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, 2008
DATE OF REPORTING PERIOD: JANUARY 31, 2008
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, 2008
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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
Management's Discussion and Analysis of Fund Performance 1
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Schedules of Investments 7
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Statements of Assets and Liabilities 30
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Statements of Operations 32
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Statements of Changes in Net Assets 34
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Financial Highlights 38
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Notes to Financial Statements 43
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Report of Independent Registered Public Accounting Firm 52
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Trustees and Officers of the Trust 53
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Disclosure of Fund Expenses 56
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Board of Trustees Considerations in Approving the Continuation
of the Funds' Advisory and Sub-Advisory Agreements 58
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Notice to Shareholders 60
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The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q
are available on the Commission's 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.
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2008
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 market in fiscal year 2007 was devastated by the
sub-prime/liquidity crisis that occurred in the second half of the year. Every
major fixed income asset class, but especially those associated with real estate
structured sectors, Mortgage-backed securities (MBS), Asset-backed securities
(ABS), and Commercial Mortgage-backed securities (CMBS) were severely pummeled
as investors went on a buyers strike and refused to purchase anything even
remotely associated with mortgage loans. Spreads gapped to historic levels and
duration adjusted performance of these sectors lagged the risk adverse Treasury
sector.
The housing credit crunch continued to spread to other parts of the market,
leading to increased volatility and higher uncertainty surrounding the overall
economy. Interest rates plunged as the Federal Reserve acknowledged the
potentially destructive and contagious effects of the housing meltdown, and
flooded the market with various forms of liquidity, including 225 basis points
of cuts in the Fed Funds rate and 275 basis points of cuts in the discount rate.
Treasury yields closed the year significantly lower and the yield curve
steepened as the market priced in additional cuts in the Fed Funds rate. Agency
mortgage-backed securities (GNMA, FNMA and Freddie Mac) underperformed
Treasuries by nearly 200 basis points due to higher interest rate volatility.
These liquid high quality (AAA rated ) securities suffered due to forced selling
by levered investors as they scrambled to sell their most liquid securities to
meet margin calls.
Analysis
For the fiscal year ended January 31, 2008, the Short-Duration Government Fund,
Class A posted a 7.65% return compared to a 8.94% return for its benchmark, the
Merrill Lynch 1-3 Year U.S. Treasury Bond Index. The lag was primarily due to
its investment in AAA rated U.S. Agency mortgage-backed securities. The
benchmark for the Fund is composed of 100% Treasuries, and any investment other
than U.S. Treasuries detracted from relative performance. The Fund's interest
rate strategy modestly detracted as the Fund had a larger than benchmark
exposure to shorter maturities.
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 7.65% 4.45% 3.16% 4.50% 5.66%
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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, U.S. Treasury
Class A Bond Index
1/31/98 10,000 10,000
1/31/99 10,649 10,639
1/31/00 10,885 10,918
1/31/01 11,880 11,943
1/31/02 12,626 12,800
1/31/03 13,294 13,508
1/31/04 13,500 13,795
1/31/05 13,630 13,887
1/31/06 13,893 14,147
1/31/07 14,427 14,714
1/31/08 15,530 16,029
1 For the period ended January 31, 2008. 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, 2008 1
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2008
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 market in fiscal year 2007 was devastated by the
sub-prime/liquidity crisis that occurred in the second half of the year. Every
major fixed income asset class, but especially those associated with real estate
structured sectors, Mortgage-backed securities (MBS), Asset-backed securities
(ABS), and Commercial Mortgage-backed securities (CMBS) were severely pummeled
as investors went on a buyers strike and refused to purchase anything even
remotely associated with mortgage loans. Spreads gapped to historic levels and
duration adjusted performance of these sectors lagged the risk adverse Treasury
sector.
The housing credit crunch continued to spread to other parts of the market,
leading to increased volatility and higher uncertainty surrounding the overall
economy. Interest rates plunged as the Federal Reserve acknowledged the
potentially destructive and contagious effects of the housing meltdown, and
flooded the market with various forms of liquidity, including 225 basis points
of cuts in the Fed Funds rate and 275 basis points of cuts in the discount rate.
Treasury yields closed the year significantly lower and the yield curve
steepened as the market priced in additional cuts in the Fed Funds rate. Agency
mortgage-backed securities (GNMA, FNMA and Freddie Mac) underperformed
Treasuries by nearly 200 basis points due to higher interest rate volatility.
These liquid high quality (AAA rated) securities suffered due to forced selling
by levered investors as they scrambled to sell their most liquid securities to
meet margin calls.
Analysis
For the fiscal year ended January 31, 2008, the Intermediate-Duration Government
Fund, Class A posted a return of 10.97% versus the 13.02% return of its
benchmark, the Merrill Lynch 3-5 Year U.S. Treasury Bond Index. The lag was
primarily due to its investment in AAA rated U.S. Agency mortgage-backed
securities. The benchmark for the Fund is composed of 100% Treasuries, and any
investment other than U.S. Treasuries detracted from relative performance. The
Fund's interest rate strategy modestly detracted as the Fund had a larger than
benchmark exposure to shorter maturities.
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 10.97% 5.10% 4.02% 5.50% 6.49%
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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, U.S. Treasury
Class A Bond Index
1/31/98 $10,000 $10,000
1/31/99 10,746 10,803
1/31/00 10,663 10,687
1/31/01 11,988 12,059
1/31/02 12,850 12,976
1/31/03 14,021 14,328
1/31/04 14,439 14,833
1/31/05 14,706 15,052
1/31/06 14,845 15,180
1/31/07 15,385 15,730
1/31/08 17,073 17,778
1 For the period ended January 31, 2008. 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, 2008
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 market in fiscal year 2007 was devastated by the
sub-prime/liquidity crisis that occurred in the second half of the year. Every
major fixed income asset class, but especially those associated with real estate
structured sectors, Mortgage-backed securities (MBS), Asset-backed securities
(ABS), and Commercial Mortgage-backed securities (CMBS) were severely pummeled
as investors went on a buyers strike and refused to purchase anything even
remotely associated with mortgage loans. Spreads gapped to historic levels and
duration adjusted performance of these sectors lagged the risk adverse Treasury
sector.
The housing credit crunch continued to spread to other parts of the market,
leading to increased volatility and higher uncertainty surrounding the overall
economy. Interest rates plunged as the Federal Reserve acknowledged the
potentially destructive and contagious effects of the housing meltdown, and
flooded the market with various forms of liquidity, including 225 basis points
of cuts in the Fed Funds rate and 275 basis points of cuts in the discount rate.
Treasury yields closed the year significantly lower and the yield curve
steepened as the market priced in additional cuts in the Fed Funds rate. GNMA
securities underperformed Treasuries by nearly 200 basis points due to higher
interest rate volatility. These liquid high quality (AAA rated) securities
suffered due to forced selling by levered investors as they scrambled to sell
their most liquid securities to meet margin calls.
Analysis
For the fiscal year ended January 31, 2008, the GNMA Fund, Class A posted a
8.31% return versus the 8.82% return of its benchmark, the Citigroup 30 Year
GNMA Index. The Fund's interest rate strategy positioning modestly added to
return. Security selection, specifically the use of agency collateralized
mortgage obligations, detracted from performance as the price of these
securities trailed that of GNMA pass though securities.
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 8.31% 4.82% 4.05% 5.36% 6.80%
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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, Citigroup 30 Year
Class A GNMA Index
1/31/98 $10,000 $10,000
1/31/99 10,676 10,668
1/31/00 10,550 10,720
1/31/01 11,968 12,214
1/31/02 12,832 13,150
1/31/03 13,824 14,185
1/31/04 14,123 14,628
1/31/05 14,637 15,245
1/31/06 15,017 15,709
1/31/07 15,565 16,334
1/31/08 16,859 17,775
1 For the period ended January 31, 2008. 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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SEI Daily Income Trust / Annual Report / January 31, 2008 3
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2008
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 U.S.
Treasury Index and to manage risk through the adviser's use of sector
strategies, security selection and duration management. In determining the
average maturity and duration position of the Fund, the adviser considers the
shape of the yield curve, the extent of yield changes and the period of time
over which rates are likely to rise, fall or remain stable. Investment in short
average life mortgage-backed issues and short-term investment grade securities
is emphasized when relative spreads are attractive and incremental yields serve
to enhance total return.
Market Overview
The fixed income market in fiscal year 2007 was devastated by the
sub-prime/liquidity crisis that occurred in the second half of the year. Every
major fixed income asset class, but especially those associated with real estate
structured sectors, Mortgage-backed securities (MBS), Asset-backed securities
(ABS), and Commercial Mortgage-backed securities (CMBS) were severely pummeled
as investors went on a buyers strike and refused to purchase anything even
remotely associated with mortgage loans. Spreads gapped to historic levels and
duration adjusted performance of these sectors lagged the risk adverse Treasury
sector by 8.0 to 9.0%, with some subsectors, like home equity asset backed
securities underperforming by 23.0%.
The rating agencies added to the negative mix by downgrading or watch-listing
thousands of structured deals. Valuations plummeted regardless of quality or
structure, causing severe mark to markets that forced hedge fund and other
levered investors to sell high quality assets (i.e. AAA rated) to meet margin
calls and enhance their liquidity. Financial institutions cautiously protected
their own balance sheets and balked at providing liquidity to their peers and
others. Short-term markets effectively ceased functioning causing Libor rates
(the rate at which financial institutions lend to each other) to skyrocket in
early September to 5.73% before gradually returning to 3.12% by fiscal year end.
Market uncertainty was also fueled by an increase in downgrade risk as the
rating agencies executed large scale rating revisions. Interest rates plunged as
the Federal Reserve acknowledged the potentially destructive and contagious
effects of the housing and liquidity crisis, flooded the market with various
forms of liquidity, including 225 basis points of cuts in the Fed Funds rate and
275 basis points of cuts in the discount rate.
Analysis
For the fiscal year ended January 31, 2008, the Ultra Short Bond Fund, Class A
returned 2.06% versus the 6.77% return of its benchmark, the Lehman Brothers
9-12 Month Treasury Index. The approximately 3.00% decline in short-term
interest rates was a positive for the short end of the U.S. Treasury market.
However, investors unprecedented fear of any investment that was not a Treasury
security caused returns of the other sectors of the bond market (Corporates,
Mortgage-backed securities, Asset-backed securities) to lag. The Fund's
allocation to the non-Treasury sectors (benchmark is composed of 100%
Treasuries), especially U.S. Agency and non-Agency hybrid mortgages, commercial
mortgage-backed securities, corporate debt and asset-backed securities detracted
from relative results. The Fund's duration and yield curve positioning had a
positive impact on performance.
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4 SEI Daily Income Trust / Annual Report / January 31, 2008
Ultra Short Bond Fund (Concluded)
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 2.06% 3.27% 2.50% 3.96% 4.42%
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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 Lehman Brothers
Bond Fund, 9-12 Month
Class A Treasury Index
1/31/98 $10,000 $10,000
1/31/99 10,561 10,579
1/31/00 10,959 11,040
1/31/01 11,885 11,875
1/31/02 12,608 12,530
1/31/03 13,030 12,900
1/31/04 13,240 13,091
1/31/05 13,387 13,210
1/31/06 13,775 13,561
1/31/07 14,447 14,173
1/31/08 14,745 15,133
1 For the period ended January 31, 2008. 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, 2008 5
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, 2008
SCHEDULE OF INVESTMENTS
Money Market Fund
January 31, 2008
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SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
41.1% Commercial Paper
23.4% Repurchase Agreements
16.4% Corporate Obligations
10.0% Certificates of Deposit
6.7% Insurance Funding Agreements
1.8% Mortgage-Backed Security
0.6% Municipal Bond
+Percentages are based on total investments.
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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COMMERCIAL PAPER (A) (E) (F) -- 41.1%
Cancara Asset Securitization LLC
4.150%, 02/20/08 $ 35,000 $ 34,923
Ciesco LLC
5.050%, 02/04/08 25,000 24,988
Corporate Asset Funding LLC
3.300%, 04/28/08 35,000 34,721
Curzon Funding LLC
4.000%, 04/15/08 37,000 36,696
FCAR Owner Trust II
4.650%, 04/15/08 15,000 14,857
Galaxy Funding
4.580%, 04/09/08 25,000 24,784
General Electric Capital
4.300%, 04/14/08 10,000 9,913
Grampian Funding LLC
4.600%, 03/31/08 10,000 9,925
Lake Constance Funding LLC
4.010%, 04/22/08 20,000 19,820
Lexington Parker Capital
4.150%, 03/14/08 35,000 34,830
4.050%, 04/22/08 10,000 9,909
New Center Asset Trust
4.300%, 04/10/08 25,000 24,794
4.050%, 04/25/08 10,000 9,905
Rams Funding II LLC (G)
4.153%, 02/11/08 20,603 20,603
Scaldis Capital LLC
4.200%, 04/11/08 25,000 24,796
Solitaire Funding LLC
4.320%, 04/11/08 15,000 14,874
Surrey Funding
3.400%, 04/25/08 35,000 34,722
Victory Receivables
3.950%, 03/18/08 10,000 9,949
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Total Commercial Paper
(Cost $395,009) ($ Thousands) 395,009
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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CORPORATE OBLIGATIONS -- 16.4%
Asscher Finance MTN (A) (I) (J)
5.500%, 07/16/08 $ 9,507 $ 9,509
BNP Paribas MTN (B)
4.981%, 12/16/08 9,000 9,000
Banque Federative du Credit
Mutuel (A) (B)
4.329%, 09/13/08 2,000 2,000
Cheyne Finance LLC MTN
(A) (D) (G) (I) (J)
3.065%, 06/09/08 10,000 8,600
3.063%, 03/25/08 10,000 8,600
Cullinan Finance MTN (A) (B) (I) (J)
3.070%, 03/25/08 27,500 27,463
Irish Life & Permanent PLC (A) (B)
3.964%, 02/20/09 14,000 14,000
Natixis (A) (B)
3.086%, 09/08/08 35,000 35,000
Northern Rock PLC (A) (B)
3.179%, 09/04/08 10,000 10,000
Sigma Finance MTN (A) (B) (G) (I) (J)
3.135%, 04/10/08 8,800 8,770
Westpac Banking MTN (A) (B)
5.103%, 07/11/08 25,000 25,000
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Total Corporate Obligations
(Cost $160,803) ($ Thousands) 157,942
-------------
CERTIFICATES OF DEPOSIT -- 10.0%
Bank of Scotland PLC
3.300%, 04/29/08 40,000 40,000
Bank of Tokyo-Mitsubishi
4.625%, 04/07/08 30,000 30,000
UBS
5.455%, 02/19/08 26,000 26,000
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Total Certificates of Deposit
(Cost $96,000) ($ Thousands) 96,000
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INSURANCE FUNDING AGREEMENTS (B) (G) (H) -- 6.7%
Metropolitan Life Insurance
4.417%, 01/15/09 30,000 30,000
Monumental Life Insurance
5.280%, 07/29/08 9,500 9,500
Morgan Stanley Asset Funding
3.575%, 12/05/08 25,000 25,000
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Total Insurance Funding Agreements
(Cost $64,500) ($ Thousands) 64,500
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SEI Daily Income Trust / Annual Report / January 31, 2008 7
SCHEDULE OF INVESTMENTS
Money Market Fund (Concluded)
January 31, 2008
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Face Amount Value
Description ($ Thousands) ($ Thousands)
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MORTGAGE-BACKED SECURITY (A) (B) -- 1.9%
Paragon Mortgages PLC, Ser 13A,
Cl A1
5.101%, 11/15/39 $ 17,679 $ 17,679
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Total Mortgage-Backed Security
(Cost $17,679) ($ Thousands) 17,679
-------------
MUNICIPAL BOND -- 0.5%
TEXAS -- 0.5%
Texas State, Ser D, GO (B)
3.200%, 06/01/26 5,270 5,270
-------------
Total Municipal Bond
(Cost $5,270) ($ Thousands) 5,270
-------------
CAPITAL SUPPORT AGREEMENT (J) -- 0.0%
SEI Capital Support Agreement
(Cost $0) -- --
-------------
REPURCHASE AGREEMENTS (C) -- 23.4%
Barclays Capital
2.900%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $24,001,933
(collateralized by FNMA obligation,
par value $24,798,000, 0.000%,
07/21/08, with total market value
$24,480,586) 24,000 24,000
Deutsche Bank
2.850%, dated 01/31/08,
to be repurchased on 02/01/08,
repurchase price $176,367,961
(collateralized by various
FNMA/FHLB obligations,
ranging in par value $9,000-
$60,855,000, 0.000%-5.925%,
03/10/08-07/15/27, with
total market value $179,881,633) 176,354 176,354
Lehman Brothers
2.800%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $24,000,841
(collateralized by a U.S. Government
Obligation, par value $68,900,000,
8.625%, 01/15/30, with total
market value $24,480,859) 24,000 24,000
-------------
Total Repurchase Agreements
(Cost $224,354) ($ Thousands) 224,354
-------------
Total Investments -- 100.0%
(Cost $963,615) ($ Thousands) $ 960,754
=============
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Description
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Percentages are based on Net Assets of $960,664 ($ Thousands).
(A) 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.
(B) Floating Rate Instrument. The rate reflected on the Statement of
Investments is the rate in effect on January 31, 2008. The demand and
interest rate reset features give this security a shorter effective
maturity date.
(C) Tri-Party Repurchase Agreement.
(D) On October 17, 2007, due to deterioration in the market value of the
assets of Cheyne Finance LLC ("Cheyne"), provisions in the organizational
documents of Cheyne were triggered that caused the notes issued by Cheyne
to become immediately due and payable. Since no payments have been
received, the Cheyne notes are in default.
(E) The rate reported is the effective yield at time of purchase.
(F) Securities are held in connection with a letter of credit issued by a
major bank.
(G) Securities considered illiquid. The total value of such securities as of
January 31, 2008 was $111,072 ($ Thousands) and represented 11.56% of Net
Assets.
(H) Securities considered restricted. The total value of such securities as of
January 31, 2008 was $64,500 ($ Thousands) and represented 6.71% of Net
Assets.
(I) The value shown is the fair value as of January 31, 2008. Please refer to
Note 10 for the amortized cost value as of January 31, 2008.
(J) The Fund has entered into a Capital Support Agreement ("agreement") with
SEI Investments Company ("SEI") which provides that SEI will contribute
capital to the Fund, up to a specified maximum amount, in the event that
the Fund realizes a loss on any of these securities and such realized loss
causes the Fund's net asset value as calculated using fair values to drop
below $0.9950. As of January 31, 2008, the fair value of the agreement was
$0.
Cl -- Class
FHLB -- Federal Home Loan Bank
FNMA -- Federal National Mortgage Association
GO -- General Obligation
LLC -- Limited Liability Company
MTN -- Medium Term Note
PLC -- Public Limited Company
Ser -- Series
Amounts designated as "--" are $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
8 SEI Daily Income Trust / Annual Report / January 31, 2008
Government Fund
January 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
57.5% U.S. Government Agency Obligations
42.5% Repurchase Agreements
+Percentages are based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 57.4%
FFCB (A)
2.970%, 11/24/08 $ 10,000 $ 9,998
3.004%, 09/03/09 55,000 55,004
FFCB, Ser 1 (A)
3.778%, 02/23/09 13,000 13,000
FHLB (A)
2.980%, 02/14/08 10,000 10,000
4.775%, 08/15/08 60,000 60,021
3.091%, 10/30/08 45,000 44,997
2.970%, 12/08/08 40,000 39,992
4.767%, 02/11/09 45,000 45,028
4.785%, 02/18/09 110,000 110,030
4.875%, 02/23/09 20,000 20,000
4.984%, 03/02/09 50,000 50,000
4.991%, 03/04/09 30,000 30,038
4.466%, 04/07/09 50,000 50,000
4.769%, 05/20/09 10,000 10,000
FHLB
3.505%, 08/14/08 1,000 991
FHLB, Ser 1 (A)
4.521%, 04/04/08 30,000 29,998
FHLB, Ser 1
5.250%, 06/19/08 15,000 14,996
FHLMC MTN
3.500%, 03/12/08 1,000 1,000
3.600%, 04/16/08 1,000 996
3.050%, 06/04/08 1,000 994
FNMA (A)
3.171%, 07/28/09 75,000 74,967
FNMA DN (C)
4.311%, 03/19/08 125,000 124,304
2.737%, 07/23/08 14,532 14,343
-------------
Total U.S. Government Agency Obligations
(Cost $810,697) ($ Thousands) 810,697
-------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (B) -- 42.5%
Barclays Capital
2.900%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $217,017,481
(collateralized by various
FNMA obligations, ranging
in par value $33,093,000-
$104,202,000, 4.875%-5.000%,
09/15/08-05/21/13, with total
market value $221,340,249) $ 217,000 $ 217,000
Deutsche Bank
2.850%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $165,370,091
(collateralized by various
FHLB/FHLMC/FNMA obligations,
ranging in par value $1,242,000-
$59,780,000, 0.000%-5.700%,
02/13/08-04/08/19, with total
market value $168,666,737) 165,357 165,357
Lehman Brothers
2.800%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $217,000,347
(collateralized by a U.S. Government
Obligation, par value $622,950,000,
8.625%, 01/15/30, with total
market value $221,340,360) 217,000 217,000
-------------
Total Repurchase Agreements
(Cost $599,357) ($ Thousands) 599,357
-------------
Total Investments -- 99.9%
(Cost $1,410,054) ($ Thousands) $ 1,410,054
=============
Percentages are based on Net Assets of $1,411,682 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Statement of
Investments is the rate in effect on January 31, 2008. The demand and
interest rate reset features give this security a shorter effective
maturity date.
(B) Tri-Party Repurchase Agreement.
(C) The rate reported is the effective yield at time of purchase.
DN -- Discount Note
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 9
SCHEDULE OF INVESTMENTS
Government II Fund
January 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
100.0% U.S. Government Agency Obligations
+Percentages are based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 103.2%
FFCB (A)
2.980%, 03/10/08 $ 30,000 $ 29,999
3.809%, 03/19/08 5,000 5,000
2.960%, 04/23/08 to 02/11/09 78,000 77,996
4.184%, 06/13/08 10,000 10,000
3.151%, 06/30/08 25,000 24,999
3.849%, 07/18/08 18,050 18,048
2.970%, 11/24/08 40,000 39,994
FFCB, Ser 1 (A)
3.145%, 04/28/08 5,000 5,000
FHLB (A)
2.980%, 02/14/08 10,000 10,000
3.625%, 02/15/08 5,500 5,498
4.766%, 03/20/08 1,000 1,000
4.000%, 03/24/08 1,000 1,001
4.569%, 04/01/08 3,250 3,258
4.796%, 06/18/08 15,000 14,998
4.775%, 08/15/08 20,000 20,007
3.905%, 10/16/08 40,000 39,994
3.091%, 10/30/08 25,000 24,998
2.970%, 12/08/08 20,000 19,996
3.161%, 01/23/09 15,000 15,000
2.976%, 02/11/09 10,000 10,000
4.785%, 02/18/09 50,000 50,003
4.991%, 03/04/09 10,000 10,013
4.769%, 05/20/09 5,000 5,000
4.795%, 05/27/09 10,000 10,003
4.871%, 06/01/09 10,000 10,004
4.511%, 07/07/09 25,000 25,000
4.330%, 07/10/09 25,000 24,998
3.111%, 08/05/09 125,000 124,998
4.283%, 01/11/10 10,000 10,014
FHLB
5.125%, 02/21/08 to 04/16/08 8,565 8,572
4.125%, 04/18/08 1,000 1,002
4.000%, 05/15/08 1,250 1,253
4.650%, 11/28/08 5,000 5,000
FHLB, Ser 1 (A)
4.164%, 03/14/08 25,000 24,999
4.569%, 04/02/08 25,000 24,998
5.250%, 06/19/08 15,000 14,996
4.791%, 09/19/08 25,000 24,996
3.558%, 10/24/08 50,000 49,989
FHLB, Ser 642
5.100%, 03/06/08 18,000 18,018
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLB DN (B)
4.640%, 02/01/08 $ 246,640 $ 246,640
4.229%, 02/08/08 10,000 9,992
4.322%, 02/13/08 75,000 74,896
4.388%, 02/15/08 84,871 84,728
3.008%, 02/22/08 75,000 74,870
4.282%, 02/29/08 20,000 19,934
4.317%, 03/19/08 10,000 9,944
3.986%, 03/26/08 10,000 9,941
2.954%, 03/28/08 98,610 98,161
3.949%, 04/09/08 35,000 34,742
3.653%, 04/16/08 25,000 24,811
3.674%, 04/18/08 25,000 24,805
2.920%, 04/25/08 26,537 26,357
4.216%, 05/16/08 38,829 38,361
-------------
Total U.S. Government Agency Obligations
(Cost $1,598,824) ($ Thousands) 1,598,824
-------------
Total Investments -- 103.2%
(Cost $1,598,824) ($ Thousands) $ 1,598,824
=============
Percentages are based on Net Assets of $1,548,799 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Statement of
Investments is the rate in effect on January 31, 2008. The demand and
interest rate reset features give this security a shorter effective
maturity date.
(B) The rate reported is the effective yield at time of purchase.
DN -- Discount Note
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
10 SEI Daily Income Trust / Annual Report / January 31, 2008
Prime Obligation Fund
January 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
65.5% Commercial Paper
14.6% Repurchase Agreements
12.3% Corporate Obligations
6.7% Insurance Funding Agreements
0.6% Capital Support Agreement
0.3% Municipal Bond
+Percentages are based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (A) (G) (H) -- 65.6%
Amstel Funding
3.400%, 03/27/08 $ 4,084 $ 4,063
3.300%, 04/17/08 71,889 71,388
3.350%, 05/02/08 70,000 69,411
Atlantis One Funding
3.250%, 03/31/08 200,000 198,935
Ciesco LLC
5.050%, 02/04/08 25,000 24,988
Citigroup Funding
4.890%, 02/14/08 156,000 155,724
Clipper Receivables LLC
3.420%, 03/14/08 107,000 106,573
Concord Minutemen Capital LLC
3.500%, 04/01/08 69,500 69,095
3.450%, 04/17/08 80,087 79,504
Corporate Asset Funding LLC
3.300%, 04/28/08 200,000 198,405
Crown Point Capital LLC
3.500%, 04/01/08 69,200 68,796
Curzon Funding LLC
4.000%, 04/15/08 7,750 7,686
3.350%, 04/23/08 75,000 74,428
3.370%, 05/06/08 60,000 59,466
FCAR Owner Trust II
5.900%, 03/17/08 103,000 102,240
4.650%, 04/15/08 103,500 102,537
4.400%, 04/15/08 18,000 17,837
Galaxy Funding
4.580%, 04/09/08 122,500 121,440
Gemini Securitization LLC
5.300%, 03/06/08 75,000 74,625
General Electric Capital
4.300%, 04/14/08 100,000 99,128
Grampian Funding LLC
4.600%, 03/31/08 142,500 141,586
4.450%, 04/08/08 100,000 99,172
Lake Constance Funding LLC
4.585%, 04/10/08 75,000 74,341
4.010%, 04/22/08 145,000 143,692
Lexington Parker Capital
5.200%, 02/20/08 150,000 149,588
3.450%, 04/11/08 75,000 74,497
4.050%, 04/22/08 30,000 29,727
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Liberty Lighthouse Funding
5.650%, 04/24/08 $ 100,806 $ 99,493
Monument Gardens Funding LLC
4.600%, 04/18/08 35,000 34,656
New Center Asset Trust
4.300%, 04/10/08 109,550 108,647
3.430%, 05/02/08 30,000 29,740
Scaldis Capital LLC
4.200%, 04/11/08 147,000 145,799
3.350%, 04/15/08 18,000 17,876
Solitaire Funding LLC
4.320%, 04/11/08 45,000 44,622
3.350%, 04/23/08 60,000 59,542
Surrey Funding
3.400%, 04/25/08 144,000 142,858
Versailles LLC
4.950%, 02/04/08 150,000 149,938
Victory Receivables
3.300%, 04/17/08 24,269 24,100
-------------
Total Commercial Paper
(Cost $3,276,143) ($ Thousands) 3,276,143
-------------
CORPORATE OBLIGATIONS-- 12.3%
Asscher Finance MTN (A) (D) (K)
5.500%, 07/16/08 40,095 40,105
Carrera Capital Finance LLC MTN
(A) (B) (D) (I) (K)
3.236%, 07/30/08 50,000 49,627
Cheyne Finance LLC MTN
(A) (D) (E) (I) (K)
4.825%, 10/25/07 50,000 43,000
3.063%, 03/25/08 77,000 66,220
4.815%, 01/25/08 125,000 107,500
Cullinan Finance MTN (A) (B) (D) (K)
3.070%, 03/25/08 75,000 74,898
JPMorgan Chase MTN (B)
4.351%, 09/11/08 61,000 61,000
Kestrel Funding MTN (A) (B) (D) (I) (K)
3.070%, 03/27/08 100,000 99,953
Stanfield Victoria Funding LLC MTN
(A) (D) (F) (I) (K)
3.070%, 03/20/08 80,000 71,200
-------------
Total Corporate Obligations
(Cost $658,062) ($ Thousands) 613,503
-------------
INSURANCE FUNDING AGREEMENTS (B) (I) (J) -- 6.7%
Metropolitan Life Insurance
4.417%, 01/15/09 160,000 160,000
Monumental Life Insurance
5.280%, 07/29/08 101,500 101,500
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 11
SCHEDULE OF INVESTMENTS
Prime Obligation Fund (Concluded)
January 31, 2008
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Morgan Stanley Asset Funding
3.575%, 12/05/08 $ 75,000 $ 75,000
-------------
Total Insurance Funding Agreements
(Cost $336,500) ($ Thousands) 336,500
-------------
CAPITAL SUPPORT AGREEMENT (D) -- 0.6%
SEI Capital Support Agreement
(Cost $0) 30,079 30,079
-------------
MUNICIPAL BOND -- 0.3%
TEXAS -- 0.3%
Texas State, Veterans Funding I Project,
Ser C, GO (B)
3.200%, 12/01/25 12,700 12,700
-------------
Total Municipal Bond
(Cost $12,700) ($ Thousands) 12,700
-------------
REPURCHASE AGREEMENTS (C) -- 14.6%
Barclays Capital
2.900%, dated 01/31/08, to be
repurchased on 02/01/08,
(collateralized by a FNMA
obligation, par value $6,570,000,
5.250%, 04/18/16, with total
market value $7,140,938) 7,000 7,000
Deutsche Bank
2.850%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $716,651,730
(collateralized by various
FNMA/FHLB obligations,
ranging in par value $5,050,000-
$319,870,000, 0.000%-7.125%,
03/28/08-01/15/30, with total
market value $730,927,877) 716,595 716,595
Lehman Brothers
2.800%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $8,001,441
(collateralized by a U.S. Government
Obligation, par value $22,970,000,
8.625%, 01/15/30, with total
market value $8,161,471) 8,000 8,000
-------------
Total Repurchase Agreements
(Cost $731,595) ($ Thousands) 731,595
-------------
Total Investments -- 100.1%
(Cost $5,015,000) ($ Thousands) $ 5,000,520
=============
- --------------------------------------------------------------------------------
Description
- --------------------------------------------------------------------------------
Percentages are based on Net Assets of $4,995,727 ($ Thousands).
(A) 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.
(B) Floating Rate Instrument. The rate reflected on the Statement of
Investments is the rate in effect on January 31, 2008. The demand and
interest rate reset features give this security a shorter effective
maturity date.
(C) Tri-Party Repurchase Agreement.
(D) The Fund has entered into a Capital Support Agreement ("agreement") with
SEI Investments Company ("SEI") which provides that SEI will contribute
capital to the Fund, up to a specified maximum amount, in the event that
the Fund realizes a loss on any of these securities and such realized loss
causes the Fund's net asset value as calculated using fair values to drop
below $0.9975. As of January 31, 2008, the fair value of the agreement was
$30,079.
(E) On October 17, 2007, due to deterioration in the fair value of the assets
Cheyne Finance LLC ("Cheyne"), provisions in the organizational documents
of Cheyne were triggered that caused the notes issued by Cheyne to become
immediately due and payable. Since no payments have been received, the
Cheyne notes are in default.
(F) On January 18, 2008, due to deterioration in the market value of the
assets Stanfield Victoria Finance, LLC ("Victoria"), provisions in the
organizational documents of Victoria were triggered that caused the notes
issued by Victoria to become immediately due and payable. Since no
payments have been received, the Victoria notes are in default.
(G) The rate reported is the effective yield at time of purchase.
(H) Securities are held in connection with a letter of credit issued by a
major bank.
(I) Securities considered illiquid. The total value of such securities as of
January 31, 2008 was $774,000 ($ Thousands) and represented 15.49% of Net
Assets.
(J) Securities considered restricted. The total value of such securities as of
January 31, 2008 was $336,500 ($ Thousands) and represented 6.74% of Net
Assets.
(K) The value shown is the fair value as of January 31, 2008. Please refer to
Note 10 for the amortized cost value as of January 31, 2008.
FHLB -- Federal Home Loan Bank
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, 2008
Treasury Fund
January 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
100.0% Repurchase Agreements
+Percentages are based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (A) -- 100.2%
Barclays Capital
1.700%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $398,018,794
(collateralized by a U.S.
Treasury Obligation, par value
$350,887,000, 5.375%,
02/15/31, with total market
value $405,960,154) $ 398,000 $ 398,000
BNP Paribas
1.700%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $398,018,794
(collateralized by various U.S.
Treasury Obligations, ranging
in par value $147,383,000-
$164,290,000, 2.000%-8.125%,
01/15/14-08/15/19, with total
market value $405,960,586) 398,000 398,000
Deutsche Bank
1.750%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $387,775,849
(collateralized by various U.S.
Treasury Obligations, ranging
in par value $8,770,000-
$165,802,000, 4.500%-5.375%,
02/15/09-02/15/31, with total
market value $395,512,445) 387,757 387,757
JP Morgan Chase
1.610%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $50,002,989
(collateralized by various U.S.
Treasury Obligations, ranging
in par value $3,967,000-
$40,755,000, 0.000%-3.875%,
01/15/09-04/15/10, with total
market value $51,003,052) 50,000 50,000
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Lehman Brothers
1.650%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $398,001,363
(collateralized by a U.S. Treasury
Obligation, par value $409,855,000,
0.000%, 07/03/08, with total
market value $405,961,391) $ 398,000 $ 398,000
-------------
Total Repurchase Agreements
(Cost $1,631,757) ($ Thousands) 1,631,757
-------------
Total Investments -- 100.2%
(Cost $1,631,757) ($ Thousands) $ 1,631,757
=============
Percentages are based on Net Assets of $1,628,720 ($ 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, 2008 13
SCHEDULE OF INVESTMENTS
Treasury II Fund
January 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
100.0% U.S. Treasury Obligations
+Percentages are based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 99.8%
U.S. Treasury Bills (A)
2.700%, 02/07/08 $ 64,450 $ 64,417
2.702%, 02/14/08 163,000 162,908
2.717%, 02/21/08 75,000 74,900
2.735%, 02/28/08 15,000 14,969
2.716%, 03/06/08 35,000 34,906
1.553%, 03/13/08 45,120 45,040
2.856%, 03/20/08 50,000 49,806
3.187%, 04/03/08 10,000 9,946
3.189%, 04/10/08 10,000 9,939
3.318%, 05/01/08 10,000 9,918
3.200%, 05/22/08 5,000 4,951
3.277%, 06/19/08 15,000 14,809
U.S. Treasury Notes
3.375%, 02/15/08 89,000 89,006
5.500%, 02/15/08 30,000 30,024
4.625%, 02/29/08 8,000 8,010
4.875%, 04/30/08 8,000 8,033
-------------
Total U.S. Treasury Obligations
(Cost $631,582) ($ Thousands) 631,582
-------------
Total Investments -- 99.8%
(Cost $631,582) ($ Thousands) $ 631,582
=============
Percentages are based on Net Assets of $632,802 ($ 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, 2008
Short-Duration Government Fund
January 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
52.5% Mortgage-Backed Securities
29.1% Repurchase Agreements
18.4% U.S. Government Agency Obligations
+Percentages are based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 72.1%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 72.1%
FHLMC (A)
7.295%, 06/01/24 $ 68 $ 69
7.259%, 06/01/24 152 156
7.250%, 09/01/20 12 12
7.174%, 07/01/24 34 35
7.125%, 09/01/18 10 11
7.119%, 06/01/17 51 52
7.094%, 07/01/20 6 6
7.045%, 04/01/22 147 149
7.000%, 07/01/18 to 09/01/18 29 30
6.946%, 03/01/19 27 28
6.925%, 12/01/23 3,631 3,763
6.875%, 07/01/18 16 17
6.854%, 04/01/29 173 177
6.848%, 12/01/23 246 250
6.750%, 02/01/17 to 07/01/18 48 49
6.600%, 04/01/29 79 82
6.564%, 05/01/24 95 97
6.500%, 04/01/16 to 03/01/17 24 24
6.378%, 03/01/19 44 45
6.375%, 06/01/16 to 07/01/16 20 20
6.308%, 05/01/19 43 44
6.250%, 02/01/16 to 11/01/20 18 18
6.166%, 02/01/19 49 50
6.125%, 11/01/18 11 11
6.000%, 01/01/18 to 06/01/21 2,359 2,436
5.935%, 04/01/19 26 26
5.750%, 12/01/16 5 5
5.500%, 01/01/17 9 10
5.250%, 01/01/17 7 8
FHLMC REMIC, Ser 2004-2780, Cl LC
5.000%, 07/15/27 2,000 2,042
FHLMC REMIC, Ser 2004-2826, Cl BK
5.000%, 01/15/18 1,256 1,279
FHLMC REMIC, Ser 2587, Cl ET
3.700%, 07/15/17 975 968
FHLMC REMIC, Ser 2617, Cl UN
4.500%, 08/15/12 314 314
FHLMC REMIC, Ser 2630, Cl KN
2.500%, 04/15/13 765 761
FHLMC REMIC, Ser 2684, Cl GN
3.250%, 05/15/23 412 411
FHLMC REMIC, Ser 2760, Cl PK
4.500%, 10/15/21 720 721
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 $ 576 $ 576
FHLMC REMIC, Ser 2890, Cl PJ
4.500%, 09/15/24 2,072 2,084
FHLMC REMIC, Ser 2975, Cl VT
5.000%, 02/15/11 2,300 2,346
FHLMC REMIC, Ser 3153, Cl FX (A)
4.586%, 05/15/36 837 828
FHLMC REMIC, Ser T-42, Cl A5
7.500%, 02/25/42 1,007 1,090
FNMA (A)
7.113%, 08/01/27 701 712
7.081%, 09/01/24 1,161 1,190
7.078%, 08/01/29 1,103 1,147
7.000%, 06/01/37 300 316
6.947%, 09/01/25 234 243
6.610%, 04/01/09 149 152
6.519%, 05/01/28 1,585 1,617
6.500%, 02/01/38 (TBA) 50,000 51,891
6.490%, 08/01/08 523 523
6.399%, 12/01/29 315 321
6.155%, 12/01/08 766 772
6.150%, 09/01/08 3,037 3,042
6.130%, 10/01/08 139 139
6.064%, 02/01/27 280 283
6.011%, 06/01/09 328 327
5.735%, 01/01/09 1,298 1,322
5.500%, 02/01/38 (TBA) 14,000 14,184
4.990%, 02/01/13 86 88
4.751%, 04/01/13 138 140
FNMA REMIC, Ser 1992-61, Cl FA (A)
4.025%, 10/25/22 233 236
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23 108 112
FNMA REMIC, Ser 1993-5, Cl Z
6.500%, 02/25/23 48 51
FNMA REMIC, Ser 1994-77, Cl FB (A)
4.875%, 04/25/24 23 24
FNMA REMIC, Ser 1995-13, Cl C
6.500%, 10/25/08 31 31
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16 371 389
FNMA REMIC, Ser 2001-53, Cl CA
5.750%, 06/25/31 77 77
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17 2,000 2,068
FNMA REMIC, Ser 2002-53, Cl FK (A)
3.776%, 04/25/32 439 439
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/33 1,456 1,368
FNMA REMIC, Ser 2005-43, Cl EN
5.000%, 05/25/19 2,000 2,032
FNMA REMIC, Ser 2006-39, Cl PB
5.500%, 07/25/29 2,386 2,452
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 15
SCHEDULE OF INVESTMENTS
Short-Duration Government Fund (Concluded)
January 31, 2008
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
FNMA REMIC, Ser 2006-46, Cl PB
5.500%, 07/25/29 $ 469 $ 482
FNMA REMIC, Ser 2006-53, Cl PA
5.500%, 12/25/26 3,278 3,353
FNMA REMIC, Ser 2006-72, Cl FY (A)
3.796%, 08/25/36 4,432 4,388
FNMA REMIC, Ser 2006-76, Cl QF (A)
3.776%, 08/25/36 4,238 4,224
GNMA
7.500%, 01/15/11 to 02/15/11 23 24
6.500%, 04/15/17 to 11/15/36 1,978 2,060
6.000%, 06/15/16 to 09/15/19 1,001 1,034
GNMA REMIC, Ser 2004-41, Cl ED
3.750%, 10/20/26 204 204
GNMA REMIC, Ser 2006-38, Cl XS, IO (A)
3.169%, 09/16/35 318 35
-------------
Total Mortgage-Backed Securities
(Cost $124,043) ($ Thousands) 124,592
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 25.3%
FHLB
5.250%, 02/13/08 30,500 30,524
FHLMC
5.125%, 08/23/10 8,000 8,441
FNMA
5.000%, 03/15/16 4,517 4,811
-------------
Total U.S. Government Agency Obligations
(Cost $43,207) ($ Thousands) 43,776
-------------
REPURCHASE AGREEMENTS (B)-- 40.0%
BNP Paribas
3.000%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $38,703,225
(collateralized by various FNMA/
GNMA obligations, ranging in par
value $9,100,090-$29,566,087,
5.500%, 01/01/38-01/15/38,
with total market value
$39,474,001) 38,700 38,700
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UBS Securities LLC
2.950%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $30,400,695
(collateralized by various FNMA
obligations, ranging in par value
$3,460,000-$27,000,000,
5.500%-6.500%, 07/01/17-
06/01/37, with total market
value $31,008,709) $ 30,400 $ 30,400
-------------
Total Repurchase Agreements
(Cost $69,100) ($ Thousands) 69,100
-------------
Total Investments -- 137.4%
(Cost $236,350) ($ Thousands) $ 237,468
=============
Futures -- a summary of the open futures contracts held by the Fund at January
31, 2008, 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 (46) Mar-2008 $ (94)
U.S. 5-Year Treasury Note 161 Mar-2008 140
U.S. 2-Year Treasury Note 454 Mar-2008 1,323
U.S. 10-Year Treasury Note (202) Mar-2008 (114)
------
$1,255
======
Percentages are based on Net Assets of $172,892 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Statement of
Investments is the rate in effect on January 31, 2008. The demand and
interest rate reset features give this security a shorter effective
maturity date.
(B) Tri-Party Repurchase Agreement.
Cl -- Class
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
IO -- Interest Only - face amount represents notional amount
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.
- --------------------------------------------------------------------------------
16 SEI Daily Income Trust / Annual Report / January 31, 2008
Intermediate-Duration Government Fund
January 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
41.7% Mortgage-Backed Securities
28.4% Repurchase Agreements
19.0% U.S. Government Agency Obligations
8.2% U.S. Treasury Obligations
2.7% Asset-Backed Security
+Percentages are based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 44.9%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 44.9%
FHLMC
8.250%, 01/01/09 $ 6 $ 6
6.500%, 01/01/18 57 60
6.000%, 09/01/24 1,677 1,725
5.500%, 06/01/19 to 12/01/20 1,051 1,077
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 472 491
FHLMC REMIC, Ser 165, Cl K
6.500%, 09/15/21 20 20
FHLMC REMIC, Ser 2586, Cl NK
3.500%, 08/15/16 149 148
FHLMC REMIC, Ser 2587, Cl ET
3.700%, 07/15/17 563 559
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17 1,287 1,248
FHLMC REMIC, Ser 2635, Cl NJ
3.000%, 03/15/17 356 348
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 250 249
FNMA
9.500%, 05/01/18 55 60
6.450%, 09/01/18 697 766
6.150%, 04/01/11 146 154
6.390%, 04/01/12 243 260
5.920%, 06/01/14 497 538
5.931%, 02/01/12 617 654
5.680%, 06/01/17 601 642
5.626%, 12/01/11 1,746 1,834
5.500%, 02/01/38 (TBA) 4,000 4,052
5.034%, 08/01/15 395 404
5.016%, 02/01/13 223 230
3.790%, 07/01/13 1,064 1,042
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16 524 550
FNMA REMIC, Ser 2004-27, Cl HN
4.000%, 05/25/16 423 424
FNMA REMIC, Ser 2006-72, Cl FY (A)
3.796%, 08/25/36 3,390 3,357
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GNMA
8.750%, 07/20/17 to 07/20/17 $ 11 $ 12
8.500%, 11/20/16 to 08/20/17 92 101
8.250%, 05/15/08 to 07/15/08 2 2
7.500%, 11/15/25 to 09/15/36 590 628
6.000%, 04/15/09 to 09/15/24 956 991
-------------
Total Mortgage-Backed Securities
(Cost $22,398) ($ Thousands) 22,632
-------------
U.S. GOVERNMENT AGENCY OBLIGATION -- 20.4%
FHLMC
6.000%, 06/15/11 9,400 10,281
-------------
Total U.S. Government Agency Obligation
(Cost $10,029) ($ Thousands) 10,281
-------------
U.S. TREASURY OBLIGATION -- 8.9%
U.S. Treasury Note
4.750%, 03/31/11 4,150 4,454
-------------
Total U.S. Treasury Obligation
(Cost $4,130) ($ Thousands) 4,454
-------------
ASSET-BACKED SECURITY -- 2.9%
Small Business Administration,
Ser 2005-P10B, Cl 1
4.940%, 08/10/15 1,470 1,481
-------------
Total Asset-Backed Security
(Cost $1,470) ($ Thousands) 1,481
-------------
REPURCHASE AGREEMENTS (B) -- 30.6%
BNP Paribas
3.000%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $9,300,775
(collateralized by various FNMA/
GNMA obligations, ranging in par
value $3,814,746-$5,508,825,
5.500%-6.000%, 10/15/37-
01/01/38, with total market
value $9,486,001) 9,300 9,300
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 17
SCHEDULE OF INVESTMENTS
Intermediate-Duration Government Fund (Concluded)
January 31, 2008
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
UBS Securities LLC
2.950%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $6,103,746
(collateralized by a FNMA obligation,
par value $6,295,000, 6.000%,
06/01/37, with total market value
$6,225,821) $ 6,100 $ 6,100
-------------
Total Repurchase Agreements
(Cost $15,400) ($ Thousands) 15,400
-------------
Total Investments -- 107.7%
(Cost $53,427) ($ Thousands) $ 54,248
=============
Futures -- a summary of the open futures contracts held by the Fund at January
31, 2008, 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 (13) Mar-2008 $(17)
U.S. 5-Year Treasury Note 303 Mar-2008 686
U.S. 10-Year Treasury Note (70) Mar-2008 (62)
----
$607
====
Percentages are based on Net Assets of $50,372 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of
Investments is the rate in effect on January 31, 2008. The demand and
interest rate reset feature gives this security a shorter effective
maturity date.
(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, 2008
GNMA Fund
January 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
80.7% Mortgage-Backed Securities
19.3% Repurchase Agreement
+Percentages are based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 98.9%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 98.9%
FHLMC REMIC, Ser 3279, IO (A)
2.194%, 02/15/37 $ 8,741 $ 514
FHLMC REMIC, Ser 3309, IO (A)
2.214%, 04/15/37 8,016 454
FNMA
8.000%, 09/01/14 to 09/01/28 270 293
7.000%, 08/01/29 to 09/01/32 495 528
6.500%, 09/01/32 318 332
5.500%, 07/01/37 1,020 1,034
5.000%, 03/01/37 (TBA) 1,500 1,491
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/20 55 59
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22 106 115
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17 1,500 1,604
GNMA
10.000%, 05/15/16 to 04/15/20 30 34
9.500%, 06/15/09 to 11/15/20 234 249
9.000%, 12/15/17 to 05/15/22 261 287
8.500%, 08/15/08 to 06/15/17 77 85
8.000%, 04/15/17 to 03/15/32 1,093 1,195
7.750%, 10/15/26 47 52
7.500%, 02/15/27 to 05/15/36 1,554 1,662
7.250%, 01/15/28 187 201
7.000%, 04/15/19 to 11/15/33 8,057 8,624
6.750%, 11/15/27 52 56
6.500%, 09/15/10 to 04/15/37 10,198 10,688
6.000%, 07/15/24 to 11/15/33 3,376 3,496
5.500%, 10/15/32 to 04/15/37 16,542 16,883
5.000%, 04/15/33 to 12/15/35 49,296 49,428
4.500%, 08/15/33 to 09/15/34 8,799 8,619
GNMA REMIC, Ser 2002-45, Cl QE
6.500%, 06/20/32 1,623 1,723
GNMA REMIC, Ser 2003-63, Cl UV
3.500%, 07/20/30 2,069 2,029
GNMA REMIC, Ser 2005-70, Cl AI, IO
5.000%, 10/20/33 9,480 1,375
GNMA REMIC, Ser 2006-38,
Cl XS, IO (A)
3.169%, 09/16/35 4,241 461
-------------
Total Mortgage-Backed Securities
(Cost $111,444) ($ Thousands) 113,571
-------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT (B) -- 23.7%
BNP Paribas
3.000%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $27,202,267
(collateralized by a GNMA
obligation, par value
$27,239,496, 6.000%,
10/15/37, with total market
value $27,744,001) $ 27,200 $ 27,200
-------------
Total Repurchase Agreement
(Cost $27,200) ($ Thousands) 27,200
-------------
Total Investments -- 122.6%
(Cost $138,644) ($ Thousands) $ 140,771
=============
Futures -- a summary of the open futures contracts held by the Fund at January
31, 2008, 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 1 Mar-2008 $ 3
U.S. 5-Year Treasury Note 7 Mar-2008 (10)
U.S. 10-Year Treasury Note 5 Mar-2008 (3)
----
$(10)
====
Percentages are based on Net Assets of $114,824 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of
Investments is the rate in effect on January 31, 2008. The demand and
interest rate reset feature gives this security a shorter effective
maturity date.
(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 - face amount represents notional amount
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
TBA -- To Be Announced
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 19
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund
January 31, 2008
- --------------------------------------------------------------------------------
SECTOR WEIGHTINGS (UNAUDITED)+:
[THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.]
29.3% Repurchase Agreements
23.9% Asset-Backed Securities
22.9% Mortgage-Backed Securities
13.0% Corporate Obligations
10.9% U.S. Government Agency Obligations
+Percentages are based on total investments.
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 24.1%
AUTOMOTIVE -- 8.4%
AESOP Funding II LLC, Ser 2005-1A,
Cl A2 (A) (B)
3.994%, 04/20/09 $ 400 $ 400
AmeriCredit Automobile Receivables
Trust, Ser 2005-CF, Cl A3
4.470%, 05/06/10 153 153
AmeriCredit Automobile Receivables
Trust, Ser 2007-AX, Cl A2
5.290%, 11/06/10 553 552
AmeriCredit Automobile Receivables
Trust, Ser 2007-AX, Cl A3
5.190%, 11/06/11 2,100 2,059
AmeriCredit Automobile Receivables
Trust, Ser 2007-CM, Cl A3A
5.420%, 05/07/12 1,720 1,618
BMW Vehicle Lease Trust,
Ser 2007-1, Cl A3A
4.590%, 08/15/13 655 666
BMW Vehicle Owner Trust,
Ser 2005-A, Cl A4
4.280%, 02/25/10 1,677 1,684
Capital Auto Receivables Asset Trust,
Ser 2005-1, Cl B (A)
4.611%, 06/15/10 440 439
Capital Auto Receivables Asset Trust,
Ser 2007-3, Cl A3A
5.020%, 09/15/11 575 588
Capital One Auto Finance Trust,
Ser 2007-C, Cl A3A
5.130%, 04/16/12 1,475 1,497
Capital One Prime Auto Receivables
Trust, Ser 2007-2, Cl A2
5.050%, 03/15/10 1,250 1,264
Carmax Auto Owner Trust, Ser 2004-2,
Cl A4
3.460%, 09/15/11 252 252
Carmax Auto Owner Trust,
Ser 2005-2, Cl A3
4.210%, 01/15/10 534 535
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Carmax Auto Owner Trust,
Ser 2006-2, Cl A4
5.140%, 11/15/11 $ 1,120 $ 1,150
Carmax Auto Owner Trust,
Ser 2008-1, Cl A4A
4.790%, 02/15/13 1,750 1,750
Chase Manhattan Auto Owner
Trust, Ser 2004-A, Cl A4
2.830%, 09/15/10 843 842
Chase Manhattan Auto Owner Trust,
Ser 2005-A, Cl A4
3.980%, 04/15/11 1,675 1,682
CPS Auto Trust, Ser 2007-C,
Cl A2 (B)
5.530%, 11/15/10 600 603
Daimler Chrysler Auto Trust,
Ser 2005-B, Cl A3
4.040%, 09/08/09 110 111
Ford Credit Auto Owner Trust,
Ser 2007-A, Cl A2A
5.420%, 04/15/10 1,160 1,174
Ford Credit Auto Owner Trust,
Ser 2007-B, Cl A3A
5.150%, 11/15/11 745 764
Ford Credit Auto Owner Trust,
Ser 2008-A, Cl A3A
3.960%, 04/15/12 1,610 1,616
Harley-Davidson Motorcycle Trust,
Ser 2007-1, Cl A2
5.290%, 01/18/11 328 330
Honda Auto Receivables Owner Trust,
Ser 2005-1, Cl A4
3.820%, 05/21/10 804 805
Honda Auto Receivables Owner Trust,
Ser 2005-3, Cl A3
3.870%, 04/20/09 178 178
Household Automotive Trust,
Ser 2005-1, Cl A3
4.150%, 02/17/10 313 314
Household Automotive Trust,
Ser 2005-3, Cl A3
4.800%, 10/18/10 582 583
Household Automotive Trust,
Ser 2007-1, Cl A2
5.320%, 05/17/10 307 309
Hyundai Auto Receivables Trust,
Ser 2005-A, Cl A3
3.980%, 11/16/09 231 232
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A3A
5.040%, 01/17/12 205 208
- --------------------------------------------------------------------------------
20 SEI Daily Income Trust / Annual Report / January 31, 2008
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Long Beach Auto Receivables Trust,
Ser 2006-B, Cl A3
5.170%, 08/15/11 $ 2,075 $ 2,082
M&I Auto Loan Trust, Ser 2005-1,
Cl A3
4.830%, 09/21/09 896 899
Merrill Auto Trust Securitization,
Ser 2005-1, Cl B (A)
3.616%, 07/25/12 79 79
Morgan Stanley Auto Loan Trust,
Ser 2004-HB1, Cl A4
3.330%, 10/15/11 207 207
Nissan Auto Receivables Owner Trust,
Ser 2005-C, Cl A3
4.190%, 07/15/09 268 268
Nissan Auto Receivables Owner Trust,
Ser 2006-A, Cl A3
4.740%, 09/15/09 410 412
Nissan Auto Receivables Owner Trust,
Ser 2008-A, Cl A3
3.890%, 08/15/11 670 671
Santander Drive Auto Receivables
Trust, Ser 2007-1, Cl A2
5.200%, 12/15/10 1,166 1,163
USAA Auto Owner Trust, Ser 2007-2,
Cl A3
4.900%, 02/15/12 735 750
USAA Auto Owner Trust, Ser 2008-1,
Cl A3
4.160%, 04/16/12 965 973
Volkswagen Auto Lease Trust,
Ser 2006-A, Cl A3
5.500%, 09/21/09 700 708
WFS Financial Owner Trust,
Ser 2005-2, Cl B
4.570%, 11/19/12 1,234 1,248
Wachovia Auto Owner Trust,
Ser 2005-B, Cl A3
4.790%, 04/20/10 515 516
World Omni Auto Receivables Trust,
Ser 2004-A, Cl B (C)
3.620%, 07/12/11 227 227
-------------
34,561
-------------
CREDIT CARD -- 5.5%
Advanta Business Card Master Trust,
Ser 2005-B1, Cl B1 (A)
4.314%, 02/20/14 1,250 1,130
Advanta Business Card Master Trust,
Ser 2005-C1, Cl C1 (A)
4.444%, 08/22/11 1,500 1,463
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Advanta Business Card Master Trust,
Ser 2006-B2, Cl B2 (A)
4.184%, 06/20/14 $ 2,000 $ 1,811
American Express Issuance Trust,
Ser 2007-1, Cl A (A)
4.436%, 09/15/11 715 708
Bank of America Credit Card Trust,
Ser 2006-C7, Cl C7 (A)
4.466%, 03/15/12 1,000 959
Bank of America Credit Card Trust,
Ser 2007-A13, Cl A13 (A)
4.456%, 04/16/12 1,500 1,492
Cabela's Master Credit Card Trust,
Ser 2006-3A, Cl B (A) (B)
4.440%, 10/15/14 2,000 1,731
Capital One Multi-Asset Execution
Trust, Ser 2004-C4, Cl C4 (A)
4.886%, 06/15/12 1,350 1,295
Capital One Multi-Asset Execution
Trust, Ser 2005-B2, Cl B2 (A)
4.386%, 03/15/11 1,500 1,500
Capital One Multi-Asset Execution
Trust, Ser 2007-C2, Cl C2 (A)
4.536%, 11/15/14 1,200 1,046
Capital One Multi-Asset Execution
Trust, Ser 2007-C3, Cl C3 (A)
4.526%, 04/15/13 1,500 1,349
Chase Issuance Trust,
Ser 2007-A14, Cl A14 (A)
4.486%, 09/15/11 1,000 996
Citibank Credit Card Issuance Trust,
Ser 2006-A5, Cl A5
5.300%, 05/20/11 1,505 1,544
Discover Card Master Trust I,
Ser 2005-1, Cl B (A)
4.386%, 09/16/10 1,133 1,133
MBNA Credit Card Master Note Trust,
Ser 2005-A7, Cl A7
4.300%, 02/15/11 595 597
MBNA Credit Card Master Note Trust,
Ser 2006-A1, Cl A1
4.900%, 07/15/11 1,000 1,017
Washington Mutual Master Note Trust,
Ser 2006-C2A, Cl C2 (A) (B)
4.736%, 08/15/15 1,300 1,309
Washington Mutual Master Note Trust,
Ser 2006-C3A, Cl C3A (A) (B)
4.620%, 10/15/13 1,490 1,347
-------------
22,427
-------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 21
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund (Continued)
January 31, 2008
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MISCELLANEOUS BUSINESS SERVICES -- 5.9%
ACAS Business Loan Trust,
Ser 2005-1A, Cl A1 (A) (B)
3.581%, 07/25/19 $ 1,000 $ 972
ACAS Business Loan Trust,
Ser 2007-1A, Cl C (A) (B)
5.728%, 08/16/19 1,585 1,460
AIG Credit Premium Finance Master
Trust, Ser 2005-1, Cl A (A)
4.316%, 04/15/10 1,470 1,465
Babson CLO Ltd., Ser 2007-1A,
Cl A1 (A) (B)
4.176%, 01/18/21 1,190 1,131
Capital Source Commercial Loan Trust,
Ser 2006-1A, Cl C (A) (B)
4.484%, 08/22/16 494 464
Capital Source Commercial Loan Trust,
Ser 2006-2A, Cl A1A (A) (B)
4.144%, 09/20/22 1,460 1,388
CIT Equipment Collateral,
Ser 2005-EF1, Cl A3
4.420%, 05/20/09 147 147
CIT Equipment Collateral,
Ser 2006-VT1, Cl A3
5.130%, 12/21/09 1,012 1,017
CNH Equipment Trust, Ser 2005-A,
Cl A3
4.020%, 04/15/09 12 12
CNH Equipment Trust, Ser 2006-B,
Cl A3
5.200%, 06/15/10 1,141 1,151
CNH Wholesale Master Note Trust,
Ser 2006-1A, Cl B (A) (B)
4.516%, 07/15/12 245 226
Colts Trust, Ser 2005-1A,
Cl A1 (A) (B)
5.146%, 03/20/15 6 6
Colts Trust, Ser 2006-2A,
Cl A (A) (B)
5.206%, 12/20/18 1,950 1,901
Credit-Based Asset Servicing and
Securitization CBO, Ser 2006-16A,
Cl A (A) (B)
5.400%, 09/06/41 1,453 995
Franklin CLO Ltd., Ser 2003-4A,
Cl A (A) (B)
5.477%, 09/20/15 500 496
GE Commercial Equipment Financing
LLC, Ser 2005-1, Cl A3A
3.980%, 03/20/09 57 57
GE Equipment Small Ticket LLC,
Ser 2005-1A, Cl B (B)
4.620%, 12/22/14 330 334
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
GE Equipment Small Ticket LLC,
Ser 2005-2A, Cl A4 (B)
5.010%, 06/22/15 $ 2,226 $ 2,277
John Deere Owner Trust, Ser 2007-A,
Cl A2
5.210%, 10/15/09 159 160
Katonah CLO, Ser 2005-7A,
Cl B (A) (B)
5.290%, 11/15/17 1,200 1,103
Lambda Finance BV, Ser 2005-1A,
Cl B3 (A) (B)
5.239%, 11/15/29 840 754
Madison Park Funding CLO,
Ser 2007-4A, Cl A1B (A) (B)
5.184%, 03/22/21 1,000 887
Marlin Leasing Receivables LLC,
Ser 2005-1A, Cl B (B)
5.090%, 08/15/12 66 67
Marlin Leasing Receivables LLC,
Ser 2006-1A, Cl A2 (B)
5.430%, 11/17/08 317 318
Merritt Funding Trust CLO,
Ser 2005-2A, Cl B (A) (B)
4.958%, 07/15/15 541 490
Morgan Stanley ABS Capital I,
Ser 2006-WMC1, Cl A2B (A)
3.576%, 12/25/35 1,390 1,349
PFS Financing, Ser 2006-B,
Cl A (A) (B)
5.081%, 09/15/11 965 963
Sierra Receivables Funding,
Ser 2007-2A, Cl A2 (A) (B)
5.950%, 09/20/19 864 839
SLMA, Ser 2003-A, Cl A1 (A)
5.100%, 12/15/15 125 125
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl C (A)
4.836%, 01/15/12 200 191
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl B (A)
4.536%, 01/15/12 110 106
Wadsworth CDO, Ser 2006-1A,
Cl B (A) (B)
5.340%, 11/05/46 315 32
William Street Funding, Ser 2006-1,
Cl A (A) (B)
4.078%, 01/23/12 1,260 1,135
-------------
24,018
-------------
MORTGAGE RELATED -- 4.3%
ACE Securities, Ser 2006-CW1,
Cl A2C (A)
3.516%, 07/25/36 895 795
- --------------------------------------------------------------------------------
22 SEI Daily Income Trust / Annual Report / January 31, 2008
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Asset Backed Funding Certificates,
Ser 2006-OPT2, Cl A3B (A)
3.486%, 10/25/36 $ 1,900 $ 1,821
Bear Stearns Asset-Backed Securities
Trust, Ser 2005-HE11, Cl A2 (A)
3.626%, 11/25/35 272 267
Bear Stearns Asset-Backed Securities
Trust, Ser 2006-HE1, Cl 1A1 (A)
3.466%, 12/25/35 119 118
Citigroup Mortgage Loan Trust,
Ser 2006-WFH3, Cl M1(A)
3.666%, 10/25/36 1,325 724
Countrywide Asset-Backed Certificates,
Ser 2006-2, Cl 2A2 (A)
3.566%, 06/25/36 742 715
First Franklin Mortgage Loan Asset
Backed Certificates, Ser 2007-FF1,
Cl M2 (A)
3.636%, 01/25/38 1,250 485
GMAC Mortgage Loan Trust,
Ser 2006-HE4, Cl A2 (A)
3.516%, 12/25/36 2,000 1,846
JP Morgan Mortgage Acquisition,
Ser 2007-CH5, Cl M1 (A)
3.646%, 06/25/37 2,000 1,045
Long Beach Mortgage Loan Trust,
Ser 2006-6, Cl 2A3 (A)
3.530%, 07/25/36 1,190 891
Morgan Stanley Home Equity Loans,
Ser 2005-4, Cl A2B (A)
3.596%, 09/25/35 2,000 1,969
New Century Home Equity Loan Trust,
Ser 2005-C, Cl A2B (A)
3.546%, 12/25/35 523 520
Option One Mortgage Loan Trust,
Ser 2003-3, Cl A2 (A)
3.680%, 06/25/33 147 138
Option One Mortgage Loan Trust,
Ser 2005-5, Cl A3 (A)
3.586%, 12/25/35 1,313 1,270
Option One Mortgage Loan Trust,
Ser 2006-1, Cl 2A2 (A)
3.506%, 01/25/36 1,590 1,566
Option One Mortgage Loan Trust,
Ser 2007-FXD1, Cl 3A3 (A)
5.611%, 01/25/37 305 274
Option One Mortgage Loan Trust,
Ser 2007-FXD2, Cl 2A1 (C)
5.900%, 03/25/37 1,026 1,009
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1 (A)
3.450%, 02/25/38 770 721
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Residential Asset Securities,
Ser 2006-EMX6, Cl A3 (A)
3.530%, 07/25/36 $ 1,005 $ 874
Residential Asset Securities,
Ser 2006-KS1, Cl A2 (A)
3.516%, 02/25/36 590 584
-------------
17,632
-------------
Total Asset-Backed Securities
(Cost $95,038) ($ Thousands) 98,638
-------------
MORTGAGE-BACKED SECURITIES -- 23.0%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 3.9%
FHLMC (A)
6.810%, 02/01/30 853 862
6.797%, 02/01/22 1,321 1,339
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 306 319
FHLMC REMIC, Ser 2004-2780,
Cl LC
5.000%, 07/15/27 1,000 1,021
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17 1,371 1,329
FHLMC REMIC, Ser 3153, Cl FX (A)
4.586%, 05/15/36 1,797 1,778
FNMA (A)
7.081%, 09/01/24 580 595
6.876%, 01/01/29 75 77
6.825%, 09/01/24 222 227
6.781%, 11/01/23 609 619
6.761%, 11/01/25 127 131
6.519%, 05/01/28 991 1,011
6.306%, 11/01/21 159 159
6.000%, 01/01/27 2,114 2,176
FNMA REMIC, Ser 1993-220,
Cl FA (A)
3.975%, 11/25/13 160 161
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23 235 244
FNMA REMIC, Ser 2001-33,
Cl FA (A)
3.826%, 07/25/31 320 320
FNMA REMIC, Ser 2002-63,
Cl QF (A)
3.676%, 04/25/29 209 209
FNMA REMIC, Ser 2002-64,
Cl FG (A)
4.239%, 10/18/32 204 204
FNMA REMIC, Ser 2002-78, Cl AU
5.000%, 06/25/30 722 726
FNMA REMIC, Ser 2006-39, Cl PB
5.500%, 07/25/29 2,546 2,615
-------------
16,122
-------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 23
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund (Continued)
January 31, 2008
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 19.1%
Arkle Master Issuer PLC,
Ser 2006-1A, Cl M (A) (B)
5.095%, 02/17/52 $ 1,000 $ 953
Banc of America Funding,
Ser 2005-F, Cl 4A1 (A)
5.350%, 09/20/35 902 868
Banc of America Funding,
Ser 2006-D, Cl 3A1 (A)
5.574%, 05/20/36 1,152 1,168
Banc of America Large Loan,
Ser 2007-BMB1 (A) (B)
4.746%, 08/15/29 596 573
Banc of America Mortgage Securities,
Ser 2004-F, Cl 2A5 (A)
4.144%, 07/25/34 1,300 1,313
Banc of America Mortgage Securities,
Ser 2005-A, Cl 2A2 (A)
4.463%, 02/25/35 1,665 1,676
Banc of America Mortgage Securities,
Ser 2005-F, Cl 2A2 (A)
5.012%, 07/25/35 2,664 2,700
Banc of America Mortgage Securities,
Ser 2005-H, Cl 2A1 (A)
4.803%, 09/25/35 829 838
Banc of America Mortgage Securities,
Ser 2005-J, Cl 2A1 (A)
5.089%, 11/25/35 291 296
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-12, Cl 11A1 (A)
5.434%, 02/25/36 599 603
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-3, Cl 2A1 (A)
5.063%, 06/25/35 708 714
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-6, Cl 3A1 (A)
5.268%, 08/25/35 1,390 1,417
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-9, Cl A1 (A)
4.625%, 10/25/35 1,406 1,406
Bear Stearns Commercial Mortgage
Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35 1,600 1,663
Citigroup Commercial Mortgage Trust,
Ser 2006-FL2, Cl D (A) (B)
4.450%, 08/15/21 510 501
Citigroup Commercial Mortgage Trust,
Ser 2007-FL3A, Cl J (A) (B)
5.186%, 04/15/22 550 463
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A (A)
5.745%, 09/25/34 522 527
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust,
Ser 2006-AR2, Cl 1A1 (A)
5.627%, 03/25/36 $ 1,168 $ 1,188
Countrywide Alternative Loan Trust,
Ser 2007-HY5R, Cl 2A1A (A)
5.544%, 03/25/47 1,281 1,251
Countrywide Home Loans,
Ser 2004-29, Cl 1A1 (A)
3.646%, 02/25/35 132 125
Countrywide Home Loans,
Ser 2005-7, Cl 1A1 (A)
3.646%, 03/25/35 241 228
Countrywide Home Loans,
Ser 2005-HY10, Cl 3A1A (A)
5.377%, 02/20/36 1,039 986
Crusade Global Trust, Ser 2003-1,
Cl A (A)
4.198%, 01/17/34 523 513
First Horizon Asset Securities,
Ser 2005-2, Cl 1A1
5.500%, 05/25/35 1,565 1,584
Fosse Master Issuer PLC,
Ser 2007-1A, Cl C2 (A) (B)
4.501%, 10/18/54 1,305 1,129
GE Commercial Loan Trust,
Ser 2006-2, Cl C (A) (B)
4.444%, 10/19/16 407 357
GE Commercial Loan Trust,
Ser 2006-3, Cl C (A) (B)
4.444%, 01/19/17 799 701
GMAC Mortgage Loan Trust,
Ser 2005-AR6, Cl 2A1 (A)
5.196%, 11/19/35 1,372 1,397
Granite Master Issuer PLC,
Ser 2006-1A, Cl A5 (A) (B)
5.019%, 12/20/54 1,214 1,092
Granite Master Issuer PLC,
Ser 2006-3, Cl M1 (A)
4.074%, 12/20/54 715 628
Granite Master Issuer PLC,
Ser 2007-1, Cl 1C1 (A)
5.226%, 12/20/54 410 388
GSR Mortgage Loan Trust,
Ser 2005-AR4, Cl 2A1 (A)
4.988%, 07/25/35 1,913 1,920
GSR Mortgage Loan Trust,
Ser 2007-AR2, Cl 1A1 (A)
5.790%, 05/25/47 1,533 1,555
Holmes Master Issuer PLC,
Ser 2007-1, Cl 1C1 (A)
4.538%, 07/15/40 410 403
- --------------------------------------------------------------------------------
24 SEI Daily Income Trust / Annual Report / January 31, 2008
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Holmes Master Issuer PLC,
Ser 2007-2A, Cl 1C (A)
4.488%, 07/15/40 $ 595 $ 565
Impac CMB Trust, Ser 2004-9,
Cl 1A1 (A)
4.136%, 01/25/35 426 414
Impac CMB Trust, Ser 2005-2,
Cl 1A1 (A)
3.636%, 04/25/35 475 457
Impac CMB Trust, Ser 2005-3,
Cl A1 (A)
3.616%, 08/25/35 405 384
Impac CMB Trust, Ser 2005-5,
Cl A1 (A)
3.696%, 08/25/35 338 322
Impac CMB Trust, Ser 2005-8,
Cl 1A (A)
3.636%, 02/25/36 1,021 965
JPMorgan Mortgage Trust,
Ser 2005-A6, Cl 7A1 (A)
4.968%, 08/25/35 806 812
JPMorgan Mortgage Trust,
Ser 2007-A3, Cl 1A1 (A)
5.478%, 05/25/37 1,297 1,319
Master Adjustable Rate Mortgages
Trust, Ser 2004-12, Cl 5A1 (A)
6.936%, 10/25/34 257 260
Merrill Lynch Mortgage-Backed
Securities Trust, Ser 2007-2,
Cl 1A1 (A)
5.800%, 08/25/36 1,545 1,587
Merrill Lynch Mortgage-Backed
Securities Trust, Ser 2007-3,
Cl 2A1 (A)
5.640%, 06/25/37 1,495 1,514
Merrill Lynch Mortgage Investors,
Ser 2005-A2, Cl A2 (A)
4.488%, 02/25/35 1,151 1,132
Merrill Lynch Mortgage Investors,
Ser 2005-A3, Cl A1 (A)
3.646%, 04/25/35 543 533
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1A (A)
5.130%, 12/25/35 933 942
MLCC Mortgage Investors,
Ser 2004-G, Cl A1 (A)
3.656%, 01/25/30 157 147
MLCC Mortgage Investors,
Ser 2004-HB1, Cl A1 (A)
3.736%, 04/25/29 191 190
MLCC Mortgage Investors,
Ser 2005-A, Cl A1 (A)
3.606%, 03/25/30 173 170
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
MLCC Mortgage Investors,
Ser 2006-1, Cl 2A1 (A)
5.386%, 02/25/36 $ 960 $ 972
Mortgage IT Trust, Ser 2005-2,
Cl 1A1 (A)
3.636%, 05/25/35 378 361
Mortgage IT Trust, Ser 2005-3,
Cl A1 (A)
3.676%, 08/25/35 1,177 1,136
Mortgage IT Trust, Ser 2005-4,
Cl A1 (A)
3.656%, 10/25/35 1,551 1,429
Mortgage IT Trust, Ser 2005-5,
Cl A1 (A)
3.636%, 12/25/35 1,455 1,373
Paragon Mortgages PLC,
Ser 12A, Cl A2C (A) (B)
4.979%, 11/15/38 455 436
Paragon Mortgages PLC,
Ser 15A, Cl A2C (A) (B)
5.101%, 12/15/39 912 861
Permanent Master Issuer PLC,
Ser 2006-1, Cl 2C (A)
4.660%, 07/15/42 1,200 1,180
Prima, Ser 2006-1, Cl A1
5.070%, 12/28/48 850 824
Puma Finance, Ser S1, Cl A
(A) (B)
5.096%, 08/09/35 380 377
Residential Funding Mortgage
Securities I, Ser 2005-SA5,
Cl 2A (A)
5.332%, 11/25/35 790 806
Residential Funding Mortgage
Securities I, Ser 2007-SA2,
Cl 2A2 (A)
5.676%, 04/25/37 1,110 1,138
Residential Funding Mortgage
Securities I, Ser 2007-SA2,
Cl 2A1 (A)
5.676%, 04/25/37 1,565 1,606
Residential Funding Mortgage
Securities I, Ser 2007-SA3,
Cl 2A1 (A)
5.783%, 07/27/37 1,423 1,454
Residential Mortgage Securities,
Ser 22A, Cl A1B (A) (B)
4.940%, 11/14/31 361 360
RMAC PLC, Ser 2003-NS4A,
Cl A2B (A) (B)
5.433%, 03/12/36 79 78
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 25
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund (Continued)
January 31, 2008
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
RMAC Securities PLC,
Ser 2006-NS2A, Cl A1B
(A) (B)
5.177%, 06/12/24 $ 344 $ 343
Sequoia Mortgage Trust,
Ser 2004-12, Cl A1 (A)
4.204%, 01/20/35 157 152
Sequoia Mortgage Trust,
Ser 2005-1, Cl A1 (A)
4.164%, 02/20/35 149 146
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2004-AR5, Cl A6 (A)
3.843%, 06/25/34 1,300 1,308
Washington Mutual Mortgage
Pass-Through Certificates,
Ser 2006-AR2, Cl 1A1 (A)
5.309%, 03/25/37 1,660 1,692
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2003-J,
Cl 2A4 (A)
4.450%, 10/25/33 550 548
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-BB,
Cl A2 (A)
4.560%, 01/25/35 1,092 1,106
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR1,
Cl 2A1 (A)
4.494%, 02/25/35 968 978
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 3A2 (A)
4.997%, 10/25/35 1,559 1,579
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 6A3 (A)
5.000%, 10/25/35 1,994 2,008
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR4,
Cl 2A2 (A)
4.523%, 04/25/35 890 877
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR10,
Cl 2A1 (A)
5.647%, 07/25/36 1,672 1,701
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR12,
Cl 1A1 (A)
6.024%, 09/25/36 1,380 1,407
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR5,
Cl 2A1 (A)
5.535%, 04/25/36 $ 1,332 $ 1,364
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR6,
Cl 2A1 (A)
5.094%, 03/25/36 1,613 1,620
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR8,
Cl 2A1 (A)
5.240%, 04/25/36 1,607 1,635
Westpac Securitisation Trust,
Ser 2005-1G, Cl A1 (A)
4.954%, 03/23/36 351 335
-------------
78,027
-------------
Total Mortgage-Backed Securities
(Cost $104,084) ($ Thousands) 94,149
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 11.0%
FHLB
3.875%, 08/22/08 175 176
FHLB DN (E)
4.264%, 02/25/08 10,000 9,897
FHLMC DN (E)
3.493%, 05/30/08 5,000 4,958
4.295%, 02/25/08 10,000 9,983
FNMA DN (E)
3.428%, 07/16/08 5,000 4,943
3.500%, 06/12/08 5,000 4,954
4.314%, 02/27/08 10,000 9,982
-------------
Total U.S. Government Agency Obligations
(Cost $44,798) ($ Thousands) 44,893
-------------
CORPORATE OBLIGATIONS -- 13.1%
BANKS -- 2.2%
Comerica Bank (A)
5.178%, 12/12/08 1,800 1,803
3.979%, 06/19/09 1,200 1,198
3.265%, 05/10/10 1,000 995
HSBC Bank
4.230%, 04/10/08 3,500 3,505
Wachovia (A)
5.111%, 03/15/11 1,750 1,705
-------------
9,206
-------------
- --------------------------------------------------------------------------------
26 SEI Daily Income Trust / Annual Report / January 31, 2008
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS -- 1.5%
CVS Caremark (A)
5.441%, 06/01/10 $ 865 $ 845
Daimler Finance North America LLC,
Ser E MTN (A)
3.769%, 10/31/08 2,000 1,996
President and Fellows of Harvard
College
3.700%, 04/01/13 1,325 1,327
Whirlpool (A)
5.491%, 06/15/09 2,000 2,006
-------------
6,174
-------------
FINANCIAL SERVICES -- 6.7%
BNP Paribas
4.040%, 04/11/08 4,000 4,005
Calyon
4.600%, 04/04/08 3,000 3,006
4.500%, 04/08/08 4,500 4,509
4.285%, 07/07/08 4,500 4,517
Credit Suisse First Boston
4.420%, 07/03/08 3,500 3,519
General Electric Capital (A)
3.334%, 04/28/11 1,250 1,236
International Lease Finance MTN
5.300%, 05/01/12 1,500 1,539
Lloyds Bank
3.100%, 04/23/08 5,000 4,997
-------------
27,328
-------------
FOOD, BEVERAGE & TOBACCO -- 0.8%
General Mills (A)
4.024%, 01/22/10 1,500 1,460
SABMiller PLC (A) (B) (C)
5.029%, 07/01/09 1,705 1,714
-------------
3,174
-------------
INSURANCE -- 0.9%
MBIA Insurance (A) (B)
14.000%, 01/01/33 1,000 935
Monumental Global Funding III
(A) (B)
4.458%, 01/15/14 1,900 1,871
Principal Life Income Funding
Trusts (A)
5.029%, 11/15/10 750 724
-------------
3,530
-------------
- --------------------------------------------------------------------------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
INVESTMENT BANKER/BROKER DEALER -- 0.2%
Morgan Stanley, Ser G (A)
4.843%, 01/09/14 $ 1,000 $ 936
-------------
SECURITY AND COMMODITY BROKERS -- 0.3%
Genworth Global Funding Trusts (A)
5.009%, 05/15/12 1,200 1,184
-------------
TELEPHONES & TELECOMMUNICATION -- 0.2%
AT&T (A)
3.195%, 02/05/10 1,000 991
-------------
UTILITIES - ELECTRIC & GAS -- 0.3%
FPL Group Capital
5.551%, 02/16/08 755 755
KeySpan
4.900%, 05/16/08 360 361
-------------
1,116
-------------
Total Corporate Obligations
(Cost $53,862) ($ Thousands) 53,639
-------------
REPURCHASE AGREEMENTS (D) -- 29.5%
BNP Paribas
3.000%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $38,903,242
(collateralized by a GNMA
obligation, par value $38,806,813,
5.500%, 01/15/38, with total
market value $39,678,000) 38,900 38,900
Merrill Lynch
2.980%, dated 01/31/08, to be
repurchased on 02/01/08,
repurchase price $81,904,173
(collateralized by various FNMA
obligations, ranging in par value
$3,140,000-$11,000,000, 5.000%-
6.500%, 11/01/17-01/01/38, with
total market value $83,542,258) 81,900 81,900
-------------
Total Repurchase Agreements
(Cost $120,800) ($ Thousands) 120,800
-------------
Total Investments -- 100.7%
(Cost $418,582) ($ Thousands) $ 412,119
=============
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 27
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund (Concluded)
January 31, 2008
Futures -- a summary of the open futures contracts held by the Fund at January
31, 2008, 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. 5-Year Treasury Note (120) Mar-2008 $ (170)
U.S. 2-Year Treasury Note 493 Mar-2008 1,515
U.S. 10-Year Treasury Note 33 Mar-2008 106
90-Day Euro$ 175 Mar-2008 672
90-Day Euro$ (350) Sep-2008 (2,034)
90-Day Euro$ 175 Dec-2010 683
-------
$ 772
=======
Percentages are based on Net Assets of $409,363 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Statement of
Investments is the rate in effect on January 31, 2008. The demand and
interest rate reset features give this security a shorter effective
maturity 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) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on January 31, 2008. The coupon on a step bond changes on
a specific date.
(D) Tri-Party Repurchase Agreement.
(E) The rate reported is the effective yield at time of purchase.
CBO -- Collateralized Bond Obligation
CDO -- Collateralized Debt Obligation
Cl -- Class
CLO -- Collateralized Loan Obligation
DN -- Discount Note
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GNMA -- Government National Mortgage Association
LLC -- Limited Liability Company
Ltd. -- Limited
MTN -- Medium Term Note
PLC -- Public Limited Company
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
28 SEI Daily Income Trust / Annual Report / January 31, 2008
This page intentionally left blank.
Statements of Assets and Liabilities ($ Thousands)
For the year ended January 31, 2008
- ------------------------------------------------------------------------------------------------------------------------------------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value+ $736,400 $ 810,697 $1,598,824 $4,238,846
Affiliated investment, at value -- -- -- 30,079
Repurchase agreements+ 224,354 599,357 -- 731,595
Cash 1 1 1 --
Receivable for investment
securities sold -- -- -- --
Interest receivable 2,445 4,287 4,061 9,391
Receivable for fund shares sold 1 -- -- --
Receivable for variation margin -- -- -- --
Prepaid expenses 52 41 38 252
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 963,253 1,414,383 1,602,924 5,010,163
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Income distribution payable 2,186 2,304 3,828 12,834
Payable for fund shares redeemed -- -- -- 179
Payable for investment
securities purchased -- -- 50,010 --
Payable for variation margin -- -- -- --
Shareholder servicing
fees payable 234 142 56 473
Administration fees payable 110 178 162 652
Investment advisory fees payable 19 26 24 96
Chief Compliance Officer fees
payable 2 2 2 8
Trustees' fees payable 1 1 1 4
Accrued expense payable 37 48 42 190
- -----------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 2,589 2,701 54,125 14,436
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets $960,664 $1,411,682 $1,548,799 $4,995,727
- -----------------------------------------------------------------------------------------------------------------------------------
+ Cost of investments and
repurchase agreements 963,615 1,410,054 1,598,824 5,015,000
NET ASSETS:
Paid-in Capital -- (unlimited
authorization -- no
par value) $963,548 $1,411,782 $1,548,830 $5,010,331
Undistributed (Distributions in
excess of) net investment
income -- -- -- --
Accumulated net realized loss
on investments and futures
contracts (23) (100) (31) (124)
Net unrealized appreciation
(depreciation) on investments (2,861) -- -- (44,559)
Net unrealized appreciation of
affiliated investment -- -- -- 30,079
Net unrealized appreciation
(depreciation) on futures
contracts -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
Net Assets $960,664 $1,411,682 $1,548,799 $4,995,727
- -----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and
Redemption Price Per Share --
Class A $1.00 $1.00 $1.00 $1.00
($401,173,671 / ($1,031,611,970 / ($1,354,360,935 / ($3,740,714,227 /
402,388,714 shares) 1,031,664,615 shares) 1,354,455,343 shares) 3,751,735,956 shares)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and
Redemption Price Per Share --
Class B $1.00 $1.00 $1.00 $1.00
($166,627,150 / ($197,592,692 / ($150,900,490 / ($475,700,151 /
167,114,937 shares) 197,614,856 shares) 150,936,620 shares) 477,075,347 shares)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and
Redemption Price Per Share --
Class C $1.00 $1.00 $1.00 $1.00
($259,640,383 / ($154,244,088 / ($43,537,814 / ($641,976,668 /
260,432,062 shares) 154,270,355 shares) 43,537,627 shares) 643,788,692 shares)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and
Redemption Price Per Share --
Class H N/A N/A N/A $1.00
($80,957,687 /
81,193,227 shares)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and
Redemption Price Per Share
-- Sweep Class $1.00 $1.00 N/A $1.00
($133,222,860 / ($28,233,271 / ($56,377,901 /
133,619,640 shares) 28,237,505 shares) 56,537,922 shares)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
(1) See Note 10 in the Notes to Financial Statements.
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
30 SEI Daily Income Trust / Annual Report / January 31, 2008
- -------------------------------------------------------------------------------------------------------------
SHORT-DURATION
TREASURY TREASURY II GOVERNMENT
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value+ $ -- $631,582 $168,368
Affiliated investment, at value -- -- --
Repurchase agreements+ 1,631,757 -- 69,100
Cash 1 -- 156
Receivable for investment securities
sold -- -- 9,246
Interest receivable 77 2,406 1,320
Receivable for fund shares sold -- -- 211
Receivable for variation margin -- -- 256
Prepaid expenses 45 9 5
- -------------------------------------------------------------------------------------------------------------
Total Assets 1,631,880 633,997 248,662
- -------------------------------------------------------------------------------------------------------------
LIABILITIES:
Income distribution payable 2,499 1,057 157
Payable for fund shares redeemed -- -- 462
Payable for investment securities
purchased -- -- 74,886
Payable for variation margin -- -- 191
Shareholder servicing fees payable 352 31 --
Administration fees payable 214 73 47
Investment advisory fees payable 31 12 12
Chief Compliance Officer fees payable 3 1 --
Trustees' fees payable 1 -- --
Accrued expense payable 60 21 15
- -------------------------------------------------------------------------------------------------------------
Total Liabilities 3,160 1,195 75,770
- -------------------------------------------------------------------------------------------------------------
Net Assets $1,628,720 $632,802 $172,892
- -------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase
agreements 1,631,757 631,582 236,350
NET ASSETS:
Paid-in Capital -- (unlimited
authorization -- no par value) $1,628,813 $632,833 $177,234
Undistributed (Distributions in
excess of) net investment income -- -- 5
Accumulated net realized loss on
investments and futures contracts (93) (31) (6,720)
Net unrealized appreciation
(depreciation) on investments -- -- 1,118
Net unrealized appreciation of
affiliated investment -- -- --
Net unrealized appreciation
(depreciation) on futures contracts -- -- 1,255
- -------------------------------------------------------------------------------------------------------------
Net Assets $1,628,720 $632,802 $172,892
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $1.00 $1.00 $10.21
($610,450,500 / ($516,164,154 / ($172,892,478 /
610,481,923 shares) 516,342,999 shares) 16,926,253 shares)
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class B $1.00 $1.00 N/A
($761,497,432 / ($109,384,422 /
761,537,566 shares) 109,380,476 shares)
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class C $1.00 $1.00 N/A
($144,918,823 / ($7,253,688 /
144,933,045 shares) 7,256,920 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
($111,852,801 /
111,860,123 shares)
- -------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
INTERMEDIATE-DURATION ULTRA
GOVERNMENT GNMA SHORT BOND
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------
ASSETS:
Investments, at value+ $38,848 $113,571 $291,319
Affiliated investment, at value -- -- --
Repurchase agreements+ 15,400 27,200 120,800
Cash 22 17 446
Receivable for investment securities
sold 3,568 -- 51
Interest receivable 227 436 907
Receivable for fund shares sold 33 28 208
Receivable for variation margin 125 32 303
Prepaid expenses 1 6 10
- -------------------------------------------------------------------------------------------------------------
Total Assets 58,224 141,290 414,044
- -------------------------------------------------------------------------------------------------------------
LIABILITIES:
Income distribution payable 21 242 50
Payable for fund shares redeemed 159 42 4,370
Payable for investment securities
purchased 7,578 26,087 --
Payable for variation margin 66 30 123
Shareholder servicing fees payable -- 12 --
Administration fees payable 17 29 85
Investment advisory fees payable 7 10 20
Chief Compliance Officer fees payable -- -- 1
Trustees' fees payable -- -- --
Accrued expense payable 4 14 32
- -------------------------------------------------------------------------------------------------------------
Total Liabilities 7,852 26,466 4,681
- -------------------------------------------------------------------------------------------------------------
Net Assets $50,372 $114,824 $409,363
- -------------------------------------------------------------------------------------------------------------
+ Cost of investments and repurchase
agreements 53,427 138,644 418,582
NET ASSETS:
Paid-in Capital -- (unlimited
authorization -- no par value) $51,790 $124,565 $420,903
Undistributed (Distributions in
excess of) net investment income (5) (29) --
Accumulated net realized loss on
investments and futures contracts (2,841) (11,829) (5,849)
Net unrealized appreciation
(depreciation) on investments 821 2,127 (6,463)
Net unrealized appreciation of
affiliated investment -- -- --
Net unrealized appreciation
(depreciation) on futures contracts 607 (10) 772
- -------------------------------------------------------------------------------------------------------------
Net Assets $50,372 $114,824 $409,363
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $10.76 $9.63 $9.69
($50,372,428 / ($114,824,167 / ($409,363,241 /
4,681,899 shares) 11,927,381 shares) 42,255,717 shares)
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class B N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class C N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class H N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 31
Statements of Operations ($ Thousands)
For the year ended January 31, 2008
- -------------------------------------------------------------------------------------------------------------------------
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $61,324 $52,322 $46,099 $295,450
- -------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 3,816 2,509 1,749 10,591
Shareholder Servicing Fees - Class A Shares 1,477 1,761 1,896 10,003
Shareholder Servicing Fees - Sweep Class Shares 293 59 -- 159
Distribution Fees--Sweep Class Shares 587 119 -- 317
Administrative & Shareholder Servicing Fees -
Class B Shares 543 485 439 1,880
Administrative & Shareholder Servicing Fees -
Class C Shares 1,340 772 70 4,064
Administrative & Shareholder Servicing Fees -
Class H Shares -- -- -- 295
Investment Advisory Fees 263 237 209 1,267
Trustees' Fees 16 12 12 76
Chief Compliance Officer Fees 8 6 6 37
Registration Fees 102 72 72 470
Custodian/Wire Agent Fees 36 32 29 169
Pricing Fees 2 2 2 11
Other Expenses 97 86 79 417
- -------------------------------------------------------------------------------------------------------------------------
Total Expenses 8,580 6,152 4,563 29,756
- -------------------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- -- --
Administration fees (2,259) (866) (315) (1,888)
Shareholder Servicing Fees - Class A Shares (1,477) (1,761) (1,896) (10,003)
- -------------------------------------------------------------------------------------------------------------------------
Net Expenses 4,844 3,525 2,352 17,865
- -------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 56,480 48,797 43,747 277,585
- -------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM:
Investments 4 (21) (1) 72
Futures Contracts -- -- -- --
Swap Contracts -- -- -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON/FROM:
Investments (2,861) -- -- (44,559)
Affiliated investment -- -- -- 30,079
Futures Contracts -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $53,623 $48,776 $43,746 $263,177
- -------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
32 SEI Daily Income Trust / Annual Report / January 31, 2008
- -------------------------------------------------------------------------------------------------------------
SHORT-DURATION
TREASURY TREASURY II GOVERNMENT
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $54,036 $11,041 $6,006
- -------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 2,819 667 414
Shareholder Servicing Fees - Class A Shares 1,022 512 296
Shareholder Servicing Fees - Sweep Class Shares 367 -- --
Distribution Fees--Sweep Class Shares 734 -- --
Administrative & Shareholder Servicing Fees -
Class B Shares 1,429 201 --
Administrative & Shareholder Servicing Fees -
Class C Shares 709 25 --
Administrative & Shareholder Servicing Fees -
Class H Shares -- -- --
Investment Advisory Fees 267 63 118
Trustees' Fees 14 3 2
Chief Compliance Officer Fees 7 2 1
Registration Fees 72 19 10
Custodian/Wire Agent Fees 36 10 4
Pricing Fees 3 1 32
Other Expenses 98 26 19
- -------------------------------------------------------------------------------------------------------------
Total Expenses 7,577 1,529 896
- -------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- (25)
Administration fees (966) (210) (43)
Shareholder Servicing Fees - Class A Shares (1,022) (512) (296)
- -------------------------------------------------------------------------------------------------------------
Net Expenses 5,589 807 532
- -------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 48,447 10,234 5,474
- -------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM:
Investments -- (4) 897
Futures Contracts -- -- 143
Swap Contracts -- -- --
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON/FROM:
Investments -- -- 1,756
Affiliated investment -- -- --
Futures Contracts -- -- 1,113
- -------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $48,447 $10,230 $9,383
- -------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
INTERMEDIATE-DURATION ULTRA
GOVERNMENT GNMA SHORT BOND
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest Income $1,747 $ 7,382 $14,093
- -------------------------------------------------------------------------------------------------------------
EXPENSES:
Administration Fees 126 436 944
Shareholder Servicing Fees - Class A Shares 90 340 2,116
Shareholder Servicing Fees - Sweep Class Shares -- -- --
Distribution Fees--Sweep Class Shares -- -- --
Administrative & Shareholder Servicing Fees -
Class B Shares -- -- --
Administrative & Shareholder Servicing Fees -
Class C Shares -- -- --
Administrative & Shareholder Servicing Fees -
Class H Shares -- -- --
Investment Advisory Fees 36 136 269
Trustees' Fees 1 2 3
Chief Compliance Officer Fees -- 1 2
Registration Fees 4 13 22
Custodian/Wire Agent Fees 1 4 10
Pricing Fees 9 42 69
Other Expenses 4 10 25
- -------------------------------------------------------------------------------------------------------------
Total Expenses 271 984 3,460
- -------------------------------------------------------------------------------------------------------------
Less, Waiver of:
Investment Advisory Fees -- -- (111)
Administration fees -- (167) (289)
Shareholder Servicing Fees - Class A Shares (90) -- (2,116)
- -------------------------------------------------------------------------------------------------------------
Net Expenses 181 817 944
- -------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,566 6,565 13,149
- -------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM:
Investments 318 501 (607)
Futures Contracts 547 (522) (174)
Swap Contracts -- -- (319)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON/FROM:
Investments 1,196 3,825 (6,065)
Affiliated investment -- -- --
Futures Contracts 497 (17) 772
- -------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $4,124 $10,352 $ 6,756
- -------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 33
Statements of Changes in Net Assets ($ Thousands)
For the years ended January 31,
- --------------------------------------------------------------------------------------------------------------------------------
MONEY MARKET GOVERNMENT
FUND FUND
- --------------------------------------------------------------------------------------------------------------------------------
2008 2007 2008 2007
- --------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 56,480 $ 60,360 $ 48,797 $ 36,530
Net Realized Gain (Loss) on Investments and Payment by Affiliate 4 (11) (21) (11)
Net Change in Unrealized Depreciation on Investments and
Affiliated Investment (2,861) -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 53,623 60,349 48,776 36,519
- --------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (30,293) (38,436) (33,800) (23,220)
Class B (8,720) (7,046) (7,320) (5,642)
Class C (12,366) (10,860) (6,715) (6,652)
Class H -- -- -- --
Sweep Class (5,109) (4,014) (963) (1,015)
- --------------------------------------------------------------------------------------------------------------------------------
Total Dividends (56,488) (60,356) (48,798) (36,529)
- --------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 3,297,445 4,626,500 4,429,982 2,520,525
Reinvestment of Dividends & Distributions 16,793 26,248 20,018 12,365
Cost of Shares Redeemed (3,535,185) (4,421,639) (3,926,107) (2,492,596)
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (220,947) 231,109 523,893 40,294
- --------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 948,867 917,031 1,511,639 1,339,355
Reinvestment of Dividends & Distributions 1,740 1,382 3,546 1,537
Cost of Shares Redeemed (931,535) (894,210) (1,440,263) (1,340,240)
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions 19,072 24,203 74,922 652
- --------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 1,169,740 1,084,772 765,159 653,701
Reinvestment of Dividends & Distributions 555 458 -- --
Cost of Shares Redeemed (1,153,822) (1,073,354) (748,287) (645,740)
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions 16,473 11,876 16,872 7,961
- --------------------------------------------------------------------------------------------------------------------------------
CLASS H:
Proceeds from Shares Issued N/A N/A N/A N/A
Reinvestment of Dividends & Distributions N/A N/A N/A N/A
Cost of Shares Redeemed N/A N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets from Class H Transactions N/A N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------------------
SWEEP CLASS:
Proceeds from Shares Issued 658,307 520,457 335,540 284,713
Reinvestment of Dividends & Distributions -- -- 52 31
Cost of Shares Redeemed (615,774) (542,477) (322,436) (296,027)
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Sweep Class Transactions 42,533 (22,020) 13,156 (11,283)
- --------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions (142,869) 245,168 628,843 37,624
- --------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets (145,734) 245,161 628,821 37,614
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 1,106,398 861,237 782,861 745,247
- --------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 960,664 $ 1,106,398 $ 1,411,682 $ 782,861
- --------------------------------------------------------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
34 SEI Daily Income Trust / Annual Report / January 31, 2008
- ------------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT II PRIME OBLIGATION
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2008 2007 2008 2007
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 43,747 $ 37,566 $ 277,585 $ 233,775
Net Realized Gain (Loss) on Investments and Payment by Affiliate (1) (15) 72 (92)
Net Change in Unrealized Depreciation on Investments and
Affiliated Investment -- -- (14,480) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 43,746 37,551 263,177 233,683
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (36,536) (28,378) (204,056) (161,020)
Class B (6,641) (8,959) (30,210) (31,445)
Class C (570) (229) (37,386) (37,061)
Class H -- -- (3,196) (2,339)
Sweep Class -- -- (2,756) (1,891)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends (43,747) (37,566) (277,604) (233,756)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 2,877,203 2,182,858 36,454,577 34,766,540
Reinvestment of Dividends & Distributions 4,126 3,878 42,778 33,201
Cost of Shares Redeemed (2,207,185) (2,082,794) (36,127,886) (34,374,725)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 674,144 103,942 369,469 425,016
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 510,735 608,607 4,235,534 5,786,736
Reinvestment of Dividends & Distributions 665 408 12,453 12,947
Cost of Shares Redeemed (501,430) (636,659) (4,486,791) (5,709,619)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions 9,970 (27,644) (238,804) 90,064
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 86,737 26,038 5,373,977 5,791,860
Reinvestment of Dividends & Distributions -- -- 9,987 9,931
Cost of Shares Redeemed (47,289) (26,398) (5,521,087) (5,800,449)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions 39,448 (360) (137,123) 1,342
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS H:
Proceeds from Shares Issued N/A N/A 176,273 131,479
Reinvestment of Dividends & Distributions N/A N/A 3,196 2,339
Cost of Shares Redeemed N/A N/A (163,790) (104,311)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets from Class H Transactions N/A N/A 15,679 29,507
- ------------------------------------------------------------------------------------------------------------------------------------
SWEEP CLASS:
Proceeds from Shares Issued N/A N/A 558,435 515,873
Reinvestment of Dividends & Distributions N/A N/A 509 186
Cost of Shares Redeemed N/A N/A (550,395) (513,197)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Sweep Class Transactions N/A N/A 8,549 2,862
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions 723,562 75,938 17,770 548,791
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 723,561 75,923 3,343 548,718
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 825,238 749,315 4,992,384 4,443,666
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 1,548,799 $ 825,238 $ 4,995,727 $ 4,992,384
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income $ -- $ -- $ -- $ 19
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
TREASURY TREASURY II
FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
2008 2007 2008 2007
- ------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 48,447 $ 33,879 $ 10,234 $ 10,686
Net Realized Gain (Loss) on Investments and Payment by Affiliate -- -- (4) 101(1)
Net Change in Unrealized Depreciation on Investments and
Affiliated Investment -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 48,447 33,879 10,230 10,787
- ------------------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (17,880) (11,401) (7,673) (7,210)
Class B (19,393) (13,518) (2,373) (2,510)
Class C (5,680) (4,869) (188) (966)
Class H -- -- -- --
Sweep Class (5,494) (4,091) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Dividends (48,447) (33,879) (10,234) (10,686)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 4,357,178 1,592,668 2,556,258 1,014,056(1)
Reinvestment of Dividends & Distributions 2,340 492 1,607 1,132
Cost of Shares Redeemed (4,036,663) (1,513,665) (2,223,661) (1,011,783)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 322,855 79,495 334,204 3,405
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B:
Proceeds from Shares Issued 2,424,394 1,413,341 604,452 245,341(1)
Reinvestment of Dividends & Distributions 6,568 3,559 239 154
Cost of Shares Redeemed (2,028,554) (1,297,271) (547,295) (264,119)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class B Transactions 402,408 119,629 57,396 (18,624)
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS C:
Proceeds from Shares Issued 962,801 792,993 53,492 439,260(1)
Reinvestment of Dividends & Distributions 94 88 39 754
Cost of Shares Redeemed (918,903) (805,554) (66,552) (422,344)
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class C Transactions 43,992 (12,473) (13,021) 17,670
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS H:
Proceeds from Shares Issued N/A N/A N/A N/A
Reinvestment of Dividends & Distributions N/A N/A N/A N/A
Cost of Shares Redeemed N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets from Class H Transactions N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
SWEEP CLASS:
Proceeds from Shares Issued 740,584 585,519 N/A N/A
Reinvestment of Dividends & Distributions -- -- N/A N/A
Cost of Shares Redeemed (725,736) (572,084) N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Sweep Class Transactions 14,848 13,435 N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Capital Share Transactions 784,103 200,086 378,579 2,451
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 784,103 200,086 378,575 2,552
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 844,617 644,531 254,227 251,675
- ------------------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 1,628,720 $ 844,617 $ 632,802 $ 254,227
- ------------------------------------------------------------------------------------------------------------------------------------
Undistributed Net Investment Income $ -- $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 35
Statements of Changes in Net Assets ($ Thousands)
For the years ended January 31,
- ------------------------------------------------------------------------------------------------------------------------
SHORT-DURATION
GOVERNMENT FUND
- ------------------------------------------------------------------------------------------------------------------------
2008 2007
- ------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 5,474 $ 5,864
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts 1,040 (1,798)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 2,869 1,233
- ------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 9,383 5,299
- ------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
Net Investment Income (5,655) (6,236)
- ------------------------------------------------------------------------------------------------------------------------
Total Dividends (5,655) (6,236)
- ------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 96,648 64,641
Reinvestment of Dividends & Distributions 3,913 4,738
Cost of Shares Redeemed (46,859) (108,492)
- ------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 53,702 (39,113)
- ------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 57,430 (40,050)
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 115,462 155,512
- ------------------------------------------------------------------------------------------------------------------------
END OF YEAR $172,892 $ 115,462
- ------------------------------------------------------------------------------------------------------------------------
Undistributed (Distributions in Excess of) Net Investment Income $ 5 $ (17)
- ------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 9,620 6,485
Reinvestment of Distributions 391 475
Shares Redeemed (4,684) (10,882)
- ------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions 5,327 (3,922)
- ------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
36 SEI Daily Income Trust / Annual Report / January 31, 2008
- ------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE-DURATION
GOVERNMENT FUND
- ------------------------------------------------------------------------------------------------------------------------
2008 2007
- ------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 1,566 $ 3,034
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts 865 (1,960)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 1,693 1,422
- ------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 4,124 2,496
- ------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
Net Investment Income (1,582) (3,175)
- ------------------------------------------------------------------------------------------------------------------------
Total Dividends (1,582) (3,175)
- ------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 28,014 18,086
Reinvestment of Dividends & Distributions 1,197 1,027
Cost of Shares Redeemed (28,016) (57,672)
- ------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 1,195 (38,559)
- ------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 3,737 (39,238)
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 46,635 85,873
- ------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 50,372 $ 46,635
- ------------------------------------------------------------------------------------------------------------------------
Undistributed (Distributions in Excess of) Net Investment Income $ (5) $ (42)
- ------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 2,704 1,790
Reinvestment of Distributions 116 101
Shares Redeemed (2,741) (5,700)
- ------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions 79 (3,809)
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
GNMA
FUND
- ------------------------------------------------------------------------------------------------------------------------
2008 2007
- ------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 6,565 $ 7,135
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (21) (704)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 3,808 (1,350)
- ------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 10,352 5,081
- ------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
Net Investment Income (6,742) (7,688)
- ------------------------------------------------------------------------------------------------------------------------
Total Dividends (6,742) (7,688)
- ------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 23,497 21,717
Reinvestment of Dividends & Distributions 2,369 3,379
Cost of Shares Redeemed (58,363) (45,102)
- ------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions (32,497) (20,006)
- ------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (28,887) (22,613)
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 143,711 166,324
- ------------------------------------------------------------------------------------------------------------------------
END OF YEAR $114,824 $143,711
- ------------------------------------------------------------------------------------------------------------------------
Undistributed (Distributions in Excess of) Net Investment Income $ (29) $ (21)
- ------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 2,490 2,323
Reinvestment of Distributions 252 362
Shares Redeemed (6,207) (4,831)
- ------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions (3,465) (2,146)
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
ULTRA SHORT
BOND FUND
- ------------------------------------------------------------------------------------------------------------------------
2008 2007
- ------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net Investment Income $ 13,149 $ 15,365
Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,100) (1,432)
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts (5,293) 1,806
- ------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 6,756 15,739
- ------------------------------------------------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS:
Net Investment Income (13,045) (15,345)
- ------------------------------------------------------------------------------------------------------------------------
Total Dividends (13,045) (15,345)
- ------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 300,337 236,013
Reinvestment of Dividends & Distributions 11,765 12,936
Cost of Shares Redeemed (135,270) (422,740)
- ------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from Class A Transactions 176,832 (173,791)
- ------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 170,543 (173,397)
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF YEAR 238,820 412,217
- ------------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 409,363 $ 238,820
- ------------------------------------------------------------------------------------------------------------------------
Undistributed (Distributions in Excess of) Net Investment Income $ -- $ (32)
- ------------------------------------------------------------------------------------------------------------------------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 30,805 23,734
Reinvestment of Distributions 1,195 1,300
Shares Redeemed (13,707) (42,512)
- ------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Shares Outstanding from Share Transactions 18,293 (17,478)
- ------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 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 Net Asset
Beginning Investment (Losses) from Investment and Value, End Total
of Year Income(1) on Securities Operations Income Distributions of Year Return+
- -----------------------------------------------------------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 5.23%
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 5.07
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.30
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.37
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.04
CLASS B
2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.92%
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.76
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.99
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.07
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.74
CLASS C
2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.71%
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.55
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.78
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.86
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.54
SWEEP CLASS
2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.45%
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.29
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.53
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.61
2004 1.00 -- -- -- --(2) --(2) 1.00 0.29
GOVERNMENT FUND
CLASS A
2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.98%
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.97
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.21
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.30
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.00
CLASS B
2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.67%
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.66
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.90
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.00
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.69
CLASS C
2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.46%
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.45
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.70
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.80
2004 1.00 -- -- -- --(2) --(2) 1.00 0.49
- --------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
End of Year to Average (Excluding to Average
($ Thousands) Net Assets Waivers) Net Assets
- --------------------------------------------------------------------------------
MONEY MARKET FUND
CLASS A
2008 $ 401,174 0.18% 0.63% 5.13%
2007 623,314 0.18 0.63 4.97
2006 392,207 0.18 0.62 3.25
2005 524,849 0.18 0.62 1.38
2004 603,798 0.18 0.62 1.05
CLASS B
2008 $ 166,627 0.48% 0.68% 4.82%
2007 148,053 0.48 0.68 4.61
2006 123,851 0.48 0.67 2.98
2005 107,650 0.48 0.67 1.10
2004 124,401 0.48 0.67 0.74
CLASS C
2008 $ 259,640 0.68% 0.88% 4.61%
2007 243,944 0.68 0.88 4.48
2006 232,072 0.68 0.87 2.83
2005 152,060 0.68 0.87 0.84
2004 200,467 0.68 0.87 0.55
SWEEP CLASS
2008 $ 133,223 0.93% 1.13% 4.35%
2007 91,087 0.93 1.13 4.19
2006 113,107 0.93 1.12 2.60
2005 69,101 0.93 1.12 0.61
2004 87,791 0.93 1.12 0.30
GOVERNMENT FUND
CLASS A
2008 $1,031,612 0.20% 0.53% 4.79%
2007 507,735 0.20 0.54 4.88
2006 467,445 0.20 0.53 3.23
2005 369,440 0.20 0.53 1.32
2004 329,940 0.20 0.53 0.99
CLASS B
2008 $ 197,593 0.50% 0.58% 4.53%
2007 122,674 0.50 0.59 4.57
2006 122,025 0.50 0.58 2.84
2005 156,741 0.50 0.58 0.93
2004 240,491 0.50 0.58 0.70
CLASS C
2008 $ 154,244 0.70% 0.78% 4.35%
2007 137,375 0.70 0.79 4.37
2006 129,416 0.70 0.78 2.74
2005 86,267 0.70 0.78 0.77
2004 105,763 0.70 0.78 0.50
- --------------------------------------------------------------------------------
38 SEI Daily Income Trust / Annual Report / January 31, 2008
- -----------------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends Net Asset
Beginning Investment (Losses) from Investment and Value, End Total
of Year Income(1) on Securities Operations Income Distributions of Year Return+
- -----------------------------------------------------------------------------------------------------------------------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.20%
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.19
2006 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2.44
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.55
2004 1.00 -- -- -- --(2) --(2) 1.00 0.25
GOVERNMENT II FUND
CLASS A
2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.97%
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.96
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.18
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.27
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.96
CLASS B
2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.66%
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.64
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.87
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.97
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.66
CLASS C
2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.45%
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.44
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.67
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.76
2004 1.00 -- -- -- --(2) --(2) 1.00 0.46
PRIME OBLIGATION FUND
CLASS A
2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 5.21%
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 5.06
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.28
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.34
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.02
- --------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
End of Year to Average (Excluding to Average
($ Thousands) Net Assets Waivers) Net Assets
- --------------------------------------------------------------------------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2008 $ 28,233 0.95% 1.03% 4.06%
2007 15,077 0.95 1.04 4.07
2006 26,361 0.95 1.03 2.43
2005 27,841 0.95 1.03 0.51
2004 46,254 0.95 1.03 0.25
GOVERNMENT II FUND
CLASS A
2008 $1,354,361 0.20% 0.48% 4.81%
2007 680,219 0.20 0.49 4.86
2006 576,242 0.20 0.48 3.18
2005 515,216 0.20 0.48 1.25
2004 568,888 0.20 0.47 0.96
CLASS B
2008 $ 150,900 0.50% 0.53% 4.53%
2007 140,930 0.50 0.54 4.56
2006 168,616 0.50 0.53 2.80
2005 160,509 0.50 0.53 0.92
2004 201,085 0.50 0.52 0.66
CLASS C
2008 $ 43,538 0.70% 0.73% 4.05%
2007 4,089 0.70 0.74 4.38
2006 4,457 0.70 0.73 2.39
2005 18,637 0.70 0.73 0.71
2004 46,853 0.70 0.72 0.46
PRIME OBLIGATION FUND
CLASS A
2008 $3,740,714 0.20% 0.48% 5.10%
2007 3,382,051 0.20 0.49 4.96
2006 2,957,074 0.20 0.48 3.26
2005 2,972,833 0.20 0.48 1.31
2004 3,235,847 0.20 0.48 1.02
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, 2008 39
Financial Highlights
For the years ended January 31,
For a Share Outstanding Throughout the Years
- -----------------------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends Net Asset
Beginning Investment (Losses) from Investment and Value, End Total
of Year Income(1) on Securities Operations Income Distributions of Year Return+
- -----------------------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.90%
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.74
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.98
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.03
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.72
CLASS C
2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.69%
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.53
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.77
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.83
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.52
CLASS H
2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.76%
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.61
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.84
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.90
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.59
SWEEP CLASS
2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.43%
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.27
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.51
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.58
2004 1.00 -- -- -- --(2) --(2) 1.00 0.27
TREASURY FUND
CLASS A
2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.64%
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.95
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.13
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.22
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.96
CLASS B
2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.33%
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.64
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.82
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.91
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.66
CLASS C
2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.12%
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.43
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.62
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.71
2004 1.00 -- -- -- --(2) --(2) 1.00 0.46
- --------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
End of Year to Average (Excluding to Average
($ Thousands) Net Assets Waivers) Net Assets
- --------------------------------------------------------------------------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2008 $475,700 0.50% 0.53% 4.82%
2007 715,879 0.50 0.54 4.65
2006 625,831 0.50 0.53 2.88
2005 663,635 0.50 0.53 1.05
2004 572,097 0.50 0.53 0.72
CLASS C
2008 $641,977 0.70% 0.73% 4.60%
2007 780,951 0.70 0.74 4.45
2006 779,625 0.70 0.73 2.76
2005 730,310 0.70 0.73 0.82
2004 864,829 0.70 0.73 0.52
CLASS H
2008 $ 80,958 0.63% 0.66% 4.65%
2007 65,512 0.63 0.67 4.55
2006 36,006 0.63 0.66 2.81
2005 41,221 0.63 0.66 0.90
2004 36,023 0.63 0.66 0.59
SWEEP CLASS
2008 $ 56,378 0.95% 0.98% 4.34%
2007 47,991 0.95 0.99 4.20
2006 45,130 0.95 0.98 2.53
2005 32,908 0.95 0.98 0.58
2004 37,399 0.95 0.98 0.28
TREASURY FUND
CLASS A
2008 $610,451 0.20% 0.53% 4.36%
2007 287,595 0.20 0.54 4.87
2006 208,097 0.20 0.53 3.05
2005 292,974 0.20 0.53 1.21
2004 264,544 0.20 0.53 0.92
CLASS B
2008 $761,497 0.50% 0.58% 4.07%
2007 359,090 0.50 0.59 4.58
2006 239,461 0.50 0.58 2.81
2005 206,698 0.50 0.58 0.85
2004 325,687 0.50 0.58 0.65
CLASS C
2008 $144,919 0.70% 0.78% 4.00%
2007 100,928 0.70 0.79 4.34
2006 113,403 0.70 0.78 2.70
2005 68,932 0.70 0.78 0.66
2004 109,647 0.70 0.78 0.45
- --------------------------------------------------------------------------------
40 SEI Daily Income Trust / Annual Report / January 31, 2008
- -----------------------------------------------------------------------------------------------------------------------------
Net Realized
and
Net Asset Unrealized Dividends Total
Value, Net Gains Total from Net Dividends Net Asset
Beginning Investment (Losses) from Investment and Value, End Total
of Year Income(1) on Securities Operations Income Distributions of Year Return+
- -----------------------------------------------------------------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 3.86%
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.17
2006 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2.36
2005 1.00 -- -- -- --(2) --(2) 1.00 0.49
2004 1.00 -- -- -- --(2) --(2) 1.00 0.23
TREASURY II FUND
CLASS A
2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.11%
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.62
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.85
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.09
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.81
CLASS B
2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 3.81%
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.31
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.54
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.79
2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.51
CLASS C
2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 3.59%
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.10
2006 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2.33
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.59
2004 1.00 -- -- -- --(2) --(2) 1.00 0.31
- --------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
End of Year to Average (Excluding to Average
($ Thousands) Net Assets Waivers) Net Assets
- --------------------------------------------------------------------------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2008 $111,853 0.95% 1.03% 3.74%
2007 97,004 0.95 1.04 4.11
2006 83,570 0.95 1.03 2.35
2005 95,407 0.93 1.03 0.49
2004 95,679 0.92 1.03 0.22
TREASURY II FUND
CLASS A
2008 $516,164 0.21% 0.53% 3.72%
2007 181,976 0.25 0.53 4.50
2006 178,480 0.25 0.53 2.78
2005 263,727 0.25 0.53 1.08
2004 269,200 0.25 0.53 0.80
CLASS B
2008 $109,384 0.51% 0.58% 3.54%
2007 51,984 0.55 0.58 4.18
2006 70,593 0.55 0.58 2.50
2005 78,781 0.55 0.58 0.70
2004 160,859 0.55 0.58 0.51
CLASS C
2008 $ 7,254 0.72% 0.79% 3.71%
2007 20,267 0.75 0.78 4.04
2006 2,602 0.75 0.78 2.03
2005 31,370 0.75 0.78 0.54
2004 58,424 0.75 0.78 0.30
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, 2008 41
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(1) on Securities Operations Income Gains Distributions
- ---------------------------------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2008 $ 9.95 $0.46 $ 0.28 $0.74 $(0.48) $ -- $(0.48)
2007 10.02 0.42 (0.04) 0.38 (0.45) -- (0.45)
2006 10.19 0.32 (0.13) 0.19 (0.36) -- (0.36)
2005 10.35 0.22 (0.12) 0.10 (0.26) -- (0.26)
2004 10.46 0.22 (0.06) 0.16 (0.27) -- (0.27)
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2008 $10.13 $0.45 $ 0.63 $1.08 $(0.45) $ -- $(0.45)
2007 10.21 0.42 (0.06) 0.36 (0.44) -- (0.44)
2006 10.50 0.36 (0.26) 0.10 (0.39) -- (0.39)
2005 10.64 0.31 (0.11) 0.20 (0.33) (0.01) (0.34)
2004 10.89 0.31 0.01 0.32 (0.33) (0.24) (0.57)
GNMA FUND
CLASS A
2008 $ 9.34 $0.45 $ 0.30 $0.75 $(0.46) $ -- $(0.46)
2007 9.48 0.44 (0.11) 0.33 (0.47) -- (0.47)
2006 9.71 0.41 (0.16) 0.25 (0.48) -- (0.48)
2005 9.86 0.39 (0.04) 0.35 (0.50) -- (0.50)
2004 10.13 0.30 (0.09) 0.21 (0.48) -- (0.48)
ULTRA SHORT BOND FUND
CLASS A
2008 $ 9.97 $0.48 $(0.28) $0.20 $(0.48) $ -- $(0.48)
2007 9.95 0.45 0.03 0.48 (0.46) -- (0.46)
2006++ 10.00 0.32 (0.04) 0.28 (0.33) -- (0.33)
2005++ 10.10 0.20 (0.10) 0.10 (0.20) -- (0.20)
2004++ 10.15 0.20 (0.05) 0.15 (0.20) -- (0.20)
- ---------------------------------------------------------------------------------------------------------------------
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income Portfolio
Value, End Total End of Year to Average (Excluding to Average Turnover
of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets Rate
- ---------------------------------------------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2008 $10.21 7.65% $172,892 0.45% 0.76% 4.63% 266%
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
INTERMEDIATE-DURATION GOVERNMENT FUND
CLASS A
2008 $10.76 10.97% $ 50,372 0.50% 0.75% 4.34% 234%
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
GNMA FUND
CLASS A
2008 $ 9.63 8.31% $114,824 0.60% 0.72% 4.82% 271%
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
ULTRA SHORT BOND FUND
CLASS A
2008 $ 9.69 2.06% $409,363 0.35% 1.28% 4.87% 54%
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
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.
The accompanying notes are an integral part of the financial statements.
- --------------------------------------------------------------------------------
42 SEI Daily Income Trust / Annual Report / January 31, 2008
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
U.S. generally accepted accounting principles, 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, except
those securities which are covered by the Capital Support Agreement, 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. Refer to Note 10 for a discussion of the
Capital Support Agreement entered into by the Money Market Fund and the Prime
Obligation Fund.
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.
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, 2008 43
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FUTURES CONTRACTS -- The Fixed Income Funds utilized futures contracts during
the year ended January 31, 2008. 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 Fixed Income Funds represents the Fund's total exposure in
such contracts, whereas only the net unrealized appreciation (depreciation) is
reflected in the Fund's net assets.
SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an
agreement is made to exchange returns from predetermined investments or
instruments, including a particular interest rate, foreign currency, or "basket"
of securities representing a particular index. Credit-default swaps involve the
periodic payment by the Fund or counterparty of interest based on a specified
rate multiplied by a notional amount assigned to an underlying debt instrument
or group of debt instruments in exchange for the assumption of credit risk on
the same instruments. In the event of a credit event, usually in the form of a
credit rating downgrade, the party receiving periodic payments (i.e. floating
rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to
the outstanding principal of the downgraded debt instrument. Total return swaps
allow an investor to benefit from the cash flow without ever actually owning the
underlying security. The receiver must pay any decline in value to the payer at
the end of the total return swaps. However, the investor does not need to make a
payment if there is no decline in price. Payments can be made on various
indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans
or commodities. The value of a total return swap is equal to the change in value
of the underlying asset versus the accrued income payment based on LIBOR (London
Interbank Offered Rate) or some other form of index on the notional amount.
Interest rate swaps involve the exchange by a Fund with another party of their
respective commitments to pay or receive interest (e.g., an exchange of floating
rate payments for fixed rate payments) with respect to a notional amount of
principal to manage the Fund's exposure to interest rates. Payments received or
made are recorded as realized gains or losses. The Fund could be exposed to
credit or market risk due to unfavorable changes in the fluctuation of interest
rates or if the counterparty defaults on its obligation to perform. Risk of loss
may exceed amounts recognized on the statement of assets and liabilities. In
connection with swap agreements, securities may be set aside as collateral by
the Fund's custodian. A Fund may enter into swap agreements in order to, among
other things, change the maturity or duration of the investment portfolio;
protect the Fund's value from changes in interest rates; or expose a Fund to a
different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and
the resulting changes in market values, if any, are recorded as unrealized gains
or losses in the Statement of Operations. Net payments of interest are recorded
as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Schedule of
Investments or the Statement of Assets and Liabilities. Such risks involve the
possibility that there will be no liquid market for these agreements, that the
counterparty to the agreement may default on its obligation to perform and that
there may be unfavorable changes in the fluctuation of interest rates. Risks
also arise from potential losses from adverse market movements. There were no
swap agreements as of January 31, 2008.
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 DEBT OBLIGATIONS -- The Funds may invest in collateralized debt
obligations ("CDOs"), which include 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. CDOs may charge
management fees and administrative expenses.
- --------------------------------------------------------------------------------
44 SEI Daily Income Trust / Annual Report / January 31, 2008
For CDOs, the cashflows from the trust are split into two or more portions,
called tranches, varying in risk and yield. The riskiest portion is the "equity"
tranche which bears the bulk of defaults from the bonds or loans in the trust
and serves to protect the other, more senior tranches from default in all but
the most severe circumstances. Since it is partially protected from defaults, a
senior tranche from a CDO trust typically has a higher rating and lower yield
than their underlying securities, and can be rated investment grade. Despite the
protection from the equity tranche, CDO tranches can experience substantial
losses due to actual defaults, increased sensitivity to defaults due to
collateral default and disappearance of protecting tranches, market anticipation
of defaults, as well as aversion to CDO securities as a class.
The risks of an investment in a CDO depend largely on the type of the collateral
securities and the class of the CDO in which a Fund invests. Normally, CLOs and
other CDOs are privately offered and sold, and thus, are not registered under
the securities laws. As a result, investments in CDOs may be characterized by
the Funds as illiquid securities; however, an active dealer market may exist for
CDOs allowing a CDO to qualify for Rule 144A transactions. In addition to the
normal risks associated with fixed income securities (e.g., interest rate risk
and default risk), CDOs carry additional risks including, but not limited to:
(i) the possibility that distributions from collateral securities will not be
adequate to make interest or other payments; (ii) the quality of the collateral
may decline in value or default; (iii) the Funds may invest in CDOs that are
subordinate to other classes; and (iv) the complex structure of the security may
not be fully understood at the time of investment and may produce disputes with
the issuer or unexpected investment results.
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, 2008, 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 Funds have 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, 2008, were as follows:
NUMBER ACQUISITION COST FAIR VALUE % OF NET
OF SHARES DATE ($THOUSANDS) ($THOUSANDS) ASSETS
- ----------------------------------------------------------------------------------------
MONEY MARKET FUND
Metropolitan Life
Insurance 30,000 05/01/03 $ 30,000 $ 30,000 3.12%
Morgan Stanley
Asset Funding 25,000 03/15/07 25,000 25,000 2.60
Monumental Life
Insurance 9,500 03/21/03 9,500 9,500 0.99
-------- -------- ----
$ 64,500 $ 64,500 6.71%
======== ======== ====
PRIME OBLIGATION FUND
Metropolitan Life
Insurance 160,000 05/01/03 $160,000 $160,000 3.20%
Morgan Stanley
Asset Funding 75,000 03/15/07 75,000 75,000 1.50
Monumental Life
Insurance 101,500 03/21/03 101,500 101,500 2.04
-------- -------- ----
$336,500 $336,500 6.74%
======== ======== ====
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 45
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 (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) .20%(4)
Class B .48%(1) .50%(3) .50%(2) .50%(2) .50%(2) .50%(4)
Class C .68%(1) .70%(3) .70%(2) .70%(2) .70%(2) .70%(4)
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.
(4) 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. Effective May 1, 2007 management has voluntarily waived
fees to a cap of .20%, .50% and .70% of Class A, B, C, respectively, that
may be discontinued at any time.
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 Changes
in Net Assets, for reimbursement of investment losses incurred of $100,000.
Treasury II Portfolio's Statement of Assets and Liabilities at January 31, 2008
has been adjusted to reflect the impact of this reimbursement.
DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"),
a wholly owned subsidiary of 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.
- --------------------------------------------------------------------------------
Shareholder Administrative
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%
- --------------------------------------------------------------------------------
46 SEI Daily Income Trust / Annual Report / January 31, 2008
- --------------------------------------------------------------------------------
Shareholder Administrative
Servicing Service Distribution
Fees Fees Fees*
- --------------------------------------------------------------------------------
Treasury Fund
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Sweep Class .25% -- .50%
Treasury II Fund
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Short-Duration Government Fund
Class A .25% -- --
Intermediate-Duration Government Fund
Class A .25% -- --
GNMA Fund
Class A .25% -- --
Ultra Short Bond Fund
Class A .25% -- --
* These payments are characterized as "compensation" and are not directly tied
to expenses incurred by the Distributor. The payments the Distributor receives
during any year may therefore be higher or lower than its actual expenses.
These payments may be used to compensate sweep class shareholders who provide
distribution-related services to their customers.
The Distributor has voluntarily waived all or a portion of the shareholder
servicing fees for Class A of each fund, except for the GNMA 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.
The services provided by the Chief Compliance Officer ("CCO") and his staff,
whom are employees of the Administrator, are paid for by the Trust as incurred.
The services include regulatory oversight of the Trust's Advisors and service
providers as required by SEC regulations. The CCO's services have been approved
by and are reviewed by the Board.
CAPITAL SUPPORT AGREEMENT -- The Money Market Fund and Prime Obligation Fund
have entered into a Capital Support Agreement with SEI Investments Company
("SEI"). Please see Note 10 for more information.
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 $1 billion for the Ultra Short Bond Fund. The fee will be calculated based on
the net assets of the Ultra Short Bond Fund.
Pursuant to the "manager of managers" structure, the Board of Trustees approved
Columbia Management Advisors, LLC (formerly Banc of America Capital Management,
LLC) as each Money Market Fund's investment sub-adviser under an investment
sub-advisory agreement approved by the shareholders of each Fund. For its
services to the Money Market Funds, the sub-adviser is entitled to receive a fee
paid directly by SIMC.
Wellington Management Company, LLP ("Wellington LLP") serves as sub-adviser to
the Fixed Income Funds under an investment sub-advisory agreement approved by
the shareholders of each Fund. For its services to the Funds, Wellington LLP is
entitled to receive a fee paid directly by SIMC.
U.S. Bank, N.A. serves as the custodian of the Funds. The custodian plays no
role in determining the investment policies of the Funds or which securities are
to be purchased or sold in the Funds.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities, for the year ended
January 31, 2008, were as follows for the Fixed Income Funds:
- --------------------------------------------------------------------------------
Short- Intermediate- Ultra
Duration Duration Short
Government Government GNMA Bond
Fund Fund Fund Fund
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
PURCHASES
U.S. Government $354,264 $74,059 $362,724 $30,949
Other -- -- -- 61,519
SALES
U.S. Government $302,940 $83,191 $395,175 $19,716
Other -- -- -- 95,239
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 47
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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.
Management has analyzed the Funds' tax position taken on federal income tax
returns for all open tax years and has concluded that as of January 31, 2008, no
provision for income tax would be required in the Funds' financial statements.
The Funds' federal and state income and federal excise tax returns for tax years
for which the applicable statutes of limitations have not expired are subject to
examination by the Internal Revenue Service and state departments of revenue.
RECLASSIFICATION OF COMPONENTS OF NET ASSETS -- The timing and characterization
of certain income and capital gain distributions are determined annually in
accordance with Federal tax regulations which may differ from accounting
principles generally accepted in the United States. As a result, net investment
income (loss) and net realized gain (loss) on investment transactions for the
reporting period may differ from distributions during such period. These
book/tax differences may be temporary or permanent in nature. To the extent
these differences are permanent, they are charged or credited to Paid-in
Capital, undistributed net investment income, or accumulated net realized gain,
as appropriate, in the periods that the differences arise. These
reclassifications, which have no impact on net asset value of the Fund, are
primarily attributable to swap income reclassification, expiration of capital
loss carryovers and 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 year ended January 31, 2008:
- --------------------------------------------------------------------------------
Undistributed Accumulated
Net Investment Net Realized
Paid-in Capital Income Gain (Loss)
($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------
Short-Duration Government Fund $ -- $203 $(203)
Intermediate-Duration Government Fund -- 53 (53)
GNMA Fund (109) 169 (60)
Ultra Short Bond Fund -- (72) 72
The tax character of dividends and distributions during the last two fiscal
years was as follows:
- ---------------------------------------------------------------------------------------
Ordinary Long-term
Income Capital Gain Total
($ Thousands) ($ Thousands) ($ Thousands)
- ---------------------------------------------------------------------------------------
Money Market Fund 2008 $ 56,488 $-- $ 56,488
2007 60,356 -- 60,356
Government Fund 2008 48,798 -- 48,798
2007 36,529 -- 36,529
Government II Fund 2008 43,747 -- 43,747
2007 37,566 -- 37,566
Prime Obligation Fund 2008 277,604 -- 277,604
2007 233,756 -- 233,756
Treasury Fund 2008 48,447 -- 48,447
2007 33,879 -- 33,879
Treasury II Fund 2008 10,234 -- 10,234
2007 10,686 -- 10,686
Short-Duration Government Fund 2008 5,655 -- 5,655
2007 6,236 -- 6,236
Intermediate-Duration
Government Fund 2008 1,582 -- 1,582
2007 3,175 -- 3,175
GNMA Fund 2008 6,742 -- 6,742
2007 7,688 -- 7,688
Ultra Short Bond Fund 2008 13,045 -- 13,045
2007 15,345 -- 15,345
As of January 31, 2008, the components of Distributable Earnings/(Accumulated
Losses) on a tax basis were as follows:
- --------------------------------------------------------------------------------------------------------------------------------
Undistributed Capital Post- Other Unrealized Total
Ordinary Loss October Temporary Appreciation/ Accumulated
Income Carryforwards Losses Differences (Depreciation) Losses
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------------------------------------------------------
Money Market Fund $ 3,501 $ (22) $ (1) $(3,501) $ (2,861) $ (2,884)
Government Fund 4,645 (100) -- (4,645) -- (100)
Government II Fund 4,280 (31) -- (4,280) -- (31)
Prime Obligation Fund 18,324 (124) -- 18,324 (14,480) (14,604)
Treasury Fund 3,904 (93) -- (3,904) -- (93)
Treasury II Fund 1,374 (31) -- (1,374) -- (31)
Short-Duration Government
Fund 620 (4,954) (511) (615) 1,118 (4,342)
Intermediate-Duration
Government Fund 162 (2,056) -- (167) 643 (1,418)
GNMA Fund 390 (11,665) (162) (419) 2,115 (9,741)
Ultra Short Bond Fund 1,455 (5,076) -- (1,456) (6,463) (11,540)
Amounts designated as "--" are $0 or have been rounded to $0.
- --------------------------------------------------------------------------------
48 SEI Daily Income Trust / Annual Report / January 31, 2008
At January 31, 2008, the following funds had capital loss carryforwards to
offset future realized capital gains:
- --------------------------------------------------------------------------------
Amount Expiration
($ Thousands) Date
- --------------------------------------------------------------------------------
Money Market Fund $ 16 1/31/14
2 1/31/15
4 1/31/16
Government Fund 5 1/31/10
5 1/31/11
54 1/31/13
4 1/31/14
32 1/13/16
Government II Fund 3 1/31/12
7 1/31/13
5 1/31/14
16 1/31/16
Prime Obligation Fund 27 1/31/10
43 1/31/11
2 1/31/12
14 1/31/13
18 1/31/14
20 1/31/16
Treasury Fund 65 1/31/11
1 1/31/12
22 1/31/13
5 1/31/14
Treasury II Fund 27 1/31/14
4 1/31/16
Short-Duration Government Fund 2,169 1/31/14
2,785 1/31/15
Intermediate-Duration Government Fund 2,056 1/31/15
GNMA Fund 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
198 1/31/16
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
296 1/31/16
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, 2008, the Short-Duration Government Fund and
Intermediate-Duration Government Fund utilized $2,433,815 and $1,318,946,
respectively, of capital loss carryforwards, to offset capital gains.
At January 31, 2008, the Money Market Funds' (excluding the Money Market Fund
and Prime Obligation Fund) cost of securities for Federal income tax purposes
approximates the cost located in the Statements of Assets and Liabilities.
The Federal tax cost and aggregate gross unrealized appreciation and
depreciation on investments held by the Money Market Fund, Prime Obligation Fund
and Fixed Income Funds at January 31, 2008, were as follows:
- --------------------------------------------------------------------------------------
Net
Unrealized
Federal Appreciated Depreciated Appreciation/
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
- --------------------------------------------------------------------------------------
Money Market Fund $ 963,615 2 (2,863) (2,861)
Prime Obligation
Fund 5,015,000 -- (14,480) (14,480)
Short-Duration
Government Fund 236,350 1,472 (354) 1,118
Intermediate-Duration
Government Fund 53,605 941 (298) 643
GNMA Fund 138,656 5,509 (3,394) 2,115
Ultra Short
Bond Fund 418,582 1,744 (8,207) (6,463)
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.
Investments in structured securities (such as those issued by Structured
Investment Vehicles, or "SIVs") which are collateralized by residential real
estate mortgages are subject to certain credit and liquidity risks. When market
conditions result in an increase in default rates of the underlying mortgages
and the foreclosure values of underlying real estate properties are materially
below the outstanding amount of these underlying mortgages, collection of
accrued interest and principal on these investments may be doubtful. Such market
conditions may significantly impair the value of these investments resulting in
a lack of correlation between their credit ratings and values.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 49
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
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. The per share information included
in the financial highlights for all periods prior to the reverse share split
have been adjusted to properly reflect the effects of the reverse share spilt on
a retroactive basis.
9. NEW ACCOUNTING PRONOUNCEMENT
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 U.S. 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, 2008, 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.
10. CAPITAL SUPPORT AGREEMENT
On November 8, 2007, the Money Market and Prime Obligation Funds each entered
into a Capital Support Agreement with SEI, which is the parent company of SIMC.
The Capital Support Agreements require SEI to commit capital to the Funds,
subject to the aggregate limit of $3 million and $126 million for the Money
Market Fund and Prime Obligation Fund, respectively, if a Fund realizes payments
or sales proceeds from specified securities ("Eligible Notes") held by the Funds
which are less than the amortized cost of such securities and such loss causes
the Fund's mark-to-market net asset value to drop below $0.9950 for the Money
Market Fund or $0.9975 for the Prime Obligation Fund. The mark-to-market net
asset value is calculated using the market value of all securities in the Money
Market and Prime Obligation Funds. The net asset value in the financial
statements is calculated using the amortized cost for all securities except the
Eligible Notes. The Eligible Notes held in the Funds on January 31, 2008 are
footnoted on the Schedule of Investments. On February 15, 2008, the Agreement
for the Prime Obligation Fund was amended to increase the maximum contribution
amount to $150 million. Upon the sale or other disposition of an Eligible Note,
the amount of required capital commitment would be the least of the following
amounts: (i) the amount, if any, by which the amortized cost of the Eligible
Note exceeds the amount realized from the sale or other disposition of the
security; (ii) the amount, if any, necessary to restore the net asset value per
share of the Fund to $0.9950 for the Money Market Fund or $0.9975 for the Prime
Obligation Fund, or (iii) the remaining amount of the aggregate limit of the
Capital Support Agreement, taking into account all prior contributions. SEI's
obligations under the Agreements are supported by a Letter of Credit issued by a
bank having a First Tier credit rating and, in the case of the Prime Obligation
Fund, cash held in a segregated account in the amounts of $3 million and $150
million for the Money Market and Prime Obligation Funds, respectively. The Funds
will draw on the Letter of Credit or the segregated account in the event that
SEI fails to make a cash contribution when due under the Agreement.
The Funds will sell the Eligible Notes (i) promptly following any change in the
Letter of Credit provider's short term credit ratings such that the Letter of
Credit provider's obligations no longer qualify as First Tier Securities as
defined in paragraph (a)(12) of Rule 2a-7, or (ii) on the business day
immediately prior to the termination date of the Agreement; provided that the
Funds are not required to complete any such sale if the amount the Funds expect
to receive would not result in the payment of a Capital Contribution, or, with
respect to an event described in (i) above, if SEI substitutes an obligation or
credit support that satisfies the requirement of a First Tier Security within
fifteen (15) calendar days from the occurrence of such event and, during such 15
day period, the Letter of Credit provider's obligations continue to qualify as
Second Tier Securities under paragraph (a)(22) of Rule 2a-7. The termination
date of the Agreement is November 6, 2008, although that date may be extended
upon agreement of SEI and the Funds, subject to the prior approval of the staff
of the U.S. Securities and Exchange Commission.
- --------------------------------------------------------------------------------
50 SEI Daily Income Trust / Annual Report / January 31, 2008
The following table shows the Eligible Notes and their amortized cost and fair
market value as of January 31, 2008.
MONEY MARKET FUND
- -----------------------------------------------------------------------------------------------------------------
Unrealized
Amortized Fair Appreciation/
Face Cost Value (Depreciation)
Description Amount (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------
Asscher Finance MTN 5.500%, 07/16/08 9,507,000 $ 9,507 $ 9,509 $ 2
Cheyne Finance LLC MTN 3.065%, 06/09/08 10,000,000 9,999 8,600 (1,399)
Cheyne Finance LLC MTN 3.063%, 03/25/08 10,000,000 9,999 8,600 (1,399)
Cullinan Finance MTN 3.070%, 03/25/08 27,500,000 27,498 27,463 (35)
Sigma Finance MTN 3.135%, 04/10/08 8,800,000 8,799 8,769 (30)
---------- ------- ------- -------
Totals 65,807,000 $65,802 $62,941 $(2,861)
========== ======= ======= =======
PRIME OBLIGATION FUND
- -----------------------------------------------------------------------------------------------------------------
Unrealized
Amortized Fair Appreciation/
Face Cost Value (Depreciation)
Description Amount (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------
Asscher Finance MTN 5.500%, 07/16/08 40,095,000 $ 40,095 $ 40,105 $ 10
Carrera Capital Finance LLC MTN 3.236%, 07/30/08 50,000,000 50,000 49,627 (373)
Cheyne Finance LLC MTN 4.825%, 10/25/07 50,000,000 49,998 43,000 (6,998)
Cheyne Finance LLC MTN 4.815%, 01/25/08 125,000,000 124,987 107,500 (17,487)
Cheyne Finance LLC MTN 3.063%, 03/25/08 77,000,000 76,990 66,220 (10,770)
Cullinan Finance MTN 3.070%, 03/25/08 75,000,000 74,997 74,898 (99)
Kestrel Funding MTN 3.070% 03/27/08 100,000,000 99,997 99,953 (44)
Stanfield Victoria LLC MTN 3.070%, 03/20/08 80,000,000 79,998 71,200 (8,798)
------------- -------- -------- --------
Totals 597,095,000 $597,062 $552,503 $(44,559)
============= ======== ======== ========
11. SUBSEQUENT EVENT
As of March 27, 2008, the Capital Support Agreement is valued at $37,431,000 and
$0 for the Prime Obligation and Money Market Funds, respectively.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 51
SEI DAILY INCOME TRUST -- JANUARY 31, 2008
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 Fund, Government Fund, Government II Fund, Prime Obligation Fund,
Treasury Fund, Treasury II Fund, Short-Duration Government Fund,
Intermediate-Duration Government Fund, GNMA Fund, and Ultra-Short Bond Fund,
(collectively the "Funds"), as of January 31, 2008, and the related statements
of operations for the year then ended, the statements of changes in net assets
for each of the years in the two-year period then ended, and the financial
highlights for each of the years in the three-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, 2008, by correspondence with the custodian
and brokers or 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, 2008, the
results of their operations for the year then ended, the changes in their net
assets for each of the years in the two-year period then ended, and the
financial highlights for each of the years in the three-year period then ended,
in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Philadelphia, Pennsylvania
March 27, 2008
- --------------------------------------------------------------------------------
52 SEI Daily Income Trust / Annual Report / January 31, 2008
TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED)
The following chart lists Trustees and Officers as of March 1, 2008.
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.
- ------------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
TERM OF PORTFOLIOS
OFFICE IN FUND
AND PRINCIPAL COMPLEX
NAME POSITION(S) LENGTH OF OCCUPATION(S) OVERSEEN OTHER DIRECTORSHIPS
ADDRESS, HELD WITH TIME DURING PAST BY HELD BY
AND AGE TRUSTS SERVED 1 FIVE YEARS TRUSTEE 2 TRUSTEE
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEES
- -------------------
Robert A. Nesher Chairman of since 1982 Currently performs various 79 Trustee of The Advisors' Inner
One Freedom the Board services on behalf of SEI for Circle Fund, The Advisors' Inner
Valley Drive, of Trustees* which Mr. Nesher is Circle Fund II, Bishop Street
Oaks, PA 19456 compensated. Funds, Director of SEI Global
61 yrs. old 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 Fund, L.P., SEI
Multi-Strategy Funds plc., and
SEI Structured Credit Fund, L.P.
- ------------------------------------------------------------------------------------------------------------------------------------
William M. Doran Trustee* since 1982 Self-employed consultant since 79 Trustee of The Advisors' Inner
1701 Market Street 2003. Partner, Morgan, Lewis & Circle Fund, The Advisors' Inner
Philadelphia, PA Bockius LLP (law firm) from Circle Fund II, Bishop Street
19103 1976 to 2003, counsel to the Funds, Director of SEI since
67 yrs. old Trust, SEI, SIMC, the 1974. Director of the
Administrator and the Distributor since 2003. Director
Distributor. Secretary of SEI of SEI Investments -- Global Fund
since 1978. Services, Limited, SEI
Investments Global, Limited, SEI
Investments (Europe), Limited,
SEI Investments (Asia), Limited,
and SEI Asset Korea Co., Ltd.
- ------------------------------------------------------------------------------------------------------------------------------------
TRUSTEES
- --------
James M. Storey Trustee since 1995 Attorney, sole practitioner 79 Trustee of The Advisors' Inner
One Freedom since 1994. Partner, Dechert Circle Fund, The Advisors' Inner
Valley Drive, Price & Rhoads, September Circle Fund II, Bishop Street
Oaks, PA 19456 1987-December 1993. Funds, Massachusetts Health and
76 yrs. old Education Tax-Exempt Trust, and
U.S. Charitable Gift Trust.
- ------------------------------------------------------------------------------------------------------------------------------------
George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 79 Trustee of The Advisors' Inner
One Freedom Newfound Consultants Inc. Circle Fund, The Advisors' Inner
Valley Drive since April 1997. Circle Fund II, Bishop Street
Oaks, PA 19456 Funds, State Street Navigator
65 yrs. old Securities Lending Trust, SEI
Opportunity Fund, L.P., and SEI
Structured Credit Fund, L.P.
- ------------------------------------------------------------------------------------------------------------------------------------
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED"
PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF
THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR.
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER
DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF
TRUST.
2 THE FUND COMPLEX INCLUDES THE FOLLOWING: SEI ASSET ALLOCATION TRUST, SEI DAILY
INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL
INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST,
SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, LP.
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 53
TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) (CONTINUED)
- ------------------------------------------------------------------------------------------------------------------------------------
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)
- --------------------
Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 79 Director, Sonoco, Inc.;
One Freedom Health Care Reform, Director, Exelon Corporation;
Valley Drive Commonwealth of Pennsylvania Trustee, Pennsylvania Real
Oaks, PA 19456 since 2003. Founder and Estate Investment Trust.
61 yrs. old Principal, Grecoventures Ltd.
from 1999 to 2002.
- ------------------------------------------------------------------------------------------------------------------------------------
Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital 79 Director of SEI Opportunity
One Freedom since March 2002, Managing Fund, L.P., and SEI Structured
Valley Drive, Partner and Head of Sales, Credit Fund, L.P.
Oaks, PA 19456 Investorforce, March
50 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 79 Trustee/Director of Ariel
One Freedom Investment Officer, J. Paul Mutual Funds, SEI Opportunity
Valley Drive, Getty Trust, Non-Profit Fund, L.P., and SEI Structured
Oaks, PA 19456 Foundation for Visual Arts, Credit Fund, L.P.
60 yrs. old since December 2002.
President, Harbor Capital
Advisors and Harbor Mutual
Funds, 2000-2002. Manager,
Pension Asset Management, Ford
Motor Company, 1997-1999.
- ------------------------------------------------------------------------------------------------------------------------------------
Mitchell A. Johnson Trustee since 2007 Private Investor since 1994. 79 Trustee of the Advisors' Inner
One Freedom Circle Fund, The Advisor's
Valley Drive, Inner Circle Fund II, and
Oaks, PA 19456 Bishop Street Funds.
65 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
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
Oaks, PA 19456 compensated.
61 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------------
Stephen F. Panner Controller since 2005 Fund Accounting Director of N/A N/A
One Freedom and Chief the Administrator since 2005.
Valley Drive, Financial Fund Administration Manager,
Oaks, PA 19456 Officer Old Mutual Fund Services,
37 yrs. old 2000-2005. 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.
- ------------------------------------------------------------------------------------------------------------------------------------
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE
ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER
DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF
TRUST.
2 THE FUND COMPLEX INCLUDES THE FOLLOWING: SEI ASSET ALLOCATION TRUST, SEI DAILY
INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL
INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST,
SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, LP.
- --------------------------------------------------------------------------------
54 SEI Daily Income Trust / Annual Report / January 31, 2008
- ------------------------------------------------------------------------------------------------------------------------------
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)
- --------------------
Russell Emery Chief since 2006 Chief Compliance Officer of N/A N/A
One Freedom Compliance SEI Opportunity Fund, L.P.,
Valley Drive Officer Bishop Street Funds, SEI
Oaks, PA 19456 Structured Credit Fund, L.P.,
44 yrs. old 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.
- ------------------------------------------------------------------------------------------------------------------------------
Timothy D. Barto Vice since 2002 General Counsel, Vice N/A N/A
One Freedom President President and Secretary of
Valley Drive and SIMC and the Administrator
Oaks, PA 19456 Secretary since 2004. Vice President and
39 yrs. old Assistant 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,
34 yrs. old Secretary September 2001-2004.
- ------------------------------------------------------------------------------------------------------------------------------
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).
39 yrs. old Secretary
- ------------------------------------------------------------------------------------------------------------------------------
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
35 yrs. old Secretary (2004). Counsel, Permal Asset
Management (2001-2004).
- ------------------------------------------------------------------------------------------------------------------------------
Aaron Buser Vice since 2008 Vice President and Assistant N/A N/A
One Freedom President Secretary of SIMC since 2007.
Valley Drive and Associate at Stark & Stark
Oaks, PA 19456 Assistant (2004-2007). Associate at
37 yrs. old Secretary Flaster/Greenberg, P.C.
(2000-2004).
- ------------------------------------------------------------------------------------------------------------------------------
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
Oaks, PA 19456 Money Market Investments for
44 yrs. old SIMC since 2003.
- ------------------------------------------------------------------------------------------------------------------------------
Andrew S. Decker Anti-Money since 2008 Compliance Officer and Product N/A N/A
One Freedom Laundering Manager, SEI, 2005-2008. Vice
Valley Drive Compliance President, Old Mutual Capital,
Oaks, PA 19456 Officer 2000-2005.
44 yrs. old
- ------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SEI Daily Income Trust / Annual Report / January 31, 2008 55
SEI DAILY INCOME TRUST -- JANUARY 31, 2008
Disclosure of Fund Expenses (Unaudited)
All mutual funds have operating expenses. As a shareholder of a Fund, your
investment is affected by these ongoing costs, which include (among others)
costs for portfolio management, administrative services, and shareholder reports
like this one. It is important for you to understand the impact of these costs
on your investment returns.
Operating expenses such as these are deducted from the Fund's gross income and
directly reduce your final investment return. These expenses are expressed as a
percentage of the Fund's average net assets; this percentage is known as the
Fund's expense ratio.
The following examples use the expense ratio and are intended to help you
understand the ongoing costs (in dollars) of investing in your Fund and to
compare these costs with those of other mutual funds. The examples are based on
an investment of $1,000 made at the beginning of the period shown and held for
the entire period.
The table on the next page illustrates your Fund's costs in two ways:
o ACTUAL FUND RETURN. This section helps you to estimate the actual expenses
that your Fund incurred over the period. The "Expenses Paid During Period"
column shows the actual dollar expense cost incurred by a $1,000 investment in
the Fund, and the "Ending Account Value" number is derived from deducting that
expense cost from the fund's gross investment return.
You can use this information, together with the actual amount you invested in
the fund, to estimate the expenses your Fund incurred over that period. Simply
divide your actual starting account value by $1,000 to arrive at a ratio (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply that
ratio by the number shown for your Fund under "Expenses Paid During Period."
o HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with
those of other mutual funds. It assumes that the fund had an annual 5% return
before expenses during the year, but that the expense ratio (Column 3) is
unchanged. This example is useful in making comparisons because the Securities
and Exchange Commission requires all mutual funds to make this 5% calculation.
You can assess your Fund's comparative cost by comparing the hypothetical result
for your Fund in the "Expense Paid During Period" column with those that appear
in the same charts in the shareholder reports for other funds.
NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's
actual return -- the account values shown do not apply to your specific
investment.
- --------------------------------------------------------------------------------
56 SEI Daily Income Trust / Annual Report / January 31, 2008
DISCLOSURE OF FUND EXPENSES (UNAUDITED) (CONCLUDED)
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
8/01/07 1/31/08 RATIOS PERIOD*
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,025.60 0.18% $0.92
Class B Shares 1,000.00 1,024.00 0.48% 2.45
Class C Shares 1,000.00 1,023.00 0.68% 3.47
Sweep Class Shares 1,000.00 1,021.70 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 $1,023.60 0.20% $1.02
Class B Shares 1,000.00 1,022.10 0.50% 2.55
Class C Shares 1,000.00 1,021.10 0.70% 3.57
Sweep Class Shares 1,000.00 1,019.80 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
- --------------------------------------------------------------------------------
GOVERNMENT II FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,023.70 0.20% $1.02
Class B Shares 1,000.00 1,022.10 0.50% 2.55
Class C Shares 1,000.00 1,021.10 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 $1,025.50 0.20% $1.02
Class B Shares 1,000.00 1,023.90 0.50% 2.55
Class C Shares 1,000.00 1,022.90 0.70% 3.57
Class H Shares 1,000.00 1,023.30 0.63% 3.21
Sweep Class Shares 1,000.00 1,021.60 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
8/01/07 1/31/08 RATIOS PERIOD*
- --------------------------------------------------------------------------------
TREASURY FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,020.70 0.20% $1.02
Class B Shares 1,000.00 1,019.20 0.50% 2.54
Class C Shares 1,000.00 1,018.20 0.70% 3.56
Sweep Class Shares 1,000.00 1,016.90 0.95% 4.83
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.20 0.20% $1.02
Class B Shares 1,000.00 1,022.68 0.50% 2.55
Class C Shares 1,000.00 1,021.68 0.70% 3.57
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 $1,017.30 0.20% $1.02
Class B Shares 1,000.00 1,015.80 0.50% 2.54
Class C Shares 1,000.00 1,014.70 0.70% 3.55
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
- --------------------------------------------------------------------------------
SHORT-DURATION GOVERNMENT FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,051.50 0.45% $2.33
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 $1,082.40 0.50% $2.62
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.68 0.50% $2.55
- --------------------------------------------------------------------------------
GNMA FUND
- --------------------------------------------------------------------------------
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,065.40 0.60% $3.12
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 $ 998.00 0.35% $1.76
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, 2008 57
Board of Trustees Considerations in Approving the Continuation of the Funds'
Advisory and Sub-Advisory Agreements (Unaudited)
The SEI Daily Income Trust (the "Trust") and SEI Investments Management
Corporation ("SIMC") have entered into an investment advisory agreement (the
"Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the
investment advisory services provided to 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 session 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 14-15, 2007 meetings of the Board of Trustees, the Trustees,
including a majority of the Independent Trustees, approved the Investment
Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to
act in their respective capacities for the Funds. The Board's approval was based
on its consideration and evaluation of a variety of specific factors discussed
at the meetings and at prior meetings, including:
o the nature, extent and quality of the services provided to the Funds under the
Investment Advisory Agreements, including the resources of SIMC and the
Sub-Advisers and their affiliates dedicated to the Funds;
o the Funds' investment performance and how it compared to that of other
comparable mutual funds;
o the Funds' expenses under each Investment Advisory Agreement and how those
expenses compared to those of other comparable mutual funds;
- --------------------------------------------------------------------------------
58 SEI Daily Income Trust / Annual Report / January 31, 2008
o the 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
o the extent to which economies of scale would be realized as the Funds grow and
whether fee levels in the Investment Advisory Agreements reflect those
economies of scale for the benefit of Fund investors.
NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the
nature, extent and quality of the services provided by SIMC and the Sub-Advisers
to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates
dedicated to the Funds. In this regard, the Trustees evaluated, among other
things, SIMC's and the Sub-Advisers' personnel, experience, track record and
compliance program. The Trustees found the level of SIMC's professional staff
and culture of compliance satisfactory. 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. The
Trustees found Fund performance satisfactory, and where performance was below
the benchmark, the Trustees were satisfied that appropriate steps were being
taken. 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. The Trustees further considered the fact
that the comparative fee analysis either showed that the various fees were below
average or that there was a reasonable basis for the fee level. 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. The
Trustees found that profitability was reasonable and that the margin was not
increasing despite growth in assets. 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, 2008 59
Notice to Shareholders (Unaudited)
FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL
PURPOSES ONLY.
For the fiscal year ended January 31, 2008, 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. INTEREST SHORT-TERM
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS GOVERNMENT RELATED CAPITAL GAINS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) INTEREST (1) DIVIDENDS (2) DIVIDENDS (3)
Money Market Fund 0% 100% 100% 0.04%* 100% 0%
Government Fund 0 100 100 37.40 100 0
Government II Fund 0 100 100 99.98 100 0
Prime Obligation Fund 0 100 100 0.03* 100 0
Treasury Fund 0 100 100 0.35* 100 0
Treasury II Fund 0 100 100 100 100 0
Short-Duration Government Fund 0 100 100 27.04* 100 0
Intermediate-Duration
Government Fund 0 100 100 14.27* 100 0
GNMA Fund 0 100 100 0.44* 100 0
Ultra Short Bond Fund 0 100 100 0.62* 100 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 "Interest Related
Dividends" 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 "Short-Term Capital
Gains Dividends" 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.
- --------------------------------------------------------------------------------
60 SEI Daily Income Trust / Annual Report / January 31, 2008
SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2008
Robert A. Nesher, CHAIRMAN
TRUSTEES
William M. Doran
James M. Storey
George J. Sullivan, Jr.
Rosemarie B. Greco
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
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
Aaron Buser
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Andrew S. Decker
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 (1/08)
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 2008 and 2007 as follows:
- ------------------ ----------------------------------------------------- -----------------------------------------------------
FISCAL 2008 FISCAL 2007
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
All fees and All fees and All other fees All fees and All fees and All other fees
services to the services to and services to services to the services to and services to
Trust that were service service Trust that were service service
pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that
were did not require were did not require
pre-approved pre-approval pre-approved pre-approval
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(a) Audit $175,000 N/A $0 $169,000 N/A $0
Fees(1)
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(b) Audit- $0 $0 $0 $0 $0 $0
Related
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(c) Tax $0 $0 $0 $0 $0 $0
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(d) All $5,000 $284,000 $0 $0 $227,500 $10,130
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 Trust 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 2008 FISCAL 2007
---------------------------- ----------------- ----------------
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 2008 and 2007 were $289,000 and $237,630, 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, as amended, 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, CEO and President
Date: April 4, 2008
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, CEO and President
Date: April 4, 2008
By (Signature and Title)* /s/ Stephen F. Panner
---------------------------
Stephen F. Panner, Controller & CFO
Date: April 4, 2008
* Print the name and title of each signing officer under his or her signature.