# EDGAR Filing Document

**Accession Number:** 0000939934
**File Stem:** 0001752724-23-016950
**Filing Date:** 2023-1
**Character Count:** 11808
**Document Hash:** a5dd91469acb475cd01c5f8d9378f09c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016950.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016950

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SEI INSTITUTIONAL INVESTMENTS TRUST
- **CENTRAL INDEX KEY:** 0000939934
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07257
- **FILM NUMBER:** 23564334

**BUSINESS ADDRESS:**
- **STREET 1:** 1 FREEDOM VALLEY DRIVE
- **CITY:** OAK
- **STATE:** PA
- **ZIP:** 19456
- **BUSINESS PHONE:** 610 676-3097

**MAIL ADDRESS:**
- **STREET 1:** 1 FREEDOM VALLEY DRIVE
- **CITY:** OAK
- **STATE:** PA
- **ZIP:** 19456

## Series and Classes Contracts Data

### SIIT Real Return Fund (Series ID: S000013606)

| Class ID   | Class Name                      | Ticker Symbol   |
|:---|:---|:---|
| C000036889 | SIIT Real Return Fund - Class A | RRPAX           |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** SEI INSTITUTIONAL INVESTMENTS TRUST

- **b. Investment Company Act file number:** 811-07257

- **c. CIK number of Registrant:** 0000939934

- **d. LEI of Registrant:** 0N2JSH1PTH72JCCP2A88

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** ONE FREEDOM VALLEY DRIVE

  - **City:** OAKS

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19456

  - **Telephone number:** 8003425734

**Item A.2. Information about the Series.**

- **a. Name of Series:** SIIT REAL RETURN FUND

- **b. EDGAR series identifier (if any):** S000013606

- **c. LEI of Series:** 2IVLVKXRG9L28ISTNV47

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $292643657.95

**Total Liabilities:** $18723.92

**Net Assets:** $292624934.03

**Cash Not Reported:** $2033283.39

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000036889 | 0.45%                | 1.03%                | -3.40%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1801270.28             | $1897529.80                                |
| Month 2  | $-138725.07              | $3296144.34                                |
| Month 3  | $-108374.41              | $-10075874.47                              |

### Schedule of Portfolio Investments

| Name                     | Title                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8%  01/15/2027 | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  12922000 | PA      | $15143804.72  | 5.18%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 2% 01/15/26        | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   5308000 | PA      | $8003578.37   | 2.74%             | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 01/15/26    | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  13443000 | PA      | $16255167.94  | 5.55%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 1-5/8% 10/15/27    | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  10124000 | PA      | $10255583.76  | 3.50%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/4% 01/15/2025  | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  14524000 | PA      | $17566998.75  | 6.00%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-3/8% 01/15/25    | CUSIP: 912810FR4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   7853000 | PA      | $12466686.29  | 4.26%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2025  | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  15958000 | PA      | $19289840.63  | 6.59%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2027  | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  14414000 | PA      | $16691110.05  | 5.70%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125%  10/15/2024 | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  15292000 | PA      | $17107660.37  | 5.85%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-3/8% 01/15/27    | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |   5398000 | PA      | $8202382.80   | 2.80%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8%  07/15/2026 | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  13761000 | PA      | $16205254.44  | 5.54%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/4% 07/15/2024  | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  15934000 | PA      | $19331256.47  | 6.61%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 04/15/2027  | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  18678000 | PA      | $18501282.50  | 6.32%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 01/15/2024  | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  17258000 | PA      | $21521267.19  | 7.35%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 10/15/2026  | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  17292000 | PA      | $17825688.50  | 6.09%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES .50%  04/15/24     | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  10419000 | PA      | $11955676.96  | 4.09%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States of America | TSY INFL IX N/B 0.125000% 04/15/2025                            | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  12629000 | PA      | $13910854.95  | 4.75%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125%  10/15/2025 | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  15045000 | PA      | $16497374.95  | 5.64%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 04/15/2026  | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |  12167000 | PA      | $13055376.23  | 4.46%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America | U.S. TREASURY INFLATION-PROTECTED SECURITIES 0.125%  10/15/2025 | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | USGA              | US        |    303000 | PA      | $332250.22    | 0.11%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-11-30

**Name of Applicant:** SEI INSTITUTIONAL INVESTMENTS TRUST

**Signature:** Ankit Puri

**Name of Signer:** Ankit Puri

**Title:** CFO