Annual Report as of
May 31, 2000
SEI INSTITUTIONAL
INVESTMENTS TRUST
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Large Cap Fund
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Large Cap Value Fund
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Large Cap Growth Fund
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Small Cap Fund
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Core Fixed Income Fund
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International Equity Fund
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[logo omitted]
<PAGE>
TABLE OF CONTENTS
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MANAGEMENT'S DISCUSSION AND ANALYSIS
OF FUND PERFORMANCE.................................................. 1
REPORT OF INDEPENDENT ACCOUNTANTS....................................... 8
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS......................... 9
STATEMENT OF ASSETS AND LIABILITIES..................................... 44
STATEMENT OF OPERATIONS................................................. 45
STATEMENT OF CHANGES IN NET ASSETS...................................... 47
FINANCIAL HIGHLIGHTS.................................................... 49
NOTES TO FINANCIAL STATEMENTS........................................... 50
NOTICE TO SHAREHOLDERS.................................................. 56
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
LARGE CAP FUND
OBJECTIVE: The Large Cap Fund seeks to provide long-term growth of capital
and income.
STRATEGY: The Large Cap Fund employs a multi-manager structure to gain
exposure to the entire large cap sector, adding value through stock selection
while minimizing risk in the form of capitalization, valuation and economic
sector exposures. The Fund is jointly sub-advised by six investment managers.
Assets of the Portfolio are strategically allocated among its sub-advisers, each
of which has responsibility for stock selection for its respective assets under
management. Each of the sub-styles assumes a different importance in determining
overall style risk, and must therefore be weighted accordingly.
ANALYSIS: The Large Cap Fund returned 9.10% for the fiscal year ended May
31, 2000. For the period from June 30, 1996 through May 31, 1999, the Large Cap
Fund returned 22.63% on an annualized basis, closely tracking the Russell 1000
Index return of 22.78% over the same time period.
The broad market continued to advance over the last fiscal year. Smaller
cap, growth oriented issues were the clear leader of the U.S. market,
outperforming large cap value stocks by a very wide margin. Within large cap,
growth stocks outperformed value stocks over most of the fiscal year, although
value issues rebounded strongly in March, and continued to outperform growth in
April and May of 2000 as investors reacted to Fed tightenings, earnings
surprises, and a dose of cash flow reality in the dot-com universe.
From a sector perspective the leaders over the fiscal year continued to be
the technology stocks, particularly internet and internet-related names.
Electronics as a group was up over 90% for the fiscal year, while business
machines and business services were up 36% and 18%, respectively. Energy stocks
and producer goods stocks were also among the market leaders, as energy prices
rose and the U.S. economy continued to charge ahead at nearly full employment
despite the Fed's cooling efforts. Rising rates did, however lead to a decline
in demand for construction and consumer durables, which were among the poorer
performers. Other underperforming areas of the market included aerospace and air
transportation, cosmetics, railroads and shipping, tires and rubber and tobacco.
Overall the Fund continues to target a style neutral position to the
Russell 1000 Index, which controls unnecessary risk and puts the focus on stock
selection from the six specialist sub-advisers.
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LARGE CAP FUND
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AVERAGE ANNUAL TOTAL RETURN(1)
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Annualized Annualized
One Year 3 Year Inception
Return Return to Date
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Large Cap Fund 9.10% 20.21% 22.39%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE
SEI INSTITUTIONAL INVESTMENTS TRUST LARGE CAP FUND, VERSUS THE
FRANK RUSSELL 1000 INDEX
[graph omitted]
[plot points follows:]
Frank
Russell
Large Cap 1000
Fund Index
6/30/96 10,000 10,000
5/31/97 12,812 12,697
5/31/98 17,086 16,597
5/31/99 20,400 19,968
5/31/00 22,257 22,356
(1) FOR THE PERIOD ENDED MAY 31, 2000. PAST PERFORMANCE IS NO INDICATION OF
FUTURE PERFORMANCE. FUND SHARES WERE OFFERED BEGINNING 6/14/96.
1
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
LARGE CAP VALUE FUND
OBJECTIVE: The Large Cap Value Fund seeks to provide long-term growth of
capital and income.
STRATEGY: The Large Cap Value Fund began operations January 31, 2000. The
Fund employs a multi-manager structure to gain exposure to the large cap value
sector, adding value through stock selection while minimizing risk in the form
of capitalization, valuation and economic sector exposures. The Fund is jointly
sub-advised by three investment managers. Assets of the Portfolio are
strategically allocated among its sub-advisers, each of which has responsibility
for stock selection for its respective assets under management. Each of the
sub-styles assumes a different importance in determining overall style risk, and
must therefore be weighted accordingly.
ANALYSIS: The Large Cap Value Fund returned 4.00% for the period from
inception, January 31, 2000 through May 31, 2000. The Fund's benchmark, the
Russell 1000 Value Index, returned 3.74% over the same period.
After trailing growth in February, value stocks posted a strong advance in
March, and significantly outperformed growth stocks in both April and May as
investors reacted to Fed tightenings, earnings surprises, and a dose of cash
flow reality in the dot-com universe.
From a sector perspective the leaders over the period were the energy,
domestic oil and real property stocks. Energy stocks as a group were up over 49%
for the period, while domestic oil and real property stocks were up 26% and 15%,
respectively. The U.S. economy finally began to show signs of cooling by the end
of the period, due in part to the Fed's tightening efforts. Rising rates led to
a decline in demand for construction and consumer durables, which were among the
poorer performers. Other underperforming areas of the market included
non-ferrous metals, containers, cosmetics, steel and telephone.
Overall the Fund continues to target a style neutral position to the
Russell 1000 Value Index, which controls unnecessary risk and puts the focus on
stock selection from the three specialist sub-advisers.
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LARGE CAP VALUE FUND
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AVERAGE ANNUAL TOTAL RETURN(1)
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Cumulative Inception to Date
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Large Cap Value Fund 4.00%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL INVESTMENTS TRUST LARGE CAP VALUE FUND, VERSUS THE FRANK RUSSELL
VALUE 1000 INDEX, THE S&P 500/BARRA VALUE INDEX, AND THE S&P 500 COMPOSITE INDEX
[graph omitted]
[plot points follows]
Large Cap Frank S&P S&P 500/
Value Russell 1000 500 BARRA
Fund Value Index Value Index
1/31/00 10,000 10,000 10,000 10,000
5/31/00 10,400 10,374 10,232 10,315
1 FOR THE PERIOD ENDED MAY 31, 2000. PAST PERFORMANCE IS NO INDICATION OF FUTURE
PERFORMANCE. FUND SHARES WERE OFFERED BEGINNING 1/31/00.
2
<PAGE>
LARGE CAP GROWTH FUND
OBJECTIVE:The Large Cap Growth Fund seeks to provide capital appreciation.
STRATEGY: The Large Cap Growth Fund began operations February 28, 2000.
The Fund employs a multi-manager structure to gain exposure to the large cap
growth sector, adding value through stock selection while minimizing risk in the
form of capitalization, valuation and economic sector exposures. The Fund is
jointly sub-advised by three investment managers. Assets of the Portfolio are
strategically allocated among its sub-advisers, each of which has responsibility
for stock selection for its respective assets under management. Each of the
sub-styles assumes a different importance in determining overall style risk, and
must therefore be weighted accordingly.
ANALYSIS: The Large Cap Growth Fund returned -0.24% for the period from
inception, February 28, 2000, through May 31, 2000. The Fund's benchmark, the
Russell 1000 Growth Index, returned -3.08% over the same period.
After trailing growth in February, value stocks posted a strong advance in
March, and significantly outperformed growth stocks in both April and May as
investors reacted to Fed tightenings, earnings surprises, and a dose of cash
flow reality in the dot-com universe.
From a sector perspective the leaders over the period were the financial
stocks. Bank stocks as a group was up over 34% for the period, while insurance
and miscellaneous finance stocks were up 30% and 9%, respectively. The U.S.
economy finally began to show signs of cooling by the end of the period, due in
part to the Fed's tightening efforts. Underperforming areas of the market
included Non-ferrous metals, Telephone and Miscellaneous.
Overall the Fund continues to target a style neutral position to the
Russell 1000 Growth Index, which controls unnecessary risk and puts the focus on
stock selection from the three specialist sub-advisers.
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LARGE CAP GROWTH FUND
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AVERAGE ANNUAL TOTAL RETURN(1)
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Cumulative Inception to Date
Large Cap Growth Fund -0.24%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL INVESTMENTS TRUST LARGE CAP GROWTH FUND, VERSUS THE FRANK RUSSELL
1000 GROWTH INDEX AND THE S&P 500/BARRA GROWTH INDEX
[graph omitted]
[plot pointz follows]
Large Frank S&P 500/BARRA
Cap Growth Russell 1000 Growth Index
Fund Growth Index
1/31/00 10,000 10,000 10,000
5/31/00 9,781 9,692 9,961
1 For the period ended May 31, 2000. Past performance is no indication of future
Performance. Fund Shares were offered beginning 2/28/00.
3
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MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
SMALL CAP FUND
OBJECTIVE: The Small Cap Fund seeks to provide capital appreciation.
STRATEGY: The Small Cap Fund's investment philosophy is to add value
through stock selection while minimizing risk in the form of capitalization,
valuation and economic sector exposures. The Small Cap Fund is sub-advised by
eight investment managers, who are responsible for the stock selection of the
investment portfolio.
Each sub-adviser employs a unique investment process that allows the Fund
to benefit from a variety of sub-styles in the small cap area of the market. The
various sub-styles are: core value, contrarian value, price/book value,
deep-value, real estate specialty, conservative growth, aggressive growth, and
disciplined growth.
ANALYSIS: The Small Cap Fund returned 21.06 % for the fiscal year ended
May 31, 2000, versus the benchmark Russell 2000 Index return of 9.91%. For the
period June 30, 1996 through May 31, 2000, the Fund returned 13.06% annualized,
outperforming the Russell 2000 Index return of 9.88% annualized over the same
time period. The fiscal year was again dominated by technology companies within
small cap growth, which led to a dramatic spread between growth and value stocks
in the group. The spread between growth and value was 45 percentage points for
the period. Throughout the period the Fund maintained a weighting to technology
issues which was roughly equal to that of the benchmark and therefore
participated fully in the strong gains the group enjoyed. Additionally, security
selection was especially good in electronics, and outstanding in business
services, the two best performing areas of the market. Business machines,
domestic oil and pharmaceuticals issues also performed well during the fiscal
year for the Fund. Food and agriculture, motor vehicles and steel issues
struggled throughout the period.
Spyglass Asset Management ("Spyglass") was replaced by Sawgrass Asset
Management as a sub-adviser to the Fund in June, 1999. Sawgrass brings a
"conservative growth" approach of investing in small cap securities. Polynous
was terminated in October 1999. Security Capital was added as a sub-adviser to
the Fund in September 1999. Security Capital specializes in REIT securities
exclusively. Nicholas-Applegate Capital Management was reduced to a zero weight
in the portfolio in May, 2000 due to capacity constraints which limited the
ability to make significant contributions.
Overall the Fund continues to target a style neutral position to the
Russell 2000 Index which controls unnecessary risk and puts the focus on stock
selection from the eight specialist sub-advisers.
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SMALL CAP FUND
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AVERAGE ANNUAL TOTAL RETURN(1)
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Annualized Annualized
One Year 3 Year Inception
Return Return to Date
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Small Cap Fund 21.06% 13.04% 12.18%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE
SEI INSTITUTIONAL INVESTMENTS TRUST SMALL CAP FUND, VERSUS THE
FRANK RUSSELL 2000 INDEX
[graph omitted][plot points follows]
Small Cap Frank Russell
Fund 2000 Index
6/30/96 10,000 10,000
5/31/97 11,199 11,156
5/31/98 14,187 13,525
5/31/99 13,363 13,161
5/31/00 16,177 14,466
1 FOR THE PERIOD ENDED MAY 31, 2000. PAST PERFORMANCE IS NO INDICATION OF FUTURE
PERFORMANCE. FUND SHARES WERE OFFERED BEGINNING 6/14/96.
4
<PAGE>
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CORE FIXED INCOME FUND
OBJECTIVE: The Core Fixed Income Fund seeks to provide current income and
preservation of capital.
STRATEGY: The Core Fixed Income Fund seeks to achieve its objective by
investing in a diversified portfolio of fixed income securities while also
limiting fluctuations in principal value. The Fund invests in every sector of
the fixed income universe, including U.S.Treasuries, agencies, mortgage-backeds,
investment-grade corporates, and Yankee bonds. The Fund's investment strategy
focuses on sector rotation, both among and within sectors, and issue selection.
Risk is principally controlled by explicitly limiting fund interest rate
exposure relative to the Lehman Aggregate Bond Index. The Fund's sub-advisers
focus on four key areas in determining portfolio structure: duration weighting,
term structure, sector allocation, and issue selection. While the duration and
term structure decision underlie the implementation process, the sub-advisers
primarily concentrate on sector and issue selection to add value. In addition,
the sub-advisers may use futures and options primarily for tactical hedging
purposes and to implement portfolio strategies more efficiently.
ANALYSIS: For the fiscal year ended June 1, 1999 through May 31, 2000, the
Core Fixed Income Fund returned 2.07%, roughly matching the Lehman Brothers
Aggregate Bond Index return of 2.10% over the same time period. Performance was
positively impacted by the Fund's allocation to Treasury Inflation Protected
Securities (TIPS), the barbelled yield curve strategy and the overweight to GNMA
securities within the mortgage-backed securities sector. The Fund's longer than
benchmark duration and overweight to "BBB"-rated corporate securities detracted
from performance.
Events at the Federal Reserve Bank and the U.S. Treasury Department were
the primary drivers of return in the fixed income markets. In response to rapid
economic growth, historically low rates of unemployment and the threat of
inflation, the Fed increased interest rates six times during the fiscal year,
raising the key Fed Funds rate from 5.00% to 6.50%. Fed interest rate activity
contributed to the yield curve flattening throughout the fiscal year. The curve
inverted in response to buybacks of long-dated Treasury debt and expectations
that the Fed will keep inflation under control. The Treasury department roiled
the bond markets by announcing that they would begin buybacks (reverse auctions)
of longer dated Treasury bonds in order to pay down the national debt.
Investors, fearing a lack of supply in long-dated Treasuries, drove up prices
significantly, which greatly aided the barbell strategy employed by the Fund's
sub-advisers. The Fund's longer than benchmark duration detracted from
performance as interest rates were on the rise for most of the period. The
Fund's allocation to TIPS enhanced returns as high real yields attracted buyers.
Spreads on corporate bonds and mortgage-backed securities ended the fiscal
year at historical highs as the Treasury yield curve inversion and the reduction
in Treasury supply prompted a change in relative valuation. Spreads on FNMA and
FHLMC backed securities widen substantially as a result of proposed government
legislation and comments made by government officials. Fund performance
benefited from an overweight to GNMA mortgage-backed securities. The Fund's
modest overweight to "BBB" rated corporates detracted from performance as
expectations for a slowing economy as well as merger and acquisition activity
hurt prospects for those firms.
5
<PAGE>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
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SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
The Fund intends to continue to maintain its barbelled yield curve
structure and its overweight to the GNMA mortgage sector. The Fund intends to
also improve its credit quality profile by purchasing companies with higher
credit quality ratings. The duration of the Fund intends to be positioned longer
than its benchmark. Mortgage purchases will emphasize fifteen-year maturities
and bonds that have discount coupons.
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CORE FIXED INCOME FUND
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AVERAGE ANNUAL TOTAL RETURN1
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Annualized Annualized
One Year 3 Year Inception
Return Return to Date
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Core Fixed Income Fund 2.07% 5.86% 6.52%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE
SEI INSTITUTIONAL INVESTMENTS TRUST CORE FIXED INCOME FUND, VERSUS THE
LEHMAN AGGREGATE BOND INDEX
[graph omitted]
[plot points follows]
Core Lehman
Fixed Income Aggregate
Fund Bond Index
6/30/96 10,000 10,000
5/31/97 10,685 10,689
5/31/98 11,924 11,856
5/31/99 12,419 12,370
5/31/00 12,676 12,630
1 FOR THE PERIOD ENDED MAY 31, 2000. PAST PERFORMANCE IS NO INDICATION OF FUTURE
PERFORMANCE. FUND SHARES WERE OFFERED BEGINNING 6/14/96.
INTERNATIONAL EQUITY FUND
OBJECTIVE: The International Equity Fund seeks to provide capital
appreciation.
STRATEGY: The International Equity Fund invests primarily in common stocks
and other equity securities of foreign companies. The Fund primarily invests in
companies located in developed countries, but may also invest in companies
located in emerging markets. The Fund uses a multi-manager approach, relying
upon a number of Sub-Advisors with differing investment philosophies to manage
portions of the Fund's portfolio under the general supervision of SIMC. The Fund
is diversified as to issuers, market capitalization, industry, and country.
ANALYSIS: The International Equity Fund returned 22.82% for the one-year
period ended May 31, 2000, outperforming the MSCI EAFE Index return of 17.14%.
Both the European and Pacific Basin equity rallies were driven by a significant
improvement in the global economy and a surge in demand for all types of
technology-related products. The equity rally was widespread with most countries
posting positive gains for the period. Growth-oriented shares, which were driven
by the global technology rally, outpaced value stocks by a large margin in the
first nine months (June 1999-February 2000). In mid-March, however, a market
reversal ensued with value stocks finally taking the lead. In any case, the Fund
was not materially impacted by the wide dispersion in performance across styles
due to its style neutral construction.
The Fund's growth-oriented managers outperformed over the period. Their
thematic positioning in telecommunications and technology companies and, to a
lesser extent, cyclically sensitive shares generated the strong performance.
European holdings such as Ericsson in Sweden, British Sky Broadcasting, Nokia of
Finland, Philips Electronics in the Netherlands and Mannesmann in Germany were
plays on these themes and all have added significant value. Outside of the new
economy stocks, many of last year's successful themes also continued into the
new millennium, such as corporate restructuring and improving consumer
confidence. Economically sensitive holdings such as LVMH in France and
Electrolux in Sweden are examples.
6
<PAGE>
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Given rising valuations, many of our managers, through the course of the
first quarter 2000, broadened out beyond the pure tech stocks to stocks that are
beneficiaries of new technology. This would include undervalued companies with
impressive e-strategies in such "old economy" sectors as autos, retailing and
banking. Fund examples include Carrefour and Royal Bank of Scotland.
During the period, the portfolio also benefited from the global
telecommunications and technology theme in Japan with such holdings as Murata
Manufacturing, Tokyo Electronics, NTT Docomo and Sony. Outside of Japan, the
portfolio was relatively country neutral to the benchmark in Hong Kong,
Australia, Singapore and New Zealand. The focus in these markets continues to
banking and electronics. Examples include Telstra, an integrated telecom company
in Australia, and Singapore Telecom.
The value manager's exposure to deep value oriented shares such as Eni in
Italy, Rwe in Germany and Honda Motor in Japan were significant detractors from
performance during the majority of the period. However, our value manager stuck
to deep value stock selection and was rewarded during the market rotation in
mid-March.
The Fund has a large overweight to France and the Netherlands stemming
from exposure to firms such as Total Fina, Carrefour, LVMH and Peugeot. The Fund
is underweight to the United Kingdom, and some of the smaller European markets
such as Belgium, Finland and Denmark. Corporate restructurings remain a central
theme with such holdings as Switzerland's capital equipment company ABB and
pharmaceutical/biotech company Aventis. Optimism for selective telecom, media
and technology shares continues with Vodafone (UK), Reuters (UK) and Ericsson
(Switzerland). Managers are also positive on the continued reforms in the
Japanese financial sector with such holdings as Fuji Bank and Sakura Bank. Focus
is also on restructuring efforts in globally competitive sectors -- rather than
domestic-oriented industries -- where the government is implementing reforms to
make these companies, such as the Japanese drug industry, more globally
competitive. Outside of Japan, the Fund is positioned to take advantage of those
Asian companies with exposure to the region's economic recovery such as China
Telecom and Hutchison Whampoa in Hong Kong. The portfolio was relatively country
neutral to the benchmark in Singapore and Japan, while maintaining an
underweight position in Australia and overweight position in Hong Kong and New
Zealand.
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INTERNATIONAL EQUITY FUND
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AVERAGE ANNUAL TOTAL RETURN1
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Annualized Annualized
One Year 3 Year Inception
Return to Date to Date
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International Equity Fund 22.82% 13.18% 11.86%
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE SEI
INSTITUTIONAL INVESTMENTS TRUST INTERNATIONAL EQUITY FUND, VERSUS THE MORGAN
STANLEY MSCI EAFE INDEX
[graph omitted]
[plot points follows:]
International Morgan
Equity Stanley MSCI
Fund EAFE Index
6/30/96 10,000 10,000
5/31/97 10,680 10,695
5/31/98 11,791 11,883
5/31/99 12,608 12,401
5/31/00 15,485 14,527
1 FOR THE PERIOD ENDED MAY 31, 2000. PAST PERFORMANCE IS NO INDICATION OF FUTURE
PERFORMANCE. FUND SHARES WERE OFFERED BEGINNING 6/14/96.
7
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
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SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
To the Board of Trustees and Shareholders of
SEI Institutional Investments Trust:
In our opinion, the accompanying statements of net assets for the Large Cap
Fund, Large Cap Growth Fund, Small Cap Fund, Core Fixed Income Fund and
International Equity Fund and the statement of assets and liabilities, including
the schedule of investments, for the Large Cap Value Fund (constituting SEI
Institutional Investments Trust, hereafter referred to as the "Trust") and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
the Trust at May 31, 2000, the results of its operations, the changes in its net
assets and the financial highlights for each of the periods presented, in
conformity with accounting principles generally accepted in the United States.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States, which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at May 31, 2000 by correspondence with custodians and brokers,
provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Philadelphia, PA
July 18, 2000
8
<PAGE>
STATEMENT OF NET ASSETS
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SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
LARGE CAP FUND
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MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Common Stocks -- 97.8%
Aerospace & Defense -- 1.1%
BF Goodrich 131,700 $ 4,675
Boeing 225,900 8,824
Litton Industries* 71,100 3,053
United Technologies 326,700 19,745
--------
36,297
--------
Air Transportation -- 0.6%
AMR* 55,000 1,568
Delta Air Lines 134,600 6,923
Southwest Airlines 555,600 10,661
--------
19,152
--------
Apparel/Textiles -- 0.1%
VF 141,695 4,065
--------
Automotive -- 1.2%
Dana 134,800 3,480
Delphi Automotive Systems 270,760 4,891
Ford Motor 447,400 21,727
General Motors 77,300 5,459
Navistar International* 84,400 2,711
--------
38,268
--------
Banks -- 4.8%
Astoria Financial 83,300 2,270
Bank of America 856,333 47,580
Bank One 407,100 13,460
Chase Manhattan 380,128 28,391
First Union 185,800 6,538
Firstar 388,300 9,926
Fleet Boston Financial 406,600 15,375
Golden West Financial 158,500 6,617
Greenpoint Financial 44,000 919
PNC Financial Services Group 314,300 15,833
UnionBanCal 158,900 5,442
--------
152,351
--------
Beauty Products -- 0.8%
Colgate-Palmolive 274,000 14,419
Gillette 182,500 6,091
Procter & Gamble 75,200 5,001
--------
25,511
--------
Biotechnology -- 0.9%
Amgen* 227,900 14,500
Biogen* 282,800 15,413
--------
29,913
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Broadcasting, Newspapers & Advertising -- 4.3%
AT&T-Liberty Media Group, Cl A* 902,400 $ 39,988
Fox Entertainment Group, Cl A* 30,000 784
Gannett 180,346 11,677
MediaOne Group* 209,000 13,964
Metro-Goldwyn-Mayer* 173,000 4,909
Time Warner 408,400 32,238
Viacom, Cl B* 309,156 19,168
Walt Disney 357,700 15,090
--------
137,818
--------
Building & Construction -- 0.2%
Centex 119,000 2,469
Fluor 77,000 2,503
Pulte 91,200 2,024
--------
6,996
--------
Building & Construction Supplies -- 0.3%
American Standard* 78,100 3,607
Lafarge 121,000 3,086
Owens Corning 43,700 675
Texas Industries 38,200 1,096
--------
8,464
--------
Chemicals -- 1.4%
Ashland 47,300 1,653
Dow Chemical 235,861 25,252
Eastman Chemical 97,700 4,451
Lubrizol 78,400 1,813
Lyondell Chemical 124,600 2,079
Millennium Chemicals 66,700 1,284
Praxair 88,100 3,700
Union Carbide 105,600 5,775
--------
46,007
--------
Commercial Services -- 0.4%
Paychex 399,375 13,978
--------
Communications Equipment -- 3.9%
Ciena* 81,700 9,778
Corning 128,100 24,779
Ericsson ADR 565,000 11,583
Foundry Networks* 31,500 1,986
JDS Uniphase* 78,500 6,908
Lucent Technologies 103,500 5,938
Metromedia Fiber Network* 321,800 9,956
Nextel Partners, Cl A* 86,300 1,467
Nokia ADR 1,004,600 52,239
--------
124,634
9
<PAGE>
STATEMENT OF NET ASSETS
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SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
LARGE CAP FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Computers & Services -- 8.0%
Apple Computer* 124,200 $ 10,433
Brocade Communications System* 38,900 4,588
Cisco Systems* 1,639,990 93,377
Dell Computer* 1,177,100 50,762
DST Systems* 19,600 1,471
Electronics for Imaging* 64,700 2,382
EMC-Mass* 154,900 18,017
Extreme Networks* 67,800 3,314
International Business Machines 143,800 15,432
NCR* 201,700 8,509
Network Appliance* 32,600 2,105
Quantum-DLT & Storage* 187,900 1,949
Sandisk* 101,000 5,871
Seagate Technology* 106,800 6,194
Sun Microsystems* 297,200 22,773
Unisys* 96,000 2,604
VeriSign* 28,400 3,845
--------
253,626
--------
Containers & Packaging -- 0.1%
Ball 72,800 2,161
Crown Cork & Seal 113,000 1,935
Owens-Illinois* 24,310 273
--------
4,369
--------
Drugs -- 7.8%
Alza* 86,200 4,380
Bergen Brunswig, Cl A 128,300 666
Bristol-Myers Squibb 539,500 29,706
Eli Lilly 120,900 9,204
Medimmune* 32,200 5,003
Merck 342,600 25,567
Pfizer 876,900 39,077
Pharmacia 311,173 16,162
Schering-Plough 757,900 36,663
Teva Pharmaceutical 200,800 10,818
Warner-Lambert 572,300 69,892
--------
247,138
--------
Electrical Services -- 3.6%
AES* 271,700 23,706
American Electric Power 99,900 3,553
Central & South West 285,700 5,946
Cinergy 78,600 2,093
Consolidated Edison 100,700 3,285
Constellation Energy Group 194,500 6,674
DTE Energy 96,300 3,328
Edison International 207,000 4,425
Energy East 191,900 4,102
FirstEnergy 75,700 1,902
FPL Group 161,600 7,999
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
New Century Energies 138,600 $ 4,660
PG&E 490,800 12,730
Pinnacle West Capital 106,900 3,822
Public Service Enterprise Group 411,200 15,317
Southern 360,100 9,340
Wisconsin Energy 80,000 1,690
--------
114,572
--------
Electronics -- 1.8%
Agilent Technologies* 46,000 3,387
Arrow Electronics* 71,600 2,510
Avnet 28,800 1,993
Credence Systems* 83,400 4,561
Maxim Integrated Products* 304,100 19,291
PE Biosystems Group 53,900 2,991
Solectron* 675,000 22,317
Thomas & Betts 32,400 919
--------
57,969
--------
Financial Services -- 7.7%
American Express 307,300 16,537
Bear Stearns 124,300 4,894
Charles Schwab 532,500 15,309
Citigroup 1,114,770 69,325
Countrywide Credit Industries 131,500 4,044
Household International 165,100 7,760
J.P. Morgan 135,000 17,381
Lehman Brothers Holdings 71,500 5,519
MBNA 854,587 23,822
Merrill Lynch 56,800 5,602
Metris 101,300 3,748
Morgan Stanley Dean Witter 686,200 49,364
Providian Financial 146,900 13,065
T Rowe Price & Associates 187,800 7,172
--------
243,542
--------
Food, Beverage & Tobacco -- 2.1%
Adolph Coors, Cl B 50,000 2,813
Conagra 364,100 8,397
Earthgrains 80,300 1,325
Great Atlantic & Pacific TEA 91,100 1,674
IBP 200,500 3,308
Kroger* 480,000 9,540
Nabisco Group Holdings 91,100 1,987
Philip Morris 163,400 4,269
RJ Reynolds Tobacco Holdings 14,166 393
Ruddick 50,400 699
Safeway* 484,700 22,357
Supervalu 378,500 7,878
Tyson Foods, Cl A 132,800 1,311
--------
65,951
--------
10
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Gas/Natural Gas -- 0.4%
BJ Services* 98,000 $ 7,019
KeySpan 78,700 2,400
National Fuel Gas 45,000 2,332
Sempra Energy 113,100 2,128
--------
13,879
--------
Hotels & Lodging -- 0.2%
Starwood Hotels & Resorts
Worldwide 245,700 7,264
--------
Household Furniture & Fixtures -- 0.6%
Gemstar International Group Ltd.* 121,000 5,135
Maytag 139,500 4,569
Whirlpool 154,300 8,747
--------
18,451
--------
Household Products -- 0.1%
Fortune Brands 166,100 4,422
--------
Insurance -- 5.5%
Aetna 58,700 3,918
Allstate 81,500 2,160
AMBAC Financial Group 102,773 5,177
American General 44,581 2,856
American International Group 475,250 53,495
Chubb 115,600 8,092
Cigna 258,200 22,931
Financial Security Assurance
Holdings Ltd. 36,400 2,735
Hartford Financial Services Group 103,000 6,090
Lincoln National 83,000 3,216
Marsh & McLennan 121,300 13,351
MBIA 41,600 2,405
Old Republic International 101,150 1,776
PMI Group 128,300 6,511
Progressive-Ohio 279,200 26,210
St. Paul 102,900 3,859
Unitedhealth Group 120,100 8,955
--------
173,737
--------
Machinery -- 0.8%
Cummins Engine 231,600 7,541
Deere 73,600 3,059
Dover 123,200 5,729
Nacco Industries, Cl A 10,900 411
Rockwell International 126,000 5,166
Tecumseh Products, Cl A 70,200 3,172
--------
25,078
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Medical Products & Services -- 1.8%
Allergan 125,900 $ 8,648
Bausch & Lomb 60,800 4,226
Mallinckrodt 197,800 5,724
Medtronic 620,300 32,023
Pacificare Health Systems* 24,900 1,614
St. Jude Medical* 177,000 6,361
--------
58,596
--------
Metal Fabricate/Hardware -- 0.0%
Timken 75,700 1,429
--------
Metals & Mining -- 0.2%
Alcan Aluminium Ltd. 102,533 3,364
Alcoa 39,600 2,314
--------
5,678
--------
Miscellaneous Manufacturing -- 4.9%
Cooper Industries 122,246 4,095
FMC* 100,600 6,111
General Electric 1,101,100 57,945
Honeywell International 568,262 31,077
Minnesota Mining &
Manufacturing 118,300 10,144
PPG Industries 200,000 9,913
Tyco International Ltd. 750,800 35,335
--------
154,620
--------
Office/Business Equipment -- 0.0%
Lanier Worldwide* 11,100 20
--------
Paper & Paper Products -- 1.2%
Boise Cascade 69,700 2,030
Champion International 84,410 6,162
Consolidated Papers 77,327 2,890
Fort James 112,400 2,543
Georgia-Pacific Group 115,200 3,773
International Paper 448,185 15,602
Mead 52,750 1,625
Westvaco 92,700 2,793
--------
37,418
--------
Petroleum & Fuel Products -- 4.8%
Amerada Hess 123,300 8,184
BP Amoco PLC ADR 67,208 3,654
Chevron 113,800 10,519
Cooper Cameron* 95,700 6,675
Ensco International 36,800 1,286
Exxon Mobil 550,751 45,884
Kerr-McGee 158,600 9,466
Noble Drilling* 331,300 14,370
11
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
LARGE CAP FUND--CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Occidental Petroleum 348,228 $ 8,249
Phillips Petroleum 503,000 28,797
Tosco 120,700 3,696
Ultramar Diamond Shamrock 158,100 4,101
USX-Marathon Group 258,900 7,039
--------
151,920
--------
Petroleum Refining -- 0.1%
Valero Energy 161,600 4,727
--------
Photographic Equipment & Supplies -- 0.2%
Eastman Kodak 95,500 5,706
--------
Railroads -- 1.8%
Burlington Northern Santa Fe 346,600 8,188
Canadian Pacific Ltd. 95,600 2,306
CSX 276,574 6,015
Kansas City Southern Industries 327,000 21,991
Norfolk Southern 432,400 7,702
Union Pacific 269,875 11,419
--------
57,621
--------
Retail -- 6.0%
BJ's Wholesale Club* 149,200 4,625
Darden Restaurants 409,600 7,040
Dillards, Cl A 83,700 1,250
Federated Department Stores* 200,900 7,735
Gap 199,800 7,006
Home Depot 1,138,635 55,580
Kohl's* 634,100 32,815
Lowe's 290,000 13,503
MAY Department Stores 323,632 9,729
Sears, Roebuck 507,700 18,753
TJX 139,500 3,017
Toys "R" Us* 167,200 2,633
Wal-Mart Stores 458,400 26,415
--------
190,101
--------
Rubber-Tires -- 0.2%
Cooper Tire & Rubber 72,530 875
Goodyear Tire & Rubber 181,200 4,507
--------
5,382
--------
Semi-Conductors/Instruments -- 7.3%
Altera* 358,700 30,803
Analog Devices* 200,200 15,415
Applied Materials* 400,500 33,442
Conexant Systems* 2,100 79
Intel 716,736 89,368
Kla-Tencor* 147,600 7,315
LSI Logic* 42,600 2,245
PMC-Sierra* 34,500 5,287
SDL* 9,000 2,039
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Teradyne* 242,500 $ 20,855
Texas Instruments 348,200 25,157
---------
232,005
---------
Software -- 3.5%
Adobe Systems 84,300 9,489
America Online* 150,300 7,966
Intuit* 134,100 4,861
Microsoft* 726,270 45,437
Oracle* 116,000 8,338
Pixar* 179,300 6,141
Psinet* 85,500 2,228
Reynolds & Reynolds, Cl A 59,900 1,310
Siebel Systems* 155,500 18,194
Symantec* 103,700 6,818
---------
110,782
---------
Telephones & Telecommunication -- 6.4%
Alltel 95,546 6,252
Amdocs Ltd.* 92,200 5,711
AT&T 573,750 19,902
AT&T Wireless Group* 650,000 18,566
BellSouth 580,286 27,092
COX Communications, Cl A* 183,300 8,088
Echostar Communications, Cl A* 182,200 7,277
GTE 418,000 26,439
Harris 78,600 2,402
McLeod USA, Cl A* 296,400 5,928
Nextel Communications, Cl A* 78,700 7,290
Nortel Networks 77,000 4,182
SBC Communications 557,400 24,351
Sprint (FON Group) 156,300 9,456
Telephone & Data Systems 96,500 10,229
US West 75,900 5,465
Vodafone AirTouch PLC 154,800 7,092
Worldcom* 233,100 8,770
---------
204,492
---------
Trucking -- 0.2%
United Parcel Service 73,600 4,407
Yellow* 109,800 1,798
---------
6,205
---------
Wholesale -- 0.5%
Costco Wholesale* 244,700 7,815
Genuine Parts 142,700 3,407
Ingram Micro, Cl A* 102,600 1,731
Tech Data* 38,400 1,442
---------
14,395
---------
Total Common Stocks
(Cost $2,613,093) 3,114,549
---------
12
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
U.S. Treasury Obligation -- 0.1%
U.S. Treasury Bill (A)
0.000%, 11/09/00 $ 2,500 $ 2,431
---------
Total U.S. Treasury Obligation
(Cost $2,434) 2,431
---------
Commercial Paper -- 0.4%
Ford Motor Credit
6.480%, 06/02/00 11,286 11,284
---------
Total Commercial Paper
(Cost $11,022) 11,284
---------
Money Market -- 0.1%
Evergreen Select Money
Market Fund 3,716,229 3,716
---------
Total Money Market
(Cost $3,716) 3,716
---------
Repurchase Agreement -- 1.0%
Morgan Stanley
6.430%, dated 05/31/00, matures
06/01/00, repurchase price $32,219,037
(collateralized by Resolution Trust
Funding Corporation, total par value
$123,370,000, 8.125%, 10/15/19,
total market value $33,467,567) $32,213 32,213
---------
Total Repurchase Agreement
(Cost $32,213) 32,213
---------
Total Investments--99.4%
(Cost $2,662,478) 3,164,193
---------
Other Assets and Liabilities, Net--0.6% 20,033
---------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
--------------------------------------------------------------------------------
Net Assets:
Fund Shares (unlimited authorization --
no par value) based on 163,477,037
outstanding shares of beneficial interest $2,606,637
Undistributed net investment income 5,609
Accumulated net realized gain
on investments 70,407
Net unrealized appreciation on investments 501,715
Net unrealized depreciation on
futures contracts (142)
----------
Total Net Assets--100.0% $3,184,226
==========
Net Asset Value, Offering and
Redemption Price Per Share $19.48
==========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY, OR PORTION THEREOF, HAS BEEN PLEDGED AS COLLATERAL ON OPEN
FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
LTD. -- LIMITED
PLC -- PUBLIC LIABILITY COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
13
<PAGE>
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
LARGE CAP VALUE FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Common Stocks -- 97.0%
Aerospace & Defense -- 1.5%
BF Goodrich 7,800 $ 277
Boeing 36,600 1,430
Litton Industries* 15,200 653
United Technologies 16,400 991
--------
3,351
--------
Air Transportation -- 0.7%
AMR* 10,800 308
Delta Air Lines 24,300 1,250
--------
1,558
--------
Apparel/Textiles -- 0.2%
VF 16,000 459
--------
Automotive -- 2.5%
Dana 23,100 596
Delphi Automotive Systems 10,700 193
Ford Motor 70,500 3,424
General Motors 12,300 869
Navistar International* 13,700 440
--------
5,522
--------
Banks -- 10.1%
Astoria Financial 16,800 458
Bank of America 123,900 6,884
Bank One 49,700 1,643
Chase Manhattan 37,500 2,801
First Union 31,300 1,101
Firstar 67,000 1,713
Fleet Boston Financial 74,200 2,806
Golden West Financial 24,300 1,015
Greenpoint Financial 4,500 94
PNC Financial Services Group 52,700 2,655
UnionBanCal 24,600 843
--------
22,013
--------
Broadcasting, Newspapers & Advertising -- 2.7%
AT&T-Liberty Media Group, Cl A* 12,100 536
Fox Entertainment Group, Cl A* 5,400 141
Gannett 31,000 2,007
Viacom, Cl B* 9,656 599
Walt Disney 62,100 2,620
--------
5,903
--------
Building & Construction -- 0.6%
Centex 21,800 452
Fluor 12,200 396
Pulte 19,600 435
--------
1,283
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Building & Construction Supplies -- 0.5%
American Standard* 3,800 $ 176
Lafarge 20,900 533
Owens Corning 6,900 107
Texas Industries 5,900 169
--------
985
--------
Chemicals -- 2.5%
Ashland 2,100 73
Cabot 4,900 128
Dow Chemical 34,325 3,675
Eastman Chemical 11,900 542
Lubrizol 7,900 183
Praxair 11,500 483
Union Carbide 7,200 394
--------
5,478
--------
Computers & Services -- 2.7%
Apple Computer* 9,400 790
Brocade Communications System* 6,700 790
DST Systems* 3,400 255
Electronics for Imaging* 10,700 394
International Business Machines 8,700 934
NCR* 31,600 1,333
Seagate Technology* 16,500 957
Unisys* 14,300 388
--------
5,841
--------
Containers & Packaging -- 0.6%
Ball 11,000 327
Crown Cork & Seal 10,100 173
Owens-Illinois* 17,800 200
Smurfit-Stone Container* 26,400 375
Sonoco Products 11,800 260
--------
1,335
--------
Drugs -- 1.3%
Bergen Brunswig, Cl A 6,200 32
Merck 20,500 1,530
Pharmacia 12,900 670
Schering-Plough 14,600 706
--------
2,938
--------
Electrical Services -- 6.7%
Ameren 14,400 528
American Electric Power 18,800 669
Central & South West 30,100 626
Cinergy 14,000 373
Consolidated Edison 28,200 920
Constellation Energy Group 32,200 1,105
DTE Energy 15,500 536
Edison International 35,600 761
14
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Energy East 33,000 $ 705
FirstEnergy 2,200 55
FPL Group 26,700 1,322
New Century Energies 16,000 538
Northern States Power 12,400 274
PG&E 57,700 1,497
Pinnacle West Capital 19,200 686
Public Service Enterprise Group 65,200 2,429
Southern 58,000 1,504
Wisconsin Energy 10,600 224
--------
14,752
--------
Electronics -- 0.5%
Arrow Electronics* 11,700 410
Avnet 5,100 353
Thomas & Betts 10,500 298
--------
1,061
--------
Financial Services -- 9.4%
American Express 20,100 1,082
Bear Stearns 21,000 827
Citigroup 112,780 7,013
Countrywide Credit Industries 21,900 673
Household International 21,900 1,029
J.P. Morgan 22,100 2,845
Lehman Brothers Holdings 11,300 872
MBNA 63,760 1,777
Merrill Lynch 9,400 927
Metris 11,600 429
Morgan Stanley Dean Witter 41,400 2,978
--------
20,452
--------
Food, Beverage & Tobacco -- 2.5%
Adolph Coors, Cl B 7,600 427
Conagra 57,000 1,315
Earthgrains 10,600 175
Great Atlantic & Pacific TEA 10,900 200
IBP 34,500 569
Nabisco Group Holdings 14,600 318
Philip Morris 27,300 713
Ruddick 14,300 198
Supervalu 67,469 1,404
Tyson Foods, Cl A 5,100 50
--------
5,369
--------
Gas/Natural Gas -- 1.1%
BJ Services* 17,000 1,218
KeySpan 13,600 415
National Fuel Gas 7,700 399
Sempra Energy 19,100 359
--------
2,391
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Hotels & Lodging -- 0.6%
Starwood Hotels & Resorts
Worldwide 42,400 $ 1,253
--------
Household Furniture & Fixtures -- 1.3%
Maytag 22,200 727
Whirlpool 37,800 2,143
--------
2,870
--------
Household Products -- 0.4%
Fortune Brands 28,800 767
--------
Insurance -- 8.4%
Aetna 8,700 581
Allstate 12,900 342
AMBAC Financial Group 17,800 897
American General 9,200 589
American International Group 34,212 3,851
Chubb 16,000 1,120
Cigna 29,300 2,602
Financial Security Assurance
Holdings Ltd. 5,300 398
Hartford Financial Services Group 17,800 1,052
Lincoln National 12,700 492
Marsh & McLennan 20,000 2,201
MBIA 9,000 520
PMI Group 17,500 888
St. Paul 31,400 1,178
Unitedhealth Group 20,700 1,543
--------
18,254
--------
Machinery -- 1.9%
Cummins Engine 40,500 1,319
Deere 12,700 528
Dover 20,300 944
Rockwell International 19,600 804
Tecumseh Products, Cl A 11,900 538
--------
4,133
--------
Medical Products & Services -- 1.1%
Bausch & Lomb 8,700 605
Mallinckrodt 27,900 807
St. Jude Medical* 30,700 1,103
--------
2,515
--------
Metal Fabricate/Hardware -- 0.1%
Timken 16,200 306
--------
15
<PAGE>
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
LARGE CAP VALUE FUND--CONTINUED
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Metals & Mining -- 0.4%
Alcan Aluminium Ltd. 17,500 $ 574
Alcoa 7,000 409
--------
983
--------
Miscellaneous Manufacturing -- 3.9%
Cooper Industries 16,100 539
Eaton 400 29
FMC* 18,500 1,124
Honeywell International 45,400 2,483
Minnesota Mining &
Manufacturing 20,500 1,758
PPG Industries 33,100 1,641
Tyco International Ltd. 19,600 922
--------
8,496
--------
Paint & Related Products -- 0.0%
Sherwin-Williams 3,100 72
--------
Paper & Paper Products -- 2.5%
Boise Cascade 11,000 320
Champion International 6,600 482
Fort James 36,900 835
Georgia-Pacific Group 19,000 622
International Paper 74,800 2,604
Mead 7,700 237
Westvaco 9,200 277
--------
5,377
--------
Petroleum & Fuel Products -- 10.1%
Amerada Hess 21,100 1,401
BP Amoco PLC ADR 10,836 589
Chevron 18,700 1,729
Ensco International 6,100 213
Exxon Mobil 93,600 7,798
Kerr-McGee 27,200 1,624
Occidental Petroleum 60,700 1,438
Phillips Petroleum 81,400 4,660
Tosco 21,000 643
Ultramar Diamond Shamrock 20,300 527
Unocal 5,100 196
USX-Marathon Group 45,100 1,226
--------
22,044
--------
Petroleum Refining -- 0.4%
Valero Energy 28,000 819
--------
Photographic Equipment & Supplies -- 0.4%
Eastman Kodak 14,200 848
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Railroads -- 2.3%
Burlington Northern Santa Fe 50,500 $ 1,193
CSX 30,000 653
Norfolk Southern 63,800 1,136
Union Pacific 48,800 2,065
--------
5,047
--------
Retail -- 3.7%
BJ's Wholesale Club* 25,500 791
Darden Restaurants 67,600 1,162
Federated Department Stores* 27,400 1,055
Lowe's 17,800 829
MAY Department Stores 34,400 1,034
Sears, Roebuck 63,300 2,338
TJX 24,100 521
Toys "R" US* 26,500 417
--------
8,147
--------
Rubber-Tires -- 0.5%
Cooper Tire & Rubber 15,900 192
Goodyear Tire & Rubber 34,400 856
--------
1,048
--------
Semi-Conductors/Instruments -- 1.4%
Conexant Systems* 400 15
Kla-Tencor* 25,500 1,264
LSI Logic* 7,300 385
SDL* 1,500 340
Teradyne* 11,400 980
--------
2,984
--------
Software -- 0.6%
Reynolds & Reynolds, Cl A 10,200 223
Symantec* 16,100 1,059
--------
1,282
--------
Telephones & Telecommunication -- 10.0%
Alltel 16,400 1,073
AT&T 99,335 3,446
BellSouth 97,100 4,533
GTE 70,445 4,456
Harris 15,100 461
SBC Communications 96,200 4,203
Sprint (FON Group) 14,600 883
Telephone & Data Systems 17,600 1,866
US West 11,700 842
--------
21,763
--------
Trucking -- 0.5%
United Parcel Service 12,700 760
Yellow* 20,200 331
--------
1,091
--------
16
<PAGE>
--------------------------------------------------------------------------------
LARGE CAP VALUE FUND--
CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Wholesale -- 0.4%
Genuine Parts 14,200 $ 339
Ingram Micro, Cl A* 20,500 346
Tech Data* 7,000 263
--------
948
--------
Total Common Stocks
(Cost $205,374) 211,738
--------
U.S. Treasury Obligation -- 0.0%
U.S. Treasury Bill (A)
0.000%, 11/09/00 $ 100 97
--------
Total U.S. Treasury Obligation
(Cost $97) 97
--------
Money Market -- 0.0%
Evergreen Select Money
Market Fund 96,821 97
--------
Total Money Market
(Cost $97) 97
--------
Repurchase Agreement -- 2.3%
Morgan Stanley
6.430%, dated 05/31/00, matures
06/01/00, repurchase price
$5,061,609 (collateralized by
FNMA Obligations, total par value
$5,230,000, 6.850%, 08/22/05,
total market value $5,162,719) 5,061 5,061
--------
Total Repurchase Agreement
(Cost $5,061) 5,061
--------
Total Investments--99.3%
(Cost $210,629) 216,993
--------
Other Assets and Liabilities, Net--0.7% 1,555
--------
Total Net Assets--100.0% $218,548
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY, OR PORTION THEREOF, HAS BEEN PLEDGED AS COLLATERAL ON OPEN
FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
LTD. -- LIMITED
PLC -- PUBLIC LIABILITY COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
LARGE CAP GROWTH FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Common Stocks -- 93.9%
Aerospace & Defense -- 0.8%
United Technologies 30,500 $ 1,843
--------
Air Transportation -- 0.5%
Southwest Airlines 65,100 1,249
--------
Automotive -- 0.2%
Delphi Automotive Systems 26,600 480
--------
Banks -- 1.3%
Bank of America 19,300 1,072
Bank One 11,000 364
Chase Manhattan 19,800 1,479
--------
2,915
--------
Beauty Products -- 1.3%
Colgate-Palmolive 33,300 1,752
Gillette 21,400 714
Procter & Gamble 8,800 585
--------
3,051
--------
Biotechnology -- 1.3%
Amgen* 26,700 1,699
Biogen* 24,100 1,313
--------
3,012
--------
Broadcasting, Newspapers & Advertising -- 5.5%
AT&T-Liberty Media Group, Cl A* 100,300 4,445
MediaOne Group* 29,150 1,948
Metro-Goldwyn-Mayer* 21,300 604
Time Warner 50,200 3,963
Viacom, Cl B* 30,500 1,891
--------
12,851
--------
Commercial Services -- 0.7%
Paychex 46,800 1,638
--------
Communications Equipment -- 6.4%
Ciena* 10,000 1,197
Corning 15,700 3,037
Ericsson ADR 69,000 1,415
Foundry Networks* 3,000 189
JDS Uniphase* 10,450 920
Lucent Technologies 12,600 723
Metromedia Fiber Network* 41,900 1,296
Nextel Partners, Cl A* 11,250 191
Nokia ADR 114,800 5,970
--------
14,938
--------
17
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
LARGE CAP GROWTH FUND -- CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Computers & Services -- 10.9%
Apple Computer* 8,100 $ 680
Cisco Systems* 196,200 11,171
Dell Computer* 139,800 6,029
EMC-Mass* 18,900 2,198
Extreme Networks* 8,700 425
International Business Machines 4,427 475
Network Appliance* 3,900 252
Sandisk* 12,300 715
Sun Microsystems* 35,950 2,755
VeriSign* 4,600 623
--------
25,323
--------
Drugs -- 12.1%
Alza* 10,600 539
Bristol-Myers Squibb 64,539 3,554
Eli Lilly 13,400 1,020
Medimmune* 3,850 598
Merck 30,100 2,246
Pfizer 101,600 4,528
Pharmacia 28,000 1,454
Schering-Plough 75,900 3,672
Teva Pharmaceutical 24,550 1,323
Warner-Lambert 75,925 9,272
--------
28,206
--------
Electrical Services -- 1.2%
AES* 32,700 2,853
--------
Electronics -- 2.8%
Agilent Technologies* 5,700 420
Credence Systems* 10,200 558
Maxim Integrated Products* 35,600 2,258
PE Biosystems Group 6,550 364
Solectron* 86,700 2,867
--------
6,467
--------
Financial Services -- 6.0%
American Express 22,300 1,200
Charles Schwab 62,400 1,794
Citigroup 59,200 3,682
MBNA 32,000 892
Morgan Stanley Dean Witter 52,164 3,753
Providian Financial 18,300 1,628
T. Rowe Price & Associates 22,600 863
--------
13,812
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Food, Beverage & Tobacco -- 1.8%
Kroger* 71,500 $ 1,421
Safeway* 58,501 2,698
--------
4,119
--------
Household Furniture & Fixtures -- 0.3%
Gemstar International Group Ltd.* 14,600 620
--------
Insurance -- 3.0%
American International Group 33,300 3,748
Progressive-Ohio 34,300 3,220
--------
6,968
--------
Medical Products & Services -- 2.2%
Allergan 15,000 1,030
Medtronic 79,200 4,089
--------
5,119
--------
Miscellaneous Manufacturing -- 5.6%
General Electric 131,000 6,894
Honeywell International 38,550 2,108
Tyco International Ltd. 84,150 3,960
--------
12,962
--------
Petroleum & Fuel Products -- 1.1%
Cooper Cameron* 11,700 816
Noble Drilling* 39,293 1,704
--------
2,520
--------
Railroads -- 1.1%
Kansas City Southern Industries 38,600 2,596
--------
Retail -- 6.6%
Gap 23,900 838
Home Depot 135,250 6,602
Kohl's* 75,200 3,892
Lowe's 24,150 1,124
Wal-Mart Stores 49,900 2,875
--------
15,331
--------
Semi-Conductors/Instruments -- 11.4%
Altera* 49,600 4,259
Analog Devices* 24,500 1,887
Applied Materials* 47,600 3,975
Intel 85,700 10,686
PMC-Sierra* 3,600 552
Teradyne* 23,150 1,991
Texas Instruments 42,300 3,056
--------
26,406
--------
18
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Software -- 5.5%
Adobe Systems 11,000 $ 1,238
America Online* 17,000 901
Intuit* 17,500 634
Microsoft* 87,500 5,474
Oracle* 16,500 1,186
Pixar* 21,000 719
Psinet* 10,450 272
Siebel Systems* 20,300 2,375
--------
12,799
--------
Telephones & Telecommunication -- 3.9%
Amdocs Ltd.* 11,300 700
AT&T Wireless Group* 75,000 2,142
COX Communications, Cl A* 21,500 949
Echostar Communications, Cl A* 22,300 891
McLeod USA, Cl A* 38,400 768
Nextel Communications, Cl A* 9,600 889
Nortel Networks 9,600 521
Sprint (FON Group) 16,300 986
Vodafone AirTouch PLC 11,050 506
Worldcom* 21,400 805
--------
9,157
--------
Wholesale -- 0.4%
Costco Wholesale* 29,550 944
--------
Total Common Stocks
(Cost $227,221) 218,179
--------
U.S. Treasury Obligation -- 0.2%
U.S. Treasury Bill (A)
0.000%, 11/09/00 $ 475 462
--------
Total U.S. Treasury Obligation
(Cost $463) 462
--------
Commercial Paper -- 0.4%
Ford Motor Credit
6.480%, 06/02/00 931 931
--------
Total Commercial Paper
(Cost $931) 931
--------
Money Market -- 0.8%
Evergreen Select Money
Market Fund 1,812,245 1,812
--------
Total Money Market
(Cost $1,812) 1,812
--------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT(000) VALUE (000)
--------------------------------------------------------------------------------
Repurchase Agreement -- 1.6%
Morgan Stanley
6.430%, dated 05/31/00,
matures 06/01/00, repurchase
price $3,722,134 (collateralized
by Resolution Trust Funding
Corporation, total par value
$14,190,000, 8.125%, 10/15/19,
total market value $3,849,435) $3,721 $ 3,721
--------
Total Repurchase Agreement
(Cost $3,721) 3,721
--------
Total Investments--96.9%
(Cost $234,148) 225,105
--------
Other Assets and Liabilities, Net--3.1% 7,295
--------
Net Assets:
Fund Shares (unlimited authorization --
no par value) based on 23,322,766
outstanding shares of beneficial interest 246,496
Undistributed net investment income 140
Accumulated net realized loss
on investments (5,285)
Net unrealized depreciation on investments (9,043)
Net unrealized appreciation on
futures contracts 92
--------
Total Net Assets--100.0% $232,400
========
Net Asset Value, Offering and
Redemption Price Per Share $9.96
========
* NON-INCOME PRODUCING SECURITY
(A) SECURITY, OR PORTION THEREOF, HAS BEEN PLEDGED AS COLLATERAL ON OPEN
FUTURES CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
LTD. -- LIMITED
PLC -- PUBLIC LIABILITY COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
19
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
SMALL CAP FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
COMMONS STOCKS -- 97.9%
Aerospace & Defense -- 1.0%
Alliant Techsystems* 22,339 $ 1,541
Anaren Microwave* 30,000 3,045
Gencorp 86,700 851
Howmet International* 23,200 468
Primex Technologies 40,700 783
Remec* 14,600 495
Tredegar 17,100 436
--------
7,619
--------
Air Transportation -- 0.5%
Alaska Airgroup* 12,800 398
America West Holdings, Cl B* 66,900 1,192
Hawaiian Airlines* 486,900 1,217
Offshore Logistics* 37,100 524
Skywest 19,900 759
--------
4,090
--------
Apparel/Textiles -- 2.6%
Columbia Sportswear* 120,900 3,174
Guilford Mills 112,600 739
Jones Apparel Group* 126,700 3,397
Kellwood 58,800 992
Phillips-Van Heusen 259,400 2,254
Polo Ralph Lauren* 416,600 5,832
Quiksilver* 176,800 2,409
RG Barry* 85,100 293
Springs Industries, Cl A 23,700 1,126
--------
20,216
--------
Automotive -- 0.7%
Arvin Industries 17,510 315
Borg-Warner Automotive 56,300 2,238
Midas 55,600 1,442
Standard Motor Products 26,100 253
Superior Industries International 45,900 1,282
--------
5,530
--------
Banks -- 3.3%
Andover Bancorp 14,612 426
Astoria Financial 8,200 223
Bancwest 69,800 1,304
Bank United, Cl A 58,800 2,109
Chittenden 32,000 886
City National 19,100 745
Cullen/Frost Bankers 28,200 747
Dime Bancorp 80,435 1,468
Dime Community Bancshares 39,000 636
Downey Financial 41,340 1,230
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Firstfed Financial* 27,400 $ 368
Flagstar Bancorp 47,000 441
Imperial Bancorp* 28,200 501
OceanFirst Financial 22,600 383
Pacific Century Financial 120,900 2,720
PBOC Holdings* 120,800 1,095
Silicon Valley Bancshares* 122,200 4,010
Staten Island Bancorp 79,700 1,350
UMB Financial 14,420 534
Washington Federal 69,300 1,416
Webster Financial 60,600 1,398
West Coast Bancorp-Oregon 8,700 95
Westamerica Bancorporation 31,500 900
Whitney Holding 15,700 611
--------
25,596
--------
Biotechnology -- 0.5%
Neose Technologies* 114,900 3,174
PE-Celera Genomics Group* 9,800 545
Praecis Pharmaceuticals* 7,000 115
--------
3,834
--------
Broadcasting, Newspapers & Advertising -- 1.9%
Advo* 70,200 2,255
Citadel Communications* 29,650 1,188
Courier 26,025 670
COX Radio, Cl A* 45,300 1,291
Cumulus Media* 17,750 202
Entercom Communications* 14,600 664
Getty Images* 61,000 2,009
Grey Advertising 4,322 2,033
Lamar Advertising* 31,600 1,268
RH Donnelley* 49,000 906
Spanish Broadcasting System, Cl A* 31,450 535
TMP Worldwide* 10,800 597
True North Communications 14,000 612
Young Broadcasting, Cl A* 19,700 453
--------
14,683
--------
Building & Construction -- 2.6%
Centex 31,900 662
Champion Enterprises* 73,400 417
DR Horton 69,000 901
Dycom Industries* 94,700 4,587
EMCOR Group* 154,100 3,400
Fleetwood Enterprises 54,300 774
Granite Construction 19,400 506
Insituform Technologies, Cl A* 63,800 2,205
Jacobs Engineering Group* 72,000 2,394
MDC Holdings 49,190 950
20
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Pulte 73,700 $ 1,635
Ryland Group 39,900 885
Standard-Pacific 53,400 607
Winnebago Industries 30,700 430
--------
20,353
--------
Building & Construction Supplies -- 1.0%
Centex Construction Products 36,200 1,086
Dal-Tile International* 90,000 816
Elcor 14,300 273
Genlyte Group* 122,100 2,473
Johns Manville 29,400 336
Modine Manufacturing 79,400 1,598
Nortek* 17,000 364
Simpson Manufacturing* 8,400 400
--------
7,346
--------
Chemicals -- 1.1%
Albemarle 36,600 805
American Pacific* 96,000 564
Arch Chemicals* 300 5
Cambrex 13,600 573
CFC International* 24,300 140
Crompton 31,500 382
Cytec Industries* 29,700 806
Ethyl 85,800 220
Geon 44,900 965
Minerals Technologies 12,300 569
Olin 102,400 1,600
Surmodics* 13,600 325
WR Grace* 57,100 717
Wellman 27,300 537
--------
8,208
--------
Commercial Services -- 3.1%
Albany Molecular Research* 21,500 1,119
Aurora Biosciences* 17,700 840
Burns International Services* 43,500 506
CDI* 32,200 694
Circle.com* 150,650 537
Concord EFS* 59,600 1,445
Forrester Research* 8,150 488
Gartner Group, Cl A* 39,900 531
Hall Kinion & Associates* 91,800 2,341
Hooper Holmes 58,700 602
Interim Services* 47,000 946
Learning Tree International* 68,700 3,615
Mail-Well* 40,300 378
Memberworks* 28,100 906
Modis Professional Services* 48,100 493
Orthodontic Centers Of America* 34,700 796
Professional Detailing* 20,150 539
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Profit Recovery Group
International* 100,900 $ 1,829
Quanta Services* 96,700 4,738
Student Advantage* 50,850 156
Teletech Holdings* 18,400 603
--------
24,102
--------
Communications Equipment -- 2.3%
American Tower, Cl A* 44,200 1,641
Andrew* 70,900 2,490
AudioCodes Ltd.* 10,200 745
Aware* 21,300 943
Cobalt Networks* 49,000 1,311
Commscope* 87,500 3,380
Ditech Communications* 22,100 1,812
Efficient Networks* 14,700 713
Netro* 5,200 155
Next Level Communications* 10,100 516
Powerwave Technologies* 32,700 1,772
Sonus Networks* 150 11
Spectrasite Holdings* 37,300 632
Turnstone Systems* 13,800 1,214
Vyyo* 10,650 157
--------
17,492
--------
Computers & Services -- 6.8%
Anixter International* 168,900 4,771
APEX* 210,100 7,642
Astro-Med 1,300 7
Auspex Systems* 184,700 877
Avant!* 40,000 630
Black Box* 56,500 4,435
Brooktrout* 23,600 532
Catapult Communications* 48,400 384
Check Point Software Technologies* 6,000 1,127
Coolsavings.com* 17,600 110
Cybex Computer Products* 111,450 3,734
Digital Insight* 81,000 3,108
Entrust Technologies* 28,900 1,409
Espeed, Cl A* 18,300 474
Extreme Networks* 13,800 674
Filenet* 20,500 430
Immersion* 150,600 2,447
IMRglobal* 22,500 371
In Focus Systems* 20,000 559
Interlink Electronics* 43,800 944
InterVoice-Brite* 93,800 1,337
ISS Group* 21,500 1,591
Lante* 9,000 181
Liveperson* 38,100 291
M-Systems Flash Disk Pioneers* 3,450 209
Mentor Graphics* 369,300 6,324
MMC Networks* 29,200 953
21
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
SMALL CAP FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Paradyne Networks* 6,600 $ 186
Quantum-Hard Disk Drive Group* 43,800 413
Radisys* 24,250 946
S3* 19,900 318
SonicWall,* 39,400 2,374
Sykes Enterprises* 18,800 363
Synopsys* 45,100 2,134
--------
52,285
--------
Containers & Packaging -- 0.5%
Greif Brothers, Cl A 40,200 1,246
Longview Fibre 246,900 2,963
--------
4,209
--------
Dental Supplies & Equipment -- 0.1%
Patterson Dental* 11,900 606
--------
Drugs -- 4.1%
Abgenix* 40,000 3,160
Accredo Health* 144,650 3,472
Alkermes* 43,700 1,601
Alpharma, Cl A 17,000 841
Barr Laboratories* 35,300 1,911
Bindley Western Industries 37,134 708
Celgene* 10,200 375
Connetics* 123,100 1,046
COR Therapeutics* 27,600 1,749
Cubist Pharmaceuticals* 16,500 472
Dura Pharmaceuticals* 55,300 646
First Horizon Pharmaceutical* 110,000 880
Geltex Pharmaceuticals* 70,200 1,378
King Pharmaceuticals* 27,300 1,461
Medarex* 17,400 792
NBTY* 301,900 4,812
Neurocrine Biosciences* 4,300 91
Noven Pharmaceuticals* 52,000 968
Perrigo* 77,400 464
Pharmacyclics* 23,100 976
Sangstat Medical* 18,500 493
SICOR* 311,800 2,670
Vertex Pharmaceuticals* 12,900 953
--------
31,919
--------
Electrical Components & Equipment -- 1.6%
Belden 15,400 422
Cable Design Technologies* 112,400 3,112
Insteel Industries 37,000 213
Littelfuse* 60,600 2,432
Power-One* 72,800 6,379
--------
12,558
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Electrical Services -- 1.4%
Avista 10,400 $ 233
Cleco 22,900 784
Conectiv 55,800 931
EL Paso Electric* 156,200 1,855
Energy East 4,200 90
Hawaiian Electric Industries 22,600 798
Idacorp 19,100 670
Independent Energy Holdings
PLC ADR* 24,100 539
Ipalco Enterprises 20,700 411
Northwestern 11,100 258
NSTAR 15,125 651
Public Service-New Mexico 105,400 1,759
RGS Energy Group 33,400 802
United Illuminating 13,400 635
--------
10,416
--------
Electronics -- 6.0%
Avnet 59,900 4,144
Coherent* 200 11
Credence Systems* 10,600 580
Electro Scientific Industries* 50,400 2,381
FEI* 337,750 6,079
Hadco* 18,600 1,641
Integrated Device Technology* 121,300 5,754
Kemet* 99,500 6,685
Kent Electronics* 118,900 3,299
Micron Electronics* 20,000 186
Newport 700 119
Photon Dynamics* 7,700 464
Power Integrations* 64,900 1,509
Robotic Vision Systems* 201,400 2,379
Sawtek* 76,000 4,888
Sensormatic Electronics* 292,600 4,590
Stoneridge* 15,800 178
Tektronix 18,500 990
Trimble Navigation Ltd.* 13,800 610
--------
46,487
--------
Entertainment -- 1.4%
Anchor Gaming* 16,900 755
Aztar* 243,300 3,102
Cinar, Cl B* (B) 20,000 60
Macrovision* 68,900 4,814
Zomax* 94,900 1,690
--------
10,421
--------
Environmental Services -- 0.1%
Gundle/SLT Environmental* 22,100 69
Harding Lawson Associates Group* 18,800 214
Newpark Resources* 47,500 398
Sevenson Environmental Services 8,100 89
--------
770
--------
22
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Financial Services -- 3.0%
Affiliated Managers Group* 78,100 $ 2,616
Blackrock* 27,000 650
Dain Rauscher 68,300 4,072
Doral Financial 103,800 1,155
Financial Federal* 51,900 921
Friedman, Billings, Ramsey
Group, Ser A* 176,400 1,125
Heller Financial 21,600 408
John Nuveen, Cl A 43,300 1,789
Knight Trading Group, Cl A* 15,300 445
Metris 85,500 3,163
Morgan Keegan 64,000 1,032
Neuberger Berman 25,500 894
NextCard* 43,600 422
Waddell & Reed Financial, Cl A 175,800 4,824
--------
23,516
--------
Food, Beverage & Tobacco -- 0.9%
Adolph Coors, Cl B 12,660 712
Canandaigua Brands, Cl A* 10,000 524
Corn Products International 32,200 791
Del Monte Foods* 178,000 1,524
Fleming 42,500 598
International Home Foods* 38,900 661
Pilgrims Pride, Cl A 8,950 53
Pilgrims Pride, Cl B 17,900 143
Ralcorp Holdings* 38,300 488
Robert Mondavi, Cl A* 14,500 455
Universal Foods 10,800 186
Universal-Va 47,800 1,108
--------
7,243
--------
Gas/Natural Gas -- 0.9%
Energen 5,800 128
MDU Resources Group 10,500 240
Northwest Natural Gas 32,100 698
Oneok 61,100 1,780
Peoples Energy 8,100 275
Southwest Gas 25,900 497
UGI 71,400 1,580
Washington Gas Light 57,400 1,528
--------
6,726
--------
Hand/Machine Tools -- 0.7%
Franklin Electric 5,200 364
Lincoln Electric Holdings 185,900 2,765
Powell Industries* 78,900 648
Regal Beloit 103,400 1,732
--------
5,509
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Hotels & Lodging -- 0.5%
Four Seasons Hotels 21,200 $ 1,265
Starwood Hotels & Resorts
Worldwide 92,350 2,730
--------
3,995
--------
Household Furniture & Fixtures -- 1.1%
Chromcraft Revington* 17,200 191
Ethan Allen Interiors 51,300 1,193
Harman International Industries 22,800 1,320
Kimball International, Cl B 104,320 1,682
Polycom* 33,100 2,782
Salton* 38,700 1,226
--------
8,394
--------
Household Products -- 0.1%
Playtex Products* 50,600 588
Standard Register 8,200 111
--------
699
--------
Insurance -- 3.5%
Acceptance Insurance* 51,300 263
Annuity and Life Re 85,200 2,055
Arch Capital Group Ltd.* 66,400 996
Arthur J Gallagher 23,400 905
CNA Surety 32,100 401
Commerce Group 43,100 1,169
Delphi Financial Group, Cl A* 11,700 392
Everest Re Group Ltd. 16,900 575
FBL Financial Group, Cl A 24,900 364
First American Financial 83,400 1,387
HCC Insurance Holdings 34,600 590
Hilb, Rogal & Hamilton 71,000 2,223
IPC Holdings Ltd. 72,900 1,075
Leucadia National 31,300 816
Markel* 5,800 835
Mony Group 33,600 1,245
Mutual Risk Management Ltd. 18,600 314
Oxford Health Plans* 108,400 2,304
Pico Holdings* 66,200 724
Presidential Life 58,390 854
Radian Group 39,612 2,179
RLI 1,200 44
Scottish Annuity & Life
Holdings Ltd. 115,000 906
Scpie Holdings 14,100 343
Stancorp Financial Group 1,500 48
Stewart Information Services 116,500 1,471
WR Berkley 11,300 249
White Mountains Insurance Group 17,600 2,485
--------
27,212
--------
23
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
SMALL CAP FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Investment Companies -- 0.1%
Capital Southwest 16,200 $ 919
--------
Leasing & Renting -- 0.6%
Avis Group Holdings* 56,600 1,090
Gatx 21,200 714
Rent-A-Center* 24,300 489
Rent-Way* 33,000 881
Rollins Truck Leasing 44,850 423
Ryder System 12,000 230
Xtra* 10,400 469
--------
4,296
--------
Leisure Products -- 1.1%
Arctic Cat 165,000 1,774
Callaway Golf 217,000 3,933
Direct Focus* 70,600 2,259
Jakks Pacific* 47,700 692
--------
8,658
--------
Lumber & Wood Products -- 0.0%
Louisiana-Pacific 22,400 252
--------
Machinery -- 1.8%
Agco 51,300 641
Astec Industries* 25,200 652
Briggs & Stratton 54,600 2,184
Cognex* 69,000 3,730
Gehl* 11,400 204
Helix Technology 12,400 422
Imation* 25,600 725
JLG Industries 87,500 853
Kulicke & Soffa Industries* 12,000 604
Manitowoc 26,400 863
PRI Automation* 800 41
Tecumseh Products, Cl A 43,000 1,943
Thomas Industries 40,865 817
Twin Disc 13,400 208
--------
13,887
--------
Marine Transportation -- 0.2%
Alexander & Baldwin 59,400 1,374
--------
Measuring Devices -- 0.3%
Electroglas* 83,800 2,221
--------
Medical Products & Services -- 4.4%
America Service Group* 26,200 426
Beckman Coulter 7,700 463
Columbia Laboratories* 322,700 3,066
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Cooper 19,400 $ 669
Cytyc* 47,800 2,399
Diagnostic Products 27,400 853
Edwards Lifesciences* 31,400 638
First Health Group* 92,900 3,252
Impath* 23,400 1,286
LifePoint Hospitals* 162,600 3,486
Lincare Holdings* 30,400 882
Manor Care* 48,500 343
Meade Instruments* 7,700 384
Medical Manager* 6,800 150
MedQuist* 82,400 3,409
Molecular Devices* 15,650 835
National Dentex* 30,800 474
Province Healthcare* 15,050 423
Quest Diagnostics* 101,600 6,795
Renal Care Group* 13,300 318
Resmed* 18,800 451
Sola International* 27,600 138
Techne* 7,000 560
Thoratec Labs* 13,250 161
Triad Hospitals* 5,500 118
Trigon Healthcare* 6,700 335
Varian Medical Systems* 17,800 735
Wesley Jessen Visioncare* 36,100 1,333
--------
34,382
--------
Metal Fabricate/Hardware -- 1.4%
Amcast Industrial 21,900 189
Commercial Metals 44,300 1,166
Intermet 125,700 864
Kaydon 70,600 1,646
LB Foster, Cl A* 81,900 266
Maverick Tube* 69,400 2,442
Mueller Industries* 69,800 2,050
Precision Castparts 32,400 1,580
Velcro Industries NV 67,500 713
--------
10,916
--------
Metals & Mining -- 0.2%
Cleveland-Cliffs 75,800 1,928
--------
Miscellaneous Business Services-- 0.3%
Ebenx* 1,500 24
Kronos* 10,300 306
Netcentives* 16,600 176
Verio* 35,300 2,008
--------
2,514
--------
24
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Miscellaneous Manufacturing -- 1.7%
AO Smith 35,850 $ 753
AptarGroup 28,700 762
Barnes Group 21,160 353
Carlisle 56,100 2,332
Clarcor 94,600 1,673
Dexter 38,890 1,682
Esco Electronics* 27,900 492
FMC* 6,600 401
Justin Industries 71,500 1,247
Lancaster Colony 20,300 481
M&F Worldwide* 59,100 303
Mark IV Industries 40,500 861
National Service Industries 29,300 637
NCH 7,150 286
Pittston Brink's Group 46,700 709
Smith Investment 5,300 223
SPS Technologies* 5,500 193
--------
13,388
--------
Paper & Paper Products -- 0.2%
Pope & Talbot 38,900 722
Potlatch 24,400 924
Rock-Tenn, Cl A 28,200 270
--------
1,916
--------
Petroleum & Fuel Products -- 5.8%
Atwood Oceanics* 18,400 1,006
Barrett Resources* 37,400 1,480
Cabot Oil & Gas, Cl A 79,300 1,978
Callon Petroleum* 87,500 1,334
Cross Timbers Oil 17,700 360
Equitable Resources 15,900 791
Fletcher Challenge Energy ADR 22,000 583
Forest Oil* 128,900 2,054
Giant Industries* 24,400 215
Global Industries Ltd.* 22,400 395
Hanover Compressor* 32,700 1,919
Helmerich & Payne 77,900 2,902
Murphy Oil 16,700 1,083
Newfield Exploration* 86,600 3,626
Oceaneering International* 128,000 2,496
Patina Oil & Gas 58,100 1,006
Pogo Producing 82,000 1,968
Pride International* 20,100 511
Prima Energy* 15,400 639
Pure Resources* 12,441 187
Ranger Oil Ltd.* 41,900 210
Santa Fe Snyder* 260,800 3,293
Shaw Group* 60,600 2,644
Superior Energy Services* 172,600 1,748
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Swift Energy* 64,900 $ 1,667
Tom Brown* 108,600 2,376
Ultramar Diamond Shamrock 28,300 734
Varco International* 41,400 900
Vintage Petroleum 190,200 4,517
--------
44,622
--------
Petroleum Refining -- 0.5%
Valero Energy 134,400 3,931
--------
Photographic Equipment & Supplies -- 0.1%
Polaroid 53,400 1,025
--------
Printing & Publishing -- 0.1%
Banta 15,300 283
Hollinger International 32,800 400
Scholastic* 8,400 447
--------
1,130
--------
Professional Services -- 0.0%
F.Y.I.* 9,800 320
--------
Real Estate Investment Trusts -- 4.3%
Amli Residential Properties 67,600 1,542
Apartment Investment &
Managment 28,000 1,122
Arden Realty 71,000 1,633
Asset Investors 46,700 546
AvalonBay Communities 52,000 2,067
Boston Properties 47,150 1,647
Charles E Smith Residential 42,000 1,588
Cornerstone Properties 76,850 1,383
Equity Office Properties Trust 49,500 1,315
Equity Residential Properties
Trust 58,900 2,628
Essex Property Trust 34,500 1,374
Federal Realty Investment Trust 90,700 1,990
Franchise Finance 19,400 438
General Growth Properties 40,800 1,290
Healthcare Realty Trust 9,800 163
Highwoods Properties 44,650 1,074
Liberty Property Trust 64,150 1,604
Mack-Cali Realty 38,400 1,037
Pinnacle Holdings* 35,100 1,720
Post Properties 14,000 614
Prentiss Properties Trust 68,200 1,637
Public Storage 68,900 1,537
Spieker Properties 27,650 1,284
Urban Shopping Centers 53,200 1,782
Wilshire Real Estate Investment* 115,800 257
--------
33,272
--------
25
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
SMALL CAP FUND--CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Regulated Investment Company -- 0.2%
John Hancock Bank &
Thrift OPP FD 250,700 $ 1,786
--------
Retail -- 4.9%
99 Cents Only Stores* 14,500 521
Anntaylor Stores* 11,300 294
Barnes & Noble* 20,300 384
Barnett* 96,600 912
Brown Shoe 24,700 295
Cato, Cl A 51,800 641
CBRL Group 37,600 545
Charming Shoppes* 203,400 1,195
Cheesecake Factory* 93,000 3,703
Chico's FAS* 114,700 2,072
Childrens Place* 30,100 576
Dollar Tree Stores* 23,900 1,422
Dress Barn* 35,470 758
Factory 2-U Stores* 74,700 2,619
Footstar* 55,800 2,002
Haverty Furniture 60,300 678
HOT Topic* 87,300 2,226
Kenneth Cole Productions* 38,100 1,274
Pacific Sunwear of California* 77,800 1,250
PC Connection* 111,750 4,533
Rare Hospitality International* 20,800 569
Ruby Tuesday 42,200 417
Ryan's Family Steak Houses* 137,430 1,237
Shopko Stores* 28,500 524
Spiegel, Cl A 43,100 323
Talbots 26,000 1,485
Too* 52,450 1,344
Venator Group* 180,100 1,947
Zale* 48,200 1,832
--------
37,578
--------
Retirement/Aged Care -- 0.1%
Sunrise Assisted Living* 42,700 777
--------
Rubber & Plastic -- 0.1%
Tupperware 19,600 432
--------
Rubber-Tires -- 0.0%
Cooper Tire & Rubber 23,900 288
--------
Rubber Shoes -- 0.1%
Reebok International Ltd.* 33,600 466
--------
Semi-Conductors/Instruments -- 3.4%
ACT Manufacturing* 25,700 810
Actel* 124,900 3,638
Alpha Industries* 23,000 1,059
ATMI* 19,900 764
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Burr-Brown* 33,800 $ 1,924
Cree* 13,500 1,640
Cypress Semiconductor* 17,500 736
ESS Technology* 25,700 339
Exar* 5,250 361
General Semiconductor* 168,800 2,659
Globespan* 21,100 1,865
Integrated Measurement Systems* 113,300 1,714
International Rectifier* 19,100 788
JNI* 1,600 42
LTX* 26,100 682
Microsemi* 6,800 147
Newfocus* 600 39
Pioneer Standard Electronics 36,100 433
PLX Technology* 33,500 848
PSI Technologies Holdings ADR 46,700 555
SDL* 3,700 838
Silicon Valley Group* 126,700 3,373
Varian Semiconductor Equipment* 17,200 820
Veeco Instruments* 5,700 256
--------
26,330
--------
Shipbuilding -- 0.1%
Newport News Shipbuilding 12,800 423
--------
Software -- 9.0%
24/7 Media* 42,200 601
Acxiom* 43,300 1,267
Active Software* 22,600 811
Advent Software* 12,950 487
Applied Theory* 17,700 305
Alteon Websystems* 13,400 681
Art Technology Group* 22,300 1,309
Be Free* 16,950 157
BEA Systems* 36,000 1,301
Blaze Software* 3,550 30
Business Objects SA ADR* 13,900 1,112
Caldera Systems* 77,100 617
Caminus* 30,500 366
Cysive* 53,200 1,343
Digex* 19,350 818
Digi International* 18,300 94
Digimarc* 269,200 7,100
Digital Island* 24,500 449
DSL.Net* 33,600 212
Exchange Applications* 82,300 1,132
Extensity* 10,200 175
Firepond* 30,800 524
Firstworld Communications, Cl B* 450 5
Homestore.com* 56,300 1,327
Informatica* 25,700 1,034
Informix* 279,000 2,023
26
<PAGE>
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Lifeminders.com* 20,050 $ 675
Macromedia* 26,900 2,136
Media Metrix* 86,000 2,397
Mercator Software* 15,200 452
Midway Games* 47,900 314
Moldflow* 78,200 1,173
MyPoints.com* 48,400 496
National Information Consortium* 34,800 518
Navisite* 17,200 746
NetCreations* 137,900 3,379
NETIQ* 78,800 2,669
Netopia* 35,250 1,185
Network Solutions* 6,000 887
NetZero* 167,600 1,330
Nvidia* 21,600 2,465
OnDisplay* 16,800 773
Optimal Robotics* 4,200 141
Pixar* 99,200 3,398
Primus Knowledge Solutions* 15,800 399
Progress Software* 37,600 569
Proxicom* 48,400 2,220
Psinet* 40,500 1,056
Quest Software* 16,600 664
Register.com* 19,050 743
Retek* 28,000 578
Sagent Technology* 21,700 172
Scient* 15,950 684
Serena Software* 82,000 2,347
Software.com* 9,500 800
SportsLine.com* 26,500 303
Sybase* 54,200 1,033
Symantec* 59,100 3,886
Tibco Software* 16,750 932
Timberline Software 39,900 304
Vignette* 8,100 223
Vitria Technology* 28,400 994
WatchGuard Technologies* 28,450 786
webMethods* 7,000 585
--------
69,692
--------
Steel & Steel Works -- 0.7%
AK Steel Holding 282,991 2,741
Carpenter Technology 32,300 668
Roanoke Electric Steel 54,100 717
Ryerson Tull 31,400 310
Schnitzer Steel Industries, Cl A 51,200 794
--------
5,230
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Telephones & Telecommunication -- 1.8%
Allegiance Telecommunications* 18,450 $ 976
Caprock Communications* 32,200 644
Centigram Communications* 10,700 203
Centillium Communications* 3,950 134
COMSAT 38,800 951
Concentric Network* 17,100 765
Copper Mountain Networks* 16,700 1,395
Crown Castle International* 20,700 542
Dobson Communications* 64,600 1,538
Electric Lightwave, Cl A* 56,900 1,001
ITC Deltacom* 13,700 249
Lightbridge* 17,300 375
Metawave Communications* 35,100 1,049
Metrocall* 119,800 389
Primus Telecommunications Group* 29,200 763
Superconductor Technologies* 6,600 92
Viasat* 36,600 1,432
Viatel* 15,800 394
WebLink Wireless* 71,000 453
West Teleservices* 8,500 224
--------
13,569
--------
Testing Laboratories -- 0.3%
Paradigm Genetics* 45,900 505
Plexus* 21,600 1,804
--------
2,309
--------
Trucking -- 0.6%
Arkansas Best* 53,000 583
Forward Air* 36,650 1,168
Roadway Express 65,800 1,406
USFreightways 49,600 1,361
Yellow* 18,820 308
--------
4,826
--------
Wholesale -- 0.2%
Aviall* 80,200 431
Handleman* 41,500 405
United Stationers* 18,000 576
--------
1,412
--------
Total Common Stocks
(Cost $724,498) 758,103
--------
Preferred Stock -- 0.0%
Craig, Cl A* 37,500 145
--------
Total Preferred Stock -- 0.0%
(Cost $251) 145
--------
27
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
SMALL CAP FUND--CONCLUDED
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
U.S. Treasury Obligations -- 0.1%
U.S. Treasury Bill (A)
0.000%, 11/09/00 $ 1,000 $ 973
--------
Total U.S. Treasury Obligations
(Cost $973) 973
--------
Money Market -- 1.1%
Evergreen Select Money
Market Fund 8,508,466 $ 8,508
--------
Total Money Market
(Cost $8,508) 8,508
--------
Repurchase Agreements -- 1.6%
Merrill Lynch
6.033%, dated 05/31/00,
matures 06/01/00, repurchase
price $221,028 $ 221 221
Morgan Stanley
6.220%-6.430%, dated 05/31/00,
matures 06/01/00, repurchase price
$11,818,692 (Merrill Lynch and
Morgan Stanley Repurchase Agreements
are collateralized by Resolution
Trust Funding Corporation, total
par value $45,260,000,
8.125%, 10/15/19, total market
value $12,278,042) 11,817 11,817
--------
Total Repurchase Agreements
(Cost $12,038) 12,038
--------
Total Investments--100.7%
(Cost $746,268) 779,767
--------
Other Assets and Liabilities, Net--(0.7%) (5,483)
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
--------------------------------------------------------------------------------
Net Assets:
Fund Shares (unlimited authorization --
no par value) based on 56,674,899
outstanding shares of beneficial interest $680,855
Undistributed net investment income 724
Accumulated net realized gain
on investments 59,236
Net unrealized appreciation on investments 33,499
Net unrealized depreciation on
futures contracts (30)
--------
Total Net Assets--100.0% $774,284
========
Net Asset Value, Offering and
Redemption Price Per Share $13.66
========
* NON INCOME PRODUCING SECURITY
(A) SECURITY, OR PORTION THEREOF, HAS BEEN PLEDGED AS COLLATERAL ON OPEN
FUTURES CONTRACTS.
(B) PRIVATE PLACEMENT; MARKET QUOTATION NOT READILY AVAILABLE
(SEE NOTE 2 IN THE NOTES TO FINANCIAL STATEMENTS).
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
FD -- FUND
LTD. -- LIMITED
OPP -- OPPORTUNITY
PLC -- PUBLIC LIABILITY COMPANY
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
28
<PAGE>
--------------------------------------------------------------------------------
CORE FIXED INCOME FUND
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
U.S. Treasury Obligations -- 23.8%
U.S. Treasury Bonds
11.875%, 11/15/03 $ 210 $ 243
10.750%, 08/15/05 14,275 16,796
9.875%, 11/15/15 63,725 84,681
9.250%, 02/15/16 75,670 96,249
8.000%, 11/15/21 88,320 104,740
6.125%, 08/15/29 13,235 13,180
U.S. Treasury Bonds (D)
3.875%, 04/15/29 27,077 26,573
3.625%, 04/15/28 26,669 25,065
U.S. Treasury Notes
6.500%, 10/15/06-02/15/10 28,355 28,756
5.625%, 05/15/08 310 294
4.750%, 11/15/08 1,390 1,238
U.S. Treasury Notes (D)
4.250%, 01/15/10 16,590 16,683
3.625%, 01/15/08 17,803 17,141
U.S. Treasury STRIPS
0.000%, 11/15/04-11/15/21 104,450 43,864
--------
Total U.S. Treasury Obligations
(Cost $475,803) 475,503
--------
U.S. Government Agency Obligations -- 4.3%
FHLMC
6.875%, 01/15/05 3,540 3,468
6.625%, 09/15/09 20,000 18,825
FHLMC Discount Note (C)
6.610%, 11/09/00 1,400 1,358
FHLMC TBA
7.350%, 04/15/19 1,417 1,376
FNMA
7.250%, 01/15/10 7,122 7,002
7.125%, 02/15/05-03/15/07 55,220 54,289
Resolution Funding
8.625%, 01/15/30 250 301
--------
Total U.S. Government Agency Obligations
(Cost $87,354) 86,619
--------
U.S. Government Mortgage-Backed Obligations -- 30.5% FHLMC
9.750%, 10/01/14 231 244
9.000%, 12/01/05 15 15
8.500%, 09/01/08-04/01/09 1,264 1,296
8.000%, 07/01/12-08/01/26 3,479 3,475
7.500%, 10/01/09-05/01/30 15,559 15,226
7.000%, 01/01/11-09/01/25 6,687 6,375
6.500%, 05/01/18-06/01/30 41,056 38,076
6.000%, 03/01/11-02/01/30 46,329 42,933
5.500%, 10/01/13-07/01/14 20,417 18,599
FHLMC CMO, Ser 1, Cl Z
9.300%, 04/15/19 296 304
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
FHLMC CMO, Ser 1563, Cl SB (A) (C)
8.850%, 08/15/08 $ 108 $ 104
FHLMC CMT ARM
6.913%, 07/01/27 551 550
FHLMC TBA
8.000%, 06/01/30 31,550 31,639
7.000%, 06/01/15 4,500 4,358
6.500%, 06/01/30 - 06/14/30 65,190 60,402
6.000%, 06/01/29 4,150 3,731
FHLMC STRIP, Ser 206 PO
0.000%, 12/15/30 1,265 787
FNMA
8.500%, 09/01/13 21 21
8.000%, 04/01/08-05/01/27 4,329 4,328
7.500%, 06/01/24-05/01/30 7,027 6,856
7.000%, 05/01/11-03/01/30 3,921 3,770
6.500%, 10/01/08-02/01/30 (C) 26,111 24,319
6.000%, 02/01/13-08/01/29 43,658 39,594
5.500%, 10/01/13-07/01/14 14,740 13,406
FNMA CMO, Ser 1190-106, Cl J
8.500%, 09/25/20 171 174
FNMA CMO, Ser 1991-156, Cl A
7.500%, 10/25/21 637 631
FNMA CMO, Ser 1993-69, Cl Z
6.000%, 01/25/22 867 794
FNMA CMO, Ser 1990-93, Cl G
5.500%, 08/25/20 933 850
FNMA CMO, Ser 1993-216, Cl B PO
0.000%, 08/25/23 1 1
FNMA CMO, Ser 1994-9, Cl C PO
0.000%, 08/25/23 22 20
FNMA Whole Loan CMO,
Ser 1996-W4, Cl A4
6.743%, 12/25/11 2,205 2,146
FNMA REMIC, Ser 1997-5, Cl VG
7.050%, 06/25/04 1,488 1,474
FNMA TBA
8.000%, 06/01/30 21,530 21,335
7.500%, 06/01/15-06/14/30 34,700 34,107
7.000%, 06/01/15-06/01/30 26,400 25,052
6.500%, 06/01/30 5,000 4,622
6.000%, 06/19/15-06/01/30 2,000 1,794
5.500%, 06/01/15 1,253 1,139
FNMA STRIP, Ser 269, Cl 1
9.000%, 09/25/25 123 125
GNMA
9.500%, 12/15/20 197 206
8.500%, 11/15/20 12 12
8.000%, 12/15/23-04/15/30 15,697 15,718
7.500%, 09/15/06-01/15/30 22,192 21,732
7.000%, 04/15/23-09/15/28 26,904 25,825
6.500%, 06/15/11-07/15/29 32,740 30,766
6.000%, 03/15/14-02/20/29 2,362 2,159
29
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
CORE FIXED INCOME FUND -- CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
GNMA TBA
8.000%, 07/25/15 $ 3,900 $ 3,906
7.500%, 06/01/30 21,200 20,803
7.000%, 06/01/29 6,000 5,754
6.500%, 06/01/30-06/19/30 54,300 50,790
6.000%, 06/15/15-06/01/29 19,990 18,217
--------
Total U.S. Government Mortgage-
Backed Obligations
(Cost $616,042) 610,560
--------
Corporate Obligations -- 21.7%
Aerospace & Defense -- 0.5%
Boeing
6.625%, 02/15/38 3,000 2,456
Lockheed Martin
8.500%, 12/01/29 2,560 2,496
Northrop-Grumman
9.375%, 10/15/24 2,990 2,983
Raytheon
6.750%, 08/15/07 2,500 2,262
--------
10,197
--------
Air-Freight Transportation -- 0.1%
FedEx
9.650%, 06/15/12 1,275 1,359
FedEx, Ser 981B
6.845%, 01/15/19 579 524
--------
1,883
--------
Airlines -- 1.5%
America West Airlines (B)
7.930%, 01/02/19 6,839 6,808
American Airlines, Ser 94A4
9.780%, 11/26/11 2,094 2,229
Atlas Air (B)
8.707%, 01/02/20 3,100 3,100
Continental Airlines, Ser 974C
6.800%, 07/02/07 1,297 1,214
Continental Airlines, Ser 99-2
7.434%, 09/15/04 1,350 1,284
7.730%, 03/15/11 1,883 1,787
Northwest Airlines, Ser 971B
7.248%, 01/02/12 5,049 4,559
Northwest Airlines, Ser 991C
8.130%, 02/01/14 1,222 1,137
United Air Lines, Ser 96A1
7.270%, 01/30/13 2,736 2,528
United Air Lines, Ser 91C
10.360%, 11/13/12 1,445 1,564
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
US Airways, Cl B
7.500%, 04/15/08 $ 3,474 $ 3,144
--------
29,354
--------
Automotive -- 0.3%
DaimlerChrysler AG
7.450%, 03/01/27 2,500 2,331
Ford Motor
6.375%, 02/01/29 3,000 2,407
7.400%, 11/01/46 200 178
7.700%, 05/15/97 1,300 1,183
--------
6,099
--------
Automotive Parts & Equipment -- 0.3%
TRW, Ser E MTN (A)
6.676%, 03/25/02 6,000 5,984
--------
Banks -- 2.5%
ABN-AMRO Bank NV (Chicago)
6.625%, 10/31/01 1,000 986
7.250%, 05/31/05 3,425 3,331
Bank of Oklahoma
7.125%, 08/15/07 6,000 5,497
BankBoston MTN
6.375%, 04/15/08 1,000 902
Bankers Trust
8.125%, 05/15/02 6,200 6,228
Bank of America
8.375%, 03/15/02 800 809
9.200%, 05/15/03 150 155
10.200%, 07/15/15 2,850 3,377
Bank One
8.875%, 03/15/02 2,700 2,743
Barclays North America Capital
9.750%, 05/15/21 3,000 3,150
Chase Manhattan
8.625%, 05/01/02 1,000 1,016
Dresdner Bank-New York
7.250%, 09/15/15 1,750 1,571
First National Bank of Omaha MTN
7.320%, 12/01/10 250 227
FleetBoston Financial
6.875%, 03/01/03 1,000 974
Household Bank FSB
6.500%, 07/15/03 2,460 2,334
Midlantic
9.200%, 08/01/01 1,085 1,101
National Westminster Bancorp
9.375%, 11/15/03 1,900 1,981
Royal Bank of Scotland
Group PLC, Ser 2
8.817%, 03/31/49 4,300 4,354
30
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Security Pacific
11.000%, 03/01/01 $ 2,750 $ 2,826
Swiss Bank NY
7.375%, 07/15/15 2,300 2,127
7.000%, 10/15/15 300 268
Westdeutsche Landesbank NY
6.050%, 01/15/09 4,175 3,627
Westpac Banking
7.875%, 10/15/02 500 501
--------
50,085
--------
Cable TV -- 1.1%
AT&T
7.125%, 02/15/28 6,860 5,925
Comcast
8.875%, 04/01/07 5,340 5,400
Continental Cablevision
9.000%, 09/01/08 800 841
9.500%, 08/01/13 5,925 6,273
Cox Communications
7.875%, 08/15/09 440 426
TCI Communications
6.375%, 05/01/03 1,080 1,041
7.875%, 02/15/26 2,150 2,040
--------
21,946
--------
Chemicals -- 0.4%
Dow Chemical
7.375%, 11/01/29 4,050 3,812
Rohm & Haas
7.850%, 07/15/29 5,000 4,906
--------
8,718
--------
Commercial Services -- 0.2%
Cendant
7.750%, 12/01/03 4,100 3,941
--------
Computer Services -- 0.2%
Electronic Data Systems
7.450%, 10/15/29 3,800 3,601
--------
Electric General Utilities Services -- 1.7%
Arizona Public Services
8.000%, 12/30/15 1,000 961
CE Generation LLC (B)
7.416%, 12/15/18 4,250 3,893
Commonwealth Edison, Ser 75
9.875%, 06/15/20 1,043 1,119
Edison Mission Energy (A) (B)
6.820%, 06/15/01 3,000 3,002
FPL Group Capital
7.375%, 06/01/09 5,000 4,713
Hydro-Quebec, Cl HQ
9.500%, 11/15/30 1,450 1,675
Hydro-Quebec, Cl HY
8.400%, 01/15/22 1,750 1,807
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Kansas City Power & Light
MTN (A)
6.341%, 03/20/02 $ 8,000 $ 7,989
Korea Electric Power
7.750%, 04/01/13 930 827
6.750%, 08/01/27 450 417
PSI Energy
7.850%, 10/15/07 3,100 2,999
System Energy Resources
7.430%, 01/15/11 2,386 2,213
Utilicorp United
7.000%, 07/15/04 1,750 1,667
--------
33,282
--------
Financial Services -- 5.1%
Bear Stearns
7.625%, 02/01/05 6,100 5,925
6.250%, 07/15/05 800 731
Countrywide Capital I
8.000%, 12/15/26 600 485
Donaldson Lufkin & Jenrette
6.000%, 12/01/01 3,000 2,922
Donaldson Lufkin & Jenrette MTN
6.170%, 07/15/03 3,000 2,850
Dryden Investor Trust (B)
7.157%, 07/23/08 5,598 5,157
Finova Capital
5.875%, 10/15/01 1,000 894
General Motors Acceptance
5.950%, 03/14/03 1,000 955
5.850%, 01/14/09 7,000 6,073
7.150%, 06/15/15 (F) 2,600 803
Goldman Sachs Group LP MTN
6.250%, 02/01/03 800 769
Goldman Sachs Group, Ser E MTN
7.800%, 01/28/10 5,000 4,850
Heller Financial (A)
6.508%, 06/25/01 3,500 3,502
Heller Financial, Ser I MTN (A)
6.578%, 09/25/00 3,000 3,000
6.350%, 04/02/01 10,000 9,988
Heller Financial, Ser J MTN (A)
6.320%, 03/13/02 3,000 2,996
Household Finance
8.000%, 05/09/05 5,000 4,950
John Deere Capital
6.000%, 02/15/09 1,700 1,494
J.P. Morgan Capital Trust II
7.950%, 02/01/27 200 175
Lehman Brothers
9.875%, 10/15/00 1,625 1,639
6.125%, 02/01/01 1,750 1,731
31
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
CORE FIXED INCOME FUND -- CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Lehman Brothers Holdings
8.875%, 03/01/02 $ 2,600 $ 2,626
8.750%, 05/15/02 1,602 1,618
8.750%, 03/15/05 1,250 1,258
8.800%, 03/01/15 3,000 3,011
Lehman Brothers Holdings, Ser F MTN
7.500%, 09/01/06 4,000 3,785
Merrill Lynch
6.875%, 11/15/18 3,075 2,691
7.430%, 09/01/22 835 821
National Rural Utilities, Ser V
9.000%, 09/01/21 2,100 2,103
Paine Webber Group
7.875%, 02/15/03 1,500 1,479
6.450%, 12/01/03 1,450 1,368
8.875%, 03/15/05 1,100 1,123
Paine Webber Group, Ser C MTN
6.730%, 01/20/04 150 143
7.390%, 10/16/17 5,915 5,301
Paine Webber Group, Ser D MTN
6.930%, 08/15/03 325 312
Principal Financial Group (B)
8.200%, 08/15/09 4,000 3,936
Progress Capital Holdings MTN
6.750%, 12/10/07 3,000 2,697
Salomon Smith Barney Holdings
6.750%, 02/15/03 1,650 1,607
Travelers Group
7.500%, 02/01/03 750 743
7.000%, 06/15/03 2,000 1,960
Transamerica Finance, Ser E MTN
6.125%, 11/01/01 2,800 2,744
--------
103,215
--------
Food, Beverage & Tobacco -- 0.8%
Nabisco (A)
6.375%, 02/01/35 3,000 2,663
Pepsi Bottling Group, Ser B
7.000%, 03/01/29 4,600 3,991
Philip Morris
7.750%, 01/15/27 5,570 4,707
RJ Reynolds Tobacco, Ser B
7.750%, 05/15/06 3,760 3,154
7.875%, 05/15/09 2,530 2,027
--------
16,542
--------
Forestry -- 0.0%
Weyerhaeuser
7.250%, 07/01/13 325 296
--------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Independent Power Producer -- 0.2%
NRG Energy
7.625%, 02/01/06 $ 4,000 $ 3,760
--------
Insurance -- 1.2%
Allstate
7.500%, 06/15/13 1,000 920
Associated P&C Holdings
6.750%, 07/15/03 5,100 4,953
Axa Financial
9.000%, 12/15/04 2,070 2,148
Conseco
8.750%, 02/09/04 5,437 3,724
Lincoln National
9.125%, 10/01/24 1,000 1,036
Loews
7.625%, 06/01/23 450 402
7.000%, 10/15/23 1,950 1,606
Safeco Capital Trust I (A)
8.072%, 07/15/37 1,680 1,363
USF&G
7.125%, 06/01/05 1,000 968
Zurich Capital Trust I (B)
8.376%, 06/01/37 8,300 7,460
--------
24,580
--------
Machinery -- 0.1%
Caterpillar
9.750%, 06/01/19 1,300 1,358
--------
Medical Products & Services -- 0.2%
Unitedhealth Group
6.600%, 12/01/03 5,000 4,699
--------
Multimedia -- 0.7%
J Seagram & Sons
6.400%, 12/15/03 1,930 1,819
6.800%, 12/15/08 930 825
7.500%, 12/15/18 1,460 1,270
7.600%, 12/15/28 1,490 1,278
News America Holdings
10.125%, 10/15/12 1,400 1,425
Time Warner
9.125%, 01/15/13 1,675 1,750
Time Warner Entertainment
8.375%, 07/15/33 5,000 4,831
--------
13,198
--------
32
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Non-Hazardous Waste Disposal -- 0.2%
Waste Management
7.125%, 12/15/17 $ 5,425 $ 4,232
7.375%, 05/15/29 1,000 752
--------
4,984
--------
Oil Distributor -- 0.1%
Phillips Pete
9.180%, 09/15/21 1,200 1,191
--------
Paper & Paper Products -- 0.4%
Federal Paper Board
8.875%, 07/01/12 300 319
Georgia-Pacific
9.500%, 12/01/11 1,300 1,343
9.875%, 11/01/21 1,800 1,818
Pactiv
8.000%, 04/15/07 2,000 1,886
7.950%, 12/15/25 125 110
Westvaco
8.400%, 06/01/07 3,300 3,289
--------
8,765
--------
Pipelines -- 0.8%
CMS Panhandle Hodings
7.000%, 07/15/29 1,300 1,050
Dynegy
7.450%, 07/15/06 4,500 4,320
Kinder Morgan
9.625%, 08/01/21 1,400 1,477
Oneok
7.750%, 08/15/06 7,000 6,810
Yosemite Security Trust (B)
8.250%, 11/15/04 2,500 2,451
--------
16,108
--------
Railroad Transportation -- 0.6%
Burlington North Santa Fe
6.750%, 03/15/29 3,000 2,441
Consolidated Rail
7.875%, 05/15/43 450 413
CSX, Ser C MTN
6.800%, 12/01/28 3,000 2,374
Union Pacific
7.000%, 02/01/16 5,000 4,381
7.125%, 02/01/28 1,500 1,271
6.625%, 02/01/29 800 629
--------
11,509
--------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Real Estate Investment Management -- 0.1%
Security Capital Group, Ser A MTN
7.750%, 11/15/03 $ 1,600 $ 1,530
--------
Retail -- 0.5%
Dillards
6.875%, 06/01/05 1,500 1,278
JC Penney
9.750%, 06/15/21 1,200 1,059
6.900%, 08/15/26 1,650 1,487
May Department Stores
9.875%, 06/15/21 1,500 1,590
Target
8.600%, 01/15/12 175 181
Wal-Mart Stores
6.875%, 08/10/09 4,800 4,572
--------
10,167
--------
Special Purpose Entity -- 0.9%
Air 2 US (B)
8.027%, 10/01/19 5,000 4,888
British Aerospace Financial (B)
7.500%, 07/01/27 5,000 4,569
Marlin Water Trust/Capital (B)
7.090%, 12/15/01 1,000 985
Osprey Trust/Osprey I (B)
8.310%, 01/15/03 3,700 3,686
Toll Road Investment
Partnership II (B) (F)
6.635%, 02/15/06 5,000 3,166
--------
17,294
--------
Telephones & Telecommunication -- 1.0%
AT&T Canada (B)
10.625%, 11/01/08 2,180 2,403
AT&T Canada (Step Coupon) (A)
6.721%, 06/15/08 3,000 2,415
GTE
6.940%, 04/15/28 3,000 2,573
Lucent Technologies
6.450%, 03/15/29 5,000 4,250
New York Telephone
9.375%, 07/15/31 2,768 2,861
Sprint Capital
6.875%, 11/15/28 3,890 3,263
US West Communications
8.875%, 06/01/31 2,200 2,167
--------
19,932
--------
Total Corporate Obligations
(Cost $461,208) 434,218
--------
33
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
CORE FIXED INCOME FUND -- CONTINUED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Yankee Bonds -- 3.3%
Andina de Fomento
8.875%, 06/01/05 $ 3,400 $ 3,389
BAA PLC
7.000%, 01/15/04 6,500 6,086
Banco Santander-Chile MBIA
6.500%, 11/01/05 4,100 3,844
Bank of Tokyo-Mitsubishi
8.400%, 04/15/10 5,000 4,944
CIT Holdings LLC, Ser A
7.125%, 12/17/03 3,000 2,925
CIT Holdings LLC, Ser B
6.875%, 02/16/05 3,000 2,856
Diageo Capital PLC
6.625%, 06/24/04 4,700 4,524
Ford Capital BV
9.500%, 07/01/01 4,000 4,075
9.875%, 05/15/02 1,550 1,608
9.500%, 06/01/10 1,000 1,086
Government Loan Trust, Ser 1-B
8.500%, 04/01/06 3,807 3,979
Household Netherlands BV
6.200%, 12/01/03 5,000 4,763
HSBC Bank PLC
6.950%, 03/15/11 1,750 1,577
Hydro Quebec, Ser FU
11.750%, 02/01/12 820 1,058
Hydro Quebec, Ser GW
9.750%, 01/15/18 4,110 4,274
Korea Development Bank
7.125%, 09/17/01 540 533
National Bank of Hungary
8.875%, 11/01/13 650 667
NewFoundland
10.000%, 12/01/20 1,200 1,443
Norsk Hydro A/S
9.000%, 04/15/12 525 553
Pohang Iron & Steel Ltd.
7.125%, 07/15/04 500 471
Pohang Iron & Steel
7.375%, 05/15/05 250 235
Quebec Province
7.500%, 09/15/29 3,622 3,445
Republic of Korea
8.875%, 04/15/08 1,530 1,526
Santander Financial Issuances
7.250%, 11/01/15 1,175 1,059
Sumitomo Bank International
Finance NV
9.550%, 07/15/00 2,000 1,998
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Wharf Capital International Ltd.
8.875%, 11/01/04 $ 375 $ 374
Wharf International Finance Ltd.
7.625%, 03/13/07 575 520
YPF Sociedad Anonima,
Ser A MTN
7.750%, 08/27/07 3,000 2,749
--------
Total Yankee Bonds
(Cost $69,491) 66,561
--------
Asset-Backed Securities -- 7.3%
Credit Cards -- 1.4%
AT&T Universal Card Master
Trust, Ser 1996-3, Cl A (A)
6.270%, 09/17/03 10,400 10,403
Citibank Credit Card Master
Trust I, Ser 1996-1, Cl A PO
0.000%, 02/07/03 7,400 7,038
Citibank Credit Card Master
Trust I, Ser 1997-6, Cl A PO
0.000%, 08/15/06 1,175 858
Discover Card Master Trust I,
Ser 1995-2, Cl A
6.550%, 02/18/03 1,275 1,274
Discover Card Master Trust I,
Ser 1993-3, Cl A
6.200%, 05/16/06 5,000 4,795
Fleet Credit Card Master Trust
Ser 96-A, Cl A1
6.000%, 11/15/05 3,320 3,201
Sears Credit Account Master Trust,
Ser 1995-3, Cl A
7.000%, 10/15/04 650 649
--------
28,218
--------
Mortgage Related -- 5.9%
Cadillac Lofts (E)
0.000%, 03/30/39 258 235
6.875, 03/30/39 1,231 1,124
Capco American Securitization,
Ser 1998-D7, Cl A1B
6.260%, 09/15/08 225 201
Chase Commercial Mortgage
Securities, Ser 1997-1, Cl A2
7.370%, 02/19/07 5,221 5,098
34
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Contimortgage Home Equity Loan
Trust, Ser 1997-2, Cl A9
7.090%, 04/15/28 $ 1,750 $ 1,706
Contimortgage Home Equity Loan
Trust, Ser 1997-5, Cl A5
6.630%, 12/15/20 1,600 1,543
Contimortgage Home Equity Loan
Trust, Ser 1998-1, Cl A6
6.580%, 12/15/18 1,000 963
Delta Funding Home Equity Loan
Trust, Ser 1998-4, Cl A4F
6.190%, 02/15/31 1,500 1,379
Delta Funding Home Equity Loan
Trust, Ser 1997-1, Cl A6
7.210%, 04/25/29 1,653 1,614
Delta Funding Home Equity Loan
Trust, Ser 1997-3, Cl A6F
6.860%, 10/25/28 2,000 1,933
Delta Funding Home Equity Loan
Trust, Ser 1997-4, Cl A5F
6.670%, 01/25/28 2,000 1,905
Delta Funding Home Equity Loan
Trust, Ser 1999-3, Cl A1A (A)
6.930%, 09/15/29 9,806 9,839
Deutsche Mortgage Asset Receiving
Trust, Ser 1998-C1, Cl A1
6.220%, 09/15/07 921 871
EQCC Home Equity Loan Trust,
Ser 1993-3, Cl A
5.150%, 09/15/08 2,553 2,447
Equivantage Home Equity Loan
Trust, Ser 1997-2, Cl A3
7.275%, 07/25/28 4,000 3,941
Evergreen Tower (E)
7.375%, 01/01/39 916 865
FFCA Secured Lending Corporation,
Ser 1999-2, Cl IO
1.728%, 10/18/18 82 7
First Union-Lehman Brothers,
Ser 1997-C2, Cl IO
1.380%, 11/18/27 2,024 141
GE Capital Mortgage Services,
CMO, Ser 1994-7, Cl A15
5.000%, 02/25/09 580 473
GMAC Commercial Mortgage
Securities, Ser 1999-C2, Cl A2
6.945%, 09/15/33 1,220 1,138
GMAC Commercial Mortgage
Securities, Ser 1998-C2, Cl X IO
0.830%, 08/15/23 13,796 514
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
GMAC Commercial Mortgage
Securities, Ser 1998-C2, Cl A2
6.420%, 08/15/08 $ 600 $ 547
GMAC Commercial Mortgage
Securities, Ser 1999 FL1, Cl A5
6.880%, 10/15/09 6,208 6,209
Green Tree Financial,
Ser 1998-2, Cl A5
6.240%, 11/01/16 2,370 2,306
Green Tree Home Equity Loan
Trust, Ser 1997-B, Cl A6
7.120%, 04/15/27 900 891
Green Tree Recreational,
Ser 1998-A, Cl A1H
6.710%, 05/15/29 644 618
GS Mortgage Securities, CMO,
Ser 1998-1, Cl A (B)
8.000%, 09/20/27 759 760
GS Mortgage Securities, CMO,
Ser 1998-2, Cl A (B)
7.750%, 05/19/27 656 650
GS Mortgage Securities, CMO,
Ser 1999-3, Cl A (B)
8.000%, 08/19/29 2,364 2,367
IMC Home Equity Loan Trust,
Ser 1997-5, Cl A10
6.880%, 11/20/28 2,925 2,818
IMC Home Equity Loan Trust,
Ser 1997-7, Cl A8
6.650%, 02/20/29 1,515 1,449
IMC Home Equity Loan Trust,
Ser 1998-3, Cl A8
6.340%, 08/20/29 3,000 2,817
Impac Commercial Holdings,
Ser 1998-C1, Cl A1A
6.060%, 10/20/07 2,025 1,921
J.P. Morgan Commercial Mortgage
Finance, Ser 1997-C5, Cl X IO (A) (B)
1.530%, 09/15/29 4,723 312
LB-UBS Commercial Mortgage
Trust, Ser C3, Cl A2
7.950%, 01/15/10 2,890 2,898
Metropolitan Asset Funding,
Ser 97-B, Cl A1B (B)
6.670%, 12/20/06 1,147 1,100
Metropolitan Asset Funding,
Ser 97-B, Cl A1D (B)
7.130%, 03/22/12 3,000 2,876
Merrill Lynch Mortgage Investors,
Cl 1996-C2, Ser A3
6.960%, 11/21/28 6,700 6,403
35
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
CORE FIXED INCOME FUND -- CONCLUDED
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors,
Ser 1998-C1, Cl A1
6.310%, 11/15/26 $ 2,870 $ 2,748
Money Store Home Equity Trust,
Ser 1995-C, Cl A5
7.175%, 04/15/26 6,647 6,462
Morgan Stanley Capital I,
Ser 1999-RM1, Cl A2
6.710%, 12/15/31 2,510 2,349
Morgan Stanley Capital I,
Ser 1998-CF1, Cl X, IO (A)
0.830%, 12/15/12 4,667 195
Nomura Asset Securities,
Ser 1996-MD5, Cl A1B
7.120%, 04/13/36 3,000 2,890
Residential Accredit Loans, CMO,
Ser 98-QS9, Cl A10
6.750%, 07/25/28 1,858 1,788
Residential Funding Mortgage
Securities, Ser 2000-HI1, Cl AI7
8.290%, 02/25/25 8,600 8,504
Ryland Mortgage Securities, CMO,
Ser 1994-7A, Cl A2
7.000%, 08/25/25 435 424
Saxon Asset Securities Trust,
Ser 1998-4, Cl AF6
6.400%, 01/25/30 6,000 5,672
TMS SBA Loan Trust, Ser 1999-1,
Cl A (A)
6.240%, 07/15/25 1,005 1,001
UCFC Home Equity Loan,
Ser 1995-B1, Cl A5
7.250%, 12/10/20 1,600 1,570
Union Planters Mortgage Finance,
CMO, Ser 1998-1, Cl A1
6.350%, 01/25/28 396 392
World Omni Automobile Lease
Securitization, Ser 1999-A,
Cl A1 (A)
6.770%, 02/15/02 8,200 8,212
---------
117,086
---------
Total Asset-Backed Securities
(Cost $148,993) 145,304
---------
--------------------------------------------------------------------------------
FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Municipal Bond -- 0.0%
Los Angeles County, California
Taxable Pension Obligation,
Ser D, RB MBIA (F)
8.029%, 06/30/10 $ 650 $ 296
---------
Total Municipal Bond
(Cost $294) 296
---------
Options -- 0.0%
September 2000 Euro $
90 Day Call 603 196
---------
Total Options
(Cost $616) 196
---------
Repurchase Agreements -- 23.9%
J.P. Morgan
6.450%, dated 05/31/00,
matures 06/01/00, repurchase
price $426,238,466 (collateralized
by various GNMA Obligations,
total par value $652,028,031,
6.000%-8.500%,
12/20/01-02/20/30,
total market value
$434,685,354) 426,162 426,162
Merrill Lynch
6.450%, dated 05/31/00,
matures 06/01/00, repurchase
price $51,427,190 (collateralized
by various FNMA Obligations, total
par value $77,632,723,
6.500%-10.750%, 07/01/00-
06/01/30, total market value
$52,448,897) 51,418 51,418
---------
Total Repurchase Agreements
(Cost $477,580) 477,580
---------
Total Investments--114.8%
(Cost $2,337,381) 2,296,837
---------
Other Assets and Liabilities, Net--(14.8%) (297,022)
----------
36
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
--------------------------------------------------------------------------------
Net Assets:
Fund Shares (unlimited authorization --
no par value) based on 203,740,955
outstanding shares of beneficial interest $2,072,988
Undistributed net investment income 39
Accumulated net realized loss
on investments (32,994)
Net unrealized depreciation on investments (40,124)
Net unrealized depreciation on options (420)
Net unrealized appreciation on
futures contracts 326
----------
Total Net Assets--100.0% $1,999,815
==========
Net Asset Value, Offering and Redemption
Price Per Share $9.82
==========
(A) VARIABLE RATE SECURITY -- THE RATE REPORTED ON THE STATEMENT OF NET ASSETS
IS THE RATE IN EFFECT AS OF MAY 31, 2000.
(B) SECURITY SOLD WITHIN THE TERMS OF A PRIVATE PLACEMENT MEMORANDUM, EXEMPT
FROM REGISTRATION UNDER SECTION 144A OF THE SECURITIES ACT OF 1933, AS
AMENDED, AND MAY BE SOLD TO QUALIFIED BUYERS.
(C) SECURITY, OR PORTION THEREOF, IS PLEDGED AS COLLATERAL ON OPEN FUTURES
CONTRACTS.
(D) TREASURY INFLATION PROTECTION SECURITIES
(E) LOANS SUPPORTING CONSTRUCTION IN PROGRESS
(F) ZERO COUPON BOND -- THE RATE REPORTED ON THE STATEMENT OF NET ASSETS IS THE
EFFECTIVE YIELD OF THE SECURITY.
ARM -- ADJUSTABLE RATE MORTGAGE
CL -- CLASS
CMO -- COLLATERALIZED MORTGAGE OBLIGATION
FHLMC -- FEDERAL HOME LOAN MORTGAGE CORPORATION
FNMA -- FEDERAL NATIONAL MORTGAGE ASSOCIATION
GNMA -- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
IO -- INTEREST ONLY
LLC -- LIMITED LIABILITY CORPORATION
MBIA -- MUNICIPAL BOND INSURANCE ASSOCIATION
MTN -- MEDIUM TERM NOTE
PLC -- PUBLIC LIABILITY COMPANY
PO -- PRINCIPAL ONLY
SER -- SERIES
STRIPS -- SEPARATELY TRADED REGISTERED INTEREST AND PRINCIPAL SECURITIES
TBA -- TO BE ANNOUNCED
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
37
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI Institutional Investments Trust -- May 31, 2000
INTERNATIONAL EQUITY FUND
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Foreign Common Stocks -- 95.8%
Argentina -- 0.0%
Telecom Argentina ADR* 12,000 $ 295
--------
295
--------
Australia -- 1.4%
AMP Limited 39,200 342
APN News & Media Limited 85,200 190
Australia & New Zealand
Bank Group 85,000 591
Broken Hill Proprietary 310,461 3,168
Broken Hill Proprietary ADR 2,000 40
Coca-Cola Amatil Limited 101,383 197
Coles Myer 167,200 611
Commonwealth Bank of Australia 58,100 928
Erg Limited 36,800 175
F.H. Faulding 30,500 133
John Fairfax Holdings Limited 112,000 295
Lend Lease 76,179 869
Macquarie Bank Limited 20,000 274
National Australia Bank 43,900 657
News Corporation 264,674 3,004
Rio Tinto Limited 74,458 1,068
Solution 6 Holdings Limited* 32,750 57
Telstra Corporation 310,704 1,211
Westpac Banking Corporation 382,506 2,619
--------
16,429
--------
Belgium -- 0.8%
Fortis, Ser B 384,561 10,039
--------
10,039
--------
Brazil -- 0.5%
Embratel Participacoes ADR 251,447 5,265
Telecomunicacoes de Sao Paulo
Participacoes ADR 9,700 246
Unibanco GDR 25,000 605
--------
6,116
--------
Canada -- 1.6%
Bank of Nova Scotia 45,000 1,120
Bombardier Incorporated, Ser B 114,700 3,001
Manulife Financial Corporation 46,000 827
Nortel Networks 186,312 9,930
Suncor Energy 34,000 761
Thomson Corporation 65,700 2,112
Toronto Dominion Bank 32,000 802
--------
18,553
--------
Denmark -- 0.1%
Den Danske Bank 10,120 1,182
--------
1,182
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Finland -- 2.5%
Nokia Oyj 315,800 $ 16,517
Nordic Baltic Holding 728,500 4,780
Sonera Oyj 96,305 4,901
UPM-Kymmene 145,700 3,715
--------
29,913
--------
France -- 10.3%
Accor 29,150 1,186
Alcatel 176,300 9,799
Aventis* 133,286 8,708
AXA 46,975 6,957
Axa Rights* 46,975 84
Banque National Paris 72,021 6,531
Bouygues 4,200 2,614
Bouygues - New* 126 78
Canal Plus 32,800 6,272
Castorama Dubois 20,935 5,318
Christian Dior 3,000 689
Compagnie de Saint-Gobain 32,005 4,485
France Telecom 12,200 1,790
Groupe Danone 4,000 941
Louis Vuitton Moet Hennessy 2,000 820
Michelin, Ser B 94,500 3,144
Pechiney Ord, Ser A 35,500 1,467
Peugeot 62,959 12,983
Sanofi-Synthelabo* 42,640 1,868
Schneider Electric 12,289 822
St. Microelectronics* 108,000 6,468
Suez Lyonnaise-Strip VVPR* 1,200 --
Television Francaise 4,000 2,587
Total Fina Elf 122,290 19,360
Usinor 116,700 1,411
Vivendi 141,825 15,287
--------
121,669
--------
Germany -- 6.9%
Aixtron* 2,200 568
Aventis 179,786 11,712
Bayerische Motoren Werke 280,490 8,492
DaimlerChrysler 8,000 436
Depfa Deutsche Pfandbriefban 19,850 2,084
Deutsche Bank* 250,135 19,413
Deutsche Telekom 93,825 5,892
Epcos* 10,500 1,294
Infineon Technologies ADR* 34,500 2,169
Infineon Technologies* 64,900 4,264
Intershop Communications* 1,800 731
Man Muenchen 116,200 4,062
Metro 82,350 2,702
Siemens 76,672 11,412
38
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Thyssen Krupp 25,000 $ 429
VEBA 8,000 412
Viag 267,220 5,498
--------
81,570
--------
Hong Kong -- 2.3%
Automated Systems
Holdings Limited 416,000 219
Cable & Wireless HKT Limited 977,000 2,232
Cathay Pacific Airways 2,158,000 3,877
Cheung Kong Holdings 144,000 1,317
China Telecom* 1,010,000 7,550
Citic Pacific Limited 441,000 2,100
CLP Holdings Limited 41,000 190
Cosco Pacific 286,000 213
Hang Seng Bank 92,000 779
HSBC Holdings 36,000 397
Hutchison Whampoa 367,862 4,249
Johnson Electric Holdings 208,000 1,542
Legend Holdings 470,000 477
Nanjing Panda Electronics, Ser H* 560,000 261
Pacific Century CyberWorks* 54,000 105
Peregrine Investment
Holdings* (1) 236,000 --
Sun Hung Kai Properties 99,000 603
Sunevision Holdings* 46,500 42
Swire Pacific, Cl A 202,000 1,167
Tan Chong International Limited 600,000 74
TCL International* 100,000 41
--------
27,435
--------
Ireland -- 0.1%
CRH 54,000 941
--------
941
--------
Italy -- 4.6%
Alleanza Assicurazioni 87,700 1,014
Assicurazioni Generali 49,000 1,483
Banca Nazionale Lavoro 1,333,823 4,401
Banca Popolare Di Milano 80,000 523
Enel* 707,700 3,171
ENI 2,069,000 11,209
Fiat 18,700 477
Gucci Group 70,267 6,017
Italcementi 65,520 597
Mediaset 455,726 7,091
Riunione Adriatica di Sicurta 91,440 864
Telecom Italia Mobile 1,277,090 13,371
Telecom Italia Mobile RNC 255,000 1,080
Telecom Italia RNC 332,400 2,072
Unicredito Italiano 303,000 1,346
--------
54,716
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Japan -- 24.8%
Acom 14,400 $ 1,057
Advantest 19,400 4,087
Aiful Corporation 16,425 1,443
Ajinomoto 78,000 943
Asahi Breweries 3,000 37
Autobacs Seven Limited 18,000 523
Bank of Tokyo-Mitsubishi 194,000 2,430
Bellsystem 24 1,000 570
Bridgestone Corporation 55,000 1,256
Canon 46,000 2,117
Chudenko Corporation 26,000 376
Chugai Pharmaceutical 70,000 1,198
Chuo Trust & Banking 132,000 530
Dai Ichi Pharmaceutical 50,000 926
Dai Nippon Printing 70,000 1,193
Daito Trust Construction Limited 63,000 1,198
Daiwa House Industry Limited 277,968 2,061
DDI Corporation 342 3,491
East Japan Railway 283 1,612
Fanuc Limited 13,000 1,133
Fast Retailing Limited 1,400 597
Fuji Bank Limited 824,000 6,370
Fuji Heavy Industries 82,000 609
Fuji Photo Film 89,000 3,105
Fuji Soft ABC 12,000 588
Fujikura Limited 143,000 679
Fujitsu 325,000 9,199
Fujitsu Support and Service 6,700 627
Furukawa Electric 328,000 4,687
Goodwill Group 27 165
Hirose Electric 19,000 2,661
Hitachi 188,000 2,327
Honda Motor 226,000 7,445
Hoya Corporation 8,000 742
Industrial Bank of Japan 132,000 1,029
Japan Energy* 303,000 281
Jusco 89,000 1,525
Kaneka Corporation 71,000 731
Kao Corporation 62,000 1,881
Keyence Corporation 6,380 1,909
Kirin Brewery 82,000 989
Kyocera Corporation 5,000 830
Matsushita Communications 33,600 3,617
Matsushita Electric 316,000 7,463
Mitsubishi Electric 138,000 1,355
Mitsubishi Heavy Industries 730,000 2,534
Mitsubishi Motors Corporation* 339,000 1,101
Mitsubishi Trust & Banking 82,000 662
Mitsui 173,000 1,215
Mitsui Chemicals 277,000 1,956
Mitsui Marine and Fire Insurance 213,000 1,129
Mitsui Mining & Smelting 85,000 562
39
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
INTERNATIONAL EQUITY FUND -- CONTINUED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Murata Manufacturing 63,000 $ 10,874
NEC 320,000 8,107
Net One Systems 9 213
Nichicon Corporation 10,000 285
Nidec Corporation 9,000 692
Nikko Securities Limited 477,000 4,418
Nikon 149,000 4,107
Nintendo 25,800 3,831
Nippon Paper Industries 151,000 993
Nippon Sheet Glass 153,000 1,384
Nippon Shinpan 338,000 693
Nippon Steel 563,000 1,233
Nippon Telegraph & Telephone 2,019 23,982
Nippon Yusen Kabushiki Kaishi 214,000 921
Nissan Motor* 431,000 2,260
Nomura Securities 331,000 7,587
NSK Limited 95,000 731
NTT Docomo* 645 16,640
Obayashi Corporation 72,000 274
Obic Limited 900 332
Oracle Corporation Japan 1,200 472
Orix Corporation 11,980 1,773
Rohm Limited 39,700 12,379
Ryohin Keikaku 10,200 1,485
Saizeriya Limited 8,700 662
Sakura Bank Limited 1,085,000 8,025
Sankyo 76,000 1,753
Secom 33,000 2,236
Sekisui Chemical 64,000 220
Sekisui House 142,000 1,381
Seven-Eleven 7,000 619
Sharp Corporation 73,000 1,314
Shimamura 10,700 1,117
Shin Etsu Chemical 17,000 833
Shionogi 87,000 1,381
Shiseido 52,000 715
SMC Corporation 5,200 912
Softbank Corporation 10,500 1,608
Softbank Corporation - New* 22,400 3,357
Sony Corporation 97,400 8,813
Sony Corporation ADR 2,600 237
Sumitomo Bank 189,000 2,476
Sumitomo Chemical 181,000 873
Sumitomo Electric Industries 169,000 2,462
Sumitomo Forestry Limited 93,000 579
Suzuki Motor 79,000 971
Taisho Pharmaceutical Limited 35,000 1,069
Taiyo Yuden 34,000 2,581
Takeda Chemical Industries 52,000 3,547
Takefuji Corporation 59,300 6,273
TDK Corporation 6,000 738
Teijin 175,000 729
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Terumo 30,000 $ 958
THK Corporation 4,000 183
Tokai Bank 158,000 770
Tokio Marine & Fire Insurance 95,000 1,036
Tokyo Electric Power 83,400 2,082
Tokyo Electron 62,000 8,458
Toppan Printing Limited 233,000 2,469
Toray 433,000 1,647
Toshiba 100,000 965
Tostem Corporation 36,000 593
Toyo Seikan Kaisha 68,000 1,201
Toyota Motor 149,000 6,761
Ushio 70,000 1,585
Yamada Denki 7,000 559
Yamanouchi Pharmaceutical 20,000 911
Yamato Transportation 38,000 887
--------
292,963
--------
Malaysia -- 0.0%
Westmont Berhad Industries* (1) 227,000 --
--------
--
--------
Mexico -- 0.6%
Cemex ADR* 2,535 54
Telefonos de Mexico ADR 156,527 7,621
--------
7,675
--------
Netherlands -- 8.6%
ABN AMRO Holding 215,500 4,949
Aegon 103,044 3,734
ASM Lithography Holdings* 106,800 3,950
Completel Europe* 124,485 1,458
DSM 40,436 1,327
Elsevier 507,232 4,783
Heineken 39,000 2,012
Heineken Holding, Ser A 32,300 1,066
Ing Groep 199,371 11,980
KLM Royal Dutch Airlines 18,000 404
Koninklijke Ahold 295,815 8,401
Koninklijke KPN 123,309 11,093
Kpnqwest* 102,203 3,564
Philips Electronics 281,160 12,613
TNT Post 237,402 5,754
Unilever 88,706 4,527
United Pan-Europe
Communications* 107,915 2,809
VNU 234,555 12,026
Wolters Kluwer 252,352 6,199
--------
102,649
--------
40
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
New Zealand -- 0.2%
Fisher & Paykel Industries 28,500 $ 85
Sky City Limited 16,800 47
Telecom of New Zealand 647,759 2,278
Warehouse Group Limited 19,000 37
--------
2,447
--------
Norway -- 0.3%
Norsk Hydro 90,000 3,478
--------
3,478
--------
Portugal -- 0.1%
Portugal Telecom ADR 139,000 1,512
--------
1,512
--------
Singapore -- 0.9%
Advanced Systems Automation 169,000 101
Chartered Semiconductor
Manufacturing* 75,000 715
City Developments 55,000 184
Creative Technology 9,200 225
CSE Systems & Engineering* 106,000 59
Datacraft Asia Limited 28,000 195
DBS Group Holdings Limited 576,146 5,755
Ges International Limited 86,000 69
Keppel Land International
Limited 75,000 69
Natsteel Electronics* 17,000 50
Overseas Chinese Banking 60,700 342
Overseas Union Bank 60,411 208
Parkway Holdings 43,000 97
Singapore Airlines Limited 36,000 314
Singapore Press Holdings 78,959 1,190
Singapore Technologies
Engineering 891,000 1,183
Singapore Telecommunications 111,000 151
United Overseas Bank 45,072 245
Venture Manufacturing 9,000 80
--------
11,232
--------
South Africa -- 0.0%
South African Breweries 85,117 520
--------
520
--------
South Korea -- 1.4%
Korea Telecom ADR 106,427 3,938
Pohang Iron & Steel ADR 37,000 758
Samsung Electronics GDR 38,026 6,127
SK Telecom Limited ADR 134,405 5,385
--------
16,208
--------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Spain -- 1.7%
Acerinox 38,500 $ 1,314
Banco Bilbao Vizcaya Argentaria 95,600 1,344
Endesa 55,325 1,152
Grupo Dragados 33,000 245
Repsol 95,300 2,043
Telefonica ADR* 1,300 79
Telefonica* 625,305 12,894
Uralita 78,400 547
--------
19,618
--------
Sweden -- 4.2%
Astrazeneca 121,768 5,130
Atlas Copco, Ser A 239,466 5,359
Electrolux, Ser B 284,827 4,845
Ericsson AB ADR 25,600 525
Ericsson, Ser B 1,492,139 30,472
Foreningssparbaken, Ser A 98,000 1,469
Hennes & Mauritz, Ser B 52,000 1,321
SKF, Ser B 29,600 545
--------
49,666
--------
Switzerland -- 5.3%
ABB Limited 59,149 7,374
Adecco 10,050 7,966
Ascom Holding Bearer 250 759
Baloise Holding 3,780 3,558
Compagnie Financiere Richemont 1,460 3,649
Credit Suisse Group 55,239 10,354
Holderbank Financiere Glarus 1,750 2,061
Nestle, Registered 1,794 3,437
Novartis 8,406 12,455
Schweizensche
Lebensversicherungs 2,150 1,241
Schweizerische Rueckversicherungs 540 1,043
SGS Societe Generale
Surveillance, Ser B 576 1,063
Swisscom 6,066 2,141
Zurich Allied 11,450 5,655
--------
62,756
--------
Taiwan -- 0.4%
Taiwan Semiconductor ADR* 126,149 4,455
--------
4,455
--------
United Kingdom -- 16.2%
Amvescap 64,800 853
Astrazeneca 251,068 10,615
Astrazeneca ADR 1,200 50
BAE Systems 1,081,429 6,807
Barclays Bank 277,852 7,250
Berkeley Group 15,244 128
41
<PAGE>
STATEMENT OF NET ASSETS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
INTERNATIONAL EQUITY FUND -- CONCLUDED
--------------------------------------------------------------------------------
MARKET
DESCRIPTION SHARES VALUE (000)
--------------------------------------------------------------------------------
Billiton 151,445 $ 516
Boc Group 56,500 797
BP Amoco 142,200 1,298
BPB 57,200 318
British Airways* 150,000 815
British American Tobacco 306,700 1,799
British Telecom 440,758 6,408
Cable & Wireless 400,917 6,707
Cadbury Schweppes 332,000 2,217
Centrica 1,585,272 5,756
CGU 86,050 1,312
CMG 117,600 1,646
Coca-Cola Beverages* 201,000 344
COLT Telecom Group* 1,300 46
Dixons Group 305,621 1,451
Energis* 29,103 1,109
Enterprise Oil 269,100 1,926
George Wimpey 330,500 553
GKN 69,900 967
GKN, Cl B* 69,900 10
Glaxo Wellcome 501,650 14,225
Granada Group 570,817 5,079
Invensys 994,800 3,433
Lloyds TSB Group 401,047 4,350
Logica 74,000 1,986
Lonrho 77,500 721
Rank Group 270,000 571
Reed International 685,312 4,545
Reuters Group 371,122 5,546
Rio Tinto 98,854 1,464
Rolls-Royce 162,633 600
Royal Bank of Scotland Group 273,600 4,516
Royal Sun Alliance 169,545 1,012
Scottish Power 733,676 5,834
Shell Transportation & Trading 1,261,092 10,468
Signet Group 582,150 437
Standard Chartered Bank 355,204 4,589
Tate & Lyle 143,000 537
Telewest Communications* 810,822 3,309
Thames Water 176,966 2,129
TI Group 222,000 1,232
Unilever 90,000 596
United Utilities 483,800 4,580
Vodafone Airtouch 9,727,643 44,515
WPP Group 312,100 3,807
Yorkshire Water 115,200 562
----------
192,341
----------
Total Foreign Common Stocks
(Cost $998,735) 1,136,378
----------
--------------------------------------------------------------------------------
SHARES/FACE MARKET
DESCRIPTION AMOUNT (000) VALUE (000)
--------------------------------------------------------------------------------
Foreign Preferred Stocks -- 1.0%
Germany -- 0.9%
SAP* 20,358 $ 10,838
---------
10,838
---------
Italy -- 0.1%
Fiat* 66,500 1,081
---------
1,081
---------
Total Foreign Preferred Stocks
(Cost $14,601) 11,919
---------
U.S. Treasury Obligation -- 0.2%
U.S. Treasury Bill (2)
6.160%, 11/09/00 $ 2,260 2,199
---------
Total U.S. Treasury Obligation
(Cost $2,200) 2,199
---------
Repurchase Agreements -- 1.9%
Morgan Stanley(2)
6.430%, dated 05/31/00, matures
06/01/00, repurchase price
$15,252,881 (collateralized by
RFPR, par value $58,110,000,
0.000%, due 10/15/19,
market value $15,763,965) 15,173 15,173
State Street Bank
5.000%, dated 05/31/00,
matures 06/01/00, repurchase
price $7,621,058 (collateralized
by various U.S. Treasury Notes,
due 12/31/00-11/15/08,
4.625%-6.875%, ranging in par
value $535,000-3,680,000, total
market value $7,785,000) 7,620 7,620
---------
Total Repurchase Agreements
(Cost $22,793) 22,793
---------
Total Investments--98.9%
(Cost $1,038,329) 1,173,289
---------
Other Assets and Liabilities, Net--1.1% 13,417
---------
42
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
MARKET
DESCRIPTION VALUE (000)
--------------------------------------------------------------------------------
Net Assets:
Fund Shares (unlimited authorization --
no par value) based on 87,178,752
outstanding shares of beneficial interest $ 983,894
Accumulated net investment income 3,589
Accumulated net realized gain
on investments 64,471
Net unrealized depreciation on forward
foreign currency contracts, foreign
currency and translation of other
assets and liabilities in foreign currency (110)
Net unrealized appreciation on investments 134,960
Net unrealized depreciation on
futures contracts (98)
----------
Total Net Assets -- 100.0% $1,186,706
==========
Net Asset Value, Offering Price and
Redemption Price Per Share $13.61
==========
* 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, OR PORTION THEREOF, IS PLEDGED AS COLLATERAL ON OPEN FUTURES
CONTRACTS.
ADR -- AMERICAN DEPOSITORY RECEIPT
CL -- CLASS
GDR -- GLOBAL DEPOSITORY RECEIPT
RFPR -- REFCORP BONDS-CORPUS
RNC -- RISPARMIO NON-CONVERTIBLE
SER -- SERIES
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
43
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES (000)
---------------------------------------------------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
----------------
Large
Cap Value
Fund
----------------
ASSETS:
<S> <C>
Investments, at cost $210,629
========
Investments, at value $216,993
Cash 77
Income receivable 641
Investment securities sold 11,645
--------
Total Assets 229,356
--------
LIABILITIES:
Investment securities purchased 2,831
Capital shares redeemed 7,927
Accrued expenses payable 45
Other payables 5
--------
Total Liabilities 10,808
--------
NET ASSETS $218,548
========
Net Assets:
Fund shares (unlimited authorization -- no par value)
based on 21,063,242 outstanding shares of beneficial interest $211,892
Undistributed net investment income 770
Accumulated net realized loss on investments (483)
Net unrealized appreciation on investments 6,364
Net unrealized appreciation on futures contracts 5
--------
TOTAL NET ASSETS $218,548
========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE $ 10.38
========
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
44
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS (000)
---------------------------------------------------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE YEAR ENDED MAY 31, 2000
---------------- ---------------- ----------------
LARGE LARGE LARGE
CAP CAP VALUE CAP GROWTH
FUND FUND (1) FUND (2)
---------------- --------------- ----------------
INVESTMENT INCOME:
<S> <C> <C> <C>
Dividends $ 31,152 $ 950 $ 157
Interest 3,806 139 180
Less: Foreign taxes withheld (54) (1) (2)
-------- ------ --------
Total Investment Income 34,904 1,088 335
-------- ------ --------
EXPENSES:
Management fees 1,265 20 20
Waiver of management fees (1,265) (20) (20)
Investment advisory fees 10,117 138 158
Waiver of investment advisory fees (4,173) (52) (68)
Custodian fees 205 8 5
Transfer agent fees 55 2 1
Professional fees 136 2 2
Registration fees 107 9 9
Printing fees 76 4 3
Trustee fees 46 -- --
Miscellaneous fees 66 -- 1
-------- ------ --------
Total Expenses 6,635 111 111
-------- ------ --------
NET INVESTMENT INCOME 28,269 977 224
-------- ------ --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) from security transactions 125,317 (256) (5,008)
Net realized gain (loss) from futures contracts 4,939 (227) (277)
Net change in unrealized appreciation
(depreciation) on investments 70,372 6,364 (9,043)
Net change in unrealized appreciation
(depreciation) on futures contracts (54) 5 92
-------- ------ --------
Net Realized and Unrealized Gain (Loss)
on Investments, Future Contracts and
Foreign Currency Transactions 200,574 5,886 (14,236)
-------- ------ --------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS $228,843 $6,863 $(14,012)
======== ====== ========
(1) COMMENCED OPERATIONS ON JANUARY 31, 2000.
(2) COMMENCED OPERATIONS ON FEBRUARY 28, 2000.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
45
<PAGE>
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS (000)
---------------------------------------------------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST --FOR THE YEAR ENDED MAY 31, 2000
---------------- ---------------- ----------------
SMALL CORE FIXED INTERNATIONAL
CAP INCOME EQUITY
FUND FUND FUND
---------------- ---------------- ----------------
INVESTMENT INCOME:
<S> <C> <C> <C>
Dividends $ 4,792 $ -- $ 14,235
Interest 2,076 95,490 1,359
Less: Foreign taxes withheld (2) (13) (1,401)
------- --------- --------
Total Investment Income 6,866 95,477 14,193
------- --------- --------
EXPENSES:
Management fees 273 749 470
Waiver of management fees (273) (749) (470)
Investment advisory fees 3,550 4,494 4,794
Waiver of investment advisory fees (788) (2,475) (1,504)
Custodian fees 59 170 554
Transfer agent fees 12 34 17
Professional fees 30 102 47
Registration fees 2 239 93
Printing fees 14 44 21
Trustee fees 10 32 6
Miscellaneous fees 22 72 32
------- --------- --------
Total Expenses 2,911 2,712 4,060
------- --------- --------
NET INVESTMENT INCOME 3,955 92,765 10,133
------- --------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) from security transactions 85,083 (28,025) 85,448
Net realized gain (loss) from futures contracts (42) (2,856) 2,180
Net realized gain from options -- 205 --
Net realized loss on forward foreign currency
contracts and foreign currency transactions -- -- (858)
Net change in unrealized depreciation
on forward foreign currency contracts,
foreign currencies, and translation
of other assets and liabilities
denominated in foreign currencies -- -- (70)
Net change in unrealized appreciation
(depreciation) on investments 4,238 $ (26,517) 63,402
Net change in unrealized appreciation
(depreciation) on futures contracts (41) 550 (153)
Net change in unrealized depreciation on options -- (580) --
------- --------- --------
Net Realized and Unrealized Gain (Loss)
on Investments, Future Contracts and
Foreign Currency Transactions 89,238 (57,223) 149,949
------- --------- --------
NET INCREASE IN NET ASSETS FROM OPERATIONS $93,193 $ 35,542 $160,082
======= ========= ========
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
</TABLE>
46
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (000)
------------------------------------------------------------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE YEARS ENDED MAY 31,
--------------------------- ---------------- ------------------------
LARGE LARGE LARGE
CAP CAP VALUE CAP GROWTH
FUND FUND FUND
--------------------------- ---------------- ------------------------
2000 1999 2000(1) 2000(2)
--------------------------- ---------------- ------------------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 28,269 $ 15,812 $ 977 $ 224
Net realized gain (loss) from security transactions
and futures contracts 130,256 55,997 (483) (5,285)
Net change in unrealized appreciation (depreciation)
on investments and futures contracts 70,318 188,365 6,369 (8,951)
---------- ---------- --------- --------
Net increase (decrease) in net assets from operations 228,843 260,174 6,863 (14,012)
---------- ---------- --------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income (25,350) (15,387) (207) (84)
Net realized gains (111,074) (32,013) -- --
---------- ---------- --------- --------
Total dividends distributed (136,424) (47,400) (207) (84)
---------- ---------- --------- --------
CAPITAL SHARE TRANSACTIONS(3):
Proceeds from shares issued 1,870,462 557,703 228,285 252,813
Reinvestment of distributions 135,916 47,272 207 84
Cost of shares redeemed (584,516) (297,141) (16,600) (6,401)
---------- ---------- --------- --------
Increase in Net Assets Derived from Capital
Share Transactions 1,421,862 307,834 211,892 246,496
---------- ---------- --------- --------
Net increase in net assets 1,514,281 520,608 218,548 232,400
---------- ---------- --------- --------
NET ASSETS:
Beginning of period 1,669,945 1,149,337 -- --
---------- ---------- --------- --------
End of period $3,184,226 $1,669,945 $ 218,548 $232,400
========== ========== ========= ========
(3)CAPITAL SHARE TRANSACTIONS:
Shares issued 97,353 33,151 22,657 23,956
Reinvestment of distributions 7,081 2,878 20 8
Shares redeemed (29,679) (17,609) (1,614) (641)
---------- ---------- --------- --------
Net increase in capital shares 74,755 18,420 21,063 23,323
========== ========== ========= ========
(1) COMMENCED OPERATIONS ON JANUARY 31, 2000.
(2) COMMENCED OPERATIONS ON FEBRUARY 28, 2000.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
47
<PAGE>
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS (000)
------------------------------------------------------------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE YEARS ENDED MAY 31,
---------------------- ---------------------- ----------------------
SMALL CORE FIXED INTERNATIONAL
CAP INCOME EQUITY
FUND FUND FUND
---------------------- ---------------------- ----------------------
2000 1999 2000 1999 2000 1999
---------------------- ---------------------- ----------------------
OPERATIONS:
<S> <C> <C> <C> <C> <C> <C>
Net investment income $ 3,955 $ 1,058 $ 92,765 $ 51,411 $ 10,133 $ 8,570
Net realized gain (loss) from security transactions,
futures contracts and options 85,041 (24,607) (30,676) 4,120 87,628 15,786
Net realized loss on forward foreign currency
contracts and foreign currency transactions -- -- -- -- (858) (1,578)
Net change in unrealized appreciation (depreciation) on
forward foreign currency contracts, foreign
currencies, and translation of other assets and
liabilities denominated in foreign currencies -- -- -- -- (70) 20
Net change in unrealized appreciation (depreciation)
on investments, futures contracts and options 4,197 4,933 (26,547) (26,728) 63,249 22,654
-------- --------- ---------- ---------- ---------- --------
Net increase (decrease) in net assets from operations 93,193 (18,616) 35,542 28,803 160,082 45,452
-------- --------- ---------- ---------- ---------- --------
DIVIDENDS DISTRIBUTED FROM:
Net investment income (3,335) (1,154) (92,730) (51,404) (10,201) (9,587)
Net realized gains -- (24,843) -- (13,815) (32,226) (19,163)
-------- --------- ---------- ---------- ---------- --------
Total dividends distributed (3,335) (25,997) (92,730) (65,219) (42,427) (28,750)
-------- --------- ---------- ---------- ---------- --------
CAPITAL SHARE TRANSACTIONS(1):
Proceeds from shares issued 492,463 240,758 1,225,374 478,577 577,332 222,376
Reinvestment of distributions 3,321 25,950 92,493 65,351 42,109 28,695
Cost of shares redeemed (150,197) (185,611) (307,231) (224,381) (240,779) (131,805)
-------- --------- ---------- ---------- ---------- --------
Increase in Net Assets Derived from Capital
Share Transactions 345,587 81,097 1,010,636 319,547 378,662 119,266
-------- --------- ---------- ---------- ---------- --------
Net increase in net assets 435,445 36,484 953,448 283,131 496,317 135,968
-------- --------- ---------- ---------- ---------- --------
NET ASSETS:
Beginning of period 338,839 302,355 1,046,367 763,236 690,389 554,421
-------- --------- ---------- ---------- ---------- --------
End of period $774,284 $ 338,839 $1,999,815 $1,046,367 $1,186,706 $690,389
======== ========= ========== ========== ========== ========
(1)CAPITAL SHARE TRANSACTIONS:
Shares issued 37,702 21,342 123,056 45,017 42,090 20,211
Reinvestment of distributions 252 2,527 9,314 6,174 3,057 2,609
Shares redeemed (11,133) (17,065) (30,965) (21,076) (17,603) (12,019)
-------- --------- ---------- ---------- ---------- --------
Net increase in capital shares 26,821 6,804 101,405 30,115 27,544 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.
48
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
------------------------------------------------------------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- FOR THE PERIODS ENDED MAY 31,
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
NET
REALIZED
NET ASSET AND DISTRIBUTIONS DISTRIBUTIONS RATIO OF
VALUE NET UNREALIZED FROM NET FROM NET ASSET NET ASSETS EXPENSES
BEGINNING INVESTMENT GAINS/(LOSSES) INVESTMENT REALIZED CAPITAL VALUE END TOTAL END OF TO AVERAGE
OF PERIOD INCOME ON SECURITIES INCOME GAINS OF PERIOD RETURN+ PERIOD (000) NET ASSETS
------------------------------------------------------------------------------------------------------------------------------------
--------------
LARGE CAP FUND
--------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2000 $18.82 $0.20 $ 1.48 $(0.19) $(0.83) $19.48 9.10% $3,184,226 0.26%
1999 16.35 0.20 2.88 (0.20) (0.41) 18.82 19.40 1,669,945 0.26
1998 12.66 0.18 3.98 (0.18) (0.29) 16.35 33.36 1,149,337 0.32
1997(1) 10.00 0.17 2.63 (0.14) -- 12.66 28.22 438,818 0.34
--------------------
LARGE CAP VALUE FUND
--------------------
2000(2)$10.00 $0.06 $ 0.34 $(0.02) $ -- $10.38 4.00% $ 218,548 0.28%
---------------------
LARGE CAP GROWTH FUND
---------------------
2000(3)$10.00 $0.01 $(0.04) $(0.01) $ -- $ 9.96 (0.24)% $ 232,400 0.28%
--------------
SMALL CAP FUND
--------------
2000 $11.35 $0.09 $ 2.30 $(0.08) $ -- $13.66 21.06% $ 774,284 0.53%
1999 13.12 0.03 (0.89) (0.04) (0.87) 11.35 (5.81) 338,839 0.54
1998 10.86 0.07 2.78 (0.07) (0.52) 13.12 26.68 302,355 0.59
1997(1) 10.00 0.06 0.85 (0.05) -- 10.86 9.18 123,941 0.60
----------------------
CORE FIXED INCOME FUND
----------------------
2000 $10.22 $0.61 $(0.40) $(0.61) $ -- $ 9.82 2.07% $1,999,815 0.18%
1999 10.57 0.62 (0.18) (0.63) (0.16) 10.22 4.15 1,046,367 0.18
1998 10.13 0.64 0.50 (0.64) (0.06) 10.57 11.60 763,236 0.20
1997(1) 10.00 0.64 0.17 (0.64) (0.04) 10.13 8.28 349,304 0.21
-------------------------
INTERNATIONAL EQUITY FUND
-------------------------
2000 $11.58 $0.24 $ 2.40 $(0.14) $(0.47) $13.61 22.82% $1,186,706 0.43%
1999 11.35 0.10 0.65 (0.17) (0.35) 11.58 6.93 690,389 0.43
1998 10.69 0.19 0.86 (0.16) (0.23) 11.35 10.40 554,421 0.53
1997(1) 10.00 0.14 0.61 (0.05) (0.01) 10.69 7.56 384,663 0.63
<FN>
+ RETURNS ARE FOR THE PERIOD INDICATED AND HAVE NOT BEEN ANNUALIZED.
(1) COMMENCED OPERATIONS ON JUNE 14, 1996. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(2) COMMENCED OPERATIONS ON JANUARY 31, 2000. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
(3) COMMENCED OPERATIONS ON FEBRUARY 28, 2000. ALL RATIOS FOR THE PERIOD HAVE BEEN ANNUALIZED.
AMOUNTS DESIGNATED AS "--" ARE EITHER $0 OR HAVE BEEN ROUNDED TO $0.
</FN>
</TABLE>
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES INCOME
NET INVESTMENT TO AVERAGE TO AVERAGE
INCOME NET ASSETS NET ASSETS PORTFOLIO
TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
NET ASSETS WAIVERS) WAIVERS) RATE
--------------------------------------------------------------------------------
--------------
LARGE CAP FUND
--------------
2000 1.12% 0.48% 0.90% 64%
1999 1.16 0.48 0.94 60
1998 1.28 0.50 1.10 72
1997(1) 1.65 0.53 1.46 71
--------------------
LARGE CAP VALUE FUND
--------------------
2000(2) 2.47% 0.46% 2.29% 21%
---------------------
LARGE CAP GROWTH FUND
---------------------
2000(3) 0.58% 0.76% 0.10% 13%
--------------
SMALL CAP FUND
--------------
2000 0.73% 0.73% 0.53% 159%
1999 0.33 0.73 0.14 154
1998 0.61 0.75 0.45 120
1997(1) 0.70 0.79 0.51 163
----------------------
CORE FIXED INCOME FUND
----------------------
2000 6.20% 0.40% 5.98% 383%
1999 5.81 0.41 5.58 393
1998 6.13 0.41 5.92 324
1997(1) 6.60 0.42 6.39 194
-------------------------
INTERNATIONAL EQUITY FUND
-------------------------
2000 1.08% 0.64% 0.87% 74%
1999 1.40 0.66 1.17 82
1998 2.21 0.70 2.04 109
1997(1) 1.73 0.82 1.54 120
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
49
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
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 nine 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. Subject to the
foregoing, other securities for which quotations are not readily available are
valued at fair value as determined in good faith by the Board of Trustees. At
May 31, 2000, the Small Cap Fund held Cinar Corp., Cl B, valued under this
valuation method.
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
50
<PAGE>
--------------------------------------------------------------------------------
exchange prevailing on the respective dates of such transactions.
The International Equity Fund does not isolate that portion of gains and
losses on investments in equity securities that is due to changes in the foreign
exchange rates from that which is due to change in market prices of equity
securities.
The International Equity Fund reports certain foreign currency related
transactions as components of realized gains for financial reporting purposes,
whereas such components are treated as ordinary income for Federal income tax
purposes.
FUTURES CONTRACTS -- Each of the Funds utilized futures contracts during
the period ended May 31, 2000. The Large Cap, Large Cap Value, Large Cap Growth,
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, Large Cap Value, Large Cap Growth, 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 TO SHAREHOLDERS -- Distributions from net investment income
are declared and paid to shareholders quarterly for the Large Cap Fund, Large
Cap Value Fund, Large Cap Growth Fund, and the Small Cap Fund; declared daily
and paid
51
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
monthly for the Core Fixed Income Fund; and declared and paid at least
annually for the International Equity Fund.
Distributions from net investment income and net realized capital gains are
determined in accordance with U.S. Federal income tax regulations, which may
differ from those amounts determined under generally accepted accounting
principles. These book/tax differences are either temporary or permanent in
nature. To the extent these differences are permanent, they are charged or
credited to paid in capital in the period that the difference arises.
Accordingly, the following permanent differences have been reclassified to/from
the following accounts during the fiscal year ended May 31, 2000.
Accumulated Accumulated
Net Investment Realized Gain
Fund Income (000) (000)
-------------- --------------- -----------------
Core Fixed Income 4 (4)
International Equity 983 (983)
These reclassifications have no effect on net assets or net asset value per
share.
OTHER -- Security transactions are recorded on the trade date of the
security purchase or sale. Cost used in determining net realized capital gains
and losses on the sale of securities are those of the specific securities sold.
Dividend income is recognized on the ex-dividend date, and interest income is
recognized using the accrual basis of accounting.
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 all or a portion of its fee so that the total annual expenses of
each Fund will not exceed certain voluntary expense limitations adopted by the
Manager.
The Trust and SEI Investments Distribution Co. (the "Distributor") are
parties to a distribution agreement dated June 14, 1996 pursuant to which the
Distributor provides distribution-related services to the Trust. The Distributor
is not currently entitled to any fee for performing these services.
SEI Investments Management Corporation ("SIMC") serves as investment
adviser to each Fund. In connection with serving as investment adviser, SIMC is
entitled to a fee, that is calculated daily and paid monthly, at an annual rate
of .40% of the Large Cap and Large Cap Growth Fund's average daily net assets,
at an annual rate of .35% of the Large Cap Value 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 Investment Management Co. 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.
LSV Asset Management, Mellon Equity Associates, LLP, and Sanford C.
Bernstein &Co., Inc. each serve as an investment sub-adviser to a portion of the
52
<PAGE>
--------------------------------------------------------------------------------
assets of the Large Cap Value Fund and are parties to investment sub-advisory
agreements with the Trust and SIMC dated June 22, 1999.
Alliance Capital Management L.P., Provident Investment Counsel, Inc., and
TCW Investment Management Co. each serve as an investment sub-adviser to a
portion of the assets of the Large Cap Growth Fund and are parties to investment
sub- advisory agreements with the Trust and SIMC dated June 22, 1999.
Nicholas-Applegate Capital Management Inc., Wall Street Associates 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. LSV Asset
Management, RS Investment Management, and Mellon Equity Associates, LLP also
serve as investment sub-advisers to a portion of the assets and are parties to
agreements with the Trust and SIMC dated May 1, 1997, September 30, 1998, and
September 10, 1998, respectively. Artisan Partners Limited Partnership, Sawgrass
Asset Management, LLC, Security Capital Global Capital Management Group, Inc.
and Mazama Capital Management, 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, September 14, 1999, and December
13, 1999, respectively.
Western Asset Management Company and BlackRock, Inc. 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. Robert W. Baird & Co., Inc. also serves as an investment
sub-adviser to a portion of the assets and are parties to agreements with the
Trust and SIMC dated March 31, 2000.
Acadian Asset Management, Inc. and SGY Asset Management each serve as an
investment sub-adviser to a portion of the assets of the International Equity
Fund and are parties to investment sub-advisory agreements with the Trust and
SIMC dated June 14, 1996. Capital Guardian Trust Company, Oechsle International
Advisers, LLC and Black Rock International Ltd., also serve as investment
sub-advisers to a portion of the assets and are parties to agreements with the
Trust and SIMC dated June 29, 1998, June 22, 1999, and December 13, 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, Large Cap Value, Large Cap Growth, Small Cap and
International Equity Funds also used the Distributor as an agent in placing
repurchase agreements. For this service the Distributor retains a portion of the
interest earned as a commission. Such commissions for the period ended May 31,
2000, are $24,312, $885, $486, $14,357, and $6,882, 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.
53
<PAGE>
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000
The forward foreign currency contracts outstanding at May 31, 2000 are as
follows:
IN UNREALIZED
MATURITY CONTRACTS TO EXCHANGE APPRECIATION
DATES DELIVER/RECEIVE FOR (DEPRECIATION)
-------------------------- ------------------- -------------- --------------
INTERNATIONAL EQUITY FUND:
--------------------------
FOREIGN CURRENCY SALES:
6/1/00-6/2/00 AD 122,897 $ 70,945 $ 525
6/1/00-6/2/00 CD 58,794 39,224 (69)
6/2/00 EC 70,647 65,699 (518)
6/5/00 UK 1,076,496 1,598,383 (17,089)
---------- --------
$1,774,251 $(17,151)
========== ========
FOREIGN CURRENCY PURCHASES:
6/6/00 EC 870,501 $ 815,398 $ 810
6/5/00 UK 56,384 84,328 287
---------- --------
$ 899,726 $ 1,097
---------- --------
$(16,054)
========
CURRENCY LEGEND
AD Australian Dollar
CD Canadian Dollar
EC Euro Currency
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 May 31, 2000, are as follows (000):
U.S. Gov't Other Total
---------- -------- ---------
LARGE CAP FUND
Purchases $ -- $2,848,264 $2,848,264
Sales -- 1,577,988 1,577,988
LARGE CAP VALUE FUND
Purchases -- 234,414 234,414
Sales 28,806 28,806
LARGE CAP GROWTH FUND
Purchases -- 250,471 250,471
Sales 18,242 18,242
SMALL CAP FUND
Purchases -- 1,161,436 1,161,436
Sales 818,780 818,780
CORE FIXED INCOME FUND
Purchases 5,484,035 518,051 6,002,086
Sales 4,951,290 203,863 5,155,153
INTERNATIONAL EQUITY FUND
Purchases 169 1,010,523 1,010,692
Sales 110 673,761 673,871
For Federal income tax purposes, the cost of securities owned at May 31,
2000, and the net realized gains or losses on securities sold for the period was
not materially different from the amounts reported for financial reporting
purposes. The aggregate gross unrealized appreciation and depreciation on
investments, futures contracts and options held by the Funds at May 31, 2000,
are as follows:
Net
Unrealized
Appreciated Depreciated Appreciation/
Securities Securities (Depreciation)
(000) (000) (000)
---------- ------------- --------------
Large Cap Fund $685,687 $(184,114) $501,573
Large Cap
Value Fund 15,893 (9,524) 6,369
Large Cap
Growth Fund 11,807 (20,758) (8,951)
Small Cap Fund 109,626 (76,157) 33,469
Core Fixed
Income Fund 10,078 (50,296) (40,218)
International
Equity Fund 188,764 (53,902) 134,862
Subsequent to October 31, 1999, the following Funds had recognized net
capital and net foreign currency losses that have been deferred to 2000 for tax
purposes and can be used to offset future capital and foreign currency gains at
May 31, 2001. The Funds also had capital loss carryforwards at May 31, 2000,
that can be used to offset future capital gains.
Post Post Capital Loss
10/31/99 10/31/99 Carryovers
Capital Currency Expiring
Fund Loss Deferral Loss Deferral 2001 - 2008
-------------- ------------- ------------- ----------------
Large Cap Growth 4,072,257 -- --
Core Fixed Income 13,618,194 -- 17,518,382
International Equity -- 729,478 --
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.
54
<PAGE>
--------------------------------------------------------------------------------
8. FUTURES CONTRACTS
The following Funds had futures contracts open as of May 31, 2000:
Number Contract Unrealized
Contract of Value Gain/Loss
Description Contracts (000) Expiration (000)
----------- --------- --------- ---------- ------------
LARGE CAP FUND
S & P 500 75 $ 26,666 June 2000 $ (142)
LARGE CAP VALUE FUND
S & P 500 5 $ 1,778 June 2000 $ 5
LARGE CAP GROWTH FUND
S & P 500 11 $ 3,911 June 2000 $ 92
SMALL CAP FUND
Russell 2000 6 $ 1,427 June 2000 $ (30)
CORE FIXED INCOME FUND
U.S. 5 Year Note 1,348 $131,704 June 2000 $ 267
U.S. 5 Year Note (19) (1,854) October 2000 (1)
U.S. 10 Year Note 6 581 October 2000 3
U.S. 10 Year Note 187 18,098 October 2000 249
Munis Bond (338) (32,342) June 2000 (192)
-------
$ 326
=======
Number Contract Unrealized
Contract of Value Gain/Loss
Description Contracts (000) Expiration (000)
----------- --------- ------- ----------- ----------
INTERNATIONAL EQUITY FUND
Australia Ords Index 13 $ 572 June 2000 $ 3
CAC 40 Index 40 2,376 June 2000 42
DAX Index 14 2,314 June 2000 (16)
FTSE 100 Index 52 4,947 June 2000 118
Hang Seng Index 5 477 June 2000 25
IBEX 35 Index 12 1,191 June 2000 (10)
NIKKEI 225 Index 60 4,558 June 2000 (261)
MIB 30 Index 3 640 June 2000 1
------
$ (98)
======
9. LINE OF CREDIT
The Large Cap, Small Cap, Core Fixed Income and International Equity Funds have
a bank line of credit. Borrowings under the line of credit are secured by
investment securities of the Funds equal to 110% of such borrowings which may
not exceed 10% of the Funds' total assets. During the period ended May 31, 2000,
no borrowings were made from this line of credit.
10. WRITTEN OPTION TRANSACTIONS
The Core Fixed Income Fund entered into written option transactions during the
year ending May 31, 2000. The following is a summary of those transactions:
PREMIUM
# OF CONTRACTS (000)
--------------- ---------
Balance at the beginning
of period (993) (716)
Written (5,847) (3,803)
Expired 2,015 858
Exercised -- --
Closing Buys 4,825 3,661
------ ------
Balance at end of period 0 0
====== ======
55
<PAGE>
NOTICE TO SHAREHOLDERS
--------------------------------------------------------------------------------
SEI INSTITUTIONAL INVESTMENTS TRUST -- MAY 31, 2000 (UNAUDITED)
For shareholders that do not have a May 31, 2000, taxable year end, this notice
is for informational purposes only. For shareholders with a May 31, 2000,
taxable year end, please consult your tax adviser as to the pertinence of this
notice.
For the fiscal year ended May 31, 2000, the Funds of the SEI Institutional
Investments Trust are designating long term and qualifying dividend income with
regard to distributions paid during the year as follows:
(A) (B)
LONG TERM ORDINARY
CAPITAL GAINS INCOME TOTAL
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS)
---------- -------------- -------------- -------------
Large Cap Fund 62% 38% 100%
Large Cap Value Fund 0% 100% 100%
Large Cap Growth Fund 0% 100% 100%
Small Cap Fund 0% 100% 100%
Core Fixed Income Fund 0% 100% 100%
International Equity Fund 58% 42% 100%
(C) (D) (E)
QUALIFYING TAX-EXEMPT FOREIGN
PORTFOLIO DIVIDENDS(1) INTEREST TAX CREDIT
---------- ------------ ---------- ----------
Large Cap Fund 100% 0% 0%
Large Cap Value Fund 100% 0% 0%
Large Cap Growth Fund 100% 0% 0%
Small Cap Fund 10% 0% 0%
Core Fixed Income Fund N/A 0% 0%
International Equity Fund 0% 0% 10%
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
(2) see attached notice which details the per share amount of foreign taxes
paid by country and the per share amount of each dividend that represents income
derived from sources within each country.
Items (A) and (B) are based on the percentage of each fund's total distribution.
Items (C) and (E) are based on the percentage of ordinary income distributions
of each fund.
Item (D) is based on the percentage of gross income of each fund.
Please consult your tax adviser for proper treatment of this information. This
notification should be kept with your permanent tax records.
56
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SEI INSTITUTIONAL
INVESTMENTS TRUST
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ANNUAL REPORT
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MAY 31, 2000
Robert A. Nesher
CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Rosemarie B. Greco
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
Timothy D. Barto
VICE PRESIDENT, ASSISTANT SECRETARY
James Foggo
VICE PRESIDENT, ASSISTANT SECRETARY
Lydia Gavalis
VICE PRESIDENT, ASSISTANT SECRETARY
Cynthia M. Parrish
VICE PRESIDENT, ASSISTANT SECRETARY
Christine M. McCullough
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 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 1o800oDIALoSEI/1o800o342o5734
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[LOGO OMITTED]
INVESTMENTS
DISTRIBUTION
CO.
OAKS, PA 19456-1100
800-DIAL-SEI/800-342-5734
SEI-F-140-(7/00)
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