SEMI-ANNUAL REPORT AS OF
NOVEMBER 30, 1999 (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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[SEI LOGO OMITTED]
<PAGE>
TABLE OF CONTENTS
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SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS......................... 1
STATEMENT OF ASSETS AND LIABILITIES..................................... 29
STATEMENT OF OPERATIONS................................................. 30
STATEMENTS OF CHANGES IN NET ASSETS..................................... 31
FINANCIAL HIGHLIGHTS.................................................... 32
NOTES TO FINANCIAL STATEMENTS........................................... 33
<PAGE>
SCHEDULE OF INVESTMENTS
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SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
LARGE CAP FUND
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MARKET
DESCRIPTION SHARES VALUE (000)
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COMMON STOCKS -- 94.4%
AEROSPACE & DEFENSE -- 0.2%
Cordant Technologies 70,900 $ 2,065
Litton Industries* 81,600 3,657
----------
5,722
----------
AIR TRANSPORTATION -- 0.3%
AMR* 49,700 3,025
Delta Air Lines 109,200 5,378
----------
8,403
----------
AIRCRAFT -- 1.9%
Allied Signal 400,700 23,967
Boeing 43,000 1,755
Lockheed Martin 120,800 2,401
United Technologies 396,700 22,414
----------
50,537
----------
APPAREL/TEXTILES -- 0.2%
VF 138,795 4,147
----------
4,147
----------
AUTOMOTIVE -- 1.6%
Dana 43,100 1,196
Delphi Automotive Systems* 219,760 3,461
Eaton 37,700 2,919
Ford Motor 444,900 22,467
General Motors 74,100 5,335
Genuine Parts 138,800 3,574
Navistar International* 93,500 3,477
----------
42,429
----------
BANKS -- 6.8%
Amsouth Bancorp 104,175 2,350
Astoria Financial* 40,600 1,280
Bank of America 890,568 52,098
Bank One 402,700 14,195
Chase Manhattan 492,728 38,063
Comerica 149,900 7,945
Commerce Bancshares 58,485 2,197
First Union 231,300 8,948
Firstar 216,600 5,632
Fleet Boston 10,368 392
Fleet Boston Financial 322,000 12,176
Golden West Financial 51,300 5,178
JP Morgan 39,000 5,129
PNC Bank 279,600 15,588
Republic New York 58,700 4,149
Southtrust 122,000 4,735
----------
180,055
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MARKET
DESCRIPTION SHARES VALUE (000)
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BEAUTY PRODUCTS -- 0.7%
Colgate-Palmolive 173,400 $ 9,515
Gillette 112,400 4,517
Procter & Gamble 49,900 5,389
----------
19,421
----------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 1.6%
Adelphia Communications, Cl A* 66,000 3,713
Charter Communications* 196,900 4,566
Clear Channel Communications* 75,300 6,052
Cox Communications* 146,200 6,871
Fox Entertainment, Cl A* 115,900 2,666
Mediaone Group* 165,000 13,076
Unitedglobalcom, Cl A 37,600 3,917
----------
40,861
----------
BUILDING & CONSTRUCTION -- 0.3%
Centex 119,000 2,826
Fluor 143,600 6,040
----------
8,866
----------
CHEMICALS -- 1.8%
BF Goodrich 122,100 2,755
EI DuPont de Nemours 101,234 6,017
Eastman Chemical 96,200 3,740
FMC* 89,700 4,350
Lubrizol 76,500 2,094
Millenium Chemicals 62,000 1,213
Nalco Chemical 52,100 2,745
PPG Industries 171,400 10,038
Praxair 84,900 3,789
Union Carbide 160,600 9,395
----------
46,136
----------
COMMUNICATIONS EQUIPMENT -- 2.2%
GTE 261,300 19,075
Mcleodusa, Cl A* 99,000 4,291
Network Appliance* 49,000 5,767
Nokia 188,800 26,090
Tellabs* 58,200 3,776
----------
58,999
----------
COMPUTERS & SERVICES -- 6.8%
America Online* 108,000 7,850
Apple Computer* 80,300 7,859
Cisco Systems* 607,420 54,174
Dell Computer* 1,020,300 43,873
EMC* 165,200 13,805
IBM 154,000 15,872
Lexmark International Group* 200,900 16,675
1
<PAGE>
SCHEDULE OF INVESTMENTS
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SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
LARGE CAP FUND--CONTINUED
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MARKET
DESCRIPTION SHARES VALUE (000)
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Quantum DLT & Storage* 183,100 $ 2,884
Quantum Hard Diskdrive* 91,550 629
Seagate Technology* 212,900 7,877
Unisys* 88,800 2,553
Yahoo* 20,000 4,319
----------
178,370
----------
CONCRETE & MINERAL PRODUCTS -- 0.0%
Owens-Corning Fiberglass 52,600 828
----------
828
----------
CONTAINERS & PACKAGING -- 0.2%
Ball 62,500 2,324
Crown Cork & Seal 109,500 2,231
Owens-Illinois* 11,210 268
----------
4,823
----------
DRUGS -- 5.5%
Amgen* 360,800 16,439
Biogen* 138,000 10,083
Bristol-Myers Squibb 326,000 23,818
Genentech* 72,200 6,200
Pfizer 712,000 25,766
Pharmacia & Upjohn 51,200 2,800
Schering Plough 714,700 36,539
Warner Lambert 270,100 24,225
----------
145,870
----------
ELECTRICAL SERVICES -- 3.3%
AES* 150,000 8,691
American Electric Power 97,700 3,065
Central & South West 221,500 4,430
Consolidated Edison Company
of New York 120,700 4,164
Constellation Energy Group* 166,500 4,901
DTE Energy 94,000 3,108
Edison International 192,500 5,101
Energy East 184,400 4,333
Firstenergy 71,500 1,667
FPL Group 136,700 5,981
Gemstar International* 39,000 4,397
New Century Energies 80,200 2,521
PG&E 416,400 9,317
Pinnacle West Capital 98,200 3,259
Public Service Enterprise Group 342,700 11,995
Reliant Energy 7,604 189
Southern 329,400 7,700
Wisconsin Energy 76,900 1,528
----------
86,347
----------
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MARKET
DESCRIPTION SHARES VALUE (000)
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ENTERTAINMENT -- 1.2%
AT&T-Liberty Media, Cl A* 626,800 $ 26,208
Mirage Resorts* 494,000 6,329
----------
32,537
----------
FINANCIAL SERVICES -- 4.1%
Associates First Capital 259,000 8,612
Bear Stearns 234,520 9,571
Charles Schwab 230,200 8,733
Countrywide Credit Industries 100,600 2,829
FNMA 179,500 11,959
Goldman Sachs Group* 12,400 932
Household International 112,700 4,459
Lehman Brothers Holding 74,700 5,705
MBNA 915,562 23,118
Morgan Stanley, Dean Witter,
Discover 208,700 25,174
T Rowe Price 187,800 6,761
----------
107,853
----------
FOOD, BEVERAGE & TOBACCO -- 1.8%
Adolph Coors, Cl B 64,600 3,214
Coca-Cola 189,800 12,776
Conagra 110,600 2,668
General Mills 161,700 6,094
IBP 289,800 6,394
Nabisco Group Holdings 75,700 875
Philip Morris 279,700 7,360
Ralston Purina Group 175,900 5,222
RJ Reynolds Tobacco Holdings* 34,399 733
Tyson Foods 127,100 2,208
----------
47,544
----------
GAS/NATURAL GAS -- 0.3%
Enron 104,000 3,959
National Fuel & Gas 39,900 1,998
Sempra Energy* 100,800 1,865
----------
7,822
----------
HOUSEHOLD FURNITURE & FIXTURES -- 3.1%
General Electric 236,000 30,680
Illinois Tool Works 69,334 4,489
Maytag 109,800 5,236
Solectron* 486,500 40,075
----------
80,480
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INSURANCE -- 6.9%
Aetna 82,300 4,496
Allstate 376,300 9,854
Ambac 98,873 5,389
American General 42,481 3,114
2
<PAGE>
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MARKET
DESCRIPTION SHARES VALUE (000)
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American International Group 235,683 $ 24,334
Chubb 140,500 7,526
Cigna 279,600 22,997
Citigroup 801,425 43,177
Conseco 171,000 3,463
Financial Security Assurance
Holdings 35,800 1,891
Foundation Health Systems, Cl A* 34,630 292
Hartford Financial 69,000 3,221
Lincoln National 88,000 3,669
Marsh & McLennan 72,800 5,724
MBIA 39,900 1,995
Old Republic International 101,150 1,264
Pacificare Health Systems, Cl A* 24,900 1,166
PMI Group 97,000 4,844
Progressive of Ohio 127,100 10,240
Providian Financial 132,200 10,460
St Paul 150,300 4,537
United Healthcare 73,200 3,802
XL Capital, Cl A 102,600 5,233
----------
182,688
----------
LEISURE PRODUCTS -- 0.0%
Mattel 59,200 847
----------
847
----------
MACHINERY -- 2.3%
Applied Materials* 111,600 10,874
Caterpillar 145,700 6,757
Cummins Engine 88,800 3,596
Dover 75,600 3,279
NACCO Industries, Cl A 10,900 528
PULTE 80,400 1,613
Timken 73,700 1,410
Tyco International 798,400 31,986
----------
60,043
----------
MEASURING DEVICES -- 0.2%
Mallinckrodt 152,800 5,081
----------
5,081
----------
MEDICAL PRODUCTS & SERVICES -- 0.8%
Bausch & Lomb 192,700 10,562
Medtronic 248,800 9,672
----------
20,234
----------
MISCELLANEOUS BUSINESS SERVICES-- 5.7%
Altera* 270,000 14,546
BMC Software* 99,500 7,245
Compuware* 119,400 4,037
Electronics for Imaging* 28,000 1,261
Harris 58,700 1,233
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MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Inktomi* 32,000 $ 4,130
Microsoft* 531,720 48,411
NCR* 76,500 2,510
Pixar* 101,200 4,250
Reynolds & Reynolds 140,100 2,714
Siebel Systems* 284,700 19,965
Sun Microsystems* 160,500 21,226
Symantec* 106,100 4,954
Teradyne* 166,400 7,249
Verisign* 31,000 5,760
----------
149,491
----------
MISCELLANEOUS CONSUMER SERVICES -- 0.1%
Robert Half International* 114,200 3,198
----------
3,198
----------
OFFICE FURNITURE & FIXTURES -- 0.7%
Champion International 346,100 19,187
----------
19,187
----------
PAPER & PAPER PRODUCTS -- 1.4%
Boise Cascade 98,700 3,418
Consolidated Papers 74,527 2,180
Earthgrains 80,300 1,455
Fort James 108,000 3,105
Georgia-Pacific 105,300 4,192
International Paper 321,458 16,776
Mead 50,150 1,790
Westvaco 90,200 2,723
----------
35,639
----------
PETROLEUM & FUEL PRODUCTS -- 2.2%
Atlantic Richfield 199,800 19,256
Diamond Offshore Drilling 162,100 4,944
Noble Drilling* 282,000 7,861
Occidental Petroleum 316,628 6,946
Phillips Petroleum 233,100 11,145
Schlumberger 130,540 7,841
----------
57,993
----------
PETROLEUM REFINING -- 2.9%
Ashland 44,700 1,509
BP Amoco ADR 80,000 4,875
Chevron 97,700 8,653
Coastal 142,100 5,009
Exxon 422,400 33,502
Lyondell Petrochemical 124,600 1,744
Mobil 156,300 16,304
USX-Marathon Group 218,100 5,766
----------
77,362
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3
<PAGE>
SCHEDULE OF INVESTMENTS
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SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
LARGE CAP FUND--CONTINUED
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MARKET
DESCRIPTION SHARES VALUE (000)
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PHOTOGRAPHIC EQUIPMENT & SUPPLIES-- 0.0%
Lanier Worldwide* 58,700 $ 235
----------
235
----------
PRINTING & PUBLISHING -- 1.5%
Gannett 155,446 11,124
Lafarge 101,500 2,741
Time Warner 196,100 12,097
Tribune 121,700 5,849
Viacom, Cl B* 162,500 8,084
----------
39,895
----------
PROFESSIONAL SERVICES -- 1.0%
Norfolk Southern 406,700 8,693
Paychex 202,550 8,089
Veritas Software* 107,400 9,834
----------
26,616
----------
RAILROADS -- 1.5%
Canadian Pacific Ltd 92,900 2,015
CSX 273,974 9,743
Kansas City Southern Industries 258,300 15,385
Union Pacific 239,175 11,256
----------
38,399
----------
REPAIR SERVICES -- 0.7%
Federated Department Stores* 253,500 11,930
Gap 178,000 7,209
Ryder System 18,000 406
----------
19,545
----------
RETAIL -- 7.0%
Bed Bath & Beyond* 118,100 3,691
Costco Wholesale* 75,500 6,922
Darden Restaurants 171,400 3,053
Dayton-Hudson 177,000 12,490
Dillards, Cl A 79,700 1,504
Great Atlantic & Pacific Tea 88,100 2,241
Home Depot 593,190 46,899
JC Penney 169,767 3,788
Kohl's* 310,600 22,421
Kroger* 392,000 8,355
Lowe's 207,500 10,336
May Department Stores 119,732 4,026
Ross Stores 117,000 2,256
Ruddick 50,400 888
Safeway* 252,000 9,293
Sears Roebuck 591,800 20,232
Tandy 60,000 4,598
Tech Data* 36,300 889
TJX 121,200 3,174
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MARKET
DESCRIPTION SHARES VALUE (000)
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Wal-Mart Stores 290,000 $ 16,711
----------
183,767
----------
RUBBER & PLASTIC -- 1.5%
Cooper Tire & Rubber 57,100 857
Dow Chemical 287,561 33,681
Goodyear Tire & Rubber 179,300 6,051
----------
40,589
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 3.0%
Conexant Systems* 21,000 1,244
Intel 492,036 37,733
Linear Technology 1,600 114
Maxim Integrated Products* 238,250 19,134
PMC-Sierra* 46,900 4,834
Texas Instruments 112,900 10,845
Vitesse Semiconductor* 113,272 5,104
----------
79,008
----------
SPECIALTY CONSTRUCTION -- 0.2%
Cooper Industries 75,476 3,241
Tecumseh Products, Cl A 49,300 2,368
----------
5,609
----------
SPECIALTY MACHINERY -- 0.1%
American Standard* 75,900 2,955
----------
2,955
----------
STEEL & STEEL WORKS -- 0.6%
AK Steel Holding 217,600 3,604
Alcan Aluminum 158,633 5,394
Alcoa 61,200 4,009
Texas Industries 45,100 1,635
----------
14,642
----------
TECHNOLOGY, GENERAL -- 0.4%
Rockwell International 195,400 9,697
----------
9,697
----------
TELEPHONES & TELECOMMUNICATION -- 8.8%
Alltel 256,700 22,205
AT&T 614,100 34,313
BellSouth 489,086 22,590
Lucent Technologies 515,000 37,627
MCI WorldCom* 645,662 53,388
Metromedia Fiber Network* 106,000 4,108
Motorola 185,500 21,193
Nextel Communications, Cl A* 50,800 5,036
SBC Telecommunications 94,752 4,921
Sprint 86,400 5,994
Sprint Corp (PCS Group)* 21,450 1,968
4
<PAGE>
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LARGE CAP FUND--CONCLUDED
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SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Telephone & Data Systems 69,000 $ 9,190
US West 76,700 4,760
Vodafone Group 76,600 3,615
----------
230,908
----------
TESTING LABORATORIES -- 0.3%
Affymetrix* 35,100 3,440
Medimmune* 32,800 3,942
----------
7,382
----------
TRUCKING -- 0.0%
Yellow* 60,700 1,021
----------
1,021
----------
WHOLESALE -- 0.7%
Arrow Electronics* 67,600 1,546
Avnet 27,500 1,511
Bergen Brunswig, Cl A 128,300 1,058
BJ's Wholesale Club* 165,500 6,186
CBS 45,684 2,376
Ingram Micro* 102,600 1,366
Supervalu 168,100 3,267
----------
17,310
----------
Total Common Stocks
(Cost $2,018,527) 2,487,391
----------
U.S. TREASURY OBLIGATION -- 0.3%
U.S. Treasury Bill (A)
5.030%, 02/03/00 $6,900 6,838
----------
Total U.S. Treasury Obligation
(Cost $6,840) 6,838
----------
COMMERCIAL PAPER -- 1.0%
General Electric Capital
5.400%, 12/06/99 20,009 19,993
Prudential Funding
5.420%, 12/02/99 5,450 5,449
----------
Total Commercial Paper
(Cost $25,446) 25,442
----------
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FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
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REPURCHASE AGREEMENT -- 4.1%
JP Morgan
5.630%, dated 11/30/99, matures
12/01/99, repurchase price
$107,919,000 (collateralized by
FNMA Discount Note, total par
value $40,810,000, 05/25/00 and
FHLMC Discount Note par value
$71,290,000,
12/30/99,
total market value:
$110,602,000) $107,902 $ 107,902
----------
Total Repurchase Agreement
(Cost $107,902) 107,902
----------
MONEY MARKET FUNDS -- 0.3%
Evergreen Select 5,985,068 5,985
SEI Prime Obligation 918,667 919
----------
Total Money Market Funds
(Cost $6,904) 6,904
----------
Total Investments--100.0%
(Cost $2,165,619) $2,634,477
==========
* 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
LTD -- LIMITED
SER -- SERIES
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
<PAGE>
5
SCHEDULE OF INVESTMENTS
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SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
SMALL CAP FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 89.6%
AEROSPACE & DEFENSE -- 0.1%
Gencorp 43,200 $ 473
----------
473
----------
AEROSPACE DEFENSE -- 0.3%
Independent Energy
Holdings ADR* 21,000 568
Modem Media Poppe Tyson* 2,900 153
National Dentex* 14,500 247
Omnova Solutions* 64,200 401
Terra Networks* 100 3
----------
1,372
----------
AIR TRANSPORTATION -- 0.4%
Airborne Freight 21,580 500
Alaska Airgroup* 16,500 627
America West Holdings, Cl B* 31,800 642
Atlantic Coast Air* 12,000 249
Skywest 9,400 230
----------
2,248
----------
AIRCRAFT -- 0.1%
Tristar Aerospace* 34,800 328
----------
328
----------
APPAREL/TEXTILES -- 0.6%
Delta Woodside Industries 33,300 65
Guilford Mills 79,200 574
Kellwood 15,550 323
Kenneth Cole Production* 3,600 165
Pillowtex 17,290 69
Quiksilver* 19,450 294
Ralph Lauren* 50,200 882
Westpoint Stevens* 23,300 489
----------
2,861
----------
AUTOMOTIVE -- 2.0%
Arctic Cat 67,900 696
Arvin Industries 47,710 1,267
Borg-Warner Automotive 29,712 1,203
Clarcor 52,900 919
Dollar Thrifty Automotive* 8,000 172
Dura Automotive Systems* 8,800 183
Gentex* 13,000 243
JLG Industries 63,900 875
Kaydon 26,600 728
Midas* 40,700 875
Modine Manufacturing 38,600 1,090
Monaco Coach* 8,850 190
Regal Beloit 45,800 1,008
Smith (AO) 31,850 701
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Teleflex 5,000 $ 171
----------
10,321
----------
BANKS -- 3.5%
Alliant Techsystems* 15,839 870
Andover Bancorp 14,612 438
Astoria Financial* 3,700 117
Bancorpsouth 21,000 361
Bancwest 23,700 1,044
Bank United, Cl A* 24,100 859
Chittenden 19,000 614
City National 31,900 1,150
Commerce Bancorp New Jersey 3,235 139
Community First Bankshares 11,000 200
Cullen/Frost Bankers 33,400 952
Dime Bancorp* 16,735 305
Dime Community Bancorp* 23,600 468
Downey Financial 32,240 649
Firstfed Financial* 27,400 423
Flagstar Bancorp 18,400 293
Greater Bay Bancorp 2,300 97
Hudson United Bancorp 5,118 158
Imperial Bancorp* 48,100 1,154
John Hancock Bank 87,000 758
North Fork Bancorporation 28,400 572
People's Heritage Financial Group 7,200 122
Richmond County Financial* 65,400 1,116
Roslyn Bancorp 53,660 1,043
Southwest Bancorp of Texas* 7,400 140
Staten Island Bancorp* 50,700 992
Trustmark 9,300 214
Umb Financial 11,200 459
Webster Financial 62,500 1,664
Westamerica Bancorporation 28,400 893
----------
18,264
----------
BEAUTY PRODUCTS -- 0.2%
Church & Dwight 7,300 204
Playtex Products* 74,200 1,030
----------
1,234
----------
BROADCASTING, NEWSPAPERS &
ADVERTISING -- 2.8%
AMFM* 13,600 961
Antec* 11,200 627
Big Flower Holdings* 26,100 814
Citadel Communications* 25,950 1,299
Cox Radio, Cl A* 13,500 1,026
Cumulus Media* 18,050 722
Digital Impact* 350 19
Emmis Broadcasting* 18,600 1,507
Entercom Communications* 14,700 841
6
<PAGE>
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- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Getty Images* 3,600 $ 142
Grey Advertising 2,500 866
Lamar Advertising* 18,000 1,033
McCLatchy Newspapers, Cl A 4,800 173
Mediaplex* 550 19
Nbc Internet* 3,100 236
Radio Unica Communications* 6,600 182
Silknet Software Com* 7,600 671
Spanish Broadcasting
Systems, Cl A* 31,850 1,011
TMP Worldwide* 15,000 1,422
True North Communications 10,900 434
Young Broadcasting, Cl A* 18,700 752
----------
14,757
----------
BUILDING & CONSTRUCTION -- 0.7%
Centex 22,260 529
Crossman Communities* 4,500 71
Jacobs Engineering Group* 8,300 261
MDC Holdings 49,190 735
Ryland Group 45,900 1,044
Standard Pacific 94,200 1,036
US Home* 2,000 52
----------
3,728
----------
BUILDING & CONSTRUCTION SUPPLIES-- 0.3%
Granite Construction 4,000 76
Nortek* 19,700 507
Pulte 51,500 1,033
----------
1,616
----------
CHEMICALS -- 1.4%
Albemarle 8,100 157
American Pacific* 61,800 452
Brady, Cl A 4,600 141
Cambrex 23,900 753
CFC International* 24,300 170
Cytec Industries* 30,800 722
Dexter 41,490 1,499
Ethyl 85,800 359
Geon 33,700 1,019
Lubrizol 15,400 422
Olin 17,600 316
OM Group 8,300 280
Terra Industries 54,500 112
WR Grace* 25,900 353
Wellman 27,300 435
----------
7,190
----------
COMMUNICATIONS EQUIPMENT -- 4.9%
Act Manufacturing* 56,200 1,718
Carrier Access* 18,000 1,096
C-Cor Electronics 11,400 582
Concord Communications* 4,400 235
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
CTS 13,700 $ 1,099
DII Group* 62,200 3,926
Dionex* 4,500 175
Ditech Communications* 10,950 1,133
Efficient Networks* 15,700 942
Harman International 14,000 721
MCleodusa, Cl A* 34,600 1,488
Mercury Computer Systems* 5,500 314
Mercury Interactive* 20,300 1,687
Nds Group Plc ADR 500 15
Plantronics* 4,000 252
Polycom* 42,300 2,707
Power Integration* 31,000 1,236
Powerwave Technologies* 20,200 1,208
Proxim* 3,900 218
Research In Motion* 10,600 543
Sawtek* 36,200 1,652
Titan* 12,000 325
Zomax* 55,000 2,037
----------
25,309
----------
COMPUTERS & SERVICES -- 2.0%
Advanced Digital Information* 66,400 2,984
Astro Med 1,300 8
Bell & Howell* 6,100 189
Cybex Computer Products* 69,200 2,984
Digital Lightwave* 15,000 498
Exactis.com* 4,000 109
Immersion 3,600 97
In Focus Systems* 9,400 196
Intelligent Systems 35,000 92
Maxtor* 55,400 336
Micros Systems* 6,000 303
National Computer Systems 12,200 468
Psinet* 17,400 870
QRS* 2,650 154
Scient* 7,750 1,124
----------
10,412
----------
CONCRETE & MINERAL PRODUCTS -- 0.3%
Dal-Tile International* 75,900 778
Ferro 9,750 205
Florida Rock Industries 18,660 583
----------
1,566
----------
CONSUMER PRODUCTS -- 0.8%
Brown Shoe 24,700 389
Jakks Pacific* 64,500 1,564
Justin Industries 46,100 717
Public Service of New Mexico 80,590 1,340
RG Barry 85,100 367
----------
4,377
----------
7
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
CONTAINERS & PACKAGING -- 0.2%
Ball 5,200 $ 193
Greif Brothers 28,800 850
----------
1,043
----------
DRUGS -- 2.0%
Alkermes* 28,600 1,216
Alpharma, Cl A 24,500 784
Andrx* 3,900 201
Barr Laboratories* 11,000 347
Biomatrix* 38,400 902
ChiRex* 4,900 170
Cytyc* 54,800 2,391
Dura Pharmaceuticals* 15,900 207
Ivax 12,500 254
Jones Pharmaceuticals 7,200 249
Medarex* 24,100 274
Medco Research* 19,900 530
Medicis Pharmaceutical, Cl A* 7,300 256
Millipore 5,600 184
Ocular Sciences* 46,400 861
Pharmacyclics* 18,200 626
Protein Design Laboratories* 20,300 812
----------
10,264
----------
ELECTRICAL SERVICES -- 1.4%
Calpine* 14,800 873
Cleco 22,900 747
Conectiv 52,900 932
El Paso Electric* 90,900 818
Emcor Group* 50,700 887
Esco Electronics* 27,900 270
Hawaiian Electric Industries 18,000 550
Idacorp 15,700 440
Nstar* 21,125 877
RGS Energy Group 13,900 310
United Illuminating 11,900 616
----------
7,320
----------
ELECTRICAL TECHNOLOGY -- 0.6%
Anadigics* 5,000 225
Belden 24,000 480
Electro Scientific Industries* 31,800 1,858
Smart Modular* 15,500 651
----------
3,214
----------
ENTERTAINMENT -- 0.7%
Anchor Gaming* 13,500 743
Argosy Gaming* 11,300 160
Cinar Films, Cl B* 15,800 216
Hollywood Park* 9,600 194
Macrovision* 18,800 1,201
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Sportsline USA* 20,700 $ 988
Station Casinos* 7,800 187
----------
3,689
----------
ENVIRONMENTAL SERVICES -- 0.0%
IT Group* 17,100 178
Sevenson Environmental Services 8,100 72
----------
250
----------
FINANCIAL SERVICES -- 8.2%
Acceptance Insurance* 51,300 327
Amli Residential Properties 53,600 1,142
Arden Reality Group* 55,000 1,059
Asset Investors 32,200 421
Avalonbay Communities REIT 52,000 1,684
Blackrock* 30,900 568
Boston Properties 56,150 1,590
Capital Southwest 10,400 723
Charles E Smith Residential
Realty 42,000 1,365
Cornerstone Properties 76,850 1,061
Dain Rauscher 20,100 979
Doral Financial 41,200 492
Duff & Phelps Credit Rating 6,500 518
Equity Office Properties Trust 49,500 1,086
Equity Residential Properties
Trust 27,400 1,101
Essex Property Trust 34,500 1,119
Federal Realty Investment Trust 58,800 1,058
Financial Federal* 50,800 1,051
Fours Seasons Hotel 18,700 921
Franchise Finance of America 28,800 641
Hambrecht & Quist* 39,500 1,965
Heller Financial* 15,500 343
Highwoods Properties 70,050 1,541
HRPT Properties Trust 40,600 327
John Nuveen, CL A 22,300 833
JSB Financial 12,100 715
Knight/Trimark Group, Cl A* 63,800 2,628
Legg Mason 23,700 834
Liberty Property Trust 74,650 1,703
Metris* 22,344 707
Nextcard* 15,100 501
NVR* 3,900 190
Prentiss Properties Trust 92,300 1,869
Public Storage 44,700 1,020
Reckson Associates 83,380 1,683
Smith Investment 2,000 123
Spieker Properties 47,350 1,657
Starwood Hotels & Resorts
Worldwide* 91,850 2,049
Waddell & Reed Financial, Cl A* 41,200 1,022
Washington Federal 56,300 1,175
Web Street* 3,900 59
8
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
White Mountains Insurance Group 7,700 $ 909
----------
42,759
----------
FOOD, BEVERAGE & TOBACCO -- 1.6%
Adolph Coors, Cl B 17,760 884
Agribrands International* 3,700 174
Aurora Foods* 34,800 313
Canandaigua Brands, Cl A* 2,500 133
Corn Products International 25,500 800
Dean Foods 16,800 667
Hain Food Group* 7,500 172
International Home Foods** 10,600 186
M&F Worldwide* 59,100 325
Pilgrim's Pride, Cl A* 8,950 53
Pilgrims Pride 17,900 139
Ralcorp Holdings* 22,400 438
Robert Mondavi* 18,900 727
Smithfield Foods* 34,200 876
Universal 30,900 794
Universal Foods 10,800 230
Wild Oates Markets* 39,200 1,397
----------
8,308
----------
GAS/NATURAL GAS -- 1.3%
Connecticut Energy 20,400 805
Energen 20,220 389
Northwest Natural Gas 28,500 716
Oneok 44,200 1,191
Southwest Gas 25,900 607
UGI 25,800 505
Washington Gas Light 51,400 1,439
Wicor 29,300 879
----------
6,531
----------
HOTELS & LODGING -- 0.3%
Aztar* 131,300 1,403
----------
1,403
----------
HOUSEHOLD FURNITURE & FIXTURES -- 0.6%
Chromcraft Revington* 17,200 196
Ethan Allen Interiors 37,050 1,232
Furniture Brands International* 37,300 727
O'Sullivan Industries Holdings* 50,260 861
----------
3,016
----------
HOUSEHOLD PRODUCTS -- 0.7%
Genlyte Group* 47,400 1,144
Salton/Maxim Housewares* 56,200 1,387
Simpson Manufacturing* 12,100 504
Thomas Industries 23,865 385
----------
3,420
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
INSURANCE -- 3.1%
Annuity & Life Re Holdings* 39,200 $ 1,117
Arthur J Gallegher 17,500 954
Chicago Title 9,400 427
CNA Surety* 14,500 161
Delphi Financial Group, Cl A* 10,801 335
EW Blanch Holdings 23,300 1,351
Everest Reinsurance Holdings 42,200 1,002
FBL Financial Group, Cl A 24,900 433
Financial Security Assurance
Holdings 20,600 1,088
First American Financial 59,960 772
HCC Insurance Holdings 38,000 404
Healthcare Recoveries* 20,000 65
Hilb, Rogal and Hamilton 45,400 1,231
IPC Holdings 14,200 258
LaSalle Re Holdings 13,000 156
Leucadia National 27,700 604
Merchants Group 2,300 52
Mony Group* 25,900 764
Pico Holdings* 10,300 155
Presidential Life 58,390 1,022
Radian Group 28,912 1,413
Risk Capital Holdings* 50,000 647
Scottish Annuity & Life* 53,800 457
Stewart Information Services 74,300 1,003
UICI* 3,800 93
----------
15,964
----------
LEASING & RENTING -- 0.2%
Rent-A-Center* 18,300 335
Rent-Way* 25,400 387
Xtra 10,400 416
----------
1,138
----------
LEISURE PRODUCTS -- 0.5%
Acclaim Entertainment* 27,700 178
Boyds Collection* 14,900 130
Fossil* 7,600 160
Jostens 48,300 888
Standard Motor Products 26,100 478
T-HQ* 14,800 796
----------
2,630
----------
LUMBER & WOOD PRODUCTS -- 0.2%
TJ International 20,610 859
----------
859
----------
MACHINERY -- 2.7%
AGCO 19,900 252
Amcast Industrial 20,810 291
Applied Power 10,000 319
Applied Science & Technology* 4,300 102
Aptar Group 32,000 868
9
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Astec Industries* 30,900 $ 769
Asyst Technologies* 37,100 1,482
Briggs & Stratton 10,900 582
Commercial Intertech 25,200 317
Cree Research* 33,500 1,914
Gardner Denver Machinery* 14,645 240
Gehl* 11,400 205
Gleason 101,400 1,800
Kulicke & Soffa Industries* 9,000 321
Lincoln Electric Holdings 77,400 1,572
Manitowoc 27,900 851
Micrel* 13,000 640
Moog* 13,300 349
Pentair 6,200 230
Roper Industries 4,300 160
SPS Technologies* 10,500 344
Toro 4,300 139
Twin Disc 13,400 187
----------
13,934
----------
MANUFACTURING -- 0.9%
Aviall* 76,400 583
Champion Enterprises* 45,500 390
Donaldson 10,800 244
NCH 7,150 333
Newport News Shipbuilding 36,800 1,214
Zebra Technologies, Cl A* 29,100 1,757
----------
4,521
----------
MARINE TRANSPORTATION -- 0.1%
Alexander & Baldwin 27,100 617
----------
617
----------
MEASURING DEVICES -- 0.2%
Advanced Energy Industries* 5,100 171
LTX* 11,700 211
Moore Products* 5,700 192
Tektronix 18,500 629
----------
1,203
----------
MEDICAL PRODUCTS & SERVICES -- 2.8%
Apria Healthcare Group* 10,100 141
Conmed* 13,600 343
Diagnostic Products 16,400 413
Gliatech* 5,200 69
Hanger Orthopedic Group* 58,000 595
Imation* 19,100 615
Impath* 9,500 213
Interim Services* 37,600 693
Invacare 7,500 158
King Pharmaceuticals* 67,700 3,123
Laser Vision Centers* 39,500 573
Lifepoint Hospitals* 41,400 486
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Lincare Holdings* 28,700 $ 814
Medquist* 16,500 470
Minimed* 6,600 484
Optical Coating Laboratory 1,300 256
Orthodontic Centers of America* 43,000 524
PolyMedica* 42,200 739
Province Healthcare* 2,200 45
Quest Diagnostic* 23,100 703
Resmed* 24,900 998
Sciquest.com* 750 25
Sola International* 27,600 393
Techne* 5,000 243
Trigon Healthcare* 35,900 1,057
Wesley Jessen* 5,500 157
----------
14,330
----------
METALS & MINING -- 0.3%
Cleveland Cliffs 46,100 1,348
Kaiser Aluminum* 57,100 378
----------
1,726
----------
MISCELLANEOUS BUSINESS SERVICES-- 13.6%
24/7 Media* 29,000 1,472
ABM Industries 7,300 157
About.com* 17,250 737
Acxiom* 42,300 752
Advent Software* 21,625 1,211
Advo Systems* 51,300 1,055
American Management Systems 17,400 511
Ardent Software* 68,600 1,801
Aspect Development* 13,700 654
AVT* 5,400 217
Aware* 14,600 553
BEA Systems* 35,300 2,868
Black Box* 5,500 327
Bluestone Software* 6,100 384
Brio Technology* 25,100 944
Broadbase Software* 13,200 1,147
Business Objects* 17,200 1,522
Cacheflow* 450 68
Caci International* 4,900 108
Career Education* 3,500 116
Checkpoint Software* 9,500 1,345
Clarent* 5,800 471
Complete Business Solutions* 31,000 587
Computer Task Group 18,100 268
CSG Systems International* 5,100 223
Cysive* 8,650 437
Dendrite International* 9,600 264
Diamond Technology Partners* 3,700 194
Digex* 20,550 688
Digital River* 6,400 195
Dset* 26,100 682
Earthlink Network* 11,700 613
10
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Exchange Applications* 30,400 $ 1,847
Expedia Inc, Cl A* 18,000 1,009
FileNet* 30,200 604
Foundry Networks* 2,000 682
Genesys Telecom Labs* 11,000 564
Getthere.com* 250 6
Globix* 4,500 180
Goto.com* 6,000 546
Homestore.com* 15,000 979
Hooper Holmes 68,100 1,609
Imanage Inc* 550 21
Informatica* 10,800 787
Interactive Intelligence* 18,300 512
ISS Group* 26,400 1,274
Lason* 4,300 105
Liquid Audio* 20,200 692
Loislaw.com* 7,200 220
Macromedia* 40,200 2,643
Mastech* 35,200 662
Memberworks* 29,900 748
Midway Games* 5,500 119
Modis Professional Services* 48,100 514
National Information Consortium* 35,000 928
National Instruments* 12,000 360
NCO Group* 30,900 1,433
Netegrity* 22,500 917
Netiq* 33,400 1,394
Netopia* 29,850 1,664
Network Solutions* 14,100 2,101
Officail Payments* 500 18
On Assignment* 15,300 429
Peregrine Systems* 33,900 2,373
Progress Software* 38,000 1,515
Proxicom* 20,100 1,387
Radiant Systems* 8,600 213
Radisys* 20,250 909
Rainmaker Systems* 5,100 114
Real Network* 8,600 1,200
Retek* 1,150 78
Segue Software* 5,200 135
Sensormatic Electronics 89,300 1,423
Sybase* 231,300 3,730
Take-Two Interactive Software* 10,000 128
Tibco Software* 10,350 1,004
Transaction Systems Architects* 1,000 35
TSI International Software* 18,600 859
USWeb* 4,800 199
Verio* 54,200 3,089
Veritas Software* 13,800 1,264
Vignette* 3,700 765
Vitria Technology* 1,800 180
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Xircom* 36,800 $ 1,932
----------
70,670
----------
MISCELLANEOUS CONSUMER SERVICES-- 0.4%
CSK Auto* 8,500 151
G&K Services 1,500 51
Hotjobs.com Ltd* 40,850 1,325
Metamor Worldwide* 10,800 285
Regis 10,500 217
----------
2,029
----------
MISCELLANEOUS MANUFACTURING -- 1.2%
Blyth Industries* 9,300 223
Cable Design Technologies* 6,100 146
Commscope* 54,900 2,313
Craig* 37,000 216
Department 56* 24,200 452
General Cable* 70,600 547
Kemet* 62,400 2,262
----------
6,159
----------
MISCELLANEOUS TRANSPORTATION -- 0.1%
Fleetwood Enterprises 23,900 502
----------
502
----------
OFFICE FURNITURE & FIXTURES -- 0.4%
Kimball International, Cl B 87,420 1,448
PH Glatfelter 28,800 371
----------
1,819
----------
PAPER & PAPER PRODUCTS -- 0.5%
Boise Cascade 6,400 222
Domtar 73,400 835
Fletcher Challenge Energy ADR* 16,200 367
Mail-Well* 24,800 296
Potlatch 12,800 518
Rock Tenn, Cl A 28,200 437
----------
2,675
----------
PETROLEUM & FUEL PRODUCTS -- 1.4%
Cabot Oil & Gas, Cl A 29,000 444
Cal Dive International* 23,200 844
Citation* 16,700 283
Equitable Resources 5,200 181
Forest Oil* 90,600 1,036
Giant Industries 24,400 212
Helmerich & Payne 16,000 362
Louis Dreyfus Natural Gas* 19,300 347
Newfield Exploration* 39,599 1,022
Ocean Energy* 46,600 355
Oceaneering International* 20,100 261
11
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
SMALL CAP FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Patina Oil & Gas 35,800 $ 255
Prima Energy* 2,700 68
Santa Fe Snyder* 53,000 424
Seitel* 44,200 298
Stone Energy* 4,300 167
Swift Energy* 56,900 633
Tom Brown* 28,400 332
----------
7,524
----------
PETROLEUM REFINING -- 0.5%
Murphy Oil 15,000 848
Tesoro Petroleum* 91,300 1,096
Ultramar Diamond Shamrock 22,500 570
----------
2,514
----------
PHOTOGRAPHIC EQUIPMENT &
SUPPLIES -- 0.2%
Pinnacle Systems* 31,900 1,053
Polaroid 10,500 202
----------
1,255
----------
PRINTING & PUBLISHING -- 0.8%
Courier 24,000 543
Electronics for Imaging* 5,500 245
Giant Cement Holding* 45,700 1,408
Standard Register 5,810 122
Topps* 25,600 291
Valassis Communications* 5,800 228
Wallace Computer Services 56,900 1,142
----------
3,979
----------
PROFESSIONAL SERVICES -- 0.8%
CDI* 32,200 781
Consolidated Graphics* 22,600 507
Devry* 21,000 424
FYI* 4,400 141
Harding Lawson Associates
Group* 18,800 141
Management Network Group* 2,700 91
Navigant Consulting* 10,900 116
Pre Paid Legal* 4,000 96
Profit Recovery Group
International* 16,000 593
Promedco Management* 5,000 10
RH Donnelley 18,600 346
Student Advantage* 51,250 833
Tetra Tech* 17,577 200
US Oncology* 18,600 88
----------
4,367
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
REAL ESTATE -- 0.7%
Centex Construction Products 18,200 $ 636
Trizec Hahn* 92,700 1,524
Urban Shopping Centers 63,200 1,631
----------
3,791
----------
RETAIL -- 4.5%
Action Performance* 16,500 279
American Eagle Outfitters* 22,700 1,037
Ann Taylor Stores* 5,400 233
Brinker International* 5,700 129
Buckle* 3,000 47
Burlington Coat Factory
Warehouse* 28,800 369
CDW Computer Centers* 4,600 323
Cec Entertainment* 5,000 150
Children's Place Retail Stores* 30,000 741
Claire's Stores 33,200 720
Cost Plus* 6,000 222
Dress Barn* 23,670 404
Footstar* 12,000 398
Grand Union* 73,200 778
Haverty Furniture 69,400 954
Homebase* 56,000 193
InterTAN* 8,900 213
Intimate Brands 5,460 234
Jack In Box* 8,800 185
Jo-Ann Stores, Cl A* 45,800 598
Linens `N Things* 24,100 813
Michaels Stores* 20,100 631
Mueller Industries* 40,800 1,469
Neiman-Marcus Group, Cl A 32,000 920
Pacific Sunwear of California* 71,775 2,216
PJ America* 20,100 319
Rare Hospitality International* 16,600 353
Rex Stores* 2,700 101
Ruby Tuesday 28,300 570
Ryan's Family Steak Houses* 121,730 1,202
Shopko Stores 31,750 720
Smarterkids.com* 5,350 82
Sonic Automotive* 11,200 101
Spiegel Incorporated, Cl A 131,400 1,051
Talbots 3,700 179
Valuevision International* 15,000 675
Warnaco Group 13,800 171
Williams Sonoma* 8,800 480
Zale* 56,600 2,865
----------
23,125
----------
12
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
RUBBER & PLASTIC -- 0.4%
Carlisle Companies 25,000 $ 839
Cooper Tire and Rubber 23,900 359
Gundle/Slt Environmental* 22,100 91
Mark IV Industries 16,600 311
Spartech 16,800 530
----------
2,130
----------
SEMI-CONDUCTORS/INSTRUMENTS -- 5.1%
Actel* 13,500 318
Alpha Industries* 4,400 266
Atmi* 13,100 399
Burr-Brown* 31,400 1,391
Conexant Systems* 24,000 1,422
Credence Systems* 50,800 2,943
Cymer* 47,200 1,888
Cypress Semiconductor* 17,600 480
Electroglas* 70,600 2,010
ESS Technology* 15,400 331
FSI International* 57,100 537
Hadco* 4,400 208
Helix Technology 57,400 2,324
Integrated Device Technology* 62,300 1,468
International Rectifier* 144,000 2,916
Methode Electronics, Cl A 24,100 651
MIPS Technologies* 27,000 1,191
MMC Networks* 6,800 134
Qlogic* 3,900 441
Santa Cruz Operation* 103,500 1,546
Semtech* 4,700 229
Silicon Valley Group* 38,400 550
Stoneridge* 37,700 509
Transwitch* 5,150 242
Triquint Semiconductor* 10,700 911
Vicor* 41,100 1,331
Virata 600 19
----------
26,655
----------
SPECIALTY CONSTRUCTION -- 0.7%
Caprock Communications* 28,300 690
DR Horton* 77,100 1,060
Elcor 5,250 170
Insituform Technologies* 54,400 1,363
Quanta Services* 6,300 176
----------
3,459
----------
SPECIALTY MACHINERY -- 0.4%
Powell Industries* 43,700 339
Schnitzer Steel Industries, Cl A 29,400 555
Tecumseh Products, Cl A 23,700 1,138
York International 13,200 295
----------
2,327
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
STEEL & STEEL WORKS -- 1.1%
AK Steel Holding 123,991 $ 2,054
Chicago Bridge & Iron 700 10
Howmet International* 33,000 599
Insteel Industries 30,800 260
Intermet 71,400 723
LTV 105,000 368
National Steel, Cl B* 34,430 200
Roanoke Electric Steel 26,900 437
Ryerson Tull 28,600 585
Worthington Industries 24,400 390
----------
5,626
----------
TELEPHONES & TELECOMMUNICATION -- 3.1%
Allegiance Telecommunications* 22,900 1,692
American Tower Systems* 43,500 1,136
Audiovox, Cl A* 103,300 3,073
Concentric Network* 39,200 1,115
Copper Mountain Networks* 12,500 1,043
Covad Communications Group* 18,500 961
Deltatree.com, Cl A* 250 7
Dycom Industry* 5,000 201
Electric Lightwave* 49,900 761
ICG Communications* 33,200 629
ITC Deltacom* 13,700 376
ITXC* 18,600 797
Korea Thrunet Ltd, Cl A* 300 17
Lightbridge* 9,800 198
Metromedia Fiber Network* 18,800 729
Pacific Gateway Exchange* 20,100 367
Pinnacle Holdings* 32,500 928
Primus Telecommunications Group* 25,900 771
Teligent* 7,200 407
Triton PCS Holdings, Cl A* 7,900 369
Viatel* 15,800 664
----------
16,241
----------
TESTING LABORATORIES -- 0.3%
Medimmune* 9,900 1,190
Plexus* 6,400 252
----------
1,442
----------
TRANSPORTATION SERVICES -- 0.3%
Forward Air* 27,700 862
GATX 18,280 601
----------
1,463
----------
TRUCKING -- 1.2%
American Freightways* 8,900 154
Arkansas Best* 21,900 274
Arnold Industries 6,100 77
CH Robinson Worldwide 8,000 279
Consolidated Freightways* 27,000 246
13
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
SMALL CAP FUND--CONCLUDED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Expeditors International of
Washington 13,800 $ 562
Landstar System* 4,900 196
Roadway Express 33,400 664
Rollins Truck Leasing 44,850 527
Swift Transportation* 12,375 196
US Freightways 58,020 2,422
Werner Enterprises 7,500 113
Yellow* 18,820 316
----------
6,026
----------
WHOLESALE -- 3.0%
Airgas* 46,000 449
Amerisource Health* 10,500 130
Barnes Group 21,160 344
Barnett* 57,400 504
Bindley Western Industries 42,934 569
BJ's Wholesale Club* 39,300 1,469
Commercial Metals 26,100 835
Copart* 37,100 965
Crane 23,400 430
Handleman 22,400 346
Harmonic Lightwaves* 5,200 313
Insight Enterprises* 57,000 1,913
LB Foster, Cl A* 81,900 389
Patterson Dental* 44,400 2,037
Performance Food Group* 6,500 163
Price Communications* 8,835 221
Priority Healthcare, Cl B* 22,800 564
Sagent Technology* 32,200 640
Scientific Learning 28,150 764
Syncor International* 26,300 738
Tower Automotive* 13,000 195
United Stationers 9,900 230
US Foodservice* 16,000 290
Vitaminshoppe.com* 60,400 876
----------
15,374
----------
Total Common Stocks
(Cost $406,193) 465,347
----------
- --------------------------------------------------------------------------------
FACE AMOUNT MARKET
DESCRIPTION (000)/SHARES VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.5%
United States Treasury Bill (A)
5.030%, 02/03/00 $2,600 $ 2,577
----------
Total U.S. Treasury Obligation
(Cost $2,579) 2,577
----------
REPURCHASE AGREEMENT -- 9.4%
J.P. Morgan
5.630%, dated 11/30/99,
matures 12/01/99, repurchase
price $48,660,000
(collateralized by FHLMC
Obligation, total par value
$51,430,000, 5.750%, 03/15/09,
total market value:
$48,211,000) 48,652 48,652
----------
Total Repurchase Agreement
(Cost $48,652) 48,652
----------
MONEY MARKET FUND -- 0.5%
Evergreen Select 2,654,541 2,654
----------
Total Money Market Fund
(Cost $2,654) 2,654
----------
Total Investments -- 100.0%
(Cost $460,078) $519,230
==========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
REIT -- REAL ESTATE INVESTMENT TRUST
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14
<PAGE>
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 17.4%
U.S. Treasury Bonds
11.875%, 11/15/03 $ 210 $ 251
10.750%, 08/15/05 14,275 17,254
9.875%, 11/15/15 22,750 29,909
9.250%, 02/15/16 78,770 98,926
8.000%, 11/15/21 44,775 52,017
U.S. Treasury Notes
6.375%, 01/15/00 525 525
5.500%, 02/29/00 3,140 3,141
6.500%, 10/15/06 330 334
6.000%, 08/15/09 2,600 2,566
5.250%, 11/15/28 2,815 2,376
6.125%, 08/15/29 7,620 7,466
U.S. Treasury Notes (D)
3.625%, 01/15/08 17,350 16,716
3.625%, 04/15/28 25,676 23,496
3.875%, 04/15/29 38,154 36,532
U.S. Treasury STRIPS
0.000%, 11/15/04 7,500 5,499
----------
Total U.S. Treasury Obligations
(Cost $304,236) 297,008
----------
CORPORATE OBLIGATIONS -- 19.1%
AEROSPACE & DEFENSE -- 0.2%
Lockheed Martin
8.500%, 12/01/29 2,560 2,525
TCI Communications
6.375%, 05/01/03 1,080 1,061
----------
3,586
----------
AIR TRANSPORTATION -- 1.0%
Air 2 Us (B)
8.027%, 10/01/20 2,000 2,021
America West Air (B)
7.930%, 01/02/19 7,000 6,873
Continental Airlines
6.800%, 07/02/07 1,327 1,258
Federal Express
9.650%, 06/15/12 1,275 1,434
6.845%, 01/15/19 605 571
9.625%, 10/15/19 150 156
Northwest Airlines
8.130%, 02/01/14 1,230 1,163
US Air
7.500%, 04/15/08 3,501 3,448
----------
16,924
----------
AUTOMOTIVE -- 0.2%
Ford Motor
6.375%, 02/01/29 3,000 2,565
7.400%, 11/01/46 200 191
----------
2,756
----------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
BANKS -- 2.3%
AAAB
7.250%, 05/31/05 $ 1,000 $ 996
ABN Amro Bank of Chicago
6.625%, 10/31/01 1,000 996
Banco Santander Chile
6.500%, 11/01/05 4,100 3,915
BankAmerica
9.200%, 05/15/03 150 160
BankBoston MTN
6.375%, 04/15/08 1,000 936
Bankers Trust
8.125%, 05/15/02 6,200 6,355
Chase Manhattan
8.625%, 05/01/02 1,000 1,037
Continental Bank, NA
12.500%, 04/01/01 1,000 1,071
Dresdner Bank
7.250%, 09/15/15 1,750 1,643
Equitable
9.000%, 12/15/04 700 751
First Chicago Bank
8.875%, 03/15/02 2,700 2,805
First National Bank of Omaha
7.320%, 12/01/10 250 246
JP Morgan Capital
7.950%, 02/01/27 200 188
KBC Bank Funding Trust III (B)
9.860%, 11/01/49 340 354
Korea Development Bank
7.125%, 09/17/01 540 537
Midland Bank
6.950%, 03/15/11 1,750 1,665
Midlantic
9.200%, 08/01/01 1,085 1,126
National Bank of Hungary
8.875%, 11/01/13 650 669
National Westminster Bancorp
9.375%, 11/15/03 1,900 2,064
NCNB Bank
10.200%, 07/15/15 2,850 3,484
Security Pacific
11.000%, 03/01/01 2,750 2,887
Sumitomo Bank International
9.550%, 07/15/00 2,000 2,020
Swiss Bank
7.375%, 07/15/15 2,300 2,242
7.000%, 10/15/15 300 283
Westpac Banking
7.875%, 10/15/02 500 511
----------
38,941
----------
15
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
CORE FIXED INCOME FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.1%
Continental Cablevision
9.000%, 09/01/08 $ 800 $ 870
9.500%, 08/01/13 4,700 5,235
Cox Communication
7.875%, 08/15/09 440 453
Jones Intercable
8.875%, 04/01/07 2,740 2,987
TCI Communications
7.875%, 02/15/26 2,150 2,198
7.125%, 02/15/28 6,860 6,431
----------
18,174
----------
CHEMICALS -- 0.3%
Dow Chemical
7.375%, 11/01/29 1,050 1,021
EI du Pont de Nemours
6.875%, 10/15/09 3,500 3,443
----------
4,464
----------
ELECTRICAL SERVICES -- 0.5%
Arizona Public Service
8.000%, 12/30/15 1,000 996
Commonwealth Edison
9.875%, 06/15/20 493 544
Korea Electric Power
7.750%, 04/01/13 930 867
6.750%, 08/01/27 450 429
National Rural Utilities
Cooperative Finance
9.000%, 09/01/21 2,100 2,155
Pandhandle Eastern Pipeline
7.000%, 07/15/29 1,300 1,153
Province of New Foundland
10.000%, 12/01/20 1,200 1,475
System Energy Resources
7.430%, 01/15/11 342 328
USF&G
7.125%, 06/01/05 1,000 994
----------
8,941
----------
ENTERTAINMENT -- 0.2%
News America Holdings
10.125%, 10/15/12 1,400 1,545
Time Warner
9.125%, 01/15/13 1,175 1,317
----------
2,862
----------
FINANCIAL SERVICES -- 6.6%
Associated P&C Holdings (B)
6.750%, 07/15/03 5,100 5,011
Bankamerica
8.375%, 03/15/02 800 825
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Bear Stearns
6.250%, 07/15/05 $ 800 $ 757
Countrywide Capital I
8.000%, 12/15/26 600 545
Countrywide Funding (A)
6.299%, 01/26/00 5,000 5,000
Diageo Capital PLC
6.675%, 06/24/04 4,700 4,635
Donaldson Lufkin & Jenrette
6.000%, 12/01/01 3,000 2,940
6.170%, 07/15/03 3,000 2,906
Fleet Financial Group
6.875%, 03/01/03 1,000 989
Ford Capital Note
9.875%, 05/15/02 1,550 1,649
Ford Motor Capital
9.500%, 07/01/01 4,000 4,160
9.500%, 06/01/10 1,000 1,135
Progress Cap Holdings MTN
6.750%, 12/10/07 3,000 2,819
Ford Motor Capital
7.700%, 05/15/97 1,300 1,272
Ford Motor Credit
5.800%, 01/12/09 5,400 4,874
GMAC
5.950%, 03/14/03 1,000 970
5.850%, 01/15/09 5,000 4,519
Zero Coupon, 06/15/15 2,600 796
Goldman Sachs
6.250%, 02/01/03 800 777
HVB Funding Trust (B)
9.000%, 10/22/31 500 500
Heller Financial MTN (A)
5.846%, 09/25/00 6,000 6,043
Lehman Brothers
9.875%, 10/15/00 1,625 1,667
6.125%, 02/01/01 1,750 1,735
8.750%, 05/15/02 1,602 1,656
8.750%, 03/15/05 1,250 1,309
Lehman Brothers Holdings
8.875%, 03/01/02 2,600 2,688
7.500%, 09/01/06 4,000 3,940
Marlin Water Trust (B)
7.090%, 12/15/01 1,000 984
Merrill Lynch
6.875%, 11/15/18 3,075 2,787
7.430%, 09/01/22 846 847
Newcourt Credit
7.125%, 12/17/03 3,000 2,947
6.875%, 02/16/05 3,000 2,895
Osprey Trust (B)
8.310%, 01/15/03 3,700 3,686
Paine Webber Group
7.875%, 02/15/03 1,500 1,519
16
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
6.930%, 08/15/03 $ 325 $ 319
6.450%, 12/01/03 1,450 1,397
6.730%, 01/20/04 150 145
8.875%, 03/15/05 1,100 1,155
7.390%, 10/16/17 3,000 2,715
Principal Financial Group (A)
8.200%, 08/15/09 4,000 4,079
Salomon Brothers
7.500%, 02/01/03 750 759
6.750%, 02/15/03 1,650 1,638
7.000%, 06/15/03 2,000 1,998
Security Capital Group
7.750%, 11/15/03 1,600 1,564
The Money Store (A)
5.520%, 07/15/25 1,059 1,052
Transamerica Finance
6.125%, 11/01/01 2,800 2,758
Wharf International Finance
7.625%, 03/13/07 575 528
Yosemite Security Trust (B)
8.250%, 11/15/04 2,500 2,497
Zurich Capital Trust (B)
8.376%, 06/01/37 8,300 8,072
----------
112,458
----------
FOOD, BEVERAGE & TOBACCO -- 1.4%
J Seagram & Sons
6.400%, 12/15/03 1,930 1,855
6.800%, 12/15/08 930 881
7.500%, 12/15/18 1,460 1,407
7.600%, 12/15/28 1,490 1,427
Pepsi Bottling
7.000%, 03/01/29 4,600 4,238
Philip Morris
7.750%, 01/15/27 5,570 5,117
RJR Nabisco
7.750%, 05/15/06 3,760 3,376
6.375%, 02/01/35 3,000 2,843
RJR Nabisco (B)
7.875%, 05/15/09 2,530 2,189
----------
23,333
----------
GAS/NATURAL GAS -- 0.1%
K N Energy
9.625%, 08/01/21 1,400 1,472
----------
1,472
----------
GENERAL UTILITIES -- 0.2%
PSI Energycorp
7.850%, 10/15/07 3,100 3,123
----------
3,123
----------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
INSURANCE -- 0.5%
Allstate Insurance
7.500%, 06/15/13 $ 1,000 $ 996
Cendant
7.750%, 12/01/03 4,100 4,044
Lincoln National
9.125%, 10/01/24 1,000 1,040
Loew's
7.625%, 06/01/23 450 413
Royal & Sun Alliance (B)
8.950%, 10/15/29 1,680 1,655
----------
8,148
----------
LUMBER & WOOD PRODUCTS -- 0.2%
Georgia Pacific
9.500%, 12/01/11 1,300 1,464
9.875%, 11/01/21 1,800 1,924
----------
3,388
----------
MACHINERY -- 0.3%
Caterpillar
9.750%, 06/01/19 1,300 1,365
John Deere
6.000%, 02/15/09 1,700 1,536
Tenneco
7.950%, 12/15/25 125 120
Tenneco Packaging
8.000%, 04/15/07 2,000 2,007
----------
5,028
----------
MEDICAL PRODUCTS & SERVICES -- 0.3%
United Healthcare
6.600%, 12/01/03 5,000 4,858
----------
4,858
----------
MISCELLANEOUS MANUFACTURING -- 0.9%
Northrop-Gruman
9.375%, 10/15/24 2,990 3,184
NRG Energy (B)
7.625%, 02/01/06 4,000 3,910
Phillips Petroleum
9.180%, 09/15/21 1,200 1,250
Pohang Iron & Steel
7.125%, 07/15/04 500 479
7.375%, 05/15/05 250 240
Rohm & Haas
7.850%, 07/15/29 3,000 3,060
YPF Sociedad Anonima
7.750%, 08/27/07 3,000 2,906
----------
15,029
----------
17
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
CORE FIXED INCOME FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
MISCELLANEOUS TRANSPORTATION -- 0.6%
British Aerospace Financial (B)
7.500%, 07/01/27 $ 5,000 $ 4,844
Consolidated Rail
7.875%, 05/15/43 450 435
Union Pacific
7.000%, 02/01/16 5,000 4,531
6.625%, 02/01/29 800 669
----------
10,479
----------
PAPER & PAPER PRODUCTS -- 0.0%
Federal Paperboard
8.875%, 07/01/12 300 335
Union Camp
10,000%, 05/01/19 72 76
Weyerhaeuser
7.250%, 07/01/13 325 317
----------
728
----------
PRECIOUS METALS -- 0.0%
Wharf Capital
8.875%, 11/01/04 375 375
----------
375
----------
PRINTING & PUBLISHING -- 0.3%
Time Warner Entertainment
8.375%, 07/15/33 5,000 5,300
----------
5,300
----------
REAL ESTATE -- 0.4%
Oneok
7.750%, 08/15/06 7,000 7,035
----------
7,035
----------
RETAIL -- 0.4%
Dayton Hudson
8.600%, 01/15/12 175 191
Dillards
6.875%, 06/01/05 1,500 1,452
JC Penney
9.750%, 06/15/21 1,200 1,259
6.900%, 08/15/26 1,650 1,588
Loew's
7.000%, 10/15/23 1,350 1,166
May Department Stores
9.875%, 06/15/21 1,500 1,613
----------
7,269
----------
STEEL & STEEL WORKS -- 0.2%
Dynegy
7.450%, 07/15/06 3,000 2,974
----------
2,974
----------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
TELEPHONES & TELECOMMUNICATION -- 0.5%
Metronet Communications (A)
Zero Coupon, 06/15/08 $ 3,000 $ 2,336
New York Telephone
9.375%, 07/15/31 2,768 2,931
Sprint Capital
6.875%, 11/15/28 890 810
US West Communication
8.875%, 06/01/31 2,200 2,261
----------
8,338
----------
WATER UTILITIES -- 0.4%
Hydro Quebec, Ser FU
11.750%, 02/01/12 820 1,099
Hydro Quebec, Ser GW
9.750%, 01/15/18 4,110 4,336
Norsk Hydro A/S
9.000%, 04/15/12 525 583
----------
6,018
----------
WASTE DISPOSAL -- 0.2%
USA Waste Services
7.125%, 12/15/17 5,425 4,014
----------
4,014
----------
Total Corporate Obligations
(Cost $338,356) 326,015
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.6%
FNMA Discount Note (C)
5.478%, 05/11/00 2,650 2,585
FNMA ARM (A)
6.029%, 05/01/29 1,098 1,077
FNMA STRIPS
9.000%, 09/25/25 140 146
Resolution Trust Funding
8.625%, 01/15/30 250 301
Resolution Trust Funding STRIPS
Zero Coupon, 10/15/19 22,000 5,758
----------
Total U.S. Government Agency Obligations
(Cost $10,407) 9,867
----------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 31.0%
FFCA Secured Lending, Ser 1999-2, Cl I0
1.728%, 10/18/18 32,432 2,904
FHLMC REMIC, Ser 1563, Cl B (A)
9.210%, 08/15/08 107 106
FHLMC REMIC Ser 1, Cl Z
9.300%, 04/15/19 338 353
18
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FHLMC TBA
7.000%, 01/01/30 $ 9,520 $ 9,306
7.500%, 01/01/30 1,890 1,886
FHLMC, Ser 1997-A, Cl A
7.350%, 04/15/19 1,487 1,482
FHLMC TBA
6.500%, 01/01/30 29,190 27,840
5.500%, 12/16/14 2,000 1,873
FHLMC
8.500%, 09/01/08-04/01/09 1,449 1,515
9.000%, 12/01/05 16 17
5.500%, 10/01/13-01/01/14 13,436 12,589
9.750%, 10/01/14 267 286
8.000%, 04/01/08-08/01/26 3,971 4,049
7.500%, 06/01/10-09/01/29 4,836 4,840
7.000%, 01/01/11-09/01/25 5,953 5,827
6.500%, 12/01/12-10/01/29 37,119 35,481
6.000%, 11/01/13-01/02/29 14,671 13,871
6.956%, 07/01/27 2,088 2,098
FNMA
6.140%, 09/10/08 1,475 1,355
5.500%, 10/01/13-09/01/14 16,707 15,630
6.500%, 10/01/08-11/01/29 16,464 15,989
8.000%, 11/01/10-09/01/29 16,230 16,896
7.000%, 05/01/11-10/01/29 6,423 6,365
6.000%, 02/01/13-07/01/29 30,394 28,548
8.500%, 09/01/13-09/01/29 2,990 3,083
7.500%, 06/01/24-09/01/29 10,760 10,732
FNMA CMO, Ser 1997-G5
7.050%, 06/25/04 1,668 1,671
FNMA REMIC
6.743%, 12/25/11 2,205 2,158
5.500%, 08/25/20 1,105 1,047
FNMA REMIC, Ser 1990-106, Cl-J
8.500%, 09/25/20 193 200
FNMA REMIC, Ser 1991-156, Cl A
7.500%, 10/25/21 771 772
FNMA STRIPS CMO
0.000%, 07/01/26 426 294
0.000%, 04/01/27 423 298
FNMA TBA
5.500%, 01/01/14 2,953 2,761
8.000%, 12/13/29 13,370 13,550
7.000%, 12/13/29 5,000 4,884
6.000%, 12/13/29 13,000 12,045
6.000%, 12/16/29 3,000 2,780
7.500%, 12/13/30 5,000 4,984
6.000%, 01/01/30 13,960 12,935
6.500%, 01/01/30 33,360 31,786
8.000%, 01/01/30 2,280 2,333
7.000%, 01/01/30 5,000 4,884
7.500%, 01/19/30 81,450 81,195
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
FNMA, PO
Zero Coupon, 08/25/23 $ 26 $ 24
Zero Coupon, 08/25/23 5 5
GMAC, Ser 1999 Fl1, Cl A-5
5.950%, 10/15/09 6,300 6,300
GNMA
7.050%, 03/15/00 1,340 1,347
7.000%, 07/15/00-09/15/28 25,024 24,484
8.500%, 11/15/00 11 12
7.500%, 09/15/06-09/15/29 10,775 10,759
9.500%, 09/15/09 207 222
6.000%, 03/15/14-06/15/14 958 916
7.375%, 06/20/21 2,104 2,126
6.500%, 08/15/23-04/15/29 13,864 13,253
8.000%, 05/15/24-01/20/27 3,648 3,696
GNMA (A)
6.875%, 04/20/25 646 654
GNMA TBA
6.000%, 01/01/15 2,920 2,790
6.500%, 01/15/29 35 34
6.000%, 02/20/29 1,463 1,343
7.500%, 12/20/29 5,000 4,989
6.500%, 01/01/30 21,300 20,255
6.000%, 01/01/30 7,310 6,743
7.500%, 01/01/30 21,200 21,154
GNMA, ARM (A)
6.125%, 10/20/22 415 423
SLMA (A)
5.593%, 07/25/11 1,600 1,556
SLMA, Ser 1996-3 A1 (A)
5.626%, 10/25/04 147 147
----------
Total U.S. Government
Mortgage-Backed Obligations
(Cost $533,990) 528,730
----------
ASSET-BACKED SECURITIES -- 3.5%
Advanta Credit Card Master Trust II
Ser 96-A, Cl A-1
6.000%, 11/15/05 3,320 3,249
American Airlines
9.780%, 11/26/11 2,252 2,454
Asset Securitization, Ser 1997-D4,
Cl A1-C
7.420%, 04/14/29 3,000 3,048
AT&T Universal Card Master Trust,
Ser 1996-3, Cl A
5.620%, 09/17/03 10,400 10,409
Citibank Credit Card Master
Trust I PO, Ser 1996-1, Cl A
Zero Coupon, 02/07/03 7,400 6,621
19
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
CORE FIXED INCOME FUND--CONTINUED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Citibank Credit Card Master
Trust I PO, Ser 1997-6, Cl A
Zero Coupon, 08/15/06 $ 1,175 $ 846
Continental Airlines, Ser 99-2,
Cl C-1
7.730%, 03/15/11 3,000 2,968
Discover Card Master Trust
6.200%, 05/16/06 5,000 4,896
Discover Card Acceptance,
Ser 1995-2, Cl A
6.550%, 02/18/03 1,275 1,279
Dryden Investor Trust (B)
7.157%, 07/23/08 5,597 5,290
First Union-Lehman Brothers CMO,
IO, Ser 1997-C2, Cl IO
1.530%, 11/18/27 2,036 148
GMACC, Ser 98, Cl C2
0.823%, 05/15/31 14,035 546
MBNA Master Credit Card Trust,
Ser 1999-J, Cl A
7.000%, 02/15/12 800 797
Metropolitan Asset Funding
REMIC, Ser 97-B
7.130%, 03/22/12 3,000 3,008
Metropolitan Asset Funding
REMIC, Ser 97-B, Cl A-1B
6.670%, 12/20/06 2,279 2,262
Morgan Stanley Capital (A)
0.840%, 12/15/12 4,917 216
Sears Credit Account Master Trust,
Ser 1995-3, Cl A
7.000%, 10/15/04 975 981
United Airlines Equipment,
Ser 1991, Cl C
10.360%, 11/12/12 1,445 1,664
World Omni Automobile Lease
Securitization, Ser 1999-A,
Cl A1 (A)
5.620%, 02/15/02 8,200 8,200
----------
Total Asset-Backed Securities
(Cost $59,924) 58,882
----------
MORTGAGE-BACKED OBLIGATIONS -- 5.3%
Arbors of Little Rock (E)
7.450%, 01/01/39 1,016 997
Bell Tower Apartments (E)
7.000%, 06/30/39 76 73
Cadillac Lofts (E)
6.875%, 03/30/39 1,406 1,328
Capco American Securitization,
Ser 1998-D7, Cl A1B
6.260%, 09/15/08 225 206
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Castle Terrace (E)
8.000%,10/01/38 $ 537 $ 545
Chase Commercial Mortgage
7.370%, 02/19/07 5,221 5,234
Chase Commercial Mortgage
Securities, CMO, Ser 1998-1,
Cl A2
6.560%, 05/18/08 650 627
Chase Commercial Mortgage,
Ser 1997-2, Cl A1
6.450%, 12/19/04 6 6
Colonial Apartment (E)
7.050%, 01/31/39 108 105
Commercial Mortgage Asset Trust,
Ser 1999-C2, Cl A1
7.285%, 12/17/07 2,490 2,498
Commercial Mortgage Asset Trust,
Ser 1999-C1, Cl A1
6.250%, 08/17/06 966 937
Compass Pointe Apartments (E)
7.062%, 05/31/39 1,671 1,598
Contimortgage Home Equity
Loan Trust
6.630%, 12/15/20 1,600 1,576
Contimortgage Home Equity
Loan Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28 1,750 1,724
Continental Home Equity Trust,
Ser 1998-1, Cl A6
6.580%, 12/15/18 1,000 984
Copel, Ser 99-B, Cl A3
6.610%, 12/18/02 2,000 1,993
DLJ CMO, Ser CG3, Cl A1-B
7.340%, 09/10/09 515 512
Delta Funding Home Equity
Loan Trust, Ser 1997-3, Cl A6F
6.860%, 10/25/28 2,000 1,967
Delta Funding Home Equity
Loan Trust, Ser 1997-4, Cl A5F
6.670%, 01/25/28 2,000 1,944
Delta Funding Home Equity
Loan Trust, Ser 1999-3, Cl A1A
5.869%, 09/15/29 10,400 10,400
Deutsche Mortgage,
Ser 1998-C1, Cl A1
6.220%, 09/15/07 536 516
EQCC Home Equity Loan Trust
5.150%, 09/15/08 2,982 2,876
Equivantage Home Equity
Loan Trust, Ser 1997-2, Cl A3
7.275%, 07/25/28 4,000 4,045
Evergreen Tower (E)
7.375%, 01/01/39 1,151 1,122
20
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
GE Capital Mortgage
5.000%, 02/25/09 $ 580 $ 496
GMAC Commercial Mortgage
Securities, Ser 1999-C2, Cl A2
6.945%, 09/15/33 3,000 2,913
Goldman Sachs Mortgage Securities
7.750%, 05/19/27 715 722
Goldman Sachs Mortgage
Securities CMO, Ser 98-1, Cl A
8.000%, 08/19/19 845 863
Green Tree Financial Recreational,
Ser 1997-B, Cl A-6
7.120%, 04/15/27 900 902
Green Tree Recreational,
Ser 1998-A, Cl A1H
6.710%, 05/15/29 776 754
Greentree Financial,
Ser 1998-2, Cl A5
6.240%, 02/01/30 2,370 2,325
GSMPS CMO, Ser 99-3, Cl A
8.000%, 08/20/22 2,500 2,561
IMC Home Equity Loan Trust,
Ser 1997-5, Cl A10
6.880%, 11/20/28 2,925 2,830
IMC Home Equity Loan Trust,
Ser 1997-7, Cl A8
6.650%, 02/20/29 1,515 1,481
Impac Commercial Holdings
6.060%, 10/20/07 2,207 2,119
JP Morgan Commercial Mortgage
Finance, Ser 1997-C5, Cl X,
CMO, IO (A) (B)
1.540%, 09/15/29 5,095 352
Lehman Brothers Trust CMO,
Ser 1998-C4, Cl A1B
6.210%, 10/15/08 865 809
MCFI CMO, Ser 98MC2, Cl A-6
6.423%, 05/18/08 125 116
Merrill Lynch Mortgage Investors
CMO, Ser 1998-C1, Cl A1
6.310%, 11/15/26 2,597 2,530
Merrill Lynch Mortgage Investors,
Cl 1996-C2, Ser A3
6.960%, 11/21/28 6,700 6,596
Money Store Home Equity Trust,
Ser 1995-C, Cl A5
7.175%, 04/15/26 6,647 6,700
Mortgage Capital Funding CMO,
Ser 98-MC3, Cl A1
6.001%, 11/18/31 2,242 2,141
MSCI, Ser 98-CF1, Cl A1
6.330%, 10/15/07 436 421
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Nomura Asset Securities,
Ser 1996-MD5, Cl A1B
7.120%, 04/13/36 $ 3,000 $ 2,953
Rali, Ser 98-QS6, Cl CB6
6.750%, 05/25/28 1,056 1,037
Renaissance Place (E)
7.395%, 08/01/37 857 848
Rosewood (E)
8.000%, 07/01/37 3 3
Rural Housing Trust, REMIC,
Ser 1987-1B
3.330%, 10/01/28 28 28
Ryland Mortgage,
Ser 1994-7A, Cl A2
7.000%, 08/25/25 494 492
Sanctuary At Tuttle Crossing
8.250%, 06/01/37 19 19
Somerford Place Facility
7.475%, 12/30/38 124 122
UCFC Home Equity Loan,
Ser 95-B-1, Cl A5
7.250%, 12/10/20 1,600 1,593
Union Acceptance
5.830%, 10/09/01
Union Planters Mortgage Finance,
CMO, Ser 1998-1, Cl A1
6.350%, 01/25/28 587 592
Village At Stone Falls (E)
7.375%, 08/29/37 469 458
Villages At Clear Springs (E)
7.625%, 09/30/38 1,170 1,164
----------
Total Mortgage-Backed Obligations
(Cost $92,508) 90,753
----------
YANKEE BONDS -- 1.7%
Dresdner Funding Private
Placement (B)
8.151%, 06/30/31 340 326
Duty Free International
7.000%, 01/15/04 6,500 6,468
Household Netherlands
6.200%, 12/01/03 5,000 4,838
Israel Government Loan Trust
8.500%, 04/01/06 3,987 4,222
Quebec Province
7.220%, 07/22/36 3,550 3,714
Republic of Korea
8.875%, 04/15/08 1,530 1,622
Santander
7.250%, 11/01/15 1,175 1,088
21
<PAGE>
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
CORE FIXED INCOME FUND--CONCLUDED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Toll Road Investment
Partnership II (B)
6.722%, 02/15/06 $ 5,000 $ 3,119
Westdeutsche Landesbank NY
6.050%, 01/15/09 4,175 3,778
----------
Total Yankee Bonds
(Cost $30,346) 29,175
----------
OPTIONS -- 0.0%
December 1999 90-Day Euro$
Future Call, Strike Price $94.25 122 1
March 200 USLong Bond Future
Call, Strike Price $96.00 (77) (46)
March 200 USLong Bond Future
Call, Strike Price $88.00 (45) (15)
March 200 USLong Bond Future
Call, Strike Price $94.00 (160) (200)
----------
Total Options
(Cost -$269) (260)
----------
MUNICIPAL BONDS -- 0.0%
Los Angeles County, California,
Ser D
6.831%, 06/30/10 650 301
----------
Total Municipal Bonds
(Cost $283) 301
----------
REPURCHASE AGREEMENT -- 21.2%
J.P. Morgan
5.660%, dated 11/30/99,
matures 12/01/99, repurchase
price $362,575,000 (collateralized
by government obligations, par
value $615,258,000, 5.500%-9.500%,
12/01/05-11/01/29, total
market value: $369,769,000) 362,519 362,519
----------
Total Repurchase Agreement
(Cost $362,519) 362,519
----------
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 0.2%
TRW
6.220%, 02/15/00 $ 3,300 $ 3,257
----------
Total Commercial Paper
(Cost $3,257) 3,257
----------
Total Investments--100.0%
(Cost $1,735,851) $1,706,508
==========
(A) VARIABLE RATE SECURITY -- THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT AS OF NOVEMBER 30, 1999.
(B) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORADUM, EXEMPT FROM
REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS AMENDED
AND MAY BE SOLD ONLY TO QUALIFED BUYERS.
(C) SECURITY IS PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
(D) TREASURY INFLATION PROTECTION SECURITIES
(E) LOANS SUPPORTING CONSTRUCTION IN PROGRESS
ARM -- ADJUSTABLE RATE MORTGAGE
CL -- CLASS
CMO -- COLLATERALIZED MORTGAGE OBLIGATION
FHMLC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
IO -- INTEREST ONLY
MTN -- MEDIUM TERM NOTE
PO -- PRINCIPAL ONLY
REMIC -- REAL ESTATE MORTGAGE INVESTMENT CONDUIT
SER -- SERIES
SLMA -- STUDENT LOAN MARKETING ASSOCIATION
STRIPS -- SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
TBA -- TO BE ANNOUNCED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
FOREIGN COMMON STOCKS -- 96.5%
ARGENTINA -- 0.1%
Telecom Argentina ADR* 21,500 $ 632
----------
632
----------
AUSTRALIA -- 2.0%
Australia & New Zealand
Bank Group 85,000 611
Brambles Industries 10,650 292
Broken Hill Proprietary 308,095 3,375
Broken Hill Proprietary ADR 2,000 44
Coca-Cola Amatil Limited 329,383 1,031
Coles Myer 468,701 2,382
Commonwealth Bank
of Australia 17,800 293
F.H. Faulding 30,500 190
Leighton Holdings 80,000 299
Lend Lease 75,000 955
Macquarie Bank Limited 19,700 293
National Australia Bank 43,900 633
News Corporation 229,286 1,982
Oil Search Limited* 129,200 170
Pioneer International 216,200 633
Qantas Airways 331,000 868
Rio Tinto Limited 38,244 669
Sonic Healthcare Limited 8,600 35
Telstra Corporation Installment
Receipts* 22,300 83
Telstra Corporation 240,604 1,400
Westpac Banking Corporation 205,749 1,383
Woodside Petroleum 134,800 959
----------
18,580
----------
BELGIUM -- 0.1%
Fortis, Ser B* 19,678 679
UCB 12,900 524
----------
1,203
----------
BRAZIL -- 0.1%
Embratel Participacoes ADR* 34,861 649
Unibanco GDS 30,000 707
----------
1,356
----------
CANADA -- 1.7%
Air Canada* 212,600 1,233
Bank of Nova Scotia 96,300 2,077
BCE Incorporated 33,170 2,228
Bombardier Incorporated, Ser B 114,700 2,272
Canadian National Railway 7,800 231
Clarica Life Insurance Company 39,000 652
Newbridge Networks* 16,900 382
Nortel Networks Corporation 30,000 2,208
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Petro-Canada 14,000 $ 196
Seagram Limited 27,660 1,203
Suncor Energy 17,000 639
Teleglobe 39,800 984
Teleglobe ADR 400 10
Thomson Corporation 65,700 1,825
----------
16,140
----------
DENMARK -- 0.1%
Den Danske Bank* 11,950 1,361
----------
1,361
----------
FINLAND -- 1.3%
Nokia Oyj, Ser A* 69,900 9,914
UPM-Kymmene* 82,700 2,770
----------
12,684
----------
FRANCE -- 12.3%
Accor 2,300 523
AXA UAP* 52,348 7,071
Banque National de Paris CVG* 3,770 16
Banque National de Paris 101,229 9,293
Bouygues 1,400 647
Canal Plus 32,800 2,717
Carrefour* 67,956 11,860
Castorama Dubois* 23,539 6,126
Christian Dior 3,000 540
Cie de Saint Gobain 35,500 6,052
Equant* 65,815 6,374
France Telecom 8,750 1,016
Groupe Danone* 4,000 929
Lafarge 67,020 6,332
Louis Vuitton Moet Hennessy 22,500 7,313
Pechiney Ord, Ser A 52,100 3,025
Peugeot 61,500 12,067
Pinault-Printemps-Redoute 28,287 5,907
Sanofi-Synthelabo* 42,640 1,759
Stmicroelectronics 36,000 4,903
Suez Lyonnaise des Eaux 44,340 6,544
Suez Lyonnaise-Strip VVPR* 1,200 --
Television Francaise 4,000 1,453
Total Compaigne, Ser B 77,279 10,298
Valeo 27,630 1,854
Vivendi* 26,590 2,132
----------
116,751
----------
GERMANY -- 9.7%
Allianz 2,700 792
Bayerische Motoren Werke* 83,640 2,236
Celanese* 1,160 18
Commerzbank 23,550 766
DaimlerChrysler* 8,000 546
23
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
INTERNATIONAL EQUITY FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Depfa Deutsche Pfandbriefban 25,300 $ 1,914
Deutsche Bank* 130,666 8,627
Deutsche Telekom* 134,500 7,714
Epcos* 9,900 609
Gehe 93,179 3,666
Henkel* 9,500 599
Hoechst* 208,870 9,524
Industrie Werke Karlsruhe
Augsburg 42,050 774
Man Muenchen* 86,450 2,642
Mannesmann 123,079 25,627
Metallgesellschaft* 96,340 1,783
Preussag* 10,800 543
RWE 222,050 8,490
Siemens* 128,679 12,994
Thyssen Krupp* 44,000 1,158
VEBA* 8,000 391
Viag* 62,020 1,026
----------
92,439
----------
GREECE -- 0.1%
Hellenic Telecommunications
Organization 55,350 1,189
----------
1,189
----------
HONG KONG -- 2.5%
Automated Systems Holdings
Limited 300,000 166
Cable & Wireless HKT Limited 1,041,000 2,835
Cathay Pacific Airways 1,604,000 3,036
Cheung Kong Holdings 238,000 2,674
China Telecom* 404,000 2,169
Citic Pacific Limited 427,000 1,155
CLP Holdings Limited 49,000 228
Goldlion Holdings Limited 800,000 89
Hang Seng Bank 58,000 644
Hong Kong Electric Holdings 107,000 338
HSBC Holdings 36,000 477
Hutchison Whampoa 244,420 3,006
I-Cable Communications
Limited* 64,000 98
Legend Holdings 154,000 359
Ocean Land Group Limited 1,500,000 211
Pacific Century CyberWorks* 100,000 86
Peregrine Investment
Holdings* (1) 236,000 --
Sino Land 420,000 200
Sun Hung Kai Properties 517,000 4,727
Swire Pacific, Ser A 154,000 884
Tan Chong International
Limited 420,000 92
----------
23,474
----------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
IRELAND -- 0.1%
CRH 54,000 $ 1,085
Eircom 19,900 79
----------
1,164
----------
ITALY -- 2.1%
Assicurazioni Generali* 49,000 1,414
Banca Nazionale Lavoro* 663,370 2,141
Banca Popolare di Bergamo* 47,530 897
Banca Popolare Di Milano* 80,000 456
ENI 721,000 3,957
Fiat SPA 36,700 1,006
Gucci Group 25,600 2,131
Istituto Nazionale delle
Assicurazioni 863,900 2,414
Mediaset SPA* 235,110 2,680
Telecom Italia Mobile 255,000 1,001
Telecom Italia RNC 332,400 1,794
----------
19,891
----------
JAPAN -- 28.2%
Acom 11,000 1,351
Advantest 28,800 4,807
Aiful Corporation 14,750 2,401
Ajinomoto 102,000 1,064
Aoyama Trading* 17,400 415
Asahi Breweries 51,000 603
Autobacs Seven Limited 18,000 688
Bank of Tokyo-Mitsubishi 211,000 3,054
Bridgestone Corporation 54,000 1,334
Canon 176,000 5,178
Chubu Electric Power 50,000 873
Chudenko Corporation 6,000 105
Chugai Pharmaceutical 53,000 577
Dai Ichi Pharmaceutical 50,000 704
Dai Nippon Printing 59,000 1,027
Daito Trust Construction
Limited 54,000 683
Daiwa House Industry
Limited* 253,968 2,291
DDI Corporation 150 2,074
East Japan Railway 288 1,695
Fuji Bank Limited 432,000 5,177
Fuji Photo Film 87,000 3,541
Fuji Soft ABC 6,900 592
Fujikura Limited 144,000 706
Fujitsu 158,000 5,609
Fujitsu Support and Service 1,800 759
Hirose Electric 17,000 2,842
Hitachi 579,000 8,006
Honda Motor 238,000 9,803
Hoya Corporation 15,000 1,089
Industrial Bank of Japan 143,000 1,687
24
<PAGE>
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Ito-Yokado 17,000 $ 1,834
Japan Energy* 488,000 479
Jusco* 41,000 784
Kao Corporation 127,000 3,774
Kawasaki Heavy Industries 584,000 802
Keyence Corporation 8,500 2,417
Kirin Brewery 144,000 1,666
Matsushita Electric 314,000 7,960
Mitsubishi Heavy Industries* 630,000 2,045
Mitsubishi Motors Corporation* 189,000 879
Mitsubishi Trust & Banking 89,000 1,030
Mitsui 186,000 1,417
Mitsui Chemicals 238,000 1,951
Mitsui Mining & Smelting* 124,000 651
Mitsukoshi Limited* 123,000 587
Murata Manufacturing 57,000 9,458
NEC 263,000 6,151
Nichicon Corporation 11,000 244
Nichiei 11,500 283
Nidec Corporation 7,400 1,687
Nikko Securities Limited* 126,000 1,569
Nikon 109,000 2,769
Nintendo 59,200 9,875
Nippon Express 253,000 1,464
Nippon Paper Industries 163,000 1,197
Nippon Shinpan 338,000 998
Nippon Steel* 673,000 1,518
Nippon Telegraph & Telephone 758 13,603
Nippon Yusen Kabushiki Kaishi 232,000 940
Nissan Motors* 139,000 647
Nissin Limited 16,000 819
Nomura Securities* 193,000 3,445
NTT Data 31 757
NTT Mobile Communications* 528 18,537
Obayashi Corporation 72,000 370
Ono Pharmaceutical 35,000 1,109
Orix Corporation* 4,300 701
Osaka Gas 341,000 920
Rohm Limited 29,200 7,926
Sakura Bank Limited 573,000 4,243
Sankyo 70,000 1,723
Sanwa Bank Limited 78,000 948
Secom 16,000 1,804
Sekisui Chemical 107,000 509
Sekisui House 254,000 2,466
Seven-Eleven 9,000 1,465
Shin-Etsu Chemical 33,000 1,304
Shinden* 12,000 60
Shohkoh Fund Limited 2,870 1,551
Skylark 28,000 610
SMC Corporation 7,000 1,237
Softbank Corporation* 4,600 3,325
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Sony Corporation 50,800 $ 9,416
Sony Corporation ADR 1,300 239
Sony Music Entertainment 4,600 713
Sumitomo Bank 201,000 3,085
Sumitomo Chemical* 193,000 1,084
Sumitomo Forestry Limited 31,000 222
Sumitomo Metal Mining* 150,000 343
Suzuki Motor 87,000 1,279
Taiheiyo Cement Corporation 207,000 408
Taisho Pharmaceutical Limited* 33,000 1,084
Takara Shuzo Limited* 52,000 715
Takeda Chemical Industries 108,000 6,376
Takefuji Corporation 37,600 5,384
TDK Corporation 48,000 5,272
THK Corporation 4,000 156
Tohoku Electric Power 37,000 537
Tokai Bank 134,000 929
Tokio Marine & Fire Insurance* 90,000 1,147
Tokyo Electric Power 82,000 2,312
Tokyo Electronics 67,000 6,965
Toppan Printing Limited 116,000 1,384
Toray 167,000 814
Toshiba 131,000 965
Tostem Corporation 36,000 648
Toyo Seikan Kaisha 37,000 664
Toyota Motor 152,000 5,158
Yakult Honsha 51,000 550
Yamanouchi Pharmaceutical 43,000 1,877
Yamato Transportation 37,000 1,234
----------
268,203
----------
MALAYSIA -- 0.0%
Austral Enterprises 80,000 81
Westmont Berhad Industries* (1) 227,000 --
----------
81
----------
MEXICO -- 0.3%
Cemex ADR* 2,535 62
Telefonos de Mexico ADR 31,200 2,888
----------
2,950
----------
NETHERLANDS -- 8.3%
ABN AMRO Holding 401,000 9,777
Aegon 35,522 3,225
ASM Lithography Holding* 25,600 2,492
D.S.M. 39,400 1,351
Dordtsche Petrol 17,799 875
Elsevier 465,796 4,596
Fortis Amev 178,084 6,114
Heineken 29,000 1,404
Heineken Holding, Ser A 9,300 328
Ing Groep 126,142 7,107
25
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENT TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
INTERNATIONAL EQUITY FUND--CONTINUED
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Koninklijke KPN 82,970 $ 4,629
Kpnqwest* 15,390 577
Laurus* 217,534 4,071
Philips Electronics 82,538 10,062
Royal Dutch Petroleum 160,738 9,475
United Pan-Europe
Communications* 27,450 2,700
Vendex KBB 39,240 1,037
VNU 229,614 9,115
----------
78,935
----------
NEW ZEALAND -- 0.4%
Auckland International Airport
Limited 22,400 33
Fisher & Paykel Industries 10,400 33
Fletcher Challenge Building 29,200 37
Fletcher Challenge Energy 12,500 28
Fletcher Challenge Paper 43,400 26
Sky City Limited 16,800 63
Telecom of New Zealand 822,559 3,506
The Warehouse Group Limited 8,700 34
----------
3,760
----------
NORWAY -- 0.2%
Kvaerner* 11,400 215
Norsk Hydro* 50,400 1,970
Orkla, Ser A* 4,700 72
Orkla, Ser A Rights* 7,200 14
----------
2,271
----------
PHILIPPINES -- 0.0%
Metropolitan Bank & Trust 53,000 382
----------
382
----------
PORTUGAL -- 0.0%
PT Multimedia Servicos* 1,040 41
----------
41
----------
SINGAPORE -- 0.8%
City Developments 39,000 222
Datacraft Asia Limited 20,000 97
DBS Group Holdings Limited 221,146 2,869
Fraser & Neave Limited 24,000 105
Ges International Limited 100,000 90
Jit Holdings Limited 37,000 84
Keppel Land International
Limited 50,000 81
Overseas - Chinese Banking 35,700 268
Overseas Union Bank 23,411 109
Parkway Holdings 32,000 65
Singapore Airlines Limited 16,000 162
Singapore Press Holdings* 70,959 1,330
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
Singapore Tech Engineering* 857,000 $ 1,280
Singapore Telecommunications 178,000 337
Sunright Limited* 65,000 46
United Overseas Bank 39,072 349
----------
7,494
----------
SOUTH AFRICA -- 0.2%
Sasol 73,300 556
South African Brewery* 101,117 950
----------
1,506
----------
SOUTH KOREA -- 0.2%
Korea Telecom ADR* 28,410 1,506
SK Telecom Limited-ADR* 13,678 324
----------
1,830
----------
SPAIN -- 2.1%
Banco Popular Espanol 14,770 957
Endesa 60,625 1,205
Fomento De Construc Y Contra 41,800 885
Grupo Dragados 33,000 303
Repsol 101,200 2,215
Telefonica* 689,413 14,382
Telefonica Rights* 689,413 285
Terra Networks* 376 13
----------
20,245
----------
SWEDEN -- 3.8%
Astrazeneca 81,368 3,636
Atlas Copco, Ser A* 224,900 5,819
Electrolux, Ser B* 264,731 5,168
Ericsson, Ser B* 329,737 15,996
Foreningssparbaken, Ser A* 60,000 924
Hennes & Mauritz, Ser B* 116,790 3,708
SKF, Ser B* 41,600 928
Trelleborg, Ser B* 27,000 225
----------
36,404
----------
SWITZERLAND -- 5.2%
ABB Limited 66,415 6,582
Adecco* 11,062 7,091
Baloise Holding 4,410 3,549
Clariant - Registered 16,915 7,282
Compagnie Financiere
Richemont 960 2,148
Credit Suisse Group 5,200 975
Holderbank Financiere Glarus 1,275 1,602
Nestle, Registered 2,017 3,638
Novartis* 2,733 4,270
Sairgroup, Registered* 8,050 1,662
Schweizerische
Rueckversicherungs 540 1,104
26
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
- --------------------------------------------------------------------------------
SGS Societe Generale
Surveillance, Ser B* 800 $ 801
Swisscom 6,066 2,065
UBS, Registered* 22,810 6,254
----------
49,023
----------
TAIWAN -- 0.3%
Taiwan Semiconductor ADR 73,554 2,634
----------
2,634
----------
UNITED KINGDOM -- 14.3%
3I Group 129,600 1,911
Astrazeneca 135,212 6,045
Astrazeneca ADR 500 22
Barclays Bank 237,003 6,855
Barratt Developments 30,800 149
Berkeley Group 73,944 780
Boc Group 80,000 1,653
BPB 57,200 301
British Aerospace 409,180 2,346
British Airways 52,300 314
British American Tobacco 439,630 2,771
British Sky Broadcasting* 796,500 10,488
British Telecom 447,279 8,995
Cadbury Schweppes 252,000 1,603
CGU 300,850 4,567
Coca-Cola Beverages* 166,500 317
COLT Telecom Group* 4,400 166
Corus Group 483,337 985
Diageo 179,040 1,625
Dixons Group 50,000 1,091
Enterprise Oil 71,700 516
George Wimpey 399,800 802
GKN 69,900 1,096
Glaxo Wellcome 420,204 12,610
Hanson 54,000 452
Hilton Group 330,600 1,064
Imperial Chemical Industry 106,860 1,093
Kingfisher 168,600 1,560
Lloyds TSB Group 115,900 1,486
Next 174,100 1,419
Orange* 52,200 1,581
Railtrack Group 239,610 3,695
Reed International 299,253 1,877
Reuters Group 166,300 1,864
RJB Mining 174,700 95
Royal Sun Alliance 169,545 1,044
Severn Trent 61,100 771
Shell Transportation & Trading 140,000 1,078
Siebe 471,000 2,198
Signet Group 692,600 670
SmithKline Beecham 496,010 6,642
- --------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
Somerfield 354,310 $ 484
Standard Chartered Bank 432,000 5,875
Tate & Lyle 143,000 979
Thames Water 176,966 2,464
TI Group 172,000 1,190
Unilever 90,000 659
United Utilities 477,500 4,464
Vodafone Airtouch 3,782,623 17,846
Whitbread, Ser A 441,500 4,258
Yorkshire Water 115,200 626
----------
135,442
----------
Total Foreign Common Stocks
(Cost $724,426) 918,065
----------
FOREIGN PREFERRED STOCKS -- 0.3%
GERMANY -- 0.2%
SAP* 3,918 1,587
----------
1,587
----------
ITALY -- 0.1%
Fiat* 66,500 859
----------
859
----------
Total Foreign Preferred Stocks
(Cost $3,235) 2,446
----------
U.S. TREASURY OBLIGATIONS -- 0.5%
US T-Bill (2)*
5.01%, 02/03/00 $ 4,400 4,361
----------
Total U.S. Treasury Obligations
(Cost $4,363) 4,361
----------
REPURCHASE AGREEMENTS -- 2.8%
Morgan Stanley (2)
5.63%, dated 11/30/99, matures
12/01/99, repurchase price
$22,036,977 (collateralized by
various Tenessee Valley Authority
Interest Bearing Bonds, due
06/15/05-04/01/36, 5.88%-6.375%,
ranging in par value $3,900,000 to
$6,659,000 total market value
$22,648,632, and Freddie Mac
Fixed Rate Note, due 10/15/08,
5.125%, par value $13,590,000,
market value $12,143,054) 21,974 21,974
27
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENT TRUST -- NOVEMBER 30, 1996 (UNAUDITED)
INTERNATIONAL EQUITY FUND--CONCLUDED
- --------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
- --------------------------------------------------------------------------------
State Street Bank
4.50%, dated 11/30/99, matures
12/01/99, repurchase price
$4,272,534 (collateralized by
various U.S. Treasury Notes,
due 02/25/01-2/15/20, 5.00%-8.50%,
ranging in par value
$265,000-$1,850,000, total
market value $5,267,763) $5,055 $ 5,055
----------
Total Repurchase Agreements
(Cost $27,029) 27,029
----------
Total Investments--100.1%
(Cost $759,053) 951,901
----------
Other Assets and Liabilities, Net--(0.1%) (610)
----------
NET ASSETS:
Portfolio shares (unlimited authorization
-- no par value) based on 67,925,887
outstanding shares of beneficial interest 711,485
Undistributed net investment income 7,482
Accumulated net realized gain
on investments 38,192
Net unrealized depreciation on forward
foreign currency contracts, foreign
currency and translation of other
assets and liabilities in foreign currency (108)
Net unrealized appreciation on
futures contracts 1,392
Net unrealized appreciation
on investments 192,848
----------
Total Net Assets--100.0% $951,291
==========
Net Asset Value, Offering Price and
Redemption Price Per Share $14.01
==========
* NON-INCOME PRODUCING SECURITY
(1) SECURITY FAIR VALUED USING METHODS DETERMINED IN GOOD FAITH BY THE VALUATION
COMMITTEE OF THE BOARD OF TRUSTEES.
(2) SECURITY HAS BEEN PLEDGED AS COLLATERAL ON OPEN FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
GDS -- GLOBAL DEPOSITORY SHARE
RNC -- RISPARMIO NON-CONVETIBLE
SER -- SERIES
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
28
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
------------- ------------- --------------
LARGE SMALL CORE FIXED
CAP CAP INCOME
FUND FUND FUND
------------- ------------ --------------
ASSETS:
<S> <C> <C> <C>
Cash $ -- $ -- $ 8,283
Investments (Cost $2,165,619; $460,078; and
$1,735,860, respectively) 2,634,477 519,230 1,706,508
Income receivable 3,566 42,384 13,843
Investment securities sold 4,746 685 68,774
Capital shares sold receivable 34,430 3,381 51,402
Other receivables 101,986 -- 857
---------- -------- ----------
Total Assets 2,779,205 565,680 1,849,667
---------- -------- ----------
LIABILITIES:
Investment payable -- -- 7,000
Investment securities purchased 313 828 343,746
Capital shares redeemed payable 70,179 10,165 7,505
Accrued expenses payable 533 311 519
Other payables 103,336 42,416 22,574
---------- -------- ----------
Total Liabilities 174,361 53,720 381,344
---------- -------- ----------
Net Assets $2,604,844 $511,960 $1,468,323
========== ======== ==========
NET ASSETS:
Portfolio shares (unlimited authorization--
no par value) based on 132,736,843,
41,674,296, and 147,262,949
outstanding shares of beneficial interest $2,015,280 $471,007 $1,514,076
Undistributed net investment income 4,732 701 1
Accumulated net realized gain (loss)
on investments 112,447 (20,197) (16,363)
Net unrealized appreciation (depreciation)
on investments 468,858 59,152 (29,343)
Net unrealized appreciation (depreciation)
on futures contracts 3,527 1,297 (48)
---------- -------- ----------
TOTAL NET ASSETS $2,604,844 $511,960 $1,468,323
========== ======== ==========
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE $ 19.62 $ 12.28 $ 9.97
========== ======== ==========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
29
<PAGE>
STATEMENT OF OPERATIONS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST --FOR THE SIX-MONTH PERIOD ENDED NOVEMBER
30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
----------- --------- ------------- ---------------
LARGE SMALL CORE FIXED INTERNATIONAL
CAP CAP INCOME EQUITY
FUND FUND FUND FUND
----------- --------- ------------- --------------
INVESTMENT INCOME:
<S> <C> <C> <C> <C>
Dividends $ 12,241 $ 1,674 $ -- $ 5,678
Interest 1,722 787 38,013 517
Less: Foreign taxes withheld -- -- -- (425)
-------- ------- ------- --------
Total Investment Income 13,963 2,461 38,013 5,770
-------- ------- ------- --------
EXPENSES:
Management fees 521 105 308 200
Less: Management fees waived (521) (105) (308) (200)
Investment advisory fees 4,174 1,360 1,845 2043
Less: Investment advisory fees waived (2,033) (293) (1,036) (641)
Custodian fees 104 19 60 318
Transfer agent fees 52 10 30 7
Professional fees 34 5 17 22
Registration fees 33 7 142 29
Printing fees 52 10 37 15
Trustee fees -- -- -- 3
Miscellaneous fees 16 6 17 24
-------- ------- -------- -------
Total Expenses 2,432 1,124 1,112 1,820
-------- ------- -------- -------
NET INVESTMENT INCOME 11,531 1,337 36,901 3,950
-------- ------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) from
security transactions 60,544 6,236 (13,195) 27,536
Net realized gain (loss) from futures contracts 678 (628) (854) 746
Net realized loss on forward foreign currency
contracts and foreign currency transactions -- -- -- (142)
Net change in unrealized depreciation
on forward foreign currency contracts,
foreign currencies, and translation
of other assets and liabilities
denominated in foreign currencies -- -- -- (68)
Net change in unrealized appreciation
(depreciation) on investments 37,515 29,891 (15,896) 121,290
Net change in unrealized appreciation
(depreciation) on futures contracts 3,615 1,286 176 1,337
-------- ------- -------- --------
Net Realized and Unrealized Gain (Loss)
on Investments, Future Contracts and
Foreign Currency Transactions 102,352 36,785 (29,769) 150,699
-------- ------- -------- --------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $113,883 $38,122 $ 7,132 $154,649
======== ======= ======== ========
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (000)
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE SIX-MONTH PERIOD ENDED NOVEMBER
30, 1999 (UNAUDITED) AND THE YEAR ENDED MAY 31, 1999
<TABLE>
<CAPTION>
--------------------- ----------------------- ----------------- --------------------
LARGE SMALL CORE FIXED INTERNATIONAL
CAP CAP INCOME EQUITY
FUND FUND FUND FUND
--------------------- ---------------------- -------------------- --------------------
06/01/99- 06/01/98- 06/01/99- 06/01/98- 06/01/99- 06/01/98- 06/01/99- 06/01/98-
11/30/99 05/31/99 11/30/99 05/31/99 11/30/99 05/31/99 11/30/99 05/31/99
--------------------- ----------------------- -------------------- --------------------
OPERATIONS:
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net investment income $ 11,531 $ 15,812 $ 11,337 $ 1,058 $ 36,901 $ 51,411 $ 33,950 $ 8,570
Net realized gain (loss) from
security transactions
and futures contracts 61,222 55,997 5,608 (24,607) (14,049) 4,120 28,282 15,786
Net realized (loss) on
forward foreign currency
contracts and foreign
currency transactions -- -- -- -- -- -- (142) (1,578)
Net change in unrealized
depreciation on
forward foreign currency
contracts, foreign currencies,
and translation of other assets
and liabilities denominated
in foreign currencies -- -- -- -- -- -- (68) 20
Net change in unrealized
appreciation (depreciation)
on investments and
futures contracts 41,130 188,365 31,177 4,933 (15,720) (26,728) 122,627 22,654
---------- --------- ---------- ---------- ---------- ---------- --------- ---------
Net increase (decrease) in
net assets from operations 113,883 260,174 38,122 (18,616) 7,132 28,803 154,649 45,452
---------- --------- ---------- ---------- ---------- ---------- --------- ---------
DIVIDENDS DISTRIBUTED FROM:
Net investment income (9,489) (15,387) (740) (1,154) (36,900) (51,404) -- (9,587)
Net realized gains -- (32,013) -- (24,843) -- (13,815) -- (19,163)
========== ========= ========= ========== ========== ========== ========= =========
Total Dividends Distributed (9,489) (47,400) (740) (25,997) (36,900) (65,219) -- (28,750)
---------- --------- ---------- ---------- ---------- ---------- --------- ---------
CAPITAL SHARE TRANSACTIONS(1):
Proceeds from shares issued 1,053,984 557,703 176,207 240,758 522,189 478,577 233,029 222,376
Reinvestment of distributions 9,252 47,272 730 25,950 36,810 65,351 -- 28,695
Cost of shares redeemed (232,731) (297,141) (41,198) (185,611) (107,275) (224,381) (126,776) (131,805)
---------- --------- ---------- ---------- ---------- ---------- --------- ---------
Increase in Net Assets Derived
from Capital Share Transactions 830,505 307,834 135,739 81,097 451,724 319,547 106,253 119,266
---------- --------- ---------- ---------- ---------- ---------- --------- ---------
Net increase in net assets 934,899 520,608 173,121 36,484 421,956 283,131 260,902 135,968
---------- --------- ---------- ---------- ---------- ---------- --------- ---------
NET ASSETS:
Beginning of period 1,669,945 1,149,337 338,839 302,355 1,046,367 763,236 690,389 554,421
---------- ---------- --------- ---------- ---------- ---------- --------- ---------
End of period $2,604,844 $1,669,945 $ 511,960 $ 338,839 $1,468,323 $1,046,367 $ 951,291 $ 690,389
========== ========== ========= ========== ========== ========== ========= =========
(1)CAPITAL SHARE TRANSACTIONS:
Shares issued 55,942 33,151 15,214 21,342 51,939 45,017 18,076 20,211
Reinvestment of distributions 487 2,878 63 2,527 3,671 6,174 -- 2,609
Shares redeemed (12,415) (17,609) (3,457) (17,065) (10,684) (21,076) (9,785) (12,019)
---------- ---------- --------- ---------- ---------- ---------- --------- ---------
Net increase in capital shares 44,014 18,420 11,820 6,804 44,926 30,115 8,291 10,801
========== ========== ========= ========== ========== ========== ========= =========
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
31
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE SIX-MONTH PERIOD ENDED NOVEMBER
30, 1999 (UNAUDITED) AND THE PERIODS ENDED MAY 31
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
Net
Realized
Net Asset and Distributions Distributions
Value Net Unrealized from Net from Net Asset Net Assets
Beginning Investment Gains/(Losses) on Investment Realized Capital Value End Total End of
of Period Income Securities Income Gains of Period Return Period (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
LARGE CAP FUND
- -----------------------------------------------------------------------------------------------------------------------------------
1999* $18.82 $0.10 $ 0.79 $(0.09) $ -- $19.62 4.74%+ $2,604,844
1999 16.35 0.20 2.88 (0.20) (0.41) 18.82 19.40 1,669,945
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
- -----------------------------------------------------------------------------------------------------------------------------------
1999* $11.35 $0.02 $ 0.93 $(0.02) $ -- $12.28 8.38%+ $511,960
1999 13.12 0.03 (0.89) (0.04) (0.87) 11.35 (5.81) 338,839
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
- -----------------------------------------------------------------------------------------------------------------------------------
1999* $10.22 $0.30 $ (0.25) $(0.30) $ -- $ 9.97 0.42%+ $1,468,323
1999 10.57 0.62 (0.18) (0.63) (0.16) 10.22 4.15 1,046,367
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
- -----------------------------------------------------------------------------------------------------------------------------------
1999* $11.58 $0.05 $ 2.38 $ -- $ -- $14.01 20.98%+ $951,291
1999 11.35 0.10 0.65 (0.17) (0.35) 11.58 6.93 690,389
1998 10.69 0.19 0.86 (0.16) (0.23) 11.35 10.40 554,421
1997(1) 10.00 0.14 0.61 (0.05) (0.01) 10.69 7.56 384,663
</TABLE>
<TABLE>
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
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
LARGE CAP FUND
- --------------------------------------------------------------------------------
1999* 0.23% 1.11% 0.48% 0.86% 26%
1999 0.26 1.16 0.48 0.94 60
1998 0.32 1.28 0.50 1.10 72
1997(1) 0.34 1.65 0.53 1.46 71
- --------------------------------------------------------------------------------
SMALL CAP FUND
- --------------------------------------------------------------------------------
1999* 0.54% 0.64% 0.73% 0.45% 76%
1999 0.54 0.33 0.73 0.14 154
1998 0.59 0.61 0.75 0.45 120
1997(1) 0.60 0.70 0.79 0.51 163
- --------------------------------------------------------------------------------
CORE FIXED INCOME FUND
- --------------------------------------------------------------------------------
1999* 0.18 5.99% 0.35% 5.82% 226%
1999 0.18 5.81 0.41 5.58 393
1998 0.20 6.13 0.41 5.92 324
1997(1) 0.21 6.60 0.42 6.39 194
- --------------------------------------------- ---------------------------------
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
1999* 0.46% 1.00% 0.68% 0.78% 25%
1999 0.43 1.40 0.66 1.17 82
1998 0.53 2.21 0.70 2.04 109
1997(1) 0.63 1.73 0.82 1.54 120
</TABLE>
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
* FOR THE SIX MONTH PERIOD ENDED NOVEMBER 30, 1999. ALL RATIOS FOR THE PERIOD
HAVE BEEN ANNUALIZED.
+ 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.
32
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (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,
Large Cap Value, Large Cap Growth, 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 exchangeprevailing on the respective dates of such
transactions.
The International Equity Fund does not isolate that portion of gains and
losses on investments in
33
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (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, 1999. 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 -- The Core Fixed Income 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. The Large Cap, Small Cap, and International Equity Funds may invest in
financial options contracts. 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.
34
<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 SEIInvestments Distribution Co. (the "Distributor") are
parties to a distribution agreement dated June 14, 1996 pursuant to which the
Distributor provides distribution-related services to the Trust. The Distributor
is not currently entitled to any fee for performing these services.
SEI Investments Management Corporation ("SIMC") serves as investment
adviser to each Fund. In connection with serving as investment adviser, SIMC is
entitled to a fee, that is calculated daily and paid monthly, at an annual rate
of .40% of the Large Cap Fund's average daily net assets, at an annual rate of
.65% of the Small Cap Fund's average daily net assets, at an annual rate of .30%
of the Core Fixed Income Fund's average daily net assets and at an annual rate
of .51% of the International Equity Fund's average daily net assets. The Adviser
has agreed to waive a portion of its fee so that the total annual expenses of
each Fund will not exceed certain voluntary expense limitations adopted by the
Adviser.
Alliance Capital Management L.P., 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 TCW Funds Management Inc. also serve as
investment sub-advisers to a portion of the assets of the Large Cap Fund and are
party to investment sub-advisory agreements with the Trust and SIMC dated
December 15, 1997 and September 10, 1998, respectively.
Nicholas-Applegate Capital Management Inc., and Boston Partners Asset
Management, 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, RS Investment Management, and Mellon
Equity Associates also serve as investment sub-advisers to a portion of the
assets and are parties to agreements with the Trust and SIMC dated October 1,
1996, May 1, 1997, September 30, 1998, and September 10, 1998, respectively.
Artisan Partners, Sawgrass Investment Advisers, and Security Capital Group, Inc.
also serve as investment sub-advisers to a portion of the assets of the Fund and
are parties to agreements with the Trust and SIMC dated March 26, 1999, March
30, 1999, and September 14, 1999, respectively.
Western Asset Management Company, BlackRock, 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
35
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
sub-adviser to a portion of the assets of the International Equity
Fund and are parties to investment sub-advisory agreements with the Trust and
SIMC dated June 14, 1996. Scottish Widows Investment Management Limited, Capital
Guardian Trust Company, and Oechsle International Advisers, LLC also serve as
investment sub-advisers to a portion of the assets and are parties to agreements
with the Trust and SIMC dated March 23, 1998, June 29, 1998, and June 22, 1999,
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, 1999 were $9,617, $5,176 and
$3,123, 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, 1999:
IN UNREALIZED
MATURITY CONTRACTS TO EXCHANGE APPRECIATION
DATES DELIVER/RECEIVE FOR (DEPRECIATION)
- ------------------- --------------- -------- --------------
INTERNATIONAL EQUITY PORTFOLIO:
- -------------------------------
FOREIGN CURRENCY SALES:
12/1/99-12/2/99 EU 1,276,583 $1,289,881 $2,064
12/1/99--12/2/99 JY 35,569,762 349,142 317
12/1/99-12/3/99 UK 276,408 443,539 1,824
---------- ------
$2,082,562 $4,205
========== ======
FOREIGN CURRENCY PURCHASES:
12/30/99 EU 191,259 $ 193,611 $ (143)
12/1/99-12/3/99 JY 41,433,740 406,738 (289)
12/1/99-12/3/99 UK 930,086 1,492,705 (6,458)
---------- -------
$2,093,054 $(6,890)
========== =======
$(2,685)
=======
CURRENCY LEGEND
EU Euro Currency
JY Japanese Yen
UK British Pound 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, 1999, were as
follows:
Purchases (000) Sales (000)
------------- ---------
U.S. Gov't Other U.S. Gov't Other
---------- -------- ---------- -------
Large Cap Fund $ -- $1,266,173 $ -- $525,432
Small Cap Fund -- 398,895 -- 295,995
Core Fixed
Income Fund 2,309,661 247,770 2,097,228 113,052
International
Equity Fund 169 305,519 270 197,142
The aggregate gross unrealized appreciation
and depreciation on investments and futures
contracts held by the Funds at November 30, 1999 are as follows:
Net
Unrealized
Appreciated Depreciated Appreciation/
Securities Securities (Depreciation)
(000) (000) (000)
---------- ------------- --------------
Large Cap Fund $568,783 $(96,398) $472,385
Small Cap Fund 89,490 (29,041) 60,449
Core Fixed
Income Fund 2,390 (31,781) (29,391)
International
Equity Fund 222,534 (28,294) 194,240
36
<PAGE>
- --------------------------------------------------------------------------------
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, 1999:
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- --------- -------- ----------- ----------
Large Cap Fund
S & P 500 1 $1,343.70 Dec 1999 $ 12
S & P 500 2 1,344.00 Dec 1999 24
S & P 500 5 1,293.00 Dec 1999 123
S & P 500 10 1,277.00 Dec 1999 286
S & P 500 16 1,279.00 Dec 1999 450
S & P 500 13 1,306.50 Dec 1999 276
S & P 500 5 1,291.00 Dec 1999 126
S & P 500 6 1,327.50 Dec 1999 96
S & P 500 1 1,364.00 Dec 1999 7
S & P 500 6 1,363.50 Dec 1999 42
S & P 500 35 1,376.00 Dec 1999 135
S & P 500 2 1,384.00 Dec 1999 4
S & P 500 28 1,406.30 Dec 1999 (104)
S & P 500 43 1,406.40 Dec 1999 (160)
S & P 500 1 1,285.50 Dec 1999 26
S & P 500 4 1,283.00 Dec 1999 108
S & P 500 37 1,320.50 Dec 1999 656
S & P 500 16 1,322.00 Dec 1999 278
S & P 500 11 1,335.50 Dec 1999 154
S & P 500 14 1,325.50 Dec 1999 231
S & P 500 10 1,331.00 Dec 1999 151
S & P 500 1 1,340.00 Dec 1999 13
S & P 500 2 1,339.80 Dec 1999 26
S & P 500 4 1,334.80 Dec 1999 57
S & P 500 12 1,288.50 Dec 1999 309
S & P 500 6 1,291.00 Dec 1999 151
S & P 500 2 1,292.20 Dec 1999 50
------
$3,527
======
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- --------- -------- ---------- -------------
Small Cap Fund
S & P 500 5 $1,283.00 Dec 1999 $ 136
S & P 500 1 1,277.00 Dec 1999 29
S & P 500 9 1,285.50 Dec 1999 238
S & P 500 2 1,278.50 Dec 1999 56
S & P 500 5 1,362.00 Dec 1999 37
S & P 500 1 1,363.50 Dec 1999 7
S & P 500 7 1,376.00 Dec 1999 27
S & P 500 5 1,386.30 Dec 1999 6
S & P 500 3 1,393.00 Dec 1999 (1)
S & P 500 4 1,400.60 Dec 1999 (9)
S & P 500 3 1,409.80 Dec 1999 (14)
S & P 500 3 1,424.00 Dec 1999 (24)
S & P 500 1 1,421.25 Dec 1999 (7)
S & P 500 8 1,406.30 Dec 1999 (30)
S & P 500 1 1,424.00 Dec 1999 (8)
S & P 500 2 1,408.00 Dec 1999 (8)
Russell 2000 23 416.50 Dec 1999 413
Russell 2000 3 412.50 Dec 1999 60
Russell 2000 10 430.50 Dec 1999 109
Russell 2000 5 433.80 Dec 1999 46
Russell 2000 2 436.80 Dec 1999 16
Russell 2000 9 436.90 Dec 1999 70
Russell 2000 13 439.75 Dec 1999 82
Russell 2000 10 445.50 Dec 1999 34
Russell 2000 12 445.75 Dec 1999 40
Russell 2000 3 452.40 Dec 1999 --
Russell 2000 3 457.50 Dec 1999 (8)
-------
$1,297
=======
Core Fixed Income Fund
U.S. 5 Year Note 104 $ 99.30 March 1999 $ (33)
U.S. 5 Year Note (74) 99.65 March 1999 48
U.S. 5 Year Note (44) 99.36 March 1999 16
U.S. 5 Year Note (55) 108.45 December 1999 59
U.S. 10 Year Note 152 $ 98.43 (145)
U.S. 10 Year Note (32) 98.97 March 1999 47
U.S. 10 Year Note (16) 97.91 March 1999 7
U.S. 10 Year Note (27) 110.30 September 1999 (2)
U.S. 10 Year Note (35) 109.77 September 1999 (21)
U.S. 10 Year Note 34 109.06 September 1999 44
U.S. 10 Year Note 28 110.46 September 1999 (3)
U.S. 10 Year Note (17) 108.16 December 1999 (19)
U.S. 10 Year Note (29) 108.14 December 1999 (32)
U.S. 10 Year Note (25) 109.42 December 1999 4
U.S. 10 Year Note (34) 109.44 December 1999 6
U.S. 10 Year Note (28) 109.73 December 1999 13
U.S. 10 Year Note (11) 109.81 December 1999 6
U.S. 10 Year Note 19 109.17 December 1999 1
U.S. 10 Year Note 34 109.18 December 1999 2
U.S. 10 Year Note 32 109.23 December 1999 1
U.S. 10 Year Note 43 109.97 December 1999 (31)
37
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- NOVEMBER 30, 1999 (UNAUDITED)
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Describtion Contracts Price Month (000)
- --------------- --------- ------- ----------- -----------
Core Fixed Income Fund (continued)
U.S. 30 Year Bond (36) $113.00 December 1999$ 39
U.S. 30 Year Bond 2 113.00 December 1999 (2)
U.S. 30 Year Bond 28 92.75 March 2000 9
U.S. 30 Year Bond 13 93.75 March 2000 9
U.S. 30 Year Bond 4 94.00 March 2000 4
U.S. 30 Year Bond 3 95.13 March 2000 6
U.S. 30 Year Bond 5 93.94 March 2000 (4)
U.S. 30 Year Bond 2 93.95 March 2000 (2)
U.S. 30 Year Bond 3 93.96 March 2000 (3)
U.S. 30 Year Bond 49 91.34 March 2000 84
U.S. 30 Year Bond 15 91.31 March 2000 26
U.S. 30 Year Bond 27 93.66 March 2000 (16)
U.S. 30 Year Bond 110 94.09 March 2000 (114)
U.S. 30 Year Bond 1 94.34 March 2000 (1)
U.S. 30 Year Bond 1 95.29 March 2000 (2)
U.S. 30 Year Bond 1 95.09 March 2000 (2)
U.S. 30 Year Bond 15 94.53 March 2000 (22)
U.S. 30 Year Bond 8 95.69 March 2000 (21)
U.S. 30 Year Bond 3 94.63 March 2000 (4)
------
$ (48)
======
International Equity Fund
Australia Ords Index1 2,809 December 99 $ 4
Australia Ords Index4 2,812 December 99 14
Australia Ords Index1 2,910 December 99 2
Australia Ords Index1 2,951 December 99 1
Australia Ords Index1 2,902 December 99 2
Australia Ords Index2 2,895 December 99 4
Australia Ords Index2 3,052 December 99 (1)
Australia Ords Index3 3,037 December 99 --
Australia Ords Index3 3,038 December 99 --
CAC 40 Index 25 4,588 December 99 205
CAC 40 Index 2 4,551 December 99 17
CAC 40 Index 1 4,881 December 99 5
CAC 40 Index 2 4,892 December 99 10
CAC 40 Index 2 4,936 December 99 9
CAC 40 Index 6 4,959 December 99 26
CAC 40 Index 1 5,034 December 99 3
CAC 40 Index 1 5,248 December 99 1
CAC 40 Index 10 5,179 December 99 20
CAC 40 Index 1 5,394 December 99 --
CAC 40 Index 24 5,374 December 99 1
DAX Index 6 5,226 December 99 105
DAX Index 4 5,189 December 99 74
Number Unrealized
Contract of Trade Settlement Gain/(Loss)
Description Contracts Price Month (000)
- ----------- --------- ------- ------------- ----------
DAX Index 1 5,182 December 99 $ 19
DAX Index 1 5,532 December 99 9
DAX Index 1 5,586 December 99 8
DAX Index 2 5,653 December 99 12
DAX Index 2 5,697 December 99 10
DAX Index 4 5,813 December 99 8
DAX Index 10 5,880 December 99 3
FT-SE 100 Index 28 5,958 December 99 304
FT-SE 100 Index 3 5,932 December 99 34
FT-SE 100 Index 1 6,277 December 99 6
FT-SE 100 Index 1 6,277 December 99 6
FT-SE 100 Index 3 6,312 December 99 15
FT-SE 100 Index 7 6,368 December 99 29
FT-SE 100 Index 1 6,665 December 99 (1)
FT-SE 100 Index 1 6,509 December 99 2
FT-SE 100 Index 1 6,470 December 99 2
FT-SE 100 Index 9 6,545 December 99 12
FT-SE 100 Index 1 6,701 December 99 (1)
FT-SE 100 Index 28 6,675 December 99 (22)
Hang Sang Index 6 15,057 December 99 13
Hang Sang Index 1 15,355 December 99 --
Hang Sang Index 3 15,500 December 99 (2)
IBEX 35 Index 9 10,732 December 99 22
IBEX 35 Index 2 10,665 December 99 6
IBEX 35 Index 5 10,835 December 99 7
NIKKEI 225 Index 34 16,860 December 99 275
NIKKEI 225 Index 4 17,030 December 99 29
NIKKEI 225 Index 5 18,190 December 99 9
NIKKEI 225 Index 7 18,390 December 99 6
NIKKEI 225 Index 4 18,320 December 99 5
NIKKEI 225 Index 3 18,310 December 99 4
NIKKEI 225 Index 5 18,400 December 99 4
NIKKEI 225 Index 2 18,350 December 99 2
NIKKEI 225 Index 8 18,650 December 99 (3)
NIKKEI 225 Index 1 18,780 December 99 (1)
NIKKEI 225 Index 34 18,780 December 99 (35)
MIB 30 Index 3 32,220 December 99 59
MIB 30 Index 1 33,070 December 99 15
MIB 30 Index 1 3,335 December 99 14
MIB 30 Index 1 34,770 December 99 7
MIB 30 Index 3 36,160 December 99 (1)
----------
$ 11,392
==========
38
<PAGE>
- --------------------------------------------------------------------------------
9. WRITTEN OPTION TRANSACTIONS
Written option transactions entered into during the period ending November 30,
1999 are summarized as follows ($ in thousands)
CORE FIXED INCOME
--------------------------------------
# OF CONTRACTS PREMIUM
-------------- ------------
Balance at the beginning
of period (993) (716)
Written
Expired (3,136) (1,259)
Exercised -- --
Closing Buys 3,847 1,681
------ ------
Balance at end of period (282) (294)
====== ======
At November 30, 1999 the Core Fixed Income Fund had sufficient cash and/or
securities at least equal to the value of written options.
39
<PAGE>
- -----------------------
SEI INSTITUTIONAL
INVESTMENTS TRUST
- -----------------------
SEMI-ANNUAL REPORT
- -----------------------
NOVEMBER 30, 1999
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
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
Kevin P. Robins
VICE PRESIDENT, ASSISTANT SECRETARY
Lynda Striegel
VICE PRESIDENT, ASSISTANT SECRETARY
James Foggo
VICE PRESIDENT, ASSISTANT SECRETARY
Lydia Gavalis
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[bullet]800[bullet]DIAL[bullet]SEI/1[bullet]
800[bullet]342[bullet]5734
<PAGE>
[BLANK PAGE]
<PAGE>
[SEI LOGO OMITTED]
INVESTMENTS
DISTRIBUTION
CO.
Oaks, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-120-02
