UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-03451
SEI DAILY INCOME TRUST
(Exact name of registrant as specified in charter)
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c/o CT Corporation
101 Federal Street
Boston, MA 02110
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: JANUARY 31, 2007
DATE OF REPORTING PERIOD: JANUARY 31, 2007
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO]
SEI New ways.
New answers.(R)
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SEI Daily Income Trust
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Annual Report as of January 31, 2007
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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
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TABLE OF CONTENTS
Letter to Shareholders 1
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Management's Discussion and Analysis of Fund Performance 2
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Schedules of Investments 7
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Statements of Assets and Liabilities 28
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Statements of Operations 30
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Statements of Changes in Net Assets 32
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Financial Highlights 36
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Notes to Financial Statements 41
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Report of Independent Registered Public Accounting Firm 48
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Trustees and Officers of the Trust 49
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Disclosure of Fund Expenses 52
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Board of Trustees Considerations in Approving the Continuation of the
Funds' Advisory and Sub-Advisory Agreements 54
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Notice to Shareholders 56
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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 website at http://www.sec.gov, and may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
Since the Funds in SEI Daily Income Trust typically hold only fixed income
securities, they generally are not expected to hold securities for which they
may be required to vote proxies. Regardless, in light of the possibility that a
Fund could hold a security for which a proxy is voted, the Trust has adopted
proxy voting policies. A description of the policies and procedures that the
Trust uses to determine how to vote proxies relating to portfolio securities, as
well as information relating to how a Fund voted proxies relating to portfolio
securities during the most recent 12-month period ended June 30, is available
without charge (i) upon request, by calling 1-800-DIAL-SEI; and (ii) on the
Commission's website at http://www.sec.gov.
SEI DAILY INCOME TRUST -- JANUARY 31, 2007
Letter to Shareholders
TO OUR SHAREHOLDERS:
The fixed income markets struggled early in the year as strong economic growth
prodded the Federal Reserve, headed by its new chairman, Dr. Ben Bernanke, to
tighten monetary policy. By June, the Fed raised its target for the Federal
Funds Rate by 0.75%, to 5.25%. Yields of short-term issues closely tracked the
Feds Funds Rate, while yields on longer term bonds, encouraged by quiescent
inflation in the second half of the year, and strong investor demand, ended the
year only slightly higher than where they began. This environment provided a
positive backdrop for short-term income generating funds, especially money
market funds.
We'd be remiss if we didn't mention the significant decline in market volatility
and risk premiums during the year. Other than a sharp but short-termed spike in
May, volatility and credit spread (the difference between a risk free Treasury
yield and the yield on a corporate bond), remained on a fairly steady trajectory
lower, propelling equities and corporate bond returns upward. Steady market
fundamentals also lent support to the markets as the corporate environment
remained on solid ground with default rates at near historical lows and strong
corporate earnings growth.
During the fiscal year ended January 31, 2007, the SEI Daily Income Trust funds
performed in line with the overall fixed income market.
As always, we thank you for your continued confidence in the SEI Daily Income
Trust and we look forward to serving your investment needs in the future.
Sincerely,
/s/ Robert A. Nesher
Robert A. Nesher
President
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SEI Daily Income Trust / Annual Report / January 31, 2007 1
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2007
Short-Duration Government Fund
Objectives
The Short-Duration Government Fund (the "Fund") seeks to preserve principal
value and maintain a high degree of liquidity while providing current income.
The Fund invests in securities issued by the U.S. Government and backed by its
full faith and credit, and securities issued by the U.S. Government agencies.
The weighted average maturity of the Fund is approximately three years. The Fund
seeks to provide a higher level of sustainable income and total return than
money market investments, with limited principal fluctuations.
Strategy
The Fund's weighted average maturity will be managed to take advantage of
anticipated changes in the direction of interest rates. The distribution of
maturities for individual securities will also be managed to take advantage of
expected changes in the shape of the yield curve. Treasury and agency securities
will form the core of the Fund, and agency-backed mortgage securities will be
utilized when their yields are judged to be attractive relative to those of
Treasuries and agencies.
Market Overview
The fixed income markets generated modest positive returns for the year ended
January 31, 2007. Strong economic data and soaring commodity prices pushed
expectations for more restrictive Federal Reserve policy early in the year.
However, a dramatically weaker housing sector mid year and slower productivity
resulted in a Federal Reserve pause in the second half and a more normalized
growth pace in the 2.0-2.5% range by year end. Strong sponsorship from global
money managers, non traditional buyers and central banks provided strong
technical support for bonds, especially structured securities, as too much
capital chased too few assets. Even the decline in the U.S. dollar did little to
slow foreign investment in the U.S.
Ten-year U.S. Treasury rates gyrated throughout the year before climbing higher
by 29 basis points to end the fiscal year at 4.81%. Short term rates, however,
increased more dramatically, up 0.64% for the year, as the U.S. Federal Reserve,
headed by new chairman Ben S. Bernanke, hiked rates to continue to battle the
threat of rising inflation. This movement in rates produced an inverted yield
curve with 3-month Treasury bills yielding 5.10% and 30-year Treasury bonds
yielding 4.91%.
The government sector generated a positive return for the year. The U.S. agency
sector delivered higher returns than U.S. Treasuries with prices pushed higher
as supply was limited due to regulatory restraints on capital at Freddie Mac and
Fannie Mae. The mortgage-backed sector also posted reasonable results as low
volatility and a tighter than expected trading range of interest rates provided
a positive impetus for the sector.
Analysis
For the fiscal year ended January 31, 2007, the Short-Duration Government Fund,
Class A posted a 3.84% return compared to a 4.01% return for its benchmark, the
Merrill Lynch 1-3 Year U.S. Treasury Bond Index. The Fund's allocation to
Treasury Inflation-Protected Securities (TIPS) detracted from performance as
inflation was in line with market expectations. Exposure to U.S. agencies and
mortgage-backed securities positively contributed to performance. The Fund's
yield curve positioning and defensive interest rate posture relative to the
benchmark was also an additive as interest rates rose and the yield curve
flattened.
Short-Duration Government Fund
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
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Short-Duration
Government Fund, Class A 3.84% 2.24% 2.70% 4.46% 5.56%
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Comparison of Change in the Value of a $10,000 Investment in the Short-Duration
Government Fund, Class A, versus the Merrill Lynch 1-3 Year U.S. Treasury Bond
Index. The chart assumes all dividends and capital gain distributions are
reinvested.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Short Duration Merrill Lynch 1-3 Year
Government Fund, Class A U.S. Treasury Bond Index
1/31/97 $10,000 $10,000
1/31/98 10,723 10,719
1/31/99 11,419 11,404
1/31/00 11,672 11,703
1/31/01 12,739 12,802
1/31/02 13,539 13,721
1/31/03 14,256 14,480
1/31/04 14,476 14,786
1/31/05 14,615 14,886
1/31/06 14,898 15,164
1/31/07 15,470 15,772
1 For the period ended January 31, 2007. Past performance is not predictive
of future performance. Class A shares were offered beginning 2/17/87.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
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2 SEI Daily Income Trust / Annual Report / January 31, 2007
Intermediate-Duration Government Fund
Objectives
The Intermediate-Duration Government Fund (the "Fund") seeks to preserve
principal value and maintain a high degree of liquidity while providing current
income. The Fund invests in securities issued by the U.S. Government and backed
by its full faith and credit, and securities issued by the U.S. Government
agencies. The weighted average maturity of the Fund is three to five years. The
Fund seeks to provide a higher level of sustainable income and total return than
money market investments, with limited principal fluctuations.
Strategy
The Fund's weighted average maturity will be managed to take advantage of
anticipated changes in the direction of interest rates. The distribution of
maturities for individual securities will also be managed to take advantage of
expected changes in the shape of the yield curve. The Fund focuses on Treasury
and agency securities, and agency mortgage-backed securities will be utilized
when their prospects for enhancing income and total return are judged to be
attractive.
Market Overview
The fixed income markets generated modest positive returns for the year ended
January 31, 2007. Strong economic data and soaring commodity prices pushed
expectations for more restrictive Federal Reserve policy early in the year.
However, a dramatically weaker housing sector mid-year and slower productivity
resulted in a Federal Reserve pause in the second half and a more normalized
growth pace in the 2.0-2.5% range by year end. Strong sponsorship from global
money managers, non traditional buyers and central banks provided strong
technical support for bonds, especially structured securities, as too much
capital chased too few assets. Even the decline in the U.S. dollar did little to
slow foreign investment in the U.S.
Ten-year U.S. Treasury rates gyrated throughout the year before climbing higher
by 29 basis points to end the fiscal year at 4.81%. Short term rates, however,
increased more dramatically, up 0.64% for the year, as the U.S. Federal Reserve,
headed by new chairman Ben S. Bernanke, hiked rates to continue to battle the
threat of rising inflation. This movement in rates produced an inverted yield
curve with 3-month Treasury bills yielding 5.10% and 30-year Treasury bonds
yielding 4.91%.
The government sector generated a positive return for the year. The U.S. agency
sector delivered higher returns than U.S. Treasuries with prices pushed higher
as supply was limited due to regulatory restraints on capital at Freddie Mac and
Fannie Mae. The mortgage-backed sector also posted reasonable results as low
volatility and a tighter than expected trading range of interest rates provided
a positive impetus for the sector.
Analysis
For the fiscal year ended January 31, 2007, the Intermediate-Duration Government
Fund, Class A posted a return of 3.64% versus the 3.62% return of its benchmark,
the Merrill Lynch 3-5 year U.S. Treasury Bond Index. The Fund's allocation to
Treasury Inflation-Protected Securities (TIPS) detracted from performance as
inflation was in line with market expectations. Yield curve positioning and
defensive interest rate posture was additive to performance as interest rates
rose for the year and the shape of the yield curve flattened. Exposure to U.S.
agencies, select Fannie Mae securities and mortgage-backed securities was also a
positive contributor to performance as spreads tightened relative to U.S.
Treasuries.
Intermediate-Duration Government Fund
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
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Intermediate-Duration
Government Fund, Class A 3.64% 2.14% 3.67% 5.32% 6.27%
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Comparison of Change in the Value of a $10,000 Investment in the
Intermediate-Duration Government Fund, Class A, versus the Merrill Lynch 3-5
Year U.S. Treasury Bond Index. The chart assumes all dividends and capital gain
distributions are reinvested.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Intermediate-Duration Merrill Lynch 3-5 Year
Government Fund, Class A U.S. Treasury Bond Index
1/31/97 $10,000 $10,000
1/31/98 10,915 10,929
1/31/99 11,729 11,807
1/31/00 11,639 11,680
1/31/01 13,085 13,179
1/31/02 14,025 14,182
1/31/03 15,304 15,659
1/31/04 15,760 16,211
1/31/05 16,052 16,451
1/31/06 16,203 16,590
1/31/07 16,793 17,191
1 For the period ended January 31, 2007. Past performance is not predictive
of future performance. Class A shares were offered beginning 2/17/87.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
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SEI Daily Income Trust / Annual Report / January 31, 2007 3
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2007
GNMA Fund
Objectives
The GNMA Fund (the "Fund") seeks to preserve principal value and maintain a high
degree of liquidity while providing current income. The Fund invests primarily
in mortgage-backed securities issued by the Government National Mortgage
Association and backed by the full faith and credit of the U.S. Government.
Strategy
The Fund's investment strategy emphasizes the distribution of security coupon
rates, the weighted average coupon rate, and the selection of appropriate
underlying mortgage types. The selection of coupon rates affects the sensitivity
of the Fund to changes in reinvestment risk associated with loan prepayment. The
Fund will therefore tend to purchase somewhat lower coupons when interest rates
are expected to fall, and somewhat higher coupons when interest rates are
expected to be stable or rising.
Market Overview
The fixed income markets generated modest positive returns for the year ended
January 31, 2007. Strong economic data and soaring commodity prices pushed
expectations for more restrictive Federal Reserve policy early in the year.
However, a dramatically weaker housing sector mid-year and slower productivity
resulted in a Federal Reserve pause in the second half and a more normalized
growth pace in the 2.0-2.5% range by year end. Strong sponsorship from global
money managers, non traditional buyers and central banks provided strong
technical support for bonds, especially structured securities, as too much
capital chased too few assets. Even the decline in the U.S. dollar did little to
slow foreign investment in the U.S.
Ten-year U.S. Treasury rates gyrated throughout the year before climbing higher
by 29 basis points to end the fiscal year at 4.81%. Short-term rates, however,
increased more dramatically, up 0.64% for the year, as the U.S. Federal Reserve,
headed by new chairman Ben S. Bernanke, hiked rates to continue to battle the
threat of rising inflation. This movement in rates produced an inverted yield
curve with 3-month Treasury bills yielding 5.10% and 30-year Treasury bonds
yielding 4.91%.
The mortgage-backed securities sector posted better performance than the overall
U.S. bond market; however, Ginnie Mae securities lagged the performance of
conventional mortgages (Fannie Mae and Freddie Mac). While low volatility and a
tighter than expected trading range of interest rates provided positive impetus
for the mortgage sector, Ginnie Maes were susceptible to vagaries of foreign
participation and secondary market selling in the U.S. securities market.
Analysis
For the fiscal year ended January 31, 2007, the GNMA Fund, Class A posted a
3.65% return versus the 3.98% return of its benchmark, the Citigroup 30-Year
GNMA Index. The Fund's shorter duration positioning, while having a positive
impact early in the period, detracted from performance in the second half of the
year. Additionally, allocations to 15 year securities exhibited weaker
performance than 30 year securities. The Fund benefited from its allocation to
higher coupon securities with prices increasing as investors sought higher
yield.
GNMA Fund
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
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GNMA Fund, Class A 3.65% 3.29% 3.94% 5.48% 6.72%
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Comparison of Change in the Value of a $10,000 Investment in the GNMA Fund,
Class A, versus the Citigroup 30-Year GNMA Index. The chart assumes all
dividends and capital gain distributions are reinvested.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
GNMA Fund, Class A Citigroup 30 Year GNMA Index
1/31/97 $10,000 $10,000
1/31/98 10,952 10,932
1/31/99 11,692 11,662
1/31/00 11,554 11,719
1/31/01 13,107 13,352
1/31/02 14,054 14,376
1/31/03 15,140 15,507
1/31/04 15,467 15,991
1/31/05 16,030 16,666
1/31/06 16,447 17,173
1/31/07 17,047 17,856
1 For the period ended January 31, 2007. Past performance is not predictive
of future performance. Class A shares were offered beginning 3/20/87.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
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4 SEI Daily Income Trust / Annual Report / January 31, 2007
Ultra Short Bond Fund
Objectives
The Ultra Short Bond Fund (the "Fund") seeks to provide a higher current income
than typically offered by a money market fund while maintaining a high degree of
liquidity and minimal principal volatility. The Fund invests in U.S. Treasury
and U.S. Agency securities, short average life mortgage-backed securities, and
short term investment grade securities of U.S. issuers. The duration of the Fund
will range between six and eighteen months.
Strategy
The Fund seeks to provide a return in excess of the Lehman 9-12 Month Treasury
Index and to manage risk through the sub-adviser's use of sector strategies,
security selection and duration management. In determining the average maturity
and duration position of the Fund, the sub-adviser considers the shape of the
yield curve, the extent of yield changes and the period of time over which rates
are likely to rise, fall or remain stable. Investment in short average life
mortgage-backed issues and short-term investment grade securities is emphasized
when relative spreads are attractive and incremental yields serve to enhance
total return.
Market Overview
The fixed income markets generated modest positive returns for the year ended
January 31, 2007. Strong economic data and soaring commodity prices pushed
expectations for more restrictive Federal Reserve policy early in the year.
However, a dramatically weaker housing sector mid-year and slower productivity
resulted in a Federal Reserve pause in the second half and a more normalized
growth pace in the 2.0-2.5% range by year end. Strong sponsorship from global
money managers, non traditional buyers and central banks provided strong
technical support for bonds, especially structured securities, as too much
capital chased too few assets. Even the decline in the U.S. dollar did little to
slow foreign investment in the U.S.
Ten-year U.S. Treasury rates gyrated throughout the year before climbing higher
by 29 basis points to end the fiscal year at 4.81%. Short-term rates, however,
increased more dramatically, up 0.64% for the year, as the U.S. Federal Reserve,
headed by new chairman Ben S. Bernanke, hiked rates to continue to battle the
threat of rising inflation. This movement in rates produced an inverted yield
curve with 3-month Treasury bills yielding 5.10% and 30-year Treasury bonds
yielding 4.91%.
All of the spread sectors registered positive excess returns for the year.
Spread contraction added to performance as did investor demand for higher yield
securities. Low volatility and a tighter than expected trading range of interest
rates provided positive impetus for the mortgage sector The collateralized
mortgage-backed securities also enjoyed good performance on strong fundamentals
and unflagging demand from collateralized debt obligations and hedge funds as
well as more traditional investors. The asset-backed securities sector lagged
the other sectors of the market but still generated positive return versus U.S.
Treasuries even as fourth quarter 2006 weakness in home equity spreads amid
fears of a downturn in the housing market pressured spreads wider. Event risk
overshadowed the credit sector throughout the year with the size and frequency
of leveraged buy outs and mergers & acquisitions deals continuing to accelerate
into year end. However, the sector surprisingly managed to outperform Treasuries
as spreads tightened and the credit curve proved steep enough to offer
incremental return.
Analysis
For the fiscal year ended January 31, 2007, the Ultra Short Bond Fund, Class A
returned 4.88%, versus the 4.51% return of its benchmark, the Lehman Brothers
9-12 Month Treasury Index. The Fund's allocation to the spread sectors,
especially mortgage and asset-backed securities was the major catalyst for
return. Corporate bond holdings, both fixed and floating rate, turned in
exceptional results as the Fund successfully benefited from superior security
selection. Additionally, with the Federal Reserve's rate hikes widely
anticipated in the first half of the year, Wellington's defensive strategy of
having shorter than benchmark duration also paid off.
Ultra Short Bond Fund
AVERAGE ANNUAL TOTAL RETURN 1
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Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
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Ultra Short Bond Fund,
Class A 4.88% 2.95% 2.76% 4.38% 4.60%
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Comparison of Change in the Value of a $10,000 Investment in the Ultra Short
Bond Fund, Class A, versus the Lehman Brothers 9-12 Month Treasury Index. The
chart assumes all dividends and capital gain distributions are reinvested.
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.]
Ultra Short Bond Fund, Lehman Brothers 9-12 Month
Class A Treasury Index
1/31/97 $10,000 $10,000
1/31/98 10,629 10,626
1/31/99 11,225 11,241
1/31/00 11,648 11,731
1/31/01 12,633 12,618
1/31/02 13,401 13,315
1/31/03 13,850 13,708
1/31/04 14,073 13,910
1/31/05 14,229 14,037
1/31/06 14,642 14,410
1/31/07 15,356 15,060
1 For the period ended January 31, 2007. Past performance is no indication
of future performance. Class A shares were offered beginning 9/28/93.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
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SEI Daily Income Trust / Annual Report / January 31, 2007 5
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2007
DEFINITION OF THE COMPARATIVE INDICES*
CITIGROUP 30-YEAR GNMA INDEX is a widely-recognized, market weighted index of
GNMA mortgage-backed securities with remaining maturities of 30 years or less.
LEHMAN BROTHERS 9-12 MONTH TREASURY INDEX is a widely-recognized, market
weighted index of U.S. Treasury Bonds with remaining maturities between nine and
twelve months.
MERRILL LYNCH 1-3 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market
weighted index of U.S. Treasury Bonds with maturities between one and three
years.
MERRILL LYNCH 3-5 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market
weighted index of U.S. Treasury Bonds with maturities between three and five
years.
* An index measures the market price of a specific group of securities in a
particular market or securities in a market sector. You cannot invest
directly in an index. An index does not have an investment adviser and
does not pay any commissions or expenses. If an index had expenses, its
performance would be lower.
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6 SEI Daily Income Trust / Annual Report / January 31, 2007
SCHEDULE OF INVESTMENTS
Money Market Fund
January 31, 2007
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SECTOR WEIGHTINGS (UNAUDITED)*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
34.7% Corporate Bonds
24.0% Commercial Paper
21.8% Certificates of Deposit
15.4% Repurchase Agreement
3.6% Insurance Funding Agreements
0.5% Municipal Bond
* Percentages based on total investments.
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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CORPORATE BONDS (B) -- 34.7%
ASSET BACKED - FINANCIAL SERVICES -- 6.9%
Atlas Capital Funding MTN (E)
5.310%, 02/15/07 to 02/27/07 $ 55,000 $ 55,000
Irish Life & Permanent PLC (E)
5.340%, 02/22/07 14,000 14,002
K2 (USA) LLC MTN (E)
5.320%, 04/24/07 5,000 4,999
Mesa Properties LLC
5.400%, 02/01/07 2,500 2,500
--------------
76,501
--------------
ASSET BACKED - OTHER (E) -- 19.6%
Cullinan Finance MTN
5.333%, 02/15/07 25,000 24,999
Harrier Finance LLC MTN
5.333%, 02/15/07 15,000 15,000
Holmes Finance PLC,
Ser 10A, Cl 1A
5.290%, 02/15/07 30,000 30,000
Links Finance LLC MTN
5.320%, 04/02/07 10,000 10,000
Paragon Mortgages PLC,
Ser 10A, Cl A1
5.300%, 02/15/07 10,847 10,847
Paragon Mortgages PLC,
Ser 13A, Cl A1
5.310%, 02/15/07 24,618 24,618
Sedna Finance MTN
5.325%, 03/08/07 15,000 14,999
Sigma Finance MTN, Ser 1
5.320%, 03/16/07 45,000 44,999
Tango Finance MTN
5.322%, 04/16/07 25,000 24,999
Whistlejacket Capital MTN
5.320%, 02/21/07 to 02/28/07 16,000 15,999
--------------
216,460
--------------
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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BANKS -- 7.3%
BNP Paribas MTN
5.330%, 03/16/07 $ 9,000 $ 9,000
Banque Federative du Credit Mutuel (E)
5.320%, 02/13/07 2,000 2,000
Natexis Banques Populaires LLC NY (E)
5.365%, 02/09/07 35,000 35,000
Northern Rock PLC (E)
5.320%, 02/05/07 10,000 10,000
Westpac Banking NY (E)
5.340%, 03/12/07 25,000 25,000
--------------
81,000
--------------
INVESTMENT BANKER/BROKER DEALER -- 0.9%
Goldman Sachs Group (C)
5.380%, 02/13/07 10,000 10,000
--------------
Total Corporate Bonds
(Cost $383,961) ($ Thousands) 383,961
--------------
COMMERCIAL PAPER (A) -- 23.9%
ASSET BACKED - FINANCIAL SERVICES --23.9%
Citibank Credit Card Issue Trust
5.320%, 04/13/07 40,000 39,585
Georgetown Funding
5.317%, 02/20/07 40,000 39,888
Giro Balanced Funding
5.291%, 02/13/07 50,000 49,912
Klio II Funding
5.316%, 04/17/07 40,000 39,563
Lexington Parker Capital
5.293%, 02/16/07 40,000 39,912
Rhineland Funding Capital
5.366%, 02/06/07 30,000 29,978
Victory Receivables
5.300%, 03/16/07 26,000 25,837
--------------
Total Commercial Paper
(Cost $264,675) ($ Thousands) 264,675
--------------
CERTIFICATES OF DEPOSIT -- 21.7%
BNP Paribas (B)
5.305%, 03/26/07 30,000 29,995
5.306%, 03/27/07 30,000 29,995
Barclays Bank PLC NY
5.500%, 06/18/07 4,000 4,000
Comerica Bank (B)
5.335%, 04/20/07 21,000 20,998
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SEI Daily Income Trust / Annual Report / January 31, 2007 7
SCHEDULE OF INVESTMENTS
Money Market Fund (Concluded)
January 31, 2007
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
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
5.250%, 04/03/07 7,500 7,500
5.420%, 01/16/08 14,000 14,000
Deutsche Bank
4.950%, 02/06/07 9,000 9,000
4.805%, 02/21/07 8,000 8,000
Deutsche Bank NY
5.400%, 11/21/07 to 12/12/07 22,000 22,000
Goldman Sachs
5.450%, 06/12/07 14,000 14,000
Natexis Banq Populair LLC NY (B)
5.410%, 08/11/07 15,000 15,000
Rhineland Funding Capital (B)
5.350%, 02/07/07 25,000 25,000
Societe Generale
5.500%, 06/18/07 4,000 4,000
Swedbank (B)
5.315%, 03/15/07 16,000 15,998
--------------
Total Certificates of Deposit
(Cost $239,986) ($ Thousands) 239,986
--------------
INSURANCE FUNDING AGREEMENTS (B) (C) (F) -- 3.6%
Metropolitan Life Insurance
5.440%, 04/15/07 30,000 30,000
Monumental Life Insurance
5.520%, 03/01/07 9,500 9,500
--------------
Total Insurance Funding Agreements
(Cost $39,500) ($ Thousands) 39,500
--------------
MUNICIPAL BOND -- 0.5%
TEXAS -- 0.5%
Texas State, Veterans Funding II Project,
Ser D, GO (B)
5.300%, 02/07/07 5,270 5,270
--------------
Total Municipal Bond
(Cost $5,270) ($ Thousands) 5,270
--------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (D) -- 15.3%
Deutsche Bank
5.260%. dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $169,999,835
(collateralized by various FHLB/
FNMA obligations, ranging in par
value $21,944,000-$55,440,000,
3.750%-6.865%, 04/15/07-
08/10/09, with total market
value $173,375,220) $ 169,975 $ 169,975
--------------
Total Repurchase Agreement
(Cost $169,975) ($ Thousands) 169,975
--------------
Total Investments -- 99.7%
(Cost $1,103,367) ($ Thousands) $ 1,103,367
==============
Percentages are based on Net Assets of $1,106,398 ($ Thousands).
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Schedule of
Investments is the rate in effect on January 31, 2007. The date shown is
the earlier of the reset date or the demand date.
(C) Securities considered illiquid. The total value of such securities as of
January 31, 2007 was $49,500 ($ Thousands) and represented 4.48% of Net
Assets.
(D) Tri-Party Repurchase Agreement.
(E) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(F) This security considered restricted. The total value of such securities as
of January 31, 2007 was $39,500 ($ Thousands) and represented 3.57% of Net
Assets (See Note 2 in Notes to Financial Statements).
Cl -- Class
FHLB -- Federal Home Loan Bank
FNMA -- Federal National Mortgage Association
GO -- General Obligation
LLC -- Limited Liability Company
MTN -- Medium Term Note
NY -- New York
PLC -- Public Limited Company
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
8 SEI Daily Income Trust / Annual Report / January 31, 2007
Government Fund
January 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
63.7% U.S. Government Agency Obligations
36.3% Repurchase Agreements
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 63.6%
FFCB (A)
5.205%, 02/01/07 $ 10,000 $ 10,000
5.195%, 02/01/07 19,395 19,392
5.190%, 02/06/07 32,000 31,994
5.210%, 02/13/07 10,000 9,997
5.220%, 02/24/07 10,000 9,997
5.260%, 03/08/07 50,000 50,001
5.250%, 03/27/07 10,000 10,000
FFCB, Ser 1 (A)
5.170%, 02/19/07 30,000 29,990
5.240%, 04/27/07 30,000 29,999
FHLB
5.230%, 02/14/07 (A) 10,000 9,998
5.220%, 03/08/07 (A) 40,000 39,983
4.000%, 04/25/07 8,000 7,978
FHLB, Ser 1
5.200%, 04/04/07 (A) 30,000 29,985
5.350%, 12/28/07 13,000 13,000
FHLB, Ser 459
2.450%, 03/23/07 5,500 5,479
FHLB, Ser 636 (A)
5.234%, 02/10/07 25,000 24,995
FHLMC
2.375%, 02/15/07 7,000 6,992
5.235%, 03/19/07 (A) 30,000 29,997
5.230%, 03/22/07 (A) 25,000 24,998
5.225%, 04/06/07 (A) 35,000 34,994
FHLMC MTN (A)
5.172%, 02/27/07 25,000 24,994
FNMA
3.100%, 03/14/07 10,000 9,976
5.225%, 03/21/07 (A) 25,000 24,996
5.410%, 12/28/07 8,000 8,000
--------------
Total U.S. Government Agency Obligations
(Cost $497,735) ($ Thousands) 497,735
--------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (B) -- 36.3%
Deutsche Bank
5.260%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $109,181,950
(collateralized by various
FHLB/FHLMC/FNMA obligations,
ranging in par value $5,505,000-
$50,000,000, 3.750%-5.920%,
11/21/07-01/15/37, with total
market value $111,350,549) $ 109,166 $ 109,166
Goldman Sachs
5.260%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $175,025,569
(collateralized by various
FHLB/FHLMC/FNMA obligations,
ranging in par value $5,395,000-
$17,235,000, 3.650%-6.125%,
03/10/08-10/27/25, with total
market value $178,501,308) 175,000 175,000
--------------
Total Repurchase Agreements
(Cost $284,166) ($ Thousands) 284,166
--------------
Total Investments -- 99.9%
(Cost $781,901) ($ Thousands) $ 781,901
==============
Percentages are based on Net Assets of $782,861 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of
Investments is the rate in effect on January 31, 2007. 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.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 9
SCHEDULE OF INVESTMENTS
Government II Fund
January 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[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.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 100.0%
FFCB (B)
5.205%, 02/01/07 $ 10,000 $ 10,000
5.185%, 02/13/07 10,000 9,998
5.210%, 02/13/07 to 04/20/07 53,000 52,988
5.180%, 02/18/07 to 02/28/07 23,050 23,044
5.220%, 02/24/07 40,000 39,986
5.190%, 02/28/07 25,000 24,997
5.230%, 03/10/07 30,000 29,993
5.250%, 03/21/07 to 03/27/07 35,000 35,000
FFCB DN (A)
5.130%, 02/05/07 15,000 14,991
FFCB, Ser 1 (B)
5.220%, 02/01/07 11,530 11,530
5.170%, 02/19/07 5,000 4,998
5.240%, 04/25/07 30,000 29,999
FHLB
5.230%, 02/14/07 (B) 10,000 9,998
4.360%, 02/22/07 (B) 6,005 6,002
5.220%, 03/08/07 (B) 20,000 19,992
3.140%, 03/14/07 25,000 24,942
5.200%, 04/10/07 (B) 25,000 24,991
5.200%, 04/17/07 (B) 25,000 24,993
4.000%, 04/25/07 8,000 7,978
3.250%, 04/27/07 2,000 1,991
5.125%, 05/15/07 4,175 4,172
2.650%, 07/12/07 100 99
FHLB DN (A)
4.670%, 02/01/07 37,599 37,599
5.180%, 02/21/07 60,000 59,827
5.140%, 03/07/07 49,080 48,842
5.197%, 04/18/07 28,000 27,697
FHLB, Ser 1
5.350%, 12/28/07 12,000 12,000
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLB, Ser 1 (B)
5.165%, 02/14/07 $ 25,000 $ 24,989
5.200%, 04/24/07 50,000 49,973
FHLB, Ser 447
2.625%, 02/16/07 500 499
FHLB, Ser 469
3.375%, 09/14/07 815 806
FHLB, Ser 585 (B)
5.220%, 04/04/07 10,000 9,999
FHLB, Ser 590
4.500%, 04/17/07 12,250 12,224
FHLB, Ser 613 (B)
5.185%, 02/02/07 75,000 74,991
FHLB, Ser 636 (B)
5.234%, 02/10/07 25,000 24,995
FHLB, Ser L907
3.010%, 02/27/07 3,000 2,995
TVA DN (A)
5.152%, 03/01/07 25,000 24,900
--------------
Total U.S. Government Agency Obligations
(Cost $825,018) ($ Thousands) 825,018
--------------
Total Investments -- 100.0%
(Cost $825,018) ($ Thousands) $ 825,018
==============
Percentages are based on Net Assets of $825,238 ($ Thousands).
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Schedule of
Investments is the rate in effect on January 31, 2007. 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
TVA -- Tennessee Valley Authority
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
10 SEI Daily Income Trust / Annual Report / January 31, 2007
Prime Obligation Fund
January 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
38.3% Commercial Paper
27.5% Corporate Bonds
16.2% Certificates of Deposit
11.6% Repurchase Agreement
5.2% Insurance Funding Agreements
0.9% Time Deposit
0.3% Municipal Bond
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (A) -- 38.4%
ASSET BACKED - FINANCIAL SERVICES -- 38.4%
Carrera Capital Finance LLC
5.329%, 04/20/07 $ 37,500 $ 37,073
Citibank Credit Card Issue Trust
5.347%, 02/14/07 100,000 99,810
5.320%, 04/13/07 110,000 108,860
Citius I Funding LLC
5.298%, 02/21/07 157,900 157,437
Crown Point Capital
5.296%, 02/20/07 136,735 136,355
Curzon Funding LLC
5.320%, 04/24/07 148,000 146,230
FCAR Owner Trust I
5.339%, 07/09/07 15,000 14,658
5.350%, 07/24/07 150,000 146,244
FCAR Owner Trust II
5.359%, 07/23/07 20,500 19,989
Georgetown Funding
5.317%, 02/20/07 54,852 54,699
Giro Balanced Funding
5.291%, 02/13/07 75,000 74,868
5.280%, 02/20/07 47,447 47,315
5.318%, 04/16/07 91,853 90,862
Grampian Funding LLC
5.344%, 07/24/07 75,000 73,124
Greyhawk Funding LLC
5.320%, 04/24/07 104,740 103,487
Klio II Funding
5.306%, 03/01/07 60,000 59,754
5.316%, 04/17/07 60,000 59,344
Klio III Funding
5.299%, 02/20/07 35,517 35,418
Lexington Parker Capital
5.293%, 02/16/07 100,000 99,780
Ormond Quay Funding LLC (B)
5.280%, 02/28/07 50,000 49,991
Silver Tower US Funding
5.356%, 02/02/07 100,000 99,985
5.342%, 02/06/07 50,000 49,963
Victory Receivables
5.298%, 03/13/07 150,000 149,123
--------------
Total Commercial Paper
(Cost $1,914,369) ($ Thousands) 1,914,369
--------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CORPORATE BONDS -- 27.6%
ASSET BACKED - FINANCIAL SERVICES (B) (E) -- 8.1%
Atlas Capital Funding MTN
5.310%, 02/15/07 to 02/27/07 $ 165,000 $ 165,000
CC USA MTN
5.335%, 02/25/07 75,000 74,997
K2 (USA) LLC MTN
5.320%, 04/24/07 23,000 22,996
5.360%, 04/25/07 100,000 100,005
Stanfield Victoria Funding LLC MTN
5.325%, 03/27/07 40,000 39,995
--------------
402,993
--------------
ASSET BACKED - OTHER (B) (E) -- 17.8%
Cheyne Finance MTN
5.325%, 04/25/07 50,000 49,996
5.315%, 04/25/07 125,000 124,970
Cullinan Finance MTN
5.333%, 02/15/07 100,000 99,995
5.320%, 03/03/07 50,000 49,992
Cullinan Finance MTN, Ser 1
5.330%, 02/25/07 50,000 49,998
Harrier Finance Funding LLC MTN,
Ser 2
5.333%, 02/15/07 50,000 50,000
Sedna Finance MTN
5.325%, 03/08/07 to 03/29/07 125,000 125,000
Sedna Finance MTN, Ser 1
5.300%, 02/21/07 100,000 100,000
Sigma Finance MTN
5.370%, 02/21/07 5,000 5,001
Sigma Finance MTN, Ser 1
5.320%, 03/16/07 135,000 134,998
Tango Finance MTN
5.370%, 02/16/07 15,000 15,003
5.320%, 02/20/07 5,000 5,000
Whistlejacket Capital MTN
5.320%, 02/21/07 to 02/28/07 77,750 77,744
--------------
887,697
--------------
BANKS -- 1.3%
National City Bank (B)
5.315%, 03/18/07 65,500 65,494
--------------
INVESTMENT BANKER/BROKER DEALER -- 0.4%
Goldman Sachs Group (B) (C)
5.380%, 02/13/07 20,000 20,000
--------------
Total Corporate Bonds
(Cost $1,376,184) ($ Thousands) 1,376,184
--------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 11
SCHEDULE OF INVESTMENTS
Prime Obligation Fund (Concluded)
January 31, 2007
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- 16.2%
Capital One Multi-Asset
5.318%, 02/06/07 $ 50,000 $ 49,963
5.331%, 04/18/07 95,500 94,439
Concord Minutemen Capital
5.324%, 02/02/07 20,889 20,886
5.314%, 02/08/07 75,000 74,923
5.325%, 02/12/07 25,000 25,000
KKR Pacific Funding Trust
5.314%, 02/08/07 to 02/26/07 205,000 204,380
Monument Gardens Funding LLC
5.304%, 02/22/07 150,000 149,538
5.330%, 03/13/07 54,494 54,174
Thornburg Mortgage Capital
5.313%, 02/06/07 26,000 25,981
Versailles CDS LLC
5.317%, 03/02/07 112,000 111,523
--------------
Total Certificates of Deposit
(Cost $810,807) ($ Thousands) 810,807
--------------
INSURANCE FUNDING AGREEMENTS (B) (C) (F) -- 5.2%
Metropolitan Life Insurance
5.440%, 11/13/07 160,000 160,000
Monumental Life Insurance
5.520%, 02/29/08 101,500 101,500
--------------
Total Insurance Funding Agreements
(Cost $261,500) ($ Thousands) 261,500
--------------
TIME DEPOSIT -- 0.9%
Thornburg Mortgage Capital
5.349%, 02/06/07 44,000 43,968
--------------
Total Time Deposit
(Cost $43,968) ($ Thousands) 43,968
--------------
MUNICIPAL BOND (B) -- 0.3%
Texas State, Veterans Funding I Project,
Ser C, GO
5.300%, 02/07/07 13,700 13,700
--------------
Total Municipal Bond
(Cost $13,700) ($ Thousands) 13,700
--------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (D) -- 11.6%
Deutsche Bank
5.260%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $581,395,936
(collateralized by various
FHLB/FHLMC/FNMA obligations,
ranging in par value $15,925,000-
$76,650,000, 3.250%-6.625%,
03/07/07-10/18/16, with total
market value $592,938,172) $ 581,311 $ 581,311
--------------
Total Repurchase Agreement
(Cost $581,311) ($ Thousands) 581,311
--------------
Total Investments -- 100.2%
(Cost $5,001,839) ($ Thousands) $ 5,001,839
==============
Percentages are based on Net Assets of $4,992,384 ($ Thousands).
(A) The rate reported is the effective yield at time of purchase.
(B) Floating Rate Instrument. The rate reflected on the Schedule of
Investments is the rate in effect on January 31, 2007. The date shown is
the earlier of the reset date or the demand date.
(C) Securities considered illiquid. The total value of such securities as of
January 31, 2007 was $281,500 ($ Thousands) and represented 5.64% of Net
Assets.
(D) Tri-Party Repurchase Agreement.
(E) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be
liquid under guidelines established by the Board of Trustees.
(F) This security considered restricted. The total value of such securities as
of January 31, 2007 was $261,500 ($ Thousands) and represented 5.24% of
Net Assets (See Note 2 in Notes to Financial Statements).
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
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
12 SEI Daily Income Trust / Annual Report / January 31, 2007
Treasury Fund
January 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
100.0% Repurchase Agreements
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (A) -- 100.3%
ABN Amro
5.210%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $100,014,472
(collateralized by various
U.S. Treasury Notes, ranging in
par value $29,668,000-
$75,000,000, 2.000%-4.000%,
04/15/10-01/15/26, with total
market value $102,000,199) $ 100,000 $ 100,000
Barclays Capital
5.210%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $175,025,326
(collateralized by various
U.S. Treasury Notes, ranging in
par value $81,606,000-
$98,825,000, 2.625%-4.250%,
11/30/07-05/15/08, with total
market value $178,500,238) 175,000 175,000
BNP Paribas
5.210%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $175,025,278
(collateralized by various
U.S. Treasury Obligations, ranging
in par value $500-$434,642,000,
3.500%-6.875%, 02/15/07-
11/15/27, with total market
value $178,500,880) 175,000 175,000
Deutsche Bank
5.220%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $210,030,450
(collateralized by various
U.S. Treasury Obligations, ranging
in par value $1,379,780-
$275,392,000, 4.875%-8.125%,
05/15/07-08/15/26, with total
market value $214,200,000) 210,000 210,000
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Goldman Sachs Group
4.900%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $12,548,708
(collateralized by a U.S.
Treasury Bill, par value
$12,862,000, 5.516%,
03/08/07, with total market
value $12,798,719) $ 12,547 $ 12,547
JPMorgan Chase
5.200%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $175,025,278
(collateralized by various
U.S. Treasury Obligations, ranging
in par value $15,475,000-
$73,345,000, 4.000%-7.625%,
02/15/14-05/15/30, with total
market value $178,505,760) 175,000 175,000
--------------
Total Repurchase Agreements
(Cost $847,547) ($ Thousands) 847,547
--------------
Total Investments -- 100.3%
(Cost $847,547) ($ Thousands) $ 847,547
==============
Percentages are based on Net Assets of $844,617 ($ Thousands).
(A) Tri-Party Repurchase Agreement.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 13
SCHEDULE OF INVESTMENTS
Treasury II Fund
January 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[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 -- 100.0%
U.S. Treasury Bills (A)
4.839%, 02/01/07 $ 4,580 $ 4,580
4.821%, 02/08/07 101,645 101,554
4.799%, 02/15/07 32,898 32,837
4.869%, 03/15/07 10,000 9,944
4.928%, 03/29/07 25,000 24,811
5.070%, 07/19/07 20,000 19,538
U.S. Treasury Notes
2.250%, 02/15/07 31,000 30,968
3.375%, 02/28/07 30,000 29,963
--------------
Total U.S. Treasury Obligations
(Cost $254,195) ($ Thousands) 254,195
--------------
Total Investments -- 100.0%
(Cost $254,195) ($ Thousands) $ 254,195
==============
Percentages are based on Net Assets of $254,227 ($ Thousands).
(A) The rate reported is the effective yield at time of purchase.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
14 SEI Daily Income Trust / Annual Report / January 31, 2007
Short-Duration Government Fund
January 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
59.9% U.S. Government Agency Mortgage-Backed Obligations
32.1% U.S. Government Agency Obligations
7.9% Repurchase Agreement
0.1% U.S. Treasury Obligations
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 64.6%
FHLMC
7.220%, 02/01/07 (A) $ 337 $ 344
7.157%, 02/01/07 (A) 4,859 4,963
7.088%, 02/01/07 (A) 100 103
7.058%, 02/01/07 (A) 57 58
7.027%, 02/01/07 (A) 113 115
7.001%, 02/01/07 (A) 58 59
6.903%, 02/01/07 (A) 186 191
6.887%, 02/01/07 (A) 73 74
6.885%, 02/01/07 (A) 56 57
6.884%, 02/01/07 (A) 296 299
6.877%, 02/01/07 (A) 217 222
6.870%, 02/01/07 (A) 106 107
6.805%, 02/01/07 (A) 281 289
6.800%, 02/01/07 (A) 6 6
6.763%, 02/01/07 (A) 61 62
6.625%, 02/01/07 to 07/01/07 (A) 76 77
6.560%, 02/01/07 (A) 28 28
6.511%, 02/01/07 (A) 351 350
6.250%, 02/01/07 (A) 7 7
6.125%, 02/01/07 to 01/01/08 (A) 26 26
6.048%, 03/01/19 (A) 49 49
6.000%, 06/01/21 2,750 2,781
5.875%, 02/01/07 to 12/01/07 (A) 39 39
5.750%, 10/01/07 to 12/01/07 (A) 23 24
5.625%, 10/01/07 to 01/01/08 (A) 14 16
5.500%, 08/01/07 to 09/01/07 (A) 25 25
5.375%, 08/01/07 to 11/01/07 (A) 30 30
5.250%, 08/01/07 to 09/01/07 (A) 55 56
5.125%, 10/01/07 (A) 15 15
4.875%, 08/01/07 (A) 21 21
FHLMC REMIC, Ser 2481, Cl BC
5.250%, 08/15/30 -- --
FHLMC REMIC, Ser 2587, Cl ET
3.700%, 07/15/17 1,209 1,155
FHLMC REMIC, Ser 2617, Cl UN
4.500%, 08/15/12 1,410 1,400
FHLMC REMIC, Ser 2630, Cl KN
2.500%, 04/15/13 1,685 1,645
FHLMC REMIC, Ser 2684, Cl GN
3.250%, 05/15/23 1,060 1,044
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC REMIC, Ser 2691, Cl OK
3.500%, 05/15/17 $ 35 $ 35
FHLMC REMIC, Ser 2750, Cl OA
3.500%, 10/15/11 115 115
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 1,415 1,393
FHLMC REMIC, Ser 2760, Cl PK
4.500%, 10/15/21 1,768 1,754
FHLMC REMIC, Ser 2890, Cl PJ
4.500%, 09/15/24 3,209 3,169
FHLMC REMIC, Ser 2975, Cl VT (A)
5.000%, 02/01/07 2,987 2,967
FHLMC REMIC, Ser T-42, Cl A5
7.500%, 02/25/42 1,231 1,274
FNMA
7.241%, 02/01/07 (A) 1,633 1,665
7.226%, 02/01/07 (A) 847 855
7.099%, 02/01/07 (A) 1,679 1,714
7.000%, 08/01/36 324 332
6.775%, 10/01/07 528 528
6.610%, 04/01/09 154 156
6.490%, 08/01/08 534 537
6.645%, 02/01/07 (A) 2,130 2,136
6.229%, 12/01/08 1,389 1,397
6.210%, 08/01/08 1,239 1,243
6.150%, 09/01/08 3,102 3,112
6.130%, 10/01/08 142 142
6.085%, 10/01/08 359 360
6.059%, 02/01/07 (A) 432 434
6.010%, 06/01/09 335 336
5.735%, 01/01/09 1,327 1,329
5.500%, 02/01/19 4,000 3,983
5.016%, 02/01/13 92 91
4.621%, 04/01/13 194 188
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23 131 131
FNMA REMIC, Ser 1994-77, Cl FB (A)
6.843%, 02/25/07 27 28
FNMA REMIC, Ser 1995-13, Cl C
6.500%, 10/25/08 101 101
FNMA REMIC, Ser 1997-M5, Cl B
6.650%, 08/25/07 172 171
FNMA REMIC, Ser 2001-53, Cl CA
5.750%, 06/25/31 159 159
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17 2,000 2,001
FNMA REMIC, Ser 2002-53, Cl FK (A)
5.720%, 02/25/07 543 544
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/33 1,672 1,516
FNMA REMIC, Ser 2006-39, Cl PB
5.500%, 07/25/29 3,035 3,034
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 15
SCHEDULE OF INVESTMENTS
Short-Duration Government Fund (Concluded)
January 31, 2007
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA REMIC, Ser 2006-53, Cl PA
5.500%, 12/25/26 $ 4,000 $ 3,998
FNMA REMIC, Ser 2006-76, Cl QF (A)
5.720%, 02/25/07 4,766 4,794
FNMA REMIC, Ser G92-61, Cl FA (A)
5.993%, 02/25/07 285 289
FNMA REMIC, Ser G93-5, Cl Z
6.500%, 02/25/23 59 60
FNMA TBA
4.500%, 02/18/19 7,000 6,718
GNMA
7.500%, 01/15/11 to 02/15/11 36 37
6.500%, 06/15/16 to 09/15/17 2,226 2,280
6.000%, 06/15/16 to 09/15/19 1,242 1,259
GNMA REMIC, Ser 2004-41, Cl ED
3.750%, 10/20/26 478 471
GNMA REMIC, Ser 2006-38, Cl XS,
IO (A)
1.930%, 02/16/07 390 23
--------------
Total U.S. Government Agency Mortgage-Backed
Obligations (Cost $75,397) ($ Thousands) 74,596
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 34.6%
FHLB (C)
5.250%, 02/13/08 30,500 30,493
FHLMC
4.875%, 03/15/07 5 5
FNMA
5.000%, 03/15/16 9,517 9,424
--------------
Total U.S. Government Agency Obligations
(Cost $39,757) ($ Thousands) 39,922
--------------
U.S. TREASURY OBLIGATIONS -- 0.1%
U.S. Treasury Notes (C)
3.000%, 11/15/07 100 98
--------------
Total U.S. Treasury Obligations
(Cost $100) ($ Thousands) 98
--------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (B) -- 8.6%
UBS Securities LLC
5.270%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $9,901,449
(collateralized by various
U.S. Government obligations,
ranging in par value $1,309,839-
$11,440,000, 4.000%-11.500%,
06/01/07-10/01/36, with total
market value $10,099,298) $ 9,900 $ 9,900
--------------
Total Repurchase Agreement
(Cost $9,900) ($ Thousands) 9,900
--------------
Total Investments -- 107.9%
(Cost $125,154) ($ Thousands) $ 124,516
==============
Futures Contracts -- a summary of the open futures contracts held by the Fund at
January 31, 2007, is as follows (See Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. Long Treasury Bond (42) Mar-2007 $ 37
U.S. 5-Year Note (77) Mar-2007 37
U.S. 2-Year Note 181 Mar-2007 (38)
U.S. 10-Year Note (138) Mar-2007 106
----
$142
====
Percentages are based on Net Assets of $115,462 ($Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of
Investments is the rate in effect on January 31, 2007. 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 the 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
IO -- Interest Only
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 $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
16 SEI Daily Income Trust / Annual Report / January 31, 2007
Intermediate-Duration Government Fund
January 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
61.2% U.S. Government Agency Mortgage-Backed Obligations
22.0% U.S. Government Agency Obligations
13.3% U.S. Treasury Obligations
3.5% Repurchase Agreement
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS -- 63.4%
FHLMC
8.250%, 12/01/07 to 12/01/09 $ 13 $ 13
6.500%, 01/01/18 77 79
6.000%, 07/01/13 to 09/01/24 4,612 4,660
5.500%, 06/01/19 to 12/01/20 1,236 1,230
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 599 605
FHLMC REMIC, Ser 165, Cl K
6.500%, 09/15/21 27 27
FHLMC REMIC, Ser 2586, Cl NK
3.500%, 08/15/16 193 185
FHLMC REMIC, Ser 2587, Cl ET
3.700%, 07/15/17 698 667
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17 1,601 1,509
FHLMC REMIC, Ser 2635, Cl NJ
3.000%, 03/15/17 436 409
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 613 604
FNMA
9.500%, 05/01/18 66 71
8.000%, 05/01/08 to 06/01/08 13 13
7.056%, 08/01/07 147 147
6.800%, 10/01/07 4 4
6.620%, 01/01/08 190 190
6.460%, 06/01/09 544 552
5.931%, 02/01/12 675 690
5.625%, 12/01/11 1,775 1,800
5.044%, 08/01/15 676 666
4.826%, 04/01/13 6,526 6,380
3.790%, 07/01/13 1,096 1,014
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16 668 675
FNMA REMIC, Ser 2004-27, Cl HN
4.000%, 05/25/16 647 632
FNMA TBA
6.000%, 05/01/21 to 08/01/21 915 926
4.500%, 02/18/19 2,000 1,919
GNMA
8.750%, 07/20/17 12 13
8.500%, 11/20/16 to 08/20/17 103 109
8.250%, 04/15/08 to 07/15/08 21 21
6.000%, 04/15/09 to 09/15/24 1,048 1,059
GNMA TBA
7.500%, 11/15/25 to 09/15/36 993 1,033
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Small Business Administration,
Ser 2005-P10B, Cl 1
4.940%, 08/10/15 $ 1,691 $ 1,658
--------------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $30,155) ($ Thousands) 29,560
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 22.8%
FHLMC
6.000%, 06/15/11 5,725 5,923
FNMA
5.000%, 03/15/16 4,731 4,685
--------------
Total U.S. Government Agency Obligations
(Cost $10,419) ($ Thousands) 10,608
--------------
U.S. TREASURY OBLIGATIONS -- 13.8%
U.S. Treasury Bonds (A)
10.375%, 11/15/12 200 208
U.S. Treasury Notes
4.750%, 03/31/11 6,250 6,233
--------------
Total U.S. Treasury Obligations
(Cost $6,410) ($ Thousands) 6,441
--------------
REPURCHASE AGREEMENT (B) -- 3.6%
UBS Securities LLC
5.270%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $1,700,249
(collateralized by various
U.S. Government obligations,
ranging in par value $600,000-
$11,550,000, 4.000%-7.000%,
06/01/11-09/01/36, with total
market value $1,736,237) 1,700 1,700
--------------
Total Repurchase Agreement
(Cost $1,700) ($ Thousands) 1,700
--------------
Total Investments -- 103.6%
(Cost $48,684) ($ Thousands) $ 48,309
==============
Futures Contracts -- a summary of the open futures contracts held by the Fund at
January 31, 2007, is as follows (See Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. Long Treasury Bond (15) Mar-2007 $ 5
U.S. 5-Year Note 80 Mar-2007 (48)
U.S. 2-Year Note (48) Mar-2007 51
U.S. 10-Year Note (61) Mar-2007 102
----
$110
====
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 17
SCHEDULE OF INVESTMENTS
Intermediate-Duration Government Fund (Concluded)
January 31, 2007
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $46,635 ($ Thousands).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at the 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.
- --------------------------------------------------------------------------------
18 SEI Daily Income Trust / Annual Report / January 31, 2007
GNMA Fund
January 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
88.5% U.S. Government Agency Mortgage-Backed Obligations
11.5% Repurchase Agreement
* Percentages based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 99.1%
FHLMC
6.500%, 09/01/19 $ 814 $ 831
FNMA
8.000%, 09/01/14 to 09/01/28 310 330
7.000%, 08/01/29 to 09/01/32 628 645
6.500%, 09/01/32 372 380
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/20 66 68
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22 132 137
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17 1,500 1,526
GNMA
12.500%, 06/15/14 -- --
12.000%, 04/15/14 -- --
10.000%, 05/15/16 to 04/15/20 31 37
9.500%, 06/15/09 to 11/15/20 368 388
9.000%, 12/15/17 to 05/15/22 325 344
8.500%, 08/15/08 to 06/15/17 89 97
8.000%, 04/15/17 to 03/15/32 1,309 1,381
7.750%, 10/15/26 49 51
7.500%, 02/15/27 to 05/15/36 1,922 2,004
7.250%, 01/15/28 192 199
7.000%, 04/15/19 to 07/15/36 14,091 14,557
6.750%, 11/15/27 82 84
6.500%, 11/15/07 to 07/15/35 15,128 15,520
6.000%, 02/15/17 (A) 633 641
6.000%, 02/15/09 to 08/15/36 21,210 21,440
5.500%, 10/15/32 to 11/15/35 21,651 21,447
5.000%, 04/15/33 to 12/15/36 29,050 28,060
4.500%, 08/15/33 to 01/15/36 10,811 10,140
GNMA REMIC, Ser 2002-45, Cl QE
6.500%, 06/20/32 2,016 2,075
GNMA REMIC, Ser 2003-63, Cl UV
3.500%, 07/20/30 2,547 2,422
GNMA REMIC, Ser 2006-38, Cl XS, IO
1.930%, 09/16/35 5,198 302
GNMA TBA
6.500%, 02/19/34 7,000 7,160
6.000%, 02/15/35 810 818
5.500%, 02/15/34 9,400 9,303
--------------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $144,085) ($ Thousands) 142,387
--------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (B) -- 12.9%
UBS Securities LLC
5.270%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $18,502,708
(collateralized by various
U.S. Government obligations,
ranging in par value $7,695,000-
$11,700,000, 6.500%-9.500%,
12/01/08-11/01/36, with total
market value $18,871,656) $ 18,500 $ 18,500
--------------
Total Repurchase Agreement
(Cost $18,500) ($ Thousands) 18,500
--------------
Total Investments -- 112.0%
(Cost $162,585) ($ Thousands) $ 160,887
==============
Futures Contracts -- a summary of the open futures contracts held by the Fund at
January 31, 2007, is as follows (See Note 2 in Notes to Financial Statements):
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- --------------------------------------------------------------------------------
U.S. Long Treasury Bond 7 Mar-2007 $(25)
U.S. 5-Year Note (7) Mar-2007 4
U.S. 10-Year Note (57) Mar-2007 28
----
$ 7
====
Percentages are based on Net Assets of $143,711 ($ Thousands).
(A) Security, or portion thereof, has been pledged as collateral on open
futures contracts. The rate reported is the effective yield at the 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
IO -- Interest Only
LLC -- Limited Liability Company
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
TBA -- To Be Announced
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 19
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund
January 31, 2007
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)*:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
80.3% Asset-Backed Securities
10.7% Corporate Bonds
6.7% U.S. Government Agency Mortgage-Backed Obligations
1.7% Repurchase Agreement
0.4% Certificate of Deposit
0.2% Collateralized Loan Obligation
* Percentages are based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET BACKED SECURITIES -- 81.0%
AUTOMOTIVE -- 18.0%
Aesop Funding II LLC, Ser 2005-1A,
Cl A2 (A) (B)
5.380%, 02/25/07 $ 800 $ 800
Americredit Automobile Receivables
Trust, Ser 2004-CA, Cl A3
3.000%, 03/06/09 184 183
Americredit Automobile Receivables
Trust, Ser 2005-CF, Cl A3
4.470%, 05/06/10 678 675
Americredit Automobile Receivables
Trust, Ser 2007-AX, Cl A2 (A)
5.290%, 02/06/07 1,020 1,019
BMW Vehicle Owner Trust,
Ser 2004-A, Cl A4
3.320%, 02/25/09 260 258
BMW Vehicle Owner Trust,
Ser 2005-A, Cl A4
4.280%, 02/25/10 1,420 1,403
Capital Auto Receivables Asset
Trust, Ser 2005-1, Cl B (A)
5.695%, 02/15/07 440 442
Capital One Auto Finance Trust,
Ser 2003-A, Cl A4A
2.470%, 01/15/10 963 958
Capital One Auto Finance Trust,
Ser 2003-B, Cl A4
3.180%, 09/15/10 1,916 1,896
Carmax Auto Owner Trust,
Ser 2004-2, Cl A4
3.460%, 09/15/11 449 439
Carmax Auto Owner Trust,
Ser 2005-2, Cl A3 (A)
4.210%, 02/15/07 1,450 1,437
Carmax Auto Owner Trust,
Ser 2006-2, Cl A3
5.150%, 02/15/11 1,700 1,695
Chase Manhattan Auto Owner Trust,
Ser 2003-A, Cl A4
2.060%, 12/15/09 893 887
Chase Manhattan Auto Owner Trust,
Ser 2004-A, Cl A4
2.830%, 09/15/10 1,924 1,889
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Chase Manhattan Auto Owner Trust,
Ser 2006-A, Cl A3
5.340%, 07/15/10 $ 1,490 $ 1,490
DaimlerChrysler Auto Trust,
Ser 2005-B, Cl A3
4.040%, 09/08/09 482 479
DaimlerChrysler Auto Trust,
Ser 2006-C, Cl A2
5.250%, 05/08/09 1,750 1,749
Ford Credit Auto Owner Trust,
Ser 2006-B, Cl A2A
5.420%, 07/15/09 1,500 1,500
Harley-Davidson Motorcycle Trust,
Ser 2007-1, Cl A2
5.290%, 01/15/11 500 500
Honda Auto Receivables Owner
Trust, Ser 2005-3, Cl A3
3.870%, 04/20/09 768 762
Household Automotive Trust,
Ser 2005-1, Cl A3
4.150%, 02/17/10 1,215 1,207
Household Automotive Trust,
Ser 2005-2, Cl A3
4.370%, 05/17/10 3,051 3,027
Household Automotive Trust,
Ser 2005-3, Cl A3
4.800%, 10/18/10 1,070 1,064
Household Automotive Trust,
Ser 2007-1, Cl A2
5.320%, 05/17/10 600 599
Hyundai Auto Receivables Trust,
Ser 2005-A, Cl A3
3.980%, 11/16/09 659 652
Long Beach Auto Receivables Trust,
Ser 2006-B, Cl A3
5.170%, 08/15/11 1,150 1,147
M&I Auto Loan Trust, Ser 2005-1,
Cl A3
4.830%, 09/21/09 2,500 2,489
Merrill Auto Trust Securitization,
Ser 2005-1, Cl B (A)
5.560%, 02/25/07 392 392
Morgan Stanley Auto Loan Trust,
Ser 2004-HB1, Cl A4
3.330%, 10/15/11 519 513
Navistar Financial Corporate Owner
Trust, Ser 2003-A, Cl A4
2.240%, 11/15/09 986 978
Nissan Auto Lease Trust,
Ser 2005-A1, Cl A3
4.700%, 10/15/08 1,275 1,271
Nissan Auto Receivables Owner
Trust, Ser 2005-C, Cl A3 (A)
4.190%, 02/16/07 760 753
- --------------------------------------------------------------------------------
20 SEI Daily Income Trust / Annual Report / January 31, 2007
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Nissan Auto Receivables Owner
Trust, Ser 2006-A, Cl A2
4.800%, 06/16/08 $ 324 $ 323
Nissan Auto Receivables Owner
Trust, Ser 2006-A, Cl A3
4.740%, 09/15/09 665 660
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%, 05/17/10 711 708
USAA Auto Owner Trust,
Ser 2005-3, Cl A3
4.550%, 02/16/10 1,230 1,221
WFS Financial Owner Trust,
Ser 2003-3, Cl A4
3.250%, 05/20/11 1,888 1,871
WFS Financial Owner Trust,
Ser 2005-2, Cl B
4.570%, 11/19/12 1,234 1,219
Wachovia Auto Owner Trust,
Ser 2005-B, Cl A3
4.790%, 04/20/10 1,010 1,004
World Omni Auto Receivables
Trust, Ser 2004-A, Cl B (D)
3.620%, 07/12/11 473 465
--------------
43,056
--------------
CREDIT CARD -- 12.0%
Advanta Business Card Master Trust,
Ser 2005-A4, Cl A4
4.750%, 01/20/11 1,000 993
Advanta Business Card Master Trust,
Ser 2005-C1, Cl C1 (A)
5.830%, 02/20/07 1,500 1,507
Advanta Business Card Master Trust,
Ser 2006-A3, Cl A
5.300%, 05/21/12 1,250 1,252
Advanta Business Card Master Trust,
Ser 2006-B2, Cl B2 (A)
5.570%, 02/20/07 2,000 2,010
Bank of America Credit Card Trust,
Ser 2006-C7, Cl C7 (A)
5.550%, 02/15/07 1,000 1,001
Bank of America Credit Card Trust,
Ser 2007-C1, Cl C1 (A)
5.625%, 02/26/07 1,250 1,250
Cabela's Master Credit Card Trust,
Ser 2006-3A, Cl B (A) (B)
5.520%, 02/15/07 2,000 2,000
Capital One Multi-Asset Executive
Trust, Ser 2004-B4, Cl B4 (A)
5.620%, 02/15/07 1,550 1,551
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Capital One Multi-Asset Executive
Trust, Ser 2005-B2, Cl B2 (A)
5.470%, 02/15/07 $ 1,500 $ 1,502
Capital One Multi-Asset Executive
Trust, Ser 2007-C2, Cl C2 (A)
0.000%, 03/15/07 1,200 1,202
Chase Credit Card Master Trust,
Ser 2004-2, Cl A (A)
5.360%, 02/15/07 1,010 1,010
Discover Card Master Trust,
Ser 2004-2, Cl A1 (A)
5.340%, 02/18/07 1,250 1,250
Discover Card Master Trust,
Ser 2005-1, Cl B (A)
5.470%, 02/18/07 1,133 1,135
GE Capital Credit Card Master Trust,
Ser 2004-2, Cl B (A)
5.580%, 02/22/07 2,000 2,001
Household Credit Card Master Note
Trust, Ser 2006-B, Cl A
5.100%, 06/15/12 1,600 1,594
Metris Master Trust, Ser 2005-1A,
Cl B (A)
5.740%, 02/06/07 1,675 1,668
Metris Master Trust, Ser 2005-2,
Cl B (A)
5.600%, 02/20/07 1,000 1,000
Providian Gateway Master Trust,
Ser 2004-EA, Cl A (A) (B)
5.450%, 02/15/07 565 566
Providian Gateway Master Trust,
Ser 2004-FA, Cl A (B)
3.650%, 11/15/11 2,750 2,716
Washington Mutual Master Note
Trust, Ser 2006-C2A, Cl C2 (A) (B)
5.820%, 02/15/07 1,300 1,300
--------------
28,508
--------------
MISCELLANEOUS BUSINESS SERVICES -- 9.8%
ACAS Business Loan Trust,
Ser 2005-1A, Cl A1 (A) (B)
5.610%, 04/25/07 1,000 1,001
AICCO Premium Finance Master
Trust, Ser 2005-1, Cl A (A)
5.400%, 02/15/07 1,470 1,470
Arkle Master Issuer PLC,
Ser 2006-1A, Cl M (A) (B)
5.557%, 02/20/07 1,000 1,000
CIT Equipment Collateral,
Ser 2005-EF1, Cl A3
4.420%, 05/20/09 1,082 1,075
CNH Equipment Trust,
Ser 2004-A, Cl A3B
2.940%, 10/15/08 561 558
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 21
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund (Continued)
January 31, 2007
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CNH Equipment Trust,
Ser 2005-A, Cl A3
4.020%, 04/15/09 $ 670 $ 665
CNH Equipment Trust,
Ser 2006-B, Cl A3
5.200%, 06/15/10 1,255 1,253
CNH Wholesale Master Note Trust,
Ser 2006-1A, Cl B (A) (B)
5.600%, 02/15/07 245 245
Capital Source Commercial Loan
Trust, Ser 2003-2A, Cl D (A) (B)
7.820%, 02/22/07 125 125
Capital Source Commercial Loan
Trust, Ser 2004-1A, Cl A2 (A) (B)
5.650%, 02/20/07 109 109
Capital Source Commercial Loan
Trust, Ser 2005-1A, Cl B (A) (B)
5.600%, 02/20/07 440 440
Capital Source Commercial Loan
Trust, Ser 2006-1A, Cl C (A) (B)
5.870%, 02/20/07 660 660
Capital Source Commercial Loan
Trust, Ser 2006-2A, Cl A2A (A) (B)
5.530%, 02/20/07 1,460 1,460
Colts Trust, Ser 2005-1A,
Cl A1 (A) (B)
5.585%, 03/20/07 290 290
Colts Trust, Ser 2005-2A,
Cl A (A) (B)
5.645%, 03/20/07 1,950 1,954
GE Commercial Equipment Financing
LLC, Ser 2005-1, Cl A3A
3.980%, 03/20/09 974 967
GE Commercial Loan Trust,
Ser 2006-3, Cl C (A) (B)
5.910%, 04/19/07 962 962
GE Corporate Aircraft Financing,
Ser 2005-1A, Cl A1 (A) (B)
5.390%, 02/25/07 469 469
GE Equipment Small Ticket LLC,
Ser 2005-1A, Cl B (A) (B)
4.620%, 02/22/07 622 615
GE Equipment Small Ticket LLC,
Ser 2005-2A, Cl A4 (B)
5.010%, 06/22/15 2,226 2,209
Lambda Finance, Ser 2005-1A,
Cl B3 (A) (B)
5.744%, 03/08/07 840 840
Madison Park Funding, Ser 2007-1A,
Cl A1B (A) (B)
0.000%, 09/24/07 1,000 1,000
Marlin Leasing Receivables LLC,
Ser 2005-1A, Cl B (B)
5.090%, 08/15/12 121 119
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Marlin Leasing Receivables LLC,
Ser 2006-1A, Cl A2 (B)
5.430%, 11/17/08 $ 1,200 $ 1,198
Merritt Funding Trust, Ser 2005-2,
Cl B (A) (B)
6.060%, 03/28/07 805 806
PFS Financing, Ser 2006-B,
Cl A (A) (B)
5.450%, 03/15/07 965 967
Prima, Ser 2006-1, Cl A1 (B)
5.650%, 12/25/40 996 992
--------------
23,449
--------------
MORTGAGE RELATED -- 41.2%
Ace Securities, Ser 2006-CW1,
Cl A2C (A)
5.460%, 02/25/07 895 896
Adjustable Rate Mortgage Trust,
Ser 2005-12, Cl 2A1 (A)
5.710%, 03/25/36 3,005 3,005
Advanta Mortgage Trust Loan,
Ser 1999-4, Cl A (A)
5.695%, 02/27/07 139 139
Asset Backed Funding Certificates,
Ser 2006-OPT2, Cl A3B (A)
5.430%, 02/25/07 1,900 1,900
Asset Securitization, Ser 1996-MD6,
Cl A6 (A)
7.673%, 02/11/07 860 873
Bank of America Funding,
Ser 2005-F, Cl 4A1 (A)
5.379%, 02/01/07 968 961
Bank of America Funding,
Ser 2006-D, Cl 3A1 (A)
5.585%, 02/01/07 1,270 1,267
Bank of America Large Loan,
Ser 2004-BBA4, Cl A2 (A) (B)
5.480%, 02/15/07 362 362
Bank of America Mortgage Securities,
Cl 2005-F, Ser 2A2 (A)
5.018%, 02/01/07 2,974 2,937
Bank of America Mortgage Securities,
Ser 2005-A, Cl 2A2 (A)
4.460%, 02/01/07 1,904 1,867
Bank of America Mortgage Securities,
Ser 2005-H, Cl 2A1 (A)
4.817%, 02/28/07 915 900
Bank of America Mortgage Securities,
Ser 2005-J, Cl 2A1 (A)
5.096%, 02/01/07 334 330
Bear Stearns Asset Backed Securities,
Ser 2005-HE11, Cl A2 (A)
5.570%, 02/25/07 275 276
- --------------------------------------------------------------------------------
22 SEI Daily Income Trust / Annual Report / January 31, 2007
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Bear Stearns Asset Backed Securities,
Ser 2006-HE1, Cl 1A1 (A)
5.410%, 02/25/07 $ 1,024 $ 1,024
Bear Stearns Commercial Mortgage,
Ser 1998-C1, Cl A1
6.340%, 06/16/30 177 177
Bear Stearns Commercial Mortgage,
Ser 2005-12, Cl 11A1 (A)
5.408%, 02/01/07 760 762
C-Bass, Ser 16A, Cl A (A) (B)
5.603%, 03/06/07 1,485 1,482
Citigroup Commercial Mortgage Trust,
Ser 2006-FL2, Cl D (A) (B)
5.540%, 02/15/07 510 510
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A (A)
3.933%, 02/01/07 1,231 1,236
Citigroup Mortgage Loan Trust,
Ser 2005-10, Cl 1A21 (A)
5.750%, 02/01/07 753 754
Citigroup Mortgage Loan Trust,
Ser 2006-AR2, Cl 1A1 (A)
5.635%, 02/01/07 1,336 1,333
Citigroup Mortgage Loan Trust,
Ser 2006-WFH3, Cl M1 (A)
5.610%, 02/27/07 1,325 1,326
Countrywide Asset-Backed Certificates,
Ser 2006-2, Cl 2A2 (A)
5.510%, 02/25/07 772 773
Countrywide Home Loans,
Ser 2004-29, Cl 1A1 (A)
5.590%, 02/25/07 226 227
Countrywide Home Loans,
Ser 2005-7, Cl 1A1 (A)
5.590%, 02/25/07 365 365
Countrywide Home Loans,
Ser 2005-HY10, Cl 3A1A (A)
5.407%, 02/01/07 1,185 1,182
Crusade Global Trust, Ser 2003-1,
Cl A (A)
5.560%, 04/17/07 710 711
First Franklin Mortgage Loan,
Ser 2007-FF1, Cl M2 (A)
5.580%, 02/25/07 1,250 1,250
First Horizon Mortgage Pass-Through
Trust, Ser 2005-2, Cl 1A1
5.500%, 05/25/35 2,124 2,120
First Union-Lehman Brothers,
Ser 1997-C1, Cl D
7.500%, 04/18/29 1,000 1,001
GE Commercial Loan Trust,
Ser 2006-2, Cl C (A) (B)
5.920%, 04/19/07 602 602
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GMAC Mortgage Loan,
Ser 2005-AR6, Cl 2A1 (A)
5.230%, 02/01/07 $ 1,321 $ 1,315
GMAC Mortgage Loan,
Ser 2005-HE3, Cl A1 (A)
5.430%, 02/25/07 1,000 1,000
GMAC Mortgage Loan,
Ser 2006-HE4, Cl A2 (A)
5.460%, 02/25/07 2,000 2,000
GSR Mortgage Loan Trust,
Ser 2005-AR4, Cl 2A1 (A)
5.059%, 07/25/35 2,387 2,390
GSR Mortgage Loan Trust,
Ser 2006-AR1, Cl 2A1 (A)
5.198%, 01/25/36 2,673 2,655
Granite Master Issuer PLC,
Ser 2006-1A, Cl A5 (A) (B)
5.445%, 04/25/07 1,215 1,215
Granite Master Issuer PLC,
Ser 2006-3, Cl M1 (A)
5.540%, 04/22/07 715 715
Granite Master Issuer PLC,
Ser 2007-1, Cl 1C1 (A)
5.660%, 03/20/07 410 410
Granite Mortgages PLC,
Ser 2002-2, Cl 1A2 (A)
5.540%, 04/21/07 835 835
Impac CMB Trust,
Ser 2003-12, Cl A1 (A)
6.080%, 02/25/07 408 408
Impac CMB Trust,
Ser 2004-9, Cl 1A1 (A)
5.700%, 02/25/07 686 687
Impac CMB Trust,
Ser 2005-2, Cl 1A1 (A)
5.580%, 02/03/07 761 762
Impac CMB Trust,
Ser 2005-3, Cl A1 (A)
5.560%, 02/25/07 625 624
Impac CMB Trust,
Ser 2005-5, Cl A1 (A)
5.640%, 02/25/07 494 494
Impac CMB Trust,
Ser 2005-8, Cl 1A (A)
5.580%, 02/25/07 1,225 1,227
JP Morgan Mortgage Trust,
Cl 2005-A6, Cl 7A1 (A)
4.979%, 02/01/07 905 893
Katonah, Ser 7A, Cl B (A) (B)
5.794%, 02/15/07 1,200 1,200
Long Beach Mortgage Loan Trust,
Ser 2006-6, Cl 2A3 (A)
5.470%, 02/25/07 1,190 1,191
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 23
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund (Continued)
January 31, 2007
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MLCC Mortgage Investors,
Ser 2004-G, Cl A1 (A)
5.600%, 02/25/07 $ 288 $ 288
MLCC Mortgage Investors,
Ser 2004-HB1, Cl A1 (A)
5.680%, 02/25/07 343 343
MLCC Mortgage Investors,
Ser 2005-A, Cl A1 (A)
5.550%, 02/25/07 342 342
Master Adjustable Rate Mortgage
Trust, Ser 2004-12, Cl 5A1 (A)
4.478%, 02/01/07 564 561
Merrill Lynch Mortgage Investors,
Ser 2005-A3, Cl A1 (A)
5.590%, 02/25/07 718 712
Merrill Lynch Mortgage Investors,
Ser 2005-A8, Cl A3A1 (A)
5.430%, 02/25/07 1,328 1,328
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1A (A)
5.191%, 03/30/36 1,236 1,222
Merrill Lynch Mortgage Investors,
Ser 2006-A1, Cl 1A1 (A)
5.895%, 02/01/07 2,131 2,142
Morgan Stanley Dean Witter Capital I,
Ser 2006-WMC1, Cl A2B (A)
5.520%, 02/27/07 1,390 1,392
Morgan Stanley Home Equity Loan,
Ser 2005-4, Cl A2B (A)
5.540%, 02/27/07 2,000 2,004
MortgageIT Trust,
Ser 2005-2, Cl 1A1 (A)
5.580%, 02/25/07 466 466
MortgageIT Trust,
Ser 2005-3, Cl A1 (A)
5.620%, 02/25/07 1,389 1,393
MortgageIT Trust,
Ser 2005-4, Cl A1 (A)
5.600%, 02/25/07 1,775 1,776
MortgageIT Trust,
Ser 2005-5, Cl A1 (A)
5.580%, 02/25/07 1,657 1,658
New Century Home Equity Loan Trust,
Ser 2005-B, Cl A2A (A)
5.440%, 02/25/07 155 155
New Century Home Equity Loan Trust,
Ser 2005-C, Cl A2B (A)
5.490%, 02/25/07 700 700
Option One Mortgage Loan Trust,
Ser 2003-3, Cl A2 (A)
5.620%, 02/25/07 147 147
Option One Mortgage Loan Trust,
Ser 2005-5, Cl A3 (A)
5.530%, 02/25/07 1,795 1,796
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Option One Mortgage Loan Trust,
Ser 2006-1, Cl 2A2 (A)
5.450%, 02/25/07 $ 1,590 $ 1,591
Option One Mortgage Loan Trust,
Ser 2007-FXD1, Cl 3A3 (A)
5.611%, 02/25/37 305 305
Paragon Mortgages PLC,
Ser 12A, Cl A2C (A) (B)
5.484%, 02/15/07 495 495
Permanent Financing PLC,
Ser 9A, Cl 1C (A) (B)
5.653%, 03/12/07 1,000 1,000
Permanent Master Issuer PLC,
Ser 2006-1, Cl 2C (A)
5.760%, 04/16/07 1,200 1,200
Puma Finance Limited,
Ser S1, Cl A (A) (B)
5.575%, 02/09/07 578 578
RMAC PLC, Ser 2003-NS4A,
Cl A2B (A) (B)
5.656%, 03/12/07 448 449
RMAC PLC, Ser 2005-NS4A,
Cl A1B (A) (B)
5.436%, 03/13/07 864 866
RMAC Securities PLC,
Ser 2006-NS2A, Cl A1B (A) (B)
5.416%, 03/12/07 622 622
Residential Asset Mortgage Products,
Ser 2005-RS6, Cl A11 (A)
5.420%, 02/25/07 35 35
Residential Asset Securities,
Ser 2005-KS7, Cl A1 (A)
5.420%, 02/25/07 43 43
Residential Asset Securities,
Ser 2006-EMX6, Cl A3 (A)
5.470%, 02/25/07 1,005 1,006
Residential Asset Securities,
Ser 2006-KS1, Cl A2 (A)
5.460%, 02/25/07 800 800
Residential Funding Mortgage
Securities, Ser 2005-SA5, Cl 2A (A)
5.353%, 11/25/35 895 889
Residential Mortgage Securities Trust,
Ser 20A, Cl A1B (A) (B)
5.444%, 02/10/07 307 307
Residential Mortgage Securities Trust,
Ser 22A, Cl A1B (A) (B)
5.444%, 02/14/07 716 716
Sequoia Mortgage Trust,
Ser 2004-12, Cl A1A (A)
5.590%, 02/20/07 229 229
Sequoia Mortgage Trust,
Ser 2005-1, Cl A1 (A)
5.550%, 02/20/07 226 226
- --------------------------------------------------------------------------------
24 SEI Daily Income Trust / Annual Report / January 31, 2007
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Terra, Ser 1, Cl A1 (A) (B)
5.450%, 02/15/07 $ 1,379 $ 1,379
Wadsworth CDO, Ser 2006-1A,
Cl B (A) (B)
5.876%, 02/05/07 315 314
Washington Mutual, Ser 2003-AR3,
Cl A5 (A)
3.930%, 02/01/07 1,942 1,915
Washington Mutual, Ser 2005-AR3,
Cl A2 (A)
4.641%, 02/23/07 994 977
Washington Mutual, Ser 2006-AR2,
Cl 1A1 (A)
5.329%, 02/01/07 1,868 1,859
Wells Fargo Mortgage Backed
Securities, Ser 2003-J,
Cl 2A4 (A)
4.450%, 02/01/07 920 902
Wells Fargo Mortgage Backed
Securities, Ser 2004-BB,
Cl A2 (A)
4.556%, 02/01/07 901 884
Wells Fargo Mortgage Backed
Securities, Ser 2005-AR16,
Cl 3A2 (A)
4.996%, 02/01/07 1,807 1,792
Wells Fargo Mortgage Backed
Securities, Ser 2005-AR4,
Cl 2A2 (A)
4.525%, 02/01/07 1,020 1,001
Wells Fargo Mortgage Backed
Securities, Ser 2006-AR5,
Cl 2A1 (A)
5.540%, 02/01/07 1,575 1,569
Wells Fargo Mortgage Backed
Securities, Ser 2006-AR6,
Cl 2A1 (A)
5.240%, 02/01/07 1,791 1,775
Westpac Securitisation Trust,
Ser 2005-1G, Cl A1 (A)
5.459%, 03/23/07 491 491
William Street Funding, Ser 2006-1,
Cl A (A) (B)
5.604%, 04/23/07 1,260 1,260
--------------
98,469
--------------
Total Asset Backed Securities
(Cost $193,660) ($ Thousands) 193,482
--------------
CORPORATE BONDS -- 10.8%
AUTO FINANCE -- 1.4%
DaimlerChrysler MTN, Ser E (A)
5.901%, 02/01/07 2,000 2,009
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Ford Motor Credit MTN (A)
6.193%, 03/28/07 $ 1,250 $ 1,250
--------------
3,259
--------------
BANKS -- 2.0%
Comerica Bank (A)
5.401%, 03/13/07 1,800 1,801
5.395%, 02/20/07 1,200 1,201
Wachovia (A)
5.480%, 03/15/07 1,750 1,752
--------------
4,754
--------------
CONSUMER PRODUCTS -- 0.8%
Whirlpool (A)
5.890%, 03/15/07 2,000 2,005
--------------
FINANCIAL SERVICES -- 1.3%
FPL Group Capital
5.551%, 02/16/08 1,755 1,756
General Electric Capital (A)
5.450%, 04/28/07 1,250 1,251
--------------
3,007
--------------
FOOD, BEVERAGE & TOBACCO -- 1.3%
General Mills (A)
5.500%, 04/23/07 1,500 1,500
Sabmiller PLC (A) (B)
5.660%, 04/01/07 1,705 1,707
--------------
3,207
--------------
INSURANCE -- 2.1%
Marsh & Mclennan (A)
5.500%, 04/13/07 1,420 1,420
Monumental Global Funding (A) (B)
5.560%, 04/16/07 1,900 1,901
Principal Life (A)
5.534%, 02/15/07 750 752
Travelers Property Casualty
3.750%, 03/15/08 1,000 976
--------------
5,049
--------------
INVESTMENT BANKER/BROKER DEALER -- 1.7%
Citigroup (A)
5.393%, 03/28/07 1,610 1,610
Credit Suisse First Boston USA (A)
5.480%, 03/02/07 1,500 1,502
Morgan Stanley MTN (A)
5.660%, 04/04/07 1,000 1,001
--------------
4,113
--------------
PETROLEUM & FUEL PRODUCTS -- 0.2%
Keyspan
4.900%, 05/16/08 360 357
--------------
Total Corporate Bonds
(Cost $25,751) ($ Thousands) 25,751
--------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 25
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund (Concluded)
January 31, 2007
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.7%
FHLMC
7.000%, 03/01/07 $ 4 $ 5
6.929%, 02/01/07 (A) 1,717 1,723
6.892%, 02/01/07 (A) 1,102 1,101
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 389 393
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17 1,705 1,608
FHLMC REMIC, Ser 2691, Cl OK
3.500%, 05/15/17 35 35
FHLMC REMIC, Ser 2727, Cl PA
4.125%, 08/15/18 180 180
FHLMC REMIC, Ser 2750, Cl OA
3.500%, 10/15/11 59 59
FNMA
7.241%, 02/01/07 (A) 816 833
7.143%, 02/01/07 (A) 281 282
7.141%, 02/01/07 (A) 764 768
6.994%, 02/01/07 (A) 179 182
6.895%, 02/01/07 (A) 85 86
6.645%, 02/01/07 (A) 1,331 1,335
6.413%, 02/01/07 (A) 230 231
6.340%, 02/01/08 1,283 1,283
FNMA REMIC, Ser 1993-220, Cl FA (A)
5.943%, 02/25/07 213 215
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23 290 290
FNMA REMIC, Ser 2001-33, Cl FA (A)
5.770%, 02/25/07 389 393
FNMA REMIC, Ser 2002-63, Cl QF (A)
5.620%, 02/25/07 269 270
FNMA REMIC, Ser 2002-64, Cl FG (A)
5.570%, 02/18/07 309 311
FNMA REMIC, Ser 2002-78, Cl AU
5.000%, 06/25/30 1,008 998
FNMA REMIC, Ser 2006-39, Cl PB
5.500%, 07/25/29 3,238 3,236
SLMA (A)
5.470%, 03/15/07 238 238
--------------
Total U.S. Government Agency Mortgage-Backed Obligations
(Cost $16,273) ($ Thousands) 16,055
--------------
CERTIFICATE OF DEPOSIT -- 0.4%
Wells Fargo Bank
5.090%, 03/29/07 1,000 1,000
--------------
Total Certificate of Deposit
(Cost $1,000) ($ Thousands) 1,000
--------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COLLATERALIZED LOAN OBLIGATION -- 0.2%
Franklin, Ser 4A, Cl A (A) (B)
5.915%, 03/22/07 $ 500 $ 501
--------------
Total Collateralized Loan Obligation
(Cost $503) ($ Thousands) 501
--------------
REPURCHASE AGREEMENT (C) -- 1.8%
UBS Securities LLC
5.270%, dated 01/31/07, to be
repurchased on 02/01/07,
repurchase price $4,200,615
(collateralized by various
U.S. Government obligations,
ranging in par value $240,000-
$4,013,283, 6.000%-6.500%,
02/01/36-11/01/36, with total
market value $4,286,458) 4,200 4,200
--------------
Total Repurchase Agreement
(Cost $4,200) ($ Thousands) 4,200
--------------
Total Investments -- 100.9%
(Cost $241,387) ($ Thousands) $ 240,989
==============
Percentages are based on Net Assets of $238,820 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of
Investments is the rate in effect on January 31, 2007. The date shown is
the earlier of the reset date or the demand date.
(B) Securities sold within terms of a private placement memorandum, exempt
from registration under Section 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." These securities have been determined to be liquid
under guidelines established by the Board of Trustees.
(C) Tri-Party Repurchase Agreement.
(D) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on January 31, 2007. 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
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 / Annual Report / January 31, 2007
This page intentionally left blank.
Statements of Assets and Liabilities ($ Thousands)
January 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ 933,392 $497,735 $825,018 $4,420,528
Repurchase agreements+ 169,975 284,166 -- 581,311
Cash 2 1 -- 4
Receivable for investment securities
sold -- -- -- --
Interest receivable 6,637 2,990 3,509 8,891
Receivable for fund shares sold 1 -- -- 31
Receivable for variation margin -- -- -- --
Receivable for administration fees -- -- -- --
Receivable for investment advisory
fees -- -- -- --
Receivable for shareholder servicing
fees -- -- -- --
Prepaid expenses 70 52 53 296
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 1,110,077 784,944 828,580 5,011,061
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Income distribution payable 3,142 1,852 3,238 17,332
Payable for fund shares redeemed 200 -- -- --
Payable for investment securities
purchased -- -- -- --
Payable for variation margin -- -- -- --
Shareholder servicing fees payable 216 111 40 595
Administration fees payable 47 66 9 391
Investment advisory fees payable 22 16 16 105
Trustees' fees payable 1 1 1 5
Accrued expense payable 51 37 38 249
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 3,679 2,083 3,342 18,677
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $1,106,398 $782,861 $825,238 $4,992,384
- ------------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase
agreements $1,103,367 $781,901 $825,018 $5,001,839
NET ASSETS:
Paid-in-Capital -- (unlimited
authorization -- no par value) $1,106,417 $782,939 $825,268 $4,992,561
Undistributed net investment income
(Distributions in excess of net
investment income) 8 1 -- 19
Accumulated net realized loss on
investments and futures contracts (27) (79) (30) (196)
Net unrealized depreciation on
investments -- -- -- --
Net unrealized appreciation on futures
contracts -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets $1,106,398 $782,861 $825,238 $4,992,384
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $1.00 $1.00 $1.00 $1.00
($623,314,195 / ($507,735,038 / ($680,218,423 / ($3,382,050,905 /
623,335,266 shares) 507,771,995 shares) 680,311,684 shares) 3,382,267,685 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class B $1.00 $1.00 $1.00 $1.00
($148,052,762 / ($122,674,112 / ( $140,930,224 / ($715,878,964 /
148,043,100 shares) 122,692,632 shares) 140,966,720 shares) 715,879,749 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class C $1.00 $1.00 $1.00 $1.00
($243,943,605 / ($137,374,518 / ($4,089,337 / ($780,950,720 /
243,959,576 shares) 137,397,769 shares) 4,089,316 shares) 780,911,846 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class H N/A N/A N/A $1.00
($ 65,511,940 /
65,514,260 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class $1.00 $1.00 N/A $1.00
($91,087,407 / ($15,077,332 / ($47,991,063 /
91,086,636 shares) 15,081,455 shares) 47,988,348 shares)
- ------------------------------------------------------------------------------------------------------------------------------------
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 / Annual Report / January 31, 2007
SHORT-DURATION
TREASURY TREASURY II GOVERNMENT
FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $ -- $254,195 $114,616
Repurchase agreements+ 847,547 -- 9,900
Cash 1 1 2
Receivable for investment securities sold -- -- 13,516
Interest receivable 123 753 1,275
Receivable for fund shares sold -- -- 464
Receivable for variation margin -- -- --
Receivable for administration fees -- 7 3
Receivable for investment advisory fees -- -- 2
Receivable for shareholder servicing fees -- -- --
Prepaid expenses 53 12 15
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets 847,724 254,968 139,793
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Income distribution payable 2,851 701 152
Payable for fund shares redeemed -- -- 213
Payable for investment securities purchased -- -- 23,898
Payable for variation margin -- -- 54
Shareholder servicing fees payable 190 25 --
Administration fees payable 11 -- --
Investment advisory fees payable 16 4 --
Trustees' fees payable 1 -- --
Accrued expense payable 38 11 14
- -----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 3,107 741 24,331
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets $844,617 $254,227 $115,462
- -----------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements $847,547 $254,195 $125,154
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $844,710 $254,254 $123,532
Undistributed net investment income (Distributions in excess
of net investment income) -- -- (17)
Accumulated net realized loss on investments and futures
contracts (93) (27) (7,557)
Net unrealized depreciation on investments -- -- (638)
Net unrealized appreciation on futures contracts -- -- 142
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets $844,617 $254,227 $115,462
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $1.00 $1.00 $9.95
($287,594,474 / ($181,975,971 / ($115,461,870 /
287,627,132 shares) 182,138,739 shares) 11,599,397 shares)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class B $1.00 $1.00 N/A
($359,089,997 / ($51,983,876 /
359,129,943 shares) 51,984,145 shares)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class C $1.00 $1.00 N/A
($100,927,771 / ($20,267,334 /
100,940,967 shares) 20,278,539 shares)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class H N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class $1.00 N/A N/A
($97,004,353 /
97,011,601 shares)
- -----------------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE-
DURATION ULTRA
GOVERNMENT GNMA SHORT BOND
FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments at value+ $46,609 $142,387 $236,789
Repurchase agreements+ 1,700 18,500 4,200
Cash 90 112 1,115
Receivable for investment securities sold 8,774 6,903 73
Interest receivable 377 601 917
Receivable for fund shares sold -- 12 70
Receivable for variation margin 15 4 --
Receivable for administration fees 4 -- --
Receivable for investment advisory fees -- -- --
Receivable for shareholder servicing fees -- 55 --
Prepaid expenses 21 7 13
- -----------------------------------------------------------------------------------------------------------------------------------
Total Assets 57,590 168,581 243,177
- -----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Income distribution payable 108 400 120
Payable for fund shares redeemed 36 102 1,978
Payable for investment securities purchased 10,746 24,283 2,200
Payable for variation margin 35 18 --
Shareholder servicing fees payable -- -- --
Administration fees payable -- 39 21
Investment advisory fees payable 4 12 5
Trustees' fees payable -- -- --
Accrued expense payable 26 16 33
- -----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 10,955 24,870 4,357
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets $46,635 $143,711 $238,820
- -----------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase agreements $48,684 $162,585 $241,387
NET ASSETS:
Paid-in-Capital -- (unlimited authorization -- no par value) $50,595 $157,171 $244,071
Undistributed net investment income (Distributions in excess
of net investment income) (42) (21) (32)
Accumulated net realized loss on investments and futures
contracts (3,653) (11,748) (4,821)
Net unrealized depreciation on investments (375) (1,698) (398)
Net unrealized appreciation on futures contracts 110 7 --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets $46,635 $143,711 $238,820
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.13 $9.34 $9.97
($46,634,609 / ($143,710,581 / ($238,819,820 /
4,603,067 shares) 15,392,200 shares) 23,962,823 shares)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class B N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class C N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class H N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 29
Statements of Operations ($ Thousands)
For the year ended January 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $65,025 $39,402 $39,754 $250,219
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 4,173 1,863 1,493 9,212
Shareholder Servicing Fees - Class A Shares 1,931 1,186 1,455 8,085
Shareholder Servicing Fees - Sweep Class Shares 239 62 -- 113
Administrative & Shareholder Servicing Fees -
Class B Shares 458 370 590 2,028
Administrative & Shareholder Servicing Fees -
Class C Shares 1,213 762 26 4,160
Administrative & Shareholder Servicing Fees -
Class H Shares -- -- -- 221
Distribution Fees - Sweep Class Shares 479 125 -- 225
Investment Advisory Fees 293 180 182 1,123
Trustees' Fees 20 12 13 81
Registration Fees 89 57 57 325
Custodian/Wire Agent Fees 47 36 33 232
Pricing Fees 2 1 1 7
Other Expenses 126 84 83 489
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 9,070 4,738 3,933 26,301
- -----------------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- -- --
Administration Fees (2,474) (680) (290) (1,772)
Shareholder Servicing Fees - Class A Shares (1,931) (1,186) (1,455) (8,085)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Expenses 4,665 2,872 2,188 16,444
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 60,360 36,530 37,566 233,775
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM:
Investments (11) (11) (15) (92)
Futures Contracts -- -- -- --
Payment by Affiliate (1) -- -- -- --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON/FROM:
Investments -- -- -- --
Futures Contracts -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $60,349 $36,519 $37,551 $233,683
- -----------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are either $0 or have been rounded to $0.
(1) See Note 3 in the Notes to the Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
30 SEI Daily Income Trust / Annual Report / January 31, 2007
- -----------------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION INTERMEDIATE-DURATION ULTRA
TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA SHORT BOND
FUND FUND FUND FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $37,557 $11,595 $ 6,494 $ 3,398 $ 8,042 $16,558
- -----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 1,778 586 490 255 484 1,192
Shareholder Servicing Fees - Class A Shares 583 399 350 182 378 852
Shareholder Servicing Fees - Sweep Class
Shares 249 -- -- -- -- --
Administrative & Shareholder Servicing Fees
- Class B Shares 886 180 -- -- -- --
Administrative & Shareholder Servicing Fees
- Class C Shares 561 119 -- -- -- --
Administrative & Shareholder Servicing Fees
- Class H Shares -- -- -- -- -- --
Distribution Fees - Sweep Class Shares 498 -- -- -- -- --
Investment Advisory Fees 172 57 140 73 151 341
Trustees' Fees 15 5 3 2 3 7
Registration Fees 47 23 14 8 14 39
Custodian/Wire Agent Fees 33 8 3 2 9 16
Pricing Fees 1 -- 73 38 68 122
Other Expenses 78 15 17 5 17 27
- -----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 4,901 1,392 1,090 565 1,124 2,596
- -----------------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- (36) -- -- (150)
Administration Fees (640) (84) (74) (19) -- (401)
Shareholder Servicing Fees - Class A
Shares (583) (399) (350) (182) (217) (852)
- -----------------------------------------------------------------------------------------------------------------------------------
Net Expenses 3,678 909 630 364 907 1,193
- -----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 33,879 10,686 5,864 3,034 7,135 15,365
- -----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON/FROM:
Investments -- 1 (1,127) (1,624) (659) (1,432)
Futures Contracts -- -- (671) (336) (45) --
Payment by Affiliate (1) -- 100 -- -- -- --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON/FROM:
Investments -- -- 1,075 1,302 (1,344) 1,806
Futures Contracts -- -- 158 120 (6) --
- -----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $33,879 $10,787 $ 5,299 $ 2,496 $ 5,081 $15,739
- -----------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 31
Statements of Changes in Net Assets ($ Thousands)
For the years ended January 31,
- ---------------------------------------------------------------------------------------------------------------------------------
MONEY MARKET GOVERNMENT
FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 60,360 $ 27,013 $ 36,530 $ 19,694
Net Realized Gain (Loss) on Investments and Payment by Affiliate (11) (17) (11) --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 60,349 26,996 36,519 19,694
- ---------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (38,436) (16,207) (23,220) (11,793)
Class B (7,046) (3,339) (5,642) (4,120)
Class C (10,860) (5,096) (6,652) (3,066)
Class H -- -- -- --
Sweep Class (4,014) (2,372) (1,015) (715)
- ---------------------------------------------------------------------------------------------------------------------------------
Total Dividends (60,356) (27,014) (36,529) (19,694)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 4,626,500 3,325,894 2,520,525 3,986,557
Reinvestment of Dividends & Distributions 26,248 8,412 12,365 5,484
Cost of Shares Redeemed (4,421,639) (3,466,934) (2,492,596) (3,894,032)
- ---------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 231,109 (132,628) 40,294 98,009
- ---------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 917,031 821,330 1,339,355 1,160,464
Reinvestment of Dividends & Distributions 1,382 446 1,537 1,104
Cost of Shares Redeemed (894,210) (805,575) (1,340,240) (1,196,288)
- ---------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions 24,203 16,201 652 (34,720)
- ---------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 1,084,772 1,088,472 653,701 469,963
Reinvestment of Dividends & Distributions 458 302 -- --
Cost of Shares Redeemed (1,073,354) (1,008,759) (645,740) (426,814)
- ---------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions 11,876 80,015 7,961 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 520,457 584,778 284,713 276,875
Reinvestment of Dividends & Distributions -- -- 31 23
Cost of Shares Redeemed (542,477) (540,771) (296,027) (278,378)
- ---------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Sweep Class Transactions (22,020) 44,007 (11,283) (1,480)
- ---------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions 245,168 7,595 37,624 104,958
- ---------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 245,161 7,577 37,614 104,958
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 861,237 853,660 745,247 640,289
- ---------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 1,106,398 $ 861,237 $ 782,861 $ 745,247
- -----------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income $ 8 $ -- $ 1 $ --
- -----------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero.
(1) See Note 3 in the Notes to the Financial Statements.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
32 SEI Daily Income Trust / Annual Report / January 31, 2007
- ----------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT II PRIME OBLIGATION
FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006
- ----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 37,566 $ 22,122 $ 233,775 $ 129,960
Net Realized Gain (Loss) on Investments and Payment by Affiliate (15) (5) (92) (18)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 37,551 22,117 233,683 129,942
- ----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (28,378) (17,432) (161,020) (88,693)
Class B (8,959) (4,435) (31,445) (17,980)
Class C (229) (254) (37,061) (21,185)
Class H -- -- (2,339) (1,008)
Sweep Class -- -- (1,891) (1,095)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Dividends (37,566) (22,121) (233,756) (129,961)
- ----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 2,182,858 2,122,774 34,766,540 29,575,399
Reinvestment of Dividends & Distributions 3,878 2,957 33,201 17,163
Cost of Shares Redeemed (2,082,794) (2,064,701) (34,374,725) (29,608,316)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 103,942 61,030 425,016 (15,754)
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 608,607 738,367 5,786,736 5,636,302
Reinvestment of Dividends & Distributions 408 643 12,947 7,150
Cost of Shares Redeemed (636,659) (730,903) (5,709,619) (5,681,249)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions (27,644) 8,107 90,064 (37,797)
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 26,038 60,303 5,791,860 5,162,865
Reinvestment of Dividends & Distributions -- 2 9,931 6,041
Cost of Shares Redeemed (26,398) (74,485) (5,800,449) (5,119,585)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions (360) (14,180) 1,342 49,321
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS H:
Proceeds from Shares Issued -- -- 131,479 85,991
Reinvestment of Dividends & Distributions -- -- 2,339 1,008
Cost of Shares Redeemed -- -- (104,311) (92,214)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class H Transactions -- -- 29,507 (5,215)
- ----------------------------------------------------------------------------------------------------------------------------------
SWEEP CLASS:
Proceeds from Shares Issued -- -- 515,873 407,174
Reinvestment of Dividends & Distributions -- -- 186 68
Cost of Shares Redeemed -- -- (513,197) (395,019)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Sweep Class Transactions -- -- 2,862 12,223
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions 75,938 54,957 548,791 2,778
- ----------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 75,923 54,953 548,718 2,759
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 749,315 694,362 4,443,666 4,440,907
- ----------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 825,238 $ 749,315 $ 4,992,384 $ 4,443,666
- -----------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income $ -- $ -- $ 19 $ --
- -----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
TREASURY TREASURY II
FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
2007 2006 2007 2006
- ----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 33,879 $ 18,770 $ 10,686 $ 8,452
Net Realized Gain (Loss) on Investments and Payment by Affiliate -- 4 101 (11)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 33,879 18,774 10,787 8,441
- ----------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (11,401) (8,111) (7,210) (6,410)
Class B (13,518) (6,067) (2,510) (1,831)
Class C (4,869) (2,235) (966) (211)
Class H -- -- -- --
Sweep Class (4,091) (2,357) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total Dividends (33,879) (18,770) (10,686) (8,452)
- ----------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 1,592,668 1,804,616 1,014,056(1) 1,172,871
Reinvestment of Dividends & Distributions 492 507 1,132 1,217
Cost of Shares Redeemed (1,513,665) (1,890,004) (1,011,783) (1,259,325)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 79,495 (84,881) 3,405 (85,237)
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 1,413,341 1,087,690 245,341(1) 362,752
Reinvestment of Dividends & Distributions 3,559 1,477 154 126
Cost of Shares Redeemed (1,297,271) (1,056,405) (264,119) (371,045)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions 119,629 32,762 (18,624) (8,167)
- ----------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 792,993 818,357 439,260(1) 136,916
Reinvestment of Dividends & Distributions 88 42 754 --
Cost of Shares Redeemed (805,554) (773,928) (422,344) (165,704)
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions (12,473) 44,471 17,670 (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 585,519 550,906 -- --
Reinvestment of Dividends & Distributions -- -- -- --
Cost of Shares Redeemed (572,084) (562,742) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Sweep Class Transactions 13,435 (11,836) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions 200,086 (19,484) 2,451 (122,192)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 200,086 (19,480) 2,552 (122,203)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 644,531 664,011 251,675 373,878
- ----------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 844,617 $ 644,531 $ 254,227 $ 251,675
- -----------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income $ -- $ -- $ -- $ --
- -----------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 33
Statements of Changes in Net Assets ($ Thousands)
For the years ended January 31,
- -------------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION
GOVERNMENT FUND
- -------------------------------------------------------------------------------------------------------------------------------
2007 2006
- -------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 5,864 $ 5,959
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,798) (1,844)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 1,233 (681)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 5,299 3,434
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
Net Investment Income (6,236) (6,742)
- -------------------------------------------------------------------------------------------------------------------------------
Total Dividends (6,236) (6,742)
- -------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 64,641 87,343
Reinvestment of Dividends & Distributions 4,738 5,265
Cost of Shares Redeemed (108,492) (135,823)
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (39,113) (43,215)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (40,050) (46,523)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 155,512 202,035
- -------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $115,462 $155,512
- -------------------------------------------------------------------------------------------------------------------------------
Distributions in Excess of Net Investment Income $ (17) $ (72)
- -------------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 6,485 8,636
Reinvestment of Distributions 475 522
Shares Redeemed (10,882) (13,463)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (3,922) (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.
- --------------------------------------------------------------------------------
34 SEI Daily Income Trust / Annual Report / January 31, 2007
- -------------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE-DURATION
GOVERNMENT FUND
- -------------------------------------------------------------------------------------------------------------------------------
2007 2006
- -------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 3,034 $ 3,488
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,960) (830)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 1,422 (1,720)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 2,496 938
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
Net Investment Income (3,175) (3,755)
- -------------------------------------------------------------------------------------------------------------------------------
Total Dividends (3,175) (3,755)
- -------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 18,086 23,528
Reinvestment of Dividends & Distributions 1,027 1,397
Cost of Shares Redeemed (57,672) (45,629)
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (38,559) (20,704)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (39,238) (23,521)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 85,873 109,394
- -------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 46,635 $ 85,873
- -------------------------------------------------------------------------------------------------------------------------------
Distributions in Excess of Net Investment Income $ (42) $ (20)
- -------------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 1,790 2,272
Reinvestment of Distributions 101 135
Shares Redeemed (5,700) (4,415)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (3,809) (2,008)
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
GNMA
FUND
- -------------------------------------------------------------------------------------------------------------------------------
2007 2006
- -------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 7,135 $ 7,431
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (704) 974
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts (1,350) (3,896)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 5,081 4,509
- -------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
Net Investment Income (7,688) (8,670)
- -------------------------------------------------------------------------------------------------------------------------------
Total Dividends (7,688) (8,670)
- -------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 21,717 51,821
Reinvestment of Dividends & Distributions 3,379 5,754
Cost of Shares Redeemed (45,102) (58,229)
- -------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (20,006) (654)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (22,613) (4,815)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 166,324 171,139
- -------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 143,711 $166,324
- -------------------------------------------------------------------------------------------------------------------------------
Distributions in Excess of Net Investment Income $ (21) $ --
- -------------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 2,323 5,394
Reinvestment of Distributions 362 602
Shares Redeemed (4,831) (6,088)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (2,146) (92)
- ------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
ULTRA SHORT
BOND FUND
- --------------------------------------------------------------------------------------------------------------------------------
2007 2006
- --------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 15,365 $ 11,264
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,432) (362)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 1,806 (1,077)
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 15,739 9,825
- --------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
Net Investment Income (15,345) (11,854)
- --------------------------------------------------------------------------------------------------------------------------------
Total Dividends (15,345) (11,854)
- --------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 236,013 296,269
Reinvestment of Dividends & Distributions 12,936 10,495
Cost of Shares Redeemed (422,740) (209,900)
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (173,791) 96,864
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (173,397) 94,835
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 412,217 317,382
- --------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 238,820 $ 412,217
- --------------------------------------------------------------------------------------------------------------------------------
Distributions in Excess of Net Investment Income $ (32) $ (74)
- --------------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 23,734 29,708+
Reinvestment of Distributions 1,300 1,052+
Shares Redeemed (42,512) (21,042)+
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (17,478) 9,718+
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 35
Financial Highlights
For the years ended January 31,
For a Share Outstanding Throughout the Years
- -------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends
Beginning Investment (Losses) from Investment and
of Year Income on Securities Operations Income Distributions
- -------------------------------------------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05)
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)
CLASS B
2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05)
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)
CLASS C
2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04)
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)
SWEEP CLASS
2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04)
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)
GOVERNMENT FUND
CLASS A
2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05)
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)
CLASS B
2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05)
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)
CLASS C
2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04)
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03)
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
- --------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income
Value, End Total End of Year to Average (Excluding to Average
of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets
- --------------------------------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2007 $1.00 5.07% $623,314 0.18% 0.63% 4.97%
2006 1.00 3.30 392,207 0.18 0.62 3.25
2005 1.00 1.37 524,849 0.18 0.62 1.38
2004 1.00 1.04 603,798 0.18 0.62 1.05
2003 1.00 1.61 581,097 0.18 0.63 1.59
CLASS B
2007 $1.00 4.76% $148,053 0.48% 0.68% 4.61%
2006 1.00 2.99 123,851 0.48 0.67 2.98
2005 1.00 1.07 107,650 0.48 0.67 1.10
2004 1.00 0.74 124,401 0.48 0.67 0.74
2003 1.00 1.31 159,389 0.48 0.68 1.30
CLASS C
2007 $1.00 4.55% $243,944 0.68% 0.88% 4.48%
2006 1.00 2.78 232,072 0.68 0.87 2.83
2005 1.00 0.86 152,060 0.68 0.87 0.84
2004 1.00 0.54 200,467 0.68 0.87 0.55
2003 1.00 1.11 307,236 0.68 0.88 1.10
SWEEP CLASS
2007 $1.00 4.29% $ 91,087 0.93% 1.13% 4.19%
2006 1.00 2.53 113,107 0.93 1.12 2.60
2005 1.00 0.61 69,101 0.93 1.12 0.61
2004 1.00 0.29 87,791 0.93 1.12 0.30
2003 1.00 0.85 149,729 0.93 1.13 0.85
GOVERNMENT FUND
CLASS A
2007 $1.00 4.97% $507,735 0.20% 0.54% 4.88%
2006 1.00 3.21 467,445 0.20 0.53 3.23
2005 1.00 1.30 369,440 0.20 0.53 1.32
2004 1.00 1.00 329,940 0.20 0.53 0.99
2003 1.00 1.53 370,142 0.20 0.53 1.51
CLASS B
2007 $1.00 4.66% $122,674 0.50% 0.59% 4.57%
2006 1.00 2.90 122,025 0.50 0.58 2.84
2005 1.00 1.00 156,741 0.50 0.58 0.93
2004 1.00 0.69 240,491 0.50 0.58 0.70
2003 1.00 1.23 258,488 0.50 0.58 1.20
CLASS C
2007 $1.00 4.45% $137,375 0.70% 0.79% 4.37%
2006 1.00 2.70 129,416 0.70 0.78 2.74
2005 1.00 0.80 86,267 0.70 0.78 0.77
2004 1.00 0.49 105,763 0.70 0.78 0.50
2003 1.00 1.02 138,864 0.70 0.78 1.02
- --------------------------------------------------------------------------------
36 SEI Daily Income Trust / Annual Report / January 31, 2007
- -------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04)
2006 1.00 0.02(1) --(1) 0.02 (0.02) (0.02)
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)
GOVERNMENT II FUND
CLASS A
2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05)
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)
CLASS B
2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05)
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)
CLASS C
2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04)
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)
PRIME OBLIGATION FUND
CLASS A
2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05)
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03)
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2003 1.00 0.02 -- 0.02 (0.02) (0.02)
- --------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income
Value, End Total End of Year to Average (Excluding to Average
of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets
- --------------------------------------------------------------------------------------------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2007 $1.00 4.19% $ 15,077 0.95% 1.04% 4.07%
2006 1.00 2.44 26,361 0.95 1.03 2.43
2005 1.00 0.55 27,841 0.95 1.03 0.51
2004 1.00 0.25 46,254 0.95 1.03 0.25
2003 1.00 0.77 52,423 0.95 1.03 0.77
GOVERNMENT II FUND
CLASS A
2007 $1.00 4.96% $ 680,219 0.20% 0.49% 4.86%
2006 1.00 3.18 576,242 0.20 0.48 3.18
2005 1.00 1.27 515,216 0.20 0.48 1.25
2004 1.00 0.96 568,888 0.20 0.47 0.96
2003 1.00 1.50 669,654 0.20 0.48 1.49
CLASS B
2007 $1.00 4.64% $ 140,930 0.50% 0.54% 4.56%
2006 1.00 2.87 168,616 0.50 0.53 2.80
2005 1.00 0.97 160,509 0.50 0.53 0.92
2004 1.00 0.66 201,085 0.50 0.52 0.66
2003 1.00 1.20 174,496 0.50 0.53 1.19
CLASS C
2007 $1.00 4.44% $ 4,089 0.70% 0.74% 4.38%
2006 1.00 2.67 4,457 0.70 0.73 2.39
2005 1.00 0.76 18,637 0.70 0.73 0.71
2004 1.00 0.46 46,853 0.70 0.72 0.46
2003 1.00 1.00 54,860 0.70 0.73 1.00
PRIME OBLIGATION FUND
CLASS A
2007 $1.00 5.06% $3,382,051 0.20% 0.49% 4.96%
2006 1.00 3.28 2,957,074 0.20 0.48 3.26
2005 1.00 1.34 2,972,833 0.20 0.48 1.31
2004 1.00 1.02 3,235,847 0.20 0.48 1.02
2003 1.00 1.58 3,527,722 0.20 0.48 1.56
Amounts designated as "--" are $0 or have been rounded to $0.
+ Returns are for the period indicated and have not been annualized. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of Fund shares.
(1) Per share calculations were performed using average shares.
(2) Amount represents less than $0.01 per share.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 37
Financial Highlights
For the years ended January 31,
For a Share Outstanding Throughout the Years
- -------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends
Beginning Investment (Losses) from Investment and
of Year Income on Securities Operations Income Distributions
- -------------------------------------------------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05)
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)
CLASS C
2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04)
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)
CLASS H
2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04)
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)
SWEEP CLASS
2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04)
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)
TREASURY FUND
CLASS A
2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05)
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)
CLASS B
2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05)
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)
CLASS C
2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04)
2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03)
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
- --------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income
Value, End Total End of Year to Average (Excluding to Average
of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets
- --------------------------------------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2007 $1.00 4.74% $715,879 0.50% 0.54% 4.65%
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
CLASS C
2007 $1.00 4.53% $780,951 0.70% 0.74% 4.45%
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
CLASS H
2007 $1.00 4.61% $ 65,512 0.63% 0.67% 4.55%
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
SWEEP CLASS
2007 $1.00 4.27% $ 47,991 0.95% 0.99% 4.20%
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
TREASURY FUND
CLASS A
2007 $1.00 4.95% $287,595 0.20% 0.54% 4.87%
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
CLASS B
2007 $1.00 4.64% $359,090 0.50% 0.59% 4.58%
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
CLASS C
2007 $1.00 4.43% $100,928 0.70% 0.79% 4.34%
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
- --------------------------------------------------------------------------------
38 SEI Daily Income Trust / Annual Report / January 31, 2007
- ---------------------------------------------------------------------------------------------------------------
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
- ---------------------------------------------------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04)
2006 1.00 0.02(1) --(1) 0.02 (0.02) (0.02)
2005 1.00 --(1) --(1) -- --(2) --(2)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
TREASURY II FUND
CLASS A
2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05)
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)
CLASS B
2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04)
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)
CLASS C
2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04)
2006 1.00 0.02(1) --(1) 0.02 (0.02) (0.02)
2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01)
2004 1.00 --(1) --(1) -- --(2) --(2)
2003 1.00 0.01 -- 0.01 (0.01) (0.01)
- --------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income
Value, End Total End of Year to Average (Excluding to Average
of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets
- --------------------------------------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2007 $1.00 4.17% $ 97,004 0.95% 1.04% 4.11%
2006 1.00 2.36 83,570 0.95 1.03 2.35
2005 1.00 0.49 95,407 0.93 1.03 0.49
2004 1.00 0.23 95,679 0.92 1.03 0.22
2003 1.00 0.76 102,257 0.95 1.04 0.75
TREASURY II FUND
CLASS A
2007 $1.00 4.62% $181,976 0.25% 0.53% 4.50%
2006 1.00 2.85 178,480 0.25 0.53 2.78
2005 1.00 1.09 263,727 0.25 0.53 1.08
2004 1.00 0.81 269,200 0.25 0.53 0.80
2003 1.00 1.42 410,954 0.25 0.53 1.42
CLASS B
2007 $1.00 4.31% $ 51,984 0.55% 0.58% 4.18%
2006 1.00 2.54 70,593 0.55 0.58 2.50
2005 1.00 0.79 78,781 0.55 0.58 0.70
2004 1.00 0.51 160,859 0.55 0.58 0.51
2003 1.00 1.12 210,421 0.55 0.58 1.08
CLASS C
2007 $1.00 4.10% $ 20,267 0.75% 0.78% 4.04%
2006 1.00 2.33 2,602 0.75 0.78 2.03
2005 1.00 0.59 31,370 0.75 0.78 0.54
2004 1.00 0.31 58,424 0.75 0.78 0.30
2003 1.00 0.91 92,554 0.75 0.78 0.90
Amounts designated as "--" are $0 or have been rounded to $0.
+ Returns are for the period indicated and have not been annualized. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of Fund shares.
(1) Per share calculations were performed using average shares.
(2) Amount represents less than $0.01 per share.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 39
Financial Highlights
For the years ended January 31,
For a Share Outstanding Throughout the Years
- -------------------------------------------------------------------------------------------------------------------------------
Net Realized
and Distributions
Net Asset Unrealized Dividends from Total
Value, Net Gains Total from Net Realized Dividends
Beginning Investment (Losses) from Investment Capital and
of Year Income on Securities Operations Income Gains Distributions
- -------------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2007 $10.02 $0.42(1) $(0.04)(1) $0.38 $(0.45) $ -- $(0.45)
2006 10.19 0.32(1) (0.13)(1) 0.19 (0.36) -- (0.36)
2005 10.35 0.22(1) (0.12)(1) 0.10 (0.26) -- (0.26)
2004 10.46 0.22(1) (0.06)(1) 0.16 (0.27) -- (0.27)
2003 10.30 0.32 0.21 0.53 (0.34) (0.03) (0.37)
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2007 $10.21 $0.42(1) $(0.06)(1) $0.36 $(0.44) $ -- $(0.44)
2006 10.50 0.36(1) (0.26)(1) 0.10 (0.39) -- (0.39)
2005 10.64 0.31(1) (0.11)(1) 0.20 (0.33) (0.01) (0.34)
2004 10.89 0.31(1) 0.01(1) 0.32 (0.33) (0.24) (0.57)
2003 10.40 0.42 0.51 0.93 (0.44) -- (0.44)
GNMA FUND
CLASS A
2007 $ 9.48 $0.44(1) $(0.11)(1) $0.33 $(0.47) $ -- $(0.47)
2006 9.71 0.41(1) (0.16)(1) 0.25 (0.48) -- (0.48)
2005 9.86 0.39(1) (0.04)(1) 0.35 (0.50) -- (0.50)
2004 10.13 0.30(1) (0.09)(1) 0.21 (0.48) -- (0.48)
2003 9.91 0.44 0.31 0.75 (0.53) -- (0.53)
ULTRA SHORT BOND FUND
CLASS A
2007 $ 9.95 $0.45(1) $ 0.03(1) $0.48 $(0.46) $ -- $(0.46)
2006++ 10.00 0.32(1) (0.04)(1) 0.28 (0.33) -- (0.33)
2005++ 10.10 0.20(1) (0.10)(1) 0.10 (0.20) -- (0.20)
2004++ 10.15 0.20(1) (0.05)(1) 0.15 (0.20) -- (0.20)
2003++ 10.15 0.30 -- 0.30 (0.30) (0.00)(2) (0.30)
- -------------------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income Portfolio
Value, End Total End of Year to Average (Excluding to Average Turnover
of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets Rate
- -------------------------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2007 $ 9.95 3.84% $115,462 0.45% 0.78% 4.19% 210%
2006 10.02 1.93 155,512 0.45 0.75 3.15 162
2005 10.19 0.96 202,035 0.45 0.74 2.12 66
2004 10.35 1.55 289,986 0.45 0.72 2.07 117
2003 10.46 5.29 318,046 0.45 0.73 2.92 125
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2007 $10.13 3.64% $ 46,635 0.50% 0.78% 4.17% 200%
2006 10.21 0.94 85,873 0.50 0.73 3.46 151
2005 10.50 1.85 109,394 0.50 0.73 2.92 80
2004 10.64 2.98 134,615 0.50 0.72 2.89 154
2003 10.89 9.12 188,009 0.50 0.73 3.92 57
GNMA FUND
CLASS A
2007 $ 9.34 3.65% $143,711 0.60% 0.74% 4.72% 105%
2006 9.48 2.60 166,324 0.60 0.71 4.26 97
2005 9.71 3.64 171,139 0.60 0.71 3.97 85
2004 9.86 2.16 219,483 0.60 0.69 2.97 145
2003 10.13 7.73 390,393 0.60 0.70 4.12 146
ULTRA SHORT BOND FUND
CLASS A
2007 $ 9.97 4.88% $238,820 0.35% 0.76% 4.51% 40%
2006++ 9.95 2.90 412,217 0.35 0.75 3.22 67
2005++ 10.00 1.11 317,382 0.35 0.75 1.84 59
2004++ 10.10 1.61 293,816 0.35 0.73 1.84 68
2003++ 10.15 3.35 352,284 0.35 0.73 2.81 76
Amounts designated as "--" are $0 or have been rounded to $0.
+ Returns are for the period indicated and have not been annualized. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of Fund shares.
++ Per share amounts have been adjusted for a 5 for 1 reverse stock split paid
to shareholders of record on May 6, 2005.
(1) Per share calculations were performed using average shares.
(2) Amount represents less than $0.01 per share.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
40 SEI Daily Income Trust / Annual Report / January 31, 2007
NOTES TO FINANCIAL STATEMENTS
Notes to Financial Statements
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end investment company with ten operational Funds: the Money
Market, Government, Government II, Prime Obligation, Treasury, Treasury II (each
a "Fund," collectively the "Money Market Funds"), the Short-Duration Government,
Intermediate-Duration Government, GNMA, and Ultra Short Bond (each a "Fund,"
collectively the "Fixed Income Funds"). The Money Market, Government, Government
II, Prime Obligation, Treasury, Treasury II, Short-Duration Government,
Intermediate-Duration Government, and GNMA Funds seek to preserve principal
value and maintain a high degree of liquidity while providing current income.
The Ultra Short Bond Fund seeks to provide higher current income than that
typically offered by a money market fund while maintaining a high degree of
liquidity and a correspondingly higher risk of principal volatility. The assets
of each Fund are segregated, and a shareholder's interest is limited to the Fund
in which shares are held.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Funds.
USE OF ESTIMATES -- The preparation of financial statements, in conformity with
accounting principles generally accepted in the United States of America,
requires management to make estimates and assumptions that affect the reported
amount of assets and liabilities and disclosure of contingent assets at the date
of the financial statements, and the reported results of operations during the
reporting period. Actual results could differ from those estimates.
SECURITY VALUATION -- Investment securities of the Money Market Funds are stated
at amortized cost which approximates market value. Under this valuation method,
purchase discounts and premiums are accreted and amortized ratably to maturity
and are included in interest income.
Investment securities of the Fixed Income Funds listed on a securities exchange,
market or automated quotation system for which quotations are readily available
are valued at the last quoted sale price on the primary exchange or market on
which they are traded, or, if there is no such reported sale, at the most recent
quoted bid price. If available, debt securities are priced based upon valuations
provided by independent, third-party pricing agents. Such values generally
reflect the last reported sales price if the security is actively traded. The
third-party pricing agents may also value debt securities at an evaluated bid
price by employing methodologies that utilize actual market transactions,
broker-supplied valuations, or other methodologies designed to identify the
market value for such securities. Debt obligations with remaining maturities of
sixty days or less may be valued at their amortized cost, which approximates
market value. Prices for most securities held in the Funds are provided daily by
recognized independent pricing agents. If a security price cannot be obtained
from an independent, third-party pricing agent, the Funds seek to obtain a bid
price from at least one independent broker.
Securities for which market prices are not "readily available" are valued in
accordance with Fair Value Procedures established by the Funds' Board of
Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Funds' Board of Trustees. Some of
the more common reasons that may necessitate that a security be valued using
Fair Value Procedures include: the security's trading has been halted or
suspended; the security has been de-listed from a national exchange; the
security's primary trading market is temporarily closed at a time when under
normal conditions it would be open; or the security's primary pricing source is
not able or willing to provide a price. When a security is valued in accordance
with the Fair Value Procedures, the Committee will determine the value after
taking into consideration relevant information reasonably available to the
Committee. As of January 31, 2007, 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 / Annual Report / January 31, 2007 41
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FUTURES CONTRACTS -- The Short-Duration Government Fund, the Intermediate-
Duration Government Fund and the GNMA Fund utilized futures contracts during the
year ended January 31, 2007. 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 Schedules of
Investments 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 January 31, 2007, 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 amortized cost as determined in accordance with the procedures
approved by the Board of Trustees. The acquisition dates of these investments,
along with their cost and values at January 31, 2007, were as follows:
NUMBER ACQUISITION COST MARKET VALUE % OF NET
OF SHARES DATE ($THOUSANDS) ($THOUSANDS) ASSETS
- ----------------------------------------------------------------------------------------
MONEY MARKET FUND
Metropolitan Life
Insurance 30,000 05/01/03 $ 30,000 $ 30,000 2.7%
Monumental Life
Insurance 9,500 03/21/03 9,500 9,500 0.9
-------- -------- ---
$ 39,500 $ 39,500 3.6%
======== ======== ===
PRIME OBLIGATION FUND
Metropolitan Life
Insurance 160,000 05/01/03 $160,000 $160,000 3.2%
Monumental Life
Insurance 101,500 03/21/03 101,500 101,500 2.0
-------- -------- ---
$261,500 $261,500 5.2%
======== ======== ===
- --------------------------------------------------------------------------------
42 SEI Daily Income Trust / Annual Report / January 31, 2007
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). The expense waivers are allocated to each share class pro-rata based on
the net assets of each share class.
- -----------------------------------------------------------------------------------------
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, 2008, to be
changed only by Board approval.
(3) Represents a contractual cap of .25%, .55%, and .75% of Class A, B, and C,
respectively, effective through January 31, 2008, to be changed only by
Board approval. In addition, management has voluntarily waived fees to a
cap of .20%, .50%, and .70% of Class A, B, and C, respectively, that may
be discontinued at any time.
During the year ended January 31, 2006, the Short-Duration Government Fund and
the Intermediate-Duration Government Fund were reimbursed by the Administrator,
deemed as a "Payment by Affiliate" on the Statements of Changes in Net Assets,
for losses incurred of $7,422 and $3,906, respectively, due to the sale of
shares in several option contracts that were inadvertently purchased.
During the year ended January 31, 2007, the Treasury II Portfolio was reimbursed
by the advisor, deemed as a "Payment by Affiliate" in the Statement of
Operations, for reimbursement of investment losses incurred of $100,000.
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% --
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 43
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
Adminis-
Shareholder trative
Servicing Service Distribution
Fees Fees Fees*
- --------------------------------------------------------------------------------
Short-Duration Government Fund -- Class A .25% -- --
Intermediate-Duration
Government Fund -- Class A .25% -- --
GNMA Fund -- Class A .25% -- --
Ultra Short Bond Fund -- Class A .25% -- --
* These payments are characterized as "compensation" and are not directly
tied to expenses incurred by the Distributor. The payments the Distributor
receives during any year may therefore be higher or lower than its actual
expenses. These payments may be used to compensate sweep class
shareholders who provide distribution-related services to their customers.
The Distributor has voluntarily waived all or a portion of the shareholder
servicing fees for Class A of each fund since inception of the plan. Such
waivers are voluntary and may be discontinued at any time. For Classes B, C, and
H, the shareholder servicing fees and the administrative service fees are shown
combined as "Administrative & Shareholder Servicing Fees" in the Statement of
Operations.
Certain officers and Trustees of the Trust are also officers and/or Trustees of
the Administrator or the adviser. The Trust pays each unaffiliated Trustee an
annual fee for attendance at quarterly, interim, and committee meetings. The
Administrator or the adviser pays compensation of officers and affiliated
Trustees.
4. INVESTMENT ADVISORY AND CUSTODIAN AGREEMENTS
SEI Investments Management Corporation ("SIMC") serves as each Fund's investment
adviser and "manager of managers" under an investment advisory agreement
approved by the shareholders of each Fund. For its services, SIMC receives an
annual fee equal to .075% on the first $500 million of net assets and .02% on
the net assets in excess of $500 million for the Money Market Funds. The fee
will be calculated based on the combined assets of the Money Market Funds. SIMC
also receives an annual fee equal to .10% on the first $500 million of net
assets, .075% of net assets between $500 million and $1 billion and .05% on the
net assets in excess of $1 billion for the Short-Duration Government,
Intermediate-Duration Government and GNMA Funds. The fee will be calculated
based on the combined assets of the Funds listed above. SIMC also receives an
annual fee equal to .10% on the first $500 million of net assets, .075% of net
assets between $500 million and $1 billion and .05% on the net assets in excess
of $1 billion for the Ultra Short Bond Fund. The fee will be calculated based on
the net assets of the Ultra Short Bond Fund.
Pursuant to the "manager of managers" structure, the Board of Trustees approved
Columbia Management Advisors, LLC (formerly Banc of America Capital Management,
LLC) as each Money Market Fund's investment sub-adviser under an investment
sub-advisory agreement approved by the shareholders of each Fund. For its
services to the Money Market Funds, the sub-adviser is entitled to receive a fee
paid directly by SIMC.
Wellington Management Company, LLP ("Wellington LLP") serves as sub-adviser to
the Fixed Income Funds under an investment sub-advisory agreement approved by
the shareholders of each Fund. For its services to the Funds, Wellington LLP is
entitled to receive a fee paid directly by SIMC.
U.S. Bank, N.A. serves as the custodian of the Funds. The custodian plays no
role in determining the investment policies of the Funds or which securities are
to be purchased or sold in the Funds.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities, for the year ended
January 31, 2007, were as follows for the Fixed Income Funds:
- --------------------------------------------------------------------------------
Short- Intermediate- Ultra
Duration Duration Short
Government Government GNMA Bond
Fund Fund Fund Fund
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PURCHASES
U.S. Government $143,187 $135,410 $142,716 $ 13,345
Other 137,639 5,000 14,547 86,708
SALES
U.S. Government $192,829 $170,694 $155,708 $ 66,057
Other 130,427 5,696 22,613 192,686
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
- --------------------------------------------------------------------------------
44 SEI Daily Income Trust / Annual Report / January 31, 2007
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 reclass of distributions and tax treatment of paydown
gain (loss) on mortgage and asset-backed securities. Accordingly, the following
permanent differences have been reclassified to/from the following accounts
during the fiscal year ended January 31, 2007:
- ------------------------------------------------------------------------------------------
Undistributed Accumulated
Net Investment Net Realized
Paid-in Capital Income Gain (Loss)
($ Thousands) ($ Thousands) ($ Thousands)
- ------------------------------------------------------------------------------------------
Money Market Fund $-- $ 4 $ (4)
Short-Duration Government Fund -- 427 (427)
Intermediate-Duration Government Fund -- 119 (119)
GNMA Fund -- 532 (532)
Ultra Short Bond Fund -- 22 (22)
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 2007 $ 60,356 $-- $ 60,356
2006 27,014 -- 27,014
Government Fund 2007 36,529 -- 36,529
2006 19,694 -- 19,694
Government II Fund 2007 37,566 -- 37,566
2006 22,121 -- 22,121
Prime Obligation Fund 2007 233,756 -- 233,756
2006 129,961 -- 129,961
Treasury Fund 2007 33,879 -- 33,879
2006 18,770 -- 18,770
Treasury II Fund 2007 10,686 -- 10,686
2006 8,452 -- 8,452
Short-Duration Government Fund 2007 6,236 -- 6,236
2006 6,742 -- 6,742
Intermediate-Duration Government Fund 2007 3,175 -- 3,175
2006 3,755 -- 3,755
GNMA Fund 2007 7,688 -- 7,688
2006 8,670 -- 8,670
Ultra Short Bond Fund 2007 15,345 -- 15,345
2006 11,854 -- 11,854
As of January 31, 2007, the components of Distributable Earnings/(Accumulated
Losses) on a tax basis were as follows:
- -----------------------------------------------------------------------------------------------------------------
Undistributed Capital Post- Other Total
Ordinary Loss October Temporary Unrealized Accumulated
Income Carryforwards Losses Differences Depreciation Losses
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -----------------------------------------------------------------------------------------------------------------
Money Market Fund $ 4,873 $ (18) $ (9) $ (4,865) $ -- $ (19)
Government Fund 3,446 (68) (11) (3,445) -- (78)
Government II Fund 3,594 (15) (15) (3,594) -- (30)
Prime Obligation Fund 23,218 (104) (92) (23,199) -- (177)
Treasury Fund 3,258 (93) -- (3,258) -- (93)
Treasury II Fund 845 (27) -- (845) -- (27)
Short-Duration
Government Fund 456 (7,387) (28) (473) (638) (8,070)
Intermediate-Duration
Government Fund 137 (3,375) (3) (179) (540) (3,960)
GNMA Fund 588 (11,576) (105) (609) (1,758) (13,460)
Ultra Short Bond Fund 935 (4,780) (41) (967) (398) (5,251)
Amounts designated as "--" are $0 or have been rounded to $0.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 45
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
At January 31, 2007, the following funds had capital loss carryforwards to
offset future realized capital gains:
- --------------------------------------------------------------------------------
Amount Expiration
($ Thousands) Date
- --------------------------------------------------------------------------------
Money Market Fund $ 16 1/31/14
2 1/31/15
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 22 1/31/14
5 1/31/15
Short-Duration Government Fund 899 1/31/12
1,326 1/31/13
2,377 1/31/14
2,785 1/31/15
Intermediate-Duration Government Fund 301 1/31/13
883 1/31/14
2,191 1/31/15
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
1,552 1/31/15
Ultra Short Bond Fund 557 1/31/11
442 1/31/12
1,020 1/31/13
1,045 1/31/14
1,716 1/31/15
For Federal income tax purposes, capital loss carryforwards may be carried
forward and applied against future capital gains. It is the Funds' intent that
they will not distribute any realized gain distributions until the carryforwards
have been offset or expired.
During the year ended January 31, 2007, the Government II Fund utilized $165 of
capital loss carryforwards to offset capital gains.
Post-October losses represent losses realized on investment transactions from
November 1, 2006 through January 31, 2007 that, in accordance with Federal
income tax regulations, the Funds may elect to defer and treat as having arisen
in the following fiscal year.
At January 31, 2007, the Money Market Funds' cost of securities for Federal
income tax purposes approximates the cost located in the Statements of Assets
and Liabilities.
The Federal tax cost and aggregate gross unrealized appreciation and
depreciation on investments held by the Fixed Income Funds at January 31, 2007,
were as follows:
- -------------------------------------------------------------------------------------
Net
Federal Appreciated Depreciated Unrealized
Tax Cost Securities Securities Depreciation
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- -------------------------------------------------------------------------------------
Short-Duration
Government Fund $125,154 $241 $ (879) $ (638)
Intermediate-Duration
Government Fund 48,849 258 (798) (540)
GNMA Fund 162,645 386 (2,144) (1,758)
Ultra Short
Bond Fund 241,387 252 (650) (398)
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.
- --------------------------------------------------------------------------------
46 SEI Daily Income Trust / Annual Report / January 31, 2007
9. NEW ACCOUNTING PRONOUNCEMENTS
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. The Funds will not
be required to adopt FIN 48 until July 31, 2007. As of January 31, 2007, the
Funds have not evaluated the impact that will result from adopting FIN 48.
In September 2006, the FASB issued Statement on Financial Accounting Standards
("SFAS") No. 157, "Fair Value Measurements." This standard establishes a single
authoritative definition of fair value, sets out a framework for measuring fair
value and requires additional disclosures about fair value measurements. SFAS
No. 157 applies to fair value measurements already required or permitted by
existing standards. SFAS No. 157 is effective for financial statements issued
for fiscal years beginning after November 15, 2007 and interim periods within
those fiscal years. The changes to current generally accepted accounting
principles from the application of this Statement relate to the definition of
fair value, the methods used to measure fair value, and the expanded disclosures
about fair value measurements. As of January 31, 2007, the Funds do not believe
the adoption of SFAS No. 157 will impact the amounts reported in the financial
statements, however, additional disclosures may be required about the inputs
used to develop the measurements and the effect of certain measurements reported
in the financial statements for a fiscal period.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 47
SEI DAILY INCOME TRUST -- JANUARY 31, 2007
Report of Independent Registered Public Accounting Firm
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF SEI DAILY INCOME TRUST:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of SEI Daily Income Trust, comprising the Money
Market, Government, Government II, Prime Obligation, Treasury, Treasury II,
Short-Duration Government, Intermediate-Duration Government, GNMA, and
Ultra-Short Bond Funds, (collectively the "Funds"), as of January 31, 2007, and
the related statements of operations for the year then ended, and the statements
of changes in net assets and the financial highlights for each of the years in
the two-year period then ended. These financial statements and financial
highlights are the responsibility of the Funds' management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits. The financial highlights for the periods presented through
January 31, 2005, were audited by other auditors, whose report dated March 11,
2005, expressed an unqualified opinion thereon.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of January 31, 2007, by correspondence with the custodian
and brokers. As to securities purchased or sold but not yet received or
delivered, we performed other appropriate auditing procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the portfolios comprising SEI Daily Income Trust as of January 31, 2007, and
the results of their operations for the year then ended, and the changes in
their net assets and the financial highlights for each of the years in the
two-year period then ended, in conformity with U.S. generally accepted
accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
March 28, 2007
- --------------------------------------------------------------------------------
48 SEI Daily Income Trust / Annual Report / January 31, 2007
TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED)
The following chart lists Trustees and Officers as of March 15, 2007.
Set forth below are the names, addresses, ages, position with the Trust, Term of
Office and Length of Time Served, the principal occupations for the last five
years, number of portfolios in fund complex overseen by trustee, and other
directorships outside the fund complex of each of the persons currently serving
as Trustees and Officers of the Trust. The Trust's Statement of Additional
Information ("SAI") includes additional information about the Trustees and
Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------
Robert A. Nesher Chairman since 1982 Currently performs various 75 Trustee of The Advisors' Inner
One Freedom of the services on behalf of SEI Circle Fund, The Advisors'
Valley Drive, Board of Investments for which Mr. Nesher Inner Circle Fund II, Bishop
Oaks, PA 19456 Trustees* is compensated. Street Funds, Director of SEI
60 yrs. old Global Master Fund, plc, SEI
Global Assets Fund, plc, SEI
Global Investments Fund, plc,
SEI Investments Global,
Limited, SEI Investments --
Global Fund Services, Limited,
SEI Investments (Europe),
Limited, SEI Investments -- Unit
Trust Management (UK), Limited,
SEI Global Nominee Ltd., SEI
Opportunity Master Fund, L.P.,
SEI Opportunity Fund, L.P. and
SEI Multi-Strategy Funds plc.
- ------------------------------------------------------------------------------------------------------------------------------------
William M. Doran Trustee* since 1982 Self-employed consultant since 75 Trustee of The Advisors' Inner
1701 Market Street 2003. Partner, Morgan, Lewis & Circle Fund, The Advisors'
Philadelphia, PA Bockius LLP (law firm) from 1976 Inner Circle Fund II, Director
19103 to 2003, counsel to the Trust, of SEI since 1974. Director of
66 yrs. old SEI, SIMC, the Administrator and the Distributor since 2003.
the Distributor. Secretary of Director of SEI Investments --
SEI since 1978. Global Fund Services, Limited,
SEI Investments Global,
Limited, SEI Investments
(Europe), Limited, SEI
Investments (Asia), Limited and
SEI Asset Korea Co., Ltd.
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES
- --------
F. Wendell Gooch Trustee since 1982 Retired 75 Trustee of STI Classic Funds
One Freedom and STI Classic Variable Trust.
Valley Drive,
Oaks, PA 19456
74 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee since 1995 Attorney, sole practitioner 75 Trustee of The Advisors' Inner
One Freedom since 1994. Partner, Dechert Circle Fund, The Advisors'
Valley Drive, Price & Rhoads, September 1987- Inner Circle Fund II,
Oaks, PA 19456 December 1993. Massachusetts Health and
75 yrs. old Education Tax-Exempt Trust, and
U.S. Charitable Gift Trust.
- ------------------------------------------------------------------------------------------------------------------------------------
*MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED"
PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF
THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR.
1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE
SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S
DECLARATION OF TRUST.
2THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION
TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL
INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI
INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT
TRUST.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 49
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES (CONTINUED)
- --------
George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 75 Trustee of The Advisors' Inner
One Freedom Newfound Consultants Inc. since Circle Fund, The Advisors'
Valley Drive April 1997. Inner Circle Fund II, State
Oaks, PA 19456 Street Navigator Securities
64 yrs. old Lending Trust, SEI Opportunity
Master Fund, L.P., and SEI
Opportunity Fund, L.P.
- ------------------------------------------------------------------------------------------------------------------------------------
Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 75 Director, Sonoco, Inc.;
One Freedom Health Care Reform, Commonwealth Director, Exelon Corporation;
Valley Drive of Pennsylvania since 2003. Trustee, Pennsylvania Real
Oaks, PA 19456 Founder and Principal, Estate Investment Trust.
60 yrs. old Grecoventures Ltd. from 1999 to
2002.
- ------------------------------------------------------------------------------------------------------------------------------------
Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital 75 Director of SEI Opportunity
One Freedom since March 2002, Managing Master Fund, L.P., and SEI
Valley Drive, Partner and Head of Sales, Opportunity Fund, L.P.
Oaks, PA 19456 Investorforce, March
49 yrs. old 2000-December 2001; Global
Partner working for the CEO,
Invesco Capital, January
1998-January 2000. Head of Sales
and Client Services, Chancellor
Capital and later LGT Asset
Management, 1986-2000.
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Williams Trustee since 2004 Vice President and Chief 75 Trustee/Director of Ariel
One Freedom Investment Officer, J. Paul Mutual Funds, SEI Opportunity
Valley Drive, Getty Trust, Non-Profit Master Fund, L.P., and SEI
Oaks, PA 19456 Foundation for Visual Arts, Opportunity Fund, L.P.
59 yrs. old since December 2002. President,
Harbor Capital Advisors and
Harbor Mutual Funds, 2000-2002.
Manager, Pension Asset
Management, Ford Motor Company,
1997-1999.
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS
- --------
Robert A. Nesher President since 2005 Currently performs various N/A N/A
One Freedom & CEO services on behalf of SEI for
Valley Drive, which Mr. Nesher is compensated.
Oaks, PA 19456
60 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
Stephen F. Panner Controller since 2005 Fund Accounting Director of the N/A N/A
One Freedom and Administrator since 2005. Fund
Valley Drive, Chief Administration Manager, Old
Oaks, PA 19456 Financial Mutual Fund Services, 2000-2005.
36 yrs. old Officer Chief Financial Officer,
Controller and Treasurer, PBHG
Funds and PBHG Insurance Series
Fund, 2004-2005. Assistant
Treasurer, PBHG Funds and PBHG
Insurance Series Fund,
2000-2004. Assistant Treasurer,
Old Mutual Advisors Fund,
2004-2005.
- ------------------------------------------------------------------------------------------------------------------------------------
Russell Emery Chief since 2006 Chief Compliance Officer of SEI N/A N/A
One Freedom Compliance Opportunity Master Fund, L.P.,
Valley Drive Officer SEI Opportunity Fund, L.P.,
Oaks, PA 19456 Bishop Street Funds, SEI
44 yrs. old Institutional Managed Trust, SEI
Asset Allocation Trust, SEI
Institutional International
Trust, SEI Index Funds, SEI
Liquid Asset Trust, SEI Daily
Income Trust, SEI Tax Exempt
Trust, SEI Institutional
Investments Trust, The Advisors'
Inner Circle Fund and the
Advisors' Inner Circle Fund II,
since March 2006. Director of
Investment Product Management
and Development of SIMC,
February 2003-March 2006. Senior
Investment Analyst--Equity Team
of SEI, March 2000-February
2003.
- --------------------------------------------------------------------------------
50 SEI Daily Income Trust / Annual Report / January 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
OFFICERS (CONTINUED)
- --------
Timothy D. Barto Vice since 2002 General Counsel, Vice President N/A N/A
One Freedom President and Secretary of SIMC and the
Valley Drive and Administrator since 2004. Vice
Oaks, PA 19456 Secretary President and Assistant
38 yrs. old Secretary of SEI since 2001.
Vice President of SIMC and the
Administrator since 1999.
Assistant Secretary of SIMC, the
Administrator and the
Distributor and Vice President
of the Distributor, 1999-2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Sofia A. Rosala Vice since 2004 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC and the
Valley Drive and Administrator since 2005.
Oaks, PA 19456 Assistant Compliance Officer of SEI,
33 yrs. old Secretary September 2001-2004. Account and
Product Consultant, SEI Private
Trust Company, 1998-2001.
- ------------------------------------------------------------------------------------------------------------------------------------
James Ndiaye Vice since 2005 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2005.
Valley Drive and Vice President, Deutsche Asset
Oaks, PA 19456 Assistant Management (2003-2004).
38 yrs. old Secretary Associate, Morgan, Lewis &
Bockius LLP (2000-2003).
Assistant Vice President, ING
Variable Annuities Group
(1999-2000).
- ------------------------------------------------------------------------------------------------------------------------------------
Michael T. Pang Vice since 2005 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2005.
Valley Drive and Counsel, Caledonian Bank &
Oaks, PA 19456 Assistant Trust's Mutual Funds Group
34 yrs. old Secretary (2004). Counsel, Permal Asset
Management (2001-2004).
Associate, Schulte, Roth &
Zabel's Investment Management
Group (2000-2001). Staff
Attorney, U.S. SEC's Division of
Enforcement, Northeast Regional
Office (1997-2000).
- ------------------------------------------------------------------------------------------------------------------------------------
John J. McCue Vice since 2004 Director of Portfolio N/A N/A
One Freedom President Implementations for SIMC since
Valley Drive 1995. Managing Director of Money
Oaks, PA 19456 Market Investments for SIMC
43 yrs. old since 2003.
- ------------------------------------------------------------------------------------------------------------------------------------
Nicole Welch Anti-Money since 2005 Assistant Vice President and N/A N/A
One Freedom Laundering Anti-Money Laundering Compliance
Valley Drive Compliance Coordinator of SEI since 2005.
Oaks, PA 19456 Officer Compliance Analyst, TD
29 yrs. old Waterhouse (2004). Senior
Compliance Analyst, UBS
Financial Services (2002-2004).
Knowledge Management Analyst,
PriceWaterhouseCoopers
Consulting (2000-2002).
- ------------------------------------------------------------------------------------------------------------------------------------
1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE
SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S
DECLARATION OF TRUST.
2THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION
TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL
INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI
INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT
TRUST.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 51
SEI DAILY INCOME TRUST -- JANUARY 31, 2007
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.
- --------------------------------------------------------------------------------
52 SEI Daily Income Trust / Annual Report / January 31, 2007
DISCLOSURE OF FUND EXPENSES (UNAUDITED) (CONCLUDED)
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
8/01/06 1/31/07 RATIOS PERIOD*
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,026.40 0.18% $0.92
Class B Shares 1,000.00 1,024.90 0.48% 2.45
Class C Shares 1,000.00 1,023.90 0.68% 3.47
Sweep Class Shares 1,000.00 1,022.60 0.93% 4.74
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.30 0.18% $0.92
Class B Shares 1,000.00 1,022.79 0.48% 2.45
Class C Shares 1,000.00 1,021.78 0.68% 3.47
Sweep Class Shares 1,000.00 1,020.52 0.93% 4.74
- --------------------------------------------------------------------------------
GOVERNMENT FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,026.10 0.20% $1.02
Class B Shares 1,000.00 1,024.50 0.50% 2.55
Class C Shares 1,000.00 1,023.50 0.70% 3.57
Sweep Class Shares 1,000.00 1,022.20 0.95% 4.82
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.20 0.20% $1.02
Class B Shares 1,000.00 1,022.68 0.50% 2.55
Class C Shares 1,000.00 1,021.68 0.70% 3.57
Sweep Class Shares 1,000.00 1,020.42 0.95% 4.84
- --------------------------------------------------------------------------------
GOVERNMENT II FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,025.80 0.20% $1.02
Class B Shares 1,000.00 1,024.30 0.50% 2.55
Class C Shares 1,000.00 1,023.20 0.70% 3.57
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.20 0.20% $1.02
Class B Shares 1,000.00 1,022.68 0.50% 2.55
Class C Shares 1,000.00 1,021.68 0.70% 3.57
- --------------------------------------------------------------------------------
PRIME OBLIGATION FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,026.40 0.20% $1.02
Class B Shares 1,000.00 1,024.80 0.50% 2.55
Class C Shares 1,000.00 1,023.80 0.70% 3.57
Class H Shares 1,000.00 1,024.20 0.63% 3.21
Sweep Class Shares 1,000.00 1,022.50 0.95% 4.84
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.20 0.20% $1.02
Class B Shares 1,000.00 1,022.68 0.50% 2.55
Class C Shares 1,000.00 1,021.68 0.70% 3.57
Class H Shares 1,000.00 1,022.03 0.63% 3.21
Sweep Class Shares 1,000.00 1,020.42 0.95% 4.84
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
8/01/06 1/31/07 RATIOS PERIOD*
- --------------------------------------------------------------------------------
TREASURY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,025.90 0.20% $1.02
Class B Shares 1,000.00 1,024.30 0.50% 2.55
Class C Shares 1,000.00 1,023.30 0.70% 3.57
Sweep Class Shares 1,000.00 1,022.00 0.95% 4.84
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.20 0.20% $1.02
Class B Shares 1,000.00 1,022.68 0.50% 2.55
Class C Shares 1,000.00 1,021.68 0.70% 3.57
Sweep Class Shares 1,000.00 1,020.42 0.95% 4.84
- --------------------------------------------------------------------------------
TREASURY II FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,024.20 0.25% $1.28
Class B Shares 1,000.00 1,022.70 0.55% 2.80
Class C Shares. 1,000.00 1,021.70 0.75% 3.82
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.95 0.25% $1.28
Class B Shares 1,000.00 1,022.43 0.55% 2.80
Class C Shares 1,000.00 1,021.42 0.75% 3.82
- --------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,023.00 0.45% $2.29
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.94 0.45% $2.29
- --------------------------------------------------------------------------------
INTERMEDIATE-DURATION GOVERNMENT FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,028.70 0.57% $2.91
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.33 0.57% $2.91
- --------------------------------------------------------------------------------
GNMA FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,034.50 0.60% $3.08
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.18 0.60% $3.06
- --------------------------------------------------------------------------------
ULTRA SHORT BOND FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,026.50 0.35% $1.79
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.44 0.35% $1.79
*Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 184/365 (to reflect
one-half year period shown).
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 53
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 the series of the Trust (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 the
Sub-Advisers' 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, the Funds' 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 Funds; 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 Funds' 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 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
the Sub-Advisers 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 the advisory fees that SIMC and the Sub-Advisers charge the Funds
compared with the fees each charge to comparable mutual funds; (f) the Funds'
overall fees and operating expenses compared with similar mutual funds; (g) the
level of SIMC's and the Sub-Advisers' profitability from their 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) the Funds'
performance compared with similar mutual funds.
At the March 9, 2006 meeting of the Board of Trustees, the Trustees, including a
majority of the Independent Trustees, approved the Investment Advisory
Agreements and approved the selection of SIMC and the Sub-Advisers to act in
their respective capacities for the Funds. The Board's approval was based on its
consideration and evaluation of a variety of specific factors discussed at the
meetings and at prior meetings, including:
othe 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;
othe Funds' investment performance and how it compared to that of other
comparable mutual funds;
othe Funds' expenses under each Investment Advisory Agreement and how those
expenses compared to those of other comparable mutual funds;
- --------------------------------------------------------------------------------
54 SEI Daily Income Trust / Annual Report / January 31, 2007
othe profitability of SIMC and the Sub-Advisers and their affiliates with
respect to the Funds, including both direct and indirect benefits accruing
to SIMC and the Sub-Advisers and their affiliates; and
othe 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 the Funds' performance relative to their peer groups and
appropriate indices/benchmarks, in light of total return, yield and market
trends. As part of this review, the Trustees considered the composition of each
peer group and selection criteria. In evaluating performance, the Trustees
considered both market risk and shareholder risk expectations for the Funds.
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 the Funds' 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 the Funds' respective peer groups. 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-Adviser and their affiliates, directly
or indirectly. The Trustees considered whether the varied levels of compensation
and profitability under the Investment Advisory Agreements and other service
agreements were reasonable and justified in light of the quality of all services
rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. When
considering the profitability of the Sub-Advisers, the Board took into account
the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds
directly, and such compensation with respect to any Sub-Adviser reflects an
arms-length negotiation between the Sub-Adviser and SIMC. Based on this
evaluation, the Board concluded that, within the context of its full
deliberations, the profitability of SIMC and the Sub-Advisers are 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 the Funds' shareholders through a
graduated investment advisory fee schedule or other means, including any fee
waivers by SIMC and its affiliates. Based on this evaluation, the Board
concluded that, within the context of its full deliberations, the Funds obtain
reasonable benefit from economies of scale.
Based on the Trustees' deliberation and their evaluation of the information
described above, the Board, including all of the Independent Trustees,
unanimously approved the continuation of the Investment Advisory Agreements and
concluded that the compensation under the Investment Advisory Agreements is fair
and reasonable in light of such services and expenses and such other matters as
the Trustees considered to be relevant in the exercise of their reasonable
judgment. In the course of their deliberations, the Trustees did not identify
any particular information that was all-important or controlling.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2007 55
Notice to Shareholders (Unaudited)
FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL
PURPOSES ONLY.
For the fiscal year ended January 31, 2007, each Fund is designating long-term
capital gains, and exempt income with regard to distributions paid during the
year as follows:
(A) (B)
LONG TERM ORDINARY (C)
CAPITAL GAINS INCOME TOTAL U.S. QUALIFIED QUALIFIED
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS GOVERNMENT INTEREST SHORT-TERM
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) INTEREST (1) INCOME (2) CAPITAL GAINS (3)
Money Market Fund 0% 100% 100% 1.37%* 100% 0%
Government Fund 0 100 100 33.51 100 0
Government II Fund 0 100 100 93.10 100 0
Prime Obligation Fund 0 100 100 0.82* 100 0
Treasury Fund 0 100 100 6.61* 100 0
Treasury II Fund 0 100 100 100 100 0
Short-Duration Government Fund 0 100 100 34.16* 99.83 0
Intermediate-Duration
Government Fund 0 100 100 15.67* 96.67 0
GNMA Fund 0 100 100 0 98.71 0
Ultra Short Bond Fund 0 100 100 6.11* 98.14 0
Items (A), (B) and (C) are based on the percentage of the Fund's total
distribution.
(1) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for
shareholders of the "*" funds who are residents of California, Connecticut
and New York, the statutory threshold requirements were not satisfied to
permit exemption of these amounts from state income.
(2) The percentage in this column represents the amount of "Qualifying
Interest Income" as created by the American Jobs Creation Act of 2004 and
is a percentage of ordinary distributions that is exempt from U.S.
withholding tax when paid to foreign investors.
(3) The percentage in this column represents the amount of "Qualifying
Short-Term Capital Gain" as created by the American Jobs Creation Act of
2004 and is reflected as a percentage of short-term capital gain
distributions that is exempt from U.S. withholding tax when paid to
foreign investors.
Please consult your tax adviser for proper treatment of this information.
- --------------------------------------------------------------------------------
56 SEI Daily Income Trust / Annual Report / January 31, 2007
Notes
Notes
Notes
Notes
SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2007
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
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]
SEI New ways.
New answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-022 (1/07)
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, comptroller or
principal accounting officer, and any person who performs a similar function.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) The registrant's board of trustees has determined that the registrant has
at least one audit committee financial expert serving on the audit committee.
(a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr.
Sullivan is an independent as defined in Form N-CSR Item 3 (a) (2).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Fees billed by KPMG LLP ("KPMG") related to the Trust.
KPMG billed the Trust aggregate fees for services rendered to the Trust for the
fiscal years 2007 and 2006 as follows:
- ------------------------------------------------------------------------------------------------------------------------------
FISCAL 2007 FISCAL 2006
- ------------------------------------------------------------------------------------------------------------------------------
All fees and All fees and All other fees All fees and All fees and All other fees
services to the services to and services to services to the services to and services to
Trust that were service service Trust that were service service
pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that
were pre- did not require were pre- did not require
approved pre-approval approved pre-approval
- ------------------------------------------------------------------------------------------------------------------------------
(a) Audit $169,000 N/A $0 $168,700 N/A $0
Fees(1)
- ------------------------------------------------------------------------------------------------------------------------------
(b) Audit- $0 $0 $0 $0 $0 $0
Related
Fees
- ------------------------------------------------------------------------------------------------------------------------------
(c) Tax $0 $0 $0 $0 $0 $0
Fees
- ------------------------------------------------------------------------------------------------------------------------------
(d) All $0 $227,500 $10,130 $0 $0 $231,000
Other
Fees
- ------------------------------------------------------------------------------------------------------------------------------
Notes:
(1) Audit fees include amounts related to the audit of the registrant's
annual financial statements and services normally provided by the
accountant in connection with statutory and regulatory filings.
(e)(1) The trust's Audit Committee has adopted and the Board of Trustees has
ratified an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"),
which sets forth the procedures and the conditions pursuant to which services
proposed to be performed by the independent auditor of the Funds may be
pre-approved.
The Policy provides that all requests or applications for proposed services to
be provided by the independent auditor must be submitted to the Registrant's
Chief Financial Officer ("CFO") and must include a detailed description of the
services proposed to be rendered. The CFO will determine whether such services:
(1) require specific pre-approval; (2) are included within the list of services
that have received the general pre-approval of the Audit Committee pursuant to
the Policy; or (3) have been previously pre-approved in connection with the
independent auditor's annual engagement letter for the applicable year or
otherwise. In any instance where services require pre-approval, the Audit
Committee will consider whether such services are consistent with SEC's rules
and whether the provision of such services would impair the auditor's
independence.
Requests or applications to provide services that require specific pre-approval
by the Audit Committee will be submitted to the Audit Committee by the CFO. The
Audit Committee will be informed by the CFO on a quarterly basis of all services
rendered by the independent auditor. The Audit Committee has delegated specific
pre-approval authority to either the Audit Committee Chair or financial expert,
provided that the estimated fee for any such proposed pre-approved service does
not exceed $100,000 and any pre-approval decisions are reported to the Audit
Committee at its next regularly scheduled meeting.
Services that have received the general pre-approval of the Audit Committee are
identified and described in the Policy. In addition, the Policy sets forth a
maximum fee per engagement with respect to each identified service that has
received general pre-approval.
All services to be provided by the independent auditor shall be provided
pursuant to a signed written engagement letter with the Registrant, the
investment advisor or applicable control affiliate (except that matters as to
which an engagement letter would be impractical because of timing issues or
because the matter is small may not be the subject of an engagement letter) that
sets forth both the services to be provided by the independent auditor and the
total fees to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on
an annual basis to meet its responsibility to oversee the work of the
independent auditor and to assure the auditor's independence from the
Registrant, such as reviewing a formal written statement from the independent
auditor delineating all relationships between the independent auditor and the
Registrant, and discussing with the independent auditor its methods and
procedures for ensuring independence.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to
waiver of pre-approval requirement were as follows:
------------------------------------------------------------
FISCAL 2007 FISCAL 2006
------------------------------------------------------------
Audit-Related Fees 0% 0%
------------------------------------------------------------
Tax Fees 0% 0%
------------------------------------------------------------
All Other Fees 0% 0%
------------------------------------------------------------
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the
fiscal years 2007 and 2006 were $237,630 and $231,000, respectively. Non-audit
fees consist of SAS No. 70 review of fund accounting and administration
operations, attestation report in accordance with Rule 17Ad-13, agreed upon
procedures report over certain internal controls related to compliance with
federal securities laws and regulations and tax consulting services for various
service affiliates of the registrant.
(h) During the past fiscal year, Registrant's principal accountant
provided certain non-audit services to Registrant's investment adviser or to
entities controlling, controlled by, or under common control with Registrant's
investment adviser that provide ongoing services to Registrant that were not
subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X. The audit committee of Registrant's Board of Trustees reviewed
and considered these non-audit services provided by Registrant's principal
accountant to Registrant's affiliates, including whether the provision of these
non-audit services is compatible with maintaining the principal accountant's
independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not Applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not Applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not Applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June
18th 2004, the Committee will review all shareholder recommendations for
nominations to fill vacancies on the Board if such recommendations are submitted
in writing and addressed to the Committee at the Trust's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, the certifying
officers have concluded that the registrant's disclosure controls and procedures
are adequately designed, and are operating effectively to ensure, that
information required to be disclosed by the registrant in the reports it files
or submits under the Securities Exchange Act of 1934 is recorded, processed,
summarized and reported within the time periods specified in the Securities and
Exchange Commission's rules and forms.
(b) There were no significant changes in the registrant's internal control over
financial reporting that occurred during the registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the registrant's internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Daily Income Trust
By (Signature and Title)* /s/ Robert A. Nesher
---------------------------------
Robert A. Nesher, Chief Executive Officer
Date: April 9, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Robert A. Nesher
---------------------------------
Robert A. Nesher, Chief Executive Officer
Date: April 9, 2007
By (Signature and Title)* /s/ Stephen F. Panner
---------------------------------
Stephen F. Panner, Controller & CFO
Date: April 9, 2007
* Print the name and title of each signing officer under his or her signature.