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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-03451

SEI Daily Income Trust

(Exact name of registrant as specified in charter)

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Address of principal executive offices) (Zip code)

c/o CT Corporation

101 Federal Street

Boston, MA 02110

(Name and address of agent for service)

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

Date of fiscal year end: January 31, 2017

Date of reporting period: July 31, 2016

Item 1. Reports to Stockholders.

July 31, 2016

SEMI-ANNUAL REPORT

SEI Daily Income Trust

➤ Government Fund

➤ Government II Fund

➤ Treasury Fund

➤ Treasury II Fund

➤ Ultra Short Duration Bond Fund

➤ Short Duration Government Fund

➤ GNMA Fund

TABLE OF CONTENTS

Schedule of Investments	1
Statements of Assets and Liabilities	28
Statements of Operations	30
Statements of Changes in Net Assets	32
Financial Highlights	36
Notes to Financial Statements	38
Disclosure of Fund Expenses	47
Board of Trustees’ Considerations in Approving the Advisory Agreement	49

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

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

SCHEDULE OF INVESTMENTS (Unaudited)

Government Fund

July 31, 2016

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 48.6%
FFCB (A)
0.467%, 08/01/2016	$	10,527	$	10,527
0.495%, 08/03/2016		1,705		1,705
0.485%, 08/03/2016		15,738		15,739
0.440%, 08/03/2016		855		855
0.508%, 08/05/2016		19,210		19,208
0.498%, 08/05/2016		17,510		17,507
0.565%, 08/06/2016		490		490
0.480%, 08/06/2016		5,821		5,821
0.503%, 08/08/2016		3,420		3,420
0.464%, 08/09/2016		12,335		12,335
0.534%, 08/10/2016		30,000		29,997
0.504%, 08/11/2016		1,520		1,520
0.494%, 08/11/2016		3,605		3,605
0.506%, 08/12/2016		2,510		2,510
0.508%, 08/13/2016		44,545		44,554
0.503%, 08/13/2016		175		175
0.499%, 08/14/2016		8,250		8,250
0.502%, 08/16/2016		6,515		6,513
0.477%, 08/16/2016		8,170		8,170
0.532%, 08/17/2016		2,370		2,371
0.532%, 08/20/2016		14,585		14,584
0.517%, 08/20/2016		11,337		11,340
0.457%, 08/20/2016		6,895		6,895
0.493%, 08/23/2016		5,900		5,900
0.533%, 08/24/2016		8,455		8,457
0.528%, 08/24/2016		1,900		1,900
0.518%, 08/25/2016		13,989		13,995
0.520%, 08/26/2016		660		660
0.510%, 08/26/2016		895		895
0.563%, 08/28/2016		50,000		49,994
0.526%, 08/29/2016		27,645		27,643
0.516%, 08/29/2016		6,000		6,000
FFCB DN (B)
0.491%, 08/31/2016		6,616		6,613
0.350%, 09/12/2016		14,505		14,499
0.381%, 12/15/2016		36,325		36,273
0.441%, 01/23/2017		7,060		7,045
0.517%, 03/31/2017		24,000		23,917
0.583%, 06/23/2017		5,945		5,914
FHLB
0.523%, 08/06/2016 (A)		73,855		73,855
0.473%, 08/06/2016 (A)		50,000		50,000
0.525%, 08/07/2016 (A)		80,000		80,000
0.429%, 08/09/2016 (A)		7,915		7,915
0.535%, 08/14/2016 (A)		14,455		14,455

Description	Face Amount ($ Thousands)		Value ($ Thousands)
0.489%, 08/14/2016 (A)	$	36,000	$	35,996
0.449%, 08/14/2016 (A)		12,980		12,980
0.460%, 08/19/2016		5,300		5,300
0.487%, 08/20/2016 (A)		8,630		8,630
0.500%, 08/21/2016 (A)		7,485		7,483
0.475%, 08/21/2016 (A)		11,000		11,000
0.465%, 08/21/2016 (A)		42,500		42,497
0.537%, 08/22/2016 (A)		50,000		50,000
0.536%, 08/24/2016 (A)		43,365		43,365
0.488%, 08/25/2016 (A)		9,755		9,755
0.490%, 08/26/2016		9,245		9,245
0.470%, 08/26/2016		12,000		11,999
0.569%, 09/13/2016 (A)		23,145		23,145
0.518%, 09/15/2016 (A)		22,010		22,010
0.599%, 09/18/2016 (A)		35,000		35,000
0.626%, 10/08/2016 (A)		40,000		40,000
0.656%, 10/26/2016 (A)		80,000		79,994
0.636%, 10/26/2016 (A)		12,325		12,325
0.654%, 10/27/2016 (A)		25,000		24,998
FHLB DN (B)
0.304%, 08/02/2016		70,425		70,424
0.415%, 08/03/2016		84,200		84,198
0.310%, 08/09/2016		50,000		49,997
0.450%, 08/18/2016		5,240		5,239
0.491%, 08/19/2016		14,572		14,568
0.470%, 08/24/2016		89,144		89,117
0.495%, 08/26/2016		12,000		11,996
0.326%, 08/31/2016		112,000		111,970
0.458%, 09/02/2016		67,860		67,832
0.398%, 09/09/2016		50,000		49,978
0.405%, 09/14/2016		28,000		27,986
0.466%, 09/15/2016		25,000		24,986
0.400%, 09/16/2016		51,175		51,149
0.415%, 09/23/2016		100,000		99,939
0.380%, 09/27/2016		88,290		88,237
0.491%, 09/30/2016		22,000		21,982
0.401%, 10/03/2016		45,000		44,969
0.350%, 10/05/2016		20,000		19,987
0.391%, 10/07/2016		15,870		15,859
0.478%, 10/14/2016		35,000		34,966
0.377%, 10/21/2016		44,140		44,103
0.456%, 10/25/2016		20,000		19,979
0.451%, 10/26/2016		52,500		52,444
0.397%, 10/28/2016		70,555		70,488
0.449%, 11/14/2016		4,325		4,319
0.467%, 11/18/2016		115,505		115,342
0.401%, 11/25/2016		72,015		71,922
0.511%, 12/07/2016		40,000		39,927
0.499%, 12/21/2016		11,505		11,482
0.441%, 01/11/2017		33,180		33,114
0.451%, 01/13/2017		39,090		39,009
0.476%, 01/20/2017		138,230		137,916

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 1

SCHEDULE OF INVESTMENTS (Unaudited)

Government Fund (Concluded)

July 31, 2016

Description	Face Amount ($ Thousands)		Value ($ Thousands)
0.484%, 01/25/2017	$	135,000	$	134,680
0.481%, 01/27/2017		81,370		81,176
FHLMC
0.483%, 08/13/2016 (A)		12,000		11,999
FHLMC DN (B)
0.486%, 08/19/2016		7,320		7,318
0.320%, 08/26/2016		80,000		79,982
0.401%, 10/04/2016		50,000		49,965
0.401%, 10/05/2016		40,000		39,971
0.396%, 10/06/2016		21,000		20,985
0.391%, 10/20/2016		50,000		49,957
0.431%, 11/03/2016		50,000		49,944
0.451%, 12/16/2016		20,000		19,966
0.401%, 01/04/2017		12,590		12,568
0.411%, 01/17/2017		30,000		29,942
0.438%, 01/18/2017		15,745		15,712
FHLMC MTN (A)
0.492%, 08/20/2016		12,560		12,558
0.631%, 10/08/2016		22,855		22,855
0.637%, 10/12/2016		36,215		36,215
FNMA
0.503%, 02/16/2016 (A)		6,750		6,750
0.501%, 08/15/2016 (A)		8,442		8,442
0.502%, 08/16/2016 (A)		945		945
0.625%, 08/26/2016		480		480
0.510%, 08/26/2016 (A)		565		565
0.505%, 08/26/2016 (A)		20,093		20,091
0.597%, 09/20/2016 (A)		48,845		48,850
FNMA DN (B)
0.310%, 08/22/2016		55,000		54,990
0.431%, 10/05/2016		59,655		59,609
0.421%, 10/17/2016		40,000		39,964
0.350%, 12/16/2016		111,235		111,087
0.528%, 01/05/2017		120,485		120,208
0.441%, 02/14/2017		35,380		35,295
0.634%, 06/01/2017		8,710		8,663
Total U.S. Government Agency Obligations (Cost $3,966,899) ($ Thousands)				3,966,899
U.S. TREASURY OBLIGATIONS — 18.1%
U.S. Treasury Bill (B)
0.155%, 08/04/2016		200,000		199,997
0.250%, 08/18/2016		875,000		874,897
0.270%, 08/25/2016		79,000		78,986
0.285%, 09/08/2016		100,000		99,970
0.320%, 10/27/2016		119,000		118,908
0.411%, 01/19/2017		75,000		74,854

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. Treasury Note
2.750%, 11/30/2016	$	26,385	$	26,591
Total U.S. Treasury Obligations (Cost $1,474,203) ($ Thousands)				1,474,203
REPURCHASE AGREEMENTS (C) — 29.1%
Bank of Montreal 0.310%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $375,009,555 (collateralized by various U.S. Treasury obligations, ranging in par value $18,800 - $145,213,500, 0.125% - 1.875%, 05/31/2017 - 01/15/2022; with total market value $382,500,074)		375,000		375,000
Citigroup 0.350%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $205,005,897 (collateralized by various FMAC, FNMA and U.S. Treasury obligations, ranging in par value $1,000 - $142,011,000, 0.000% - 10.000%, 07/01/2017 - 05/25/2044; with total market value $214,068,534)		205,000		205,000
Goldman Sachs 0.250%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $65,001,336 (collateralized by various U.S. Treasury obligations, ranging in par value $3,984,700 - $43,136,900, 3.625% - 5.250%, 11/15/2028 - 02/15/2044; with total market value $66,300,096)		65,000		65,000
Goldman Sachs 0.300%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $300,007,397 (collateralized by various FFCB, FHLB and FNMA obligations, par value ranging $15,000 - $43,800,000, 0.000% - 5.125%, 08/01/2016 - 07/15/2036; with total market value $306,000,177)		300,000		300,000
Mitsubishi 0.360%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $200,005,918 (collateralized by various U.S. Treasury obligations, ranging in par value $59,600 - $81,079,700, 0.000% - 3.625%, 12/31/2020 - 02/28/2021; with total market value $204,000,017)		200,000		200,000

2 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Mitsubishi 0.300%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $480,011,836 (collateralized by various U.S. Treasury obligations, ranging in par value $100 - $90,513,500, 0.000% - 6.750%, 09/30/2016 - 05/15/2046; with total market value $489,600,053)	$	480,000	$	480,000
RBC Capital 0.310%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $150,003,822 (collateralized by various U.S. Treasury obligations, ranging in par value $59,608,800 - $88,877,800, 1.500% - 2.000%, 03/31/2023 - 08/15/2025; with total market value $153,000,033)		150,000		150,000
RBC Markets 0.320%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $250,006,575 (collateralized by various FNMA, FMAC and GNMA obligations, ranging in par value $4,654 - $34,944,865, 1.875% - 7.000%, 11/18/2018 - 08/01/2046; with total market value $256,678,370)		250,000		250,000
TD Bank 0.330%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $155,004,204 (collateralized by various U.S. Treasury obligations, ranging in par value $9,900 - $25,000,000, 0.000% - 3.000%, 10/27/2016 - 02/15/2046; with total market of $158,100,029)		155,000		155,000
TD Securities 0.350%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $200,005,753 (collateralized by various FMAC, FNMA, GNMA and U.S. Treasury obligations, par value $58,441 - $43,261,414, 1.750% - 4.500%, 02/28/2022 - 07/01/2046; with total market value $205,811,361)		200,000		200,000
Total Repurchase Agreements (Cost $2,380,000) ($ Thousands)				2,380,000
Total Investments — 95.8% (Cost $7,821,102) ($ Thousands)			$	7,821,102

Percentages are based on a Net Assets of $8,163,625 ($ Thousands).

(A) Variable Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect as of July 31, 2016. The demand and interest rate reset feature gives this security a shorter effective maturity date.

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

(C) Tri-Party Repurchase Agreement.

DN — Discount Note

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FMAC — Financial Management Advisory Committee

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

MTN — Medium Term Note

As of July 31, 2016, 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 six months ended July 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six months ended July 31, 2016, 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, 2016 3

SCHEDULE OF INVESTMENTS (Unaudited)

Government II Fund

July 31, 2016

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 72.3%
FFCB (A)
0.467%, 08/01/2016	$	5,855	$	5,855
0.505%, 08/02/2016		133		133
0.495%, 08/03/2016		5,280		5,280
0.485%, 08/03/2016		9,317		9,317
0.440%, 08/03/2016		570		570
0.508%, 08/05/2016		19,165		19,163
0.498%, 08/05/2016		6,250		6,249
0.565%, 08/06/2016		285		285
0.480%, 08/06/2016		3,904		3,904
0.508%, 08/08/2016		380		379
0.503%, 08/08/2016		2,080		2,080
0.464%, 08/09/2016		7,665		7,665
0.534%, 08/10/2016		10,000		9,999
0.504%, 08/11/2016		480		480
0.494%, 08/11/2016		2,295		2,295
0.506%, 08/12/2016		1,540		1,540
0.508%, 08/13/2016		23,750		23,758
0.488%, 08/13/2016		2,550		2,547
0.499%, 08/14/2016		5,250		5,250
0.489%, 08/14/2016		2,132		2,132
0.502%, 08/16/2016		3,228		3,227
0.477%, 08/16/2016		5,830		5,830
0.532%, 08/17/2016		1,360		1,360
0.532%, 08/20/2016		5,455		5,455
0.517%, 08/20/2016		6,968		6,970
0.457%, 08/20/2016		4,360		4,360
0.493%, 08/23/2016		4,100		4,100
0.533%, 08/24/2016		5,170		5,171
0.518%, 08/25/2016		9,011		9,015
0.520%, 08/26/2016		1,285		1,285
0.510%, 08/26/2016		605		605
0.546%, 08/27/2016		3,030		3,031
0.536%, 08/29/2016		50		50
0.526%, 08/29/2016		9,955		9,954
FFCB DN (B)
0.340%, 08/16/2016		10,200		10,199
0.300%, 08/22/2016		20,900		20,896
0.320%, 08/24/2016		20,000		19,996
0.270%, 08/29/2016		19,245		19,241
0.350%, 09/12/2016		15,495		15,489
0.391%, 11/08/2016		6,480		6,473
0.441%, 11/16/2016		5,220		5,213
0.371%, 12/05/2016		25,000		24,968
0.381%, 12/15/2016		13,060		13,041
0.461%, 12/16/2016		3,015		3,010
0.441%, 01/10/2017		18,915		18,877

Description	Face Amount ($ Thousands)		Value ($ Thousands)
0.602%, 01/20/2017	$	9,225	$	9,198
0.441%, 01/23/2017		2,495		2,490
0.542%, 01/24/2017		10,000		9,974
0.451%, 01/27/2017		9,815		9,793
0.542%, 02/10/2017		9,190		9,163
0.502%, 02/17/2017		2,510		2,503
0.542%, 02/21/2017		20,000		19,939
0.542%, 03/07/2017		3,915		3,902
0.502%, 03/16/2017		14,360		14,315
0.532%, 03/23/2017		7,417		7,391
0.593%, 03/30/2017		7,905		7,874
0.517%, 03/31/2017		20,000		19,931
FHLB
0.410%, 08/05/2016		1,810		1,810
0.525%, 08/07/2016 (A)		20,000		20,000
0.525%, 08/07/2016 (A)		25,000		25,000
0.429%, 08/09/2016 (A)		5,140		5,140
0.461%, 08/12/2016		10,000		9,999
0.535%, 08/14/2016 (A)		5,375		5,375
0.449%, 08/14/2016 (A)		7,265		7,265
0.460%, 08/19/2016		18,335		18,335
0.487%, 08/20/2016 (A)		3,500		3,500
0.500%, 08/21/2016 (A)		1,315		1,315
0.475%, 08/21/2016 (A)		6,000		6,000
0.536%, 08/24/2016 (A)		16,120		16,120
0.488%, 08/25/2016 (A)		5,245		5,245
0.490%, 08/26/2016		5,470		5,470
0.470%, 08/26/2016		3,725		3,725
1.360%, 09/06/2016		200		200
3.750%, 09/09/2016		920		923
0.518%, 09/15/2016 (A)		15,090		15,090
0.530%, 09/16/2016		1,890		1,890
0.599%, 09/18/2016 (A)		5,000		5,000
0.450%, 10/07/2016		3,000		3,000
0.656%, 10/26/2016 (A)		20,000		19,998
0.636%, 10/26/2016 (A)		7,360		7,360
0.654%, 10/27/2016 (A)		9,000		8,999
0.654%, 10/27/2016 (A)		12,140		12,140
FHLB DN (B)
0.421%, 08/10/2012		26,185		26,182
0.290%, 08/02/2016		7,125		7,125
0.450%, 08/03/2016		15,000		15,000
0.410%, 08/04/2016		120,000		119,996
0.401%, 08/17/2016		690		690
0.491%, 08/19/2016		8,753		8,751
0.464%, 08/24/2016		20,285		20,279
0.495%, 08/26/2016		11,331		11,327
0.290%, 08/30/2016		26,660		26,654
0.466%, 09/02/2016		19,125		19,117
0.501%, 09/07/2016		5,000		4,997
0.524%, 09/09/2016		13,149		13,142
0.576%, 09/14/2016		10,095		10,088

4 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Description	Face Amount ($ Thousands)		Value ($ Thousands)
0.400%, 09/16/2016	$	14,050	$	14,043
0.511%, 09/23/2016		20,000		19,985
0.380%, 09/27/2016		12,000		11,993
0.401%, 10/03/2016		35,000		34,975
0.478%, 10/14/2016		10,000		9,990
0.376%, 10/28/2016		113,115		113,013
0.550%, 11/18/2016		12,530		12,509
0.401%, 11/25/2016		14,735		14,716
0.441%, 01/11/2017		12,335		12,310
0.451%, 01/13/2017		14,055		14,026
0.481%, 01/27/2017		18,630		18,586
Tennessee Valley Authority DN
0.289%, 08/02/2016 (B)		92,800		92,799
Total U.S. Government Agency Obligations (Cost $1,304,362) ($ Thousands)				1,304,362
U.S. TREASURY OBLIGATIONS — 27.5%
U.S. Treasury Bill (B)
0.256%, 08/04/2016		227,000		226,995
0.290%, 08/11/2016		56,000		55,996
0.241%, 08/18/2016		34,000		33,996
0.262%, 08/25/2016		123,520		123,498
0.285%, 09/08/2016		31,200		31,191
U.S. Treasury Note
0.488%, 08/02/2016 (A)		14,000		14,010
2.750%, 11/30/2016		9,490		9,564
Total U.S. Treasury Obligations (Cost $495,250) ($ Thousands)				495,250
Total Investments — 99.8% (Cost $1,799,612) ($ Thousands)			$	1,799,612

Percentages are based on a Net Assets of $1,803,698 ($ Thousands).

(A) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of July 31, 2016. 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

As of July 31, 2016, 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 six months ended July 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six months ended July 31, 2016, 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, 2016 5

SCHEDULE OF INVESTMENTS (Unaudited)

Treasury Fund

July 31, 2016

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 77.2%
U.S. Treasury Bill (A)
0.420%, 08/18/2016	$	7,024	$	7,023
0.477%, 09/08/2016		1,798		1,797
0.505%, 09/15/2016		4,936		4,933
0.481%, 11/25/2016		5,000		4,992
0.387%, 01/05/2017		2,000		1,997
0.406%, 01/12/2017		3,000		2,994
0.422%, 01/19/2017		3,000		2,994
0.426%, 01/26/2017		15,000		14,968
U.S. Treasury Note
0.592%, 08/02/2016 (B)		1,000		1,000
0.510%, 08/02/2016 (B)		8,500		8,499
0.397%, 08/02/2016 (B)		5,520		5,519
0.373%, 08/02/2016 (B)		6,065		6,065
4.875%, 08/15/2016		10,000		10,018
0.625%, 08/15/2016		1,749		1,749
3.000%, 08/31/2016		6,872		6,886
0.500%, 08/31/2016		25,081		25,082
0.875%, 09/15/2016		5,030		5,033
1.000%, 09/30/2016		2,830		2,833
0.500%, 09/30/2016		2,303		2,303
0.750%, 01/15/2017		360		360
0.750%, 03/15/2017		500		501
2.500%, 06/30/2017		350		356
0.750%, 06/30/2017		350		350
0.625%, 06/30/2017		330		330
Total U.S. Treasury Obligations (Cost $118,582) ($ Thousands)				118,582
REPURCHASE AGREEMENTS (C) — 15.0%
Bank of Montreal 0.310%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $2,000,051 (collateralized by various U.S. Treasury obligations, ranging in par value $200 - $1,024,900, 0.125% - 2.375%, 01/31/2017 - 02/15/2046; with total market value $2,040,001)		2,000		2,000
Citigroup 0.330%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $2,000,054, (collateralized by a U.S. Treasury obligation, par value $1,938,500, 2.000%, 02/15/2025; with total market value $2,040,050)		2,000		2,000

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Goldman Sachs 0.250%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $5,000,103 (collateralized by a U.S. Treasury obligation, par value $3,533,300, 4.375%, 05/15/2040; with total market value $5,100,133)	$	5,000	$	5,000
Mitsubishi 0.300%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $5,000,123 (collateralized by various U.S. Treasury obligations, ranging in par value $100 - $2,907,000, 0.000% - 5.375%, 12/15/2016 - 02/15/2046; with total market value $5,100,001)		5,000		5,000
RBC Capital 0.310%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $7,000,178 (collateralized by various U.S. Treasury obligations, ranging in par value $1,937,100 - $5,020,400, 1.500% - 2.000%, 02/15/2022 - 03/31/2023; with total market value $7,140,020)		7,000		7,000
TD Bank 0.330%, dated 07/31/16, to be repurchased on 08/01/16, repurchase price $2,000,054 (collateralized by various U.S. Treasury obligations, ranging in par value $600 - $1,688,800, 1.750% - 3.125%, 12/31/2022 - 08/15/2044; with total market value $2,040,069)		2,000		2,000
Total Repurchase Agreements (Cost $23,000) ($ Thousands)				23,000
Total Investments — 92.2% (Cost $141,582) ($ Thousands)			$	141,582

Percentages are based on a Net Assets of $153,558 ($ Thousands).

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

(B) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of July 31, 2016. The demand and interest rate reset features give this security a shorter effective maturity date.

(C) Tri-Party Repurchase Agreement.

As of July 31, 2016, 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 six months ended July 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six months ended July 31, 2016, 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.

6 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

SCHEDULE OF INVESTMENTS (Unaudited)

Treasury II Fund

July 31, 2016

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 94.8%
U.S. Treasury Bills (A)
0.273%, 08/11/2016	$	59,100	$	59,096
0.299%, 08/18/2016		111,529		111,513
0.271%, 08/25/2016		57,250		57,240
0.477%, 09/08/2016		5,090		5,087
0.505%, 09/15/2016		10,288		10,282
0.320%, 10/27/2016		30,000		29,977
0.396%, 11/03/2016		13,300		13,286
0.481%, 11/25/2016		3,000		2,995
0.387%, 01/05/2017		10,000		9,983
0.406%, 01/12/2017		11,000		10,980
0.428%, 01/19/2017		29,000		28,941
0.426%, 01/26/2017		26,000		25,945
U.S. Treasury Notes
0.592%, 08/02/2016 (B)		2,000		2,000
0.510%, 08/02/2016 (B)		30,000		30,001
0.488%, 08/02/2016 (B)		5,620		5,614
0.397%, 08/02/2016 (B)		15,035		15,032
0.373%, 08/02/2016 (B)		7,480		7,479
4.875%, 08/15/2016		18,000		18,032
0.625%, 08/15/2016		5,599		5,599
3.000%, 08/31/2016		17,224		17,259
0.500%, 08/31/2016		29,790		29,791
0.875%, 09/15/2016		5,537		5,540
0.500%, 09/30/2016		5,287		5,288
0.625%, 02/15/2017		5,300		5,304
0.750%, 03/15/2017		1,000		1,002
2.500%, 06/30/2017		870		884
0.750%, 06/30/2017		870		870
0.625%, 06/30/2017		815		814
Total U.S. Treasury Obligations (Cost $515,834) ($ Thousands)				515,834
Total Investments — 94.8% (Cost $515,834) ($ Thousands)			$	515,834

Percentages are based on a Net Assets of $543,876 ($ Thousands).

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

(B) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of July 31, 2016. The demand and interest rate reset features give this security a shorter effective maturity date.

As of July 31, 2016, 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 six months ended July 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six months ended July 31, 2016, 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, 2016 7

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund

July 31, 2016

Description	Face Amount  ($ Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS — 52.4%‡
Consumer Discretionary — 0.9%
AutoZone
1.625%, 04/21/2019	$	65	$	65
1.300%, 01/13/2017		350		351
NBCUniversal Enterprise
1.365%, 02/25/2016 (A) (B)		575		578
Thomson Reuters
1.650%, 09/29/2017		300		301
Time Warner Cable
5.850%, 05/01/2017		400		413
Whirlpool
1.350%, 03/01/2017		335		335
				2,043
Consumer Staples — 2.2%
Anheuser-Busch InBev Finance
1.900%, 02/01/2019		280		285
1.037%, 08/02/2016 (A)		350		349
CVS Health
1.900%, 07/20/2018		350		355
1.200%, 12/05/2016		340		340
JM Smucker
1.750%, 03/15/2018		135		136
Molson Coors Brewing
1.450%, 07/15/2019		125		126
Mondelez International
1.157%, 08/01/2016 (A)		450		449
PepsiCo
1.250%, 08/13/2017		1,000		1,004
Reynolds American
2.300%, 06/12/2018		445		453
SABMiller Holdings
1.327%, 08/01/2016 (A) (B)		650		649
Walgreens Boots Alliance
1.750%, 11/17/2017		685		690
1.750%, 05/30/2018		400		404
				5,240
Energy — 3.2%
Anadarko Petroleum
6.950%, 06/15/2019		235		259

Description	Face Amount  ($ Thousands)		Market Value ($ Thousands)
BP Capital Markets PLC (A)
1.140%, 08/10/2016	$	750	$	751
1.052%, 08/13/2016		400		399
ConocoPhillips
1.500%, 05/15/2018		340		340
Devon Energy
1.193%, 09/15/2016 (A)		500		497
Enbridge
1.136%, 09/03/2016 (A)		540		533
Energy Transfer Partners
2.500%, 06/15/2018		325		328
Exxon Mobil
1.439%, 03/01/2018		400		403
Hess
8.125%, 02/15/2019		170		192
1.300%, 06/15/2017		130		130
Kinder Morgan
2.000%, 12/01/2017		225		226
Noble Energy
8.250%, 03/01/2019		225		258
Schlumberger Holdings
1.900%, 12/21/2017 (B)		500		504
Schlumberger Norge
1.250%, 08/01/2017 (B)		145		145
Statoil (A)
1.092%, 08/08/2016		550		547
0.832%, 08/09/2016		870		870
Suncor Energy
6.100%, 06/01/2018		325		349
Total Capital International
1.200%, 08/12/2016 (A)		400		399
TransCanada PipeLines
1.457%, 10/12/2016 (A)		495		493
				7,623
Financials — 33.6%
ABN AMRO Bank
1.543%, 10/28/2016 (A) (B)		400		401
American Express Credit MTN
1.875%, 11/05/2018		550		556
1.197%, 09/18/2016 (A)		300		300
1.125%, 06/05/2017		600		601
0.950%, 09/05/2016 (A)		700		700
0.947%, 09/22/2016 (A)		455		454
American Honda Finance MTN
1.700%, 02/22/2019		400		405
1.479%, 08/22/2016 (A)		435		440
Australia & New Zealand Banking Group (A)
1.186%, 08/15/2016		375		375
1.045%, 10/10/2016 (B)		300		300
Banco Santander Chile
1.565%, 10/15/2016 (A) (B)		500		500
Bank Nederlandse Gemeenten MTN
0.743%, 02/25/2016 (A) (B)		1,700		1,700

8 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Bank of America
5.650%, 05/01/2018	$	90	$	96
5.300%, 03/15/2017		350		359
2.000%, 01/11/2018		160		161
1.720%, 10/15/2016 (A)		750		756
1.700%, 08/25/2017		200		201
1.272%, 08/25/2016 (A)		700		701
0.953%, 09/15/2016 (A)		795		793
Bank of Montreal MTN
1.400%, 04/10/2018		750		752
1.265%, 10/09/2016 (A)		500		501
Bank of New York Mellon MTN
1.120%, 03/08/2016 (A)		350		350
Bank of Nova Scotia
2.125%, 09/11/2019		765		781
1.510%, 10/15/2016 (A)		580		584
1.300%, 07/21/2017		400		401
Bank of Tokyo-Mitsubishi UFJ (B)
1.450%, 09/08/2017		325		325
0.971%, 09/08/2016 (A)		325		324
Barclays Bank PLC MTN
6.050%, 12/04/2017 (B)		500		523
BB&T MTN
1.297%, 08/01/2016 (A)		350		351
Berkshire Hathaway Finance
1.450%, 03/07/2018		400		403
0.967%, 10/13/2016 (A)		1,065		1,067
BNP Paribas MTN
1.246%, 09/12/2016 (A)		550		551
BPCE MTN
1.480%, 08/10/2016 (A)		700		702
Branch Banking & Trust
1.450%, 05/10/2019		340		341
Capital One
1.778%, 08/17/2016 (A)		550		554
Capital One Bank USA
1.300%, 06/05/2017		500		500
1.200%, 02/13/2017		500		500
Citigroup
1.700%, 04/27/2018		300		301
1.431%, 10/08/2016 (A)		700		700
1.424%, 10/27/2016 (A)		800		800
1.361%, 08/24/2016 (A)		730		731
Citizens Bank MTN
1.600%, 12/04/2017		650		648
Cooperatieve Rabobank UA MTN
3.375%, 01/19/2017		985		995
Credit Agricole MTN
1.628%, 09/10/2016 (A) (B)		700		698
Credit Suisse MTN
1.700%, 04/27/2018		500		499
1.442%, 10/29/2016 (A)		500		500
1.155%, 08/27/2016 (A)		485		485

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Daimler Finance North America LLC (B)
1.500%, 07/05/2019	$	500	$	500
1.497%, 02/01/2016 (A)		400		401
1.397%, 10/05/2016 (A)		845		845
Deutsche Bank
1.350%, 05/30/2017		650		646
1.307%, 08/13/2016 (A)		350		346
European Investment Bank
0.875%, 04/18/2017		900		901
0.500%, 08/15/2016		875		875
Export Development Canada
1.250%, 10/26/2016		415		416
Export-Import Bank of Korea
1.423%, 10/14/2016 (A)		945		946
Fifth Third Bank
1.350%, 06/01/2017		750		752
1.150%, 11/18/2016		850		850
Ford Motor Credit LLC
1.724%, 12/06/2017		350		352
1.553%, 09/15/2016 (A)		820		820
1.486%, 09/12/2016 (A)		300		298
1.181%, 03/03/2016 (A)		520		519
General Motors Financial
2.400%, 04/10/2018		675		681
Goldman Sachs Group
2.375%, 01/22/2018		1,050		1,064
1.952%, 10/30/2016 (A)		125		126
1.875%, 10/23/2016 (A)		500		501
1.726%, 08/15/2016 (A)		400		403
1.453%, 02/15/2016 (A)		700		701
HSBC Bank PLC
1.266%, 08/15/2016 (A) (B)		1,250		1,244
HSBC USA
1.300%, 06/23/2017		600		599
Huntington National Bank
2.200%, 11/06/2018		760		770
Hyundai Capital America MTN (B)
2.000%, 03/19/2018		165		166
2.000%, 07/01/2019		300		302
1.875%, 08/09/2016		165		165
ING Bank
1.336%, 10/02/2016 (A) (B)		300		298
Inter-American Development Bank MTN
0.646%, 09/13/2016 (A)		1,000		1,000
0.625%, 09/12/2016		800		800
International Bank for Reconstruction & Development
1.125%, 07/18/2017		400		402
International Finance MTN
0.487%, 05/03/2016 (A)		1,400		1,400

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 9

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Jackson National Life Global Funding
1.875%, 10/15/2018 (B)	$	400	$	404
JPMorgan Chase (A)
1.670%, 10/23/2016		500		504
1.615%, 10/25/2016		1,070		1,077
1.373%, 10/28/2016		500		502
KeyBank
2.350%, 03/08/2019		250		255
1.193%, 09/01/2016 (A)		450		449
1.152%, 08/25/2016 (A)		700		701
Korea Development Bank
1.327%, 10/22/2016 (A)		1,430		1,430
Lloyds Bank PLC
1.175%, 09/16/2016 (A)		500		496
Macquarie Group
1.637%, 10/30/2016 (A) (B)		350		351
Manufacturers & Traders Trust
1.400%, 07/25/2017		450		451
1.015%, 10/25/2016 (A)		350		350
Metropolitan Life Global Funding I (B)
1.500%, 01/10/2018		220		221
1.045%, 10/10/2016 (A)		850		851
Mizuho Bank
1.090%, 09/25/2016 (A) (B)		580		578
Morgan Stanley MTN
5.950%, 12/28/2017		140		149
1.995%, 10/25/2016 (A)		400		405
1.565%, 10/24/2016 (A)		400		401
1.129%, 10/18/2016 (A)		1,000		1,000
MUFG Union Bank
1.390%, 09/26/2016 (A)		550		551
Nissan Motor Acceptance MTN (B)
1.500%, 03/02/2018		300		301
1.340%, 09/26/2016 (A)		500		500
1.231%, 09/04/2016 (A)		245		245
Nordea Bank
1.250%, 04/04/2017 (B)		600		601
PNC Bank
1.800%, 11/05/2018		1,100		1,113
1.450%, 07/29/2019		350		351
Pricoa Global Funding I
1.350%, 08/18/2017 (B)		550		551
Principal Life Global Funding II (B)
1.200%, 05/19/2017		370		371
1.125%, 02/24/2017		300		300
Protective Life Global Funding
1.722%, 04/15/2019 (B)		355		357
Province of Ontario Canada
1.600%, 09/21/2016		1,200		1,202
Prudential Financial MTN
1.406%, 03/04/2016 (A)		500		499

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Royal Bank of Canada MTN
1.200%, 01/23/2017	$	400	$	401
1.045%, 10/23/2016 (A)		450		450
Santander Bank
1.597%, 10/12/2016 (A)		600		597
Santander UK PLC
1.166%, 09/13/2016 (A)		650		650
Shell International Finance BV
1.375%, 05/10/2019		425		427
Simon Property Group
1.500%, 02/01/2018 (B)		560		563
Societe Generale MTN
1.726%, 04/17/2016 (A)		450		453
Standard Chartered PLC MTN
1.319%, 10/17/2016 (A) (B)		500		494
Sumitomo Mitsui Banking (A)
1.628%, 10/18/2016		600		602
1.095%, 10/10/2016		500		500
SunTrust Bank
1.066%, 08/15/2016 (A)		300		300
Svenska Handelsbanken
1.112%, 06/25/2016 (A)		700		701
Synchrony Financial
1.875%, 08/15/2017		255		256
1.867%, 08/02/2016 (A)		600		586
Toronto-Dominion Bank MTN (A)
1.542%, 10/22/2016		455		458
1.255%, 10/23/2016		400		400
0.877%, 08/02/2016		750		749
Toyota Motor Credit MTN
1.200%, 04/06/2018		600		602
1.125%, 05/16/2017		500		501
UBS MTN
1.340%, 09/26/2016 (A)		500		501
US Bank MTN
1.400%, 04/26/2019		350		351
1.332%, 10/29/2016 (A)		550		552
Ventas Realty
1.250%, 04/17/2017		140		140
Volkswagen Group of America Finance LLC (B)
1.250%, 05/23/2017		500		499
1.124%, 08/22/2016 (A)		650		645
1.076%, 08/20/2016 (A)		1,075		1,064
Volkswagen International Finance (B)
1.125%, 11/18/2016		260		260
1.066%, 11/18/2016 (A)		775		775
Voya Financial
2.900%, 02/15/2018		267		272
WEA Finance LLC
1.750%, 09/15/2017 (B)		235		236
Wells Fargo MTN
1.345%, 10/23/2016 (A)		495		496
1.150%, 06/02/2017		650		651

10 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Wells Fargo Bank MTN
1.442%, 10/22/2016 (A)	$	250	$	251
Westpac Banking
1.289%, 10/17/2016 (A)		325		323
1.200%, 05/19/2017		275		275
				80,253
Health Care — 6.3%
AbbVie
1.800%, 05/14/2018		400		403
Actavis Funding SCS
2.350%, 03/12/2018		640		649
1.736%, 09/12/2016 (A)		675		679
1.300%, 06/15/2017		450		449
Aetna
1.700%, 06/07/2018		880		888
Amgen
2.125%, 05/15/2017		500		504
1.034%, 08/22/2016 (A)		1,150		1,151
Baxalta
1.427%, 09/22/2016 (A)		1,500		1,485
Bayer US Finance LLC
0.936%, 10/06/2016 (A) (B)		600		598
Becton Dickinson
1.800%, 12/15/2017		500		504
Catholic Health Initiatives
2.600%, 08/01/2018		270		275
1.600%, 11/01/2017		906		907
Celgene
2.125%, 08/15/2018		300		304
Express Scripts Holding
1.250%, 06/02/2017		600		601
McKesson
1.292%, 03/10/2017		410		411
Medtronic
1.500%, 03/15/2018		255		257
Mylan
1.350%, 11/29/2016		400		400
Providence Health & Services Obligated Group
5.800%, 10/01/2016		500		503
1.446%, 10/01/2016 (A)		700		700
Province of Quebec Canada MTN
0.910%, 09/04/2016 (A)		1,060		1,058
Teva Pharmaceutical Finance Netherlands
1.700%, 07/19/2019		540		543
Teva Pharmaceutical Finance Netherlands III BV
1.400%, 07/20/2018		600		602
Thermo Fisher Scientific
1.300%, 02/01/2017		165		165

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
UnitedHealth Group
1.450%, 07/17/2017	$	500	$	502
Zimmer Biomet Holdings
1.450%, 04/01/2017		450		450
				14,988
Industrials — 1.3%
Air Lease
2.125%, 01/15/2018		230		230
Caterpillar Financial Services MTN
1.354%, 08/23/2016 (A)		925		931
Fortive
1.800%, 06/15/2019 (B)		260		262
GATX
1.250%, 03/04/2017		215		215
General Electric MTN
1.363%, 02/20/2016 (A)		250		251
1.250%, 05/15/2017		750		752
Hutchison Whampoa International 14
1.625%, 10/31/2017 (B)		400		401
PACCAR Financial MTN
1.300%, 05/10/2019		160		161
				3,203
Information Technology — 1.3%
Apple
1.474%, 08/23/2016 (A)		525		533
Cisco Systems
1.254%, 08/21/2016 (A)		250		251
eBay
2.500%, 03/09/2018		275		280
Fidelity National Information Services
2.850%, 10/15/2018		250		256
1.450%, 06/05/2017		170		170
Hewlett Packard Enterprise (B)
2.450%, 10/05/2017		700		709
2.393%, 10/05/2016 (A)		955		963
				3,162
Materials — 0.5%
Monsanto
1.150%, 06/30/2017		500		500
0.832%, 08/07/2016 (A)		710		709
				1,209
Telecommunications — 1.5%
AT&T
5.500%, 02/01/2018		870		924
1.561%, 09/30/2016 (A)		450		449
British Telecommunications PLC
1.250%, 02/14/2017		270		270
Verizon Communications
2.406%, 09/14/2016 (A)		470		484

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 11

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
1.375%, 08/15/2019	$	350	$	350
1.127%, 11/15/2016 (A)		1,120		1,120
				3,597
Utilities — 1.6%
Dominion Gas Holdings LLC
1.050%, 11/01/2016		550		550
Duke Energy
1.034%, 10/03/2016 (A)		1,450		1,450
Emera US Finance
2.150%, 06/15/2019 (B)		165		167
Exelon
1.550%, 06/09/2017		585		586
Hydro-Quebec
1.375%, 06/19/2017		225		226
Southern
1.550%, 07/01/2018		300		302
1.300%, 08/15/2017		310		311
Xcel Energy
1.200%, 06/01/2017		280		280
				3,872
Total Corporate Obligations (Cost $124,917) ($ Thousands)				125,190
ASSET-BACKED SECURITIES — 22.8%
Automotive — 11.4%
Ally Master Owner Trust, Ser 2014-4, Cl A1
0.881%, 08/15/2016 (A)		850		849
Ally Master Owner Trust, Ser 2014-4, Cl A2
1.430%, 06/17/2019		1,275		1,276
Ally Master Owner Trust, Ser 2014-5, Cl A2
1.600%, 08/15/2016		650		651
American Credit Acceptance Receivables Trust, Ser 2014-4, Cl A
1.330%, 07/10/2018 (B)		—		—
AmeriCredit Automobile Receivables Trust, Ser 2013-2, Cl B
1.190%, 05/08/2018		81		81
AmeriCredit Automobile Receivables Trust, Ser 2014-1, Cl A3
0.900%, 02/08/2019		261		261
AmeriCredit Automobile Receivables Trust, Ser 2014-2, Cl B
1.600%, 07/08/2019		970		973
AmeriCredit Automobile Receivables Trust, Ser 2015-1, Cl B
1.880%, 03/09/2020		485		489
AmeriCredit Automobile Receivables Trust, Ser 2015-4, Cl A2A
1.260%, 04/08/2019		188		188

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
AmeriCredit Automobile Receivables Trust, Ser 2016-1, Cl A2B
1.223%, 06/10/2019 (A)	$	445	$	445
AmeriCredit Automobile Receivables Trust, Ser 2016-2, Cl A3
1.600%, 11/09/2020		190		190
ARI Fleet Lease Trust, Ser 2014-A, Cl A2
0.810%, 11/15/2022 (B)		35		35
Bank of The West Auto Trust, Ser 2015-1, Cl A2B
0.831%, 02/15/2016 (A) (B)		278		278
California Republic Auto Receivables Trust, Ser 2013-1, Cl A2
1.410%, 09/17/2018 (B)		142		142
Capital Auto Receivables Asset Trust, Ser 2013- 3, Cl B
2.320%, 07/20/2018		520		522
CarMax Auto Owner Trust, Ser 2012-3, Cl C
1.500%, 08/15/2018		120		120
CarMax Auto Owner Trust, Ser 2012-3, Cl A4
0.790%, 04/16/2018		770		769
Chesapeake Funding LLC, Ser 2011-2A, Cl A
1.715%, 08/07/2016 (A) (B)		14		14
Chesapeake Funding LLC, Ser 2014-1A, Cl A
0.885%, 08/07/2016 (A) (B)		691		689
Chesapeake Funding LLC, Ser 2015-1A, Cl B
1.420%, 08/09/2016 (A) (B)		460		460
Chrysler Capital Auto Receivables Trust, Ser 2015-BA, Cl A2
1.460%, 08/15/2016 (B)		343		343
CNH Wholesale Master Note Trust, Ser 2013- 2A, Cl A
1.081%, 08/15/2016 (A) (B)		425		425
CPS Auto Receivables Trust, Ser 2013-D, Cl A
1.540%, 07/16/2018 (B)		140		140
CPS Auto Receivables Trust, Ser 2014-A, Cl A
1.210%, 08/15/2018 (B)		48		48
CPS Auto Receivables Trust, Ser 2015-A, Cl A
1.530%, 07/15/2019 (B)		477		476
Credit Acceptance Auto Loan Trust, Ser 2013- 2A, Cl A
1.500%, 04/15/2021 (B)		12		12
Credit Acceptance Auto Loan Trust, Ser 2014- 1A, Cl A
1.550%, 10/15/2021 (B)		275		275
Credit Acceptance Auto Loan Trust, Ser 2015- 2A, Cl A
2.400%, 02/15/2023 (B)		500		500
DT Auto Owner Trust, Ser 2015-3A, Cl A
1.660%, 03/15/2019 (B)		445		446
Enterprise Fleet Financing LLC, Ser 2014-2, Cl A2
1.050%, 03/20/2020 (B)		857		854

12 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Enterprise Fleet Financing LLC, Ser 2016-2, Cl A2
1.740%, 02/22/2022 (B)	$	255	$	255
First Investors Auto Owner Trust, Ser 2013-2A, Cl A2
1.230%, 03/15/2019 (B)		32		32
Flagship Credit Auto Trust, Ser 2013-2, Cl A
1.940%, 01/15/2019 (B)		97		97
Ford Credit Auto Lease Trust, Ser 2014-B, Cl A4
1.100%, 11/15/2017		615		615
Ford Credit Auto Lease Trust, Ser 2015-B, Cl B
1.920%, 08/16/2016		300		301
Ford Credit Auto Owner Trust, Ser 2012-B, Cl D
2.930%, 10/15/2018		600		601
Ford Credit Floorplan Master Owner Trust A, Ser 2016-4, Cl A
1.012%, 08/15/2016 (A)		290		290
Ford Credit Floorplan Master Owner Trust, Ser 2013-5, Cl A2
0.912%, 02/25/2016 (A)		310		310
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl B
1.400%, 02/15/2019		80		80
Ford Credit Floorplan Master Owner Trust, Ser 2015-4, Cl A2
1.035%, 02/01/2016 (A)		1,050		1,052
GE Dealer Floorplan Master Note Trust, Ser 2014-2, Cl A
0.898%, 08/20/2016 (A)		665		663
GLS Auto Receivables Trust, Ser 2016-1A, Cl A
2.730%, 08/15/2016 (B)		297		296
GM Financial Automobile Leasing Trust, Ser 2015-1, Cl B
2.140%, 06/20/2019		705		701
GM Financial Automobile Leasing Trust, Ser 2016-2, Cl A3
1.620%, 09/20/2019		230		231
GM Financial Leasing Trust, Ser 2014-1A, Cl A3
1.010%, 05/22/2017 (B)		44		44
GMF Floorplan Owner Revolving Trust, Ser 2015-1, Cl A2
0.981%, 08/15/2016 (A) (B)		1,475		1,466
Hertz Fleet Lease Funding, Ser 2013-3, Cl B
1.488%, 08/10/2016 (A) (B)		765		765
Hyundai Auto Lease Securitization Trust, Ser 2016-B, Cl A3
1.520%, 08/15/2016 (B)		180		180
M&T Bank Auto Receivables Trust, Ser 2013-1A, Cl A4
1.570%, 08/15/2018 (B)		733		734
Mercedes Benz Auto Lease Trust, Ser 2015-B, Cl A3
1.340%, 08/14/2016		755		756

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Nissan Auto Receivables Owner Trust, Ser 2015-C, Cl A2A
0.870%, 11/15/2018	$	351	$	351
Nissan Auto Receivables Owner Trust, Ser 2016-B, Cl A2A
1.050%, 04/15/2019	��	185		185
Nissan Master Owner Trust Receivables, Ser 2016-A, Cl A2
1.540%, 06/15/2021		395		395
Prestige Auto Receivables Trust, Ser 2013-1A, Cl A3
1.330%, 05/15/2019 (B)		85		85
Prestige Auto Receivables Trust, Ser 2015-1, Cl A2
1.090%, 02/15/2019 (B)		52		52
Prestige Auto Receivables Trust, Ser 2016-1A, Cl A2
1.780%, 08/15/2016 (B)		315		315
Santander Drive Auto Receivables Trust, Ser 2012-2, Cl D
3.870%, 02/15/2018		350		351
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl D
3.640%, 05/15/2018		389		391
Santander Drive Auto Receivables Trust, Ser 2012-4, Cl C
2.940%, 12/15/2017		9		9
Santander Drive Auto Receivables Trust, Ser 2013-1, Cl C
1.760%, 01/15/2019		1,087		1,090
Santander Drive Auto Receivables Trust, Ser 2013-4, Cl B
2.160%, 01/15/2020		1		1
Susquehanna Auto Receivables Trust, Ser 2014-1A, Cl A3
1.000%, 02/15/2018 (B)		149		148
Toyota Auto Receivables Owner Trust, Ser 2016-B, Cl A3
1.300%, 08/11/2016		100		100
Volkswagen Credit Auto Master Trust, Ser 2014-1A, Cl A1
0.798%, 08/20/2016 (A) (B)		400		397
Volvo Financial Equipment LLC, Ser 2014-1A, Cl A3
0.820%, 04/16/2018 (B)		128		128
Westlake Automobile Receivables Trust, Ser 2014-2A, Cl C
2.240%, 04/15/2020 (B)		250		250
Westlake Automobile Receivables Trust, Ser 2015-1A, Cl B
1.680%, 11/16/2020 (B)		505		505

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 13

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Westlake Automobile Receivables Trust, Ser 2015-2A, Cl A2A
1.280%, 08/15/2016 (B)	$	313	$	312
Westlake Automobile Receivables Trust, Ser 2016-2A, Cl A2
1.570%, 06/17/2019 (B)		265		265
Wheels SPV 2, Ser 2014-1A, Cl A2
0.840%, 03/20/2023 (B)		65		65
World Omni Auto Receivables Trust, Ser 2015- B, Cl A2A
0.960%, 08/14/2016		477		476
				27,291
Credit Card — 4.7%
American Express Credit Account Master Trust, Ser 2013-3, Cl A
0.980%, 05/15/2019		185		185
BA Credit Card Trust, Ser 2016-A1, Cl A
0.871%, 10/15/2021 (A)		370		371
Barclays Dryrock Issuance Trust, Ser 2014-1, Cl A
0.802%, 08/15/2016 (A)		605		605
Cabela’s Credit Card Master Note Trust, Ser 2013-2A, Cl A2
1.131%, 08/15/2016 (A) (B)		210		210
Cabela’s Credit Card Master Note Trust, Ser 2014-1, Cl A
0.831%, 08/15/2016 (A)		165		165
Cabela’s Credit Card Master Note Trust, Ser 2016-1, Cl A1
1.780%, 06/15/2022		305		306
Capital One Multi-Asset Execution Trust, Ser 2007-A1, Cl A1
0.531%, 08/15/2016 (A)		770		770
Capital One Multi-Asset Execution Trust, Ser 2013-A3, Cl A3
0.960%, 09/16/2019		360		360
Capital One Multi-Asset Execution Trust, Ser 2014-A2, Cl A2
1.260%, 01/15/2020		1,178		1,181
Chase Issuance Trust, Ser 2007-B1, Cl B1
0.731%, 08/15/2016 (A)		450		449
Chase Issuance Trust, Ser 2012-A2, Cl A2
0.751%, 08/05/2016 (A)		100		100
Chase Issuance Trust, Ser 2014-A1, Cl A1
1.150%, 01/15/2019		1,000		1,001
Citibank Credit Card Issuance Trust, Ser 2013- A6, Cl A6
1.320%, 09/07/2018		670		670
Citibank Credit Card Issuance Trust, Ser 2014- A2, Cl A2
1.020%, 02/22/2019		415		415

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citibank Credit Card Issuance Trust, Ser 2014- A4, Cl A4
1.230%, 04/24/2019	$	650	$	651
Citibank Credit Card Issuance Trust, Ser 2014- A7, Cl A7
0.652%, 08/24/2016 (A)		600		600
Discover Card Execution Note Trust, Ser 2014- A3, Cl A3
1.220%, 10/15/2019		870		871
Discover Card Execution Note Trust, Ser 2016- A2, Cl A2
0.982%, 08/19/2016 (A)		500		502
Evergreen Credit Card Trust Series, Ser 2016-1, Cl A
1.201%, 08/15/2016 (A) (B)		500		501
Synchrony Credit Card Master Note Trust, Ser 2014-1, Cl A
1.610%, 11/15/2020		650		653
Trillium Credit Card Trust II, Ser 2016-1A, Cl A
1.210%, 05/26/2021 (A) (B)		620		620
				11,186
Miscellaneous Business Services — 6.2%
Apidos CLO XII, Ser 2013-12A, Cl A
1.780%, 02/02/2016 (A) (B)		600		595
Cent CLO 20, Ser 2014-20A, Cl A
2.195%, 02/01/2016 (A) (B)		600		600
Cent CLO, Ser 2014-16A, Cl A1AR
1.866%, 08/03/2016 (A) (B)		500		500
CIFC Funding, Ser 2013-1A, Cl A1
1.829%, 10/16/2016 (A) (B)		485		482
CIT Equipment Collateral, Ser 2014-VT1, Cl A2
0.860%, 05/22/2017 (B)		122		122
CNH Equipment Trust, Ser 2016-B, Cl A2A
1.310%, 08/31/2016		240		240
Credit-Based Asset Servicing and Securitization LLC, Ser 2005-CB3, Cl M2
1.383%, 08/27/2016 (A)		775		767
Dryden XXXI Senior Loan Fund, Ser 2014-31A, Cl A
2.029%, 10/18/2016 (A) (B)		250		250
GE Equipment Small Ticket LLC, Ser 2014-1A, Cl A3
0.950%, 09/25/2017 (B)		147		147
GreatAmerica Leasing Receivables, Ser 2015-1, Cl A3
1.540%, 07/20/2018 (B)		905		908
Green Tree Agency Advance Funding Trust I, Ser 2015-T1, Cl AT1
2.302%, 08/21/2016 (B)		240		240
GSAMP Trust, Ser 2006-HE1, Cl A2D
0.763%, 08/25/2016 (A)		800		780

14 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Kubota Credit Owner Trust, Ser 2015-1A, Cl A2
0.940%, 08/15/2016 (B)	$	167	$	166
Limerock CLO II, Ser 2014-2A, Cl A
2.179%, 10/18/2016 (A) (B)		500		500
Madison Park Funding IV, Ser 2007-4A, Cl A1B
0.924%, 09/24/2016 (A) (B)		420		407
MMAF Equipment Finance LLC, Ser 2013-AA, Cl A3
1.030%, 12/11/2017 (B)		62		62
MMAF Equipment Finance LLC, Ser 2014-AA, Cl A3
0.870%, 01/08/2019 (B)		513		512
Nationstar HECM Loan Trust, Ser 2015-2A, Cl A
2.883%, 11/25/2025 (B)		93		93
Nationstar HECM Loan Trust, Ser 2016-1A, Cl A
2.981%, 02/25/2026 (B)		94		94
Nationstar HECM Loan Trust, Ser 2016-2A, Cl A
2.239%, 06/25/2026 (B)		192		192
Navient Student Loan Trust, Ser 2014-1, Cl A1
0.703%, 08/25/2016 (A)		206		206
Navient Student Loan Trust, Ser 2015-1, Cl A1
0.753%, 08/27/2016 (A)		383		382
NRZ Advance Receivables Trust Advance Receivables Backed, Ser 2015-T2, Cl AT2
3.302%, 08/17/2048 (B)		285		287
NRZ Advance Receivables Trust Advance Receivables Backed, Ser 2015-T3, Cl AT3
2.540%, 11/15/2046 (B)		550		550
NYCTL Trust, Ser 2015-A, Cl A
1.340%, 11/10/2028 (B)		257		256
NYCTL Trust, Ser 2016-A, Cl A
1.470%, 11/10/2016 (B)		181		181
Octagon Investment Partners XVI, Ser 2013- 1A, Cl A
1.799%, 10/17/2016 (A) (B)		550		544
Ocwen Master Advance Receivables Trust, Ser 2015-T1, Cl AT1
2.537%, 09/17/2046 (B)		295		295
Ocwen Master Advance Receivables Trust, Ser 2015-T2, Cl AT2
2.532%, 11/15/2046 (B)		210		210
OHA Credit Partners VIII, Ser 2013-8A, Cl A
1.816%, 10/21/2016 (A) (B)		360		357
Race Point VI CLO, Ser 2014-6A, Cl BR
2.811%, 08/24/2016 (A) (B)		425		425
SLM Student Loan Trust, Ser 2003-14, Cl A5
0.945%, 10/26/2016 (A)		79		79
SLM Student Loan Trust, Ser 2005-6, Cl A5A
0.748%, 10/25/2016 (A)		228		225
SLM Student Loan Trust, Ser 2005-9, Cl A5
0.835%, 08/15/2016 (A)		87		87
SLM Student Loan Trust, Ser 2006-4, Cl A5
0.738%, 10/25/2016 (A)		222		221

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
SpringCastle America Funding LLC, Ser 2014- AA, Cl A
2.700%, 05/25/2023 (B)	$	440	$	441
Springleaf Funding Trust, Ser 2014-AA, Cl A
2.410%, 12/15/2022 (B)		283		283
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes, Ser 2015-T2, Cl AT2
2.620%, 01/15/2047 (B)		480		480
Structured Asset Securities Mortgage Loan Trust, Ser 2006-GEL3, Cl A2
0.757%, 08/25/2016 (A) (B)		204		203
Structured Asset Securities Mortgage Loan Trust, Ser 2006-WF1, Cl A1
0.794%, 08/25/2016 (A)		68		68
Symphony CLO VIII, Ser 2014-8A, Cl BR
2.367%, 02/20/2016 (A) (B)		475		470
Verizon Owner Trust, Ser 2016-1A, Cl A
1.420%, 01/20/2021 (B)		100		100
Voya CLO, Ser 2014-1A, Cl A2R
2.506%, 04/18/2016 (A) (B)		500		498
Voya CLO, Ser 2014-1A, Cl A1
2.179%, 10/18/2016 (A) (B)		290		290
				14,795
Mortgage Related — 0.5%
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A
1.168%, 08/27/2016 (A)		192		190
Aegis Asset Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-4, Cl A1
1.208%, 08/27/2016 (A)		184		182
Ameriquest Mortgage Securities, Ser 2005-R1, Cl M1
1.128%, 08/25/2016 (A)		125		124
Bear Stearns Asset-Backed Securities Trust, Ser 2004-2, Cl A1
1.453%, 08/25/2016 (A)		95		95
Bear Stearns Asset-Backed-Securities Trust, Ser 2005-HE3, Cl M2
1.657%, 08/25/2016 (A)		270		267
HSBC Home Equity Loan Trust USA, Ser 2007-3, Cl APT
1.648%, 08/20/2016 (A)		172		171
Option One Mortgage Loan Trust, Ser 2005-1, Cl A1A
0.988%, 08/25/2016 (A)		128		126

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 15

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Option One Mortgage Loan Trust, Ser 2005-4, Cl A3
0.713%, 08/25/2016 (A)	$	29	$	29
				1,184
Total Asset-Backed Securities (Cost $54,506) ($ Thousands)				54,456
MORTGAGE-BACKED SECURITIES — 13.4%
Agency Mortgage-Backed Obligations — 4.5%
FHLMC
5.000%, 06/01/2026		72		75
4.500%, 09/01/2026		44		46
2.449%, 08/01/2016 (A)		65		67
2.431%, 08/01/2016 (A)		79		83
FNMA
6.000%, 01/01/2027		25		29
5.000%, 05/01/2019 to 03/01/2025		1,750		1,814
3.000%, 12/01/2030		1,958		2,056
2.965%, 08/01/2016 (A)		11		11
2.556%, 08/01/2016 (A)		81		84
2.500%, 09/01/2023		595		617
2.460%, 08/01/2016 (A)		16		16
2.418%, 08/01/2016 (A)		31		32
2.410%, 08/01/2016 (A)		6		7
2.375%, 08/01/2016 (A)		21		22
1.770%, 08/01/2016 (A)		12		12
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/2023		22		24
FNMA REMIC, Ser 2001-33, Cl FA
0.938%, 08/25/2016 (A)		18		18
FNMA REMIC, Ser 2002-64, Cl FG
0.732%, 08/18/2016 (A)		20		20
FNMA REMIC, Ser 2002-77, Cl CB
5.000%, 12/25/2017		46		46
FNMA REMIC, Ser 2008-18, Cl HD
4.000%, 12/25/2018		42		43
FNMA TBA
3.500%, 08/01/2040		850		900
3.000%, 08/25/2026		2,100		2,203
FNMA, Ser M1, Cl ASQ2
1.626%, 02/25/2018		234		235
FREMF Mortgage Trust, Ser 2013-K502, Cl C
3.086%, 08/01/2016 (A) (B)		260		261
FREMF Mortgage Trust, Ser 2014-K503, Cl C
3.009%, 08/01/2016 (A) (B)		155		151
GNMA
1.875%, 08/01/2016 (A)		78		79
GNMA, Ser 2009-10, Cl JA
4.500%, 03/16/2034		51		52
GNMA, Ser 2009-113, Cl MJ
4.000%, 03/16/2023		96		97

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
GNMA, Ser 2011-106, Cl ME
3.000%, 06/20/2038	$	22	$	22
GNMA, Ser 2011-62, Cl PA
3.000%, 01/20/2040		242		244
Mortgage-Linked Amortizing Notes, Ser 2012- 1, Cl A10
2.060%, 01/15/2022		123		124
NCUA Guaranteed Notes, Ser 2010-R1, Cl 1A
0.915%, 08/04/2016 (A)		515		517
NCUA Guaranteed Notes, Ser 2010-R2, Cl 1A
0.720%, 08/06/2016 (A)		46		46
NCUA Guaranteed Notes, Ser 2011-R1, Cl 1A
0.923%, 08/04/2016 (A)		371		372
NCUA Guaranteed Notes, Ser 2011-R2, Cl 1A
0.873%, 08/09/2016 (A)		92		92
NCUA Guaranteed Notes, Ser 2011-R3, Cl 1A
0.879%, 08/09/2016 (A)		231		230
NCUA Guaranteed Notes, Ser 2011-R4, Cl 1A
0.845%, 08/05/2016 (A)		38		38
				10,785
Non-Agency Mortgage-Backed Obligations — 8.9%
BAMLL Commercial Mortgage Securities Trust, Ser 2014-ICTS, Cl A
1.242%, 08/15/2016 (A) (B)		450		448
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2
2.966%, 08/01/2016 (A)		209		193
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1
3.774%, 08/01/2016 (A)		28		26
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1
2.817%, 08/01/2016 (A)		79		61
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1
3.163%, 08/01/2016 (A)		100		93
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1
2.896%, 08/01/2016 (A)		174		157
BLCP Hotel Trust, Ser 2014-CLRN, Cl A
1.431%, 08/15/2016 (A) (B)		480		478
CD Mortgage Trust, Ser 2007-CD4, Cl A4
5.322%, 12/11/2049		428		431
CD Mortgage Trust, Ser 2007-CD5, Cl A4
5.886%, 08/01/2016 (A)		403		417
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4
5.901%, 08/01/2016 (A)		650		667
Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl A4
6.140%, 08/01/2016 (A)		359		372

16 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1
0.685%, 09/10/2045	$	80	$	80
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A2
1.813%, 09/10/2045		145		145
Citigroup Mortgage Loan Trust, Ser 2004- HYB3, Cl 1A
2.920%, 08/01/2016 (A)		41		41
Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1
2.955%, 08/01/2016 (A)		163		149
COBALT CMBS Commercial Mortgage Trust, Ser 2006-C1, Cl A4
5.223%, 08/15/2048		340		340
Commercial Mortgage Pass-Through Certificates, Ser 2012-9W57, Cl A
2.365%, 02/11/2016 (B)		600		603
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A1
0.666%, 11/15/2045		8		8
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR4, Cl A1
0.704%, 10/15/2045		82		82
Commercial Mortgage Pass-Through Certificates, Ser 2013-CR10, Cl A1
1.278%, 08/10/2046		131		131
Commercial Mortgage Trust, Ser 2014-BBG, Cl A
1.282%, 08/15/2016 (A) (B)		1,145		1,132
Countrywide Home Loans, Ser 2004-29, Cl 1A1
0.993%, 08/25/2016 (A)		23		22
Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A
2.791%, 08/01/2016 (A)		142		107
CSMC Trust, Ser 2014-TIKI, Cl A
1.392%, 08/15/2016 (A) (B)		430		428
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1
3.742%, 11/10/2046 (B)		8		8
FDIC Structured Sale Guaranteed Notes, Ser 2010-S1, Cl 1A
1.017%, 08/01/2016 (A) (B)		42		42
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2013-DN1, Cl M1
3.888%, 08/25/2016 (A)		347		354
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M1
1.338%, 08/25/2016 (A)		77		77
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DN1, Cl M2
2.888%, 01/25/2025 (A)		770		778

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA Connecticut Avenue Securities, Ser 2014- C02, Cl 2M1
1.438%, 08/25/2016 (A)	$	98	$	98
FNMA Connecticut Avenue Securities, Ser 2014- C02, Cl 1M1
1.438%, 08/25/2016 (A)		164		164
FNMA Connecticut Avenue Securities, Ser 2014- C03, Cl 1M1
1.688%, 02/25/2016 (A)		291		291
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 1M1
1.638%, 08/25/2016 (A)		64		64
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
3.299%, 08/01/2016 (A)		184		169
GS Mortgage Securities II, Ser 2010-C2, Cl A1
3.849%, 12/10/2043 (B)		101		107
GS Mortgage Securities II, Ser 2012-GCJ9, Cl A1
0.662%, 11/10/2045		44		44
GS Mortgage Securities II, Ser 2013-GC13, Cl A1
1.206%, 07/10/2046		80		80
GS Mortgage Securities II, Ser GC14, Cl A1
1.217%, 08/10/2046		103		103
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1
3.341%, 08/01/2016 (A)		216		198
GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1
2.948%, 08/01/2016 (A)		231		214
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1
3.192%, 08/01/2016 (A)		218		178
Hilton USA Trust, Ser 2013-HLF, Cl AFL
1.468%, 04/05/2016 (A) (B)		204		204
Hilton USA Trust, Ser 2014-ORL, Cl A
1.342%, 08/15/2016 (A) (B)		1,000		986
Impac CMB Trust, Ser 2004-9, Cl 1A1
1.213%, 08/25/2016 (A)		62		56
Impac CMB Trust, Ser 2005-2, Cl 1A1
0.973%, 08/03/2016 (A)		65		60
Impac CMB Trust, Ser 2005-3, Cl A1
0.933%, 08/25/2016 (A)		60		53
Impac CMB Trust, Ser 2005-5, Cl A1
1.093%, 08/25/2016 (A)		49		43
Impac CMB Trust, Ser 2005-8, Cl 1A
0.973%, 08/25/2016 (A)		156		134
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C18, Cl A1
1.254%, 02/15/2047		138		138
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-C13, Cl A1
1.303%, 01/15/2046		73		73

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 17

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Continued)

July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-C15, Cl A2
2.977%, 11/15/2045	$	445	$	459
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-CBM, Cl A
1.381%, 08/15/2016 (A) (B)		875		858
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-PHH, Cl A
1.642%, 08/15/2016 (A) (B)		575		575
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-CSMO, Cl A
1.731%, 08/15/2016 (A) (B)		1,000		1,000
JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1
2.738%, 08/01/2016 (A)		100		95
JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1
3.254%, 08/01/2016 (A)		128		108
LB-UBS Commercial Mortgage Trust, Ser 2007- C6, Cl A4
5.858%, 08/15/2016 (A)		378		385
LB-UBS Commercial Mortgage Trust, Ser 2008- C1, Cl A2
6.073%, 08/15/2016 (A)		311		327
Merrill Lynch Mortgage Investors, Ser 2005- A3, Cl A1
0.723%, 08/25/2016 (A)		52		50
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1
3.125%, 08/01/2016 (A)		231		193
ML-CFC Commercial Mortgage Trust, Ser 2007- 5, Cl A4
5.378%, 08/12/2048		93		93
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C5, Cl A2
1.972%, 08/15/2045		256		257
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C11, Cl A2
3.085%, 08/15/2046		375		388
Morgan Stanley Capital I Trust, Ser 2008- TOP29, Cl A4FL
2.588%, 01/11/2043 (A)		812		825
Morgan Stanley Capital I Trust, Ser 2012-C4, Cl A2
2.111%, 03/15/2045		453		454
Morgan Stanley Re-Remic Trust, Ser 2012-IO, Cl AXA
1.000%, 03/27/2051 (B)		178		176
MortgageIT Trust, Ser 2005-5, Cl A1
0.713%, 08/25/2016 (A)		221		198
Paragon Mortgages No. 12 PLC, Ser 2006-12A, Cl A2C
0.846%, 08/15/2016 (A) (B)		103		91

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Paragon Mortgages No. 15 PLC, Ser 2007-15A, Cl A2C
0.854%, 10/19/2016 (A) (B)	$	252	$	223
Residential Funding Mortgage Securities I, Ser 2007-SA3, Cl 2A1
4.287%, 08/01/2016 (A)		173		141
Sequoia Mortgage Trust, Ser 2004-12, Cl A1
0.988%, 08/20/2016 (A)		24		22
Springleaf Mortgage Loan Trust, Ser 2013-1A, Cl A
1.270%, 06/25/2058 (A) (B)		369		368
Towd Point Mortgage Trust, Ser 2015-4, Cl A1B
2.750%, 04/25/2055 (A) (B)		165		166
Towd Point Mortgage Trust, Ser 2015-5, Cl A1B
2.750%, 05/25/2055 (A) (B)		157		159
Towd Point Mortgage Trust, Ser 2016-1, Cl A1B
2.750%, 02/25/2055 (A) (B)		149		150
Towd Point Mortgage Trust, Ser 2016-3, Cl A1
2.250%, 08/01/2016 (A) (B)		325		325
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1
0.726%, 08/10/2049		122		122
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
2.312%, 08/01/2016 (A)		244		226
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1
0.687%, 10/15/2045		102		102
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
2.851%, 08/01/2016 (A)		92		92
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1
2.990%, 08/01/2016 (A)		194		190
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1
2.810%, 08/01/2016 (A)		105		99
WFRBS Commercial Mortgage Trust, Ser 2012- C10, Cl A1
0.734%, 12/15/2045		187		186
WFRBS Commercial Mortgage Trust, Ser 2012- C10, Cl A2
1.765%, 12/15/2045		429		430
WFRBS Commercial Mortgage Trust, Ser 2012- C9, Cl A1
0.673%, 11/15/2045		131		131
WFRBS Commercial Mortgage Trust, Ser 2012- CP, Cl A2
1.829%, 08/01/2016		270		272

18 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
WFRBS Commercial Mortgage Trust, Ser 2013-C15, Cl A1
1.264%, 08/15/2046	$	2	$	2
				21,265
Total Mortgage-Backed Securities (Cost $32,552) ($ Thousands)				32,050
MUNICIPAL BONDS — 4.7%
California — 0.9%
City of Riverside California, Ser A, RB
0.980%, 06/01/2017		460		460
Municipal Improvement Corp of Los Angeles, Ser A, RB
2.344%, 11/01/2018		625		639
1.924%, 11/01/2017		565		571
University of California, Ser Y-1, RB Callable 01/01/2017 @ 100
0.994%, 08/01/2016 (A)		490		490
				2,160
Florida — 0.3%
Miami Beach Redevelopment Agency, GO
1.926%, 02/01/2017		345		346
State, Board of Administration Finance, Ser A, RB
2.163%, 07/01/2019		400		411
				757
Illinois — 0.8%
Chicago Midway International Airport, Sub-Ser C-SUB, RB
1.796%, 01/01/2017		410		412
Southwestern Illinois Development Authority, AMT, RB Callable 09/01/2016 @ 100
0.550%, 08/04/2016 (A) (C)		700		700
State, Clair County, High School District No. 201 Belleville, GO, BAM
3.500%, 04/01/2017		700		710
				1,822
Kentucky — 0.2%
Kentucky State, Property & Building Commission, RB
4.440%, 11/01/2016		435		439
Maine — 0.3%
Maine Municipal Bond Bank, RB
2.404%, 06/01/2017		600		606

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Massachusetts — 0.2%
Town of Belmont Massachussetts, GO
1.250%, 05/05/2017	$	595	$	597
New Jersey — 0.7%
New Jersey State, Transportation Trust Fund Authority, Ser B, RB
1.087%, 12/15/2016		1,250		1,252
Rutgers The State, University of New Jersey, Ser K, RB
1.709%, 05/01/2017		370		372
				1,624
North Carolina — 0.3%
North Carolina State, Eastern Municipal Power Agency, RB
1.561%, 07/01/2017		790		794
Ohio — 0.4%
County, of Lucas Ohio, GO
1.125%, 07/12/2017		905		908
Texas — 0.6%
El Paso, Harris County Toll Road Authority, GO
1.049%, 08/15/2016		455		455
Harris County,-Houston Sports Authority, Ser B, RB
1.324%, 11/15/2016		1,005		1,007
				1,462
Total Municipal Bonds (Cost $11,133) ($ Thousands)				11,169
U.S. TREASURY OBLIGATIONS — 4.4%
U.S. Treasury Note
1.375%, 06/30/2018		7,200		7,296
1.125%, 12/31/2019		1,600		1,615
0.625%, 11/30/2017		1,600		1,600
Total U.S. Treasury Obligations (Cost $10,445) ($ Thousands)				10,511
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.5%
FFCB
0.450%, 09/08/2016		1,400		1,400
FHLB
1.000%, 06/09/2017		1,250		1,254
FHLMC
1.250%, 05/25/2018		700		700
1.000%, 09/08/2017		1,250		1,251
0.875%, 02/22/2017		1,500		1,503

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 19

SCHEDULE OF INVESTMENTS (Unaudited)

Ultra Short Duration Bond Fund (Concluded)

July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
Total U.S. Government Agency Obligations (Cost $6,106) ($ Thousands)			$	6,108
COMMERCIAL PAPER(C)(E) — 2.0%
AbbVie
0.580%, 08/03/2016	$	1,600		1,600
Chevron Phillips Chemical LLC
0.600%, 08/02/2016		1,300		1,300
UnitedHealth Group
0.630%, 08/08/2016		1,900		1,899
Total Commercial Paper (Cost $4,800) ($ Thousands)				4,799
REPURCHASE AGREEMENT(D) — 0.6%
BNP Paribas 0.350%, dated 07/31/2016, to be repurchased on 08/01/2016, repurchase price $1,500,044 (collateralized by various GNMA, FNMA and FMAC obligations, ranging in par value $1,300 - $1,625,118, 2.000% - 4.011%, 06/20/2025 - 04/01/2045; total market value $1,530,000)		1,500		1,500
Total Repurchase Agreement (Cost $1,500) ($ Thousands)				1,500
Total Investments — 102.8% (Cost $245,959) ($ Thousands)			$	245,783

A list of the open futures contracts held by the Fund at July 31, 2016, is as follows:

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(19	)		Sep-2016	$	(68	)
U.S. 2-Year Treasury Note		8			Sep-2016		(1	)
U.S. 5-Year Treasury Note		14			Sep-2016		29
U.S. Long Treasury Bond		(1	)		Sep-2016		(11	)
						$	(51	)

For the six months ended July 31, 2016 , 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 period.

Percentages are based on a Net Assets of $239,078 ($ Thousands).

‡ Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

(A) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of July 31, 2016. The demand and interest rate reset features give this security a shorter effective maturity date.

(B) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On July 31, 2016, the value of these securities amounted to $62,172 ($ Thousands), 26.0% representing of the net assets of the Fund.

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

(D) Tri-Party Repurchase Agreement.

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

Cl — Class

CMBS — Commercial Mortgage-Backed Security

CLO — Collateralized Loan Obligation

FDIC — Federal Deposit Insurance Company

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FMAC — Financial Management Advisory Committee

FNMA — Federal National Mortgage Association

FREMF — Finnish Real Estate Management Federation

GNMA — Government National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

MTN — Medium Term Note

NCUA — National Credit Union Association

PLC — Public Limited Company

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

20 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

The following is a summary of the inputs used as of July 31, 2016 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	$	—		$	125,190	$	—	$	125,190
Asset-Backed Securities		—			54,456		—		54,456
Mortgage-Backed Securities		—			32,050		—		32,050
Municipal Bonds		—			11,169		—		11,169
U.S. Treasury Obligations		—			10,511		—		10,511
U.S. Government Agency Obligations		—			6,108		—		6,108
Commercial Paper		—			4,799		—		4,799
Repurchase Agreement		—			1,500		—		1,500
Total Investments in Securities	$	—		$	245,783	$	—	$	245,783
Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	29		$	—	$	—	$	29
Unrealized Depreciation		(80	)		—		—		(80	)
Total Other Financial Instruments	$	(51	)	$	—	$	—	$	(51	)

* Futures Contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.

For the six months ended July 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

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

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

The accompanying notes are an integral part of the financial statements

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 21

SCHEDULE OF INVESTMENTS (Unaudited)

Short-Duration Government Fund

July 31, 2016

Description	Face Amount ($ Thousands)			Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 55.6%
Agency Mortgage-Backed Obligations — 55.6%
FHLMC
4.500%, 02/01/2022 to 12/01/2039	$	11,240		$	12,142
4.000%, 06/01/2044		754			807
2.909%, 08/01/2016 (A)		29			30
2.826%, 08/01/2016 (A)		1			1
2.825%, 08/01/2016 (A)		20			20
2.670%, 08/01/2016 (A)		18			19
2.644%, 08/01/2016 (A)		30			31
2.580%, 08/01/2016 (A)		653			683
2.544%, 08/01/2016 (A)		9			10
2.500%, 08/01/2016 to 08/01/2016 (A)		7			7
2.499%, 08/01/2016 (A)		5			5
2.473%, 08/01/2016 (A)		50			53
2.466%, 08/01/2016 (A)		3			3
2.452%, 08/01/2016 (A)		4			4
2.436%, 08/01/2016 (A)		4			4
2.375%, 08/01/2016 to 08/01/2016 (A)		7	��		7
2.321%, 08/01/2016 (A)		7			7
2.310%, 08/01/2016 (A)		6			6
2.250%, 08/01/2016 to 08/01/2016 (A)		4			4
2.125%, 08/01/2016 to 08/01/2016 (A)		1			1
2.000%, 08/01/2016 to 08/01/2016 (A)		1			1
1.875%, 08/01/2016 to 08/01/2016 (A)		—			—
1.750%, 08/01/2016 to 08/01/2016 (A)		—			—
1.625%, 08/01/2016 (A)		—			—
FHLMC Multifamily Structured Pass Through Certificates, Ser K002, Cl A1A2
4.879%, 05/19/2017		5,000			5,114
FHLMC Multifamily Structured Pass Through Certificates, Ser K710, Cl A2
1.883%, 05/25/2019		6,000			6,098
FHLMC Multifamily Structured Pass Through Certificates, Ser KGRP, Cl A
0.870%, 08/25/2016 (A)		4,843			4,845
FHLMC REMIC, Ser 2002-42, Cl A5
7.500%, 02/25/2042		407			491
FHLMC REMIC, Ser 2006-3148, Cl CF
0.881%, 08/15/2016 (A)		336			335
FHLMC REMIC, Ser 2006-3174, Cl FA
0.780%, 04/15/2036 (A)		2,320			2,314
FHLMC REMIC, Ser 2010-3628, Cl PJ
4.500%, 01/15/2040		3,472			3,786
FHLMC REMIC, Ser 2012-4083, Cl DI
4.000%, 07/15/2027		1,050			114

Description	Face Amount ($ Thousands)			Market Value ($ Thousands)
FHLMC REMIC, Ser 2013-4178, Cl BI, IO
3.000%, 03/15/2033	$	1,408		$	169
FHLMC REMIC, Ser 2014-4419, Cl CW
2.500%, 10/15/2037		22,548			23,194
FHLMC REMIC, Ser 3153, Cl FX
0.831%, 08/15/2016 (A)		124			123
FHLMC TBA
4.500%, 08/15/2036		40,000			43,589
4.000%, 08/15/2041		(575	)		(615	)
3.000%, 08/01/2042 to 09/15/2043		19,200			19,950
FNMA
7.000%, 06/01/2037		10			12
6.500%, 05/01/2026 to 01/01/2036		254			295
6.000%, 02/01/2023 to 09/01/2024		3,077			3,401
5.500%, 10/01/2016 to 06/01/2038		767			850
5.300%, 07/01/2019		593			626
5.000%, 03/01/2019 to 08/01/2019		92			94
4.500%, 08/01/2021 to 09/01/2043		15,888			17,404
4.449%, 01/01/2021		5,119			5,615
4.383%, 04/01/2021		7,609			8,454
4.330%, 04/01/2021 to 07/01/2021		3,736			4,190
4.302%, 07/01/2021		522			583
4.295%, 06/01/2021		3,638			4,074
4.230%, 01/01/2021		4,621			5,127
4.070%, 04/01/2019		1,161			1,240
4.066%, 07/01/2020		2,584			2,823
4.050%, 01/01/2021		1,000			1,106
4.040%, 06/01/2021		11,445			12,662
4.000%, 05/01/2026 to 04/01/2042		4,144			4,426
3.980%, 08/01/2021		2,231			2,465
3.970%, 06/01/2021		1,966			2,171
3.890%, 01/01/2024		1,122			1,272
3.880%, 12/01/2020		91			100
3.870%, 09/01/2021		930			1,028
3.840%, 08/01/2021		6,826			7,522
3.800%, 01/01/2023		1,935			2,156
3.793%, 12/01/2020		7,865			8,589
3.770%, 08/01/2021		958			1,053
3.750%, 06/01/2022		1,236			1,370
3.741%, 06/01/2018		2,603			2,691
3.700%, 11/01/2020 to 09/01/2021		3,436			3,767
3.630%, 01/01/2018		2,335			2,394
3.580%, 12/01/2020		910			990
3.500%, 01/01/2046		7,488			7,919
3.490%, 12/01/2020		6,531			7,050
3.470%, 11/01/2020		163			176
3.400%, 03/01/2022		3,664			3,996
3.260%, 12/01/2020		578			620
3.230%, 11/01/2020		1,574			1,687
3.210%, 09/01/2021		343			366
3.000%, 09/01/2027 to 03/01/2031		6,661			6,995
2.990%, 10/01/2017		3,152			3,197

22 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
2.940%, 06/01/2022	$	300	$	321
2.930%, 05/01/2022		710		759
2.638%, 08/01/2016 (A)		216		226
2.567%, 08/01/2016 (A)		185		189
2.556%, 08/01/2016 (A)		386		399
2.425%, 08/01/2016 (A)		7		7
2.375%, 08/01/2016 (A)		81		85
2.310%, 10/01/2022		2,288		2,380
2.297%, 08/01/2016 (A)		14		14
2.266%, 08/01/2016 (A)		79		81
2.250%, 10/01/2022		4,054		4,192
2.220%, 10/01/2022		2,273		2,353
2.150%, 05/01/2022		4,752		4,883
FNMA REMIC, Ser 1992-61, Cl FA
1.138%, 08/25/2016 (A)		44		44
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/2023		18		20
FNMA REMIC, Ser 1993-5, Cl Z
6.500%, 02/25/2023		10		11
FNMA REMIC, Ser 1994-77, Cl FB
1.988%, 08/25/2016 (A)		4		4
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/2016		—		—
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/2017		5		6
FNMA REMIC, Ser 2002-53, Cl FK
0.888%, 08/25/2016 (A)		73		74
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/2033		83		85
FNMA REMIC, Ser 2006-76, Cl QF
0.888%, 08/25/2016 (A)		640		640
FNMA REMIC, Ser 2006-79, Cl DF
0.838%, 08/25/2016 (A)		533		532
FNMA REMIC, Ser 2007-47, Cl DA
5.600%, 05/25/2037		643		722
FNMA REMIC, Ser 2007-64, Cl FB
0.858%, 08/25/2016 (A)		3,756		3,762
FNMA REMIC, Ser 2008-16, Cl FA
1.188%, 08/25/2016 (A)		4,706		4,765
FNMA REMIC, Ser 2010-149, Cl VA
4.500%, 02/25/2022		5,695		6,157
FNMA REMIC, Ser 2010-4, Cl PL
4.500%, 02/25/2040		2,886		3,136
FNMA REMIC, Ser 2012-47, Cl QI, IO
5.457%, 05/25/2042 (A)		953		110
FNMA REMIC, Ser 2012-93, Cl IL, IO
3.000%, 09/25/2027		1,605		153
FNMA REMIC, Ser 2014-50, Cl SC, IO
1.957%, 08/25/2044 (A)		8,274		547
FNMA REMIC, Ser 2015-42, Cl AI, IO
1.906%, 06/25/2055 (A)		5,150		328

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
FNMA REMIC, Ser 2015-57, Cl AB
3.000%, 08/25/2045	$	25,228	$	26,359
FNMA TBA
6.000%, 08/01/2033		2,200		2,513
4.500%, 09/01/2033 to 10/15/2033		31,075		33,876
4.000%, 08/13/2039 to 09/14/2039		53,025		56,828
3.500%, 08/01/2040 to 09/01/2040		500		528
3.000%, 08/25/2026		37,775		39,634
FNMA, Ser 2010-M5, Cl A2
2.806%, 07/25/2020		1,648		1,659
GNMA
6.500%, 04/15/2017 to 02/20/2039		430		497
6.000%, 07/15/2017 to 06/15/2041		10,058		11,567
5.500%, 10/15/2034 to 02/15/2041		3,587		4,042
5.000%, 09/15/2039 to 04/15/2041		2,421		2,709
4.000%, 07/15/2041 to 08/15/2041		244		263
GNMA TBA
6.000%, 08/01/2033		1,600		1,822
5.500%, 08/01/2023		500		562
4.000%, 08/01/2039		100		107
GNMA, Ser 2014-4, Cl BI, IO
4.000%, 01/20/2044		545		119
Total Mortgage-Backed Securities (Cost $478,762) ($ Thousands)				485,978
U.S. GOVERNMENT AGENCY OBLIGATIONS — 35.4%
FFCB
0.750%, 08/03/2017		40,000		40,052
FHLB
0.875%, 06/29/2018		8,850		8,862
0.800%, 07/27/2017		25,000		25,048
FHLMC
0.875%, 02/22/2017		88,715		88,900
0.750%, 01/12/2018		51,350		51,369
FNMA
1.250%, 09/28/2016 to 05/06/2021		87,925		88,214
HUD
0.930%, 08/01/2017		7,000		7,021
Total U.S. Government Agency Obligations (Cost $308,875) ($ Thousands)				309,466
U.S. TREASURY OBLIGATIONS — 17.5%
U.S. Treasury Inflation Indexed Bonds
2.125%, 01/15/2019		40,645		43,297
U.S. Treasury Notes
2.250%, 11/15/2025		62,875		67,234
0.875%, 04/30/2017		42,465		42,573
Total U.S. Treasury Obligations (Cost $151,286) ($ Thousands)				153,104

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 23

SCHEDULE OF INVESTMENTS (Unaudited)

Short-Duration Government Fund (Concluded)

July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
REPURCHASE AGREEMENTS(B) — 14.3%
BNP Paribas 0.350%, dated 07/31/2016, to be repurchased on 08/01/2016, repurchase price $67,401,966 (collateralized by various FMAC, FNMA, GNMA and U.S. Treasury obligations, ranging in par value $1 - $21,160,576, 1.750% - 8.875%, 02/15/2019 - 05/01/2046; with total market value $68,748,001)	$	67,400	$	67,400
Deutsche Bank 0.390%, dated 07/31/2016, to be repurchased on 08/01/2016, repurchase price $57,001,853 (collateralized by a U.S. Treasury obligation, par value $56,867,500, 1.500%, 05/31/2020; with total market value $58,140,083)		57,000		57,000
Total Repurchase Agreements (Cost $124,400) ($ Thousands)				124,400
Total Investments — 122.8% (Cost $1,063,323) ($ Thousands)			$	1,072,948

A list of the open futures contracts held by the Fund at July 31, 2016, is as follows:

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		493			Sep-2016	$	1,260
U.S. 2-Year Treasury Note		(758	)		Sep-2016		(195	)
U.S. 5-Year Treasury Note		(802	)		Sep-2016		(1,686	)
U.S. Long Treasury Bond		(14	)		Sep-2016		(17	)
						$	(638	)

For the six months ended July 31, 2016, 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 period.

Percentages are based on a Net Assets of $873,666 ($ Thousands).

(A) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of July 31, 2016. The demand and interest rate reset features give this security a shorter effective maturity date.

(B) Tri-Party Repurchase Agreement.

Cl — Class

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FMAC — Financial Management Advisory Committee

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

HUD — Housing and Urban Development

IO — Interest Only - face amount represents notional amount

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

24 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

The following is a summary of the inputs used as of July 31, 2016 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	$	—		$	485,978	$	—	$	485,978
U.S. Government Agency Obligations		—			309,466		—		309,466
U.S. Treasury Obligations		—			153,104		—		153,104
Repurchase Agreements		—			124,400		—		124,400
Total Investments in Securities	$	—		$	1,072,948	$	—	$	1,072,948
Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	1,260		$	—	$	—	$	1,260
Unrealized Depreciation		(1,898	)		—		—		(1,898	)
Total Other Financial Instruments	$	(638	)	$	—	$	—	$	(638	)

* Futures Contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.

For the six months ended July 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities. For the six months ended July 31, 2016, there were no Level 3 securities.

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

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

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

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 25

SCHEDULE OF INVESTMENTS (Unaudited)

GNMA Fund

July 31, 2016

Description	Face Amount ($ Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 98.6%
Agency Mortgage-Backed Obligations — 98.6%
FHLMC TBA
4.500%, 08/15/2036 to 09/01/2037	$	2,050	$	2,233
FNMA
8.000%, 07/01/2025 to 09/01/2028		31		34
7.000%, 08/01/2029 to 09/01/2032		65		69
6.500%, 09/01/2032		62		72
4.180%, 11/01/2028		1,680		1,952
3.590%, 09/01/2030		210		237
3.410%, 08/01/2027		1,142		1,267
3.390%, 09/01/2026		300		333
3.340%, 01/01/2027		245		270
3.260%, 01/01/2027 to 06/01/2027		392		428
3.230%, 02/01/2027		150		165
3.140%, 11/01/2027		1,063		1,156
3.130%, 02/01/2027		200		217
2.990%, 11/01/2024		580		624
2.970%, 06/01/2027		200		215
2.780%, 03/01/2027		300		318
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/2020		9		10
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/2022		17		19
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/2017		61		62
FNMA REMIC, Ser 2012-93, Cl IL
3.000%, 09/25/2027		226		22
FNMA TBA
4.000%, 08/13/2039 to 09/14/2039		2,100		2,251
3.000%, 08/01/2042 to 09/13/2042		2,250		2,339
GNMA
10.000%, 10/15/2018 to 09/15/2019		5		5
9.500%, 08/15/2017 to 10/15/2020		10		11
9.000%, 12/15/2017 to 05/15/2022		39		39
8.500%, 10/15/2016 to 05/15/2017		1		1
8.000%, 04/15/2017 to 03/15/2032		230		256
7.750%, 10/15/2026		24		28
7.500%, 02/15/2027 to 10/15/2035		190		226
7.250%, 01/15/2028		50		54
7.000%, 04/15/2019 to 11/15/2033		2,076		2,488
6.750%, 11/15/2027		10		12
6.500%, 09/15/2016 to 10/15/2038		738		882
6.000%, 12/15/2027 to 12/15/2040		1,506		1,721
5.500%, 01/15/2033 to 02/15/2041		2,762		3,154
5.000%, 06/15/2033 to 01/20/2045		7,865		8,794
4.500%, 08/15/2033 to 05/20/2044		6,860		7,519
4.000%, 03/20/2040 to 02/20/2046		10,365		11,131

Description	Face Amount ($ Thousands)			Market Value ($ Thousands)
3.875%, 05/15/2042	$	1,642		$	1,771
3.500%, 03/20/2041 to 06/20/2046		20,733			22,087
3.000%, 10/15/2042 to 08/15/2045		5,008			5,258
2.500%, 07/20/2045 to 02/20/2046		1,419			1,457
GNMA REMIC, Ser 2002-45, Cl QE
6.500%, 06/20/2032		304			362
GNMA TBA
5.500%, 08/01/2023		(700	)		(786	)
5.000%, 08/20/2038		(1,900	)		(2,108	)
4.000%, 08/01/2039 to 08/01/2042		7,675			8,246
3.500%, 08/15/2041 to 09/15/2041		12,750			13,553
3.000%, 08/15/2042		13,550			14,231
2.500%, 08/01/2043		500			513
GNMA, Ser 125, Cl VA
2.700%, 05/16/2035 (A)		59			61
GNMA, Ser 2003-9, Cl Z
5.500%, 01/20/2033		802			904
GNMA, Ser 2014-21, Cl DI, IO
4.000%, 04/16/2026		2,452			290
Total Mortgage-Backed Securities (Cost $113,476) ($ Thousands)					116,453
REPURCHASE AGREEMENT(B) — 37.0%
BNP Paribas 0.350%, dated 07/31/2016, to be repurchased on 08/01/2016, repurchase price $43,701,275 (collateralized by FNMA and GNMA obligations, ranging in par value $1,494 - $68,351,584, 2.000% - 5.500%, 12/20/2027 - 04/01/2045; with total market value $44,574,001) (A)		43,700			43,700
Total Repurchase Agreement (Cost $43,700) ($ Thousands)					43,700
Total Investments — 135.6% (Cost $157,176) ($ Thousands)				$	160,153

A list of the open futures contracts held by the Fund at July 31, 2016, is as follows:

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Ultra 10-Year U.S. Treasury Bond		(10	)		Sep-2016	$	(58	)
U.S. 10-Year Treasury Note		(7	)		Sep-2016		(1	)
U.S. 2-Year Treasury Note		(24	)		Sep-2016		(14	)
U.S. Long Treasury Bond		(2	)		Sep-2016		(2	)
						$	(75	)

26 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

For the six months ended July 31, 2016, 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 period.

Percentages are based on a Net Assets of $118,067 ($ Thousands).

(A) Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of July 31, 2016.

(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, 2016 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	$	—		$	116,453	$	—	$	116,453
Repurchase Agreement		—			43,700		—		43,700
Total Investments in Securities	$	—		$	160,153	$	—	$	160,153
Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *
Unrealized Depreciation	$	(75	)	$	—	$	—	$	(75	)
Total Other Financial Instruments	$	(75	)	$	—	$	—	$	(75	)

* Futures Contracts are valued at the net unrealized depreciation on the instruments.

For the six months ended July 31, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

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

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

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

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 27

Statements of Assets and Liabilities (Unaudited) ($ Thousands)

July 31, 2016

	Government Fund			Government II Fund
Assets:
Investments, at value†		$   5,441,102			$   1,799,612
Repurchase agreements†		2,380,000			—
Cash		343,443			4,336
Receivable from custodian		—			—
Interest receivable		594			218
Receivable for investment securities sold		—			—
Receivable for fund shares sold		—			—
Receivable from investment adviser		—			—
Receivable for variation margin		—			—
Prepaid expenses		48			28
Total Assets		8,165,187			1,804,194
Liabilities:
Payable for investment securities purchased		—			—
Administration fees payable		768			219
Income distribution payable		543			188
Investment advisory fees payable		177			53
Chief Compliance Officer fees payable		5			2
Shareholder servicing fees payable		—			—
Trustees’ fees payable		3			1
Payable for fund shares redeemed		—			—
Payable for variation margin		—			—
Accrued expense payable		66			33
Total Liabilities		1,562			496
Net Assets		$   8,163,625			$   1,803,698
†Cost of investments and repurchase agreements		$   7,821,102			$   1,799,612
Net Assets:
Paid-in Capital — (unlimited authorization — no par value)		$   8,163,609			$   1,803,673
Undistributed (Distributions in excess of) net investment income		—			3
Accumulated net realized gain (loss) on investments		16			22
Net unrealized appreciation (depreciation) on investments		—			—
Net unrealized depreciation on futures contracts		—			—
Net Assets		$   8,163,625			$   1,803,698
Net Asset Value, Offering and Redemption Price Per Share — Class A		$1.00			$1.00
		($8,123,446,627 ÷ 8,123,520,093 shares	)		($1,803,697,898 ÷ 1,803,772,595 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class CAA		$1.00			N/A
		($40,178,538 ÷ 40,178,383 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class Y		N/A			N/A

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

N/A — Not Applicable. Class CAA and Y currently not offered.

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

28 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Treasury Fund			Treasury II Fund			Ultra Short Duration Bond Fund			Short-Duration Government Fund			GNMA Fund
	$   118,582			$   515,834			$   244,283			$   948,548			$   116,453
	23,000			—			1,500			124,400			43,700
	6,112			3,234			794			393			80
	5,437			24,184			—			—			—
	402			749			540			1,938			244
	—			—			1,162			62,730			21,449
	—			—			68			593			255
	32			—			—			26			4
	—			—			6			236			—
	36			15			6			19			14
	153,601			544,016			248,359			1,138,883			182,199
	—			—			7,990			261,263			63,664
	—			27			60			427			116
	6			42			40			165			28
	31			54			31			—			—
	—			1			—			2			—
	—			—			8			70			37
	—			—			—			—			—
	—			—			1,139			2,777			252
	—			—			10			482			19
	6			16			3			31			16
	43			140			9,281			265,217			64,132
	$   153,558			$   543,876			$   239,078			$   873,666			$   118,067
	$   141,582			$   515,834			$   245,959			$1,063,323			$   157,176
	$   153,547			$   543,852			$   261,149			$   869,721			$   113,603
	—			17			(171	)		(275	)		(235	)
	11			7			(21,673	)		(4,767	)		1,797
	—			—			(176	)		9,625			2,977
	—			—			(51	)		(638	)		(75	)
	$   153,558			$   543,876			$   239,078			$   873,666			$   118,067
	$1.00			$1.00			$9.32			$10.55			$10.91
	($153,557,703 ÷ 153,612,163 shares	)		($543,875,796 ÷ 544,001,437 shares	)		($201,301,502 ÷ 21,592,952 shares	)		($826,638,258 ÷ 78,354,554 shares	)		($118,011,792 ÷ 10,812,307 shares	)
	N/A			N/A			N/A			N/A			N/A
	N/A			N/A			$9.33			$10.55			$10.91
							($37,776,173 ÷ 4,050,589 shares	)		($47,027,534 ÷ 4,458,720 shares	)		($55,362 ÷ 5,076 shares	)

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 29

Statements of Operations (Unaudited) ($ Thousands)

For the six months ended July 31, 2016

	Government Fund			Government II Fund
Investment Income:
Interest income	$	4,974		$	2,272
Total investment income		4,974			2,272
Expenses:
Administration fees		3,452			1,252
Shareholder servicing fees — Class A shares		3,508			1,644
Investment advisory fees		1,007			461
Trustees’ fees		18			10
Chief Compliance Officer fees		7			3
Proxy fees		51			29
Custodian/Wire agent fees		50			26
Registration fees		41			25
Pricing fees		7			4
Other expenses		139			75
Total expenses		8,280			3,529
Less, waiver of:
Investment advisory fees		(503	)		(231	)
Administration fees		(1,334	)		(305	)
Shareholder servicing fees — Class A shares		(3,508	)		(1,644	)
Net expenses		2,935			1,349
Net Investment Income		2,039			923
Net Realized and Unrealized Gain (Loss) on/from:
Investments		16			22
Futures contracts		—			—
Net change in unrealized appreciation(depreciation) on/from:
Investments		—			—
Futures contracts		—			—
Net Increase in Net Assets Resulting from Operations	$	2,055		$	945

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

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

30 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Treasury Fund			Treasury II Fund			Ultra Short Duration Bond Fund			Short-Duration Government  Fund			GNMA Fund
$	359		$	938		$	1,546		$	6,261		$	1,356
	359			938			1,546			6,261			1,356
	269			736			356			1,297			182
	281			768			251			1,017			152
	78			215			119			432			61
	2			5			2			7			1
	1			2			1			2			—
	15			19			4			16			2
	5			13			4			18			3
	41			13			5			16			2
	1			2			16			58			—
	14			37			16			49			16
	707			1,810			774			2,912			419
	(39	)		(107	)		—			—			—
	(147	)		(301	)		(160	)		(230	)		(15	)
	(281	)		(768	)		(171	)		(610	)		(18	)
	240			634			443			2,072			386
	119			304			1,103			4,189			970
	11			8			117			2,337			1,755
	—			—			(91	)		(184	)		(120	)
	—			—			1,038			4,073			(270	)
	—			—			14			(685	)		(42	)
$	130		$	312		$	2,181		$	9,730		$	2,293

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 31

Statements of Changes in Net Assets ($ Thousands)

For the six months ended July 31, 2016 (Unaudited) and the year ended January 31,

	Government Fund(1)(2)
	2/1/16-7/31/16			2/1/15-1/31/16
Operations:
Net investment Income	$	2,039		$	515
Net realized gain on investments		16			—
Net increase in net assets resulting from operations		2,055			515
Dividends and Distributions to Shareholders:
Net investment income
Class A		(2,014	)		(493	)
Class B		—			(13	)
Class C		—			—
Class CAA		(25	)		(4	)
Sweep Class		—			(5	)
Total dividends and distributions		(2,039	)		(515	)
Capital Share Transactions (All at $1.00 per share)
Class A:
Proceeds from shares issued		13,151,811			10,774,874
Reinvestment of dividends & distributions		385			151
Cost of shares redeemed		(6,938,347	)		(10,653,706	)
Net increase (decrease) from Class A Transactions		6,213,849			121,319
Class B:
Proceeds from shares issued		—			314,809
Reinvestment of dividends & distributions		—			9
Cost of shares redeemed		—			(434,269	)
Net increase (decrease) from Class B Transactions		—			(119,451	)
Class C:
Proceeds from shares issued		—			155,402
Reinvestment of dividends & distributions		—			—
Cost of shares redeemed		—			(161,198	)
Net increase (decrease) from Class C Transactions		—			(5,796	)
Class CAA:
Proceeds from shares issued		39,410			64,669
Reinvestment of dividends & distributions		267			4
Cost of shares redeemed		(35,502	)		(28,670	)
Net increase (decrease) from Class CAA Transactions		4,175			36,003
Sweep Class:
Proceeds from shares issued		—			128,744
Reinvestment of dividends & distributions		—			4
Cost of shares redeemed		—			(184,355	)
Net increase (decrease) from Sweep Class Transactions		—			(55,607	)
Net increase (decrease) in net assets from capital shares transactions		6,218,024			(23,532	)
Net increase (decrease) in net assets		6,218,040			(23,532	)
Net Assets:
Beginning of period		1,945,585			1,969,117
End of period	$	8,163,625		$	1,945,585
Undistributed Net Investment Income	$	—		$	—

(1) Class CAA commenced operations on November 20, 2015.

(2) Effective September 4, 2015, Class B, C and Sweep Class Shares of the Government, Government II, Treasury and Treasury II Funds converted to Class A Shares of the same Fund.

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

N/A — Not applicable. Class CAA and Sweep Class currently not offered.

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

32 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Government II Fund(2)						Treasury Fund(2)						Treasury II Fund(2)
2/1/16-7/31/16			2/1/15-1/31/16			2/1/16-7/31/16			2/1/15-1/31/16			2/1/16-7/31/16			2/1/15-1/31/16
$	923		$	205		$	119		$	53		$	304		$	70
	22			6			11			—			8			—
	945			211			130			53			312			70
	(923	)		(196	)		(119	)		(41	)		(303	)		(60	)
	—			(8	)		—			(5	)		—			(10	)
	—			(1	)		—			(1	)		—			—
	—			—			—			—			—			—
	—			—			—			(6	)		—			—
	(923	)		(205	)		(119	)		(53	)		(303	)		(70	)
	2,677,721			3,234,839			609,901			1,203,159			1,081,322			2,115,930
	191			32			90			23			108			24
	(2,102,614	)		(3,159,191	)		(742,158	)		(1,042,121	)		(1,232,550	)		(1,912,206	)
	575,298			75,680			(132,167	)		161,061			(151,120	)		203,748
	—			317,579			—			243,760			—			368,111
	—			7			—			4			—			1
	—			(490,356	)		—			(328,399	)		—			(567,973	)
	—			(172,770	)		—			(84,635	)		—			(199,861	)
	—			66,415			—			16,058			—			15,923
	—			—			—			—			—			—
	—			(83,071	)		—			(26,628	)		—			(20,090	)
	—			(16,656	)		—			(10,570	)		—			(4,167	)
	N/A			N/A			N/A			N/A			N/A			N/A
	N/A			N/A			N/A			N/A			N/A			N/A
	N/A			N/A			N/A			N/A			N/A			N/A
	N/A			N/A			N/A			N/A			N/A			N/A
	N/A			N/A			—			87,710			N/A			N/A
	N/A			N/A			—			—			N/A			N/A
	N/A			N/A			—			(208,277	)		N/A			N/A
	N/A			N/A			—			(120,567	)		N/A			N/A
	575,298			(113,746	)		(132,167	)		(54,711	)		(151,120	)		(280	)
	575,320			(113,740	)		(132,156	)		(54,711	)		(151,111	)		(280	)
	1,228,378			1,342,118			285,714			340,425			694,987			695,267
$	1,803,698		$	1,228,378		$	153,558		$	285,714		$	543,876		$	694,987
$	3		$	3		$	—		$	—		$	17		$	16

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 33

Statements of Changes in Net Assets ($ Thousands)

For the six months ended July 31, 2016 (Unaudited) and the year ended January 31,

	Ultra Short Duration Bond Fund(1)
	2/1/16-7/31/16			2/1/15-1/31/16
Operations:
Net investment income	$	1,103		$	1,835
Net realized gain (loss) on investments and futures contracts		26			(133	)
Net change in unrealized appreciation (depreciation) on investments and futures contracts		1,052			(522	)
Net increase in net assets resulting from operations		2,181			1,180
Dividends and Distributions to Shareholders:
Net investment income
Class A		(1,064	)		(2,253	)
Class Y		(211	)		(39	)
Net capital gains
Class A		—			—
Total dividends and distributions		(1,275	)		(2,292	)
Capital share transactions:
Class A:
Proceeds from shares issued		73,150			100,099
Reinvestment of dividends & distributions		832			1,805
Cost of shares redeemed		(71,184	)		(158,679	)
Net increase (decrease) from Class A transactions		2,798			(56,775	)
Class Y:
Proceeds from shares issued		3,136			37,782
Reinvestment of dividends & distributions		208			39
Cost of shares redeemed		(2,757	)		(761	)
Net increase (decrease) from Class Y transactions		587			37,060
Net Increase (Decrease) in net assets from capital share transactions		3,385			(19,715	)
Net increase (decrease) in net assets		4,291			(20,827	)
Net Assets:
Beginning of period		234,787			255,614
End of period	$	239,078		$	234,787
Undistributed (Distributions in Excess of) net investment income	$	(171	)	$	1
Capital Share Transactions:
Class A
Shares issued		7,857			10,745
Reinvestment of distributions		89			194
Shares redeemed		(7,643	)		(17,054	)
Net increase (decrease) in shares outstanding from Class A Share transactions		303			(6,115	)
Class Y
Shares issued		337			4,066
Reinvestment of distributions		22			4
Shares redeemed		(296	)		(82	)
Net increase (decrease) in shares outstanding from Class Y Share transactions		63			3,988
Total increase (decrease) in shares outstanding from share transactions		366			(2,127	)

(1) Class Y shares commenced operations on August 31, 2015.

(2) Class Y shares commenced operations on October 30, 2015.

N/A — Not applicable. Class Y currently not offered.

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

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

34 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Short-Duration Government Fund						GNMA Fund(2)
2/1/16-7/31/16			2/1/15-1/31/16			2/1/16-7/31/16			2/1/15-1/31/16
$	4,189		$	5,149		$	970		$	1,468
	2,153			281			1,635			948
	3,388			(2,796	)		(312	)		(624	)
	9,730			2,634			2,293			1,792
	(4,735	)		(5,762	)		(1,203	)		(1,920	)
	(321	)		(511	)		(1	)		—
	—			—			—			(914	)
	(5,056	)		(6,273	)		(1,204	)		(2,834	)
	134,584			447,577			26,281			61,507
	3,804			4,661			1,017			2,268
	(115,420	)		(310,806	)		(32,414	)		(58,597	)
	22,968			141,432			(5,116	)		5,178
	7,928			35,276			—			69
	318			511			1			—
	(12,316	)		(39,604	)		(16	)		—
	(4,070	)		(3,817	)		(15	)		69
	18,898			137,615			(5,131	)		5,247
	23,572			133,976			(4,042	)		4,205
	850,094			716,118			122,109			117,904
$	873,666		$	850,094		$	118,067		$	122,109
$	(275	)	$	592		$	(235	)	$	(1	)
	12,796			42,687			2,422			5,698
	362			445			94			210
	(10,970	)		(29,644	)		(2,986	)		(5,418	)
	2,188			13,488			(470	)		490
	755			3,367			—			6
	30			49			—			—
	(1,170	)		(3,787	)		(1	)		—
	(385	)		(371	)		(1	)		6
	1,803			13,117			(471	)		496

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 35

Financial Highlights

For the six months ended July 31, 2016 (Unaudited) and the years ended January 31,

For a Share Outstanding Throughout the Year or Period

	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(1)			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets
Government Fund
Class A
2016@	$	1.00	$	—	$	—	$	—	$	—	(2)	$	—		$	—	(2)	$	1.00		0.07	%	$	8,123,447		0.20	%		0.59	%		0.14	%
2016		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.03			1,909,582		0.12			0.58			0.03
2015		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.02			1,788,290		0.07			0.58			0.02
2014		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.02			1,523,561		0.09			0.58			0.02
2013		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.02			1,292,334		0.16			0.59			0.02
2012		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.05			1,054,551		0.10			0.59			0.05
Class CAA
2016@	$	1.00	$	—	$	—	$	—	$	—	(2)	$	—		$	—	(2)	$	1.00		0.07	%	$	40,179		0.20	%		0.33	%		0.13	%
2016(3)		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.01			36,003		0.18			0.58			0.06
Government II Fund
Class A
2016@	$	1.00	$	—	$	—	$	—	$	—	(2)	$	—		$	—	(2)	$	1.00		0.07	%	$	1,803,698		0.20	%		0.54	%		0.14	%
2016		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.02			1,228,378		0.11			0.53			0.02
2015		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.01			1,152,698		0.08			0.53			0.01
2014		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.01			1,246,262		0.09			0.53			0.01
2013		1.00		—		—		—		—	(2)		—	(2)		—	(2)		1.00		0.01			1,237,205		0.12			0.54			0.01
2012		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.01			1,308,018		0.09			0.54			0.01
Treasury Fund
Class A
2016@	$	1.00	$	—	$	—	$	—	$	—	(2)	$	—		$	—	(2)	$	1.00		0.06	%	$	153,558		0.20	%		0.63	%		0.11	%
2016		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.02			285,714		0.10			0.59			0.03
2015		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.01			124,646		0.05			0.58			0.01
2014		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.01			46,315		0.08			0.58			0.01
2013		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.01			82,339		0.14			0.59			0.01
2012		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.01			199,520		0.08			0.59			0.01
Treasury II Fund
Class A
2016@	$	1.00	$	—	$	—	$	—	$	—	(2)	$	—		$	—	(2)	$	1.00		0.05	%	$	543,876		0.20	%		0.59	%		0.10	%
2016		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.01			694,987		0.08			0.58			0.02
2015		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.01			491,209		0.04			0.58			0.01
2014		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.01			440,422		0.06			0.58			0.01
2013		1.00		—		—		—		—	(2)		—	(2)		—	(2)		1.00		0.01			460,590		0.08			0.59			0.01
2012		1.00		—		—		—		—	(2)		—			—	(2)		1.00		0.01			472,352		0.05			0.59			0.01

* Per share calculations were performed using average shares.

@ For the six month period ended July 31, 2016. 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.

(1) 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.

(2) Amount represents less than $0.01 per share.

(3) Commenced operations on November 20, 2015. All ratios for the period have been annualized.

Amounts designated as ‘‘—’’ are zero or have been rounded to zero

36 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

	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
2016@	$	9.29	$	0.04	$	0.04		$	0.08		$	(0.05	)	$	—		$	(0.05	)	$	9.32		0.85	%	$	201,302		0.38	%		0.69	%		0.92	%		43	%
2016		9.33		0.07		(0.03	)		0.04			(0.08	)		—			(0.08	)		9.29		0.45			197,737		0.38			0.69			0.71			115
2015		9.35		0.06		—			0.06			(0.08	)		—			(0.08	)		9.33		0.60			255,614		0.38			0.72			0.61			106
2014		9.37		0.06		—			0.06			(0.08	)		—			(0.08	)		9.35		0.64			271,221		0.38			0.73			0.63			131
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
Class Y
2016@	$	9.29	$	0.05	$	0.04		$	0.09		$	(0.05	)	$	—		$	(0.05	)	$	9.33		1.00	%	$	37,776		0.30	%		0.44	%		1.00	%		43	%
2016(1)		9.31		0.02		—			0.02			(0.04	)		—			(0.04	)		9.29		0.19			37,050		0.30			0.44			0.60			115
Short-Duration Government Fund
Class A
2016@	$	10.49	$	0.05	$	0.07		$	0.12		$	(0.06	)	$	—		$	(0.06	)	$	10.55		1.15	%	$	826,638		0.48	%		0.69	%		0.96	%		177	%
2016		10.55		0.07		(0.05	)		0.02			(0.08	)		—			(0.08	)		10.49		0.22			799,269		0.48			0.69			0.64			245
2015		10.52		0.09		0.04			0.13			(0.10	)		—			(0.10	)		10.55		1.20			661,101		0.48			0.73			0.85			151
2014		10.62		0.06		(0.06	)		0.00			(0.10	)		—			(0.10	)		10.52		(0.01	)		761,739		0.48			0.73			0.56			565
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
Class Y
2016@	$	10.49	$	0.06	$	0.07		$	0.13		$	(0.07	)	$	—		$	(0.07	)	$	10.55		1.21	%	$	47,028		0.38	%		0.44	%		1.06	%		177	%
2016		10.55		0.08		(0.05	)		0.03			(0.09	)		—			(0.09	)		10.49		0.32			50,825		0.38			0.44			0.74			245
2015(2)		10.50		0.01		0.05			0.06			(0.01	)		—			(0.01	)		10.55		0.54			55,017		0.38			0.46			0.97			151
GNMA Fund
Class A
2016@	$	10.82	$	0.09	$	0.11		$	0.20		$	(0.11	)	$	—		$	(0.11	)	$	10.91		1.83	%	$	118,012		0.63	%		0.69	%		1.60	%		390	%
2016		10.93		0.15		0.02			0.17			(0.19	)		(0.09	)		(0.28	)		10.82		1.65			122,039		0.63			0.69			1.36			718
2015		10.50		0.11		0.49			0.60			(0.17	)		—			(0.17	)		10.93		5.79			117,904		0.63			0.69			1.07			758
2014		10.70		0.07		(0.09	)		(0.02	)		(0.18	)		—			(0.18	)		10.50		(0.14	)		158,672		0.63			0.69			0.68			758
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
Class Y
2016@	$	10.81	$	0.10	$	0.12		$	0.22		$	(0.12	)	$	—		$	(0.12	)	$	10.91		2.04	%	$	55		0.41	%		0.44	%		1.82	%		390	%
2016(3)		10.76		0.02		0.11			0.13			(0.06	)		(0.02	)		(0.08	)		10.81		1.26			70		0.43			0.45			0.80			718

* Per share calculations were performed using average shares.

† 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.

@ For the six month period ended July 31, 2016. All ratios for the period have been annualized.

(1) Commenced operations on August 31, 2015. All ratios for the period have been annualized.

(2) Commenced operations on December 31, 2014. All ratios for the period have been annualized.

(3) Commenced operations on October 30, 2015. All ratios for the period have been annualized.

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

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

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 37

Notes to Financial Statements (Unaudited)

July 31, 2016

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 seven operational Funds: the Government, Government II, Treasury and Treasury II (each a “Fund,” collectively, the “Money Market Funds”), the Ultra Short Duration Bond, Short-Duration Government and GNMA (each a “Fund,” collectively, the “Fixed Income Funds”). The Trust is registered to offer: Class A shares of the Funds; and Class CAA shares of the Government Fund and Class Y shares of the Fixed Income 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. On June 24, 2016 the Money Market Fund closed. On July 22, 2016 the Prime Obligation Fund closed.

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. The Fund’s use of amortized cost is subject to its compliance with certain conditions as specified by Rule 2a-7 of the 1940 Act.

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 an 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, 2016, there were no fair valued securities held by 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 an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

38 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

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 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 period ended July 31, 2016, 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.

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, 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.

It is the Funds’ policy to present the repurchase agreements contracts separately on the Statements of Assets and Liabilities, as the Funds do not have a master netting agreement with the counterparty to the repurchase agreements contracts. Refer to each Fund’s Schedule of Investments for details regarding repurchase agreements contracts as of July 31, 2016, if applicable.

Futures Contracts — To the extent consistent with its investment objective and strategies, the Fixed Income Funds utilized futures contracts during the fiscal period ended July 31, 2016. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Funds chose to invest in 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 Funds 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.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 39

Notes to Financial Statements (Unaudited) (Continued)

July 31, 2016

It is the Funds’ policy to present the gross variation margin payable and the gross variation margin receivable of the future contracts separately on the Statements of Assets and Liabilities, as the Funds do not have a master netting agreement with the counterparty to the futures contracts. Refer to each Fund’s Schedule of Investments for details regarding open future contracts as of July 31, 2016, if applicable. The fair value of interest rate futures contracts held in the Fixed Income Funds can be found on the Statements of Assets and Liabilities under the captions Receivable for Variation Margin and Payable for Variation Margin. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. Cumulative appreciation/ depreciation of futures contracts are reported in the respective Fixed Income Funds’ Schedule of Investments. Realized gains or losses on interest rate futures contracts related to the Fixed Income Funds are recognized on the Statements of Operations as part of Net Realized Gain (Loss) on Futures Contracts and any change in unrealized appreciation or depreciation is recognized on the Statements of Operations as Net Unrealized Gain (Loss) on Futures Contracts.

Swap Agreements — To the extent consistent with its investment objective and strategies, a Fund’s investment 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 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 Statements 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, 2016

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

40 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

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, 2016.

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 and CLOs, the cash flows 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 and CLO 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 and CLO 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 and CLO securities as a class.

The risks of an investment in a CDO and CLO 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 and CLOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs and CLOs, allowing a CDO and CLO 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 and CLOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs and CLOs 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 period, 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

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 41

Notes to Financial Statements (Unaudited) (Continued)

July 31, 2016

were valued at amortized cost, which approximates fair value, as determined in accordance with the procedures approved by the Board of Trustees. At July 31, 2016, the Funds did not own any restricted securities.

Classes — Class-specific expenses are borne by that class of shares. Income, non-class specific expenses, and realized and unrealized gains/losses 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 — As of July 17, 2015, the Fixed Income Funds no longer charge redemption fees. Prior to July 17, 2015, the Funds charged a redemption fee based on a redemption, or a series of redemptions from a single identifiable source that in the aggregate exceeded 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	%
GNMA Fund		10,000		0.25	%

For the period ended July 31, 2016, 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 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 voluntary 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.

42 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

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*		Expense Limitations
Government Fund
Class A		0.07	%		0.24	%		0.25	%		—		—		0.20	%(3)
Class CAA		0.07	%		0.24	%		0.25	%		—		—		0.25	%(2)
Government II Fund
Class A		0.07	%		0.19	%		0.25	%		—		—		0.20	%(2)
Treasury Fund
Class A		0.07	%		0.24	%		0.25	%		—		—		0.20	%(2)
Treasury II Fund
Class A		0.07	%		0.24	%		0.25	%		—		—		0.20	%(2)
Ultra Short Duration Bond Fund
Class A		0.10	%(4)		0.35	%		0.25	%		—		—		0.38	%(1)
Class Y		0.10	%(4)		0.35	%		—	%		—		—		0.30	%(1)
Short-Duration Government Fund
Class A		0.09	%(5)		0.30	%		0.25	%		—		—		0.48	%(1)
Class Y		0.09	%(5)		0.30	%		—	%		—		—		0.38	%(1)
GNMA Fund
Class A		0.09	%(5)		0.30	%		0.25	%		—		—		0.63	%(1)
Class Y		0.09	%(5)		0.30	%		—	%		—		—		0.43	%(1)

(1) Represents a voluntary cap that may be discontinued at any time.

(2) Represents a contractual cap effective through May 31, 2017, to be changed only by board approval.

(3) Represents a contractual cap of .25% of Class A, effective through May 31, 2017 , to be changed only by Board approval. In addition, management has voluntarily waived fees to a cap of .20 of Class A that may be discontinued at any time.

(4) 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. The fee is calculated based on the net assets of the Ultra Short Duration Bond Fund.

(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 Short-Duration Government and GNMA Funds. The fee is a blended percentage and 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.

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. 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 Funds did not have any such waivers by class for the period ended July 31, 2016.

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

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

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.

Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an inter-fund 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

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 43

Notes to Financial Statements (Unaudited) (Continued)

July 31, 2016

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. Inter-fund 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 inter-fund loans is the average of the Repo Rate and the Bank Loan Rate. For the period ended July 31, 2016, 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 period ended July 31, 2016, were as follows for the Fixed Income Funds:

	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Ultra Short Duration Bond Fund
Purchases	$	33,862	$	28,858	$	62,720
Sales		35,510		35,644		71,154
Short-Duration Government Fund
Purchases		1,698,068		28,609		1,726,677
Sales		1,579,567		2,593		1,582,160
GNMA Fund
Purchases		459,763		—		459,763
Sales		463,904		29		463,933

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 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.

Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage and asset-backed securities for tax purposes, distribution reclassification, expiration of capital losses and non-deductible excise tax have been reclassified to/from the following accounts as of January 31, 2016:

	Paid-in- Capital ($ Thousands)			Undistributed Net Investment Income ($ Thousands)		Accumulated Realized Gain/(Loss) ($ Thousands)
Government Fund	$	(31	)	$	—	$	31
Government II Fund		—			6		(6	)
Prime Obligation Fund		(1	)		1		—
Treasury II Fund		(1	)		1		—
Ultra Short Duration Bond Fund		(296	)		459		(163	)
Short-Duration Government Fund		—			1,121		(1,121	)
GNMA Fund		—			454		(454	)

These reclassifications have no impact on net assets or net asset value per share.

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	2016	$	159	$	—	$	159
	2015		28		—		28
Government Fund	2016		515		—		515
	2015		378		—		378
Government II Fund	2016		205		—		205
	2015		128		—		128
Prime Obligation Fund	2016		3,312		—		3,312
	2015		496		—		496
Treasury Fund	2016		53		—		53
	2015		37		—		37
Treasury II Fund	2016		70		—		70
	2015		71		—		71

44 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

		Ordinary Income ($ Thousands)		Long-term Capital Gain ($ Thousands)		Total ($ Thousands)
Ultra Short Duration Bond Fund	2016	$	2,292	$	—	$	2,292
	2015		2,129		—		2,129
Short-Duration Government Fund	2016		6,273		—		6,273
	2015		6,847		—		6,847
GNMA Fund	2016		2,114		720		2,834
	2015		1,978		—		1,978

As of January 31, 2016, 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)			Unrealized Appreciation (Depreciation) ($ Thousands)			Other Temporary Differences ($ Thousands)			Total Distributable Earnings (Accumulated Losses) ($ Thousands)
Money Market Fund	$	65	$	—	$	—		$	—		$	—		$	(64	)	$	1
Government Fund		178		—		—			—			—			(178	)		—
Government II Fund		91		—		—			—			—			(88	)		3
Prime Obligation Fund		1,475		—		(47	)		(4	)		—			(1,475	)		(51	)
Treasury Fund		20		—		—			—			—			(20	)		—
Treasury II Fund		27		—		—			—			—			(12	)		15
Ultra Short Duration Bond Fund		201		—		(21,504	)		(221	)		(1,279	)		(174	)		(22,977	)
Short-Duration Government Fund		1,205		—		(6,487	)		(253	)		5,572			(766	)		(729	)
GNMA Fund		345		—		—			—			3,203			(173	)		3,375

At January 31, 2016, the following Funds had capital loss carryforwards to offset future realized capital gains:

	Amount ($ Thousands)		Expiration
Prime Obligation Fund		47		1/31/17
Ultra Short Duration Bond Fund		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, 2016, the Prime Obligation Fund and Short-Duration Government Fund utilized $3,304 and $911,319, respectively, of capital loss carryforwards to offset capital gains.

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	$	130	$	5,656	$	5,786
Short Duration Government Fund		1,114		5,373		6,487

* This table should be used in conjunction with the capital loss carryforwards table.

During the period ended July 31, 2016, 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 July 31, 2016, and net realized gains or losses on securities sold for the year, 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, 2016, were as follows:

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 45

Notes to Financial Statements (Unaudited) (Concluded)

July 31, 2016

	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Ultra Short Duration Bond Fund	$	245,959	$	632	$	(808	)	$	(176	)
Short-Duration Government Fund		1,063,323		13,094		(3,469	)		9,625
GNMA Fund		157,176		3,019		(42	)		2,977

Management has analyzed the Funds’ tax positions taken on the federal tax returns for all open tax years and has concluded that as of July 31, 2016, no provision for income tax is required in the Funds’ financial statements. 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. CONCENTRATION OF SHAREHOLDERS

SEI Private Trust Company (“SPTC”) and SIMC are subsidiaries of SEI Investments Company. As of July 31, 2016, SPTC held of record the following:

Government Fund, Cl CAA	100.00	%
Government Fund, Cl Y	52.24	%
Government II Fund	59.78	%
Treasury Fund	92.58	%
Treasury II Fund	64.38	%
Ultra Short Duration Bond Fund, Cl A	90.24	%
Ultra Short Duration Bond Fund, Cl Y	82.15	%
Short Duration Government Fund, Cl A	86.21	%
Short Duration Government Fund, Cl Y	17.53	%
GNMA Fund, Cl A	86.57	%
GNMA Fund, Cl Y	63.33	%

SPTC is not a direct service provider to the Funds. However, SPTC performs a key role in the comprehensive investment solution that SEI provides to investors. SPTC holds the vast majority of shares in the Funds as custodian for shareholders that are clients of the advisors and financial planners. SPTC maintains accounts at SEI Institutional Transfer Agency (“SITA”), and operates in an omnibus fund account environment.

8. SUBSEQUENT EVENTS

Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosures and/ or adjustments were required to the financial statements as of July 31, 2016.

46 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Disclosure of Fund Expenses (Unaudited)

July 31, 2016

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.

	Beginning Account Value 2/1/16		Ending Account Value 7/31/16		Annualized Expense Ratios			Expenses Paid During Period*
Government Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.70		0.20	%	$	0.99
Class CAA		1,000.00		1,000.70		0.20			0.99
Hypothetical 5% Return
Class A	$	1,000.00	$	1,023.87		0.20	%	$	1.01
Class CAA		1,000.00		1,023.87		0.20			1.01
Government II Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.70		0.20	%	$	0.99
Hypothetical 5% Return
Class A	$	1,000.00	$	1,023.87		0.20	%	$	1.01

	Beginning Account Value 2/1/16		Ending Account Value 7/31/16		Annualized Expense Ratios			Expenses Paid During Period*
Treasury Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.60		0.20	%	$	0.99
Hypothetical 5% Return
Class A	$	1,000.00	$	1,023.87		0.20	%	$	1.01
Treasury II Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.50		0.20	%	$	0.99
Hypothetical 5% Return
Class A	$	1,000.00	$	1,023.87		0.20	%	$	1.01

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 47

Disclosure of Fund Expenses (Unaudited) (Concluded)

July 31, 2016

	Beginning Account Value 2/1/16		Ending Account Value 7/31/16		Annualized Expense Ratios			Expenses Paid During Period*
Ultra Short Duration Bond Fund
Actual Fund Return
Class A	$	1,000.00	$	1,008.50		0.38	%	$	1.90
Class Y		1,000.00		1,010.00		0.30			1.50
Hypothetical 5% Return
Class A	$	1,000.00	$	1,022.97		0.38	%	$	1.91
Class Y		1,000.00		1,023.37		0.30			1.51
Short-Duration Government Fund
Actual Fund Return
Class A	$	1,000.00	$	1,011.50		0.48	%	$	2.40
Class Y		1,000.00		1,012.10		0.38			1.90
Hypothetical 5% Return
Class A	$	1,000.00	$	1,022.48		0.48	%	$	2.41
Class Y		1,000.00		1,022.97		0.38			1.91

	Beginning Account Value 2/1/16		Ending Account Value 7/31/16		Annualized Expense Ratios			Expenses Paid During Period*
GNMA Fund
Actual Fund Return
Class A	$	1,000.00	$	1,018.30		0.63	%	$	3.16
Class Y		1,000.00		1,020.40		0.41			2.06
Hypothetical 5% Return
Class A	$	1,000.00	$	1,021.73		0.63	%	$	3.17
Class Y		1,000.00		1,022.82		0.41			2.06

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/366.

48 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

Board of Trustees’ Considerations in Approving the Advisory Agreement (Unaudited)

SEI Daily Income Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC is responsible for the investment advisory services provided to the series of the Trust (the “Funds”). Pursuant to separate sub-advisory agreements with SIMC (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”), and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) provide security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to the Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the initial approval of, as well as the continuation of, the Funds’ Investment Advisory Agreements be specifically approved: (i) by the vote of the Board or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval(s). In connection with their consideration of such approval(s), the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement.

Consistent with these responsibilities, the Board calls and holds meetings each year to consider whether to approve new and/or renew existing Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations and the services provided pursuant to the Investment Advisory Agreements. The Board also receives data from third parties. This information is provided in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from counsel regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.

Specifically, during the course of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC charges the Funds and the level of the sub-advisory fees that SIMC pays the Sub-Advisers, compared with fees each charge to comparable accounts; (vi) the advisory fees charged by SIMC and the Funds’ overall fees and operating expenses compared with peer groups of mutual funds prepared by Broadridge, an independent provider of investment company data; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance program, including a description of material compliance matters and material compliance violations; (ix) SIMC’s potential economies of scale; (x) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (xi) SIMC’s and the Sub-Advisers’ expertise and resources in domestic and/or international financial markets; and (xii) the Funds’ performance over various periods of time or compared with peer groups of mutual funds prepared by Broadridge and the Funds’ benchmark indices.

At the March 28-30 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. Also, each Sub-Advisory Agreement (unless operating under an initial two-year term) was either initially approved or, if the Sub-Advisory Agreement was already in effect, renewed at a meeting of the Board during the course of the Trust’s fiscal year. In each case, the Board’s approvals were based on its consideration and evaluation of the factors described above, as discussed at the meetings and at prior meetings.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 49

Board of Trustees’ Considerations in Approving the Advisory Agreement (Unaudited)(Concluded)

The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of the Investment Advisory Agreements.

Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and each Sub-Adviser’s personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds were sufficient to support the renewal of the Investment Advisory Agreements. In addition to advisory services, the Board considered the nature and quality of certain administrative, transfer agency and other non-investment advisory services provided to the Funds by SIMC and/or its affiliates.

Performance. In determining whether to renew SIMC’s Advisory Agreement, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indexes/benchmarks. The Trustees reviewed performance information for each Fund, noting that they receive performance reports that permit them to monitor each Fund’s performance at board meetings throughout the year. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In assessing Fund performance, the Trustees considered a report compiled by Broadridge, an independent third-party, which was engaged to prepare an assessment of the Funds in connection with the renewal of the Advisory Agreement (the “Broadridge Report”). The Broadridge Report included metrics on risk analysis, volatility versus total return, net total return and performance consistency for the Funds and a universe of comparable funds. Based on the materials considered and discussed at the meetings, the Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied with the reasons provided to explain such performance. In connection with the approval or renewal of Sub-Advisory Agreements, the Board considered the performance of the Sub-Adviser relative to appropriate indexes/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds was sufficient to support renewal of SIMC’s Advisory Agreement, and the performance of each Sub-Adviser was sufficient to support approval or renewal of the Sub-Advisory Agreement.

Fees. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of the Funds’ respective peer groups. In assessing Fund expenses, the Trustees considered the information in the Broadridge Report, which included various metrics related to fund expenses, including, but not limited to, contractual management fees at various fee levels, actual management fees, and actual total expenses (including underlying fund expenses) for the Funds and a universe of comparable funds. Based on the materials considered and discussion at the meetings, the Trustees further determined that fees were either shown to be below the peer average in the comparative fee analysis, or that there was a reasonable basis for the fee level. The Trustees also considered the effects of SIMC’s waiver of management and other fees to prevent total Fund operating expenses from exceeding a specified cap and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for its distribution channels. In determining the appropriateness of fees, the Board also took into consideration the impact of fees incurred indirectly by the Funds as a result of investments into underlying funds, including funds from which SIMC or its affiliates earn fees. The Board also took into consideration compensation earned from the Funds by SIMC or its affiliates for non-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements. When considering fees paid to Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. The Board also considered whether the Sub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.

Profitability. With regard to profitability, the Trustees considered compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. As with the fee levels, when considering the profitability of the Sub-Advisers, the Board

50 SEI Daily Income Trust / Semi-Annual Report / July 31, 2016

took into account the fact that compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. In connection with the approval or renewal of each Sub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to the Sub-Adviser have on SIMC’s advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.

Economies of Scale. With respect to the Advisory Agreement, the Trustees considered whether any economies of scale were being realized by SIMC and their affiliates and, if so, whether the benefits of such economies of scale were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on a fund-by-fund basis. Based on this evaluation, the Board determined that the fees were reasonable in light of the information that was provided by SIMC with respect to economies of scale.

Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously approved the approval or renewal, as applicable, of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.

SEI Daily Income Trust / Semi-Annual Report / July 31, 2016 51

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SEI DAILY INCOME TRUST SEMI-ANNUAL REPORT JULY 31, 2016

Robert A. Nesher, Chairman

Trustees

William M. Doran

George J. Sullivan, Jr.

Nina Lesavoy

James M. Williams

Mitchell A. Johnson

Susan Cote

Hubert L. Harris, Jr.

Officers

Robert A. Nesher

President and Chief Executive Officer

James J. Hoffmayer

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

Bridget E. Sudall

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)

1 Freedom Valley Drive, P.O. Box 1100, Oaks, PA 19456

SEI-F-037 (7/16)

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 18^th 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

Item 11. Controls and Procedures.

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

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.

Items 12. Exhibits.

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

(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the 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.

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, 2016

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, 2016

By:	/s/ James J. Hoffmayer
	James J. Hoffmayer, Controller & CFO

Date: October 7, 2016