UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-03451
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)
Timothy D. Barto, Esq.
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
Registrant’s telephone number, including area code:610-676-1000
Date of fiscal year end: January 31, 2020
Date of reporting period: July 31, 2019
Item 1. | Reports to Stockholders. |
July 31, 2019
|
SEMI-ANNUAL REPORT
SEI Daily Income Trust
| Government Fund
| |
| Government II Fund
| |
| Treasury II Fund
| |
| Ultra Short Duration Bond Fund
| |
| Short-Duration Government Fund
| |
GNMA Fund |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by contacting your financial intermediary.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or you can contact your financial intermediary to inform it that you wish to continue receiving paper copies of your shareholder reports. If you invest directly with the Funds, you can inform the Funds that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-DIAL-SEI. Your election to receive reports in paper will apply to all funds held with the SEI Funds or your financial intermediary.
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Board of Trustees’ Considerations in Approving the Advisory Agreement | 60 |
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT. The Trust’s Forms N-PORT are available on the Commission’s website at http://www.sec.gov.
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)
July 31, 2019
Government Fund
Description |
Face Amount |
Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 37.1% |
| |||||||
FFCB | ||||||||
2.259%, VAR ICE LIBOR USD 1 Month+-0.101%, 09/05/2019 | $ | 16,760 | $ | 16,760 | ||||
2.314%, VAR ICE LIBOR USD 1 Month+-0.050%, 02/07/2020 | 79,365 | 79,364 | ||||||
2.324%, VAR ICE LIBOR USD 1 Month+-0.040%, 03/06/2020 | 100,000 | 100,000 | ||||||
2.295%, VAR ICE LIBOR USD 1 Month+-0.005%, 06/18/2020 | 8,755 | 8,755 | ||||||
2.264%, VAR ICE LIBOR USD 1 Month+-0.050%, 08/17/2020 | 25,255 | 25,255 | ||||||
2.329%, VAR ICE LIBOR USD 1 Month+-0.040%, 09/11/2020 | 33,895 | 33,894 | ||||||
2.350%, VAR ICE LIBOR USD 1 Month+0.025%, 12/14/2020 | 37,000 | 36,998 | ||||||
2.377%, VAR ICE LIBOR USD 1 Month+0.045%, 04/16/2021 | 50,760 | 50,760 | ||||||
2.306%, VAR US Treasury 3 Month Bill Money Market Yield+0.225%, 07/08/2021 | 15,470 | 15,470 | ||||||
FFCB DN | ||||||||
2.396%, 02/21/2020 (A) | 34,000 | 33,547 | ||||||
FHLB | ||||||||
2.270%, VAR ICE LIBOR USD 3 Month+-0.255%, 08/16/2019 | 23,645 | 23,644 | ||||||
2.410%, VAR United States Secured Overnight Financing Rate+0.020%, 08/27/2019 | 25,085 | 25,085 | ||||||
2.161%, VAR ICE LIBOR USD 1 Month+-0.080%, 08/27/2019 | 51,990 | 51,990 | ||||||
2.282%, VAR ICE LIBOR USD 1 Month+-0.085%, 09/09/2019 | 92,435 | 92,435 | ||||||
2.249%, VAR ICE LIBOR USD 1 Month+-0.065%, 09/17/2019 | 35,665 | 35,665 | ||||||
2.096%, VAR ICE LIBOR USD 3 Month+-0.160%, 10/29/2019 | 25,000 | 25,000 | ||||||
2.400%, VAR United States Secured Overnight Financing Rate+0.010%, 11/13/2019 | 117,965 | 117,965 | ||||||
2.420%, VAR United States Secured Overnight Financing Rate+0.030%, 12/06/2019 | 19,420 | 19,420 | ||||||
2.279%, VAR ICE LIBOR USD 3 Month+-0.140%, 12/19/2019 | 29,005 | 29,005 |
Description |
Face Amount |
Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||
2.400%, VAR United States Secured Overnight Financing Rate+0.010%, 12/20/2019 | $ | 36,350 | $ | 36,350 | ||||
2.290%, VAR ICE LIBOR USD 1 Month+-0.035%, 01/14/2020 | 26,280 | 26,280 | ||||||
2.440%, VAR United States Secured Overnight Financing Rate+0.050%, 01/17/2020 | 4,945 | 4,945 | ||||||
2.395%, VAR United States Secured Overnight Financing Rate+0.005%, 01/17/2020 | 29,190 | 29,190 | ||||||
2.400%, VAR United States Secured Overnight Financing Rate+0.010%, 01/24/2020 | 27,550 | 27,550 | ||||||
2.209%, VAR ICE LIBOR USD 1 Month+-0.060%, 02/24/2020 | 62,770 | 62,770 | ||||||
2.226%, VAR ICE LIBOR USD 1 Month+-0.040%, 02/25/2020 | 45,060 | 45,060 | ||||||
2.274%, VAR ICE LIBOR USD 1 Month+-0.040%, 04/17/2020 | 41,910 | 41,910 | ||||||
2.138%, VAR ICE LIBOR USD 3 Month+-0.140%, 04/20/2020 | 46,785 | 46,785 | ||||||
2.425%, VAR United States Secured Overnight Financing Rate+0.035%, 06/19/2020 | 14,570 | 14,570 | ||||||
2.465%, VAR United States Secured Overnight Financing Rate+0.075%, 07/24/2020 | 13,635 | 13,635 | ||||||
2.350%, VAR ICE LIBOR USD 1 Month+-0.030%, 08/04/2020 | 28,850 | 28,850 | ||||||
2.261%, VAR ICE LIBOR USD 3 Month+-0.125%, 12/21/2020 | 51,040 | 51,040 | ||||||
2.440%, VAR United States Secured Overnight Financing Rate+0.050%, 01/22/2021 | 10,605 | 10,605 | ||||||
2.505%, VAR United States Secured Overnight Financing Rate+0.115%, 03/12/2021 | 39,405 | 39,405 | ||||||
2.465%, VAR United States Secured Overnight Financing Rate+0.075%, 07/23/2021 | 15,215 | 15,215 | ||||||
FHLB DN (A) | ||||||||
2.412%, 08/07/2019 | 49,365 | 49,345 | ||||||
2.470%, 08/09/2019 | 74,470 | 74,430 | ||||||
2.392%, 08/14/2019 | 156,825 | 156,690 | ||||||
2.481%, 08/16/2019 | 63,360 | 63,295 | ||||||
2.208%, 08/30/2019 | 15,270 | 15,243 | ||||||
2.349%, 09/03/2019 | 33,290 | 33,219 | ||||||
2.379%, 09/04/2019 | 71,490 | 71,330 | ||||||
2.394%, 09/11/2019 | 41,230 | 41,118 | ||||||
2.046%, 09/18/2019 | 15,350 | 15,308 | ||||||
2.448%, 09/27/2019 | 19,785 | 19,709 | ||||||
2.370%, 10/09/2019 | 31,010 | 30,871 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 1 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Government Fund(Continued)
Description |
Face Amount |
Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||
2.250%, 10/11/2019 | $ | 82,015 | $ | 81,654 | ||||
2.481%, 10/15/2019 | 35,800 | 35,618 | ||||||
2.430%, 10/21/2019 | 36,920 | 36,721 | ||||||
2.110%, 10/25/2019 | 28,640 | 28,498 | ||||||
2.444%, 10/30/2019 | 33,835 | 33,631 | ||||||
2.088%, 11/07/2019 | 11,715 | 11,649 | ||||||
2.404%, 11/13/2019 | 39,475 | 39,204 | ||||||
2.405%, 11/18/2019 | 60,315 | 59,881 | ||||||
2.388%, 11/20/2019 | 90,000 | 89,345 | ||||||
2.365%, 11/29/2019 | 27,020 | 26,810 | ||||||
2.107%, 01/08/2020 | 48,055 | 47,610 | ||||||
2.040%, 01/22/2020 | 45,570 | 45,125 | ||||||
FHLMC DN | ||||||||
2.396%, 11/08/2019 (A) | 4,020 | 3,994 | ||||||
FNMA | ||||||||
0.875%, 08/02/2019 | 52,188 | 52,186 | ||||||
|
|
| ||||||
Total U.S. Government Agency Obligations |
| 2,477,656 | ||||||
|
|
| ||||||
U.S. TREASURY OBLIGATIONS — 19.1% |
| |||||||
U.S. Treasury Bills (A) | ||||||||
2.486%, 08/22/2019 | 250,000 | 249,642 | ||||||
2.486%, 08/29/2019 | 100,000 | 99,809 | ||||||
2.412%, 10/31/2019 | 48,215 | 47,925 | ||||||
2.154%, 12/19/2019 | 103,990 | 103,128 | ||||||
2.061%, 01/02/2020 | 150,000 | 148,691 | ||||||
U.S. Treasury Notes | ||||||||
2.000%, 01/31/2020 | 82,480 | 82,467 | ||||||
1.500%, 05/15/2020 | 38,035 | 37,877 | ||||||
2.124%, VAR US Treasury 3 Month Bill Money Market Yield+0.043%, 07/31/2020 | 17,380 | 17,362 | ||||||
2.126%, VAR US Treasury 3 Month Bill Money Market Yield+0.045%, 10/31/2020 | 240,000 | 239,687 | ||||||
2.196%, VAR US Treasury 3 Month Bill Money Market Yield+0.115%, 01/31/2021 | 209,530 | 209,475 | ||||||
2.301%, VAR US Treasury 3 Month Bill Money Market Yield+0.220%, 07/31/2021 | 40,000 | 40,000 | ||||||
|
|
| ||||||
Total U.S. Treasury Obligations |
| 1,276,063 | ||||||
|
|
|
Description |
Face Amount |
Value | ||||||
REPURCHASE AGREEMENTS(B) — 46.5% |
| |||||||
Bank of America | $ | 250,000 | $ | 250,000 | ||||
Bank of Nova Scotia | 72,000 | 72,000 | ||||||
Barclays Bank | 500,000 | 500,000 | ||||||
BNP Paribas | 80,000 | 80,000 | ||||||
Citigroup Global Markets | 9,000 | 9,000 | ||||||
Citigroup Global Markets | 250,000 | 250,000 |
2 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Description |
Face Amount |
Value | ||||||
REPURCHASE AGREEMENTS(B) (continued) |
| |||||||
Credit Agricole | $ | 115,000 | $ | 115,000 | ||||
Goldman Sachs | 350,000 | 350,000 | ||||||
Goldman Sachs | 20,000 | 20,000 | ||||||
J.P. Morgan | 261,000 | 261,000 | ||||||
Mizuho Securities | 20,000 | 20,000 | ||||||
MUFG Securities | 284,000 | 284,000 |
Description |
Face Amount |
Value | ||||||
REPURCHASE AGREEMENTS(B) (continued) |
| |||||||
Natixis S.A. | $ | 26,000 | $ | 26,000 | ||||
Natixis S.A. | 65,000 | 65,000 | ||||||
TD Securities | 250,000 | 250,000 | ||||||
TD Securities | 250,000 | 250,000 | ||||||
Wells Fargo Securities | 304,000 | 304,000 | ||||||
|
|
| ||||||
Total Repurchase Agreements |
| 3,106,000 | ||||||
|
|
| ||||||
Total Investments – 102.7% |
| $ | 6,859,719 | |||||
|
|
|
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 3 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Government Fund(Concluded)
Percentages are based on a Net Assets of $6,681,351 ($ Thousands). |
(A) | The rate reported is the effective yield at time of purchase. |
(B) | Tri-Party Repurchase Agreement. |
DN — Discount Note
FFCB — Federal Farm Credit Bank
FHLB — Federal Home Loan Bank
FHLMC — Federal Home Loan Mortgage Corporation
FMAC — Freddie Mac
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
ICE — Intercontinental Exchange
LIBOR — London Interbank Offered Rate
USD — U.S. Dollar
VAR — Variable Rate
As of July 31, 2019, all of the Fund’s investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the period ended July 31, 2019, there were no transfers between Level 1, Level 2 and/or Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2–Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
4 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Government II Fund
Description |
Face Amount |
Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 66.6% |
| |||||||
FFCB | ||||||||
2.136%, VAR ICE LIBOR USD 3 | $ | 27,315 | $ | 27,319 | ||||
2.314%, VAR ICE LIBOR USD 1 | 20,870 | 20,870 | ||||||
2.191%, 05/28/2020 | 18,485 | 18,478 | ||||||
2.295%, VAR ICE LIBOR USD 1 | 2,230 | 2,230 | ||||||
2.298%, VAR ICE LIBOR USD 1 | 16,500 | 16,507 | ||||||
2.264%, VAR ICE LIBOR USD 1 | 6,265 | 6,265 | ||||||
2.329%, VAR ICE LIBOR USD 1 | 8,630 | 8,630 | ||||||
2.350%, VAR ICE LIBOR USD 1 | 7,925 | 7,924 | ||||||
2.377%, VAR ICE LIBOR USD 1 | 12,670 | 12,670 | ||||||
2.306%, VAR US Treasury 3 Month Bill Money Market Yield+0.225%, 07/08/2021 | 4,170 | 4,170 | ||||||
FFCB DN (A) | ||||||||
2.459%, 08/15/2019 | 10,695 | 10,685 | ||||||
2.420%, 02/04/2020 | 9,395 | 9,279 | ||||||
2.002%, 02/06/2020 | 50,000 | 49,480 | ||||||
2.396%, 02/21/2020 | 7,845 | 7,741 | ||||||
FHLB | ||||||||
2.192%, VAR ICE LIBOR USD 1 | 8,130 | 8,130 | ||||||
2.410%, VAR United States | 5,585 | 5,585 | ||||||
2.161%, VAR ICE LIBOR USD 1 | 14,270 | 14,270 | ||||||
2.282%, VAR ICE LIBOR USD 1 | 23,785 | 23,785 | ||||||
2.400%, VAR United States | 22,570 | 22,570 | ||||||
2.420%, VAR United States | 4,615 | 4,615 | ||||||
2.279%, VAR ICE LIBOR USD 3 | 8,040 | 8,040 | ||||||
2.400%, VAR United States | 9,015 | 9,015 |
Description |
Face Amount |
Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||
2.290%, VAR ICE LIBOR USD 1 | $ | 4,970 | $ | 4,970 | ||||
2.440%, VAR United States | 915 | 915 | ||||||
2.395%, VAR United States | 7,375 | 7,375 | ||||||
2.400%, VAR United States | 8,285 | 8,285 | ||||||
2.226%, VAR ICE LIBOR USD 1 | 8,545 | 8,545 | ||||||
2.274%, VAR ICE LIBOR USD 1 | 10,850 | 10,850 | ||||||
2.215%, VAR ICE LIBOR USD 1 | 5,310 | 5,310 | ||||||
2.425%, VAR United States | 3,895 | 3,895 | ||||||
2.465%, VAR United States | 2,595 | 2,595 | ||||||
2.495%, VAR United States | 4,115 | 4,115 | ||||||
2.261%, VAR ICE LIBOR USD 3 | 11,445 | 11,445 | ||||||
2.505%, VAR United States | 9,575 | 9,575 | ||||||
2.465%, VAR United States | 4,575 | 4,575 | ||||||
FHLB DN (A) | ||||||||
2.150%, 08/01/2019 | 114,970 | 114,970 | ||||||
2.287%, 08/07/2019 | 64,650 | 64,625 | ||||||
2.241%, 08/09/2019 | 50,900 | 50,875 | ||||||
2.187%, 08/14/2019 | 111,550 | 111,462 | ||||||
2.191%, 08/16/2019 | 119,470 | 119,361 | ||||||
2.379%, 08/19/2019 | 25,000 | 24,970 | ||||||
2.242%, 08/21/2019 | 99,355 | 99,232 | ||||||
2.159%, 08/23/2019 | 101,790 | 101,656 | ||||||
2.318%, 08/28/2019 | 36,585 | 36,522 | ||||||
2.317%, 08/30/2019 | 26,400 | 26,351 | ||||||
2.205%, 09/18/2019 | 33,520 | 33,422 | ||||||
2.472%, 09/20/2019 | 41,990 | 41,847 | ||||||
2.448%, 09/27/2019 | 4,730 | 4,712 | ||||||
2.366%, 10/09/2019 | 7,945 | 7,909 | ||||||
2.239%, 10/11/2019 | 22,305 | 22,207 | ||||||
2.481%, 10/15/2019 | 8,295 | 8,253 | ||||||
2.430%, 10/21/2019 | 9,160 | 9,110 | ||||||
2.443%, 10/23/2019 | 11,570 | 11,506 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 5 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Government II Fund(Concluded)
Description |
Face Amount |
Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||
2.110%, 10/25/2019 | $ | 8,510 | $ | 8,468 | ||||
2.444%, 10/30/2019 | 7,805 | 7,758 | ||||||
2.404%, 11/13/2019 | 8,905 | 8,844 | ||||||
2.392%, 11/20/2019 | 19,530 | 19,388 | ||||||
2.051%, 01/22/2020 | 13,900 | 13,764 | ||||||
FHLMC DN | ||||||||
2.127%, 09/25/2019 (A) | 90,025 | 89,734 | ||||||
|
|
| ||||||
Total U.S. Government Agency Obligations |
| 1,417,654 | ||||||
|
|
| ||||||
U.S. TREASURY OBLIGATIONS — 33.5% |
| |||||||
U.S. Treasury Bills (A) | ||||||||
2.178%, 08/06/2019 | 43,000 | 42,987 | ||||||
2.063%, 08/13/2019 | 16,000 | 15,989 | ||||||
1.902%, 08/15/2019 | 5,000 | 4,996 | ||||||
2.063%, 08/20/2019 | 103,495 | 103,382 | ||||||
2.410%, 08/22/2019 | 150,000 | 149,791 | ||||||
2.486%, 08/29/2019 | 40,000 | 39,924 | ||||||
2.162%, 09/03/2019 | 50,000 | 49,901 | ||||||
2.110%, 09/24/2019 | 50,015 | 49,857 | ||||||
2.070%, 10/17/2019 | 40,010 | 39,834 | ||||||
2.348%, 10/31/2019 | 1,450 | 1,442 | ||||||
2.154%, 12/19/2019 | 26,340 | 26,122 | ||||||
2.057%, 01/23/2020 | 15,000 | 14,852 | ||||||
2.418%, 04/23/2020 | 32,500 | 31,933 | ||||||
U.S. Treasury Notes | ||||||||
1.500%, 11/30/2019 | 20,000 | 19,963 | ||||||
2.000%, 01/31/2020 | 25,110 | 25,106 | ||||||
1.500%, 05/15/2020 | 4,170 | 4,153 | ||||||
2.124%, VAR US Treasury 3 Month Bill Money Market Yield+0.043%, 07/31/2020 | 41,000 | 40,956 | ||||||
2.126%, VAR US Treasury 3 Month Bill Money Market Yield+0.045%, 10/31/2020 | 30,000 | 29,961 | ||||||
2.196%, VAR US Treasury 3 Month Bill Money Market Yield+0.115%, 01/31/2021 | 11,750 | 11,750 | ||||||
2.301%, VAR US Treasury 3 Month Bill Money Market Yield+0.220%, 07/31/2021 | 10,000 | 10,000 | ||||||
|
|
| ||||||
Total U.S. Treasury Obligations |
| 712,899 | ||||||
|
|
| ||||||
Total Investments — 100.1% |
| $ | 2,130,553 | |||||
|
|
|
Percentages are based on Net Assets of $2,129,487 ($ Thousands). |
(A) | Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase. |
DN – Discount Note
FFCB – Federal Farm Credit Bank
FHLB – Federal Home Loan Bank
FHLMC – Federal Home Loan Mortgage Corporation
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
USD – U.S. Dollar
VAR – Variable Rate
As of July 31, 2019, all of the Fund’s investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the period ended July 31, 2019, there were no transfers between Level 1, Level 2 and/or Level 3 assets and liabilities.
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, 2019 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Treasury II Fund
Description |
Face Amount |
Value | ||||||
U.S. TREASURY OBLIGATIONS — 99.3% |
| |||||||
U.S. Treasury Bills (A) | ||||||||
2.129%, 08/06/2019 | $ | 110,000 | $ | 109,967 | ||||
2.471%, 08/08/2019 | 925 | 925 | ||||||
2.025%, 08/13/2019 | 28,000 | 27,981 | ||||||
1.902%, 08/15/2019 | 11,000 | 10,992 | ||||||
2.091%, 08/20/2019 | 24,010 | 23,984 | ||||||
2.309%, 08/22/2019 | 25,000 | 24,966 | ||||||
2.139%, 08/27/2019 | 2,295 | 2,291 | ||||||
2.486%, 08/29/2019 | 10,000 | 9,981 | ||||||
2.162%, 09/03/2019 | 25,000 | 24,951 | ||||||
2.136%, 09/17/2019 | 15,000 | 14,958 | ||||||
2.106%, 09/19/2019 | 20,000 | 19,943 | ||||||
2.147%, 09/24/2019 | 20,000 | 19,936 | ||||||
2.422%, 10/31/2019 | 25,000 | 24,849 | ||||||
2.154%, 12/19/2019 | 7,570 | 7,507 | ||||||
2.041%, 01/16/2020 | 10,000 | 9,906 | ||||||
2.057%, 01/23/2020 | 10,000 | 9,901 | ||||||
2.418%, 04/23/2020 | 7,925 | 7,787 | ||||||
U.S. Treasury Notes | ||||||||
2.129%, VAR US Treasury 3 Month Bill Money Market Yield+0.048%, 10/31/2019 | 12,000 | 12,000 | ||||||
1.500%, 10/31/2019 | 10,000 | 9,986 | ||||||
1.500%, 11/30/2019 | 15,000 | 14,973 | ||||||
1.375%, 01/15/2020 | 20,000 | 19,940 | ||||||
2.081%, VAR US Treasury 3 Month Bill Money Market Yield+0.000%, 01/31/2020 | 24,060 | 24,056 | ||||||
2.000%, 01/31/2020 | 6,255 | 6,254 | ||||||
2.250%, 03/31/2020 | 1,025 | 1,026 | ||||||
1.375%, 03/31/2020 | 705 | 702 | ||||||
2.114%, VAR US Treasury 3 Month Bill Money Market Yield+0.033%, 04/30/2020 | 25,875 | 25,876 | ||||||
1.500%, 05/15/2020 | 840 | 836 | ||||||
2.124%, VAR US Treasury 3 Month Bill Money Market Yield+0.043%, 07/31/2020 | 11,000 | 10,995 | ||||||
2.126%, VAR US Treasury 3 Month Bill Money Market Yield+0.045%, 10/31/2020 | 9,000 | 8,988 | ||||||
2.196%, VAR US Treasury 3 Month Bill Money Market Yield+0.115%, 01/31/2021 | 10,140 | 10,137 |
Description |
Face Amount |
Value | ||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||
2.301%, VAR US Treasury 3 Month | $ | 4,000 | $ | 4,000 | ||||
|
|
| ||||||
Total U.S. Treasury Obligations |
| 500,594 | ||||||
|
|
| ||||||
Total Investments — 99.3% |
| $ | 500,594 | |||||
|
|
|
Percentages are based on Net Assets of $504,209 ($ Thousands). |
(A) | Zero coupon security. The rate shown on the Schedule of investments is the security’s effective yield at the time of purchase. |
VAR – Variable Rate
As of July 31, 2019, all of the Fund’s investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended July 31, 2019, there were no transfers between Level 1, Level 2 and/or Level 3 assets and liabilities.
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, 2019 | 7 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Ultra Short Duration Bond Fund
Description |
Face Amount |
Market Value | ||||||
CORPORATE OBLIGATIONS — 43.1% |
| |||||||
Communication Services — 1.6% |
| |||||||
AT&T | ||||||||
3.260%, VAR ICE LIBOR USD 3 Month+0.930%, 06/30/2020 | $ | 700 | $ | 704 | ||||
Comcast | ||||||||
3.300%, 10/01/2020 | 1,730 | 1,750 | ||||||
2.649%, VAR ICE LIBOR USD 3 Month+0.330%, 10/01/2020 | 600 | 601 | ||||||
Discovery Communications LLC | ||||||||
3.097%, VAR ICE LIBOR USD 3 Month+0.710%, 09/20/2019 | 490 | 490 | ||||||
2.200%, 09/20/2019 | 150 | 150 | ||||||
Fox | ||||||||
3.666%, 01/25/2022 (A) | 85 | 88 | ||||||
Verizon Communications | ||||||||
2.888%, VAR ICE LIBOR USD 3 Month+0.370%, 08/15/2019 | 1,020 | 1,020 | ||||||
Viacom | ||||||||
4.500%, 03/01/2021 | 205 | 211 | ||||||
|
|
| ||||||
5,014 | ||||||||
|
|
| ||||||
Consumer Discretionary — 1.6% |
| |||||||
Dollar Tree | ||||||||
3.003%, VAR ICE LIBOR USD 3 Month+0.700%, 04/17/2020 | 660 | 660 | ||||||
eBay | ||||||||
3.136%, VAR ICE LIBOR USD 3 Month+0.870%, 01/30/2023 | 800 | 803 | ||||||
General Motors | ||||||||
3.365%, VAR ICE LIBOR USD 3 Month+0.800%, 08/07/2020 | 600 | 601 | ||||||
General Motors Financial | ||||||||
3.233%, VAR ICE LIBOR USD 3 Month+0.930%, 04/13/2020 | 450 | 451 | ||||||
3.161%, VAR ICE LIBOR USD 3 Month+0.850%, 04/09/2021 | 525 | 526 | ||||||
Hyundai Capital America | ||||||||
3.243%, VAR ICE LIBOR USD 3 Month+0.940%, 07/08/2021 (A) | 450 | 451 |
Description |
Face Amount |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Marriott International | ||||||||
3.120%, VAR ICE LIBOR USD 3 Month+0.600%, 12/01/2020 | $ | 525 | $ | 526 | ||||
3.103%, VAR ICE LIBOR USD 3 Month+0.650%, 03/08/2021 | 375 | 377 | ||||||
Nissan Motor Acceptance MTN | ||||||||
2.720%, VAR ICE LIBOR USD 3 Month+0.390%, 09/28/2020 (A) | 500 | 500 | ||||||
|
|
| ||||||
4,895 | ||||||||
|
|
| ||||||
Consumer Staples — 2.1% |
| |||||||
Conagra Brands | ||||||||
3.800%, 10/22/2021 | 325 | 334 | ||||||
3.028%, VAR ICE LIBOR USD 3 Month+0.750%, 10/22/2020 | 750 | 750 | ||||||
Constellation Brands | ||||||||
2.000%, 11/07/2019 | 525 | 524 | ||||||
Kraft Heinz Foods | ||||||||
3.365%, VAR ICE LIBOR USD 3 Month+0.820%, 08/10/2022 | 550 | 548 | ||||||
Kroger MTN | ||||||||
1.500%, 09/30/2019 | 800 | 799 | ||||||
Mondelez International Holdings Netherlands BV | ||||||||
2.866%, VAR ICE LIBOR USD 3 Month+0.610%, 10/28/2019 (A) | 1,905 | 1,907 | ||||||
Philip Morris International | ||||||||
2.942%, VAR ICE LIBOR USD 3 Month+0.420%, 02/21/2020 | 1,655 | 1,658 | ||||||
|
|
| ||||||
6,520 | ||||||||
|
|
| ||||||
Energy — 1.0% |
| |||||||
Andeavor Logistics | ||||||||
5.500%, 10/15/2019 | 250 | 251 | ||||||
Petroleos Mexicanos | ||||||||
6.000%, 03/05/2020 | 250 | 253 | ||||||
Phillips 66 | ||||||||
3.053%, VAR ICE LIBOR USD 3 Month+0.750%, 04/15/2020 (A) | 620 | 620 | ||||||
Saudi Arabian Oil MTN | ||||||||
2.750%, 04/16/2022 (A) | 1,580 | 1,589 | ||||||
Schlumberger Finance Canada | ||||||||
2.200%, 11/20/2020 (A) | 375 | 374 | ||||||
|
|
| ||||||
3,087 | ||||||||
|
|
| ||||||
Financials — 26.9% |
| |||||||
ABN AMRO Bank MTN | ||||||||
3.091%, VAR ICE LIBOR USD 3 Month+0.570%, 08/27/2021 (A) | 750 | 753 | ||||||
AIG Global Funding | ||||||||
2.800%, VAR ICE LIBOR USD 3 Month+0.480%, 07/02/2020 (A) | 775 | 777 |
8 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
AIG Global Funding MTN | ||||||||
1.950%, 10/18/2019 (A) | $ | 1,285 | $ | 1,284 | ||||
Alimentation Couche-Tard | ||||||||
2.950%, VAR ICE LIBOR USD 3 | 534 | 534 | ||||||
American Express | ||||||||
3.140%, VAR ICE LIBOR USD 3 | 720 | 723 | ||||||
3.050%, VAR ICE LIBOR USD 3 | 450 | 451 | ||||||
American Express MTN | ||||||||
2.200%, 03/03/2020 | 1,560 | 1,558 | ||||||
Assurant | ||||||||
3.583%, VAR ICE LIBOR USD 3 | 465 | 465 | ||||||
Athene Global Funding | ||||||||
3.418%, VAR ICE LIBOR USD 3 | 650 | 653 | ||||||
Bank of America MTN | ||||||||
5.625%, 07/01/2020 | 2,065 | 2,126 | ||||||
3.458%, VAR ICE LIBOR USD 3 | 625 | 633 | ||||||
3.438%, VAR ICE LIBOR USD 3 | 400 | 405 | ||||||
Bank of Montreal MTN | ||||||||
2.850%, VAR ICE LIBOR USD 3 | 1,535 | 1,540 | ||||||
Bank of Nova Scotia | ||||||||
3.112%, VAR ICE LIBOR USD 3 | 375 | 378 | ||||||
1.850%, 04/14/2020 | 1,350 | 1,346 | ||||||
BAT Capital | ||||||||
3.118%, VAR ICE LIBOR USD 3 | 1,600 | 1,603 | ||||||
BB&T MTN | ||||||||
2.980%, VAR ICE LIBOR USD 3 | 400 | 401 | ||||||
BPCE MTN | ||||||||
3.743%, VAR ICE LIBOR USD 3 | 250 | 253 | ||||||
Branch Banking & Trust | ||||||||
2.753%, VAR ICE LIBOR USD 3 | 855 | 856 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
2.581%, VAR ICE LIBOR USD 3 | 1,500 | 1,502 | ||||||
2.100%, 10/05/2020 | 1,075 | 1,074 | ||||||
Capital One | ||||||||
3.416%, VAR ICE LIBOR USD 3 | 500 | 506 | ||||||
3.215%, VAR ICE LIBOR USD 3 | 500 | 500 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Capital One Financial | ||||||||
3.295%, VAR ICE LIBOR USD 3 | $ | 1,770 | $ | 1,775 | ||||
Charles Schwab | ||||||||
2.842%, VAR ICE LIBOR USD 3 | 360 | 360 | ||||||
Citibank | ||||||||
2.936%, VAR ICE LIBOR USD 3 | 375 | 376 | ||||||
2.885%, VAR ICE LIBOR USD 3 | 2,200 | 2,202 | ||||||
2.844%, VAR ICE LIBOR USD 3 | 450 | 453 | ||||||
Citigroup | ||||||||
2.650%, 10/26/2020 | 385 | 386 | ||||||
Citizens Bank | ||||||||
3.331%, VAR ICE LIBOR USD 3 | 550 | 552 | ||||||
3.248%, VAR ICE LIBOR USD 3 | 550 | 552 | ||||||
3.091%, VAR ICE LIBOR USD 3 | 700 | 702 | ||||||
3.060%, VAR ICE LIBOR USD 3 | 550 | 551 | ||||||
Commonwealth Bank of Australia | ||||||||
3.205%, VAR ICE LIBOR USD 3 | 750 | 751 | ||||||
Compass Bank | ||||||||
3.181%, VAR ICE LIBOR USD 3 | 500 | 501 | ||||||
Cooperatieve Rabobank | ||||||||
3.168%, VAR ICE LIBOR USD 3 | 800 | 809 | ||||||
2.697%, VAR ICE LIBOR USD 3 | 750 | 752 | ||||||
Credit Agricole MTN | ||||||||
3.423%, VAR ICE LIBOR USD 3 | 950 | 956 | ||||||
Danske Bank | ||||||||
5.000%, 01/12/2022 (A) | 570 | 597 | ||||||
3.054%, VAR ICE LIBOR USD 3 | 600 | 600 | ||||||
Danske Bank MTN | ||||||||
3.030%, VAR ICE LIBOR USD 3 | 500 | 500 | ||||||
Deutsche Bank NY | ||||||||
3.273%, VAR ICE LIBOR USD 3 | 550 | 549 | ||||||
DNB Bank | ||||||||
2.690%, VAR ICE LIBOR USD 3 | 550 | 551 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 9 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
European Investment Bank | ||||||||
2.732%, VAR United States Secured Overnight Financing Rate+0.320%, 10/08/2021 | $ | 1,980 | $ | 1,979 | ||||
Fifth Third Bank | ||||||||
2.901%, VAR ICE LIBOR USD 3 | 750 | 751 | ||||||
2.516%, VAR ICE LIBOR USD 3 | 400 | 400 | ||||||
Ford Motor Credit LLC | ||||||||
3.600%, VAR ICE LIBOR USD 3 | 350 | 346 | ||||||
1.897%, 08/12/2019 | 350 | 350 | ||||||
Goldman Sachs Bank USA NY | ||||||||
3.200%, 06/05/2020 | 1,450 | 1,460 | ||||||
Goldman Sachs Group | ||||||||
3.688%, VAR ICE LIBOR USD 3 | 525 | 529 | ||||||
3.377%, VAR ICE LIBOR USD 3 | 750 | 757 | ||||||
HSBC Holdings PLC | ||||||||
3.120%, VAR ICE LIBOR USD 3 | 640 | 641 | ||||||
3.086%, VAR ICE LIBOR USD 3 | 450 | 451 | ||||||
Huntington National Bank | ||||||||
2.963%, VAR ICE LIBOR USD 3 | 650 | 652 | ||||||
ING Bank | ||||||||
3.480%, VAR ICE LIBOR USD 3 | 400 | 406 | ||||||
3.009%, VAR ICE LIBOR USD 3 | 300 | 300 | ||||||
Inter-American Development Bank MTN | ||||||||
2.503%, VAR ICE LIBOR USD 3 | 1,685 | 1,690 | ||||||
International Bank for Reconstruction & Development | ||||||||
2.620%, VAR United States Secured Overnight Financing Rate+0.220%, 08/21/2020 | 2,675 | 2,676 | ||||||
Jackson National Life Global Funding | ||||||||
3.041%, VAR ICE LIBOR USD 3 | 375 | 379 | ||||||
2.931%, VAR ICE LIBOR USD 3 | 1,000 | 1,003 | ||||||
JPMorgan Chase | ||||||||
4.400%, 07/22/2020 | 1,370 | 1,397 | ||||||
3.214%, VAR ICE LIBOR USD 3 | 500 | 502 | ||||||
3.003%, VAR ICE LIBOR USD 3 | 550 | 551 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
KeyBank | ||||||||
3.333%, VAR ICE LIBOR USD 3 | $ | 750 | $ | 757 | ||||
2.913%, VAR ICE LIBOR USD 3 | 1,550 | 1,557 | ||||||
KeyCorp MTN | ||||||||
2.900%, 09/15/2020 | 690 | 695 | ||||||
Manufacturers & Traders Trust | ||||||||
3.130%, VAR ICE LIBOR USD 3 | 450 | 451 | ||||||
2.546%, VAR ICE LIBOR USD 3 | 1,000 | 999 | ||||||
Marsh & McLennan | ||||||||
3.500%, 12/29/2020 | 115 | 117 | ||||||
Metropolitan Life Global Funding | ||||||||
2.400%, 01/08/2021 (A) | 795 | 796 | ||||||
Morgan Stanley | ||||||||
3.458%, VAR ICE LIBOR USD 3 | 475 | 480 | ||||||
MUFG Union Bank | ||||||||
3.072%, VAR ICE LIBOR USD 3 | 950 | 950 | ||||||
National Bank of Canada MTN | ||||||||
2.996%, VAR ICE LIBOR USD 3 | 1,875 | 1,882 | ||||||
New York Life Global Funding | ||||||||
2.673%, VAR ICE LIBOR USD 3 | 600 | 601 | ||||||
2.479%, VAR ICE LIBOR USD 3 | 600 | 600 | ||||||
Penske Truck Leasing Lp | ||||||||
3.650%, 07/29/2021 (A) | 400 | 408 | ||||||
PNC Bank | ||||||||
2.880%, VAR ICE LIBOR USD 3 | 500 | 501 | ||||||
2.528%, VAR ICE LIBOR USD 3 | 1,050 | 1,051 | ||||||
Reckitt Benckiser Treasury Services PLC | ||||||||
2.903%, VAR ICE LIBOR USD 3 | 550 | 549 | ||||||
Regions Bank | ||||||||
3.035%, VAR ICE LIBOR USD 3 | 450 | 450 | ||||||
Royal Bank of Canada | ||||||||
2.100%, 10/14/2020 | 2,235 | 2,232 | ||||||
Royal Bank of Canada MTN | ||||||||
2.656%, VAR ICE LIBOR USD 3 | 580 | 582 | ||||||
Santander UK PLC | ||||||||
3.140%, VAR ICE LIBOR USD 3 | 525 | 526 |
10 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Standard Chartered PLC | ||||||||
3.428%, VAR ICE LIBOR USD 3 | $ | 525 | $ | 525 | ||||
Sumitomo Mitsui Banking | ||||||||
2.653%, VAR ICE LIBOR USD 3 | 250 | 250 | ||||||
SunTrust Bank | ||||||||
2.786%, VAR ICE LIBOR USD 3 | 1,835 | 1,838 | ||||||
2.590%, VAR ICE LIBOR USD 3 | 450 | 450 | ||||||
Svenska Handelsbanken MTN | ||||||||
2.995%, VAR ICE LIBOR USD 3 | 525 | 528 | ||||||
2.964%, VAR ICE LIBOR USD 3 | 400 | 400 | ||||||
Synchrony Financial | ||||||||
3.806%, VAR ICE LIBOR USD 3 | 600 | 602 | ||||||
Toronto-Dominion Bank MTN | ||||||||
2.881%, VAR ICE LIBOR USD 3 | 1,600 | 1,607 | ||||||
1.450%, 08/13/2019 | 550 | 550 | ||||||
Toyota Motor Credit MTN | ||||||||
2.740%, VAR ICE LIBOR USD 3 | 400 | 400 | ||||||
U.S. Bank | ||||||||
2.875%, VAR ICE LIBOR USD 3 | 1,250 | 1,252 | ||||||
UBS MTN | ||||||||
3.168%, VAR ICE LIBOR USD 3 | 450 | 450 | ||||||
2.200%, 06/08/2020 (A) | 1,465 | 1,463 | ||||||
UniCredit MTN | ||||||||
6.572%, 01/14/2022 (A) | 350 | 374 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
3.475%, VAR ICE LIBOR USD 3 | 750 | 756 | ||||||
Wells Fargo | ||||||||
3.393%, VAR ICE LIBOR USD 3 | 400 | 405 | ||||||
Wells Fargo MTN | ||||||||
3.124%, VAR ICE LIBOR USD 3 | 650 | 652 | ||||||
2.870%, VAR United States Secured Overnight Financing Rate+0.480%, 03/25/2020 | 720 | 721 | ||||||
2.600%, 07/22/2020 | 1,715 | 1,719 | ||||||
|
|
| ||||||
83,142 | ||||||||
|
|
|
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Health Care — 3.0% | ||||||||
Amgen | ||||||||
2.985%, VAR ICE LIBOR USD 3 | $ | 450 | $ | 451 | ||||
Bayer US Finance II LLC | ||||||||
3.500%, 06/25/2021 (A) | 425 | 431 | ||||||
Becton Dickinson | ||||||||
3.194%, VAR ICE LIBOR USD 3 | 281 | 281 | ||||||
Bristol-Myers Squibb | ||||||||
2.550%, 05/14/2021 (A) | 870 | 875 | ||||||
Cardinal Health | ||||||||
3.180%, VAR ICE LIBOR USD 3 | 775 | 775 | ||||||
Cigna | ||||||||
3.200%, 09/17/2020 (A) | 1,965 | 1,979 | ||||||
3.060%, VAR ICE LIBOR USD 3 | 375 | 375 | ||||||
CVS Health | ||||||||
3.173%, VAR ICE LIBOR USD 3 | 435 | 437 | ||||||
3.083%, VAR ICE LIBOR USD 3 Month+0.630%, 03/09/2020 | 1,120 | 1,123 | ||||||
Dignity Health | ||||||||
2.637%, 11/01/2019 | 1,260 | 1,260 | ||||||
Gilead Sciences | ||||||||
2.637%, VAR ICE LIBOR USD 3 | 550 | 550 | ||||||
McKesson | ||||||||
3.650%, 11/30/2020 | 300 | 304 | ||||||
UnitedHealth Group | ||||||||
2.373%, VAR ICE LIBOR USD 3 | 500 | 499 | ||||||
|
|
| ||||||
9,340 | ||||||||
|
|
| ||||||
Industrials — 2.7% | ||||||||
AerCap Ireland Capital DAC | ||||||||
4.500%, 05/15/2021 | 735 | 757 | ||||||
Air Lease | ||||||||
2.125%, 01/15/2020 | 300 | 299 | ||||||
Aviation Capital Group LLC | ||||||||
2.936%, VAR ICE LIBOR USD 3 | 570 | 570 | ||||||
Caterpillar Financial Services MTN | ||||||||
2.752%, VAR ICE LIBOR USD 3 | 1,600 | 1,601 | ||||||
Equifax | ||||||||
3.388%, VAR ICE LIBOR USD 3 | 460 | 460 | ||||||
General Dynamics | ||||||||
2.875%, 05/11/2020 | 1,555 | 1,564 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Ultra Short Duration Bond Fund(Continued)
Description |
Face Amount |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
General Electric | ||||||||
2.740%, VAR ICE LIBOR USD 3 | $ | 264 | $ | 263 | ||||
2.500%, 03/28/2020 | 500 | 500 | ||||||
Honeywell International | ||||||||
2.546%, VAR ICE LIBOR USD 3 | 800 | 801 | ||||||
John Deere Capital MTN | ||||||||
2.350%, 01/08/2021 | 445 | 446 | ||||||
PACCAR Financial MTN | ||||||||
2.805%, VAR ICE LIBOR USD 3 | 150 | 150 | ||||||
United Technologies | ||||||||
3.175%, VAR ICE LIBOR USD 3 | 375 | 375 | ||||||
2.603%, VAR ICE LIBOR USD 3 | 600 | 601 | ||||||
|
|
| ||||||
8,387 | ||||||||
|
|
| ||||||
Information Technology — 2.0% | ||||||||
Broadcom | ||||||||
3.125%, 04/15/2021 (A) | 2,185 | 2,197 | ||||||
2.375%, 01/15/2020 | 800 | 799 | ||||||
Hewlett Packard Enterprise | ||||||||
3.009%, VAR ICE LIBOR USD 3 | 375 | 375 | ||||||
2.100%, 10/04/2019 (A) | 800 | 799 | ||||||
IBM Credit LLC | ||||||||
2.994%, VAR ICE LIBOR USD 3 | 1,140 | 1,146 | ||||||
Juniper Networks | ||||||||
3.300%, 06/15/2020 | 750 | 753 | ||||||
|
|
| ||||||
6,069 | ||||||||
|
|
| ||||||
Materials — 0.5% | ||||||||
Air Liquide Finance | ||||||||
1.375%, 09/27/2019 (A) | 400 | 399 | ||||||
DowDuPont | ||||||||
3.766%, 11/15/2020 | 455 | 463 | ||||||
International Flavors & Fragrances | ||||||||
3.400%, 09/25/2020 | 245 | 247 | ||||||
Syngenta Finance | ||||||||
3.698%, 04/24/2020 (A) | 450 | 453 | ||||||
|
|
| ||||||
1,562 | ||||||||
|
|
| ||||||
Utilities — 1.7% | ||||||||
American Electric Power | ||||||||
2.150%, 11/13/2020 | 450 | 448 | ||||||
Consolidated Edison of New York | ||||||||
2.749%, VAR ICE LIBOR USD 3 | 1,730 | 1,736 |
Description |
Face Amount |
Market Value | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Dominion Energy | ||||||||
2.715%, 08/15/2021 | $ | 130 | $ | 130 | ||||
DTE Energy | ||||||||
1.500%, 10/01/2019 | 435 | 435 | ||||||
Duke Energy Progress LLC | ||||||||
2.633%, VAR ICE LIBOR USD 3 | 540 | 540 | ||||||
Florida Power & Light | ||||||||
2.965%, VAR ICE LIBOR USD 3 | 900 | 900 | ||||||
Sempra Energy | ||||||||
1.625%, 10/07/2019 | 850 | 849 | ||||||
|
|
| ||||||
5,038 | ||||||||
|
|
| ||||||
Total Corporate Obligations |
| 133,054 | ||||||
|
|
| ||||||
ASSET-BACKED SECURITIES — 31.5% |
| |||||||
Automotive — 12.7% | ||||||||
American Credit Acceptance Receivables Trust, Ser 2018-3, Cl A | ||||||||
2.920%, 08/12/2021 (A) | 82 | 82 | ||||||
American Credit Acceptance Receivables Trust, Ser 2018-4, Cl A | ||||||||
3.380%, 12/13/2021 (A) | 422 | 423 | ||||||
American Credit Acceptance Receivables Trust, Ser 2019-2, CI A | ||||||||
2.850%, 07/12/2022 (A) | 284 | 284 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2016-3, Cl A3 | ||||||||
1.460%, 05/10/2021 | 1 | 1 | ||||||
Americredit Automobile Receivables Trust, Ser 2018-1, Cl A2A | ||||||||
2.710%, 07/19/2021 | 107 | 107 | ||||||
Americredit Automobile Receivables Trust, Ser 2018-2, Cl A2A | ||||||||
2.860%, 11/18/2021 | 254 | 254 | ||||||
Americredit Automobile Receivables Trust, Ser 2019-1, Cl A2A | ||||||||
2.930%, 06/20/2022 | 630 | 632 | ||||||
ARI Fleet Lease Trust, Ser 2017-A, Cl A2 |
| |||||||
1.910%, 04/15/2026 (A) | 123 | 122 | ||||||
CarMax Auto Owner Trust, Ser 2019-2, Cl A2A | ||||||||
2.690%, 07/15/2022 | 380 | 381 | ||||||
Carmax Auto Owner Trust, Ser 2019-3, Cl A2A | ||||||||
2.210%, 12/15/2022 | 1,215 | 1,214 | ||||||
Chesapeake Funding II LLC, Ser 2016-2A, CI A2 | ||||||||
3.325%, VAR ICE LIBOR USD 1 | 116 | 116 |
12 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Description |
Face Amount |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Chesapeake Funding II LLC, Ser 2017-2A, CI A1 | ||||||||
1.990%, 05/15/2029 (A) | $ | 148 | $ | 147 | ||||
Chesapeake Funding II LLC, Ser 2017-3A, CI A1 | ||||||||
1.910%, 08/15/2029 (A) | 185 | 185 | ||||||
Chesapeake Funding II LLC, Ser 2017-3A, CI A2 | ||||||||
2.665%, VAR ICE LIBOR USD 1 Month+0.340%, 08/15/2029 (A) | 492 | 492 | ||||||
Chesapeake Funding II LLC, Ser 2017-4A, CI A1 | ||||||||
2.120%, 11/15/2029 (A) | 234 | 233 | ||||||
Chesapeake Funding II LLC, Ser 2017-4A, CI A2 | ||||||||
2.665%, VAR ICE LIBOR USD 1 | 930 | 929 | ||||||
Chesapeake Funding II LLC, Ser 2018-1A, CI A1 | ||||||||
3.040%, 04/15/2030 (A) | 250 | 252 | ||||||
Chesapeake Funding II LLC, Ser 2018-2A, CI A2 | ||||||||
2.695%, VAR ICE LIBOR USD 1 | 452 | 451 | ||||||
Chesapeake Funding II LLC, Ser 2018-3A, CI A1 | ||||||||
3.390%, 01/15/2031 (A) | 350 | 355 | ||||||
Chrysler Capital Auto Receivables Trust, Ser 2016-BA, CI A3 | ||||||||
1.640%, 07/15/2021 (A) | 100 | 100 | ||||||
CIG Auto Receivables Trust, Ser 2017-1A, Cl A | ||||||||
2.710%, 05/15/2023 (A) | 44 | 44 | ||||||
CPS Auto Receivables Trust, Ser 2018-A, Cl A | ||||||||
2.160%, 05/17/2021 (A) | 16 | 16 | ||||||
CPS Auto Receivables Trust, Ser 2018-D, Cl A | ||||||||
3.060%, 01/18/2022 (A) | 225 | 225 | ||||||
CPS Auto Receivables Trust, Ser 2019-A, Cl A | ||||||||
3.180%, 06/15/2022 (A) | 296 | 297 | ||||||
CPS Auto Receivables Trust, Ser 2019-B, Cl A | ||||||||
2.890%, 05/16/2022 (A) | 259 | 259 | ||||||
CPS Auto Receivables Trust, Ser 2019-C, Cl A | ||||||||
2.550%, 09/15/2022 (A) | 490 | 490 | ||||||
CPS Auto Trust, Ser 2018-C, CI A | ||||||||
2.870%, 09/15/2021 (A) | 119 | 119 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2017-2A, CI A | ||||||||
2.550%, 02/17/2026 (A) | 453 | 453 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2017-3A, CI A | ||||||||
2.650%, 06/15/2026 (A) | 250 | 250 | ||||||
Drive Auto Receivables Trust, Ser 2015-DA, CI D | ||||||||
4.590%, 01/17/2023 (A) | 449 | 451 |
Description |
Face Amount |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Drive Auto Receivables Trust, Ser 2017-3, CI D | ||||||||
3.530%, 12/15/2023 (A) | $ | 775 | $ | 783 | ||||
Drive Auto Receivables Trust, Ser 2018-3, Cl A3 | ||||||||
3.010%, 11/15/2021 | 230 | 230 | ||||||
Drive Auto Receivables Trust, Ser 2018-4, Cl A3 | ||||||||
3.040%, 11/15/2021 | 137 | 137 | ||||||
Drive Auto Receivables Trust, Ser 2018-4, CI B | ||||||||
3.360%, 10/17/2022 | 855 | 858 | ||||||
Drive Auto Receivables Trust, Ser 2018-5, CI A2B | ||||||||
2.645%, VAR ICE LIBOR USD 1 | 111 | 111 | ||||||
Drive Auto Receivables Trust, Ser 2019-1, Cl A3 | ||||||||
3.180%, 10/17/2022 | 405 | 407 | ||||||
Drive Auto Receivables Trust, Ser 2019-2, Cl A2A | ||||||||
2.930%, 03/15/2022 | 497 | 498 | ||||||
Drive Auto Receivables Trust, Ser 2019-2, Cl A3 | ||||||||
3.040%, 03/15/2023 | 275 | 277 | ||||||
DT Auto Owner Trust, Ser 2018-1A, Cl A | ||||||||
2.590%, 05/17/2021 (A) | 1 | 1 | ||||||
DT Auto Owner Trust, Ser 2018-3A, Cl A | ||||||||
3.020%, 02/15/2022 (A) | 918 | 920 | ||||||
DT Auto Owner Trust, Ser 2018-3A, Cl B | ||||||||
3.560%, 09/15/2022 (A) | 665 | 673 | ||||||
DT Auto Owner Trust, Ser 2019-1A, Cl A | ||||||||
3.080%, 09/15/2022 (A) | 258 | 258 | ||||||
DT Auto Owner Trust, Ser 2019-3A, Cl A | ||||||||
2.550%, 08/15/2022 (A) | 445 | 445 | ||||||
Enterprise Fleet Financing LLC, Ser 2016-2, CI A2 | ||||||||
1.740%, 02/22/2022 (A) | 24 | 24 | ||||||
Enterprise Fleet Financing LLC, Ser 2017-2, CI A2 | ||||||||
1.970%, 01/20/2023 (A) | 94 | 93 | ||||||
Enterprise Fleet Financing LLC, Ser 2018-2, CI A2 | ||||||||
3.140%, 02/20/2024 (A) | 269 | 271 | ||||||
Enterprise Fleet Financing LLC, Ser 2019-1, CI A2 | ||||||||
2.980%, 10/22/2024 (A) | 820 | 827 | ||||||
Enterprise Fleet Financing LLC, Ser 2019-2, CI A2 | ||||||||
2.290%, 02/20/2025 (A) | 545 | 545 | ||||||
Exeter Automobile Receivables Trust, Ser 2018-3A, CI A | ||||||||
2.900%, 01/18/2022 (A) | 160 | 160 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Ultra Short Duration Bond Fund(Continued)
Description |
Face Amount |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Exeter Automobile Receivables Trust, Ser 2019-1A, Cl A | ||||||||
3.200%, 04/15/2022 (A) | $ | 466 | $ | 467 | ||||
Exeter Automobile Receivables Trust, Ser 2019-2A, Cl A | ||||||||
2.930%, 07/15/2022 (A) | 419 | 420 | ||||||
Exeter Automobile Receivables Trust, Ser 2019-3A, CI A | ||||||||
2.590%, 09/15/2022 (A) | 325 | 325 | ||||||
First Investors Auto Owner Trust, Ser 2017-2A, CI A1 | ||||||||
1.860%, 10/15/2021 (A) | 5 | 5 | ||||||
First Investors Auto Owner Trust, Ser 2018-1A, CI A1 | ||||||||
2.840%, 05/16/2022 (A) | 69 | 70 | ||||||
First Investors Auto Owner Trust, Ser 2019-1A, CI A | ||||||||
2.890%, 03/15/2024 (A) | 262 | 264 | ||||||
Flagship Credit Auto Trust, Ser 2017-2, Cl A | ||||||||
1.850%, 07/15/2021 (A) | 13 | 12 | ||||||
Flagship Credit Auto Trust, Ser 2017-3, Cl A | ||||||||
1.880%, 10/15/2021 (A) | 86 | 86 | ||||||
Flagship Credit Auto Trust, Ser 2018-3, Cl A | ||||||||
3.070%, 02/15/2023 (A) | 264 | 265 | ||||||
Flagship Credit Auto Trust, Ser 2018-4, Cl A | ||||||||
3.410%, 05/15/2023 (A) | 410 | 413 | ||||||
Flagship Credit Auto Trust, Ser 2019-1, Cl A | ||||||||
3.110%, 08/15/2023 (A) | 389 | 391 | ||||||
Flagship Credit Auto Trust, Ser 2019-2, Cl A | ||||||||
2.830%, 10/16/2023 (A) | 727 | 730 | ||||||
Ford Credit Auto Lease Trust, Ser 2019-B, Cl A2A | ||||||||
2.280%, 02/15/2022 | 480 | 479 | ||||||
Ford Credit Auto Owner Trust, Ser 2015-2, CI A | ||||||||
2.440%, 01/15/2027 (A) | 695 | 695 | ||||||
Ford Credit Floorplan Master Owner Trust, Ser 2016-5, Cl A1 | ||||||||
1.950%, 11/15/2021 | 450 | 449 | ||||||
GLS Auto Receivables Trust, Ser2017-1A, CI A2 | ||||||||
2.670%, 04/15/2021 (A) | 25 | 25 | ||||||
GLS Auto Receivables Trust, Ser2018-1A, Cl A | ||||||||
2.820%, 07/15/2022 (A) | 259 | 259 | ||||||
GLS Auto Receivables Trust, Ser2018-3A, Cl A | ||||||||
3.350%, 08/15/2022 (A) | 223 | 224 | ||||||
GLS Auto Receivables Trust, Ser2019-1A, Cl A | ||||||||
3.370%, 01/17/2023 (A) | 213 | 215 | ||||||
GLS Auto Receivables Trust, Ser2019-2A, Cl A | ||||||||
3.060%, 04/17/2023 (A) | 527 | 529 | ||||||
GM Financial Automobile Leasing Trust, Ser 2019-1, Cl A2A | ||||||||
2.910%, 04/20/2021 | 430 | 431 |
Description |
Face Amount |
Market Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
GM Financial Automobile Receivables Trust, Ser 2018-4, Cl A3 | ||||||||
3.210%, 10/16/2023 | $ | 600 | $ | 610 | ||||
Hertz Fleet Lease Funding, Ser 2019-1, Cl A1 | ||||||||
2.849%, VAR ICE LIBOR USD 1 | 1,065 | 1,065 | ||||||
Hertz Fleet Lease Funding, Ser 2019-1, Cl A2 | ||||||||
2.700%, 01/10/2033 (A) | 770 | 771 | ||||||
Mercedes-Benz Auto Trust, Ser 2016-1, Cl A4 | ||||||||
1.460%, 12/15/2022 | 1,465 | 1,455 | ||||||
Mercedes-Benz Auto Trust, Ser 2019-A, Cl A3 | ||||||||
3.100%, 11/15/2021 | 310 | 313 | ||||||
Mercedes-Benz Auto Trust, Ser2019-AA, Cl A | ||||||||
2.675%, VAR ICE LIBOR USD 1 | 420 | 420 | ||||||
Nissan Auto Lease Trust, Ser 2019-A, Cl A2 | ||||||||
2.710%, 07/15/2021 | 380 | 381 | ||||||
Nissan Auto Lease Trust, Ser 2019-B, Cl A2A | ||||||||
2.270%, 10/15/2021 | 595 | 594 | ||||||
Nissan Master Owner Trust Receivables, Ser 2017-C, CI A | ||||||||
2.645%, VAR ICE LIBOR USD 1 | 1,225 | 1,226 | ||||||
Prestige Auto Receivables Trust, Ser 2017-1A, Cl A3 | ||||||||
2.050%, 10/15/2021 (A) | 526 | 526 | ||||||
Prestige Auto Receivables Trust, Ser 2018-1A, CI A2 | ||||||||
2.970%, 12/15/2021 (A) | 440 | 441 | ||||||
Prestige Auto Receivables Trust, Ser 2019-1A, CI A2 | ||||||||
2.440%, 07/15/2022 (A) | 790 | 790 | ||||||
Santander Drive Auto Receivables Trust, Ser 2015-4, Cl C | ||||||||
2.970%, 03/15/2021 | 6 | 6 | ||||||
Santander Drive Auto Receivables Trust, Ser 2016-3, Cl C | ||||||||
2.460%, 03/15/2022 | 383 | 382 | ||||||
Santander Drive Auto Receivables Trust, Ser 2018-3, Cl A3 | ||||||||
3.030%, 02/15/2022 | 207 | 208 | ||||||
Santander Drive Auto Receivables Trust, Ser 2019-1, Cl A3 | ||||||||
3.000%, 12/15/2022 | 275 | 277 | ||||||
Santander Retail Auto Lease Trust, Ser 2017-A, CI A3 | ||||||||
2.220%, 01/20/2021 (A) | 1,167 | 1,166 | ||||||
Santander Retail Auto Lease Trust, Ser 2019-A, Cl A2 | ||||||||
2.720%, 01/20/2022 (A) | 415 | 417 | ||||||
Securitized Term Auto Receivables Trust, Ser 2019-1A, Cl A3 | ||||||||
2.986%, 02/27/2023 (A) | 505 | 510 |
14 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Skopos Auto Receivables Trust, Ser 2018-1A, CI A | ||||||||
3.190%, 09/15/2021 (A) | $ | 86 | $ | 86 | ||||
Tesla Auto Lease Trust, Ser 2018-A, Cl A | ||||||||
2.320%, 12/20/2019 (A) | 101 | 101 | ||||||
Tesla Auto Lease Trust, Ser 2018-B, Cl A | ||||||||
3.710%, 08/20/2021 (A) | 1,073 | 1,087 | ||||||
Tidewater Auto Receivables Trust, Ser 2018-AA, CI A2 | ||||||||
3.120%, 07/15/2022 (A) | 251 | 251 | ||||||
United Auto Credit Securitization Trust, Ser 2019-1, Cl A | ||||||||
2.820%, 07/12/2021 (A) | 555 | 556 | ||||||
USAA Auto Owner Trust, Ser 2019-1, Cl A2 | ||||||||
2.260%, 02/15/2022 | 395 | 395 | ||||||
Westlake Automobile Receivables Trust, Ser 2018-2A, Cl A2A | ||||||||
2.840%, 09/15/2021 (A) | 140 | 140 | ||||||
Westlake Automobile Receivables Trust, Ser 2019-1A, Cl A2A | ||||||||
3.060%, 05/16/2022 (A) | 530 | 532 | ||||||
World Omni Auto Trust, Ser 2018-1A, Cl B | ||||||||
3.680%, 07/15/2023 (A) | 320 | 326 | ||||||
World Omni Auto Trust, Ser 2019-A, Cl A2 | ||||||||
3.020%, 04/15/2022 | 645 | 648 | ||||||
|
|
| ||||||
39,316 | ||||||||
|
|
| ||||||
Credit Card — 4.0% | ||||||||
American Express Credit Account Master Trust, Ser 2017-3, Cl A | ||||||||
1.770%, 11/15/2022 | 575 | 573 | ||||||
BA Credit Card Trust, Ser2017-A1, CI A1 | ||||||||
1.950%, 08/15/2022 | 1,555 | 1,551 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2015-A3, Cl A3 | ||||||||
2.725%, VAR ICE LIBOR USD 1 Month+0.400%, 03/15/2023 | 735 | 737 | ||||||
Capital One Multi-Asset Execution Trust, Ser 2016-A6, CI A6 | ||||||||
1.820%, 09/15/2022 | 1,395 | 1,393 | ||||||
Citibank Credit Card Issuance Trust, Ser 2014-A1, CI A1 | ||||||||
2.880%, 01/23/2023 | 350 | 354 | ||||||
Discover Card Execution Note Trust, Ser 2015-A2, Cl A | ||||||||
1.900%, 10/17/2022 | 2,205 | 2,199 | ||||||
Golden Credit Card Trust, Ser2016-5A, Cl A | ||||||||
1.600%, 09/15/2021 (A) | 335 | 335 | ||||||
Golden Credit Card Trust, Ser2019-1A, Cl A | ||||||||
2.775%, VAR ICE LIBOR USD 1 Month+0.450%, 12/15/2022 (A) | 685 | 686 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Master Credit Card Trust, Ser 2019-1A, Cl A | ||||||||
2.752%, VAR ICE LIBOR USD 1 Month+0.480%, 07/21/2022 (A) | $ | 350 | $ | 351 | ||||
Penarth Master Issuer PLC, Ser2018-1A, Cl A1 | ||||||||
2.680%, VAR ICE LIBOR USD 1 Month+0.380%, 03/18/2022 (A) | 825 | 825 | ||||||
Synchrony Card Funding LLC, Ser2019-A1, CI A | ||||||||
2.950%, 03/15/2025 | 1,170 | 1,190 | ||||||
Synchrony Credit Card Master Note Trust, Ser 2015-4, Cl A | ||||||||
2.380%, 09/15/2023 | 525 | 525 | ||||||
Synchrony Credit Card Master Note Trust, Ser 2016-3, Cl B | ||||||||
1.910%, 09/15/2022 | 772 | 771 | ||||||
Trillium Credit Card Trust II, Ser2019-1A, Cl A | ||||||||
2.742%, VAR ICE LIBOR USD 1 | 750 | 751 | ||||||
|
|
| ||||||
12,241 | ||||||||
|
|
| ||||||
Miscellaneous Business Services — 14.8% |
| |||||||
Accredited Mortgage Loan Trust, Ser 2004-4, CI A1A | ||||||||
2.946%, VAR ICE LIBOR USD 1 | 87 | 87 | ||||||
Aegis Asset Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-4, CI A1 | ||||||||
2.986%, VAR ICE LIBOR USD 1 Month+0.720%, 10/25/2034 | 28 | 28 | ||||||
Ajax Mortgage Loan Trust, Ser 2017-B, Cl A | ||||||||
3.163%, 09/25/2056 (A)(B) | 428 | 429 | ||||||
ALM VI, Ser 2018-6A, CI A1B3 | ||||||||
3.503%, VAR ICE LIBOR USD 3 | 600 | 590 | ||||||
ALM XVII, Ser 2018-17A, CI A1AR | ||||||||
3.233%, VAR ICE LIBOR USD 3 | 725 | 725 | ||||||
Apidos CLO XII, Ser 2018-12A, CI AR | ||||||||
3.383%, VAR ICE LIBOR USD 3 | 600 | 596 | ||||||
Avant Loans Funding Trust, Ser 2019-A, Cl A | ||||||||
3.480%, 07/15/2022 (A) | 424 | 425 | ||||||
Barings BDC Static CLO, Ser 2019-1A, Cl A1 | ||||||||
3.323%, VAR ICE LIBOR USD 3 | 717 | 713 | ||||||
Barings CLO, Ser 2018-3A, CI A1 | ||||||||
3.228%, VAR ICE LIBOR USD 3 | 372 | 369 | ||||||
Bayview Opportunity Master Fund IVb Trust, Ser 2017-RT6, CI A | ||||||||
3.500%, 10/28/2057 (A)(B) | 336 | 341 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Ultra Short Duration Bond Fund(Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Carlyle Global Market Strategies, Ser 2018-1A, CI A1R2 | ||||||||
3.273%, VAR ICE LIBOR USD 3 Month+0.970%, 04/17/2031 (A) | $ | 650 | $ | 643 | ||||
Carlyle Global Market Strategies, Ser 2018-2A, CI A1R | ||||||||
3.036%, VAR ICE LIBOR USD 3 Month+0.780%, 04/27/2027 (A) | 729 | 728 | ||||||
CIFC Funding, Ser 2017-1A, CI A1R | ||||||||
3.572%, VAR ICE LIBOR USD 3 Month+1.250%, 07/16/2030 (A) | 485 | 486 | ||||||
Cloud Pass-Through Trust, Ser2019-1A, Cl CLOU | ||||||||
3.554%, 12/05/2022 (A)(B) | 994 | 1,005 | ||||||
CLUB Credit Trust, Ser 2017-P2, Cl A | ||||||||
2.610%, 01/15/2024 (A) | 79 | 79 | ||||||
CNH Equipment Trust, Ser 2017-C, Cl A2 | ||||||||
1.840%, 03/15/2021 | 263 | 262 | ||||||
Cole Park CLO, Ser 2018-1A, CI AR | ||||||||
3.328%, VAR ICE LIBOR USD 3 Month+1.050%, 10/20/2028 (A) | 750 | 751 | ||||||
Colombia Cent CLO, Ser 2018-27A, CI A1 | ||||||||
3.426%, VAR ICE LIBOR USD 3 Month+1.150%, 10/25/2028 (A) | 480 | 480 | ||||||
Credit Suisse Trust, Ser 2018-LD1 | ||||||||
3.420%, 07/25/2024 (A) | 60 | 60 | ||||||
Credit-Based Asset Servicing & Securitization LLC, Ser 2005-CB3, Cl M2 | ||||||||
3.196%, VAR ICE LIBOR USD 1 Month+0.930%, 05/25/2035 | 153 | 153 | ||||||
Daimler Trucks Retail Trust, Ser 2019-1, Cl A2 | ||||||||
2.770%, 04/15/2021 (A) | 280 | 280 | ||||||
Dell Equipment Finance Trust, Ser 2018-1, Cl A2A | ||||||||
2.970%, 10/22/2020 (A) | 237 | 237 | ||||||
Dell Equipment Finance Trust, Ser 2019-1, CI A2 | ||||||||
2.780%, 08/23/2021 (A) | 365 | 366 | ||||||
DLL, Ser 2017-A, CI A2 | ||||||||
1.890%, 07/15/2020 (A) | 4 | 5 | ||||||
DLL, Ser 2018-1, Cl A2 | ||||||||
2.810%, 11/17/2020 (A) | 265 | 265 | ||||||
Finance of America Structured Securities Trust, Ser 2018-HB1, CI A | ||||||||
3.375%, 09/25/2028 (A)(B) | 196 | 196 | ||||||
Finance of America Structured Securities Trust, Ser 2019-HB1, CI A | ||||||||
3.279%, 04/25/2029 (A)(B) | 289 | 290 | ||||||
Great American Auto Leasing, Ser 2019-1, CI A2 | ||||||||
2.970%, 06/15/2021 (A) | 610 | 612 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
GSAMP Trust, Ser 2006-HE1, CI A2D | ||||||||
2.576%, VAR ICE LIBOR USD 1 Month+0.310%, 01/25/2036 | $ | 61 | $ | 61 | ||||
John Deere Owner Trust, Ser 2019-B, Cl A2 | ||||||||
2.280%, 05/16/2022 | 665 | 665 | ||||||
KKR, Ser 2018-21, CI A | ||||||||
3.303%, VAR ICE LIBOR USD 3 Month+1.000%, 04/15/2031 (A) | 465 | 459 | ||||||
Madison Park Funding XII, Ser 2017-12A, Cl AR | ||||||||
3.538%, VAR ICE LIBOR USD 3 Month+1.260%, 07/20/2026 (A) | 181 | 181 | ||||||
Magnetite VII, Ser 2018-7A, CI A1R2 | ||||||||
3.103%, VAR ICE LIBOR USD 3 Month+0.800%, 01/15/2028 (A) | 800 | 793 | ||||||
Magnetite VIII, Ser 2018-8A, CI AR2 | ||||||||
3.283%, VAR ICE LIBOR USD 3 Month+0.980%, 04/15/2031 (A) | 685 | 680 | ||||||
Marlette Funding Trust, Ser 2017-3A, Cl A | ||||||||
2.360%, 12/15/2024 (A) | 8 | 8 | ||||||
Marlette Funding Trust, Ser 2018-1A, Cl A | ||||||||
2.610%, 03/15/2028 (A) | 48 | 48 | ||||||
Marlette Funding Trust, Ser 2018-2A, Cl A | ||||||||
3.060%, 07/17/2028 (A) | 88 | 88 | ||||||
Marlette Funding Trust, Ser 2018-4A, Cl A | ||||||||
3.710%, 12/15/2028 (A) | 255 | 257 | ||||||
Marlette Funding Trust, Ser 2019-1A, Cl A | ||||||||
3.440%, 04/16/2029 (A) | 901 | 907 | ||||||
Marlette Funding Trust, Ser 2019-2A, Cl A | ||||||||
3.130%, 07/16/2029 (A) | 465 | 467 | ||||||
Marlette Funding Trust, Ser 2019-3A, Cl A | ||||||||
2.690%, 09/17/2029 (A) | 650 | 650 | ||||||
Mill City Mortgage Loan Trust, Ser 2015-2, CI A2 | ||||||||
3.000%, 09/25/2057 (A)(B) | 434 | 435 | ||||||
Mill City Mortgage Loan Trust, Ser 2017-3, CI A1 | ||||||||
2.750%, 01/25/2061 (A)(B) | 385 | 386 | ||||||
Mill City Mortgage Loan Trust, Ser 2018-1, CI A1 | ||||||||
3.250%, 05/25/2062 (A)(B) | 194 | 196 | ||||||
MMAF Equipment Finance LLC, Ser2017-AA, Cl A3 | ||||||||
2.040%, 02/16/2022 (A) | 266 | 265 | ||||||
MMAF Equipment Finance LLC, Ser 2019-A, CI A2 | ||||||||
2.840%, 01/10/2022 (A) | 610 | 613 | ||||||
Nationstar HECM Loan Trust, Ser2018-1A, CI A | ||||||||
2.760%, 02/25/2028 (A)(B) | 65 | 65 | ||||||
Nationstar HECM Loan Trust, Ser2018-2A, CI A | ||||||||
3.188%, 07/25/2028 (A)(B) | 85 | 86 |
16 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Nationstar HECM Loan Trust, Ser2019-1A, CI A | ||||||||
2.651%, 06/25/2029 (A)(B) | $ | 205 | $ | 205 | ||||
Navient Student Loan Trust, Ser2017-3A, CI A1 | ||||||||
2.566%, VAR ICE LIBOR USD 1 Month+0.300%, 07/26/2066 (A) | 84 | 84 | ||||||
Navient Student Loan Trust, Ser2018-1A, CI A2 | ||||||||
2.616%, VAR ICE LIBOR USD 1 Month+0.350%, 03/25/2067 (A) | 590 | 590 | ||||||
Navient Student Loan Trust, Ser2019-2A, CI A1 | ||||||||
2.536%, VAR ICE LIBOR USD 1 Month+0.270%, 02/27/2068 (A) | 535 | 534 | ||||||
Navistar Financial Dealer Note Master Owner Trust II, Ser 2019-1, Cl A | ||||||||
2.906%, VAR ICE LIBOR USD 1 Month+0.640%, 05/28/2024 (A) | 1,100 | 1,104 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-6A, CI A1 | ||||||||
4.000%, 08/27/2057 (A)(B) | 535 | 552 | ||||||
New Residential Mortgage Loan Trust, Ser 2018-FNT1, CI A | ||||||||
3.610%, 05/25/2023 (A) | 495 | 499 | ||||||
New Residential Mortgage Loan Trust, Ser 2018-FNT2, CI A | ||||||||
3.790%, 07/25/2054 (A) | 294 | 297 | ||||||
NextGear Floorplan Master Owner Trust, Ser 2017-2A, CI A1 | ||||||||
3.005%, VAR ICE LIBOR USD 1 Month+0.680%, 10/17/2022 (A) | 935 | 938 | ||||||
NextGear Floorplan Master Owner Trust, Ser 2019-1A, CI A1 | ||||||||
2.975%, VAR ICE LIBOR USD 1 Month+0.650%, 02/15/2024 (A) | 645 | 646 | ||||||
NRZ Excess Spread-Collateralized Notes, Ser 2018-PLS1, Cl A | ||||||||
3.193%, 01/25/2023 (A) | 245 | 245 | ||||||
NRZ Excess Spread-Collateralized Notes, Ser 2018-PLS2, CI A | ||||||||
3.265%, 02/25/2023 (A) | 118 | 119 | ||||||
NYCTL Trust, Ser 2017-A, CI A | ||||||||
1.870%, 11/10/2030 (A) | 91 | 90 | ||||||
NYCTL Trust, Ser 2018-A, CI A | ||||||||
3.220%, 11/10/2031 (A) | 684 | 683 | ||||||
Ocean Trails CLO IV, Ser 2017-4A, CI AR | ||||||||
3.435%, VAR ICE LIBOR USD 3 Month+0.900%, 08/13/2025 (A) | 411 | 411 | ||||||
OCP CLO, Ser 2017-8A, CI A1R | ||||||||
3.153%, VAR ICE LIBOR USD 3 Month+0.850%, 04/17/2027 (A) | 458 | 458 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
OneMain Financial Issuance Trust, Ser 2016-1A, Cl B | ||||||||
4.570%, 02/20/2029 (A) | $ | 185 | $ | 187 | ||||
Onemain Financial Issuance Trust, Ser 2018-1A, CI A | ||||||||
3.300%, 03/14/2029 (A) | 265 | 268 | ||||||
OneMain Financial Issuance Trust, Ser 2019-1A, CI A | ||||||||
3.480%, 02/14/2031 (A) | 550 | 559 | ||||||
OZLM VII, Ser 2018-7RA, CI A1R | ||||||||
3.313%, VAR ICE LIBOR USD 3 Month+1.010%, 07/17/2029 (A) | 590 | 586 | ||||||
OZLM XII, Ser 2018-12A, Cl A1R | ||||||||
3.316%, VAR ICE LIBOR USD 3 Month+1.050%, 04/30/2027 (A) | 400 | 399 | ||||||
PFS Financing, Ser 2016-BA, Cl A | ||||||||
1.870%, 10/15/2021 (A) | 374 | 373 | ||||||
Prosper Marketplace Issuance Trust, Ser 2018-1A, Cl A | ||||||||
3.110%, 06/17/2024 (A) | 101 | 101 | ||||||
PRPM, Ser 2018-1A, CI A1 | ||||||||
3.750%, 04/25/2023 (A)(B) | 239 | 239 | ||||||
Regional Management Issuance, Ser 2018-1, CI A | ||||||||
3.830%, 07/15/2027 (A) | 290 | 291 | ||||||
RMF Buyout Issuance Trust, Ser 2019-1, Cl A | ||||||||
2.475%, 07/25/2029 (A)(B) | 661 | 660 | ||||||
Shackleton, Ser 2018-6RA, Cl A | ||||||||
3.323%, VAR ICE LIBOR USD 3 Month+1.020%, 07/17/2028 (A) | 500 | 499 | ||||||
SLC Student Loan Trust, Ser 2005-1, Cl A3 | ||||||||
2.618%, VAR ICE LIBOR USD 3 Month+0.100%, 02/15/2025 | 468 | 468 | ||||||
SLC Student Loan Trust, Ser 2006-1, Cl A5 | ||||||||
2.520%, VAR ICE LIBOR USD 3 Month+0.110%, 03/15/2027 | 791 | 788 | ||||||
SLM Student Loan Trust, Ser 2004-3, Cl A5 | ||||||||
2.446%, VAR ICE LIBOR USD 3 Month+0.170%, 07/25/2023 | 44 | 44 | ||||||
SLM Student Loan Trust, Ser 2004-8A, Cl A5 | ||||||||
2.776%, VAR ICE LIBOR USD 3 Month+0.500%, 04/25/2024 (A) | 43 | 43 | ||||||
SLM Student Loan Trust, Ser 2005-3, Cl A5 | ||||||||
2.373%, VAR ICE LIBOR USD 3 Month+0.090%, 10/25/2024 | 236 | 235 | ||||||
SLM Student Loan Trust, Ser 2005-4, Cl A3 | ||||||||
2.396%, VAR ICE LIBOR USD 3 Month+0.120%, 01/25/2027 | 219 | 218 | ||||||
SLM Student Loan Trust, Ser 2006-5, Cl A5 | ||||||||
2.386%, VAR ICE LIBOR USD 3 Month+0.110%, 01/25/2027 | 304 | 303 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Ultra Short Duration Bond Fund(Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
SLM Student Loan Trust, Ser 2007-6, Cl A4 | ||||||||
2.656%, VAR ICE LIBOR USD 3 Month+0.380%, 10/25/2024 | $ | 684 | $ | 684 | ||||
SLM Student Loan Trust, Ser 2008-5, Cl A4 | ||||||||
3.976%, VAR ICE LIBOR USD 3 Month+1.700%, 07/25/2023 | 349 | 355 | ||||||
SLM Student Loan Trust, Ser 2008-9, Cl A | ||||||||
3.776%, VAR ICE LIBOR USD 3 Month+1.500%, 04/25/2023 | 360 | 365 | ||||||
SoFi Consumer Loan Program, Ser 2016-2, CI A | ||||||||
3.090%, 10/27/2025 (A) | 238 | 238 | ||||||
SoFi Consumer Loan Program, Ser 2016-3, CI A | ||||||||
3.050%, 12/26/2025 (A) | 268 | 269 | ||||||
SoFi Consumer Loan Program, Ser 2017-1, CI A | ||||||||
3.280%, 01/26/2026 (A) | 291 | 293 | ||||||
SoFi Consumer Loan Program, Ser 2017-6, CI A1 | ||||||||
2.200%, 11/25/2026 (A) | 10 | 10 | ||||||
SoFi Consumer Loan Program, Ser 2018-1, CI A1 | ||||||||
2.550%, 02/25/2027 (A) | 64 | 64 | ||||||
SoFi Consumer Loan Program, Ser 2018-2, CI A1 | ||||||||
2.930%, 04/26/2027 (A) | 97 | 97 | ||||||
SoFi Consumer Loan Program, Ser 2018-3, CI A1 | ||||||||
3.200%, 08/25/2027 (A) | 99 | 100 | ||||||
SoFi Consumer Loan Program, Ser 2019-1, CI A | ||||||||
3.240%, 02/25/2028 (A) | 1,354 | 1,366 | ||||||
SoFi Consumer Loan Program, Ser 2019-2, CI A | ||||||||
3.010%, 04/25/2028 (A) | 669 | 672 | ||||||
SoFi Consumer Loan Program, Ser 2019-3, CI A | ||||||||
2.900%, 05/25/2028 (A) | 1,550 | 1,554 | ||||||
SoFi Professional Loan Program, Ser 2017-A, CI A1 | ||||||||
2.966%, VAR ICE LIBOR USD 1 Month+0.700%, 03/26/2040 (A) | 100 | 100 | ||||||
Springleaf Funding Trust, Ser 2016-AA, Cl A | ||||||||
2.900%, 11/15/2029 (A) | 540 | 540 | ||||||
SPS Servicer Advance Receivables Trust, Ser 2016-T2, CI AT2 | ||||||||
2.750%, 11/15/2049 (A) | 531 | 531 | ||||||
SPS Servicer Advance Receivables Trust, Ser 2018-T1, Cl A | ||||||||
3.620%, 10/17/2050 | 600 | 607 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Symphony CLO XIV, Ser 2017-14A, Cl A1R | ||||||||
3.583%, VAR ICE LIBOR USD 3 Month+1.280%, 07/14/2026 (A) | $ | 666 | $ | 666 | ||||
Towd Point Mortgage Trust, Ser 2015-4, CI A1B | ||||||||
2.750%, 04/25/2055 (A)(B) | 61 | 61 | ||||||
Towd Point Mortgage Trust, Ser 2015-5, CI A1B | ||||||||
2.750%, 05/25/2055 (A)(B) | 65 | 65 | ||||||
Towd Point Mortgage Trust, Ser 2016-1, CI A1B | ||||||||
2.750%, 02/25/2055 (A)(B) | 53 | 53 | ||||||
Towd Point Mortgage Trust, Ser 2016-3, Cl A1 | ||||||||
2.250%, 04/25/2056 (A)(B) | 140 | 139 | ||||||
Towd Point Mortgage Trust, Ser 2016-4, Cl A1 | ||||||||
2.250%, 07/25/2056 (A)(B) | 225 | 222 | ||||||
Towd Point Mortgage Trust, Ser 2017-1, Cl A1 | ||||||||
2.750%, 10/25/2056 (A)(B) | 491 | 493 | ||||||
Towd Point Mortgage Trust, Ser 2017-2, Cl A1 | ||||||||
2.750%, 04/25/2057 (A)(B) | 275 | 276 | ||||||
Towd Point Mortgage Trust, Ser 2017-4, Cl A1 | ||||||||
2.750%, 06/25/2057 (A)(B) | 223 | 223 | ||||||
Towd Point Mortgage Trust, Ser 2017-5, Cl A1 | ||||||||
2.866%, VAR ICE LIBOR USD 1 Month+0.600%, 02/25/2057 (A) | 393 | 392 | ||||||
Towd Point Mortgage Trust, Ser 2017-6, Cl A1 | ||||||||
2.750%, 10/25/2057 (A)(B) | 205 | 206 | ||||||
Towd Point Mortgage Trust, Ser 2018-1, Cl A1 | ||||||||
3.000%, 01/25/2058 (A)(B) | 141 | 141 | ||||||
Treman Park CLO, Ser 2018-1A, Cl ARR | ||||||||
3.348%, VAR ICE LIBOR USD 3 Month+1.070%, 10/20/2028 (A) | 550 | 550 | ||||||
Tryon Park CLO, Ser 2018-1A, CI A1SR | ||||||||
3.193%, VAR ICE LIBOR USD 3 Month+0.890%, 04/15/2029 (A) | 360 | 358 | ||||||
Verizon Owner Trust, Ser 2016-1A, Cl A | ||||||||
1.420%, 01/20/2021 (A) | 30 | 30 | ||||||
Verizon Owner Trust, Ser 2016-2A, Cl A | ||||||||
1.680%, 05/20/2021 (A) | 112 | 112 | ||||||
Verizon Owner Trust, Ser 2017-2A, Cl B | ||||||||
2.220%, 12/20/2021 (A) | 190 | 190 | ||||||
VOLT LXIV LLC, Ser 2017-NP11,CI A1 | ||||||||
3.375%, 10/25/2047 (A) | 304 | 304 | ||||||
VOLT LXX LLC, Ser 2018-NPL6, CI A1A | ||||||||
4.115%, 09/25/2048 (A) | 298 | 299 | ||||||
Voya CLO, Ser 2017-3A, CI A1R | ||||||||
2.996%, VAR ICE LIBOR USD 3 Month+0.720%, 07/25/2026 (A) | 359 | 358 |
18 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Z Capital Credit Partners CLO, Ser 2018-1A, CI A1R | ||||||||
3.272%, VAR ICE LIBOR USD 3 Month+0.950%, 07/16/2027 (A) | $ | 600 | $ | 597 | ||||
|
|
| ||||||
45,807 | ||||||||
Total Asset-Backed Securities | 97,364 | |||||||
|
|
| ||||||
MORTGAGE-BACKED SECURITIES — 16.9% |
| |||||||
Agency Mortgage-Backed Obligations — 5.9% |
| |||||||
FHLMC | ||||||||
4.438%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.010%, 02/01/2030 | 28 | 29 | ||||||
4.220%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.928%, 02/01/2022 | 7 | 7 | ||||||
2.700%, 09/27/2021 | 1,150 | 1,150 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Cl A1 | ||||||||
2.746%, 12/25/2019 | 13 | 13 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K020, Cl A1 | ||||||||
1.573%, 01/25/2022 | 181 | 180 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KI03, CI A | ||||||||
2.648%, VAR ICE LIBOR USD 1 Month+0.250%, 02/25/2023 | 939 | 938 | ||||||
FHLMC REMIC, Ser 2010-3745, Cl GP | ||||||||
4.000%, 06/15/2039 | 576 | 588 | ||||||
FHLMC REMIC, Ser 2013-4206, Cl CA | ||||||||
3.000%, 05/15/2037 | 791 | 798 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M2 | ||||||||
3.916%, VAR ICE LIBOR USD 1 Month+1.650%, 04/25/2024 | 66 | 67 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-H01, Cl M3 | ||||||||
6.066%, VAR ICE LIBOR USD 1 Month+3.800%, 03/25/2025 | 499 | 517 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQA2, CI M2 | ||||||||
5.066%, VAR ICE LIBOR USD 1 Month+2.800%, 05/25/2028 | 713 | 722 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA3, CI M2 | ||||||||
4.266%, VAR ICE LIBOR USD 1 Month+2.000%, 12/25/2028 | 343 | 345 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-HQA1, CI M1 | ||||||||
3.466%, VAR ICE LIBOR USD 1 Month+1.200%, 08/25/2029 | 845 | 848 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2018-SPI2, Cl M1 | ||||||||
3.817%, 05/25/2048 (A)(B) | $ | 344 | $ | 345 | ||||
FNMA | ||||||||
6.000%, 01/01/2027 | 12 | 14 | ||||||
5.500%, 12/01/2023 to 12/01/2024 | 392 | 404 | ||||||
5.000%, 03/01/2025 (C) | 161 | 165 | ||||||
5.000%, 04/01/2020 to 03/01/2025 | 71 | 73 | ||||||
4.965%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.215%, 01/01/2029 | 8 | 9 | ||||||
4.775%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.302%, 11/01/2023 | 1 | 1 | ||||||
4.672%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.120%, 11/01/2025 | 2 | 2 | ||||||
4.603%, VAR ICE LIBOR USD 6 Month+1.771%, 09/01/2024 | 13 | 14 | ||||||
4.599%, VAR ICE LIBOR USD 6 Month+1.841%, 09/01/2024 | 36 | 37 | ||||||
4.470%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.086%, 05/01/2028 | 2 | 2 | ||||||
3.727%, VAR ICE LIBOR USD 6 Month+1.000%, 11/01/2021 | 2 | 2 | ||||||
3.000%, 12/01/2030 | 1,128 | 1,151 | ||||||
1.900%, 10/01/2019 | 350 | 349 | ||||||
FNMA Connecticut Avenue Securities, Ser 2017-C02, CI 2M1 | ||||||||
3.416%, VAR ICE LIBOR USD 1 Month+1.150%, 09/25/2029 | 170 | 171 | ||||||
FNMA Connecticut Avenue Securities, Ser 2018-C06, CI 1M1 | ||||||||
2.816%, VAR ICE LIBOR USD 1 Month+0.550%, 03/25/2031 | 300 | 300 | ||||||
FNMA REMIC, Ser 1993-58, CI H | ||||||||
5.500%, 04/25/2023 | 8 | 8 | ||||||
FNMA REMIC, Ser 2001-33, Cl FA | ||||||||
2.716%, VAR LIBOR USD 1 Month+0.450%, 07/25/2031 | 10 | 10 | ||||||
FNMA REMIC, Ser 2002-64, Cl FG | ||||||||
2.550%, VAR LIBOR USD 1 Month+0.250%, 10/18/2032 | 6 | 6 | ||||||
FNMA REMIC, Ser 2011-113, CI AD | ||||||||
2.000%, 11/25/2026 | 260 | 258 | ||||||
FNMA REMIC, Ser 2011-24, Cl PC | ||||||||
4.000%, 10/25/2039 | 393 | 398 | ||||||
FNMA REMIC, Ser 2011-38, Cl BA | ||||||||
4.000%, 02/25/2035 | 485 | 485 | ||||||
FNMA REMIC, Ser 2012-63, Cl FE | ||||||||
2.666%, VAR LIBOR USD 1 Month+0.400%, 06/25/2038 | 336 | 336 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Ultra Short Duration Bond Fund(Continued)
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA REMIC, Ser 2014-39, Cl AB | ||||||||
3.000%, 09/25/2039 | $ | 302 | $ | 303 | ||||
FNMA, Ser 2017-M13, Cl FA | ||||||||
2.842%, VAR ICE LIBOR USD 1 | 245 | 244 | ||||||
FNMA, Ser M9.CI A2 | ||||||||
2.482%, 04/25/2022 | 292 | 294 | ||||||
FREMF Mortgage Trust, Ser 2011-K12, Cl B | ||||||||
4.345%, 01/25/2046 (A)(B) | 920 | 940 | ||||||
FREMF Mortgage Trust, Ser 2012-K712, Cl B | ||||||||
3.314%, 05/25/2045 (A)(B) | 120 | 120 | ||||||
FREMF Mortgage Trust, Ser 2013-K712, Cl C | ||||||||
3.314%, 05/25/2045 (A)(B) | 840 | 840 | ||||||
FREMF Mortgage Trust, Ser 2014-K503, Cl C | ||||||||
3.042%, 10/25/2047 (A)(B) | 210 | 210 | ||||||
FREMF Multifamily Aggregation Risk Transfer Trust, Ser 2017-KT01, CI A | ||||||||
2.589%, VAR ICE LIBOR USD 1 Month+0.320%, 02/25/2020 | 350 | 350 | ||||||
GNMA, Ser 2010-151, Cl KA | ||||||||
3.000%, 09/16/2039 | 134 | 136 | ||||||
GNMA, Ser 2010-81, Cl PM | ||||||||
3.750%, 04/20/2039 | 475 | 479 | ||||||
GNMA, Ser 2012-31, Cl KA | ||||||||
1.500%, 12/20/2038 | 739 | 738 | ||||||
GNMA, Ser 2012-7, Cl MD | ||||||||
3.500%, 11/20/2038 | 650 | 657 | ||||||
GNMA, Ser 2013-124, Cl CP | ||||||||
2.500%, 06/20/2041 | 284 | 286 | ||||||
NCUA Guaranteed Notes, Ser 2010-R1, Cl 1A | ||||||||
2.810%, VAR ICE LIBOR USD 1 Month+0.450%, 10/07/2020 | 1,011 | 1,012 | ||||||
NCUA Guaranteed Notes, Ser 2011-R1, Cl 1A | ||||||||
2.810%, VAR ICE LIBOR USD 1 Month+0.450%, 01/08/2020 | 665 | 666 | ||||||
NCUA Guaranteed Notes, Ser 2011-R2, Cl 1A | ||||||||
2.760%, VAR ICE LIBOR USD 1 Month+0.400%, 02/06/2020 | 39 | 39 | ||||||
NCUA Guaranteed Notes, Ser 2011-R3, Cl 1A | ||||||||
2.769%, VAR ICE LIBOR USD 1 Month+0.400%, 03/11/2020 | 82 | 82 | ||||||
|
|
| ||||||
18,138 | ||||||||
|
|
| ||||||
Non-Agency Mortgage-Backed Obligations — 11.0% |
| |||||||
Angel Oak Mortgage Trust I LLC, Ser 2019-2, CI A1 | ||||||||
3.628%, 03/25/2049 (A)(B) | 288 | 912 | ||||||
Angel Oak Mortgage Trust I LLC, Ser 2019-4, CI A1 | ||||||||
2.993%, 07/26/2049 (A)(B) | 610 | 609 |
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Angel Oak Mortgage Trust LLC, Ser 2017-1, CI A1 | ||||||||
2.810%, 01/25/2047 (A)(B) | $ | 23 | $ | 23 | ||||
Angel Oak Mortgage Trust LLC, Ser 2017-2, CI A1 | ||||||||
2.478%, 07/25/2047 (A)(B) | 133 | 132 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2017-3, CI A1 | ||||||||
2.708%, 11/25/2047 (A)(B) | 90 | 90 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2018-3, CI A1 | ||||||||
3.649%, 09/25/2048 (A)(B) | 277 | 279 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2019-1, CI A1 | ||||||||
3.920%, 11/25/2048 (A)(B) | 627 | 636 | ||||||
Arroyo Mortgage Trust, Ser 2019-3, Cl A1 |
| |||||||
2.962%, 10/25/2048 (A)(B) | 465 | 464 | ||||||
BAMLL Commercial Mortgage Securities Trust, Ser 2018-DSNY, CI A | ||||||||
3.175%, VAR ICE LIBOR USD 1 Month+0.850%, 09/15/2034 (A) | 750 | 750 | ||||||
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2 | ||||||||
4.359%, 07/25/2035 (B) | 82 | 81 | ||||||
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1 | ||||||||
4.469%, 11/25/2035 (B) | 9 | 9 | ||||||
BBCMS Mortgage Trust, Ser2017-DELC, Cl A | ||||||||
3.175%, VAR ICE LIBOR USD 1 Month+0.850%, 08/15/2036 (A) | 800 | 799 | ||||||
Bear Stearns ARM Trust, Ser 2005-3, Cl 2A1 |
| |||||||
4.517%, 06/25/2035 (B) | 44 | 46 | ||||||
Bear Stearns ARM Trust, Ser 2005-6, Cl 3A1 |
| |||||||
4.560%, 08/25/2035 (B) | 89 | 89 | ||||||
Bunker Hill Loan Depositary Trust, Ser 20191, Cl A1 | ||||||||
3.613%, 10/26/2048 (A) | 182 | 184 | ||||||
BX Commercial Mortgage Trust, Ser 2018-IND, CI A | ||||||||
3.075%, VAR ICE LIBOR USD 1 Month+0.750%, 11/15/2035 (A) | 276 | 276 | ||||||
BX Trust, Ser MCSF, CI A | ||||||||
2.902%, VAR ICE LIBOR USD 1 Month+0.577%, 04/15/2035 (A) | 470 | 469 | ||||||
CGDBB Commercial Mortgage Trust, Ser BIOC,CI A | ||||||||
3.115%, VAR ICE LIBOR USD 1 Month+0.790%, 07/15/2032 (A) | 450 | 450 | ||||||
CHC Commercial Mortgage Trust, Ser CHC, CI A | ||||||||
3.520%, VAR LIBOR USD 1 Month+1.120%, 06/15/2034 (A) | 625 | 626 |
20 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
CIM Trust, Ser 2017-7, CI A | ||||||||
3.000%, 04/25/2057 (A)(B) | $ | 483 | $ | 483 | ||||
Citigroup Mortgage Loan Trust, Ser2004-HYB3, Cl 1A | ||||||||
4.701%, 09/25/2034 (B) | 15 | 15 | ||||||
Citigroup Mortgage Loan Trust, Ser2006-AR2, CI 1A1 | ||||||||
4.857%, 03/25/2036 (B) | 69 | 65 | ||||||
Citigroup Mortgage Loan Trust, Ser2018-RP2, CI A1 | ||||||||
3.500%, 02/25/2058 (A)(B) | 311 | 317 | ||||||
Citigroup Mortgage Loan Trust, Ser SST2, Cl A | ||||||||
3.245%, VAR ICE LIBOR USD 1 Month+0.920%, 12/15/2036 (A) | 775 | 774 | ||||||
COLT Mortgage Loan Trust, Ser 2018-1, Cl A1 | ||||||||
2.930%, 02/25/2048 (A)(B) | 101 | 101 | ||||||
COLT Mortgage Loan Trust, Ser 2018-2, Cl A1 | ||||||||
3.470%, 07/27/2048 (A)(B) | 302 | 303 | ||||||
COLT Mortgage Loan Trust, Ser 2018-3, Cl A1 | ||||||||
3.692%, 10/26/2048 (A)(B) | 84 | 85 | ||||||
COLT Mortgage Loan Trust, Ser 2018-4, Cl A1 | ||||||||
4.006%, 12/28/2048 (A)(B) | 411 | 417 | ||||||
COLT Mortgage Loan Trust, Ser 2019-1, Cl A1 | ||||||||
3.705%, 03/25/2049 (A)(B) | 218 | 221 | ||||||
COLT Mortgage Loan Trust, Ser 2019-3, Cl A1 | ||||||||
2.764%, 08/25/2049 (A)(B) | 214 | 214 | ||||||
COMM Mortgage Trust, Ser2014-UBS5, Cl A2 | ||||||||
3.031%, 09/10/2047 | 64 | 64 | ||||||
COMM Mortgage Trust, Ser2015-CR23, Cl A2 | ||||||||
2.852%, 05/10/2048 | 1,258 | 1,258 | ||||||
COMM Mortgage Trust, Ser LC17, Cl A2 |
| |||||||
3.164%, 10/10/2047 | 172 | 172 | ||||||
Commercial Mortgage Pass-Through Certificates, Ser CR22, Cl A2 | ||||||||
2.856%, 03/10/2048 | 678 | 678 | ||||||
Countrywide Home Loans, Ser2004-29, CI 1A1 | ||||||||
2.806%, VAR ICE LIBOR USD 1 Month+0.540%, 02/25/2035 | 12 | 12 | ||||||
Countrywide Home Loans, Ser2005-HY10, Cl 3A1A | ||||||||
4.257%, 02/20/2036 (B) | 65 | 60 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser lCE4, CI B | ||||||||
3.555%, VAR ICE LIBOR USD 1 Month+1.230%, 05/15/2036 (A) | 925 | 927 | ||||||
Deephaven Residential Mortgage Trust, Ser 2017-1A, CI A1 | ||||||||
2.725%, 12/26/2046 (A)(B) | 33 | 33 | ||||||
Deephaven Residential Mortgage Trust, Ser 2017-2A, CI A1 | ||||||||
2.453%, 06/25/2047 (A)(B) | 92 | 91 |
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Deephaven Residential Mortgage Trust, Ser 2017-3A, CI A1 | ||||||||
2.577%, 10/25/2047 (A)(B) | $ | 104 | $ | 104 | ||||
Deephaven Residential Mortgage Trust, Ser 2018-1A,CI A1 | ||||||||
2.976%, 12/25/2057 (A)(B) | 127 | 127 | ||||||
Deephaven Residential Mortgage Trust, Ser 2018-2A, CI A1 | ||||||||
3.479%, 04/25/2058 (A)(B) | 337 | 340 | ||||||
Deephaven Residential Mortgage Trust, Ser 2018-3A, CI A1 | ||||||||
3.789%, 08/25/2058 (A)(B) | 452 | 457 | ||||||
Deephaven Residential Mortgage Trust, Ser 2019-3A, CI A1 | ||||||||
2.964%, 07/25/2059 (A)(B) | 550 | 549 | ||||||
FDIC Guaranteed Notes Trust, Ser 2010-S4, CI A | ||||||||
3.160%, VAR ICE LIBOR USD 1 Month+0.720%, 12/04/2020 (A) | 607 | 598 | ||||||
FHLMC Structured Agency Credit Risk Debt |
| |||||||
5.116%, VAR ICE LIBOR USD 1 Month+2.850%, 04/25/2028 | 720 | 731 | ||||||
Flagstar Mortgage Trust, Ser 2018-5, Cl A7 | ||||||||
4.000%, 09/25/2048 (A)(B) | 279 | 283 | ||||||
GMAC Mortgage Loan Trust, Ser 2005-AR6, CI 2A1 | ||||||||
4.073%, 11/19/2035 (B) | 102 | 98 | ||||||
GS Mortgage Securities II, Ser 2015-GC30, CI A2 | ||||||||
2.726%, 05/10/2050 | 275 | 275 | ||||||
GS Mortgage Securities Trust, Ser 2010-C2, CI A1 | ||||||||
3.849%, 12/10/2043 (A) | 83 | 84 | ||||||
GS Mortgage Securities Trust, Ser 2015- GC28.CI A2 | ||||||||
2.898%, 02/10/2048 | 490 | 490 | ||||||
GS Mortgage Securities Trust, Ser 2017- 500K, CI A | ||||||||
3.025%, VAR ICE LIBOR USD 1 Month+0.700%, 07/15/2032 (A) | 415 | 414 | ||||||
GS Mortgage Securities Trust, Ser 2018- FBLU, Cl B | ||||||||
3.525%, VAR ICE LIBOR USD 1 Month+1.200%, 11/15/2035 (A) | 1,280 | 1,282 | ||||||
GS Mortgage Securities Trust, Ser ALOH, Cl A | ||||||||
3.551%, 04/10/2034 (A) | 1,500 | 1,540 | ||||||
GSR Mortgage Loan Trust, Ser 2005-AR4, CI 2A1 | ||||||||
4.664%, 07/25/2035 (B) | 115 | 101 | ||||||
GSR Mortgage Loan Trust, Ser 2007-AR2, CI 1A1 | ||||||||
4.284%, 05/25/2037 (B) | 107 | 92 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Ultra Short Duration Bond Fund(Continued)
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Impac CMB Trust, Ser 2004-9, Cl 1A1 | ||||||||
3.026%, VAR ICE LIBOR USD 1 Month+0.760%, 01/25/2035 | $ | 36 | $ | 36 | ||||
Impac CMB Trust, Ser 2005-2, Cl 1A1 | ||||||||
2.786%, VAR ICE LIBOR USD 1 Month+0.520%, 04/25/2035 | 39 | 39 | ||||||
Impac CMB Trust, Ser 2005-3, Cl A1 | ||||||||
2.746%, VAR ICE LIBOR USD 1 Month+0.480%, 08/25/2035 | 36 | 35 | ||||||
Impac CMB Trust, Ser 2005-5, Cl A1 | ||||||||
2.906%, VAR ICE LIBOR USD 1 Month+0.640%, 08/25/2035 | 29 | 28 | ||||||
Impac CMB Trust, Ser 2005-8, Cl 1A | ||||||||
2.786%, VAR ICE LIBOR USD 1 Month+0.520%, 02/25/2036 | 95 | 93 | ||||||
JPMBB Commercial Mortgage Securities |
| |||||||
3.181%, 09/15/2047 | 96 | 96 | ||||||
JPMBB Commercial Mortgage Securities |
| |||||||
2.949%, 11/15/2047 | 514 | 514 | ||||||
JPMBB Commercial Mortgage Securities |
| |||||||
2.773%, 10/15/2048 | 590 | 590 | ||||||
JPMBB Commercial Mortgage Securities |
| |||||||
2.921%, 05/15/2048 | 1,233 | 1,234 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, CI A | ||||||||
2.933%, 09/05/2032 (A) | 150 | 150 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A6, CI 7A1 | ||||||||
4.320%, 08/25/2035 (B) | 44 | 43 | ||||||
JPMorgan Mortgage Trust, Ser 2007-A3, CI 1A1 | ||||||||
4.268%, 05/25/2037 (B) | 67 | 61 | ||||||
JPMorgan Mortgage Trust, Ser 2014-1, Cl 2A5 | ||||||||
3.500%, 01/25/2044 (A)(B) | 462 | 466 | ||||||
JPMorgan Mortgage Trust, Ser 2018-7FRB, CI A2 | ||||||||
3.154%, VAR ICE LIBOR USD 1 Month+0.750%, 04/25/2046 (A) | 338 | 337 | ||||||
KNDL Mortgage Trust, Ser KNSQ, CI A |
| |||||||
3.125%, VAR ICE LIBOR USD 1 Month+0.800%, 05/15/2036 (A) | 190 | 190 | ||||||
Lanark Master Issuer PLC, Ser 2019-1A, Cl 1A1 | ||||||||
3.295%, VAR ICE LIBOR USD 3 Month+0.770%, 12/22/2069 (A) | 200 | 200 | ||||||
LSTAR Securities Investment, Ser 2019-4, CI A1 | ||||||||
3.902%, VAR ICE LIBOR USD 1 Month+1.500%, 05/01/2024 (A) | 512 | 514 |
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Merrill Lynch Mortgage Backed Securities |
| |||||||
4.301%, 06/25/2037 (B) | $ | 97 | $ | 84 | ||||
Merrill Lynch Mortgage Investors Trust, Ser 2005-A3,CI A1 | ||||||||
2.536%, VAR ICE LIBOR USD 1 Month+0.270%, 04/25/2035 | 11 | 11 | ||||||
Metlife Securitization Trust, | ||||||||
3.000%, 04/25/2055 (A)(B) | 173 | 174 | ||||||
MFRA Trust, Ser 2017-RPL1, CI A1 | ||||||||
2.588%, 02/25/2057 (A)(B) | 109 | 108 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2014-C14, CI A3 | ||||||||
3.669%, 02/15/2047 | 514 | 521 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2014-C16, Cl A2 | ||||||||
2.849%, 06/15/2047 | 12 | 12 | ||||||
Morgan Stanley, Ser 2012-STAR, Cl A1 | ||||||||
2.084%, 08/05/2034 (A) | 88 | 87 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
2.786%, VAR ICE LIBOR USD 1 Month+0.520%, 12/25/2035 | 105 | 104 | ||||||
Mortgage-Linked Amortizing Notes, Ser 2012-1, Cl A10 | ||||||||
2.060%, 01/15/2022 | 188 | 188 | ||||||
MTRO Commercial Mortgage Trust, Ser 2019-TECH, CI A | ||||||||
3.225%, VAR ICE LIBOR USD 1 Month+0.900%, 12/15/2033 (A) | 520 | 521 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-3A, CI A1 | ||||||||
4.000%, 04/25/2057 (A)(B) | 245 | 253 | ||||||
New Residential Mortgage Loan Trust, Ser 2018-1A, Cl A1 | ||||||||
4.000%, 09/25/2057 (A)(B) | 271 | 277 | ||||||
OBX Trust, Ser 2018-1, Cl A2 | ||||||||
2.916%, VAR ICE LIBOR USD 1 Month+0.650%, 06/25/2057 (A) | 62 | 61 | ||||||
OBX Trust, Ser 2018-EXP2, Cl 2A1A | ||||||||
3.016%, VAR ICE LIBOR USD 1 Month+0.750%, 07/25/2058 (A) | 652 | 652 | ||||||
OBX Trust, Ser 2019-INV1, CI A8 | ||||||||
4.000%, 11/25/2048 (A)(B) | 402 | 412 | ||||||
Paragon Mortgages No. 12, Ser 2006-12A, CI A2C | ||||||||
2.738%, VAR ICE LIBOR USD 3 Month+0.220%, 11/15/2038 (A) | 83 | 78 | ||||||
Paragon Mortgages No. 15, Ser 2007-15A, CI A2C | ||||||||
2.630%, VAR ICE LIBOR USD 3 Month+0.220%, 12/15/2039 (A) | 191 | 182 | ||||||
RFMSI Trust, Ser 2007-SA3, CI2A1 | ||||||||
5.226%, 07/27/2037 (B) | 88 | 79 |
22 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Sequoia Mortgage Trust, Ser 2004-12, Cl A1 |
| |||||||
2.812%, VAR ICE LIBOR USD 1 Month+0.540%, 01/20/2035 | $ | 10 | $ | 10 | ||||
Sequoia Mortgage Trust, Ser 2017-CH2, CI A10 | ||||||||
4.000%, 12/25/2047 (A)(B) | 760 | 766 | ||||||
Sequoia Mortgage Trust, Ser 2018-CH3, Cl A1 | ||||||||
4.500%, 08/25/2048 (A)(B) | 349 | 360 | ||||||
SG Residential Mortgage Trust, Ser 2018-1, CI A1 | ||||||||
3.425%, 04/27/2048 (A)(B) | 282 | 283 | ||||||
Spruce Hill Mortgage Loan Trust, Ser 19-SH1, CI A1 | ||||||||
3.265%, 04/29/2049 (A) | 390 | 393 | ||||||
Verus Securitization Trust, Ser 2018-1, Cl A1 | ||||||||
2.929%, 02/25/2048 (A)(B) | 110 | 110 | ||||||
Verus Securitization Trust, Ser 2018-2, Cl A1 | ||||||||
3.677%, 06/01/2058 (A)(B) | 377 | 380 | ||||||
Verus Securitization Trust, Ser 2019-2, Cl A1 | ||||||||
3.211%, 04/25/2059 (A)(B) | 378 | 380 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 | ||||||||
4.198%, 03/25/2036 (B) | 133 | 130 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser C28, CIA2 | ||||||||
2.855%, 05/15/2048 | 175 | 175 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser NXS2, CIA2 | ||||||||
3.020%, 07/15/2058 | 1,810 | 1,809 | ||||||
Wells Fargo Mortgage-Backed Securities |
| |||||||
4.952%, 01/25/2035 (B) | 32 | 32 | ||||||
Wells Fargo Mortgage-Backed Securities |
| |||||||
4.992%, 07/25/2036 (B) | 68 | 70 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Ser 2019-2, Cl A3 | ||||||||
4.000%, 04/25/2049 (A)(B) | 377 | 385 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2013-UBS1, CI A2 | ||||||||
2.927%, 03/15/2046 | 15 | 15 | ||||||
WFRBS Commercial Mortgage Trust, Ser 2014-LC14, CI A2 | ||||||||
2.862%, 03/15/2047 | 25 | 25 | ||||||
|
|
| ||||||
33,911 | ||||||||
|
|
| ||||||
Total Mortgage-Backed Securities |
| 52,049 | ||||||
|
|
|
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 3.2% | ||||||||
U.S. Treasury Notes | ||||||||
2.220%, VAR US Treasury 3 Month Bill Money Market Yield+0.139%, 04/30/2021 | $ | 1,000 | $ | 1,000 | ||||
2.196%, VAR US Treasury 3 Month Bill Money Market Yield+0.115%, 01/31/2021 | 1,050 | 1,049 | ||||||
1.500%, 10/31/2019 | 3,045 | 3,039 | ||||||
1.500%, 11/30/2019 (C) | 1,250 | 1,247 | ||||||
1.125%, 12/31/2019 | 3,400 | 3,385 | ||||||
|
|
| ||||||
Total U.S. Treasury Obligations | 9,720 | |||||||
|
|
| ||||||
MUNICIPAL BONDS — 1.3% | ||||||||
California — 0.2% | ||||||||
California State, GO | ||||||||
Callable 10/01/2021 @ 100 | ||||||||
3.178%, 04/01/2047 (D) | 775 | 777 | ||||||
|
|
| ||||||
Colorado — 0.3% | ||||||||
Colorado State, Housing & Finance Authority, RB | ||||||||
Callable 07/31/2019 @ 100 | ||||||||
2.300%, 10/01/2038 (D) | 900 | 900 | ||||||
|
|
| ||||||
New Jersey — 0.6% | ||||||||
Atlantic County, Improvement Authority, RB |
| |||||||
3.250%, 06/17/2020 | 610 | 615 | ||||||
City of Jersey City, Ser A, GO | ||||||||
1.908%, 09/01/2020 | 505 | 501 | ||||||
Monmouth County, Improvement Authority, RB | ||||||||
2.500%, 11/14/2019 | 715 | 715 | ||||||
|
|
| ||||||
Pennsylvania — 0.1% | 1,831 | |||||||
|
|
| ||||||
Pennsylvania State, Turnpike Commission, |
| |||||||
1.760%, 12/01/2019 | 370 | 369 | ||||||
|
|
| ||||||
Utah — 0.1% | ||||||||
Utah State, Board of Regents, Ser 2016-1, CI A, RB | ||||||||
3.016%, VAR ICE LIBOR USD 1 Month+0.750%, 09/25/2056 | 271 | 272 | ||||||
|
|
| ||||||
Total Municipal Bonds | 4,149 | |||||||
|
|
|
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 23 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Ultra Short Duration Bond Fund(Concluded)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
SOVEREIGN DEBT — 1.0% |
| |||||||
Province of Ontario Canada | ||||||||
2.550%, 02/12/2021 | $ | 1,200 | $ | 1,208 | ||||
Province of Quebec Canada | ||||||||
2.375%, 01/31/2022
|
| 2,000
|
|
| 2,017
|
| ||
|
|
| ||||||
Total Sovereign Debt | 3,225 | |||||||
|
|
| ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.5% |
| |||||||
FHLMC MTN | ||||||||
1.500%, 01/17/2020 | 1,250 | 1,247 | ||||||
FNMA | ||||||||
2.550%, VAR United States Secured Overnight Financing Rate+0.160%, 01/30/2020 | 325 | 325 | ||||||
|
|
| ||||||
Total U.S. Government Agency Obligations |
| 1,572 | ||||||
|
|
|
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENT — 2.2% |
| |||||||
BNP Paribas | $ | 6,900 | $ | 6,900 | ||||
|
|
| ||||||
Total Repurchase Agreement | 6,900 | |||||||
|
|
| ||||||
Total Investments in Securities — 99.7% (Cost $307,306) ($ Thousands) | $ | 308,033 | ||||||
|
|
|
A list of the open futures contracts held by the Fund at July 31, 2019, is as follows:
Type of Contract |
Number of Contracts Long/(Short) | Expiration Date |
Notional Amount (Thousands) |
Value (Thousands) |
Unrealized Appreciation (Depreciation) (Thousands) | |||||||||||||
U.S. 10-Year Treasury Notes | (15) | Sep-2019 | $ | (1,878 | ) | $ | (1,911 | ) | $ | (33 | ) | |||||||
U.S. 2-Year Treasury Notes | 24 | Oct-2019 | 5,134 | 5,146 | 12 | |||||||||||||
U.S. 5-Year Treasury Notes | (1) | Oct-2019 | (117 | ) | (118 | ) | (1 | ) | ||||||||||
U.S. Long Treasury Bond | (1) | Sep-2019 | (151 | ) | (156 | ) | (5 | ) | ||||||||||
|
|
| ||||||||||||||||
$ | 2,988 | $ | 2,961 | $ | (27 | ) | ||||||||||||
|
|
|
For the period ended July 31, 2019, 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 Net Assets of $308,814 ($ Thousands). |
(A) | 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, 2019, the value of these securities amounted to $125,353 ($ Thousands), representing 40.6% of the Net Assets of the Fund. |
(B) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(C) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) | Variable or floating rate security, the interest rate of which adjusts periodically based on prevailing interest rates. |
(E) | Tri-Party Repurchase Agreement. |
24 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
ARM – Adjustable Rate Mortgage
CLO – Collateralized Loan Obligation
FNMA – Federal National Mortgage Association
GNMA – Government National Mortgage Association
GO – General Obligation
ICE – Intercontinental Exchange
LIBOR – London Interbank Offered Rate
LLC – Limited Liability Company
MTN – Medium Term Note
PLC – Public Limited Company
RB – Revenue Bond
REMIC – Real Estate Mortgage Investment Conduit
Ser – Series
USD – U.S. Dollar
VAR – Variable Rate
The following is a summary of the inputs used as of July 31, 2019 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 | $ | – | $ | 133,054 | $ | – | $ | 133,054 | ||||||||
Asset-Backed Securities | – | 97,364 | – | 97,364 | ||||||||||||
Mortgage-Backed Securities | – | 52,049 | – | 52,049 | ||||||||||||
U.S. Treasury Obligations | – | 9,720 | – | 9,720 | ||||||||||||
Municipal Bonds | – | 4,149 | – | 4,149 | ||||||||||||
Sovereign Debt | – | 3,225 | – | 3,225 | ||||||||||||
U.S. Government Agency Obligations | – | 1,572 | – | 1,572 | ||||||||||||
Repurchase Agreement | – | 6,900 | – | 6,900 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||
Total Investments in Securities | $ | – | $ | 308,033 | $ | – | $ | 308,033 | ||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||
| ||||||||||||||||
Other Financial Instruments |
Level 1 |
Level 2 |
Level 3 |
Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 12 | $ | – | $ | – | $ | 12 | ||||||||
Unrealized Depreciation | (39 | ) | – | – | (39) | |||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||
Total Other Financial Instruments | $ | (27 | ) | $ | – | $ | – | $ | (27) | |||||||
|
|
|
|
|
|
|
|
|
|
|
* | Futures Contracts are valued at the net unrealized appreciation (depreciation) on the instruments. |
For the period ended July 31, 2019, there were no transfers between Level 1, Level 2 and/or Level 3 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 $0.
The accompanying notes are an integral part of the financial statements
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 25 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Short-Duration Government Fund
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 69.9% |
| |||||||
Agency Mortgage-Backed Obligations — 69.9% |
| |||||||
FHLMC | ||||||||
4.955%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.363%, 06/01/2024 | $ | 6 | $ | 6 | ||||
4.832%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.200%, 05/01/2024 | 5 | 5 | ||||||
4.744%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.255%, 04/01/2029 | 10 | 10 | ||||||
4.700%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.212%, 06/01/2024 | 8 | 8 | ||||||
4.625%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.125%, 11/01/2020 | 1 | 1 | ||||||
4.621%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.173%, 12/01/2023 | 286 | 296 | ||||||
4.608%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.142%, 12/01/2023 | 20 | 21 | ||||||
4.534%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.255%, 07/01/2024 | 6 | 6 | ||||||
4.500%, 09/01/2020 to 12/01/2039 | 5,000 | 5,303 | ||||||
3.000%, 11/01/2036 to 12/01/2046 | 17,233 | 17,525 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser KF35, Cl A | ||||||||
2.748%, VAR ICE LIBOR USD 1 Month+0.350%, 08/25/2024 | 6,298 | 6,284 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser KF60, CI A | ||||||||
2.888%, VAR ICE LIBOR USD 1 Month+0.490%, 02/25/2026 | 8,671 | 8,697 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser KF62, CI A | ||||||||
2.878%, VAR LIBOR USD 1 Month+0.480%, 04/25/2026 | 17,000 | 17,051 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser KGRP, Cl A | ||||||||
2.778%, VAR ICE LIBOR USD 1 Month+0.380%, 04/25/2020 | 264 | 264 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC REMIC, Ser 2002-42, CI A5 | ||||||||
7.500%, 02/25/2042 | $ | 289 | $ | 344 | ||||
FHLMC REMIC, Ser 2003-2571, Cl FY | ||||||||
3.075%, VAR LIBOR USD 1 Month+0.750%, 12/15/2032 | 4,018 | 4,087 | ||||||
FHLMC REMIC, Ser 2006-3148, Cl CF | ||||||||
2.725%, VAR LIBOR USD 1 Month+0.400%, 02/15/2034 | 181 | 181 | ||||||
FHLMC REMIC, Ser 2006-3174, Cl FA | ||||||||
2.625%, VAR LIBOR USD 1 Month+0.300%, 04/15/2036 | 2,693 | 2,680 | ||||||
FHLMC REMIC, Ser 2006-3219, Cl EF | ||||||||
2.725%, VAR LIBOR USD 1 Month+0.400%, 04/15/2032 | 3,009 | 3,004 | ||||||
FHLMC REMIC, Ser 2007-3339, Cl HF | ||||||||
2.845%, VAR LIBOR USD 1 Month+0.520%, 07/15/2037 | 3,258 | 3,278 | ||||||
FHLMC REMIC, Ser 2010-3628, Cl PJ | ||||||||
4.500%, 01/15/2040 | 1,521 | 1,621 | ||||||
FHLMC REMIC, Ser 2011-3788, Cl FA | ||||||||
2.855%, VAR LIBOR USD 1 Month+0.530%, 01/15/2041 | 5,131 | 5,149 | ||||||
FHLMC REMIC, Ser 2011-3795, Cl EB | ||||||||
2.500%, 10/15/2039 | 81 | 81 | ||||||
FHLMC REMIC, Ser 2011-3930, CI AI, IO | ||||||||
3.500%, 09/15/2026 | 509 | 42 | ||||||
FHLMC REMIC, Ser 2012-4018, Cl AI, IO | ||||||||
3.500%, 03/15/2027 | 863 | 64 | ||||||
FHLMC REMIC, Ser 2012-4030, Cl FD | ||||||||
2.675%, VAR LIBOR USD 1 Month+0.350%, 02/15/2041 | 9,273 | 9,292 | ||||||
FHLMC REMIC, Ser 2012-4032, Cl Cl, IO | ||||||||
3.500%, 06/15/2026 | 1,356 | 68 | ||||||
FHLMC REMIC, Ser 2012-4060, Cl TI, IO | ||||||||
2.500%, 12/15/2026 | 1,299 | 59 | ||||||
FHLMC REMIC, Ser 2013-4170, CI QI, IO | ||||||||
3.000%, 05/15/2032 | 1,244 | 75 | ||||||
FHLMC REMIC, Ser 2013-4176, Cl KI, IO | ||||||||
4.000%, 03/15/2028 | 1,435 | 113 | ||||||
FHLMC REMIC, Ser 2013-4178, Cl Bl, IO | ||||||||
3.000%, 03/15/2033 | 850 | 94 | ||||||
FHLMC REMIC, Ser 2013-4178, Cl Ml, IO | ||||||||
2.500%, 03/15/2028 | 668 | 44 | ||||||
FHLMC REMIC, Ser 2013-4182, Cl IE, IO | ||||||||
2.500%, 03/15/2028 | 561 | 39 | ||||||
FHLMC REMIC, Ser 2013-4195, CI AI, IO | ||||||||
3.000%, 04/15/2028 | 1,580 | 125 | ||||||
FHLMC REMIC, Ser 2013-4199, Cl QI, IO | ||||||||
2.500%, 05/15/2028 | 927 | 67 | ||||||
FHLMC REMIC, Ser 2013-4220, Cl IE, IO | ||||||||
4.000%, 06/15/2028 | 789 | 66 | ||||||
FHLMC REMIC, Ser 2013-4223, Cl AL | ||||||||
3.000%, 08/15/2042 | 3,214 | 3,267 |
26 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC REMIC, Ser 2014-4314, Cl GA | ||||||||
3.000%, 12/15/2039 | $ | 3,283 | $ | 3,326 | ||||
FHLMC REMIC, Ser 2014-4340, Cl Ml, IO | ||||||||
4.500%, 02/15/2027 | 2,848 | 266 | ||||||
FHLMC REMIC, Ser 2014-4419, Cl CW | ||||||||
2.500%, 10/15/2037 | 9,893 | 9,888 | ||||||
FHLMC REMIC, Ser 2015-4484, Cl Cl, IO | ||||||||
4.000%, 07/15/2030 | 1,757 | 189 | ||||||
FHLMC REMIC, Ser 2016-4620, Cl IO, IO | ||||||||
5.000%, 09/15/2033 | 1,293 | 217 | ||||||
FHLMC REMIC, Ser 2017-4709, CI AB | ||||||||
3.000%, 08/15/2047 | 1,525 | 1,555 | ||||||
FHLMC REMIC, Ser 2018-4820, CI, JI, IO | ||||||||
5.000%, 02/15/2048 | 1,654 | 346 | ||||||
FHLMC REMIC, Ser 3153, CI FX | ||||||||
2.675%, VAR LIBOR USD 1 | 124 | 124 | ||||||
FHLMC, Ser 2013-303, Cl C2, IO | ||||||||
3.500%, 01/15/2028 | 2,668 | 231 | ||||||
FNMA | ||||||||
7.000%, 06/01/2037 | 4 | 5 | ||||||
6.500%, 05/01/2026 to 01/01/2036 | 145 | 162 | ||||||
6.000%, 02/01/2023 to 09/01/2024 | 837 | 864 | ||||||
5.500%, 12/01/2020 to 06/01/2038 | 309 | 342 | ||||||
4.673%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.249%, 08/01/2029 | 123 | 128 | ||||||
4.599%, VAR ICE LIBOR USD 6 | 171 | 176 | ||||||
4.580%, 01/01/2021 | 1,415 | 1,430 | ||||||
4.545%, 02/01/2020 | 112 | 112 | ||||||
4.500%, 08/01/2021 to 08/01/2044 | 11,597 | 12,431 | ||||||
4.470%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.086%, 05/01/2028 | 8 | 8 | ||||||
4.380%, 04/01/2021 to 08/01/2027 | 1,809 | 1,852 | ||||||
4.330%, 04/01/2021 to 07/01/2021 | 3,684 | 3,797 | ||||||
4.302%, 07/01/2021 | 348 | 361 | ||||||
4.295%, 06/01/2021 | 3,452 | 3,568 | ||||||
4.236%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.885%, 12/01/2029 | 52 | 53 | ||||||
4.230%, 01/01/2021 | 4,357 | 4,437 | ||||||
4.210%, 07/01/2020 | 644 | 649 | ||||||
4.066%, 07/01/2020 | 2,435 | 2,463 | ||||||
4.050%, 01/01/2021 | 1,000 | 1,017 | ||||||
4.040%, 06/01/2021 | 10,778 | 11,043 | ||||||
4.000%, 05/01/2026 to 04/01/2042 | 2,045 | 2,145 | ||||||
3.990%, 07/01/2021 | 119 | 122 | ||||||
3.980%, 07/01/2021 to 08/01/2021 | 8,828 | 9,087 | ||||||
3.970%, 06/01/2021 | 1,862 | 1,906 | ||||||
3.890%, 10/01/2023 | 835 | 888 | ||||||
3.850%, 01/01/2024 | 554 | 590 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
3.840%, 08/01/2021 | $ | 6,426 | $ | 6,576 | ||||
3.810%, 11/01/2023 | 91 | 97 | ||||||
3.794%, 12/01/2020 | 4,320 | 4,389 | ||||||
3.770%, 09/01/2021 | 100 | 103 | ||||||
3.750%, 06/01/2022 to 09/01/2023 | 3,167 | 3,322 | ||||||
3.730%, 07/01/2022 | 2,047 | 2,111 | ||||||
3.700%, 11/01/2020 | 794 | 802 | ||||||
3.650%, 11/01/2021 to 08/01/2023 | 3,398 | 3,490 | ||||||
3.620%, 09/01/2020 | 6,586 | 6,634 | ||||||
3.590%, 10/01/2020 | 176 | 177 | ||||||
3.510%, 11/01/2021 | 1,033 | 1,058 | ||||||
3.500%, 02/01/2045 | 2,545 | 2,633 | ||||||
3.490%, 12/01/2020 | 6,063 | 6,103 | ||||||
3.400%, 03/01/2022 | 3,473 | 3,572 | ||||||
3.330%, 10/01/2020 | 1,692 | 1,703 | ||||||
3.265%, 01/01/2022 | 742 | 764 | ||||||
3.250%, 12/01/2021 | 1,210 | 1,235 | ||||||
3.230%, 11/01/2020 | 3,012 | 3,031 | ||||||
3.150%, 01/01/2027 | 1,484 | 1,549 | ||||||
3.070%, 06/01/2027 | 969 | 1,008 | ||||||
3.017%, 04/01/2022 | 253 | 254 | ||||||
3.000%, 09/01/2027 to 02/01/2031 | 1,291 | 1,318 | ||||||
2.960%, 01/01/2027 | 1,245 | 1,291 | ||||||
2.940%, 06/01/2022 | 674 | 686 | ||||||
2.930%, 05/01/2022 | 670 | 684 | ||||||
2.831%, VAR LIBOR USD 1 | 1,437 | 1,432 | ||||||
2.830%, 06/01/2022 | 172 | 174 | ||||||
2.740%, 04/01/2022 | 152 | 154 | ||||||
2.580%, 08/01/2022 | 2,164 | 2,183 | ||||||
2.540%, 03/01/2023 | 617 | 623 | ||||||
2.450%, 11/01/2022 | 400 | 404 | ||||||
2.410%, 07/01/2021 | 138 | 138 | ||||||
2.360%, 04/01/2022 | 4,600 | 4,618 | ||||||
2.220%, 10/01/2022 | 2,137 | 2,134 | ||||||
2.150%, 05/01/2022 | 4,550 | 4,543 | ||||||
2.110%, 01/01/2020 | 3,640 | 3,634 | ||||||
2.050%, 11/01/2023 | 1,257 | 1,253 | ||||||
1.750%, 06/01/2020 | 7,050 | 7,022 | ||||||
FNMA Interest, Ser 2009-397, CI 6 |
| |||||||
2.000%, 09/25/2039 | 2,106 | 2,044 | ||||||
FNMA REMIC, Ser 1992-61, CI FA | ||||||||
2.916%, VAR LIBOR USD 1 | 15 | 15 | ||||||
FNMA REMIC, Ser 1993-32, CI H |
| |||||||
6.000%, 03/25/2023 | 7 | 7 | ||||||
FNMA REMIC, Ser 1993-5, CI Z |
| |||||||
6.500%, 02/25/2023 | 4 | 4 | ||||||
FNMA REMIC, Ser 1994-77, Cl FB | ||||||||
3.766%, VAR LIBOR USD 1 | 2 | 2 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Short-Duration Government Fund(Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA REMIC, Ser 2002-53, Cl FK | ||||||||
2.666%, VAR LIBOR USD 1 | $ | 45 | $ | 45 | ||||
FNMA REMIC, Ser 2003-76, Cl CA | ||||||||
3.750%, 07/25/2033 | 20 | 20 | ||||||
FNMA REMIC, Ser 2006-76, Cl QF | ||||||||
2.666%, VAR LIBOR USD 1 | 412 | 412 | ||||||
FNMA REMIC, Ser 2006-79, Cl DF | ||||||||
2.616%, VAR LIBOR USD 1 | 340 | 340 | ||||||
FNMA REMIC, Ser 2007-47, Cl DA | ||||||||
5.600%, 05/25/2037 | 442 | 488 | ||||||
FNMA REMIC, Ser 2007-64, Cl FB | ||||||||
2.636%, VAR LIBOR USD 1 | 2,274 | 2,277 | ||||||
FNMA REMIC, Ser 2008-16, Cl FA | ||||||||
2.966%, VAR LIBOR USD 1 | 1,706 | 1,729 | ||||||
FNMA REMIC, Ser 2009-110, Cl FD | ||||||||
3.016%, VAR LIBOR USD 1 | 5,976 | 6,068 | ||||||
FNMA REMIC, Ser 2009-112, Cl FM | ||||||||
3.016%, VAR LIBOR USD 1 | 3,678 | 3,736 | ||||||
FNMA REMIC, Ser 2009-82, Cl FC | ||||||||
3.186%, VAR LIBOR USD 1 | 4,881 | 4,987 | ||||||
FNMA REMIC, Ser 2009-82, Cl FD | ||||||||
3.116%, VAR LIBOR USD 1 | 4,755 | 4,843 | ||||||
FNMA REMIC, Ser 2010-4, Cl PL | ||||||||
4.500%, 02/25/2040 | 1,517 | 1,609 | ||||||
FNMA REMIC, Ser 2010-56, Cl AF | ||||||||
2.954%, VAR LIBOR USD 1 | 4,207 | 4,234 | ||||||
FNMA REMIC, Ser 2012-111, Cl Nl, IO | ||||||||
3.500%, 10/25/2027 | 1,569 | 142 | ||||||
FNMA REMIC, Ser 2012-4083, Cl Dl, IO | ||||||||
4.000%, 07/15/2027 | 466 | 41 | ||||||
FNMA REMIC, Ser 2012-43, Cl AI, IO | ||||||||
3.500%, 04/25/2027 | 5,204 | 424 | ||||||
FNMA REMIC, Ser 2012-47, Cl QI, IO | ||||||||
5.469%, 05/25/2042 (A) | 324 | 31 | ||||||
FNMA REMIC, Ser 2012-53, Cl BI, IO | ||||||||
3.500%, 05/25/2027 | 970 | 84 | ||||||
FNMA REMIC, Ser 2012-70, Cl IW, IO | ||||||||
3.000%, 02/25/2027 | 2,204 | 133 | ||||||
FNMA REMIC, Ser 2012-93, Cl IL, IO | ||||||||
3.000%, 09/25/2027 | 858 | 63 | ||||||
FNMA REMIC, Ser 2012-97, CI JI, IO | ||||||||
3.000%, 07/25/2027 | 2,459 | 163 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA REMIC, Ser 2012-98, Cl BI, IO | ||||||||
6.000%, 01/25/2042 | $ | 2,707 | $ | 465 | ||||
FNMA REMIC, Ser 2013-121, Cl FA | ||||||||
2.666%, VAR LIBOR USD 1 | 27,426 | 27,424 | ||||||
FNMA REMIC, Ser 2013-130, Cl FQ | ||||||||
2.466%, VAR LIBOR USD 1 | 5,163 | 5,136 | ||||||
FNMA REMIC, Ser 2013-41, CI A | ||||||||
1.750%, 05/25/2040 | 7,344 | 7,186 | ||||||
FNMA REMIC, Ser2014-50, CI SC, IO | ||||||||
1.928%, 08/25/2044 (A) | 3,568 | 197 | ||||||
FNMA REMIC, Ser 2015-21, CI WI, IO | ||||||||
1.824%, 04/25/2055 (A) | 2,225 | 127 | ||||||
FNMA REMIC, Ser 2015-42, CI AI, IO | ||||||||
1.849%, 06/25/2055 (A) | 2,725 | 142 | ||||||
FNMA REMIC, Ser 2015-5, Cl CP | ||||||||
3.000%, 06/25/2043 | 2,270 | 2,321 | ||||||
FNMA REMIC, Ser 2015-68, CI JI, IO | ||||||||
3.500%, 08/25/2030 | 501 | 46 | ||||||
FNMA REMIC, Ser 2015-68, Cl HI, IO | ||||||||
3.500%, 09/25/2035 | 1,026 | 129 | ||||||
FNMA REMIC, Ser 2016-3, CI JI, IO | ||||||||
3.500%, 02/25/2031 | 1,085 | 81 | ||||||
FNMA REMIC, Ser 2016-71, Cl IN, IO | ||||||||
3.500%, 10/25/2046 | 962 | 190 | ||||||
FNMA REMIC, Ser 2017-15, Cl BC | ||||||||
3.250%, 11/25/2043 | 6,083 | 6,228 | ||||||
FNMA REMIC, Ser 2017-68, Cl BI, IO | ||||||||
6.000%, 09/25/2047 | 1,939 | 451 | ||||||
FNMA REMIC, Ser 2018-13, Cl MP | ||||||||
3.500%, 12/25/2057 | 5,852 | 6,147 | ||||||
FNMA REMIC, Ser 2018-38, Cl PC | ||||||||
3.500%, 03/25/2045 | 6,044 | 6,141 | ||||||
FNMA REMIC, Ser 2018-55, Cl PA | ||||||||
3.500%, 01/25/2047 | 6,251 | 6,376 | ||||||
FNMA REMIC, Ser 2018-70, Cl HA | ||||||||
3.500%, 10/25/2056 | 4,503 | 4,691 | ||||||
FNMA REMIC, Ser 2019-28, Cl JA | ||||||||
3.500%, 06/25/2059 | 5,591 | 5,843 | ||||||
FNMA TBA | ||||||||
6.000%, 08/01/2033 | 2,200 | 2,419 | ||||||
4.500%, 08/25/2028 to 08/01/2033 | 26,935 | 27,187 | ||||||
3.500%, 08/01/2040 | 2,650 | 2,714 | ||||||
2.500%, 09/15/2027 | 12,450 | 12,519 | ||||||
FNMA, Ser 2012-410, Cl C6, IO | ||||||||
4.000%, 05/25/2027 | 1,528 | 127 | ||||||
FNMA, Ser 2017-M13, Cl FA | ||||||||
2.842%, VAR ICE LIBOR USD 1 | 1,938 | 1,931 |
28 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA, Ser 2017-M5, Cl FA | ||||||||
2.932%, VAR ICE LIBOR USD 1 | $ | 1,229 | $ | 1,231 | ||||
FNMA, Ser 2018- M12, CI FA | ||||||||
2.782%, VAR ICE LIBOR USD 1 | 1,990 | 1,983 | ||||||
FNMA, Ser 2018-M5, CI A2 | ||||||||
3.560%, 09/25/2021 (A) | 6,641 | 6,747 | ||||||
FREMF Multifamily Aggregation Risk Transfer Trust, Ser2017-KT01, CI A | ||||||||
2.589%, VAR ICE LIBOR USD 1 | 19,590 | 19,590 | ||||||
GNMA | ||||||||
6.500%, 08/15/2037 to 02/20/2039 | 254 | 284 | ||||||
6.000%, 09/15/2019 to 06/15/2041 | 5,091 | 5,801 | ||||||
5.500%, 10/15/2034 to 02/15/2041 | 1,994 | 2,212 | ||||||
5.000%, 09/15/2039 to 04/15/2041 | 1,266 | 1,400 | ||||||
4.000%, 07/15/2041 to 08/15/2041 | 128 | 136 | ||||||
GNMA TBA | ||||||||
6.000%, 08/01/2033 | 1,600 | 1,754 | ||||||
GNMA, Ser 2010-26, CI JI, IO | ||||||||
5.000%, 02/16/2040 | 3,155 | 681 | ||||||
GNMA, Ser 2010-57, Cl Tl, IO | ||||||||
5.000%, 05/20/2040 | 1,267 | 280 | ||||||
GNMA, Ser 2010-68, Cl WA | ||||||||
3.000%, 12/16/2039 | 2,515 | 2,566 | ||||||
GNMA, Ser 2011-131, Cl PC | ||||||||
3.500%, 12/20/2040 | 912 | 923 | ||||||
GNMA, Ser 2012-126, Cl IO, IO | ||||||||
3.500%, 10/20/2042 | 3,969 | 651 | ||||||
GNMA, Ser 2012-27, IO | ||||||||
4.500%, 02/25/2042 | 4,855 | 584 | ||||||
GNMA, Ser 2012-51, Cl Gl, IO | ||||||||
3.500%, 07/20/2040 | 1,012 | 88 | ||||||
GNMA, Ser 2012-51, Cl AB | ||||||||
1.500%, 07/20/2040 | 2,038 | 2,023 | ||||||
GNMA, Ser 2012-84, CI TE | ||||||||
1.500%, 03/20/2042 | 3,616 | 3,521 | ||||||
GNMA, Ser 2013-129, CI AF | ||||||||
2.672%, VAR LIBOR USD 1 | 7,324 | 7,327 | ||||||
GNMA, Ser 2013-26, Cl IK, IO | ||||||||
3.000%, 02/16/2043 | 683 | 100 | ||||||
GNMA, Ser 2013-47, Cl IA, IO | ||||||||
4.000%, 03/20/2043 | 769 | 157 | ||||||
GNMA, Ser 2013-51, Cl IB, IO | ||||||||
3.500%, 03/20/2027 | 1,108 | 99 | ||||||
GNMA, Ser 2014-4, Cl BI, IO | ||||||||
4.000%, 01/20/2044 | 319 | 64 | ||||||
GNMA, Ser 2014-46, Cl IO, IO | ||||||||
5.000%, 03/16/2044 | 1,359 | 248 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2014-56, Cl BP | ||||||||
2.500%, 12/16/2039 | $ | 3,359 | $ | 3,397 | ||||
GNMA, Ser 2015-126, Cl Gl, IO | ||||||||
3.500%, 02/16/2027 | 472 | 39 | ||||||
GNMA, Ser 2015-126, Cl HI, IO | ||||||||
4.000%, 12/16/2026 | 323 | 29 | ||||||
GNMA, Ser 2015-132, Cl El, IO | ||||||||
6.000%, 09/20/2045 | 2,471 | 584 | ||||||
GNMA, Ser 2015-165, Cl I, IO | ||||||||
3.500%, 07/20/2043 | 2,336 | 318 | ||||||
GNMA, Ser 2015-17, CI BI, IO | ||||||||
3.500%, 05/20/2043 | 305 | 49 | ||||||
GNMA, Ser 2015-185, Cl Gl, IO | ||||||||
3.500%, 02/20/2041 | 1,523 | 146 | ||||||
GNMA, Ser 2015-40, Cl PA | ||||||||
2.000%, 04/20/2044 | 6,527 | 6,457 | ||||||
GNMA, Ser 2015-53, Cl IA, IO | ||||||||
4.500%, 04/20/2045 | 1,323 | 293 | ||||||
GNMA, Ser 2015-63, Cl PB | ||||||||
1.750%, 09/20/2043 | 481 | 469 | ||||||
GNMA, Ser 2016-126, Cl Kl, IO | ||||||||
3.000%, 09/20/2028 | 1,099 | 86 | ||||||
GNMA, Ser 2016-167, Cl AI, IO | ||||||||
5.500%, 03/20/2039 | 2,700 | 592 | ||||||
GNMA, Ser 2016-23, Cl Cl, IO | ||||||||
3.500%, 04/20/2042 | 2,675 | 282 | ||||||
GNMA, Ser 2016-42, Cl El, IO | ||||||||
6.000%, 02/20/2046 | 2,037 | 429 | ||||||
GNMA, Ser 2016-49, Cl PI, IO | ||||||||
4.500%, 11/16/2045 | 3,265 | 590 | ||||||
GNMA, Ser 2016-99, Cl LI, IO | ||||||||
4.000%, 05/20/2029 | 4,719 | 430 | ||||||
GNMA, Ser 2017- 107, CIJI, IO | ||||||||
4.000%, 03/20/2047 | 2,668 | 420 | ||||||
GNMA, Ser 2017-134, Cl Bl, IO | ||||||||
5.000%, 09/16/2047 | 571 | 120 | ||||||
GNMA, Ser 2017-2, CI AI, IO | ||||||||
5.000%, 01/16/2047 | 752 | 170 | ||||||
GNMA, Ser 2017-26, Cl Kl, IO | ||||||||
6.000%, 09/20/2040 | 2,524 | 574 | ||||||
GNMA, Ser 2017-26, Cl IA, IO | ||||||||
5.500%, 02/16/2047 | 2,318 | 489 | ||||||
GNMA, Ser 2017-26, Cl IB, IO | ||||||||
5.500%, 02/20/2047 | 1,407 | 286 | ||||||
GNMA, Ser 2017-99, Cl IO, IO | ||||||||
4.000%, 07/20/2047 | 4,094 | 666 | ||||||
GNMA, Ser 2018-38, Cl AB | ||||||||
3.500%, 01/20/2048 | 6,807 | 7,096 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
Short-Duration Government Fund(Concluded)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2019-5, CI JI, IO | ||||||||
5.000%, 07/16/2044 | $ | 3,066 | $ | 569 | ||||
|
|
| ||||||
Total Mortgage-Backed Securities | 493,186 | |||||||
|
|
| ||||||
U.S. TREASURY OBLIGATIONS — 15.6% |
| |||||||
U.S. Treasury Inflation Protected Securities |
| |||||||
0.875%, 01/15/2029 | 7,404 | 7,804 | ||||||
U.S. Treasury Notes | ||||||||
2.250%, 04/15/2022 | 62,525 | 63,153 | ||||||
2.000%, 10/31/2021 | 9,600 | 9,623 | ||||||
1.625%, 07/31/2020 (B)
|
| 30,005
|
|
| 29,874
|
| ||
|
|
| ||||||
Total U.S. Treasury Obligations | 110,454 | |||||||
|
|
| ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 11.5% |
| |||||||
FHLMC | ||||||||
1.375%, 05/01/2020 | 48,663 | 48,404 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
| |||||||
FNMA | ||||||||
1.500%, 07/30/2020 | $ | 32,700 | $ | 32,524 | ||||
|
|
| ||||||
Total U.S. Government Agency Obligations |
| 80,928 | ||||||
|
|
| ||||||
REPURCHASE AGREEMENTS — 11.0% |
| |||||||
BNP Paribas | 41,000 | 41,000 | ||||||
Deutsche Bank
|
| 36,800
|
|
| 36,800
|
| ||
|
|
| ||||||
Total Repurchase Agreements | 77,800 | |||||||
|
|
| ||||||
Total Investments in Securities — 108.0% | $ | 762,368 | ||||||
|
|
|
A list of the open futures contracts held by the Fund at July 31, 2019, is as follows:
Type of Contract | Number of Contracts Long/(Short) | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | |||||||||||||
U.S. 10-Year Treasury Note | (775) | Sep-2019 | $ | (97,620 | ) | $ | (98,752 | ) | $ | (1,132 | ) | |||||||
U.S. 2-Year Treasury Note | 1,155 | Oct-2019 | 247,150 | 247,639 | 489 | |||||||||||||
U.S. 5-Year Treasury Note | 919 | Oct-2019 | 107,295 | 108,033 | 738 | |||||||||||||
U.S. Long Treasury Bond | 22 | Sep-2019 | 3,332 | 3,423 | 91 | |||||||||||||
|
|
| ||||||||||||||||
$ | 260,157 | $ | 260,343 | $ | 186 | |||||||||||||
|
|
|
For the year ended July 31, 2019 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 Net Assets of $705,810 ($ Thousands).
(A) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(C) | Tri-Party Repurchase Agreement. |
Cl – Class
FCSB – Federal Farm Credit Banks
FHLMC – Federal Home Loan Mortgage Corporation
FMAC – Freddie Mac
FNMA – Federal National Mortgage Association
GNMA – Government National Mortgage Association
ICE – Intercontinental Exchange
IO – Interest Only - face amount represents notional amount
LIBOR – London Interbank Offered Rate
REMIC – Real Estate Mortgage Investment Conduit
Ser – Series
TBA – To Be Announced
30 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
USD – U.S. Dollar
VAR – Variable Rate
The following is a summary of the inputs used as of July 31, 2019 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 | $ | – | $ | 493,186 | $ | – | $ | 493,186 | ||||||||
U.S. Treasury Obligations | – | 110,454 | – | 110,454 | ||||||||||||
U.S. Government Agency Obligations | – | 80,928 | – | 80,928 | ||||||||||||
Repurchase Agreements | – | 77,800 | – | 77,800 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | – | $ | 762,368 | $ | – | $ | 762,368 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
| ||||||||||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 1,318 | $ | – | $ | – | $ | 1,318 | ||||||||
Unrealized Depreciation | (1,132 | ) | – | – | (1,132 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 186 | $ | – | $ | – | $ | 186 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* Futures Contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.
For the period ended July 31, 2019, there were no transfers between Level 1, Level 2 and/or Level 3 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, 2019 | 31 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
GNMA Fund
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES — 95.3% |
| |||||||
Agency Mortgage-Backed Obligations — 95.3% |
| |||||||
FHLMC | ||||||||
3.650%, 04/01/2030 | $ | 317 | $ | 343 | ||||
FHLMC REMIC, Ser 2011-3930, CI AI, IO | ||||||||
3.500%, 09/15/2026 | 70 | 6 | ||||||
FHLMC REMIC, Ser 2012-4018, Cl AI, IO | ||||||||
3.500%, 03/15/2027 | 121 | 9 | ||||||
FHLMC REMIC, Ser 2012-4032, Cl Cl, IO | ||||||||
3.500%, 06/15/2026 | 185 | 9 | ||||||
FHLMC REMIC, Ser 2012-4060, Cl TI, IO | ||||||||
2.500%, 12/15/2026 | 174 | 8 | ||||||
FHLMC REMIC, Ser 2013-4166, Cl PI, IO | ||||||||
3.500%, 03/15/2041 | 603 | 57 | ||||||
FHLMC REMIC, Ser 2013-4176, Cl KI, IO | ||||||||
4.000%, 03/15/2028 | 176 | 14 | ||||||
FHLMC REMIC, Ser 2013-4178, Cl Ml, IO | ||||||||
2.500%, 03/15/2028 | 92 | 6 | ||||||
FHLMC REMIC, Ser 2013-4182, Cl IE, IO | ||||||||
2.500%, 03/15/2028 | 82 | 6 | ||||||
FHLMC REMIC, Ser 2013-4199, Cl QI, IO | ||||||||
2.500%, 05/15/2028 | 114 | 8 | ||||||
FHLMC REMIC, Ser 2015-4484, Cl Cl, IO | ||||||||
4.000%, 07/15/2030 | 177 | 19 | ||||||
FHLMC REMIC, Ser 2016-4624, Cl BI, IO | ||||||||
5.500%, 04/15/2036 | 243 | 50 | ||||||
FHLMC REMIC, Ser 2018-4820, CI JI, IO | ||||||||
5.000%, 02/15/2048 | 149 | 31 | ||||||
FNMA | ||||||||
8.000%, 07/01/2025 to 09/01/2028 | 23 | 24 | ||||||
7.000%, 08/01/2029 to 09/01/2032 | 46 | 48 | ||||||
6.500%, 09/01/2032 | 50 | 56 | ||||||
3.660%, 07/01/2030 | 125 | 136 | ||||||
3.590%, 09/01/2030 | 210 | 227 | ||||||
3.460%, 09/01/2037 | 425 | 460 | ||||||
3.260%, 06/01/2027 | 183 | 193 | ||||||
3.230%, 02/01/2027 | 144 | 152 | ||||||
2.970%, 06/01/2027 | 193 | 199 | ||||||
FNMA REMIC, Ser 1990-91, CI G | ||||||||
7.000%, 08/25/2020 | 1 | 1 | ||||||
FNMA REMIC, Ser 1992-105, CI B | ||||||||
7.000%, 06/25/2022 | 4 | 4 | ||||||
FNMA REMIC, Ser 2012-53, Cl BI, IO | ||||||||
3.500%, 05/25/2027 | 119 | 10 | ||||||
FNMA REMIC, Ser 2012-93, Cl IL, IO | ||||||||
3.000%, 09/25/2027 | 121 | 9 |
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA REMIC, Ser 2012-98, Cl BI, IO | ||||||||
6.000%, 01/25/2042 | $ | 265 | $ | 45 | ||||
FNMA REMIC, Ser 2015-21, CI WI, IO | ||||||||
1.824%, 04/25/2055 (A) | 278 | 16 | ||||||
FNMA REMIC, Ser 2016-3, CI JI, IO | ||||||||
3.500%, 02/25/2031 | 139 | 10 | ||||||
FNMA REMIC, Ser 2016-71, Cl IN, IO | ||||||||
3.500%, 10/25/2046 | 120 | 24 | ||||||
FNMA REMIC, Ser 2018-13, Cl MP | ||||||||
3.500%, 12/25/2057 | 596 | 626 | ||||||
FNMA REMIC, Ser 2018-45, CI AB | ||||||||
3.000%, 06/25/2048 | 222 | 225 | ||||||
FNMA TBA | ||||||||
4.500%, 09/01/2033 | 1,070 | 1,122 | ||||||
3.000%, 08/01/2042 | 380 | 383 | ||||||
FNMA, Ser 2012-410, Cl C6, IO | ||||||||
4.000%, 05/25/2027 | 214 | 18 | ||||||
GNMA | ||||||||
9.500%, 09/15/2020 to 10/15/2020 | 2 | 2 | ||||||
9.000%, 10/15/2019 to 05/15/2022 | 11 | 11 | ||||||
8.000%, 01/15/2022 to 03/15/2032 | 130 | 141 | ||||||
7.750%, 10/15/2026 | 18 | 19 | ||||||
7.500%, 02/15/2027 to 10/15/2035 | 132 | 149 | ||||||
7.250%, 01/15/2028 | 16 | 16 | ||||||
7.000%, 11/15/2031 to 11/15/2033 | 1,122 | 1,270 | ||||||
6.750%, 11/15/2027 | 7 | 8 | ||||||
6.500%, 10/15/2023 to 10/15/2038 | 361 | 419 | ||||||
6.000%, 12/15/2027 to 12/15/2040 | 846 | 949 | ||||||
5.500%, 01/15/2033 to 02/15/2041 | 1,522 | 1,685 | ||||||
5.000%, 06/15/2033 to 02/20/2049 | 3,261 | 3,558 | ||||||
4.500%, 08/15/2033 to 01/20/2046 | 3,026 | 3,216 | ||||||
4.000%, 03/20/2040 to 05/20/2049 | 7,005 | 7,398 | ||||||
4.000%, 01/15/2041 (B) | 717 | 762 | ||||||
3.875%, 05/15/2042 | 988 | 1,035 | ||||||
3.500%, 03/20/2041 to 06/20/2049 | 12,803 | 13,272 | ||||||
3.000%, 10/15/2042 to 05/20/2046 | 5,436 | 5,567 | ||||||
2.500%, 07/20/2045 to 12/20/2046 | 1,744 | 1,744 | ||||||
GNMA REMIC, Ser 2002-45, Cl QE | ||||||||
6.500%, 06/20/2032 | 185 | 185 | ||||||
GNMA TBA | ||||||||
5.000%, 08/20/2038 to 08/15/2041 | 4,646 | 4,783 | ||||||
5.000%, 08/01/2033 | 590 | 618 | ||||||
4.500%, 08/01/2023 to 08/15/2039 | 280 | 271 | ||||||
4.000%, 09/01/2039 to 09/01/2039 | 990 | 1,028 | ||||||
3.000%, 08/15/2042 to 09/01/2042 | 2,251 | 2,299 | ||||||
GNMA, Ser 2010-26, CI JI, IO | ||||||||
5.000%, 02/16/2040 | 384 | 83 | ||||||
GNMA, Ser 2010-57, Cl Tl, IO | ||||||||
5.000%, 05/20/2040 | 333 | 74 | ||||||
GNMA, Ser 2011-131, Cl PZ | ||||||||
3.500%, 12/20/2040 | 205 | 213 |
32 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2012-113, Cl BZ | ||||||||
3.000%, 09/16/2042 | $ | 198 | $ | 197 | ||||
GNMA, Ser 2012-126, Cl IO, IO | ||||||||
3.500%, 10/20/2042 | 517 | 85 | ||||||
GNMA, Ser 2012-140, Cl LD | ||||||||
1.750%, 10/20/2042 | 634 | 618 | ||||||
GNMA, Ser 2012-51, Cl Gl, IO | ||||||||
3.500%, 07/20/2040 | 139 | 12 | ||||||
GNMA, Ser 2012-69, Cl AI, IO | ||||||||
4.500%, 05/16/2027 | 243 | 20 | ||||||
GNMA, Ser 2012-91, Cl NC | ||||||||
3.000%, 05/20/2042 | 612 | 626 | ||||||
GNMA, Ser 2013-187, Cl PE | ||||||||
2.000%, 09/20/2043 | 224 | 222 | ||||||
GNMA, Ser 2013-26, Cl IK, IO | ||||||||
3.000%, 02/16/2043 | 82 | 12 | ||||||
GNMA, Ser 2013-47, Cl IA, IO | ||||||||
4.000%, 03/20/2043 | 107 | 22 | ||||||
GNMA, Ser 2013-99, Cl AX | ||||||||
3.000%, 07/20/2043 | 163 | 167 | ||||||
GNMA, Ser 2014-119, Cl ZK | ||||||||
3.500%, 08/16/2044 | 15 | 16 | ||||||
GNMA, Ser 2014-122, Cl IP, IO | ||||||||
3.500%, 08/16/2029 | 769 | 70 | ||||||
GNMA, Ser 2014-133, Cl EP | ||||||||
3.500%, 09/20/2044 | 251 | 259 | ||||||
GNMA, Ser 2014-144, Cl Bl, IO | ||||||||
3.000%, 09/16/2029 | 245 | 21 | ||||||
GNMA, Ser 2014-21, Cl Dl, IO | ||||||||
4.000%, 04/16/2026 | 1,207 | 106 | ||||||
GNMA, Ser 2015-165, Cl I, IO | ||||||||
3.500%, 07/20/2043 | 634 | 86 | ||||||
GNMA, Ser 2015-168, Cl Ml, IO | ||||||||
5.500%, 10/20/2037 | 655 | 126 | ||||||
GNMA, Ser 2015-17, CIBI, IO | ||||||||
3.500%, 05/20/2043 | 672 | 107 | ||||||
GNMA, Ser 2015-18, Cl IC, IO | ||||||||
3.500%, 02/16/2030 | 619 | 60 | ||||||
GNMA, Ser 2015-185, CI GI, IO | ||||||||
3.500%, 02/20/2041 | 210 | 20 | ||||||
GNMA, Ser 2015-24, Cl Cl, IO | ||||||||
3.500%, 02/20/2045 | 328 | 51 | ||||||
GNMA, Ser 2015-53, Cl IA, IO | ||||||||
4.500%, 04/20/2045 | 203 | 45 | ||||||
GNMA, Ser 2015-63, Cl PB | ||||||||
1.750%, 09/20/2043 | 50 | 49 | ||||||
GNMA, Ser 2015-84, Cl IO, IO | ||||||||
3.500%, 05/16/2042 | 483 | 79 | ||||||
GNMA, Ser 2016-126, Cl Kl, IO | ||||||||
3.000%, 09/20/2028 | 171 | 13 | ||||||
GNMA, Ser 2016-136, CI A | ||||||||
3.000%, 07/20/2044 | 760 | 783 |
Description |
Face Amount |
Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2016-161, Cl Gl, IO | ||||||||
5.000%, 11/16/2046 | $ | 300 | $ | 55 | ||||
GNMA, Ser 2016-167, Cl AI, IO | ||||||||
5.500%, 03/20/2039 | 539 | 118 | ||||||
GNMA, Ser 2016-18, Cl TA | ||||||||
2.000%, 10/20/2044 | 610 | 604 | ||||||
GNMA, Ser 2016-23, Cl Cl, IO | ||||||||
3.500%, 04/20/2042 | 357 | 38 | ||||||
GNMA, Ser 2016-42, Cl El, IO | ||||||||
6.000%, 02/20/2046 | 275 | 58 | ||||||
GNMA, Ser 2016-99, Cl LI, IO | ||||||||
4.000%, 05/20/2029 | 752 | 69 | ||||||
GNMA, Ser 2017-107, CI JI, IO | ||||||||
4.000%, 03/20/2047 | 374 | 59 | ||||||
GNMA, Ser 2017-134, Cl Bl, IO | ||||||||
5.000%, 09/16/2047 | 257 | 54 | ||||||
GNMA, Ser 2017-182, Cl LZ | ||||||||
3.000%, 12/20/2047 | 103 | 96 | ||||||
GNMA, Ser 2017-2, CIAI, IO | ||||||||
5.000%, 01/16/2047 | 94 | 21 | ||||||
GNMA, Ser 2017-26, Cl IA, IO | ||||||||
5.500%, 02/16/2047 | 320 | 68 | ||||||
GNMA, Ser 2017-78, Cl AZ | ||||||||
3.000%, 05/20/2047 | 3 | 3 | ||||||
GNMA, Ser 2017-99, Cl I0, IO | ||||||||
4.000%, 07/20/2047 | 533 | 87 | ||||||
GNMA, Ser 2018-13, Cl DB | ||||||||
3.000%, 01/20/2048 | 484 | 495 | ||||||
GNMA, Ser 2018-77, CI JY | ||||||||
3.5000%, 06/20/2048
|
| 246
|
|
| 255
|
| ||
|
|
| ||||||
Total Mortgage-Backed Securities |
| 61,281 | ||||||
|
|
| ||||||
U.S. TREASURY OBLIGATION — 0.5% |
| |||||||
U.S. Treasury Inflation Protected Securities |
| |||||||
0.875%, 01/15/2029
|
| 330
|
|
| 347
|
| ||
|
|
| ||||||
Total U.S. Treasury Obligation |
| 347 | ||||||
|
|
|
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)
July 31, 2019
GNMA Fund(Concluded)
Description |
Face Amount |
Market Value | ||||||
REPURCHASE AGREEMENT — 19.0% |
| |||||||
Deutsche Bank | ||||||||
2.560%, dated 07/31/19, to be repurchased on 08/01/19, repurchased price $12,200,868 (collateralized by U.S. Treasury obligation, par value $12,340,900, 2.000%, 10/31/2021; with total market value $12,444,070) (C) | $ | 12,200 | $ | 12,200 | ||||
|
|
| ||||||
Total Repurchase Agreement |
| 12,200 | ||||||
|
|
| ||||||
Total Investments in Securities — 114.8% |
| $ | 73,828 | |||||
|
|
|
A list of the open futures contracts held by the Fund at July 31, 2019, is as follows:
Type of Contract | Number of Contracts Long/(Short) | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation (Depreciation) (Thousands) | |||||||||||||
U.S. 10-Year Treasury Note | (25) | Sep-2019 | $ | (3,187 | ) | $ | (3,186 | ) | $ | 1 | ||||||||
U.S. 2-Year Treasury Note | 2 | Oct-2019 | 430 | 429 | (1) | |||||||||||||
U.S. 5-Year Treasury Note | 29 | Oct-2019 | 3,384 | 3,409 | 25 | |||||||||||||
U.S. Long Treasury Bond | (1) | Sep-2019 | (153 | ) | (156 | ) | (3) | |||||||||||
Ultra 10-Year U.S. Treasury Note | (3) | Sep-2019 | (414 | ) | (414 | ) | – | |||||||||||
|
|
| ||||||||||||||||
$ | 60 | $ | 82 | $ | 22 | |||||||||||||
|
|
|
For the year ended July 31, 2019, 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 Net Assets of $64,298 ($ Thousands).
(A) | Variable or floating rate security, the interest rate of which adjusts periodically based on change in current interest rates and prepayments on the underlying pool of assets. |
(B) | Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(C) | 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, 2019 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 | $ | – | $ | 61,281 | $ | – | $ | 61,281 | ||||||||
U.S. Treasury Obligation | – | 347 | – | 347 | ||||||||||||
Repurchase Agreement | – | 12,200 | – | 12,200 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | $ | – | $ | 73,828 | $ | – | $ | 73,828 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments |
Level 1 |
Level 2 |
Level 3 |
Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | $ | 26 | $ | – | $ | – | $ | 26 | ||||||||
Unrealized Depreciation | (4 | ) | – | – | (4 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | $ | 22 | $ | – | $ | – | $ | 22 | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Futures Contracts are valued at the net unrealized appreciation (depreciation) on the instruments. |
For the year ended July 31, 2019, there were no transfers between Level 1, Level 2 and/or Level 3 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 $0.
The accompanying notes are an integral part of the financial statements.
34 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
(This page intentionally left blank)
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) ($ Thousands)
July 31, 2019
Government Fund | ||||
Assets: | ||||
Investments, at value† | $ | 3,753,719 | ||
Repurchase agreements† | 3,106,000 | |||
Cash | — | |||
Interest receivable | 3,289 | |||
Receivable for investment securities sold | — | |||
Receivable for fund shares sold | — | |||
Tax reclaim receivable | — | |||
Receivable for variation margin | — | |||
Prepaid expenses | 141 | |||
Total Assets | 6,863,149 | |||
Liabilities: | ||||
Cash overdraft | 147,491 | |||
Payable for investment securities purchased | 27,019 | |||
Income distribution payable | 5,983 | |||
Administration fees payable | 612 | |||
Investment advisory fees payable | 404 | |||
Chief Compliance Officer fees payable | 13 | |||
Trustees’ fees payable | 4 | |||
Shareholder servicing fees payable | — | |||
Payable for fund shares redeemed | — | |||
Payable for variation margin | — | |||
Accrued expense payable | 272 | |||
Total Liabilities | 181,798 | |||
Net Assets | $6,681,351 | |||
† Cost of investments and repurchase agreements | $6,859,719 | |||
Net Assets: | ||||
Paid-in Capital — (unlimited authorization — no par value) | $6,681,202 | |||
Total Distributable Earnings/(loss) | 149 | |||
Net Assets | $6,681,351 | |||
Net Asset Value, Offering and Redemption Price | $1.00 | |||
| ($6,660,955,410 ÷ 6,660,901,798 shares) |
| ||
Net Asset Value, Offering and Redemption Price | $1.00 | |||
| ($20,395,182 ÷ 20,388,438 shares) |
| ||
Net Asset Value, Offering and Redemption Price | N/A | |||
Amounts designated as “–” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
36 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Government II Fund | �� | Treasury II Fund | Ultra Short Duration Bond Fund | Short-Duration Government Fund | GNMA Fund | |||||||||||||
$ 2,130,553 | $ 500,594 | $ | 301,133 | $ | 684,568 | $ 61,628 | ||||||||||||
— | — | 6,900 | 77,800 | 12,200 | ||||||||||||||
5,469 | 4,136 | 483 | 92 | 789 | ||||||||||||||
550 | 108 | 952 | 1,820 | 202 | ||||||||||||||
— | — | — | 92,718 | 5,194 | ||||||||||||||
— | — | 351 | 516 | 50 | ||||||||||||||
— | — | 8 | — | — | ||||||||||||||
— | — | — | 21 | — | ||||||||||||||
32 | 9 | 3 | 12 | 1 | ||||||||||||||
2,136,604 | 504,847 | 309,830 | 857,547 | 80,064 | ||||||||||||||
— | — | — | — | — | ||||||||||||||
4,153 | — | 577 | 150,027 | 15,679 | ||||||||||||||
2,594 | 541 | 107 | 272 | 15 | ||||||||||||||
227 | 55 | 41 | 120 | 11 | ||||||||||||||
77 | 20 | 26 | 55 | 5 | ||||||||||||||
3 | 1 | — | 1 | — | ||||||||||||||
1 | 1 | — | 1 | — | ||||||||||||||
— | — | 17 | 65 | 13 | ||||||||||||||
— | — | 226 | 833 | 22 | ||||||||||||||
— | — | 6 | 326 | 6 | ||||||||||||||
62 | 20 | 16 | 37 | 15 | ||||||||||||||
7,117 | 638 | 1,016 | 151,737 | 15,766 | ||||||||||||||
$2,129,487 | $504,209 | $308,814 | $705,810 | $64,298 | ||||||||||||||
$2,130,553 | $500,594 | $307,306 | $760,614 | $72,643 | ||||||||||||||
$2,129,468 | $504,172 | $314,409 | $721,630 | $66,088 | ||||||||||||||
19 | 37 | (5,595 | ) | (15,820 | ) | (1,790 | ) | |||||||||||
$2,129,487 | $504,209 | $308,814 | $705,810 | $64,298 | ||||||||||||||
$1.00 | $1.00 | $9.35 | $10.32 | $10.41 | ||||||||||||||
| ($2,129,487,187 2,129,567,695 shares | ÷ ) | | ($504,209,099 504,320,606 shares | ÷ ) | | ($258,066,976 27,615,393 shares | ÷ ) | | ($656,788,893 63,670,471 shares | ÷ ) | | ($62,929,634 6,044,691 shares | ÷ ) | ||||
N/A | N/A | N/A | N/A | N/A | ||||||||||||||
| | |||||||||||||||||
N/A | N/A | $9.35 | $10.31 | $10.41 | ||||||||||||||
| ($50,746,681 ÷ 5,427,386 shares) |
| | ($49,021,602 ÷ 4,752,851 shares) |
| | ($1,368,818 ÷ 131,478 shares) | |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 37 |
STATEMENTS OF OPERATIONS (Unaudited) ($ Thousands)
For the six months ended July 31, 2019
Government Fund | Government II Fund | |||||||
Investment Income: | ||||||||
Interest income | $ | 96,175 | $ | 23,742 | ||||
Total investment income | 96,175 | 23,742 | ||||||
Expenses: | ||||||||
Administration fees | 4,606 | 1,441 | ||||||
Shareholder servicing fees — Class F Shares | 10,094 | 2,457 | ||||||
Shareholder servicing fees — Class CAA Shares | 26 | — | ||||||
Investment advisory fees | 2,827 | 689 | ||||||
Trustees’ fees | 84 | 19 | ||||||
Chief Compliance Officer fees | 24 | 6 | ||||||
Printing fees | 253 | 64 | ||||||
Custodian/Wire agent fees | 140 | 33 | ||||||
Registration fees | 120 | 16 | ||||||
Pricing fees | 30 | 6 | ||||||
Other expenses | 253 | 59 | ||||||
Total expenses | 18,457 | 4,790 | ||||||
Less, waiver of: | ||||||||
Investment advisory fees | — | (246 | ) | |||||
Administration fees | (267 | ) | (116 | ) | ||||
Shareholder servicing fees | (10,120 | ) | (2,457 | ) | ||||
Net expenses | 8,070 | 1,971 | ||||||
Net Investment Income | 88,105 | 21,771 | ||||||
Net Realized Gain (Loss) on/from: | ||||||||
Investments | 141 | 30 | ||||||
Futures contracts | — | — | ||||||
Net change in unrealized appreciation(depreciation) on/from: | ||||||||
Investments | — | — | ||||||
Futures contracts | — | — | ||||||
Net Increase in Net Assets Resulting from Operations | $ | 88,246 | $ | 21,801 |
Amounts designated as “–“ are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
38 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Treasury II Fund | Ultra Short Duration Bond Fund | Short-Duration Government Fund | GNMA Fund | |||||||||||
$ 6,188 | $ 4,561 | $ 8,229 | $ 985 | |||||||||||
6,188 | 4,561 | 8,229 | 985 | |||||||||||
389 | 305 | 691 | 64 | |||||||||||
648 | 319 | 803 | 79 | |||||||||||
— | — | — | — | |||||||||||
181 | 152 | 316 | 29 | |||||||||||
5 | 3 | 7 | 1 | |||||||||||
2 | 1 | 2 | — | |||||||||||
16 | 10 | 22 | 2 | |||||||||||
9 | 5 | 12 | 1 | |||||||||||
5 | 3 | 6 | 1 | |||||||||||
2 | 22 | 48 | — | |||||||||||
17 | 9 | 22 | 7 | |||||||||||
1,274 | 829 | 1,929 | 184 | |||||||||||
(65) | — | — | — | |||||||||||
(42) | (50 | ) | — | — | ||||||||||
(648) | (217 | ) | (305 | ) | — | |||||||||
519 | 562 | 1,624 | 184 | |||||||||||
5,669 | 3,999 | 6,605 | 801 | |||||||||||
26 | 64 | 1,181 | 448 | |||||||||||
— | (45 | ) | (1,772 | ) | (169 | ) | ||||||||
— | 1,324 | 5,756 | 1,143 | |||||||||||
— | (2 | ) | 1,330 | 44 | ||||||||||
$ 5,695 | $ 5,340 | $ 13,100 | $ 2,267 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 39 |
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the six months ended July 31, 2019 (Unaudited) and the year ended January 31, 2019
Government Fund | ||||||||||
2/1/19 - 7/31/19 | 2019 | |||||||||
Operations: | ||||||||||
Net investment Income | $ | 88,105 | $ | 130,308 | ||||||
Net realized qain (loss) on investments | 141 | 53 | ||||||||
Net increase in net assets resulting from operations | 88,246 | 130,361 | ||||||||
Distributions: | ||||||||||
Net investment income | ||||||||||
Class F | (87,870 | ) | (129,893 | ) | ||||||
Class CAA | (229 | ) | (416 | ) | ||||||
Total distributions | (88,099 | ) | (130,309 | ) | ||||||
Capital Share Transactions (All at $1.00 per share) | ||||||||||
Class F: | ||||||||||
Proceeds from shares issued | 24,757,181 | 56,197,301 | ||||||||
Reinvestment of dividends & distributions | 51,287 | 69,715 | ||||||||
Cost of shares redeemed | (28,216,397 | ) | (53,476,095 | ) | ||||||
Net increase (decrease) from Class F Transactions | (3,407,929 | ) | 2,790,921 | |||||||
Class CAA: | ||||||||||
Proceeds from shares issued | 10,786 | 44,873 | ||||||||
Reinvestment of dividends & distributions | 229 | 416 | ||||||||
Cost of shares redeemed | (12,233 | ) | (55,202 | ) | ||||||
Net decrease from Class CAA Transactions | (1,218 | ) | (9,913 | ) | ||||||
Net increase (decrease) in net assets from capital shares transactions | (3,409,147 | ) | 2,781,008 | |||||||
Net increase (decrease) in net assets | (3,409,000 | ) | 2,781,060 | |||||||
Net Assets: | ||||||||||
Beginning of period | 10,090,351 | 7,309,291 | ||||||||
End of period | $ | 6,681,351 | $ | 10,090,351 |
Amounts designated as “–” are $0 or have been rounded to $0.
N/A — Not applicable.
The accompanying notes are an integral part of the financial statements.
40 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Government II Fund | Treasury II Fund | |||||||||||||
2/1/19 - 7/31/19 | 2019 | 2/1/19 - 7/31/19 | 2019 | |||||||||||
$ | 21,771 | $ | 31,348 | $ | 5,669 | $ | 9,598 | |||||||
30 | (29) | 26 | (3) | |||||||||||
21,801 | 31,319 | 5,695 | 9,595 | |||||||||||
(21,776) | (31,343) | (5,670) | (9,596) | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
(21,776) | (31,343) | (5,670) | (9,596) | |||||||||||
2,913,727 | 6,060,650 | 746,669 | 1,643,367 | |||||||||||
5,951 | 9,854 | 2,268 | 4,071 | |||||||||||
(2,599,055) | (6,439,402) | (839,668) | (1,606,234) | |||||||||||
320,623 | (368,898) | (90,731) | 41,204 | |||||||||||
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 | |||||||||||
320,623 | (368,898) | (90,731) | 41,204 | |||||||||||
320,648 | (368,922) | (90,706) | 41,203 | |||||||||||
1,808,839 | 2,177,761 | 594,915 | 553,712 | |||||||||||
$ | 2,129,487 | $ | 1,808,839 | $ | 504,209 | $ | 594,915 |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 41 |
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the six months ended July 31, 2019 (Unaudited) and the year ended January 31, 2019
Ultra Short Duration Bond Fund | ||||||||
2/1/19 - 7/31/19 | 2019 | |||||||
Operations: | ||||||||
Net investment income | $ | 3,999 | $ | 6,579 | ||||
Net realized gain (loss) on investments, futures contracts, and options contracts | 19 | (204) | ||||||
Net change in unrealized appreciation (depreciation) on investments and futures contracts | 1,322 | (169) | ||||||
Net increase in net assets resulting from operations | 5,340 | 6,206 | ||||||
Distributions: | ||||||||
Net investment income | ||||||||
Class F | (3,381) | (5,697) | ||||||
Class Y | (677) | (1,106) | ||||||
Total distributions | (4,058) | (6,803) | ||||||
Capital share transactions: | ||||||||
Class F: | ||||||||
Proceeds from shares issued | 46,227 | 104,875 | ||||||
Reinvestment of dividends & distributions | 2,723 | 4,651 | ||||||
Cost of shares redeemed | (48,330) | (114,672) | ||||||
Net increase (decrease) from Class F transactions | 620 | (5,146) | ||||||
Class Y: | ||||||||
Proceeds from shares issued | 2,578 | 7,750 | ||||||
Reinvestment of dividends & distributions | 667 | 1,091 | ||||||
Cost of shares redeemed | (2,276) | (7,314) | ||||||
Net increase (decrease) from Class Y transactions | 969 | 1,527 | ||||||
Net Increase (Decrease) in net assets from capital share transactions | 1,589 | (3,619) | ||||||
Net increase (decrease) in net assets | 2,871 | (4,216) | ||||||
Net Assets: | ||||||||
Beginning of period | 305,943 | 310,159 | ||||||
End of period | $ | 308,814 | $ | 305,943 | ||||
Capital Share Transactions: | ||||||||
Class F | ||||||||
Shares issued | 4,954 | 11,275 | ||||||
Reinvestment of distributions | 292 | 500 | ||||||
Shares redeemed | (5,179) | (12,327) | ||||||
Net increase (decrease) in shares outstanding from Class F Share transactions | 67 | (552) | ||||||
Class Y | ||||||||
Shares issued | 276 | 833 | ||||||
Reinvestment of distributions | 71 | 117 | ||||||
Shares redeemed | (244) | (786) | ||||||
Net increase (decrease) in shares outstanding from Class Y Share transactions | 103 | 164 | ||||||
Total increase (decrease) in shares outstanding from share transactions | 170 | (388) |
Amounts designated as “–” are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
42 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Short-Duration Government Fund | GNMA Fund | |||||||||||||
2/1/19 - 7/31/19 | 2019 | 2/1/19 - 7/31/19 | 2019 | |||||||||||
$ | 6,605 | $ | 12,426 | $ | 801 | $ | 1,646 | |||||||
(591) | (3,701 | ) | 279 | (469) | ||||||||||
7,086 | 1,743 | 1,187 | 269 | |||||||||||
13,100 | 10,468 | 2,267 | 1,446 | |||||||||||
(6,446) | (12,830 | ) | (895) | (1,924) | ||||||||||
(528) | (1,009 | ) | (20) | (3) | ||||||||||
(6,974) | (13,839 | ) | (915) | (1,927) | ||||||||||
92,904 | 178,593 | 9,002 | 21,857 | |||||||||||
4,861 | 9,611 | 792 | 1,654 | |||||||||||
(88,997) | (239,485 | ) | (13,600) | (33,197) | ||||||||||
8,768 | (51,281 | ) | (3,806) | (9,686) | ||||||||||
2,942 | 12,419 | 1,004 | 1,260 | |||||||||||
514 | 996 | 19 | 3 | |||||||||||
(4,819) | (14,730 | ) | (1,006) | (19) | ||||||||||
(1,363) | (1,315 | ) | 17 | 1,244 | ||||||||||
7,405 | (52,596 | ) | (3,789) | (8,442) | ||||||||||
13,531 | (55,967 | ) | (2,437) | (8,923) | ||||||||||
692,279 | 748,246 | 66,735 | 75,658 | |||||||||||
$ | 705,810 | $ | 692,279 | $ | 64,298 | $ | 66,735 | |||||||
9,037 | 17,489 | 878 | 2,156 | |||||||||||
472 | 941 | 77 | 164 | |||||||||||
(8,661) | (23,443 | ) | (1,322) | (3,287) | ||||||||||
848 | (5,013 | ) | (367) | (967) | ||||||||||
286 | 1,217 | 98 | 124 | |||||||||||
50 | 98 | 2 | — | |||||||||||
(469) | (1,443 | ) | (98) | (2) | ||||||||||
(133) | (128 | ) | 2 | 122 | ||||||||||
715 | (5,141 | ) | (365) | (845) |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 43 |
For the six months ended July 31, 2019 (Unaudited) and the years ended January 31,
For a Share Outstanding Throughout the Year or Period
Net Asset of Period | Net Investment Income* | Net Realized and Unrealized Gains (Losses) on Securities | Total from Operations | Dividends from Net Investment Income | 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 Assets Waivers) |
Ratio of Net Investment Income to Assets | |||||||||||||||||||||||||||||||||||||
Government Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||
2019@ | $ | 1.00 | $ | 0.01 | $ | – | $ | 0.01 | $ | (0.01 | ) | $ | (0.01 | ) | $ | 1.00 | 1.09% | $ | 6,660,956 | 0.20% | 0.46% | 2.18% | ||||||||||||||||||||||||||
2019 | 1.00 | 0.02 | – | 0.02 | (0.02) | (0.02) | 1.00 | 1.70 | 10,068,739 | 0.20 | 0.46 | 1.72 | ||||||||||||||||||||||||||||||||||||
2018 | 1.00 | 0.01 | – | 0.01 | (0.01) | (0.01) | 1.00 | 0.74 | 7,277,766 | 0.20 | 0.45 | 0.74 | ||||||||||||||||||||||||||||||||||||
2017 | 1.00 | – | – | – | –(2) | –(2) | 1.00 | 0.19 | 7,875,681 | 0.20 | 0.56 | 0.21 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class CAA | ||||||||||||||||||||||||||||||||||||||||||||||||
2019@ | $ | 1.00 | $ | 0.01 | $ | – | $ | 0.01 | $ | (0.01) | $ | (0.01) | $ | 1.00 | 1.09% | $ | 20,395 | 0.20% | 0.46% | 2.18% | ||||||||||||||||||||||||||||
2019 | 1.00 | 0.02 | – | 0.02 | (0.02) | (0.02) | 1.00 | 1.70 | 21,612 | 0.20 | 0.46 | 1.65 | ||||||||||||||||||||||||||||||||||||
2018 | 1.00 | 0.01 | – | 0.01 | (0.01) | (0.01) | 1.00 | 0.74 | 31,525 | 0.20 | 0.45 | 0.74 | ||||||||||||||||||||||||||||||||||||
2017 | 1.00 | – | – | – | –(2) | –(2) | 1.00 | 0.19 | 26,885 | 0.20 | 0.32 | 0.18 | ||||||||||||||||||||||||||||||||||||
2016(3) | 1.00 | – | – | – | –(2) | –(2) | 1.00 | 0.01 | 36,003 | 0.18 | 0.58 | 0.06 | ||||||||||||||||||||||||||||||||||||
Government II Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||
Class F |
| |||||||||||||||||||||||||||||||||||||||||||||||
2019@ | $ | 1.00 | $ | 0.01 | $ | – | $ | 0.01 | $ | (0.01) | $ | (0.01) | $ | 1.00 | 1.10% | $ | 2,129,487 | 0.20% | 0.49% | 2.21% | ||||||||||||||||||||||||||||
2019 | 1.00 | 0.02 | – | 0.02 | (0.02) | (0.02) | 1.00 | 1.76 | 1,808,839 | 0.20 | 0.49 | 1.73 | ||||||||||||||||||||||||||||||||||||
2018 | 1.00 | 0.01 | – | 0.01 | (0.01) | (0.01) | 1.00 | 0.76 | 2,177,761 | 0.20 | 0.49 | 0.76 | ||||||||||||||||||||||||||||||||||||
2017 | 1.00 | – | – | – | –(2) | –(2) | 1.00 | 0.19 | 2,051,398 | 0.20 | 0.53 | 0.19 | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Treasury II Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||
2019@ | $ | 1.00 | $ | 0.01 | $ | – | $ | 0.01 | $ | (0.01) | $ | (0.01) | $ | 1.00 | 1.09% | $ | 504,209 | 0.20% | 0.49% | 2.19% | ||||||||||||||||||||||||||||
2019 | 1.00 | 0.02 | – | 0.02 | (0.02) | (0.02) | 1.00 | 1.75 | 594,915 | 0.20 | 0.49 | 1.73 | ||||||||||||||||||||||||||||||||||||
2018 | 1.00 | 0.01 | – | 0.01 | (0.01) | (0.01) | 1.00 | 0.74 | 553,712 | 0.20 | 0.50 | 0.75 | ||||||||||||||||||||||||||||||||||||
2017 | 1.00 | – | – | – | –(2) | –(2) | 1.00 | 0.15 | 523,306 | 0.20 | 0.58 | 0.14 | ||||||||||||||||||||||||||||||||||||
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 |
* | Per share calculations were performed using average shares. |
@ | For the six month period ended July 31, 2019. 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 theone-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 $0.01 per share. |
(3) | Commenced operations on November 20, 2015. All ratios for the period have been annualized. |
Amounts designated as “–’’ are zero or have been rounded to zero
44 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
FINANCIAL HIGHLIGHTS
For the six months ended July 31, 2019 (Unaudited) and the years ended January 31,
For a Share Outstanding Throughout the Year or Period
Net Asset Value, Beginning of Period | Net Investment Income* | Net Realized and Unrealized Gains (Losses) on Securities | Total from Operations | Dividends from Net Investment Income | Distributions from Realized Capital | Total Dividends and Distributions | Net Asset of Period | Total Return† | Net Assets End of Period ($ Thousands) | Ratio of Expenses to Average Net Assets | Ratio of Average |
Ratio of Net to Average | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||||||||||||
Ultra Short Duration Bond Fund |
| |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019@ | $ | 9.31 | $ | 0.12 | $ | 0.04 | $ | 0.16 | $ | (0.12 | ) | $ | – | $ | (0.12 | ) | $ | 9.35 | 1.76% | $ | 258,067 | 0.38% | 0.58% | 2.61% | 34% | |||||||||||||||||||||||||||||||
2019 | 9.32 | 0.20 | – | 0.20 | (0.21 | ) | – | (0.21 | ) | 9.31 | 2.13 | 256,372 | 0.38 | 0.59 | 2.15 | 71 | ||||||||||||||||||||||||||||||||||||||||
2018 | 9.31 | 0.13 | 0.02 | 0.15 | (0.14 | ) | – | (0.14 | ) | 9.32 | 1.58 | 262,023 | 0.38 | 0.59 | 1.38 | 59 | ||||||||||||||||||||||||||||||||||||||||
2017 | 9.29 | 0.09 | 0.03 | 0.12 | (0.10 | ) | – | (0.10 | ) | 9.31 | 1.33 | 264,997 | 0.38 | 0.68 | 0.99 | 89 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019@ | $ | 9.31 | $ | 0.12 | $ | 0.05 | $ | 0.17 | $ | (0.13 | ) | $ | – | $ | (0.13 | ) | $ | 9.35 | 1.80% | $ | 50,747 | 0.30% | 0.33% | 2.69% | 34% | |||||||||||||||||||||||||||||||
2019 | 9.33 | 0.21 | (0.02 | ) | 0.19 | (0.21 | ) | – | (0.21 | ) | 9.31 | 2.11 | 49,571 | 0.30 | 0.34 | 2.23 | 71 | |||||||||||||||||||||||||||||||||||||||
2018 | 9.32 | 0.14 | 0.01 | 0.15 | (0.14 | ) | – | (0.14 | ) | 9.33 | 1.67 | 48,136 | 0.30 | 0.34 | 1.46 | 59 | ||||||||||||||||||||||||||||||||||||||||
2017 | 9.29 | 0.10 | 0.04 | 0.14 | (0.11 | ) | – | (0.11 | ) | 9.32 | 1.52 | 45,048 | 0.30 | 0.43 | 1.06 | 89 | ||||||||||||||||||||||||||||||||||||||||
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 F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019@ | $ | 10.22 | $ | 0.10 | $ | 0.10 | $ | 0.20 | $ | (0.10 | ) | $ | – | $ | (0.10 | ) | $ | 10.32 | 1.99% | $ | 656,789 | 0.48% | 0.58% | 1.90% | 73% | |||||||||||||||||||||||||||||||
2019 | 10.27 | 0.18 | (0.03 | ) | 0.15 | (0.20 | ) | – | (0.20 | ) | 10.22 | 1.48 | 642,331 | 0.48 | 0.58 | 1.75 | 86 | |||||||||||||||||||||||||||||||||||||||
2018 | 10.43 | 0.15 | (0.14 | ) | 0.01 | (0.17 | ) | – | (0.17 | ) | 10.27 | 0.13 | 696,751 | 0.48 | 0.59 | 1.42 | 169 | |||||||||||||||||||||||||||||||||||||||
2017 | 10.49 | 0.10 | (0.04 | ) | 0.06 | (0.12 | ) | – | (0.12 | ) | 10.43 | 0.54 | 796,540 | 0.48 | 0.67 | 0.91 | 539 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019@ | $ | 10.22 | $ | 0.10 | $ | 0.10 | $ | 0.20 | $ | (0.11 | ) | $ | – | $ | (0.11 | ) | $ | 10.31 | 1.96% | $ | 49,021 | 0.33% | 0.33% | 2.05% | 73% | |||||||||||||||||||||||||||||||
2019 | 10.27 | 0.19 | (0.03 | ) | 0.16 | (0.21 | ) | – | (0.21 | ) | 10.22 | 1.63 | 49,948 | 0.33 | 0.33 | 1.91 | 86 | |||||||||||||||||||||||||||||||||||||||
2018 | 10.43 | 0.16 | (0.13 | ) | 0.03 | (0.19 | ) | – | (0.19 | ) | 10.27 | 0.27 | 51,495 | 0.34 | 0.34 | 1.56 | 169 | |||||||||||||||||||||||||||||||||||||||
2017 | 10.49 | 0.11 | (0.04 | ) | 0.07 | (0.13 | ) | – | (0.13 | ) | 10.43 | 0.64 | 48,808 | 0.38 | 0.43 | 1.02 | 539 | |||||||||||||||||||||||||||||||||||||||
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 F | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019@ | $ | 10.20 | $ | 0.13 | $ | 0.23 | $ | 0.36 | $ | (0.15 | ) | $ | – | $ | (0.15 | ) | $ | 10.41 | 3.51% | $ | 62,929 | 0.58% | 0.58% | 2.49% | 84% | |||||||||||||||||||||||||||||||
2019 | 10.24 | 0.25 | – | 0.25 | (0.29 | ) | – | (0.29 | ) | 10.20 | 2.54 | 65,412 | 0.58 | 0.58 | 2.48 | 134 | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.47 | 0.24 | (0.18 | ) | 0.06 | (0.29 | ) | – | (0.29 | ) | 10.24 | 0.58 | 75,582 | 0.60 | 0.60 | 2.32 | 204 | |||||||||||||||||||||||||||||||||||||||
2017 | 10.82 | 0.16 | (0.16 | ) | 0.00 | (0.21 | ) | (0.14 | ) | (0.35 | ) | 10.47 | 0.04 | 116,057 | 0.63 | 0.67 | 1.48 | 718 | ||||||||||||||||||||||||||||||||||||||
2016 | 10.93 | 0.15 | 0.02 | 0.17 | (0.19 | ) | (0.09 | ) | (0.28 | ) | 10.82 | 1.65 | 122,040 | 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 | ||||||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2019@ | $ | 10.20 | $ | 0.14 | $ | 0.22 | $ | 0.36 | $ | (0.15 | ) | $ | – | $ | (0.15 | ) | $ | 10.41 | 3.58% | $ | 1,369 | 0.33% | 0.33% | 2.74% | 84% | |||||||||||||||||||||||||||||||
2019 | 10.23 | 0.29 | – | 0.29 | (0.32 | ) | – | (0.32 | ) | 10.20 | 2.88 | 1,323 | 0.32 | 0.32 | 2.84 | 134 | ||||||||||||||||||||||||||||||||||||||||
2018 | 10.46 | 0.27 | (0.18 | ) | 0.09 | (0.32 | ) | – | (0.32 | ) | 10.23 | 0.82 | 76 | 0.36 | 0.36 | 2.56 | 204 | |||||||||||||||||||||||||||||||||||||||
2017 | 10.81 | 0.18 | (0.15 | ) | 0.03 | (0.24 | ) | (0.14 | ) | (0.38 | ) | 10.46 | 0.25 | 47 | 0.42 | 0.43 | 1.69 | 718 | ||||||||||||||||||||||||||||||||||||||
2016(3) | 10.76 | 0.02 | 0.11 | 0.13 | (0.06 | ) | (0.02 | ) | (0.08 | ) | 10.81 | 1.26 | 69 | 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, 2019. All ratios for the period have been annualized. |
(1) | Commenced operations on August 25, 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, 2019 | 45 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)
July 31, 2019
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 six operational Funds: the Government, Government II, 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 F 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.
The Treasury Fund liquidated all assets on June 27, 2019.
2. SIGNIFICANT ACCOUNTING POLICIES
The following are significant accounting policies, which are consistently followed in the preparation of its financial statements by the Funds. The Funds are investment companies that apply the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).
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 Money Market Funds’ use of amortized cost is subject to its compliance with certain conditions as specified by Rule2a-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 beende-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, 2019, 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
46 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
would use in pricing the asset or liability based on the best information available in the circumstances.
The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;
Level 2 — Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and
Level 3 — Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).
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 fiscal year ended July 31, 2019, 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 theex-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 intri-party repurchase agreements. Securities held as collateral fortri-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, 2019, if applicable.
Futures Contracts — To the extent consistent with its investment objective and strategies, the Fixed Income Funds utilized futures contracts during the period ended July 31, 2019. 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, 2019 | 47 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
July 31, 2019
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, 2019, 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 atwo-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 aremarked-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, 2019.
Options Written/Purchased — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options contracts to add return
48 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
or to hedge their existing portfolio securities. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing or writing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. There were no outstanding options contracts as of July 31, 2019.
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 year, the Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings that could not be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption there from. In addition, the Funds had generally agreed to further restrictions
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 49 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
July 31, 2019
on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of those investments. These investments were valued at amortized cost, which approximates fair value, as determined in accordance with the procedures approved by the Board of Trustees. At July 31, 2019, the Funds did not own any restricted securities except for those designated as 144A on the schedules of investments.
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.
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 services may receive compensation thereof.
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 Money Market Funds’ Administrator and/or the Distributor have contractually agreed to waive fees or reimburse expenses for each Money Market Fund until May 31, 2020, in order to keep total fund operating expenses (exclusive of interest from borrowings, brokerage commissions, trustees’ fees, taxes and other extraordinary expenses not incurred in the ordinary course of the Fund’s business) from exceeding the levels specified in the table below. These contractual waivers and reimbursements will only apply if a Money Market Fund’s total operating costs exceed the applicable thresholds and will not affect the Money Market Fund’s total operating costs if they are less than the applicable thresholds. In other words, shareholders will pay the lower of a Money Market Fund’s actual total fund operating expenses or total fund operating expenses after contractual waivers and expense reimbursements. The contractual waiver and expense reimbursement are limited to the Money Market Fund’s direct operating expenses and, therefore, do not apply to indirect expenses incurred by a fund, such as acquired fund fees and expenses (“AFFE”). The agreement may be amended or terminated only with the consent of the Board of Trustees.
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 Fixed Income Funds’ Adviser, Administrator and/or Distributor are limited to the Fixed Income 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 Fixed Income 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.
50 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
The following is a summary of annual fees payable to the Adviser, and Distributor and the expense limitations for each fund:
Advisory Fees | Shareholder Servicing Fees | Expense Limitations | ||||
Government Fund | ||||||
Class F | 0.07% | 0.25% | 0.20%(3) | |||
Class CAA | 0.07% | 0.25% | 0.20%(3) | |||
Government II Fund | ||||||
Class F | 0.07% | 0.25% | 0.20%(2) | |||
Treasury II Fund | ||||||
Class F | 0.07% | 0.25% | 0.20%(2) | |||
Ultra Short Duration Bond Fund | ||||||
Class F | 0.10%(4) | 0.25% | 0.38%(1) | |||
Class Y | 0.10%(4) | –% | 0.30%(1) | |||
Short-Duration Government Fund | ||||||
Class F | 0.09%(5) | 0.25% | 0.48%(1) | |||
Class Y | 0.09%(5) | –% | 0.38%(1) | |||
GNMA Fund | ||||||
Class F | 0.09%(5) | 0.25% | 0.63%(1) | |||
Class Y | 0 09%(5) | –% | 0 43%(1) |
(1) | Represents a voluntary cap that may be discontinued at any time. |
(2) | Represents a contractual cap effective through May 31, 2020, to be changed only by board approval. |
(3) | Represents a contractual cap of .25%, effective through May 31, 2020, to be changed only by Board approval. In addition, management has voluntarily waived fees to a cap of .20% 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. |
The following is a summary of annual fees payable to the Administrator:
Administration Fees | ||||||||||||||||||||
First $1.5 Billion of Assets | Next $500 Million of Assets | Next $500 Million of Assets | Next $500 Million of Assets | Over $3 Billion of Assets | ||||||||||||||||
Government Fund | 0.150% | 0.1375% | 0.1250% | 0.1125% | 0.100% | |||||||||||||||
Government II Fund | 0.150% | 0.1375% | 0.1250% | 0.1125% | 0.100% | |||||||||||||||
Treasury II Fund | 0.150% | 0.1375% | 0.1250% | 0.1125% | 0.100% | |||||||||||||||
Ultra Short Duration Bond Fund | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% | |||||||||||||||
Short-Duration Government Fund | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% | |||||||||||||||
GNMA Fund | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% |
The Distributor has voluntarily waived all or a portion of the shareholder servicing fees for Class F 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 theone-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, 2019.
Pursuant to the “manager of managers” structure, the Board of Trustees approved BlackRock Advisors, LLC assub-adviser to the Money Market Funds, MetLife Investment Management, LLC. serves as asub-adviser
to the Ultra Short Duration Bond Fund and Wellington Management Company, LLP (“Wellington LLP”) serves assub-adviser to the Fixed Income Funds. Eachsub-adviser is party to an investmentsub-advisory agreement with the Advisor. For its services to the Funds, thesub-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
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 51 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
July 31, 2019
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 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, 2019, 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, 2019, were as follows for the Fixed Income Funds:
U.S. Gov’t ($ Thousands) |
Other ($ Thousands) |
Total ($ Thousands) | ||||||||||
Ultra Short Duration Bond Fund |
| |||||||||||
Purchases | $ | 7,226 | $ | 58,563 | $ | 65,789 | ||||||
Sales | 8,115 | 51,948 | 60,063 | |||||||||
Short-Duration Government Fund |
| |||||||||||
Purchases | 511,368 | – | 511,368 | |||||||||
Sales | 462,748 | – | 462,748 | |||||||||
GNMA Fund |
| |||||||||||
Purchases | 53,004 | – | 53,004 | |||||||||
Sales | 58,571 | – | 58,571 |
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 toPaid-in Capital, undistributed net investment income, or accumulated net realized gain, as appropriate, in the periods that the differences arise.
52 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
The tax character of dividends and distributions during the last two fiscal years was as follows:
Ordinary Income | Total ($ Thousands) | |||||||||||
Government Fund | ||||||||||||
2019 | $ | 130,309 | $ | 130,309 | ||||||||
2018 | 56,626 | 56,626 | ||||||||||
Government II Fund | ||||||||||||
2019 | 31,343 | 31,343 | ||||||||||
2018 | 15,370 | 15,370 | ||||||||||
Treasury II Fund | ||||||||||||
2019 | 9,596 | 9,596 | ||||||||||
2018 | 4,142 | 4,142 | ||||||||||
Ultra Short Duration Bond Fund | ||||||||||||
2019 | 6,803 | 6,803 | ||||||||||
2018 | 4,570 | 4,570 | ||||||||||
Short-Duration Government Fund | ||||||||||||
2019 | 13,839 | 13,839 | ||||||||||
2018 | 13,434 | 13,434 | ||||||||||
GNMA Fund | ||||||||||||
2019 | 1,927 | 1,927 | ||||||||||
2018 | 2,737 | 2,737 |
As of January 31, 2019, the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:
Undistributed | Undistributed ($ Thousands) | Capital Loss Carryforwards ($ Thousands) | Post- October Losses ($ Thousands) | Late Year Ordinary Losses ($ Thousands) | Unrealized Appreciation (Depreciation) ($ Thousands) | Other Temporary Differences ($ Thousands) | Total Distributable Earnings (Accumulated Losses) ($ Thousands) | |||||||||||||||||||||||||
Government Fund | $ | 18,598 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (18,596 | ) | $ | 2 | |||||||||||||||
Government II Fund | 3,491 | — | (29 | ) | — | — | — | (3,468 | ) | (6 | ) | |||||||||||||||||||||
Treasury II Fund | 1,089 | — | (6 | ) | — | — | — | (1,071 | ) | 12 | ||||||||||||||||||||||
Ultra Short Duration Bond Fund | 699 | — | (6,251 | ) | — | — | (629 | ) | (696 | ) | (6,877 | ) | ||||||||||||||||||||
Short-Duration Government Fund | 1,623 | — | (17,336 | ) | — | — | (5,207 | ) | (1,026 | ) | (21,946 | ) | ||||||||||||||||||||
GNMA Fund | 159 | — | (3,171 | ) | — | — | 24 | (154 | ) | (3,142 | ) |
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, 2019, the Government Fund utilized $38,668 of capital loss carryforwards to offset capital gains.
At January 31, 2019, the following Funds had capital loss carryforwards to offset future realized capital gains:
Short-Term Loss ($ Thousands) | Long-Term Loss ($ Thousands) | Total ($ Thousands) | ||||||||||
Government II Fund | $ | 29 | $ | – | $ | 29 | ||||||
Treasury II Fund | 6 | – | 6 | |||||||||
Ultra Short Duration Bond Fund | 120 | 6,131 | 6,251 | |||||||||
Short-Duration Government Fund | 4,061 | 13,275 | 17,336 | |||||||||
GNMA Fund | 2,521 | 650 | 3,171 |
Post October losses represent losses realized on investment transactions from November 1, 2018 through December 31, 2018 that, in accordance with Federal
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 53 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
July 31, 2019
income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year.
During the period ended July 31, 2019, 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, 2019, 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 (including foreign currency and derivatives, if applicable) held by the Fixed Income Funds at July 31, 2019, were as follows:
Federal Tax Cost ($ Thousands) | Appreciated Securities ($ Thousands) | Depreciated Securities ($ Thousands) | Net Unrealized (Depreciation) ($ Thousands) | |||||||||||||
Ultra Short Duration Bond Fund | $ 307,306 | $ 1,016 | $ (289 | ) | $ (727) | |||||||||||
Short-Duration Government Fund | 760,614 | 3,100 | (1,346 | ) | 1,754 | |||||||||||
GNMA Fund | 72,643 | 1,385 | (200 | ) | 1,185 |
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, 2019, 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. CONCENTRATION/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.
The following is not intended to be a complete discussion of the risks associated with investing in a fund. Please review each Fund’s prospectus for additional disclosures regarding principal risks associated with investing in a fund.
Asset-Backed Securities Risk — The Ultra Short Duration Bond Fund is subject to asset-backed securities
risk, whereas payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities. Securitization trusts generally do not have any assets or sources of funds other than the receivables and related property they own, and asset-backed securities are generally not insured or guaranteed by the related sponsor or any other entity. Asset-backed securities may be more illiquid than more conventional types of fixed income securities that the Fund may acquire.
Commercial Paper Risk — The Ultra Short Duration Bond Fund is subject to commercial paper risk. Commercial paper is a short-term obligation with a maturity generally ranging from one to 270 days and is issued by U.S. or foreign companies or other entities in order to finance their current operations. Such investments are unsecured and usually discounted from their value at maturity. The value of commercial paper may be affected by changes in the credit rating or financial condition of the issuing entities and will tend to fall when interest rates rise and rise when interest rates fall. Asset-backed commercial paper may be issued by structured investment vehicles or other conduits that are organized to issue the commercial paper and to purchase trade receivables or other financial assets. The repayment of asset-backed commercial paper depends primarily on the cash collections received from such an issuer’s underlying asset portfolio and the issuer’s ability to issue new asset-backed commercial paper.
Corporate Fixed Income Risk — The Ultra Short Duration Bond Fund is subject to corporate fixed income risk. Corporate fixed income securities respond to economic developments, especially changes in interest rates, as well as to perceptions of the creditworthiness and business prospects of individual issuers.
Credit Risk — The Funds are all subject to the risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.
Derivatives Risk — The Fixed Income Funds’ use of futures contracts and forward contracts is subject to market risk, leverage risk, correlation risk and liquidity risk. Leverage risk, liquidity risk and market risk are described below. Manyover-the-counter (“OTC”) derivative instruments will not have liquidity beyond the counterparty to the instrument. Correlation risk is the risk that changes in the value of the derivative instrument may not correlate perfectly with the underlying asset, rate or index. The Fund’s use of forward contracts is also subject to credit risk and valuation risk. Valuation risk is the risk that the derivative may be difficult to value and/or valued incorrectly. Credit risk is described above. Each of these risks could cause the Fund
54 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
to lose more than the principal amount invested in a derivative instrument. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment. The other parties to certain derivative contracts present the same types of credit risk as issuers of fixed income securities. The Fixed Income Funds’ use of derivatives may also increase the amount of taxes payable by shareholders. Both U.S. andnon-U.S. regulators are in the process of adopting and implementing regulations governing derivatives markets, the ultimate impact of which remains unclear.
Duration Risk — The longer-term securities in which the Fixed Income Funds may invest tend to be more volatile than shorter-term securities. A portfolio with a longer average portfolio duration is more sensitive to changes in interest rates than a portfolio with a shorter average portfolio duration.
Extension Risk — The Funds are subject to the risk that rising interest rates may extend the duration of a fixed income security, typically reducing the security’s value.
Market Risk — The prices of the Funds’ fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, the Funds’ fixed income securities will decrease in value if interest rates rise and vice versa. In a low interest rate environment, risks associated with rising rates are heightened. Declines in dealer market-making capacity as a result of structural or regulatory changes could decrease liquidity and/or increase volatility in the fixed income markets. In the case of foreign securities, price fluctuations will reflect international economic and political events, as well as changes in currency valuations relative to the U.S. dollar. In response to these events, the Funds’ value may fluctuate and/or the Funds may experience increased redemptions from shareholders, which may impact the Funds’ liquidity or force the Funds to sell securities into a declining or illiquid market.
Foreign Issuer Risk — The Ultra Short Duration Bond Fund is subject to the risk that issuers in foreign countries face political and economic events unique to such countries. These events will not necessarily affect the U.S. economy or similar issuers located in the U.S.
Interest Rate Risk — The Money Market Funds’ are subject to the risk that the Fund’s yield will decline due to falling interest rates. A rise in interest rates typically causes a fall in the value of fixed income securities in which the Fund invests, while a fall in interest rates typically causes a rise in the value of such securities. During periods when interest rates are low, the Fund’s
yield will also be low, and the income generated by the Fund may not be sufficient to offset all or a significant portion of the Fund’s expenses, which could impair the Fund’s ability to provide a positive yield and maintain a stable $1.00 share price.
The Fixed Income Funds’ are subject to the risk that a rise in interest rates will cause a fall in the value of fixed income securities, including U.S. Government securities, in which the Funds invest. A low interest rate environment may present greater interest rate risk, because there may be a greater likelihood of rates increasing and rates may increase more rapidly.
Investment Style Risk — The Fixed Income Funds are subject to the risk that a Funds’ investments in certain securities in a particular market segment pursuant to its particular investment strategy may underperform other market segments or the market as a whole.
Leverage Risk — The Fixed Income Funds’ use of derivatives or investments in repurchase agreements may result in the Funds’ total investment exposure substantially exceeding the value of its portfolio securities and the Funds’ investment returns depending substantially on the performance of securities that the Funds may not directly own. The use of leverage can amplify the effects of market volatility on the Funds’ share price and may also cause the Funds to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations. The Funds’ use of leverage may result in a heightened risk of investment loss.
Liquidity Risk — The Funds are subject to the risk that certain securities may be difficult or impossible to sell at the time and the price that the seller would like. The seller may have to lower the price of the security, sell other securities instead or forego an investment opportunity, any of which could have a negative effect on Fund management or performance.
Mortgage-Backed Securities Risk — The Fixed Income Funds are subject to mortgage-backed securities risk. Mortgage-backed securities are affected significantly by the rate of prepayments and modifications of the mortgage loans backing those securities, as well as by other factors such as borrower defaults, delinquencies, realized or liquidation losses and other shortfalls. Mortgage-backed securities are particularly sensitive to prepayment risk, which is described below, given that the term to maturity for mortgage loans is generally substantially longer than the expected lives of those securities; however, the timing and amount of prepayments cannot be accurately predicted. The timing of changes in the rate of prepayments of the mortgage loans may significantly affect the Fund’s actual yield to
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 55 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Concluded)
July 31, 2019
maturity on any mortgage-backed securities, even if the average rate of principal payments is consistent with the Funds’ expectations. Along with prepayment risk, mortgage-backed securities are significantly affected by interest rate risk, which is described above. In a low interest rate environment, mortgage loan prepayments would generally be expected to increase due to factors such as refinancings and loan modifications at lower interest rates. In contrast, if prevailing interest rates rise, prepayments of mortgage loans would generally be expected to decline and therefore extend the weighted average lives of mortgage-backed securities held or acquired by a fund.
Opportunity Risk — The Funds are subject to the risk of missing out on an investment opportunity because the assets necessary to take advantage of it are tied up in other investments.
Prepayment Risk — The Fixed Income Funds are subject to the risk that, in a declining interest rate environment, fixed income securities with stated interest rates may have the principal paid earlier than expected, requiring the Funds to invest the proceeds at generally lower interest rates.
Portfolio Turnover Risk — Due to their investment strategies, the Short-Duration Government Fund and GNMA Fund may buy and sell securities frequently. This may result in higher transaction costs and additional capital gains tax liabilities, which may affect the Funds’ performance.
Redemption Risk — The Money Market Funds may experience periods of heavy redemptions that could cause the Funds to liquidate its assets at inopportune times or at a loss or depressed value, particularly during periods of declining or illiquid markets. This could have a significant adverse effect on the Funds’ ability to maintain a stable $1.00 share price, and, in extreme circumstances, could cause the Funds to suspend redemptions and liquidate completely.
Repurchase Agreement Risk — The Funds are subject to repurchase agreement risk. Although repurchase agreement transactions must be fully collateralized at all times, they generally create leverage and involve some counterparty risk to the Fund whereby a defaulting counterparty could delay or prevent the Funds’ recovery of collateral.
U.S. Government Securities Risk — The Funds are subject to U.S. Government securities risk. Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. Government agencies are backed by the U.S. Treasury, while others are
backed solely by the ability of the agency to borrow from the U.S. Treasury or by the agency’s own resources.
7. CONCENTRATION OF SHAREHOLDERS
SEI Private Trust Company (“SPTC”) and SIMC are subsidiaries of SEI Investments Company. As of July 31, 2019, SPTC held of record the following:
Government Fund, Cl CAA | 100.00% | |
Government Fund, Cl F | 59.81% | |
Government II Fund | 52.17% | |
Treasury II Fund | 71.65% | |
Ultra Short Duration Bond Fund, Cl F | 94.52% | |
Ultra Short Duration Bond Fund, Cl Y | 81.29% | |
Short-Duration Government Fund, Cl F | 97.71% | |
Short-Duration Government Fund, Cl Y | 19.35% | |
GNMA Fund, Cl F | 79.51% | |
GNMA Fund, Cl Y | 97.03% |
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. REGULATORY MATTERS
On August 17, 2018, the SEC adopted amendments to RegulationS-X. These changes are effective for periods after November 5, 2018. The updates to Registered Investment Companies were mainly focused on simplifying the presentation of distributable earnings by eliminating the need to present the components of distributable earnings on a book basis in the Statements of Assets and Liabilities. The update also impacted the presentation of undistributed net investment income and distribution to shareholders on the Statements of Changes in Net Assets. The amounts presented in the current Statements of Changes in Net Assets represent the aggregated total distributions of net investment income and realized capital gains, except for distributions classified as return of capital which are still presented separately.
9. NEW ACCOUNTING PRONOUNCEMENT
In August 2018, The FASB issued Accounting Standards Update2018-13, Fair Value Measurement (Topic 820). The new guidance includes additions and modifications to disclosures requirements for fair value measurements. For public entities, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. At this time, management is currently evaluating the impact of this new guidance on the financial statements and disclosures.
56 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
10. 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, 2019.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 57 |
DISCLOSURE OF FUND EXPENSES (Unaudited)
July 31, 2019
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 (February 1, 2019 to July 31, 2019).
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 2/1/19 | Ending Account Value 7/31/19 | Annualized Expense Ratios | Expenses Paid During Period * | |||||||||||||
Government Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F | $1,000.00 | $1,010.90 | 0.20 | % | $1.00 | |||||||||||
Class CAA | 1,000.00 | 1,010.90 | 0.20 | 1.00 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F | $1,000.00 | $1,023.80 | 0.20 | % | $1.00 | |||||||||||
Class CAA | 1,000.00 | 1,023.80 | 0.20 | 1.00 | ||||||||||||
Government II Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F | $1,000.00 | $1,011.00 | 0.20 | % | $1.00 | |||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F | $1,000.00 | $1,023.80 | 0.20 | % | $1.00 |
Beginning Account Value 2/1/19 | Ending Account Value 7/31/19 | Annualized Expense Ratios | Expenses Paid During Period * | |||||||||||||
Treasury II Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F | $1,000.00 | $1,010.90 | 0.20 | % | $1.00 | |||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F | $1,000.00 | $1,023.80 | 0.20 | % | $1.00 | |||||||||||
Ultra Short Duration Bond Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F | $1,000.00 | $1,017.60 | 0.38 | % | $1.90 | |||||||||||
Class Y | 1,000.00 | 1,018.00 | 0.30 | 1.50 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F | $1,000.00 | $1,022.91 | 0.38 | % | $1.91 | |||||||||||
Class Y | 1,000.00 | 1,023.31 | 0.30 | 1.51 |
58 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
Beginning | Ending Account Value 7/31/19 | Annualized Expense Ratios | Expenses Paid During Period * | |||||||||||||
Short-Duration Government Fund |
| |||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F | $1,000.00 | $1,019.90 | 0.48 | % | $2.40 | |||||||||||
Class Y | 1,000.00 | 1,019.60 | 0.33 | 1.65 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F | $1,000.00 | $1,022.41 | 0.48 | % | $2.41 | |||||||||||
Class Y | 1,000.00 | 1,023.16 | 0.33 | 1.66 | ||||||||||||
GNMA Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F | $1,000.00 | $1,035.10 | 0.58 | % | $2.93 | |||||||||||
Class Y | 1,000.00 | 1,035.80 | 0.33 | 1.67 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F | $1,000.00 | $1,021.92 | 0.58 | % | $2.91 | |||||||||||
Class Y | 1,000.00 | 1,023.16 | 0.33 | 1.66 |
* | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365. |
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 59 |
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 separatesub-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”), thesub-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. TheSub-Advisers are also responsible for managing their employees who provide services to the Funds. TheSub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively theSub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies. 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 theSub-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 theSub-Advisers, including information about SIMC’s and theSub-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 theSub-Advisers.
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 theSub-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 theSub-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 theSub-Advisers, including information about SIMC’s and theSub-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 theSub-Advisers.
Specifically, during the first half of the Trust’s fiscal year, the Board requested and received written materials from SIMC and theSub-Advisers regarding: (i) the quality of SIMC’s and theSub-Advisers’ investment management and other services; (ii) SIMC’s and theSub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and theSub-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 thesub-advisory fees that SIMC pays theSub-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 theSub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the
60 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
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 theSub-Advisers’ policies on and compliance procedures for personal securities transactions; (xi) SIMC’s and theSub-Advisers’ expertise and resources in domestic and/or international financial markets; and (xii) the Funds’ performance over various periods of time compared with peer groups of mutual funds prepared by Broadridge and the Funds’ benchmark indexes.
At the December4-5, 2018 meeting of the Board, the Trustees approved a brief extension of the Advisory Agreement and certainSub-Advisory Agreements (unless operating under an initialtwo-year term) already in effect to accommodate a revised meeting schedule. Accordingly, at the April2-3, 2019 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement and certainSub-Advisory Agreements. In each case, the Board’s decision was based on its consideration and evaluation of the factors described above, as discussed at the meeting and at prior meetings. 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 theSub-Advisers to the Funds and the resources of SIMC and theSub-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 theSub-Advisers to the Funds and the resources of SIMC and theSub-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 that 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 meeting, 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 ofSub-Advisory Agreements, the Board considered the performance of theSub-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 eachSub-Adviser was sufficient to support approval or renewal of theSub-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 asset levels, actual management fees (including transfer agent expenses), and actual total expenses for the Funds and a universe of comparable funds. Based on the materials considered and discussion at the meeting, 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 and its affiliates’ 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 fornon-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC
SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 | 61 |
BOARD OF TRUSTEES’ CONSIDERATIONS IN APPROVING THE ADVISORY AGREEMENT (Unaudited) (Concluded)
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 toSub-Advisers, the Board took into account the fact that theSub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliatedSub-Adviser reflects an arms-length negotiation between theSub-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 theSub-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 theSub-Advisers, the Board took into account the fact that compensation with respect to any unaffiliatedSub-Adviser reflects an arms-length negotiation between theSub-Adviser and SIMC. In connection with the approval or renewal of eachSub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to theSub-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 theSub-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 its 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 afund-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 wasall-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.
62 | SEI Daily Income Trust / Semi-Annual Report / July 31, 2019 |
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SEI DAILY INCOME TRUST SEMI-ANNUAL REPORT JULY 31, 2019
Robert A. Nesher,Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Susan C. Cote
James B. Taylor
Officers
Robert A. Nesher
President and Chief Executive Officer
James J. Hoffmayer
Controller and Chief Financial Officer
Glenn Kurdziel
Assistant Controller
Russell Emery
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
Aaron Buser
Vice President, Assistant Secretary
David McCann
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)
New ways. | ||
New answers.® |
1 Freedom Valley Drive, P.O. Box 1100, Oaks, PA 19456
SEI-F-037 (7/19)
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. | Investments |
Included in Item 1.
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-End Management Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrants Board of Trustees (the “Board”). 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 Board. Pursuant to the Committee’s Charter, adopted on June 18th 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.
Item 11. | Controls and Procedures. |
(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule30a-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 Rule30a-3(b) under the 1940 Act and Rules13a-15(b) or15d-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 Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3d(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies. |
Not applicable.
Item 13. | 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 Rule30a-2(a) under the 1940 Act, as amended, are filed herewith.
(b) Officer certifications as required by Rule30a-2(b) under the 1940 Act, as amended 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 and CEO |
Date: October 4, 2019
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 and CEO |
Date: October 4, 2019
By: | /s/ James J. Hoffmayer | |||||
James J. Hoffmayer, | ||||||
Controller & CFO |
Date: October 4, 2019