UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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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)
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c/o CT Corporation
101 Federal Street
Boston, MA 02110
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
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, 2005
DATE OF REPORTING PERIOD: JANUARY 31, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
[Background graphic omitted]
SEI INVESTMENTS
Annual Report as of January 31, 2005
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
Ultra Short Bond Fund
<page>
TABLE OF CONTENTS
- ------------------------------------------------------------
Letter to Shareholders 1
- ------------------------------------------------------------
Management's Discussion and Analysis of Fund Performance 2
- ------------------------------------------------------------
Report of Independent Registered Public Accounting Firm 7
- ------------------------------------------------------------
Statements of Net Assets/Schedule of Investments 8
- ------------------------------------------------------------
Statements of Assets and Liabilities 33
- ------------------------------------------------------------
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
- ------------------------------------------------------------
Disclosure of Fund Expenses 53
- ------------------------------------------------------------
Notice to Shareholders 55
- ------------------------------------------------------------
Shareholder Voting Results 56
- ------------------------------------------------------------
The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q
are available on the Commission's web site at http://www.sec.gov, and may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
Since the Funds in SEI Daily Income Trust typically hold only fixed income
securities, they generally are not expected to hold securities for which they
may be required to vote proxies. Regardless, in light of the possibility that a
Fund could hold a security for which a proxy is voted, the Trust has adopted
proxy voting policies. A description of the policies and procedures that the
Trust uses to determine how to vote proxies relating to portfolio securities, as
well as information relating to how a Fund voted proxies relating to portfolio
securities during the most recent 12-month period ended June 30, is available
without charge (i) upon request, by calling 1-800-DIAL-SEI; and (ii) on the
Commission's website at http://www.sec.gov.
<page>
SEI DAILY INCOME TRUST -- JANUARY 31, 2005
Letter to Shareholders
TO OUR SHAREHOLDERS:
Overall, financial markets' activity was fairly positive throughout the fiscal
year ended January 2005. Before advancing sharply in the final three months of
the period, equity markets moved in a tunnel fashion for much of the year amid
concern over inflation pressures, rising interest rates, the U.S. presidential
election and looming geopolitical matters. Despite several shifts in the
direction of interest rates, U.S. bond yields closed out the year virtually
flat.
On the back of solid economic growth and benign inflation, the Federal
Reserve--as anticipated--initiated tightening monetary policy by raising the
target rate 25 basis points coming out of its June meeting. The Fed continued to
raise rates in a `measured pace' through year's end, elevating the Fed Funds
rate by a total of 125 basis points to 2.25%.
Investors' continued demand for credit risk amidst the economic recovery and
continual improvement of the corporate sector via solid balance sheets and
increased Mergers and Acquisitions activity helped to fuel the price of
corporate funding using commercial paper and other corporate obligations.
As the Federal Reserve pushed short-term rates higher, investment in money
market funds increased over the course of the fiscal year.
As always, 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, 2005 1
<page>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2005
Short-Duration Government Fund
Objectives
The Short-Duration Government Fund (the "Fund") seeks to preserve principal
value and maintain a high degree of liquidity while providing current income.
The Fund invests substantially all of its net assets in securities issued by the
U.S. Government and backed by its full faith and credit, and securities issued
by the 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 the direction of interest rates. The distribution of
maturities for individual securities will also be managed to take advantage of
expected changes in the shape of 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 year ended January 31, 2005 proved to be a challenging one for the U.S. bond
market as investors had to contend with interest rate volatility, changing
expectations of economic growth and inflation, as well as continuing
geopolitical concerns. Interest rates declined in the beginning of 2004 as
persistent softness in the labor market and muted inflation allowed the Federal
Reserve (the "Fed") to maintain an accommodative monetary policy, thereby
driving the yield on the two year Treasury notes to 1.46%. On June 30, 2004, the
Fed actually delivered the first of five 25 basis point increases in rates. The
dramatic rebound in the labor market over the ensuing months, however, when
combined with the surge in GDP and the whiff of inflation caused market
sentiment to swing into negative territory. Short-term rates climbed higher and
Fed Funds futures priced in a steady pace of rate hikes, predicting a 3.0% to
3.5% level by the middle of 2005. Escalating oil prices and geopolitical
tensions also added to market uncertainties during the period, leading to spurts
of flights to quality and higher risk premium on lower quality assets. This 150
basis point flattening of the yield curve caused by short rates rising faster
than longer rates, was primarily due to the moderating inflation and bank and
foreign support for U.S. Treasuries and agency securities.
All of the spread sectors, except for U.S. Government Agency Securities,
outperformed Treasuries for the period with the credit sector leading the pack
again this year. Improving underlying credit trends, limited supply and
investors increasing risk appetite were some of the factors supporting this
sector. In general, credit spreads were slightly narrower and corporate event
risk, while making an appearance again after a long period of dormancy, remained
manageable. Lower default rates, tightening spreads and declining volatility
propelled the mortgage-backed securities and asset-backed securities sectors to
also outperform Treasuries.
Analysis
For the fiscal year ended January 31, 2005, the Short-Duration Government Fund,
Class A posted a 0.96% return compared to a 0.67% return for its benchmark, the
Merrill Lynch 1-3 Year U.S. Treasury Bond Index. The Fund's defensive interest
rate posture relative to the Index was additive to performance as interest rates
rose for the year. Exposure to the Mortgage-Backed Securities sector was also a
positive contributor to performance as volatility remained low allowing
investors to benefit from incremental yield in a low interest rate environment.
Short-Duration Government Fund
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
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 0.96% 2.58% 4.60% 5.36% 5.87%
- --------------------------------------------------------------------------------
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. The chart assumes all dividends and capital gain distributions are
reinvested.
[Line Graphic Omitted] Plot points are as follows:
Short Duration Merrill Lynch
Government Fund, 1-3 Year U.S. Treasury
Class A Bond Index
1/31/95 $10,000 $10,000
1/31/96 11,027 11,039
1/31/97 11,536 11,545
1/31/98 12,371 12,375
1/31/99 13,173 13,165
1/31/00 13,466 13,510
1/31/01 14,697 14,779
1/31/02 15,620 15,840
1/31/03 16,446 16,716
1/31/04 16,701 17,070
1/31/05 16,861 17,185
1 For the periods ended January 31, 2005. 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, 2005
<page>
Intermediate-Duration Government Fund
Objectives
The Intermediate-Duration Government Fund (the "Fund") seeks to preserve
principal value and maintain a high degree of 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 the U.S. Government
agencies. The weighted average maturity of the Fund is two and a half 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 the direction of interest rates. The distribution of
maturities for individual securities will also be managed to take advantage of
expected changes in the shape of 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 year ended January 31, 2005 proved to be a challenging one for the U.S. bond
market as investors had to contend with interest rate volatility, changing
expectations of economic growth and inflation, as well as continuing
geopolitical concerns. Interest rates declined in the beginning of 2004 as
persistent softness in the labor market and muted inflation allowed the Federal
Reserve (the "Fed") to maintain an accommodative monetary policy, thereby
driving the yield on the five year Treasury notes to 2.64%. On June 30, 2004,
the Fed actually delivered the first of five 25 basis point increases in rates.
The dramatic rebound in the labor market over the ensuing months, however, when
combined with the surge in GDP and the whiff of inflation caused market
sentiment to swing into negative territory. Short-term rates climbed higher and
Fed Funds futures priced in a steady pace of rate hikes, predicting a 3.0% to
3.5% level by the middle of 2005. Escalating oil prices and geopolitical
tensions also added to market uncertainties during the period, leading to spurts
of flights to quality and higher risk premium on lower quality assets. The
market ended the period with two year Treasury yields higher by 150 basis points
while the yield on five year Treasuries increased only 50 basis points. This 100
basis point flattening of the yield curve, caused by short rates rising faster
than longer rates, was primarily due to the moderating inflation and bank and
foreign support for U.S. Treasuries and agency securities.
All of the spread sectors, except for agencies, outperformed Treasuries for the
period with the credit sector leading the pack again this year. Improving
underlying credit trends, limited supply and investors increasing risk appetite
were some of the factors supporting this sector. In general, credit spreads were
slightly narrower and corporate event risk, while making an appearance again
after a long period of dormancy, remained manageable. Lower default rates,
tightening spreads and declining volatility propelled the mortgage-backed
securities and asset-backed securities sectors to also outperform Treasuries.
Analysis
For the fiscal year ended January 31, 2005, the Intermediate-Duration Government
Fund, Class A posted a return of 1.85% versus the 1.48% return of its benchmark,
the Merrill Lynch 3-5 Year U.S. Treasury Bond Index. The Fund's defensive
interest rate posture relative to the Index was additive to performance as
interest rates rose for the year. Exposure to the mortgage-backed securities
sector was also a positive contributor to performance as volatility remained low
allowing investors to benefit from incremental yield in a low interest rate
environment. Additionally the Fund was positioned to benefit from the flattening
of the yield curve.
Intermediate-Duration Government Fund
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
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 1.85% 4.60% 6.64% 6.58% 6.72%
- --------------------------------------------------------------------------------
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. The chart assumes all dividends and capital gain
distributions are reinvested.
[Line Graphic Omitted] Plot points are as follows:
Intermediate Duration Merrill Lynch
Government Fund, 3-5 Year U.S. Treasury
Class A Bond Index
1/31/95 $10,000 $10,000
1/31/96 11,460 11,516
1/31/97 11,782 11,855
1/31/98 12,860 12,956
1/31/99 13,819 13,996
1/31/00 13,713 13,846
1/31/01 15,416 15,623
1/31/02 16,525 16,812
1/31/03 18,032 18,564
1/31/04 18,569 19,217
1/31/05 18,913 19,502
1 For the periods ended January 31, 2005. 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, 2005 3
<page>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE (CONTINUED)
SEI DAILY INCOME TRUST -- JANUARY 31, 2005
GNMA Fund
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.
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 year ended January 31, 2005 proved to be a challenging one for the U.S. bond
market as investors had to contend with interest rate volatility, changing
expectations of economic growth and inflation, as well as continuing
geopolitical concerns. Interest rates declined in the beginning of 2004 as
persistent softness in the labor market and muted inflation allowed the Federal
Reserve (the "Fed") to maintain an accommodative monetary policy, thereby
driving the yield on the five year Treasury notes to 2.64%. On June 30, 2004,
the Fed actually delivered the first of five 25 basis point increases in rates.
The dramatic rebound in the labor market over the ensuing months, however, when
combined with the surge in GDP and the whiff of inflation caused market
sentiment to swing into negative territory. Short-term rates climbed higher and
Fed Funds futures priced in a steady pace of rate hikes, predicting a 3.0% to
3.5% level by the middle of 2005. Escalating oil prices and geopolitical
tensions also added to market uncertainties during the period, leading to spurts
of flights to quality and higher risk premium on lower quality assets. The
market ended the period with two year Treasury yields higher by 150 basis points
while the yield on five year Treasuries increased only 50 basis points. This 100
basis point flattening of the yield curve, caused by short rates rising faster
than long term rates was primarily due to the moderating inflation and bank and
foreign support for U.S. Treasuries and agencies securities.
The mortgage-backed security sector performed exceptionally well, as it was one
of the best performing sectors for the period, despite the initial bearish
outlook for the sector fueled by expectations for rising long term interest
rates and slowing prepayments. Lower default rates, tightening spreads and
declining volatility propelled the mortgage-backed securities sector to another
year of positive absolute and relative returns. The early decline in interest
rates, followed by the sharp spike in rates in April, unsettled the sector, but
that was the only period of volatility the market experienced in 2004. From that
point forward, interest rates traded in a range and volatility dramatically
declined to an eight year low. Positive fundamentals, including lower consumer
default rates and strong technical conditions, such as limited supply, combined
to more than offset the negative news at Fannie Mae, including the resignation
of both Fannie Mae's chief executive and chief financial officers.
Analysis
For the fiscal year ending January 31, 2005, the GNMA Fund,
Class A posted a 3.64% return versus the 4.22% return of its benchmark, the
Citigroup 30-Year GNMA Index. The Fund was positioned for rising interest rates
and the resultant increase in volatility. However, while short term rates
increased, yields on the longer end of the curve declined and volatility was non
existent. This proved detrimental to the Fund's performance. Partially
offsetting this was the positive contribution to performance due to an
allocation to long U.S. Treasuries in the Fund.
GNMA Fund
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
GNMA Fund, Class A 3.64% 4.48% 6.77% 6.80% 7.13%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the GNMA Fund,
Class A, versus the Citigroup 30-Year GNMA Index. The chart assumes all
dividends and capital gain distributions are reinvested.
[Line Graphic Omitted] Plot points are as follows:
GNMA Fund, Citigroup 30-Year
Class A GNMA Index
1/31/95 $10,000 $10,000
1/31/96 11,506 11,537
1/31/97 12,047 12,203
1/31/98 13,194 13,340
1/31/99 14,086 14,231
1/31/00 13,919 14,301
1/31/01 15,790 16,293
1/31/02 16,930 17,543
1/31/03 18,239 18,923
1/31/04 18,633 19,514
1/31/05 19,311 20,337
1 For the periods ended January 31, 2005. 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, 2005
<page>
Ultra Short Bond Fund
Objectives
The Ultra Short Bond Fund (the "Fund") seeks to provide a higher current income
than typically offered by a money market fund while maintaining a high degree of
liquidity and minimal principal volatility. The Fund invests in investment grade
U.S. dollar-denominated investments, including mortgage-backed securities,
asset-backed securities, and U.S. dollar denominated investments of foreign
issuers. The duration of the Fund's portfolio 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 use of sector strategies, security
selection and duration management. In determining the average maturity and
duration position of the Fund, the sub-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 year ended January 31, 2005 proved to be a challenging one for the U.S. bond
market as investors had to contend with interest rate volatility, changing
expectations of economic growth and inflation, as well as continuing
geopolitical concerns. Interest rates declined in the beginning of 2004 as
persistent softness in the labor market and muted inflation allowed the Federal
Reserve (the "Fed") to maintain an accommodative monetary policy, thereby
driving the yield on the two year Treasury notes to 1.46%. On June 30, 2004, the
Fed actually delivered the first of five 25 basis point increases in rates. The
dramatic rebound in the labor market over the ensuing months, however, when
combined with the surge in GDP and the whiff of inflation, caused market
sentiment to swing into negative territory. Short-term rates climbed higher and
Fed Funds futures priced in a steady pace of rate hikes, predicting a 3.0% to
3.5% level by the middle of 2005. Escalating oil prices and geopolitical
tensions also added to market uncertainties during the period, leading to spurts
of flights to quality and higher risk premium on lower quality assets. The
market ended the period with short rates higher by 150 basis points and with
only moderate inflation expectations. The yield curve reacted as expected, by
flattening approximately 40 basis points between the Fed Funds rate and three
year Treasury notes.
All of the spread sectors, except for agencies, outperformed Treasuries for the
period with the credit sector leading the pack again this year. Improving
underlying credit trends, limited supply and investors increasing risk appetite
were some of the factors supporting this sector. In general, credit spreads were
slightly narrower and corporate event risk, while making an appearance again
after a long period of dormancy, remained manageable. Lower default rates,
tightening spreads and declining volatility propelled the mortgage-backed
securities and asset-backed securities sectors to also outperform Treasuries.
Analysis
For the fiscal year ended January 31, 2005, the Ultra Short Bond Fund, Class A
returned 1.11%, versus the 0.92% return of its benchmark, the Lehman Brothers
9-12 Month Treasury Index. The Fund's defensive interest rate posture relative
to the Index was additive to performance as interest rates rose for the year.
Exposure to non-Treasury sectors, especially asset-backed securities and
corporate bonds, was also a positive contributor to performance as investors
sought incremental yield in a low interest rate environment.
Ultra Short Bond Fund
AVERAGE ANNUAL TOTAL RETURN1
- --------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
- --------------------------------------------------------------------------------
Ultra Short Bond Fund
Fund, Class A 1.11% 2.02% 4.09% 4.99% 4.73%
- --------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the Ultra Short
Bond Fund, Class A, versus the Lehman Brothers 9-12 Month Treasury Index. The
chart assumes all dividends and capital gain distributions are reinvested.
[Line Graphic Omitted] Plot points are as follows:
Ultra Short Lehman Brothers
Bond Fund, 9-12 Month
Class A Treasury Index
1/31/95 $10,000 $10,000
1/31/96 10,865 10,759
1/31/97 11,431 11,359
1/31/98 12,150 12,070
1/31/99 12,832 12,769
1/31/00 13,315 13,326
1/31/01 14,441 14,334
1/31/02 15,319 15,123
1/31/03 15,832 15,569
1/31/04 16,087 15,798
1/31/05 16,265 15,944
1 For the periods ended January 31, 2005. 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, 2005 5
<page>
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE (CONTINUED)
SEI DAILY INCOME TRUST -- JANUARY 31, 2005
DEFINITION OF THE COMPARATIVE INDICES*
CITIGROUP 30-YEAR GNMA INDEX is a widely-recognized, market weighted index of
GNMA mortgage-backed securities with remaining maturities of 30 years or less.
LEHMAN BROTHERS 9-12 MONTH TREASURY INDEX is a widely-recognized, market
weighted index of U.S. Treasury Bonds with remaining maturities between nine and
twelve months.
MERRILL LYNCH 1-3 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market
weighted index of U.S. Treasury Bonds with maturities between one and three
years.
MERRILL LYNCH 3-5 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market
weighted index of U.S. Treasury Bonds with maturities between three and five
years.
*An index measures the market price of a specific group of securities in a
particular market or securities in a market sector. You cannot invest directly
in an index. An index does not have an investment adviser and does not pay any
commissions or expenses. If an index had expenses, its performance would be
lower.
- --------------------------------------------------------------------------------
6 SEI Daily Income Trust / Annual Report / January 31, 2005
<page>
SEI DAILY INCOME TRUST -- JANUARY 31, 2005
Report of Independent Registered Public Accounting Firm
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF SEI DAILY INCOME TRUST:
We have audited the accompanying statements of net assets of the Money Market
Fund, Government Fund, Government II Fund, Prime Obligation Fund, Treasury Fund,
Short-Duration Government Fund, GNMA Fund, and Ultra-Short Bond Fund, and
statements of assets and liabilities, including the schedules of investments of
Treasury II Fund and Intermediate-Duration Government Fund (comprising SEI Daily
Income Trust) (the "Trust") as of January 31, 2005, and the related statements
of operations for the year then ended, the statements of changes in net assets
for each of the two years in the period then ended, and the financial highlights
for each of the three 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 the standards of the Public Company
Accounting Oversight Board (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. We were
not engaged to perform an audit of the Trust's internal control over financial
reporting. Our audit included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Trust's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of January 31, 2005, by correspondence with the custodian
and brokers or by other appropriate auditing procedures where replies from the
broker were not received. 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 funds constituting the SEI Daily Income Trust at January 31,
2005, the results of their operations for the year then ended, the changes in
their net assets for each of the two years in the period then ended, and the
financial highlights for each of the three years in the period then ended, in
conformity with U.S. generally accepted accounting principles.
/s/Ernst & Young LLP
Philadelphia, Pennsylvania
March 11, 2005
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 7
STATEMENT OF NET ASSETS
Money Market Fund
January 31, 2005
- ---------------------------------------------------------------
[Bar Chart Omitted] Percentages are as follows:
Sector Weightings (unaudited)*:
33.8% Corporate Bonds
21.8% U.S. Government Agency Obligations
17.8% Commercial Paper
16.5% Certificates of Deposit
4.6% Insurance Funding Agreements
2.9% Extendable Commercial Note
2.2% Repurchase Agreements
0.4% Municipal Bonds
*Percentages based on total investments.
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
CORPORATE BONDS -- 33.8%
ASSET BACKED - DIVERSIFIED OPERATIONS (E) -- 0.6%
Permanent Financing PLC,
Ser 4, Cl 1A (B)
2.370%, 02/10/05 $ 5,000 $ 5,000
---------
ASSET BACKED - FINANCIAL SERVICES (E) -- 18.3%
Beta Finance Incorporated
MTN (B) (F)
2.470%, 02/24/05 20,000 19,996
Beta Finance Incorporated
MTN, Ser 1 (B) (F)
2.307%, 04/26/05 5,000 5,000
CC USA Incorporated MTN (B) (F)
2.480%, 02/25/05 20,000 19,996
CC USA Incorporated MTN (F)
2.485%, 11/04/05 7,000 6,999
K2 LLC MTN, Ser 1 (B) (F)
2.440%, 02/15/05 10,000 9,999
Links Finance Incorporated MTN (F)
1.880%, 06/20/05 16,500 16,479
2.180%, 07/15/05 10,000 10,000
Premier Asset Collateralized
Entity LLC MTN (B) (F)
2.410%, 02/14/05 10,000 10,000
Sigma Finance Incorporated
MTN (B) (F)
2.216%, 02/14/05 10,000 9,998
2.465%, 02/15/05 3,000 3,000
2.430%, 03/10/05 15,000 14,997
Sigma Finance Incorporated
MTN, Ser 1 (B) (F)
2.320%, 02/01/05 10,000 10,000
White Pine Finance (B)
2.410%, 02/14/05 10,000 9,999
2.490%, 02/25/05 10,000 9,999
---------
156,462
---------
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
ASSET BACKED - OTHER (E) -- 6.1%
GSTR, Ser 2002-2A, Cl A1MB (B) (F)
2.604%, 02/25/05 $ 667 $ 667
Harrier Finance Funding LLC
MTN (B) (F)
2.500%, 02/25/05 15,000 15,000
Holmes Financing PLC, Ser 8,
Cl 1A (B)
2.430%, 02/15/05 20,000 20,000
Residential Mortgage Securities,
Ser 17A, Cl A1 (B) (F)
2.450%, 02/14/05 16,261 16,261
---------
51,928
---------
AUTOMOTIVE -- 3.5%
Toyota Motor Credit Corporation
MTN (B)
2.480%, 02/09/05 20,000 20,014
Toyota Motor Credit Corporation
MTN, Ser 1 (B)
2.470%, 03/30/05 10,000 10,000
---------
30,014
---------
BANKS -- 1.2%
Wells Fargo Bank N.A. (B)
2.290%, 03/21/05 10,000 10,000
---------
INVESTMENT BANKER/BROKER DEALER -- 4.1%
Goldman Sachs Group
Incorporated (B)
2.502%, 02/14/05 10,000 10,000
Merrill Lynch & Company
Incorporated (B)
2.240%, 02/17/05 20,000 20,000
2.600%, 02/25/05 5,000 5,001
---------
35,001
---------
Total Corporate Bonds
(Cost $288,405) ($ Thousands) 288,405
---------
CERTIFICATES OF DEPOSIT -- 16.5%
BB&T Corporation (B)
2.190%, 02/10/05 20,000 19,995
Banque National De Paris (B)
2.292%, 04/15/05 8,500 8,500
Barclays Bank PLC NY (B)
2.448%, 03/29/05 20,000 19,992
Canadian Imperial Bank of
Commerce NY
2.800%, 12/16/05 5,000 5,000
2.955%, 12/30/05 10,000 10,000
- --------------------------------------------------------------------------------
8 SEI Daily Income Trust / Annual Report / January 31, 2005
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
Credit Agricole NY (B)
2.295%, 04/21/05 $10,000 $ 10,000
Credit Suisse First Boston NY
2.750%, 11/14/05 5,000 5,000
Credit Suisse First Boston NY (B)
2.480%, 02/22/05 30,000 29,998
2.570%, 03/29/05 5,000 5,000
2.520%, 04/05/05 5,000 5,000
Landesbank Hessen-Thueringen GZ
3.250%, 02/17/06 10,000 10,000
Toronto Dominion Bank
2.350%, 09/08/05 10,000 9,999
Wells Fargo Bank N.A. (B)
2.290%, 04/29/05 2,000 2,000
---------
Total Certificates of Deposit
(Cost $140,484) ($ Thousands) 140,484
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 21.7%
FHLB
1.400%, 02/25/05 to 04/15/05 15,000 14,999
1.450%, 03/11/05 10,000 10,000
1.380%, 04/15/05 15,000 15,000
1.300%, 04/25/05 10,000 10,000
1.550%, 05/04/05 5,000 5,000
FHLB (B)
2.315%, 03/08/05 25,000 24,992
2.405%, 03/15/05 25,000 24,999
2.255%, 04/03/05 10,000 9,998
FHLMC (B)
1.500%, 02/14/05 10,000 10,000
2.415%, 03/09/05 15,000 15,000
FNMA DN (A)
1.458%, 03/04/05 5,000 4,994
2.208%, 05/05/05 5,000 4,972
FNMA (B)
2.330%, 03/09/05 10,000 9,995
2.455%, 04/06/05 25,000 24,993
---------
Total U.S. Government Agency Obligations
(Cost $184,942) ($ Thousands) 184,942
---------
COMMERCIAL PAPER (A) -- 17.8%
ASSET BACKED - FINANCIAL SERVICES (E) -- 5.3%
Concord Minutemen Capital
2.475%, 02/17/05 45,000 44,951
---------
ASSET BACKED - OTHER (E) -- 9.9%
Compass Securitization Ltd.
2.364%, 02/28/05 45,000 44,921
Grampian Funding LLC
2.273%, 02/18/05 40,000 39,957
---------
84,878
---------
BANKS -- 0.6%
HBOS Treasury Services PLC
1.756%, 02/10/05 5,000 4,998
---------
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
FINANCIAL SERVICES -- 1.2%
General Electric Capital Services
1.766%, 02/09/05 $10,000 $ 9,996
---------
INVESTMENT BANKER/BROKER DEALER -- 0.8%
Goldman Sachs Group Incorporated
2.400%, 08/10/05 7,000 6,913
---------
Total Commercial Paper
(Cost $151,736) ($ Thousands) 151,736
---------
INSURANCE FUNDING AGREEMENTS (B)(C) -- 4.6%
Metropolitan Life Insurance Company
2.240%, 02/01/05 30,000 30,000
Monumental Life Insurance Company
2.560%, 03/01/05 9,500 9,500
---------
Total Insurance Funding Agreements
(Cost $39,500) ($ Thousands) 39,500
---------
EXTENDABLE COMMERCIAL NOTE (A) -- 2.9%
MBNA Credit Card Master Trust
2.414%, 03/07/05 25,000 24,943
---------
Total Extendable Commercial Note
(Cost $24,943) ($ Thousands) 24,943
---------
MUNICIPAL BONDS -- 0.4%
California State, Housing Finance
Authority, Ser K, RB, FSA (B)
2.360%, 02/01/05 700 700
California State, Tax & Revenue
Anticipation Authority,
Ser C1, RB, FSA
3.000%, 06/30/05 3,000 3,005
---------
Total Municipal Bonds
(Cost $3,705) ($ Thousands) 3,705
---------
REPURCHASE AGREEMENT (D) -- 2.2%
Deutsche Bank
2.500%, dated 01/31/05, to be
repurchased on 02/01/05,
repurchase price $18,845,309
(collateralized by FHLB Discount
Note, par value $19,227,000,
2.701%(A), 02/04/05, with total
market value $19,221,232) 18,844 18,844
---------
Total Repurchase Agreement
(Cost $18,844) ($ Thousands) 18,844
---------
Total Investments -- 99.9%
(Cost $852,559) ($ Thousands) 852,559
---------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 9
STATEMENT OF NET ASSETS
Money Market Fund (Concluded)
January 31, 2005
- ---------------------------------------------------------------
Value
Description ($ Thousands)
- ---------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- 0.1%
Income Distribution Payable $ (723)
Shareholder Servicing Fees Payable (154)
Payable for Fund Shares Redeemed (139)
Administration Fees Payable (109)
Investment Advisory Fees Payable (18)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net 2,245
---------
Total Other Assets and Liabilities 1,101
---------
Net Assets -- 100.0% $853,660
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $853,654
Undistributed net investment income 1
Accumulated net realized gain on investments 5
---------
Net Assets -- 100.0% $853,660
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($524,849,215 / 524,854,135 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($107,649,584 / 107,640,118 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($152,060,436 / 152,070,280 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($69,100,663 / 69,098,596 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, 2005. The date shown is the earlier of
the reset date or the demand date.
(C) These obligations were acquired for investment, not with the intention to
sell. These securities were 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." 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, 2005, the value of these securities at amortized
cost amounted to approximately $39,500,000 representing 4.6% of the net
assets of the Fund.
(D) Tri-Party Repurchase Agreement
(E) Securities are held in connection with a letter of credit issued by a major
bank.
(F) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors."
Cl -- Class
DN -- Discount Note
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
FSA -- Financial Security Assurance
LLC -- Limited Liability Company
Ltd. -- Limited
MTN -- Medium Term Note
NY -- New York
PLC -- Public Liability Company
RB -- Revenue Bond
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
10 SEI Daily Income Trust / Annual Report / January 31, 2005
Government Fund
January 31, 2005
- ---------------------------------------------------------------
[Bar Chart Omitted] Percentages are as follows:
Sector Weightings (unaudited)*:
89.8% U.S. Government Agency Obligations
10.2% Repurchase Agreements
*Percentages based on total investments.
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 93.6%
FFCB
2.500%, 11/15/05 $10,000 $ 9,976
FFCB (B)
2.370%, 02/18/05 20,000 19,994
2.498%, 02/28/05 30,000 29,996
FHLB
1.400%, 02/25/05 5,000 5,000
1.500%, 03/01/05 6,000 6,000
1.625%, 04/15/05 5,000 5,003
1.380%, 04/15/05 4,000 4,000
1.350%, 04/15/05 5,000 5,000
1.300%, 04/25/05 10,000 10,000
1.590%, 08/12/05 8,000 7,980
2.250%, 08/30/05 7,000 6,993
2.125%, 09/20/05 8,000 7,979
FHLB DN (A)
2.392%, 02/10/05 40,000 39,976
2.324%, 02/18/05 50,000 49,945
FHLB (B)
2.105%, 02/10/05 10,000 9,993
2.380%, 02/16/05 35,000 34,993
2.454%, 02/26/05 15,000 14,998
2.345%, 03/12/05 20,000 19,994
2.340%, 03/14/05 15,000 14,984
2.450%, 03/21/05 65,000 65,001
FHLMC
1.750%, 05/15/05 to 01/09/06 20,000 19,918
FHLMC DN(A)
1.948%, 03/08/05 20,000 19,963
FNMA
1.400%, 02/15/05 7,000 7,000
1.270%, 04/25/05 6,000 5,993
FNMA DN (A)
1.964%, 03/09/05 25,000 24,951
2.522%, 04/06/05 30,000 29,866
2.790%, 11/10/05 10,000 9,787
FNMA (B)
2.505%, 02/01/05 70,000 70,001
2.330%, 03/09/05 14,000 13,993
2.455%, 04/06/05 30,000 29,991
---------
Total U.S. Government Agency Obligations
(Cost $599,268) ($ Thousands) 599,268
---------
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
REPURCHASE AGREEMENT (C) -- 10.6%
Deutsche Bank
2.500%, dated 01/31/05, to be
repurchased on 02/01/05,
repurchase price $68,194,735
(collateralized by various
FFCB/FHLB/FHLMC obligations,
ranging in par value $1,981,000-
$29,000,000, 1.875%-3.375%,
06/26/06-10/05/07, with total
market value $69,554,529) $68,190 $ 68,190
---------
Total Repurchase Agreement
(Cost $68,190) ($ Thousands) 68,190
---------
Total Investments -- 104.2%
(Cost $667,458) ($ Thousands) 667,458
---------
OTHER ASSETS AND LIABILITIES -- (4.2)%
Payable for Fund Shares Redeemed (27,339)
Income Distribution Payable (675)
Shareholder Servicing Fees Payable (94)
Administration Fees Payable (91)
Investment Advisory Fees Payable (13)
Trustees' Fees Payable (2)
Other Assets and Liabilities, Net 1,045
---------
Total Other Assets and Liabilities (27,169)
---------
Net Assets -- 100.0% $640,289
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $640,362
Accumulated net realized loss on investments (73)
---------
Net Assets -- 100.0% $640,289
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($369,439,632 / 369,469,040 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($156,741,169 / 156,760,527 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($86,267,594 / 86,287,964 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($27,840,917 / 27,844,765 shares) $1.00
=========
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on January 31, 2005. The date shown is the earlier of
the reset date or the demand date.
(C) Tri-Party Repurchase Agreement.
DN -- Discount Note
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 11
STATEMENT OF NET ASSETS
Government II Fund
January 31, 2005
- ---------------------------------------------------------------
[Bar Chart Omitted] Percentages are as follows:
Sector Weightings (unaudited)*:
96.0% U.S. Government Agency Obligations
4.0% U.S. Treasury Obligations
*Percentages based on total investments.
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 95.9%
FFCB
2.500%, 11/15/05 $ 10,000 $ 9,976
FFCB (B)
2.370%, 02/18/05 30,000 29,991
FHLB
1.400%, 02/25/05 to 04/15/05 10,000 10,000
1.500%, 03/01/05 7,000 7,000
1.450%, 03/11/05 5,000 5,000
1.625%, 04/15/05 5,000 5,003
1.380%, 04/15/05 5,000 5,000
1.350%, 04/15/05 10,000 10,000
1.300%, 04/25/05 5,000 5,000
1.590%, 08/12/05 10,000 9,975
3.250%, 08/15/05 1,840 1,845
2.250%, 08/30/05 7,000 6,993
2.125%, 09/20/05 8,000 7,979
6.500%, 11/15/05 7,000 7,198
FHLB DN (A)
2.380%, 02/01/05 37,199 37,199
2.392%, 02/10/05 40,000 39,976
2.324%, 02/16/05 100,000 99,903
2.514%, 04/22/05 29,248 29,086
FHLB (B)
1.600%, 02/06/05 14,000 13,992
2.105%, 02/10/05 10,000 9,993
2.380%, 02/16/05 35,000 34,993
2.454%, 02/26/05 30,000 29,996
2.256%, 02/26/05 15,000 14,994
2.345%, 03/12/05 30,000 29,991
2.340%, 03/14/05 15,000 14,984
2.450%, 03/21/05 100,000 100,001
2.434%, 03/28/05 20,000 19,987
2.300%, 04/07/05 70,000 70,002
---------
Total U.S. Government Agency Obligations
(Cost $666,057) ($ Thousands) 666,057
---------
U.S. TREASURY OBLIGATIONS -- 4.1%
U.S. Treasury Bills (A)
2.327%, 04/21/05 23,152 23,034
U.S. Treasury Notes
1.500%, 02/28/05 5,000 5,001
---------
Total U.S. Treasury Obligations
(Cost $28,035) ($ Thousands) 28,035
---------
Total Investments -- 100.0%
(Cost $694,092) ($ Thousands) 694,092
---------
- ---------------------------------------------------------------
Value
Description ($ Thousands)
- ---------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- 0.0%
Income Distribution Payable $ (1,012)
Administration Fees Payable (98)
Shareholder Servicing Fees Payable (48)
Investment Advisory Fees Payable (14)
Trustees' Fees Payable (2)
Other Assets and Liabilities, Net 1,444
---------
Total Other Assets and Liabilities 270
---------
Net Assets -- 100.0% $694,362
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $694,411
Distribution in excess of net investment income (1)
Accumulated net realized loss on investments (48)
---------
Net Assets -- 100.0% $694,362
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($515,216,565 / 515,340,718 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($160,508,958 / 160,502,776 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($18,636,676 / 18,628,576 shares) $1.00
=========
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on January 31, 2005. The date shown is the earlier of
the reset date or the demand date.
DN -- Discount Note
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12 SEI Daily Income Trust / Annual Report / January 31, 2005
Prime Obligation Fund
January 31, 2005
- ---------------------------------------------------------------
[Bar Chart Omitted] Percentages are as follows:
Sector Weightings (unaudited)*:
31.7% U.S. Government Agency Obligations
25.7% Corporate Bonds
18.4% Commercial Paper
6.1% Extendable Commercial Notes
7.3% Insurance Funding Agreements
8.9% Repurchase Agreements
1.1% Certificates of Deposit
0.8% Municipal Bonds
*Percentages based on total investments.
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 32.3%
FHLB
1.400%, 02/25/05 to 04/15/05 $ 30,000 $ 29,999
1.450%, 03/11/05 25,000 25,000
4.625%, 04/15/05 17,520 17,632
1.380%, 04/15/05 25,000 25,000
1.300%, 04/25/05 75,000 75,000
1.550%, 05/04/05 20,000 20,000
FHLB (B)
2.288%, 02/03/05 50,000 49,984
2.454%, 02/26/05 60,000 59,993
2.315%, 03/08/05 100,000 99,967
2.405%, 03/15/05 50,000 49,999
2.255%, 04/03/05 125,000 124,971
2.300%, 04/07/05 40,000 40,001
FHLMC DN (A)
1.334%, 02/08/05 46,000 45,988
FHLMC (B)
2.330%, 02/01/05 65,000 65,000
2.090%, 02/01/05 60,000 60,000
1.500%, 02/14/05 50,000 50,000
2.415%, 03/09/05 50,000 50,000
FNMA DN (A)
1.522%, 04/01/05 40,000 39,902
1.996%, 04/29/05 100,000 99,526
2.208%, 05/05/05 45,000 44,747
FNMA (B)
2.300%, 02/08/05 100,000 99,964
2.420%, 02/18/05 25,000 25,000
2.307%, 03/06/05 75,000 74,973
2.330%, 03/09/05 60,000 59,970
2.430%, 04/03/05 100,000 99,956
-----------
Total U.S. Government Agency Obligations
(Cost $1,432,572) ($ Thousands) 1,432,572
-----------
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
CORPORATE BONDS -- 26.1%
ASSET BACKED - FINANCIAL SERVICES (E) (F) -- 13.4%
Beta Finance Incorporated
MTN (B)
2.470%, 02/24/05 $ 50,000 $ 49,990
Beta Finance Incorporated
MTN, Ser 1 (B)
2.307%, 04/26/05 15,000 15,000
CC USA Incorporated MTN
2.485%, 11/04/05 25,000 24,995
K2 (USA) LLC MTN (B)
2.480%, 02/25/05 37,000 36,993
Links Finance Incorporated
MTN
2.180%, 07/15/05 25,000 24,999
Sigma Finance Incorporated
MTN (B)
2.216%, 02/14/05 10,000 9,998
2.465%, 02/15/05 30,000 30,000
2.430%, 03/10/05 20,000 19,996
2.630%, 04/18/05 100,000 99,968
Sigma Finance Incorporated
MTN, Ser 1 (B)
2.320%, 02/01/05 40,000 40,000
Tango Finance Corporation
MTN (B)
2.458%, 02/15/05 50,000 49,995
2.458%, 02/21/05 49,500 49,499
White Pine Finance LLC
MTN (B)
2.370%, 02/08/05 10,000 9,999
2.400%, 02/14/05 40,000 39,996
2.470%, 02/23/05 30,000 29,999
White Pine Finance LLC
MTN, Ser 1 (B)
2.500%, 02/25/05 65,000 64,987
-----------
596,414
-----------
ASSET BACKED - OTHER (B) (E) (F) -- 5.5%
GSTR, Ser 2002-2A, Cl A1MB
2.604%, 02/25/05 2,382 2,382
Harrier Finance Funding LLC MTN
2.500%, 02/25/05 52,500 52,500
Premier Asset Collateralized
Entity LLC MTN
2.410%, 02/14/05 25,000 25,000
Sedna Financial Incorporated MTN
2.490%, 02/25/05 88,000 87,992
Whistlejacket Capital LLC MTN
2.550%, 03/04/05 75,000 74,989
-----------
242,863
-----------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 13
STATEMENT OF NET ASSETS
Prime Obligation Fund (Concluded)
January 31, 2005
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
AUTOMOTIVE -- 0.8%
Toyota Motor Credit Corporation
MTN, Ser 1 (B)
2.470%, 03/30/05 $ 35,000 $ 34,999
-----------
BANKS -- 3.3%
Citicorp
7.125%, 09/01/05 10,000 10,247
Fifth Third Bank (B)
2.300%, 04/28/05 75,000 74,998
Wells Fargo Bank N.A. (B)
2.290%, 03/21/05 60,000 60,000
-----------
145,245
-----------
INVESTMENT BANKER/BROKER DEALER -- 3.1%
Goldman Sachs Group
Incorporated (B)
2.502%, 02/14/05 20,000 20,000
Merrill Lynch & Company
Incorporated (B)
2.340%, 03/01/05 40,000 40,000
2.240%, 02/17/05 80,000 80,000
-----------
140,000
-----------
Total Corporate Bonds
(Cost $1,159,521) ($ Thousands) 1,159,521
-----------
COMMERCIAL PAPER (A) -- 18.8%
ASSET BACKED - FINANCIAL SERVICES (E) -- 11.2%
Amstel Funding Corporation
2.313%, 02/22/05 100,000 99,866
2.435%, 03/15/05 22,000 21,938
2.594%, 06/02/05 75,000 74,355
Aspen Funding Corporation
1.847%, 02/11/05 50,000 49,974
Concord Minutemen Capital
2.475%, 02/17/05 200,407 200,187
White Pine Finance LLC
2.677%, 05/06/05 50,756 50,405
-----------
496,725
-----------
ASSET BACKED - OTHER (E) -- 6.8%
Chesham Finance LLC
2.364%, 02/07/05 75,000 74,971
2.405%, 02/14/05 100,000 99,913
Compass Securitization Ltd.
2.364%, 02/28/05 126,970 126,746
----------
301,630
----------
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
INVESTMENT BANKER/BROKER DEALER -- 0.8%
Goldman Sachs Group Incorporated
2.400%, 08/10/05 $ 34,000 $ 33,577
-----------
Total Commercial Paper
(Cost $831,932) ($ Thousands) 831,932
-----------
INSURANCE FUNDING AGREEMENTS (B)(C) -- 7.4%
Metropolitan Life Insurance Company
2.240%, 02/01/05 160,000 160,000
Monumental Life Insurance Company
2.560%, 03/01/05 101,500 101,500
Travelers Insurance Corporation
2.480%, 02/28/05 68,000 68,000
-----------
Total Insurance Funding Agreements
(Cost $329,500) ($ Thousands) 329,500
-----------
EXTENDABLE COMMERCIAL NOTES (A) -- 6.2%
Discover Card Master Trust
2.313%, 02/22/05 100,000 99,866
MBNA Credit Card Master Trust
2.302%, 02/10/05 175,000 174,900
-----------
Total Extendable Commercial Notes
(Cost $274,766) ($ Thousands) 274,766
-----------
CERTIFICATES OF DEPOSIT -- 1.1%
BB&T Corporation (B)
2.190%, 02/10/05 10,000 9,998
Wells Fargo Bank N.A. (B)
2.290%, 04/29/05 40,000 39,999
-----------
Total Certificates of Deposit
(Cost $49,997) ($ Thousands) 49,997
-----------
MUNICIPAL BONDS -- 0.8%
California State, Housing Finance
Authority, Ser K, RB, FSA (B)
2.360%, 02/01/05 20,700 20,700
California State, Tax & Revenue
Anticipation Authority,
Ser C1, RB, FSA
3.000%, 06/30/05 15,000 15,027
-----------
Total Municipal Bonds
(Cost $35,727) ($ Thousands) 35,727
-----------
- --------------------------------------------------------------------------------
14 SEI Daily Income Trust / Annual Report / January 31, 2005
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
REPURCHASE AGREEMENT (D) -- 9.0%
Deutsche Bank
2.500%, dated 01/31/05, to be
repurchased on 02/01/05,
repurchase price $401,579,886
(collateralized by various
FHLB/FHLMC/FNMA obligations,
ranging in par value $1,845,000-
$70,000,000, 1.305%-5.250%,
04/22/05-01/15/09, with total
market value $409,583,171) $401,552 $ 401,552
-----------
Total Repurchase Agreement
(Cost $401,552) ($ Thousands) 401,552
-----------
Total Investments -- 101.7%
(Cost $4,515,567) ($ Thousands) 4,515,567
-----------
OTHER ASSETS AND LIABILITIES -- (1.7)%
Payable for Investment Securities Purchased (74,989)
Income Distribution Payable (5,132)
Payable for Fund Shares Redeemed (1,040)
Administration Fees Payable (613)
Shareholder Servicing Fees Payable (581)
Investment Advisory Fees Payable (90)
Trustees' Fees Payable (8)
Other Assets and Liabilities, Net 7,793
-----------
Total Other Assets and Liabilities (74,660)
-----------
Net Assets -- 100.0% $4,440,907
===========
- ---------------------------------------------------------------
Value
Description ($ Thousands)
- ---------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $4,440,992
Undistributed net investment income 1
Accumulated net realized loss on investments (86)
-----------
Net Assets -- 100.0% $4,440,907
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($2,972,833,464 / 2,973,006,569 shares) $1.00
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($663,634,853 / 663,612,767 shares) $1.00
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($730,310,406 / 730,249,158 shares) $1.00
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class H
($41,220,865 / 41,221,984 shares) $1.00
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($32,907,807 / 32,903,274 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, 2005. The date shown is the earlier of
the reset date or the demand date.
(C) These obligations were acquired for investment, not with the intention to
sell. These securities were 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." 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, 2005, the value of these securities at amortized
cost amounted to approximately $329,500,000 representing 7.4% of the net
assets of the Fund.
(D) Tri-Party Repurchase Agreement.
(E) Securities are held in connection with a letter of credit issued by a major
bank.
(F) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors."
Cl -- Class
DN -- Discount Note
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
FSA -- Financial Security Assurance
LLC -- Limited Liability Company
Ltd. -- Limited
MTN -- Medium Term Note
RB -- Revenue Bond
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 15
STATEMENT OF NET ASSETS/SCHEDULE OF INVESTMENTS
Treasury Fund
January 31, 2005
- ---------------------------------------------------------------
[Bar Chart Omitted] Percentages are as follows:
Sector Weightings (unaudited)*:
61.1% Repurchase Agreements
38.9% U.S. Treasury Obligations
*Percentages based on total investments.
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 42.5%
U.S. Treasury Bills (A)
2.301%, 04/28/05 $ 30,000 $ 29,837
2.476%, 05/05/05 60,000 59,619
U.S. Treasury Notes
1.500%, 02/28/05 18,500 18,496
1.625%, 03/31/05 to 04/30/05 152,500 152,393
6.750%, 05/15/05 5,000 5,065
5.750%, 11/15/05 6,000 6,154
1.875%, 11/30/05 10,000 9,935
---------
Total U.S. Treasury Obligations
(Cost $281,499) ($ Thousands) 281,499
---------
REPURCHASE AGREEMENTS -- 66.5%
ABN Amro (B)
2.450%, dated 01/31/05,
to be repurchased on 02/01/05,
repurchase price $145,009,868
(collateralized by various
FHLMC/ FNMA obligations,
ranging in par value $18,360,000-
$126,219,000, 4.625%-4.650%,
10/10/13-10/15/14, with total
market value $147,900,824) 145,000 145,000
Deutsche Bank (C)
1.200%, dated 03/26/04,
to be repurchased on 04/26/05,
repurchase price $10,132,000
(collateralized by U.S. Treasury
Note, par value $10,022,000,
4.250%, 11/15/14, with total
market value $10,200,292) 10,000 10,000
Lehman Brothers (B)
2.400%, dated 01/31/05,
to be repurchased on 02/01/05,
repurchase price $142,026,468
(collateralized by U.S. Treasury
Bond and Note, ranging in par
value $33,488,000-$94,840,000,
2.750%-8.750%, with total market
value $144,832,229) 142,017 142,017
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
Morgan Stanley (B)
2.420%, dated 01/31/05,
to be repurchased on 02/01/05,
repurchase price $145,009,747
(collateralized by various U.S.
Treasury Bills and Notes,
ranging in par value $25,000-
$85,979,000, 1.625%-7.500%,
02/03/05- 01/01/35, with total
market value $149,963,933) $145,000 $145,000
---------
Total Repurchase Agreements
(Cost $442,017) ($ Thousands) 442,017
---------
Total Investments -- 109.0%
(Cost $723,516) ($ Thousands) 723,516
---------
OTHER ASSETS AND LIABILITIES -- (9.0)%
Payable for Investment Securities Purchased (59,619)
Income Distribution Payable (815)
Shareholder Servicing Fees Payable (143)
Administration Fees Payable (95)
Investment Advisory Fees Payable (13)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net 1,181
---------
Total Other Assets and Liabilities (59,505)
---------
Net Assets -- 100.0% $664,011
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $664,108
Accumulated net realized loss on investments (97)
---------
Net Assets -- 100.0% $664,011
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($292,973,716 / 293,013,515 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($206,697,940 / 206,738,624 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($68,932,363 / 68,942,781 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($95,406,611 / 95,412,669 shares) $1.00
=========
(A) The rate reported is the effective yield at time of purchase.
(B) Tri-Party Repurchase Agreement.
(C) Term Repurchase Agreement. This term repurchase agreement was acquired at a
cost of par and were deemed illiquid for the purposes of the Investment
Company Act of 1940. On January 31, 2005, the value of this agreement
amounted to approximately $10,000,000 representing 1.5% of the net assets
of the Fund.
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16 SEI Daily Income Trust / Annual Report / January 31, 2005
Treasury II Fund
January 31, 2005
- ---------------------------------------------------------------
[Bar Chart Omitted] Percentages are as follows:
Sector Weightings (unaudited)*:
100.0% U.S. Treasury Obligations
*Percentages based on total investments.
- ---------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 100.0%
U.S. Treasury Bills (A)
1.723%, 02/03/05 $ 9,324 $ 9,323
1.952%, 02/10/05 123,460 123,400
2.086%, 02/17/05 12,033 12,022
2.267%, 03/24/05 110,870 110,515
2.327%, 04/21/05 390 388
2.334%, 04/28/05 22,641 22,516
2.476%, 05/05/05 50,000 49,682
U.S. Treasury Notes
1.500%, 02/28/05 2,000 2,000
1.625%, 03/31/05 to 04/30/05 39,000 38,975
5.750%, 11/15/05 5,000 5,128
---------
Total U.S. Treasury Obligations
(Cost $373,949) ($ Thousands) 373,949
---------
Total Investments -- 100.0%
(Cost $373,949) ($ Thousands) $373,949
=========
Percentages are based on Net Assets of $373,878,196.
(A) The rate reported is the effective yield at time of purchase.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 17
STATEMENT OF NET ASSETS
Short-Duration Government Fund
January 31, 2005
- ---------------------------------------------------------------
[Bar Chart Omitted] Percentages are as follows:
Sector Weightings (unaudited)*:
54.5% U.S. Govt. Mortgage-Backed Obligations
27.8% U.S. Government Agency Obligations
16.7% U.S. Treasury Obligations
1.0% Repurchase Agreements
*Percentages based on total investments.
- ---------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 54.3%
FHLMC
6.580%, 02/01/06 $ 445 $ 452
6.500%, 10/01/07 2 2
5.500%, 07/01/16 to 08/01/19 10,288 10,615
4.375%, 09/01/20 46 47
4.125%, 08/01/18 to 09/01/18 38 40
4.000%, 07/01/18 to 09/01/18 57 59
3.960%, 08/01/19 2 2
3.899%, 12/01/23 559 577
3.875%, 07/01/18 43 44
3.862%, 03/01/19 56 58
3.750%, 07/01/18 69 71
3.658%, 05/01/24 157 162
3.636%, 07/01/24 121 125
3.625%, 01/01/18 82 85
3.554%, 04/01/19 120 125
3.548%, 06/01/24 321 333
3.547%, 06/01/24 184 189
3.500%, 02/01/16 to 10/01/16 35 35
3.453%, 05/01/19 94 97
3.416%, 02/01/19 128 132
3.390%, 06/01/17 65 68
3.375%, 07/01/16 to 11/01/20 68 69
3.344%, 07/01/20 7 7
3.286%, 03/01/19 100 103
3.250%, 02/01/16 to 11/01/18 21 22
3.125%, 01/01/17 to 06/01/18 37 39
3.000%, 02/01/17 10 10
2.875%, 01/01/17 to 05/01/18 18 18
2.750%, 04/01/16 to 03/01/17 48 48
2.625%, 06/01/16 18 18
FHLMC (A)
3.799%, 02/01/05 8,299 8,578
3.714%, 02/01/05 584 596
3.688%, 02/01/05 456 467
3.647%, 02/01/05 182 187
3.550%, 02/01/05 373 386
3.425%, 02/01/05 479 487
FHLMC REMIC, Ser 1034, Cl F
8.500%, 01/15/06 127 127
FHLMC REMIC, Ser 2061, Cl TA
5.250%, 10/15/27 909 913
- ---------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
FHLMC REMIC, Ser 2122, Cl FD (A)
2.830%, 02/15/05 $ 1,470 $ 1,475
FHLMC REMIC, Ser 2481, Cl BC
5.250%, 08/15/30 343 345
FHLMC REMIC, Ser 2498, Cl DW
4.800%, 02/15/29 215 215
FHLMC REMIC, Ser 2630, Cl KN
2.500%, 04/15/13 2,500 2,418
FHLMC REMIC, Ser 2684, Cl GN
3.250%, 05/15/23 2,500 2,475
FHLMC REMIC, Ser 2684, Cl PA
5.000%, 02/15/10 378 378
FHLMC REMIC, Ser 2684, Cl QM
3.500%, 03/15/19 3,800 3,793
FHLMC REMIC, Ser 2689, Cl PY
4.000%, 02/15/10 3,841 3,861
FHLMC REMIC, Ser 2691, Cl OK
3.500%, 05/15/17 1,789 1,787
FHLMC REMIC, Ser 2693, Cl QM
3.500%, 03/15/14 848 848
FHLMC REMIC, Ser 2727, Cl PA
4.125%, 08/15/18 2,958 2,970
FHLMC REMIC, Ser 2750, Cl NA
3.500%, 03/15/15 3,800 3,792
FHLMC REMIC, Ser 2750, Cl OA
3.500%, 10/15/11 3,698 3,700
FHLMC REMIC, Ser 2760, Cl LJ
4.000%, 01/15/33 2,000 2,005
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 3,000 2,980
FHLMC REMIC, Ser 2760, Cl PK
4.500%, 10/15/21 3,750 3,785
FHLMC REMIC, Ser T-42, Cl A5
7.500%, 02/25/42 2,404 2,579
FHLMC REMIIC, Ser 2617, Cl UN
4.500%, 08/15/12 3,812 3,849
FNMA
6.270%, 11/01/07 882 924
6.250%, 07/01/08 1,376 1,456
6.210%, 08/01/08 1,315 1,390
4.500%, 07/01/19 691 691
FNMA (A)
4.374%, 02/01/05 1,110 1,142
3.913%, 02/01/05 3,673 3,839
3.668%, 02/01/05 2,770 2,877
3.572%, 02/01/05 1,236 1,267
3.512%, 02/01/05 3,604 3,690
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23 234 240
FNMA REMIC, Ser 1995-13, Cl C
6.500%, 10/25/08 338 347
FNMA REMIC, Ser 2001-53, Cl CA
5.750%, 06/25/31 695 700
- --------------------------------------------------------------------------------
18 SEI Daily Income Trust / Annual Report / January 31, 2005
- ---------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
FNMA REMIC, Ser 2001-8, Cl FJ (A)
2.680%, 02/18/05 $ 3,513 $ 3,516
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17 2,000 2,049
FNMA REMIC, Ser 2002-34, Cl FE (A)
2.880%, 02/18/05 737 741
FNMA REMIC, Ser 2002-53, Cl FK (A)
2.930%, 02/25/05 1,106 1,109
FNMA REMIC, Ser 2002-63, Cl QF (A)
2.830%, 02/25/05 1,901 1,907
FNMA REMIC, Ser 2002-71, Cl UA
4.000%, 07/25/10 39 39
FNMA REMIC, Ser 2003-57, Cl KL
3.500%, 03/25/09 1,631 1,632
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/33 2,682 2,564
FNMA REMIC, Ser G92-61, Cl FA (A)
3.181%, 02/25/05 508 513
FNMA REMIC, Ser G93-5, Cl Z
6.500%, 02/25/23 94 98
GNMA
7.500%, 01/15/11 to 02/15/26 852 916
6.500%, 06/15/16 to 09/15/17 3,363 3,578
6.000%, 06/15/16 to 09/15/19 1,807 1,901
GNMA REMIC, Ser 2001-53, Cl F (A)
2.850%, 02/20/05 831 834
GNMA REMIC, Ser 2002-24, Cl FA (A)
2.980%, 02/16/05 966 973
GNMA REMIC, Ser 2002-57, Cl AD
5.000%, 01/20/30 194 195
---------
Total U.S. Government Mortgage-Backed Obligations
(Cost $110,411) ($ Thousands) 109,776
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 27.8%
FHLB
3.375%, 09/14/07 5,300 5,272
2.125%, 05/15/06 5,500 5,420
FHLB (A)
2.345%, 03/12/05 2,450 2,449
FHLMC
5.250%, 01/15/06 6,500 6,626
3.500%, 09/15/07 2,400 2,396
FNMA
7.125%, 02/15/05 11,000 11,019
3.000%, 08/15/07 5,300 5,225
2.500%, 06/15/06 2,500 2,473
FNMA (A)
2.560%, 02/01/05 5,000 5,001
Private Export Funding
5.340%, 03/15/06 10,000 10,228
---------
Total U.S. Government Agency Obligations
(Cost $56,240) ($ Thousands) 56,109
---------
- ---------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 16.7%
U.S. Treasury Notes
3.000%, 11/15/07 $34,000 $ 33,641
---------
Total U.S. Treasury Obligations
(Cost $33,923) ($ Thousands) 33,641
---------
REPURCHASE AGREEMENT (B) -- 0.9%
UBS Securities LLC
2.500%, dated 01/31/05,
to be repurchased on
02/01/05, repurchase
price $1,900,132
(collateralized by
FHLMC obligation, par
value $1,940,000, 3.250%,
11/02/07, with total
market value $1,938,418) 1,900 1,900
---------
Total Repurchase Agreement
(Cost $1,900) ($ Thousands) 1,900
---------
Total Investments -- 99.7%
(Cost $202,474) ($ Thousands) 201,426
---------
OTHER ASSETS AND LIABILITIES -- 0.3%
Payable for Investment Securities Purchased (3,860)
Payable for Fund Shares Redeemed (1,199)
Income Distribution Payable (141)
Administration Fees Payable (55)
Investment Advisory Fees Payable (14)
Other Assets and Liabilities, Net 5,878
---------
Total Other Assets and Liabilities 609
---------
Net Assets -- 100.0% $202,035
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $205,860
Undistributed net investment income 5
Accumulated net realized loss on investments (2,782)
Net unrealized depreciation on investments (1,048)
---------
Net Assets -- 100.0% $202,035
=========
Net Asset Value, Offering and Redemption
Price Per Share - Class A
($202,035,475 / 19,825,631 shares) $10.19
=========
(A) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on January 31, 2005. The date shown is the earlier of
the reset date or the demand date.
(B) Tri-Party Repurchase Agreement
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 19
SCHEDULE OF INVESTMENTS/STATEMENT OF NET ASSETS
Intermediate-Duration Government Fund
January 31, 2005
- ---------------------------------------------------------------
[Bar Chart Omitted] Percentages are as follows:
Sector Weightings (unaudited)*:
40.2% U.S. Treasury Obligations
30.9% U.S. Government Mortgage-Backed Obligations
27.8% U.S. Government Agency Obligations
1.1% Repurchase Agreement
*Percentages based on total investments.
- ---------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 39.4%
U.S. Treasury Bonds
12.000%, 08/15/13 $ 7,500 $ 9,587
10.375%, 11/15/12 9,300 10,996
U.S. Treasury Inflation Protected
Security
1.875%, 07/15/13 4,160 4,271
U.S. Treasury Notes
6.500%, 02/15/10 7,000 7,893
5.000%, 02/15/11 1,000 1,063
4.250%, 08/15/14 3,400 3,432
3.500%, 12/15/09 3,000 2,975
3.000%, 11/15/07 2,900 2,869
----------
Total U.S. Treasury Obligations
(Cost $43,154) ($ Thousands) 43,086
----------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 30.2%
FHLMC
8.250%, 12/01/07 to 12/01/09 59 61
6.500%, 09/01/10 141 149
6.000%, 09/01/24 2,860 2,972
5.500%, 11/01/18 to 09/01/19 1,071 1,105
FHLMC REMIC, Ser 1033, Cl G
8.000%, 01/15/06 7 8
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 1,070 1,094
FHLMC REMIC, Ser 165, Cl K
6.500%, 09/15/21 44 44
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 1,300 1,291
FNMA
9.500%, 05/01/18 87 98
8.000%, 05/01/08 to 06/01/08 66 69
7.500%, 03/01/07 13 13
7.040%, 03/01/07 214 225
6.977%, 06/01/07 12 13
6.950%, 10/01/06 1,570 1,628
6.942%, 08/01/07 590 625
6.837%, 10/01/07 37 39
6.620%, 01/01/08 197 208
6.500%, 09/01/28 to 03/01/33 2,167 2,270
6.460%, 06/01/09 562 605
6.265%, 06/01/08 230 242
6.083%, 12/01/11 969 1,050
- ---------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
6.000%, 11/01/08 to 05/01/19 $ 9,455 $ 9,894
5.915%, 02/01/12 959 1,034
5.609%, 12/01/11 1,927 2,065
5.500%, 01/01/17 72 75
5.000%, 11/01/34 3,488 3,481
FNMA REMIC, Ser 2004-27, Cl HN
4.000%, 05/25/16 700 700
GNMA
8.750%, 05/20/17 to 11/20/17 64 72
8.500%, 05/20/16 to 02/20/18 202 220
8.250%, 04/15/06 to 07/15/08 78 81
6.000%, 04/15/09 to 09/15/24 1,604 1,678
----------
Total U.S. Government Mortgage-Backed Obligations
(Cost $33,136) ($ Thousands) 33,109
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 27.2%
FHLB
5.250%, 06/18/14 3,500 3,718
FHLMC
4.875%, 03/15/07 to 11/15/13 9,500 9,777
3.625%, 09/15/08 12,000 11,940
FNMA
3.875%, 02/15/10 3,300 3,273
Private Export Funding
6.620%, 10/01/05 500 512
5.530%, 04/30/06 500 514
----------
Total U.S. Government Agency Obligations
(Cost $29,606) ($ Thousands) 29,734
----------
REPURCHASE AGREEMENT (A) -- 1.1%
UBS Securities LLC
2.500%, dated 01/31/05, to be
repurchased on 02/01/05,
repurchase price $1,200,083
(collateralized by FHLMC
obligation, par value $1,225,000,
3.250%, 11/02/07, with total market
value $1,224,001) 1,200 1,200
----------
Total Repurchase Agreement
(Cost $1,200) ($ Thousands) 1,200
----------
Total Investments -- 97.9%
(Cost $107,096) ($ Thousands) $ 107,129
==========
Percentages are based on Net Assets of $109,393,791.
(A) Tri-Party Repurchase Agreement
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
20 SEI Daily Income Trust / Annual Report / January 31, 2005
GNMA Fund
January 31, 2005
- ---------------------------------------------------------------
[Bar Chart Omitted] Percentages are as follows:
Sector Weightings (unaudited)*:
93.9% U.S. Govt. Mortgage-Backed Obligations
3.4% U.S. Treasury Obligations
2.7% Repurchase Agreement
*Percentages based on total investments.
- ---------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 96.2%
FHLMC
6.500%, 02/01/13 to 02/01/18 $ 1,321 $ 1,395
FNMA
8.000%, 09/01/14 to 09/01/28 422 460
7.000%, 08/01/29 to 10/01/34 1,674 1,772
6.500%, 07/01/32 to 09/01/32 2,018 2,113
5.930%, 12/01/08 651 686
5.890%, 10/01/11 1,352 1,452
5.780%, 11/01/11 1,227 1,311
5.735%, 01/01/09 1,379 1,452
5.420%, 11/01/08 1,243 1,290
4.667%, 04/01/13 7,957 8,055
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/20 115 121
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22 248 261
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17 1,500 1,593
GNMA
12.500%, 12/15/10 to 07/15/15 2 3
11.500%, 02/15/13 4 5
10.000%, 09/15/15 to 07/15/20 45 51
9.500%, 06/15/09 to 11/15/20 724 794
9.000%, 12/15/17 to 05/15/22 456 509
8.500%, 08/15/08 to 06/15/17 158 175
8.000%, 04/15/17 to 03/15/32 2,579 2,808
7.750%, 10/15/26 78 85
7.500%, 04/15/17 to 04/15/32 9,720 10,459
7.250%, 01/15/28 438 468
7.000%, 04/15/19 to 09/15/31 18,869 20,080
6.750%, 11/15/27 185 196
6.500%, 11/15/07 to 08/15/34 28,863 30,535
6.000%, 02/15/09 to 01/15/35 42,590 44,393
5.500%, 04/15/33 to 06/15/34 9,596 9,857
5.000%, 08/15/33 to 12/15/34 18,989 19,141
GNMA TBA
5.500%, 02/15/34 3,000 3,077
---------
Total U.S. Government Mortgage-Backed Obligations
(Cost $161,685) ($ Thousands) 164,597
---------
- ---------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------
U.S. TREASURY OBLIGATION (A) -- 3.6%
U.S. Treasury Bonds
6.125%, 08/15/29 $ 5,000 $ 6,064
---------
Total U.S. Treasury Obligation
(Cost $5,440) ($ Thousands) 6,064
---------
REPURCHASE AGREEMENT (B) -- 2.7%
UBS Securities LLC
2.500%, dated 01/31/05,
to be repurchased on 02/01/05,
repurchase price $4,700,326
(collateralized by FHLMC
obligation, par value $4,800,000,
3.250%, 11/02/07, with total
market value $4,796,085) 4,700 4,700
---------
Total Repurchase Agreement
(Cost $4,700) ($ Thousands) 4,700
---------
Total Investments -- 102.5%
(Cost $171,825) ($ Thousands) 175,361
---------
OTHER ASSETS AND LIABILITIES -- (2.5)%
Payable for Investment Securities Purchased (4,838)
Income Distribution Payable (252)
Payable for Fund Shares Redeemed (211)
Administration Fees Payable (47)
Shareholder Servicing Fees Payable (20)
Investment Advisory Fees Payable (15)
Other Assets and Liabilities, Net 1,161
---------
Total Other Assets and Liabilities (4,222)
---------
Net Assets -- 100.0% $171,139
=========
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 21
STATEMENT OF NET ASSETS
GNMA Fund (Concluded)
January 31, 2005
- ---------------------------------------------------------------
Value
Description ($ Thousands)
- ---------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $178,068
Distribution in excess of net investment income (7)
Accumulated net realized loss on investments (10,477)
Net unrealized appreciation on investments 3,536
Net unrealized appreciation on futures contracts 19
---------
Net Assets -- 100.0% $171,139
=========
Net Assets Value, Offering and Redemption
Price Per Share -- Class A
($171,139,451 / 17,630,391 shares) $9.71
=========
(A) Security, or portion thereof, has been pledged as collateral on open future
contracts.
(B) Tri-Party Repurchase Agreement
Cl -- Class
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
TBA -- To Be Announced
Future Contracts -- The following future contracts were open at January 31,
2005. (See Note 2 in Notes to Financial Statements).
Contracts Notional Notional Expiration Unrealized
to Sell Proceeds Value Date Appreciation
-------------- ----------- ----------- ------------ ------------
(28) U.S. 5 Year
Treasury Bond
Contracts $(3,077,918) $(3,059,000) March 2005 $18,918
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
22 SEI Daily Income Trust / Annual Report / January 31, 2005
Ultra Short Bond Fund
January 31, 2005
- ---------------------------------------------------------------
[Bar Chart Omitted] Percentages are as follows:
Sector Weightings (unaudited)*:
58.5% Asset-Backed Securities
28.9% Corporate Bonds
11.9% U.S. Government Mortgage-Backed Obligations
0.3% Repurchase Agreements
0.3% U.S. Government Agency Obligations
0.1% Certificate of Deposit
*Percentages based on total investments.
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 57.6%
AUTOMOTIVE -- 19.3%
Aesop Funding II LLC,
Ser 1998-1, Cl A (B)
6.140%, 05/20/06 $ 1,167 $ 1,174
Aesop Funding II LLC,
Ser 2002-1A, Cl A1 (B)
3.850%, 10/20/06 1,000 1,004
Aesop Funding II LLC,
Ser 2003-4A, Cl A1 (A) (B)
2.730%, 02/22/05 1,685 1,690
Aesop Funding II LLC,
Ser 2003-5A, Cl A1 (B)
2.780%, 12/20/07 1,000 987
Americredit Automobile Receivables
Trust, Ser 2004-BM, Cl A2
1.450%, 09/06/07 792 787
Americredit Automobile Receivables
Trust, Ser 2004-CA, Cl A3
3.000%, 03/06/09 975 967
Americredit Automobile Receivables
Trust, Ser 2004-DF, Cl A3
2.980%, 07/06/09 640 632
BMW Vehicle Owner Trust,
Ser 2003-A, Cl A3
1.940%, 02/25/07 670 666
Bank One Auto Securitization Trust,
Ser 2003-1, Cl A2
1.290%, 08/21/06 399 398
Bank One Auto Securitization Trust,
Ser 2003-1, Cl A3
1.820%, 09/20/07 975 964
Capital Auto Receivables Asset Trust,
Ser 2002-4, Cl A4
2.640%, 03/17/08 1,495 1,487
Capital Auto Receivables Asset Trust,
Ser 2003-3, Cl A1A
1.770%, 01/16/06 381 380
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
Capital Auto Receivables Asset Trust,
Ser 2004-1, Cl A3
2.000%, 11/15/07 $ 925 $ 911
Capital Auto Receivables Asset Trust,
Ser 2004-2, Cl A1A
3.120%, 03/15/07 1,245 1,242
Capital One Auto Finance Trust,
Ser 2001, Cl A4
5.400%, 05/15/08 631 638
Capital One Auto Finance Trust,
Ser 2003-B, Cl A2
1.640%, 05/15/06 360 359
Capital One Auto Finance Trust,
Ser 2003-B, Cl A3 (A)
2.590%, 02/15/05 565 565
Capital One Prime Auto Receivable Trust,
Ser 2003-1, Cl A3
1.970%, 04/15/07 777 774
Capital One Prime Auto Receivable Trust,
Ser 2004-1, Cl A2
1.470%, 06/15/06 250 249
Capital One Prime Auto Receivable Trust,
Ser 2004-1, Cl A4 (A)
2.550%, 02/15/05 1,250 1,252
Capital One Prime Auto Receivable Trust,
Ser 2004-2, Cl A2
2.430%, 02/15/07 1,240 1,236
Capital One Prime Auto Receivable Trust,
Ser 2004-3, Cl A2
3.040%, 07/15/07 545 544
Carmax Auto Owner Trust,
Ser 2002-1, Cl A3
3.590%, 06/15/06 79 79
Carmax Auto Owner Trust,
Ser 2002-2, Cl A3
2.670%, 08/15/06 307 307
Carmax Auto Owner Trust,
Ser 2003-1, Cl A3
1.610%, 02/15/07 832 826
Carmax Auto Owner Trust,
Ser 2003-2, Cl A2
1.680%, 08/15/06 868 866
Carmax Auto Owner Trust,
Ser 2004-1, Cl A2
1.870%, 12/15/06 887 884
Chase Manhattan Auto Owner Trust,
Ser 2003-A, Cl A3
1.520%, 05/15/07 610 606
Chase Manhattan Auto Owner Trust,
Ser 2003-C, Cl A3
2.260%, 11/15/07 945 936
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 23
STATEMENT OF NET ASSETS
Ultra Short Bond Fund (Continued)
January 31, 2005
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
Chesapeake Funding Trust,
Ser 2004-1A, Cl A2 (A) (B)
2.560%, 02/07/05 $ 400 $ 401
DaimlerChrysler Auto Trust,
Ser 2002-A, Cl A (A)
2.540%, 02/15/05 1,000 1,000
DaimlerChrysler Auto Trust,
Ser 2002-B, Cl A3
2.930%, 06/06/06 149 149
DaimlerChrysler Auto Trust,
Ser 2004-B, Cl A2
2.480%, 02/08/07 910 907
DaimlerChrysler Auto Trust,
Ser 2004-B, Cl A3
3.180%, 09/08/08 1,000 996
DaimlerChrysler Auto Trust,
Ser 2005-A, Cl A3
3.490%, 12/08/08 1,315 1,312
Ford Credit Auto Owner Trust,
Ser 2002-D, Cl A3A
2.680%, 02/15/06 151 151
Ford Credit Auto Owner Trust,
Ser 2004-A, Cl A2
2.130%, 10/15/06 1,465 1,459
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A3
3.480%, 11/15/08 1,140 1,139
Harley-Davidson Motorcycle Trust,
Ser 2003-2, Cl A1
1.340%, 01/15/08 116 115
Harley-Davidson Motorcycle Trust,
Ser 2004-1, Cl A1
1.400%, 10/15/08 555 549
Hertz Vehicle Financing,
Ser 2004-1A, Cl A2 (B)
2.380%, 05/25/08 1,750 1,701
Honda Auto Receivables Owner Trust,
Ser 2002-3, Cl A3
3.000%, 05/18/06 253 253
Honda Auto Receivables Owner Trust,
Ser 2003-1, Cl A3
1.920%, 11/20/06 793 790
Honda Auto Receivables Owner Trust,
Ser 2003-2, Cl A3
1.690%, 02/21/07 492 488
Honda Auto Receivables Owner Trust,
Ser 2003-5, Cl A3
2.300%, 10/18/07 785 777
Honda Auto Receivables Owner Trust,
Ser 2005-1, Cl A3
3.530%, 10/21/08 865 866
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
Household Automotive Trust,
Ser 2002-2, Cl A (A)
2.800%, 02/22/05 $ 555 $ 556
Household Automotive Trust,
Ser 2003-1, Cl A3
1.730%, 12/17/07 2,478 2,461
Household Automotive Trust,
Ser 2003-2, Cl A2
1.560%, 12/18/06 355 354
Household Automotive Trust,
Ser 2004-14, Cl A2
2.520%, 12/17/07 1,000 996
Hyundai Auto Receivables Trust,
Ser 2003-A, Cl A2
1.560%, 09/15/06 545 543
Hyundai Auto Receivables Trust,
Ser 2003-A, Cl A3
2.330%, 11/15/07 1,100 1,090
Hyundai Auto Receivables Trust,
Ser 2004-A, Cl A2
2.360%, 09/15/07 965 960
Morgan Stanley Auto Loan Trust,
Ser 2004-HB1, Cl A2
1.920%, 10/15/06 905 901
Morgan Stanley Auto Loan Trust,
Ser 2004-HB2, Cl A2
2.400%, 07/16/07 2,000 1,988
Navistar Financial Corporate Owner
Trust, Ser 2003-B, Cl A2
1.690%, 09/15/06 508 507
Nissan Auto Receivables Owner Trust,
Ser 2003-A, Cl A3
1.890%, 12/15/06 722 719
Nissan Auto Receivables Owner Trust,
Ser 2003-B, Cl A
1.510%, 08/15/07 1,230 1,219
Nissan Auto Receivables Owner Trust,
Ser 2005-A, Cl A3
3.540%, 10/15/08 1,590 1,589
Onyx Acceptance Auto Trust,
Ser 2003-A, Cl A3
2.230%, 02/15/07 422 422
Onyx Acceptance Auto Trust,
Ser 2003-B, Cl A3
1.770%, 05/15/07 1,083 1,076
Onyx Acceptance Auto Trust,
Ser 2003-C, Cl A3
1.870%, 08/15/07 1,291 1,283
Onyx Acceptance Auto Trust,
Ser 2004-A, Cl A2
1.520%, 11/15/06 373 372
- --------------------------------------------------------------------------------
24 SEI Daily Income Trust / Annual Report / January 31, 2005
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
Toyota Auto Receivables Owner Trust,
Ser 2002-C, Cl A3
2.650%, 11/15/06 $ 235 $ 235
Toyota Auto Receivables Owner Trust,
Ser 2003-B, Cl A2
1.430%, 02/15/06 72 72
USAA Auto Owner Trust,
Ser 2003-1, Cl A3
1.580%, 06/15/07 211 209
USAA Auto Owner Trust,
Ser 2004-2, Cl A2
2.410%, 02/15/07 975 971
WFS Financial Owner Trust,
Ser 2002-1, Cl A3A
4.150%, 12/20/06 5 5
WFS Financial Owner Trust,
Ser 2002-2, Cl A3
3.810%, 02/20/07 253 253
WFS Financial Owner Trust,
Ser 2002-3, Cl A3
2.760%, 02/20/07 193 193
WFS Financial Owner Trust,
Ser 2002-4, Cl A3A
2.390%, 08/20/07 631 630
WFS Financial Owner Trust,
Ser 2003-1, Cl A3
2.030%, 08/20/07 541 539
WFS Financial Owner Trust,
Ser 2003-2, Cl A3
1.760%, 01/21/08 716 712
WFS Financial Owner Trust,
Ser 2004-1, Cl A3
2.190%, 06/20/08 1,170 1,154
Whole Auto Loan Trust,
Ser 2002-1, Cl A3
2.600%, 08/15/06 479 478
Whole Auto Loan Trust,
Ser 2003-1, Cl A2A
1.400%, 04/15/06 333 333
Whole Auto Loan Trust,
Ser 2004-1, Cl A2A
2.590%, 05/15/07 600 597
World Omni Auto Receivables Trust,
Ser 2003-A, Cl A3
1.980%, 05/15/07 701 697
World Omni Auto Receivables Trust,
Ser 2003-B, Cl A2
1.540%, 08/15/06 793 790
---------
61,367
---------
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
CREDIT CARD -- 11.8%
Advanta Business Card Master Trust,
Ser 2004-C1, Cl C (A)
3.550%, 02/22/05 $ 485 $ 485
American Express Credit Account
Master Trust, Ser 2003-4, Cl A
1.690%, 01/15/09 695 679
American Express Credit Account
Master Trust, Ser 2004-C, Cl C (A) (B)
2.980%, 02/15/05 755 756
American Express Master Trust,
Ser 2002-2, Cl A (A)
2.530%, 02/15/05 2,234 2,234
Bank One Issuance Trust,
Ser 2002-A2, Cl A2
4.160%, 01/15/08 1,500 1,506
Bank One Issuance Trust,
Ser 2003-A2, Cl A2 (A)
2.530%, 02/15/05 1,500 1,501
Bank One Issuance Trust,
Ser 2003-B2, Cl B2 (A)
2.710%, 02/15/05 1,750 1,753
Bank One Issuance Trust,
Ser 2004-B1, Cl B1 (A)
2.800%, 02/01/05 1,250 1,257
Capital One Master Trust,
Ser 2001-2, Cl A (A)
2.620%, 02/15/05 1,750 1,753
Capital One Multi-Asset Executive
Trust, Ser 2003-A1, Cl A1 (A)
2.870%, 02/15/05 1,465 1,471
Capital One Multi-Asset Executive
Trust, Ser 2003-B1, Cl B1 (A)
3.650%, 02/15/05 1,250 1,264
Capital One Multi-Asset Executive
Trust, Ser 2004, Cl 1
3.400%, 11/16/09 570 565
Capital One Multi-Asset Executive
Trust, Ser 2004-A6, Cl A6 (A)
2.530%, 03/15/05 1,500 1,500
Chase Credit Card Master Trust,
Ser 2002-4, Cl A (A)
2.530%, 02/15/05 1,500 1,500
Chase Credit Card Master Trust,
Ser 2004-2, Cl A (A)
2.520%, 02/15/05 1,485 1,486
Chemical Master Credit Card Trust,
Ser 1996-2, Cl A
5.980%, 09/15/08 1,000 1,022
Citibank Credit Card Issuance Trust,
Ser 2002-A9, Cl A9 (A)
2.530%, 03/15/05 1,300 1,300
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 25
STATEMENT OF NET ASSETS
Ultra Short Bond Fund (Continued)
January 31, 2005
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
Citibank Credit Card Issuance Trust,
Ser 2003-A2, Cl A2
2.700%, 01/15/08 $ 1,560 $ 1,551
Citibank Credit Card Issuance Trust,
Ser 2003-A5, Cl A5
2.500%, 04/07/08 1,350 1,336
Discover Card Master Trust,
Ser 2004-2, Cl A1 (A)
2.500%, 02/15/05 1,250 1,250
Discover Card Master Trust,
Ser 2005-1, Cl B (A)
2.630%, 02/14/05 1,500 1,495
First USA Credit Card Master Trust,
Ser 1999-2, Cl A (A)
2.710%, 02/22/05 1,000 1,002
GE Capital Credit Card Master Trust,
Ser 2004-1, Cl A (A)
2.530%, 02/15/05 1,785 1,786
GE Capital Credit Card Master Trust,
Ser 2004-2, Cl B (A)
2.740%, 02/15/05 2,000 2,004
Household Affinity Credit Card Trust,
Ser 2003-1, Cl B (A)
3.030%, 02/15/05 1,250 1,266
MBNA Credit Card Master Note Trust,
Ser 2001-B1, Cl B1 (A)
2.855%, 02/15/05 1,125 1,128
MBNA Credit Card Master Note Trust,
Ser 2002-A6, Cl A6
3.900%, 11/15/07 2,000 2,007
MBNA Credit Card Master Note Trust,
Ser 2002-B1, Cl B1
5.150%, 07/15/09 500 512
---------
37,369
---------
MISCELLANEOUS BUSINESS SERVICES -- 7.1%
AICCO Premium Finance Master Trust,
Ser 2004-1, Cl A (A)
2.660%, 02/15/05 671 671
CNH Equipment Trust,
Ser 2003-B, Cl A3A (A)
2.620%, 02/15/05 825 825
CNH Equipment Trust,
Ser 2004-A, Cl A3B
2.940%, 10/15/08 1,600 1,580
Capital Source Commercial Loan
Trust, Ser 2003-2A, Cl D (A) (B)
5.000%, 02/22/05 607 607
Capital Source Commercial Loan
Trust, Ser 2004-1A, Cl A2 (A) (B)
2.830%, 02/20/05 945 947
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
Capital Source Commercial Loan
Trust, Ser 2004-2A, Cl C (A) (B)
3.350%, 02/22/05 $ 1,273 $ 1,273
Connecticut RRB Special Purpose Trust,
Ser 2001-1, Cl A2
5.360%, 03/30/07 183 184
DaimlerChrysler Master Owner Trust,
Ser 2003-A, Cl A (A)
2.530%, 02/15/05 1,075 1,076
GE Commercial Equipment Financing LLC,
Ser 2004-1, Cl B (A)
2.700%, 02/22/05 999 998
John Deere Owner Trust,
Ser 2003-A, Cl A2
1.310%, 01/15/06 73 73
John Deere Owner Trust,
Ser 2004-A, Cl A2
1.680%, 11/15/06 1,740 1,730
Navistar Financial Dealer Owner Trust,
Ser 2003-A, Cl A2 (A)
2.830%, 02/25/05 2,000 2,001
Navistar Financial Dealer Owner Trust,
Ser 2003-A, Cl A3
1.730%, 02/15/07 891 884
Navistar Financial Dealer Owner Trust,
Ser 2004-1, Cl A (A)
2.730%, 02/10/05 650 650
Nelnet Student Loan,
Ser 2004-1, Cl A2 (A) (B)
2.491%, 02/25/05 2,230 2,230
Nelnet Student Loan,
Ser 2004-2A, Cl A1 (A)
2.381%, 02/25/05 661 661
Nelnet Student Loan Trust,
Ser 2004-3, Cl A2 (A)
2.730%, 04/25/05 635 635
Nelnet Student Loan Trust,
Ser 2004-4, Cl A2 (A)
2.720%, 04/25/05 1,000 1,000
PSE&G Transition Funding LLC,
Ser 2001-1, Cl A2
5.740%, 03/15/07 119 120
Providian Gateway Master Trust,
Ser 2004-AA, Cl A (A) (B)
2.710%, 02/15/05 1,970 1,974
Providian Gateway Master Trust,
Ser 2004-BA, Cl A (A) (B)
2.670%, 02/15/05 1,750 1,753
Providian Gateway Master Trust,
Ser 2004-EA, Cl A (A) (B)
2.610%, 02/15/05 565 563
---------
22,435
---------
- --------------------------------------------------------------------------------
26 SEI Daily Income Trust / Annual Report / January 31, 2005
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
MORTGAGE RELATED -- 19.4%
Advanta Mortgage Trust Loan,
Ser 1999-4, Cl A (A)
2.905%, 02/27/05 $ 289 $ 290
Ameriquest Mortgage Securities,
Ser 2004-R12, Cl A3 (A)
2.810%, 02/08/05 1,045 1,048
Ameriquest Mortgage Securities,
Ser 2005-R1, Cl A3A
2.640%, 02/23/35 450 450
Asset Securitization,
Ser 1997-D5, Cl A1B
6.660%, 02/14/43 521 539
Bank of America Large Loan,
Ser 2004-BBA4, Cl A2 (A) (B)
2.640%, 02/15/05 560 560
Bank of America Mortgage Securities,
Ser 2004-J, Cl 2A1 (A)
4.822%, 02/01/05 660 667
Bank of America Mortgage Securities,
Ser 2005-A, Cl 2A2
4.494%, 02/25/35 1,855 1,855
Bear Stearns Commercial Mortgage,
Ser 1998-C1, Cl A1
6.340%, 06/16/30 668 691
Bear Stearns Commercial Mortgage,
Ser 2004-BBA3, Cl A1B (A) (B)
2.710%, 02/15/05 1,750 1,751
CS First Boston Mortgage Securities,
Ser 1997-C2, Cl A2
6.520%, 01/17/35 223 229
CS First Boston Mortgage Securities,
Ser 2004-TF2A, Cl A2 (A) (B)
2.680%, 02/15/05 1,750 1,750
Centex Home Equity Trust,
Ser 2004-A, Cl AF1
2.030%, 06/25/19 306 306
Centex Home Equity Trust,
Ser 2005-A, Cl AF1 (A)
3.700%, 02/01/05 570 569
Chase Funding Mortgage Loan,
Ser 2004-2, Cl 1A1 (A)
2.680%, 02/25/05 1,445 1,445
CitiFinancial Mortgage Securities,
Ser 2004-1, Cl AF1 (A)
2.620%, 02/25/05 598 597
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A
4,070%, 09/25/34 3,564 3,552
Countrywide Asset-Backed Certificates,
Ser 2003-5, Cl AF2
3.042%, 04/25/25 780 779
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
Countrywide Asset-Backed Certificates,
Ser 2004-12, Cl AF1 (A)
2.328%, 02/25/05 $ 1,214 $ 1,214
Countrywide Asset-Backed Certificates,
Ser 2004-15, Cl AF1 (A)
2.620%, 02/25/05 1,969 1,969
Countrywide Asset-Backed Certificates,
Ser 2004-7, Cl AF1 (A)
2.730%, 02/25/05 1,542 1,542
Countrywide Home Loans,
Ser 2004-29, Cl 1A1 (A)
2.690%, 02/25/05 757 757
Countrywide Home Loans,
Ser 2005-7, Cl 1A1 (A)
2.820%, 02/25/05 2,460 2,460
Crusade Global Trust,
Ser 2003-1, Cl A (A)
2.860%, 04/17/05 1,351 1,354
Fremont Home Loan Owner Trust,
Ser 1999-1 (A)
3.130%, 02/25/05 24 24
GMAC Commercial Mortgage Securities
Incorporated, Ser 1999-CTL1, Cl A (B)
7.151%, 12/15/16 1,300 1,355
GMAC Mortgage Loan,
Ser 2004-HE1, Cl A1 (A)
2.610%, 02/25/05 1,890 1,891
Granite Master Issuer PLC,
Ser 2005-1, Cl M1 (A)
2.825%, 03/21/05 550 550
Granite Mortgages PLC,
Ser 2002-2, Cl 1A2 (A)
2.850%, 04/20/05 2,113 2,117
Impac CMB Trust,
Ser 2005-1, Cl 1A1 (A)
2.819%, 02/25/05 1,400 1,400
JP Morgan Chase Commercial Mortgage,
Trust, Ser 2004-FL1A, Cl A1 (A) (B)
2.577%, 02/16/05 1,790 1,792
MLCC Mortgage Investors,
Ser 2004-G, Cl A1 (A)
2.810%, 02/25/05 1,060 1,061
Master Adjustable Rate Mortgage Trust,
Ser 2004-12, Cl 5A1 (A)
4.571%, 02/01/05 1,547 1,557
Mellon Bank Premium Finance Loan
Trust, Ser 2004-1, Cl A (A)
2.650%, 03/15/05 810 813
Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 1A
4.378%, 12/25/34 1,750 1,759
Morgan Stanley Dean Witter Capital I,
Ser 2000-PRIN, Cl A1
7.070%, 02/23/34 54 55
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 27
STATEMENT OF NET ASSETS
Ultra Short Bond Fund (Continued)
January 31, 2005
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
New Century Home Equity Loan Trust,
Ser 2004-2, Cl A3 (A)
2.780%, 02/25/05 $ 1,455 $ 1,455
Nomura Asset Securities Corporation,
Ser 1998-D6, Cl A1A
6.280%, 03/15/30 533 551
Option One Mortgage Loan Trust,
Ser 2003-3, Cl A2 (A)
2.830%, 02/25/05 711 712
Puma Finance Limited,
Ser S1, Cl A (A) (B)
2.420%, 02/08/05 1,302 1,302
Residential Asset Securities Corporation,
Ser 2000-KS5, Cl AII (A)
2.770%, 02/25/05 121 121
Residential Asset Securities Corporation,
Ser 2001-KS4, Cl AIB (A)
2.850%, 02/25/05 354 354
Residential Asset Securities Corporation,
Ser 2004-KS1, Cl AI1 (A)
2.680%, 02/25/05 291 291
Residential Asset Securities Corporation,
Ser 2004-KS1, Cl AI2
2.463%, 11/25/25 870 859
Residential Asset Securities Corporation,
Ser 2004-KS3, Cl AI1 (A)
2.620%, 02/25/05 403 403
Residential Asset Securities Corporation,
Ser 2005-KS1, Cl A1 (A)
2.669%, 02/25/05 745 745
Residential Asset Securities Corporation,
Ser 3-KS8, Cl AI1
2.610%, 06/25/24 1,250 1,244
Residential Asset Securities Corporation,
Ser 3-KS8, Cl AI1 (A)
2.650%, 02/25/05 261 261
Sequoia Mortgage Trust,
Ser 2004-10, Cl A2 (A)
2.820%, 02/20/05 1,134 1,136
Sequoia Mortgage Trust,
Ser 2004-11, Cl A1 (A)
2.800%, 02/20/05 927 929
Sequoia Mortgage Trust,
Ser 2004-12, Cl A1A (A)
2.683%, 02/20/05 733 733
Sequoia Mortgage Trust,
Ser 2005-1, Cl A1 (A)
2.780%, 02/20/05 700 700
Wells Fargo Mortgage Backed Securities,
Ser 2004-BB, Cl A2
4.586%, 01/25/35 2,478 2,480
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
Wells Fargo Mortgage Backed Securities,
Ser 2004-EE, Cl 2A2
3.989%, 01/25/35 $ 1,637 $ 1,628
Wells Fargo Mortgage Backed Securities,
Ser 2004-Z, Cl 2A1
4.605%, 12/25/34 1,088 1,089
Wells Fargo Mortgage Backed Securities,
Ser 2005-AR1, Cl 1A1
4.571%, 01/31/35 2,375 2,379
Wells Fargo Mortgage Backed Securities,
Ser 2005-AR2, Cl 2-A2
4.578%, 03/25/35 1,365 1,368
---------
61,488
---------
Total Asset Backed Securities
(Cost $183,224) ($ Thousands) 182,659
---------
CORPORATE BONDS -- 28.4%
AEROSPACE & DEFENSE -- 0.4%
General Dynamics Corporation
2.125%, 05/15/06 1,265 1,245
---------
AIR TRANSPORTATION -- 0.9%
American Airlines Incorporated (A)
3.150%, 03/23/05 1,109 1,111
Delta Airlines Incorporated (A)
3.450%, 04/25/05 547 551
Fedex Corporation (A)
2.840%, 04/01/05 1,100 1,100
---------
2,762
---------
AUTO FINANCE -- 0.4%
Ford Motor Credit Company (A)
3.379%, 03/25/05 1,250 1,236
---------
BANK HOLDING COMPANY -- 0.5%
Wells Fargo Company (A)
2.609%, 03/28/05 1,680 1,680
---------
BANKS -- 1.8%
SunTrust Bank, Ser CD (A)
2.360%, 02/17/05 1,390 1,390
Wachovia Corporation (A)
2.773%, 04/22/05 1,500 1,500
World Savings Bank (A)
2.490%, 03/15/05 1,200 1,200
2.460%, 03/01/05 1,750 1,750
---------
5,840
---------
- --------------------------------------------------------------------------------
28 SEI Daily Income Trust / Annual Report / January 31, 2005
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.1%
Clear Channel Communications Incorporated
6.000%, 11/01/06 $ 1,000 $ 1,033
Sprint Capital Corporation
4.780%, 08/17/06 1,000 1,015
Univision Communications Incorporated
2.875%, 10/15/06 1,500 1,476
---------
3,524
---------
CREDIT CARD -- 0.7%
American Express Credit (A)
2.640%, 02/20/05 1,250 1,252
2.560%, 02/16/05 1,040 1,040
---------
2,292
---------
ELECTRICAL SERVICES -- 2.3%
Dominion Resources Incorporated
3.660%, 11/15/06 1,750 1,747
2.800%, 02/15/05 1,000 1,000
FPL Group Capital Incorporated
4.086%, 02/16/07 1,430 1,439
Nisource Finance Corporation (A)
2.915%, 02/23/05 1,500 1,500
Pinnacle West Capital Corporation (A)
2.960%, 02/01/05 1,000 1,001
TXU Energy Company LLC (A) (B)
3.420%, 04/14/05 530 531
---------
7,218
---------
FINANCIAL SERVICES -- 7.9%
AIG Sunamerica Global
Finance IV (A) (B)
5.850%, 02/01/06 1,000 1,024
Allstate Life Global Funding
Trust (A) (B)
2.630%, 03/15/05 1,500 1,500
Allstate Life Global Funding
Trust, Ser 04-2 (A)
2.441%, 02/25/05 395 395
Berkshire Hathaway Financial (A) (B)
2.660%, 04/11/05 775 774
Caterpillar Financial Service Corporation
MTN, Ser F (A)
2.330%, 02/14/05 1,150 1,151
Countrywide Home Loan Incorporated
3.500%, 12/19/05 1,250 1,253
Countrywide Home Loan Incorporated (A)
2.890%, 03/02/05 1,250 1,256
Doral Financial Corporation (A)
3.500%, 04/20/05 1,450 1,449
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
General Electric Capital Corporation
MTN (A)
2.540%, 03/09/05 $ 1,750 $ 1,752
General Electric Capital Corporation
MTN, Ser A (A)
2.581%, 03/22/05 2,000 2,001
General Motors Acceptance Corporation
MTN (A)
3.560%, 02/16/05 1,550 1,532
3.185%, 02/18/05 1,000 996
International Lease Finance Corporation
MTN, Ser N
5.120%, 06/01/05 1,000 1,007
International Lease Finance Corporation
MTN, Ser O (A)
3.360%, 02/01/05 1,260 1,267
John Deere Capital Corporation
MTN, Ser D
3.125%, 12/15/05 1,000 998
John Deere Capital Corporation
MTN, Ser D (A)
2.440%, 02/24/05 1,225 1,225
MBIA Global Funding LLC (A) (B)
2.500%, 02/11/05 1,675 1,675
National Rural Utilities
3.000%, 02/15/06 2,000 1,992
Nationwide Building Society (A) (B)
2.850%, 05/02/05 2,000 2,000
---------
25,247
---------
FOOD, BEVERAGE & TOBACCO -- 1.0%
General Mills Incorporated
2.625%, 10/24/06 1,500 1,471
Tyson Foods Incorporated
7.250%, 10/01/06 1,500 1,582
---------
3,053
---------
HEALTHCARE -- 1.8%
Anthem Incorporated
4.875%, 08/01/05 995 1,001
Cardinal Health Incorporated
4.450%, 06/30/05 1,476 1,481
Eli Lilly & Company (A)
2.410%, 02/24/05 2,125 2,124
United Health Group Incorporated
7.500%, 11/15/05 1,000 1,028
---------
5,634
---------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 29
STATEMENT OF NET ASSETS
Ultra Short Bond Fund (Concluded)
January 31, 2005
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
INSURANCE -- 4.4%
ASIF Global Finance (A) (B)
2.531%, 02/26/05 $ 1,000 $ 1,002
2.220%, 02/03/05 1,500 1,500
Jackson National Life Global Funding
MTN, Ser 1 (A) (B)
2.720%, 04/20/05 1,500 1,499
Marsh & Mclennan Companies
Incorporated (A)
2.770%, 04/13/05 1,420 1,396
Met Life Global Fundings (A) (B)
2.634%, 04/05/05 1,250 1,249
2.570%, 03/16/05 1,550 1,550
Monument Global Funding (A) (B)
2.830%, 04/11/05 1,500 1,503
NAC RE Corporation
7.150%, 11/15/05 1,250 1,280
Nationwide Life Global Funding (A) (B)
2.611%, 03/22/05 1,720 1,720
Protective Life Secured Trust (A)
2.710%, 04/13/05 1,240 1,240
---------
13,939
---------
INVESTMENT BANKER/BROKER DEALER -- 2.7%
Citigroup Incorporated (A)
2.498%, 03/04/05 1,500 1,500
Goldman Sachs Group Incorporated
MTN (A)
2.650%, 03/30/05 1,250 1,251
JP Morgan Chase & Company Incorporated
6.250%, 12/15/05 1,000 1,026
Lehman Brothers Holdings MTN,
Ser G (A)
2.790%, 04/20/05 1,320 1,321
Merrill Lynch & Company Incorporated
MTN, Ser C (A)
2.825%, 04/25/05 1,750 1,751
Morgan Stanley Dean Witter
& Company (A)
2.760%, 04/12/05 1,600 1,602
---------
8,451
---------
MACHINERY -- 0.2%
Alabama Power Company
2.650%, 02/15/06 500 497
---------
MEDICAL PRODUCTS & SERVICES -- 0.4%
Wellpoint Health Network
6.375%, 06/15/06 1,250 1,297
---------
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES -- 0.7%
AOL Time Warner Incorporated
5.625%, 05/01/05 $ 1,000 $ 1,006
Computer Sciences Corporation
7.500%, 08/08/05 1,250 1,275
---------
2,281
---------
PETROLEUM & FUEL PRODUCTS -- 0.3%
Duke Energy Field Services
7.500%, 08/16/05 1,100 1,125
---------
RETAIL -- 0.4%
CVS Corporation
5.625%, 03/15/06 1,145 1,171
---------
TELEPHONES & TELECOMMUNICATION -- 0.5%
BellSouth Corporation (A)
2.415%, 02/15/05 1,750 1,750
---------
Total Corporate Bonds
(Cost $90,361) ($ Thousands) 90,242
---------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 11.7%
FHLMC
7.000%, 03/01/07 21 22
FHLMC (A)
3.601%, 02/01/05 2,353 2,427
3.589%, 02/01/05 2,963 3,034
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 694 710
FHLMC REMIC, Ser 1614, Cl J
6.250%, 11/15/22 418 422
FHLMC REMIC, Ser 2061, Cl TA
5.250%, 10/15/27 606 609
FHLMC REMIC, Ser 2381, Cl VE
6.500%, 11/15/16 410 410
FHLMC REMIC, Ser 2518, Cl FP (A)
2.730%, 02/15/05 2,172 2,178
FHLMC REMIC, Ser 2594, Cl QH
4.000%, 10/15/16 1,074 1,077
FHLMC REMIC, Ser 2638, Cl KA
3.000%, 07/15/09 1,149 1,148
FHLMC REMIC, Ser 2676, Cl NA
4.000%, 03/15/14 1,715 1,718
FHLMC REMIC, Ser 2684, Cl PA
5.000%, 02/15/10 303 303
FHLMC REMIC, Ser 2684, Cl QM
3.500%, 03/15/19 1,300 1,298
FHLMC REMIC, Ser 2691, Cl OK
3.500%, 05/15/17 1,789 1,787
FHLMC REMIC, Ser 2727, Cl PA
4.125%, 08/15/18 2,355 2,364
- --------------------------------------------------------------------------------
30 SEI Daily Income Trust / Annual Report / January 31, 2005
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
FHLMC REMIC, Ser 2750, Cl NA
3.500%, 03/15/15 $ 1,450 $ 1,447
FHLMC REMIC, Ser 2750, Cl OA
3.500%, 10/15/11 1,895 1,896
FHLMC REMIC, Ser 2760, Cl LJ
4.000%, 01/15/33 2,000 2,005
FNMA (A)
4.028%, 02/01/05 1,236 1,271
3.948%, 02/01/05 285 295
3.945%, 02/01/05 250 257
3.668%, 02/01/05 1,385 1,439
3.533%, 02/01/05 513 525
3.512%, 02/01/05 2,253 2,306
2.800%, 02/01/05 409 408
FNMA REMIC, Ser 1993-220, Cl FA (A)
3.131%, 02/25/05 365 368
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23 519 533
FNMA REMIC, Ser 2001-33, Cl FA (A)
2.980%, 02/25/05 734 739
FNMA REMIC, Ser 2002-63, Cl QF (A)
2.830%, 02/25/05 596 597
FNMA REMIC, Ser 2002-64, Cl FG (A)
2.730%, 02/18/05 670 671
FNMA REMIC, Ser 2003-57, Cl KL
3.500%, 03/25/09 1,335 1,335
GNMA REMIC, Ser 2003-75, Cl YM
4.000%, 10/20/21 1,040 1,041
SLMA (A)
2.600%, 03/15/05 500 500
---------
Total U.S. Government Mortgage-Backed Obligations
(Cost $37,571) ($ Thousands) 37,140
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.3%
FHLMC
2.000%, 02/23/06 1,000 987
---------
Total U.S. Government Agency Obligations
(Cost $1,000) ($ Thousands) 987
---------
CERTIFICATE OF DEPOSIT -- 0.1%
Sovereign Bank
4.000%, 02/01/08 400 400
---------
Total Certificate of Deposit
(Cost $399) ($ Thousands) 400
---------
- -------------------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------
REPURCHASE AGREEMENT (C) -- 0.3%
UBS Securities LLC
2.500%, dated 01/31/05,
to be repurchased on 02/01/05,
repurchase price $1,000,069
(collateralized by FHLMC
obligation, par value $1,025,000,
3.250%, 11/02/07, with total
market value $1,024,164) $ 1,000 $ 1,000
---------
Total Repurchase Agreement
(Cost $1,000) ($ Thousands) 1,000
---------
Total Investments -- 98.4%
(Cost $313,555) ($ Thousands) 312,428
---------
OTHER ASSETS AND LIABILITIES -- 1.6%
Payable for Investment Securities Purchased (3,821)
Payable for Fund Shares Redeemed (1,295)
Income Distribution Payable (123)
Administration Fees Payable (66)
Investment Advisory Fees Payable (16)
Other Assets and Liabilities, Net 10,275
---------
Total Other Assets and Liabilities 4,954
---------
Net Assets -- 100.0% $317,382
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $320,998
Distribution in excess of net investment income (3)
Accumulated net realized loss on investments (2,486)
Net unrealized depreciation on investments (1,127)
---------
Net Assets -- 100.0% $317,382
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($317,382,177 / 158,618,080 shares) $2.00
=========
(A) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on January 31, 2005. The date shown is the earlier of
the reset date or the demand date.
(B) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors."
(C) Tri-Party Repurchase Agreement.
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
LLC -- Limited Liability Company
MTN -- Medium Term Note
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
SLMA -- Student Loan Marketing Association
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 31
This page intentionally left blank
Statements of Assets and Liabilities ($Thousands)
January 31, 2005
- ---------------------------------------------------------------------------------------------------------------------------
TREASURY II INTERMEDIATE-DURATION
FUND GOVERNMENT FUND
- ---------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at Market Value (Cost $373,949 and $107,096, respectively) $373,949 $107,129
Cash 1 12
Receivable for Investment Securities Sold 49,840 4,425
Interest Receivable 277 1,515
Receivable for Fund Shares Sold -- 33
Prepaid Expenses 17 3
- ---------------------------------------------------------------------------------------------------------------------------
Total Assets 424,084 113,117
- ---------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for Investment Securities Purchased 49,682 3,275
Income Distribution Payable 360 201
Payable for Fund Shares Redeemed -- 173
Administration Fees Payable 69 33
Shareholder Servicing Fees Payable 27 1
Investment Advisory Fees Payable 8 9
Trustees' Fees Payable 2 1
Accrued Expenses 58 30
- ---------------------------------------------------------------------------------------------------------------------------
Total Liabilities 50,206 3,723
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets $373,878 $109,394
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital $374,143 $109,858
Undistributed Net Investment Income -- 11
Accumulated Net Realized Loss on Investments (265) (508)
Net Unrealized Appreciation on Investments and Futures Contracts -- 33
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets $373,878 $109,394
- ---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($263,726,522 / 263,971,486 Shares and
$109,393,791 / 10,420,016 Shares, respectively) $1.00 $10.50
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($78,781,394 / 78,775,532 Shares) $1.00 --
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($31,370,281 / 31,395,932 Shares) $1.00 --
- ---------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 33
Statements of Operations ($ Thousands)
For the year ended January 31, 2005
- --------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $13,469 $10,477 $11,078 $69,438
- ---------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 2,859 1,689 1,462 8,698
Shareholder Servicing Fees - Class A Shares 1,223 1,025 1,353 7,580
Shareholder Servicing Fees - Class B Shares 378 477 557 1,912
Shareholder Servicing Fees - Class C Shares 846 505 202 4,099
Shareholder Servicing Fees - Class H Shares -- -- -- 160
Shareholder Servicing Fees - Sweep Class Shares 400 159 -- 198
Distribution Fees - Sweep Class Shares 199 80 -- 99
Investment Advisory Fees 203 165 180 1,072
Registration Fees 36 30 34 189
Custodian/Wire Agent Fees 35 28 36 221
Proxy costs 11 9 10 58
Trustees' Fees 8 7 7 29
Other Expenses 76 57 65 352
- ---------------------------------------------------------------------------------------------------------------------------
Total Expenses 6,274 4,231 3,906 24,667
- ---------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- -- --
Administration Fees (1,652) (564) (242) (1,389)
Shareholder Servicing Fees - Class A Shares (1,223) (1,025) (1,353) (7,580)
Shareholder Servicing Fees - Sweep Class Shares -- (2) -- --
- ---------------------------------------------------------------------------------------------------------------------------
Net Expenses 3,399 2,640 2,311 15,698
- ---------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 10,070 7,837 8,767 53,740
- ---------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON:
Investments 10 (58) (7) (14)
Futures Contracts -- -- -- --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments -- -- -- --
Futures Contracts -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $10,080 $ 7,779 $ 8,760 $53,726
- ---------------------------------------------------------------------------------------------------------------------------
Amount designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
34 SEI Daily Income Trust / Annual Report / January 31, 2005
- ---------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION INTERMEDIATE-DURATION
TREASURY TREASURY II GOVERNMENT GOVERNMENT
FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $9,423 $6,294 $6,564 $3,996
- ---------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 1,633 1,157 895 409
Shareholder Servicing Fees - Class A Shares 664 735 638 292
Shareholder Servicing Fees - Class B Shares 678 391 -- --
Shareholder Servicing Fees - Class C Shares 416 288 -- --
Shareholder Servicing Fees - Class H Shares -- -- -- --
Shareholder Servicing Fees - Sweep Class Shares 523 -- -- --
Distribution Fees - Sweep Class Shares 260 -- -- --
Investment Advisory Fees 159 113 249 114
Registration Fees 30 23 15 6
Custodian/Wire Agent Fees 14 19 15 3
Proxy costs 9 6 3 1
Trustees' Fees 2 1 2 1
Other Expenses 60 40 86 34
- ---------------------------------------------------------------------------------------------------------------------------
Total Expenses 4,448 2,773 1,903 860
- ---------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- (45) --
Administration Fees (532) (144) (66) --
Shareholder Servicing Fees - Class A Shares (664) (735) (638) (273)
Shareholder Servicing Fees - Sweep Class Shares (24) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
Net Expenses 3,228 1,894 1,154 587
- ---------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 6,195 4,400 5,410 3,409
- ---------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON:
Investments (31) (57) (561) (328)
Futures Contracts -- -- -- 19
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments -- -- (2,245) (908)
Futures Contracts -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $6,164 $4,343 $2,604 $2,192
- ---------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------
ULTRA
GNMA SHORT BOND
FUND FUND
- -----------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $8,539 $7,235
- -----------------------------------------------------------------------------------
EXPENSES:
Administration Fees 599 1,159
Shareholder Servicing Fees - Class A Shares 466 825
Shareholder Servicing Fees - Class B Shares -- --
Shareholder Servicing Fees - Class C Shares -- --
Shareholder Servicing Fees - Class H Shares -- --
Shareholder Servicing Fees - Sweep Class Shares -- --
Distribution Fees - Sweep Class Shares -- --
Investment Advisory Fees 182 331
Registration Fees 11 14
Custodian/Wire Agent Fees 6 18
Proxy costs 2 4
Trustees' Fees 2 3
Other Expenses 61 107
- -----------------------------------------------------------------------------------
Total Expenses 1,329 2,461
- -----------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- (132)
Administration Fees -- (340)
Shareholder Servicing Fees - Class A Shares (204) (825)
Shareholder Servicing Fees - Sweep Class Shares -- --
- -----------------------------------------------------------------------------------
Net Expenses 1,125 1,164
- -----------------------------------------------------------------------------------
NET INVESTMENT INCOME 7,414 6,071
- -----------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON:
Investments 917 (241)
Futures Contracts (149) --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON:
Investments (1,903) (2,114)
Futures Contracts 19 --
- -----------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $6,298 $3,716
- -----------------------------------------------------------------------------------
Amount designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 35
Statements of Changes in Net Assets ($ Thousands)
For the years ended January 31,
- ---------------------------------------------------------------------------------------------------------------------------
MONEY MARKET GOVERNMENT
FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------
2005 2004 2005 2004
- ---------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 10,070 $ 8,431 $ 7,837 $ 6,105
Net Realized Gain (Loss) from Investments 10 1 (58) 1
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 10,080 8,432 7,779 6,106
- ---------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (6,774) (5,766) (5,421) (3,876)
Class B (1,387) (1,059) (1,474) (1,482)
Class C (1,421) (1,298) (778) (640)
Class H -- -- -- --
Sweep Class (488) (280) (164) (106)
- ---------------------------------------------------------------------------------------------------------------------------
Total Dividends (10,070) (8,403) (7,837) (6,104)
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 4,146,390 5,076,254 3,175,417 2,216,730
Reinvestment of Dividends & Distributions 4,358 3,838 2,778 2,005
Cost of Shares Redeemed (4,229,702) (5,057,407) (3,138,663) (2,258,934)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (78,954) 22,685 39,532 (40,199)
- ---------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 890,581 1,073,417 1,333,648 1,720,092
Reinvestment of Dividends & Distributions 273 46 413 535
Cost of Shares Redeemed (907,607) (1,108,455) (1,417,797) (1,738,626)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions (16,753) (34,992) (83,736) (17,999)
- ---------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 951,826 1,336,865 363,736 652,694
Reinvestment of Dividends & Distributions 83 82 -- --
Cost of Shares Redeemed (1,000,318) (1,443,722) (383,222) (685,797)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions (48,409) (106,775) (19,486) (33,103)
- ---------------------------------------------------------------------------------------------------------------------------
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 568,216 649,916 275,839 363,775
Reinvestment of Dividends & Distributions -- -- 4 2
Cost of Shares Redeemed (586,907) (711,857) (294,254) (369,947)
- ---------------------------------------------------------------------------------------------------------------------------
Increase(Decrease) in Net Assets from
Sweep Class Transactions (18,691) (61,941) (18,411) (6,170)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from
Capital Share Transactions (162,807) (181,023) (82,101) (97,471)
- ---------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets (162,797) (180,994) (82,159) (97,469)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 1,016,457 1,197,451 722,448 819,917
- ---------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 853,660 $ 1,016,457 $ 640,289 $ 722,448
- ---------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ 1 $ -- $ -- $ --
- ---------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
36 SEI Daily Income Trust / Annual Report / January 31, 2005
- ---------------------------------------------------------------------------------------------------------------------------
GOVERNMENT II PRIME OBLIGATION
FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------
2005 2004 2005 2004
- ---------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 8,767 $ 7,755 $ 53,740 $ 43,163
Net Realized Gain (Loss) from Investments (7) (3) (14) (2)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 8,760 7,752 53,726 43,161
- ---------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (6,773) (6,354) (39,748) (32,509)
Class B (1,710) (1,142) (6,719) (5,236)
Class C (285) (259) (6,719) (4,882)
Class H -- -- (336) (240)
Sweep Class -- -- (229) (135)
- ---------------------------------------------------------------------------------------------------------------------------
Total Dividends (8,768) (7,755) (53,751) (43,002)
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 1,586,478 2,134,347 28,226,610 30,631,273
Reinvestment of Dividends & Distributions 991 735 11,613 13,789
Cost of Shares Redeemed (1,641,136) (2,235,845) (28,501,217) (30,937,037)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (53,667) (100,763) (262,994) (291,975)
- ---------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 954,415 965,206 5,733,758 4,792,807
Reinvestment of Dividends & Distributions 279 235 2,252 2,233
Cost of Shares Redeemed (995,268) (938,851) (5,644,471) (4,999,869)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions (40,574) 26,590 91,539 (204,829)
- ---------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 226,759 291,589 5,914,517 6,523,503
Reinvestment of Dividends & Distributions 15 -- 2,240 1,454
Cost of Shares Redeemed (254,989) (299,597) (6,051,272) (6,589,444)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions (28,215) (8,008) (134,515) (64,487)
- ---------------------------------------------------------------------------------------------------------------------------
CLASS H:
Proceeds from Shares Issued -- -- 79,666 143,725
Reinvestment of Dividends & Distributions -- -- 336 242
Cost of Shares Redeemed -- -- (74,804) (152,275)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class H Transactions -- -- 5,198 (8,308)
- ---------------------------------------------------------------------------------------------------------------------------
SWEEP CLASS:
Proceeds from Shares Issued -- -- 362,421 492,469
Reinvestment of Dividends & Distributions -- -- 17 3
Cost of Shares Redeemed -- -- (366,929) (512,041)
- ---------------------------------------------------------------------------------------------------------------------------
Increase(Decrease) in Net Assets from
Sweep Class Transactions -- -- (4,491) (19,569)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from
Capital Share Transactions (122,456) (82,181) (305,263) (589,168)
- ---------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets (122,464) (82,184) (305,288) (589,009)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 816,826 899,010 4,746,195 5,335,204
- ---------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 694,362 $ 816,826 $ 4,440,907 $ 4,746,195
- ---------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ (1) $ -- $ 1 $ 12
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
TREASURY TREASURY II
FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------
2005 2004 2005 2004
- ---------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 6,195 $ 4,934 $ 4,400 $ 4,579
Net Realized Gain (Loss) from Investments (31) (1) (57) 1
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 6,164 4,933 4,343 4,580
- ---------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (3,211) (2,292) (3,202) (3,129)
Class B (1,925) (1,908) (923) (1,139)
Class C (545) (525) (319) (368)
Class H -- -- -- --
Sweep Class (514) (256) -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total Dividends (6,195) (4,981) (4,444) (4,636)
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 2,544,088 4,053,885 1,343,161 1,813,985
Reinvestment of Dividends & Distributions 348 532 971 827
Cost of Shares Redeemed (2,515,994) (3,936,986) (1,349,541) (1,956,536)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 28,442 117,431 (5,409) (141,724)
- ---------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 1,365,840 1,332,298 699,828 1,578,879
Reinvestment of Dividends & Distributions 463 386 111 173
Cost of Shares Redeemed (1,485,282) (1,326,971) (781,992) (1,628,596)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions (118,979) 5,713 (82,053) (49,544)
- ---------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 820,022 1,103,113 585,363 1,143,299
Reinvestment of Dividends & Distributions 12 8 -- --
Cost of Shares Redeemed (860,744) (1,096,481) (612,405) (1,177,421)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions (40,710) 6,640 (27,042) (34,122)
- ---------------------------------------------------------------------------------------------------------------------------
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 504,982 579,300 -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed (505,250) (585,871) -- --
- ---------------------------------------------------------------------------------------------------------------------------
Increase(Decrease) in Net Assets from
Sweep Class Transactions (268) (6,571) -- --
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from
Capital Share Transactions (131,515) 123,213 (114,504) (225,390)
- ---------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets (131,546) 123,165 (114,605) (225,446)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 795,557 672,392 488,483 713,929
- ---------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 664,011 $ 795,557 $ 373,878 $ 488,483
- ---------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ -- $ -- $ -- $ 44
- ---------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 37
Statements of Changes in Net Assets ($ Thousands)
For the years ended January 31,
- ---------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION
GOVERNMENT FUND
- ---------------------------------------------------------------------------------------------------------------------------
2005 2004
- ---------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 5,410 $ 7,094
Net Realized Gain (Loss) on Investments and Futures Contracts (561) 892
Net Change in Unrealized Depreciation of Investments and Futures Contracts (2,245) (3,161)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 2,604 4,825
- ---------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (6,335) (8,882)
Net Realized Gains -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (6,335) (8,882)
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 132,571 321,211
Reinvestment of Dividends & Distributions 4,309 6,388
Cost of Shares Redeemed (221,100) (351,602)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (84,220) (24,003)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (87,951) (28,060)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 289,986 318,046
- ---------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 202,035 $289,986
- ---------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ 5 $ (6)
- ---------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 12,899 30,761
Reinvestment of Distributions 420 613
Shares Redeemed (21,506) (33,761)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (8,187) (2,387)
- ---------------------------------------------------------------------------------------------------------------------------
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, 2005
- ---------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE-DURATION
GOVERNMENT FUND
- ---------------------------------------------------------------------------------------------------------------------------
2005 2004
- ---------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 3,409 $ 4,729
Net Realized Gain (Loss) on Investments and Futures Contracts (309) 6,406
Net Change in Unrealized Depreciation of Investments and Futures Contracts (908) (6,641)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 2,192 4,494
- ---------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (3,597) (5,064)
Net Realized Gains (80) (2,821)
- ---------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (3,677) (7,885)
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 37,922 125,899
Reinvestment of Dividends & Distributions 1,591 4,838
Cost of Shares Redeemed (63,249) (180,740)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (23,736) (50,003)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (25,221) (53,394)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 134,615 188,009
- ---------------------------------------------------------------------------------------------------------------------------
END OF YEAR $109,394 $ 134,615
- ---------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ 11 $ 2
- ---------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 3,596 11,548
Reinvestment of Distributions 151 449
Shares Redeemed (5,983) (16,603)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (2,236) (4,606)
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
GNMA
FUND
- ---------------------------------------------------------------------------------------------------------------------------
2005 2004
- ---------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 7,414 $ 9,748
Net Realized Gain (Loss) on Investments and Futures Contracts 768 451
Net Change in Unrealized Depreciation of Investments and Futures Contracts (1,884) (4,442)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 6,298 5,757
- ---------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (9,524) (15,863)
Net Realized Gains -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (9,524) (15,863)
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 44,917 193,367
Reinvestment of Dividends & Distributions 6,188 12,120
Cost of Shares Redeemed (96,223) (366,291)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (45,118) (160,804)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (48,344) (170,910)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 219,483 390,393
- ---------------------------------------------------------------------------------------------------------------------------
END OF YEAR $171,139 $ 219,483
- ---------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ (7) $ (5)
- ---------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 4,613 19,235
Reinvestment of Distributions 635 1,216
Shares Redeemed (9,876) (36,748)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (4,628) (16,297)
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
ULTRA SHORT
BOND FUND
- ---------------------------------------------------------------------------------------------------------------------------
2005 2004
- ---------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 6,071 $ 6,481
Net Realized Gain (Loss) on Investments and Futures Contracts (241) 176
Net Change in Unrealized Depreciation of Investments and Futures Contracts (2,114) (755)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 3,716 5,902
- ---------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (6,945) (7,350)
Net Realized Gains -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (6,945) (7,350)
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 343,268 395,806
Reinvestment of Dividends & Distributions 5,389 5,211
Cost of Shares Redeemed 321,862) (458,037)
- ---------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 26,795 (57,020)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 23,566 (58,468)
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 293,816 352,284
- ---------------------------------------------------------------------------------------------------------------------------
END OF YEAR $317,382 $ 293,816
- ---------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ (3) $ 4
- ---------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 170,682 195,339
Reinvestment of Distributions 2,683 2,574
Shares Redeemed (160,158) (226,173)
- ---------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions 13,207 (28,260)
- ---------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 39
Financial Highlights
For the periods ended January 31,
For a Share Outstanding Throughout the Periods
- -----------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends
Beginning Investment (Losses) from Investment and
of Period Income on Securities Operations Income Distributions
- -----------------------------------------------------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2005 $1.00 $ 0.01(1) $ --(1) $ 0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.02 -- 0.02 (0.02) (0.02)
2002 1.00 0.04 -- 0.04 (0.04) (0.04)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
CLASS B
2005 $1.00 $ 0.01(1) $ --(1) $ 0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
CLASS C
2005 $1.00 $ 0.01(1) $ --(1) $ 0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
SWEEP CLASS
2005 $1.00 $ 0.01(1) $ --(1) $ 0.01 $(0.01) $(0.01)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
GOVERNMENT FUND
CLASS A
2005 $1.00 $ 0.01(1) $ --(1) $ 0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.02 -- 0.02 (0.02) (0.02)
2002 1.00 0.04 -- 0.04 (0.04) (0.04)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
CLASS B
2005 $1.00 $ 0.01(1) $ --(1) $ 0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
CLASS C
2005 $1.00 $ 0.01(1) $ --(1) $ 0.01 $(0.01) $(0.01)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
SWEEP CLASS
2005 $1.00 $ 0.01(1) $ --(1) $ 0.01 $(0.01) $(0.01)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.05 -- 0.05 (0.05) (0.05)
- -----------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income
Value, End Total End of Period to Average (Excluding to Average
of Period Return+ ($ Thousands) Net Assets Waivers) Net Assets
- -----------------------------------------------------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2005 $1.00 1.37% $524,849 0.18% 0.62% 1.38%
2004 1.00 1.04 603,798 0.18 0.62 1.05
2003 1.00 1.61 581,097 0.18 0.63 1.59
2002 1.00 3.70 419,783 0.18 0.63 3.90
2001 1.00 6.49 741,949 0.18 0.64 6.39
CLASS B
2005 $1.00 1.07% $107,650 0.48% 0.67% 1.10%
2004 1.00 0.74 124,401 0.48 0.67 0.74
2003 1.00 1.31 159,389 0.48 0.68 1.30
2002 1.00 3.39 197,280 0.48 0.68 3.27
2001 1.00 6.17 161,067 0.48 0.69 6.07
CLASS C
2005 $1.00 0.86% $152,060 0.68% 0.87% 0.84%
2004 1.00 0.54 200,467 0.68 0.87 0.55
2003 1.00 1.11 307,236 0.68 0.88 1.10
2002 1.00 3.19 407,312 0.68 0.88 3.02
2001 1.00 5.96 307,545 0.68 0.89 5.84
SWEEP CLASS
2005 $1.00 0.61% $ 69,101 0.93% 1.12% 0.61%
2004 1.00 0.29 87,791 0.93 1.12 0.30
2003 1.00 0.85 149,729 0.93 1.13 0.85
2002 1.00 2.93 177,857 0.93 1.13 2.92
2001 1.00 5.70 219,802 0.93 1.14 5.63
GOVERNMENT FUND
CLASS A
2005 1.00 1.30% $369,440 0.20% 0.53% 1.32%
2004 1.00 1.00 329,940 0.20 0.53 0.99
2003 1.00 1.53 370,142 0.20 0.53 1.51
2002 1.00 3.64 402,096 0.20 0.53 3.42
2001 1.00 6.37 254,143 0.20 0.54 6.21
CLASS B
2005 1.00 1.00% $156,741 0.50% 0.58% 0.93%
2004 1.00 0.69 240,491 0.50 0.58 0.70
2003 1.00 1.23 258,488 0.50 0.58 1.20
2002 1.00 3.33 217,957 0.50 0.58 3.00
2001 1.00 6.05 90,343 0.50 0.59 5.92
CLASS C
2005 1.00 0.80% $ 86,267 0.70% 0.78% 0.77%
2004 1.00 0.49 105,763 0.70 0.78 0.50
2003 1.00 1.02 138,864 0.70 0.78 1.02
2002 1.00 3.13 151,256 0.70 0.78 2.90
2001 1.00 5.84 104,452 0.70 0.79 5.73
SWEEP CLASS
2005 $1.00 0.55% $ 27,841 0.95% 1.03% 0.51%
2004 1.00 0.25 46,254 0.95 1.03 0.25
2003 1.00 0.77 52,423 0.95 1.03 0.77
2002 1.00 2.87 71,277 0.95 1.03 2.67
2001 1.00 5.57 47,477 0.95 1.04 5.47
- ---------------------------------------------------------------------------------
40 SEI Daily Income Trust / Annual Report / January 31, 2005
- -----------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends
Beginning Investment (Losses) from Investment and
of Period Income on Securities Operations Income Distributions
- -----------------------------------------------------------------------------------------------------------------------
GOVERNMENT II FUND
CLASS A
2005 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.04 -- 0.04 (0.04) (0.04)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
CLASS B
2005 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
CLASS C
2005 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $(0.01)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
PRIME OBLIGATION FUND
CLASS A
2005 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.02 -- 0.02 (0.02) (0.02)
2002 1.00 0.04 -- 0.04 (0.04) (0.04)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
CLASS B
2005 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
CLASS C
2005 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
- -----------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income
Value, End Total End of Period to Average (Excluding to Average
of Period Return+ ($ Thousands) Net Assets Waivers) Net Assets
- -----------------------------------------------------------------------------------------------------------------------
GOVERNMENT II FUND
CLASS A
2005 $1.00 1.27% $ 515,216 0.20% 0.48% 1.25%
2004 1.00 0.96 568,888 0.20 0.47 0.96
2003 1.00 1.50 669,654 0.20 0.48 1.49
2002 1.00 3.63 688,112 0.20 0.48 3.63
2001 1.00 6.31 910,748 0.20 0.49 6.14
CLASS B
2005 $1.00 0.97% $ 160,509 0.50% 0.53% 0.92%
2004 1.00 0.66 201,085 0.50 0.52 0.66
2003 1.00 1.20 174,496 0.50 0.53 1.19
2002 1.00 3.32 164,741 0.50 0.53 3.21
2001 1.00 5.99 140,408 0.50 0.54 5.88
CLASS C
2005 $1.00 0.76% $ 18,637 0.70% 0.73% 0.71%
2004 1.00 0.46 46,853 0.70 0.72 0.46
2003 1.00 1.00 54,860 0.70 0.73 1.00
2002 1.00 3.11 80,415 0.70 0.73 2.84
2001 1.00 5.78 56,011 0.70 0.74 5.67
PRIME OBLIGATION FUND
CLASS A
2005 $1.00 1.34% $2,972,833 0.20% 0.48% 1.31%
2004 1.00 1.02 3,235,847 0.20 0.48 1.02
2003 1.00 1.58 3,527,722 0.20 0.48 1.56
2002 1.00 3.70 3,989,778 0.20 0.48 3.72
2001 1.00 6.46 5,113,420 0.20 0.49 6.25
CLASS B
2005 $1.00 1.03% $ 663,635 0.50% 0.53% 1.05%
2004 1.00 0.72 572,097 0.50 0.53 0.72
2003 1.00 1.28 776,902 0.50 0.53 1.26
2002 1.00 3.39 676,475 0.50 0.53 3.21
2001 1.00 6.14 473,294 0.50 0.54 6.01
CLASS C
2005 $1.00 0.83% $ 730,310 0.70% 0.73% 0.82%
2004 1.00 0.52 864,829 0.70 0.73 0.52
2003 1.00 1.07 929,285 0.70 0.73 1.07
2002 1.00 3.18 946,967 0.70 0.73 3.07
2001 1.00 5.93 809,989 0.70 0.74 5.81
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.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 41
Financial Highlights
For the periods ended January 31,
For a Share Outstanding Throughout the Periods
- -----------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends
Beginning Investment (Losses) from Investment and
of Period Income on Securities Operations Income Distributions
- -----------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS H
2005 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001(3) 1.00 0.04 -- 0.04 (0.04) (0.04)
SWEEP CLASS
2005 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $(0.01)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
TREASURY FUND
CLASS A
2005 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.02 -- 0.02 (0.02) (0.02)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
CLASS B
2005 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
CLASS C
2005 $1.00 $ 0.01(1) $ --(1) $0.01 $(0.01) $(0.01)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
- -----------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income
Value, End Total End of Period to Average (Excluding to Average
of Period Return+ ($ Thousands) Net Assets Waivers) Net Assets
- -----------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS H
2005 $1.00 0.90% $ 41,221 0.63% 0.66% 0.90%
2004 1.00 0.59 36,023 0.63 0.66 0.59
2003 1.00 1.15 44,327 0.63 0.66 1.13
2002 1.00 3.25 29,412 0.63 0.65 2.89
2001(3) 1.00 3.94 9,591 0.63 0.67 5.90
SWEEP CLASS
2005 $1.00 0.58% $ 32,908 0.95% 0.98% 0.58%
2004 1.00 0.27 37,399 0.95 0.98 0.28
2003 1.00 0.82 56,968 0.95 0.98 0.83
2002 1.00 2.92 76,982 0.95 0.98 2.88
2001 1.00 5.67 68,954 0.95 0.99 5.61
TREASURY FUND
CLASS A
2005 $1.00 1.22% $292,974 0.20% 0.53% 1.21%
2004 1.00 0.96 264,544 0.20 0.53 0.92
2003 1.00 1.51 147,129 0.20 0.54 1.50
2002 1.00 3.48 221,636 0.20 0.53 3.30
2001 1.00 6.24 126,044 0.20 0.55 6.06
CLASS B
2005 $1.00 0.91% $206,698 0.50% 0.58% 0.85%
2004 1.00 0.66 325,687 0.50 0.58 0.65
2003 1.00 1.21 319,991 0.50 0.59 1.19
2002 1.00 3.18 316,896 0.50 0.58 3.11
2001 1.00 5.92 308,688 0.50 0.60 5.79
CLASS C
2005 $1.00 0.71% $ 68,932 0.70% 0.78% 0.66%
2004 1.00 0.46 109,647 0.70 0.78 0.45
2003 1.00 1.01 103,015 0.70 0.79 0.98
2002 1.00 2.97 97,755 0.70 0.78 2.86
2001 1.00 5.71 99,816 0.70 0.80 5.56
- --------------------------------------------------------------------------------
42 SEI Daily Income Trust / Annual Report / January 31, 2005
- -----------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends
Beginning Investment (Losses) from Investment and
of Period Income on Securities Operations Income Distributions
- -----------------------------------------------------------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2005 $1.00 $ --(1) $ --(1) $ -- $ --(2) $ --(2)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.05 -- 0.05 (0.05) (0.05)
TREASURY II FUND
CLASS A
2005 $1.00 $ 0.01(1) $ --(1) $ 0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.06 -- 0.06 (0.06) (0.06)
CLASS B
2005 $1.00 $ 0.01(1) $ --(1) $ 0.01 $(0.01) $(0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.05 -- 0.05 (0.05) (0.05)
CLASS C
2005 $1.00 $ 0.01(1) $ --(1) $ 0.01 $(0.01) $(0.01)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
2001 1.00 0.05 -- 0.05 (0.05) (0.05)
- -----------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income
Value, End Total End of Period to Average (Excluding to Average
of Period Return+ ($ Thousands) Net Assets Waivers) Net Assets
- -----------------------------------------------------------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2005 $1.00 0.49% $ 95,407 0.93% 1.03% 0.49%
2004 1.00 0.23 95,679 0.92 1.03 0.22
2003 1.00 0.76 102,257 0.95 1.04 0.75
2002 1.00 2.71 119,263 0.95 1.03 2.61
2001 1.00 5.45 110,640 0.95 1.05 5.33
TREASURY II FUND
CLASS A
2005 $1.00 1.09% $263,727 0.25% 0.53% 1.08%
2004 1.00 0.81 269,200 0.25 0.53 0.80
2003 1.00 1.42 410,954 0.25 0.53 1.42
2002 1.00 3.35 556,201 0.25 0.53 3.20
2001 1.00 5.86 406,003 0.25 0.54 5.70
CLASS B
2005 $1.00 0.79% $ 78,781 0.55% 0.58% 0.70%
2004 1.00 0.51 160,859 0.55 0.58 0.51
2003 1.00 1.12 210,421 0.55 0.58 1.08
2002 1.00 3.05 133,310 0.55 0.58 2.94
2001 1.00 5.55 98,111 0.55 0.59 5.40
CLASS C
2005 $1.00 0.59% $ 31,370 0.75% 0.78% 0.54%
2004 1.00 0.31 58,424 0.75 0.78 0.30
2003 1.00 0.91 92,554 0.75 0.78 0.90
2002 1.00 2.84 109,581 0.75 0.78 2.71
2001 1.00 5.33 90,640 0.75 0.79 5.30
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.
(3) Prime Obligation Fund Class H shares were offered beginning June 8, 2000. All ratios and total return for that period have
been annualized.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 43
Financial Highlights
For the periods ended January 31,
For a Share Outstanding Throughout the Years
- ----------------------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends
Beginning Investment (Losses) from Investment Capital and
of Period Income on Securities Operations Income Gains Distributions
- ----------------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2005 $10.35 $ 0.22(1) $(0.12)(1) $ 0.10 $(0.26) $ -- $(0.26)
2004 10.46 0.22(1) (0.06)(1) 0.16 (0.27) -- (0.27)
2003 10.30 0.32 0.21 0.53 (0.34) (0.03) (0.37)
2002 10.15 0.47 0.16 0.63 (0.48) -- (0.48)
2001 9.87 0.60 0.28 0.88 (0.60) -- (0.60)
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2005 $10.64 $ 0.31(1) $(0.11)(1) $ 0.20 $(0.33) $(0.01) $(0.34)
2004 10.89 0.31(1) 0.01(1) 0.32 (0.33) (0.24) (0.57)
2003 10.40 0.42 0.51 0.93 (0.44) -- (0.44)
2002 10.22 0.54 0.18 0.72 (0.54) -- (0.54)
2001 9.62 0.56 0.60 1.16 (0.56) -- (0.56)
GNMA FUND
CLASS A
2005 $ 9.86 $ 0.39(1) $(0.04)(1) $ 0.35 $(0.50) $ -- $(0.50)
2004 10.13 0.30(1) (0.09)(1) 0.21 (0.48) -- (0.48)
2003 9.91 0.44 0.31 0.75 (0.53) -- (0.53)
2002 9.78 0.55 0.14 0.69 (0.56) -- (0.56)
2001 9.20 0.62 0.58 1.20 (0.62) -- (0.62)
ULTRA SHORT BOND FUND
CLASS A
2005 $ 2.02 $ 0.04(1) $(0.02)(1) $ 0.02 $(0.04) $ -- $(0.04)
2004 2.03 0.04(1) (0.01)(1) 0.03 (0.04) -- (0.04)
2003 2.03 0.06 -- 0.06 (0.06) (0.00)(2) (0.06)
2002 2.01 0.10 0.02 0.12 (0.10) -- (0.10)
2001 1.97 0.12 0.04 0.16 (0.12) -- (0.12)
- ----------------------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income Portfolio
Value, End Total End of Period to Average (Excluding to Average Turnover
of Period Return+ ($ Thousands) Net Assets Waivers) Net Assets Rate
- ----------------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2005 $10.19 0.96% $202,035 0.45% 0.74% 2.12% 66%
2004 10.35 1.55 289,986 0.45 0.72 2.07 117
2003 10.46 5.29 318,046 0.45 0.73 2.92 125
2002 10.30 6.28 150,993 0.45 0.72 4.58 84
2001 10.15 9.14 99,495 0.45 0.74 5.94 79
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2005 $10.50 1.85% $109,394 0.50% 0.73% 2.92% 80%
2004 10.64 2.98 134,615 0.50 0.72 2.89 154
2003 10.89 9.12 188,009 0.50 0.73 3.92 57
2002 10.40 7.19 119,335 0.50 0.72 5.17 50
2001 10.22 12.42 84,523 0.50 0.73 5.67 41
GNMA FUND
CLASS A
2005 $ 9.71 3.64% $171,139 0.60% 0.71% 3.97% 85%
2004 9.86 2.16 219,483 0.60 0.69 2.97 145
2003 10.13 7.73 390,393 0.60 0.70 4.12 146
2002 9.91 7.22 234,747 0.60 0.69 5.50 108
2001 9.78 13.44 88,403 0.60 0.71 6.52 81
ULTRA SHORT BOND FUND
CLASS A
2005 $ 2.00 1.11% $317,382 0.35% 0.75% 1.84% 59%
2004 2.02 1.61 293,816 0.35 0.73 1.84 68
2003 2.03 3.35 352,284 0.35 0.73 2.81 76
2002 2.03 6.08 167,901 0.35 0.72 4.74 75
2001 2.01 8.45 114,536 0.35 0.73 6.10 68
<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.
</FN>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
44 SEI Daily Income Trust / Annual Report / January 31, 2005
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 Ultra Short Bond, previously known
as 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 listed on a securities exchange,
market or automated quotation system for which quotations are readily available
are valued at the last quoted sale price on the primary exchange or market on
which they are traded, or, if there is no such reported sale, at the most recent
quoted bid price. If available, debt securities are priced based upon valuations
provided by independent, third-party pricing agents. Such values generally
reflect the last reported sales price if the security is actively traded. The
third-party pricing agents may also value debt securities at an evaluated bid
price by employing methodologies that utilize actual market transactions,
broker-supplied valuations, or other methodologies designed to identify the
market value for such securities. Debt obligations with remaining maturities of
sixty days or less may be valued at their amortized cost, which approximates
market value. Prices for most securities held in the Funds are provided daily by
recognized independent pricing agents. If a security price cannot be obtained
from an independent, third-party pricing agent, the Funds seek to obtain a bid
price from at least one independent broker.
Securities for which market prices are not "readily available" are valued in
accordance with Fair Value Procedures established by the Funds' Board of
Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Funds' Board of Trustees. Some of
the more common reasons that may necessitate that a security be valued using
Fair Value Procedures include: the security's trading has been halted or
suspended; the security has been de-listed from a national exchange; the
security's primary trading market is temporarily closed at a time when under
normal conditions it would be open; or the security's primary pricing source is
not able or willing to provide a price. When a security is valued in accordance
with the Fair Value Procedures, the Committee will determine the value after
taking into consideration relevant information reasonably available to the
Committee. As of January 31, 2005, there were no fair valued securities in the
Funds.
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 the Trust's policies
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.
FUTURES CONTRACTS -- The Intermediate-Duration Government Fund and the GNMA Fund
utilized futures contracts during the year ended
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 45
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
January 31, 2005. The Funds' investment in these futures contracts is designed
to enable the Funds to more closely approximate the performance of their
benchmark indices. As of January 31, 2005, Intermediate-Duration Government Fund
did not have any open future contracts.
Initial margin deposits of cash or securities are made upon entering into
futures contracts. The contracts are "marked-to-market" daily and the resulting
changes in value are accounted for as unrealized gains and losses. Variation
margin payments are paid or received, depending upon whether unrealized losses
or gains are incurred. When the contract is closed, the Funds record a realized
gain or loss equal to the difference between the proceeds from (or cost of) the
closing transaction and the amount invested in the contract.
Risks related to futures contracts include the possibility that there may not be
a liquid market for the contracts, that the changes in the value of the contract
may not directly correlate with changes in the value of the underlying
securities, and that the counterparty to a contract may default on its
obligation to perform. The notional amount presented in the Statement of Net
Assets in the GNMA Fund represents the Fund's total exposure in such contracts,
whereas only the net unrealized appreciation (depreciation) is reflected in the
Fund's net assets.
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.
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. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
ADMINISTRATION AGREEMENT -- 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 Fund .24%
Government II Fund .19%
Prime Obligation Fund .19%
Treasury Fund .24%
Treasury II Fund .24%
Short-Duration Government Fund .35%
Intermediate-Duration Government Fund .35%
GNMA Fund .32%
Ultra Short Bond Fund .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
Fund Fund Fund Fund Fund Fund
- ---------------------------------------------------------------------------
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% *
*Class not currently operational
- ------------------------------------------------------------------
Short- Intermediate- Ultra
Duration Duration Short
Government Government GNMA Bond
Fund Fund Fund Fund
- ------------------------------------------------------------------
Class A .45% .50% .60% .35%
Extraordinary expenses are not included within this expense cap. Therefore,
during the year expenses related to a proxy conducted by the Trust were charged
to the Funds above the cap.
DISTRIBUTION AGREEMENT -- 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, includ-
- --------------------------------------------------------------------------------
46 SEI Daily Income Trust / Annual Report / January 31, 2005
ing 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 Fund
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Sweep Class .25% -- .50%
Government Fund
Class A .25%
Class B .25% .05% --
Class C .25% .25% --
Sweep Class .25% -- .50%
Government II Fund
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Prime Obligation Fund
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Class H .25% .18% --
Sweep Class .25% -- .50%
Treasury Fund
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Sweep Class .25% -- .50%
Treasury II Fund
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Short-Duration Government Fund -- Class A .25% -- --
Intermediate-Duration
Government Fund -- Class A .25% -- --
GNMA Fund -- Class A .25% -- --
Ultra Short Bond Fund -- 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 who provide
distribution-related services to their customers.
The Distributor has voluntarily waived all or a portion of the shareholder
servicing fees for class A of each fund 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 or the adviser. The Trust pays each unaffiliated Trustee an
annual fee for attendance at quarterly, interim, and committee meetings. The
Administrator or the adviser pays compensation of officers and affiliated
Trustees.
4. INVESTMENT ADVISORY AND CUSTODIAN AGREEMENTS
SEI Investments Management Corporation ("SIMC") serves as each Fund's investment
adviser and "manager of managers" under an 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 $500 million.
Pursuant to the "manager of managers" structure, the Board of Trustees approved
Banc of America Capital Management, LLC ("BACAP") as each Money Market Fund's
investment sub-adviser under an investment sub-advisory agreement approved by
the shareholders of each Fund.
Wellington Management Company LLP, ("Wellington LLP") serves as Sub-Adviser to
the Short-Duration Government, Intermediate-Duration Government, GNMA and Ultra
Short Bond Funds.
Wachovia Bank, N.A. serves as the custodian of the Funds. The custodian plays no
role in determining the investment policies of the Funds or which securities are
to be purchased or sold in the Funds.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities, for the year ended
January 31, 2005, were as follows for the Fixed Income Funds:
- ------------------------------------------------------------------------------
Short- Intermediate- Ultra
Duration Duration Short
Government Government GNMA Bond
Fund Fund Fund Fund
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------
PURCHASES
U.S. Government $130,116 $92,433 $158,280 $ 35,191
Other 22,118 -- 125 107,990
SALES
U.S. Government $230,066 $115,585 $203,471 $ 83,045
Other 6,944 -- 5 115,689
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.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 47
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Reclassification of components of net assets -- The timing and characterization
of certain income and capital gain distributions are determined annually in
accordance with Federal tax regulations which may differ from accounting
principles generally accepted in the United States. As a result, net investment
income (loss) and net realized gain (loss) on investment transactions for the
reporting period may differ from distributions during such period. These
book/tax differences may be temporary or permanent in nature. To the extent
these differences are permanent, they are charged or credited to paid-in
capital, undistributed net investment income or accumulated net realized gain,
as appropriate, in the periods that the differences arise. These
reclassifications, which have no impact on net asset value of the Fund, are
primarily attributable to distribution reclass, expiration of capital loss
carryforwards, and tax treatment of paydown gain (loss) on mortgage and
asset-backed securities. Accordingly, the following permanent differences have
been classified to/from the following accounts during the fiscal year ended
January 31, 2005:
Undistributed Accumulated
Net Investment Net Realized
Paid-in Capital Income Gain (Loss)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Money Market Fund $ -- $ 1 $ (1)
Government II Fund (69) -- 69
Short-Duration Government Fund -- 936 (936)
Intermediate-Duration Government Fund -- 197 (197)
GNMA Fund (414) 2,108 (1,694)
Ultra Short Bond Fund -- 867 (867)
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 2005 $10,070 $ -- $10,070
2004 8,403 -- 8,403
Government Fund 2005 7,837 -- 7,837
2004 6,104 -- 6,104
Government II Fund 2005 8,768 -- 8,768
2004 7,755 -- 7,755
Prime Obligation Fund 2005 53,751 -- 53,751
2004 43,002 -- 43,002
Treasury Fund 2005 6,195 -- 6,195
2004 4,981 -- 4,981
Treasury II Fund 2005 4,444 -- 4,444
2004 4,636 -- 4,636
Short-Duration Government Fund 2005 6,335 -- 6,335
2004 8,882 -- 8,882
Intermediate-Duration Government Fund 2005 3,597 80 3,677
2004 5,064 2,821 7,885
GNMA Fund 2005 9,524 -- 9,524
2004 15,863 -- 15,863
Ultra Short Bond Fund 2005 6,945 -- 6,945
2004 7,350 -- 7,350
As of January 31, 2005 the components of Distributable Earnings/(Accumulated
Losses) on a tax basis were as follows:
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Undistributed Capital Post- Other Unrealized Total
Ordinary Long Term Loss October Temporary Appreciation Distributable Earnings
Income Capital Gain Carryforwards Losses Differences (Depreciation) (Accumulated Losses)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------------------------------------------------------
Money Market Fund $1,505 $ 2 $ -- $ -- $(1,501) $ -- $ 6
Government Fund 1,068 -- (69) (4) (1,068) -- (73)
Government II Fund 1,184 -- (48) -- (1,185) -- (49)
Prime Obligation Fund 7,398 -- (87) -- (7,396) -- (85)
Treasury Fund 928 -- (88) (9) (928) -- (97)
Treasury II Fund 508 -- (225) (37) (508) (3) (265)
Short-Duration
Government Fund 547 -- (2,225) (556) (543) (1,048) (3,825)
Intermediate-Duration
Government Fund 332 -- (301) (170) (321) (4) (464)
GNMA Fund 713 -- (10,256) (102) (719) 3,435 (6,929)
Ultra Short Bond Fund 664 -- (2,019) (467) (667) (1,127) (3,616)
- --------------------------------------------------------------------------------
48 SEI Daily Income Trust / Annual Report / January 31, 2005
At January 31, 2005, the following funds had capital loss carryforwards to
offset future realized capital gains:
- -------------------------------------------------------------------
Amount Expiration
($ Thousands) Date
- -------------------------------------------------------------------
Government Fund $ 5 1/31/06
5 1/31/10
5 1/31/11
54 1/31/13
Government II Fund 38 1/31/06
3 1/31/12
7 1/31/13
Prime Obligation Fund 27 1/31/10
43 1/31/11
2 1/31/12
15 1/31/13
Treasury Fund 65 1/31/11
1 1/31/12
22 1/31/13
Treasury II Fund 148 1/31/06
40 1/31/10
20 1/31/11
17 1/31/13
Short-Duration Government Fund 899 1/31/12
1,326 1/31/13
Intermediate-Duration Government Fund 301 1/31/13
GNMA Fund 238 1/31/06
109 1/31/08
1,607 1/31/09
776 1/31/11
6,407 1/31/12
1,119 1/31/13
Ultra Short Bond Fund 557 1/31/11
442 1/31/12
1,020 1/31/13
During the year ended January 31, 2005, the following fund utilized capital loss
carryforwards to offset realized capital gains.
- ------------------------------------------------------------
Amount
($ Thousands)
- ------------------------------------------------------------
Money Market Fund $ 4
The Government II Fund and GNMA Fund have permanent book/tax differences due to
the expiration of capital loss carryforwards. The Government II Fund and GNMA
Fund have $68,745 and $414,209 of capital losses, respectively, which have
expired as of January 31, 2005.
For Federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. Post-October losses represent
losses realized on investment transactions from November 1, 2004 through January
31, 2005 that, in accordance with Federal income tax regulations, the Funds may
elect to defer and treat as having arisen in the following fiscal year.
At January 31, 2005 the Money Market Funds cost of securities for Federal income
tax purposes approximates the cost located in the Statement of Net Assets.
The Federal tax cost and aggregate gross unrealized appreciation and
depreciation on investments held by the Fixed Income Funds at January 31, 2005,
were as follows:
- --------------------------------------------------------------------------------
Net Unrealized
Federal Appreciated Depreciated Appreciation
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Short-Duration
Government Fund $202,474 $357 $(1,405) $(1,048)
Intermediate-Duration
Government Fund 107,133 627 (631) (4)
GNMA Fund 171,926 3,621 (186) 3,435
Ultra Short
Bond Fund 313,555 254 (1,381) (1,127)
7. INVESTMENT RISKS
In the normal course of business, the Funds enter into contracts that provide
general indemnifications by the Fund to the counterparty to the contract. 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, 2005 49
Trustees and Officers of the Trust (Unaudited)
The following chart lists Trustees and Officers as of March 28, 2005.
Set forth below are the names, dates of birth, position with 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
the 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 and Officers. 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 Advisors'
Valley Drive, Board of Investments for which Mr. Inner Circle Fund II, Bishop
Oaks, PA 19456 Trustees* Nesher is compensated. Street Funds, The MDL Funds,
58 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., SEI
Absolute Return Fund, L.P.,
SEI Opportunity Master
Fund, L.P., and SEI
Opportunity Fund, L.P.
- ------------------------------------------------------------------------------------------------------------------------------------
William M. Doran Trustee* since 1982 Self-employed consultant since 2003. 69 Trustee of The Advisors' Inner
1701 Market Street Partner, Morgan, Lewis & Bockius Circle Fund, The Advisors'
Philadelphia, PA LLP(law firm) from 1976 to 2003, Inner Circle Fund II, The MDL
19103 counsel to the Trust, SEI Invest- Funds, SEI Investments Global
64 yrs. old ments, SIMC, the Administrator Fund Services, Limited and
and the Distributor. Secretary SEI Investments Global,
of SEI Investments since 1978. Limited; Director of SEI
Investments since 1974.
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
72 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee since 1994 Attorney, sole practitioner since 69 Trustee of The Advisors' Inner
One Freedom 1994. Partner, Dechert Price Circle Fund, The Advisors'
Valley Drive, & Rhoads, September 1987- Inner Circle Fund II, The MDL
Oaks, PA 19456 December 1993. Funds, Massachusetts Health
73 yrs. old and Education Tax-Exempt
Trust and U.S. Charitable
Gift Trust.
- ------------------------------------------------------------------------------------------------------------------------------------
George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, Newfound 69 Trustee of The Advisors' Inner
One Freedom Consultants Inc. since April 1997. Circle Fund, The Advisors'
Valley Drive Inner Circle Fund II, The
Oaks, PA 19456 MDL Funds, State Street
62 yrs. old Navigator Securities Lending
Trust, SEI Absolute Return
Master Fund, L.P., SEI
Absolute Return Fund, L.P.,
SEI Opportunity Master Fund,
L.P., and SEI Opportunity
Fund, L.P.
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
50 SEI Daily Income Trust / Annual Report / January 31, 2005
- ------------------------------------------------------------------------------------------------------------------------------------
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)
- --------
Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of Health 69 Director, Sonoco, Inc.; Director,
One Freedom Care Reform, Commonwealth of Exelon Corporation; Trustee,
Valley Drive Pennsylvania since 2003. Founder and Pennsylvania Real Estate
Oaks, PA 19456 Principal, Grecoventures Ltd. from Investment Trust.
58 yrs. old 1999 to 2002.
- ------------------------------------------------------------------------------------------------------------------------------------
Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital since 69 SEI Absolute Return Master
One Freedom March 2002, Managing Partner and Fund, L.P., SEI Absolute Return
Valley Drive, Head of Sales, Investorforce, March Fund, L.P., SEI Opportunity
Oaks, PA 19456 2000-December 2001; Global Partner Master Fund, L.P., and SEI
47 yrs. old working for the CEO, Invesco Capital, Opportunity Fund, L.P.
January 1998-January 2000. Head of
Sales and Client Services, Chancellor
Capital and later LGT Asset Management,
1986-2000.
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Williams Trustee since 2004 Vice President and Chief Investment 69 N/A
One Freedom Officer, J. Paul Getty Trust, Non-Profit
Valley Drive, Foundation for Visual Arts, since
Oaks, PA 19456 December 2002. President, Harbor
57 yrs. old Capital Advisors and Harbor Mutual
Funds, 2000-2002. Manager, Pension
Asset Management, Ford Motor Company,
1997-1999.
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------
Edward D. Loughlin President since 1982 Executive Vice President, Enterprise N/A N/A
One Freedom & CEO Division of SEI Investments since 1993.
Valley Drive, Director and President of SIMC since
Oaks, PA 19456 2004. Chief Executive Officer of the
54 yrs. old Administrator and Director of the
Distributor since 2003. Executive
Vice President of SIMC, 1999-2004.
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
43 yrs. old Management, April 2002 to September
2002.
- ------------------------------------------------------------------------------------------------------------------------------------
Timothy D. Barto Vice since 2002 General Counsel and Secretary of SIMC N/A N/A
One Freedom President and the Administrator since 2004.
Valley Drive and Vice President and Assistant Secretary
Oaks, PA 19456 Secretary of SEI Investments since 2001. Vice
37 yrs. old President of SIMC and the Administrator
since 1999. Assistant Secretary of SIMC,
the Administrator and the Distributor and
Vice President of the Distributor, 1999-2003.
- ------------------------------------------------------------------------------------------------------------------------------------
<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 SIMC AND 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, SEI
INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST
AND SEI TAX EXEMPT TRUST.
</FN>
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 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)
- --------
Sofia A. Rosala Vice since 2004 Compliance Officer of SEI Investments N/A N/A
One Freedom President since Sept. 2001. Account and Product
Valley Drive and Consultant, SEI Private Trust Company,
Oaks, PA 19456 Assistant 1998-2001.
31 yrs. old Secretary
- ------------------------------------------------------------------------------------------------------------------------------------
Philip T. Masterson Vice since 2004 Joined SEI Investments in Aug. 2004 N/A N/A
One Freedom President General Counsel, Citco Mutual Fund
Valley Drive and Services, 2003-2004. Vice President
Oaks, PA 19456 Assistant and Associate Counsel, Oppenheimer
41 yrs. old Secretary Funds, 2001-2003. Vice President and
Assistant Counsel, Oppenheimer Funds,
1997-2001.
- ------------------------------------------------------------------------------------------------------------------------------------
John J. McCue Vice since 2004 Director of Portfolio Implementations for N/A N/A
One Freedom President SIMC since 1995. Managing Director
Valley Drive of Money Market Investments for
Oaks, PA 19456 SIMC since 2003.
41 yrs. old
- -----------------------------------------------------------------------------------------------------------------------------------
Thomas D. Jones, III Chief since 2004 Chief Compliance Officer and Assistant N/A N/A
One Freedom Compliance Secretary of SIMC since March
Valley Drive Officer 2004. First Vice President, Merrill
Oaks, PA 19456 Lynch Investment Managers
40 yrs. old (Americas) from 2003-2004. Director,
Merrill Lynch Investment Managers
(Americas), 2001-2002. Vice President,
Merrill Lynch Investment Managers
(Americas), 1998-2000.
- -----------------------------------------------------------------------------------------------------------------------------------
James Ndiaye Vice since 2005 Joined SEI Investments in October N/A N/A
One Freedom President 2004. Vice President, Deutsche
Valley Drive and Asset Management (2003-2004).
Oaks, PA 19456 Assistant Associate, Morgan, Lewis & Bockius LLP
36 yrs. old Secretary (2000-2003). Assistant Vice President,
ING Variable Annuities Group (1999-2000).
- -----------------------------------------------------------------------------------------------------------------------------------
Michael T. Pang Vice since 2005 Joined SEI Investments in January 2005. N/A N/A
One Freedom President Counsel, Caledonian Bank & Trust's
Valley Drive and Mutual Funds Group (2004). Counsel,
Oaks, PA 19456 Assistant Permal Asset Management (2001-2004).
32 yrs. old Secretary Associate, Schulte, Roth & Zabel's
Investment Management Group
(2000-2001). Staff Attorney, U.S. SEC's
Division of Enforcement, Northeast
Regional Office (1997-2000).
- -----------------------------------------------------------------------------------------------------------------------------------
Nicole Alexander Anti-Money since 2005 Joined SEI Investments in January 2005. N/A N/A
One Freedom Laundering Compliance Analyst, TD Waterhouse
Valley Drive Compliance (2004). Senior Compliance Analyst,
Oaks, PA 19456 Officer UBS Financial Services (2002-2004).
27 yrs. old Knowledge Management Analyst,
PriceWaterhouseCoopers Consulting
(2000-2002).
- ------------------------------------------------------------------------------------------------------------------------------------
<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 LIQUID ASSET TRUST
AND SEI TAX EXEMPT TRUST.
</FN>
- --------------------------------------------------------------------------------
52 SEI Daily Income Trust / Annual Report / January 31, 2005
SEI DAILY INCOME TRUST -- JANUARY 31, 2005
Disclosure of Fund Expenses (Unaudited)
All mutual funds have operating expenses. As a shareholder of a fund, your
investment is affected by these ongoing costs, which include (among others)
costs for portfolio management, administrative services, and shareholder reports
like this one. It is important for you to understand the impact of these costs
on your investment returns.
Operating expenses such as these are deducted from the fund`s gross income and
directly reduce your final investment return. These expenses are expressed as a
percentage of the fund's average net assets; this percentage is known as the
fund's expense ratio.
The following examples use the expense ratio and are intended to help you
understand the ongoing costs (in dollars) of investing in your fund and to
compare these costs with those of other mutual funds. The examples are based on
an investment of $1,000 made at the beginning of the period shown and held for
the entire period.
The table on the next page illustrates your fund's costs in two ways:
o ACTUAL FUND RETURN. This section helps you to estimate the actual expenses
that your fund incurred over the period. The "Expenses Paid During Period"
column shows the actual dollar expense cost incurred by a $1,000 investment in
the fund, and the "Ending Account Value" number is derived from deducting that
expense cost from the fund's gross investment return.
You can use this information, together with the actual amount you invested in
the fund, to estimate the expenses your fund incurred over that period. Simply
divide your actual starting account value by $1,000 to arrive at a ratio (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply that
ratio by the number shown for your fund under "Expenses Paid During Period."
o HYPOTHETICAL 5% RETURN. This section helps you compare your fund's costs with
those of other mutual funds. It assumes that the fund had an annual 5% return
before expenses during the year, but that the expense ratio (Column 3) is
unchanged. This example is useful in making comparisons because the Securities
and Exchange Commission requires all mutual funds to make this 5% calculation.
You can assess your fund's comparative cost by comparing the hypothetical result
for your fund in the "Expense Paid During Period" column with those that appear
in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes -- NOT your fund's
actual return -- the account values shown do not apply to your specific
investment.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 53
DISCLOSURE OF FUND EXPENSES (UNAUDITED) (concluded)
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
7/31/04 1/31/05 RATIOS PERIOD*
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,008.70 0.18% $0.91
Class B Shares 1,000.00 1,007.20 0.48 2.42
Class C Shares 1,000.00 1,006.20 0.68 3.43
Sweep Class Shares 1,000.00 1,004.90 0.93 4.69
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.23 0.18% $0.92
Class B Shares 1,000.00 1,022.72 0.48 2.44
Class C Shares 1,000.00 1,021.72 0.68 3.46
Sweep Class Shares 1,000.00 1,020.46 0.93 4.72
- --------------------------------------------------------------------------------
GOVERNMENT FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,008.40 0.20% $1.01
Class B Shares 1,000.00 1,006.80 0.50 2.52
Class C Shares 1,000.00 1,005.80 0.70 3.53
Sweep Class Shares 1,000.00 1,004.60 0.95 4.79
HYPOTHETICAL 5% RETURN
Class A Shares 1,000.00 1,024.13 0.20% $1.01
Class B Shares 1,000.00 1,022.62 0.50 2.54
Class C Shares 1,000.00 1,021.62 0.70 3.56
Sweep Class Shares 1,000.00 1,020.36 0.95 4.82
- --------------------------------------------------------------------------------
GOVERNMENT II FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,008.20 0.20% $1.01
Class B Shares 1,000.00 1,006.70 0.50 2.52
Class C Shares 1,000.00 1,005.70 0.70 3.53
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.13 0.20% 1.02
Class B Shares 1,000.00 1,022.62 0.50 2.54
Class C Shares 1,000.00 1,021.62 0.70 3.56
- --------------------------------------------------------------------------------
PRIME OBLIGATION FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,008.50 0.20% $1.01
Class B Shares 1,000.00 1,007.00 0.50 2.52
Class C Shares 1,000.00 1,006.00 0.70 3.53
Class H Shares 1,000.00 1,006.40 0.63 3.18
Sweep Class Shares 1,000.00 1,004.70 0.95 4.79
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.13 0.20% 1.02
Class B Shares 1,000.00 1,022.62 0.50 2.54
Class C Shares 1,000.00 1,021.62 0.70 3.56
Class H Shares 1,000.00 1,021.97 0.63 3.20
Sweep Class Shares 1,000.00 1,020.36 0.95 4.82
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
7/31/04 1/31/05 RATIOS PERIOD*
- --------------------------------------------------------------------------------
TREASURY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,007.80 0.20% $1.01
Class B Shares 1,000.00 1,006.30 0.50 2.52
Class C Shares 1,000.00 1,005.30 0.70 3.53
Sweep Class Shares 1,000.00 1,004.00 0.95 4.79
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.13 0.20% 1.02
Class B Shares 1,000.00 1,022.62 0.50 2.54
Class C Shares 1,000.00 1,021.62 0.70 3.56
Sweep Class Shares 1,000.00 1,020.36 0.95 4.82
- --------------------------------------------------------------------------------
TREASURY II FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,007.00 0.25% $1.26
Class B Shares 1,000.00 1,005.50 0.55 2.77
Class C Shares 1,000.00 1,004.50 0.75 3.78
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.88 0.25% 1.27
Class B Shares 1,000.00 1,022.37 0.55 2.80
Class C Shares 1,000.00 1,021.37 0.75 3.81
- --------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,007.60 0.45% $2.27
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.87 0.45% 2.29
- --------------------------------------------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,020.80 0.50% $2.54
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.62 0.50% 2.54
- --------------------------------------------------------------------------------
GNMA FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,029.80 0.60% $3.06
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.12 0.60% 3.05
- --------------------------------------------------------------------------------
ULTRA SHORT BOND FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,006.20 0.35% $1.77
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.38 0.35% 1.78
*Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 184/366 (to reflect
one-half year period shown).
- --------------------------------------------------------------------------------
54 SEI Daily Income Trust / Annual Report / January 31, 2005
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, 2005, 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) (D)
CAPITAL GAINS INCOME TOTAL U.S.
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS GOVERNMENT
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) INTEREST (1)
Money Market Fund --% 100% 100% 12.43%*
Government Fund -- 100 100 48.02*
Government II Fund -- 100 100 99.84
Prime Obligation Fund -- 100 100 12.48*
Treasury Fund -- 100 100 36.79*
Treasury II Fund -- 100 100 100.00
Short-Duration Government Fund -- 100 100 36.56*
Intermediate-Duration
Government Fund 2.15 97.85 100 42.03*
GNMA Fund -- 100 100 3.45*
Ultra Short Bond Fund -- 100 100 3.88*
Items (A), (B) and (C) are based on the percentage of the fund's total
distribution.
(1) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for
shareholders of the "*" funds who are residents of California, Connecticut
and New York, the statutory threshold requirements were not satisfied to
permit exemption of these amounts from state income.
Please consult your tax adviser for proper treatment of this information.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 55
Shareholder Voting Results (Unaudited)
At a special meeting held on October 27, 2004, the shareholders of the Trust
voted on the proposals listed below. The results of the voting were as follows:
PROPOSAL 1: To elect Trustees of the Trust
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
Rosemarie B. Greco
Affirmative 4,561,346,774.200 55.298% 96.282%
Withhold 176,126,347.780 2.135% 3.718%
TOTAL 4,737,473,121.980 57.433% 100.000%
Nina Lesavoy
Affirmative 4,561,336,730.200 55.298% 96.282%
Withhold 176,136,391.780 2.135% 3.718%
TOTAL 4,737,473,121.980 57.433% 100.000%
James M. Williams
Affirmative 4,555,378,266.530 55.226% 96.156%
Withhold 182,094,855.450 2.207% 3.844%
TOTAL 4,737,473,121.980 57.433% 100.000%
PROPOSAL 2: To approve a "manager of managers" structure for the Short-Duration Government, Intermediate-Duration
Government, GNMA, and Ultra Short Bond Funds.
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
SHORT-DURATION GOVERNMENT FUND
Affirmative 15,046,364.473 57.787% 84.960%
Against 2,152,619.542 8.267% 12.155%
Abstain 84,764.000 .326% .478%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
INTERMEDIATE-DURATION GOVERNMENT FUND
Affirmative 6,261,007.624 57.685% 90.312%
Against 367,260.279 3.383% 5.297%
Abstain 17,857.000 .165% .258%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
- --------------------------------------------------------------------------------
56 SEI Daily Income Trust / Annual Report / January 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
GNMA FUND
Affirmative 11,772,868.040 63.598% 91.788%
Against 900,422.541 4.864% 7.020%
Abstain 63,997.451 .346% .499%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
ULTRA SHORT BOND FUND
Affirmative 110,240,952.538 62.083% 87.912%
Against 11,724,559.663 6.602% 9.350%
Abstain 429,416.101 .242% .342%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
PROPOSAL 3: To approve SIMC as investment adviser for the Short-Duration Government, Intermediate-Duration Government,
GNMA, and Ultra Short Bond Funds and to approve an investment advisory agreement with SIMC and these Funds.
SHORT-DURATION GOVERNMENT FUND
Affirmative 17,101,033.015 65.678% 96.562%
Against 95,686.000 .367% .540%
Abstain 87,029.000 .335% .492%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
INTERMEDIATE-DURATION GOVERNMENT FUND
Affirmative 6,581,678.903 60.639% 94.937%
Against 46,521.000 .429% .671%
Abstain 17,925.000 .165% .259%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
GNMA FUND
Affirmative 12,556,583.581 67.832% 97.898%
Against 104,309.000 .563% .813%
Abstain 76,395.451 .413% .596%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
ULTRA SHORT BOND FUND
Affirmative 121,624,654.770 68.493% 96.990%
Against 348,802.197 .197% .278%
Abstain 421,471.335 .237% .336%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31 ,2005 57
Shareholder Voting Results (Unaudited) (Continued)
PROPOSAL 4: To approve eliminating or reclassifying certain fundamental policies and restrictions for the Government
II Fund, Short-Duration Government Fund, Intermediate-Duration Government Fund, GNMA Fund and Ultra Short
Bond Fund.
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
GOVERNMENT II FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 444,041,766.390 57.412% 99.943%
Against 243,892.250 .031% .055%
Abstain 10,882.000 .001% .002%
TOTAL 444,296,540.640 57.444% 100.000%
4(b) Fundamental Policy Regarding Concentration
Affirmative 444,035,464.390 57.411% 99.941%
Against 243,892.250 .031% .055%
Abstain 17,184.000 .002% .004%
TOTAL 444,296,540.640 57.444% 100.000%
4(c) Fundamental Policy Regarding Borrowing and Senior Securities
Affirmative 443,978,292.390 57.403% 99.928%
Against 307,366.250 .040% .070%
Abstain 10,882.000 .001% .002%
TOTAL 444,296,540.640 57.444% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 443,978,292.390 57.403% 99.928%
Against 307,366.250 .040% .070%
Abstain 10,882.000 .001% .002%
TOTAL 444,296,540.640 57.444% 100.000%
4(e) Fundamental Policy Regarding Pledging and Mortgaging of Fund Assets
Affirmative 443,978,292.390 57.403% 99.928%
Against 307,366.250 .040% .070%
Abstain 10,882.000 .001% .002%
TOTAL 444,296,540.640 57.444% 100.000%
4(f) Fundamental Policy Regarding Control of an Issuer
Affirmative 443,978,292.390 57.403% 99.928%
Against 307,366.250 .040% .070%
Abstain 10,882.000 .001% .002%
TOTAL 444,296,540.640 57.444% 100.000%
- --------------------------------------------------------------------------------
58 SEI Daily Income Fund / Annual Report / January 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 443,989,174.390 57.405% 99.931%
Against 307,366.250 .039% .069%
Abstain .000 .000% .000%
TOTAL 444,296,540.640 57.444% 100.000%
4(h) Fundamental Policy Regarding Short Sales
Affirmative 443,960,761.390 57.401% 99.924%
Against 324,897.250 .042% .074%
Abstain 10,882.000 .001% .002%
TOTAL 444,296,540.640 57.444% 100.000%
4(i) Fundamental Policy Regarding Underwriting Securities
Affirmative 443,960,761.390 57.401% 99.924%
Against 324,897.250 .042% .074%
Abstain 10,882.000 .001% .002%
TOTAL 444,296,540.640 57.444% 100.000%
4(k) Eliminate Policy Regarding the Investing in Issuers when Securities are Owned by Officers and Trustees
Affirmative 443,960,761.390 57.401% 99.924%
Against 324,897.250 .042% .074%
Abstain 10,882.000 .001% .002%
TOTAL 444,296,540.640 57.444% 100.000%
4(l) Fundamental Policy Regarding Investments in "Unseasoned Issuers"
Affirmative 443,960,761.390 57.401% 99.924%
Against 324,897.250 .042% .074%
Abstain 10,882.000 .001% .002%
TOTAL 444,296,540.640 57.444% 100.000%
4(m) Fundamental Policy Regarding Investment in Options
Affirmative 443,960,761.390 57.401% 99.924%
Against 324,897.250 .042% .074%
Abstain 10,882.000 .001% .002%
TOTAL 444,296,540.640 57.444% 100.000%
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 443,960,761.390 57.401% 99.924%
Against 324,897.250 .042% .074%
Abstain 10,882.000 .001% .002%
TOTAL 444,296,540.640 57.444% 100.000%
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 59
Shareholder Voting Results (Unaudited) (Continued)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
4(o) Fundamental Policy Regarding Investments in Illiquid and Restricted Securities
Affirmative 443,978,292.390 57.403% 99.928%
Against 307,366.250 .040% .070%
Abstain 10,882.000 .001% .002%
TOTAL 444,296,540.640 57.444% 100.000%
SHORT-DURATION GOVERNMENT FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 17,074,219.015 65.575% 96.410%
Against 113,061.000 .434% .639%
Abstain 96,468.000 .371% .544%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
4(b) Fundamental Policy Regarding Concentration
Affirmative 17,076,846.015 65.585% 96.425%
Against 108,375.000 .416% .612%
Abstain 98,527.000 .379% .556%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
4(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 17,076,173.015 65.582% 96.421%
Against 110,998.000 .427% .627%
Abstain 96,577.000 .371% .545%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 17,076,934.015 65.585% 96.425%
Against 110,744.000 .426% .626%
Abstain 96,070.000 .369% .542%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
4(e) Fundamental Policy Regarding Pledging and Mortgaging of Fund Assets
Affirmative 17,077,436.015 65.587% 96.428%
Against 110,744.000 .426% .626%
Abstain 95,568.000 .367% .539%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
- --------------------------------------------------------------------------------
60 SEI Daily Income Trust / Annual Report / January 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
4(f) Fundamental Policy Regarding Control of an Issuer
Affirmative 17,077,877.015 65.589% 96.431%
Against 109,403.000 .420% .618%
Abstain 96,468.000 .371% .544%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 17,077,329.015 65.587% 96.428%
Against 112,217.000 .431% .633%
Abstain 94,202.000 .362% .533%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
4(h) Fundamental Policy Regarding Short Sales
Affirmative 17,084,725.015 65.615% 96.469%
Against 106,181.000 .408% .600%
Abstain 92,842.000 .357% .524%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
4(i) Fundamental Policy Regarding Underwriting Securities
Affirmative 17,090,279.015 65.637% 96.501%
Against 96,138.000 .369% .543%
Abstain 97,331.000 .374% .549%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
4(j) Fundamental Policy Regarding Investments in Securities of Other Investment Companies
Affirmative 17,083,130.015 65.609% 96.460%
Against 105,050.000 .404% .594%
Abstain 95,568.000 .367% .539%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
4(k) Eliminate Policy Regarding the Investing in Issuers when Securities are Owned by Officers and Trustees
Affirmative 17,059,006.015 65.516% 96.324%
Against 127,301.000 .489% .719%
Abstain 97,441.000 .375% .550%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 61
Shareholder Voting Results (Unaudited) (Continued)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
4(l) Fundamental Policy Regarding Investments in "Unseasoned Issuers"
Affirmative 17,077,120.015 65.586% 96.427%
Against 108,416.000 .416% .612%
Abstain 98,212.000 .378% .555%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
4(m) Fundamental Policy Regarding Investments in Options
Affirmative 17,081,588.015 65.603% 96.452%
Against 107,958.000 .415% .609%
Abstain 94,202.000 .362% .533%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 17,039,175.015 65.440% 96.212%
Against 115,971.000 .446% .655%
Abstain 128,602.000 .494% .726%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
4(o) Fundamental Policy Regarding Investments in Illiquid and Restricted Securities
Affirmative 17,075,453.015 65.580% 96.417%
Against 109,598.000 .420% .619%
Abstain 98,697.000 .380% .557%
Broker Non-votes 426,235.000 1.637% 2.407%
TOTAL 17,709,983.015 68.017% 100.000%
INTERMEDIATE-DURATION GOVERNMENT FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 6,579,637.903 60.620% 94.908%
Against 48,562.000 .448% .700%
Abstain 17,925.000 .165% .259%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
4(b) Fundamental Policy Regarding Concentration
Affirmative 6,579,637.903 60.620% 94.908%
Against 48,562.000 .448% .700%
Abstain 17,925.000 .165% .259%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
- --------------------------------------------------------------------------------
62 SEI Daily Income Trust / Annual Report / January 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
4(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 6,574,671.903 60.575% 94.836%
Against 53,528.000 .493% .772%
Abstain 17,925.000 .165% .259%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 6,574,671.903 60.575% 94.836%
Against 53,528.000 .493% .772%
Abstain 17,925.000 .165% .259%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
4(e) Fundamental Policy Regarding Pledging and Mortgaging of Fund Assets
Affirmative 6,574,671.903 60.575% 94.836%
Against 53,528.000 .493% .772%
Abstain 17,925.000 .165% .259%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
4(f) Fundamental Policy Regarding Control of an Issuer
Affirmative 6,576,040.903 60.587% 94.856%
Against 53,470.000 .493% .771%
Abstain 16,614.000 .153% .240%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 6,574,671.903 60.575% 94.836%
Against 53,528.000 .493% .772%
Abstain 17,925.000 .165% .259%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
4(h) Fundamental Policy Regarding Short Sales
Affirmative 6,574,520.903 60.573% 94.834%
Against 53,528.000 .493% .772%
Abstain 18,076.000 .167% .261%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 63
Shareholder Voting Results (Unaudited) (Continued)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
4(i) Fundamental Policy Regarding Underwriting Securities
Affirmative 6,573,607.903 60.565% 94.821%
Against 54,592.000 .503% .787%
Abstain 17,925.000 .165% .259%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
4(j) Fundamental Policy Regarding Investments in Securities of Other Investment Companies
Affirmative 6,574,671.903 60.575% 94.836%
Against 53,528.000 .493% .772%
Abstain 17,925.000 .165% .259%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
4(k) Eliminate Policy Regarding the Investing in Issuers when Securities are Owned by Officers and Trustees
Affirmative 6,565,131.903 60.487% 94.699%
Against 62,376.000 .574% .899%
Abstain 18,617.000 .172% .269%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
4(l) Fundamental Policy Regarding Investments in "Unseasoned Issuers"
Affirmative 6,579,637.903 60.620% 94.908%
Against 48,562.000 .448% .700%
Abstain 17,925.000 .165% .259%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
4(m) Fundamental Policy Regarding Investments in Options
Affirmative 6,574,671.903 60.575% 94.836%
Against 53,528.000 .493% .772%
Abstain 17,925.000 .165% .259%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 6,574,671.903 60.575% 94.836%
Against 53,528.000 .493% .772%
Abstain 17,925.000 .165% .259%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
- --------------------------------------------------------------------------------
64 SEI Daily Income Trust / Annual Report / January 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
4(o) Fundamental Policy Regarding Investments in Illiquid and Restricted Securities
Affirmative 6,574,520.903 60.573% 94.834%
Against 53,528.000 .493% .772%
Abstain 18,076.000 .167% .261%
Broker Non-votes 286,538.000 2.640% 4.133%
TOTAL 6,932,662.903 63.873% 100.000%
GNMA FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 12,523,228.755 67.651% 97.638%
Against 149,002.826 .805% 1.162%
Abstain 65,056.451 .352% .507%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(b) Fundamental Policy Regarding Concentration
Affirmative 12,495,432.755 67.501% 97.421%
Against 146,057.826 .789% 1.139%
Abstain 95,797.451 .518% .747%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 12,494,746.755 67.498% 97.416%
Against 169,533.826 .915% 1.322%
Abstain 73,007.451 .395% .569%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 12,502,769.755 67.541% 97.479%
Against 169,533.826 .916% 1.321%
Abstain 64,984.451 .351% .507%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(e) Fundamental Policy Regarding Pledging and Mortgaging of Fund Assets
Affirmative 12,493,221.755 67.489% 97.404%
Against 169,533.826 .916% 1.322%
Abstain 74,532.451 .403% .581%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 65
Shareholder Voting Results (Unaudited) (Continued)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
4(f) Fundamental Policy Regarding Control of an Issuer
Affirmative 12,499,753.755 67.525% 97.455%
Against 172,477.826 .931% 1.345%
Abstain 65,056.451 .352% .507%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 12,582,337.755 67.971% 98.099%
Against 111,493.826 .602% .869%
Abstain 43,456.451 .235% .339%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(h) Fundamental Policy Regarding Short Sales
Affirmative 12,579,022.755 67.953% 98.073%
Against 98,491.826 .532% .768%
Abstain 59,773.451 .323% .466%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(i) Fundamental Policy Regarding Underwriting Securities
Affirmative 12,579,022.755 67.953% 98.073%
Against 92,231.826 .498% .719%
Abstain 66,033.451 .357% .515%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(j) Fundamental Policy Regarding Investments in Securities of Other Investment Companies
Affirmative 12,569,546.755 67.902% 97.999%
Against 98,491.826 .532% .768%
Abstain 69,249.451 .374% .540%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(k) Eliminate Policy Regarding the Investing in Issuers when Securities are Owned by Officers and Trustees
Affirmative 12,550,577.755 67.799% 97.851%
Against 111,007.826 .600% .866%
Abstain 75,702.451 .409% .590%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
- --------------------------------------------------------------------------------
66 SEI Daily Income Trust / Annual Report / January 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
4(l) Fundamental Policy Regarding Investments in "Unseasoned Issuers"
Affirmative 12,542,134.755 67.754% 97.785%
Against 134,285.826 .725% 1.047%
Abstain 60,867.451 .329% .475%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(m) Fundamental Policy Regarding Investments in Options
Affirmative 12,582,337.755 67.971% 98.099%
Against 111,493.826 .602% .869%
Abstain 43,456.451 .235% .339%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 12,571,007.755 67.910% 98.011%
Against 88,917.826 .480% .693%
Abstain 77,362.451 .418% .603%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(o) Fundamental Policy Regarding Investments in Illiquid and Restricted Securities
Affirmative 12,549,039.755 67.791% 97.839%
Against 112,738.826 .609% .879%
Abstain 75,509.451 .408% .589%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
4(q) Fundamental Policy Requiring that At Least 65% of the GNMA Fund's Assets be Invested In Particular Types of Securities
Affirmative 12,564,775.755 67.876% 97.962%
Against 87,002.826 .470% .678%
Abstain 85,509.451 .462% .667%
Broker Non-votes 88,893.000 .480% .693%
TOTAL 12,826,181.032 69.288% 100.000%
ULTRA SHORT BOND FUND
4(a) Fundamental Policy Regarding Diversification
Affirmative 121,752,392.749 68.565% 97.092%
Against 319,162.161 .180% .254%
Abstain 323,373.392 .182% .258%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 67
Shareholder Voting Results (Unaudited) (Continued)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
4(b) Fundamental Policy Regarding Concentration
Affirmative 118,052,526.235 66.482% 94.141%
Against 3,938,823.161 2.218% 3.141%
Abstain 403,578.906 .227% .322%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
4(c) Fundamental Policies Regarding Borrowing and Senior Securities
Affirmative 117,854,616.920 66.370% 93.984%
Against 4,146,315.118 2.335% 3.306%
Abstain 393,996.264 .222% .315%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
4(d) Fundamental Policy Regarding Lending
Affirmative 117,662,138.290 66.262% 93.830%
Against 4,298,991.553 2.421% 3.428%
Abstain 433,798.459 .244% .346%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
4(e) Fundamental Policy Regarding Pledging and Mortgaging of Fund Assets
Affirmative 117,572,071.962 66.211% 93.758%
Against 4,498,812.948 2.534% 3.588%
Abstain 324,043.392 .182% .258%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
4(f) Fundamental Policy Regarding Control of an Issuer
Affirmative 117,990,608.196 66.447% 94.092%
Against 4,045,740.161 2.278% 3.226%
Abstain 358,579.945 .202% .286%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
4(g) Fundamental Policy Regarding Purchase of Real Estate and Commodities
Affirmative 118,032,304.811 66.470% 94.125%
Against 4,056,315.321 2.285% 3.235%
Abstain 306,308.170 .172% .244%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
- --------------------------------------------------------------------------------
68 SEI Daily Income Trust / Annual Report / January 31, 2005
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
4(h) Fundamental Policy Regarding Short Sales
Affirmative 117,868,676.660 66.378% 93.995%
Against 4,099,262.183 2.309% 3.269%
Abstain 426,989.459 .240% .340%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
4(i) Fundamental Policy Regarding Underwriting Securities
Affirmative 121,443,839.681 68.392% 96.846%
Against 621,191.119 .349% .495%
Abstain 329,897.502 .186% .263%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
4(j) Fundamental Policy Regarding Investments in Securities of Other Investment Companies
Affirmative 117,813,878.553 66.347% 93.951%
Against 4,294,361.676 2.419% 3.425%
Abstain 286,688.073 .161% .228%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
4(k) Eliminate Policy Regarding the Investing in Issuers when Securities are Owned by Officers and Trustees
Affirmative 121,374,172.153 68.352% 96.790%
Against 659,518.093 .372% .526%
Abstain 361,238.056 .203% .288%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
4(l) Fundamental Policy Regarding Investments in "Unseasoned Issuers"
Affirmative 121,477,939.730 68.411% 96.873%
Against 584,987.070 .329% .467%
Abstain 332,001.502 .187% .264%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
4(m) Fundamental Policy Regarding Investments in Options
Affirmative 117,775,662.283 66.326% 93.921%
Against 4,289,368.517 2.415% 3.420%
Abstain 329,897.502 .186% .264%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2005 69
Shareholder Voting Results (Unaudited) (Concluded)
% OF
NUMBER OF OUTSTANDING % OF SHARES
SHARES SHARES PRESENT
----------------- ----------------- -----------------
4(n) Fundamental Policy Regarding Investment in Oil and Gas
Affirmative 117,947,388.727 66.423% 94.058%
Against 4,066,017.395 2.289% 3.242%
Abstain 381,522.180 .215% .305%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
4(o) Fundamental Policy Regarding Investments in Illiquid and Restricted Securities
Affirmative 117,576,225.122 66.214% 93.762%
Against 4,384,904.721 2.469% 3.496%
Abstain 433,798.459 .244% .347%
Broker Non-votes 3,004,180.000 1.692% 2.396%
TOTAL 125,399,108.302 70.619% 100.000%
- --------------------------------------------------------------------------------
70 SEI Daily Income Trust / Annual Report / January 31, 2005
Notes
Notes
Notes
Notes
Notes
Notes
SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2005
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
F. Wendell Gooch
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
OFFICERS
Edward D. Loughlin
PRESIDENT AND CHIEF EXECUTIVE OFFICER
Peter (Pedro) A. Rodriguez
CONTROLLER AND CHIEF FINANCIAL OFFICER
Timothy D. Barto
VICE PRESIDENT, SECRETARY
Sofia A. Rosala
VICE PRESIDENT, ASSISTANT SECRETARY
Philip T. Masterson
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Thomas D. Jones, III
CHIEF COMPLIANCE OFFICER
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
Nicole Alexander
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
SUB-ADVISERS
Banc of America Capital Management, LLC
Wellington Management Company, LLP
ADMINISTRATOR
SEI Investments Fund Management
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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 INVESTMENTS
SEI Investments Distribution Co.
Oaks, PA 19456
1 800-DIAL-SEI (1 800 342 5734)
SEI-F-022 (1/05)
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:
- ----------------- ------------------------------------------------------ -----------------------------------------------------------
2005 2004
- ----------------- ------------------------------------------------------ -----------------------------------------------------------
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 pre- did not require were pre- did not require
approved pre-approval approved pre-approval
- ------ ---------- ------------------------------------------------------ -----------------------------------------------------------
(a) Audit $155,000 N/A $0 $128,000 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 $165,000 $0 $0 $60,000
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 services provided in
connection with the SAS70 report on the hedge fund operations
of the administrator.
(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:
--------------------------------------------------------
2005 2004
--------------------------------------------------------
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 $165,000 and $60,000 for 2005 and
2004, respectively.
(h) Not Applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to open-end management investment companies.
ITEM 6. SCHEDULE OF INVESTMENTS
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end management investment companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable. Effective for closed-end management investment companies for
fiscal years ending on or after December 31, 2005
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable to open-end management investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 11. 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.
ITEMS 12. 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: April 11, 2005
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: April 11, 2005
By (Signature and Title)* /s/ Peter (Pedro) A. Rodriguez
--------------------------------------------
Peter (Pedro) A. Rodriguez, Controller & CFO
Date: April 11, 2005
* Print the name and title of each signing officer under his or her signature.