UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
--------
FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-03451
SEI DAILY INCOME TRUST
(Exact name of registrant as specified in charter)
--------
101 Federal Street
Boston, MA 02110
(Address of principal executive offices) (Zip code)
SEI Investments Distribution Co.
Oaks, PA 19456
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: JANUARY 31, 2004
DATE OF REPORTING PERIOD: JANUARY 31, 2004
ITEM 1. REPORTS TO STOCKHOLDERS.
[Background Graphic Omitted]
[Logo of SEI INVESTMENTS OMITTED]
Annual Report as of January 31, 2004
SEI Daily Income Trust
Money Market Fund
Government Fund
Government II Fund
Prime Obligation Fund
Treasury Fund
Treasury II Fund
Short-Duration Government Fund
Intermediate-Duration Government Fund
GNMA Fund
Corporate Daily Income Fund
TABLE OF CONTENTS
- ------------------------------------------------------------
Letter to Shareholders 1
- ------------------------------------------------------------
Management's Discussion and Analysis of Fund Performance 2
- ------------------------------------------------------------
Report of Independent Auditors 6
- ------------------------------------------------------------
Statements of Net Assets 7
- ------------------------------------------------------------
Statements of Operations 34
- ------------------------------------------------------------
Statements of Changes in Net Assets 36
- ------------------------------------------------------------
Financial Highlights 40
- ------------------------------------------------------------
Notes to Financial Statements 45
- ------------------------------------------------------------
Trustees and Officers of the Trust 50
- ------------------------------------------------------------
Notice to Shareholders 53
- ------------------------------------------------------------
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to the Trust's portfolio securities is available
(i) without charge, upon request, by calling 1-800-342-5734; and (ii) on the
U.S. Securities and Exchange Commission's website at http://www.sec.gov.
SEI DAILY INCOME TRUST -- JANUARY 31, 2004
Letter to Shareholders
TO OUR SHAREHOLDERS:
Financial markets turned the corner during the fiscal year ended January 2004.
The Federal Reserve remained dedicated to providing an accommodative policy
throughout the year. Specifically, the Fed cut its target rate by 25 basis
points in June to a 45-year low of 1%. Despite growing momentum of the economic
recovery, the Fed stressed that rates would remain historically low until
inflation increased and substantial, consistent job growth was realized.
Improved corporate balance sheets and increased investor demand for credit risk
amid the economic rebound helped, in part, to buoy the price of corporate
funding using commercial paper and other corporate obligations. In particular,
the spread between agency discount notes and commercial paper changed late in
the period, making commercial paper appear more attractive. Floating rate notes
were also found in the limelight during the recent market environment, with
these issues generally offering more yield than fixed-rate investments for a
similar time period.
As the Federal Reserve pushed short-term rates to their lowest levels in nearly
five decades, investments in money market funds decreased over the course of the
fiscal year.
We thank you for your continued confidence in the SEI Daily Income Trust, and we
look forward to serving your investment needs in the future.
Sincerely,
/s/ Edward D. Loughlin
Edward D. Loughlin
President
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 1
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2004
Short-Duration Government Fund
WELLINGTON MANAGEMENT COMPANY, LLP, INVESTMENT ADVISER
FISCAL YEAR ENDED 1/31/04
Objectives
The Short-Duration Government Fund (the "Fund") seeks to preserve principal
value and maintain liquidity while providing current income. The Fund invests in
securities issued by the U.S. Government and backed by its full faith and
credit, and securities issued by U.S. Government agencies. The weighted average
maturity of the Fund is approximately three years. The Fund seeks to provide a
higher level of sustainable income and total return than money market
investments, with limited principal fluctuations.
Strategy
The Fund's weighted average maturity will be managed to take advantage of
anticipated changes in interest rates. The distribution of maturities for
individual securities will also be managed to take advantage of expected changes
in the yield curve. Treasury and agency securities will form the core of the
Fund, and agency-backed mortgage securities will be utilized when their yields
are judged to be attractive relative to those of Treasuries and agencies.
Market Overview
The bond market produced the fourth consecutive year of positive returns in
2003, despite marginally higher interest rates and a roller-coaster ride of
geopolitical and economic milestones. The first half of the year witnessed a
significant decrease in interest rates due to a stumbling economy, rising
unemployment, and uncertainty surrounding the buildup and aftermath of the war
in Iraq. In addition, the Federal Reserve further fueled the rally by utilizing
fairly heated rhetoric to highlight the economic perils of a potential
deflationary threat. Bond investors responded by driving interest rates to
historic lows on market expectations for further easing of monetary policy. This
trend was dramatically reversed mid-year, however, as bond investors initiated a
full-scale re-evaluation of economic expectations, as the Fed delivered a
less-than-anticipated 25 basis-point rate cut and noticeably reduced
deflationary concerns. Over the balance of the year, continued nervousness about
stubborn job growth and the increased demand for U.S. government holdings from
foreign investors finally lent some solace to the market, and rates settled
down. By year's end and through the first month of 2004, the market finally
started to see tangible evidence of the long-awaited economic recovery, as
accommodative fiscal and monetary policy, combined with unflagging consumer
spending, produced robust GDP.
Analysis
For the fiscal year ended January 31, 2004, the Short-Duration Government Fund,
Class A posted a 1.55% return compared to a 2.12% return for its benchmark, the
Merrill Lynch 1-3 Year U.S. Treasury Bond Index. The Fund's performance was
negatively affected by the increase in interest rates for the period. Yields on
two and five year Treasury notes rose 11 and 21 basis points, respectively, as
the economic recovery eventually took hold. The Fund's flattening yield curve
posture was also marginally detrimental to performance later in the period, as
the Fed anchored short term rates to the 1% Fed funds rate and forced the yield
curve to remain historically steep. Positive performance was derived from the
off-benchmark allocations to Agency debentures, which provided the Fund with
incremental yield even as negative headline risk associated with accounting
restatements at Freddie Mac and Fannie Mae contributed to volatility in the
market. Additionally, exposure to the mortgage sector enhanced performance, as
security selection emphasized 15-year mortgages and well-structured securities
that were less sensitive to prepayments.
Short-Duration Government Fund
AVERAGE ANNUAL TOTAL RETURN(1)
- -------------------------------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
- -------------------------------------------------------------------------------------------------------
Short-Duration
Government Fund, Class A 1.55% 4.35% 4.86% 5.36% 6.16%
- -------------------------------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the Short-Duration
Government Fund, Class A, versus the Merrill Lynch 1-3 Year U.S. Treasury Bond
Index
[LINE GRAPH OMITTED]
EDGAR Representation of Data Used in Printed
Graphic as Follows:
Short-Duration Merrill Lynch 1-3 Year
Government Fund, U.S. Treasury Bond
Class A Index
1/31/94 $10,000 $10,000
1/31/95 $10,093 $10,132
1/31/96 $11,130 $11,185
1/31/97 $11,644 $11,697
1/31/98 $12,486 $12,538
1/31/99 $13,296 $13,339
1/31/00 $13,591 $13,689
1/31/01 $14,833 $14,974
1/31/02 $15,765 $16,049
1/31/03 $16,599 $16,937
1/31/04 $16,856 $17,296
1 For the periods ended January 31, 2004. Past performance is not predictive of
future performance. Class A shares were offered beginning 2/17/87. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares.
- --------------------------------------------------------------------------------
2 SEI Daily Income Trust / Annual Report / January 31, 2004
Intermediate-Duration Government Fund
WELLINGTON MANAGEMENT COMPANY, LLP, INVESTMENT ADVISER
FISCAL YEAR ENDED 1/31/04
Objectives
The Intermediate-Duration Government Fund (the "Fund") seeks to preserve
principal value and maintain liquidity while providing current income. The Fund
invests in securities issued by the U.S. Government and backed by its full faith
and credit and securities issued by U.S. Government agencies. The weighted
average maturity of the Fund is three to five years. The Fund seeks to provide a
higher level of sustainable income and total return than money market
investments, with limited principal fluctuations.
Strategy
The Fund's weighted average maturity will be managed to take advantage of
anticipated changes in interest rates. The distribution of maturities for
individual securities will also be managed to take advantage of expected changes
in the yield curve. The Fund focuses on Treasury and agency securities, and
agency mortgage-backed securities will be utilized when their prospects for
enhancing income and total return are judged to be attractive.
Market Overview
The bond market produced the fourth consecutive year of positive returns in
2003, despite marginally higher interest rates and a roller-coaster ride of
geopolitical and economic milestones. The first half of the year witnessed a
significant decrease in interest rates due to a stumbling economy, rising
unemployment, and uncertainty surrounding the buildup and aftermath of the war
in Iraq. In addition, the Federal Reserve further fueled the rally by utilizing
fairly heated rhetoric to highlight the economic perils of a potential
deflationary threat. Bond investors responded by driving interest rates to
historic lows on market expectations for further easing of monetary policy. This
trend was dramatically reversed mid-year, however, as bond investors initiated a
full-scale re-evaluation of economic expectations, as the Fed delivered a
less-than-anticipated 25 basis-point rate cut and noticeably reduced
deflationary concerns. Over the balance of the year, continued nervousness about
stubborn job growth and the increased demand for U.S. government holdings from
foreign investors finally lent some solace to the market, and rates settled
down. By year's end and through the first month of 2004, the market finally
started to see tangible evidence of the long-awaited economic recovery, as
accommodative fiscal and monetary policy, combined with unflagging consumer
spending, produced robust GDP.
Analysis
For the fiscal year ended January 31, 2004, the Intermediate-Duration Government
Fund, Class A posted a return of 2.98% versus the 3.52% return of its benchmark,
the Merrill Lynch 3-5 Year U.S. Treasury Bond Index. While the Fund experienced
positive performance for the year, it proved to be a very difficult environment
for intermediate-term securities due to interest rate swings and steepening of
the yield curve. The Fund was rewarded in the beginning of the period by its
exposure to mortgage-backed securities, as the sector saw strong investor
demand, especially from commercial banks. Additionally, the selection of 15-year
mortgage securities issued by FNMA and FHLMC provided incremental yield as well
amid better prepayment protection from the decline in interest rates early in
2003. However, the increase in interest rates toward the end of the year,
particularly in the 5-year maturity of the yield curve, detracted from
performance, as Treasury yields increased by 50 basis points. The widening of
swap spreads during this time also proved to be detrimental to performance while
off-benchmark allocations to agency debentures added to performance for the
period, providing additional yield for the portfolio.
Intermediate-Duration Government Fund
AVERAGE ANNUAL TOTAL RETURN(1)
- -------------------------------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
- -------------------------------------------------------------------------------------------------------
Intermediate-Duration
Government Fund, Class A 2.98% 6.40% 6.09% 6.15% 7.02%
- -------------------------------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the
Intermediate-Duration Government Fund, Class A, versus the Merrill Lynch 3-5
Year U.S. Treasury Bond Index
[LINE GRAPH OMITTED]
EDGAR Representation of Data Used in Printed
Graphic as Follows:
Intermediate-Duration Merrill Lynch 3-5 Year
Government Fund, U.S. Treasury Bond
Class A Index
1/31/94 $10,000 $10,000
1/31/95 $ 9,782 $ 9,795
1/31/96 $11,210 $11,280
1/31/97 $11,525 $11,612
1/31/98 $12,580 $12,690
1/31/99 $13,518 $13,709
1/31/00 $13,414 $13,563
1/31/01 $15,080 $15,303
1/31/02 $16,164 $16,467
1/31/03 $17,639 $18,183
1/31/04 $18,164 $18,823
1 For the periods ended January 31, 2004. Past performance is not predictive of
future performance. Class A shares were offered beginning 2/17/87. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 3
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2004
GNMA Fund
WELLINGTON MANAGEMENT COMPANY, LLP, INVESTMENT ADVISER
FISCAL YEAR ENDED 1/31/04
Objectives
The GNMA Fund (the "Fund") seeks to preserve principal value and maintain a high
degree of liquidity while providing current income. The Fund invests primarily
in mortgage-backed securities issued by the Government National Mortgage
Association and backed by the full faith and credit of the U.S. Government.
Strategy
The Fund's investment strategy emphasizes the distribution of security coupon
rates, the weighted average coupon rate, and the selection of appropriate
underlying mortgage types. The selection of coupon rates affects the sensitivity
of the Fund to changes in reinvestment risk associated with loan prepayment. The
Fund will therefore tend to purchase somewhat lower coupons when interest rates
are expected to fall, and somewhat higher coupons when interest rates are
expected to be stable or rising.
Market Overview
The bond market produced the fourth consecutive year of positive returns in
2003, despite marginally higher interest rates and a roller-coaster ride of
geopolitical and economic milestones. The first half of the year witnessed a
significant decrease in interest rates due to a stumbling economy, rising
unemployment, and uncertainty surrounding the buildup and aftermath of the war
in Iraq. In addition, the Federal Reserve further fueled the rally by utilizing
fairly heated rhetoric to highlight the economic perils of a potential
deflationary threat. Bond investors responded by driving interest rates to
historic lows on market expectations for further easing of monetary policy. This
trend was dramatically reversed mid-year, however, as bond investors initiated a
full-scale re-evaluation of economic expectations, as the Fed delivered a
less-than-anticipated 25 basis-point rate cut and noticeably reduced
deflationary concerns. Over the balance of the year, continued nervousness about
stubborn job growth and the increased demand for U.S. government holdings from
foreign investors finally lent some solace to the market, and rates settled
down. By year's end and through the first month of 2004, the market finally
started to see tangible evidence of the long-awaited economic recovery, as
accommodative fiscal and monetary policy, combined with unflagging consumer
spending, produced robust GDP.
Mortgage-backed securities generally underperformed most other fixed income
sectors for the period, despite a significant rebound in performance in the
final months of the fiscal period. The record-setting decline in interest rates
during the first half of 2003 prompted massive consumer refinancing activity,
while the increase in volatility due to the summer spike in rates proved to be a
difficult environment for the sector. In the later part of 2003 and early 2004,
the mortgage market provided incremental return, as interest rates somewhat
stabilized and investor demand held steady.
Analysis
For the fiscal year ended January 31, 2004, the GNMA Fund posted a net return of
2.16%, slightly underperforming the Citigroup 30-Year GNMA Index (previously
named Salomon 30-Year GNMA Index), which posted a 3.12% net return. Throughout
the period, the GNMA Fund benefited from a concentration in seasoned GNMA
mortgage pools, holdings in 15 year mortgage-backed securities, and
off-benchmark allocations to FNMA Delegated Underwriting and Servicing bonds.
Mortgage-backed securities experienced periods of extreme volatility throughout
the period, as interest rates dramatically fell in the first half of 2003 and
consumers refinanced their mortgage loans at a record pace. By investing in the
older seasoned loans and securities that were less interest rate sensitive, the
Fund was better insulated from this dramatic rate decline and the accompanying
escalation of prepayments. However, the spike in interest rates during the
summer months wreaked havoc with the overall mortgage market, causing duration
to lengthen and the market to become even more sensitive to changes in interest
rates. The Fund was also detrimentally affected by these swings in rates.
However, while the tactical duration positioning of the portfolio detracted from
performance during this time frame, it was offset by incremental return as the
mortgage market stabilized later in the year.
GNMA Fund
AVERAGE ANNUAL TOTAL RETURN(1)
- -------------------------------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
- -------------------------------------------------------------------------------------------------------
GNMA Fund, Class A 2.16% 5.67% 5.76% 6.16% 7.34%
- -------------------------------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the GNMA Fund,
Class A, versus the Citigroup 30-Year GNMA Index
[LINE GRAPH OMITTED]
EDGAR Representation of Data Used in Printed
Graphic as Follows:
GNMA Fund, Citigroup 30-Year
Class A GNMA Index
1/31/94 $10,000 $10,000
1/31/95 $ 9,754 $ 9,999
1/31/96 $11,223 $11,536
1/31/97 $11,750 $12,201
1/31/98 $12,869 $13,339
1/31/99 $13,739 $14,230
1/31/00 $13,577 $14,299
1/31/01 $15,402 $16,291
1/31/02 $16,514 $17,541
1/31/03 $17,790 $18,921
1/31/04 $18,174 $19,512
1 For the periods ended January 31, 2004. Past performance is not predictive of
future performance. Class A shares were offered beginning 3/20/87. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares.
- --------------------------------------------------------------------------------
4 SEI Daily Income Trust / Annual Report / January 31, 2004
Corporate Daily Income Fund
WELLINGTON MANAGEMENT COMPANY, LLP, INVESTMENT ADVISER
FISCAL YEAR ENDED 1/31/04
Objectives
The Corporate Daily Income Fund (the "Fund") seeks to provide a higher current
income than typically offered by a money market fund while maintaining
liquidity. The Fund invests in U.S. Treasury and U.S. agency securities,
short-average-life mortgage-backed securities, and short term investment grade
securities of U.S. issuers. The duration of the Fund will range between six and
eighteen months.
Strategy
The Fund seeks to provide a return in excess of the Lehman Brothers 9-12 Month
Treasury Index and to manage risk through the adviser's use of sector
strategies, security selection and duration management. In determining the
average maturity and duration position of the Fund, the adviser considers the
shape of the yield curve, the extent of yield changes and the period of time
over which rates are likely to rise, fall or remain stable. Investment in
short-average-life mortgage-backed issues and short-term investment grade
securities is emphasized when relative spreads are attractive and incremental
yields serve to enhance total return.
Market Overview
The bond market produced the fourth consecutive year of positive returns in
2003, despite marginally higher interest rates and a roller-coaster ride of
geopolitical and economic milestones. The first half of the year witnessed a
significant decrease in interest rates due to a stumbling economy, rising
unemployment, and uncertainty surrounding the buildup and aftermath of the war
in Iraq. In addition, the Federal Reserve further fueled the rally by utilizing
fairly heated rhetoric to highlight the economic perils of a potential
deflationary threat. Bond investors responded by driving interest rates to
historic lows on market expectations for further easing of monetary policy. This
trend was dramatically reversed mid-year, however, as bond investors initiated a
full-scale re-evaluation of economic expectations, as the Fed delivered a
less-than-anticipated 25 basis-point rate cut and noticeably reduced
deflationary concerns. Over the balance of the year, continued nervousness about
stubborn job growth and the increased demand for U.S. government holdings from
foreign investors finally lent some solace to the market, and rates settled
down. By year's end and through the first month of 2004, the market finally
started to see tangible evidence of the long awaited economic recovery, as
accommodative fiscal and monetary policy, combined with unflagging consumer
spending, produced robust GDP.
Analysis
For the fiscal year ended January 31, 2004, the Corporate Daily Income Fund
returned 1.61% and outperformed the Lehman Brothers 9-12 Month Treasury Index by
14 basis points. The Fund's allocation to the credit sector substantially added
to performance, as spreads tightened due to improved corporate profitability and
a rebound in economic growth. Investments in higher-yielding mortgage-backed and
asset-backed securities also enhanced performance, as both of these sectors
outperformed duration-equivalent treasuries for the period.
Corporate Daily Income Fund
AVERAGE ANNUAL TOTAL RETURN(1)
- -------------------------------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
- -------------------------------------------------------------------------------------------------------
Corporate Daily Income
Fund, Class A 1.61% 3.67% 4.63% 5.14% 5.08%
- -------------------------------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the Corporate Daily
Income Fund, Class A, versus the Lehman Brothers 9-12 Month Treasury Index
[LINE GRAPH OMITTED]
EDGAR Representation of Data Used in Printed
Graphic as Follows:
Corporate Daily Lehman Brothers
Income Fund, 9-12 Month Treasury
Class A Index
1/31/94 $10,000 $10,000
1/31/95 $10,259 $10,360
1/31/96 $11,146 $11,146
1/31/97 $11,727 $11,768
1/31/98 $12,465 $12,505
1/31/99 $13,164 $13,229
1/31/00 $13,660 $13,806
1/31/01 $14,815 $14,850
1/31/02 $15,715 $15,668
1/31/03 $16,242 $16,130
1/31/04 $16,503 $16,367
1 For the periods ended January 31, 2004. Past performance is no indication of
future performance. Class A shares were offered beginning 9/28/93. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 5
SEI DAILY INCOME TRUST -- JANUARY 31, 2004
Report of Independent Auditors
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF SEI DAILY INCOME TRUST:
We have audited the accompanying statements of net assets of SEI Daily Income
Trust (comprising, respectively, the Money Market Fund, Government Fund,
Government II Fund, Prime Obligation Fund, Treasury Fund, Treasury II Fund,
Short-Duration Government Fund, Intermediate-Duration Government Fund, GNMA
Fund, and Corporate Daily Income Fund) (the "Trust") as of January 31, 2004, and
the related statements of operations for the year then ended, the statements of
changes in net assets and the financial highlights for each of the two years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Trust's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits. The financial highlights for the periods presented through January 31,
2002 were audited by other auditors who have ceased operations and whose report
dated March 15, 2002 expressed an unqualified opinion on those financial
highlights.
We conducted our audits in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of January 31, 2004, by correspondence with
the custodian and brokers or by other appropriate auditing procedures where
replies from brokers were not received. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting the SEI Daily Income Trust, as of
January 31, 2004, the results of their operations for the year then ended, the
changes in their net assets and their financial highlights for each of the two
years in the period then ended, in conformity with accounting principles
generally accepted in the United States.
/s/ Ernst & Young LLP
Philadelphia, Pennsylvania
March 12, 2004
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6 SEI Daily Income Trust / Annual Report / January 31, 2004
STATEMENT OF NET ASSETS
Money Market Fund
January 31, 2004
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
CORPORATE BONDS -- 34.0%
ASSET BACKED - DIVERSIFIED OPERATIONS (E) -- 2.0%
Permanent Financing PLC,
Ser 2, Cl 1A (B)
1.070%, 02/10/04 $ 10,000 $ 10,000
Permanent Financing PLC,
Ser 3, Cl 1A (B)
1.070%, 02/10/04 10,000 10,000
----------
20,000
----------
ASSET BACKED - FINANCIAL SERVICES (E) -- 6.3%
Beta Finance Incorporated
MTN (F)
1.060%, 02/17/04 19,000 19,000
Links Finance LLC MTN (F)
1.100%, 02/09/04 10,000 10,000
Links Finance LLC MTN, Ser 1 (B) (F)
1.070%, 02/17/04 5,000 5,000
Premier Asset Collateralized Entity LLC
MTN (B) (F)
1.060%, 02/17/04 10,000 10,000
Sigma Finance Incorporated (B) (F)
1.080%, 04/13/04 5,000 4,999
Sigma Finance Incorporated MTN,
Ser 2 (B) (F)
1.060%, 02/17/04 10,000 10,000
White Pine Finance LLC MTN (B) (F)
1.070%, 02/20/04 5,000 5,000
----------
63,999
----------
ASSET BACKED - OTHER (E) -- 3.2%
CIT Equipment Collateral,
Ser 2003-VT1, Cl A1
1.208%, 06/21/04 965 965
GSTR, Ser 2002-2A, Cl A1MA (B) (F)
1.150%, 02/25/04 799 799
GSTR, Ser 2002-2A, Cl A1MB (B) (F)
1.160%, 02/25/04 699 699
Granite Mortgages, Ser 2004-1,
Cl 1A1 (B)
1.060%, 02/20/04 10,000 10,000
PNC Funding Corporation (B)
1.495%, 04/29/04 15,000 15,044
Residential Mortgage Securities,
Ser 15A, Cl A1 (B) (F)
1.150%, 02/09/04 4,731 4,731
----------
32,238
----------
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
BANKS -- 14.1%
Chase Manhattan Bank (B)
1.060%, 02/27/04 $ 10,000 $ 10,000
Citigroup Incorporated
5.700%, 02/06/04 5,000 5,003
Credit Agricole Indosuez of
New York (B)
1.082%, 03/31/04 15,000 14,999
FleetBoston Financial Corporation
MTN, Ser R (B)
1.450%, 02/20/04 25,000 25,002
JP Morgan Chase & Company
Incorporated MTN, Ser C1 (B)
1.285%, 02/05/04 8,000 8,000
Key Bank N.A. (B)
1.050%, 02/12/04 25,000 25,000
Suntrust Bank (B)
1.080%, 02/05/04 14,000 14,004
Wells Fargo Bank N.A. (B)
1.060%, 02/06/04 to 03/09/04 27,000 26,999
Westdeutsche Landesbank (B)
1.050%, 02/20/04 15,000 14,999
----------
144,006
----------
FINANCIAL SERVICES -- 6.4%
American Express Centurion (B)
1.090%, 02/24/04 20,000 20,000
CC USA Incorporated, MTN (B) (F)
1.055%, 02/17/04 10,000 10,000
Household Finance Corporation,
MTN (B)
1.171%, 02/18/04 25,000 25,000
Sigma Finance Incorporated
MTN (B) (F)
1.080%, 02/10/04 10,000 9,999
----------
64,999
----------
INVESTMENT BANKER/BROKER DEALER -- 2.0%
Goldman Sachs Group Incorporated
1.150%, 02/12/04 15,000 15,000
Merrill Lynch & Company
Incorporated MTN, Ser B (B)
1.070%, 02/13/04 5,000 5,000
----------
20,000
----------
Total Corporate Bonds
(Cost $345,242) 345,242
----------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 7
STATEMENT OF NET ASSETS
Money Market Fund (Continued)
January 31, 2004
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 24.4%
FHLB
1.500%, 12/07/04 $ 10,000 $ 10,000
1.400%, 02/25/05 10,000 10,000
FHLB (B)
1.085%, 03/15/04 25,000 24,995
FHLMC
5.250%, 02/15/04 6,505 6,515
FHLMC (A)
1.147%, 02/26/04 to 05/20/04 20,000 19,944
1.158%, 03/31/04 10,000 9,981
1.317%, 04/22/04 9,750 9,721
1.198%, 06/09/04 7,500 7,468
1.209%, 06/15/04 15,000 14,932
FHLMC (B)
1.060%, 03/01/04 25,000 24,992
1.145%, 03/09/04 15,000 15,000
1.190%, 04/21/04 10,000 10,000
FHLMC MTN (B)
1.090%, 05/01/04 15,000 14,996
FNMA
1.500%, 09/21/04 to 11/16/04 13,000 13,000
1.400%, 09/21/04 10,000 10,000
1.550%, 10/01/04 10,000 10,000
1.340%, 10/18/04 5,000 5,000
1.430%, 11/15/04 5,000 5,000
1.540%, 12/24/04 5,000 5,000
FNMA (A)
1.101%, 03/10/04 5,930 5,923
1.097%, 04/15/04 5,000 4,989
FNMA (B)
1.003%, 03/10/04 5,000 4,999
1.190%, 04/23/04 6,000 6,000
----------
Total U.S. Government Agency Obligations
(Cost $248,455) 248,455
----------
COMMERCIAL PAPER -- 12.8%
ASSET BACKED - AUTOMOTIVE (E) -- 2.4%
FCAR Owner Trust, Ser I (A)
1.042%, 03/15/04 25,000 24,969
----------
ASSET BACKED - CREDIT CARDS (E) -- 1.0%
Montauk Funding Corporation (A)
1.114%, 02/12/04 10,000 9,997
----------
ASSET BACKED - DIVERSIFIED OPERATIONS (E) -- 0.5%
Barton Capital Corporation (A)
1.200%, 05/20/04 5,000 4,982
----------
ASSET BACKED - FINANCIAL SERVICES (E) -- 1.0%
Sigma Finance Incorporated (A)
1.157%, 04/22/04 10,000 9,974
----------
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
ASSET BACKED - OTHER (E) -- 2.9%
CXC LLC (A)
1.157%, 05/14/04 $ 10,000 $ 9,967
Paradigm Funding LLC (A)
1.114%, 02/12/04 10,000 9,997
Scaldis Capital LLC (A)
1.093%, 03/15/04 10,000 9,987
----------
29,951
----------
BANKS -- 1.0%
HBOS Treasury Services (A)
1.104%, 02/12/04 10,000 9,997
FINANCIAL SERVICES -- 2.0%
Citigroup Global Markets (A)
1.032%, 03/15/04 10,000 9,987
General Electric Capital Services (A)
1.135%, 02/24/04 10,000 9,993
----------
19,980
----------
SPECIAL PURPOSE ENTITY -- 2.0%
Dexia Delaware LLC (A)
1.032%, 03/12/04 10,000 9,988
Societe Generale (A)
1.104%, 02/09/04 10,000 9,998
----------
19,986
----------
Total Commercial Paper
(Cost $129,836) 129,836
----------
CERTIFICATES OF DEPOSIT/EXTENDABLE
COMMERCIAL NOTES -- 15.0%
Barclays Bank PLC NY (B)
1.050%, 03/11/04 20,000 19,998
Comerica Bank (B)
1.080%, 02/12/04 25,000 25,000
Credit Suisse First Boston NY (B)
1.075%, 02/20/04 25,000 25,000
Discover Card Master Trust (A)
1.102%, 02/12/04 10,000 9,997
1.042%, 03/16/04 13,000 12,983
Leafs LLC (B)
1.110%, 02/20/04 10,000 10,000
MBNA Credit Card Master Trust (A)
1.102%, 02/10/04 15,000 14,996
1.113%, 02/26/04 10,000 9,992
Swedbank Securities Incorporated (B)
1.045%, 02/23/04 10,000 9,999
Wachovia Bank N.A. (B)
1.020%, 04/05/04 15,000 15,000
----------
Total Certificates of Deposit/
Extendable Commercial Notes
(Cost $152,965) 152,965
----------
- --------------------------------------------------------------------------------
8 SEI Daily Income Trust / Annual Report / January 31, 2004
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
INSURANCE FUNDING AGREEMENTS -- 3.9%
Metropolitan Life Insurance
Company (B) (C)
1.124%, 02/01/04 $ 30,000 $ 30,000
Monumental Life Insurance
Company (B) (C)
1.320%, 02/01/04 9,500 9,500
----------
Total Insurance Funding Agreements
(Cost $39,500) 39,500
----------
MUNICIPAL BONDS -- 1.6%
California State, Housing Finance
Authority, Ser K, RB, FSA (B)
1.070%, 02/04/04 16,250 16,250
----------
Total Municipal Bonds
(Cost $16,250) 16,250
----------
REPURCHASE AGREEMENT (D) -- 10.7%
Banque National de Paris
1.020%, dated 01/30/04, to be
repurchased on 02/02/04, repurchase
price $108,673,236 (collateralized
by U.S. Government Agency
Obligations, ranging in par value
$3,653,000-$80,431,000,
0.980%(A)-6.625%, 07/27/04-
09/15/09; with total market value
$110,837,347) 108,664 108,664
----------
Total Repurchase Agreement
(Cost $108,664) 108,664
----------
Total Investments -- 102.4%
(Cost $1,040,912) 1,040,912
----------
- --------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (2.4)%
Investment Advisory Fees Payable $ (19)
Administration Fees Payable (118)
Shareholder Servicing Fees Payable (179)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net (24,138)
----------
Total Other Assets and Liabilities (24,455)
----------
NET ASSETS:
Paid-in-Capital Class A
(unlimited authorization -- no par value)
based on 603,808,563 outstanding shares
of beneficial interest 603,800
Paid-in-Capital -- Class B
(unlimited authorization -- no par value)
based on 124,392,878 outstanding shares
of beneficial interest 124,393
Paid-in-Capital -- Class C
(unlimited authorization -- no par value)
based on 200,478,823 outstanding shares
of beneficial interest 200,479
Paid-in-Capital -- Sweep Class
(unlimited authorization -- no par value)
based on 87,789,859 outstanding shares
of beneficial interest 87,789
Accumulated net realized loss on investments (4)
----------
Total Net Assets -- 100.0% $1,016,457
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($603,798,180 / 603,808,563 shares) $1.00
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($124,400,924 / 124,392,878 shares) $1.00
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($200,466,999 / 200,478,823 shares) $1.00
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($87,791,058 / 87,789,859 shares) $1.00
==========
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 9
STATEMENT OF NET ASSETS
Money Market Fund (Concluded)
January 31, 2004
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
(A) The rate reported is the effective rate at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on January 31, 2004. The date shown is the earlier of
the reset date or the demand date.
(C) These obligations were acquired at a cost of par and were deemed illiquid
for the purposes of the Investment Company Act of 1940. On January 31, 2004,
the value of these securities amounted to approximately $39,500,000
representing 3.9% of the net assets of the Fund.
(D) Tri-Party Repurchase Agreement
(E) Securities are held in connection with a letter of credit issued by a major
bank.
(F) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors."
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
FSA -- Financial Security Assurance
LLC -- Limited Liability Company
MTN -- Medium Term Note
PLC -- Public Liability Company
RB -- Revenue Bond
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
10 SEI Daily Income Trust / Annual Report / January 31, 2004
Government Fund
January 31, 2004
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 37.4%
FFCB
1.250%, 11/24/04 $ 1,670 $ 1,669
FHLB
5.250%, 02/13/04 23,000 23,030
3.750%, 02/13/04 to 04/15/04 7,500 7,520
1.115%, 02/13/04 5,000 4,998
5.435%, 02/23/04 1,500 1,504
5.400%, 02/24/04 2,000 2,005
5.485%, 03/23/04 2,000 2,012
4.875%, 04/16/04 2,275 2,292
3.375%, 05/14/04 to 06/15/04 24,850 25,030
4.750%, 06/28/04 7,000 7,101
1.250%, 07/02/04 5,000 4,999
1.320%, 08/18/04 5,000 5,000
1.350%, 08/25/04 5,000 5,000
1.360%, 09/21/04 4,000 4,000
3.625%, 10/15/04 15,000 15,234
1.460%, 11/17/04 10,000 10,000
1.500%, 12/07/04 5,000 5,000
2.125%, 12/15/04 4,000 4,032
1.560%, 12/29/04 10,000 10,000
1.400%, 02/25/05 5,000 5,000
FHLB (A)
1.136%, 02/04/04 10,000 9,999
1.063%, 02/18/04 8,000 7,996
1.048%, 03/19/04 11,000 10,985
1.096%, 04/16/04 23,000 22,948
1.177%, 06/02/04 5,000 4,980
FHLB (B)
1.190%, 05/06/04 35,000 35,000
FHLMC (A)
1.084%, 02/04/04 18,000 17,998
FNMA
1.400%, 09/21/04 5,000 5,000
FNMA (A)
1.281%, 02/06/04 5,000 4,999
SLMA
4.750%, 04/23/04 5,000 5,039
--------
Total U.S. Government Agency Obligations
(Cost $270,370) 270,370
--------
U.S. TREASURY OBLIGATIONS -- 3.5%
U.S. Treasury Notes
2.250%, 07/31/04 10,000 10,058
1.500%, 02/28/05 15,000 15,032
--------
Total U.S. Treasury Obligations
(Cost $25,090) 25,090
--------
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) -- 64.5%
ABN Amro
1.020%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $170,014,450
(collateralized by U.S. Government
Agency Obligations, ranging in par
value $7,212,494-$49,542,273,
8.000%-10.000%, 12/01/21-
09/01/31; with total market value
$173,400,000) $170,000 $170,000
Barclays Bank
1.020%, dated 01/30/04, to be
repurchased on 02/02/04,
repurchase price $170,014,450
(collateralized by U.S. Government
Agency Obligations, ranging in par
value $24,456,000-$65,449,000,
5.375%-7.250%, 03/15/09-
05/15/30; with total market value
$173,400,889) 170,000 170,000
Deutsche Bank
1.030%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $30,002,575
(collateralized by a U.S. Government
Agency Obligation, par value
$26,433,000, 7.125%, 03/15/07;
with total market value
$30,600,341) 30,000 30,000
Goldman Sachs Group Incorporated
1.030%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $5,823,500
(collateralized by U.S. Government
Agency Obligations, ranging in par
value $1,035,000-$4,860,000,
0.980% (A)-4.000%, 02/26/04-
12/29/06; with total market value
$5,941,391) 5,823 5,823
JP Morgan Chase & Company Incorporated
1.010%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $30,002,525
(collateralized by a U.S. Government
Agency Obligation, ranging in par
value $391,000-$30,005,000,
5.125%-5.608% (A), 11/07/13-
06/01/17; with total market value
$30,602,966) 30,000 30,000
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 11
STATEMENT OF NET ASSETS
Government Fund (Concluded)
January 31, 2004
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
Merrill Lynch & Company Incorporated
1.010%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $30,002,525
(collateralized by U.S. Government
Agency Obligations, ranging in par
value $1,000-$17,880,000,
3.375%-5.850%, 02/02/04-
10/03/22; with total market value
$30,604,845) $ 30,000 $ 30,000
Morgan Stanley Dean Witter & Company
0.980%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $30,002,450
(collateralized by U.S. Government
Agency Obligations, ranging in par
value $391,000-$30,005,000,
5.125%-5.477%(A), 11/07/13-
06/01/17; with total market value
$30,602,966) 30,000 30,000
--------
Total Repurchase Agreements
(Cost $465,823) 465,823
--------
Total Investments -- 105.4%
(Cost $761,283) 761,283
--------
OTHER ASSETS AND LIABILITIES -- (5.4)%
Payable for Investment Securities Purchased (40,000)
Investment Advisory Fees Payable (14)
Administration Fees Payable (96)
Shareholder Servicing Fees Payable (128)
Trustees' Fees Payable (2)
Other Assets and Liabilities, Net 1,405
--------
Total Other Assets and Liabilities (38,835)
--------
- --------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 329,936,991 outstanding shares
of beneficial interest $329,937
Paid-in-Capital -- Class B
(unlimited authorization -- no par value)
based on 240,496,489 outstanding shares
of beneficial interest 240,497
Paid-in-Capital -- Class C
(unlimited authorization -- no par value)
based on 105,774,207 outstanding shares
of beneficial interest 105,774
Paid-in-Capital -- Sweep Class
(unlimited authorization -- no par value)
based on 46,254,868 outstanding shares
of beneficial interest 46,255
Accumulated net realized loss on investments (15)
--------
Total Net Assets -- 100.0% $722,448
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($329,939,704 / 329,936,991 shares) $1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($240,490,974 / 240,496,489 shares) $1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($105,763,410 / 105,774,207 shares) $1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($46,253,883 / 46,254,868 shares) $1.00
========
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on January 31, 2004. The date shown is the earlier of
the reset date or the demand date.
(C) Tri-Party Repurchase Agreement.
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
SLMA -- Student Loan Marketing Association
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12 SEI Daily Income Trust / Annual Report / January 31, 2004
Government II Fund
January 31, 2004
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 100.6%
FFCB
1.250%, 11/24/04 $ 2,000 $ 1,999
FFCB (A)
1.297%, 02/13/04 5,000 4,998
FHLB
5.250%, 02/13/04 8,500 8,511
3.750%, 02/13/04 to 04/15/04 12,000 12,019
4.875%, 04/16/04 2,000 2,015
3.375%, 05/14/04 to 06/15/04 8,000 8,062
1.320%, 08/18/04 3,000 3,000
1.360%, 09/21/04 6,000 6,000
1.430%, 12/01/04 10,000 10,000
1.500%, 12/07/04 10,000 10,000
3.875%, 12/15/04 5,000 5,116
1.560%, 12/29/04 5,000 5,000
1.400%, 02/25/05 5,000 5,000
FHLB (A)
1.023%, 02/04/04 43,688 43,684
0.977%, 02/06/04 31,460 31,456
1.048%, 02/13/04 to 03/19/04 235,346 235,213
0.975%, 02/18/04 133,855 133,793
1.022%, 02/20/04 to 02/25/04 72,141 72,095
1.033%, 03/12/04 16,938 16,919
1.085%, 03/17/04 31,747 31,704
1.043%, 03/24/04 to 03/26/04 29,578 29,532
1.037%, 03/31/04 45,000 44,924
1.024%, 04/12/04 70,000 69,859
1.096%, 04/16/04 5,000 4,989
1.126%, 04/28/04 3,230 3,221
1.080%, 06/02/04 1,423 1,418
1.065%, 06/11/04 1,160 1,155
FHLB (B)
1.190%, 03/01/05 15,000 15,000
FNMA
1.400%, 09/21/04 5,000 5,000
--------
Total U.S. Government Agency Obligations
(Cost $821,682) 821,682
--------
U.S. TREASURY OBLIGATIONS -- 1.8%
U.S. Treasury Notes
2.250%, 07/31/04 10,000 10,058
1.500%, 02/28/05 5,000 5,011
--------
Total U.S. Treasury Obligations
(Cost $15,069) 15,069
--------
Total Investments -- 102.4%
(Cost $836,751) 836,751
--------
- --------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (2.4)%
Investment Advisory Fees Payable $ (16)
Administration Fees Payable (89)
Shareholder Servicing Fees Payable (70)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net (19,749)
--------
Total Other Assets and Liabilities (19,925)
--------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 569,007,399 outstanding shares
of beneficial interest 569,015
Paid-in-Capital -- Class B
(unlimited authorization -- no par value)
based on 201,076,681 outstanding shares
of beneficial interest 201,077
Paid-in-Capital -- Class C
(unlimited authorization -- no par value)
based on 46,844,041 outstanding shares
of beneficial interest 46,844
Accumulated net realized loss on investments (110)
--------
Total Net Assets -- 100.0% $816,826
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($568,888,431 / 569,007,399 shares) $1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($201,084,829 / 201,076,681 shares) $1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($46,852,460 / 46,844,041 shares) $1.00
========
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on January 31, 2004. The date shown is the earlier of
the reset date or the demand date.
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
FNMA -- Federal National Mortgage Association
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 13
STATEMENT OF NET ASSETS
Prime Obligation Fund
January 31, 2004
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 26.8%
FHLB
1.250%, 03/03/04 $ 13,050 $ 13,049
3.750%, 04/15/04 23,225 23,348
4.875%, 04/16/04 28,000 28,210
3.375%, 06/15/04 20,000 20,169
1.400%, 02/25/05 20,000 20,000
FHLB (A)
1.177%, 06/02/04 50,000 49,802
FHLB (B)
1.085%, 03/15/04 50,000 49,990
1.190%, 05/06/04 50,000 50,000
FHLMC MTN
1.170%, 08/20/04 20,000 20,000
FHLMC (A)
1.147%, 02/26/04 to 05/20/04 40,000 39,902
1.106%, 03/04/04 13,835 13,821
1.076%, 03/25/04 25,000 24,961
1.158%, 03/31/04 70,000 69,868
1.003%, 04/13/04 50,000 49,900
1.317%, 04/22/04 15,000 14,956
1.087%, 07/15/04 10,000 9,951
FHLMC MTN (B)
1.060%, 03/01/04 65,000 64,980
1.145%, 03/09/04 50,000 50,000
1.190%, 04/21/04 50,000 50,000
1.090%, 05/01/04 60,000 59,982
FNMA
5.125%, 02/13/04 38,954 39,003
1.060%, 07/20/04 21,000 20,982
6.500%, 08/15/04 40,000 41,125
1.500%, 09/21/04 to 11/16/04 20,000 20,000
1.400%, 09/21/04 25,000 25,000
1.550%, 10/01/04 15,000 15,000
1.340%, 10/18/04 15,000 15,000
1.430%, 11/15/04 25,000 25,000
1.540%, 12/24/04 15,000 15,000
FNMA (A)
1.281%, 02/06/04 25,000 24,996
1.084%, 02/24/04 50,000 49,966
1.097%, 04/15/04 35,000 34,922
1.141%, 05/12/04 25,000 24,920
1.417%, 11/12/04 40,000 39,557
FNMA (B)
1.040%, 02/18/04 25,000 25,000
1.002%, 03/10/04 15,000 14,996
0.995%, 03/17/04 30,000 29,991
1.190%, 04/23/04 30,000 30,000
1.020%, 04/28/04 50,000 49,985
SLMA
4.750%, 04/23/04 10,000 10,077
----------
Total U.S. Government Agency Obligations
(Cost $1,273,409) 1,273,409
----------
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
CORPORATE BONDS -- 23.4%
ASSET BACKED - AUTOMOTIVE (E) -- 0.5%
Nissan Auto Lease Trust,
Ser 2003-A, Cl A1
1.165%, 10/15/04 $ 2,786 $ 2,786
Volkswagen Auto Loan Enhanced Trust,
Ser 2003-2, Cl A1
1.145%, 11/19/04 13,363 13,363
Whole Auto Loan Trust,
Ser 2003-1, Cl A1
1.100%, 09/15/04 7,085 7,085
----------
23,234
----------
ASSET BACKED - FINANCIAL SERVICES (E) -- 8.1%
Beta Finance Incorporated MTN (F)
1.060%, 02/17/04 30,000 30,000
1.055%, 02/17/04 (B) 10,000 9,999
K2 (USA) LLC MTN (B) (F)
1.070%, 02/10/04 20,000 19,999
1.065%, 02/20/04 25,000 24,999
Links Finance Incorporated
MTN (B) (F)
1.070%, 02/10/04 to 02/25/04 35,000 35,000
Links Finance LLC MTN (B) (F)
1.100%, 02/09/04 25,000 25,000
Links Finance LLC MTN, Ser 1 (B) (F)
1.070%, 02/17/04 45,000 44,999
Premier Asset Collateralized Entity LLC
MTN (B) (F)
1.060%, 02/17/04 25,000 25,000
Sigma Finance Incorporated
MTN (B) (F)
1.080%, 02/10/04 to 04/13/04 35,000 34,996
1.070%, 02/10/04 20,000 19,998
1.065%, 02/17/04 35,000 34,999
Sigma Finance Incorporated MTN,
Ser 2 (B) (F)
1.060%, 02/17/04 40,000 39,998
Tango Finance Corporation MTN (B) (F)
1.070%, 02/27/04 40,000 40,000
----------
384,987
----------
ASSET BACKED - OTHER (E) -- 0.2%
CIT Equipment Collateral,
Ser 2003-VT1, Cl A1
1.208%, 06/21/04 1,931 1,931
CNH Equipment Trust,
Ser 2003-A, Cl A1
1.262%, 06/11/04 2,607 2,607
GSTR, Ser 2002-2A, Cl A1MA (B) (F)
1.150%, 02/25/04 2,995 2,995
GSTR, Ser 2002-2A, Cl A1MB (B) (F)
1.160%, 02/25/04 2,496 2,496
----------
10,029
----------
- --------------------------------------------------------------------------------
14 SEI Daily Income Trust / Annual Report / January 31, 2004
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
BANKS -- 10.2%
Citigroup Global Markets
7.200%, 02/01/04 $ 16,000 $ 16,000
Citigroup Incorporated
5.700%, 02/06/04 15,000 15,009
FleetBoston Financial Corporation
MTN, Ser R (B)
1.450%, 02/20/04 100,000 100,007
JP Morgan Chase & Company
Incorporated MTN, Ser C (B)
1.340%, 02/20/04 100,000 100,063
JP Morgan Chase & Company
Incorporated MTN, Ser C1 (B)
1.285%, 02/05/04 28,000 28,000
Key Bank N.A. (B)
1.050%, 02/12/04 75,000 75,000
PNC Funding Corporation (B)
1.495%, 04/29/04 50,000 50,146
Wells Fargo Bank N.A.
1.060%, 02/06/04 50,000 49,999
1.060%, 02/09/04 (B) 50,000 49,999
----------
484,223
----------
FINANCIAL SERVICES -- 1.1%
American Express Centurion (B)
1.090%, 02/24/04 50,000 50,000
----------
INVESTMENT BANKER/BROKER DEALER -- 3.3%
Goldman Sachs Group Incorporated
1.150%, 02/12/04 55,000 55,000
1.140%, 02/20/04 10,000 10,000
1.080%, 02/20/04 (B) 45,000 45,000
Merrill Lynch & Company
Incorporated MTN, Ser B (B)
1.070%, 02/13/04 20,000 20,000
Morgan Stanley Dean Witter &
Company MTN (B)
1.462%, 02/02/04 12,500 12,500
Morgan Stanley Dean Witter &
Company MTN, Ser C (B)
1.480%, 02/17/04 15,000 15,014
----------
157,514
----------
Total Corporate Bonds
(Cost $1,109,987) 1,109,987
----------
COMMERCIAL PAPER -- 19.2%
ASSET BACKED - AUTOMOTIVE (E) -- 0.8%
FCAR Owner Trust, Ser I (A)
1.042%, 03/15/04 40,000 39,950
----------
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
ASSET BACKED - DIVERSIFIED OPERATIONS (E) -- 10.8%
Aspen Funding Corporation (A)
1.104%, 02/27/04 $ 50,000 $ 49,960
Barton Capital Corporation (A)
1.200%, 05/20/04 22,283 22,203
CRC Funding LLC (A)
1.032%, 03/09/04 50,000 49,947
Cafco LLC (A)
1.032%, 03/18/04 48,900 48,836
Charta Corporation (A)
1.082%, 02/10/04 50,000 49,986
Eiffel Funding LLC (A)
1.124%, 02/12/04 15,000 14,995
Galaxy Funding Incorporated (A)
1.093%, 03/24/04 50,000 49,921
Mane Funding Corporation (A)
1.124%, 02/12/04 15,000 14,995
Market Street Funding (A)
1.032%, 03/11/04 25,000 24,972
Moat Funding LLC (A)
1.093%, 03/11/04 100,000 99,882
Newport Funding Corporation (A)
1.082%, 02/09/04 60,000 59,986
1.042%, 03/11/04 25,000 24,972
----------
510,655
----------
ASSET BACKED - FINANCIAL SERVICES (E) -- 2.4%
Giro Balanced Funding Corporation (A)
1.103%, 03/05/04 36,376 36,339
1.042%, 03/10/04 50,000 49,945
Sigma Finance Incorporated (A)
1.157%, 04/22/04 30,000 29,923
----------
116,207
----------
ASSET BACKED - OTHER -- 1.1%
Fairway Finance Corporation (A)
1.083%, 03/15/04 51,796 51,729
----------
FINANCIAL SERVICES -- 4.1%
Citigroup Global Markets (A)
1.032%, 03/15/04 30,000 29,963
General Electric Capital Corporation (A)
1.103%, 02/26/04 42,000 41,968
1.188%, 05/05/04 50,000 49,846
General Electric Capital International
Funding (A)
1.103%, 02/12/04 15,000 14,995
1.042%, 03/23/04 25,566 25,528
General Electric Capital Services (A)
1.135%, 02/24/04 30,000 29,978
----------
192,278
----------
Total Commercial Paper
(Cost $910,819) 910,819
----------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 15
STATEMENT OF NET ASSETS
Prime Obligation Fund (Concluded)
January 31, 2004
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
CERTIFICATES OF DEPOSIT/EXTENDABLE
COMMERCIAL NOTES -- 12.5%
Citibank Credit Card Master Trust (A)
1.042%, 03/11/04 $ 42,000 $ 41,953
Citibank N.A.
1.084%, 03/19/04 75,000 75,000
Comerica Bank (B)
1.080%, 02/12/04 75,000 75,000
Discover Card Master Trust (A)
1.102%, 02/10/04 to 02/12/04 48,000 47,985
1.113%, 03/04/04 35,000 34,965
1.042%, 03/11/04 to 03/18/04 85,083 84,978
First Tennessee Bank (B)
1.120%, 03/30/04 20,000 20,000
Leafs LLC (B)
1.110%, 02/20/04 60,000 60,000
MBNA Credit Card Master Trust (A)
1.102%, 02/10/04 30,000 29,992
Mitten Mortgage (A)
1.122%, 02/17/04 50,000 49,975
Southtrust Bank
1.320%, 02/18/04 25,000 25,000
Wachovia Bank N.A. (B)
1.020%, 04/02/04 50,000 50,000
----------
Total Certificates of Deposit/
Extendable Commercial Notes
(Cost $594,848) 594,848
----------
INSURANCE FUNDING AGREEMENTS -- 6.9%
Metropolitan Life Insurance
Company (B) (C)
1.124%, 02/01/04 160,000 160,000
Monumental Life Insurance
Company (B) (C)
1.320%, 02/01/04 101,500 101,500
Travelers Insurance Corporation (B) (C)
1.251%, 02/29/04 68,000 68,000
----------
Total Insurance Funding Agreements
(Cost $329,500) 329,500
----------
MUNICIPAL BONDS -- 0.2%
California State, Housing Finance
Authority, Ser K, RB, FSA (B)
1.070%, 02/01/04 7,650 7,650
----------
Total Municipal Bonds
(Cost $7,650) 7,650
----------
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
TIME DEPOSITS -- 1.1%
Key Bank N.A.
1.040%, 02/02/04 $ 50,000 $ 50,000
----------
Total Time Deposits
(Cost $50,000) 50,000
----------
REPURCHASE AGREEMENTS (D) -- 12.4%
Banque National de Paris
1.020%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $557,452,379
(collateralized by U.S. Government
Obligations, ranging in par value
$282,000-$164,422,000,
0.980%(A)-7.000%,
03/04/04-04/15/32; with total
market value $568,553,479) 557,405 557,405
Dresdner Bank
1.060%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $28,979,560
(collateralized by U.S. Government
Agency Obligations, ranging in par
value $2,030,000-$9,500,000,
2.000%-4.125%, 01/14/05-
08/14/08; with total market value
$29,560,029) 28,977 28,977
----------
Total Repurchase Agreements
(Cost $586,382) 586,382
----------
Total Investments -- 102.5%
(Cost $4,862,595) 4,862,595
----------
OTHER ASSETS AND LIABILITIES -- (2.5)%
Investment Advisory Fees Payable (94)
Administration Fees Payable (659)
Shareholder Servicing Fees Payable (581)
Trustees' Fees Payable (14)
Other Assets and Liabilities, Net (115,052)
----------
Total Other Assets and Liabilities (116,400)
----------
- --------------------------------------------------------------------------------
16 SEI Daily Income Trust / Annual Report / January 31, 2004
- --------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 3,236,000,226 outstanding shares
of beneficial interest $3,236,000
Paid-in-Capital -- Class B
(unlimited authorization -- no par value)
based on 572,073,428 outstanding shares
of beneficial interest 572,073
Paid-in-Capital -- Class C
(unlimited authorization -- no par value)
based on 864,764,497 outstanding shares
of beneficial interest 864,765
Paid-in-Capital -- Class H
(unlimited authorization -- no par value)
based on 36,024,010 outstanding shares
of beneficial interest 36,023
Paid-in-Capital -- Sweep Class
(unlimited authorization -- no par value)
based on 37,394,433 outstanding shares
of beneficial interest 37,394
Undistributed net investment income 12
Accumulated net realized loss on investments (72)
----------
Total Net Assets -- 100.0% $4,746,195
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($3,235,846,773 / 3,236,000,226 shares) $1.00
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($572,097,423 / 572,073,428 shares) $1.00
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($864,828,883 / 864,764,497 shares) $1.00
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Class H
($36,022,995 / 36,024,010 shares) $1.00
==========
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($37,399,130 / 37,394,433 shares) $1.00
==========
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on January 31, 2004. The date shown is the earlier of
the reset date or the demand date.
(C) These obligations were acquired at a cost of par and were deemed illiquid
for the purposes of the Investment Company Act of 1940. On January 31, 2004,
the value of these securities amounted to approximately $329,500,000
representing 7.0% of the net assets of the Fund.
(D) Tri-Party Repurchase Agreement.
(E) Securities are held in connection with a letter of credit issued by a major
bank.
(F) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors."
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
FSA -- Financial Security Assurance
LLC -- Limited Liability Company
MTN -- Medium Term Note
RB -- Revenue Bond
Ser -- Series
SLMA -- Student Loan Marketing Association
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 17
STATEMENT OF NET ASSETS
Treasury Fund
January 31, 2004
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 30.7%
U.S. Treasury Bills (A)
0.861%, 02/26/04 $ 40,000 $ 39,976
U.S. Treasury Notes
3.000%, 02/29/04 14,000 14,018
3.625%, 03/31/04 34,000 34,136
3.375%, 04/30/04 43,000 43,230
2.875%, 06/30/04 19,000 19,142
2.250%, 07/31/04 47,000 47,263
2.125%, 10/31/04 3,000 3,020
5.875%, 11/15/04 5,000 5,177
2.000%, 11/30/04 20,000 20,112
1.750%, 12/31/04 10,000 10,035
1.500%, 02/28/05 8,500 8,518
--------
Total U.S. Treasury Obligations
(Cost $244,627) 244,627
--------
REPURCHASE AGREEMENTS (B) -- 68.1%
ABN Amro
0.970%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $190,015,358
(collateralized by U.S. Government
Agency Obligations, ranging
in par value $16,450,000-
$98,495,000, 0.990%(A)-5.875%,
11/15/04 - 09/02/08; with total
market value $193,802,128) 190,000 190,000
Barclays Bank
0.970%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $156,211,626
(collateralized by U.S. Treasury
Obligations, ranging in par value
$8,746,000-$45,671,000,
0.990%(A)-10.625%, 04/01/04-
11/15/22; with total market
value $159,323,592) 156,199 156,199
Bear Stearns Incorporated &
Companies
0.980%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $35,002,858
(collateralized by U.S. Treasury
Obligations, ranging in par value
$1,100,000-$24,000,000, 0.967%
(A)-7.500%; 05/06/04-02/15/27;
with total market value
$35,812,654) 35,000 35,000
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
Deutsche Bank
0.770%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $10,000,642
(collateralized by U.S. Treasury
Notes, par value $10,159,333,
2.000%, 05/15/06; with total
market value $10,200,172)(C) $ 10,000 $ 10,000
Deutsche Bank
0.770%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $35,002,246
(collateralized by a U.S. Treasury
Notes, par value $35,557,667,
2.000%, 05/15/06; with total
market value $35,700,602) 35,000 35,000
Goldman Sachs Group Incorporated
0.970%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $35,002,829
(collateralized by a U.S. Treasury
Notes, par value $35,383,000,
3.125%, 10/15/08; with total
market value $35,700,737) 35,000 35,000
JP Morgan Chase & Company
Incorporated
0.970%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $35,002,829
(collateralized by U.S. Treasury
Obligations, ranging in par value
$7,127,000-$19,740,000, 8.750%-
10.375%, 11/15/12-05/15/17;
with total market value
$35,700,469) 35,000 35,000
Merrill Lynch & Company Incorporated
0.950%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $35,002,771
(collateralized by U.S. Treasury
Obligations, ranging in par value
$9,590,000-$19,590,000, 7.500%-
8.875%, 02/15/05-02/15/09;
with total market value
$35,702,167) 35,000 35,000
- --------------------------------------------------------------------------------
18 SEI Daily Income Trust / Annual Report / January 31, 2004
- --------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------
Morgan Stanley Dean Witter & Company
0.970%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $10,500,849
(collateralized by a U.S. Treasury
Notes, par value $9,990,000,
6.750%, 05/15/05; with total
market value $10,710,873) $ 10,500 $ 10,500
--------
Total Repurchase Agreements
(Cost $541,699) 541,699
--------
Total Investments -- 98.8%
(Cost $786,326) 786,326
--------
OTHER ASSETS AND LIABILITIES -- 1.2%
Investment Advisory Fees Payable (15)
Administration Fees Payable (118)
Shareholder Servicing Fees Payable (178)
Trustees' Fees Payable (5)
Other Assets and Liabilities, Net 9,547
--------
Total Other Assets and Liabilities 9,231
--------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 264,571,161 outstanding shares
of beneficial interest 264,571
Paid-in-Capital -- Class B
(unlimited authorization -- no par value)
based on 325,718,161 outstanding shares
of beneficial interest 325,718
Paid-in-Capital -- Class C
(unlimited authorization -- no par value)
based on 109,653,295 outstanding shares
of beneficial interest 109,653
Paid-in-Capital -- Sweep Class
(unlimited authorization -- no par value)
based on 95,680,406 outstanding shares
of beneficial interest 95,681
Accumulated net realized loss on investments (66)
--------
Total Net Assets -- 100.0% $795,557
========
- --------------------------------------------------------------------
Description Value
- --------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($264,543,710 / 264,571,161 shares) $1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($325,687,008 / 325,718,161 shares) $1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($109,646,685 / 109,653,295 shares) $1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($95,679,462 / 95,680,406 shares) $1.00
========
(A) The rate reported is the effective yield at time of purchase.
(B) Tri-Party Repurchase Agreement.
(C) These obligations were acquired at a cost of par and were deemed illiquid
for the purposes of the Investment Company Act of 1940. On January 31, 2004,
the value of these securities amounted to approximately $10,000,000
representing 1.3% of the net assets of the Fund.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 19
STATEMENT OF NET ASSETS
Treasury II Fund
January 31, 2004
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 98.2%
U.S. Treasury Bills (A)
0.720%, 02/05/04 $ 63,891 $ 63,886
0.750%, 02/19/04 60,000 59,977
0.864%, 02/26/04 199,989 199,869
1.028%, 03/04/04 11,159 11,149
0.908%, 04/15/04 19,279 19,243
0.944%, 06/17/04 8,642 8,611
0.934%, 07/22/04 2,326 2,316
U.S. Treasury Notes
3.000%, 02/29/04 6,000 6,009
3.625%, 03/31/04 25,000 25,101
3.375%, 04/30/04 13,000 13,072
2.875%, 06/30/04 17,000 17,125
2.250%, 07/31/04 24,000 24,128
2.125%, 08/31/04 to 10/31/04 12,000 12,061
5.875%, 11/15/04 5,000 5,177
2.000%, 11/30/04 5,000 5,027
1.750%, 12/31/04 5,000 5,021
1.500%, 02/28/05 2,000 2,004
--------
Total U.S. Treasury Obligations
(Cost $479,776) 479,776
--------
Total Investments -- 98.2%
(Cost $479,776) 479,776
--------
OTHER ASSETS AND LIABILITIES -- 1.8%
Investment Advisory Fees Payable (10)
Administration Fees Payable (93)
Shareholder Servicing Fees Payable (67)
Trustees' Fees Payable (5)
Other Assets and Liabilities, Net 8,882
--------
Total Other Assets and Liabilities 8,707
--------
- --------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 269,380,145 outstanding shares
of beneficial interest $269,380
Paid-in-Capital -- Class B
(unlimited authorization -- no par value)
based on 160,828,349 outstanding shares
of beneficial interest 160,829
Paid-in-Capital -- Class C
(unlimited authorization -- no par value)
based on 58,438,046 outstanding shares
of beneficial interest 58,438
Undistributed net investment income 44
Accumulated net realized loss on investments (208)
--------
Total Net Assets -- 100.0% $488,483
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($269,200,034 / 269,380,145 shares) $1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($160,859,505 / 160,828,349 shares) $1.00
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($58,423,527 / 58,438,046 shares) $1.00
========
(A) The rate reported is the effective yield at time of purchase.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
20 SEI Daily Income Trust / Annual Report / January 31, 2004
Short-Duration Government Fund
January 31, 2004
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 44.5%
U.S. Treasury Notes
5.875%, 11/15/04 $25,000 $ 25,911
3.000%, 11/15/07 33,000 33,370
2.875%, 06/30/04 18,500 18,642
2.000%, 05/15/06 14,000 14,012
1.875%, 09/30/04 12,000 12,061
1.500%, 02/28/05 25,000 25,063
--------
Total U.S. Treasury Obligations
(Cost $128,270) 129,059
--------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 27.3%
FHLMC
6.580%, 02/01/06 453 481
6.500%, 10/01/07 4 4
5.500%, 03/01/16 to 04/01/18 12,399 12,877
FHLMC REMIC, Ser 1034, Cl F
8.500%, 01/15/06 423 423
FHLMC REMIC, Ser 1617, Cl PI
6.000%, 02/15/22 85 85
FHLMC REMIC, Ser 2061, Cl TA
5.250%, 10/15/27 2,862 2,908
FHLMC REMIC, Ser 2122, Cl FD (A)
1.450%, 02/15/04 2,347 2,352
FHLMC REMIC, Ser 2396, Cl PX
6.000%, 06/15/27 444 448
FHLMC REMIC, Ser 2481, Cl BC
5.250%, 08/15/30 852 867
FHLMC REMIC, Ser 2496, Cl PA
5.000%, 10/15/16 2,839 2,857
FHLMC REMIC, Ser 2498, Cl DW
4.800%, 02/15/29 882 890
FHLMC REMIC, Ser 2505, Cl KU
5.000%, 10/15/26 577 579
FHLMC REMIC, Ser 2684, Cl QM
3.500%, 03/15/19 3,000 3,054
FHLMC REMIC, Ser 2727, Cl PA
4.125%, 08/15/18 3,000 3,084
FHLMC REMIC, Ser 2750, Cl I14
3.500%, 02/01/34 3,000 3,047
FHLMC REMIC, Ser 2750, Cl OA
3.500%, 01/31/19 3,000 3,047
FHLMC, REMIC, Ser 2684, Cl PA
5.000%, 02/15/10 2,681 2,728
FNMA
6.270%, 11/01/07 897 980
5.500%, 11/01/16 to 04/01/18 1,655 1,719
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23 358 371
FNMA REMIC, Ser 1995-13, Cl C
6.500%, 10/25/08 546 573
- --------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------
FNMA REMIC, Ser 1996-53, Cl PE
6.500%, 11/18/10 $ 1,215 $ 1,221
FNMA REMIC, Ser 2001-53, Cl CA
5.750%, 06/25/31 1,750 1,785
FNMA REMIC, Ser 2002-20, Cl BH
6.000%, 12/25/29 709 721
FNMA REMIC, Ser 2002-34, Cl FE (A)
1.500%, 02/18/04 1,158 1,162
FNMA REMIC, Ser 2002-53, Cl FK (A)
1.500%, 02/25/04 2,257 2,261
FNMA REMIC, Ser 2002-71, Cl UA
4.000%, 07/25/10 607 612
FNMA REMIC, Ser G93-5, Cl Z
6.500%, 02/25/23 146 155
GNMA
7.500%, 01/15/11 to 02/15/26 1,388 1,498
6.500%, 05/15/16 to 09/15/17 10,663 11,385
6.000%, 04/15/09 to 11/15/17 5,840 6,174
GNMA REMIC, Ser 2000-37, Cl A
7.150%, 06/20/30 1,928 1,944
GNMA REMIC, Ser 2001-21, Cl PH
6.500%, 09/16/28 1,303 1,309
GNMA REMIC, Ser 2001-29, Cl C
6.500%, 12/20/28 993 993
GNMA REMIC, Ser 2002-29, Cl BK
6.150%, 04/16/29 1,900 1,910
GNMA REMIC, Ser 2002-57, Cl AD
5.000%, 01/20/30 975 993
GNMA REMIC, Ser 2002-57, Cl AH
5.000%, 04/20/29 789 798
GNMA REMIC, Ser 2002-60, Cl AC
5.000%, 03/20/27 980 992
--------
Total U.S. Government Mortgage-Backed Obligations
(Cost $79,136) 79,287
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 26.9%
FHLB
4.875%, 11/15/06 9,225 9,806
2.125%, 05/15/06 10,000 9,975
FHLMC
5.250%, 01/15/06 10,500 11,156
FNMA
7.125%, 02/15/05 10,000 10,589
6.000%, 12/15/05 to 05/15/08 14,000 15,231
Private Export Funding
5.340%, 03/15/06 10,000 10,656
SLMA
5.250%, 03/15/06 10,000 10,637
--------
Total U.S. Government Agency Obligations
(Cost $77,793) 78,050
--------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 21
STATEMENT OF NET ASSETS
Short-Duration Government Fund (Concluded)
January 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (B) -- 1.9%
Goldman Sachs Group Incorporated
1.040%, dated 01/30/04, 02/02/04,
to be repurchased on
repurchase price $5,400,468
(collateralized by a U.S. Government
Obligation, par value $32,793,196,
6.500%, 01/01/29; with total market
value $5,508,000) $ 5,400 $ 5,400
--------
Total Repurchase Agreement
(Cost $5,400) 5,400
--------
Total Investments -- 100.6%
(Cost $290,599) 291,796
--------
OTHER ASSETS AND LIABILITIES -- (0.6)%
Administration Fees Payable (87)
Other Assets and Liabilities, Net (1,723)
--------
Total Other Assets and Liabilities (1,810)
--------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 28,012,392 outstanding shares
of beneficial interest 290,080
Distribution in excess of net investment income (6)
Accumulated net realized loss on investments (1,285)
Net unrealized appreciation on investments 1,197
--------
Total Net Assets -- 100.0% $289,986
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($289,985,907 / 28,012,392 shares) $10.35
========
(A) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on January 31, 2004. The date shown is the earlier of
the reset date or the demand date.
(B) Tri-Party Repurchase Agreement
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
SLMA -- Student Loan Marketing Association
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
22 SEI Daily Income Trust / Annual Report / January 31, 2004
Intermediate-Duration Government Fund
January 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 48.9%
U.S. Treasury Bonds
12.000%, 08/15/13 $ 7,500 $ 10,342
10.375%, 11/15/12 9,300 11,834
U.S. Treasury Notes
5.000%, 02/15/11 4,000 4,321
4.250%, 08/15/13 2,000 2,022
3.500%, 11/15/06 18,000 18,606
3.000%, 11/15/07 12,500 12,640
2.375%, 08/15/06 6,000 6,039
--------
Total U.S. Treasury Obligations
(Cost $65,284) 65,804
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 27.5%
FHLB
2.125%, 05/15/06 5,000 4,988
FHLMC
5.250%, 01/15/06 1,000 1,062
4.875%, 03/15/07 to 11/15/13 15,000 15,755
3.625%, 09/15/08 14,000 14,163
Private Export Funding
6.620%, 10/01/05 500 539
5.530%, 04/30/06 500 536
--------
Total U.S. Government Agency Obligations
(Cost $36,857) 37,043
--------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 21.9%
FHLMC
8.250%, 12/01/07 to 12/01/09 136 143
6.500%, 09/01/10 376 400
FHLMC REMIC, Ser 1033, Cl G
8.000%, 01/15/06 32 32
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 1,700 1,778
FHLMC REMIC, Ser 165, Cl K
6.500%, 09/15/21 72 72
FHLMC REMIC, Ser 1758, Cl E
5.500%, 04/15/08 31 31
FNMA
9.500%, 05/01/18 124 140
8.000%, 05/01/08 to 06/01/08 107 114
7.500%, 03/01/07 42 44
7.040%, 03/01/07 37 41
6.999%, 06/01/07 15 16
6.942%, 08/01/07 628 696
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
6.837%, 10/01/07 $ 45 $ 49
6.500%, 09/01/28 to 03/01/33 3,798 3,986
6.083%, 12/01/11 4,900 5,463
6.000%, 03/01/14 to 09/01/18 4,760 5,012
5.915%, 02/01/12 3,921 4,338
5.500%, 01/01/17 to 12/01/17 1,265 1,314
4.500%, 10/01/18 to 12/01/18 4,959 4,990
GNMA
8.750%, 05/20/17 to 11/20/17 125 138
8.500%, 05/20/16 to 02/20/18 332 365
8.250%, 04/15/06 to 07/15/08 148 160
6.000%, 04/15/09 83 87
--------
Total U.S. Government Mortgage-Backed Obligations
(Cost $29,174) 29,409
--------
REPURCHASE AGREEMENT (A) -- 1.4%
Goldman Sachs Group Incorporated
1.040%, dated 01/30/04, to be
repurchased on 02/02/04, repurchase
price $1,900,165 (collateralized by
a U.S. Government Obligation,
par value $6,703,541, 7.500%,
11/01/14; with total market
value $1,938,000) 1,900 1,900
--------
Total Repurchase Agreement
(Cost $1,900) 1,900
--------
Total Investments -- 99.7%
(Cost $133,215) 134,156
--------
OTHER ASSETS AND LIABILITIES -- 0.3%
Administration Fees Payable (39)
Shareholder Servicing Fees Payable (3)
Other Assets and Liabilities, Net 501
--------
Total Other Assets and Liabilities 459
--------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 23
STATEMENT OF NET ASSETS
Intermediate-Duration Government Fund (Concluded)
January 31, 2004
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 12,656,424 outstanding
shares of beneficial interest $133,594
Undistributed net investment income 2
Accumulated net realized gain on investments 78
Net unrealized appreciation on investments 941
--------
Total Net Assets -- 100.0% $134,615
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($134,614,786 / 12,656,424 shares) $10.64
========
(A) Tri-Party Repurchase Agreement
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
24 SEI Daily Income Trust / Annual Report / January 31, 2004
GNMA Fund
January 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 94.4%
FNMA
6.500%, 09/01/32 $ 142 $ 149
6.300%, 07/01/11 1,907 2,103
5.930%, 12/01/08 660 721
5.890%, 10/01/11 1,368 1,502
5.780%, 11/01/11 1,241 1,355
5.735%, 01/01/09 1,402 1,520
5.420%, 11/01/08 1,265 1,357
4.667%, 04/01/13 8,073 8,281
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17 1,500 1,591
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22 392 420
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17 2,000 2,047
FNMA REMIC, Ser 2002-7, Cl TG
6.000%, 03/25/17 2,000 2,121
GNMA
12.500%, 12/15/10 to 07/15/15 6 6
12.000%, 04/15/14 -- 1
11.500%, 02/15/13 5 5
10.000%, 09/15/15 to 07/15/20 78 86
9.500%, 06/15/09 to 11/15/20 988 1,085
9.000%, 12/15/17 to 05/15/22 639 721
8.500%, 08/15/08 to 09/15/17 216 239
8.000%, 04/15/17 to 03/15/32 4,528 4,927
7.750%, 10/15/26 99 108
7.500%, 05/15/17 to 12/15/29 15,667 16,877
7.250%, 01/15/28 808 864
7.000%, 09/15/22 to 04/15/32 25,662 27,448
6.750%, 11/15/27 223 237
6.500%, 11/15/07 to 02/15/33 48,950 51,960
6.000%, 12/15/08 to 06/15/33 44,089 46,282
5.500%, 08/15/33 to 11/15/33 8,903 9,101
5.000%, 05/15/18 to 12/15/33 20,628 20,629
GNMA TBA
6.000%, 02/15/34 1,350 1,408
5.500%, 02/15/34 2,000 2,042
--------
Total U.S. Government Mortgage-Backed Obligations
(Cost $201,910) 207,193
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.4%
FNMA
4.625%, 10/15/13 7,500 7,521
--------
Total U.S. Government Agency Obligations
(Cost $7,433) 7,521
--------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 2.0%
U.S. Treasury Bonds
8.875%, 02/15/19 $ 3,000 $ 4,338
--------
Total U.S. Treasury Obligations
(Cost $4,270) 4,338
--------
REPURCHASE AGREEMENT (A) -- 0.9%
Deutsche Bank
1.030%, dated 01/30/04,
to be repurchased on 02/02/04,
repurchase price $1,900,163
(collateralized by a U.S. Government
Obligation, par value $1,792,000,
4.875%, 03/15/07; with total market
value $1,939,000) 1,900 1,900
--------
Total Repurchase Agreement
(Cost $1,900) 1,900
--------
Total Investments -- 100.7%
(Cost $215,513) 220,952
--------
OTHER ASSETS AND LIABILITIES -- (0.7)%
Administration Fees Payable (62)
Shareholder Servicing Fees Payable (29)
Other Assets and Liabilities, Net (1,378)
--------
Total Other Assets and Liabilities (1,469)
--------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 22,258,365 outstanding shares
of beneficial interest 223,600
Distribution in excess of net investment income (5)
Accumulated net realized loss on investments (9,551)
Net unrealized appreciation on investments 5,439
--------
Total Net Assets -- 100.0% $219,483
========
Net Assets Value, Offering and Redemption
Price Per Share -- Class A
($219,483,273 / 22,258,365 shares) $9.86
========
Amounts designated as "--" are $0 or have been rounded to $0.
(A) Tri-Party Repurchase Agreement
Cl -- Class
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
TBA -- To Be Announced
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 25
STATEMENT OF NET ASSETS
Corporate Daily Income Fund
January 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 42.8%
AUTOMOTIVE -- 26.0%
Aesop Funding II LLC,
Ser 1998-1, Cl A (C)
6.140%, 05/20/06 $ 1,750 $ 1,834
Aesop Funding II LLC,
Ser 2002-1A, Cl A1 (C)
3.850%, 10/20/06 1,000 1,024
Aesop Funding II LLC,
Ser 2003-4A, Cl A1 (B) (C)
1.330%, 02/20/04 1,435 1,435
Aesop Funding II LLC,
Ser 2003-5A, Cl A1 (C)
2.780%, 12/20/07 1,000 999
Associates Automobile Receivables
Trust, Ser 2000-2, Cl A5
6.990%, 07/15/08 2,100 2,163
BMW Owner Trust, Ser 2003-A, Cl A2
1.450%, 11/25/05 1,277 1,278
Bank One Auto Securitization Trust,
Ser 2003-1, Cl A2
1.290%, 08/21/06 1,460 1,459
Capital Auto Receivables Asset Trust,
Ser 2001-2, Cl A4
5.000%, 12/15/06 315 319
Capital Auto Receivables Asset Trust,
Ser 2002-4, Cl A4
2.640%, 03/17/08 1,495 1,508
Capital Auto Receivables Asset Trust,
Ser 2003-1, Cl A1B (B)
1.150%, 02/15/04 888 888
Capital Auto Receivables Asset Trust,
Ser 2003-2, Cl A2A
1.200%, 05/16/05 980 980
Capital Auto Receivables Asset Trust,
Ser 2003-3, Cl A1A
1.770%, 01/16/06 980 983
Capital One Auto Finance Trust,
Ser 2001, Cl A4
5.400%, 05/15/08 1,000 1,040
Capital One Auto Finance Trust,
Ser 2003-2, Cl A2
1.430%, 03/15/06 1,750 1,751
Capital One Auto Finance Trust,
Ser 2003-A, Cl A2
1.400%, 03/15/06 1,250 1,251
Capital One Auto Finance Trust,
Ser 2003-B, Cl A2
1.640%, 05/15/06 940 942
Capital One Auto Finance Trust,
Ser 2003-B, Cl A3 (B)
1.210%, 02/15/04 565 566
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital One Prime Auto Receivable
Trust, Ser 2004-1, Cl A2
1.470%, 06/15/06 $ 555 $ 554
Carmax Auto Owner Trust,
Ser 2002-1, Cl A3
3.590%, 06/15/06 818 828
Carmax Auto Owner Trust,
Ser 2002-2, Cl A3
2.670%, 08/15/06 1,000 1,010
Carmax Auto Owner Trust,
Ser 2003-1, Cl A2
1.230%, 10/15/05 1,159 1,159
Carmax Auto Owner Trust,
Ser 2003-2, Cl A2
1.680%, 08/15/06 1,490 1,493
Chase Manhattan Auto Owner Trust,
Ser 2001-B, Cl A3
3.090%, 11/15/05 515 516
Chase Manhattan Auto Owner Trust,
Ser 2002-B, Cl A3
3.580%, 05/15/06 960 969
Chase Manhattan Auto Owner Trust,
Ser 2003-A, Cl A2
1.260%, 01/16/06 999 999
Chase Manhattan Auto Owner Trust,
Ser 2003-C, Cl A2
1.600%, 09/15/06 1,000 1,001
Chase Manhattan Auto Owner Trust,
Ser 2003-C, Cl A3
2.260%, 11/15/07 945 947
DaimlerChrysler Auto Trust,
Ser 2002-A, Cl A3
3.850%, 04/06/06 1,827 1,846
DaimlerChrysler Auto Trust,
Ser 2002-B, Cl A3
2.930%, 06/06/06 1,500 1,514
DaimlerChrysler Auto Trust,
Ser 2002-C, Cl A2
2.070%, 06/08/05 546 547
DaimlerChrysler Auto Trust,
Ser 2003-B, Cl A2
1.610%, 07/10/06 1,220 1,222
Ford Credit Auto Owner Trust,
Ser 2002-D, Cl A3A
2.680%, 02/15/06 1,000 1,009
Ford Credit Auto Owner Trust,
Ser 2003-A, Cl A2B (B)
1.150%, 02/15/04 412 412
Harley-Davidson Motorcycle Trust,
Ser 2003-2, Cl A1
1.340%, 01/15/08 335 335
Honda Auto Receivables Owner Trust,
Ser 2001-3, Cl A4
3.960%, 02/19/07 1,750 1,774
- --------------------------------------------------------------------------------
26 SEI Daily Income Trust / Annual Report / January 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Honda Auto Receivables Owner Trust,
Ser 2002-2, Cl A3
3.830%, 02/15/06 $ 719 $ 726
Honda Auto Receivables Owner Trust,
Ser 2002-3, Cl A3
3.000%, 05/18/06 1,750 1,766
Honda Auto Receivables Owner Trust,
Ser 2003-1, Cl A3
1.920%, 11/20/06 1,225 1,230
Honda Auto Receivables Owner Trust,
Ser 2003-2, Cl A2
1.340%, 12/21/05 1,750 1,751
Honda Auto Receivables Owners Trust,
Ser 2003-5, Cl A3
2.300%, 10/18/07 785 788
Household Automotive Trust,
Ser 2002-2, Cl A (B)
1.400%, 02/20/04 1,225 1,226
Household Automotive Trust,
Ser 2002-2, Cl A2
2.150%, 12/19/05 169 169
Household Automotive Trust,
Ser 2003-1, Cl A3
1.730%, 12/17/07 1,000 993
Household Automotive Trust,
Ser 2003-2, Cl A2
1.560%, 12/18/06 975 976
Hyundai Auto Receivable Trust,
Ser 2003-A, Cl A2
1.560%, 09/15/06 1,305 1,306
Navistar Financial Corporate Owner
Trust, Ser 2001-A, Cl A4
5.420%, 05/15/08 1,666 1,701
Navistar Financial Corporate Owner
Trust, Ser 2002-A, Cl A3
4.090%, 07/17/06 749 756
Navistar Financial Corporate Owner
Trust, Ser 2003-B, Cl A2
1.690%, 09/15/06 1,250 1,251
Nissan Auto Receivables Owner Trust,
Ser 2002-A, Cl A3
3.580%, 09/15/05 487 490
Nissan Auto Receivables Owner Trust,
Ser 2003-A , Cl A2
1.450%, 05/16/05 850 850
Nissan Auto Receivables Owner Trust,
Ser 2003-B, Cl A
1.510%, 08/15/07 1,250 1,246
Nissan Auto Receivables Owner Trust,
Ser 2003-B, Cl A2
1.200%, 11/15/05 1,500 1,500
Onyx Acceptance Auto Trust,
Ser 2000-C, Cl A4
7.260%, 05/15/07 472 476
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Onyx Acceptance Auto Trust,
Ser 2003-A, Cl A3
2.230%, 02/15/07 $ 1,390 $ 1,400
Toyota Auto Receivables Owner Trust,
Ser 2002-C, Cl A3
2.650%, 11/15/06 675 681
Toyota Auto Receivables Owner Trust,
Ser 2003-B, Cl A2
1.430%, 02/15/06 625 625
USAA Auto Owner Trust,
Ser 2000-1, Cl A4
6.980%, 06/15/05 331 333
USAA Auto Owner Trust,
Ser 2001-1, Cl A4
5.080%, 03/15/06 358 363
USAA Auto Owner Trust,
Ser 2003-01, Cl A2
1.220%, 04/17/06 1,830 1,830
WFS Financial Owner Trust,
Ser 2001-C, Cl A3 (B)
1.310%, 03/20/04 109 109
WFS Financial Owner Trust,
Ser 2002-1, Cl A3A
4.150%, 12/20/06 1,049 1,063
WFS Financial Owner Trust,
Ser 2002-2, Cl A3
3.810%, 02/20/07 1,243 1,258
WFS Financial Owner Trust,
Ser 2002-3, Cl A3
2.760%, 02/20/07 1,000 1,009
WFS Financial Owner Trust,
Ser 2002-4, Cl A3A
2.390%, 08/20/07 1,485 1,495
WFS Financial Owner Trust,
Ser 2003-1, Cl A2
1.500%, 03/20/06 406 406
WFS Financial Owner Trust,
Ser 2003-2, Cl A2
1.320%, 05/22/06 1,265 1,266
WFS Financial Owner Trust,
Ser 2003-2, Cl A3
1.760%, 01/21/08 1,000 999
Whole Auto Loan Trust,
Ser 2002-1, Cl A2
1.880%, 06/15/05 768 769
Whole Auto Loan Trust,
Ser 2002-1, Cl A3
2.600%, 08/15/06 1,000 1,010
Whole Auto Loan Trust,
Ser 2003-1, Cl A2A
1.400%, 04/15/06 1,250 1,250
World Omni Auto Receivables Trust,
Ser 2003-A, Cl A3
1.980%, 05/15/07 1,140 1,146
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 27
STATEMENT OF NET ASSETS
Corporate Daily Income Fund (Continued)
January 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
World Omni Auto Receivables Trust,
Ser 2003-B, Cl A2
1.540%, 08/15/06 $ 1,500 $ 1,501
--------
76,269
--------
CREDIT CARD -- 8.6%
American Express Credit Account
Master Trust, Ser 2003-4, Cl A
1.690%, 01/15/09 695 684
American Express Master Trust,
Ser 2002-2, Cl A (B)
1.150%, 02/15/04 1,980 1,980
Bank One Issuance Trust,
Ser 2002-A2, Cl A2
4.160%, 01/15/08 1,500 1,547
Bank One Issuance Trust,
Ser 2003-A2, Cl A2 (B)
1.150%, 02/15/04 1,500 1,501
Bank One Issuance Trust,
Ser 2003-B2, Cl B2 (B)
1.330%, 02/15/04 1,750 1,750
Capital One Master Trust,
Ser 2001-2, Cl A (B)
1.240%, 02/15/04 1,750 1,755
Capital One Multi-Asset Execution
Trust, Ser 2003-A1, Cl A1 (B)
1.490%, 02/15/04 1,465 1,472
Capital One Multi-Asset Execution
Trust, Ser 2003-B1, Cl B1 (B)
2.270%, 02/15/04 1,250 1,269
Capital One Multi-Asset Executive
Trust, Ser 2004, Cl 1
3.400%, 11/16/09 565 558
Chase Credit Card Master Trust,
Ser 2002-4, Cl A (B)
1.150%, 02/15/04 1,500 1,501
Chemical Master Credit Card Trust,
Ser 1996-2, Cl A
5.980%, 09/15/08 1,000 1,063
Citibank Credit Card Issuance Trust,
Ser 2001-A8, Cl A8
4.100%, 12/07/06 1,000 1,023
Citibank Credit Card Issuance Trust,
Ser 2002-A9, Cl A9 (B)
1.210%, 03/15/04 1,300 1,300
Citibank Credit Card Issuance Trust,
Ser 2003-A2, Cl A2
2.700%, 01/15/08 1,560 1,576
Citibank Credit Card Issuance Trust,
Ser 2003-A5, Cl A5
2.500%, 04/07/08 1,350 1,356
Citibank Credit Card Issuance Trust,
Ser 2004, Cl A1
2.550%, 01/20/09 1,500 1,491
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MBNA Credit Card Master Note Trust,
Ser 2001-B1, Cl B1 (B)
1.475%, 02/15/04 $ 1,000 $ 1,002
MBNA Credit Card Master Note Trust,
Ser 2002-A6, Cl A6
3.900%, 11/15/07 2,000 2,058
MBNA Credit Card Master Note Trust,
Ser 2002-B1, Cl B1
5.150%, 07/15/09 500 530
--------
25,416
--------
MISCELLANEOUS BUSINESS SERVICES -- 3.7%
CNH Equipment Trust,
Ser 2001-A, Cl A4
5.380%, 08/15/07 724 740
CNH Equipment Trust,
Ser 2003-B, Cl A3A (B)
1.240%, 01/15/08 825 827
Connecticut RRB Special Purpose Trust,
Ser 2001-1, Cl A2
5.360%, 03/30/07 828 849
DaimlerChrysler Master Owner Trust,
Ser 2003-A, Cl A (B)
1.150%, 02/15/04 1,075 1,076
Ford Credit Floorplan Master Owner
Trust, Ser 2001-1, Cl A (B)
1.190%, 02/15/04 1,000 1,000
John Deere Owner Trust,
Ser 2003-A, Cl A2
1.310%, 01/15/06 1,430 1,429
Navistar Financial Dealer Owner Trust,
Ser 2003-A, Cl A2 (B)
1.400%, 02/25/04 2,000 2,001
Nelnet Student Loan Corporation,
Ser 2004-1, Cl A2 (B) (C)
1.230%, 08/25/04 2,230 2,228
PSE&G Transition Funding LLC,
Ser 2001-1, Cl A2
5.740%, 03/15/07 599 616
--------
10,766
--------
MORTGAGE RELATED -- 4.5%
Advanta Mortgage Trust Loan,
Ser 1999-4, Cl A (B)
1.475%, 02/25/04 449 449
Asset Securitization Corporation,
Ser 1997-D5, Cl A1B
6.660%, 02/14/43 925 954
Bear Stearns Commercial Mortgage,
Ser 1998-C1, Cl A1
6.340%, 06/16/30 819 876
CS First Boston Mortgage Securities
Corporation, Ser 1997-C2, Cl A2
6.520%, 01/17/35 940 985
- --------------------------------------------------------------------------------
28 SEI Daily Income Trust / Annual Report / January 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Centex Home Equity Trust,
Ser 2004-A, Cl AF1
2.030%, 06/25/19 $ 740 $ 740
Chase Funding Loan Acquisition Trust,
Ser 2001-AD1, Cl 1A3
4.541%, 02/25/23 10 10
Countrywide Asset-Backed Certificates,
Ser 2003-5, Cl AF2
3.042%, 04/25/25 780 784
Fremont Home Loan Owner Trust,
Ser 1999-1 (B)
1.400%, 02/25/04 49 49
GMAC Commercial Mortgage Securities
Incorporated, Ser 1999-CTL1, Cl A (C)
7.151%, 12/15/16 618 669
GMAC Commercial Mortgage Securities
Incorporated, Ser 2001-FL1A,
Cl A (B) (C)
1.370%, 02/11/04 77 76
JP Morgan Chase Commercial Mortgage
Trust, Ser 2003-FL1A, Cl A1 (B) (C)
1.370%, 02/14/04 863 863
Morgan Stanley Dean Witter Capital I,
Ser 2000-PRIN, Cl A1
7.070%, 02/23/34 164 175
Nomura Asset Securities Corporation,
Ser 1998-D6, Cl A1A
6.280%, 03/15/30 742 791
Option One Mortgage Loan Trust,
Ser 2003-3, Cl A2 (B)
1.400%, 02/25/04 1,480 1,482
Residential Asset Securities Corporation,
Ser 2000-KS5, Cl AII (B)
1.340%, 02/25/04 226 227
Residential Asset Securities Corporation,
Ser 2001-KS4, Cl AIB (B)
1.420%, 02/25/04 547 547
Residential Asset Securities Corporation,
Ser 2004-KS1, Cl AI2
2.463%, 09/25/25 870 865
Residential Asset Securities Corporation,
Ser 2004-kS1, Cl AI1
1.250%, 02/25/04 710 710
Residential Asset Securities Corporation,
Ser 3-KS8, Cl AI1
2.610%, 06/25/24 1,080 1,083
Residential Asset Securities Corporation,
Ser 3-KS8, Cl AI1 (B)
1.220%, 02/25/04 885 885
--------
13,220
--------
Total Asset Backed Securities
(Cost $125,470) 125,671
--------
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE BONDS -- 23.2%
AEROSPACE & DEFENSE -- 0.4%
General Dynamics Corporation
2.125%, 05/15/06 $ 1,265 $ 1,259
--------
AIR TRANSPORTATION -- 0.8%
American Airlines Incorporated (B)
1.790%, 03/23/04 1,239 1,240
Federal Express Corporation
6.625%, 02/12/04 1,000 1,001
--------
2,241
--------
BANKS -- 0.3%
Bank of America Corporation MTN,
Ser H (B)
1.413%, 05/03/04 1,000 1,001
--------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.5%
Clear Channel Communications Incorporated
6.000%, 11/01/06 1,000 1,081
Liberty Media Corporation
3.500%, 09/25/06 1,750 1,759
Univision Communications
Incorporated
2.875%, 10/15/06 1,500 1,496
--------
4,336
--------
COMMUNICATIONS EQUIPMENT -- 0.3%
Comcast Cable Communications
8.125%, 05/01/04 1,000 1,015
--------
COMPUTERS & SERVICES -- 0.6%
Hewlett-Packard Company MTN, Ser A
3.375%, 12/15/05 1,250 1,277
IBM Corporation (B)
1.296%, 03/10/04 625 626
--------
1,903
--------
CONSUMER PRODUCTS -- 0.4%
Gillette Company
3.500%, 10/15/07 1,250 1,264
--------
ELECTRICAL SERVICES -- 2.5%
Alabama Power Company, Ser N
4.875%, 09/01/04 1,000 1,021
Cinergy Corporation
6.250%, 09/01/04 1,387 1,419
Commonwealth Edison Company
7.000%, 07/01/05 1,500 1,606
Dominion Resources Incorporated
2.800%, 02/15/05 1,000 1,011
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 29
STATEMENT OF NET ASSETS
Corporate Daily Income Fund (Continued
January 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Pinnacle West Capital Corporation (B)
1.980%, 05/01/04 $ 1,000 $ 1,000
Progress Energy Incorporated
6.550%, 03/01/04 1,250 1,255
--------
7,312
--------
FINANCIAL SERVICES -- 6.7%
Caterpillar Financial Services
Corporation MTN, Ser F (B)
1.329%, 02/04/04 1,250 1,250
Citigroup Incorporated
4.125%, 06/30/05 1,000 1,033
Citigroup Incorporated (B)
1.340%, 03/09/04 1,250 1,250
Countrywide Home Loan
Incorporated (B)
1.652%, 03/02/04 1,250 1,259
Countrywide Home Loans Incorporated
3.500%, 12/19/05 1,250 1,281
General Electric Capital Corporation
MTN (B)
1.261%, 03/09/04 1,750 1,751
General Motors Acceptance
Corporation
4.500%, 07/15/06 1,000 1,029
General Motors Acceptance
Corporation MTN (B)
2.020%, 04/16/04 1,550 1,550
Hartford Financial Services Group
2.375%, 06/01/06 1,250 1,247
Household Finance Corporation
MTN (B)
1.520%, 03/01/04 650 651
International Lease Finance Corporation
MTN, Ser N
5.120%, 06/01/05 1,000 1,042
John Deere Capital Corporation MTN,
Ser D
3.125%, 12/15/05 1,000 1,021
National Rural Utilities
3.000%, 02/15/06 2,000 2,030
National Rural Utilities MTN, Ser C (B)
2.120%, 04/26/04 1,000 1,002
SLM Corporation MTN, Ser A (B)
1.400%, 04/26/04 1,000 1,003
1.240%, 04/26/04 1,250 1,249
--------
19,648
--------
FOOD, BEVERAGE & TOBACCO -- 2.4%
Coca-Cola Enterprises Incorporated (B)
1.370%, 04/26/04 1,000 1,001
Conagra Foods Incorporated
7.400%, 09/15/04 1,000 1,034
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Fortune Brands Incorporated (C)
7.125%, 11/01/04 $ 950 $ 988
General Mills Incorporated
2.625%, 10/24/06 1,500 1,493
Kraft Foods Incorporated (B)
1.370%, 02/26/04 1,000 1,000
Tyson Foods Incorporated
6.625%, 10/01/04 1,500 1,537
--------
7,053
--------
HEALTHCARE -- 1.5%
Anthem Incorporated
4.875%, 08/01/05 995 1,037
Cardinal Health Incorporated
4.450%, 06/30/05 1,476 1,527
Unitedhealth Group Incorporated
(B) (C)
1.770%, 05/09/04 1,750 1,752
--------
4,316
--------
INSURANCE -- 1.7%
ASIF Global Finance (B) (C)
1.320%, 02/26/04 1,000 1,002
Jackson National Life Global Funding
MTN, Ser 1 (B) (C)
1.170%, 04/20/04 1,500 1,538
Monumental Global Funding (B) (C)
1.260%, 02/27/04 1,000 1,000
NAC RE Corporation
7.150%, 11/15/05 1,250 1,355
--------
4,895
--------
INVESTMENT BANKER/BROKER DEALER -- 1.5%
JP Morgan Chase & Company Incorporated
6.250%, 12/15/05 1,000 1,077
Merrill Lynch & Company Incorporated
MTN, Ser C (B)
1.245%, 04/26/04 1,750 1,748
Morgan Stanley Dean Witter &
Company (B)
1.280%, 04/12/04 1,600 1,601
--------
4,426
--------
MACHINERY -- 0.2%
Alabama Power Company
2.650%, 02/15/06 500 504
--------
MEDICAL PRODUCTS & SERVICES -- 0.3%
Wellpoint Health Network
6.375%, 06/15/06 850 924
--------
- --------------------------------------------------------------------------------
30 SEI Daily Income Trust / Annual Report / January 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES -- 0.8%
AOL Time Warner Incorporated
5.625%, 05/01/05 $ 1,000 $ 1,045
Computer Sciences Corporation
7.500%, 08/08/05 1,250 1,353
--------
2,398
--------
PETROLEUM & FUEL PRODUCTS -- 0.9%
Conoco Funding Company
5.450%, 10/15/06 1,250 1,340
Duke Energy Field Services
7.500%, 08/16/05 1,100 1,182
--------
2,522
--------
RETAIL -- 0.4%
CVS Corporation
5.625%, 03/15/06 1,145 1,223
--------
Total Corporate Bonds
(Cost $67,411) 68,240
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 21.5%
FHLB
5.375%, 02/15/05 1,000 1,041
4.750%, 06/28/04 5,000 5,074
3.625%, 10/15/04 5,000 5,084
3.375%, 06/15/04 10,000 10,084
1.875%, 02/15/05 2,500 2,512
1.500%, 03/01/05 4,000 4,000
FHLMC
3.875%, 02/15/05 10,000 10,262
3.000%, 07/15/04 5,000 5,043
FHLMC (A)
1.307%, 04/22/04 2,000 1,995
FNMA
3.500%, 09/15/04 7,500 7,607
FNMA MTN
1.400%, 02/25/05 5,000 5,000
Israel Trust, Government Trust
Certificates, Ser 2F (A)
1.516%, 11/15/04 5,000 4,938
SLMA (B)
1.280%, 03/15/04 563 563
--------
Total U.S. Government Agency Obligations
(Cost $63,142) 63,203
--------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 12.1%
FHLMC
7.000%, 03/01/07 to 09/01/07 34 35
1.700%, 12/15/06 343 343
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC (B)
3.525%, 08/01/04 $ 3,616 $ 3,715
3.489%, 07/01/04 3,179 3,282
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 1,123 1,175
FHLMC REMIC, Ser 1614, Cl J
6.250%, 11/15/22 854 881
FHLMC REMIC, Ser 2038, Cl PB
5.500%, 12/15/26 254 257
FHLMC REMIC, Ser 2061, Cl TA
5.250%, 10/15/27 1,908 1,939
FHLMC REMIC, Ser 2337, Cl PG
6.500%, 06/15/30 770 782
FHLMC REMIC, Ser 2396, Cl PX
6.000%, 06/15/27 683 690
FHLMC REMIC, Ser 2496, Cl PA
5.000%, 10/15/16 774 779
FHLMC REMIC, Ser 2638, Cl KA
3.000%, 07/15/09 2,000 2,021
FHLMC REMIC, Ser 2676, Cl NA
4.000%, 03/15/14 3,122 3,182
FHLMC REMIC, Ser 2684, Cl QM
3.500%, 03/15/19 1,000 1,018
FHLMC REMIC, Ser 2727, Cl PA
4.125%, 08/15/18 1,500 1,542
FHLMC REMIC, Ser 2750, Cl OA
3.500%, 01/31/19 1,250 1,270
FHLMC, REMIC, Ser 2684, Cl PA
5.000%, 02/15/10 1,340 1,364
FNMA
5.500%, 03/25/18 843 847
FNMA (B)
3.660%, 08/01/04 1,638 1,690
3.606%, 10/01/04 522 535
3.490%, 09/01/04 331 343
2.949%, 06/01/04 623 640
2.200%, 04/01/04 502 504
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23 795 832
GNMA REMIC, Ser 2000-37, Cl A
7.150%, 06/20/30 508 512
GNMA REMIC, Ser 2001-21, Cl PH
6.500%, 09/16/28 591 594
GNMA REMIC, Ser 2001-29, Cl C
6.500%, 12/20/28 466 465
GNMA REMIC, Ser 2002-29, Cl BK
6.150%, 04/16/29 836 841
GNMA REMIC, Ser 2003-75, Cl YM
4.000%, 10/20/21 2,266 2,304
SLMA, Ser 2002-A, Cl A1 (B)
1.312%, 03/16/04 1,218 1,220
--------
Total U.S. Government Mortgage-Backed Obligations
(Cost $35,706) 35,602
--------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 31
STATEMENT OF NET ASSETS
Corporate Daily Income Fund (Concluded)
January 31, 2004
- --------------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (D) -- 0.1%
Goldman Sachs Group Incorporated
1.04%, dated 01/30/04, to be
repurchased on 02/02/04,
repurchase price $300,026
(collateralized by U.S. Government
Obligations, ranging in par value
$263,703-$499,764, 5.500%-
6.500%, 11/01/17-04/01/32; with
total market value $306,000) $300 $ 300
--------
Total Repurchase Agreement
(Cost $300) 300
--------
Total Investments -- 99.7%
(Cost $292,029) 293,016
--------
OTHER ASSETS AND LIABILITIES -- 0.3%
Administration Fees Payable (63)
Other Assets and Liabilities, Net 863
--------
Total Other Assets and Liabilities 800
--------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital -- Class A
(unlimited authorization -- no par value)
based on 145,410,920 outstanding shares
of beneficial interest $294,203
Undistributed net investment income 4
Accumulated net realized loss on investments (1,378)
Net unrealized appreciation on investments 987
--------
Total Net Assets -- 100.0% $293,816
========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($293,815,835 / 145,410,920 shares) $2.02
========
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on January 31, 2004. The date shown is the earlier of
the reset date or the demand date.
(C) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors."
(D) Tri-Party Repurchase Agreement.
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
LLC -- Limited Liability Company
MTN -- Medium Term Note
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
SLMA -- Student Loan Marketing Association
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
32 SEI Daily Income Trust / Annual Report / January 31, 2004
This page intentionally left blank.
Statements of Operations ($ Thousands)
For the year ended January 31, 2004
- ------------------------------------------------------------------------------------------------------------------------------------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $12,597 $9,255 $10,340 $60,536
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 3,385 1,861 1,695 9,415
Shareholder Servicing Fees -- Class A Shares 1,378 978 1,656 7,977
Shareholder Servicing Fees -- Class B Shares 431 638 519 2,182
Shareholder Servicing Fees -- Class C Shares 1,183 645 282 4,737
Shareholder Servicing Fees -- Class H Shares -- -- -- 175
Shareholder Servicing Fees -- Sweep Class Shares* 705 319 -- 368
Investment Advisory Fees 236 178 205 1,140
Custodian/Wire Agent Fees 72 44 26 302
Registration Fees 34 24 15 142
Trustees' Fees 6 4 5 29
Other Expenses 91 57 40 317
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 7,521 4,748 4,443 26,784
- ------------------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- -- --
Administration Fees (1,977) (618) (202) (1,432)
Shareholder Servicing Fees --
Class A Shares (1,378) (978) (1,656) (7,977)
Shareholder Servicing Fees --
Sweep Class Shares* -- (2) -- (2)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 4,166 3,150 2,585 17,373
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 8,431 6,105 7,755 43,163
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) from Security
Transactions 1 1 (3) (2)
Net Change in Unrealized Appreciation
(Depreciation) on Investments -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 8,432 $6,106 $ 7,752 $43,161
- ------------------------------------------------------------------------------------------------------------------------------------
<FN>
*Includes distribution and shareholder servicing fees.
Amount designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
</FN>
- --------------------------------------------------------------------------------
34 SEI Daily Income Trust / Annual Report / January 31, 2004
- ------------------------------------------------------------------------------------------------------------------------------------
SHORT- INTERMEDIATE-
DURATION DURATION CORPORATE
TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA DAILY INCOME
FUND FUND FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $8,719 $7,646 $8,634 $5,548 $11,720 $7,711
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 1,836 1,740 1,198 574 1,052 1,230
Shareholder Servicing Fees -- Class A Shares 620 965 855 410 821 879
Shareholder Servicing Fees -- Class B Shares 870 660 -- -- -- --
Shareholder Servicing Fees -- Class C Shares 574 594 -- -- -- --
Shareholder Servicing Fees -- Class H Shares -- -- -- -- -- --
Shareholder Servicing Fees -- Sweep Class Shares* 840 -- -- -- -- --
Investment Advisory Fees 176 167 309 147 295 351
Custodian/Wire Agent Fees 34 48 21 4 22 25
Registration Fees 17 24 10 6 14 12
Trustees' Fees 3 4 2 1 2 2
Other Expenses 60 44 76 34 72 78
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 5,030 4,246 2,471 1,176 2,278 2,577
- ------------------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- (41) -- -- (133)
Administration Fees (596) (214) (35) -- -- (335)
Shareholder Servicing Fees --
Class A Shares (620) (965) (855) (357) (306) (879)
Shareholder Servicing Fees --
Sweep Class Shares* (29) -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Expenses 3,785 3,067 1,540 819 1,972 1,230
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 4,934 4,579 7,094 4,729 9,748 6,481
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS:
Net Realized Gain (Loss) from Security
Transactions (1) 1 892 6,406 451 176
Net Change in Unrealized Appreciation
(Depreciation) on Investments -- -- (3,161) (6,641) (4,442) (755)
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $4,933 $4,580 $4,825 $4,494 $ 5,757 $5,902
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 35
Statements of Changes in Net Assets ($ Thousands)
For the years ended January 31,
- ------------------------------------------------------------------------------------------------------------------------------------
MONEY MARKET GOVERNMENT
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2004 2003 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 8,431 $ 16,431 $ 6,105 $ 10,733
Net Realized Gain (Loss) from Security Transactions 1 18 1 (2)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 8,432 16,449 6,106 10,731
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (5,766) (9,314) (3,876) (6,130)
Class B (1,059) (1,877) (1,482) (2,655)
Class C (1,298) (3,833) (640) (1,505)
Class H -- -- -- --
Sweep Class (280) (1,442) (106) (454)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (8,403) (16,466) (6,104) (10,744)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 5,076,254 3,949,722 2,216,730 1,933,257
Reinvestment of Dividends & Distributions 3,838 6,412 2,005 2,247
Cost of Shares Redeemed (5,057,407) (3,794,810) (2,258,934) (1,967,453)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 22,685 161,324 (40,199) (31,949)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 1,073,417 1,079,837 1,720,092 1,460,945
Reinvestment of Dividends & Distributions 46 118 535 1,008
Cost of Shares Redeemed (1,108,455) (1,117,844) (1,738,626) (1,421,418)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions (34,992) (37,889) (17,999) 40,535
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 1,336,865 1,512,036 652,694 653,653
Reinvestment of Dividends & Distributions 82 181 -- --
Cost of Shares Redeemed (1,443,722) (1,612,290) (685,797) (666,042)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions (106,775) (100,073) (33,103) (12,389)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS H:
Proceeds from Shares Issued -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class H Transactions -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
SWEEP CLASS:
Proceeds from Shares Issued 649,916 714,283 363,775 416,554
Reinvestment of Dividends & Distributions -- 1 2 6
Cost of Shares Redeemed (711,857) (742,410) (369,947) (435,413)
- ------------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets from Sweep Class Transactions (61,941) (28,126) (6,170) (18,853)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions (181,023) (4,764) (97,471) (22,656)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets (180,994) (4,781) (97,469) (22,669)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 1,197,451 1,202,232 819,917 842,586
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $1,016,457 $1,197,451 $ 722,448 $ 819,917
- ------------------------------------------------------------------------------------------------------------------------------------
<FN>
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
</FN>
- --------------------------------------------------------------------------------
36 SEI Daily Income Trust / Annual Report / January 31, 2004
- ------------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT II PRIME OBLIGATION
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2004 2003 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 7,755 $ 13,095 $ 43,163 $ 73,476
Net Realized Gain (Loss) from Security Transactions (3) 15 (2) (19)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 7,752 13,110 43,161 73,457
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (6,354) (10,199) (32,509) (53,714)
Class B (1,142) (2,186) (5,236) (8,570)
Class C (259) (711) (4,882) (10,351)
Class H -- -- (240) (424)
Sweep Class -- -- (135) (627)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (7,755) (13,096) (43,002) (73,686)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 2,134,347 2,252,221 30,631,273 30,363,602
Reinvestment of Dividends & Distributions 735 996 13,789 21,539
Cost of Shares Redeemed (2,235,845) (2,271,684) (30,937,037) (30,846,996)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A
Transactions (100,763) (18,467) (291,975) (461,855)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 965,206 881,675 4,792,807 5,064,601
Reinvestment of Dividends & Distributions 235 423 2,233 3,980
Cost of Shares Redeemed (938,851) (872,346) (4,999,869) (4,968,144)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B
Transactions 26,590 9,752 (204,829) 100,437
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 291,589 310,865 6,523,503 4,521,861
Reinvestment of Dividends & Distributions -- -- 1,454 2,680
Cost of Shares Redeemed (299,597) (336,422) (6,589,444) (4,542,208)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C
Transactions (8,008) (25,557) (64,487) (17,667)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS H:
Proceeds from Shares Issued -- -- 143,725 113,261
Reinvestment of Dividends & Distributions -- -- 242 427
Cost of Shares Redeemed -- -- (152,275) (98,799)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class H
Transactions -- -- (8,308) 14,889
- ------------------------------------------------------------------------------------------------------------------------------------
SWEEP CLASS:
Proceeds from Shares Issued -- -- 492,469 623,775
Reinvestment of Dividends & Distributions -- -- 3 15
Cost of Shares Redeemed -- -- (512,041) (643,775)
- ------------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets from Sweep Class Transactions -- -- (19,569) (19,985)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share
Transactions (82,181) (34,272) (589,168) (384,181)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets (82,184) (34,258) (589,009) (384,410)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 899,010 933,268 5,335,204 5,719,614
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 816,826 $ 899,010 $ 4,746,195 $ 5,335,204
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
TREASURY TREASURY II
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2004 2003 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 4,934 $ 8,805 $ 4,579 $ 9,274
Net Realized Gain (Loss) from Security Transactions (1) 6 1 2
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 4,933 8,811 4,580 9,276
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (2,292) (3,217) (3,129) (6,640)
Class B (1,908) (3,755) (1,139) (1,721)
Class C (525) (1,008) (368) (1,020)
Class H -- -- -- --
Sweep Class (256) (887) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (4,981) (8,867) (4,636) (9,381)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 4,053,885 1,418,730 1,813,985 2,200,766
Reinvestment of Dividends & Distributions 532 2,140 827 1,662
Cost of Shares Redeemed (3,936,986) (1,495,360) (1,956,536) (2,347,570)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A
Transactions 117,431 (74,490) (141,724) (145,142)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 1,332,298 1,523,924 1,578,879 1,123,868
Reinvestment of Dividends & Distributions 386 789 173 430
Cost of Shares Redeemed (1,326,971) (1,521,595) (1,628,596) (1,047,187)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B
Transactions 5,713 3,118 (49,544) 77,111
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 1,103,113 903,106 1,143,299 728,071
Reinvestment of Dividends & Distributions 8 11 -- 1
Cost of Shares Redeemed (1,096,481) (897,850) (1,177,421) (745,099)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C
Transactions 6,640 5,267 (34,122) (17,027)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS H:
Proceeds from Shares Issued -- -- -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class H Transactions -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
SWEEP CLASS:
Proceeds from Shares Issued 579,300 617,745 -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed (585,871) (634,742) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets from Sweep Class Transactions (6,571) (16,997) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share
Transactions 123,213 (83,102) (225,390) (85,058)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 123,165 (83,158) (225,446) (85,163)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 672,392 755,550 713,929 799,092
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 795,557 $ 672,392 $ 488,483 $ 713,929
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 37
Statements of Changes in Net Assets ($ Thousands)
For the years ended January 31,
- -----------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION
GOVERNMENT FUND
- -----------------------------------------------------------------------------------------------------------------------------
2004 2003
- -----------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 7,094 $ 6,529
Net Realized Gain (Loss) on Investments 892 1,038
Net Change in Unrealized Appreciation (Depreciation) of Investments (3,161) 3,290
- -----------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 4,825 10,857
- -----------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (8,882) (7,112)
Net Realized Gains -- (998)
- -----------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (8,882) (8,110)
- -----------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 321,211 585,210
Reinvestment of Dividends & Distributions 6,388 5,878
Cost of Shares Redeemed (351,602) (426,782)
- -----------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (24,003) 164,306
- -----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (28,060) 167,053
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 318,046 150,993
- -----------------------------------------------------------------------------------------------------------------------------
END OF YEAR $289,986 $ 318,046
- -----------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 30,761 56,199
Reinvestment of Distributions 613 564
Shares Redeemed (33,761) (41,025)
- -----------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (2,387) 15,738
- -----------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
38 SEI Daily Income Trust / Annual Report / January 31, 2004
- ------------------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE-DURATION GNMA CORPORATE DAILY
GOVERNMENT FUND FUND INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2004 2003 2004 2003 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 4,729 $ 6,337 $ 9,748 $ 12,713 $ 6,481 $ 6,466
Net Realized Gain (Loss) on Investments 6,406 2,359 451 2,089 176 (180)
Net Change in Unrealized Appreciation
(Depreciation) of Investments (6,641) 5,146 (4,442) 6,976 (755) 765
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 4,494 13,842 5,757 21,778 5,902 7,051
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (5,064) (6,611) (15,863) (16,011) (7,350) (6,999)
Net Realized Gains (2,821) -- -- -- -- (302)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (7,885) (6,611) (15,863) (16,011) (7,350) (7,301)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 125,899 201,432 193,367 517,619 395,806 573,332
Reinvestment of Dividends & Distributions 4,838 4,047 12,120 12,018 5,211 5,547
Cost of Shares Redeemed (180,740) (144,036) (366,291) (379,758) (458,037) (394,246)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from
Class A Transactions (50,003) 61,443 (160,804) 149,879 (57,020) 184,633
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (53,394) 68,674 (170,910) 155,646 (58,468) 184,383
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 188,009 119,335 390,393 234,747 352,284 167,901
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $134,615 $ 188,009 $ 219,483 $390,393 $ 293,816 $ 352,284
- ------------------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 11,548 18,819 19,235 51,467 195,339 282,615
Reinvestment of Distributions 449 379 1,216 1,197 2,574 2,737
Shares Redeemed (16,603) (13,406) (36,748) (37,789) (226,173) (194,349)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares
Outstanding from Share Transactions (4,606) 5,792 (16,297) 14,875 (28,260) 91,003
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 39
Financial Highlights
For the periods ended January 31,
For a Share Outstanding Throughout the Periods
- --------------------------------------------------------------------------------------------------------------------------------
Net Realized Distri-
and butions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends Net Asset
Beginning Investment (Losses) from Investment Capital and Value, End
of Period Income on Securities Operations Income Gains Distributions of Period
- -------------------------------------------------------------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.02 -- 0.02 (0.02) -- (0.02) 1.00
2002 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
CLASS B
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
CLASS C
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
SWEEP CLASS
2004 $1.00 $ --(1) $ --(1) $ -- $ --(2) $ -- $ --(2) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
GOVERNMENT FUND
CLASS A
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.02 -- 0.02 (0.02) -- (0.02) 1.00
2002 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
CLASS B
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
CLASS C
2004 $1.00 $ --(1) $ --(1) $ -- $ --(2) $ -- $ --(2) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
- -----------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses
Ratio of Investment to Average
Net Assets Expenses Income Net Assets
Total End of Period to Average to Average (Excluding
Return+ ($ Thousands) Net Assets Net Assets Waivers)
- -----------------------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2004 1.04% $603,798 0.18% 1.05% 0.62%
2003 1.61 581,097 0.18 1.59 0.63
2002 3.70 419,783 0.18 3.90 0.63
2001 6.49 741,949 0.18 6.39 0.64
2000 5.19 264,423 0.18 4.97 0.65
CLASS B
2004 0.74% $124,401 0.48% 0.74% 0.67%
2003 1.31 159,389 0.48 1.30 0.68
2002 3.39 197,280 0.48 3.27 0.68
2001 6.17 161,067 0.48 6.07 0.69
2000 4.87 33,839 0.48 4.91 0.71
CLASS C
2004 0.54% $200,467 0.68% 0.55% 0.87%
2003 1.11 307,236 0.68 1.10 0.88
2002 3.19 407,312 0.68 3.02 0.88
2001 5.96 307,545 0.68 5.84 0.89
2000 4.66 179,565 0.68 4.61 0.91
SWEEP CLASS
2004 0.29% $ 87,791 0.93% 0.30% 1.12%
2003 0.85 149,729 0.93 0.85 1.13
2002 2.93 177,857 0.93 2.92 1.13
2001 5.70 219,802 0.93 5.63 1.14
2000 4.40 26,342 0.93 4.44 1.16
GOVERNMENT FUND
CLASS A
2004 1.00% $329,940 0.20% 0.99% 0.53%
2003 1.53 370,142 0.20 1.51 0.53
2002 3.64 402,096 0.20 3.42 0.53
2001 6.37 254,143 0.20 6.21 0.54
2000 5.12 206,481 0.20 5.00 0.55
CLASS B
2004 0.69% $240,491 0.50% 0.70% 0.58%
2003 1.23 258,488 0.50 1.20 0.58
2002 3.33 217,957 0.50 3.00 0.58
2001 6.05 90,343 0.50 5.92 0.59
2000 4.81 64,616 0.50 4.74 0.60
CLASS C
2004 0.49% $105,763 0.70% 0.50% 0.78%
2003 1.02 138,864 0.70 1.02 0.78
2002 3.13 151,256 0.70 2.90 0.78
2001 5.84 104,452 0.70 5.73 0.79
2000 4.60 60,328 0.70 4.53 0.80
- ---------------------------------------------------------------------------------------
40 SEI Daily Income Trust / Annual Report / January 31, 2004
- --------------------------------------------------------------------------------------------------------------------------------
Net Realized Distri-
and butions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends Net Asset
Beginning Investment (Losses) from Investment Capital and Value, End
of Period Income on Securities Operations Income Gains Distributions of Period
- --------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2004 $1.00 $ --(1) $ --(1) $ -- $ --(2) $ -- $ --(2) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
2000 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
GOVERNMENT II FUND
CLASS A
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
CLASS B
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
CLASS C
2004 $1.00 $ --(1) $ --(1) $ -- $ --(2) $ -- $ --(2) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
PRIME OBLIGATION FUND
CLASS A
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.02 -- 0.02 (0.02) -- (0.02) 1.00
2002 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
- -----------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses
Ratio of Investment to Average
Net Assets Expenses Income Net Assets
Total End of Period to Average to Average (Excluding
Return+ ($ Thousands) Net Assets Net Assets Waivers)
- -----------------------------------------------------------------------------------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2004 0.25% $ 46,254 0.95% 0.25% 1.03%
2003 0.77 52,423 0.95 0.77 1.03
2002 2.87 71,277 0.95 2.67 1.03
2001 5.57 47,477 0.95 5.47 1.04
2000 4.34 22,547 0.95 4.42 1.05
GOVERNMENT II FUND
CLASS A
2004 0.96%$ 568,888 0.20% 0.96% 0.47%
2003 1.50 669,654 0.20 1.49 0.48
2002 3.63 688,112 0.20 3.63 0.48
2001 6.31 910,748 0.20 6.14 0.49
2000 5.05 793,640 0.20 4.93 0.49
CLASS B
2004 0.66% $ 201,085 0.50% 0.66% 0.52%
2003 1.20 174,496 0.50 1.19 0.53
2002 3.32 164,741 0.50 3.21 0.53
2001 5.99 140,408 0.50 5.88 0.54
2000 4.74 82,771 0.50 4.65 0.54
CLASS C
2004 0.46% $ 46,853 0.70% 0.46% 0.72%
2003 1.00 54,860 0.70 1.00 0.73
2002 3.11 80,415 0.70 2.84 0.73
2001 5.78 56,011 0.70 5.67 0.74
2000 4.53 44,019 0.70 4.40 0.74
PRIME OBLIGATION FUND
CLASS A
2004 1.02% $3,235,847 0.20% 1.02% 0.48%
2003 1.58 3,527,722 0.20 1.56 0.48
2002 3.70 3,989,778 0.20 3.72 0.48
2001 6.46 5,113,420 0.20 6.25 0.49
2000 5.25 5,486,642 0.20 5.16 0.49
<FN>
Amounts designated as "--" are $0 or have been rounded to $0.
+ Returns are for the period indicated (unless otherwise noted) and have not been annualized. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
(1) Per share calculations were performed using average shares.
(2) Amount represents less than $0.01 per share.
</FN>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 41
Financial Highlights
For the periods ended January 31,
For a Share Outstanding Throughout the Periods
- ---------------------------------------------------------------------------------------------------------------------------------
Net Realized Distri-
and butions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends Net Asset
Beginning Investment (Losses) from Investment Capital and Value, End
of Period Income on Securities Operations Income Gains Distributions of Period
- ---------------------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
CLASS C
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
CLASS H
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001(3) 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
SWEEP CLASS
2004 $1.00 $ --(1) $ --(1) $ -- $ --(2) $ -- $ --(2) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
TREASURY FUND
CLASS A
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.02 -- 0.02 (0.02) -- (0.02) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
CLASS B
2004 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
CLASS C
2004 $1.00 $ --(1) $ --(1) $ -- $ --(2) $ -- $ --(2) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
- --------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses
Ratio of Investment to Average
Net Assets Expenses Income Net Assets
Total End of Period to Average to Average (Excluding
Return+ ($ Thousands) Net Assets Net Assets Waivers)
- --------------------------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2004 0.72% $572,097 0.50% 0.72% 0.53%
2003 1.28 776,902 0.50 1.26 0.53
2002 3.39 676,475 0.50 3.21 0.53
2001 6.14 473,294 0.50 6.01 0.54
2000 4.93 347,215 0.50 4.84 0.54
CLASS C
2004 0.52% $864,829 0.70% 0.52% 0.73%
2003 1.07 929,285 0.70 1.07 0.73
2002 3.18 946,967 0.70 3.07 0.73
2001 5.93 809,989 0.70 5.81 0.74
2000 4.72 501,789 0.70 4.68 0.74
CLASS H
2004 0.59% $ 36,023 0.63% 0.59% 0.66%
2003 1.15 44,327 0.63 1.13 0.66
2002 3.25 29,412 0.63 2.89 0.65
2001(3) 3.94 9,591 0.63 5.90 0.67
SWEEP CLASS
2004 0.27% $ 37,399 0.95% 0.28% 0.98%
2003 0.82 56,968 0.95 0.83 0.98
2002 2.92 76,982 0.95 2.88 0.98
2001 5.67 68,954 0.95 5.61 0.99
2000 4.46 14,423 0.95 4.49 0.99
TREASURY FUND
CLASS A
2004 0.96% $264,544 0.20% 0.92% 0.53%
2003 1.51 147,129 0.20 1.50 0.54
2002 3.48 221,636 0.20 3.30 0.53
2001 6.24 126,044 0.20 6.06 0.55
2000 4.93 196,282 0.20 4.77 0.56
CLASS B
2004 0.66% $325,687 0.50% 0.65% 0.58%
2003 1.21 319,991 0.50 1.19 0.59
2002 3.18 316,896 0.50 3.11 0.58
2001 5.92 308,688 0.50 5.79 0.60
2000 4.62 159,042 0.50 4.55 0.61
CLASS C
2004 0.46% $109,647 0.70% 0.45% 0.78%
2003 1.01 103,015 0.70 0.98 0.79
2002 2.97 97,755 0.70 2.86 0.78
2001 5.71 99,816 0.70 5.56 0.80
2000 4.41 115,471 0.70 4.34 0.81
- --------------------------------------------------------------------------------
42 SEI Daily Income Trust / Annual Report / January 31, 2004
- ----------------------------------------------------------------------------------------------------------------------------------
Net Realized Distri-
and butions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends Net Asset
Beginning Investment (Losses) from Investment Capital and Value, End
of Period Income on Securities Operations Income Gains Distributions of Period
- ----------------------------------------------------------------------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2004 $1.00 $ --(1) $ --(1) $ -- $ --(2) $ -- $ --(2) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
2000 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
TREASURY II FUND
CLASS A
2004 $1.00 $0.01(1) $ --(1) $0.01 $(0.01) $ -- $(0.01) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
2000 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
CLASS B
2004 $1.00 $0.01(1) $ --(1) $0.01 $(0.01)$ -- $(0.01) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
2000 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
CLASS C
2004 $1.00 $ --(1) $ --(1) $ -- $ --(2) $ -- $ --(2) $1.00
2003 1.00 0.01 -- 0.01 (0.01) -- (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) -- (0.03) 1.00
2001 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
2000 1.00 0.04 -- 0.04 (0.04) -- (0.04) 1.00
- --------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses
Ratio of Investment to Average
Net Assets Expenses Income Net Assets
Total End of Period to Average to Average (Excluding
Return+ ($ Thousands) Net Assets Net Assets Waivers)
- --------------------------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS 0.23% $ 95,679 0.92% 0.22% 1.03%
2004 0.76 102,257 0.95 0.75 1.04
2003 2.71 119,263 0.95 2.61 1.03
2002 5.45 110,640 0.95 5.33 1.05
2001 4.15 82,785 0.95 4.08 1.06
2000
TREASURY II FUND
CLASS A 0.81% $269,200 0.25% 0.80% 0.53%
2004 1.42 410,954 0.25 1.42 0.53
2003 3.35 556,201 0.25 3.20 0.53
2002 5.86 406,003 0.25 5.70 0.54
2001 4.60 379,179 0.25 4.49 0.54
2000
CLASS B
2004 0.51% $160,859 0.55% 0.51% 0.58%
2003 1.12 210,421 0.55 1.08 0.58
2002 3.05 133,310 0.55 2.94 0.58
2001 5.55 98,111 0.55 5.40 0.59
2000 4.30 75,755 0.55 4.23 0.59
CLASS C
2004 0.31% $ 58,424 0.75% 0.30% 0.78%
2003 0.91 92,554 0.75 0.90 0.78
2002 2.84 109,581 0.75 2.71 0.78
2001 5.33 90,640 0.75 5.30 0.79
2000 4.08 34,405 0.75 4.06 0.79
Amounts designated as "--" are $0 or have been rounded to $0.
<FN>
+ Returns are for the period indicated (unless otherwise noted) and have not been annualized. Returns shown do not reflect the
deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
(1) Per share calculations were performed using average shares.
(2) Amount represents less than $0.01 per share.
(3) Prime Obligation Fund Class H shares were offered beginning June 8, 2000.
</FN>
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 43
Financial Highlights
For the years ended January 31,
For a Share Outstanding Throughout the Years
- ----------------------------------------------------------------------------------------------------------------------------------
Net Realized Distri-
and butions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends Net Asset
Beginning Investment (Losses) from Investment Capital and Value, End
of Period Income on Securities Operations Income Gains Distributions of Period
- ----------------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2004 $10.46 $0.22(1) $(0.06)(1) $0.16 $(0.27) $ -- $(0.27) $10.35
2003 10.30 0.32 0.21 0.53 (0.34) (0.03) (0.37) 10.46
2002 10.15 0.47 0.16 0.63 (0.48) -- (0.48) 10.30
2001 9.87 0.60 0.28 0.88 (0.60) -- (0.60) 10.15
2000 10.16 0.51 (0.29) 0.22 (0.51) -- (0.51) 9.87
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2004 $10.89 $0.31(1) $ 0.01(1) $0.32 $(0.33) $(0.24) $(0.57) $10.64
2003 10.40 0.42 0.51 0.93 (0.44) -- (0.44) 10.89
2002 10.22 0.54 0.18 0.72 (0.54) -- (0.54) 10.40
2001 9.62 0.56 0.60 1.16 (0.56) -- (0.56) 10.22
2000 10.24 0.54 (0.62) (0.08) (0.54) -- (0.54) 9.62
GNMA FUND
CLASS A
2004 $10.13 $0.30(1) $(0.09)(1) $0.21 $(0.48) $ -- $(0.48) $ 9.86
2003 9.91 0.44 0.31 0.75 (0.53) -- (0.53) 10.13
2002 9.78 0.55 0.14 0.69 (0.56) -- (0.56) 9.91
2001 9.20 0.62 0.58 1.20 (0.62) -- (0.62) 9.78
2000 9.91 0.60 (0.71) (0.11) (0.60) -- (0.60) 9.20
CORPORATE DAILY INCOME FUND
CLASS A
2004 $ 2.03 $0.04(1) $(0.01)(1) $0.03 $(0.04) $ -- $(0.04) $ 2.02
2003 2.03 0.06 -- 0.06 (0.06) (0.00)(2) (0.06) 2.03
2002 2.01 0.10 0.02 0.12 (0.10) -- (0.10) 2.03
2001 1.97 0.12 0.04 0.16 (0.12) -- (0.12) 2.01
2000 2.00 0.10 (0.03) 0.07 (0.10) -- (0.10) 1.97
- ---------------------------------------------------------------------------------------------------
Ratio of
Ratio of Net Expenses
Ratio of Investment to Average
Net Assets Expenses Income Net Assets Portfolio
Total End of Period to Average to Average (Excluding Turnover
Return+ ($ Thousands) Net Assets Net Assets Waivers) Rate
- ---------------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2004 1.55% $289,986 0.45% 2.07% 0.72% 117%
2003 5.29 318,046 0.45 2.92 0.73 125
2002 6.28 150,993 0.45 4.58 0.72 84
2001 9.14 99,495 0.45 5.94 0.74 79
2000 2.22 97,545 0.45 5.08 0.74 102
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2004 2.98% $134,615 0.50% 2.89% 0.72% 154%
2003 9.12 188,009 0.50 3.92 0.73 57
2002 7.19 119,335 0.50 5.17 0.72 50
2001 12.42 84,523 0.50 5.67 0.73 41
2000 (0.77) 114,538 0.50 5.47 0.73 31
GNMA FUND
CLASS A
2004 2.16% $219,483 0.60% 2.97% 0.69% 145%
2003 7.73 390,393 0.60 4.12 0.70 146
2002 7.22 234,747 0.60 5.50 0.69 108
2001 13.44 88,403 0.60 6.52 0.71 81
2000 (1.18) 84,006 0.60 6.21 0.71 29
CORPORATE DAILY INCOME FUND
CLASS A
2004 1.61% $293,816 0.35% 1.84% 0.73% 68%
2003 3.35 352,284 0.35 2.81 0.73 76
2002 6.08 167,901 0.35 4.74 0.72 75
2001 8.45 114,536 0.35 6.10 0.73 68
2000 3.77 114,118 0.35 5.27 0.74 71
<FN>
Amounts designated as "--" are $0 or have been rounded to $0.
+ Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a
shareholder would pay on Fund distributions or the redemption of Fund shares.
(1) Per share calculations were performed using average shares.
(2) Amount represents less than $0.01 per share.
The accompanying notes are an integral part of the financial statements.
</FN>
- --------------------------------------------------------------------------------
44 SEI Daily Income Trust / Annual Report / January 31, 2004
NOTES TO FINANCIAL STATEMENTS
Notes to Financial Statements
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end investment company with ten operational Funds: the Money
Market, Government, Government II, Prime Obligation, Treasury, Treasury II (each
a "Fund", collectively the "Money Market Funds"), the Short-Duration Government,
Intermediate-Duration Government, GNMA, and Corporate Daily Income (each a
"Fund", collectively the "Fixed Income Funds"). The Funds' prospectuses provide
a description of each Fund's investment objectives, policies and strategies. The
assets of each Fund are segregated, and a shareholder's interest is limited to
the Fund in which shares are held.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Funds.
USE OF ESTIMATES -- The preparation of financial statements, in conformity with
accounting principles generally accepted in the United States of America,
requires management to make estimates and assumptions that affect the reported
amount of assets and liabilities and disclosure of contingent assets at the date
of the financial statements and the reported results of operations during the
reporting period. Actual results could differ from those estimates.
SECURITY VALUATION -- Investment securities of the Money Market Funds are stated
at amortized cost which approximates market value. Under this valuation method,
purchase discounts and premiums are accreted and amortized ratably to maturity
and are included in interest income.
Investment securities of the Fixed Income Funds, which are listed on a
securities exchange for which market quotations are available, are valued by an
independent pricing service at the last quoted sales price for such securities
on each business day. If there is no such reported sale, those securities for
which market quotations are not readily available are valued at the most
recently quoted bid price. Unlisted securities for which market quotations are
not readily available, of which there were none on January 31, 2004, are valued
at the most recently quoted price with estimates of such values determined under
certain market conditions using procedures determined in good faith by the Board
of Trustees. Debt obligations with sixty days or less remaining until maturity
may be valued at their amortized cost.
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for on the trade date of the security purchase or sale. Costs used in
determining net realized capital gains and losses on the sale of securities are
those of the specific securities sold, adjusted for the accretion and
amortization of purchase discounts and premiums during the respective holding
period. Interest income is recorded on the accrual basis. Purchase discounts and
premiums on securities held in the Fixed Income Funds are accreted and amortized
over the life of each security. Paydown gains and losses are classified as
interest income.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until maturity of the
repurchase agreements. Provisions of the agreements and procedures adopted by
SEI Investments Fund Management (the "Administrator") ensure that the market
value of the collateral, including accrued interest thereon, is sufficient in
the event of default by the counterparty. The Funds also invest in tri-party
repurchase agreements. Securities held as collateral for tri-party repurchase
agreements are maintained by the broker's custodian bank in a segregated account
until maturity of the repurchase agreement. Provisions of the agreements ensure
that the market value of the collateral, including accrued interest thereon, is
sufficient in the event of default. If the counterparty defaults and the value
of the collateral declines, or if the counterparty enters into an insolvency
proceeding, realization of the collateral by a Fund may be delayed or limited.
TBA AND OTHER PURCHASE COMMITMENTS -- The Funds may engage in "to be announced"
("TBA") security transactions. Such transactions involve commitments to purchase
securities for a fixed price at a future date. Purchase commitments may be
considered securities and involve a risk of loss if the value of the security to
be purchased declines prior to settlement date, which risk is in addition to the
risk of decline in the value of a Fund's other assets. Unsettled purchase
commitments are valued at the current market value of the underlying securities,
according to the procedures described under "Security Valuation" above.
CLASSES -- Class-specific expenses are borne by that Class of shares. Income,
realized and unrealized gains/losses and non-class-specific expenses are
allocated to the respective class on the basis of relative daily net assets.
EXPENSES -- Expenses that are directly related to one of the Funds are charged
directly to that Fund. Other operating expenses of the Trust, which are not
directly associated to a specific Fund, are prorated to the Funds on the basis
of relative net assets.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 45
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions to
shareholders, which are determined in accordance with Federal tax regulations,
are recorded on the ex-dividend date. Dividends from net investment income are
declared on a daily basis and are payable on the first business day of the
following month. Any net realized capital gains on sales of securities for a
Fund are distributed to its shareholders at least annually.
3. TRANSACTIONS WITH AFFILIATES
SEI Investments Fund Management (the "Administrator") provides management,
administrative, and shareholder services to the Funds for annual fees, based on
the average daily net assets of the respective funds, as presented below:
Money Market Fund .33%
Government .24%
Government II .19%
Prime Obligation .19%
Treasury .24%
Treasury II .24%
Short-Duration Government .35%
Intermediate-Duration Government .35%
GNMA .32%
Corporate Daily Income .35%
However, the Administrator has also voluntarily agreed to waive a portion or its
entire fee, for various classes of shares in various funds, to limit total
annual expenses to the following amounts (expressed as a percentage of the
Funds' daily net assets). The Administrator has the right, at its sole
discretion, to terminate these voluntary waivers at any time.
- --------------------------------------------------------------------------------
Money Prime
Market Gov't Gov't II Obligation Treasury Treasury II
- --------------------------------------------------------------------------------
Class A .18% .20% .20% .20% .20% .25%
Class B .48% .50% .50% .50% .50% .55%
Class C .68% .70% .70% .70% .70% .75%
Class H N/A N/A N/A .63% N/A N/A
Sweep Class .93% .95% * .95% .95% *
*Not currently operational
- --------------------------------------------------------------------------------
Short- Intermediate Corporate
Duration Duration Daily
Government Government GNMA Income
- --------------------------------------------------------------------------------
Class A .45% .50% .60% .35%
SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary
of SEI Investments Company ("SEI Investments"), and a registered broker-dealer,
acts as the Distributor of the shares of the Trust under various Distribution
Agreements. The Trust has adopted plans under which firms, including the
Distributor, that provide shareholder and administrative services may receive
compensation thereof. Specific classes of certain funds have also adopted
distribution plans, pursuant to Rule 12b-1 under the Investment Company Act of
1940. Such plans provide fees payable to the Distributor equal to the following
amounts, calculated as a percentage of the average daily net assets attributable
to each particular class of each respective fund.
- --------------------------------------------------------------------------------
Adminis-
Shareholder trative
Servicing Service Distribution
Fees Fees Fees*
- --------------------------------------------------------------------------------
Money Market
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Sweep Class .25% -- .50%
Government
Class A .25%
Class B .25% .05% --
Class C .25% .25% --
Sweep Class .25% -- .50%
Government II
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Prime Obligation
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Class H .25% .18% --
Sweep Class .25% -- .50%
Treasury
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Sweep Class .25% -- .50%
Treasury II
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Short-Duration Government -- Class A .25% -- --
Intermediate-Duration
Government -- Class A .25% -- --
GNMA -- Class A .25% -- --
Corporate Daily Income -- Class A .25% -- --
* These payments are characterized as "compensation" and are not directly tied
to expenses incurred by the Distributor. The payments the Distributor receives
during any year may therefore be higher or lower than its actual expenses.
These payments may be used to compensate sweep class shareholders that provide
distribution related services to their customers.
- --------------------------------------------------------------------------------
46 SEI Daily Income Trust / Annual Report / January 31, 2004
The Distributor has voluntarily waived all or a portion of the shareholder
servicing fees for class A of each fund since inception of the plan. Such
waivers are voluntary and may be discontinued at any time.
Certain officers and Trustees of the Trust are also officers and/or Trustees of
the Administrator. The Trust pays each unaffiliated Trustee an annual fee for
attendance at quarterly, interim, and committee meetings. The Administrator pays
compensation of officers and affiliated Trustees.
4. INVESTMENT ADVISORY AND CUSTODIAN
AGREEMENTS
A special meeting of shareholders was held on January 9, 2003 for the Government
II, Treasury and Treasury II Funds and on February 21, 2003 for the Money
Market, Prime Obligation and Government Funds to (i) approve a "manager of
managers" structure for each Fund and (ii) approve SEI Investments Management
Corporation ("SIMC") as the Funds' investment adviser, and to approve an
investment advisory agreement with SIMC.
Effective March 17, 2003, SIMC serves as each Fund's investment adviser and
"manager of managers" under a new investment advisory agreement approved by the
shareholders of each Fund. For its services, SIMC receives an annual fee equal
to .075% of the Trust's average daily net assets up to $500 million and .02% of
such net assets in excess of $500 million.
Effective March 17, 2003, pursuant to the "manager of managers" structure, the
Board of Trustees approved Banc of America Capital Management, LLC ("BACAP") as
each Money Market Fund's investment sub-adviser under a new investment
sub-advisory agreement approved by the shareholders of each Fund.
Under an Investment Advisory Agreement dated December 15, 1986, Wellington
Management Company LLP, ("Wellington LLP") serves as Investment Adviser to the
Trust on behalf of the Short-Duration Government, Intermediate-Duration
Government and GNMA Funds. Monthly fees are equal to .10% of the Funds' combined
average daily net assets up to $500 million, .075% of the next $500 million of
such assets and .05% of such net assets in excess of $1 billion. Wellington LLP
has voluntarily agreed to partially waive its fee in a proportion agreed upon
with SIMC.
Under an Investment Advisory Agreement dated August 4, 1993, Wellington LLP
serves as Investment Adviser for the Corporate Daily Income Fund. Monthly fees
are equal to .10% of the Fund's average daily net assets up to $500 million,
..075% of the next $500 million and .05% of such net assets in excess of $1
billion. Wellington LLP has voluntarily agreed to partially waive its fee in a
proportion agreed upon with SIMC.
Wachovia Bank, N.A. serves as the custodian of the Funds. The custodian plays no
role in determining the investment policies of the Funds or which securities are
to be purchased or sold in the Funds.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities, for the year ended
January 31, 2004, were as follows for the Fixed Income Funds:
- --------------------------------------------------------------------------------
Short- Intermediate- Corporate
Duration Duration Daily
Government Government GNMA Income
Fund Fund Fund Fund
($ Thousands ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PURCHASES
U.S. Government $354,584 $231,275 $468,966 $97,372
Other -- 8,726 -- 93,490
SALES
U.S. Government $360,431 $275,876 $625,948 $107,843
Other -- 8,892 -- 50,535
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company for Federal income tax purposes and distribute all of its taxable income
(including net capital gains). Accordingly, no provision for Federal income
taxes is required.
Reclassification of components of net assets -- The timing and characterization
of certain income and capital gain distributions are determined annually in
accordance with Federal tax regulations which may differ from accounting
principles generally accepted in the United States. As a result, net investment
income (loss) and net realized gain (loss) on investment transactions for the
reporting period may differ from distributions during such period. These
book/tax differences may be temporary or permanent in nature. To the extent
these differences are permanent, they are charged or credited to paid-in capital
or accumulated net realized gain, as appropriate, in the periods that the
differences arise. Accordingly the following permanent differences, have been
classified to/from the following accounts during the fiscal year ended January
31, 2004:
Undistributed Accumulated
Net Investment Net Realized
Paid-in Capital Income Gain (Loss)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Short-Duration Government Fund $-- $1,804 $(1,804)
Intermediate-Duration Government Fund -- 345 (345)
GNMA Fund (6,473) 6,110 363
Corporate Daily Income Fund -- 882 (882)
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 47
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The tax character of dividends and distributions during the last two fiscal years were as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Ordinary Long-term
Income Capital Gain Total
($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------------------------------------------------------
Money Market Fund 2004 $ 8,403 $-- $ 8,403
2003 16,466 -- 16,466
Government Fund 2004 6,104 -- 6,104
2003 10,744 -- 10,744
Government II Fund 2004 7,755 -- 7,755
2003 13,096 -- 13,096
Prime Obligation Fund 2004 43,002 -- 43,002
2003 73,686 -- 73,686
Treasury Fund 2004 4,981 -- 4,981
2003 8,867 -- 8,867
Treasury II Fund 2004 4,636 -- 4,636
2003 9,381 -- 9,381
Short-Duration Government Fund 2004 8,882 -- 8,882
2003 7,628 482 8,110
Intermediate-Duration Government Fund 2004 5,064 2,821 7,885
2003 6,611 -- 6,611
GNMA Fund 2004 15,863 -- 15,863
2003 16,011 -- 16,011
Corporate Daily Income Fund 2004 7,350 -- 7,350
2003 6,999 302 7,301
As of January 31, 2004 the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Undistributed Capital Post- Unrealized
Ordinary Long Term Loss October Appreciation
Income Capital Gain Carryforwards Losses (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------------------------------------------------------
Money Market Fund $-- -- $ (4) $-- $--
Government Fund -- -- (15) -- --
Government II Fund -- -- (110) -- --
Prime Obligation Fund 12 -- (72) -- --
Treasury Fund -- -- (66) -- --
Treasury II Fund 44 -- (208) -- --
Short-Duration Government Fund (6) -- (899) (386) 1,197
Intermediate-Duration Government Fund 2 78 -- -- 941
GNMA Fund (5) -- (9,551) -- 5,439
Corporate Daily Income Fund 4 -- (999) (379) 987
- --------------------------------------------------------------------------------
48 SEI Daily Income Trust / Annual Report / January 31, 2004
At January 31, 2004, the following funds had capital loss carryforwards to
offset future realized capital gains:
- --------------------------------------------------------------------------------
Amount Expiration
($ Thousands) Date
- --------------------------------------------------------------------------------
Money Market Fund $ 4 01/31/2010
Government Fund 5 01/31/2006
5 01/31/2010
5 01/31/2011
Government II Fund 69 01/31/2005
38 01/31/2006
3 01/31/2012
Prime Obligation Fund 27 01/31/2010
43 01/31/2011
2 01/31/2012
Treasury Fund 65 01/31/2011
1 01/31/2012
Treasury II Fund 148 01/31/2006
40 01/31/2010
20 01/31/2011
Short-Duration Government Fund 899 01/31/2012
GNMA Fund 414 01/31/2005
238 01/31/2006
109 01/31/2008
1,607 01/31/2009
776 01/31/2011
6,407 01/31/2012
Corporate Daily Income Fund 557 01/31/2011
442 01/31/2012
During the year ended January 31, 2004, the following funds utilized capital
loss carryforwards to offset realized capital gains.
- --------------------------------------------------------------------------------
Amount
($ Thousands)
- --------------------------------------------------------------------------------
Money Market Fund $ 1
Government Fund 1
Treasury II Fund 2
Intermediate-Duration Government Fund 3,089
The GNMA Fund has a permanent book/tax difference due to the expiration of a
capital loss carryforward. The GNMA Fund had $6,472,568 of capital losses which
have expired as of January 31, 2004. The reclassification of the expired capital
loss is reflected above in "Reclassification of components of net assets".
For Federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. Post-October losses represent
losses realized on investment transactions from November 1, 2003 through January
31, 2004 that, in accordance with Federal income tax regulations the Funds may
elect to defer and treat as having arisen in the following fiscal year.
At January 31, 2004 the Money Market Funds cost of securities for Federal income
tax purposes approximates the cost located in the Statement of Net Assets.
The Federal tax cost and aggregate gross unrealized appreciation and
depreciation on investments held by the Fixed Income Funds at January 31, 2004,
were as follows:
- --------------------------------------------------------------------------------
Net
Federal Appreciated Depreciated Unrealized
Tax Cost Securities Securities Appreciation
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Short-Duration
Government Fund $290,656 $1,884 $(687) $1,197
Intermediate-Duration
Government Fund 133,246 1,148 (207) 941
GNMA Fund 215,513 5,453 (14) 5,439
Corporate Daily
Income Fund 292,118 1,396 (409) 987
7. INVESTMENT RISKS
In the normal course of business, the Funds enter into contracts that provide
general indemnifications. The Funds' maximum exposure under these arrangements
is dependent on future claims that may be made against the Funds and, therefore,
cannot be established; however, based on experience, the risk of loss from such
claim is considered remote.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 49
Trustees and Officers of the Trust (Unaudited)
Set forth below are the names, dates of birth, position with the SEI Daily
Income Trust (the "Trust"), length of term of office, the principal occupations
for the last five years, number of portfolios in fund complex overseen by
trustee, and other directorships outside fund complex of each of the persons
currently serving as Trustees and Officers of the Trust. The Trust's Statement
of Additional Information ("SAI") includes additional information about the
Trustees. The SAI may be obtained without charge by calling [1-800-342-5734].
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------
Robert A. Nesher Chairman since 1982 Currently performs various 69 Trustee of The Advisors' Inner
One Freedom of the services on behalf of SEI Circle Fund, The Arbor Fund,
Valley Drive, Board of Investments for which Mr. Bishop Street Funds, The MDL
Oaks, PA 19456 Trustees* Nesher is compensated. Funds, The Expedition Funds,
57 yrs. old SEI Global Master Fund, plc, SEI
Global Assets Fund, plc, SEI
Global Investments Fund, plc,
SEI Investments Global, Limited,
SEI Absolute Return Master Fund,
L.P., and SEI Opportunity Master
Fund, L.P.
- ------------------------------------------------------------------------------------------------------------------------------------
William M. Doran Trustee* since 1982 Self-employed consultant. Partner, 69 Trustee of The Advisors' Inner
1701 Market Street Morgan, Lewis & Bockius LLP Circle Fund, The Arbor Fund,
Philadelphia, PA (law firm) from 1976 to 2003, The MDL Funds, and The
19103 counsel to the Trust, SEI Expedition Funds; Director of
63 yrs. old Investments, SIMC, the SEI Investments since 1974.
Administrator and theDistributor. Director of the Distributor
since 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES
- --------
F. Wendell Gooch Trustee since 1982 Retired 69 Trustee of STI Classic Funds
One Freedom and STI Classic Variable Trust.
Valley Drive,
Oaks, PA 19456
71 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee since 1995 Attorney, sole practitioner since 69 Trustee of The Advisors' Inner
One Freedom 1994. Partner, Dechert Price Circle Fund, The Arbor Fund,
Valley Drive, & Rhoads, September 1987- The MDL Funds, and The
Oaks, PA 19456 December 1993. Expedition Funds. Director of 72
yrs. old U.S. Charitable Gift Trust, State
Street Research Capital Trust,
Massachusetts Health and
Education Tax-Exempt Trust.
- ------------------------------------------------------------------------------------------------------------------------------------
George J. Sullivan, Jr. Trustee since 1996 Chief Executive, Newfound 69 Trustee of The Advisors' Inner
One Freedom Consultants Inc. since April 1997. Circle Fund, The Arbor Fund,
Valley Drive The MDL Funds, The Expedition
Oaks, PA 19456 Funds, State Street Navigator
61 yrs. old Securities Lending Trust, SEI
Absolute Return Master Fund, L.P.
and SEI Opportunity Master Fund,
L.P.
- ------------------------------------------------------------------------------------------------------------------------------------
Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 69 Director, Sonoco, Inc.; Director,
One Freedom` Health Care Reform, Commonwealth Exelon Corporation; Trustee,
Valley Drive of Pennsylvania since 2003. Founder Pennsylvania Real Estate
Oaks, PA 19456 and Principal, Grecoventures Ltd. Investment Trust.
57 yrs. old from 1999 to 2002.
- ------------------------------------------------------------------------------------------------------------------------------------
<FN>
*MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED TO BE "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940
ACT BY VIRTUE OF THEIR AFFILIATION WITH THE TRUSTS' DISTRIBUTOR.
1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR
UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST.
2THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS:SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS,
SEIINSTITUTIONAL INVESTMENTS TRUST, SEIINSTITUTIONAL INTERNATIONAL TRUST, SEIINSTITUTIONAL MANAGED TRUST, SEI INSURANCE PRODUCTS
TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST.
</FN>
- --------------------------------------------------------------------------------
50 SEI Daily Income Trust / Annual Report / January 31, 2004
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES (CONTINUED)
- --------
Nina Lesavoy Trustee since 2003 Partner, Cue Capital since 2002, Head 69 SEI Absolute Return Master
One Freedom of Sales Investorforce, January 2002- Fund, L.P. and SEI Opportunity
Valley Drive, December 2001; Global Partner work- Master Fund, L.P.
Oaks, PA 19456 ing for the CEO, Invesco Capital,
46 yrs. old January 1998-January 2000. Head of
Sales and Client Services, Chancellor
Capital and later LGT Asset Management,
1986-2000.
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------
Edward D. Loughlin President since 1982 Executive Vice President and N/A N/A
One Freedom & CEO President - Asset Management
Valley Drive, Division of SEI Investments since 1993.
Oaks, PA 19456 Executive Vice President of SIMC since
52 yrs. old 1999. Chief Investment Officer of SIMC,
Chief Executive Officer of the Administrator
and Executive Vice President of the
Distributor since 2003. Executive Vice
President of the Administrator, 1994-2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Peter (Pedro) A. Controller and since 2003 Director, Fund Accounting and N/A N/A
Rodriguez Chief Administration, SEI Investments Global
One Freedom Financial Funds Services since September 2002
Valley Drive, Officer (and 1997-2002); Vice President, Fund
Oaks, PA 19456 Administration, BlackRock Financial
41 yrs. old Management (April 2002 to September
2002).
- ------------------------------------------------------------------------------------------------------------------------------------
Timothy D. Barto Vice since 2002 Employed by SEI Investments since N/A N/A
One Freedom President October 1999. General Counsel
Valley Drive and of SIMC and the Administrator since
Oaks, PA 19456 Assistant 2003. Vice President and Assistant
35 yrs. old Secretary Secretary of SIMC and the Administrator
since 1999. Assistant Secretary of the
Distributor since 1999. Vice President of
Distributor, 1999-2003. Associate, Dechert
Price & Rhoads (law firm) 1997-1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Lydia A. Gavalis Vice since 1998 Assistant Secretary of SEI Investments, N/A N/A
One Freedom President SIMC, the Administrator and the
Valley Drive and Distributor since 1998. Vice President
Oaks, PA 19456 Assistant of SEI Investments, SIMC, the
38 yrs. old Secretary Administrator and the Distributor,
1998-2003.
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 51
Trustees and Officers of the Trust (Unaudited) (Concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED1 FIVE YEARS BY TRUSTEE2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------------------
Christine M. Vice since 1999 Employed by SEI Investments since N/A N/A
McCullough President 1999. Vice President and Assistant
One Freedom and Secretary of SIMC, the Administrator
Valley Drive Assistant and the Distributor, 1999-2003.
Oaks, PA 19456 Secretary Associate at White and Williams LLP,
42 yrs. old 1991-1999.
- ------------------------------------------------------------------------------------------------------------------------------------
William E. Zitelli, Jr. Vice since 2001 Employed by SEI Investments since N/A N/A
One Freedom President 2000. Assistant Secretary of SIMC,
Valley Drive and the Administrator and Distributor
Oaks, PA 19456 Assistant since 2000. Vice President of SIMC,
34 yrs. old Secretary the Administrator and Distributor,
2000-2003. Vice President,
Merrill Lynch & Co. Asset
Management Group,
1998-2000.
- ------------------------------------------------------------------------------------------------------------------------------------
John C. Munch Vice since 2002 Employed by SEI Investments since N/A N/A
One Freedom President 2001. General Counsel of the Distributor
Valley Drive and since 2003, Vice President of the
Oaks, PA 19456 Assistant Distributor, and Assistant Secretary
32 yrs. old Secretary of SIMC, the Administrator and
Distributor since 2001, Vice President
of SIMC and the Administrator, 2001-2003.
Associate, Howard, Rice, Nemorvoski,
Canady, Falk & Rabkin (law firm),
1998-2001.
- ------------------------------------------------------------------------------------------------------------------------------------
John Munera Vice since 2002 Middle Office Compliance Officer at SEI N/A N/A
One Freedom President Investments since 2000; Supervising
Valley Drive and Examiner at Federal Reserve Bank of
Oaks, PA 19456 Assistant Philadelphia from 1998-2000.
41 yrs. old Secretary
- ------------------------------------------------------------------------------------------------------------------------------------
Cori Daggett Vice since 2003 Employed by SEI Investments N/A N/A
One Freedom President since 2003. Associate at Drinker
Valley Drive and Biddle & Reath, LLP (law firm),
Oaks, PA 19456 Assistant 1998-2003.
42 yrs. old Secretary
- ------------------------------------------------------------------------------------------------------------------------------------
<FN>
1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR
UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST.
2THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS:SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI
INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI INSURANCE PRODUCTS
TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST.
</FN>
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 52
Notice to Shareholders (Unaudited)
FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL
PURPOSES ONLY.
For the fiscal year ended January 31, 2004, each fund is designating long-term
capital gains, and exempt income with regard to distributions paid during the
year as follows:
(A) (B)
LONG TERM ORDINARY (C)
CAPITAL GAINS INCOME TOTAL (D)
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS QUALIFYING
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) DIVIDENDS(1)
Money Market Fund --% 100% 100% --%
Government Fund -- 100 100 --
Government II Fund -- 100 100 --
Prime Obligation Fund -- 100 100 --
Treasury Fund -- 100 100 --
Treasury II Fund -- 100 100 --
Short-Duration Government Fund -- 100 100 --
Intermediate-Duration
Government Fund 34.55 65.45 100 --
GNMA Fund -- 100 100 --
Corporate Daily Income Fund -- 100 100 --
<FN>
(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.
Items (A), (B) and (C) are based on the percentage of the fund's total distribution.
Please consult your tax adviser for proper treatment of this information.
</FN>
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2004 53
Notes
Notes
Notes
Notes
Notes
Notes
Notes
SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2004
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
Rosemarie B. Greco
Nina Lesavoy
James M. Storey
George J. Sullivan, Jr.
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Peter (Pedro) A. Rodriguez
CONTROLLER AND CHIEF FINANCIAL OFFICER
Timothy D. Barto
VICE PRESIDENT, SECRETARY
Cori E. Daggett
VICE PRESIDENT, ASSISTANT SECRETARY
Lydia A. Gavalis
VICE PRESIDENT, ASSISTANT SECRETARY
Christine M. McCullough
VICE PRESIDENT, ASSISTANT SECRETARY
John C. Munch
VICE PRESIDENT, ASSISTANT SECRETARY
John J. Munera
VICE PRESIDENT, ASSISTANT SECRETARY
William E. Zitelli, Jr.
VICE PRESIDENT, ASSISTANT SECRETARY
INVESTMENT ADVISER
SEI Investments Management Corporation:
MONEY MARKET FUND
GOVERNMENT FUND
GOVERNMENT II FUND
PRIME OBLIGATION FUND
TREASURY FUND
TREASURY II FUND
Wellington Management Company, LLP:
SHORT-DURATION GOVERNMENT FUND
INTERMEDIATE-DURATION GOVERNMENT FUND
GNMA FUND
CORPORATE DAILY INCOME FUND
SUB-ADVISORS
Banc of America Capital Management, LLC:
MONEY MARKET FUND
GOVERNMENT FUND
GOVERNMENT II FUND
PRIME OBLIGATION FUND
TREASURY FUND
TREASURY II FUND
ADMINISTRATOR
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT AUDITORS
Ernst & Young LLP
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Trust and must be preceded or
accompanied by a current prospectus. Shares of the Funds are not deposits or
obligations of, or guaranteed or endorsed by, any bank. The shares are not
federally insured by the Federal Deposit Insurance Corporation (FDIC), the
Federal Reserve Board, or any other government agency. Investment in the shares
involves risk, including the possible loss of principal.
FOR MORE INFORMATION CALL
1 800 DIAL SEI
(1 800 342 5734)
[Background Graphic Omitted]
[SEI INVESTEMENTS Logo Omitted]
SEI Investments Distribution Co.
Oaks, PA 19456
1 800-DIAL-SEI (1 800 342 5734)
SEI-F-022 (1/04)
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, comptroller or
principal accounting officer.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) The registrant's board of trustees has determined that the registrant
has one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr.
Sullivan is an independent as defined in Form N-CSR Item 3 (a) (2).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Fees billed by Ernst & Young, LLP Related to the Trust
Ernst & Young, LLP billed the Trust aggregate fees for services rendered to the
Trust for the last two fiscal years as follows:
- ---------------- ----------------------------------------------------- -----------------------------------------------------
2004 2003
- ----- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
All fees and All fees and All other fees All fees and All fees and All other fees
services to the services to and services to services to the services to and services to
Trust that were service service Trust that were service service
pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that
were did not require were did not require
pre-approved pre-approval pre-approved pre-approval
- ----- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(a) Audit $128,000 N/A $0 $115,500 N/A $0
Fees(1)
- ----- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(b) Audit- $0 $0 $0 $0 $0 $0
Related
Fees
- ----- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(c) Tax $0 $0 $0 $0 $0 $0
Fees
- ----- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(d) All $0 $0 $0 $0 $0 $250,000(2)
Other
Fees
- ----- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes:
(1) Audit fees include amounts related to the audit of the registrant's
annual financial statements and services normally provided by the
accountant in connection with statutory and regulatory filings.
(2) Non-audit fees include amounts related to advisory services provided
for our analysis of expense classifications for a fund complex
administered by SEI and advisory services provided for benchmarking
and best practice study results for mutual fund operations.
(e)(1) Not Applicable.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant
to waiver of pre-approval requirement were as follows:
------------------------ ---------------- ---------------
2004 2003
------------------------ ---------------- ---------------
Audit-Related Fees 0% 0%
------------------------ ---------------- ---------------
Tax Fees 0% 0%
------------------------ ---------------- ---------------
All Other Fees 0% 0%
------------------------ ---------------- ---------------
(f) Not Applicable.
(g) The aggregate non-audit fees and services billed by Ernst & Young,
LLP for the last two fiscal years were $0 and $250,000 for 2004 and 2003,
respectively.
(h) Not Applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. (RESERVED)
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. (RESERVED)
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 10. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. In their opinion, based on their evaluation, the
registrant's disclosure controls and procedures are adequately designed, and are
operating effectively to ensure, that information required to be disclosed by
the registrant in the reports it files or submits under the Securities Exchange
Act of 1934 is recorded, processed, summarized and reported within the time
periods specified in the Securities and Exchange Commission's rules and forms.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal half-year
that has materially affected, or is reasonably likely to materially affect, the
registrants internal control over financial reporting.
ITEM 11. EXHIBITS.
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Daily Income Trust
By (Signature and Title)* /s/ Edward D. Loughlin
---------------------------------
Edward D. Loughlin, President & CEO
Date 03/23/04
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Edward D. Loughlin
---------------------------------
Edward D. Loughlin, President & CEO
Date 03/23/04
By (Signature and Title)* /s/ Peter (Pedro) A. Rodriguez
--------------------------------------
Peter (Pedro) A. Rodriguez, Controller & CFO
Date 03/23/04
* Print the name and title of each signing officer under his or her signature.