UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
________
FORM N-CSRS
________
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-03451
SEI Daily Income Trust
(Exact name of registrant as specified in charter)
________
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices)
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, 2024
Date of reporting period: July 31, 2023
Item 1. Reports to Stockholders.
July 31, 2023
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 |
Paper copies of the Funds’ shareholder reports are no longer sent by mail, unless you specifically request them from the Funds or from your financial intermediary, such as a broker-dealer or bank. Shareholder reports are available online and you will be notified by mail each time a report is posted on the Funds’ website and provided with a link to access the report online.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, 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.
seic.com
TABLE OF CONTENTS
Schedules of Investments | 1 |
Statements of Assets and Liabilities | 38 |
Statements of Operations | 40 |
Statements of Changes in Net Assets | 42 |
Financial Highlights | 46 |
Notes to Financial Statements | 48 |
Disclosure of Fund Expenses | 61 |
Liquidity Risk Management Program | 63 |
Board of Trustees’ Considerations in Approving the Advisory Agreement | 64 |
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 for Ultra Short Duration Bond Fund, Short-Duration Government Fund & GNMA Fund. Additionally, for Government Fund, Government II Fund & Treasury II Fund, the Trust files monthly its complete schedule of portfolio holdings with the Securities and Exchange Commission on Form N-MFP. The Trust’s Forms N-PORT and N-MFP are available on the Commission’s website at https://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 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 https://www.sec.gov.
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Government Fund
† | Percentages are based on total investments. |
Description | Face Amount | Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 32.4% | ||||||||
FFCB | ||||||||
5.360%, U.S. SOFR + 0.050%, 08/22/2023 (A) | $ | 45,640 | $ | 45,640 | ||||
5.355%, U.S. SOFR + 0.045%, 10/16/2023 (A) | 56,020 | 56,020 | ||||||
5.370%, U.S. SOFR + 0.060%, 11/22/2023 (A) | 58,535 | 58,535 | ||||||
5.365%, U.S. SOFR + 0.055%, 01/10/2024 (A) | 9,660 | 9,660 | ||||||
5.360%, U.S. SOFR + 0.050%, 05/09/2024 (A) | 59,285 | 59,285 | ||||||
5.400%, U.S. SOFR + 0.090%, 08/26/2024 (A) | 77,740 | 77,740 | ||||||
5.450%, U.S. SOFR + 0.140%, 11/07/2024 (A) | 51,805 | 51,805 | ||||||
5.480%, U.S. SOFR + 0.170%, 01/23/2025 (A) | 16,755 | 16,755 | ||||||
FFCB DN | ||||||||
5.129%, 09/11/2023 (B) | 21,965 | 21,840 | ||||||
FHLB | ||||||||
5.310%, U.S. SOFR + 0.000%, 08/03/2023 (A) | 223,300 | 223,300 | ||||||
5.310%, U.S. SOFR + 0.000%, 08/08/2023 (A) | 154,600 | 154,600 | ||||||
5.320%, U.S. SOFR + 0.010%, 08/25/2023 (A) | 120,290 | 120,290 | ||||||
5.370%, U.S. SOFR + 0.060%, 09/05/2023 (A) | 130,085 | 130,085 | ||||||
5.400%, U.S. SOFR + 0.090%, 09/08/2023 (A) | 43,035 | 43,035 | ||||||
5.325%, U.S. SOFR + 0.015%, 09/08/2023 (A) | 95,200 | 95,200 | ||||||
5.330%, U.S. SOFR + 0.020%, 09/18/2023 (A) | 137,885 | 137,885 | ||||||
5.340%, U.S. SOFR + 0.030%, 09/19/2023 (A) | 148,465 | 148,465 | ||||||
5.330%, U.S. SOFR + 0.020%, 09/19/2023 (A) | 199,900 | 199,900 | ||||||
3.450%, 09/25/2023 | 52,460 | 52,458 | ||||||
5.350%, U.S. SOFR + 0.040%, 09/26/2023 (A) | 221,900 | 221,900 | ||||||
5.340%, U.S. SOFR + 0.030%, 09/26/2023 (A) | 38,800 | 38,800 | ||||||
5.405%, U.S. SOFR + 0.095%, 10/06/2023 (A) | 34,365 | 34,365 |
Description | Face Amount | Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | ||||||||
5.380%, U.S. SOFR + 0.070%, 11/30/2023 (A) | $ | 40,145 | $ | 40,145 | ||||
5.390%, U.S. SOFR + 0.080%, 01/24/2024 (A) | 140,000 | 140,000 | ||||||
5.450%, 03/08/2024 | 27,135 | 27,125 | ||||||
5.470%, U.S. SOFR + 0.160%, 07/21/2025 (A) | 70,590 | 70,590 | ||||||
FHLB DN (B) | ||||||||
4.925%, 08/29/2023 | 26,520 | 26,421 | ||||||
5.119%, 09/01/2023 | 111,450 | 110,971 | ||||||
5.121%, 09/15/2023 | 170,450 | 169,387 | ||||||
5.319%, 10/13/2023 | 75,000 | 74,202 | ||||||
4.910%, 02/02/2024 | 28,755 | 28,063 | ||||||
5.168%, 02/09/2024 | 120,005 | 116,839 | ||||||
Total U.S. Government Agency Obligations | ||||||||
(Cost $2,801,306) ($ Thousands) | 2,801,306 | |||||||
U.S. TREASURY OBLIGATIONS — 8.1% | ||||||||
U.S. Treasury Bill (B) | ||||||||
5.104%, 08/01/2023 | 51,870 | 51,870 | ||||||
5.136%, 08/10/2023 | 96,300 | 96,177 | ||||||
5.242%, 08/24/2023 | 74,600 | 74,352 | ||||||
5.404%, 01/04/2024 | 58,990 | 57,646 | ||||||
5.420%, 01/11/2024 | 97,455 | 95,127 | ||||||
4.733%, 04/18/2024 | 10,825 | 10,469 | ||||||
U.S. Treasury Notes | ||||||||
5.491%, US Treasury 3 Month Bill Money Market Yield + 0.140%, 10/31/2024 (A) | 68,445 | 68,445 | ||||||
5.551%, US Treasury 3 Month Bill Money Market Yield + 0.200%, 01/31/2025 (A) | 90,000 | 90,000 | ||||||
5.476%, US Treasury 3 Month Bill Money Market Yield + 0.125%, 07/31/2025 (A) | 156,520 | 156,520 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $700,606) ($ Thousands) | 700,606 | |||||||
REPURCHASE AGREEMENTS(C) — 54.5% | ||||||||
Barclays Bank | ||||||||
5.300%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $575,084,653 (collateralized by U.S. Treasury Obligations, ranging in par value $51,457,700 - $477,979,000, 0.050% - 4.000%, 04/30/2027 - 11/15/2052, with a total market value of $586,500,012) | 575,000 | 575,000 |
SEI Daily Income Trust
1
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Government Fund (Concluded)
Description | Face Amount | Value | ||||||
REPURCHASE AGREEMENTS(C) (continued) | ||||||||
BNP Paribas | ||||||||
5.280%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $650,095,333 (collateralized by U.S. Obligations, ranging in par value $5 - $662,822,600, 0.000% - 4.000%, 07/31/2030 - 02/15/2048, with a total market value of $663,000,040) | $ | 650,000 | $ | 650,000 | ||||
BOFA Securities | ||||||||
5.300%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $600,088,333 (collateralized by GNMA Obligations, ranging in par value $16,802,446 - $1,010,000,000, 3.000% - 6.500%, 06/20/2046 - 07/20/2053, with a total market value of $612,000,001) | 600,000 | 600,000 | ||||||
Citigroup Global Markets | ||||||||
5.280%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $550,080,667 (collateralized by U.S. Treasury Obligations, ranging in par value $98,816,400 - $254,100,700, 1.125% - 4.000%, 10/31/2026 - 05/31/2030, with a total market value of $561,000,009) | 550,000 | 550,000 | ||||||
Citigroup Global Markets | ||||||||
5.300%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $105,015,458 (collateralized by GNMA Obligations, ranging in par value $1,000 - $20,645,661, 5.500% - 6.500%, 07/20/2053, with a total market value of $107,100,278) | 105,000 | 105,000 | ||||||
Goldman Sachs | ||||||||
5.300%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $415,061,097 (collateralized by GNMA Obligations, ranging in par value $383,522 - $253,392,384, 3.500% - 6.000%, 04/15/2036 - 05/20/2053, with a total market value of $423,300,000) | 415,000 | 415,000 | ||||||
Goldman Sachs | ||||||||
5.280%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $100,014,667 (collateralized by U.S. Treasury Obligations, ranging in par value $0 - $112,765,400, 0.000% - 0.250%, 10/31/2025 - 02/15/2053, with a total market value of $102,000,000) | 100,000 | 100,000 |
Description | Face Amount | Value | ||||||
REPURCHASE AGREEMENTS(C) (continued) | ||||||||
J.P. Morgan Securities | ||||||||
5.280%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $114,016,720 (collateralized by U.S. Treasury Obligations, ranging in par value $300,000 - $59,303,100, 0.000% - 1.500%, 08/15/2023 - 01/31/2027, with a total market value of $116,280,030) | $ | 114,000 | $ | 114,000 | ||||
Mizuho Securities | ||||||||
5.300%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $275,040,486 (collateralized by FNMA, ranging in par value $1,000 - $172,739,656, 1.500% - 8.000%, 05/01/2024 - 08/01/2053, with a total market value of $283,250,000) | 275,000 | 275,000 | ||||||
MUFG Securities Americas | ||||||||
5.280%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $200,029,333 (collateralized by U.S. Treasury Obligations, ranging in par value $24,999,300 - $152,643,100, 0.375% - 1.000%, 07/15/2025 - 07/31/2028, with a total market value of $204,000,031) | 200,000 | 200,000 | ||||||
Natixis S.A. | ||||||||
5.280%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $650,095,333 (collateralized by U.S. Treasury Obligations, ranging in par value $100 - $190,013,200, 0.000% - 6.625%, 10/12/2023 - 02/15/2053, with a total market value of $663,000,011) | 650,000 | 650,000 | ||||||
TD Securities | ||||||||
5.300%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $25,003,681 (collateralized by U.S. Treasury Obligations, ranging in par value $2,052,100 - $10,161,600, 0.250% - 3.375%, 05/15/2024 - 05/15/2033, with a total market value of $25,500,004) | 25,000 | 25,000 | ||||||
TD Securities | ||||||||
5.290%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $10,001,469 (collateralized by U.S. Treasury Obligations, ranging in par value $536,400 - $2,288,200, 0.375% - 3.875%, 04/15/2024 - 11/30/2029, with a total market value of $10,200,002) | 10,000 | 10,000 |
2
SEI Daily Income Trust
Description | Face Amount | Value | ||||||
REPURCHASE AGREEMENTS(C) (continued) | ||||||||
The Bank of Nova Scotia | ||||||||
5.280%, dated 07/31/23, to be repurchased on 08/01/23, repurchase price $450,066,000 (collateralized by U.S. Treasury Obligations, ranging in par value $100 - $199,000,000, 0.000% - 4.250%, 09/12/2023 - 08/15/2042, with a total market value of $459,067,360) | $ | 450,000 | $ | 450,000 | ||||
Total Repurchase Agreements | ||||||||
(Cost $4,719,000) ($ Thousands) | 4,719,000 | |||||||
Total Investments — 95.0% | ||||||||
(Cost $8,220,912) ($ Thousands) | $ | 8,220,912 | ||||||
| Percentages are based on a Net Assets of $8,650,550 ($ Thousands). |
(A) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are |
(B) | The rate reported is the effective yield at time of purchase. |
(C) | Tri-Party Repurchase Agreement. |
As of July 31, 2023, 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 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
3
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Government II Fund
† | Percentages are based on total investments. |
Description | Face Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS — 64.0% | ||||||||
U.S. Treasury Bill (A) | ||||||||
5.096%, 08/01/2023 | $ | 116,350 | $ | 116,350 | ||||
5.096%, 08/03/2023 | 113,000 | 112,968 | ||||||
5.170%, 08/08/2023 | 62,000 | 61,938 | ||||||
5.153%, 08/10/2023 | 30,000 | 29,962 | ||||||
5.279%, 08/22/2023 | 102,000 | 101,687 | ||||||
5.317%, 08/24/2023 | 88,005 | 87,710 | ||||||
1.933%, 08/29/2023 | 135,000 | 134,450 | ||||||
5.272%, 08/31/2023 | 84,000 | 83,633 | ||||||
5.136%, 09/12/2023 | 95,000 | 94,439 | ||||||
5.286%, 10/05/2023 | 30,000 | 29,717 | ||||||
5.321%, 10/12/2023 | 65,000 | 64,317 | ||||||
5.239%, 10/17/2023 | 36,580 | 36,177 | ||||||
5.302%, 10/24/2023 | 45,000 | 44,453 | ||||||
5.343%, 10/26/2023 | 79,905 | 78,899 | ||||||
5.353%, 11/14/2023 | 50,000 | 49,233 | ||||||
5.404%, 01/04/2024 | 13,395 | 13,090 | ||||||
5.420%, 01/11/2024 | 22,160 | 21,631 | ||||||
5.189%, 06/13/2024 | 6,560 | 6,275 | ||||||
U.S. Treasury Notes | ||||||||
5.336%, US Treasury 3 Month Bill Money Market Yield + -0.015%, 01/31/2024 (B) | 955 | 955 | ||||||
5.388%, US Treasury 3 Month Bill Money Market Yield + 0.037%, 07/31/2024 (B) | 8,000 | 7,996 | ||||||
5.491%, US Treasury 3 Month Bill Money Market Yield + 0.140%, 10/31/2024 (B) | 41,095 | 41,108 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $1,216,988) ($ Thousands) | 1,216,988 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 40.6% | ||||||||
FFCB | ||||||||
5.360%, U.S. SOFR + 0.050%, 08/22/2023 (B) | 16,340 | 16,340 | ||||||
5.355%, U.S. SOFR + 0.045%, 10/16/2023 (B) | 18,800 | 18,800 | ||||||
5.330%, U.S. SOFR + 0.020%, 11/15/2023 (B) | 7,790 | 7,789 | ||||||
5.370%, U.S. SOFR + 0.060%, 11/22/2023 (B) | 20,740 | 20,740 | ||||||
5.365%, U.S. SOFR + 0.055%, 01/10/2024 (B) | 3,165 | 3,165 | ||||||
5.360%, U.S. SOFR + 0.050%, 05/09/2024 (B) | 11,010 | 11,010 |
Description | Face Amount | Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | ||||||||
5.400%, U.S. SOFR + 0.090%, 08/26/2024 (B) | $ | 18,510 | $ | 18,510 | ||||
5.450%, U.S. SOFR + 0.140%, 11/07/2024 (B) | 11,180 | 11,180 | ||||||
5.480%, U.S. SOFR + 0.170%, 01/23/2025 (B) | 3,245 | 3,245 | ||||||
FFCB DN (A) | ||||||||
4.997%, 08/14/2023 | 21,680 | 21,642 | ||||||
5.129%, 09/11/2023 | 4,400 | 4,375 | ||||||
FHLB | ||||||||
5.370%, U.S. SOFR + 0.060%, 09/05/2023 (B) | 27,075 | 27,075 | ||||||
5.400%, U.S. SOFR + 0.090%, 09/08/2023 (B) | 11,665 | 11,665 | ||||||
5.330%, U.S. SOFR + 0.020%, 09/18/2023 (B) | 29,675 | 29,675 | ||||||
3.450%, 09/25/2023 | 12,585 | 12,584 | ||||||
5.405%, U.S. SOFR + 0.095%, 10/06/2023 (B) | 6,885 | 6,885 | ||||||
5.380%, U.S. SOFR + 0.070%, 11/30/2023 (B) | 8,460 | 8,460 | ||||||
5.390%, U.S. SOFR + 0.080%, 01/24/2024 (B) | 13,450 | 13,450 | ||||||
5.470%, U.S. SOFR + 0.160%, 07/21/2025 (B) | 15,440 | 15,440 | ||||||
FHLB DN (A) | ||||||||
5.201%, 08/01/2023 | 263,500 | 263,500 | ||||||
5.043%, 08/04/2023 | 4,500 | 4,498 | ||||||
4.982%, 08/18/2023 | 14,500 | 14,467 | ||||||
4.925%, 08/29/2023 | 5,370 | 5,350 | ||||||
5.117%, 09/01/2023 | 25,170 | 25,062 | ||||||
5.277%, 09/06/2023 | 21,385 | 21,275 | ||||||
5.121%, 09/15/2023 | 34,135 | 33,922 | ||||||
5.317%, 09/26/2023 | 50,000 | 49,590 | ||||||
5.319%, 10/13/2023 | 50,000 | 49,468 | ||||||
5.341%, 10/25/2023 | 12,000 | 11,851 | ||||||
4.910%, 02/02/2024 | 6,125 | 5,978 | ||||||
5.177%, 02/09/2024 | 26,340 | 25,643 | ||||||
Total U.S. Government Agency Obligations | ||||||||
(Cost $772,634) ($ Thousands) | 772,634 | |||||||
Total Investments — 104.6% | ||||||||
(Cost $1,989,622) ($ Thousands) | $ | 1,989,622 | ||||||
| Percentages are based on a Net Assets of $1,902,612 ($ Thousands). |
(A) | The rate reported is the effective yield at time of purchase. |
(B) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are |
4
SEI Daily Income Trust
As of July 31, 2023, 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 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
5
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Treasury II Fund
† | Percentages are based on total investments. |
Description | Face Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS — 105.0% | ||||||||
U.S. Treasury Bill (A) | ||||||||
5.105%, 08/01/2023 | $ | 24,000 | $ | 24,000 | ||||
5.174%, 08/03/2023 | 4,000 | 3,999 | ||||||
5.176%, 08/08/2023 | 42,415 | 42,372 | ||||||
5.152%, 08/10/2023 | 7,000 | 6,991 | ||||||
5.154%, 08/17/2023 | 59,585 | 59,450 | ||||||
5.216%, 08/22/2023 | 58,000 | 57,825 | ||||||
5.321%, 08/24/2023 | 18,000 | 17,939 | ||||||
2.300%, 08/29/2023 | 45,400 | 45,215 | ||||||
5.272%, 08/31/2023 | 15,000 | 14,934 | ||||||
5.149%, 09/12/2023 | 35,000 | 34,793 | ||||||
5.286%, 10/05/2023 | 15,000 | 14,859 | ||||||
5.321%, 10/12/2023 | 10,000 | 9,895 | ||||||
5.239%, 10/17/2023 | 8,535 | 8,441 | ||||||
5.308%, 10/24/2023 | 23,195 | 22,913 | ||||||
5.343%, 10/26/2023 | 20,095 | 19,842 | ||||||
5.353%, 11/14/2023 | 12,000 | 11,816 | ||||||
5.404%, 01/04/2024 | 3,165 | 3,093 | ||||||
5.420%, 01/11/2024 | 5,385 | 5,256 | ||||||
4.734%, 04/18/2024 | 555 | 537 | ||||||
5.189%, 06/13/2024 | 1,550 | 1,483 | ||||||
U.S. Treasury Bill - When Issued | ||||||||
5.116%, 09/05/2023 | 55,000 | 54,730 | ||||||
U.S. Treasury Notes | ||||||||
5.336%, US Treasury 3 Month Bill Money Market Yield + -0.015%, 01/31/2024 (B) | 5,000 | 5,000 | ||||||
5.276%, US Treasury 3 Month Bill Money Market Yield + -0.075%, 04/30/2024 (B) | 5,890 | 5,887 | ||||||
5.388%, US Treasury 3 Month Bill Money Market Yield + 0.037%, 07/31/2024 (B) | 3,000 | 2,999 | ||||||
5.491%, US Treasury 3 Month Bill Money Market Yield + 0.140%, 10/31/2024 (B) | 21,780 | 21,773 | ||||||
5.551%, US Treasury 3 Month Bill Money Market Yield + 0.200%, 01/31/2025 (B) | 14,375 | 14,379 |
Description | Face Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS (continued) | ||||||||
5.520%, US Treasury 3 Month Bill Money Market Yield + 0.169%, 04/30/2025 (B) | $ | 7,000 | $ | 7,000 | ||||
Total U.S. Treasury Obligations | ||||||||
(Cost $517,421) ($ Thousands) | 517,421 | |||||||
Total Investments — 105.0% | ||||||||
(Cost $517,421) ($ Thousands) | $ | 517,421 | ||||||
| Percentages are based on a Net Assets of $492,911 ($ Thousands). |
(A) | The rate reported is the effective yield at time of purchase. |
(B) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are |
As of July 31, 2023, 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 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
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Ultra Short Duration Bond Fund
† | Percentages are based on total investments. Total investments exclude options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS — 38.1% | ||||||||
Communication Services — 1.4% | ||||||||
AT&T | ||||||||
5.539%, 02/20/2026 | $ | 300 | $ | 299 | ||||
Take-Two Interactive Software | ||||||||
3.300%, 03/28/2024 | 21 | 21 | ||||||
Verizon Communications | ||||||||
6.023%, SOFRINDX + 0.790%, 03/20/2026 (A) | 500 | 505 | ||||||
5.742%, SOFRINDX + 0.500%, 03/22/2024 (A) | 500 | 500 | ||||||
3.500%, 11/01/2024 | 1,680 | 1,640 | ||||||
Warnermedia Holdings | ||||||||
3.428%, 03/15/2024 | 750 | 738 | ||||||
3,703 | ||||||||
Consumer Discretionary — 2.3% | ||||||||
AutoZone | ||||||||
5.050%, 07/15/2026 | 450 | 449 | ||||||
Daimler Truck Finance North America LLC | ||||||||
6.274%, U.S. SOFR + 1.000%, 04/05/2024 (A)(B) | 450 | 451 | ||||||
5.972%, U.S. SOFR + 0.750%, 12/13/2024 (A)(B) | 600 | 599 | ||||||
General Motors Financial | ||||||||
5.962%, U.S. SOFR + 0.760%, 03/08/2024 (A) | 500 | 500 | ||||||
5.925%, U.S. SOFR + 0.620%, 10/15/2024 (A) | 2,895 | 2,879 | ||||||
Howard University | ||||||||
2.801%, 10/01/2023 | 380 | 378 | ||||||
Hyatt Hotels | ||||||||
1.300%, 10/01/2023 | 175 | 173 | ||||||
Nordstrom | ||||||||
2.300%, 04/08/2024 | 210 | 203 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Starbucks | ||||||||
5.547%, SOFRINDX + 0.420%, 02/14/2024 (A) | $ | 345 | $ | 345 | ||||
5,977 | ||||||||
Consumer Staples — 2.2% | ||||||||
BAT Capital | ||||||||
3.222%, 08/15/2024 | 2,080 | 2,024 | ||||||
Conagra Brands | ||||||||
0.500%, 08/11/2023 | 325 | 325 | ||||||
General Mills | ||||||||
5.241%, 11/18/2025 | 320 | 319 | ||||||
JDE Peet's | ||||||||
0.800%, 09/24/2024 (B) | 500 | 469 | ||||||
Kenvue | ||||||||
5.500%, 03/22/2025 (B) | 275 | 276 | ||||||
Keurig Dr Pepper | ||||||||
0.750%, 03/15/2024 | 2,010 | 1,949 | ||||||
Mondelez International | ||||||||
2.125%, 03/17/2024 | 290 | 283 | ||||||
5,645 | ||||||||
Energy — 3.3% | ||||||||
Enbridge | ||||||||
5.768%, SOFRINDX + 0.630%, 02/16/2024 (A) | 775 | 775 | ||||||
Energy Transfer | ||||||||
5.875%, 01/15/2024 | 1,370 | 1,369 | ||||||
Gray Oak Pipeline LLC | ||||||||
2.000%, 09/15/2023 (B) | 212 | 211 | ||||||
Kinder Morgan Energy Partners | ||||||||
4.300%, 05/01/2024 | 1,350 | 1,334 | ||||||
Occidental Petroleum | ||||||||
5.875%, 09/01/2025 | 375 | 376 | ||||||
Ovintiv | ||||||||
5.650%, 05/15/2025 | 400 | 399 | ||||||
Saudi Arabian Oil | ||||||||
1.250%, 11/24/2023 (B) | 200 | 197 | ||||||
Saudi Arabian Oil MTN | ||||||||
2.875%, 04/16/2024 (B) | 1,230 | 1,202 | ||||||
Southern Union | ||||||||
7.600%, 02/01/2024 | 700 | 701 | ||||||
Western Midstream Operating | ||||||||
3.100%, 02/01/2025 | 400 | 382 | ||||||
Williams | ||||||||
5.400%, 03/02/2026 | 110 | 110 | ||||||
4.300%, 03/04/2024 | 1,365 | 1,352 | ||||||
8,408 | ||||||||
SEI Daily Income Trust
7
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Financials — 18.6% | ||||||||
American Express | ||||||||
4.990%, U.S. SOFR + 0.999%, 05/01/2026 (A) | $ | 275 | $ | 272 | ||||
3.950%, 08/01/2025 | 325 | 316 | ||||||
3.375%, 05/03/2024 | 350 | 344 | ||||||
Athene Global Funding | ||||||||
5.862%, SOFRINDX + 0.700%, 05/24/2024 (A)(B) | 825 | 817 | ||||||
Banco Santander | ||||||||
3.892%, 05/24/2024 | 400 | 393 | ||||||
Bank of America | ||||||||
6.026%, U.S. SOFR + 0.690%, 04/22/2025 (A) | 650 | 649 | ||||||
5.080%, U.S. SOFR + 1.290%, 01/20/2027 (A) | 275 | 272 | ||||||
Bank of America MTN | ||||||||
6.006%, U.S. SOFR + 0.660%, 02/04/2025 (A) | 510 | 509 | ||||||
1.843%, U.S. SOFR + 0.670%, 02/04/2025 (A) | 1,830 | 1,793 | ||||||
Bank of Montreal | ||||||||
5.552%, SOFRINDX + 0.350%, 12/08/2023 (A) | 600 | 600 | ||||||
Bank of Montreal MTN | ||||||||
5.842%, SOFRINDX + 0.620%, 09/15/2026 (A) | 675 | 666 | ||||||
5.605%, SOFRINDX + 0.320%, 07/09/2024 (A) | 325 | 324 | ||||||
Bank of New York Mellon MTN | ||||||||
5.148%, U.S. SOFR + 1.067%, 05/22/2026 (A) | 250 | 249 | ||||||
Bank of Nova Scotia | ||||||||
5.725%, U.S. SOFR + 0.380%, 07/31/2024 (A) | 650 | 648 | ||||||
Banque Federative du Credit Mutuel | ||||||||
4.935%, 01/26/2026 (B) | 350 | 343 | ||||||
4.524%, 07/13/2025 (B) | 250 | 244 | ||||||
Barclays PLC | ||||||||
2.852%, U.S. SOFR + 2.714%, 05/07/2026 (A) | 235 | 222 | ||||||
BPCE | ||||||||
5.029%, 01/15/2025 (B) | 345 | 340 | ||||||
Brighthouse Financial Global Funding MTN | ||||||||
6.057%, U.S. SOFR + 0.760%, 04/12/2024 (A)(B) | 445 | 442 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
5.620%, SOFRINDX + 0.400%, 12/14/2023 (A) | 575 | 575 | ||||||
Capital One Financial | ||||||||
5.892%, U.S. SOFR + 0.690%, 12/06/2024 (A) | 425 | 419 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
4.985%, U.S. SOFR + 2.160%, 07/24/2026 (A) | $ | 250 | $ | 245 | ||||
Citigroup | ||||||||
6.023%, U.S. SOFR + 0.694%, 01/25/2026 (A) | 350 | 349 | ||||||
6.014%, U.S. SOFR + 0.669%, 05/01/2025 (A) | 250 | 250 | ||||||
3.352%, TSFR3M + 1.158%, 04/24/2025 (A) | 1,695 | 1,661 | ||||||
Citizens Bank | ||||||||
5.284%, U.S. SOFR + 1.020%, 01/26/2026 (A) | 250 | 238 | ||||||
4.119%, U.S. SOFR + 1.395%, 05/23/2025 (A) | 250 | 241 | ||||||
CNA Financial | ||||||||
7.250%, 11/15/2023 | 200 | 201 | ||||||
Commonwealth Bank of Australia | ||||||||
5.742%, U.S. SOFR + 0.520%, 06/15/2026 (A)(B) | 425 | 422 | ||||||
Cooperatieve Rabobank UA | ||||||||
5.500%, 07/18/2025 | 250 | 250 | ||||||
Corebridge Financial | ||||||||
3.500%, 04/04/2025 | 230 | 221 | ||||||
Corebridge Global Funding | ||||||||
5.750%, 07/02/2026 (B) | 180 | 180 | ||||||
Credit Agricole | ||||||||
5.589%, 07/05/2026 (B) | 420 | 420 | ||||||
Credit Suisse NY | ||||||||
5.735%, SOFRINDX + 0.390%, 02/02/2024 (A) | 2,280 | 2,272 | ||||||
4.750%, 08/09/2024 | 250 | 246 | ||||||
0.520%, 08/09/2023 | 650 | 649 | ||||||
Danske Bank | ||||||||
6.466%, H15T1Y + 2.100%, 01/09/2026 (A)(B) | 350 | 351 | ||||||
Deutsche Bank NY | ||||||||
6.357%, U.S. SOFR + 1.219%, 11/16/2027 (A) | 550 | 507 | ||||||
5.611%, U.S. SOFR + 0.500%, 11/08/2023 (A) | 600 | 599 | ||||||
DNB Bank | ||||||||
2.968%, SOFRINDX + 0.810%, 03/28/2025 (A)(B) | 275 | 269 | ||||||
Equitable Financial Life Global Funding | ||||||||
5.500%, 12/02/2025 (B) | 300 | 297 | ||||||
Fifth Third Bank | ||||||||
5.852%, SOFRINDX + 1.230%, 10/27/2025 (A) | 470 | 463 | ||||||
GA Global Funding Trust | ||||||||
5.715%, U.S. SOFR + 0.500%, 09/13/2024 (A)(B) | 1,745 | 1,713 |
8
SEI Daily Income Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Goldman Sachs Group | ||||||||
6.025%, U.S. SOFR + 0.700%, 01/24/2025 (A) | $ | 425 | $ | 424 | ||||
5.706%, U.S. SOFR + 0.500%, 09/10/2024 (A) | 250 | 249 | ||||||
1.757%, U.S. SOFR + 0.730%, 01/24/2025 (A) | 2,200 | 2,151 | ||||||
HSBC Holdings PLC | ||||||||
7.336%, U.S. SOFR + 3.030%, 11/03/2026 (A) | 300 | 310 | ||||||
5.727%, U.S. SOFR + 0.580%, 11/22/2024 (A) | 425 | 424 | ||||||
Huntington National Bank | ||||||||
4.008%, U.S. SOFR + 1.205%, 05/16/2025 (A) | 250 | 243 | ||||||
Jackson Financial | ||||||||
1.125%, 11/22/2023 | 425 | 419 | ||||||
JPMorgan Chase | ||||||||
5.825%, U.S. SOFR + 0.580%, 06/23/2025 (A) | 325 | 324 | ||||||
5.719%, U.S. SOFR + 0.535%, 06/01/2025 (A) | 400 | 398 | ||||||
3.845%, U.S. SOFR + 0.980%, 06/14/2025 (A) | 2,090 | 2,051 | ||||||
KeyBank | ||||||||
5.608%, SOFRINDX + 0.340%, 01/03/2024 (A) | 575 | 574 | ||||||
5.540%, SOFRINDX + 0.320%, 06/14/2024 (A) | 400 | 391 | ||||||
Macquarie Group MTN | ||||||||
6.013%, U.S. SOFR + 0.710%, 10/14/2025 (A)(B) | 425 | 422 | ||||||
Manufacturers & Traders Trust | ||||||||
5.400%, 11/21/2025 | 300 | 294 | ||||||
4.650%, 01/27/2026 | 460 | 443 | ||||||
MassMutual Global Funding II | ||||||||
5.657%, U.S. SOFR + 0.360%, 04/12/2024 (A)(B) | 400 | 400 | ||||||
2.750%, 06/22/2024 (B) | 705 | 687 | ||||||
Mitsubishi UFJ Financial Group | ||||||||
4.788%, H15T1Y + 1.700%, 07/18/2025 (A) | 325 | 321 | ||||||
Morgan Stanley | ||||||||
5.050%, U.S. SOFR + 1.295%, 01/28/2027 (A) | 275 | 272 | ||||||
3.620%, U.S. SOFR + 1.160%, 04/17/2025 (A) | 2,130 | 2,095 | ||||||
Morgan Stanley Bank | ||||||||
5.479%, 07/16/2025 | 375 | 376 | ||||||
4.754%, 04/21/2026 | 250 | 247 | ||||||
National Bank of Canada | ||||||||
0.750%, 08/06/2024 | 325 | 309 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
National Securities Clearing | ||||||||
5.150%, 05/30/2025 (B) | $ | 250 | $ | 250 | ||||
Nationwide Building Society | ||||||||
0.550%, 01/22/2024 (B) | 400 | 390 | ||||||
NatWest Markets PLC | ||||||||
5.657%, U.S. SOFR + 0.530%, 08/12/2024 (A)(B) | 490 | 488 | ||||||
Pacific Life Global Funding II | ||||||||
0.500%, 09/23/2023 (B) | 400 | 397 | ||||||
PNC Financial Services Group | ||||||||
5.812%, U.S. SOFR + 1.322%, 06/12/2026 (A) | 200 | 200 | ||||||
5.671%, SOFRINDX + 1.090%, 10/28/2025 (A) | 425 | 423 | ||||||
Principal Life Global Funding II | ||||||||
5.747%, U.S. SOFR + 0.450%, 04/12/2024 (A)(B) | 170 | 170 | ||||||
5.538%, U.S. SOFR + 0.380%, 08/23/2024 (A)(B) | 665 | 664 | ||||||
Royal Bank of Canada MTN | ||||||||
5.787%, SOFRINDX + 0.450%, 10/26/2023 (A) | 400 | 400 | ||||||
5.200%, 07/20/2026 | 250 | 250 | ||||||
Societe Generale | ||||||||
6.373%, U.S. SOFR + 1.050%, 01/21/2026 (A)(B) | 425 | 424 | ||||||
4.351%, 06/13/2025 (B) | 500 | 486 | ||||||
Standard Chartered PLC | ||||||||
7.776%, H15T1Y + 3.100%, 11/16/2025 (A)(B) | 300 | 307 | ||||||
6.170%, H15T1Y + 2.050%, 01/09/2027 (A)(B) | 350 | 353 | ||||||
Sumitomo Mitsui Trust Bank MTN | ||||||||
5.660%, U.S. SOFR + 0.440%, 09/16/2024 (A)(B) | 500 | 499 | ||||||
Toronto-Dominion Bank MTN | ||||||||
5.796%, U.S. SOFR + 0.590%, 09/10/2026 (A) | 425 | 420 | ||||||
5.556%, U.S. SOFR + 0.350%, 09/10/2024 (A) | 500 | 498 | ||||||
5.542%, U.S. SOFR + 0.355%, 03/04/2024 (A) | 575 | 574 | ||||||
Truist Financial MTN | ||||||||
5.605%, U.S. SOFR + 0.400%, 06/09/2025 (A) | 400 | 391 | ||||||
UBS | ||||||||
0.700%, 08/09/2024 (B) | 400 | 380 | ||||||
UBS MTN | ||||||||
5.479%, U.S. SOFR + 0.360%, 02/09/2024 (A)(B) | 400 | 399 | ||||||
US Bank | ||||||||
2.050%, 01/21/2025 | 1,495 | 1,418 |
SEI Daily Income Trust
9
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Wells Fargo MTN | ||||||||
2.406%, TSFR3M + 1.087%, 10/30/2025 (A) | $ | 2,085 | $ | 1,995 | ||||
48,081 | ||||||||
Health Care — 3.7% | ||||||||
AbbVie | ||||||||
2.600%, 11/21/2024 | 1,735 | 1,670 | ||||||
Amgen | ||||||||
5.250%, 03/02/2025 | 275 | 274 | ||||||
Baxter International | ||||||||
5.610%, SOFRINDX + 0.440%, 11/29/2024 (A) | 425 | 422 | ||||||
Bristol-Myers Squibb | ||||||||
0.537%, 11/13/2023 | 425 | 419 | ||||||
Cigna Group | ||||||||
0.613%, 03/15/2024 | 190 | 184 | ||||||
CVS Health | ||||||||
5.000%, 02/20/2026 | 275 | 274 | ||||||
GE HealthCare Technologies | ||||||||
5.550%, 11/15/2024 | 375 | 375 | ||||||
Haleon US Capital LLC | ||||||||
3.024%, 03/24/2024 | 420 | 413 | ||||||
Humana | ||||||||
5.700%, 03/13/2026 | 275 | 275 | ||||||
0.650%, 08/03/2023 | 430 | 430 | ||||||
Illumina | ||||||||
5.800%, 12/12/2025 | 300 | 301 | ||||||
Pfizer Investment Enterprises Pte | ||||||||
4.650%, 05/19/2025 | 1,730 | 1,715 | ||||||
Revvity | ||||||||
0.550%, 09/15/2023 | 600 | 596 | ||||||
Royalty Pharma PLC | ||||||||
0.750%, 09/02/2023 | 700 | 697 | ||||||
Stryker | ||||||||
0.600%, 12/01/2023 | 230 | 226 | ||||||
Thermo Fisher Scientific | ||||||||
5.840%, SOFRINDX + 0.530%, 10/18/2024 (A) | 1,335 | 1,335 | ||||||
9,606 | ||||||||
Industrials — 0.8% | ||||||||
AerCap Ireland Capital DAC | ||||||||
5.942%, U.S. SOFR + 0.680%, 09/29/2023 (A) | 700 | 699 | ||||||
Boeing | ||||||||
1.950%, 02/01/2024 | 425 | 417 | ||||||
Carlisle | ||||||||
0.550%, 09/01/2023 | 175 | 174 | ||||||
DAE Funding LLC MTN | ||||||||
1.550%, 08/01/2024 (B) | 450 | 429 |
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
Penske Truck Leasing Lp | ||||||||
5.750%, 05/24/2026 (B) | $ | 250 | $ | 249 | ||||
1,968 | ||||||||
Information Technology — 2.2% | ||||||||
Hewlett Packard Enterprise | ||||||||
5.900%, 10/01/2024 | 1,500 | 1,501 | ||||||
4.450%, 10/02/2023 | 250 | 250 | ||||||
Microchip Technology | ||||||||
0.972%, 02/15/2024 | 375 | 365 | ||||||
Sprint LLC | ||||||||
7.125%, 06/15/2024 | 1,675 | 1,691 | ||||||
TD SYNNEX | ||||||||
1.250%, 08/09/2024 | 650 | 618 | ||||||
VMware | ||||||||
1.000%, 08/15/2024 | 1,445 | 1,374 | ||||||
5,799 | ||||||||
Materials — 0.4% | ||||||||
Celanese US Holdings LLC | ||||||||
5.900%, 07/05/2024 | 325 | 325 | ||||||
Nutrien | ||||||||
5.900%, 11/07/2024 | 175 | 175 | ||||||
Sherwin-Williams | ||||||||
4.050%, 08/08/2024 | 250 | 246 | ||||||
Vulcan Materials | ||||||||
5.800%, 03/01/2026 | 275 | 275 | ||||||
1,021 | ||||||||
Utilities — 3.2% | ||||||||
American Electric Power | ||||||||
6.114%, ICE LIBOR USD 3 Month + 0.480%, 11/01/2023 (A) | 1,060 | 1,060 | ||||||
5.699%, 08/15/2025 | 350 | 350 | ||||||
CenterPoint Energy | ||||||||
5.777%, SOFRINDX + 0.650%, 05/13/2024 (A) | 325 | 325 | ||||||
Dominion Energy | ||||||||
6.082%, ICE LIBOR USD 3 Month + 0.530%, 09/15/2023 (A) | 475 | 475 | ||||||
Edison International | ||||||||
3.550%, 11/15/2024 | 275 | 266 | ||||||
Mississippi Power | ||||||||
5.560%, U.S. SOFR + 0.300%, 06/28/2024 (A) | 350 | 348 | ||||||
NextEra Energy Capital Holdings | ||||||||
6.051%, 03/01/2025 | 200 | 201 | ||||||
2.940%, 03/21/2024 | 450 | 442 | ||||||
Oncor Electric Delivery LLC | ||||||||
2.750%, 06/01/2024 | 1,340 | 1,307 | ||||||
Pacific Gas and Electric | ||||||||
3.250%, 02/16/2024 | 350 | 344 |
10
SEI Daily Income Trust
Description | Face Amount | Market Value | ||||||
CORPORATE OBLIGATIONS (continued) | ||||||||
1.700%, 11/15/2023 | $ | 275 | $ | 272 | ||||
Public Service Enterprise Group | ||||||||
0.841%, 11/08/2023 | 1,170 | 1,154 | ||||||
Sempra | ||||||||
5.400%, 08/01/2026 | 370 | 370 | ||||||
Southern California Edison | ||||||||
6.098%, SOFRINDX + 0.830%, 04/01/2024 (A) | 960 | 960 | ||||||
Tampa Electric | ||||||||
3.875%, 07/12/2024 | 325 | 320 | ||||||
8,194 | ||||||||
Total Corporate Obligations | ||||||||
(Cost $99,200) ($ Thousands) | 98,402 | |||||||
ASSET-BACKED SECURITIES — 29.1% | ||||||||
Automotive — 15.9% | ||||||||
Ally Auto Receivables Trust, Ser 2023-1, Cl A2 | ||||||||
5.760%, 11/15/2026 | 585 | 586 | ||||||
American Credit Acceptance Receivables Trust, Ser 2022-2, Cl A | ||||||||
2.660%, 02/13/2026 (B) | 5 | 5 | ||||||
American Credit Acceptance Receivables Trust, Ser 2023-1, Cl A | ||||||||
5.450%, 09/14/2026 (B) | 282 | 281 | ||||||
American Credit Acceptance Receivables Trust, Ser 2023-2, Cl A | ||||||||
5.890%, 10/13/2026 (B) | 159 | 159 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2019-3, Cl C | ||||||||
2.320%, 07/18/2025 | 193 | 191 | ||||||
AmeriCredit Automobile Receivables Trust, Ser 2020-2, Cl C | ||||||||
1.480%, 02/18/2026 | 675 | 653 | ||||||
Americredit Automobile Receivables Trust, Ser 2023-1, Cl A2A | ||||||||
5.840%, 10/19/2026 | 465 | 465 | ||||||
ARI Fleet Lease Trust, Ser 2021-A, Cl A2 | ||||||||
0.370%, 03/15/2030 (B) | 31 | 31 | ||||||
Bank of America Auto Trust, Ser 2023-1A, Cl A2 | ||||||||
5.830%, 05/15/2026 (B) | 295 | 295 | ||||||
BMW Vehicle Owner Trust, Ser 2023-A, Cl A2A | ||||||||
5.720%, 04/27/2026 | 115 | 115 | ||||||
Capital One Prime Auto Receivables Trust, Ser 2022-2, Cl A2A | ||||||||
3.740%, 09/15/2025 | 363 | 360 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Capital One Prime Auto Receivables Trust, Ser 2023-1, Cl A2 | ||||||||
5.200%, 05/15/2026 | $ | 300 | $ | 299 | ||||
Carmax Auto Owner Trust, Ser 2019-3, Cl C | ||||||||
2.600%, 06/16/2025 | 375 | 374 | ||||||
Carmax Auto Owner Trust, Ser 2021-1, Cl A3 | ||||||||
0.340%, 12/15/2025 | 408 | 397 | ||||||
Carmax Auto Owner Trust, Ser 2021-2, Cl A3 | ||||||||
0.520%, 02/17/2026 | 384 | 372 | ||||||
CarMax Auto Owner Trust, Ser 2022-1, Cl A3 | ||||||||
1.470%, 12/15/2026 | 1,700 | 1,633 | ||||||
CarMax Auto Owner Trust, Ser 2023-1, Cl A2A | ||||||||
5.230%, 01/15/2026 | 555 | 553 | ||||||
Carmax Auto Owner Trust, Ser 2023-2, Cl A2A | ||||||||
5.500%, 06/15/2026 | 920 | 917 | ||||||
Carmax Auto Owner Trust, Ser 2023-3, Cl A2A | ||||||||
5.720%, 11/16/2026 | 780 | 781 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N1, Cl A | ||||||||
0.700%, 01/10/2028 | 463 | 437 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N2, Cl A1 | ||||||||
0.320%, 03/10/2028 | 2 | 2 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N2, Cl B | ||||||||
0.750%, 03/10/2028 | 65 | 60 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N3, Cl B | ||||||||
0.660%, 06/12/2028 | 161 | 148 | ||||||
CFMT LLC, Ser 2021-AL1, Cl B | ||||||||
1.390%, 09/22/2031 (B) | 279 | 268 | ||||||
Chesapeake Funding II LLC, Ser 2021-1A, Cl A2 | ||||||||
5.412%, SOFR30A + 0.344%, 04/15/2033 (A)(B) | 110 | 110 | ||||||
Chesapeake Funding II LLC, Ser 2023-1A, Cl A1 | ||||||||
5.650%, 05/15/2035 (B) | 382 | 379 | ||||||
Citizens Auto Receivables Trust, Ser 2023-1, Cl A2A | ||||||||
6.130%, 07/15/2026 (B) | 1,250 | 1,251 | ||||||
CPS Auto Receivables Trust, Ser 2022-A, Cl A | ||||||||
0.980%, 04/16/2029 (B) | 88 | 87 | ||||||
CPS Auto Receivables Trust, Ser 2023-A, Cl A | ||||||||
5.540%, 03/16/2026 (B) | 450 | 448 | ||||||
CPS Auto Receivables Trust, Ser 2023-B, Cl A | ||||||||
5.910%, 08/16/2027 (B) | 270 | 270 |
SEI Daily Income Trust
11
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
CPS Auto Receivables Trust, Ser 2023-C, Cl A | ||||||||
6.130%, 09/15/2026 (B) | $ | 125 | $ | 125 | ||||
Credit Acceptance Auto Loan Trust, Ser 2021-3A, Cl A | ||||||||
1.000%, 05/15/2030 (B) | 206 | 201 | ||||||
Donlen Fleet Lease Funding 2 LLC, Ser 2021-2, Cl A2 | ||||||||
0.560%, 12/11/2034 (B) | 232 | 227 | ||||||
DT Auto Owner Trust, Ser 2021-2A, Cl B | ||||||||
0.810%, 01/15/2027 (B) | 63 | 63 | ||||||
DT Auto Owner Trust, Ser 2021-4A, Cl A | ||||||||
0.560%, 09/15/2025 (B) | 78 | 78 | ||||||
DT Auto Owner Trust, Ser 2023-1A, Cl A | ||||||||
5.480%, 04/15/2027 (B) | 409 | 408 | ||||||
DT Auto Owner Trust, Ser 2023-2A, Cl A | ||||||||
5.880%, 04/15/2027 (B) | 366 | 365 | ||||||
DT Auto Owner Trust, Ser 2023-3A, Cl A | ||||||||
6.290%, 08/16/2027 (B) | 325 | 325 | ||||||
Enterprise Fleet Financing LLC, Ser 2021-2, Cl A2 | ||||||||
0.480%, 05/20/2027 (B) | 115 | 111 | ||||||
Enterprise Fleet Financing LLC, Ser 2022-2, Cl A2 | ||||||||
4.650%, 05/21/2029 (B) | 1,023 | 1,008 | ||||||
Enterprise Fleet Financing LLC, Ser 2022-3, Cl A2 | ||||||||
4.380%, 07/20/2029 (B) | 75 | 74 | ||||||
Enterprise Fleet Financing LLC, Ser 2022-4, Cl A2 | ||||||||
5.760%, 10/22/2029 (B) | 280 | 279 | ||||||
Enterprise Fleet Financing LLC, Ser 2023-1, Cl A2 | ||||||||
5.510%, 01/22/2029 (B) | 215 | 214 | ||||||
Enterprise Fleet Financing LLC, Ser 2023-2, Cl A1 | ||||||||
5.793%, 06/20/2024 (B) | 170 | 170 | ||||||
Enterprise Fleet Financing LLC, Ser 2023-2, Cl A2 | ||||||||
5.560%, 04/22/2030 (B) | 410 | 408 | ||||||
Enterprise Fleet Funding LLC, Ser 2021-1, Cl A2 | ||||||||
0.440%, 12/21/2026 (B) | 41 | 41 | ||||||
Exeter Automobile Receivables Trust, Ser 2022-5A, Cl A2 | ||||||||
5.290%, 01/15/2025 | 139 | 139 | ||||||
Exeter Automobile Receivables Trust, Ser 2023-1A, Cl A2 | ||||||||
5.610%, 06/16/2025 | 114 | 114 | ||||||
Exeter Automobile Receivables Trust, Ser 2023-2A, Cl A3 | ||||||||
5.600%, 08/17/2026 | 170 | 169 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
FHF Trust, Ser 2021-2A, Cl A | ||||||||
0.830%, 12/15/2026 (B) | $ | 93 | $ | 89 | ||||
FHF Trust, Ser 2022-1A, Cl A | ||||||||
4.430%, 01/18/2028 (B) | 238 | 232 | ||||||
First Investors Auto Owner Trust, Ser 2022-1A, Cl A | ||||||||
2.030%, 01/15/2027 (B) | 1,074 | 1,047 | ||||||
Flagship Credit Auto Trust, Ser 2021-2, Cl A | ||||||||
0.370%, 12/15/2026 (B) | 39 | 38 | ||||||
Flagship Credit Auto Trust, Ser 2021-2, Cl B | ||||||||
0.930%, 06/15/2027 (B) | 285 | 276 | ||||||
Flagship Credit Auto Trust, Ser 2021-3, Cl A | ||||||||
0.360%, 07/15/2027 (B) | 76 | 74 | ||||||
Flagship Credit Auto Trust, Ser 2023-2, Cl A2 | ||||||||
5.760%, 04/15/2027 (B) | 280 | 279 | ||||||
Ford Credit Auto Lease Trust, Ser 2021-B, Cl B | ||||||||
0.660%, 01/15/2025 | 500 | 490 | ||||||
Ford Credit Auto Lease Trust, Ser 2023-A, Cl A2A | ||||||||
5.190%, 06/15/2025 | 280 | 279 | ||||||
Ford Credit Auto Owner Trust, Ser 2018-1, Cl A | ||||||||
3.190%, 07/15/2031 (B) | 480 | 462 | ||||||
Ford Credit Auto Owner Trust, Ser 2020-1, Cl A | ||||||||
2.040%, 08/15/2031 (B) | 1,400 | 1,323 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl A3 | ||||||||
0.810%, 05/15/2026 (B) | 59 | 58 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl A2 | ||||||||
1.150%, 09/15/2025 (B) | 20 | 19 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2022-2, Cl A2 | ||||||||
4.490%, 03/16/2026 (B) | 287 | 286 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2023-1, Cl A2 | ||||||||
5.430%, 10/15/2026 (B) | 298 | 296 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2023-2, Cl A2 | ||||||||
5.990%, 05/15/2028 (B) | 340 | 340 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2021-2A, Cl B | ||||||||
0.770%, 09/15/2025 (B) | 23 | 23 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2022-3A, Cl A2 | ||||||||
4.590%, 05/15/2026 (B) | 115 | 114 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2023-1A, Cl A2 | ||||||||
5.980%, 08/17/2026 (B) | 405 | 404 |
12
SEI Daily Income Trust
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
GM Financial Automobile Leasing Trust, Ser 2023-1, Cl A2A | ||||||||
5.270%, 06/20/2025 | $ | 191 | $ | 190 | ||||
GM Financial Automobile Leasing Trust, Ser 2023-2, Cl A2A | ||||||||
5.440%, 10/20/2025 | 520 | 518 | ||||||
GM Financial Consumer Automobile Receivables Trust, Ser 2023-3, Cl A2A | ||||||||
5.740%, 09/16/2026 | 270 | 270 | ||||||
GTE Auto Receivables Trust, Ser 2023-1, Cl A2 | ||||||||
5.650%, 08/17/2026 (B) | 1,155 | 1,149 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2022-A, Cl A2A | ||||||||
2.450%, 05/15/2025 | 47 | 47 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2023-A, Cl A2A | ||||||||
5.320%, 06/15/2026 | 750 | 747 | ||||||
Honda Auto Receivables Owner Trust, Ser 2023-2, Cl A2 | ||||||||
5.410%, 04/15/2026 | 425 | 424 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2023-A, Cl A2A | ||||||||
5.200%, 04/15/2025 (B) | 206 | 205 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2023-A, Cl A3 | ||||||||
5.050%, 01/15/2026 (B) | 260 | 258 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2023-B, Cl A2A | ||||||||
5.470%, 09/15/2025 (B) | 165 | 164 | ||||||
Hyundai Auto Receivables Trust, Ser 2023-B, Cl A2A | ||||||||
5.770%, 05/15/2026 | 430 | 430 | ||||||
JPMorgan Chase Bank, Ser 2020-1, Cl B | ||||||||
0.991%, 01/25/2028 (B) | 18 | 18 | ||||||
LAD Auto Receivables Trust, Ser 2021-1A, Cl A | ||||||||
1.300%, 08/17/2026 (B) | 179 | 175 | ||||||
LAD Auto Receivables Trust, Ser 2022-1A, Cl A | ||||||||
5.210%, 06/15/2027 (B) | 170 | 168 | ||||||
Lendbuzz Securitization Trust, Ser 2021-1A, Cl A | ||||||||
1.460%, 06/15/2026 (B) | 252 | 242 | ||||||
Lendbuzz Securitization Trust, Ser 2023-1A, Cl A1 | ||||||||
5.383%, 03/15/2024 (B) | 36 | 36 | ||||||
Mercedes-Benz Auto Receivables Trust, Ser 2023-1, Cl A2 | ||||||||
5.090%, 01/15/2026 | 700 | 697 | ||||||
Nissan Auto Lease Trust, Ser 2023-A, Cl A2A | ||||||||
5.100%, 03/17/2025 | 520 | 518 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Nissan Auto Lease Trust, Ser 2023-B, Cl A2A | ||||||||
5.740%, 08/15/2025 | $ | 170 | $ | 170 | ||||
Nissan Auto Receivables Owner Trust, Ser 2023-A, Cl A2A | ||||||||
5.340%, 02/17/2026 | 235 | 234 | ||||||
OneMain Direct Auto Receivables Trust, Ser 2019-1A, Cl A | ||||||||
3.630%, 09/14/2027 (B) | 315 | 304 | ||||||
Prestige Auto Receivables Trust, Ser 2023-1A, Cl B | ||||||||
5.550%, 04/15/2027 (B) | 1,360 | 1,344 | ||||||
Santander Bank Auto Credit-Linked Notes, Ser 2022-B, Cl B | ||||||||
5.721%, 08/16/2032 (B) | 622 | 618 | ||||||
Santander Bank Auto Credit-Linked Notes, Ser 2022-C, Cl B | ||||||||
6.451%, 12/15/2032 (B) | 245 | 244 | ||||||
Santander Bank Auto Credit-Linked Notes, Ser 2023-A, Cl B | ||||||||
6.493%, 06/15/2033 (B) | 754 | 753 | ||||||
Santander Consumer Auto Receivables Trust, Ser 2020-BA, Cl B | ||||||||
0.770%, 12/15/2025 (B) | 88 | 87 | ||||||
Santander Drive Auto Receivables Trust, Ser 2020-4, Cl C | ||||||||
1.010%, 01/15/2026 | 50 | 49 | ||||||
Santander Drive Auto Receivables Trust, Ser 2021-1, Cl C | ||||||||
0.750%, 02/17/2026 | 189 | 188 | ||||||
Santander Drive Auto Receivables Trust, Ser 2021-4, Cl C | ||||||||
1.260%, 02/16/2027 | 1,900 | 1,835 | ||||||
Santander Drive Auto Receivables Trust, Ser 2022-5, Cl A2 | ||||||||
3.980%, 01/15/2025 | 31 | 31 | ||||||
Santander Drive Auto Receivables Trust, Ser 2022-5, Cl A3 | ||||||||
4.110%, 08/17/2026 | 350 | 347 | ||||||
Santander Drive Auto Receivables Trust, Ser 2023-1, Cl A2 | ||||||||
5.360%, 05/15/2026 | 335 | 335 | ||||||
Santander Drive Auto Receivables Trust, Ser 2023-3, Cl A2 | ||||||||
6.080%, 08/17/2026 | 140 | 140 | ||||||
SFS Auto Receivables Securitization Trust, Ser 2023-1A, Cl A2A | ||||||||
5.890%, 03/22/2027 (B) | 195 | 195 | ||||||
Tesla Auto Lease Trust, Ser 2023-A, Cl A2 | ||||||||
5.860%, 08/20/2025 (B) | 185 | 185 | ||||||
Toyota Lease Owner Trust, Ser 2023-A, Cl A2 | ||||||||
5.300%, 08/20/2025 (B) | 240 | 239 |
SEI Daily Income Trust
13
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Tricolor Auto Securitization Trust, Ser 2022-1A, Cl A | ||||||||
3.300%, 02/18/2025 (B) | $ | 45 | $ | 45 | ||||
Tricolor Auto Securitization Trust, Ser 2023-1A, Cl A | ||||||||
6.480%, 08/17/2026 (B) | 151 | 151 | ||||||
UNIFY Auto Receivables Trust, Ser 2021-1A, Cl A3 | ||||||||
0.510%, 06/16/2025 (B) | 33 | 33 | ||||||
United Auto Credit Securitization Trust, Ser 2022-1, Cl B | ||||||||
2.100%, 03/10/2025 (B) | 89 | 89 | ||||||
United Auto Credit Securitization Trust, Ser 2022-2, Cl A | ||||||||
4.390%, 04/10/2025 (B) | 148 | 147 | ||||||
United Auto Credit Securitization Trust, Ser 2023-1, Cl A | ||||||||
5.570%, 07/10/2025 (B) | 163 | 163 | ||||||
Volkswagen Auto Lease Trust, Ser 2022-A, Cl A3 | ||||||||
3.440%, 07/21/2025 | 1,055 | 1,036 | ||||||
Westlake Automobile Receivables Trust, Ser 2021-1A, Cl B | ||||||||
0.640%, 03/16/2026 (B) | 31 | 31 | ||||||
Westlake Automobile Receivables Trust, Ser 2021-2A, Cl B | ||||||||
0.620%, 07/15/2026 (B) | 192 | 190 | ||||||
Westlake Automobile Receivables Trust, Ser 2023-1A, Cl A2A | ||||||||
5.510%, 06/15/2026 (B) | 365 | 364 | ||||||
Westlake Automobile Receivables Trust, Ser 2023-2A, Cl A2A | ||||||||
5.870%, 07/15/2026 (B) | 720 | 720 | ||||||
Westlake Automobile Receivables Trust, Ser 2023-2A, Cl A3 | ||||||||
5.800%, 02/16/2027 (B) | 715 | 715 | ||||||
Wheels Fleet Lease Funding 1 LLC, Ser 2023-1A, Cl A | ||||||||
5.800%, 04/18/2038 (B) | 545 | 542 | ||||||
World Omni Auto Receivables Trust, Ser 2021-C, Cl A3 | ||||||||
0.440%, 08/17/2026 | 212 | 204 | ||||||
World Omni Select Auto Trust, Ser 2023-A, Cl A2A | ||||||||
5.920%, 03/15/2027 | 475 | 474 | ||||||
41,033 | ||||||||
Credit Card — 0.9% | ||||||||
Capital One Multi-Asset Execution Trust, Ser 2021-A3, Cl A3 | ||||||||
1.040%, 11/15/2026 | 425 | 402 | ||||||
CARDS II Trust, Ser 2021-1A, Cl A | ||||||||
0.602%, 04/15/2027 (B) | 900 | 867 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Evergreen Credit Card Trust, Ser 2022-CRT1, Cl B | ||||||||
5.610%, 07/15/2026 (B) | $ | 500 | $ | 494 | ||||
Master Credit Card Trust, Ser 2021-1A, Cl A | ||||||||
0.530%, 11/21/2025 (B) | 370 | 354 | ||||||
Synchrony Card Funding LLC, Ser 2022-A1, Cl A | ||||||||
3.370%, 04/15/2028 | 335 | 323 | ||||||
2,440 | ||||||||
Miscellaneous Business Services — 12.3% | ||||||||
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A | ||||||||
5.280%, TSFR1M + 0.794%, 01/25/2035 (A) | 24 | 24 | ||||||
Affirm Asset Securitization Trust, Ser 2020-Z1, Cl A | ||||||||
3.460%, 10/15/2024 (B) | 5 | 5 | ||||||
Affirm Asset Securitization Trust, Ser 2020-Z2, Cl A | ||||||||
1.900%, 01/15/2025 (B) | 24 | 24 | ||||||
Affirm Asset Securitization Trust, Ser 2021-B, Cl A | ||||||||
1.030%, 08/17/2026 (B) | 355 | 349 | ||||||
Affirm Asset Securitization Trust, Ser 2021-Z1, Cl A | ||||||||
1.070%, 08/15/2025 (B) | 137 | 134 | ||||||
Affirm Asset Securitization Trust, Ser 2021-Z2, Cl A | ||||||||
1.170%, 11/16/2026 (B) | 83 | 80 | ||||||
Affirm Asset Securitization Trust, Ser 2022-X1, Cl A | ||||||||
1.750%, 02/15/2027 (B) | 112 | 110 | ||||||
Affirm Asset Securitization Trust, Ser 2023-A, Cl 1A | ||||||||
6.610%, 01/18/2028 (B) | 265 | 263 | ||||||
Amur Equipment Finance Receivables IX LLC, Ser 2021-1A, Cl A2 | ||||||||
0.750%, 11/20/2026 (B) | 114 | 111 | ||||||
Amur Equipment Finance Receivables XI LLC, Ser 2022-2A, Cl A2 | ||||||||
5.300%, 06/21/2028 (B) | 164 | 162 | ||||||
Apidos CLO XII, Ser 2018-12A, Cl AR | ||||||||
6.650%, TSFR3M + 1.342%, 04/15/2031 (A)(B) | 598 | 596 | ||||||
Apidos CLO XV, Ser 2018-15A, Cl A1RR | ||||||||
6.598%, TSFR3M + 1.272%, 04/20/2031 (A)(B) | 528 | 525 | ||||||
Aqua Finance Trust, Ser 2021-A, Cl A | ||||||||
1.540%, 07/17/2046 (B) | 150 | 133 | ||||||
Atalaya Equipment Leasing Trust, Ser 2021-1A, Cl A2 | ||||||||
1.230%, 05/15/2026 (B) | 84 | 83 |
14
SEI Daily Income Trust
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Avant Loans Funding Trust, Ser 2021-REV1, Cl A | ||||||||
1.210%, 07/15/2030 (B) | $ | 238 | $ | 233 | ||||
Barings CLO, Ser 2018-3A, Cl A1 | ||||||||
6.538%, TSFR3M + 1.212%, 07/20/2029 (A)(B) | 139 | 139 | ||||||
Benefit Street Partners CLO XII, Ser 2021-12A, Cl A1R | ||||||||
6.520%, TSFR3M + 1.212%, 10/15/2030 (A)(B) | 538 | 534 | ||||||
BHG Securitization Trust, Ser 2022-A, Cl A | ||||||||
1.710%, 02/20/2035 (B) | 338 | 325 | ||||||
BHG Securitization Trust, Ser 2022-B, Cl A | ||||||||
3.750%, 06/18/2035 (B) | 264 | 260 | ||||||
BHG Securitization Trust, Ser 2022-C, Cl A | ||||||||
5.320%, 10/17/2035 (B) | 95 | 94 | ||||||
BSPRT, Ser 2022-FL8, Cl A | ||||||||
6.568%, SOFR30A + 1.500%, 02/15/2037 (A)(B) | 425 | 417 | ||||||
Carbone CLO, Ser 2017-1A, Cl A1 | ||||||||
6.728%, TSFR3M + 1.402%, 01/20/2031 (A)(B) | 230 | 229 | ||||||
Carlyle Global Market Strategies CLO, Ser 2018-1A, Cl A1R2 | ||||||||
6.540%, TSFR3M + 1.232%, 04/17/2031 (A)(B) | 646 | 641 | ||||||
Carlyle Global Market Strategies CLO, Ser 2021-1A, Cl AR3 | ||||||||
6.568%, TSFR3M + 1.242%, 07/20/2031 (A)(B) | 402 | 398 | ||||||
CCG Receivables Trust, Ser 2021-1, Cl A2 | ||||||||
0.300%, 06/14/2027 (B) | 57 | 56 | ||||||
CCG Receivables Trust, Ser 2023-1, Cl A2 | ||||||||
5.820%, 09/16/2030 (B) | 375 | 375 | ||||||
CIFC Funding, Ser 2017-1A, Cl ARR | ||||||||
6.717%, TSFR3M + 1.372%, 01/22/2031 (A)(B) | 321 | 319 | ||||||
CIFC Funding, Ser 2018-2A, Cl A1 | ||||||||
6.628%, ICE LIBOR USD 3 Month + 1.040%, 04/20/2031 (A)(B) | 300 | 297 | ||||||
CIFC Funding, Ser 2018-3A, Cl AR | ||||||||
6.452%, TSFR3M + 1.132%, 04/19/2029 (A)(B) | 313 | 311 | ||||||
CNH Equipment Trust, Ser 2022-B, Cl A2 | ||||||||
3.940%, 12/15/2025 | 75 | 74 | ||||||
CNH Equipment Trust, Ser 2023-A, Cl A2 | ||||||||
5.340%, 09/15/2026 | 695 | 692 | ||||||
DB Master Finance LLC, Ser 2019-1A, Cl A2II | ||||||||
4.021%, 05/20/2049 (B) | 602 | 562 | ||||||
Dell Equipment Finance Trust, Ser 2021-2, Cl A3 | ||||||||
0.530%, 12/22/2026 (B) | 592 | 581 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Dell Equipment Finance Trust, Ser 2022-2, Cl A2 | ||||||||
4.030%, 07/22/2027 (B) | $ | 249 | $ | 246 | ||||
Dell Equipment Finance Trust, Ser 2023-2, Cl A2 | ||||||||
5.840%, 01/22/2029 (B) | 580 | 579 | ||||||
Dewolf Park CLO, Ser 2021-1A, Cl AR | ||||||||
6.490%, TSFR3M + 1.182%, 10/15/2030 (A)(B) | 599 | 593 | ||||||
Dext ABS, Ser 2021-1, Cl A | ||||||||
1.120%, 02/15/2028 (B) | 109 | 105 | ||||||
DLLAA LLC, Ser 2023-1A, Cl A2 | ||||||||
5.930%, 07/20/2026 (B) | 200 | 200 | ||||||
DLLAD LLC, Ser 2021-1A, Cl A3 | ||||||||
0.640%, 09/21/2026 (B) | 347 | 329 | ||||||
DLLAD LLC, Ser 2023-1A, Cl A2 | ||||||||
5.190%, 04/20/2026 (B) | 335 | 333 | ||||||
DLLMT LLC, Ser 2023-1A, Cl A2 | ||||||||
5.780%, 11/20/2025 (B) | 365 | 363 | ||||||
DLLST LLC, Ser 2022-1A, Cl A2 | ||||||||
2.790%, 01/22/2024 (B) | 51 | 51 | ||||||
DLLST LLC, Ser 2022-1A, Cl A3 | ||||||||
3.400%, 01/21/2025 (B) | 400 | 394 | ||||||
FCI Funding LLC, Ser 2021-1A, Cl A | ||||||||
1.130%, 04/15/2033 (B) | 34 | 33 | ||||||
Ford Credit Floorplan Master Owner Trust A, Ser 2019-2, Cl B | ||||||||
3.250%, 04/15/2026 | 400 | 391 | ||||||
Goldentree Loan Management US CLO, Ser 2021-2A, Cl AR | ||||||||
6.498%, TSFR3M + 1.172%, 11/20/2030 (A)(B) | 362 | 360 | ||||||
GreatAmerica Leasing Receivables Funding LLC, Ser 2021-2, Cl A2 | ||||||||
0.380%, 03/15/2024 (B) | 43 | 43 | ||||||
GreatAmerica Leasing Receivables, Ser 2023-1, Cl A2 | ||||||||
5.350%, 02/16/2026 (B) | 680 | 674 | ||||||
Hilton Grand Vacations Trust, Ser 2020-AA, Cl A | ||||||||
2.740%, 02/25/2039 (B) | 75 | 69 | ||||||
HPEFS Equipment Trust, Ser 2021-2A, Cl B | ||||||||
0.610%, 09/20/2028 (B) | 225 | 222 | ||||||
HPEFS Equipment Trust, Ser 2022-3A, Cl A3 | ||||||||
5.430%, 08/20/2029 (B) | 355 | 353 | ||||||
John Deere Owner Trust, Ser 2023-A, Cl A2 | ||||||||
5.280%, 03/16/2026 | 320 | 319 | ||||||
KKR CLO, Ser 2017-11, Cl AR | ||||||||
6.750%, TSFR3M + 1.442%, 01/15/2031 (A)(B) | 305 | 303 | ||||||
KKR CLO, Ser 2018-21, Cl A | ||||||||
6.570%, TSFR3M + 1.262%, 04/15/2031 (A)(B) | 463 | 460 |
SEI Daily Income Trust
15
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Kubota Credit Owner Trust, Ser 2020-2A, Cl A3 | ||||||||
0.590%, 10/15/2024 (B) | $ | 28 | $ | 28 | ||||
Kubota Credit Owner Trust, Ser 2023-2A, Cl A2 | ||||||||
5.610%, 07/15/2026 (B) | 650 | 649 | ||||||
LCM XXIII, Ser 2020-23A, Cl A1R | ||||||||
6.658%, TSFR3M + 1.332%, 10/20/2029 (A)(B) | 346 | 345 | ||||||
LCM XXIV, Ser 2021-24A, Cl AR | ||||||||
6.568%, TSFR3M + 1.242%, 03/20/2030 (A)(B) | 419 | 416 | ||||||
Madison Park Funding XVII, Ser 2021-17A, Cl AR2 | ||||||||
6.595%, TSFR3M + 1.262%, 07/21/2030 (A)(B) | 483 | 481 | ||||||
Madison Park Funding XXX, Ser 2018-30A, Cl A | ||||||||
6.320%, TSFR3M + 1.012%, 04/15/2029 (A)(B) | 827 | 821 | ||||||
Magnetite VIII, Ser 2018-8A, Cl AR2 | ||||||||
6.550%, TSFR3M + 1.242%, 04/15/2031 (A)(B) | 663 | 661 | ||||||
Marlette Funding Trust, Ser 2022-1A, Cl A | ||||||||
1.360%, 04/15/2032 (B) | 56 | 56 | ||||||
Marlette Funding Trust, Ser 2022-2A, Cl A | ||||||||
4.250%, 08/15/2032 (B) | 44 | 43 | ||||||
Marlette Funding Trust, Ser 2022-3A, Cl A | ||||||||
5.180%, 11/15/2032 (B) | 106 | 105 | ||||||
Marlette Funding Trust, Ser 2023-1A, Cl A | ||||||||
6.070%, 04/15/2033 (B) | 400 | 399 | ||||||
Marlette Funding Trust, Ser 2023-2A, Cl A | ||||||||
6.040%, 06/15/2033 (B) | 394 | 393 | ||||||
Marlette Funding Trust, Ser 2023-3A, Cl A | ||||||||
6.490%, 09/15/2033 (B) | 413 | 413 | ||||||
MF1, Ser 2022-FL8, Cl A | ||||||||
6.418%, SOFR30A + 1.350%, 02/19/2037 (A)(B) | 400 | 391 | ||||||
MMAF Equipment Finance LLC, Ser 2021-A, Cl A3 | ||||||||
0.560%, 06/13/2028 (B) | 95 | 90 | ||||||
MMAF Equipment Finance LLC, Ser 2023-A, Cl A2 | ||||||||
5.790%, 11/13/2026 (B) | 340 | 340 | ||||||
Navient Private Education Refi Loan Trust, Ser 2020-DA, Cl A | ||||||||
1.690%, 05/15/2069 (B) | 403 | 362 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-A, Cl A | ||||||||
0.840%, 05/15/2069 (B) | 481 | 417 |
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Neuberger Berman Loan Advisers CLO, Ser 2021-25A, Cl AR | ||||||||
6.502%, TSFR3M + 1.192%, 10/18/2029 (A)(B) | $ | 888 | $ | 883 | ||||
Neuberger Berman Loan Advisers CLO, Ser 2021-26A, Cl AR | ||||||||
6.492%, TSFR3M + 1.182%, 10/18/2030 (A)(B) | 584 | 582 | ||||||
NYCTL Trust, Ser 2022-A, Cl A | ||||||||
2.100%, 11/10/2034 (B) | 203 | 196 | ||||||
OCP CLO, Ser 2018-5A, Cl A1R | ||||||||
6.692%, TSFR3M + 1.342%, 04/26/2031 (A)(B) | 134 | 133 | ||||||
OHA Credit Funding 10, Ser 2021-10A, Cl X | ||||||||
6.322%, TSFR3M + 1.012%, 01/18/2036 (A)(B) | 159 | 158 | ||||||
OneMain Financial Issuance Trust, Ser 2018-2A, Cl A | ||||||||
3.570%, 03/14/2033 (B) | 249 | 245 | ||||||
OZLM VII, Ser 2018-7RA, Cl A1R | ||||||||
6.580%, TSFR3M + 1.272%, 07/17/2029 (A)(B) | 209 | 208 | ||||||
OZLM VIII, Ser 2021-8A, Cl A1R3 | ||||||||
6.550%, TSFR3M + 1.242%, 10/17/2029 (A)(B) | 227 | 225 | ||||||
Palmer Square Loan Funding, Ser 2021-4A, Cl A1 | ||||||||
6.370%, TSFR3M + 1.062%, 10/15/2029 (A)(B) | 612 | 606 | ||||||
PFS Financing, Ser 2020-G, Cl A | ||||||||
0.970%, 02/15/2026 (B) | 750 | 730 | ||||||
PFS Financing, Ser 2021-B, Cl A | ||||||||
0.770%, 08/15/2026 (B) | 700 | 663 | ||||||
SCF Equipment Leasing LLC, Ser 2022-1A, Cl A2 | ||||||||
2.060%, 02/22/2028 (B) | 178 | 175 | ||||||
Sierra Timeshare Receivables Funding LLC, Ser 2018-3A, Cl A | ||||||||
3.690%, 09/20/2035 (B) | 346 | 343 | ||||||
SoFi Consumer Loan Program Trust, Ser 2021-1, Cl A | ||||||||
0.490%, 09/25/2030 (B) | 49 | 48 | ||||||
SoFi Consumer Loan Program Trust, Ser 2023-1S, Cl A | ||||||||
5.810%, 05/15/2031 (B) | 892 | 891 | ||||||
Symphony CLO XVIII, Ser 2021-18A, Cl X | ||||||||
6.357%, TSFR3M + 1.012%, 07/23/2033 (A)(B) | 150 | 149 | ||||||
Symphony Static CLO I, Ser 2021-1A, Cl A | ||||||||
6.443%, TSFR3M + 1.092%, 10/25/2029 (A)(B) | 432 | 428 |
16
SEI Daily Income Trust
Description | Face Amount | Market Value | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Upstart Securitization Trust, Ser 2021-4, Cl A | ||||||||
0.840%, 09/20/2031 (B) | $ | 87 | $ | 86 | ||||
Verizon Master Trust, Ser 2022-7, Cl A1A | ||||||||
5.230%, 11/22/2027 | 1,325 | 1,317 | ||||||
Verizon Owner Trust, Ser 2020-B, Cl A | ||||||||
0.470%, 02/20/2025 | 48 | 47 | ||||||
Verizon Owner Trust, Ser 2020-B, Cl B | ||||||||
0.680%, 02/20/2025 | 220 | 217 | ||||||
Vibrant CLO VI, Ser 2021-6A, Cl AR | ||||||||
6.460%, ICE LIBOR USD 3 Month + 0.950%, 06/20/2029 (A)(B) | 161 | 161 | ||||||
Volvo Financial Equipment LLC, Ser 2020-1A, Cl A3 | ||||||||
0.510%, 10/15/2024 (B) | 59 | 59 | ||||||
Voya CLO, Ser 2018-2A, Cl A1R | ||||||||
6.583%, TSFR3M + 1.232%, 04/25/2031 (A)(B) | 453 | 449 | ||||||
Voya CLO, Ser 2020-1A, Cl AR | ||||||||
6.630%, TSFR3M + 1.322%, 04/15/2031 (A)(B) | 527 | 525 | ||||||
Voya CLO, Ser 2020-2A, Cl A1RR | ||||||||
6.590%, TSFR3M + 1.282%, 04/17/2030 (A)(B) | 379 | 377 | ||||||
31,867 | ||||||||
Total Asset-Backed Securities | ||||||||
(Cost $76,016) ($ Thousands) | 75,340 | |||||||
MORTGAGE-BACKED SECURITIES — 13.1% | ||||||||
Agency Mortgage-Backed Obligations — 2.0% | ||||||||
FHLMC | ||||||||
5.285%, H15T1Y + 2.095%, 02/01/2030(A) | 3 | 3 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser K043, Cl A2 | ||||||||
3.062%, 12/25/2024 | 1,750 | 1,694 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, Ser KW07, Cl A1 | ||||||||
3.600%, 07/25/2028 | 781 | 758 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K726, Cl A2 | ||||||||
2.905%, 04/25/2024 | 683 | 671 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KPLB, Cl A | ||||||||
2.770%, 05/25/2025 | 505 | 482 | ||||||
FHLMC REMIC, Ser 2013-4272, Cl YG | ||||||||
2.000%, 11/15/2026 | 45 | 44 | ||||||
FHLMC REMIC, Ser 2014-4379, Cl CB | ||||||||
2.250%, 04/15/2033 | 158 | 152 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC REMIC, Ser 2014-4387, Cl DA | ||||||||
3.000%, 01/15/2032 | $ | – | $ | – | ||||
FHLMC REMIC, Ser 2017-4721, Cl HV | ||||||||
3.500%, 09/15/2030 | 35 | 35 | ||||||
FNMA | ||||||||
6.000%, 01/01/2027 | 3 | 4 | ||||||
5.500%, 12/01/2023 | – | – | ||||||
5.000%, 02/01/2024 to 03/01/2025 | – | – | ||||||
4.465%, H15T1Y + 2.215%, 01/01/2029(A) | 2 | 2 | ||||||
4.431%, ICE LIBOR USD 6 Month + 1.846%, 09/01/2024(A) | 2 | 2 | ||||||
4.245%, H15T1Y + 2.120%, 11/01/2025(A) | – | – | ||||||
4.096%, ICE LIBOR USD 6 Month + 1.775%, 09/01/2024(A) | – | – | ||||||
4.045%, H15T1Y + 2.045%, 05/01/2028(A) | – | – | ||||||
3.500%, 08/01/2032 | 266 | 254 | ||||||
3.000%, 10/01/2030 to 12/01/2030 | 468 | 445 | ||||||
FNMA REMIC, Ser 2001-33, Cl FA | ||||||||
5.634%, SOFR30A + 0.564%, 07/25/2031(A) | 2 | 2 | ||||||
FNMA REMIC, Ser 2002-64, Cl FG | ||||||||
5.433%, SOFR30A + 0.364%, 10/18/2032(A) | – | – | ||||||
FNMA REMIC, Ser 2012-137, Cl UE | ||||||||
1.750%, 09/25/2041 | 97 | 89 | ||||||
FNMA REMIC, Ser 2012-63, Cl MA | ||||||||
4.000%, 06/25/2040 | 193 | 188 | ||||||
FNMA REMIC, Ser 2013-97, Cl KA | ||||||||
3.000%, 11/25/2031 | 12 | 11 | ||||||
FNMA, Ser 2014-M8, Cl A2 | ||||||||
3.056%, 06/25/2024(A) | 364 | 355 | ||||||
FNMA, Ser 2017-M13, Cl FA | ||||||||
5.557%, ICE LIBOR USD 1 Month + 0.400%, 10/25/2024(A) | 22 | 22 | ||||||
GNMA, Ser 2015-56, Cl LB | ||||||||
1.500%, 04/16/2040 | 48 | 47 | ||||||
5,260 | ||||||||
Non-Agency Mortgage-Backed Obligations — 11.1% | ||||||||
Angel Oak Mortgage Trust LLC, Ser 2020-1, Cl A1 | ||||||||
2.466%, 12/25/2059(A)(B) | 27 | 25 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2020-2, Cl A1A | ||||||||
2.531%, 01/26/2065(A)(B) | 131 | 120 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2020-3, Cl A1 | ||||||||
1.691%, 04/25/2065(A)(B) | 158 | 143 |
SEI Daily Income Trust
17
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Angel Oak Mortgage Trust LLC, Ser 2020-4, Cl A1 | ||||||||
1.469%, 06/25/2065(A)(B) | $ | 89 | $ | 82 | ||||
Angel Oak Mortgage Trust LLC, Ser 2020-R1, Cl A1 | ||||||||
0.990%, 04/25/2053(A)(B) | 77 | 69 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2021-1, Cl A1 | ||||||||
0.909%, 01/25/2066(A)(B) | 242 | 199 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2021-3, Cl A1 | ||||||||
1.068%, 05/25/2066(A)(B) | 217 | 177 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2021-5, Cl A1 | ||||||||
0.951%, 07/25/2066(A)(B) | 391 | 324 | ||||||
Arroyo Mortgage Trust, Ser 2019-3, Cl A1 | ||||||||
2.962%, 10/25/2048(A)(B) | 91 | 82 | ||||||
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2 | ||||||||
5.239%, 07/25/2035(A) | 23 | 21 | ||||||
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1 | ||||||||
3.900%, 11/25/2035(A) | 4 | 4 | ||||||
BBCMS Mortgage Trust, Ser 2020-C8, Cl A1 | ||||||||
0.601%, 10/15/2053 | 202 | 194 | ||||||
Bear Stearns ARM Trust, Ser 2005-3, Cl 2A1 | ||||||||
4.777%, 06/25/2035(A) | 10 | 10 | ||||||
Bear Stearns ARM Trust, Ser 2005-6, Cl 3A1 | ||||||||
5.312%, 08/25/2035(A) | 28 | 25 | ||||||
Benchmark Mortgage Trust, Ser 2020-B17, Cl A2 | ||||||||
2.211%, 03/15/2053 | 320 | 299 | ||||||
BFLD Trust, Ser 2020-OBRK, Cl A | ||||||||
7.387%, TSFR1M + 2.164%, 11/15/2028(A)(B) | 325 | 324 | ||||||
BMO MORTGAGE TRUST, Ser C3, Cl A1 | ||||||||
5.252%, 09/15/2054(A) | 415 | 407 | ||||||
BPR Trust, Ser 2021-TY, Cl A | ||||||||
6.387%, TSFR1M + 1.164%, 09/15/2038(A)(B) | 960 | 915 | ||||||
BRAVO Residential Funding Trust, Ser 2020-NQM1, Cl A1 | ||||||||
1.449%, 05/25/2060(A)(B) | 63 | 59 | ||||||
BRAVO Residential Funding Trust, Ser 2021-NQM1, Cl A1 | ||||||||
0.941%, 02/25/2049(A)(B) | 109 | 95 | ||||||
BRAVO Residential Funding Trust, Ser 2021-NQM2, Cl A1 | ||||||||
0.970%, 03/25/2060(A)(B) | 92 | 85 | ||||||
BRAVO Residential Funding Trust, Ser 2021-NQM3, Cl A1 | ||||||||
1.699%, 04/25/2060(A)(B) | 201 | 178 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Bunker Hill Loan Depositary Trust, Ser 2020-1, Cl A1 | ||||||||
1.724%, 02/25/2055(A)(B) | $ | 66 | $ | 63 | ||||
BWAY Mortgage Trust, Ser 2015-1515, Cl A1 | ||||||||
2.809%, 03/10/2033(B) | 105 | 101 | ||||||
BX Commercial Mortgage Trust, Ser 2019-XL, Cl B | ||||||||
6.416%, TSFR1M + 1.194%, 10/15/2036(A)(B) | 374 | 371 | ||||||
BX Commercial Mortgage Trust, Ser 2019-XL, Cl A | ||||||||
6.256%, TSFR1M + 1.034%, 10/15/2036(A)(B) | 435 | 433 | ||||||
BX Commercial Mortgage Trust, Ser 2021-SOAR, Cl B | ||||||||
6.207%, TSFR1M + 0.984%, 06/15/2038(A)(B) | 580 | 566 | ||||||
BX Commercial Mortgage Trust, Ser 2021-VINO, Cl A | ||||||||
5.989%, TSFR1M + 0.767%, 05/15/2038(A)(B) | 261 | 256 | ||||||
BX Commercial Mortgage Trust, Ser 2021-VOLT, Cl A | ||||||||
6.036%, TSFR1M + 0.814%, 09/15/2036(A)(B) | 275 | 268 | ||||||
BX Trust, Ser 2021-LGCY, Cl A | ||||||||
5.843%, TSFR1M + 0.620%, 10/15/2036(A)(B) | 600 | 583 | ||||||
BX Trust, Ser 2022-LBA6, Cl A | �� | |||||||
6.222%, TSFR1M + 1.000%, 01/15/2039(A)(B) | 375 | 368 | ||||||
BX, Ser 2021-MFM1, Cl B | ||||||||
6.287%, TSFR1M + 1.064%, 01/15/2034(A)(B) | 497 | 488 | ||||||
CFCRE Commercial Mortgage Trust, Ser 2017-C8, Cl ASB | ||||||||
3.367%, 06/15/2050 | 445 | 425 | ||||||
CFMT LLC, Ser 2022-EBO2, Cl A | ||||||||
3.169%, 07/25/2054(A)(B) | 52 | 50 | ||||||
Chase Mortgage Finance, Ser 2021-CL1, Cl M1 | ||||||||
6.269%, SOFR30A + 1.200%, 02/25/2050(A)(B) | 253 | 235 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2015-GC31, Cl AAB | ||||||||
3.431%, 06/10/2048 | 638 | 620 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2015-P1, Cl AAB | ||||||||
3.470%, 09/15/2048 | 228 | 222 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2016-P3, Cl AAB | ||||||||
3.127%, 04/15/2049 | 386 | 371 |
18
SEI Daily Income Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Citigroup Commercial Mortgage Trust, Ser 2019-SMRT, Cl A | ||||||||
4.149%, 01/10/2036(B) | $ | 275 | $ | 274 | ||||
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A | ||||||||
4.414%, 09/25/2034(A) | 6 | 6 | ||||||
Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1 | ||||||||
4.417%, 03/25/2036(A) | 35 | 27 | ||||||
Citigroup Mortgage Loan Trust, Ser 2018-RP2, Cl A1 | ||||||||
3.500%, 02/25/2058(A)(B) | 95 | 90 | ||||||
CML Mortgage Pass-Through Trust, Ser 2004-29, Cl 1A1 | ||||||||
5.953%, TSFR1M + 0.654%, 02/25/2035(A) | 6 | 5 | ||||||
COLT Funding LLC, Ser 2021-3R, Cl A1 | ||||||||
1.051%, 12/25/2064(A)(B) | 127 | 109 | ||||||
COLT Mortgage Loan Trust, Ser 2020-2R, Cl A1 | ||||||||
1.325%, 10/26/2065(A)(B) | 87 | 77 | ||||||
COLT Mortgage Loan Trust, Ser 2020-3, Cl A1 | ||||||||
1.506%, 04/27/2065(A)(B) | 37 | 35 | ||||||
COLT Mortgage Loan Trust, Ser 2021-1, Cl A1 | ||||||||
0.910%, 06/25/2066(A)(B) | 189 | 152 | ||||||
COLT Mortgage Loan Trust, Ser 2021-2, Cl A1 | ||||||||
0.924%, 08/25/2066(A)(B) | 258 | 198 | ||||||
COLT Mortgage Loan Trust, Ser 2021-2R, Cl A1 | ||||||||
0.798%, 07/27/2054(B) | 74 | 63 | ||||||
COLT Mortgage Loan Trust, Ser 2021-4, Cl A1 | ||||||||
1.397%, 10/25/2066(A)(B) | 465 | 365 | ||||||
COLT Mortgage Loan Trust, Ser 2021-HX1, Cl A1 | ||||||||
1.110%, 10/25/2066(A)(B) | 426 | 341 | ||||||
COMM Mortgage Trust, Ser 2014-UBS5, Cl A2 | ||||||||
3.031%, 09/10/2047 | 3 | 3 | ||||||
CSMC Trust, Ser 2019-AFC1, Cl A1 | ||||||||
2.573%, 07/25/2049(B)(C) | 307 | 282 | ||||||
CSMC Trust, Ser 2021-AFC1, Cl A1 | ||||||||
0.830%, 03/25/2056(A)(B) | 200 | 153 | ||||||
CSMC Trust, Ser 2021-NQM3, Cl A1 | ||||||||
1.015%, 04/25/2066(A)(B) | 321 | 263 | ||||||
CSMC Trust, Ser 2021-NQM4, Cl A1 | ||||||||
1.101%, 05/25/2066(A)(B) | 345 | 278 | ||||||
Deephaven Residential Mortgage Trust, Ser 2021-1, Cl A1 | ||||||||
0.715%, 05/25/2065(A)(B) | 60 | 54 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Deephaven Residential Mortgage Trust, Ser 2021-2, Cl A1 | ||||||||
0.899%, 04/25/2066(A)(B) | $ | 77 | $ | 66 | ||||
Ellington Financial Mortgage Trust, Ser 2019-2, Cl A1 | ||||||||
2.739%, 11/25/2059(A)(B) | 22 | 20 | ||||||
Ellington Financial Mortgage Trust, Ser 2020-2, Cl A1 | ||||||||
1.178%, 10/25/2065(A)(B) | 39 | 35 | ||||||
Ellington Financial Mortgage Trust, Ser 2021-1, Cl A1 | ||||||||
0.797%, 02/25/2066(A)(B) | 42 | 35 | ||||||
Ellington Financial Mortgage Trust, Ser 2021-2, Cl A1 | ||||||||
0.931%, 06/25/2066(A)(B) | 135 | 107 | ||||||
ELP Commercial Mortgage Trust, Ser 2021-ELP, Cl A | ||||||||
6.038%, TSFR1M + 0.815%, 11/15/2038(A)(B) | 530 | 520 | ||||||
Extended Stay America Trust, Ser 2021-ESH, Cl B | ||||||||
6.717%, TSFR1M + 1.494%, 07/15/2038(A)(B) | 240 | 235 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 2M2 | ||||||||
10.184%, SOFR30A + 5.114%, 11/25/2024(A) | 29 | 29 | ||||||
FNMA Connecticut Avenue Securities, Ser 2016-C03, Cl 2M2 | ||||||||
11.084%, SOFR30A + 6.014%, 10/25/2028(A) | 213 | 227 | ||||||
FREMF Mortgage Trust, Ser 2015-K49, Cl B | ||||||||
3.721%, 10/25/2048(A)(B) | 300 | 286 | ||||||
GCAT Trust, Ser 2020-NQM2, Cl A1 | ||||||||
1.555%, 04/25/2065(B)(C) | 63 | 56 | ||||||
GCAT Trust, Ser 2021-CM1, Cl A | ||||||||
1.469%, 04/25/2065(A)(B) | 230 | 209 | ||||||
GCAT Trust, Ser 2021-NQM1, Cl A1 | ||||||||
0.874%, 01/25/2066(A)(B) | 110 | 92 | ||||||
GCAT Trust, Ser 2021-NQM3, Cl A1 | ||||||||
1.091%, 05/25/2066(A)(B) | 211 | 170 | ||||||
GCAT Trust, Ser 2021-NQM5, Cl A1 | ||||||||
1.262%, 07/25/2066(A)(B) | 660 | 517 | ||||||
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1 | ||||||||
3.352%, 11/19/2035(A) | 63 | 55 | ||||||
GS Mortgage Securities Trust, Ser 2015-GS1, Cl AAB | ||||||||
3.553%, 11/10/2048 | 65 | 63 | ||||||
GS Mortgage Securities Trust, Ser 2016-GS3, Cl AAB | ||||||||
2.777%, 10/10/2049 | 155 | 148 |
SEI Daily Income Trust
19
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GS Mortgage Securities Trust, Ser 2022-SHIP, Cl A | ||||||||
5.953%, TSFR1M + 0.731%, 08/15/2036(A)(B) | $ | 45 | $ | 45 | ||||
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1 | ||||||||
5.134%, 07/25/2035(A) | 68 | 38 | ||||||
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1 | ||||||||
3.703%, 05/25/2037(A) | 57 | 33 | ||||||
Impac CMB Trust, Ser 2004-9, Cl 1A1 | ||||||||
6.173%, TSFR1M + 0.874%, 01/25/2035(A) | 11 | 10 | ||||||
Impac CMB Trust, Ser 2005-2, Cl 1A1 | ||||||||
5.933%, TSFR1M + 0.634%, 04/25/2035(A) | 14 | 13 | ||||||
Impac CMB Trust, Ser 2005-3, Cl A1 | ||||||||
5.893%, TSFR1M + 0.594%, 08/25/2035(A) | 16 | 15 | ||||||
Impac CMB Trust, Ser 2005-5, Cl A1 | ||||||||
6.053%, TSFR1M + 0.434%, 08/25/2035(A) | 11 | 10 | ||||||
Impac CMB Trust, Ser 2005-8, Cl 1A | ||||||||
5.933%, TSFR1M + 0.634%, 02/25/2036(A) | 34 | 31 | ||||||
Imperial Fund Mortgage Trust, Ser 2021-NQM1, Cl A1 | ||||||||
1.071%, 06/25/2056(A)(B) | 288 | 241 | ||||||
Imperial Fund Mortgage Trust, Ser 2021-NQM2, Cl A1 | ||||||||
1.073%, 09/25/2056(A)(B) | 214 | 169 | ||||||
Imperial Fund Mortgage Trust, Ser 2021-NQM3, Cl A1 | ||||||||
1.595%, 11/25/2056(A)(B) | 220 | 181 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C26, Cl ASB | ||||||||
3.288%, 01/15/2048 | 147 | 144 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C31, Cl ASB | ||||||||
3.540%, 08/15/2048 | 83 | 80 | ||||||
JPMorgan Chase Bank, Ser 2021-CL1, Cl M1 | ||||||||
6.369%, SOFR30A + 1.300%, 03/25/2051(A)(B) | 394 | 350 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1 | ||||||||
4.181%, 08/25/2035(A) | 13 | 11 | ||||||
JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1 | ||||||||
4.028%, 05/25/2037(A) | 31 | 27 | ||||||
JPMorgan Mortgage Trust, Ser 2014-5, Cl A1 | ||||||||
2.764%, 10/25/2029(A)(B) | 828 | 780 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
JPMorgan Mortgage Trust, Ser 2018-7FRB, Cl A2 | ||||||||
6.163%, TSFR1M + 0.864%, 04/25/2046(A)(B) | $ | 83 | $ | 80 | ||||
KNDL Mortgage Trust, Ser 2019-KNSQ, Cl A | ||||||||
6.218%, TSFR1M + 0.996%, 05/15/2036(A)(B) | 190 | 189 | ||||||
LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2 | ||||||||
2.579%, 03/10/2049(B) | 313 | 312 | ||||||
Merrill Lynch Mortgage Backed Securities Trust, Ser 2007-3, Cl 2A1 | ||||||||
3.938%, 06/25/2037(A) | 41 | 26 | ||||||
Metlife Securitization Trust, Ser 2017-1A, Cl A | ||||||||
3.000%, 04/25/2055(A)(B) | 57 | 52 | ||||||
MFA Trust, Ser 2020-NQM1, Cl A1 | ||||||||
1.479%, 03/25/2065(A)(B) | 52 | 47 | ||||||
MFA Trust, Ser 2020-NQM3, Cl A1 | ||||||||
1.014%, 01/26/2065(A)(B) | 65 | 58 | ||||||
MFA Trust, Ser 2021-INV1, Cl A1 | ||||||||
0.852%, 01/25/2056(A)(B) | 120 | 106 | ||||||
MFA Trust, Ser 2021-NQM1, Cl A1 | ||||||||
1.153%, 04/25/2065(A)(B) | 139 | 121 | ||||||
MFA Trust, Ser 2021-NQM2, Cl A1 | ||||||||
1.029%, 11/25/2064(A)(B) | 172 | 143 | ||||||
MHC Commercial Mortgage Trust, Ser 2021-MHC, Cl B | ||||||||
6.437%, TSFR1M + 1.215%, 04/15/2038(A)(B) | 1,670 | 1,643 | ||||||
MHP, Ser 2021-STOR, Cl A | ||||||||
6.037%, TSFR1M + 0.814%, 07/15/2038(A)(B) | 155 | 152 | ||||||
MHP, Ser 2022-MHIL, Cl A | ||||||||
6.036%, TSFR1M + 0.815%, 01/15/2027(A)(B) | 199 | 195 | ||||||
Mill City Mortgage Loan Trust, Ser 2017-3, Cl A1 | ||||||||
2.750%, 01/25/2061(A)(B) | 482 | 466 | ||||||
Mill City Mortgage Loan Trust, Ser 2018-1, Cl A1 | ||||||||
3.250%, 05/25/2062(A)(B) | 39 | 37 | ||||||
Mill City Mortgage Loan Trust, Ser 2018-4, Cl A1B | ||||||||
3.500%, 04/25/2066(A)(B) | 684 | 650 | ||||||
Mill City Mortgage Loan Trust, Ser 2021-NMR1, Cl A1 | ||||||||
1.125%, 11/25/2060(A)(B) | 128 | 118 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2014-C19, Cl ASB | ||||||||
3.326%, 12/15/2047 | 46 | 46 |
20
SEI Daily Income Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C21, Cl ASB | ||||||||
3.150%, 03/15/2048 | $ | 98 | $ | 96 | ||||
Morgan Stanley Capital I Trust, Ser 2019-H6, Cl A2 | ||||||||
3.228%, 06/15/2052 | 800 | 779 | ||||||
Morgan Stanley Capital I Trust, Ser H3, Cl ASB | ||||||||
4.120%, 07/15/2051 | 97 | 93 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
5.933%, TSFR1M + 0.634%, 12/25/2035(A) | 29 | 28 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-3A, Cl A1 | ||||||||
4.000%, 04/25/2057(A)(B) | 90 | 84 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-6A, Cl A1 | ||||||||
4.000%, 08/27/2057(A)(B) | 211 | 196 | ||||||
New Residential Mortgage Loan Trust, Ser 2018-1A, Cl A1 | ||||||||
3.906%, 09/25/2057(A)(B) | 100 | 92 | ||||||
New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1 | ||||||||
2.492%, 09/25/2059(A)(B) | 31 | 28 | ||||||
New Residential Mortgage Loan Trust, Ser 2020-NQM2, Cl A1 | ||||||||
1.650%, 05/24/2060(A)(B) | 60 | 56 | ||||||
New Residential Mortgage Loan Trust, Ser 2021-NQ2R, Cl A1 | ||||||||
0.941%, 10/25/2058(A)(B) | 75 | 67 | ||||||
New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A1 | ||||||||
1.156%, 11/27/2056(A)(B) | 347 | 282 | ||||||
OBX Trust, Ser 2018-1, Cl A2 | ||||||||
6.063%, TSFR1M + 0.764%, 06/25/2057(A)(B) | 15 | 14 | ||||||
OBX Trust, Ser 2021-NQM2, Cl A1 | ||||||||
1.101%, 05/25/2061(A)(B) | 278 | 217 | ||||||
Onslow Bay Mortgage Loan Trust, Ser 2021-NQM4, Cl A1 | ||||||||
1.957%, 10/25/2061(A)(B) | 477 | 383 | ||||||
Paragon Mortgages No. 12 PLC, Ser 2006-12A, Cl A2C | ||||||||
5.541%, ICE LIBOR USD 3 Month + 0.220%, 11/15/2038(A)(B) | 48 | 46 | ||||||
PRPM LLC, Ser 2021-RPL1, Cl A1 | ||||||||
1.319%, 07/25/2051(B)(C) | 109 | 95 | ||||||
Residential Mortgage Loan Trust, Ser 2020-1, Cl A1 | ||||||||
2.376%, 01/26/2060(A)(B) | 29 | 28 | ||||||
RFMSI Trust, Ser 2007-SA3, Cl 2A1 | ||||||||
4.966%, 07/27/2037(A) | 45 | 34 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Sequoia Mortgage Trust, Ser 2004-12, Cl A1 | ||||||||
5.909%, ICE LIBOR USD 1 Month + 0.540%, 01/20/2035(A) | $ | 5 | $ | 4 | ||||
Sequoia Mortgage Trust, Ser 2018-CH3, Cl A1 | ||||||||
4.500%, 08/25/2048(A)(B) | 6 | 6 | ||||||
SG Residential Mortgage Trust, Ser 2021-1, Cl A1 | ||||||||
1.160%, 07/25/2061(A)(B) | 432 | 333 | ||||||
SREIT Trust, Ser 2021-MFP, Cl B | ||||||||
6.416%, TSFR1M + 1.194%, 11/15/2038(A)(B) | 475 | 465 | ||||||
STAR Trust, Ser 2021-1, Cl A1 | ||||||||
1.219%, 05/25/2065(A)(B) | 125 | 107 | ||||||
Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1 | ||||||||
2.275%, 02/25/2050(A)(B) | 13 | 12 | ||||||
Starwood Mortgage Residential Trust, Ser 2020-3, Cl A1 | ||||||||
1.486%, 04/25/2065(A)(B) | 33 | 31 | ||||||
Starwood Mortgage Residential Trust, Ser 2021-2, Cl A1 | ||||||||
0.943%, 05/25/2065(A)(B) | 54 | 48 | ||||||
Starwood Mortgage Residential Trust, Ser 2021-3, Cl A1 | ||||||||
1.127%, 06/25/2056(A)(B) | 254 | 204 | ||||||
Towd Point Mortgage Trust, Ser 2017-1, Cl A1 | ||||||||
2.750%, 10/25/2056(A)(B) | 59 | 58 | ||||||
Towd Point Mortgage Trust, Ser 2017-2, Cl A1 | ||||||||
2.750%, 04/25/2057(A)(B) | 47 | 47 | ||||||
Towd Point Mortgage Trust, Ser 2017-4, Cl A1 | ||||||||
2.750%, 06/25/2057(A)(B) | 135 | 127 | ||||||
Towd Point Mortgage Trust, Ser 2017-5, Cl A1 | ||||||||
4.984%, TSFR1M + 0.714%, 02/25/2057(A)(B) | 93 | 93 | ||||||
Towd Point Mortgage Trust, Ser 2017-6, Cl A1 | ||||||||
2.750%, 10/25/2057(A)(B) | 53 | 51 | ||||||
Towd Point Mortgage Trust, Ser 2018-1, Cl A1 | ||||||||
3.000%, 01/25/2058(A)(B) | 32 | 31 | ||||||
Towd Point Mortgage Trust, Ser 2018-2, Cl A1 | ||||||||
3.250%, 03/25/2058(A)(B) | 168 | 160 | ||||||
Towd Point Mortgage Trust, Ser 2019-HY3, Cl A1A | ||||||||
6.413%, TSFR1M + 1.114%, 10/25/2059(A)(B) | 319 | 316 |
SEI Daily Income Trust
21
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Towd Point Mortgage Trust, Ser 2021-SJ1, Cl A1 | ||||||||
2.250%, 07/25/2068(A)(B) | $ | 587 | $ | 543 | ||||
Towd Point Mortgage Trust, Ser 2022-EBO1, Cl A | ||||||||
2.161%, 01/25/2052(A)(B) | 100 | 98 | ||||||
TRK Trust, Ser 2021-INV1, Cl A1 | ||||||||
1.153%, 07/25/2056(A)(B) | 189 | 159 | ||||||
TTAN, Ser 2021-MHC, Cl B | ||||||||
6.437%, TSFR1M + 1.214%, 03/15/2038(A)(B) | 240 | 236 | ||||||
Verus Securitization Trust, Ser 2019-4, Cl A1 | ||||||||
2.642%, 11/25/2059(B)(C) | 32 | 31 | ||||||
Verus Securitization Trust, Ser 2019-INV3, Cl A1 | ||||||||
2.692%, 11/25/2059(A)(B) | 46 | 44 | ||||||
Verus Securitization Trust, Ser 2020-1, Cl A1 | ||||||||
2.417%, 01/25/2060(B)(C) | 23 | 22 | ||||||
Verus Securitization Trust, Ser 2020-4, Cl A1 | ||||||||
1.502%, 05/25/2065(B)(C) | 73 | 67 | ||||||
Verus Securitization Trust, Ser 2021-1, Cl A2 | ||||||||
1.052%, 01/25/2066(A)(B) | 215 | 183 | ||||||
Verus Securitization Trust, Ser 2021-1, Cl A1 | ||||||||
0.815%, 01/25/2066(A)(B) | 108 | 91 | ||||||
Verus Securitization Trust, Ser 2021-2, Cl A1 | ||||||||
1.031%, 02/25/2066(A)(B) | 138 | 116 | ||||||
Verus Securitization Trust, Ser 2021-R1, Cl A1 | ||||||||
0.820%, 10/25/2063(A)(B) | 189 | 169 | ||||||
Verus Securitization Trust, Ser 2021-R2, Cl A1 | ||||||||
0.918%, 02/25/2064(A)(B) | 196 | 169 | ||||||
Verus Securitization Trust, Ser 2021-R3, Cl A1 | ||||||||
1.020%, 04/25/2064(A)(B) | 104 | 92 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 | ||||||||
3.883%, 03/25/2036(A) | 46 | 42 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2015-NXS2, Cl A2 | ||||||||
3.020%, 07/15/2058 | 156 | 151 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-C32, Cl ASB | ||||||||
3.324%, 01/15/2059 | 119 | 115 | ||||||
28,560 | ||||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $36,416) ($ Thousands) | 33,820 | |||||||
Description | Face Amount | Market Value | ||||||
U.S. TREASURY OBLIGATIONS — 9.6% | ||||||||
U.S. Treasury Notes | ||||||||
3.875%, 03/31/2025 | $ | 2,500 | $ | 2,452 | ||||
2.875%, 06/15/2025 (D) | 2,000 | 1,925 | ||||||
2.500%, 05/31/2024 | 2,000 | 1,952 | ||||||
2.000%, 04/30/2024 | 2,575 | 2,511 | ||||||
0.375%, 04/15/2024 | 10,075 | 9,728 | ||||||
0.250%, 06/15/2024 | 1,700 | 1,627 | ||||||
0.125%, 12/15/2023 | 4,850 | 4,758 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $25,211) ($ Thousands) | 24,953 | |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 7.9% | ||||||||
FHLB | ||||||||
5.740%, 04/08/2024 | 2,050 | 2,045 | ||||||
5.620%, 07/30/2024 | 1,325 | 1,324 | ||||||
5.550%, 07/19/2024 | 650 | 647 | ||||||
5.460%, 07/19/2024 | 650 | 647 | ||||||
5.300%, 05/22/2024 | 700 | 697 | ||||||
5.300%, 05/28/2024 | 700 | 696 | ||||||
5.000%, 11/09/2023 | 915 | 913 | ||||||
4.875%, 11/07/2023 | 85 | 85 | ||||||
FHLMC | ||||||||
5.300%, 01/27/2026 | 1,475 | 1,467 | ||||||
5.125%, 01/27/2025 | 725 | 718 | ||||||
4.050%, 07/21/2025 | 1,680 | 1,645 | ||||||
4.050%, 08/28/2025 | 860 | 839 | ||||||
4.000%, 12/30/2024 | 950 | 933 | ||||||
4.000%, 02/28/2025 | 1,700 | 1,660 | ||||||
2.940%, 11/24/2023 | 535 | 530 | ||||||
2.250%, 03/25/2025 | 1,775 | 1,688 | ||||||
FHLMC MTN | ||||||||
5.080%, 10/25/2024 | 1,350 | 1,337 | ||||||
FNMA | ||||||||
5.505%, 07/26/2024 | 800 | 796 | ||||||
3.875%, 08/28/2024 | 1,700 | 1,668 | ||||||
Total U.S. Government Agency Obligations | ||||||||
(Cost $20,625) ($ Thousands) | 20,335 | |||||||
MUNICIPAL BONDS — 1.1% | ||||||||
District of Columbia — 0.1% | ||||||||
District of Columbia Water & Sewer Authority, Sub-Ser D, RB | ||||||||
1.672%, 10/01/2023 | 320 | 318 | ||||||
22
SEI Daily Income Trust
Description | Face Amount | Market Value | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Florida — 0.2% | ||||||||
County of Miami-Dade Florida Aviation Revenue, Ser B, RB | ||||||||
2.504%, 10/01/2024 | $ | 350 | $ | 338 | ||||
Massachusetts — 0.4% | ||||||||
Massachusetts State, School Building Authority, Sub-Ser B, RB | ||||||||
2.078%, 10/15/2023 | 1,035 | 1,027 | ||||||
South Carolina — 0.4% | ||||||||
South Carolina State, Public Service Authority, Ser E, RB | ||||||||
3.722%, 12/01/2023 (E) | 1,100 | 1,093 | ||||||
Total Municipal Bonds | ||||||||
(Cost $2,803) ($ Thousands) | 2,776 | |||||||
COMMERCIAL PAPER — 1.0% | ||||||||
Australia and New Zealand Banking Group | ||||||||
5.618%, 12/12/2023 (F) | 675 | 661 | ||||||
Brookfield Corporate Treasury | ||||||||
5.662%, 08/01/2023 (F) | 1,000 | 1,000 | ||||||
Sony Capital | ||||||||
5.526%, 08/03/2023 (F) | 1,000 | 1,000 | ||||||
Total Commercial Paper | ||||||||
(Cost $2,661) ($ Thousands) | 2,661 | |||||||
REPURCHASE AGREEMENT(G) — 0.1% | ||||||||
BNP Paribas | ||||||||
5.300%, dated 07/31/2023 to be repurchased on 08/01/2023, repurchase price $200,029 (collateralized by a U.S. Government obligation, par value $306,000, 2.220%, 07/13/2040; with a total market value $204,136) | 200 | 200 | ||||||
Total Repurchase Agreement | ||||||||
(Cost $200) ($ Thousands) | 200 | |||||||
Total Investments in Securities — 100.0% | ||||||||
(Cost $263,132) ($ Thousands) | $ | 258,487 | ||||||
SEI Daily Income Trust
23
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Ultra Short Duration Bond Fund (Concluded)
A list of the open futures contracts held by the Fund at July 31, 2023, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value | Unrealized Appreciation/ | |||||||||||||||
Long Contracts | ||||||||||||||||||||
U.S. 2-Year Treasury Note | 23 | Sep-2023 | $ | 4,743 | $ | 4,670 | $ | (73 | ) | |||||||||||
Short Contracts | ||||||||||||||||||||
U.S. 5-Year Treasury Note | (6) | Sep-2023 | $ | (654 | ) | $ | (641 | ) | $ | 13 | ||||||||||
U.S. 10-Year Treasury Note | (15) | Sep-2023 | (1,716 | ) | (1,671 | ) | 45 | |||||||||||||
(2,370 | ) | (2,312 | ) | 58 | ||||||||||||||||
$ | 2,373 | $ | 2,358 | $ | (15 | ) |
| Percentages are based on Net Assets of $258,591 ($ Thousands). |
(A) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(B) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On July 31, 2023, the value of these securities amounted to $93,326 ($ Thousands), representing 36.1% of the Net Assets of the Fund. |
(C) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. The total market value of such securities as of July 31, 2023 was $80 ($ Thousands). |
(E) | Security is escrowed to maturity. |
(F) | Interest rate represents the security's effective yield at the time of purchase. |
(G) | Tri-Party Repurchase Agreement. |
The following is a summary of the level of inputs used as of July 31, 2023, 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 | – | 98,402 | – | 98,402 | ||||||||||||
Asset-Backed Securities | – | 75,340 | – | 75,340 | ||||||||||||
Mortgage-Backed Securities | – | 33,820 | – | 33,820 | ||||||||||||
U.S. Treasury Obligations | – | 24,953 | – | 24,953 | ||||||||||||
U.S. Government Agency Obligations | – | 20,335 | – | 20,335 | ||||||||||||
Municipal Bonds | – | 2,776 | – | 2,776 | ||||||||||||
Commercial Paper | – | 2,661 | – | 2,661 | ||||||||||||
Repurchase Agreement | – | 200 | – | 200 | ||||||||||||
Total Investments in Securities | – | 258,487 | – | 258,487 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 58 | – | – | 58 | ||||||||||||
Unrealized Depreciation | (73 | ) | – | – | (73 | ) | ||||||||||
Total Other Financial Instruments | (15 | ) | – | – | (15 | ) |
* Futures Contracts are valued at the net unrealized appreciation (depreciation) on the instruments.
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.
24
SEI Daily Income Trust
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Short-Duration Government Fund
† | Percentages are based on total investments. Total investments exclude options, futures contracts, forward contracts, and swap contracts, if applicable. |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES — 74.8% | ||||||||
Agency Mortgage-Backed Obligations — 71.3% | ||||||||
FHLMC | ||||||||
6.000%, 12/01/2052 to 03/01/2053 | $ | 2,661 | $ | 2,710 | ||||
5.500%, 02/01/2053 | 2,961 | 2,950 | ||||||
5.264%, H15T1Y + 2.272%, 06/01/2024(A) | – | – | ||||||
4.757%, H15T1Y + 2.235%, 04/01/2029(A) | 1 | 1 | ||||||
4.736%, H15T1Y + 2.371%, 06/01/2024(A) | 1 | 1 | ||||||
4.500%, 04/01/2024 to 12/01/2039 | 1,018 | 1,001 | ||||||
4.424%, H15T1Y + 2.175%, 05/01/2024(A) | – | – | ||||||
4.238%, H15T1Y + 2.238%, 07/01/2024(A) | 1 | 1 | ||||||
4.210%, H15T1Y + 2.085%, 12/01/2023(A) | 1 | 1 | ||||||
4.189%, H15T1Y + 2.087%, 12/01/2023(A) | 3 | 3 | ||||||
4.000%, 01/01/2033 | 3,636 | 3,537 | ||||||
3.500%, 01/01/2029 to 05/01/2035 | 14,476 | 13,891 | ||||||
3.000%, 12/01/2031 to 12/01/2046 | 9,469 | 8,656 | ||||||
2.500%, 06/01/2030 to 02/01/2032 | 3,985 | 3,690 | ||||||
2.000%, 05/01/2036 to 06/01/2036 | 2,841 | 2,518 | ||||||
1.500%, 09/01/2041 | 567 | 458 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K052, Cl A1 | ||||||||
2.598%, 01/25/2025 | 2,932 | 2,855 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K060, Cl A1 | ||||||||
2.958%, 07/25/2026 | 1,578 | 1,520 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K066, Cl X1, IO | ||||||||
0.746%, 06/25/2027(A) | 17,695 | 416 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K107, Cl X1, IO | ||||||||
1.592%, 01/25/2030(A) | 12,357 | 1,006 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K125, Cl X1, IO | ||||||||
0.582%, 01/25/2031(A) | 13,561 | 455 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K128, Cl X1, IO | ||||||||
0.516%, 03/25/2031(A) | 10,161 | 311 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K154, Cl X1, IO | ||||||||
0.353%, 01/25/2033(A) | $ | 14,654 | $ | 445 | ||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K723, Cl A2 | ||||||||
2.454%, 08/25/2023 | 253 | 252 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K724, Cl A2 | ||||||||
3.062%, 11/25/2023(A) | 1,375 | 1,365 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K725, Cl A2 | ||||||||
3.002%, 01/25/2024 | 2,069 | 2,042 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K737, Cl X1, IO | ||||||||
0.634%, 10/25/2026(A) | 23,234 | 369 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K742, Cl X1, IO | ||||||||
0.778%, 03/25/2028(A) | 7,578 | 183 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF35, Cl A | ||||||||
5.568%, ICE LIBOR USD 1 Month + 0.350%, 08/25/2024(A) | 273 | 273 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF60, Cl A | ||||||||
5.708%, ICE LIBOR USD 1 Month + 0.490%, 02/25/2026(A) | 2,596 | 2,585 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF62, Cl A | ||||||||
5.698%, ICE LIBOR USD 1 Month + 0.480%, 04/25/2026(A) | 3,914 | 3,893 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF72, Cl A | ||||||||
5.718%, ICE LIBOR USD 1 Month + 0.500%, 10/25/2026(A) | 3,124 | 3,108 | ||||||
FHLMC REMIC, Ser 2003-2571, Cl FY | ||||||||
5.932%, SOFR30A + 0.864%, 12/15/2032(A) | 1,803 | 1,814 | ||||||
FHLMC REMIC, Ser 2006-3148, Cl CF | ||||||||
5.582%, SOFR30A + 0.514%, 02/15/2034(A) | 75 | 74 | ||||||
FHLMC REMIC, Ser 2006-3153, Cl FX | ||||||||
5.532%, SOFR30A + 0.464%, 05/15/2036(A) | 55 | 54 | ||||||
FHLMC REMIC, Ser 2006-3174, Cl FA | ||||||||
5.482%, SOFR30A + 0.414%, 04/15/2036(A) | 1,075 | 1,063 | ||||||
FHLMC REMIC, Ser 2006-3219, Cl EF | ||||||||
5.582%, SOFR30A + 0.514%, 04/15/2032(A) | 1,581 | 1,560 | ||||||
FHLMC REMIC, Ser 2007-3339, Cl HF | ||||||||
5.702%, SOFR30A + 0.634%, 07/15/2037(A) | 1,647 | 1,626 |
SEI Daily Income Trust
25
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Short-Duration Government Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC REMIC, Ser 2010-3628, Cl PJ | ||||||||
4.500%, 01/15/2040 | $ | 612 | $ | 586 | ||||
FHLMC REMIC, Ser 2011-3788, Cl FA | ||||||||
5.712%, SOFR30A + 0.644%, 01/15/2041(A) | 2,308 | 2,279 | ||||||
FHLMC REMIC, Ser 2011-3930, Cl AI, IO | ||||||||
3.500%, 09/15/2026 | 113 | 4 | ||||||
FHLMC REMIC, Ser 2012-4018, Cl AI, IO | ||||||||
3.500%, 03/15/2027 | 120 | 3 | ||||||
FHLMC REMIC, Ser 2012-4060, Cl TI, IO | ||||||||
2.500%, 12/15/2026 | 114 | 1 | ||||||
FHLMC REMIC, Ser 2012-4083, Cl DI, IO | ||||||||
4.000%, 07/15/2027 | 88 | 3 | ||||||
FHLMC REMIC, Ser 2012-4114, Cl MB | ||||||||
3.000%, 10/15/2032 | 3,000 | 2,748 | ||||||
FHLMC REMIC, Ser 2012-4117, Cl P | ||||||||
1.250%, 07/15/2042 | 1,229 | 1,067 | ||||||
FHLMC REMIC, Ser 2012-4142, Cl PT | ||||||||
1.250%, 12/15/2027 | 964 | 903 | ||||||
FHLMC REMIC, Ser 2012-4146, Cl AB | ||||||||
1.125%, 12/15/2027 | 1,054 | 986 | ||||||
FHLMC REMIC, Ser 2013-4170, Cl QI, IO | ||||||||
3.000%, 05/15/2032 | 242 | 6 | ||||||
FHLMC REMIC, Ser 2013-4176, Cl KI, IO | ||||||||
4.000%, 03/15/2028 | 226 | 7 | ||||||
FHLMC REMIC, Ser 2013-4178, Cl MI, IO | ||||||||
2.500%, 03/15/2028 | 177 | 6 | ||||||
FHLMC REMIC, Ser 2013-4178, Cl BI, IO | ||||||||
3.000%, 03/15/2033 | 354 | 30 | ||||||
FHLMC REMIC, Ser 2013-4182, Cl IE, IO | ||||||||
2.500%, 03/15/2028 | 171 | 7 | ||||||
FHLMC REMIC, Ser 2013-4195, Cl AI, IO | ||||||||
3.000%, 04/15/2028 | 472 | 22 | ||||||
FHLMC REMIC, Ser 2013-4199, Cl QI, IO | ||||||||
2.500%, 05/15/2028 | 265 | 11 | ||||||
FHLMC REMIC, Ser 2013-4220, Cl IE, IO | ||||||||
4.000%, 06/15/2028 | 134 | 5 | ||||||
FHLMC REMIC, Ser 2013-4223, Cl AL | ||||||||
3.000%, 08/15/2042 | 958 | 887 | ||||||
FHLMC REMIC, Ser 2013-4247, Cl LA | ||||||||
3.000%, 03/15/2043 | 2,094 | 1,882 | ||||||
FHLMC REMIC, Ser 2014-4340, Cl MI, IO | ||||||||
4.500%, 02/15/2027 | 731 | 27 | ||||||
FHLMC REMIC, Ser 2014-4344, Cl KZ | ||||||||
3.500%, 05/15/2034 | 4,858 | 4,473 | ||||||
FHLMC REMIC, Ser 2014-4419, Cl CW | ||||||||
2.500%, 10/15/2037 | 2,154 | 2,034 | ||||||
FHLMC REMIC, Ser 2015-4471, Cl GA | ||||||||
3.000%, 02/15/2044 | 1,072 | 982 | ||||||
FHLMC REMIC, Ser 2015-4484, Cl Cl, IO | ||||||||
4.000%, 07/15/2030 | 378 | 29 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC REMIC, Ser 2016-4620, Cl IO, IO | ||||||||
5.000%, 09/15/2033 | $ | 508 | $ | 75 | ||||
FHLMC REMIC, Ser 2017-4650, Cl LP | ||||||||
3.000%, 09/15/2045 | 468 | 432 | ||||||
FHLMC REMIC, Ser 2017-4700, Cl HV | ||||||||
3.000%, 09/15/2040 | 4,466 | 4,148 | ||||||
FHLMC REMIC, Ser 2017-4709, Cl AB | ||||||||
3.000%, 08/15/2047 | 615 | 563 | ||||||
FHLMC REMIC, Ser 2017-4740, Cl P | ||||||||
3.000%, 12/15/2047 | 5,450 | 4,839 | ||||||
FHLMC REMIC, Ser 2018-4820, Cl JI, IO | ||||||||
5.000%, 02/15/2048 | 635 | 129 | ||||||
FHLMC REMIC, Ser 2020-4978, Cl MI, IO | ||||||||
4.000%, 05/25/2040 | 2,021 | 303 | ||||||
FHLMC REMIC, Ser 2020-4996, Cl BI, IO | ||||||||
2.500%, 06/25/2050 | 4,033 | 579 | ||||||
FHLMC REMIC, Ser 2020-5018, Cl LW | ||||||||
1.000%, 10/25/2040 | 1,370 | 1,084 | ||||||
FHLMC REMIC, Ser 2020-5048, Cl A | ||||||||
1.000%, 06/15/2044 | 3,417 | 3,080 | ||||||
FHLMC REMIC, Ser 2021-5079, Cl CB | ||||||||
1.000%, 02/25/2051 | 7,169 | 5,914 | ||||||
FHLMC REMIC, Ser 2021-5083, Cl AI, IO | ||||||||
2.500%, 03/25/2051 | 3,377 | 476 | ||||||
FHLMC REMIC, Ser 2021-5169, Cl IO, IO | ||||||||
3.000%, 09/25/2051 | 3,650 | 593 | ||||||
FHLMC REMIC, Ser 2021-5170, Cl DP | ||||||||
2.000%, 07/25/2050 | 2,426 | 2,051 | ||||||
FHLMC REMIC, Ser 2022-5228, Cl DG | ||||||||
3.500%, 01/25/2046 | 6,445 | 6,043 | ||||||
FHLMC Structured Pass-Through Certificates, Ser 2002-42, Cl A5 | ||||||||
7.500%, 02/25/2042 | 183 | 184 | ||||||
FHLMC, Ser 2013-303, Cl C2, IO | ||||||||
3.500%, 01/15/2028 | 622 | 27 | ||||||
FHLMC, Ser 2013-303, Cl C16, IO | ||||||||
3.500%, 01/15/2043 | 1,765 | 268 | ||||||
FHLMC, Ser 2022-386, Cl C14, IO | ||||||||
2.500%, 03/15/2052 | 4,170 | 593 | ||||||
FHLMC, Ser 2022-389, Cl C35, IO | ||||||||
2.000%, 06/15/2052 | 4,851 | 604 | ||||||
FNMA | ||||||||
7.000%, 06/01/2037 | 2 | 2 | ||||||
6.500%, 05/01/2026 to 01/01/2036 | 45 | 46 | ||||||
6.000%, 09/01/2024 to 05/01/2053 | 1,493 | 1,522 | ||||||
5.500%, 01/01/2024 to 06/01/2053 | 6,191 | 6,155 | ||||||
4.912%, H15T1Y + 2.251%, 08/01/2029(A) | 43 | 42 | ||||||
4.500%, 04/01/2026 to 08/01/2044 | 6,095 | 6,000 | ||||||
4.460%, 05/01/2028 | 1,714 | 1,688 | ||||||
4.431%, ICE LIBOR USD 6 Month + 1.846%, 09/01/2024(A) | 17 | 17 |
26
SEI Daily Income Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
4.237%, ICE LIBOR USD 6 Month + 1.552%, 08/01/2027(A) | $ | 5 | $ | 5 | ||||
4.190%, 04/01/2028 | 1,825 | 1,771 | ||||||
4.125%, 06/01/2028 | 1,087 | 1,055 | ||||||
4.045%, H15T1Y + 2.045%, 05/01/2028(A) | – | – | ||||||
4.030%, 06/01/2028 | 1,430 | 1,382 | ||||||
4.000%, 05/01/2026 to 04/01/2042 | 3,261 | 3,166 | ||||||
3.980%, 07/01/2028 | 2,336 | 2,266 | ||||||
3.850%, 01/01/2024 | 510 | 504 | ||||||
3.500%, 10/01/2027 to 02/01/2045 | 43,426 | 41,975 | ||||||
3.000%, 09/01/2027 to 11/01/2036 | 12,731 | 11,905 | ||||||
2.960%, 01/01/2027 | 1,145 | 1,076 | ||||||
2.719%, H15T1Y + 1.520%, 12/01/2029(A) | 5 | 5 | ||||||
2.500%, 01/01/2028 to 09/01/2036 | 26,200 | 24,632 | ||||||
2.000%, 05/01/2036 to 12/01/2036 | 7,053 | 6,252 | ||||||
FNMA Interest, Ser 2009-397, Cl 6 | ||||||||
2.000%, 09/25/2039 | 767 | 661 | ||||||
FNMA Interest, Ser 2012-410, Cl C6, IO | ||||||||
4.000%, 05/25/2027 | 252 | 8 | ||||||
FNMA Interest, Ser 2013-418, Cl C16, IO | ||||||||
4.500%, 08/25/2043 | 1,931 | 382 | ||||||
FNMA Interest, Ser 2022-426, Cl C38, IO | ||||||||
2.000%, 03/25/2052 | 4,638 | 587 | ||||||
FNMA Interest, Ser 2023-429, Cl C3, IO | ||||||||
2.500%, 09/25/2052 | 2,960 | 462 | ||||||
FNMA or FHLMC TBA | ||||||||
5.500% - 6.000%, 08/15/2053 | 32,186 | 32,177 | ||||||
FNMA REMIC, Ser 1994-77, Cl FB | ||||||||
6.684%, SOFR30A + 1.614%, 04/25/2024(A) | – | – | ||||||
FNMA REMIC, Ser 2002-53, Cl FK | ||||||||
5.584%, SOFR30A + 0.514%, 04/25/2032(A) | 36 | 36 | ||||||
FNMA REMIC, Ser 2006-76, Cl QF | ||||||||
5.584%, SOFR30A + 0.514%, 08/25/2036(A) | 192 | 189 | ||||||
FNMA REMIC, Ser 2006-79, Cl DF | ||||||||
5.534%, SOFR30A + 0.464%, 08/25/2036(A) | 147 | 145 | ||||||
FNMA REMIC, Ser 2007-47, Cl DA | ||||||||
5.600%, 05/25/2037 | 186 | 189 | ||||||
FNMA REMIC, Ser 2007-64, Cl FB | ||||||||
5.554%, ICE LIBOR USD 1 Month + 0.370%, 07/25/2037(A) | 1,121 | 1,108 | ||||||
FNMA REMIC, Ser 2008-16, Cl FA | ||||||||
5.884%, SOFR30A + 0.814%, 03/25/2038(A) | 502 | 499 | ||||||
FNMA REMIC, Ser 2009-110, Cl FD | ||||||||
5.934%, SOFR30A + 0.864%, 01/25/2040(A) | 2,335 | 2,328 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA REMIC, Ser 2009-112, Cl FM | ||||||||
5.934%, SOFR30A + 0.864%, 01/25/2040(A) | $ | 1,502 | $ | 1,498 | ||||
FNMA REMIC, Ser 2009-82, Cl FC | ||||||||
6.104%, SOFR30A + 1.034%, 10/25/2039(A) | 1,839 | 1,846 | ||||||
FNMA REMIC, Ser 2009-82, Cl FD | ||||||||
6.034%, SOFR30A + 0.964%, 10/25/2039(A) | 1,943 | 1,945 | ||||||
FNMA REMIC, Ser 2010-4, Cl PL | ||||||||
4.500%, 02/25/2040 | 485 | 466 | ||||||
FNMA REMIC, Ser 2010-56, Cl AF | ||||||||
5.686%, SOFR30A + 0.664%, 06/25/2040(A) | 1,521 | 1,481 | ||||||
FNMA REMIC, Ser 2012-103, Cl HB | ||||||||
1.500%, 09/25/2027 | 1,114 | 1,047 | ||||||
FNMA REMIC, Ser 2012-111, Cl NI, IO | ||||||||
3.500%, 10/25/2027 | 384 | 18 | ||||||
FNMA REMIC, Ser 2012-120, Cl ZB | ||||||||
3.500%, 11/25/2042 | 2,701 | 2,454 | ||||||
FNMA REMIC, Ser 2012-140, Cl PA | ||||||||
2.000%, 12/25/2042 | 2,570 | 2,180 | ||||||
FNMA REMIC, Ser 2012-27, Cl PI, IO | ||||||||
4.500%, 02/25/2042 | 1,400 | 119 | ||||||
FNMA REMIC, Ser 2012-43, Cl AI, IO | ||||||||
3.500%, 04/25/2027 | 1,597 | 63 | ||||||
FNMA REMIC, Ser 2012-47, Cl QI, IO | ||||||||
5.539%, 05/25/2042(A) | 38 | 3 | ||||||
FNMA REMIC, Ser 2012-53, Cl BI, IO | ||||||||
3.500%, 05/25/2027 | 220 | 9 | ||||||
FNMA REMIC, Ser 2012-70, Cl IW, IO | ||||||||
3.000%, 02/25/2027 | 269 | 5 | ||||||
FNMA REMIC, Ser 2012-93, Cl IL, IO | ||||||||
3.000%, 09/25/2027 | 208 | 8 | ||||||
FNMA REMIC, Ser 2012-97, Cl JI, IO | ||||||||
3.000%, 07/25/2027 | 466 | 14 | ||||||
FNMA REMIC, Ser 2012-98, Cl BI, IO | ||||||||
6.000%, 01/25/2042 | 935 | 88 | ||||||
FNMA REMIC, Ser 2013-10, Cl YA | ||||||||
1.250%, 02/25/2028 | 1,564 | 1,460 | ||||||
FNMA REMIC, Ser 2013-12, Cl P | ||||||||
1.750%, 11/25/2041 | 356 | 335 | ||||||
FNMA REMIC, Ser 2013-121, Cl FA | ||||||||
5.584%, SOFR30A + 0.514%, 12/25/2043(A) | 10,904 | 10,643 | ||||||
FNMA REMIC, Ser 2013-130, Cl FQ | ||||||||
5.384%, SOFR30A + 0.314%, 06/25/2041(A) | 1,906 | 1,875 | ||||||
FNMA REMIC, Ser 2013-4, Cl CB | ||||||||
1.250%, 02/25/2028 | 1,736 | 1,620 | ||||||
FNMA REMIC, Ser 2013-4, Cl JB | ||||||||
1.250%, 02/25/2028 | 978 | 912 |
SEI Daily Income Trust
27
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Short-Duration Government Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA REMIC, Ser 2013-9, Cl PT | ||||||||
1.250%, 02/25/2028 | $ | 837 | $ | 781 | ||||
FNMA REMIC, Ser 2013-98, Cl ZA | ||||||||
4.500%, 09/25/2043 | 6,419 | 6,232 | ||||||
FNMA REMIC, Ser 2014-50, Cl SC, IO | ||||||||
0.000%, 08/25/2044(A)(B) | 1,011 | 52 | ||||||
FNMA REMIC, Ser 2015-21, Cl WI, IO | ||||||||
0.000%, 04/25/2055(A)(B) | 847 | 34 | ||||||
FNMA REMIC, Ser 2015-41, Cl AG | ||||||||
3.000%, 09/25/2034 | 619 | 592 | ||||||
FNMA REMIC, Ser 2015-42, Cl AI, IO | ||||||||
0.000%, 06/25/2055(A)(B) | 983 | 46 | ||||||
FNMA REMIC, Ser 2015-5, Cl CP | ||||||||
3.000%, 06/25/2043 | 903 | 841 | ||||||
FNMA REMIC, Ser 2015-68, Cl HI, IO | ||||||||
3.500%, 09/25/2035 | 405 | 40 | ||||||
FNMA REMIC, Ser 2015-68, Cl JI, IO | ||||||||
3.500%, 08/25/2030 | 146 | 8 | ||||||
FNMA REMIC, Ser 2015-75, Cl DB | ||||||||
3.000%, 08/25/2035 | 1,482 | 1,378 | ||||||
FNMA REMIC, Ser 2016-25, Cl A | ||||||||
3.000%, 11/25/2042 | 71 | 71 | ||||||
FNMA REMIC, Ser 2016-3, Cl JI, IO | ||||||||
3.500%, 02/25/2031 | 185 | 6 | ||||||
FNMA REMIC, Ser 2016-3, Cl IN, IO | ||||||||
6.000%, 02/25/2046 | 2,379 | 409 | ||||||
FNMA REMIC, Ser 2016-42, Cl DA | ||||||||
3.000%, 07/25/2045 | 423 | 388 | ||||||
FNMA REMIC, Ser 2016-71, Cl IN, IO | ||||||||
3.500%, 10/25/2046 | 446 | 78 | ||||||
FNMA REMIC, Ser 2016-95, Cl BC | ||||||||
2.500%, 07/25/2040 | 1,958 | 1,778 | ||||||
FNMA REMIC, Ser 2017-15, Cl BC | ||||||||
3.250%, 11/25/2043 | 1,656 | 1,546 | ||||||
FNMA REMIC, Ser 2017-47, Cl AB | ||||||||
2.500%, 10/25/2041 | 629 | 621 | ||||||
FNMA REMIC, Ser 2017-68, Cl IB, IO | ||||||||
4.500%, 09/25/2047 | 1,877 | 335 | ||||||
FNMA REMIC, Ser 2017-69, Cl GA | ||||||||
3.000%, 05/25/2045 | 1,812 | 1,702 | ||||||
FNMA REMIC, Ser 2018-12, Cl PK | ||||||||
3.000%, 03/25/2046 | 9,511 | 8,922 | ||||||
FNMA REMIC, Ser 2018-13, Cl MP | ||||||||
3.500%, 12/25/2057 | 2,363 | 2,184 | ||||||
FNMA REMIC, Ser 2018-89, Cl CA | ||||||||
4.000%, 06/25/2053 | 2,783 | 2,706 | ||||||
FNMA REMIC, Ser 2020-26, Cl AI, IO | ||||||||
3.000%, 04/25/2033 | 2,235 | 147 | ||||||
FNMA REMIC, Ser 2020-26, Cl IA, IO | ||||||||
3.500%, 11/25/2039 | 3,174 | 291 | ||||||
FNMA REMIC, Ser 2020-35, Cl AI, IO | ||||||||
3.000%, 06/25/2050 | 3,983 | 638 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA REMIC, Ser 2020-4, Cl AP | ||||||||
2.500%, 02/25/2050 | $ | 1,589 | $ | 1,364 | ||||
FNMA REMIC, Ser 2020-74, Cl HI, IO | ||||||||
5.500%, 10/25/2050 | 2,984 | 572 | ||||||
FNMA REMIC, Ser 2020-85, Cl PI, IO | ||||||||
3.000%, 12/25/2050 | 3,998 | 648 | ||||||
FNMA REMIC, Ser 2021-3, Cl TI, IO | ||||||||
2.500%, 02/25/2051 | 4,044 | 697 | ||||||
FNMA REMIC, Ser 2021-3, Cl NI, IO | ||||||||
2.500%, 02/25/2051 | 4,680 | 640 | ||||||
FNMA REMIC, Ser 2021-95, Cl GI, IO | ||||||||
3.000%, 01/25/2052 | 4,129 | 634 | ||||||
FNMA REMIC, Ser 2022-22, Cl QH | ||||||||
4.500%, 05/25/2052 | 6,068 | 5,917 | ||||||
FNMA TBA | ||||||||
2.000% - 5.000%, 8/15/2038 - 8/15/2053 | 11,545 | 13,463 | ||||||
FNMA, Ser 2014-M8, Cl A2 | ||||||||
3.056%, 06/25/2024(A) | 26,008 | 25,361 | ||||||
FNMA, Ser 2017-M13, Cl FA | ||||||||
5.557%, ICE LIBOR USD 1 Month + 0.400%, 10/25/2024(A) | 173 | 171 | ||||||
FNMA, Ser 2018- M12, Cl FA | ||||||||
5.557%, ICE LIBOR USD 1 Month + 0.400%, 08/25/2025(A) | 180 | 179 | ||||||
FNMA, Ser 2019-M21, Cl X1, IO | ||||||||
1.410%, 05/25/2029(A) | 11,591 | 587 | ||||||
GNMA | ||||||||
6.500%, 12/15/2037 to 02/20/2039 | 92 | 95 | ||||||
6.000%, 02/15/2029 to 06/15/2041 | 435 | 446 | ||||||
5.500%, 10/15/2034 to 02/15/2041 | 909 | 930 | ||||||
5.000%, 09/15/2039 to 04/15/2041 | 504 | 503 | ||||||
4.500%, 09/20/2049 | 1,341 | 1,303 | ||||||
4.000%, 07/15/2041 to 08/15/2041 | 53 | 51 | ||||||
3.500%, 06/20/2046 | 1,756 | 1,639 | ||||||
GNMA, Ser 2003-86, Cl ZD | ||||||||
5.500%, 10/20/2033 | 1,894 | 1,887 | ||||||
GNMA, Ser 2010-26, Cl JI, IO | ||||||||
5.000%, 02/16/2040 | 1,255 | 258 | ||||||
GNMA, Ser 2010-57, Cl TI, IO | ||||||||
5.000%, 05/20/2040 | 605 | 123 | ||||||
GNMA, Ser 2010-68, Cl WA | ||||||||
3.000%, 12/16/2039 | 897 | 851 | ||||||
GNMA, Ser 2012-126, Cl IO, IO | ||||||||
3.500%, 10/20/2042 | 1,781 | 286 | ||||||
GNMA, Ser 2012-36, Cl AB | ||||||||
3.000%, 10/20/2040 | 266 | 257 | ||||||
GNMA, Ser 2012-51, Cl GI, IO | ||||||||
3.500%, 07/20/2040 | 166 | 5 | ||||||
GNMA, Ser 2012-84, Cl TE | ||||||||
1.500%, 03/20/2042 | 1,366 | 1,236 |
28
SEI Daily Income Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA, Ser 2013-129, Cl AF | ||||||||
5.769%, TSFR1M + 0.514%, 10/20/2039(A) | $ | 3,031 | $ | 2,991 | ||||
GNMA, Ser 2013-166, Cl DA | ||||||||
3.500%, 06/20/2040 | 305 | 290 | ||||||
GNMA, Ser 2013-26, Cl IK, IO | ||||||||
3.000%, 02/16/2043 | 337 | 42 | ||||||
GNMA, Ser 2013-47, Cl IA, IO | ||||||||
4.000%, 03/20/2043 | 339 | 60 | ||||||
GNMA, Ser 2013-51, Cl IB, IO | ||||||||
3.500%, 03/20/2027 | 251 | 10 | ||||||
GNMA, Ser 2014-4, Cl BI, IO | ||||||||
4.000%, 01/20/2044 | 145 | 27 | ||||||
GNMA, Ser 2014-55, Cl LB | ||||||||
2.500%, 10/20/2040 | 167 | 156 | ||||||
GNMA, Ser 2014-56, Cl BP | ||||||||
2.500%, 12/16/2039 | 907 | 825 | ||||||
GNMA, Ser 2015-119, Cl ND | ||||||||
2.500%, 12/20/2044 | 1,667 | 1,527 | ||||||
GNMA, Ser 2015-126, Cl HI, IO | ||||||||
4.000%, 12/16/2026 | 51 | 1 | ||||||
GNMA, Ser 2015-126, Cl GI, IO | ||||||||
3.500%, 02/16/2027 | 92 | 3 | ||||||
GNMA, Ser 2015-132, Cl EI, IO | ||||||||
6.000%, 09/20/2045 | 949 | 202 | ||||||
GNMA, Ser 2015-165, Cl I, IO | ||||||||
3.500%, 07/20/2043 | 697 | 91 | ||||||
GNMA, Ser 2015-17, Cl BI, IO | ||||||||
3.500%, 05/20/2043 | 119 | 19 | ||||||
GNMA, Ser 2015-185, Cl GI, IO | ||||||||
3.500%, 02/20/2041 | 219 | 5 | ||||||
GNMA, Ser 2015-40, Cl PA | ||||||||
2.000%, 04/20/2044 | 858 | 813 | ||||||
GNMA, Ser 2015-53, Cl IA, IO | ||||||||
4.500%, 04/20/2045 | 554 | 108 | ||||||
GNMA, Ser 2016-126, Cl KI, IO | ||||||||
3.000%, 09/20/2028 | 244 | 10 | ||||||
GNMA, Ser 2016-167, Cl AI, IO | ||||||||
5.500%, 03/20/2039 | 918 | 159 | ||||||
GNMA, Ser 2016-23, Cl CI, IO | ||||||||
3.500%, 04/20/2042 | 670 | 31 | ||||||
GNMA, Ser 2016-42, Cl EI, IO | ||||||||
6.000%, 02/20/2046 | 895 | 177 | ||||||
GNMA, Ser 2016-49, Cl PI, IO | ||||||||
4.500%, 11/16/2045 | 1,244 | 227 | ||||||
GNMA, Ser 2016-99, Cl LI, IO | ||||||||
4.000%, 05/20/2029 | 823 | 27 | ||||||
GNMA, Ser 2017-107, Cl JI, IO | ||||||||
4.000%, 03/20/2047 | 986 | 146 | ||||||
GNMA, Ser 2017-134, Cl BI, IO | ||||||||
5.000%, 09/16/2047 | 213 | 43 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA, Ser 2017-2, Cl AI, IO | ||||||||
5.000%, 01/16/2047 | $ | 265 | $ | 53 | ||||
GNMA, Ser 2017-26, Cl KI, IO | ||||||||
6.000%, 09/20/2040 | 1,114 | 208 | ||||||
GNMA, Ser 2017-26, Cl IA, IO | ||||||||
5.500%, 02/16/2047 | 922 | 153 | ||||||
GNMA, Ser 2017-26, Cl IB, IO | ||||||||
5.500%, 02/20/2047 | 584 | 102 | ||||||
GNMA, Ser 2017-95, Cl PG | ||||||||
2.500%, 12/20/2045 | 514 | 471 | ||||||
GNMA, Ser 2018-127, Cl PB | ||||||||
3.000%, 09/20/2047 | 1,549 | 1,428 | ||||||
GNMA, Ser 2018-72, Cl ID, IO | ||||||||
4.500%, 08/20/2045 | 2,569 | 489 | ||||||
GNMA, Ser 2019-132, Cl NA | ||||||||
3.500%, 09/20/2049 | 3,033 | 2,756 | ||||||
GNMA, Ser 2019-43, Cl IA, IO | ||||||||
4.500%, 05/20/2048 | 1,547 | 247 | ||||||
GNMA, Ser 2019-5, Cl JI, IO | ||||||||
5.000%, 07/16/2044 | 2,500 | 427 | ||||||
GNMA, Ser 2020-17, Cl EI, IO | ||||||||
5.000%, 02/20/2050 | 1,961 | 404 | ||||||
GNMA, Ser 2020-47, Cl AC | ||||||||
1.500%, 04/16/2050 | 4,048 | 3,354 | ||||||
GNMA, Ser 2022-124, Cl HA | ||||||||
4.000%, 12/20/2048 | 799 | 766 | ||||||
GNMA, Ser 2022-125, Cl BA | ||||||||
4.000%, 09/20/2044 | 3,102 | 2,989 | ||||||
GNMA, Ser 2022-177, Cl LA | ||||||||
3.500%, 01/20/2052 | 3,509 | 3,375 | ||||||
GNMA, Ser 2022-34, Cl QJ | ||||||||
3.000%, 02/20/2052 | 2,980 | 2,701 | ||||||
GNMA, Ser 2022-76, Cl GA | ||||||||
4.000%, 03/20/2052 | 5,841 | 5,602 | ||||||
423,430 | ||||||||
Non-Agency Mortgage-Backed Obligations — 3.5% | ||||||||
Seasoned Credit Risk Transfer Trust, Ser 2018-1, Cl MA | ||||||||
3.000%, 05/25/2057 | 3,870 | 3,543 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2018-3, Cl MA | ||||||||
3.500%, 08/25/2057(A) | 2,134 | 2,005 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2019-3, Cl MV | ||||||||
3.500%, 10/25/2058 | 926 | 837 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2019-4, Cl MA | ||||||||
3.000%, 02/25/2059 | 5,110 | 4,674 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2020-2, Cl MA | ||||||||
2.000%, 11/25/2059 | 677 | 600 |
SEI Daily Income Trust
29
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
Short-Duration Government Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Seasoned Credit Risk Transfer Trust, Ser 2021-2, Cl TT | ||||||||
2.000%, 11/25/2060 | $ | 8,950 | $ | 7,854 | ||||
Seasoned Credit Risk Transfer Trust, Ser 2021-3, Cl TT | ||||||||
2.000%, 03/25/2061 | 1,499 | 1,318 | ||||||
20,831 | ||||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $462,764) ($ Thousands) | 444,261 | |||||||
U.S. TREASURY OBLIGATIONS — 25.8% | ||||||||
U.S. Treasury Notes | ||||||||
4.000%, 02/15/2026 | 49,275 | 48,501 | ||||||
2.500%, 04/30/2024 | 6,240 | 6,106 | ||||||
2.500%, 05/31/2024 | 30,875 | 30,141 | ||||||
1.000%, 12/15/2024 (C) | 20,300 | 19,171 | ||||||
0.250%, 06/15/2024 | 51,925 | 49,680 | ||||||
Total U.S. Treasury Obligations | ||||||||
(Cost $158,241) ($ Thousands) | 153,599 | |||||||
REPURCHASE AGREEMENTS(D) — 6.9% | ||||||||
BNP Paribas | ||||||||
5.300%, dated 07/31/2023 to be repurchased on 08/01/2023, repurchase price $20,403,003 (collateralized by U.S. Government obligations, ranging in par value $100 - $6,298,400, 0.000% - 7.000%, 09/26/2023 – 07/01/2053; with a total market value $20,808,002) | 20,400 | 20,400 | ||||||
Deutsche Bank | ||||||||
5.300%, dated 07/31/2023 to be repurchased on 08/01/2023, repurchase price $20,302,989 (collateralized by U.S. Government obligations, ranging in par value $5,722,172 - $23,326,607, 1.500% - 3.000%, 06/01/2051 – 02/01/2052; with total market value $20,706,001) | 20,300 | 20,300 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $40,700) ($ Thousands) | 40,700 | |||||||
Total Investments in Securities — 107.5% | ||||||||
(Cost $661,705) ($ Thousands) | $ | 638,560 | ||||||
30
SEI Daily Income Trust
A list of the open futures contracts held by the Fund at July 31, 2023, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value | Unrealized Appreciation/ | |||||||||||||||
Long Contracts | ||||||||||||||||||||
U.S. 2-Year Treasury Note | 1,275 | Sep-2023 | $ | 262,831 | $ | 258,865 | $ | (3,966 | ) | |||||||||||
Short Contracts | ||||||||||||||||||||
U.S. 5-Year Treasury Note | (687) | Sep-2023 | $ | (74,205 | ) | $ | (73,385 | ) | $ | 819 | ||||||||||
U.S. 10-Year Treasury Note | (644) | Sep-2023 | (72,507 | ) | (71,746 | ) | 761 | |||||||||||||
Ultra 10-Year U.S. Treasury Note | (128) | Sep-2023 | (15,305 | ) | (14,974 | ) | 331 | |||||||||||||
(162,017 | ) | (160,105 | ) | 1,911 | ||||||||||||||||
$ | 100,814 | $ | 98,760 | $ | (2,055 | ) |
| Percentages are based on Net Assets of $594,063 ($ Thousands). |
(A) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(B) | No interest rate available. |
(C) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. The total market value of such securities as of July 31, 2023 was $3,500 ($ Thousands). |
(D) | Tri-Party Repurchase Agreement. |
The following is a summary of the level of inputs used as of July 31, 2023, 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 | – | 444,261 | – | 444,261 | ||||||||||||
U.S. Treasury Obligations | – | 153,599 | – | 153,599 | ||||||||||||
Repurchase Agreements | – | 40,700 | – | 40,700 | ||||||||||||
Total Investments in Securities | – | 638,560 | – | 638,560 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 1,911 | – | – | 1,911 | ||||||||||||
Unrealized Depreciation | (3,966 | ) | – | – | (3,966 | ) | ||||||||||
Total Other Financial Instruments | (2,055 | ) | – | – | (2,055 | ) |
* Futures Contracts are valued at the net unrealized appreciation (depreciation) on the instruments.
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
31
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
GNMA Fund
† | Percentages are based on total investments. Total investments exclude options, futures contracts, forward contracts, and swap contracts, if applicable. |
-
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES — 99.0% | ||||||||
Agency Mortgage-Backed Obligations — 98.6% | ||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K066, Cl X1, IO | ||||||||
0.746%, 06/25/2027(A) | $ | 1,611 | $ | 38 | ||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K110, Cl X1, IO | ||||||||
1.696%, 04/25/2030(A) | 1,144 | 98 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K116, Cl X1, IO | ||||||||
1.424%, 07/25/2030(A) | 1,317 | 99 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K118, Cl X1, IO | ||||||||
0.958%, 09/25/2030(A) | 1,514 | 80 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K123, Cl X1, IO | ||||||||
0.773%, 12/25/2030(A) | 2,316 | 101 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K125, Cl X1, IO | ||||||||
0.582%, 01/25/2031(A) | 2,986 | 100 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K128, Cl X1, IO | ||||||||
0.516%, 03/25/2031(A) | 1,340 | 41 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K1520, Cl X1, IO | ||||||||
0.471%, 02/25/2036(A) | 602 | 24 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K737, Cl X1, IO | ||||||||
0.634%, 10/25/2026(A) | 2,118 | 34 | ||||||
FHLMC REMIC, Ser 2011-3930, Cl AI, IO | ||||||||
3.500%, 09/15/2026 | 75 | 3 | ||||||
FHLMC REMIC, Ser 2012-4018, Cl AI, IO | ||||||||
3.500%, 03/15/2027 | 80 | 2 | ||||||
FHLMC REMIC, Ser 2012-4060, Cl TI, IO | ||||||||
2.500%, 12/15/2026 | 73 | 1 | ||||||
FHLMC REMIC, Ser 2013-4166, Cl PI, IO | ||||||||
3.500%, 03/15/2041 | 106 | 4 | ||||||
FHLMC REMIC, Ser 2013-4176, Cl KI, IO | ||||||||
4.000%, 03/15/2028 | 150 | 5 | ||||||
FHLMC REMIC, Ser 2013-4178, Cl MI, IO | ||||||||
2.500%, 03/15/2028 | 123 | 4 | ||||||
FHLMC REMIC, Ser 2013-4182, Cl IE, IO | ||||||||
2.500%, 03/15/2028 | 118 | 5 | ||||||
FHLMC REMIC, Ser 2013-4199, Cl QI, IO | ||||||||
2.500%, 05/15/2028 | 173 | 7 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FHLMC REMIC, Ser 2013-4247, Cl LA | ||||||||
3.000%, 03/15/2043 | $ | 274 | $ | 247 | ||||
FHLMC REMIC, Ser 2015-4484, Cl Cl, IO | ||||||||
4.000%, 07/15/2030 | 238 | 18 | ||||||
FHLMC REMIC, Ser 2016-4624, Cl BI, IO | ||||||||
5.500%, 04/15/2036 | 108 | 20 | ||||||
FHLMC REMIC, Ser 2016-4636, Cl BI, IO | ||||||||
5.500%, 05/15/2040 | 179 | 35 | ||||||
FHLMC REMIC, Ser 2017-4731, Cl LB | ||||||||
3.000%, 11/15/2047 | 167 | 131 | ||||||
FHLMC REMIC, Ser 2020-4978, Cl MI, IO | ||||||||
4.000%, 05/25/2040 | 188 | 28 | ||||||
FHLMC, Ser 2014-324, Cl C18, IO | ||||||||
4.000%, 12/15/2033 | 231 | 25 | ||||||
FNMA | ||||||||
8.000%, 03/01/2027 to 09/01/2028 | 7 | 7 | ||||||
7.000%, 08/01/2032 to 09/01/2032 | 8 | 8 | ||||||
6.500%, 09/01/2032 | 17 | 18 | ||||||
FNMA Interest, Ser 2007-379, Cl 1, PO | ||||||||
0.000%, 05/25/2037(B) | 423 | 338 | ||||||
FNMA Interest, Ser 2012-410, Cl C6, IO | ||||||||
4.000%, 05/25/2027 | 31 | 1 | ||||||
FNMA Interest, Ser 2012-410, Cl C8, IO | ||||||||
4.000%, 04/25/2032 | 278 | 28 | ||||||
FNMA REMIC, Ser 2010-126, Cl NI, IO | ||||||||
5.500%, 11/25/2040 | 142 | 20 | ||||||
FNMA REMIC, Ser 2012-53, Cl BI, IO | ||||||||
3.500%, 05/25/2027 | 27 | 1 | ||||||
FNMA REMIC, Ser 2012-93, Cl IL, IO | ||||||||
3.000%, 09/25/2027 | 143 | 6 | ||||||
FNMA REMIC, Ser 2012-98, Cl BI, IO | ||||||||
6.000%, 01/25/2042 | 91 | 9 | ||||||
FNMA REMIC, Ser 2014-68, Cl ID, IO | ||||||||
3.500%, 03/25/2034 | 290 | 15 | ||||||
FNMA REMIC, Ser 2015-21, Cl WI, IO | ||||||||
0.000%, 04/25/2055(A)(C) | 117 | 5 | ||||||
FNMA REMIC, Ser 2016-3, Cl JI, IO | ||||||||
3.500%, 02/25/2031 | 24 | 1 | ||||||
FNMA REMIC, Ser 2016-71, Cl IN, IO | ||||||||
3.500%, 10/25/2046 | 56 | 10 | ||||||
FNMA REMIC, Ser 2017-110, Cl PB | ||||||||
3.000%, 02/25/2057 | 79 | 61 | ||||||
FNMA REMIC, Ser 2017-68, Cl IB, IO | ||||||||
4.500%, 09/25/2047 | 149 | 27 | ||||||
FNMA REMIC, Ser 2018-13, Cl MP | ||||||||
3.500%, 12/25/2057 | 240 | 222 | ||||||
FNMA REMIC, Ser 2018-25, Cl AL | ||||||||
3.500%, 04/25/2048 | 49 | 43 | ||||||
FNMA REMIC, Ser 2019-31, Cl CB | ||||||||
3.000%, 07/25/2049 | 300 | 253 | ||||||
FNMA REMIC, Ser 2019-9, Cl CL | ||||||||
3.500%, 04/25/2048 | 652 | 598 |
32
SEI Daily Income Trust
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FNMA REMIC, Ser 2020-53, Cl ZM | ||||||||
2.000%, 08/25/2050 | $ | 557 | $ | 366 | ||||
FNMA REMIC, Ser 2020-74, Cl HI, IO | ||||||||
5.500%, 10/25/2050 | 259 | 50 | ||||||
FNMA, Ser 2019-M21, Cl X1, IO | ||||||||
1.410%, 05/25/2029(A) | 1,071 | 54 | ||||||
FNMA, Ser 2020-M2, Cl X, IO | ||||||||
0.311%, 01/25/2030(A) | 827 | 9 | ||||||
GNMA | ||||||||
8.000%, 07/15/2026 to 03/15/2032 | 43 | 43 | ||||||
7.750%, 10/15/2026 | 6 | 6 | ||||||
7.500%, 02/15/2027 to 10/15/2035 | 35 | 35 | ||||||
7.250%, 01/15/2028 | 2 | 2 | ||||||
6.500%, 10/15/2023 to 10/15/2038 | 140 | 146 | ||||||
6.000%, 12/15/2027 to 11/15/2034 | 99 | 100 | ||||||
5.500%, 01/15/2033 to 02/15/2041 | 548 | 553 | ||||||
5.000%, 06/15/2033 to 04/20/2053 | 2,389 | 2,366 | ||||||
4.500%, 08/15/2033 to 08/20/2049 | 1,691 | 1,665 | ||||||
4.000%, 03/20/2040 to 09/20/2048 | 3,466 | 3,333 | ||||||
3.875%, 05/15/2042 to 08/15/2042 | 672 | 642 | ||||||
3.500%, 03/20/2041 to 02/20/2049 | 7,128 | 6,637 | ||||||
3.000%, 10/15/2042 to 10/20/2051 | 8,160 | 7,337 | ||||||
2.500%, 07/20/2045 to 12/20/2051 | 9,280 | 8,023 | ||||||
2.000%, 11/20/2045 to 08/20/2051 | 6,843 | 5,746 | ||||||
GNMA TBA | ||||||||
2.000% - 5.500%, 08/15/2053 | 7 | 131 | ||||||
GNMA, Ser 2010-26, Cl JI, IO | ||||||||
5.000%, 02/16/2040 | 247 | 51 | ||||||
GNMA, Ser 2010-57, Cl TI, IO | ||||||||
5.000%, 05/20/2040 | 271 | 55 | ||||||
GNMA, Ser 2012-113, Cl BZ | ||||||||
3.000%, 09/16/2042 | 214 | 173 | ||||||
GNMA, Ser 2012-126, Cl IO, IO | ||||||||
3.500%, 10/20/2042 | 218 | 35 | ||||||
GNMA, Ser 2012-51, Cl GI, IO | ||||||||
3.500%, 07/20/2040 | 111 | 3 | ||||||
GNMA, Ser 2012-69, Cl AI, IO | ||||||||
4.500%, 05/16/2027 | 24 | – | ||||||
GNMA, Ser 2012-91, Cl NC | ||||||||
3.000%, 05/20/2042 | 257 | 224 | ||||||
GNMA, Ser 2013-149, Cl LZ | ||||||||
2.500%, 10/20/2043 | 50 | 41 | ||||||
GNMA, Ser 2013-169, Cl ZK | ||||||||
2.500%, 11/20/2043 | 56 | 46 | ||||||
GNMA, Ser 2013-26, Cl IK, IO | ||||||||
3.000%, 02/16/2043 | 221 | 27 | ||||||
GNMA, Ser 2013-47, Cl IA, IO | ||||||||
4.000%, 03/20/2043 | 225 | 40 | ||||||
GNMA, Ser 2013-79, Cl BZ | ||||||||
3.000%, 05/20/2043 | 373 | 321 | ||||||
GNMA, Ser 2013-99, Cl AX | ||||||||
3.000%, 07/20/2043(D) | 59 | 54 |
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA, Ser 2014-119, Cl ZK | ||||||||
3.500%, 08/16/2044 | $ | 358 | $ | 317 | ||||
GNMA, Ser 2014-122, Cl IP, IO | ||||||||
3.500%, 08/16/2029 | 211 | 11 | ||||||
GNMA, Ser 2014-133, Cl EP | ||||||||
3.500%, 09/20/2044 | 251 | 227 | ||||||
GNMA, Ser 2014-144, Cl BI, IO | ||||||||
3.000%, 09/16/2029 | 67 | 3 | ||||||
GNMA, Ser 2014-21, Cl DI, IO | ||||||||
4.000%, 04/16/2026 | 171 | 3 | ||||||
GNMA, Ser 2014-72, Cl ML | ||||||||
3.500%, 03/20/2044 | 315 | 295 | ||||||
GNMA, Ser 2015-161, Cl GZ | ||||||||
3.000%, 11/20/2045 | 283 | 243 | ||||||
GNMA, Ser 2015-165, Cl I, IO | ||||||||
3.500%, 07/20/2043 | 332 | 43 | ||||||
GNMA, Ser 2015-168, Cl MI, IO | ||||||||
5.500%, 10/20/2037 | 299 | 50 | ||||||
GNMA, Ser 2015-17, Cl BI, IO | ||||||||
3.500%, 05/20/2043 | 312 | 49 | ||||||
GNMA, Ser 2015-18, Cl IC, IO | ||||||||
3.500%, 02/16/2030 | 165 | 8 | ||||||
GNMA, Ser 2015-185, Cl GI, IO | ||||||||
3.500%, 02/20/2041 | 145 | 4 | ||||||
GNMA, Ser 2015-24, Cl CI, IO | ||||||||
3.500%, 02/20/2045 | 136 | 19 | ||||||
GNMA, Ser 2015-53, Cl IA, IO | ||||||||
4.500%, 04/20/2045 | 286 | 56 | ||||||
GNMA, Ser 2015-62, Cl CI, IO | ||||||||
4.500%, 05/20/2045 | 146 | 28 | ||||||
GNMA, Ser 2015-84, Cl IO, IO | ||||||||
3.500%, 05/16/2042 | 224 | 35 | ||||||
GNMA, Ser 2016-126, Cl KI, IO | ||||||||
3.000%, 09/20/2028 | 163 | 7 | ||||||
GNMA, Ser 2016-136, Cl A | ||||||||
3.000%, 07/20/2044 | 545 | 487 | ||||||
GNMA, Ser 2016-136, Cl PJ | ||||||||
3.500%, 01/20/2046 | 363 | 313 | ||||||
GNMA, Ser 2016-161, Cl GI, IO | ||||||||
5.000%, 11/16/2046 | 118 | 18 | ||||||
GNMA, Ser 2016-167, Cl AI, IO | ||||||||
5.500%, 03/20/2039 | 238 | 41 | ||||||
GNMA, Ser 2016-18, Cl TA | ||||||||
2.000%, 10/20/2044 | 226 | 193 | ||||||
GNMA, Ser 2016-23, Cl CI, IO | ||||||||
3.500%, 04/20/2042 | 438 | 20 | ||||||
GNMA, Ser 2016-42, Cl EI, IO | ||||||||
6.000%, 02/20/2046 | 239 | 47 | ||||||
GNMA, Ser 2016-49, Cl PZ | ||||||||
3.000%, 11/16/2045 | 241 | 176 | ||||||
GNMA, Ser 2016-99, Cl LI, IO | ||||||||
4.000%, 05/20/2029 | 338 | 11 |
SEI Daily Income Trust
33
SCHEDULE OF INVESTMENTS
July 31, 2023 (Unaudited)
GNMA Fund (Continued)
Description | Face Amount | Market Value | ||||||
MORTGAGE-BACKED SECURITIES (continued) | ||||||||
GNMA, Ser 2017-107, Cl JI, IO | ||||||||
4.000%, 03/20/2047 | $ | 334 | $ | 49 | ||||
GNMA, Ser 2017-130, Cl IO, IO | ||||||||
4.500%, 02/20/2040 | 149 | 27 | ||||||
GNMA, Ser 2017-134, Cl BI, IO | ||||||||
5.000%, 09/16/2047 | 96 | 19 | ||||||
GNMA, Ser 2017-134, Cl CG | ||||||||
2.500%, 09/20/2047 | 80 | 67 | ||||||
GNMA, Ser 2017-163, Cl YA | ||||||||
2.500%, 11/20/2047 | 225 | 181 | ||||||
GNMA, Ser 2017-163, Cl BC | ||||||||
2.500%, 11/20/2047 | 231 | 183 | ||||||
GNMA, Ser 2017-182, Cl LZ | ||||||||
3.000%, 12/20/2047 | 148 | 96 | ||||||
GNMA, Ser 2017-19, Cl AY | ||||||||
3.000%, 02/20/2047 | 436 | 368 | ||||||
GNMA, Ser 2017-2, Cl AI, IO | ||||||||
5.000%, 01/16/2047 | 171 | 34 | ||||||
GNMA, Ser 2017-26, Cl IA, IO | ||||||||
5.500%, 02/16/2047 | 268 | 45 | ||||||
GNMA, Ser 2018-1, Cl HB | ||||||||
2.500%, 01/20/2048 | 228 | 187 | ||||||
GNMA, Ser 2018-37, Cl BY | ||||||||
3.500%, 03/20/2048 | 200 | 178 | ||||||
GNMA, Ser 2018-77, Cl JY | ||||||||
3.500%, 06/20/2048 | 246 | 222 | ||||||
GNMA, Ser 2019-43, Cl IA, IO | ||||||||
4.500%, 05/20/2048 | 133 | 21 | ||||||
GNMA, Ser 2020-115, Cl YA | ||||||||
1.000%, 08/20/2050 | 57 | 43 | ||||||
GNMA, Ser 2020-138, Cl LE | ||||||||
1.500%, 09/20/2050 | 163 | 130 | ||||||
GNMA, Ser 2020-17, Cl EI, IO | ||||||||
5.000%, 02/20/2050 | 160 | 33 | ||||||
GNMA, Ser 2020-74, Cl IC, IO | ||||||||
3.000%, 05/20/2035 | 493 | 30 | ||||||
45,752 | ||||||||
Non-Agency Mortgage-Backed Obligations — 0.4% | ||||||||
Seasoned Credit Risk Transfer Trust, Ser 2019-3, Cl MT | ||||||||
3.500%, 10/25/2058 | 189 | 167 | ||||||
Total Mortgage-Backed Securities | ||||||||
(Cost $51,394) ($ Thousands) | 45,919 | |||||||
Description | Face Amount | Market Value | ||||||
REPURCHASE AGREEMENT(E) — 1.1% | ||||||||
BNP Paribas | ||||||||
5.300%, dated 07/31/2023 to be repurchased on 08/01/2023, repurchase price $500,074 (collateralized by U.S. Government obligations, ranging in par value $1,000 - $762,754, 3.500% - 6.000%, 06/01/2037 – 01/20/2051; with total market value $510,000) | $ | 500 | $ | 500 | ||||
Total Repurchase Agreement | ||||||||
(Cost $500) ($ Thousands) | 500 | |||||||
Total Investments in Securities — 100.1% | ||||||||
(Cost $51,894) ($ Thousands) | $ | 46,419 | ||||||
34
SEI Daily Income Trust
A list of the open futures contracts held by the Fund at July 31, 2023, is as follows:
Type of Contract | Number of | Expiration Date | Notional Amount (Thousands) | Value | Unrealized Appreciation/ | |||||||||||||||
Long Contracts | ||||||||||||||||||||
U.S. 2-Year Treasury Note | 10 | Sep-2023 | $ | 2,056 | $ | 2,030 | $ | (26 | ) | |||||||||||
U.S. 5-Year Treasury Note | 4 | Sep-2023 | 436 | 427 | (9 | ) | ||||||||||||||
U.S. 10-Year Treasury Note | 1 | Sep-2023 | 112 | 112 | (1 | ) | ||||||||||||||
U.S. Ultra Long Treasury Bond | 1 | Sep-2023 | 135 | 132 | (3 | ) | ||||||||||||||
Ultra 10-Year U.S. Treasury Note | 3 | Sep-2023 | 360 | 351 | (8 | ) | ||||||||||||||
3,099 | 3,052 | (47 | ) | |||||||||||||||||
Short Contracts | ||||||||||||||||||||
U.S. Long Treasury Bond | (6) | Sep-2023 | $ | (763 | ) | $ | (746 | ) | $ | 16 | ||||||||||
$ | 2,336 | $ | 2,306 | $ | (31 | ) |
| Percentages are based on Net Assets of $46,387 ($ Thousands). |
(A) | Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates. |
(B) | Zero coupon security. |
(C) | No interest rate available. |
(D) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(E) | Tri-Party Repurchase Agreement. |
The following is a summary of the level of inputs used as of July 31, 2023, 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 | – | 45,919 | – | 45,919 | ||||||||||||
Repurchase Agreement | – | 500 | – | 500 | ||||||||||||
Total Investments in Securities | – | 46,419 | – | 46,419 |
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 16 | – | – | 16 | ||||||||||||
Unrealized Depreciation | (47 | ) | – | – | (47 | ) | ||||||||||
Total Other Financial Instruments | (31 | ) | – | – | (31 | ) |
* Futures Contracts are valued at the net unrealized appreciation (depreciation) on the instruments.
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 $0.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust
35
Glossary (abbreviations which may be used in the preceding Schedules of Investments):
July 31, 2023 (Unaudited)
Portfolio Abbreviations |
ABS — Asset-Backed Security |
ARM — Adjustable Rate Mortgage |
Cl — Class |
CLO — Collateralized Loan Obligation |
DAC — Designated Activity Company DN — Discount Note |
FFCB — Federal Farm Credit Bank |
FHLB — Federal Home Loan Bank |
FHLMC — Federal Home Loan Mortgage Corporation |
FNMA — Federal National Mortgage Association |
GNMA — Government National Mortgage Association H15T1Y — US Treasury Yield Curve Rate T Note Constant Maturity 1 Year |
ICE — Intercontinental Exchange |
IO — Interest Only — face amount represents notional amount |
LIBOR— London Interbank Offered Rate |
MTN — Medium Term Note PLC – Public Limited Company |
PO — Principal Only |
RB — Revenue Bond |
REMIC — Real Estate Mortgage Investment Conduit |
Ser — Series |
SOFR — Secured Overnight Financing Rate |
SOFR30A — Secured Overnight Financing Rate 30-day Average |
SOFRINDX — Secured Overnight Financing Rate Index |
TBA — To Be Announced |
Currency Abbreviations |
USD — U.S. Dollar |
36
SEI Daily Income Trust
(This page intentionally left blank)
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
July 31, 2023 (Unaudited)
Government Fund | ||||
Assets: | ||||
Investments, at value† | $ | 3,501,912 | ||
Repurchase agreements† | 4,719,000 | |||
Cash and cash equivalents | 421,528 | |||
Cash pledged as collateral on futures contracts | — | |||
Interest receivable | 20,118 | |||
Receivable for investment securities sold | — | |||
Receivable for fund shares sold | — | |||
Tax reclaim receivable | — | |||
Receivable for variation margin | — | |||
Prepaid expenses | 210 | |||
Total Assets | 8,662,768 | |||
Liabilities: | ||||
Income distribution payable | 9,999 | |||
Administration fees payable | 837 | |||
Shareholder servicing fees payable | 611 | |||
Investment advisory fees payable | 519 | |||
Chief Compliance Officer fees payable | 28 | |||
Trustees' fees payable | 7 | |||
Payable for investment securities purchased | — | |||
Payable for fund shares redeemed | — | |||
Payable for variation margin | — | |||
Accrued expense payable | 217 | |||
Total Liabilities | 12,218 | |||
Net Assets | $ | 8,650,550 | ||
† Cost of investments and repurchase agreements | $ | 8,220,912 | ||
Net Assets: | ||||
Paid-in Capital — (unlimited authorization — no par value) | $ | 8,650,058 | ||
Total Distributable Earnings/(loss) | 492 | |||
Net Assets | $ | 8,650,550 | ||
Net Asset Value, Offering and Redemption Price | N/A | |||
Net Asset Value, Offering and Redemption Price | $ | 1.00 | ||
($3,801,476,057 ÷ 3,801,131,007 shares | ) | |||
Net Asset Value, Offering and Redemption Price | $ | 1.00 | ||
($23,277,086 ÷ 23,270,238 shares | ) | |||
Net Asset Value, Offering and Redemption Price | N/A | |||
Net Asset Value, Offering and Redemption Price | $ | 1.00 | ||
($4,825,797,143 ÷ 4,825,746,700 shares | ) | |||
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. |
38
SEI Daily Income Trust
Government II Fund | Treasury II Fund | Ultra Short Duration Bond Fund | Short-Duration Government Fund | GNMA Fund | ||||||||||||||
$ | 1,989,622 | $ | 517,421 | $ | 258,287 | $ | 638,519 | $ | 45,919 | |||||||||
— | — | 200 | 41 | 500 | ||||||||||||||
1,128 | 1,141 | 1,440 | 61 | 99 | ||||||||||||||
— | — | — | — | 40 | ||||||||||||||
1,780 | 9 | 1,287 | 2,516 | 174 | ||||||||||||||
— | — | — | 36,740 | 10,322 | ||||||||||||||
— | — | 110 | 169 | 1 | ||||||||||||||
— | — | 29 | — | — | ||||||||||||||
— | — | 1 | 87 | 2 | ||||||||||||||
43 | 20 | 6 | 13 | 1 | ||||||||||||||
1,992,573 | 518,591 | 261,360 | 678,146 | 57,058 | ||||||||||||||
4,951 | 301 | 113 | 334 | 9 | ||||||||||||||
221 | 50 | 29 | 102 | 8 | ||||||||||||||
— | — | 13 | 64 | 10 | ||||||||||||||
73 | 18 | 22 | 51 | 4 | ||||||||||||||
7 | 2 | 1 | 2 | — | ||||||||||||||
4 | 1 | 1 | 1 | — | ||||||||||||||
84,651 | 25,296 | 2,167 | 82,426 | 10,589 | ||||||||||||||
— | — | 372 | 959 | 24 | ||||||||||||||
— | — | 1 | 112 | 1 | ||||||||||||||
54 | 12 | 50 | 32 | 26 | ||||||||||||||
89,961 | 25,680 | 2,769 | 84,083 | 10,671 | ||||||||||||||
$ | 1,902,612 | $ | 492,911 | $ | 258,591 | $ | 594,063 | $ | 46,387 | |||||||||
$ | 1,989,622 | $ | 517,421 | $ | 263,132 | $ | 661,705 | $ | 51,894 | |||||||||
$ | 1,902,608 | $ | 492,934 | $ | 270,710 | $ | 646,122 | $ | 59,839 | |||||||||
4 | (23 | ) | (12,119 | ) | (52,059 | ) | (13,452 | ) | ||||||||||
$ | 1,902,612 | $ | 492,911 | $ | 258,591 | $ | 594,063 | $ | 46,387 | |||||||||
$ | 1.00 | $ | 1.00 | $ | 9.18 | $ | 9.78 | $ | 8.87 | |||||||||
($1,902,612,051 ÷ 1,902,705,062 shares | ) | ($492,910,620 ÷ 493,117,554 shares | ) | ($198,117,788 ÷ 21,578,447 shares | ) | ($565,963,810 ÷ 57,855,562 shares | ) | ($45,020,291 ÷ 5,075,636 shares | ) | |||||||||
N/A | N/A | N/A | N/A | N/A | ||||||||||||||
N/A | N/A | N/A | N/A | N/A | ||||||||||||||
N/A | N/A | $ | 9.18 | $ | 9.78 | $ | 8.87 | |||||||||||
($60,473,328 ÷ 6,586,418 shares | ) | ($28,098,755 ÷ 2,873,178 shares | ) | ($1,366,915 ÷ 154,042 shares | ) | |||||||||||||
N/A | N/A | N/A | N/A | N/A | ||||||||||||||
SEI Daily Income Trust
39
STATEMENTS OF OPERATIONS ($ Thousands)
For the period ended July 31, 2023 (Unaudited)
Government Fund | Government II Fund | |||||||
Investment Income: | ||||||||
Interest income | $ | 203,640 | $ | 44,920 | ||||
Foreign Taxes Withheld | — | — | ||||||
Total investment income | 203,640 | 44,920 | ||||||
Expenses: | ||||||||
Administration fees | 4,832 | 1,364 | ||||||
Shareholder servicing fees — Class F Shares | — | 2,311 | ||||||
Shareholder servicing fees — Institutional Class Shares | 4,724 | — | ||||||
Shareholder servicing fees — Class CAA Shares | 27 | — | ||||||
Shareholder servicing fees — Sweep Class Shares | 5,932 | — | ||||||
Investment advisory fees | 2,991 | 647 | ||||||
Trustees' fees | 120 | 25 | ||||||
Chief Compliance Officer fees | 29 | 6 | ||||||
Printing fees | 196 | 41 | ||||||
Custodian/Wire agent fees | 108 | 23 | ||||||
Registration fees | 80 | 16 | ||||||
Pricing fees | 13 | 5 | ||||||
Other expenses | 256 | 47 | ||||||
Total expenses | 19,308 | 4,485 | ||||||
Less, waiver of: | ||||||||
Investment advisory fees | — | (231 | ) | |||||
Administration fees | — | (91 | ) | |||||
Shareholder servicing fees - Class F | — | (2,311 | ) | |||||
Shareholder servicing fees - Institutional Class | (4,728 | ) | — | |||||
Shareholder servicing fees - Class CAA | (21 | ) | — | |||||
Shareholder servicing fees - Sweep Class | (2,456 | ) | — | |||||
Net expenses | 12,103 | 1,852 | ||||||
Net Investment Income | 191,537 | 43,068 | ||||||
Net Realized Gain (Loss) on/from: | ||||||||
Investments | 19 | 32 | ||||||
Futures contracts | — | — | ||||||
Net Realized Gain (Loss) | $ | 19 | $ | 32 | ||||
Net change in unrealized appreciation (depreciation) on/from: | ||||||||
Investments | — | — | ||||||
Futures contracts | — | — | ||||||
Net Change in Unrealized Appreciation (Depreciation) | $ | — | $ | — | ||||
Net Realized Gain (Loss) and Unrealized Appreciation (Depreciation) | $ | 19 | $ | 32 | ||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 191,556 | $ | 43,100 | ||||
Amounts designated as "—" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
40
SEI Daily Income Trust
Treasury II Fund | Ultra Short Duration Bond Fund | Short-Duration Government Fund | GNMA Fund | |||||||||||
$ | 11,106 | $ | 5,329 | $ | 9,968 | $ | 790 | |||||||
— | (1 | ) | — | — | ||||||||||
11,106 | 5,328 | 9,968 | 790 | |||||||||||
348 | 265 | 618 | 48 | |||||||||||
580 | 257 | 736 | 58 | |||||||||||
— | — | — | — | |||||||||||
— | — | — | — | |||||||||||
— | — | — | — | |||||||||||
162 | 132 | 302 | 23 | |||||||||||
6 | 4 | 9 | 1 | |||||||||||
1 | 1 | 2 | — | |||||||||||
11 | 6 | 15 | 1 | |||||||||||
6 | 3 | 8 | 1 | |||||||||||
4 | 2 | 5 | — | |||||||||||
2 | 76 | 24 | 20 | |||||||||||
29 | 7 | 15 | 1 | |||||||||||
1,149 | 753 | 1,734 | 153 | |||||||||||
(58 | ) | — | — | — | ||||||||||
(47 | ) | (96 | ) | — | (3 | ) | ||||||||
(580 | ) | (174 | ) | (253 | ) | — | ||||||||
— | — | — | — | |||||||||||
— | — | — | — | |||||||||||
— | — | — | — | |||||||||||
464 | 483 | 1,481 | 150 | |||||||||||
10,642 | 4,845 | 8,487 | 640 | |||||||||||
4 | (621 | ) | (5,820 | ) | (126 | ) | ||||||||
— | (19 | ) | 863 | 77 | ||||||||||
$ | 4 | $ | (640 | ) | $ | (4,957 | ) | $ | (49 | ) | ||||
— | 1,299 | 753 | (1,143 | ) | ||||||||||
— | 2 | (2,396 | ) | (44 | ) | |||||||||
$ | — | $ | 1,301 | $ | (1,643 | ) | $ | (1,187 | ) | |||||
$ | 4 | $ | 661 | $ | (6,600 | ) | $ | (1,236 | ) | |||||
$ | 10,646 | $ | 5,506 | $ | 1,887 | $ | (596 | ) | ||||||
SEI Daily Income Trust
41
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the six months ended July 31, 2023 (Unaudited) and the year ended January 31, 2023
Government Fund | ||||||||
2/1/23 - 7/31/23 | 2023 | |||||||
Operations: | ||||||||
Net investment income | $ | 191,537 | $ | 157,274 | ||||
Net realized gain (loss) | 19 | 43 | ||||||
Net increase in net assets resulting from operations | 191,556 | 157,317 | ||||||
Distributions: | ||||||||
Class F | N/A | N/A | ||||||
Institutional Class | (86,248 | ) | (148,585 | ) | ||||
Class CAA | (491 | ) | (294 | ) | ||||
Sweep Class | (104,762 | ) | (7,992 | ) | ||||
Total distributions | (191,501 | ) | (156,871 | ) | ||||
Capital Share Transactions (All at $1.00 per share) | ||||||||
Class F: | ||||||||
Proceeds from shares issued | N/A | N/A | ||||||
Reinvestment of dividends & distributions | N/A | N/A | ||||||
Cost of shares redeemed | N/A | N/A | ||||||
Net increase (decrease) from Class F Transactions | N/A | N/A | ||||||
Institutional Class: | ||||||||
Proceeds from shares issued | 34,071,532 | 74,657,356 | ||||||
Reinvestment of dividends & distributions | 30,461 | 96,145 | ||||||
Cost of shares redeemed | (34,034,094 | ) | (80,236,351 | ) | ||||
Net increase (decrease) from Institutional Class Transactions | 67,899 | (5,482,850 | ) | |||||
Class CAA: | ||||||||
Proceeds from shares issued | 11,096 | 31,314 | ||||||
Reinvestment of dividends & distributions | 491 | 294 | ||||||
Cost of shares redeemed | (9,346 | ) | (25,422 | ) | ||||
Net increase from Class CAA Transactions | 2,241 | 6,186 | ||||||
Sweep Class: | ||||||||
Proceeds from shares issued | 14,573,760 | 6,342,809 | ||||||
Reinvestment of dividends & distributions | 104,762 | 7,992 | ||||||
Cost of shares redeemed | (15,040,940 | ) | (1,162,636 | ) | ||||
Net increase (decrease) from Sweep Class Transactions | (362,418 | ) | 5,188,165 | |||||
Net increase (decrease) in net assets from capital shares transactions | (292,278 | ) | (288,499 | ) | ||||
Net increase (decrease) in net assets | (292,223 | ) | (288,053 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 8,942,773 | 9,230,826 | ||||||
End of period | $ | 8,650,550 | $ | 8,942,773 |
N/A — Not applicable.
The accompanying notes are an integral part of the financial statements.
42
SEI Daily Income Trust
Government II Fund | Treasury II Fund | |||||||||||||
2/1/23 - 7/31/23 | 2023 | 2/1/23 - 7/31/23 | 2023 | |||||||||||
$ | 43,068 | $ | 33,145 | $ | 10,642 | $ | 8,828 | |||||||
32 | (181 | ) | 4 | (22 | ) | |||||||||
43,100 | 32,964 | 10,646 | 8,806 | |||||||||||
(43,064 | ) | (32,989 | ) | (10,642 | ) | (8,831 | ) | |||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
(43,064 | ) | (32,989 | ) | (10,642 | ) | (8,831 | ) | |||||||
2,141,282 | 6,592,146 | 384,601 | 1,448,990 | |||||||||||
15,613 | 11,832 | 9,020 | 7,392 | |||||||||||
(2,045,293 | ) | (7,419,696 | ) | (394,774 | ) | (1,392,505 | ) | |||||||
111,602 | (815,718 | ) | (1,153 | ) | 63,877 | |||||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
N/A | N/A | N/A | N/A | |||||||||||
111,602 | (815,718 | ) | (1,153 | ) | 63,877 | |||||||||
111,638 | (815,743 | ) | (1,149 | ) | 63,852 | |||||||||
1,790,974 | 2,606,717 | 494,060 | 430,208 | |||||||||||
$ | 1,902,612 | $ | 1,790,974 | $ | 492,911 | $ | 494,060 |
SEI Daily Income Trust
43
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the six months ended July 31, 2023 (Unaudited) and the year ended January 31, 2023
Ultra Short Duration Bond Fund | ||||||||
2/1/23 - 7/31/23 | 2023 | |||||||
Operations: | ||||||||
Net investment income | $ | 4,845 | $ | 4,915 | ||||
Net realized (loss) | (640 | ) | (1,008 | ) | ||||
Net change in unrealized appreciation (depreciation) | 1,301 | (4,405 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 5,506 | (498 | ) | |||||
Distributions: | ||||||||
Class F | (3,723 | ) | (4,084 | ) | ||||
Class Y | (1,111 | ) | (1,044 | ) | ||||
Total distributions | (4,834 | ) | (5,128 | ) | ||||
Capital share transactions: | ||||||||
Class F: | ||||||||
Proceeds from shares issued | 18,071 | 85,302 | ||||||
Reinvestment of dividends & distributions | 3,189 | 3,449 | ||||||
Cost of shares redeemed | (42,644 | ) | (150,788 | ) | ||||
Net decrease from Class F transactions | (21,384 | ) | (62,037 | ) | ||||
Class Y: | ||||||||
Proceeds from shares issued | 1,145 | 5,540 | ||||||
Reinvestment of dividends & distributions | 1,103 | 1,034 | ||||||
Cost of shares redeemed | (2,440 | ) | (10,348 | ) | ||||
Net increase (decrease) from Class Y transactions | (192 | ) | (3,774 | ) | ||||
Net Decrease in net assets from capital share transactions | (21,576 | ) | (65,811 | ) | ||||
Net decrease in net assets | (20,904 | ) | (71,437 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 279,495 | 350,932 | ||||||
End of period | $ | 258,591 | $ | 279,495 | ||||
Capital Share Transactions: | ||||||||
Class F | ||||||||
Shares issued | 1,972 | 9,305 | ||||||
Reinvestment of distributions | 348 | 378 | ||||||
Shares redeemed | (4,656 | ) | (16,497 | ) | ||||
Net decrease in shares outstanding from Class F Share transactions | (2,336 | ) | (6,814 | ) | ||||
Class Y | ||||||||
Shares issued | 125 | 602 | ||||||
Reinvestment of distributions | 120 | 117 | ||||||
Shares redeemed | (267 | ) | (1,134 | ) | ||||
Net increase (decrease) in shares outstanding from Class Y Share transactions | (22 | ) | (415 | ) | ||||
Total decrease in shares outstanding from share transactions | (2,358 | ) | (7,229 | ) |
The accompanying notes are an integral part of the financial statements.
44
SEI Daily Income Trust
Short-Duration Government Fund | GNMA Fund | |||||||||||||
2/1/23 - 7/31/23 | 2023 | 2/1/23 - 7/31/23 | 2023 | |||||||||||
$ | 8,487 | $ | 7,312 | $ | 640 | $ | 1,101 | |||||||
(4,957 | ) | (11,161 | ) | (49 | ) | (2,398 | ) | |||||||
(1,643 | ) | (16,041 | ) | (1,187 | ) | (4,028 | ) | |||||||
1,887 | (19,890 | ) | (596 | ) | (5,325 | ) | ||||||||
(7,829 | ) | (8,275 | ) | (644 | ) | (1,334 | ) | |||||||
(420 | ) | (491 | ) | (20 | ) | (41 | ) | |||||||
(8,249 | ) | (8,766 | ) | (664 | ) | (1,375 | ) | |||||||
39,932 | 189,093 | 7,593 | 16,504 | |||||||||||
6,190 | 6,345 | 588 | 1,203 | |||||||||||
(87,322 | ) | (242,379 | ) | (9,442 | ) | (34,908 | ) | |||||||
(41,200 | ) | (46,941 | ) | (1,261 | ) | (17,201 | ) | |||||||
1,184 | 4,165 | 737 | 154 | |||||||||||
398 | 467 | 20 | 39 | |||||||||||
(4,590 | ) | (9,315 | ) | (2 | ) | (1,416 | ) | |||||||
(3,008 | ) | (4,683 | ) | 755 | (1,223 | ) | ||||||||
(44,208 | ) | (51,624 | ) | (506 | ) | (18,424 | ) | |||||||
(50,570 | ) | (80,280 | ) | (1,766 | ) | (25,124 | ) | |||||||
644,633 | 724,913 | 48,153 | 73,277 | |||||||||||
$ | 594,063 | $ | 644,633 | $ | 46,387 | $ | 48,153 | |||||||
4,053 | 18,937 | 840 | 1,757 | |||||||||||
629 | 640 | 66 | 130 | |||||||||||
(8,871 | ) | (24,319 | ) | (1,053 | ) | (3,747 | ) | |||||||
(4,189 | ) | (4,742 | ) | (147 | ) | (1,860 | ) | |||||||
114 | 423 | 81 | 16 | |||||||||||
46 | 41 | 2 | 4 | |||||||||||
(467 | ) | (938 | ) | — | (154 | ) | ||||||||
(307 | ) | (474 | ) | 83 | (134 | ) | ||||||||
(4,496 | ) | (5,216 | ) | (64 | ) | (1,994 | ) |
SEI Daily Income Trust
45
FINANCIAL HIGHLIGHTS
For the six months ended July 31, 2023 (Unaudited) and the years ended January 31,
For a Share Outstanding Throughout the Year or Period
Net Asset | Net Investment | Net Realized | Total | Dividends | Distributions | Total | Net Asset | Total | Net Assets | Ratio of | Ratio of | Ratio of Net | ||||||||||||||||||||||||||||||||||||||||
Government Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2023@ | $ | 1.00 | $ | 0.02 | $ | — | $ | 0.02 | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | 1.00 | 2.28 | % | $ | 3,801,476 | 0.20 | % | 0.45 | % | 4.56 | % | ||||||||||||||||||||||||
2023(2) | 1.00 | 0.02 | — | 0.02 | (0.02 | ) | — | (3) | (0.02 | ) | 1.00 | 1.69 | 3,733,579 | 0.19 | 0.45 | 1.51 | ||||||||||||||||||||||||||||||||||||
2022 | 1.00 | — | — | — | — | (3) | — | (3) | — | (3) | 1.00 | 0.01 | 9,215,975 | 0.06 | 0.44 | 0.01 | ||||||||||||||||||||||||||||||||||||
2021 | 1.00 | — | — | — | — | (3) | — | — | (3) | 1.00 | 0.23 | 9,461,922 | 0.18 | 0.45 | 0.19 | |||||||||||||||||||||||||||||||||||||
2020 | 1.00 | 0.02 | — | 0.02 | (0.02 | ) | — | (0.02 | ) | 1.00 | 1.95 | 6,671,923 | 0.20 | 0.46 | 1.95 | |||||||||||||||||||||||||||||||||||||
2019 | 1.00 | 0.02 | — | 0.02 | (0.02 | ) | — | (0.02 | ) | 1.00 | 1.70 | 10,068,739 | 0.20 | 0.46 | 1.72 | |||||||||||||||||||||||||||||||||||||
Class CAA | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2023@ | $ | 1.00 | $ | 0.02 | $ | — | $ | 0.02 | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | 1.00 | 2.26 | % | $ | 23,277 | 0.26 | % | 0.45 | % | 4.52 | % | ||||||||||||||||||||||||
2023 | 1.00 | 0.02 | — | 0.02 | (0.02 | ) | — | (3) | (0.02 | ) | 1.00 | 1.69 | 21,037 | 0.19 | 0.45 | 1.85 | ||||||||||||||||||||||||||||||||||||
2022 | 1.00 | — | — | — | — | (3) | — | (3) | — | (3) | 1.00 | 0.01 | 14,851 | 0.06 | 0.44 | 0.01 | ||||||||||||||||||||||||||||||||||||
2021 | 1.00 | — | — | — | — | (3) | — | — | (3) | 1.00 | 0.23 | 12,812 | 0.18 | 0.45 | 0.24 | |||||||||||||||||||||||||||||||||||||
2020 | 1.00 | 0.02 | — | 0.02 | (0.02 | ) | — | (0.02 | ) | 1.00 | 1.95 | 18,064 | 0.20 | 0.46 | 1.95 | |||||||||||||||||||||||||||||||||||||
2019 | 1.00 | 0.02 | — | 0.02 | (0.02 | ) | — | (0.02 | ) | 1.00 | 1.70 | 21,612 | 0.20 | 0.46 | 1.65 | |||||||||||||||||||||||||||||||||||||
Sweep Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2023@ | $ | 1.00 | $ | 0.02 | $ | — | $ | 0.02 | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | 1.00 | 2.21 | % | $ | 4,825,797 | 0.35 | % | 0.45 | % | 4.41 | % | ||||||||||||||||||||||||
2023(4) | 1.00 | — | (3) | — | — | — | (3) | — | — | (3) | 1.00 | 0.14 | 5,188,157 | 0.35 | 0.44 | 3.74 | ||||||||||||||||||||||||||||||||||||
Government II Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2023@ | $ | 1.00 | $ | 0.02 | $ | — | $ | 0.02 | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | 1.00 | 2.33 | % | $ | 1,902,612 | 0.20 | % | 0.49 | % | 4.66 | % | ||||||||||||||||||||||||
2023 | 1.00 | 0.02 | — | 0.02 | (0.02 | ) | — | (3) | (0.02 | ) | 1.00 | 1.72 | 1,790,974 | 0.19 | 0.48 | 1.57 | ||||||||||||||||||||||||||||||||||||
2022 | 1.00 | — | — | — | — | (3) | — | (3) | — | (3) | 1.00 | 0.01 | 2,606,717 | 0.05 | 0.48 | 0.01 | ||||||||||||||||||||||||||||||||||||
2021 | 1.00 | — | — | — | — | (3) | — | — | (3) | 1.00 | 0.27 | 2,553,183 | 0.18 | 0.48 | 0.24 | |||||||||||||||||||||||||||||||||||||
2020 | 1.00 | 0.02 | — | 0.02 | (0.02 | ) | — | (0.02 | ) | 1.00 | 1.97 | 1,991,587 | 0.20 | 0.49 | 1.95 | |||||||||||||||||||||||||||||||||||||
2019 | 1.00 | 0.02 | — | 0.02 | (0.02 | ) | — | (0.02 | ) | 1.00 | 1.76 | 1,808,839 | 0.20 | 0.49 | 1.73 | |||||||||||||||||||||||||||||||||||||
Treasury II Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2023@ | $ | 1.00 | $ | 0.02 | $ | — | $ | 0.02 | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | $ | 1.00 | 2.30 | % | $ | 492,911 | 0.20 | % | 0.50 | % | 4.59 | % | ||||||||||||||||||||||||
2023 | 1.00 | 0.02 | — | 0.02 | (0.02 | ) | — | (0.02 | ) | 1.00 | 1.69 | 494,060 | 0.19 | 0.49 | 1.75 | |||||||||||||||||||||||||||||||||||||
2022 | 1.00 | — | — | — | — | (3) | — | (3) | — | (3) | 1.00 | 0.02 | 430,208 | 0.06 | 0.49 | 0.00 | ||||||||||||||||||||||||||||||||||||
2021 | 1.00 | — | — | — | — | (3) | — | — | (3) | 1.00 | 0.27 | 307,851 | 0.19 | 0.49 | 0.30 | |||||||||||||||||||||||||||||||||||||
2020 | 1.00 | 0.02 | — | 0.02 | (0.02 | ) | — | (0.02 | ) | 1.00 | 1.95 | 401,720 | 0.20 | 0.49 | 1.94 | |||||||||||||||||||||||||||||||||||||
2019 | 1.00 | 0.02 | — | 0.02 | (0.02 | ) | — | (0.02 | ) | 1.00 | 1.75 | 594,915 | 0.20 | 0.49 | 1.73 |
* | Per share calculations were performed using average shares. |
@ | For the six month period ended July 31, 2023. All ratios for the period have been annualized. |
† | Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(1) | The Distributor and/or Administrator have voluntarily agreed to waive and reduce its fee and/or reimburse certain expenses of the Fund in order to limit the one-day net income yield of the Fund to not less than 0.01% of the Fund’s average daily net assets of the share class. Had these waivers been excluded the ratio would have been at the expense ratio cap figure. See Note 3 for expense limitation figures. |
(2) | On January 17, 2023, Class F Shares of the Government Fund were renamed Institutional Shares. |
(3) | Amount represents less than $0.005 per share. |
(4) | Commenced operations on January 17, 2023. All ratios for the period have been annualized. |
Amounts designated as ‘‘—’’ are zero or have been rounded to zero.
46
SEI Daily Income Trust
FINANCIAL HIGHLIGHTS
For the six months ended July 31, 2023 (Unaudited) and the years ended January 31,
For a Share Outstanding Throughout the Year or Period
Net Asset | Net | Net Realized | Total | Dividends | Total | Net Asset | Total | Net Assets | Ratio of | Ratio of | Ratio of Net | Portfolio | ||||||||||||||||||||||||||||||||||||||||
Ultra Short Duration Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2023@ | $ | 9.16 | $ | 0.17 | $ | 0.02 | $ | 0.19 | $ | (0.17 | ) | $ | (0.17 | ) | $ | 9.18 | 2.04 | % | $ | 198,118 | 0.38 | % | 0.62 | % | 3.64 | % | 39 | % | ||||||||||||||||||||||||
2023 | 9.30 | 0.14 | (0.13 | ) | 0.01 | (0.15 | ) | (0.15 | ) | 9.16 | 0.09 | 218,987 | 0.38 | 0.62 | 1.49 | 52 | ||||||||||||||||||||||||||||||||||||
2022 | 9.38 | 0.05 | (0.07 | ) | (0.02 | ) | (0.06 | ) | (0.06 | ) | 9.30 | (0.23 | ) | 285,651 | 0.38 | 0.61 | 0.53 | 70 | ||||||||||||||||||||||||||||||||||
2021 | 9.36 | 0.12 | 0.03 | 0.15 | (0.13 | ) | (0.13 | ) | 9.38 | 1.61 | 271,550 | 0.38 | 0.58 | 1.29 | 73 | |||||||||||||||||||||||||||||||||||||
2020 | 9.31 | 0.23 | 0.05 | 0.28 | (0.23 | ) | (0.23 | ) | 9.36 | 3.06 | 258,558 | 0.38 | 0.59 | 2.44 | 70 | |||||||||||||||||||||||||||||||||||||
2019 | 9.32 | 0.20 | — | 0.20 | (0.21 | ) | (0.21 | ) | 9.31 | 2.13 | 256,372 | 0.38 | 0.59 | 2.15 | 71 | |||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2023@ | $ | 9.16 | $ | 0.17 | $ | 0.02 | $ | 0.19 | $ | (0.17 | ) | $ | (0.17 | ) | $ | 9.18 | 2.08 | % | $ | 60,473 | 0.30 | % | 0.37 | % | 3.73 | % | 39 | % | ||||||||||||||||||||||||
2023 | 9.30 | 0.15 | (0.14 | ) | 0.01 | (0.15 | ) | (0.15 | ) | 9.16 | 0.18 | 60,508 | 0.30 | 0.37 | 1.60 | 52 | ||||||||||||||||||||||||||||||||||||
2022 | 9.38 | 0.06 | (0.07 | ) | (0.01 | ) | (0.07 | ) | (0.07 | ) | 9.30 | (0.15 | ) | 65,281 | 0.30 | 0.36 | 0.61 | 70 | ||||||||||||||||||||||||||||||||||
2021 | 9.37 | 0.13 | 0.02 | 0.15 | (0.14 | ) | (0.14 | ) | 9.38 | 1.58 | 62,559 | 0.30 | 0.33 | 1.36 | 73 | |||||||||||||||||||||||||||||||||||||
2020 | 9.31 | 0.24 | 0.06 | 0.30 | (0.24 | ) | (0.24 | ) | 9.37 | 3.25 | 53,107 | 0.30 | 0.34 | 2.52 | 70 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Short-Duration Government Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2023@ | $ | 9.88 | $ | 0.13 | $ | (0.10 | ) | $ | 0.03 | $ | (0.13 | ) | $ | (0.13 | ) | $ | 9.78 | 0.31 | % | $ | 565,964 | 0.48 | % | 0.57 | % | 2.74 | % | 110 | % | |||||||||||||||||||||||
2023 | 10.29 | 0.11 | (0.39 | ) | (0.28 | ) | (0.13 | ) | (0.13 | ) | 9.88 | (2.74 | ) | 613,217 | 0.48 | 0.56 | 1.06 | 139 | ||||||||||||||||||||||||||||||||||
2022 | 10.56 | 0.03 | (0.22 | ) | (0.19 | ) | (0.08 | ) | (0.08 | ) | 10.29 | (1.83 | ) | 687,332 | 0.48 | 0.56 | 0.25 | 132 | ||||||||||||||||||||||||||||||||||
2021 | 10.38 | 0.09 | 0.22 | 0.31 | (0.13 | ) | (0.13 | ) | 10.56 | 3.01 | 745,950 | 0.48 | 0.57 | 0.88 | 287 | |||||||||||||||||||||||||||||||||||||
2020 | 10.22 | 0.18 | 0.18 | 0.36 | (0.20 | ) | (0.20 | ) | 10.38 | 3.54 | 670,769 | 0.48 | 0.58 | 1.78 | 230 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2023@ | $ | 9.88 | $ | 0.14 | $ | (0.10 | ) | $ | 0.04 | $ | (0.14 | ) | $ | (0.14 | ) | $ | 9.78 | 0.39 | % | $ | 28,099 | 0.31 | % | 0.32 | % | 2.90 | % | 110 | % | |||||||||||||||||||||||
2023 | 10.29 | 0.12 | (0.39 | ) | (0.27 | ) | (0.14 | ) | (0.14 | ) | 9.88 | (2.58 | ) | 31,416 | 0.31 | 0.31 | 1.22 | 139 | ||||||||||||||||||||||||||||||||||
2022 | 10.56 | 0.04 | (0.21 | ) | (0.17 | ) | (0.10 | ) | (0.10 | ) | 10.29 | (1.67 | ) | 37,581 | 0.31 | 0.31 | 0.42 | 132 | ||||||||||||||||||||||||||||||||||
2021 | 10.38 | 0.11 | 0.22 | 0.33 | (0.15 | ) | (0.15 | ) | 10.56 | 3.17 | 45,836 | 0.32 | 0.32 | 1.04 | 287 | |||||||||||||||||||||||||||||||||||||
2020 | 10.22 | 0.20 | 0.17 | 0.37 | (0.21 | ) | (0.21 | ) | 10.38 | 3.69 | 54,472 | 0.33 | 0.33 | 1.93 | 230 | |||||||||||||||||||||||||||||||||||||
2019 | 10.27 | 0.19 | (0.03 | ) | 0.16 | (0.21 | ) | (0.21 | ) | 10.22 | 1.63 | 49,948 | 0.34 | 0.34 | 1.56 | 86 | ||||||||||||||||||||||||||||||||||||
GNMA Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2023@ | $ | 9.10 | $ | 0.12 | $ | (0.23 | ) | $ | (0.11 | ) | $ | (0.12 | ) | $ | (0.12 | ) | $ | 8.87 | (1.18 | )% | $ | 45,020 | 0.63 | % | 0.64 | % | 2.67 | % | 90 | % | ||||||||||||||||||||||
2023 | 10.05 | 0.18 | (0.91 | ) | (0.73 | ) | (0.22 | ) | (0.22 | ) | 9.10 | (7.23 | ) | 47,503 | 0.63 | 0.64 | 1.92 | 235 | ||||||||||||||||||||||||||||||||||
2022 | 10.55 | 0.05 | (0.36 | ) | (0.31 | ) | (0.19 | ) | (0.19 | ) | 10.05 | (2.97 | ) | 71,216 | 0.62 | 0.62 | 0.46 | 405 | ||||||||||||||||||||||||||||||||||
2021 | 10.44 | 0.11 | 0.22 | 0.33 | (0.22 | ) | (0.22 | ) | 10.55 | 3.16 | 104,074 | 0.58 | 0.58 | 1.05 | 392 | |||||||||||||||||||||||||||||||||||||
2020 | 10.20 | 0.24 | 0.28 | 0.52 | (0.28 | ) | (0.28 | ) | 10.44 | 5.15 | 59,818 | 0.58 | 0.58 | 2.33 | 225 | |||||||||||||||||||||||||||||||||||||
2019 | 10.24 | 0.25 | — | 0.25 | (0.29 | ) | (0.29 | ) | 10.20 | 2.54 | 65,412 | 0.58 | 0.58 | 2.48 | 134 | |||||||||||||||||||||||||||||||||||||
Class Y | ||||||||||||||||||||||||||||||||||||||||||||||||||||
2023@ | $ | 9.10 | $ | 0.13 | $ | (0.23 | ) | $ | (0.10 | ) | $ | (0.13 | ) | $ | (0.13 | ) | $ | 8.87 | (1.05 | )% | $ | 1,367 | 0.38 | % | 0.40 | % | 2.92 | % | 90 | % | ||||||||||||||||||||||
2023 | 10.05 | 0.20 | (0.90 | ) | (0.70 | ) | (0.25 | ) | (0.25 | ) | 9.10 | (6.99 | ) | 650 | 0.38 | 0.39 | 2.16 | 235 | ||||||||||||||||||||||||||||||||||
2022 | 10.55 | 0.08 | (0.36 | ) | (0.28 | ) | (0.22 | ) | (0.22 | ) | 10.05 | (2.71 | ) | 2,061 | 0.37 | 0.37 | 0.72 | 405 | ||||||||||||||||||||||||||||||||||
2021 | 10.44 | 0.14 | 0.22 | 0.36 | (0.25 | ) | (0.25 | ) | 10.55 | 3.42 | 3,619 | 0.33 | 0.33 | 1.31 | 392 | |||||||||||||||||||||||||||||||||||||
2020 | 10.20 | 0.27 | 0.27 | 0.54 | (0.30 | ) | (0.30 | ) | 10.44 | 5.35 | 1,403 | 0.33 | 0.33 | 2.58 | 225 | |||||||||||||||||||||||||||||||||||||
2019 | 10.23 | 0.29 | — | 0.29 | (0.32 | ) | (0.32 | ) | 10.20 | 2.88 | 1,323 | 0.32 | 0.32 | 2.84 | 134 |
* | 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, 2023. 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
47
NOTES TO FINANCIAL STATEMENTS
July 31, 2023 (Unaudited)
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: Institutional Class Shares of the Government Fund; Sweep Class Shares of the Government Fund; Class F shares of the Government II, Treasury II, Ultra Short Duration Bond, Short-Duration Government and GNMA Funds; Class CAA shares of the Government Fund and Class Y shares of the Fixed Income Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Funds’ prospectuses provide a description of each Fund’s investment objective and strategies.
On January 17, 2023, Class F Shares of the Government Fund were renamed Institutional Shares.
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 — Effective September 8, 2022, and pursuant to the requirements of the 1940 Act and Rule 2a-5, the administrator, as delegated by the Board of Trustees (the “Board”), has the responsibility for the valuation of Fund investments with readily available market quotations in accordance with the Funds’ Valuation and Pricing Policy. The Trust's Board of Trustees has designated SEI Investments Management Corporation (“SIMC”) as the Valuation Designee for the Funds pursuant to Rule 2a-5 (the “Rule”) under the 1940 Act. The Valuation Designee has the responsibility for the fair value determination with respect to all Fund investments that do not have
readily available market quotations or quotations that are no longer reliable. SIMC, in furtherance of the Board’s designation, has appointed a valuation committee of SIMC persons to function as the Valuation Designee (the “Committee”) and has established a Valuation and Pricing Policy to implement the Rule and the Fund’s' Valuation and Pricing Policy (together with SIMC’s Valuation and Pricing Policy, the “Procedures”). Prior to September 8, 2022, fair-value determinations were performed in accordance with the Trust’s Fair Value Procedures established by the Funds’ Board of Trustees and were implemented through a Fair Value Committee designated by the Board.
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 Rule 2a-7 of the 1940 Act.
Investment securities of the Fixed Income Funds listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the last quoted sale price on an exchange or market on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. If available, debt securities are priced based upon valuations provided by independent third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Options are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price. Futures and swaps cleared through a central clearing house (centrally cleared swaps) are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for financial futures and centrally cleared swaps are provided by an independent source. On days when there is excessive volume, market volatility or the future or centrally cleared swap does not end trading by the time a fund calculates its NAV, the settlement price may not be available at the time at which a fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value a fund’s futures or centrally cleared swaps position. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. SIMC or a Sub-Adviser (“Sub-Adviser”), as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC will continuously monitor the reliability of prices obtained from any pricing service and shall promptly notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator, in turn, will notify SIMC, as Committee, if it receives such notification from a Sub-Adviser, as applicable, or if the Funds’ administrator reasonably believes that a particular pricing service is no longer a reliable source for prices. The Procedures provides that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board. However, when the change would not materially affect the valuation of a Fund’s net assets or involve a material departure in pricing methodology from that of a Fund’s existing pricing agent or pricing methodology, ratification may be obtained at the next regularly scheduled meeting of the Board. 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.
48
SEI Daily Income Trust
Securities for which market prices are not “readily available” are valued in accordance with Rule 2a-5 and the Procedures.
The Committee must monitor for circumstances that may necessitate that a security be valued using Fair Value Procedures which can include: (i) the security's trading has been halted or suspended, (ii) the security has been de-listed from a national exchange, (iii) the security's primary trading market is temporarily closed at a time when under normal conditions it would be open, (iv) the security has not been traded for an extended period of time, (v) the security's primary pricing source is not able or willing to provide a price, (vi) trading of the security is subject to local government-imposed restrictions; or (vii) a significant event (as defined below).
When a security is valued in accordance with the Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. Examples of factors the Committee may consider include: (i) the type of security or asset, (ii) the last trade price, (iii) evaluation of the forces that influence the market in which the security is purchased and sold, (iv) the liquidity of the security, (v) the size of the holding in a Fund or (vi) any other appropriate information.
The Committee is responsible for selecting and applying, in a consistent manner, the appropriate methodologies for determining and calculating the fair value of holdings of the Funds, including specifying the key inputs and assumptions specific to each asset class or holding.
The determination of a security’s fair value price often involves the consideration of a number of subjective factors, and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available. As of July 31, 2023, there were no fair valued securities held by the Funds.
In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.
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 a 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.
SEI Daily Income Trust
49
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2023 (Unaudited)
For the period ended July 31, 2023, 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.
ividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting.
Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/ or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.
For the Fixed Income Funds, amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.
For the Money Market Funds, all amortization is calculated using the straight line method over the holding period of the security. Amortization of premiums and accretion of discounts are included in interest income.
Repurchase Agreements — To the extent consistent with its investment objective and strategies, securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank until the repurchase date of the repurchase agreement. The Funds also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker’s custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited.
It is the Funds’ policy to present the repurchase agreements contracts separately on the Statements of Assets and Liabilities, as the Funds do not have a master netting agreement with the counterparty to the repurchase agreements contracts. Refer to each Fund’s Schedule of Investments for details regarding repurchase agreements contracts as of July 31, 2023, 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, 2023. 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.
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, 2023, 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.
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SEI Daily Income Trust
Swap Agreements — To the extent consistent with its investment objective and strategies, a Fund’s investment in swap contracts is mainly used as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the Counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at year end, if any, are listed after a Fund’s portfolio. In connection with swap agreements securities may be set aside as collateral by a Fund’s custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect a Fund’s value from changes in interest rates, or to expose a Fund to a different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations. Net payments of interest are recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its
obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.
This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. There were no outstanding swap agreements as of July 31, 2023.
Options Written/Purchased — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options contracts to add return or to hedge their existing portfolio securities. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing or writing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. There were no outstanding options contracts as of July 31, 2023.
SEI Daily Income Trust
51
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2023 (Unaudited)
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.
Restricted Securities — Throughout the year, the Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings that could not be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption there from. In addition, the Funds had generally agreed to further restrictions on the disposition of certain
holdings as set forth in various agreements entered into in connection with the purchase of those investments. These investments were valued at amortized cost, which approximates fair value, as determined in accordance with the procedures approved by the Board of Trustees. At July 31, 2023, 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.
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SEI Daily Income Trust
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”). 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 Administrator and/or the Distributor have contractually agreed to waive fees or reimburse expenses for the Class F Shares of the Government II Fund and the Treasury II Fund until May 31, 2024, 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 Fund’s total operating costs exceed the applicable thresholds and will not affect the Fund’s total operating costs if they are less than the applicable thresholds. In other words, shareholders will pay the lower of a 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 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 Funds’ Adviser, Administrator and/or Distributor are limited to the Funds’ direct operating expenses and, therefore, do not apply to indirect expenses incurred by the Funds, such as acquired fund fees and expenses. The waivers are voluntary and the Funds’ Adviser, Administrator and/or Distributor may discontinue all or part of any of these waivers at any time. In addition, some Funds may participate in a commission recapture program where the Funds’ trades may be executed through the Funds’ distributor, and a portion of the commissions paid on those trades are then used to pay the Funds’ expenses.
SEI Daily Income Trust
53
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2023 (Unaudited)
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 | ||||||||||||||||
Institutional Class | 0.07 | % | — | % | 0.20 | %(1) | ||||||||||
Class CAA | 0.07 | % | 0.25 | % | 0.35 | %(1) | ||||||||||
Sweep Class | 0.07 | % | 0.25 | % | 0.35 | %(1) | ||||||||||
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 | %(3) | 0.25 | % | 0.38 | %(1) | ||||||||||
Class Y | 0.10 | %(3) | — | % | 0.30 | %(1) | ||||||||||
Short-Duration Government Fund | ||||||||||||||||
Class F | 0.09 | %(4) | 0.25 | % | 0.48 | %(1) | ||||||||||
Class Y | 0.09 | %(4) | — | % | 0.31 | %(1) | ||||||||||
GNMA Fund | ||||||||||||||||
Class F | 0.09 | %(4) | 0.25 | % | 0.63 | %(1) | ||||||||||
Class Y | 0.09 | %(4) | — | % | 0.38 | %(1) | ||||||||||
(1) | Represents a voluntary cap that may be discontinued at any time. | |||||||||||||||
(2) | Represents a contractual cap effective through May 31, 2024, to be changed only by board approval. | |||||||||||||||
(3) | The Adviser receives an annual fee equal to 0.10% on the first $500 million of net assets, 0.075% of net assets between $500 million and $1 billion and 0.05% 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. | |||||||||||||||
(4) | The Adviser receives an annual fee equal to 0.10% on the first $500 million of net assets, 0.075% of net assets between $500 million and $1 billion and 0.05% 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.
Pursuant to the “manager of managers” structure, the Board of Trustees approved BlackRock Advisors, LLC as sub-adviser to the Money Market Funds, MetLife Investment Management, LLC serves as a sub-adviser to the Ultra Short Duration Bond Fund and Wellington Management Company LLP serves as sub-adviser to the Fixed Income Funds. Each sub-adviser is party to an investment sub-advisory agreement with the Adviser. For its services to the Funds, the sub-advisers are entitled to receive a fee paid directly by the Adviser.
U.S. Bank, N.A. serves as the custodian of the Funds. The custodian plays no role in determining the investment policies of the Funds or which securities are to be purchased or sold in the Funds.
Other — Certain officers and Trustees of the Trust are also officers and/or Trustees of the Administrator, Adviser, or the Distributor. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator, Adviser and/or the Distributor pays compensation of Officers and affiliated Trustees.
A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, Sub-Advisers and service providers as required by SEC regulations.
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SEI Daily Income Trust
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 no 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, 2023, 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, 2023, were as follows for the Fixed Income Funds:
U.S. Gov't | Other | Total | ||||||||||
Ultra Short Duration Bond Fund | ||||||||||||
Purchases | $ | 10,916 | $ | 55,404 | $ | 66,320 | ||||||
Sales | 27,231 | 52,225 | 79,456 | |||||||||
Short-Duration Government Fund | ||||||||||||
Purchases | 674,544 | 869 | 675,413 | |||||||||
Sales | 714,668 | 1,591 | 716,259 | |||||||||
GNMA Fund | ||||||||||||
Purchases | 42,517 | — | 42,517 | |||||||||
Sales | 42,417 | 8 | 42,425 |
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. The permanent differences are primarily attributable to paydown gain/loss reclassification and distribution reclassification. There is no permanent difference in the current year that would require a charge or credit to distributable earnings or Paid-in Capital accounts.
The tax character of dividends and distributions paid during the fiscal years ended January 31, 2023 or January 31, 2022 (unless otherwise indicated) was as follows:
Ordinary | Total | |||||||
Government Fund | ||||||||
2023 | $ | 156,871 | $ | 156,871 | ||||
2022 | 1,041 | 1,041 | ||||||
Government II Fund | ||||||||
2023 | 32,989 | 32,989 | ||||||
2022 | 326 | 326 | ||||||
Treasury II Fund | ||||||||
2023 | 8,831 | 8,831 | ||||||
2022 | 81 | 81 | ||||||
Ultra Short Duration Bond Fund | ||||||||
2023 | 5,128 | 5,128 | ||||||
2022 | 2,160 | 2,160 | ||||||
Short-Duration Government Fund | ||||||||
2023 | 8,766 | 8,766 | ||||||
2022 | 5,576 | 5,576 | ||||||
GNMA Fund | ||||||||
2023 | 1,375 | 1,375 | ||||||
2022 | 1,694 | 1,694 |
SEI Daily Income Trust
55
NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2023 (Unaudited)
As of January 31, 2023, the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:
Undistributed | Undistributed | Capital | Post- | Late Year | Unrealized | Other | Total | |||||||||||||||||||||||||
Government Fund | $ | 21,237 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (20,801 | ) | $ | 436 | |||||||||||||||
Government II Fund | 6,080 | — | (181 | ) | — | — | — | (5,931 | ) | (32 | ) | |||||||||||||||||||||
Treasury II Fund | 1,702 | — | (22 | ) | — | — | — | (1,707 | ) | (27 | ) | |||||||||||||||||||||
Ultra Short Duration Bond Fund | 686 | — | (6,520 | ) | (325 | ) | — | (5,944 | ) | (688 | ) | (12,791 | ) | |||||||||||||||||||
Short-Duration Government Fund | 1,846 | — | (19,819 | ) | (2,545 | ) | — | (23,925 | ) | (1,254 | ) | (45,697 | ) | |||||||||||||||||||
GNMA Fund | 107 | — | (7,803 | ) | (57 | ) | — | (4,332 | ) | (107 | ) | (12,192 | ) |
The other temporary differences in the current year are primarily attributable to Treasury straddle loss deferral and dividends payable.
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, 2023, the Funds did not utilize capital loss carryforwards to offset capital gains.
At January 31, 2023, the following Funds had capital loss carryforwards to offset future realized capital gains:
Short-Term | Long-Term | Total * | ||||||||||
Government II Fund | $ | 181 | $ | – | $ | 181 | ||||||
Treasury II Fund | 22 | – | 22 | |||||||||
Ultra Short Duration Bond Fund | 567 | 5,953 | 6,520 | |||||||||
Short-Duration Government Fund | 4,614 | 15,205 | 19,819 | |||||||||
GNMA Fund | 5,874 | 1,929 | 7,803 |
Post October losses represent losses realized on investment transactions from November 1, 2022 through December 31, 2022, that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year.
During the fiscal year ended January 31, 2023, the Money Market Funds’ cost of securities for Federal income tax purposes approximates the cost located in the Statements of Assets and Liabilities.
For Federal income tax purposes, the cost of securities owned at January 31, 2023, 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, 2023, were as follows:
Federal Tax Cost | Appreciated | Depreciated | Net Unrealized | |||||||||||||
Ultra Short Duration Bond Fund | $ | 263,132 | $ | 101 | $ | (4,746 | ) | $ | (4,645 | ) | ||||||
Short-Duration Government Fund | 661,705 | 1,579 | (24,724 | ) | (23,145 | ) | ||||||||||
GNMA Fund | 51,894 | 323 | (5,798 | ) | (5,475 | ) |
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, 2023, no provision for income tax is required in the Funds’ financial statements. The Funds’ federal income and excise tax returns for all open tax years for which 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.
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SEI Daily Income Trust
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. Many over-the-counter 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 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. and non-U.S. regulators have adopted and implemented 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.
Economic Risks of Global Health Events — Global health events and pandemics, such as COVID-19, have the ability to affect—quickly, drastically and substantially the economies of many nations, states, individual companies and the markets in general and can cause disruptions that cannot necessarily be foreseen. The spread of COVID-19 around the world in 2020 resulted in a substantial number of nations implementing social distancing measures, quarantines, and the shutdown of non-essential businesses and governmental services. Further, it has caused significant volatility in U.S. and international markets. The impact of the outbreak may be short term or may last for an extended period of time.
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.
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 changing interest rates. A rise in interest rates typically causes a fall in the value of fixed income securities in which the Fund invests, whereas a fall in interest rates typically results in the Fund having to invest available cash in instruments with lower interest rates than those of the current portfolio securities. During periods when interest rates are low, the Fund’s yield will also be low and the Fund may not generate enough income to pay its expenses or pay a daily dividend. This could impair the Fund’s ability to provide a positive yield and maintain a stable $1.00 share price. Fluctuations in interest rates may also have unpredictable effects on the markets and may affect the liquidity of the fixed-income securities held by the Fund.
The Fixed Income Funds’ are subject to the risk that a change in interest rates will cause a fall in the value of fixed income securities, including U.S. Government securities, in which the Funds invest. Generally, the value of fixed income securities will vary inversely with the direction
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NOTES TO FINANCIAL STATEMENTS (Continued)
July 31, 2023 (Unaudited)
of prevailing interest rates. Changing interest rates may have unpredictable effects on the markets and may affect the value and liquidity of instruments held by the Fund. 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.
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.
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. Markets for fixed income securities may decline significantly in response to adverse issuer, political, regulatory, market, economic or other developments that may cause broad changes in market value, public perceptions concerning these developments, and adverse investor sentiment or publicity. Similarly, environmental and public health risks, such as natural disasters or epidemics, or widespread fear that such events may occur, may impact markets adversely and cause market volatility in both the short- and long-
term. 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.
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 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 refinancing 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.
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 taxes subject to ordinary income tax rates as opposed to more favorable capital gains rates, which may affect the Funds’ performance.
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.
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
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$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 Funds 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 still subject to the credit risk of the U.S. Government and 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. No assurance can be given that the U.S. Government will provide financial support to its agencies and instrumentalities if it is not obligated by law to do so.
7. CONCENTRATION OF SHAREHOLDERS
SEI Private Trust Company (“SPTC”) and SIMC are subsidiaries of SEI Investments Company. As of July 31, 2023, SPTC held of record the following:
Government Fund, Institutional Class | 51 | % | ||
Government Fund, Cl CAA | 100 | % | ||
Government Fund, Sweep Class | 100 | % | ||
Government II Fund | 63 | % | ||
Treasury II Fund | 99 | % | ||
Ultra Short Duration Bond Fund, Cl F | 96 | % | ||
Ultra Short Duration Bond Fund, Cl Y | 92 | % | ||
Short-Duration Government Fund, Cl F | 97 | % | ||
Short-Duration Government Fund, Cl Y | 23 | % | ||
GNMA Fund, Cl F | 87 | % | ||
GNMA Fund, Cl Y | 99 | % |
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
The U.K. Financial Conduct Authority stopped compelling or inducing banks to submit certain London Inter-Bank Offered Rate (LIBOR) rates. The publication of LIBOR on a representative basis ceased for the one-week and two-month U.S. dollar LIBOR settings immediately after December 31, 2021, and ceased for the remaining U.S. dollar LIBOR settings immediately after June 30, 2023. Investments impacted by the discontinuation of LIBOR may include bank loans, derivatives, floating rate securities, and other assets or liabilities tied to LIBOR. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Financing Rate (SOFR), which is intended to replace U.S. dollar LIBOR. Alternative reference rates for other currencies have also been announced or have already begun publication. In response to the discontinuation of LIBOR, investors have added fallback provisions to existing contracts for investments whose value is tied to LIBOR, with most fallback provisions requiring the adoption of SOFR as a replacement rate. On March 15, 2022, President Biden signed the Adjustable Interest Rate Act into law (the “LIBOR Act”), which, in conjunction with regulations adopted by the Federal Reserve Board, establishes SOFR as the default fallback rate for any U.S. contract without a fallback provision. In addition, on March 4, 2023, the U.K. Financial
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NOTES TO FINANCIAL STATEMENTS (Concluded)
July 31, 2023 (Unaudited)
Conduct Authority announced that, starting July 1, 2023 and continuing through September 30, 2024, it will permit the publishing 1-, 3- and 6-month synthetic U.S. dollar LIBOR settings of based on SOFR to serve as a fallback for non-U.S. contracts.
9. 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, 2023.
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DISCLOSURE OF FUND EXPENSES (Unaudited)
July 31, 2023
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, 2023 to July 31, 2023).
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 “Expenses 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 | Ending | Annualized | Expenses | |||||||||||||
Government Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,022.80 | 0.20 | % | $ | 1.00 | ||||||||
Class CAA | 1,000.00 | 1,022.60 | 0.26 | 1.30 | ||||||||||||
Sweep Class | 1,000.00 | 1,022.10 | 0.35 | 1.75 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Institutional Class | $ | 1,000.00 | $ | 1,023.80 | 0.20 | % | $ | 1.00 | ||||||||
Class CAA | 1,000.00 | 1,023.51 | 0.26 | 1.30 | ||||||||||||
Sweep Class | 1,000.00 | 1,023.06 | 0.35 | 1.76 | ||||||||||||
Government II Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F | $ | 1,000.00 | $ | 1,023.30 | 0.20 | % | $ | 1.00 | ||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F | $ | 1,000.00 | $ | 1,023.80 | 0.20 | % | $ | 1.00 |
Beginning | Ending | Annualized | Expenses | |||||||||||||
Treasury II Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F | $ | 1,000.00 | $ | 1,023.00 | 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 | $ | 1,020.40 | 0.38 | % | $ | 1.90 | ||||||||
Class Y | 1,000.00 | 1,020.80 | 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 |
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DISCLOSURE OF FUND EXPENSES (Unaudited) (Concluded)
July 31, 2023
Beginning | Ending | Annualized | Expenses | |||||||||||||
Short-Duration Government Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F | $ | 1,000.00 | $ | 1,004.80 | 0.48 | % | $ | 2.39 | ||||||||
Class Y | 1,000.00 | 1,003.10 | 0.31 | 1.54 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F | $ | 1,000.00 | $ | 1,004.80 | 0.48 | % | $ | 2.39 | ||||||||
Class Y | 1,000.00 | 1,003.10 | 0.31 | 1.54 | ||||||||||||
GNMA Fund | ||||||||||||||||
Actual Fund Return | ||||||||||||||||
Class F | $ | 1,000.00 | $ | 1,006.30 | 0.63 | % | $ | 3.13 | ||||||||
Class Y | 1,000.00 | 1,003.80 | 0.38 | 1.89 | ||||||||||||
Hypothetical 5% Return | ||||||||||||||||
Class F | $ | 1,000.00 | $ | 1,006.30 | 0.63 | % | $ | 3.13 | ||||||||
Class Y | 1,000.00 | 1,003.80 | 0.38 | 1.89 |
* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365. |
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LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)
Pursuant to Rule 22e-4 under the 1940 Act, the Trust, on behalf of the Funds, has adopted a liquidity risk management program (the “Program”) to govern the Trust’s approach to managing liquidity risk. The Program is overseen by the SIMC Liquidity Risk Oversight Committee, and the Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund.
At a meeting of the Board held on March 20-22, 2023, the Trustees received a report from the SIMC Liquidity Risk Oversight Committee addressing the operations of the Program and assessing its adequacy and effectiveness of implementation. The SIMC Liquidity Risk Oversight Committee determined, and reported to the Board, that the Program remains reasonably designed to assess and manage each Fund’s liquidity risk and that the Program adequately and effectively managed each Fund’s liquidity risk during the 2022 calendar year. The SIMC Liquidity Risk Oversight Committee also reported that with respect to the Trust there were no reportable liquidity events during the period. The SIMC Liquidity Risk Oversight Committee noted that additional monitoring processes, including manual reviews of upcoming market closures, have been implemented.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.
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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 which SIMC provides investment advisory services to the series of the Trust (the “Funds”). Pursuant to separate sub-advisory agreements with SIMC (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”), and under the supervision of SIMC and the Trust’s Board of Trustees (each member, a “Trustee” and, collectively, the “Trustees” or the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) provide security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to the Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the initial approval of a Fund’s Investment Advisory Agreements be specifically approved by the vote of a majority of the outstanding shareholders of the Funds and 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 (or otherwise, as consistent with applicable laws, regulations and related guidance and relief) at a meeting called for such purpose. In addition, the 1940 Act requires that the continuation or renewal of any Investment Advisory Agreement be approved at least annually (after an initial period of up to two years), which also requires the vote of a majority of the Board, including a majority of the Independent Trustees. In connection with their consideration of such renewals, the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to renew an Investment Advisory Agreement.
Consistent with these responsibilities, the Board calls and holds meetings each year to consider whether to approve new and/or renew existing Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations and the services provided pursuant to the Investment Advisory Agreements. The Board also receives data from third parties. This information is provided in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from counsel regarding the responsibilities of Trustees in connection with their consideration of whether to renew the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, during the first half of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC charges the Funds and the level of the sub-advisory fees that SIMC pays the Sub-Advisers, compared with fees each charge to comparable accounts; (vi) the advisory fees charged by SIMC and the Funds’ overall fees and operating expenses compared with peer groups of mutual funds prepared by Broadridge, an independent provider of investment company data that was engaged to prepare an assessment of the Funds in connection with the renewal of the Investment Advisory Agreements (the “Broadridge Report”); (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance program, including a description of material compliance matters and material compliance violations; (ix) SIMC’s potential economies of scale; (x) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (xi) SIMC’s and the Sub-Advisers’ expertise and resources in domestic and/or international financial markets; and (xii) the Funds’ performance over various periods of time compared with peer groups of mutual funds prepared by Broadridge and the Funds’ benchmark indexes.
By way of background, at meetings during the prior fiscal year, the Board approved the creation of a new share class for the Government Fund along with changes to its two existing share classes as a way to more effectively separate retail and institutional investors, allowing the new share class to better align with other share classes offered in the retail
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investor market. There were no changes to the contractual investment advisory fee for the Government Fund. However, throughout the meetings when discussing the share classes, various factors were considered including, but not limited to, the fees charged and the services provided to the Government Fund and each share class. At a meeting held on October 27, 2022, in connection with such share class changes, the Board approved the termination of the contractual waiver upon its expiration on May 31, 2023.
At the March 20-22, 2023 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. Also, certain Sub-Advisory Agreements were renewed at a meeting of the Board held during the first half of the Trust’s fiscal year on March 20-22, 2023 In each case, the Board’s renewal 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 the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and each Sub-Adviser’s personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds were sufficient to support the renewal of the Investment Advisory Agreements. In addition to advisory services, the Board considered the nature and quality of certain administrative, transfer agency and other non-investment advisory services provided to the Funds by SIMC and/or its affiliates.
Performance. In determining whether to renew SIMC’s Advisory Agreement, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indexes/benchmarks. The Trustees reviewed performance information for each Fund, noting that they receive performance reports that permit them to monitor each Fund’s performance at board meetings throughout the year. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In assessing Fund performance, the Trustees considered 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 renewal of Sub-Advisory Agreements, the Board considered the performance of the Sub-Adviser relative to appropriate indexes/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds was sufficient to support renewal of SIMC’s Advisory Agreement, and the performance of each Sub-Adviser was sufficient to support the renewal of the Sub-Advisory Agreement.
Fees. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratios 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 (including meetings from the prior fiscal year in connection with share class changes for the Government Fund), 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’ voluntary waivers of management and other fees to prevent total Fund operating expenses from exceeding any applicable cap, as well as SIMC’s and its affiliates’ contractual waiver of certain other fees with respect to the Government, Government II and Treasury II Funds (as discussed above the contractual waiver for the Government Fund expired May 31, 2023 and was not renewed) to prevent total Fund operating expenses from exceeding a specified cap, and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for its distribution channels. In determining the appropriateness of fees, the Board also took into consideration the impact of fees incurred indirectly by the Funds as a result of investments into underlying funds, including funds from which SIMC or its affiliates earn fees. The Board also took into consideration compensation earned from the Funds by SIMC or its affiliates for non-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and
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BOARD OF TRUSTEES’ CONSIDERATIONS IN APPROVING THE ADVISORY AGREEMENT (Unaudited) (Concluded)
brokerage services received under soft dollar arrangements. When considering fees paid to Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported the renewal of the Investment Advisory Agreements. The Board also considered whether the Sub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.
Profitability. With regard to profitability, the Trustees considered compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. As with the fee levels, when considering the profitability of the Sub-Advisers, the Board took into account the fact that compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. In connection with the renewal of each Sub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to the Sub-Adviser have on SIMC’s advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Advisers is reasonable and supported the 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 a fund-by-fund basis. Based on this evaluation, the Board determined that the fees were reasonable in light of the information that was provided by SIMC with respect to economies of scale.
Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously approved the renewal of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.
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SEI Daily Income Trust / Semi-Annual Report / July 31, 2023
Trustees
Robert A. Nesher, Chairman
William M. Doran
Nina Lesavoy
James M. Williams
Hubert L. Harris, Jr.
Susan C. Cote
James B. Taylor
Christine Reynolds
Thomas Melendez
Officers
Robert A. Nesher
President and Chief Executive Officer
Glenn Kurdziel
Controller and Chief Financial Officer
Stephen Panner
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
David McCann
Vice President, Assistant Secretary
Katherine Mason
Vice President, Assistant Secretary
Stephen G. MacRae
Vice President
Donald Duncan
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)
SEI-F-037 (7/23)
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 for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment 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 Registrant's 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 Rule 30a-3(c) under the Investment Company Act of 1940 (the "1940 Act")) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.
(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the 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 for Closed-End Management Investment Companies. |
Not applicable.
Item 13. | Exhibits. |
(a)(1) Not applicable for semi-annual report.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SEI Daily Income Trust |
By: | /s/ Robert A. Nesher | |
Robert A. Nesher | ||
President & CEO |
Date: October 6, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Robert A. Nesher | |
Robert A. Nesher | ||
President & CEO |
Date: October 6, 2023
By: | /s/ Glenn Kurdziel | |
Glenn Kurdziel | ||
Controller & CFO |
Date: October 6, 2023