Table of Contents
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, 2014
Date of reporting period: July 31, 2013
Table of Contents
Item 1. Reports to Stockholders.
Table of Contents
July 31, 2013
SEMI-ANNUAL REPORT
SEI Daily Income Trust
† Money Market Fund
† Government Fund
† Government II Fund
† Prime Obligation Fund
† Treasury Fund
† Treasury II Fund
† Ultra Short Duration Bond Fund
† Short-Duration Government Fund
† Intermediate-Duration Government Fund
† GNMA Fund
Table of Contents
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40 | ||||
42 | ||||
44 | ||||
48 | ||||
52 | ||||
61 |
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.
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Money Market Fund
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
COMMERCIAL PAPER (B) (C) — 42.2% |
| |||||||
ASB Finance |
| |||||||
0.230%, 08/28/13 | $ | 5,000 | $ | 4,999 | ||||
0.240%, 09/12/13 | 2,300 | 2,299 | ||||||
0.200%, 09/16/13 | 5,295 | 5,294 | ||||||
0.260%, 10/03/13 | 1,512 | 1,511 | ||||||
BNZ International Funding | ||||||||
0.260%, 08/08/13 | 2,270 | 2,270 | ||||||
0.240%, 10/17/13 | 2,300 | 2,299 | ||||||
0.230%, 12/13/13 | 11,000 | 10,991 | ||||||
Chariot Funding LLC | ||||||||
0.270%, 09/05/13 to 10/09/13 | 8,010 | 8,008 | ||||||
0.250%, 10/30/13 | 4,000 | 3,997 | ||||||
0.240%, 12/12/13 to 01/22/14 | 3,527 | 3,523 | ||||||
Coca-Cola | ||||||||
0.180%, 11/04/13 | 2,000 | 1,999 | ||||||
FCAR Owner Trust | ||||||||
0.270%, 08/01/13 | 910 | 910 | ||||||
0.250%, 08/06/13 | 371 | 371 | ||||||
0.301%, 08/09/13 | 1,035 | 1,035 | ||||||
0.280%, 09/09/13 | 134 | 134 | ||||||
0.280%, 10/04/13 to 11/04/13 | 2,283 | 2,282 | ||||||
0.290%, 11/15/13 | 4,310 | 4,306 | ||||||
0.280%, 12/11/13 | 651 | 650 | ||||||
0.260%, 12/16/13 | 1,515 | 1,513 | ||||||
0.170%, 10/01/13 | 2,765 | 2,764 | ||||||
Gotham Funding | ||||||||
0.190%, 08/05/13 | 5,540 | 5,540 | ||||||
Jupiter Securitization LLC | ||||||||
0.270%, 08/21/13 to 09/09/13 | 3,240 | 3,239 | ||||||
0.240%, 12/09/13 to 01/13/14 | 6,533 | 6,526 | ||||||
0.240%, 12/10/13 | 4,142 | 4,138 | ||||||
Manhattan Asset Funding LLC | ||||||||
0.200%, 08/06/13 to 08/12/13 | 2,815 | 2,815 | ||||||
0.210%, 08/09/13 | 905 | 905 | ||||||
MetLife Short-Term Funding LLC | ||||||||
0.190%, 09/23/13 | 1,040 | 1,040 | ||||||
Nestle Finance International | ||||||||
0.180%, 08/05/13 | 3,750 | 3,750 | ||||||
0.160%, 08/14/13 | 1,995 | 1,995 | ||||||
0.190%, 09/04/13 | 2,000 | 2,000 | ||||||
Old Line Funding LLC | ||||||||
0.210%, 08/14/13 | 1,695 | 1,695 | ||||||
0.200%, 09/17/13 | 2,000 | 1,999 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
0.230%, 10/15/13 | $ | 5,145 | $ | 5,143 | ||||
0.240%, 01/07/14 to 01/21/14 | 7,626 | 7,617 | ||||||
Procter & Gamble | ||||||||
0.160%, 08/01/13 | 4,570 | 4,570 | ||||||
Thunder Bay Funding LLC | ||||||||
0.210%, 08/14/13 | 2,965 | 2,965 | ||||||
0.220%, 08/15/13 | 4,520 | 4,520 | ||||||
0.240%, 11/01/13 | 5,000 | 4,997 | ||||||
Toyota Credit Canada | ||||||||
0.210%, 08/15/13 | 5,000 | 5,000 | ||||||
0.210%, 12/10/13 | 6,165 | 6,160 | ||||||
Toyota Motor Credit | ||||||||
0.200%, 12/10/13 | 1,635 | 1,634 | ||||||
0.220%, 01/13/14 | 2,000 | 1,998 | ||||||
Westpac Securities | ||||||||
0.250%, 08/19/13 | 15,000 | 14,998 | ||||||
|
| |||||||
Total Commercial Paper |
| 156,399 | ||||||
|
| |||||||
CERTIFICATES OF DEPOSIT — 17.4% |
| |||||||
Bank of Nova Scotia | ||||||||
0.474%, 09/12/13 | 795 | 795 | ||||||
0.230%, 10/10/13 | 7,200 | 7,200 | ||||||
Commonwealth Bank of Australia | ||||||||
0.304%, 10/04/13 | 5,000 | 5,001 | ||||||
DNB Bank | ||||||||
0.180%, 08/30/13 | 5,000 | 5,000 | ||||||
0.210%, 11/12/13 | 1,000 | 1,000 | ||||||
0.215%, 11/14/13 | 6,800 | 6,800 | ||||||
Skandinaviska Enskilda Banken NY | ||||||||
0.200%, 09/12/13 | 6,100 | 6,100 | ||||||
Sumitomo Mitsui Banking | ||||||||
0.230%, 08/14/13 | 5,300 | 5,300 | ||||||
0.230%, 09/12/13 | 800 | 800 | ||||||
0.240%, 09/18/13 | 1,300 | 1,300 | ||||||
0.220%, 10/07/13 | 2,300 | 2,300 | ||||||
0.220%, 10/17/13 | 3,300 | 3,300 | ||||||
0.600%, 10/22/13 | 353 | 353 | ||||||
Svenska Handelsbanken NY | ||||||||
0.190%, 08/22/13 | 5,375 | 5,375 | ||||||
0.185%, 09/13/13 | 5,000 | 5,000 | ||||||
0.210%, 09/20/13 | 1,735 | 1,735 | ||||||
Toronto-Dominion Bank | ||||||||
0.230%, 11/12/13 | 7,000 | 7,000 | ||||||
|
| |||||||
Total Certificates of Deposit | 64,359 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 5.1% |
| |||||||
FFCB (A) | ||||||||
0.250%, 08/01/13 | 2,090 | 2,090 | ||||||
0.185%, 10/23/13 | 1,000 | 1,000 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 1 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Money Market Fund (Continued)
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
FFCB, Ser 1 (A) | ||||||||
0.230%, 08/01/13 | $ | 350 | $ | 350 | ||||
0.171%, 08/14/13 | 4,095 | 4,094 | ||||||
FHLB | ||||||||
0.190%, 08/01/13 (A) | 2,800 | 2,800 | ||||||
0.180%, 08/01/13 (A) | 975 | 975 | ||||||
0.300%, 11/22/13 to 12/06/13 | 935 | 935 | ||||||
4.875%, 11/27/13 | 480 | 487 | ||||||
FHLMC (A) | ||||||||
0.390%, 08/01/13 | 2,780 | 2,780 | ||||||
FHLMC MTN | ||||||||
0.375%, 11/27/13 | 308 | 308 | ||||||
FNMA (A) | ||||||||
0.330%, 08/01/13 | 895 | 895 | ||||||
0.320%, 08/01/13 | 500 | 500 | ||||||
0.202%, 08/20/13 | 30 | 30 | ||||||
0.172%, 08/20/13 | 1,480 | 1,480 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 18,724 | ||||||
|
| |||||||
MUNICIPAL BONDS (A) — 3.3% | ||||||||
Arizona — 0.2% | ||||||||
Pima County, Industrial Development Authority, RB | ||||||||
0.050%, 08/07/13 | 600 | 600 | ||||||
|
| |||||||
California — 0.5% | ||||||||
California State, Wide Communities Development Authority, RB | ||||||||
0.030%, 08/01/13 | 905 | 905 | ||||||
Calleguas-Las Virgenes, Public Financing Authority, Ser A, RB | ||||||||
0.040%, 08/01/13 | 225 | 225 | ||||||
Sacramento, Municipal Utility District, Sub-Ser L, RB | ||||||||
0.040%, 08/01/13 | 585 | 585 | ||||||
|
| |||||||
1,715 | ||||||||
|
| |||||||
Indiana — 0.2% | ||||||||
Indiana, Finance Authority, Ser F, RB | ||||||||
0.050%, 08/01/13 | 655 | 655 | ||||||
|
| |||||||
Iowa — 0.3% | ||||||||
Iowa State, Finance Authority, Ser C, RB | ||||||||
0.118%, 08/01/13 | 1,045 | 1,045 | ||||||
Iowa State, Finance Authority, Ser G, RB | ||||||||
0.120%, 08/01/13 | 45 | 45 | ||||||
|
| |||||||
1,090 | ||||||||
|
| |||||||
Massachusetts — 0.1% | ||||||||
Simmons College, RB | ||||||||
0.160%, 08/01/13 | 220 | 220 | ||||||
|
|
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Michigan — 0.3% | ||||||||
Kent, Hospital Finance Authority, | ||||||||
0.060%, 08/07/13 | $ | 1,165 | $ | 1,165 | ||||
|
| |||||||
Minnesota — 0.2% | ||||||||
Minnesota, Office of Higher Education, Ser A, RB | ||||||||
0.178%, 08/01/13 | 700 | 700 | ||||||
|
| |||||||
Missouri — 0.1% | ||||||||
St. Louis, Industrial Development Authority, Ser B, RB | ||||||||
0.060%, 08/07/13 | 260 | 260 | ||||||
|
| |||||||
New Hampshire — 0.0% | ||||||||
New Hampshire State, Health & Educational Facilities Authority, | ||||||||
0.100%, 08/07/13 | 190 | 190 | ||||||
|
| |||||||
New York — 0.1% | ||||||||
City of New York, Sub-Ser D-3, GO | ||||||||
0.040%, 08/01/13 | 485 | 485 | ||||||
|
| |||||||
Ohio — 0.2% | ||||||||
Cleveland, Department of Public Utilities Division of Water, Ser Q, RB | ||||||||
0.050%, 08/01/13 | 670 | 670 | ||||||
|
| |||||||
Texas — 0.9% | ||||||||
Texas State, GO | ||||||||
0.118%, 08/06/13 | 95 | 95 | ||||||
0.110%, 08/06/13 | 345 | 345 | ||||||
0.120%, 08/07/13 | 340 | 340 | ||||||
Texas State, Ser A, GO | ||||||||
0.110%, 08/06/13 | 475 | 475 | ||||||
Texas State, Ser A-2, GO | ||||||||
0.109%, 08/07/13 | 1,000 | 1,000 | ||||||
Texas State, Ser B, GO | ||||||||
0.120%, 08/01/13 | 375 | 375 | ||||||
Texas State, Ser B2, GO | ||||||||
0.118%, 08/07/13 | 100 | 100 | ||||||
Texas State, Ser I, GO | ||||||||
0.118%, 08/07/13 | 195 | 195 | ||||||
University of Texas System, Ser B, RB | ||||||||
0.050%, 08/01/13 | 540 | 540 | ||||||
|
| |||||||
3,465 | ||||||||
|
| |||||||
Wisconsin — 0.2% | ||||||||
Wisconsin State, Health & Educational Facilities Authority, RB | ||||||||
0.040%, 08/07/13 | 800 | 800 |
2 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Wisconsin State, Health & Educational Facilities Authority, Ser B, RB | ||||||||
0.040%, 08/07/13 | $ | 170 | $ | 170 | ||||
|
| |||||||
970 | ||||||||
|
| |||||||
Total Municipal Bonds | 12,185 | |||||||
|
| |||||||
TIME DEPOSIT — 3.1% |
| |||||||
Citibank | ||||||||
0.090%, 08/01/13 | 11,504 | 11,504 | ||||||
|
| |||||||
Total Time Deposit | 11,504 | |||||||
|
| |||||||
CORPORATE OBLIGATIONS — 0.7% |
| |||||||
Bank of Nova Scotia | ||||||||
2.375%, 12/17/13 | 720 | 726 | ||||||
General Electric Capital MTN | ||||||||
1.875%, 09/16/13 | 64 | 64 | ||||||
HSBC Bank PLC | ||||||||
1.625%, 08/12/13 (D) | 1,629 | 1,630 | ||||||
Toyota Motor Credit MTN | ||||||||
1.375%, 08/12/13 | 119 | 119 | ||||||
Westpac Banking | ||||||||
2.100%, 08/02/13 | 90 | 90 | ||||||
|
| |||||||
Total Corporate Obligations | 2,629 | |||||||
|
| |||||||
REPURCHASE AGREEMENTS (E) — 28.0% |
| |||||||
Goldman Sachs | 7,807 | 7,807 | ||||||
Goldman Sachs | 15,000 | 15,000 | ||||||
Goldman Sachs | 43,000 | 43,000 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
JPMorgan Chase | $ | 15,000 | $ | 15,000 | ||||
Mizuho | 5,000 | 5,000 | ||||||
RBC Capital | 1,560 | 1,560 | ||||||
RBC Capital | 3,115 | 3,115 | ||||||
RBC Capital | 4,635 | 4,635 | ||||||
Wells Fargo | 5,792 | 5,792 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 3 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Money Market Fund (Concluded)
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Wells Fargo | $ | 2,860 | $ | 2,860 | ||||
|
| |||||||
Total Repurchase Agreements | 103,769 | |||||||
|
| |||||||
Total Investments — 99.8% | $ | 369,569 | ||||||
|
|
* A summary of the corporate obligations used to collateralize repurchase agreements entered into by the Fund at July 31, 2013, is as follows:
Counterparty | Corporate Obligation | Rate | Maturity Date | Par Amount ($ Thousands) | ||||||||
RBC Capital | Goldman Sachs | 3.150% | 02/16/16 | $ | 1,337 | |||||||
Hewlett Packard | 4.650 | 12/09/21 | 1,854 | |||||||||
Petronas Capital Limited | 5.250 | 08/12/19 | 1,399 | |||||||||
Wells Fargo | AGL Capital Corp. | 3.500 | 09/15/21 | 16 | ||||||||
American Express Credit | 2.750 | 09/15/15 | 149 | |||||||||
AT&T | 2.500 | 08/15/15 | 2,801 | |||||||||
Buckeye Partner | 5.500 | 08/15/19 | 5 | |||||||||
Burlington Northern Santa Fe | 3.000 | 03/15/23 | 1,037 | |||||||||
Commonwealth Edison | 5.800 | 03/15/18 | 198 | |||||||||
CSX Corp. | 6.250 | 04/01/15 | 816 | |||||||||
Enterprise Products Operating | 6.300 | 09/15/17 | 121 | |||||||||
Enterprise Products Operating | 3.350 | 03/15/23 | 166 | |||||||||
ING U.S. | 5.500 | 07/15/22 | 536 | |||||||||
Kansas City Power & Light | 3.150 | 03/15/23 | 81 | |||||||||
Lorillard Tobacco Company | 8.125 | 06/23/19 | 109 | |||||||||
Plains All American Pipeline | 3.650 | 06/01/22 | — | |||||||||
Prudential Financial Inc. | 5.375 | 06/22/20 | 264 | |||||||||
Senior Housing Property Trust | 6.750 | 12/15/21 | 2,215 |
Percentages are based on Net Assets of $370,214 ($ Thousands).
(A) | Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2013. The demand and interest rate reset features give this security a shorter effective maturity date. |
(B) | The rate reported is the effective yield at time of purchase. |
(C) | Securities are held in connection with a letter of credit issued by a major bank. |
(D) | 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. |
(E) | Tri-Party Repurchase Agreement. |
FFCB — Federal Farm Credit Bank
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
LLC — Limited Liability Company
MTN — Medium Term Note
NY — New York
RB — Revenue Bond
Ser — Series
As of July 31, 2013, all of the Fund’s investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the period ended July 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities. For the period ended July 31, 2013, there were no Level 3 securities.
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.
4 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Government Fund
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 46.0% |
| |||||||
FFCB | ||||||||
0.290%, 08/01/13 (A) | $ | 6,000 | $ | 6,000 | ||||
0.250%, 08/01/13 (A) | 4,834 | 4,834 | ||||||
0.230%, 08/01/13 (A) | 1,955 | 1,957 | ||||||
0.220%, 08/01/13 (A) | 7,689 | 7,688 | ||||||
0.176%, 08/03/13 (A) | 4,000 | 3,999 | ||||||
0.162%, 08/12/13 (A) | 14,875 | 14,871 | ||||||
0.232%, 08/17/13 (A) | 3,315 | 3,318 | ||||||
0.211%, 08/23/13 (A) | 2,580 | 2,581 | ||||||
0.196%, 08/27/13 (A) | 260 | 260 | ||||||
0.126%, 08/27/13 (A) | 12,000 | 12,000 | ||||||
0.330%, 09/30/13 | 2,160 | 2,161 | ||||||
3.875%, 10/07/13 | 3,287 | 3,309 | ||||||
0.185%, 10/23/13 (A) | 19,000 | 18,999 | ||||||
0.700%, 11/04/13 | 155 | 155 | ||||||
0.400%, 11/08/13 | 345 | 345 | ||||||
0.300%, 11/18/13 | 1,090 | 1,090 | ||||||
0.200%, 11/20/13 to 12/03/13 | 2,802 | 2,802 | ||||||
0.190%, 12/13/13 | 5,170 | 5,170 | ||||||
0.150%, 01/17/14 to 02/05/14 | 6,980 | 6,980 | ||||||
1.125%, 02/27/14 | 736 | 740 | ||||||
2.125%, 03/05/14 | 1,528 | 1,546 | ||||||
FFCB, Ser 1 | ||||||||
0.230%, 08/01/13 (A) | 1,185 | 1,185 | ||||||
0.171%, 08/14/13 (A) | 15,250 | 15,247 | ||||||
FHLB | ||||||||
0.330%, 08/01/13 to 01/03/14 (A) | 1,720 | 1,721 | ||||||
0.230%, 08/01/13 (A) | 325 | 325 | ||||||
0.190%, 08/01/13 (A) | 7,000 | 7,000 | ||||||
0.180%, 08/01/13 to 03/11/14 (A) | 33,235 | 33,234 | ||||||
0.280%, 08/13/13 to 11/21/13 | 19,350 | 19,355 | ||||||
5.125%, 08/14/13 | 1,050 | 1,052 | ||||||
4.000%, 09/06/13 | 3,065 | �� | 3,077 | |||||
0.250%, 09/06/13 | 5,000 | 5,000 | ||||||
5.250%, 09/13/13 | 115 | 116 | ||||||
1.000%, 09/13/13 to 10/30/13 | 1,755 | 1,757 | ||||||
4.500%, 09/16/13 | 1,125 | 1,131 | ||||||
4.110%, 09/27/13 | 1,660 | 1,670 | ||||||
0.200%, 10/04/13 | 750 | 750 | ||||||
0.150%, 10/04/13 | 3,880 | 3,880 | ||||||
3.625%, 10/18/13 | 17,335 | 17,463 | ||||||
0.300%, 10/18/13 to 12/06/13 | 12,190 | 12,195 | ||||||
2.000%, 10/25/13 to 10/30/13 | 915 | 919 | ||||||
0.110%, 10/25/13 to 03/03/14 | 19,985 | 19,984 | ||||||
0.290%, 11/08/13 to 12/06/13 | 7,365 | 7,368 | ||||||
0.375%, 11/27/13 to 01/29/14 | 14,530 | 14,546 | ||||||
0.090%, 11/29/13 | 7,330 | 7,330 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
0.310%, 12/06/13 | $ | 6,340 | $ | 6,343 | ||||
0.320%, 12/11/13 | 140 | 140 | ||||||
3.125%, 12/13/13 | 8,065 | 8,153 | ||||||
0.500%, 12/13/13 | 14,105 | 14,122 | ||||||
0.340%, 12/18/13 | 17,000 | 17,014 | ||||||
0.100%, 01/06/14 | 9,000 | 8,999 | ||||||
0.120%, 02/20/14 | 7,515 | 7,514 | ||||||
2.375%, 03/14/14 | 3,090 | 3,132 | ||||||
0.125%, 03/21/14 to 03/24/14 | 23,285 | 23,282 | ||||||
2.650%, 04/23/14 | 160 | 163 | ||||||
FHLB, Ser 1 | ||||||||
0.170%, 08/01/13 (A) | 1,350 | 1,350 | ||||||
0.500%, 08/28/13 | 1,215 | 1,215 | ||||||
FHLMC | ||||||||
0.390%, 08/01/13 (A) | 2,001 | 2,002 | ||||||
4.125%, 09/27/13 | 25,787 | 25,947 | ||||||
0.500%, 10/15/13 | 12,945 | 12,954 | ||||||
0.375%, 10/15/13 to 10/30/13 | 16,805 | 16,812 | ||||||
0.875%, 10/28/13 | 2,252 | 2,256 | ||||||
4.875%, 11/15/13 | 26,898 | 27,266 | ||||||
2.500%, 01/07/14 | 11,191 | 11,305 | ||||||
0.450%, 01/09/14 | 8,792 | 8,803 | ||||||
4.500%, 01/15/14 | 42,229 | 43,066 | ||||||
1.375%, 02/25/14 | 43,917 | 44,222 | ||||||
0.300%, 03/21/14 | 2,350 | 2,352 | ||||||
FHLMC MTN | ||||||||
0.375%, 11/27/13 | 5,023 | 5,026 | ||||||
5.000%, 01/30/14 | 8,261 | 8,460 | ||||||
2.175%, 02/19/14 | 875 | 885 | ||||||
FNMA | ||||||||
0.330%, 08/01/13 (A) | 5,000 | 5,000 | ||||||
0.320%, 08/01/13 (A) | 1,700 | 1,700 | ||||||
0.165%, 08/08/13 (A) | 19,543 | 19,541 | ||||||
0.500%, 08/09/13 | 6,823 | 6,824 | ||||||
1.250%, 08/20/13 | 7,257 | 7,261 | ||||||
0.202%, 08/20/13 (A) | 1,426 | 1,426 | ||||||
0.172%, 08/20/13 (A) | 7,830 | 7,829 | ||||||
0.156%, 08/27/13 (A) | 25,000 | 24,990 | ||||||
1.125%, 09/17/13 to 09/30/13 | 11,968 | 11,987 | ||||||
1.000%, 09/23/13 | 7,538 | 7,548 | ||||||
1.125%, 10/08/13 | 1,740 | 1,743 | ||||||
4.625%, 10/15/13 | 4,863 | 4,907 | ||||||
1.050%, 10/22/13 | 810 | 812 | ||||||
2.875%, 12/11/13 | 17,775 | 17,949 | ||||||
0.750%, 12/18/13 | 9,629 | 9,651 | ||||||
2.750%, 02/05/14 | 733 | 743 | ||||||
1.250%, 02/27/14 | 27,554 | 27,728 | ||||||
2.750%, 03/13/14 | 5,795 | 5,888 | ||||||
Tennessee Valley Authority | ||||||||
4.750%, 08/01/13 | 1,220 | 1,220 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations | 744,640 | |||||||
|
|
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 5 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Government Fund (Concluded)
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
REPURCHASE AGREEMENTS (B) — 53.9% |
| |||||||
Bank of Montreal | $ | 100,000 | $ | 100,000 | ||||
Bank of Nova Scotia | 15,000 | 15,000 | ||||||
Bank of Nova Scotia | 15,000 | 15,000 | ||||||
Bank of Nova Scotia | 15,000 | 15,000 | ||||||
Bank of Nova Scotia | 165,000 | 165,000 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Bank of Nova Scotia | $ | 50,000 | $ | 50,000 | ||||
Barclays Capital | 20,000 | 20,000 | ||||||
Goldman Sachs | 242,193 | 242,193 | ||||||
JPMorgan Chase | 200,000 | 200,000 | ||||||
RBC Capital | 50,000 | 50,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 872,193 | |||||||
|
| |||||||
Total Investments — 99.9% | $ | 1,616,833 | ||||||
|
|
Percentages are based on Net Assets of $1,618,876 ($ Thousands).
(A) | Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2013. The demand and interest rate reset features give this security a shorter effective maturity date. |
(B) | Tri-Party Repurchase Agreement |
(C) | Security considered illiquid. The total value of such securities as of July 31, 2013 was $30,000 ($ Thousands) and represented 1.9% of Net Assets. |
6 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
FCSB | — Federal Farm Credit Banks Consolidated Systemwide Bonds |
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 |
As of July 31, 2013, all of the Fund’s investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the period ended July 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities. For the period ended July 31, 2013, there were no Level 3 securities.
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, 2013 | 7 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Government II Fund
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 83.6% |
| |||||||
FFCB | ||||||||
0.290%, 08/01/13 (A) | $ | 20,500 | $ | 20,500 | ||||
0.250%, 08/01/13 to | 5,488 | 5,488 | ||||||
0.230%, 08/01/13 (A) | 1,570 | 1,572 | ||||||
0.220%, 08/01/13 (A) | 6,926 | 6,925 | ||||||
0.165%, 08/01/13 (A) | 7,000 | 7,000 | ||||||
0.176%, 08/03/13 (A) | 5,000 | 4,999 | ||||||
0.162%, 08/12/13 (A) | 14,835 | 14,831 | ||||||
0.232%, 08/17/13 (A) | 2,605 | 2,607 | ||||||
0.182%, 08/19/13 (A) | 1,100 | 1,100 | ||||||
0.211%, 08/23/13 (A) | 2,089 | 2,090 | ||||||
0.196%, 08/27/13 (A) | 209 | 209 | ||||||
0.126%, 08/27/13 (A) | 14,000 | 14,000 | ||||||
0.980%, 09/23/13 | 505 | 506 | ||||||
3.875%, 10/07/13 | 3,875 | 3,901 | ||||||
0.650%, 10/15/13 | 290 | 290 | ||||||
0.185%, 10/23/13 (A) | 1,000 | 1,000 | ||||||
0.700%, 11/04/13 | 145 | 145 | ||||||
0.400%, 11/08/13 | 318 | 318 | ||||||
0.920%, 11/26/13 | 1,361 | 1,364 | ||||||
0.230%, 12/04/13 | 995 | 995 | ||||||
0.190%, 12/13/13 | 4,830 | 4,830 | ||||||
1.300%, 12/23/13 | 428 | 430 | ||||||
0.350%, 01/23/14 | 865 | 866 | ||||||
0.150%, 02/05/14 | 2,065 | 2,065 | ||||||
3.000%, 02/12/14 | 220 | 223 | ||||||
1.125%, 02/27/14 | 3,897 | 3,919 | ||||||
0.260%, 03/04/14 | 780 | 781 | ||||||
2.125%, 03/05/14 | 1,270 | 1,285 | ||||||
FFCB DN (B) | ||||||||
0.060%, 08/01/13 | 5,804 | 5,804 | ||||||
0.048%, 08/02/13 | 5,884 | 5,884 | ||||||
0.050%, 08/08/13 to 08/23/13 | 9,362 | 9,362 | ||||||
0.040%, 08/09/13 to 08/27/13 | 27,361 | 27,361 | ||||||
0.030%, 08/14/13 to 09/24/13 | 44,520 | 44,519 | ||||||
0.070%, 08/15/13 | 4,146 | 4,146 | ||||||
FFCB, Ser 1 (A) | ||||||||
0.230%, 08/01/13 | 1,095 | 1,095 | ||||||
0.171%, 08/14/13 | 16,340 | 16,337 | ||||||
FHLB | ||||||||
0.230%, 08/01/13 (A) | 260 | 260 | ||||||
0.190%, 08/01/13 (A) | 4,500 | 4,500 | ||||||
0.180%, 08/01/13 to | 29,495 | 29,494 | ||||||
0.110%, 08/01/13 to 03/03/14 | 33,815 | 33,812 | ||||||
0.240%, 08/09/13 | 2,100 | 2,100 | ||||||
5.125%, 08/14/13 | 100 | 100 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
0.270%, 08/16/13 to 09/12/13 | $ | 13,940 | $ | 13,941 | ||||
0.140%, 08/28/13 | 12,245 | 12,246 | ||||||
4.000%, 09/06/13 | 1,260 | 1,265 | ||||||
0.250%, 09/06/13 to 02/18/14 | 5,165 | 5,165 | ||||||
5.250%, 09/13/13 | 120 | 121 | ||||||
1.000%, 09/13/13 | 805 | 806 | ||||||
4.500%, 09/16/13 | 2,250 | 2,262 | ||||||
0.280%, 09/16/13 to 11/21/13 | 38,190 | 38,201 | ||||||
4.110%, 09/27/13 | 1,820 | 1,831 | ||||||
0.150%, 09/27/13 to 10/04/13 | 14,160 | 14,160 | ||||||
0.200%, 10/04/13 | 730 | 730 | ||||||
3.625%, 10/18/13 | 18,960 | 19,100 | ||||||
0.375%, 10/18/13 to 01/29/14 | 20,115 | 20,129 | ||||||
0.300%, 10/18/13 to 12/04/13 | 14,070 | 14,076 | ||||||
0.100%, 10/30/13 to 01/06/14 | 34,495 | 34,494 | ||||||
0.290%, 11/08/13 to 12/06/13 | 1,810 | 1,810 | ||||||
0.125%, 11/08/13 to 03/21/14 | 26,620 | 26,617 | ||||||
0.090%, 11/29/13 | 14,095 | 14,094 | ||||||
0.310%, 12/05/13 | 8,055 | 8,059 | ||||||
0.320%, 12/11/13 | 115 | 115 | ||||||
4.875%, 12/13/13 | 2,290 | 2,329 | ||||||
3.125%, 12/13/13 | 7,090 | 7,167 | ||||||
0.500%, 12/13/13 | 11,905 | 11,920 | ||||||
0.340%, 12/18/13 | 8,000 | 8,007 | ||||||
0.330%, 01/03/14 | 6,555 | 6,560 | ||||||
0.120%, 02/20/14 | 15,745 | 15,743 | ||||||
0.170%, 02/26/14 | 1,105 | 1,105 | ||||||
2.375%, 03/14/14 | 3,475 | 3,522 | ||||||
2.650%, 04/23/14 | 135 | 137 | ||||||
FHLB DN (B) | ||||||||
0.048%, 08/02/13 | 103,030 | 103,030 | ||||||
0.040%, 08/07/13 to 10/02/13 | 33,351 | 33,350 | ||||||
0.035%, 08/09/13 | 32,652 | 32,652 | ||||||
0.027%, 08/14/13 | 25,937 | 25,937 | ||||||
0.071%, 08/16/13 | 87,695 | 87,692 | ||||||
0.047%, 08/28/13 | 95,442 | 95,439 | ||||||
0.070%, 09/06/13 | 8,560 | 8,559 | ||||||
0.088%, 09/18/13 | 41,800 | 41,795 | ||||||
0.080%, 10/04/13 | 16,620 | 16,618 | ||||||
FHLB, Ser 1 | ||||||||
0.170%, 08/01/13 (A) | 1,305 | 1,305 | ||||||
0.500%, 08/28/13 | 6,920 | 6,922 | ||||||
Tennessee Valley Authority | ||||||||
4.750%, 08/01/13 | 4,011 | 4,011 | ||||||
Tennessee Valley Authority DN (B) | ||||||||
0.060%, 08/08/13 | 3,980 | 3,980 | ||||||
0.069%, 08/22/13 | 16,582 | 16,581 | ||||||
0.070%, 08/29/13 | 7,000 | 7,000 | ||||||
0.058%, 09/05/13 | 2,753 | 2,753 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 1,062,349 | ||||||
|
|
8 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 20.1% |
| |||||||
U.S. Treasury Bills (B) | ||||||||
0.010%, 08/01/13 | $ | 94,607 | $ | 94,607 | ||||
0.010%, 08/29/13 | 48,290 | 48,289 | ||||||
U.S. Treasury Notes | ||||||||
4.250%, 08/15/13 | 10,366 | 10,383 | ||||||
0.750%, 08/15/13 to 09/15/13 | 32,646 | 32,658 | ||||||
3.125%, 08/31/13 | 16,681 | 16,723 | ||||||
0.125%, 08/31/13 | 52,075 | 52,078 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 254,738 | |||||||
|
| |||||||
Total Investments — 103.7% | $ | 1,317,087 | ||||||
|
|
Percentages are based on Net Assets of $1,269,960 ($ Thousands).
(A) | Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2013. The demand and interest rate reset features give this security a shorter effective maturity date. |
(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, 2013, all of the Fund’s investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended July 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities. For the year ended July 31, 2013, there were no Level 3 securities.
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, 2013 | 9 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Prime Obligation Fund
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
COMMERCIAL PAPER (B) (C) — 42.0% |
| |||||||
ASB Finance | ||||||||
0.240%, 09/12/13 | $ | 7,405 | $ | 7,403 | ||||
0.200%, 09/16/13 | 36,305 | 36,296 | ||||||
0.260%, 10/03/13 | 12,263 | 12,257 | ||||||
0.250%, 10/22/13 to 11/04/13 | 38,850 | 38,827 | ||||||
Bank of Tokyo-Mitsubishi UFJ NY | ||||||||
0.230%, 10/15/13 | 1,534 | 1,533 | ||||||
BNZ International Funding | ||||||||
0.260%, 08/08/13 | 23,400 | 23,399 | ||||||
0.240%, 10/17/13 | 78,600 | 78,560 | ||||||
Chariot Funding LLC | ||||||||
0.270%, 08/01/13 to 10/09/13 | 39,915 | 39,911 | ||||||
0.269%, 10/04/13 | 18,877 | 18,868 | ||||||
0.240%, 01/09/14 to 01/22/14 | 53,820 | 53,760 | ||||||
Coca-Cola | ||||||||
0.190%, 10/21/13 | 7,080 | 7,077 | ||||||
0.180%, 11/04/13 | 18,000 | 17,991 | ||||||
0.220%, 02/03/14 | 19,530 | 19,508 | ||||||
Commonwealth Bank of Australia | ||||||||
0.230%, 10/22/13 | 38,000 | 37,980 | ||||||
Fairway Finance LLC | ||||||||
0.170%, 10/17/13 | 14,655 | 14,650 | ||||||
FCAR Owner Trust | ||||||||
0.250%, 08/06/13 | 3,012 | 3,012 | ||||||
0.300%, 08/09/13 | 16,575 | 16,574 | ||||||
0.220%, 09/09/13 | 3,005 | 3,004 | ||||||
0.200%, 10/03/13 | 33,047 | 33,035 | ||||||
0.280%, 10/04/13 to 12/11/13 | 23,590 | 23,575 | ||||||
0.290%, 11/15/13 | 30,390 | 30,364 | ||||||
0.260%, 12/16/13 | 12,020 | 12,008 | ||||||
0.170%, 10/01/13 | 21,125 | 21,119 | ||||||
Gotham Funding | ||||||||
0.150%, 08/12/13 | 22,000 | 21,999 | ||||||
0.180%, 08/19/13 | 10,160 | 10,159 | ||||||
Jupiter Securitization LLC | ||||||||
0.270%, 08/08/13 | 11,485 | 11,484 | ||||||
0.250%, 09/12/13 | 2,000 | 1,999 | ||||||
0.240%, 12/09/13 to 01/14/14 | 160,205 | 160,036 | ||||||
Liberty Street Funding LLC | ||||||||
0.150%, 08/01/13 to 08/06/13 | 107,772 | 107,771 | ||||||
0.140%, 08/12/13 to 08/15/13 | 47,825 | 47,823 | ||||||
0.160%, 08/13/13 | 35,000 | 34,998 | ||||||
Manhattan Asset Funding LLC | ||||||||
0.170%, 08/07/13 | 1,730 | 1,730 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
0.188%, 08/09/13 | $ | 13,840 | $ | 13,839 | ||||
0.200%, 08/12/13 to 09/09/13 | 30,610 | 30,606 | ||||||
0.180%, 08/14/13 | 25,000 | 24,998 | ||||||
0.220%, 08/20/13 | 3,300 | 3,300 | ||||||
Market Street Funding LLC | ||||||||
0.150%, 08/01/13 | 6,318 | 6,318 | ||||||
MetLife Short-Term Funding LLC | ||||||||
0.170%, 09/03/13 | 16,875 | 16,872 | ||||||
0.190%, 09/23/13 | 23,995 | 23,988 | ||||||
Nestle Finance International | ||||||||
0.140%, 08/05/13 | 19,340 | 19,340 | ||||||
New York Life Capital | ||||||||
0.140%, 08/01/13 to 10/17/13 | 22,290 | 22,289 | ||||||
Old Line Funding LLC | ||||||||
0.210%, 08/01/13 to 08/14/13 | 34,125 | 34,124 | ||||||
0.200%, 08/27/13 to 09/17/13 | 80,540 | 80,523 | ||||||
0.230%, 10/15/13 | 35,625 | 35,608 | ||||||
0.240%, 11/27/13 to 01/21/14 | 46,840 | 46,795 | ||||||
Prudential PLC | ||||||||
0.130%, 08/02/13 | 1,910 | 1,910 | ||||||
0.230%, 09/30/13 | 8,225 | 8,222 | ||||||
Thunder Bay Funding LLC | ||||||||
0.210%, 08/09/13 to 08/14/13 | 25,681 | 25,679 | ||||||
0.220%, 08/15/13 | 33,345 | 33,342 | ||||||
Toyota Credit Canada | ||||||||
0.210%, 08/15/13 to 12/10/13 | 120,585 | 120,545 | ||||||
Toyota Motor Credit | ||||||||
0.200%, 12/10/13 | 35,115 | 35,089 | ||||||
0.220%, 01/13/14 | 38,000 | 37,962 | ||||||
Victory Receivables | ||||||||
0.159%, 08/01/13 | 26,604 | 26,604 | ||||||
0.170%, 08/06/13 to 08/07/13 | 25,179 | 25,178 | ||||||
Westpac Securities | ||||||||
0.233%, 12/03/13 | 59,140 | 59,093 | ||||||
0.250%, 01/02/14 | 58,527 | 58,464 | ||||||
Working Capital Management | ||||||||
0.150%, 08/01/13 to 08/07/13 | 61,000 | 60,999 | ||||||
0.170%, 08/05/13 | 12,320 | 12,320 | ||||||
|
| |||||||
Total Commercial Paper |
| 1,812,717 | ||||||
|
| |||||||
CERTIFICATES OF DEPOSIT — 25.0% |
| |||||||
Bank of Montreal | ||||||||
0.150%, 08/02/13 | 21,000 | 21,000 | ||||||
0.150%, 08/05/13 | 19,205 | 19,205 | ||||||
0.240%, 10/24/13 | 40,000 | 40,001 | ||||||
0.200%, 11/12/13 | 45,755 | 45,756 | ||||||
Bank of Nova Scotia | ||||||||
0.220%, 08/09/13 | 4,700 | 4,700 | ||||||
0.474%, 09/12/13 | 5,585 | 5,587 | ||||||
0.523%, 10/03/13 | 628 | 629 | ||||||
0.686%, 10/18/13 | 1,895 | 1,897 | ||||||
Bank of Tokyo-Mitsubishi UFJ NY | ||||||||
0.200%, 08/06/13 | 101,000 | 101,000 |
10 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Branch Banking & Trust | ||||||||
0.200%, 08/02/13 | $ | 80,200 | $ | 80,200 | ||||
0.190%, 10/01/13 | 21,170 | 21,170 | ||||||
DNB Bank | ||||||||
0.180%, 08/30/13 | 23,000 | 23,000 | ||||||
0.210%, 11/12/13 | 99,500 | 99,500 | ||||||
Nordea Bank Finland PLC | ||||||||
0.170%, 10/21/13 | 64,800 | 64,800 | ||||||
Skandinaviska Enskilda Banken NY | ||||||||
0.200%, 08/15/13 | 55,000 | 55,000 | ||||||
0.200%, 09/12/13 | 9,100 | 9,100 | ||||||
Sumitomo Mitsui Banking | ||||||||
0.230%, 08/01/13 | 10,000 | 10,000 | ||||||
0.230%, 08/14/13 | 73,700 | 73,700 | ||||||
0.240%, 09/18/13 | 5,200 | 5,200 | ||||||
0.240%, 10/03/13 | 3,000 | 3,000 | ||||||
0.220%, 10/17/13 | 33,700 | 33,700 | ||||||
Svenska Handelsbanken NY | ||||||||
0.190%, 08/22/13 | 36,310 | 36,310 | ||||||
0.210%, 09/20/13 | 11,840 | 11,840 | ||||||
0.823%, 09/25/13 | 1,435 | 1,436 | ||||||
0.185%, 10/01/13 | 25,000 | 25,000 | ||||||
0.190%, 10/22/13 | 15,000 | 15,000 | ||||||
Swedbank Sparbanken Svenge | ||||||||
0.160%, 09/20/13 | 126,300 | 126,300 | ||||||
Toronto-Dominion Bank | ||||||||
0.230%, 11/12/13 | 50,000 | 50,000 | ||||||
0.260%, 01/06/14 | 26,188 | 26,189 | ||||||
0.250%, 01/13/14 | 40,000 | 40,000 | ||||||
0.240%, 01/21/14 | 30,000 | 30,000 | ||||||
|
| |||||||
Total Certificates of Deposit |
| 1,080,220 | ||||||
|
| |||||||
TIME DEPOSITS — 5.9% | ||||||||
Citibank Canada | ||||||||
0.090%, 08/01/13 | 129,000 | 129,000 | ||||||
U.S. Bank | ||||||||
0.090%, 08/01/13 | 125,000 | 125,000 | ||||||
|
| |||||||
Total Time Deposits | 254,000 | |||||||
|
| |||||||
MUNICIPAL BONDS (A) — 4.5% | ||||||||
Arizona — 0.1% | ||||||||
Pima County, Industrial Development Authority, RB | ||||||||
0.050%, 08/07/13 | 4,800 | 4,800 | ||||||
|
| |||||||
California — 0.4% | ||||||||
California State, Wide Communities Development Authority, RB | ||||||||
0.030%, 08/01/13 | 7,295 | 7,295 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Calleguas-Las Virgenes, Public Financing Authority, Ser A, RB | ||||||||
0.040%, 08/01/13 | $ | 3,385 | $ | 3,385 | ||||
Sacramento, Municipal Utility | ||||||||
0.040%, 08/01/13 | 4,750 | 4,750 | ||||||
|
| |||||||
15,430 | ||||||||
|
| |||||||
Colorado — 0.1% | ||||||||
Colorado State, Housing & | ||||||||
0.210%, 08/07/13 | 100 | 100 | ||||||
0.190%, 08/07/13 | 900 | 900 | ||||||
0.120%, 08/07/13 | 1,735 | 1,735 | ||||||
0.100%, 08/07/13 | 2,670 | 2,670 | ||||||
Colorado State, Housing & Finance Authority, Ser C1, RB | ||||||||
0.120%, 08/07/13 | 900 | 900 | ||||||
Colorado State, Housing & Finance Authority, Ser CL1, RB | ||||||||
0.220%, 08/07/13 | 100 | 100 | ||||||
|
| |||||||
6,405 | ||||||||
|
| |||||||
Indiana — 0.2% | ||||||||
Indiana, Finance Authority, Ser F, RB | ||||||||
0.050%, 08/01/13 | 8,280 | 8,280 | ||||||
|
| |||||||
Iowa — 0.2% | ||||||||
Iowa State, Finance Authority, | ||||||||
0.070%, 08/01/13 | 800 | 800 | ||||||
Iowa State, Finance Authority, | ||||||||
0.118%, 08/01/13 | 6,745 | 6,745 | ||||||
Iowa State, Finance Authority, | ||||||||
0.120%, 08/01/13 | 210 | 210 | ||||||
Iowa State, Finance Authority, | ||||||||
0.130%, 08/01/13 | 600 | 600 | ||||||
|
| |||||||
8,355 | ||||||||
|
| |||||||
Massachusetts — 0.1% | ||||||||
Simmons College, RB | ||||||||
0.160%, 08/01/13 | 2,760 | 2,760 | ||||||
|
| |||||||
Michigan — 0.4% | ||||||||
Kent, Hospital Finance Authority, | ||||||||
0.060%, 08/07/13 | 17,365 | 17,365 | ||||||
|
|
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 11 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Prime Obligation Fund (Continued)
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Mississippi — 0.1% | ||||||||
Mississippi, Business Finance, | ||||||||
0.040%, 08/01/13 | $ | 4,540 | $ | 4,540 | ||||
|
| |||||||
Missouri — 0.1% | ||||||||
St. Louis, Industrial Development Authority, Ser B, RB | ||||||||
0.060%, 08/07/13 | 3,940 | 3,940 | ||||||
|
| |||||||
New Hampshire — 0.1% | ||||||||
New Hampshire State, Health & Educational Facilities Authority, | ||||||||
0.100%, 08/07/13 | 2,945 | 2,945 | ||||||
|
| |||||||
New York — 0.2% | ||||||||
City of New York, Sub-Ser D-3, GO | ||||||||
0.040%, 08/01/13 | 5,765 | 5,765 | ||||||
New York State, Energy Research & Development Authority, | ||||||||
0.040%, 08/07/13 | 6,300 | 6,300 | ||||||
|
| |||||||
12,065 | ||||||||
|
| |||||||
Ohio — 0.1% | ||||||||
Cleveland, Department of Public Utilities Division of Water, Ser Q, RB | ||||||||
0.050%, 08/01/13 | 5,425 | 5,425 | ||||||
|
| |||||||
South Carolina — 0.1% | ||||||||
South Carolina, Jobs-Economic Development Authority, Ser C, RB | ||||||||
0.050%, 08/07/13 | 3,750 | 3,750 | ||||||
|
| |||||||
Texas — 2.0% | ||||||||
Texas State, RB | ||||||||
2.500%, 08/30/13 | 40,000 | 40,075 | ||||||
Texas State, GO | ||||||||
0.118%, 08/06/13 | 3,695 | 3,695 | ||||||
0.110%, 08/06/13 | 4,035 | 4,035 | ||||||
0.110%, 08/06/13 | 3,025 | 3,025 | ||||||
0.120%, 08/07/13 | 5,045 | 5,045 | ||||||
Texas State, Ser A, GO | ||||||||
0.110%, 08/06/13 | 3,775 | 3,775 | ||||||
Texas State, Ser A-2, GO | ||||||||
0.109%, 08/07/13 | 400 | 400 | ||||||
Texas State, Ser B, GO | ||||||||
0.120%, 08/01/13 | 5,710 | 5,710 | ||||||
Texas State, Ser B2, GO | ||||||||
0.118%, 08/07/13 | 1,000 | 1,000 | ||||||
Texas State, Ser C, GO | ||||||||
0.120%, 08/07/13 | 9,010 | 9,010 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Texas State, Ser I, GO | ||||||||
0.118%, 08/07/13 | $ | 2,395 | $ | 2,395 | ||||
University of Texas System, Ser B, RB | ||||||||
0.050%, 08/01/13 | 8,225 | 8,225 | ||||||
|
| |||||||
86,390 | ||||||||
|
| |||||||
Wisconsin — 0.3% | ||||||||
Wisconsin State, Health & Educational Facilities Authority, RB | ||||||||
0.040%, 08/07/13 | 8,300 | 8,300 | ||||||
Wisconsin State, Health & Educational Facilities Authority, Ser B, RB | ||||||||
0.040%, 08/07/13 | 2,595 | 2,595 | ||||||
Wisconsin State, Housing & Economic Development Authority, Ser B, RB | ||||||||
0.099%, 08/01/13 | 915 | 915 | ||||||
|
| |||||||
11,810 | ||||||||
|
| |||||||
Total Municipal Bonds | 194,260 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.5% |
| |||||||
FFCB, Ser 1 (A) | ||||||||
0.230%, 08/01/13 | 2,850 | 2,850 | ||||||
0.171%, 08/14/13 | 37,015 | 37,008 | ||||||
FHLB | ||||||||
0.190%, 08/01/13 (A) | 17,505 | 17,504 | ||||||
0.180%, 08/01/13 (A) | 14,705 | 14,703 | ||||||
0.300%, 11/22/13 to 12/06/13 | 7,160 | 7,162 | ||||||
4.875%, 11/27/13 | 3,675 | 3,731 | ||||||
FHLMC (A) | ||||||||
0.390%, 08/01/13 | 28,310 | 28,308 | ||||||
FHLMC MTN | ||||||||
0.375%, 11/27/13 | 2,354 | 2,355 | ||||||
FNMA (A) | ||||||||
0.330%, 08/01/13 | 11,000 | 11,000 | ||||||
0.320%, 08/01/13 | 7,000 | 7,000 | ||||||
0.202%, 08/20/13 | 190 | 190 | ||||||
0.172%, 08/20/13 | 18,235 | 18,232 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 150,043 | ||||||
|
| |||||||
CORPORATE OBLIGATIONS — 0.7% |
| |||||||
Bank of Nova Scotia | ||||||||
2.375%, 12/17/13 | 10,703 | 10,787 | ||||||
General Electric Capital | ||||||||
1.121%, 10/07/13 (A) | 1,780 | 1,787 | ||||||
General Electric Capital MTN | ||||||||
1.875%, 09/16/13 | 433 | 434 | ||||||
0.496%, 09/28/13 (A) | 6,165 | 6,171 | ||||||
HSBC Bank PLC | ||||||||
1.625%, 08/12/13 (D) | 3,915 | 3,917 |
12 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Toyota Motor Credit MTN | ||||||||
1.375%, 08/12/13 | $ | 898 | $ | 898 | ||||
0.429%, 10/29/13 (A) | 3,000 | 3,003 | ||||||
Westpac Banking | ||||||||
2.100%, 08/02/13 | 2,310 | 2,310 | ||||||
|
| |||||||
Total Corporate Obligations | 29,307 | |||||||
|
| |||||||
REPURCHASE AGREEMENTS (E) — 16.4% |
| |||||||
Bank of Montreal | 204,191 | 204,191 | ||||||
Goldman Sachs | 41,380 | 41,380 | ||||||
Goldman Sachs | 215,000 | 215,000 | ||||||
JPMorgan Chase | 80,000 | 80,000 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
RBC Capital | $ | 45,120 | $ | 45,120 | ||||
RBC Capital | 46,765 | 46,765 | ||||||
Wells Fargo | 28,830 | 28,830 | ||||||
Wells Fargo | 48,824 | 48,824 | ||||||
|
| |||||||
Total Repurchase Agreements | 710,110 | |||||||
|
| |||||||
Total Investments — 98.0% | $ | 4,230,657 | ||||||
|
|
* A summary of the corporate obligations used to collateralize repurchase agreements entered into by the Fund at July 31, 2013, is as follows:
Counterparty | Corporate Obligation | Rate | Maturity Date | Par Amount ($ Thousands) | ||||||||||
RBC Capital | Agilent Technologies Inc. | 3.875 | % | 07/15/23 | $ | 2,340 | ||||||||
Amazon.com | 2.500 | 11/29/22 | 2,388 | |||||||||||
Barrick Gold Corp. | 2.900 | 05/30/16 | 1,675 | |||||||||||
Block Financial Corp. | 5.500 | 11/01/22 | 2,217 | |||||||||||
BP Capital Markets PLC | 1.375 | 05/10/18 | 1,977 | |||||||||||
British Sky Broadcasting Group | 3.125 | 11/26/22 | 641 | |||||||||||
CBS Corp. Class B Common New | 8.875 | 05/15/19 | 1,851 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 13 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Prime Obligation Fund (Concluded)
July 31, 2013
Counterparty | Corporate Obligation | Rate | Maturity Date | Par Amount ($ Thousands) | ||||||||||
Celgene Corp. | 1.900 | % | 08/15/17 | $ | 2,000 | |||||||||
Cenovus Energy Inc. | 5.700 | 10/15/19 | 2,697 | |||||||||||
Diageo Capital PLC | 0.625 | 04/29/16 | 2,538 | |||||||||||
E. On International Finance B.V. | 5.800 | 04/30/13 | 2,250 | |||||||||||
ENEL Finance International S.A. | 5.125 | 10/07/19 | 1,321 | |||||||||||
ENEL Finance International S.A. | 3.875 | 10/07/14 | 2,570 | |||||||||||
France Telecom | 4.375 | 07/08/14 | 1,147 | |||||||||||
Freeport McMoran Copper Gold | 2.375 | 03/15/18 | 1,612 | |||||||||||
Morgan Stanley | 5.950 | 12/28/17 | 1,996 | |||||||||||
Murphy Oil Corp. | 3.700 | 12/01/22 | 2,973 | |||||||||||
Mylan Labs Inc. | 2.600 | 06/24/18 | 2,524 | |||||||||||
PepsiCo | 0.750 | 03/05/15 | 618 | |||||||||||
Pernod Ricard | 5.750 | 04/07/21 | 2,575 | |||||||||||
Petronas Capital Limited | 5.250 | 08/12/19 | 658 | |||||||||||
St. Jude Medical Inc. | 3.250 | 04/15/23 | 2,320 | |||||||||||
SunTrust Bank | 2.750 | 05/01/23 | 2,875 | |||||||||||
TransAlta Corp. | 6.650 | 05/15/18 | 1,546 | |||||||||||
Wells Fargo | American Express CRT CP | 5.125 | 08/25/14 | 2,100 | ||||||||||
Burlington Northern Santa Fe | 3.000 | 03/15/23 | 232 | |||||||||||
Cigna Corp. | 2.750 | 11/15/16 | 2,199 | |||||||||||
Diageo Capital PLC | 1.125 | 04/29/18 | 2,429 | |||||||||||
Goldman Sachs Group Inc. | 1.600 | 11/23/15 | 2,595 | |||||||||||
Health Care REIT | 6.200 | 06/01/16 | 2,448 | |||||||||||
Health Care REIT | 5.875 | 05/15/15 | 2,187 | |||||||||||
Health Care REIT | 5.250 | 01/15/22 | 2,392 | |||||||||||
Ingram Micro Inc. | 5.000 | 08/10/22 | 1,212 | |||||||||||
Morgan Stanley | 3.750 | 02/25/23 | 2,692 | |||||||||||
Pacific Life Corp. | 6.000 | 02/10/20 | 1,505 | |||||||||||
The Bear Stearns | 7.250 | 02/01/18 | 1,137 | |||||||||||
The May Deptment Store Co. | 5.750 | 07/15/14 | 2,109 | |||||||||||
Toyota Motor Credit Co. | 0.436 | 01/23/15 | 1,177 | |||||||||||
Ventas Reality Limited Partnership | 3.250 | 08/15/22 | 2,528 | |||||||||||
Wells Fargo | AGL Capital Corp. | 3.500 | 09/15/21 | 832 | ||||||||||
American Express Bank | 0.492 | 06/12/17 | 53 | |||||||||||
American International Group Inc. | 3.800 | 03/22/17 | 35 | |||||||||||
Anadarka Petroleum Corp. | 7.625 | 03/15/14 | 139 | |||||||||||
Anheuser Busch Co. | 7.750 | 01/19/15 | 10 | |||||||||||
Anheuser Busch Co. | 5.000 | 01/15/15 | 50 | |||||||||||
ANZ National International Limited | 3.125 | 02/10/15 | 628 | |||||||||||
Aspen Insurance Holding LTD | 6.000 | 08/15/14 | 4,205 | |||||||||||
Autozone Inc. | 5.500 | 11/15/15 | 67 | |||||||||||
Banco Bradesco | 4.500 | 01/12/17 | 654 | |||||||||||
Bank of New York Co. | 0.700 | 10/23/15 | 150 | |||||||||||
Barclays Bank PLC | 6.050 | 12/04/17 | 144 | |||||||||||
BB&T Corp. | 3.375 | 09/25/13 | 10 | |||||||||||
BB&T Corp. | 5.700 | 04/30/14 | 25 | |||||||||||
Berkshire Hathaway Financial Corp. | 5.400 | 05/15/18 | 78 | |||||||||||
BHP Billiton | 6.500 | 04/01/19 | 27 | |||||||||||
Boston Properties LTD | 5.875 | 10/15/19 | 18 | |||||||||||
Boston Properties LTD | 4.125 | 05/15/21 | 1,131 | |||||||||||
Bunge Limited Finance | 5.100 | 07/15/15 | 10 | |||||||||||
Cameron International Corp. | 6.375 | 07/15/18 | 38 | |||||||||||
Capital One Financial Corp. | 2.125 | 07/15/14 | 382 | |||||||||||
Caterpillar Financial Services Co. | 0.700 | 11/06/15 | 144 | |||||||||||
Caterpillar Financial Services Co. | 1.300 | 03/01/18 | 35 | |||||||||||
Caterpillar Financial Services Co. | 0.950 | 06/26/15 | 16 | |||||||||||
CBS Corp. Class B Common New | 3.375 | 03/01/22 | 7 | |||||||||||
Celgene Corp. | 2.450 | 10/15/15 | 5 | |||||||||||
Chevron Corp. | 3.191 | 06/24/23 | 912 | |||||||||||
Citigroup Inc. | 6.125 | 05/15/18 | 99 | |||||||||||
Citigroup Inc. | 5.500 | 02/15/17 | 12 | |||||||||||
CME Group Inc. | 5.400 | 08/01/13 | 83 | |||||||||||
Comcast Corp. | 5.850 | 11/15/15 | 21 | |||||||||||
Constellation Energy Group | 5.150 | 12/01/20 | 5 | |||||||||||
Conventry Health Care | 6.300 | 08/15/14 | 89 | |||||||||||
Cooperatieve Centrale | 2.125 | 10/13/15 | 5 | |||||||||||
CRH American Inc. | 5.300 | 10/15/13 | 82 | |||||||||||
CWMBS Inc. | 1.125 | 05/09/16 | 107 | |||||||||||
Cytec Industries Inc. | 3.500 | 04/01/23 | 105 |
Counterparty | Corporate Obligation | Rate | Maturity Date | Par Amount ($ Thousands) | ||||||||||
Directv | 3.500 | % | 03/01/16 | $ | 2,137 | |||||||||
Duke Energy Holdings Corp. | 3.050 | 08/15/22 | 1,928 | |||||||||||
Dukes-Weeks Realty Limited Partnership | 4.375 | 06/15/22 | 951 | |||||||||||
Eaton Corp. | 5.600 | 05/15/18 | 113 | |||||||||||
Ebay Inc. | 2.600 | 07/15/22 | 346 | |||||||||||
Electronic Data System Corp. | 6.000 | 08/01/13 | 133 | |||||||||||
Ensco PLC | 7.000 | 03/15/21 | 7 | |||||||||||
Enterprise Products Operating LLC | 3.350 | 03/15/23 | 2,785 | |||||||||||
Equity Residential Properties Trust | 5.125 | 03/15/16 | 121 | |||||||||||
ESSEX Portfolio | 3.625 | 08/15/22 | 700 | |||||||||||
Federal Realty Trust | 2.750 | 06/01/23 | 110 | |||||||||||
Fifth Third Bank | 1.450 | 02/28/18 | 30 | |||||||||||
Fifth Third Bank | 3.625 | 01/25/16 | 125 | |||||||||||
Financing Corp. | 0.000 | 12/06/18 | 4,317 | |||||||||||
Financing Corp. | 0.000 | 12/27/18 | 4,369 | |||||||||||
Financing Corp. | 0.000 | 12/06/16 | 4,527 | |||||||||||
Florida Gas Transmission Co. | 7.900 | 05/15/19 | 196 | |||||||||||
Gatx Corp. | 3.900 | 03/30/23 | 295 | |||||||||||
GCB Associates Ltd | 6.950 | 11/01/18 | 65 | |||||||||||
Goldman Sachs Group Inc. | 5.500 | 06/15/21 | 1 | |||||||||||
Goldman Sachs Group Inc. | 6.000 | 05/01/14 | 213 | |||||||||||
Goldman Sachs Group Inc. | 5.625 | 09/15/17 | 127 | |||||||||||
Google Inc. | 1.250 | 05/19/14 | 10 | |||||||||||
Health Care | 6.300 | 09/15/16 | 10 | |||||||||||
HSBC Financial Corp. | 2.900 | 11/16/15 | 15 | |||||||||||
Itau’ Unibanco Holdings | 6.200 | 12/21/21 | 130 | |||||||||||
Jefferies Group Inc. | 5.125 | 04/13/18 | 5 | |||||||||||
Jersey Central Power and Light Co. | 7.350 | 02/01/19 | 55 | |||||||||||
John Deere Capital Co. | 1.200 | 10/10/17 | 115 | |||||||||||
JP Morgan Chase Co. | 6.300 | 04/23/19 | 125 | |||||||||||
Kansas City Southwestern De Mexico S.A. de | 6.125 | 06/15/21 | 71 | |||||||||||
Kraft Foods Inc. | 6.500 | 08/11/17 | 70 | |||||||||||
Liberty Property Limited Partnership | 4.750 | 10/01/20 | 662 | |||||||||||
Lincoln National Corp. | 8.750 | 07/01/19 | 100 | |||||||||||
Mack-Cali Realty LP | 5.125 | 01/15/15 | 1,104 | |||||||||||
Mattel Inc. | 2.500 | 11/01/16 | 15 | |||||||||||
McDonalds | 5.350 | 03/01/18 | 2 | |||||||||||
Morgan Stanley | 4.000 | 09/22/20 | 2 | |||||||||||
Nabor Industries Inc. | 9.250 | 01/15/19 | 798 | |||||||||||
National Agricultural | 5.000 | 09/30/14 | 125 | |||||||||||
National Rural Utilities | 3.050 | 02/15/22 | 25 | |||||||||||
NBC Universal Media LLC | 3.650 | 04/30/15 | 299 | |||||||||||
Newell Rubbermaid Inc. | 4.700 | 08/15/20 | 10 | |||||||||||
Newell Rubbermaid Inc. | 2.000 | 06/15/15 | 15 | |||||||||||
News America Inc. | 4.500 | 02/15/21 | 54 | |||||||||||
Nippon Telegraph and Telephone Corp. | 1.400 | 07/18/17 | 25 | |||||||||||
North Electric | 6.900 | 09/15/15 | 30 | |||||||||||
Novartis Capital Corp. | 4.125 | 02/10/14 | 55 | |||||||||||
NVR Inc. | 3.950 | 09/15/22 | 64 | |||||||||||
PACCAR Financial Corp. | 6.875 | 02/15/14 | 10 | |||||||||||
PACCAR Financial Corp. | 1.550 | 09/29/14 | 54 | |||||||||||
Pioneer Natural Resources Co. | 3.950 | 07/15/22 | 70 | |||||||||||
Plains All American Pipeline LP | 8.750 | 05/01/19 | 393 | |||||||||||
Post Apartment Homes LP | 3.375 | 12/01/22 | 8 | |||||||||||
PRICOA Global Funding 1 | 1.600 | 05/29/18 | 15 | |||||||||||
Principal Life Global | 0.643 | 05/27/16 | 230 | |||||||||||
Provident Companies | 7.000 | 07/15/18 | 5 | |||||||||||
Prudential Financial Inc. | 6.000 | 12/01/17 | 11 | |||||||||||
Quest Corp. | 8.375 | 05/01/16 | 328 | |||||||||||
Raytheon | 3.125 | 10/15/20 | 1 | |||||||||||
Reynolds American | 7.625 | 06/01/16 | 56 | |||||||||||
Rio Tinto Finance LTD | 9.000 | 05/01/19 | 10 | |||||||||||
Rogers Communications Inc. | 3.000 | 03/15/23 | 40 | |||||||||||
Rohm and HAAS Co. | 6.000 | 09/15/17 | 130 | |||||||||||
Royal Bank of Canada | 1.150 | 03/13/15 | 50 | |||||||||||
Santarder Holdings USA Inc. | 3.000 | 09/24/15 | 601 | |||||||||||
Santarder Holdings USA Inc. | 4.625 | 04/19/16 | 145 | |||||||||||
Shell International Finance B.V. | 4.375 | 03/25/20 | 10 |
14 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Counterparty | Corporate Obligation | Rate | Maturity Date | Par Amount ($ Thousands) | ||||||||||
State Street Corp. | 4.300 | % | 05/30/14 | $ | 519 | |||||||||
SunTrust Bank | 5.450 | 12/01/17 | 15 | |||||||||||
The Kroger Co. | 3.900 | 10/01/15 | 1 | |||||||||||
Torchmark Corp. | 9.250 | 06/15/19 | 1,546 | |||||||||||
Toyota Motor Credit Co. | 1.375 | 08/12/13 | 166 | |||||||||||
Toyota Motor Credit Co. | 3.200 | 06/17/15 | 596 | |||||||||||
Transocean Sedco Forex | 3.800 | 10/15/22 | 1,554 | |||||||||||
Tyco Electronics | 4.875 | 01/15/21 | 127 | |||||||||||
UBS AG Stamford Branch | 2.250 | 08/12/13 | 70 | |||||||||||
United Technologies | 6.125 | 02/01/19 | 10 | |||||||||||
Ventas Realty Limited Partnership | 3.125 | 11/30/15 | 430 | |||||||||||
Verizon Wireless Capital LLC | 8.500 | 11/15/18 | 10 | |||||||||||
Viacom Inc. | 6.250 | 04/30/16 | 5 | |||||||||||
Walgreen Co. | 5.250 | 01/15/19 | 20 | |||||||||||
Walmart Stores Inc. | 1.625 | 04/15/14 | 65 | |||||||||||
Whirlpool Corp. | 4.700 | 06/01/22 | 573 | |||||||||||
Wyndham Worldwide Corp. | 5.750 | 2/1/18 | 7 | |||||||||||
X Adventist Health System West city of Gardina | 3.378 | 03/01/23 | 1,998 | |||||||||||
Xstrata Finance | 3.600 | 01/15/17 | 2,018 | |||||||||||
Xstrata Finance | 4.250 | 10/25/22 | 225 |
Percentages are based on Net Assets of $4,317,181 ($ Thousands).
(A) | Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2013. The demand and interest rate reset features give this security a shorter effective maturity date. |
(B) | The rate reported is the effective yield at time of purchase. |
(C) | Securities are held in connection with a letter of credit issued by major bank. |
(D) | 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. |
(E) | Tri-party Repurchase Agreement. |
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 |
MTN | — Medium Term Note |
NY | — New York |
PLC | — Public Limited Company |
RB | — Revenue Bond |
Ser | — Series |
As of July 31, 2013, all of the Fund’s investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended July 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities. For the year ended July 31, 2013, there were no Level 3 securities.
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, 2013 | 15 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Treasury Fund
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 36.0% |
| |||||||
U.S. Treasury Bills (A) | ||||||||
0.069%, 12/26/13 | $ | 7,840 | $ | 7,838 | ||||
U.S. Treasury Notes | ||||||||
4.250%, 08/15/13 to 11/15/13 | 3,111 | 3,141 | ||||||
3.125%, 08/31/13 | 2,500 | 2,506 | ||||||
0.125%, 08/31/13 | 6,190 | 6,190 | ||||||
0.500%, 10/15/13 to 11/15/13 | 15,945 | 15,961 | ||||||
2.000%, 11/30/13 | 9,290 | 9,347 | ||||||
0.250%, 11/30/13 to 02/28/14 | 11,960 | 11,966 | ||||||
0.750%, 12/15/13 | 22,720 | 22,772 | ||||||
1.500%, 12/31/13 | 1,485 | 1,494 | ||||||
1.000%, 01/15/14 | 8,700 | 8,735 | ||||||
1.750%, 01/31/14 | 3,715 | 3,745 | ||||||
1.250%, 02/15/14 | 945 | 951 | ||||||
1.875%, 02/28/14 | 14,257 | 14,403 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 109,049 | |||||||
|
| |||||||
REPURCHASE AGREEMENTS (B) — 64.3% |
| |||||||
Bank of Montreal | 20,809 | 20,809 | ||||||
Bank of Montreal | 30,000 | 30,000 | ||||||
Bank of Nova Scotia | 2,290 | 2,290 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Bank of Nova Scotia | $ | 3,090 | $ | 3,090 | ||||
Barclays Capital | 19,000 | 19,000 | ||||||
Citibank | 19,000 | 19,000 | ||||||
Credit Suisse | 17,000 | 17,000 | ||||||
JPMorgan Chase | 17,000 | 17,000 | ||||||
RBC Capital | 18,000 | 18,000 | ||||||
TD Securities | 6,065 | 6,065 |
16 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
TD Securities | $ | 6,235 | $ | 6,235 | ||||
UBS | 18,000 | 18,000 | ||||||
Wells Fargo | 18,000 | 18,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 194,489 | |||||||
|
| |||||||
Total Investments — 100.3% | $ | 303,538 | ||||||
|
|
Percentages are based on Net Assets of $302,639 ($ Thousands).
(A) | The rate reported is the effective yield at time of purchase. |
(B) | Tri-Party Repurchase Agreement. |
(C) | Securities considered illiquid. The total value of such securities as of July 31, 2013 was $5,380 ($ Thousands) and represented 1.7% of Net Assets. |
As of July 31, 2013, all of the Fund’s investments were considered level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended July 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities. For the year ended July 31, 2013, there were no Level 3 securities.
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, 2013 | 17 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Treasury II Fund
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 106.0% |
| |||||||
U.S. Treasury Bills (A) | ||||||||
0.012%, 08/01/13 | $ | 107,994 | $ | 107,994 | ||||
0.016%, 08/08/13 | 99,000 | 99,000 | ||||||
0.015%, 08/15/13 | 15,000 | 15,000 | ||||||
0.020%, 08/22/13 | 16,000 | 16,000 | ||||||
0.000%, 08/29/13 | 40,000 | 39,999 | ||||||
0.083%, 09/12/13 | 5,000 | 5,000 | ||||||
0.105%, 10/03/13 | 10,000 | 9,998 | ||||||
0.088%, 10/10/13 | 11,000 | 10,998 | ||||||
0.066%, 10/17/13 | 5,000 | 4,999 | ||||||
0.080%, 10/24/13 | 5,000 | 4,999 | ||||||
0.085%, 11/07/13 | 8,000 | 7,998 | ||||||
0.063%, 12/26/13 | 15,490 | 15,486 | ||||||
U.S. Treasury Notes | ||||||||
4.250%, 08/15/13 to 11/15/13 | 110,050 | 110,352 | ||||||
0.750%, 08/15/13 to 12/15/13 | 81,272 | 81,333 | ||||||
3.125%, 08/31/13 to 09/30/13 | 16,500 | 16,560 | ||||||
0.125%, 08/31/13 to 09/30/13 | 22,990 | 22,991 | ||||||
0.500%, 10/15/13 to 11/15/13 | 53,185 | 53,236 | ||||||
2.750%, 10/31/13 | 900 | 906 | ||||||
2.000%, 11/30/13 | 10,200 | 10,262 | ||||||
0.250%, 11/30/13 to 02/28/14 | 34,925 | 34,940 | ||||||
1.500%, 12/31/13 | 3,240 | 3,259 | ||||||
1.000%, 01/15/14 | 19,955 | 20,036 | ||||||
1.750%, 01/31/14 | 2,600 | 2,621 | ||||||
1.875%, 02/28/14 | 11,600 | 11,719 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 705,686 | |||||||
|
| |||||||
Total Investments — 106.0% | $ | 705,686 | ||||||
|
|
Percentages are based on Net Assets of $665,885 ($ Thousands).
(A) | The rate reported is the effective yield at time of purchase. |
As of July 31, 2013, all of the Fund’s investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the period ended July 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities. For the period ended July 31, 2013, there were no Level 3 securities.
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.
18 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 45.3% |
| |||||||
Banks — 13.3% | ||||||||
Abbey National Treasury Services PLC | ||||||||
3.875%, 11/10/14 (A) | $ | 598 | $ | 616 | ||||
ABN AMRO Bank | ||||||||
1.375%, 01/22/16 (A) | 795 | 793 | ||||||
American Express | ||||||||
0.863%, 05/22/18 (B) | 600 | 599 | ||||||
American Express Centurion Bank | ||||||||
0.725%, 11/13/15 (B) | 535 | 535 | ||||||
Australia & New Zealand Banking Group NY | ||||||||
0.835%, 05/15/18 (B) | 375 | 373 | ||||||
Bank of America | ||||||||
1.500%, 10/09/15 | 1,310 | 1,313 | ||||||
Bank of America MTN | ||||||||
1.685%, 01/30/14 (B) | 350 | 352 | ||||||
1.093%, 03/22/16 (B) | 200 | 200 | ||||||
Bank of Montreal MTN | ||||||||
0.870%, 04/09/18 (B) | 500 | 500 | ||||||
Bank of New York Mellon | ||||||||
0.534%, 07/28/14 (B) | 300 | 301 | ||||||
Bank of New York Mellon MTN | ||||||||
0.714%, 03/06/18 (B) | 350 | 350 | ||||||
Bank of Nova Scotia | ||||||||
1.850%, 01/12/15 | 965 | 981 | ||||||
0.788%, 07/15/16 (B) | 670 | 671 | ||||||
0.715%, 09/11/15 (B) | 800 | 802 | ||||||
Bank of Tokyo-Mitsubishi | ||||||||
0.723%, 02/26/16 (A)(B) | 440 | 441 | ||||||
BB&T | ||||||||
0.964%, 04/28/14 (B) | 263 | 263 | ||||||
BB&T MTN | ||||||||
3.375%, 09/25/13 | 315 | 316 | ||||||
1.133%, 06/15/18 (B) | 380 | 380 | ||||||
BNP Paribas MTN | ||||||||
3.022%, 12/20/14 (B) | 615 | 635 | ||||||
BPCE MTN | ||||||||
1.516%, 04/25/16 (B) | 500 | 504 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
0.900%, 10/01/15 | 400 | 401 | ||||||
Capital One | ||||||||
0.723%, 03/22/16 (B) | 500 | 499 | ||||||
Capital One Financial | ||||||||
1.418%, 07/15/14 (B) | 255 | 257 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Cooperatieve Centrale Raiffeisen- Boerenleenbank BA | ||||||||
0.753%, 03/18/16 (B) | $ | 550 | $ | 551 | ||||
Danske Bank | ||||||||
1.318%, 04/14/14 (A)(B) | 1,050 | 1,055 | ||||||
Fifth Third Bank | ||||||||
0.683%, 02/26/16 (B) | 790 | 788 | ||||||
HSBC Bank PLC | ||||||||
1.068%, 01/17/14 (A)(B) | 462 | 464 | ||||||
0.915%, 05/15/18 (A)(B) | 500 | 500 | ||||||
HSBC Bank USA NY | ||||||||
4.625%, 04/01/14 | 700 | 718 | ||||||
HSBC USA | ||||||||
2.375%, 02/13/15 | 330 | 338 | ||||||
ING Bank | ||||||||
1.913%, 09/25/15 (A)(B) | 550 | 560 | ||||||
Intesa Sanpaolo | ||||||||
3.125%, 01/15/16 | 350 | 347 | ||||||
Manufacturers & Traders Trust | ||||||||
0.574%, 03/07/16 (B) | 660 | 658 | ||||||
Nordea Bank | ||||||||
0.735%, 05/13/16 (A)(B) | 600 | 601 | ||||||
PNC Bank | ||||||||
0.584%, 04/29/16 (B) | 700 | 700 | ||||||
Rabobank MTN | ||||||||
2.125%, 10/13/15 | 880 | 903 | ||||||
Royal Bank of Canada | ||||||||
1.125%, 07/22/16 | 630 | 628 | ||||||
Royal Bank of Canada MTN | ||||||||
0.850%, 03/08/16 | 990 | 984 | ||||||
0.644%, 03/08/16 (B) | 500 | 501 | ||||||
0.501%, 01/06/15 (B) | 350 | 350 | ||||||
Royal Bank of Scotland PLC | ||||||||
2.550%, 09/18/15 | 295 | 301 | ||||||
Societe Generale | ||||||||
2.200%, 09/14/13 (A) | 263 | 263 | ||||||
Standard Chartered PLC | ||||||||
1.225%, 05/12/14 (A)(B) | 1,000 | 1,006 | ||||||
Sumitomo Mitsui Banking | ||||||||
1.350%, 07/18/15 | 250 | 252 | ||||||
SunTrust Banks | ||||||||
3.600%, 04/15/16 | 690 | 732 | ||||||
Svenska Handelsbanken | ||||||||
0.722%, 03/21/16 (B) | 500 | 501 | ||||||
Swedbank Hypotek | ||||||||
0.726%, 03/28/14 (A)(B) | 250 | 250 | ||||||
Toronto-Dominion Bank | ||||||||
0.568%, 07/14/14 (B) | 310 | 311 | ||||||
Toronto-Dominion Bank MTN | ||||||||
0.453%, 05/01/15 (B) | 700 | 700 | ||||||
UBS MTN | ||||||||
5.875%, 07/15/16 | 550 | 609 | ||||||
US Bank | ||||||||
0.548%, 10/14/14 (B) | 600 | 601 | ||||||
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 19 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Wells Fargo | ||||||||
1.500%, 07/01/15 | $ | 500 | $ | 506 | ||||
0.895%, 04/23/18 (B) | 650 | 650 | ||||||
Wells Fargo MTN | ||||||||
0.794%, 07/20/16 (B) | 990 | 991 | ||||||
|
| |||||||
30,401 | ||||||||
|
| |||||||
Consumer Products — 1.9% | ||||||||
Amazon.com | ||||||||
0.650%, 11/27/15 | 575 | 574 | ||||||
Costco Wholesale | ||||||||
0.650%, 12/07/15 | 665 | 665 | ||||||
Hasbro | ||||||||
6.125%, 05/15/14 | 500 | 520 | ||||||
Kimberly-Clark | ||||||||
0.394%, 05/15/16 (B) | 800 | 799 | ||||||
Maytag MTN | ||||||||
6.450%, 08/15/14 | 550 | 581 | ||||||
Newell Rubbermaid | ||||||||
2.000%, 06/15/15 | 450 | 457 | ||||||
Walgreen | ||||||||
0.772%, 03/13/14 (B) | 530 | 531 | ||||||
|
| |||||||
4,127 | ||||||||
|
| |||||||
Energy — 2.3% | ||||||||
BP Capital Markets PLC | ||||||||
0.785%, 05/10/18 (B) | 750 | 751 | ||||||
0.700%, 11/06/15 | 865 | 863 | ||||||
Enterprise Products Operating LLC | ||||||||
1.250%, 08/13/15 | 45 | 45 | ||||||
Petrobras Global Finance | ||||||||
1.894%, 05/20/16 (B) | 1,565 | 1,558 | ||||||
Schlumberger Investment | ||||||||
0.824%, 09/12/14 (A)(B) | 575 | 578 | ||||||
Schlumberger Norge | ||||||||
1.250%, 08/01/17 (A) | 145 | 142 | ||||||
Total Capital Canada | ||||||||
0.648%, 01/15/16 (B) | 900 | 906 | ||||||
TransCanada PipeLines | ||||||||
0.750%, 01/15/16 | 350 | 348 | ||||||
|
| |||||||
5,191 | ||||||||
|
| |||||||
Financial Services — 7.3% | ||||||||
American Honda Finance | ||||||||
0.648%, 05/26/16 (A)(B) | 815 | 815 | ||||||
American Honda Finance MTN | ||||||||
1.000%, 08/11/15 (A) | 400 | 401 | ||||||
Caisse Centrale Desjardins du Quebec | ||||||||
1.700%, 09/16/13 (A) | 660 | 661 | ||||||
CDP Financial | ||||||||
3.000%, 11/25/14 (A) | 440 | 453 | ||||||
Citigroup | ||||||||
4.875%, 05/07/15 | 700 | 740 | ||||||
1.250%, 01/15/16 | 1,085 | 1,078 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Daimler Finance North America LLC | ||||||||
1.250%, 01/11/16 (A) | $ | 700 | $ | 698 | ||||
1.125%, 08/01/18 (A)(B) | 400 | 401 | ||||||
0.945%, 08/01/16 (A)(B) | 910 | 911 | ||||||
ERAC USA Finance LLC | ||||||||
2.250%, 01/10/14 (A) | 135 | 136 | ||||||
1.400%, 04/15/16 (A) | 240 | 239 | ||||||
Ford Motor Credit LLC | ||||||||
1.525%, 05/09/16 (B) | 670 | 671 | ||||||
General Electric Capital | ||||||||
1.303%, 07/02/15 (B) | 355 | 360 | ||||||
0.983%, 04/02/18 (B) | 250 | 251 | ||||||
General Electric Capital MTN | ||||||||
1.145%, 05/09/16 (B) | 500 | 504 | ||||||
1.000%, 01/08/16 | 250 | 249 | ||||||
Glencore Funding LLC | ||||||||
1.431%, 05/27/16 (A)(B) | 700 | 680 | ||||||
Hyundai Capital America | ||||||||
1.625%, 10/02/15 (A) | 685 | 684 | ||||||
International Lease Finance | ||||||||
6.500%, 09/01/14 (A) | 500 | 523 | ||||||
National Rural Utilities Cooperative Finance MTN | ||||||||
0.523%, 05/27/16 (B) | 930 | 929 | ||||||
Nissan Motor Acceptance | ||||||||
4.500%, 01/30/15 (A) | 320 | 337 | ||||||
PACCAR Financial MTN | ||||||||
0.545%, 02/08/16 (B) | 450 | 450 | ||||||
Simon Property Group | ||||||||
6.750%, 05/15/14 | 550 | 567 | ||||||
SLM Student Loan Trust MTN | ||||||||
3.875%, 09/10/15 | 235 | 239 | ||||||
Toyota Motor Credit | ||||||||
0.564%, 05/17/16 (B) | 1,700 | 1,700 | ||||||
USAA Capital | ||||||||
3.500%, 07/17/14 (A) | 250 | 257 | ||||||
Ventas Realty | ||||||||
3.125%, 11/30/15 | 519 | 544 | ||||||
Volkswagen International Finance | ||||||||
2.875%, 04/01/16 (A) | 825 | 860 | ||||||
0.884%, 04/01/14 (A)(B) | 425 | 426 | ||||||
|
| |||||||
16,764 | ||||||||
|
| |||||||
Food, Beverage & Tobacco — 3.2% | ||||||||
Anheuser-Busch InBev Worldwide | ||||||||
4.125%, 01/15/15 | 215 | 226 | ||||||
0.800%, 07/15/15 | 650 | 652 | ||||||
0.628%, 07/14/14 (B) | 300 | 301 | ||||||
BAT International Finance PLC | ||||||||
1.400%, 06/05/15 (A) | 945 | 954 | ||||||
Campbell Soup | ||||||||
0.574%, 08/01/14 (B) | 640 | 641 | ||||||
ConAgra Foods | ||||||||
1.300%, 01/25/16 | 600 | 602 |
20 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Heineken | ||||||||
0.800%, 10/01/15 (A) | $ | 375 | $ | 373 | ||||
Kellogg | ||||||||
0.505%, 02/13/15 (B) | 600 | 600 | ||||||
Kraft Foods Group | ||||||||
1.625%, 06/04/15 | 625 | 635 | ||||||
PepsiCo | ||||||||
0.465%, 07/30/15 (B) | 1,000 | 1,000 | ||||||
Philip Morris International | ||||||||
2.500%, 05/16/16 | 500 | 521 | ||||||
Reynolds American | ||||||||
1.050%, 10/30/15 | 260 | 260 | ||||||
SABMiller Holdings | ||||||||
1.850%, 01/15/15 (A) | 650 | 659 | ||||||
|
| |||||||
7,424 | ||||||||
|
| |||||||
Health Care — 2.7% | ||||||||
AbbVie | ||||||||
1.200%, 11/06/15 (A) | 1,539 | 1,545 | ||||||
Boston Scientific | ||||||||
4.500%, 01/15/15 | 460 | 482 | ||||||
Express Scripts Holding | ||||||||
2.750%, 11/21/14 | 1,200 | 1,229 | ||||||
McKesson | ||||||||
0.950%, 12/04/15 | 235 | 236 | ||||||
Merck | ||||||||
0.464%, 05/18/16 (B) | 510 | 511 | ||||||
Quest Diagnostics | ||||||||
1.123%, 03/24/14 (B) | 735 | 737 | ||||||
Teva Pharmaceutical Finance III 0.772%, 03/21/14 (B) | 620 | 621 | ||||||
Thermo Fisher Scientific | ||||||||
2.050%, 02/21/14 | 137 | 138 | ||||||
UnitedHealth Group | ||||||||
0.398%, 08/28/14 (B) | 350 | 350 | ||||||
WellPoint | ||||||||
1.250%, 09/10/15 | 210 | 212 | ||||||
|
| |||||||
6,061 | ||||||||
|
| |||||||
Industrials — 1.1% | ||||||||
General Electric | ||||||||
0.850%, 10/09/15 | 1,295 | 1,296 | ||||||
Penske Truck Leasing LP | ||||||||
2.500%, 07/11/14 (A) | 70 | 71 | ||||||
Pentair Finance | ||||||||
1.350%, 12/01/15 | 285 | 287 | ||||||
Precision Castparts | ||||||||
0.700%, 12/20/15 | 145 | 145 | ||||||
Tyco Electronics Group | ||||||||
5.950%, 01/15/14 | 710 | 727 | ||||||
|
| |||||||
2,526 | ||||||||
|
| |||||||
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Information Technology — 1.3% | ||||||||
Dell | ||||||||
0.874%, 04/01/14 (B) | $ | 350 | $ | 349 | ||||
Hewlett-Packard | ||||||||
0.673%, 05/30/14 (B) | 1,000 | 998 | ||||||
TSMC Global | ||||||||
0.950%, 04/03/16 (A) | 325 | 320 | ||||||
Western Union | ||||||||
2.375%, 12/10/15 | 85 | 87 | ||||||
Xerox | ||||||||
1.094%, 05/16/14 (B) | 1,345 | 1,345 | ||||||
|
| |||||||
3,099 | ||||||||
|
| |||||||
Insurance — 3.5% | ||||||||
American International Group | ||||||||
4.250%, 09/15/14 | 650 | 673 | ||||||
Berkshire Hathaway | ||||||||
0.800%, 02/11/16 | 350 | 351 | ||||||
ING US | ||||||||
2.900%, 02/15/18 (A) | 350 | 349 | ||||||
MetLife Institutional Funding II | ||||||||
0.641%, 01/06/15 (A)(B) | 910 | 913 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.700%, 06/29/15 (A) | 850 | 863 | ||||||
1.500%, 01/10/18 (A) | 220 | 215 | ||||||
Monumental Global Funding III | ||||||||
0.468%, 01/15/14 (A)(B) | 190 | 190 | ||||||
New York Life Global Funding | ||||||||
0.800%, 02/12/16 (A) | 475 | 472 | ||||||
0.615%, 05/23/16 (A)(B) | 550 | 550 | ||||||
Pricoa Global Funding I | ||||||||
5.450%, 06/11/14 (A) | 600 | 625 | ||||||
Principal Life Global Funding II | ||||||||
1.000%, 12/11/15 (A) | 795 | 796 | ||||||
0.895%, 07/09/14 (A)(B) | 250 | 251 | ||||||
0.643%, 05/27/16 (A)(B) | 370 | 370 | ||||||
Principal Life Income Funding Trusts MTN | ||||||||
5.100%, 04/15/14 | 250 | 258 | ||||||
Prudential Financial MTN | ||||||||
5.100%, 09/20/14 | 462 | 484 | ||||||
Sun Life Financial Global Funding III | ||||||||
0.521%, 10/06/13 (A)(B) | 655 | 655 | ||||||
|
| |||||||
8,015 | ||||||||
|
| |||||||
Investment Banker/Broker Dealer — 2.9% |
| |||||||
Credit Agricole Home Loan | ||||||||
1.016%, 07/21/14 (A)(B) | 400 | 402 | ||||||
Credit Suisse USA | ||||||||
5.125%, 08/15/15 | 200 | 217 | ||||||
Goldman Sachs Group | ||||||||
1.465%, 04/30/18 (B) | 500 | 500 | ||||||
0.769%, 01/12/15 (B) | 705 | 703 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 21 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Goldman Sachs Group MTN | ||||||||
1.600%, 11/23/15 | $ | 500 | $ | 503 | ||||
1.274%, 11/21/14 (B) | 660 | 664 | ||||||
JPMorgan Chase | ||||||||
1.166%, 01/25/18 (B) | 500 | 501 | ||||||
JPMorgan Chase MTN | ||||||||
0.928%, 10/15/15 (B) | 490 | 491 | ||||||
0.893%, 02/26/16 (B) | 1,090 | 1,091 | ||||||
Morgan Stanley | ||||||||
1.523%, 02/25/16 (B) | 1,470 | 1,478 | ||||||
|
| |||||||
6,550 | ||||||||
|
| |||||||
Materials — 1.3% | ||||||||
Anglo American Capital PLC | ||||||||
2.150%, 09/27/13 (A) | 376 | 377 | ||||||
Rio Tinto Finance USA PLC | ||||||||
8.950%, 05/01/14 | 500 | 530 | ||||||
1.113%, 06/17/16 (B) | 705 | 705 | ||||||
Xstrata Finance Canada | ||||||||
2.050%, 10/23/15 (A) | 900 | 896 | ||||||
Yara International | ||||||||
5.250%, 12/15/14 (A) | 350 | 368 | ||||||
|
| |||||||
2,876 | ||||||||
|
| |||||||
Media — 1.3% | ||||||||
Comcast | ||||||||
5.850%, 11/15/15 | 200 | 222 | ||||||
DIRECTV Holdings LLC | ||||||||
3.550%, 03/15/15 | 250 | 260 | ||||||
NBCUniversal Enterprise | ||||||||
0.953%, 04/15/18 (A)(B) | 575 | 580 | ||||||
0.805%, 04/15/16 (A)(B) | 445 | 446 | ||||||
NBCUniversal Media LLC | ||||||||
2.100%, 04/01/14 | 117 | 118 | ||||||
Thomson Reuters | ||||||||
0.875%, 05/23/16 | 650 | 646 | ||||||
Time Warner Cable | ||||||||
7.500%, 04/01/14 | 450 | 469 | ||||||
Viacom | ||||||||
1.250%, 02/27/15 | 247 | 248 | ||||||
|
| |||||||
2,989 | ||||||||
|
| |||||||
Telephones & Telecommunication — 1.8% |
| |||||||
AT&T | ||||||||
0.660%, 02/12/16 (B) | 1,350 | 1,354 | ||||||
British Telecommunications PLC | ||||||||
1.397%, 12/20/13 (B) | 550 | 552 | ||||||
Cellco Partnership | ||||||||
5.550%, 02/01/14 | 660 | 675 | ||||||
Telecom Italia Capital | ||||||||
5.250%, 11/15/13 | 360 | 364 | ||||||
Verizon Communications | ||||||||
0.474%, 03/06/15 (A)(B) | 410 | 409 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Vodafone Group PLC | ||||||||
0.659%, 02/19/16 (B) | $ | 620 | $ | 620 | ||||
|
| |||||||
3,974 | ||||||||
|
| |||||||
Utilities — 1.4% | ||||||||
Dominion Resources | ||||||||
1.800%, 03/15/14 | 620 | 624 | ||||||
Duke Energy | ||||||||
6.300%, 02/01/14 | 590 | 606 | ||||||
Duke Energy Carolinas LLC | ||||||||
5.750%, 11/15/13 | 200 | 203 | ||||||
Duke Energy Indiana | ||||||||
0.619%, 07/11/16 (B) | 85 | 85 | ||||||
Georgia Power | ||||||||
0.625%, 11/15/15 | 700 | 697 | ||||||
NextEra Energy Capital Holdings | ||||||||
1.611%, 06/01/14 | 360 | 363 | ||||||
Northeast Utilities | ||||||||
1.022%, 09/20/13 (B) | 100 | 100 | ||||||
Sempra Energy | ||||||||
1.033%, 03/15/14 (B) | 400 | 401 | ||||||
|
| |||||||
3,079 | ||||||||
|
| |||||||
Total Corporate Obligations | 103,076 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES — 25.7% |
| |||||||
Automotive — 15.8% | ||||||||
Ally Auto Receivables Trust, | ||||||||
0.910%, 11/17/14 | 11 | 11 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.710%, 09/15/14 | 43 | 43 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.700%, 12/21/15 | 410 | 410 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.630%, 05/15/17 | 825 | 821 | ||||||
Ally Auto Receivables Trust, | ||||||||
0.720%, 05/20/16 | 480 | 479 | ||||||
Ally Master Owner Trust, | ||||||||
1.061%, 01/15/16 (B) | 556 | 557 | ||||||
Ally Master Owner Trust, | ||||||||
1.540%, 09/15/16 | 750 | 756 | ||||||
Ally Master Owner Trust, | ||||||||
1.440%, 02/15/17 | 650 | 655 |
22 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Ally Master Owner Trust, | ||||||||
1.210%, 06/15/17 | $ | 480 | $ | 482 | ||||
Ally Master Owner Trust, | ||||||||
0.641%, 02/15/18 (B) | 310 | 309 | ||||||
Ally Master Owner Trust, | ||||||||
0.641%, 04/15/18 (B) | 750 | 746 | ||||||
American Credit Acceptance Receivables Trust, Ser 2012-3, Cl A | ||||||||
1.640%, 11/15/16 (A) | 395 | 395 | ||||||
American Credit Acceptance Receivables Trust, Ser 2013-2, Cl A | ||||||||
1.320%, 02/15/17 (A) | 390 | 390 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3 | ||||||||
1.140%, 04/08/15 | 10 | 10 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B | ||||||||
1.990%, 10/08/15 | 1,607 | 1,612 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3 | ||||||||
3.510%, 07/06/17 | 189 | 193 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3 | ||||||||
1.170%, 01/08/16 | 820 | 822 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
0.910%, 10/08/15 | 64 | 64 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2012-5, Cl A3 | ||||||||
0.620%, 06/08/17 | 575 | 572 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-1, Cl A2 | ||||||||
0.490%, 06/08/16 | 420 | 420 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl A3 | ||||||||
0.650%, 12/08/17 | 490 | 486 | ||||||
ARI Fleet Lease Trust, Ser 2012-A, Cl A | ||||||||
0.741%, 03/15/20 (A)(B) | 87 | 87 | ||||||
ARI Fleet Lease Trust, Ser 2012-B, Cl A | ||||||||
0.491%, 01/15/21 (A)(B) | 778 | 777 | ||||||
ARI Fleet Lease Trust, Ser 2013-A, Cl A2 | ||||||||
0.700%, 12/15/15 (A) | 325 | 324 | ||||||
Avis Budget Rental Car Funding, | ||||||||
3.630%, 08/20/14 (A) | 29 | 29 | ||||||
Avis Budget Rental Car Funding, | ||||||||
1.850%, 11/20/14 (A) | 280 | 281 | ||||||
California Republic Auto Receivables Trust, Ser 2013-1, Cl A2 | ||||||||
1.410%, 09/17/18 (A) | 1,235 | 1,232 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
CarMax Auto Owner Trust, | ||||||||
2.820%, 12/15/14 | $ | 249 | $ | 250 | ||||
CarMax Auto Owner Trust, | ||||||||
1.410%, 02/16/15 | 46 | 46 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.990%, 02/17/15 | 92 | 92 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.890%, 09/15/16 | 260 | 261 | ||||||
CarMax Auto Owner Trust, | ||||||||
0.520%, 07/17/17 | 370 | 369 | ||||||
CarMax Auto Owner Trust, | ||||||||
1.500%, 08/15/18 | 120 | 119 | ||||||
CFC LLC, Ser 2013-1A, Cl A | ||||||||
1.650%, 07/17/17 (A) | 99 | 99 | ||||||
Chesapeake Funding LLC, | ||||||||
1.445%, 04/07/24 (A)(B) | 555 | 560 | ||||||
Chesapeake Funding LLC, | ||||||||
0.945%, 11/07/23 (A)(B) | 291 | 292 | ||||||
Chesapeake Funding LLC, | ||||||||
0.645%, 05/07/24 (A)(B) | 580 | 581 | ||||||
Chesapeake Funding LLC, | ||||||||
0.645%, 01/07/25 (A)(B) | 325 | 325 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
1.210%, 10/15/20 (A) | 290 | 289 | ||||||
Enterprise Fleet Financing LLC, | ||||||||
1.140%, 11/20/17 (A) | 195 | 195 | ||||||
Enterprise Fleet Financing LLC, | ||||||||
0.680%, 09/20/18 (A) | 515 | 515 | ||||||
First Investors Auto Owner Trust, | ||||||||
1.470%, 05/15/18 (A) | 458 | 461 | ||||||
First Investors Auto Owner Trust, | ||||||||
0.900%, 10/15/18 (A) | 276 | 275 | ||||||
First Investors Auto Owner Trust, | ||||||||
1.230%, 03/15/19 (A) | 500 | 499 | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.630%, 04/15/14 | 30 | 30 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 23 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Ford Credit Auto Lease Trust, | ||||||||
0.570%, 09/15/15 | $ | 455 | $ | 454 | ||||
Ford Credit Auto Owner Trust, | ||||||||
1.880%, 08/15/17 | 475 | 484 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A2 | ||||||||
0.791%, 02/15/16 (B) | 208 | 208 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2013-1, Cl A2 | ||||||||
0.573%, 01/15/18 (B) | 1,145 | 1,139 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2011-1, Cl A | ||||||||
0.792%, 07/20/16 (B) | 250 | 251 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-1, Cl A | ||||||||
0.762%, 02/20/17 (B) | 1,195 | 1,200 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-3, Cl A | ||||||||
0.682%, 06/20/17 (B) | 985 | 988 | ||||||
GE Dealer Floorplan Master Note Trust, Ser 2012-4, Cl A | ||||||||
0.632%, 10/20/17 (B) | 1,405 | 1,408 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.960%, 05/16/16 | 319 | 319 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.710%, 05/15/15 | 8 | 8 | ||||||
Harley-Davidson Motorcycle Trust, | ||||||||
0.680%, 04/15/17 | 390 | 390 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
2.600%, 02/25/15 (A) | 835 | 840 | ||||||
Hertz Vehicle Financing LLC, | ||||||||
2.200%, 03/25/16 (A) | 445 | 453 | ||||||
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3 | ||||||||
0.940%, 03/18/15 | 91 | 92 | ||||||
Honda Auto Receivables Owner Trust, Ser 2012-3, Cl A3 | ||||||||
0.560%, 05/15/16 | 355 | 355 | ||||||
Honda Auto Receivables Owner Trust, Ser 2013-1, Cl A3 | ||||||||
0.480%, 11/21/16 | 202 | 201 | ||||||
Huntington Auto Trust, | ||||||||
0.510%, 04/17/17 | 520 | 518 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A3 | ||||||||
1.020%, 08/15/14 (A) | 273 | 273 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Hyundai Auto Receivables Trust, | ||||||||
0.970%, 04/15/15 | $ | 46 | $ | 46 | ||||
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3 | ||||||||
0.850%, 03/16/15 | 76 | 76 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2012-1, Cl A3 | ||||||||
0.470%, 10/17/16 | 430 | 429 | ||||||
Mercedes-Benz Master Owner Trust, | ||||||||
0.790%, 11/15/17 (A) | 360 | 358 | ||||||
Mercedes-Benz Master Owner Trust, | ||||||||
0.461%, 11/15/16 (A)(B) | 820 | 817 | ||||||
Motor PLC, Ser 2013-1A, Cl A1 | ||||||||
0.690%, 02/25/21 (A)(B) | 310 | 207 | ||||||
Navistar Financial Dealer Note Master Owner Trust II, Ser 2011-1, Cl A | ||||||||
1.340%, 10/25/16 (A)(B) | 200 | 200 | ||||||
Navistar Financial Owner Trust, Ser 2012-A, Cl A2 | ||||||||
0.850%, 03/18/15 (A) | 425 | 425 | ||||||
Nissan Auto Receivables Owner Trust, Ser 2010-A, Cl A4 | ||||||||
1.310%, 09/15/16 | 250 | 251 | ||||||
Nissan Master Owner Trust Receivables, Ser 2012-A, Cl A | ||||||||
0.663%, 05/15/17 (B) | 65 | 65 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2011-1, Cl A3 | ||||||||
1.090%, 09/22/14 (A) | 124 | 124 | ||||||
Porsche Innovative Lease Owner Trust, Ser 2012-1, Cl A3 | ||||||||
0.540%, 12/21/15 (A) | 381 | 380 | ||||||
Prestige Auto Receivables Trust, | ||||||||
1.090%, 02/15/18 (A) | 995 | 993 | ||||||
Santander Drive Auto Receivables Trust, Ser 2010-2, Cl C | ||||||||
3.890%, 07/17/17 | 390 | 399 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2 | ||||||||
1.250%, 04/15/15 | 221 | 221 | ||||||
Santander Drive Auto Receivables Trust, Ser 2012-4, Cl A2 | ||||||||
0.790%, 08/17/15 | 288 | 289 | ||||||
Santander Drive Auto Receivables Trust, Ser 2013-1, Cl A2 | ||||||||
0.480%, 02/16/16 | 258 | 258 | ||||||
SNAAC Auto Receivables Trust, Ser 2013-1A, Cl A | ||||||||
1.140%, 07/16/18 (A) | 254 | 254 |
24 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Volkswagen Auto Lease Trust, | ||||||||
0.630%, 12/21/15 | $ | 510 | $ | 510 | ||||
Volkswagen Auto Loan Enhanced Trust, | ||||||||
0.610%, 10/20/14 | 41 | 41 | ||||||
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A4 | ||||||||
1.780%, 09/15/16 | 285 | 286 | ||||||
World Omni Automobile Lease Securitization Trust, Ser 2012-A, Cl A3 | ||||||||
0.930%, 11/16/15 | 1,191 | 1,191 | ||||||
World Omni Master Owner Trust, | ||||||||
0.543%, 02/15/18 (A)(B) | 555 | 552 | ||||||
|
| |||||||
36,174 | ||||||||
|
| |||||||
Credit Card — 1.7% |
| |||||||
Chase Issuance Trust, | ||||||||
0.610%, 07/15/20 (B) | 550 | 550 | ||||||
Dryrock Issuance Trust, Ser 2012-1, Cl A | ||||||||
0.341%, 08/15/17 (B) | 305 | 304 | ||||||
Dryrock Issuance Trust, Ser 2012-2, Cl A | ||||||||
0.640%, 08/15/18 | 480 | 476 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2009-4, Cl A | ||||||||
3.800%, 11/15/17 | 325 | 338 | ||||||
GE Capital Credit Card Master Note Trust, Ser 2012-5, Cl A | ||||||||
0.950%, 06/15/18 | 590 | 592 | ||||||
Golden Credit Card Trust, | ||||||||
0.790%, 09/15/17 (A) | 575 | 576 | ||||||
Gracechurch Card Funding PLC, | ||||||||
0.891%, 02/15/17 (A)(B) | 600 | 603 | ||||||
Master Credit Card Trust, | ||||||||
0.780%, 04/21/17 (A) | 360 | 358 | ||||||
|
| |||||||
3,797 | ||||||||
|
| |||||||
Miscellaneous Business Services — 6.9% |
| |||||||
Apidos CDO, Ser 2013-12A, Cl A | ||||||||
1.373%, 04/15/25 (A)(B) | 600 | 599 | ||||||
Atrium CDO, Ser 2013-10A, Cl A | ||||||||
1.396%, 07/16/25 (A)(B) | 605 | 601 | ||||||
Babson CLO, Ser 2013-IA, Cl A | ||||||||
1.312%, 04/20/25 (A)(B) | 650 | 650 | ||||||
CIFC Funding, Ser 2013-1A, Cl A1 | ||||||||
1.432%, 04/16/25 (A)(B) | 485 | 485 | ||||||
New York City Tax Lien, Ser 2013-A, Cl A | ||||||||
1.190%, 11/10/26 | 225 | 225 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
CNH Equipment Trust, Ser 2010-C, Cl A3 | ||||||||
1.170%, 05/15/15 | $ | 60 | $ | 60 | ||||
CNH Equipment Trust, Ser 2011-C, Cl A2 | ||||||||
0.900%, 04/15/15 | 5 | 5 | ||||||
CNH Equipment Trust, Ser 2012-B, Cl A3 | ||||||||
0.860%, 09/15/17 | 275 | 275 | ||||||
CNH Equipment Trust, Ser 2012-C, Cl A3 | ||||||||
0.570%, 12/15/17 | 280 | 279 | ||||||
GE Equipment Midticket LLC, | ||||||||
1.470%, 07/14/15 (A) | 179 | 179 | ||||||
GE Equipment Midticket LLC, | ||||||||
0.600%, 05/23/16 | 270 | 270 | ||||||
GE Equipment Midticket LLC, | ||||||||
0.470%, 01/22/15 | 213 | 213 | ||||||
GE Equipment Small Ticket LLC, | ||||||||
1.140%, 06/23/14 (A) | 20 | 20 | ||||||
GE Equipment Transportation LLC, | ||||||||
1.330%, 05/20/19 | 240 | 241 | ||||||
GE Equipment Transportation LLC, | ||||||||
0.770%, 09/22/14 | 172 | 172 | ||||||
GE Equipment Transportation LLC, | ||||||||
0.990%, 11/23/15 | 135 | 135 | ||||||
GE Equipment Transportation LLC, | ||||||||
0.620%, 07/25/16 | 856 | 853 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2012-T2, Cl A2 | ||||||||
1.990%, 10/15/45 (A) | 300 | 301 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl A2 | ||||||||
1.495%, 01/16/46 (A) | 200 | 198 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T1, Cl A1 | ||||||||
0.898%, 01/15/44 (A) | 745 | 745 | ||||||
HLSS Servicer Advance Receivables Backed Notes, Ser 2013-T2, Cl A2 | ||||||||
1.147%, 05/16/44 (A) | 211 | 209 | ||||||
John Deere Owner Trust, | ||||||||
0.430%, 02/17/15 | 366 | 366 | ||||||
John Deere Owner Trust, | ||||||||
0.600%, 03/15/17 | 825 | 821 | ||||||
Katonah CLO, Ser 2005-7A, Cl B | ||||||||
0.695%, 11/15/17 (A)(B) | 504 | 489 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 25 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Macquarie Equipment Funding Trust, | ||||||||
0.610%, 04/20/15 (A) | $ | 620 | $ | 620 | ||||
Madison Park Funding CLO, | ||||||||
0.573%, 03/22/21 (A)(B) | 420 | 398 | ||||||
MMAF Equipment Finance LLC, | ||||||||
0.840%, 01/12/15 (A) | 264 | 264 | ||||||
Nelnet Education Loan Funding, | ||||||||
0.413%, 08/26/19 (B) | 162 | 161 | ||||||
Oak Hill Credit Partners, | ||||||||
1.395%, 04/20/25 (A)(B) | 360 | 358 | ||||||
Octagon Investment Partners XVI, | ||||||||
1.392%, 07/17/25 (A)(B) | 550 | 549 | ||||||
OHA Intrepid Leveraged Loan Fund, | ||||||||
1.186%, 04/20/21 (A)(B) | 596 | 596 | ||||||
Securitized Asset-Backed Receivables LLC, Ser 2005-FR4, Cl M1 | ||||||||
0.910%, 01/25/36 (B) | 19 | 19 | ||||||
Sierra Receivables Funding LLC, | ||||||||
1.192%, 09/20/19 (A)(B) | 51 | 51 | ||||||
SLM Student Loan Trust, | ||||||||
0.356%, 07/25/22 (B) | 31 | 31 | ||||||
SLM Student Loan Trust, | ||||||||
0.366%, 01/25/23 (B) | 91 | 91 | ||||||
SLM Student Loan Trust, | ||||||||
0.346%, 04/25/23 (B) | 317 | 317 | ||||||
SLM Student Loan Trust, | ||||||||
0.266%, 07/25/17 (B) | 289 | 288 | ||||||
SLM Student Loan Trust, | ||||||||
1.366%, 10/25/16 (B) | 228 | 229 | ||||||
SLM Student Loan Trust, | ||||||||
0.710%, 03/25/26 (B) | 727 | 721 | ||||||
SLM Student Loan Trust, | ||||||||
1.191%, 10/15/24 (A)(B) | 145 | 145 | ||||||
SLM Student Loan Trust, | ||||||||
1.041%, 12/16/24 (A)(B) | 456 | 456 | ||||||
SLM Student Loan Trust, | ||||||||
0.390%, 11/25/16 (B) | 464 | 463 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
SLM Student Loan Trust, | ||||||||
0.350%, 02/27/17 (B) | $ | 267 | $ | 267 | ||||
SLM Student Loan Trust, | ||||||||
0.350%, 02/27/17 (B) | 393 | 392 | ||||||
SLM Student Loan Trust, | ||||||||
0.340%, 02/27/17 (B) | 291 | 290 | ||||||
SMS Student Loan Trust, | ||||||||
0.464%, 04/28/29 (B) | 122 | 121 | ||||||
Volvo Financial Equipment LLC, | ||||||||
0.740%, 03/15/17 (A) | 350 | 348 | ||||||
|
| |||||||
15,566 | ||||||||
|
| |||||||
Mortgage Related — 1.3% | ||||||||
Accredited Mortgage Loan Trust, | ||||||||
0.530%, 01/25/35 (B) | 303 | 295 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.482%, 01/20/34 (B) | 394 | 387 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.352%, 01/20/36 (B) | 1,619 | 1,575 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.342%, 03/20/36 (B) | 323 | 316 | ||||||
HSBC Home Equity Loan Trust, | ||||||||
0.432%, 03/20/36 (B) | 510 | 490 | ||||||
|
| |||||||
3,063 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 58,600 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES — 22.3% |
| |||||||
Agency Mortgage-Backed Obligations — 8.2% |
| |||||||
FHLMC | ||||||||
2.218%, 02/01/22 (B) | 194 | 207 | ||||||
2.195%, 02/01/30 (B) | 149 | 157 | ||||||
FHLMC REMIC, Ser 1993-1599, Cl C | ||||||||
6.100%, 10/15/23 | 10 | 10 | ||||||
FHLMC REMIC, Ser 2003-2654, Cl OG | ||||||||
5.000%, 02/15/32 | 72 | 72 | ||||||
FHLMC REMIC, Ser 2004-2778, Cl JD | ||||||||
5.000%, 12/15/32 | 76 | 78 | ||||||
FHLMC REMIC, Ser 2004-2793, Cl GE | ||||||||
5.500%, 11/15/32 | 138 | 139 | ||||||
FHLMC REMIC, Ser 2004-2890, Cl KC | ||||||||
4.500%, 02/15/19 | 27 | 28 |
26 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
FHLMC REMIC, Ser 2005-2931, Cl AM | ||||||||
4.500%, 07/15/19 | $ | 73 | $ | 74 | ||||
FHLMC REMIC, Ser 2005-3019, Cl DB | ||||||||
4.500%, 05/15/19 | 24 | 24 | ||||||
FHLMC REMIC, Ser 2009-3558, Cl AW | ||||||||
4.750%, 08/15/19 | 110 | 112 | ||||||
FNMA | ||||||||
6.000%, 01/01/27 | 108 | 119 | ||||||
5.390%, 11/01/13 | 58 | 58 | ||||||
5.000%, 04/01/21 to 03/01/25 | 1,666 | 1,786 | ||||||
4.710%, 03/01/14 | 905 | 908 | ||||||
2.340%, 01/01/29 (B) | 23 | 24 | ||||||
2.245%, 11/01/25 (B) | 18 | 19 | ||||||
2.153%, 11/01/23 (B) | 52 | 53 | ||||||
2.100%, 09/01/24 (B) | 48 | 50 | ||||||
2.097%, 09/01/24 (B) | 124 | 129 | ||||||
2.044%, 05/01/28 (B) | 102 | 107 | ||||||
1.990%, 01/01/17 | 480 | 483 | ||||||
1.940%, 01/01/17 | 564 | 573 | ||||||
1.278%, 11/01/21 (B) | 29 | 29 | ||||||
FNMA Benchmark REMIC, | ||||||||
5.450%, 12/25/20 | 85 | 86 | ||||||
FNMA REMIC, Ser 1993-220, Cl FA | ||||||||
0.790%, 11/25/13 (B) | 1 | 1 | ||||||
FNMA REMIC, Ser 1993-58, Cl H | ||||||||
5.500%, 04/25/23 | 31 | 34 | ||||||
FNMA REMIC, Ser 2001-33, Cl FA | ||||||||
0.640%, 07/25/31 (B) | 36 | 36 | ||||||
FNMA REMIC, Ser 2002-64, Cl FG | ||||||||
0.441%, 10/18/32 (B) | 28 | 28 | ||||||
FNMA REMIC, Ser 2002-77, Cl CB | ||||||||
5.000%, 12/25/17 | 312 | 331 | ||||||
FNMA REMIC, Ser 2010-64, Cl EH | ||||||||
5.000%, 10/25/35 | 66 | 69 | ||||||
FNMA REMIC, Ser 2011-109, Cl PK | ||||||||
4.000%, 08/25/41 | 241 | 249 | ||||||
FNMA, Ser 2009-M2, Cl A1 | ||||||||
2.387%, 01/25/19 | 397 | 398 | ||||||
FNMA, Ser M3, Cl A1 | ||||||||
2.587%, 03/25/20 | 248 | 252 | ||||||
FNMA TBA | ||||||||
3.000%, 08/25/26 | 4,200 | 4,321 | ||||||
2.500%, 08/25/27 | 2,500 | 2,498 | ||||||
GNMA | ||||||||
4.500%, 09/20/39 (B) | 176 | 182 | ||||||
GNMA, Ser 2009-104, Cl NJ | ||||||||
4.250%, 07/20/36 | 87 | 91 | ||||||
GNMA, Ser 2009-113, Cl MJ | ||||||||
4.000%, 03/16/23 | 662 | 696 | ||||||
GNMA, Ser 2010-122, Cl A | ||||||||
1.897%, 01/16/32 | 197 | 198 | ||||||
GNMA, Ser 2011-110, Cl A | ||||||||
2.237%, 03/16/33 | 292 | 296 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Mortgage-Linked Amortizing Notes, | ||||||||
2.060%, 01/15/22 | $ | 147 | $ | 148 | ||||
NCUA Guaranteed Notes, | ||||||||
1.840%, 10/07/20 | 42 | 42 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.643%, 10/07/20 (B) | 804 | 804 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.563%, 11/06/17 (B) | 282 | 281 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.645%, 01/08/20 (B) | 613 | 616 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.593%, 02/06/20 (B) | 327 | 327 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.593%, 03/11/20 (B) | 829 | 832 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.575%, 03/06/20 (B) | 454 | 452 | ||||||
NCUA Guaranteed Notes, | ||||||||
0.573%, 05/07/20 (B) | 262 | 262 | ||||||
|
| |||||||
18,769 | ||||||||
|
| |||||||
Non-Agency Mortgage-Backed Obligations — 14.1% |
| |||||||
Arkle Master Issuer PLC, | ||||||||
1.674%, 05/17/60 (A)(B) | 876 | 876 | ||||||
Arkle Master Issuer PLC, | ||||||||
1.518%, 05/17/60 (A)(B) | 400 | 400 | ||||||
Banc of America Mortgage Securities, | ||||||||
2.954%, 07/25/35 (A)(B) | 450 | 419 | ||||||
Banc of America Mortgage Securities, | ||||||||
3.100%, 11/25/35 (A)(B) | 53 | 46 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1 | ||||||||
2.899%, 02/25/36 (A)(B) | 129 | 98 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1 | ||||||||
3.452%, 06/25/35 (A)(B) | 175 | 149 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1 | ||||||||
2.826%, 08/25/35 (A)(B) | 290 | 235 | ||||||
Bear Stearns Commercial Mortgage Securities Trust, Ser 2005-PWR8, Cl A4 | ||||||||
4.674%, 06/11/41 | 570 | 600 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Bear Stearns Commercial Mortgage Securities Trust, Ser 2005-T18, Cl A4 | ||||||||
4.933%, 02/13/42 (B) | $ | 488 | $ | 511 | ||||
Bear Stearns Commercial Mortgage Securities, Ser 2002-TOP8, Cl A2 | ||||||||
4.830%, 08/15/38 | 3 | 3 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2003-PWR2, Cl A4 | ||||||||
5.355%, 05/11/39 (B) | 80 | 80 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2005-PW10, Cl A4 | ||||||||
5.405%, 12/11/40 (B) | 500 | 537 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW18, Cl A2 | ||||||||
5.613%, 06/11/50 | 98 | 99 | ||||||
Bear Stearns Commercial Mortgage Securities, Ser PWR5, Cl A5 | ||||||||
4.978%, 07/11/42 (B) | 130 | 134 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2004-C2, Cl A5 | ||||||||
4.733%, 10/15/41 | 800 | 827 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1 | ||||||||
0.685%, 09/10/45 | 376 | 374 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.740%, 09/25/34 (A)(B) | 85 | 84 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
2.922%, 03/25/36 (A)(B) | 251 | 206 | ||||||
Citigroup Mortgage Loan Trust, | ||||||||
0.463%, 01/25/36 (B) | 49 | 49 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser CR9, Cl A1 | ||||||||
1.344%, 07/10/45 | 175 | 176 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2010-C1, Cl A1 | ||||||||
3.156%, 07/10/46 (A) | 519 | 539 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR2, Cl A1 | ||||||||
0.824%, 08/15/45 | 291 | 290 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A1 | ||||||||
0.666%, 11/15/45 | 259 | 256 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR4, Cl A1 | ||||||||
0.704%, 10/15/45 | 413 | 410 | ||||||
Commercial Mortgage Trust, | ||||||||
5.317%, 06/10/36 (B) | 63 | 64 | ||||||
Commercial Mortgage Trust, | ||||||||
1.156%, 12/10/44 | 311 | 312 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
Countrywide Home Loans, | ||||||||
0.730%, 02/25/35 (A)(B) | $ | 36 | $ | 33 | ||||
Countrywide Home Loans, | ||||||||
2.806%, 02/20/36 (A)(B) | 222 | 177 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2003-C5, Cl A4 | ||||||||
4.900%, 12/15/36 (B) | 172 | 173 | ||||||
Credit Suisse First Boston Mortgage Securities, Ser 2004-C3, Cl A5 | ||||||||
5.113%, 07/15/36 (B) | 50 | 51 | ||||||
DBUBS Mortgage Trust, | ||||||||
3.742%, 11/10/46 (A) | 520 | 551 | ||||||
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A | ||||||||
0.745%, 02/25/48 (A)(B) | 313 | 313 | ||||||
FDIC Trust, Ser 2012-C1, Cl A | ||||||||
0.841%, 05/25/35 (A)(B) | 539 | 539 | ||||||
Fosse Master Issuer PLC, | ||||||||
1.666%, 10/18/54 (A)(B) | 531 | 535 | ||||||
GE Capital Commercial Mortgage, | ||||||||
5.189%, 07/10/39 (B) | 602 | 621 | ||||||
GMAC Commercial Mortgage Securities, Ser 2003-C2, Cl A2 | ||||||||
5.459%, 05/10/40 (B) | 24 | 24 | ||||||
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4 | ||||||||
4.547%, 12/10/41 | 48 | 48 | ||||||
GMAC Mortgage Loan Trust, | ||||||||
3.808%, 11/19/35 (A)(B) | 275 | 237 | ||||||
Granite Master Issuer PLC, | ||||||||
0.272%, 12/20/54 (A)(B) | 540 | 526 | ||||||
Greenwich Capital Commercial Funding, Ser 2003-C2, Cl A4 | ||||||||
4.915%, 01/05/36 | 48 | 48 | ||||||
GS Mortgage Securities II, | ||||||||
5.279%, 08/10/38 (B) | 138 | 138 | ||||||
GS Mortgage Securities II, | ||||||||
1.456%, 03/06/20 (A)(B) | 734 | 736 | ||||||
GS Mortgage Securities II, | ||||||||
3.849%, 12/10/43 (A) | 537 | 569 | ||||||
GS Mortgage Securities II, | ||||||||
2.331%, 03/10/44 (A) | 224 | 228 |
28 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
GS Mortgage Securities II, | ||||||||
0.662%, 11/10/45 | $ | 297 | $ | 295 | ||||
GS Mortgage Securities Trust, | ||||||||
1.206%, 07/10/46 | 175 | 175 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.831%, 07/25/35 (A)(B) | 311 | 247 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.796%, 01/25/36 (A)(B) | 402 | 356 | ||||||
GSR Mortgage Loan Trust, | ||||||||
2.868%, 05/25/47 (A)(B) | 296 | 228 | ||||||
Impac CMB Trust, Ser 2004-9, Cl 1A1 | ||||||||
0.950%, 01/25/35 (A)(B) | 85 | 77 | ||||||
Impac CMB Trust, Ser 2005-2, Cl 1A1 | ||||||||
0.710%, 04/25/35 (A)(B) | 95 | 84 | ||||||
Impac CMB Trust, Ser 2005-3, Cl A1 | ||||||||
0.670%, 08/25/35 (A)(B) | 88 | 73 | ||||||
Impac CMB Trust, Ser 2005-5, Cl A1 | ||||||||
0.830%, 08/25/35 (A)(B) | 71 | 59 | ||||||
Impac CMB Trust, Ser 2005-8, Cl 1A | ||||||||
0.450%, 02/25/36 (A)(B) | 228 | 184 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2003-LN1, Cl A2 | ||||||||
4.920%, 10/15/37 (B) | 93 | 93 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2004-C1, Cl A3 | ||||||||
4.719%, 01/15/38 | 298 | 301 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A3A2 | ||||||||
4.903%, 10/15/42 | 362 | 375 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2010-C1, Cl A1 | ||||||||
3.853%, 06/15/43 (A) | 537 | 561 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C3, Cl A1 | ||||||||
1.875%, 02/15/46 (A) | 213 | 215 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1 | ||||||||
1.525%, 07/15/46 (A) | 271 | 272 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2012-C8, Cl A1 | ||||||||
0.705%, 10/15/45 | 198 | 196 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-C13 | ||||||||
1.303%, 01/15/46 | 240 | 240 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser C2, Cl A3 | ||||||||
5.212%, 05/15/41 (B) | 300 | 307 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser CB9, Cl A4 | ||||||||
5.569%, 06/12/41 (B) | $ | 576 | $ | 595 | ||||
JPMorgan Mortgage Trust, | ||||||||
3.010%, 08/25/35 (A)(B) | 182 | 167 | ||||||
JPMorgan Mortgage Trust, | ||||||||
2.726%, 05/25/37 (A)(B) | 226 | 177 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.124%, 11/15/32 (B) | 148 | 148 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
5.020%, 08/15/29 (B) | 790 | 807 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.475%, 10/15/29 | 225 | 233 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.786%, 10/15/29 (B) | 285 | 294 | ||||||
LB-UBS Commercial Mortgage Trust, | ||||||||
4.799%, 12/15/29 (B) | 440 | 454 | ||||||
Merill Lynch Mortgage Trust, | ||||||||
4.855%, 10/12/41 (B) | 617 | 638 | ||||||
Merrill Lynch Mortgage Investors, | ||||||||
0.460%, 04/25/35 (A)(B) | 92 | 87 | ||||||
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1 | ||||||||
3.124%, 06/25/37 (A)(B) | 349 | 262 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl A1 | ||||||||
0.664%, 11/15/45 | 167 | 166 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
5.270%, 06/13/41 (B) | 505 | 518 | ||||||
Morgan Stanley Capital I, | ||||||||
5.150%, 06/13/41 | 18 | 18 | ||||||
Morgan Stanley Capital I, | ||||||||
4.800%, 01/13/41 | 272 | 274 | ||||||
Morgan Stanley Capital I, | ||||||||
5.110%, 06/15/40 (B) | 683 | 700 | ||||||
Morgan Stanley Capital I, | ||||||||
4.660%, 09/13/45 | 618 | 622 | ||||||
Morgan Stanley Re-Remic Trust, | ||||||||
1.000%, 03/27/51 (A) | 477 | 472 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Continued)
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
0.450%, 12/25/35 (A)(B) | $ | 321 | $ | 279 | ||||
Paragon Mortgages PLC, | ||||||||
0.495%, 11/15/38 (A)(B) | 125 | 108 | ||||||
Paragon Mortgages PLC, | ||||||||
0.493%, 12/15/39 (A)(B) | 299 | 255 | ||||||
Residential Funding Mortgage Securities I, Ser 2007-SA3, Cl 2A1 | ||||||||
3.953%, 07/27/37 (A)(B) | 254 | 204 | ||||||
Sequoia Mortgage Trust, | ||||||||
0.462%, 01/20/35 (A)(B) | 40 | 36 | ||||||
Silverstone Master Issuer PLC, | ||||||||
1.816%, 01/21/55 (A)(B) | 150 | 153 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
1.270%, 06/25/58 (A)(B) | 406 | 399 | ||||||
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1 | ||||||||
0.726%, 08/10/49 | 427 | 424 | ||||||
UBS-Citigroup Commercial Mortgage Trust, Ser 2011-C1, Cl A1 | ||||||||
1.524%, 01/10/45 | 744 | 751 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2003-C8, Cl A4 | ||||||||
4.964%, 11/15/35 (B) | 160 | 162 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C21, Cl A4 | ||||||||
5.414%, 10/15/44 (B) | 303 | 325 | ||||||
Wachovia Bank Commercial Mortgage Trust, Ser 2005-C22, Cl A4 | ||||||||
5.290%, 12/15/44 (B) | 300 | 323 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 | ||||||||
2.490%, 03/25/36 (A)(B) | 364 | 314 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1 | ||||||||
0.687%, 10/15/45 | 435 | 431 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2 | ||||||||
2.625%, 01/25/35 (A)(B) | 181 | 179 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1 | ||||||||
2.634%, 07/25/36 (A)(B) | 298 | 270 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1 | ||||||||
3.010%, 09/25/36 (A)(B) | 209 | 186 | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
2.501%, 02/15/44 (A) | 927 | 942 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
1.988%, 03/15/44 (A) | $ | 518 | $ | 526 | ||||
WF-RBS Commercial Mortgage Trust, | ||||||||
0.734%, 12/15/45 | 912 | 905 | ||||||
WF-RBS Commercial Mortgage Trust, | ||||||||
0.673%, 11/15/45 | 526 | 521 | ||||||
|
| |||||||
31,984 | ||||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 50,753 | ||||||
|
| |||||||
MUNICIPAL BONDS — 5.1% |
| |||||||
California — 0.5% |
| |||||||
California State, GO | ||||||||
5.450%, 04/01/15 | 355 | 380 | ||||||
Irvine Ranch, Water District Joint Powers Agency, RB | ||||||||
2.605%, 03/15/14 | 750 | 759 | ||||||
|
| |||||||
1,139 | ||||||||
|
| |||||||
Florida — 0.3% |
| |||||||
Florida, Hurricane Catastrophe Fund Finance, Ser A, RB | ||||||||
1.298%, 07/01/16 | 620 | 616 | ||||||
|
| |||||||
Illinois — 0.5% |
| |||||||
Illinois State, GO | ||||||||
4.071%, 01/01/14 | 625 | 632 | ||||||
Regional Transportation Authority, | ||||||||
1.064%, 06/01/14 | 295 | 296 | ||||||
1.044%, 04/01/14 | 290 | 291 | ||||||
|
| |||||||
1,219 | ||||||||
|
| |||||||
Louisiana — 0.0% |
| |||||||
Louisiana State, Local Government Environmental Facilities and Community Development Authority, | ||||||||
1.110%, 02/01/16 | 94 | 94 | ||||||
|
| |||||||
Michigan — 0.3% | ||||||||
Kalamazoo, Hospital Finance Authority, | ||||||||
3.125%, 05/15/41 (B) | 750 | 768 | ||||||
|
| |||||||
Nebraska — 0.2% | ||||||||
Nebraska, Public Power District, | ||||||||
5.140%, 01/01/14 | 410 | 418 | ||||||
|
|
30 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
New Jersey — 1.2% |
| |||||||
New Jersey State, Economic Development Authority, Ser 00, RB | ||||||||
1.059%, 03/01/16 | $ | 500 | $ | 497 | ||||
New Jersey State, Transportation Trust Fund Authority, Ser B, RB | ||||||||
1.087%, 12/15/16 | 1,250 | 1,242 | ||||||
New Jersey State, Turnpike Authority, | ||||||||
4.252%, 01/01/16 | 830 | 852 | ||||||
|
| |||||||
2,591 | ||||||||
|
| |||||||
New York — 0.1% |
| |||||||
City of New York, Ser D-2, GO | ||||||||
3.250%, 12/01/14 | 295 | 306 | ||||||
|
| |||||||
North Carolina — 0.2% |
| |||||||
North Carolina, Eastern Municipal Power Agency, Ser C, RB | ||||||||
4.430%, 01/01/14 | 350 | 355 | ||||||
|
| |||||||
Ohio — 0.5% |
| |||||||
Hamilton County, Ohio Sewer System, RB | ||||||||
0.803%, 12/01/15 | 1,200 | 1,197 | ||||||
|
| |||||||
Oregon — 0.1% |
| |||||||
Oregon, School Boards Association, | ||||||||
0.000%, 06/30/15 | 300 | 294 | ||||||
|
| |||||||
Texas — 0.8% |
| |||||||
Austin, Electric Utility Revenue, | ||||||||
0.672%, 11/15/15 | 1,145 | 1,142 | ||||||
City of El Paso, GO | ||||||||
3.610%, 08/15/14 | 445 | 459 | ||||||
Grand Parkway Transportation, Ser D, RB | ||||||||
1.000%, 10/01/17 (B) | 235 | 235 | ||||||
|
| |||||||
1,836 | ||||||||
|
| |||||||
Wisconsin — 0.4% |
| |||||||
Wisconsin State, Ser A, RB | ||||||||
0.798%, 05/01/15 | 780 | 782 | ||||||
|
| |||||||
Total Municipal Bonds |
| 11,615 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.0% |
| |||||||
FNMA | ||||||||
1.000%, 09/09/15 | 300 | 300 | ||||||
0.750%, 02/01/16 | 400 | 400 | ||||||
0.500%, 03/30/16 | 1,600 | 1,597 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 2,297 | ||||||
|
|
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
REPURCHASE AGREEMENT — 1.9% |
| |||||||
BNP Paribas | $ | 4,400 | $ | 4,400 | ||||
|
| |||||||
Total Repurchase Agreement |
| 4,400 | ||||||
|
| |||||||
Total Investments — 101.3% |
| $ | 230,741 | |||||
|
|
A list of the open futures contracts held by the Fund at July 31, 2013, are as follows:
Type of Contract | Number of Contracts (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (45 | ) | Sep-2013 | $ | 82 | |||||||
U.S. 2-Year Treasury Note | (5 | ) | Sep-2013 | (1 | ) | |||||||
U.S. 5-Year Treasury Note | (26 | ) | Oct-2013 | 28 | ||||||||
U.S. Long Treasury Bond | (3 | ) | Sep-2013 | — | ||||||||
|
| |||||||||||
$ | 109 | |||||||||||
|
|
For the period ended July 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $227,776 ($ 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) | Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2013. The demand and interest rate reset features give this security a shorter effective maturity date. |
(C) | Tri-Party Repurchase Agreement. |
CDO — Collateralized Debt Obligation
Cl — Class
CLO — Collateralized Loan Obligation
FDIC — Federal Deposit Insurance Corporation
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
GO — General Obligation
LLC — Limited Liability Company
LP — Limited Partnership
MTN — Medium Term Note
NCUA — National Credit Union Association
NY — New York
PLC — Public Limited Company
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
TBA — To Be Announced
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Duration Bond Fund (Concluded)
July 31, 2013
The following is a summary of the inputs used as of July 31, 2013 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Obligations | $ | — | $ | 103,076 | $ | — | $ | 103,076 | ||||||||
Asset-Backed Securities | — | 58,600 | — | 58,600 | ||||||||||||
Mortgage-Backed Securities | — | 50,753 | — | 50,753 | ||||||||||||
Municipal Bonds | — | 11,615 | — | 11,615 | ||||||||||||
Repurchase Agreement | — | 4,400 | — | 4,400 | ||||||||||||
U.S. Government Agency Obligations | — | 2,297 | — | 2,297 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 230,741 | $ | — | $ | 230,741 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 110 | $ | — | $ | — | $ | 110 | ||||||||
Unrealized Depreciation | (1 | ) | — | — | (1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 109 | $ | — | $ | — | $ | 109 | ||||||||
|
|
|
|
|
|
|
|
For the period ended July 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities. For the period ended July 31, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
32 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Short-Duration Government Fund
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 53.5% |
| |||||||
Agency Mortgage-Backed Obligations — 53.5% |
| |||||||
FHLMC | ||||||||
4.500%, 02/01/22 to 06/01/26 | $ | 15,911 | $ | 16,891 | ||||
2.567%, 06/01/42 | 6,547 | 6,665 | ||||||
2.500%, 01/01/18 (A) | 17 | 17 | ||||||
2.474%, 06/01/24 (A) | 38 | 39 | ||||||
2.435%, 04/01/19 (A) | 12 | 12 | ||||||
2.433%, 06/01/24 (A) | 66 | 67 | ||||||
2.409%, 03/01/19 (A) | 14 | 14 | ||||||
2.385%, 07/01/24 (A) | 13 | 13 | ||||||
2.375%, 09/01/18 to 09/01/20 (A) | 10 | 10 | ||||||
2.353%, 02/01/19 (A) | 14 | 14 | ||||||
2.351%, 12/01/23 (A) | 1,421 | 1,506 | ||||||
2.350%, 04/01/22 (A) | 1 | 1 | ||||||
2.348%, 06/01/17 (A) | 9 | 9 | ||||||
2.338%, 05/01/19 (A) | 18 | 18 | ||||||
2.332%, 05/01/24 (A) | 47 | 48 | ||||||
2.302%, 07/01/20 (A) | 3 | 3 | ||||||
2.287%, 04/01/29 (A) | 65 | 67 | ||||||
2.263%, 12/01/23 (A) | 84 | 86 | ||||||
2.250%, 07/01/18 to 11/01/20 (A) | 10 | 9 | ||||||
2.159%, 04/01/29 (A) | 24 | 26 | ||||||
2.140%, 03/01/19 (A) | 20 | 20 | ||||||
2.125%, 02/01/16 to 11/01/18 (A) | 17 | 17 | ||||||
2.000%, 01/01/17 to 07/01/18 (A) | 13 | 13 | ||||||
1.883%, 05/25/19 | 6,000 | 5,860 | ||||||
1.875%, 02/01/17 to 06/01/18 (A) | 5 | 6 | ||||||
1.750%, 09/01/16 to 01/01/17 (A) | 4 | 4 | ||||||
1.625%, 02/01/16 to 03/01/17 (A) | 9 | 8 | ||||||
FHLMC REMIC, Ser 2002-42, Cl A5 | ||||||||
7.500%, 02/25/42 | 579 | 680 | ||||||
FHLMC REMIC, Ser 2004-2864, Cl NV | ||||||||
4.500%, 08/15/15 | 1,191 | 1,217 | ||||||
FHLMC REMIC, Ser 2005-3029, Cl PE | ||||||||
5.000%, 03/15/34 | 1,277 | 1,309 | ||||||
FHLMC REMIC, Ser 2006-3148, Cl CF | ||||||||
0.591%, 02/15/34 (A) | 749 | 753 | ||||||
FHLMC REMIC, Ser 2010-3628, Cl PJ | ||||||||
4.500%, 01/15/40 | 8,694 | 9,318 | ||||||
FHLMC REMIC, Ser 3153, Cl FX | ||||||||
0.541%, 05/15/36 (A) | 285 | 286 | ||||||
FNMA | ||||||||
7.000%, 06/01/37 | 27 | 31 | ||||||
6.500%, 05/01/26 to 09/01/36 | 736 | 829 | ||||||
6.000%, 02/01/23 to 09/01/24 | 7,867 | 8,660 | ||||||
5.500%, 06/01/16 to 12/01/25 | 2,201 | 2,385 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
5.300%, 07/01/19 | $ | 1,081 | $ | 1,194 | ||||
5.140%, 11/01/15 | 3,113 | 3,323 | ||||||
5.090%, 11/01/15 | 3,963 | 4,229 | ||||||
5.079%, 12/01/13 | 628 | 630 | ||||||
5.000%, 03/01/19 to 04/01/41 | 5,647 | 6,158 | ||||||
4.771%, 09/01/15 | 6,660 | 7,083 | ||||||
4.500%, 04/01/26 to 10/01/31 | 8,137 | 8,691 | ||||||
4.000%, 05/01/26 to 08/01/26 | 5,668 | 6,003 | ||||||
3.580%, 10/01/16 | 2,348 | 2,488 | ||||||
3.500%, 03/01/26 | 23,595 | 24,749 | ||||||
2.990%, 10/01/17 | 3,345 | 3,520 | ||||||
2.630%, 09/01/17 | 22,107 | 23,031 | ||||||
2.515%, 10/01/22 | 700 | 667 | ||||||
2.400%, 10/01/22 | 485 | 459 | ||||||
2.350%, 10/01/22 | 1,527 | 1,439 | ||||||
2.341%, 08/01/29 (A) | 408 | 435 | ||||||
2.310%, 10/01/22 | 2,320 | 2,182 | ||||||
2.257%, 09/01/25 (A) | 54 | 57 | ||||||
2.250%, 10/01/22 to 10/01/22 | 5,515 | 5,160 | ||||||
2.220%, 10/01/22 | 2,305 | 2,154 | ||||||
2.143%, 02/01/27 (A) | 65 | 68 | ||||||
2.097%, 09/01/24 (A) | 590 | 613 | ||||||
2.044%, 05/01/28 (A) | 388 | 409 | ||||||
2.009%, 12/01/29 (A) | 110 | 111 | ||||||
1.969%, 08/01/27 (A) | 340 | 342 | ||||||
FNMA REMIC, Ser 1992-61, Cl FA | ||||||||
0.840%, 10/25/22 (A) | 88 | 89 | ||||||
FNMA REMIC, Ser 1993-32, Cl H | ||||||||
6.000%, 03/25/23 | 36 | 39 | ||||||
FNMA REMIC, Ser 1993-5, Cl Z | ||||||||
6.500%, 02/25/23 | 19 | 21 | ||||||
FNMA REMIC, Ser 1994-77, Cl FB | ||||||||
1.690%, 04/25/24 (A) | 7 | 8 | ||||||
FNMA REMIC, Ser 2001-51, Cl QN | ||||||||
6.000%, 10/25/16 | 53 | 55 | ||||||
FNMA REMIC, Ser 2002-3, Cl PG | ||||||||
5.500%, 02/25/17 | 275 | 290 | ||||||
FNMA REMIC, Ser 2002-53, Cl FK | ||||||||
0.590%, 04/25/32 (A) | 140 | 140 | ||||||
FNMA REMIC, Ser 2003-76, Cl CA | ||||||||
3.750%, 07/25/33 | 233 | 244 | ||||||
FNMA REMIC, Ser 2006-76, Cl QF | ||||||||
0.590%, 08/25/36 (A) | 1,381 | 1,392 | ||||||
FNMA REMIC, Ser 2006-79, Cl DF | ||||||||
0.540%, 08/25/36 (A) | 1,195 | 1,198 | ||||||
FNMA REMIC, Ser 2007-47, Cl DA | ||||||||
5.600%, 05/25/37 | 1,679 | 1,862 | ||||||
FNMA REMIC, Ser 2010-149, Cl VA | ||||||||
4.500%, 02/25/22 | 8,290 | 8,972 | ||||||
FNMA REMIC, Ser 2010-4, Cl PL | ||||||||
4.500%, 02/25/40 | 6,553 | 6,945 | ||||||
FNMA TBA | ||||||||
5.500%, 08/01/37 | 15,300 | 16,663 | ||||||
4.500%, 09/01/33 | 7,900 | 8,370 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Short-Duration Government Fund (Concluded)
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
4.000%, 08/13/39 | $ | 9,300 | $ | 9,665 | ||||
3.500%, 08/01/40 | 12,500 | 12,787 | ||||||
3.000%, 08/25/26 to 08/01/42 | 83,600 | 85,214 | ||||||
FNMA, Ser 2010-M5, Cl A2 | ||||||||
2.806%, 07/25/20 | 13,700 | 14,317 | ||||||
GNMA | ||||||||
6.500%, 04/15/17 to 02/20/39 | 896 | 1,001 | ||||||
6.000%, 06/15/16 to 06/15/41 | 28,518 | 31,403 | ||||||
5.500%, 10/15/34 to 02/15/41 | 9,714 | 10,582 | ||||||
5.000%, 09/15/39 to 04/15/41 | 5,387 | 5,827 | ||||||
4.500%, 04/15/41 | 1,456 | 1,546 | ||||||
4.000%, 07/15/41 to 04/15/43 | 1,891 | 1,977 | ||||||
GNMA REMIC, Ser 2006-38, Cl XS, IO | ||||||||
7.058%, 09/16/35 (A) | 129 | 24 | ||||||
GNMA TBA | ||||||||
4.000%, 08/01/39 to 08/01/42 | 30,550 | 31,882 | ||||||
NCUA Guaranteed Notes, Ser 2010-R1, Cl 2A | ||||||||
1.840%, 10/07/20 | 442 | 443 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 415,062 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 31.7% |
| |||||||
U.S. Treasury Notes | ||||||||
1.750%, 03/31/14 | 95,000 | 96,032 | ||||||
0.875%, 04/30/17 | 100,165 | 99,946 | ||||||
0.250%, 07/15/15 | 50,000 | 49,939 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 245,917 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 21.0% |
| |||||||
FHLB | ||||||||
3.250%, 09/12/14 | 9,915 | 10,251 | ||||||
FHLMC | ||||||||
4.375%, 07/17/15 | 77,000 | 83,005 | ||||||
FNMA | ||||||||
2.750%, 03/13/14 | 35,520 | 36,095 | ||||||
0.875%, 05/21/18 | 35,000 | 33,964 | ||||||
|
| |||||||
Total U.S. Government Agency Obligations |
| 163,315 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS (B) — 15.4% |
| |||||||
BNP Paribas | 60,600 | 60,600 | ||||||
Deutsche Bank | 59,200 | 59,200 | ||||||
|
|
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||
Total Repurchase Agreements | $ | 119,800 | ||||
|
| |||||
Total Investments — 121.6% | $ | 944,094 | ||||
|
|
A list of the open futures contracts held by the Fund at July 31, 2013, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (1,768 | ) | Sep-2013 | $ | 1,864 | |||||||
U.S. 2-Year Treasury Note | 1,225 | Sep-2013 | 168 | |||||||||
U.S. 5-Year Treasury Note | 156 | Oct-2013 | 82 | |||||||||
U.S. Long Treasury Bond | (152 | ) | Sep-2013 | 159 | ||||||||
|
| |||||||||||
$ | 2,273 | |||||||||||
|
|
For the period ended July 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $776,251 ($ Thousands).
(A) | Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2013. The demand and interest rate reset features give this security a shorter effective 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 Association
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, 2013 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 415,062 | $ | — | $ | 415,062 | ||||||||
U.S. Government Agency Obligations | — | 163,315 | — | 163,315 | ||||||||||||
Repurchase Agreements | — | 119,800 | — | 119,800 | ||||||||||||
U.S. Treasury Obligations | — | 245,917 | — | 245,917 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 944,094 | $ | — | $ | 944,094 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | $ | 2,273 | $ | — | $ | — | $ | 2,273 | ||||||||
|
|
|
|
|
|
|
|
For the period ended July 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities. For the period ended July 31, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
34 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Intermediate-Duration Government Fund
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 63.6% |
| |||||||
Agency Mortgage-Backed Obligations — 63.6% |
| |||||||
FHLMC | ||||||||
6.500%, 01/01/18 to 12/01/32 | $ | 135 | $ | 152 | ||||
6.000%, 09/01/24 | 425 | 465 | ||||||
5.500%, 06/01/19 to 12/01/20 | 240 | 259 | ||||||
2.567%, 06/01/42 | 300 | 306 | ||||||
FHLMC REMIC, Ser 1990-165, Cl K | ||||||||
6.500%, 09/15/21 | 5 | 5 | ||||||
FHLMC REMIC, Ser 1993-1599, Cl C | ||||||||
6.100%, 10/15/23 | 38 | 38 | ||||||
FHLMC REMIC, Ser 2004-2802, Cl PF | ||||||||
0.591%, 09/15/33(A) | 262 | 263 | ||||||
FHLMC REMIC, Ser 2005-3029, Cl PE | ||||||||
5.000%, 03/15/34 | 415 | 425 | ||||||
FHLMC TBA | ||||||||
4.000%, 08/15/41 | 1,000 | 1,037 | ||||||
FNMA | ||||||||
6.500%, 03/01/33 to 10/01/34 | 103 | 118 | ||||||
6.000%, 02/01/23 | 238 | 261 | ||||||
5.500%, 03/01/14 to 12/01/25 | 1,286 | 1,405 | ||||||
5.000%, 05/01/14 to 04/01/41 | 1,811 | 1,952 | ||||||
4.771%, 09/01/15 | 1,165 | 1,240 | ||||||
4.500%, 04/01/26 to 10/01/31 | 703 | 751 | ||||||
4.360%, 12/01/15 | 955 | 992 | ||||||
4.000%, 05/01/26 to 08/01/26 | 441 | 468 | ||||||
2.515%, 10/01/22 | 55 | 52 | ||||||
2.400%, 10/01/22 | 36 | 35 | ||||||
2.350%, 10/01/22 | 119 | 112 | ||||||
2.310%, 10/01/22 | 180 | 169 | ||||||
2.250%, 10/01/22 | 94 | 88 | ||||||
2.220%, 10/01/22 | 176 | 164 | ||||||
FNMA REMIC, Ser 2001-51, Cl QN | ||||||||
6.000%, 10/25/16 | 74 | 78 | ||||||
FNMA REMIC, Ser 2003-48, Cl GH | ||||||||
5.500%, 06/25/33 | 1,800 | 2,007 | ||||||
FNMA REMIC, Ser 2006-79, Cl DF | ||||||||
0.540%, 08/25/36(A) | 211 | 211 | ||||||
FNMA REMIC, Ser 2007-47, Cl DA | ||||||||
5.600%, 05/25/37 | 292 | 324 | ||||||
FNMA REMIC, Ser 2010-149, Cl VA | ||||||||
4.500%, 02/25/22 | 848 | 918 | ||||||
FNMA REMIC, Ser 2010-4, Cl PL | ||||||||
4.500%, 02/25/40 | 758 | 804 | ||||||
FNMA, Ser 2010-M5, Cl A2 | ||||||||
2.806%, 07/25/20 | 3,300 | 3,449 | ||||||
FNMA TBA | ||||||||
3.000%, 08/25/26 | 300 | 309 |
Description | Face Amount ($ Thousands) | Value ($Thousands) | ||||||
GNMA | ||||||||
8.750%, 07/20/17 to 07/20/17 | $ | 5 | $ | 6 | ||||
8.500%, 11/20/16 to 08/20/17 | 17 | 17 | ||||||
7.500%, 11/15/25 to 03/15/27 | 19 | 21 | ||||||
6.000%, 09/15/24 | 397 | 440 | ||||||
5.000%, 05/15/40 to 06/15/40 | 59 | 65 | ||||||
4.500%, 06/15/41 | 261 | 280 | ||||||
4.000%, 07/15/41 to 01/15/42 | 748 | 782 | ||||||
GNMA TBA | ||||||||
4.000%, 08/01/42 | 1,500 | 1,565 | ||||||
NCUA Guaranteed Notes, | ||||||||
1.840%, 10/07/20 | 107 | 107 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 22,140 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATION — 28.6% |
| |||||||
U.S. Treasury Notes | ||||||||
0.875%, 04/30/17 | 9,983 | 9,961 | ||||||
|
| |||||||
Total U.S. Treasury Obligation | 9,961 | |||||||
|
| |||||||
ASSET-BACKED SECURITY — 0.6% |
| |||||||
Other — 0.6% | ||||||||
Small Business Administration, | ||||||||
4.940%, 08/10/15 | 192 | 201 | ||||||
|
| |||||||
Total Asset-Backed Security | 201 | |||||||
|
| |||||||
REPURCHASE AGREEMENT (B) — 15.8% |
| |||||||
BNP Paribas | 5,500 | 5,500 | ||||||
|
| |||||||
Total Repurchase Agreement | 5,500 | |||||||
|
| |||||||
Total Investments — 108.6% | $ | 37,802 | ||||||
|
|
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
Intermediate-Duration Government Fund (Concluded)
July 31, 2013
A list of the open futures contracts held by the Fund at July 31, 2013, are as follows:
Type of Contract | Number of Contracts (Short) | Expiration Date | Unrealized ($ Thousands) | |||||||||
U.S. 10-Year Treasury Note | (21 | ) | Sep-2013 | $ | (8 | ) | ||||||
U.S. 5-Year Treasury Note | 132 | Oct-2013 | (88 | ) | ||||||||
U.S. Long Treasury Bond | (17 | ) | Sep-2013 | 18 | ||||||||
|
| |||||||||||
$ | (78 | ) | ||||||||||
|
|
For the year ended July 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
Percentages are based on Net Assets of $34,803 ($ Thousands).
(A) | Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2013. The demand and interest rate reset features give this security a shorter effective maturity date. |
(B) | Tri-Party Repurchase Agreement. |
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 January 31, 2013 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 22,140 | $ | — | $ | 22,140 | ||||||||
Repurchase Agreement | — | 5,500 | — | 5,500 | ||||||||||||
Asset-Backed Security | — | 201 | — | 201 | ||||||||||||
U.S. Treasury Obligation | — | 9,961 | — | 9,961 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 37,802 | $ | — | $ | 37,802 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 18 | $ | — | $ | — | $ | 18 | ||||||||
Unrealized Depreciation | (96 | ) | — | — | (96 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (78 | ) | $ | — | $ | — | $ | (78 | ) | ||||||
|
|
|
|
|
|
|
|
For the period ended July 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities. For the period ended July 31, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
36 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
GNMA Fund
July 31, 2013
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 99.2% |
| |||||||
Agency Mortgage-Backed Obligations — 99.2% |
| |||||||
FHLMC REMIC, Ser 2006-3175, Cl SA, IO | ||||||||
6.959%, 08/15/13 (A) | $ | 189 | $ | 27 | ||||
FHLMC REMIC, Ser 2006-3179, Cl SP, IO | ||||||||
6.429%, 08/15/13 (A) | 468 | 64 | ||||||
FHLMC REMIC, Ser 2007-3279, Cl SD, IO | ||||||||
6.239%, 08/15/13 (A) | 2,142 | 287 | ||||||
FHLMC REMIC, Ser 2007-3309, Cl SC, IO | ||||||||
6.259%, 08/15/13 (A) | 2,008 | 287 | ||||||
FHLMC REMIC, Ser 2009-3502, Cl DS, IO | ||||||||
5.959%, 08/15/13 (A) | 1,210 | 152 | ||||||
FHLMC REMIC, Ser 2010-3631, Cl PS, IO | ||||||||
6.259%, 08/15/13 (A) | 9,605 | 1,354 | ||||||
FNMA | ||||||||
8.000%, 09/01/14 to 09/01/28 | 44 | 48 | ||||||
7.000%, 08/01/29 to 09/01/32 | 130 | 149 | ||||||
6.500%, 09/01/32 | 109 | 123 | ||||||
FNMA REMIC, Ser 1990-91, Cl G | ||||||||
7.000%, 08/25/20 | 19 | 22 | ||||||
FNMA REMIC, Ser 1992-105, Cl B | ||||||||
7.000%, 06/25/22 | 39 | 43 | ||||||
FNMA REMIC, Ser 2002-42, Cl C | ||||||||
6.000%, 07/25/17 | 573 | 610 | ||||||
FNMA REMIC, Ser 2007-19, Cl SA, IO | ||||||||
6.220%, 08/25/13 (A) | 4,814 | 745 | ||||||
FNMA REMIC, Ser 2012-9, Cl CS, IO | ||||||||
6.360%, 08/25/13 (A) | 3,248 | 503 | ||||||
FNMA TBA | ||||||||
3.500%, 08/01/40 | 4,900 | 4,940 | ||||||
3.000%, 08/01/42 | 4,800 | 4,652 | ||||||
GNMA | ||||||||
12.500%, 06/15/14 | — | — | ||||||
12.000%, 04/15/14 | — | — | ||||||
10.000%, 05/15/16 to 09/15/19 | 13 | 13 | ||||||
9.500%, 08/15/17 to 11/15/20 | 22 | 24 | ||||||
9.000%, 12/15/17 to 05/15/22 | 81 | 85 | ||||||
8.500%, 10/15/16 to 06/15/17 | 16 | 16 | ||||||
8.000%, 04/15/17 to 03/15/32 | 409 | 456 | ||||||
7.750%, 10/15/26 | 30 | 35 | ||||||
7.500%, 02/15/27 to 10/15/35 | 262 | 308 | ||||||
7.250%, 01/15/28 | 79 | 94 | ||||||
7.000%, 04/15/19 to 06/20/38 | 3,736 | 4,427 | ||||||
6.750%, 11/15/27 | 13 | 15 | ||||||
6.500%, 03/15/14 to 10/15/38 | 1,585 | 1,781 | ||||||
6.000%, 07/15/24 to 03/15/41 | 8,402 | 9,258 | ||||||
5.500%, 01/15/33 to 02/15/41 | 8,193 | 9,037 | ||||||
5.000%, 04/15/33 to 04/15/41 | 26,687 | 29,010 | ||||||
4.500%, 08/15/33 to 12/15/41 | 21,031 | 22,497 |
Description | Face Amount ($ Thousands) | Value ($ Thousands) | ||||||
4.000%, 04/15/26 to 04/15/43 | $ | 26,617 | $ | 27,837 | ||||
3.875%, 05/15/42 | 2,540 | 2,590 | ||||||
3.500%, 03/20/41 | 629 | 642 | ||||||
GNMA REMIC, Ser 2002-45, Cl QE | ||||||||
6.500%, 06/20/32 | 529 | 608 | ||||||
GNMA REMIC, Ser 2005-70, Cl AI, IO | ||||||||
5.000%, 10/20/33 | 1,070 | 49 | ||||||
GNMA REMIC, Ser 2006-38, Cl XS, IO | ||||||||
7.058%, 08/16/13 (A) | 3,230 | 595 | ||||||
GNMA, Ser 2003-9, Cl Z | ||||||||
5.500%, 01/20/33 | 1,562 | 1,721 | ||||||
GNMA TBA | ||||||||
4.500%, 08/15/39 to 08/15/39 | 22,100 | 23,558 | ||||||
4.000%, 08/01/39 to 08/01/42 | 7,300 | 7,618 | ||||||
3.500%, 08/15/41 to 08/15/42 | 43,100 | 43,881 | ||||||
3.000%, 08/15/42 to 08/01/43 | 12,650 | 12,109 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 212,270 | |||||||
|
| |||||||
REPURCHASE AGREEMENTS (B) — 41.6% |
| |||||||
BNP Paribas | ||||||||
0.080%, dated 07/31/13, to be repurchased on 08/01/13, repurchase price $44,800,100 (collateralized by various GNMA obligations, ranging in par value $214,917 - $4,087,428, 2.000% - 6.500%, 11/15/18 - 06/15/43, with total market value of $45,696,000) | 44,800 | 44,800 | ||||||
Deutsche Bank | ||||||||
0.100%, dated 07/31/13, to be repurchased on 08/01/13, repurchase price $44,300,123 (collateralized by various GNMA obligations, ranging in par value $617,544 - $2,875,000, 3.000% - 5.000%, 10/20/38 - 10/15/53, with total market value of $45,186,001) | 44,300 | 44,300 | ||||||
|
| |||||||
Total Repurchase Agreements | 89,100 | |||||||
|
| |||||||
Total Investments — 140.8% | $ | 301,370 | ||||||
|
|
A list of the open futures contracts held by the Fund at July 31, 2013, are as follows:
Type of Contract | Number of Contracts Long (Short) | Expiration Date | Unrealized Appreciation (Depreciation) ($ Thousands) | |||||||||||
U.S. 10-Year Treasury Note | 104 | Sep-2013 | $ | 6 | ||||||||||
U.S. Long Treasury Bond | 8 | Sep-2013 | (5 | ) | ||||||||||
|
|
| ||||||||||||
$ | 1 | |||||||||||||
|
|
|
For the year ended July 31, 2013, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS (Unaudited)
GNMA Fund (Concluded)
July 31, 2013
Percentages are based on Net Assets of $214,008 ($ Thousands).
(A) | Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on July 31, 2013. The demand and interest rate reset features give this security a shorter effective maturity date. |
(B) | Tri-Party Repurchase Agreement. |
Cl — Class
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
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, 2013 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):
Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 212,270 | $ | — | $ | 212,270 | ||||||||
Repurchase Agreements | — | 89,100 | — | 89,100 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | — | $ | 301,370 | $ | — | $ | 301,370 | ||||||||
|
|
|
|
|
|
|
|
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 6 | $ | — | $ | — | $ | 6 | ||||||||
Unrealized Depreciation | (5 | ) | — | — | (5 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
For the year ended July 31, 2013, there were no transfers between Level 1 and Level 2 assets and liabilities. For the year ended July 31, 2013, 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 $0.
The accompanying notes are an integral part of the financial statements.
38 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
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Table of Contents
Statements of Assets and Liabilities ($ Thousands)
July 31, 2013 (Unaudited)
Money Market Fund | Government Fund | Government II Fund | Prime Obligation Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments, at value† | $ | 265,800 | $ | 744,640 | $ | 1,317,087 | $ | 3,520,547 | ||||||||
Repurchase agreements† | 103,769 | 872,193 | — | 710,110 | ||||||||||||
Cash | — | 1 | — | 80,310 | ||||||||||||
Receivable for investment securities sold | 675 | — | — | 5,460 | ||||||||||||
Interest receivable | 53 | 2,164 | 1,293 | 1,424 | ||||||||||||
Receivable for fund shares sold | — | — | — | — | ||||||||||||
Receivable for variation margin | — | — | — | — | ||||||||||||
Prepaid expenses | 16 | 58 | 53 | 152 | ||||||||||||
Total Assets | 370,313 | 1,619,056 | 1,318,433 | 4,318,003 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for investment securities purchased | — | — | 48,289 | — | ||||||||||||
Shareholder servicing fees payable | 7 | 6 | — | — | ||||||||||||
Investment advisory fees payable | 13 | 48 | 38 | 120 | ||||||||||||
Administration fees payable | 36 | 20 | 31 | 390 | ||||||||||||
Income distribution payable | 1 | 16 | 9 | 25 | ||||||||||||
Trustees’ fees payable | 1 | — | 1 | 2 | ||||||||||||
Chief Compliance Officer fees payable | 1 | 2 | 2 | 5 | ||||||||||||
Payable for fund shares redeemed | — | — | — | — | ||||||||||||
Payable for variation margin | — | — | — | — | ||||||||||||
Accrued expense payable | 40 | 88 | 103 | 280 | ||||||||||||
Total Liabilities | 99 | 180 | 48,473 | 822 | ||||||||||||
Net Assets | $ | 370,214 | $ | 1,618,876 | $ | 1,269,960 | $ | 4,317,181 | ||||||||
†Cost of investments and repurchase agreements | $ | 369,569 | $ | 1,616,833 | $ | 1,317,087 | $ | 4,230,657 | ||||||||
NET ASSETS: | ||||||||||||||||
Paid-in Capital — (unlimited authorization — no par value) | $ | 370,212 | $ | 1,618,912 | $ | 1,269,966 | $ | 4,317,236 | ||||||||
Undistributed (Distributions in excess of) net investment income | 2 | — | (7 | ) | — | |||||||||||
Accumulated net realized gain (loss) on investments and future contracts | — | (36 | ) | 1 | (55 | ) | ||||||||||
Net unrealized appreciation (depreciation) on investments and future contracts | — | — | — | — | ||||||||||||
Net unrealized appreciation (depreciation) on future contracts | — | — | — | — | ||||||||||||
Net Assets | $ | 370,214 | $ | 1,618,876 | $ | 1,269,960 | $ | 4,317,181 | ||||||||
Net Asset Value, Offering and Redemption Price Per Share — Class A | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||
| (249,031,135 ÷ 249,064,945 shares | ) | | (1,440,028,184 ÷ 1,440,085,145 shares | ) | | (1,085,182,288 ÷ 1,085,253,268 shares | ) | | (4,151,577,181 ÷ 4,151,628,027 shares | ) | |||||
Net Asset Value, Offering and Redemption Price Per Share — Class B | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||
| (59,861,716 ÷ 59,870,529 shares | ) | | (140,807,569 ÷ 140,837,465 shares | ) | | (176,413,059 ÷ 176,448 ,631 shares | ) | | (115,115,729 ÷ 115,119,484 shares | ) | |||||
Net Asset Value, Offering and Redemption Price Per Share — Class C | $1.00 | $1.00 | $1.00 | $1.00 | ||||||||||||
| (33,353,463 ÷ 33,366,345 shares | ) | | (4,501,035 ÷ 4,502,632 shares | ) | | (8,364,457 ÷ 8,364,016 shares | ) | | (24,162,607 ÷ 24,162,996 shares | ) | |||||
Net Asset Value, Offering and Redemption Price Per Share — Class H | N/A | N/A | N/A | $1.00 | ||||||||||||
| (22,296,545 ÷ 22,297,897 shares | ) | ||||||||||||||
Net Asset Value, Offering and Redemption Price Per Share — Sweep Class | $1.00 | $1.00 | N/A | $1.00 | ||||||||||||
| (27,967,956 ÷ 27,940,105 shares | ) | | (33,539,360 ÷ 33,541,540 shares | ) | | (4,028,864 ÷ 4,028,410 shares | ) |
Amounts designated as “—” are $0 or have been rounded to $0.
N/A — Not applicable. Class B, C, H and Sweep Class currently not offered.
The accompanying notes are an integral part of the financial statements.
40 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Treasury Fund | Treasury II Fund | Ultra Short Duration Bond Fund | Short-Duration Government Fund | Intermediate-Duration Government Fund | GNMA Fund | |||||||||||||||||
$ | 109,049 | $ | 705,686 | $ | 226,341 | $ | 824,294 | $ | 32,302 | $ | 212,270 | |||||||||||
194,489 | — | 4,400 | 119,800 | 5,500 | 89,100 | |||||||||||||||||
1 | 1 | 1,587 | 1,149 | 167 | 71 | |||||||||||||||||
— | — | 3,302 | 21 | 529 | 22,651 | |||||||||||||||||
270 | 2,694 | 568 | 2,280 | 88 | 526 | |||||||||||||||||
— | — | 4,261 | 1,113 | — | 108 | |||||||||||||||||
— | — | — | 54 | 4 | 6 | |||||||||||||||||
13 | 31 | 7 | 28 | 2 | 11 | |||||||||||||||||
303,822 | 708,412 | 240,466 | 948,739 | 38,592 | 324,743 | |||||||||||||||||
1,140 | 42,438 | 12,252 | 170,928 | 3,722 | 109,643 | |||||||||||||||||
4 | — | 16 | 33 | 2 | 58 | |||||||||||||||||
9 | 73 | 30 | 58 | 3 | 18 | |||||||||||||||||
2 | — | — | 245 | 8 | 49 | |||||||||||||||||
2 | 4 | 39 | 82 | 9 | 51 | |||||||||||||||||
— | — | — | 1 | — | — | |||||||||||||||||
— | 1 | — | 1 | — | — | |||||||||||||||||
— | — | 323 | 1,003 | 32 | 869 | |||||||||||||||||
— | — | 3 | 51 | 3 | 5 | |||||||||||||||||
26 | 11 | 27 | 86 | 10 | 42 | |||||||||||||||||
1,183 | 42,527 | 12,690 | 172,488 | 3,789 | 110,735 | |||||||||||||||||
$ | 302,639 | $ | 665,885 | $ | 227,776 | $ | 776,251 | $ | 34,803 | $ | 214,008 | |||||||||||
$ | 303,538 | $ | 705,686 | $ | 231,793 | $ | 939,898 | $ | 37,348 | $ | 298,952 | |||||||||||
$ | 302,666 | | $ | 665,884 | $ | 252,660 | $ | 776,527 | $ | 35,768 | $ | 217,596 | ||||||||||
| — | | (1 | ) | (310 | ) | (910 | ) | 67 | (1,641 | ) | |||||||||||
| (27 | ) | 2 | (23,631 | ) | (5,835 | ) | (1,408 | ) | (4,366 | ) | |||||||||||
| — | | — | (1,052 | ) | 4,196 | 454 | 2,418 | ||||||||||||||
| — | | — | 109 | 2,273 | (78 | ) | 1 | ||||||||||||||
$ | 302,639 | $ | 665,885 | $ | 227,776 | $ | 776,251 | $ | 34,803 | $ | 214,008 | |||||||||||
| $1.00 | | $1.00 | $9.33 | $10.50 | $11.61 | $10.30 | |||||||||||||||
| (49,738,863 ÷ 49,777,989 shares | ) | | (416,639,696 ÷ 416,798,612 shares | ) | | (227,775,898 ÷ 24,418,898 shares | ) | | (776,250,958 ÷ 73,920,954 shares | ) | | (34,802,766 ÷ 2,997,397 shares | ) | | (214,007,779 ÷ 20,786,008 shares | ) | |||||
| $1.00 | | $1.00 | N/A | N/A | N/A | N/A | |||||||||||||||
| (110,043,723 ÷ 110,068,637 shares | ) | | (243,025,790 ÷ 243,011,640 shares | ) | |||||||||||||||||
| $1.00 | | $1.00 | N/A | N/A | N/A | N/A | |||||||||||||||
| (15,298,197 ÷ 15,298,268 shares | ) | | (6,219,132 ÷ 6,221,750 shares | ) | |||||||||||||||||
| N/A | | N/A | N/A | N/A | N/A | N/A | |||||||||||||||
| $1.00 | | N/A | N/A | N/A | N/A | N/A | |||||||||||||||
| (127,557,780 ÷ 127,566,128 shares | ) |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 41 |
Table of Contents
Statements of Operations ($ Thousands)
For the six months ended July 31, 2013 (Unaudited)
Money Market Fund | Government Fund | Government II Fund | Prime Obligation Fund | |||||||||||||
Investment Income: | ||||||||||||||||
Interest Income | $ | 457 | $ | 974 | $ | 702 | $ | 3,738 | ||||||||
Expenses: | ||||||||||||||||
Administration Fees | 763 | 1,806 | 1,243 | 3,530 | ||||||||||||
Shareholder Servicing Fees — Class A Shares | 435 | 1,682 | 1,386 | 4,423 | ||||||||||||
Shareholder Servicing Fees — Sweep Class Shares | 32 | 74 | — | 9 | ||||||||||||
Distribution Fees — Sweep Class Shares | 65 | 36 | — | 4 | ||||||||||||
Administrative and Shareholder Servicing Fees — Class B Shares | 89 | 188 | 284 | 167 | ||||||||||||
Administrative and Shareholder Servicing Fees — Class C Shares | 72 | 12 | 30 | 94 | ||||||||||||
Administrative and Shareholder Servicing Fees — Class H Shares | — | — | — | 49 | ||||||||||||
Investment Advisory Fees | 162 | 527 | 458 | 1,301 | ||||||||||||
Trustees’ Fees | 4 | 12 | 12 | 34 | ||||||||||||
Chief Compliance Officer Fees | 1 | 3 | 3 | 10 | ||||||||||||
Registration Fees | 8 | 32 | 33 | 101 | ||||||||||||
Custodian/Wire Agent Fees | 9 | 25 | 27 | 68 | ||||||||||||
Pricing Fees | 1 | 2 | 3 | 7 | ||||||||||||
Other Expenses | 21 | 69 | 60 | 190 | ||||||||||||
Total Expenses | 1,662 | 4,468 | 3,539 | 9,987 | ||||||||||||
Less, Waiver of: | ||||||||||||||||
Investment Advisory Fees | (81 | ) | (263 | ) | (229 | ) | (650 | ) | ||||||||
Administration Fees | (492 | ) | (1,389 | ) | (969 | ) | (1,141 | ) | ||||||||
Shareholder Servicing Fees — Class A Shares | (435 | ) | (1,682 | ) | (1,386 | ) | (4,423 | ) | ||||||||
Administrative & Shareholder Servicing Fees — Class B Shares | (84 | ) | (188 | ) | (284 | ) | (164 | ) | ||||||||
Administrative & Shareholder Servicing Fees — Class C Shares | (69 | ) | (12 | ) | (30 | ) | (93 | ) | ||||||||
Administrative & Shareholder Servicing Fees — Class H Shares | — | — | — | (49 | ) | |||||||||||
Shareholder Servicing & Distribution Fees — Sweep Class Shares | (95 | ) | (110 | ) | — | (13 | ) | |||||||||
Net Expenses | 406 | 824 | 641 | 3,454 | ||||||||||||
Net Investment Income | 51 | 150 | 61 | 284 | ||||||||||||
Net Realized Gain (Loss) on/from: | ||||||||||||||||
Investments | — | — | 1 | 3 | ||||||||||||
Futures Contracts | — | — | — | — | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on/from: | ||||||||||||||||
Investments | — | — | — | — | ||||||||||||
Futures Contracts | — | — | — | — | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 51 | $ | 150 | $ | 62 | $ | 287 |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
42 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Treasury Fund | Treasury II Fund | Ultra Short Duration Bond Fund | Short-Duration Government Fund | Intermediate- Duration Government Fund | GNMA Fund | |||||||||||||||||
$ | 166 | $ | 302 | $ | 1,240 | $ | 3,538 | $ | 375 | $ | 1,413 | |||||||||||
370 | 903 | 420 | 1,277 | 64 | 408 | |||||||||||||||||
93 | 550 | 300 | 912 | 45 | 319 | |||||||||||||||||
145 | — | — | — | — | — | |||||||||||||||||
296 | — | — | — | — | — | |||||||||||||||||
| 159 | | 458 | — | — | — | — | |||||||||||||||
| 27 | | 20 | — | — | — | — | |||||||||||||||
| — | | — | — | — | — | — | |||||||||||||||
108 | 263 | 125 | 318 | 16 | 111 | |||||||||||||||||
3 | 7 | 2 | 6 | — | 3 | |||||||||||||||||
1 | 2 | 1 | 2 | — | 1 | |||||||||||||||||
10 | 20 | 6 | 17 | 1 | 6 | |||||||||||||||||
6 | 12 | 4 | 12 | 1 | 5 | |||||||||||||||||
1 | 1 | 19 | 56 | — | 22 | |||||||||||||||||
15 | 38 | 11 | 35 | 9 | 13 | |||||||||||||||||
1,234 | 2,274 | 888 | 2,635 | 136 | 888 | |||||||||||||||||
(54 | ) | (132 | ) | (10 | ) | (20 | ) | — | — | |||||||||||||
(309 | ) | (850 | ) | (121 | ) | — | (39 | ) | (82 | ) | ||||||||||||
(93 | ) | (550 | ) | (300 | ) | (858 | ) | — | — | |||||||||||||
| (159 | ) | (458 | ) | — | — | — | — | ||||||||||||||
| (27 | ) | (20 | ) | — | — | — | — | ||||||||||||||
| — | | — | — | — | — | — | |||||||||||||||
| (441 | ) | — | — | — | — | — | |||||||||||||||
151 | 264 | 457 | 1,757 | 97 | 806 | |||||||||||||||||
15 | 38 | 783 | 1,781 | 278 | 607 | |||||||||||||||||
— | 2 | 112 | (5,396 | ) | (167 | ) | (2,806 | ) | ||||||||||||||
— | — | 96 | 2,654 | (146 | ) | (711 | ) | |||||||||||||||
— | — | (902 | ) | (6,461 | ) | (532 | ) | (4,305 | ) | |||||||||||||
— | — | 13 | 2,262 | 19 | 14 | |||||||||||||||||
$ | 15 | | $ | 40 | $ | 102 | ($ | 5,160 | ) | ($ | 548 | ) | ($ | 7,201 | ) |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 43 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the six months ended July 31, 2013 (Unaudited) and the year ended January 31, 2013
Money Market Fund | Government Fund | |||||||||||||||
2/1/13-7/31/13 | 2/1/12-1/31/13 | 2/1/13-7/31/13 | 2/1/12-1/31/13 | |||||||||||||
Operations: | ||||||||||||||||
Net Investment Income | $ | 51 | $ | 220 | $ | 150 | $ | 265 | ||||||||
Net Realized Gain on Investments | — | 4 | — | — | ||||||||||||
Net Increase in Net Assets Resulting from Operations | 51 | 224 | 150 | 265 | ||||||||||||
Dividends and Distributions to Shareholders: | ||||||||||||||||
Net Investment Income | ||||||||||||||||
Class A | (46 | ) | (209 | ) | (134 | ) | (231 | ) | ||||||||
Class B | (3 | ) | (5 | ) | (13 | ) | (26 | ) | ||||||||
Class C | (1 | ) | (3 | ) | — | (2 | ) | |||||||||
Class H | — | — | — | — | ||||||||||||
Sweep Class | (1 | ) | (3 | ) | (3 | ) | (6 | ) | ||||||||
Net Capital Gain | ||||||||||||||||
Class A | — | (5 | ) | — | — | |||||||||||
Class B | — | (1 | ) | — | — | |||||||||||
Class C | — | (1 | ) | — | — | |||||||||||
Sweep Class | — | — | — | — | ||||||||||||
Total Dividends and Distributions | (51 | ) | (227 | ) | (150 | ) | (265 | ) | ||||||||
Capital Share Transactions (All at $1.00 per share) | ||||||||||||||||
Class A: | ||||||||||||||||
Proceeds from Shares Issued | 700,225 | 1,652,039 | 4,677,686 | 8,233,385 | ||||||||||||
Reinvestment of Dividends & Distributions | 37 | 152 | 48 | 103 | ||||||||||||
Cost of Shares Redeemed | (706,294 | ) | (1,543,585 | ) | (4,530,041 | ) | (7,995,704 | ) | ||||||||
Net Increase (Decrease) from Class A Transactions | (6,032 | ) | 108,606 | 147,693 | 237,784 | |||||||||||
Class B: | ||||||||||||||||
Proceeds from Shares Issued | 199,729 | 250,953 | 323,265 | 732,103 | ||||||||||||
Reinvestment of Dividends & Distributions | 2 | 3 | 8 | 14 | ||||||||||||
Cost of Shares Redeemed | (199,938 | ) | (263,922 | ) | (316,158 | ) | (719,089 | ) | ||||||||
Net Increase (Decrease) from Class B Transactions | (207 | ) | (12,966 | ) | 7,115 | 13,028 | ||||||||||
Class C: | ||||||||||||||||
Proceeds from Shares Issued | 116,627 | 256,935 | 53,993 | 137,824 | ||||||||||||
Reinvestment of Dividends & Distributions | — | — | — | — | ||||||||||||
Cost of Shares Redeemed | (115,588 | ) | (257,730 | ) | (62,044 | ) | (133,308 | ) | ||||||||
Net Increase (Decrease) from Class C Transactions | 1,039 | (795 | ) | (8,051 | ) | 4,516 | ||||||||||
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 | 156,803 | 238,531 | 96,052 | 274,378 | ||||||||||||
Reinvestment of Dividends & Distributions | — | — | 3 | 5 | ||||||||||||
Cost of Shares Redeemed | (148,807 | ) | (241,261 | ) | (97,652 | ) | (266,480 | ) | ||||||||
Net Increase (Decrease) from Sweep Class Transactions | 7,996 | (2,730 | ) | (1,597 | ) | 7,903 | ||||||||||
Net Increase (Decrease) in Net Assets from Capital Shares Transactions | 2,796 | 92,115 | 145,160 | 263,231 | ||||||||||||
Net Increase (Decrease) in Net Assets | 2,796 | 92,112 | 145,160 | 263,231 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of Period | 367,418 | 275,306 | 1,473,716 | 1,210,485 | ||||||||||||
End of Period | $ | 370,214 | $ | 367,418 | $ | 1,618,876 | $ | 1,473,716 | ||||||||
Undistributed (Distributions in Excess of) Net Investment Income | $ | 2 | $ | 2 | $ | — | $ | — |
Amounts designated as “—” are zero or have been rounded to zero
N/A — Not applicable. Class H and Sweep Class currently not offered.
The accompanying notes are an integral part of the financial statements.
44 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Government II Fund | Prime Obligation Fund | Treasury Fund | Treasury II Fund | |||||||||||||||||||||||||||
2/1/13-7/31/13 | 2/1/12-1/31/13 | 2/1/13-7/31/13 | 2/1/12-1/31/13 | 2/1/13-7/31/13 | 2/1/12-1/31/13 | 2/1/13-7/31/13 | 2/1/12-1/31/13 | |||||||||||||||||||||||
$ | 61 | $ | 138 | $ | 284 | $ | 2,739 | $ | 15 | $ | 38 | $ | 38 | $ | 79 | |||||||||||||||
1 | 3 | 3 | 8 | — | — | 2 | 4 | |||||||||||||||||||||||
62 | 141 | 287 | 2,747 | 15 | 38 | 40 | 83 | |||||||||||||||||||||||
| (55 | ) | (116 | ) | (276 | ) | (2,719 | ) | (4 | ) | (12 | ) | (22 | ) | (47 | ) | ||||||||||||||
(9 | ) | (17 | ) | (5 | ) | (13 | ) | (5 | ) | (10 | ) | (15 | ) | (31 | ) | |||||||||||||||
(1 | ) | (1 | ) | (2 | ) | (5 | ) | — | (1 | ) | (1 | ) | (1 | ) | ||||||||||||||||
— | — | — | (2 | ) | — | — | — | — | ||||||||||||||||||||||
— | — | (1 | ) | — | (6 | ) | (15 | ) | — | — | ||||||||||||||||||||
| — | | (25 | ) | — | — | — | — | — | (10 | ) | |||||||||||||||||||
— | (4 | ) | — | — | — | — | — | (5 | ) | |||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||
(65 | ) | (163 | ) | (284 | ) | (2,739 | ) | (15 | ) | (38 | ) | (38 | ) | (94 | ) | |||||||||||||||
| 1,340,138 | | 2,970,008 | 17,713,726 | 29,890,477 | 288,998 | 6,262,341 | 833,260 | 1,606,674 | |||||||||||||||||||||
5 | 14 | 61 | 646 | 2 | 6 | 8 | 20 | |||||||||||||||||||||||
(1,492,163 | ) | (3,040,818 | ) | (17,276,931 | ) | (30,283,897 | ) | (321,600 | ) | (6,379,528 | ) | (877,219 | ) | (1,618,448 | ) | |||||||||||||||
(152,020 | ) | (70,796 | ) | 436,856 | (392,774 | ) | (32,600 | ) | (117,181 | ) | (43,951 | ) | (11,754 | ) | ||||||||||||||||
| 534,665 | | 1,099,856 | 270,737 | 822,105 | 356,396 | 768,555 | 562,246 | 1,156,866 | |||||||||||||||||||||
7 | 16 | 2 | 5 | 4 | 7 | 2 | 6 | |||||||||||||||||||||||
(562,889 | ) | (1,061,718 | ) | (275,204 | ) | (838,507 | ) | (354,961 | ) | (773,983 | ) | (650,103 | ) | (1,221,088 | ) | |||||||||||||||
(28,217 | ) | 38,154 | (4,465 | ) | (16,397 | ) | 1,439 | (5,421 | ) | (87,855 | ) | (64,216 | ) | |||||||||||||||||
| 76,503 | | 120,872 | 118,743 | 357,784 | 61,521 | 114,411 | 22,026 | 76,698 | |||||||||||||||||||||
— | — | — | 1 | — | — | — | — | |||||||||||||||||||||||
(77,260 | ) | (117,158 | ) | (128,683 | ) | (365,734 | ) | (57,206 | ) | (110,411 | ) | (21,789 | ) | (76,640 | ) | |||||||||||||||
(757 | ) | 3,714 | (9,940 | ) | (7,949 | ) | 4,315 | 4,000 | 237 | 58 | ||||||||||||||||||||
| N/A | | N/A | 31,574 | 47,697 | N/A | N/A | N/A | N/A | |||||||||||||||||||||
N/A | N/A | 1 | 2 | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
N/A | N/A | (34,708 | ) | (47,916 | ) | N/A | N/A | N/A | N/A | |||||||||||||||||||||
N/A | N/A | (3,133 | ) | (217 | ) | N/A | N/A | N/A | N/A | |||||||||||||||||||||
| N/A | | N/A | 14,777 | 32,135 | 105,073 | 336,597 | N/A | N/A | |||||||||||||||||||||
N/A | N/A | — | — | — | — | N/A | N/A | |||||||||||||||||||||||
N/A | N/A | (13,917 | ) | (33,136 | ) | (104,108 | ) | (347,340 | ) | N/A | N/A | |||||||||||||||||||
N/A | N/A | 860 | (1,001 | ) | 965 | (10,743 | ) | N/A | N/A | |||||||||||||||||||||
(180,994 | ) | (28,928 | ) | 420,178 | (418,338 | ) | (25,881 | ) | (129,345 | ) | (131,569 | ) | (75,912 | ) | ||||||||||||||||
(180,997 | ) | (28,950 | ) | 420,181 | (418,330 | ) | (25,881 | ) | (129,345 | ) | (131,567 | ) | (75,923 | ) | ||||||||||||||||
| 1,450,957 | | 1,479,907 | 3,897,000 | 4,315,330 | 328,520 | 457,865 | 797,452 | 873,375 | |||||||||||||||||||||
$ | 1,269,960 | $ | 1,450,957 | $ | 4,317,181 | $ | 3,897,000 | $ | 302,639 | $ | 328,520 | $ | 665,885 | $ | 797,452 | |||||||||||||||
$ | (7 | ) | $ | (3 | ) | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) | $ | (1 | ) |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 45 |
Table of Contents
Statements of Changes in Net Assets ($ Thousands)
For the six months ended July 31, 2013 (Unaudited) and the year ended January 31, 2013
Ultra Short Duration Bond Fund | ||||||||
2/1/13-7/31/13 | 2/1/12-1/31/13 | |||||||
Operations: | ||||||||
Net Investment Income | $ | 783 | $ | 2,051 | ||||
Net Realized Gain (Loss) on Investments and Futures Contracts | 208 | (291 | ) | |||||
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts | (889 | ) | 3,625 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 102 | 5,385 | ||||||
Dividends and Distributions to Shareholders: | ||||||||
Net Investment Income | (1,080 | ) | (2,657 | ) | ||||
Net Capital Gains | — | — | ||||||
Total Dividends and Distributions | (1,080 | ) | (2,657 | ) | ||||
Capital Share Transactions: | ||||||||
Class A: | ||||||||
Proceeds from Shares Issued | 86,910 | 142,536 | ||||||
Reinvestment of Dividends & Distributions | 798 | 2,082 | ||||||
Cost of Shares Redeemed | (99,961 | ) | (161,341 | ) | ||||
Net Increase (Decrease) from Class A Transactions | (12,253 | ) | (16,723 | ) | ||||
Net Increase (Decrease) in Net Assets | (13,231 | ) | (13,995 | ) | ||||
Net Assets: | ||||||||
Beginning of Period | 241,007 | 255,002 | ||||||
End of Period | $ | 227,776 | $ | 241,007 | ||||
Undistributed (Distributions in Excess of) Net Investment Income | $ | (310 | ) | $ | (13 | ) | ||
Capital Share Transactions: | ||||||||
Class A: | ||||||||
Shares Issued | 9,289 | 15,275 | ||||||
Reinvestment of Distributions | 85 | 223 | ||||||
Shares Redeemed | (10,675 | ) | (17,309 | ) | ||||
Net Increase (Decrease) in Shares Outstanding from Share Transactions | (1,301 | ) | (1,811 | ) |
Amounts designated as “—“are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
46 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Short-Duration Government Fund | Intermediate-Duration Government Fund | GNMA Fund | ||||||||||||||||||||
2/1/13-7/31/13 | 2/1/12-1/31/13 | 2/1/13-7/31/13 | 2/1/12-1/31/13 | 2/1/13-7/31/13 | 2/1/12-1/31/13 | |||||||||||||||||
$ | 1,781 | $ | 3,815 | $ | 278 | $ | 755 | $ | 607 | $ | 2,337 | |||||||||||
(2,742 | ) | 6,757 | (313 | ) | 1,308 | (3,517 | ) | 5,572 | ||||||||||||||
(4,199 | ) | (4,462 | ) | (513 | ) | (1,219 | ) | (4,291 | ) | (2,636 | ) | |||||||||||
(5,160 | ) | 6,110 | (548 | ) | 844 | (7,201 | ) | 5,273 | ||||||||||||||
(3,243 | ) | (6,288 | ) | (350 | ) | (1,016 | ) | (2,241 | ) | (4,890 | ) | |||||||||||
— | (6,560 | ) | — | — | — | (6,583 | ) | |||||||||||||||
(3,243 | ) | (12,848 | ) | (350 | ) | (1,016 | ) | (2,241 | ) | (11,473 | ) | |||||||||||
| 228,386 | | 436,154 | 10,087 | 40,223 | 38,360 | 175,062 | |||||||||||||||
2,859 | 11,313 | 291 | 895 | 1,928 | 9,985 | |||||||||||||||||
(157,691 | ) | (468,755 | ) | (12,200 | ) | (74,881 | ) | (121,263 | ) | (117,438 | ) | |||||||||||
73,554 | (21,288 | ) | (1,822 | ) | (33,763 | ) | (80,975 | ) | 67,609 | |||||||||||||
65,151 | (28,026 | ) | (2,720 | ) | (33,935 | ) | (90,417 | ) | 61,409 | |||||||||||||
711,100 | 739,126 | 37,523 | 71,458 | 304,425 | 243,016 | |||||||||||||||||
$ | 776,251 | $ | 711,100 | $ | 34,803 | $ | 37,523 | $ | 214,008 | $ | 304,425 | |||||||||||
$ | (910 | ) | $ | 552 | $ | 67 | $ | 139 | $ | (1,641 | ) | $ | (7 | ) | ||||||||
| 21,607 | | 40,674 | 854 | 3,374 | 3,614 | 16,023 | |||||||||||||||
271 | 1,056 | 25 | 75 | 183 | 917 | |||||||||||||||||
(14,921 | ) | (43,700 | ) | (1,039 | ) | (6,290 | ) | (11,454 | ) | (10,770 | ) | |||||||||||
6,957 | (1,970 | ) | (160 | ) | (2,841 | ) | (7,657 | ) | 6,170 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 47 |
Table of Contents
For the six months ended July 31, 2013 (Unaudited) and for the years ending January 31, 2013
For a Share Outstanding Throughout the Period
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.01 | % | $ | 249,031 | 0.17 | %(3) | 0.67 | % | 0.03 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | (1) | — | (1) | 1.00 | 0.09 | 255,063 | 0.18 | 0.68 | 0.09 | |||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.06 | 146,460 | 0.18 | 0.68 | 0.06 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Class B |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 59,862 | 0.19 | %(3) | 0.72 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | (1) | — | (1) | 1.00 | 0.01 | 60,069 | 0.26 | (3) | 0.73 | 0.01 | ||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 73,035 | 0.23 | (3) | 0.73 | 0.01 | |||||||||||||||||||||||||||||||||||||||
2011 | 1.00 | — | — | — | — | — | (1) | — | (1) | — | (1) | 1.00 | 0.01 | 39,352 | 0.30 | 0.80 | 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 | |||||||||||||||||||||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 33,353 | 0.19 | %(3) | 0.92 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | (2) | — | (1) | 1.00 | 0.01 | 32,314 | 0.26 | (3) | 0.93 | 0.01 | ||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 33,110 | 0.23 | (3) | 0.93 | 0.01 | |||||||||||||||||||||||||||||||||||||||
2011 | 1.00 | — | — | — | — | — | (1) | — | (2) | — | (1) | 1.00 | 0.01 | 52,876 | 0.30 | 0.80 | 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 | |||||||||||||||||||||||||||||||||||||
Sweep Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 27,968 | 0.19 | %(3) | 1.17 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | (2) | — | (1) | 1.00 | 0.01 | 19,972 | 0.26 | (3) | 1.18 | 0.01 | ||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 22,701 | 0.23 | (3) | 1.18 | 0.01 | |||||||||||||||||||||||||||||||||||||||
2011 | 1.00 | — | — | — | — | — | (1) | — | (2) | — | (1) | 1.00 | 0.01 | 26,603 | 0.31 | 0.81 | 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 | |||||||||||||||||||||||||||||||||||||
Government Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.01 | % | $ | 1,440,028 | 0.11 | %(3) | 0.58 | % | 0.02 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.02 | 1,292,334 | 0.16 | (3) | 0.59 | 0.02 | |||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.05 | 1,054,551 | 0.10 | (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 | |||||||||||||||||||||||||||||||||||||||
Class B |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.01 | % | $ | 140,808 | 0.11 | %(3) | 0.63 | % | 0.02 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.02 | 133,693 | 0.16 | (3) | 0.64 | 0.02 | |||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.05 | 120,664 | 0.09 | (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 | |||||||||||||||||||||||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.01 | % | $ | 4,501 | 0.11 | %(3) | 0.83 | % | 0.02 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.02 | 12,552 | 0.16 | (3) | 0.84 | 0.02 | |||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.05 | 8,036 | 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 | |||||||||||||||||||||||||||||||||||||||
Sweep Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.01 | % | $ | 33,539 | 0.11 | %(3) | 1.08 | % | 0.02 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.02 | 35,137 | 0.16 | 1.09 | 0.02 | ||||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.05 | 27,234 | 0.09 | 1.09 | 0.05 | ||||||||||||||||||||||||||||||||||||||||
2011 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.05 | 25,158 | 0.16 | 1.09 | 0.05 | ||||||||||||||||||||||||||||||||||||||||
2010 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.06 | 30,018 | 0.30 | (3)(4) | 1.07 | 0.07 | |||||||||||||||||||||||||||||||||||||||
2009 | 1.00 | 0.01 | — | — | 0.01 | (0.01 | ) | — | (0.01 | ) | 1.00 | 1.39 | 45,154 | 0.96 | (3)(4) | 1.04 | 1.34 |
Amounts designated as “—” are zero or have been rounded to zero.
(1) | Amount represents less than $0.01 per share. |
(2) | The expense ratio includes the Treasury Guarantee Program expense. The Fund participated in the Temporary Guarantee Program for Money Market Funds from September 18, 2008 through September 18, 2009. Had the expense been excluded, the expense ratio would have been equal to, or less than, the expense ratio cap figure. See Note 3 for expense ratio cap figure. |
(3) | The Distributor and/or Administrator have voluntarily agreed to waive and reduce its fee and/or reimburse certain expenses of the Fund in order to limit the one-day net income yield of the Fund to not less than 0.01% of the Fund’s average daily net assets of the share class. Had these waivers and the Treasury Guarantee Program expense been excluded the ratio would have been at the expense ratio cap figure. See Note 3 for expense ratio cap figure. |
(4) | Amount represents less than 0.01%. |
* | Per share calculations were performed using average shares. |
@ | For the six month period ended July 31, 2013. All ratios for the period have been annualized. |
† | Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
†† | The total return includes payment by affiliate. Had the payment been excluded the total return would have been 1.61%, 1.31%, 1.11% and 0.86% for Class A, Class B, Class C and Sweep Class, respectively. |
The accompanying notes are an integral part of the financial statements.
48 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
Net Asset Value, Beginning of Period | Net Investment Income* | Net Realized and Unrealized Gains (Losses) on Securities | Payment by Affiliate | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 1,085,182 | 0.10 | %(3) | 0.53 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | (2) | — | (1) | 1.00 | 0.01 | 1,237,205 | 0.12 | (3) | 0.54 | 0.01 | ||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 1,308,018 | 0.09 | (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 | |||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 176,413 | 0.10 | %(3) | 0.58 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | (2) | — | (1) | 1.00 | 0.01 | 204,630 | 0.12 | (3) | 0.59 | 0.01 | ||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 166,481 | 0.09 | (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 | |||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 8,365 | 0.10 | %(3) | 0.78 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | (2) | — | (1) | 1.00 | 0.01 | 9,122 | 0.12 | (3) | 0.79 | 0.01 | ||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 5,408 | 0.10 | (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 | |||||||||||||||||||||||||||||||||||||||
Prime Obligation Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.01 | % | $ | 4,151,577 | 0.19 | % | 0.53 | % | 0.02 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.07 | 3,714,719 | 0.20 | 0.54 | 0.07 | ||||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.04 | 4,107,485 | 0.20 | 0.54 | 0.04 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 115,116 | 0.19 | %(3) | 0.58 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 119,581 | 0.26 | (3) | 0.59 | 0.01 | |||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 135,978 | 0.23 | (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 | |||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 24,163 | 0.19 | %(3) | 0.78 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 34,102 | 0.26 | (3) | 0.79 | 0.01 | |||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 42,051 | 0.23 | (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 | |||||||||||||||||||||||||||||||||||||||
Class H |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 22,296 | 0.19 | %(3) | 0.71 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 25,429 | 0.26 | (3) | 0.72 | 0.01 | |||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 25,646 | 0.23 | (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 | |||||||||||||||||||||||||||||||||||||||
Sweep Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 4,029 | 0.19 | %(3) | 1.03 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 3,169 | 0.26 | (3) | 1.04 | 0.01 | |||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 4,170 | 0.23 | (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 |
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 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, 2013. 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 (3.28)%, (3.41)%, (3.42)%, (3.45)% and (3.42)% for Class A, Class B, Class C, Class H and Sweep Class, respectively. |
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 49 |
Table of Contents
Financial Highlights
For the six months ended July 31, 2013 (Unaudited) and for the years ending January 31, 2013
For a Share Outstanding Throughout the Period
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 |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 49,739 | 0.10 | %(3) | 0.58 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 82,339 | 0.14 | (3) | 0.59 | 0.01 | |||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 199,520 | 0.08 | (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 | |||||||||||||||||||||||||||||||||||||||
Class B |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 110,044 | 0.10 | %(3) | 0.63 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 108,605 | 0.14 | (3) | 0.64 | 0.01 | |||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 114,026 | 0.08 | (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 | |||||||||||||||||||||||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 15,298 | 0.10 | %(3) | 0.83 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 10,983 | 0.14 | (3) | 0.84 | 0.01 | |||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 6,984 | 0.08 | (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 | |||||||||||||||||||||||||||||||||||||||
Sweep Class |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 127,558 | 0.10 | %(3) | 1.08 | % | 0.01 | % | |||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 126,593 | 0.14 | (3) | 1.09 | 0.01 | |||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 137,336 | 0.08 | (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 | |||||||||||||||||||||||||||||||||||||||
Treasury II Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 416,640 | 0.07 | %(3) | 0.58 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | (4) | — | (1) | 1.00 | 0.01 | 460,590 | 0.08 | (3) | 0.59 | 0.01 | ||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 472,352 | 0.05 | (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 | |||||||||||||||||||||||||||||||||||||||
Class B |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 243,026 | 0.07 | %(3) | 0.63 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | (4) | — | (1) | 1.00 | 0.01 | 330,880 | 0.08 | (3) | 0.64 | 0.01 | ||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 395,099 | 0.05 | (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 | |||||||||||||||||||||||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 1.00 | $ | — | $ | — | $ | — | $ | — | $ | — | (1) | $ | — | $ | — | (1) | $ | 1.00 | 0.00 | %(4) | $ | 6,219 | 0.07 | %(3) | 0.83 | % | 0.01 | % | ||||||||||||||||||||||||||
2013 | 1.00 | — | — | — | — | — | (1) | — | (4) | — | (1) | 1.00 | 0.01 | 5,982 | 0.08 | (3) | 0.84 | 0.01 | ||||||||||||||||||||||||||||||||||||||
2012 | 1.00 | — | — | — | — | — | (1) | — | — | (1) | 1.00 | 0.01 | 5,924 | 0.05 | (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 |
Amounts designated as “—” are zero or have been rounded to zero.
(1) | Amount represents less than $0.01 per share. |
(2) | The expense ratio includes the Treasury Guarantee Program expense. The Fund participated in the Temporary Guarantee Program for Money Market Funds from September 18, 2008 through September 18, 2009. Had the expense been excluded, the expense ratio would have been equal to, or less than, the expense ratio cap figure. See Note 3 for expense ratio cap figure. |
(3) | The Distributor and/or Administrator have voluntarily agreed to waive and reduce its fee and/or reimburse certain expenses of the Fund in order to limit the one-day net income yield of the Fund to not less than 0.01% of the Fund’s average daily net assets of the share class. Had these waivers and the Treasury Guarantee Program expense been excluded the ratio would have been at the expense ratio cap figure. See Note 3 for expense ratio cap figure. |
(4) | Amount represents less than 0.01%. |
* | Per share calculations were performed using average shares. |
@ | For the six month period ended July 31, 2013. All ratios for the period have been annualized. |
† | Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
The accompanying notes are an integral part of the financial statements.
50 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
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Net Asset Value, Beginning of Period | Net Investment Income* | Net Realized and Unrealized Gains (Losses) on Securities | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital Gains | Total Dividends and Distributions | Net Asset Value, End of Period | Total Return† | Net Assets End of Period ($ 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† | |||||||||||||||||||||||||||||||||||||||||||
Ultra Short Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 9.37 | $ | 0.03 | $ | (0.03 | ) | $ | — | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | $ | 9.33 | 0.02 | % | $ | 227,776 | 0.38 | % | 0.74 | % | 0.65 | % | 72 | % | |||||||||||||||||||||||||
2013 | 9.26 | 0.08 | 0.13 | 0.21 | (0.10 | ) | — | (0.10 | ) | 9.37 | 2.31 | 241,007 | 0.38 | 0.74 | 0.85 | 197 | ||||||||||||||||||||||||||||||||||||||||
2012 | 9.33 | 0.10 | (0.05 | ) | 0.05 | (0.12 | ) | — | (0.12 | ) | 9.26 | 0.55 | 255,002 | 0.38 | 0.74 | 1.08 | 177 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Short-Duration Government Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 10.62 | $ | 0.03 | $ | (0.10 | ) | $ | (0.07 | ) | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | $ | 10.50 | (0.70 | )% | $ | 776,251 | 0.48 | % | 0.74 | % | 0.49 | % | 373 | % | ||||||||||||||||||||||||
2013 | 10.72 | 0.06 | 0.04 | 0.10 | (0.10 | ) | (0.10 | ) | (0.20 | ) | 10.62 | 0.92 | 711,100 | 0.48 | 0.74 | 0.55 | 628 | |||||||||||||||||||||||||||||||||||||||
2012 | 10.59 | 0.09 | 0.17 | 0.26 | (0.12 | ) | (0.01 | ) | (0.13 | ) | 10.72 | 2.53 | 739,126 | 0.48 | 0.74 | 0.85 | 712 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Intermediate-Duration Government Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 11.89 | $ | 0.09 | $ | (0.26 | ) | $ | (0.17 | ) | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | $ | 11.61 | (1.42 | )% | $ | 34,803 | 0.53 | % | 0.75 | % | 1.53 | % | 257 | % | ||||||||||||||||||||||||
2013 | 11.91 | 0.16 | 0.03 | 0.19 | (0.21 | ) | — | (0.21 | ) | 11.89 | 1.63 | 37,523 | 0.53 | 0.73 | 1.33 | 740 | ||||||||||||||||||||||||||||||||||||||||
2012 | 11.32 | 0.17 | 0.64 | 0.81 | (0.22 | ) | — | (1) | (0.22 | ) | 11.91 | 7.22 | 71,458 | 0.53 | 0.74 | 1.47 | 726 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
GNMA Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
2013@ | $ | 10.70 | $ | 0.03 | $ | (0.34 | ) | $ | (0.31 | ) | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | $ | 10.30 | (2.89 | )% | $ | 214,008 | 0.63 | % | 0.70 | % | 0.48 | % | 387 | % | ||||||||||||||||||||||||
2013 | 10.91 | 0.09 | 0.13 | 0.22 | (0.19 | ) | (0.24 | ) | (0.43 | ) | 10.70 | 1.98 | 304,425 | 0.63 | 0.70 | 0.83 | 867 | |||||||||||||||||||||||||||||||||||||||
2012 | 10.58 | 0.02 | 0.83 | 0.85 | (0.13 | ) | (0.39 | ) | (0.52 | ) | 10.91 | 8.09 | 243,016 | 0.63 | 0.70 | 0.22 | 1,515 | |||||||||||||||||||||||||||||||||||||||
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 |
Amounts designated as “—” are zero or have been rounded to zero.
(1) | Amount represents less than $0.01 per share. |
* | Per share calculations were performed using average shares. |
@ | For the six month period ended July 31, 2013. 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 accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 51 |
Table of Contents
Notes to Financial Statements (Unaudited)
July 31, 2013
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 Ultra Short Duration Bond, Short-Duration Government, Intermediate-Duration Government and GNMA (each a “Fund,” collectively the “Fixed Income Funds”). The Trust is registered to offer: Class A shares of the Funds; Class B and Class C shares of the Money Market, Prime Obligation, Government, Government II, Treasury and Treasury II Funds; Class H shares of the Prime Obligation Fund; and Sweep Class shares of the Money Market, Government and Treasury Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Funds’ prospectuses provide a description of each Fund’s investment objective and strategies.
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 (“U.S. 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 third party 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 Fixed Income 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, 2013, there were no fair valued securities in the Funds.
In accordance with U.S. 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 inthe 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).
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified
52 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
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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.
For the six-month period ended July 31, 2013, 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 — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in 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 — To the extent consistent with its Investment Objective and Strategies, the Fixed Income Funds utilized futures contracts during the six-month period ended July 31, 2013. 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 Funds’ 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 — To the extent consistent with its Investment Objective and Strategies, 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 exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 53 |
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Notes to Financial Statements (Unaudited) (Continued)
July 31, 2013
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. There were no outstanding swap agreements as of July 31, 2013.
Options Written/Purchased — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options contracts to add return or to hedge their existing portfolio securities. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing or writing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Fund
pays a premium whether or not the option is exercised. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. There were no outstanding options contracts as of July 31, 2013.
TBA Purchase Commitments — To the extent consistent with its Investment Objective and Strategies, 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 — To the extent consistent with its Investment Objective and Strategies, 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
54 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
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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, 2013, 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.
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 Funds charge a redemption fee based on a redemption, or a series of redemptions from a single identifiable source that in the aggregate exceed a specified dollar threshold within any thirty day period, as presented below:
Dollar Threshold ($ Thousands) | Redemption Fee | |||||||
Ultra Short Duration Bond Fund | $ | 10,000 | 0.50 | % | ||||
Short-Duration Government Fund | 25,000 | 0.25 | % | |||||
Intermediate-Duration Government Fund | 10,000 | 0.25 | % | |||||
GNMA Fund | 10,000 | 0.25 | % |
For the six-month period ended July 31, 2013, 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. INVESTMENT ADVISORY, ADMINISTRATION, DISTRIBUTION AND CUSTODIAN AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory, Administration, Distribution and Custodian Agreements — SEI Investments Management Corporation (“SIMC”) serves as each Fund’s investment adviser (the “Adviser”) and “manager of managers” under an investment advisory agreement approved by the shareholders of each Fund. In connection with serving as Adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund.
SEI Investments Global Funds Services (the “Administrator”) provides the Trust with administrative and transfer agency services. For its services, the Administrator is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund.
SEI Investments Distribution Co. (the “Distributor”), a wholly owned subsidiary of SEI Investments Company (“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.
The Adviser, Administrator and/or Distributor have voluntarily agreed to waive a portion of their fees in order to keep total direct operating expenses (exclusive of interest from borrowings, brokerage commissions, taxes, Trustee fees, prime broker fees, interest and dividend expenses related to short sales and extraordinary expenses not incurred in the ordinary course of the Funds’ business) at a specified level.
The waivers by the Funds’ Adviser, Administrator and/or Distributor are limited to the Funds’ direct operating expenses and, therefore, do not apply to indirect expenses incurred by the Funds, such as acquired fund fees and expenses. The waivers are voluntarily and the Funds’ Adviser, Administrator and/or Distributor may discontinue all or part of any of these waivers at any time. In addition, some Funds may participate in a commission recapture program where the Funds’ trades may be executed through the Funds’ distributor, and a portion of the commissions paid on those trades are then used to pay the Funds’ expenses.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 55 |
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Notes to Financial Statements (Unaudited) (Continued)
July 31, 2013
The following is a summary of annual fees payable to the Adviser, Administrator and Distributor and the voluntary expense limitations for each fund:
Advisory Fees | Administration Fees | Shareholder Servicing Fees | Administrative Service Fees | Distribution Fees* | Voluntary Expense Limitations | |||||||||||||||||||
Money Market Fund | ||||||||||||||||||||||||
Class A | 0.07 | % | 0.33 | % | 0.25 | % | — | — | 0.18 | %(1) | ||||||||||||||
Class B | 0.07 | % | 0.33 | % | 0.25 | % | 0.05 | % | — | 0.48 | %(1) | |||||||||||||
Class C | 0.07 | % | 0.33 | % | 0.25 | % | 0.25 | % | — | 0.68 | %(1) | |||||||||||||
Sweep Class | 0.07 | % | 0.33 | % | 0.25 | % | — | 0.50 | % | 0.93 | %(1) | |||||||||||||
Government Fund | ||||||||||||||||||||||||
Class A | 0.07 | % | 0.24 | % | 0.25 | % | — | — | 0.20 | %(3) | ||||||||||||||
Class B | 0.07 | % | 0.24 | % | 0.25 | % | 0.05 | % | — | 0.50 | %(3) | |||||||||||||
Class C | 0.07 | % | 0.24 | % | 0.25 | % | 0.25 | % | — | 0.70 | %(3) | |||||||||||||
Sweep Class | 0.07 | % | 0.24 | % | 0.25 | % | — | 0.50 | % | 0.95 | %(1) | |||||||||||||
Government II Fund | ||||||||||||||||||||||||
Class A | 0.07 | % | 0.19 | % | 0.25 | % | — | — | 0.20 | %(2) | ||||||||||||||
Class B | 0.07 | % | 0.19 | % | 0.25 | % | 0.05 | % | — | 0.50 | %(2) | |||||||||||||
Class C | 0.07 | % | 0.19 | % | 0.25 | % | 0.25 | % | — | 0.70 | %(2) | |||||||||||||
Prime Obligation Fund | ||||||||||||||||||||||||
Class A | 0.07 | % | 0.19 | % | 0.25 | % | — | — | 0.20 | %(2) | ||||||||||||||
Class B | 0.07 | % | 0.19 | % | 0.25 | % | 0.05 | % | — | 0.50 | %(2) | |||||||||||||
Class C | 0.07 | % | 0.19 | % | 0.25 | % | 0.25 | % | — | 0.70 | %(2) | |||||||||||||
Class H | 0.07 | % | 0.19 | % | 0.25 | % | 0.18 | % | — | 0.63 | %(1) | |||||||||||||
Sweep Class | 0.07 | % | 0.19 | % | 0.25 | % | — | 0.50 | % | 0.95 | %(1) | |||||||||||||
Treasury Fund | ||||||||||||||||||||||||
Class A | 0.07 | % | 0.24 | % | 0.25 | % | — | — | 0.20 | %(2) | ||||||||||||||
Class B | 0.07 | % | 0.24 | % | 0.25 | % | 0.05 | % | — | 0.50 | %(2) | |||||||||||||
Class C | 0.07 | % | 0.24 | % | 0.25 | % | 0.25 | % | — | 0.70 | %(2) | |||||||||||||
Sweep Class | 0.07 | % | 0.24 | % | 0.25 | % | — | 0.50 | % | 0.95 | %(1) | |||||||||||||
Treasury II Fund | ||||||||||||||||||||||||
Class A | 0.07 | % | 0.24 | % | 0.25 | % | — | — | 0.20 | %(2) | ||||||||||||||
Class B | 0.07 | % | 0.24 | % | 0.25 | % | 0.05 | % | — | 0.50 | %(2) | |||||||||||||
Class C | 0.07 | % | 0.24 | % | 0.25 | % | 0.25 | % | — | 0.70 | %(2) | |||||||||||||
Ultra Short Duration Bond Fund | ||||||||||||||||||||||||
Class A | 0.10 | %(5) | 0.35 | % | 0.25 | % | — | — | 0.38 | %(4) | ||||||||||||||
Short-Duration Government Fund | ||||||||||||||||||||||||
Class A | 0.09 | %(5) | 0.35 | % | 0.25 | % | — | — | 0.48 | %(4) | ||||||||||||||
Intermediate-Duration Government Fund | ||||||||||||||||||||||||
Class A | 0.09 | %(5) | 0.35 | % | 0.25 | % | — | — | 0.53 | %(4) | ||||||||||||||
GNMA Fund | ||||||||||||||||||||||||
Class A | 0.09 | %(5) | 0.32 | % | 0.25 | % | — | — | 0.63 | %(4) |
(1) | Represents a voluntary cap that may be discontinued at any time. |
(2) | Represents a contractual cap effective through January 31, 2014, 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, 2014, 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 Ultra Short Duration Bond, Short-Duration Government, Intermediate-Duration Government and GNMA Funds were .35%, .45%, .50%, and .60%, respectively. |
(5) | The Adviser 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 $1 billion for the Ultra Short Duration Bond Fund, Short-Duration Government, Intermediate-Duration Government and GNMA Funds. The fee is calculated based on the combined assets of these Funds. |
* | These payments are characterized as “compensation” and are not directly tied to expenses incurred by the Distributor. The payments the Distributor receives during any year may therefore be higher or lower than its actual expenses. These payments may be used to compensate sweep class shareholders who provide distribution-related services to their customers. |
56 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
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The Distributor has voluntarily waived all or a portion of the shareholder servicing fees for Class A of each fund, except for the GNMA Fund, since inception of the plan. Such waivers are voluntary and may be discontinued at any time. For Classes B, C, and H, the shareholder servicing fees and the administrative service fees are shown combined as “Administrative & Shareholder Servicing Fees” in the Statements of Operations. The Administrator and Distributor have voluntarily agreed to waive and reduce their fee and/or reimburse certain expenses of the Money Market Funds in order to limit the one-day net income yield of the Funds to not less than 0.01% of the Funds’ average daily net assets. The following table shows the waivers by class for the six-month period ended July 31, 2013 ($ Thousands):
Administrative & Shareholder Servicing Fee Waiver | Administrative Fee Waiver | |||||||
Money Market Fund | ||||||||
Class A | $ | — | $ | 16 | ||||
Class B | 84 | 2 | ||||||
Class C | 69 | 1 | ||||||
Sweep Class | 95 | 1 | ||||||
Government Fund | ||||||||
Class A | — | 612 | ||||||
Class B | 188 | 57 | ||||||
Class C | 12 | 2 | ||||||
Sweep Class | 110 | 13 | ||||||
Government II Fund | ||||||||
Class A | — | 565 | ||||||
Class B | 284 | 97 | ||||||
Class C | 30 | 6 | ||||||
Prime Obligation Fund | ||||||||
Class A | — | 255 | ||||||
Class B | 166 | 8 | ||||||
Class C | 93 | 2 | ||||||
Class H | 50 | 2 | ||||||
Sweep Class | 4 | — | ||||||
Treasury Fund | ||||||||
Class A | — | 36 | ||||||
Class B | 159 | 55 | ||||||
Class C | 27 | 6 | ||||||
Sweep Class | 441 | 61 | ||||||
Treasury II Fund | ||||||||
Class A | — | 285 | ||||||
Class B | 458 | 197 | ||||||
Class C | 20 | 5 |
Pursuant to the “manager of managers” structure, the Board of Trustees approved BofA Advisors, LLC as sub-adviser to the Money Market Funds, Logan Circle Partners, L.P. serves as a sub-adviser to the Ultra Short Duration Bond Fund and Wellington Management Company, LLP (“Wellington LLP”) serves as sub-adviser to the Fixed Income Funds. Each sub-adviser is party to an investment sub-advisory agreement with the Adviser. For its services to the Funds, the sub-advisers are entitled to receive a fee paid directly by the Adviser.
Other — Certain officers and Trustees of the Trust are also officers and/or Trustees of the Administrator, Adviser, or the Distributor. The
Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator, Adviser and/or the Distributor 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 oversight 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 reviewed 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. For the six-month period ended July 31, 2013, the Trust has not participated in the Program.
4. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities, other than short-term investments, for the six month period ended July 31, 2013, were as follows for the Fixed Income Funds:
Ultra Short Duration Bond Fund ($ Thousands) | Short- Duration Government Fund | Intermediate- Duration Government Fund | GMNA Fund ($ Thousands) | |||||||||||||
Purchases | ||||||||||||||||
U.S. Government | $ | 77,578 | $ | 2,832,807 | $ | 93,048 | $ | 977,806 | ||||||||
Other | 48,000 | — | — | — | ||||||||||||
Sales | ||||||||||||||||
U.S. Government | 96,426 | 2,669,806 | 99,094 | 1,059,415 | ||||||||||||
Other | 63,521 | 606 | 105 | 64 |
5. 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
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 57 |
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Notes to Financial Statements (Unaudited) (Continued)
July 31, 2013
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 | 2013 | $ | 227 | $ | — | $ | 227 | |||||||||
2012 | 147 | — | 147 | |||||||||||||
Government Fund | 2013 | 265 | — | 265 | ||||||||||||
2012 | 505 | — | 505 | |||||||||||||
Government II Fund | 2013 | 163 | — | 163 | ||||||||||||
2012 | 147 | — | 147 | |||||||||||||
Prime Obligation Fund | 2013 | 2,739 | — | 2,739 | ||||||||||||
2012 | 1,466 | — | 1,466 | |||||||||||||
Treasury Fund | 2013 | 38 | — | 38 | ||||||||||||
2012 | 51 | — | 51 | |||||||||||||
Treasury II Fund | 2013 | 94 | — | 94 | ||||||||||||
2012 | 56 | — | 56 | |||||||||||||
Ultra Short Duration Bond Fund | 2013 | 2,657 | — | 2,657 | ||||||||||||
2012 | 3,373 | — | 3,373 | |||||||||||||
Short-Duration Government Fund | 2013 | 11,946 | 902 | 12,848 | ||||||||||||
2012 | 8,871 | 137 | 9,008 | |||||||||||||
Intermediate-Duration Government Fund | 2013 | 1,016 | — | 1,016 | ||||||||||||
2012 | 1,242 | 1 | 1,243 | |||||||||||||
GNMA Fund | 2013 | 10,523 | 950 | 11,473 | ||||||||||||
2012 | 10,127 | 1,452 | 11,579 |
As of January 31, 2013, 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 Earnings/ (Accumulated Losses) ($ Thousands) | ||||||||||||||||||||||
Money Market Fund | $ | 15 | $ | — | $ | — | $ | — | $ | (13 | ) | $ | — | $ | 2 | |||||||||||||
Government Fund | 24 | — | (36 | ) | — | (24 | ) | — | (36 | ) | ||||||||||||||||||
Government II Fund | 10 | — | — | — | (13 | ) | — | (3 | ) | |||||||||||||||||||
Prime Obligation Fund | 82 | — | (59 | ) | — | (81 | ) | — | (58 | ) | ||||||||||||||||||
Treasury Fund | 3 | — | 27 | — | (3 | ) | — | 27 | ||||||||||||||||||||
Treasury II Fund | 6 | — | — | — | (7 | ) | — | (1 | ) | |||||||||||||||||||
Ultra Short Duration Bond Fund | 184 | — | (23,526 | ) | (213 | ) | (201 | ) | (150 | ) | (23,906 | ) | ||||||||||||||||
Short-Duration Government Fund | 575 | — | — | (915 | ) | (2,137 | ) | 10,604 | 8,127 | |||||||||||||||||||
Intermediate-Duration Government Fund | 186 | — | (1,151 | ) | (23 | ) | (52 | ) | 973 | (67 | ) | |||||||||||||||||
GNMA Fund | 464 | — | — | (818 | ) | (469 | ) | 6,677 | 5,854 |
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At January 31, 2013, the following Funds had capital loss carryforwards to offset future realized capital gains:
Amount ($ Thousands) | Expiration | |||||||
Government Fund | $ | 4 | 1/31/14 | |||||
32 | 1/31/16 | |||||||
Prime Obligation Fund | 59 | 1/31/17 | ||||||
Treasury Fund | 22 | 1/31/14 | ||||||
5 | 1/31/15 | |||||||
Ultra Short Duration Bond Fund | 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 fiscal year ended January 31, 2013, the Prime Obligation Fund and Intermediate-Duration Government Fund utilized $8,108 and $405,850, respectively, of capital loss carryforwards to offset capital gains. During the fiscal year ended January 31, 2013, the Government Fund, Treasury Fund and Ultra Short Duration Bond Fund had expired capital loss carryforwards of $48,872, $809 and $1,020,315, respectively.
Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
Losses carried forward under these new provisions are as follows ($ Thousands):
Short-Term Loss | Long-Term Loss | Total* | ||||||||||
Ultra Short Duration Bond Fund | $ | — | $ | 4,751 | $ | 4,751 | ||||||
Intermediate-Duration Government Fund | 861 | 290 | 1,151 |
*This | table should be used in conjunction with the capital loss carryforwards table. |
During the six month period ended July 31, 2013, 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, 2013, 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, 2013, were as follows:
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized Appreciation/ (Depreciation) ($ Thousands) | |||||||||||||
Ultra Short Duration Bond Fund | 231,793 | 596 | (1,648 | ) | $ | (1,052 | ) | |||||||||
Short-Duration Government Fund | 939,898 | 7,457 | (3,261 | ) | 4,196 | |||||||||||
Intermediate Duration Government Fund | 37,348 | 734 | (280 | ) | 454 | |||||||||||
GNMA Fund | 298,952 | 5,596 | (3,178 | ) | 2,418 |
Management has analyzed the Funds’ tax positions taken on the federal tax returns for all open tax years and has concluded that as of January 31, 2013, no provision for income tax is required in the Funds’ 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 more likely than not criteria established in ASC paragraph 740. 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 fiscal year ended January 31, 2010. Accordingly, no provision for taxes is required. The Funds’ federal income and excise tax returns are subject to examination by the IRS for all open tax years under the applicable Statute of Limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
6. 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.
7. RECENT ACCOUNTING PRONOUNCEMENT
In June 2013, the Financial Accounting Standards Board issued an update (“ASU 2013-08”) to ASC Topic 946, Financial Services—Investment Companies (“Topic 946”). ASU 2013-08 amends the guidance in Topic 946 for determining whether an entity qualifies as an investment company and requires certain additional disclosures. ASU 2013-08 is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. Management is currently evaluating the impact, if any, of ASU 2013-08 on the Funds’ financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 59 |
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Notes to Financial Statements (Unaudited) (Concluded)
July 31, 2013
8. 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 disclosures and/or adjustments were required to the financial statements.
60 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
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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.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 | 61 |
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Disclosure of Fund Expenses (Unaudited) (Concluded)
Beginning Account Value 2/1/13 | Ending Account Value 7/31/13 | Annualized Expense Ratios | Expenses Paid During Period* | |||||||||||||
Money Market Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,000.10 | 0.17 | % | $ | 0.84 | ||||||||
Class B | 1,000.00 | 1,000.00 | 0.19 | 0.94 | ||||||||||||
Class C | 1,000.00 | 1,000.00 | 0.19 | 0.94 | ||||||||||||
Sweep Class | 1,000.00 | 1,000.00 | 0.19 | 0.94 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,023.95 | 0.17 | % | $ | 0.85 | ||||||||
Class B | 1,000.00 | 1,023.85 | 0.19 | 0.95 | ||||||||||||
Class C | 1,000.00 | 1,023.85 | 0.19 | 0.95 | ||||||||||||
Sweep Class | 1,000.00 | 1,023.85 | 0.19 | 0.95 | ||||||||||||
Government Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,000.10 | 0.11 | % | $ | 0.55 | ||||||||
Class B | 1,000.00 | 1,000.10 | 0.11 | 0.55 | ||||||||||||
Class C | 1,000.00 | 1,000.10 | 0.11 | 0.55 | ||||||||||||
Sweep Class | 1,000.00 | 1,000.10 | 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 | ||||||||||||
Government II Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,000.00 | 0.10 | % | $ | 0.50 | ||||||||
Class B | 1,000.00 | 1,000.00 | 0.10 | 0.50 | ||||||||||||
Class C | 1,000.00 | 1,000.00 | 0.10 | 0.50 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,024.30 | 0.10 | % | $ | 0.50 | ||||||||
Class B | 1,000.00 | 1,024.30 | 0.10 | 0.50 | ||||||||||||
Class C | 1,000.00 | 1,024.30 | 0.10 | 0.50 | ||||||||||||
Prime Obligation Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,000.10 | 0.19 | % | $ | 0.94 | ||||||||
Class B | 1,000.00 | 1,000.00 | 0.19 | 0.94 | ||||||||||||
Class C | 1,000.00 | 1,000.00 | 0.19 | 0.94 | ||||||||||||
Class H | 1,000.00 | 1,000.00 | 0.19 | 0.94 | ||||||||||||
Sweep Class | 1,000.00 | 1,000.00 | 0.19 | 0.94 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,010.00 | 0.19 | % | $ | 0.95 | ||||||||
Class B | 1,000.00 | 1,023.85 | 0.19 | 0.95 | ||||||||||||
Class C | 1,000.00 | 1,023.85 | 0.19 | 0.95 | ||||||||||||
Class H | 1,000.00 | 1,023.85 | 0.19 | 0.95 | ||||||||||||
Sweep Class | 1,000.00 | 1,023.85 | 0.19 | 0.95 |
Beginning Account Value 2/1/13 | Ending Account Value 7/31/13 | Annualized Expense Ratios | Expenses Paid During Period* | |||||||||||||
Treasury Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,000.00 | 0.10 | % | $ | 0.50 | ||||||||
Class B | 1,000.00 | 1,000.00 | 0.10 | 0.50 | ||||||||||||
Class C | 1,000.00 | 1,000.00 | 0.09 | 0.45 | ||||||||||||
Sweep Class | 1,000.00 | 1,000.00 | 0.10 | 0.50 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,024.30 | 0.10 | % | $ | 0.50 | ||||||||
Class B | 1,000.00 | 1,024.30 | 0.10 | 0.50 | ||||||||||||
Class C | 1,000.00 | 1,024.35 | 0.09 | 0.45 | ||||||||||||
Sweep Class | 1,000.00 | 1,024.30 | 0.10 | 0.50 | ||||||||||||
Treasury II Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,000.00 | 0.07 | % | $ | 0.35 | ||||||||
Class B | 1,000.00 | 1,000.00 | 0.07 | 0.35 | ||||||||||||
Class C | 1,000.00 | 1,000.00 | 0.07 | 0.35 | ||||||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,024.45 | 0.07 | % | $ | 0.35 | ||||||||
Class B | 1,000.00 | 1,024.45 | 0.07 | 0.35 | ||||||||||||
Class C | 1,000.00 | 1,024.45 | 0.07 | 0.35 | ||||||||||||
Ultra Short Duration Bond Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,000.20 | 0.38 | % | $ | 1.88 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,022.91 | 0.38 | % | $ | 1.91 | ||||||||
Short-Duration Government Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 993.00 | 0.48 | % | $ | 2.37 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,022.41 | 0.48 | % | $ | 2.41 | ||||||||
Intermediate-Duration Government Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 985.80 | 0.53 | % | $ | 2.61 | ||||||||
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 | $ | 971.10 | 0.63 | % | $ | 3.08 | ||||||||
Hypothetical 5% Return |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,021.67 | 0.63 | % | $ | 3.16 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365. |
62 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2013 |
Table of Contents
SEI DAILY INCOME TRUST SEMI-ANNUAL REPORT JULY 31, 2013
Robert A. Nesher, Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
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
Aaron Buser
Vice President, Assistant Secretary
Stephen G. MacRae
Vice President
Edward McCusker
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)
Table of Contents
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-037 (7/13)
Table of Contents
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.
Included in Item 1.
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 Governance 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 18th 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.
Table of Contents
(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 1940 Act, as amended (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the 1940 Act, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an exhibit.
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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.
SEI Daily Income Trust | ||
By: | /s/ Robert A. Nesher | |
Robert A. Nesher, President & CEO |
Date: October 7, 2013
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.
By: | /s/ Robert A. Nesher | |
Robert A. Nesher, President & CEO |
Date: October 7, 2013
By: | /s/ Peter A. Rodriguez | |
Peter A. Rodriguez, Controller & CFO |
Date: October 7, 2013