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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SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
CT Corporation
101 Federal Street
Boston, MA 02110
(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, 2009
DATE OF REPORTING PERIOD: JULY 31, 2008
ITEM 1. REPORTS TO STOCKHOLDERS.
(SEI LOGO)
New ways.
New answers.(R)
SEI Daily Income Trust
Semi-Annual Report as of July 31, 2008
Money Market Fund
Government Fund
Government II Fund
Prime Obligation Fund
Treasury Fund
Treasury II Fund
Short-Duration Government Fund
Intermediate-Duration Government Fund
GNMA Fund
Ultra Short Bond Fund
TABLE OF CONTENTS
Schedules of Investments 1
Statements of Assets and Liabilities 22
Statements of Operations 24
Statements of Changes in Net Assets 26
Financial Highlights 30
Notes to Financial Statements 35
Disclosure of Fund Expenses 45
Board of Trustees Considerations in Approving the Continuation
of the Funds' Advisory and Sub-Advisory Agreements 47
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.
SCHEDULE OF INVESTMENTS (Unaudited)
Money Market Fund
July 31, 2008
(PERFORMANCE GRAPH)
SECTOR WEIGHTINGS+:
Commercial Paper 55.3%
Certificates of Deposit 11.8%
Corporate Obligations 8.5%
U.S. Government Agency Obligations 8.3%
Insurance Funding Agreements 7.7%
Repurchase Agreement 7.5%
Municipal Bond 0.7%
Capital Support Agreement 0.2%
+ Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
COMMERCIAL PAPER (A) (B) (D)-- 55.4%
Amstel Funding
2.756%, 08/08/08 $10,000 $ 9,995
Cancara Asset Securitisation LLC
2.891%, 10/15/08 30,000 29,821
Chariot Funding LLC
2.739%, 10/06/08 10,000 9,950
Charta LLC
2.820%, 10/02/08 28,000 27,865
Citigroup Global Markets
2.757%, 08/18/08 40,000 39,948
2.791%, 09/16/08 20,000 19,929
Deutsche Bank
2.555%, 08/08/08 10,000 9,995
Edison Asset Securitization LLC
2.623%, 08/08/08 25,000 24,987
Eureka Securities
2.868%, 09/02/08 28,000 27,929
General Electric Capital
2.854%, 09/22/08 to 09/23/08 35,000 34,856
JPMorgan Chase
2.475%, 08/13/08 24,750 24,730
Jupiter Securitization LLC
2.485%, 08/07/08 10,336 10,332
Old Line Funding LLC
2.782%, 08/15/08 31,977 31,942
Picaros Funding LLC
2.556%, 08/21/08 22,000 21,969
Scaldis Capital LLC
2.783%, 08/18/08 10,000 9,987
Solitaire Funding LLC
2.901%, 10/09/08 35,000 34,807
Surrey Funding
2.757%, 08/14/08 40,000 39,960
Variable Funding Capital LLC
2.789%, 10/07/08 40,000 39,794
Victory Receivables
2.789%, 10/09/08 14,000 13,926
Windmill Funding I
2.535%, 08/15/08 2,750 2,747
--------
Total Commercial Paper
(Cost $465,469) ($ Thousands) 465,469
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Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CERTIFICATES OF DEPOSIT -- 11.8%
Bank of Tokyo-Mitsubishi
2.620%, 08/22/08 $11,000 $ 11,000
BNP Paribas
2.750%, 10/08/08 10,000 10,000
Chase Bank
2.730%, 11/17/08 5,000 5,000
Societe Generale
2.700%, 08/21/08 30,500 30,500
Wells Fargo
2.360%, 08/22/08 43,000 43,000
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Total Certificates of Deposit
(Cost $99,500) ($ Thousands) 99,500
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CORPORATE OBLIGATIONS -- 8.6%
Banque Federative du Credit Mutuel (C) (D)
2.476%, 09/13/08 2,000 2,000
Cheyne Finance LLC MTN (D) (E) (F) (G) (H)
(I) (K)*
2.063%, 03/25/08 8,168 --
2.065%, 06/09/08 8,165 --
Gryphon Funding (E) (G) (H) (I) (K) (L)
2.662%, 08/23/08 16,827 10,770
Irish Life & Permanent PLC (C) (D)
2.490%, 08/22/08 14,000 14,000
Natixis (C) (D)
2.734%, 09/08/08 35,000 35,000
Northern Rock PLC (C) (D)
2.490%, 09/04/08 10,000 10,000
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Total Corporate Obligations
(Cost $ 72,267) ($ Thousands) 71,770
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U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.3%
FNMA DN (A)
2.480%, 09/24/08 42,000 41,845
2.251%, 09/30/08 28,000 27,896
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Total U.S. Government Agency Obligations
(Cost $69,741) ($ Thousands) 69,741
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INSURANCE FUNDING AGREEMENTS -- (C) (E) (I) 7.7%
Metropolitan Life Insurance
2.951%, 01/15/09 30,000 30,000
Monumental Life Insurance
2.840%, 11/28/08 9,500 9,500
Morgan Stanley Asset Funding
2.638%, 12/05/08 25,000 25,000
--------
Total Insurance Funding Agreements
(Cost $64,500) ($ Thousands) 64,500
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SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
1
SCHEDULE OF INVESTMENTS (Unaudited)
Money Market Fund (Concluded)
July 31, 2008
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MUNICIPAL BOND -- 0.6%
TEXAS -- 0.6%
Texas State, Ser D, GO (C)
2.560%, 08/01/08 $ 5,270 $ 5,270
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Total Municipal Bond
(Cost $5,270) ($ Thousands) 5,270
--------
CAPITAL SUPPORT AGREEMENT (G) -- 0.2%
SEI Capital Support Agreement 1,998 1,998
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Total Capital Support Agreement
(Cost $--) ($ Thousands) 1,998
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REPURCHASE AGREEMENT (J) -- 7.5%
Deutsche Bank
2.180%, dated 07/31/08, to be
repurchased on 08/01/08,
repurchase price $62,983,814
(collateralized by various FHLB/
FNMA obligations, ranging in par
value $946,000-$13,000,000,
0.000%-6.050%, 12/29/08-
04/01/36, with total market
value $64,239,600) 62,980 62,980
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Total Repurchase Agreement
(Cost $62,980) ($ Thousands) 62,980
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Total Investments -- 100.1%
(Cost $839,727) ($ Thousands) $841,228
========
Percentages are based on Net Assets of $840,579 ($ Thousands).
* Non-Income Producing.
(A) The rate reported is the effective yield at time of purchase.
(B) Securities are held in connection with a letter of credit issued by a major
bank.
(C) Floating Rate Instrument. The rate reflected on the Statement of
Investments is the rate in effect on July 31, 2008. The demand and interest
rate reset features give this security a shorter effective maturity date.
(D) 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.
(E) Securities considered illiquid. The total value of such securities as of
July 31, 2008 was $75,270 ($ Thousands) and represented 8.95% of Net
Assets.
(F) On October 17, 2007, due to deterioration in the market 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.
(G) 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 July 31, 2008, the fair value of the agreement was
$1,998 ($ Thousands).
(H) The value shown is the fair value as of July 31, 2008. Please refer to Note
10 for the amortized cost value as of July 31, 2008.
(I) These securities are considered restricted. The total value of such
securities as of July 31, 2008 was $75,270 ($ Thousands) and represented
8.95% of Net Assets.
(J) Tri-Party Repurchase Agreement.
(K) Cheyne Finance LLC ("Cheyne") was a structured investment vehicle that
defaulted on its notes in October, 2007. Receivers were appointed with the
responsibility to liquidate the assets of the structure and deliver the
proceeds to the noteholders. As an alternative to accepting the proceeds
from the auction of the underlying collateral, senior noteholders of
Cheyne, including the Fund, were given the opportunity to exchange all of
their existing senior notes for certain notes issued by a newly formed
entity, Gryphon Funding Limited ("Gryphon"). The Fund elected to exchange
its Cheyne senior notes for Gryphon notes. As part of the restructuring
transaction, Gryphon, in its capacity as the holder of the senior notes in
Cheyne following its formation, was deemed to receive a cash distribution
from Cheyne following the auction. Gryphon then used this cash to purchase
from a third party a significant portion of the assets formerly held by
Cheyne. Following this transaction, Gryphon distributed the senior notes
in Cheyne back to the original senior noteholders, which included the
Fund. The Cheyne entity continues to exist following the restructuring,
holding a small residual amount of cash to satisfy known and unknown
liabilities. As a result, the Fund continues to hold its original senior
notes in Cheyne as well as the newly issued Gryphon notes. This
restructuring transaction was effected during July 2008.
(L) Notes issued by Gryphon Funding LLC were received by the Fund in connection
with a restructuring of Cheyne Finance LLC (Cheyne) on July 23, 2008.
DN -- Discount Note
FHLB -- Federal Home Loan Bank
FNMA -- Federal National Mortgage Association
GO -- Government Obligation
LLC -- Limited Liability Company
MTN -- Medium Term Note
PLC -- Public Limited Company
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
2
Government Fund
July 31, 2008
(PERFORMANCE GRAPH)
SECTOR WEIGHTINGS+:
Repurchase Agreement 95.4%
U.S. Government Agency Obligations 4.6%
+ Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 95.3%
FFCB (A)
1.970%, 08/24/08 $ 10,000 $ 9,999
2.321%, 09/03/08 55,000 55,003
FFCB, Ser 1 (A)
2.336%, 08/23/08 13,000 13,000
FHLB (A)
2.596%, 08/11/08 45,000 45,014
2.589%, 08/15/08 60,000 60,001
2.599%, 08/18/08 110,000 110,016
2.515%, 08/20/08 10,000 10,000
2.498%, 08/23/08 20,000 20,000
2.542%, 09/02/08 50,000 50,000
2.536%, 09/04/08 30,000 30,021
1.970%, 09/08/08 40,000 39,997
2.664%, 09/17/08 3,000 3,001
2.611%, 10/07/08 50,000 50,000
2.616%, 10/30/08 50,000 49,998
2.636%, 10/30/08 45,000 44,999
2.710%, 11/05/08 25,000 25,000
FHLB
2.580%, 09/03/08 20,000 20,006
2.270%, 10/29/08 35,000 35,000
2.220%, 01/02/09 23,000 23,000
2.400%, 04/21/09 16,000 15,998
2.625%, 05/05/09 15,180 15,180
FHLB DN (B)
1.820%, 08/01/08 90,646 90,646
2.486%, 09/24/08 30,000 29,889
2.465%, 10/24/08 20,000 19,886
FNMA (A)
2.736%, 10/21/08 35,000 35,000
2.635%, 10/28/08 75,000 74,978
FNMA DN (B)
2.364%, 09/10/08 55,000 54,856
2.460%, 09/24/08 80,000 79,705
2.251%, 09/30/08 100,000 99,628
2.376%, 10/20/08 30,000 29,843
2.475%, 10/29/08 60,000 59,635
2.531%, 11/26/08 11,000 10,910
2.803%, 12/22/08 50,000 49,450
2.746%, 01/14/09 30,000 29,625
FHLMC (A)
2.386%, 08/08/08 80,000 79,989
2.390%, 08/28/08 30,000 29,990
FHLMC DN (B)
2.216%, 08/21/08 10,000 9,988
2.518%, 10/31/08 20,000 19,873
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FHLMC, Ser 2 (A)
2.438%, 08/21/08 $ 20,000 $ 20,016
----------
Total U.S. Government Agency Obligations
(Cost $ 1,549,140) ($ Thousands) 1,549,140
----------
REPURCHASE AGREEMENT (C) -- 4.6%
Deutsche Bank
2.180%, dated 07/31/08, to be
repurchased on 08/01/08,
repurchase price $ 75,050,544
(collateralized by various FHLB/
FHLMC/FNMA obligations, ranging
in par value $13,100,000-$23,185,000,
3.500%-6.625%, 05/05/10-11/15/30, with
total market value $76,546,975) 75,046 75,046
----------
Total Repurchase Agreement
(Cost $75,046) ($ Thousands) 75,046
----------
Total Investments -- 99.9%
(Cost $1,624,186) ($ Thousands) $1,624,186
==========
Percentages are based on Net Assets of $1,625,866 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on July 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.
(C) Tri-Party Repurchase Agreement.
DN -- Discount Note
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
Ser -- Series
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
3
SCHEDULE OF INVESTMENTS (Unaudited)
Government II Fund
July 31, 2008
(PERFORMANCE GRAPH)
SECTOR WEIGHTINGS+:
U.S. Government Agency Obligations 100.0%
+ Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 99.9%
FFCB (A)
2.679%, 08/11/08 $ 500 $ 500
1.970%, 08/24/08 40,000 39,998
1.960%, 08/11/08 to 10/20/08 30,000 29,999
FHLB
2.596%, 08/11/08 (A) 10,000 10,000
2.589%, 08/15/08 (A) 20,000 20,001
2.599%, 08/18/08 (A) 50,000 50,002
4.885%, 08/20/08 35,000 35,048
2.515%, 08/20/08 (A) 5,000 5,000
2.433%, 08/27/08 (A) 10,000 10,002
2.380%, 08/28/08 (A) 35,000 34,978
2.536%, 09/04/08 (A) 10,000 10,007
1.970%, 09/08/08 (A) 20,000 19,999
2.230%, 09/25/08 16,000 16,000
2.250%, 10/03/08 10,000 10,000
2.621%, 10/07/08 (A) 25,000 25,000
2.260%, 10/10/08 15,000 14,992
2.615%, 10/10/08 (A) 25,000 24,999
2.632%, 10/11/08 (A) 10,000 10,011
2.200%, 10/15/08 20,000 19,987
2.629%, 10/23/08 (A) 15,000 15,000
2.270%, 10/29/08 17,000 17,000
2.636%, 10/30/08 (A) 25,000 24,999
2.630%, 11/07/08 (A) 25,000 25,002
2.220%, 01/02/09 25,000 25,000
FHLB DN (B)
1.820%, 08/01/08 160,663 160,663
5.146%, 08/06/08 60,000 59,982
2.210%, 08/20/08 50,000 49,942
5.038%, 08/22/08 87,850 87,739
4.900%, 09/05/08 110,000 109,763
2.384%, 09/12/08 35,000 34,903
2.470%, 09/19/08 73,250 73,005
2.486%, 09/24/08 30,000 29,890
FHLB, Ser 1 (A)
2.472%, 09/01/08 10,000 10,002
2.659%, 09/19/08 25,000 24,999
2.589%, 10/08/08 50,000 50,042
2.641%, 10/16/08 40,000 39,998
2.636%, 10/24/08 50,000 49,996
2.644%, 11/05/08 125,000 124,999
FHLB, Ser 2 (A)
2.410%, 09/06/08 30,000 30,000
FHLB, Ser 3
5.000%, 09/29/08 2,000 2,008
2.400%, 04/21/09 16,000 15,998
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FHLB, Ser 439
3.625%, 11/14/08 $ 30,000 $ 30,092
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Total U.S. Government Agency Obligations
(Cost $1,477,545) ($ Thousands) 1,477,545
----------
Total Investments -- 99.9%
(Cost $1,477,545) ($ Thousands) $1,477,545
==========
Percentages are based on Net Assets of $1,479,022 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on July 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.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
4
Prime Obligation Fund
July 31, 2008
(PERFORMANCE GRAPH)
SECTOR WEIGHTINGS+:
Commercial Paper 64.8%
Repurchase Agreement 14.0%
Insurance Funding Agreements 7.1%
Certificates of Deposit 5.9%
Corporate Obligations 5.4%
Capital Support Agreement 1.7%
U.S. Government Agency Obligation 0.8%
Municipal Bond 0.3%
+ Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
COMMERCIAL PAPER (A) (B) (F) -- 64.9%
Amstel Funding
2.736%, 08/14/08 $ 78,000 $ 77,923
Cancara Asset Securitisation LLC
2.556%, 08/13/08 195,000 194,834
Chariot Funding LLC
2.739%, 10/06/08 4,722 4,699
Charta
2.710%, 09/10/08 125,000 124,626
Citigroup Global Markets
2.485%, 08/08/08 39,000 38,981
2.486%, 08/14/08 21,273 21,254
2.757%, 08/18/08 117,000 116,848
2.709%, 09/08/08 125,000 124,645
2.780%, 10/15/08 70,500 70,095
Clipper Receivables LLC
2.757%, 08/11/08 97,700 97,625
Deutsche Bank
2.555%, 08/08/08 40,000 39,980
2.556%, 08/11/08 75,000 74,947
Edison Asset Securitization LLC
2.623%, 08/08/08 42,000 41,979
FCAR Owner Trust I
3.124%, 09/15/08 150,000 149,419
Gemini Securitization LLC
2.688%, 09/02/08 79,000 78,813
General Electric Capital
2.854%, 09/22/08 to 09/23/08 248,000 246,985
Goldman Sachs
2.658%, 08/28/08 177,700 177,348
Grampian Funding LLC
2.556%, 08/11/08 100,000 99,929
2.699%, 08/21/08 40,000 39,940
JPMorgan Chase
2.516%, 08/11/08 165,000 164,885
2.739%, 10/15/08 48,864 48,587
Jupiter Securitization LLC
2.475%, 08/20/08 110,000 109,857
New Center Asset Management
3.008%, 08/12/08 26,000 25,976
Old Line Funding LLC
2.770%, 10/17/08 86,600 86,091
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Picaros Funding LLC
2.556%, 08/21/08 $ 75,000 $ 74,894
Scaldis Capital LLC
2.783%, 08/18/08 140,000 139,817
Solitaire Funding LLC
2.800%, 09/04/08 100,000 99,737
Surrey Funding
2.757%, 08/14/08 15,000 14,985
Victory Receivables
2.821%, 10/07/08 to 10/08/08 199,000 197,955
Wachovia Capital Markets
2.820%, 10/02/08 200,000 199,036
Windmill Funding I
2.535%, 08/15/08 110,000 109,892
----------
Total Commercial Paper
(Cost $3,092,582) ($ Thousands) 3,092,582
----------
INSURANCE FUNDING AGREEMENTS (C) (D) (E) -- 7.1%
Metropolitan Life Insurance
2.951%, 01/15/09 160,000 160,000
Monumental Life Insurance
2.840%, 11/28/08 101,500 101,500
Morgan Stanley Asset Funding
2.638%, 12/05/08 75,000 75,000
----------
Total Insurance Funding Agreements
(Cost $336,500) ($ Thousands) 336,500
----------
CERTIFICATES OF DEPOSIT -- 5.9%
Chase Bank
2.730%, 11/17/08 35,000 35,000
Wells Fargo
2.360%, 08/22/08 248,750 248,750
----------
Total Certificates of Deposit
(Cost $283,750) ($ Thousands) 283,750
----------
CORPORATE OBLIGATIONS -- 5.4%
Cheyne Finance LLC MTN (D) (F) (G)
(H) (I) (L)*
2.063%, 03/25/08 62,896 --
4.825%, 11/17/08 40,762 --
4.815%, 11/17/08 101,894 --
Gryphon Funding (D) (E) (H) (I) (L) (M)
2.662%, 08/23/08 213,149 136,415
JPMorgan Chase MTN (C)
2.462%, 08/11/08 61,000 61,000
Stanfield Victoria Funding LLC MTN
(D) (E) (F) (H) (I) (J)
2.070%, 03/20/08 80,000 62,400
----------
Total Corporate Obligations
(Cost $284,310) ($ Thousands) 259,815
----------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
5
SCHEDULE OF INVESTMENTS (Unaudited)
Prime Obligation Fund(Concluded)
July 31, 2008
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CAPITAL SUPPORT AGREEMENT (H) -- 1.7%
SEI Capital Support Agreement $ 82,424 $ 82,424
----------
Total Capital Support Agreement
(Cost $--)($ Thousands) 82,424
----------
U.S. GOVERNMENT AGENCY OBLIGATION -- 0.8%
FNMA DN (A)
2.460%, 09/24/08 39,850 39,703
----------
Total U.S. Government Agency Obligation
(Cost $39,703) ($ Thousands) 39,703
----------
MUNICIPAL BOND -- 0.3%
TEXAS -- 0.3%
Texas State, Veterans Funding I Project,
Ser C, GO (C)
2.560%, 09/02/08 12,300 12,300
----------
Total Municipal Bond
(Cost $12,300) ($ Thousands) 12,300
----------
REPURCHASE AGREEMENT (K) -- 14.0%
Deutsche Bank
2.180%, dated 07/31/08, to be
repurchased on 08/01/08, repurchase
price $666,109,334 (collateralized
by various FHLB/FNMA obligations,
ranging in par value
$5,397,000-$46,000,000, 0.000%-6.125%,
08/07/08-04/01/56, with total market
value $679,390,380) 666,069 666,069
----------
Total Repurchase Agreement
(Cost $666,069) ($ Thousands) 666,069
----------
Total Investments -- 100.1%
(Cost $4,715,214) ($ Thousands) $4,773,143
==========
Percentages are based on Net Assets of $4,768,724 ($ Thousands).
* Non-Income Producing.
(A) The rate reported is the effective yield at time of purchase.
(B) Securities are held in connection with a letter of credit issued by a major
bank.
(C) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on July 31, 2008. The demand and interest rate reset
features give this security a shorter effective maturity date.
(D) Securities considered illiquid. The total value of such securities as of
July 31, 2008 was $535,315 ($ Thousands) and represented 11.23% of Net
Assets.
(E) These securities are considered restricted. The total value of such
securities as of July 31, 2008 was $535,315 ($ Thousands) and represented
11.23% of Net Assets.
(F) 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.
(G) On October 17, 2007, due to deterioration in the market 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.
(H) 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 July 31, 2008, the fair value of the agreement was
$82,424 ($ Thousands).
(I) The value shown is the fair value as of July 31, 2008. Please refer to Note
10 for the amortized cost value as of July 31, 2008.
(J) 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. Since that time,
this security's valuation has been determined in accordance with fair value
for purposes of calculating the Fund's "mark-to-market" net asset value. As
of the time of this filing, there is a material difference between the fair
value of this security and its amortized cost.
(K) Tri-Party Repurchase Agreement.
(L) Cheyne Finance LLC ("Cheyne") was a structured investment vehicle that
defaulted on its notes in October, 2007. Receivers were appointed with the
responsibility to liquidate the assets of the structure and deliver the
proceeds to the noteholders. As an alternative to accepting the proceeds
from the auction of the underlying collateral, senior noteholders of
Cheyne, including the Fund, were given the opportunity to exchange all of
their existing senior notes for certain notes issued by a newly formed
entity, Gryphon Funding Limited ("Gryphon"). The Fund elected to exchange
its Cheyne senior notes for Gryphon notes. As part of the restructuring
transaction, Gryphon, in its capacity as the holder of the senior notes in
Cheyne following its formation, was deemed to receive a cash distribution
from Cheyne following the auction. Gryphon then used this cash to purchase
from a third party a significant portion of the assets formerly held by
Cheyne. Following this transaction, Gryphon distributed the senior notes
in Cheyne back to the original senior noteholders, which included the
Fund. The Cheyne entity continues to exist following the restructuring,
holding a small residual amount of cash to satisfy known and unknown
liabilities. As a result, the Fund continues to hold its original senior
notes in Cheyne as well as the newly issued Gryphon notes. This
restructuring transaction was effected during July 2008.
(M) Notes issued by Gryphon Funding LLC were received by the Fund in connection
with a restructuring of Cheyne Finance LLC (Cheyne) on July 23, 2008.
DN -- Discount Note
FHLB -- Federal Home Loan Bank
FNMA -- Federal National Mortgage Association
GO -- Government Obligation
LLC -- Limited Liability Company
MTN -- Medium Term Note
Ser -- Series
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
6
Treasury Fund
July 31, 2008
(PERFORMANCE GRAPH)
SECTOR WEIGHTINGS+:
Repurchase Agreements 100.0%
+ Percentages are based on total investments.
Face Amount Value
Description ($ Thousand) ($ Thousands)
- ----------- ------------ -------------
REPURCHASE AGREEMENTS(A) -- 100.1%
Barclays Capital
2.060%, dated 07/31/08, to
be repurchased on 08/01/08,
repurchase price $319,018,254
(collateralized by a U.S.
Treasury Obligation, par value
$282,409,600, 0.875%,
04/15/10, with total market value
$325,380,090) $319,000 $ 319,000
BNP Paribas
2.070%, dated 07/31/08, to
be repurchased on 08/01/08,
repurchase price $319,018,343
(collateralized by various U.S.
Treasury Obligations, ranging
in par value $1,129,300-
$200,000,000, 0.000%-4.250%,
12/31/09-02/15/25, with total
market value $325,380,035) 319,000 319,000
Deutsche Bank
2.070%, dated 07/31/08, to
be repurchased on 08/01/08,
repurchase price $283,776,316
(collateralized by various U.S.
Treasury Obligations, ranging in par
value $2,410,000-$130,754,000, 0.000%
-6.000%, 10/02/08-02/15/31, with total
market value $289,435,215) 283,760 283,760
JPMorgan Chase
2.060%, dated 07/31/08, to
be repurchased on 08/01/08,
repurchase price $319,017,955
(collateralized by various U.S.
Treasury Obligations, ranging in
par value $562,650, 8.750%,
05/15/20, with total market
value $325,380,495) 319,000 319,000
Face Amount Value
Description ($ Thousand) ($ Thousands)
- ----------- ------------ -------------
Morgan Stanley
2.050%, dated 07/31/08, to
be repurchased on 08/01/08, repurchase
price $ 25,001,424
(collateralized by a U.S.
Treasury Obligation, par
value $24,000,000, 4.500%,
03/31/12, with total market value
$25,500,000) $25,000 $ 25,000
----------
Total Repurchase Agreements
(Cost $1,265,760)
($ Thousands) 1,265,760
----------
Total Investments -- 100.1%
(Cost $1,265,760)
($ Thousands) $1,265,760
==========
Percentages are based on Net Assets of $1,264,308 ($ Thousands).
(A) Tri-Party Repurchase Agreement
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
7
SCHEDULE OF INVESTMENTS (Unaudited)
Treasury II Fund
July 31, 2008
(PERFORMANCE GRAPH)
SECTOR WEIGHTINGS+:
U.S. Treasury Obligations 100.0%
+ Percentages are based on total investments.
Face Amount Value
Description ($ Thousand) ($ Thousands)
- ----------- ------------ -------------
U.S. TREASURY OBLIGATIONS -- 99.9%
U.S. Treasury Bills (A)
1.050%, 08/07/08 $52,000 $ 51,986
1.220%, 08/14/08 54,000 53,969
1.260%, 08/21/08 60,628 60,574
1.280%, 08/28/08 30,739 30,708
6.757%, 09/04/08 45,828 45,759
5.199%, 09/18/08 61,629 61,491
2.253%, 09/25/08 16,291 16,257
1.286%, 10/02/08 10,000 9,978
2.234%, 10/09/08 15,000 14,957
1.460%, 10/16/08 7,090 7,068
1.355%, 10/23/08 15,000 14,953
2.576%, 10/30/08 30,000 29,872
2.556%, 11/06/08 15,000 14,931
1.599%, 11/20/08 5,000 4,975
2.178%, 12/04/08 5,000 4,963
3.285%, 12/11/08 17,000 16,880
1.802%, 12/18/08 20,000 19,862
1.839%, 01/08/09 10,000 9,919
1.816%, 01/15/09 5,000 4,958
1.949%, 01/22/09 10,000 9,907
U.S. Treasury Notes
4.125%, 08/15/08 40,000 40,036
3.250%, 08/15/08 20,000 20,010
3.125%, 10/15/08 10,000 10,035
4.875%, 10/31/08 5,000 5,035
--------
Total U.S. Treasury Obligations
(Cost $559,083) ($ Thousands) 559,083
--------
Total Investments -- 99.9%
(Cost $559,083) ($ Thousands) $559,083
========
Percentages are based on Net Assets of $559,742 ($ Thousands).
(A) The rate reported is the effective yield at time of purchase.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
8
Short-Duration Government Fund
July 31, 2008
(PERFORMANCE GRAPH)
SECTOR WEIGHTINGS+:
Mortgage-Backed Securities 72.0%
Repurchase Agreement 18.5%
U.S. Government Agency Obligations 5.4%
U.S. Treasury Obligations 4.1%
+ Percentages are based on total investments.
Face Amount Value
Description ($ Thousand) ($ Thousands)
- ----------- ------------ -------------
MORTGAGE-BACKED SECURITIES -- 85.7%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 85.7%
FHLMC
6.000%, 06/01/21 $ 2,126 $ 2,171
FHLMC (A)
7.287%, 10/15/08 26 26
7.250%, 10/15/08 to 10/15/08 53 53
7.125%, 10/15/08 to 10/15/08 29 29
7.000%, 10/15/08 to 10/15/08 26 25
6.875%, 10/15/08 to 10/15/08 27 27
6.750%, 10/15/08 20 20
6.625%, 10/15/08 to 10/15/08 11 11
6.582%, 10/15/08 238 240
6.500%, 10/15/08 8 8
6.392%, 10/15/08 3,328 3,407
6.375%, 10/15/08 13 13
6.340%, 10/15/08 25 25
6.307%, 10/15/08 41 42
6.250%, 10/15/08 to 10/15/08 6 7
6.165%, 10/15/08 47 47
6.150%, 10/15/08 83 84
6.055%, 10/15/08 70 71
5.946%, 10/15/08 42 43
5.935%, 10/15/08 25 25
5.888%, 10/15/08 127 129
5.873%, 10/15/08 153 157
5.750%, 10/15/08 4 4
5.500%, 10/15/08 9 9
5.411%, 10/15/08 148 150
5.318%, 10/15/08 67 68
5.250%, 10/15/08 7 7
5.178%, 10/15/08 5 5
5.169%, 10/15/08 47 48
5.000%, 10/15/08 5 5
4.500%, 10/15/08 to 10/15/08 12 13
4.375%, 10/15/08 6 6
FHLMC REMIC, Cl DG
4.500%, 04/15/17 901 901
FHLMC REMIC, Ser 2004-2780, Cl LC
5.000%, 07/15/27 2,000 2,024
FHLMC REMIC, Ser 2004-2826, Cl BK
5.000%, 01/15/18 1,086 1,096
FHLMC REMIC, Ser 2587, Cl ET
3.700%, 07/15/17 849 834
FHLMC REMIC, Ser 2630, Cl KN
2.500%, 04/15/13 286 286
Face Amount Value
Description ($ Thousand) ($ Thousands)
- ----------- ------------ -------------
FHLMC REMIC, Ser 2684, Cl GN
3.250%, 05/15/23 $ 123 $ 123
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 128 128
FHLMC REMIC, Ser 2760, Cl PK
4.500%, 10/15/21 160 160
FHLMC REMIC, Ser 2890, Cl PJ
4.500%, 09/15/24 1,482 1,487
FHLMC REMIC, Ser 2975, Cl VT
5.000%, 02/15/11 1,944 1,969
FHLMC REMIC, Ser 3153, Cl FX (A)
2.807%, 08/15/08 784 764
FHLMC REMIC, Ser T-42, Cl A5
7.500%, 02/25/42 922 988
FNMA
7.000%, 06/01/37 262 274
6.610%, 04/01/09 147 147
6.531%, 09/25/08 (A) 1,108 1,125
6.490%, 08/01/08 518 516
6.320%, 09/25/08 (A) 952 969
6.229%, 12/01/08 308 309
6.189%, 09/25/08 (A) 668 679
6.155%, 09/25/08 (A) 212 214
6.150%, 09/01/08 3,003 2,996
6.130%, 10/01/08 137 137
6.110%, 09/25/08 (A) 278 282
6.026%, 06/01/09 286 289
5.870%, 09/25/08 (A) 1,421 1,442
5.735%, 01/01/09 1,283 1,292
5.592%, 09/25/08 (A) 259 260
5.500%, 05/01/37 to 07/01/38 45,952 44,986
5.016%, 02/01/13 82 82
5.000%, 11/01/37 to 08/01/38 21,477 20,409
4.621%, 04/01/13 136 135
FNMA REMIC, Ser 1992-61, Cl FA (A)
3.119%, 08/25/08 212 211
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23 98 99
FNMA REMIC, Ser 1993-5, Cl Z
6.500%, 02/25/23 43 44
FNMA REMIC, Ser 1994-77, Cl FB (A)
3.969%, 08/25/08 21 21
FNMA REMIC, Ser 1995-13, Cl C
6.500%, 10/25/08 7 7
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16 325 336
FNMA REMIC, Ser 2001-53, Cl CA
5.750%, 06/25/31 38 38
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17 1,866 1,901
FNMA REMIC, Ser 2002-53, Cl FK (A)
2.861%, 08/25/08 402 400
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/33 1,337 1,222
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
9
SCHEDULE OF INVESTMENTS (Unaudited)
Short-Duration Government Fund (Concluded)
July 31, 2008
Face Amount Value
Description ($ Thousand) ($ Thousands)
- ----------- ------------ -------------
FNMA REMIC, Ser 2005-43, Cl EN
5.000%, 05/25/19 $ 1,851 $ 1,868
FNMA REMIC, Ser 2006-39, Cl PB
5.500%, 07/25/29 2,077 2,118
FNMA REMIC, Ser 2006-46, Cl PB
5.500%, 07/25/29 409 417
FNMA REMIC, Ser 2006-53, Cl PA
5.500%, 12/25/26 2,755 2,805
FNMA REMIC, Ser 2006-72, Cl FY (A)
2.881%, 08/25/08 4,064 3,976
FNMA REMIC, Ser 2006-76, Cl QF (A)
2.861%, 08/25/08 3,985 3,905
GNMA
7.500%, 01/15/11 to 02/15/11 19 21
6.500%, 04/15/17 to 10/15/36 1,630 1,683
6.000%, 06/15/16 to 09/15/19 897 922
GNMA REMIC, Ser 2004-41, Cl ED
3.750%, 10/20/26 73 73
GNMA REMIC, Ser 2006-38, Cl XS, IO (A)
4.779%, 08/16/08 304 24
--------
Total Mortgage-Backed Securities
(Cost $117,627) ($ Thousands) 116,369
--------
U.S. TREASURY OBLIGATIONS -- 6.4%
U.S. Treasury Inflation Indexed Bonds
2.625%, 07/15/17 8,033 8,711
--------
Total U.S. Treasury Obligations
(Cost $8,809) ($ Thousands) 8,711
--------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.0%
FHLMC
5.125%, 08/23/10 4,500 4,671
FNMA
5.000%, 03/15/16 2,000 2,063
--------
Total U.S. Government Agency Obligations
(Cost $6,592) ($ Thousands) 6,734
--------
REPURCHASE AGREEMENT (B) -- 22.0%
BNP Paribas
2.200%, dated 07/31/08, to be
repurchased on 08/01/08,
repurchase price $29,901,827
(collateralized by a FNMA obligation,
par value $34,391,620, 5.500%,
03/01/37, with total market value
$30,498,000) 29,900 29,900
--------
Total Repurchase Agreement
(Cost $29,900) ($ Thousands) 29,900
--------
Total Investments -- 119.1%
(Cost $162,928) ($Thousands) $161,714
========
Futures -- a summary of the open futures contracts held by the Fund at July 31,
2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
CONTRACTS EXPIRATION (DEPRECIATION)
TYPE OF CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- ---------------- ------------ ----------- --------------
U.S. 10-Year Treasury Note (304) Sep-2008 $(333)
U.S. 2-Year Treasury Note 216 Sep-2008 381
U.S. 5-Year Treasury Note 150 Sep-2008 170
U.S. Long Treasury Bond (147) Sep-2008 (269)
-----
$ (51)
=====
Percentages are based on Net Assets of $135,787 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Statement of Investments
is the rate in effect on July 31, 2008. The demand and interest rate reset
features give 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
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
10
Intermediate-Duration Government Fund
July 31, 2008
(PERFORMANCE GRAPH)
SECTOR WEIGHTINGS+:
Mortgage-Backed Securities 73.9%
Repurchase Agreement 14.4%
U.S. Treasury Obligations 9.7%
Asset-Backed Security 2.0%
+ Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MORTGAGE-BACKED SECURITIES -- 85.0%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 85.0%
FHLMC
8.250%, 01/01/09 $ 3 $ 3
6.500%, 01/01/18 49 51
6.000%, 09/01/24 1,510 1,535
5.500%, 06/01/19 to 12/01/20 974 981
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 427 438
FHLMC REMIC, Ser 165, Cl K
6.500%, 09/15/21 19 19
FHLMC REMIC, Ser 2586, Cl NK
3.500%, 08/15/16 130 128
FHLMC REMIC, Ser 2587, Cl ET
3.700%, 07/15/17 490 482
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17 1,129 1,087
FHLMC REMIC, Ser 2635, Cl NJ
3.000%, 03/15/17 314 305
FHLMC REMIC, Ser 2760, Cl PH
3.500%, 10/15/21 55 55
FNMA
9.500%, 05/01/18 49 53
6.450%, 09/01/18 675 716
6.390%, 04/01/12 241 249
6.150%, 04/01/11 145 150
5.931%, 02/01/12 612 633
5.920%, 06/01/14 494 512
5.680%, 06/01/17 593 605
5.626%, 12/01/11 1,730 1,775
5.500%, 08/01/37 to 07/01/38 18,657 18,273
5.034%, 08/01/15 392 387
5.016%, 02/01/13 213 214
5.000%, 04/01/37 to 08/01/38 9,396 8,925
4.500%, 03/01/38 to 06/01/38 3,995 3,663
3.790%, 07/01/13 1,047 999
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16 459 475
FNMA REMIC, Ser 2004-27, Cl HN
4.000%, 05/25/16 323 323
FNMA REMIC, Ser 2006-72, Cl FY (A)
2.881%, 08/25/36 3,110 3,042
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 82 89
7.500%, 11/15/25 to 09/15/36 243 257
6.000%, 04/15/09 to 09/15/24 842 857
-------
Total Mortgage-Backed Securities
(Cost $47,944) ($ Thousands) 47,293
-------
U.S. TREASURY OBLIGATIONS -- 11.1%
U.S. Treasury Inflation Indexed Bond
2.625%, 07/15/17 3,130 3,394
U.S. Treasury Note
4.750%, 03/31/11 2,650 2,784
-------
Total U.S. Treasury Obligations
(Cost $6,100) ($ Thousands) 6,178
-------
ASSET-BACKED SECURITY -- 2.4%
Small Business Administration,
Ser 2005-P10B, Cl 1
4.940%, 08/10/15 1,319 1,299
-------
Total Asset-Backed Security
(Cost $1,319) ($ Thousands) 1,299
-------
REPURCHASE AGREEMENT (B) -- 16.5%
BNP Paribas
2.200%, dated 07/31/08, to be
repurchased on 08/01/08,
repurchase price $9,200,562
(collateralized by a FNMA obligation,
par value $10,582,037, 5.500%,
03/01/37, with total market
value $9,384,000) 9,200 9,200
-------
Total Repurchase Agreement
(Cost $9,200) ($ Thousands) 9,200
-------
Total Investments -- 115.0%
(Cost $64,563) ($ Thousands) $63,970
=======
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
11
SCHEDULE OF INVESTMENTS (Unaudited)
Intermediate-Duration Government Fund (Concluded)
July 31, 2008
Futures -- a summary of the open futures contracts held by the Fund at July 31,
2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- --------------
U.S. 10-Year Treasury Note (58) Sep-2008 $ (81)
U.S. 5-Year Treasury Note 247 Sep-2008 442
U.S. Long Treasury Bond (81) Sep-2008
(164)
-----
$ 197
=====
Percentages are based on Net Assets of $55,623 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on July 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
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
12
GNMA Fund
July 31, 2008
(PERFORMANCE GRAPH)
SECTOR WEIGHTINGS+:
Mortage-Backed Securities 99.4%
Repurchase Agreement 0.6%
+ Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MORTGAGE-BACKED SECURITIES -- 99.1%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 99.1%
FHLMC REMIC, Ser 3279, IO (A)
3.972%, 02/15/37 $ 8,383 $ 711
FHLMC REMIC, Ser 3309, IO (A)
3.993%, 04/15/37 7,604 641
FNMA
8.000%, 09/01/14 to 09/01/28 253 275
7.000%, 08/01/29 to 09/01/32 468 494
6.500%, 09/01/32 290 300
5.500%, 07/01/37 1,010 989
5.320%, 05/25/36 (B) 352 254
5.000%, 01/01/38 to 08/01/38 7,355 6,988
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/20 50 53
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22 91 96
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17 1,500 1,550
GNMA
10.000%, 05/15/16 to 04/15/20 29 31
9.500%, 06/15/09 to 11/15/20 179 192
9.000%, 12/15/17 to 05/15/22 234 256
8.500%, 10/15/16 to 06/15/17 72 80
8.000%, 04/15/17 to 03/15/32 990 1,081
7.750%, 10/15/26 47 51
7.500%, 02/15/27 to 05/15/36 1,145 1,216
7.250%, 01/15/28 185 197
7.000%, 04/15/19 to 06/20/38 9,301 9,906
6.750%, 11/15/27 52 55
6.500%, 09/15/10 to 07/20/38 14,297 14,793
6.000%, 07/15/24 to 05/20/38 5,575 5,647
5.500%, 10/15/32 to 04/15/37 15,515 15,440
5.000%, 04/15/33 to 07/15/38 40,232 38,958
4.500%, 08/15/33 to 04/15/38 14,716 13,651
GNMA REMIC, Ser 2002-45, Cl QE
6.500%, 06/20/32 1,473 1,531
GNMA REMIC, Ser 2003-63, Cl UV
3.500%, 07/20/30 1,831 1,781
GNMA REMIC, Ser 2005-70, Cl AI, IO
5.000%, 10/20/33 8,929 1,789
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
GNMA REMIC, Ser 2006-38, Cl XS, IO (A)
4.779%, 09/16/35 $ 4,054 $ 322
--------
Total Mortgage-Backed Securities
(Cost $118,164) ($ Thousands) 119,328
--------
REPURCHASE AGREEMENT (C)-- 0.6%
BNP Paribas
2.200%, dated 07/31/08, to be
repurchased on 08/01/08,
repurchase price $700,043
(collateralized by a FNMA
obligation, par value $805,155,
5.500%, 03/01/37, with total
market value $714,000) 700 700
--------
Total Repurchase Agreement
(Cost $700) ($ Thousands) 700
--------
Total Investments -- 99.7%
(Cost $118,864) ($ Thousands) $120,028
========
Futures -- a summary of the open futures contracts held by the Fund at July 31,
2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- --------------
U.S. 10-Year Treasury Note (77) Sep-2008 $(103)
U.S. 2-Year Treasury Note (48) Sep-2008 9
U.S. 5-Year Treasury Note 165 Sep-2008 190
U.S. Long Treasury Bond 2 Sep-2008 (4)
-----
$ 92
=====
Percentages are based on Net Assets of $120,396 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on July 31, 2008. The demand and interest rate reset
feature gives this security a shorter effective maturity date.
(B) PO - Principal Only
(C) 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
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
13
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Bond Fund
July 31, 2008
(PERFOMANCE GRAPH)
SECTOR WEIGHTINGS+:
Asset-Backed Securities 23.9%
U.S. Government Agency Obligations 23.8%
Mortgage-Backed Securities 19.9%
Repurchase Agreement 14.6%
Corporate Obligations 8.5%
Certificates of Deposit 6.8%
Commercial Paper 2.5%
+ Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
ASSET-BACKED SECURITIES -- 21.8 %
AUTOMOTIVE -- 9.3%
AmeriCredit Automobile Receivables
Trust, Ser 2007-CM, Cl A3A
5.420%, 05/07/12 $1,720 $ 1,663
AmeriCredit Automobile Receivables
Trust, Ser 2007-AX, Cl A3
5.190%, 11/06/11 2,100 2,085
AmeriCredit Automobile Receivables
Trust, Ser 2007-AX, Cl A2
5.290%, 11/06/10 49 49
BMW Vehicle Lease Trust, Ser 2007-1,
Cl A3A
4.590%, 08/15/13 655 663
BMW Vehicle Owner Trust, Ser 2005-A,
Cl A4
4.280%, 02/25/10 928 930
Capital Auto Receivables Asset Trust,
Ser 2007-3, Cl A3A
5.020%, 09/15/11 575 585
Capital Auto Receivables Asset Trust,
Ser 2005-1, Cl B (A)
2.833%, 08/15/08 440 440
Capital One Auto Finance Trust,
Ser 2007-C, Cl A3A
5.130%, 04/16/12 1,670 1,572
Capital One Auto Finance Trust (A)
2.468%, 08/15/08 2,350 2,207
Capital One Prime Auto Receivables
Trust, Ser 2007-2, Cl A2
5.050%, 03/15/10 1,038 1,044
Carmax Auto Owner Trust, Ser 2006-2,
Cl A4
5.140%, 11/15/11 1,120 1,141
Carmax Auto Owner Trust, Ser 2005-2,
Cl A3
4.210%, 01/15/10 119 119
Carmax Auto Owner Trust, Ser 2008-1,
Cl A4A
4.790%, 02/15/13 1,750 1,735
Carmax Auto Owner Trust, Cl A2A
4.060%, 09/15/11 1,750 1,747
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Chase Manhattan Auto Owner Trust,
Ser 2005-A, Cl A4
3.980%, 04/15/11 $1,675 $ 1,679
CPS Auto Trust, Ser 2007-C, Cl A2 (B)
5.440%, 11/15/10 500 498
Ford Credit Auto Owner Trust, Cl A2 (A)
3.658%, 08/15/08 2,105 2,113
Ford Credit Auto Owner Trust,
Ser 2007-A, Cl A2A
5.420%, 04/15/10 729 735
Ford Credit Auto Owner Trust,
Ser 2008-A, Cl A3A
3.960%, 04/15/12 1,610 1,610
Ford Credit Auto Owner Trust,
Ser 2007-B, Cl A3A
5.150%, 11/15/11 745 759
Harley-Davidson Motorcycle Trust,
Ser 2007-1, Cl A2
5.290%, 01/18/11 145 146
Honda Auto Receivables Owner Trust,
Ser 2005-1, Cl A4
3.820%, 05/21/10 459 459
Household Automotive Trust,
Ser 2007-1, Cl A2
5.320%, 05/17/10 78 78
Household Automotive Trust,
Ser 2005-3, Cl A3
4.800%, 10/18/10 324 325
Hyundai Auto Receivables Trust,
Ser 2005-A, Cl A3
3.980%, 11/16/09 53 53
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A3A
5.040%, 01/17/12 1,570 1,600
Hyundai Auto Receivables Trust,
Cl A2
4.160%, 05/16/11 2,710 2,727
Hyundai Auto Receivables Trust,
Cl A4
5.260%, 11/15/12 1,365 1,389
Long Beach Auto Receivables Trust,
Ser 2006-B, Cl A3
5.170%, 08/15/11 1,576 1,561
Nissan Auto Receivables Owner Trust,
Ser 2008-A, Cl A3
3.890%, 08/15/11 670 670
Nissan Auto Receivables Owner Trust,
Cl A3
4.460%, 04/16/12 925 925
Nissan Auto Receivables Owner Trust,
Ser 2005-C, Cl A3
4.190%, 07/15/09 45 45
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
14
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Nissan Auto Receivables Owner Trust,
Ser 2006-A, Cl A3
4.740%, 09/15/09 $ 180 $ 181
Santander Drive Auto Receivables
Trust, Ser 2007-1, Cl A2
5.200%, 12/15/10 316 316
USAA Auto Owner Trust, Cl A2
3.910%, 01/15/11 2,165 2,175
USAA Auto Owner Trust, Ser 2008-1,
Cl A3
4.160%, 04/16/12 965 971
USAA Auto Owner Trust, Ser 2007-2,
Cl A3
4.900%, 02/15/12 845 858
Volkswagen Auto Lease Trust,
Ser 2006-A, Cl A3
5.500%, 09/21/09 373 376
Wachovia Auto Owner Trust,
Ser 2005-B, Cl A3
4.790%, 04/20/10 14 14
Wachovia Auto Owner Trust, Cl A2A
4.090%, 05/20/11 1,595 1,602
WFS Financial Owner Trust,
Ser 2005-2, Cl B
4.570%, 11/19/12 1,234 1,243
-------
41,088
-------
CREDIT CARD -- 4.8%
Advanta Business Card Master Trust,
Ser 2005-C1, Cl C1 (A)
2.968%, 08/20/08 1,500 1,481
Advanta Business Card Master Trust,
Ser 2006-B2, Cl B2 (A)
2.708%, 08/20/08 2,000 1,487
Advanta Business Card Master Trust,
Ser 2005-B1, Cl B1 (A)
2.838%, 08/20/08 1,250 1,156
American Express Issuance Trust,
Ser 2007-1, Cl A (A)
2.657%, 08/15/08 715 704
Bank of America Credit Card Trust,
Ser 2006-C7, Cl C7 (A)
2.688%, 08/15/08 1,000 967
Bank of America Credit Card Trust,
Ser 2007-A13, Cl A13 (A)
2.678%, 08/15/08 1,500 1,492
Cabela's Master Credit Card Trust,
Ser 2006-3A, Cl B (A) (B)
2.658%, 08/15/08 2,000 1,630
Capital One Multi-Asset Execution Trust,
Ser 2004-C4, Cl C4 (A)
3.108%, 08/15/08 1,350 1,299
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Capital One Multi-Asset Execution
Trust, Ser 2007-C3, Cl C3 (A)
2.748%, 08/15/08 $1,500 $ 1,386
Capital One Multi-Asset Execution
Trust, Ser 2007-C2, Cl C2 (A)
2.758%, 08/15/08 1,200 1,022
Chase Issuance Trust, Ser 2007-A14,
Cl A14 (A)
2.708%, 08/15/08 1,000 997
Citibank Credit Card Issuance Trust,
Ser 2006-A5, Cl A5
5.300%, 05/20/11 1,505 1,528
Citibank Credit Card Issuance Trust,
Cl A3 (A)
3.336%, 08/18/08 2,000 2,006
MBNA Credit Card Master Note Trust,
Ser 2005-A7, Cl A7
4.300%, 02/15/11 595 596
MBNA Credit Card Master Note Trust,
Ser 2006-A1, Cl A1
4.900%, 07/15/11 1,000 1,009
Washington Mutual Master Note Trust,
Ser 2006-C3A, Cl C3A (A)
2.838%, 08/15/08 1,490 1,294
Washington Mutual Master Note Trust,
Ser 2006-C2A, Cl C2 (A) (B)
2.958%, 08/15/08 1,300 904
-------
20,958
-------
MISCELLANEOUS BUSINESS SERVICES -- 5.8%
ACAS Business Loan Trust,
Ser 2007-1A, Cl C (A)
3.920%, 08/18/08 1,276 1,048
ACAS Business Loan Trust,
Ser 2005-1A, Cl A1 (A) (B)
3.050%, 10/28/08 1,000 924
AIG Credit Premium Finance Master
Trust, Ser 2005-1, Cl A (A)
2.537%, 08/15/08 1,470 1,466
Babson CLO Ltd., Ser 2007-1A,
Cl A1 (A)
3.010%, 10/20/08 1,190 1,060
Capital Source Commercial Loan Trust,
Ser 2006-1A, Cl C (A) (B)
3.008%, 08/20/08 494 441
Capital Source Commercial Loan Trust,
Ser 2006-2A, Cl A1A (A)
2.668%, 08/20/08 1,460 1,291
Caterpillar Financial Asset Trust,
Cl A2A
4.090%, 12/27/08 880 884
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
15
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Bond Fund (Continued)
July 31, 2008
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CIT Equipment Collateral,
Ser 2006-VT1, Cl A3
5.130%, 12/21/09 $ 405 $ 407
Citigroup Mortgage Loan Trust,
Ser 2006-WFH3, Cl M1 (A)
2.751%, 08/25/08 1,325 587
CNH Equipment Trust, Ser 2006-B,
Cl A3
5.200%, 06/15/10 569 573
CNH Wholesale Master Note Trust,
Ser 2006-1A, Cl B (A) (B)
2.738%, 08/15/08 245 233
Colts Trust, Ser 2006-2A, Cl A (A) (B)
3.083%, 09/22/08 1,950 1,851
Countrywide Asset-Backed Certificates,
Ser 2006-2, Cl 2A2 (A)
2.651%, 08/25/08 606 566
Credit-Based Asset Servicing and
Securitization CBO, Ser 2006-16A,
Cl A (A)
2.922%, 09/08/08 1,433 931
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2007-FF1, Cl M2 (A)
2.721%, 08/25/08 1,250 96
Franklin CLO Ltd., Ser 2003-4A, Cl A
(A) (B)
3.353%, 09/22/08 500 487
GE Commercial Loan Trust,
Ser 2006-3, Cl C (A)
3.336%, 10/20/08 642 413
GE Equipment Small Ticket LLC,
Ser 2005-1A, Cl B (B)
4.620%, 12/22/14 224 226
GE Equipment Small Ticket LLC,
Ser 2005-2A, Cl A4 (B)
5.010%, 06/22/15 2,226 2,240
GMAC Mortgage Loan Trust,
Ser 2006-HE4, Cl A2 (A)
2.601%, 08/25/08 1,901 966
JPMorgan Mortgage Acquisition,
Ser 2007-CH5, Cl M1 (A)
2.731%, 08/25/08 2,000 477
Katonah CLO, Ser 2005-7A, Cl B (A) (B)
3.096%, 08/15/08 1,200 972
Lambda Finance BV, Ser 2005-1A,
Cl B3 (A) (B)
3.046%, 08/15/08 840 724
Long Beach Mortgage Loan Trust,
Ser 2006-6, Cl 2A3 (A)
2.611%, 08/25/08 1,190 703
Madison Park Funding CLO,
Ser 2007-4A, Cl A1B (A) (B)
3.101%, 09/22/08 1,000 764
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Marlin Leasing Receivables LLC,
Ser 2005-1A, Cl B (B)
5.090%, 08/15/12 $ 66 $ 67
Merritt Funding Trust CLO,
Ser 2005-2A, Cl B (A) (B)
3.491%, 10/15/08 541 412
Morgan Stanley ABS Capital I,
Ser 2006-WMC1, Cl A2B (A)
2.661%, 08/25/08 1,293 1,245
New Century Home Equity Loan Trust,
Ser 2005-C, Cl A2B (A)
2.631%, 08/25/08 278 276
PFS Financing, Ser 2006-B, Cl A (A) (B)
2.866%, 09/15/08 965 960
Residential Asset Securities,
Ser 2006-KS1, Cl A2 (A)
2.601%, 08/25/08 71 71
Sierra Receivables Funding,
Ser 2007-2A, Cl A2 (A)
3.458%, 08/20/08 649 559
SLM Student Loan Trust, Ser 2003-A,
Cl A1 (A)
2.886%, 09/15/08 85 84
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl C (A)
3.058%, 08/15/08 200 177
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl B (A)
2.758%, 08/15/08 110 101
Wadsworth CDO, Ser 2006-1A, Cl B
3.254%, 11/05/08 315 3
William Street Funding, Ser 2006-1,
Cl A (A) (B)
3.029%, 10/23/08 1,260 1,065
-------
25,350
-------
MORTGAGE RELATED -- 1.9%
ACE Securities, Ser 2006-CW1,
Cl A2C (A)
2.601%, 08/25/08 895 687
Asset-Backed Funding Certificates,
Ser 2006-OPT2, Cl A3B (A)
2.571%, 08/25/08 1,900 1,729
Bear Stearns Asset-Backed Securities
Trust, Ser 2005-HE11, Cl A2 (A)
2.711%, 08/25/08 200 188
Morgan Stanley Home Equity Lo,
Ser 2005-4, Cl A2B (A)
2.681%, 08/25/08 1,380 1,361
Option One Mortgage Loan Trust,
Ser 2003-3, Cl A2 (A)
2.761%, 08/25/08 147 114
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
16
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Option One Mortgage Loan Trust,
Ser 2006-1, Cl 2A2 (A)
2.591%, 08/25/08 $ 1,108 $ 1,068
Option One Mortgage Loan Trust,
Ser 2007-FXD2, Cl 2A1 (C)
5.900%, 03/25/37 836 830
Option One Mortgage Loan Trust,
Ser 2005-5, Cl A3 (A)
2.671%, 08/25/08 1,108 1,067
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1 (A)
2.581%, 08/25/08 632 567
Option One Mortgage Loan Trust,
Ser 2007-FXD1, Cl 3A3 (A)
5.611%, 09/25/08 305 195
Residential Asset Securities,
Ser 2006-EMX6, Cl A3 (A)
2.611%, 08/25/08 1,005 615
-------
8,421
-------
Total Asset-Backed Securities
(Cost $106,878) ($ Thousands) 95,817
-------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 21.5%
FHLMC
5.000%, 06/11/09 8,500 8,651
4.250%, 07/15/09 20,000 20,248
FHLB
3.875%, 08/22/08 175 175
5.375%, 07/17/09 20,000 20,461
FHLMC DN (D)
2.050%, 09/02/08 15,000 14,969
FNMA
5.125%, 07/13/09 20,000 20,410
FNMA DN (D)
2.470%, 08/27/08 10,000 9,985
-------
Total U.S. Government Agency Obligations
(Cost $95,071) ($ Thousands) 94,899
-------
MORTGAGE-BACKED SECURITIES -- 18.0%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 2.9%
FHLMC (A)
6.257%, 10/15/08 1,215 1,227
5.929%, 10/15/08 753 759
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 277 284
FHLMC REMIC, Ser 2004-2780 Cl LC
5.000%, 07/15/27 1,000 1,012
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17 1,202 1,158
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FNMA
6.407%, 09/25/08 (A) $ 214 $ 218
6.339%, 09/25/08 (A) 554 563
6.013%, 09/25/08 (A) 114 116
6.011%, 09/25/08 (A) 538 544
6.000%, 01/01/27 1,871 1,896
5.846%, 09/25/08 (A) 68 69
5.669%, 09/25/08 (A) 888 901
5.499%, 09/25/08 (A) 141 141
FNMA REMIC, Ser 1993-220, Cl FA (A)
3.069%, 08/25/08 138 138
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23 210 214
FNMA REMIC, Ser 2001-33, Cl FA (A)
2.932%, 08/25/08 288 285
FNMA REMIC, Ser 2002-63, Cl QF (A)
2.761%, 08/25/08 163 162
FNMA REMIC, Ser 2002-64, Cl FG (A)
2.706%, 08/18/08 169 167
FNMA REMIC, Ser 2002-78, Cl AU
5.000%, 06/25/30 569 574
FNMA REMIC, Ser 2006-39, Cl PB
5.500%, 07/25/29 2,215 2,259
-------
12,687
-------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 15.1%
Arkle Master Issuer PLC,
Ser 2006-1A, Cl M (A)
2.909%, 08/18/08 1,000 944
Banc of America Funding,
Ser 2005-F, Cl 4A1 (A)
5.345%, 09/20/08 842 722
Banc of America Funding,
Ser 2006-D, Cl 3A1 (A)
5.577%, 09/20/08 1,020 913
Banc of America Large Loan,
Ser 2007-BMB1 (A) (B)
2.968%, 08/15/08 592 546
Banc of America Mortgage Securities,
Ser 2004-F, Cl 2A5 (A)
4.144%, 09/25/08 1,300 1,268
Banc of America Mortgage Securities,
Ser 2005-A, Cl 2A2 (A)
4.452%, 09/25/08 1,541 1,372
Banc of America Mortgage Securities,
Ser 2005-F, Cl 2A2 (A)
5.008%, 09/25/08 2,524 2,384
Banc of America Mortgage Securities,
Ser 2005-H, Cl 2A1 (A)
4.803%, 09/25/08 785 741
Banc of America Mortgage Securities,
Ser 2005-J, Cl 2A1 (A)
5.093%, 09/25/08 271 255
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
17
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Bond Fund (Continued)
July 31, 2008
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-12, Cl 11A1 (A)
5.446%, 09/25/08 $ 543 $ 445
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-3, Cl 2A1 (A)
5.077%, 09/25/08 810 750
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-6, Cl 3A1 (A)
5.279%, 09/25/08 1,242 1,086
Bear Stearns Adjustable Rate Mortga
Trust, Ser 2005-9, Cl A1 (A)
4.625%, 09/25/08 1,577 1,465
Bear Stearns Commercial Mortgage
Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35 1,600 1,636
Citigroup Commercial Mortgage Trust,
Ser 2006-FL2, Cl D (A)
2.668%, 08/15/08 510 466
Citigroup Commercial Mortgage Trust,
Ser 2007-FL3A, Cl J (A)
3.408%, 08/15/08 550 336
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A (A)
5.400%, 09/25/08 440 411
Citigroup Mortgage Loan Trust,
Ser 2006-AR2, Cl 1A1 (A)
5.626%, 09/25/08 1,067 952
Countrywide Alternative Loan Trust,
Ser 2007-HY5R, Cl 2A1A (A)
5.544%, 09/25/08 1,326 1,052
Countrywide Home Loans,
Ser 2004-29, Cl 1A1 (A)
2.731%, 08/25/08 120 99
Countrywide Home Loans,
Ser 2005-7, Cl 1A1 (A)
2.731%, 08/25/08 217 121
Countrywide Home Loans,
Ser 2005-HY10, Cl 3A1A (A)
5.379%, 09/20/08 981 750
Crusade Global Trust, Cl A1 (A)
2.941%, 10/16/08 131 123
Crusade Global Trust, Ser 2003-1,
Cl A (A)
2.989%, 10/17/08 456 432
First Horizon Asset Securities,
Ser 2005-2, Cl 1A1
5.500%, 05/25/35 1,320 1,320
Fosse Master Issuer PLC,
Ser 2007-1A, Cl C2 (A) (B)
3.335%, 10/20/08 1,305 1,088
GE Commercial Loan Trust CLO,
Ser 2006-2, Cl C (A) (B)
3.336%, 10/20/08 334 187
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
GMAC Mortgage Loan Trust,
Ser 2005-AR6, Cl 2A1 (A)
5.206%, 09/19/08 $ 1,278 $ 1,205
Granite Master Issuer PLC,
Ser 2006-1A, Cl A5 (A) (B)
2.765%, 08/20/08 894 849
Granite Master Issuer PLC,
Ser 2006-3, Cl M1 (A)
2.966%, 10/20/08 715 598
Granite Master Issuer PLC,
Ser 2007-1, Cl 1C1 (A)
3.103%, 09/22/08 410 390
GSR Mortgage Loan Trust,
Ser 2005-AR4, Cl 2A1 (A)
4.754%, 09/25/08 1,430 1,209
GSR Mortgage Loan Trust,
Ser 2006-AR1, Cl 2A1 (A)
5.179%, 09/25/08 1,927 1,757
GSR Mortgage Loan Trust,
Ser 2007-AR2, Cl 1A1 (A)
5.780%, 09/25/08 1,451 1,185
Impac CMB Trust, Ser 2004-9, Cl 1A1 (A)
3.221%, 08/25/08 372 283
Impac CMB Trust, Ser 2005-2, Cl 1A1 (A)
2.721%, 08/25/08 419 228
Impac CMB Trust, Ser 2005-3, Cl A1 (A)
2.701%, 08/25/08 361 209
Impac CMB Trust, Ser 2005-5, Cl A1 (A)
2.781%, 08/25/08 303 175
Impac CMB Trust, Ser 2005-8, Cl 1A (A)
2.721%, 08/25/08 972 498
Interstar Millennium Trust, Cl A (A)
2.976%, 09/15/08 266 257
JPMorgan Mortgage Trust,
Ser 2005-A6, Cl 7A1 (A)
4.963%, 09/25/08 1,016 931
JPMorgan Mortgage Trust,
Ser 2007-A3, Cl 1A1 (A)
5.461%, 09/25/08 1,225 1,080
Master Adjustable Rate Mortgages
Trust, Ser 2004-12, Cl 5A1 (A)
6.571%, 09/25/08 201 177
Medallion Trust, Cl A1 (A)
2.768%, 08/26/08 190 175
Merrill Lynch Mortgage-Backed
Securities Trust, Ser 2007-2,
Cl 1A1 (A)
5.800%, 09/25/08 1,611 1,455
Merrill Lynch Mortgage-Backed
Securities Trust, Ser 2007-3,
Cl 2A1 (A)
5.629%, 09/25/08 1,418 1,251
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
18
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Merrill Lynch Mortgage Investors,
Ser 2005-A2, Cl A2 (A)
4.488%, 09/25/08 $ 2,743 $ 2,460
Merrill Lynch Mortgage Investors,
Ser 2005-A3, Cl A1 (A)
2.731%, 08/25/08 441 246
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1A (A)
5.142%, 09/25/08 774 747
MLCC Mortgage Investors,
Ser 2004-G,Cl A1 (A)
2.741%, 08/25/08 115 106
MLCC Mortgage Investors,
Ser 2004-HB1, Cl A1 (A)
2.821%, 08/25/08 174 162
MLCC Mortgage Investors,
Ser 2005-A, Cl A1 (A)
2.691%, 08/25/08 141 133
MLCC Mortgage Investors,
Ser 2006-1, Cl 2A1 (A)
5.376%, 09/25/08 825 756
MortgageIT Trust, Ser 2005-2,
Cl 1A1 (A)
2.721%, 08/25/08 335 292
MortgageIT Trust, Ser 2005-3, Cl A1 (A)
2.761%, 08/25/08 1,072 803
MortgageIT Trust, Ser 2005-4, Cl A1 (A)
2.741%, 08/25/08 1,463 1,095
MortgageIT Trust, Ser 2005-5, Cl A1 (A)
2.721%, 08/25/08 1,374 1,084
Paragon Mortgages PLC, Ser 12A,
Cl A2C (A) (B)
2.786%, 08/15/08 412 359
Paragon Mortgages PLC, Ser 15A,
Cl A2C (A) (B)
2.886%, 09/15/08 899 663
Permanent Master Issuer PLC,
Ser 2006-1, Cl 2C (A)
3.191%, 10/15/08 1,200 1,099
Prima, Ser 2006-1, Cl A1
5.417%, 12/28/48 842 730
Puma Finance, Ser S1, Cl A (A) (B)
2.934%, 11/10/08 312 296
Residential Funding Mortgage
Securities I, Ser 2005-SA5, Cl 2A (A)
5.331%, 09/25/08 751 708
Residential Funding Mortgage
Securities I, Ser 2007-SA2, Cl 2A2 (A)
5.668%, 09/25/08 1,039 913
Residential Funding Mortgage
Securities I, Ser 2007-SA2,
Cl 2A1 (A)
5.668%, 09/25/08 1,466 1,288
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Residential Funding Mortgage
Securities I, Ser 2007-SA3,
Cl 2A1 (A)
5.777%, 09/25/08 $ 1,345 $ 1,072
Residential Mortgage Securities,
Ser 22A, Cl A1B (A) (B)
2.748%, 08/14/08 164 163
RMAC PLC, Ser 2003-NS4A, Cl A2B
(A) (B)
3.086%, 09/12/08 22 22
Sequoia Mortgage Trust, Ser 2004-12,
Cl A1 (A)
2.728%, 08/20/08 136 127
Sequoia Mortgage Trust, Ser 2005-1,
Cl A1 (A)
2.688%, 08/20/08 132 112
WaMu Mortgage Pass-Through
Certificates, Ser 2004-AR5, Cl A6 (A)
3.839%, 09/25/08 1,300 1,278
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR2, Cl 1A1 (A)
5.298%, 09/25/08 1,806 1,618
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2003-J,
Cl 2A4 (A)
4.450%, 09/25/08 328 326
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-BB,
Cl A2 (A)
4.555%, 09/25/08 1,006 904
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR1,
Cl 2A1 (A)
4.497%, 09/25/08 891 772
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 6A3 (A)
5.000%, 09/25/08 2,110 1,995
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 3A2 (A)
4.996%, 09/25/08 1,425 1,256
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR4,
Cl 2A2 (A)
4.525%, 09/25/08 829 740
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR10,
Cl 2A1 (A)
5.646%, 09/25/08 1,588 1,355
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR12,
Cl 1A1 (A)
6.025%, 09/25/08 1,252 1,133
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
19
SCHEDULE OF INVESTMENTS (Unaudited)
Ultra Short Bond Fund (Concluded)
July 31, 2008
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR5,
Cl 2A1 (A)
5.540%, 09/25/08 $ 1,226 $ 1,093
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR6,
Cl 2A1 (A)
5.092%, 09/25/08 1,529 1,417
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR8,
Cl 2A1 (A)
5.240%, 09/25/08 1,509 1,409
Westpac Securitisation Trust,
Ser 2005-1G, Cl A1 (A)
2.871%, 09/23/08 301 280
--------
66,788
--------
Total Mortgage-Backed Securities
(Cost $87,991) ($ Thousands) 79,475
--------
CORPORATE OBLIGATIONS -- 7.7%
BANKS -- 1.3%
Comerica Bank (A)
2.503%, 08/19/08 1,200 1,168
2.562%, 09/10/08 1,000 942
2.831%, 09/12/08 1,800 1,800
Wachovia (A)
2.896%, 09/15/08 1,750 1,672
--------
5,582
--------
CONSUMER PRODUCTS -- 1.4%
CVS Caremark (A)
2.982%, 09/01/08 865 847
Daimler Finance North America LLC,
Ser E MTN (A)
3.331%, 10/31/08 2,000 1,998
President and Fellows of Harvard
College
3.700%, 04/01/13 1,325 1,283
Whirlpool (A)
3.276%, 09/15/08 2,000 1,995
--------
6,123
--------
FINANCIAL SERVICES -- 2.2%
American Express Credit MTN (A)
3.860%, 08/27/08 1,750 1,731
General Electric Capital (A)
2.885%, 10/28/08 1,250 1,242
HCP MTN (A)
3.226%, 09/15/08 1,000 997
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
International Lease Finance MTN
5.300%, 05/01/12 $ 1,500 $ 1,305
Metropolitan Life Global Funding I
MTN (A) (B)
3.554%, 09/25/08 2,225 2,223
Morgan Stanley
3.875%, 01/15/09 1,620 1,614
Principal Life Income Funding Trusts (A)
2.836%, 08/15/08 750 734
--------
9,846
--------
FOOD, BEVERAGE & TOBACCO -- 0.7%
General Mills (A)
2.921%, 10/22/08 1,500 1,476
SABMiller PLC (A) (B)
3.091%, 10/01/08 1,705 1,696
--------
3,172
--------
INDUSTRIALS -- 0.1%
Continental Airlines (A)
3.032%, 09/02/08 750 579
--------
INSURANCE -- 0.5%
MBIA Insurance (A) (B)
14.000%, 01/15/09 1,000 550
Monumental Global Funding III (A) (B)
2.991%, 10/15/08 1,900 1,693
--------
2,243
--------
INVESTMENT BANKER/BROKER DEALER -- 0.2%
Morgan Stanley, Ser G (A)
3.091%, 10/09/08 1,000 869
--------
SECURITY AND COMMODITY BROKERS -- 0.3%
Genworth Global Funding Trusts (A)
2.816%, 08/15/08 1,200 1,123
--------
TELEPHONES & TELECOMMUNICATION -- 0.6%
AT&T (A)
2.894%, 11/05/08 1,000 997
Deutsche Telekom International
Finance
8.500%, 06/15/10 1,500 1,584
--------
2,581
--------
UTILITIES -- 0.4%
Dominion Resources (A)
3.864%, 09/17/08 1,640 1,641
--------
Total Corporate Obligations
(Cost $35,226) ($ Thousands) 33,759
--------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
20
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CERTIFICATES OF DEPOSIT -- 6.2%
Abbey National Treasury Services PLC
2.720%, 11/03/08 $ 4,500 $ 4,500
ABN Amro Bank
2.740%, 08/04/08 3,500 3,500
Banc of America
2.650%, 09/08/08 4,500 4,500
Credit Suisse
3.050%, 01/20/09 4,500 4,500
DnB NOR Bank
2.630%, 09/03/08 5,650 5,650
HSBC
3.000%, 01/14/09 4,500 4,500
--------
Total Certificates of Deposit
(Cost $27,150) ($ Thousands) 27,150
--------
COMMERCIAL PAPER (D) -- 2.3%
FINANCIALS -- 2.3%
General Electric Capital
2.235%, 08/14/08 5,000 4,996
Westpac Banking
2.827%, 10/17/08 5,000 4,970
--------
Total Commercial Paper
(Cost $9,966) ($ Thousands) 9,966
--------
REPURCHASE AGREEMENT (E) -- 13.2%
BNP Paribas
2.200%, dated 07/31/08, to be
repurchased on 08/01/08,
repurchase price $58,203,557
(collateralized by a FNMA obligation,
par value $65,104,529, 5.500%,
01/01/38, with total market value
$59,364,000) 58,200 58,200
--------
Total Repurchase Agreement
(Cost $58,200)($ Thousands) 58,200
--------
Total Investments -- 90.7%
(Cost $420,482)($ Thousands) $399,266
========
Futures -- a summary of the open futures contracts held by the Fund at July 31,
2008, is as follows (see Note 2 in Notes to Financial Statements):
UNREALIZED
NUMBER OF APPRECIATION
TYPE OF CONTRACTS EXPIRATION (DEPRECIATION)
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- --------------
U.S. 10-Year Treasury Note (30) Sep-2008 $(30)
U.S. 2-Year Treasury Note 227 Sep-2008 375
U.S. 5-Year Treasury Note 20 Sep-2008 (1)
U.S. Long Treasury Bond (25) Sep-2008 10
----
$354
====
Percentages are based on Net Assets of $440,448 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Statement of
Investments is the rate in effect on July 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 July 31, 2008. The coupon on a step bond changes on a
specific date.
(D) The rate reported is the effective yield at time of purchase.
(E) Tri-Party Repurchase Agreement.
ABS -- Asset Backed Security
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
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.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
21
Statements of Assets and Liabilities($ Thousands)
For the six months ended July 31, 2008 (Unaudited)
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
---------------- ------------------ ------------------ ------------------
ASSETS:
Investments, at value+ $ 776,250 $ 1,549,140 $ 1,477,545 $ 4,024,650
Affiliated Investments, at value 1,998 -- -- 82,424
Repurchase agreements+ 62,980 75,046 -- 666,069
Cash -- -- -- 1,172
Receivable for investment securities sold -- -- -- --
Interest receivable 793 3,211 4,155 2,342
Receivable for fund shares sold -- -- -- 1
Receivable for variation margin -- -- -- --
Prepaid expenses 34 48 50 183
---------------- ------------------ ------------------ ------------------
Total Assets 842,055 1,627,445 1,481,750 4,776,841
---------------- ------------------ ------------------ ------------------
LIABILITIES:
Income distribution payable 1,090 1,071 2,358 6,830
Payable for fund shares redeemed -- -- -- --
Payable for investment securities purchased -- -- -- --
Payable for variation margin -- -- -- --
Shareholder servicing fees payable 227 190 75 356
Administration fees payable 101 220 202 603
Investment advisory fees payable 17 31 29 88
Chief Compliance Officer fees payable 1 2 2 8
Trustees' fees payable 1 2 1 6
Accrued expense payable 39 63 61 226
Total Liabilities 1,476 1,579 2,728 8,117
---------------- ------------------ ------------------ ------------------
Net Assets $ 840,579 $ 1,625,866 $ 1,479,022 $ 4,768,724
---------------- ------------------ ------------------ ------------------
+ Cost of investments and repurchase agreements $ 839,727 $ 1,624,186 $ 1,477,545 $ 4,715,214
NET ASSETS:
Paid-in-Capital -- (unlimited authorization --
no par value) $ 844,673 $ 1,625,957 $ 1,479,053 $ 4,780,290
Undistributed net investment income
(Accumulated net investment loss) 143 -- -- 2,561
Accumulated net realized loss on investments
and futures contracts (5,738) (91) (31) (72,056)
Net unrealized appreciation (depreciation)
on investments (497) -- -- (24,495)
Net unrealized appreciation on affiliated
investment 1,998 -- -- 82,424
Net unrealized appreciation (depreciation)
on futures contracts -- -- -- --
---------------- ------------------ ------------------ ------------------
Net Assets $ 840,579 $ 1,625,866 $ 1,479,022 $ 4,768,724
---------------- ------------------ ------------------ ------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $ 1.00 $ 1.00 $ 1.00 $ 1.00
($356,591,903 / ($1,022,013,167 / ($1,263,138,359 / ($3,834,961,917 /
358,317,794 1,022,059,596 1,263,233,085 3,844,339,938
shares)(1) shares) shares) shares)(1)
---------------- ------------------ ------------------ ------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class B $ 1.00 $ 1.00 $ 1.00 $ 1.00
($112,886,767 / ($430,364,967 / ($172,127,206 / ($316,064,463 /
113,445,820 430,385,974 172,163,041 316,820,006
shares)(1) shares) shares) shares)(1)
---------------- ------------------ ------------------ ------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class C $ 1.00 $ 1.00 $ 1.00 $ 1.00
($240,026,612 / ($137,025,964 / ($43,756,891 / ($497,515,819 /
242,214,437 137,051,207 43,756,679 498,661,555
shares)(1) shares) shares) shares)(1)
---------------- ------------------ ------------------ ------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class H N/A N/A N/A $ 1.00
($74,037,779 /
74,216,988
shares)(1)
---------------- ------------------ ------------------ ------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class $ 1.00 $ 1.00 N/A $ 1.00
($131,073,432 / ($36,461,982 / ($46,144,228 /
131,702,322 36,465,954 46,251,889
shares)(1) shares) 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.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
22
INTERMEDIATE-
SHORT-DURATION DURATION ULTRA
TREASURY TREASURY II GOVERNMENT GOVERNMENT SHORT BOND
FUND FUND FUND FUND GNMA FUND FUND
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
$ -- $ 559,083 $ 131,814 $ 54,770 $ 119,328 $ 341,066
-- -- -- -- -- --
1,265,760 -- 29,900 9,200 700 58,200
-- -- 620 72 65 471
-- -- 8,028 4,486 -- 40,323
73 1,215 550 225 602 1,371
-- -- 350 27 1,625 298
-- -- 187 127 88 112
50 19 5 2 4 12
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
1,265,883 560,317 171,454 68,909 122,412 441,853
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
1,090 425 114 18 246 34
-- -- 160 60 103 1,175
-- -- 35,031 13,090 1,514 --
-- -- 301 91 77 41
230 41 -- -- 14 --
164 72 38 18 21 104
24 10 10 5 10 25
2 1 -- -- -- 1
1 -- -- -- -- 1
64 26 13 4 31 24
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
1,575 575 35,667 13,286 2,016 1,405
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
$ 1,264,308 $ 559,742 $ 135,787 $ 55,623 $ 120,396 $ 440,448
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
$ 1,265,760 $ 559,083 $ 162,928 $ 64,563 $ 118,864 $ 420,482
$ 1,264,401 $ 559,778 $ 141,721 $ 58,350 $ 132,253 $ 467,486
-- -- (15) (8) (62) 72
(93) (36) (4,654) (2,323) (13,051) (6,248)
-- -- (1,214) (593) 1,164 (21,216)
-- -- -- -- -- --
-- -- (51) 197 92 354
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
$ 1,264,308 $ 559,742 $ 135,787 $ 55,623 $ 120,396 $ 440,448
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
$ 1.00 $ 1.00 $ 10.09 $ 10.57 $ 9.47 $ 9.35
($545,660,742 / ($409,138,258 / ($135,787,047 / ($55,623,157 / ($120,395,912 / ($440,448,107 /
545,691,230 409,320,722 13,454,896 5,260,353 12,709,305 47,113,925
shares) shares) shares) shares) shares) shares)
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
$ 1.00 $ 1.00 N/A N/A N/A N/A
($443,087,929 / ($144,645,625 /
443,128,337 144,643,171
shares) shares)
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
$ 1.00 $ 1.00 N/A N/A N/A N/A
($81,298,310 / ($5,958,435 /
81,313,036 5,961,702
shares) shares)
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
N/A N/A N/A N/A N/A N/A
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
$ 1.00 N/A N/A N/A N/A N/A
($194,261,279 /
194,268,705
shares)
- ---------------- ---------------- ---------------- --------------- ---------------- ----------------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
23
Statements of Operations ($ Thousands)
For the six months ended July 31, 2008 (Unaudited)
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
------- ---------- ------------- ----------
INVESTMENT INCOME:
Interest Income $13,964 $21,123 $21,539 $ 77,771
------- ------- ------- -------
EXPENSES:
Administration Fees 1,484 1,852 1,503 4,669
Shareholder Servicing Fees -- Class A Shares 487 1,350 1,613 4,817
Shareholder Servicing Fees -- Sweep Class Shares 158 41 -- 32
Distribution Fees - Sweep Class Shares 322 83 -- 134
Administrative & Shareholder Servicing Fees --
Class B Shares 208 409 374 545
Administrative & Shareholder Servicing Fees --
Class C Shares 607 395 108 1,418
Administrative & Shareholder Servicing Fees --
Class H Shares -- -- -- 199
Investment Advisory Fees 101 174 179 554
Trustees' Fees 5 9 9 30
Chief Compliance Officer Fees 2 3 4 11
Registration Fees 37 38 38 175
Custodian/Wire Agent Fees 12 21 23 70
Pricing Fees 1 1 1 4
Other Expenses 39 56 58 216
------- ------- ------- -------
Total Expenses 3,463 4,432 3,910 12,874
------- ------- ------- -------
Less, Waiver of:
Investment Advisory Fees -- -- -- --
Administration fees (871) (611) (232) (815)
Shareholder Servicing Fees -- Class A Shares (487) (1,350) (1,613) (4,817)
Shareholder Servicing Fees -- Sweep Class Shares -- -- -- --
Administrative & Shareholder Servicing Fees --
Class B Shares -- -- -- --
Administrative & Shareholder Servicing Fees --
Class C Shares -- -- -- --
------- ------- ------- -------
Net Expenses 2,105 2,471 2,065 7,242
------- ------- ------- -------
NET INVESTMENT INCOME 11,859 18,652 19,474 70,529
------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM:
Investments (5,715) 9 -- (71,932)
Futures Contracts -- -- -- --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON/FROM:
Investments 2,364 -- -- 20,064
Affiliated investment 1,998 -- -- 52,345
Futures Contracts -- -- -- --
------- ------- ------- -------
NET INCREASE IN NET ASSETS FROM OPERATIONS $10,506 $18,661 $19,474 $71,006
------- ------- ------- -------
Amounts designated as "--" are either $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
24
INTERMEDIATE-
SHORT-DURATION DURATION ULTRA
TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA SHORT BOND
FUND FUND FUND FUND FUND FUND
- -------- ----------- -------------- ------------- ------- ----------
$14,863 $ 5,540 $ 2,806 $ 1,136 $2,912 $ 8,071
------- ------ ------- ------- ------ --------
1,675 765 261 112 198 766
735 596 186 78 155 547
138 -- -- -- -- --
276 -- -- -- -- --
893 229 -- -- -- --
256 20 -- -- -- --
-- -- -- -- -- --
157 72 75 31 62 219
8 4 1 -- 1 2
3 1 -- -- -- 1
41 13 4 1 4 11
18 8 2 1 2 6
1 -- 16 5 18 35
52 20 6 3 5 14
------- ------ ------- ------- ------ --------
4,253 1,728 551 231 445 1,601
------- ------ ------- ------- ------ --------
-- -- (8) -- -- (69)
(561) (246) (2) -- (57) (161)
(735) (596) (186) (66) -- (547)
(16) -- -- -- -- --
(21) -- -- -- -- --
(6) -- -- -- -- --
------- ------ ------- ------- ------ --------
2,914 886 355 165 388 824
------- ------ ------- ------- ------ --------
11,949 4,654 2,451 971 2,524 7,247
------- ------ ------- ------- ------ --------
-- (5) 1,365 496 (859) (394)
-- -- 701 22 (363) (5)
-- -- (2,332) (1,414) (963) (14,753)
-- -- -- -- -- --
-- -- (1,306) (410) 102 (418)
------- ------ ------- ------- ------ --------
$11,949 $ 4,649 $ 879 $ (335) $ 441 $ (8,323)
------- ------ ------- ------- ------ --------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
25
Statements of Changes in Net Assets ($ Thousands)
For the six months ended July 31, 2008 (Unaudited) and for the year ended
January 31, 2008
MONEY MARKET GOVERNMENT
FUND FUND
------------------------- -------------------------
2/1/08- 2/1/07- 2/1/08- 2/1/07-
7/31/08 1/31/08 7/31/08 1/31/08
----------- ----------- ----------- -----------
OPERATIONS:
Net Investment Income $ 11,859 $ 56,480 $ 18,652 $ 48,797
Net Realized Gain (Loss) on Investments (5,715) 4 9 (21)
Net Change in Unrealized Appreciation (Depreciation)
on Investments and Affiliated Investment 4,362 (2,861) -- --
----------- ----------- ----------- -----------
Net Increase in Net Assets Resulting from Operations 10,506 53,623 18,661 48,776
----------- ----------- ----------- -----------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (5,619) (30,293) (13,791) (33,800)
Class B (1,843) (8,720) (2,930) (7,320)
Class C (2,896) (12,366) (1,632) (6,715)
Class H -- -- -- --
Sweep Class (1,358) (5,109) (299) (963)
----------- ----------- ----------- -----------
Total Dividends (11,716) (56,488) (18,652) (48,798)
----------- ----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 1,033,882 3,297,445 2,540,049 4,429,982
Reinvestment of Dividends & Distributions 3,512 16,793 8,940 20,018
Cost of Shares Redeemed (1,081,465) (3,535,185) (2,558,594) (3,926,107)
----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets from Class A Transactions (44,071) (220,947) (9,605) 523,893
----------- ----------- ----------- -----------
CLASS B:
Proceeds from Shares Issued 270,051 948,867 761,539 1,511,639
Reinvestment of Dividends & Distributions 260 1,740 1,882 3,546
Cost of Shares Redeemed (323,980) (931,535) (530,650) (1,440,263)
----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets from Class B Transactions (53,669) 19,072 232,771 74,922
----------- ----------- ----------- -----------
CLASS C:
Proceeds from Shares Issued 530,605 1,169,740 289,564 765,159
Reinvestment of Dividends & Distributions 105 555 -- --
Cost of Shares Redeemed (549,928) (1,153,822) (306,783) (748,287)
----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets from Class C Transactions (19,218) 16,473 (17,219) 16,872
----------- ----------- ----------- -----------
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 287,855 658,307 220,430 335,540
Reinvestment of Dividends & Distributions -- -- 17 52
Cost of Shares Redeemed (289,772) (615,774) (212,219) (322,436)
----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets from Sweep
Class Transactions (1,917) 42,533 8,228 13,156
----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets from Capital Share
Transactions (118,875) (142,869) 214,175 628,843
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets (120,085) (145,734) 214,184 628,821
----------- ----------- ----------- -----------
NET ASSETS:
BEGINNING OF PERIOD 960,664 1,106,398 1,411,682 782,861
----------- ----------- ----------- -----------
END OF PERIOD $ 840,579 $ 960,664 $ 1,625,866 $ 1,411,682
----------- ----------- ----------- -----------
Undistributed Net Investment Income $ 143 $ -- $ -- $ --
----------- ----------- ----------- -----------
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
26
GOVERNMENT II PRIME OBLIGATION TREASURY TREASURY II
FUND FUND FUND FUND
- ------------------------- -------------------------- -------------------------- -------------------------
2/1/08- 2/1/07- 2/1/08- 2/1/07- 2/1/08- 2/1/07- 2/1/08- 2/1/07-
7/31/08 1/31/08 7/31/08 1/31/08 7/31/08 1/31/08 7/31/08 1/31/08
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
$ 19,474 $ 43,747 $ 70,529 $ 277,585 $ 11,949 $ 48,447 $ 4,654 $ 10,234
-- (1) (71,932) 72 -- -- (5) (4)
-- -- 72,409 (14,480) -- -- -- --
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
19,474 43,746 71,006 263,177 11,949 48,447 4,649 10,230
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
(16,313) (36,536) (55,024) (204,056) (5,647) (17,880) (3,691) (7,673)
(2,721) (6,641) (4,688) (30,210) (4,890) (19,393) (920) (2,373)
(440) (570) (6,751) (37,386) (753) (5,680) (43) (188)
-- -- (939) (3,196) -- -- -- --
-- -- (566) (2,756) (659) (5,494) -- --
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
(19,474) (43,747) (67,968) (277,604) (11,949) (48,447) (4,654) (10,234)
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
1,397,843 2,877,203 8,627,965 36,454,577 10,068,615 4,357,178 922,095 2,556,258
1,331 4,126 11,707 42,778 1,787 2,340 938 1,607
(1,490,396) (2,207,185) (8,547,068) (36,127,886) (10,135,194) (4,036,663) (1,030,055) (2,223,661)
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
(91,222) 674,144 92,604 369,469 (64,792) 322,855 (107,022) 334,204
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
492,694 510,735 1,058,209 4,235,534 1,307,211 2,424,394 315,731 604,452
919 665 1,638 12,453 2,408 6,568 295 239
(472,387) (501,430) (1,220,102) (4,486,791) (1,628,028) (2,028,554) (280,764) (547,295)
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
21,226 9,970 (160,255) (238,804) (318,409) 402,408 35,262 57,396
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
78,981 86,737 1,686,710 5,373,977 521,373 962,801 72,624 53,492
-- -- 2,318 9,987 18 94 4 39
(78,762) (47,289) (1,834,155) (5,521,087) (585,011) (918,903) (73,923) (66,552)
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
219 39,448 (145,127) (137,123) (63,620) 43,992 (1,295) (13,021)
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
N/A N/A 91,966 176,273 N/A N/A N/A N/A
N/A N/A 939 3,196 N/A N/A N/A N/A
N/A N/A (99,462) (163,790) N/A N/A N/A N/A
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
N/A N/A (6,557) 15,679 N/A N/A N/A N/A
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
N/A N/A 205,974 558,435 402,343 740,584 N/A N/A
N/A N/A 138 509 -- -- N/A N/A
N/A N/A (216,818) (550,395) (319,934) (725,736) N/A N/A
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
N/A N/A (10,706) 8,549 82,409 14,848 N/A N/A
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
(69,777) 723,562 (230,041) 17,770 (364,412) 784,103 (73,055) 378,579
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
(69,777) 723,561 (227,003) 3,343 (364,412) 784,103 (73,060) 378,575
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
1,548,799 825,238 4,995,727 4,992,384 1,628,720 844,617 632,802 254,227
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
$ 1,479,022 $ 1,548,799 $ 4,768,724 $ 4,995,727 $ 1,264,308 $ 1,628,720 $ 559,742 $ 632,802
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
$ -- $ -- $ 2,561 $ -- $ -- $ -- $ -- $ --
- ----------- ----------- ----------- ------------ ------------ ----------- ----------- -----------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
27
Statements of Changes in Net Assets ($ Thousands)
For the six months ended July 31, 2008 (Unaudited) and for the year ended
January 31, 2008
SHORT-DURATION
GOVERNMENT FUND
-------------------------------
2/1/08-7/31/08 2/1/07-1/31/08
-------------- --------------
OPERATIONS:
Net Investment Income $ 2,451 $ 5,474
Net Realized Gain (Loss) on Investments and Futures Contracts 2,066 1,040
Net Change in Unrealized Appreciation (Depreciation) on Investments
and Futures Contracts (3,638) 2,869
--------- --------
Net Increase in Net Assets Resulting from Operations 879 9,383
--------- --------
DIVIDENDS TO SHAREHOLDERS:
Net Investment Income (2,471) (5,655)
--------- --------
Total Dividends (2,471) (5,655)
--------- --------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 76,490 96,648
Reinvestment of Dividends & Distributions 1,835 3,913
Cost of Shares Redeemed (113,838) (46,859)
--------- --------
Increase (Decrease) in Net Assets from Class A Transactions (35,513) 53,702
--------- --------
Net Increase (Decrease) in Net Assets (37,105) 57,430
--------- --------
NET ASSETS:
BEGINNING OF PERIOD 172,892 115,462
--------- --------
END OF PERIOD $ 135,787 $172,892
--------- --------
Undistributed (Distributions in Excess of) Net Investment Income $ (15) $ 5
--------- --------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 7,517 9,620
Reinvestment of Distributions 180 391
Shares Redeemed (11,168) (4,684)
--------- --------
Net Increase (Decrease) in Shares Outstanding from Share
Transactions (3,471) 5,327
--------- --------
Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
28
INTERMEDIATE-DURATION GNMA ULTRA SHORT
GOVERNMENT FUND FUND BOND FUND
- ------------------------------- ------------------------------- -------------------------------
2/1/08-7/31/08 2/1/07-1/31/08 2/1/08-7/31/08 2/1/07-1/31/08 2/1/08-7/31/08 2/1/07-1/31/08
- -------------- -------------- -------------- -------------- -------------- --------------
$ 971 $ 1,566 $ 2,524 $ 6,565 $ 7,247 $ 13,149
518 865 (1,222) (21) (399) (1,100)
(1,824) 1,693 (861) 3,808 (15,171) (5,293)
-------- -------- -------- -------- --------- ---------
(335) 4,124 441 10,352 (8,323) 6,756
-------- -------- -------- -------- --------- ---------
(974) (1,582) (2,557) (6,742) (7,175) (13,045)
-------- -------- -------- -------- --------- ---------
(974) (1,582) (2,557) (6,742) (7,175) (13,045)
-------- -------- -------- -------- --------- ---------
44,805 28,014 54,581 23,497 167,215 300,337
880 1,197 1,222 2,369 6,956 11,765
(39,125) (28,016) (48,115) (58,363) (127,588) (135,270)
-------- -------- -------- -------- --------- ---------
6,560 1,195 7,688 (32,497) 46,583 176,832
-------- -------- -------- -------- --------- ---------
5,251 3,737 5,572 (28,887) 31,085 170,543
-------- -------- -------- -------- --------- ---------
50,372 46,635 114,824 143,711 409,363 238,820
-------- -------- -------- -------- --------- ---------
$ 55,623 $ 50,372 $120,396 $114,824 $ 440,448 $ 409,363
-------- -------- -------- -------- --------- ---------
$ (8) $ (5) $ (62) $ (29) $ 72 $ --
-------- -------- -------- -------- --------- ---------
4,166 2,704 5,660 2,490 17,551 30,805
82 116 128 252 733 1,195
(3,670) (2,741) (5,006) (6,207) (13,426) (13,707)
-------- -------- -------- -------- --------- ---------
578 79 782 (3,465) 4,858 18,293
-------- -------- -------- -------- --------- ---------
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
29
Financial Highlights
For the six months ended July 31, 2008 (Unaudited) and for the years ended
January 31,
For a Share Outstanding Throughout the Years
Net
Realized
and
Unrealized
Net Asset Gains Dividends Total
Value, Net (Losses) Total from Net Dividends
Beginning Investment on from Investment and
of Period Income(1) Securities Operations Income Distributions
--------- ---------- ---------- ---------- ---------- -------------
MONEY MARKET FUND
CLASS A
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.05 -- 0.05 (0.05) (0.05)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
CLASS B
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.05 -- 0.05 (0.05) (0.05)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
CLASS C
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.05 -- 0.05 (0.05) (0.05)
2007 1.00 0.04 -- 0.04 (0.04) (0.04)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
SWEEP CLASS
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.04 -- 0.04 (0.04) (0.04)
2007 1.00 0.04 -- 0.04 (0.04) (0.04)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 -- -- -- --(2) --(2)
GOVERNMENT FUND
CLASS A
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.05 -- 0.05 (0.05) (0.05)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
CLASS B
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.05 -- 0.05 (0.05) (0.05)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
CLASS C
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.04 -- 0.04 (0.04) (0.04)
2007 1.00 0.04 -- 0.04 (0.04) (0.04)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 -- -- -- --(2) --(2)
Ratio of
Expenses Ratio of Net
Net Assets Ratio of to Average Investment
Net Asset End of Expenses Net Assets Income
Value, End Total Period to Average (Excluding to Average
of Period Return+ ($ Thousands) Net Assets Waivers) Net Assets
---------- ------- ------------- ---------- ---------- ------------
MONEY MARKET FUND
CLASS A
2008* $1.00 1.44% $ 356,592 0.18% 0.62% 2.91%
2008 1.00 5.23 401,174 0.18 0.63 5.13
2007 1.00 5.07 623,314 0.18 0.63 4.97
2006 1.00 3.30 392,207 0.18 0.62 3.25
2005 1.00 1.37 524,849 0.18 0.62 1.38
2004 1.00 1.04 603,798 0.18 0.62 1.05
CLASS B
2008* $1.00 1.29% $ 112,887 0.48% 0.67% 2.68%
2008 1.00 4.92 166,627 0.48 0.68 4.82
2007 1.00 4.76 148,053 0.48 0.68 4.61
2006 1.00 2.99 123,851 0.48 0.67 2.98
2005 1.00 1.07 107,650 0.48 0.67 1.10
2004 1.00 0.74 124,401 0.48 0.67 0.74
CLASS C
2008* $1.00 1.19% $ 240,027 0.68% 0.87% 2.42%
2008 1.00 4.71 259,640 0.68 0.88 4.61
2007 1.00 4.55 243,944 0.68 0.88 4.48
2006 1.00 2.78 232,072 0.68 0.87 2.83
2005 1.00 0.86 152,060 0.68 0.87 0.84
2004 1.00 0.54 200,467 0.68 0.87 0.55
SWEEP CLASS
2008* $1.00 1.06% $ 131,073 0.93% 1.12% 2.15%
2008 1.00 4.45 133,223 0.93 1.13 4.35
2007 1.00 4.29 91,087 0.93 1.13 4.19
2006 1.00 2.53 113,107 0.93 1.12 2.60
2005 1.00 0.61 69,101 0.93 1.12 0.61
2004 1.00 0.29 87,791 0.93 1.12 0.30
GOVERNMENT FUND
CLASS A
2008* $1.00 1.27% $1,022,013 0.20% 0.53% 2.55%
2008 1.00 4.98 1,031,612 0.20 0.53 4.79
2007 1.00 4.97 507,735 0.20 0.54 4.88
2006 1.00 3.21 467,445 0.20 0.53 3.23
2005 1.00 1.30 369,440 0.20 0.53 1.32
2004 1.00 1.00 329,940 0.20 0.53 0.99
CLASS B
2008* $1.00 1.12% $ 430,365 0.50% 0.58% 2.16%
2008 1.00 4.67 197,593 0.50 0.58 4.53
2007 1.00 4.66 122,674 0.50 0.59 4.57
2006 1.00 2.90 122,025 0.50 0.58 2.84
2005 1.00 1.00 156,741 0.50 0.58 0.93
2004 1.00 0.69 240,491 0.50 0.58 0.70
CLASS C
2008* $1.00 1.02% $ 137,026 0.70% 0.78% 2.07%
2008 1.00 4.46 154,244 0.70 0.78 4.35
2007 1.00 4.45 137,375 0.70 0.79 4.37
2006 1.00 2.70 129,416 0.70 0.78 2.74
2005 1.00 0.80 86,267 0.70 0.78 0.77
2004 1.00 0.49 105,763 0.70 0.78 0.50
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
30
Net
Realized
and
Unrealized
Net Asset Gains Dividends Total
Value, Net (Losses) Total from Net Dividends
Beginning Investment on from Investment and
of Period Income(1) Securities Operations Income Distributions
--------- ---------- ---------- ---------- ---------- -------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.04 -- 0.04 (0.04) (0.04)
2007 1.00 0.04 -- 0.04 (0.04) (0.04)
2006 1.00 0.02 -- 0.02 (0.02) (0.02)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 -- -- -- --(2) --(2)
GOVERNMENT II FUND
CLASS A
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.05 -- 0.05 (0.05) (0.05)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
CLASS B
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.05 -- 0.05 (0.05) (0.05)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
CLASS C
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.04 -- 0.04 (0.04) (0.04)
2007 1.00 0.04 -- 0.04 (0.04) (0.04)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 -- -- -- --(2) --(2)
PRIME OBLIGATION FUND
CLASS A
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.05 -- 0.05 (0.05) (0.05)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
Ratio of
Expenses Ratio of Net
Net Assets Ratio of to Average Investment
Net Asset End of Expenses Net Assets Income
Value, End Total Period to Average (Excluding to Average
of Period Return+ ($ Thousands) Net Assets Waivers) Net Assets
---------- ------- ------------- ---------- ---------- ------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2008* $1.00 0.90% $ 36,462 0.95% 1.03% 1.81%
2008 1.00 4.20 28,233 0.95 1.03 4.06
2007 1.00 4.19 15,077 0.95 1.04 4.07
2006 1.00 2.44 26,361 0.95 1.03 2.43
2005 1.00 0.55 27,841 0.95 1.03 0.51
2004 1.00 0.25 46,254 0.95 1.03 0.25
GOVERNMENT II FUND
CLASS A
2008* $1.00 1.26% $1,263,138 0.20% 0.48% 2.53%
2008 1.00 4.97 1,354,361 0.20 0.48 4.81
2007 1.00 4.96 680,219 0.20 0.49 4.86
2006 1.00 3.18 576,242 0.20 0.48 3.18
2005 1.00 1.27 515,216 0.20 0.48 1.25
2004 1.00 0.96 568,888 0.20 0.47 0.96
CLASS B
2008* $1.00 1.11% $ 172,127 0.50% 0.53% 2.18%
2008 1.00 4.66 150,900 0.50 0.53 4.53
2007 1.00 4.64 140,930 0.50 0.54 4.56
2006 1.00 2.87 168,616 0.50 0.53 2.80
2005 1.00 0.97 160,509 0.50 0.53 0.92
2004 1.00 0.66 201,085 0.50 0.52 0.66
CLASS C
2008* $1.00 1.01% $ 43,757 0.70% 0.73% 2.03%
2008 1.00 4.45 43,538 0.70 0.73 4.05
2007 1.00 4.44 4,089 0.70 0.74 4.38
2006 1.00 2.67 4,457 0.70 0.73 2.39
2005 1.00 0.76 18,637 0.70 0.73 0.71
2004 1.00 0.46 46,853 0.70 0.72 0.46
PRIME OBLIGATION FUND
CLASS A
2008* $1.00 1.42% $3,834,962 0.20% 0.48% 2.96%
2008 1.00 5.21 3,740,714 0.20 0.48 5.10
2007 1.00 5.06 3,382,051 0.20 0.49 4.96
2006 1.00 3.28 2,957,074 0.20 0.48 3.26
2005 1.00 1.34 2,972,833 0.20 0.48 1.31
2004 1.00 1.02 3,235,847 0.20 0.48 1.02
Amounts designated as "--" are $0 or have been rounded to $0.
* For the six month period ended July 31, 2008. All ratios for the period
have been annualized.
+ Returns are for the period indicated and have not been annualized. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of Fund shares.
(1) Per share calculations were performed using average shares.
(2) Amount represents less than $0.01 per share.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
31
Financial Highlights
For the six months ended July 31, 2008 (Unaudited) and for the years ended
January 31,
For a Share Outstanding Throughout the Years
Net
Realized
and
Net Unrealized
Asset Gains Dividends Total
Value, Net (Losses) Total from Net Dividends
Beginning Investment on from Investment and
of Period Income(1) Securities Operations Income Distributions
--------- ---------- ---------- ---------- ---------- -------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.05 -- 0.05 (0.05) (0.05)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
CLASS C
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.05 -- 0.05 (0.05) (0.05)
2007 1.00 0.04 -- 0.04 (0.04) (0.04)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
CLASS H
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.05 -- 0.05 (0.05) (0.05)
2007 1.00 0.04 -- 0.04 (0.04) (0.04)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
SWEEP CLASS
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.04 -- 0.04 (0.04) (0.04)
2007 1.00 0.04 -- 0.04 (0.04) (0.04)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 -- -- -- --(2) --(2)
TREASURY FUND
CLASS A
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.05 -- 0.05 (0.05) (0.05)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
CLASS B
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.04 -- 0.04 (0.04) (0.04)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
CLASS C
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.04 -- 0.04 (0.04) (0.04)
2007 1.00 0.04 -- 0.04 (0.04) (0.04)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 -- -- -- --(2) --(2)
Ratio of
Expenses Ratio
Ratio of to of Net
Net Expenses Average Investment
Asset Net Assets to Net Income
Value, End of Average Assets to
End of Total Period Net (Excluding Average
Period Return+ ($ Thousands) Assets Waivers) Net Assets
------ ------- ------------- -------- ---------- ----------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2008* $1.00 1.27% $316,064 0.50% 0.53% 2.67%
2008 1.00 4.90 475,700 0.50 0.53 4.82
2007 1.00 4.74 715,879 0.50 0.54 4.65
2006 1.00 2.98 625,831 0.50 0.53 2.88
2005 1.00 1.03 663,635 0.50 0.53 1.05
2004 1.00 0.72 572,097 0.50 0.53 0.72
CLASS C
2008* $1.00 1.17% $497,516 0.70% 0.73% 2.47%
2008 1.00 4.69 641,977 0.70 0.73 4.60
2007 1.00 4.53 780,951 0.70 0.74 4.45
2006 1.00 2.77 779,625 0.70 0.73 2.76
2005 1.00 0.83 730,310 0.70 0.73 0.82
2004 1.00 0.52 864,829 0.70 0.73 0.52
CLASS H
2008* $1.00 1.21% $ 74,038 0.63% 0.66% 2.54%
2008 1.00 4.76 80,958 0.63 0.66 4.65
2007 1.00 4.61 65,512 0.63 0.67 4.55
2006 1.00 2.84 36,006 0.63 0.66 2.81
2005 1.00 0.90 41,221 0.63 0.66 0.90
2004 1.00 0.59 36,023 0.63 0.66 0.59
SWEEP CLASS
2008* $1.00 1.05% $ 46,144 0.95% 0.98% 2.22%
2008 1.00 4.43 56,378 0.95 0.98 4.34
2007 1.00 4.27 47,991 0.95 0.99 4.20
2006 1.00 2.51 45,130 0.95 0.98 2.53
2005 1.00 0.58 32,908 0.95 0.98 0.58
2004 1.00 0.27 37,399 0.95 0.98 0.28
TREASURY FUND
CLASS A
2008* $1.00 0.96% $545,661 0.20% 0.53% 1.92%
2008 1.00 4.64 610,451 0.20 0.53 4.36
2007 1.00 4.95 287,595 0.20 0.54 4.87
2006 1.00 3.13 208,097 0.20 0.53 3.05
2005 1.00 1.22 292,974 0.20 0.53 1.21
2004 1.00 0.96 264,544 0.20 0.53 0.92
CLASS B
2008* $1.00 0.81% $443,088 0.50% 0.57% 1.64%
2008 1.00 4.33 761,497 0.50 0.58 4.07
2007 1.00 4.64 359,090 0.50 0.59 4.58
2006 1.00 2.82 239,461 0.50 0.58 2.81
2005 1.00 0.91 206,698 0.50 0.58 0.85
2004 1.00 0.66 325,687 0.50 0.58 0.65
CLASS C
2008* $1.00 0.71% $ 81,298 0.70% 0.77% 1.47%
2008 1.00 4.12 144,919 0.70 0.78 4.00
2007 1.00 4.43 100,928 0.70 0.79 4.34
2006 1.00 2.62 113,403 0.70 0.78 2.70
2005 1.00 0.71 68,932 0.70 0.78 0.66
2004 1.00 0.46 109,647 0.70 0.78 0.45
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
32
Net
Realized
and
Net Unrealized
Asset Gains Dividends Total
Value, Net (Losses) Total from Net Dividends
Beginning Investment on from Investment and
of Period Income(1) Securities Operations Income Distributions
--------- ---------- ---------- ---------- ---------- -------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.04 -- 0.04 (0.04) (0.04)
2007 1.00 0.04 -- 0.04 (0.04) (0.04)
2006 1.00 0.02 -- 0.02 (0.02) (0.02)
2005 1.00 -- -- -- --(2) --(2)
2004 1.00 -- -- -- --(2) --(2)
TREASURY II FUND
CLASS A
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.04 -- 0.04 (0.04) (0.04)
2007 1.00 0.05 -- 0.05 (0.05) (0.05)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
CLASS B
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.04 -- 0.04 (0.04) (0.04)
2007 1.00 0.04 -- 0.04 (0.04) (0.04)
2006 1.00 0.03 -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 0.01 -- 0.01 (0.01) (0.01)
CLASS C
2008* $1.00 $0.01 $-- $0.01 $(0.01) $(0.01)
2008 1.00 0.04 -- 0.04 (0.04) (0.04)
2007 1.00 0.04 -- 0.04 (0.04) (0.04)
2006 1.00 0.02 -- 0.02 (0.02) (0.02)
2005 1.00 0.01 -- 0.01 (0.01) (0.01)
2004 1.00 -- -- -- --(2) --(2)
Ratio of
Expenses Ratio
Ratio of to of Net
Net Expenses Average Investment
Asset Net Assets to Net Income
Value, End of Average Assets to
End of Total Period Net (Excluding Average
Period Return+ ($ Thousands) Assets Waivers) Net Assets
------ ------- ------------- -------- ---------- ----------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2008* $1.00 0.59% $194,261 0.92%(3) 1.01% 1.19%
2008 1.00 3.86 111,853 0.95 1.03 3.74
2007 1.00 4.17 97,004 0.95 1.04 4.11
2006 1.00 2.36 83,570 0.95 1.03 2.35
2005 1.00 0.49 95,407 0.93 1.03 0.49
2004 1.00 0.23 95,679 0.92 1.03 0.22
TREASURY II FUND
CLASS A
2008* $1.00 0.76% $409,138 0.20% 0.53% 1.55%
2008 1.00 4.11 516,164 0.21 0.53 3.72
2007 1.00 4.62 181,976 0.25 0.53 4.50
2006 1.00 2.85 178,480 0.25 0.53 2.78
2005 1.00 1.09 263,727 0.25 0.53 1.08
2004 1.00 0.81 269,200 0.25 0.53 0.80
CLASS B
2008* $1.00 0.61% $144,646 0.50% 0.58% 1.21%
2008 1.00 3.81 109,384 0.51 0.58 3.54
2007 1.00 4.31 51,984 0.55 0.58 4.18
2006 1.00 2.54 70,593 0.55 0.58 2.50
2005 1.00 0.79 78,781 0.55 0.58 0.70
2004 1.00 0.51 160,859 0.55 0.58 0.51
CLASS C
2008* $1.00 0.51% $ 5,958 0.70% 0.78% 1.05%
2008 1.00 3.59 7,254 0.72 0.79 3.71
2007 1.00 4.10 20,267 0.75 0.78 4.04
2006 1.00 2.33 2,602 0.75 0.78 2.03
2005 1.00 0.59 31,370 0.75 0.78 0.54
2004 1.00 0.31 58,424 0.75 0.78 0.30
Amounts designated as "--" are $0 or have been rounded to $0.
* For the six month period ended July 31, 2008. All ratios for the period
have been annualized.
+ Returns are for the period indicated and have not been annualized. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of Fund shares.
(1) Per share calculations were performed using average shares.
(2) Amount represents less than $0.01 per share.
(3) The Distributor has voluntarily agreed to waive and reduce its fee and/or
reimburse certain expenses of the Treasury Fund in order to limit the
one-day net income yield of the Fund to not less than 0.15% of the Treasury
Fund's average daily net assets of the Sweep Class Shares. Had these
waivers been excluded the ratio would have been 0.95%.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
33
Financial Highlights
For the six months ended July 31, 2008 (Unaudited) and for the years ended
January 31,
For a Share Outstanding Throughout the Years
Net
Realized
and
Net Unrealized
Asset Gains Dividends Total
Value, Net (Losses) Total from Net Distributions Dividends
Beginning Investment on from Investment from Realized and
of Period Income(1) Securities Operations Income Capital Gains Distributions
--------- ---------- ---------- ---------- ---------- ------------- -------------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2008* $10.21 $0.17 $(0.12) $ 0.05 $(0.17) $ -- $(0.17)
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* $10.76 $0.16 $(0.18) $(0.02) $(0.17) $ -- $(0.17)
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* $ 9.63 $0.19 $(0.15) $ 0.04 $(0.20) $ -- $(0.20)
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* $ 9.69 $0.16 $(0.34) $(0.18) $(0.16) $ -- $(0.16)
2008 9.97 0.48 (0.28) 0.20 (0.48) -- (0.48)
2007 9.95 0.45 0.03 0.48 (0.46) -- (0.46)
2006++ 10.00 0.32 (0.04) 0.28 (0.33) -- (0.33)
2005++ 10.10 0.20 (0.10) 0.10 (0.20) -- (0.20)
2004++ 10.15 0.20 (0.05) 0.15 (0.20) -- (0.20)
Ratio of
Expenses Ratio
Ratio of to of Net
Net Expenses Average Investment
Asset Net Assets to Net Income
Value, End of Average Assets to Portfolio
End of Total Period Net (Excluding Average Turnover
Period Return+ ($ Thousands) Assets Waivers) Net Assets Rate
------ ------- ------------- -------- ---------- ---------- ---------
SHORT-DURATION GOVERNMENT FUND
CLASS A
2008* $10.09 0.49% $135,787 0.48% 0.74% 3.29% 417%
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* $10.57 (0.20)% $ 55,623 0.53% 0.74% 3.10% 426%
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* $ 9.47 0.39% $120,396 0.63% 0.72% 4.07% 215%
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* $ 9.35 (1.92)% $440,448 0.38% 0.73% 3.31% 36%
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.
* For the six month period ended July 31, 2008. All ratios for the period
have been annualized.
+ Returns are for the period indicated and have not been annualized. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of Fund shares.
++ Per share amounts have been adjusted for a 5 for 1 reverse stock split paid
to shareholders of record on May 6, 2005.
(1) Per share calculations were performed using average shares.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
34
NOTES TO FINANCIAL STATEMENTS
Notes to Financial Statements (Unaudited)
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end investment company with ten operational Funds: the Money
Market, Government, Government II, Prime Obligation, Treasury, Treasury II (each
a "Fund," collectively the "Money Market Funds"), the Short-Duration Government,
Intermediate-Duration Government, GNMA, and Ultra Short Bond (each a "Fund,"
collectively the "Fixed Income Funds"). The 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.
Financial Accounting Standards Board Statement of Financial Accounting Standards
No. 157, Fair Value Measurements ("FAS 157"), is effective for the Fund's
financial statements issued after December 31, 2007. In accordance with FAS 157,
fair value is defined as the price that the Fund would receive upon selling an
investment in a timely transaction to an independent buyer in the principal or
most advantageous market of the investment. FAS 157 established a three-tier
hierarchy to maximize the use of the observable market data and minimize the use
of unobservable inputs and to establish classification of the fair value
measurements for disclosure purposes. Inputs refer broadly to the assumptions
that market participants would use in pricing an asset. Inputs may be observable
or unobservable. Observable inputs are inputs that reflect the assumptions
market participants would use in pricing the asset or liability developed based
on market data obtained from sources independent of the reporting entity.
Unobservable inputs are inputs that reflect the reporting entity's own
assumptions about the assumptions market participants would use in pricing the
asset or liability developed based on the best information available in the
circumstances.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
35
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
The three-tier hierarchy of inputs is summarized in the three broad Levels
listed below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for
similar investments, interest rates, prepayment speeds, credit risks, etc.)
Level 3 - significant unobservable inputs (including the Fund's own assumptions
in determining the fair value of investments)
The valuation techniques used by the Fund to measure fair value in accordance
with FAS 157 during the six months ended July 31, 2008 maximized the use of
observable inputs and minimized the use of unobservable inputs.
The following is a summary of the inputs used as of July 31, 2008 in valuing the
Fund's investments in accordance with FAS 157 carried at value ($ Thousands):
INVESTMENTS IN SECURITIES LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
- ------------------------- ---------- ---------- -------- ----------
Money Market Fund $ 64,978 $ 700,980 $ 75,270 $ 841,228
Government Fund 75,046 1,549,140 -- 1,624,186
Government II Fund -- 1,477,545 -- 1,477,545
Prime Obligation Fund 748,493 3,489,335 535,315 4,773,143
Treasury Fund 1,265,760 -- -- 1,265,760
Treasury II Fund -- 559,083 -- 559,083
Short-Duration Government Fund 29,900 131,814 -- 161,714
Intermediate-Duration Government Fund 9,200 54,770 -- 63,970
GNMA Fund 700 119,328 -- 120,028
Ultra Short Bond Fund 58,200 338,672 2,394 399,266
OTHER FINANCIAL INSTRUMENTS* LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
- ------------------------- ---------- ---------- -------- ----------
Money Market Fund $ -- $-- $-- $ --
Government Fund -- -- -- --
Government II Fund -- -- -- --
Prime Obligation Fund -- -- -- --
Treasury Fund -- -- -- --
Treasury II Fund -- -- -- --
Short-Duration Government Fund (51) -- -- (51)
Intermediate-Duration Government Fund 197 -- -- 197
GNMA Fund 92 -- -- 92
Ultra Short Bond Fund 354 -- -- 354
* Other financial instruments are futures which are valued at the unrealized
appreciation/depreciation on the instrument.
The following is a reconciliation of investments in which significant
unobservable inputs (Level 3) were used in determining value:
MONEY MARKET PRIME OBLIGATION ULTRA SHORT
FUND FUND BOND FUND
INVESTMENT IN SECURITIES ($ THOUSANDS) ($ THOUSANDS) ($ THOUSANDS)
- ------------------------ ------------- ---------------- -------------
Beginning balance as of
February 1, 2008 $ 19,997 $ 331,972 $ --
Accrued discounts/premiums (2) (33) --
Realized gain/(loss) (5,715) (71,931) --
Change in unrealized
appreciation/(depreciation) (498) (24,495) --
Net purchase/sales (14,279) (180,013) --
Net transfer in and/or
out Level 3 75,767 479,815 2,394
-------- --------- ------
Ending balance as of
July 31, 2008 $ 75,270 $ 535,315 $2,394
======== ========= ======
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
accounted for on the trade date of the security purchase or sale. Costs used in
determining net realized capital gains and losses on the sale of securities are
those of the specific securities sold, adjusted for the accretion and
amortization of purchase discounts and premiums during the respective holding
period. Interest income is recorded on the accrual basis. Purchase discounts and
premiums on securities held in the Fixed Income Funds are accreted and amortized
over the life of each security. Paydown gains and losses are classified as
interest income.
REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase
agreements are held by each Fund's custodian bank until maturity of the
repurchase agreements. Provisions of the agreements and the Trust's policies
ensure that the market value of the collateral, including accrued interest
thereon, is sufficient in the event of default by the counterparty. The Funds
also invest in tri-party repurchase agreements. Securities held as collateral
for tri-party repurchase agreements are maintained by the broker's custodian
bank in a segregated account until maturity of the repurchase agreement.
Provisions of the agreements ensure that the market value of the collateral,
including accrued interest thereon, is sufficient in the event of default. If
the counterparty defaults and the value of the collateral declines, or if the
counterparty enters into an insolvency proceeding, realization of the collateral
by a Fund may be delayed or limited.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
36
FUTURES CONTRACTS -- The Fixed Income Funds utilized futures contracts during
the six months ended July 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 July 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.
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
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
37
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
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 July 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
July 31, 2008, were as follows:
NUMBER ACQUISITION COST FAIR VALUE % OF NET
OF SHARES DATE ($THOUSANDS) ($THOUSANDS) ASSETS
--------- ----------- ------------ ------------ --------
MONEY MARKET FUND
Gryphon Funding 16,827 07/23/08 $ 11,267 $ 10,770 1.28%
Metropolitan Life
Insurance 30,000 05/01/03 30,000 30,000 3.57
Morgan Stanley
Asset Funding 25,000 03/15/07 25,000 25,000 2.97
Monumental Life
Insurance 9,500 03/21/03 9,500 9,500 1.13
-------- -------- -----
$ 75,767 $ 75,270 8.95%
======== ======== =====
PRIME OBLIGATION FUND
Gryphon Funding 213,149 07/23/08 $143,315 $136,415 2.86%
Metropolitan Life
Insurance 160,000 05/01/03 160,000 160,000 3.36
Morgan Stanley
Asset Funding 75,000 03/15/07 75,000 75,000 1.57
Monumental Life
Insurance 101,500 03/21/03 101,500 101,500 2.13
Stanfield Victoria LLC 80,000 03/06/07 62,400 62,400 1.31
-------- -------- -----
$542,215 $535,315 11.23%
======== ======== =====
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
38
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 .48%(5) .53%(5) .63%(5) .38%(5)
* 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.
(5) Represents a voluntary cap that may be discontinued at anytime. Prior to
March 1, 2008, the cap for the Short-Duration Government,
Intermediate-Duration Government, GNMA and Ultra Short Bond Funds were
.45%, .50%, .60% and .35%, respectively.
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%
Treasury Fund
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Sweep Class .25% -- .50%
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
39
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
Shareholder Administrative
Servicing Service Distribution
Fees Fees Fees*
----------- -------------- ------------
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. The Distributor has voluntarily
agreed to waive and reduce its fee and/or reimburse certain expenses of the
Treasury Fund in order to limit the one-day net income yield of the Fund to not
less than 0.15% of the Treasury Fund's average daily net assets of the Sweep
Class Shares. There were $16,277 in waivers for the six month period ended
July 31, 2008.
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 $1 billion for the Ultra Short Bond Fund. The fee will be calculated based on
the net assets of the Ultra Short Bond Fund.
Pursuant to the "manager of managers" structure, the Board of Trustees approved
Columbia Management Advisors, LLC (formerly Banc of America Capital Management,
LLC) as each Money Market Fund's investment sub-adviser under an investment
sub-advisory agreement approved by the shareholders of each Fund. For its
services to the Money Market Funds, the sub-adviser is entitled to receive a fee
paid directly by SIMC.
Wellington Management Company, LLP ("Wellington LLP") serves as sub-adviser to
the Fixed Income Funds under an investment sub-advisory agreement approved by
the shareholders of each Fund. For its services to the Funds, Wellington LLP is
entitled to receive a fee paid directly by SIMC.
U.S. Bank, N.A. serves as the custodian of the Funds. The custodian plays no
role in determining the investment policies of the Funds or which securities are
to be purchased or sold in the Funds.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities, for the six months
ended July 31, 2008, were as follows for the Fixed Income Funds:
Short- Intermediate- Ultra
Duration Duration Short
Government Government GNMA Bond
Fund Fund Fund Fund
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- -------------
PURCHASES
U.S. Government $600,102 $255,775 $258,183 $61,488
Other -- -- -- 60,608
SALES
U.S. Government $635,482 $238,908 $249,951 $ 3,897
Other -- -- -- 62,839
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
40
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company for Federal income tax purposes and distribute all of its taxable income
(including net capital gains). Accordingly, no provision for Federal income
taxes is required.
RECLASSIFICATION OF COMPONENTS OF NET ASSETS -- The timing and characterization
of certain income and capital gain distributions are determined annually in
accordance with Federal tax regulations which may differ from accounting
principles generally accepted in the United States. As a result, net investment
income (loss) and net realized gain (loss) on investment transactions for the
reporting period may differ from distributions during such period. These
book/tax differences may be temporary or permanent in nature. To the extent
these differences are permanent, they are charged or credited to Paid-in
Capital, undistributed net investment income, or accumulated net realized gain,
as appropriate, in the periods that the differences arise.
The tax character of dividends and distributions during the last two fiscal
years was as follows:
Long-term
Ordinary Capital
Income 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 $0.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
41
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
At January 31, 2008, the following funds had capital loss carryforwards to
offset future realized capital gains:
Amount Expiration
($ 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 $1,318,946,
respectively, of capital loss carryforwards, to offset capital gains.
At July 31, 2008, the Money Market Funds' (excluding the Money Market Fund and
Prime Obligation Fund) cost of securities for Federal income tax purposes
approximates the cost located in the Statements of Assets and Liabilities.
The Federal tax cost and aggregate gross unrealized appreciation and
depreciation on investments held by the Money Market Fund, Prime Obligation Fund
and Fixed Income Funds at July 31, 2008, were as follows:
Net
Unrealized
Federal Appreciated Depreciated Appreciation/
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($Thousands) ($ Thousands) ($ Thousands)
------------- ------------ ------------- --------------
Money Market Fund $ 839,727 $ 1,998 $ (497) $ 1,501
Prime Obligation Fund 4,715,214 82,424 (24,495) 57,929
Short-Duration Government Fund 162,928 481 (1,695) (1,214)
Intermediate-Duration Government
Fund 64,563 266 (859) (593)
GNMA Fund 118,864 2,499 (1,335) 1,164
Ultra Short Bond Fund 420,482 423 (21,639) (21,216)
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 / Semi-Annual Report / July 31, 2008
42
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 March 2008, the Financial Accounting Standards Board (FASB) issued Statement
of Financial Accounting Standards (SFAS) No. 161, DISCLOSURES ABOUT DERIVATIVE
INSTRUMENTS AND HEDGING ACTIVITIES. SFAS No. 161 is effective for fiscal years
and interim periods beginning after November 15, 2008. SFAS No. 161 requires
enhanced disclosures about the Funds' derivative and hedging activities,
including how such activities are accounted for and their effect on the Funds'
financial position, performance, and cash flows.
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 July 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.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
43
NOTES TO FINANCIAL STATEMENTS (CONCLUDED) (UNAUDITED)
The following table shows the Eligible Notes and their amortized cost and fair
market value as of July 31, 2008.
MONEY MARKET FUND
Amortized Fair Unrealized
Face Cost Value Depreciation
Description Amount (000) (000) (000)
- ----------- ------------ --------- -------- ------------
Cheyne Finance LLC MTN 2.063%, 03/25/08 $ 8,168,316 $ -- $ -- $ --
Cheyne Finance LLC MTN 2.065%, 06/09/08 8,164,665 -- -- --
Gryphon Funding 2.662%, 07/23/09 16,827,437 11,267 10,770 (497)
----------- ------- ------- -----
Totals $33,160,418 $11,267 $10,770 $(497)
=========== ======= ======= =====
PRIME OBLIGATION FUND
Amortized Fair Unrealized
Face Cost Value Depreciation
Description Amount (000) (000) (000)
- ----------- ------------ --------- -------- ------------
Cheyne Finance LLC MTN 2.075%, 11/17/08 $ 40,762,152 $ 40,671 $ 31,387 $ --
Cheyne Finance LLC MTN 2.065%, 11/17/08 101,893,521 101,886 78,458 --
Cheyne Finance LLC MTN 2.063%, 11/17/08 62,896,037 62,890 48,430 --
Gryphon Funding 2.662%, 09/23/09 213,148,744 143,315 136,415 (6,900)
Stanfield Victoria LLC MTN 3.07%, 03/20/08 80,000,000 79,995 62,400 (17,595)
------------ -------- -------- --------
Totals $498,700,454 $428,757 $357,090 $(24,495)
============ ======== ======== ========
11. SUBSEQUENT EVENT
As of September 26, 2008, the Capital Support Agreement is valued at $92,368,994
for the Prime Obligation Fund.
Subsequent to July 31, 2008, an affiliate of SIMC purchased from the Money
Market Fund all of the notes issued by Cheyne Finance, LLC and Gryphon Funding
Limited that were held by the Fund. This trancaction was effected pursuant to
Rule 17a-9 under the Investment Company Act of 1940 (the "Act"), which permits
an affiliate to purchase a security from a money market fund if that security is
no longer an Eligible Security pursuant to Rule 2a-7 under the Act. Cheyne
and Gryphon were not Eligible Securities at the time of the transaction.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
44
SEI DAILY INCOME TRUST -- JULY 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:
- - 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."
- - 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.
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
45
DISCLOSURE OF FUND EXPENSES (UNAUDITED) (CONCLUDED)
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
2/01/08 7/31/08 RATIOS PERIOD*
--------- --------- ---------- -------
MONEY MARKET FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,014.40 0.18% $0.90
Class B Shares 1,000.00 1,012.90 0.48% 2.40
Class C Shares 1,000.00 1,011.90 0.68% 3.40
Sweep Class Shares 1,000.00 1,010.60 0.93% 4.65
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.97 0.18% $0.91
Class B Shares 1,000.00 1,022.48 0.48% 2.41
Class C Shares 1,000.00 1,021.48 0.68% 3.42
Sweep Class Shares 1,000.00 1,020.24 0.93% 4.67
GOVERNMENT FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,012.70 0.20% $1.00
Class B Shares 1,000.00 1,011.20 0.50% 2.50
Class C Shares 1,000.00 1,010.20 0.70% 3.50
Sweep Class Shares 1,000.00 1,009.00 0.95% 4.75
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.87 0.20% $1.01
Class B Shares 1,000.00 1,022.38 0.50% 2.51
Class C Shares 1,000.00 1,021.38 0.70% 3.52
Sweep Class Shares 1,000.00 1,020.14 0.95% 4.77
GOVERNMENT II FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,012.60 0.20% $1.00
Class B Shares 1,000.00 1,011.10 0.50% 2.50
Class C Shares 1,000.00 1,010.10 0.70% 3.50
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.87 0.20% $1.01
Class B Shares 1,000.00 1,022.38 0.50% 2.51
Class C Shares 1,000.00 1,021.38 0.70% 3.52
PRIME OBLIGATION FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,014.20 0.20% $1.00
Class B Shares 1,000.00 1,012.70 0.50% 2.50
Class C Shares 1,000.00 1,011.70 0.70% 3.50
Class H Shares 1,000.00 1,012.10 0.63% 3.15
Sweep Class Shares 1,000.00 1,010.50 0.95% 4.75
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.87 0.20% $1.01
Class B Shares 1,000.00 1,022.38 0.50% 2.51
Class C Shares 1,000.00 1,021.38 0.70% 3.52
Class H Shares 1,000.00 1,021.73 0.63% 3.17
Sweep Class Shares 1,000.00 1,020.14 0.95% 4.77
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
2/01/08 7/31/08 RATIOS PERIOD*
--------- --------- ---------- -------
TREASURY FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,009.60 0.20% $1.00
Class B Shares 1,000.00 1,008.10 0.50% 2.50
Class C Shares 1,000.00 1,007.10 0.70% 3.49
Sweep Class Shares 1,000.00 1,005.90 0.92% 4.59
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.87 0.20% $1.01
Class B Shares 1,000.00 1,022.38 0.50% 2.51
Class C Shares 1,000.00 1,021.38 0.70% 3.52
Sweep Class Shares 1,000.00 1,020.29 0.92% 4.62
TREASURY II FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,007.60 0.20% $1.00
Class B Shares 1,000.00 1,006.10 0.50% 2.49
Class C Shares 1,000.00 1,005.10 0.70% 3.49
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.87 0.20% $1.01
Class B Shares 1,000.00 1,022.38 0.50% 2.51
Class C Shares 1,000.00 1,021.38 0.70% 3.52
SHORT-DURATION GOVERNMENT FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,004.90 0.48% $2.39
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.48 0.48% $2.41
INTERMEDIATE-DURATION GOVERNMENT FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 998.00 0.53% $2.63
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.23 0.53% $2.66
GNMA FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,003.90 0.63% $3.14
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.73 0.63% $3.17
ULTRA SHORT BOND FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 980.80 0.38% $1.87
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.97 0.38% $1.91
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 182/366 (to reflect
one-half year period shown).
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
46
Board of Trustees Considerations in Approving the Continuation of the Funds'
Advisory and Sub-Advisory Agreements (Unaudited)
SEI Daily Income Trust (the "Trust") and SEI Investments Management Corporation
("SIMC") have entered into an investment advisory agreement (the "Advisory
Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment
advisory services provided to the series of the Trust (the "Funds") and may
manage the cash portion of the Funds' assets. Pursuant to separate sub-advisory
agreements (the "Sub-Advisory Agreements" and, together with the Advisory
Agreement, the "Investment Advisory Agreements") with SIMC, and under the
supervision of SIMC and the Trust's Board of Trustees (the "Board"), the
Sub-Advisers are responsible for the day-to-day investment management of all or
a discrete portion of the assets of the Funds. The Sub-Advisers also are
responsible for managing their employees who provide services to these Funds.
The Sub-Advisers are selected based primarily upon the research and
recommendations of SIMC, which evaluates quantitatively and qualitatively the
Sub-Advisers' skills and investment results in managing assets for specific
asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the "1940 Act") requires that
the initial approval of, as well as the continuation of, the Funds' Investment
Advisory Agreements must be specifically approved: (i) by the vote of the Board
of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote
of a majority of the Trustees who are not parties to the Investment Advisory
Agreements or "interested persons" of any party (the "Independent Trustees"),
cast in person at a meeting called for the purpose of voting on such approval.
In connection with their consideration of such approvals, the Funds' Trustees
must request and evaluate, and SIMC and the Sub-Advisers are required to
furnish, such information as may be reasonably necessary to evaluate the terms
of the Investment Advisory Agreements. In addition, the Securities and Exchange
Commission ("SEC") takes the position that, as part of their fiduciary duties
with respect to a mutual fund's fees, mutual fund boards are required to
evaluate the material factors applicable to a decision to approve an Investment
Advisory Agreement.
Consistent with these responsibilities, the Trust's Board of Trustees calls and
holds meetings each year that are dedicated to considering whether to renew the
Investment Advisory Agreements between the Trust and SIMC and SIMC and the
Sub-Advisers with respect to the Funds of the Trust. In preparation for these
meetings, the Board requests and reviews a wide variety of materials provided by
SIMC and the Sub-Advisers, including information about SIMC's and the
Sub-Advisers' affiliates, personnel and operations. The Board also receives
extensive data provided by third parties. This information is in addition to the
detailed information about the Funds that the Board reviews during the course of
each year, including information that relates to Fund operations and Fund
performance. The Trustees also receive a memorandum from Fund counsel and
independent counsel to the Independent Trustees regarding the responsibilities
of Trustees in connection with their consideration of whether to approve the
Trust's Investment Advisory Agreements. Finally, the Independent Trustees
receive advice from independent counsel to the Independent Trustees, meet in
executive session outside the presence of Fund management and participate in
question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, the Board requested and received written materials from SIMC and
the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers'
investment management and other services; (b) SIMC's and the Sub-Advisers'
investment management personnel; (c) SIMC's and the Sub-Advisers' operations and
financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices
(including any soft dollar arrangements) and investment strategies; (e) the
level of the advisory fees that SIMC and the Sub-Advisers charge the Funds
compared with the fees each charge to comparable mutual funds; (f) the Funds'
overall fees and operating expenses compared with similar mutual funds; (g) the
level of SIMC's and the Sub-Advisers' profitability from their Fund-related
operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and
the Sub-Advisers' policies on and compliance procedures for personal securities
transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and
resources in domestic and/or international financial markets; and (k) the Funds'
performance compared with similar mutual funds.
At the March 13-13, 2008 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:
- - 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;
- - the Funds' investment performance and how it compared to that of other
comparable mutual funds;
- - the Funds' expenses under each Investment Advisory Agreement and how those
expenses compared to those of other comparable mutual funds;
SEI Daily Income Trust / Semi-Annual Report / July 31, 2008
47
Board of Trustees Considerations in Approving the Continuation of the Funds'
Advisory and Sub-Advisory Agreements (Unaudited) (concluded)
- - 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
- - 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 / Semi-Annual Report / July 31, 2008
48
Notes
Notes
Notes
Notes
SEI DAILY INCOME TRUST SEMI-ANNUAL REPORT JULY 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
Hubert L. Harris. Jr.
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
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)
(SEI LOGO)
New ways.
New answers(R).
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-037 (7/08)
ITEM 2. CODE OF ETHICS.
Not applicable for semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
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 Registrant 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 Registrant'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 Registrant's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the Registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, the certifying
officers have concluded that the Registrant's disclosure controls and procedures
are adequately designed, and are operating effectively to ensure, that
information required to be disclosed
by the Registrant in the reports it files or submits under the Securities
Exchange Act of 1934 is recorded, processed, summarized and reported within the
time periods specified in the Securities and Exchange Commission's rules and
forms.
(b) There were no significant changes in the Registrant's internal control over
financial reporting that occurred during the Registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Not applicable for semi-annual report.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the Registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Daily Income Trust
By (Signature and Title) /s/ Robert A. Nesher
---------------------------------
Robert A. Nesher, President & CEO
Date: September 29, 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, President & CEO
Date: September 29, 2008
By (Signature and Title) /s/ Stephen F. Panner
---------------------------------
Stephen F. Panner, Controller & CFO
Date: September 29, 2008