Sei Daily Income Trust NCSRS Certified semi-annual shareholder report (management investment company)

Sei Daily Income Trust N-CSRSCertified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-03451

SEI Daily Income Trust

(Exact name of registrant as specified in charter)

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Address of principal executive offices) (Zip code)

c/o CT Corporation

101 Federal Street

Boston, MA 02110

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-800-342-5734

Date of fiscal year end: January 31, 2012

Date of reporting period: July 31, 2011

Item 1.

Reports to Stockholders.

LOGO

SEI Daily Income Trust

Semi-Annual Report as of July 31, 2011

Money Market Fund

Government Fund

Government II Fund

Prime Obligation Fund

Treasury Fund

Treasury II Fund

Short-Duration Government Fund

Intermediate-Duration Government Fund

GNMA Fund

Ultra Short Duration Bond Fund

TABLE OF CONTENTS



Schedule of Investments			1

Statements of Assets & Liabilities			32

Statements of Operations			34

Statements of Changes in Net Assets			36

Financial Highlights			40

Notes to Financial Statements			44

Disclosure of Fund Expenses			52

The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Since the Funds in SEI Daily Income Trust typically hold only fixed income securities, they generally are not expected to hold securities for which they may be required to vote proxies. Regardless, in light of the possibility of the possibility that a Fund could hold a security for which a proxy is voted, the Trust has adopted proxy voting policies. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.

SCHEDULE OF INVESTMENTS (Unaudited)

Money Market Fund

July 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Value ($ Thousands)


COMMERCIAL PAPER (A) (B) — 33.0%
Alpine Securitization
0.345%, 10/31/11	$	950	$	949
Atlantis One Funding
0.371%, 09/07/11		2,000		1,999
BNZ International Funding
0.401%, 08/03/11 to 09/02/11		1,950		1,949
0.361%, 01/13/12		7,000		6,988
Cancara Asset Securitisation LLC
0.170%, 08/12/11		3,400		3,400
Coca-Cola
0.130%, 10/11/11		4,000		3,999
Commonwealth Bank of Australia
0.331%, 01/23/12 to 01/25/12		6,844		6,833
Credit Suisse
0.190%, 10/11/11		7,000		6,997
DnB Bank
0.300%, 12/08/11		1,939		1,937
Fairway Finance LLC
0.130%, 08/16/11		1,298		1,298
FCAR Owner Trust
0.401%, 11/07/11		1,300		1,299
0.351%, 01/03/12		5,900		5,891
0.351%, 01/04/12		2,400		2,396
Gemini Securitization LLC
0.240%, 08/03/11		5,100		5,100
General Electric Capital
0.321%, 12/08/11 to 12/16/11		3,900		3,895
Gotham Funding
0.190%, 08/15/11		3,496		3,496
Govco LLC
0.200%, 08/24/11		4,900		4,899
Jupiter Securitization LLC
0.170%, 09/09/11		4,400		4,399
Liberty Street Funding LLC
0.200%, 08/01/11		1,000		1,000
Manhattan Asset Funding LLC
0.300%, 08/01/11		275		275
0.210%, 08/08/11		3,000		3,000
0.201%, 08/10/11		7,000		7,000
Market Street Funding LLC
0.180%, 09/14/11		2,100		2,100
MetLife Short Term Funding LLC
0.290%, 09/06/11		2,500		2,499
0.200%, 10/03/11		7,000		6,997
0.240%, 10/11/11		5,000		4,998
0.220%, 10/31/11		250		250


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Prudential PLC
0.280%, 08/29/11 to 10/11/11	$	5,984	$	5,981
Sanofi-Aventis
0.330%, 09/20/11		1,600		1,599
Skandinaviska Enskilda Banken
0.250%, 09/01/11		6,500		6,499
Societe Generale
0.320%, 09/07/11		3,800		3,799
Surrey Funding
0.260%, 08/02/11		650		650
Variable Funding Capital LLC
0.170%, 10/14/11		2,479		2,478
Victory Receivables
0.200%, 08/18/11		3,000		3,000
Westpac Banking (C)
0.215%, 08/03/11		2,000		2,000
0.300%, 01/11/12		3,000		2,996

Total Commercial Paper (Cost $124,845) ($ Thousands)				124,845


CERTIFICATES OF DEPOSIT — 22.0%
Bank of Nova Scotia
0.453%, 10/29/11 (C)		3,700		3,702
0.200%, 11/02/11		2,594		2,594
Barclays Bank PLC (C)
0.266%, 08/11/11		6,600		6,600
0.267%, 08/28/11		3,700		3,700
BNP Paribas
0.432%, 09/06/11 (C)		3,400		3,400
0.449%, 09/11/11 (C)		4,700		4,700
0.540%, 09/23/11		1,500		1,500
0.446%, 09/23/11 (C)		2,200		2,200
Credit Industriel et Commercial
0.310%, 09/01/11		10,000		10,000
National Australia Bank
0.320%, 10/07/11		2,000		2,000
0.305%, 11/28/11		4,000		4,000
Nordea Bank Finland PLC
0.200%, 10/07/11		2,900		2,900
Rabobank Nederland
0.370%, 08/08/11		2,500		2,500
Skandinaviska Enskilda Banken
0.260%, 10/11/11		2,800		2,800
Societe Generale
0.280%, 09/01/11		6,500		6,500
Sumitomo Mitsui Bank
0.190%, 08/22/11		4,000		4,000
Svenska Handelsbanken
0.205%, 08/10/11		6,000		6,000
0.300%, 10/27/11		2,400		2,400
Toronto-Dominion Bank
0.190%, 10/23/11		2,200		2,200
0.257%, 08/28/11 (C)		3,500		3,501


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			1

SCHEDULE OF INVESTMENTS (Unaudited)

Money Market Fund (Continued)

July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

UBS
0.287%, 08/23/11	$	4,000	$	4,000
0.236%, 08/14/11 (C)		2,000		2,000

Total Certificates of Deposit (Cost $83,197) ($ Thousands)				83,197


MUNICIPAL BONDS (C) — 2.3%

Colorado — 0.1%
Colorado State, Housing & Finance Authority, Ser AA1, RB
0.140%, 08/03/11		395		395


Connecticut — 0.2%
Connecticut State, Housing & Finance Authority, Sub-Ser A-5, RB
0.158%, 08/04/11		670		670


Iowa — 0.4%
Iowa State, Finance Authority, Ser C, RB
0.148%, 08/04/11		1,455		1,455
Iowa State, Finance Authority, Ser G, RB
0.150%, 08/04/11		85		85

				1,540


Kentucky — 0.5%
Kentucky State, Housing Development Authority, Ser J, RB
0.170%, 08/04/11		1,915		1,915
Kentucky State, Housing Development Authority, Ser W, RB
0.170%, 08/03/11		175		175

				2,090


New Hampshire — 0.1%
New Hampshire State, Health & Education Facilities Authority, Ser C, RB
0.130%, 08/03/11		190		190


New Mexico — 0.1%
New Mexico State, Finance Authority, Sub-Ser D, GO
0.128%, 08/04/11		300		300


Texas — 0.7%
Texas State, GO
0.170%, 08/02/11		400		400
0.160%, 08/02/11		105		105
0.130%, 08/03/11		100		100
Texas State, RB
0.128%, 08/03/11		120		120


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Texas State, Ser A, GO
0.170%, 08/02/11	$	500	$	500
Texas State, Ser A-2, GO
0.128%, 08/03/11		1,000		1,000
Texas State, Ser B2, GO
0.128%, 08/03/11		100		100
Texas State, Ser C, GO
0.128%, 08/03/11		210		210
Texas State, Ser I, GO
0.128%, 08/03/11		195		195

				2,730


Wisconsin — 0.2%
Wisconsin State, Housing & Economic Development Authority, Ser D, RB
0.170%, 08/03/11		600		600

Total Municipal Bonds (Cost $8,515) ($ Thousands)				8,515


U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.4%
FFCB
0.206%, 08/10/11 (C)		1,000		1,000
FHLB
0.130%, 02/24/12		1,100		1,100
FHLMC DN
0.170%, 09/20/11 (A)		1,000		1,000
FNMA
0.216%, 08/20/11 (C)		1,000		999
FNMA, Ser 1
0.400%, 08/01/11 (C)		1,000		1,000

Total U.S. Government Agency Obligations (Cost $5,099) ($ Thousands)				5,099


REPURCHASE AGREEMENTS (D) — 41.3%
BNP Paribas 0.220%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $3,000,055 (collateralized by Federal Republic of Brazil, par value $2,659,444, 10.250%, 06/17/13, with total market value $3,150,001)		3,000		3,000
Goldman Sachs 0.220%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $39,000,715 (collateralized by various FHLMC obligations, ranging in par value $11,402,000-$25,867,000, 1.000%-5.500%, 07/30/14-08/23/17, with total market value $39,780,892)		39,000		39,000


2		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

JPMorgan Chase 0.260%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $4,000,087 (collateralized by Federated Retail Holdings, par value $3,675,000, 5.900%, 12/01/16, with total market value $4,200,178)	$	4,000	$	4,000
JPMorgan Chase 0.200%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $34,000,567 (collateralized by various FNMA obligations, ranging in par value $225,000-$2,065,350, 3.500%-6.500%, 04/01/13-07/01/41, with total market value $34,681,457)		34,000		34,000
Morgan Stanley 0.210%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $33,000,578 (collateralized by FNMA, par value $32,495,367, 4.500%, 07/01/41, with total market value $33,660,001)		33,000		33,000
UBS 0.210%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $43,310,758 (collateralized by FNMA, par value $42,495,957, 4.500%, 06/01/41, with total market value $44,176,201)		43,310		43,310

Total Repurchase Agreements (Cost $156,310) ($ Thousands)				156,310

Total Investments — 100.0% (Cost $377,966) ($ Thousands)			$	377,966

Percentages are based on Net Assets of $377,943 ($ Thousands).

(A)

The rate reported is the effective yield at time of purchase.

(B)

Securities are held in connection with a letter of credit issued by a major bank.

(C)

Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2011. The demand and interest rate reset features give this security a shorter effective maturity date.

(D)

Tri-Party Repurchase Agreement.

DN — Discount Note

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

As of July 31, 2011, all of the Fund’s investments are Level 2 in accordance with ASC 820. For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			3

SCHEDULE OF INVESTMENTS (Unaudited)

Government Fund

July 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Value ($ Thousands)


U.S. GOVERNMENT AGENCY OBLIGATIONS — 40.0%
FFCB
0.288%, 08/01/11 (A)	$	496	$	497
0.178%, 08/01/11 (A)		10,000		9,999
0.300%, 08/01/11 (A)		8,000		8,000
0.205%, 08/05/11 (A)		430		430
0.218%, 08/07/11 (A)		3,000		3,000
0.206%, 08/10/11 (A)		6,400		6,399
0.206%, 08/13/11 (A)		348		348
0.196%, 08/13/11 (A)		8,284		8,287
0.216%, 08/20/11 (A)		1,000		1,001
0.166%, 08/21/11 (A)		10,000		9,999
0.137%, 08/29/11 (A)		2,000		1,999
0.950%, 03/05/12		3,065		3,079
FFCB DN
0.130%, 11/28/11 (B)		10,000		9,996
FFCB, Ser 1 (A)
0.166%, 08/13/11		1,000		1,000
0.157%, 09/22/11		2,000		2,000
0.198%, 10/25/11		1,470		1,470
FHLB
0.137%, 08/26/11 (A)		12,500		12,497
0.290%, 10/20/11 (A)		2,800		2,800
0.260%, 11/17/11		12,000		11,998
0.785%, 11/25/11		6,000		6,008
0.130%, 01/23/12 to 02/15/12		47,000		46,994
FHLB DN (B)
0.165%, 09/09/11		5,000		4,999
0.130%, 12/02/11		20,000		19,991
0.097%, 01/06/12		24,000		23,990
FHLB, Ser 1
0.137%, 08/25/11 (A)		2,000		1,999
FHLMC (A)
0.220%, 08/01/11		723		723
0.156%, 08/03/11		5,149		5,149
0.136%, 08/03/11 to 08/04/11		14,500		14,489
0.210%, 08/10/11		4,790		4,788
0.146%, 08/14/11		7,000		7,000
0.146%, 08/21/11		4,000		3,997
0.136%, 08/21/11		3,000		3,000
FHLMC DN (B)
0.160%, 09/12/11		12,500		12,498
0.170%, 09/20/11		15,000		14,996
0.140%, 09/26/11		14,861		14,858
0.150%, 10/17/11		7,000		6,998
0.180%, 10/18/11		6,310		6,307
0.130%, 12/05/11		3,000		2,998


Description	Face Amount ($ Thousands)		Value ($ Thousands)

FHLMC DN, Ser RB
0.250%, 08/16/11 (B)	$	21,000	$	20,998
FHLMC MTN
0.146%, 08/16/11 (A)		10,291		10,291
FNMA (A)
0.280%, 08/01/11		435		435
0.216%, 08/20/11		4,000		3,999
FNMA DN (B)
0.100%, 08/08/11		9,000		9,000
0.200%, 08/10/11		7,000		7,000
0.155%, 08/24/11		10,000		9,999
0.160%, 08/31/11		15,000		14,998
0.170%, 09/14/11		28,250		28,244
0.145%, 09/21/11		12,000		11,998
0.130%, 12/01/11		17,000		16,992
0.140%, 12/19/11		22,000		21,988
FNMA, Ser 1
0.400%, 08/01/11 (A)		5,850		5,849

Total U.S. Government Agency Obligations (Cost $458,372) ($ Thousands)				458,372


REPURCHASE AGREEMENTS (C) — 59.7%
BNP Paribas 0.210%, dated 07/31/11, to be repurchased on 08/01/11, repurchase price $55,000,963 (collateralized by American Express Bank, par value $55,803,187, 3.150%, 12/09/11, with total market value $56,650,000)		55,000		55,000
BNP Paribas 0.200%, dated 07/31/11, to be repurchased on 08/01/11, repurchase price $150,002,500 (collateralized by various U.S. Treasury obligations, ranging in par value $137,590,000-$216,100,000, 0.000%-0.000%, 01/15/30-04/15/30, with total market value $153,000,242)		150,000		150,000
Deutsche Bank 0.180%, dated 07/31/11, to be repurchased on 08/01/11, repurchase price $200,003,000 (collateralized by various FFCB/FHLB/FHLMC/FNMA obligations, ranging in par value $1,000-$11,600,000, 0.000%-7.125%, 08/05/11-06/15/37, with total market value $204,000,498)		200,000		200,000
Goldman Sachs 0.200%, dated 07/31/11, to be repurchased on 08/01/11, repurchase price $55,000,917 (collateralized by Citigroup Funding, par value $55,366,872, 1.875%, 10/22/12, with total market value $56,650,945)		55,000		55,000


4		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Goldman Sachs 0.150%, dated 07/31/11, to be repurchased on 08/01/11, repurchase price $170,524,132 (collateralized by various FFCB obligations, ranging in par value $17,528,000-$156,479,000, 0.000%-0.000%, 07/24/13-01/15/14, with total market value $173,934,618)	$	170,522	$	170,522
UBS 0.210%, dated 07/31/11, to be repurchased on 08/01/11, repurchase price $55,000,963 (collateralized by various corporate obligations*, ranging in par value $2,749,166-$20,524,000, 1.875%-3.150%, 12/09/11-12/28/12, with total market value $56,650,001)		55,000		55,000

Total Repurchase Agreements (Cost $685,522) ($ Thousands)				685,522

Total Investments — 99.7% (Cost $1,143,894) ($ Thousands)			$	1,143,894

* A summary of the corporate obligations used to collateralize repurchase agreements entered into by the Fund at July 29, 2011, is as follows:


Counterparty	Corporate Obligation	Rate			Maturity Date		Par Amount ($ Thousands)
UBS	American Express Bank		3.150	%		12/09/11	$	13,792
	Citibank		1.750			12/28/12		18,490
	Citigroup Funding		1.875			11/15/12		20,524
	JPMorgan Chase		2.125			12/26/12		2,749

Percentages are based on Net Assets of $1,147,402 ($ Thousands).

(A)

(B)

The rate reported is the effective yield at time of purchase.

(C)

Tri-Party Repurchase Agreement.

DN — Discount Note

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

MTN — Medium Term Note

Ser — Series

The accompanying notes are an integral part of the financial statements.


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			5

SCHEDULE OF INVESTMENTS (Unaudited)

Government II Fund

July 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Value ($ Thousands)


U.S. GOVERNMENT AGENCY OBLIGATIONS — 84.2%
FFCB
0.158%, 08/01/11 (A)	$	7,000	$	6,997
0.178%, 08/01/11 (A)		15,000		14,998
0.288%, 08/01/11 (A)		1,754		1,757
0.300%, 08/01/11 (A)		11,000		11,000
0.500%, 08/01/11 (A)		2,000		2,003
0.380%, 08/02/11		3,000		3,000
0.205%, 08/05/11 (A)		540		540
0.218%, 08/07/11 (A)		13,000		12,998
0.206%, 08/10/11 (A)		14,500		14,497
0.206%, 08/13/11 (A)		7,274		7,276
0.127%, 08/17/11 (A)		500		500
0.216%, 08/20/11 (A)		2,505		2,507
0.166%, 08/21/11 (A)		13,000		12,999
0.157%, 08/27/11 (A)		9,000		9,000
0.117%, 08/27/11 (A)		14,000		13,997
0.187%, 08/27/11 (A)		2,000		2,000
0.177%, 08/28/11 (A)		13,000		13,000
0.137%, 08/29/11 (A)		7,000		6,998
3.125%, 09/23/11		1,000		1,004
0.950%, 03/05/12		3,678		3,695
FFCB DN (B)
0.100%, 08/01/11		30,000		30,000
0.135%, 09/08/11		2,200		2,200
0.130%, 09/09/11 to 11/28/11		25,300		25,292
0.165%, 11/21/11		3,600		3,598
FFCB, Ser 1 (A)
0.166%, 08/13/11		6,000		6,000
0.198%, 10/25/11		1,848		1,848
0.157%, 09/22/11		5,000		5,000
FHLB
0.147%, 08/10/11 (A)		2,500		2,499
0.136%, 08/13/11 (A)		7,000		6,998
5.375%, 08/19/11		1,800		1,805
0.137%, 08/23/11 (A)		2,750		2,749
0.137%, 08/26/11 (A)		9,000		8,998
3.625%, 09/16/11		3,625		3,641
0.290%, 10/20/11 (A)		14,000		13,999
0.260%, 11/17/11		10,000		9,999
0.785%, 11/25/11		8,000		8,011
0.130%, 01/23/12 to 02/15/12		57,000		56,992
FHLB DN (B)
0.001%, 08/01/11		149,195		149,195
0.042%, 08/03/11		25,203		25,203
0.050%, 08/04/11		31,000		31,000
0.001%, 08/05/11 to 09/14/11		43,687		43,687
0.200%, 08/08/11		39,000		39,000
0.010%, 08/10/11		73,000		73,000
0.002%, 08/12/11		300,000		300,000


Description	Face Amount ($ Thousands)		Value ($ Thousands)

0.035%, 08/19/11	$	31,000	$	31,000
0.006%, 08/26/11		11,300		11,300
0.023%, 08/31/11		18,091		18,091
0.017%, 09/07/11		2,000		2,000
0.165%, 09/09/11		9,000		8,998
0.170%, 09/14/11		15,000		14,997
0.165%, 09/14/11		14,000		13,997
0.166%, 09/23/11		10,000		9,997
0.175%, 10/14/11		2,535		2,534
0.140%, 11/04/11		5,000		4,999
0.124%, 12/07/11		23,408		23,398
0.097%, 01/06/12		30,000		29,987
FHLB, Ser 1
0.170%, 09/16/11		1,150		1,150
0.137%, 10/25/12 (A)		3,700		3,699
FHLB, Ser 3
0.091%, 08/01/11 (A)		4,000		4,000

Total U.S. Government Agency Obligations (Cost $1,171,627) ($ Thousands)				1,171,627

Total Investments — 84.2% (Cost $1,171,627)($ Thousands)			$	1,171,627

Percentages are based on Net Assets of $1,391,069 ($ Thousands).

(A)

(B)

The rate reported is the effective yield at time of purchase.

DN — Discount Note

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

Ser — Series

As of July 31, 2011, all of the Fund’s investments are Level 2 in accordance with ASC 820. For more information on valuation inputs. see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.


6		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011

SCHEDULE OF INVESTMENTS (Unaudited)

Prime Obligation Fund

July 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Value ($ Thousands)


COMMERCIAL PAPER (A) (B) — 38.7%
Alpine Securitization
0.345%, 10/31/11	$	10,200	$	10,191
Atlantis One Funding
0.371%, 09/07/11		20,700		20,692
BNZ International Funding
0.401%, 08/03/11 to 09/02/11		29,500		29,494
0.230%, 10/11/11		13,000		12,994
0.361%, 01/13/12		26,000		25,957
Cancara Asset Securitisation LLC
0.170%, 08/12/11		50,000		49,997
0.210%, 09/02/11		40,000		39,993
Coca-Cola
0.130%, 10/11/11		41,000		40,990
Commonwealth Bank of Australia
0.331%, 01/25/12		41,480		41,413
Credit Suisse
0.190%, 10/11/11		88,000		87,967
DnB Bank
0.371%, 09/07/11		4,200		4,198
0.263%, 12/02/11		78,000		77,930
Fairway Finance LLC
0.130%, 08/16/11		13,153		13,152
FCAR Owner Trust
0.401%, 11/07/11		14,650		14,634
0.351%, 01/03/12		78,925		78,806
0.351%, 01/04/12		31,900		31,852
Gemini Securitization LLC
0.240%, 08/03/11		58,200		58,199
General Electric Capital
0.321%, 12/08/11 to 12/16/11		40,900		40,853
Gotham Funding
0.190%, 08/15/11		37,613		37,610
Govco LLC
0.200%, 08/24/11		62,100		62,092
Jupiter Securitization LLC
0.290%, 08/01/11		3,180		3,180
0.170%, 09/09/11		53,100		53,090
Liberty Street Funding LLC
0.200%, 08/01/11		8,000		8,000
Manhattan Asset Funding LLC
0.300%, 08/01/11		2,700		2,700
0.210%, 08/08/11		25,500		25,499
0.201%, 08/10/11		76,000		75,996


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Market Street Funding LLC
0.180%, 09/14/11	$	25,354	$	25,348
MetLife Short Term Funding LLC
0.280%, 08/22/11		31,000		30,995
0.290%, 09/06/11		29,100		29,092
0.240%, 09/19/11		5,000		4,998
0.200%, 10/03/11		85,000		84,963
0.220%, 10/31/11		2,800		2,798
Old Line Funding LLC
0.180%, 08/30/11		23,019		23,016
Prudential PLC
0.280%, 10/11/11		52,108		52,079
Sanofi-Aventis
0.330%, 09/20/11		17,300		17,292
Skandinaviska Enskilda Banken
0.250%, 09/01/11		68,000		67,985
Societe Generale
0.320%, 09/07/11		42,900		42,886
Surrey Funding
0.260%, 08/02/11		7,600		7,600
Thunder Bay Funding LLC
0.300%, 10/11/11		12,200		12,193
Variable Funding Capital LLC
0.170%, 10/14/11		25,224		25,215
Victory Receivables
0.200%, 08/18/11		27,000		26,998
Westpac Banking
0.215%, 08/03/11		26,000		26,000
0.552%, 10/21/11 (C)		4,460		4,463
0.300%, 01/11/12		27,000		26,963
Prudential PLC
0.250%, 08/15/11		50,000		49,995
0.280%, 08/26/11		14,600		14,598

Total Commercial Paper (Cost $1,522,956) ($ Thousands)				1,522,956


CERTIFICATES OF DEPOSIT — 24.8%
Bank of Nova Scotia
0.190%, 09/01/11		50,000		50,000
0.453%, 10/29/11 (C)		38,100		38,123
0.200%, 11/02/11		26,420		26,420
Barclays Bank PLC (C)
0.266%, 08/11/11		68,700		68,700
0.267%, 08/28/11		43,400		43,400
0.266%, 10/01/11		31,400		31,400
BNP Paribas
0.432%, 09/06/11 (C)		37,300		37,300
0.449%, 09/11/11 (C)		71,000		71,000
0.540%, 09/23/11		17,600		17,600
0.446%, 09/23/11 (C)		25,300		25,300
Credit Industriel et Commercial
0.310%, 09/01/11		124,000		124,001


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			7

SCHEDULE OF INVESTMENTS (Unaudited)

Prime Obligation Fund (Continued)

July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

National Australia Bank
0.320%, 10/07/11	$	72,000	$	72,003
0.305%, 11/28/11		31,000		31,000
Nordea Bank Finland PLC
0.200%, 10/07/11		33,100		33,100
Rabobank Nederland
0.370%, 08/08/11		23,000		23,000
0.370%, 08/10/11		8,040		8,040
Skandinaviska Enskilda Banken
0.260%, 10/11/11		36,000		36,000
Societe Generale
0.280%, 09/01/11		78,000		78,000
Sumitomo Mitsui Bank
0.190%, 08/22/11		47,000		47,000
Svenska Handelsbanken
0.300%, 10/27/11		28,900		28,900
Toronto-Dominion Bank
0.190%, 10/24/11		23,900		23,900
UBS (C)
0.287%, 08/23/11		37,000		37,000
0.236%, 08/14/11		24,000		24,000

Total Certificates of Deposit (Cost $975,187) ($ Thousands)				975,187


MUNICIPAL BONDS (C) — 2.0%

Colorado — 0.4%
Colorado State, Housing & Finance Authority, Ser A1, RB
0.200%, 08/03/11		900		900
0.160%, 08/03/11		1,825		1,825
0.160%, 08/03/11		100		100
0.130%, 08/03/11		3,125		3,125
Colorado State, Housing & Finance Authority, Ser AA1, RB
0.140%, 08/03/11		3,665		3,665
Colorado State, Housing & Finance Authority, Ser B1, RB
0.140%, 08/03/11		3,955		3,955
Colorado State, Housing & Finance Authority, Ser C1, RB
0.150%, 08/03/11		1,000		1,000
Colorado State, Housing & Finance Authority, Ser CL1, RB
0.200%, 08/03/11		400		400
Colorado State, Housing & Finance Authority, Ser I, RB
0.140%, 08/03/11		1,140		1,140

				16,110


Connecticut — 0.1%
Connecticut State, Housing & Finance Authority, Sub-Ser A-5, RB
0.158%, 08/04/11		4,330		4,330


Description	Face Amount ($ Thousands)		Value ($ Thousands)


Iowa — 0.3%
Iowa State, Finance Authority, Ser B, RB
0.150%, 08/04/11	$	900	$	900
Iowa State, Finance Authority, Ser C, RB
0.148%, 08/04/11		9,345		9,345
Iowa State, Finance Authority, Ser G, RB
0.150%, 08/04/11		410		410
Iowa State, Finance Authority, Ser M, RB
0.150%, 08/04/11		800		800

				11,455


Kentucky — 0.0%
Kentucky State, Housing Development Authority, Ser J, RB
0.170%, 08/04/11		250		250
Kentucky State, Housing Development Authority, Ser W, RB
0.170%, 08/03/11		1,515		1,515

				1,765


Minnesota — 0.0%
Minnesota Housing Finance Agency, Ser T, RB
0.210%, 08/04/11		195		195


New Hampshire — 0.1%
New Hampshire State, Health & Education Facilities Authority, Ser C, RB
0.130%, 08/03/11		2,945		2,945


New Mexico — 0.1%
New Mexico State, Finance Authortiy, Sub-Ser D, GO
0.128%, 08/04/11		3,600		3,600


Texas — 0.9%
Texas State, RB
0.128%, 08/03/11		1,490		1,490
Texas State, GO
0.170%, 08/02/11		3,555		3,555
0.170%, 08/02/11		4,290		4,290
0.160%, 08/02/11		4,155		4,155
0.130%, 08/03/11		1,150		1,150
Texas State, Ser A, GO
0.170%, 08/02/11		3,955		3,955
Texas State, Ser A-2, GO
0.128%, 08/03/11		400		400
Texas State, Ser B, GO
0.150%, 08/04/11		585		585
Texas State, Ser B2, GO
0.128%, 08/03/11		1,000		1,000


8		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Texas State, Ser C, GO
0.130%, 08/03/11	$	9,445	$	9,445
0.128%, 08/03/11		2,620		2,620
Texas State, Ser I, GO
0.128%, 08/03/11		2,395		2,395

				35,040


Wisconsin — 0.1%
Wisconsin Housing & Economic Development Authority, Ser B, RB
0.148%, 08/04/11		990		990
Wisconsin State, Housing & Economic Development Authority, Ser D, RB
0.170%, 08/03/11		1,050		1,050
0.168%, 08/03/11		260		260

				2,300

Total Municipal Bonds (Cost $77,740) ($ Thousands)				77,740


U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.6%
FFCB
0.206%, 08/10/11 (C)		10,000		9,998
FHLB
0.130%, 02/24/12		13,500		13,498
FHLMC DN
0.170%, 08/20/11 (A)		10,500		10,497
FNMA
0.216%, 12/20/12 (C)		8,000		7,998
FNMA, Ser 1
0.400%, 08/01/11 (C)		22,900		22,894

Total U.S. Government Agency Obligations (Cost $64,885) ($ Thousands)				64,885


TIME DEPOSIT — 0.6%
Citibank
0.120%, 08/01/11		23,000		23,000

Total Time Deposit (Cost $23,000) ($ Thousands)				23,000


REPURCHASE AGREEMENTS (D) — 32.0%
Barclays Capital 0.130%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $138,609,502 (collateralized by U.S. Treasury Notes, par value $130,427,800, 3.125%, 10/31/16, with total market value $141,380,170)		138,608		138,608
BNP Paribas 0.220%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $28,000,513 (collateralized by Korea Development Bank, par value $29,833,261, 0.539%, 11/22/12, with total market value $29,400,000)		28,000		28,000


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Goldman Sachs 0.220%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $461,008,452 (collateralized by various FHLMC/FNMA obligations, ranging in par value $4,873,547-$76,061,000, 4.000%-6.000%, 07/01/24-07/01/41, with total market value $470,228,621)	$	461,000	$	461,000
JPMorgan Chase 0.260%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $40,000,867 (collateralized by various corporate obligations*, ranging in par value $1,978,000-$6,300,000, 3.030%-7.750%, 10/25/11-07/15/20, with total market value $42,002,951)		40,000		40,000
JPMorgan Chase 0.200%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $200,003,333 (collateralized by various FNMA obligations, par value $692,454-$1,983,100, 3.500%-8.000%, 06-01-15-07/01/41, with total market value $204,001,201)		200,000		200,000
Morgan Stanley 0.210%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $99,001,733 (collateralized by various FNMA obligations, ranging in par value $41,827,917-$70,137,590, 4.500%-5.500%, 11/01/38-05/01/41, with total market value $100,980,000)		99,000		99,000
UBS 0.210%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $4,000,070 (collateralized by Wachovia Bank, par value $3,811,965, 4.875%, 02/01/15, with total market value $4,200,001)		4,000		4,000
UBS 0.210%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $139,002,433 (collateralized by various FHLMC/FNMA obligations, ranging in par value $53,284,814-$114,489,739, 4.000%-4.500%, 03/01/39-07/01/41, with total market value $141,780,000)		139,000		139,000


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			9

SCHEDULE OF INVESTMENTS (Unaudited)

Prime Obligation Fund (Concluded)

July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

UBS 0.140%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $148,107,728 (collateralized by various U.S. Treasury obligations, ranging in par value $46,350,200-$95,206,600, 0.000%-0.500%, 01/26/12-04/15/15, with total market value $151,068,142)	$	148,106	$	148,106

Total Repurchase Agreements (Cost $1,257,714) ($ Thousands)				1,257,714

Total Investments — 99.7% (Cost $3,921,482) ($ Thousands)			$	3,921,482

A summary of the corporate obligations used to collateralize repurchase agreements entered into by the Fund at July 29, 2011, is as follows:


Counterparty	Corporate Obligation	Rate			Maturity Date		Par Amount ($ Thousands)
JPMorgan Chase	Anadarko Petroleum		5.750	%		06/15/14	$	4,390
	Boston Scientific		6.400			06/15/16		6,300
	Boston Scientific		4.500			01/15/15		2,400
	Emparq		6.738			06/01/13		1,978
	Entertainment Properties Trust		7.750			07/15/20		4,325
	Expedia		7.456			08/15/18		2,193
	SLM		3.030			10/25/11		2,640
	SLM		5.000			04/15/15		5,041
	SLM		5.375			05/15/14		3,395
	Tennessee Gas Pipeline		7.500			04/01/17		4,996

Percentages are based on Net Assets of $3,932,271 ($ Thousands).

(A)

The rate reported is the effective yield at time of purchase.

(B)

Securities are held in connection with a letter of credit issued by a major bank.

(C)

(D)

Tri-Party Repurchase Agreement.

DN — Discount Note

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

The accompanying notes are an integral part of the financial statements.


10		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011

SCHEDULE OF INVESTMENTS (Unaudited)

Treasury Fund

July 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Value ($ Thousands)


REPURCHASE AGREEMENTS (A) — 85.2%
Barclays Capital 0.130%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $53,344,578 (collateralized by U.S. Treasury Notes, par value $52,144,400, 2.500%, 03/31/13, with total market value $54,410,946)	$	53,344	$	53,344
Citibank 0.150%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $90,001,125 (collateralized by U.S. Treasury Notes, par value $84,221,600, 3.125%, 01/31/17, with total market value $91,800,057)		90,000		90,000
Credit Suisse 0.140%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $90,001,050 (collateralized by U.S. Treasury Notes, par value $84,685,000, 3.250%, 12/31/16, with total market value $91,802,022)		90,000		90,000
Deutsche Bank 0.140%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $60,000,700 (collateralized by U.S. Treasury Notes, par value 61,113,900, 0.500%, 11/15/13, with total market value $61,200,011)		60,000		60,000
Morgan Stanley 0.160%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $90,001,200 (collateralized by U.S. Treasury Bonds, ranging in par value $3,204,900-$44,517,700, 2.000%-3.875%, 01/15/26-04/15/29, with total market value $91,800,022)		90,000		90,000
RBS 0.150%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $20,000,250 (collateralized by U.S. Treasury Notes, par value $19,710,000, 1.750%, 07/31/15, with total market value $20,401,097)		20,000		20,000

Total Repurchase Agreements (Cost $403,344) ($ Thousands)				403,344

Total Investments — 85.2% (Cost $403,344) ($ Thousands)			$	403,344

Percentages are based on Net Assets of $473,443 ($ Thousands).

(A)

Tri-party Repurchase Agreement.

The accompanying notes are an integral part of the financial statements.


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			11

SCHEDULE OF INVESTMENTS (Unaudited)

Treasury II Fund

July 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 91.1%
U.S. Treasury Bills (A)
0.041%, 09/01/11	$	2,500	$	2,500
0.135%, 09/22/11		2,400		2,400
0.140%, 10/06/11		2,500		2,499
0.160%, 11/17/11		1,000		1,000
U.S. Treasury Notes
1.000%, 09/30/11 to 10/31/11		27,500		27,549
4.625%, 10/31/11		2,000		2,021
1.750%, 11/15/11		6,000		6,026
4.500%, 11/30/11		1,000		1,014
0.750%, 11/30/11		4,900		4,909

Total U.S. Treasury Obligations (Cost $49,918) ($ Thousands)				49,918

Total Investments — 9.1%⁽¹⁾ (Cost $49,918) ($ Thousands)			$	49,918

Percentages are based on Net Assets of $547,697 ($ Thousands).

(1)

See Note 1 in Notes to Financial Statements.

(A)

The rate reported is the effective yield at time of purchase.

The accompanying notes are an integral part of the financial statements.


12		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011

SCHEDULE OF INVESTMENTS (Unaudited)

Short-Duration Government Fund

July 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 60.3%

Agency Mortgage-Backed Obligations — 60.3%
FHLMC
7.375%, 09/01/18 (A)	$	5	$	5
7.287%, 03/01/19 (A)		20		20
7.250%, 01/01/18 to 09/01/20 (A)		37		39
7.125%, 07/01/18 to 11/01/20 (A)		11		11
7.000%, 02/01/16 to 11/01/18 (A)		27		29
6.875%, 07/01/18 to 07/01/18 (A)		17		17
6.750%, 09/01/16 to 01/01/17 (A)		9		9
6.625%, 02/01/16 to 06/01/18 (A)		7		8
6.500%, 07/01/16 to 01/01/17 (A)		11		10
6.000%, 06/01/21		977		1,072
4.500%, 07/01/23		7		7
2.581%, 07/01/24 (A)		20		21
2.569%, 06/01/24 to 06/01/24 (A)		158		160
2.481%, 12/01/23 (A)		2,103		2,211
2.477%, 04/01/22 (A)		31		31
2.459%, 06/01/17 (A)		26		26
2.458%, 05/01/24 (A)		58		58
2.435%, 04/01/19 to 05/01/19 (A)		45		46
2.427%, 07/01/20 (A)		4		4
2.385%, 02/01/19 (A)		25		25
2.383%, 04/01/29 (A)		93		96
2.359%, 12/01/23 (A)		100		101
2.260%, 04/01/29 (A)		41		43
2.250%, 03/01/19 (A)		28		29
2.000%, 02/01/17 (A)		3		3
1.750%, 04/01/16 to 03/01/17 (A)		10		10
FHLMC REMIC, Ser 2002-42, Cl A5
7.500%, 02/25/42		704		843
FHLMC REMIC, Ser 2003-2587, Cl ET
3.700%, 07/15/17		175		179
FHLMC REMIC, Ser 2004-2780, Cl LC
5.000%, 07/15/27		98		98
FHLMC REMIC, Ser 2004-2805, Cl DG
4.500%, 04/15/17		123		125
FHLMC REMIC, Ser 2004-2826, Cl BK
5.000%, 01/15/18		178		181
FHLMC REMIC, Ser 2004-2864, Cl NV
4.500%, 08/15/15		3,119		3,267
FHLMC REMIC, Ser 2005-3022, Cl MB
5.000%, 12/15/28		779		796
FHLMC REMIC, Ser 2005-3029, Cl PE
5.000%, 03/15/34		4,000		4,373
FHLMC REMIC, Ser 2006-3148, Cl CF
0.587%, 02/15/34 (A)		1,632		1,627


Description	Face Amount ($ Thousands)		Value ($ Thousands)

FHLMC REMIC, Ser 2010-3628, Cl PJ
4.500%, 01/15/40	$	14,196	$	15,346
FHLMC REMIC, Ser 3153, Cl FX
0.536%, 05/15/36 (A)		498		496
FHLMC TBA
6.000%, 09/01/32		50,000		54,859
5.500%, 08/01/37		31,000		33,567
4.000%, 08/15/41		31,000		31,484
FNMA
7.000%, 06/01/37		61		71
6.500%, 05/01/26 to 09/01/36		1,386		1,553
6.442%, 04/01/14		3,750		3,969
6.000%, 02/01/23 to 09/01/24		16,667		18,134
5.942%, 11/01/11		199		199
5.890%, 10/01/11		2,171		2,170
5.500%, 06/01/16 to 12/01/25		4,819		5,244
5.300%, 07/01/19		1,358		1,523
5.140%, 11/01/15		3,238		3,592
5.090%, 11/01/15		4,125		4,571
5.016%, 02/01/13		72		75
5.000%, 03/01/19 to 08/01/19		545		590
4.975%, 12/01/13		1,407		1,505
4.835%, 11/01/12		992		1,020
4.830%, 02/01/13		2,179		2,259
4.771%, 09/01/15		7,065		7,804
4.621%, 04/01/13		106		110
4.100%, 07/01/13		934		972
3.730%, 05/01/14		13,555		13,749
3.580%, 10/01/16		2,417		2,535
2.990%, 10/01/17		3,459		3,528
2.891%, 12/01/29 (A)		129		131
2.630%, 09/01/17		22,925		22,994
2.482%, 08/01/29 (A)		492		519
2.360%, 09/01/25 (A)		110		115
2.318%, 09/01/24 (A)		750		777
2.231%, 02/01/27 (A)		102		106
2.176%, 05/01/28 (A)		697		724
2.054%, 08/01/27 (A)		443		447
FNMA REMIC, Ser 1992-61, Cl FA
0.869%, 10/25/22 (A)		132		132
FNMA REMIC, Ser 1993-5, Cl Z
6.500%, 02/25/23		27		30
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23		54		59
FNMA REMIC, Ser 1994-77, Cl FB
1.719%, 04/25/24 (A)		12		12
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16		129		139
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17		697		738
FNMA REMIC, Ser 2002-53, Cl FK
0.586%, 04/25/32 (A)		228		228
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/33		666		703


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			13

SCHEDULE OF INVESTMENTS (Unaudited)

Short-Duration Government Fund (Continued)

July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

FNMA REMIC, Ser 2004-15, Cl AN
4.000%, 09/25/17	$	2,039	$	2,088
FNMA REMIC, Ser 2004-75, Cl KA
4.500%, 03/25/18		95		97
FNMA REMIC, Ser 2005-43, Cl EN
5.000%, 05/25/19		266		268
FNMA REMIC, Ser 2006-76, Cl QF
0.586%, 08/25/36 (A)		2,612		2,604
FNMA REMIC, Ser 2006-79, Cl DF
0.536%, 08/25/36 (A)		2,328		2,324
FNMA REMIC, Ser 2007-47, Cl DA
5.600%, 05/25/37		4,026		4,461
FNMA REMIC, Ser 2010-149, Cl VA
4.500%, 02/25/22		9,836		10,709
FNMA REMIC, Ser 2010-4, Cl PL
4.500%, 02/25/40		10,635		11,489
FNMA, Ser 2010-M5, Cl A2
2.806%, 07/25/20		13,700		13,764
FNMA TBA
6.000%, 09/01/37		55,600		61,001
5.500%, 08/01/37		3,600		3,901
GNMA
6.500%, 04/15/17 to 02/20/39		2,647		2,982
6.000%, 06/15/16 to 09/15/19		421		461
GNMA REMIC, Ser 2006-38, Cl XS, IO
7.063%, 09/16/35 (A)		180		35
GNMA TBA
5.500%, 08/01/23		30,500		33,736
NCUA Guaranteed Notes, Ser 2010-R1, Cl 2A
1.840%, 10/07/20		969		980

Total Mortgage-Backed Securities (Cost $399,612) ($ Thousands)				405,259


U.S. GOVERNMENT AGENCY OBLIGATIONS — 21.0%
FHLB
3.250%, 09/12/14		9,915		10,649
2.750%, 03/13/15		4,440		4,681
FHLMC
2.500%, 04/23/14		50,024		52,410
FNMA
5.000%, 03/15/16		18,352		21,222
3.000%, 09/16/14		2,220		2,369
2.750%, 03/13/14		35,520		37,419
0.750%, 02/26/13		12,580		12,648

Total U.S. Government Agency Obligations (Cost $136,824) ($ Thousands)				141,398


U.S. TREASURY OBLIGATIONS — 18.5%
U.S. Treasury Notes
1.000%, 03/31/12		101,073		101,574


Description	Face Amount ($ Thousands)		Value ($ Thousands)
2.625%, 11/15/20	$	23,236	$	23,046

Total U.S. Treasury Obligations (Cost $122,921) ($ Thousands)				124,620


REPURCHASE AGREEMENTS (B) — 31.9%
BNP Paribas 0.200%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $52,500,875 (collateralized by various FHLMC/FNMA obligations, ranging in par value $6,550,752-$17,552,000, 3.500%-6.000%, 11/01/25-08/01/41, with total market value $53,550,001)		52,500		52,500
JPMorgan Chase 0.200%, dated 07/29/11, to be repurchased on 08/01/2011, repurchase price $162,302,705 (collateralized by various FNMA obligations, ranging in par value $80,000-$1,642,676, 3.000%-7.500%, 04/01/19-08/01/41, with total market value $165,546,618)		162,300		162,300

Total Repurchase Agreements (Cost $214,800) ($ Thousands)				214,800

Total Investments — 131.7% (Cost $874,157) ($ Thousands)			$	886,077

Futures — A summary of the open futures contracts held by the Fund at July 31, 2011, is as follows (see Note 2 in Notes to Financial Statements):


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(437	)		Sep-2011	$	(802	)
U.S. 2-Year Treasury Note		889			Oct-2011		675
U.S. 5-Year Treasury Note		(730	)		Sep-2011		(1,458	)

						$	(1,585	)

Percentages are based on Net Assets of $672,604 ($ Thousands).

(A)

Variable Rate Security — The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2011. The date reported is the final maturity date.

(B)

Tri-Party Repurchase Agreement.

Cl — Class

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

IO — Interest Only — face amount represents notional amount

NCUA — National Credit Union Administration

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced


14		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011

The following is a summary of the inputs used as of July 31, 2011 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	405,259	$	—	$	405,259
U.S. Government Agency Obligations		—		141,398		—		141,398
U.S. Treasury Obligation		—		124,620		—		124,620
Repurchase Agreements		—		214,800		—		214,800

Total	$	—	$	886,077	$	—	$	886,077


Other Financial Instuments*	Level 1			Level 2		Level 3		Total
Futures	$	(1,585	)	$	—	$	—	$	(1,585	)

Other Financial Instruments are valued at unrealized appreciation/depreciation.

For the period ended July 31, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities. For the period ended July 31, 2011, there were no Level 3 securities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			15

SCHEDULE OF INVESTMENTS (Unaudited)

Intermediate-Duration Government Fund

July 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 84.6%

Agency Mortgage-Backed Obligations — 84.6%
FHLMC
6.500%, 01/01/18 to 12/01/32	$	239	$	272
6.000%, 09/01/24		779		861
5.500%, 06/01/19 to 12/01/20		463		504
FHLMC REMIC, Ser 1990-165, Cl K
6.500%, 09/15/21		9		10
FHLMC REMIC, Ser 1993-1599, Cl C
6.100%, 10/15/23		155		162
FHLMC REMIC, Ser 2003-2586, Cl NK
3.500%, 08/15/16		4		4
FHLMC REMIC, Ser 2003-2587, Cl ET
3.700%, 07/15/17		101		103
FHLMC REMIC, Ser 2003-2622, Cl PE
4.500%, 05/15/18		2,780		2,990
FHLMC REMIC, Ser 2003-2630, Cl HA
3.000%, 01/15/17		139		140
FHLMC REMIC, Ser 2004-2748, Cl LE
4.500%, 12/15/17		645		665
FHLMC REMIC, Ser 2004-2802, Cl PF
0.586%, 09/15/33 (A)		662		662
FHLMC REMIC, Ser 2005-3029, Cl PE
5.000%, 03/15/34		1,300		1,421
FHLMC REMIC, Ser 2635, Cl NJ
3.000%, 03/15/17		55		56
FHLMC TBA
5.000%, 08/01/34		1,600		1,705
4.000%, 08/15/41		1,000		1,016
FNMA
9.500%, 05/01/18		25		28
6.500%, 03/01/33 to 10/01/34		156		177
6.450%, 10/01/18		523		597
6.000%, 02/01/23		508		553
5.931%, 02/01/12		344		345
5.680%, 06/01/17		539		599
5.626%, 12/01/11		569		568
5.500%, 03/01/14 to 12/01/25		2,713		2,960
5.034%, 08/01/15		372		411
5.016%, 02/01/13		188		194
5.000%, 02/01/13 to 06/01/23		2,736		2,938
4.771%, 09/01/15		1,236		1,366
4.360%, 12/01/15		979		1,054
3.790%, 07/01/13		1,018		1,055
2.990%, 10/01/17		3,262		3,326


Description	Face Amount ($ Thousands)		Value ($ Thousands)

FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16	$	182	$	196
FNMA REMIC, Ser 2004-15, Cl AN
4.000%, 09/25/17		510		522
FNMA REMIC, Ser 2006-79, Cl DF
0.536%, 08/25/36 (A)		411		410
FNMA REMIC, Ser 2007-47, Cl DA
5.600%, 05/25/37		700		776
FNMA REMIC, Ser 2010-4, Cl PL
4.500%, 02/25/40		1,231		1,329
FNMA REMIC, Ser 2010-149, Cl VA
4.500%, 02/25/22		1,006		1,096
FNMA, Ser 2010-M5, Cl A2
2.806%, 07/25/20		3,300		3,316
FNMA TBA
6.000%, 09/01/37		3,300		3,621
5.500%, 08/01/37		900		975
GNMA
8.750%, 07/20/17 to 07/20/17		8		9
8.500%, 11/20/16 to 08/20/17		39		43
7.500%, 11/15/25 to 03/15/27		31		36
6.000%, 09/15/24		645		726
GNMA TBA
5.500%, 08/01/23		4,300		4,756
NCUA Guaranteed Notes, Ser 2010-R1, Cl 2A
1.840%, 10/07/20		235		238

Total Mortgage-Backed Securities (Cost $43,457) ($ Thousands)				44,791


U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.1%
FHLB
2.750%, 03/13/15		1,500		1,581
FNMA
2.750%, 03/13/14		2,050		2,160

Total U.S. Government Agency Obligations (Cost $3,613) ($ Thousands)				3,741


U.S. TREASURY OBLIGATIONS — 5.4%
U.S. Treasury Notes (C)
2.250%, 05/31/14		1,300		1,363
0.750%, 06/15/14		1,500		1,510

Total U.S. Treasury Obligations (Cost $2,830) ($ Thousands)				2,873


ASSET-BACKED SECURITY — 1.2%
Small Business Administration, Ser 2005-P10B, Cl 1
4.940%, 08/10/15		570		607

Total Asset-Backed Security (Cost $570) ($ Thousands)				607


16		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)


REPURCHASE AGREEMENT (B) — 25.1%
BNP Paribas 0.200%, dated 0729/11, to be repurchased on 08/01/11, repurchase price $13,300,222 (collateralized by various FHLMC/FNMA obligations, ranging in par value $1,398,950-$6,258,728, 4.000%-5.175%, 02/01/21-12/01/39, with total market value $13,566,000)	$	13,300	$	13,300

Total Repurchase Agreement (Cost $13,300) ($ Thousands)				13,300

Total Investments — 123.4% (Cost $63,770) ($ Thousands)			$	65,312

Futures — A summary of the open futures contracts held by the Fund at July 31, 2011, is as follows (see Note 2 in Notes to Financial Statements):


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(17	)		Sep-2011	$	(23	)
U.S. 2-Year Treasury Note		(9	)		Oct-2011		(2	)
U.S. 5-Year Treasury Note		199			Oct-2011		594

						$	569

Percentages are based on Net Assets of $52,922 ($ Thousands).

(A)

Variable Rate Security — The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2011. The date reported is the final maturity date.

(B)

Tri-Party Repurchase Agreement.

(C)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

NCUA — National Credit Union Administration

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

The following is a summary of the inputs used as of July 31, 2011 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	44,791	$	—	$	44,791
U.S. Government Agency Obligations		—		3,741		—		3,741
U.S. Treasury Obligations		—		2,873		—		2,873
Asset-Backed Security		—		607		—		607
Repurchase Agreement		—		13,300		—		13,300

Total	$	—	$	65,312	$	—	$	65,312


Other Financial Instruments*	Level 1		Level 2		Level 3		Total
Futures	$	569	$	—	$	—	$	569

Other Financial Instruments are valued at unrealized appreciation/depreciation.

For the period ended July 31, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities. For the period ended July 31, 2011, there were no Level 3 securities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			17

SCHEDULE OF INVESTMENTS (Unaudited)

GNMA Fund

July 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 100.4%

Agency Mortgage-Backed Obligations — 100.4%
FHLMC REMIC, Ser 2006-3175, Cl SA, IO
6.964%, 08/15/11 (A)	$	604	$	105
FHLMC REMIC, Ser 2006-3179, Cl SP, IO
6.433%, 08/15/11 (A)		1,165		173
FHLMC REMIC, Ser 2007-3279, Cl SD, IO
6.244%, 08/15/11 (A)		4,124		658
FHLMC REMIC, Ser 2007-3309, Cl SC, IO
6.263%, 08/15/11 (A)		3,657		599
FHLMC REMIC, Ser 2010-3631, IO
6.263%, 08/15/11 (A)		16,116		2,650
FNMA
8.000%, 09/01/14 to 09/01/28		87		101
7.000%, 08/01/29 to 09/01/32		323		374
6.500%, 09/01/32		125		141
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/20		29		33
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22		55		62
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17		1,271		1,377
FNMA REMIC, Ser 2007-19, Cl SA, IO
6.223%, 08/25/11 (A)		8,800		1,329
GNMA
10.000%, 05/15/16 to 09/15/19		16		17
9.500%, 11/15/16 to 11/15/20		49		57
9.000%, 12/15/17 to 05/15/22		127		144
8.500%, 10/15/16 to 06/15/17		40		41
8.000%, 04/15/17 to 03/15/32		594		668
7.750%, 10/15/26		42		50
7.500%, 02/15/27 to 10/15/35		351		411
7.250%, 01/15/28		134		156
7.000%, 04/15/19 to 06/20/38		5,522		6,412
6.750%, 11/15/27		47		54
6.500%, 02/15/13 to 05/15/40		5,775		6,560
6.000%, 07/15/24 to 10/15/39		2,985		3,344
5.500%, 01/15/33 to 12/15/38 (C)		12,659		14,091
5.000%, 04/15/33 to 06/15/40 (C)		25,645		28,117
4.500%, 08/15/33 to 10/15/40		4,261		4,559
GNMA REMIC, Ser 2002-45, Cl QE
6.500%, 06/20/32		802		939
GNMA REMIC, Ser 2005-70, Cl AI, IO
5.000%, 10/20/33		4,097		498
GNMA REMIC, Ser 2006-38, Cl XS, IO
7.063%, 09/16/35 (A)		4,508		884
GNMA REMIC, Ser 2009-104, Cl XV
5.000%, 05/20/26		2,700		2,989


Description	Face Amount ($ Thousands)		Value ($ Thousands)

GNMA, Ser 2003-9, Cl Z
5.500%, 01/20/33	$	2,441	$	2,719
GNMA TBA
6.500%, 08/20/33		700		788
6.000%, 09/01/36		12,000		13,384
5.500%, 08/01/23		22,900		25,330
5.000%, 08/01/33		11,500		12,551
4.500%, 08/15/39		44,500		47,420
4.000%, 08/01/39 to 08/01/39		35,600		36,801

Total Mortgage-Backed Securities (Cost $207,292) ($ Thousands)				216,586


REPURCHASE AGREEMENTS (B) — 62.8%
JPMorgan Chase 0.200%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $134,102,235 (collateralized by various FNMA obligations, ranging in par value $782,558-$1,021,601, 3.000%-6.500%, 03/01/13-08/1/41, with total market value $136,782,797)		134,100		134,100
UBS 0.200%, dated 07/29/11, to be repurchased on 08/01/11, repurchase price $1,300,022 (collateralized by FNMA, par value $1,361,555, 5.000%, 07/01/40, with total market value $1,326,001)		1,300		1,300

Total Repurchase Agreements (Cost $135,400) ($ Thousands)				135,400

Total Investments — 163.2% (Cost $342,692) ($ Thousands)			$	351,986

Futures — A summary of the open futures contracts held by the Fund at July 31, 2011, is as follows (see Note 2 in Notes to Financial Statements):


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		86			Sep-2011	$	155
U.S. 2-Year Treasury Note		(47	)		Oct-2011		(10	)
U.S. 5-Year Treasury Note		(32	)		Sep-2011		(96	)
U.S. Long Treasury Bond		(5	)		Sep-2011		(8	)

						$	41

Percentages are based on Net Assets of $215,641 ($ Thousands).

(A)

Variable Rate Security — The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2011. The date reported is the final maturity date.

(B)

Tri-Party Repurchase Agreement.

(C)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association


18		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011

IO — Interest Only — face amount represents notional amount

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

The following is a summary of the inputs used as of July 31, 2011 in valuing the Fund’s investments carried at fair value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	216,586	$	—	$	216,586
Repurchase Agreements		—		135,400		—		135,400

Total	$	—	$	351,986	$	—	$	351,986


Other Financial Instruments*	Level 1		Level 2		Level 3		Total
Futures	$	41	$	—	$	—	$	41

Other Financial Instruments are valued at unrealized appreciation/depreciation.

For the period ended July 31, 2011, there were no significant transfers between Level 1 and Level 2 assets and liabilities. For the period ended July 31, 2011, there were no Level 3 securities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			19

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund

July 31, 2011

LOGO


Description	Face Amount ($ Thousands)		Value ($ Thousands)


CORPORATE OBLIGATIONS — 37.6%

Banks — 9.5%
ANZ National International
2.375%, 12/21/12 (A)	$	342	$	347
Bank of America MTN
1.673%, 01/30/14 (B)		1,000		998
Bank of Montreal
2.125%, 06/28/13		504		518
Bank of Montreal MTN
0.723%, 04/29/14 (B)		500		500
Bank of Nova Scotia
0.505%, 11/26/12 (B)		776		776
2.375%, 12/17/13		447		460
Bank of Tokyo-Mitsubishi
2.600%, 01/22/13 (A)		336		343
BB&T
0.953%, 04/28/14 (B)		525		525
BB&T MTN
3.375%, 09/25/13		629		658
BNP Paribas MTN
2.125%, 12/21/12		546		552
BPCE
2.375%, 10/04/13 (A)		504		514
Canadian Imperial Bank of Commerce
0.473%, 05/04/12		839		840
1.450%, 09/13/13		703		709
Danske Bank MTN
1.299%, 04/14/14 (A) (B)		1,050		1,050
Deutsche Bank
2.375%, 01/11/13		315		320
HSBC Bank PLC
1.050%, 01/17/14 (A) (B)		923		928
ING Bank
2.650%, 01/14/13 (A)		525		532
2.000%, 10/18/13 (A)		629		628
Intesa Sanpaolo
2.375%, 12/21/12		629		608
Nordea Bank
1.750%, 10/04/13 (A)		629		633
Royal Bank of Canada MTN
0.550%, 04/17/14 (B)		1,000		1,001
Royal Bank of Scotland PLC
3.400%, 08/23/13		839		856
Santander US Debt Unipersonal
0.652%, 10/21/11 (A) (B)		692		691


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Societe Generale
2.200%, 09/14/13 (A)	$	525	$	522
Societe Generale MTN
1.296%, 04/11/14 (A) (B)		1,000		979
Standard Chartered PLC
1.214%, 05/12/14 (A) (B)		1,000		999
State Street
0.602%, 03/07/14 (B)		715		715
Swedbank Hypotek
0.696%, 03/28/14 (A) (B)		1,400		1,402
Toronto-Dominion Bank
0.549%, 07/14/14 (B)		620		622
Wachovia MTN
5.500%, 05/01/13		734		790

				21,016


Consumer Products — 1.1%
CVS Caremark
5.750%, 08/15/11		734		735
DIRECTV Holdings LLC
3.500%, 03/01/16		465		489
President and Fellows of Harvard College
3.700%, 04/01/13		556		585
Procter & Gamble
1.350%, 08/26/11		525		525

				2,334


Energy — 0.7%
BP Capital Markets PLC
5.250%, 11/07/13		525		570
0.850%, 03/11/14 (B)		1,000		1,002

				1,572


Financial Services — 7.1%
Ally Financial
2.200%, 12/19/12		252		258
0.246%, 12/19/12 (B)		734		735
American Express Credit
1.096%, 06/24/14 (B)		1,500		1,498
American Honda Finance MTN
0.474%, 08/28/12 (A) (B)		420		420
0.416%, 03/27/12 (A) (B)		734		734
American Honda Finance
2.375%, 03/18/13 (A)		248		253
Caterpillar Financial Services
0.536%, 04/01/14 (B)		850		852
Caterpillar Financial Services MTN
1.900%, 12/17/12		350		356
Citigroup
5.125%, 05/05/14		839		900
1.176%, 04/01/14 (B)		1,250		1,237
ERAC USA Finance LLC
2.750%, 07/01/13 (A)		531		543
2.250%, 01/10/14 (A)		135		138


20		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

General Electric Capital
1.096%, 01/07/14 (B)	$	420	$	420
General Electric Capital MTN
1.138%, 05/09/16 (B)		1,000		999
0.246%, 12/21/12 (B)		713		713
John Deere Capital MTN
1.875%, 06/17/13		420		430
0.399%, 07/15/13 (B)		655		656
Kimco Realty
6.000%, 11/30/12		734		775
National Rural Utilities Cooperative Finance
1.125%, 11/01/13		202		203
NCUA Guaranteed Notes
0.206%, 06/12/13 (B)		530		530
Nissan Motor Acceptance
3.250%, 01/30/13 (A)		122		125
Toyota Motor Credit MTN
1.375%, 08/12/13		839		848
Ventas Realty
3.125%, 11/30/15		519		528
Volkswagen International Finance
0.856%, 04/01/14 (A) (B)		850		853
Western Union
0.832%, 03/07/13 (B)		810		813

				15,817


Food, Beverage & Tobacco — 3.3%
Anheuser-Busch InBev Worldwide
0.977%, 03/26/13 (B)		315		318
0.802%, 01/27/14 (B)		986		993
0.609%, 07/14/14 (B)		1,200		1,204
Archer-Daniels-Midland
0.422%, 08/13/12 (B)		1,028		1,030
Coca-Cola Enterprises
0.561%, 02/18/14 (B)		1,049		1,051
Dr Pepper Snapple Group
1.700%, 12/21/11		420		422
General Mills
5.250%, 08/15/13		776		842
Kraft Foods
5.625%, 11/01/11		54		55
2.625%, 05/08/13		311		321
Philip Morris International
2.500%, 05/16/16		1,000		1,028

				7,264


Health Care — 2.0%
AmerisourceBergen
5.625%, 09/15/12		1,049		1,104
Express Scripts
5.250%, 06/15/12		650		674
GlaxoSmithKline Capital
4.850%, 05/15/13		357		384


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Novartis Capital
1.900%, 04/24/13	$	313	$	321
Pfizer
4.450%, 03/15/12		420		430
Quest Diagnostics
1.096%, 03/24/14 (B)		335		337
Sanofi
0.556%, 03/28/14 (B)		1,000		1,005
Thermo Fisher Scientific
2.050%, 02/21/14		274		282

				4,537


Industrials — 0.5%
Boeing
1.875%, 11/20/12		304		309
Danaher
1.300%, 06/23/14		670		678
Textron
6.500%, 06/01/12		210		219

				1,206


Information Technology — 1.1%
Dell
3.375%, 06/15/12		147		150
eBay
0.875%, 10/15/13		290		290
Hewlett-Packard
0.654%, 05/30/14 (B)		1,000		1,006
Xerox
1.081%, 05/16/14 (B)		995		1,001

				2,447


Insurance — 2.8%
Allstate Life Global Funding Trusts MTN
5.375%, 04/30/13		900		969
Berkshire Hathaway Finance
0.576%, 01/10/14 (B)		1,049		1,052
MBIA Insurance
14.000%, 01/15/33 (A) (B)		210		127
Metropolitan Life Global Funding I
0.996%, 01/10/14 (A) (B)		839		839
Metropolitan Life Global Funding I MTN
5.125%, 04/10/13 (A)		839		892
Monumental Global Funding III
0.449%, 01/15/14 (A) (B)		378		366
New York Life Global Funding
0.506%, 04/04/14 (A) (B)		1,000		1,000
Prudential Financial MTN
5.100%, 09/20/14		462		510
2.750%, 01/14/13		525		536

				6,291


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			21

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)


Investment Banker/Broker Dealer — 5.7%
BlackRock
2.250%, 12/10/12	$	420	$	428
Citigroup Funding
1.875%, 11/15/12		5,000		5,095
Credit Agricole Home Loan SFH
1.002%, 07/21/14 (A) (B)		1,000		996
Goldman Sachs Group
1.268%, 02/07/14 (B)		1,431		1,417
Goldman Sachs Group MTN
6.000%, 05/01/14		239		263
JPMorgan Chase
4.650%, 06/01/14		944		1,016
JPMorgan Chase MTN
1.053%, 01/24/14 (B)		839		838
Marsh & McLennan
5.375%, 07/15/14		1		1
Morgan Stanley
1.853%, 01/24/14 (B)		525		524
4.200%, 11/20/14		839		872
Morgan Stanley, Ser G MTN
0.546%, 01/09/14 (B)		252		244
UBS
1.253%, 01/28/14 (B)		407		408
UBS MTN
1.358%, 02/23/12 (B)		443		445

				12,547


Materials — 0.6%
Anglo American Capital PLC
2.150%, 09/27/13 (A)		376		381
E.I. du Pont de Nemours
0.667%, 03/25/14 (B)		940		945

				1,326


Media — 0.3%
NBCUniversal Media LLC
2.100%, 04/01/14 (A)		734		749


Security And Commodity Brokers — 0.6%
Genworth Global Funding Trusts, Ser 2007-B
0.401%, 05/15/12 (B)		504		499
MassMutual Global Funding II
0.629%, 01/14/14 (A) (B)		874		874

				1,373


Sovereign — 0.4%
Province of Ontario Canada
0.708%, 05/22/12 (B)		445		447
Republic of Austria MTN
2.000%, 11/15/12 (A)		468		477

				924


Description	Face Amount ($ Thousands)		Value ($ Thousands)


Telephones & Telecommunication — 0.6%
Cellco Partnership
5.250%, 02/01/12	$	329	$	337
Verizon Communications
0.856%, 03/28/14 (B)		1,000		1,011

				1,348


Utilities — 1.3%
Allegheny Energy Supply LLC
8.250%, 04/15/12 (A)		546		573
Commonwealth Edison
1.625%, 01/15/14		382		387
DTE Energy
0.955%, 06/03/13 (B)		430		432
Georgia Power
1.300%, 09/15/13		600		605
Sempra Energy
1.007%, 03/15/14 (B)		800		803

				2,800

Total Corporate Obligations (Cost $83,210) ($ Thousands)				83,551


ASSET-BACKED SECURITIES — 37.4%

Automotive — 25.5%
Ally Auto Receivables Trust, Ser 2009-A, Cl A3
2.330%, 06/17/13 (A)		1,512		1,525
Ally Auto Receivables Trust, Ser 2009-B, Cl A2
1.210%, 06/15/12 (A)		34		34
Ally Auto Receivables Trust, Ser 2010-1, Cl A3
1.450%, 05/15/14		1,097		1,104
Ally Auto Receivables Trust, Ser 2010-2, Cl A3
1.380%, 07/15/14		371		373
Ally Auto Receivables Trust, Ser 2010-3, Cl A3
1.110%, 10/15/14		965		971
Ally Auto Receivables Trust, Ser 2010-4, Cl A3
0.910%, 11/17/14		428		429
Ally Master Owner Trust, Ser 2010-1, Cl A
1.937%, 01/15/15 (A) (B)		944		960
Ally Master Owner Trust, Ser 2010-3, Cl A
2.880%, 04/15/15 (A)		1,507		1,549
Ally Master Owner Trust, Ser 2011-1, Cl A1
1.056%, 01/15/16 (B)		642		647
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3
3.510%, 07/06/17		418		435


22		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

AmeriCredit Automobile Receivables Trust, Ser 2010-B, Cl A2
1.180%, 02/06/14	$	210	$	210
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl B
3.720%, 11/17/14		327		336
AmeriCredit Automobile Receivables Trust, Ser 2010-2, Cl A2
1.220%, 10/08/13		549		550
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3
1.140%, 04/08/15		473		474
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B
1.990%, 10/08/15		1,111		1,116
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2
0.900%, 09/08/14		360		360
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3
1.170%, 01/08/16		440		440
Americredit Prime Automobile Receivable, Ser 2007-1, Cl B
5.350%, 09/09/13		408		411
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A3
2.210%, 01/15/14		643		648
Avis Budget Rental Car Funding, Ser 2009-1A, Cl A
9.310%, 10/20/13 (A)		1,081		1,164
Avis Budget Rental Car Funding, Ser 2009-2A, Cl A
5.680%, 02/20/14 (A)		813		856
Avis Budget Rental Car Funding, Ser 2010-2A, Cl A
3.630%, 08/20/14 (A)		172		178
Avis Budget Rental Car Funding, Ser 2011-1A, Cl A
1.850%, 09/20/13 (A)		560		564
Bank of America Auto Trust, Ser 2009-1A, Cl A4
3.520%, 06/15/16 (A)		1,282		1,317
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13 (A)		487		490
Bank of America Auto Trust, Ser 2009-2A, Cl A4
3.030%, 10/15/16 (A)		462		474
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (A)		867		871
Bank of America Auto Trust, Ser 2010-2, Cl A3
1.310%, 07/15/14		258		259


Description	Face Amount ($ Thousands)		Value ($ Thousands)

BMW Vehicle Lease Trust, Ser 2010-1, Cl A3
0.820%, 04/15/13	$	1,125	$	1,126
BMW Vehicle Lease Trust, Ser 2011-1, Cl A3
1.060%, 02/20/14		460		462
Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A4
5.210%, 03/17/14		200		203
Capital Auto Receivables Asset Trust, Ser 2007-4A, Cl A4
5.300%, 05/15/14		450		458
CarMax Auto Owner Trust, Ser 2008-1, Cl A4A
4.790%, 02/15/13		385		390
CarMax Auto Owner Trust, Ser 2009-1, Cl A3
4.120%, 03/15/13		249		252
CarMax Auto Owner Trust, Ser 2009-2, Cl A4
2.820%, 12/15/14		137		142
CarMax Auto Owner Trust, Ser 2010-1, Cl A3
1.560%, 07/15/14		1,052		1,058
CarMax Auto Owner Trust, Ser 2010-1, Cl A4
2.400%, 04/15/15		655		674
CarMax Auto Owner Trust, Ser 2010-2, Cl A3
1.000%, 02/16/15		755		761
CarMax Auto Owner Trust, Ser 2010-3, Cl A3
0.990%, 02/17/15		596		596
CarMax Auto Owner Trust, Ser 2011-1, Cl A2
0.720%, 11/15/13		320		320
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A2
0.690%, 01/08/13		447		448
CitiFinancial Auto Issuance Trust, Ser 2009-1, Cl A2
1.830%, 11/15/12 (A)		77		77
Daimler Chrysler Auto Trust, Ser 2007-A, Cl A4
5.280%, 03/08/13		138		140
Ford Credit Auto Owner Trust, Ser 2008-A, Cl A4
4.370%, 10/15/12		674		680
Ford Credit Auto Owner Trust, Ser 2009-A, Cl A3B
2.687%, 05/15/13 (B)		192		193
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3
2.790%, 08/15/13		400		404


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			23

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Ford Credit Auto Owner Trust, Ser 2010-A, Cl A2
0.720%, 09/15/12	$	20	$	20
Ford Credit Auto Owner Trust, Ser 2010-A, Cl A3
1.320%, 06/15/14		399		401
Ford Credit Auto Owner Trust, Ser 2010-B, Cl A3
0.980%, 10/15/14		426		427
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A3
0.800%, 07/15/13 (A)		810		810
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A4
1.040%, 12/15/13 (A)		955		958
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2
0.740%, 09/15/13		605		605
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A3
1.736%, 09/15/14 (B)		839		850
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl A
2.436%, 12/15/14 (A) (B)		816		832
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B
1.837%, 12/15/14 (A) (B)		1,593		1,619
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A2
0.787%, 02/15/16 (B)		208		207
GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A
1.736%, 10/20/14 (A) (B)		944		957
Harley-Davidson Motorcycle Trust, Ser 2006-3, Cl A4
5.220%, 06/15/13		306		307
Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl B
5.370%, 01/15/14		518		525
Harley-Davidson Motorcycle Trust, Ser 2007-2, Cl A4
5.120%, 08/15/13		166		168
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A3
2.620%, 03/15/14		659		663
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A3
1.870%, 02/15/14		578		580
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3
1.160%, 02/15/15		365		367
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A1
4.260%, 03/25/14 (A)		936		976


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Hertz Vehicle Financing LLC, Ser 2010-1A, Cl A1
2.600%, 02/25/15 (A)	$	835	$	855
Hertz Vehicle Financing LLC, Ser 2011-1A, Cl A1
2.200%, 03/25/16 (A)		890		896
Honda Auto Receivables Owner Trust, Ser 2010-2, Cl A3
1.340%, 03/18/14		571		574
Honda Auto Receivables Owner Trust, Ser 2010-3, Cl A3
0.700%, 04/21/14		665		665
Honda Auto Receivables Owner Trust, Ser 2011-1, Cl A2
0.650%, 06/17/13		485		485
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/15		445		446
Huntington Auto Trust, Ser 2009-1A, Cl A4
5.730%, 01/15/14 (A)		765		792
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3
2.030%, 08/15/13		129		130
Hyundai Auto Receivables Trust, Ser 2010-A, Cl A3
1.500%, 10/15/14		363		366
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3
0.970%, 04/15/15		567		570
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A2
0.690%, 11/15/13		571		571
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A2
0.590%, 03/15/14		625		625
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3
0.850%, 03/16/15		350		350
Navistar Financial Owner Trust, Ser 2010-A, Cl A3
1.990%, 01/21/14 (A)		1,181		1,191
Navistar Financial Owner Trust, Ser 2010-A, Cl B
4.170%, 10/20/14 (A)		243		250
Navistar Financial Owner Trust, Ser 2010-B, Cl A2
0.810%, 01/18/13 (A)		1,036		1,036
Nissan Auto Lease Trust, Ser 2010-A, Cl A2
1.100%, 03/15/13		161		161
Nissan Auto Lease Trust, Ser 2010-B, Cl A2
0.900%, 05/15/13		782		784


24		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Nissan Auto Receivables Owner Trust, Ser 2007-B, Cl A4
5.160%, 03/17/14	$	207	$	210
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2
0.650%, 12/16/13		640		641
Santander Consumer Acquired Receivables Trust, Ser 2011-WO, Cl A2
0.910%, 11/15/13 (A)		306		306
Santander Drive Auto Receivables Trust, Ser 2010-2, Cl A3
1.240%, 02/17/14		659		661
Santander Drive Auto Receivables Trust, Ser 2010-3, Cl A2
0.930%, 06/17/13		426		426
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2
0.940%, 02/18/14		750		750
Toyota Auto Receivables Owner Trust, Ser 2010-A, Cl A2
0.750%, 05/15/12		34		34
Toyota Auto Receivables Owner Trust, Ser 2010-B, Cl A3
1.040%, 02/18/14		397		398
Toyota Auto Receivables Owner Trust, Ser 2010-C, Cl A3
0.770%, 04/15/14		627		628
USAA Auto Owner Trust, Ser 2009-2, Cl A4
2.530%, 07/15/15		50		51
Volkswagen Auto Loan Enhanced Trust, Ser 2010-1, Cl A3
1.310%, 01/20/14		452		454
World Omni Automobile Lease Securitization Trust, Ser 2009-A, Cl A3
1.650%, 02/15/13		703		704
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A2
0.810%, 10/15/13		800		800
World Omni Auto Receivables Trust, Ser 2008-A, Cl A4
4.740%, 10/15/13		783		800
World Omni Auto Receivables Trust, Ser 2010-A, Cl A3
1.340%, 12/16/13		183		183
World Omni Auto Receivables Trust, Ser 2011-A, Cl A2
0.640%, 11/15/13		540		540

				56,734


Credit Card — 5.3%
Cabela’s Master Credit Card Trust, Ser 2009-1A, Cl A
2.186%, 03/16/15 (A) (B)		632		638


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Capital One Multi-Asset Execution Trust, Ser 2005-A7, Cl A7
4.700%, 06/15/15	$	850	$	886
Capital One Multi-Asset Execution Trust, Ser 2006-A10, Cl A10
5.150%, 06/16/14		789		791
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8
0.547%, 10/15/15 (B)		546		547
Capital One Multi-Asset Execution Trust, Ser 2007-C2, Cl C2
0.487%, 11/17/14 (B)		231		230
Citibank Omni Master Trust, Ser 2009-A8, Cl A8
2.287%, 05/16/16 (A) (B)		1,200		1,215
Citibank Omni Master Trust, Ser 2009- A12, Cl A12
3.350%, 08/15/16 (A)		1,070		1,095
Discover Card Master Trust, Ser 2009-A1, Cl A1
1.487%, 12/15/14 (B)		875		884
Discover Card Master Trust, Ser 2009-A2, Cl A
1.487%, 02/17/15 (B)		1,175		1,189
Discover Card Master Trust, Ser 2011-A1, Cl A1
0.537%, 08/15/16 (B)		845		848
Discover Card Master Trust, Ser 2011-A2, Cl A2
0.397%, 11/16/15 (B)		535		535
GE Capital Credit Card Master Note Trust, Ser 2009-1, Cl A
2.287%, 04/15/15 (B)		1,120		1,136
GE Capital Credit Card Master Note Trust, Ser 2009-3, Cl A
2.540%, 09/15/14		1,093		1,096
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A
0.736%, 01/15/17 (B)		619		622

				11,712


Miscellaneous Business Services — 6.4%
ACAS Business Loan Trust, Ser 2005-1A, Cl A1
0.503%, 07/25/19 (A) (B)		61		61
ACAS Business Loan Trust, Ser 2007-1A, Cl C
1.111%, 08/16/19 (A) (B)		298		211
Babson CLO Ltd., Ser 2007-1A, Cl A1
0.475%, 01/18/21 (A) (B)		473		442
Capital Source Commercial Loan Trust, Ser 2006-1A, Cl C
0.736%, 08/22/16 (A) (B)		88		87


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			25

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

CIT Equipment Collateral, Ser 2009-VT1, Cl A3
3.070%, 08/15/16 (A)	$	180	$	181
CNH Equipment Trust, Ser 2009-B, Cl A3
5.170%, 10/15/14		670		688
CNH Equipment Trust, Ser 2010-C, Cl A3
1.170%, 05/15/15		605		607
CNH Equipment Trust, Ser 2011-A, Cl A2
0.620%, 06/16/14		390		390
CNH Wholesale Master Note Trust, Ser 2011-1A, Cl A
0.987%, 12/15/15 (A) (B)		392		394
Colts Trust, Ser 2006-2A, Cl A
0.527%, 12/20/18 (A) (B)		79		77
Countrywide Asset-Backed Certificates, Ser 2006-2, Cl 2A2
0.377%, 06/25/36 (B)		132		111
Franklin CLO, Ser 2003-4A, Cl A
0.797%, 09/20/15 (A) (B) (C)		15		15
GE Equipment Midticket LLC, Ser 2010-1, Cl A3
0.940%, 07/14/14 (A)		554		555
GE Equipment Small Ticket LLC, Ser 2011-1A, Cl A2
0.880%, 08/21/13 (A)		692		693
GE Equipment Transportation LLC, Ser 2011-1, Cl A4
1.330%, 05/20/19		480		481
John Deere Owner Trust, Ser 2009-B, Cl A3
1.570%, 10/15/13		485		486
John Deere Owner Trust, Ser 2009-B, Cl A4
2.330%, 05/16/16		610		619
John Deere Owner Trust, Ser 2011-A, Cl A2
0.640%, 06/16/14		365		365
Katonah CLO, Ser 2005-7A, Cl B
0.681%, 11/15/17 (A) (B)		504		401
Lambda Finance, Ser 2005-1A, Cl B3
0.631%, 11/15/29 (A) (B)		353		329
Madison Park Funding CLO, Ser 2007-4A, Cl A1B
0.547%, 03/22/21 (A) (B)		420		356
Morgan Stanley ABS Capital I, Ser 2006-WMC1, Cl A2B
0.387%, 12/25/35 (B)		88		85
Navistar Financial Dealer Note Master Trust, Ser 2009-1, Cl A
1.637%, 10/26/15 (A) (B)		1,200		1,213
Prima Capital CDO, Ser 2006-CR1A, Cl A1
5.147%, 12/28/48 (A)		227		224


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Sierra Receivables Funding LLC, Ser 2007-2A, Cl A2
1.186%, 09/20/19 (A) (B)	$	126	$	123
Sierra Receivables Funding LLC, Ser 2009-2A, Cl NT
4.520%, 08/20/26 (A)		33		33
SLM Student Loan Trust, Ser 2005-8, Cl A2
0.343%, 07/25/22 (B)		698		696
SLM Student Loan Trust, Ser 2006-4, Cl A4
0.333%, 04/25/23 (B)		416		415
SLM Student Loan Trust, Ser 2007-2, Cl A2
0.253%, 07/25/17 (B)		398		395
SLM Student Loan Trust, Ser 2008-5, Cl A2
1.353%, 10/25/16 (B)		689		696
SLM Student Loan Trust, Ser 2011-A, Cl A1
1.186%, 10/15/24 (A) (B)		225		226
SLM Student Loan Trust, Ser 2011-1, Cl A1
0.707%, 03/25/26 (B)		1,933		1,934
SLM Student Loan Trust, Ser 2011-B, Cl A1
1.036%, 12/16/24 (A) (B)		715		714

				14,303


Mortgage Related — 0.2%
Asset-Backed Funding Certificates, Ser 2006-OPT2, Cl A3B
0.297%, 10/25/36 (B)		23		23
Option One Mortgage Loan Trust, Ser 2005-5, Cl A3
0.397%, 12/25/35 (B)		247		206
Option One Mortgage Loan Trust, Ser 2003-3, Cl A2
0.787%, 06/25/33 (B)		40		33
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3
5.611%, 01/25/37 (B)		128		66

				328

Total Asset-Backed Securities (Cost $83,413) ($ Thousands)				83,077


MORTGAGE-BACKED SECURITIES — 24.3%

Agency Mortgage-Backed Obligations — 12.8%
FHLMC
2.367%, 02/01/30 (B)		207		217
2.354%, 02/01/22 (B)		300		315
FHLMC REMIC, Ser 1993-1599, Cl C
6.100%, 10/15/23		42		44


26		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

FHLMC REMIC, Ser 2003-2630, Cl HA
3.000%, 01/15/17	$	62	$	63
FHLMC REMIC, Ser 2004-2780, Cl LC
5.000%, 07/15/27		20		20
FHLMC REMIC, Ser 2004-2791, Cl UD
5.000%, 05/15/18		286		295
FHLMC REMIC, Ser 2005-2921, Cl NV
4.500%, 01/15/29		34		34
FHLMC TBA
4.000%, 08/15/41		7,250		7,363
FNMA
6.000%, 01/01/27		311		342
5.890%, 10/01/11		182		182
5.626%, 12/01/11		242		242
5.000%, 04/01/21 to 03/01/25		5,738		6,195
2.487%, 11/01/23 (B)		100		103
2.465%, 01/01/29 (B)		26		27
2.409%, 11/01/25 (B)		27		29
2.318%, 09/01/24 (B)		157		163
2.233%, 09/01/24 (B)		61		63
2.176%, 05/01/28 (B)		183		190
1.433%, 11/01/21 (B)		41		41
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23		49		54
FNMA REMIC, Ser 1993-220, Cl FA
0.819%, 11/25/13 (B)		15		15
FNMA REMIC, Ser 2001-33, Cl FA
0.637%, 07/25/31 (B)		59		59
FNMA REMIC, Ser 2002-64, Cl FG
0.436%, 10/18/32 (B)		38		38
FNMA REMIC, Ser 2004-21, Cl QD
4.500%, 02/25/29		514		525
FNMA TBA
6.000%, 09/01/37		3,000		3,291
3.500%, 08/01/40		3,600		3,701
NCUA Guaranteed Notes, Ser 2010-R1, Cl 1A
0.635%, 10/07/20 (B)		1,189		1,192
NCUA Guaranteed Notes, Ser 2010-R1, Cl 2A
1.840%, 10/07/20		93		94
NCUA Guaranteed Notes, Ser 2010-R2, Cl 1A
0.555%, 11/06/17 (B)		322		322
NCUA Guaranteed Notes, Ser 2011-R1, Cl 1A
0.635%, 01/08/20 (B)		239		239
NCUA Guaranteed Notes, Ser 2011-R2, Cl 1A
0.585%, 02/06/20 (B)		383		383
NCUA Guaranteed Notes, Ser 2011-R3, Cl 1A
0.586%, 03/11/20 (B)		1,182		1,184


Description	Face Amount ($ Thousands)		Value ($ Thousands)

NCUA Guaranteed Notes, Ser 2011-R4, Cl 1A
0.565%, 03/06/20 (B)	$	506	$	506
NCUA Guaranteed Notes, Ser 2011-R6, Cl 1A
0.565%, 05/07/20 (B)		866		866

				28,397


Non-Agency Mortgage-Backed Obligations — 11.5%
Arkle Master Issuer PLC, Ser 2010-2A, Cl 1A1
2.500%, 05/17/60 (A) (B)		691		691
Asset Securitization, Ser 1996-MD6, Cl A7
8.335%, 11/13/29 (B)		244		245
Banc of America Large Loan, Ser 2007-BMB1, Cl A1
0.696%, 08/15/29 (A) (B)		150		138
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A2
2.831%, 02/25/35 (B)		364		314
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2
2.955%, 07/25/35 (B)		613		495
Banc of America Mortgage Securities, Ser 2005-H, Cl 2A1
3.199%, 09/25/35 (B)		194		156
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1
3.122%, 11/25/35 (B)		72		57
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1
2.715%, 06/25/35 (B)		229		179
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1
2.833%, 08/25/35 (B)		366		249
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1
3.089%, 02/25/36 (B)		166		116
Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP4, Cl A3
5.610%, 11/15/33		20		20
Bear Stearns Commercial Mortgage Securities, Ser PW18, Cl A2
5.613%, 06/11/50		374		384
Bear Stearns Commercial Mortgage Securities, Ser T26, Cl A2
5.330%, 01/12/45		298		302
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A
2.958%, 09/25/34 (B)		115		107
Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1
2.854%, 03/25/36 (B)		307		233


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			27

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Commercial Mortgage Acceptance, Ser 1998-C2, Cl F
5.440%, 09/15/30 (A) (B)	$	279	$	289
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2
0.286%, 12/15/20 (A) (B)		491		478
Countrywide Alternative Loan Trust, Ser 2007-HY5R, Cl 2A1A
5.544%, 03/25/47 (B)		259		258
Countrywide Home Loans, Ser 2004-29, Cl 1A1
0.727%, 02/25/35 (B)		40		34
Countrywide Home Loans, Ser 2005-7, Cl 1A1
0.457%, 03/25/35 (B)		67		54
Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A
2.840%, 02/20/36 (B)		301		185
GE Commercial Loan Trust CLO, Ser 2006-2, Cl C
0.800%, 10/19/16 (A) (B)		12		8
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4
4.547%, 12/10/41		223		224
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
3.364%, 11/19/35 (B)		322		252
GS Mortgage Securities II, Ser 2007-EOP, Cl A1
1.142%, 03/06/20 (A) (B)		615		609
GS Mortgage Securities II, Ser 2007-EOP, Cl A3
1.535%, 03/06/20 (A) (B)		734		716
GS Mortgage Securities II, Ser GC3, Cl A1
2.331%, 03/10/44 (A)		942		957
GS Mortgage Securities II, Ser GG10, Cl A2
5.778%, 08/10/45 (B)		747		762
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1
2.782%, 07/25/35 (B)		413		302
GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1
2.804%, 01/25/36 (B)		528		424
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1
5.418%, 05/25/47 (B)		416		283
Impac CMB Trust, Ser 2004-9, Cl 1A1
0.947%, 01/25/35 (B)		106		81
Impac CMB Trust, Ser 2005-2, Cl 1A1
0.707%, 04/25/35 (B)		115		94
Impac CMB Trust, Ser 2005-3, Cl A1
0.667%, 08/25/35 (B)		106		69


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Impac CMB Trust, Ser 2005-5, Cl A1
0.507%, 08/25/35 (B)	$	85	$	61
Impac CMB Trust, Ser 2005-8, Cl 1A
0.447%, 02/25/36 (B)		275		193
JP Morgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1
1.525%, 07/15/46 (A)		565		567
JP Morgan Chase Commercial Mortgage Securities, Ser C3, Cl A1
1.875%, 02/16/46 (A)		951		962
JP Morgan Chase Commercial Mortgage Securities, Ser LDP4, Cl A3A2
4.903%, 10/15/42		1,200		1,213
JP Morgan Mortgage Trust, Ser 2005- A6, Cl 7A1
3.079%, 08/25/35 (B)		239		189
JP Morgan Mortgage Trust, Ser 2007- A3, Cl 1A1
5.018%, 05/25/37 (B)		347		245
LB-UBS Commercial Mortgage Trust, Ser 2002-C1, Cl A4
6.462%, 03/15/31		328		334
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5
4.853%, 09/15/31		629		648
LB-UBS Commercial Mortgage Trust, Ser 2004-C8
4.510%, 12/15/29		16		16
Merill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5
4.855%, 10/12/41 (B)		629		674
Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2
2.622%, 02/25/35 (B)		646		603
Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1
0.457%, 04/25/35 (B)		124		87
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1
5.231%, 06/25/37 (B)		450		304
MLCC Mortgage Investors, Ser 2004-G, Cl A1
0.747%, 01/25/30 (B)		33		29
MLCC Mortgage Investors, Ser 2005-A, Cl A1
0.417%, 03/25/30 (B)		47		41
Morgan Stanley Capital I, Ser 2004-T13
4.660%, 09/13/45		923		973
Morgan Stanley Capital I, Ser HQ9, Cl A2
5.618%, 07/12/44		129		129
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4
6.390%, 07/15/33		61		61


28		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Morgan Stanley Dean Witter Capital I, Ser IQ2, Cl A4
5.740%, 12/15/35	$	91	$	93
MortgageIT Trust, Ser 2005-2, Cl 1A1
0.447%, 05/25/35 (B)		87		68
MortgageIT Trust, Ser 2005-3, Cl A1
0.487%, 08/25/35 (B)		308		233
MortgageIT Trust, Ser 2005-4, Cl A1
0.467%, 10/25/35 (B)		402		278
MortgageIT Trust, Ser 2005-5, Cl A1
0.447%, 12/25/35 (B)		376		266
Nomura Asset Securities, Ser 1998-D6, Cl A1C
6.690%, 03/15/30		250		260
Paragon Mortgages PLC, Ser 2006-12A, Cl A2C
0.371%, 11/15/38 (A) (B)		132		106
Paragon Mortgages PLC, Ser 2007-15A, Cl A2C
0.357%, 12/15/39 (A) (B)		316		243
Permanent Master Issuer PLC, Ser 2010-1A
1.399%, 07/15/42 (A) (B)		403		402
Residential Funding Mortgage Securities I, Ser 2005-SA5, Cl 2A
3.290%, 11/25/35 (B)		216		147
Residential Funding Mortgage Securities I, Ser 2007-SA3, Cl 2A1
5.676%, 07/27/37 (B)		362		232
Sequoia Mortgage Trust, Ser 2004-12, Cl A1
0.456%, 01/20/35 (B)		45		35
Sequoia Mortgage Trust, Ser 2005-1, Cl A1
0.416%, 02/20/35 (B)		44		37
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4
5.698%, 08/15/39 (B)		944		967
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
2.570%, 03/25/36 (B)		445		340
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
2.745%, 01/25/35 (B)		251		227
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1
2.733%, 02/25/35 (B)		208		178
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2
2.752%, 04/25/35 (B)		174		165
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2
2.788%, 10/25/35 (B)		338		318


Description	Face Amount ($ Thousands)		Value ($ Thousands)

Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3
2.831%, 10/25/35 (B)	$	537	$	478
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1
2.739%, 04/25/36 (B)		303		241
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 2A1
2.819%, 03/25/36 (B)		369		306
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1
3.050%, 07/25/36 (B)		413		261
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1
6.025%, 09/25/36 (B)		302		236
WF-RBS Commercial Mortgage Trust, Ser 2011-C2, Cl A1
2.558%, 02/15/44 (A)		1,643		1,682
WF-RBS Commercial Mortgage Trust, Ser 2011-C3
1.988%, 03/15/44 (A)		625		633

				25,526

Total Mortgage-Backed Securities (Cost $56,485) ($ Thousands)				53,923


U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.7%
FHLB
0.350%, 07/25/12		2,000		1,998
FHLMC
1.625%, 04/15/13		1,888		1,926
FNMA
1.000%, 12/27/12		2,000		2,017

Total U.S. Government Agency Obligations (Cost $5,905) ($ Thousands)				5,941


U.S. TREASURY OBLIGATIONS — 2.7%
U.S. Treasury Notes
0.500%, 11/30/12		5,000		5,013
0.375%, 08/31/12		900		901

Total U.S. Treasury Obligations (Cost $5,914) ($ Thousands)				5,914


MUNICIPAL BONDS — 1.6%

California — 0.4%
Alameda County, Ser B, RB
1.353%, 12/01/11		630		625
University of California, Build America Bonds, RB
1.988%, 05/15/50 (B)		375		382

				1,007


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			29

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Concluded)

July 31, 2011


Description	Face Amount ($ Thousands)		Value ($ Thousands)


Louisiana — 0.4%
Louisiana State, Local Government Environmental Facilities and Community Development Authority, Ser 2010-ELL, RB
1.110%, 02/01/16	$	820	$	820


New Jersey — 0.2%
New Jersey State, Economic Development Authority, Build America Bonds, RB
1.247%, 06/15/13 (B)		420		421


New York — 0.3%
City of New York New York, Ser J, GO
4.300%, 06/01/13		550		588


Virginia — 0.3%
Louisiana State, Industrial Development Authority, Ser A, RB
2.500%, 03/01/31 (B)		630		630


West Virginia — 0.0%
West Virginia Economic Development Authority, Ser A, RB
2.000%, 01/01/41 (B)		175		176

Total Municipal Bonds (Cost $3,619) ($ Thousands)				3,642

Total Investments — 106.3% (Cost $238,546)($ Thousands)			$	236,048

Futures — A summary of the open futures contracts held by the Fund at July 31, 2011, is as follows (see Note 2 in Notes to Financial Statements):


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(66	)		Sep-2011	$	(238	)
U.S. 2-Year Treasury Note		9			Oct-2011		2
U.S. 5-Year Treasury Note		1			Sep-2011		1
U.S. Long Treasury Bond		(18	)		Sep-2011		(49	)

						$	(284	)

Percentages are based on Net Assets of $222,049 ($ Thousands).

(A)

Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(B)

Variable Rate Security — The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2011. The date reported is the final maturity date.

(C)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of July 31, 2011 was $15 ($ Thousands) and represented 0.0% of Net Assets.

ABS — Asset-Backed Security

Cl — Class

CDO — Collateralized Debt Obligation

CLO — Collateralized Loan Obligation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

Ltd. — Limited

MTN — Medium Term Note

NCUA — National Credit Union Administration

PLC — Public Limited Company

REMIC — Real Estate Mortgage Investment Conduit

RB — Revenue Bond

Ser — Series

TBA — To Be Announced

The following is a summary of the inputs used as of July 31, 2011 in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	83,551	$	—	$	83,551
Asset-Backed Securities		—		82,600		477		83,077
Mortgage-Backed Securities		—		53,923		—		53,923
U.S. Government Agency Obligations		—		5,941		—		5,941
U.S. Treasury Obligations		—		5,914		—		5,914
Municipal Bonds		—		3,642		—		3,642

Total	$	—	$	235,571	$	477	$	236,048


Other Financial Instruments*	Level 1			Level 2		Level 3		Total
Futures	$	(284	)	$	—	$	—	$	(284	)

Other Financial Instruments are valued at unrealized appreciation/depreciation.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):


	Asset-Backed Securities
Beginning balance as of February 1, 2011	$	1,325
Change in unrealized appreciation/(depreciation)		204
Accrued discounts/premiums		—
Amortization sold		—
Realized gain/(loss)		(152	)
Net purchases/sales		(900	)

Ending balance as of July 31, 2011	$	477

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(104	)

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements.

The accompanying notes are an integral part of the financial statements.


30		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011

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Statements of Assets and Liabilities ($ Thousands)

July 31, 2011 (Unaudited)


	Money Market Fund			Government Fund			Government II Fund			Prime Obligation Fund
ASSETS:
Investments, at value†	$	221,656		$	458,372		$	1,171,627		$	2,663,768
Repurchase agreements†		156,310			685,522			—			1,257,714
Cash		—			3,518			219,340			10,855
Receivable for investment securities sold		—			—			—			—
Interest receivable		43			62			173			540
Receivable for fund shares sold		—			—			—			—
Receivable from Administration		—			3			6			—
Receivable from Shareholder Services		—			—			—			—
Receivable for variation margin		—			—			—			—
Reclaim receivable		—			—			—			—
Prepaid expenses		15			47			57			145
Total Assets		378,024			1,147,524			1,391,203			3,933,022
LIABILITIES:
Payable for investment securities purchased		—			—			—			—
Administration fees payable		32			—			—			402
Shareholder servicing fees payable		12			6			—			1
Investment advisory fees payable		11			33			41			114
Income distribution payable		2			23			10			44
Trustees’ fees payable		1			2			3			6
Chief Compliance Officer fees payable		1			3			4			10
Payable for fund shares redeemed		—			—			—			—
Payable for variation margin		—			—			—			—
Accrued expense payable		22			55			76			174
Total Liabilities		81			122			134			751
Net Assets	$	377,943		$	1,147,402		$	1,391,069		$	3,932,271
†Cost of investments and repurchase agreements		377,966			1,143,894			1,171,627			3,921,482
NET ASSETS:
Paid-in Capital — (unlimited authorization — no par value)	$	377,939		$	1,147,487		$	1,391,056		$	3,932,337
Undistributed (Distributions in excess of) net investment income		(1	)		—			—			—
Accumulated net realized gain (loss) on investments		5			(85	)		13			(66	)
Net unrealized appreciation (depreciation on investments		—			—			—			—
Net unrealized appreciation (depreciation) on futures contracts		—			—			—			—
Net Assets	$	377,943		$	1,147,402		$	1,391,069		$	3,932,271
Net Asset Value, Offering and Redemption Price Per Share — Class A		$1.00			$1.00			$1.00			$1.00
		($247,387,518 ÷ 247,418,805 shares	)		($690,401,640 ÷ 690,444,344 shares	)		($1,227,242,312 ÷ 1,227,299,159 shares	)		($3,750,710,900 ÷ 3,750,771,306 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class B		$1.00			$1.00			$1.00			$1.00
		($47,773,119 ÷ 47,780,793 shares	)		($388,300,176 ÷ 388,319,024 shares	)		($155,320,607 ÷ 155,351,688 shares	)		($108,214,936 ÷ 108,219,043 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class C		$1.00			$1.00			$1.00			$1.00
		($57,098,766 ÷ 57,111,329 shares	)		($39,390,143 ÷ 39,415,346 shares	)		($8,505,984 ÷ 8,505,172 shares	)		($46,333,908 ÷ 46,334,608 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class H		N/A			N/A			N/A			$1.00
											($22,408,059 ÷ 22,409,479 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Sweep Class		$1.00			$1.00			N/A			$1.00
		($25,683,562 ÷ 25,655,582 shares	)		($29,310,309 ÷ 29,314,142 shares	)					($4,603,206 ÷ 4,602,762 shares	)

Amounts designated as “—” are $0 or have been rounded to $0.

(1) See Note 1 in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.


32		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Treasury Fund			Treasury II Fund			Short-Duration Government Fund			Intermediate- Duration Government Fund			GNMA Fund			Ultra Short Duration Bond Fund

	$ —			$ 49,918			$ 671,277			$52,012			$216,586			$236,048
	403,344			—			214,800			13,300			135,400			—
	53,478			497,649	⁽¹⁾		2,417			30			143			687
	16,569			—			243,699			7,286			48,338			3,304
	80			138			2,378			162			419			593
	—			—			2,347			375			94			167
	3			21			—			—			—			—
	—			—			—			8			—			—
	—			—			222			153			70			2
	—			—			—			—			—			4
	20			19			29			5			11			12
	473,494			547,745			1,137,169			73,331			401,061			240,817

	—			—			460,997			19,266			183,738			17,542
	—			—			193			11			44			47
	5			—			—			—			46			—
	14			19			80			16			25			12
	3			3			91			9			59			34
	1			1			1			—			1			—
	1			1			2			—			1			1
	—			—			2,070			1,071			1,430			988
	—			—			1,072			23			46			117
	27			24			59			13			30			27
	51			48			464,565			20,409			185,420			18,768
	$473,443			$547,697			$ 672,604			$52,922			$215,641			$222,049
	403,344			49,918			874,157			63,770			342,692			238,546

	$473,516			$547,688			$ 660,188			$54,147			$200,465			$248,950
	—			—			(789	)		(109	)		(36	)		(341	)
	(73	)		9			2,870			(3,227	)		5,877			(23,778	)
	—			—			11,920			1,542			9,294			(2,498	)
	—			—			(1,585	)		569			41			(284	)
	$473,443			$547,697			$ 672,604			$52,922			$215,641			$222,049
	$1.00			$1.00			$10.69			$11.67			$11.04			$9.31
	($178,431,271÷ 178,459,458 shares	)		($356,667,450÷ 356,820,324 shares	)		($672,604,227÷ 62,944,270 shares	)		($52,921,590÷ 4,535,806 shares	)		($215,641,408÷ 19,530,137 shares	)		($222,049,424÷ 23,855,726 shares	)
	$1.00			$1.00			N/A			N/A			N/A			N/A
	($140,675,186÷ 140,705,563 shares	)		($183,691,934÷ 183,675,593 shares	)
	$1.00			$1.00			N/A			N/A			N/A			N/A
	($13,285,099÷ 13,299,343 shares			($7,337,224÷ 7,339,805 shares	)
	N/A			N/A			N/A			N/A			N/A			N/A

	$1.00			N/A			N/A			N/A			N/A			N/A
	($141,051,595÷ 141,051,817 shares	)


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			33

Statements of Operations ($ Thousands)

For the six months ended July 31, 2011 (Unaudited)


	Money Market Fund			Government Fund			Government II Fund			Prime Obligation Fund
Investment Income:
Interest Income	$	422		$	824		$	880		$	4,815
Expenses:
Administration Fees		557			1,272			1,324			3,561
Shareholder Servicing Fees — Class A Shares		275			779			1,550			4,393
Shareholder Servicing Fees — Sweep Class Shares		34			27			—			7
Distribution Fees — Sweep Class Shares		70			56			—			14
Administrative and Shareholder Servicing Fees — Class B Shares		60			556			218			222
Administrative and Shareholder Servicing Fees — Class C Shares		123			109			22			132
Administrative and Shareholder Servicing Fees — Class H Shares		—			—			—			52
Investment Advisory Fees		118			371			488			1,312
Trustees’ Fees		3			10			13			33
Chief Compliance Officer Fees		1			3			4			11
Registration Fees		9			32			35			93
Custodian/Wire Agent Fees		15			43			59			154
Pricing Fees		1			2			2			6
Other Expenses		22			62			82			211
Total Expenses		1,288			3,322			3,797			10,201
Less, Waiver of:
Investment Advisory Fees		(59	)		(186	)		(244	)		(656	)
Administration Fees		(365	)		(1,051	)		(955	)		(1,004	)
Shareholder Servicing Fees — Class A Shares		(275	)		(779	)		(1,550	)		(4,393	)
Administrative & Shareholder Servicing Fees — Class B Shares		(48	)		(556	)		(218	)		(184	)
Administrative & Shareholder Servicing Fees — Class C Shares		(108	)		(108	)		(22	)		(118	)
Administrative & Shareholder Servicing Fees — Class H Shares		—			—			—			(46	)
Distribution Fees — Sweep Class Shares		(96	)		(83	)		—			(19	)
Net Expenses		337			559			808			3,781
Net Investment Income		85			265			72			1,034
Net Realized and Unrealized Gain (Loss) on/from:
Investments		5			4			20			36
Futures Contracts		—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) on/from:
Investments		—			—			—			—
Futures Contracts		—			—			—			—
Net Increase in Net Assets Resulting from Operations	$	90		$	269		$	92		$	1,070

See Note 3 in the notes to financial statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.


34		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Treasury Fund			Treasury II Fund			Short-Duration Government Fund			Intermediate- Duration Government Fund			GNMA Fund			Ultra Short Duration Bond Fund

$	274		$	204		$	4,686		$	773		$	1,970		$	2,115

	551			572			1,170			131			372			450
	205			364			836			93			291			321
	163			—			—			—			—			—
	335			—			—			—			—			—
	224			268			—			—			—			—
	33			17			—			—			—			—
	—			—			—			—			—			—
	161			167			293			32			102			127
	4			4			7			1			3			3
	1			1			2			—			1			1
	14			13			16			3			6			9
	19			19			29			2			11			12
	1			1			56			9			22			28
	28			28			39			9			15			16
	1,739			1,454			2,448			280			823			967

	(80	)		(86	)		(22	)		—			—			(45	)
	(448	)		(538	)		—			(2	)		(87	)		(111	)
	(205	)		(364	)		(825	)		(79	)		—			(321	)
	(224	)		(268	)		—			—			—			—
	(33	)		(17	)		—			—			—			—
	—			—			—			—			—			—
	(498	)		—			—			—			—			—
	251			181			1,601			199			736			490
	23			23			3,085			574			1,234			1,625

	19			10			7,376			(177	)		7,268			(3,064	)
	—			—			(1,372	)		(303	)		655			13

	—			—			4,226			773			1,548			3,634
	—			—			(4,463	)		683			38			(606	)
$	42		$	33		$	8,852		$	1,550		$	10,743		$	1,602


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			35

Statements of Changes in Net Assets ($ Thousands)

For the six months ended July 31, 2011 (Unaudited) and the year ended January 31, 2011


	Money Market Fund						Government Fund
	2/1/11-7/31/11			2/1/10-1/31/11			2/1/11-7/31/11			2/1/10-1/31/11
Operations:
Net Investment Income	$	85		$	359		$	265		$	645
Net Realized Gain on Investments		5			2			4			2
Net Increase in Net Assets Resulting from Operations		90			361			269			647
Dividends and Distributions to Shareholders:
Net Investment Income
Class A		(79	)		(344	)		(155	)		(427	)
Class B		(2	)		(4	)		(93	)		(176	)
Class C		(3	)		(7	)		(11	)		(31	)
Class H		—			—			—			—
Sweep Class		(1	)		(3	)		(6	)		(11	)
Net Capital Gain
Class B		—			(1	)		—			—
Class A		—			(6	)		—			—
Class C		—			(1	)		—			—
Sweep Class		—			(1	)		—			—
Total Dividends and Distributions		(85	)		(367	)		(265	)		(645	)
Capital Share Transactions (All at $1.00 per share)
Class A:
Proceeds from Shares Issued		875,078			1,734,955			2,485,672			5,567,117
Reinvestment of Dividends & Distributions		55			245			61			259
Cost of Shares Redeemed		(842,527	)		(1,748,792	)		(2,428,494	)		(5,759,559	)
Net Increase (Decrease) from Class A Transactions		32,606			(13,592	)		57,239			(192,183	)
Class B:
Proceeds from Shares Issued		152,951			294,948			834,924			1,548,689
Reinvestment of Dividends & Distributions		1			1			77			151
Cost of Shares Redeemed		(144,532	)		(306,739	)		(780,911	)		(1,642,343	)
Net Increase (Decrease) from Class B Transactions		8,420			(11,790	)		54,090			(93,503	)
Class C:
Proceeds from Shares Issued		141,652			396,468			182,563			590,208
Reinvestment of Dividends & Distributions		—			1			—			—
Cost of Shares Redeemed		(137,430	)		(417,638	)		(198,579	)		(594,367	)
Net Increase (Decrease) from Class C Transactions		4,222			(21,169	)		(16,016	)		(4,159	)
Class H:
Proceeds from Shares Issued		N/A			N/A			N/A			N/A
Reinvestment of Dividends & Distributions		N/A			N/A			N/A			N/A
Cost of Shares Redeemed		N/A			N/A			N/A			N/A
Net Decrease from Class H Transactions		N/A			N/A			N/A			N/A
Sweep Class:
Proceeds from Shares Issued		150,411			339,716			126,965			266,781
Reinvestment of Dividends & Distributions		—			—			4			6
Cost of Shares Redeemed		(151,331	)		(341,558	)		(122,817	)		(271,646	)
Net Increase (Decrease) from Sweep Class Transactions		(920	)		(1,842	)		4,152			(4,859	)
Net Increase (Decrease) in Net Assets from Capital Shares Transactions		44,328			(48,393	)		99,465			(294,704	)
Net Increase (Decrease) in Net Assets		44,333			(48,399	)		99,469			(294,702	)
Net Assets:
Beginning of Period		333,610			382,009			1,047,933			1,342,635
End of Period	$	377,943		$	333,610		$	1,147,402		$	1,047,933
Undistributed (Distributions in Excess of) Net Investment Income	$	(1	)	$	(1	)	$	—		$	—

Amounts designated as “—” are zero or have been rounded to zero.

The accompanying notes are an integral part of the financial statements.


36		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Government II Fund						Prime Obligation Fund						Treasury Fund						Treasury II Fund
2/1/11-7/31/11			2/1/10-1/31/11			2/1/11-7/31/11			2/1/10-1/31/11			2/1/11-7/31/11			2/1/10-1/31/11			2/1/11-7/31/11			2/1/10-1/31/11

$	72		$	132		$	1,034		$	4,070		$	23		$	65		$	23		$	51
	20			5			36			15			19			1			10			5
	92			137			1,070			4,085			42			66			33			56


	(65	)		(117	)		(1,023	)		(4,037	)		(8	)		(30	)		(14	)		(34	)
	(7	)		(15	)		(7	)		(20	)		(7	)		(19	)		(9	)		(16	)
	—			—			(3	)		(9	)		(1	)		(2	)		—			(1	)
	—			—			(1	)		(3	)		—			—			—			—
	—			—			—			(1	)		(7	)		(14	)		—			—

	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—
	(72	)		(132	)		(1,034	)		(4,070	)		(23	)		(65	)		(23	)		(51	)


	1,975,147			4,095,746			10,924,981			20,017,875			8,746,810			16,949,017			690,793			1,332,020
	7			15			199			1,261			3			16			6			16
	(1,981,498	)		(4,142,548	)		(10,318,656	)		(20,034,360	)		(8,744,138	)		(17,068,980	)		(621,961	)		(1,480,492	)
	(6,344	)		(46,787	)		606,524			(15,224	)		2,675			(119,947	)		68,838			(148,456	)

	530,566			939,511			515,727			1,022,342			446,483			1,262,822			251,800			514,619
	4			9			3			8			3			8			1			4
	(495,116	)		(966,616	)		(542,836	)		(1,069,482	)		(484,586	)		(1,268,188	)		(246,150	)		(501,854	)
	35,454			(27,096	)		(27,106	)		(47,132	)		(38,100	)		(5,358	)		5,651			12,769

	49,725			27,205			184,519			655,743			50,788			183,546			30,247			75,202
	—			—			—			1			—			—			—			—
	(50,679	)		(22,998	)		(194,222	)		(694,391	)		(48,451	)		(199,021	)		(29,092	)		(77,638	)
	(954	)		4,207			(9,703	)		(38,647	)		2,337			(15,475	)		1,155			(2,436	)

	N/A			N/A			21,577			47,551			N/A			N/A			N/A			N/A
	N/A			N/A			1			3			N/A			N/A			N/A			N/A
	N/A			N/A			(23,575	)		(54,905	)		N/A			N/A			N/A			N/A
	N/A			N/A			(1,997	)		(7,351	)		N/A			N/A			N/A			N/A

	N/A			N/A			23,690			116,698			215,345			396,053			N/A			N/A
	N/A			N/A			—			1			—			—			N/A			N/A
	N/A			N/A			(23,797	)		(143,835	)		(203,813	)		(404,977	)		N/A			N/A
	N/A			N/A			(107	)		(27,136	)		11,532			(8,924	)		N/A			N/A
	28,156			(69,676	)		567,611			(135,490	)		(21,556	)		(149,704	)		75,644			(138,123	)
	28,176			(69,671	)		567,647			(135,475	)		(21,537	)		(149,703	)		75,654			(138,118	)

	1,362,893			1,432,564			3,364,624			3,500,099			494,980			644,683			472,043			610,161
$	1,391,069		$	1,362,893		$	3,932,271		$	3,364,624		$	473,443		$	494,980		$	547,697		$	472,043
$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			37

Statements of Changes in Net Assets ($ Thousands)

For the six months ended July 31, 2011 (Unaudited) and the year ended January 31, 2011


	Short-Duration Government Fund
	2/1/11-7/31/11			2/1/10-1/31/11
Operations:
Net Investment Income	$	3,085		$	5,939
Net Realized Gain (Loss) on Investments and Futures Contracts		6,004			3,701
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts		(237	)		6,328
Net Increase in Net Assets Resulting from Operations		8,852			15,968
Dividends and Distributions to Shareholders:
Net Investment Income		(3,890	)		(9,316	)
Net Capital Gains		—			(4,787	)
Total Dividends and Distributions		(3,890	)		(14,103	)
Capital Share Transactions:
Class A:
Proceeds from Shares Issued		214,787			995,520
Reinvestment of Dividends & Distributions		3,357			12,578
Cost of Shares Redeemed		(417,815	)		(519,738	)
Net Increase (Decrease) from Class A Transactions		(199,671	)		488,360
Net Increase (Decrease) in Net Assets		(194,709	)		490,225
Net Assets:
Beginning of Period		867,313			377,088
End of Period	$	672,604		$	867,313
Undistibuted (Distributions in Excess of) Net Investment Income	$	(789	)	$	16
Capital Share Transactions:
Class A:
Shares Issued		20,189			93,798
Reinvestment of Distributions		316			1,184
Shares Redeemed		(39,424	)		(48,951	)
Net Increase (Decrease) in Shares Outstanding from Share Transactions		(18,919	)		46,031

Amounts designated as “—” are zero or have been rounded to zero.

The accompanying notes are an integral part of the financial statements.


38		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


Intermediate-Duration Government Fund						GNMA Fund						Ultra Short Duration Bond Fund
2/1/11-7/31/11			2/1/10-1/31/11			2/1/11-7/31/11			2/1/10-1/31/11			2/1/11-7/31/11			2/1/10-1/31/11

$	574		$	1,589		$	1,234		$	3,603		$	1,625		$	4,998
	(480	)		1,690			7,923			9,292			(3,051	)		(11,033	)
	1,456			(847	)		1,586			879			3,028			15,789
	1,550			2,432			10,743			13,774			1,602			9,754

	(685	)		(2,015	)		(1,400	)		(3,899	)		(1,971	)		(6,166	)
	—			(4,687	)		—			(5,289	)		—			—
	(685	)		(6,702	)		(1,400	)		(9,188	)		(1,971	)		(6,166	)


	25,135			234,078			44,582			295,258			101,655			361,528
	605			6,262			1,016			7,361			1,750			5,248
	(161,627	)		(111,103	)		(173,715	)		(171,704	)		(346,599	)		(161,990	)
	(135,887	)		129,237			(128,117	)		130,915			(243,194	)		204,786
	(135,022	)		124,967			(118,774	)		135,501			(243,563	)		208,374

	187,944			62,977			334,415			198,914			465,612			257,238
$	52,922		$	187,944		$	215,641		$	334,415		$	222,049		$	465,612
$	(109	)	$	2		$	(36	)	$	130		$	(341	)	$	5


	2,191			20,154			4,141			27,752			10,893			38,917
	53			547			94			695			187			564
	(14,315	)		(9,696	)		(16,301	)		(16,198	)		(37,117	)		(17,431	)
	(12,071	)		11,005			(12,066	)		12,249			(26,037	)		22,050


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			39

Financial Highlights

For the six months ended July 31, 2011 (Unaudited) and for the years ended January 31,

For a Share Outstanding Throughout the Years


	Net Asset Value, Beginning of Period		Net Investment Income*		Net Realized and Unrealized Gains (Losses) on Securities			Payment by Affiliate		Total from Operations		Dividends from Net investment Income			Distributions from Realized Capital Gains			Total Dividends			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets
Money Market Fund
Class A
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—		$	—	⁽¹⁾	$	1.00		0.04	%	$	247,387		0.18	%		0.68	%		0.07	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—	⁽¹⁾		—	⁽¹⁾		1.00		0.14			214,779		0.18			0.68			0.14
2010		1.00		—		—			—		—		—	⁽¹⁾		—			—	⁽¹⁾		1.00		0.31			228,375		0.24	⁽²⁾		0.70			0.35
2009		1.00		0.02		(0.01	)		0.01		0.02		(0.02	)		—			(0.02	)		1.00		2.45	††		341,204		0.20	⁽²⁾		0.64			2.46
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		5.23			401,174		0.18			0.63			5.13
2007		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		5.07			623,314		0.18			0.63			4.97
Class B
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—		$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	47,773		0.24	%⁽³⁾		0.73	%		0.01	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—	⁽¹⁾		—	⁽¹⁾		1.00		0.01			39,352		0.30	⁽³⁾		0.73			0.01
2010		1.00		—		—			—		—		—	⁽¹⁾		—			—	⁽¹⁾		1.00		0.15			51,142		0.44	⁽²⁾⁽³⁾		0.76			0.19
2009		1.00		0.02		(0.01	)		0.01		0.02		(0.02	)		—			(0.02	)		1.00		2.15	††		120,925		0.50	⁽²⁾		0.70			2.19
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.92			166,627		0.48			0.68			4.82
2007		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.76			148,053		0.48			0.68			4.61
Class C
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—		$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	57,099		0.24	%⁽³⁾		0.93	%		0.01	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—	⁽¹⁾		—	⁽¹⁾		1.00		0.01			52,876		0.30	⁽³⁾		0.93			0.01
2010		1.00		—		—			—		—		—	⁽¹⁾		—			—	⁽¹⁾		1.00		0.08			74,047		0.49	⁽²⁾⁽³⁾		0.95			0.10
2009		1.00		0.02		(0.01	)		0.01		0.02		(0.02	)		—			(0.02	)		1.00		1.94	††		158,833		0.70	⁽²⁾		0.89			2.00
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.71			259,640		0.68			0.88			4.61
2007		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.55			243,944		0.68			0.88			4.48
Sweep Class
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—		$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	25,684		0.24	%⁽³⁾		1.18	%		0.01	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—	⁽¹⁾		—	⁽¹⁾		1.00		0.01			26,603		0.31	⁽³⁾		1.18			0.01
2010		1.00		—		—			—		—		—	⁽¹⁾		—			—	⁽¹⁾		1.00		0.07			28,445		0.52	⁽²⁾⁽³⁾		1.20			0.08
2009		1.00		0.02		(0.01	)		0.01		0.02		(0.02	)		—			(0.02	)		1.00		1.69	††		68,179		0.95	⁽²⁾		1.14			1.79
2008		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.45			133,223		0.93			1.13			4.35
2007		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.29			91,087		0.93			1.13			4.19
Government Fund
Class A
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—		$	—	⁽¹⁾	$	1.00		0.02	%	$	690,402		0.11	%⁽³⁾		0.59	%		0.05	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—			—	⁽¹⁾		1.00		0.05			633,160		0.17	⁽³⁾		0.59			0.05
2010		1.00		—		—			—		—		—	⁽¹⁾		—			—	⁽¹⁾		1.00		0.14			825,341		0.20	⁽²⁾		0.57			0.16
2009		1.00		0.02		—			—		0.02		(0.02	)		—			(0.02	)		1.00		2.15			1,526,541		0.22	⁽²⁾		0.54			2.06
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.98			1,031,612		0.20			0.53			4.79
2007		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.97			507,735		0.20			0.54			4.88
Class B
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—		$	—	⁽¹⁾	$	1.00		0.02	%	$	388,300		0.10	%⁽³⁾		0.64	%		0.05	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—			—	⁽¹⁾		1.00		0.05			334,209		0.16	⁽³⁾		0.64			0.05
2010		1.00		—		—			—		—		—	⁽¹⁾		—			—	⁽¹⁾		1.00		0.07			427,711		0.28	⁽²⁾⁽³⁾		0.62			0.07
2009		1.00		0.02		—			—		0.02		(0.02	)		—			(0.02	)		1.00		1.84			623,905		0.52	⁽²⁾		0.60			1.62
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.67			197,593		0.50			0.58			4.53
2007		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.66			122,674		0.50			0.59			4.57
Class C
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—		$	—	⁽¹⁾	$	1.00		0.02	%	$	39,390		0.10	%⁽³⁾		0.84	%		0.05	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—			—	⁽¹⁾		1.00		0.05			55,406		0.17	⁽³⁾		0.84			0.05
2010		1.00		—		—			—		—		—	⁽¹⁾		—			—	⁽¹⁾		1.00		0.06			59,565		0.31	⁽²⁾⁽³⁾		0.82			0.07
2009		1.00		0.02		—			—		0.02		(0.02	)		—			(0.02	)		1.00		1.64			153,015		0.71	⁽²⁾⁽³⁾		0.79			1.65
2008		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.46			154,244		0.70			0.78			4.35
2007		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.45			137,375		0.70			0.79			4.37
Sweep Class
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—		$	—	⁽¹⁾	$	1.00		0.02	%	$	29,310		0.10	%⁽³⁾		1.09	%		0.05	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—			—	⁽¹⁾		1.00		0.05			25,158		0.16	⁽³⁾		1.09			0.05
2010		1.00		—		—			—		—		—	⁽¹⁾		—			—	⁽¹⁾		1.00		0.06			30,018		0.30	⁽²⁾⁽³⁾		1.07			0.07
2009		1.00		0.01		—			—		0.01		(0.01	)		—			(0.01	)		1.00		1.39			45,154		0.96	⁽²⁾⁽³⁾		1.04			1.34
2008		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.20			28,233		0.95			1.03			4.06
2007		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.19			15,077		0.95			1.04			4.07

Amounts designated as “—” are zero or have been rounded to zero.

(1)

Amount represents less than $0.01 per share.

(2)

The expense ratio includes the Treasury Guarantee Program expense. The Fund participated in the Temporary Guarantee Program for Money Market Funds from September 18, 2008 through September 18, 2009. Had the expense been excluded, the expense ratio would have been equal to, or less than, the expense ratio cap figure. See Note 3 for expense ratio cap figure.

(3)

The Distributor and/or Administrator have voluntarily agreed to waive and reduce its fee and/or reimburse certain expenses of the Fund in order to limit the one-day net income yield of the Fund to not less than 0.01% of the Fund’s average daily net assets of the share class. Had these waivers and/or the Treasury Guarantee Program expense been excluded the ratio would have been at the expense ratio cap figure. See Note 3 for expense ratio cap figure.

(4)

Amount represents less than 0.01%.

Per share calculations were performed using average shares.

For the six month period ended July 31, 2011. All ratios for the period have been annualized.

†

Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

††

The total return includes payment by affiliate. Had the payment been excluded the total return would have been 1.61%, 1.31%, 1.11% and 0.86% for Class A, Class B, Class C and Sweep Class, respectively. See Note 3 in Notes to Financial Statements.


40		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


	Net Asset Value, Beginning of Period		Net Investment Income*		Net Realized and Unrealized Gains (Losses) on Securities			Payment by Affiliate		Total from Operations		Dividends from Net Investment Income			Distributions from Realized Capital Gains		Total Dividends			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets
Government II Fund
Class A
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.01	%	$	1,227,242		0.12	%⁽³⁾		0.54	%		0.01	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			1,233,569		0.16	⁽³⁾		0.54			0.01
2010		1.00		—		—			—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.11			1,280,352		0.19	⁽²⁾		0.52			0.12
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		2.10			2,050,235		0.21	⁽²⁾		0.50			1.99
2008		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.97			1,354,361		0.20			0.48			4.81
2007		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.96			680,219		0.20			0.49			4.86
Class B
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	155,321		0.12	%⁽³⁾		0.59	%		0.01	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			119,864		0.16	⁽³⁾		0.59			0.01
2010		1.00		—		—			—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.06			146,960		0.25	⁽²⁾		0.56			0.06
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		1.79			242,332		0.51	⁽²⁾		0.54			1.80
2008		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.66			150,900		0.50			0.53			4.53
2007		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.64			140,930		0.50			0.54			4.56
Class C
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	8,506		0.12	%⁽³⁾		0.79	%		0.01	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			9,460		0.16	⁽³⁾		0.79			0.01
2010		1.00		—		—			—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.06			5,252		0.28	⁽²⁾⁽³⁾		0.77			0.06
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		1.60			31,462		0.70	⁽²⁾⁽³⁾		0.74			1.63
2008		1.00		0.04		—			—		0.04		(0.04	)		—		(0.04	)		1.00		4.45			43,538		0.70			0.73			4.05
2007		1.00		0.04		—			—		0.04		(0.04	)		—		(0.04	)		1.00		4.44			4,089		0.70			0.74			4.38
Prime Obligation Fund
Class A
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.03	%	$	3,750,711		0.20	%		0.54	%		0.06	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.11			3,144,153		0.20			0.54			0.12
2010		1.00		—		(0.04	)		0.04		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.20	††		3,158,830		0.23	⁽²⁾		0.53			0.26
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		2.37			3,796,102		0.22	⁽²⁾		0.50			2.42
2008		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		5.21			3,740,714		0.20			0.48			5.10
2007		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		5.06			3,382,051		0.20			0.49			4.96
Class B
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	108,215		0.25	%⁽³⁾		0.59	%		0.01	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			135,319		0.31	⁽³⁾		0.59			0.01
2010		1.00		—		(0.04	)		0.04		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.07	††		182,593		0.38	⁽²⁾⁽³⁾		0.58			0.15
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		2.06			346,741		0.51	⁽²⁾		0.55			2.17
2008		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.90			475,700		0.50			0.53			4.82
2007		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.74			715,879		0.50			0.54			4.65
Class C
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	46,334		0.25	%⁽³⁾		0.79	%		0.01	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			56,037		0.30	⁽³⁾		0.79			0.01
2010		1.00		—		(0.04	)		0.04		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.06	††		95,092		0.39	⁽²⁾⁽³⁾		0.78			0.14
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		1.86			467,782		0.71	⁽²⁾		0.75			2.04
2008		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.69			641,977		0.70			0.73			4.60
2007		1.00		0.04		—			—		0.04		(0.04	)		—		(0.04	)		1.00		4.53			780,951		0.70			0.74			4.45
Class H
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	22,408		0.25	%⁽³⁾		0.72	%		0.01	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			24,405		0.30	⁽³⁾		0.72			0.01
2010		1.00		—		(0.04	)		0.04		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.02	††		31,797		0.43	⁽²⁾⁽³⁾		0.71			0.09
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		1.93			58,276		0.64	⁽²⁾		0.67			2.11
2008		1.00		0.05		—			—		0.05		(0.05	)		—		(0.05	)		1.00		4.76			80,958		0.63			0.66			4.65
2007		1.00		0.04		—			—		0.04		(0.04	)		—		(0.04	)		1.00		4.61			65,512		0.63			0.67			4.55
Sweep Class
2011@	$	1.00	$	—	$	—		$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	4,603		0.25	%⁽³⁾		1.04	%		0.01	%
2011		1.00		—		—			—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			4,710		0.30	⁽³⁾		1.04			0.01
2010		1.00		—		(0.04	)		0.04		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.06	††		31,787		0.39	⁽²⁾⁽³⁾		1.03			0.14
2009		1.00		0.02		—			—		0.02		(0.02	)		—		(0.02	)		1.00		1.62			57,135		0.95	⁽²⁾⁽³⁾		1.00			1.54
2008		1.00		0.04		—			—		0.04		(0.04	)		—		(0.04	)		1.00		4.43			56,378		0.95			0.98			4.34
2007		1.00		0.04		—			—		0.04		(0.04	)		—		(0.04	)		1.00		4.27			47,991		0.95			0.99			4.20

Amounts designated as “—” are zero or have been rounded to zero.

(1)

Amount represents less than $0.01 per share.

(2)

(3)

The Distributor and/or Administrator have voluntarily agreed to waive and reduce its fee and\or reimburse certain expenses of the Fund in order to limit the one- day net income yield of the Fund to not less than 0.01% of the Fund’s average daily net assets of the share class. Had these waivers and\or the Treasury Guarantee Program expense been excluded the ratio would have been at the expense ratio cap figure. See Note 3 for expense ratio cap figure.

(4)

Amount represents less than 0.01%

Per share calculations were performed using average shares.

For the six month period ended July 31, 2011. All ratios for the period have been annualized.

†

Returns are for the period included and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

††

The total return includes payment by affiliate. Had the payment been excluded the total return would have been (3.28)%, (3.41)%, (3.42)%, (3.45)% and (3.42)% for Class A, Class B, Class C, Class H and Sweep Class, respectively. See Note 3 in Notes to Financial Statements. The accompanying notes are an integral part of the financial statements.


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			41

Financial Highlights

For the six months ended July 31, 2011 (Unaudited) and for the years ended January 31,

For a Share Outstanding Throughout the Years


	Net Asset Value, Beginning of Period		Net Investment Income*		Net Realized and Unrealized Gains (Losses) on securities		Payment by Affiliate		Total from operations		Dividends from Net investment Income			Distributions from Realized Capital Gains		Total Dividends			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets
Treasury Fund
Class A
2011@	$	1.00	$	—	$	—	$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.01	%	$	178,431		0.11	%⁽³⁾		0.59	%		0.01	%
2011		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.02			175,749		0.18	⁽³⁾		0.59			0.02
2010		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.07			295,695		0.17	⁽²⁾		0.56			0.07
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		1.27			572,906		0.19	⁽²⁾		0.55			1.18
2008		1.00		0.05		—		—		0.05		(0.05	)		—		(0.05	)		1.00		4.64			610,451		0.20			0.53			4.36
2007		1.00		0.05		—		—		0.05		(0.05	)		—		(0.05	)		1.00		4.95			287,595		0.20			0.54			4.87
Class B
2011@	$	1.00	$	—	$	—	$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	140,675		0.11	%⁽³⁾		0.64	%		0.01	%
2011		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			178,769		0.19	⁽³⁾		0.64			0.01
2010		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.06			184,127		0.20	⁽²⁾⁽³⁾		0.61			0.06
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		1.06			487,254		0.40	⁽²⁾⁽³⁾		0.59			1.12
2008		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		4.33			761,497		0.50			0.58			4.07
2007		1.00		0.05		—		—		0.05		(0.05	)		—		(0.05	)		1.00		4.64			359,090		0.50			0.59			4.58
Class C
2011@	$	1.00	$	—	$	—	$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	13,285		0.11	%⁽³⁾		0.84	%		0.01	%
2011		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			10,948		0.18	⁽³⁾		0.84			0.01
2010		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.06			26,423		0.20	⁽²⁾⁽³⁾		0.81			0.06
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		0.93			72,803		0.53	⁽²⁾⁽³⁾		0.80			0.98
2008		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		4.12			144,919		0.70			0.78			4.00
2007		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		4.43			100,928		0.70			0.79			4.34
Sweep Class
2011@	$	1.00	$	—	$	—	$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	141,052		0.11	%⁽³⁾		1.09	%		0.01	%
2011		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			129,514		0.19	⁽³⁾		1.09			0.01
2010		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.06			138,438		0.18	⁽²⁾⁽³⁾		1.06			0.06
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		0.77			206,719		0.61	⁽²⁾⁽³⁾		1.05			0.67
2008		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		3.86			111,853		0.95			1.03			3.74
2007		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		4.17			97,004		0.95			1.04			4.11
Treasury II Fund
Class A
2011@	$	1.00	$	—	$	—	$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.00	%	$	356,668		0.08	%⁽³⁾		0.59	%		0.01	%
2011		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			287,823		0.12	⁽³⁾		0.59			0.01
2010		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.04			436,276		0.12	⁽²⁾		0.55			0.04
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		1.05			688,813		0.20	⁽²⁾		0.54			0.87
2008		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		4.11			516,164		0.21			0.53			3.72
2007		1.00		0.05		—		—		0.05		(0.05	)		—		(0.05	)		1.00		4.62			181,976		0.25			0.53			4.50
Class B
2011@	$	1.00	$	—	$	—	$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	183,692		0.08	%⁽³⁾		0.64	%		0.01	%
2011		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			178,037		0.12	⁽³⁾		0.64			0.01
2010		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.04			165,266		0.12	⁽²⁾⁽³⁾		0.60			0.04
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		0.82			363,238		0.39	⁽²⁾⁽³⁾		0.59			0.58
2008		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		3.81			109,384		0.51			0.58			3.54
2007		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		4.31			51,984		0.55			0.58			4.18
Class C
2011@	$	1.00	$	—	$	—	$	—	$	—	$	—	⁽¹⁾	$	—	$	—	⁽¹⁾	$	1.00		0.00	%⁽⁴⁾	$	7,337		0.08	%⁽³⁾		0.84	%		0.01	%
2011		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.01			6,183		0.12	⁽³⁾		0.84			0.01
2010		1.00		—		—		—		—		—	⁽¹⁾		—		—	⁽¹⁾		1.00		0.04			8,619		0.12	⁽²⁾⁽³⁾		0.80			0.04
2009		1.00		0.01		—		—		0.01		(0.01	)		—		(0.01	)		1.00		0.69			13,364		0.47	⁽²⁾⁽³⁾		0.79			0.50
2008		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		3.59			7,254		0.72			0.79			3.71
2007		1.00		0.04		—		—		0.04		(0.04	)		—		(0.04	)		1.00		4.10			20,267		0.75			0.78			4.04

Amounts designated as “—” are zero or have been rounded to zero.

(1)

Amount represents less than $0.01 per share.

(2)

The expense ratio includes the Treasury Guarantee Program expense. The Fund participated in the Temporary Guarantee Program for Money Market Funds from September 18, 2008 through September 19, 2009. Had the expense been excluded, the expense ratio would have been equal to, or less than, the expense ratio cap figure. See Note 3 for expense ratio cap figure.

(3)

(4)

Amount represents less than 0.01%.

Per share calculations were performed using average shares.

For the six month period ended July 31, 2011. All ratios for the period have been annualized.

†

The accompanying notes are an integral part of the financial statements.


42		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


	Net Asset Value, Beginning of Period		Net Investment Income*		Net Realized and Unrealized Gains (Losses) on Securities			Total from Operations			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets			Portfolio Turnover Rate†
Short-Duration Government Fund
Class A
2011@	$	10.59	$	0.05	$	0.11		$	0.16		$	(0.06	)	$	—		$	(0.06	)	$	10.69		1.52	%	$	672,604		0.48	%		0.73	%		0.92	%		429	%
2011		10.52		0.09		0.18			0.27			(0.14	)		(0.06	)		(0.20	)		10.59		2.59			867,313		0.48			0.72			0.84			521
2010		10.25		0.21		0.29			0.50			(0.23	)		—			(0.23	)		10.52		4.94			377,088		0.48			0.75			2.02			347
2009		10.21		0.36		0.04			0.40			(0.36	)		—			(0.36	)		10.25		4.05			288,064		0.48			0.74			3.53			693
2008		9.95		0.46		0.28			0.74			(0.48	)		—			(0.48	)		10.21		7.65			172,892		0.45			0.76			4.63			266
2007		10.02		0.42		(0.04	)		0.38			(0.45	)		—			(0.45	)		9.95		3.84			115,462		0.45			0.78			4.19			210
Intermediate-Duration Government Fund
Class A
2011@	$	11.32	$	0.09	$	0.37		$	0.46		$	(0.11	)	$	—		$	(0.11	)	$	11.67		4.12	%	$	52,922		0.53	%		0.75	%		1.54	%		470	%
2011		11.24		0.13		0.39			0.52			(0.19	)		(0.25	)		(0.44	)		11.32		4.62			187,944		0.53			0.72			1.14			590
2010		11.20		0.32		0.41			0.73			(0.32	)		(0.37	)		(0.69	)		11.24		6.61			62,977		0.53			0.76			2.82			213
2009		10.76		0.38		0.44			0.82			(0.38	)		—			(0.38	)		11.20		7.85			92,025		0.53			0.74			3.48			641
2008		10.13		0.45		0.63			1.08			(0.45	)		—			(0.45	)		10.76		10.97			50,372		0.50			0.75			4.34			234
2007		10.21		0.42		(0.06	)		0.36			(0.44	)		—			(0.44	)		10.13		3.64			46,635		0.50			0.78			4.17			200
GNMA Fund
Class A
2011@	$	10.58	$	0.06	$	0.46		$	0.52		$	(0.06	)	$	—		$	(0.06	)	$	11.04		4.97	%	$	215,641		0.63	%		0.70	%		1.06	%		824	%
2011		10.28		0.13		0.49			0.62			(0.16	)		(0.16	)		(0.32	)		10.58		6.06			334,415		0.63			0.70			1.27			1,024
2010		9.84		0.32		0.47			0.79			(0.35	)		—			(0.35	)		10.28		8.18			198,914		0.63			0.72			3.16			533
2009		9.63		0.40		0.21			0.61			(0.40	)		—			(0.40	)		9.84		6.51			160,639		0.63			0.71			4.08			474
2008		9.34		0.45		0.30			0.75			(0.46	)		—			(0.46	)		9.63		8.31			114,824		0.60			0.72			4.82			271
2007		9.48		0.44		(0.11	)		0.33			(0.47	)		—			(0.47	)		9.34		3.65			143,711		0.60			0.74			4.72			105
Ultra Short Duration Bond Fund
Class A
2011@	$	9.33	$	0.06	$	(0.01	)	$	0.05		$	(0.07	)	$	—		$	(0.07	)	$	9.31		0.55	%	$	222,049		0.38	%		0.75	%		1.27	%		77	%
2011		9.24		0.13		0.12			0.25			(0.16	)		—			(0.16	)		9.33		2.74			465,612		0.38			0.74			1.37			78
2010		8.51		0.24		0.73			0.97			(0.24	)		—			(0.24	)		9.24		11.58			257,238		0.38			0.75			2.72			73
2009		9.69		0.32		(1.18	)		(0.86	)		(0.32	)		—			(0.32	)		8.51		(9.00	)		207,081		0.38			0.75			3.50			99
2008		9.97		0.48		(0.28	)		0.20			(0.48	)		—			(0.48	)		9.69		2.06			409,363		0.35			1.28			4.87			54
2007		9.95		0.45		0.03			0.48			(0.46	)		—			(0.46	)		9.97		4.88			238,820		0.35			0.76			4.51			40

Amounts designated as “—“ are zero or have been rounded to zero.

Per share calculations were performed using average shares.

For the six month period ended July 31, 2011. All ratios for the period have been annualized.

†

Returns and turnover are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The accompanying notes are an integral part of the financial statements.


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			43

Notes to Financial Statements

July 31, 2011

1. ORGANIZATION

SEI Daily Income Trust (the “Trust”) was organized as a Massachusetts business trust under a Declaration of Trust dated March 15, 1982.

The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end investment company with ten operational Funds: the Money Market, Government, Government II, Prime Obligation, Treasury and Treasury II (each a “Fund,” collectively the “Money Market Funds”), the Short-Duration Government, Intermediate-Duration Government, GNMA and Ultra Short Duration Bond (each a “Fund,” collectively the “Fixed Income Funds”). The Money Market Funds, Short-Duration Government, Intermediate-Duration Government, and GNMA Funds seek to preserve principal value and maintain a high degree of liquidity while providing current income. The Ultra Short Duration Bond Fund seeks to provide higher current income than typically offered by a money market fund while maintaining a high degree of liquidity and a correspondingly higher risk of principal volatility. During unusual economic or market conditions, the Funds may invest up to 100% of their assets in short-term obligations, cash or cash equivalents that may not ordinarly be consistent with the Fund’s objectives, and the Funds may not achieve its investment objective. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by the Funds.

Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“GAAP”), requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation — Investment securities of the Money Market Funds are stated at amortized cost, which approximates market value. Under this valuation method, purchase discounts and premiums are accreted and amortized ratably to maturity and are included in interest income.

Investment securities of the Fixed Income Funds listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the last quoted sale price on the primary exchange or market on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. If available, debt securities are priced based upon valuations provided by independent third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The thirdparty pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual

market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.

Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Funds’ Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. As of July 31, 2011, there were no fair valued securities in the Funds.

In accordance with GAAP, Fair Value is defined as the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 1 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;

Level 2 — Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

Level 3 — Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).


44		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011

Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.

The valuation techniques used by the Funds to measure fair value during the six-month period ended July 31, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs.

For the six-month period ended July 31, 2011, there have been no significant changes to the Trust’s fair valuation methodologies.

Security Transactions and Investment Income — Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. Income from payment-in-kind securities is recorded daily based on the effective interest method of accrual.

Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/ or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.

For the Fixed Income Funds, amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.

For the Money Market Funds, all amortization is calculated using the straight line method over the holding period of the security. Amortization of premiums and accretion of discounts are included in interest income.

Repurchase Agreements — Securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank until the repurchase date of the repurchase agreement. 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 the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. 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.

Futures Contracts — The Fixed Income Funds’ utilized futures contracts during the six-month period ended July 31, 2011. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark

indices. The Funds may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. 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 gains or losses are incurred. When the contract is closed, the Funds record 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 of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction.

Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities.

Swap Agreements — A Fund’s investments in swap contracts is mainly used as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			45

Notes to Financial Statements (Continued)

July 31, 2011

exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after a Fund’s portfolio. In connection with swap agreements securities may be set aside as collateral by a Fund’s custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect a Fund’s value from changes in interest rates, or to expose a Fund to a different security or market.

Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations. Net payments of interest are recorded as realized gains or losses.

Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.

This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details. There were no swap agreements as of July 31, 2011.

TBA Purchase Commitments — A Fixed Income Fund may engage in “to be announced” (“TBA”) purchase commitments to purchase securities for a fixed price at a future date. TBA 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 TBA purchase commitments are valued at the current market value of the underlying securities, according to the procedures described under “Security Valuation” above.

Collateralized Debt Obligations — A Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.

For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.

The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.

Restricted Securities — Throughout the year, the Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings that could not be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption there from. In addition, the Funds had generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of those investments. These investments were valued at amortized cost as determined in accordance with the procedures approved by the Board of Trustees. At July 31, 2011, the Funds did not own any restricted securities.

Classes — Class-specific expenses are borne by that class of shares. Income, expenses, and realized and unrealized gains/losses and nonclass specific expenses are allocated to the respective class on the basis of relative daily net assets.


46		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011

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.

Dividends and Distributions to Shareholders — Dividends from net investment income are declared daily and paid monthly. Any net realized capital gains on sales of securities after capital loss carryover are distributed at least annually by the Funds.

Redemption Fees — The Fixed Income Funds retain a redemption fee based on a dollar threshold for redemptions, or a series of redemptions, of capital shares held for less than thirty days, as presented below:


	Dollar Threshold ($ Thousands)		Redemption Fee
Short-Duration Government Fund	$	25,000		0.25	%
Intermediate-Duration Government Fund		10,000		0.25	%
GNMA Fund		10,000		0.25	%
Ultra Short Duration Bond Fund		10,000		0.50	%

For the six-month period ended July 31, 2011, the Fixed Income Funds did not retain any redemption fees. Such fees, if any, are retained by the Fixed Income Funds for the benefit of the remaining shareholders.

3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Administration and Transfer Agency Agreement — SEI Investments Global Funds Services (the “Administrator”) provides administrative and transfer agency services to the Funds for annual fees, based on the average daily net assets of the respective funds, as presented below:


Money Market Fund	0.33	%
Government Fund	0.24	%
Government II Fund	0.19	%
Prime Obligation Fund	0.19	%
Treasury Fund	0.24	%
Treasury II Fund	0.24	%
Short-Duration Government Fund	0.35	%
Intermediate-Duration Government Fund	0.35	%
GNMA Fund	0.32	%
Ultra Short Duration Bond Fund	0.35	%

However, the Administrator and SEI Investments Management Corporation (the “Adviser”) have agreed to waive a portion or their entire fee, for various classes of shares in various funds, to limit total annual expenses up to the following amounts (expressed as a percentage of the Funds’ daily net assets). The expense waivers are allocated to each share class pro-rata based on the net assets of each share class.

Money
Market
Fund

Government
Fund

Government II
Fund

Prime
Obligation
Fund

Treasury
Fund

Class A

0.18

%⁽¹⁾

0.20

%⁽³⁾

0.20

%⁽²⁾

0.20

%⁽²⁾

0.20

%⁽²⁾

Class B

0.48

%⁽¹⁾

0.50

%⁽³⁾

0.50

%⁽²⁾

0.50

%⁽²⁾

0.50

%⁽²⁾

Class C

0.68

%⁽¹⁾

0.70

%⁽³⁾

0.70

%⁽²⁾

0.70

%⁽²⁾

0.70

%⁽²⁾

Class H

N/A

0.63

%⁽¹⁾

N/A

Sweep Class

0.93

%⁽¹⁾

0.95

%⁽¹⁾

0.95

%⁽¹⁾

0.95

%⁽¹⁾

Treasury II
Fund

Short-
Duration
Government
Fund

Inter
mediate-
Duration
Government
Fund

GNMA
Fund

Ultra Short
Duration
Bond Fund

Class A

0.20

%⁽²⁾

0.48

%⁽⁴⁾

0.53

%⁽⁴⁾

0.63

%⁽⁴⁾

0.38

%⁽⁴⁾

Class B

0.50

%⁽²⁾

N/A

Class C

0.70

%⁽²⁾

N/A

Class H

N/A

Sweep Class

N/A

Class not currently operational

(1)

Represents a voluntary cap that my be discontinued at any time.

(2)

Represents a contractual cap effective through January 31, 2011, to be changed only by board approval.

(3)

Represents a contractual cap of .25%, .55%, and .75% of Class A, B, and C, respectively, effective through January 31, 2011, to be changed only by Board approval. In addition, management has voluntarily waived fees to a cap of .20%, .50%, and .70% of Class A, B, and C, respectively, that may be discontinued at any time

(4)

Represents a voluntary cap that may be discontinued at anytime. Prior to March 1, 2008, the cap for the Short-Duration Government, Intermediate-Duration Government, GNMA and Ultra Short Bond Funds were .45%, .50%, .60% and .35%, respectively.

Distribution Agreement — SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI and a registered broker-dealer, acts as the Distributor of the shares of the Trust under a Distribution Agreement. The Trust also has adopted plans under which firms, including the Distributor, that provide shareholder and administrative services may receive compensation thereof. Specific classes of certain funds have also adopted distribution plans, pursuant to Rule 12b-1 under the Investment Company Act of 1940.

Such plans provide fees payable to the Distributor up to the following amounts, calculated as a percentage of the average daily net assets attributable to each particular class of each respective fund.


	Shareholder Servicing Fees			Administrative Service Fees			Distribution Fees*
Money Market Fund
Class A		0.25	%		—			—
Class B		0.25	%		0.05	%		—
Class C		0.25	%		0.25	%		—
Sweep Class		0.25	%		—			0.50	%
Government Fund
Class A		0.25	%		—			—
Class B		0.25	%		0.05	%		—
Class C		0.25	%		0.25	%		—
Sweep Class		0.25	%		—			0.50	%
Government II Fund
Class A		0.25	%		—			—
Class B		0.25	%		0.05	%		—
Class C		0.25	%		0.25	%		—
Prime Obligation Fund
Class A		0.25	%		—			—
Class B		0.25	%		0.05	%		—
Class C		0.25	%		0.25	%		—
Class H		0.25	%		0.18	%		—
Sweep Class		0.25	%		—			0.50	%
Treasury Fund
Class A		0.25	%		—			—
Class B		0.25	%		0.05	%		—
Class C		0.25	%		0.25	%		—
Sweep Class		0.25	%		—			0.50	%
Treasury II Fund
Class A		0.25	%		—			—
Class B		0.25	%		0.05	%		—
Class C		0.25	%		0.25	%		—


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			47

Notes to Financial Statements (Continued)

July 31, 2011


	Shareholder Servicing Fees			Administrative Service Fees		Distribution Fees*
Short-Duration Government
Fund
Class A		0.25	%		—		—
Intermediate-Duration
Government Fund
Class A		0.25	%		—		—
GNMA Fund
Class A		0.25	%		—		—
Ultra Short Bond Fund
Class A		0.25	%		—		—

These payments are characterized as “compensation” and are not directly tied to expenses incurred by the Distributor. The payments the Distributor receives during any year may therefore be higher or lower than its actual expenses. These payments may be used to compensate sweep class shareholders who provide distribution-related services to their customers.

The Distributor has voluntarily waived all or a portion of the shareholder servicing fees for Class A of each fund, except for the GNMA Fund, since inception of the plan. Such waivers are voluntary and may be discontinued at any time. For Classes B, C, and H, the shareholder servicing fees and the administrative service fees are shown combined as “Administrative & Shareholder Servicing Fees” in the Statement of Operations. The Administrator and Distributor have voluntarily agreed to waive and reduce their fee and/or reimburse certain expenses of the Money Market Funds in order to limit the one-day net income yield of the Funds to not less than 0.01% of the Funds’ average daily net assets. The following table shows the waivers by class for the six-month period ended July 31, 2011 ($ Thousands):


	Administrative & Shareholder Servicing Fee Waiver		Administrative Fee Waiver
Money Market Fund
Class A	$	—	$	2
Class B		48		—
Class C		108		—
Sweep Class		96		—
Government Fund
Class A		—		291
Class B		556		177
Class C		108		20
Sweep Class		83		11
Government II Fund
Class A		—		519
Class B		218		63
Class C		22		3
Prime Obligation Fund
Class A		—		26
Class B		184		1
Class C		118		—
Class H		46		—
Sweep Class		19		—
Treasury Fund
Class A		—		74
Class B		224		67
Class C		33		6
Sweep Class		498		61
Treasury II Fund
Class A		—		181
Class B		268		110
Class C		17		4

Other — Certain officers and Trustees of the Trust are also officers and/or Directors of the Administrator or the Adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator or the Adviser pays compensation of Officers and affiliated Trustees.

A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the administrator, are paid for by the Trust as incurred. The services include regulatory oversidght of the Trust’s Adviser, Sub-Advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board of Trustees.

Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“The Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in The Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula approved annually by the SEI Funds Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate. As of July 31, 2011, the Trust has not participated in The Program.

4. INVESTMENT ADVISORY AND CUSTODIAN AGREEMENTS

The Adviser serves as each Fund’s investment adviser and “manager of managers” under an investment advisory agreement approved by the shareholders of each Fund. Effective January 1, 2010, for its services, the Adviser receives an annual fee equal to 0.07% of each of the Money Market Funds’ net assets. Prior to January 1, 2010, for its services, the Adviser received an annual fee equal to .075% on the first $500 million of net assets and .02% on the net assets in excess of $500 million for the Money Market Funds. The fee was calculated based on the combined assets of the Money Market Funds. The Adviser also receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Short-Duration Government, Intermediate-Duration Government and GNMA Funds. The fee was calculated based on the combined assets of these Funds. The Adviser also received an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Ultra Short Duration Bond Fund. The fee was calculated based on the net assets of the Ultra Short Duration Bond Fund.


48		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011

Pursuant to the “manager of managers” structure, the Board of Trustees approved BofA Advisors, LLC (formerly Columbia Management Advisors, LLC) as sub-adviser to the Money Market Funds and Wellington Management Company, LLP (“Wellington LLP”) serves as sub-adviser to the Fixed Income Funds. For its services to the Funds, the sub-advisers are entitled to receive a fee paid directly by the Adviser.

U.S. Bank, N.A. serves as the custodian of the Funds. The custodian plays no role in determining the investment policies of the Funds or which securities are to be purchased or sold in the Funds.

5. INVESTMENT TRANSACTIONS

The cost of security purchases and the proceeds from the sale of securities, other than short-term investments, for the six-months ended July 31, 2011, were as follows for the Fixed Income Funds:


	Short-Duration Government Fund ($Thousands)		Intermediate- Duration Government Fund ($Thousands)		GMNA Fund ($Thousands)		Ultra Short Duration Bond Fund ($Thousands)
Purchases
U.S. Government	$	2,742,313	$	357,473	$	1,866,235	$	115,261
Other		9,514		393		—		48,571
Sales
U.S. Government		2,927,993		493,126		1,990,671		150,744
Other		14,148		508		74		179,541

6. FEDERAL TAX INFORMATION

It is each Fund’s intention to continue 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.

Reclassification of Components of Net Assets — The timing and characterization of certain income and capital gain distributions are determined annually in accordance with Federal tax regulations which may differ from accounting principles generally accepted in the United States. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for the reporting period may differ from distributions during such period. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to Paid-in Capital, undistributed net investment income, or accumulated net realized gain, as appropriate, in the periods that the differences arise.

The tax character of dividends and distributions during the last two fiscal years was as follows:


		Ordinary Income ($ Thousands)		Long-term Capital Gain ($ Thousands)		Total ($ Thousands)
Money Market Fund	2011	$	367	$	—	$	367
	2010		1,311		—		1,311
Government Fund	2011		645		—		645
	2010		2,344		—		2,344
Government II Fund	2011		132		—		132
	2010		2,103		—		2,103
Prime Obligation Fund	2011		4,070		—		4,070
	2010		7,297		—		7,297
Treasury Fund	2011		65		—		65
	2010		648		—		648
Treasury II Fund	2011		51		—		51
	2010		327		—		327
Short-Duration Government Fund	2011		14,103		—		14,103
	2010		5,907		—		5,907
Intermediate-Duration Government Fund	2011		4,812		1,890		6,702
	2010		3,570		699		4,269
GNMA Fund	2011		7,644		1,544		9,188
	2010		6,674		—		6,674
Ultra Short Duration Bond Fund	2011		6,166		—		6,166
	2010		6,657		—		6,657


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			49

Notes to Financial Statements (Continued)

July 31, 2011

As of January 31, 2011, the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:


	Undistributed Ordinary Income ($ Thousands)		Undistributed Long-Term Capital Gain ($ Thousands)		Capital Loss Carryforwards ($ Thousands)			Post-October Losses ($ Thousands)			Other Temporary Differences ($ Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)			Total Distributable Earnings/ (Accumulated Losses) ($ Thousands)
Money Market Fund	$	26	$	—	$	—		$	—		$	(27	)	$	—		$	(1	)
Government Fund		47		—		(89	)		—			(47	)		—			(89	)
Government II Fund		14		—		(7	)		—			(14	)		—			(7	)
Prime Obligation Fund		239		—		(102	)		—			(239	)		—			(102	)
Treasury Fund		4		—		(92	)		—			(4	)		—			(92	)
Treasury II Fund		4		—		(1	)		—			(4	)		—			(1	)
Short-Duration Government Fund		968		137		—			—			(949	)		7,298			7,454
Intermediate-Duration Government Fund		203		—		—			(2,736	)		(201	)		644			(2,090	)
GNMA Fund		410		—		—			(2,028	)		(279	)		7,730			5,833
Ultra Short Duration Bond Fund		614		—		(20,237	)		(164	)		(610	)		(6,135	)		(26,532	)

At January 31, 2011, the following Funds had capital loss carryforwards to offset future realized capital gains:


	Amount ($ Thousands)		Expiration
Government Fund	$	53		1/31/13
		4		1/31/14
		32		1/31/16
Government II Fund		7		1/31/16
Prime Obligation Fund		102		1/31/17
Treasury Fund		64		1/31/12
		1		1/31/13
		22		1/31/14
		5		1/31/15
Treasury II Fund		1		1/31/16
Ultra Short Duration Bond Fund		442		1/31/12
		1,020		1/31/13
		1,045		1/31/14
		1,716		1/31/15
		296		1/31/16
		181		1/31/17
		3,642		1/31/18
		11,895		1/31/19

For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. It is the Funds’ intent that they will not distribute any realized gain distributions until the carryforwards have been offset or expired.

During the year ended January 31, 2011, the Government Fund, Government II Fund, Prime Obligation Fund, Treasury Fund, Treasury II Fund, and GNMA Fund utilized, $2,333, $4,775, $14,765, $1,006, $4,941 and $5,972,745, respectively, of capital loss carryforwards to offset capital gains. During the year ended January 31, 2011 the Ultra Short Duration Bond Fund had an expired capital loss carry forward of $556,787.

Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward capital

losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or longterm capital losses rather than being considered all short-term as under previous law.

During the year ended January 31, 2011, the Money Market Funds’ cost of securities for Federal income tax purposes approximates the cost located in the Statements of Assets and Liabilities.

For Federal income tax purposes, the cost of securities owned at January 31, 2011, and net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Fixed Income Funds at July 31, 2011, were as follows:


	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation/ (Depreciation) ($ Thousands)
Short-Duration Government Fund	$	874,157	$	12,270	$	(350	)	$	11,920
Intermediate-Duration Government Fund		63,770		1,550		(8	)		1,542
GNMA Fund		342,692		9,668		(374	)		9,294
Ultra Short Duration Bond Fund		238,546		1,201		(3,699	)		(2,498	)

Management has analyzed the Fund’s tax positions taken on the federal tax returns for all open tax years and has concluded that as of January 31, 2011, no provision for income tax is required in the Fund’s financial statements. All uncertain tax positions, except for the accretion of market discount associated with the structured investment vehicles subject to the capital support agreement, meet the


50		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011

more likely than not criteria. SEI Investment Company (“SEI”), which is the parent company of the Adviser, has agreed to indemnify the fund if the Internal Revenue Service (“IRS”) were to disagree with a position taken on the tax return for the year ended January 31, 2010. Accordingly, no provision for taxes is required. The Fund’s federal income and excise tax returns are subject to examination by the IRS for all open tax years under the applicable Statute of Limitations.

7. INVESTMENT RISKS

In the normal course of business, a Fund may enter into contracts that provide general indemnifications by a Fund to the counterparty to the contract. A Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against a Fund and, therefore, cannot be established; however, based on experience, management believes the risk of loss from such claim is considered remote.

Investments in structured securities (such as those issued by Structured Investment Vehicles, or “SIVs”) which are collateralized by residential real estate mortgages are subject to certain credit and liquidity risks. When market conditions result in an increase in default rates of the underlying mortgages and the foreclosure values of underlying real estate properties are materially below the outstanding amount of these underlying mortgages, collection of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value of these investments resulting in a lack of correlation between their credit ratings and values.

8. NEW ACCOUNTING PRONOUNCEMENTS

In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective Control of Repurchase Agreements”. ASU 2011-03 is an amendment to Topic 860 “Transfers and Servicing”. These amendments simplify the accounting for repurchase agreements by eliminating the requirement that the transferor demonstrate it has adequate collateral to fund substantially all the cost of purchasing replacement assets. As a result, more arrangements could be accounted for as secured borrowings rather than sales. The guidance applies to public and nonpublic companies and is effective for interim and annual reporting periods beginning on or after December 15, 2011. The guidance should be applied prospectively to transactions or modifications of existing transactions that occur on or after the effective date. Early adoption is not allowed. At this time, management is evaluating the implications of ASU 2011-03 and its impact on the financial statements.

In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the

following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.

9. SUBSEQUENT EVENTS

The Trust, on behalf of the Funds, has evaluated the need for disclosures and/or adjustments resulting from subsequent events. Based on this evaluation, no adjustments were required to the financial statements.


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			51

Disclosure of Fund Expenses (Unaudited)

All mutual funds have operating expenses. As a shareholder of a mutual fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.

Operating expenses such as these are deducted from the mutual fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the mutual fund’s average net assets; this percentage is known as the mutual fund’s expense ratio.

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The table on the next page illustrates your Fund’s costs in two ways:

• Actual Fund Return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

You can use this information, together with the actual amount you invested in your Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

• Hypothetical 5% Return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that your Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expense Paid During Period” column with those that appear in the same charts in the shareholder reports for other mutual funds.

NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.


52		SEI Daily Income Trust / Semi-Annual Report / July 31, 2011


	Beginning Account Value 2/1/11		Ending Account Value 7/31/11		Annualized Expense Ratios			Expenses Paid During Period*
Money Market Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.40		0.18	%	$	0.89
Class B		1,000.00		1,000.00		0.24			1.19
Class C		1,000.00		1,000.00		0.24			1.19
Sweep Class		1,000.00		1,000.00		0.24			1.19
Hypothetical 5% Return
Class A	$	1,000.00	$	1,023.90		0.18	%	$	0.90
Class B		1,000.00		1,023.60		0.24			1.20
Class C		1,000.00		1,023.60		0.24			1.20
Sweep Class		1,000.00		1,023.60		0.24			1.20
Government Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.20		0.11	%	$	0.55
Class B		1,000.00		1,000.20		0.10			0.50
Class C		1,000.00		1,000.20		0.10			0.50
Sweep Class		1,000.00		1,000.20		0.10			0.50
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.25		0.11	%	$	0.55
Class B		1,000.00		1,024.30		0.10			0.50
Class C		1,000.00		1,024.30		0.10			0.50
Sweep Class		1,000.00		1,024.30		0.10			0.50
Government II Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.10		0.12	%	$	0.60
Class B		1,000.00		1,000.00		0.12			0.60
Class C		1,000.00		1,000.00		0.12			0.60
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.20		0.12	%	$	0.60
Class B		1,000.00		1,024.20		0.12			0.60
Class C		1,000.00		1,024.20		0.12			0.60
Prime Obligation Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.30		0.20	%	$	0.99
Class B		1,000.00		1,000.00		0.25			1.24
Class C		1,000.00		1,000.00		0.25			1.24
Class H		1,000.00		1,000.00		0.25			1.24
Sweep Class		1,000.00		1,000.00		0.25			1.24
Hypothetical 5% Return
Class A	$	1,000.00	$	1,023.80		0.20	%	$	1.00
Class B		1,000.00		1,023.55		0.25			1.25
Class C		1,000.00		1,023.55		0.25			1.25
Class H		1,000.00		1,023.55		0.25			1.25
Sweep Class		1,000.00		1,023.55		0.25			1.25
Treasury Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.10		0.11	%	$	0.55
Class B		1,000.00		1,000.00		0.11			0.55
Class C		1,000.00		1,000.00		0.11			0.55
Sweep Class		1,000.00		1,000.00		0.11			0.55
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.25		0.11	%	$	0.55
Class B		1,000.00		1,024.25		0.11			0.55
Class C		1,000.00		1,024.25		0.11			0.55
Sweep Class		1,000.00		1,024.25		0.11			0.55
Treasury II Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.00		0.08	%	$	0.40
Class B		1,000.00		1,000.00		0.08			0.40
Class C		1,000.00		1,000.00		0.08			0.40
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.40		0.08	%	$	0.40
Class B		1,000.00		1,024.40		0.08			0.40
Class C		1,000.00		1,024.40		0.08			0.40
Short-Duration Government Fund
Actual Fund Return
Class A	$	1,000.00	$	1,015.20		0.48	%	$	2.40
Hypothetical 5% Return
Class A	$	1,000.00	$	1,022.41		0.48	%	$	2.41


	Beginning Account Value 2/1/11		Ending Account Value 7/31/11		Annualized Expense Ratios			Expenses Paid During Period*
Intermediate-Duration Government Fund
Actual Fund Return
Class A	$	1,000.00	$	1,041.20		0.53	%	$	2.68
Hypothetical 5% Return
Class A	$	1,000.00	$	1,022.17		0.53	%	$	2.66
GNMA Fund
Actual Fund Return
Class A	$	1,000.00	$	1,049.70		0.63	%	$	3.20
Hypothetical 5% Return
Class A	$	1,000.00	$	1,021.67		0.63	%	$	3.16
Ultra Short Duration Bond Fund
Actual Fund Return
Class A	$	1,000.00	$	1,005.50		0.38	%	$	1.89
Hypothetical 5% Return
Class A	$	1,000.00	$	1,022.91		0.38	%	$	1.91

*	Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365.


SEI Daily Income Trust / Semi-Annual Report / July 31, 2011			53

SEI DAILY INCOME TRUST SEMI–ANNUAL REPORT JULY 31, 2011

Robert A. Nesher, Chairman

Trustees

William M. Doran

George J. Sullivan, Jr.

Rosemarie B. Greco

Nina Lesavoy

James M. Williams

Mitchell A. Johnson

Hubert L. Harris, Jr.

Officers

Robert A. Nesher

President and Chief Executive Officer

Peter A. Rodriguez

Controller and Chief Financial Officer

Russell Emery

Chief Compliance Officer

Timothy D. Barto

Vice President, Secretary

David McCann

Vice President, Assistant Secretary

James Ndiaye

Vice President, Assistant Secretary

Aaron Buser

Vice President, Assistant Secretary

John J. McCue

Vice President

Kari E. Rohn

Anti-Money Laundering Compliance Officer

Privacy Officer

Investment Adviser

SEI Investments Management Corporation

Administrator

SEI Investments Global Funds Services

Distributor

SEI Investments Distribution Co.

Legal Counsel

Morgan, Lewis & Bockius LLP

Independent Registered Public Accounting Firm

KPMG 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 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.

For more information call

1 800 DIAL SEI

(1 800 342 5734)

LOGO

SEI Investments Distribution Co.

Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)

SEI-F-037 (7/11)

Item 2.

Code of Ethics.

Not applicable for semi-annual report.

Item 3.

Audit Committee Financial Expert.

Not applicable for semi-annual report.

Item 4.

Principal Accountant Fees and Services.

Not applicable for semi-annual report.

Item 5.

Audit Committee of Listed Registrants.

Not applicable.

Item 6.

Schedule of Investments.

Not applicable.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9.

Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.

Not applicable.

Item 10.

Submission of Matters to a Vote of Security Holders.

The Registrant has a standing Nominating Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18^th 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

Item 11.

Controls and Procedures.

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this

report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.

Items 12.

Exhibits.

(a)(1) Not applicable for semi-annual report.

(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.

(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Date: October 4, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

Date: October 4, 2011

Date: October 4, 2011

(Registrant)

SEI Daily Income Trust

/s/ Robert A. Nesher

Robert A. Nesher, President & CEO