SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS — 39.8% |
| |||||||
Communication Services — 2.0% |
| |||||||
AT&T | ||||||||
9.150%, 02/01/2023 | $ | 600 | $ | 629 | ||||
0.934%, SOFRINDX + 0.640%, 03/25/2024 (A) | 1,820 | 1,818 | ||||||
Magallanes | ||||||||
3.428%, 03/15/2024 (B) | 750 | 745 | ||||||
NTT Finance | ||||||||
0.373%, 03/03/2023 (B) | 2,300 | 2,256 | ||||||
Sky | ||||||||
3.125%, 11/26/2022 (B) | 350 | 351 | ||||||
Verizon Communications | ||||||||
1.083%, SOFRINDX + 0.790%, 03/20/2026 (A) | 500 | 499 | ||||||
0.793%, SOFRINDX + 0.500%, 03/22/2024 (A) | 500 | 499 | ||||||
6,797 | ||||||||
Consumer Discretionary — 4.7% |
| |||||||
7-Eleven | ||||||||
0.625%, 02/10/2023 (B) | 3,530 | 3,468 | ||||||
American Honda Finance MTN | ||||||||
0.875%, 07/07/2023 | 300 | 294 | ||||||
Daimler Finance North America LLC | ||||||||
2.550%, 08/15/2022 (B) | 2,110 | 2,113 | ||||||
Daimler Trucks Finance North America LLC | ||||||||
1.295%, U.S. SOFR + 1.000%, 04/05/2024 (A)(B) | 450 | 450 | ||||||
1.035%, U.S. SOFR + 0.750%, 12/13/2024 (A)(B) | 600 | 598 | ||||||
General Motors Financial | ||||||||
4.250%, 05/15/2023 | 525 | 531 | ||||||
3.550%, 07/08/2022 | 225 | 226 | ||||||
1.019%, U.S. SOFR + 0.760%, 03/08/2024 (A) | 500 | 496 | ||||||
0.916%, U.S. SOFR + 0.620%, 10/15/2024 (A) | 2,895 | 2,847 | ||||||
GSK Consumer Healthcare Capital US LLC | ||||||||
3.024%, 03/24/2024 (B) | 420 | 416 | ||||||
Howard University | ||||||||
2.801%, 10/01/2023 | 380 | 374 | ||||||
Hyatt Hotels | ||||||||
1.345%, SOFRINDX + 1.050%, 10/01/2023 (A) | 600 | 601 | ||||||
1.300%, 10/01/2023 | 175 | 170 | ||||||
Hyundai Capital America MTN | �� | |||||||
0.800%, 04/03/2023 (B) | 450 | 440 | ||||||
Lennar | ||||||||
4.750%, 11/15/2022 | 700 | 704 | ||||||
Nordstrom | ||||||||
2.300%, 04/08/2024 | 210 | 201 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Starbucks | ||||||||
0.617%, SOFRINDX + 0.420%, 02/14/2024 (A) | $ | 345 | $ | 345 | ||||
Volkswagen Group of America Finance LLC | ||||||||
3.125%, 05/12/2023 (B) | 1,275 | 1,275 | ||||||
2.900%, 05/13/2022 (B) | 450 | 450 | ||||||
2.700%, 09/26/2022 (B) | 325 | 325 | ||||||
16,324 | ||||||||
Consumer Staples — 1.2% |
| |||||||
Coca-Cola Europacific Partners PLC | ||||||||
0.500%, 05/05/2023 (B) | 975 | 950 | ||||||
Conagra Brands | ||||||||
0.500%, 08/11/2023 | 325 | 314 | ||||||
JDE Peet’s | ||||||||
0.800%, 09/24/2024 (B) | 500 | 467 | ||||||
Keurig Dr Pepper | ||||||||
0.750%, 03/15/2024 | 2,010 | 1,918 | ||||||
McCormick | ||||||||
2.700%, 08/15/2022 | 365 | 365 | ||||||
Mondelez International | ||||||||
2.125%, 03/17/2024 | 290 | 285 | ||||||
4,299 | ||||||||
Energy — 2.1% |
| |||||||
ConocoPhillips | ||||||||
2.400%, 12/15/2022 | 675 | 674 | ||||||
2.125%, 03/08/2024 | 450 | 443 | ||||||
Enbridge | ||||||||
0.835%, SOFRINDX + 0.630%, 02/16/2024 (A) | 775 | 776 | ||||||
0.607%, U.S. SOFR + 0.400%, 02/17/2023 (A) | 1,220 | 1,218 | ||||||
Energy Transfer | ||||||||
5.000%, 10/01/2022 | 585 | 587 | ||||||
Kinder Morgan Energy Partners | ||||||||
3.450%, 02/15/2023 | 1,535 | 1,542 | ||||||
Phillips 66 | ||||||||
3.700%, 04/06/2023 | 285 | 286 | ||||||
Pioneer Natural Resources | ||||||||
0.550%, 05/15/2023 | 830 | 809 | ||||||
Saudi Arabian Oil | ||||||||
1.250%, 11/24/2023 (B) | 200 | 194 | ||||||
Southern Natural Gas LLC | ||||||||
0.625%, 04/28/2023 (B) | 285 | 278 | ||||||
6,807 | ||||||||
Financials — 16.9% |
| |||||||
AIG Global Funding | ||||||||
0.800%, 07/07/2023 (B) | 315 | 307 | ||||||
American Express | ||||||||
3.375%, 05/03/2024 | 350 | 350 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
1 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
0.750%, 11/03/2023 | $ | 1,655 | $ | 1,606 | ||||
Aon | ||||||||
2.200%, 11/15/2022 | 140 | 140 | ||||||
Athene Global Funding | ||||||||
0.927%, SOFRINDX + 0.700%, 05/24/2024 (A)(B) | 825 | 815 | ||||||
Bank of America | ||||||||
0.987%, U.S. SOFR + 0.690%, 04/22/2025 (A) | 650 | 645 | ||||||
0.960%, U.S. SOFR + 0.660%, 02/04/2025 (A) | 510 | 507 | ||||||
Bank of America MTN | ||||||||
1.486%, U.S. SOFR + 1.460%, 05/19/2024 (A) | 300 | 295 | ||||||
0.909%, BSBY3M + 0.430%, 05/28/2024 (A) | 575 | 572 | ||||||
Bank of Montreal | ||||||||
0.609%, SOFRINDX + 0.350%, 12/08/2023 (A) | 600 | 597 | ||||||
Bank of Montreal MTN | ||||||||
0.897%, SOFRINDX + 0.620%, 09/15/2026 (A) | 675 | 670 | ||||||
0.616%, SOFRINDX + 0.320%, 07/09/2024 (A) | 325 | 321 | ||||||
Bank of Nova Scotia | ||||||||
1.950%, 02/01/2023 | 1,545 | 1,540 | ||||||
0.827%, SOFRINDX + 0.550%, 09/15/2023 (A) | 845 | 843 | ||||||
0.679%, U.S. SOFR + 0.380%, 07/31/2024 (A) | 650 | 645 | ||||||
0.573%, U.S. SOFR + 0.280%, 06/23/2023 (A) | 325 | 324 | ||||||
Barclays Bank PLC | ||||||||
1.700%, 05/12/2022 | 225 | 225 | ||||||
BPCE MTN | ||||||||
3.000%, 05/22/2022 (B) | 975 | 976 | ||||||
Brighthouse Financial Global Funding MTN | ||||||||
1.056%, U.S. SOFR + 0.760%, 04/12/2024 (A)(B) | 445 | 446 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
1.093%, U.S. SOFR + 0.800%, 03/17/2023 (A) | 500 | 501 | ||||||
0.674%, SOFRINDX + 0.400%, 12/14/2023 (A) | 2,210 | 2,202 | ||||||
Capital One | ||||||||
2.150%, 09/06/2022 | 250 | 250 | ||||||
Capital One Financial | ||||||||
0.956%, U.S. SOFR + 0.690%, 12/06/2024 (A) | 425 | 423 | ||||||
Charles Schwab | ||||||||
0.790%, SOFRINDX + 0.500%, 03/18/2024 (A) | 400 | 399 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Citigroup | ||||||||
0.991%, U.S. SOFR + 0.694%, 01/25/2026 (A) | $ | 350 | $ | 345 | ||||
0.969%, U.S. SOFR + 0.669%, 05/01/2025 (A) | 250 | 247 | ||||||
CNA Financial | ||||||||
7.250%, 11/15/2023 | 200 | 212 | ||||||
Commonwealth Bank of Australia | ||||||||
0.797%, U.S. SOFR + 0.520%, 06/15/2026 (A)(B) | 425 | 422 | ||||||
Corebridge Financial | ||||||||
3.500%, 04/04/2025 (B) | 230 | 228 | ||||||
Credit Suisse NY | ||||||||
0.689%, SOFRINDX + 0.390%, 02/02/2024 (A) | 2,280 | 2,264 | ||||||
0.520%, 08/09/2023 | 650 | 629 | ||||||
Deutsche Bank NY | ||||||||
1.423%, U.S. SOFR + 1.219%, 11/16/2027 (A) | 550 | 531 | ||||||
0.800%, U.S. SOFR + 0.500%, 11/08/2023 (A) | 600 | 597 | ||||||
Discover Bank | ||||||||
3.350%, 02/06/2023 | 1,750 | 1,761 | ||||||
DNB Bank | ||||||||
2.968%, SOFRINDX + 0.810%, 03/28/2025 (A)(B) | 275 | 271 | ||||||
Equitable Financial Life Global Funding | ||||||||
0.685%, U.S. SOFR + 0.390%, 04/06/2023 (A)(B) | 575 | 574 | ||||||
Fifth Third Bank MTN | ||||||||
1.800%, 01/30/2023 | 250 | 249 | ||||||
GA Global Funding Trust | ||||||||
0.774%, U.S. SOFR + 0.500%, 09/13/2024 (A)(B) | 1,745 | 1,715 | ||||||
Goldman Sachs Group | ||||||||
3.200%, 02/23/2023 | 1,315 | 1,320 | ||||||
0.997%, U.S. SOFR + 0.700%, 01/24/2025 (A) | 425 | 421 | ||||||
0.872%, U.S. SOFR + 0.620%, 12/06/2023 (A) | 2,255 | 2,243 | ||||||
0.769%, U.S. SOFR + 0.500%, 09/10/2024 (A) | 250 | 247 | ||||||
0.627%, U.S. SOFR + 0.538%, 11/17/2023 (A) | 425 | 418 | ||||||
HSBC Bank Canada | ||||||||
0.950%, 05/14/2023 (B) | 2,775 | 2,726 | ||||||
HSBC Holdings PLC | ||||||||
3.600%, 05/25/2023 | 850 | 856 | ||||||
0.793%, U.S. SOFR + 0.580%, 11/22/2024 (A) | 425 | 420 | ||||||
Jackson Financial | ||||||||
1.125%, 11/22/2023 (B) | 425 | 410 |
2 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
JPMorgan Chase | ||||||||
1.182%, U.S. SOFR + 0.885%, 04/22/2027 (A) | $ | 650 | $ | 636 | ||||
0.873%, U.S. SOFR + 0.580%, 06/23/2025 (A) | 325 | 321 | ||||||
0.865%, U.S. SOFR + 0.580%, 03/16/2024 (A) | 500 | 498 | ||||||
0.773%, U.S. SOFR + 0.535%, 06/01/2025 (A) | 400 | 394 | ||||||
KeyBank | ||||||||
0.640%, U.S. SOFR + 0.340%, 01/03/2024 (A) | 575 | 571 | ||||||
0.620%, U.S. SOFR + 0.320%, 06/14/2024 (A) | 400 | 396 | ||||||
Macquarie Bank MTN | ||||||||
0.441%, 12/16/2022 (B) | 325 | 321 | ||||||
Macquarie Group MTN | ||||||||
1.006%, U.S. SOFR + 0.710%, 10/14/2025 (A)(B) | 425 | 422 | ||||||
MassMutual Global Funding II | ||||||||
0.656%, U.S. SOFR + 0.360%, 04/12/2024 (A)(B) | 400 | 399 | ||||||
MassMutual Global Funding II MTN | ||||||||
0.850%, 06/09/2023 (B) | 448 | 439 | ||||||
Mizuho Financial Group | ||||||||
1.128%, ICE LIBOR USD 3 Month + 0.630%, 05/25/2024 (A) | 775 | 773 | ||||||
Moody’s | ||||||||
2.625%, 01/15/2023 | 1,740 | 1,741 | ||||||
Morgan Stanley | ||||||||
3.620%, U.S. SOFR + 1.160%, 04/17/2025 (A) | 350 | 348 | ||||||
0.731%, U.S. SOFR + 0.616%, 04/05/2024 (A) | 250 | 243 | ||||||
Morgan Stanley MTN | ||||||||
4.875%, 11/01/2022 | 625 | 633 | ||||||
3.750%, 02/25/2023 | 2,170 | 2,186 | ||||||
2.750%, 05/19/2022 | 1,145 | 1,146 | ||||||
Nasdaq | ||||||||
0.445%, 12/21/2022 | 250 | 247 | ||||||
National Bank of Canada | ||||||||
0.900%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.770%, 08/15/2023 (A) | 475 | 473 | ||||||
0.750%, 08/06/2024 | 325 | 305 | ||||||
Nationwide Building Society | ||||||||
2.000%, 01/27/2023 (B) | 375 | 373 | ||||||
0.550%, 01/22/2024 (B) | 400 | 382 | ||||||
NatWest Group PLC | ||||||||
6.000%, 12/19/2023 | 450 | 463 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
NatWest Markets PLC | ||||||||
0.725%, U.S. SOFR + 0.530%, 08/12/2024 (A)(B) | $ | 490 | $ | 487 | ||||
Nordea Bank Abp | ||||||||
1.000%, 06/09/2023 (B) | 300 | 293 | ||||||
Pacific Life Global Funding II | ||||||||
0.500%, 09/23/2023 (B) | 400 | 387 | ||||||
Principal Life Global Funding II | ||||||||
0.746%, U.S. SOFR + 0.450%, 04/12/2024 (A)(B) | 170 | 170 | ||||||
0.611%, U.S. SOFR + 0.380%, 08/23/2024 (A)(B) | 665 | 659 | ||||||
Protective Life Global Funding | ||||||||
1.082%, 06/09/2023 (B) | 255 | 250 | ||||||
Royal Bank of Canada | ||||||||
1.900%, 09/23/2022 (B) | 1,850 | 1,850 | ||||||
Royal Bank of Canada MTN | ||||||||
0.747%, SOFRINDX + 0.450%, 10/26/2023 (A) | 400 | 400 | ||||||
Skandinaviska Enskilda Banken | ||||||||
0.550%, 09/01/2023 (B) | 250 | 242 | ||||||
Societe Generale | ||||||||
1.346%, U.S. SOFR + 1.050%, 01/21/2026 (A)(B) | 425 | 417 | ||||||
Sumitomo Mitsui Trust Bank MTN | ||||||||
0.714%, U.S. SOFR + 0.440%, 09/16/2024 (A)(B) | 500 | 497 | ||||||
Toronto-Dominion Bank | ||||||||
2.100%, 07/15/2022 (B) | 850 | 851 | ||||||
Toronto-Dominion Bank MTN | ||||||||
0.859%, U.S. SOFR + 0.590%, 09/10/2026 (A) | 425 | 418 | ||||||
0.778%, U.S. SOFR + 0.480%, 01/27/2023 (A) | 785 | 785 | ||||||
0.619%, U.S. SOFR + 0.350%, 09/10/2024 (A) | 500 | 495 | ||||||
0.607%, U.S. SOFR + 0.355%, 03/04/2024 (A) | 575 | 571 | ||||||
Truist Financial MTN | ||||||||
0.666%, U.S. SOFR + 0.400%, 06/09/2025 (A) | 400 | 393 | ||||||
UBS | ||||||||
0.700%, 08/09/2024 (B) | 400 | 377 | ||||||
UBS MTN | ||||||||
0.660%, U.S. SOFR + 0.360%, 02/09/2024 (A)(B) | 400 | 398 | ||||||
USAA Capital | ||||||||
1.500%, 05/01/2023 (B) | 525 | 517 | ||||||
58,872 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
3 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Health Care — 3.8% |
| |||||||
AmerisourceBergen | ||||||||
0.737%, 03/15/2023 | $ | 450 | $ | 443 | ||||
Anthem | ||||||||
3.125%, 05/15/2022 | 650 | 650 | ||||||
2.950%, 12/01/2022 | 575 | 577 | ||||||
AstraZeneca PLC | ||||||||
0.300%, 05/26/2023 | 650 | 635 | ||||||
Baxter International | ||||||||
0.675%, SOFRINDX + 0.440%, 11/29/2024 (A)(B) | 425 | 423 | ||||||
Bristol-Myers Squibb | ||||||||
3.250%, 02/20/2023 | 409 | 412 | ||||||
0.537%, 11/13/2023 | 425 | 412 | ||||||
Cigna | ||||||||
3.750%, 07/15/2023 | 1,775 | 1,790 | ||||||
3.050%, 11/30/2022 | 350 | 352 | ||||||
0.613%, 03/15/2024 | 190 | 181 | ||||||
Humana | ||||||||
0.650%, 08/03/2023 | 1,700 | 1,650 | ||||||
Illumina | ||||||||
0.550%, 03/23/2023 | 400 | 392 | ||||||
PerkinElmer | ||||||||
0.550%, 09/15/2023 | 600 | 581 | ||||||
Royalty Pharma PLC | ||||||||
0.750%, 09/02/2023 | 700 | 678 | ||||||
Stryker | ||||||||
0.600%, 12/01/2023 | 230 | 221 | ||||||
Takeda Pharmaceutical | ||||||||
4.400%, 11/26/2023 | 1,295 | 1,315 | ||||||
Thermo Fisher Scientific | ||||||||
0.826%, SOFRINDX + 0.530%, 10/18/2024 (A) | 1,810 | 1,803 | ||||||
Viatris | ||||||||
1.125%, 06/22/2022 | 450 | 449 | ||||||
12,964 | ||||||||
Industrials — 1.3% |
| |||||||
AerCap Ireland Capital DAC | ||||||||
0.974%, U.S. SOFR + 0.680%, 09/29/2023 (A) | 700 | 694 | ||||||
Air Lease MTN | ||||||||
1.176%, ICE LIBOR USD 3 Month + 0.350%, 12/15/2022 (A) | 500 | 499 | ||||||
Boeing | ||||||||
2.700%, 05/01/2022 | 325 | 325 | ||||||
1.167%, 02/04/2023 | 475 | 469 | ||||||
Cargill | ||||||||
1.375%, 07/23/2023 (B) | 300 | 295 | ||||||
Carlisle | ||||||||
0.550%, 09/01/2023 | 175 | 169 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
DAE Funding LLC MTN | ||||||||
1.550%, 08/01/2024 (B) | $ | 450 | $ | 420 | ||||
Penske Truck Leasing LP | ||||||||
4.875%, 07/11/2022 (B) | 1,505 | 1,514 | ||||||
Roper Technologies | ||||||||
0.450%, 08/15/2022 | 150 | 149 | ||||||
4,534 | ||||||||
Information Technology — 2.0% |
| |||||||
Fidelity National Information Services | ||||||||
0.375%, 03/01/2023 | 425 | 417 | ||||||
Hewlett Packard Enterprise | ||||||||
4.450%, 10/02/2023 | 250 | 254 | ||||||
Microchip Technology | ||||||||
0.972%, 02/15/2024 | 375 | 357 | ||||||
Oracle | ||||||||
2.500%, 05/15/2022 | 500 | 500 | ||||||
Qorvo | ||||||||
1.750%, 12/15/2024 (B) | 340 | 321 | ||||||
Salesforce | ||||||||
0.625%, 07/15/2024 | 1,560 | 1,478 | ||||||
Skyworks Solutions | ||||||||
0.900%, 06/01/2023 | 855 | 834 | ||||||
Take-Two Interactive Software | ||||||||
3.300%, 03/28/2024 | 525 | 522 | ||||||
TD SYNNEX | ||||||||
1.250%, 08/09/2024 (B) | 650 | 611 | ||||||
VMware | ||||||||
1.000%, 08/15/2024 | 1,445 | 1,359 | ||||||
0.600%, 08/15/2023 | 400 | 387 | ||||||
7,040 | ||||||||
Materials — 0.2% |
| |||||||
International Flavors & Fragrances | ||||||||
0.697%, 09/15/2022 (B) | 215 | 213 | ||||||
Martin Marietta Materials | ||||||||
0.650%, 07/15/2023 | 480 | 468 | ||||||
681 | ||||||||
Utilities — 5.6% |
| |||||||
American Electric Power | ||||||||
1.766%, ICE LIBOR USD 3 Month + 0.480%, 11/01/2023 (A) | 1,060 | 1,060 | ||||||
Atmos Energy | ||||||||
0.625%, 03/09/2023 | 425 | 418 | ||||||
CenterPoint Energy | ||||||||
0.846%, SOFRINDX + 0.650%, 05/13/2024 (A) | 325 | 323 | ||||||
CenterPoint Energy Resources | ||||||||
1.004%, ICE LIBOR USD 3 Month + 0.500%, 03/02/2023 (A) | 368 | 367 | ||||||
0.700%, 03/02/2023 | 1,555 | 1,522 |
4 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
| |||||||
Cleco Power LLC | ||||||||
1.326%, ICE LIBOR USD 3 Month + 0.500%, 06/15/2023 (A)(B) | $ | 650 | $ | 650 | ||||
Dominion Energy | ||||||||
2.450%, 01/15/2023 (B) | 550 | 549 | ||||||
1.356%, ICE LIBOR USD 3 Month + 0.530%, 09/15/2023 (A) | 1,445 | 1,443 | ||||||
DTE Energy | ||||||||
0.550%, 11/01/2022 | 475 | 471 | ||||||
Duke Energy | ||||||||
0.519%, U.S. SOFR + 0.250%, 06/10/2023 (A) | 500 | 498 | ||||||
Eversource Energy | ||||||||
2.800%, 05/01/2023 | 810 | 808 | ||||||
Mississippi Power | ||||||||
0.594%, U.S. SOFR + 0.300%, 06/28/2024 (A) | 350 | 347 | ||||||
NextEra Energy Capital Holdings | ||||||||
2.940%, 03/21/2024 | 450 | 447 | ||||||
0.778%, SOFRINDX + 0.540%, 03/01/2023 (A) | 1,350 | 1,348 | ||||||
0.750%, ICE LIBOR USD 3 Month + 0.270%, 02/22/2023 (A) | 575 | 573 | ||||||
0.700%, SOFRINDX + 0.400%, 11/03/2023 (A) | 705 | 701 | ||||||
OGE Energy | ||||||||
0.703%, 05/26/2023 | 245 | 238 | ||||||
ONE Gas | ||||||||
1.355%, ICE LIBOR USD 3 Month + | ||||||||
0.610%, 03/11/2023 (A) | 287 | 286 | ||||||
Pacific Gas and Electric | ||||||||
3.250%, 02/16/2024 | 350 | 345 | ||||||
1.700%, 11/15/2023 | 275 | 267 | ||||||
1.347%, SOFRINDX + 1.150%, 11/14/2022 (A) | 415 | 415 | ||||||
PPL Electric Utilities | ||||||||
1.216%, ICE LIBOR USD 3 Month + 0.250%, 09/28/2023 (A) | 875 | 871 | ||||||
0.623%, U.S. SOFR + 0.330%, 06/24/2024 (A) | 465 | 462 | ||||||
Public Service Enterprise Group | ||||||||
0.841%, 11/08/2023 | 2,370 | 2,284 | ||||||
Southern California Edison | ||||||||
1.125%, SOFRINDX + 0.830%, 04/01/2024 (A) | 960 | 961 | ||||||
Southern California Gas | ||||||||
1.153%, ICE LIBOR USD 3 Month + 0.350%, 09/14/2023 (A) | 970 | 965 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) | �� | |||||||
Virginia Electric and Power | ||||||||
3.450%, 09/01/2022 | $ | 750 | $ | 751 | ||||
19,370 | ||||||||
Total Corporate Obligations | 137,688 | |||||||
ASSET-BACKED SECURITIES — 27.5% |
| |||||||
Automotive — 14.3% |
| |||||||
American Credit Acceptance Receivables Trust, Ser 2018-2, Cl D | ||||||||
4.070%, 07/10/2024 (B) | 90 | 90 | ||||||
American Credit Acceptance Receivables Trust, Ser 2021-1, Cl B | ||||||||
0.610%, 03/13/2025 (B) | 1,232 | 1,230 | ||||||
American Credit Acceptance Receivables Trust, Ser 2021-2, Cl B | ||||||||
0.680%, 05/13/2025 (B) | 165 | 164 | ||||||
American Credit Acceptance Receivables Trust, Ser 2021-3, Cl A | ||||||||
0.330%, 06/13/2025 (B) | 62 | 61 | ||||||
American Credit Acceptance Receivables Trust, Ser 2021-3, Cl B | ||||||||
0.660%, 02/13/2026 (B) | 280 | 275 | ||||||
American Credit Acceptance Receivables Trust, Ser 2021-4, Cl A | ||||||||
0.450%, 09/15/2025 (B) | 513 | 507 | ||||||
American Credit Acceptance Receivables Trust, Ser 2022-1, Cl A | ||||||||
0.990%, 12/15/2025 (B) | 640 | 634 | ||||||
American Credit Acceptance Receivables Trust, Ser 2022-2, Cl A | ||||||||
2.660%, 02/13/2026 (B) | 575 | 575 | ||||||
ARI Fleet Lease Trust, Ser 2020-A, Cl A2 | ||||||||
1.770%, 08/15/2028 (B) | 208 | 208 | ||||||
ARI Fleet Lease Trust, Ser 2020-A, Cl A3 | ||||||||
1.800%, 08/15/2028 (B) | 750 | 744 | ||||||
ARI Fleet Lease Trust, Ser 2021-A, Cl A2 | ||||||||
0.370%, 03/15/2030 (B) | 135 | 133 | ||||||
ARI Fleet Lease Trust, Ser 2022-A, Cl A2 | ||||||||
3.120%, 01/15/2031 (B) | 875 | 876 | ||||||
Avid Automobile Receivables Trust, Ser 2021-1, Cl A | ||||||||
0.610%, 01/15/2025 (B) | 119 | 117 | ||||||
Capital One Prime Auto Receivables Trust, Ser 2020-1, Cl A3 | ||||||||
1.600%, 11/15/2024 | 397 | 395 | ||||||
CarMax Auto Owner Trust, Ser 2018-2, Cl C | ||||||||
3.570%, 12/15/2023 | 400 | 400 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
5 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Carmax Auto Owner Trust, Ser 2019-1, Cl A3 | ||||||||
3.050%, 03/15/2024 | $ | 216 | $ | 216 | ||||
Carmax Auto Owner Trust, Ser 2019-3, Cl C | ||||||||
2.600%, 06/16/2025 | 375 | 370 | ||||||
Carmax Auto Owner Trust, Ser 2021-1, Cl A3 | ||||||||
0.340%, 12/15/2025 | 900 | 879 | ||||||
CarMax Auto Owner Trust, Ser 2021-2, Cl A3 | ||||||||
0.520%, 02/17/2026 | 625 | 601 | ||||||
CarMax Auto Owner Trust, Ser 2022-2, Cl A2A | ||||||||
2.810%, 05/15/2025 | 1,135 | 1,135 | ||||||
Carvana Auto Receivables Trust, Ser 2021- N1, Cl A | ||||||||
0.700%, 01/10/2028 | 802 | 775 | ||||||
Carvana Auto Receivables Trust, Ser 2021- N2, Cl A1 | ||||||||
0.320%, 03/10/2028 | 29 | 29 | ||||||
Carvana Auto Receivables Trust, Ser 2021- N2, Cl B | ||||||||
0.750%, 03/10/2028 | 162 | 157 | ||||||
Carvana Auto Receivables Trust, Ser 2021- N3, Cl B | ||||||||
0.660%, 06/12/2028 | 856 | 841 | ||||||
Carvana Auto Receivables Trust, Ser 2021- P3, Cl A2 | ||||||||
0.380%, 01/10/2025 | 207 | 205 | ||||||
CFMT LLC, Ser 2021-AL1, Cl B | ||||||||
1.390%, 09/22/2031 (B) | 587 | 571 | ||||||
Chesapeake Funding II LLC, Ser 2018-3A, Cl A1 | ||||||||
3.390%, 01/15/2031 (B) | 52 | 52 | ||||||
Chesapeake Funding II LLC, Ser 2019-2A, Cl A1 | ||||||||
1.950%, 09/15/2031 (B) | 252 | 253 | ||||||
Chesapeake Funding II LLC, Ser 2021-1A, Cl A2 | ||||||||
0.784%, ICE LIBOR USD 1 Month + 0.230%, 04/15/2033 (A)(B) | 199 | 198 | ||||||
CPS Auto Receivables Trust, Ser 2021-A, Cl B | ||||||||
0.610%, 02/18/2025 (B) | 304 | 303 | ||||||
CPS Auto Receivables Trust, Ser 2021-B, Cl A | ||||||||
0.370%, 03/17/2025 (B) | 57 | 56 | ||||||
CPS Auto Receivables Trust, Ser 2021-B, Cl B | ||||||||
0.810%, 12/15/2025 (B) | 455 | 447 | ||||||
CPS Auto Receivables Trust, Ser 2021-C, Cl B | ||||||||
0.840%, 07/15/2025 (B) | 900 | 883 | ||||||
CPS Auto Receivables Trust, Ser 2022-A, Cl A | ||||||||
0.980%, 04/16/2029 (B) | 1,155 | 1,143 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Credit Acceptance Auto Loan Trust, Ser 2019-3A, Cl A | ||||||||
2.380%, 11/15/2028 (B) | $ | 673 | $ | 673 | ||||
Credit Acceptance Auto Loan Trust, Ser 2020-1A, Cl A | ||||||||
2.010%, 02/15/2029 (B) | 650 | 649 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2021-3A, Cl A | ||||||||
1.000%, 05/15/2030 (B) | 250 | 239 | ||||||
Donlen Fleet Lease Funding 2 LLC, Ser 2021-2, Cl A1 | ||||||||
0.818%, ICE LIBOR USD 1 Month + 0.330%, 12/11/2034 (A)(B) | 442 | 440 | ||||||
Donlen Fleet Lease Funding 2 LLC, Ser 2021-2, Cl A2 | ||||||||
0.560%, 12/11/2034 (B) | 338 | 331 | ||||||
Drive Auto Receivables Trust, Ser 2018-2, Cl D | ||||||||
4.140%, 08/15/2024 | 56 | 57 | ||||||
Drive Auto Receivables Trust, Ser 2021-1, Cl B | ||||||||
0.650%, 07/15/2025 | 385 | 383 | ||||||
DT Auto Owner Trust, Ser 2019-2A, Cl C | ||||||||
3.180%, 02/18/2025 (B) | 84 | 84 | ||||||
DT Auto Owner Trust, Ser 2020-1A, Cl C | ||||||||
2.290%, 11/17/2025 (B) | 875 | 873 | ||||||
DT Auto Owner Trust, Ser 2020-2A, Cl B | ||||||||
2.080%, 03/16/2026 (B) | 717 | 718 | ||||||
DT Auto Owner Trust, Ser 2020-3A, Cl A | ||||||||
0.540%, 04/15/2024 (B) | 243 | 243 | ||||||
DT Auto Owner Trust, Ser 2020-3A, Cl B | ||||||||
0.910%, 12/16/2024 (B) | 915 | 910 | ||||||
DT Auto Owner Trust, Ser 2021-1A, Cl A | ||||||||
0.350%, 01/15/2025 (B) | 239 | 238 | ||||||
DT Auto Owner Trust, Ser 2021-1A, Cl B | ||||||||
0.620%, 09/15/2025 (B) | 460 | 453 | ||||||
DT Auto Owner Trust, Ser 2021-2A, Cl A | ||||||||
0.410%, 03/17/2025 (B) | 134 | 133 | ||||||
DT Auto Owner Trust, Ser 2021-2A, Cl B | ||||||||
0.810%, 01/15/2027 (B) | 220 | 215 | ||||||
DT Auto Owner Trust, Ser 2021-3A, Cl A | ||||||||
0.330%, 04/15/2025 (B) | 381 | 377 | ||||||
DT Auto Owner Trust, Ser 2021-4A, Cl A | ||||||||
0.560%, 09/15/2025 (B) | 925 | 912 | ||||||
Enterprise Fleet Financing LLC, Ser 2019-1, Cl A2 | ||||||||
2.980%, 10/20/2024 (B) | 12 | 12 | ||||||
Enterprise Fleet Financing LLC, Ser 2019-2, Cl A2 | ||||||||
2.290%, 02/20/2025 (B) | 111 | 111 |
6 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Enterprise Fleet Financing LLC, Ser 2020-1, Cl A2 | ||||||||
1.780%, 12/22/2025 (B) | $ | 581 | $ | 580 | ||||
Enterprise Fleet Financing LLC, Ser 2021-2, Cl A2 | ||||||||
0.480%, 05/20/2027 (B) | 247 | 238 | ||||||
Enterprise Fleet Funding LLC, Ser 2021-1, Cl A2 | ||||||||
0.440%, 12/21/2026 (B) | 1,071 | 1,044 | ||||||
Exeter Automobile Receivables Trust, Ser 2018-1A, Cl D | ||||||||
3.530%, 11/15/2023 (B) | 244 | 245 | ||||||
Exeter Automobile Receivables Trust, Ser 2018-3A, Cl D | ||||||||
4.350%, 06/17/2024 (B) | 215 | 216 | ||||||
Exeter Automobile Receivables Trust, Ser 2021-1A, Cl B | ||||||||
0.500%, 02/18/2025 | 511 | 510 | ||||||
Exeter Automobile Receivables Trust, Ser 2021-2A, Cl B | ||||||||
0.570%, 09/15/2025 | 570 | 562 | ||||||
Exeter Automobile Receivables Trust, Ser 2022-2A, Cl A2 | ||||||||
2.190%, 11/17/2025 | 495 | 495 | ||||||
FHF Trust, Ser 2021-2A, Cl A | ||||||||
0.830%, 12/15/2026 (B) | 205 | 199 | ||||||
First Investors Auto Owner Trust, Ser 2021-1A, Cl A | ||||||||
0.450%, 03/16/2026 (B) | 737 | 729 | ||||||
First Investors Auto Owner Trust, Ser 2022-1A, Cl A | ||||||||
2.030%, 01/15/2027 (B) | 2,729 | 2,690 | ||||||
Flagship Credit Auto Trust, Ser 2019-4, Cl A | ||||||||
2.170%, 06/17/2024 (B) | 12 | 12 | ||||||
Flagship Credit Auto Trust, Ser 2020-1, Cl A | ||||||||
1.900%, 08/15/2024 (B) | 25 | 25 | ||||||
Flagship Credit Auto Trust, Ser 2020-3, Cl A | ||||||||
0.700%, 04/15/2025 (B) | 37 | 37 | ||||||
Flagship Credit Auto Trust, Ser 2020-4, Cl A | ||||||||
0.530%, 04/15/2025 (B) | 215 | 214 | ||||||
Flagship Credit Auto Trust, Ser 2021-1, Cl A | ||||||||
0.310%, 06/16/2025 (B) | 200 | 198 | ||||||
Flagship Credit Auto Trust, Ser 2021-2, Cl A | ||||||||
0.370%, 12/15/2026 (B) | 305 | 302 | ||||||
Flagship Credit Auto Trust, Ser 2021-2, Cl B | ||||||||
0.930%, 06/15/2027 (B) | 285 | 271 | ||||||
Flagship Credit Auto Trust, Ser 2021-3, Cl A | ||||||||
0.360%, 07/15/2027 (B) | 245 | 239 | ||||||
Ford Credit Auto Owner Trust, Ser 2017-2, Cl A | ||||||||
2.360%, 03/15/2029 (B) | 170 | 170 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Foursight Capital Automobile Receivables Trust, Ser 2021-1, Cl A2 | ||||||||
0.400%, 08/15/2024 (B) | $ | 46 | $ | 46 | ||||
Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl A2 | ||||||||
0.400%, 04/15/2025 (B) | 161 | 159 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl A3 | ||||||||
0.810%, 05/15/2026 (B) | 130 | 125 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2022-1, Cl A2 | ||||||||
1.150%, 09/15/2025 (B) | 130 | 128 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2021-1A, Cl B | ||||||||
0.820%, 04/15/2025 (B) | 515 | 512 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2021-3A, Cl A | ||||||||
0.420%, 01/15/2025 (B) | 474 | 469 | ||||||
GLS Auto Receivables Trust, Ser 2021-2A, Cl A | ||||||||
0.310%, 11/15/2024 (B) | 80 | 80 | ||||||
GLS Auto Receivables Trust, Ser 2021-2A, Cl B | ||||||||
0.770%, 09/15/2025 (B) | 390 | 383 | ||||||
GM Financial Automobile Leasing Trust, Ser 2020-1, Cl B | ||||||||
1.840%, 12/20/2023 | 450 | 450 | ||||||
GM Financial Consumer Automobile Receivables Trust, Ser 2018-4, Cl A3 | ||||||||
3.210%, 10/16/2023 | 23 | 23 | ||||||
Harley-Davidson Motorcycle Trust, Ser 2022-A, Cl A2A | ||||||||
2.450%, 05/15/2025 | 985 | 982 | ||||||
Honda Auto Receivables Owner Trust, Ser 2020-1, Cl A3 | ||||||||
1.610%, 04/22/2024 | 248 | 248 | ||||||
Hyundai Auto Lease Securitization Trust, Ser 2021-A, Cl B | ||||||||
0.610%, 10/15/2025 (B) | 550 | 536 | ||||||
JPMorgan Chase Bank, Ser 2020-1, Cl B | ||||||||
0.991%, 01/25/2028 (B) | 305 | 302 | ||||||
JPMorgan Chase Bank, Ser 2020-2, Cl B | ||||||||
0.840%, 02/25/2028 (B) | 666 | 655 | ||||||
LAD Auto Receivables Trust, Ser 2021-1A, Cl A | ||||||||
1.300%, 08/17/2026 (B) | 554 | 541 | ||||||
Lendbuzz Securitization Trust, Ser 2021-1A, Cl A | ||||||||
1.460%, 06/15/2026 (B) | 631 | 617 | ||||||
Mercedes-Benz Auto Lease Trust, Ser 2020- B, Cl A3 | ||||||||
0.400%, 11/15/2023 | 461 | 458 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
7 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Prestige Auto Receivables Trust, Ser 2021-1A, Cl A2 | ||||||||
0.550%, 09/16/2024 (B) | $ | 399 | $ | 396 | ||||
Santander Consumer Auto Receivables Trust, Ser 2020-AA, Cl A | ||||||||
1.370%, 10/15/2024 (B) | 28 | 28 | ||||||
Santander Drive Auto Receivables Trust, Ser 2019-3, Cl C | ||||||||
2.490%, 10/15/2025 | 59 | 59 | ||||||
Santander Drive Auto Receivables Trust, Ser 2020-2, Cl C | ||||||||
1.460%, 09/15/2025 | 100 | 100 | ||||||
Santander Drive Auto Receivables Trust, Ser 2020-4, Cl C | ||||||||
1.010%, 01/15/2026 | 665 | 657 | ||||||
Santander Drive Auto Receivables Trust, Ser 2021-1, Cl C | ||||||||
0.750%, 02/17/2026 | 875 | 864 | ||||||
Santander Drive Auto Receivables Trust, Ser 2021-2, Cl B | ||||||||
0.590%, 09/15/2025 | 185 | 183 | ||||||
Santander Drive Auto Receivables Trust, Ser 2021-3, Cl B | ||||||||
0.600%, 12/15/2025 | 235 | 232 | ||||||
Santander Drive Auto Receivables Trust, Ser 2021-4, Cl C | ||||||||
1.260%, 02/16/2027 | 1,900 | 1,801 | ||||||
Santander Retail Auto Lease Trust, Ser 2019-B, Cl C | ||||||||
2.770%, 08/21/2023 (B) | 750 | 750 | ||||||
Santander Retail Auto Lease Trust, Ser 2021-B, Cl A2 | ||||||||
0.310%, 01/22/2024 (B) | 281 | 279 | ||||||
Tidewater Auto Receivables Trust, Ser 2020-AA, Cl B | ||||||||
1.610%, 03/17/2025 (B) | 920 | 919 | ||||||
Tricolor Auto Securitization Trust, Ser 2021-1A, Cl A | ||||||||
0.740%, 04/15/2024 (B) | 190 | 189 | ||||||
UNIFY Auto Receivables Trust, Ser 2021-1A, Cl A2 | ||||||||
0.390%, 02/15/2024 (B) | 75 | 75 | ||||||
United Auto Credit Securitization Trust, Ser 2021-1, Cl B | ||||||||
0.680%, 03/11/2024 (B) | 825 | 823 | ||||||
United Auto Credit Securitization Trust, Ser 2022-1, Cl A | ||||||||
1.110%, 07/10/2024 (B) | 254 | 253 | ||||||
United Auto Credit Securitization Trust, Ser 2022-1, Cl B | ||||||||
2.100%, 03/10/2025 (B) | 440 | 433 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Westlake Automobile Receivables Trust, Ser 2018-3A, Cl D | ||||||||
4.000%, 10/16/2023 (B) | $ | 110 | $ | 110 | ||||
Westlake Automobile Receivables Trust, Ser 2019-2A, Cl C | ||||||||
2.840%, 07/15/2024 (B) | 114 | 115 | ||||||
Westlake Automobile Receivables Trust, Ser 2019-2A, Cl E | ||||||||
4.020%, 04/15/2025 (B) | 560 | 562 | ||||||
Westlake Automobile Receivables Trust, Ser 2020-3A, Cl A2 | ||||||||
0.560%, 05/15/2024 (B) | 286 | 285 | ||||||
Westlake Automobile Receivables Trust, Ser 2020-3A, Cl B | ||||||||
0.780%, 11/17/2025 (B) | 330 | 327 | ||||||
Westlake Automobile Receivables Trust, Ser 2021-1A, Cl B | ||||||||
0.640%, 03/16/2026 (B) | 400 | 393 | ||||||
Westlake Automobile Receivables Trust, Ser 2021-2A, Cl A2A | ||||||||
0.320%, 04/15/2025 (B) | 195 | 193 | ||||||
Westlake Automobile Receivables Trust, Ser 2021-2A, Cl B | ||||||||
0.620%, 07/15/2026 (B) | 220 | 213 | ||||||
49,503 | ||||||||
Credit Card — 0.4% |
| |||||||
Capital One Multi-Asset Execution Trust, Ser 2019-A2, Cl A2 | ||||||||
1.720%, 08/15/2024 | 136 | 136 | ||||||
Citibank Credit Card Issuance Trust, Ser 2018-A3, Cl A3 | ||||||||
3.290%, 05/23/2025 | 280 | 282 | ||||||
Citibank Credit Card Issuance Trust, Ser 2018-A6, Cl A6 | ||||||||
3.210%, 12/07/2024 | 500 | 504 | ||||||
Mercury Financial Credit Card Master Trust, Ser 2021-1A, Cl A | ||||||||
1.540%, 03/20/2026 (B) | 510 | 494 | ||||||
1,416 | ||||||||
Miscellaneous Business Services — 12.2% |
| |||||||
Accredited Mortgage Loan Trust, Ser 2004- 4, Cl A1A | ||||||||
1.348%, ICE LIBOR USD 1 Month + 0.680%, 01/25/2035 (A) | 36 | 35 | ||||||
Affirm Asset Securitization Trust, Ser 2020- Z1, Cl A | ||||||||
3.460%, 10/15/2024 (B) | 59 | 59 | ||||||
Affirm Asset Securitization Trust, Ser 2020- Z2, Cl A | ||||||||
1.900%, 01/15/2025 (B) | 162 | 160 |
8 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Affirm Asset Securitization Trust, Ser 2021-A, Cl A | ||||||||
0.880%, 08/15/2025 (B) | $ | 130 | $ | 129 | ||||
Affirm Asset Securitization Trust, Ser 2021-B, Cl A | ||||||||
1.030%, 08/17/2026 (B) | 355 | 340 | ||||||
Affirm Asset Securitization Trust, Ser 2021-Z1, Cl A | ||||||||
1.070%, 08/15/2025 (B) | 473 | 464 | ||||||
Affirm Asset Securitization Trust, Ser 2021-Z2, Cl A | ||||||||
1.170%, 11/16/2026 (B) | 247 | 241 | ||||||
Affirm Asset Securitization Trust, Ser 2022-X1, Cl A | ||||||||
1.750%, 02/15/2027 (B) | 741 | 732 | ||||||
Amur Equipment Finance Receivables IX LLC, Ser 2021-1A, Cl A2 | ||||||||
0.750%, 11/20/2026 (B) | 330 | 322 | ||||||
Apidos CLO XII, Ser 2018-12A, Cl AR | ||||||||
2.124%, ICE LIBOR USD 3 Month + 1.080%, 04/15/2031 (A)(B) | 600 | 597 | ||||||
Apidos CLO XV, Ser 2018-15A, Cl A1RR | ||||||||
2.073%, ICE LIBOR USD 3 Month + 1.010%, 04/20/2031 (A)(B) | 530 | 526 | ||||||
Aqua Finance Trust, Ser 2021-A, Cl A | ||||||||
1.540%, 07/17/2046 (B) | 229 | 216 | ||||||
Atalaya Equipment Leasing Trust, Ser 2021-1A, Cl A2 | ||||||||
1.230%, 05/15/2026 (B) | 265 | 260 | ||||||
Avant Loans Funding Trust, Ser 2021-REV1, Cl A | ||||||||
1.210%, 07/15/2030 (B) | 275 | 265 | ||||||
Barings CLO, Ser 2018-3A, Cl A1 | ||||||||
2.013%, ICE LIBOR USD 3 Month + 0.950%, 07/20/2029 (A)(B) | 272 | 270 | ||||||
Bayview Opportunity Master Fund IVb Trust, Ser 2017-RT6, Cl A | ||||||||
3.500%, 10/28/2057 (A)(B) | 147 | 143 | ||||||
Benefit Street Partners CLO X, Ser 2021-10A, Cl X | ||||||||
1.663%, ICE LIBOR USD 3 Month + 0.600%, 04/20/2034 (A)(B) | 124 | 124 | ||||||
Benefit Street Partners CLO XII, Ser 2021-12A, Cl A1R | ||||||||
1.994%, ICE LIBOR USD 3 Month + 0.950%, 10/15/2030 (A)(B) | 600 | 596 | ||||||
BHG Securitization Trust, Ser 2022-A, Cl A | ||||||||
1.710%, 02/20/2035 (B) | 653 | 638 | ||||||
BSPRT Mortgage Trust, Ser 2022-FL8, Cl A | ||||||||
1.767%, SOFR30A + 1.500%, 02/15/2037 (A)(B) | 425 | 422 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Carbone CLO, Ser 2017-1A, Cl A1 | ||||||||
2.203%, ICE LIBOR USD 3 Month + 1.140%, 01/20/2031 (A)(B) | $ | 250 | $ | 248 | ||||
Carlyle Global Market Strategies CLO, Ser 2018-1A, Cl A1R2 | ||||||||
2.014%, ICE LIBOR USD 3 Month + 0.970%, 04/17/2031 (A)(B) | 648 | 642 | ||||||
Carlyle Global Market Strategies CLO, Ser 2021-1A, Cl AR3 | ||||||||
2.043%, ICE LIBOR USD 3 Month + 0.980%, 07/20/2031 (A)(B) | 775 | 768 | ||||||
CCG Receivables Trust, Ser 2021-1, Cl A2 | ||||||||
0.300%, 06/14/2027 (B) | 193 | 189 | ||||||
CIFC Funding, Ser 2017-1A, Cl ARR | ||||||||
2.246%, ICE LIBOR USD 3 Month + 1.110%, 01/22/2031 (A)(B) | 325 | 323 | ||||||
CIFC Funding, Ser 2018-2A, Cl A1 | ||||||||
2.103%, ICE LIBOR USD 3 Month + 1.040%, 04/20/2031 (A)(B) | 300 | 298 | ||||||
CIFC Funding, Ser 2018-3A, Cl AR | ||||||||
1.914%, ICE LIBOR USD 3 Month + 0.870%, 04/19/2029 (A)(B) | 658 | 656 | ||||||
Cloud Pass-Through Trust, Ser 2019-1A, Cl CLOU | ||||||||
3.554%, 12/05/2022 (A)(B) | 4 | 4 | ||||||
CNH Equipment Trust, Ser 2019-A, Cl A3 | ||||||||
3.010%, 04/15/2024 | 32 | 32 | ||||||
CNH Equipment Trust, Ser 2019-A, Cl B | ||||||||
3.340%, 07/15/2026 | 825 | 828 | ||||||
CNH Equipment Trust, Ser 2019-B, Cl B | ||||||||
2.870%, 11/16/2026 | 500 | 500 | ||||||
Conn’s Receivables Funding LLC, Ser 2020-A, Cl A | ||||||||
1.710%, 06/16/2025 (B) | 15 | 15 | ||||||
Crossroads Asset Trust, Ser 2021-A, Cl A2 | ||||||||
0.820%, 03/20/2024 (B) | 189 | 188 | ||||||
DB Master Finance LLC, Ser 2019-1A, Cl A2II | ||||||||
4.021%, 05/20/2049 (B) | 609 | 608 | ||||||
Dewolf Park CLO, Ser 2021-1A, Cl AR | ||||||||
1.964%, ICE LIBOR USD 3 Month + 0.920%, 10/15/2030 (A)(B) | 600 | 596 | ||||||
Dext ABS, Ser 2021-1, Cl A | ||||||||
1.120%, 02/15/2028 (B) | 204 | 199 | ||||||
DLLMT LLC, Ser 2021-1A, Cl A2 | ||||||||
0.600%, 03/20/2024 (B) | 325 | 321 | ||||||
DLLST LLC, Ser 2022-1A, Cl A2 | ||||||||
2.790%, 01/22/2024 (B) | 390 | 390 | ||||||
FCI Funding LLC, Ser 2021-1A, Cl A | ||||||||
1.130%, 04/15/2033 (B) | 129 | 128 | ||||||
Ford Credit Floorplan Master Owner Trust A, Ser 2019-2, Cl B | ||||||||
3.250%, 04/15/2026 | 400 | 397 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
9 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
FREED ABS Trust, Ser 2021-3FP, Cl A | ||||||||
0.620%, 11/20/2028 (B) | $ | 63 | $ | 63 | ||||
FREED ABS Trust, Ser 2022-1FP, Cl A | ||||||||
0.940%, 03/19/2029 (B) | 115 | 114 | ||||||
Goldentree Loan Management US CLO 2, Ser 2021-2A, Cl AR | ||||||||
1.973%, ICE LIBOR USD 3 Month + 0.910%, 11/20/2030 (A)(B) | 400 | 397 | ||||||
GreatAmerica Leasing Receivables Funding LLC, Ser 2021-2, Cl A2 | ||||||||
0.380%, 03/15/2024 (B) | 390 | 383 | ||||||
Hilton Grand Vacations Trust, Ser 2020-AA, Cl A | ||||||||
2.740%, 02/25/2039 (B) | 119 | 115 | ||||||
HPEFS Equipment Trust, Ser 2021-2A, Cl B | ||||||||
0.610%, 09/20/2028 (B) | 225 | 216 | ||||||
HPS Loan Management, Ser 2021-19, Cl XR | ||||||||
1.784%, ICE LIBOR USD 3 Month + 0.600%, 01/25/2034 (A)(B) | 184 | 184 | ||||||
KKR CLO 11, Ser 2017-11, Cl AR | ||||||||
2.224%, ICE LIBOR USD 3 Month + 1.180%, 01/15/2031 (A)(B) | 325 | 324 | ||||||
KKR CLO 21, Ser 2018-21, Cl A | ||||||||
2.044%, ICE LIBOR USD 3 Month + 1.000%, 04/15/2031 (A)(B) | 465 | 461 | ||||||
Kubota Credit Owner Trust, Ser 2020-2A, Cl A2 | ||||||||
0.410%, 06/15/2023 (B) | 28 | 28 | ||||||
Kubota Credit Owner Trust, Ser 2020-2A, Cl A3 | ||||||||
0.590%, 10/15/2024 (B) | 125 | 123 | ||||||
LCM XXIII, Ser 2020-23A, Cl A1R | ||||||||
2.133%, ICE LIBOR USD 3 Month + 1.070%, 10/20/2029 (A)(B) | 540 | 538 | ||||||
LCM XXIV, Ser 2021-24A, Cl AR | ||||||||
2.043%, ICE LIBOR USD 3 Month + 0.980%, 03/20/2030 (A)(B) | 540 | 537 | ||||||
Madison Park Funding XVII, Ser 2021-17A, Cl AR2 | ||||||||
2.098%, ICE LIBOR USD 3 Month + 1.000%, 07/21/2030 (A)(B) | 500 | 497 | ||||||
Madison Park Funding XXX, Ser 2018-30A, Cl A | ||||||||
1.794%, ICE LIBOR USD 3 Month + 0.750%, 04/15/2029 (A)(B) | 850 | 843 | ||||||
Magnetite VIII, Ser 2018-8A, Cl AR2 | ||||||||
2.024%, ICE LIBOR USD 3 Month + 0.980%, 04/15/2031 (A)(B) | 685 | 682 | ||||||
Magnetite XVI, Ser 2018-16A, Cl AR | ||||||||
1.844%, ICE LIBOR USD 3 Month + 0.800%, 01/18/2028 (A)(B) | 593 | 590 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Marlette Funding Trust, Ser 2021-1A, Cl A | ||||||||
0.600%, 06/16/2031 (B) | $ | 31 | $ | 31 | ||||
Marlette Funding Trust, Ser 2021-2A, Cl A | ||||||||
0.510%, 09/15/2031 (B) | 96 | 95 | ||||||
Marlette Funding Trust, Ser 2021-3A, Cl A | ||||||||
0.650%, 12/15/2031 (B) | 185 | 182 | ||||||
Marlette Funding Trust, Ser 2022-1A, Cl A | ||||||||
1.360%, 04/15/2032 (B) | 770 | 763 | ||||||
Metlife Securitization Trust, Ser 2017-1A, Cl A | ||||||||
3.000%, 04/25/2055 (A)(B) | 72 | 71 | ||||||
MF1, Ser 2022-FL8, Cl A | ||||||||
1.617%, SOFR30A + 1.350%, 02/19/2037 (A)(B) | 400 | 394 | ||||||
Mill City Mortgage Loan Trust, Ser 2017-3, Cl A1 | ||||||||
2.750%, 01/25/2061 (A)(B) | 109 | 109 | ||||||
Mill City Mortgage Loan Trust, Ser 2018-1, Cl A1 | ||||||||
3.250%, 05/25/2062 (A)(B) | 67 | 66 | ||||||
MMAF Equipment Finance LLC, Ser 2019-A, Cl A3 | ||||||||
2.840%, 11/13/2023 (B) | 41 | 41 | ||||||
MMAF Equipment Finance LLC, Ser 2020-BA, Cl A2 | ||||||||
0.380%, 08/14/2023 (B) | 287 | 285 | ||||||
MMAF Equipment Finance LLC, Ser 2021-A, Cl A3 | ||||||||
0.560%, 06/13/2028 (B) | 110 | 104 | ||||||
Navient Private Education Refi Loan Trust, Ser 2020-CA, Cl A1 | ||||||||
1.304%, ICE LIBOR USD 1 Month + 0.750%, 11/15/2068 (A)(B) | 20 | 20 | ||||||
Navient Private Education Refi Loan Trust, Ser 2020-DA, Cl A | ||||||||
1.690%, 05/15/2069 (B) | 547 | 525 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-A, Cl A | ||||||||
0.840%, 05/15/2069 (B) | 216 | 201 | ||||||
Navient Student Loan Trust, Ser 2018-1A, Cl A2 | ||||||||
1.018%, ICE LIBOR USD 1 Month + 0.350%, 03/25/2067 (A)(B) | 147 | 147 | ||||||
Neuberger Berman Loan Advisers CLO 25, Ser 2021-25A, Cl AR | ||||||||
1.974%, ICE LIBOR USD 3 Month + 0.930%, 10/18/2029 (A)(B) | 910 | 904 | ||||||
Neuberger Berman Loan Advisers CLO 26, Ser 2021-26A, Cl AR | ||||||||
1.964%, ICE LIBOR USD 3 Month + 0.920%, 10/18/2030 (A)(B) | 600 | 595 |
10 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
NYCTL Trust, Ser 2019-A, Cl A | ||||||||
2.190%, 11/10/2032 (B) | $ | 79 | $ | 78 | ||||
NYCTL Trust, Ser 2022-A, Cl A | ||||||||
2.100%, 11/10/2034 (B) | 875 | 863 | ||||||
OCP CLO, Ser 2018-5A, Cl A1R | ||||||||
2.294%, ICE LIBOR USD 3 Month + 1.080%, 04/26/2031 (A)(B) | 135 | 134 | ||||||
Octagon Investment Partners XVI, Ser 2018-1A, Cl A1R | ||||||||
2.064%, ICE LIBOR USD 3 Month + 1.020%, 07/17/2030 (A)(B) | 250 | 248 | ||||||
Octagon Investment Partners XXI, Ser 2021-1A, Cl XR3 | ||||||||
1.045%, ICE LIBOR USD 3 Month + 0.650%, 02/14/2031 (A)(B) | 50 | 50 | ||||||
OHA Credit Funding 10, Ser 2021-10A, Cl X | ||||||||
0.996%, ICE LIBOR USD 3 Month + 0.750%, 01/18/2036 (A)(B) | 555 | 555 | ||||||
Onemain Financial Issuance Trust, Ser 2018-1A, Cl A | ||||||||
3.300%, 03/14/2029 (B) | 19 | 19 | ||||||
OneMain Financial Issuance Trust, Ser 2019-1A, Cl A | ||||||||
3.480%, 02/14/2031 (B) | 4 | 4 | ||||||
OZLM VII, Ser 2018-7RA, Cl A1R | ||||||||
2.054%, ICE LIBOR USD 3 Month + 1.010%, 07/17/2029 (A)(B) | 488 | 486 | ||||||
OZLM VIII, Ser 2021-8A, Cl A1R3 | ||||||||
2.024%, ICE LIBOR USD 3 Month + 0.980%, 10/17/2029 (A)(B) | 362 | 360 | ||||||
Palmer Square Loan Funding, Ser 2021-4A, Cl A1 | ||||||||
1.844%, ICE LIBOR USD 3 Month + 0.800%, 10/15/2029 (A)(B) | 777 | 771 | ||||||
PFS Financing, Ser 2020-A, Cl A | ||||||||
1.270%, 06/15/2025 (B) | 365 | 358 | ||||||
PFS Financing, Ser 2020-B, Cl A | ||||||||
1.210%, 06/15/2024 (B) | 360 | 360 | ||||||
PFS Financing, Ser 2020-E, Cl A | ||||||||
1.000%, 10/15/2025 (B) | 740 | 714 | ||||||
PFS Financing, Ser 2020-G, Cl A | ||||||||
0.970%, 02/15/2026 (B) | 750 | 715 | ||||||
SCF Equipment Leasing LLC, Ser 2021-1A, Cl A2 | ||||||||
0.420%, 08/20/2026 (B) | 199 | 198 | ||||||
SCF Equipment Leasing LLC, Ser 2022-1A, Cl A2 | ||||||||
2.060%, 02/22/2028 (B) | 690 | 678 | ||||||
Sequoia Infrastructure Funding I, Ser 2021- 1A, Cl A | ||||||||
2.444%, ICE LIBOR USD 3 Month + 1.400%, 04/15/2031 (A)(B) | 698 | 696 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Sierra Timeshare Receivables Funding LLC, Ser 2018-2A, Cl A | ||||||||
3.500%, 06/20/2035 (B) | $ | 53 | $ | 52 | ||||
SMB Private Education Loan Trust, Ser 2021-A, Cl A1 | ||||||||
1.054%, ICE LIBOR USD 1 Month + 0.500%, 01/15/2053 (A)(B) | 152 | 152 | ||||||
SoFi Consumer Loan Program, Ser 2019-3, Cl C | ||||||||
3.350%, 05/25/2028 (B) | 126 | 126 | ||||||
SoFi Consumer Loan Program, Ser 2020-1, Cl A | ||||||||
2.020%, 01/25/2029 (B) | 20 | 20 | ||||||
SoFi Consumer Loan Program, Ser 2021-1, Cl A | ||||||||
0.490%, 09/25/2030 (B) | 254 | 249 | ||||||
Stratus CLO, Ser 2021-2A, Cl A | ||||||||
1.963%, ICE LIBOR USD 3 Month + 0.900%, 12/28/2029 (A)(B) | 621 | 617 | ||||||
Structured Asset Investment Loan Trust, Ser 2005-6, Cl M2 | ||||||||
1.448%, ICE LIBOR USD 1 Month + 0.780%, 07/25/2035 (A) | 123 | 123 | ||||||
Symphony CLO XIV, Ser 2019-14A, Cl AR | ||||||||
1.988%, ICE LIBOR USD 3 Month + 0.950%, 07/14/2026 (A)(B) | 114 | 114 | ||||||
Symphony CLO XVIII, Ser 2021-18A, Cl X | ||||||||
1.934%, ICE LIBOR USD 3 Month + 0.750%, 07/23/2033 (A)(B) | 338 | 337 | ||||||
Symphony Static CLO I, Ser 2021-1A, Cl A | ||||||||
2.014%, ICE LIBOR USD 3 Month + 0.830%, 10/25/2029 (A)(B) | 555 | 553 | ||||||
Towd Point Mortgage Trust, Ser 2016-4, Cl A1 | ||||||||
2.250%, 07/25/2056 (A)(B) | 18 | 18 | ||||||
Towd Point Mortgage Trust, Ser 2017-1, Cl A1 | ||||||||
2.750%, 10/25/2056 (A)(B) | 221 | 220 | ||||||
Towd Point Mortgage Trust, Ser 2017-2, Cl A1 | ||||||||
2.750%, 04/25/2057 (A)(B) | 212 | 211 | ||||||
Towd Point Mortgage Trust, Ser 2017-4, Cl A1 | ||||||||
2.750%, 06/25/2057 (A)(B) | 195 | 191 | ||||||
Towd Point Mortgage Trust, Ser 2017-5, Cl A1 | ||||||||
1.268%, ICE LIBOR USD 1 Month + 0.600%, 02/25/2057 (A)(B) | 180 | 180 | ||||||
Towd Point Mortgage Trust, Ser 2017-6, Cl A1 | ||||||||
2.750%, 10/25/2057 (A)(B) | 79 | 78 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
11 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Towd Point Mortgage Trust, Ser 2018-1, Cl A1 | ||||||||
3.000%, 01/25/2058 (A)(B) | $ | 52 | $ | 51 | ||||
Towd Point Mortgage Trust, Ser 2019-HY2, Cl A1 | ||||||||
1.668%, ICE LIBOR USD 1 Month + 1.000%, 05/25/2058 (A)(B) | 296 | 294 | ||||||
Towd Point Mortgage Trust, Ser 2019-HY3, Cl A1A | ||||||||
1.668%, ICE LIBOR USD 1 Month + 1.000%, 10/25/2059 (A)(B) | 456 | 454 | ||||||
Towd Point Mortgage Trust, Ser 2021-SJ1, Cl A1 | ||||||||
2.250%, 07/25/2068 (A)(B) | 580 | 569 | ||||||
Treman Park CLO, Ser 2018-1A, Cl ARR | ||||||||
2.133%, ICE LIBOR USD 3 Month + 1.070%, 10/20/2028 (A)(B) | 244 | 244 | ||||||
Upstart Securitization Trust, Ser 2020-3, Cl A | ||||||||
1.702%, 11/20/2030 (B) | 137 | 136 | ||||||
Upstart Securitization Trust, Ser 2021-2, Cl A | ||||||||
0.910%, 06/20/2031 (B) | 282 | 276 | ||||||
Upstart Securitization Trust, Ser 2021-4, Cl A | ||||||||
0.840%, 09/20/2031 (B) | 408 | 396 | ||||||
Verizon Owner Trust, Ser 2019-B, Cl B | ||||||||
2.400%, 12/20/2023 | 300 | 300 | ||||||
Verizon Owner Trust, Ser 2019-C, Cl A1A | ||||||||
1.940%, 04/22/2024 | 44 | 44 | ||||||
Verizon Owner Trust, Ser 2020-A, Cl A1A | ||||||||
1.850%, 07/22/2024 | 237 | 237 | ||||||
Verizon Owner Trust, Ser 2020-B, Cl A | ||||||||
0.470%, 02/20/2025 | 545 | 537 | ||||||
Verizon Owner Trust, Ser 2020-B, Cl B | ||||||||
0.680%, 02/20/2025 | 220 | 212 | ||||||
Verizon Owner Trust, Ser 2020-C, Cl A | ||||||||
0.410%, 04/21/2025 | 175 | 171 | ||||||
Vibrant CLO VI, Ser 2021-6A, Cl AR | ||||||||
1.878%, ICE LIBOR USD 3 Month + 0.950%, 06/20/2029 (A)(B) | 344 | 343 | ||||||
Volvo Financial Equipment LLC, Ser 2020- 1A, Cl A3 | ||||||||
0.510%, 10/15/2024 (B) | 375 | 369 | ||||||
Voya CLO, Ser 2018-2A, Cl A1R | ||||||||
2.154%, ICE LIBOR USD 3 Month + 0.970%, 04/25/2031 (A)(B) | 475 | 473 | ||||||
Voya CLO, Ser 2020-1A, Cl AR | ||||||||
2.104%, ICE LIBOR USD 3 Month + 1.060%, 04/15/2031 (A)(B) | 575 | 571 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||
Voya CLO, Ser 2020-2A, Cl A1RR | ||||||||
2.064%, ICE LIBOR USD 3 Month + 1.020%, 04/17/2030 (A)(B) | $ | 497 | $ | 495 | ||||
Voya CLO, Ser 2021-1A, Cl A1R | ||||||||
1.994%, ICE LIBOR USD 3 Month + 0.950%, 04/17/2030 (A)(B) | 760 | 756 | ||||||
41,953 | ||||||||
Mortgage Related — 0.0% |
| |||||||
Asset Backed Securities Home Equity Loan Trust, Ser 2006-HE1, Cl A4 | ||||||||
1.268%, ICE LIBOR USD 1 Month + 0.600%, 01/25/2036 (A) | 44 | 44 | ||||||
Non-Agency Mortgage-Backed Obligations — 0.6% |
| |||||||
Benchmark Mortgage Trust, Ser B17, Cl A2 | ||||||||
2.211%, 03/15/2053 | 320 | 306 | ||||||
CFMT LLC, Ser 2022-EBO2, Cl A | ||||||||
3.169%, 07/25/2054 (A)(B) | 200 | 200 | ||||||
COMM Mortgage Trust, Ser CR18, Cl ASB | ||||||||
3.452%, 07/15/2047 | 436 | 438 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser C26, Cl ASB | ||||||||
3.288%, 01/15/2048 | 322 | 321 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser C31, Cl ASB | ||||||||
3.540%, 08/15/2048 | 134 | 134 | ||||||
JPMBB Commercial Mortgage Securities Trust, Ser C32, Cl A2 | ||||||||
2.816%, 11/15/2048 | 222 | 223 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Ser C19, Cl ASB | ||||||||
3.326%, 12/15/2047 | 103 | 103 | ||||||
Towd Point Mortgage Trust, Ser 2022-EBO1, Cl A | ||||||||
2.161%, 01/25/2052 (A)(B) | 481 | 477 | ||||||
2,202 | ||||||||
Total Asset-Backed Securities | 95,118 | |||||||
U.S. TREASURY OBLIGATIONS — 15.4% |
| |||||||
U.S. Treasury Bills | ||||||||
1.616%, 03/23/2023 (C) | 3,625 | 3,566 | ||||||
0.634%, 01/26/2023 (C)(D) | 3,500 | 3,458 | ||||||
0.392%, 12/29/2022 (C) | 1,725 | 1,708 | ||||||
0.366%, 07/21/2022 (C) | 1,700 | 1,697 | ||||||
0.240%, 12/01/2022 (C) | 1,750 | 1,735 | ||||||
0.220%, 07/07/2022 (C) | 850 | 849 | ||||||
0.160%, 11/03/2022 (C) | 2,000 | 1,986 | ||||||
0.130%, 06/16/2022 (C) | 850 | 849 |
12 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS (continued) |
| |||||||
U.S. Treasury Notes | ||||||||
0.500%, 03/15/2023 | $ | 13,025 | $ | 12,859 | ||||
0.250%, 06/15/2024 | 4,600 | 4,363 | ||||||
0.125%, 01/31/2023 | 5,075 | 5,009 | ||||||
0.125%, 05/15/2023 | 13,800 | 13,508 | ||||||
0.125%, 10/15/2023 | 1,865 | 1,802 | ||||||
Total U.S. Treasury Obligations (Cost $54,095) ($ Thousands) | 53,389 | |||||||
MORTGAGE-BACKED SECURITIES — 11.8% |
| |||||||
Agency Mortgage-Backed Obligations — 2.2% |
| |||||||
FHLMC | ||||||||
2.250%, 03/25/2025 | 1,775 | 1,744 | ||||||
2.149%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.079%, 02/01/2030(A) | 5 | 5 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K037, Cl A1 | ||||||||
2.592%, 04/25/2023 | 138 | 138 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KPLB, Cl A | ||||||||
2.770%, 05/25/2025 | 300 | 296 | ||||||
FHLMC REMIC, Ser 2013-4272, Cl YG | ||||||||
2.000%, 11/15/2026 | 137 | 136 | ||||||
FHLMC REMIC, Ser 2014-4379, Cl CB | ||||||||
2.250%, 04/15/2033 | 276 | 272 | ||||||
FHLMC REMIC, Ser 2014-4387, Cl DA | ||||||||
3.000%, 01/15/2032 | 111 | 112 | ||||||
FNMA | ||||||||
6.000%, 01/01/2027 | 6 | 6 | ||||||
5.500%, 12/01/2023 to 12/01/2024 | 6 | 7 | ||||||
5.000%, 02/01/2023 to 03/01/2025 | 1 | 1 | ||||||
3.500%, 08/01/2032 | 349 | 351 | ||||||
3.000%, 10/01/2030 to 12/01/2030 | 638 | 635 | ||||||
2.465%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.215%, 01/01/2029(A) | 3 | 3 | ||||||
2.233%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.120%, 11/01/2025(A) | – | – | ||||||
2.160%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.095%, 11/01/2023(A) | – | – | ||||||
2.154%, ICE LIBOR USD 6 Month + 1.834%, 09/01/2024(A) | 5 | 5 | ||||||
2.053%, ICE LIBOR USD 6 Month + 1.774%, 09/01/2024(A) | 2 | 2 | ||||||
2.045%, 05/01/2028(A) | – | – | ||||||
FNMA REMIC, Ser 1993-58, Cl H | ||||||||
5.500%, 04/25/2023 | – | – |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA REMIC, Ser 2001-33, Cl FA | ||||||||
1.118%, ICE LIBOR USD 1 Month + 0.450%, 07/25/2031(A) | $ | 3 | $ | 3 | ||||
FNMA REMIC, Ser 2002-64, Cl FG | ||||||||
0.804%, ICE LIBOR USD 1 Month + 0.250%, 10/18/2032(A) | 1 | 1 | ||||||
FNMA REMIC, Ser 2012-137, Cl UE | ||||||||
1.750%, 09/25/2041 | 131 | 125 | ||||||
FNMA REMIC, Ser 2013-97, Cl KA | ||||||||
3.000%, 11/25/2031 | 31 | 31 | ||||||
FNMA REMIC, Ser 2015-46, Cl BA | ||||||||
3.000%, 05/25/2041 | 4 | 4 | ||||||
FNMA, Ser 2017-M13, Cl FA | ||||||||
0.849%, ICE LIBOR USD 1 Month + 0.400%, 10/25/2024(A) | 35 | 35 | ||||||
FREMF Mortgage Trust, Ser 2013-K32, Cl B | ||||||||
3.645%, 10/25/2046(A)(B) | 655 | 654 | ||||||
FREMF Mortgage Trust, Ser 2013-K33, Cl B | ||||||||
3.611%, 08/25/2046(A)(B) | 1,100 | 1,098 | ||||||
FREMF Mortgage Trust, Ser K22, Cl B | ||||||||
3.774%, 08/25/2045(A)(B) | 870 | 872 | ||||||
FREMF Mortgage Trust, Ser K24, Cl B | ||||||||
3.627%, 11/25/2045(A)(B) | 640 | 642 | ||||||
FREMF Mortgage Trust, Ser K28, Cl B | ||||||||
3.608%, 06/25/2046(A)(B) | 200 | 200 | ||||||
GNMA, Ser 2010-151, Cl KA | ||||||||
3.000%, 09/16/2039 | 7 | 7 | ||||||
GNMA, Ser 2015-56, Cl LB | ||||||||
1.500%, 04/16/2040 | 265 | 263 | ||||||
7,648 | ||||||||
Non-Agency Mortgage-Backed Obligations — 9.6% |
| |||||||
Angel Oak Mortgage Trust LLC, Ser 2018-3, Cl A1 | ||||||||
3.649%, 09/25/2048(A)(B) | 16 | 16 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2019-1, Cl A1 | ||||||||
3.920%, 11/25/2048(A)(B) | 43 | 43 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2019-2, Cl A1 | ||||||||
3.628%, 03/25/2049(A)(B) | 58 | 58 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2019-4, Cl A1 | ||||||||
2.993%, 07/26/2049(A)(B) | 50 | 49 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2020-1, Cl A1 | ||||||||
2.466%, 12/25/2059(A)(B) | 44 | 43 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2020-2, Cl A1A | ||||||||
2.531%, 01/26/2065(A)(B) | 178 | 174 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
13 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Angel Oak Mortgage Trust LLC, Ser 2020-3, Cl A1 | ||||||||
1.691%, 04/25/2065(A)(B) | $ | 228 | $ | 223 | ||||
Angel Oak Mortgage Trust LLC, Ser 2020-4, Cl A1 | ||||||||
1.469%, 06/25/2065(A)(B) | 137 | 135 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2020- R1, Cl A1 | ||||||||
0.990%, 04/25/2053(A)(B) | 124 | 121 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2021-1, Cl A1 | ||||||||
0.909%, 01/25/2066(A)(B) | 328 | 305 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2021-3, Cl A1 | ||||||||
1.068%, 05/25/2066(A)(B) | 288 | 269 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2021-5, Cl A1 | ||||||||
0.951%, 07/25/2066(A)(B) | 502 | 452 | ||||||
Arroyo Mortgage Trust, Ser 2019-3, Cl A1 | ||||||||
2.962%, 10/25/2048(A)(B) | 133 | 129 | ||||||
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2 | ||||||||
2.699%, 07/25/2035(A) | 29 | 29 | ||||||
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1 | ||||||||
2.409%, 11/25/2035(A) | 5 | 5 | ||||||
BBCMS Mortgage Trust, Ser 2020-C8, Cl A1 | ||||||||
0.601%, 10/15/2053 | 436 | 411 | ||||||
Bear Stearns ARM Trust, Ser 2005-3, Cl 2A1 | ||||||||
3.104%, 06/25/2035(A) | 17 | 17 | ||||||
Bear Stearns ARM Trust, Ser 2005-6, Cl 3A1 | ||||||||
2.363%, 08/25/2035(A) | 35 | 34 | ||||||
BFLD Trust, Ser 2020-OBRK, Cl A | ||||||||
2.604%, ICE LIBOR USD 1 Month + 2.050%, 11/15/2028(A)(B) | 325 | 322 | ||||||
BPR Trust, Ser 2021-TY, Cl A | ||||||||
1.604%, ICE LIBOR USD 1 Month + 1.050%, 09/15/2038(A)(B) | 960 | 943 | ||||||
BRAVO Residential Funding Trust, Ser 2020- NQM1, Cl A1 | ||||||||
1.449%, 05/25/2060(A)(B) | 122 | 121 | ||||||
BRAVO Residential Funding Trust, Ser 2021- NQM1, Cl A1 | ||||||||
0.941%, 02/25/2049(A)(B) | 161 | 152 | ||||||
BRAVO Residential Funding Trust, Ser 2021- NQM2, Cl A1 | ||||||||
0.970%, 03/25/2060(A)(B) | 171 | 166 | ||||||
BRAVO Residential Funding Trust, Ser 2021- NQM3, Cl A1 | ||||||||
1.699%, 04/25/2060(A)(B) | 293 | 284 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Bunker Hill Loan Depositary Trust, Ser 2020-1, Cl A1 | ||||||||
1.724%, 02/25/2055(A)(B) | $ | 111 | $ | 108 | ||||
BWAY Mortgage Trust, Ser 2015-1515, Cl A1 | ||||||||
2.809%, 03/10/2033(B) | 180 | 178 | ||||||
BX Commercial Mortgage Trust, Ser 2019- XL, Cl B | ||||||||
1.634%, ICE LIBOR USD 1 Month + 1.080%, 10/15/2036(A)(B) | 374 | 371 | ||||||
BX Commercial Mortgage Trust, Ser 2019- XL, Cl A | ||||||||
1.474%, ICE LIBOR USD 1 Month + 0.920%, 10/15/2036(A)(B) | 555 | 552 | ||||||
BX Commercial Mortgage Trust, Ser 2021- SOAR, Cl B | ||||||||
1.425%, ICE LIBOR USD 1 Month + 0.870%, 06/15/2038(A)(B) | 625 | 609 | ||||||
BX Commercial Mortgage Trust, Ser 2021- VINO, Cl A | ||||||||
1.206%, ICE LIBOR USD 1 Month + 0.652%, 05/15/2038(A)(B) | 345 | 336 | ||||||
BX Commercial Mortgage Trust, Ser 2021- VOLT, Cl A | ||||||||
1.254%, ICE LIBOR USD 1 Month + 0.700%, 09/15/2036(A)(B) | 275 | 269 | ||||||
BX Trust, Ser 2021-LGCY, Cl A | ||||||||
1.060%, ICE LIBOR USD 1 Month + 0.506%, 10/15/2023(A)(B) | 600 | 578 | ||||||
BX Trust, Ser LBA6, Cl A | ||||||||
1.509%, TSFR1M + 1.000%, 01/15/2039(A)(B) | 375 | 368 | ||||||
BX, Ser 2021-MFM1, Cl B | ||||||||
1.504%, ICE LIBOR USD 1 Month + 0.950%, 01/15/2034(A)(B) | 550 | 533 | ||||||
Chase Mortgage Finance, Ser 2021-CL1, Cl M1 | ||||||||
1.489%, SOFR30A + 1.200%, 02/25/2050(A)(B) | 290 | 284 | ||||||
CIM Trust, Ser 2017-7, Cl A | ||||||||
3.000%, 04/25/2057(A)(B) | 75 | 75 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2019-SMRT, Cl A | ||||||||
4.149%, 01/10/2036(B) | 275 | 277 | ||||||
Citigroup Commercial Mortgage Trust, Ser P3, Cl AAB | ||||||||
3.127%, 04/15/2049 | 585 | 579 | ||||||
Citigroup Mortgage Loan Trust, Ser 2004- HYB3, Cl 1A | ||||||||
2.525%, 09/25/2034(A) | 7 | 6 | ||||||
Citigroup Mortgage Loan Trust, Ser 2006- AR2, Cl 1A1 | ||||||||
2.791%, 03/25/2036(A) | 42 | 36 |
14 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Citigroup Mortgage Loan Trust, Ser 2018- RP2, Cl A1 | ||||||||
3.079%, 02/25/2058(A)(B) | $ | 144 | $ | 143 | ||||
COLT Funding LLC, Ser 2021-3R, Cl A1 | ||||||||
1.051%, 12/25/2064(A)(B) | 188 | 182 | ||||||
COLT Mortgage Loan Trust, Ser 2020-2R, Cl A1 | ||||||||
1.325%, 10/26/2065(A)(B) | 114 | 114 | ||||||
COLT Mortgage Loan Trust, Ser 2020-3, Cl A1 | ||||||||
1.506%, 04/27/2065(A)(B) | 61 | 60 | ||||||
COLT Mortgage Loan Trust, Ser 2021-1, Cl A1 | ||||||||
0.910%, 06/25/2066(A)(B) | 228 | 203 | ||||||
COLT Mortgage Loan Trust, Ser 2021-2, Cl A1 | ||||||||
0.924%, 08/25/2066(A)(B) | 291 | 258 | ||||||
COLT Mortgage Loan Trust, Ser 2021-2R, Cl A1 | ||||||||
0.798%, 07/27/2054(B) | 122 | 121 | ||||||
COLT Mortgage Loan Trust, Ser 2021-4, Cl A1 | ||||||||
1.397%, 10/25/2066(A)(B) | 534 | 477 | ||||||
COLT Mortgage Loan Trust, Ser 2021-HX1, Cl A1 | ||||||||
1.110%, 10/25/2066(A)(B) | 523 | 480 | ||||||
COMM Mortgage Trust, Ser 2014-UBS5, Cl A2 | ||||||||
3.031%, 09/10/2047 | 10 | 10 | ||||||
COMM Mortgage Trust, Ser 2015-CR23, Cl A2 | ||||||||
2.852%, 05/10/2048 | 221 | 220 | ||||||
Countrywide Home Loans, Ser 2004-29, Cl 1A1 | ||||||||
1.208%, ICE LIBOR USD 1 Month + 0.540%, 02/25/2035(A) | 7 | 7 | ||||||
CSMC Trust, Ser 2019-AFC1, Cl A1 | ||||||||
2.573%, 07/25/2049(B) | 397 | 385 | ||||||
CSMC Trust, Ser 2021-AFC1, Cl A1 | ||||||||
0.830%, 03/25/2056(A)(B) | 237 | 226 | ||||||
CSMC Trust, Ser 2021-NQM3, Cl A1 | ||||||||
1.015%, 04/25/2066(A)(B) | 401 | 378 | ||||||
CSMC Trust, Ser 2021-NQM4, Cl A1 | ||||||||
1.101%, 05/25/2066(A)(B) | 442 | 416 | ||||||
Deephaven Residential Mortgage Trust, Ser 2020-2, Cl A1 | ||||||||
1.692%, 05/25/2065(B) | 20 | 20 | ||||||
Deephaven Residential Mortgage Trust, Ser 2021-1, Cl A1 | ||||||||
0.715%, 05/25/2065(A)(B) | 83 | 80 | ||||||
Deephaven Residential Mortgage Trust, Ser 2021-2, Cl A1 | ||||||||
0.899%, 04/25/2066(A)(B) | 107 | 99 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Ellington Financial Mortgage Trust, Ser 2019-2, Cl A1 | ||||||||
2.739%, 11/25/2059(A)(B) | $ | 31 | $ | 30 | ||||
Ellington Financial Mortgage Trust, Ser 2020-2, Cl A1 | ||||||||
1.178%, 10/25/2065(A)(B) | 60 | 60 | ||||||
Ellington Financial Mortgage Trust, Ser 2021-1, Cl A1 | ||||||||
0.797%, 02/25/2066(A)(B) | 62 | 57 | ||||||
Ellington Financial Mortgage Trust, Ser 2021-2, Cl A1 | ||||||||
0.931%, 06/25/2066(A)(B) | 162 | 148 | ||||||
ELP Commercial Mortgage Trust, Ser ELP, Cl A | ||||||||
1.256%, ICE LIBOR USD 1 Month + 0.701%, 11/15/2038(A)(B) | 530 | 517 | ||||||
Extended Stay America Trust, Ser 2021- ESH, Cl B | ||||||||
1.935%, ICE LIBOR USD 1 Month + 1.380%, 07/15/2038(A)(B) | 248 | 245 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M3 | ||||||||
5.368%, ICE LIBOR USD 1 Month + 4.700%, 04/25/2028(A) | 422 | 440 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQ2, Cl M3 | ||||||||
3.918%, ICE LIBOR USD 1 Month + 3.250%, 05/25/2025(A) | 283 | 285 | ||||||
FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 2M2 | ||||||||
5.668%, ICE LIBOR USD 1 Month + 5.000%, 11/25/2024(A) | 221 | 223 | ||||||
FNMA Connecticut Avenue Securities, Ser 2016-C03, Cl 2M2 | ||||||||
6.568%, ICE LIBOR USD 1 Month + 5.900%, 10/25/2028(A) | 362 | 384 | ||||||
GCAT Trust, Ser 2020-NQM2, Cl A1 | ||||||||
1.555%, 04/25/2065(B) | 75 | 73 | ||||||
GCAT Trust, Ser 2021-CM1, Cl A | ||||||||
1.469%, 04/25/2065(A)(B) | 348 | 339 | ||||||
GCAT Trust, Ser 2021-NQM1, Cl A1 | ||||||||
0.874%, 01/25/2066(A)(B) | 161 | 153 | ||||||
GCAT Trust, Ser 2021-NQM3, Cl A1 | ||||||||
1.091%, 05/25/2066(A)(B) | 268 | 252 | ||||||
GCAT Trust, Ser 2021-NQM5, Cl A1 | ||||||||
1.262%, 07/25/2066(A)(B) | 775 | 694 | ||||||
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1 | ||||||||
3.096%, 11/19/2035(A) | 68 | 65 | ||||||
GS Mortgage Securities Trust, Ser 2015-GS1, Cl AAB | ||||||||
3.553%, 11/10/2048 | 97 | 97 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
15 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GS Mortgage Securities Trust, Ser 2019- SL1, Cl A1 | ||||||||
2.625%, 01/25/2059(A)(B) | $ | 99 | $ | 99 | ||||
GS Mortgage Securities Trust, Ser 2021- RENT, Cl A | ||||||||
1.325%, ICE LIBOR USD 1 Month + 0.700%, 11/21/2035(A)(B) | 445 | 441 | ||||||
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1 | ||||||||
2.665%, 07/25/2035(A) | 89 | 60 | ||||||
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1 | ||||||||
2.953%, 05/25/2037(A) | 60 | 41 | ||||||
Impac CMB Trust, Ser 2004-9, Cl 1A1 | ||||||||
1.428%, ICE LIBOR USD 1 Month + 0.760%, 01/25/2035(A) | 15 | 14 | ||||||
Impac CMB Trust, Ser 2005-2, Cl 1A1 | ||||||||
1.188%, ICE LIBOR USD 1 Month + 0.520%, 04/25/2035(A) | 19 | 19 | ||||||
Impac CMB Trust, Ser 2005-3, Cl A1 | ||||||||
1.148%, ICE LIBOR USD 1 Month + 0.480%, 08/25/2035(A) | 20 | 19 | ||||||
Impac CMB Trust, Ser 2005-5, Cl A1 | ||||||||
1.308%, ICE LIBOR USD 1 Month + 0.320%, 08/25/2035(A) | 13 | 13 | ||||||
Impac CMB Trust, Ser 2005-8, Cl 1A | ||||||||
1.188%, ICE LIBOR USD 1 Month + 0.520%, 02/25/2036(A) | 41 | 40 | ||||||
Imperial Fund Mortgage Trust, Ser 2021- NQM1, Cl A1 | ||||||||
1.071%, 06/25/2056(A)(B) | 381 | 352 | ||||||
Imperial Fund Mortgage Trust, Ser 2021- NQM2, Cl A1 | ||||||||
1.073%, 09/25/2056(A)(B) | 260 | 238 | ||||||
Imperial Fund Mortgage Trust, Ser 2021- NQM3, Cl A1 | ||||||||
1.595%, 11/25/2056(A)(B) | 242 | 218 | ||||||
JPMorgan Chase Bank, Ser 2021-CL1, Cl M1 | ||||||||
1.589%, SOFR30A + 1.300%, 03/25/2051(A)(B) | 446 | 436 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1 | ||||||||
2.907%, 08/25/2035(A) | 17 | 15 | ||||||
JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1 | ||||||||
3.049%, 05/25/2037(A) | 36 | 34 | ||||||
JPMorgan Mortgage Trust, Ser 2014-5, Cl A1 | ||||||||
2.859%, 10/25/2029(A)(B) | 146 | 142 | ||||||
JPMorgan Mortgage Trust, Ser 2018-7FRB, Cl A2 | ||||||||
1.418%, ICE LIBOR USD 1 Month + 0.750%, 04/25/2046(A)(B) | 128 | 127 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
KNDL Mortgage Trust, Ser 2019-KNSQ, Cl A | ||||||||
1.354%, ICE LIBOR USD 1 Month + 0.800%, 05/15/2036(A)(B) | $ | 190 | $ | 188 | ||||
LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2 | ||||||||
2.579%, 03/10/2049(B) | 1,310 | 1,303 | ||||||
LSTAR Securities Investment, Ser 2019-4, Cl A1 | ||||||||
4.300%, ICE LIBOR USD 1 Month + 2.500%, 05/01/2024(A)(B) | 236 | 233 | ||||||
Mello Warehouse Securitization Trust, Ser 2021-2, Cl A | ||||||||
1.418%, ICE LIBOR USD 1 Month + 0.750%, 04/25/2055(A)(B) | 830 | 820 | ||||||
Merrill Lynch Mortgage Backed Securities Trust, Ser 2007-3, Cl 2A1 | ||||||||
3.020%, 06/25/2037(A) | 45 | 31 | ||||||
MFA Trust, Ser 2020-NQM1, Cl A1 | ||||||||
1.479%, 03/25/2065(A)(B) | 76 | 74 | ||||||
MFA Trust, Ser 2020-NQM3, Cl A1 | ||||||||
1.014%, 01/26/2065(A)(B) | 105 | 101 | ||||||
MFA Trust, Ser 2021-INV1, Cl A1 | ||||||||
0.852%, 01/25/2056(A)(B) | 196 | 187 | ||||||
MFA Trust, Ser 2021-NQM1, Cl A1 | ||||||||
1.153%, 04/25/2065(A)(B) | 208 | 199 | ||||||
MFA Trust, Ser 2021-NQM2, Cl A1 | ||||||||
1.029%, 11/25/2064(A)(B) | 228 | 208 | ||||||
MHC Commercial Mortgage Trust, Ser 2021- MHC, Cl B | ||||||||
1.655%, ICE LIBOR USD 1 Month + 1.101%, 04/15/2038(A)(B) | 1,670 | 1,624 | ||||||
MHP, Ser 2021-STOR, Cl A | ||||||||
1.254%, ICE LIBOR USD 1 Month + 0.700%, 07/15/2038(A)(B) | 155 | 151 | ||||||
MHP, Ser MHIL, Cl A | ||||||||
1.324%, TSFR1M + 0.815%, 01/15/2027(A)(B) | 205 | 200 | ||||||
Mill City Mortgage Loan Trust, Ser 2021- NMR1, Cl A1 | ||||||||
1.125%, 11/25/2060(A)(B) | 182 | 173 | ||||||
Morgan Stanley Capital I Trust, Ser 2012- STAR, Cl A1 | ||||||||
2.084%, 08/05/2034(B) | 10 | 10 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 | ||||||||
1.188%, ICE LIBOR USD 1 Month + 0.520%, 12/25/2035(A) | 38 | 38 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-3A, Cl A1 | ||||||||
4.000%, 04/25/2057(A)(B) | 116 | 114 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-6A, Cl A1 | ||||||||
4.000%, 08/27/2057(A)(B) | 270 | 267 |
16 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
New Residential Mortgage Loan Trust, Ser 2018-1A, Cl A1 | ||||||||
3.978%, 09/25/2057(A)(B) | $ | 131 | $ | 130 | ||||
New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1 | ||||||||
2.492%, 09/25/2059(A)(B) | 39 | 38 | ||||||
New Residential Mortgage Loan Trust, Ser 2020-NQM2, Cl A1 | ||||||||
1.650%, 05/24/2060(A)(B) | 79 | 77 | ||||||
New Residential Mortgage Loan Trust, Ser 2021-NQ2R, Cl A1 | ||||||||
0.941%, 10/25/2058(A)(B) | 118 | 115 | ||||||
New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A1 | ||||||||
1.156%, 11/27/2056(A)(B) | 429 | 404 | ||||||
OBX Trust, Ser 2018-1, Cl A2 | ||||||||
1.318%, ICE LIBOR USD 1 Month + 0.650%, 06/25/2057(A)(B) | 19 | 19 | ||||||
OBX Trust, Ser 2021-NQM2, Cl A1 | ||||||||
1.101%, 05/25/2061(A)(B) | 342 | 318 | ||||||
Onslow Bay Mortgage Loan Trust, Ser 2021- NQM4, Cl A1 | ||||||||
1.957%, 10/25/2061(A)(B) | 535 | 492 | ||||||
Paragon Mortgages No. 12 PLC, Ser 2006- 12A, Cl A2C | ||||||||
0.726%, ICE LIBOR USD 3 Month + 0.220%, 11/15/2038(A)(B) | 62 | 60 | ||||||
PRPM LLC, Ser 2021-RPL1, Cl A1 | ||||||||
1.319%, 07/25/2051(B) | 138 | 129 | ||||||
Residential Mortgage Loan Trust, Ser 2020- 1, Cl A1 | ||||||||
2.376%, 01/26/2060(A)(B) | 63 | 62 | ||||||
RFMSI Trust, Ser 2007-SA3, Cl 2A1 | ||||||||
4.276%, 07/27/2037(A) | 46 | 40 | ||||||
Sequoia Mortgage Trust, Ser 2004-12, Cl A1 | ||||||||
1.134%, ICE LIBOR USD 1 Month + 0.540%, 01/20/2035(A) | 7 | 7 | ||||||
Sequoia Mortgage Trust, Ser 2018-CH3, Cl A1 | ||||||||
4.500%, 08/25/2048(A)(B) | 18 | 18 | ||||||
SG Residential Mortgage Trust, Ser 2021-1, Cl A1 | ||||||||
1.160%, 07/25/2061(A)(B) | 511 | 476 | ||||||
Silverstone Master Issuer PLC, Ser 2022- 1A, Cl 1A | ||||||||
0.514%, U.S. SOFR + 0.380%, 01/21/2070(A)(B) | 900 | 899 | ||||||
SREIT Trust, Ser MFP, Cl B | ||||||||
1.634%, ICE LIBOR USD 1 Month + 1.080%, 11/15/2038(A)(B) | 475 | 461 | ||||||
STAR Trust, Ser 2021-1, Cl A1 | ||||||||
1.219%, 05/25/2065(A)(B) | 184 | 174 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1 | ||||||||
2.275%, 02/25/2050(A)(B) | $ | 43 | $ | 43 | ||||
Starwood Mortgage Residential Trust, Ser 2020-3, Cl A1 | ||||||||
1.486%, 04/25/2065(A)(B) | 50 | 49 | ||||||
Starwood Mortgage Residential Trust, Ser 2021-2, Cl A1 | ||||||||
0.943%, 05/25/2065(A)(B) | 81 | 79 | ||||||
Starwood Mortgage Residential Trust, Ser 2021-3, Cl A1 | ||||||||
1.127%, 06/25/2056(A)(B) | 316 | 296 | ||||||
Toorak Mortgage Corp, Ser 2021-INV1, Cl A1 | ||||||||
1.153%, 07/25/2056(A)(B) | 248 | 226 | ||||||
TTAN, Ser 2021-MHC, Cl B | ||||||||
1.655%, ICE LIBOR USD 1 Month + 1.100%, 03/15/2038(A)(B) | 274 | 268 | ||||||
Verus Securitization Trust, Ser 2019-4, Cl A1 | ||||||||
2.642%, 11/25/2059(B) | 51 | 51 | ||||||
Verus Securitization Trust, Ser 2019-INV3, Cl A1 | ||||||||
2.692%, 11/25/2059(A)(B) | 85 | 85 | ||||||
Verus Securitization Trust, Ser 2020-1, Cl A1 | ||||||||
2.417%, 01/25/2060(B) | 34 | 34 | ||||||
Verus Securitization Trust, Ser 2020-4, Cl A1 | ||||||||
1.502%, 05/25/2065(B) | 109 | 106 | ||||||
Verus Securitization Trust, Ser 2021-1, Cl A1 | ||||||||
0.815%, 01/25/2066(A)(B) | 148 | 141 | ||||||
Verus Securitization Trust, Ser 2021-1, Cl A2 | ||||||||
1.052%, 01/25/2066(A)(B) | 297 | 283 | ||||||
Verus Securitization Trust, Ser 2021-2, Cl A1 | ||||||||
1.031%, 02/25/2066(A)(B) | 185 | 174 | ||||||
Verus Securitization Trust, Ser 2021-R1, Cl A1 | ||||||||
0.820%, 10/25/2063(A)(B) | 315 | 307 | ||||||
Verus Securitization Trust, Ser 2021-R2, Cl A1 | ||||||||
0.918%, 02/25/2064(A)(B) | 265 | 259 | ||||||
Verus Securitization Trust, Ser 2021-R3, Cl A1 | ||||||||
1.020%, 04/25/2064(A)(B) | 158 | 151 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 | ||||||||
3.085%, 03/25/2036(A) | 51 | 50 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl AS | ||||||||
3.539%, 10/15/2045 | 450 | 451 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2015-NXS2, Cl A2 | ||||||||
3.020%, 07/15/2058 | 418 | 415 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
17 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-C32, Cl ASB | ||||||||
3.324%, 01/15/2059 | $ | 189 | $ | 188 | ||||
33,405 | ||||||||
Total Mortgage-Backed Securities (Cost $42,645) ($ Thousands) | 41,053 | |||||||
MUNICIPAL BONDS — 4.0% | ||||||||
Arizona — 0.3% | ||||||||
City of Phoenix Civic Improvement, RB | ||||||||
2.163%, 07/01/2022 | 1,135 | 1,136 | ||||||
California — 0.6% | ||||||||
Golden State, Tobacco Securitization, RB | ||||||||
0.672%, 06/01/2023 | 985 | 963 | ||||||
Riverside County, Infrastructure Financing Authority, Ser B, RB | ||||||||
0.398%, 11/01/2022 | 740 | 735 | ||||||
San Francisco Bay Area Rapid Transit District Sales Tax Revenue, Ser B, RB | ||||||||
2.537%, 07/01/2022 | 435 | 436 | ||||||
University of California, Ser BF, RB | ||||||||
0.455%, 05/15/2022 | 130 | 130 | ||||||
2,264 | ||||||||
Connecticut — 0.2% | ||||||||
Connecticut State, Ser A, GO | ||||||||
2.000%, 07/01/2023 | 510 | 507 | ||||||
District of Columbia — 0.1% | ||||||||
District of Columbia Water & Sewer Authority, Sub-Ser D-SUBORDINATE, RB | ||||||||
1.672%, 10/01/2023 | 320 | 315 | ||||||
Illinois — 0.2% | ||||||||
Chicago, Transit Authority, Sales Tax Receipts Fund, Ser B, RB | ||||||||
1.708%, 12/01/2022 | 135 | 135 | ||||||
State of Illinois, Sales Tax Revenue, Ser B, RB | ||||||||
1.900%, 06/15/2022 | 455 | 455 | ||||||
590 | ||||||||
Massachusetts — 0.3% | ||||||||
Massachusetts State, School Building Authority, Sub-Ser B, RB | ||||||||
2.078%, 10/15/2023 | 765 | 758 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MUNICIPAL BONDS (continued) | ||||||||
Massachusetts State, Water Resources Authority, Ser C, RB | ||||||||
0.534%, 08/01/2022 | $ | 265 | $ | 265 | ||||
1,023 | ||||||||
New York — 1.9% | ||||||||
City of New York New York, Ser D-2, GO | ||||||||
1.150%, 03/01/2023 | 1,055 | 1,045 | ||||||
New York City Housing Development, RB | ||||||||
2.324%, 01/01/2023 | 1,130 | 1,128 | ||||||
New York City Transitional Finance Authority Building Aid Revenue, Sub-Ser S-1B, RB | ||||||||
0.380%, 07/15/2023 | 2,200 | 2,143 | ||||||
New York State, Dormitory Authority, RB | ||||||||
0.267%, 03/15/2023 | 590 | 579 | ||||||
Port Authority of New York & New Jersey, Ser AAA, RB | ||||||||
1.086%, 07/01/2023 | 1,830 | 1,795 | ||||||
6,690 | ||||||||
South Carolina — 0.3% | ||||||||
South Carolina State, Public Service Authority, Ser E, RB | ||||||||
3.722%, 12/01/2023 | 1,100 | 1,112 | ||||||
Texas — 0.1% | ||||||||
Central Texas, Turnpike System, Ser B, RB | ||||||||
1.980%, 08/15/2042 (A) | 245 | 245 | ||||||
Houston, Texas Airport System Revenue, Ser C, RB | ||||||||
0.883%, 07/01/2022 | 100 | 100 | ||||||
345 | ||||||||
Total Municipal Bonds (Cost $14,109) ($ Thousands) | 13,982 | |||||||
COMMERCIAL PAPER — 0.3% | ||||||||
HSBC | ||||||||
0.250%, 06/10/2022 (B)(C) | 900 | 899 | ||||||
Total Commercial Paper (Cost $900) ($ Thousands) | 899 |
18 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENT — 1.0% |
| |||||||
BNP Paribas | ||||||||
0.280%, dated 04/29/2022 to be repurchased on 05/02/2022, repurchase price $3,400,079 (collateralized by U.S. Government obligations, ranging in par value $1,017 - $1,817,366, 1.500% - 5.000%, 12/01/2025 – 03/01/2052; with total market value $3,468,000) (E) | $ | 3,400 | $ | 3,400 | ||||
Total Repurchase Agreement | 3,400 | |||||||
Total Investments in Securities — 99.8% | $ | 345,529 | ||||||
A list of the open futures contracts held by the fund at April 30, 2022, is as follows:
Type of Contract | Number of Contracts | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
U.S. 2-Year Treasury Note | 24 | Jun-2022 | $ | 5,154 | $ | 5,059 | $ | (95 | ) | |||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||
Short Contracts | ||||||||||||||||||||
U.S. 5-Year Treasury Note | (6) | Jun-2022 | $ | (706 | ) | $ | (676 | ) | $ | 30 | ||||||||||
U.S. 10-Year Treasury Note | (15) | Jun-2022 | (1,893 | ) | (1,787 | ) | 106 | |||||||||||||
U.S. Long Treasury Bond | (1) | Jun-2022 | (154 | ) | (141 | ) | 14 | |||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||
(2,753 | ) | (2,604 | ) | 150 | ||||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||
$ | 2,401 | $ | 2,455 | $ | 55 | |||||||||||||||
|
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $346,199 ($ 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 April 30, 2022, the value of these securities amounted to $146,984 ($ Thousands), representing 42.5% of the Net Assets of the Fund. |
(C) | Interest rate represents the security’s effective yield at the time of purchase. |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(E) | Tri-Party Repurchase Agreement. |
ABS — Asset-Backed Security
ARM — Adjustable Rate Mortgage
Cl — Class
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
FREMF— Freddie Mac Multi-Family
GMAC — General Motors Acceptance Corporation
GNMA — Government National Mortgage Association
GO — General Obligation
ICE— Intercontinental Exchange
LIBOR— London Interbank Offered Rate
LLC — Limited Liability Company
L.P. — Limited Partnership
MTN — Medium Term Note
NASDAQ – National Association of Securities Dealers and Automated Quotations
PLC — Public Limited Company
RB — Revenue Bond
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
SOFR — Secured Overnight Financing Rate
SOFR30A — Secured Overnight Financing Rate 30-day Average
USD — U.S. Dollar
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
19 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Ultra Short Duration Bond Fund (Concluded)
The following is a summary of the level of inputs used as of April 30, 2022, 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 | – | 137,688 | – | 137,688 | ||||||||||||
Asset-Backed Securities | – | 95,118 | – | 95,118 | ||||||||||||
U.S. Treasury Obligations | – | 53,389 | – | 53,389 | ||||||||||||
Mortgage-Backed Securities | – | 41,053 | – | 41,053 | ||||||||||||
Municipal Bonds | – | 13,982 | – | 13,982 | ||||||||||||
Commercial Paper | – | 899 | – | 899 | ||||||||||||
Repurchase Agreement | – | 3,400 | – | 3,400 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities | – | 345,529 | – | 345,529 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 150 | – | – | 150 | ||||||||||||
Unrealized Depreciation | (95 | ) | – | – | (95 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments | 55 | – | – | 55 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.
Amounts designated as “—” are $0 or have been rounded to $0.
For information regarding the Fund’s policy regarding valuation of investments and other accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
20 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Short Duration Government Fund
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS — 51.4% |
| |||||||
U.S. Treasury Notes | ||||||||
2.625%, 06/30/2023 | $ | 35,397 | $ | 35,527 | ||||
1.750%, 05/15/2023 (A) | 96,500 | 96,066 | ||||||
1.000%, 12/15/2024 | 37,025 | 35,298 | ||||||
0.250%, 05/15/2024 | 53,025 | 50,425 | ||||||
0.250%, 06/15/2024 | 51,925 | 49,246 | ||||||
0.125%, 01/31/2023 | 39,750 | 39,238 | ||||||
0.125%, 02/28/2023 | 56,200 | 55,348 | ||||||
Total U.S. Treasury Obligations | 361,148 | |||||||
MORTGAGE-BACKED SECURITIES — 45.3% |
| |||||||
Agency Mortgage-Backed Obligations — 43.4% |
| |||||||
FHLMC | ||||||||
4.500%, 06/01/2022 to 12/01/2039 | 1,579 | 1,632 | ||||||
4.000%, 01/01/2033 | 4,754 | 4,890 | ||||||
3.500%, 01/01/2029 to 05/01/2034 | 13,381 | 13,427 | ||||||
3.000%, 11/01/2036 to 12/01/2046 | 7,466 | 7,175 | ||||||
2.708%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.363%, 06/01/2024(B) | 1 | 1 | ||||||
2.616%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.237%, 04/01/2029(B) | 2 | 2 | ||||||
2.500%, 02/01/2032 | 1,077 | 1,052 | ||||||
2.378%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.199%, 05/01/2024(B) | 2 | 2 | ||||||
2.318%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.248%, 07/01/2024(B) | 3 | 3 | ||||||
2.249%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.148%, 12/01/2023(B) | 57 | 57 | ||||||
2.247%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.103%, 06/01/2024(B) | 1 | 1 | ||||||
2.231%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.124%, 12/01/2023(B) | 4 | 4 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K052, CI A1 | ||||||||
2.598%, 01/25/2025 | 5,402 | 5,379 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K066, CI X1, IO | ||||||||
0.888%, 06/25/2027(B) | 18,014 | 583 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K107, CI X1, IO | ||||||||
1.708%, 01/25/2030(B) | 12,398 | 1,243 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K125, Cl X1, IO | ||||||||
0.676%, 01/25/2031(B) | $ | 13,596 | $ | 559 | ||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K128, Cl X1, IO | ||||||||
0.613%, 03/25/2031(B) | 10,179 | 376 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K737, Cl X1, IO | ||||||||
0.751%, 10/25/2026(B) | 23,592 | 547 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K742, Cl X1, IO | ||||||||
0.869%, 03/25/2028(B) | 7,592 | 257 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF35, Cl A | ||||||||
0.802%, ICE LIBOR USD 1 Month + 0.350%, 08/25/2024(B) | 2,120 | 2,119 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF60, Cl A | ||||||||
0.942%, ICE LIBOR USD 1 Month + 0.490%, 02/25/2026(B) | 3,511 | 3,510 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF62, Cl A | ||||||||
0.932%, ICE LIBOR USD 1 Month + 0.480%, 04/25/2026(B) | 7,095 | 7,115 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF72, Cl A | ||||||||
0.952%, ICE LIBOR USD 1 Month + 0.500%, 10/25/2026(B) | 4,428 | 4,416 | ||||||
FHLMC REMIC, Ser 2003-2571, Cl FY | ||||||||
1.304%, ICE LIBOR USD 1 Month + 0.750%, 12/15/2032(B) | 2,330 | 2,363 | ||||||
FHLMC REMIC, Ser 2006-3148, Cl CF | ||||||||
0.954%, ICE LIBOR USD 1 Month + 0.400%, 02/15/2034(B) | 96 | 96 | ||||||
FHLMC REMIC, Ser 2006-3153, Cl FX | ||||||||
0.904%, ICE LIBOR USD 1 Month + 0.350%, 05/15/2036(B) | 69 | 69 | ||||||
FHLMC REMIC, Ser 2006-3174, Cl FA | ||||||||
0.854%, ICE LIBOR USD 1 Month + 0.300%, 04/15/2036(B) | 1,370 | 1,364 | ||||||
FHLMC REMIC, Ser 2006-3219, Cl EF | ||||||||
0.954%, ICE LIBOR USD 1 Month + 0.400%, 04/15/2032(B) | 2,021 | 2,022 | ||||||
FHLMC REMIC, Ser 2007-3339, Cl HF | ||||||||
1.074%, ICE LIBOR USD 1 Month + 0.520%, 07/15/2037(B) | 2,042 | 2,054 | ||||||
FHLMC REMIC, Ser 2010-3628, Cl PJ | ||||||||
4.500%, 01/15/2040 | 810 | 831 | ||||||
FHLMC REMIC, Ser 2011-3788, Cl FA | ||||||||
1.084%, ICE LIBOR USD 1 Month + 0.530%, 01/15/2041(B) | 2,918 | 2,938 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
1 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Short Duration Government Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC REMIC, Ser 2011-3795, Cl EB | ||||||||
2.500%, 10/15/2039 | $ | 14 | $ | 14 | ||||
FHLMC REMIC, Ser 2011-3930, Cl AI, IO | ||||||||
3.500%, 09/15/2026 | 194 | 10 | ||||||
FHLMC REMIC, Ser 2012-4018, Cl AI, IO | ||||||||
3.500%, 03/15/2027 | 260 | 12 | ||||||
FHLMC REMIC, Ser 2012-4032, Cl CI, IO | ||||||||
3.500%, 06/15/2026 | 45 | – | ||||||
FHLMC REMIC, Ser 2012-4060, Cl TI, IO | ||||||||
2.500%, 12/15/2026 | 384 | 9 | ||||||
FHLMC REMIC, Ser 2012-4083, Cl DI, IO | ||||||||
4.000%, 07/15/2027 | 155 | 9 | ||||||
FHLMC REMIC, Ser 2012-4114, Cl MB | ||||||||
3.000%, 10/15/2032 | 3,000 | 2,911 | ||||||
FHLMC REMIC, Ser 2012-4117, Cl P | ||||||||
1.250%, 07/15/2042 | 1,902 | 1,758 | ||||||
FHLMC REMIC, Ser 2012-4142, Cl PT | ||||||||
1.250%, 12/15/2027 | 1,579 | 1,519 | ||||||
FHLMC REMIC, Ser 2012-4146, Cl AB | ||||||||
1.125%, 12/15/2027 | 1,745 | 1,675 | ||||||
FHLMC REMIC, Ser 2013-4170, Cl QI, IO | ||||||||
3.000%, 05/15/2032 | 453 | 18 | ||||||
FHLMC REMIC, Ser 2013-4176, Cl KI, IO | ||||||||
4.000%, 03/15/2028 | 445 | 21 | ||||||
FHLMC REMIC, Ser 2013-4178, Cl MI, IO | ||||||||
2.500%, 03/15/2028 | 273 | 13 | ||||||
FHLMC REMIC, Ser 2013-4178, Cl BI, IO | ||||||||
3.000%, 03/15/2033 | 434 | 40 | ||||||
FHLMC REMIC, Ser 2013-4182, Cl IE, IO | ||||||||
2.500%, 03/15/2028 | 255 | 13 | ||||||
FHLMC REMIC, Ser 2013-4195, Cl AI, IO | ||||||||
3.000%, 04/15/2028 | 714 | 43 | ||||||
FHLMC REMIC, Ser 2013-4199, Cl QI, IO | ||||||||
2.500%, 05/15/2028 | 414 | 22 | ||||||
FHLMC REMIC, Ser 2013-4220, Cl IE, IO | ||||||||
4.000%, 06/15/2028 | 250 | 13 | ||||||
FHLMC REMIC, Ser 2013-4223, Cl AL | ||||||||
3.000%, 08/15/2042 | 1,145 | 1,116 | ||||||
FHLMC REMIC, Ser 2013-4247, Cl LA | ||||||||
3.000%, 03/15/2043 | 2,111 | 2,007 | ||||||
FHLMC REMIC, Ser 2014-4340, Cl MI, IO | ||||||||
4.500%, 02/15/2027 | 1,375 | 77 | ||||||
FHLMC REMIC, Ser 2014-4419, Cl CW | ||||||||
2.500%, 10/15/2037 | 3,497 | 3,430 | ||||||
FHLMC REMIC, Ser 2015-4471, Cl GA | ||||||||
3.000%, 02/15/2044 | 1,279 | 1,231 | ||||||
FHLMC REMIC, Ser 2015-4484, Cl Cl, IO | ||||||||
4.000%, 07/15/2030 | 582 | 54 | ||||||
FHLMC REMIC, Ser 2016-4558, Cl DC | ||||||||
3.000%, 07/15/2043 | 706 | 700 | ||||||
FHLMC REMIC, Ser 2016-4620, Cl IO, IO | ||||||||
5.000%, 09/15/2033 | 638 | 107 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC REMIC, Ser 2017-4650, Cl LP | ||||||||
3.000%, 09/15/2045 | $ | 601 | $ | 586 | ||||
FHLMC REMIC, Ser 2017-4661, Cl HA | ||||||||
3.000%, 05/15/2043 | 1,635 | 1,640 | ||||||
FHLMC REMIC, Ser 2017-4664, Cl HA | ||||||||
3.500%, 08/15/2043 | 3,370 | 3,371 | ||||||
FHLMC REMIC, Ser 2017-4673, Cl HA | ||||||||
3.500%, 11/15/2043 | 2,069 | 2,078 | ||||||
FHLMC REMIC, Ser 2017-4709, Cl AB | ||||||||
3.000%, 08/15/2047 | 763 | 739 | ||||||
FHLMC REMIC, Ser 2018-4820, Cl JI, IO | ||||||||
5.000%, 02/15/2048 | 781 | 169 | ||||||
FHLMC REMIC, Ser 2020-4978, Cl MI, IO | ||||||||
4.000%, 05/25/2040 | 2,487 | 341 | ||||||
FHLMC REMIC, Ser 2020-5018, Cl LW | ||||||||
1.000%, 10/25/2040 | 1,549 | 1,339 | ||||||
FHLMC REMIC, Ser 2020-5048, Cl A | ||||||||
1.000%, 06/15/2044 | 5,161 | 4,863 | ||||||
FHLMC Structured Pass-Through Certificates, Ser 2002-42, Cl A5 | ||||||||
7.500%, 02/25/2042 | 211 | 237 | ||||||
FHLMC, Ser 2013-303, Cl C16, IO | ||||||||
3.500%, 01/15/2043 | 2,055 | 332 | ||||||
FHLMC, Ser 2013-303, Cl C2, IO | ||||||||
3.500%, 01/15/2028 | 1,020 | 60 | ||||||
FNMA | ||||||||
7.000%, 06/01/2037 | 3 | 3 | ||||||
6.500%, 05/01/2026 to 01/01/2036 | 63 | 67 | ||||||
6.000%, 02/01/2023 to 09/01/2024 | 60 | 61 | ||||||
5.500%, 09/01/2022 to 06/01/2038 | 139 | 148 | ||||||
4.500%, 04/01/2026 to 08/01/2044 | 4,243 | 4,411 | ||||||
4.000%, 05/01/2026 to 04/01/2042 | 4,446 | 4,555 | ||||||
3.850%, 01/01/2024 | 525 | 529 | ||||||
3.750%, 06/01/2022 to 09/01/2023 | 2,984 | 2,994 | ||||||
3.650%, 08/01/2023 | 94 | 94 | ||||||
3.500%, 10/01/2027 to 02/01/2045 | 21,884 | 21,918 | ||||||
3.100%, 01/01/2026 | 4,000 | 3,970 | ||||||
3.090%, 07/01/2022(B) | 70 | 70 | ||||||
3.000%, 09/01/2027 to 11/01/2036 | 5,237 | 5,072 | ||||||
2.970%, 12/01/2022 | 3,195 | 3,201 | ||||||
2.960%, 01/01/2027 | 1,178 | 1,162 | ||||||
2.580%, 08/01/2022 | 2,047 | 2,045 | ||||||
2.570%, 01/01/2023 | 1,762 | 1,763 | ||||||
2.540%, 03/01/2023 | 574 | 575 | ||||||
2.500%, 10/01/2031 to 09/01/2036 | 9,695 | 9,375 | ||||||
2.313%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.246%, 08/01/2029(B) | 58 | 58 | ||||||
2.280%, 11/01/2022 | 1,090 | 1,090 | ||||||
2.154%, ICE LIBOR USD 6 Month + 1.834%, 09/01/2024(B) | 47 | 47 |
2 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Short Duration Government Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
2.144%, ICE LIBOR USD 6 Month + 1.588%, 08/01/2027(B) | $ | 21 | $ | 21 | ||||
2.050%, 11/01/2023 | 1,182 | 1,168 | ||||||
2.045%, 05/01/2028(B) | 1 | 1 | ||||||
1.721%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.520%, 12/01/2029(B) | 12 | 12 | ||||||
0.802%, ICE LIBOR USD 1 Month + 0.350%, 01/01/2023(B) | 652 | 651 | ||||||
FNMA Interest, Ser 2009-397, Cl 6 | ||||||||
2.000%, 09/25/2039 | 929 | 873 | ||||||
FNMA Interest, Ser 2012-410, Cl C6, IO | ||||||||
4.000%, 05/25/2027 | 480 | 23 | ||||||
FNMA Interest, Ser 2013-418, Cl C16, IO | ||||||||
4.500%, 08/25/2043 | 2,305 | 456 | ||||||
FNMA REMIC, Ser 1992-61, Cl FA | ||||||||
1.318%, ICE LIBOR USD 1 Month + 0.650%, 10/25/2022(B) | – | – | ||||||
FNMA REMIC, Ser 1993-32, Cl H | ||||||||
6.000%, 03/25/2023 | 1 | 1 | ||||||
FNMA REMIC, Ser 1993-5, Cl Z | ||||||||
6.500%, 02/25/2023 | – | – | ||||||
FNMA REMIC, Ser 1994-77, Cl FB | ||||||||
2.168%, ICE LIBOR USD 1 Month + 1.500%, 04/25/2024(B) | – | – | ||||||
FNMA REMIC, Ser 2002-53, CI FK | ||||||||
1.068%, ICE LIBOR USD 1 Month + 0.400%, 04/25/2032(B) | 46 | 46 | ||||||
FNMA REMIC, Ser 2006-76, CI QF | ||||||||
1.068%, ICE LIBOR USD 1 Month + 0.400%, 08/25/2036(B) | 233 | 233 | ||||||
FNMA REMIC, Ser 2006-79, CI DF | ||||||||
1.018%, ICE LIBOR USD 1 Month + 0.350%, 08/25/2036(B) | 182 | 182 | ||||||
FNMA REMIC, Ser 2007-47, CI DA | ||||||||
5.600%, 05/25/2037 | 237 | 253 | ||||||
FNMA REMIC, Ser 2007-64, CI FB | ||||||||
1.038%, ICE LIBOR USD 1 Month + 0.370%, 07/25/2037(B) | 1,369 | 1,362 | ||||||
FNMA REMIC, Ser 2008-16, CI FA | ||||||||
1.368%, ICE LIBOR USD 1 Month + 0.700%, 03/25/2038(B) | 627 | 637 | ||||||
FNMA REMIC, Ser 2009-110, CI FD | ||||||||
1.418%, ICE LIBOR USD 1 Month + 0.750%, 01/25/2040(B) | 2,927 | 2,979 | ||||||
FNMA REMIC, Ser 2009-112, CI FM | ||||||||
1.418%, ICE LIBOR USD 1 Month + 0.750%, 01/25/2040(B) | 1,890 | 1,923 | ||||||
FNMA REMIC, Ser 2009-82, CI FC | ||||||||
1.588%, ICE LIBOR USD 1 Month + 0.920%, 10/25/2039(B) | 2,271 | 2,327 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA REMIC, Ser 2009-82, CI FD | ||||||||
1.518%, ICE LIBOR USD 1 Month + 0.850%, 10/25/2039(B) | $ | 2,653 | $ | 2,709 | ||||
FNMA REMIC, Ser 2010-4, CI PL | ||||||||
4.500%, 02/25/2040 | 693 | 705 | ||||||
FNMA REMIC, Ser 2010-56, CI AF | ||||||||
1.007%, ICE LIBOR USD 1 Month + 0.550%, 06/25/2040(B) | 1,828 | 1,838 | ||||||
FNMA REMIC, Ser 2012-103, CI HB | ||||||||
1.500%, 09/25/2027 | 1,987 | 1,917 | ||||||
FNMA REMIC, Ser 2012-111, CI NI, IO | ||||||||
3.500%, 10/25/2027 | 634 | 42 | ||||||
FNMA REMIC, Ser 2012-140, CI PA | ||||||||
2.000%, 12/25/2042 | 2,927 | 2,649 | ||||||
FNMA REMIC, Ser 2012-27, CI PI, IO | ||||||||
4.500%, 02/25/2042 | 2,067 | 212 | ||||||
FNMA REMIC, Ser 2012-43, CI AI, IO | ||||||||
3.500%, 04/25/2027 | 2,856 | 165 | ||||||
FNMA REMIC, Ser 2012-47, CI QI, IO | ||||||||
5.512%, 05/25/2042(B) | 77 | 8 | ||||||
FNMA REMIC, Ser 2012-53, CI BI, IO | ||||||||
3.500%, 05/25/2027 | 372 | 22 | ||||||
FNMA REMIC, Ser 2012-70, CI IW, IO | ||||||||
3.000%, 02/25/2027 | 685 | 23 | ||||||
FNMA REMIC, Ser 2012-93, CI IL, IO | ||||||||
3.000%, 09/25/2027 | 331 | 18 | ||||||
FNMA REMIC, Ser 2012-97, CI JI, IO | ||||||||
3.000%, 07/25/2027 | 875 | 40 | ||||||
FNMA REMIC, Ser 2012-98, CI BI, IO | ||||||||
6.000%, 01/25/2042 | 1,321 | 164 | ||||||
FNMA REMIC, Ser 2013-10, CI YA | ||||||||
1.250%, 02/25/2028 | 2,606 | 2,506 | ||||||
FNMA REMIC, Ser 2013-12, CI P | ||||||||
1.750%, 11/25/2041 | 525 | 510 | ||||||
FNMA REMIC, Ser 2013-121, CI FA | ||||||||
1.068%, ICE LIBOR USD 1 Month + 0.400%, 12/25/2043(B) | 13,645 | 13,646 | ||||||
FNMA REMIC, Ser 2013-130, CI FQ | ||||||||
0.868%, ICE LIBOR USD 1 Month + 0.200%, 06/25/2041(B) | 2,490 | 2,475 | ||||||
FNMA REMIC, Ser 2013-4, CI JB | ||||||||
1.250%, 02/25/2028 | 1,554 | 1,488 | ||||||
FNMA REMIC, Ser 2013-4, CI CB | ||||||||
1.250%, 02/25/2028 | 2,667 | 2,552 | ||||||
FNMA REMIC, Ser 2013-41, CI A | ||||||||
1.750%, 05/25/2040 | 497 | 496 | ||||||
FNMA REMIC, Ser 2013-9, CI PT | ||||||||
1.250%, 02/25/2028 | 1,388 | 1,329 | ||||||
FNMA REMIC, Ser 2013-98, CI ZA | ||||||||
4.500%, 09/25/2043 | 6,684 | 6,930 | ||||||
FNMA REMIC, Ser 2014-50, CI SC, IO | ||||||||
1.522%, 08/25/2044(B) | 1,272 | 64 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
3 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Short Duration Government Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA REMIC, Ser 2015-21, CI WI, IO | ||||||||
1.601%, 04/25/2055(B) | $ | 1,098 | $ | 43 | ||||
FNMA REMIC, Ser 2015-41, CI AG | ||||||||
3.000%, 09/25/2034 | 853 | 838 | ||||||
FNMA REMIC, Ser 2015-42, CI AI, IO | ||||||||
1.520%, 06/25/2055(B) | 1,280 | 57 | ||||||
FNMA REMIC, Ser 2015-5, CI CP | ||||||||
3.000%, 06/25/2043 | 1,220 | 1,202 | ||||||
FNMA REMIC, Ser 2015-68, CI JI, IO | ||||||||
3.500%, 08/25/2030 | 221 | 16 | ||||||
FNMA REMIC, Ser 2015-68, CI HI, IO | ||||||||
3.500%, 09/25/2035 | 498 | 52 | ||||||
FNMA REMIC, Ser 2015-75, CI DB | ||||||||
3.000%, 08/25/2035 | 1,973 | 1,918 | ||||||
FNMA REMIC, Ser 2016-25, CI A | ||||||||
3.000%, 11/25/2042 | 322 | 321 | ||||||
FNMA REMIC, Ser 2016-3, CI JI, IO | ||||||||
3.500%, 02/25/2031 | 348 | 18 | ||||||
FNMA REMIC, Ser 2016-42, CI DA | ||||||||
3.000%, 07/25/2045 | 541 | 526 | ||||||
FNMA REMIC, Ser 2016-71, CI IN, IO | ||||||||
3.500%, 10/25/2046 | 498 | 90 | ||||||
FNMA REMIC, Ser 2017-15, CI BC | ||||||||
3.250%, 11/25/2043 | 2,449 | 2,403 | ||||||
FNMA REMIC, Ser 2017-34, CI JK | ||||||||
3.000%, 05/25/2047 | 634 | 621 | ||||||
FNMA REMIC, Ser 2017-35, CI AH | ||||||||
3.500%, 04/25/2053 | 1,974 | 1,960 | ||||||
FNMA REMIC, Ser 2017-47, CI AB | ||||||||
2.500%, 10/25/2041 | 2,954 | 2,947 | ||||||
FNMA REMIC, Ser 2017-68, CI BI, IO | ||||||||
6.000%, 09/25/2047 | 1,071 | 224 | ||||||
FNMA REMIC, Ser 2017-68, CI IB, IO | ||||||||
4.500%, 09/25/2047 | 2,258 | 397 | ||||||
FNMA REMIC, Ser 2018-13, CI MP | ||||||||
3.500%, 12/25/2057 | 3,064 | 3,019 | ||||||
FNMA REMIC, Ser 2018-77, CI PA | ||||||||
3.500%, 02/25/2048 | 488 | 482 | ||||||
FNMA REMIC, Ser 2019-6, CI GJ | ||||||||
3.000%, 02/25/2049 | 1,219 | 1,199 | ||||||
FNMA REMIC, Ser 2020-26, CI IA, IO | ||||||||
3.500%, 11/25/2039 | 4,189 | 486 | ||||||
FNMA REMIC, Ser 2020-26, CI AI, IO | ||||||||
3.000%, 04/25/2033 | 3,205 | 221 | ||||||
FNMA REMIC, Ser 2020-4, CI AP | ||||||||
2.500%, 02/25/2050 | 1,954 | 1,821 | ||||||
FNMA, Ser 2017-M13, CI FA | ||||||||
0.849%, ICE LIBOR USD 1 Month + 0.400%, 10/25/2024(B) | 273 | 274 | ||||||
FNMA, Ser 2018-M12, CI FA | ||||||||
0.849%, ICE LIBOR USD 1 Month + 0.400%, 08/25/2025(B) | 264 | 264 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA, Ser 2019-M21, CI X1, IO | ||||||||
1.559%, 05/25/2029(B) | $ | 14,437 | $ | 1,180 | ||||
GNMA | ||||||||
6.500%, 12/15/2037 to 02/20/2039 | 105 | 112 | ||||||
6.000%, 01/15/2024 to 06/15/2041 | 2,371 | 2,604 | ||||||
5.500%, 10/15/2034 to 02/15/2041 | 1,108 | 1,218 | ||||||
5.000%, 09/15/2039 to 04/15/2041 | 605 | 642 | ||||||
4.500%, 09/20/2049 | 1,718 | 1,757 | ||||||
4.000%, 07/15/2041 to 08/15/2041 | 60 | 62 | ||||||
3.500%, 06/20/2046 | 2,141 | 2,123 | ||||||
GNMA, Ser 2003-86, CI ZD | ||||||||
5.500%, 10/20/2033 | 2,377 | 2,508 | ||||||
GNMA, Ser 2010-116, CI GW | ||||||||
3.000%, 12/20/2039 | 221 | 221 | ||||||
GNMA, Ser 2010-26, CI JI, IO | ||||||||
5.000%, 02/16/2040 | 1,533 | 328 | ||||||
GNMA, Ser 2010-57, CI TI, IO | ||||||||
5.000%, 05/20/2040 | 733 | 143 | ||||||
GNMA, Ser 2010-68, CI WA | ||||||||
3.000%, 12/16/2039 | 1,255 | 1,237 | ||||||
GNMA, Ser 2011-131, CI PC | ||||||||
3.500%, 12/20/2040 | 95 | 96 | ||||||
GNMA, Ser 2012-126, CI IO, IO | ||||||||
3.500%, 10/20/2042 | 2,124 | 346 | ||||||
GNMA, Ser 2012-36, CI AB | ||||||||
3.000%, 10/20/2040 | 402 | 401 | ||||||
GNMA, Ser 2012-51, CI GI, IO | ||||||||
3.500%, 07/20/2040 | 301 | 17 | ||||||
GNMA, Ser 2012-84, CI TE | ||||||||
1.500%, 03/20/2042 | 1,738 | 1,656 | ||||||
GNMA, Ser 2013-129, CI AF | ||||||||
0.994%, ICE LIBOR USD 1 Month + 0.400%, 10/20/2039(B) | 3,630 | 3,632 | ||||||
GNMA, Ser 2013-166, CI DA | ||||||||
3.500%, 06/20/2040 | 426 | 427 | ||||||
GNMA, Ser 2013-26, CI IK, IO | ||||||||
3.000%, 02/16/2043 | 407 | 54 | ||||||
GNMA, Ser 2013-47, CI IA, IO | ||||||||
4.000%, 03/20/2043 | 398 | 68 | ||||||
GNMA, Ser 2013-51, CI IB, IO | ||||||||
3.500%, 03/20/2027 | 407 | 23 | ||||||
GNMA, Ser 2014-4, CI BI, IO | ||||||||
4.000%, 01/20/2044 | 168 | 29 | ||||||
GNMA, Ser 2014-46, CI IO, IO | ||||||||
5.000%, 03/16/2044 | 681 | 104 | ||||||
GNMA, Ser 2014-55, CI LB | ||||||||
2.500%, 10/20/2040 | 229 | 225 | ||||||
GNMA, Ser 2014-56, CI BP | ||||||||
2.500%, 12/16/2039 | 1,146 | 1,114 | ||||||
GNMA, Ser 2015-119, CI ND | ||||||||
2.500%, 12/20/2044 | 2,227 | 2,161 |
4 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Short Duration Government Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2015-126, Cl GI, IO | ||||||||
3.500%, 02/16/2027 | $ | 169 | $ | 9 | ||||
GNMA, Ser 2015-126, Cl HI, IO | ||||||||
4.000%, 12/16/2026 | 102 | 4 | ||||||
GNMA, Ser 2015-132, Cl EI, IO | ||||||||
6.000%, 09/20/2045 | 1,199 | 231 | ||||||
GNMA, Ser 2015-165, Cl I, IO | ||||||||
3.500%, 07/20/2043 | 951 | 126 | ||||||
GNMA, Ser 2015-17, Cl BI, IO | ||||||||
3.500%, 05/20/2043 | 139 | 21 | ||||||
GNMA, Ser 2015-185, Cl GI, IO | ||||||||
3.500%, 02/20/2041 | 425 | 12 | ||||||
GNMA, Ser 2015-40, Cl PA | ||||||||
2.000%, 04/20/2044 | 1,422 | 1,394 | ||||||
GNMA, Ser 2015-53, Cl IA, IO | ||||||||
4.500%, 04/20/2045 | 674 | 127 | ||||||
GNMA, Ser 2015-63, Cl PB | ||||||||
1.750%, 09/20/2043 | 193 | 186 | ||||||
GNMA, Ser 2016-126, Cl KI, IO | ||||||||
3.000%, 09/20/2028 | 394 | 22 | ||||||
GNMA, Ser 2016-167, Cl AI, IO | ||||||||
5.500%, 03/20/2039 | 1,151 | 203 | ||||||
GNMA, Ser 2016-23, Cl CI, IO | ||||||||
3.500%, 04/20/2042 | 988 | 64 | ||||||
GNMA, Ser 2016-42, Cl EI, IO | ||||||||
6.000%, 02/20/2046 | 1,069 | 153 | ||||||
GNMA, Ser 2016-49, Cl PI, IO | ||||||||
4.500%, 11/16/2045 | 1,481 | 260 | ||||||
GNMA, Ser 2016-99, Cl LI, IO | ||||||||
4.000%, 05/20/2029 | 1,607 | 80 | ||||||
GNMA, Ser 2017-107, Cl JI, IO | ||||||||
4.000%, 03/20/2047 | 1,226 | 179 | ||||||
GNMA, Ser 2017-134, Cl BI, IO | ||||||||
5.000%, 09/16/2047 | 255 | 50 | ||||||
GNMA, Ser 2017-2, Cl AI, IO | ||||||||
5.000%, 01/16/2047 | 342 | 72 | ||||||
GNMA, Ser 2017-26, Cl IB, IO | ||||||||
5.500%, 02/20/2047 | 727 | 129 | ||||||
GNMA, Ser 2017-26, Cl IA, IO | ||||||||
5.500%, 02/16/2047 | 1,159 | 194 | ||||||
GNMA, Ser 2017-26, Cl KI, IO | ||||||||
6.000%, 09/20/2040 | 1,389 | 259 | ||||||
GNMA, Ser 2017-95, Cl PG | ||||||||
2.500%, 12/20/2045 | 697 | 677 | ||||||
GNMA, Ser 2018-127, Cl PB | ||||||||
3.000%, 09/20/2047 | 2,025 | 1,983 | ||||||
GNMA, Ser 2018-72, Cl ID, IO | ||||||||
4.500%, 08/20/2045 | 3,069 | 538 | ||||||
GNMA, Ser 2019-43, Cl IA, IO | ||||||||
4.500%, 05/20/2048 | 1,821 | 271 | ||||||
GNMA, Ser 2019-5, Cl JI, IO | ||||||||
5.000%, 07/16/2044 | 1,484 | 236 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2020-17, Cl EI, IO | ||||||||
5.000%, 02/20/2050 | $ | 2,432 | $ | 477 | ||||
GNMA, Ser 2020-47, Cl AC | ||||||||
1.500%, 04/16/2050 | 4,897 | 4,367 | ||||||
UMBS TBA | ||||||||
4.000%, 05/01/2039 | 16,650 | 16,555 | ||||||
3.500%, 05/15/2051 | 8,915 | 8,645 | ||||||
3.000%, 05/15/2051 | 3,465 | 3,267 | ||||||
304,206 | ||||||||
Non-Agency Mortgage-Backed Obligations — 1.9% |
| |||||||
Seasoned Credit Risk Transfer Trust, Ser 2018-2, Cl MA | ||||||||
3.500%, 11/25/2057 | 368 | 367 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2020-2, Cl MA | ||||||||
2.000%, 11/25/2059 | 825 | 783 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2021-2, Cl TT | ||||||||
2.000%, 11/25/2060 | 11,226 | 10,619 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2021-3, Cl TT | ||||||||
2.000%, 03/25/2061 | 1,844 | 1,744 | ||||||
13,513 | ||||||||
Total Mortgage-Backed Securities | 317,719 | |||||||
REPURCHASE AGREEMENTS — 7.3% |
| |||||||
BNP Paribas | ||||||||
0.280%, dated 04/29/2022 to be repurchased on 05/02/2022, repurchase price $24,500,572 (collateralized by U.S. Government obligations, ranging in par value $100 – 10,397,500, 0.000% – 7.500%, 02/15/2025 – 03/20/2052; with total market value $24,990,000) (C) | 24,500 | 24,500 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
5 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
Short Duration Government Fund (Concluded)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENTS (continued) |
| |||||||
Deutsche Bank | ||||||||
0.300%, dated 04/29/2022 to be repurchased on 05/02/2022, repurchase price $26,600,665 (collateralized by U.S. Government obligations, ranging in par value $1,931,567 – $15,150,608, 2.500%, 12/01/2051 – 04/01/2052; with total market value $27,132,001) (C) | $ | 26,600 | $ | 26,600 | ||||
Total Repurchase Agreements | 51,100 | |||||||
Total Investments in Securities — 104.0% | $ | 729,967 | ||||||
A list of the open futures contracts held by the Fund at April 30, 2022, is as follows:
Type of Contract | Number of Contracts | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
U.S. 2-Year Treasury Note | 1,125 | Jun-2022 | $ | 241,625 | $ | 237,164 | $ | (4,461 | ) | |||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||
Short Contracts | ||||||||||||||||||||
U.S. 5-Year Treasury Note | (183) | Jun-2022 | $ | (20,772 | ) | $ | (20,619 | ) | $ | 153 | ||||||||||
U.S. 10-Year Treasury Note | (172) | Jun-2022 | (20,747 | ) | (20,495 | ) | 252 | |||||||||||||
U.S. Long Treasury Bond | (40) | Jun-2022 | (5,969 | ) | (5,627 | ) | 342 | |||||||||||||
Ultra 10-Year U.S. Treasury Note | (88) | Jun-2022 | (11,881 | ) | (11,352 | ) | 529 | |||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||
(59,369 | ) | (58,093 | ) | 1,276 | ||||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||
$ | 182,256 | $ | 179,071 | $ | (3,185 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $701,593 ($Thousands). |
(A) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(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 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. |
(C) | Tri-Party Repurchase Agreement. |
Cl | — Class |
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
ICE — Intercontinental Exchange
IO — Interest Only — face amount represents notional amount
LIBOR — London Interbank Offered Rate
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
TBA — To Be Announced
UMBS — Uniform Mortgage Backed Securities
USD — U.S. Dollar
The following is a summary of the level of inputs used as of April 30, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($Thousands):
Investments in Securities | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
U.S. Treasury Obligations | – | 361,148 | – | 361,148 | ||||||||||||
Mortgage-Backed Securities | – | 317,719 | – | 317,719 | ||||||||||||
Repurchase Agreements | – | 51,100 | – | 51,100 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||
Total Investments in Securities | – | 729,967 | – | 729,967 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||
Futures Contracts* | ||||||||||||||||
Unrealized Appreciation | 1,276 | – | – | 1,276 | ||||||||||||
Unrealized Depreciation | (4,461) | – | – | (4,461) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||
Total Other Financial Instruments | (3,185) | – | – | (3,185) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.
Amounts designated as “—” are $0 or have been rounded to $0.
For information regarding the Fund’s policy regarding valuation of investments and other accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
6 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
GNMA Fund
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES — 100.0% |
| |||||||
Agency Mortgage-Backed Obligations — 99.2% |
| |||||||
FHLMC | ||||||||
3.650%, 04/01/2030 | $ | 306 | $ | 308 | ||||
FHLMC Multifamily Structured Pass-Through | ||||||||
Certificates, Ser 1520, Cl X1, IO | ||||||||
0.578%, 02/25/2036(A) | 603 | 28 | ||||||
FHLMC Multifamily Structured Pass-Through | ||||||||
Certificates, Ser K066, Cl X1, IO | ||||||||
0.888%, 06/25/2027(A) | 1,640 | 53 | ||||||
FHLMC Multifamily Structured Pass-Through | ||||||||
Certificates, Ser K110, Cl X1, IO | ||||||||
1.814%, 04/25/2030(A) | 1,147 | 122 | ||||||
FHLMC Multifamily Structured Pass-Through | ||||||||
Certificates, Ser K116, Cl X1, IO | ||||||||
1.530%, 07/25/2030(A) | 1,321 | 122 | ||||||
FHLMC Multifamily Structured Pass-Through | ||||||||
Certificates, Ser K118, Cl X1, IO | ||||||||
1.053%, 09/25/2030(A) | 1,518 | 98 | ||||||
FHLMC Multifamily Structured Pass-Through | ||||||||
Certificates, Ser K123, Cl X1, IO | ||||||||
0.865%, 12/25/2030(A) | 2,321 | 124 | ||||||
FHLMC Multifamily Structured Pass-Through | ||||||||
Certificates, Ser K125, Cl X1, IO | ||||||||
0.676%, 01/25/2031(A) | 2,994 | 123 | ||||||
FHLMC Multifamily Structured Pass-Through | ||||||||
Certificates, Ser K128, Cl X1, IO | ||||||||
0.613%, 03/25/2031(A) | 1,342 | 50 | ||||||
FHLMC Multifamily Structured Pass-Through | ||||||||
Certificates, Ser K737, Cl X1, IO | ||||||||
0.751%, 10/25/2026(A) | 2,150 | 50 | ||||||
FHLMC REMIC, Ser 2011-3930, Cl AI, IO | ||||||||
3.500%, 09/15/2026 | 129 | 6 | ||||||
FHLMC REMIC, Ser 2012-4018, Cl AI, IO | ||||||||
3.500%, 03/15/2027 | 174 | 8 | ||||||
FHLMC REMIC, Ser 2012-4032, Cl CI, IO | ||||||||
3.500%, 06/15/2026 | 30 | – | ||||||
FHLMC REMIC, Ser 2012-4060, Cl TI, IO | ||||||||
2.500%, 12/15/2026 | 248 | 6 | ||||||
FHLMC REMIC, Ser 2013-4166, Cl PI, IO | ||||||||
3.500%, 03/15/2041 | 170 | 8 | ||||||
FHLMC REMIC, Ser 2013-4176, Cl KI, IO | ||||||||
4.000%, 03/15/2028 | 294 | 14 | ||||||
FHLMC REMIC, Ser 2013-4178, Cl MI, IO | ||||||||
2.500%, 03/15/2028 | 189 | 9 | ||||||
FHLMC REMIC, Ser 2013-4182, Cl IE, IO | ||||||||
2.500%, 03/15/2028 | 177 | 9 | ||||||
FHLMC REMIC, Ser 2013-4199, Cl QI, IO | ||||||||
2.500%, 05/15/2028 | 269 | 14 | ||||||
FHLMC REMIC, Ser 2013-4247, Cl LA | ||||||||
3.000%, 03/15/2043 | 277 | 263 | ||||||
FHLMC REMIC, Ser 2015-4446, Cl BI, IO | ||||||||
6.500%, 04/15/2039 | 217 | 44 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC REMIC, Ser 2015-4484, Cl Cl, IO | ||||||||
4.000%, 07/15/2030 | $ | 366 | $ | 34 | ||||
FHLMC REMIC, Ser 2016-4624, Cl BI, IO | ||||||||
5.500%, 04/15/2036 | 139 | 26 | ||||||
FHLMC REMIC, Ser 2016-4636, Cl BI, IO | ||||||||
5.500%, 05/15/2040 | 222 | 45 | ||||||
FHLMC REMIC, Ser 2017-4731, Cl LB | ||||||||
3.000%, 11/15/2047 | 167 | 148 | ||||||
FHLMC REMIC, Ser 2018-4820, Cl JI, IO | ||||||||
5.000%, 02/15/2048 | 70 | 15 | ||||||
FHLMC REMIC, Ser 2020-4978, Cl MI, IO | ||||||||
4.000%, 05/25/2040 | 232 | 32 | ||||||
FHLMC, Ser 2014-324, Cl C18, IO | ||||||||
4.000%, 12/15/2033 | 296 | 35 | ||||||
FNMA | ||||||||
8.000%, 03/01/2027 to 09/01/2028 | 12 | 12 | ||||||
7.000%, 08/01/2032 to 09/01/2032 | 13 | 14 | ||||||
6.500%, 09/01/2032 | 23 | 24 | ||||||
3.260%, 06/01/2027 | 172 | 171 | ||||||
3.230%, 02/01/2027 | 137 | 136 | ||||||
2.000%, 03/01/2052 to 04/01/2052 | 810 | 716 | ||||||
FNMA Interest, Ser 2007-379, Cl 1, PO | ||||||||
0.000%, 05/25/2037(B) | 531 | 460 | ||||||
FNMA Interest, Ser 2012-410, Cl C6, IO | ||||||||
4.000%, 05/25/2027 | 60 | 3 | ||||||
FNMA Interest, Ser 2012-410, Cl C8, IO | ||||||||
4.000%, 04/25/2032 | 355 | 40 | ||||||
FNMA REMIC, Ser 1992-105, Cl B | ||||||||
7.000%, 06/25/2022 | – | – | ||||||
FNMA REMIC, Ser 2010-126, Cl NI, IO | ||||||||
5.500%, 11/25/2040 | 185 | 29 | ||||||
FNMA REMIC, Ser 2012-53, Cl BI, IO | ||||||||
3.500%, 05/25/2027 | 46 | 3 | ||||||
FNMA REMIC, Ser 2012-93, Cl IL, IO | ||||||||
3.000%, 09/25/2027 | 235 | 13 | ||||||
FNMA REMIC, Ser 2012-98, Cl BI, IO | ||||||||
6.000%, 01/25/2042 | 129 | 16 | ||||||
FNMA REMIC, Ser 2014-68, Cl ID, IO | ||||||||
3.500%, 03/25/2034 | 400 | 26 | ||||||
FNMA REMIC, Ser 2015-21, Cl WI, IO | ||||||||
1.601%, 04/25/2055(A) | 137 | 5 | ||||||
FNMA REMIC, Ser 2016-3, Cl JI, IO | ||||||||
3.500%, 02/25/2031 | 45 | 2 | ||||||
FNMA REMIC, Ser 2016-71, Cl IN, IO | ||||||||
3.500%, 10/25/2046 | 62 | 11 | ||||||
FNMA REMIC, Ser 2017-110, Cl PB | ||||||||
3.000%, 02/25/2057 | 79 | 71 | ||||||
FNMA REMIC, Ser 2017-68, Cl IB, IO | ||||||||
4.500%, 09/25/2047 | 180 | 32 | ||||||
FNMA REMIC, Ser 2018-13, Cl MP | ||||||||
3.500%, 12/25/2057 | 312 | 307 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
1 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
GNMA Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA REMIC, Ser 2018-25, Cl AL | ||||||||
3.500%, 04/25/2048 | $ | 49 | $ | 47 | ||||
FNMA REMIC, Ser 2019-31, Cl CB | ||||||||
3.000%, 07/25/2049 | 300 | 282 | ||||||
FNMA REMIC, Ser 2019-9, Cl CL | ||||||||
3.500%, 04/25/2048 | 652 | 642 | ||||||
FNMA REMIC, Ser 2020-26, Cl IA, IO | ||||||||
3.500%, 11/25/2039 | 366 | 42 | ||||||
FNMA, Ser 2019-M21, Cl X1, IO | ||||||||
1.559%, 05/25/2029(A) | 1,334 | 109 | ||||||
FNMA, Ser 2020-M2, Cl X, IO | ||||||||
0.413%, 01/25/2030(A) | 851 | 15 | ||||||
GNMA | ||||||||
8.000%, 12/15/2022 to 03/15/2032 | 58 | 60 | ||||||
7.750%, 10/15/2026 | 10 | 10 | ||||||
7.500%, 02/15/2027 to 10/15/2035 | 44 | 48 | ||||||
7.250%, 01/15/2028 | 7 | 7 | ||||||
6.500%, 10/15/2023 to 10/15/2038 | 185 | 202 | ||||||
6.000%, 12/15/2027 to 12/15/2040 | 450 | 486 | ||||||
5.000%, 07/20/2035 to 01/20/2045 | 78 | 83 | ||||||
4.500%, 08/15/2033 to 08/20/2049 | 2,238 | 2,341 | ||||||
4.000%, 06/15/2040 to 03/20/2048 | 1,318 | 1,354 | ||||||
4.000%, 01/15/2041(C) | 322 | 334 | ||||||
3.875%, 05/15/2042 to 08/15/2042 | 857 | 880 | ||||||
3.500%, 03/20/2041 to 12/20/2050 | 8,816 | 8,741 | ||||||
3.000%, 10/15/2042 to 01/20/2052 | 10,910 | 10,462 | ||||||
2.500%, 07/20/2045 to 12/20/2051 | 11,559 | 10,753 | ||||||
2.000%, 11/20/2045 to 04/20/2052 | 7,869 | 7,168 | ||||||
GNMA TBA | ||||||||
5.000% - 5.500%, 01/15/2033 | ||||||||
- 5/15/2045 | 732 | 811 | ||||||
4.000%, 03/20/2040 - 05/15/2051 | 539 | 620 | ||||||
2.000% - 3.500%, 05/15/2046 | ||||||||
- 06/15/2051 | 2,553 | 2,329 | ||||||
GNMA, Ser 2010-26, Cl JI, IO | ||||||||
5.000%, 02/16/2040 | 302 | 65 | ||||||
GNMA, Ser 2010-57, Cl TI, IO | ||||||||
5.000%, 05/20/2040 | 329 | 64 | ||||||
GNMA, Ser 2011-131, Cl PZ | ||||||||
3.500%, 12/20/2040 | 301 | 303 | ||||||
GNMA, Ser 2012-113, Cl BZ | ||||||||
3.000%, 09/16/2042 | 215 | 205 | ||||||
GNMA, Ser 2012-126, Cl IO, IO | ||||||||
3.500%, 10/20/2042 | 260 | 42 | ||||||
GNMA, Ser 2012-140, Cl LD | ||||||||
1.750%, 10/20/2042 | 399 | 367 | ||||||
GNMA, Ser 2012-51, Cl GI, IO | ||||||||
3.500%, 07/20/2040 | 201 | 11 | ||||||
GNMA, Ser 2012-69, Cl AI, IO | ||||||||
4.500%, 05/16/2027 | 65 | 2 | ||||||
GNMA, Ser 2012-91, Cl NC | ||||||||
3.000%, 05/20/2042 | 302 | 293 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2013-149, Cl LZ | ||||||||
2.500%, 10/20/2043 | $ | 48 | $ | 44 | ||||
GNMA, Ser 2013-169, Cl ZK | ||||||||
2.500%, 11/20/2043 | 54 | 50 | ||||||
GNMA, Ser 2013-187, Cl PE | ||||||||
2.000%, 09/20/2043 | 381 | 361 | ||||||
GNMA, Ser 2013-26, Cl IK, IO | ||||||||
3.000%, 02/16/2043 | 267 | 35 | ||||||
GNMA, Ser 2013-47, Cl IA, IO | ||||||||
4.000%, 03/20/2043 | 263 | 45 | ||||||
GNMA, Ser 2013-79, Cl BZ | ||||||||
3.000%, 05/20/2043 | 359 | 345 | ||||||
GNMA, Ser 2013-99, Cl AX | ||||||||
3.000%, 07/20/2043 | 70 | 67 | ||||||
GNMA, Ser 2014-119, Cl ZK | ||||||||
3.500%, 08/16/2044 | 342 | 337 | ||||||
GNMA, Ser 2014-122, Cl IP, IO | ||||||||
3.500%, 08/16/2029 | 339 | 23 | ||||||
GNMA, Ser 2014-133, Cl EP | ||||||||
3.500%, 09/20/2044 | 251 | 242 | ||||||
GNMA, Ser 2014-144, Cl BI, IO | ||||||||
3.000%, 09/16/2029 | 107 | 7 | ||||||
GNMA, Ser 2014-21, Cl DI, IO | ||||||||
4.000%, 04/16/2026 | 335 | 14 | ||||||
GNMA, Ser 2014-72, Cl ML | ||||||||
3.500%, 03/20/2044 | 383 | 372 | ||||||
GNMA, Ser 2015-165, Cl I, IO | ||||||||
3.500%, 07/20/2043 | 453 | 60 | ||||||
GNMA, Ser 2015-168, Cl MI, IO | ||||||||
5.500%, 10/20/2037 | 372 | 68 | ||||||
GNMA, Ser 2015-17, Cl BI, IO | ||||||||
3.500%, 05/20/2043 | 365 | 54 | ||||||
GNMA, Ser 2015-18, Cl IC, IO | ||||||||
3.500%, 02/16/2030 | 271 | 19 | ||||||
GNMA, Ser 2015-185, Cl GI, IO | ||||||||
3.500%, 02/20/2041 | 280 | 8 | ||||||
GNMA, Ser 2015-24, Cl CI, IO | ||||||||
3.500%, 02/20/2045 | 159 | 24 | ||||||
GNMA, Ser 2015-53, Cl IA, IO | ||||||||
4.500%, 04/20/2045 | 347 | 65 | ||||||
GNMA, Ser 2015-62, Cl CI, IO | ||||||||
4.500%, 05/20/2045 | 180 | 29 | ||||||
GNMA, Ser 2015-63, Cl PB | ||||||||
1.750%, 09/20/2043 | 57 | 55 | ||||||
GNMA, Ser 2015-84, Cl IO, IO | ||||||||
3.500%, 05/16/2042 | 255 | 41 | ||||||
GNMA, Ser 2016-126, Cl KI, IO | ||||||||
3.000%, 09/20/2028 | 263 | 15 | ||||||
GNMA, Ser 2016-136, Cl PJ | ||||||||
3.500%, 01/20/2046 | 364 | 352 | ||||||
GNMA, Ser 2016-136, Cl A | ||||||||
3.000%, 07/20/2044 | 557 | 522 |
2 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
GNMA Fund (Continued)
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2016-161, Cl GI, IO | ||||||||
5.000%, 11/16/2046 | $ | 148 | $ | 25 | ||||
GNMA, Ser 2016-167, Cl AI, IO | ||||||||
5.500%, 03/20/2039 | 298 | 52 | ||||||
GNMA, Ser 2016-18, Cl TA | ||||||||
2.000%, 10/20/2044 | 272 | 254 | ||||||
GNMA, Ser 2016-23, Cl CI, IO | ||||||||
3.500%, 04/20/2042 | 647 | 42 | ||||||
GNMA, Ser 2016-42, Cl EI, IO | ||||||||
6.000%, 02/20/2046 | 286 | 41 | ||||||
GNMA, Ser 2016-49, Cl PZ | ||||||||
3.000%, 11/16/2045 | 232 | 208 | ||||||
GNMA, Ser 2016-99, Cl LI, IO | ||||||||
4.000%, 05/20/2029 | 660 | 33 | ||||||
GNMA, Ser 2017-107, Cl JI, IO | ||||||||
4.000%, 03/20/2047 | 415 | 61 | ||||||
GNMA, Ser 2017-130, Cl IO, IO | ||||||||
4.500%, 02/20/2040 | 185 | 30 | ||||||
GNMA, Ser 2017-134, Cl BI, IO | ||||||||
5.000%, 09/16/2047 | 115 | 23 | ||||||
GNMA, Ser 2017-134, Cl CG | ||||||||
2.500%, 09/20/2047 | 80 | 71 | ||||||
GNMA, Ser 2017-163, Cl YA | ||||||||
2.500%, 11/20/2047 | 225 | 203 | ||||||
GNMA, Ser 2017-163, Cl BC | ||||||||
2.500%, 11/20/2047 | 231 | 206 | ||||||
GNMA, Ser 2017-182, Cl LZ | ||||||||
3.000%, 12/20/2047 | 142 | 122 | ||||||
GNMA, Ser 2017-19, Cl AY | ||||||||
3.000%, 02/20/2047 | 436 | 415 | ||||||
GNMA, Ser 2017-2, Cl AI, IO | ||||||||
5.000%, 01/16/2047 | 221 | 46 | ||||||
GNMA, Ser 2017-26, Cl IA, IO | ||||||||
5.500%, 02/16/2047 | 337 | 57 | ||||||
GNMA, Ser 2018-1, Cl HB | ||||||||
2.500%, 01/20/2048 | 228 | 209 | ||||||
GNMA, Ser 2018-72, Cl ID, IO | ||||||||
4.500%, 08/20/2045 | 258 | 45 | ||||||
GNMA, Ser 2018-77, Cl JY | ||||||||
3.500%, 06/20/2048 | 246 | 240 | ||||||
GNMA, Ser 2019-43, Cl IA, IO | ||||||||
4.500%, 05/20/2048 | 156 | 23 | ||||||
GNMA, Ser 2020-115, Cl YA | ||||||||
1.000%, 08/20/2050 | 64 | 54 | ||||||
GNMA, Ser 2020-138, Cl LE | ||||||||
1.500%, 09/20/2050 | 190 | 164 | ||||||
GNMA, Ser 2020-146, Cl YK | ||||||||
1.000%, 10/20/2050 | 243 | 197 | ||||||
GNMA, Ser 2020-17, Cl EI, IO | ||||||||
5.000%, 02/20/2050 | 198 | 39 |
Description | Face Amount (Thousands) | Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2020-74, Cl IC, IO | ||||||||
3.000%, 05/20/2035 | $ | 689 | $ | 43 | ||||
59,220 | ||||||||
Non-Agency Mortgage-Backed Obligations — 0.8% |
| |||||||
Seasoned Credit Risk Transfer Trust, Ser 2018-2, Cl MA | ||||||||
3.500%, 11/25/2057 | 294 | 293 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2019-3, Cl MT | ||||||||
3.500%, 10/25/2058 | 214 | 210 | ||||||
503 | ||||||||
Total Mortgage-Backed Securities |
| 59,723 | ||||||
REPURCHASE AGREEMENT — 0.2% |
| |||||||
BNP Paribas | ||||||||
0.280%, dated 04/29/2022 to be repurchased on 05/02/2022, repurchase price $100,002 (collateralized by U.S. Government obligations, ranging in par value $1,000 – 120,771, 2.000% – 3.000%, 03/01/2037 – 11/01/2051; with total market value $102,000) (D) | 100 | 100 | ||||||
Total Repurchase Agreement | 100 | |||||||
Total Investments in Securities — 100.2% | $ | 59,823 | ||||||
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |
3 |
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022
GNMA Fund (Concluded)
A list of the open futures contracts held by the Fund at April 30, 2022, is as follows:
Type of Contract | Number of Contracts | Expiration Date | Notional Amount (Thousands) | Value (Thousands) | Unrealized Appreciation/ (Depreciation) (Thousands) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
U.S. 2-Year Treasury Note | 7 | Jun-2022 | $ | 1,483 | $ | 1,476 | $ | (7) | ||||||||||||
U.S. 5-Year Treasury Note | 15 | Jun-2022 | 1,766 | 1,690 | (75) | |||||||||||||||
U.S. 10-Year Treasury Note | 2 | Jun-2022 | 238 | 238 | – | |||||||||||||||
U.S. Long Treasury Bond | 1 | Jun-2022 | 154 | 141 | (14) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 3,641 | $ | 3,545 | $ | (96) | |||||||||||||||
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $59,704 ($ 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) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(D) Tri-Party Repurchase Agreement.
Cl — Class
FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
IO — Interest Only — face amount represents notional amount
PO — Principal Only
REMIC — Real Estate Mortgage Investment Conduit
Ser — Series
TBA — To Be Announced
The following is a summary of the level of inputs used as of April 30, 2022, 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 | – | 59,723 | – | 59,723 | ||||||||||||||||
Repurchase Agreement | – | 100 | – | 100 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Total Investments in Securities | – | 59,823 | – | 59,823 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Other Financial Instruments | Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | ||||||||||||||||
Futures Contracts* | ||||||||||||||||||||
Unrealized Appreciation | – | – | – | – | ||||||||||||||||
Unrealized Depreciation | (96) | – | – | (96) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Total Other Financial Instruments | (96) | – | – | (96) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.
Amounts designated as “—” are $0 or have been rounded to $0.
For information regarding the Fund’s policy regarding valuation of investments and other accounting policies, please refer to the Fund’s most recent semi-annual and annual financial statements.
4 |
SEI Daily Income Trust / Quarterly Report / April 30, 2022 |