UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
--------
FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-03451
SEI DAILY INCOME TRUST
(Exact name of registrant as specified in charter)
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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: JANUARY 31, 2006
ITEM 1. REPORTS TO STOCKHOLDERS.
[BACKGROUND GRAPHIC OMITTED]
[SEI INVESTMENTS LOGO OMITTED]
Annual Report as of January 31, 2006
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
Letter to Shareholders 1
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Management's Discussion and Analysis of Fund Performance 2
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Statements of Net Assets 7
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Statements of Operations 34
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Statements of Changes in Net Assets 36
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Financial Highlights 40
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Notes to Financial Statements 45
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Report of Independent Registered Public Accounting Firm 52
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Trustees and Officers of the Trust 53
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Disclosure of Fund Expenses 56
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Board of Trustees Considerations in Approving the Continuation
of the Funds' Advisory and Sub-Advisory Agreements 58
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Notice to Shareholders 60
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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.
SEI DAILY INCOME TRUST -- JANUARY 31, 2006
Letter to Shareholders
TO OUR SHAREHOLDERS:
Overall, financial markets' activity was fairly positive throughout the fiscal
year ended January 2006. Before gaining minimal ground in the last three months
of the period, the equity markets moved in a tunnel fashion for much of the year
amid concern over inflationary pressures, rising interest rates, Hurricane
Katrina and continued uncertainty over geopolitical events.
On the back of solid economic growth and inflationary fears, the Federal Reserve
tightened monetary policy by raising the Fed Funds target 9 times during the
last twelve months, from 2.25% to 4.50%. Throughout this time frame, the Federal
Open Market Committee maintained a balanced risk assessment towards domestic
growth and price pressures.
Investors' continued demand for credit risk amidst the continued economic
expansion and continual improvement of the corporate sector via solid balance
sheets, and strong short-term business credit demands, helped to fuel the price
of corporate funding using commercial paper and other short-term corporate
obligations.
As the Federal Reserve pushed short-term rates higher, investments in money
market funds increased over the course of the fiscal year.
As always, we thank you for your continued confidence in the SEI Daily Income
Trust and we look forward to serving your investment needs in the future.
Sincerely,
/s/ Robert A. Nesher
Robert A. Nesher
President
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 1
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2006
Short-Duration Government Fund
Objectives
The Short-Duration Government Fund (the "Fund") seeks to preserve principal
value and maintain a high degree of liquidity while providing current income.
The Fund invests substantially all of its net assets in securities issued by the
U.S. Government and backed by its full faith and credit, and securities issued
by the U.S. Government agencies. The weighted average maturity of the Fund is
approximately three years. The Fund seeks to provide a higher level of
sustainable income and total return than money market investments, with limited
principal fluctuations.
Strategy
The Fund's weighted average maturity will be managed to take advantage of
anticipated changes in the direction of interest rates. The distribution of
maturities for individual securities will also be managed to take advantage of
expected changes in the shape of the yield curve. Treasury and agency securities
will form the core of the Fund, and agency-backed mortgage securities will be
utilized when their yields are judged to be attractive relative to those of
Treasuries and agencies.
Market Overview
The year ended January 31, 2006 proved to be challenging for the U.S. bond
market as investors contended with interest rate volatility, a Federal Open
Market Committee that was focused on raising rates, and the uncertainty
surrounding inflation. Short term rates climbed higher following the increasing
Federal Funds rate. Fed Funds futures priced in a steady pace of rate hikes,
predicting a 4.50% to 5.00% level by the middle of 2007. The market ended the
period with short rates (represented by the 6-month Treasury bill) higher by 185
basis points. With only moderate inflation expectations, the yield curve reacted
as expected, by continuing its flattening trend.
While interest rates seesawed throughout the period based on mixed economic
data, credit spreads in aggregate followed a one way trajectory wider. The front
end of the credit curve traded with a firmer tone and posted positive
performance. The springtime, however, was met with significant downgrades within
the automotive sector. By the end of the period, Ford and General Motors were
both downgraded below investment grade. The asset-backed security and commercial
mortgage-backed securities sectors of the market also turned in a solid
performance generating above index returns. The mortgage sector was hurt as
higher interest rates plagued the market leading to concerns surrounding
extension risk.
Analysis
For the fiscal year ended January 31, 2006, the Short-Duration Government Fund,
Class A posted a 1.93% return compared to a 1.87% return for its benchmark, the
Merrill Lynch 1-3 Year U.S. Treasury Bond Index. The Fund's defensive interest
rate posture relative to the Index was additive to performance as interest rates
rose for the year. The Fund's tactical curve positioning was also beneficial to
performance. Tactical exposure to the mortgage-backed securities sector and
Treasury Inflation Protected Securities (TIPS) was also a positive contributor
to performance.
Short-Duration Government Fund
AVERAGE ANNUAL TOTAL RETURN 1
- -------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
- -------------------------------------------------------------------------------
Short-Duration
Government Fund,
Class A 1.93% 1.48% 3.18% 4.54% 5.66%
- -------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the Short-Duration
Government Fund, Class A, versus the Merrill Lynch 1-3 Year U.S. Treasury Bond
Index. The chart assumes all dividends and capital gain distributions are
reinvested.
[Line Graph Omitted]
[Plot Points Follow]
Short-Duration Merrill Lynch 1-3 Year
Government Fund, U.S. Treasury Bond
Class A Index
1/31/96 $10,000 $10,000
1/31/97 10,462 10,458
1/31/98 11,218 11,210
1/31/99 11,946 11,926
1/31/00 12,212 12,239
1/31/01 13,328 13,388
1/31/02 14,165 14,349
1/31/03 14,914 15,143
1/31/04 15,145 15,464
1/31/05 15,291 15,567
1/31/06 15,586 15,858
1 For the period ended January 31, 2006. Past performance is not predictive
of future performance. Class A shares were offered beginning 2/17/87.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
- --------------------------------------------------------------------------------
2 SEI Daily Income Trust / Annual Report / January 31, 2006
Intermediate-Duration Government Fund
Objectives
The Intermediate-Duration Government Fund (the "Fund") seeks to preserve
principal value and maintain a high degree of liquidity while providing current
income. The Fund invests substantially all of its net assets in securities
issued by the U.S. Government and backed by its full faith and credit and
securities issued by the U.S. Government agencies. The weighted average maturity
of the Fund is three to five years. The Fund seeks to provide a higher level of
sustainable income and total return than money market investments, with limited
principal fluctuations.
Strategy
The Fund's weighted average maturity will be managed to take advantage of
anticipated changes in the direction of interest rates. The distribution of
maturities for individual securities will also be managed to take advantage of
expected changes in the shape of the yield curve. The Fund focuses on Treasury
and agency securities, and agency mortgage-backed securities will be utilized
when their prospects for enhancing income and total return are judged to be
attractive.
Market Overview
The year ended January 31, 2006 proved to be challenging for the U.S. bond
market as investors contended with interest rate volatility, a Federal Open
Market Committee that was focused on raising rates, and the uncertainty
surrounding inflation. Short term rates climbed higher following the increasing
Federal Funds rate. Fed Funds futures priced in a steady pace of rate hikes,
predicting a 4.50% to 5.00% level by the middle of 2007. The market ended the
period with short rates (represented by the 6-month Treasury bill) higher by 185
basis points. With only moderate inflation expectations, the yield curve reacted
as expected, by continuing its flattening trend.
While interest rates seesawed throughout the period based on mixed economic
data, credit spreads in aggregate followed a one way trajectory wider. The front
end of the credit curve traded with a firmer tone and posted positive
performance. The springtime, however, was met with significant downgrades within
the automotive sector. By the end of the period, Ford and General Motors were
both downgraded below investment grade. The asset-backed security and commercial
mortgage-backed securities sectors of the market also turned in solid
performances generating above index returns. The mortgage sector was hurt as
higher interest rates plagued the market leading to concerns surrounding
extension risk.
Analysis
For the fiscal year ended January 31, 2006, the Intermediate-Duration Government
Fund, Class A posted a return of 0.94% versus the 0.85% return of its benchmark,
the Merrill Lynch 3-5 Year U.S. Treasury Bond Index. The Fund's defensive
interest rate posture relative to the Index was additive to performance as
interest rates rose for the year. The Fund's tactical curve positioning also
proved to be positive to performance as the fund benefited from the flattening
yield curve. Exposure to the mortgage-backed securities sector and Treasury
Inflation Protected Securities (TIPS) was also a positive contributor to
performance.
Intermediate-Duration Government Fund
AVERAGE ANNUAL TOTAL RETURN 1
- -------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
- -------------------------------------------------------------------------------
Intermediate-Duration
Government Fund,
Class A 0.94% 1.92% 4.37% 5.24% 6.41%
- -------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the
Intermediate-Duration Government Fund, Class A, versus the Merrill Lynch 3-5
Year U.S. Treasury Bond Index. The chart assumes all dividends and capital gain
distributions are reinvested.
[Line Graph Omitted]
[Plot Points Follow]
Intermediate-Duration Merrill Lynch 3-5 Year
Government Fund, U.S. Treasury Bond
Class A Index
1/31/96 $10,000 $10,000
1/31/97 10,281 10,294
1/31/98 11,222 11,250
1/31/99 12,059 12,154
1/31/00 11,966 12,024
1/31/01 13,452 13,566
1/31/02 14,419 14,599
1/31/03 15,734 16,120
1/31/04 16,203 16,687
1/31/05 16,503 16,934
1/31/06 16,658 17,078
1 For the period ended January 31, 2006. Past performance is not predictive
of future performance. Class A shares were offered beginning 2/17/87.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 3
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2006
GNMA Fund
Objectives
The GNMA Fund (the "Fund") seeks to preserve principal value and maintain a high
degree of liquidity while providing current income. The Fund invests primarily
in mortgage-backed securities issued by the Government National Mortgage
Association.
Strategy
The Fund's investment strategy emphasizes the distribution of security coupon
rates, the weighted average coupon rate, and the selection of appropriate
underlying mortgage types. The selection of coupon rates affects the sensitivity
of the Fund to changes in reinvestment risk associated with loan prepayment. The
Fund will therefore tend to purchase somewhat lower coupons when interest rates
are expected to fall, and somewhat higher coupons when interest rates are
expected to be stable or rising.
Market Overview
The year ended January 31, 2006 proved to be challenging for the U.S. bond
market as investors contended with interest rate volatility, a Federal Open
Market Committee that was focused on raising rates, and the uncertainty
surrounding inflation. Short term rates climbed higher following the increasing
Federal Funds rate. Fed Funds futures priced in a steady pace of rate hikes,
predicting a 4.50% to 5.00% level by the middle of 2007. The market ended the
period with short rates (represented by the 6-month Treasury bill) higher by 185
basis points. With only moderate inflation expectations, the yield curve reacted
as expected, by continuing its flattening trend.
While interest rates seesawed throughout the period based on mixed economic
data, credit spreads in aggregate followed a one way trajectory wider. The front
end of the credit curve traded with a firmer tone and posted positive
performance. The springtime, however, was met with significant downgrades within
the automotive sector. By the end of the period, Ford and General Motors were
both downgraded below investment grade. The asset-backed security and commercial
mortgage-backed securities sectors of the market also turned in solid
performances generating above index returns. The mortgage sector was hurt as
higher interest rates plagued the market leading to concerns surrounding
extension risk.
Analysis
For the fiscal year ended January 31, 2006, the GNMA Fund, Class A posted a
2.60% return versus the 3.04% return of its benchmark, the Citigroup 30-Year
GNMA Index. The Fund was positioned for a rising interest rate environment which
helped overall returns. The Fund's tactical curve positioning also proved to be
positive to performance as the Fund benefited from the flattening yield curve.
In addition, the Fund's allocation to long U.S. Treasuries helped performance.
GNMA Fund
AVERAGE ANNUAL TOTAL RETURN 1
- -------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
- -------------------------------------------------------------------------------
GNMA Fund, Class A 2.60% 2.80% 4.64% 5.58% 6.89%
- -------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the GNMA Fund,
Class A, versus the Citigroup 30-Year GNMA Index. The chart assumes all
dividends and capital gain distributions are reinvested.
[Line Graph Omitted]
[Plot Points Follow]
GNMA Fund, Citigroup 30-Year
Class A GNMA Index
1/31/96 $10,000 $10,000
1/31/97 10,470 10,577
1/31/98 11,467 11,563
1/31/99 12,242 12,335
1/31/00 12,097 12,396
1/31/01 13,723 14,122
1/31/02 14,714 15,206
1/31/03 15,852 16,402
1/31/04 16,194 16,914
1/31/05 16,783 17,628
1/31/06 17,220 18,164
1 For the period ended January 31, 2006. Past performance is not predictive
of future performance. Class A shares were offered beginning 3/20/87.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
- --------------------------------------------------------------------------------
4 SEI Daily Income Trust / Annual Report / January 31, 2006
Ultra Short Bond Fund
Objectives
The Ultra Short Bond Fund (the "Fund") seeks to provide higher current income
than typically offered by a money market fund while maintaining a high degree of
liquidity and a correspondingly higher risk of principal volatility. The Fund
invests in U.S. Treasury and U.S. Agency securities, short average life
mortgage-backed securities, and short-term investment grade securities of U.S.
issuers. The duration of the Fund will range between six and eighteen months.
Strategy
The Fund seeks to provide a return in excess of the Lehman Brothers 9-12 Month
Treasury Index and to manage risk through the adviser's use of sector
strategies, security selection and duration management. In determining the
average maturity and duration position of the Fund, the adviser considers the
shape of the yield curve, the extent of yield changes and the period of time
over which rates are likely to rise, fall or remain stable. Investment in short
average life mortgage-backed issues and short-term investment grade securities
is emphasized when relative spreads are attractive and incremental yields serve
to enhance total return.
Market Overview
The year ended January 31, 2006 proved to be challenging for the U.S. bond
market as investors contended with interest rate volatility, a Federal Open
Market Committee that was focused on raising rates, and the uncertainty
surrounding inflation. Short term rates climbed higher following the increasing
Federal Funds rate. Fed Funds futures priced in a steady pace of rate hikes,
predicting a 4.50% to 5.00% level by the middle of 2007. The market ended the
period with short rates (represented by the 6-month Treasury bill) higher by 185
basis points. With only moderate inflation expectations, the yield curve reacted
as expected, by continuing its flattening trend.
While interest rates seesawed throughout the period based on mixed economic
data, credit spreads in aggregate followed a one way trajectory wider. The front
end of the credit curve traded with a firmer tone and posted positive
performance. The springtime, however, was met with significant downgrades within
the automotive sector. By the end of the period, Ford and General Motors were
both downgraded below investment grade. The asset-backed security and commercial
mortgage-backed securities sectors of the market also turned in a solid
performance generating above index returns. The mortgage sector was hurt as
higher interest rates plagued the market leading to concerns surrounding
extension risk.
Analysis
For the fiscal year ended January 31, 2006, the Ultra Short Bond Fund, Class A
returned 2.90%, versus the 2.66% return of its benchmark, the Lehman Brothers
9-12 Month Treasury Index. The Fund's defensive interest rate posture relative
to the benchmark and the substantial allocation to floating rate securities was
additive to performance as short term interest rates rose dramatically last
year. The Fund's tactical curve positioning also added positively to performance
as did exposure to asset-backed securities and the corporate bonds.
Ultra Short Bond Fund
AVERAGE ANNUAL TOTAL RETURN 1
- -------------------------------------------------------------------------------
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
- -------------------------------------------------------------------------------
Ultra Short Bond Fund
Fund, Class A 2.90% 1.87% 3.00% 4.42% 4.58%
- -------------------------------------------------------------------------------
Comparison of Change in the Value of a $10,000 Investment in the Ultra Short
Bond Fund, Class A, versus the Lehman Brothers 9-12 Month Treasury Index. The
chart assumes all dividends and capital gain distributions are reinvested.
[Line Graph Omitted]
[Plot Points Follow]
Ultra Short Bond Fund, Lehman Brothers 9-12 Month
Class A Treasury Index
1/31/96 $10,000 $10,000
1/31/97 10,521 10,558
1/31/98 11,183 11,219
1/31/99 11,810 11,869
1/31/00 12,255 12,386
1/31/01 13,291 13,322
1/31/02 14,099 14,058
1/31/03 14,571 14,472
1/31/04 14,806 14,687
1/31/05 14,970 14,820
1/31/06 15,404 15,215
1 For the period ended January 31, 2006. Past performance is no indication
of future performance. Class A shares were offered beginning 9/28/93.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 5
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE (CONTINUED)
SEI DAILY INCOME TRUST -- JANUARY 31, 2006
DEFINITION OF THE COMPARATIVE INDICES*
CITIGROUP 30-YEAR GNMA INDEX is a widely-recognized, market weighted index of
GNMA mortgage-backed securities with remaining maturities of 30 years or less.
LEHMAN BROTHERS 9-12 MONTH TREASURY INDEX is a widely-recognized, market
weighted index of U.S. Treasury Bonds with remaining maturities between nine and
twelve months.
MERRILL LYNCH 1-3 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market
weighted index of U.S. Treasury Bonds with maturities between one and three
years.
MERRILL LYNCH 3-5 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market
weighted index of U.S. Treasury Bonds with maturities between three and five
years.
* An index measures the market price of a specific group of securities in a
particular market or securities in a market sector. You cannot invest
directly in an index. An index does not have an investment adviser and
does not pay any commissions or expenses. If an index had expenses, its
performance would be lower.
- --------------------------------------------------------------------------------
6 SEI Daily Income Trust / Annual Report / January 31, 2006
STATEMENT OF NET ASSETS
Money Market Fund
January 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[Bar Chart Omitted]
[Plot Points Follow]
40.3% Commercial Paper
26.0% Certificates of Deposit
15.9% Corporate Bonds
8.7% Repurchase Agreement
4.6% Insurance Funding Agreements
4.5% Municipal Bonds
*Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (A) -- 40.4%
ASSET BACKED - FINANCIAL SERVICES (E) -- 37.5%
Amstel Funding
4.378%, 02/28/06 $ 5,000 $ 4,984
4.505%, 04/10/06 25,000 24,790
Atlantis One Funding
3.989%, 02/23/06 20,000 19,952
CRC Funding LLC
4.343%, 02/09/06 10,000 9,990
Charta LLC
4.388%, 02/27/06 8,000 7,975
Concord Minutemen Capital
4.650%, 07/10/06 29,634 29,039
Crown Point Capital
4.000%, 02/14/06 25,000 24,965
Curzon Funding LLC
4.439%, 03/13/06 20,000 19,902
Eureka Securitization
4.320%, 02/21/06 15,000 14,964
Gemini Securitization LLC
4.298%, 02/17/06 15,000 14,972
Grampian Funding LLC
4.050%, 03/22/06 10,000 9,946
Klio Funding
4.456%, 03/08/06 13,256 13,199
Klio II Funding
4.413%, 02/28/06 13,310 13,266
Klio III Funding
4.456%, 03/08/06 15,275 15,210
Lake Constance Funding LLC
4.183%, 02/06/06 8,500 8,495
New Center Asset Trust
4.285%, 02/07/06 30,000 29,979
4.296%, 02/13/06 10,000 9,986
Paradigm Funding LLC
4.026%, 02/28/06 42,500 42,374
Sunbelt Funding
4.270%, 02/10/06 9,000 8,991
-------------
322,979
-------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
INVESTMENT BANKER/BROKER DEALER -- 2.9%
Goldman Sachs Group
4.503%, 02/01/06 $ 25,000 $ 25,000
-------------
Total Commercial Paper
(Cost $347,979) ($ Thousands) 347,979
-------------
CERTIFICATES OF DEPOSIT -- 26.1%
Bank of Tokyo - Mitsubishi NY
4.800%, 01/11/07 7,000 7,000
Barclays Bank PLC NY
4.200%, 02/17/06 10,000 10,000
Canadian Imperial Bank of
Commerce NY
4.802%, 12/05/06 6,000 6,000
Credit Suisse First Boston NY
4.750%, 11/07/06 10,000 10,000
Credit Suisse First Boston NY (B)
4.575%, 04/18/06 15,000 15,000
4.538%, 04/12/06 8,500 8,500
Depfa Bank PLC NY
4.800%, 12/05/06 6,000 6,000
Deutsche Bank
4.805%, 02/21/07 8,000 8,000
Deutsche Bank NY
4.105%, 08/25/06 8,000 8,000
HBOS Treasury Services
3.290%, 03/15/06 5,000 5,000
HSBC Finance (A)
4.459%, 03/13/06 15,000 14,926
Landesbank Hessen-Thueringen GZ
3.250%, 02/17/06 10,000 10,000
Morgan Stanley Dean Witter (B)
4.580%, 02/01/06 35,000 35,000
Standard Federal Bank
4.140%, 07/24/06 15,000 15,000
Svenska Handels NY (B)
4.430%, 02/21/06 25,000 24,997
Thornburg Mortgage Capital (A)
4.463%, 02/06/06 21,100 21,087
Unicredito Italiano NY (B)
4.366%, 02/28/06 20,000 20,000
-------------
Total Certificates of Deposit
(Cost $224,510) ($ Thousands) 224,510
-------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 7
STATEMENT OF NET ASSETS
Money Market Fund (Concluded)
January 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE BONDS -- 16.0%
ASSET BACKED - FINANCIAL SERVICES (B) (E) (F) -- 5.5%
Atlas Capital Funding
MTN
4.510%, 02/25/06 $ 25,000 $ 25,000
K2 LLC MTN
4.373%, 03/07/06 10,000 10,000
Mesa Properties LLC
4.640%, 02/01/06 2,500 2,500
Premier Asset Collateralized Entity LLC
MTN
4.570%, 02/16/06 10,000 10,000
-------------
47,500
-------------
ASSET BACKED - OTHER (B) (E) (F) -- 8.1%
Harrier Finance Funding LLC MTN
4.430%, 02/17/06 30,000 29,999
Healthcare Property Group PLC
4.470%, 02/01/06 11,960 11,960
Paragon Mortgages PLC,
Ser 10A, Cl A1
4.470%, 02/15/06 25,000 25,000
Residential Mortgage Securities,
Ser 17A, Cl A1
4.480%, 02/13/06 2,867 2,867
-------------
69,826
-------------
BANKS -- 1.2%
Northern Rock PLC (B) (F)
4.396%, 02/05/06 10,000 10,000
-------------
INVESTMENT BANKER/BROKER DEALER -- 1.2%
Goldman Sachs Group (B) (C)
4.501%, 02/13/06 10,000 10,000
-------------
Total Corporate Bonds
(Cost $137,326) ($ Thousands) 137,326
-------------
INSURANCE FUNDING AGREEMENTS (B) (C) (G) -- 4.6%
Metropolitan Life Insurance
4.330%, 02/01/06 30,000 30,000
Monumental Life Insurance
4.570%, 03/01/06 9,500 9,500
-------------
Total Insurance Funding Agreements
(Cost $39,500) ($ Thousands) 39,500
-------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS (B) -- 4.4%
COLORADO -- 1.4%
Denver City, City & County School
District, Ser B, COP, AMBAC
4.430%, 02/15/06 $ 12,400 $ 12,400
-------------
GEORGIA -- 0.8%
Athens-Clarke County, Industrial
Development Authority, Allen
Properties Incorporated, RB (E)
4.470%, 02/01/06 7,095 7,095
-------------
TEXAS -- 2.1%
Harris County, Sports Authority,
National Football League Project,
Ser E, RB, MBIA
4.520%, 02/15/06 2,900 2,900
Texas State, Small Business Project,
Ser B, GO
4.480%, 02/01/06 10,000 10,000
Texas State, Veterans Funding II
Project, Ser D, GO
4.430%, 02/01/06 5,270 5,270
-------------
Total Texas 18,170
-------------
UTAH -- 0.1%
Utah State, Board of Regents, Student
Loan Authority, Ser X, RB, AMBAC
4.460%, 02/01/06 1,000 1,000
-------------
Total Municipal Bonds
(Cost $38,665) ($ Thousands) 38,665
-------------
REPURCHASE AGREEMENT (D) -- 8.8%
Deutsche Bank
4.450%, dated 01/31/06,
to be repurchased on 02/01/06,
repurchase price $75,506,332
(collateralized by various FNMA
obligations, ranging in par value
$17,283,000-$20,000,000,
3.750%-5.400%, 04/05/06-
04/08/14, with total market
value $77,007,774) 75,497 75,497
-------------
Total Repurchase Agreement
(Cost $75,497) ($ Thousands) 75,497
-------------
Total Investments -- 100.3%
(Cost $863,477) ($ Thousands) 863,477
-------------
- --------------------------------------------------------------------------------
8 SEI Daily Income Trust / Annual Report / January 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (0.3)%
Income Distribution Payable $ (2,232)
Payable for Fund Shares Redeemed (2,128)
Shareholder Servicing Fees Payable (221)
Administration Fees Payable (109)
Investment Advisory Fees Payable (18)
Other Assets and Liabilities, Net 2,468
-------------
Total Other Assets and Liabilities (2,240)
-------------
Net Assets -- 100.0% $ 861,237
=============
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 861,249
Accumulated net realized loss on investments (12)
-------------
Net Assets $ 861,237
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($392,207,350 / 392,226,170 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($123,850,760 / 123,840,943 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($232,071,978 / 232,084,121 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($113,106,929 / 113,106,077 shares) $1.00
=============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on January 31, 2006. The date shown is the
earlier of the reset date or the demand date.
(C) Securities considered illiquid. The total value of such securities as of
January 31, 2006, was $49,500 ($ Thousands) and represented 5.75% of Net
Assets.
(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." The total value of such securities as of January
31, 2006 was $127,326 ($ Thousands) and represented 14.78% of Net Assets.
These securities have been deemed liquid by the Board of Trustees.
(G) Securities are considered restricted. The total value of such securities
as of January 31, 2006 was $39,500 ($ Thousands) and represented 4.59% of
Net Assets.
AMBAC -- American Municipal Bond Assurance Company
Cl -- Class
COP -- Certificate of Participation
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.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 9
STATEMENT OF NET ASSETS
Government Fund
January 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[Bar Chart Omitted]
[Plot Points Follow]
75.2% U.S. Government Agency Obligations
24.8% Repurchase Agreements
*Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 75.1%
FFCB (B)
4.265%, 02/01/06 $ 10,000 $ 10,000
4.260%, 02/01/06 50,000 50,005
4.250%, 02/01/06 35,000 34,997
4.240%, 02/01/06 30,000 29,995
4.500%, 02/28/06 30,000 29,999
FHLB
5.125%, 03/06/06 2,000 2,003
2.500%, 04/11/06 10,000 9,979
4.000%, 08/11/06 12,000 12,000
3.875%, 12/20/06 8,000 7,943
FHLB (B)
4.195%, 02/10/06 10,000 9,998
4.360%, 03/13/06 15,000 14,996
4.400%, 03/29/06 25,000 24,989
FHLMC
1.875%, 02/15/06 10,000 9,991
3.700%, 06/30/06 7,162 7,160
FHLMC (B)
4.366%, 03/20/06 30,000 29,988
4.366%, 03/22/06 25,000 24,993
FHLMC DN (A)
4.159%, 02/07/06 50,000 49,966
FHLMC MTN
3.000%, 06/29/06 1,000 995
2.000%, 06/30/06 5,000 4,960
2.050%, 07/14/06 2,000 1,984
2.200%, 07/28/06 2,000 1,981
2.800%, 01/26/07 6,700 6,572
FNMA
2.300%, 04/28/06 1,230 1,225
2.730%, 05/19/06 7,250 7,222
5.250%, 06/15/06 5,645 5,670
2.100%, 07/06/06 10,000 9,894
4.000%, 08/18/06 15,000 14,988
FNMA (B)
4.298%, 02/07/06 75,000 74,999
4.267%, 02/22/06 40,000 39,996
4.375%, 03/21/06 5,000 4,999
4.360%, 03/21/06 25,000 24,986
-------------
Total U.S. Government Agency Obligations
(Cost $559,473) ($ Thousands) 559,473
-------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (C) -- 24.8%
Deutsche Bank
4.450%, dated 01/31/06,
to be repurchased on 02/01/06,
repurchase price $64,959,029
(collateralized by various FHLB/
FHLMC/FNMA obligations,
ranging in par value $1,777,000-
$20,480,000, 3.000%-5.380%,
02/24/06-06/16/20, with total
market value $66,250,681) $ 64,951 $ 64,951
Goldman Sachs Group
4.400%, dated 01/31/06,
to be repurchased on 02/01/06,
repurchase price $120,014,667
(collateralized by various
FHLB/FHLMC/FNMA obligations,
ranging in par value $3,152,000-
$46,820,000, 4.020%-5.500%,
02/15/06-05/15/21, with total
market value $122,404,780) 120,000 120,000
-------------
Total Repurchase Agreements
(Cost $184,951) ($ Thousands) 184,951
-------------
Total Investments -- 99.9%
(Cost $744,424) ($ Thousands) 744,424
-------------
OTHER ASSETS AND LIABILITIES -- 0.1%
Income Distribution Payable (1,542)
Administration Fees Payable (106)
Shareholder Servicing Fees Payable (103)
Investment Advisory Fees Payable (15)
Other Assets and Liabilities, Net 2,589
-------------
Total Other Assets and Liabilities 823
-------------
Net Assets -- 100.0% $ 745,247
=============
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 745,315
Accumulated net realized loss on investments (68)
-------------
Net Assets $ 745,247
=============
- --------------------------------------------------------------------------------
10 SEI Daily Income Trust / Annual Report / January 31, 2006
- --------------------------------------------------------------------------------
Description Value
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($467,445,449 / 467,477,945 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($122,024,618 / 122,040,903 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($129,415,972 / 129,436,419 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($26,360,839 / 26,364,702 shares) $1.00
=============
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on January 31, 2006. The date shown is the
earlier of the reset date or the demand date.
(C) Tri-Party Repurchase Agreement.
DN -- Discount Note
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
MTN -- Medium Term Note
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 11
STATEMENT OF NET ASSETS
Government II Fund
January 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[Bar Chart Omitted]
[Plot Points Follow]
100.0% U.S. Government Agency Obligations
*Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 100.1%
FFCB (B)
4.280%, 02/01/06 $ 11,530 $ 11,530
4.265%, 02/01/06 10,000 10,000
4.250%, 02/01/06 60,000 59,994
4.240%, 02/01/06 30,000 29,995
FHLB
5.125%, 03/06/06 2,000 2,003
2.650%, 03/30/06 1,000 998
2.500%, 04/11/06 10,000 9,979
4.150%, 04/28/06 8,000 8,000
4.000%, 08/11/06 2,000 2,000
3.875%, 12/20/06 20,000 19,858
3.750%, 01/16/07 10,000 9,902
FHLB (B)
4.248%, 02/02/06 75,000 74,969
4.150%, 02/02/06 2,545 2,545
4.195%, 02/10/06 10,000 9,998
4.360%, 03/13/06 15,000 14,996
4.404%, 03/28/06 20,000 19,998
4.400%, 03/29/06 25,000 24,989
4.396%, 04/04/06 10,000 9,996
FHLB DN (A)
4.341%, 02/01/06 74,029 74,029
3.722%, 02/03/06 20,000 19,996
4.239%, 02/08/06 5,000 4,996
4.269%, 02/10/06 100,000 99,894
4.331%, 02/15/06 50,000 49,916
4.277%, 02/17/06 80,000 79,849
4.297%, 02/22/06 100,000 99,750
-------------
Total U.S. Government Agency Obligations
(Cost $750,180) ($ Thousands) 750,180
-------------
Total Investments -- 100.1%
(Cost $750,180) ($ Thousands) 750,180
-------------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (0.1)%
Income Distribution Payable $ (2,122)
Administration Fees Payable (110)
Shareholder Servicing Fees Payable (45)
Investment Advisory Fees Payable (15)
Other Assets and Liabilities, Net 1,427
-------------
Total Other Assets and Liabilities (865)
-------------
Net Assets -- 100.0% $ 749,315
=============
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 749,330
Accumulated net realized loss on investments (15)
-------------
Total Net Assets $ 749,315
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($576,241,830 / 576,370,309 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($168,615,980 / 168,610,514 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($4,457,539 / 4,449,150 shares) $1.00
=============
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on January 31, 2006. The date shown is the
earlier of the reset date or the demand date.
DN -- Discount Note
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12 SEI Daily Income Trust / Annual Report / January 31, 2006
Prime Obligation Fund
January 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[Bar Chart Omitted]
[Plot Points Follow]
49.6% Commercial Paper
17.7% Certificates of Deposit
14.3% Corporate Bonds
9.2% Repurchase Agreement
7.4% Insurance Funding Agreements
1.4% Time Desposit
0.4% Municipal Bond
*Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (A) -- 49.6%
ASSET BACKED - FINANCIAL SERVICES (E) -- 43.6%
Amstel Funding
4.505%, 04/10/06 $ 87,403 $ 86,668
4.684%, 07/11/06 75,000 73,473
Atlantis One Funding
3.999%, 02/22/06 67,826 67,671
4.051%, 03/21/06 100,000 99,471
CC USA MTN
4.010%, 03/22/06 40,000 39,786
CRC Funding LLC
4.343%, 02/09/06 40,000 39,962
Charta LLC
4.388%, 02/27/06 40,000 39,874
Dorada Finance
4.436%, 03/13/06 40,000 39,805
Eureka Securitization
4.320%, 02/21/06 50,000 49,881
Galaxy Funding
4.500%, 04/11/06 47,500 47,095
Gemini Securitization LLC
4.298%, 02/17/06 60,000 59,887
Giro Funding US
4.020%, 02/22/06 65,000 64,851
Gotham Funding
4.466%, 02/17/06 60,073 59,954
Grampian Funding LLC
4.320%, 02/21/06 50,000 49,881
Greyhawk Funding LLC
4.285%, 02/07/06 175,000 174,876
Harrier Finance Funding US LLC
4.438%, 03/06/06 36,000 35,855
Klio II Funding
4.476%, 02/17/06 63,716 63,590
New Center Asset Trust
4.285%, 02/07/06 50,000 49,965
4.296%, 02/13/06 39,000 38,945
4.297%, 02/15/06 50,000 49,917
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Paradigm Funding LLC
4.026%, 02/28/06 $ 180,000 $ 179,467
Picaros Funding LLC
4.666%, 07/10/06 88,839 87,050
Silver Tower US Funding
4.468%, 02/21/06 107,000 106,735
Solitaire Funding LLC
4.413%, 02/27/06 39,000 38,877
Surrey Funding
4.500%, 04/10/06 82,500 81,807
Sydney Capital
4.445%, 02/13/06 212,540 212,226
-------------
1,937,569
-------------
INVESTMENT BANKER/BROKER DEALER -- 6.0%
Goldman Sachs Group
4.503%, 02/01/06 200,000 200,000
Lehman Brothers Holdings
4.620%, 08/01/06 70,000 68,429
-------------
268,429
-------------
Total Commercial Paper
(Cost $2,205,998) ($ Thousands) 2,205,998
-------------
CERTIFICATES OF DEPOSIT -- 17.7%
Citibank NA
4.340%, 02/17/06 50,000 50,000
Dorada Finance
3.630%, 04/28/06 25,000 24,939
Lasalle National Bank
4.070%, 07/26/06 38,250 38,250
Morgan Stanley Dean Witter (B)
4.580%, 02/01/06 175,000 175,000
Sigma Finance
4.850%, 02/12/07 30,000 30,000
Standard Federal Bank
4.140%, 07/24/06 65,500 65,500
SunTrust Bank
4.290%, 04/13/06 158,750 158,707
Thornburg Mortgage Capital (A)
4.431%, 02/03/06 70,000 69,983
4.485%, 02/14/06 75,000 74,879
Wells Fargo Bank NA
4.790%, 01/18/07 81,000 81,010
White Pine Finance LLC (B)
4.320%, 02/21/06 19,000 18,999
-------------
Total Certificates of Deposit
(Cost $787,267) ($ Thousands) 787,267
-------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 13
STATEMENT OF NET ASSETS
Prime Obligation Fund (Concluded)
January 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE BONDS -- 14.4%
ASSET BACKED - FINANCIAL SERVICES (B) (E) (F) -- 2.2%
Atlas Capital Funding MTN
4.510%, 08/25/06 $ 48,500 $ 48,499
K2 (USA) LLC MTN
4.340%, 11/15/06 50,000 50,009
-------------
98,508
-------------
ASSET BACKED - OTHER (B) (E) (F) -- 3.4%
Harrier Finance Funding LLC MTN
4.430%, 12/15/06 50,000 49,987
Premier Asset Collateralized Entity LLC
MTN
4.570%, 01/16/07 25,000 25,000
Whistlejacket Capital LLC MTN
4.345%, 02/06/06 75,000 75,000
-------------
149,987
-------------
BANKS -- 3.8%
American Express Bank (B)
4.440%, 04/18/06 9,500 9,500
4.430%, 11/16/06 147,000 146,988
Banc One
6.500%, 02/01/06 10,650 10,650
-------------
167,138
-------------
INVESTMENT BANKER/BROKER DEALER -- 5.0%
Goldman Sachs Group (C)
4.501%, 09/13/07 20,000 20,000
Links Finance LLC MTN (B)
4.425%, 10/16/06 150,000 149,984
4.567%, 11/20/06 50,000 49,996
-------------
219,980
-------------
Total Corporate Bonds
(Cost $635,613) ($ Thousands) 635,613
-------------
INSURANCE FUNDING AGREEMENTS (B) (C) (G) -- 7.4%
Metropolitan Life Insurance
4.330%, 05/01/06 160,000 160,000
Monumental Life Insurance
4.570%, 06/01/06 101,500 101,500
Travelers Insurance
4.480%, 05/31/06 68,000 68,000
-------------
Total Insurance Funding Agreements
(Cost $329,500) ($ Thousands) 329,500
-------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
TIME DEPOSIT -- 1.5%
SunTrust Bank
4.480%, 02/01/06 $ 64,159 $ 64,159
-------------
Total Time Deposit
(Cost $64,159) ($ Thousands) 64,159
-------------
MUNICIPAL BOND (B) -- 0.3%
Texas State, Veterans Funding I Project,
Ser C, GO
4.430%, 12/01/25 15,330 15,330
-------------
Total Municipal Bond
(Cost $15,330) ($ Thousands) 15,330
-------------
REPURCHASE AGREEMENT (D) -- 9.2%
Deutsche Bank
4.450%, dated 01/31/06,
to be repurchased on 02/01/06,
repurchase price $408,098,439
(collateralized by various FHLB/
FHLMC/FNMA obligations,
ranging in par value $2,717,000-
$113,189,000, 3.000%-6.000%,
02/28/06-12/21/15, with total
market value $416,209,301) 408,048 408,048
-------------
Total Repurchase Agreement
(Cost $408,048) ($ Thousands) 408,048
-------------
Total Investments -- 100.1%
(Cost $4,445,915) ($ Thousands) 4,445,915
-------------
OTHER ASSETS AND LIABILITIES -- (0.1)%
Income Distribution Payable (12,164)
Administration Fees Payable (629)
Shareholder Servicing Fees Payable (523)
Payable for Fund Shares Redeemed (151)
Investment Advisory Fees Payable (91)
Other Assets and Liabilities, Net 11,309
-------------
Total Other Assets and Liabilities (2,249)
-------------
Net Assets -- 100.0% $ 4,443,666
=============
- --------------------------------------------------------------------------------
14 SEI Daily Income Trust / Annual Report / January 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 4,443,770
Accumulated net realized loss on investments (104)
-------------
Net Assets $ 4,443,666
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($2,957,073,279 / 2,957,252,063 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($625,831,033 / 625,815,912 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($779,625,236 / 779,569,663 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class H
($36,005,835 / 36,007,039 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($45,130,119 / 45,126,364 shares) $1.00
=============
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets
is the rate in effect on January 31, 2006. The date shown is the earlier of
the reset date or the demand date.
(C) Securities considered illiquid. The total value of such securities as of
January 31, 2006 was $349,500 ($ Thousands) and represented 7.87% of the Net
Assets.
(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." The total value of such securities as of January 31,
2006 was $248,495 ($ Thousands) and represented 5.59% of Net Assets. These
securities have been deemed liquid by the Board of Trustees.
(G) Securities are considered restricted. The total value of such securities as
of January 31, 2006 was $329,500 ($ Thousands) and represented 7.42% of Net
Assets.
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GO -- General Obligation
LLC -- Limited Liability Company
MTN -- Medium Term Note
NA -- National Association
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 15
STATEMENT OF NET ASSETS
Treasury Fund
January 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[Bar Chart Omitted]
[Plot Points Follow]
96.9% Repurchase Agreements
3.1% U.S. Treasury Obligation
*Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION --3.1%
U.S. Treasury Notes
1.625%, 02/28/06 $ 20,000 $ 19,968
-------------
Total U.S. Treasury Obligation
(Cost $19,968) ($ Thousands) 19,968
-------------
REPURCHASE AGREEMENTS (A) -- 97.2%
Barclays Capital
4.390%, dated 01/31/06,
to be repurchased on 02/01/06,
repurchase price $153,018,658
(collateralized by various
U.S. Treasury Bills and Notes,
ranging in par value $25,617,000-
$80,708,000, 4.250%-8.125%,
03/30/06-05/15/21, with total
market value $156,060,817) 153,000 153,000
Bear Stearns
4.400%, dated 01/31/06, to be
repurchased on 02/01/06,
repurchase price $100,012,222
(collateralized by various
U.S. Treasury Bills and Notes,
ranging in par value $1,572,000-
$100,000,000, 4.000%-4.240%,
03/09/06-09/30/07, with total
market value $102,049,917) 100,000 100,000
BNP Paribas
4.380%, dated 01/31/06, to be
repurchased on 02/01/06,
repurchase price $153,018,615
(collateralized by various
U.S. Treasury Bills and Notes,
ranging in par value $19,854,000-
$76,508,000, 2.000%-4.875%,
02/15/12-04/15/29, with total
market value $156,061,611) 153,000 153,000
Lehman Brothers
4.360%, dated 01/31/06, to be
repurchased on 02/01/06,
repurchase price $67,324,153
(collateralized by a U.S. Treasury
Bond, par value $47,950,000,
8.750%, 05/15/20, with total
market value $68,664,968) 67,316 67,316
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley
4.380%, dated 01/31/06, to be
repurchased on 02/01/06,
repurchase price $153,018,615
(collateralized by various
U.S. Treasury Notes, ranging in
par value $12,000-$111,156,000,
4.609%-4.850%, 11/15/24-
05/15/27, with total market
value $156,060,095) $ 153,000 $ 153,000
-------------
Total Repurchase Agreements
(Cost $626,316) ($ Thousands) 626,316
-------------
Total Investments -- 100.3%
(Cost $646,284) ($ Thousands) 646,284
-------------
OTHER ASSETS AND LIABILITIES -- (0.3)%
Income Distribution Payable (1,723)
Shareholder Servicing Fees Payable (162)
Administration Fees Payable (87)
Investment Advisory Fees Payable (12)
Other Assets and Liabilities, Net 231
-------------
Total Other Assets and Liabilities (1,753)
--------------
Net Assets -- 100.0% $ 644,531
=============
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 644,624
Accumulated net realized loss on investments (93)
-------------
Net Assets $ 644,531
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($208,096,449 / 208,132,245 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($239,461,429 / 239,500,885 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($113,402,577 / 113,414,243 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($83,570,342 / 83,576,471 shares) $1.00
=============
(A) Tri-Party Repurchase Agreement.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16 SEI Daily Income Trust / Annual Report / January 31, 2006
Treasury II Fund
January 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[Bar Chart Omitted]
[Plot Points Follow]
100.0% U.S. Treasury Obligations
*Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 99.8%
U.S. Treasury Bills (A)
3.927%, 02/16/06 $ 77,200 $ 77,074
4.131%, 02/23/06 2,459 2,453
U.S. Treasury Notes
1.625%, 02/28/06 172,020 171,705
-------------
Total U.S. Treasury Obligations
(Cost $251,232) ($ Thousands) 251,232
-------------
Total Investments -- 99.8%
(Cost $251,232) ($ Thousands) 251,232
-------------
OTHER ASSETS AND LIABILITIES -- 0.2%
Income Distribution Payable (665)
Administration Fees Payable (49)
Shareholder Servicing Fees Payable (20)
Investment Advisory Fees Payable (5)
Other Assets and Liabilities, Net 1,182
-------------
Total Other Assets and Liabilities 443
-------------
Net Assets -- 100.0% $ 251,675
=============
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 251,803
Accumulated net realized loss on investments (128)
-------------
Net Assets $ 251,675
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($178,479,786 / 178,734,181 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($70,593,299 / 70,608,524 shares) $1.00
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($2,602,311 / 2,608,325 shares) $1.00
=============
(A) The rate reported is the effective yield at time of purchase.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 17
STATEMENT OF NET ASSETS
Short-Duration Government Fund
January 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[Bar Chart Omitted]
[Plot Points Follow]
52.1% U.S. Government Mortgage-Backed Obligations
34.9% U.S. Government Agency Obligations
10.8% U.S. Treasury Obligations
2.2% Repurchase Agreement
*Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 51.5%
FHLMC
5.500%, 07/01/17 to 05/01/20 $ 7,606 $ 7,653
4.500%, 09/15/24 4,261 4,217
FHLMC (A)
5.959%, 01/01/07 84 85
5.790%, 10/01/06 459 468
5.763%, 09/01/06 6,615 6,839
5.586%, 11/01/06 142 145
5.560%, 12/01/06 85 87
5.501%, 06/01/06 117 121
5.500%, 08/01/06 28 29
5.422%, 11/01/06 104 106
5.402%, 07/01/06 110 113
5.393%, 10/01/06 139 142
5.389%, 08/01/06 286 292
5.375%, 08/01/06 29 30
5.351%, 05/01/06 257 266
5.342%, 08/01/06 412 419
5.285%, 06/01/06 347 354
5.250%, 08/01/06 54 54
5.248%, 05/01/06 60 61
5.168%, 09/01/06 411 417
5.132%, 05/01/06 6 6
5.125%, 07/01/06 17 17
4.875%, 06/01/06 to 08/01/06 26 26
4.766%, 12/01/06 60 61
4.750%, 02/01/06 76 78
4.625%, 06/01/06 12 12
4.375%, 03/01/06 to 09/01/06 57 57
4.373%, 11/01/06 52 54
4.250%, 02/01/06 to 01/01/07 36 36
4.125%, 09/01/06 to 12/01/06 42 43
4.000%, 02/01/06 to 10/01/06 27 28
3.750%, 01/01/07 9 9
3.500%, 10/01/06 to 11/01/06 25 25
FHLMC REMIC, Ser 2061, Cl TA
5.250%, 10/15/27 114 114
FHLMC REMIC, Ser 2481, Cl BC
5.250%, 08/15/30 102 102
FHLMC REMIC, Ser 2617, Cl UN
4.500%, 08/15/12 2,597 2,579
FHLMC REMIC, Ser 2630, Cl KN
2.500%, 04/15/13 2,500 2,415
FHLMC REMIC, Ser 2684, Cl GN
3.250%, 05/15/23 1,851 1,813
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC REMIC, Ser 2684, Cl QM
3.500%, 03/15/19 $ 2,069 $ 2,052
FHLMC REMIC, Ser 2689, Cl PY
4.000%, 02/15/10 1,904 1,895
FHLMC REMIC, Ser 2691, Cl OK
3.500%, 05/15/17 957 949
FHLMC REMIC, Ser 2727, Cl PA
4.125%, 08/15/18 1,648 1,636
FHLMC REMIC, Ser 2750, Cl NA
3.500%, 03/15/15 2,709 2,686
FHLMC REMIC, Ser 2750, Cl OA
3.500%, 10/15/11 1,841 1,827
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 2,358 2,312
FHLMC REMIC, Ser 2760, Cl PK
4.500%, 10/15/21 2,947 2,927
FHLMC REMIC, Ser T-42, Cl A5
7.500%, 02/25/42 1,634 1,706
FNMA
6.775%, 10/01/07 538 547
6.610%, 04/01/09 158 163
6.490%, 08/01/08 544 556
6.270%, 11/01/07 866 875
6.229%, 12/01/08 2,428 2,475
6.210%, 08/01/08 1,279 1,300
6.130%, 10/01/08 144 147
6.085%, 10/01/08 366 372
6.080%, 09/01/08 902 915
6.010%, 06/01/09 341 346
5.735%, 01/01/09 1,354 1,371
5.016%, 02/01/13 96 95
4.621%, 04/01/13 197 192
4.500%, 07/01/19 to 03/01/20 645 627
FNMA (A)
6.031%, 02/25/06 34 36
5.768%, 05/01/06 2,141 2,215
5.592%, 07/01/06 2,658 2,737
5.551%, 04/01/06 970 989
5.250%, 09/01/06 715 726
5.244%, 07/01/06 2,751 2,802
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23 164 164
FNMA REMIC, Ser 1995-13, Cl C
6.500%, 10/25/08 202 204
FNMA REMIC, Ser 1997-M5, Cl B
6.650%, 08/25/07 275 278
FNMA REMIC, Ser 2001-53, Cl CA
5.750%, 06/25/31 306 305
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17 2,000 2,022
FNMA REMIC, Ser 2002-34, Cl FE (A)
4.870%, 02/18/06 516 519
FNMA REMIC, Ser 2002-53, Cl FK (A)
4.930%, 02/25/06 708 710
- --------------------------------------------------------------------------------
18 SEI Daily Income Trust / Annual Report / January 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA REMIC, Ser 2002-63, Cl QF (A)
4.830%, 02/25/06 $ 1,179 $ 1,184
FNMA REMIC, Ser 2003-57, Cl KL
3.500%, 03/25/09 339 337
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/33 1,993 1,821
FNMA REMIC, Ser G92-61, Cl FA (A)
5.181%, 02/25/06 363 367
FNMA REMIC, Ser G93-5, Cl Z
6.500%, 02/25/23 71 72
GNMA
7.500%, 01/15/11 to 02/15/11 49 52
6.500%, 06/15/16 to 09/15/17 2,587 2,667
6.000%, 06/15/16 to 09/15/19 1,457 1,500
GNMA REMIC, Ser 2002-24, Cl FA (A)
4.970%, 02/16/06 580 585
GNMA REMIC, Ser 2005-74, Cl HA
7.500%, 09/16/35 349 368
GNMA REMIC, Ser 2005-74, Cl HB
7.500%, 09/16/35 151 158
-------------
Total U.S. Government Mortgage-Backed
Obligations
(Cost $81,456) ($ Thousands) 80,162
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 34.5%
FHLB
4.125%, 10/19/07 21,000 20,768
FHLMC
4.875%, 03/15/07 9,250 9,252
4.000%, 08/17/07 17,050 16,843
3.625%, 09/15/08 5,750 5,588
FNMA
3.000%, 08/15/07 1,300 1,265
-------------
Total U.S. Government Agency Obligations
(Cost $54,157) ($ Thousands) 53,716
-------------
U.S. TREASURY OBLIGATIONS -- 10.7%
U.S. Treasury Inflation Protected Security
3.625%, 01/15/08 15,921 16,465
U.S. Treasury Notes (C)
3.000%, 11/15/07 100 97
-------------
Total U.S. Treasury Obligations
(Cost $16,540) ($ Thousands) 16,562
-------------
REPURCHASE AGREEMENT (B)-- 2.2%
UBS Securities LLC
4.470%, dated 01/31/06, to be
repurchased on 02/01/06,
repurchase price $3,400,422
(collateralized by a U.S. Government
obligation, par value $3,545,000,
4.500%, 07/15/13, with
total market value $3,470,555) 3,400 3,400
-------------
Total Repurchase Agreement
(Cost $3,400) ($ Thousands) 3,400
-------------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
Total Investments -- 98.9%
(Cost $155,553) ($ Thousands) $ 153,840
-------------
OTHER ASSETS AND LIABILITIES -- 1.1%
Receivable for Investment Securities Sold 187
Payable for Fund Shares Redeemed (283)
Income Distribution Payable (112)
Administration Fees Payable (43)
Investment Advisory Fees Payable (11)
Variation Margin Payable (4)
Other Assets and Liabilities, Net 1,938
-------------
Total Other Assets and Liabilities 1,672
-------------
Net Assets -- 100.0% $ 155,512
=============
NET ASSETS:
Paid-in-Capital (unlimited
authorization -- no par value) $ 162,645
Distribution in excess of net investment income (72)
Accumulated net realized loss on investments (5,332)
Net unrealized depreciation on investments (1,713)
Net unrealized depreciation on futures contracts (16)
-------------
Net Assets $ 155,512
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($155,512,104 / 15,520,834 shares) $10.02
=============
Futures Contracts -- A summary of the open future contracts held by the Fund at
January 31, 2006, is as follows: (See Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
NUMBER OF CONTRACT UNREALIZED
TYPE OF CONTRACTS VALUE EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. 2 Year
Treasury Note 41 $8,399 March 2006 $ (9)
U.S. 5 Year
Treasury Note 39 4,124 March 2006 (7)
----
$(16)
====
(A) Floating Rate Instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on January 31, 2006. The date shown is the
earlier of the reset date or the demand date.
(B) Tri-Party Repurchase Agreement
(C) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
LLC -- Limited Liability Company
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 19
STATEMENT OF NET ASSETS
Intermediate-Duration Government Fund
January 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[Bar Chart Omitted]
[Plot Points Follows]
45.7% U.S. Government Mortgage-Backed Obligations
32.9% U.S. Government Agency Obligations
17.3% U.S. Treasury Obligations
4.1% Repurchase Agreement
*Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 46.3%
FHLMC
8.250%, 12/01/07 to 12/01/09 $ 32 $ 32
6.500%, 08/01/14 108 110
6.000%, 10/01/09 to 09/01/24 4,783 4,867
5.500%, 06/01/19 to 12/01/20 1,422 1,431
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 745 756
FHLMC REMIC, Ser 165, Cl K
6.500%, 09/15/21 35 35
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17 1,968 1,857
FHLMC REMIC, Ser 2635, Cl NJ
3.000%, 03/15/17 525 494
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 1,022 1,002
FHLMC TBA
6.000%, 02/18/19 680 693
FNMA
9.500%, 05/01/18 75 82
8.000%, 05/01/08 to 06/01/08 35 36
7.500%, 03/01/07 7 7
7.004%, 08/01/07 303 309
6.950%, 10/01/06 1,550 1,551
6.906%, 06/01/07 8 8
6.800%, 10/01/07 18 18
6.620%, 01/01/08 193 197
6.500%, 12/01/31 to 12/01/35 1,327 1,361
6.460%, 06/01/09 553 571
6.265%, 06/01/08 225 229
6.080%, 09/01/08 902 915
6.000%, 07/01/12 to 02/01/18 1,439 1,471
5.931%, 02/01/12 755 782
5.625%, 12/01/11 1,802 1,840
5.044%, 08/01/15 996 988
4.829%, 04/01/13 6,723 6,613
4.500%, 09/01/35 4,967 4,659
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16 852 869
FNMA REMIC, Ser 2004-27, Cl HN
4.000%, 05/25/16 700 681
FNMA TBA
5.500%, 02/01/34 2,000 1,978
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GNMA
8.750%, 05/20/17 to 11/20/17 $ 46 $ 48
8.500%, 05/20/16 to 02/20/18 154 166
8.250%, 05/15/06 to 07/15/08 43 44
6.000%, 04/15/09 to 09/15/24 1,344 1,381
Small Business Administration,
Ser 2005-P10B, Cl 1
4.940%, 08/10/15 1,745 1,720
-------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $40,560) ($ Thousands) 39,801
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 33.3%
FHLMC
6.000%, 06/15/11 15,975 16,848
3.625%, 09/15/08 12,100 11,760
-------------
Total U.S. Government Agency Obligations
(Cost $29,356) ($ Thousands) 28,608
-------------
U.S. TREASURY OBLIGATIONS -- 17.6%
U.S. Treasury Bonds
12.000%, 08/15/13 6,000 7,069
U.S. Treasury Bonds (A)
10.375%, 11/15/12 3,200 3,516
U.S. Treasury Inflation Protected Security
4.250%, 01/15/10 4,116 4,489
-------------
Total U.S. Treasury Obligations
(Cost $15,244) ($ Thousands) 15,074
-------------
REPURCHASE AGREEMENT (B) -- 4.2%
UBS Securities LLC
4.470%, dated 01/31/06,
to be repurchased on 02/01/06,
repurchase price $3,600,447
(collateralized by a U.S. Government
obligation, par value $3,755,000,
4.500%, 07/15/13, with total
market value $3,676,145) 3,600 3,600
-------------
Total Repurchase Agreement
(Cost $3,600) ($ Thousands) 3,600
-------------
Total Investments -- 101.4%
(Cost $88,760) ($ Thousands) 87,083
-------------
- --------------------------------------------------------------------------------
20 SEI Daily Income Trust / Annual Report / January 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (1.4)%
Receivable for Investment Securities Sold $ 707
Payable for Investment Securities Purchased (2,707)
Income Distribution Payable (173)
Payable for Fund Shares Redeemed (74)
Administration Fees Payable (26)
Investment Advisory Fees Payable (7)
Shareholder Servicing Fees Payable (4)
Variation Margin Payable (3)
Other Assets and Liabilities, Net 1,077
-------------
Total Other Assets and Liabilities (1,210)
-------------
Net Assets -- 100.0% $ 85,873
=============
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 89,154
Distribution in excess of net investment income (20)
Accumulated net realized loss on investments (1,574)
Net unrealized depreciation on investments (1,677)
Net unrealized depreciation futures contracts (10)
-------------
Net Assets $ 85,873
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($85,872,504 / 8,412,118 shares) $10.21
=============
Futures Contracts -- A summary of the open future contracts held by the Fund at
January 31, 2006, is as follows: (See Note 2 in Notes to Financial Statements)
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF CONTRACT APPRECIATION
TYPE OF CONTRACT VALUE EXPIRATION (DEPRECIATION)
CONTRACTS LONG (SHORT) ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. 5 Year
Treasury Note 117 $12,371 March 2006 $(28)
U.S. 10 Year
Treasury Note (61) (6,615) March 2006 18
----
$(10)
====
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) Tri-Party Repurchase Agreement.
Cl -- Class
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
LLC -- Limited Liability Company
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
TBA -- To Be Announced
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 21
STATEMENT OF NET ASSETS
GNMA Fund
January 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[Bar Chart Omitted]
[Plot Points Follow]
98.6% U.S. Government Mortgage-Backed Obligations
1.4% Repurchase Agreement
*Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 99.8%
FHLMC
6.500%, 02/01/13 to 02/01/18 $ 970 $ 995
5.000%, 12/01/35 497 480
FNMA
8.000%, 09/01/14 to 09/01/28 372 397
7.000%, 08/01/29 to 09/01/32 883 918
6.500%, 07/01/32 to 09/01/32 1,362 1,399
6.000%, 07/01/35 116 118
5.890%, 10/01/11 1,335 1,377
5.780%, 11/01/11 1,211 1,244
5.000%, 07/01/35 to 12/01/35 1,498 1,445
4.621%, 04/01/13 6,434 6,261
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/20 86 87
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22 176 182
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17 1,500 1,549
GNMA
12.500%, 06/15/14 -- --
12.000%, 04/15/14 -- --
11.500%, 02/15/13 4 4
10.000%, 05/15/16 to 07/15/20 39 43
9.500%, 06/15/09 to 11/15/20 537 569
9.000%, 12/15/17 to 05/15/22 379 415
8.500%, 08/15/08 to 06/15/17 113 120
8.000%, 04/15/17 to 03/15/32 1,712 1,839
7.750%, 10/15/26 57 60
7.500%, 12/15/27 to 09/15/28 27 28
7.250%, 01/15/28 251 262
7.000%, 04/15/19 to 09/15/31 12,686 13,338
6.750%, 11/15/27 113 118
6.500%, 11/15/07 to 07/15/35 19,852 20,675
6.000%, 02/15/09 to 02/15/35 27,298 28,020
5.500%, 10/15/32 to 01/15/36 27,354 27,495
5.000%, 04/15/33 to 01/15/36 28,921 28,507
4.500%, 08/15/33 to 09/15/34 6,254 5,990
GNMA (A)
6.000%, 02/15/17 811 835
GNMA REMIC, Ser 2002-45, Cl QE
6.500%, 06/20/32 2,177 2,266
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GNMA REMIC, Ser 2003-58, Cl VB
5.500%, 10/17/22 $ 6,000 $ 5,975
GNMA REMIC, Ser 2003-63, Cl UV
3.500%, 07/20/30 3,073 2,922
GNMA REMIC, Ser 2005-74, Cl HA
7.500%, 09/16/35 1,596 1,682
GNMA REMIC, Ser 2005-74, Cl HB
7.500%, 09/16/35 2,754 2,881
GNMA REMIC, Ser 2005-74, Cl HC
7.500%, 09/16/35 2,417 2,547
GNMA TBA
5.500%, 02/15/34 3,000 3,012
-------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $166,409) ($ Thousands) 166,055
-------------
REPURCHASE AGREEMENT (B) -- 1.4%
UBS Securities LLC
4.470%, dated 01/31/06, to be
repurchased on 02/01/06,
repurchase price $ 2,300,286
(collateralized by a U.S. Government
obligation, par value $2,400,000,
4.500%, 07/15/13, with total
market value $2,349,600) 2,300 2,300
-------------
Total Repurchase Agreement
(Cost $2,300) ($ Thousands) 2,300
-------------
Total Investments -- 101.2%
(Cost $168,709) ($ Thousands) 168,355
-------------
OTHER ASSETS AND LIABILITIES -- (1.2)%
Receivable for Investment Securities Sold 6,998
Payable for Investment Securities Purchased (9,478)
Income Distribution Payable (232)
Payable for Fund Shares Redeemed (128)
Administration Fees Payable (46)
Shareholder Servicing Fees Payable (24)
Investment Advisory Fees Payable (14)
Variation Margin Receivable 1
Other Assets and Liabilities, Net 892
-------------
Total Other Assets and Liabilities (2,031)
-------------
Net Assets -- 100.0% $ 166,324
=============
- --------------------------------------------------------------------------------
22 SEI Daily Income Trust / Annual Report / January 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 177,177
Accumulated net realized loss on investments (10,512)
Net unrealized depreciation on investments (354)
Net unrealized appreciation on futures contracts 13
-------------
Net Assets $ 166,324
=============
Net Assets Value, Offering and Redemption
Price Per Share -- Class A
($166,323,739 / 17,538,329 shares) $9.48
=============
Futures Contracts -- A summary of the open future contracts held by the Fund at
January 31, 2006, is as follows: (See Note 2 in Notes to Financial Statements)
- -------------------------------------------------------------------------------
NUMBER OF
CONTRACTS CONTRACT UNREALIZED
TYPE OF LONG VALUE EXPIRATION APPRECIATION
CONTRACT (SHORT) ($ THOUSANDS) DATE ($ THOUSANDS)
- -------------------------------------------------------------------------------
U.S. 10 Year
Treasury Note (12) $(1,301) March 2006 $13
(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 $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 23
STATEMENT OF NET ASSETS
Ultra Short Bond Fund
January 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[Bar Chart Omitted]
[Plot Points Follow]
65.1% Asset-Backed Securities
12.6% Corporate Bonds
8.4% U.S. Treasury Obligations
6.2% U.S. Government Mortgage-Backed Obligations
4.6% U.S. Government Agency Obligations
2.6% Certificates of Deposit
0.5% Repurchase Agreement
*Percentages are based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 64.1%
AUTOMOTIVE -- 19.8%
Aesop Funding II LLC, Ser 2003-4A,
Cl A1 (A) (B)
4.720%, 02/20/06 $ 1,685 $ 1,686
Aesop Funding II LLC, Ser 2003-5A,
Cl A1 (B)
2.780%, 12/20/07 1,000 986
Aesop Funding II LLC, Ser 2005-1A,
Cl A2 (A) (B)
4.550%, 02/20/06 800 800
Amercredit Automobile Receivables
Trust, Ser 2005-CF, Cl A3
4.470%, 05/06/10 790 784
Americredit Automobile Receivables
Trust, Ser 2004-CA, Cl A3
3.000%, 03/06/09 975 964
Americredit Automobile Receivables
Trust, Ser 2004-DF, Cl A3
2.980%, 07/06/09 640 629
Americredit Automobile Receivables
Trust, Ser 2005-1, Cl B
4.480%, 11/06/09 840 831
Americredit Automobile Receivables
Trust, Ser 2005-DA, Cl A3
4.870%, 12/06/10 2,010 2,006
Bank One Auto Securitization Trust,
Ser 2003-1, Cl A3
1.820%, 09/20/07 310 309
Bank One Auto Securitization Trust,
Ser 2003-1, Cl A4
2.430%, 03/22/10 3,000 2,927
Capital Auto Receivables Asset Trust,
Ser 2004-1, Cl A3
2.000%, 11/15/07 593 586
Capital Auto Receivables Asset Trust,
Ser 2004-2, Cl A1A
3.120%, 03/15/07 952 948
Capital Auto Receivables Asset Trust,
Ser 2005-1, Cl B (A)
4.845%, 02/15/06 440 442
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital One Auto Finance Trust,
Ser 2003-A, Cl A4A
2.470%, 01/15/10 $ 2,000 $ 1,965
Capital One Auto Finance Trust,
Ser 2003-B, Cl A3 (A)
4.580%, 02/15/06 192 192
Capital One Auto Finance Trust,
Ser 2003-B, Cl A4
3.180%, 09/15/10 2,050 2,013
Capital One Auto Finance Trust,
Ser 2005-C, Cl A3
4.610%, 07/15/10 2,770 2,753
Capital One Prime Auto Receivable
Trust, Ser 2004-1, Cl A4 (A)
4.540%, 02/15/06 1,250 1,251
Capital One Prime Auto Receivable
Trust, Ser 2004-2, Cl A3
3.060%, 03/17/08 1,967 1,954
Capital One Prime Auto Receivable
Trust, Ser 2004-3, Cl A2
3.040%, 07/15/07 195 194
Capital One Prime Auto Receivables
Trust, Ser 2005-1, Cl A3
4.320%, 08/15/09 1,120 1,111
Carmax Auto Owner Trust
Ser 2003-1, Cl A3
1.610%, 02/15/07 26 26
Carmax Auto Owner Trust,
Ser 2004-2, Cl A4
3.460%, 09/15/11 449 436
Carmax Auto Owner Trust,
Ser 2005-2, Cl A3
4.210%, 01/15/10 1,450 1,432
Chase Manhattan Auto Owner Trust,
Ser 2003-A, Cl A3
1.520%, 05/15/07 20 20
Chase Manhattan Auto Owner Trust,
Ser 2003-A, Cl A4
2.060%, 12/15/09 1,958 1,917
Chase Manhattan Auto Owner Trust,
Ser 2003-C, Cl A3
2.260%, 11/15/07 465 462
Chase Manhattan Auto Owner Trust,
Ser 2004-A, Cl A4
2.830%, 09/15/10 1,256 1,217
Chase Manhattan Auto Owner Trust,
Ser 2005-A, Cl A3
3.870%, 06/15/09 820 808
Chesapeake Funding Trust
Ser 2004-1A, Cl A2 (A) (B)
4.579%, 02/07/06 400 400
DaimlerChrysler Auto Trust,
Ser 2004-B, Cl A3
3.180%, 09/08/08 1,131 1,120
- --------------------------------------------------------------------------------
24 SEI Daily Income Trust / Annual Report / January 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
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%, 09/08/09 610 603
Ford Credit Auto Owner Trust,
Ser 2005-A, Cl A3
3.480%, 11/15/08 1,140 1,125
Harley-Davidson Motorcycle Trust,
Ser 2004-1, Cl A1
1.400%, 10/15/08 153 152
Hertz Vehicle Financing,
Ser 2004-1A, Cl A2 (B)
2.380%, 05/25/08 1,750 1,701
Honda Auto Receivables Owner Trust,
Ser 2003-2, Cl A3
1.690%, 02/21/07 36 36
Honda Auto Receivables Owner Trust,
Ser 2003-5, Cl A3
2.300%, 10/18/07 415 411
Honda Auto Receivables Owner Trust,
Ser 2005-1, Cl A3
3.530%, 10/21/08 865 853
Honda Auto Receivables Owner Trust,
Ser 2005-2, Cl A2
3.650%, 08/15/07 848 845
Honda Auto Receivables Owner Trust,
Ser 2005-3, Cl A3
3.870%, 04/20/09 848 835
Honda Auto Receivables Owner Trust,
Ser 2005-5, Cl A3
4.610%, 08/17/09 4,025 4,006
Household Automotive Trust,
Ser 2003-1, Cl A3
1.730%, 12/17/07 133 133
Household Automotive Trust,
Ser 2005-1, Cl A3
4.150%, 02/17/10 1,371 1,354
Household Automotive Trust,
Ser 2005-2, Cl A3
4.370%, 05/17/10 1,276 1,262
Household Automotive Trust,
Ser 2005-3, Cl A3
4.800%, 10/18/10 1,070 1,068
Hyundai Auto Receivables Trust,
Ser 2003-A, Cl A3
2.330%, 11/15/07 499 495
Hyundai Auto Receivables Trust,
Ser 2004-A, Cl A2
2.360%, 09/15/07 194 194
Hyundai Auto Receivables Trust,
Ser 2005-A, Cl A3
3.980%, 11/16/09 659 649
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Merrill Auto Trust Securitization,
Ser 2005-1, Cl B (A)
4.770%, 02/25/06 $ 815 $ 815
Morgan Stanley Auto Loan Trust,
Ser 2004-HB1, Cl A4
3.330%, 10/15/11 600 587
Morgan Stanley Auto Loan Trust,
Ser 2004-HB2, Cl A2
2.400%, 07/16/07 618 616
Navistar Financial Corporate Owner
Trust, Ser 2003-A, Cl A3
1.730%, 02/15/07 145 144
Navistar Financial Corporate Owner
Trust, Ser 2003-A, Cl A4
2.240%, 11/15/09 1,750 1,709
Nissan Auto Lease Trust,
Ser 2005-A1, Cl A3
4.700%, 10/15/08 1,970 1,963
Nissan Auto Receivables Owner
Trust, Ser 2003-B, Cl A
1.510%, 08/15/07 178 178
Nissan Auto Receivables Owner
Trust, Ser 2005-A, Cl A3
3.540%, 10/15/08 1,590 1,567
Nissan Auto Receivables Owner Trust,
Ser 2005-B, Cl A2
3.750%, 09/17/07 600 598
Nissan Auto Receivables Owner Trust,
Ser 2005-B, Cl A3
3.990%, 07/15/09 1,175 1,160
Nissan Auto Receivables Owner Trust,
Ser 2005-C, Cl A3
4.190%, 07/15/09 760 751
Nissan Auto Receivables Owner Trust,
Ser 2006-A, Cl A2
4.800%, 06/16/08 500 500
Nissan Auto Receivables Owner Trust,
Ser 2006-A, Cl A3
4.740%, 09/15/09 665 665
Onyx Acceptance Owner Trust,
Ser 2003-C, Cl A4
2.660%, 05/17/10 1,578 1,554
Onyx Acceptance Owner Trust,
Ser 2005-B, Cl A2
4.030%, 04/15/08 3,461 3,449
Susquehanna Auto Lease Trust,
Ser 2005-1A, Cl 1A (B)
4.080%, 07/16/07 1,750 1,743
USAA Auto Owner Trust
Ser 2003-1, Cl A3
1.580%, 06/15/07 5 5
USAA Auto Owner Trust,
Ser 2005-2, Cl A2
3.800%, 12/17/07 2,176 2,168
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 25
STATEMENT OF NET ASSETS
Ultra Short Bond Fund (Continued)
January 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
USAA Auto Owner Trust,
Ser 2005-3, Cl A3
4.550%, 02/16/10 $ 1,230 $ 1,223
WFS Financial Owner Trust,
Ser 2003-2, Cl A3
1.760%, 01/21/08 31 31
WFS Financial Owner Trust,
Ser 2003-2, Cl A4
2.410%, 12/20/10 2,000 1,971
WFS Financial Owner Trust,
Ser 2003-3, Cl A4
3.250%, 05/20/11 2,880 2,832
WFS Financial Owner Trust,
Ser 2004-1, Cl A3
2.190%, 06/20/08 777 772
WFS Financial Owner Trust,
Ser 2005-2, Cl B
4.570%, 11/19/12 1,234 1,221
WFS Financial Owner Trust,
Ser 2005-3, Cl A2
4.110%, 06/17/08 1,166 1,163
Wachovia Auto Owner Trust,
Ser 2005-B, Cl A3
4.790%, 04/20/10 1,010 1,008
Whole Auto Loan Trust,
Ser 2004-1, Cl A2A
2.590%, 05/15/07 196 195
World Omni Auto Receivables Trust,
Ser 2003-A, Cl A3
1.980%, 05/15/07 41 41
World Omni Auto Receivables Trust,
Ser 2004-A, Cl B (D)
3.620%, 07/12/11 824 809
-------------
81,627
-------------
CREDIT CARD -- 11.2%
Advanta Business Card Master Trust,
Ser 2004-C1, Cl C (A)
5.540%, 02/20/06 485 492
Advanta Business Card Master Trust,
Ser 2005-A4, Cl A4
4.750%, 02/20/06 1,000 995
Advanta Business Card Master Trust,
Ser 2005-C1, Cl C1 (A)
5.000%, 08/22/11 1,500 1,509
American Express Credit Account
Master Trust, Ser 2003-4, Cl A
1.690%, 01/15/09 695 687
American Express Credit Account
Master Trust, Ser 2004-C,
Cl C (A) (B)
4.970%, 02/15/06 2,256 2,260
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bank One Issuance Trust,
Ser 2003-B2, Cl B2 (A)
4.700%, 02/15/06 $ 1,750 $ 1,750
Bank One Issuance Trust,
Ser 2004-B1, Cl B1 (A)
4.790%, 02/15/06 1,250 1,256
Capital One Master Trust,
Ser 2001-2, Cl A (A)
4.610%, 02/15/06 1,750 1,750
Capital One Multi-Asset Executive
Trust, Ser 2003-A1, Cl A1 (A)
4.860%, 02/15/06 1,465 1,466
Capital One Multi-Asset Executive
Trust, Ser 2003-B1, Cl B1 (A)
5.640%, 02/15/06 1,250 1,252
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)
4.531%, 03/15/06 1,500 1,500
Capital One Multi-Asset Executive
Trust, Ser 2004-B4, Cl B4 (A)
4.669%, 02/15/06 1,550 1,554
Capital One Multi-Asset Executive
Trust, Ser 2005-B2, Cl B2 (A)
4.620%, 02/15/06 1,500 1,500
Chase Credit Card Master Trust,
Ser 2004-2, Cl A (A)
4.510%, 02/15/06 1,485 1,486
Citibank Credit Card Issuance Trust,
Ser 2003-A5, Cl A5
2.500%, 04/07/08 1,350 1,344
Discover Card Master Trust,
Ser 2004-2, Cl A1 (A)
4.490%, 02/15/06 1,250 1,250
Discover Card Master Trust,
Ser 2005-1, Cl B (A)
4.620%, 02/15/06 2,633 2,631
First USA Credit Card Master Trust,
Ser 1999-2, Cl A (A)
4.673%, 02/19/06 1,000 1,000
GE Capital Credit Card Master Trust,
Ser 2004-1, Cl A (A)
4.520%, 02/15/06 1,785 1,786
GE Capital Credit Card Master Trust,
Ser 2004-2, Cl B (A)
4.730%, 02/15/06 2,000 2,003
Household Affinity Credit Card Trust,
Ser 2003-1, Cl B (A)
5.020%, 02/15/06 1,250 1,260
MBNA Credit Card Master Note Trust,
Ser 2001-B1, Cl B1 (A)
4.845%, 02/15/06 1,125 1,126
- --------------------------------------------------------------------------------
26 SEI Daily Income Trust / Annual Report / January 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MBNA Credit Card Master Note Trust,
Ser 2002-B1, Cl B1
5.150%, 07/15/09 $ 500 $ 500
Metris Master Trust,
Ser 2004-2,Cl C (A) (B)
5.840%, 02/20/06 3,000 3,021
Metris Master Trust,
Ser 2005-1A, Cl B (A)
4.910%, 02/20/06 1,675 1,676
Providian Gateway Master Trust,
Ser 2004-AA, Cl A (A) (B)
4.700%, 02/15/06 1,970 1,973
Providian Gateway Master Trust,
Ser 2004-BA, Cl A (A) (B)
4.660%, 02/15/06 2,925 2,926
Providian Gateway Master Trust,
Ser 2004-EA, Cl A (A) (B)
4.600%, 02/15/06 565 565
Providian Gateway Master Trust,
Ser 2004-FA, Cl A (B)
3.650%, 11/15/11 2,750 2,690
-------------
45,995
-------------
MISCELLANEOUS BUSINESS SERVICES -- 6.6%
ACAS Business Loan Trust,
Ser 2005-1A, Cl A1 (A) (B)
4.873%, 04/25/06 1,000 1,000
AICCO Premium Finance Master
Trust, Ser 2004-1, Cl A (A)
4.650%, 02/15/06 671 672
AICCO Premium Finance Master
Trust, Ser 2005-1, Cl A (A)
4.550%, 02/15/06 1,470 1,470
CIT Equipment Collateral,
Ser 2005-EF1, Cl A3
4.420%, 05/20/09 1,140 1,130
CIT Equipment Collateral,
Ser 2005-VT1, Cl A3
4.120%, 08/20/08 1,040 1,030
CNH Equipment Trust,
Ser 2003-B, Cl A3A (A)
4.610%, 02/15/06 340 340
CNH Equipment Trust,
Ser 2004-A, Cl A3B
2.940%, 10/15/08 1,600 1,575
CNH Equipment Trust,
Ser 2005-A, Cl A3
4.020%, 04/15/09 800 790
California Infrastructure SDG&E,
Ser 1997-1, Cl A6
6.310%, 09/25/08 973 978
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital Source Commercial Loan
Trust, Ser 2003-2A, Cl D (A) (B)
6.990%, 02/20/06 $ 333 $ 333
Capital Source Commercial Loan Trust,
Ser 2004-1A, Cl A2 (A) (B)
4.820%, 02/20/06 428 428
Capital Source Commercial Loan Trust,
Ser 2004-2A, Cl C (A) (B)
5.340%, 02/20/06 677 678
Capital Source Commercial Loan Trust,
Ser 2005-1A, Cl B (A) (B)
4.770%, 02/20/06 686 686
Colts Trust, Ser 2005-1A, Cl A1 (A) (B)
4.720%, 03/20/06 689 689
Colts Trust, Ser 2005-2A, Cl A (A) (B)
4.730%, 06/20/06 1,950 1,950
DaimlerChrysler Master Owner Trust,
Ser 2003-A, Cl A (A)
4.520%, 02/15/06 1,075 1,075
GE Commercial Equipment Financing
LLC, Ser 2004-1, Cl B (A)
4.690%, 02/20/06 675 675
GE Commercial Equipment Financing
LLC, Ser 2005-1, Cl A3A
3.980%, 03/20/09 1,167 1,152
GE Corporate Aircraft Financing,
Ser 2005-1A, Cl A1 (A) (B)
4.600%, 02/25/06 1,634 1,634
GE Equipment Small Ticket LLC,
Ser 2005-1A, Cl B
4.620%, 12/22/14 815 806
GE Equipment Small Ticket LLC,
Ser 2005-2A, Cl A4
5.010%, 06/22/15 2,226 2,211
Lambda Finance, Ser 2005-1A,
Cl B3 (A) (B)
4.850%, 02/15/06 840 840
Marlin Leasing Receivables LLC,
Ser 2005-1A, Cl B (B)
5.090%, 08/15/12 170 169
Merritt Funding Trust, Ser 2005-2,
Cl B (A) (B)
5.300%, 04/15/06 1,124 1,124
Navistar Financial Dealer Owner Trust,
Ser 2003-A, Cl A2 (A)
4.830%, 02/25/06 2,125 2,126
Navistar Financial Dealer Owner Trust,
Ser 2004-1, Cl A (A)
4.730%, 02/25/06 650 650
Nelnet Student Loan Trust,
Ser 2004-3, Cl A2 (A)
4.653%, 04/25/06 293 293
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 27
STATEMENT OF NET ASSETS
Ultra Short Bond Fund (Continued)
January 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nelnet Student Loan Trust,
Ser 2004-4, Cl A2 (A)
4.643%, 04/25/06 $ 343 $ 343
Nelnet Student Loan,
Ser 2004-2A, Cl A1 (A)
4.390%, 02/25/06 278 278
-------------
27,125
-------------
MORTGAGE RELATED -- 26.5%
AAA Trust, Ser 2005-2,
Cl A1 (A) (B)
4.634%, 02/26/06 582 583
Ace Securities, Ser 2006-NC1,
Cl A2B (A)
4.590%, 02/25/06 1,148 1,148
Advanta Mortgage Trust Loan,
Ser 1999-4, Cl A (A)
4.905%, 02/25/06 195 195
American Home Mortgage Investment
Trust, Ser 2003-1, Cl A (A)
4.930%, 02/25/06 244 244
Ameriquest Mortgage Securities,
Ser 2004-R12, Cl A3 (A)
4.810%, 02/25/06 784 786
Ameriquest Mortgage Securities,
Ser 2005-R1, Cl A3A (A)
4.630%, 02/25/06 22 22
Ameriquest Mortgage Securities,
Ser 2005-R3, Cl A3A (A)
4.620%, 02/25/06 252 252
Asset Securitization,
Ser 1996-MD6, Cl A6
7.627%, 11/13/29 860 881
Asset Securitization,
Ser 1997-D5, Cl A1B
6.660%, 02/14/43 305 308
Bank of America Funding,
Ser 2005-F, Cl 4A1 (A)
5.454%, 02/20/06 2,532 2,525
Bank of America Large Loan,
Ser 2004-BBA4, Cl A2 (A) (B)
4.630%, 02/15/06 560 560
Bank of America Mortgage Securities,
Ser 2004-J, Cl 2A1 (A)
4.800%, 02/25/06 518 512
Bank of America Mortgage Securities,
Ser 2005-A, Cl 2A2 (A)
4.470%, 02/25/06 2,187 2,140
Bank of America Mortgage Securities,
Ser 2005-C, Cl 2A2 (A)
4.720%, 02/25/06 1,350 1,328
Bank of America Mortgage Securities,
Ser 2005-H, Cl 2A1
4.828%, 09/25/35 1,010 995
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Asset Backed Securities,
Ser 2005-HE11, Cl A1 (A)
4.650%, 02/25/06 $ 756 $ 756
Bear Stearns Asset Backed Securities,
Ser 2005-HE11, Cl A2 (A)
4.780%, 02/25/06 275 275
Bear Stearns Asset Backed Securities,
Ser 2006-HE1, Cl 1A1 (A)
4.650%, 02/25/06 2,000 2,000
Bear Stearns Commercial Mortgage,
Ser 1998-C1, Cl A1
6.340%, 06/16/30 401 405
Bear Stearns Commercial Mortgage,
Ser 2004-BBA3, Cl A1B (A)
4.700%, 02/15/06 520 520
Bear Stearns Commercial Mortgage,
Ser 2005-12, Cl 11A1 (A)
5.477%, 02/25/06 2,502 2,504
CS First Boston Mortgage Securities,
Ser 1997-C2, Cl A2
6.520%, 01/17/35 41 41
CS First Boston Mortgage Securities,
Ser 2004-TF2A, Cl A2 (A) (B)
4.670%, 02/15/06 1,750 1,751
Centex Home Equity Trust,
Ser 2005-A, Cl AF1 (D)
3.700%, 06/25/22 145 144
Chase Funding Mortgage Loan,
Ser 2004-2, Cl 1A1 (A)
4.680%, 02/25/06 81 81
CitiFinancial Mortgage Securities,
Ser 2004-1, Cl AF1 (A)
4.620%, 02/25/06 171 171
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A (A)
3.970%, 02/25/06 2,517 2,485
Citigroup Mortgage Loan Trust,
Ser 2005-OPT1, Cl A1A (A)
4.620%, 02/25/06 183 183
Countrywide Asset-Backed Certificates,
Ser 2004-12, Cl AF1 (A)
4.730%, 02/25/06 46 46
Countrywide Asset-Backed Certificates,
Ser 2004-15, Cl AF1 (A)
4.730%, 02/25/06 383 383
Countrywide Asset-Backed Certificates
Ser 2005-13, Cl 3AV3 (A)
4.780%, 02/25/06 1,310 1,311
Countrywide Home Loans,
Ser 2004-29, Cl 1A1 (A)
4.800%, 02/25/06 650 649
Countrywide Home Loans,
Ser 2005-7, Cl 1A1 (A)
4.800%, 02/25/06 1,201 1,201
- --------------------------------------------------------------------------------
28 SEI Daily Income Trust / Annual Report / January 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Home Loans,
Ser 2005-HY10, Cl 3A1A (A)
5.442%, 02/20/06 $ 2,203 $ 2,200
Countrywide Home Loans,
Ser 2006-HYB1, Cl 1A1 (A)
5.424%, 02/20/06 1,500 1,497
Crusade Global Trust,
Ser 2003-1, Cl A (A)
4.800%, 04/17/06 953 954
Diversified REIT Trust,
Ser 1999-1A, Cl A2 (B)
6.780%, 03/18/11 1,780 1,843
Fremont Home Loan Owner Trust,
Ser 1999-1 (A)
5.130%, 02/25/06 14 14
GMAC Commercial Mortgage Securities,
Ser 1999-CTL1, Cl A (B)
7.151%, 12/15/16 994 1,012
GMAC Mortgage Corporation Loan,
Ser 2005-HE1, Cl A1 (A)
4.590%, 02/25/06 975 975
GMAC Mortgage Corporation Loan,
Ser 2005-HE3, Cl A1 (A)
4.640%, 02/25/06 1,000 1,001
GMAC Mortgage Loan,
Ser 2005-AR6, Cl 2A1 (A)
5.258%, 11/19/35 2,936 2,921
GSR Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A2 (A)
4.630%, 02/25/06 1,191 1,180
GSR Mortgage Loan Trust,
Ser 2005-AR4, Cl 2A1 (A)
5.059%, 02/25/06 3,351 3,340
Granite Master Issuer PLC,
Ser 2005-1, Cl M1 (A)
4.730%, 03/20/06 550 550
Granite Master Issuer PLC,
Ser 2006-1A, Cl A5 (A) (B)
4.726%, 05/20/06 1,215 1,215
Granite Mortgages PLC,
Ser 2002-2, Cl 1A2 (A)
4.781%, 04/20/06 1,474 1,477
Impac CMB Trust,
Ser 2003-12, Cl A1 (A)
4.910%, 02/25/06 977 978
Impac CMB Trust,
Ser 2004-9, Cl 1A1 (A)
4.910%, 02/25/06 1,473 1,477
Impac CMB Trust,
Ser 2005-1, Cl 1A1 (A)
4.790%, 02/25/06 1,033 1,035
Impac CMB Trust,
Ser 2005-2, Cl 1A1 (A)
4.790%, 02/25/06 1,149 1,150
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Impac CMB Trust,
Ser 2005-3, Cl A1 (A)
4.770%, 02/25/06 $ 976 $ 979
Impac CMB Trust,
Ser 2005-4, Cl 1M1 (A)
4.960%, 02/25/06 1,911 1,909
Impac CMB Trust,
Ser 2005-5, Cl A1 (A)
4.850%, 02/25/06 741 742
Impac CMB Trust,
Ser 2005-8, Cl 1A (A)
4.790%, 02/25/06 1,590 1,593
JP Morgan Chase Commercial
Mortgage Trust, Ser 2004-FL1A,
Cl A1 (A) (B)
4.640%, 02/16/06 591 591
MLCC Mortgage Investors,
Ser 2004-G, Cl A1 (A)
4.810%, 02/25/06 631 631
MLCC Mortgage Investors,
Ser 2004-HB1, Cl A1 (A)
4.890%, 02/25/06 738 739
MLCC Mortgage Investors,
Ser 2005-A, Cl A1 (A)
4.760%, 02/25/06 761 761
Master Adjustable Rate Mortgage Trust,
Ser 2004-12, Cl 5A1 (A)
4.530%, 02/25/06 1,305 1,290
Mellon Bank Premium Finance Loan
Trust, Ser 2004-1, Cl A (A)
4.651%, 03/15/06 810 810
Merrill Lynch Mortgage Investors,
Ser 2005-A1, Cl 1A (A)
4.330%, 02/25/06 2,045 2,019
Merrill Lynch Mortgage Investors,
Ser 2005-A2, Cl A2 (A)
4.500%, 02/25/06 2,896 2,836
Merrill Lynch Mortgage Investors,
Ser 2005-A3, Cl A1 (A)
4.800%, 02/25/06 1,090 1,080
Merrill Lynch Mortgage Investors,
Ser 2005-A8, Cl A3A1 (A)
4.640%, 02/25/06 1,275 1,276
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1E (A)
5.191%, 02/25/06 1,492 1,480
Morgan Stanley Dean Witter Capital I,
Ser 2006-WMC1, Cl A2B (A)
4.734%, 02/25/06 1,390 1,389
Morgan Stanley Home Equity Loan,
Ser 2005-4, Cl A2B (A)
4.750%, 02/25/06 2,000 2,001
MortgageIT Trust,
Ser 2005-2, Cl 1A1 (A)
4.790%, 02/25/06 605 607
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 29
STATEMENT OF NET ASSETS
Ultra Short Bond Fund (Continued)
January 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MortgageIT Trust,
Ser 2005-3, Cl A1 (A)
4.830%, 02/25/06 $ 1,769 $ 1,772
MortgageIT Trust,
Ser 2005-4, Cl A1 (A)
4.810%, 02/25/06 2,101 2,104
MortgageIT Trust,
Ser 2005-5, Cl A1 (A)
4.790%, 02/25/06 1,977 1,982
New Century Home Equity Loan Trust,
Ser 2004-2, Cl A3 (A)
4.780%, 02/25/06 260 260
New Century Home Equity Loan Trust,
Ser 2005-1, Cl A1MZ (A)
4.820%, 02/25/06 911 912
New Century Home Equity Loan Trust,
Ser 2005-B, Cl A2A (A)
4.650%, 02/25/06 1,108 1,108
New Century Home Equity Loan Trust,
Ser 2005-C, Cl A2B (A)
4.700%, 02/25/06 700 700
Nomura Asset Securities
Ser 1998-D6, Cl A1A
6.280%, 03/15/30 259 260
Option One Mortgage Loan Trust,
Ser 2003-3, Cl A2 (A)
4.830%, 02/25/06 203 203
Option One Mortgage Loan Trust,
Ser 2005-3, Cl M1 (A)
5.000%, 02/25/06 428 429
Option One Mortgage Loan Trust,
Ser 2005-5, Cl A3 (A)
4.740%, 02/25/06 1,795 1,793
Option One Mortgage Loan Trust,
Ser 2006-1, Cl 2A2 (A)
0.000%, 02/25/06 1,590 1,590
Permanent Financing PLC,
Ser 7, Cl 1C (A)
4.760%, 03/10/06 345 345
Permanent Financing PLC,
Ser 8, Cl 1B (A)
4.580%, 03/10/06 935 935
Puma Finance Limited,
Ser S1, Cl A (A)
4.504%, 02/09/06 885 885
RMAC PLC,
Ser 2003-NS4A, Cl A2B (A) (B)
4.780%, 03/12/06 898 900
RMAC PLC,
Ser 2005-NS1A, Cl A1 (A) (B)
4.540%, 03/12/06 563 563
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
RMAC PLC,
Ser 2005-NS4A, Cl A1B (A) (B)
4.450%, 03/12/06 $ 1,390 $ 1,390
Residential Asset Mortgage Products,
Ser 2005-RS6, Cl A11 (A)
4.630%, 02/25/06 1,126 1,126
Residential Asset Securities Ser 2000-KS5,
Cl AII (A)
5.010%, 02/25/06 66 67
Residential Asset Securities
Ser 2001-KS4, Cl AIB (A)
4.850%, 02/25/06 327 327
Residential Asset Securities
Ser 2005-KS1, Cl A1 (A)
4.640%, 02/25/06 214 215
Residential Asset Securities
Ser 2005-KS7, Cl A1 (A)
4.630%, 02/25/06 729 729
Residential Asset Securities
Ser 2006-KS1, Cl A2 (A)
4.538%, 02/25/06 800 800
Residential Mortgage Securities Trust,
Ser 20A, Cl A1B (A) (B)
4.380%, 02/10/06 659 659
Sequoia Mortgage Trust,
Ser 2004-10, Cl A2 (A)
4.810%, 02/20/06 859 860
Sequoia Mortgage Trust,
Ser 2004-11, Cl A1 (A)
4.790%, 02/20/06 639 640
Sequoia Mortgage Trust,
Ser 2004-12, Cl A1A (A)
4.760%, 02/20/06 423 423
Sequoia Mortgage Trust,
Ser 2005-1, Cl A1 (A)
4.720%, 02/20/06 427 427
Sequoia Mortgage Trust,
Ser 2005-2, Cl A1 (A)
4.710%, 02/20/06 406 406
Thornburg Mortgage Securities Trust,
Ser 2004-2, Cl A2 (A)
4.680%, 02/25/06 368 368
Washington Mutual,
Ser 2005-AR3, Cl A2 (A)
4.653%, 02/25/06 1,128 1,108
Wells Fargo Mortgage Backed
Securities, Ser 2004-BB,
Cl A2 (A)
4.570%, 02/25/06 2,097 2,054
- --------------------------------------------------------------------------------
30 SEI Daily Income Trust / Annual Report / January 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage Backed
Securities, Ser 2004-Z,
Cl 2A1 (A)
4.585%, 02/25/06 $ 901 $ 888
Wells Fargo Mortgage Backed
Securities, Ser 2005-AR1,
Cl 1A1 (A)
4.550%, 02/25/06 2,024 1,984
Wells Fargo Mortgage Backed
Securities, Ser 2005-AR2,
Cl 2A2 (A)
4.555%, 02/25/06 1,175 1,153
Wells Fargo Mortgage Backed
Securities, Ser 2005-AR4,
Cl 2A2 (A)
4.535%, 02/25/06 1,259 1,233
Westpac Securitisation Trust,
Ser 2005-1G, Cl A1 (A)
4.574%, 03/23/06 714 716
-------------
109,251
-------------
Total Asset Backed Securities
(Cost $265,136) ($ Thousands) 263,998
-------------
CORPORATE BONDS -- 12.4%
AEROSPACE & DEFENSE -- 0.3%
General Dynamics
2.125%, 05/15/06 1,265 1,256
-------------
AIR TRANSPORTATION -- 0.7%
American Airlines (A)
5.124%, 03/23/06 979 982
Continental Airlines
6.320%, 11/01/08 1,270 1,276
Delta Airlines (A)
4.950%, 04/25/06 505 505
-------------
2,763
-------------
AUTO FINANCE -- 0.8%
DaimlerChrysler MTN (A)
4.780%, 05/02/06 2,000 2,006
Ford Motor Credit MTN (A)
5.349%, 03/28/06 1,250 1,182
-------------
3,188
-------------
BANK HOLDING COMPANY -- 0.4%
Wells Fargo (A)
4.579%, 03/28/06 1,680 1,682
-------------
BANKS -- 1.5%
Banco Santander of Chile (A) (B)
4.810%, 03/09/06 1,750 1,743
Royal Bank of Scotland
4.815%, 01/18/07 3,000 3,000
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wachovia (A)
4.694%, 04/24/06 $ 1,500 $ 1,502
-------------
6,245
-------------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.8%
Clear Channel Communications
6.000%, 11/01/06 1,000 1,006
Univision Communications
3.875%, 10/15/08 825 791
2.875%, 10/15/06 1,500 1,477
-------------
3,274
-------------
ELECTRICAL SERVICES -- 1.0%
Dominion Resources, Ser D (A)
4.819%, 03/28/06 1,675 1,676
Dominion Resources, Ser G
3.660%, 11/15/06 1,000 988
Nisource Finance (A)
4.950%, 02/23/06 1,500 1,505
-------------
4,169
-------------
FINANCIAL SERVICES -- 2.0%
AIG Sunamerica Global Finance IV (B)
5.850%, 02/01/06 1,000 1,000
Bae Systems Holdings (A) (B)
4.740%, 02/15/06 1,035 1,036
Doral Financial (A)
5.431%, 04/20/06 1,450 1,383
FPL Group Capital
5.551%, 02/16/08 1,755 1,768
General Motors Acceptance
MTN (A)
5.243%, 02/21/06 1,000 996
National Rural Utilities
3.000%, 02/15/06 2,000 1,999
-------------
8,182
-------------
FOOD, BEVERAGE & TOBACCO -- 0.3%
General Mills
2.625%, 10/24/06 1,500 1,471
-------------
INSURANCE -- 1.6%
Ace Limited
6.000%, 04/01/07 2,000 2,017
Everest Reinsurance Holdings
8.750%, 03/15/10 1,545 1,739
Marsh & Mclennan (A)
4.720%, 04/13/06 1,420 1,418
St Paul
5.750%, 03/15/07 570 571
Travelers Property Casualty
3.750%, 03/15/08 1,000 976
-------------
6,721
-------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 31
STATEMENT OF NET ASSETS
Ultra Short Bond Fund (Concluded)
January 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
INVESTMENT BANKER/BROKER DEALER -- 1.9%
Credit Suisse First Boston NY
4.790%, 01/24/07 $ 3,000 $ 3,000
Credit Suisse First Boston USA (A)
4.530%, 03/02/06 1,500 1,501
Merrill Lynch MTN, Ser C (A)
4.755%, 04/26/06 1,750 1,752
Morgan Stanley Dean Witter (A)
4.709%, 04/12/06 1,600 1,602
-------------
7,855
-------------
MACHINERY -- 0.1%
Alabama Power
2.650%, 02/15/06 500 500
-------------
MEDICAL PRODUCTS & SERVICES -- 0.3%
Wellpoint Health Network
6.375%, 06/15/06 1,250 1,256
-------------
PETROLEUM & FUEL PRODUCTS -- 0.1%
Keyspan
4.900%, 05/16/08 360 359
-------------
RETAIL -- 0.3%
CVS
5.625%, 03/15/06 1,145 1,146
-------------
TELEPHONES & TELECOMMUNICATION -- 0.3%
France Telecom
7.450%, 03/01/06 1,100 1,102
-------------
Total Corporate Bonds
(Cost $51,426) ($ Thousands) 51,169
-------------
U.S. TREASURY OBLIGATIONS -- 8.4%
U.S. Treasury Inflation Index Note
3.375%, 01/15/07 15,798 16,022
U.S. Treasury Notes
3.875%, 07/31/07 3,500 3,466
3.625%, 04/30/07 7,500 7,414
3.375%, 02/28/07 7,500 7,404
-------------
Total U.S. Treasury Obligations
(Cost $34,599) ($ Thousands) 34,306
-------------
U.S. GOVERNMENT MORTGAGE-BACKED
OBLIGATIONS -- 6.1%
FHLMC
7.000%, 03/01/07 12 12
FHLMC (A)
5.438%, 09/01/06 2,329 2,372
5.387%, 08/01/06 1,661 1,698
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 $ 484 $ 491
FHLMC REMIC, Ser 1614, Cl J
6.250%, 11/15/22 69 69
FHLMC REMIC, Ser 2061, Cl TA
5.250%, 10/15/27 76 76
FHLMC REMIC, Ser 2594, Cl QH
4.000%, 10/15/16 404 402
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17 2,097 1,978
FHLMC REMIC, Ser 2684, Cl QM
3.500%, 03/15/19 708 702
FHLMC REMIC, Ser 2691, Cl OK
3.500%, 05/15/17 957 949
FHLMC REMIC, Ser 2727, Cl PA
4.125%, 08/15/18 1,312 1,303
FHLMC REMIC, Ser 2750, Cl NA
3.500%, 03/15/15 1,034 1,025
FHLMC REMIC, Ser 2750, Cl OA
3.500%, 10/15/11 944 936
FHLMC REMIC, Ser 2760, Cl LJ
4.000%, 01/15/33 311 311
FNMA
6.340%, 02/01/08 1,325 1,343
FNMA (A)
5.959%, 06/01/06 381 390
5.780%, 08/01/06 964 978
5.768%, 05/01/06 1,070 1,107
5.739%, 09/01/06 205 209
5.457%, 06/01/06 110 113
5.244%, 07/01/06 1,719 1,751
4.863%, 04/01/06 281 282
FNMA REMIC, Ser 1993-220, Cl FA (A)
5.131%, 02/25/06 274 276
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23 372 373
FNMA REMIC, Ser 2001-33, Cl FA (A)
4.980%, 02/25/06 486 490
FNMA REMIC, Ser 2002-63, Cl QF (A)
4.830%, 02/25/06 369 371
FNMA REMIC, Ser 2002-64, Cl FG (A)
4.720%, 02/18/06 447 449
FNMA REMIC, Ser 2002-78, Cl AU
5.000%, 06/25/30 1,360 1,339
FNMA REMIC, Ser 2003-57, Cl KL
3.500%, 03/25/09 277 276
FNMA REMIC, Ser 2003-8, Cl BN
4.500%, 03/25/16 2,695 2,660
SLMA (A)
4.601%, 03/15/06 411 411
-------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $25,466) ($ Thousands) 25,142
-------------
- --------------------------------------------------------------------------------
32 SEI Daily Income Trust / Annual Report / January 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 4.5%
FHLB
4.015%, 08/01/06 $ 3,000 $ 2,989
3.250%, 12/17/07 7,500 7,295
FNMA
3.250%, 07/31/06 3,500 3,474
3.000%, 08/15/07 5,000 4,867
-------------
Total U.S. Government Agency Obligations
(Cost $18,799) ($ Thousands) 18,625
-------------
CERTIFICATES OF DEPOSIT -- 2.5%
ANZ Deleware
4.810%, 01/29/07 3,000 3,000
HBOS Treasury Services PLC
4.840%, 01/30/07 3,000 2,998
Sovereign Bank
4.000%, 02/01/08 400 393
Wells Fargo Bank
4.000%, 07/24/06 2,000 1,992
Westdeutsche Landesbank
3.970%, 07/14/06 2,000 2,000
-------------
Total Certificates of Deposit
(Cost $10,400) ($ Thousands) 10,383
-------------
COLLATERALIZED LOAN OBLIGATION -- 0.1%
Franklin, Ser 4A, Cl A (A) (B)
5.050%, 03/20/06 500 502
-------------
Total Collateralized Loan Obligation
(Cost $503) ($ Thousands) 502
-------------
REPURCHASE AGREEMENT (C) -- 0.5%
UBS Securities LLC
4.470%, dated 01/31/06, to be
repurchased on 02/01/06,
repurchase price $2,200,273
(collateralized by a U.S. Government
obligation, par value $2,295,000,
4.500%, 07/15/13, with total
market value $2,246,805) 2,200 2,200
-------------
Total Repurchase Agreement
(Cost $2,200) ($ Thousands) 2,200
-------------
Total Investments -- 98.6%
(Cost $408,529) ($ Thousands) 406,325
-------------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- 1.4%
Receivable for Investment Securities Sold $ 1,515
Payable for Investment Securities Purchased (1,627)
Payable for Fund Shares Redeemed (288)
Income Distribution Payable (148)
Administration Fees Payable (85)
Investment Advisory Fees Payable (21)
Other Assets and Liabilities, Net 6,546
-------------
Total Other Assets and Liabilities 5,892
-------------
Net Assets -- 100.0% $ 412,217
=============
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 417,862
Distribution in excess of net investment income (74)
Accumulated net realized loss on investments (3,367)
Net unrealized depreciation on investments (2,204)
-------------
Net Assets $ 412,217
=============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($412,216,616 / 41,441,961 shares) $9.95
=============
(A) Floating Rate Instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on January 31, 2006. 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." The total value of such securities as of January
31, 2006 was $45,630 ($ Thousands) and represented 11.07% of Net Assets.
These securities have been deemed liquid by the Board of Trustees.
(C) Tri-Party Repurchase Agreement.
(D) Step Bonds -- The rate reflected on the Statement of Net Assets is the
effective yield on January 31, 2006. The coupon on a step bond changes on
a specified date.
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
LLC -- Limited Liability Company
MTN -- Medium Term Note
NY -- New York
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.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 33
Statements of Operations ($ Thousands)
For the year ended January 31, 2006
- ----------------------------------------------------------------------------------------------------------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $ 30,540 $ 22,231 $ 24,102 $ 144,633
- ----------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 2,909 1,564 1,362 7,959
Shareholder Servicing Fees - Class A Shares 1,245 913 1,369 6,796
Administrative & Shareholder Servicing Fees -
Class B Shares 337 436 475 1,871
Administrative & Shareholder Servicing Fees -
Class C Shares 900 559 53 3,839
Administrative & Shareholder Servicing Fees -
Class H Shares -- -- -- 154
Shareholder Servicing Fees - Sweep Class Shares 228 74 -- 108
Distribution Fees - Sweep Class Shares 456 148 -- 216
Investment Advisory Fees 209 155 170 993
Trustees' Fees 7 5 5 33
Registration Fees 48 32 14 241
Custodian/Wire Agent Fees 30 17 24 124
Proxy Costs 20 16 17 107
Pricing Fees 1 1 1 6
Other Expenses 77 60 71 342
- ----------------------------------------------------------------------------------------------------------
Total Expenses 6,467 3,980 3,561 22,789
- ----------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- -- --
Administration fees (1,695) (530) (212) (1,320)
Shareholder Servicing Fees - Class A Shares (1,245) (913) (1,369) (6,796)
- ----------------------------------------------------------------------------------------------------------
Net Expenses 3,527 2,537 1,980 14,673
- ----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 27,013 19,694 22,122 129,960
==========================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM:
Investments (17) -- (5) (18)
Payments by Affiliate* -- -- -- --
Futures Contracts -- -- -- --
NET CHANGE IN UNREALIZED DEPRECIATION ON:
Investments -- -- -- --
Futures Contracts -- -- -- --
- ----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 26,996 $ 19,694 $ 22,117 $ 129,942
==========================================================================================================
<FN>
Amounts designated as "--" are either $0 or have been rounded to $0.
* See Note 3 in Notes to Financial Statements.
</FN>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
34 SEI Daily Income Trust / Annual Report / January 31, 2006
- ---------------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION INTERMEDIATE-DURATION ULTRA
TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA SHORT BOND
FUND FUND FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $ 21,929 $ 9,521 $ 6,815 $ 3,994 $ 8,483 $ 12,493
- ---------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 1,596 755 662 352 559 1,222
Shareholder Servicing Fees - Class A Shares 665 577 473 252 437 873
Administrative & Shareholder Servicing Fees
- Class B Shares 648 220 -- -- -- --
Administrative & Shareholder Servicing Fees
- Class C Shares 413 52 -- -- -- --
Administrative & Shareholder Servicing Fees
- Class H Shares -- -- -- -- -- --
Shareholder Servicing Fees - Sweep Class
Shares 251 -- -- -- -- --
Distribution Fees - Sweep Class Shares 501 -- -- -- -- --
Investment Advisory Fees 158 75 189 101 175 349
Trustees' Fees 3 1 1 1 1 3
Registration Fees 7 14 13 1 11 15
Custodian/Wire Agent Fees 15 4 5 1 3 9
Proxy Costs 16 9 5 3 4 8
Pricing Fees 1 -- 33 18 33 99
Other Expenses 71 28 37 4 11 29
- ---------------------------------------------------------------------------------------------------------------------------------
Total Expenses 4,345 1,735 1,418 733 1,234 2,607
- ---------------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- (32) -- -- (131)
Administration fees (521) (89) (57) -- -- (374)
Shareholder Servicing Fees - Class A
Shares (665) (577) (473) (227) (182) (873)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Expenses 3,159 1,069 856 506 1,052 1,229
- ---------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 18,770 8,452 5,959 3,488 7,431 11,264
=================================================================================================================================
NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM:
Investments 4 (11) (1,730) (938) 703 (362)
Payments by Affiliate* -- -- 7 4 -- --
Futures Contracts -- -- (121) 104 271 --
NET CHANGE IN UNREALIZED DEPRECIATION ON:
Investments -- -- (665) (1,710) (3,890) (1,077)
Futures Contracts -- -- (16) (10) (6) --
- ---------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 18,774 $ 8,441 $ 3,434 $ 938 $ 4,509 $ 9,825
=================================================================================================================================
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 35
Statements of Changes in Net Assets ($ Thousands)
For the years ended January 31,
- ----------------------------------------------------------------------------------------------------------------------------------
MONEY MARKET GOVERNMENT
FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 27,013 $ 10,070 $ 19,694 $ 7,837
Net Realized Gain (Loss) on Investments (17) 10 -- (58)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 26,996 10,080 19,694 7,779
- ----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (16,207) (6,774) (11,793) (5,421)
Class B (3,339) (1,387) (4,120) (1,474)
Class C (5,096) (1,421) (3,066) (778)
Class H -- -- -- --
Sweep Class (2,372) (488) (715) (164)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Dividends (27,014) (10,070) (19,694) (7,837)
- ----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 3,325,894 4,146,390 3,986,557 3,175,417
Reinvestment of Dividends & Distributions 8,412 4,358 5,484 2,778
Cost of Shares Redeemed (3,466,934) (4,229,702) (3,894,032) (3,138,663)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (132,628) (78,954) 98,009 39,532
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 821,330 890,581 1,160,464 1,333,648
Reinvestment of Dividends & Distributions 446 273 1,104 413
Cost of Shares Redeemed (805,575) (907,607) (1,196,288) (1,417,797)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions 16,201 (16,753) (34,720) (83,736)
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 1,088,472 951,826 469,963 363,736
Reinvestment of Dividends & Distributions 302 83 -- --
Cost of Shares Redeemed (1,008,759) (1,000,318) (426,814) (383,222)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions 80,015 (48,409) 43,149 (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 584,778 568,216 276,875 275,839
Reinvestment of Dividends & Distributions -- -- 23 4
Cost of Shares Redeemed (540,771) (586,907) (278,378) (294,254)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Sweep Class Transactions 44,007 (18,691) (1,480) (18,411)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions 7,595 (162,807) 104,958 (82,101)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 7,577 (162,797) 104,958 (82,159)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 853,660 1,016,457 640,289 722,448
- ----------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 861,237 $ 853,660 $ 745,247 $ 640,289
==================================================================================================================================
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ -- $ 1 $ -- $ --
==================================================================================================================================
<FN>
Amounts designated as "--" are zero or have been rounded to zero.
</FN>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
36 SEI Daily Income Trust / Annual Report / January 31, 2006
- ----------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT II PRIME OBLIGATION
FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 22,122 $ 8,767 $ 129,960 $ 53,740
Net Realized Gain (Loss) on Investments (5) (7) (18) (14)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 22,117 8,760 129,942 53,726
- ----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (17,432) (6,773) (88,693) (39,748)
Class B (4,435) (1,710) (17,980) (6,719)
Class C (254) (285) (21,185) (6,719)
Class H -- -- (1,008) (336)
Sweep Class -- -- (1,095) (229)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Dividends (22,121) (8,768) (129,961) (53,751)
- ----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 2,122,774 1,586,478 29,575,399 28,226,610
Reinvestment of Dividends & Distributions 2,957 991 17,163 11,613
Cost of Shares Redeemed (2,064,701) (1,641,136) (29,608,316) (28,501,217)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 61,030 (53,667) (15,754) (262,994)
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 738,367 954,415 5,636,302 5,733,758
Reinvestment of Dividends & Distributions 643 279 7,150 2,252
Cost of Shares Redeemed (730,903) (995,268) (5,681,249) (5,644,471)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions 8,107 (40,574) (37,797) 91,539
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 60,303 226,759 5,162,865 5,914,517
Reinvestment of Dividends & Distributions 2 15 6,041 2,240
Cost of Shares Redeemed (74,485) (254,989) (5,119,585) (6,051,272)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions (14,180) (28,215) 49,321 (134,515)
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS H:
Proceeds from Shares Issued -- -- 85,991 79,666
Reinvestment of Dividends & Distributions -- -- 1,008 336
Cost of Shares Redeemed -- -- (92,214) (74,804)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class H Transactions -- -- (5,215) 5,198
- ----------------------------------------------------------------------------------------------------------------------------------
SWEEP CLASS:
Proceeds from Shares Issued -- -- 407,174 362,421
Reinvestment of Dividends & Distributions -- -- 68 17
Cost of Shares Redeemed -- -- (395,019) (366,929)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Sweep Class Transactions -- -- 12,223 (4,491)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions 54,957 (122,456) 2,778 (305,263)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 54,953 (122,464) 2,759 (305,288)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 694,362 816,826 4,440,907 4,746,195
- ----------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 749,315 $ 694,362 $ 4,443,666 $ 4,440,907
==================================================================================================================================
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ -- $ (1) $ -- $ 1
==================================================================================================================================
- ----------------------------------------------------------------------------------------------------------------------------------
TREASURY TREASURY II
FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005
- ----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 18,770 $ 6,195 $ 8,452 $ 4,400
Net Realized Gain (Loss) on Investments 4 (31) (11) (57)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 18,774 6,164 8,441 4,343
- ----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (8,111) (3,211) (6,410) (3,202)
Class B (6,067) (1,925) (1,831) (923)
Class C (2,235) (545) (211) (319)
Class H -- -- -- --
Sweep Class (2,357) (514) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Dividends (18,770) (6,195) (8,452) (4,444)
- ----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 1,804,616 2,544,088 1,172,871 1,343,161
Reinvestment of Dividends & Distributions 507 348 1,217 971
Cost of Shares Redeemed (1,890,004) (2,515,994) (1,259,325) (1,349,541)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (84,881) 28,442 (85,237) (5,409)
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 1,087,690 1,365,840 362,752 699,828
Reinvestment of Dividends & Distributions 1,477 463 126 111
Cost of Shares Redeemed (1,056,405) (1,485,282) (371,045) (781,992)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions 32,762 (118,979) (8,167) (82,053)
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 818,357 820,022 136,916 585,363
Reinvestment of Dividends & Distributions 42 12 -- --
Cost of Shares Redeemed (773,928) (860,744) (165,704) (612,405)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions 44,471 (40,710) (28,788) (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 550,906 504,982 -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed (562,742) (505,250) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Sweep Class Transactions (11,836) (268) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions (19,484) (131,515) (122,192) (114,504)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets (19,480) (131,546) (122,203) (114,605)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 664,011 795,557 373,878 488,483
- ----------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 644,531 $ 664,011 $ 251,675 $ 373,878
==================================================================================================================================
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ -- $ -- $ -- $ --
==================================================================================================================================
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 37
Statements of Changes in Net Assets ($ Thousands)
For the years ended January 31,
- -----------------------------------------------------------------------------------------------------------
SHORT-DURATION
GOVERNMENT FUND
- -----------------------------------------------------------------------------------------------------------
2006 2005
- -----------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 5,959 $ 5,410
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures
Contracts (1,844) (561)
Net Change in Unrealized Depreciation on Investments and Futures Contracts (681) (2,245)
- -----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 3,434 2,604
- -----------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (6,742) (6,335)
Net Realized Gains -- --
- -----------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (6,742) (6,335)
- -----------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 87,343 132,571
Reinvestment of Dividends & Distributions 5,265 4,309
Cost of Shares Redeemed (135,823) (221,100)
- -----------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (43,215) (84,220)
- -----------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (46,523) (87,951)
- -----------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 202,035 289,986
- -----------------------------------------------------------------------------------------------------------
END OF YEAR $ 155,512 $ 202,035
===========================================================================================================
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ (72) $ 5
===========================================================================================================
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 8,636 12,899
Reinvestment of Distributions 522 420
Shares Redeemed (13,463) (21,506)
- -----------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (4,305) (8,187)
- -----------------------------------------------------------------------------------------------------------
<FN>
Amounts designated as "--" are zero or have been rounded to zero.
+ Adjusted to reflect the effect of the 5 for 1 reverse share split on May 6,
2005. See Note 8 in Notes to Financial Statements.
</FN>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
38 SEI Daily Income Trust / Annual Report / January 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE-DURATION GNMA ULTRA SHORT
GOVERNMENT FUND FUND BOND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2006 2005 2006 2005 2006 2005
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 3,488 $ 3,409 $ 7,431 $ 7,414 $ 11,264 $ 6,071
Net Realized Gain (Loss) on Investments,
Payments by Affiliate and Futures
Contracts (830) (309) 974 768 (362) (241)
Net Change in Unrealized Depreciation on
Investments and Futures Contracts (1,720) (908) (3,896) (1,884) (1,077) (2,114)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 938 2,192 4,509 6,298 9,825 3,716
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (3,755) (3,597) (8,670) (9,524) (11,854) (6,945)
Net Realized Gains -- (80) -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (3,755) (3,677) (8,670) (9,524) (11,854) (6,945)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 23,528 37,922 51,821 44,917 296,269 343,268
Reinvestment of Dividends & Distributions 1,397 1,591 5,754 6,188 10,495 5,389
Cost of Shares Redeemed (45,629) (63,249) (58,229) (96,223) (209,900) (321,862)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from
Class A Transactions (20,704) (23,736) (654) (45,118) 96,864 26,795
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (23,521) (25,221) (4,815) (48,344) 94,835 23,566
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 109,394 134,615 171,139 219,483 317,382 293,816
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 85,873 $ 109,394 $ 166,324 $ 171,139 $ 412,217 $ 317,382
====================================================================================================================================
Undistributed Net Investment Income/
(Distributions in Excess of Net
Investment Income) $ (20) $ 11 $ -- $ (7) $ (74) $ (3)
====================================================================================================================================
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 2,272 3,596 5,394 4,613 29,708+ 34,136+
Reinvestment of Distributions 135 151 602 635 1,052+ 537+
Shares Redeemed (4,415) (5,983) (6,088) (9,876) (21,042)+ (32,032)+
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares
Outstanding from Share Transactions (2,008) (2,236) (92) (4,628) 9,718+ 2,641+
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 39
Financial Highlights
For the years ended January 31,
For a Share Outstanding Throughout the Years
- ----------------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends Net Asset
Beginning Investment (Losses) from Investment and Value, End Total
of Year Income on Securities Operations Income Distributions of Year Return
- ----------------------------------------------------------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 3.30%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.37
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.04
2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 1.61
2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.70
CLASS B
2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 2.99%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.07
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.74
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.31
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.39
CLASS C
2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 2.78%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.86
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.54
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.11
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.19
SWEEP CLASS
2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 2.53%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.61
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.29
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.85
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.93
GOVERNMENT FUND
CLASS A
2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 3.21%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.30
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.00
2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 1.53
2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.64
CLASS B
2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 2.90%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.00
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.69
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.23
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.33
CLASS C
2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 2.70%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.80
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.49
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.02
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.13
- -------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
End of Year to Average (Excluding to Average
($ Thousands) Net Assets Waivers) Net Assets
- -------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2006 $392,207 0.18% 0.62% 3.25%
2005 524,849 0.18 0.62 1.38
2004 603,798 0.18 0.62 1.05
2003 581,097 0.18 0.63 1.59
2002 419,783 0.18 0.63 3.90
CLASS B
2006 $123,851 0.48% 0.67% 2.98%
2005 107,650 0.48 0.67 1.10
2004 124,401 0.48 0.67 0.74
2003 159,389 0.48 0.68 1.30
2002 197,280 0.48 0.68 3.27
CLASS C
2006 $232,072 0.68% 0.87% 2.83%
2005 152,060 0.68 0.87 0.84
2004 200,467 0.68 0.87 0.55
2003 307,236 0.68 0.88 1.10
2002 407,312 0.68 0.88 3.02
SWEEP CLASS
2006 $113,107 0.93% 1.12% 2.60%
2005 69,101 0.93 1.12 0.61
2004 87,791 0.93 1.12 0.30
2003 149,729 0.93 1.13 0.85
2002 177,857 0.93 1.13 2.92
GOVERNMENT FUND
CLASS A
2006 $467,445 0.20% 0.53% 3.23%
2005 369,440 0.20 0.53 1.32
2004 329,940 0.20 0.53 0.99
2003 370,142 0.20 0.53 1.51
2002 402,096 0.20 0.53 3.42
CLASS B
2006 $122,025 0.50% 0.58% 2.84%
2005 156,741 0.50 0.58 0.93
2004 240,491 0.50 0.58 0.70
2003 258,488 0.50 0.58 1.20
2002 217,957 0.50 0.58 3.00
CLASS C
2006 $129,416 0.70% 0.78% 2.74%
2005 86,267 0.70 0.78 0.77
2004 105,763 0.70 0.78 0.50
2003 138,864 0.70 0.78 1.02
2002 151,256 0.70 0.78 2.90
- --------------------------------------------------------------------------------
40 SEI Daily Income Trust / Annual Report / January 31, 2006
- ----------------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends Net Asset
Beginning Investment (Losses) from Investment and Value, End Total
of Year Income on Securities Operations Income Distributions of Year Return
- ----------------------------------------------------------------------------------------------------------------------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2006 $1.00 $ 0.02(1) $--(1) $ 0.02 $(0.02) $(0.02) $1.00 2.44%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.55
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.25
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.77
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.87
GOVERNMENT II FUND
CLASS A
2006 $1.00 $ 0.03(1) $--(1) $0.03 $(0.03) $(0.03) $1.00 3.18%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.27
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.96
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.50
2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.63
CLASS B
2006 $1.00 $ 0.03(1) $--(1) $0.03 $(0.03) $(0.03) $1.00 2.87%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.97
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.66
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.20
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.32
CLASS C
2006 $1.00 $ 0.03(1) $--(1) $0.03 $(0.03) $(0.03) $1.00 2.67%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.76
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.46
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.11
PRIME OBLIGATION FUND
CLASS A
2006 $1.00 $ 0.03(1) $--(1) $0.03 $(0.03) $(0.03) $1.00 3.28%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.34
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.02
2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 1.58
2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.70
- -------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
End of Year to Average (Excluding to Average
($ Thousands) Net Assets Waivers) Net Assets
- -------------------------------------------------------------------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2006 $ 26,361 0.95% 1.03% 2.43%
2005 27,841 0.95 1.03 0.51
2004 46,254 0.95 1.03 0.25
2003 52,423 0.95 1.03 0.77
2002 71,277 0.95 1.03 2.67
GOVERNMENT II FUND
CLASS A
2006 $ 576,242 0.20% 0.48% 3.18%
2005 515,216 0.20 0.48 1.25
2004 568,888 0.20 0.47 0.96
2003 669,654 0.20 0.48 1.49
2002 688,112 0.20 0.48 3.63
CLASS B
2006 $ 168,616 0.50% 0.53% 2.80%
2005 160,509 0.50 0.53 0.92
2004 201,085 0.50 0.52 0.66
2003 174,496 0.50 0.53 1.19
2002 164,741 0.50 0.53 3.21
CLASS C
2006 $ 4,457 0.70% 0.73% 2.39%
2005 18,637 0.70 0.73 0.71
2004 46,853 0.70 0.72 0.46
2003 54,860 0.70 0.73 1.00
2002 80,415 0.70 0.73 2.84
PRIME OBLIGATION FUND
CLASS A
2006 $2,957,074 0.20% 0.48% 3.26%
2005 2,972,833 0.20 0.48 1.31
2004 3,235,847 0.20 0.48 1.02
2003 3,527,722 0.20 0.48 1.56
2002 3,989,778 0.20 0.48 3.72
<FN>
Amounts designated as "--" are $0 or have been rounded to $0.
(1) Per share calculations were performed using average shares.
(2) Amount represents less than $0.01 per share.
</FN>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 41
Financial Highlights
For the years ended January 31,
For a Share Outstanding Throughout the Years
- -------------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends Net Asset
Beginning Investment (Losses) from Investment and Value, End Total
of Year Income on Securities Operations Income Distributions of Year Return
- -------------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 2.98%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.03
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.72
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.28
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.39
CLASS C
2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 2.77%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.83
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.52
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.07
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.18
CLASS H
2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 2.84%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.90
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.59
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.15
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.25
SWEEP CLASS
2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 2.51%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.58
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.27
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.82
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.92
TREASURY FUND
CLASS A
2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 3.13%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.22
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.96
2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 1.51
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.48
CLASS B
2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 2.82%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.91
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.66
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.21
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.18
CLASS C
2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 2.62%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.71
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.46
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.01
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.97
- -------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
End of Year to Average (Excluding to Average
($ Thousands) Net Assets Waivers) Net Assets
- -------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2006 $ 625,831 0.50% 0.53% 2.88%
2005 663,635 0.50 0.53 1.05
2004 572,097 0.50 0.53 0.72
2003 776,902 0.50 0.53 1.26
2002 676,475 0.50 0.53 3.21
CLASS C
2006 $ 779,625 0.70% 0.73% 2.76%
2005 730,310 0.70 0.73 0.82
2004 864,829 0.70 0.73 0.52
2003 929,285 0.70 0.73 1.07
2002 946,967 0.70 0.73 3.07
CLASS H
2006 $ 36,006 0.63% 0.66% 2.81%
2005 41,221 0.63 0.66 0.90
2004 36,023 0.63 0.66 0.59
2003 44,327 0.63 0.66 1.13
2002 29,412 0.63 0.65 2.89
SWEEP CLASS
2006 $ 45,130 0.95% 0.98% 2.53%
2005 32,908 0.95 0.98 0.58
2004 37,399 0.95 0.98 0.28
2003 56,968 0.95 0.98 0.83
2002 76,982 0.95 0.98 2.88
TREASURY FUND
CLASS A
2006 $ 208,097 0.20% 0.53% 3.05%
2005 292,974 0.20 0.53 1.21
2004 264,544 0.20 0.53 0.92
2003 147,129 0.20 0.54 1.50
2002 221,636 0.20 0.53 3.30
CLASS B
2006 $ 239,461 0.50% 0.58% 2.81%
2005 206,698 0.50 0.58 0.85
2004 325,687 0.50 0.58 0.65
2003 319,991 0.50 0.59 1.19
2002 316,896 0.50 0.58 3.11
CLASS C
2006 $ 113,403 0.70% 0.78% 2.70%
2005 68,932 0.70 0.78 0.66
2004 109,647 0.70 0.78 0.45
2003 103,015 0.70 0.79 0.98
2002 97,755 0.70 0.78 2.86
- --------------------------------------------------------------------------------
42 SEI Daily Income Trust / Annual Report / January 31, 2006
- -----------------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends Net Asset
Beginning Investment (Losses) from Investment and Value, End Total
of Year Income on Securities Operations Income Distributions of Year Return
- -----------------------------------------------------------------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2006 $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $(0.02) $ 1.00 2.36%
2005 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.49
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.23
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.76
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.71
TREASURY II FUND
CLASS A
2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $(0.03) $ 1.00 2.85%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.09
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.81
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.42
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.35
CLASS B
2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $(0.03) $ 1.00 2.54%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.79
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.51
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.12
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.05
CLASS C
2006 $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $(0.02) $ 1.00 2.33%
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.59
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.31
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.91
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.84
- ---------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
End of Year to Average (Excluding to Average
($ Thousands) Net Assets Waivers) Net Assets
- ---------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2006 $ 83,570 0.95% 1.03% 2.35%
2005 95,407 0.93 1.03 0.49
2004 95,679 0.92 1.03 0.22
2003 102,257 0.95 1.04 0.75
2002 119,263 0.95 1.03 2.61
TREASURY II FUND
CLASS A
2006 $ 178,480 0.25% 0.53% 2.78%
2005 263,727 0.25 0.53 1.08
2004 269,200 0.25 0.53 0.80
2003 410,954 0.25 0.53 1.42
2002 556,201 0.25 0.53 3.20
CLASS B
2006 $ 70,593 0.55% 0.58% 2.50%
2005 78,781 0.55 0.58 0.70
2004 160,859 0.55 0.58 0.51
2003 210,421 0.55 0.58 1.08
2002 133,310 0.55 0.58 2.94
CLASS C
2006 $ 2,602 0.75% 0.78% 2.03%
2005 31,370 0.75 0.78 0.54
2004 58,424 0.75 0.78 0.30
2003 92,554 0.75 0.78 0.90
2002 109,581 0.75 0.78 2.71
<FN>
Amounts designated as "--" are $0 or have been rounded to $0.
(1) Per share calculations were performed using average shares.
(2) Amount represents less than $0.01 per share.
</FN>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 43
Financial Highlights
For the years 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 Year Income on Securities Operations Income Gains Distributions of Year Return+
- -----------------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2006 $ 10.19 $ 0.32(1) $ (0.13)(1) $ 0.19 $ (0.36) $ -- $ (0.36) $ 10.02 1.93%
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
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2006 $ 10.50 $ 0.36(1) $ (0.26)(1) $ 0.10 $ (0.39) $ -- $ (0.39) $ 10.21 0.94%
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
GNMA FUND
CLASS A
2006 $ 9.71 $ 0.41(1) $ (0.16)(1) $ 0.25 $ (0.48) $ -- $ (0.48) $ 9.48 2.60%
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
ULTRA SHORT BOND FUND
CLASS A
2006++ $ 10.00 $ 0.32(1) $ (0.04)(1) $ 0.28 $ (0.33) $ -- $ (0.33) $ 9.95 2.90%
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
- ----------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income Portfolio
End of Year to Average (Excluding to Average Turnover
($ Thousands) Net Assets Waivers) Net Assets Rate
- ----------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2006 $ 155,512 0.45% 0.75% 3.15% 162%
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
INTERMEDIATE - DURATION GOVERNMENT FUND
CLASS A
2006 $ 85,873 0.50% 0.73% 3.46% 151%
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
GNMA FUND
CLASS A
2006 $ 166,324 0.60% 0.71% 4.26% 97%
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
ULTRA SHORT BOND FUND
CLASS A
2006++ $ 412,217 0.35% 0.75% 3.22% 67%
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
<FN>
Amounts designated as "--" are $0 or have been rounded to $0.
+ Returns are for the period indicated and have not been annualized. Returns
shown do not reflect the deduction of taxes that a shareholder would pay
on Fund distributions or the redemption of Fund shares.
++ Per share amounts have been adjusted for a 5 for 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.
</FN>
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
44 SEI Daily Income Trust / Annual Report / January 31, 2006
NOTES TO FINANCIAL STATEMENTS
Notes to Financial Statements
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end investment company with ten operational Funds: the Money
Market, Government, Government II, Prime Obligation, Treasury, Treasury II (each
a "Fund", collectively the "Money Market Funds"), the Short-Duration Government,
Intermediate-Duration Government, GNMA, and Ultra Short Bond (each a "Fund",
collectively the "Fixed Income Funds"). The Funds' prospectuses provide a
description of each Fund's investment objectives, policies and strategies. The
assets of each Fund are segregated, and a shareholder's interest is limited to
the Fund in which shares are held.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Funds.
USE OF ESTIMATES -- The preparation of financial statements, in conformity with
accounting principles generally accepted in the United States of America,
requires management to make estimates and assumptions that affect the reported
amount of assets and liabilities and disclosure of contingent assets at the date
of the financial statements, and the reported results of operations during the
reporting period. Actual results could differ from those estimates.
SECURITY VALUATION -- Investment securities of the Money Market Funds are stated
at amortized cost which approximates market value. Under this valuation method,
purchase discounts and premiums are accreted and amortized ratably to maturity
and are included in interest income.
Investment securities of the Fixed Income Funds listed on a securities exchange,
market or automated quotation system for which quotations are readily available
are valued at the last quoted sale price on the primary exchange or market on
which they are traded, or, if there is no such reported sale, at the most recent
quoted bid price. If available, debt securities are priced based upon valuations
provided by independent, third-party pricing agents. Such values generally
reflect the last reported sales price if the security is actively traded. The
third-party pricing agents may also value debt securities at an evaluated bid
price by employing methodologies that utilize actual market transactions,
broker-supplied valuations, or other methodologies designed to identify the
market value for such securities. Debt obligations with remaining maturities of
sixty days or less may be valued at their amortized cost, which approximates
market value. Prices for most securities held in the Funds are provided daily by
recognized independent pricing agents. If a security price cannot be obtained
from an independent, third-party pricing agent, the Funds seek to obtain a bid
price from at least one independent broker.
Securities for which market prices are not "readily available" are valued in
accordance with Fair Value Procedures established by the Funds' Board of
Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Funds' Board of Trustees. Some of
the more common reasons that may necessitate that a security be valued using
Fair Value Procedures include: the security's trading has been halted or
suspended; the security has been de-listed from a national exchange; the
security's primary trading market is temporarily closed at a time when under
normal conditions it would be open; or the security's primary pricing source is
not able or willing to provide a price. When a security is valued in accordance
with the Fair Value Procedures, the Committee will determine the value after
taking into consideration relevant information reasonably available to the
Committee. As of January 31, 2006, 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 Short-Duration Government Fund, the
Intermediate-Duration Government Fund and the GNMA Fund utilized futures
contracts during the year ended January 31, 2006. The Funds' investment in these
futures contracts is designed to enable the Funds to more closely approximate
the performance of their benchmark indices.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 45
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 Short-Duration Government Fund, 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 PURCHASE COMMITMENTS -- The Funds may engage in "to be announced" ("TBA")
purchase commitments to purchase securities for a fixed price at a future date.
TBA purchase commitments may be considered securities and involve a risk of loss
if the value of the security to be purchased declines prior to settlement date,
which risk is in addition to the risk of decline in the value of a Fund's other
assets. Unsettled TBA purchase commitments are valued at the current market
value of the underlying securities, according to the procedures described under
"Security Valuation" above.
COLLATERALIZED LOAN OBLIGATIONS -- The Funds may invest in collateralized loan
obligations ("CLOs") and other similarly structured securities. CLOs are a type
of asset-backed securities. A CLO is a trust typically collateralized by a pool
of loans, which may include, among others, domestic and foreign senior secured
loans, senior unsecured loans, and subordinate corporate loans, including loans
that may be rated below investment grade or equivalent unrated loans.
Normally, CLOs are privately offered and sold, and thus, are not registered
under the securities laws.
ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or
disposed of in the ordinary course of business within seven days or less for its
approximate carrying value on the books of the Funds. Valuations of illiquid
securities may differ significantly from the values that would have been used
had an active market value for these securities existed.
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 daily 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 AND TRANSFER AGENT AGREEMENT -- SEI Investments Global Funds
Services (formerly SEI Investments Fund Management) (the "Administrator")
provides administrative and transfer agency 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 agreed to waive a portion or its entire fee, for
various classes of shares in various funds, to limit total annual expenses up to
the following amounts (expressed as a percentage of the Funds' daily net
assets).
- ----------------------------------------------------------------------------------------------------------
Money Prime
Market Government Government II Obligation Treasury Treasury II
Fund Fund Fund Fund Fund Fund
- ----------------------------------------------------------------------------------------------------------
Class A .18%(1) .20%(3) .20%(2) .20%(2) .20%(2) .25%(2)
Class B .48%(1) .50%(3) .50%(2) .50%(2) .50%(2) .55%(2)
Class C .68%(1) .70%(3) .70%(2) .70%(2) .70%(2) .75%(2)
Class H N/A N/A N/A .63%(1) N/A N/A
Sweep Class .93%(1) .95%(1) * .95%(1) .95%(1) *
- --------------------------------------------------------------------------------
46 SEI Daily Income Trust / Annual Report / January 31, 2006
- --------------------------------------------------------------------------------
Short- Intermediate- Ultra
Duration Duration Short
Government Government GNMA Bond
Fund Fund Fund Fund
- --------------------------------------------------------------------------------
Class A .45%(1) .50%(1) .60%(1) .35%(1)
- --------------------------------------------------------------------------------
* Class not currently operational.
(1) Represents a voluntary cap that may be discontinued at any time.
(2) Represents a contractual cap effective through May 31, 2006.
(3) Represents a contractual cap of .25%, .55%, and .75% of Class A, B, and C,
respectively, effective through May 31, 2006. In addition, management has
voluntarily waived fees to a cap of .20%, .50%, and .70% of Class A, B,
and C, respectively, that may be discontinued at any time.
During the year expenses related to a proxy conducted by the Trust were charged
to the Funds above the cap.
During the year ended January 31, 2006, 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 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 up 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%
- -------------------------------------------------------------------------------
Adminis-
Shareholder trative
Servicing Service Distribution
Fees Fees Fees*
- --------------------------------------------------------------------------------
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. For Classes B, C, and
H, the shareholder servicing fees and the administrative service fees are shown
combined as "Administrative & Shareholder Servicing Fees" in the Statement of
Operations.
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% on the first $500 million of net assets and .02% on
the net assets in excess of $500 million for the Money Market Funds. The fee
will be calculated based on the combined assets of the Money Market Funds. SIMC
also receives an annual fee equal to .10% on the first $500 million of net
assets, .075% of net assets between $500 million and $1 billion and .05% on the
net assets in excess of $1 billion for the Short-Duration Government,
Intermediate-Duration Government and GNMA Funds. The fee will be calculated
based on the combined assets of the Funds listed above. SIMC also receives an
annual fee equal to .10% on the first $500 million of net assets, .075% of net
assets between $500 million and $1 billion and .05% on the net assets in excess
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 47
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
of $1 billion for the Ultra Short Bond Fund. The fee will be calculated based on
the net assets of the Ultra Short Bond Fund.
Pursuant to the "manager of managers" structure, the Board of Trustees approved
Columbia Management Advisors, LLC (formerly Banc of America Capital Management,
LLC) as each Money Market Fund's investment sub-adviser under an investment
sub-advisory agreement approved by the shareholders of each Fund. For its
services to the Money Market Funds, the sub-adviser is entitled to receive a fee
paid directly by SIMC.
Wellington Management Company LLP, ("Wellington LLP") serves as sub-adviser to
the Fixed Income Funds under an investment sub-advisory agreement approved by
the shareholders of each Fund. For its services to the Funds, Wellington LLP is
entitlted to receive a fee paid directly by SIMC.
Wachovia Bank, N.A. serves as the custodian of the Funds. The custodian plays no
role in determining the investment policies of the Funds or which securities are
to be purchased or sold in the Funds.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities, for the year ended
January 31, 2006, were as follows for the Fixed Income Funds:
- ---------------------------------------------------------------------------
Short- Intermediate- Ultra
Duration Duration Short
Government Government GNMA Bond
Fund Fund Fund Fund
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------------------
PURCHASES
U.S. Government $209,206 $138,607 $153,984 $ 70,195
Other 76,379 5,155 13,087 113,908
SALES
U.S. Government $253,493 $161,910 $164,419 $ 35,152
Other 65,397 171 2,670 106,201
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company for Federal income tax purposes and distribute all of its taxable income
(including net capital gains). Accordingly, no provision for Federal income
taxes is required.
Reclassification of components of net assets -- The timing and characterization
of certain income and capital gain distributions are determined annually in
accordance with Federal tax regulations which may differ from accounting
principles generally accepted in the United States. As a result, net investment
income (loss) and net realized gain (loss) on investment transactions for the
reporting period may differ from distributions during such period. These
book/tax differences may be temporary or permanent in nature. To the extent
these differences are permanent, they are charged or credited to paid-in
capital, 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 expiration of capital loss carryforwards, and tax
treatment of paydown gain (loss) on mortgage and asset-backed securities.
Accordingly, the following permanent differences have been reclassified to/from
the following accounts during the fiscal year ended January 31, 2006:
Undistributed Accumulated
Net Investment Net Realized
Paid-in Capital Income Gain (Loss)
($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------------
Government Fund $ (5) $ -- $ 5
Government II Fund (38) -- 38
Treasury II Fund (148) -- 148
Short-Duration Government Fund -- 706 (706)
Intermediate-Duration Government Fund -- 236 (236)
GNMA Fund (237) 1,246 (1,009)
Ultra Short Bond Fund -- 519 (519)
- --------------------------------------------------------------------------------
48 SEI Daily Income Trust / Annual Report / January 31, 2006
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 2006 $ 27,014 $ -- $ 27,014
2005 10,070 -- 10,070
Government Fund 2006 19,694 -- 19,694
2005 7,837 -- 7,837
Government II Fund 2006 22,121 -- 22,121
2005 8,768 -- 8,768
Prime Obligation Fund 2006 129,961 -- 129,961
2005 53,751 -- 53,751
Treasury Fund 2006 18,770 -- 18,770
2005 6,195 -- 6,195
Treasury II Fund 2006 8,452 -- 8,452
2005 4,444 -- 4,444
Short-Duration Government Fund 2006 6,742 -- 6,742
2005 6,335 -- 6,335
Intermediate-Duration Government Fund 2006 3,755 -- 3,755
2005 3,597 80 3,677
GNMA Fund 2006 8,670 -- 8,670
2005 9,524 -- 9,524
Ultra Short Bond Fund 2006 11,854 -- 11,854
2005 6,945 -- 6,945
As of January 31, 2006 the components of Distributable Earnings/(Accumulated
Losses) on a tax basis were as follows:
- -----------------------------------------------------------------------------------------------------------------------------------
Total
Undistributed Undistributed Capital Post- Other Unrealized Distributable
Ordinary Long Term Loss October Temporary Appreciation Earnings
Income Capital Gain Carryforwards Losses Differences (Depreciation) (Accumulated Losses)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------------------------------------------------------------
Money Market Fund $ 3,049 $ -- $ (16) $ -- $ (3,045) $ -- $ (12)
Government Fund 2,558 -- (68) -- (2,558) -- (68)
Government II Fund 2,615 -- (15) -- (2,615) -- (15)
Prime Obligation Fund 15,752 -- (104) -- (15,752) -- (104)
Treasury Fund 1,955 -- (93) -- (1,955) -- (93)
Treasury II Fund 741 -- (122) (6) (741) -- (128)
Short-Duration
Government Fund 466 -- (4,602) (713) (539) (1,745) (7,133)
Intermediate-Duration
Government Fund 246 -- (1,184) (371) (266) (1,706) (3,281)
GNMA Fund 688 -- (10,024) (437) (688) (392) (10,853)
Ultra Short Bond Fund 1,227 -- (3,064) (303) (1,301) (2,204) (5,645)
Amounts designated as "--" are $0 or have been rounded to $0.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 49
NOTES TO FINANCIAL STATEMENTS
At January 31, 2006, the following funds had capital loss carryforwards to
offset future realized capital gains:
- --------------------------------------------------------------------------------
Amount Expiration
($ Thousands) Date
- --------------------------------------------------------------------------------
Money Market Fund $ 16 1/31/14
Government Fund 5 1/31/10
5 1/31/11
54 1/31/13
4 1/31/14
Government II Fund 3 1/31/12
7 1/31/13
5 1/31/14
Prime Obligation Fund 27 1/31/10
43 1/31/11
2 1/31/12
14 1/31/13
18 1/31/14
Treasury Fund 65 1/31/11
1 1/31/12
22 1/31/13
5 1/31/14
Treasury II Fund 40 1/31/10
19 1/31/11
19 1/31/13
44 1/31/14
Short-Duration Government Fund 899 1/31/12
1,326 1/31/13
2,377 1/31/14
Intermediate-Duration Government Fund 301 1/31/13
883 1/31/14
GNMA Fund 109 1/31/08
1,607 1/31/09
776 1/31/11
6,407 1/31/12
1,119 1/31/13
6 1/31/14
Ultra Short Bond Fund 557 1/31/11
442 1/31/12
1,020 1/31/13
1,045 1/31/14
The Government Fund, Government II Fund, Treasury II Fund and GNMA Fund have
permanent book/tax differences due to the expiration of capital loss
carryforwards. The Government Fund, Government II Fund, Treasury II Fund and
GNMA Fund have $5,064, $38,015, $147,748 and $237,677 of capital losses,
respectively, which have expired as of January 31, 2006.
For Federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. Post-October losses represent
losses realized on investment transactions from November 1, 2005 through January
31, 2006 that, in accordance with Federal income tax regulations, the Funds may
elect to defer and treat as having arisen in the following fiscal year.
At January 31, 2006 the Money Market Funds cost of securities for Federal income
tax purposes approximates the cost located in the Statement of Net Assets.
The Federal tax cost and aggregate gross unrealized appreciation and
depreciation on investments held by the Fixed Income Funds at January 31, 2006,
were as follows:
- -------------------------------------------------------------------------------
Net
Federal Appreciated Depreciated Unrealized
Tax Cost Securities Securities Depreciation
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
Short-Duration
Government Fund $155,585 $ 62 $(1,807) $(1,745)
Intermediate-Duration
Government Fund 88,789 110 (1,816) (1,706)
GNMA Fund 168,747 991 (1,383) (392)
Ultra Short
Bond Fund 408,529 167 (2,371) (2,204)
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. OTHER
The Board approved a 5 for 1 reverse share split in the Ultra Short Bond Fund.
The reverse share split occurred on May 6, 2005. This Fund is designed to be a
low tracking error fund. The Fund experienced excess tracking error due to the
impact of rounding on the Fund's net asset value ("NAV"). The reverse share
split resulted in a higher NAV for the Fund, thus decreasing the level of
tracking error resulting from NAV rounding.
- --------------------------------------------------------------------------------
50 SEI Daily Income Trust / Annual Report / January 31, 2006
NOTES TO FINANCIAL STATEMENTS
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (Unaudited)
The Board has selected KPMG LLP (KPMG) to serve as the Trust's independent
registered public accounting firm for the Trust's fiscal year ended January 31,
2006. The decision to select KPMG was recommended by the Audit Committee and was
approved by the Board on September 21, 2005. During the Trust's fiscal years
ended January 31, 2005 and January 31, 2004 neither the Trust, its portfolios
nor anyone on their behalf consulted with KPMG on items which (i) concerned the
application of accounting principles to a specified transaction, either
completed or proposed, or the type of audit opinion that might be rendered on
the Trust's financial statements; or (ii) concerned the subject of a
disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K)
or reportable events (as described in paragraph (a)(1)(iv) of said Item 304).
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. The
decision to replace Ernst & Young LLP ("E&Y"), the Trust's previous independent
registered public accounting firm, and, to select KPMG was recommended by the
Trust's Audit Committee and approved by the Funds' Board of Trustees. E&Y's
report on the Trust's financial statements for the fiscal years ended January
31, 2005 and January 31, 2004 contained no adverse opinion or disclaimer of
opinion nor were they qualified or modified as to uncertainty, audit scope or
accounting principles. During the Trust's fiscal years ended January 31, 2005
and January 31, 2004 (i) there were no disagreements with E&Y on any matter of
accounting principles or practices, financial statement disclosure or auditing
scope or procedure, which disagreements, if not resolved to the satisfaction of
E&Y, would have caused it to make reference to the subject matter of the
disagreements in connection with its reports on the Trust's financial statements
for such years, and (ii) there were no "reportable events" of the kind described
in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of
1934, as amended.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 51
SEI DAILY INCOME TRUST -- JANUARY 31, 2006
Report of Independent Registered Public Accounting Firm
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF SEI DAILY INCOME TRUST:
We have audited the accompanying statements of net assets of SEI Daily Income
Trust, comprising the Money Market, Government, Government II, Prime Obligation,
Treasury, Treasury II, Short-Duration Government, Intermediate-Duration
Government, GNMA, and Ultra-Short Bond Funds, (collectively, the "Funds"), as of
January 31, 2006, and the related statements of operations and changes in net
assets, and the financial highlights for the year then ended. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits. The statements of
changes in net assets for the year-ended January 31, 2005 and the financial
highlights for the each of the years in the three-year period then ended were
audited by other auditors. Those auditors expressed an unqualified opinion on
those statements of changes in net assets and financial highlights in their
report dated March 11, 2005. The financial highlights for the year ended January
31, 2002, were audited by other auditors who have ceased operations. Those
auditors expressed an unqualified opinion on those financial highlights in their
report dated March 15, 2002.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of January 31, 2006, by correspondence with custodians and
brokers. As to securities purchased or sold but not yet received or delivered,
we performed other appropriate auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of SEI
Daily Income Trust as of January 31, 2006, and the results of its operations,
the changes in its net assets, and the financial highlights for the year then
ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
March 29, 2006
- --------------------------------------------------------------------------------
52 SEI Daily Income Trust / Annual Report / January 31, 2006
TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED)
The following chart lists Trustees and Officers as of March 28, 2006.
Set forth below are the names, addresses, ages, position with the Trust, term of office and length of time served, the principal
occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the
fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional
Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by
calling 1-800-342-5734.
- -----------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) TRUSTEE
- -----------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------
Robert A. Nesher Chairman since 1982 Currently performs various 72 Trustee of The Advisors' Inner
One Freedom of the services on behalf of SEI Circle Fund, The Advisors'
Valley Drive, Board of Investments for which Mr. Nesher Inner Circle Fund II, Bishop
Oaks, PA 19456 Trustees* is compensated. Street Funds, Director of SEI
59 yrs. old Global Master Fund plc, SEI
Global Assets Fund, plc, SEI
Global Investments Fund, plc,
SEI Investments Global,
Limited, SEI Investments --
Global Fund Services, Limited,
SEI Investments (Europe),
Limited, SEI Investments --
Unit Trust Management (UK),
Limited, SEI Global Nominee
Ltd., SEI Absolute Return
Master Fund, L.P., SEI
Absolute Return Fund, L.P.,
SEI Opportunity Master Fund,
L.P., SEI Opportunity Fund,
L.P. and SEI Multi-Strategy
Funds plc.
- -----------------------------------------------------------------------------------------------------------------------------------
William M. Doran Trustee* since 1982 Self-employed consultant since 72 Trustee of The Advisors' Inner
1701 Market Street 2003. Partner, Morgan, Lewis & Circle Fund, The Advisors'
Philadelphia, PA Bockius LLP (law firm) from 1976 Inner Circle Fund II, Director
19103 to 2003, counsel to the Trust, of SEI Investments since 1974.
65 yrs. old SEI Investments, SIMC, the Director of the Distributor
Administrator and the Distributor. since 2003. Director of SEI
Secretary of SEI Investments since Investments -- Global Fund
1978. Services, Limited, SEI
Investments Global, Limited,
SEI Investments (Europe),
Limited, SEI Investments
(Asia), Limited and SEI Asset
Korea Co., Ltd.
- -----------------------------------------------------------------------------------------------------------------------------------
TRUSTEES
- --------
F. Wendell Gooch Trustee since 1982 Retired 72 Trustee of STI Classic Funds
One Freedom and STI Classic Variable Trust.
Valley Drive,
Oaks, PA 19456
73 yrs. old
- -----------------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee since 1995 Attorney, sole practitioner since 72 Trustee of The Advisors' Inner
One Freedom 1994. Partner, Dechert Price & Circle Fund, The Advisors'
Valley Drive, Rhoads, September 1987-December Inner Circle Fund II,
Oaks, PA 19456 1993. Massachusetts Health and
74 yrs. old Education Tax-Exempt Trust,
and U.S. Charitable Gift Trust.
- -----------------------------------------------------------------------------------------------------------------------------------
<FN>
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE
1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR.
(1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR,
OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST.
(2) THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI
INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET
TRUST AND SEI TAX EXEMPT TRUST.
</FN>
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 53
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
- -----------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) TRUSTEE
- -----------------------------------------------------------------------------------------------------------------------------------
TRUSTEES (CONTINUED)
- --------
George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, Newfound 72 Trustee of The Advisors' Inner
One Freedom Consultants Inc. since April 1997. Circle Fund, The Advisors'
Valley Drive Inner Circle Fund II, State
Oaks, PA 19456 Street Navigator Securities
63 yrs. old Lending Trust, SEI Absolute
Return Master Fund, L.P., SEI
Absolute Return Fund, L.P.,
SEI Opportunity Master Fund,
L.P., and SEI Opportunity
Fund, L.P.
- -----------------------------------------------------------------------------------------------------------------------------------
Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 72 Director, Sonoco, Inc.;
One Freedom` Health Care Reform, Commonwealth of Director, Exelon Corporation;
Valley Drive Pennsylvania since 2003. Founder and Trustee, Pennsylvania Real
Oaks, PA 19456 Principal, Grecoventures Ltd. from Estate Investment Trust.
59 yrs. old 1999 to 2002.
- -----------------------------------------------------------------------------------------------------------------------------------
Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital since 72 SEI Absolute Return Master
One Freedom March 2002, Managing Partner and Fund, L.P., SEI Absolute
Valley Drive, Head of Sales, Investorforce, March Return Fund, L.P., SEI
Oaks, PA 19456 2000-December 2001; Global Partner Opportunity Master Fund, L.P.,
48 yrs. old working for the CEO, Invesco and SEI Opportunity Fund, L.P.
Capital, January 1998-January 2000.
Head of Sales and Client Services,
Chancellor Capital and later LGT
Asset Management, 1986-2000.
- -----------------------------------------------------------------------------------------------------------------------------------
James M. Williams Trustee since 2004 Vice President and Chief Investment 72 SEI Absolute Return Master
One Freedom Officer, J. Paul Getty Trust, Fund, L.P., SEI Absolute
Valley Drive, Non-Profit Foundation for Visual Return Fund, L.P., SEI
Oaks, PA 19456 Arts, since December 2002. Opportunity Master Fund, L.P.,
58 yrs. old President, Harbor Capital Advisors and SEI Opportunity Fund, L.P.
and Harbor Mutual Funds, 2000-2002.
Manager, Pension Asset Management,
Ford Motor Company, 1997-1999.
- -----------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------
Robert A. Nesher President since 2005 Currently performs various services N/A N/A
One Freedom & CEO on behalf of SEI Investments for
Valley Drive, which Mr. Nesher is compensated.
Oaks, PA 19456
59 yrs. old
- -----------------------------------------------------------------------------------------------------------------------------------
Stephen F. Panner Controller since 2005 Fund Accounting Director of the N/A N/A
One Freedom and Administrator since 2005. Fund
Valley Drive, Chief Administration Manager, Old Mutual
Oaks, PA 19456 Financial Fund Services, 2000-2005. Chief
35 yrs. old Officer Financial Officer, Controller and
Treasurer, PBHG Funds and PBHG
Insurance Series Fund, 2004-2005.
Assistant Treasurer, PBHG Funds and
PBHG Insurance Series Fund,
2000-2004. Assistant Treasurer, Old
Mutual Advisors Fund, 2004-2005.
- -----------------------------------------------------------------------------------------------------------------------------------
Timothy D. Barto Vice since 2002 General Counsel, Vice President and N/A N/A
One Freedom President Secretary of SIMC and the
Valley Drive and Administrator since 2004. Vice
Oaks, PA 19456 Secretary President and Assistant Secretary of
38 yrs. old SEI Investments since 2001. Vice
President of SIMC and the
Administrator since 1999. Assistant
Secretary of SIMC, the Administrator
and the Distributor and Vice
President of the Distributor,
1999-2003.
- -----------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
54 SEI Daily Income Trust / Annual Report / January 31, 2006
- -----------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) TRUSTEE
- -----------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------------------
Sofia A. Rosala Vice since 2004 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC and the
Valley Drive and Administrator since 2005. Compliance
Oaks, PA 19456 Assistant Officer of SEI Investments September
32 yrs. old Secretary 2001-2004. Account and Product
Consultant, SEI Private Trust
Company, 1998-2001.
- -----------------------------------------------------------------------------------------------------------------------------------
Philip T. Masterson Vice since 2004 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2005.
Valley Drive and General Counsel, Citco Mutual Fund
Oaks, PA 19456 Assistant Services, 2003-2004. Vice President
42 yrs. old Secretary and Associate Counsel,
OppenheimerFunds, 2001-2003. Vice
President and Assistant Counsel,
Oppenheimer Funds, 1997-2001.
- -----------------------------------------------------------------------------------------------------------------------------------
James Ndiaye Vice since 2005 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2005. Vice
Valley Drive and President, Deutsche Asset Management
Oaks, PA 19456 Assistant (2003-2004). Associate, Morgan,
37 yrs. old Secretary Lewis & Bockius LLP (2000-2003).
Assistant Vice President, ING
Variable Annuities Group (1999-2000).
- -----------------------------------------------------------------------------------------------------------------------------------
Michael T. Pang Vice since 2005 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2005.
Valley Drive and Counsel, Caledonian Bank & Trust's
Oaks, PA 19456 Assistant Mutual Funds Group (2004). Counsel,
33 yrs. old Secretary Permal Asset Management (2001-2004).
Associate, Schulte, Roth & Zabel's
Investment Management Group
(2000-2001). Staff Attorney, U.S.
SEC's Division of Enforcement,
Northeast Regional Office
(1997-2000).
- -----------------------------------------------------------------------------------------------------------------------------------
John J. McCue Vice since 2004 Director of Portfolio N/A N/A
One Freedom President Implementations for SIMC since 1995.
Valley Drive Managing Director of Money Market
Oaks, PA 19456 Investments for SIMC since 2003.
42 yrs. old
- -----------------------------------------------------------------------------------------------------------------------------------
Nicole Welch Anti-Money since 2005 Assistant Vice President and N/A N/A
One Freedom Laundering Anti-Money Laundering Compliance
Valley Drive Compliance Coordinator of SEI Investments since
Oaks, PA 19456 Officer 2005. Compliance Analyst, TD
28 yrs. old Waterhouse (2004). Senior Compliance
Analyst, UBS Financial Services
(2002-2004). Knowledge Management
Analyst, PriceWaterhouseCoopers
Consulting (2000-2002).
- -----------------------------------------------------------------------------------------------------------------------------------
<FN>
(1) EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR,
OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST.
(2) THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI
INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET
TRUST AND SEI TAX EXEMPT TRUST.
</FN>
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 55
SEI DAILY INCOME TRUST -- JANUARY 31, 2006
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.
- --------------------------------------------------------------------------------
56 SEI Daily Income Trust / Annual Report / January 31, 2006
DISCLOSURE OF FUND EXPENSES (UNAUDITED) (CONCLUDED)
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
8/01/05 1/31/06 RATIOS PERIOD*
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,019.10 0.18% $0.92
Class B Shares 1,000.00 1,017.60 0.48% 2.44
Class C Shares 1,000.00 1,016.50 0.68% 3.46
Sweep Class Shares 1,000.00 1,015.30 0.93% 4.72
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.30 0.18% $0.92
Class B Shares 1,000.00 1,022.79 0.48% 2.45
Class C Shares 1,000.00 1,021.78 0.68% 3.47
Sweep Class Shares 1,000.00 1,020.52 0.93% 4.74
- --------------------------------------------------------------------------------
GOVERNMENT FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,018.70 0.20% $1.02
Class B Shares 1,000.00 1,017.10 0.50% 2.54
Class C Shares 1,000.00 1,016.10 0.70% 3.56
Sweep Class Shares 1,000.00 1,014.80 0.95% 4.82
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.20 0.20% $1.02
Class B Shares 1,000.00 1,022.68 0.50% 2.55
Class C Shares 1,000.00 1,021.68 0.70% 3.57
Sweep Class Shares 1,000.00 1,020.42 0.95% 4.84
- --------------------------------------------------------------------------------
GOVERNMENT II FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,018.50 0.20% $1.02
Class B Shares 1,000.00 1,016.90 0.50% 2.54
Class C Shares 1,000.00 1,015.90 0.70% 3.56
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.20 0.20% $1.02
Class B Shares 1,000.00 1,022.68 0.50% 2.55
Class C Shares 1,000.00 1,021.68 0.70% 3.57
- --------------------------------------------------------------------------------
PRIME OBLIGATION FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,019.00 0.20% $1.02
Class B Shares 1,000.00 1,017.50 0.50% 2.54
Class C Shares 1,000.00 1,016.40 0.70% 3.56
Class H Shares 1,000.00 1,016.80 0.63% 3.20
Sweep Class Shares 1,000.00 1,015.20 0.95% 4.83
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.20 0.20% $1.02
Class B Shares 1,000.00 1,022.68 0.50% 2.55
Class C Shares 1,000.00 1,021.68 0.70% 3.57
Class H Shares 1,000.00 1,022.03 0.63% 3.21
Sweep Class Shares 1,000.00 1,020.42 0.95% 4.84
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
8/01/05 1/31/06 RATIOS PERIOD*
- --------------------------------------------------------------------------------
TREASURY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,018.40 0.20% $1.02
Class B Shares 1,000.00 1,016.80 0.50% 2.54
Class C Shares 1,000.00 1,015.80 0.70% 3.56
Sweep Class Shares 1,000.00 1,014.60 0.95% 4.82
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.20 0.20% $1.02
Class B Shares 1,000.00 1,022.68 0.50% 2.55
Class C Shares 1,000.00 1,021.68 0.70% 3.57
Sweep Class Shares 1,000.00 1,020.42 0.95% 4.84
- --------------------------------------------------------------------------------
TREASURY II FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,016.50 0.25% $1.27
Class B Shares 1,000.00 1,015.00 0.55% 2.79
Class C Shares. 1,000.00 1,014.00 0.75% 3.81
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.95 0.25% $1.28
Class B Shares 1,000.00 1,022.43 0.55% 2.80
Class C Shares 1,000.00 1,021.42 0.75% 3.82
- --------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,013.50 0.45% $2.28
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.94 0.45% $2.29
- --------------------------------------------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,008.00 0.50% $2.53
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.68 0.50% $2.55
- --------------------------------------------------------------------------------
GNMA FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,014.90 0.60% $3.05
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.18 0.60% $3.06
- --------------------------------------------------------------------------------
ULTRA SHORT BOND FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,016.00 0.35% $1.78
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.44 0.35% $1.79
* Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 184/365 (to
reflect one-half year period shown).
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2006 57
Board of Trustees Considerations in Approving the Continuation of the Funds'
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 separate sub-advisory agreements (the "Sub-Advisory
Agreements" 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 the Sub-Advisers'
investment management and other services; (b) SIMC's and the Sub-Advisers'
investment management personnel; (c) SIMC's and the Sub-Advisers' operations and
financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices
(including any soft dollar arrangements) and investment strategies; (e) the
level of 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 the Sub-Advisers' compliance systems; (i) SIMC's and the
Sub-Advisers' policies on and compliance procedures for personal securities
transactions; (j) SIMC's and the 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;
- --------------------------------------------------------------------------------
58 SEI Daily Income Trust / Annual Report / January 31, 2006
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. When
considering the profitability of the Sub-Advisers, the Board took into account
the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds
directly, and such compensation with respect to any Sub-Adviser reflects an
arms-length negotiation between the Sub-Adviser and SIMC. 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 / Annual Report / January 31, 2006 59
Notice to Shareholders (Unaudited)
FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL
PURPOSES ONLY.
For the fiscal year ended January 31, 2006, each Fund is designating long-term
capital gains, and exempt income with regard to distributions paid during the
year as follows:
(A) (B)
LONG TERM NET INVESTMENT (C) (D) (E) (F)
CAPITAL GAINS INCOME TOTAL U.S. QUALIFIED QUALIFIED
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS GOVERNMENT INTEREST SHORT-TERM
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) INTEREST (1) INCOME (2) CAPITAL GAIN (3)
Money Market Fund --% 100% 100% 4.10%* 94.09% --%
Government Fund -- 100 100 43.86* 94.13 --
Government II Fund -- 100 100 95.72* 94.28 --
Prime Obligation Fund -- 100 100 5.45* 93.92 --
Treasury Fund -- 100 100 17.27* 94.77 --
Treasury II Fund -- 100 100 100.00 93.82 --
Short-Duration Government Fund -- 100 100 20.15* 91.88 --
Intermediate-Duration
Government Fund -- 100 100 26.94* 91.31 --
GNMA Fund -- 100 100 1.01* 91.81 --
Ultra Short Bond Fund -- 100 100 8.65* 94.08 --
<FN>
Items (A), (B) and (C) are based on the percentage of the Fund's total
distribution.
(1) "U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations
and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions
(the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for shareholders of the "*" funds who are residents of
California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of
these amounts from state income.
(2) The percentage in this column represents the amount of "Qualifying Interest Income" as created by the American Jobs
Creation Act of 2004 and is a percentage of net investment income that is exempt from U.S. withholding tax when paid to
foreign investors.
(3) The percentage in this column represents the amount of "Qualifying Short-Term Capital Gain" as created by the American
Jobs Creation Act of 2004 and is reflected as a percentage of short-term capital gain distributions that is exempt from
U.S. withholding tax when paid to foreign investors.
</FN>
Please consult your tax adviser for proper treatment of this information.
- --------------------------------------------------------------------------------
60 SEI Daily Income Trust / Annual Report / January 31, 2006
SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2006
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
Robert A. Nesher
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
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Nicole Welch
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Global Funds Services
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Trust and must be preceded or
accompanied by a current prospectus. Shares of the Funds are not deposits or
obligations of, or guaranteed or endorsed by, any bank. The shares are not
federally insured by the Federal Deposit Insurance Corporation (FDIC), the
Federal Reserve Board, or any other government agency. Investment in the shares
involves risk, including the possible loss of principal.
FOR MORE INFORMATION CALL
1 800 DIAL SEI
(1 800 342 5734)
[BACKGROUND GRAPHIC OMITTED]
[SEI INVESTMENTS LOGO OMITTED]
SEI Investments Distribution Co.
Oaks, PA 19456
1 800-DIAL-SEI (1 800 342 5734)
SEI-F-022 (3/06)
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, comptroller or
principal accounting officer, and any person who performs a similar function.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) The registrant's board of trustees has determined that the registrant has
at least one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr.
Sullivan is an independent as defined in Form N-CSR Item 3 (a) (2).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Fees billed by KPMG LLP ("KPMG") and Ernst & Young, LLP ("E&Y") related to the
Trust.
KPMG billed the Trust aggregate fees for services rendered to the Trust for the
fiscal year 2006 and E&Y billed the Trust aggregate fees for services rendered
to the Trust for the fiscal year 2005 as follows:
- ------------------ ----------------------------------------------------- -----------------------------------------------------
2006* 2005+
- ------------------ ----------------------------------------------------- -----------------------------------------------------
All fees and All fees and All other fees All fees and All fees and All other fees
services to the services to and services to services to the services to and services to
Trust that were service service Trust that were service service
pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that
were did not require were did not require
pre-approved pre-approval pre-approved pre-approval
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(a) Audit $168,700 N/A $0 $155,000 N/A $0
Fees(1)
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(b) Audit- $0 $0 $0 $0 $0 $0
Related
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(c) Tax $0 $0 $0 $0 $0 $0
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(d) All $0 $0 $231,000 $0 $0 $165,000
Other
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
*KPMG
+E&Y
Notes:
(1) Audit fees include amounts related to the audit of the registrant's
annual financial statements and services normally provided by the
accountant in connection with statutory and regulatory filings.
(e)(1) Not Applicable.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to
waiver of pre-approval requirement were as follows:
------------------------- ---------------- ---------------
2006* 2005+
------------------------- ---------------- ---------------
Audit-Related Fees 0% 0%
------------------------- ---------------- ---------------
Tax Fees 0% 0%
------------------------- ---------------- ---------------
All Other Fees 0% 0%
------------------------- ---------------- ---------------
*KPMG
+E&Y
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal
year 2006 were $231,000. Non-audit fees consist of SAS No. 70 review of fund
accounting and administration operations, attestation report in accordance with
Rule 17Ad-13, agreed upon procedures report over certain internal controls
related to compliance with federal securities laws and regulations and tax
consulting services for various service affiliates of the registrant.
(g)(2) The aggregate non-audit fees and services billed by E&Y for the fiscal
year 2005 were $165,000.
(h) During the past fiscal year, Registrant's principal accountant provided
certain non-audit services to Registrant's investment adviser or to entities
controlling, controlled by, or under common control with Registrant's investment
adviser that provide ongoing services to Registrant that were not subject to
pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
The audit committee of Registrant's Board of Trustees reviewed and considered
these non-audit services provided by Registrant's principal accountant to
Registrant's affiliates, including whether the provision of these non-audit
services is compatible with maintaining the principal accountant's independence.
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) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Daily Income Trust
By (Signature and Title)* /s/ Robert A. Nesher
--------------------------------
Robert A. Nesher, Chief Executive Officer
Date: April 10, 2006
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/ Robert A. Nesher
--------------------------------
Robert A. Nesher, Chief Executive Officer
Date: April 10, 2006
By (Signature and Title)* /s/ Stephen F. Panner
--------------------------------
Stephen F. Panner, Controller & CFO
Date: April 10, 2006
* Print the name and title of each signing officer under his or her signature.