UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSRS
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-03451
SEI DAILY INCOME TRUST
(Exact name of registrant as specified in charter)
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c/o CT Corporation
101 Federal Street
Boston, MA 02110
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: JANUARY 31, 2007
DATE OF REPORTING PERIOD: JULY 31, 2006
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO OMITTED]
SEI New Ways.
New Answers.(R)
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SEI DAILY INCOME TRUST
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Semi-Annual Report as of July 31, 2006
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Money Market Fund
Government Fund
Government II Fund
Prime Obligation Fund
Treasury Fund
Treasury II Fund
Short-Duration Government Fund
Intermediate-Duration Government Fund
GNMA Fund
Ultra Short Bond Fund
TABLE OF CONTENTS
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Statements of Net Assets 1
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Statements of Operations 28
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Statements of Changes in Net Assets 30
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Financial Highlights 34
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Notes to Financial Statements 39
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Disclosure of Fund Expenses 46
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Board of Trustees Considerations in Approving the Continuation
of the Funds' Advisory and Sub-Advisory Agreements 48
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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.
STATEMENT OF NET ASSETS (Unaudited)
MONEY MARKET FUND
July 31, 2006
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SECTOR WEIGHTINGS*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
29.4% Commercial Paper
27.7% Certificates of Deposit
20.8% Repurchase Agreements
17.7% Corporate Bonds
3.1% Insurance Funding Agreements
1.3% Municipal Bonds
* Percentages based on total investments.
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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COMMERCIAL PAPER (A) -- 29.3%
ASSET BACKED - FINANCIAL SERVICES (E) -- 29.3%
Aegis Finance LLC
5.305%, 08/08/06 $ 35,000 $ 34,964
Carrera Capital Finance LLC
5.344%, 08/11/06 20,000 19,970
Crown Point Capital, Ser A
4.520%, 08/07/06 15,000 15,000
Fairway Finance
5.327%, 08/15/06 25,000 24,948
Giro Balanced Funding US
5.325%, 08/08/06 20,000 19,979
Gotham Funding
5.301%, 08/04/06 20,000 19,991
Greyhawk Funding LLC
5.379%, 12/08/06 29,500 28,946
Jupiter Securities LLC
5.302%, 08/09/06 25,000 24,971
Klio Funding
5.404%, 08/23/06 35,000 34,885
Ormond Quay Funding LLC
5.323%, 01/12/07 25,000 24,998
Sheffield Receivables
5.313%, 08/09/06 25,000 24,971
Stanfield Victoria Funding
5.393%, 12/12/06 7,500 7,355
Sunbelt Funding Corp
5.320%, 08/04/06 30,000 29,987
Surrey Funding
5.115%, 08/08/06 40,000 39,961
Versailles CDS LLC
5.338%, 08/16/06 20,000 19,956
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Total Commercial Paper
(Cost $370,882) ($ Thousands) 370,882
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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CERTIFICATES OF DEPOSIT -- 27.7%
Bank of Tokyo - Mitsubishi NY
4.800%, 01/11/07 $ 7,000 $ 7,000
Barclays Bank PLC NY
5.500%, 06/18/07 4,000 4,000
Canadian Imperial Bank of Commerce NY
4.802%, 12/05/06 6,000 6,000
Capital One Multi-Asset
5.322%, 08/07/06 25,500 25,478
Comerica Bank (B)
5.475%, 10/20/06 21,000 20,995
Credit Agricole
5.000%, 03/09/07 9,000 9,000
5.260%, 04/05/07 2,500 2,500
5.300%, 04/18/07 5,000 5,000
5.520%, 06/18/07 4,000 4,000
Credit Suisse First Boston NY
5.473%, 10/18/06 (B) 15,000 15,000
4.750%, 11/07/06 10,000 10,000
5.250%, 04/03/07 7,500 7,500
Depfa Bank PLC NY
4.800%, 12/05/06 6,000 6,000
Deutsche Bank
4.950%, 02/06/07 9,000 9,000
4.805%, 02/21/07 8,000 8,000
Deutsche Bank NY
4.105%, 08/25/06 8,000 8,000
East-Fleet Finance LLC
5.455%, 01/12/07 50,000 49,996
Goldman Sachs
5.450%, 06/12/07 14,000 14,000
Ivory Funding
5.343%, 08/03/06 20,000 19,994
KKR Pacific Funding Trust
5.334%, 08/04/06 25,000 24,989
Natexis Banques Populaires LLC NY
5.010%, 02/12/07 9,000 9,000
Societe Generale
5.500%, 06/18/07 4,000 4,000
Svenska Handels NY (B)
5.318%, 09/20/06 25,000 24,999
Unicredito Italiano NY (B)
5.180%, 08/30/06 20,000 20,000
Variable Funding Capital
5.306%, 08/09/06 35,000 34,959
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Total Certificates of Deposit
(Cost $349,410) ($ Thousands) 349,410
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SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 1
STATEMENT OF NET ASSETS (Unaudited)
MONEY MARKET FUND (Concluded)
July 31, 2006
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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CORPORATE BONDS -- 17.7%
ASSET BACKED - FINANCIAL SERVICES (B) (E) (F) -- 5.7%
Atlas Capital Funding MTN
5.365%, 08/25/06 $ 25,000 $ 25,000
5.367%, 08/15/06 35,000 35,000
Mesa Properties LLC
5.480%, 08/01/06 2,500 2,500
Premier Asset Collateralized Entity LLC MTN
5.476%, 10/17/06 10,000 10,000
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72,500
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ASSET BACKED - OTHER (B) (E) (F) -- 10.4%
Cullinan Finance MTN
5.319%, 08/15/06 25,000 24,998
Harrier Finance LLC
5.130%, 08/15/06 15,000 14,999
Healthcare Property Group PLC
5.370%, 08/02/06 11,960 11,960
Links Finance LLC
5.468%, 04/02/07 10,000 10,000
Paragon Mortgages PLC,
Ser 10A, Cl A1
5.368%, 08/15/06 24,090 24,090
Sigma Finance MTN, Ser 1
5.355%, 03/16/07 45,000 44,997
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131,044
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BANKS -- 0.8%
Northern Rock PLC (B) (F)
5.334%, 08/07/06 10,000 10,000
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INVESTMENT BANKER/BROKER DEALER -- 0.8%
Goldman Sachs Group (B) (C)
5.428%, 08/14/06 10,000 10,000
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Total Corporate Bonds
(Cost $223,544) ($ Thousands) 223,544
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INSURANCE FUNDING AGREEMENTS (B) (C) (G) -- 3.1%
Metropolitan Life Insurance
5.869%, 08/01/06 30,000 30,000
Monumental Life Insurance
5.390%, 09/01/06 9,500 9,500
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Total Insurance Funding Agreements
(Cost $39,500) ($ Thousands) 39,500
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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MUNICIPAL BONDS (B) -- 1.3%
GEORGIA -- 0.6%
Athens-Clarke County, Industrial
Development Authority, Allen
Properties, RB (E)
5.370%, 08/02/06 $ 6,990 $ 6,990
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TEXAS -- 0.6%
Harris County, Sports Authority,
National Football League Project,
Ser E, RB, MBIA
5.340%, 08/15/06 2,900 2,900
Texas State, Veterans Funding II
Project, Ser D, GO
5.310%, 08/01/06 5,270 5,270
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8,170
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UTAH -- 0.1%
Utah State, Board of Regents, Student
Loan Authority, Ser X, RB, AMBAC
5.310%, 11/01/44 1,000 1,000
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Total Municipal Bonds
(Cost $16,160) ($ Thousands) 16,160
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REPURCHASE AGREEMENT (D) -- 20.8%
Deutsche Bank
5.270%, dated 07/31/06
to be repurchased on 08/01/06,
repurchase price $262,770,461
(collateralized by FNMA obligations,
ranging in par value $32,338,000-
$100,150,000, 0.000%-5.250%,
08/18/06-11/05/12, with total
market value $267,987,271) 262,732 262,732
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Total Repurchase Agreement
(Cost $262,732) ($ Thousands) 262,732
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Total Investments -- 99.9%
(Cost $1,262,228) ($ Thousands) 1,262,228
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2 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
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Value
Description ($ Thousands)
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OTHER ASSETS AND LIABILITIES -- 0.1%
Income Distribution Payable $ (2,682)
Shareholder Servicing Fees Payable (200)
Administration Fees Payable (141)
Payable for Fund Shares Redeemed (92)
Investment Advisory Fees Payable (23)
Other Assets and Liabilities, Net 4,196
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Total Other Assets and Liabilities 1,058
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Net Assets -- 100.0% $ 1,263,286
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NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 1,263,300
Accumulated net realized loss on investments (14)
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Net Assets $ 1,263,286
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Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($788,458,257 / 788,477,540 shares) $ 1.00
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Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($132,194,088 / 132,184,591 shares) $ 1.00
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Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($257,575,973 / 257,588,753 shares) $ 1.00
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Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($85,057,307 / 85,056,653 shares) $ 1.00
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(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on July 31, 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
July 31, 2006, was $49,500 ($ Thousands) and represented 3.92% 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 July 31,
2006 was $213,544 ($ Thousands) and represented 16.90% of Net Assets. This
security has been deemed liquid by the Board of Trustees.
(G) Securities considered restricted. The total value of such securities as of
July 31, 2006 was $39,500 ($ Thousands) and represented 3.13% of Net
Assets.
AMBAC -- American Municipal Bond Assurance Company
Cl -- Class
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 Limited Company
RB -- Revenue Bond
Ser -- Series
The accompanying notes are an integral part of the financial statements.
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SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 3
STATEMENT OF NET ASSETS (Unaudited)
GOVERNMENT FUND
July 31, 2006
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SECTOR WEIGHTINGS*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
61.1% U.S. Government Agency Obligations
38.9% Repurchase Agreement
* Percentages based on total investments.
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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U.S. GOVERNMENT AGENCY OBLIGATIONS -- 61.0%
FFCB (A)
5.250%, 09/26/06 to 09/27/06 $ 35,000 $ 34,999
5.260%, 09/08/06 50,000 50,003
5.226%, 08/01/06 10,000 10,000
FFCB, Ser 1 (A)
5.240%, 10/25/06 30,000 29,997
FHLB
4.000%, 08/11/06 to 04/25/07 20,000 19,928
3.875%, 12/20/06 8,000 7,975
FHLB, Ser 553 (A)
5.380%, 09/29/06 25,000 24,995
FHLB, Ser 636 (A)
5.020%, 08/10/06 25,000 24,990
FHLMC (A)
5.265%, 09/19/06 30,000 29,992
5.301%, 09/22/06 25,000 24,996
5.350%, 10/06/06 35,000 34,987
FHLMC MTN
2.800%, 01/26/07 6,700 6,637
4.762%, 02/09/07 7,000 6,991
FHLMC MTN (A)
5.250%, 08/27/06 25,000 24,990
FNMA
4.000%, 08/18/06 15,000 14,999
3.100%, 03/14/07 10,000 9,871
FNMA (A)
5.216%, 08/07/06 75,000 75,000
5.299%, 09/21/06 5,000 5,000
5.284%, 09/22/06 25,000 24,991
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Total U.S. Government Agency Obligations
(Cost $461,341) ($ Thousands) 461,341
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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REPURCHASE AGREEMENTS (B) -- 38.9%
Deutsche Bank
5.270%, dated 07/31/06,
to be repurchased on 08/01/06,
repurchase price $144,270,116
(collateralized by various FHLB/
FHLMC/FNMA obligations,
ranging in par value $18,050,000-
$80,000,000, 0.000%-3.625%,
08/30/06-06/20/07, with total
market value $147,137,173) $ 144,249 $ 144,249
Morgan Stanley
5.260%, dated 07/31/06,
to be repurchased on 08/01/06,
repurchase price $150,021,917
(collateralized by various FNMA
obligations, ranging in par value
$15,250,000-$50,000,000,
2.375%-4.200%, 02/15/07-
02/21/13, with total market
value $153,002,591) 150,000 150,000
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Total Repurchase Agreements
(Cost $294,249) ($ Thousands) 294,249
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Total Investments -- 99.9%
(Cost $755,590) ($ Thousands) 755,590
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OTHER ASSETS AND LIABILITIES -- 0.1%
Income Distribution Payable (1,901)
Shareholder Servicing Fees Payable (112)
Administration Fees Payable (104)
Investment Advisory Fees Payable (15)
Other Assets and Liabilities, Net 2,620
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Total Other Assets and Liabilities 488
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Net Assets -- 100.0% $ 756,078
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NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 756,146
Accumulated net realized loss on investments (68)
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Net Assets $ 756,078
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4 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
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Description Value
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Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($473,600,849 / 473,633,400 shares) $ 1.00
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Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($102,676,683 / 102,693,375 shares) $ 1.00
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Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($150,016,140 / 150,036,746 shares) $ 1.00
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Net Asset Value, Offering and Redemption
Price Per Share-- Sweep Class
($29,783,914 / 29,787,782 shares) $ 1.00
==============
(A) Floating Rate Instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on July 31, 2006. The date shown is the
earlier of the reset date or the demand date.
(B) Tri-Party Repurchase Agreement.
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
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SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 5
STATEMENT OF NET ASSETS (Unaudited)
GOVERNMENT II FUND
July 31, 2006
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SECTOR WEIGHTINGS*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
100.0% U.S. Government Agency Obligations
* Percentages based on total investments.
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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U.S. GOVERNMENT AGENCY OBLIGATIONS -- 100.1%
FFCB (B)
5.250%, 09/21/06 to 09/27/06 $ 60,000 $ 59,997
5.226%, 08/01/06 10,000 10,000
5.230%, 09/10/06 30,000 29,990
5.221%, 08/13/06 10,000 9,998
FFCB DN (A)
5.300%, 08/01/06 97,623 97,623
FFCB, Ser 1 (B)
5.241%, 08/01/06 11,530 11,530
5.240%, 10/25/06 30,000 29,997
FHLB
4.000%, 08/11/06 to 04/25/07 10,000 9,929
2.625%, 10/16/06 20,000 19,900
4.875%, 11/15/06 500 500
3.875%, 12/20/06 35,000 34,854
4.500%, 04/17/07 12,250 12,160
3.250%, 04/27/07 2,000 1,971
FHLB (B)
5.038%, 08/02/06 2,545 2,545
5.347%, 10/10/06 25,000 24,986
5.366%, 10/17/06 25,000 24,989
FHLB DN (A)
5.174%, 08/01/06 50,000 50,000
5.130%, 08/03/06 70,000 69,980
5.210%, 08/11/06 75,000 74,892
5.200%, 08/18/06 50,000 49,878
FHLB, Ser 553 (B)
5.380%, 09/29/06 25,000 24,995
FHLB, Ser 559
3.750%, 01/16/07 10,000 9,953
FHLB, Ser 585 (B)
5.340%, 10/04/06 10,000 9,997
FHLB, Ser 613 (B)
5.206%, 08/02/06 75,000 74,980
FHLB, Ser 636 (B)
5.020%, 08/10/06 25,000 24,990
FHLB, Ser L907
3.010%, 02/27/07 3,000 2,963
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Total U.S. Government Agency Obligations
(Cost $773,597) ($ Thousands) 773,597
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Total Investments -- 100.1%
(Cost $773,597) ($ Thousands) 773,597
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Value
Description ($ Thousands)
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OTHER ASSETS AND LIABILITIES -- (0.1)%
Income Distribution Payable $ (2,880)
Administration Fees Payable (108)
Shareholder Servicing Fees Payable (57)
Investment Advisory Fees Payable (15)
Other Assets and Liabilities, Net 2,361
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Total Other Assets and Liabilities (699)
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Net Assets -- 100.0% $ 772,898
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NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 772,913
Accumulated net realized loss on investments (15)
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Net Assets $ 772,898
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Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($563,310,335 / 563,392,503 shares) $ 1.00
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($203,958,525 / 203,991,229 shares) $ 1.00
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($5,629,382 / 5,629,252 shares) $ 1.00
==============
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on July 31, 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
Ser -- Series
The accompanying notes are an integral part of the financial statements.
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6 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
PRIME OBLIGATION FUND
July 31, 2006
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SECTOR WEIGHTINGS*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
40.9% Commercial Paper
27.4% Corporate Bonds
14.1% Certificates of Deposit
11.8% Repurchase Agreement
5.5% Insurance Funding Agreements
0.3% Municipal Bond
* Percentages based on total investments.
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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COMMERCIAL PAPER (A) -- 41.0%
ASSET BACKED - FINANCIAL SERVICES (E) -- 39.5%
Aegis Finance LLC
5.305%, 08/08/06 $ 140,000 $ 139,856
Carrera Capital Finance LLC
5.344%, 08/11/06 21,190 21,159
5.327%, 08/15/06 38,800 38,720
Citibank Credit Card Issue Trust
5.310%, 08/04/06 76,000 75,966
Citius I Funding LLC
5.296%, 08/08/06 127,965 127,834
Concord Minutemen Capital, Ser A
5.411%, 11/13/06 166,811 164,262
Curzon Funding LLC
4.919%, 11/03/06 97,000 95,798
Fairway Finance
5.327%, 08/15/06 98,316 98,113
Giro Balanced Funding US
5.322%, 08/07/06 25,000 24,978
Giro Funding US
5.308%, 08/09/06 117,411 117,273
Gotham Funding
5.301%, 08/04/06 85,626 85,588
Grampian Funding LLC
5.423%, 12/11/06 75,000 73,548
Greyhawk Funding LLC
5.379%, 12/08/06 63,500 62,308
Jupiter Securities LLC
5.302%, 08/09/06 61,062 60,990
Klio Funding
5.403%, 08/22/06 101,544 101,225
Lake Constance Funding LLC
5.305%, 08/07/06 59,000 58,948
Millstone Funding
5.312%, 08/07/06 66,274 66,216
Paradigm Funding LLC
5.322%, 08/07/06 46,147 46,106
Scaldis Capital LLC
5.394%, 08/25/06 200,000 199,284
Sheffield Receivables
5.313%, 08/09/06 34,022 33,982
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Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Solitaire Funding LLC
5.127%, 08/11/06 $ 75,500 $ 75,394
Stanfield Victoria Funding
5.393%, 12/12/06 30,500 29,908
Versailles CDS LLC
5.338%, 08/16/06 30,000 29,934
Victory Receivables
5.120%, 08/02/06 42,500 42,494
--------------
1,869,884
--------------
INVESTMENT BANKER/BROKER DEALER -- 1.5%
Lehman Brothers Holdings (A)
4.620%, 08/01/06 70,000 70,000
--------------
Total Commercial Paper
(Cost $1,939,884) ($ Thousands) 1,939,884
--------------
CERTIFICATES OF DEPOSIT -- 14.1%
Concord Minutemen Capital (B)
5.122%, 08/18/06 25,000 24,997
Crown Point Capital, Ser A
5.283%, 08/07/06 50,000 50,000
5.110%, 08/07/06 150,000 150,000
Monument Gardens Funding LLC
5.317%, 09/07/06 99,783 99,245
Ormond Quay Funding LLC (B)
5.323%, 08/18/06 100,000 99,993
Sigma Finance
4.850%, 02/12/07 30,000 30,000
Thornburg Mortgage Capital
5.334%, 08/04/06 100,000 99,956
Variable Funding Capital
5.300%, 08/09/06 35,000 34,959
Wells Fargo Bank NA
4.790%, 01/18/07 81,000 81,005
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Total Certificates of Deposit
(Cost $670,155) ($ Thousands) 670,155
--------------
CORPORATE BONDS -- 27.4%
ASSET BACKED - FINANCIAL SERVICES (B) (E) (F) -- 8.7%
Atlas Capital Funding MTN
5.365%, 08/25/06 48,500 48,500
5.367%, 08/15/06 140,000 140,000
CC USA MTN
5.175%, 08/25/06 75,000 74,992
K2 (USA) LLC MTN
5.170%, 08/15/06 50,000 50,003
5.485%, 10/25/06 100,000 100,018
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413,513
--------------
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SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 7
STATEMENT OF NET ASSETS (Unaudited)
PRIME OBLIGATION FUND (Concluded)
July 31, 2006
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Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET BACKED - OTHER (B) (E) (F) -- 8.7%
Cullinan Finance MTN
5.319%, 08/15/06 $ 100,000 $ 99,990
Cullinan Finance MTN, Ser 1
5.170%, 08/25/06 50,000 49,996
Harrier Finance Funding LLC MTN
5.328%, 08/15/06 50,000 49,994
Harrier Finance Funding LLC MTN, Ser 2
5.130%, 08/15/06 50,000 49,998
Premier Asset Collateralized Entity LLC MTN
5.476%, 10/17/06 25,000 25,000
Sigma Finance MTN, Ser 1
5.355%, 09/18/06 135,000 134,992
--------------
409,970
--------------
BANKS -- 3.1%
American Express Bank (B)
5.328%, 08/16/06 147,000 146,996
--------------
INVESTMENT BANKER/BROKER DEALER -- 6.9%
Goldman Sachs Group (C)
5.428%, 08/14/06 20,000 20,000
Goldman Sachs Group MTN (B)
5.647%, 10/10/06 25,000 25,017
Links Finance LLC MTN (B)
5.323%, 08/15/06 150,000 149,995
5.317%, 08/18/06 50,000 49,998
Merrill Lynch MTN, Ser C (B)
5.586%, 09/22/06 83,210 83,265
--------------
328,275
--------------
Total Corporate Bonds
(Cost $1,298,754) ($ Thousands) 1,298,754
--------------
INSURANCE FUNDING AGREEMENTS (B) (C) (G) -- 5.5%
Metropolitan Life Insurance
5.869%, 10/15/06 160,000 160,000
Monumental Life Insurance
5.390%, 08/01/06 101,500 101,500
--------------
Total Insurance Funding Agreements
(Cost $261,500) ($ Thousands) 261,500
--------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MUNICIPAL BOND (B) -- 0.3%
Texas State, Veterans Funding I Project,
Ser C, GO 5.310%, 08/01/06 $ 14,815 $ 14,815
--------------
Total Municipal Bond
(Cost $14,815) ($ Thousands) 14,815
--------------
REPURCHASE AGREEMENT (D) -- 11.8%
Deutsche Bank
5.270%, dated 07/31/06,
to be repurchased on 08/01/06,
repurchase price $559,357,872
(collateralized by various FHLB/
FHLMC/FNMA obligations,
ranging in par value $3,162,000-
$167,479,000, 0.000%-5.875%,
09/14/07-11/05/12, with total
market value $570,463,622) 559,276 559,276
--------------
Total Repurchase Agreement
(Cost $559,276) ($ Thousands) 559,276
--------------
Total Investments -- 100.1%
(Cost $4,744,384) ($ Thousands) 4,744,384
--------------
OTHER ASSETS AND LIABILITIES -- (0.1)%
Income Distribution Payable (14,649)
Administration Fees Payable (663)
Shareholder Servicing Fees Payable (573)
Payable for Fund Shares Redeemed (122)
Investment Advisory Fees Payable (95)
Other Assets and Liabilities, Net 12,407
--------------
Total Other Assets and Liabilities (3,695)
--------------
Net Assets -- 100.0% $ 4,740,689
==============
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 4,740,793
Accumulated net realized loss on investments (104)
--------------
Net Assets $ 4,740,689
==============
- --------------------------------------------------------------------------------
8 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
- --------------------------------------------------------------------------------
Description Value
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($3,199,639,271 / 3,199,820,817 shares) $ 1.00
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($620,340,238 / 620,325,701 shares) $ 1.00
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($822,780,468 / 822,720,955 shares) $ 1.00
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class H
($53,641,195 / 53,642,454 shares) $ 1.00
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($44,288,107 / 44,284,435 shares) $ 1.00
==============
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on July 31, 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
July 31, 2006 was $281,500 ($ Thousands) and represented 5.94% 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 July 31,
2006 was $823,483 ($ Thousands) and represented 17.37% of Net Assets. This
security has been deemed liquid by the Board of Trustees.
(G) Securities considered restricted. The total value of such securities as of
July 31, 2006 was $261,500 ($ Thousands) and represented 5.52% 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 / Semi-Annual Report / July 31, 2006 9
STATEMENT OF NET ASSETS (Unaudited)
TREASURY FUND
July 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
91.6% Repurchase Agreements
8.4% U.S. Treasury Obligations
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 8.4%
U.S. Treasury Notes
2.375%, 08/31/06 $ 50,000 $ 49,906
3.125%, 01/31/07 15,000 14,836
--------------
Total U.S. Treasury Obligations
(Cost $64,742) ($ Thousands) 64,742
--------------
REPURCHASE AGREEMENTS (A) -- 91.9%
Barclays Capital
5.230%, dated 07/31/06,
to be repurchased on 08/01/06,
repurchase price $180,026,150
(collateralized by various
U.S. Treasury Bills and Notes,
ranging in par value $15,732,000-
$92,510,000, 0.875%-2.000%,
04/15/10-01/15/26, with total
market value $183,600,548) 180,000 180,000
BNP Paribas
5.240%, dated 07/31/06,
to be repurchased on 08/01/06,
repurchase price $180,026,200
(collateralized by various
U.S. Treasury Notes, ranging in
par value $549,000-$185,784,000,
2.000%, 01/15/14-01/15/16, with
total market value $183,600,176) 180,000 180,000
Deutsche Bank
5.240%, dated 07/31/06,
to be repurchased on 08/01/06,
repurchase price $180,026,200
(collateralized by various
U.S. Treasury Bills and Notes,
ranging in par value $23,155,000-
$101,502,000, 4.000%-7.250%,
02/15/14-05/15/30, with total
market value $183,600,158) 180,000 180,000
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley
5.230%, dated 07/31/06,
to be repurchased on 08/01/06,
repurchase price $169,047,555
(collateralized by various U.S.
Treasury Notes, ranging in par
value $19,000,000-$70,572,000,
0.000%-6.125%, 07/31/07-
05/15/08, with total market
value $172,403,844) $ 169,023 $ 169,023
--------------
Total Repurchase Agreements
(Cost $709,023) ($ Thousands) 709,023
--------------
Total Investments -- 100.3%
(Cost $773,765) ($ Thousands) 773,765
--------------
OTHER ASSETS AND LIABILITIES -- (0.3)%
Income Distribution Payable (2,659)
Shareholder Servicing Fees Payable (190)
Administration Fees Payable (114)
Investment Advisory Fees Payable (15)
Other Assets and Liabilities, Net 680
--------------
Total Other Assets and Liabilities (2,298)
--------------
Net Assets -- 100.0% $ 771,467
==============
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 771,561
Distribution in excess of net investment income (1)
Accumulated net realized loss on investments (93)
--------------
Net Assets $ 771,467
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($243,906,550 / 243,942,773 shares) $ 1.00
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($300,248,960 / 300,289,050 shares) $ 1.00
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($129,402,173 / 129,413,955 shares) $ 1.00
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class
($97,909,240 / 97,915,579 shares) $ 1.00
==============
(A) Tri-Party Repurchase Agreement.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
10 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
TREASURY II FUND
July 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
100.0% U.S. Treasury Obligations
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 100.1%
U.S. Treasury Bills (A)
4.735%, 08/03/06 $ 54,593 $ 54,579
4.752%, 08/10/06 74,497 74,409
4.917%, 08/17/06 867 865
4.898%, 08/24/06 4,631 4,617
U.S. Treasury Notes
2.500%, 10/31/06 50,000 49,679
2.625%, 11/15/06 50,000 49,640
--------------
Total U.S. Treasury Obligations
(Cost $233,789) ($ Thousands) 233,789
--------------
Total Investments -- 100.1%
(Cost $233,789) ($ Thousands) 233,789
--------------
OTHER ASSETS AND LIABILITIES -- (0.1)%
Income Distribution Payable (700)
Administration Fees Payable (53)
Shareholder Servicing Fees Payable (45)
Investment Advisory Fees Payable (6)
Other Assets and Liabilities, Net 624
--------------
Total Other Assets and Liabilities (180)
--------------
Net Assets -- 100.0% $ 233,609
==============
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 233,742
Accumulated net realized loss on investments (133)
--------------
Net Assets $ 233,609
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($146,530,228 / 146,687,624 shares) $ 1.00
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class B
($48,493,558 / 48,512,464 shares) $ 1.00
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class C
($38,585,382 / 38,589,308 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 / Semi-Annual Report / July 31, 2006 11
STATEMENT OF NET ASSETS (Unaudited)
SHORT-DURATION GOVERNMENT FUND
July 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
45.5% U.S. Government Agency Obligations
44.1% U.S. Government Mortgage-Backed Obligations
5.9% Repurchase Agreement
4.5% U.S. Treasury Obligations
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 46.5%
FHLB
4.625%, 01/18/08 $ 36,300 $ 35,946
FHLMC
4.875%, 03/15/07 5 5
4.000%, 08/17/07 21,050 20,758
3.625%, 09/15/08 3,108 3,008
FNMA
5.000%, 03/15/16 7,917 7,682
--------------
Total U.S. Government Agency Obligations
(Cost $67,459) ($ Thousands) 67,399
--------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 45.0%
FHLMC
4.500%, 09/15/24 3,779 3,718
FHLMC (A)
7.089%, 06/01/24 111 112
6.885%, 06/01/17 58 59
6.846%, 06/01/24 215 222
6.799%, 07/01/20 6 6
6.625%, 01/01/18 to 06/01/18 89 91
6.560%, 04/01/19 33 34
6.459%, 07/01/24 68 69
6.365%, 02/01/19 97 99
6.318%, 05/01/19 66 67
6.280%, 12/01/23 5,703 5,849
6.250%, 06/01/16 7 7
6.230%, 04/01/29 251 258
6.221%, 05/01/24 121 123
6.218%, 04/01/22 341 345
6.214%, 03/01/19 83 85
6.170%, 09/01/25 305 309
6.135%, 12/01/23 393 401
6.125%, 02/01/16 to 02/01/17 26 27
6.092%, 04/01/29 119 121
6.048%, 03/01/19 51 51
5.875%, 04/01/16 to 11/01/20 44 46
5.750%, 09/01/18 to 11/01/18 25 26
5.625%, 12/01/16 to 09/01/18 22 22
5.564%, 02/01/27 382 383
5.500%, 07/01/18 to 09/01/20 39 40
5.375%, 02/01/16 to 07/01/18 33 34
5.250%, 07/01/18 to 08/01/18 62 62
5.125%, 09/01/16 16 17
4.875%, 07/01/16 22 22
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC REMIC, Ser 2481, Cl BC
5.250%, 08/15/30 $ 43 $ 43
FHLMC REMIC, Ser 2587, Cl ET
3.700%, 07/15/17 1,333 1,267
FHLMC REMIC, Ser 2617, Cl UN
4.500%, 08/15/12 1,981 1,963
FHLMC REMIC, Ser 2630, Cl KN
2.500%, 04/15/13 2,187 2,120
FHLMC REMIC, Ser 2684, Cl GN
3.250%, 05/15/23 1,430 1,399
FHLMC REMIC, Ser 2691, Cl OK
3.500%, 05/15/17 472 469
FHLMC REMIC, Ser 2750, Cl OA
3.500%, 10/15/11 966 960
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 1,885 1,847
FHLMC REMIC, Ser 2760, Cl PK
4.500%, 10/15/21 2,357 2,332
FHLMC REMIC, Ser T-42, Cl A5
7.500%, 02/25/42 1,397 1,441
FNMA
6.775%, 10/01/07 533 536
6.610%, 04/01/09 156 159
6.490%, 08/01/08 539 544
6.229%, 12/01/08 1,987 2,002
6.210%, 08/01/08 1,259 1,266
6.130%, 10/01/08 143 144
6.085%, 10/01/08 362 364
6.080%, 09/01/08 893 896
6.010%, 06/01/09 338 339
5.735%, 01/01/09 1,340 1,341
5.016%, 02/01/13 95 93
4.621%, 04/01/13 196 187
FNMA (A)
6.906%, 04/25/24 30 31
6.698%, 09/01/24 1,872 1,920
6.518%, 08/01/27 936 950
6.350%, 08/01/29 1,893 1,946
6.010%, 05/01/28 2,468 2,487
5.543%, 12/01/29 478 481
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23 145 144
FNMA REMIC, Ser 1995-13, Cl C
6.500%, 10/25/08 145 146
FNMA REMIC, Ser 1997-M5, Cl B
6.650%, 08/25/07 224 225
FNMA REMIC, Ser 2001-53, Cl CA
5.750%, 06/25/31 220 219
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17 2,000 1,990
FNMA REMIC, Ser 2002-53, Cl FK (A)
5.785%, 04/25/32 620 621
- --------------------------------------------------------------------------------
12 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/33 $ 1,831 $ 1,634
FNMA REMIC, Ser 2006-39, Cl PB
5.500%, 07/25/29 3,371 3,359
FNMA REMIC, Ser 2006-53, Cl PA
5.500%, 12/25/26 4,000 3,989
FNMA REMIC, Ser G92-61, Cl FA (A)
6.056%, 10/25/22 324 329
FNMA REMIC, Ser G93-5, Cl Z
6.500%, 02/25/23 63 64
FNMA TBA
6.500%, 08/14/32 6,000 6,069
GNMA
7.500%, 01/15/11 to 02/15/11 43 45
6.500%, 06/15/16 to 09/15/17 2,402 2,446
6.000%, 06/15/16 to 09/15/19 1,340 1,359
GNMA REMIC, Ser 2005-74, Cl HA
7.500%, 09/16/35 308 320
GNMA REMIC, Ser 2005-74, Cl HB
7.500%, 09/16/35 132 137
--------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $66,391) ($ Thousands) 65,328
--------------
U.S. TREASURY OBLIGATIONS -- 4.6%
U.S. Treasury Inflation Protected Security
3.000%, 07/15/12 6,416 6,634
U.S. Treasury Notes (C)
3.000%, 11/15/07 100 98
--------------
Total U.S. Treasury Obligations
(Cost $6,699) ($ Thousands) 6,732
--------------
REPURCHASE AGREEMENT (B) -- 6.0%
UBS Securities LLC
5.280%, dated 07/31/06,
to be repurchased on 08/01/06,
repurchase price $8,701,276
(collateralized by various
U.S. Government obligations,
ranging in par value $919,651-
$8,865,000, 5.500%,
12/01/35, with total market
value $8,876,468) 8,700 8,700
--------------
Total Repurchase Agreement
(Cost $8,700) ($ Thousands) 8,700
--------------
Total Investments -- 102.1%
(Cost $149,249) ($ Thousands) 148,159
--------------
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (2.1)%
Payable for Investment Securities Purchased $ (6,023)
Payable for Fund Shares Redeemed (240)
Income Distribution Payable (108)
Administration Fees Payable (39)
Investment Advisory Fees Payable (10)
Variation Margin Payable (10)
Other Assets and Liabilities, Net 3,323
--------------
Total Other Assets and Liabilities (3,107)
--------------
Net Assets -- 100.0% $ 145,052
==============
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 153,352
Undistributed net investment income 10
Accumulated net realized loss on investments (7,114)
Net unrealized depreciation on investments (1,090)
Net unrealized depreciation on futures contracts (106)
--------------
Net Assets $ 145,052
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($145,051,952 / 14,583,778 shares) $ 9.95
==============
Futures Contracts -- A summary of the open futures contracts held by the Fund at
July 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 71 $ 14,446 September 2006 $ (2)
U.S. 5 Year
Treasury Note (207) (21,573) September 2006 (104)
-----
$(106)
=====
(A) Floating Rate Instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on July 31, 2006. The date shown is the
earlier of the reset date or the demand date.
(B) Tri-Party Repurchase Agreement.
(C) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
LLC -- Limited Liability Company
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
TBA -- To Be Announced
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 13
STATEMENT OF NET ASSETS (Unaudited)
INTERMEDIATE-DURATION GOVERNMENT FUND
July 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
42.7% U.S. Government Agency Obligations
39.5% U.S. Government Mortgage-Backed Obligations
15.3% U.S. Treasury Obligations
2.5% Repurchase Agreement
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 44.1%
FHLMC
6.000%, 06/15/11 $ 31,575 $ 32,540
FNMA
5.000%, 03/15/16 4,731 4,590
--------------
Total U.S. Government Agency Obligations
(Cost $37,332) ($ Thousands) 37,130
--------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 40.8%
FHLMC
8.250%, 12/01/07 to 12/01/09 22 22
6.500%, 01/01/18 88 89
6.000%, 03/01/11 to 09/01/24 4,966 4,996
5.500%, 06/01/19 to 12/01/20 1,324 1,311
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 665 668
FHLMC REMIC, Ser 165, Cl K
6.500%, 09/15/21 30 30
FHLMC REMIC, Ser 2586, Cl NK
3.500%, 08/15/16 215 205
FHLMC REMIC, Ser 2587, Cl ET
3.700%, 07/15/17 769 731
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17 1,787 1,673
FHLMC REMIC, Ser 2635, Cl NJ
3.000%, 03/15/17 480 448
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 817 800
FNMA
9.500%, 05/01/18 71 76
8.000%, 05/01/08 to 06/01/08 23 23
7.500%, 03/01/07 3 3
7.007%, 08/01/07 192 193
6.800%, 10/01/07 10 10
6.620%, 01/01/08 192 193
6.500%, 08/14/32 1,280 1,295
6.460%, 06/01/09 549 558
6.265%, 06/01/08 223 224
6.080%, 09/01/08 893 896
6.000%, 07/01/12 to 03/01/17 184 185
5.931%, 02/01/12 750 762
5.625%, 12/01/11 1,788 1,799
5.044%, 08/01/15 681 659
4.829%, 04/01/13 6,665 6,433
4.500%, 09/01/35 4,860 4,468
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16 $ 748 $ 754
FNMA REMIC, Ser 2004-27, Cl HN
4.000%, 05/25/16 700 680
FNMA TBA
6.000%, 08/18/21 1,135 1,145
GNMA
8.750%, 05/20/17 to 11/20/17 43 46
8.500%, 11/20/16 to 02/20/18 109 116
8.250%, 04/15/08 to 07/15/08 29 29
6.000%, 04/15/09 to 09/15/24 1,195 1,201
Small Business Administration, Ser 2005-
P10B, Cl 1
4.940%, 08/10/15 1,725 1,681
--------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $35,418) ($ Thousands) 34,402
--------------
U.S. TREASURY OBLIGATIONS -- 15.8%
U.S. Treasury Bonds (A)
10.375%, 11/15/12 1,200 1,279
U.S. Treasury Inflation Protected Security
3.000%, 07/15/12 3,941 4,075
U.S. Treasury Notes
4.750%, 03/31/11 8,000 7,945
--------------
Total U.S. Treasury Obligations
(Cost $13,267) ($ Thousands) 13,299
--------------
REPURCHASE AGREEMENT (B) -- 2.6%
UBS Securities LLC
5.280%, dated 07/31/06, to be repurchased
on 08/01/06, repurchase price $2,200,323
(collateralized by a U.S. Government
obligation, par value $2,315,000,
5.500%,12/01/35, with total market value
$2,245,355) 2,200 2,200
--------------
Total Repurchase Agreement
(Cost $2,200) ($ Thousands) 2,200
--------------
Total Investments -- 103.3%
(Cost $88,217) ($ Thousands) 87,031
--------------
- --------------------------------------------------------------------------------
14 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES -- (3.3)%
Payable for Investment Securities Purchased $ (2,424)
Payable for Fund Shares Redeemed (791)
Income Distribution Payable (250)
Administration Fees Payable (26)
Investment Advisory Fees Payable (7)
Variation Margin Payable (4)
Shareholder Servicing Fees Payable (1)
Other Assets and Liabilities, Net 723
--------------
Total Other Assets and Liabilities (2,780)
--------------
Net Assets -- 100.0% $ 84,251
==============
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 88,703
Undistributed net investment income 16
Accumulated net realized loss on investments (3,214)
Net unrealized depreciation on investments (1,186)
Net unrealized depreciation on futures contracts (68)
--------------
Net Assets $ 84,251
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($84,251,270 / 8,363,658 shares) $ 10.07
==============
Futures Contracts -- A summary of the open futures contracts held by the Fund at
July 31, 2006, is as follows (See Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
NUMBER OF CONTRACT UNREALIZED
TYPE OF CONTRACTS VALUE EXPIRATION DEPRECIATION
CONTRACT SHORT ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. 2 Year
Treasury Note (31) $ (6,038) September 2006 $ (4)
U.S. 5 Year
Treasury Note (10) (1,042) September 2006 (7)
U.S. 10 Year
Treasury Note (76) (8,058) September 2006 (57)
-----
$(68)
=====
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at time of
purchase.
(B) Tri-Party Repurchase Agreement
Cl -- Class
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
LLC -- Limited Liability Company
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
TBA -- To Be Announced
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 15
STATEMENT OF NET ASSETS (Unaudited)
GNMA FUND
July 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
97.4% U.S. Government Mortgage-Backed Obligations
2.6% Repurchase Agreement
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 99.6%
FHLMC
6.500%, 09/01/19 $ 897 $ 910
FNMA
8.000%, 09/01/14 to 09/01/28 351 371
7.000%, 08/01/29 to 09/01/32 753 773
6.500%, 09/01/32 420 427
5.890%, 10/01/11 1,325 1,340
5.780%, 11/01/11 1,202 1,211
4.621%, 04/01/13 6,378 6,096
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/20 80 82
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22 155 160
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17 1,500 1,514
GNMA
12.500%, 06/15/14 -- --
12.000%, 04/15/14 -- --
10.000%, 05/15/16 to 04/15/20 35 39
9.500%, 06/15/09 to 11/15/20 426 446
9.000%, 12/15/17 to 05/15/22 357 388
8.500%, 08/15/08 to 06/15/17 105 109
8.000%, 04/15/17 to 03/15/32 1,513 1,602
7.750%, 10/15/26 49 52
7.500%, 12/15/27 25 26
7.250%, 01/15/28 230 238
7.000%, 04/15/19 to 11/15/33 10,955 11,304
6.750%, 11/15/27 83 85
6.500%, 11/15/07 to 07/15/35 17,133 17,471
6.000%, 02/15/09 to 12/15/35 24,865 24,961
5.500%, 10/15/32 to 11/15/35 25,918 25,399
5.000%, 04/15/33 to 03/15/36 31,686 30,283
4.500%, 08/15/33 to 09/15/34 9,268 8,621
GNMA (A)
6.000%, 02/15/17 709 719
GNMA REMIC, Ser 2002-45, Cl QE
6.500%, 06/20/32 2,177 2,239
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GNMA REMIC, Ser 2003-63, Cl UV
3.500%, 07/20/30 $ 2,806 $ 2,641
GNMA REMIC, Ser 2005-74, Cl HA
7.500%, 09/16/35 1,406 1,463
GNMA REMIC, Ser 2005-74, Cl HB
7.500%, 09/16/35 2,410 2,489
GNMA REMIC, Ser 2005-74, Cl HC
7.500%, 09/16/35 2,047 2,130
GNMA TBA
6.500%, 08/20/33 275 280
5.000%, 08/20/33 1,500 1,432
--------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $150,744) ($ Thousands) 147,301
--------------
REPURCHASE AGREEMENT (B) -- 2.7%
UBS Securities LLC
4.770%, dated 07/31/06, to be repurchased
on 08/01/06, repurchase price $4,000,587
(collateralized by a U.S. Government
obligation, par value $4,210,000,
5.500%, 12/01/35, with total market value
$4,083,345) 4,000 4,000
--------------
Total Repurchase Agreement
(Cost $4,000) ($ Thousands) 4,000
--------------
Total Investments -- 102.3%
(Cost $154,744) ($ Thousands) 151,301
--------------
OTHER ASSETS AND LIABILITIES -- (2.3)%
Payable for Investment Securities Purchased (3,637)
Income Distribution Payable (392)
Payable for Fund Shares Redeemed (300)
Administration Fees Payable (40)
Shareholder Servicing Fees Payable (20)
Investment Advisory Fees Payable (13)
Variation Margin Payable (5)
Other Assets and Liabilities, Net 987
--------------
Total Other Assets and Liabilities (3,420)
--------------
Net Assets -- 100.0% $ 147,881
==============
- --------------------------------------------------------------------------------
16 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital (unlimited authorization -- no par value) $ 162,627
Distribution in excess of net investment income (3)
Accumulated net realized loss on investments (11,319)
Net unrealized depreciation on investments (3,443)
Net unrealized appreciation on futures contracts 19
--------------
Net Assets $ 147,881
==============
Net Assets Value, Offering and Redemption
Price Per Share -- Class A
($147,880,591 / 15,973,772 shares) $ 9.26
==============
Futures Contracts -- A summary of the open futures contracts held by the Fund at
July 31, 2006, is as follows (See Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF CONTRACT APPRECIATION
TYPE OF CONTRACTS VALUE EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) ($ THOUSANDS) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. 2 Year
Treasury Note (40) $ (8,139) September 2006 $(11)
U.S. 5 Year
Treasury Note (71) (7,400) September 2006 (18)
U.S. 10 Year
Treasury Note 58 6,150 September 2006 26
U.S. Treasury
Long Bond 22 2,382 September 2006 22
-----
$ 19
=====
(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 $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 17
STATEMENT OF NET ASSETS (Unaudited)
ULTRA SHORT BOND FUND
July 31, 2006
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
79.3% Asset-Backed Securities
9.8% Corporate Bonds
7.3% U.S. Government Mortgage-Backed Obligations
1.8% Certificates of Deposit
1.6% Repurchase Agreement
0.2% Collateralized Loan Obligation
* Percentages are based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 80.4%
AUTOMOTIVE -- 28.0%
Aesop Funding II LLC, Ser 2003-4A,
Cl A1 (A) (B)
5.608%, 08/21/06 $ 281 $ 281
Aesop Funding II LLC, Ser 2005-1A,
Cl A2 (A) (B)
5.438%, 08/21/06 800 800
Americredit Automobile Receivables
Trust, Ser 2004-CA, Cl A3
3.000%, 03/06/09 547 543
Americredit Automobile Receivables
Trust, Ser 2004-DF, Cl A3
2.980%, 07/06/09 533 527
Americredit Automobile Receivables
Trust, Ser 2005-CF, Cl A3
4.470%, 05/06/10 790 782
Americredit Automobile Receivables
Trust, Ser 2005-DA, Cl A3
4.870%, 12/06/10 2,010 1,993
Americredit Automobile Receivables
Trust, Ser 2006-RM, Cl A1
5.370%, 10/06/09 1,990 1,988
Americredit Automobile Receivables
Trust, Ser 2005-BM, Cl A3
4.050%, 02/06/10 3,675 3,634
BMW Vehicle Owner Trust,
Ser 2004-A, Cl A4
3.320%, 02/25/09 260 255
BMW Vehicle Owner Trust,
Ser 2005-A, Cl A4
4.280%, 02/25/10 1,420 1,396
Bank One Auto Securitization Trust,
Ser 2003-1, Cl A4
2.430%, 03/22/10 2,723 2,676
Capital Auto Receivables Asset Trust,
Ser 2004-1, Cl A3
2.000%, 11/15/07 265 263
Capital Auto Receivables Asset Trust,
Ser 2004-2, Cl A1A
3.120%, 03/15/07 102 102
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital Auto Receivables Asset Trust,
Ser 2005-1, Cl B (A)
5.744%, 08/15/06 $ 440 $ 442
Capital One Auto Finance Trust,
Ser 2003-A, Cl A4A
2.470%, 01/15/10 1,447 1,428
Capital One Auto Finance Trust,
Ser 2003-B, Cl A3 (A)
5.479%, 08/15/06 13 13
Capital One Auto Finance Trust,
Ser 2003-B, Cl A4
3.180%, 09/15/10 2,675 2,630
Capital One Auto Finance Trust,
Ser 2005-C, Cl A3
4.610%, 07/15/10 2,770 2,742
Capital One Auto Finance Trust,
Ser 2006-A2 Cl A2
5.310%, 05/15/09 1,775 1,773
Capital One Prime Auto Receivable
Trust, Ser 2004-1, Cl A4 (A)
5.439%, 08/15/06 1,180 1,180
Capital One Prime Auto Receivable
Trust, Ser 2005-1, Cl A3 (A)
4.320%, 08/15/06 1,120 1,109
Carmax Auto Owner Trust,
Ser 2004-2, Cl A4
3.460%, 09/15/11 449 435
Carmax Auto Owner Trust,
Ser 2005-2, Cl A3 (A)
4.210%, 08/15/06 1,450 1,429
Chase Manhattan Auto Owner Trust,
Ser 2003-A, Cl A4
2.060%, 12/15/09 1,387 1,351
Chase Manhattan Auto Owner Trust,
Ser 2003-C, Cl A3
2.260%, 11/15/07 71 71
Chase Manhattan Auto Owner Trust,
Ser 2004-A, Cl A4
2.830%, 09/15/10 2,059 2,004
Chase Manhattan Auto Owner Trust,
Ser 2005-A, Cl A3
3.870%, 06/15/09 820 806
Chase Manhattan Auto Owner Trust,
Ser 2006-A, Cl A3
5.340%, 07/15/10 1,490 1,490
DaimlerChrysler Auto Trust,
Ser 2004-B, Cl A3
3.180%, 09/08/08 663 657
DaimlerChrysler Auto Trust,
Ser 2005-A, Cl A3
3.490%, 12/08/08 1,285 1,273
- --------------------------------------------------------------------------------
18 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
DaimlerChrysler Auto Trust,
Ser 2005-B, Cl A3
4.040%, 09/08/09 $ 610 $ 603
DaimlerChrysler Auto Trust,
Ser 2006-B, Cl A2
5.300%, 10/08/08 925 924
Honda Auto Receivables Owner Trust,
Ser 2003-5, Cl A3
2.300%, 10/18/07 122 121
Honda Auto Receivables Owner Trust,
Ser 2005-1, Cl A3
3.530%, 10/21/08 787 778
Honda Auto Receivables Owner Trust,
Ser 2005-2, Cl A2
3.650%, 08/15/07 211 211
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 3,988
Honda Auto Receivables Owner Trust,
Ser 2006-1,Cl A2
5.100%, 09/18/08 3,215 3,207
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 3,210 3,167
Household Automotive Trust,
Ser 2005-3, Cl A3
4.800%, 10/18/10 1,070 1,061
Hyundai Auto Receivables Trust,
Ser 2003-A, Cl A3
2.330%, 11/15/07 67 67
Hyundai Auto Receivables Trust,
Ser 2005-A, Cl A3
3.980%, 11/16/09 659 648
Merrill Auto Trust Securitization,
Ser 2005-1, Cl B (A)
5.625%, 08/25/06 593 593
Morgan Stanley Auto Loan Trust,
Ser 2004-HB1, Cl A4
3.330%, 10/15/11 600 588
Navistar Financial Corporate Owner
Trust, Ser 2003-A, Cl A4
2.240%, 11/15/09 1,433 1,411
Nissan Auto Lease Trust,
Ser 2005-A1, Cl A3
4.700%, 10/15/08 1,320 1,310
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nissan Auto Receivables Owner
Trust, Ser 2005-A, Cl A3
3.540%, 10/15/08 $ 1,590 $ 1,573
Nissan Auto Receivables Owner
Trust, Ser 2005-B, Cl A2
3.750%, 09/17/07 193 193
Nissan Auto Receivables Owner
Trust, Ser 2005-C, Cl A3 (A)
4.190%, 08/15/06 760 748
Nissan Auto Receivables Owner
Trust, Ser 2006-A, Cl A2
4.800%, 06/16/08 500 498
Nissan Auto Receivables Owner
Trust, Ser 2006-A, Cl A3
4.740%, 09/15/09 665 659
Nissan Auto Receivables Owner
Trust, Ser 2006-B, Cl A3
5.160%, 02/15/10 1,035 1,032
Onyx Acceptance Owner Trust,
Ser 2003-C, Cl A4
2.660%, 05/17/10 1,085 1,069
Onyx Acceptance Owner Trust,
Ser 2005-B, Cl A2
4.030%, 04/15/08 1,047 1,045
Susquehanna Auto Lease Trust,
Ser 2005-1A, Cl 1A (B)
4.080%, 07/16/07 1,127 1,123
USAA Auto Owner Trust,
Ser 2005-2, Cl A2
3.800%, 12/17/07 688 686
USAA Auto Owner Trust,
Ser 2005-3, Cl A3
4.550%, 02/16/10 1,230 1,216
USAA Auto Owner Trust,
Ser 2006-2, Cl A2
5.310%, 03/16/09 2,000 1,998
WFS Financial Owner Trust,
Ser 2003-2, Cl A4
2.410%, 12/20/10 1,445 1,426
WFS Financial Owner Trust,
Ser 2003-3, Cl A4
3.250%, 05/20/11 2,712 2,672
WFS Financial Owner Trust,
Ser 2005-2, Cl B
4.570%, 11/19/12 1,234 1,214
Wachovia Auto Owner Trust,
Ser 2005-B, Cl A3
4.790%, 04/20/10 1,010 1,002
World Omni Auto Receivables Trust,
Ser 2004-A, Cl B (D)
3.620%, 07/12/11 630 616
--------------
75,709
--------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 19
STATEMENT OF NET ASSETS (Unaudited)
ULTRA SHORT BOND FUND (Continued)
July 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CREDIT CARD -- 8.8%
Advanta Business Card Master Trust,
Ser 2005-A4, Cl A4
4.750%, 01/20/11 $ 1,000 $ 990
Advanta Business Card Master Trust,
Ser 2005-C1, Cl C1 (A)
5.888%, 08/21/06 1,500 1,509
Advanta Business Card Master Trust,
Ser 2006-A3, Cl A
5.300%, 05/21/12 1,250 1,249
Capital One Multi-Asset Executive
Trust, Ser 2004-A6, Cl A6 (A)
5.369%, 09/15/06 1,500 1,500
Capital One Multi-Asset Executive
Trust, Ser 2004-B4, Cl B4 (A)
5.669%, 08/15/06 1,550 1,553
Capital One Multi-Asset Executive
Trust, Ser 2005-B2, Cl B2 (A)
5.519%, 08/15/06 1,500 1,501
Chase Credit Card Master Trust,
Ser 2004-2, Cl A (A)
5.409%, 08/15/06 1,485 1,485
Discover Card Master Trust,
Ser 2004-2, Cl A1 (A)
5.389%, 08/15/06 1,250 1,250
Discover Card Master Trust,
Ser 2005-1, Cl B (A)
5.519%, 08/15/06 1,133 1,134
GE Capital Credit Card Master Trust,
Ser 2004-1, Cl A (A)
5.419%, 08/15/06 1,785 1,786
GE Capital Credit Card Master Trust,
Ser 2004-2, Cl B (A)
5.629%, 08/15/06 2,000 2,002
Metris Master Trust,
Ser 2004-2, Cl C (A) (B)
6.728%, 08/21/06 1,500 1,503
Metris Master Trust,
Ser 2005-1A, Cl B (A)
5.798%, 08/21/06 1,675 1,676
Providian Gateway Master Trust,
Ser 2004-AA, Cl A (A) (B)
5.599%, 08/15/06 1,320 1,322
Providian Gateway Master Trust,
Ser 2004-EA, Cl A (A) (B)
5.499%, 08/15/06 565 566
Providian Gateway Master Trust,
Ser 2004-FA, Cl A (B)
3.650%, 11/15/11 2,750 2,692
--------------
23,718
--------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES -- 7.4%
ACAS Business Loan Trust,
Ser 2005-1A, Cl A1 (A) (B)
5.735%, 10/25/06 $ 1,000 $ 1,000
AICCO Premium Finance Master
Trust, Ser 2005-1, Cl A (A)
5.449%, 08/15/06 1,470 1,470
CIT Equipment Collateral,
Ser 2005-EF1, Cl A3
4.420%, 05/20/09 1,140 1,128
CNH Equipment Trust,
Ser 2003-B, Cl A3A (A)
5.509%, 08/15/06 120 120
CNH Equipment Trust,
Ser 2004-A, Cl A3B
2.940%, 10/15/08 1,120 1,106
CNH Equipment Trust,
Ser 2005-A, Cl A3
4.020%, 04/15/09 800 791
CNH Wholesale Master Note Trust,
Ser 2006-1A, Cl B (A) (B)
5.650%, 09/15/06 245 245
California Infrastructure SDG&E,
Ser 1997-1, Cl A6
6.310%, 09/25/08 323 323
Capital Source Commercial Loan
Trust, Ser 2003-2A, Cl D (A) (B)
7.878%, 08/21/06 155 156
Capital Source Commercial Loan
Trust, Ser 2004-1A, Cl A2 (A) (B)
5.708%, 08/21/06 213 214
Capital Source Commercial Loan
Trust, Ser 2004-2A, Cl C (A) (B)
6.228%, 08/21/06 677 677
Capital Source Commercial Loan
Trust, Ser 2005-1A, Cl B (A) (B)
5.658%, 08/21/06 487 487
Capital Source Commercial Loan
Trust, Ser 2006-1A, Cl C (A) (B)
5.928%, 08/21/06 890 890
Colts Trust, Ser 2005-1A, Cl A1 (A) (B)
5.634%, 09/20/06 532 532
Colts Trust, Ser 2005-2A, Cl A (A) (B)
5.694%, 09/20/06 1,950 1,951
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)
5.455%, 08/25/06 1,311 1,311
- --------------------------------------------------------------------------------
20 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GE Equipment Small Ticket LLC,
Ser 2005-1A, Cl B (B)
4.620%, 08/22/06 $ 794 $ 782
GE Equipment Small Ticket LLC,
Ser 2005-2A, Cl A4 (B)
5.010%, 06/22/15 2,226 2,200
Lambda Finance, Ser 2005-1A,
Cl B3 (A) (B)
5.540%, 08/15/06 840 840
Marlin Leasing Receivables LLC,
Ser 2005-1A, Cl B (B)
5.090%, 08/15/12 157 155
Merritt Funding Trust, Ser 2005-2,
Cl B (A) (B)
6.207%, 10/16/06 957 957
Nelnet Student Loan Trust,
Ser 2004-3, Cl A2 (A)
5.515%, 10/25/06 194 194
Nelnet Student Loan Trust,
Ser 2004-4, Cl A2 (A)
5.505%, 10/25/06 183 183
PFS Financing, Ser 2006-B,
Cl A (A) (B)
5.409%, 09/15/06 965 967
--------------
19,831
--------------
MORTGAGE RELATED -- 36.2%
AAA Trust, Ser 2005-2, Cl A1 (A) (B)
5.485%, 08/28/06 122 122
Ace Securities, Ser 2006-CW1,
Cl A2C (A)
5.525%, 08/25/06 895 897
Adjustable Rate Mortgage Trust,
Ser 2005-12, Cl 2A1
5.729%, 03/25/36 3,393 3,380
Advanta Mortgage Trust Loan,
Ser 1999-4, Cl A (A)
5.760%, 08/25/06 166 166
Asset Securitization, Ser 1996-MD6,
Cl A6 (A)
7.910%, 08/11/06 860 880
Asset Securitization, Ser 1997-D5,
Cl A1B
6.660%, 02/14/43 177 178
Bank of America Funding,
Ser 2005-F, Cl 4A1 (A)
5.398%, 08/11/06 1,077 1,068
Bank of America Large Loan,
Ser 2004-BBA4, Cl A2 (A) (B)
5.529%, 08/15/06 560 560
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bank of America Mortgage Securities,
Cl 2005-F, Ser 2A2 (A)
5.025%, 08/01/06 $ 3,144 $ 3,087
Bank of America Mortgage Securities,
Ser 2005-A, Cl 2A2 (A)
4.458%, 08/01/06 2,033 1,979
Bank of America Mortgage Securities,
Ser 2005-H, Cl 2A1 (A)
4.820%, 08/01/06 967 946
Bank of America Mortgage Securities,
Ser 2005-J, Cl 2A1 (A)
5.107%, 08/01/06 354 348
Bear Stearns Alt-A Trust,
Ser 2006-2, Cl 23A1 (A)
5.994%, 08/01/06 1,062 1,065
Bear Stearns Asset Backed Securities,
Ser 2005-HE11, Cl A2 (A)
5.635%, 08/25/06 275 276
Bear Stearns Asset Backed Securities,
Ser 2006-HE1, Cl 1A1 (A)
5.475%, 08/25/06 1,624 1,624
Bear Stearns Commercial Mortgage,
Ser 1998-C1, Cl A1
6.340%, 06/16/30 315 316
Bear Stearns Commercial Mortgage,
Ser 2004-BBA3, Cl A1B (A) (B)
5.599%, 08/15/06 40 40
Bear Stearns Commercial Mortgage,
Ser 2005-12, Cl 11A1 (A)
5.430%, 08/01/06 876 873
C-Bass, Ser 16A, Cl A (A) (B)
5.350%, 09/06/06 1,500 1,500
CS First Boston Mortgage Securities,
Ser 2004-TF2A, Cl A2 (A) (B)
5.569%, 08/15/06 788 788
Centex Home Equity Trust,
Ser 2005-A, Cl AF1 (D)
3.700%, 06/25/22 10 10
CitiFinancial Mortgage Securities,
Ser 2004-1, Cl AF1 (A)
5.475%, 08/25/06 70 70
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A (A)
3.920%, 08/01/06 1,443 1,429
Citigroup Mortgage Loan Trust,
Ser 2005-10, Cl 1A21 (A)
5.743%, 08/01/06 944 944
Citigroup Mortgage Loan Trust,
Ser 2006-AR2, Cl 1A1 (A)
5.637%, 08/01/06 1,468 1,460
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 21
STATEMENT OF NET ASSETS (Unaudited)
ULTRA SHORT BOND FUND (Continued)
July 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Countrywide Asset-Backed Certificates,
Ser 2006-2, Cl 2A2 (A)
5.575%, 08/25/06 $ 772 $ 773
Countrywide Home Loans,
Ser 2004-29, Cl 1A1 (A)
5.655%, 08/25/06 386 386
Countrywide Home Loans,
Ser 2005-7, Cl 1A1 (A)
5.655%, 08/25/06 645 646
Countrywide Home Loans,
Ser 2005-HY10, Cl 3A1A (A)
5.442%, 08/01/06 1,313 1,304
Crusade Global Trust,
Ser 2003-1, Cl A (A)
5.707%, 10/17/06 814 816
First Horizon Mortgage Pass-Through
Trust, Ser 2005-2, Cl 1A1
5.500%, 05/25/35 2,374 2,363
First Union-Lehman Brothers,
Ser 1997-C1, Cl D
7.500%, 04/18/29 1,000 1,014
Fremont Home Loan Owner Trust,
Ser 1999-1 (A)
5.985%, 08/25/06 12 12
GE Commercial Loan Trust,
Ser 2006-2, Cl C
6.020%, 06/15/17 725 725
GMAC Mortgage Loan,
Ser 2005-AR6, Cl 2A1 (A)
5.258%, 08/01/06 1,424 1,409
GMAC Mortgage Loan,
Ser 2005-HE3, Cl A1 (A)
5.495%, 08/25/06 1,000 1,000
GSR Mortgage Loan Trust,
Ser 2005-AR2, Cl 1A2 (A)
4.616%, 08/01/06 25 25
GSR Mortgage Loan Trust,
Ser 2005-AR4, Cl 2A1
5.059%, 07/25/35 3,062 3,043
GSR Mortgage Loan Trust,
Ser 2006-AR1, Cl 2A1
5.198%, 01/25/36 2,870 2,828
Granite Master Issuer PLC,
Ser 2005-1, Cl M1 (A)
5.644%, 09/20/06 550 550
Granite Master Issuer PLC,
Ser 2006-1A, Cl A5 (A) (B)
5.259%, 08/21/06 1,215 1,215
Granite Mortgages PLC,
Ser 2002-2, Cl 1A2 (A)
5.680%, 10/20/06 1,135 1,136
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Impac CMB Trust,
Ser 2003-12, Cl A1 (A)
6.145%, 08/25/06 $ 666 $ 666
Impac CMB Trust,
Ser 2004-9, Cl 1A1 (A)
5.765%, 08/25/06 1,220 1,222
Impac CMB Trust,
Ser 2005-2, Cl 1A1 (A)
5.645%, 08/25/06 942 942
Impac CMB Trust,
Ser 2005-3, Cl A1 (A)
5.625%, 08/25/06 788 788
Impac CMB Trust,
Ser 2005-5, Cl A1 (A)
5.705%, 08/25/06 609 610
Impac CMB Trust,
Ser 2005-8, Cl 1A (A)
5.645%, 08/25/06 1,402 1,402
Indymac Indx Mortgage Loan Trust,
Ser 2006-AR11, Cl 3A1 (A)
5.898%, 08/01/06 2,351 2,352
JP Morgan Mortgage Trust,
Cl 2005-A6, Cl 7A1 (A)
4.987%, 08/01/06 995 975
JP Morgan Mortgage Trust,
Ser 2006-A4, Cl 1A1 (A)
5.862%, 08/01/06 19 19
Long Beach Mortgage Loan Trust,
Ser 2006-6, Cl 2A3 (A)
5.544%, 08/25/06 1,190 1,190
MLCC Mortgage Investors,
Ser 2004-G, Cl A1 (A)
5.665%, 08/25/06 470 471
MLCC Mortgage Investors,
Ser 2004-HB1, Cl A1 (A)
5.745%, 08/25/06 569 569
MLCC Mortgage Investors,
Ser 2005-A, Cl A1 (A)
5.615%, 08/25/06 586 586
Master Adjustable Rate Mortgage Trust,
Ser 2004-12, Cl 5A1 (A)
4.484%, 08/01/06 693 690
Merrill Lynch Mortgage Investors,
Ser 2005-A3, Cl A1 (A)
5.655%, 08/25/06 917 908
Merrill Lynch Mortgage Investors,
Ser 2005-A8, Cl A3A1 (A)
5.495%, 08/25/06 3,019 3,020
Morgan Stanley Dean Witter Capital I,
Ser 2006-WMC1, Cl A2B (A)
5.585%, 08/25/06 1,390 1,392
- --------------------------------------------------------------------------------
22 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Home Equity Loan,
Ser 2005-4, Cl A2B (A)
5.605%, 08/25/06 $ 2,000 $ 2,004
MortgageIT Trust,
Ser 2005-2, Cl 1A1 (A)
5.645%, 08/25/06 537 536
MortgageIT Trust,
Ser 2005-3, Cl A1 (A)
5.685%, 08/25/06 1,606 1,605
MortgageIT Trust,
Ser 2005-4, Cl A1 (A)
5.665%, 08/25/06 1,974 1,974
MortgageIT Trust,
Ser 2005-5, Cl A1 (A)
5.645%, 08/25/06 1,857 1,856
New Century Home Equity Loan Trust,
Ser 2005-B, Cl A2A (A)
5.505%, 08/25/06 657 657
New Century Home Equity Loan Trust,
Ser 2005-C, Cl A2B (A)
5.555%, 08/25/06 700 700
Nomura Asset Securities,
Ser 1998-D6, Cl A1A
6.280%, 03/15/30 48 48
Option One Mortgage Loan Trust,
Ser 2003-3, Cl A2 (A)
5.685%, 08/25/06 147 147
Option One Mortgage Loan Trust,
Ser 2005-5, Cl A3 (A)
5.595%, 08/25/06 1,795 1,796
Option One Mortgage Loan Trust,
Ser 2006-1, Cl 2A2 (A)
5.515%, 08/25/06 1,590 1,591
Paragon Mortgages PLC,
Ser 12A, Cl A2C (A) (B)
5.628%, 11/15/06 505 505
Permanent Financing PLC,
Ser 9A, Cl 1C (A) (B)
5.600%, 09/11/06 1,000 1,000
Puma Finance Limited,
Ser S1, Cl A (A) (B)
5.366%, 08/09/06 728 729
RMAC PLC, Ser 2003-NS4A,
Cl A2B (A) (B)
5.600%, 09/12/06 706 707
RMAC PLC, Ser 2005-NS1A,
Cl A1 (A) (B)
5.360%, 09/12/06 195 195
RMAC PLC, Ser 2005-NS4A,
Cl A1B (A) (B)
5.380%, 09/12/06 1,229 1,229
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
RMAC Securities PLC,
Ser 2006-NS2A, Cl A1B (A) (B)
5.510%, 09/12/06 $ 700 $ 700
Residential Asset Mortgage Products,
Ser 2005-RS6, Cl A11 (A)
5.485%, 08/25/06 584 584
Residential Asset Securities,
Ser 2000-KS5, Cl AII (A)
5.865%, 08/25/06 51 51
Residential Asset Securities,
Ser 2005-KS7, Cl A1 (A)
5.485%, 08/25/06 434 434
Residential Asset Securities,
Ser 2006-EMX6, Cl A3 (A)
5.560%, 08/25/06 1,005 1,005
Residential Asset Securities,
Ser 2006-KS1, Cl A2 (A)
5.525%, 08/25/06 800 800
Residential Mortgage Securities Trust,
Ser 20A, Cl A1B (A) (B)
5.230%, 08/25/06 531 531
Residential Mortgage Securities,
Ser 22A, Cl A1B (A) (B)
5.602%, 11/14/06 800 800
Sequoia Mortgage Trust,
Ser 2004-12, Cl A1A (A)
5.648%, 08/20/06 300 301
Sequoia Mortgage Trust,
Ser 2005-1, Cl A1 (A)
5.608%, 08/20/06 292 292
Terra, Ser 1, Cl A1 (A) (B)
5.499%, 08/15/06 1,803 1,803
Washington Mutual,
Ser 2003-AR3, Cl A5 (A)
3.927%, 08/01/06 2,136 2,092
Washington Mutual,
Ser 2005-AR3, Cl A2 (A)
4.647%, 08/01/06 1,064 1,040
Washington Mutual,
Ser 2006-AR2, Cl 1A1 (A)
5.328%, 08/01/06 994 984
Wells Fargo Mortgage Backed Securities,
Ser 2004-BB, Cl A2 (A)
4.562%, 08/01/06 970 947
Wells Fargo Mortgage Backed
Securities, Ser 2005-AR1,
Cl 1A1 (A)
4.547%, 08/01/06 19 19
Wells Fargo Mortgage Backed
Securities, Ser 2005-AR16,
Cl 3A2 (A)
4.997%, 08/01/06 1,975 1,955
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 23
STATEMENT OF NET ASSETS (Unaudited)
ULTRA SHORT BOND FUND (Continued)
July 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage Backed
Securities, Ser 2005-AR4,
Cl 2A2 (A)
4.531%, 08/01/06 $ 30 $ 30
Wells Fargo Mortgage Backed
Securities, Ser 2006-AR5,
Cl 2A1 (A)
5.550%, 08/01/06 1,682 1,674
Wells Fargo Mortgage Backed
Securities, Ser 2006-AR6,
Cl 2A1 (A)
5.240%, 08/01/06 1,913 1,891
Westpac Securitisation Trust,
Ser 2005-1G, Cl A1 (A)
5.519%, 09/25/06 592 592
William Street Funding,
Ser 2006-1, Cl A (A) (B)
5.741%, 10/23/06 960 960
--------------
97,817
--------------
Total Asset Backed Securities
(Cost $217,781) ($ Thousands) 217,075
--------------
CORPORATE BONDS -- 10.0%
AUTO FINANCE -- 1.2%
DaimlerChrysler MTN (A)
5.679%, 08/01/06 2,000 2,009
Ford Motor Credit MTN (A)
6.320%, 09/28/06 1,250 1,233
--------------
3,242
--------------
BANK HOLDING COMPANY -- 0.6%
Wells Fargo (A)
5.550%, 09/28/06 1,680 1,682
--------------
BANKS -- 0.9%
BNP Paribas NY
7.200%, 01/15/07 1,000 1,006
Wachovia (A)
5.591%, 10/23/06 1,500 1,502
--------------
2,508
--------------
BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.9%
Clear Channel Communications
6.000%, 11/01/06 1,000 1,000
Univision Communications
2.875%, 10/15/06 1,500 1,490
--------------
2,490
--------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 0.8%
Whirlpool (A)
5.750%, 09/15/06 $ 2,000 $ 2,002
--------------
ELECTRICAL SERVICES -- 0.4%
Dominion Resources, Ser G (D)
3.660%, 11/15/06 1,000 995
--------------
FINANCIAL SERVICES -- 0.7%
FPL Group Capital
5.551%, 02/16/08 1,755 1,755
--------------
FOOD, BEVERAGE & TOBACCO -- 1.0%
General Mills
2.625%, 10/24/06 1,000 993
Sabmiller PLC (A) (B)
5.799%, 10/01/06 1,705 1,705
--------------
2,698
--------------
INSURANCE -- 1.6%
Ace Limited
6.000%, 04/01/07 2,000 2,003
Marsh & Mclennan (A)
5.640%, 10/13/06 1,420 1,420
Travelers Property Casualty
3.750%, 03/15/08 1,000 974
--------------
4,397
--------------
INVESTMENT BANKER/BROKER DEALER -- 1.8%
Credit Suisse First Boston USA (A)
5.348%, 09/05/06 1,500 1,502
Merrill Lynch MTN, Ser C (A)
5.615%, 10/26/06 1,750 1,752
Morgan Stanley Dean Witter (A)
5.640%, 10/12/06 1,600 1,601
--------------
4,855
--------------
PETROLEUM & FUEL PRODUCTS -- 0.1%
Keyspan
4.900%, 05/16/08 360 356
--------------
Total Corporate Bonds
(Cost $27,040) ($ Thousands) 26,980
--------------
- --------------------------------------------------------------------------------
24 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 7.6%
FHLMC
7.000%, 03/01/07 $ 8 $ 8
FHLMC (A)
6.233%, 08/01/06 1,402 1,425
6.113%, 08/01/06 1,964 1,991
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 432 434
FHLMC REMIC, Ser 2594, Cl QH
4.000%, 10/15/16 66 66
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17 1,904 1,782
FHLMC REMIC, Ser 2684, Cl QM
3.500%, 03/15/19 324 322
FHLMC REMIC, Ser 2691, Cl OK
3.500%, 05/15/17 472 469
FHLMC REMIC, Ser 2727, Cl PA
4.125%, 08/15/18 725 721
FHLMC REMIC, Ser 2750, Cl NA
3.500%, 03/15/15 484 481
FHLMC REMIC, Ser 2750, Cl OA
3.500%, 10/15/11 495 492
FNMA
6.340%, 02/01/08 1,304 1,308
FNMA (A)
6.890%, 08/01/06 345 349
6.698%, 08/01/06 936 960
6.514%, 08/01/06 109 111
6.420%, 08/01/06 862 876
6.279%, 08/01/06 193 197
6.010%, 08/01/06 1,542 1,554
5.828%, 08/01/06 272 273
FNMA REMIC, Ser 1993-220, Cl FA (A)
6.006%, 08/25/06 240 242
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23 324 322
FNMA REMIC, Ser 2001-33, Cl FA (A)
5.835%, 08/25/06 430 435
FNMA REMIC, Ser 2002-63, Cl QF (A)
5.685%, 08/25/06 312 314
FNMA REMIC, Ser 2002-64, Cl FG (A)
5.618%, 08/18/06 370 370
FNMA REMIC, Ser 2002-78, Cl AU
5.000%, 06/25/30 1,167 1,151
FNMA REMIC, Ser 2006-39, Cl PB
5.500%, 07/25/29 3,595 3,583
SLMA (A)
5.439%, 09/15/06 292 292
--------------
Total U.S. Government Mortgage-Backed Obligations
(Cost $20,809) ($ Thousands) 20,528
--------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- 1.8%
BNP Paribas Finance
5.330%, 04/30/07 $ 1,000 $ 1,000
Barclays Bank PLC NY
5.510%, 06/18/07 3,000 3,000
Wells Fargo Bank
5.090%, 03/29/07 1,000 1,000
--------------
Total Certificates of Deposit
(Cost $5,000) ($ Thousands) 5,000
--------------
COLLATERALIZED LOAN OBLIGATION -- 0.2%
MISCELLANEOUS BUSINESS SERVICES -- 0.2%
Franklin, Ser 4A, Cl A (A) (B)
5.964%, 09/20/06 500 502
--------------
Total Collateralized Loan Obligation
(Cost $503) ($ Thousands) 502
--------------
REPURCHASE AGREEMENT (C) -- 1.6%
UBS Securities LLC
5.280%, dated 07/31/06,
to be repurchased on 08/01/06,
repurchase price $4,300,631
(collateralized by various
U.S. Government obligations,
ranging in par value $2,036,791-
$3,035,000, 4.500%-5.500%,
01/01/19-12/01/35, with total
market value $4,388,960) 4,300 4,300
--------------
Total Repurchase Agreement
(Cost $4,300) ($ Thousands) 4,300
--------------
Total Investments -- 101.6%
(Cost $275,433) ($ Thousands) 274,385
--------------
OTHER ASSETS AND LIABILITIES -- (1.6)%
Payable for Fund Shares Redeemed (3,176)
Cash Overdraft (1,052)
Payable for Investment Securities Purchased (1,007)
Income Distribution Payable (187)
Administration Fees Payable (94)
Investment Advisory Fees Payable (23)
Other Assets and Liabilities, Net 1,209
--------------
Total Other Assets and Liabilities (4,330)
--------------
Net Assets -- 100.0% $ 270,055
==============
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 25
STATEMENT OF NET ASSETS (Unaudited)
ULTRA SHORT BOND FUND (Concluded)
July 31, 2006
- --------------------------------------------------------------------------------
Value
Description ($ Thousands)
- --------------------------------------------------------------------------------
NET ASSETS:
Paid-in-Capital
(unlimited authorization -- no par value) $ 275,843
Distribution in excess of net investment income (10)
Accumulated net realized loss on investments (4,730)
Net unrealized depreciation on investments (1,048)
--------------
Net Assets $ 270,055
==============
Net Asset Value, Offering and Redemption
Price Per Share -- Class A
($270,055,023 / 27,154,843 shares) $ 9.95
==============
(A) Floating Rate Instrument. The rate reflected on the Statement of Net
Assets is the rate in effect on July 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 July 31,
2006 was $37,242 ($ Thousands) and represented 13.79% 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 July 31, 2006. The coupon on a step bond changes on a
specified date.
Cl -- Class
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.
- --------------------------------------------------------------------------------
26 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
This page intentionally left blank.
STATEMENTS OF OPERATIONS ($ THOUSANDS)
For the six months ended July 31, 2006 (Unaudited)
- -----------------------------------------------------------------------------------------------------------------------------------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $ 30,297 $ 17,789 $ 18,050 $ 109,828
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 2,038 887 710 4,251
Shareholder Servicing Fees - Class A Shares 933 552 684 3,651
Administrative & Shareholder Servicing Fees - Class B Shares 244 175 289 975
Administrative & Shareholder Servicing Fees - Class C Shares 562 374 12 1,990
Administrative & Shareholder Servicing Fees - Class H Shares -- -- -- 98
Shareholder Servicing Fees - Sweep Class Shares 120 36 -- 54
Distribution Fees - Sweep Class Shares 244 73 -- 110
Investment Advisory Fees 144 86 87 522
Trustees' Fees 3 1 1 13
Registration Fees 31 21 -- 133
Custodian/Wire Agent Fees 6 10 5 61
Pricing Fees 1 1 1 5
Other Expenses 45 37 28 154
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 4,371 2,253 1,817 12,017
- -----------------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- -- --
Administration fees (1,157) (304) (85) (664)
Shareholder Servicing Fees - Class A Shares (933) (552) (684) (3,651)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Expenses 2,281 1,397 1,048 7,702
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 28,016 16,392 17,002 102,126
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM:
Investments (2) -- -- --
Futures Contracts -- -- -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON/FROM:
Investments -- -- -- --
Futures Contracts -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 28,014 $ 16,392 $ 17,002 $ 102,126
- -----------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
28 SEI Daily Income Trust / Semi-Annual Report / July 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 $ 16,340 $ 6,223 $ 3,572 $ 2,086 $ 4,412 $ 10,352
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 814 328 261 151 247 766
Shareholder Servicing Fees - Class A Shares 261 218 185 107 192 545
Administrative & Shareholder Servicing
Fees - Class B Shares 389 107 -- -- -- --
Administrative & Shareholder Servicing
Fees - Class C Shares 289 67 -- -- -- --
Administrative & Shareholder Servicing
Fees - Class H Shares -- -- -- -- -- --
Shareholder Servicing Fees - Sweep Class
Shares 115 -- -- -- -- --
Distribution Fees - Sweep Class Shares 233 -- -- -- -- --
Investment Advisory Fees 79 32 75 37 77 219
Trustees' Fees 3 1 -- -- -- 1
Registration Fees -- -- 5 -- 7 10
Custodian/Wire Agent Fees 8 -- -- -- 1 4
Pricing Fees 1 -- 2 1 1 76
Other Expenses 17 7 26 1 3 9
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 2,209 760 554 297 528 1,630
- -----------------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- (13) -- -- (88)
Administration fees (240) (26) (20) -- -- (230)
Shareholder Servicing Fees - Class A
Shares (261) (218) (185) (101) (75) (545)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Expenses 1,708 516 336 196 453 767
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 14,632 5,707 3,236 1,890 3,959 9,585
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON/FROM:
Investments -- (5) (1,637) (1,483) (318) (1,363)
Futures Contracts -- -- (145) (157) (489) --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON/FROM:
Investments -- -- 623 491 (3,089) 1,156
Futures Contracts -- -- (90) (58) 6 --
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 14,632 $ 5,702 $ 1,987 $ 683 $ 69 $ 9,378
- -----------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 29
STATEMENTS OF CHANGES IN NET ASSETS ($ THOUSANDS)
For the six months ended July 31, 2006 (Unaudited) and for the year ended
January 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
MONEY MARKET GOVERNMENT
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2/1/06-7/31/06 2/1/05-1/31/06 2/1/06-7/31/06 2/1/05-1/31/06
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 28,016 $ 27,013 $ 16,392 $ 19,694
Net Realized Gain (Loss) on Investments (2) (17) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 28,014 26,996 16,392 19,694
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (17,782) (16,207) (10,252) (11,793)
Class B (3,565) (3,339) (2,505) (4,120)
Class C (4,753) (5,096) (3,072) (3,066)
Class H -- -- -- --
Sweep Class (1,916) (2,372) (563) (715)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends (28,016) (27,014) (16,392) (19,694)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 2,114,397 3,325,894 1,186,651 3,986,557
Reinvestment of Dividends & Distributions 12,573 8,412 5,150 5,484
Cost of Shares Redeemed (1,730,719) (3,466,934) (1,185,646) (3,894,032)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 396,251 (132,628) 6,155 98,009
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 473,841 821,330 618,029 1,160,464
Reinvestment of Dividends & Distributions 1,063 446 648 1,104
Cost of Shares Redeemed (466,559) (805,575) (638,025) (1,196,288)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions 8,345 16,201 (19,348) (34,720)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 565,760 1,088,472 317,219 469,963
Reinvestment of Dividends & Distributions 248 302 -- --
Cost of Shares Redeemed (540,504) (1,008,759) (296,619) (426,814)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions 25,504 80,015 20,600 43,149
- ------------------------------------------------------------------------------------------------------------------------------------
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 261,404 584,778 146,169 276,875
Reinvestment of Dividends & Distributions -- -- 19 23
Cost of Shares Redeemed (289,453) (540,771) (142,764) (278,378)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Sweep Class
Transactions (28,049) 44,007 3,424 (1,480)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share
Transactions 402,051 7,595 10,831 104,958
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 402,049 7,577 10,831 104,958
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 861,237 853,660 745,247 640,289
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 1,263,286 $ 861,237 $ 756,078 $ 745,247
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ -- $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
30 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT II PRIME OBLIGATION
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2/1/06-7/31/06 2/1/05-1/31/06 2/1/06-7/31/06 2/1/05-1/31/06
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 17,002 $ 22,122 $ 102,126 $ 129,960
Net Realized Gain (Loss) on Investments -- (5) -- (18)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 17,002 22,117 102,126 129,942
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (12,729) (17,432) (69,205) (88,693)
Class B (4,174) (4,435) (14,321) (17,980)
Class C (99) (254) (16,753) (21,185)
Class H -- -- (980) (1,008)
Sweep Class -- -- (867) (1,095)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends (17,002) (22,121) (102,126) (129,961)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 966,240 2,122,774 16,277,515 29,575,399
Reinvestment of Dividends & Distributions 1,711 2,957 14,812 17,163
Cost of Shares Redeemed (980,928) (2,064,701) (16,049,758) (29,608,316)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (12,977) 61,030 242,569 (15,754)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 317,954 738,367 2,480,052 5,636,302
Reinvestment of Dividends & Distributions 268 643 5,896 7,150
Cost of Shares Redeemed (282,842) (730,903) (2,491,438) (5,681,249)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions 35,380 8,107 (5,490) (37,797)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 12,261 60,303 2,668,956 5,162,865
Reinvestment of Dividends & Distributions -- 2 4,613 6,041
Cost of Shares Redeemed (11,081) (74,485) (2,630,418) (5,119,585)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions 1,180 (14,180) 43,151 49,321
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS H:
Proceeds from Shares Issued -- -- 68,842 85,991
Reinvestment of Dividends & Distributions -- -- 980 1,008
Cost of Shares Redeemed -- -- (52,187) (92,214)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class H Transactions -- -- 17,635 (5,215)
- ------------------------------------------------------------------------------------------------------------------------------------
SWEEP CLASS:
Proceeds from Shares Issued -- -- 253,474 407,174
Reinvestment of Dividends & Distributions -- -- 71 68
Cost of Shares Redeemed -- -- (254,387) (395,019)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Sweep Class
Transactions -- -- (842) 12,223
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share
Transactions 23,583 54,957 297,023 2,778
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 23,583 54,953 297,023 2,759
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 749,315 694,362 4,443,666 4,440,907
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 772,898 $ 749,315 $ 4,740,689 $ 4,443,666
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ -- $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
TREASURY TREASURY II
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2/1/06-7/31/06 2/1/05-1/31/06 2/1/06-7/31/06 2/1/05-1/31/06
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 14,632 $ 18,770 $ 5,707 $ 8,452
Net Realized Gain (Loss) on Investments -- 4 (5) (11)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 14,632 18,774 5,702 8,441
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (4,860) (8,111) (3,760) (6,410)
Class B (5,605) (6,067) (1,423) (1,831)
Class C (2,378) (2,235) (524) (211)
Class H -- -- -- --
Sweep Class (1,790) (2,357) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends (14,633) (18,770) (5,707) (8,452)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 724,562 1,804,616 533,319 1,172,871
Reinvestment of Dividends & Distributions 217 507 496 1,217
Cost of Shares Redeemed (688,969) (1,890,004) (565,793) (1,259,325)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 35,810 (84,881) (31,978) (85,237)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 696,802 1,087,690 162,224 362,752
Reinvestment of Dividends & Distributions 1,352 1,477 83 126
Cost of Shares Redeemed (637,366) (1,056,405) (184,372) (371,045)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions 60,788 32,762 (22,065) (8,167)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 438,089 818,357 172,004 136,916
Reinvestment of Dividends & Distributions 41 42 467 --
Cost of Shares Redeemed (422,130) (773,928) (136,489) (165,704)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions 16,000 44,471 35,982 (28,788)
- ------------------------------------------------------------------------------------------------------------------------------------
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 265,890 550,906 -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed (251,551) (562,742) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Sweep Class
Transactions 14,339 (11,836) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share
Transactions 126,937 (19,484) (18,061) (122,192)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 126,936 (19,480) (18,066) (122,203)
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 644,531 664,011 251,675 373,878
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 771,467 $ 644,531 $ 233,609 $ 251,675
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ (1) $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 31
STATEMENTS OF CHANGES IN NET ASSETS ($ THOUSANDS)
For the six months ended July 31, 2006 (Unaudited) and for the year ended
January 31, 2005
- -------------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION
GOVERNMENT FUND
- -------------------------------------------------------------------------------------------------------------------------------
2/1/06-7/31/06 2/1/05-1/31/06
- -------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 3,236 $ 5,959
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,782) (1,844)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 533 (681)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 1,987 3,434
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (3,154) (6,742)
- -------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (3,154) (6,742)
- -------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 38,719 87,343
Reinvestment of Dividends & Distributions 2,555 5,265
Cost of Shares Redeemed (50,567) (135,823)
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (9,293) (43,215)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (10,460) (46,523)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 155,512 202,035
- -------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 145,052 $ 155,512
- -------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ 10 $ (72)
- -------------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 3,883 8,636
Reinvestment of Distributions 257 522
Shares Redeemed (5,077) (13,463)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (937) (4,305)
- -------------------------------------------------------------------------------------------------------------------------------
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.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
32 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
- --------------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE-DURATION
GOVERNMENT FUND
- --------------------------------------------------------------------------------------------------------------------------------
2/1/06-7/31/06 2/1/05-1/31/06
- --------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 1,890 $ 3,488
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,640) (830)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 433 (1,720)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 683 938
- --------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (1,854) (3,755)
- --------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (1,854) (3,755)
- --------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 15,040 23,528
Reinvestment of Dividends & Distributions 552 1,397
Cost of Shares Redeemed (16,043) (45,629)
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (451) (20,704)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (1,622) (23,521)
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 85,873 109,394
- --------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 84,251 $ 85,873
- --------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ 16 $ (20)
- --------------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 1,490 2,272
Reinvestment of Distributions 55 135
Shares Redeemed (1,593) (4,415)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (48) (2,008)
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
GNMA
FUND
- --------------------------------------------------------------------------------------------------------------------------------
2/1/06-7/31/06 2/1/05-1/31/06
- --------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 3,959 $ 7,431
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (807) 974
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts (3,083) (3,896)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 69 4,509
- --------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (3,962) (8,670)
- --------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (3,962) (8,670)
- --------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 10,643 51,821
Reinvestment of Dividends & Distributions 2,064 5,754
Cost of Shares Redeemed (27,257) (58,229)
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (14,550) (654)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (18,443) (4,815)
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 166,324 171,139
- --------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 147,881 $ 166,324
- --------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ (3) $ --
- --------------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 1,142 5,394
Reinvestment of Distributions 222 602
Shares Redeemed (2,928) (6,088)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (1,564) (92)
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
ULTRA SHORT
BOND FUND
- --------------------------------------------------------------------------------------------------------------------------------
2/1/06-7/31/06 2/1/05-1/31/06
- --------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 9,585 $ 11,264
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,363) (362)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 1,156 (1,077)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 9,378 9,825
- --------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net Investment Income (9,521) (11,854)
- --------------------------------------------------------------------------------------------------------------------------------
Total Dividends and Distributions (9,521) (11,854)
- --------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 185,822 296,269
Reinvestment of Dividends & Distributions 7,856 10,495
Cost of Shares Redeemed (335,697) (209,900)
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (142,019) 96,864
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (142,162) 94,835
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD 412,217 317,382
- --------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 270,055 $ 412,217
- --------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income/
(Distributions in Excess of Net Investment Income) $ (10) $ (74)
- --------------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 18,701 29,708+
Reinvestment of Distributions 790 1,052+
Shares Redeemed (33,778) (21,042)+
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (14,287) 9,718+
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 33
FINANCIAL HIGHLIGHTS
For the six months ended July 31, 2006 (Unaudited) and for the periods ended
January 31,
For a Share Outstanding Throughout the Periods
- --------------------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends Net Asset
Beginning Investment (Losses) from Investment and Value, End
of Year Income on Securities Operations Income Distributions of Year
- --------------------------------------------------------------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00
2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
CLASS B
2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
CLASS C
2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
SWEEP CLASS
2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
GOVERNMENT FUND
CLASS A
2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00
2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
CLASS B
2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
CLASS C
2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
- ----------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
Total End of Year to Average (Excluding to Average
Return+ ($ Thousands) Net Assets Waivers) Net Assets
- ----------------------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2006* 2.37% $788,458 0.18% 0.62% 4.74%
2006 3.30 392,207 0.18 0.62 3.25
2005 1.37 524,849 0.18 0.62 1.38
2004 1.04 603,798 0.18 0.62 1.05
2003 1.61 581,097 0.18 0.63 1.59
2002 3.70 419,783 0.18 0.63 3.90
CLASS B
2006* 2.22% $132,194 0.48% 0.67% 4.38%
2006 2.99 123,851 0.48 0.67 2.98
2005 1.07 107,650 0.48 0.67 1.10
2004 0.74 124,401 0.48 0.67 0.74
2003 1.31 159,389 0.48 0.68 1.30
2002 3.39 197,280 0.48 0.68 3.27
CLASS C
2006* 2.11% $257,576 0.68% 0.87% 4.23%
2006 2.78 232,072 0.68 0.87 2.83
2005 0.86 152,060 0.68 0.87 0.84
2004 0.54 200,467 0.68 0.87 0.55
2003 1.11 307,236 0.68 0.88 1.10
2002 3.19 407,312 0.68 0.88 3.02
SWEEP CLASS
2006* 1.99% $ 85,058 0.93% 1.12% 3.95%
2006 2.53 113,107 0.93 1.12 2.60
2005 0.61 69,101 0.93 1.12 0.61
2004 0.29 87,791 0.93 1.12 0.30
2003 0.85 149,729 0.93 1.13 0.85
2002 2.93 177,857 0.93 1.13 2.92
GOVERNMENT FUND
CLASS A
2006* 2.31% $473,601 0.20% 0.53% 4.62%
2006 3.21 467,445 0.20 0.53 3.23
2005 1.30 369,440 0.20 0.53 1.32
2004 1.00 329,940 0.20 0.53 0.99
2003 1.53 370,142 0.20 0.53 1.51
2002 3.64 402,096 0.20 0.53 3.42
CLASS B
2006* 2.16% $102,677 0.50% 0.58% 4.29%
2006 2.90 122,025 0.50 0.58 2.84
2005 1.00 156,741 0.50 0.58 0.93
2004 0.69 240,491 0.50 0.58 0.70
2003 1.23 258,488 0.50 0.58 1.20
2002 3.33 217,957 0.50 0.58 3.00
CLASS C
2006* 2.06% $150,016 0.70% 0.78% 4.11%
2006 2.70 129,416 0.70 0.78 2.74
2005 0.80 86,267 0.70 0.78 0.77
2004 0.49 105,763 0.70 0.78 0.50
2003 1.02 138,864 0.70 0.78 1.02
2002 3.13 151,256 0.70 0.78 2.90
- --------------------------------------------------------------------------------
34 SEI Daily Income Trust / Semi-Annual Report / July 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
of Year Income on Securities Operations Income Distributions of Year
- --------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00
2006 1.00 0.02(1) --(1) 0.02 (0.02) (0.02) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
GOVERNMENT II FUND
CLASS A
2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
CLASS B
2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
CLASS C
2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
PRIME OBLIGATION FUND
CLASS A
2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00
2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
- ----------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
Total End of Year to Average (Excluding to Average
Return+ ($ Thousands) Net Assets Waivers) Net Assets
- ----------------------------------------------------------------------------------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2006* 1.93% $ 29,784 0.95% 1.03% 3.86%
2006 2.44 26,361 0.95 1.03 2.43
2005 0.55 27,841 0.95 1.03 0.51
2004 0.25 46,254 0.95 1.03 0.25
2003 0.77 52,423 0.95 1.03 0.77
2002 2.87 71,277 0.95 1.03 2.67
GOVERNMENT II FUND
CLASS A
2006* 2.32% $ 563,310 0.20% 0.47% 4.63%
2006 3.18 576,242 0.20 0.48 3.18
2005 1.27 515,216 0.20 0.48 1.25
2004 0.96 568,888 0.20 0.47 0.96
2003 1.50 669,654 0.20 0.48 1.49
2002 3.63 688,112 0.20 0.48 3.63
CLASS B
2006* 2.17% $ 203,959 0.50% 0.52% 4.34%
2006 2.87 168,616 0.50 0.53 2.80
2005 0.97 160,509 0.50 0.53 0.92
2004 0.66 201,085 0.50 0.52 0.66
2003 1.20 174,496 0.50 0.53 1.19
2002 3.32 164,741 0.50 0.53 3.21
CLASS C
2006* 2.06% $ 5,629 0.70% 0.72% 4.15%
2006 2.67 4,457 0.70 0.73 2.39
2005 0.76 18,637 0.70 0.73 0.71
2004 0.46 46,853 0.70 0.72 0.46
2003 1.00 54,860 0.70 0.73 1.00
2002 3.11 80,415 0.70 0.73 2.84
PRIME OBLIGATION FUND
CLASS A
2006* 2.36% $3,199,639 0.20% 0.48% 4.71%
2006 3.28 2,957,074 0.20 0.48 3.26
2005 1.34 2,972,833 0.20 0.48 1.31
2004 1.02 3,235,847 0.20 0.48 1.02
2003 1.58 3,527,722 0.20 0.48 1.56
2002 3.70 3,989,778 0.20 0.48 3.72
Amounts designated as "--" are $0 or have been rounded to $0.
* For the six month period ended July 31, 2006. All ratios for the period
have been annualized.
+ Returns are for the period indicated and have not been annualized. Returns
shown do not reflect the deduction of taxes that a shareholder would pay
on Fund distributions or the redemption of Fund shares.
(1) Per share calculations were performed using average shares.
(2) Amount represents less than $0.01 per share.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 35
FINANCIAL HIGHLIGHTS
For the six months ended July 31, 2006 (Unaudited) and for the period ended
January 31,
For a Share Outstanding Throughout the Periods
- ---------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends
Beginning Investment (Losses) from Investment and
of Year Income on Securities Operations Income Distributions
- ---------------------------------------------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02)
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03)
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
CLASS C
2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02)
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03)
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
CLASS H
2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02)
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03)
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
SWEEP CLASS
2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02)
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03)
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
TREASURY FUND
CLASS A
2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02)
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03)
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.02 -- 0.02 (0.02) (0.02)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
CLASS B
2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02)
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03)
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
CLASS C
2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02)
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03)
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
2002 1.00 0.03 -- 0.03 (0.03) (0.03)
- ------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income
Value, End Total End of Year to Average (Excluding to Average
of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets
- ------------------------------------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2006* $ 1.00 2.20% $ 620,340 0.50% 0.53% 4.41%
2006 1.00 2.98 625,831 0.50 0.53 2.88
2005 1.00 1.03 663,635 0.50 0.53 1.05
2004 1.00 0.72 572,097 0.50 0.53 0.72
2003 1.00 1.28 776,902 0.50 0.53 1.26
2002 1.00 3.39 676,475 0.50 0.53 3.21
CLASS C
2006* $ 1.00 2.10% $ 822,781 0.70% 0.73% 4.21%
2006 1.00 2.77 779,625 0.70 0.73 2.76
2005 1.00 0.83 730,310 0.70 0.73 0.82
2004 1.00 0.52 864,829 0.70 0.73 0.52
2003 1.00 1.07 929,285 0.70 0.73 1.07
2002 1.00 3.18 946,967 0.70 0.73 3.07
CLASS H
2006* $ 1.00 2.14% $ 53,641 0.63% 0.66% 4.31%
2006 1.00 2.84 36,006 0.63 0.66 2.81
2005 1.00 0.90 41,221 0.63 0.66 0.90
2004 1.00 0.59 36,023 0.63 0.66 0.59
2003 1.00 1.15 44,327 0.63 0.66 1.13
2002 1.00 3.25 29,412 0.63 0.65 2.89
SWEEP CLASS
2006* $ 1.00 1.98% $ 44,288 0.95% 0.98% 3.96%
2006 1.00 2.51 45,130 0.95 0.98 2.53
2005 1.00 0.58 32,908 0.95 0.98 0.58
2004 1.00 0.27 37,399 0.95 0.98 0.28
2003 1.00 0.82 56,968 0.95 0.98 0.83
2002 1.00 2.92 76,982 0.95 0.98 2.88
TREASURY FUND
CLASS A
2006* $ 1.00 2.30% $ 243,907 0.20% 0.52% 4.62%
2006 1.00 3.13 208,097 0.20 0.53 3.05
2005 1.00 1.22 292,974 0.20 0.53 1.21
2004 1.00 0.96 264,544 0.20 0.53 0.92
2003 1.00 1.51 147,129 0.20 0.54 1.50
2002 1.00 3.48 221,636 0.20 0.53 3.30
CLASS B
2006* $ 1.00 2.15% $ 300,249 0.50% 0.57% 4.32%
2006 1.00 2.82 239,461 0.50 0.58 2.81
2005 1.00 0.91 206,698 0.50 0.58 0.85
2004 1.00 0.66 325,687 0.50 0.58 0.65
2003 1.00 1.21 319,991 0.50 0.59 1.19
2002 1.00 3.18 316,896 0.50 0.58 3.11
CLASS C
2006* $ 1.00 2.05% $ 129,402 0.70% 0.77% 4.11%
2006 1.00 2.62 113,403 0.70 0.78 2.70
2005 1.00 0.71 68,932 0.70 0.78 0.66
2004 1.00 0.46 109,647 0.70 0.78 0.45
2003 1.00 1.01 103,015 0.70 0.79 0.98
2002 1.00 2.97 97,755 0.70 0.78 2.86
- --------------------------------------------------------------------------------
36 SEI Daily Income Trust / Semi-Annual Report / July 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
of Year Income on Securities Operations Income Distributions of Year
- -----------------------------------------------------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) $ 1.00
2006 1.00 0.02(1) --(1) 0.02 (0.02) (0.02) 1.00
2005 1.00 --(1) --(1) -- --(2) --(2) 1.00
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
TREASURY II FUND
CLASS A
2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) $ 1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
CLASS B
2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) $ 1.00
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
CLASS C
2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) $ 1.00
2006 1.00 0.02(1) --(1) 0.02 (0.02) (0.02) 1.00
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00
2004 1.00 --(1) --(1) -- --(2) --(2) 1.00
2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
- -------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
Total End of Year to Average (Excluding to Average
Return+ ($ Thousands) Net Assets Waivers) Net Assets
- -------------------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2006* 1.93% $ 97,909 0.95% 1.02% 3.86%
2006 2.36 83,570 0.95 1.03 2.35
2005 0.49 95,407 0.93 1.03 0.49
2004 0.23 95,679 0.92 1.03 0.22
2003 0.76 102,257 0.95 1.04 0.75
2002 2.71 119,263 0.95 1.03 2.61
TREASURY II FUND
CLASS A
2006* 2.15% $ 146,530 0.25% 0.51% 4.29%
2006 2.85 178,480 0.25 0.53 2.78
2005 1.09 263,727 0.25 0.53 1.08
2004 0.81 269,200 0.25 0.53 0.80
2003 1.42 410,954 0.25 0.53 1.42
2002 3.35 556,201 0.25 0.53 3.20
CLASS B
2006* 2.00% $ 48,494 0.55% 0.56% 3.99%
2006 2.54 70,593 0.55 0.58 2.50
2005 0.79 78,781 0.55 0.58 0.70
2004 0.51 160,859 0.55 0.58 0.51
2003 1.12 210,421 0.55 0.58 1.08
2002 3.05 133,310 0.55 0.58 2.94
CLASS C
2006* 1.89% $ 38,585 0.75% 0.75% 3.90%
2006 2.33 2,602 0.75 0.78 2.03
2005 0.59 31,370 0.75 0.78 0.54
2004 0.31 58,424 0.75 0.78 0.30
2003 0.91 92,554 0.75 0.78 0.90
2002 2.84 109,581 0.75 0.78 2.71
Amounts designated as "--" are $0 or have been rounded to $0.
* For the six month period ended July 31, 2006. All ratios for the period
have been annualized.
+ Returns are for the period indicated and have not been annualized. Returns
shown do not reflect the deduction of taxes that a shareholder would pay
on Fund distributions or the redemption of Fund shares.
(1) Per share calculations were performed using average shares.
(2) Amount represents less than $0.01 per share.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 37
FINANCIAL HIGHLIGHTS
For the six months ended July 31, 2006 (Unaudited) and for the periods ended
January 31,
For a Share Outstanding Throughout the Years
- -------------------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends Net Asset
Beginning Investment (Losses) from Investment Capital and Value, End
of Year Income on Securities Operations Income Gains Distributions of Year
- -------------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2006* $ 10.02 $ 0.21(1) $ (0.07)(1) $ 0.14 $ (0.21) $ -- $ (0.21) $ 9.95
2006 10.19 0.32(1) (0.13)(1) 0.19 (0.36) -- (0.36) 10.02
2005 10.35 0.22(1) (0.12)(1) 0.10 (0.26) -- (0.26) 10.19
2004 10.46 0.22(1) (0.06)(1) 0.16 (0.27) -- (0.27) 10.35
2003 10.30 0.32 0.21 0.53 (0.34) (0.03) (0.37) 10.46
2002 10.15 0.47 0.16 0.63 (0.48) -- (0.48) 10.30
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2006* $ 10.21 $ 0.21(1) $ (0.14)(1) $ 0.07 $ (0.21) $ -- $ (0.21) $ 10.07
2006 10.50 0.36(1) (0.26)(1) 0.10 (0.39) -- (0.39) 10.21
2005 10.64 0.31(1) (0.11)(1) 0.20 (0.33) (0.01) (0.34) 10.50
2004 10.89 0.31(1) 0.01(1) 0.32 (0.33) (0.24) (0.57) 10.64
2003 10.40 0.42 0.51 0.93 (0.44) -- (0.44) 10.89
2002 10.22 0.54 0.18 0.72 (0.54) -- (0.54) 10.40
GNMA FUND
CLASS A
2006* $ 9.48 $ 0.24(1) $ (0.22)(1) $ 0.02 $ (0.24) $ -- $ (0.24) $ 9.26
2006 9.71 0.41(1) (0.16)(1) 0.25 (0.48) -- (0.48) 9.48
2005 9.86 0.39(1) (0.04)(1) 0.35 (0.50) -- (0.50) 9.71
2004 10.13 0.30(1) (0.09)(1) 0.21 (0.48) -- (0.48) 9.86
2003 9.91 0.44 0.31 0.75 (0.53) -- (0.53) 10.13
2002 9.78 0.55 0.14 0.69 (0.56) -- (0.56) 9.91
ULTRA SHORT BOND FUND
CLASS A
2006* $ 9.95 $ 0.21(1) $ --(1) $ 0.21 $ (0.21) $ -- $ (0.21) $ 9.95
2006++ 10.00 0.32(1) (0.04)(1) 0.28 (0.33) -- (0.33) 9.95
2005++ 10.10 0.20(1) (0.10)(1) 0.10 (0.20) -- (0.20) 10.00
2004++ 10.15 0.20(1) (0.05)(1) 0.15 (0.20) -- (0.20) 10.10
2003++ 10.15 0.30 -- 0.30 (0.30) (0.00)(2) (0.30) 10.15
2002++ 10.05 0.50 0.10 0.60 (0.50) -- (0.50) 10.15
- ------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income Portfolio
Total End of Year to Average (Excluding to Average Turnover
Return+ ($ Thousands) Net Assets Waivers) Net Assets Rate
- ------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2006* 1.41% $ 145,052 0.45% 0.74% 4.34% 109%
2006 1.93 155,512 0.45 0.75 3.15 162
2005 0.96 202,035 0.45 0.74 2.12 66
2004 1.55 289,986 0.45 0.72 2.07 117
2003 5.29 318,046 0.45 0.73 2.92 125
2002 6.28 150,993 0.45 0.72 4.58 84
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2006* 0.74% $ 84,251 0.45% 0.70% 4.38% 121%
2006 0.94 85,873 0.50 0.73 3.46 151
2005 1.85 109,394 0.50 0.73 2.92 80
2004 2.98 134,615 0.50 0.72 2.89 154
2003 9.12 188,009 0.50 0.73 3.92 57
2002 7.19 119,335 0.50 0.72 5.17 50
GNMA FUND
CLASS A
2006* 0.19% $ 147,881 0.60% 0.70% 5.13% 33%
2006 2.60 166,324 0.60 0.71 4.26 97
2005 3.64 171,139 0.60 0.71 3.97 85
2004 2.16 219,483 0.60 0.69 2.97 145
2003 7.73 390,393 0.60 0.70 4.12 146
2002 7.22 234,747 0.60 0.69 5.50 108
ULTRA SHORT BOND FUND
CLASS A
2006* 2.07% $ 270,055 0.35% 0.75% 4.38% 18%
2006++ 2.90 412,217 0.35 0.75 3.22 67
2005++ 1.11 317,382 0.35 0.75 1.84 59
2004++ 1.61 293,816 0.35 0.73 1.84 68
2003++ 3.35 352,284 0.35 0.73 2.81 76
2002++ 6.08 167,901 0.35 0.72 4.74 75
Amounts designated as "--" are $0 or have been rounded to $0.
* For the six month period ended July 31, 2006. All ratios for the period
have been annualized.
+ Returns are for the period indicated and have not been annualized. Returns
shown do not reflect the deduction of taxes that a shareholder would pay
on Fund distributions or the redemption of Fund shares.
++ Per share amounts have been adjusted for a 5 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.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
38 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
NOTES TO FINANCIAL STATEMENTS
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end investment company with ten operational Funds: the Money
Market, Government, Government II, Prime Obligation, Treasury, Treasury II (each
a "Fund," collectively the "Money Market Funds"), the Short-Duration Government,
Intermediate-Duration Government, GNMA, and Ultra Short Bond (each a "Fund,"
collectively the "Fixed Income Funds"). The Funds' prospectuses provide a
description of each Fund's investment objectives, policies and strategies. The
assets of each Fund are segregated, and a shareholder's interest is limited to
the Fund in which shares are held.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Funds.
USE OF ESTIMATES -- The preparation of financial statements, in conformity with
accounting principles generally accepted in the United States of America,
requires management to make estimates and assumptions that affect the reported
amount of assets and liabilities and disclosure of contingent assets at the date
of the financial statements, and the reported results of operations during the
reporting period. Actual results could differ from those estimates.
SECURITY VALUATION -- Investment securities of the Money Market Funds are stated
at amortized cost which approximates market value. Under this valuation method,
purchase discounts and premiums are accreted and amortized ratably to maturity
and are included in interest income.
Investment securities of the Fixed Income Funds listed on a securities exchange,
market or automated quotation system for which quotations are readily available
are valued at the last quoted sale price on the primary exchange or market on
which they are traded, or, if there is no such reported sale, at the most recent
quoted bid price. If available, debt securities are priced based upon valuations
provided by independent, third-party pricing agents. Such values generally
reflect the last reported sales price if the security is actively traded. The
third-party pricing agents may also value debt securities at an evaluated bid
price by employing methodologies that utilize actual market transactions,
broker-supplied valuations, or other methodologies designed to identify the
market value for such securities. Debt obligations with remaining maturities of
sixty days or less may be valued at their amortized cost, which approximates
market value.
Prices for most securities held in the Funds are provided daily by recognized
independent pricing agents. If a security price cannot be obtained from an
independent, third-party pricing agent, the Funds seek to obtain a bid price
from at least one independent broker.
Securities for which market prices are not "readily available" are valued in
accordance with Fair Value Procedures established by the Funds' Board of
Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Funds' Board of Trustees. Some of
the more common reasons that may necessitate that a security be valued using
Fair Value Procedures include: the security's trading has been halted or
suspended; the security has been de-listed from a national exchange; the
security's primary trading market is temporarily closed at a time when under
normal conditions it would be open; or the security's primary pricing source is
not able or willing to provide a price. When a security is valued in accordance
with the Fair Value Procedures, the Committee will determine the value after
taking into consideration relevant information reasonably available to the
Committee. As of July 31, 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.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 39
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
FUTURES CONTRACTS -- The Short-Duration Government Fund, the
Intermediate-Duration Government Fund and the GNMA Fund utilized futures
contracts during the six months ended July 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.
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.
RESTRICTED SECURITIES -- At July 31, 2006, the following Funds owned private
placement investments that were purchased through private offerings or acquired
through initial public offerings and cannot be sold without prior registration
under the Securities Act of 1933 or pursuant to an exemption therefrom. In
addition, the Fund has generally agreed to further restrictions on the
disposition of certain holdings as set forth in various agreements entered into
in connection with the purchase of these investments. These investments are
valued at fair value as determined in accordance with the procedures approved by
the Board of Trustees. The acquisition dates of these investments, the
enforceable right to acquire these securities, along with their cost and values
at July 31, 2006, were as follows:
NUMBER ACQUISITION RIGHT TO COST MARKET VALUE % OF NET
OF SHARES DATE ACQUIRE DATE ($THOUSANDS) ($THOUSANDS) ASSETS
- ---------------------------------------------------------------------------------------------------------
MONEY MARKET FUND
Metropolitan Life
Insurance 30,000 05/01/03 05/01/03 $ 30,000 $ 30,000 2.38%
Monumental Life
Insurance 9,500 03/21/03 03/21/03 9,500 9,500 0.75
------------ ------------- ----
$ 39,500 $ 39,500 3.13%
============ ============= ====
PRIME OBLIGATION FUND
Metropolitan Life
Insurance 30,000 05/01/03 05/01/03 $ 160,000 $ 160,000 3.38%
Monumental Life
Insurance 9,500 03/21/03 03/21/03 101,500 101,500 2.14
------------ ------------- ----
$ 261,500 $ 261,500 5.52%
============ ============= ====
- --------------------------------------------------------------------------------
40 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
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) *
- -----------------------------------------------------------------------------------------
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 January 31, 2007.
(3) Represents a contractual cap of .25%, .55%, and .75% of Class A, B, and C,
respectively, effective through January 31, 2007. 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.
DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"),
a wholly owned subsidiary of SEI Investments Company ("SEI"), 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%
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.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 41
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
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
of $1 billion for the Ultra Short Bond Fund. The fee will be calculated based on
the net assets of the Ultra Short Bond Fund.
Pursuant to the "manager of managers" structure, the Board of Trustees approved
Columbia Management Advisors, LLC (formerly Banc of America Capital Management,
LLC) as each Money Market Fund's investment sub-adviser under an investment
sub-advisory agreement approved by the shareholders of each Fund. For its
services to the Money Market Funds, the sub-adviser is entitled to receive a fee
paid directly by SIMC.
Wellington Management Company, LLP ("Wellington LLP") serves as sub-adviser to
the Fixed Income Funds under an investment sub-advisory agreement approved by
the shareholders of each Fund. For its services to the Funds, Wellington LLP is
entitled to receive a fee paid directly by SIMC.
Wachovia Bank, N.A. serves as the custodian of the Funds. The custodian plays no
role in determining the investment policies of the Funds or which securities are
to be purchased or sold in the Funds.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities, for the six months
ended July 31, 2006, were as follows for the Fixed Income Funds:
- -------------------------------------------------------------------------------
Short- Intermediate- Ultra
Duration Duration Short
Government Government GNMA Bond
Fund Fund Fund Fund
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------
PURCHASES
U.S. Government $ 88,406 $ 104,268 $ 50,824 $ 11,089
Other 71,639 -- -- 29,379
SALES
U.S. Government $ 111,429 $ 101,084 $ 66,053 $ 60,685
Other 58,188 350 1,743 93,750
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.
- --------------------------------------------------------------------------------
42 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
The tax character of dividends and distributions during the last two fiscal
years was 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
Distributable
Undistributed Undistributed Capital Post- Other Unrealized Earnings
Ordinary Long Term Loss October Temporary Appreciation (Accumulated
Income Capital Gain Carryforwards Losses Differences (Depreciation) 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 $0.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 43
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
At January 31, 2006, the following funds had capital loss carryforwards to
offset future realized capital gains:
- --------------------------------------------------------------------------------
Amount Expiration
($ 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 $237,677 of capital losses,
respectively, which have expired as of January 31, 2006.
For Federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. Post-October losses represent
losses realized on investment transactions from November 1, 2005 through January
31, 2006 that, in accordance with Federal income tax regulations, the Funds may
elect to defer and treat as having arisen in the following fiscal year.
At July 31, 2006 the Money Market Funds cost of securities for Federal income
tax purposes approximates the cost located in the Statement of Net Assets.
The Federal tax cost and aggregate gross unrealized appreciation and
depreciation on investments held by the Fixed Income Funds at July 31, 2006,
were as follows:
- -------------------------------------------------------------------------------------
Net
Federal Appreciated Depreciated Unrealized
Tax Cost Securities Securities Depreciation
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------
Short-Duration
Government Fund $ 149,249 $ 295 $ (1,385) $ (1,090)
Intermediate-Duration
Government Fund 88,217 216 (1,402) (1,186)
GNMA Fund 154,744 392 (3,835) (3,443)
Ultra Short
Bond Fund 275,433 159 (1,207) (1,048)
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.
- --------------------------------------------------------------------------------
44 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
9. NEW ACCOUNTING PRONOUNCEMENT
In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB
interpretation 48 ("FIN 48"), "ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES." This
standard defines the threshold for recognizing the benefits of tax-return
positions in the financial statements as "more-likely-than-not" to be sustained
by the taxing authority and requires measurement of a tax position meeting the
more-likely-than-not criterion, based on the largest benefit that is more than
50 percent likely to be realized. FIN 48 is effective as of the beginning of the
first fiscal year beginning after December 15, 2006. At adoption, companies must
adjust their financial statements to reflect only those tax positions that are
more-likely-than-not to be sustained as of the adoption date. As of July 31,
2006, the Funds have not evaluated the impact that will result from adopting FIN
48.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 45
SEI DAILY INCOME TRUST -- JULY 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.
- --------------------------------------------------------------------------------
46 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
DISCLOSURE OF FUND EXPENSES (UNAUDITED) (CONCLUDED)
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
2/01/06 7/31/06 RATIOS PERIOD*
- ---------------------------------------------------------------------------------------------
MONEY MARKET FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,023.70 0.18% $ 0.90
Class B Shares 1,000.00 1,022.20 0.48% 2.41
Class C Shares 1,000.00 1,021.10 0.68% 3.41
Sweep Class Shares 1,000.00 1,019.90 0.93% 4.66
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,023.90 0.18% $ 0.90
Class B Shares 1,000.00 1,022.41 0.48% 2.41
Class C Shares 1,000.00 1,021.42 0.68% 3.41
Sweep Class Shares 1,000.00 1,020.18 0.93% 4.66
- ---------------------------------------------------------------------------------------------
GOVERNMENT FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,023.10 0.20% $ 1.00
Class B Shares 1,000.00 1,021.60 0.50% 2.51
Class C Shares 1,000.00 1,020.60 0.70% 3.51
Sweep Class Shares 1,000.00 1,019.30 0.95% 4.76
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,023.80 0.20% $ 1.00
Class B Shares 1,000.00 1,022.32 0.50% 2.51
Class C Shares 1,000.00 1,021.32 0.70% 3.51
Sweep Class Shares 1,000.00 1,020.08 0.95% 4.76
- ---------------------------------------------------------------------------------------------
GOVERNMENT II FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,023.20 0.20% $ 1.00
Class B Shares 1,000.00 1,021.70 0.50% 2.51
Class C Shares 1,000.00 1,020.60 0.70% 3.51
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,023.80 0.20% $ 1.00
Class B Shares 1,000.00 1,022.32 0.50% 2.51
Class C Shares 1,000.00 1,021.32 0.70% 3.51
- ---------------------------------------------------------------------------------------------
PRIME OBLIGATION FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,023.60 0.20% $ 1.00
Class B Shares 1,000.00 1,022.00 0.50% 2.51
Class C Shares 1,000.00 1,021.00 0.70% 3.51
Class H Shares 1,000.00 1,021.40 0.63% 3.16
Sweep Class Shares 1,000.00 1,019.80 0.95% 4.76
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,023.80 0.20% $ 1.00
Class B Shares 1,000.00 1,022.32 0.50% 2.51
Class C Shares 1,000.00 1,021.32 0.70% 3.51
Class H Shares 1,000.00 1,021.67 0.63% 3.16
Sweep Class Shares 1,000.00 1,020.08 0.95% 4.76
- ---------------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
2/01/06 7/31/06 RATIOS PERIOD*
- ---------------------------------------------------------------------------------------------
TREASURY FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,023.00 0.20% $ 1.00
Class B Shares 1,000.00 1,021.50 0.50% 2.51
Class C Shares 1,000.00 1,020.50 0.70% 3.51
Sweep Class Shares 1,000.00 1,019.30 0.95% 4.76
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,023.80 0.20% $ 1.00
Class B Shares 1,000.00 1,022.32 0.50% 2.51
Class C Shares 1,000.00 1,021.32 0.70% 3.51
Sweep Class Shares 1,000.00 1,020.08 0.95% 4.76
- ---------------------------------------------------------------------------------------------
TREASURY II FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,021.50 0.25% $ 1.25
Class B Shares 1,000.00 1,020.00 0.55% 2.75
Class C Shares 1,000.00 1,018.90 0.75% 3.75
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,023.55 0.25% $ 1.25
Class B Shares 1,000.00 1,022.07 0.55% 2.76
Class C Shares 1,000.00 1,021.08 0.75% 3.76
- ---------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,014.10 0.45% $ 2.25
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.56 0.45% $ 2.26
- ---------------------------------------------------------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,007.40 0.45% $ 2.24
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,022.56 0.45% $ 2.26
- ---------------------------------------------------------------------------------------------
GNMA FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,001.90 0.60% $ 2.98
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,021.82 0.60% $ 3.01
- ---------------------------------------------------------------------------------------------
ULTRA SHORT BOND FUND
- ---------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $ 1,000.00 $ 1,020.70 0.35% $ 1.75
HYPOTHETICAL 5% RETURN
Class A Shares $ 1,000.00 $ 1,023.06 0.35% $ 1.76
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 181/365 (to reflect
one-half year period shown).
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 47
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 8 and March 9, 2006 meetings 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;
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48 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
o each Fund's investment performance and how it compared to that of other
comparable mutual funds;
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-Advisors, the Board took into account
the fact that the Sub-Advisors are compensated by SIMC, and not by the Funds
directly, and such compensation with respect to any Sub-Advisor reflects an
arms-length negotiation between the Sub-Advisor 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 / Semi-Annual Report / July 31, 2006 49
NOTES
NOTES
NOTES
SEI DAILY INCOME TRUST SEMI-ANNUAL REPORT JULY 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
Russell Emery
CHIEF COMPLIANCE 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)
[LOGO OMITTED]
SEI New Ways.
New Answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-037 (7/06)
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to open-end management investment companies.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end management investment companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable. Effective for closed-end management investment companies for
fiscal years ending on or after December 31, 2005
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not applicable to open-end management investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June
18th 2004, the Committee will review all shareholder recommendations for
nominations to fill vacancies on the Board if such recommendations are submitted
in writing and addressed to the Committee at the Trust's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, the certifying
officers have concluded that the registrant's disclosure controls and procedures
are adequately designed, and are operating effectively to ensure, that
information required to be disclosed by the registrant in the reports it files
or submits under the Securities Exchange Act of 1934 is recorded, processed,
summarized and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the registrant's internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Daily Income Trust
By (Signature and Title)* /s/ Robert A. Nesher
---------------------------------
Robert A. Nesher, President & CEO
Date: September 27, 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, President & CEO
Date: September 27, 2006
By (Signature and Title)* /s/ Stephen F. Panner
-----------------------------------
Stephen F. Panner, Controller & CFO
Date: September 27, 2006
* Print the name and title of each signing officer under his or her signature.