Net realized gains -- -- -- -- -- (772) -- (335)
-------- -------- -------- -------- -------- -------- -------- --------
Total dividends distributed (3,864) (3,512) (432) (420) (13,337) (13,210) -- (2,295)
-------- -------- -------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued 292,335 432,867 71,424 128,094 115,049 363,273 174,116 497,195
Reinvestment of cash
distributions 3,846 3,507 430 419 10,798 13,042 -- 2,293
Cost of shares redeemed (60,873) (77,791) (20,610) (16,431) (37,120) (28,244) (115,202) (143,356)
-------- -------- -------- -------- -------- -------- -------- --------
Increase in Net Assets Derived
from Capital Share Transactions 235,308 358,583 51,244 112,082 88,727 348,071 58,914 356,132
-------- -------- -------- -------- -------- -------- -------- --------
Net increase in net assets 311,549 438,818 73,356 123,941 103,690 349,205 32,527 384,663
NET ASSETS:
Beginning of period(2) 438,818 -- 123,941 -- 349,304 99 384,663 --
-------- -------- -------- -------- -------- -------- -------- --------
End of period $750,367 $438,818 $197,297 $123,941 $452,994 $349,304 $417,190 $384,663
======== ======== ======== ======== ======== ======== ======== ========
CAPITAL SHARE TRANSACTIONS:
Shares issued 20,545 41,222 5,819 12,976 11,146 35,991 16,029 50,148
Reinvestment of cash distributions 373 327 34 42 1,042 1,283 -- 228
Shares redeemed (4,289) (6,887) (1,641) (1,608) (3,568) (2,780) (10,586) (14,389)
-------- -------- -------- -------- -------- -------- -------- --------
Net increase in capital shares 16,629 34,662 4,212 11,410 8,620 34,494 5,443 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.
30
<PAGE>
FINANCIAL HIGHLIGHTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE SIX-MONTH PERIOD ENDED NOVEMBER
30, 1997 (UNAUDITED) AND THE PERIOD ENDED MAY 31, 1997.
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)
=========================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------
LARGE CAP FUND
- --------------
1997* $12.66 $0.09 $1.97 $(0.09) -- $14.63 16.32%** $750,367
1997(1) 10.00 0.17 2.63 (0.14) -- 12.66 28.22 438,818
- --------------
SMALL CAP FUND
- --------------
1997* $10.86 $0.03 $1.77 $(0.03) -- $12.63 16.60%** $197,297
1997(1) 10.00 0.06 0.85 (0.05) -- 10.86 9.18 123,941
- ----------------------
CORE FIXED INCOME FUND
- ----------------------
1997* $10.13 $0.33 $0.38 $(0.33) -- $10.51 7.10%** $452,994
1997(1) 10.00 0.64 0.17 (0.64) $(0.04) 10.13 8.28 349,304
- -------------------------
INTERNATIONAL EQUITY FUND
- -------------------------
1997* $10.69 $0.08 $(0.70) -- -- $10.07 (5.80)%** $417,190
1997(1 )10.00 0.14 0.61 $(0.05) $(0.01) 10.69 7.56 384,663
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 AVERAGE
TO AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER COMMISSION
NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE RATE+
===============================================================================================
<S> <C> <C> <C> <C> <C> <C>
- --------------
LARGE CAP FUND
- --------------
1997* 0.34% 1.36% 0.50% 1.20% 37%** $0.0365
1997(1) 0.34 1.65 0.53 1.46 71 0.0490
- --------------
SMALL CAP FUND
- --------------
1997* 0.60% 0.55% 0.75% 0.40% 41%** $0.0535
1997(1) 0.60 0.70 0.79 0.51 163 0.0520
- ----------------------
CORE FIXED INCOME FUND
- ----------------------
1997* 0.21% 6.38% 0.41% 6.18% 126%** n/a
1997(1) 0.21 6.60 0.42 6.39 194 n/a
- -------------------------
INTERNATIONAL EQUITY FUND
- -------------------------
1997* 0.59% 1.83% 0.68% 1.74% 38%** $0.0133
1997(1 0.63 1.73 0.82 1.54 120 0.0170
<FN>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
* FOR THE SIX-MONTH PERIOD ENDED NOVEMBER 30, 1997. ALL RATIOS HAVE BEEN ANNUALIZED.
** THE TOTAL RETURN AND PORTFOLIO TURNOVER RATE HAVE NOT BEEN ANNUALIZED.
+ AVERAGE COMMISSION RATE PAID PER SHARE FOR EQUITY SECURITY PURCHASES AND SALES DURING THE PERIOD.
(1) THE FUNDS COMMENCED OPERATIONS ON JUNE 14, 1996. ALL RATIOS EXCEPT TOTAL RETURN HAVE BEEN ANNUALIZED.
</FN>
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
31
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
1. ORGANIZATION
SEI Institutional Investments Trust (the "Trust") was organized as a
Massachusetts business trust under a Declaration of Trust dated March 1, 1995.
The Trust commenced operations on June 14, 1996.
The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end investment company with seven funds: The Large Cap,
Small Cap, Core Fixed Income, and International Equity Funds (each a "Fund" and,
together, the "Funds") are each diversified operational Funds. The Emerging
Markets Equity, International Fixed Income and High Yield Bond Funds are
currently not operational.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by
the Trust.
SECURITY VALUATION -- Investments in equity securities that are traded on
a national securities exchange (or reported on NASDAQ national market system)
are stated at the last quoted sales price if readily available for such equity
securities on each business day; other equity securities traded in the over-the-
counter market and listed equity securities for which no sale was reported on
that date are stated at the last quoted bid price. Foreign securities in the
International Equity Fund are valued based on quotations from the primary market
in which they are traded. Debt obligations with remaining maturities in excess
of sixty days are valued at the most recently quoted bid price. Debt obligations
with remaining maturities of sixty days or less are valued at their amortized
cost which approximates market value.
FEDERAL INCOME TAXES -- It is each Fund's intention to qualify as a
regulated investment company for Federal income tax purposes and distribute all
of its taxable income (including net capital gains). Accordingly, no provision
for Federal income taxes is required.
NET ASSET VALUE PER SHARE -- Net asset value per share is calculated on a
daily basis by dividing the assets of each Fund less its liabilities by the
number of outstanding shares of the Fund.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until maturity of the
repurchase agreement. Provisions of the repurchase agreement and procedures
adopted by the Manager and the Advisers of the Trust ensure that the market
value of the collateral, including accrued interest thereon, is sufficient in
the event of default by the counterparty. The Funds also invest in tri-party
repurchase agreements. Securities held as collateral for tri-party repurchase
agreements are maintained by the broker's custodian bank in a segregated account
until maturity of the repurchase agreement. Provisions of the repurchase
agreements ensure that the market value of the collateral, including accrued
interest thereon, is sufficient in the event of default. If the counterparty
defaults and the value of the collateral declines or if the counterparty enters
into an insolvency proceeding, realization of the collateral by the Funds may be
delayed or limited.
DISCOUNT AND PREMIUM AMORTIZATION -- All amortization is calculated using
the effective interest method over the holding period of the security.
Amortization of premiums and discounts is included in interest income.
EXPENSES -- Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Funds are
prorated to the Funds on the basis of relative net assets.
FOREIGN CURRENCY TRANSLATION -- The books and records of the International
Equity Fund are maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the
current rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at
the relevant rates of exchange prevailing on the respective dates of such
transactions.
The International Equity Fund does not isolate that portion of gains and
losses on investments in equity securities that is due to changes in the foreign
exchange rates from that which is due to change in market prices of equity
securities.
The International Equity Fund reports certain foreign currency related
transactions as components of realized gains for financial reporting purposes,
32
<PAGE>
================================================================================
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 November 30, 1997. The Large Cap, Small Cap, and International
Equity Fund's investment in Index futures contracts is designed to enable the
Funds to more closely approximate the performance of their benchmark indices.
The Core Fixed Income Fund's use of futures contracts is primarily for tactical
hedging purposes. Initial margin deposits of cash or securities are made upon
entering into futures contracts. The contracts are marked to market daily and
the resulting changes in value are accounted for as unrealized gains and losses.
Variation margin payments are paid or received, depending upon whether
unrealized losses or gains are incurred. When the contract is closed, the Fund
records a realized gain or loss equal to the difference between the proceeds
from (or cost of) the closing transaction and the amount invested in the
contract.
Risks related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that counterparty to a contract may default on its obligation to
perform.
STRUCTURED NOTES AND INDEXED NOTES -- The Core Fixed Income Fund may invest
in structured notes and indexed notes whose values are linked either directly
and inversely to changes in foreign currency exchange rates, interest rates,
indices, or other reference instruments. The values of these instruments may be
more volatile than the rates, indices, or instruments to which they refer, but
any loss is limited to the amount of the original investment.
DISTRIBUTIONS -- Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid in capital in the period that the difference arises.
OTHER -- Security transactions are recorded on the trade date of the
security purchase or sale. Cost used in determining net realized capital gains
and losses on the sale of securities are those of the specific securities sold.
Dividend income is recognized on the ex-dividend date, and interest income is
recognized using the accrual basis of accounting.
3. MANAGEMENT, INVESTMENT ADVISORY AND DISTRIBUTION AGREEMENTS
The Trust and SEI Fund Management (the "Manager"), are parties to a management
agreement (the "Agreement") dated March 1, 1995. Under this Agreement, the
Manager provides administrative and shareholder servicing for an annual fee of
.05% of the average daily net assets of each Fund. The Manager has agreed to
waive a portion of its fee so that the total annual expenses of each Fund will
not exceed certain voluntary expense limitations adopted by the Manager.
The Trust and SEI Investments Distribution Co. (the "Distributor") are
parties to a distribution agreement dated June 14, 1996 pursuant to which the
Distributor provides distribution-related services to the Trust. The Distributor
is not currently entitled to any fee for performing these services.
SEI Investments Management Corporation ("SIMC") serves as investment
adviser to each Fund. In connection with serving as investment adviser, SIMC is
entitled to a fee, that is calculated daily and paid monthly, at an annual rate
of .40% of the Large Cap Fund's average daily net assets, at an annual rate of
.65% of the Small Cap Fund's average daily net assets, at an annual rate of .30%
of the Core Fixed Income Fund's average daily net assets and at an annual rate
of .51% of the International Equity Fund's average daily net assets.
Alliance Capital Management L.P., American Express Asset Management,
Provident Investment Counsel, Inc., LSV Asset Management, Mellon Equity
Associates, and Pacific Alliance Capital Management each serve as an investment
sub-
33
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
adviser to a portion of the assets of the Large Cap Fund and are parties to
investment sub-advisory agreements with the Trust and SIMC dated June 14, 1996.
Nicholas-Applegate Capital Management Inc., Wall Street Associates, Boston
Partners Asset Management, L.P., 1838 Investment Advisors, L.P., and First of
America Investment Corporation each serve as an investment sub-adviser to a
portion of the assets of the Small Cap Fund and are parties to investment
sub-advisory agreements with the Trust and SIMC dated June 14, 1996. Furman Selz
Capital Management, LLC and LSV Asset Management also serve as investment
sub-advisers to a portion of the assets and are parties to an agreement with the
Trust and SIMC dated September 20, 1996 and March 28, 1997, respectively.
Western Asset Management Company, BlackRock Financial Management, Inc., and
Firstar Investment Research & Management Company each serve as an investment
sub-adviser to a portion of the assets of the Core Fixed Income Fund and are
parties to investment sub-advisory agreements with the Trust and SIMC dated June
14, 1996.
Acadian Asset Management, Inc., Farrell Wako Global Investment Management,
Inc., Seligman Henderson Co., and Yamaichi Capital Management, Inc./ Yamaichi
Capital Management (Singapore) Limited each serve as an investment sub-adviser
to a portion of the assets of the International Equity Fund and are parties to
investment sub-advisory agreements with the Trust and SIMC dated June 14, 1996.
Lazard London International Investment Management Limited also serves as an
investment sub-adviser to a portion of the assets and is party to an agreement
with the Trust and SIMC dated December 30, 1996.
4. ORGANIZATIONAL COSTS AND TRANSACTIONS WITH AFFILIATES
Organizational costs have been capitalized by the Funds and are being amortized
over sixty months commencing with operations. In the event any of the initial
shares are redeemed by any holder thereof during the period that the Fund is
amortizing its organizational costs, the redemption proceeds payable to the
holder thereof by the Fund will be reduced by the unamortized organizational
costs in the same ratio as the number of initial shares being redeemed bears to
the initial shares outstanding at the time of redemption.
Certain officers and/or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
of quarterly, interim and committee meetings. Compensation of officers and
affiliated Trustees of the Trust is paid by the Manager.
Each of the Funds also used the Distributor as an agent in placing
repurchase agreements. For this service the Distributor retains a portion of the
interest earned as a commission. Such commissions for the period ended November
30, 1997 were nominal in the aggregate.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and proceeds from the sale of securities
including US Government securities, other than temporary cash investments during
the period ended November 30, 1997, were as follows:
Purchases (000) Sales (000)
--------------- -----------
U.S. Gov't Other U.S. Gov't Other
---------- -------- ---------- -----
Large Cap Fund -- $447,088 -- $220,867
Small Cap Fund -- 115,085 -- 67,046
Core Fixed
Income Fund $443,479 95,257 $411,185 29,110
International
Equity Fund -- 230,896 -- 146,994
34
<PAGE>
================================================================================
At November 30, 1997, the total cost of securities and the net realized
gains or losses on securities sold for Federal income tax purposes was not
materially different from amounts reported for financial reporting purposes. The
aggregate gross unrealized appreciation and depreciation on investments and
futures contracts at November 30, 1997 is as follows:
Net
Unrealized
Appreciated Depreciated Appreciation/
Securities Securities (Depreciation)
(000) (000) (000)
---------- ---------- -----------
Large Cap
Fund $148,870 $ (8,682) $140,188
Small Cap
Fund 31,280 (6,359) 24,921
Core Fixed
Income Fund 13,573 (757) 12,816
International
Equity Fund 42,527 (49,776) (7,249)
The market values of the Core Fixed Income Fund's investments will change
in response to interest rate changes and other factors. During periods of
falling interest rates, the values of fixed income securities generally rise.
Conversely, during periods of rising interest rates, the values of such
securities generally decline. Changes by recognized rating agencies in the
ratings of any fixed income security and in the ability of an issuer to make
payments of interest and principal may also affect the value of these
investments.
6. CONCENTRATION OF RISKS
The International Equity Fund invests in securities of foreign issuers in
various countries. These investments may involve certain considerations and
risks not typically associated with investments in the United States, as a
result of, among other factors, the possibility of future political and economic
developments and the level of governmental supervision and regulation of
securities markets in the respective countries.
7. FUTURES CONTRACTS
The following Portfolios had futures contracts open as of November 30, 1997:
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- ----------------------------------------------
Large Cap
S & P 500 35 $918.00 December 1997 $ 323
S & P 500 5 916.00 December 1997 48
S & P 500 2 917.00 December 1997 19
-----
$ 390
=====
Small Cap
S & P 500 12 $918.00 December 1997 $ 111
S & P 500 3 916.00 December 1997 29
S & P 500 2 937.80 December 1997 8
S & P 500 2 957.25 December 1997 (1)
S & P 500 1 935.00 December 1997 5
S & P 500 1 976.45 December 1997 (5)
-----
$ 147
=====
Core Fixed Income
U.S. 5 Year Note (47) $107.50 December 2002 $ 10
U.S. 5 Year Note (28) 108.39 December 2002 6
U.S. 5 Year Note (19) 108.38 December 2002 (25)
U.S. 5 Year Note (48) 108.27 March 2003 8
U.S. 5 Year Note (9) 108.19 March 2003 1
Muni Bond 9 120.78 December 1997 13
U.S. 10 Year Note (28) 111.66 March 1998 8
U.S. Long Bond (9) 112.78 December 1997 (58)
U.S. Long Bond (2) 113.08 December 1997 (12)
U.S. Long Bond (14) 118.94 March 1998 (1)
U.S. Long Bond (11) 118.94 March 1998 (1)
U.S. Long Bond (2) 118.75 March 1998 (1)
U.S. Long Bond (2) 118.94 March 1998 --
U.S. 30 Year Bond (35) 118.38 December 1997 (29)
U.S. 30 Year Bond (22) 118.56 December 1997 (14)
U.S. 30 Year Bond (9) 117.59 December 1997 (14)
U.S. 30 Year Bond (8) 118.34 December 1997 (7)
U.S. 30 Year Bond (5) 118.34 December 1997 (4)
U.S. 30 Year Bond (3) 118.25 December 1997 (3)
U.S. 30 Year Bond (12) 118.63 March 1998 (5)
-----
$(128)
=====
35
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1997 (UNAUDITED)
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- ---------------------------------------------
International Equity
Australia Ords Index 1 $2,799.00 December 1997 $ (9)
Australia Ords Index 1 2,645.00 December 1997 (7)
Australia Ords Index 2 2,390.00 December 1997 --
Australia Ords Index 1 2,480.00 December 1997 (2)
Australia Ords Index 2 2,538.00 December 1997 (4)
Australia Ords Index 1 2,520.00 December 1997 (1)
Australia Ords Index 1 2,494.00 December 1997 (1)
Australia Ords Index 1 2,451.00 December 1997 --
Australia Ords Index 1 2,456.00 December 1997 --
DAX Index 1 4,288.00 December 1997 (17)
DAX Index 2 4,352.00 December 1997 (44)
DAX Index 1 4,189.50 December 1997 (14)
DAX Index 2 3,799.00 December 1997 10
DAX Index 2 3,845.00 December 1997 9
DAX Index 2 3,725.00 December 1997 22
DAX Index 1 3,845.50 December 1997 3
DAX Index 1 3,970.00 December 1997 1
Hang Seng Index 1 10,580.00 December 1997 --
Hang Seng Index 12 10,578.00 December 1997 (5)
IBEX Index 23 6,774.50 December 1997 5
CAC 40 Index 5 3,016.00 December 1997 (29)
CAC 40 Index 4 3,000.00 December 1997 (22)
CAC 40 Index 1 2,980.00 December 1997 (3)
CAC 40 Index 1 3,039.00 December 1997 (5)
CAC 40 Index 6 2,774.00 December 1997 4
CAC 40 Index 4 2,780.00 December 1997 5
CAC 40 Index 1 2,780.00 December 1997 --
CAC 40 Index 3 2,750.00 December 1997 6
CAC 40 Index 2 2,800.00 December 1997 1
CAC 40 Index 1 2,800.00 December 1997 --
CAC 40 Index 1 2,816.00 December 1997 1
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- ---------------------------------------------
NIKKEI 225 Index 1 $17,540.00 December 1997 $ (6)
NIKKEI 225 Index 2 17,580.00 December 1997 (14)
NIKKEI 225 Index 2 17,590.00 December 1997 (14)
NIKKEI 225 Index 13 17,880.00 December 1997 (105)
NIKKEI 225 Index 11 17,190.00 December 1997 (70)
NIKKEI 225 Index 2 17,315.00 December 1997 (13)
NIKKEI 225 Index 1 16,900.00 December 1997 (5)
NIKKEI 225 Index 16 16,000.00 December 1997 (20)
NIKKEI 225 Index 16 16,530.00 December 1997 (34)
NIKKEI 225 Index 9 15,350.00 December 1997 44
NIKKEI 225 Index 9 15,240.00 December 1997 42
NIKKEI 225 Index 2 16,600.00 December 1997 (1)
NIKKEI 225 Index 1 16,250.00 December 1997 2
FTSE 100 Index 2 5,341.00 December 1997 (22)
FTSE 100 Index 4 5,320.00 December 1997 (44)
FTSE 100 Index 6 5,345.00 December 1997 (70)
FTSE 100 Index 1 5,296.00 December 1997 (12)
FTSE 100 Index 8 4,831.00 December 1997 19
FTSE 100 Index 5 4,938.00 December 1997 (11)
FTSE 100 Index 1 4,940.00 December 1997 (3)
FTSE 100 Index 2 4,755.00 December 1997 7
FTSE 100 Index 2 4,750.00 December 1997 7
FTSE 100 Index 3 4,960.00 December 1997 (15)
FTSE 100 Index 1 4,825.00 December 1997 1
FTSE 100 Index 1 4,935.00 December 1997 (2)
FTSE 100 Index 1 4,925.00 December 1997 (3)
-----
$(438)
=====
36
<PAGE>
===========================
SEI INSTITUTIONAL
INVESTMENTS TRUST
===========================
SEMI-ANNUAL REPORT
===========================
NOVEMBER 30, 1997
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
OFFICERS
David G. Lee
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Mark Nagle
CONTROLLER, CHIEF FINANCIAL OFFICER
Marc H. Cahn
VICE PRESIDENT, ASSISTANT SECRETARY
Todd Cipperman
VICE PRESIDENT, ASSISTANT SECRETARY
Barbara A. Nugent
VICE PRESIDENT, ASSISTANT SECRETARY
Sandra K. Orlow
VICE PRESIDENT, ASSISTANT SECRETARY
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Kathryn L. Stanton
VICE PRESIDENT, ASSISTANT SECRETARY
Richard W. Grant
SECRETARY
INVESTMENT ADVISER
SEI Investments Management Corporation
MANAGER AND SHAREHOLDER SERVICING AGENT
SEI Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand LLP
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
THIS SEMI-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
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SEI INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
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