Semi-Annual Report as of
November 30, 1998 (Unaudited)
SEI INSTITUTIONAL
INVESTMENTS TRUST
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Large Cap Fund
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SmallCap Fund
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Core Fixed Income Fund
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International Equity Fund
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[Logo Omitted]
The art of people
The sceince of results
<PAGE>
TABLE OF CONTENTS
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Statements of Net Assets/
Schedules of Investments............................................. 1
Statement of Assets and Liabilities..................................... 25
Statement of Operations................................................. 26
Statements of Changes in Net Assets..................................... 27
Financial Highlights.................................................... 28
Notes to Financial Statements........................................... 29
<PAGE>
STATEMENT OF NET ASSETS
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SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
Large Cap Fund
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Market
Description Shares Value (000)
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Common Stocks -- 97.0%
Aerospace & Defense -- 0.5%
Cordant Technologies 56,000 $ 2,250
Litton Industries* 63,900 3,910
-------
6,160
-------
Air Transportation -- 0.4%
AMR* 36,200 2,387
Delta Air Lines 25,000 1,342
UAL* 23,900 1,522
-------
5,251
-------
Aircraft -- 1.0%
United Technologies 128,500 13,774
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Apparel/Textiles -- 0.3%
Springs Industries, Cl A 14,600 568
VF 60,125 2,950
-------
3,518
-------
Automotive -- 1.9%
Daimler Chrysler AG* 63,597 5,831
Eaton 34,900 2,384
Ford Motor 243,800 13,470
General Motors 27,400 1,918
Navistar International* 62,300 1,612
Paccar 14,200 646
-------
25,861
-------
Banks -- 7.6%
Amsouth Bancorp 62,850 2,655
Astoria Financial* 32,100 1,444
Bank One 136,826 7,021
BankAmerica 403,822 26,324
Bankers Trust New York 20,199 1,757
Chase Manhattan 294,228 18,665
Comerica 91,200 5,882
Commerce Bancshares 34,335 1,524
Firstar 112,976 8,275
Golden West Financial 25,100 2,377
JP Morgan 20,600 2,202
KeyCorp 121,100 3,716
PNC Bank 160,100 8,255
Republic New York 76,400 3,572
SunTrust 37,700 2,632
Wells Fargo 157,800 5,681
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101,982
-------
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Market
Description Shares Value (000)
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Beauty Products -- 2.2%
Avon Products 123,400 $ 5,013
Colgate-Palmolive 89,200 7,638
Gillette 209,500 9,624
Procter & Gamble 85,400 7,483
-------
29,758
-------
Broadcasting, Newspapers &
Advertising -- 0.3%
Cox Communications* 75,600 3,983
-------
Building & Construction -- 0.5%
Centex 94,100 3,358
Fluor 64,100 2,744
-------
6,102
-------
Chemicals -- 1.4%
Eastman Chemical 46,500 2,694
FMC* 18,300 1,064
Millenium Chemicals 27,200 649
Monsanto 123,900 5,614
Nalco Chemical 52,100 1,742
PPG Industries 39,500 2,417
Union Carbide 118,800 5,316
-------
19,496
-------
Communications Equipment -- 0.3%
GTE 77,200 4,786
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Computers & Services -- 6.8%
America Online* 72,200 6,322
Apple Computer* 135,600 4,331
Cisco Systems* 340,662 25,677
Compaq Computer* 183,000 5,947
Dell Computer* 399,800 24,313
IBM 102,052 16,839
Lexmark International Group* 62,500 4,773
Quantum* 67,600 1,496
Unisys* 70,300 2,004
-------
91,702
-------
Containers & Packaging -- 0.1%
Crown Cork & Seal 40,000 1,350
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Drugs -- 7.6%
American Home Products 61,500 3,275
Bristol-Myers Squibb 114,000 13,972
Elan, ADR* 67,758 4,616
1
<PAGE>
STATEMENT OF NET ASSETS
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SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
Large Cap Fund--Continued
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Market
Description Shares Value (000)
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Eli Lilly 31,300 $ 2,807
Johnson & Johnson 17,400 1,414
Merck 53,000 8,208
Perrigo* 98,600 826
Pfizer 196,557 21,941
Schering Plough 265,100 28,200
Warner Lambert 226,000 17,063
-------
102,322
-------
Electrical Services -- 3.2%
Allegheny Energy 20,000 676
American Electric Power 64,200 2,977
Baltimore Gas & Electric 84,300 2,587
Consolidated Edison Company
of New York 63,900 3,247
DTE Energy 33,900 1,479
Edison International 76,100 2,093
Energy East 67,400 3,576
Firstenergy 48,900 1,513
FPL Group 47,800 2,928
Houston Industries 12,804 405
Illinova 31,500 852
PG&E 123,630 3,825
Pinnacle West Capital 156,700 7,140
Public Service
Enterprise Group 75,100 2,929
Scana 80,900 2,639
Southern 107,900 3,183
Unicom 38,000 1,432
-------
43,481
-------
Entertainment -- 1.4%
Liberty Media Group, Cl A* 194,000 7,821
Mirage Resorts* 593,400 8,827
Walt Disney 77,900 2,507
-------
19,155
-------
Environmental Services -- 0.5%
Waste Management* 156,600 6,714
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Financial Services -- 5.2%
American Express 2,600 260
Associates First Capital 105,500 8,216
Bear Stearns 50,355 2,115
Charles Schwab 123,700 6,974
FNMA 81,200 5,907
Lehman Brothers Holding 48,600 2,427
MBNA 678,912 15,403
Merrill Lynch 107,100 8,032
Morgan Stanley, Dean Witter,
Discover & Company 106,500 7,428
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Market
Description Shares Value (000)
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SLM Holding 76,900 $ 3,384
T Rowe Price 210,700 7,533
Textron 31,900 2,478
-------
70,157
-------
Food, Beverage & Tobacco -- 2.9%
Adolph Coors, Cl B 47,400 2,358
Coca-Cola 172,100 12,058
General Mills 52,700 3,979
Hormel Foods 2,100 62
IBP 28,000 710
Philip Morris 261,400 14,622
Ralston Purina Group 84,400 2,938
RJR Nabisco Holdings 94,300 2,717
-------
39,444
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Gas/Natural Gas -- 0.6%
Consolidated Natural Gas 44,500 2,417
Enron 65,000 3,417
Keyspan Energy 23,892 709
National Fuel & Gas 45,500 2,090
-------
8,633
-------
Household Furniture & Fixtures -- 2.3%
General Electric 173,000 15,656
Maytag 110,200 5,965
Solectron* 151,000 9,994
-------
31,615
-------
Household Products -- 0.1%
Whirlpool 25,600 1,434
-------
Insurance -- 7.6%
Aetna 80,400 6,216
Allstate 204,700 8,342
Ambac 87,073 5,311
American General 102,800 7,241
American International Group 109,750 10,317
Chubb 80,800 5,661
Cigna 166,800 12,979
Citigroup 182,200 9,144
Exel Limited, Cl A* 55,600 4,177
Foundation Health
Systems, Cl A* 21,000 290
Lincoln National 26,900 2,251
Old Republic International 239,050 5,095
Pacificare Health Systems, Cl B* 17,500 1,318
Progressive of Ohio 54,600 8,101
Safeco 59,100 2,538
St Paul 128,100 4,516
SunAmerica 40,800 3,233
Transamerica 56,200 5,971
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102,701
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2
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Market
Description Shares Value (000)
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Machinery -- 3.0%
Aeroquip-Vickers 46,500 $ 1,691
Applied Materials* 246,900 9,567
Cummins Engine 25,800 958
Ingersoll Rand 87,000 4,073
NACCO Industries, Cl A 10,900 949
Timken 58,300 1,122
Tyco International 340,900 22,435
-------
40,795
-------
Measuring Devices -- 0.1%
Mallinckrodt 29,600 956
-------
Medical Products & Services -- 1.1%
Health Management
Associates, Cl A* 163,350 3,543
Medtronic 170,500 11,541
NovaCare* 116,400 364
-------
15,448
-------
Metals & Mining -- 0.2%
Vulcan Materials 19,600 2,457
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Miscellaneous Business Services-- 4.7%
Altera* 104,000 5,103
Automatic Data Processing 39,700 3,057
BMC Software* 30,200 1,542
Cadence Design Systems* 98,200 2,762
Computer Sciences* 99,000 5,655
Harris 46,400 1,760
HBO 182,000 4,539
Microsoft* 221,600 27,035
Oracle Systems* 152,500 5,223
Pixar* 56,300 2,794
Sap Aktiengesellschaft, ADR* 49,700 2,103
Sungard Data Systems* 48,300 1,546
Teradyne* 34,000 1,090
-------
64,209
-------
Miscellaneous Consumer Services -- 0.5%
Robert Half International* 142,800 6,712
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Office Furniture & Fixtures -- 0.3%
Champion International 87,100 3,620
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Paper & Paper Products -- 1.7%
Consolidated Papers 38,400 982
Fort James 108,920 4,261
International Paper 158,800 6,898
Mead 45,950 1,393
Temple-Inland 30,500 1,637
Union Camp 59,100 3,823
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Market
Description Shares Value (000)
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Westvaco 53,100 $ 1,493
Willamette Industries 72,000 2,516
-------
23,003
-------
Petroleum & Fuel Products -- 0.7%
Atlantic Richfield 28,000 1,862
BJ Services* 68,700 949
Enron Oil and Gas 80,900 1,214
Noble Drilling* 122,300 1,414
Phillips Petroleum 94,371 3,964
-------
9,403
-------
Petroleum Refining -- 2.9%
Ashland 44,700 2,174
Coastal 117,300 4,091
Exxon 223,900 16,806
Lyondell Petrochemical 68,000 1,267
Mobil 86,200 7,429
Sunoco 60,800 2,060
Texaco 87,700 5,048
-------
38,875
-------
Photographic Equipment & Supplies -- 0.2%
Eastman Kodak 45,300 3,287
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Printing & Publishing -- 1.6%
Bowne 81,900 1,372
Gannett 78,346 5,058
Lafarge 89,400 3,313
Time Warner 109,600 11,590
-------
21,333
-------
Professional Services -- 1.2%
Halliburton 132,000 3,878
Norfolk Southern 113,300 3,441
Paychex 189,900 9,448
-------
16,767
-------
Railroads -- 1.4%
Burlington Northern Santa Fe 90,100 3,063
Canadian Pacific Limited 59,800 1,319
CSX 190,574 7,945
Kansas City Southern Industries 119,400 5,097
Union Pacific 29,075 1,414
-------
18,838
-------
Repair Services -- 0.8%
Federated Department Stores* 174,200 7,262
Ryder System 14,400 411
Staples* 85,800 2,998
-------
10,671
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3
<PAGE>
STATEMENT OF NET ASSETS
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SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
Large Cap Fund--Concluded
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Market
Description Shares Value (000)
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Retail -- 9.6%
Bed Bath & Beyond* 94,400 $ 2,944
Costco* 87,600 5,497
CVS 86,200 4,256
Darden Restaurants 125,200 1,980
Dayton-Hudson 166,100 7,475
Dillards, Cl A 70,500 2,423
Dollar General 70,020 1,667
Great Atlantic & Pacific Tea 31,200 852
Home Depot 466,900 23,228
JC Penney 165,967 9,128
Kmart* 283,100 4,317
Kohls* 242,700 11,938
Kroger* 115,200 6,113
Lowe's 140,800 5,949
May Department Stores 68,455 4,129
Office Depot* 80,400 2,613
Ruddick 44,500 871
Safeway* 290,800 15,358
Sears Roebuck 130,900 6,210
Sodexho Marriott Services* 89,300 2,456
Tech Data* 32,000 1,288
Wal-Mart Stores 118,000 8,887
-------
129,579
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Rubber & Plastic -- 2.0%
Dow Chemical 186,100 18,121
Goodyear Tire & Rubber 129,000 7,321
Premark International 54,700 1,836
-------
27,278
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Semi-Conductors/Instruments -- 2.0%
Intel 209,668 22,566
Maxim Integrated Products* 40,400 1,586
National Semiconductor* 161,400 2,320
-------
26,472
-------
Specialty Construction -- 0.1%
Tecumseh Products, Cl A 18,000 891
-------
Specialty Machinery -- 0.1%
American Standard* 35,900 1,230
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Steel & Steel Works -- 0.8%
Alcan Aluminum 118,233 3,148
Aluminum Company of America 85,618 6,346
Asarco 28,300 548
Texas Industries 42,900 1,241
-------
11,283
-------
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Shares/Face Market
Description Amount (000) Value (000)
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Technology, General -- 0.1%
Rockwell International 16,600 $ 812
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Telephones & Telecommunication -- 6.6%
Airtouch Communications* 31,700 1,813
Alltel 57,300 3,037
Ameritech 195,500 10,581
AT&T 134,500 8,381
Bell Atlantic 144,518 8,039
BellSouth 128,493 11,211
Lucent Technologies 183,800 15,818
MCI WorldCom* 383,625 22,634
SBC Telecommunications 50,600 2,426
Sprint 34,100 2,481
Sprint Corp (PCS Group)* 17,050 273
US West 47,900 2,982
-------
89,676
-------
Trucking -- 0.1%
Yellow* 60,700 979
-------
Wholesale -- 0.5%
Arrow Electronics* 43,000 935
Avnet 19,500 1,135
BJ's Wholesale Club* 38,600 1,489
Cardinal Health 46,300 3,177
-------
6,736
-------
Total Common Stocks
(Cost $1,014,191) 1,310,689
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U.S. Treasury Obligation -- 0.2%
U.S. Treasury Bill (A)
4.320%, 05/20/99 $2,000 1,958
-------
Total U.S. Treasury Obligation
(Cost $1,959) 1,958
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Commercial Paper -- 0.3%
Ford Motor Credit
4.880%, 12/01/98 624 624
5.160%, 12/03/98 977 977
Prudential Funding
4.800%, 12/02/98 2,040 2,040
-------
Total Commercial Paper
(Cost $3,641) 3,641
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4
<PAGE>
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Face Amount Market
Description (000)/Shares Value (000)
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Repurchase Agreement -- 2.3%
J.P. Morgan
5.20%, dated 11/30/98, matures
12/01/98, repurchase price
$31,510,000 (collateralized by
various government obligations,
total par value $11,405,000,
0.000-6.05%, 10/14/99-02/23/18,
total market value:
$32,425,000) $31,505 $ 31,505
----------
Total Repurchase Agreement
(Cost $31,505) 31,505
----------
Money Market -- 0.2%
Evergreen Select
Money Market Fund 3,043 3,043
----------
Total Money Market
(Cost $3,043) 3,043
----------
Total Investments--100.0%
(Cost $1,054,339) 1,350,836
----------
Other Assets and Liabilities, Net--0.0% (711)
----------
Net Assets:
Portfolio Shares of (unlimited
authorization -- no par value)
based on 80,072,262 outstanding
shares of beneficial interest 1,027,549
Undistributed net investment income 2,317
Accumulated net realized gain
on investments 22,213
Net unrealized appreciation
on investments 296,497
Net unrealized appreciation on futures 1,549
----------
Total Net Assets--100.0% $1,350,125
==========
Net Asset Value, Offering and
Redemption Price Per Share $ 16.86
==========
* Non-income producing security
(A) Security has been pledged as collateral on open futures contracts.
ADR -- American Depository Receipt
Cl -- Class
FNMA -- Federal National Mortgage Association
The accompanying notes are an integral part of the financial statements.
Small Cap Fund
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Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Common Stocks -- 95.0%
Aerospace & Defense -- 0.8%
AAR 10,500 $ 265
Aeroflex* 23,200 318
Cordant Technologies 19,400 780
Gencorp 15,300 377
Wyman-Gordon* 65,400 1,022
----------
2,762
----------
Aerospace Defense -- 0.4%
Execustay 116,200 1,365
----------
Air Transportation -- 1.5%
Airborne Freight 21,580 576
Alaska Airgroup* 12,100 453
America West Holdings, Cl B* 25,200 356
ASA Holdings 1,200 41
Continental Airlines, Cl B* 6,600 233
International Total Services* 306,800 1,496
Mesaba Holdings* 11,300 212
Skywest 58,700 1,589
----------
4,956
----------
Aircraft -- 0.2%
BE Aerospace* 10,000 237
Coltec Industries* 23,300 450
----------
687
----------
Apparel/Textiles -- 1.2%
Cone Mills* 54,900 250
Guilford Mills 16,750 242
Happy Kids* 900 10
Interface 38,600 482
Kellwood 15,550 420
Kenneth Cole Production* 13,200 240
Nautica Enterprises* 72,400 1,425
Pillowtex 17,290 584
Quiksilver* 10,000 242
Tarrant Apparel Group* 3,000 98
----------
3,993
----------
Automotive -- 0.9%
Arvin Industries 28,410 1,193
Borg-Warner Automotive 10,450 521
Gentex* 13,000 239
JLG Industries 12,300 202
Monaco Coach* 10,200 306
Smith (A.O.) 15,850 394
----------
2,855
----------
5
<PAGE>
STATEMENT OF NET ASSETS
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SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
Small Cap Fund--Continued
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Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Banks -- 5.2%
Albank Financial 10,240 $ 694
Alliant Techsystems* 18,700 1,425
Anchor Bancorp Wisconsin 9,200 185
Andover Bancorp 14,612 469
Astoria Financial* 12,200 549
Bancorpsouth 15,800 302
Bank North Group 33,600 1,121
Carolina First 11,900 297
Chittenden 3,100 94
City National 7,300 273
CNB Bancshares 4,960 215
Commercial Federal 4,425 101
Community First Bankshares 11,000 234
Cullen/Frost Bankers 11,400 611
Dime Bancorp* 16,735 445
Dime Community Bancorp* 9,100 246
Downey Financial 28,856 750
Firstfed Financial* 27,400 486
Hubco 3,969 107
One Valley Bancorp -- --
Peoples Heritage
Financial Group 18,500 379
PFF Bancorp* 23,800 366
Prime Bancshares* 28,000 483
Republic Bancorp 42,306 701
Resource Bancshares
Mortgage Group 15,500 213
Richmond County Financial* 65,900 1,083
Silicon Valley Bancshares* 8,700 217
SIS Bancorp 14,440 671
Southwest Bancorp of Texas* 10,400 187
St Paul Bancorp 22,200 469
Staten Island Bancorp* 72,000 1,498
Sterling Bancshares 7,000 111
T R Financial 20,810 778
UST 12,302 304
Webster Financial 18,900 524
Westamerica Bancorporation 18,500 668
----------
17,256
----------
Beauty Products -- 0.2%
Playtex Products* 49,000 759
----------
Broadcasting, Newspapers &
Advertising -- 0.8%
Antec* 3,000 55
Big Flower Holdings* 17,500 428
Emmis Broadcasting* 17,000 585
Lamar Advertising* 16,200 555
Metro Networks* 6,600 251
TMP Worldwide* 25,900 829
----------
2,703
----------
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Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Building & Construction -- 2.2%
Centex 22,260 $ 794
Crossman Communities* 66,200 1,655
Jacobs Engineering Group* 8,300 313
Lennar 14,800 329
MDC Holdings 49,190 904
Ryland Group 36,000 956
Standard Pacific 18,600 181
Toll Brothers* 21,800 530
US Home* 12,900 411
Walter Industries* 45,600 653
Webb (Del E.) 13,000 344
----------
7,070
----------
Building & Construction Supplies-- 0.9%
Granite Construction 12,150 393
NCI Building Systems* 50,000 1,225
Nortek* 14,400 393
PULTE 30 773
----------
2,784
----------
Chemicals -- 0.8%
Cambrex 20,000 560
Dexter 15,190 487
H B Fuller 9,810 427
Mississippi Chemical 11,400 180
OM Group 8,300 300
Tredegar Industries 8,000 187
Wellman 27,300 331
----------
2,472
----------
Communications Equipment -- 3.4%
Applied Signal Technology* 40,600 487
Aspect Telecommunications* 88,000 1,666
Broadcom Corporation, Cl A* 1,700 152
Concord Communications* 40,700 1,806
Dionex* 2,000 62
DM Management* 65,350 956
Intervoice* 13,300 341
Melita International* 125,300 1,879
Mercury Interactive* 12,000 550
Plantronics* 5,300 348
Polycom* 45,800 813
Power Integration* 57,900 1,390
Proxim 12 275
Tekelec* 24,900 386
---------
11,111
---------
Computers & Services -- 2.7%
Apex PC Solutions* 29,600 766
Bell & Howell* 15,900 537
Catalina Marketing* 5,600 326
Comverse Technology* 4,695 270
6
<PAGE>
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Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Data General* 22,900 $ 415
Deltek Systems* 26,200 462
Dialogic 7,700 173
Inspire Insurance Solutions* 32,200 1,079
Jabil Circuit* 10,000 580
Maxtor* 40,500 559
Micros Systems* 5,000 142
National Computer Systems 26,120 859
Neomagic* 13,100 247
New Era of Networks* 9,500 703
Pilot Network Services* 6,600 53
Visual Networks* 19,100 664
Wang Laboratories* 39,000 994
----------
8,829
----------
Concrete & Mineral Products -- 0.3%
Ferro 9,750 272
Florida Rock Industries 18,660 547
----------
819
----------
Consumer Products -- 0.6%
Brown Group 24,700 443
Public Service of New Mexico 59,690 1,160
Stride Rite 25,500 226
----------
1,829
----------
Containers & Packaging -- 0.4%
Ball 28,500 1,218
----------
Drugs -- 2.2%
Biomatrix Inc.* 4,000 194
Chattem* 12,700 543
Geltex Pharmaceuticals* 17,400 415
Incyte Pharmaceuticals* 16,800 525
Ivax 118,100 1,122
Jones Pharmaceuticals 13,100 472
Medco Research* 14,700 298
Medicis Pharmaceutical, Cl A* 17,700 1,115
Ocular Sciences* 80,900 1,820
Parexel International* 7,000 182
Pathogenesis* 6,300 302
Twinlab* 11,100 185
Usana* 18,200 215
----------
7,388
----------
Electrical Services -- 3.3%
Bec Energy 11,500 474
Calpine* 5,200 125
Cleco 22,900 783
Commonwealth Energy System 22,330 860
Conectiv 7,100 163
El Paso Electric* 190,500 1,762
Esco Electronics* 27,900 276
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Gemstar International* 30,200 $ 1,835
Idacorp 16,300 568
Nevada Power 14,400 341
Orange and Rockland Utility 3,300 186
Rochester Gas & Electric 44,800 1,378
Sierra Pacific Resources 18,260 657
Sigcorp 23,050 778
United Illuminating 11,900 597
----------
10,783
----------
Electrical Technology -- 0.1%
C&D Technologies 11,400 331
----------
Entertainment -- 0.5%
Family Golf Centers* 31,200 642
King World Productions* 10,300 281
Macrovision* 17,300 629
WMS Industries* 8,400 62
----------
1,614
----------
Environmental Services -- 0.2%
Allied Waste Industries* 2,225 45
Casella Waste Systems, Cl A* 1 31
US Liquids* 22,500 427
----------
503
----------
Financial Services -- 3.0%
Americredit* 21,200 293
Ameritrade Holding, Cl A* 57,600 1,426
Coast Federal* 23,800 217
Creditrust 6,200 129
Dain Rauscher 11,200 417
Eaton Vance 11,000 267
Everen Capital 3,200 78
Financial Federal* 36,900 989
Fours Seasons Hotel 37,400 998
Franchise Finance of America 9,300 228
Inacom* 58,900 1,222
JSB Financial 12,100 638
Knight/Trimark Group, Cl A* 67,100 1,061
Legg Mason 25,400 757
Metris* 8,022 268
Raymond James Financial 2,000 49
Travel Services* 16,300 369
Waddell & Reed Financial, Cl A* 14,400 344
----------
9,750
----------
Food, Beverage & Tobacco -- 1.1%
Adolph Coors, Cl B 17,860 889
Aurora Foods* 30,200 591
International Home Foods* 18 367
Pilgrims Pride 17,900 434
Standard Commercial 14,063 114
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
Small Cap Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Universal 23,700 $ 834
Universal Foods 9,500 236
Wild Oates Markets* 4,700 134
----------
3,599
----------
Gas/Natural Gas -- 0.9%
Atmos Energy 10,200 312
Connecticut Energy 20,400 570
Energen 20,220 364
Oneok 7,500 261
Southwest Gas 25,900 615
Washington Gas Light 32,100 819
----------
2,941
----------
Hotels & Lodging -- 0.4%
Extended Stay America* 138,400 1,384
----------
Household Furniture & Fixtures -- 1.1%
Ethan Allen Interiors 16,900 668
Furniture Brands International* 39,200 997
Meadowcraft* 170,800 1,676
O'Sullivan Industries Holdings* 35,360 356
----------
3,697
----------
Household Products -- 0.9%
American Safety Razor* 28,450 345
Juno Lighting 12,900 302
Lifetime Hoan 160,200 1,782
Thomas Industries 23,665 408
----------
2,837
----------
Insurance -- 4.7%
American Heritage 20,360 500
Amerin* 10,600 262
Annuity & Life Re Holdings* 16,500 419
Arthur J Gallegher 5,900 274
Capital Re 15,100 298
Chicago Title 5,000 234
CNA Surety* 37,300 548
Concentra Managed Care* 125,200 1,479
Delphi Financial Group, Cl A* 10,383 485
FBL Financial Group, Cl A 24,900 610
Fidelity National Financial 8,500 279
Financial Security
Assurance Holdings 9,900 543
First American Financial 35,560 1,089
Healthcare Recoveries* 73,400 1,220
Horace Mann Educators 49,300 1,390
IPC Holdings 48,100 1,172
Landamerica Financial Group 4,200 258
Lasalle Re Holdings 18,100 448
Life USA Holdings* 20,200 258
Orion Capital 13,270 479
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Presidential Life 44,390 $ 799
Renaissancere Holdings 16,700 635
RLI 12,700 460
Stewart Information Services 6,500 321
Terra Nova (Bermuda)
Holdings, Cl A* 28,900 847
Total Renal Care Holdings* 9,345 248
----------
15,555
----------
Leasing & Renting -- 0.8%
Aaron Rents 28,300 442
Leasing Solutions* 17,900 70
Rent-Way* 23,200 629
Rental Service* 51,000 1,081
Xtra 10,400 495
----------
2,717
----------
Leisure Products -- 0.4%
Fossil* 15,600 432
Standard Motor Products 34,700 792
----------
1,224
----------
Lumber & Wood Products -- 0.2%
TJ International 20,610 487
----------
Machinery -- 2.3%
Amcast Industrial 20,810 365
Applied Power 5,200 185
Aptar Group 9,000 251
Commercial Intertech 25,200 398
Gardner Denver Machinery* 19,545 310
Gehl* 11,400 158
Gerber Scientific 7,700 195
Gleason 17,500 335
Graco 12,700 352
Gradall Industries* 95,000 1,277
Idex 9,900 268
Kuhlman 10,200 284
Lincoln Electric Holdings 21,800 512
Micrel* 8,000 324
Moog* 20,800 603
Omniquip International* 77,000 1,037
Pentair 7,900 298
SPS Technologies* 9,600 550
----------
7,702
----------
Manufacturing -- 0.4%
Donaldson 3,000 60
NCH 7,150 400
Newport News Shipbuilding 20,600 579
Zebra Technologies, Cl A* 7,000 235
----------
1,274
----------
8
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Marine Transportation -- 0.5%
Avondale Industries* 60,360 $ 1,667
----------
Measuring Devices -- 0.1%
Esterline Technologies* 14,600 305
----------
Medical Products & Services -- 4.2%
Alternative Living Services* 20,200 543
Carematrix* 20,000 560
Coast Dental Services* 56,900 661
Excel Technology* 120,400 1,204
Hanger Orthopedic Group* 200 5
Impath* 26,600 1,019
Integrated Health Services 17,500 196
Interim Services* 10,100 210
Invacare 7,500 180
King Pharmaceuticals* 17 266
Mariner Post-Acute Network* 32,300 139
Maxxim Medical* 23,300 635
Medquist* 25,400 772
Medtronic -- --
Minimed* 6,000 427
NCS Healthcare* 15,500 314
NovaCare* 50,460 158
Pediatrix Medical Group* 24,800 1,331
Prime Medical Services* 136,600 1,050
Province Healthcare* 16,300 522
Resmed* 26,000 887
Sabratek Corp* 21,500 363
Safeskin* 9,400 179
Sofamor/Danek Group* 3,200 358
Steris* 9,800 263
Superior Consultants* 9,800 358
Techne* 3,600 67
Theragenics* 5,000 69
Trex Medical* 4,000 40
Trigon Healthcare* 10,800 400
Universal Health Services, Cl B* 2,500 134
Vencor* 32,300 145
Visix Space* 4,200 306
Xomed Surgical Products* 5,300 232
----------
13,993
----------
Metals & Mining -- 0.2%
Cleveland Cliffs 18,500 704
----------
Miscellaneous Business Services-- 14.0%
24/7 Media* 60 1,668
Abacus Direct* 5,700 328
ABM Industries 7,300 243
Acxiom* 6,000 142
Advent Software* 11,700 448
Advo Systems* 13,600 352
American Management Systems 7,800 230
Aspect Development* 10,000 334
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Atlantic Data Services* 4,000 $ 72
Axent Technologies* 39,300 1,024
Barra* 67,600 1,758
Best Software* 32,700 813
Black Box* 4,500 158
Broadvision* 33,300 887
Brooktrout Tech* 14,300 223
Business Objects* 30,800 585
Carey International* 29,100 495
CMG Information Services* 7 543
Cognizant Technology* 36,800 796
Compass International Services* 178,300 1,716
Computer Horizons* 8,100 182
Computer Task Group 6,500 175
Data Dimensions* 18,800 240
Data Processing Resources 55,600 1,320
Dendrite International* 9,800 189
Digital River.* 2 46
Doubleclick* 12,000 486
Dset 2,400 33
Earthlink Network* 15 967
Electronic Arts* 4,500 190
Envoy* 2,900 116
Global Vacation Group* 18 171
Hooper Holmes 12,200 285
Hyperion Solutions* 53,805 1,742
IMR Global 10,300 219
Inso* 32,600 878
J D Edwards* 5,000 174
JDA Software Group* 2,950 24
Kendle International* 26 591
Kronos* 5,600 242
Labor Ready* 39,350 858
Lason* 12,600 773
Learning* 50,500 1,468
Lycos* 19,700 1,162
Macromedia* 48,000 1,341
MAPICS* 24,800 482
Mastech* 23,800 634
Memberworks* 17,500 427
Meta Group* 10,300 256
Metzler Group* 5,000 207
Micromuse* 3,200 73
Mindspring Enterprises* 12,200 788
National Instruments* 7,700 223
NCO Group* 54,800 2,021
Network Solutions* 17,000 1,116
Novacare Employee Services* 52,400 321
On Assignment* 39,100 1,390
Onsale* 23,000 1,414
Peregrine Systems* 12,500 462
Pervasive Software* 42,000 467
Remedy Temp* 92,500 1,341
Ritchie Bros. Auctioneers* 14,100 338
9
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
Small Cap Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Rwd Technologies* 22,800 $ 456
Software.com* 38,400 835
SPR* 34,600 614
Superior Services* 8,800 162
Technology Solutions* 36,700 342
Transaction Systems Architects* 11,300 429
TSI International Software* 25,700 938
USWeb* 15,300 348
Verisign* 10,100 405
Visio* 31,000 1,097
Wackenhut Corrections* 9,500 256
Whittman-Hart* 8,500 188
Wind River Systems* 20,100 937
Xircom* 11,100 335
----------
45,989
----------
Miscellaneous Consumer Services-- 0.8%
Carriage Services* 13,000 330
G&K Services 6,000 303
Regis 7,000 235
Select Appointments
Holdings ADR* 9,800 196
Sos Staffing Services* 93,500 695
Steiner Leisure* 27,050 673
Unifirst 6,500 143
----------
2,575
----------
Miscellaneous Manufacturing -- 0.2%
AFC Cable Systems* 7,750 230
General Cable* 4,500 86
Rti International Metals* 6,800 102
Superior Telecom* 6,900 300
Varlen 4,000 106
----------
824
----------
Miscellaneous Manufacturing -- 0.1%
Blyth Industries* 7,000 238
Department 56* 4,200 145
----------
383
----------
Miscellaneous Transportation -- 0.1%
Fleetwood Enterprises 6,700 226
----------
Office Furniture & Fixtures -- 0.3%
Kimball International, Cl B 30,020 578
Knoll* 20,500 554
----------
1,132
----------
Paper & Paper Products -- 0.1%
Buckeye Technologies* 10,000 195
Chesapeake 3,000 104
Rock Tenn, Cl A 5,500 90
----------
389
----------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Petroleum & Fuel Products -- 0.6%
Berry Petroleum 53,600 $ 697
Devon Energy 5,000 165
EEX* 97,900 349
Giant Industries 24,400 291
Helmerich & Payne 13,700 236
Swift Energy* 25,700 239
----------
1,977
----------
Petroleum Refining -- 0.3%
Tesoro Petroleum* 83,100 1,106
----------
Photographic Equipment &
Supplies -- 0.1%
Pinnacle Systems* 6,900 233
----------
Printing & Publishing -- 1.7%
Bowne 15,900 266
Electronics for Imaging* 6,700 180
Hollinger International 16,200 210
Houghton Mifflin 26,000 1,089
Lone Star Industries 20,090 1,521
New England Business Service 4,000 128
Southdown 8,200 478
Standard Register 17,110 504
Valassis Communications* 11,200 480
World Color Press* 26,000 774
----------
5,630
----------
Professional Services -- 4.1%
ABR Information Services* 9,500 162
American Oncology Resources* 44,900 502
Boron Lepore & Associates* 23,000 707
Bright Horizons Family Solutions* 22,700 536
Consolidated Graphics* 38,600 2,222
Devry* 14,000 369
Ecsoft Group PLC* 36,600 929
Educational Management* 17,500 801
Equity International* 8,000 207
International Network Services* 19,100 1,043
ITT Educational Services* 21,700 713
Ogden 8,200 218
Pre Paid Legal* 4,000 104
Professional Detailing* 10,100 235
Profit Recovery Group
International* 33,500 1,131
Promedco Management* 181,800 932
Stein Mart* 159,300 1,369
Strayer Education 4,300 160
Sylvan Learning Systems* 29,350 853
Tetra Tech* 14,062 295
----------
13,488
----------
10
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Railroads -- 0.3%
Coach USA* 39,800 $ 1,129
----------
Real Estate -- 0.5%
CB Richard Ellis Services* 47,000 834
Centex Construction Products 5,900 209
Intrawest 24,600 395
Resourtquest International* 23,900 314
----------
1,752
----------
Repair Services -- 0.2%
Personnel Group of America* 14,600 241
World Access* 24,400 496
----------
737
----------
Retail -- 9.3%
Abercrombie & Fitch* 26,800 1,501
Action Performance* 6,200 226
American Eagle Outfitters* 23,700 1,416
Ames Department Stores* 7,700 183
Applebees International 73,900 1,520
Buckle* 5,950 152
Cec Entertainment* 6,500 193
Cheesecake Factory* 13,100 341
Children's Place Retail Stores* 198,200 3,667
CKE Restaurants 5,115 125
Claire's Stores 77,400 1,316
CompUSA* 27,300 404
Dress Barn* 23,670 349
Fingerhut 25,200 280
Finish Line* 161,500 1,474
Global Directmail* 75,100 1,474
Grand Union* 10,200 126
Hibbet Sporting Goods* 5 154
Homebase* 141,500 814
Information Management
Associates* 133,700 785
Intimate Brands 9,400 271
Linens N Things* 29,100 891
Marks Brothers Jewelers* 107,400 1,557
Micro Warehouse* 12,200 334
MSC Industrial Direct* 5,000 119
Neiman-Marcus Group 8,500 228
Nichols Research* 3,650 78
Pacific Sunwear of California* 37,750 559
Paul Harris Stores* 101,800 1,387
PJ America* 20,100 393
Restoration Hardware* 500 14
Ross Stores* 15,100 549
Ruby Tuesday 38,100 710
Ruddick 20,200 395
Ryan's Family Steak Houses* 82,130 934
Shopko Stores 61,550 1,985
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Sonic* 26,900 $ 528
Track 'n Trail* 287,900 756
Trans World Entertainment* 22,700 525
Wet Seal, Cl A* 20,000 555
Williams Sonoma* 5,500 163
Zale* 38,600 1,105
----------
30,536
----------
Rubber & Plastic -- 0.2%
Agrium 49,200 483
Carlisle Companies 4,300 191
----------
674
----------
Semi-Conductors/Instruments -- 1.9%
Applied Micro Circuits* 25,400 851
Artisan Components* 24,900 268
DSP Group* 9,200 188
Flextronics International* 16,400 1,091
Level One Communications* 11,200 347
Qlogic* 4,500 462
RF Micro Devices* 5,000 148
Sanmina* 6,500 324
SIPEX* 13,700 442
Stoneridge* 13,400 241
Transwitch* 55,100 1,536
Vitesse Semiconductor* 14,300 509
----------
6,407
----------
Specialty Construction -- 0.8%
DR Horton* 105,000 1,982
Elcor 7,400 228
Insituform Technologies* 24,600 323
----------
2,533
----------
Specialty Machinery -- 0.3%
Hussman International 54,100 893
----------
Steel & Steel Works -- 0.6%
AK Steel Holding 14,900 286
Armco* 81,200 320
Healthcare Financial Partners* 9,900 325
Inland Steel Industries 23,659 433
National Steel, Cl B* 34,430 252
Reliance Steel & Aluminum 16,140 494
----------
2,110
----------
Telephones & Telecommunication -- 1.5%
Aliant Communications 7,800 222
Allegiance Telecommunications* 58 777
Amdocs* 15,000 231
Brightpoint* 18,000 270
COM21* 46,000 828
11
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
Small Cap Fund--Concluded
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Electric Lightwave* 48,700 $ 298
Exodus Communications* 12,000 405
ICG Communications* 29,000 667
Intermedia Communications
of Florida* 7,400 128
Princeton Video Image* 187,500 914
United Video Satellite Group* 15,600 289
Viatel* 100 1
----------
5,030
----------
Testing Laboratories -- 0.5%
Curative Technologies* 13,400 385
International Telecommunications
Data Systems* 48,600 1,197
Medimmune* 2,800 187
----------
1,769
----------
Transportation Services -- 0.2%
GATX 18,280 691
----------
Trucking -- 1.7%
Arkansas Best* 21,900 129
Arnold Industries 12,600 180
Budget Group, Cl A* 3,100 39
Expeditors International
of Washington 6,900 266
Hunt J B Transportation Services 6,000 114
Iron Mountain* 29,500 863
Motor Cargo Industries* 155,400 1,166
Pittston Services 20,000 600
Rollins Truck Leasing 56,850 682
Suiza Foods* 5,950 282
Swift Transportation* 8,250 181
USFreightways 26,220 705
Werner Enterprises 7,500 123
Yellow* 18,820 303
----------
5,633
----------
Water Utilities -- 0.1%
California Water Service Group 7,200 188
----------
Wholesale -- 4.5%
Amerisource Health* 4,500 288
Barnes Group 21,160 655
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Bindley Western Industries 32,000 $ 1,236
BJ's Wholesale Club* 54,800 2,113
Central Garden and Pet* 9,700 156
CHS Electronics* 8,800 130
Citrix Systems* 4,000 332
Commercial Metals 8,200 208
Greenbrier 37,200 521
HTE* 49,100 442
Ha Lo Industries* 19,600 626
Handleman 14,400 173
Ingram Micro* 3,800 162
Insight Enterprises* 19,600 826
Meade Instruments* 129,900 1,380
Michael Foods 12,900 324
Patterson Dental* 10,000 416
Performance Food Group* 6,500 159
Richardson Electronics 134,800 1,146
Richfood Holdings 21,300 395
Serologicals* 48,100 1,413
Tower Automotive* 42,100 958
United Stationers 15,200 403
US Foodservice* 8,000 368
----------
14,830
----------
Total Common Stocks
(Cost $292,964) 312,787
----------
U.S. Treasury Obligation -- 0.2%
U.S. Treasury Bill (A)
4.320%, 05/20/99 $ 700 685
----------
Total U.S. Treasury Obligation
(Cost $686) 685
----------
Repurchase Agreement -- 4.0%
J.P. Morgan
5.20%, dated 11/30/98, matures
12/01/98, repurchase price
$13,030,000 (collateralized
by a FNMA obligation, total par
value $19,070,000, 5.75%,
04/15/03, total market value:
$19,825,000) 13,028 13,028
----------
Total Repurchase Agreement
(Cost $13,028) 13,028
----------
12
<PAGE>
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Money Market -- 0.8%
Evergreen Select
Money Market Fund 1,296 $ 1,296
Evergreen Select Treasury
Money Market Class I 1,531 1,531
----------
Total Money Market
(Cost $2,827) 2,827
----------
Total Investments--100.0%
(Cost $309,505) 329,327
----------
Other Assets and Liabilities, Net--0.0% (141)
----------
Net Assets:
Portfolio Shares (unlimited
authorization -- no par value) based
on 29,208,630 outstanding shares of
beneficial interest $331,760
Undistributed net investment income 198
Accumulated net realized loss
on investments (23,177)
Net unrealized appreciation
on investments 19,822
Net unrealized appreciation
on futures 583
----------
Total Net Assets--100.0% $329,186
==========
Net Asset Value, Offering and
Redemption Price Per Share $ 11.27
==========
* Non-income producing security
(A) Security has been pledged as collateral on open futures contracts.
ADR -- American Depository Receipt
Cl -- Class
FNMA -- Federal National Mortgage Association
PLC -- Public Limited Company
The accompanying notes are an integral part of the financial statements.
Core Fixed Income Fund
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
U.S. Treasury Obligations -- 25.2%
U.S. Treasury Bonds
10.750%, 08/15/05 $18,750 $ 25,068
9.250%, 02/15/16 62,970 91,413
6.375%, 08/15/27 27,000 31,281
U.S. Treasury Notes
5.000%, 01/31/99 450 450
5.875%, 11/15/99 1,760 1,779
6.375%, 01/15/00 525 534
5.500%, 02/29/00 3,140 3,172
5.875%, 09/30/02 16,710 17,401
5.750%, 11/30/02 700 727
5.625%, 12/31/02 1,700 1,758
5.500%, 01/31/03 15,980 16,466
5.750%, 08/15/03 2,310 2,414
3.375%, 01/15/07 (E) 7,974 7,765
3.625%, 01/15/08 (E) 21,545 21,323
3.625%, 04/15/28 (E) 29,002 28,875
U.S. Treasury STRIPS
0.000%, 11/15/04 2,900 2,186
0.000%, 02/15/23 3,900 1,066
----------
Total U.S. Treasury Obligations
(Cost $239,482) 253,678
----------
Corporate Obligations -- 18.7%
Aerospace & Defense -- 0.2%
TCI Communications
6.375%, 05/01/03 170 176
8.750%, 08/01/15 1,380 1,725
----------
1,901
----------
Air Transportation -- 0.7%
Boeing (B)
6.625%, 02/15/38 5,000 4,981
Federal Express
9.650%, 06/15/12 1,275 1,622
9.625%, 10/15/19 150 159
----------
6,762
----------
Automotive -- 0.8%
Ford Motor Global Bond
6.625%, 10/01/28 600 627
Ford Motor Capital
10.125%, 11/15/00 1,525 1,657
9.500%, 07/01/01 4,000 4,380
7.700%, 05/15/07 1,300 1,500
----------
8,164
----------
13
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
Core Fixed Income Fund--Continued
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Banks -- 3.0%
ABN Amro Bank of Chicago
6.625%, 10/31/01 $ 1,000 $ 1,027
BankAmerica
9.200%, 05/15/03 150 171
Chase Manhattan
8.625%, 05/01/02 1,000 1,091
Continental Bank, N.A.
12.500%, 04/01/01 1,000 1,162
Equitable
9.000%, 12/15/04 700 819
First Chicago
9.875%, 08/15/00 450 484
11.250%, 02/20/01 2,000 2,245
First Chicago Bank
8.875%, 03/15/02 2,700 2,987
First National Bank of Omaha
7.320%, 12/01/10 250 279
National Westminster Bancorp
9.375%, 11/15/03 1,900 2,175
Province of Manitoba
9.500%, 09/15/18 1,960 2,655
JP Morgan Capital
7.950%, 02/01/27 200 222
Korea Development Bank
7.125%, 09/17/01 540 491
Midland Bank
6.950%, 03/15/11 1,750 1,853
Midlantic
9.200%, 08/01/01 1,085 1,188
National Bank of Hungary
8.875%, 11/01/13 650 765
NCNB Bank
10.200%, 07/15/15 1,950 2,667
Security Pacific
11.000%, 03/01/01 2,750 3,077
Sumitomo Bank International
9.550%, 07/15/00 2,000 2,103
Swiss Bank
7.375%, 07/15/15 1,200 1,290
7.000%, 10/15/15 300 311
Westpac Banking
7.875%, 10/15/02 500 538
----------
29,600
----------
Broadcasting, Newspapers &
Advertising -- 0.4%
Continental Cablevision
9.000%, 09/01/08 800 937
9.500%, 08/01/13 2,875 3,396
----------
4,333
----------
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Electrical Services -- 2.2%
Arizona Public Service
Pvngs II Funding
8.000%, 12/30/15 $1,000 $ 1,143
Boston Edison
9.875%, 06/01/20 800 877
Boston Edison First Mortgage
9.375%, 08/15/21 3,050 3,416
Commonwealth Edison
7.500%, 01/01/01 2,500 2,509
9.750%, 02/15/20 1,000 1,080
9.875%, 06/15/20 493 608
Deseret Generator &
Transportation Cooperative
9.375%, 01/02/11 170 177
Hydro Quebec
8.050%, 07/07/24 5,450 6,588
Korea Electric Power
7.750%, 04/01/13 540 412
6.750%, 08/01/27 450 384
Mobile Energy Services
8.665%, 01/01/17 275 93
Province of New Foundland
10.000%, 12/01/20 1,200 1,691
Public Services Electric & Gas
7.625%, 02/01/00 200 206
Quebec Province
11.000%, 06/15/15 1,000 1,111
System Energy Resources
7.430%, 01/15/11 356 373
USF&G
7.125%, 06/01/05 1,000 1,072
----------
21,740
----------
Entertainment -- 0.2%
News America Holdings
10.125%, 10/15/12 600 701
Time Warner
9.125%, 01/15/13 1,175 1,501
----------
2,202
----------
Financial Services -- 5.2%
American General
9.625%, 07/15/00 440 468
Associated P&C Holdings (B)
6.750%, 07/15/03 4,000 4,175
Bankamerica
8.375%, 03/15/02 800 866
Bear Stearns
6.500%, 06/15/00 1,450 1,465
Countrywide Capital I
8.000%, 12/15/26 600 639
14
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Dresdner Bank
7.250%, 09/15/15 $ 1,750 $ 1,811
Donaldson Lufkin & Jenrette
6.170%, 07/15/03 3,000 2,977
Security Capital Group
7.750%, 11/15/03 1,600 1,616
Fleet Financial Group
6.875%, 03/01/03 1,000 1,049
Ford Capital Note
9.875%, 05/15/02 1,550 1,759
Ford Motor Capital
9.500%, 06/01/10 1,000 1,293
GMAC
Zero Coupon, 06/15/15 2,600 920
Goldman Sachs
6.250%, 02/01/03 800 796
JP Morgan Commercial Mortgage
Finance, Ser 1997-C5, Cl X,
CMO, IO (A) (B)
1.554%, 09/15/29 6,545 561
Lehman Brothers
9.875%, 10/15/00 1,625 1,727
6.125%, 02/01/01 1,750 1,743
Lehman Brothers Holdings
8.875%, 03/01/02 2,600 2,782
Lehman Brothers Holdings, MTN
8.875%, 02/15/00 550 567
Merrill Lynch
7.430%, 09/01/22 877 905
Paine Webber Group
6.930%, 08/15/03 325 336
6.730%, 01/20/04 150 153
8.875%, 03/15/05 1,100 1,222
Salomon Brothers
7.750%, 05/15/00 225 231
7.500%, 02/01/03 750 795
6.750%, 02/15/03 1,650 1,704
7.000%, 06/15/03 2,000 2,090
Sprint Capital
6.125%, 11/15/08 900 915
Transamerica Finance
6.125%, 11/01/01 2,800 2,800
US West Cap Funding
6.500%, 11/15/18 1,760 1,750
Wharf International Finance
7.625%, 03/13/07 575 459
Zurich Capital Trust (B)
8.376%, 06/01/37 10,300 11,472
----------
52,046
----------
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Food, Beverage & Tobacco -- 0.4%
Nabisco
6.375%, 02/01/35 $3,000 $ 2,948
Philip Morris
7.000%, 07/15/05 750 786
RJR Nabisco
8.750%, 08/15/05 250 257
8.500%, 07/01/07 100 107
----------
4,098
----------
Gas/Natural Gas -- 0.2%
K N Energy
9.625%, 08/01/21 1,400 1,573
----------
Insurance -- 1.1%
Allstate Insurance
7.500%, 06/15/13 1,000 1,134
Loew's
7.625%, 06/01/23 450 464
Cendant
7.750%, 12/01/03 4,100 4,100
United Healthcare
6.600%, 12/01/03 5,000 4,989
----------
10,687
----------
Lumber & Wood Products -- 0.2%
Georgia Pacific
9.500%, 12/01/11 1,300 1,661
9.875%, 11/01/21 300 332
----------
1,993
----------
Machinery -- 0.0%
Tenneco
7.450%, 12/15/25 125 137
----------
Miscellaneous Manufacturing -- 1.0%
N R G Energy (B)
7.625%, 02/01/06 2,000 2,178
Northrop-Gruman
9.375%, 10/15/24 2,990 3,502
Phillips Petroleum
9.180%, 09/15/21 1,200 1,341
Pohang Iron & Steel
7.125%, 07/15/04 500 445
7.375%, 05/15/05 250 222
YPF Sociedad Anonima
7.750%, 08/27/07 3,000 2,689
----------
10,377
----------
15
<PAGE>
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
Core Fixed Income Fund--Continued
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Miscellaneous Transportation -- 1.0%
British Aerospace Financial (B)
7.500%, 07/01/27 $4,600 $ 4,991
Union Pacific
7.000%, 02/01/16 5,000 5,188
----------
10,179
----------
Paper & Paper Products -- 0.1%
Federal Paperboard
8.875%, 07/01/12 300 384
Union Camp
10.000%, 05/01/19 550 586
Weyerhaeuser
7.250%, 07/01/13 325 351
----------
1,321
----------
Precious Metals -- 0.0%
Wharf Capital
8.875%, 11/01/04 375 345
----------
Retail -- 0.5%
Dayton Hudson
10.000%, 01/01/11 350 469
8.600%, 01/15/12 175 215
J.C. Penney
9.750%, 06/15/21 1,200 1,352
Loew's
7.000%, 10/15/23 1,350 1,330
May Department Stores
9.875%, 06/15/21 1,500 1,695
----------
5,061
----------
Telephones & Telecommunication -- 1.2%
GTE
10.250%, 11/01/20 300 334
6.940%, 04/15/28 690 728
New York Telephone
9.375%, 07/15/31 2,768 3,142
U.S. West Communication
8.875%, 06/01/31 2,200 2,461
Worldcom
6.250%, 08/15/03 5,020 5,183
----------
11,848
----------
Water Utilities -- 0.3%
Hydro Quebec, Ser FU
11.750%, 02/01/12 820 1,225
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Hydro Quebec, Ser GW
9.750%, 01/15/18 $ 1,300 $ 1,480
Norsk Hydro A/S
9.000%, 04/15/12 525 660
----------
3,365
----------
Total Corporate Obligations
(Cost $183,017) 187,732
----------
U.S. Government Agency Obligations -- 0.2%
FNMA (C)
5.870%, 02/17/99 1,450 1,434
FNMA STRIPS
9.000%, 09/25/25 226 237
Resolution Trust Funding
8.625%, 01/15/30 250 359
----------
Total U.S. Government Agency Obligations
(Cost $1,964) 2,030
----------
U.S. Government Mortgage-Backed
Obligations -- 29.2%
FHLMC
9.500%, 09/01/05 821 865
9.000%, 12/01/05 24 26
8.000%, 04/01/08-03/01/28 13,022 1,347
8.500%, 04/01/09-09/01/08 1,885 1,997
7.500%, 10/01/09-12/01/28 8,926 9,242
6.500%, 01/01/11-07/01/23 6,153 6,244
7.000%, 01/01/11-03/15/28 8,289 8,136
6.000%, 06/01/13-01/01/29 17,555 17,344
5.500%, 11/01/13 2,970 2,927
9.750%, 10/01/14 377 407
FHLMC, REMIC Ser 1, Cl Z
9.300%, 04/15/19 500 530
FHLMC, REMIC, Ser 1563, Cl B (A)
8.344%, 08/15/08 163 164
FHLMC, Ser 1997-A, Cl A
7.350%, 04/15/19 1,610 1,699
FNMA
6.750%, 07/30/07 400 419
8.000%, 11/01/10-12/01/28 6,198 6,393
8.500%, 09/01/13 22 24
7.000%, 12/01/13 3,800 3,884
5.500%, 12/15/13 6,000 5,904
6.500%, 01/01/13-12/01/28 62,127 62,449
7.500%, 06/01/24-10/01/27 5,728 5,893
6.000%, 10/01/28-12/01/28 46,855 46,480
16
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
FNMA CMO, Ser 1997-G5
7.050%, 06/25/04 $ 1,962 $ 1,984
FNMA PO
Zero Coupon, 08/25/23 63 55
FNMA REMIC
6.743%, 12/25/11 2,205 2,343
5.500%, 08/25/20 1,665 1,655
FNMA REMIC, Ser 1990-106, Cl J
8.500%, 09/25/20 337 352
FNMA REMIC, Ser 1991-156, Cl A
7.500%, 10/25/21 1,267 1,285
FNMA TBA
7.500%, 12/01/28 10,000 10,281
GNMA
8.500%, 11/15/00 15 16
9.500%, 09/15/09 253 273
7.375%, 06/20/21 2,931 2,988
7.500%, 02/15/23-11/15/27 18,737 19,360
6.500%, 08/15/23-06/15/28 30,416 30,660
8.000%, 05/15/24-06/15/25 2,209 2,298
7.000%, 04/15/28-12/01/28 18,147 18,582
6.000%, 12/01/28 9,700 9,612
GNMA (A)
7.375%, 04/20/25 942 962
GNMA, ARM
7.000%, 10/20/22 551 563
SLMA (A)
5.100%, 07/25/11 1,600 1,604
SLMA, Ser 1996-3 A1 (A)
5.050%, 10/25/04 2,351 2,349
SLMA, Ser 1997-3, Cl A-1,
ARM (A)
6.240%, 04/25/06 3,077 3,058
SLMA, Ser 1998-1, Cl A-2 (A)
4.930%, 10/25/11 500 485
----------
Total U.S. Government Mortgage-Backed
Obligations
(Cost $291,042) 293,139
----------
Asset-Backed Securities -- 4.5%
American Airlines
9.780%, 11/26/11 585 679
Asset Securitization, Ser 1997-D4,
Cl A1-C
7.420%, 04/14/29 3,000 3,274
AFC 98-2 (A)
5.369%, 07/25/08 1,576 1,563
Morgan Stanley Capital (A)
0.840%, 12/15/12 10,804 585
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Banc One Credit Card
Master Trust, Ser 1995-B, Cl A
6.300%, 09/15/00 $ 4,100 $ 4,169
Brazos Student Loan Finance,
Ser 1998-A, Cl A2 (A)
5.130%, 06/01/23 1,000 945
Chevy Auto Receivables Trust,
Ser 1996-2, Cl A
5.900%, 07/15/03 169 169
Citibank Credit Card
Master Trust I, Ser 1996-1,
Cl A, PO
Zero Coupon, 02/07/03 6,400 5,634
Citibank Credit Card
Master Trust I, Ser 1996-1,
Cl A, PO
Zero Coupon, 02/07/03 1,000 880
Delta Funding Hel, Ser 1998-1,
Cl A1-F (A)
5.704%, 10/25/17 2,046 2,046
Discover Card Acceptance,
Ser 1995-2, Cl A
6.550%, 02/18/03 1,275 1,299
Dryden Investor Trust
7.157%, 07/23/08 6,000 5,805
First Chicago Master Trust II,
Ser 1994-L, Cl A
7.150%, 04/15/01 3,075 3,114
First Union-Lehman Brothers
CMO, IO, Ser 1997-C2, Cl IO
1.387%, 11/18/27 2,100 172
GMACC, Ser 98, Cl C2
0.823%, 05/15/31 14,035 605
IBM Credit Receivables Lease
Asset Master Trust, Ser 93-1, Cl A
4.550%, 11/15/00 61 62
Keycorp Auto Grantor Trust,
Ser 1995-A, Cl A
5.800%, 07/15/00 1,028 1,033
Metropolitan Asset Funding
REMIC, Ser 97-B
7.130%, 03/22/12 3,000 3,165
Metropolitan Asset Funding
REMIC, Ser 97-B, Cl A-1B
6.670%, 12/20/06 3,000 3,120
NationsBank, Ser 1995-1, Cl A
6.450%, 04/15/03 1,025 1,052
Rural Housing Trust, REMIC,
Ser 1987-1B
3.330%, 10/01/28 550 536
17
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
Core Fixed Income Fund--Continued
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Sears Credit Account
Master Trust, Ser 1994-1, Cl A
7.000%, 08/15/00 $ 939 $ 950
Sears Credit Account
Master Trust, Ser 1995-3, Cl A
7.000%, 10/15/04 1,300 1,329
Structured Asset Securities,
Ser 1998-C2A, Cl A (A)
5.389%, 01/25/13 529 527
United Airlines Equipment,
Ser 1991, Cl C
10.360%, 11/12/12 1,445 1,915
Western Financial Grantor Trust,
Ser 1995-2, Cl A1
7.100%, 07/01/00 621 625
----------
Total Asset-Backed Securities
(Cost $44,380) 45,253
----------
Mortgage-Backed Obligations -- 8.5%
Advanta Credit Card
Master Trust II Ser 96-A, Cl A-1
6.000%, 11/15/05 3,320 3,459
Arbors of Little Rock
7.450%, 01/01/39 (C) 950 1,020
Bell Tower Apartments
7.000%, 06/30/39 (C) 1,525 1,602
Cadillac Lofts
6.875%, 03/30/39 (C) 1,259 1,300
Castle Terrace
8.000%, 05/01/37 (C) 501 554
Caterpillar Financial Asset Trust,
Ser 1996-A, Cl A3
6.300%, 05/25/02 2,321 2,328
Chase Commercial Mortgage
7.370%, 02/19/07 5,221 5,626
Citibank Credit Card
Master Trust I Ser 1997-6, Cl A
0.000%, 08/15/06 1,175 844
CLC Excelsior II Apartments
7.875%, 02/01/39 (C) 500 555
Colonial Apartments
7.050%, 01/31/39 (C) 1,288 1,357
Compass Pointe Apartments
7.062%, 05/31/39 (C) 1,417 1,478
Contimortgage Home Equity
Loan Trust, Ser 1998-1, Cl A2
6.180%, 07/15/12 8,243 8,341
Creekwood
7.300%, 11/30/38 (C) 1,025 1,100
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Denton Assisted Living
7.875%, 03/01/38 (C) $ 54 $ 54
Empire Funding Home Loan
Owner Trust, Ser 1997-4,
Cl A1 (A)
5.684%, 01/25/08 833 834
EQCC Home Equity Loan Trust
5.150%, 09/15/08 4,372 4,318
Evergreen Tower
7.375%, 01/01/39 (C) 1,097 1,167
First Plus Home Loan Trust
6.240%, 05/11/15 900 896
First Plus Home Loan Trust,
Ser 1998-2, Cl A1 (A)
5.520%, 12/10/08 3,259 3,252
Goldman Sachs Mortgage
Securities
7.750%, 05/19/27 852 888
Green Tree Home
Improvement Loan (A)
5.629%, 11/15/29 969 968
Green Tree Financial,
Ser 1997-1, Cl A-6
7.290%, 03/15/28 350 363
Green Tree Financial,
Ser 1998 B, Cl A4
6.390%, 02/15/25 2,000 2,004
Green Tree Recreational,
Ser 1998-A, Cl A1H
6.710%, 05/15/29 1,072 1,087
GSMS 98-1 A CMO
8.000%, 08/19/19 1,040 1,087
Holt Apartments
7.275%, 07/30/38 (C) 580 617
Merit Securities CMO
Ser 11, Cl 1A1
6.580%, 07/28/22 612 613
Merrill Lynch Mortgage
Investors, Cl 1996-C2
6.960%, 11/21/28 225 207
Merrill Lynch Mortgage
Investors, Cl 1996-C2, Ser A3
6.960%, 11/21/28 6,700 7,116
MSC 98-WF1
6.250%, 07/15/07 745 759
MSCI 98-CF1 A1
6.330%, 10/15/07 990 990
Nomura Asset Securities,
Ser 1996-MD5, Cl A1B
7.120%, 04/13/36 3,000 3,236
Rali 97-Qs12 A-7, CMO
7.250%, 11/25/27 992 1,007
18
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Residential Asset Securitization
Trust, Ser 98-A8, Cl A2
6.750%, 08/25/28 $ 891 $ 892
Renaissance Place
7.375%, 08/01/37 (C) 805 863
Residential Accredit Loans,
Ser 1997-QS10, Cl A1
7.250%, 10/25/27 418 420
Residential Accredit Loans,
Ser 1998-QS05, Cl A1
6.750%, 04/25/28 1,510 1,517
Residential Accredit Loans,
Ser 1998-QS4, Cl A1
6.500%, 03/25/28 1,001 1,002
Rosewood
8.000%, 07/01/37 (C) 501 554
Ryland Mortgage
Ser 1994-7A, Cl A2
7.000%, 08/25/25 680 687
Sanctuary At Tuttle Crossing
8.250%, 06/01/37 (C) 490 548
Shavano Park
7.875%, 12/30/98 (C) 581 637
Somerford Place Facility
7.475%, 12/31/98 (C) 1,099 1,186
The Money Store Residential
Trust, Ser 97-2, Cl A1
6.650%, 11/15/07 590 594
Tuttle's Grove
6.875%, 08/31/38 (C) 1,140 1,184
UCFC Home Equity Loan,
Ser 1998-A, Cl A1 (A)
5.490%, 07/15/11 4,411 4,410
UCFC Home Equity Loan,
Ser 95-B-1, Cl A5
7.250%, 12/10/20 1,600 1,726
Union Acceptance
5.830%, 10/09/01 5,000 5,000
Union Planters Mortgage
Finance, CMO,
Ser 1998-1, Cl A1
6.350%, 01/25/28 1,084 1,089
Villages At Clear Springs
7.625%, 09/30/38 (C) 1,088 1,182
Village At Stone Falls
7.375%, 08/29/37 (C) 443 474
----------
Total Mortgage-Backed Obligations
(Cost $82,974) 84,992
----------
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Options -- 0.0%
January 1999 90 Day Euro$ Call $ 103 $ 48
March 1999 90 Day Euro$ Call 276 455
December 1998 90 Day Euro$ Call 192 239
December 1998 90 Day Euro$ Call 102 10
December 1998 90 Day Euro$ Call 91 57
December 1998 90 Day Euro$ Call (91) (1)
March 1999 90 Day Euro$ Call 53 81
March 1999 US Long Bond Call (49) (86)
March 1999 US Long Bond Call (108) (91)
March 1999 US Long Bond Call (57) (11)
March 1999 US Long Bond Put (128) (42)
March 1999 US Long Bond Put (150) (87)
----------
Total Options
(Cost -$107) 572
----------
Municipal Bond -- 0.0%
Los Angeles County, California,
Ser D (MBIA)
Zero Coupon, 06/30/10 650 328
----------
Total Municipal Bond
(Cost $261) 328
----------
Repurchase Agreement -- 13.7%
J.P. Morgan
5.44%, dated 11/30/98, matures
12/01/98, repurchase price
$137,890,000 (collateralized
by various government
obligations, total par value
$188,206,000, 6.000-8.000%,
09/01/06-12/01/28, total
market value: $169,308,000) 137,869 137,869
----------
Total Repurchase Agreement
(Cost $137,869) 137,869
----------
Total Investments--100.0%
(Cost $980,882) $1,005,593
==========
19
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
Core Fixed Income Fund--Concluded
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
(A) Variable Rate Security -- the rate reported on the Statement of Net Assets
is the rate in effect as of November 30, 1998.
(B) Security sold within the term s of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to qualified buyers.
(C) Loans Supporting Construction in Progress
(D) Securities have been pledged as collateral on open futures contract.
(E) U.S. Treasury Inflation Note
ARM -- Adjustable Rate Mortgage
CMO -- Collateralized Mortgage Obligation
FHLB -- Federal Home Loan Bank
FHMLC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only
MBIA -- Municipal Bond Insurance Association
MTN -- Medium Term Note
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
SLMA -- Student Loan Marketing Association
STRIPS -- Separately Traded Registered Interest and Principal Securities
PO -- Principal Only
TBA -- To Be Announced
The accompanying notes are an integral part of the financial statements.
International Equity Fund
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Foreign Common Stocks -- 95.0%
Argentina -- 0.1%
Telecom Argentina ADR 30 $ 915
----------
Australia -- 3.6%
AMP Limited* 16,550 214
Australia & New Zealand Bank 111,825 738
Australian Gas Light 62,822 467
Brambles 23,450 575
Broken Hill Proprietary 198,061 1,574
Coles Myer 420,600 2,179
Colonial 31,704 109
Commonwealth Bank
of Australia 131,400 1,812
Fosters Brewing 256,000 671
Lend Lease 39,589 966
National Australia Bank 271,123 4,056
Newscorp 273,287 1,918
Qantas Airways 949,500 1,683
Rio Tinto 17,744 228
Tabcorp 35,400 238
Telstra 235,004 1,045
WMC Limited 77,045 243
Westpac Bank 284,000 1,895
Woodside Petroleum 230,000 1,170
Woolworths 113,077 398
----------
22,179
----------
Belgium -- 0.7%
Delhaize Freres 7,000 574
Fortis 5,500 1,746
Petrofina 4,000 1,630
Tractabel 3,600 603
----------
4,553
----------
Brazil -- 0.1%
Unibanco GDR 30,000 626
----------
Canada -- 1.2%
Air Canada 80,400 315
Bank of Nova Scotia, Halifax 113,900 2,497
Bombardier Ser B 76,000 989
Canadian Tire Ser A 39,100 982
Royal Bank of Canada 20,700 1,020
Thomson 45,000 1,064
TransCanada Pipelines 29,800 444
----------
7,311
----------
20
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Denmark -- 1.2%
Den Danske Bank 13,910 $ 1,791
Tele Danmark, Ser B 48,761 5,447
----------
7,238
----------
Finland -- 0.9%
Nokia Oyj, Ser A* 30,000 2,939
Nokia Oyj, Ser K* 8,000 784
UPM-Kymmene 65,000 1,702
----------
5,425
----------
France -- 12.3%
Accor 3,500 769
AXA - UAP 55,703 7,198
Banque National Paris 93,357 7,140
Canal Plus 7,000 1,608
Cap Gemini 23,000 3,364
Carrefour 10,408 7,365
Castorama Dubois 37,709 7,624
Elf Aquitaine 44,170 5,506
Essilor International 1,900 740
Generale des Eaux 8,350 1,888
Lafarge 52,710 4,967
Paribas 13,233 1,180
Pechiney 27,500 916
Peugeot 51,500 8,148
Pinault-Printemps-Redoute 32,516 5,545
Renault 110,393 5,123
Saint Gobain 9,250 1,366
Scor 6,300 403
SGS Thomson Micro 16,000 1,120
Synthelabo 6,500 1,359
Total Compaigne, Ser B 10,000 1,239
Vallourec 5,150 209
----------
74,777
----------
Germany -- 10.1%
Agiv 25,920 585
Bayer 13,500 554
Bayer Vereinsbank 65,577 5,676
Bayerische Motoren Werke 1,000 772
Deutsche Bank 13,000 803
Deutsche Pfandrbrief &
Hypotheken Bank 31,000 2,559
Deutsche Telekom 74,000 2,077
Gehe 100,892 6,514
Hoechst 137,298 5,893
IWKA 63,500 1,071
Linde 1,900 1,078
Lufthansa 156,200 3,417
Mannesmann 114,082 12,344
Merck KGAA 48,200 1,961
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Siemens 88,049 $ 6,126
Thyssen 37,950 6,847
Varta* 4,150 617
Viag 4,944 3,046
----------
61,940
----------
Hong Kong -- 1.9%
Cheung Kong Holdings 299,000 2,153
CLP Holdings Limited 101,000 531
China Resources Enterprises 400,000 584
China Telecom (Hong Kong)* 290,000 579
Dah Sing Financial 100,000 249
Hang Seng Bank 100,000 882
Henderson Land Development 77,000 394
Hong Kong Electric 107,000 356
Hong Kong
Telecommunications 1,085,000 2,074
HSBC Holdings 26,000 667
Huaneng Power* 500,000 191
Hutchison Whampoa 216,420 1,544
Kumagai Gumi 514,000 231
Legend Holdings 720,000 226
Peregrine Investment Holdings (3) 236,000
Sino Land 844,000 433
Swire Pacific, Cl A 121,500 551
----------
11,645
----------
Ireland -- 0.1%
CRH 24,000 363
----------
Italy -- 3.8%
Assicurazioni Generali 45,000 1,681
Banca Populare di Milano 80,000 732
Benetton 218,000 400
ENI 651,000 4,039
Fiat 317,000 979
San Paolo-IMI 348,923 5,727
Telecom Italia 820,115 6,647
Telecom Italia-RNC* 278,100 1,738
Telecom Italia Di Risp 255,000 1,074
----------
23,017
----------
Japan -- 18.4%
Acom 10,000 605
Advantest 10,700 714
Aiful 9,400 535
Aoyama Trading 800 22
Asahi Breweries 134,000 1,938
Bank of Tokyo Mitsubishi 167,000 1,818
Bridgestone 229,000 5,358
Canon 198,000 4,375
Dai Nippon Printing 36,000 522
Daiichi Pharmaceutical 33,000 507
Dio Chemicals 100 --
East Japan Railway 150 871
21
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
International Equity Fund--Continued
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Fuji Heavy Industries 185,000 $ 924
Fuji Photo Film 115,000 4,298
Fujisawa Pharmaceutical 30,000 359
Fujitsu 96,000 1,109
Honda Motor 157,000 5,637
Hoya 51,000 2,142
Ibiden 27,000 395
Industrial Bank of Japan 95,000 513
Ito Yokado 13,000 794
Kansai Electric Power 32,000 642
Kao Corporation 38,000 719
Keyence 5,000 565
Marubeni 457,000 832
Marui 36,000 642
Matsushita Communications 45,000 1,963
Matsushita Electric Industry 372,000 5,983
Meiji Milk Products 193,000 571
Minebea 57,000 613
Mitsubishi Heavy Industries 304,000 1,138
Mitsubishi Trust & Banking 70,000 506
Mitsui 130,000 742
Mitsui Fudosan 75,000 575
Mitsui Mining & Smelting 100,000 481
Murata Manufacturing 40,000 1,566
Nakayamafuku 720 2
NEC 70,000 596
NGK Insulators 38,000 416
Nichiei 17,000 1,370
Nidec 17,000 1,899
Nintendo 61,700 5,719
Nippon Express 116,000 603
Nippon Paper Industries 96,000 411
Nippon Steel 370,000 673
Nippon Telegraph & Telephone 618 4,619
Nippon Yusen Kabushik 113,000 344
Denso 33,000 638
Nishio Rent All 400 3
Nissan Motors 430,000 1,327
Nomura Securities 67,000 651
NTT Data 110 481
NTT Mobile Communications 11 420
Obayashi 120,000 542
Oie Sangyo 700 3
Ono Pharmaceutical 61,000 1,695
Orix 18,000 1,285
Osaka Gas 164,000 480
Rohm 22,000 1,859
Sagami Chain 100 1
Sankyo 73,000 1,660
Secom 14,000 1,036
Seijo 200 1
Sekisui House 57,000 555
Sekisui House Hokuriku 7,000 28
Seven Eleven 5,000 370
Shaddy 950 7
Shidax 300 5
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Shimojima 200 $ 1
Shin-Etsu Chemical 31,000 693
Shinden 12,200 59
SMC 8,000 597
Softbank 32,000 1,846
Sony 112,600 8,242
Sumitomo Bakelite 51,000 352
Sumitomo Bank 123,000 1,368
Sumitomo Chemical 168,000 583
Sumitomo Electric 55,000 599
Suzuki Motor 120,000 1,374
Takara Shuzo 101,000 541
Takeda Chemical 30,000 1,011
Takefuji 13,000 887
TDK 39,000 3,235
Tokai Bank 112,000 567
Tokio Marine & Fire Insurance 72,000 813
Tokyo Electric Power 52,100 1,189
Tokyo Electronics 74,000 2,765
Toray 77,000 366
Toyota Motor 121,000 3,067
Yamanouchi Pharmaceutical 27,000 790
Yamato Transportation 43,000 533
----------
112,151
----------
Malaysia (2)-- 0.2%
Austral Enterprises 80,000 66
Berjaya Sports 42,000 36
Genting 52,000 83
IOI Properties 265,000 109
Kuala Lumpur Kepong 36,000 38
Petronas Gas 42,000 63
Rothmans of Pall Mall 24,400 95
Sime Darby 96,000 67
Telekom Malaysia 165,000 242
Tenaga Nasional 145,000 144
Westmont Industries* 227,000 40
YTL 56,000 48
----------
1,031
----------
Mexico -- 0.3%
Cementos de Mexico ADR 135,000 650
Telefonos de Mexico ADR 23,000 1,071
----------
1,721
----------
Netherlands -- 7.2%
ABN-Amro Holding 17,385 358
Aegon 26,134 2,797
Ahold 40,400 1,401
DSM 47,181 4,410
Fortis Amev 85,440 6,279
Heineken 30,000 1,524
Hoogovens 73,344 2,294
ING Groep 48,213 2,761
Laurus 244,419 6,073
22
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Pakhoed 25,300 $ 622
Royal Dutch Petroleum 80,029 3,834
TNT Post 204,057 5,134
Van Ommeren 31,000 989
VNU 161,248 5,541
----------
44,017
----------
New Zealand -- 0.1%
Lion Nathan 59,400 151
Telecom of New Zealand 92,459 394
----------
545
----------
Norway -- 0.1%
Orkla, Cl A 50,000 835
----------
Singapore -- 1.0%
Creative Technology* 5,000 92
Development Bank of
Singapore 180,000 1,365
Keppel 60,000 158
Keppel Land 200,000 237
Natsteel 74,000 98
Natsteel Electronics 42,000 91
Overseas Union Bank 85,000 343
Singapore International Airlines 23,000 160
Singapore Press Holdings 12,959 138
Singapore Telecommunications 2,012,000 3,356
Wing Tai Holdings 146,000 111
----------
6,149
----------
South Africa -- 0.1%
South African Breweries 40,000 677
----------
Spain -- 3.2%
Autopistas Concesionaria
Espanola 14,830 226
Banco Santander 287,875 5,885
Energia Industries Aragonesas 42,100 301
Repsol 38,900 2,205
Sevillana de Electricidad 48,600 682
Telefonica de Espana 213,915 10,051
----------
19,350
----------
Sweden -- 2.7%
Astra AB, Ser A 146,400 2,681
Electrolux AB 284,899 4,343
Ericsson Telephone, Ser B 166,400 4,622
Foreningssparbaken, Ser A 2,100 59
Hennes & Mauritz, Ser B 15,000 1,108
Investor, Ser B 14,100 627
Scania, Ser A 47,000 884
Skandinaviska Enskilda
Bank, Ser A 57,900 658
SKF, Ser B 48,500 626
- --------------------------------------------------------------------------------
Market
Description Shares Value (000)
- --------------------------------------------------------------------------------
Sparbanken Sverige, Ser A 27,900 $ 782
Trelleborg, Ser B 27,000 227
----------
16,617
----------
Switzerland -- 8.6%
Adecco 11,965 5,195
Baloise Holding 3,720 3,465
Cie Financiere Richemont 700 1,040
Credit Suisse 4,300 739
Fischer (Georg)-Registered 550 188
Holderbank Financiere Glarus 1,275 1,476
Julius Baer Holding 180 584
Nestle 5,125 10,649
Novartis 4,840 9,086
Oz Holdings, Ser B 440 448
Schweizerische Ruckversicher 440 1,112
Swisscom* 2,495 840
UBS- Registered 26,547 7,989
Zurich Allied 13,313 9,511
----------
52,322
----------
United Kingdom -- 17.1%
3I Group 100,900 949
Abbey National 244,600 4,942
Allied Zurich* 37,075 529
Barclays Bank 293,163 6,649
Berkeley Group 73,944 596
BOC Group 88,000 1,278
British Airways 863,600 5,840
British American Tobacco 81,275 745
British Petroleum 27,647 431
British Telecommunications 415,191 5,687
Cadbury Schweppes 491,065 7,370
CMG 33,800 837
Coca-Cola Beverages* 79,500 165
Commercial Union 143,521 2,275
EMI Group 110,000 655
General Electric 742,079 6,065
GKN 64,300 710
Glaxo Wellcome 185,183 5,855
Guardian Royal Exchange 200,000 1,089
Halifax 38,800 552
Kingfisher 462,000 4,404
Lex Service 94,000 627
LucasVarity 275,000 943
National Westminster 334,604 6,104
Powergen 51,800 719
Railtrack Group 43,900 1,204
Reckit & Colman 55,000 777
Reuters Group 114,000 1,101
RJB Mining 174,700 177
Safeway 175,000 863
Siebe 188,000 676
23
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
International Equity Fund--Concluded
- --------------------------------------------------------------------------------
Shares/Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
Signet Group* 692,600 $ 363
SmithKline Beecham 688,850 8,453
Standard Chartered 107,700 1,144
Tate & Lyle 115,000 726
Thames Water 99,366 1,899
TI Group 145,000 825
United Assurance Group 85,700 788
United Utilities 189,800 2,764
Vodafone Group 885,188 13,067
Wimpey (George) 212,500 405
Zeneca Group 70,200 2,918
----------
104,166
----------
Total Foreign Common Stocks
(Cost $541,830) 579,570
----------
Foreign Preferred Stocks -- 0.4%
Germany -- 0.2%
SAP* 1,900 989
----------
Italy -- 0.2%
Fiat* 590,000 1,007
----------
Total Foreign Preferred Stocks
(Cost $2,500) 1,996
----------
U.S. Treasury Obligation -- 0.2%
U.S. Treasury Bill (1)
4.478%, 05/20/99 $ 1,000 980
----------
Total U.S. Treasury Obligation
(Cost $980) 980
----------
Repurchase Agreements -- 3.4%
Morgan Stanley (1)
5.200%, dated 11/30/98,
matured 12/01/98, repurchase
price $44,894,000 (collateralized
by various RFBD, total par
value $8,583,000, 8.875%-9.375%,
07/15/20-04/15/30; various
RFIN, total par value $35,077,000,
0%, 04/15/04-01/15/24; RFBD,
total par value $294,000, 8.875%,
07/15/20; FFCB, total par
value $940,000, 9.55%,
05/09/05, total market value
$14,171,324) 13,793 13,793
- --------------------------------------------------------------------------------
Face Market
Description Amount (000) Value (000)
- --------------------------------------------------------------------------------
State Street Bank
5.400%, dated 11/30/98, matured
12/01/98, repurchase price
$7,228,803 (collateralized by
U.S. Treasury Notes, total
par value $5,945,000, 7.25%-7.75%,
due 12/31/99-08/15/22,
total market value $7,384,710) $7,228 $ 7,228
----------
Total Repurchase Agreements
(Cost $21,021) 21,021
----------
Total Investments--99%
(Cost $566,332) 603,567
----------
Other Assets and Liabilities, Net--1.0% 6,632
----------
Net Assets:
Portfolio Shares (unlimited authorization
-- no par value) based on 54,243,488
outstanding shares of beneficial interest 544,969
Undistributed net investment income 9,391
Accumulated net realized gain
on investments 18,054
Net unrealized appreciation on forward
foreign currency contracts, foreign
currency and translation of other assets
and liabilities in foreign currency 65
Net unrealized appreciation
on futures contracts 485
Net unrealized appreciation on investments 37,235
----------
Total Net Assets--100.0% $610,199
==========
Net Asset Value, Offering Price and
Redemption Price Per Share $ 11.25
==========
* Non-Income producing security
(1) Securities segregated to collateralize futures contracts with an
aggregate market value of $13,920,135.
(2) As of September 1, 1998, the repatriation of proceeds received from the sale
of these securities has been blocked until at least September 1, 1999. These
securities are considered illiquid and are being fair valued using methods
determined in good faith by the valuation committee of the Board of
Trustees.
(3) Security fair valued using methods determined in good faith by the
valuation committee of the Board of Trustees.
ADR -- American Depository Receipt
Cl -- Class
FFCB -- Federal Farm Credit Banks
GDR -- Global Depository Receipt
RFBD -- Resolution Trust Corporation
RFIN -- Resolution Funding Corporation Separately Traded Registered Interest and
Principal Securities
Ser -- Series
The accompanying notes are an integral part of the financial statements.
24
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
----------------
Core Fixed
Income
Fund
----------------
Assets:
<S> <C>
Investment securities (Cost $980,882) $1,005,593
Cash --
Interest receivable 9,596
Investment securities sold 61,651
Capital shares sold --
Futures margin receivable 167,852
----------
Total Assets 1,244,692
----------
Liabilities:
Cash Overdraft 4,540
Distribution Payable 3,848
Investment securities purchased 222,585
Capital shares redeemed --
Futures margin payable 167,756
Accrued expenses 190
----------
Total Liabilities 398,919
----------
Net Assets $ 845,773
==========
Net Assets:
Portfolio Shares (unlimited authorization -- no par value)
based on 78,339,419 outstanding
shares of beneficial interest 808,289
Undistributed net investment income 2
Accumulated net realized gain on investments 13,074
Net unrealized depreciation on futures contracts (303)
Net unrealized appreciation on investments 24,711
----------
Total Net Assets $ 845,773
==========
Net Asset Value, Offering and Redemption Price Per Share $ 10.80
==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
25
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust --For the six-month period ended
November 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
---------- ----------- ----------- ---------------
Large Small Core Fixed International
Cap Cap Income Equity
Fund Fund Fund Fund
---------- ----------- ----------- ---------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 7,909 $ 918 $ -- $ 5,054
Interest 1,206 526 23,625 601
Less: Foreign taxes withheld -- -- -- (272)
------- -------- -------- --------
Total Investment Income 9,115 1,444 23,625 5,383
------- -------- -------- --------
Expenses:
Management fees 293 76 196 139
Less: Management fees waived (293) (76) (196) (139)
Investment advisory fees 2,263 991 1,167 1,421
Less: Investment advisory fees waived (886) (213) (725) (530)
Custodian fees 59 14 38 160
Professional fees 19 4 11 9
Registration & filing fees 19 5 134 11
Trustee fees 14 1 9 18
Miscellaneous fees 49 18 72 26
------- -------- -------- --------
Total Expenses 1,537 820 706 1,115
------- -------- -------- --------
Net Investment Income 7,578 624 22,919 4,268
------- -------- -------- --------
Net Realized and Unrealized Gain (Loss) on
Investments and Foreign Currency Transactions:
Net realized gain (loss) from:
Security transactions 283 (44,527) 7,114 4,388
Futures contracts (5,311) (2,284) (1,421) 134
Net realized loss on forward foreign
currency contracts and foreign
currency transactions -- -- -- (901)
Net change in unrealized appreciation
on forward foreign currency contracts,
foreign currencies, and translation
of other assets and liabilities
denominated in foreign currencies -- -- -- 125
Net change in unrealized appreciation
(depreciation) on investments 53,436 (4,947) 11,746 (10,971)
Net change in unrealized appreciation
(depreciation) on futures contracts 721 1,013 (393) (268)
------- -------- -------- --------
Net Realized and Unrealized Gain (Loss)
on Investments, Future Contracts and
Foreign Currency Transactions 50,129 (50,745) 17,046 (7,493)
------- -------- -------- --------
Net Increase (Decrease) in Net Assets
from Operations $57,707 $(50,121) $39,965 $ (3,225)
======= ======== ======== ========
</TABLE>
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
26
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- For the six-month period ended
November 30, 1998 (Unaudited) and the period ended May 31, 1998.
<TABLE>
<CAPTION>
---------------------- ------------------- ------------------ -------------------
Large Small Core Fixed International
Cap Cap Income Equity
Fund Fund Fund Fund
---------------------- ------------------- ------------------- -------------------
06/01/98- 06/01/97- 06/01/98- 06/01/97- 06/01/98- 06/01/97- 06/01/98- 06/01/97-
11/30/98 05/31/98 11/30/98 05/31/98 11/30/98 05/31/98 11/30/98 05/31/98
---------------------- ------------------- ------------------- -------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 7,578 $ 10,602 $ 624 $ 1,388 $ 22,919 $ 33,988 $ 4,268 $ 9,880
Net realized gain (loss) from
security transactions
and futures contracts (5,028) 38,324 (46,811) 28,140 5,693 9,813 4,522 19,484
Net realized gain (loss) on
forward foreign currency
contracts and foreign
currency transactions -- -- -- -- -- -- (901) 271
Net change in unrealized
appreciation (depreciation)
on forward foreign currency
contracts, foreign currencies,
and translation of other assets
and liabilities denominated
in foreign currencies -- -- -- -- -- -- 125 (55)
Net change in unrealized
appreciation (depreciation)
on investments and
futures contracts 55,157 167,479 (3,934) 16,516 11,353 12,162 (11,239) 27,231
-------- -------- ------- -------- -------- ------- ------- -------
Net increase (decrease) in
net assets from operations 57,707 216,405 (50,121) 46,044 39,965 55,963 (3,225) 56,811
-------- -------- ------- -------- -------- ------- ------- -------
Dividends Distributed From:
Net investment income (7,527) (9,415) (637) (1,288) (22,911) (33,994) -- (7,086)
Net realized gains -- (14,826) -- (8,430) -- (2,673) -- (9,801)
-------- -------- ------- -------- -------- ------- ------- -------
Total dividends distributed (7,527) (24,241) (637) (9,718) (22,911) (36,667) -- (16,887)
-------- -------- ------- -------- -------- ------- ------- -------
Capital Share Transactions:
Proceeds from shares issued 294,080 682,733 116,460 211,227 218,572 479,000 139,446 386,064
Reinvestment of distributions 7,510 24,079 636 9,646 18,976 36,001 -- 12,731
Cost of shares redeemed (150,982) (188,457) (39,507) (78,785) (172,065) (120,365) (80,443) (268,961)
-------- -------- ------- -------- -------- ------- ------- -------
Increase in Net Assets Derived
from Capital Share Transactions 150,608 518,355 77,589 142,088 65,483 394,636 59,003 129,834
-------- -------- ------- -------- -------- ------- ------- -------
Net increase in net assets 200,788 710,519 26,831 178,414 82,537 413,932 55,778 169,758
Net Assets:
Beginning of period 1,149,337 438,818 302,355 123,941 763,236 349,304 554,421 384,663
-------- -------- ------- -------- -------- ------- ------- -------
End of period $1,350,125 $1,149,337 $ 329,186 $302,355 $845,773 $763,236 $610,199 $554,421
========= ======== ======= ======== ======== ======= ======= =======
Capital Share Transactions:
Shares issued 18,661 46,459 9,842 16,923 20,410 45,756 12,941 36,229
Reinvestment of distributions 486 1,634 57 782 1,772 3,438 -- 1,294
Shares redeemed (9,377) (12,452) (3,741) (6,065) (16,064) (11,466) (7,531) (24,677)
-------- -------- ------- -------- -------- ------- ------- -------
Net increase in capital shares 9,770 35,641 6,158 11,640 6,118 37,728 5,410 12,846
========= ======== ======= ======== ======== ======= ======= =======
</TABLE>
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
27
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- For the six-month period ended
November 30, 1998 (Unaudited) and the period ended May 31, 1998.
For a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Net
Realized
Net Asset and Distributions Distributions
Value Net Unrealized from Net from Net Asset Net Assets
Beginning Investment Gains/(Losses) on Investment Realized Capital Value End Total End of
of Period Income Securities Income Gains of Period Return Period (000)
- ----------------------------------------------------------------------------------------------------------------------------------
- ---------------
Large Cap Fund
- ---------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1998* $16.35 $0.11 $0.51 $(0.11) $ -- $16.86 3.82%+ $1,350,125
1998 12.66 0.18 3.98 (0.18) (0.29) 16.35 33.36 1,149,337
1997(1) 10.00 0.17 2.63 (0.14) -- 12.66 28.22 438,818
- ---------------
Small Cap Fund
- ---------------
1998* $13.12 $0.03 $(1.85) $(0.03) $ -- $11.27 (13.91)%+ $ 329,186
1998 10.86 0.07 2.78 (0.07) (0.52) 13.12 26.68 302,355
1997(1) 10.00 0.06 0.85 (0.05) -- 10.86 9.18 123,941
- -----------------------
Core Fixed Income Fund
- -----------------------
1998* $10.57 $0.36 $0.23 $(0.36) $ -- $10.80 2.37%+ $ 845,773
1998 10.13 0.64 0.50 (0.64) (0.06) 10.57 11.60 763,236
1997(1) 10.00 0.64 0.17 (0.64) (0.04) 10.13 8.28 349,304
- ---------------------------
International Equity Fund
- ---------------------------
1998* $11.35 $0.05 $(0.15) $ -- $ -- $11.25 (0.88)%+ $ 610,199
1998 10.69 0.19 0.86 (0.16) (0.23) 11.35 10.40 554,421
1997(1) 10.00 0.14 0.61 (0.05) (0.01) 10.69 7.56 384,663
</TABLE>
Ratio of
Ratio of Net Investment
Ratio of Expenses Income
Ratio of Net Investment to Average to Average
Expenses Income Net Assets Net Assets Portfolio
to Average to Average (Excluding (Excluding Turnover
Net Assets Net Assets Waivers) Waivers) Rate
- --------------------------------------------------------------------------------
- ---------------
Large Cap Fund
- ---------------
0.26% 1.29% 0.41% 1.14% 44%
0.32 1.28 0.50 1.10 72
0.34 1.65 0.53 1.46 71
- ---------------
Small Cap Fund
- ---------------
0.54% 0.41% 0.68% 0.27% 78%
0.59 0.61 0.75 0.45 120
0.60 0.70 0.79 0.51 163
- -----------------------
Core Fixed Income Fund
- -----------------------
0.18% 5.83% 0.36% 5.65% 194%
0.20 6.13 0.41 5.92 324
0.21 6.60 0.42 6.39 194
- ---------------------------
International Equity Fund
- ---------------------------
0.40% 1.53% 0.64% 1.29% 42%
0.53 2.21 0.70 2.04 109
0.63 1.73 0.82 1.54 120
Amounts designated as "--" are either $0 or have been rounded to $0.
* For the six-month period ended November 30, 1998. All ratios have been
annualized.
+ Total returns are for the period indicated and have not been annualized.
(1) The Funds commenced operations on June 14, 1996. All ratios except total
return have been annualized.
The accompanying notes are an integral part of the financial statements.
28
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (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. The preparation of financial statements in conformity with generally
accepted accounting principles requires the use of management estimates. Actual
results could differ from the estimates.
Security Valuation -- Investments in equity securities that are traded on a
national securities exchange (or reported on NASDAQ national market system) are
stated at the last quoted sales price if readily available for such equity
securities on each business day; other equity securities traded in the
over-the-counter market and listed equity securities for which no sale was
reported on that date are stated at the last quoted bid price. Foreign
securities in the International Equity Fund are valued based on quotations from
the primary market in which they are traded. Debt obligations with remaining
maturities in excess of sixty days are valued at the most recently quoted bid
price. Debt obligations with remaining maturities of sixty days or less are
valued at their amortized cost which approximates market value. Securities for
which quotations are not readily available are valued in good faith using
methods determined under general Trustee supervision.
Federal Income Taxes -- It is each Fund's intention to qualify as a
regulated investment company for Federal income tax purposes and distribute all
of its taxable income (including net capital gains). Accordingly, no provision
for Federal income taxes is required.
Net Asset Value Per Share -- Net asset value per share is calculated on a
daily basis by dividing the assets of each Fund less its liabilities by the
number of outstanding shares of the Fund.
Repurchase Agreements -- Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until maturity of the
repurchase agreement. Provisions of the repurchase agreement and procedures
adopted by the Manager and the Advisers of the Trust ensure that the market
value of the collateral, including accrued interest thereon, is sufficient in
the event of default by the counterparty. The Funds also invest in tri-party
repurchase agreements. Securities held as collateral for tri-party repurchase
agreements are maintained by the broker's custodian bank in a segregated account
until maturity of the repurchase agreement. Provisions of the repurchase
agreements ensure that the market value of the collateral, including accrued
interest thereon, is sufficient in the event of default. If the counterparty
defaults and the value of the collateral declines or if the counterparty enters
into an insolvency proceeding, realization of the collateral by the Funds may be
delayed or limited.
Discount and Premium Amortization -- All amortization is calculated using
the effective interest method over the holding period of the security.
Amortization of premiums and discounts is included in interest income.
Expenses -- Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Funds are
prorated to the Funds on the basis of relative net assets.
Foreign Currency Translation -- The books and records of the International
Equity Fund are maintained in U.S. dollars on the following basis:
(I) market value of investment securities, assets and liabilities at the
current rate of exchange; and
(II) purchases and sales of investment securities, income and expenses at
the relevant rates of exchange prevailing on the respective dates of such
transactions.
The International Equity Fund does not isolate that portion of gains and
losses on investments in
29
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
equity securities that is due to changes in the foreign exchange rates from that
which is due to change in market prices of equity securities.
The International Equity Fund reports certain foreign currency related
transactions as components of realized gains for financial reporting purposes,
whereas such components are treated as ordinary income for Federal income tax
purposes.
Futures Contracts -- Each of the Funds utilized futures contracts during
the period ended November 30, 1998. The Large Cap, Small Cap, and International
Equity Fund's investment in Index futures contracts is designed to enable the
Funds to more closely approximate the performance of their benchmark indices.
The Core Fixed Income Fund's use of futures contracts is primarily for tactical
hedging purposes. Initial margin deposits of cash or securities are made upon
entering into futures contracts. The contracts are marked to market daily and
the resulting changes in value are accounted for as unrealized gains and losses.
Variation margin payments are paid or received, depending upon whether
unrealized losses or gains are incurred. When the contract is closed, the Fund
records a realized gain or loss equal to the difference between the proceeds
from (or cost of) the closing transaction and the amount invested in the
contract.
Risks related to futures contracts include the possibility that there may
not be a liquid market for the contracts, that changes in the values of the
contract may not directly correlate with changes in the values of the underlying
securities, and that counterparty to a contract may default on its obligation to
perform.
Option Selling/Purchasing -- Each Fund may invest in financial options
contracts solely for the purpose of hedging its existing portfolio securities,
or securities that the Fund intends to purchase, against fluctuations in fair
value caused by changes in prevailing market interest rates. When the Fund sells
or purchases an option, an amount equal to the premium received or paid by the
Fund is recorded as a liability or an asset and is subsequently adjusted to the
current market value of the option written or purchased. Premiums received or
paid from purchasing options which expire unexercised are treated by the Fund on
the expiration date as realized gains or losses. The difference between the
premium and the amount paid or received on effecting a closing purchase or sale
transaction, including brokerage commissions, is also treated as a realized gain
or loss. If an option is exercised, the premium paid or received is added to the
cost of the purchase or proceeds from the sale in determining whether the Fund
has realized a gain or a loss on investment transactions.
TBA and Other Purchase Commitments -- The Funds may enter into purchase
commitments to purchase securities for a fixed price at a future date. Purchase
commitments may be considered securities and involve a risk of loss if the value
of the security to be purchased declines prior to settlement date, which risk is
in addition to the risk of decline in the value of a Fund's other assets.
Unsettled purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under "Security
Valuation" above.
Structured Notes and Indexed Notes -- The Core Fixed Income Fund may invest
in structured notes and indexed notes whose values are linked either directly
and inversely to changes in foreign currency exchange rates, interest rates,
indices, or other reference instruments. The values of these instruments may be
more volatile than the rates, indices, or instruments to which they refer, but
any loss is limited to the amount of the original investment.
Distributions -- Distributions from net investment income and net realized
capital gains are determined in accordance with U.S. Federal income tax
regulations, which may differ from those amounts determined under generally
accepted accounting principles. These book/tax differences are either temporary
or permanent in nature. To the extent these differences are permanent, they are
charged or credited to paid in capital in the period that the difference arises.
Accordingly for the Small Cap Fund, $9,000 was reclassified from accumulated net
realized gain to accumulated net investment income. This reclassification has no
effect on net assets or net asset values per share.
30
<PAGE>
- --------------------------------------------------------------------------------
Other -- Security transactions are recorded on the trade date of the
security purchase or sale. Cost used in determining net realized capital gains
and losses on the sale of securities are those of the specific securities sold.
Dividend income is recognized on the ex-dividend date, and interest income is
recognized using the accrual basis of accounting.
The market values of the Core Fixed Income Fund's investments will change
in response to interest rate changes and other factors. During periods of
falling interest rates, the values of fixed income securities generally rise.
Conversely, during periods of rising interest rates, the values of such
securities generally decline. Changes by recognized rating agencies in the
ratings of any fixed income security and in the ability of an issuer to make
payments of interest and principal may also affect the value of these
investments.
3. Management, Investment Advisory and Distribution Agreements
The Trust and SEI Investments Fund Management (the "Manager"), are parties to a
management agreement (the "Agreement") dated March 1, 1995. Under this
Agreement, the Manager provides administrative and shareholder servicing for an
annual fee of .05% of the average daily net assets of each Fund. The Manager has
agreed to waive a portion of its fee so that the total annual expenses of each
Fund will not exceed certain voluntary expense limitations adopted by the
Manager.
The Trust and 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. The Adviser
has agreed to waive a portion of its fee so that the total annual expenses of
each Fund will not exceed certain voluntary expense limitations adopted by the
Adviser.
Alliance Capital Management L.P., Provident Investment Counsel, Inc., LSV
Asset Management and Mellon Equity Associates, LLP each serve as an investment
sub-adviser to a portion of the assets of the Large Cap Fund and are parties to
investment sub-advisory agreements with the Trust and SIMC dated June 14, 1996.
Sanford C. Bernstein & Co., Inc. and Trust Company of the West also serve as
investment sub-advisers to a portion of the assets of the Large Cap Fund and are
party to a investment sub-advisory agreement with the Trust and SIMC dated
December 15, 1997 and september 18, 1998, respectively.
Nicholas-Applegate Capital Management Inc., Wall Street Associates, Boston
Partners Asset Management, L.P. and 1838 Investment Advisors, L.P. each serve as
an investment sub-adviser to a portion of the assets of the Small Cap Fund and
are parties to investment sub-advisory agreements with the Trust and SIMC dated
June 14, 1996. Furman Selz Capital Management, LLC, LSV Asset Management,
Polynous Capital Management, Robertson Stephens Investment Management, Mellon
Equity Associates and Spyglass 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, March 28, 1997, December 15, 1997,
March 24, 1998, September 21, 1998, and September 22, 1998, respectively.
Western Asset Management Company, BlackRock Financial Management, Inc., and
Firstar Investment Research & Management Company each serve as an investment
sub-adviser to a portion of the assets of the Core Fixed Income Fund and are
parties to investment sub-advisory agreements with the Trust and SIMC dated June
14, 1996.
Acadian Asset Management, Inc. and SGY Asset Management each serve as an
investment sub-adviser to a portion of the assets of the International Equity
Fund and are parties to investment sub-advisory agreements with the Trust and
SIMC dated
31
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
June 14, 1996. Scottish Widows Investment Management Limited and Capital
Guardian Trust Company also serve as investment sub-advisers to a portion of the
assets and are parties to an agreement with the Trust and SIMC dated March 23,
1998 and June 10, 1998, respectively.
4. Organizational Costs and Transactions with Affiliates
Organizational costs have been capitalized by the Funds and are being amortized
over sixty months commencing with operations. In the event any of the initial
shares are redeemed by any holder thereof during the period that the Fund is
amortizing its organizational costs, the redemption proceeds payable to the
holder thereof by the Fund will be reduced by the unamortized organizational
costs in the same ratio as the number of initial shares being redeemed bears to
the initial shares outstanding at the time of redemption.
Certain officers and/or trustees of the Trust are also officers of the
Manager. The Trust pays each unaffiliated Trustee an annual fee for attendance
of quarterly, interim and committee meetings. Compensation of officers and
affiliated Trustees of the Trust is paid by the Manager.
The Large Cap, Small Cap and International Equity Funds also used the
Distributor as an agent in placing repurchase agreements. For this service the
Distributor retains a portion of the interest earned as a commission. Such
commissions for the period ended November 30, 1998 were $6,513, $4,286 and
$2,897, respectively.
5. Forward Foreign Currency Contracts
The International Equity Fund enters into forward foreign currency exchange
contracts as hedges against portfolio positions. Such contracts, which are
designed to protect the value of the Fund's investment securities against a
decline in the value of the hedged currency, do not eliminate fluctuations in
the underlying prices of the securities; they simply establish an exchange rate
at a future date. Also, although such contracts tend to minimize risk of loss
due to a decline in the value of a hedged currency, at the same time they tend
to limit any potential gain that might be realized should the value of such
foreign currency increase.
The following forward foreign currency contracts were outstanding at
November 30, 1998:
<TABLE>
<CAPTION>
In Unrealized
Maturity Contracts to Exchange Appreciation
Dates Deliver/Receive For (Depreciation)
- -------------------------- ------------------- ----------- --------------
International Equity Portfolio:
- -------------------------------
<S> <C> <C> <C> <C>
Foreign Currency Purchases:
12/1/98-12/3/98 IT 409,453,193 $243,653 $ 602
12/1/98-12/3/98 UK 96,880 160,632 (864)
-------- ------
$404,285 $ (262)
======== ======
</TABLE>
Currency Legend
IT Italian Lira
UK British Pounds Sterling
6. Investment Transactions
The cost of security purchases and proceeds from the sale of securities
including U.S. Government securities, other than temporary cash investments
during the period ended November 30, 1998, were as follows:
Purchases (000) Sales (000)
--------------- -----------
U.S. Gov't Other U.S. Gov't Other
---------- -------- ---------- --------
Large Cap Fund -- $595,227 -- $467,567
Small Cap Fund -- 305,904 -- 221,138
Core Fixed
Income Fund $1,523,065 74,443 $1,464,123 54,012
International
Equity Fund -- 281,009 -- 224,928
32
<PAGE>
- --------------------------------------------------------------------------------
The aggregate gross unrealized appreciation and depreciation on investments
and futures contracts held by the Funds at November 30, 1998 are as follows:
Net
Unrealized
Appreciated Depreciated Appreciation/
Securities Securities (Depreciation)
(000) (000) (000)
---------- ---------- -----------
Large Cap
Fund $328,823 $(30,777) $298,046
Small Cap
Fund 48,229 (27,824) 20,405
Core Fixed
Income Fund 26,968 (2,560) 24,408
International
Equity Fund 65,414 (27,694) 37,720
7. Concentration of Risks
The International Equity Fund invests in securities of foreign issuers in
various countries. These investments may involve certain considerations and
risks not typically associated with investments in the United States, as a
result of, among other factors, the possibility of future political and economic
developments and the level of governmental supervision and regulation of
securities markets in the respective countries.
8. Futures Contracts
The following Funds had futures contracts open as of November 30, 1998:
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- --------- --------- ---------- -----------
Large Cap Fund
S & P 500 43 $ 982.55 December 1998 $1,934
S & P 500 36 1,192.50 December 1998 (270)
S & P 500 20 1,191.20 December 1998 (144)
S & P 500 2 1,127.00 December 1998 18
S & P 500 1 1,117.00 December 1998 11
------
$1,549
======
Small Cap Fund
Russell 2000 20 $ 348.30 December 1998 $ 493
Russell 2000 2 344.00 December 1998 54
Russell 2000 2 319.50 December 1998 78
Russell 2000 1 322.50 December 1998 33
S & P 500 10 1,192.50 December 1998 (75)
------
$ 583
======
Core Fixed Income Fund
90 Day Euro 11 $ 94.86 December 1998 $ (3)
90 Day Euro 3 94.76 December 1998 --
U.S. 5 Year Note 72 113.23 March 1999 38
U.S. 5 Year Note 164 112.70 December 1998 104
U.S. 5 Year Note 160 114.92 December 1998 (293)
U.S. 5 Year Note 49 112.80 December 1998 27
U.S. 5 Year Note 48 113.03 December 1998 16
U.S. 5 Year Note 47 114.50 December 1998 (54)
U.S. 5 Year Note 6 114.36 December 1998 6
U.S. 10 Year Note 43 118.78 March 1999 24
U.S. 10 Year Note (275) 117.53 December 1998 (472)
U.S. 10 Year Note (51) 119.16 December 1998 6
U.S. 10 Year Note (49) 119.19 December 1998 7
U.S. 10 Year Note (41) 119.47 December 1998 18
U.S. 10 Year Note (15) 118.53 December 1998 (8)
U.S. 30 Year Bond (26) 128.75 March 1999 (24)
U.S. 30 Year Bond (25) 128.29 March 1999 (36)
U.S. 30 Year Bond (4) 129.78 March 1999 1
U.S. 30 Year Bond (2) 129.86 March 1998 1
U.S. 30 Year Bond 44 127.00 December 1998 120
U.S. 30 Year Bond 25 127.50 December 1998 56
U.S. 30 Year Bond 23 126.84 December 1998 71
U.S. 30 Year Bond 3 129.27 December 1998 2
------
$(393)
======
33
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI Institutional Investments Trust -- November 30, 1998 (Unaudited)
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- --------- --------- ---------- -----------
International Equity Fund
Australia Ords Index 1 2,518 December 1998 $ 4
Australia Ords Index 1 2,728 December 1998 1
Australia Ords Index 1 2,729 December 1998 1
Australia Ords Index 4 2,785 December 1998 --
DAX Index 1 3,920 December 1998 67
DAX Index 1 4,750 December 1998 17
DAX Index 2 4,860 December 1998 21
DAX Index 5 5,000 December 1998 11
IBEX Index 4 9,021 December 1998 17
IBEX Index 5 9,365 December 1998 9
IBEX Index 9 9,620 December 1998 --
Hang Seng Index 1 10,590 December 1998 (1)
Hang Seng Index 3 10,660 December 1998 (4)
CAC 40 Index 10 2,978 December 1998 78
CAC 40 Index 4 3,622 December 1998 8
CAC 40 Index 10 3,774 December 1998 6
CAC 40 Index 33 3,888 December 1998 (13)
NIKKEI 225 Index 9 12,950 December 1998 76
NIKKEI 225 Index 3 14,380 December 1998 7
NIKKEI 225 Index 9 14,600 December 1998 14
NIKKEI 225 Index 27 15,130 December 1998 (18)
FTSE 100 Index 9 4,725 December 1998 164
FTSE 100 Index 2 5,583 December 1998 7
FTSE 100 Index 9 5,660 December 1998 22
FTSE 100 Index 22 5,828 December 1998 (7)
FTSE 100 Index 6 5,826 December 1998 (2)
--------
$485
========
34
<PAGE>
NOTES
<PAGE>
- --------------------------
SEI INSTITUTIONAL
INVESTMENTS TRUST
- --------------------------
SEMI-ANNUAL REPORT
- --------------------------
November 30, 1998
Robert A. Nesher
Chairman
Trustees
William M. Doran
F. Wendell Gooch
Frank E. Morris
James M. Storey
George J. Sullivan, Jr.
Officers
Edward D. Loughlin
President and Chief Executive Officer
Mark Nagle
Controller and Chief Financial Officer
Todd Cipperman
Vice President, Assistant Secretary
Sandra K. Orlow
Vice President, Assistant Secretary
Kevin P. Robins
Vice President, Assistant Secretary
Kathryn L. Stanton
Vice President, Assistant Secretary
Joseph M. O'Donnell
Vice President, Assistant Secretary
Cynthia M. Parrish
Vice President, Assistant Secretary
Richard W. Grant
Secretary
Investment Adviser
SEI Investments Management Corporation
Manager and Shareholder Servicing Agent
SEI Investments Fund Management
Distributor
SEI Investments Distribution Co.
Independent Accountants
PricewaterhouseCoopers LLP
Legal Counsel
Morgan, Lewis & Bockius LLP
This 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
<PAGE>
[Logo Omitted]
Investments
Distribution
Co.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-120-01
