UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSRS
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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, 2006
DATE OF REPORTING PERIOD: JULY 31, 2005
ITEM 1. REPORTS TO STOCKHOLDERS.
[background graphic omitted]
[SEI INVESTMENTS LOGO OMITTED]
Semi-Annual Report as of July 31, 2005 (Unaudited)
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
TABLE OF CONTENTS
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Statements of Net Assets/Schedule of Investments 1
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Statement of Assets and Liabilities 27
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Statements of Operations 28
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Statements of Changes in Net Assets 30
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Financial Highlights 34
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Notes to Financial Statements 39
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Disclosure of Fund Expenses 44
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Board of Trustees Considerations in Approving the Continuation
of Advisory and Sub-Advisory Agreements 46
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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.
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STATEMENT OF NET ASSETS (Unaudited)
Money Market Fund
July 31, 2005
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[GRAPHIC OMITTED]
plot points follow:
SECTOR WEIGHTINGS*:
29.3% Corporate Bonds
27.2% Certificates of Deposit
22.1% Commercial Paper
6.8% U.S. Government Agency Obligations
6.8% Repurchase Agreement
4.5% Insurance Funding Agreements
3.3% Municipal Bonds
*Percentages based on total investments.
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Face Amount Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
CORPORATE BONDS -- 29.3%
ASSET BACKED - FINANCIAL SERVICES (E) -- 19.6%
Bavaria University Funding (B) (F)
3.310%, 01/06/06 $35,000 $ 34,998
Beta Finance Incorporated
MTN (B) (F)
3.410%, 01/24/06 20,000 19,998
CC USA Incorporated MTN (B) (F)
3.410%, 01/25/06 20,000 19,998
CC USA Incorporated MTN (F)
2.485%, 11/04/05 7,000 7,000
Coradac Associates (B)
3.590%, 03/01/15 33,000 33,000
K2 LLC
3.295%, 03/07/06 10,000 9,999
K2 LLC MTN, Ser 1 (B) (F)
3.348%, 08/15/05 10,000 10,000
Premier Asset Collateralized
Entity LLC MTN (B) (F)
3.348%, 01/17/06 10,000 10,000
Sigma Finance Incorporated
MTN (B) (F)
3.373%, 09/12/05 3,000 3,000
3.200%, 11/14/05 10,000 9,999
3.349%, 12/12/05 15,000 14,999
---------
172,991
---------
ASSET BACKED - OTHER (B) (E) (F) -- 6.3%
Harrier Finance Funding LLC MTN
3.430%, 01/25/06 15,000 15,000
3.348%, 07/17/06 30,000 29,998
Residential Mortgage Securities,
Ser 17A, Cl A1
3.390%, 05/13/27 10,204 10,204
---------
55,202
---------
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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AUTOMOTIVE -- 2.3%
Toyota Motor Credit Corporation
MTN (B)
3.410%, 09/09/05 $20,000 $ 20,002
---------
INVESTMENT BANKER/BROKER DEALER -- 1.1%
Goldman Sachs Group (B)
3.440%, 09/13/07 10,000 10,000
---------
Total Corporate Bonds
(Cost $258,195) ($ Thousands) 258,195
---------
CERTIFICATES OF DEPOSIT -- 27.1%
BB&T Corporation (B)
3.160%, 08/10/05 20,000 20,000
Barclays Bank PLC NY
3.310%, 09/06/05 15,000 15,000
Barclays Bank PLC NY (B)
3.380%, 09/29/05 20,000 19,998
Calyon
3.105%, 11/14/05 10,000 10,000
Canadian Imperial Bank of
Commerce NY
2.800%, 12/16/05 5,000 5,000
2.955%, 12/30/05 10,000 10,000
Credit Suisse First Boston NY
2.750%, 11/14/05 5,000 5,000
Credit Suisse First Boston NY (B)
3.410%, 09/20/05 30,000 30,000
3.500%, 12/29/05 5,000 5,000
Deutsche Bank NY
4.105%, 08/25/06 8,000 8,000
HBOS Treasury Services
3.130%, 09/09/05 10,000 10,000
3.290%, 03/15/06 5,000 5,000
Landesbank Hessen-Thueringen GZ
3.250%, 02/17/06 10,000 10,000
Standard Federal Bank
4.140%, 07/24/06 15,000 15,000
Suntrust Bank
3.330%, 10/12/05 16,500 16,500
Toronto Dominion Bank
2.350%, 09/08/05 10,000 10,000
Tulip Funding (A)
3.287%, 09/01/05 25,000 24,930
Unicredito Italiano
3.445%, 11/14/05 20,000 20,000
---------
Total Certificates of Deposit
(Cost $239,428) ($ Thousands) 239,428
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SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 1
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STATEMENT OF NET ASSETS (Unaudited)
Money Market Fund (Concluded)
July 31, 2005
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Face Amount Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
COMMERCIAL PAPER (A) -- 22.0%
ASSET BACKED - FINANCIAL SERVICES (E) -- 17.5%
Amstel Funding Corporation
3.287%, 09/07/05 $35,000 $ 34,883
Crown Point Capital (F)
3.381%, 11/08/05 6,000 5,945
Eiffel Funding LLC (F)
3.399%, 09/22/05 34,000 33,835
Grampian Funding LLC (F)
3.748%, 01/06/06 25,000 24,596
Lake Constance Funding LLC
3.217%, 08/24/05 23,000 22,953
Picaros Funding LLC (F)
3.319%, 11/22/05 7,500 7,424
Silver Tower US Funding
3.399%, 09/20/05 25,000 24,883
---------
154,519
---------
ASSET BACKED - OTHER -- 1.7%
FCAR Owner Trust I
3.232%, 09/15/05 15,000 14,940
---------
FINANCIAL SERVICES -- 2.8%
Dresdner US Finance Incorporated
3.237%, 08/09/05 25,000 24,982
---------
Total Commercial Paper
(Cost $194,441) ($ Thousands) 194,441
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.8%
FHLB (B)
3.245%, 09/08/05 25,000 24,999
3.255%, 10/03/05 10,000 9,999
FHLMC (B)
3.335%, 09/09/05 15,000 15,000
FNMA (B)
3.250%, 12/09/05 10,000 9,998
---------
Total U.S. Government Agency Obligations
(Cost $59,996) ($ Thousands) 59,996
---------
INSURANCE FUNDING AGREEMENTS (B) (C) -- 4.5%
Metropolitan Life Insurance Company
3.290%, 05/01/06 30,000 30,000
Monumental Life Insurance Company
3.490%, 05/31/06 9,500 9,500
---------
Total Insurance Funding Agreements
(Cost $39,500) ($ Thousands) 39,500
---------
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Face Amount Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
MUNICIPAL BONDS -- 3.3%
COLORADO -- 1.4%
Denver City, City & County School
District, Ser B, COP (B)
3.330%, 12/15/18 $12,400 $ 12,400
---------
GEORGIA -- 0.4%
Athens-Clarke County, Industrial
Development Authority, Allen
Properties RB (B) (E)
3.380%, 12/01/24 3,700 3,700
---------
TEXAS -- 1.5%
Harris County, Sports Authority,
NFL Project, Ser E, RB, MBIA (B)
3.370%, 11/15/30 3,000 3,000
Texas State, Small Business
Project, Ser B, GO
3.350%, 06/01/45 10,000 10,000
---------
Total Texas
(Cost $13,000) ($ Thousands) 13,000
---------
Total Municipal Bonds
(Cost $29,100) ($ Thousands) 29,100
---------
REPURCHASE AGREEMENT (D) -- 6.8%
Deutsche Bank
3.300%, dated 07/29/05,
to be repurchased on 08/01/05,
repurchase price $59,595,384
(collateralized by various
U.S. Government obligations,
ranging in par value $3,175,000-
$25,460,000, 0.000%-6.000%,
09/20/05-12/23/11; with total
market value $60,771,427) 59,579 59,579
---------
Total Repurchase Agreement
(Cost $59,579) ($ Thousands) 59,579
---------
Total Investments -- 99.8%
(Cost $880,239) ($ Thousands) 880,239
---------
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2 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
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Value
Description ($ Thousands)
- -----------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- 0.2%
Income Distributions Payable $ (1,345)
Shareholder Servicing Fees Payable (160)
Administrative Fees Payable (109)
Payable for Fund Shares Redeemed (80)
Investment Advisory Fees Payable (19)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net 3,082
---------
Total Other Assets and Liabilities 1,368
---------
Net Assets -- 100.0% $881,607
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $881,622
Distributions in excess of net investment income (4)
Accumulated net realized loss on investments (11)
---------
Net Assets $881,607
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($513,938,648 / 513,958,460 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($104,791,085 / 104,783,038 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($179,903,970 / 179,917,485 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($82,973,685 / 82,972,993 shares) $1.00
=========
(A) The rate reported is the effective rate at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on July 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 July 31, 2005, the value of these securities amounted to
approximately $39,500,000 representing 4.5% of the net assets of the Fund.
(D) Tri-Party Repurchase Agreement
(E) Securities are held in connection with a letter of credit issued by a major
bank.
(F) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors."
Cl -- Class
COP -- Certificate of Participation
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GO -- General Obligation
LLC -- Limited Liability Company
MBIA -- Municipal Bond Insurance Assurance
MTN -- Medium Term Note
NY -- New York
PLC -- Public Liability Company
RB -- Revenue Bond
Ser -- Series
The accompanying notes are an integral part of the financial statements.
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SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 3
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STATEMENT OF NET ASSETS (Unaudited)
Government Fund
July 31, 2005
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[GRAPHIC OMITTED]
plot points follow:
SECTOR WEIGHTINGS*:
92.1% U.S. Government Agency Obligations
7.9% Repurchase Agreement
*Percentages based on total investments.
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Face Amount Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 92.1%
FFCB
2.500%, 11/15/05 $10,000 $ 9,991
FFCB (B)
3.298%, 10/18/05 20,000 19,998
3.421%, 06/28/06 30,000 29,997
FHLB
1.590%, 08/12/05 8,000 7,999
2.250%, 08/30/05 7,000 6,999
3.651%, 09/07/05 50,000 49,832
3.590%, 09/14/05 50,000 49,800
2.125%, 09/20/05 8,000 7,995
5.125%, 03/06/06 2,000 2,017
2.500%, 04/11/06 10,000 9,923
4.000%, 08/11/06 12,000 12,000
FHLB (A)
2.080%, 08/19/05 151,500 151,252
FHLB (B)
3.265%, 09/12/05 20,000 19,999
3.309%, 09/16/05 35,000 34,998
3.115%, 05/10/06 10,000 9,996
3.270%, 06/13/06 15,000 14,990
3.360%, 12/29/06 25,000 24,983
FHLMC
1.750%, 01/09/06 5,000 4,976
3.700%, 06/30/06 7,162 7,157
FNMA
3.179%, 05/22/06 40,000 39,990
FNMA (A)
3.244%, 08/25/05 12,850 12,822
2.790%, 11/10/05 10,000 9,924
FNMA (B)
3.250%, 12/09/05 14,000 13,997
---------
Total U.S. Government Agency Obligations
(Cost $551,635) ($ Thousands) 551,635
---------
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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REPURCHASE AGREEMENT (C) -- 7.9%
Deutsche Bank
3.300%, dated 07/29/05,
to be repurchased on 08/01/05,
repurchase price $47,274,997
(collateralized by various
U.S. Government obligations,
ranging in par value $3,556,000-
$24,880,000, 2.500%-3.400%,
02/09/06-11/30/09; with total
market value $48,208,108) $47,262 $ 47,262
---------
Total Repurchase Agreement
(Cost $47,262) ($ Thousands) 47,262
---------
Total Investments -- 100.0%
(Cost $598,897) ($ Thousands) 598,897
---------
OTHER ASSETS AND LIABILITIES -- 0.0%
Income Distribution Payable (1,001)
Shareholder Servicing Fees Payable (107)
Administrative Fees Payable (82)
Investment Advisory Fees Payable (12)
Trustees' Fees Payable (2)
Other Assets and Liabilities, Net 1,126
---------
Total Other Assets and Liabilities (78)
---------
Net Assets -- 100.0% $598,819
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $598,892
Accumulated net realized loss on investments (73)
---------
Net Assets $598,819
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($317,794,538 / 317,825,607 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($143,193,056 / 143,210,396 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($111,594,487 / 111,615,113 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($26,237,156 / 26,241,036 shares) $1.00
=========
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on July 31, 2005. The date shown is the earlier of
the reset date or the demand date.
(C) Tri-Party Repurchase Agreement.
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
The accompanying notes are an integral part of the financial statements.
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4 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
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Government II Fund
July 31, 2005
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[GRAPHIC OMITTED]
plot points follow:
SECTOR WEIGHTINGS*:
100% U.S. Government Agency Obligations
*Percentages based on total investments.
- -----------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 100.1%
FFCB
2.500%, 11/15/05 $ 10,000 $ 9,991
FFCB (B)
3.298%, 10/18/05 30,000 29,997
FHLB
1.590%, 08/12/05 10,000 9,999
3.250%, 08/15/05 1,840 1,840
2.250%, 08/30/05 7,000 6,999
2.125%, 09/20/05 8,000 7,995
6.500%, 11/15/05 7,000 7,073
5.125%, 03/06/06 2,000 2,017
2.500%, 04/11/06 10,000 9,923
4.000%, 08/11/06 2,000 2,000
FHLB (A)
3.100%, 08/01/05 25,112 25,112
3.226%, 08/12/05 88,505 88,418
3.651%, 09/07/05 50,000 49,832
3.298%, 09/09/05 183,000 182,350
3.590%, 09/14/05 151,102 150,493
FHLB (B)
3.174%, 08/26/05 15,000 14,999
3.265%, 09/12/05 30,000 29,998
3.309%, 09/16/05 35,000 34,998
3.363%, 03/28/06 20,000 19,993
3.115%, 05/10/06 10,000 9,996
3.270%, 06/13/06 15,000 14,990
3.360%, 12/29/06 25,000 24,983
---------
Total U.S. Government Agency Obligations
(Cost $733,996) ($ Thousands) 733,996
---------
Total Investments -- 100.1%
(Cost $733,996) ($ Thousands) 733,996
---------
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Value
Description ($ Thousands)
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OTHER ASSETS AND LIABILITIES -- (0.1)%
Income Distributions Payable $ (1,545)
Administrative Fees Payable (96)
Shareholder Servicing Fees Payable (47)
Investment Advisory Fees Payable (14)
Trustees' Fees Payable (1)
Other Assets and Liabilities, Net 1,060
---------
Total Other Assets and Liabilities (643)
---------
Net Assets -- 100.0% $733,353
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $733,401
Accumulated net realized loss on investments (48)
---------
Net Assets $733,353
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($568,115,382 / 568,238,954 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($150,908,415 / 150,901,999 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($14,328,784 / 14,320,746 shares) $1.00
=========
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on July 31, 2005. The date shown is the earlier of
the reset date or the demand date.
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
The accompanying notes are an integral part of the financial statements.
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SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 5
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STATEMENT OF NET ASSETS (Unaudited)
Prime Obligation Fund
July 31, 2005
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[GRAPHIC OMITTED]
plot points follow:
SECTOR WEIGHTINGS*:
32.0% Commercial Paper
25.1% Corporate Bonds
18.1% U.S. Government Agency Obligations
10.1% Certificates of Deposit
9.0% Insurance Funding Agreements
5.7% Repurchase Agreement
*Percentages based on total investments.
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Face Amount Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
COMMERCIAL PAPER (A) -- 32.0%
ASSET BACKED - FINANCIAL SERVICES (E) -- 24.1%
Amstel Funding Corporation
3.236%, 08/24/05 $ 44,500 $ 44,409
3.287%, 09/07/05 75,000 74,749
Crown Point Capital
3.382%, 11/08/05 30,000 29,726
FCAR Owner Trust I
3.142%, 11/08/05 50,000 49,578
Fairway Finance Corporation
3.348%, 09/14/05 46,179 45,991
Galaxy Funding
3.236%, 08/23/05 118,200 117,968
General Electric Capital Services
3.100%, 11/08/05 50,000 49,583
3.225%, 11/16/05 113,500 112,437
Govco Incorporated
3.206%, 08/22/05 25,000 24,954
Silver Tower US Funding
3.388%, 09/19/05 75,000 74,657
3.399%, 09/20/05 75,000 74,649
Surrey Funding
3.236%, 08/25/05 48,000 47,897
3.307%, 09/06/05 34,300 34,187
3.409%, 09/22/05 100,000 99,512
-----------
880,297
-----------
INVESTMENT BANKER/BROKER DEALER -- 7.9%
Crown Point Capital
3.439%, 11/16/05 117,000 115,825
Lehman Brothers Holdings
3.099%, 11/04/05 70,000 69,440
3.398%, 01/17/06 102,500 102,500
-----------
287,765
-----------
Total Commercial Paper
(Cost $1,168,062) ($ Thousands) 1,168,062
-----------
- -----------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
CORPORATE BONDS -- 25.0%
ASSET BACKED - FINANCIAL SERVICES (E) (F) -- 16.1%
Bavaria University Funding
3.310%, 01/06/06 $150,000 $ 149,994
Beta Finance Incorporated
MTN (B)
3.410%, 01/24/06 50,000 49,995
CC USA Incorporated MTN
2.485%, 11/04/05 25,000 24,998
K2 (USA) LLC MTN (B)
3.410%, 01/25/06 37,000 36,996
Sigma Finance Incorporated
MTN (B)
3.373%, 09/12/05 30,000 30,000
3.200%, 11/14/05 10,000 9,999
3.349%, 12/12/05 20,000 19,999
3.578%, 01/17/06 100,000 99,985
Tango Finance Corporation
MTN (B)
3.343%, 01/10/06 50,000 49,998
White Pine Finance LLC
MTN (B)
3.290%, 08/09/05 10,000 10,000
3.320%, 09/12/05 40,000 39,999
White Pine Finance LLC
MTN, Ser 1 (B)
3.430%, 10/25/05 65,000 64,996
-----------
586,959
-----------
ASSET BACKED - OTHER (B) (E) (F) -- 6.6%
Harrier Finance Funding LLC MTN
3.430%, 01/25/06 52,500 52,500
Premier Asset Collateralized Entity
LLC MTN
3.348%, 01/17/06 25,000 25,000
Sedna Financial Incorporated MTN
3.420%, 01/25/06 88,000 87,996
Whistlejacket Capital LLC MTN
3.295%, 02/06/06 75,000 74,994
-----------
240,490
-----------
BANKS -- 0.5%
American Express Bank (B)
3.368%, 04/18/06 9,500 9,500
Banc One
6.500%, 02/01/06 10,650 10,875
-----------
20,375
-----------
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6 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
- -----------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
INVESTMENT BANKER/BROKER DEALER -- 1.8%
Citicorp
7.125%, 09/01/05 $ 10,000 $ 10,036
Citigroup
6.750%, 12/01/05 35,000 35,411
Goldman Sachs Group
3.440%, 09/13/07 20,000 20,000
-----------
65,447
-----------
Total Corporate Bonds
(Cost $913,271) ($ Thousands) 913,271
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 18.1%
FHLB (B)
3.245%, 09/08/05 100,000 99,994
3.255%, 10/03/05 125,000 124,992
3.238%, 10/03/05 50,000 49,996
FHLMC (B)
3.335%, 09/09/05 50,000 50,000
FNMA (B)
3.220%, 09/06/05
to 09/08/05 175,000 174,990
3.386%, 10/03/05 100,000 99,989
3.250%, 12/09/05 60,000 59,987
-----------
Total U.S. Government Agency Obligations
(Cost $659,948) ($ Thousands) 659,948
-----------
CERTIFICATES OF DEPOSIT -- 10.1%
BB&T Corporation
3.160%, 08/10/05 10,000 10,000
Lasalle National Bank
4.070%, 07/26/06 38,250 38,250
Regions Bank
3.090%, 11/08/05 170,000 170,000
Standard Federal Bank
4.140%, 07/24/06 65,500 65,500
Suntrust Bank
3.330%, 10/12/05 83,000 83,000
-----------
Total Certificates of Deposit
(Cost $366,750) ($ Thousands) 366,750
-----------
- -----------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
INSURANCE FUNDING AGREEMENTS (B) (C) -- 9.0%
Metropolitan Life Insurance Company
3.290%, 05/01/06 $160,000 $ 160,000
Monumental Life Insurance Company
3.490%, 06/01/06 101,500 101,500
Travelers Insurance Corporation
3.410%, 05/31/06 68,000 68,000
-----------
Total Insurance Funding Agreements
(Cost $329,500) ($ Thousands) 329,500
-----------
REPURCHASE AGREEMENT (D) -- 5.7%
Deutsche Bank
3.300%, dated 07/29/05,
to be repurchased on 08/01/05,
repurchase price $207,375,012
(collateralized by various
U.S. Government obligations,
ranging in par value $2,400,000-
$40,000,000, 0.000%-6.250%,
01/09/06-05/15/29; with total
market value $211,465,043) 207,318 207,318
-----------
Total Repurchase Agreement
(Cost $207,318) ($ Thousands) 207,318
-----------
Total Investments -- 99.9%
(Cost $3,644,849) ($ Thousands) 3,644,849
-----------
OTHER ASSETS AND LIABILITIES -- 0.1%
Income Distributions Payable (7,698)
Shareholder Servicing Fees Payable (525)
Administrative Fees Payable (515)
Investment Advisory Fees Payable (79)
Trustees' Fees Payable (3)
Other Assets and Liabilities, Net 10,876
Total Other Assets and Liabilities 2,056
-----------
Net Assets -- 100.0% $3,646,905
===========
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 7
================================================================================
STATEMENT OF NET ASSETS (Unaudited)
Prime Obligation Fund (Concluded)
July 31, 2005
- -----------------------------------------------------------------
Value
Description ($ Thousands)
- -----------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $3,647,019
Distributions in excess of net investment income (10)
Accumulated net realized loss on investments (104)
-----------
Net Assets $3,646,905
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($2,263,328,983 / 2,263,510,007 shares) $1.00
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($531,897,049 / 531,885,764 shares) $1.00
===========
Net Asset Value, Offering and Redemption
Price Per Share --- Class C
($773,606,403 / 773,553,940 shares) $1.00
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Class H
($34,652,958 / 34,654,407 shares) $1.00
===========
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($43,419,572 / 43,416,085 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 July 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 July 31, 2005, the value of these securities amounted to
approximately $329,500,000 representing 9.0% of the net assets of the Fund.
(D) Tri-Party Repuchase Agreement.
(E) Securities are held in connection with a letter of credit issued by a major
bank.
(F) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors."
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
LLC -- Limited Liability Company
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
8 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
SCHEDULE OF INVESTMENTS (Unaudited)
Treasury Fund
July 31, 2005
- ------------------------------------------------------------
SECTOR WEIGHTINGS*:
92.6% Repurchase Agreements
7.4% U.S. Treasury Obligations
*Percentages based on total investments.
- -----------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 6.7%
U.S. Treasury Notes
1.625%, 10/31/05 $ 15,000 $ 14,945
5.750%, 11/15/05 21,000 21,168
1.875%, 11/30/05 10,000 9,974
---------
Total U.S. Treasury Obligations
(Cost $46,087) ($ Thousands) 46,087
---------
REPURCHASE AGREEMENTS (A) -- 84.5%
Barclays
3.250%, dated 07/29/05,
to be repurchased on 08/01/05,
repurchase price $138,849,595
(collateralized by various
U.S. Treasury Notes, ranging
in par value $2,647,000-
$26,458,000, 1.875%-6.500%,
12/31/05-05/15/09; with total
market value $141,591,659) 138,812 138,812
JPMorgan Chase
3.280%, dated 07/29/05,
to be repurchased on 08/01/05,
repurchase price $146,540,043
(collateralized by various U.S.
Treasury obligations, ranging
in par value $37,480,000-
$52,702,000, 2.500%-5.375%,
10/31/06-02/15/31; with total
market value $149,431,210) 146,500 146,500
Morgan Stanley
3.250%, dated 07/29/05,
to be repurchased on 08/01/05,
repurchase price $146,539,677
(collateralized by various U.S.
Treasury Bills, ranging in par
value $86,000-$141,785,000,
0.000%, 11/15/24-05/15/30;
with total market value
$149,430,323) 146,500 146,500
- -----------------------------------------------------------------
Value
Description ($ Thousands)
- -----------------------------------------------------------------
Paribas
3.280%, dated 07/29/05,
to be repurchased on 08/01/05,
repurchase price $146,540,043
(collateralized by U.S. Treasury
Bills, par value $122,466,000,
3.500%, 01/15/11; with total
market value $149,430,137) $146,500 $146,500
---------
Total Repurchase Agreements
(Cost $578,312) ($ Thousands) 578,312
---------
Total Investments -- 91.2%
(Cost $624,399) ($ Thousands) $624,399
=========
Percentages are based on net assets of $684,735 ($Thousands).
(A) Tri-Party Repurchase Agreement.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 9
================================================================================
STATEMENT OF NET ASSETS (Unaudited)
Treasury II Fund
July 31, 2005
- -----------------------------------------------------------------
[GRAPHIC OMITTED]
plot points follow:
SECTOR WEIGHTINGS*:
100% U.S. Treasury Obligations
*Percentages based on total investments.
- -----------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 99.6%
U.S. Treasury Bills (A)
2.923%, 08/04/05 $ 8,611 $ 8,609
2.868%, 08/11/05 76,328 76,267
U.S. Treasury Notes
2.000%, 08/31/05 199,500 199,306
1.625%, 10/31/05 8,000 7,971
5.750%, 11/15/05 14,000 14,114
---------
Total U.S. Treasury Obligations
(Cost $306,267) ($ Thousands) 306,267
---------
Total Investments -- 99.6%
(Cost $306,267) ($ Thousands) 306,267
---------
OTHER ASSETS AND LIABILITIES -- 0.4%
Income Distributions Payable (608)
Administrative Fees Payable (53)
Shareholder Servicing Fees Payable (28)
Investment Advisory Fees Payable (6)
Other Assets and Liabilities, Net 1,839
---------
Total Other Assets and Liabilities 1,144
---------
Net Assets -- 100.0% $307,411
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $307,676
Undistributed net investment income 1
Accumulated net realized loss on investments (266)
---------
Net Assets $307,411
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($203,905,663 / 204,152,702 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($80,255,281 / 80,267,746 shares) $1.00
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($23,249,578 / 23,255,360 shares) $1.00
=========
(A) The rate reported is the effective yield at time of purchase.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
10 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
Short-Duration Government Fund
July 31, 2005
- -----------------------------------------------------------------
[GRAPHIC OMITTED]
plot points follow:
SECTOR WEIGHTINGS*:
49.6% U.S. Govt. Mortgage-Backed Obligations
34.0% U.S. Government Agency Obligations
14.4% U.S. Treasury Obligations
2.0% Repurchase Agreement
*Percentages based on total investments.
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 49.3%
FHLMC
6.500%, 10/01/07 $ 1 $ 1
5.500%, 07/01/16 to 08/01/19 5,727 5,843
4.500%, 09/15/24 4,646 4,635
FHLMC (A)
5.468%, 06/01/24 156 160
5.278%, 06/01/24 283 292
5.249%, 06/01/17 63 64
5.132%, 07/01/20 6 6
4.875%, 05/01/18 3 3
4.824%, 07/01/24 112 115
4.750%, 01/01/18 to 02/01/18 88 90
4.730%, 04/01/19 110 113
4.670%, 09/01/25 394 402
4.625%, 06/01/16 17 17
4.623%, 04/01/29 328 334
4.610%, 12/01/23 7,167 7,317
4.580%, 05/01/24 152 156
4.509%, 02/01/19 114 116
4.493%, 04/01/22 469 474
4.468%, 12/01/23 516 528
4.452%, 05/01/19 86 88
4.376%, 04/01/29 165 168
4.375%, 04/01/16 to 09/01/20 70 71
4.373%, 03/01/19 54 56
4.357%, 03/01/19 88 90
4.250%, 02/01/16 to 11/01/20 40 40
4.125%, 08/01/18 to 11/01/18 45 46
4.000%, 01/01/17 to 09/01/18 65 66
3.949%, 02/01/27 455 462
3.875%, 07/01/18 39 40
3.750%, 12/01/16 to 07/01/18 66 67
3.500%, 02/01/16 to 10/01/16 31 31
3.375%, 07/01/16 30 31
3.125%, 06/01/18 18 18
FHLMC REMIC, Ser 1034, Cl F
8.500%, 01/15/06 39 39
FHLMC REMIC, Ser 2061, Cl TA
5.250%, 10/15/27 440 440
FHLMC REMIC, Ser 2481, Cl BC
5.250%, 08/15/30 221 221
FHLMC REMIC, Ser 2498, Cl DW
4.800%, 02/15/29 44 44
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
FHLMC REMIC, Ser 2617, Cl UN
4.500%, 08/15/12 $ 3,223 $ 3,227
FHLMC REMIC, Ser 2630, Cl KN
2.500%, 04/15/13 2,500 2,417
FHLMC REMIC, Ser 2684, Cl GN
3.250%, 05/15/23 2,244 2,211
FHLMC REMIC, Ser 2684, Cl QM
3.500%, 03/15/19 3,117 3,098
FHLMC REMIC, Ser 2689, Cl PY
4.000%, 02/15/10 3,001 2,999
FHLMC REMIC, Ser 2691, Cl OK
3.500%, 05/15/17 1,410 1,401
FHLMC REMIC, Ser 2693, Cl QM
3.500%, 03/15/14 425 424
FHLMC REMIC, Ser 2727, Cl PA
4.125%, 08/15/18 2,357 2,350
FHLMC REMIC, Ser 2750, Cl NA
3.500%, 03/15/15 3,800 3,776
FHLMC REMIC, Ser 2750, Cl OA
3.500%, 10/15/11 2,759 2,747
FHLMC REMIC, Ser 2760, Cl LJ
4.000%, 01/15/33 1,366 1,364
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 2,768 2,734
FHLMC REMIC, Ser 2760, Cl PK
4.500%, 10/15/21 3,460 3,463
FHLMC REMIC, Ser T-42, Cl A5
7.500%, 02/25/42 1,960 2,074
FHLMC TBA
5.500%, 08/15/18 3,529 3,598
FNMA
6.610%, 04/01/09 160 169
6.490%, 08/01/08 549 572
6.330%, 04/01/09 463 484
6.270%, 11/01/07 875 898
6.250%, 07/01/08 1,364 1,412
6.222%, 12/01/08 3,473 3,606
6.210%, 08/01/08 1,297 1,342
6.080%, 09/01/08 910 940
5.016%, 02/01/13 97 98
4.667%, 04/01/13 242 241
4.500%, 07/01/19 to 03/01/20 668 657
FNMA (A)
4.968%, 04/25/24 41 42
4.857%, 08/01/29 3,043 3,161
4.800%, 09/01/24 2,464 2,539
4.628%, 12/01/29 891 904
4.597%, 08/01/27 1,102 1,126
4.396%, 05/01/28 3,180 3,246
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23 188 191
FNMA REMIC, Ser 1995-13, Cl C
6.500%, 10/25/08 262 267
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 11
================================================================================
STATEMENT OF NET ASSETS (Unaudited)
Short-Duration Government Fund (Concluded)
July 31, 2005
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
FNMA REMIC, Ser 2001-53, Cl CA
5.750%, 06/25/31 $ 474 $ 475
FNMA REMIC, Ser 2001-8, Cl FJ (A)
3.608%, 03/18/31 3,147 3,150
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17 2,000 2,054
FNMA REMIC, Ser 2002-34, Cl FE (A)
3.808%, 05/18/32 613 616
FNMA REMIC, Ser 2002-53, Cl FK (A)
3.860%, 04/25/32 877 879
FNMA REMIC, Ser 2002-63, Cl QF (A)
3.760%, 04/25/29 1,497 1,503
FNMA REMIC, Ser 2003-57, Cl KL
3.500%, 03/25/09 1,006 1,003
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/33 2,296 2,165
FNMA REMIC, Ser G92-61, Cl FA (A)
4.118%, 10/25/22 435 440
FNMA REMIC, Ser G93-5, Cl Z
6.500%, 02/25/23 82 84
GNMA
7.500%, 01/15/11 to 02/15/26 712 763
6.500%, 06/15/16 to 09/15/17 3,033 3,171
6.000%, 06/15/16 to 09/15/19 1,534 1,591
GNMA REMIC, Ser 2002-24, Cl FA (A)
3.908%, 04/16/32 741 746
---------
Total U.S. Government Mortgage-Backed Obligations
(Cost $102,288) ($ Thousands) 101,102
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 33.9%
FHLB
3.500%, 05/15/07 21,500 21,217
3.375%, 09/14/07 1,400 1,376
2.125%, 05/15/06 2,000 1,970
FHLMC
5.750%, 04/15/08 17,000 17,644
4.875%, 03/15/07 17,000 17,194
3.500%, 09/15/07 2,400 2,369
FNMA
3.000%, 08/15/07 5,300 5,176
2.500%, 06/15/06 2,500 2,467
---------
Total U.S. Government Agency Obligations
(Cost $70,141) ($ Thousands) 69,413
---------
U.S. TREASURY OBLIGATIONS -- 14.3%
U.S. Treasury Notes
3.000%, 11/15/07 30,000 29,337
---------
Total U.S. Treasury Obligations
(Cost $29,965) ($ Thousands) 29,337
---------
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
REPURCHASE AGREEMENT (B) -- 1.9%
UBS Securities LLC
3.310%, dated 07/29/05,
to be repurchased on 08/01/05,
repurchase price $4,001,103
(collateralized by a U.S.
Government obligation,
par value $4,060,000,
3.875%, 05/15/07, with total
market value $4,083,349) $ 4,000 $ 4,000
---------
Total Repurchase Agreement
(Cost $4,000) ($ Thousands) 4,000
---------
Total Investments -- 99.4%
(Cost $206,394) ($ Thousands) 203,852
---------
OTHER ASSETS AND LIABILITIES -- 0.6%
Payable for Investment Securities Purchased (3,606)
Payable for Fund Shares Redeemed (790)
Income Distributions Payable (124)
Administration Fees Payable (56)
Investment Advisory Fees Payable (14)
Other Assets and Liabilities, Net 5,902
---------
Total Other Assets and Liabilities 1,312
---------
Net Assets -- 100.0% $205,164
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) 211,138
Distributions in excess of net investment income (6)
Accumulated net realized loss on investments (3,426)
Net unrealized depreciation on investments (2,542)
---------
Net Assets $205,164
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($205,163,931 / 20,348,063 shares) $10.08
=========
(A) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on July 31, 2005. The date shown is the earlier of
the reset date or the demand date.
(B) Tri-Party Repurchase Agreement
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
LLC -- Limited Liability Company
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
TBA -- To Be Announced
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
Intermediate-Duration Government Fund
July 31, 2005
- ------------------------------------------------------------
[GRAPHIC OMITTED]
plot points follow:
SECTOR WEIGHTINGS*:
32.8% U.S. Government Mortgage-Backed Obligations
31.4% U.S. Treasury Obligations
29.4% U.S. Government Agency Obligations
6.4% Repurchase Agreement
*Percentages based on total investments.
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 33.7%
FHLMC
8.250%, 12/01/07 to 12/01/09 $ 44 $ 47
6.500%, 08/01/14 124 128
6.000%, 04/01/12 to 09/01/24 3,964 4,077
5.500%, 11/01/18 to 09/01/19 552 563
FHLMC REMIC, Ser 1033, Cl G
8.000%, 01/15/06 1 1
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 894 907
FHLMC REMIC, Ser 165, Cl K
6.500%, 09/15/21 39 38
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 1,199 1,185
FHLMC TBA
6.000%, 08/15/18 2,795 2,884
5.500%, 08/15/18 420 428
FNMA
9.500%, 05/01/18 81 89
8.000%, 05/01/08 to 06/01/08 49 50
7.500%, 03/01/07 10 10
7.040%, 03/01/07 119 122
6.984%, 08/01/07 520 539
6.962%, 06/01/07 12 12
6.950%, 10/01/06 1,560 1,584
6.811%, 10/01/07 31 32
6.620%, 01/01/08 195 202
6.500%, 12/01/31 to 03/01/35 1,669 1,729
6.460%, 06/01/09 558 587
6.265%, 06/01/08 228 235
6.080%, 09/01/08 910 940
6.075%, 12/01/11 944 1,006
6.000%, 07/01/12 to 02/01/18 2,397 2,479
5.913%, 02/01/12 953 1,009
5.626%, 12/01/11 1,815 1,895
5.500%, 01/01/17 63 65
4.829%, 04/01/13 6,775 6,815
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16 1,021 1,050
FNMA REMIC, Ser 2004-27, Cl HN
4.000%, 05/25/16 700 690
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
FNMA TBA
6.500%, 08/14/32 $ 59 $ 61
6.000%, 08/18/18 767 792
GNMA
8.750%, 05/20/17 to 11/20/17 46 50
8.500%, 05/20/16 to 02/20/18 164 177
8.250%, 04/15/06 to 07/15/08 58 62
6.000%, 04/15/09 to 09/15/24 1,534 1,581
---------
Total U.S. Government Mortgage-Backed Obligations
(Cost $34,580) ($ Thousands) 34,121
---------
U.S. TREASURY OBLIGATIONS -- 32.3%
U.S. Treasury Bonds
12.000%, 08/15/13 6,000 7,340
10.375%, 11/15/12 (A) 4,700 5,342
U.S. Treasury Notes
6.500%, 02/15/10 6,650 7,289
5.000%, 02/15/11 1,000 1,042
4.000%, 03/15/10 5,500 5,465
3.500%, 12/15/09 2,800 2,729
2.000%, 01/15/14 3,472 3,512
---------
Total U.S. Treasury Obligations
(Cost $33,168) ($ Thousands) 32,719
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 30.3%
FHLMC
6.000%, 06/15/11 11,500 12,433
3.625%, 09/15/08 15,000 14,715
FNMA
7.250%, 01/15/10 3,100 3,454
---------
Total U.S. Government Agency Obligations
(Cost $31,038) ($ Thousands) 30,602
---------
REPURCHASE AGREEMENT (B) -- 6.6%
UBS Securities LLC
3.310%, dated 07/29/05,
to be repurchased on 08/01/05,
repurchase price $6,701,848
(collateralized by a U.S. Government
obligation, par value $6,795,000,
3.875%, 05/15/07, with total
market value $6,834,078) 6,700 6,700
---------
Total Repurchase Agreement
(Cost $6,700) ($ Thousands) 6,700
---------
Total Investments -- 102.9%
(Cost $105,486) ($ Thousands) 104,142
---------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 13
================================================================================
STATEMENT OF NET ASSETS (Unaudited)
Intermediate-Duration Government Fund (Concluded)
July 31, 2005
- -----------------------------------------------------------------
Value
Description ($ Thousands)
- -----------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (2.9)%
Payable for Investment Securities Purchased $ (4,170)
Payable for Fund Shares Redeemed (323)
Income Distributions Payable (216)
Administration Fees Payable (30)
Investment Advisory Fees Payable (9)
Shareholder Servicing Fees Payable (1)
Other Assets and Liabilities, Net 1,794
---------
Total Other Assets and Liabilities (2,955)
---------
Net Assets -- 100.0% $101,187
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $103,289
Undistributed net investment income 19
Accumulated net realized loss on investments (736)
Net unrealized depreciation on investments (1,344)
Net unrealized depreciation on futures contracts (41)
---------
Net Assets $101,187
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($101,186,853 / 9,792,562 shares) $10.33
=========
A summary of the open Long futures contracts held by the Fund at
July 31, 2005, is as follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------
CONTRACT UNREALIZED
TYPE OF NUMBER OF VALUE EXPIRATION DEPRECIATION
CONTRACT CONTRACTS ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------
U.S. 5 Year Note 20 $2,144 09/23/05 ($41)
-----
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) Tri-Party Repurchase Agreement
Cl -- Class
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
LLC -- Limited Liability Company
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
TBA -- To Be Announced
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
14 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
GNMA Fund
July 31, 2005
- -----------------------------------------------------------------
[GRAPHIC OMITTED]
plot points follow:
SECTOR WEIGHTINGS*:
96.9% U.S. Govt. Mortgage-Backed Obligations
2.1% Repurchase Agreement
1.0% U.S. Treasury Obligation
*Percentages based on total investments.
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 97.4%
FHLMC
6.500%, 02/01/13 to 02/01/18 $ 1,081 $ 1,121
FNMA
8.000%, 09/01/14 to 09/01/28 393 426
7.000%, 08/01/29 to 10/01/34 1,356 1,427
6.500%, 07/01/32 to 01/01/34 1,787 1,850
5.930%, 12/01/08 645 666
5.890%, 10/01/11 1,343 1,416
5.780%, 11/01/11 1,219 1,279
5.735%, 01/01/09 1,366 1,410
5.420%, 11/01/08 1,231 1,253
4.667%, 04/01/13 7,894 7,868
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/20 99 102
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22 206 215
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17 1,500 1,579
GNMA
12.500%, 12/15/10 to 06/15/14 2 2
12.000%, 04/15/14 -- --
11.500%, 02/15/13 4 4
10.000%, 05/15/16 to 07/15/20 39 44
9.500%, 06/15/09 to 11/15/20 628 675
9.000%, 12/15/17 to 05/15/22 413 451
8.500%, 08/15/08 to 06/15/17 135 149
8.000%, 04/15/17 to 03/15/32 2,154 2,319
7.750%, 10/15/26 69 75
7.500%, 04/15/17 to 04/15/32 7,884 8,452
7.250%, 01/15/28 289 307
7.000%, 04/15/19 to 09/15/31 15,684 16,595
6.750%, 11/15/27 152 160
6.500%, 11/15/07 to 03/15/33 22,870 23,928
6.000%, 02/15/09 to 06/15/35 54,332 55,964
5.500%, 10/15/32 to 04/15/35 15,839 16,048
5.000%, 06/15/33 to 06/15/35 21,930 21,803
4.500%, 09/15/33 to 05/15/35 2,999 2,911
GNMA REMIC, Ser 2003-63, Cl UV
3.500%, 07/20/30 3,340 3,227
GNMA TBA
6.500%, 08/20/33 1,062 1,109
6.000%, 08/01/33 226 232
---------
Total U.S. Government Mortgage-Backed Obligations
(Cost $174,145) ($ Thousands) 175,067
---------
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
U.S. TREASURY OBLIGATION (A) -- 1.0%
U.S. Treasury Bonds
6.125%, 08/15/29 $ 1,500 $ 1,848
---------
Total U.S. Treasury Obligation
(Cost $1,634) ($ Thousands) 1,848
---------
REPURCHASE AGREEMENT (B) -- 2.1%
UBS Securities LLC
3.310%, dated 07/29/05,
to be repurchased on 08/01/05,
repurchase price $3,801,148
(collateralized by a U.S. Government
obligation, par value $3,855,000,
3.875%, 05/15/07, with total
market value $3,877,170) 3,800 3,800
---------
Total Repurchase Agreement
(Cost $3,800) ($ Thousands) 3,800
---------
Total Investments -- 100.5%
(Cost $179,579) ($ Thousands) 180,715
---------
OTHER ASSETS AND LIABILITIES -- (0.5)%
Payable for Investment Securities Purchased (1,342)
Income Distributions Payable (243)
Payable for Fund Shares Redeemed (212)
Administration Fees Payable (49)
Shareholder Servicing Fees Payable (21)
Investment Advisory Fees Payable (15)
Other Assets and Liabilities, Net 978
---------
Total Other Assets and Liabilities (904)
---------
Net Assets $179,811
=========
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 15
================================================================================
STATEMENT OF NET ASSETS (Unaudited)
GNMA Fund (Concluded)
July 31, 2005
- -----------------------------------------------------------------
Value
Description ($ Thousands)
- -----------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $189,039
Distribution in excess of net investment income (3)
Accumulated net realized loss on investments (10,336)
Net unrealized appreciation on investments 1,136
Net unrealized depreciation on futures contracts (25)
---------
Net Assets $179,811
=========
Net Assets Value, Offering and Redemption
Price Per Share -- Class A
($179,811,239 / 18,768,463 shares) $9.58
=========
A summary of the open long/(short) futures contracts held by the fund at
July 31, 2005, is as follows: (see note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------
UNREALIZED
CONTRACT APPRECIATION
TYPE OF NUMBER OF VALUE EXPIRATION DEPRECIATION
CONTRACT CONTRACTS ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------
U.S. 5 Year Note 32 $3,431 09/23/05 ($38)
U.S. 10 Year Note (5) (555) 09/23/05 13
---
($25)
===
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) Tri-Party Repurchase Agreement
Cl -- Class
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
LLC -- Limited Liability Company
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
TBA -- To Be Announced
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
Ultra Short Bond Fund
July 31, 2005
- ------------------------------------------------------------
[GRAPHIC OMITTED]
plot points follow:
SECTOR WEIGHTINGS*:
57.7% Asset-Backed Securities
21.4% Corporate Bonds
8.4% U.S. Government Mortgage-Backed Obligations
4.3% U.S. Treasury Obligations
4.1% U.S. Government Agency Obligations
2.8% Repurchase Agreement
1.3% Certificates of Deposit/Extendable Commercial Notes
*Percentages based on total investments.
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
ASSET BACKED SECURITIES -- 58.0%
AUTOMOTIVE -- 15.8%
Aesop Funding II LLC,
Ser 2002-1A, Cl A1
3.850%, 10/20/06 $ 500 $ 500
Aesop Funding II LLC,
Ser 2003-4A, Cl A1 (A)
3.660%, 08/20/07 1,685 1,688
Aesop Funding II LLC,
Ser 2003-5A, Cl A1
2.780%, 12/20/07 1,000 993
Aesop Funding II LLC,
Ser 2005-1A, Cl A2 (A)
3.490%, 04/20/09 800 799
Americredit Automobile Receivables
Trust, Ser 2004-BM, Cl A2
1.450%, 09/06/07 304 303
Americredit Automobile Receivables
Trust, Ser 2004-CA, Cl A3
3.000%, 03/06/09 975 962
Americredit Automobile Receivables
Trust, Ser 2004-DF, Cl A3
2.980%, 07/06/09 640 627
Americredit Automobile Receivables
Trust, Ser 2005-1, Cl B
4.480%, 11/06/09 840 838
BMW Vehicle Owner Trust,
Ser 2003-A, Cl A3
1.940%, 02/25/07 232 232
Bank One Auto Securitization Trust,
Ser 2003-1, Cl A3
1.820%, 09/20/07 782 775
Capital Auto Receivables Asset Trust,
Ser 2002-4, Cl A4
2.640%, 03/17/08 940 931
Capital Auto Receivables Asset Trust,
Ser 2004-1, Cl A3
2.000%, 11/15/07 925 912
Capital Auto Receivables Asset Trust,
Ser 2004-2, Cl A1A
3.120%, 03/15/07 1,245 1,236
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
Capital Auto Receivables Asset Trust,
Ser 2005-1, Cl B (A)
3.763%, 06/15/10 $ 440 $ 443
Capital One Auto Finance Trust,
Ser 2001, Cl A4
5.400%, 05/15/08 407 408
Capital One Auto Finance Trust,
Ser 2003-B, Cl A3 (A)
3.498%, 01/15/08 417 417
Capital One Prime Auto Receivable
Trust, Ser 2003-1, Cl A3
1.970%, 04/15/07 217 216
Capital One Prime Auto Receivable
Trust, Ser 2004-1, Cl A4 (A)
3.458%, 08/17/09 1,250 1,251
Capital One Prime Auto Receivable
Trust, Ser 2004-2, Cl A2
2.430%, 02/15/07 536 535
Capital One Prime Auto Receivable
Trust, Ser 2004-2, Cl A3
3.060%, 03/17/08 2,250 2,230
Capital One Prime Auto Receivable
Trust, Ser 2004-3, Cl A2
3.040%, 07/15/07 538 536
Carmax Auto Owner Trust,
Ser 2003-1, Cl A3
1.610%, 02/15/07 395 392
Carmax Auto Owner Trust,
Ser 2004-1, Cl A2
1.870%, 12/15/06 236 236
Chase Manhattan Auto Owner Trust,
Ser 2003-A, Cl A3
1.520%, 05/15/07 286 284
Chase Manhattan Auto Owner Trust,
Ser 2003-C, Cl A3
2.260%, 11/15/07 936 928
Chase Manhattan Auto Owner Trust,
Ser 2005-A, Cl A3
3.870%, 06/15/09 820 813
Chesapeake Funding Trust,
Ser 2004-1A, Cl A2 (A)
3.320%, 07/07/16 400 400
DaimlerChrysler Auto Trust,
Ser 2004-B, Cl A2
2.480%, 02/08/07 470 468
DaimlerChrysler Auto Trust,
Ser 2004-B, Cl A3
3.180%, 09/08/08 1,000 990
DaimlerChrysler Auto Trust,
Ser 2005-A, Cl A3
3.490%, 12/08/08 1,315 1,298
DaimlerChrysler Auto Trust,
Ser 2005-B, Cl A3
4.040%, 09/08/09 610 607
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 17
================================================================================
STATEMENT OF NET ASSETS (Unaudited)
Ultra Short Bond Fund
July 31, 2005
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
Ford Credit Auto Owner Trust,
Ser 2004-A, Cl A2
2.130%, 10/15/06 $ 609 $ 607
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A3
3.480%, 11/15/08 1,140 1,128
Harley-Davidson Motorcycle Trust,
Ser 2003-2, Cl A1
1.340%, 01/15/08 29 29
Harley-Davidson Motorcycle Trust,
Ser 2004-1, Cl A1
1.400%, 10/15/08 335 332
Hertz Vehicle Financing,
Ser 2004-1A, Cl A2
2.380%, 05/25/08 1,750 1,695
Honda Auto Receivables Owner Trust,
Ser 2003-1, Cl A3
1.920%, 11/20/06 245 244
Honda Auto Receivables Owner Trust,
Ser 2003-2, Cl A3
1.690%, 02/21/07 240 238
Honda Auto Receivables Owner Trust,
Ser 2003-5, Cl A3
2.300%, 10/18/07 749 742
Honda Auto Receivables Owner Trust,
Ser 2005-1, Cl A3
3.530%, 10/21/08 865 855
Honda Auto Receivables Owner Trust,
Ser 2005-2, Cl A2
3.650%, 08/15/07 950 947
Honda Auto Receivables Owner Trust,
Ser 2005-3, Cl A3
3.870%, 04/20/09 848 840
Household Automotive Trust,
Ser 2002-2, Cl A (A)
3.730%, 04/20/32 535 536
Household Automotive Trust,
Ser 2003-1, Cl A3
1.730%, 12/17/07 1,147 1,142
Household Automotive Trust,
Ser 2004-14, Cl A2
2.520%, 12/17/07 462 461
Household Automotive Trust,
Ser 2005-1, Cl A3
4.150%, 02/17/10 1,371 1,363
Household Automotive Trust,
Ser 2005-2, Cl A3
4.370%, 05/17/10 1,276 1,276
Hyundai Auto Receivables Trust,
Ser 2003-A, Cl A2
1.560%, 09/15/06 4 4
Hyundai Auto Receivables Trust,
Ser 2003-A, Cl A3
2.330%, 11/15/07 1,100 1,092
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
Hyundai Auto Receivables Trust,
Ser 2004-A, Cl A2
2.360%, 09/15/07 $ 649 $ 646
Hyundai Auto Receivables Trust,
Ser 2005-A, Cl A3
3.980%, 11/16/09 659 654
Merrill Auto Trust Securitization,
Ser 2005-1, Cl B (A)
3.700%, 07/25/12 815 815
Morgan Stanley Auto Loan Trust,
Ser 2004-HB1, Cl A2
1.920%, 10/15/06 288 287
Morgan Stanley Auto Loan Trust,
Ser 2004-HB2, Cl A2
2.400%, 07/16/07 1,735 1,726
Navistar Financial Corporate Owner
Trust, Ser 2003-B, Cl A2
1.690%, 09/15/06 48 48
Nissan Auto Receivables Owner Trust,
Ser 2003-A, Cl A3
1.890%, 12/15/06 249 248
Nissan Auto Receivables Owner Trust,
Ser 2003-B, Cl A
1.510%, 08/15/07 647 643
Nissan Auto Receivables Owner Trust,
Ser 2005-A, Cl A3
3.540%, 10/15/08 1,590 1,572
Nissan Auto Receivables Owner Trust,
Ser 2005-B, Cl A2
3.750%, 09/17/07 600 598
Onyx Acceptance Auto Trust,
Ser 2003-B, Cl A3
1.770%, 05/15/07 381 380
Onyx Acceptance Auto Trust,
Ser 2003-C, Cl A3
1.870%, 08/15/07 494 492
Onyx Acceptance Auto Trust,
Ser 2005-B, Cl A2
4.030%, 04/15/08 785 784
Susquehanna Auto Lease Trust,
Ser 2005-1A, Cl 1A
4.080%, 07/16/07 1,750 1,750
Toyota Auto Receivables Owner Trust,
Ser 2002-C, Cl A3
2.650%, 11/15/06 60 60
USAA Auto Owner Trust,
Ser 2003-1, Cl A3
1.580%, 06/15/07 95 95
USAA Auto Owner Trust,
Ser 2004-2, Cl A2
2.410%, 02/15/07 528 526
USAA Auto Owner Trust,
Ser 2005-2, Cl A2
3.800%, 12/17/07 2,176 2,170
- --------------------------------------------------------------------------------
18 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
WFS Financial Owner Trust,
Ser 2002-4, Cl A3A
2.390%, 08/20/07 $ 189 $ 189
WFS Financial Owner Trust,
Ser 2003-1, Cl A3
2.030%, 08/20/07 155 155
WFS Financial Owner Trust,
Ser 2003-2, Cl A3
1.760%, 01/21/08 338 337
WFS Financial Owner Trust,
Ser 2004-1, Cl A3
2.190%, 06/20/08 1,170 1,160
WFS Financial Owner Trust,
Ser 2005-3, Cl A2
4.000%, 06/17/08 1,246 1,245
Whole Auto Loan Trust,
Ser 2002-1, Cl A3
2.600%, 08/15/06 91 91
Whole Auto Loan Trust,
Ser 2004-1, Cl A2A
2.590%, 05/15/07 487 485
World Omni Auto Receivables Trust,
Ser 2003-A, Cl A3
1.980%, 05/15/07 340 338
---------
54,273
---------
CREDIT CARD -- 10.2%
Advanta Business Card Master Trust,
Ser 2004-C1, Cl C (A)
4.480%, 09/20/13 485 492
American Express Credit Account
Master Trust, Ser 2003-4, Cl A
1.690%, 01/15/09 695 680
American Express Credit Account
Master Trust, Ser 2004-C, Cl C (A)
3.888%, 02/15/12 654 656
Bank One Issuance Trust,
Ser 2003-B2, Cl B2 (A)
3.618%, 02/17/09 1,750 1,751
Bank One Issuance Trust,
Ser 2004-B1, Cl B1 (A)
3.708%, 03/15/12 1,250 1,257
Capital One Master Trust,
Ser 2001-2, Cl A (A)
3.528%, 01/15/09 1,750 1,751
Capital One Multi-Asset Executive
Trust, Ser 2003-A1, Cl A1 (A)
3.778%, 01/15/09 1,465 1,469
Capital One Multi-Asset Executive
Trust, Ser 2003-B1, Cl B1 (A)
4.558%, 02/17/09 1,250 1,258
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
Capital One Multi-Asset Executive
Trust, Ser 2004, Cl 1
3.400%, 11/16/09 $ 800 $ 787
Capital One Multi-Asset Executive
Trust, Ser 2004-A6, Cl A6 (A)
3.450%, 04/15/10 1,500 1,500
Capital One Multi-Asset Executive
Trust, Ser 2004-B4, Cl B4 (A)
3.688%, 05/17/10 1,550 1,555
Capital One Multi-Asset Executive
Trust, Ser 2005-B2, Cl B2 (A)
3.538%, 03/15/11 1,500 1,495
Chase Credit Card Master Trust,
Ser 2004-2, Cl A (A)
3.428%, 09/15/09 1,485 1,485
Chemical Master Credit Card Trust,
Ser 1996-2, Cl A
5.980%, 09/15/08 1,000 1,009
Citibank Credit Card Issuance Trust,
Ser 2000-C1, Cl C1
7.450%, 09/15/07 1,500 1,507
Citibank Credit Card Issuance Trust,
Ser 2002-A9, Cl A9 (A)
3.450%, 12/17/07 1,300 1,300
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 1,335
Discover Card Master Trust,
Ser 2004-2, Cl A1 (A)
3.408%, 05/15/10 1,250 1,248
Discover Card Master Trust,
Ser 2005-1, Cl B (A)
3.538%, 09/16/10 1,500 1,497
First USA Credit Card Master Trust,
Ser 1999-2, Cl A (A)
3.607%, 10/20/08 1,000 1,001
GE Capital Credit Card Master Trust,
Ser 2004-1, Cl A (A)
3.438%, 06/15/10 1,785 1,786
GE Capital Credit Card Master Trust,
Ser 2004-2, Cl B (A)
3.648%, 09/15/10 2,000 2,003
Household Affinity Credit Card Trust,
Ser 2003-1, Cl B (A)
3.938%, 02/15/10 1,250 1,262
MBNA Credit Card Master Note Trust,
Ser 2001-B1, Cl B1 (A)
3.763%, 10/15/08 1,125 1,127
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 19
================================================================================
STATEMENT OF NET ASSETS (Unaudited)
Ultra Short Bond Fund (Continued)
July 31, 2005
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
MBNA Credit Card Master Note Trust,
Ser 2002-B1, Cl B1
5.150%, 07/15/09 $ 500 $ 505
Metris Master Trust,
Ser 2005-1A, Cl B (A)
3.808%, 03/21/11 1,675 1,675
---------
34,942
---------
MISCELLANEOUS BUSINESS SERVICES -- 7.7%
AICCO Premium Finance Master Trust,
Ser 2004-1, Cl A (A)
3.568%, 11/17/08 671 671
CIT Equipment Collateral,
Ser 2005-VT1, Cl A3
4.120%, 08/20/08 1,040 1,036
CNH Equipment Trust,
Ser 2003-B, Cl A3A (A)
3.528%, 01/15/08 724 724
CNH Equipment Trust,
Ser 2004-A, Cl A3B
2.940%, 10/15/08 1,600 1,571
CNH Equipment Trust,
Ser 2005-A, Cl A3
4.020%, 04/15/09 800 795
California Infrastructure SDG&E,
Ser 1997-1, Cl A6
6.310%, 09/25/08 1,656 1,677
Capital Source Commercial Loan Trust,
Ser 2003-2A, Cl D (A)
5.930%, 09/20/13 441 441
Capital Source Commercial Loan Trust,
Ser 2004-1A, Cl A2 (A)
3.760%, 04/20/13 637 639
Capital Source Commercial Loan Trust,
Ser 2004-2A, Cl C (A)
4.280%, 08/20/13 888 888
Capital Source Commercial Loan Trust,
Ser 2005-1A, Cl B (A)
3.710%, 02/20/14 877 877
Colts Trust, Ser 2005-1A, Cl A1 (A)
3.650%, 03/20/15 895 895
DaimlerChrysler Master Owner Trust,
Ser 2003-A, Cl A (A)
3.438%, 02/15/08 1,075 1,075
Franklin CLO, Ser 4A, Cl A (A) (B)
3.980%, 09/20/15 500 503
GE Commercial Equipment Financing
LLC, Ser 2004-1, Cl B (A)
3.630%, 12/20/15 850 849
GE Commercial Equipment Financing
LLC, Ser 2005-1, Cl A3A
3.980%, 03/20/09 1,167 1,165
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
John Deere Owner Trust,
Ser 2004-A, Cl A2
1.680%, 11/15/06 $ 803 $ 800
Navistar Financial Dealer Owner Trust,
Ser 2003-A, Cl A2 (A)
3.760%, 06/25/09 2,125 2,126
Navistar Financial Dealer Owner Trust,
Ser 2003-A, Cl A3
1.730%, 02/15/07 488 485
Navistar Financial Dealer Owner Trust,
Ser 2004-1, Cl A (A)
3.660%, 05/25/10 650 650
Nelnet Student Loan Trust,
Ser 2004-3, Cl A2 (A)
3.680%, 01/25/16 628 628
Nelnet Student Loan Trust,
Ser 2004-4, Cl A2 (A)
3.670%, 04/25/16 979 980
Nelnet Student Loan,
Ser 2004-1, Cl A2 (A)
3.404%, 08/26/30 2,230 2,230
Nelnet Student Loan,
Ser 2004-2A, Cl A1 (A)
3.294%, 11/25/09 476 476
Providian Gateway Master Trust,
Ser 2004-AA, Cl A (A)
3.618%, 03/15/11 1,970 1,972
Providian Gateway Master Trust,
Ser 2004-BA, Cl A (A)
3.578%, 07/15/10 1,925 1,926
Providian Gateway Master Trust,
Ser 2004-EA, Cl A (A)
3.518%, 11/15/11 565 564
---------
26,643
---------
MORTGAGE RELATED -- 24.3%
AAA Trust, Ser 2005-2, Cl A1 (A)
3.564%, 11/26/35 1,478 1,477
Advanta Mortgage Trust Loan,
Ser 1999-4, Cl A (A)
3.835%, 11/25/29 240 241
American Home Mortgage Investment
Trust, Ser 2003-1, Cl A (A)
3.860%, 02/25/34 525 525
Ameriquest Mortgage Securities,
Ser 2004-R12, Cl A3 (A)
3.740%, 01/25/35 1,045 1,048
Ameriquest Mortgage Securities,
Ser 2005-R1, Cl A3A (A)
3.560%, 03/25/35 268 268
- --------------------------------------------------------------------------------
20 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
Ameriquest Mortgage Securities,
Ser 2005-R3, Cl A3A (A)
3.550%, 05/25/35 $ 931 $ 931
Asset Securitization,
Ser 1997-D5, Cl A1B
6.660%, 02/14/43 408 416
Bank of America Large Loan,
Ser 2004-BBA4, Cl A2 (A)
3.548%, 06/15/18 560 553
Bank of America Mortgage Securities,
Ser 2004-J, Cl 2A1 (A)
4.810%, 11/25/34 598 595
Bank of America Mortgage Securities,
Ser 2005-A, Cl 2A2 (A)
4.480%, 02/25/35 2,090 2,059
Bank of America Mortgage Securities,
Ser 2005-C, Cl 2A2 (A)
4.732%, 04/25/35 1,458 1,440
Bear Stearns Commercial Mortgage,
Ser 1998-C1, Cl A1
6.340%, 06/16/30 515 525
Bear Stearns Commercial Mortgage,
Ser 2004-BBA3, Cl A1B (A)
3.618%, 06/15/17 1,157 1,157
CS First Boston Mortgage Securities,
Ser 1997-C2, Cl A2
6.520%, 01/17/35 154 155
CS First Boston Mortgage Securities,
Ser 2004-TF2A, Cl A2 (A)
3.588%, 11/15/19 1,750 1,732
Centex Home Equity Trust,
Ser 2005-A, Cl AF1
3.700%, 06/25/22 401 398
Chase Funding Mortgage Loan,
Ser 2004-2, Cl 1A1 (A)
3.610%, 01/25/20 704 704
CitiFinancial Mortgage Securities,
Ser 2004-1, Cl AF1 (A)
3.550%, 04/25/34 384 384
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A
4.021%, 09/25/34 3,016 2,983
Citigroup Mortgage Loan Trust,
Ser 2005-OPT1, Cl A1A (A)
3.550%, 02/25/14 1,001 1,001
Countrywide Asset-Backed Certificates,
Ser 2004-12, Cl AF1 (A)
3.660%, 03/25/22 873 873
Countrywide Asset-Backed Certificates,
Ser 2004-15, Cl AF1 (A)
3.660%, 04/25/22 1,411 1,411
Countrywide Asset-Backed Certificates,
Ser 2004-7, Cl AF1 (A)
3.660%, 10/25/22 781 781
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
Countrywide Home Loans,
Ser 2004-29, Cl 1A1 (A)
3.730%, 02/25/35 $ 604 $ 605
Countrywide Home Loans,
Ser 2005-7, Cl 1A1 (A)
3.730%, 03/25/35 1,957 1,957
Crusade Global Trust,
Ser 2003-1, Cl A (A)
3.500%, 01/17/34 1,132 1,134
Fremont Home Loan Owner Trust,
Ser 1999-1 (A)
4.060%, 03/25/30 19 19
GMAC Commercial Mortgage
Securities, Ser 1999-CTL1, Cl A
7.151%, 12/15/16 1,231 1,263
GMAC Mortgage Corporation Loan,
Ser 2004-HE1, Cl A1 (A)
3.540%, 06/25/34 1,890 1,890
GMAC Mortgage Corporation Loan,
Ser 2005-HE1, Cl A1 (A)
3.520%, 08/25/35 975 975
GSR Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A2
4.690%, 04/25/35 1,400 1,404
Granite Master Issuer PLC,
Ser 2005-1, Cl M1 (A)
3.660%, 12/20/54 550 550
Granite Mortgages PLC,
Ser 2002-2, Cl 1A2 (A)
3.800%, 01/20/43 1,813 1,817
Impac CMB Trust,
Ser 2003-12, Cl A1 (A)
3.840%, 12/25/33 1,638 1,640
Impac CMB Trust,
Ser 2004-9, Cl 1A1 (A)
3.840%, 01/25/35 1,469 1,472
Impac CMB Trust,
Ser 2005-1, Cl 1A1 (A)
3.720%, 04/25/35 1,278 1,279
Impac CMB Trust,
Ser 2005-2, Cl 1A1 (A)
3.720%, 04/25/35 1,405 1,406
Impac CMB Trust,
Ser 2005-3, Cl A1 (A)
3.700%, 08/25/35 1,186 1,188
Impac CMB Trust,
Ser 2005-4, Cl 1M1 (A)
3.890%, 05/25/35 1,886 1,884
JPMorgan Chase Commercial
Mortgage Trust, Ser 2004-FL1A,
Cl A1 (A)
3.579%, 04/16/19 1,758 1,759
MLCC Mortgage Investors,
Ser 2004-G, Cl A1 (A)
3.740%, 01/25/30 927 931
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 21
================================================================================
STATEMENT OF NET ASSETS (Unaudited)
Ultra Short Bond Fund (Continued)
July 31, 2005
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
MLCC Mortgage Investors,
Ser 2004-HB1, Cl A1 (A)
3.820%, 04/25/29 $1,218 $ 1,219
MLCC Mortgage Investors,
Ser 2005-A, Cl A1 (A)
3.690%, 03/25/30 1,059 1,060
Master Adjustable Rate Mortgage
Trust, Ser 2004-12, Cl 5A1
4.541%, 10/25/34 1,669 1,672
Mellon Bank Premium Finance Loan
Trust, Ser 2004-1, Cl A (A)
3.570%, 06/15/09 810 812
Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 1A
4.351%, 12/25/34 1,441 1,448
Merrill Lynch Mortgage Investors,
Ser 2005-A2, Cl A2
4.505%, 02/25/35 2,027 2,010
Merrill Lynch Mortgage Investors,
Ser 2005-A3, Cl A1 (A)
3.730%, 04/25/35 1,418 1,418
MortgageIT Trust,
Ser 2005-2, Cl 1A1 (A)
3.720%, 05/25/35 709 709
MortgageIT Trust,
Ser 2005-3, Cl A1 (A)
3.760%, 08/25/35 1,989 1,989
New Century Home Equity Loan Trust,
Ser 2004-2, Cl A3 (A)
3.710%, 08/25/34 818 818
New Century Home Equity Loan Trust,
Ser 2005-1, Cl A1MZ (A)
3.750%, 03/25/35 1,284 1,285
Nomura Asset Securities Corporation,
Ser 1998-D6, Cl A1A
6.280%, 03/15/30 368 373
Option One Mortgage Loan Trust,
Ser 2003-3, Cl A2 (A)
3.760%, 06/25/33 365 365
Option One Mortgage Loan Trust,
Ser 2005-3, Cl M1 (A)
3.810%, 06/10/37 428 428
Permanent Financing PLC,
Ser 7, Cl 1C (A)
3.659%, 06/10/42 200 200
Permanent Financing PLC,
Ser 8, Cl 1B (A)
3.518%, 06/10/42 935 935
Puma Finance Limited,
Ser S1, Cl A (A)
3.429%, 08/09/35 1,104 1,104
RMAC PLC,
Ser 2003-NS4A, Cl A2B (A)
3.690%, 03/12/36 1,000 1,001
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
RMAC PLC,
Ser 2005-NS1A, Cl A1 (A)
3.450%, 12/12/18 $ 761 $ 761
Residential Asset Mortgage Products,
Ser 2005-RS6, Cl A11 (A)
3.440%, 07/29/35 1,720 1,720
Residential Asset Securities
Corporation, Ser 2000-KS5,
Cl AII (A)
3.700%, 12/25/31 87 87
Residential Asset Securities
Corporation, Ser 2001-KS4,
Cl AIB (A)
3.780%, 05/25/32 248 248
Residential Asset Securities
Corporation, Ser 2004-KS1,
Cl AI2
2.463%, 11/25/25 576 573
Residential Asset Securities
Corporation, Ser 2004-KS3,
Cl AI1 (A)
3.550%, 11/25/20 37 37
Residential Asset Securities
Corporation, Ser 2005-KS1,
Cl A1 (A)
3.570%, 04/25/25 562 562
Residential Asset Securities
Corporation, Ser 2005-KS7,
Cl A1 (A)
3.580%, 08/25/35 966 966
Residential Asset Securities
Corporation, Ser 3-KS8,
Cl AI1
2.610%, 06/25/24 530 528
Residential Mortgage Securities
Trust, Ser 20A, Cl A1B (A)
3.152%, 08/10/30 700 700
Sequoia Mortgage Trust,
Ser 2004-10, Cl A2 (A)
3.750%, 11/20/34 953 958
Sequoia Mortgage Trust,
Ser 2004-11, Cl A1 (A)
3.730%, 12/20/34 748 749
Sequoia Mortgage Trust,
Ser 2004-12, Cl A1A (A)
3.700%, 01/20/35 634 635
Sequoia Mortgage Trust,
Ser 2005-1, Cl A1 (A)
3.660%, 02/20/35 594 594
Sequoia Mortgage Trust,
Ser 2005-2, Cl A1 (A)
3.650%, 03/20/35 643 643
Thornburg Mortgage Securities Trust,
Ser 2004-2, Cl A2 (A)
3.610%, 06/25/44 1,191 1,191
- --------------------------------------------------------------------------------
22 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
Wells Fargo Mortgage Backed
Securities, Ser 2004-BB, Cl A2 (A)
4.581%, 01/25/35 $2,325 $ 2,294
Wells Fargo Mortgage Backed
Securities, Ser 2004-Z, Cl 2A1 (A)
4.597%, 12/25/34 1,013 1,005
Wells Fargo Mortgage Backed
Securities, Ser 2005-AR1, Cl 1A1 (A)
4.564%, 02/25/35 2,219 2,200
Wells Fargo Mortgage Backed
Securities, Ser 2005-AR2, Cl 2A2 (A)
4.562%, 03/25/35 1,288 1,273
Wells Fargo Mortgage Backed
Securities, Ser 2005-AR4, Cl 2A2
4.542%, 04/25/35 1,372 1,354
Westpac Securitisation Trust,
Ser 2005-1G, Cl A1 (A)
3.522%, 03/23/36 862 859
---------
83,613
---------
Total Asset Backed Securities
(Cost $200,280) ($ Thousands) 199,471
---------
CORPORATE BONDS -- 21.6%
AEROSPACE & DEFENSE -- 0.4%
General Dynamics Corporation
2.125%, 05/15/06 1,265 1,246
---------
AIR TRANSPORTATION -- 0.5%
American Airlines Incorporated (A)
4.072%, 09/23/07 1,021 1,024
Delta Airlines Incorporated (A)
4.400%, 01/25/08 527 528
---------
1,552
---------
AUTO FINANCE -- 0.4%
Ford Motor Credit Company (A)
4.308%, 09/28/07 1,250 1,224
---------
BANK HOLDING COMPANY -- 0.5%
Wells Fargo Company (A)
3.538%, 09/28/07 1,680 1,681
---------
BANKS -- 1.3%
SunTrust Bank, Ser CD (A)
3.330%, 05/17/07 1,390 1,390
Wachovia Corporation (A)
3.720%, 07/20/07 1,500 1,501
World Savings Bank (A)
3.390%, 06/01/07 1,750 1,751
---------
4,642
---------
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 1.0%
Clear Channel Communications
Incorporated
6.000%, 11/01/06 $1,000 $ 1,012
Sprint Capital Corporation
4.780%, 08/17/06 1,000 1,003
Univision Communications
Incorporated
2.875%, 10/15/06 1,500 1,467
---------
3,482
---------
CREDIT CARD -- 0.4%
American Express Credit (A)
3.557%, 09/19/06 1,250 1,252
---------
ELECTRICAL SERVICES -- 1.6%
Dominion Resources Incorporated
3.660%, 11/15/06 1,750 1,730
FPL Group Capital Incorporated
4.086%, 02/16/07 1,430 1,423
Nisource Finance Corporation (A)
3.854%, 11/23/09 1,500 1,506
Pinnacle West Capital Corporation
(A) (B)
4.004%, 04/01/07 875 875
---------
5,534
---------
FINANCIAL SERVICES -- 5.2%
AIG Sunamerica Global Finance IV
5.850%, 02/01/06 1,000 1,008
Allstate Life Global Funding Trust
(A) (B)
3.599%, 04/02/07 1,500 1,501
Allstate Life Global Funding Trust,
Ser 04-2 (A)
3.354%, 05/25/07 395 395
Bae Systems Holdings (A) (B)
4.050%, 08/15/08 1,035 1,034
Caterpillar Financial Services,
Ser F (A)
3.310%, 02/11/08 1,000 1,000
Doral Financial Corporation (A)
4.450%, 07/20/07 1,450 1,380
General Electric Capital Corporation
MTN (A)
3.460%, 03/09/07 1,750 1,752
General Electric Capital Corporation
MTN, Ser A (A)
3.504%, 06/22/07 2,000 2,002
General Motors Acceptance
Corporation MTN (A)
4.145%, 05/18/06 1,000 996
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 23
================================================================================
STATEMENT OF NET ASSETS (Unaudited)
Ultra Short Bond Fund (Continued)
July 31, 2005
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
John Deere Capital Corporation
MTN, Ser D (A)
3.370%, 08/24/06 $1,225 $ 1,226
MBIA Global Funding LLC (A) (B)
3.420%, 01/11/08 1,675 1,675
National Rural Utilities
3.000%, 02/15/06 2,000 1,988
Nationwide Building Society (A) (B)
3.310%, 02/01/08 2,000 2,001
---------
17,958
---------
FOOD, BEVERAGE & TOBACCO -- 0.9%
General Mills Incorporated
2.625%, 10/24/06 1,500 1,465
Tyson Foods Incorporated
7.250%, 10/01/06 1,500 1,548
---------
3,013
---------
HEALTHCARE -- 0.6%
Anthem Incorporated
4.875%, 08/01/05 995 995
United Health Group Incorporated
7.500%, 11/15/05 1,000 1,009
---------
2,004
---------
INSURANCE -- 3.5%
ASIF Global Finance (A) (B)
3.449%, 05/30/06 1,000 1,000
3.250%, 05/03/07 1,500 1,497
Berkshire Hathaway Financial (A)
3.600%, 01/11/08 775 775
Marsh & McLennan Companies Incorporated (A)
3.710%, 07/13/07 1,420 1,410
Met Life Global Fundings (A) (B)
3.484%, 03/16/07 1,550 1,551
Monument Global Funding (A) (B)
3.770%, 04/10/06 1,500 1,502
NAC RE Corporation
7.150%, 11/15/05 1,250 1,258
Nationwide Life Global Funding
(A) (B)
3.534%, 06/22/07 1,720 1,721
Protective Life Secured Trust (A)
3.650%, 04/13/07 1,240 1,241
---------
11,955
---------
INVESTMENT BANKER/BROKER DEALER -- 2.9%
Citigroup Incorporated (A)
3.410%, 06/04/07 1,500 1,500
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
Credit Suisse First Boston USA (A)
3.448%, 06/02/08 $1,500 $ 1,500
Goldman Sachs Group Incorporated
MTN (A)
3.590%, 03/30/07 1,250 1,251
JPMorgan Chase & Company
Incorporated
6.250%, 12/15/05 1,000 1,009
Lehman Brothers Holdings MTN,
Ser G (A)
3.740%, 04/20/07 1,320 1,322
Merrill Lynch & Company Incorporated
MTN, Ser C (A)
3.785%, 01/26/07 1,750 1,752
Morgan Stanley Dean Witter &
Company (A)
3.701%, 01/12/07 1,600 1,601
---------
9,935
---------
MACHINERY -- 0.1%
Alabama Power Company
2.650%, 02/15/06 500 496
---------
MEDICAL PRODUCTS & SERVICES -- 0.4%
Wellpoint Health Network
6.375%, 06/15/06 1,250 1,272
---------
PETROLEUM & FUEL PRODUCTS -- 0.4%
Duke Energy Field Services
7.500%, 08/16/05 1,100 1,101
Keyspan Corporation
4.900%, 05/16/08 360 363
---------
1,464
---------
RETAIL -- 0.3%
CVS Corporation
5.625%, 03/15/06 1,145 1,154
---------
TELEPHONES & TELECOMMUNICATION -- 1.2%
Alltel Corporation
4.656%, 05/17/07 1,360 1,364
BellSouth Corporation (A)
3.393%, 11/15/07 1,750 1,752
France Telecom
7.950%, 03/01/06 1,100 1,120
---------
4,236
---------
Total Corporate Bonds
(Cost $74,406) ($ Thousands) 74,100
---------
- --------------------------------------------------------------------------------
24 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 8.4%
FHLMC
7.000%, 03/01/07 $ 12 $ 12
FHLMC (A)
4.602%, 02/01/30 1,916 1,952
4.515%, 02/01/22 2,723 2,769
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 581 589
FHLMC REMIC, Ser 1614, Cl J
6.250%, 11/15/22 211 211
FHLMC REMIC, Ser 2061, Cl TA
5.250%, 10/15/27 293 293
FHLMC REMIC, Ser 2594, Cl QH
4.000%, 10/15/16 751 749
FHLMC REMIC, Ser 2676, Cl NA
4.000%, 03/15/14 710 709
FHLMC REMIC, Ser 2684, Cl QM
3.500%, 03/15/19 1,066 1,060
FHLMC REMIC, Ser 2691, Cl OK
3.500%, 05/15/17 1,410 1,401
FHLMC REMIC, Ser 2727, Cl PA
4.125%, 08/15/18 1,876 1,871
FHLMC REMIC, Ser 2750, Cl NA
3.500%, 03/15/15 1,450 1,441
FHLMC REMIC, Ser 2750, Cl OA
3.500%, 10/15/11 1,414 1,408
FHLMC REMIC, Ser 2760, Cl LJ
4.000%, 01/15/33 1,366 1,364
FNMA
6.340%, 02/01/08 1,344 1,386
6.220%, 02/01/06 2,165 2,167
FNMA (A)
4.963%, 09/01/24 463 474
4.851%, 01/01/29 210 215
4.815%, 11/01/23 1,112 1,134
4.800%, 09/01/24 1,232 1,270
4.621%, 11/01/25 232 237
4.396%, 05/01/28 1,987 2,029
3.914%, 11/01/21 390 392
FNMA REMIC, Ser 1993-220, Cl FA (A)
4.068%, 11/25/13 314 317
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23 437 443
FNMA REMIC, Ser 2001-33, Cl FA (A)
3.910%, 07/25/31 593 598
FNMA REMIC, Ser 2002-63, Cl QF (A)
3.760%, 04/25/29 469 471
FNMA REMIC, Ser 2002-64, Cl FG (A)
3.658%, 10/18/32 550 550
FNMA REMIC, Ser 2003-57, Cl KL
3.500%, 03/25/09 823 821
GNMA REMIC, Ser 2003-75, Cl YM
4.000%, 10/20/21 151 150
- -----------------------------------------------------------------
Face Amount Market Value
Description ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------
SLMA (A)
3.520%, 12/15/15 $ 460 $ 459
---------
Total U.S. Government Mortgage-Backed Obligations
(Cost $29,381) ($ Thousands) 28,942
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 4.2% FHLB
4.015%, 08/01/06 3,000 2,996
3.250%, 12/17/07 3,000 2,931
FHLMC
2.000%, 02/23/06 1,000 989
FNMA
3.250%, 07/31/06 7,500 7,435
---------
Total U.S. Government Agency Obligations
(Cost $14,419) ($ Thousands) 14,351
---------
U.S. TREASURY OBLIGATIONS -- 4.3%
U.S. Treasury Notes
3.625%, 04/30/07 7,500 7,451
3.375%, 02/28/07 7,500 7,430
---------
Total U.S. Treasury Obligations
(Cost $14,963) ($ Thousands) 14,881
---------
CERTIFICATES OF DEPOSIT -- 1.3%
Sovereign Bank
4.000%, 02/01/08 400 395
Wells Fargo Bank
4.000%, 07/24/06 2,000 1,998
Westdeutsche Landesbank
3.970%, 07/14/06 2,000 2,000
---------
Total Certificates of Deposit
(Cost $4,400) ($ Thousands) 4,393
---------
REPURCHASE AGREEMENT (C) -- 2.8%
UBS Securities LLC
3.310%, dated 07/29/05,
to be repurchased on 08/01/05,
repurchase price $9,602,648
(collateralized by a U.S. Government
obligation, par value $9,740,000,
3.875%, 05/15/07, with total
market value $9,796,015) 9,600 9,600
---------
Total Repurchase Agreement
(Cost $9,600) ($ Thousands) 9,600
---------
Total Investments -- 100.6%
(Cost $347,449) ($ Thousands) 345,738
---------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 25
================================================================================
STATEMENT OF NET ASSETS (Unaudited)
Ultra Short Bond Fund (Concluded)
July 31, 2005
- -----------------------------------------------------------------
Value
Description ($ Thousands)
- -----------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (0.6)%
Payable for Investment Securities Purchased $ (3,000)
Payable for Fund Shares Redeemed (2,093)
Income Distributions Payable (103)
Administration Fees Payable (72)
Investment Advisory Fees Payable (17)
Other Assets and Liabilities, Net 3,380
---------
Total Other Assets and Liabilities (1,905)
---------
Net Assets -- 100.0% $343,833
=========
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $348,410
Distributions in excess of net investment income (3)
Accumulated net realized loss on investments (2,863)
Net unrealized depreciation on investments (1,711)
---------
Net Assets $343,833
=========
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($343,833,278 / 34,465,723 shares) $9.98
=========
(A) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on July 31, 2005. The date shown is the earlier of
the reset date or the demand date.
(B) Security sold within the terms of a private placement memorandum, exempt
from registration under section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors."
(C) Tri-Party Repurchase Agreement.
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
LLC -- Limited Liability Company
MTN -- Medium Term Note
PLC -- Public Limited Company
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
SLMA -- Student Loan Marketing Association
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
26 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
Statement of Assets and Liabilities ($ Thousands)
July 31, 2005 (Unaudited)
- --------------------------------------------------------------------------------
TREASURY
FUND
- --------------------------------------------------------------------------------
ASSETS:
Investments, at Market Value (Cost $46,087) $ 46,087
Repurchase Agreements (Cost $578,312) 578,312
Cash 61,459
Interest Receivable 507
Prepaid Expenses 29
- --------------------------------------------------------------------------------
Total Assets 686,394
- --------------------------------------------------------------------------------
LIABILITIES:
Income Distribution Payable 1,344
Shareholder Servicing Fees Payable 151
Administration Fees Payable 90
Investment Advisory Fees Payable 14
Accrued Expenses 60
- --------------------------------------------------------------------------------
Total Liabilities 1,659
- --------------------------------------------------------------------------------
Net Assets $684,735
================================================================================
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $684,833
Distributions in Excess of Net Investment Income (4)
Accumulated Net Realized Loss on Investments (94)
- --------------------------------------------------------------------------------
Net Assets $684,735
================================================================================
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($294,915,588 / 294,954,474 Shares) $1.00
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($211,572,379 / 211,612,434 Shares) $1.00
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($79,470,006 / 79,482,673 Shares) $1.00
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($98,776,722 / 98,783,234 Shares) $1.00
================================================================================
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 27
================================================================================
Statements of Operations ($ Thousands)
For the six months ended July 31, 2005 (Unaudited)
- -------------------------------------------------------------------------------------------------------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $12,184 $8,467 $9,585 $60,123
- -------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 1,373 717 645 3,914
Shareholder Servicing Fees - Class A Shares 616 403 623 3,296
Shareholder Servicing Fees - Class B Shares 159 223 249 1,024
Shareholder Servicing Fees - Class C Shares 394 242 36 1,815
Shareholder Servicing Fees - Class H Shares -- -- -- 75
Shareholder Servicing Fees - Sweep Class Shares 95 36 -- 50
Distribution Fees - Sweep Class Shares 191 73 -- 99
Investment Advisory Fees 99 71 81 490
Registration Fees 21 20 20 139
Custodian/Wire Agent Fees 21 8 16 64
Proxy Costs 20 16 17 107
Trustees' Fees 4 3 3 19
Other Expenses 37 26 33 185
- -------------------------------------------------------------------------------------------------------
Total Expenses 3,030 1,838 1,723 11,277
- -------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- -- --
Administration fees (807) (248) (119) (691)
Shareholder Servicing Fees - Class A Shares (616) (403) (623) (3,296)
- -------------------------------------------------------------------------------------------------------
Net Expenses 1,607 1,187 981 7,290
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 10,577 7,280 8,604 52,833
=======================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM:
Investments (16) -- -- (18)
Payments by Affiliate* -- -- -- --
Futures Contracts -- -- -- --
NET CHANGE IN UNREALIZED DEPRECIATION ON:
Investments -- -- -- --
Futures Contracts -- -- -- --
- -------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $10,561 $7,280 $8,604 $52,815
=======================================================================================================
Amounts designated as "--" are either $0 or have been rounded to $0.
*See Note 3 in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
28 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
Statements of Operations ($ Thousands)
For the six months ended July 31, 2005 (Unaudited)
- ----------------------------------------------------------------------------------------------------------------------
SHORT-DURATION INTERMEDIATE-DURATION
TREASURY TREASURY II GOVERNMENT GOVERNMENT
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $8,869 $4,301 $ 3,677 $ 2,120
- ----------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 773 397 340 181
Shareholder Servicing Fees - Class A Shares 344 298 243 129
Shareholder Servicing Fees - Class B Shares 308 114 -- --
Shareholder Servicing Fees - Class C Shares 171 40 -- --
Shareholder Servicing Fees - Class H Shares -- -- -- --
Shareholder Servicing Fees - Sweep Class Shares 119 -- -- --
Distribution Fees - Sweep Class Shares 239 -- -- --
Investment Advisory Fees 77 39 97 52
Registration Fees 18 14 6 3
Custodian/Wire Agent Fees 8 3 4 1
Proxy Costs 16 9 5 3
Trustees' Fees -- -- 1 1
Other Expenses 30 20 38 16
- ----------------------------------------------------------------------------------------------------------------------
Total Expenses 2,103 934 734 386
- ----------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- (16) --
Administration fees (262) (59) (33) --
Shareholder Servicing Fees - Class A Shares (344) (298) (243) (124)
- ----------------------------------------------------------------------------------------------------------------------
Net Expenses 1,497 577 442 262
- ----------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 7,372 3,724 3,235 1,858
======================================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM:
Investments 3 (1) (651) (251)
Payments by Affiliate* -- -- 7 4
Futures Contracts -- -- -- 19
NET CHANGE IN UNREALIZED DEPRECIATION ON:
Investments -- -- (1,494) (1,377)
Futures Contracts -- -- -- (41)
- ----------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $7,375 $3,723 $ 1,097 $ 212
======================================================================================================================
- ----------------------------------------------------------------------------
ULTRA
GNMA SHORT BOND
FUND FUND
- ----------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $ 4,761 $5,418
- ----------------------------------------------------------------------------
EXPENSES:
Administration Fees 276 570
Shareholder Servicing Fees - Class A Shares 216 407
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 86 163
Registration Fees 5 8
Custodian/Wire Agent Fees 1 5
Proxy Costs 4 8
Trustees' Fees 1 2
Other Expenses 30 56
- ----------------------------------------------------------------------------
Total Expenses 619 1,219
- ----------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- (54)
Administration fees -- (180)
Shareholder Servicing Fees - Class A Shares (97) (407)
- ----------------------------------------------------------------------------
Net Expenses 522 578
- ----------------------------------------------------------------------------
NET INVESTMENT INCOME 4,239 4,840
============================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM:
Investments (78) (377)
Payments by Affiliate* -- --
Futures Contracts 219 --
NET CHANGE IN UNREALIZED DEPRECIATION ON:
Investments (2,400) (584)
Futures Contracts (44) --
- ----------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 1,936 $3,879
============================================================================
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 29
================================================================================
Statements of Changes in Net Assets ($ Thousands)
For the six months ended July 31, 2005 (Unaudited) and for the year ended January 31, 2005
- ------------------------------------------------------------------------------------------------------------------------------------
MONEY MARKET GOVERNMENT
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2/1/05-7/31/05 2/1/04-1/31/05 2/1/05-7/31/05 2/1/04-1/31/05
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 10,577 $ 10,070 $ 7,280 $ 7,837
Net Realized Gain (Loss) from Investments (16) 10 -- (58)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 10,561 10,080 7,280 7,779
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (6,777) (6,774) (4,216) (5,421)
Class B (1,281) (1,387) (1,742) (1,474)
Class C (1,763) (1,421) (1,047) (778)
Class H -- -- -- --
Sweep Class (761) (488) (275) (164)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends (10,582) (10,070) (7,280) (7,837)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 1,726,538 4,146,390 1,625,926 3,175,417
Reinvestment of Dividends & Distributions 3,692 4,358 1,770 2,778
Cost of Shares Redeemed (1,741,126) (4,229,702) (1,679,339) (3,138,663)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (10,896) (78,954) (51,643) 39,532
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 426,330 890,581 597,316 1,333,648
Reinvestment of Dividends & Distributions 166 273 471 413
Cost of Shares Redeemed (429,353) (907,607) (611,337) (1,417,797)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions (2,857) (16,753) (13,550) (83,736)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 503,341 951,826 194,048 363,736
Reinvestment of Dividends & Distributions 107 83 -- --
Cost of Shares Redeemed (475,601) (1,000,318) (168,721) (383,222)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions 27,847 (48,409) 25,327 (19,486)
- ------------------------------------------------------------------------------------------------------------------------------------
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 268,191 568,216 122,907 275,839
Reinvestment of Dividends & Distributions -- -- 13 4
Cost of Shares Redeemed (254,317) (586,907) (124,524) (294,254)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase(Decrease) in Net Assets from Sweep Class Transactions 13,874 (18,691) (1,604) (18,411)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions 27,968 (162,807) (41,470) (82,101)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 27,947 (162,797) (41,470) (82,159)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 853,660 1,016,457 640,289 722,448
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 881,607 $ 853,660 $ 598,819 $ 640,289
====================================================================================================================================
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ (4) $ 1 $ -- $ --
====================================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
30 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
Statements of Changes in Net Assets ($ Thousands)
For the six months ended July 31, 2005 (Unaudited) and for the year ended January 31, 2005
- ------------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT II PRIME OBLIGATION
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2/1/05-7/31/05 2/1/04-1/31/05 2/1/05-7/31/05 2/1/04-1/31/05
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 8,604 $ 8,767 $ 52,833 $ 53,740
Net Realized Gain (Loss) from Investments -- (7) (18) (14)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 8,604 8,760 52,815 53,726
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (6,539) (6,773) (35,688) (39,748)
Class B (1,915) (1,710) (8,271) (6,719)
Class C (149) (285) (8,089) (6,719)
Class H -- -- (395) (336)
Sweep Class -- -- (401) (229)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends (8,603) (8,768) (52,844) (53,751)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 935,919 1,586,478 12,414,850 28,226,610
Reinvestment of Dividends & Distributions 991 991 8,221 11,613
Cost of Shares Redeemed (884,012) (1,641,136) (13,132,568) (28,501,217)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 52,898 (53,667) (709,497) (262,994)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 459,927 954,415 2,682,550 5,733,758
Reinvestment of Dividends & Distributions 290 279 3,120 2,252
Cost of Shares Redeemed (469,817) (995,268) (2,817,397) (5,644,471)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions (9,600) (40,574) (131,727) 91,539
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 38,638 226,759 2,463,518 5,914,517
Reinvestment of Dividends & Distributions 2 15 2,355 2,240
Cost of Shares Redeemed (42,948) (254,989) (2,422,568) (6,051,272)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions (4,308) (28,215) 43,305 (134,515)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS H:
Proceeds from Shares Issued -- -- 34,023 79,666
Reinvestment of Dividends & Distributions -- -- 401 336
Cost of Shares Redeemed -- -- (40,991) (74,804)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class H Transactions -- -- (6,567) 5,198
- ------------------------------------------------------------------------------------------------------------------------------------
SWEEP CLASS:
Proceeds from Shares Issued -- -- 190,940 362,421
Reinvestment of Dividends & Distributions -- -- 25 17
Cost of Shares Redeemed -- -- (180,452) (366,929)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase(Decrease) in Net Assets from Sweep Class Transactions -- -- 10,513 (4,491)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions 38,990 (122,456) (793,973) (305,263)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 38,991 (122,464) (794,002) (305,288)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 694,362 816,826 4,440,907 4,746,195
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 733,353 $ 694,362 $ 3,646,905 $ 4,440,907
====================================================================================================================================
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ -- $ (1) $ (10) $ 1
====================================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- ------------------------------------------------------------------------------------------------------------------------------------
TREASURY TREASURY II
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2/1/05-7/31/05 2/1/04-1/31/05 2/1/05-7/31/05 2/1/04-1/31/05
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 7,372 $ 6,195 $ 3,724 $ 4,400
Net Realized Gain (Loss) from Investments 3 (31) (1) (57)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 7,375 6,164 3,723 4,343
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (3,498) (3,211) (2,791) (3,202)
Class B (2,312) (1,925) (787) (923)
Class C (709) (545) (145) (319)
Class H -- -- -- --
Sweep Class (857) (514) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends (7,376) (6,195) (3,723) (4,444)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 1,002,005 2,544,088 613,917 1,343,161
Reinvestment of Dividends & Distributions 190 348 760 971
Cost of Shares Redeemed (1,000,255) (2,515,994) (674,496) (1,349,541)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 1,940 28,442 (59,819) (5,409)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 533,749 1,365,840 189,337 699,828
Reinvestment of Dividends & Distributions 637 463 60 111
Cost of Shares Redeemed (529,514) (1,485,282) (187,905) (781,992)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions 4,872 (118,979) 1,492 (82,053)
- -----------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 386,659 820,022 109,157 585,363
Reinvestment of Dividends & Distributions 18 12 -- --
Cost of Shares Redeemed (376,136) (860,744) (117,297) (612,405)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions 10,541 (40,710) (8,140) (27,042)
- ------------------------------------------------------------------------------------------------------------------------------------
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 251,429 504,982 -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed (248,057) (505,250) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase(Decrease) in Net Assets from Sweep Class Transactions 3,372 (268) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions 20,725 (131,515) (66,467) (114,504)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 20,724 (131,546) (66,467) (114,605)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 664,011 795,557 373,878 488,483
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 684,735 $ 664,011 $ 307,411 $ 373,878
====================================================================================================================================
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ (4) $ -- $ 1 $ --
====================================================================================================================================
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 31
================================================================================
Statements of Changes in Net Assets ($ Thousands)
For the six months ended July 31, 2005 (Unaudited) and for the year ended January 31, 2005
- -----------------------------------------------------------------------------------------------------------
SHORT-DURATION
GOVERNMENT FUND
- -----------------------------------------------------------------------------------------------------------
2/1/05-7/31/05 2/1/04-1/31/05
- -----------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 3,235 $ 5,410
Net Realized Gain (Loss) on Investments and Futures Contracts (644) (561)
Net Change in Unrealized Depreciation of Investments and Futures Contracts (1,494) (2,245)
- -----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 1,097 2,604
- -----------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (3,246) (6,335)
Net Realized Gains -- --
- -----------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (3,246) (6,335)
- -----------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 60,742 132,571
Reinvestment of Dividends & Distributions 2,480 4,309
Cost of Shares Redeemed (57,944) (221,100)
- -----------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 5,278 (84,220)
- -----------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 3,129 (87,951)
- -----------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 202,035 289,986
- -----------------------------------------------------------------------------------------------------------
END OF PERIOD $205,164 $ 202,035
- -----------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ (6) $ 5
- -----------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 5,991 12,899
Reverse Stock Split+ -- --
Reinvestment of Distributions 245 420
Shares Redeemed (5,714) (21,506)
- -----------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions 522 (8,187)
- -----------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero.
+Due to a 5 for 1 reverse share split on May 6, 2005.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
32 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
Statements of Changes in Net Assets ($ Thousands)
For the six months ended July 31, 2005 (Unaudited) and for the year ended January 31, 2005
- -----------------------------------------------------------------------------------------------------------
INTERMEDIATE-DURATION
GOVERNMENT FUND
- -----------------------------------------------------------------------------------------------------------
2/1/05-7/31/05 2/1/04-1/31/05
- -----------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 1,858 $ 3,409
Net Realized Gain (Loss) on Investments and Futures Contracts (228) (309)
Net Change in Unrealized Depreciation of Investments and Futures Contracts (1,418) (908)
- -----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 212 2,192
- -----------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (1,850) (3,597)
Net Realized Gains -- (80)
- -----------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (1,850) (3,677)
- -----------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 13,295 37,922
Reinvestment of Dividends & Distributions 657 1,591
Cost of Shares Redeemed (20,521) (63,249)
- -----------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (6,569) (23,736)
- -----------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (8,207) (25,221)
- -----------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 109,394 134,615
- -----------------------------------------------------------------------------------------------------------
END OF PERIOD $101,187 $109,394
- -----------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ 19 $ 11
- -----------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 1,278 3,596
Reverse Stock Split+ -- --
Reinvestment of Distributions 63 151
Shares Redeemed (1,968) (5,983)
- -----------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (627) (2,236)
- -----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
GNMA
FUND
- ----------------------------------------------------------------------------------------------------------------
2/1/05-7/31/05 2/1/04-1/31/05
- ----------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 4,239 $ 7,414
Net Realized Gain (Loss) on Investments and Futures Contracts 141 768
Net Change in Unrealized Depreciation of Investments and Futures Contracts (2,444) (1,884)
- ----------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 1,936 6,298
- ----------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (4,235) (9,524)
Net Realized Gains -- --
- ----------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (4,235) (9,524)
- ----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 36,554 44,917
Reinvestment of Dividends & Distributions 2,769 6,188
Cost of Shares Redeemed (28,352) (96,223)
- ----------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 10,971 (45,118)
- ----------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 8,672 (48,344)
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 171,139 219,483
- ----------------------------------------------------------------------------------------------------------------
END OF PERIOD $179,811 $171,139
- ----------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ (3) $ (7)
- ----------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 3,792 4,613
Reverse Stock Split+ -- --
Reinvestment of Distributions 288 635
Shares Redeemed (2,942) (9,876)
- ----------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions 1,138 (4,628)
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
ULTRA SHORT
BOND FUND
- ----------------------------------------------------------------------------------------------------------------
2/1/05-7/31/05 2/1/04-1/31/05
- ----------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 4,840 $ 6,071
Net Realized Gain (Loss) on Investments and Futures Contracts (377) (241)
Net Change in Unrealized Depreciation of Investments and Futures Contracts (584) (2,114)
Net Increase in Net Assets Resulting from Operations 3,879 3,716
- ----------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (4,840) (6,945)
Net Realized Gains -- --
- ----------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (4,840) (6,945)
- ----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 143,346 343,268
Reinvestment of Dividends & Distributions 4,184 5,389
Cost of Shares Redeemed (120,118) (321,862)
- ----------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 27,412 26,795
- ----------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 26,451 23,566
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 317,382 293,816
- ----------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 343,833 $ 317,382
- ----------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ (3) $ (3)
- ----------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 48,327 170,682
Reverse Stock Split+ (134,834) --
Reinvestment of Distributions 1,155 2,683
Shares Redeemed (38,800) (160,158)
- ----------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (124,152) 13,207
- ----------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero.
+ Due to a 5 for 1 reverse share split on May 6, 2005.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 33
================================================================================
Financial Highlights
For the six months ended July 31, 2005 (Unaudited) and 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 Net Asset Net Assets
Beginning Investment (Losses) from Investment and Value, End Total End of Period
of Period Income on Securities Operations Income Distributions of Period Return+ ($ Thousands)
- -----------------------------------------------------------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2005* $1.00 $ 0.01(1) $--(1) $ 0.01 $(0.01) $(0.01) $1.00 1.36% $513,938
2005 1.00 0.01(1) --(1) 0.01 (0.01) $0.01) 1.00 1.37 524,849
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.04 603,798
2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 1.61 581,097
2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.70 419,783
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 6.49 741,949
CLASS B
2005* $1.00 $ 0.01(1) $--(1) $ 0.01 $(0.01) $(0.01) $1.00 1.21% $104,791
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.07 107,650
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.74 124,401
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.31 159,389
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.39 197,280
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 6.17 161,067
CLASS C
2005* $1.00 $ 0.01(1) $--(1) $ 0.01 $(0.01) $(0.01) $1.00 1.11% $179,904
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.86 152,060
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.54 200,467
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.11 307,236
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.19 407,312
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 5.96 307,545
SWEEP CLASS
2005* $1.00 $ 0.01(1) $--(1) $ 0.01 $(0.01) $(0.01) $1.00 0.99% $ 82,974
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.61 69,101
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.29 87,791
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.85 149,729
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.93 177,857
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 5.70 219,802
GOVERNMENT FUND
CLASS A
2005* $1.00 $ 0.01(1) $--(1) $ 0.01 $(0.01) $(0.01) $1.00 1.32% $317,795
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.30 369,440
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.00 329,940
2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 1.53 370,142
2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.64 402,096
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 6.37 254,143
CLASS B
2005* $1.00 $ 0.01(1) $--(1) $ 0.01 $(0.01) $(0.01) $1.00 1.17% $143,193
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.00 156,741
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.69 240,491
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.23 258,488
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.33 217,957
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 6.05 90,343
CLASS C
2005* $1.00 $ 0.01(1) $--(1) $ 0.01 $(0.01) $(0.01) $1.00 1.07% $111,594
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.80 86,267
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.49 105,763
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.02 138,864
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.13 151,256
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 5.84 104,452
- ----------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Expenses Net Assets Income
to Average (Excluding to Average
Net Assets Waivers) Net Assets
- -----------------------------------------------------
MONEY MARKET FUND
CLASS A
2005* 0.18% 0.63% 2.75%
2005 0.18 0.62 1.38
2004 0.18 0.62 1.05
2003 0.18 0.63 1.59
2002 0.18 0.63 3.90
2001 0.18 0.64 6.39
CLASS B
2005* 0.48% 0.68% 2.43%
2005 0.48 0.67 1.10
2004 0.48 0.67 0.74
2003 0.48 0.68 1.30
2002 0.48 0.68 3.27
2001 0.48 0.69 6.07
CLASS C
2005* 0.68% 0.88% 2.24%
2005 0.68 0.87 0.84
2004 0.68 0.87 0.55
2003 0.68 0.88 1.10
2002 0.68 0.88 3.02
2001 0.68 0.89 5.84
SWEEP CLASS
2005* 0.93% 1.13% 1.99%
2005 0.93 1.12 0.61
2004 0.93 1.12 0.30
2003 0.93 1.13 0.85
2002 0.93 1.13 2.92
2001 0.93 1.14 5.63
GOVERNMENT FUND
CLASS A
2005* 0.20% 0.54% 2.61%
2005 0.20 0.53 1.32
2004 0.20 0.53 0.99
2003 0.20 0.53 1.51
2002 0.20 0.53 3.42
2001 0.20 0.54 6.21
CLASS B
2005* 0.50% 0.59% 2.35%
2005 0.50 0.58 0.93
2004 0.50 0.58 0.70
2003 0.50 0.58 1.20
2002 0.50 0.58 3.00
2001 0.50 0.59 5.92
CLASS C
2005* 0.70% 0.79% 2.16%
2005 0.70 0.78 0.77
2004 0.70 0.78 0.50
2003 0.70 0.78 1.02
2002 0.70 0.78 2.90
2001 0.70 0.79 5.73
- --------------------------------------------------------------------------------
34 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
Financial Highlights
For the six months ended July 31, 2005 (Unaudited) and 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 Net Asset Net Assets
Beginning Investment (Losses) from Investment and Value, End Total End of Period
of Period Income on Securities Operations Income Distributions of Period Return+ ($ Thousands)
- -----------------------------------------------------------------------------------------------------------------------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2005* $1.00 $0.01(1) $--(1) $ 0.01 $(0.01) $(0.01) $1.00 0.94% $ 26,237
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.55 27,841
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.25 46,254
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.77 52,423
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.87 71,277
2001 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 5.57 47,477
GOVERNMENT II FUND
CLASS A
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 1.31% $ 568,115
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.27 515,216
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.96 568,888
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.50 669,654
2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.63 688,112
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 6.31 910,748
CLASS B
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 1.16% $ 150,909
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.97 160,509
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.66 201,085
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.20 174,496
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.32 164,741
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 5.99 140,408
CLASS C
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 1.06% $ 14,329
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.76 18,637
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.46 46,853
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.00 54,860
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.11 80,415
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 5.78 56,011
PRIME OBLIGATION FUND
CLASS A
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 1.36% $2,263,329
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.34 2,972,833
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.02 3,235,847
2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 1.58 3,527,722
2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.70 3,989,778
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 6.46 5,113,420
- ----------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Expenses Net Assets Income
to Average (Excluding to Average
Net Assets Waivers) Net Assets
- ----------------------------------------------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2005* 0.95% 1.04% 1.90%
2005 0.95 1.03 0.51
2004 0.95 1.03 0.25
2003 0.95 1.03 0.77
2002 0.95 1.03 2.67
2001 0.95 1.04 5.47
GOVERNMENT II FUND
CLASS A
2005* 0.20% 0.49% 2.63%
2005 0.20 0.48 1.25
2004 0.20 0.47 0.96
2003 0.20 0.48 1.49
2002 0.20 0.48 3.63
2001 0.20 0.49 6.14
CLASS B
2005* 0.50% 0.54% 2.31%
2005 0.50 0.53 0.92
2004 0.50 0.52 0.66
2003 0.50 0.53 1.19
2002 0.50 0.53 3.21
2001 0.50 0.54 5.88
CLASS C
2005* 0.70% 0.74% 2.09%
2005 0.70 0.73 0.71
2004 0.70 0.72 0.46
2003 0.70 0.73 1.00
2002 0.70 0.73 2.84
2001 0.70 0.74 5.67
PRIME OBLIGATION FUND
CLASS A
2005* 0.20% 0.49% 2.71%
2005 0.20 0.48 1.31
2004 0.20 0.48 1.02
2003 0.20 0.48 1.56
2002 0.20 0.48 3.72
2001 0.20 0.49 6.25
Amounts designated as "--" are $0 or have been rounded to $0.
* For the six month period ended July 31, 2005. All ratios for the period
have been annualized.
+ 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 $0.01 per share.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 35
================================================================================
Financial Highlights
For the six months ended July 31, 2005 (Unaudited) and for the periods ended January 31,
For a Share Outstanding Throughout the Periods
- -----------------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends Net Asset Net Assets
Beginning Investment (Losses) from Investment and Value, End Total End of Period
of Period Income on Securities Operations Income Distributions of Period Return+ ($ Thousands)
- -----------------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 1.21% $531,897
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.03 663,635
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.72 572,097
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.28 776,902
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.39 676,475
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 6.14 473,294
CLASS C
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 1.11% $773,606
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.83 730,310
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.52 864,829
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.07 929,285
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.18 946,967
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 5.93 809,989
CLASS H
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 1.14% $ 34,653
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.90 41,221
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.59 36,023
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.15 44,327
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.25 29,412
2001(3) 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.94 9,591
SWEEP CLASS
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 0.98% $ 43,420
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.58 32,908
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.27 37,399
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.82 56,968
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.92 76,982
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 5.67 68,954
TREASURY FUND
CLASS A
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 1.27% $294,916
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.22 292,974
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.96 264,544
2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 1.51 147,129
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.48 221,636
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 6.24 126,044
CLASS B
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 1.12% $211,572
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.91 206,698
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.66 325,687
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.21 319,991
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.18 316,896
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 5.92 308,688
CLASS C
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 1.02% $ 79,470
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.71 68,932
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.46 109,647
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.01 103,015
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.97 97,755
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 5.71 99,816
- ----------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Expenses Net Assets Income
to Average (Excluding to Average
Net Assets Waivers) Net Assets
- ----------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2005* 0.50% 0.54% 2.42%
2005 0.50 0.53 1.05
2004 0.50 0.53 0.72
2003 0.50 0.53 1.26
2002 0.50 0.53 3.21
2001 0.50 0.54 6.01
CLASS C
2005* 0.70% 0.74% 2.23%
2005 0.70 0.73 0.82
2004 0.70 0.73 0.52
2003 0.70 0.73 1.07
2002 0.70 0.73 3.07
2001 0.70 0.74 5.81
CLASS H
2005* 0.63% 0.67% 2.28%
2005 0.63 0.66 0.90
2004 0.63 0.66 0.59
2003 0.63 0.66 1.13
2002 0.63 0.65 2.89
2001(3) 0.63 0.67 5.90
SWEEP CLASS
2005* 0.95% 0.99% 1.99%
2005 0.95 0.98 0.58
2004 0.95 0.98 0.28
2003 0.95 0.98 0.83
2002 0.95 0.98 2.88
2001 0.95 0.99 5.61
TREASURY FUND
CLASS A
2005* 0.20% 0.54% 2.54%
2005 0.20 0.53 1.21
2004 0.20 0.53 0.92
2003 0.20 0.54 1.50
2002 0.20 0.53 3.30
2001 0.20 0.55 6.06
CLASS B
2005* 0.50% 0.59% 2.25%
2005 0.50 0.58 0.85
2004 0.50 0.58 0.65
2003 0.50 0.59 1.19
2002 0.50 0.58 3.11
2001 0.50 0.60 5.79
CLASS C
2005* 0.70% 0.79% 2.06%
2005 0.70 0.78 0.66
2004 0.70 0.78 0.45
2003 0.70 0.79 0.98
2002 0.70 0.78 2.86
2001 0.70 0.80 5.56
- --------------------------------------------------------------------------------
36 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
Financial Highlights
For the six months ended July 31, 2005 (Unaudited) and 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 Net Asset Net Assets
Beginning Investment (Losses) from Investment and Value, End Total End of Period
of Period Income on Securities Operations Income Distributions of Period Return+ ($ Thousands)
- -----------------------------------------------------------------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 0.89% $ 98,777
2005 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.49 95,407
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.23 95,679
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.76 102,257
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.71 119,263
2001 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 5.45 110,640
TREASURY II FUND
CLASS A
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 1.17% $203,906
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.09 263,727
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.81 269,200
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.42 410,954
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.35 556,201
2001 1.00 0.06 -- 0.06 (0.06) (0.06) 1.00 5.86 406,003
CLASS B
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 1.02% $ 80,255
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.79 78,781
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.51 160,859
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.12 210,421
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.05 133,310
2001 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 5.55 98,111
CLASS C
2005* $1.00 $0.01(1) $--(1) $0.01 $(0.01) $(0.01) $1.00 0.92% $ 23,250
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.59 31,370
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.31 58,424
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.91 92,554
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.84 109,581
2001 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 5.33 90,640
- ----------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Expenses Net Assets Income
to Average (Excluding to Average
Net Assets Waivers) Net Assets
- ----------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2005* 0.95% 1.04% 1.79%
2005 0.93 1.03 0.49
2004 0.92 1.03 0.22
2003 0.95 1.04 0.75
2002 0.95 1.03 2.61
2001 0.95 1.05 5.33
TREASURY II FUND
CLASS A
2005* 0.25% 0.54% 2.34%
2005 0.25 0.53 1.08
2004 0.25 0.53 0.80
2003 0.25 0.53 1.42
2002 0.25 0.53 3.20
2001 0.25 0.54 5.70
CLASS B
2005* 0.55% 0.59% 2.07%
2005 0.55 0.58 0.70
2004 0.55 0.58 0.51
2003 0.55 0.58 1.08
2002 0.55 0.58 2.94
2001 0.55 0.59 5.40
CLASS C
2005* 0.75% 0.79% 1.83%
2005 0.75 0.78 0.54
2004 0.75 0.78 0.30
2003 0.75 0.78 0.90
2002 0.75 0.78 2.71
2001 0.75 0.79 5.30
Amounts designated as "--" are $0 or have been rounded to $0.
* For the six month period ended July 31, 2005. All ratios for the period
have been annualized.
+ 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 / Semi-Annual Report / July 31, 2005 37
================================================================================
Financial Highlights
For the six months ended July 31, 2005 (Unaudited) and 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 Net Asset
Beginning Investment (Losses) from Investment Capital and Value, End Total
of Period Income on Securities Operations Income Gains Distributions of Period Return+
- -----------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2005* $10.19 $ 0.17(1) $(0.11)(1) $0.06 $(0.17) $ -- $(0.17) $10.08 0.57%
2005 10.35 0.22(1) (0.12)(1) 0.10 (0.26) -- (0.26) 10.19 0.96
2004 10.46 0.22(1) (0.06)(1) 0.16 (0.27) -- (0.27) 10.35 1.55
2003 10.30 0.32 0.21 0.53 (0.34) (0.03) (0.37) 10.46 5.29
2002 10.15 0.47 0.16 0.63 (0.48) -- (0.48) 10.30 6.28
2001 9.87 0.60 0.28 0.88 (0.60) -- (0.60) 10.15 9.14
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2005* $10.50 $ 0.19(1) $(0.18)(1) $0.01 $(0.18) $ -- $(0.18) $10.33 0.14%
2005 10.64 0.31(1) (0.11)(1) 0.20 (0.33) (0.01) (0.34) 10.50 1.85
2004 10.89 0.31(1) 0.01(1) 0.32 (0.33) (0.24) (0.57) 10.64 2.98
2003 10.40 0.42 0.51 0.93 (0.44) -- (0.44) 10.89 9.12
2002 10.22 0.54 0.18 0.72 (0.54) -- (0.54) 10.40 7.19
2001 9.62 0.56 0.60 1.16 (0.56) -- (0.56) 10.22 12.42
GNMA FUND
CLASS A
2005* $ 9.71 $ 0.23(1) $(0.13)(1) $0.10 $(0.23) $ -- $(0.23) $ 9.58 1.09%
2005 9.86 0.39(1) (0.04)(1) 0.35 (0.50) -- (0.50) 9.71 3.64
2004 10.13 0.30(1) (0.09)(1) 0.21 (0.48) -- (0.48) 9.86 2.16
2003 9.91 0.44 0.31 0.75 (0.53) -- (0.53) 10.13 7.73
2002 9.78 0.55 0.14 0.69 (0.56) -- (0.56) 9.91 7.22
2001 9.20 0.62 0.58 1.20 (0.62) -- (0.62) 9.78 13.44
ULTRA SHORT BOND FUND
CLASS A
2005*++ $10.00 $ 0.45 $(0.02) $0.43 $(0.45) $ -- $(0.45) $ 9.98 1.31%
2005++ 10.10 0.20(1) (0.10)(1) 0.10 (0.20) -- (0.20) 10.00 1.11
2004++ 10.15 0.20(1) (0.05)(1) 0.15 (0.20) -- (0.20) 10.10 1.61
2003++ 10.15 0.30 -- 0.30 (0.30) (0.00)(2) (0.30) 10.15 3.35
2002++ 10.05 0.50 0.10 0.60 (0.50) -- (0.50) 10.15 6.08
2001++ 9.85 0.60 0.20 0.80 (0.60) -- (0.60) 10.05 8.45
- -------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income Portfolio
End of Period to Average (Excluding to Average Turnover
($ Thousands) Net Assets Waivers) Net Assets Rate
- -------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2005* $205,164 0.45% 0.75% 3.33% 34%
2005 202,035 0.45 0.74 2.12 66
2004 289,986 0.45 0.72 2.07 117
2003 318,046 0.45 0.73 2.92 125
2002 150,993 0.45 0.72 4.58 84
2001 99,495 0.45 0.74 5.94 79
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2005* $101,187 0.50% 0.74% 3.59% 66%
2005 109,394 0.50 0.73 2.92 80
2004 134,615 0.50 0.72 2.89 154
2003 188,009 0.50 0.73 3.92 57
2002 119,335 0.50 0.72 5.17 50
2001 84,523 0.50 0.73 5.67 41
GNMA FUND
CLASS A
2005* $179,811 0.60% 0.71% 4.91% 29%
2005 171,139 0.60 0.71 3.97 85
2004 219,483 0.60 0.69 2.97 145
2003 390,393 0.60 0.70 4.12 146
2002 234,747 0.60 0.69 5.50 108
2001 88,403 0.60 0.71 6.52 81
ULTRA SHORT BOND FUND
CLASS A
2005*++ 343,833 0.35% 0.75% 2.97% 32%
2005++ 317,382 0.35 0.75 1.84 59
2004++ 293,816 0.35 0.73 1.84 68
2003++ 352,284 0.35 0.73 2.81 76
2002++ 167,901 0.35 0.72 4.74 75
2001++ 114,536 0.35 0.73 6.10 68
Amounts designated as "--" are $0 or have been rounded to $0.
* For the six month period ended July 31, 2005. All ratios for the period
have been annualized.
+ Returns are for the period indicated and have not been annualized. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of Fund shares.
++ Per share amounts have been adjusted for a 5 to 1 reverse stock split paid
to shareholders of record on May 6, 2005.
(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.
- --------------------------------------------------------------------------------
38 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
NOTES TO FINANCIAL STATEMENTS
Notes to Financial Statements (Unaudited)
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end investment company with 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 July 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 six months
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 39
================================================================================
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
ended July 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.
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 Intermediate-Duration Government Fund and 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 administrative
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%
During the year expenses related to a proxy conducted by the Trust were charged
to the Funds above the cap.
During the six month period ended July 31, 2005, the Short-Duration Government
Fund and the Intermediate-Duration Government Fund were reimbursed by the
Administrator, deemed as a "Payment by Affiliate" on the Statements of
Operations, for losses incurred of $7,422 and $3,906, respectively, due to the
sale of shares in several option contracts that were inadvertently purchased.
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
- --------------------------------------------------------------------------------
40 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
Agreements. The Trust has adopted plans under which firms, including the
Distributor, that provide shareholder and administrative services may receive
compensation thereof. Specific classes of certain funds have also adopted
distribution plans, pursuant to Rule 12b-1 under the Investment Company Act of
1940. Such plans provide fees payable to the Distributor equal to the following
amounts, calculated as a percentage of the average daily net assets attributable
to each particular class of each respective fund.
- --------------------------------------------------------------------------------
Adminis-
Shareholder trative
Servicing Service Distribution
Fees Fees Fees*
- --------------------------------------------------------------------------------
Money Market 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 $500 million.
Pursuant to the "manager of managers" structure, the Board of Trustees approved
Banc of America Capital Management, LLC ("BACAP") as each Money Market Fund's
investment sub-adviser under an investment sub-advisory agreement approved by
the shareholders of each Fund.
Wellington Management Company LLP, ("Wellington LLP") serves as Sub-Adviser to
the Short-Duration Government, Intermediate-Duration Government, GNMA and Ultra
Short Bond Funds.
Wachovia Bank, N.A. serves as the custodian of the Funds. The custodian plays no
role in determining the investment policies of the Funds or which securities are
to be purchased or sold in the Funds.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities, for the six months
ended July 31, 2005, were as follows for the Fixed Income Funds:
- -------------------------------------------------------------------------------
Short- Intermediate- Ultra
Duration Duration Short
Government Government GNMA Bond
Fund Fund Fund Fund
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
PURCHASES
U.S. Government $72,138 $62,197 $55,179 $27,194
Other -- 1,059 3,341 36,091
SALES
U.S. Government $54,887 $69,317 $49,181 $ 8,572
Other 5,798 2 547 59,254
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 / Semi-Annual Report / July 31, 2005 41
================================================================================
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
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.
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 $ -- $10,070
2004 8,403 -- 8,403
Government Fund 2005 7,837 -- 7,837
2004 6,104 -- 6,104
Government II Fund 2005 8,768 -- 8,768
2004 7,755 -- 7,755
Prime Obligation Fund 2005 53,751 -- 53,751
2004 43,002 -- 43,002
Treasury Fund 2005 6,195 -- 6,195
2004 4,981 -- 4,981
Treasury II Fund 2005 4,444 -- 4,444
2004 4,636 -- 4,636
Short-Duration Government Fund 2005 6,335 -- 6,335
2004 8,882 -- 8,882
Intermediate-Duration Government Fund 2005 3,597 80 3,677
2004 5,064 2,821 7,885
GNMA Fund 2005 9,524 -- 9,524
2004 15,863 -- 15,863
Ultra Short Bond Fund 2005 6,945 -- 6,945
2004 7,350 -- 7,350
As of January 31, 2005 the components of Distributable Earnings/(Accumulated
Losses) on a tax basis were as follows:
- ------------------------------------------------------------------------------------
Undistributed Undistributed Capital Post-
Ordinary Long Term Loss October
Income Capital Gain Carryforwards Losses
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------
Money Market Fund $1,505 $ 2 $ -- $ --
Government Fund 1,068 -- (69) (4)
Government II Fund 1,184 -- (48) --
Prime Obligation Fund 7,398 -- (87) --
Treasury Fund 928 -- (88) (9)
Treasury II Fund 508 -- (225) (37)
Short-Duration Government Fund 547 -- (2,225) (556)
Intermediate-Duration Government
Fund 332 -- (301) (170)
GNMA Fund 713 -- (10,256) (102)
Ultra Short Bond Fund 664 -- (2,019) (467)
- ------------------------------------------------------------------------------------
Other Unrealized Total
Temporary Appreciation Distributable Earnings
Differences (Depreciation) (Accumulated Losses)
($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------
Money Market Fund $(1,501) $ -- $ 6
Government Fund (1,068) -- (73)
Government II Fund (1,185) -- (49)
Prime Obligation Fund (7,396) -- (85)
Treasury Fund (928) -- (97)
Treasury II Fund (508) (3) (265)
Short-Duration Government Fund (543) (1,048) (3,825)
Intermediate-Duration Government
Fund (321) (4) (464)
GNMA Fund (719) 3,435 (6,929)
Ultra Short Bond Fund (667) (1,127) (3,616)
- --------------------------------------------------------------------------------
42 SEI Daily Income Trust / Semi-Annual Report / July 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 $414,209 of capital losses, respectively, which have
expired as of January 31, 2005.
For Federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. Post-October losses represent
losses realized on investment transactions from November 1, 2004 through January
31, 2005 that, in accordance with Federal income tax regulations, the Funds may
elect to defer and treat as having arisen in the following fiscal year.
At July 31, 2005 the Money Market Funds cost of securities for Federal income
tax purposes approximates the cost located in the Statement of Net Assets.
The Federal tax cost and aggregate gross unrealized appreciation and
depreciation on investments held by the Fixed Income Funds at July 31, 2005,
were as follows:
- --------------------------------------------------------------------------------
Net Unrealized
Federal Appreciated Depreciated Appreciation
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Short-Duration
Government Fund $206,394 $ 30 $(2,572) $(2,542)
Intermediate-Duration
Government Fund 105,486 151 (1,495) (1,344)
GNMA Fund 179,579 1,936 (800) 1,136
Ultra Short
Bond Fund 347,449 137 (1,848) (1,711)
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.
8. SUBSEQUENT EVENT
The Board of Trustees (the "Board") has selected KPMG LLP (KPMG) to serve as the
Trust's independent registered public accounting firm for the Trust's fiscal
year ending January 31, 2006. The decision to select KPMG was recommended by the
Audit Committee and was approved by the Board on September 19, 2005.
The selection of KPMG does not reflect any disagreements with or dissatisfaction
by the Trust or the Board with the performance of the Trust's prior auditor.
Rather, this change was approved by the Board upon the Audit Committee's
recommendation of KPMG.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 43
================================================================================
SEI DAILY INCOME TRUST -- JULY 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.
- --------------------------------------------------------------------------------
44 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
2/01/05 7/31/05 RATIOS PERIOD*
- -------------------------------------------------------------------------
MONEY MARKET FUND
- -------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,013.60 0.18% $0.90
Class B Shares 1,000.00 1,012.10 0.48 2.39
Class C Shares 1,000.00 1,011.10 0.68 3.39
Sweep Class Shares 1,000.00 1,009.90 0.93 4.63
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.90 0.18% $0.90
Class B Shares 1,000.00 1,022.41 0.48 2.41
Class C Shares 1,000.00 1,021.42 0.68 3.41
Sweep Class Shares 1,000.00 1,020.18 0.93 4.66
- -------------------------------------------------------------------------
GOVERNMENT FUND
- -------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,013.20 0.20% $1.00
Class B Shares 1,000.00 1,011.70 0.50 2.49
Class C Shares 1,000.00 1,010.70 0.70 3.49
Sweep Class Shares 1,000.00 1,009.40 0.95 4.73
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.80 0.20% $1.00
Class B Shares 1,000.00 1,022.32 0.50 2.51
Class C Shares 1,000.00 1,021.32 0.70 3.51
Sweep Class Shares 1,000.00 1,020.08 0.95 4.76
- -------------------------------------------------------------------------
GOVERNMENT II FUND
- -------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,013.10 0.20% $1.00
Class B Shares 1,000.00 1,011.60 0.50 2.49
Class C Shares 1,000.00 1,010.60 0.70 3.49
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.80 0.20% $1.00
Class B Shares 1,000.00 1,022.32 0.50 2.51
Class C Shares 1,000.00 1,021.32 0.70 3.51
- -------------------------------------------------------------------------
PRIME OBLIGATION FUND
- -------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,013.60 0.20% $1.00
Class B Shares 1,000.00 1,012.10 0.50 2.49
Class C Shares 1,000.00 1,011.10 0.70 3.49
Class H Shares 1,000.00 1,011.40 0.63 3.14
Sweep Class Shares 1,000.00 1,009.80 0.95 4.73
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.80 0.20% $1.00
Class B Shares 1,000.00 1,022.32 0.50 2.51
Class C Shares 1,000.00 1,021.32 0.70 3.51
Class H Shares 1,000.00 1,021.67 0.63 3.16
Sweep Class Shares 1,000.00 1,020.08 0.95 4.76
- -------------------------------------------------------------------------
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
2/01/05 7/31/05 RATIOS PERIOD*
- -------------------------------------------------------------------------
TREASURY FUND
- -------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,012.70 0.20% $1.00
Class B Shares 1,000.00 1,011.20 0.50 2.49
Class C Shares 1,000.00 1,010.20 0.70 3.49
Sweep Class Shares 1,000.00 1,008.90 0.95 4.73
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.80 0.20% $1.00
Class B Shares 1,000.00 1,022.32 0.50 2.51
Class C Shares 1,000.00 1,021.32 0.70 3.51
Sweep Class Shares 1,000.00 1,020.08 0.95 4.76
- -------------------------------------------------------------------------
TREASURY II FUND
- -------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,011.70 0.25% $1.25
Class B Shares 1,000.00 1,010.20 0.55 2.74
Class C Shares 1,000.00 1,009.20 0.75 3.74
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.55 0.25% $1.25
Class B Shares 1,000.00 1,022.07 0.55 2.76
Class C Shares 1,000.00 1,021.08 0.75 3.76
- -------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
- -------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,005.70 0.45% $2.24
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.56 0.45% $2.26
- -------------------------------------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT FUND
- -------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,001.40 0.50% $2.48
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.32 0.50% $2.51
- -------------------------------------------------------------------------
GNMA FUND
- -------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,010.90 0.60% $2.99
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.82 0.60% $3.01
- -------------------------------------------------------------------------
ULTRA SHORT BOND FUND
- -------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,013.10 0.35% $1.75
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.06 0.35% $1.76
*Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 181/365 (to reflect
one-half year period shown).
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 45
================================================================================
Board of Trustees Considerations in Approving the
Continuation of Advisory and Sub-Advisory Agreements
(Unaudited)
The SEI Daily Income Trust ("the Trust") and SEI Investments Management
Corporation ("SIMC") have entered into an investment advisory agreement (the
"Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the
investment advisory services provided to each series of the Trust (each, a
"Fund" and, collectively, the "Funds") and may manage the cash portion of the
Funds' assets. Pursuant to a separate sub-advisory agreement (the "Sub-Advisory
Agreement" and, together with the Advisory Agreement, the "Investment Advisory
Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board
of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day
investment management of all or a discrete portion of the assets of the Funds.
The Sub-Advisers also are responsible for managing their employees who provide
services to these Funds. The Sub-Advisers are selected based primarily upon the
research and recommendations of SIMC, which evaluates quantitatively, and
qualitatively each Sub-Adviser's skills and investment results in managing
assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the "1940 Act") requires that
the initial approval of, as well as the continuation of, each Fund's Investment
Advisory Agreements must be specifically approved: (i) by the vote of the Board
of Trustees or by a vote of the shareholders of the Fund; and (ii) by the vote
of a majority of the Trustees who are not parties to the Investment Advisory
Agreements or "interested persons" of any party (the "Independent Trustees"),
cast in person at a meeting called for the purpose of voting on such approval.
In connection with their consideration of such approvals, the Fund's Trustees
must request and evaluate, and SIMC and the Sub-Advisers are required to
furnish, such information as may be reasonably necessary to evaluate the terms
of the Investment Advisory Agreements. In addition, the Securities and Exchange
Commission ("SEC") takes the position that, as part of their fiduciary duties
with respect to a mutual fund's fees, mutual fund boards are required to
evaluate the material factors applicable to a decision to approve an Investment
Advisory Agreement.
Consistent with these responsibilities, the Trust's Board of Trustees calls and
holds meetings each year that are dedicated to considering whether to renew the
Investment Advisory Agreements between the Trust and SIMC and SIMC and each of
the Sub-Advisers with respect to the Funds of the Trust. In preparation for
these meetings, the Board requests and reviews a wide variety of materials
provided by SIMC and the Sub-Advisers, including information about SIMC's and
the Sub-Advisers' affiliates, personnel and operations. The Board also receives
extensive data provided by third parties. This information is in addition to the
detailed information about the Funds that the Board reviews during the course of
each year, including information that relates to Fund operations and Fund
performance. The Trustees also receive a memorandum from Fund counsel and
independent counsel to the Independent Trustees regarding the responsibilities
of Trustees in connection with their consideration of whether to approve the
Trust's Investment Advisory Agreements. Finally, the Independent Trustees
receive advice from independent counsel to the Independent Trustees, meet in
executive session outside the presence of Fund management and participate in
question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, the Board requested and received written materials from SIMC and
each Sub-Adviser regarding: (a) the quality of SIMC's and Sub-Advisers'
investment management and other services; (b) SIMC's and Sub-Advisers'
investment management personnel; (c) SIMC's and Sub-Advisers' operations and
financial condition; (d) SIMC's and Sub-Advisers' brokerage practices (including
any soft dollar arrangements) and investment strategies; (e) the level of the
advisory fees that SIMC and each Sub-Adviser charges a Fund compared with the
fees each charges to comparable mutual funds; (f) a Fund's overall fees and
operating expenses compared with similar mutual funds; (g) the level of SIMC's
and each Sub-Adviser's profitability from its Fund-related operations; (h)
SIMC's and Sub-Advisers' compliance systems; (i) SIMC's and Sub-Advisers'
policies on and compliance procedures for personal securities transactions; (j)
SIMC's and Sub-Advisers' reputation, expertise and resources in domestic and/or
international financial markets; and (k) each Fund's performance compared with
similar mutual funds.
At the March 9, 2005 meeting of the Board of Trustees, the Trustees, including a
majority of the Independent Trustees, approved the Investment Advisory
Agreements and approved the selection of SIMC and the Sub-Advisers to act in
their respective capacities for the Funds. The Board's approval was based on its
consideration and evaluation of a variety of specific factors discussed at the
meetings and at prior meetings, including:
o the nature, extent and quality of the services provided to the Funds under
the Investment Advisory Agreements, including the resources of SIMC and the
Sub-Advisers and their affiliates dedicated to the Funds;
o each Fund's investment performance and how it compared to that of other
comparable mutual funds;
- --------------------------------------------------------------------------------
46 SEI Daily Income Trust / Semi-Annual Report / July 31, 2005
================================================================================
o each Fund's expenses under each Investment Advisory Agreement and how those
expenses compared to those of other comparable mutual funds;
o the profitability of SIMC and the Sub-Advisers and their affiliates with
respect to each Fund, including both direct and indirect benefits accruing
to SIMC and the Sub-Advisers and their affiliates; and
o the extent to which economies of scale would be realized as the Funds grow
and whether fee levels in the Investment Advisory Agreements reflect those
economies of scale for the benefit of Fund investors.
NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the
nature, extent and quality of the services provided by SIMC and the Sub-Advisers
to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates
dedicated to the Funds. In this regard, the Trustees evaluated, among other
things, SIMC's and the Sub-Advisers' personnel, experience, track record and
compliance program. Following evaluation, the Board concluded that, within the
context of its full deliberations, the nature, extent and quality of services
provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and
the Sub-Advisers and their affiliates dedicated to the Funds supported renewal
of the Investment Advisory Agreements.
FUND PERFORMANCE. The Board of Trustees considered Fund performance in
determining whether to renew the Investment Advisory Agreements. Specifically,
the Trustees considered each Fund's performance relative to its peer group and
appropriate indices/benchmarks, in light of total return, yield and market
trends. As part of this review, the Trustees considered the composition of the
peer group and selection criteria. In evaluating performance, the Trustees
considered both market risk and shareholder risk expectations for a given Fund.
Following evaluation, the Board concluded that, within the context of its full
deliberations, the performance of the Funds supported renewal of the Investment
Advisory Agreements.
FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory
Agreements, the Trustees considered the rate of compensation called for by the
Investment Advisory Agreements and each Fund's net operating expense ratio in
comparison to those of other comparable mutual funds. The Trustees also
considered information about average expense ratios of comparable mutual funds
in each Fund's respective peer group. Finally, the Trustees considered the
effects of SIMC's voluntary waiver of management and other fees and the
Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap
and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds'
net operating expenses at competitive levels for their respective distribution
channels. Following evaluation, the Board concluded that, within the context of
its full deliberations, the expenses of the Funds are reasonable and supported
renewal of the Investment Advisory Agreements.
PROFITABILITY. With regard to profitability, the Trustees considered all
compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly
or indirectly. The Trustees considered whether the varied levels of compensation
and profitability under the Investment Advisory Agreements and other service
agreements were reasonable and justified in light of the quality of all services
rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. Based
on this evaluation, the Board concluded that, within the context of its full
deliberations, the profitability of SIMC and the Sub-Advisers is reasonable and
supported renewal of the Investment Advisory Agreements.
ECONOMIES OF SCALE. The Trustees considered the existence of any economies of
scale and whether those were passed along to a Fund's shareholders through a
graduated investment advisory fee schedule or other means, including any fee
waivers by SIMC and its affiliates. Based on this evaluation, the Board
concluded that, within the context of its full deliberations, the Funds obtain
reasonable benefit from economies of scale.
Based on the Trustees' deliberation and their evaluation of the information
described above, the Board, including all of the Independent Trustees,
unanimously approved the continuation of the Investment Advisory Agreements and
concluded that the compensation under the Investment Advisory Agreements is fair
and reasonable in light of such services and expenses and such other matters as
the Trustees considered to be relevant in the exercise of their reasonable
judgment. In the course of their deliberations, the Trustees did not identify
any particular information that was all-important or controlling.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2005 47
================================================================================
Notes
================================================================================
Notes
================================================================================
Notes
================================================================================
Notes
================================================================================
Notes
================================================================================
SEI DAILY INCOME TRUST SEMI-ANNUAL REPORT JULY 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
Stephen F. Panner
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
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 LOGO OMITTED]
SEI Investments Distribution Co.
Oaks, PA 19456
1 800-DIAL-SEI (1 800 342 5734)
SEI-F-037 (7/05)
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable 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.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June
18th 2004, the Committee will review all shareholder recommendations for
nominations to fill vacancies on the Board if such recommendations are submitted
in writing and addressed to the Committee at the Trust's office.
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. Based on their evaluation, the certifying
officers have concluded that 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 have materially affected, or are reasonably likely to materially affect,
the registrant's internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by 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: September 28, 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: September 28, 2005
By (Signature and Title)* /s/ Stephen F. Panner
-----------------------------------
Stephen F. Panner, Controller & CFO
Date: September 28, 2005
* Print the name and title of each signing officer under his or her signature.