UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
--------
FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER 811-03451
SEI DAILY INCOME TRUST
(Exact name of registrant as specified in charter)
--------
c/o CT Corporation
101 Federal Street
Boston, MA 02110
(Address of principal executive offices) (Zip code)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734
DATE OF FISCAL YEAR END: JANUARY 31, 2009
DATE OF REPORTING PERIOD: JANUARY 31, 2009
ITEM 1. REPORTS TO STOCKHOLDERS.
SEI New ways.
New answers.(R)
SEI Daily Income Trust
Annual Report as of January 31, 2009
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
Management's Discussion and Analysis of Fund Performance 1
Schedules of Investments 10
Statements of Assets and Liabilities 32
Statements of Operations 34
Statements of Changes in Net Assets 36
Financial Highlights 40
Notes to Financial Statements 45
Report of Independent Registered Public Accounting Firm 55
Trustees and Officers of the Trust 56
Disclosure of Fund Expenses 59
Notice to Shareholders 61
The Trust files its complete schedule of portfolio holdings with the Securities
and Exchange Commission for the first and third quarters of each fiscal year on
Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q
are available on the Commission's website at http://www.sec.gov, and may be
reviewed and copied at the Commission's Public Reference Room in Washington, DC.
Information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330.
Since the Funds in SEI Daily Income Trust typically hold only fixed income
securities, they generally are not expected to hold securities for which they
may be required to vote proxies. Regardless, in light of the possibility that a
Fund could hold a security for which a proxy is voted, the Trust has adopted
proxy voting policies. A description of the policies and procedures that the
Trust uses to determine how to vote proxies relating to portfolio securities, as
well as information relating to how a Fund voted proxies relating to portfolio
securities during the most recent 12-month period ended June 30, is available
without charge (i) upon request, by calling 1-800-DIAL-SEI; and (ii) on the
Commission's website at http://www.sec.gov.
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2009
Short-Duration Government Fund
Objectives
The Short-Duration Government Fund (the "Fund") seeks to preserve principal
value and maintain a high degree of liquidity while providing current income.
The Fund invests in securities issued by the U.S. Government and backed by its
full faith and credit, and securities issued by the U.S. Government agencies.
The weighted average maturity of the Fund is approximately three years. The Fund
seeks to provide a higher level of sustainable income and total return than
money market investments, with limited principal fluctuations.
Strategy
The Fund's weighted average maturity will be managed to take advantage of
anticipated changes in the direction of interest rates. The distribution of
maturities for individual securities will also be managed to take advantage of
expected changes in the shape of the yield curve. Treasury and agency securities
will form the core of the Fund, and agency-backed mortgage securities will be
utilized when their yields are judged to be attractive relative to those of
Treasuries and agencies.
Market Overview
The fixed income markets experienced perhaps their most turbulent year on record
in 2008, as illiquidity and stress in the financial system created a
dysfunctional bond market.
Economic conditions continued to deteriorate as further declines in housing
prices and equity markets eroded consumer confidence and brought retail spending
to a near standstill. The year experienced such unthinkable events as the
nationalization of Fannie Mae and Freddie Mac, the takeovers under duress of
Bear Stearns, Merrill Lynch, Wachovia Bank, Washington Mutual and Countrywide
Savings & Loan, the cataclysmic bankruptcy of Lehman Brothers, and the collapse
of one of the nation's largest money market funds. The Lehman Brothers default
in mid-September triggered an additional flight to safety into U.S. Treasury
("Treasury") securities and a further decline in equity markets.
Treasury yields fell across the maturity spectrum, with shorter-dated yields
falling more than intermediate and long maturities, as the U.S. Federal Reserve
("the Fed") lowered the Fed Funds rate to near zero. Three-month T-bill yields
fell roughly 170 basis points to 0.23% during the period, while ten-year
Treasury yields fell roughly 75 basis points to 2.84%.
While all non-Treasury sectors of the market underperformed, the most seriously
impacted sectors were the non-agency mortgage-backed securities market and the
commercial mortgage-backed securities market, which were hit particularly hard
as residential and commercial property prices eroded and liquidity in the
sectors suffered.
The calamity in the markets inspired a series of policy initiatives designed to
restore market confidence and liquidity and to stem the economic slide. The
government's efforts, while inconsistent and confusing to the market, did serve
to restore some modest improvement in market liquidity late in 2008 and early in
2009. This was evidenced by an increase in corporate bond issuance, a narrowing
of yield spreads in the agency mortgage sector and a reduction in interbank
lending rates.
Analysis
For the fiscal year ended January 31, 2009, the Short-Duration Government Fund,
Class A, returned 4.05% compared to 4.43% for the Merrill Lynch 1-3 Year U.S.
Treasury Bond Index ("Index"). The Fund performed in line with the Index.
Throughout the period, the Fund maintained a significant overweight to the
agency mortgage-backed securities ("MBS") sector. This detracted from the return
for the first nine months of the year, as the sector underperformed with
increasing concern over the financial stability of Fannie Mae and Freddie Mac.
The sector began to stabilize upon the nationalization of both companies and
improved dramatically late in the year when the Fed announced its intent to
purchase $500 billion of agency MBS for its own balance sheet. The Fund
maintained a modestly long interest rate position for most of the year, which
added to return as interest rates fell.
As we enter the new fiscal year, yield spreads in most non-Treasury sectors
remain wide and volatility remains high. The Fund has retained its overweight to
agency MBS, which is providing a significant yield advantage. The prospects for
outperformance in this sector appear bright as the Fed's continued purchases
should provide a favorable technical backdrop for the sector. The U.S. Treasury
Department's
SEI Daily Income Trust / Annual Report / January 31, 2009
1
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2009
Short-Duration Government Fund(Concluded)
need to issue record amounts of new Treasuries may create a glut of supply in
this sector, enhancing the opportunity for performance in the non-Treasury
sectors. Given the lack of economic momentum and inflationary pressure, the Fed
is unlikely to change the Fed Funds rate from its historically low levels. The
Fund is therefore positioned with a modestly long duration, which should also
serve to enhance yield and provide a source of excess return should another
flight to safety occur.
Short-Duration Government Fund
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- ----------
Short-Duration
Government Fund, Class A 4.05% 5.17% 3.66% 4.26% 5.59%
Comparison of Change in the Value of a $10,000 Investment in the Short-Duration
Government Fund, Class A, versus the Merrill Lynch 1-3 Year U.S. Treasury Bond
Index. The chart assumes all dividends and capital gain distributions are
reinvested.
(PERFORMANCE GRAPH)
Merrill Lynch
Short-Duration 1-3 Year U.S.
Government Treasury Bond
Fund, Class A Index
-------------- -------------
1/31/99 $10,000 $10,000
1/31/00 10,222 10,262
1/31/01 11,157 11,225
1/31/02 11,857 12,031
1/31/03 12,484 12,696
1/31/04 12,677 12,965
1/31/05 12,798 13,052
1/31/06 13,045 13,296
1/31/07 13,547 13,830
1/31/08 14,583 15,067
1/31/09 15,174 15,734
(1) For the period ended January 31, 2009. Past performance is not predictive
of future performance. Class A shares were offered beginning 2/17/87.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
SEI Daily Income Trust / Annual Report / January 31, 2009
2
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2009
Intermediate-Duration Government Fund
Objectives
The Intermediate-Duration Government Fund (the "Fund) seeks to preserve
principal value and maintain a high degree of liquidity while providing current
income. The Fund invests in securities issued by the U.S. Government and backed
by its full faith and credit and securities issued by the U.S. Government
agencies. The weighted average maturity of the Fund is three to five years. The
Fund seeks to provide a higher level of sustainable income and total return than
money market investments, with limited principal fluctuations.
Strategy
The Fund's weighted average maturity will be managed to take advantage of
anticipated changes in the direction of interest rates. The distribution of
maturities for individual securities will also be managed to take advantage of
expected changes in the shape of the yield curve. The Fund focuses on Treasury
and agency securities, and agency mortgage-backed securities will be utilized
when their prospects for enhancing income and total return are judged to be
attractive.
Market Overview
The fixed income markets experienced perhaps their most turbulent year on record
in 2008, as illiquidity and stress in the financial system created a
dysfunctional bond market.
Economic conditions continued to deteriorate as further declines in housing
prices and equity markets eroded consumer confidence and brought retail spending
to a near standstill. The year experienced such unthinkable events as the
nationalization of Fannie Mae and Freddie Mac, the takeovers under duress of
Bear Stearns, Merrill Lynch, Wachovia Bank, Washington Mutual and Countrywide
Savings & Loan, the cataclysmic bankruptcy of Lehman Brothers, and the collapse
of one of the nation's largest money market funds. The Lehman Brothers default
in mid-September triggered an additional flight to safety into U.S. Treasury
("Treasury") securities and a further decline in equity markets.
Treasury yields fell across the maturity spectrum, with shorter-dated yields
falling more than intermediate and long maturities, as the U.S. Federal Reserve
("the Fed") lowered the Fed Funds rate to near zero. Three-month T-bill yields
fell roughly 170 basis points to 0.23% during the period, while ten-year
Treasury yields fell roughly 75 basis points to 2.84%.
While all non-Treasury sectors of the market underperformed, the most seriously
impacted sectors were the non-agency mortgage-backed securities market and the
commercial mortgage-backed securities market, which were hit particularly hard
as residential and commercial property prices eroded and liquidity in the
sectors suffered.
The calamity in the markets inspired a series of policy initiatives designed to
restore market confidence and liquidity and to stem the economic slide. The
government's efforts, while inconsistent and confusing to the market, did serve
to restore some modest improvement in market liquidity late in 2008 and early in
2009. This was evidenced by an increase in corporate bond issuance, a narrowing
of yield spreads in the agency mortgage sector and a reduction in interbank
lending rates.
Analysis
For the fiscal year ended January 31, 2009, the Intermediate-Duration Government
Fund, Class A, returned 7.85% compared to 7.74% for the Merrill Lynch 3-5 Year
U.S. Treasury Bond Index. Throughout the period, the Fund maintained a
significant overweight to the agency mortgage-backed securities ("MBS") sector.
This detracted from the return for the first nine months of the year, as the
sector underper-formed with increasing concern over the financial stability of
Fannie Mae and Freddie Mac. The sector began to stabilize upon the
nationalization of both companies and improved dramatically late in the year
when the Fed announced its intent to purchase $500 billion of agency MBS for its
own balance sheet. The Fund increased its agency MBS exposure while reducing its
Treasury holdings in the second half of the year, which contributed favorably to
results as yield spreads narrowed in the sector. The Fund maintained a long
interest rate position for most of the year, which added to return as interest
rates fell.
As we enter the new fiscal year, yield spreads in most non-Treasury sectors
remain wide and volatility remains high. The Fund has retained its overweight to
agency MBS, which is providing a significant yield advantage. The prospects for
outperformance in this sector appear bright as the Fed's continued purchases
should provide a favorable technical backdrop for the sector. The U.S. Treasury
Department's
SEI Daily Income Trust / Annual Report / January 31, 2009
3
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2009
Intermediate-Duration Government Fund(Concluded)
need to issue record amounts of new Treasuries may create a glut of excess
supply in this sector, enhancing the opportunity for performance in the
non-Treasury sectors. Given the lack of economic momentum and inflationary
pressure, the Fed is unlikely to change the Fed Funds rate from its historically
low levels. The Fund is therefore positioned with a modestly long duration,
which should also serve to enhance yield and provide a source of excess return
should another flight to safety occur.
Intermediate-Duration Government Fund
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- ----------
Intermediate-Duration
Government Fund, Class A 7.85% 7.44% 4.98% 5.53% 6.55%
Comparison of Change in the Value of a $10,000 Investment in the
Intermediate-Duration Government Fund, Class A, versus the Merrill Lynch 3-5
Year U.S. Treasury Bond Index. The chart assumes all dividends and capital gain
distributions are reinvested.
(PERFORMANCE GRAPH)
Intermediate- Merrill Lynch 3-5
Duration Year U.S.
Government Treasury Bond
Fund, Class A Index
------------- -----------------
1/31/99 $10,000 $10,000
1/31/00 9,923 9,893
1/31/01 11,156 11,162
1/31/02 11,958 12,011
1/31/03 13,049 13,262
1/31/04 13,437 13,728
1/31/05 13,686 13,931
1/31/06 13,815 14,049
1/31/07 14,317 14,557
1/31/08 15,888 16,453
1/31/09 17,135 17,726
(1) For the period ended January 31, 2009. Past performance is not predictive
of future performance. Class A shares were offered beginning 2/17/87.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
SEI Daily Income Trust / Annual Report / January 31, 2009
4
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2009
GNMA Fund
Objectives
The GNMA Fund (the "Fund") seeks to preserve principal value and maintain a high
degree of liquidity while providing current income. The Fund invests primarily
in mortgage-backed securities issued by the Government National Mortgage
Association and backed by the full faith and credit of the U.S. Government.
Strategy
The Fund's investment strategy emphasizes the distribution of security coupon
rates, the weighted average coupon rate, and the selection of appropriate
underlying mortgage types. The selection of coupon rates affects the sensitivity
of the Fund to changes in reinvestment risk associated with loan prepayment. The
Fund will therefore tend to purchase somewhat lower coupons when interest rates
are expected to fall, and somewhat higher coupons when interest rates are
expected to be stable or rising.
Market Overview
The fixed income markets experienced perhaps their most turbulent year on record
in 2008, as illiquidity and stress in the financial system created a
dysfunctional bond market.
Economic conditions continued to deteriorate as further declines in housing
prices and equity markets eroded consumer confidence and brought retail spending
to a near standstill. The year experienced such unthinkable events as the
nationalization of Fannie Mae and Freddie Mac, the takeovers under duress of
Bear Stearns, Merrill Lynch, Wachovia Bank, Washington Mutual and Countrywide
Savings & Loan, the cataclysmic bankruptcy of Lehman Brothers, and the collapse
of one of the nation's largest money market funds. The Lehman Brothers default
in mid-September triggered an additional flight to safety into U.S. Treasury
("Treasury") securities and a further decline in equity markets.
Treasury yields fell across the maturity spectrum, with shorter-dated yields
falling more than intermediate and long maturities, as the U.S. Federal Reserve
("the Fed") lowered the Fed Funds rate to near zero.
Three-month T-bill yields fell roughly 170 basis points to 0.23% during the
period, while ten-year Treasury yields fell roughly 75 basis points to 2.84%.
While all non-Treasury sectors of the market underperformed, the most seriously
impacted sectors were the non-agency mortgage-backed securities ("MBS") market
and the commercial mortgage-backed securities market, which were hit
particularly hard as residential and commercial property prices eroded and
liquidity in the sectors suffered.
The calamity in the markets inspired a series of policy initiatives designed to
restore market confidence and liquidity and to stem the economic slide. The
government's efforts, while inconsistent and confusing to the market, did serve
to restore some modest improvement in market liquidity late in 2008 and early in
2009. This was evidenced by an increase in corporate bond issuance, a narrowing
of yield spreads in the agency mortgage sector and a reduction in interbank
lending rates.
Analysis
For the fiscal year ended January 31, 2009, the GNMA Fund, Class A, returned
6.51% compared to 5.93% for the Citigroup 30-Year GNMA Index. Throughout the
year, the Fund maintained its large allocation to GNMA pass-through securities.
The Fund added value by allocating to conventional Fannie Mae and Freddie Mac
MBS securities as this represented better relative value and added to
performance following the nationalization of these companies at mid-year. The
Fund's coupon and security selection also benefitted performance as it took
advantage of changing prepayment expectations and optimized the convexity
characteristic of the Fund. The Fund maintained a modestly long interest rate
position for most of the year, given the expectation of a steeper yield curve
and weakening economy. This added to return as interest rates fell.
Going forward the Fund will continue to favor conventional mortgages over GNMA
pass-through securities as net supply is expected to increase. In addition,
relative valuations are better among conventional MBS, such as specific
collateralized mortgage obligations, whose cash flows are more stable and less
susceptible to prepayment risk.
SEI Daily Income Trust / Annual Report / January 31, 2009
5
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2009
GNMA Fund (Concluded)
GNMA Fund
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- ----------
GNMA Fund, Class A 6.51% 6.14% 4.92% 5.34% 6.78%
Comparison of Change in the Value of a $10,000 Investment in the GNMA Fund,
Class A, versus the Citigroup 30-Year GNMA Index. The chart assumes all
dividends and capital gain distributions are reinvested.
(PERFORMANCE GRAPH)
Citigroup
30-Year
GNMA Fund, GNMA
Class A Index
---------- ----------------
1/31/99 $10,000 $10,000
1/31/00 9,882 10,049
1/31/01 11,211 11,449
1/31/02 12,020 12,327
1/31/03 12,948 13,298
1/31/04 13,228 13,712
1/31/05 13,710 14,291
1/31/06 14,066 14,725
1/31/07 14,579 15,311
1/31/08 15,790 16,662
1/31/09 16,818 17,649
(1) For the period ended January 31, 2009. Past performance is not predictive
of future performance. Class A shares were offered beginning 3/20/87.
Returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
SEI Daily Income Trust / Annual Report / January 31, 2009
6
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2009
Ultra Short Bond Fund
Objectives
The Ultra Short Bond Fund (the "Fund") seeks to provide a higher current income
than typically offered by a money market fund while maintaining a high degree of
liquidity and minimal principal volatility. The Fund invests in U.S. Treasury
and U.S. Agency securities, short average life mortgage-backed securities, and
short-term investment grade securities of U.S. issuers. The duration of the Fund
will range between six and eighteen months.
Strategy
The Fund seeks to provide a return in excess of the Lehman 9-12 Month U.S.
Treasury Index and to manage risk through the adviser's use of sector
strategies, security selection and duration management. In determining the
average maturity and duration position of the Fund, the adviser considers the
shape of the yield curve, the extent of yield changes and the period of time
over which rates are likely to rise, fall or remain stable. Investment in short
average life mortgage-backed issues and short-term investment grade securities
is emphasized when relative spreads are attractive and incremental yields serve
to enhance total return.
Market Overview
The fixed income markets experienced perhaps their most turbulent year on record
in 2008, as illiquidity and stress in the financial system created a
dysfunctional bond market.
Economic conditions continued to deteriorate as further declines in housing
prices and equity markets eroded consumer confidence and brought retail spending
to a near standstill. The year experienced such unthinkable events as the
nationalization of Fannie Mae and Freddie Mac, the takeovers under duress of
Bear Stearns, Merrill Lynch, Wachovia Bank, Washington Mutual and Countrywide
Savings & Loan, the cataclysmic bankruptcy of Lehman Brothers, and the collapse
of one of the nation's largest money market funds. The Lehman Brothers default
in mid-September triggered an additional flight to safety into U.S. Treasury
("Treasury") securities and a further decline in equity markets.
Treasury yields fell across the maturity spectrum, with shorter-dated yields
falling more than intermediate and long maturities, as the U.S. Federal Reserve
("the Fed") lowered the Fed Funds rate to near zero. Three-month T-bill yields
fell roughly 170 basis points to 0.23% during the period, while ten-year
Treasury yields fell roughly 75 basis points to 2.84%.
While all non-Treasury sectors of the market underperformed, the most seriously
impacted sectors were the non-agency mortgage-backed securities market and the
commercial mortgage-backed securities market, which were hit particularly hard
as residential and commercial property prices eroded and liquidity in the
sectors suffered.
The calamity in the markets inspired a series of policy initiatives designed to
restore market confidence and liquidity and to stem the economic slide. The
government's efforts, while inconsistent and confusing to the market, did serve
to restore some modest improvement in market liquidity late in 2008 and early in
2009. This was evidenced by an increase in corporate bond issuance, a narrowing
of yield spreads in the agency mortgage sector and a reduction in interbank
lending rates.
Analysis
For the fiscal year ended January 31, 2009, the Ultra Short Bond Fund, Class A,
returned (9.00)% compared to 3.40% for the Barclays 9-12 Month Treasury Index
("Index") (formerly, Lehman Brothers 9-12 Month Treasury Index). Due to the huge
flight to safety, investors shied away from any investment other than Treasury
securities, causing all spread sectors to underperform. The Fund's allocation to
the non-Treasury sectors (the Index is composed of 100% Treasuries), especially
U.S. agency and non-agency hybrid mortgages, commercial mortgage-backed
securities, corporate debt, and asset-backed securities, detracted from relative
performance. The Fund's heavy exposure to non-agency mortgage-backed securities
was the largest detractor from performance. Continued weakness in the housing
sector weighed on the performance of these securities. The Fund maintained a
modestly long duration position for most of the year, which added to relative
performance as interest rates fell.
SEI Daily Income Trust / Annual Report / January 31, 2009
7
MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
SEI DAILY INCOME TRUST -- JANUARY 31, 2009
Ultra Short Bond Fund (Concluded)
As we enter the new fiscal year, yield spreads in most non-Treasury sectors
remain wide and volatility remains high. The Fund has retained its overweight to
spread sectors, which is providing a significant yield advantage. The Fund has
added significantly to its corporate exposure in recent months by buying Federal
Deposit Insurance Corporation ("FDIC")-backed financial obligations. These
securities offer FDIC backing at very attractive yield levels. The U.S. Treasury
Department's need to issue record amounts of new Treasuries may create a glut of
supply in this sector, enhancing the opportunity for performance in the
non-Treasury sectors. Given the lack of economic momentum and inflationary
pressure, the Fed is unlikely to raise the Fed Funds rate from its historically
low levels. The Fund is therefore positioned with a modestly long duration,
which should also serve to enhance yield and provide a source of excess return
should another flight to safety occur.
Ultra Short Bond Fund
AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized
One Year 3-Year 5-Year 10-Year Inception
Return Return Return Return to Date
-------- ---------- ---------- ---------- ----------
Ultra Short Bond Fund,
Class A (9.00)% (0.87)% 0.27% 2.42% 3.49%
Comparison of Change in the Value of a $10,000 Investment in the Ultra Short
Bond Fund, Class A, versus the Barclays 9-12 Month Treasury Index+. The chart
assumes all dividends and capital gain distributions are reinvested.
(PERFORMANCE GRAPH)
Barclays 9-12
Ultra Short Bond Month Treasury
Fund, Class A Index+
---------------- --------------
1/31/99 $10,000 $10,000
1/31/00 10,377 10,436
1/31/01 11,253 11,224
1/31/02 11,938 11,844
1/31/03 12,338 12,193
1/31/04 12,537 12,373
1/31/05 12,677 12,486
1/31/06 13,044 12,818
1/31/07 13,681 13,396
1/31/08 13,963 14,302
1/31/09 12,706 14,788
(1)For the period ended January 31, 2009. Past performance is no indication of
future performance. Class A shares were offered beginning 9/28/93. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares.
+Formerly, Lehman Brothers 9-12 Month Treasury Index.
SEI Daily Income Trust / Annual Report / January 31, 2009
8
DEFINITION OF THE COMPARATIVE INDICES*
CITIGROUP 30-YEAR GNMA INDEX is a widely-recognized, market weighted index of
GNMA mortgage-backed securities with remaining maturities of 30 years or less.
BARCLAYS 9-12 MONTH TREASURY INDEX+ is a widely-recognized, market weighted
index of U.S. Treasury Bonds with remaining maturities between nine and twelve
months.
MERRILL LYNCH 1-3 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market
weighted index of U.S. Treasury Bonds with maturities between one and three
years.
MERRILL LYNCH 3-5 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market
weighted index of U.S. Treasury Bonds with maturities between three and five
years.
*An index measures the market price of a specific group of securities in a
particular market or securities in a market sector. You cannot invest
directly in an index. An index does not have an investment adviser and does
not pay any commissions or expenses. If an index had expenses, its
performance would be lower.
+Formerly, Lehman Brothers 9-12 Month Treasury Index.
SEI Daily Income Trust / Annual Report / January 31, 2009
9
SCHEDULE OF INVESTMENTS
Money Market Fund
January 31, 2009
SECTOR WEIGHTINGS (UNAUDITED)+:
(BAR CHART)
Commercial Paper 50.8%
Certificates of Deposit 34.3%
Repurchase Agreement 14.2%
U.S. Government Agency Obligations 0.7%
+Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
COMMERCIAL PAPER (A) (B) -- 51.0%
Barton Capital (E)
0.470%, 04/06/09 $ 11,000 $ 10,991
Cancara Asset Securitisation LLC (E)
0.651%, 03/18/09 25,000 24,980
0.751%, 04/16/09 6,000 5,991
CBA Delaware Finance
2.030%, 03/05/09 10,000 9,982
Chariot Funding LLC (E)
0.400%, 03/16/09 10,000 9,995
Danske (E)
2.091%, 02/17/09 5,000 4,995
Edison Asset Securitization LLC (E)
0.571%, 05/01/09 19,000 18,973
Fairway Finance LLC (E)
0.430%, 03/11/09 15,938 15,931
Falcon Asset Securitization LLC (E)
1.405%, 02/11/09 5,000 4,998
Gemini Securitization LLC (E)
2.010%, 02/11/09 33,000 32,982
General Electric Capital
1.758%, 02/17/09 35,000 34,973
Gotham Funding (E)
1.102%, 02/10/09 10,000 9,997
National Australia Funding Delaware
1.859%, 02/24/09 20,000 19,976
Nordea North America
2.162%, 02/25/09 6,000 5,991
2.111%, 03/05/09 10,000 9,981
Old Line Funding LLC (E)
1.506%, 02/12/09 32,000 31,985
Park Avenue Receivables (E)
1.405%, 02/17/09 to 02/20/09 17,000 16,989
Sheffield Receivables (E)
1.606%, 02/11/09 17,000 16,992
0.300%, 02/17/09 4,000 4,000
Thames Asset Global Securitization (E)
0.802%, 03/16/09 28,000 27,973
Victory Receivables (E)
0.450%, 04/07/09 3,000 2,998
Westpac Banking (E)
0.501%, 04/14/09 30,000 29,970
-------------
Total Commercial Paper
(Cost $351,643) ($ Thousands) 351,643
-------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
CERTIFICATES OF DEPOSIT -- 34.6%
Allied Irish Banks
2.410%, 02/05/09 $ 2,000 $ 2,000
1.860%, 03/16/09 3,000 3,000
Australia & New Zealand Banking
Group
0.650%, 04/16/09 10,000 10,000
Banco Bilbao Vizcaya Argentina
2.230%, 02/12/09 30,000 30,000
Banco Santander
2.500%, 03/09/09 20,000 20,000
Bank of Ireland
2.380%, 02/06/09 7,000 7,000
2.240%, 03/05/09 15,000 15,000
Bank of Nova Scotia
0.450%, 03/20/09 20,000 20,000
Bank of Tokyo-Mitsubishi
1.050%, 05/05/09 17,000 17,000
1.050%, 05/05/09 4,000 4,000
Barclays Bank PLC
2.100%, 03/05/09 30,000 30,000
BNP Paribas
1.830%, 03/10/09 23,000 23,000
Chase Bank
1.750%, 02/17/09 10,000 10,000
National Australia Bank
0.650%, 04/21/09 10,000 10,000
Societe Generale
2.050%, 02/02/09 7,000 7,000
2.050%, 03/10/09 15,000 15,000
Toronto Dominion Bank
2.000%, 04/07/09 15,000 15,000
-------------
Total Certificates of Deposit
(Cost $238,000) ($ Thousands) 238,000
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (C) -- 0.7%
FHLB DN
0.451%, 07/13/09 2,000 1,996
FNMA DN
0.411%, 07/08/09 2,000 1,997
0.371%, 07/15/09 1,000 998
-------------
Total U.S. Government Agency Obligations
(Cost $4,991) ($ Thousands) 4,991
-------------
SEI Daily Income Trust / Annual Report / January 31, 2009
10
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
REPURCHASE AGREEMENT (D) -- 14.3%
Barclays
0.270%, dated 01/30/09, to be
repurchased on 02/02/09,
repurchase price $98,312,212
(collateralized by a U.S. Treasury
Note, par value $89,728,700,
4.625%, 02/29/12, with a total
market value $100,276,299) $ 98,310 $ 98,310
-------------
Total Repurchase Agreement
(Cost $98,310) ($ Thousands) 98,310
-------------
Total Investments -- 100.6%
(Cost $692,944) ($ Thousands) $ 692,944
=============
Percentages are based on Net Assets of $689,141 ($ Thousands).
(A) Securities are held in connection with a letter of credit issued by a major
bank.
(B) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on January 31, 2009. The demand and interest rate
reset features give this security a shorter effective maturity date.
(C) The rate reported is the effective yield at time of purchase.
(D) Tri-Party Repurchase Agreement
(E) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "accredited
investors."
DN -- Discount Note
FHLB -- Federal Home Loan Bank
FNMA -- Federal National Mortgage Association
LLC -- Limited Liability Company
PLC -- Public Limited Company
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Annual Report / January 31, 2009
11
SCHEDULE OF INVESTMENTS
Government Fund
January 31, 2009
SECTOR WEIGHTINGS (UNAUDITED)+:
(BAR CHART)
Repurchase Agreement 85.6%
U.S. Government Agency Obligations 14.4%
+Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 88.4%
FFCB (A)
0.296%, 09/03/09 $ 55,000 $ 55,001
FFCB, Ser 1 (A)
0.231%, 02/23/09 13,000 13,000
FHLB
2.170%, 02/11/09 (A) 45,000 45,001
2.116%, 02/18/09 (A) 110,000 110,001
2.013%, 02/23/09 (A) 20,000 20,000
2.077%, 03/02/09 (A) 50,000 50,000
2.070%, 03/04/09 (A) 30,000 30,003
2.830%, 03/23/09 10,000 10,000
1.241%, 04/07/09 (A) 50,000 50,000
0.994%, 04/30/09 (A) 50,000 49,999
2.625%, 05/05/09 15,180 15,180
2.038%, 05/20/09 (A) 10,000 10,000
2.719%, 08/05/09 (A) 25,000 25,000
FHLB, Ser 3
2.400%, 04/21/09 16,000 15,999
FHLB DN (B)
0.080%, 02/05/09 50,000 50,000
2.622%, 02/17/09 50,000 49,942
0.429%, 02/23/09 70,000 69,982
3.043%, 03/11/09 17,147 17,093
0.310%, 03/27/09 50,000 49,977
0.350%, 04/13/09 50,000 49,965
0.230%, 04/20/09 40,000 39,980
0.390%, 05/13/09 40,000 39,956
0.572%, 07/20/09 50,000 49,866
FHLB, Ser 1 (A)
1.385%, 10/05/09 30,000 30,000
FHLB, Ser 2 (A)
1.466%, 03/27/09 21,000 21,000
FHLMC (A)
0.346%, 10/08/09 80,000 79,994
FHLMC DN (B)
0.902%, 02/09/09 23,050 23,045
1.059%, 02/17/09 55,492 55,466
0.651%, 02/19/09 17,600 17,594
2.624%, 03/02/09 25,000 24,948
1.154%, 03/13/09 6,487 6,479
1.155%, 03/24/09 10,000 9,984
0.250%, 04/06/09 50,000 49,978
0.200%, 04/13/09 50,000 49,980
1.004%, 04/15/09 50,000 49,899
0.360%, 04/20/09 50,000 49,961
0.340%, 04/22/09 34,230 34,204
0.310%, 05/22/09 50,000 49,953
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
0.474%, 06/25/09 $ 76,870 $ 76,724
0.381%, 07/13/09 50,000 49,914
FHLMC, Ser 1 (A)
0.339%, 09/28/09 30,000 29,994
FHLMC, Ser 2 MTN (A)
0.335%, 09/21/09 20,000 20,009
FNMA (A)
1.024%, 07/28/09 75,000 74,989
1.082%, 01/21/10 35,000 35,000
FNMA DN (B)
1.052%, 02/02/09 25,000 24,999
1.058%, 02/03/09 9,400 9,400
0.852%, 02/17/09 50,000 49,981
0.701%, 02/25/09 3,536 3,534
0.200%, 03/04/09 13,422 13,420
1.003%, 03/16/09 50,000 49,940
0.290%, 03/23/09 50,000 49,980
0.520%, 04/01/09 70,000 69,941
0.250%, 05/18/09 50,000 49,963
-------------
Total U.S. Government Agency Obligations
(Cost $2,076,218) ($ Thousands) 2,076,218
-------------
REPURCHASE AGREEMENT (C) -- 14.8%
Deutsche Bank
0.270%, dated 01/30/09, to be repurchased
on 02/02/09, repurchase price $348,341,838
(collateralized by various FHLB/FHLMC/FNMA
obligations, ranging in par value
$2,000,000-$50,000,000, 2.375%-6.750%,
03/11/09-06/05/36 with total market value
$355,300,714) 348,334 348,334
-------------
Total Repurchase Agreement
(Cost $348,334) ($ Thousands) 348,334
-------------
Total Investments -- 103.2%
(Cost $2,424,552) ($ Thousands) $ 2,424,552
=============
Percentages are based on Net Assets of $2,348,615 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on January 31, 2009. 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
MTN -- Medium Term Note
Ser -- Series
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Annual Report / January 31, 2009
12
Government II Fund
January 31, 2009
SECTOR WEIGHTINGS (UNAUDITED)+:
(BAR CHART)
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)
0.960%, 02/11/09 $ 25,000 $ 25,000
0.606%, 02/11/10 500 500
FHLB
2.760%, 02/11/09 20,000 20,001
2.850%, 03/04/09 20,000 19,999
2.830%, 03/23/09 20,000 20,000
3.580%, 03/30/09 14,375 14,450
3.240%, 04/03/09 20,000 20,097
2.520%, 05/28/09 20,000 20,139
FHLB (A)
2.170%, 02/11/09 10,000 10,000
2.116%, 02/18/09 50,000 50,000
2.070%, 03/04/09 23,000 23,021
2.038%, 05/20/09 5,000 5,000
1.991%, 05/27/09 10,000 10,001
1.251%, 07/07/09 25,000 25,000
1.179%, 07/10/09 25,000 24,999
2.366%, 08/07/09 25,000 25,001
0.329%, 12/28/09 35,000 34,986
1.194%, 01/11/10 10,000 10,007
FHLB, Ser 1 (A)
1.993%, 06/01/09 10,000 10,001
2.719%, 08/05/09 125,000 125,000
1.385%, 10/05/09 40,000 40,000
FHLB, Ser 2 (A)
1.466%, 03/27/09 20,000 20,000
0.380%, 09/04/09 30,000 30,000
FHLB, Ser 3
2.400%, 04/21/09 16,000 15,999
FHLB DN (B)
0.257%, 02/02/09 228,374 228,372
0.120%, 02/03/09 65,000 65,000
0.150%, 02/04/09 80,000 79,999
0.080%, 02/05/09 25,000 25,000
0.090%, 02/06/09 25,000 25,000
0.140%, 02/09/09 82,730 82,727
0.551%, 02/12/09 40,000 39,993
0.163%, 02/18/09 118,700 118,691
0.205%, 02/20/09 15,310 15,308
0.581%, 02/25/09 20,000 19,992
1.504%, 03/06/09 50,000 49,931
0.200%, 03/09/09 to 04/07/09 140,641 140,604
0.160%, 03/11/09 40,000 39,993
0.508%, 03/13/09 70,000 69,961
0.150%, 03/18/09 46,215 46,206
0.170%, 03/20/09 50,000 49,989
0.189%, 03/24/09 70,000 69,981
1.369%, 03/25/09 65,000 64,872
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
0.310%, 03/27/09 $ 16,000 $ 15,993
0.250%, 03/31/09 to 04/16/09 40,000 39,982
0.230%, 04/13/09 60,000 59,973
1.105%, 04/14/09 9,075 9,055
0.565%, 04/22/09 127,000 126,903
0.380%, 04/28/09 50,000 49,955
0.350%, 04/29/09 50,000 49,958
0.682%, 05/18/09 30,000 29,940
0.371%, 06/22/09 10,000 9,985
0.451%, 07/13/09 50,000 49,899
0.572%, 07/20/09 50,000 49,866
-------------
Total U.S. Government Agency Obligations
(Cost $2,322,329) ($ Thousands) 2,322,329
-------------
Total Investments -- 99.9%
(Cost $2,322,329) ($ Thousands) $ 2,322,329
=============
Percentages are based on Net Assets of $2,324,029 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on January 31, 2009. 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 / Annual Report / January 31, 2009
13
SCHEDULE OF INVESTMENTS
Prime Obligation Fund
January 31, 2009
SECTOR WEIGHTINGS (UNAUDITED)+:
(BAR CHART)
Commercial Paper 50.3%
U.S. Government Agency Obligations 23.2%
Repurchase Agreements 11.3%
Certificates of Deposit 9.7%
Capital Support Agreement 3.2%
Corporate Obligations 2.3%
+Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
COMMERCIAL PAPER (A) (L) -- 50.3%
Barton Capital (C)
0.350%, 02/03/09 $ 51,543 $ 51,542
1.525%, 02/24/09 80,000 79,922
0.300%, 03/11/09 51,000 50,984
0.340%, 04/03/09 39,000 38,977
Cancara Asset Securitisation LLC (C)
2.668%, 02/05/09 200,000 199,941
0.651%, 03/18/09 53,000 52,957
Citigroup Funding
0.200%, 02/13/09 40,000 39,997
Edison Asset Securitization LLC (C)
2.182%, 02/04/09 100,000 99,982
Fairway Finance LLC (C)
1.454%, 02/06/09 59,000 58,988
1.202%, 02/10/09 55,000 54,983
1.707%, 02/12/09 15,000 14,992
0.350%, 03/12/09 109,000 108,959
Falcon Asset Securitization LLC (C)
1.405%, 02/11/09 60,000 59,977
Gemini Securitization LLC (C)
2.263%, 02/05/09 130,000 129,967
2.010%, 02/11/09 to 02/12/09 101,000 100,941
General Electric Capital
1.758%, 02/17/09 40,000 39,969
1.657%, 02/24/09 100,000 99,895
1.356%, 04/06/09 115,000 114,724
Gotham Funding (C)
1.102%, 02/10/09 23,000 22,994
1.253%, 02/12/09 to 02/17/09 52,641 52,616
1.254%, 03/09/09 147,250 147,066
1.556%, 03/12/09 37,000 36,938
Old Line Funding LLC (C)
1.506%, 02/12/09 to 02/13/09 153,000 152,927
0.300%, 02/20/09 50,000 49,992
Park Avenue Receivables (C)
1.405%, 02/17/09 114,000 113,929
1.053%, 03/09/09 77,000 76,919
PNC Funding
3.029%, 03/12/09 21,700 21,629
Sheffield Receivables (C)
1.606%, 02/11/09 100,000 99,956
Thames Asset Global Securitization (C)
0.601%, 02/25/09 20,800 20,792
0.701%, 03/18/09 38,000 37,967
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
Coca-Cola
0.200%, 02/23/09 $ 28,185 $ 28,182
0.250%, 03/10/09 116,000 115,970
-------------
Total Commercial Paper
(Cost $2,375,574) ($ Thousands) 2,375,574
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 23.2%
FHLB
2.620%, 04/28/09 80,000 80,429
FHLB DN (B)
0.220%, 04/20/09 93,000 92,955
0.320%, 04/21/09 100,000 99,930
0.370%, 05/20/09 35,200 35,161
0.521%, 06/15/09 64,150 64,026
FHLMC
5.250%, 05/21/09 9,000 9,133
FHLMC DN (B)
0.328%, 04/01/09 50,000 49,973
1.176%, 04/21/09 50,000 49,872
1.156%, 05/06/09 76,500 76,270
0.310%, 05/22/09 to 06/24/09 268,000 267,697
FNMA DN (B)
1.150%, 02/03/09 157,000 156,999
0.370%, 05/20/09 9,000 8,990
0.542%, 06/22/09 13,000 12,972
0.411%, 07/08/09 93,000 92,834
-------------
Total U.S. Government Agency Obligations
(Cost $1,097,241) ($ Thousands) 1,097,241
-------------
CERTIFICATES OF DEPOSIT -- 9.7%
Branch Banking & Trust
3.130%, 02/20/09 19,000 19,019
Chase Bank USA
1.750%, 02/17/09 40,000 40,000
1.750%, 02/18/09 50,000 50,000
0.250%, 02/27/09 100,000 100,000
Union Bank
2.350%, 02/04/09 67,000 67,000
US Bank
0.450%, 04/21/09 54,000 54,000
0.500%, 05/21/09 127,000 127,000
-------------
Total Certificates of Deposit
(Cost $457,019) ($ Thousands) 457,019
-------------
CAPITAL SUPPORT AGREEMENT (F) -- 3.2%
SEI Capital Support Agreement 150,858 150,858
-------------
Total Capital Support Agreement
(Cost $0) ($ Thousands) 150,858
-------------
SEI Daily Income Trust / Annual Report / January 31, 2009
14
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
CORPORATE OBLIGATIONS -- 2.3%
Cheyne Finance LLC MTN*
(C) (D) (E) (F) (H) (I)
2.063%, 10/25/07 $ 40,762 $ --
2.065%, 01/25/08 101,894 --
2.075%, 03/25/08 62,896 --
Gryphon Funding (E) (F) (G) (H) (I) (K)
1.477%, 10/07/14 189,916 68,369
Stanfield Victoria Funding LLC MTN
(C) (F) (H) (I) (J) (K)
1.070%, 03/14/10 66,618 37,306
Wachovia Bank
1.537%, 03/23/09 (L) 2,250 2,252
-------------
Total Corporate Obligations
(Cost $200,421) ($ Thousands) 107,927
-------------
REPURCHASE AGREEMENTS (M) -- 11.3%
Barclays Capital
0.270%, dated 01/30/09, to be
repurchased on 02/02/09,
repurchase price $300,858,769
(collateralized by a U.S. Treasury
Note, par value $221,362,000,
7.125%, 02/15/23, with a total
market value $306,869,088) 300,852 300,852
Deutsche Bank
0.270%, dated 01/30/09, to be
repurchased on 02/02/09,
repurchase price $235,251,293
(collateralized by various
U.S. Government obligations,
ranging in par value $1,000,000-
$50,000,000, 0.000%-8.750%,
04/15/09-02/13/23, with a total
market value $239,951,006) 235,246 235,246
-------------
Total Repurchase Agreements
(Cost $536,098) ($ Thousands) 536,098
-------------
Total Investments -- 100.0%
(Cost $4,666,353) ($ Thousands) $ 4,724,717
=============
Percentages are based on Net Assets of $4,726,036 ($ Thousands).
Description
- ------------------------------------------------
* Non-income producing security.
(A) Securities are held in connection with a letter of credit issued by a major
bank.
(B) The rate reported is the effective yield at time of purchase.
(C) 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."
(D) On October 17, 2007, due to deterioration in the market value of the assets
of Cheyne Finance LLC ("Cheyne"), provisions in the organizational
documents of Cheyne were triggered that caused the notes issued by Cheyne
to become immediately due and payable. Since no payments have been
received, the Cheyne notes are in default.
(E) 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.
(F) 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. As of January 31,
2009, the fair value of the agreement was $150,858.
(G) 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. As of
the time of this filing, the amortized cost did not approximate fair value.
(H) Securities considered illiquid. The total value of such securities as of
January 31, 2009 was $105,675 ($ Thousands) and represented 2.24% of Net
Assets.
(I) Securities considered restricted. The total value of such securities as of
January 31, 2009 was $105,675 ($ Thousands) and represented 2.24% of Net
Assets.
(J) On January 18, 2008, due to deterioration in the market value of the assets
of 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, the amortized cost did not approximate fair
value.
(K) The value shown is the fair value as of January 31, 2009. Please refer to
Note 10 for the amortized cost value as of January 31, 2009.
(L) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on January 31, 2009. The demand and interest rate
reset features give this security a shorter effective maturity date.
(M) Tri-Party Repurchase Agreement
DN -- Discount Note
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
LLC -- Limited Liability Company
MTN -- Medium Term Note
Amounts designated as "--" are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Annual Report / January 31, 2009
15
SCHEDULE OF INVESTMENTS
Treasury Fund
January 31, 2009
SECTOR WEIGHTINGS (UNAUDITED)+:
(BAR CHART)
Repurchase Agreements 73.2%
U.S. Treasury Obligations 26.8%
+Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
U.S. TREASURY OBLIGATIONS (A) -- 26.8%
U.S. Cash Management Bills
1.239%, 04/29/09 $ 50,000 $ 49,851
0.306%, 09/15/09 50,000 49,904
U.S. Treasury Bills
0.190%, 04/09/09 50,000 49,982
1.148%, 07/02/09 50,000 49,761
0.625%, 07/30/09 120,000 119,629
0.376%, 10/22/09 40,000 39,891
-------------
Total U.S. Treasury Obligations
(Cost $359,018) ($ Thousands) 359,018
-------------
REPURCHASE AGREEMENTS (B) -- 73.2%
Barclays Capital
0.110%, dated 01/09/09,
to be repurchased on 02/09/09,
repurchase price $15,001,421
(collateralized by a U.S. Treasury
Obligation, par value $24,780,940,
0.000%, 02/15/21, with total
market value $15,300,000) 15,000 15,000
Barclays Capital
0.130%, dated 01/08/09,
to be repurchased on 03/09/09,
repurchase price $15,003,250
(collateralized by a U.S. Treasury
Obligation, par value $10,046,400,
3.625%, 04/15/28, with total
market value $15,300,111) 15,000 15,000
Barclays Capital
0.150%, dated 01/20/09,
to be repurchased on 04/08/09,
repurchase price $40,013,000
(collateralized by a U.S. Treasury
Obligation, par value $51,425,547,
0.00%, 02/15/16, with total
market value $40,800,000) 40,000 40,000
BNP Paribas
0.260%, dated 01/30/09,
to be repurchased on 02/02/09,
repurchase price $340,007,367
(collateralized by various U.S.
Treasury Obligations, ranging
in par value $172,032,300-
$179,930,700, 1.750%-2.500%,
07/15/16-01/15/28, with total
market value $346,800,041) 340,000 340,000
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
Deutsche Bank
0.250%, dated 01/30/09,
to be repurchased on 02/02/09,
repurchase price $230,697,806
(collateralized by a U.S.
Treasury Obligation, par value
$231,680,900, 1.500%,
10/31/10, with total market
value $235,306,872) $ 230,693 $ 230,693
JPMorgan Chase
0.240%, dated 01/30/09,
to be repurchased on 02/02/09,
repurchase price $340,006,800
(collateralized by a U.S.
Treasury Obligation, par value
$338,400,000, 2.125%,
04/30/10, with total market
value $346,803,112) 340,000 340,000
-------------
Total Repurchase Agreements
(Cost $980,693) ($ Thousands) 980,693
-------------
Total Investments -- 100.0%
(Cost $1,339,711) ($ Thousands) $ 1,339,711
=============
Percentages are based on Net Assets of $1,339,682 ($ Thousands).
(A) The rate reported is the effective yield at time of purchase.
(B) Tri-Party Repurchase Agreement
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Annual Report / January 31, 2009
16
Treasury II Fund
January 31, 2009
SECTOR WEIGHTINGS (UNAUDITED)+:
(BAR CHART)
U.S. Treasury Obligations 100.0%
+Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ------------------------------------------------ ------------- -------------
U.S. TREASURY OBLIGATIONS (A) -- 100.0%
U.S. Cash Management Bills
0.387%, 04/29/09 $ 52,718 $ 52,669
0.451%, 05/15/09 10,000 9,987
0.607%, 06/24/09 20,000 19,952
U.S. Treasury Bills
0.021%, 02/05/09 168,953 168,953
0.016%, 02/12/09 125,000 124,999
0.220%, 02/19/09 95,000 94,990
0.124%, 02/26/09 115,290 115,280
0.065%, 03/05/09 25,000 24,999
0.078%, 03/12/09 90,217 90,209
1.055%, 03/19/09 24,694 24,661
0.049%, 04/02/09 152,914 152,901
0.141%, 04/09/09 63,000 62,984
0.280%, 04/23/09 50,000 49,968
0.300%, 04/30/09 13,000 12,990
0.341%, 05/07/09 20,000 19,982
0.451%, 05/14/09 20,000 19,974
0.562%, 06/04/09 20,000 19,962
-------------
Total U.S. Treasury Obligations
(Cost $1,065,460) ($ Thousands) 1,065,460
-------------
Total Investments -- 100.0%
(Cost $1,065,460) ($ Thousands) $ 1,065,460
=============
Percentages are based on Net Assets of $1,065,415 ($ 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 / Annual Report / January 31, 2009
17
SCHEDULE OF INVESTMENTS
Short-Duration Government Fund
January 31, 2009
SECTOR WEIGHTINGS (UNAUDITED)+:
(BAR CHART)
Mortgage-Backed Securities 77.8%
U.S. Government Agency Obligations 20.9%
Repurchase Agreement 1.3%
+Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MORTGAGE-BACKED SECURITIES -- 77.0%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 77.0%
FHLMC
6.000%, 06/01/21 $ 1,971 $ 2,053
5.310%, 06/01/24 (A) 63 63
5.277%, 06/01/24 (A) 140 141
5.250%, 09/01/20 (A) 11 11
5.196%, 12/01/23 (A) 2,995 2,957
5.195%, 07/01/24 (A) 25 25
5.178%, 07/01/20 to 04/01/22 (A) 116 116
5.158%, 06/01/17 (A) 43 43
5.125%, 09/01/18 (A) 9 9
5.000%, 02/01/17 to 11/01/35 (A) 4,791 4,873
4.946%, 03/01/19 (A) 25 25
4.889%, 04/01/29 (A) 138 137
4.875%, 07/01/18 (A) 15 15
4.785%, 12/01/23 (A) 187 188
4.750%, 06/01/18 to 07/01/18 (A) 38 37
4.602%, 05/01/24 (A) 80 80
4.586%, 04/01/29 (A) 65 64
4.500%, 04/01/16 to 02/01/39 (A) 40,872 41,102
4.458%, 03/01/19 (A) 37 38
4.375%, 06/01/16 to 07/01/16 (A) 15 16
4.306%, 05/01/19 (A) 40 40
4.250%, 02/01/16 to 11/01/20 (A) 16 16
4.163%, 02/01/19 (A) 45 45
4.125%, 11/01/18 (A) 10 10
4.000%, 01/01/18 (A) 39 39
3.935%, 04/01/19 (A) 24 24
3.750%, 12/01/16 (A) 4 4
3.500%, 01/01/17 (A) 8 8
3.250%, 01/01/17 (A) 6 6
FHLMC REMIC, Cl PE
5.000%, 03/15/34 4,000 4,079
FHLMC REMIC, Cl DG
4.500%, 04/15/17 795 809
FHLMC REMIC, Cl MB
5.000%, 12/15/28 1,500 1,545
FHLMC REMIC, Cl MA
5.500%, 11/15/29 3,243 3,271
FHLMC REMIC, Ser 2004-2780, Cl LC
5.000%, 07/15/27 2,000 2,042
FHLMC REMIC, Ser 2004-2826, Cl BK
5.000%, 01/15/18 960 985
FHLMC REMIC, Ser 2587, Cl ET
3.700%, 07/15/17 756 761
FHLMC REMIC, Ser 2890, Cl PJ
4.500%, 09/15/24 1,019 1,025
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FHLMC REMIC, Ser 2975, Cl VT
5.000%, 02/15/11 $ 1,579 $ 1,613
FHLMC REMIC, Ser 3153, Cl FX
0.805%, 05/15/36 (A) 738 706
FHLMC REMIC, Ser T-42, Cl A5
7.500%, 02/25/42 871 917
FNMA
7.000%, 06/01/37 239 251
6.610%, 04/01/09 144 144
6.500%, 05/01/26 to 01/01/39 99,198 103,468
5.942%, 11/01/11 348 363
5.470%, 09/01/24 (A) 1,080 1,092
5.333%, 12/01/29 (A) 249 251
5.190%, 08/01/27 (A) 648 657
5.071%, 08/01/29 (A) 847 844
5.000%, 02/01/38 1,725 1,756
4.959%, 02/01/13 77 79
4.940%, 09/01/25 (A) 194 193
4.751%, 04/01/13 135 137
4.578%, 05/01/28 (A) 1,260 1,249
4.096%, 02/01/27 (A) 209 204
FNMA REMIC, Cl EZ
5.500%, 01/25/36 2,810 2,689
FNMA REMIC, Cl KA
4.500%, 03/25/18 591 601
FNMA REMIC, Cl AN
4.000%, 09/15/17 4,000 4,020
FNMA REMIC, Ser 1992-61, Cl FA
1.056%, 10/25/22 (A) 197 196
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23 89 93
FNMA REMIC, Ser 1993-5, Cl Z
6.500%, 02/25/23 40 42
FNMA REMIC, Ser 1994-77, Cl FB
1.906%, 04/25/24 (A) 19 19
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16 290 306
FNMA REMIC, Ser 2001-53, Cl CA
5.750%, 06/25/31 13 13
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17 1,671 1,744
FNMA REMIC, Ser 2002-53, Cl FK
0.789%, 04/25/32 (A) 375 372
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/33 1,282 1,252
FNMA REMIC, Ser 2005-43, Cl EN
5.000%, 05/25/19 1,603 1,639
FNMA REMIC, Ser 2006-39, Cl PB
5.500%, 07/25/29 1,795 1,845
FNMA REMIC, Ser 2006-46, Cl PB
5.500%, 07/25/29 357 366
FNMA REMIC, Ser 2006-53, Cl PA
5.500%, 12/25/26 2,272 2,321
SEI Daily Income Trust / Annual Report / January 31, 2009
18
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FNMA REMIC, Ser 2006-72, Cl FY
0.809%, 08/25/36 (A) $ 3,847 $ 3,713
FNMA REMIC, Ser 2006-76, Cl QF
0.789%, 08/25/36 (A) 3,760 3,646
GNMA
7.500%, 01/15/11 to 02/15/11 15 17
6.500%, 04/15/17 to 10/15/38 14,766 15,348
6.000%, 06/15/16 to 09/15/19 826 868
GNMA REMIC, Ser 2006-38, Cl XS, IO
6.795%, 09/16/35 (A) 272 25
-------------
Total Mortgage-Backed Securities
(Cost $219,513) ($ Thousands) 221,761
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 20.6%
FHLMC
5.125%, 08/23/10 3,500 3,705
1.500%, 01/07/11 34,500 34,496
5.750%, 01/15/12 17,400 19,158
FNMA
5.000%, 03/15/16 2,000 2,216
-------------
Total U.S. Government Agency Obligations
(Cost $59,320) ($ Thousands) 59,575
-------------
REPURCHASE AGREEMENT (B) -- 1.3%
BNP Paribas
0.290%, dated 01/30/09, to be
repurchased on 02/02/09, repurchase
price $3,700,089 (collateralized by a
FHLMC obligation, par value $4,974,059,
4.000%, 10/01/21, with total market
value $3,774,000) 3,700 3,700
-------------
Total Repurchase Agreement
(Cost $3,700) ($ Thousands) 3,700
-------------
Total Investments -- 98.9%
(Cost $282,533) ($Thousands) $ 285,036
=============
Futures -- a summary of the open futures contracts held by the Fund at January
31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG DATE ($ THOUSANDS)
- -------- --------- ---------- -------------
U.S. 5-Year Treasury Note 153 Mar-2009 $(175)
=====
Percentages are based on Net Assets of $288,064 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on January 31, 2009. 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 / Annual Report / January 31, 2009
19
SCHEDULE OF INVESTMENTS
Intermediate-Duration Government Fund
January 31, 2009
SECTOR WEIGHTINGS (UNAUDITED)+:
(BAR CHART)
Mortgage-Backed Securities 79.8%
U.S. Government Agency Obligations 11.1%
Repurchase Agreement 4.8%
U.S. Treasury Obligation 3.0%
Asset-Backed Security 1.3%
+Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MORTGAGE-BACKED SECURITIES -- 83.5%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 83.5%
FHLMC
6.500%, 01/01/18 to 12/01/32 $ 475 $ 499
6.000%, 09/01/24 1,429 1,479
5.500%, 06/01/19 to 12/01/20 904 934
5.000%, 12/01/35 to 04/01/38 14,131 14,372
4.500%, 02/01/36 to 09/01/38 9,966 10,019
FHLMC REMIC, Cl PE
5.000%, 03/15/34 1,300 1,326
4.500%, 05/15/18 2,780 2,842
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 390 408
FHLMC REMIC, Ser 165, Cl K
6.500%, 09/15/21 16 16
FHLMC REMIC, Ser 2586, Cl NK
3.500%, 08/15/16 111 111
FHLMC REMIC, Ser 2587, Cl ET
3.700%, 07/15/17 437 439
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17 990 976
FHLMC REMIC, Ser 2635, Cl NJ
3.000%, 03/15/17 278 276
FNMA
9.500%, 05/01/18 43 47
6.500%, 03/01/33 to 12/01/38 21,721 22,658
6.450%, 10/01/18 652 705
6.150%, 04/01/11 144 149
5.920%, 06/01/14 492 522
5.914%, 02/01/12 577 604
5.680%, 06/01/17 585 613
5.626%, 12/01/11 1,604 1,668
5.500%, 05/01/35 to 08/01/38 3,905 4,000
5.000%, 04/01/37 51 51
4.997%, 08/01/15 389 396
4.959%, 02/01/13 199 204
4.500%, 03/01/38 to 06/01/38 3,936 3,969
3.790%, 07/01/13 1,030 1,014
FNMA REMIC, Cl AN
4.000%, 09/15/17 1,000 1,005
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FNMA REMIC, Cl EZ
5.500%, 01/25/36 $ 884 $ 846
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16 409 431
FNMA REMIC, Ser 2004-27, Cl HN
4.000%, 05/25/16 238 239
FNMA REMIC, Ser 2006-72, Cl FY
0.809%, 08/25/36 (A) 2,943 2,840
GNMA
8.750%, 07/20/17 to 07/20/17 10 11
8.500%, 11/20/16 to 08/20/17 71 75
7.500%, 11/15/25 to 09/15/36 241 254
6.000%, 04/15/09 to 09/15/24 798 827
-------------
Total Mortgage-Backed Securities
(Cost $75,817) ($ Thousands) 76,825
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 11.6%
FHLMC
1.500%, 01/07/11 6,300 6,299
5.750%, 01/15/12 4,000 4,404
-------------
Total U.S. Government Agency Obligations
(Cost $10,735) ($ Thousands) 10,703
-------------
U.S. TREASURY OBLIGATION -- 3.1%
U.S. Treasury Note
4.750%, 03/31/11 2,650 2,868
-------------
Total U.S. Treasury Obligation
(Cost $2,639) ($ Thousands) 2,868
-------------
ASSET-BACKED SECURITY -- 1.3%
Small Business Administration,
Ser 2005-P10B, Cl 1
4.940%, 08/10/15 1,204 1,215
-------------
Total Asset-Backed Security
(Cost $1,204) ($ Thousands) 1,215
-------------
SEI Daily Income Trust / Annual Report / January 31, 2009
20
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
REPURCHASE AGREEMENT (B) -- 5.0%
BNP Paribas
0.250%, dated 01/30/09, to be repurchased
on 02/02/09, repurchase price $4,600,111
(collateralized by various FHLMC/ FNMA
obligations, ranging in par value
$577,706- $4,719,685, 4.000%-5.500%,
10/01/21- 01/01/23, with total market
value $4,692,000) $ 4,600 $ 4,600
-------------
Total Repurchase Agreement
(Cost $4,600) ($ Thousands) 4,600
-------------
Total Investments -- 104.5%
(Cost $94,995) ($ Thousands) $ 96,211
=============
Futures -- a summary of the open futures contracts held by the Fund at January
31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG DATE ($ THOUSANDS)
- -------- --------- ---------- -------------
U.S. 10-Year Treasury Note 88 Mar-2009 $280
U.S. 5-Year Treasury Note 228 Mar-2009 123
----
$403
====
Percentages are based on Net Assets of $92,025 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on January 31, 2009. 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
REMIC -- Real Estate Mortgage Investment Conduit
Ser -- Series
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Annual Report / January 31, 2009
21
SCHEDULE OF INVESTMENTS
GNMA Fund
January 31, 2009
SECTOR WEIGHTINGS (UNAUDITED)+:
(BAR CHART)
Mortgage-Backed Securities 80.3%
Repurchase Agreement 19.7%
+Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MORTGAGE-BACKED SECURITIES -- 98.2%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 98.2%
FHLMC
4.500%, 05/01/37 $ 300 $ 302
FHLMC REMIC, Ser 3279, IO
5.975%, 02/15/37 (A) 8,011 601
FHLMC REMIC, Ser 3309, IO
5.995%, 04/15/37 (A) 6,988 506
FNMA
8.000%, 09/01/14 to 09/01/28 236 251
7.000%, 08/01/29 to 09/01/32 430 456
6.500%, 09/01/32 265 278
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/20 48 50
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22 84 90
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17 1,500 1,602
GNMA
10.000%, 05/15/16 to 04/15/20 28 29
9.500%, 06/15/09 to 11/15/20 124 133
9.000%, 12/15/17 to 05/15/22 222 236
8.500%, 10/15/16 to 06/15/17 65 70
8.000%, 04/15/17 to 03/15/32 929 991
7.750%, 10/15/26 46 49
7.500%, 02/15/27 to 05/15/36 1,041 1,097
7.250%, 01/15/28 183 194
7.000%, 04/15/19 to 06/20/38 8,627 9,162
6.750%, 11/15/27 51 54
6.500%, 09/15/10 to 09/20/38 11,749 12,249
6.000%, 07/15/24 to 11/15/38 7,354 7,583
5.500%, 10/15/32 to 01/15/39 25,265 25,943
5.000%, 04/15/33 to 10/15/38 43,231 44,186
4.500%, 08/15/33 to 03/01/39 47,313 47,536
GNMA REMIC, Ser 2002-45, Cl QE
6.500%, 06/20/32 1,370 1,459
GNMA REMIC, Ser 2003-63, Cl UV
3.500%, 07/20/30 1,651 1,638
GNMA REMIC, Ser 2005-70, Cl AI, IO
5.000%, 10/20/33 8,224 666
GNMA REMIC, Ser 2006-38, Cl XS, IO
6.795%, 09/16/35 (A) 3,626 327
-------------
Total Mortgage-Backed Securities
(Cost $154,732) ($ Thousands) 157,738
-------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
REPURCHASE AGREEMENT (B) -- 24.1%
BNP Paribas
0.290%, dated 01/30/09,
to be repurchased on 02/02/09,
repurchase price $38,800,938
(collateralized by various FHLMC/
FNMA obligations, ranging in par
value $738,790-$10,510,000,
5.000%-7.000%, 01/01/23-
02/01/39, with total market
value $39,576,001) $ 38,800 $ 38,800
-------------
Total Repurchase Agreement
(Cost $38,800) ($ Thousands) 38,800
-------------
Total Investments -- 122.3%
(Cost $193,532) ($ Thousands) $ 196,538
=============
Futures -- a summary of the open futures contracts held by the Fund at January
31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION DEPRECIATION
CONTRACT LONG (SHORT) DATE ($THOUSANDS)
- -------- ------------ ---------- ------------
U.S. 10-Year Treasury Note 106 Mar-2009 $(16)
U.S. 2-Year Treasury Note (175) Mar-2009 (63)
----
$(79)
====
Percentages are based on Net Assets of $160,639 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on January 31, 2009. 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 / Annual Report / January 31, 2009
22
Ultra Short Bond Fund
January 31, 2009
SECTOR WEIGHTINGS (UNAUDITED)+:
(BAR CHART)
Asset-Backed Securities 33.0%
Mortgage-Backed Securities 28.3%
Corporate Obligations 22.4%
U.S. Government Agency Obligations 13.4%
Repurchase Agreement 1.5%
Certificate of Deposit 1.4%
+Percentages are based on total investments.
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
ASSET-BACKED SECURITIES -- 33.5%
AUTOMOTIVE -- 15.4%
AmeriCredit Automobile Receivables
Trust, Ser 2007-CM, Cl A3A
5.420%, 05/07/12 $ 1,720 $ 1,622
AmeriCredit Automobile Receivables
Trust, Ser 2007-AX, Cl A3
5.190%, 11/06/11 1,252 1,229
BMW Vehicle Lease Trust,
Ser 2007-1, Cl A3A
4.590%, 08/15/13 655 636
Capital Auto Receivables Asset Trust,
Ser 2007-3, Cl A3A
5.020%, 09/15/11 575 558
Capital Auto Receivables Asset Trust,
Ser 2005-1, Cl B
0.708%, 06/15/10 (A) 369 363
Capital One Auto Finance Trust,
Ser 2007-C, Cl A3A
5.130%, 04/16/12 1,670 1,538
Capital One Auto Finance Trust,
Ser 2006-A, Cl A4
0.343%, 12/15/12 (A) 2,350 1,993
Capital One Prime Auto Receivables
Trust, Ser 2007-2, Cl A2
5.050%, 03/15/10 169 169
Carmax Auto Owner Trust, Ser 2008-2,
Cl A2A
4.060%, 09/15/11 1,750 1,710
Carmax Auto Owner Trust,
Ser 2006-2, Cl A4
5.140%, 11/15/11 1,120 1,067
Carmax Auto Owner Trust,
Ser 2008-1, Cl A4A
4.790%, 02/15/13 1,750 1,526
CPS Auto Trust,
Ser 2007-C, Cl A2
5.440%, 11/15/10 (B) 218 218
Ford Credit Auto Owner Trust,
Ser 2008-B, Cl A2
1.533%, 12/15/10 (A) 1,917 1,857
Ford Credit Auto Owner Trust,
Ser 2007-A, Cl A2A
5.420%, 04/15/10 248 247
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Ford Credit Auto Owner Trust,
Ser 2008-A, Cl A3A
3.960%, 01/15/12 $ 1,610 $ 1,497
Ford Credit Auto Owner Trust,
Ser 2007-B, Cl A3A
5.150%, 11/15/11 745 711
Household Automotive Trust,
Ser 2005-3, Cl A3
4.800%, 10/18/10 125 124
Hyundai Auto Receivables Trust,
Ser 2008-A, Cl A2
4.160%, 05/16/11 2,710 2,701
Hyundai Auto Receivables Trust,
Ser 2007-A, Cl A3A
5.040%, 01/17/12 1,570 1,574
Hyundai Auto Receivables Trust,
Ser 2006-A, Cl A4
5.260%, 11/15/12 1,365 1,370
Long Beach Auto Receivables Trust,
Ser 2006-B, Cl A3
5.170%, 08/15/11 940 921
Nissan Auto Receivables Owner Trust,
Ser 2006-A, Cl A3
4.740%, 12/15/09 2 2
4.460%, 04/16/12 925 921
Nissan Auto Receivables Owner Trust,
Ser 2008-A, Cl A3
3.890%, 08/15/11 670 665
USAA Auto Owner Trust, Ser 2007-2,
Cl A3
4.900%, 02/15/12 843 846
USAA Auto Owner Trust, Ser 2008-1,
Cl A3
4.160%, 04/16/12 965 961
USAA Auto Owner Trust, Ser 2008-2,
Cl A2
3.910%, 01/18/11 2,073 2,070
Volkswagen Auto Lease Trust,
Ser 2006-A, Cl A3
5.500%, 09/21/09 6 6
Wachovia Auto Owner Trust,
Ser 2008-A, Cl A2A
4.090%, 05/20/11 1,595 1,580
WFS Financial Owner Trust,
Ser 2005-2, Cl B
4.570%, 11/19/12 1,234 1,223
-------------
31,905
-------------
CREDIT CARD -- 8.1%
Advanta Business Card Master Trust,
Ser 2006-B2, Cl B2
0.609%, 06/20/14 (A) 2,000 1,125
SEI Daily Income Trust / Annual Report / January 31, 2009
23
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund (Continued)
January 31, 2009
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Advanta Business Card Master Trust,
Ser 2005-B1, Cl B1
0.739%, 02/20/14 (A) $ 1,250 $ 1,000
American Express Issuance Trust,
Ser 2007-1, Cl A
0.533%, 09/15/11 (A) 715 669
American Express Issuance Trust
0.363%, 08/15/11 (A) 1,200 1,107
Bank of America Credit Card Trust,
Ser 2007-A13, Cl A13
0.553%, 04/16/12 (A) 1,500 1,459
Bank of America Credit Card Trust,
Ser 2006-C7, Cl C7
0.563%, 03/15/12 (A) 1,000 794
Cabela's Master Credit Card Trust,
Ser 2006-3A, Cl B
0.533%, 10/15/14 (A) (B) 2,000 815
Capital One Multi-Asset Execution
Trust, Ser 2007-C3, Cl C3
0.623%, 04/15/13 (A) 1,500 871
Capital One Multi-Asset Execution
Trust, Ser 2007-C2, Cl C2
0.633%, 11/15/14 (A) 1,200 422
Capital One Multi-Asset Execution
Trust, Ser 2004-C4, Cl C4
0.983%, 06/15/12 (A) 1,350 1,085
Chase Issuance Trust, Ser 2007-A14,
Cl A14
0.583%, 09/15/11 (A) 1,000 990
Citibank Credit Card Issuance Trust,
Ser 2008-A3, Cl A3
1.239%, 05/18/11 (A) 2,000 1,987
Citibank Credit Card Issuance Trust,
Ser 2006-A5, Cl A5
5.300%, 05/20/11 1,505 1,511
MBNA Credit Card Master Note Trust,
Ser 2006-A1, Cl A1
4.900%, 07/15/11 1,000 1,000
Washington Mutual Master Note Trust,
Ser 2006-C3A, Cl C3A
0.713%, 10/15/13 (A) (B) 1,490 1,253
Washington Mutual Master Note Trust,
Ser 2006-C2A, Cl C2
0.833%, 08/15/15 (A) (B) 1,300 737
-------------
16,825
-------------
MISCELLANEOUS BUSINESS SERVICES -- 7.1%
ACAS Business Loan Trust,
Ser 2007-1A, Cl C
2.999%, 08/16/19 (A) (B) 1,271 64
ACAS Business Loan Trust,
Ser 2005-1A, Cl A1
1.409%, 07/25/19 (A) (B) 949 674
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Babson CLO Ltd., Ser 2007-1A, Cl A1
1.367%, 01/18/21 (A) (B) $ 1,190 $ 821
Capital Source Commercial Loan Trust,
Ser 2006-1A, Cl C
0.909%, 08/22/16 (A) (B) 494 300
Capital Source Commercial Loan Trust,
Ser 2006-2A, Cl A1A
0.569%, 09/20/22 (A) (B) 1,334 1,020
Caterpillar Financial Asset Trust,
Ser 2008-A, Cl A2A
4.090%, 12/27/10 784 782
CIT Equipment Collateral,
Ser 2006-VT1, Cl A3
5.130%, 12/21/09 35 35
Citigroup Mortgage Loan Trust,
Ser 2006-WFH3, Cl M1
0.679%, 10/25/36 (A) 1,325 282
CNH Equipment Trust, Ser 2006-B,
Cl A3
5.200%, 06/15/10 88 88
CNH Wholesale Master Note Trust,
Ser 2006-1A, Cl B
0.613%, 07/15/12 (A) (B) 245 228
Colts Trust, Ser 2006-2A, Cl A
1.805%, 12/20/18 (A) (B) 1,950 1,338
Countrywide Asset-Backed Certificates,
Ser 2006-2, Cl 2A2
0.579%, 06/25/36 (A) 500 407
Credit-Based Asset Servicing and
Securitization CBO,
Ser 2006-16A, Cl A
2.442%, 09/06/41 (A) (B) 1,419 213
First Franklin Mortgage Loan
Asset-Backed Certificates,
Ser 2007-FF1, Cl M2
0.649%, 01/25/38 (A) 1,250 20
Franklin CLO, Ser 2003-4A, Cl A
2.075%, 09/20/15 (A) (B) 460 403
GE Commercial Loan Trust,
Ser 2006-3, Cl C
0.909%, 01/19/17 (A) (B) 642 13
GE Equipment Small Ticket LLC,
Ser 2005-2A, Cl A4
5.010%, 06/22/15 (B) 1,998 1,911
GE Equipment Small Ticket LLC,
Ser 2005-1A, Cl B
4.620%, 12/22/14 (B) 142 139
GMAC Mortgage Loan Trust,
Ser 2006-HE4, Cl A2
0.529%, 12/25/36 (A) 1,709 623
JPMorgan Mortgage Acquisition,
Ser 2007-CH5, Cl M1
0.659%, 06/25/37 (A) 2,000 267
SEI Daily Income Trust / Annual Report / January 31, 2009
24
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Katonah CLO, Ser 2005-7A, Cl B
2.569%, 11/15/17 (A) (B) $ 1,200 $ 523
Lambda Finance, Ser 2005-1A, Cl B3
2.519%, 11/15/29 (A) (B) 840 578
Long Beach Mortgage Loan Trust,
Ser 2006-6, Cl 2A3
0.539%, 07/25/36 (A) 1,190 333
Madison Park Funding CLO,
Ser 2007-4A, Cl A1B
1.825%, 03/22/21 (A) (B) 1,000 400
Marlin Leasing Receivables LLC,
Ser 2005-1A, Cl B
5.090%, 08/15/12 (B) 66 66
Merritt Funding Trust CLO,
Ser 2005-2A, Cl B
1.794%, 07/15/15 (A) (B) 541 60
Morgan Stanley ABS Capital I,
Ser 2006-WMC1, Cl A2B
0.589%, 12/25/35 (A) 873 738
New Century Home Equity Loan Trust,
Ser 2005-C, Cl A2B
0.559%, 12/25/35 (A) 74 73
PFS Financing, Ser 2006-B, Cl A
2.909%, 09/15/11 (A) (B) 965 957
Sierra Receivables Funding,
Ser 2007-2A, Cl A2
1.508%, 09/20/19 (A) (B) 506 327
SLM Student Loan Trust, Ser 2003-A,
Cl A1
2.929%, 12/15/15 (A) 55 52
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl C
0.933%, 01/15/12 (A) 200 37
Superior Wholesale Inventory Financing
Trust, Ser 2007-AE1, Cl B
0.633%, 01/15/12 (A) 110 55
William Street Funding, Ser 2006-1,
Cl A
1.355%, 01/23/12 (A) (B) 1,260 907
-------------
14,734
-------------
MORTGAGE RELATED -- 2.9%
ACE Securities, Ser 2006-CW1, Cl A2C
0.529%, 07/25/36 (A) 895 429
Asset-Backed Funding Certificates,
Ser 2006-OPT2, Cl A3B
0.499%, 10/25/36 (A) 1,900 1,720
Bear Stearns Asset-Backed Securities
Trust, Ser 2005-HE11, Cl A2
0.639%, 11/25/35 (A) 156 135
Morgan Stanley Home Equity Loans,
Ser 2005-4, Cl A2B
0.609%, 09/25/35 (A) 621 581
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Option One Mortgage Loan Trust,
Ser 2007-HL1, Cl 2A1
0.591%, 02/26/09 (A) $ 436 $ 370
Option One Mortgage Loan Trust,
Ser 2007-FXD1, Cl 3A3
5.611%, 01/25/37 (A) 305 172
Option One Mortgage Loan Trust,
Ser 2007-FXD2, Cl 2A1
5.900%, 03/25/37 (C) 704 636
Option One Mortgage Loan Trust,
Ser 2005-5, Cl A3
0.599%, 12/25/35 (A) 929 724
Option One Mortgage Loan Trust,
Ser 2006-1, Cl 2A2
0.519%, 01/25/36 (A) 632 600
Option One Mortgage Loan Trust,
Ser 2003-3, Cl A2
0.989%, 06/25/33 (A) 142 79
Residential Asset Securities,
Ser 2006-EMX6, Cl A3
0.539%, 07/25/36 (A) 1,005 522
-------------
5,968
-------------
Total Asset-Backed Securities
(Cost $91,253) ($ Thousands) 69,432
-------------
MORTGAGE-BACKED SECURITIES -- 28.8%
AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.6%
FHLMC
5.179%, 02/01/22 (A) 1,136 1,125
5.174%, 02/01/30 (A) 713 700
FHLMC REMIC, Ser 1599, Cl C
6.100%, 10/15/23 253 265
FHLMC REMIC, Ser 2004-2780, Cl LC
5.000%, 07/15/27 1,000 1,021
FHLMC REMIC, Ser 2630, Cl HA
3.000%, 01/15/17 1,055 1,040
FNMA
6.000%, 01/01/27 1,729 1,786
5.629%, 09/01/24 (A) 210 210
5.532%, 09/01/24 (A) 540 546
5.478%, 11/01/25 (A) 112 111
5.086%, 11/01/23 (A) 495 492
5.008%, 05/01/28 (A) 787 781
4.975%, 01/01/29 (A) 67 67
4.605%, 11/01/21 (A) 121 119
FNMA REMIC, Ser 1993-220, Cl FA
1.006%, 11/25/13 (A) 118 117
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23 193 202
FNMA REMIC, Ser 2001-33, Cl FA
0.839%, 07/25/31 (A) 269 264
SEI Daily Income Trust / Annual Report / January 31, 2009
25
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund (Continued)
January 31, 2009
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
FNMA REMIC, Ser 2002-63, Cl QF
0.689%, 04/25/29 (A) $ 139 $ 138
FNMA REMIC, Ser 2002-64, Cl FG
0.584%, 10/18/32 (A) 145 140
FNMA REMIC, Ser 2002-78, Cl AU
5.000%, 06/25/30 481 484
FNMA REMIC, Ser 2006-39, Cl PB
5.500%, 07/25/29 1,915 1,968
-------------
11,576
-------------
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 23.2%
Arkle Master Issuer PLC, Ser 2006-1A,
Cl M
2.339%, 02/17/52 (A) (B) 1,000 901
Banc of America Funding, Ser 2005-F,
Cl 4A1
5.334%, 09/20/35 (A) 806 488
Banc of America Funding, Ser 2006-D,
Cl 3A1
5.583%, 05/20/36 (A) 973 699
Banc of America Large Loan,
Ser 2007-BMB1
0.843%, 08/15/29 (A) (B) 589 401
Banc of America Mortgage Securities,
Ser 2004-F, Cl 2A5
4.148%, 07/25/34 (A) 1,300 1,262
Banc of America Mortgage Securities,
Ser 2005-A, Cl 2A2
4.443%, 02/25/35 (A) 1,426 1,179
Banc of America Mortgage Securities,
Ser 2005-F, Cl 2A2
5.009%, 07/25/35 (A) 2,374 1,837
Banc of America Mortgage Securities,
Ser 2005-H, Cl 2A1
4.805%, 09/25/35 (A) 746 583
Banc of America Mortgage Securities,
Ser 2005-J, Cl 2A1
5.087%, 11/25/35 (A) 258 159
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-12, Cl 11A1
5.268%, 02/25/36 (A) 495 271
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-3, Cl 2A1
5.076%, 06/25/35 (A) 778 450
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-6, Cl 3A1
5.276%, 08/25/35 (A) 1,184 941
Bear Stearns Adjustable Rate Mortgage
Trust, Ser 2005-9, Cl A1
4.625%, 10/25/35 (A) 1,508 1,218
Bear Stearns Commercial Mortgage
Securities, Ser 2001-TOP2, Cl A2
6.480%, 02/15/35 1,600 1,588
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Citigroup Commercial Mortgage Trust,
Ser 2006-FL2, Cl D
0.543%, 08/15/21 (A) (B) $ 510 $ 304
Citigroup Commercial Mortgage Trust,
Ser 2007-FL3A, Cl J
1.283%, 04/15/22 (A) (B) 550 155
Citigroup Mortgage Loan Trust,
Ser 2004-HYB3, Cl 1A
4.456%, 09/25/34 (A) 372 237
Citigroup Mortgage Loan Trust,
Ser 2006-AR2, Cl 1A1
5.622%, 03/25/36 (A) 1,012 583
Countrywide Alternative Loan Trust,
Ser 2007-HY5R, Cl 2A1A
5.544%, 03/25/47 (A) 1,214 789
Countrywide Home Loans,
Ser 2004-29, Cl 1A1
0.659%, 02/25/09 (A) 115 58
Countrywide Home Loans,
Ser 2005-7, Cl 1A1
0.659%, 03/25/35 (A) 202 76
Countrywide Home Loans,
Ser 2005-HY10, Cl 3A1A
5.381%, 02/20/36 (A) 929 518
Crusade Global Trust,
Ser 2003-1, Cl A
1.343%, 01/17/34 (A) 398 387
Crusade Global Trust,
Ser 2004-1, Cl A1
1.232%, 01/16/35 (A) 111 106
First Horizon Asset Securities,
Ser 2005-2, Cl 1A1
5.500%, 05/25/35 1,012 998
Fosse Master Issuer PLC,
Ser 2007-1A, Cl C2
1.693%, 10/18/54 (A) (B) 1,305 927
GE Commercial Loan Trust CLO,
Ser 2006-2, Cl C
0.909%, 10/19/16 (A) (B) 334 17
GMAC Mortgage Loan Trust,
Ser 2005-AR6, Cl 2A1
5.207%, 11/19/35 (A) 1,193 844
Granite Master Issuer PLC,
Ser 2007-1, Cl 1C1
0.659%, 12/20/54 (A) 410 25
GSR Mortgage Loan Trust,
Ser 2005-AR4, Cl 2A1
4.988%, 07/25/35 (A) 1,391 916
GSR Mortgage Loan Trust,
Ser 2006-AR1, Cl 2A1
5.181%, 01/25/36 (A) 1,845 1,087
GSR Mortgage Loan Trust,
Ser 2007-AR2, Cl 1A1
5.777%, 05/25/37 (A) 1,410 830
SEI Daily Income Trust / Annual Report / January 31, 2009
26
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Impac CMB Trust, Ser 2004-9, Cl 1A1
1.149%, 01/25/35 (A) $ 343 $ 179
Impac CMB Trust, Ser 2005-2, Cl 1A1
0.649%, 04/25/35 (A) 385 152
Impac CMB Trust, Ser 2005-3, Cl A1
0.629%, 08/25/35 (A) 337 158
Impac CMB Trust, Ser 2005-5, Cl A1
0.709%, 08/25/35 (A) 282 110
Impac CMB Trust, Ser 2005-8, Cl 1A
0.649%, 02/25/36 (A) 908 387
Interstar Millennium Trust,
Ser 2004-2G, Cl A
2.196%, 03/14/36 (A) 233 224
JPMorgan Mortgage Trust,
Ser 2005-A6, Cl 7A1
4.963%, 08/25/35 (A) 972 628
JPMorgan Mortgage Trust,
Ser 2007-A3, Cl 1A1
5.441%, 05/25/37 (A) 1,167 707
Master Adjustable Rate Mortgages
Trust, Ser 2004-12, Cl 5A1
5.721%, 10/25/34 (A) 192 128
Medallion Trust, Ser 2004-1G, Cl A1
2.288%, 05/25/35 (A) 168 136
Merrill Lynch Mortgage Investors,
Ser 2005-A2, Cl A2
4.487%, 02/25/35 (A) 2,519 2,066
Merrill Lynch Mortgage Investors,
Ser 2005-A3, Cl A1
0.659%, 04/25/35 (A) 407 157
Merrill Lynch Mortgage Investors,
Ser 2005-A9, Cl 2A1A
5.149%, 12/25/35 (A) 703 533
Merrill Lynch Mortgage-Backed
Securities Trust, Ser 2007-2, Cl 1A1
5.800%, 08/25/36 (A) 1,544 854
Merrill Lynch Mortgage-Backed
Securities Trust, Ser 2007-3, Cl 2A1
5.651%, 06/25/37 (A) 1,364 933
MLCC Mortgage Investors,
Ser 2004-G, Cl A1
0.669%, 01/25/30 (A) 108 79
MLCC Mortgage Investors,
Ser 2004-HB1, Cl A1
0.749%, 04/25/29 (A) 158 102
MLCC Mortgage Investors,
Ser 2005-A, Cl A1
0.619%, 03/25/30 (A) 131 94
MLCC Mortgage Investors,
Ser 2006-1, Cl 2A1
5.377%, 02/25/36 (A) 779 542
MortgageIT Trust, Ser 2005-2, Cl 1A1
0.649%, 05/25/35 (A) 314 147
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
MortgageIT Trust, Ser 2005-3, Cl A1
0.689%, 08/25/35 (A) $ 995 $ 504
MortgageIT Trust, Ser 2005-4, Cl A1
0.669%, 10/25/35 (A) 1,332 601
MortgageIT Trust, Ser 2005-5, Cl A1
0.649%, 12/25/35 (A) 1,275 597
Paragon Mortgages PLC, Ser 12A,
Cl A2C
2.259%, 11/15/38 (A) (B) 348 216
Paragon Mortgages PLC, Ser 15A,
Cl A2C
2.106%, 12/15/39 (A) (B) 820 511
Permanent Master Issuer PLC,
Ser 2006-1, Cl 2C
1.494%, 07/15/42 (A) 1,200 1,058
Prima, Ser 2006-1, Cl A1
5.417%, 12/28/48 829 448
Puma Finance, Ser S1, Cl A
2.588%, 08/09/35 (A) (B) 216 187
Residential Funding Mortgage
Securities I, Ser 2005-SA5, Cl 2A
5.330%, 11/25/35 (A) 725 569
Residential Funding Mortgage
Securities I, Ser 2007-SA2, Cl 2A2
5.663%, 04/25/37 (A) 995 605
Residential Funding Mortgage
Securities I, Ser 2007-SA2, Cl 2A1
5.678%, 04/25/37 (A) 1,404 784
Residential Funding Mortgage
Securities I, Ser 2007-SA3, Cl 2A1
5.764%, 07/27/37 (A) 1,285 710
RMAC PLC, Ser 2003-NS4A, Cl A2B
2.398%, 03/12/36 (A) (B) 1 1
Sequoia Mortgage Trust,
Ser 2004-12, Cl A1
0.629%, 01/20/35 (A) 130 78
Sequoia Mortgage Trust,
Ser 2005-1, Cl A1
0.589%, 02/20/35 (A) 129 74
WaMu Mortgage Pass-Through
Certificates, Ser 2004-AR5, Cl A6
3.837%, 06/25/34 (A) 1,300 1,288
WaMu Mortgage Pass-Through
Certificates, Ser 2006-AR2, Cl 1A1
5.297%, 03/25/37 (A) 1,748 1,216
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2003-J, Cl 2A4
4.451%, 10/25/33 (A) 168 165
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2004-BB, Cl A2
4.558%, 01/25/35 (A) 941 747
SEI Daily Income Trust / Annual Report / January 31, 2009
27
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund (Continued)
January 31, 2009
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR1,
Cl 2A1
4.489%, 02/25/35 (A) $ 842 $ 689
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 6A3
5.001%, 10/25/35 (A) 2,027 1,550
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR16,
Cl 3A2
4.997%, 10/25/35 (A) 1,303 991
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2005-AR4,
Cl 2A2
4.537%, 04/25/35 (A) 752 624
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR10,
Cl 2A1
5.628%, 07/25/36 (A) 1,526 970
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR12,
Cl 1A1
6.025%, 09/25/36 (A) 1,168 718
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR5,
Cl 2A1
5.545%, 04/25/36 (A) 1,150 690
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR6,
Cl 2A1
5.092%, 03/25/36 (A) 1,420 1,049
Wells Fargo Mortgage-Backed
Securities Trust, Ser 2006-AR8,
Cl 2A1
5.240%, 04/25/36 (A) 1,440 1,037
Westpac Securitisation Trust,
Ser 2005-1G, Cl A1
1.568%, 03/23/36 (A) 260 249
-------------
48,076
-------------
Total Mortgage-Backed Securities
(Cost $81,202) ($ Thousands) 59,652
-------------
CORPORATE OBLIGATIONS -- 22.7%
BANKS (A) -- 3.2%
Comerica Bank
0.404%, 06/19/09 1,200 1,156
0.486%, 05/10/10 1,000 847
PNC Funding
1.805%, 06/22/11 1,180 1,179
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
Wachovia
2.116%, 03/15/11 $ 1,750 $ 1,646
Wachovia Bank
1.537%, 03/23/09 1,000 996
Wells Fargo
4.200%, 01/15/10 800 802
-------------
6,626
-------------
CONSUMER PRODUCTS -- 2.3%
CVS Caremark
2.503%, 06/01/10 (A) 865 825
President and Fellows of
Harvard College
3.700%, 04/01/13 1,325 1,284
Procter & Gamble MTN
2.366%, 03/09/09 (A) 685 684
Whirlpool
2.496%, 06/15/09 (A) 2,000 1,913
-------------
4,706
-------------
FINANCIAL SERVICES -- 6.7%
American Express Credit MTN
1.801%, 05/27/10 (A) 1,750 1,637
Bank of America
7.800%, 02/15/10 594 610
2.100%, 04/30/12 1,500 1,485
Citigroup
2.125%, 04/30/12 600 594
General Electric Capital
1.625%, 01/07/11 1,000 1,001
1.274%, 04/28/11 (A) 1,250 1,146
3.116%, 12/09/11 (A) 2,250 2,302
1.711%, 06/08/12 (A) 1,000 1,000
Metropolitan Life Global Funding I MTN
2.216%, 06/25/10 (A) (B) 2,225 2,011
Pitney Bowes Global Financial
Services LLC
8.550%, 09/15/09 425 439
Principal Life Income Funding Trusts
2.309%, 11/15/10 (A) 750 680
Toyota Motor Credit MTN
2.434%, 01/29/10 (A) 967 967
-------------
13,872
-------------
FOOD, BEVERAGE & TOBACCO -- 1.5%
General Mills
1.253%, 01/22/10 (A) 1,500 1,472
SABMiller PLC
1.735%, 07/01/09 (A) (B) 1,705 1,701
-------------
3,173
-------------
SEI Daily Income Trust / Annual Report / January 31, 2009
28
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
INDUSTRIALS -- 0.2%
Continental Airlines
2.567%, 06/02/13 (A) $ 750 $ 472
-------------
INSURANCE -- 0.9%
MBIA Insurance
14.000%, 01/15/33 (A) (B) 1,000 580
Monumental Global Funding III
1.294%, 01/15/14 (A) (B) 1,900 1,262
-------------
1,842
-------------
INVESTMENT BANKER/BROKER DEALER -- 5.0%
Goldman Sachs Group
1.587%, 06/23/09 (A) 650 643
1.625%, 07/15/11 600 595
3.250%, 06/15/12 2,500 2,566
JPMorgan Chase
2.625%, 12/01/10 1,000 1,020
3.125%, 12/01/11 1,250 1,286
Morgan Stanley
2.900%, 12/01/10 1,200 1,229
2.000%, 09/22/11 1,000 997
3.250%, 12/01/11 1,200 1,238
Morgan Stanley, Ser G
1.698%, 01/09/14 (A) 1,000 726
-------------
10,300
-------------
SECURITY AND COMMODITY BROKERS -- 0.4%
Genworth Global Funding Trusts
2.289%, 05/15/12 (A) 1,200 813
-------------
TELEPHONES & TELECOMMUNICATION -- 1.8%
AT&T
2.959%, 02/05/10 (A) 1,000 980
BellSouth
4.200%, 09/15/09 340 345
Deutsche Telekom International Finance
8.500%, 06/15/10 1,500 1,588
Verizon Wireless Capital LLC
5.250%, 02/01/12 (B) 785 782
-------------
3,695
-------------
UTILITIES (A) -- 0.7%
Dominion Resources
2.921%, 06/17/10 1,640 1,588
-------------
Total Corporate Obligations
(Cost $49,864) ($ Thousands) 47,087
-------------
Face Amount Value
Description ($ Thousands) ($ Thousands)
- ----------- ------------- -------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 13.6%
FHLB
4.500%, 10/09/09 $ 1,100 $ 1,128
FHLB DN (D)
0.878%, 01/21/10 10,000 9,914
FNMA
2.500%, 04/09/10 10,000 10,135
FNMA DN (D)
0.645%, 10/01/09 7,000 6,951
-------------
Total U.S. Government Agency Obligations
(Cost $27,968) ($ Thousands) 28,128
-------------
CERTIFICATE OF DEPOSIT -- 1.5%
DnB Bank
3.060%, 03/05/09 3,000 3,000
-------------
Total Certificate of Deposit
(Cost $3,000) ($ Thousands) 3,000
-------------
REPURCHASE AGREEMENT (E) -- 1.5%
BNP Paribas
0.290%, dated 01/30/09,
to be repurchased on 02/02/09,
repurchase price $ 3,100,075
(collateralized by various
FHLMC/FNMA obligations,
ranging in par value $1,153,284-
$2,274,671, 4.000%-5.500%,
10/01/21-05/01/38, with total
market value $3,162,000) 3,100 3,100
-------------
Total Repurchase Agreement
(Cost $3,100) ($ Thousands) 3,100
-------------
Total Investments -- 101.6%
(Cost $256,387) ($ Thousands) $ 210,399
=============
Futures -- a summary of the open futures contracts held by the Fund at January
31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED
TYPE OF CONTRACTS EXPIRATION APPRECIATION
CONTRACT LONG (SHORT) DATE ($ THOUSANDS)
- -------- ------------ ---------- -------------
U.S. 10-Year Treasury Note (17) Mar-2009 $ 46
U.S. 2-Year Treasury Note 120 Mar-2009 187
U.S. 5-Year Treasury Note (69) Mar-2009 71
U.S. Long Treasury Bond (20) Mar-2009 198
----
$502
====
SEI Daily Income Trust / Annual Report / January 31, 2009
29
SCHEDULE OF INVESTMENTS
Ultra Short Bond Fund (Concluded)
January 31, 2009
Description
- -----------
Percentages are based on Net Assets of $207,081 ($ Thousands).
(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments
is the rate in effect on January 31, 2009. The demand and interest rate
reset features give this security a shorter effective maturity date.
(B) Securities sold within terms of a private placement memorandum, exempt from
registration under Section 144A of the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "accredited
investors." These securities have been determined to be liquid under
guidelines established by the Board of Trustees.
(C) Step Bonds -- The rate reflected on the Schedule of Investments is the
effective yield on January 31, 2009. The coupon on a step bond changes on a
specific date.
(D) Zero coupon security. The rate reported is the effective yield at time of
purchase.
(E) Tri-Party Repurchase Agreement
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 / Annual Report / January 31, 2009
30
This page intentionally left blank.
Statements of Assets and Liabilities ($ Thousands)
For the year ended January 31, 2009
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
--------------- ----------------- ----------------- ----------------
ASSETS:
Investments, at value+ $ 594,634 $ 2,076,218 $ 2,322,329 $ 4,037,761
Affiliated Investments, at value+ -- -- -- 150,858
Repurchase agreements+ 98,310 348,334 -- 536,098
Cash 24 1 -- --
Receivable for investment securities sold -- -- -- --
Interest receivable 712 1,745 2,883 3,848
Receivable for fund shares sold -- -- -- --
Receivable for variation margin -- -- -- --
Prepaid expenses 112 231 197 676
-------------- ---------------- ---------------- ----------------
Total Assets 693,792 2,426,529 2,325,409 4,729,241
-------------- ---------------- ---------------- ----------------
LIABILITIES:
Payable for investment securities purchased 4,000 76,723 -- --
Income distribution payable 368 487 902 1,866
Payable for fund shares redeemed -- -- -- --
Payable for variation margin -- -- -- --
Shareholder servicing fees payable 153 253 70 330
Administration fees payable 89 310 278 708
Investment advisory fees payable 13 44 42 95
Chief Compliance Officer fees payable 1 2 2 6
Trustees' fees payable -- 1 1 4
Accrued expense payable 27 94 85 196
-------------- ---------------- ---------------- ----------------
Total Liabilities 4,651 77,914 1,380 3,205
-------------- ---------------- ---------------- ----------------
Net Assets $ 689,141 $ 2,348,615 $ 2,324,029 $ 4,726,036
-------------- ---------------- ---------------- ----------------
+ Cost of investments and repurchase agreements 692,944 2,424,552 2,322,329 4,666,353
NET ASSETS:
Paid-in Capital -- (unlimited authorization --
no par value) $ 689,210 $ 2,348,706 $ 2,324,044 $ 4,727,291
Distributions in excess of net investment income (46) -- -- (902)
Accumulated net realized gain (loss) on investments
and futures contracts (23) (91) (15) (58,717)
Net unrealized appreciation (depreciation)
on investments -- -- -- (92,494)
Net unrealized appreciation on affiliated investment -- -- -- 150,858
Net unrealized appreciation (depreciation)
on futures contracts -- -- -- --
-------------- ---------------- ---------------- ----------------
Net Assets $ 689,141 $ 2,348,615 $ 2,324,029 $ 4,726,036
-------------- ---------------- ---------------- ----------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $1.00 $1.00 $1.00 $1.00
($341,204,415/ ($1,526,541,443/ ($2,050,235,159/ ($3,796,101,512/
341,272,737 1,526,587,739 2,050,315,943 3,797,580,329
shares) shares) shares) shares)(1)
-------------- ---------------- ---------------- ----------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class B $1.00 $1.00 $1.00 $1.00
($120,924,545/ ($623,905,451/ ($242,332,025/ ($346,741,398/
120,941,510 623,926,476 242,366,274 346,736,217
shares) shares) shares) shares)(1)
-------------- ---------------- ---------------- ----------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class C $1.00 $1.00 $1.00 $1.00
($158,833,285/ ($153,014,750/ ($31,461,497/ ($467,782,045/
158,860,600 153,040,075 31,460,867 467,534,206
shares) shares) shares) shares)(1)
-------------- ---------------- ---------------- ----------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class H N/A N/A N/A $1.00
($58,275,444/
58,267,293
shares)(1)
-------------- ---------------- ---------------- ----------------
Net Asset Value, Offering and Redemption
Price Per Share -- Sweep Class $1.00 $1.00 N/A $1.00
($68,178,592/ ($45,153,519/ -- ($57,135,414/
68,156,435 45,157,516 -- 57,173,124
shares) 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 / Annual Report / January 31, 2009
32
INTERMEDIATE-
SHORT-DURATION DURATION ULTRA
TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA SHORT BOND
FUND FUND FUND FUND FUND FUND
- --------------- --------------- --------------- -------------- --------------- ---------------
$ 359,018 $ 1,065,460 $ 281,336 $ 91,611 $ 157,738 $ 207,299
-- -- -- -- -- --
980,693 -- 3,700 4,600 38,800 3,100
-- -- 2,105 520 738 429
-- -- 25,030 11,405 55,719 14
19 -- 1,216 383 611 732
-- -- 522 126 1,399 488
-- -- 13 3 15 16
198 90 4 2 3 10
- -------------- -------------- -------------- ------------- -------------- --------------
1,339,928 1,065,550 313,926 108,650 255,023 212,088
- -------------- -------------- -------------- ------------- -------------- --------------
-- -- 24,968 16,279 93,956 4,260
67 22 110 75 172 49
-- -- 647 194 145 609
-- -- 13 34 17 8
-- -- -- -- 33 --
101 49 80 27 31 39
26 20 20 8 13 9
2 1 -- -- -- --
1 1 -- -- -- --
49 42 24 8 17 33
- -------------- -------------- -------------- ------------- -------------- --------------
246 135 25,862 16,625 94,384 5,007
- -------------- -------------- -------------- ------------- -------------- --------------
$ 1,339,682 $ 1,065,415 $ 288,064 $ 92,025 $ 160,639 $ 207,081
- -------------- -------------- -------------- ------------- -------------- --------------
1,339,711 1,065,460 282,533 94,995 193,532 256,387
$ 1,339,775 $ 1,065,432 $ 289,508 $ 90,404 $ 167,708 $ 259,266
-- -- -- (2) (9) (4)
(93) (17) (3,772) 4 (9,987) (6,695)
-- -- 2,503 1,216 3,006 (45,988)
-- -- -- -- -- --
-- -- (175) 403 (79) 502
- -------------- -------------- -------------- ------------- -------------- --------------
$ 1,339,682 $ 1,065,415 $ 288,064 $ 92,025 $ 160,639 $ 207,081
- -------------- -------------- -------------- ------------- -------------- --------------
$1.00 $1.00 $10.25 $11.20 $9.84 $8.51
($572,906,502/ ($688,813,304/ ($288,064,481/ ($92,025,413/ ($160,639,443/ ($207,080,840/
572,943,589 688,982,723 28,098,855 8,215,618 16,332,047 24,346,980
shares) shares) shares) shares) shares) shares)
- -------------- -------------- -------------- ------------- -------------- --------------
$1.00 $1.00 N/A N/A N/A N/A
($487,253,553/ ($363,237,583/
487,289,489 363,229,555
shares) shares)
- -------------- -------------- -------------- ------------- -------------- --------------
$1.00 $1.00 N/A N/A N/A N/A
($72,803,319/ ($13,363,759/
72,817,252 13,366,705
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
($206,718,629/
206,724,623
shares)
- -------------- -------------- -------------- ------------- -------------- --------------
SEI Daily Income Trust / Annual Report / January 31, 2009
33
Statements of Operations ($ Thousands)
For the year ended January 31, 2009
MONEY PRIME
MARKET GOVERNMENT GOVERNMENT II OBLIGATION
FUND FUND FUND FUND
-------- ---------- ------------- ----------
INVESTMENT INCOME:
Interest Income $22,630 $40,690 $36,874 $137,207
------- ------- ------- --------
EXPENSES:
Administration Fees 2,777 4,335 3,151 9,822
Shareholder Servicing Fees -- Class A Shares 932 3,015 3,511 10,380
Shareholder Servicing Fees -- Sweep Class Shares 278 179 -- 49
Distribution Fees -- Sweep Class Shares 555 90 -- 261
Administrative & Shareholder Servicing Fees --
Class B Shares 421 1,228 635 1,066
Administrative & Shareholder Servicing Fees --
Class C Shares 1,088 769 203 2,688
Administrative & Shareholder Servicing Fees --
Class H Shares -- -- -- 391
Investment Advisory Fees 189 404 372 1,158
Trustees' Fees 13 24 23 74
Chief Compliance Officer Fees 3 8 8 22
Treasury Expense 177 281 230 809
Registration Fees 60 89 82 305
Custodian/Wire Agent Fees 23 52 55 144
Pricing Fees -- 2 2 --
Other Expenses 70 130 133 416
------- ------- ------- --------
Total Expenses 6,586 10,606 8,405 27,585
------- ------- ------- --------
Less, Waiver of:
Investment Advisory Fees -- -- -- --
Administration fees (1,621) (1,432) (509) (1,612)
Shareholder Servicing Fees -- Class A Shares (932) (3,015) (3,511) (10,380)
Administrative & Shareholder Servicing Fees --
Class B Shares -- -- -- --
Administrative & Shareholder Servicing Fees --
Class C Shares -- -- (3) --
Distribution Fees -- Sweep Class Shares -- (3) -- (6)
------- ------- ------- --------
Net Expenses 4,033 6,156 4,382 15,587
------- ------- ------- --------
NET INVESTMENT INCOME 18,597 34,534 32,492 121,620
------- ------- ------- --------
NET REALIZED GAIN (LOSS) ON/FROM:
Investments (6,625) 9 16 (64,872)
Payment by Affiliate* 6,574 -- -- --
Futures Contracts -- -- -- --
Swap Contracts -- -- -- --
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON/FROM:
Investments 2,861 -- -- (47,935)
Affiliated investment -- -- -- 120,779
Futures Contracts -- -- -- --
------- ------- ------- --------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $21,407 $34,543 $32,508 $129,592
------- ------- ------- --------
*See Note 3 in 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 / Annual Report / January 31, 2009
34
SHORT-DURATION INTERMEDIATE-DURATION ULTRA
TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA SHORT BOND
FUND FUND FUND FUND FUND FUND
- -------- ----------- -------------- --------------------- ------ ----------
$20,172 $ 8,869 $ 7,630 $2,713 $6,265 $ 13,222
- ------- ------- ------- ------ ------ --------
3,394 2,047 667 237 425 1,195
1,578 1,521 476 169 332 853
383 -- -- -- -- --
765 -- -- -- -- --
1,596 695 -- -- -- --
490 60 -- -- -- --
-- -- -- -- -- --
317 191 190 68 133 341
21 10 2 1 2 6
6 4 1 -- 1 1
239 106 -- -- -- --
79 33 9 3 8 21
39 24 6 2 4 10
1 1 45 17 32 109
101 55 14 5 12 22
- ------- ------- ------- ------ ------ --------
9,009 4,747 1,410 502 949 2,558
- ------- ------- ------- ------ ------ --------
-- -- (21) -- -- (120)
(1,534) (765) (3) -- (113) (295)
(1,578) (1,521) (476) (145) -- (853)
(483) (248) -- -- -- --
(154) (27) -- -- -- --
(496) -- -- -- -- --
- ------- ------- ------- ------ ------ --------
4,764 2,186 910 357 836 1,290
- ------- ------- ------- ------ ------ --------
15,408 6,683 6,720 2,356 5,429 11,932
- ------- ------- ------- ------ ------ --------
-- 14 7,319 2,085 1,510 (1,252)
-- -- -- -- -- --
-- -- (4,228) 796 191 (495)
-- -- -- -- -- 760
-- -- 1,385 395 879 (39,525)
-- -- -- -- -- --
-- -- (1,430) (204) (69) (270)
- ------- ------- ------- ------ ------ --------
$15,408 $ 6,697 $ 9,766 $5,428 $7,940 $(28,850)
- ------- ------- ------- ------ ------ --------
SEI Daily Income Trust / Annual Report / January 31, 2009
35
Statements of Changes in Net Assets ($ Thousands)
For the years ended January 31,
MONEY MARKET GOVERNMENT
FUND FUND
------------------------- -------------------------
2009 2008 2009 2008
----------- ----------- ----------- -----------
OPERATIONS:
Net Investment Income $ 18,597 $ 56,480 $ 34,534 $ 48,797
Net Realized Gain (Loss) on Investments (6,625) 4 9 (21)
Payment by Affiliate* 6,574 -- -- --
Net Change in Unrealized Appreciation (Depreciation)
on Investments and Affiliated Investment 2,861 (2,861) -- --
----------- ----------- ----------- -----------
Net Increase in Net Assets Resulting from Operations 21,407 53,623 34,543 48,776
----------- ----------- ----------- -----------
DIVIDENDS TO SHAREHOLDERS:
NET INVESTMENT INCOME
Class A (9,185) (30,293) (24,900) (33,800)
Class B (3,068) (8,720) (6,616) (7,320)
Class C (4,369) (12,366) (2,538) (6,715)
Class H -- -- -- --
Sweep Class (1,984) (5,109) (480) (963)
----------- ----------- ----------- -----------
Total Dividends (18,606) (56,488) (34,534) (48,798)
----------- ----------- ----------- -----------
CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE):
CLASS A:
Proceeds from Shares Issued 1,901,662 3,297,445 5,981,532 4,429,982
Reinvestment of Dividends & Distributions 5,470 16,793 16,138 20,018
Cost of Shares Redeemed (1,968,247) (3,535,185) (5,502,747) (3,926,107)
----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets from Class A Transactions (61,115) (220,947) 494,923 523,893
----------- ----------- ----------- -----------
CLASS B:
Proceeds from Shares Issued 674,343 948,867 1,940,587 1,511,639
Reinvestment of Dividends & Distributions 315 1,740 4,761 3,546
Cost of Shares Redeemed (720,832) (931,535) (1,519,037) (1,440,263)
----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets from Class B Transactions (46,174) 19,072 426,311 74,922
----------- ----------- ----------- -----------
CLASS C:
Proceeds from Shares Issued 960,510 1,169,740 559,348 765,159
Reinvestment of Dividends & Distributions 166 555 -- --
Cost of Shares Redeemed (1,062,248) (1,153,822) (560,578) (748,287)
----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets from Class C Transactions (101,572) 16,473 (1,230) 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 (Decrease) in Net Assets from Class H Transactions N/A N/A N/A N/A
----------- ----------- ----------- -----------
SWEEP CLASS:
Proceeds from Shares Issued 533,994 658,307 429,120 335,540
Reinvestment of Dividends & Distributions -- -- 43 52
Cost of Shares Redeemed (599,457) (615,774) (412,243) (322,436)
----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets from Sweep Class Transactions (65,463) 42,533 16,920 13,156
----------- ----------- ----------- -----------
Increase (Decrease) in Net Assets from Capital Share Transactions (274,324) (142,869) 936,924 628,843
----------- ----------- ----------- -----------
Total Increase (Decrease) in Net Assets (271,523) (145,734) 936,933 628,821
----------- ----------- ----------- -----------
NET ASSETS:
BEGINNING OF YEAR 960,664 1,106,398 1,411,682 782,861
----------- ----------- ----------- -----------
END OF YEAR $ 689,141 $ 960,664 $ 2,348,615 $ 1,411,682
----------- ----------- ----------- -----------
Distributions in Excess of Net Investment Income $ (46) $ -- $ -- $ --
----------- ----------- ----------- -----------
*See Note 3 in Notes to Financial Statements.
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 / Annual Report / January 31, 2009
36
GOVERNMENT II PRIME OBLIGATION TREASURY TREASURY II
FUND FUND FUND FUND
- ------------------------- --------------------------- -------------------------- -------------------------
2009 2008 2009 2008 2009 2008 2009 2008
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
$ 32,492 $ 43,747 $ 121,620 $ 277,585 $ 15,408 $ 48,447 $ 6,683 $ 10,234
16 (1) (64,872) 72 -- -- 14 (4)
-- -- -- -- -- -- -- --
-- -- 72,844 (14,480) -- -- -- --
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
32,508 43,746 129,592 263,177 15,408 48,447 6,697 10,230
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
(28,023) (36,536) (96,337) (204,056) (7,469) (17,880) (5,274) (7,673)
(3,807) (6,641) (7,370) (30,210) (5,961) (19,393) (1,349) (2,373)
(662) (570) (10,268) (37,386) (960) (5,680) (60) (188)
-- -- (1,431) (3,196) -- -- -- --
-- -- (837) (2,756) (1,018) (5,494) -- --
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
(32,492) (43,747) (116,243) (277,604) (15,408) (48,447) (6,683) (10,234)
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
4,216,167 2,877,203 20,904,381 36,454,577 19,984,359 4,357,178 2,788,233 2,556,258
2,310 4,126 23,064 42,778 2,558 2,340 1,600 1,607
(3,522,616) (2,207,185) (20,881,600) (36,127,886) (20,024,455) (4,036,663) (2,617,194) (2,223,661)
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
695,861 674,144 45,845 369,469 (37,538) 322,855 172,639 334,204
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
889,367 510,735 2,111,294 4,235,534 2,538,926 2,424,394 1,055,747 604,452
1,367 665 2,778 12,453 2,858 6,568 471 239
(799,304) (501,430) (2,244,412) (4,486,791) (2,816,033) (2,028,554) (802,368) (547,295)
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
91,430 9,970 (130,340) (238,804) (274,249) 402,408 253,850 57,396
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
121,329 86,737 3,319,590 5,373,977 977,573 962,801 161,148 53,492
-- -- 3,901 9,987 24 94 4 39
(133,406) (47,289) (3,499,746) (5,521,087) (1,049,713) (918,903) (155,042) (66,552)
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
(12,077) 39,448 (176,255) (137,123) (72,116) 43,992 6,110 (13,021)
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
N/A N/A 143,780 176,273 N/A N/A N/A N/A
N/A N/A 1,431 3,196 N/A N/A N/A N/A
N/A N/A (168,137) (163,790) N/A N/A N/A N/A
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
N/A N/A (22,926) 15,679 N/A N/A N/A N/A
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
N/A N/A 412,431 558,435 811,013 740,584 N/A N/A
N/A N/A 214 509 -- -- N/A N/A
N/A N/A (412,009) (550,395) (716,148) (725,736) N/A N/A
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
N/A N/A 636 8,549 94,865 14,848 N/A N/A
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
775,214 723,562 (283,040) 17,770 (289,038) 784,103 432,599 378,579
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
775,230 723,561 (269,691) 3,343 (289,038) 784,103 432,613 378,575
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
1,548,799 825,238 4,995,727 4,992,384 1,628,720 844,617 632,802 254,227
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
$ 2,324,029 $ 1,548,799 $ 4,726,036 $ 4,995,727 $ 1,339,682 $ 1,628,720 $ 1,065,415 $ 632,802
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
$ -- $ -- $ (902) $ -- $ -- $ -- $ -- $ --
- ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
SEI Daily Income Trust / Annual Report / January 31, 2009
37
Statements of Changes in Net Assets ($ Thousands)
For the years ended January 31,
SHORT-DURATION
GOVERNMENT FUND
--------------------
2009 2008
--------- --------
OPERATIONS:
Net Investment Income $ 6,720 $ 5,474
Net Realized Gain (Loss) on Investments and Futures Contracts 3,091 1,040
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts (45) 2,869
--------- --------
Net Increase (Decrease) in Net Assets Resulting from Operations 9,766 9,383
--------- --------
DIVIDENDS TO SHAREHOLDERS:
Net Investment Income (6,868) (5,655)
--------- --------
Total Dividends (6,868) (5,655)
--------- --------
CAPITAL SHARE TRANSACTIONS:
CLASS A:
Proceeds from Shares Issued 314,910 96,648
Reinvestment of Dividends & Distributions 5,581 3,913
Cost of Shares Redeemed (208,217) (46,859)
--------- --------
Increase (Decrease) in Net Assets from Class A Transactions 112,274 53,702
--------- --------
Net Increase (Decrease) in Net Assets 115,172 57,430
--------- --------
NET ASSETS:
BEGINNING OF YEAR 172,892 115,462
--------- --------
END OF YEAR $ 288,064 $172,892
--------- --------
Undistributed (Distributions in Excess of) Net Investment Income $ -- $ 5
--------- --------
SHARE TRANSACTIONS:
CLASS A:
Shares Issued 31,072 9,620
Reinvestment of Distributions 548 391
Shares Redeemed (20,447) (4,684)
--------- --------
Net Increase (Decrease) in Shares Outstanding from Share Transactions 11,173 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 / Annual Report / January 31, 2009
38
INTERMEDIATE-DURATION GNMA ULTRA SHORT
GOVERNMENT FUND FUND BOND FUND
- --------------------- --------------------- ---------------------
2009 2008 2009 2008 2009 2008
- -------- ---------- --------- --------- --------- ---------
$ 2,356 $ 1,566 $ 5,429 $ 6,565 $ 11,932 $ 13,149
2,881 865 1,701 (21) (987) (1,100)
191 1,693 810 3,808 (39,795) (5,293)
- -------- ---------- --------- --------- --------- ---------
5,428 4,124 7,940 10,352 (28,850) 6,756
- -------- ---------- --------- --------- --------- ---------
(2,389) (1,582) (5,478) (6,742) (11,795) (13,045)
- -------- ---------- --------- --------- --------- ---------
(2,389) (1,582) (5,478) (6,742) (11,795) (13,045)
- -------- ---------- --------- --------- --------- ---------
108,145 28,014 181,448 23,497 304,138 300,337
2,060 1,197 3,048 2,369 11,302 11,765
(71,591) (28,016) (141,143) (58,363) (477,077) (135,270)
- -------- ---------- --------- --------- --------- ---------
38,614 1,195 43,353 (32,497) (161,637) 176,832
- -------- ---------- --------- --------- --------- ---------
41,653 3,737 45,815 (28,887) (202,282) 170,543
- -------- ---------- --------- --------- --------- ---------
50,372 46,635 114,824 143,711 409,363 238,820
- -------- ---------- --------- --------- --------- ---------
$ 92,025 $ 50,372 $ 160,639 $114,824 $ 207,081 $ 409,363
- -------- ---------- --------- --------- --------- ---------
$ (2) $ (5) $ (9) $ (29) $ (4) $ --
- -------- ---------- --------- --------- --------- ---------
9,983 2,704 18,854 2,490 32,955 30,805
190 116 317 252 1,227 1,195
(6,640) (2,741) (14,766) (6,207) (52,091) (13,707)
- -------- ---------- --------- --------- --------- ---------
3,533 79 4,405 (3,465) (17,909) 18,293
- -------- ---------- --------- --------- --------- ---------
SEI Daily Income Trust / Annual Report / January 31, 2009
39
Financial Highlights
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) Payment Total from Net Dividends
Beginning Investment on by from Investment and
of Year Income(1) Securities Affiliate Operations Income Distributions
--------- ---------- ---------- --------- ---------- ---------- -------------
MONEY MARKET FUND
CLASS A
2009 $1.00 $0.02 $(0.01) $0.01 $0.02 $(0.02) $(0.02)
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)
CLASS B
2009 $1.00 $0.02 $(0.01) $0.01 $0.02 $(0.02) $(0.02)
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)
CLASS C
2009 $1.00 $0.02 $(0.01) $0.01 $0.02 $(0.02) $(0.02)
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)
SWEEP CLASS
2009 $1.00 $0.02 $(0.01) $0.01 $0.02 $(0.02) $(0.02)
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)
GOVERNMENT FUND
CLASS A
2009 $1.00 $0.02 $ -- $ -- $0.02 $(0.02) $(0.02)
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)
CLASS B
2009 $1.00 $0.02 $ -- $ -- $0.02 $(0.02) $(0.02)
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)
CLASS C
2009 $1.00 $0.02 $ -- $ -- $0.02 $(0.02) $(0.02)
2008 1.00 0.04 -- -- 0.04 (0.04) (0.04)
2007 1.00 0.04 -- -- 0.04 (0.04) (0.04)
2006 1.00 0.03 -- -- 0.03 (0.03) (0.03)
2005 1.00 0.01 -- -- 0.01 (0.01) (0.01)
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Asset Net Assets Expenses Net Assets Income
Value, End Total End of Year to Average (Excluding to Average
of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets
---------- ------- ------------- ---------- ----------- ------------
MONEY MARKET FUND
CLASS A
2009 $1.00 2.45%++ $ 341,204 0.20%* 0.64% 2.46%
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
CLASS B
2009 $1.00 2.15%++ $ 120,925 0.50%* 0.70% 2.19%
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
CLASS C
2009 $1.00 1.94%++ $ 158,833 0.70%* 0.89% 2.00%
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
SWEEP CLASS
2009 $1.00 1.69%++ $ 68,179 0.95%* 1.14% 1.79%
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
GOVERNMENT FUND
CLASS A
2009 $1.00 2.15% $1,526,541 0.22%* 0.54% 2.06%
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
CLASS B
2009 $1.00 1.84% $ 623,905 0.52%* 0.60% 1.62%
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
CLASS C
2009 $1.00 1.64% $ 153,015 0.71%*(2) 0.79% 1.65%
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
SEI Daily Income Trust / Annual Report / January 31, 2009
40
Net
Realized
and
Unrealized
Net Asset Gains Dividends Total
Value, Net (Losses) Total from Net Dividends Net Asset
Beginning Investment on from Investment and Value, End
of Year Income(1) Securities Operations Income Distributions of Year
--------- ---------- ---------- ---------- ---------- ------------- ----------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00
2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
2006 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
GOVERNMENT II FUND
CLASS A
2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00
2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
CLASS B
2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00
2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
CLASS C
2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00
2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
PRIME OBLIGATION FUND
CLASS A
2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00
2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
Total End of Year to Average (Excluding to Average
Return+ ($ Thousands) Net Assets Waivers) Net Assets
------- ------------- ---------- ----------- ------------
GOVERNMENT FUND (CONTINUED)
SWEEP CLASS
2009 1.39% $ 45,154 0.96%*(2) 1.04% 1.34%
2008 4.20 28,233 0.95 1.03 4.06
2007 4.19 15,077 0.95 1.04 4.07
2006 2.44 26,361 0.95 1.03 2.43
2005 0.55 27,841 0.95 1.03 0.51
GOVERNMENT II FUND
CLASS A
2009 2.10% $2,050,235 0.21%* 0.50% 1.99%
2008 4.97 1,354,361 0.20 0.48 4.81
2007 4.96 680,219 0.20 0.49 4.86
2006 3.18 576,242 0.20 0.48 3.18
2005 1.27 515,216 0.20 0.48 1.25
CLASS B
2009 1.79% $ 242,332 0.51%* 0.54% 1.80%
2008 4.66 150,900 0.50 0.53 4.53
2007 4.64 140,930 0.50 0.54 4.56
2006 2.87 168,616 0.50 0.53 2.80
2005 0.97 160,509 0.50 0.53 0.92
CLASS C
2009 1.60% $ 31,462 0.70%*(2) 0.74% 1.63%
2008 4.45 43,538 0.70 0.73 4.05
2007 4.44 4,089 0.70 0.74 4.38
2006 2.67 4,457 0.70 0.73 2.39
2005 0.76 18,637 0.70 0.73 0.71
PRIME OBLIGATION FUND
CLASS A
2009 2.37% $3,796,102 0.22%* 0.50% 2.42%
2008 5.21 3,740,714 0.20 0.48 5.10
2007 5.06 3,382,051 0.20 0.49 4.96
2006 3.28 2,957,074 0.20 0.48 3.26
2005 1.34 2,972,833 0.20 0.48 1.31
Amounts designated as "--" are $0 or have been rounded to $0.
* The expense ratio includes the Treasury Guarantee Program expense. Had the
expense been excluded, the expense ratio would have been equal to, or less
than, the expense ratio cap figure. See Note 3 for expense ratio cap
figure.
+ 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.
++ The total return includes payment by affiliate. Had the payment been
excluded the total return would have been 1.61%, 1.31%, 1.11% and 0.86% for
Class A, Class B, Class C and Sweep Class, respectively. See Note 3 in
Notes to Financial Statements.
(1) Per share calculations were performed using average shares.
(2) The Distributor has voluntarily agreed to waive and reduce its fee and/or
reimburse certain expenses of the Fund in order to limit the one-day net
income yield of the Fund to not less than 0.01% of the Fund's average daily
net assets of the share class. Had these waivers and the Treasury Guarantee
Program expense been excluded the ratio would have been at the expense
ratio cap figure. See Note 3 for expense ratio cap figure.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Annual Report / January 31, 2009
41
Financial Highlights
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 Net Asset
Beginning Investment on from Investment and Value, End
of Year Income(1) Securities Operations Income Distributions of Year
--------- ---------- ---------- ---------- ---------- ------------- ----------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00
2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
CLASS C
2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00
2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
CLASS H
2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00
2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
SWEEP CLASS
2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00
2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
TREASURY FUND
CLASS A
2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00
2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
CLASS B
2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00
2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
CLASS C
2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00
2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00
Ratio of
Expenses Ratio of Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income
Total End of Year to Average (Excluding to Average
Return+ ($ Thousands) Net Assets Waivers) Net Assets
------- ------------- ---------- ----------- ------------
PRIME OBLIGATION FUND (CONTINUED)
CLASS B
2009 2.06% $346,741 0.51%* 0.55% 2.17%
2008 4.90 475,700 0.50 0.53 4.82
2007 4.74 715,879 0.50 0.54 4.65
2006 2.98 625,831 0.50 0.53 2.88
2005 1.03 663,635 0.50 0.53 1.05
CLASS C
2009 1.86% $467,782 0.71%* 0.75% 2.04%
2008 4.69 641,977 0.70 0.73 4.60
2007 4.53 780,951 0.70 0.74 4.45
2006 2.77 779,625 0.70 0.73 2.76
2005 0.83 730,310 0.70 0.73 0.82
CLASS H
2009 1.93% $ 58,276 0.64%* 0.67% 2.11%
2008 4.76 80,958 0.63 0.66 4.65
2007 4.61 65,512 0.63 0.67 4.55
2006 2.84 36,006 0.63 0.66 2.81
2005 0.90 41,221 0.63 0.66 0.90
SWEEP CLASS
2009 1.62% $ 57,135 0.95%*(3) 1.00% 1.54%
2008 4.43 56,378 0.95 0.98 4.34
2007 4.27 47,991 0.95 0.99 4.20
2006 2.51 45,130 0.95 0.98 2.53
2005 0.58 32,908 0.95 0.98 0.58
TREASURY FUND
CLASS A
2009 1.27% $572,906 0.19%* 0.55% 1.18%
2008 4.64 610,451 0.20 0.53 4.36
2007 4.95 287,595 0.20 0.54 4.87
2006 3.13 208,097 0.20 0.53 3.05
2005 1.22 292,974 0.20 0.53 1.21
CLASS B
2009 1.06% $487,254 0.40%*(3) 0.59% 1.12%
2008 4.33 761,497 0.50 0.58 4.07
2007 4.64 359,090 0.50 0.59 4.58
2006 2.82 239,461 0.50 0.58 2.81
2005 0.91 206,698 0.50 0.58 0.85
CLASS C
2009 0.93% $ 72,803 0.53%*(3) 0.80% 0.98%
2008 4.12 144,919 0.70 0.78 4.00
2007 4.43 100,928 0.70 0.79 4.34
2006 2.62 113,403 0.70 0.78 2.70
2005 0.71 68,932 0.70 0.78 0.66
SEI Daily Income Trust / Annual Report / January 31, 2009
42
Net
Realized
and Net
Net Asset Unrealized Dividends Total Asset
Value, Net Gains Total from Net Dividends Value, Net Assets
Beginning Investment (Losses) on from Investment and End of Total End of Year
of Year Income(1) Securities Operations Income Distributions Year Return+ ($ Thousands)
--------- ---------- ----------- ---------- ---------- ------------- ------ ------- -------------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00 0.77% $206,719
2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.86 111,853
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.17 97,004
2006 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2.36 83,570
2005 1.00 -- -- -- --(2) --(2) 1.00 0.49 95,407
TREASURY II FUND
CLASS A
2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00 1.05% $688,813
2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.11 516,164
2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.62 181,976
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.85 178,480
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.09 263,727
CLASS B
2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00 0.82% $363,238
2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.81 109,384
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.31 51,984
2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.54 70,593
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.79 78,781
CLASS C
2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00 0.69% $ 13,364
2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.59 7,254
2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.10 20,267
2006 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2.33 2,602
2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.59 31,370
Ratio of Ratio of
Expenses Net
Ratio of to Average Investment
Expenses Net Assets Income to
to Average (Excluding Average Net
Net Assets Waivers) Assets
---------- ---------- -----------
TREASURY FUND (CONTINUED)
SWEEP CLASS
2009 0.61%*(3) 1.05% 0.67%
2008 0.95 1.03 3.74
2007 0.95 1.04 4.11
2006 0.95 1.03 2.35
2005 0.93 1.03 0.49
TREASURY II FUND
CLASS A
2009 0.20%* 0.54% 0.87%
2008 0.21 0.53 3.72
2007 0.25 0.53 4.50
2006 0.25 0.53 2.78
2005 0.25 0.53 1.08
CLASS B
2009 0.39%*(3) 0.59% 0.58%
2008 0.51 0.58 3.54
2007 0.55 0.58 4.18
2006 0.55 0.58 2.50
2005 0.55 0.58 0.70
CLASS C
2009 0.47%*(3) 0.79% 0.50%
2008 0.72 0.79 3.71
2007 0.75 0.78 4.04
2006 0.75 0.78 2.03
2005 0.75 0.78 0.54
Amounts designated as "--" are $0 or have been rounded to $0.
* The expense ratio includes the Treasury Guarantee Program expense. Had the
expense been excluded, the expense ratio would have been equal to, or less
than, the expense ratio cap figure. See Note 3 for expense ratio cap
figure.
+ 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 Fund in order to limit the one-day net
income yield of the Fund to not less than 0.01% of the Fund's average daily
net assets of the share class. Had these waivers and the Treasury Guarantee
Program expense been excluded the ratio would have been at the expense
ratio cap figure. See Note 3 for expense ratio cap figure.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Annual Report / January 31, 2009
43
Financial Highlights
For the years ended January 31,
For a Share Outstanding Throughout the Years
Net
Realized
and Distributions Net
Net Asset Unrealized Dividends from Total Asset
Value, Net Gains Total from Net Realized Dividends Value,
Beginning Investment (Losses) on from Investment Capital and End
of Year Income(1) Securities Operations Income Gains Distributions of Year
--------- ---------- ----------- ---------- ---------- ------------- ------------- -------
SHORT-DURATION GOVERNMENT
FUND
CLASS A
2009 $10.21 $0.36 $ 0.04 $ 0.40 $(0.36) $ -- $(0.36) $10.25
2008 9.95 0.46 0.28 0.74 (0.48) -- (0.48) 10.21
2007 10.02 0.42 (0.04) 0.38 (0.45) -- (0.45) 9.95
2006 10.19 0.32 (0.13) 0.19 (0.36) -- (0.36) 10.02
2005 10.35 0.22 (0.12) 0.10 (0.26) -- (0.26) 10.19
INTERMEDIATE-DURATION
GOVERNMENT FUND
CLASS A
2009 $10.76 $0.38 $ 0.44 $ 0.82 $(0.38) $ -- $(0.38) $11.20
2008 10.13 0.45 0.63 1.08 (0.45) -- (0.45) 10.76
2007 10.21 0.42 (0.06) 0.36 (0.44) -- (0.44) 10.13
2006 10.50 0.36 (0.26) 0.10 (0.39) -- (0.39) 10.21
2005 10.64 0.31 (0.11) 0.20 (0.33) (0.01) (0.34) 10.50
GNMA FUND
CLASS A
2009 $ 9.63 $0.40 $ 0.21 $ 0.61 $(0.40) $ -- $(0.40) $ 9.84
2008 9.34 0.45 0.30 0.75 (0.46) -- (0.46) 9.63
2007 9.48 0.44 (0.11) 0.33 (0.47) -- (0.47) 9.34
2006 9.71 0.41 (0.16) 0.25 (0.48) -- (0.48) 9.48
2005 9.86 0.39 (0.04) 0.35 (0.50) -- (0.50) 9.71
ULTRA SHORT BOND FUND
CLASS A
2009 $ 9.69 $0.32 $(1.18) $(0.86) $(0.32) $ -- $(0.32) $ 8.51
2008 9.97 0.48 (0.28) 0.20 (0.48) -- (0.48) 9.69
2007 9.95 0.45 0.03 0.48 (0.46) -- (0.46) 9.97
2006++ 10.00 0.32 (0.04) 0.28 (0.33) -- (0.33) 9.95
2005++ 10.10 0.20 (0.10) 0.10 (0.20) -- (0.20) 10.00
Ratio of Ratio of
Expenses Net
Ratio of to Average Investment
Net Assets Expenses Net Assets Income Portfolio
Total End of Year to Average (Excluding to Average Turnover
Return+ ($ Thousands) Net Assets Waivers) Net Assets Rate
------- ------------- ---------- ---------- ---------- ---------
SHORT-DURATION GOVERNMENT
FUND
CLASS A
2009 4.05% $288,064 0.48% 0.74% 3.53% 693%
2008 7.65 172,892 0.45 0.76 4.63 266
2007 3.84 115,462 0.45 0.78 4.19 210
2006 1.93 155,512 0.45 0.75 3.15 162
2005 0.96 202,035 0.45 0.74 2.12 66
INTERMEDIATE-DURATION
GOVERNMENT FUND
CLASS A
2009 7.85% $ 92,025 0.53% 0.74% 3.48% 641%
2008 10.97 50,372 0.50 0.75 4.34 234
2007 3.64 46,635 0.50 0.78 4.17 200
2006 0.94 85,873 0.50 0.73 3.46 151
2005 1.85 109,394 0.50 0.73 2.92 80
GNMA FUND
CLASS A
2009 6.51% $160,639 0.63% 0.71% 4.08% 474%
2008 8.31 114,824 0.60 0.72 4.82 271
2007 3.65 143,711 0.60 0.74 4.72 105
2006 2.60 166,324 0.60 0.71 4.26 97
2005 3.64 171,139 0.60 0.71 3.97 85
ULTRA SHORT BOND FUND
CLASS A
2009 (9.00)% $207,081 0.38% 0.75% 3.50% 99%
2008 2.06 409,363 0.35 1.28 4.87 54
2007 4.88 238,820 0.35 0.76 4.51 40
2006++ 2.90 412,217 0.35 0.75 3.22 67
2005++ 1.11 317,382 0.35 0.75 1.84 59
Amounts designated as "--" are $0 or have been rounded to $0.
+ Returns are for the period indicated and have not been annualized. Returns
shown do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of Fund shares.
++ Per share amounts have been adjusted for a 5 for 1 reverse stock split paid
to shareholders of record on May 6, 2005.
(1) Per share calculations were performed using average shares.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Annual Report / January 31, 2009
44
NOTES TO FINANCIAL STATEMENTS
Notes to Financial Statements
1. ORGANIZATION
SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business
trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end investment company with ten operational Funds: the Money
Market, Government, Government II, Prime Obligation, Treasury and 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
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. The Funds' use of amortized cost is subject
to their compliance with certain conditions as specified by rule 2a-7 of the
1940 act. 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 Trust's Board of
Trustees. The Trust's Fair Value Procedures are implemented through a Fair Value
Committee (the "Committee") designated by the Trust's 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"), was adopted by the Trust effective
February 1, 2008. 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 / Annual Report / January 31, 2009
45
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 Trust to measure fair value in accordance
with FAS 157 during the year ended January 31, 2009 maximized the use of
observable inputs and minimized the use of unobservable inputs.
The following is a summary of the inputs used as of January 31, 2009 in valuing
the Trust's investments in accordance with FAS 157 carried at value ($
Thousands):
INVESTMENTS IN SECURITIES LEVEL 1 LEVEL 2 LEVEL 3 TOTAL
- ------------------------------------- ------- ---------- -------- ----------
Money Market Fund $-- $ 692,944 $ -- $ 692,944
Government Fund -- 2,424,552 -- 2,424,552
Government II Fund -- 2,322,329 -- 2,322,329
Prime Obligation Fund -- 4,468,184 256,533 4,724,717
Treasury Fund -- 1,339,711 -- 1,339,711
Treasury II Fund -- 1,065,460 -- 1,065,460
Short-Duration Government Fund -- 285,036 -- 285,036
Intermediate-Duration Government Fund -- 96,211 -- 96,211
GNMA Fund -- 196,538 -- 196,538
Ultra Short Bond Fund -- 209,260 1,139 210,399
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 (175) -- -- (175)
Intermediate-Duration Government Fund 403 -- -- 403
GNMA Fund (79) -- -- (79)
Ultra Short Bond Fund 502 -- -- 502
*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 $ 17,200 $317,999 $ --
Accrued discounts/premiums -- -- --
Realized gain/(loss) (5,715) (64,975) --
Change in Accrued
Amortization (3) 5,399 --
Change in unrealized
appreciation/(depreciation) 2,797 72,338 (1,198)
Net purchase/sales (14,283) (216,672) (54)
Amortization Sold 4 895 --
Purchases & Issuances
& Settlements -- 141,549 --
Net transfer in and/or
out Level 3 -- -- 2,391
-------- -------- ------
Ending balance as of
January 31, 2009 $ -- $256,533 $1,139
======== ======== ======
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
SEI Daily Income Trust / Annual Report / January 31, 2009
46
event of default. If the counterparty defaults and the value of the collateral
declines, or if the counterparty enters into an insolvency proceeding,
realization of the collateral by a Fund may be delayed or limited.
FUTURES CONTRACTS -- The Fixed Income Funds' utilized futures contracts during
the year ended January 31, 2009. The Fixed Income Funds' investment in these
futures contracts is designed to enable the Fixed Income 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 Fixed Income 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 each Fixed Income Fund's total
exposure in such contracts, whereas only the net unrealized appreciation
(depreciation) is reflected in each Fixed Income 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 Fixed Income 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 Fixed Income
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 Fixed Income 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 a 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 a Fund's value from
changes in interest rates; or expose a Fund to a different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and
the resulting changes in market values, if any, are recorded as unrealized gains
or losses in the Statement of Operations. Net payments of interest are recorded
as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit
and market risk in excess of the amounts recognized on the Schedule of
Investments or the Statement of Assets and Liabilities. Such risks involve the
possibility that there will be no liquid market for these agreements, that the
counterparty to the agreement may default on its obligation to perform and that
there may be unfavorable changes in the fluctuation of interest rates. Risks
also arise from potential losses from adverse market movements. There were no
swap agreements as of January 31, 2009.
TBA PURCHASE COMMITMENTS -- A Fund 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 -- A Fund 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
SEI Daily Income Trust / Annual Report / January 31, 2009
47
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 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 a
Fund 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 a Fund. Valuations of illiquid
securities may differ significantly from the values that would have been used
had an active market value for these securities existed.
RESTRICTED SECURITIES -- At January 31, 2009, the Prime Obligation Fund owned
private placement investments that were purchased through private offerings or
acquired through initial public offerings and cannot be sold without prior
registration under the Securities Act of 1933 or pursuant to an exemption
therefrom. In addition, the Fund has generally agreed to further restrictions on
the disposition of certain holdings as set forth in various agreements entered
into in connection with the purchase of these investments. These investments are
valued at amortized cost as determined in accordance with the procedures
approved by the Board of Trustees.
The acquisition dates of these investments, along with their cost and values at
January 31, 2009, were as follows:
FACE
AMOUNT ACQUISITION COST FAIR VALUE % OF NET
($ THOUSANDS) DATE ($ THOUSANDS) ($ THOUSANDS) ASSETS
------------- ----------- ------------- ------------- --------
PRIME OBLIGATION FUND
Cheyne Finance LLC MTN
2.075%, 03/25/08 $ 62,896 10/18/06 $ -- $ -- --%
Cheyne Finance LLC MTN
2.065%, 01/25/08 101,894 01/19/07 -- -- --
Cheyne Finance LLC MTN
2.063%, 10/25/07 40,762 03/19/07 -- -- --
Gryphon Funding
1.477%, 10/07/14 189,916 07/23/08 131,551(1) 68,369 1.45
Stanfield Victoria
Funding LLC MTN
1.070%, 03/14/10 66,618 03/06/07 66,617 37,306 0.79
-------- -------- ----
$198,168 $105,675 2.24%
======== ======== ====
(1) The cost basis of Gryphon Funding approximated the fair value of Cheyne
Finance LLC as of the restructuring date.
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 each Fund 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
SEI Daily Income Trust / Annual Report / January 31, 2009
48
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 and Adviser have agreed to waive a portion or their
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, 2009, 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, 2010, 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, 2010 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.
The Money Market Fund's Board of Trustees approved the participation in the U.S.
Department of the Treasury's Temporary Guarantee Program for Money Market Funds
(the "Program"). The Program insured shares held by money market fund investors
as of the close of business on September 19, 2008 against loss in the event that
a money market fund liquidates its holdings and shareholders receive less than
$1.00 per share.
The Program is designed to address temporary dislocations in the credit markets.
The Program will operate through April 30, 2009. Participation in the Program
requires a payment to the U.S. Department of the Treasury ranging from 0.010% to
0.015% of the net asset value of the Fund as of September 19, 2008. These
expenses were borne by the Money Market Funds, and are amortized over the
guarantee period for accounting purposes, without regard to any expense
limitation currently in effect.
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%
SEI Daily Income Trust / Annual Report / January 31, 2009
49
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Shareholder Administrative
Servicing Service Distribution
Fees Fees Fees*
----------- -------------- ------------
Treasury Fund
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Sweep Class .25% -- .50%
Treasury II Fund
Class A .25% -- --
Class B .25% .05% --
Class C .25% .25% --
Short-Duration Government Fund
Class A .25% -- --
Intermediate-Duration Government Fund
Class A .25% -- --
GNMA Fund
Class A .25% -- --
Ultra Short Bond Fund
Class A .25% -- --
* These payments are characterized as "compensation" and are not directly
tied to expenses incurred by the Distributor. The payments the Distributor
receives during any year may therefore be higher or lower than its actual
expenses. These payments may be used to compensate sweep class shareholders
who provide distribution-related services to their customers.
The Distributor has voluntarily waived all or a portion of the shareholder
servicing fees for Class A of each fund, except for the GNMA Fund, since
inception of the plan. Such waivers are voluntary and may be discontinued at any
time. For Classes B, C, and H, the shareholder servicing fees and the
administrative service fees are shown combined as "Administrative & Shareholder
Servicing Fees" in the Statement of Operations. The Administrator and
Distributor have voluntarily agreed to waive and reduce their fee and/or
reimburse certain expenses of the Money Market Funds in order to limit the
one-day net income yield of the Funds to not less than 0.01% of the Funds'
average daily net assets. The following table shows the waivers by class for the
year ended January 31, 2009:
Shareholder Administrative
Servicing Fee Fee
Waiver Waiver
------------- --------------
Government Fund
Class C $ 193 $ --
Sweep Class 3,245 --
Government II Fund
Class C 2,882 --
Prime Obligation Fund
Sweep Class 5,977 --
Treasury Fund
Class A -- 204,375
Class B 483,308 142,069
Class C 153,907 26,921
Sweep Class 496,025 54,700
Treasury II Fund
Class A -- 73,155
Class B 248,168 35,124
Class C 27,377 1,371
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 Advisers, Sub-Advisers
and service providers as required by SEC regulations. The CCO's services have
been approved by and are reviewed by the Board of Trustees.
CAPITAL SUPPORT AGREEMENT -- The Prime Obligation Fund has entered into a
Capital Support Agreement with SEI Investments Company ("SEI"). Please see Note
10 for more information.
OTHER AFFILIATED TRANSACTIONS -- For the year ended January 31, 2009, 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 transaction 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. The transaction is deemed as
"Payment by Affiliate" on the Statement of Operations, in the amount of $6,574
($ Thousands).
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 these 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 $1
billion for the Ultra Short Bond Fund. The fee will be calculated based on the
net assets of the Ultra Short Bond Fund.
SEI Daily Income Trust / Annual Report / January 31, 2009
50
Pursuant to the "manager of managers" structure, the Board of Trustees approved
Columbia Management Advisors, LLC (formerly Banc of America Capital Management,
LLC) as each Money Market Fund's investment sub-adviser under an investment
sub-advisory agreement approved by the shareholders of each Fund. For its
services to the Money Market Funds, the sub-adviser is entitled to receive a fee
paid directly by SIMC.
Wellington Management Company, LLP ("Wellington LLP") serves as sub-adviser to
the Fixed Income Funds under an investment sub-advisory agreement approved by
the shareholders of each Fund. For its services to the Funds, Wellington LLP is
entitled to receive a fee paid directly by SIMC.
U.S. Bank, N.A. serves as the custodian of the Funds. The custodian plays no
role in determining the investment policies of the Funds or which securities are
to be purchased or sold in the Funds.
5. INVESTMENT TRANSACTIONS
The cost of security purchases and the proceeds from the sale of securities,
other than temporary investments in short-term securities, for the year ended
January 31, 2009, were as follows for the Fixed Income Funds:
Short- Intermediate-
Duration Duration
Government Government Ultra Short
Fund Fund GNMA Fund Bond Fund
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- -------------
PURCHASES
U.S. Government $1,322,632 $447,908 $657,051 $102,039
Other 35,963 6,292 18 57,067
SALES
U.S. Government $1,259,529 $404,347 $613,888 $ 96,862
Other 585 447 271 64,228
6. FEDERAL TAX INFORMATION
It is each Fund's intention to continue to qualify as a regulated investment
company for Federal income tax purposes and distribute all of its taxable income
(including net capital gains). Accordingly, no provision for Federal income
taxes is required.
RECLASSIFICATION OF COMPONENTS OF NET ASSETS -- The timing and characterization
of certain income and capital gain distributions are determined annually in
accordance with Federal tax regulations which may differ from accounting
principles generally accepted in the United States. As a result, net investment
income (loss) and net realized gain (loss) on investment transactions for the
reporting period may differ from distributions during such period. These
book/tax differences may be temporary or permanent in nature. To the extent
these differences are permanent, they are charged or credited to Paid-in
Capital, undistributed net investment income, or accumulated net realized gain,
as appropriate, in the periods that the differences arise. These
reclassifications, which have no impact on net asset value of the Fund, are
primarily attributable to swap income reclassification, expiration of capital
loss carryovers, reclass of distributions, tax treatment of paydown gain (loss)
on mortgage and asset-backed securities, and the difference between the book and
tax treatment of certain SIV restructuring and the resulting gain (loss) and
market discount accretion. Accordingly, the following permanent differences have
been reclassified to/from the following accounts during the year ended January
31, 2009:
Undistributed Accumulated
Net Investment Net Realized
Paid-in Capital Income Gain (Loss)
($ Thousands) ($ Thousands) ($ Thousands)
--------------- -------------- -------------
Money Market Fund $ (14) $ (37) $ 51
Prime Obligation Fund -- (6,279) 6,279
Short-Duration Government Fund -- 143 (143)
Intermediate-Duration Government Fund -- 36 (36)
GNMA Fund (210) 69 141
Ultra Short Bond Fund -- (141) 141
The tax character of dividends and distributions during the last two fiscal
years was as follows:
Ordinary Long-term
Income Capital Gain Total
($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- -------------
Money Market Fund 2009 $ 18,606 -- $ 18,606
2008 56,488 -- 56,488
Government Fund 2009 34,534 -- 34,534
2008 48,798 -- 48,798
Government II Fund 2009 32,492 -- 32,492
2008 43,747 -- 43,747
Prime Obligation Fund 2009 116,243 -- 116,243
2008 277,604 -- 277,604
Treasury Fund 2009 15,408 -- 15,408
2008 48,447 -- 48,447
Treasury II Fund 2009 6,683 -- 6,683
2008 10,234 -- 10,234
Short-Duration Government Fund 2009 6,868 -- 6,868
2008 5,655 -- 5,655
Intermediate-Duration Government Fund 2009 2,389 -- 2,389
2008 1,582 -- 1,582
GNMA Fund 2009 5,478 -- 5,478
2008 6,742 -- 6,742
Ultra Short Bond Fund 2009 11,795 -- 11,795
2008 13,045 -- 13,045
SEI Daily Income Trust / Annual Report / January 31, 2009
51
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
As of January 31, 2009, the components of Distributable Earnings/(Accumulated
Losses) on a tax basis were as follows:
Undistributed Undistributed Capital Post- Other Unrealized Total
Ordinary Long-Term Loss October Temporary Appreciation/ Accumulated
Income Capital Gain Carryforwards Losses Differences (Depreciation) Losses
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- ------------- ------------- -------------- -------------
Money Market Fund $ 520 $ -- $ (23) $ -- $ (566) $ -- $ (69)
Government Fund 1,415 -- (91) -- (1,415) -- (91)
Government II Fund 1,001 -- (15) -- (1,001) -- (15)
Prime Obligation Fund 2,133 -- (21) -- (3,036) (331) (1,255)
Treasury Fund 105 -- (93) -- (105) -- (93)
Treasury II Fund 52 -- (17) -- (52) -- (17)
Short-Duration
Government Fund 930 -- (2,812) (1,135) (930) 2,503 (1,444)
Intermediate-Duration
Government Fund 341 347 -- -- (278) 1,211 1,621
GNMA Fund 491 -- (10,058) -- (500) 2,998 (7,069)
Ultra Short Bond Fund 616 -- (5,257) (935) (621) (45,988) (52,185)
Amounts designated as "--" are $0 or have been rounded to $0
At January 31, 2009, the following Funds had capital loss carry-forwards to
offset future realized capital gains:
Amount Expiration
($ Thousands) Date
------------- ----------
Money Market Fund $ 16 1/31/14
2 1/31/15
4 1/31/16
1 1/31/17
Government Fund 1 1/31/11
54 1/31/13
4 1/31/14
32 1/13/16
Government II Fund 15 1/31/16
Prime Obligation Fund 1 1/31/14
20 1/31/16
Treasury Fund 65 1/31/12
1 1/31/13
22 1/31/14
5 1/31/15
Treasury II Fund 13 1/31/14
4 1/31/16
Short-Duration Government Fund 27 1/31/14
2,785 1/31/15
GNMA Fund 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
181 1/31/17
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, 2009, the Government Fund, Government II Fund,
Prime Obligation Fund, Treasury II Fund, Short-Duration Government Fund,
Intermediate-Duration Government Fund and GNMA Fund utilized $8,658, $15,904,
$103,274, $13,770, $2,141,251, $2,055,699 and $1,396,975, respectively, of
capital loss carryforwards, to offset capital gains.
At January 31, 2009, the Money Market Funds' (excluding the Money Market Fund
and Prime Obligation Fund) cost of securities for Federal income tax purposes
approximates the cost located in the Statements of Assets and Liabilities.
The Federal tax cost and aggregate gross unrealized appreciation and
depreciation on investments held by the Prime Obligation Fund and Fixed Income
Funds at January 31, 2009, were as follows:
Net
Unrealized
Federal Appreciated Depreciated Appreciation/
Tax Cost Securities Securities (Depreciation)
($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands)
------------- ------------- ------------- --------------
Prime Obligation Fund $4,725,048 $92,162 $(92,493) $ (331)
Short-Duration Government Fund 282,533 3,440 (937) 2,503
Intermediate-Duration
Government Fund 95,000 1,548 (337) 1,211
GNMA Fund 193,540 4,164 (1,166) 2,998
Ultra Short Bond Fund 256,387 1,144 (47,132) (45,988)
SEI Daily Income Trust / Annual Report / January 31, 2009
52
Management has analyzed the Fund's tax position taken on federal income tax
returns for all open tax years and has concluded that as of January 31, 2009, no
provision for income tax would be required in the Fund's financial statements.
The Fund's federal and state income and federal excise tax returns for tax years
for which the applicable statutes of limitations have not expired are subject to
examination by the Internal Revenue Service and state departments of revenue.
7. INVESTMENT RISKS
In the normal course of business, the Money Market and Fixed Income Funds enter
into contracts that provide general indemnifications by a Fund to the
counterparty to the contract. The Money Market and Fixed Income Funds' maximum
exposure under these arrangements is dependent on future claims that may be made
against the Money Market and Fixed Income 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.
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. Management is currently
evaluating the impact of the adoption of SFAS No. 161 will have on the Fund's
financial statements and related disclosures.
10. CAPITAL SUPPORT AGREEMENT
The Prime Obligation and Money Market Funds each originally entered into a
Capital Support Agreement with SEI, which is the parent company of SIMC, on
November 8, 2007. As of September 30, 2008, the Money Market Fund no longer held
any structured investment vehicle ("SIV") securities and the Capital Support
Agreement with the Money Market Fund lapsed.
On November 5, 2008, the Prime Obligation Fund (the "Fund") entered into an
Amended and Restated Capital Support Agreement (the "Amended CSA") with SEI
which extended the termination date under the original Capital Support Agreement
with the Fund to November 6, 2009. The Amended CSA provides that if the Fund
realizes payments or sales proceeds from the ultimate disposition of any of the
specified SIV securities which are less than its amortized cost, SEI will be
required to provide capital to the Fund equal to the amount by which the
amortized cost of the specified SIV security exceeds the amount realized from
the sale or other disposition of such security. The specified SIV securities in
the Fund as of January 31, 2009 are footnoted on the Schedule of Investments.
The specified SIV securities in the Fund had an aggregate par value of
$256,533,510 on January 31, 2009.
Under the Amended CSA, SEI must maintain collateral in the form of a letter of
credit and/or a segregated cash account equal to the difference between the
amortized cost value and the market value of the specified SIV securities plus
an amount equal to ten percent of the market value of the specified SIV
securities. As of January 31, 2009, SEI's obligations under the Amended CSA were
supported by Letters of Credit in the amount of $165 million issued by a bank
having a First Tier credit rating. The Fund will draw on the Letters of Credit
or the segregated account in the event that SEI fails to make a cash
contribution when due under the Amended CSA.
The Fund will sell the specified SIV securities (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 Amended CSA.
SEI Daily Income Trust / Annual Report / January 31, 2009
53
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
The following table shows the Eligible Notes and their amortized cost and fair
market value as of January 31, 2009.
PRIME OBLIGATION FUND
Amortized Fair Unrealized
Cost Value Depreciation
Description Face Amount (000) (000) (000)
- ----------- ------------ --------- -------- ------------
Gryphon Funding 1.477%, 10/07/14 $189,915,789 $131,551 $ 68,369 $(63,182)
Stanfield Victoria LLC MTN 1.070%, 03/14/10 66,617,720 66,617 37,306 (29,311)
------------ -------- -------- --------
Totals $256,533,509 $198,168 $105,675 $(92,493)
============ ======== ======== ========
The value of the Capital Support Agreement is made up of the unrealized
depreciation above, as well as the $58 million in realized loss associated with
the exchange of Cheyne notes for Gryphon notes as further discussed in the
Schedule of Investments.
11. SUBSEQUENT EVENT
As of March 27, 2009, the Capital Support Agreement is valued at $32,380,854 for
the Prime Obligation Fund.
Subsequent to January 31, 2009, an affiliate of SIMC purchased from the Prime
Obligation Fund all of the notes issued by Cheyne Finance, LLC and Gryphon
Funding Limited that were held by the Fund. As a result of SEI's purchase, there
was no loss incurred by the Prime Obligation Fund on this transaction. This
transaction 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 / Annual Report / January 31, 2009
54
SEI DAILY INCOME TRUST -- JANUARY 31, 2009
Report of Independent Registered Public Accounting Firm
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES
OF SEI DAILY INCOME TRUST:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of SEI Daily Income Trust, comprising the Money
Market Fund, Government Fund, Government II Fund, Prime Obligation Fund,
Treasury Fund, Treasury II Fund, Short Duration Government Fund, Intermediate
Duration Government Fund, GNMA Fund, and Ultra Short Bond Fund, (collectively
the "Funds"), as of January 31, 2009, and the related statements of operations
for the year then ended, changes in net assets for each of the years in the
two-year period then ended, and the financial highlights for each of the years
in the four-year period then ended. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits. The financial highlights for the periods presented through
January 31, 2005, were audited by other auditors, whose report dated March 11,
2005, expressed an unqualified opinion thereon.
We conducted our audits in accordance with the Standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of January 31, 2009, by correspondence with the custodian
and brokers or other appropriate auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the finan-cial position of each
of the funds comprising SEI Daily Income Trust as of January 31, 2009, and the
results of their operations for the year then ended, the changes in their net
assets for each of the years in the two-year period then ended, and the
financial highlights for each of the years in the four-year period then ended,
in conformity with U.S. generally accepted accounting principles.
(KPMG LLP LOGO)
Philadelphia, Pennsylvania
March 31, 2009
SEI Daily Income Trust / Annual Report / January 31, 2009
55
TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED)
The following chart lists Trustees and Officers as of February 28, 2009.
Set forth below are the names, addresses, ages, position with the Trust, Term of
Office and Length of Time Served, the principal occupations for the last five
years, number of portfolios in fund complex overseen by trustee, and other
directorships outside the fund complex of each of the persons currently serving
as Trustees and Officers of the Trust. The Trust's Statement of Additional
Information ("SAI") includes additional information about the Trustees and
Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS
AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE
- ----------------------- --------------- ---------- --------------------------- ------------- -------------------------------
INTERESTED TRUSTEES
- -------------------
Robert A. Nesher Chairman since 1982 Currently performs various 80 Trustee of The Advisors' Inner
One Freedom of the services on behalf of SEI Circle Fund, The Advisors'
Valley Drive, Board of for which Mr. Nesher is Inner Circle Fund II, Bishop
Oaks, PA 19456 Trustees* compensated. Street Funds, Director of
62 yrs. old SEI Global Master Fund, plc,
SEI Global Assets Fund, plc,
SEI Global Investments Fund,
plc, SEI Investments Global,
Limited, SEI Investments --
Global Fund Services, Limited,
SEI Investments (Europe),
Limited, SEI Investments --
Unit Trust Management (UK),
Limited, SEI Global Nominee
Ltd., SEI Opportunity Fund,
L.P., SEI Multi-Strategy Funds
plc., and SEI Structured
Credit Fund, L.P.
William M. Doran Trustee* since 1982 Self-employed consultant 80 Trustee of The Advisors' Inner
1701 Market Street since 2003. Partner, Morgan, Circle Fund, The Advisors'
Philadelphia, PA Lewis & Bockius LLP (law Inner Circle Fund II, Bishop
19103 from 1976 to 2003, counsel Street Funds, Director
68 yrs. old to the Trust, SEI, SIMC, of SEI since 1974. Director
the Administrator and the of the Distributor since 2003.
Distributor. Secretary of Director of SEI Investments --
SEI since 1978. Global Fund Services, Limited,
SEI Investments Global,
Limited, SEI Investments (Europe),
Limited, SEI Investments
(Asia), Limited, and SEI Asset
Korea Co., Ltd.
TRUSTEES
- --------
James M. Storey Trustee since 1995 Attorney, sole 80 Trustee of The Advisors' Inner
One Freedom practitioner since Circle Fund, The Advisors'
Valley Drive, 1994. Partner, Dechert Inner Circle Fund II, Bishop
Oaks, PA 19456 Price & Rhoads, September Street Funds and U.S.
77 yrs. old 1987-December 1993. Charitable Gift Trust.
George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 80 Trustee of The Advisors' Inner
One Freedom Newfound Consultants Inc. Circle Fund, The Advisors'
Valley Drive since April 1997. Inner Circle Fund II, Bishop
Oaks, PA 19456 Street Funds, State Street
66 yrs. old Navigator Securities Lending
Trust, SEI Opportunity Fund,
L.P., and SEI Structured Credit
Fund, L.P.
* Messrs. Nesher and Doran are Trustees who may be deemed as "interested"
persons of the Trust as that term is defined in the 1940 Act by virtue of
their affiliation with SIMC and the Trust's Distributor.
(1) Each trustee shall hold office during the lifetime of this Trust until the
election and qualification of his or her successor, or until he or she
sooner dies, resigns or is removed in accordance with the Trust's
Declaration of Trust.
(2) The Fund Complex includes the following: SEI Asset Allocation Trust, SEI
Daily Income Trust, SEI Institutional Investments Trust, SEI Institutional
International Trust, SEI Institutional Managed Trust, SEI Liquid Asset
Trust, SEI Tax Exempt Trust and SEI Alpha Strategy Portfolios, LP.
SEI Daily Income Trust / Annual Report / January 31, 2009
56
Term of Number of
Office Portfolios
and Principal in Fund
Name Position(s) Length of Occupation(s) Complex
Address, Held with Time During Past Overseen Other Directorships
and Age Trusts Served(1) Five Years by Trustee(2) Held by Trustee
- ----------------------- --------------- ---------- --------------------------- ------------- -------------------------------
TRUSTEES (continued)
- --------------------
Rosemarie B. Greco Trustee since 1999 Director, Governor's 80 Director, Sonoco, Inc.;
One Freedom` Office of Health Director,
Valley Drive Care Reform, Commonwealth Exelon Corporation; Trustee,
Oaks, PA 19456 of Pennsylvania since 2003. Pennsylvania Real Estate
62 yrs. old Founder and Principal, Investment Trust.
Grecoventures Ltd.
from 1999 to 2002.
Nina Lesavoy Trustee since 2003 Managing Partner, Cue 80 Director of SEI Opportunity
One Freedom Capital since March 2002, Fund, L.P., and SEI Structured
Valley Drive, Managing Partner and Head Credit Fund, L.P.
Oaks, PA 19456 of Sales, Investorforce,
51 yrs. old March 2000-December 2001;
Global Partner working for
the CEO, Invesco Capital,
January 1998-January 2000.
Head of Sales and Client
Services, Chancellor
Capital and later LGT Asset
Management, 1986-2000.
James M. Williams Trustee since 2004 Vice President and Chief 80 Trustee/Director of Ariel
One Freedom Investment Officer, J. Mutual Funds, SEI Opportunity
Valley Drive, Paul Getty Trust, Fund, L.P., and SEI Structured
Oaks, PA 19456 Non-Profit Foundation for Credit Fund, L.P.
61 yrs. old Visual Arts, since
December 2002. President,
Harbor Capital Advisors
and Harbor Mutual Funds,
2000-2002. Manager,
Pension Asset Management,
Ford Motor Company,
1997-1999.
Mitchell A. Johnson Trustee since 2007 Private Investor since 80 Trustee of the Advisors' Inner
One Freedom 1994. Circle Fund, The Advisor's
Valley Drive, Inner Circle Fund II, and
Oaks, PA 19456 Bishop Street Funds.
66 yrs. old
Hubert L. Harris, Jr. Trustee since 2008 Retired since December 80 Director of Colonial
One Freedom 2005. Chief Executive BancGroup, Inc. and Chair of
Valley Drive, Officer and Chair of the the Board of Trustees, Georgia
Oaks, PA 19456 Board of Directors, Tech Foundation, Inc.
65 yrs. old AMVESCAP Retirement, Inc., (nonprofit corporation).
1997-December 2005. Chief
Executive Officer, INVESCO
North America, September
2003-December 2005.
OFFICERS
- --------
Robert A. Nesher President & CEO since 2005 Currently performs various N/A N/A
One Freedom services on behalf of SEI
Valley Drive, for which Mr. Nesher is
Oaks, PA 19456 compensated.
62 yrs. old
Stephen F. Panner Controller and since 2005 Fund Accounting Director N/A N/A
One Freedom Chief of the Administrator since
Valley Drive, Financial 2005. Fund Administration
Oaks, PA 19456 Officer Manager, Old Mutual Fund
38 yrs. old Services, 2000-2005. Chief
Financial Officer,
Controller and Treasurer,
PBHG Funds and PBHG
Insurance Series Fund,
2004-2005. Assistant
Treasurer, PBHG Funds and
PBHG Insurance Series
Fund, 2000-2004. Assistant
Treasurer, Old Mutual
Advisors Fund, 2004-2005.
(1) Each trustee shall hold office during the lifetime of this Trust until the
election and qualification of his or her successor, or until he or she
sooner dies, resigns or is removed in accordance with the Trust's
Declaration of Trust.
(2) The Fund Complex includes the following: SEI Asset Allocation Trust, SEI
Daily Income Trust, SEI Institutional Investments Trust, SEI Institutional
International Trust, SEI Institutional Managed Trust, SEI Liquid Asset
Trust, SEI Tax Exempt Trust and SEI Alpha Strategy Portfolios, LP.
SEI Daily Income Trust / Annual Report / January 31, 2009
57
TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED)(CONCLUDED)
TERM OF NUMBER OF
OFFICE PORTFOLIOS
AND PRINCIPAL IN FUND
NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX
ADDRESS, HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS
AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE
- ----------------------- --------------- ---------- --------------------------- ------------- -------------------------------
OFFICERS (continued)
- --------------------
Russell Emery Chief since 2006 Chief Compliance Officer N/A N/A
One Freedom` Compliance of SEI Structured Credit
Valley Drive Officer Fund, L.P., since June
Oaks, PA 19456 2007. Chief Compliance
45 yrs. old Officer of SEI Opportunity
Fund, L.P., Bishop Street
Funds, The Advisors' Inner
Circle Fund and the
Advisors' Inner Circle Fund
II, since March 2006.
Director of Investment
Product Management and
Development of SIMC,
February 2003-March 2006.
Timothy D. Barto Vice since 2002 General Counsel, Vice N/A N/A
One Freedom President and President and Secretary of
Valley Drive Oaks, Secretary SIMC and the Administrator
PA 19456 since 2004. Vice President
40 yrs. old and Assistant Secretary of
SEI since 2001. Vice
President of SIMC and the
Administrator since 1999.
Assistant Secretary of
SIMC, the Administrator and
the Distributor and Vice
President of the
Distributor, 1999-2003.
David McCann Vice since 2009 Vice President and N/A N/A
One Freedom President and Assistant Secretary of
Valley Drive Assistant SIMC since 2009. Associate
Oaks, PA 19456 Secretary at Drinker Biddle & Reath
32 yrs. old LLP, May 2005-October
2008. Associate at Pepper
Hamilton, LLP, September
2001-May 2005.
James Ndiaye Vice since 2005 Vice President and N/A N/A
One Freedom President and Assistant Secretary of
Valley Drive Assistant SIMC since 2005. Vice
Oaks, PA 19456 Secretary President, Deutsche Asset
41 yrs. old Management (2003-2004).
Michael T. Pang Vice since 2005 Vice President and N/A N/A
One Freedom President and Assistant Secretary of
Valley Drive Assistant SIMC since 2005. Counsel,
Oaks, PA 19456 Secretary Caledonian Bank & Trust's
36 yrs. old Mutual Funds Group (2004).
Counsel, Permal Asset
Management (2001-2004).
Aaron Buser Vice since 2008 Vice President and N/A N/A
One Freedom President and Assistant Secretary of
Valley Drive Assistant SIMC since 2007. Associate
Oaks, PA 19456 Secretary at Stark & Stark
38 yrs. old (2004-2007). Associate at
Flaster/Greenberg, P.C.
(2000-2004).
John J. McCue Vice President since 2004 Director of Portfolio N/A N/A
One Freedom Implementations for SIMC
Valley Drive since 1995. Managing
Oaks, PA 19456 Director of Money Market
45 yrs. old Investments for SIMC since
2003.
Andrew S. Decker Anti-Money since 2008 Compliance Officer and N/A N/A
One Freedom Laundering Product Manager, SEI,
Valley Drive Compliance 2005-2008. Vice President,
Oaks, PA 19456 Officer Old Mutual Capital,
45 yrs. old 2000-2005.
SEI Daily Income Trust / Annual Report / January 31, 2009
58
SEI DAILY INCOME TRUST -- JANUARY 31, 2009
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 / Annual Report / January 31, 2009
59
DISCLOSURE OF FUND EXPENSES (UNAUDITED) (CONCLUDED)
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
8/01/08 1/31/09 RATIOS PERIOD*
--------- --------- ---------- -------
MONEY MARKET FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,010.00 0.23% $1.16
Class B Shares 1,000.00 1,008.50 0.53 2.68
Class C Shares 1,000.00 1,007.50 0.73 3.68
Sweep Class Shares 1,000.00 1,006.20 0.97 4.89
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.98 0.23% $1.17
Class B Shares 1,000.00 1,022.47 0.53 2.69
Class C Shares 1,000.00 1,021.47 0.73 3.71
Sweep Class Share 1,000.00 1,020.26 0.97 4.93
GOVERNMENT FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,008.70 0.23% $1.16
Class B Shares 1,000.00 1,007.10 0.53 2.67
Class C Shares 1,000.00 1,006.10 0.73 3.68
Sweep Class Shares 1,000.00 1,004.90 0.96 4.84
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.98 0.23% $1.17
Class B Shares 1,000.00 1,022.47 0.53 2.69
Class C Shares 1,000.00 1,021.47 0.73 3.71
Sweep Class Shares 1,000.00 1,020.31 0.96 4.88
GOVERNMENT II FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,008.30 0.23% $1.16
Class B Shares 1,000.00 1,006.80 0.53 2.67
Class C Shares 1,000.00 1,005.80 0.71 3.58
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.98 0.23% $1.17
Class B Shares 1,000.00 1,022.47 0.53 2.69
Class C Shares 1,000.00 1,021.57 0.71 3.61
PRIME OBLIGATION FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,009.30 0.23% $1.16
Class B Shares 1,000.00 1,007.80 0.53 2.67
Class C Shares 1,000.00 1,006.80 0.73 3.68
Class H Shares 1,000.00 1,007.20 0.66 3.33
Sweep Class Shares 1,000.00 1,005.60 0.96 4.84
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.98 0.23% $1.17
Class B Shares 1,000.00 1,022.47 0.53 2.69
Class C Shares 1,000.00 1,021.47 0.73 3.71
Class H Shares 1,000.00 1,021.82 0.66 3.35
Sweep Class Shares 1,000.00 1,020.31 0.96 4.88
BEGINNING ENDING EXPENSE
ACCOUNT ACCOUNT ANNUALIZED PAID
VALUE VALUE EXPENSE DURING
8/01/08 1/31/09 RATIOS PERIOD*
--------- --------- ---------- -------
TREASURY FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,003.10 0.18% $0.91
Class B Shares 1,000.00 1,002.50 0.28 1.41
Class C Shares 1,000.00 1,002.20 0.36 1.81
Sweep Class Shares 1,000.00 1,001.80 0.44 2.21
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.23 0.18% $0.92
Class B Shares 1,000.00 1,023.73 0.28 1.42
Class C Shares 1,000.00 1,023.33 0.36 1.83
Sweep Class Shares 1,000.00 1,022.92 0.44 2.24
TREASURY II FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,002.90 0.20% $1.01
Class B Shares 1,000.00 1,002.10 0.34 1.71
Class C Shares 1,000.00 1,001.70 0.36 1.81
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,024.13 0.20% $1.02
Class B Shares 1,000.00 1,023.43 0.34 1.73
Class C Shares 1,000.00 1,023.33 0.36 1.83
SHORT-DURATION GOVERNMENT FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,035.50 0.48% $2.46
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.72 0.48% $2.44
INTERMEDIATE-DURATION GOVERNMENT FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,080.70 0.53% $2.77
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,022.47 0.53% $2.69
GNMA FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $1,061.00 0.63% $3.26
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,021.97 0.63% $3.20
ULTRA SHORT BOND FUND
ACTUAL FUND RETURN
Class A Shares $1,000.00 $ 927.80 0.38% $1.84
HYPOTHETICAL 5% RETURN
Class A Shares $1,000.00 $1,023.23 0.38% $1.93
*Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 184/366 (to reflect
one-half year period shown).
SEI Daily Income Trust / Annual Report / January 31, 2009
60
Notice to Shareholders (Unaudited)
FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL
PURPOSES ONLY.
For the fiscal year ended January 31, 2009, each Fund is designating long-term
capital gains, and exempt income with regard to distributions paid during the
year as follows:
(A) (B)
LONG TERM ORDINARY (C)
CAPITAL GAINS INCOME TOTAL U.S. INTEREST SHORT-TERM
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS GOVERNMENT RELATED CAPITAL GAINS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) INTEREST (1) DIVIDENDS (2) DIVIDENDS (3)
- --------- ------------- ------------- ------------- ------------ ------------- -------------
Money Market Fund 0% 100% 100% 0.00%* 100% 0%
Government Fund 0 100 100 63.02 100 0
Government II Fund 0 100 100 99.98 100 0
Prime Obligation Fund 0 100 100 0.86* 100 0
Treasury Fund 0 100 100 2.85* 100 0
Treasury II Fund 0 100 100 100.00 100 0
Short-Duration Government Fund 0 100 100 4.26* 100 0
Intermediate-Duration
Government Fund 0 100 100 9.26* 98 0
GNMA Fund 0 100 100 0.00* 100 0
Ultra Short Bond Fund 0 100 100 0.74* 100 0
Items (A), (B) and (C) are based on the percentage of the Fund's total
distribution.
(1) "U.S. Government Interest" represents the amount of interest that was
derived from direct U.S. Government obligations and distributed during the
fiscal year. This amount is reflected as a percentage of total ordinary
income distributions (the total of short-term capital gain and net
investment income distributions). Generally, interest from direct U.S.
Government obligations is exempt from state income tax. However, for
shareholders of the "*" funds who are residents of California, Connecticut
and New York, the statutory threshold requirements were not satisfied to
permit exemption of these amounts from state income.
(2) The percentage in this column represents the amount of "Interest Related
Dividends" and is reflected as a percentage of net investment income
distributions that is exempt from U.S. withholding tax when paid to foreign
investors. This provision of the IRC will be expiring for years beginning
after January 1, 2010.
(3) The percentage in this column represents the amount of "Short-Term Capital
Gains Dividends" and is reflected as a percentage of short-term capital
gain distributions that is exempt from U.S. withholding tax when paid to
foreign investors. This provision of the IRC will be expiring for years
beginning after January 1, 2010.
Please consult your tax adviser for proper treatment of this information.
SEI Daily Income Trust / Annual Report / January 31, 2009
61
Notes
Notes
Notes
Notes
Notes
Notes
Notes
SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2009
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
David McCann
VICE PRESIDENT, ASSISTANT SECRETARY
James Ndiaye
VICE PRESIDENT, ASSISTANT SECRETARY
Michael T. Pang
VICE PRESIDENT, ASSISTANT SECRETARY
Aaron Buser
VICE PRESIDENT, ASSISTANT SECRETARY
John J. McCue
VICE PRESIDENT
Andrew S. Decker
ANTI-MONEY LAUNDERING COMPLIANCE OFFICER
INVESTMENT ADVISER
SEI Investments Management Corporation
ADMINISTRATOR
SEI Investments Global Funds Services
DISTRIBUTOR
SEI Investments Distribution Co.
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
KPMG LLP
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Trust and must be preceded or
accompanied by a current prospectus. Shares of the Funds are not deposits or
obligations of, or guaranteed or endorsed by, any bank. The shares are not
federally insured by the Federal Deposit Insurance Corporation (FDIC), the
Federal Reserve Board, or any other government agency. Investment in the shares
involves risk, including the possible loss of principal.
FOR MORE INFORMATION CALL
1 800 DIAL SEI
(1 800 342 5734)
SEI New ways.
New answers.(R)
SEI Investments Distribution Co.
Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734)
SEI-F-022 (1/09)
ITEM 2. CODE OF ETHICS.
The Registrant has adopted a code of ethics that applies to the Registrant's
principal executive officer, principal financial officer, comptroller or
principal accounting officer, and any person who performs a similar function.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) The Registrant's Board of Trustees has determined that the Registrant has
at least one audit committee financial expert serving on the audit committee.
(a)(2) The audit committee financial expert are George J. Sullivan, Jr. and
Hubert L. Harris, Jr. Mr. Sullivan and Mr. Harris are independent as defined in
Form N-CSR Item 3 (a) (2).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Fees billed by KPMG LLP ("KPMG") related to the Trust.
KPMG billed the Trust aggregate fees for services rendered to the Trust for the
fiscal years 2009 and 2008 as follows:
- ------------------ ----------------------------------------------------- -----------------------------------------------------
FISCAL 2009 FISCAL 2008
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
All fees and All fees and All other fees All fees and All fees and All other fees
services to the services to and services to services to the services to and services to
Trust that were service service Trust that were service service
pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that
were pre- did not require were pre- did not require
approved pre-approval approved pre-approval
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(a) Audit $174,500 N/A $0 $175,000 N/A $0
Fees(1)
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(b) Audit- $0 $0 $0 $0 $0 $0
Related
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(c) Tax $0 $0 $0 $0 $0 $0
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
(d) All $0 $234,500 $0 $5,000 $284,000 $0
Other
Fees
- ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes:
(1) Audit fees include amounts related to the audit of the Registrant's
annual financial statements and services normally provided by the
accountant in connection with statutory and regulatory filings.
(e)(1) The Trust's Audit Committee has adopted and the Board of Trustees has
ratified an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"),
which sets forth the procedures and the conditions pursuant to which services
proposed to be performed by the independent auditor of the Trust may be
pre-approved.
The Policy provides that all requests or applications for proposed services to
be provided by the independent auditor must be submitted to the Registrant's
Chief Financial Officer ("CFO") and must include a detailed description of the
services proposed to be rendered. The CFO will determine whether such services:
(1) require specific pre-approval; (2) are included within the list of services
that have received the general pre-approval of the Audit Committee pursuant to
the Policy; or (3) have been previously pre-approved in connection with the
independent auditor's annual engagement letter for the applicable year or
otherwise. In any instance where services require pre-approval, the Audit
Committee will consider whether such services are consistent with SEC's rules
and whether the provision of such services would impair the auditor's
independence.
Requests or applications to provide services that require specific pre-approval
by the Audit Committee will be submitted to the Audit Committee by the CFO. The
Audit Committee will be informed by the CFO on a quarterly basis of all services
rendered by the independent auditor. The Audit Committee has delegated specific
pre-approval authority to either the Audit Committee Chair or financial expert,
provided that the estimated fee for any such proposed pre-approved service does
not exceed $100,000 and any pre-approval decisions are reported to the Audit
Committee at its next regularly scheduled meeting.
Services that have received the general pre-approval of the Audit Committee are
identified and described in the Policy. In addition, the Policy sets forth a
maximum fee per engagement with respect to each identified service that has
received general pre-approval.
All services to be provided by the independent auditor shall be provided
pursuant to a signed written engagement letter with the Registrant, the
investment advisor or applicable control affiliate (except that matters as to
which an engagement letter would be impractical because of timing issues or
because the matter is small may not be the subject of an engagement letter) that
sets forth both the services to be provided by the independent auditor and the
total fees to be paid to the independent auditor for those services.
In addition, the Audit Committee has determined to take additional measures on
an annual basis to meet its responsibility to oversee the work of the
independent auditor and to assure the auditor's independence from the
Registrant, such as reviewing a formal written statement from the independent
auditor delineating all relationships between the independent auditor and the
Registrant, and discussing with the independent auditor its methods and
procedures for ensuring independence.
(e)(2) Percentage of fees billed applicable to non-audit services pursuant to
waiver of pre-approval requirement were as follows:
-------------------------- ----------------- ----------------
FISCAL 2009 FISCAL 2008
-------------------------- ----------------- ----------------
Audit-Related Fees 0% 0%
-------------------------- ----------------- ----------------
Tax Fees 0% 0%
-------------------------- ----------------- ----------------
All Other Fees 0% 0%
-------------------------- ----------------- ----------------
(f) Not Applicable.
(g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal
years 2009 and 2008 were $234,500 and $289,000, respectively. Non-audit fees
consist of SAS No. 70 review of fund accounting and administration operations,
attestation report in accordance with Rule 17Ad-13, agreed upon procedures
report over certain internal controls related to compliance with federal
securities laws and regulations and tax consulting services for various service
affiliates of the Registrant.
(h) During the past fiscal year, Registrant's principal accountant provided
certain non-audit services to Registrant's investment adviser or to entities
controlling, controlled by, or under common control with Registrant's investment
adviser that provide ongoing services to Registrant that were not subject to
pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
The Audit Committee of Registrant's Board of Trustees reviewed and considered
these non-audit services provided by Registrant's principal accountant to
Registrant's affiliates, including whether the provision of these non-audit
services is compatible with maintaining the principal accountant's independence.
..
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not Applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not Applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not Applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND
AFFILIATED PURCHASERS.
Not Applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The Trust has a standing Nominating Committee (the "Committee") currently
consisting of the Independent Trustees. The Committee is responsible for
evaluating and recommending nominees for election to the Trust's Board of
Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June
18th 2004, as amended, the Committee will review all shareholder recommendations
for nominations to fill vacancies on the Board if such recommendations are
submitted in writing and addressed to the Committee at the Trust's office.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The certifying officers, whose certifications are included herewith, have
evaluated the registrant's disclosure controls and procedures within 90 days of
the filing date of this report. Based on their evaluation, the certifying
officers have concluded that the Registrant's disclosure controls and procedures
are adequately designed, and are operating effectively to ensure, that
information required to be disclosed by the Registrant in the reports it files
or submits under the Securities Exchange Act of 1934 is recorded,
processed, summarized and reported within the time periods specified in the
Securities and Exchange Commission's rules and forms.
(b) There were no significant changes in the Registrant's internal control over
financial reporting that occurred during the Registrant's last fiscal half-year
that have materially affected, or are reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEMS 12. EXHIBITS.
(a)(1) Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the
principal financial officer of the Registrant as required by Rule 30a-2(a) under
the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed
herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing
as an Exhibit.
- --------------------------------------------------------------------------------
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) SEI Daily Income Trust
By (Signature and Title) /s/ Robert A. Nesher
-----------------------------------
Robert A. Nesher, CEO and President
Date: March 31, 2009
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title) /s/ Robert A. Nesher
-----------------------------------
Robert A. Nesher, CEO and President
Date: March 31, 2009
By (Signature and Title) /s/ Stephen F. Panner
-----------------------------------
Stephen F. Panner, Controller & CFO
Date: March 31, 2009