N-CSR 1 sditar1_06combined.txt SEI DAILY INCOME TRUST AR 1_06 COMBINED UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSR -------- 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, 2006 DATE OF REPORTING PERIOD: JANUARY 31, 2006 ITEM 1. REPORTS TO STOCKHOLDERS. [BACKGROUND GRAPHIC OMITTED] [SEI INVESTMENTS LOGO OMITTED] Annual Report as of January 31, 2006 SEI Daily Income Trust 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 Letter to Shareholders 1 ---------------------------------------------------------------- Management's Discussion and Analysis of Fund Performance 2 ---------------------------------------------------------------- Statements of Net Assets 7 ---------------------------------------------------------------- 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 52 ---------------------------------------------------------------- Trustees and Officers of the Trust 53 ---------------------------------------------------------------- Disclosure of Fund Expenses 56 ---------------------------------------------------------------- Board of Trustees Considerations in Approving the Continuation of the Funds' Advisory and Sub-Advisory Agreements 58 ---------------------------------------------------------------- Notice to Shareholders 60 ---------------------------------------------------------------- The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q are available on the Commission's web site at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Since the Funds in SEI Daily Income Trust typically hold only fixed income securities, they generally are not expected to hold securities for which they may be required to vote proxies. Regardless, in light of the possibility that a Fund could hold a security for which a proxy is voted, the Trust has adopted proxy voting policies. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available without charge (i) upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. SEI DAILY INCOME TRUST -- JANUARY 31, 2006 Letter to Shareholders TO OUR SHAREHOLDERS: Overall, financial markets' activity was fairly positive throughout the fiscal year ended January 2006. Before gaining minimal ground in the last three months of the period, the equity markets moved in a tunnel fashion for much of the year amid concern over inflationary pressures, rising interest rates, Hurricane Katrina and continued uncertainty over geopolitical events. On the back of solid economic growth and inflationary fears, the Federal Reserve tightened monetary policy by raising the Fed Funds target 9 times during the last twelve months, from 2.25% to 4.50%. Throughout this time frame, the Federal Open Market Committee maintained a balanced risk assessment towards domestic growth and price pressures. Investors' continued demand for credit risk amidst the continued economic expansion and continual improvement of the corporate sector via solid balance sheets, and strong short-term business credit demands, helped to fuel the price of corporate funding using commercial paper and other short-term corporate obligations. As the Federal Reserve pushed short-term rates higher, investments in money market funds increased over the course of the fiscal year. As always, we thank you for your continued confidence in the SEI Daily Income Trust and we look forward to serving your investment needs in the future. Sincerely, /s/ Robert A. Nesher Robert A. Nesher President -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2006 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 substantially all of its net assets 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 year ended January 31, 2006 proved to be challenging for the U.S. bond market as investors contended with interest rate volatility, a Federal Open Market Committee that was focused on raising rates, and the uncertainty surrounding inflation. Short term rates climbed higher following the increasing Federal Funds rate. Fed Funds futures priced in a steady pace of rate hikes, predicting a 4.50% to 5.00% level by the middle of 2007. The market ended the period with short rates (represented by the 6-month Treasury bill) higher by 185 basis points. With only moderate inflation expectations, the yield curve reacted as expected, by continuing its flattening trend. While interest rates seesawed throughout the period based on mixed economic data, credit spreads in aggregate followed a one way trajectory wider. The front end of the credit curve traded with a firmer tone and posted positive performance. The springtime, however, was met with significant downgrades within the automotive sector. By the end of the period, Ford and General Motors were both downgraded below investment grade. The asset-backed security and commercial mortgage-backed securities sectors of the market also turned in a solid performance generating above index returns. The mortgage sector was hurt as higher interest rates plagued the market leading to concerns surrounding extension risk. Analysis For the fiscal year ended January 31, 2006, the Short-Duration Government Fund, Class A posted a 1.93% return compared to a 1.87% return for its benchmark, the Merrill Lynch 1-3 Year U.S. Treasury Bond Index. The Fund's defensive interest rate posture relative to the Index was additive to performance as interest rates rose for the year. The Fund's tactical curve positioning was also beneficial to performance. Tactical exposure to the mortgage-backed securities sector and Treasury Inflation Protected Securities (TIPS) was also a positive contributor to performance. 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 1.93% 1.48% 3.18% 4.54% 5.66% ------------------------------------------------------------------------------- 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. [Line Graph Omitted] [Plot Points Follow] Short-Duration Merrill Lynch 1-3 Year Government Fund, U.S. Treasury Bond Class A Index 1/31/96 $10,000 $10,000 1/31/97 10,462 10,458 1/31/98 11,218 11,210 1/31/99 11,946 11,926 1/31/00 12,212 12,239 1/31/01 13,328 13,388 1/31/02 14,165 14,349 1/31/03 14,914 15,143 1/31/04 15,145 15,464 1/31/05 15,291 15,567 1/31/06 15,586 15,858 1 For the period ended January 31, 2006. 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. -------------------------------------------------------------------------------- 2 SEI Daily Income Trust / Annual Report / January 31, 2006 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 substantially all of its net assets 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 year ended January 31, 2006 proved to be challenging for the U.S. bond market as investors contended with interest rate volatility, a Federal Open Market Committee that was focused on raising rates, and the uncertainty surrounding inflation. Short term rates climbed higher following the increasing Federal Funds rate. Fed Funds futures priced in a steady pace of rate hikes, predicting a 4.50% to 5.00% level by the middle of 2007. The market ended the period with short rates (represented by the 6-month Treasury bill) higher by 185 basis points. With only moderate inflation expectations, the yield curve reacted as expected, by continuing its flattening trend. While interest rates seesawed throughout the period based on mixed economic data, credit spreads in aggregate followed a one way trajectory wider. The front end of the credit curve traded with a firmer tone and posted positive performance. The springtime, however, was met with significant downgrades within the automotive sector. By the end of the period, Ford and General Motors were both downgraded below investment grade. The asset-backed security and commercial mortgage-backed securities sectors of the market also turned in solid performances generating above index returns. The mortgage sector was hurt as higher interest rates plagued the market leading to concerns surrounding extension risk. Analysis For the fiscal year ended January 31, 2006, the Intermediate-Duration Government Fund, Class A posted a return of 0.94% versus the 0.85% return of its benchmark, the Merrill Lynch 3-5 Year U.S. Treasury Bond Index. The Fund's defensive interest rate posture relative to the Index was additive to performance as interest rates rose for the year. The Fund's tactical curve positioning also proved to be positive to performance as the fund benefited from the flattening yield curve. Exposure to the mortgage-backed securities sector and Treasury Inflation Protected Securities (TIPS) was also a positive contributor to performance. 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 0.94% 1.92% 4.37% 5.24% 6.41% ------------------------------------------------------------------------------- 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. [Line Graph Omitted] [Plot Points Follow] Intermediate-Duration Merrill Lynch 3-5 Year Government Fund, U.S. Treasury Bond Class A Index 1/31/96 $10,000 $10,000 1/31/97 10,281 10,294 1/31/98 11,222 11,250 1/31/99 12,059 12,154 1/31/00 11,966 12,024 1/31/01 13,452 13,566 1/31/02 14,419 14,599 1/31/03 15,734 16,120 1/31/04 16,203 16,687 1/31/05 16,503 16,934 1/31/06 16,658 17,078 1 For the period ended January 31, 2006. 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, 2006 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2006 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. 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 year ended January 31, 2006 proved to be challenging for the U.S. bond market as investors contended with interest rate volatility, a Federal Open Market Committee that was focused on raising rates, and the uncertainty surrounding inflation. Short term rates climbed higher following the increasing Federal Funds rate. Fed Funds futures priced in a steady pace of rate hikes, predicting a 4.50% to 5.00% level by the middle of 2007. The market ended the period with short rates (represented by the 6-month Treasury bill) higher by 185 basis points. With only moderate inflation expectations, the yield curve reacted as expected, by continuing its flattening trend. While interest rates seesawed throughout the period based on mixed economic data, credit spreads in aggregate followed a one way trajectory wider. The front end of the credit curve traded with a firmer tone and posted positive performance. The springtime, however, was met with significant downgrades within the automotive sector. By the end of the period, Ford and General Motors were both downgraded below investment grade. The asset-backed security and commercial mortgage-backed securities sectors of the market also turned in solid performances generating above index returns. The mortgage sector was hurt as higher interest rates plagued the market leading to concerns surrounding extension risk. Analysis For the fiscal year ended January 31, 2006, the GNMA Fund, Class A posted a 2.60% return versus the 3.04% return of its benchmark, the Citigroup 30-Year GNMA Index. The Fund was positioned for a rising interest rate environment which helped overall returns. The Fund's tactical curve positioning also proved to be positive to performance as the Fund benefited from the flattening yield curve. In addition, the Fund's allocation to long U.S. Treasuries helped performance. 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 2.60% 2.80% 4.64% 5.58% 6.89% ------------------------------------------------------------------------------- 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. [Line Graph Omitted] [Plot Points Follow] GNMA Fund, Citigroup 30-Year Class A GNMA Index 1/31/96 $10,000 $10,000 1/31/97 10,470 10,577 1/31/98 11,467 11,563 1/31/99 12,242 12,335 1/31/00 12,097 12,396 1/31/01 13,723 14,122 1/31/02 14,714 15,206 1/31/03 15,852 16,402 1/31/04 16,194 16,914 1/31/05 16,783 17,628 1/31/06 17,220 18,164 1 For the period ended January 31, 2006. 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. -------------------------------------------------------------------------------- 4 SEI Daily Income Trust / Annual Report / January 31, 2006 Ultra Short Bond Fund Objectives The Ultra Short Bond Fund (the "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 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 Brothers 9-12 Month 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 year ended January 31, 2006 proved to be challenging for the U.S. bond market as investors contended with interest rate volatility, a Federal Open Market Committee that was focused on raising rates, and the uncertainty surrounding inflation. Short term rates climbed higher following the increasing Federal Funds rate. Fed Funds futures priced in a steady pace of rate hikes, predicting a 4.50% to 5.00% level by the middle of 2007. The market ended the period with short rates (represented by the 6-month Treasury bill) higher by 185 basis points. With only moderate inflation expectations, the yield curve reacted as expected, by continuing its flattening trend. While interest rates seesawed throughout the period based on mixed economic data, credit spreads in aggregate followed a one way trajectory wider. The front end of the credit curve traded with a firmer tone and posted positive performance. The springtime, however, was met with significant downgrades within the automotive sector. By the end of the period, Ford and General Motors were both downgraded below investment grade. The asset-backed security and commercial mortgage-backed securities sectors of the market also turned in a solid performance generating above index returns. The mortgage sector was hurt as higher interest rates plagued the market leading to concerns surrounding extension risk. Analysis For the fiscal year ended January 31, 2006, the Ultra Short Bond Fund, Class A returned 2.90%, versus the 2.66% return of its benchmark, the Lehman Brothers 9-12 Month Treasury Index. The Fund's defensive interest rate posture relative to the benchmark and the substantial allocation to floating rate securities was additive to performance as short term interest rates rose dramatically last year. The Fund's tactical curve positioning also added positively to performance as did exposure to asset-backed securities and the corporate bonds. 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 Fund, Class A 2.90% 1.87% 3.00% 4.42% 4.58% ------------------------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the Ultra Short Bond Fund, Class A, versus the Lehman Brothers 9-12 Month Treasury Index. The chart assumes all dividends and capital gain distributions are reinvested. [Line Graph Omitted] [Plot Points Follow] Ultra Short Bond Fund, Lehman Brothers 9-12 Month Class A Treasury Index 1/31/96 $10,000 $10,000 1/31/97 10,521 10,558 1/31/98 11,183 11,219 1/31/99 11,810 11,869 1/31/00 12,255 12,386 1/31/01 13,291 13,322 1/31/02 14,099 14,058 1/31/03 14,571 14,472 1/31/04 14,806 14,687 1/31/05 14,970 14,820 1/31/06 15,404 15,215 1 For the period ended January 31, 2006. 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. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE (CONTINUED) SEI DAILY INCOME TRUST -- JANUARY 31, 2006 DEFINITION OF THE COMPARATIVE INDICES* CITIGROUP 30-YEAR GNMA INDEX is a widely-recognized, market weighted index of GNMA mortgage-backed securities with remaining maturities of 30 years or less. LEHMAN BROTHERS 9-12 MONTH TREASURY INDEX is a widely-recognized, market weighted index of U.S. Treasury Bonds with remaining maturities between nine and twelve months. MERRILL LYNCH 1-3 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market weighted index of U.S. Treasury Bonds with maturities between one and three years. MERRILL LYNCH 3-5 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market weighted index of U.S. Treasury Bonds with maturities between three and five years. * An index measures the market price of a specific group of securities in a particular market or securities in a market sector. You cannot invest directly in an index. An index does not have an investment adviser and does not pay any commissions or expenses. If an index had expenses, its performance would be lower. -------------------------------------------------------------------------------- 6 SEI Daily Income Trust / Annual Report / January 31, 2006 STATEMENT OF NET ASSETS Money Market Fund January 31, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [Bar Chart Omitted] [Plot Points Follow] 40.3% Commercial Paper 26.0% Certificates of Deposit 15.9% Corporate Bonds 8.7% Repurchase Agreement 4.6% Insurance Funding Agreements 4.5% Municipal Bonds *Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (A) -- 40.4% ASSET BACKED - FINANCIAL SERVICES (E) -- 37.5% Amstel Funding 4.378%, 02/28/06 $ 5,000 $ 4,984 4.505%, 04/10/06 25,000 24,790 Atlantis One Funding 3.989%, 02/23/06 20,000 19,952 CRC Funding LLC 4.343%, 02/09/06 10,000 9,990 Charta LLC 4.388%, 02/27/06 8,000 7,975 Concord Minutemen Capital 4.650%, 07/10/06 29,634 29,039 Crown Point Capital 4.000%, 02/14/06 25,000 24,965 Curzon Funding LLC 4.439%, 03/13/06 20,000 19,902 Eureka Securitization 4.320%, 02/21/06 15,000 14,964 Gemini Securitization LLC 4.298%, 02/17/06 15,000 14,972 Grampian Funding LLC 4.050%, 03/22/06 10,000 9,946 Klio Funding 4.456%, 03/08/06 13,256 13,199 Klio II Funding 4.413%, 02/28/06 13,310 13,266 Klio III Funding 4.456%, 03/08/06 15,275 15,210 Lake Constance Funding LLC 4.183%, 02/06/06 8,500 8,495 New Center Asset Trust 4.285%, 02/07/06 30,000 29,979 4.296%, 02/13/06 10,000 9,986 Paradigm Funding LLC 4.026%, 02/28/06 42,500 42,374 Sunbelt Funding 4.270%, 02/10/06 9,000 8,991 ------------- 322,979 ------------- -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- INVESTMENT BANKER/BROKER DEALER -- 2.9% Goldman Sachs Group 4.503%, 02/01/06 $ 25,000 $ 25,000 ------------- Total Commercial Paper (Cost $347,979) ($ Thousands) 347,979 ------------- CERTIFICATES OF DEPOSIT -- 26.1% Bank of Tokyo - Mitsubishi NY 4.800%, 01/11/07 7,000 7,000 Barclays Bank PLC NY 4.200%, 02/17/06 10,000 10,000 Canadian Imperial Bank of Commerce NY 4.802%, 12/05/06 6,000 6,000 Credit Suisse First Boston NY 4.750%, 11/07/06 10,000 10,000 Credit Suisse First Boston NY (B) 4.575%, 04/18/06 15,000 15,000 4.538%, 04/12/06 8,500 8,500 Depfa Bank PLC NY 4.800%, 12/05/06 6,000 6,000 Deutsche Bank 4.805%, 02/21/07 8,000 8,000 Deutsche Bank NY 4.105%, 08/25/06 8,000 8,000 HBOS Treasury Services 3.290%, 03/15/06 5,000 5,000 HSBC Finance (A) 4.459%, 03/13/06 15,000 14,926 Landesbank Hessen-Thueringen GZ 3.250%, 02/17/06 10,000 10,000 Morgan Stanley Dean Witter (B) 4.580%, 02/01/06 35,000 35,000 Standard Federal Bank 4.140%, 07/24/06 15,000 15,000 Svenska Handels NY (B) 4.430%, 02/21/06 25,000 24,997 Thornburg Mortgage Capital (A) 4.463%, 02/06/06 21,100 21,087 Unicredito Italiano NY (B) 4.366%, 02/28/06 20,000 20,000 ------------- Total Certificates of Deposit (Cost $224,510) ($ Thousands) 224,510 ------------- -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 7 STATEMENT OF NET ASSETS Money Market Fund (Concluded) January 31, 2006 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE BONDS -- 16.0% ASSET BACKED - FINANCIAL SERVICES (B) (E) (F) -- 5.5% Atlas Capital Funding MTN 4.510%, 02/25/06 $ 25,000 $ 25,000 K2 LLC MTN 4.373%, 03/07/06 10,000 10,000 Mesa Properties LLC 4.640%, 02/01/06 2,500 2,500 Premier Asset Collateralized Entity LLC MTN 4.570%, 02/16/06 10,000 10,000 ------------- 47,500 ------------- ASSET BACKED - OTHER (B) (E) (F) -- 8.1% Harrier Finance Funding LLC MTN 4.430%, 02/17/06 30,000 29,999 Healthcare Property Group PLC 4.470%, 02/01/06 11,960 11,960 Paragon Mortgages PLC, Ser 10A, Cl A1 4.470%, 02/15/06 25,000 25,000 Residential Mortgage Securities, Ser 17A, Cl A1 4.480%, 02/13/06 2,867 2,867 ------------- 69,826 ------------- BANKS -- 1.2% Northern Rock PLC (B) (F) 4.396%, 02/05/06 10,000 10,000 ------------- INVESTMENT BANKER/BROKER DEALER -- 1.2% Goldman Sachs Group (B) (C) 4.501%, 02/13/06 10,000 10,000 ------------- Total Corporate Bonds (Cost $137,326) ($ Thousands) 137,326 ------------- INSURANCE FUNDING AGREEMENTS (B) (C) (G) -- 4.6% Metropolitan Life Insurance 4.330%, 02/01/06 30,000 30,000 Monumental Life Insurance 4.570%, 03/01/06 9,500 9,500 ------------- Total Insurance Funding Agreements (Cost $39,500) ($ Thousands) 39,500 ------------- -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MUNICIPAL BONDS (B) -- 4.4% COLORADO -- 1.4% Denver City, City & County School District, Ser B, COP, AMBAC 4.430%, 02/15/06 $ 12,400 $ 12,400 ------------- GEORGIA -- 0.8% Athens-Clarke County, Industrial Development Authority, Allen Properties Incorporated, RB (E) 4.470%, 02/01/06 7,095 7,095 ------------- TEXAS -- 2.1% Harris County, Sports Authority, National Football League Project, Ser E, RB, MBIA 4.520%, 02/15/06 2,900 2,900 Texas State, Small Business Project, Ser B, GO 4.480%, 02/01/06 10,000 10,000 Texas State, Veterans Funding II Project, Ser D, GO 4.430%, 02/01/06 5,270 5,270 ------------- Total Texas 18,170 ------------- UTAH -- 0.1% Utah State, Board of Regents, Student Loan Authority, Ser X, RB, AMBAC 4.460%, 02/01/06 1,000 1,000 ------------- Total Municipal Bonds (Cost $38,665) ($ Thousands) 38,665 ------------- REPURCHASE AGREEMENT (D) -- 8.8% Deutsche Bank 4.450%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $75,506,332 (collateralized by various FNMA obligations, ranging in par value $17,283,000-$20,000,000, 3.750%-5.400%, 04/05/06- 04/08/14, with total market value $77,007,774) 75,497 75,497 ------------- Total Repurchase Agreement (Cost $75,497) ($ Thousands) 75,497 ------------- Total Investments -- 100.3% (Cost $863,477) ($ Thousands) 863,477 ------------- -------------------------------------------------------------------------------- 8 SEI Daily Income Trust / Annual Report / January 31, 2006 -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (0.3)% Income Distribution Payable $ (2,232) Payable for Fund Shares Redeemed (2,128) Shareholder Servicing Fees Payable (221) Administration Fees Payable (109) Investment Advisory Fees Payable (18) Other Assets and Liabilities, Net 2,468 ------------- Total Other Assets and Liabilities (2,240) ------------- Net Assets -- 100.0% $ 861,237 ============= NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 861,249 Accumulated net realized loss on investments (12) ------------- Net Assets $ 861,237 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class A ($392,207,350 / 392,226,170 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class B ($123,850,760 / 123,840,943 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class C ($232,071,978 / 232,084,121 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class ($113,106,929 / 113,106,077 shares) $1.00 ============= -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- (A) The rate reported is the effective yield at time of purchase. (B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets is the rate in effect on January 31, 2006. The date shown is the earlier of the reset date or the demand date. (C) Securities considered illiquid. The total value of such securities as of January 31, 2006, was $49,500 ($ Thousands) and represented 5.75% of Net Assets. (D) Tri-Party Repurchase Agreement. (E) Securities are held in connection with a letter of credit issued by a major bank. (F) Security sold within the terms of a private placement memorandum, exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." The total value of such securities as of January 31, 2006 was $127,326 ($ Thousands) and represented 14.78% of Net Assets. These securities have been deemed liquid by the Board of Trustees. (G) Securities are considered restricted. The total value of such securities as of January 31, 2006 was $39,500 ($ Thousands) and represented 4.59% of Net Assets. AMBAC -- American Municipal Bond Assurance Company Cl -- Class COP -- Certificate of Participation FNMA -- Federal National Mortgage Association GO -- General Obligation LLC -- Limited Liability Company MBIA -- Municipal Bond Insurance Assurance MTN -- Medium Term Note NY -- New York PLC -- Public Liability Company RB -- Revenue Bond Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 9 STATEMENT OF NET ASSETS Government Fund January 31, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [Bar Chart Omitted] [Plot Points Follow] 75.2% U.S. Government Agency Obligations 24.8% Repurchase Agreements *Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 75.1% FFCB (B) 4.265%, 02/01/06 $ 10,000 $ 10,000 4.260%, 02/01/06 50,000 50,005 4.250%, 02/01/06 35,000 34,997 4.240%, 02/01/06 30,000 29,995 4.500%, 02/28/06 30,000 29,999 FHLB 5.125%, 03/06/06 2,000 2,003 2.500%, 04/11/06 10,000 9,979 4.000%, 08/11/06 12,000 12,000 3.875%, 12/20/06 8,000 7,943 FHLB (B) 4.195%, 02/10/06 10,000 9,998 4.360%, 03/13/06 15,000 14,996 4.400%, 03/29/06 25,000 24,989 FHLMC 1.875%, 02/15/06 10,000 9,991 3.700%, 06/30/06 7,162 7,160 FHLMC (B) 4.366%, 03/20/06 30,000 29,988 4.366%, 03/22/06 25,000 24,993 FHLMC DN (A) 4.159%, 02/07/06 50,000 49,966 FHLMC MTN 3.000%, 06/29/06 1,000 995 2.000%, 06/30/06 5,000 4,960 2.050%, 07/14/06 2,000 1,984 2.200%, 07/28/06 2,000 1,981 2.800%, 01/26/07 6,700 6,572 FNMA 2.300%, 04/28/06 1,230 1,225 2.730%, 05/19/06 7,250 7,222 5.250%, 06/15/06 5,645 5,670 2.100%, 07/06/06 10,000 9,894 4.000%, 08/18/06 15,000 14,988 FNMA (B) 4.298%, 02/07/06 75,000 74,999 4.267%, 02/22/06 40,000 39,996 4.375%, 03/21/06 5,000 4,999 4.360%, 03/21/06 25,000 24,986 ------------- Total U.S. Government Agency Obligations (Cost $559,473) ($ Thousands) 559,473 ------------- -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (C) -- 24.8% Deutsche Bank 4.450%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $64,959,029 (collateralized by various FHLB/ FHLMC/FNMA obligations, ranging in par value $1,777,000- $20,480,000, 3.000%-5.380%, 02/24/06-06/16/20, with total market value $66,250,681) $ 64,951 $ 64,951 Goldman Sachs Group 4.400%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $120,014,667 (collateralized by various FHLB/FHLMC/FNMA obligations, ranging in par value $3,152,000- $46,820,000, 4.020%-5.500%, 02/15/06-05/15/21, with total market value $122,404,780) 120,000 120,000 ------------- Total Repurchase Agreements (Cost $184,951) ($ Thousands) 184,951 ------------- Total Investments -- 99.9% (Cost $744,424) ($ Thousands) 744,424 ------------- OTHER ASSETS AND LIABILITIES -- 0.1% Income Distribution Payable (1,542) Administration Fees Payable (106) Shareholder Servicing Fees Payable (103) Investment Advisory Fees Payable (15) Other Assets and Liabilities, Net 2,589 ------------- Total Other Assets and Liabilities 823 ------------- Net Assets -- 100.0% $ 745,247 ============= NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 745,315 Accumulated net realized loss on investments (68) ------------- Net Assets $ 745,247 ============= -------------------------------------------------------------------------------- 10 SEI Daily Income Trust / Annual Report / January 31, 2006 -------------------------------------------------------------------------------- Description Value -------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A ($467,445,449 / 467,477,945 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class B ($122,024,618 / 122,040,903 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class C ($129,415,972 / 129,436,419 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class ($26,360,839 / 26,364,702 shares) $1.00 ============= (A) The rate reported is the effective yield at time of purchase. (B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets is the rate in effect on January 31, 2006. The date shown is the earlier of the reset date or the demand date. (C) Tri-Party Repurchase Agreement. DN -- Discount Note FFCB -- Federal Farm Credit Bank FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association MTN -- Medium Term Note The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 11 STATEMENT OF NET ASSETS Government II Fund January 31, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [Bar Chart Omitted] [Plot Points Follow] 100.0% U.S. Government Agency Obligations *Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 100.1% FFCB (B) 4.280%, 02/01/06 $ 11,530 $ 11,530 4.265%, 02/01/06 10,000 10,000 4.250%, 02/01/06 60,000 59,994 4.240%, 02/01/06 30,000 29,995 FHLB 5.125%, 03/06/06 2,000 2,003 2.650%, 03/30/06 1,000 998 2.500%, 04/11/06 10,000 9,979 4.150%, 04/28/06 8,000 8,000 4.000%, 08/11/06 2,000 2,000 3.875%, 12/20/06 20,000 19,858 3.750%, 01/16/07 10,000 9,902 FHLB (B) 4.248%, 02/02/06 75,000 74,969 4.150%, 02/02/06 2,545 2,545 4.195%, 02/10/06 10,000 9,998 4.360%, 03/13/06 15,000 14,996 4.404%, 03/28/06 20,000 19,998 4.400%, 03/29/06 25,000 24,989 4.396%, 04/04/06 10,000 9,996 FHLB DN (A) 4.341%, 02/01/06 74,029 74,029 3.722%, 02/03/06 20,000 19,996 4.239%, 02/08/06 5,000 4,996 4.269%, 02/10/06 100,000 99,894 4.331%, 02/15/06 50,000 49,916 4.277%, 02/17/06 80,000 79,849 4.297%, 02/22/06 100,000 99,750 ------------- Total U.S. Government Agency Obligations (Cost $750,180) ($ Thousands) 750,180 ------------- Total Investments -- 100.1% (Cost $750,180) ($ Thousands) 750,180 ------------- -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (0.1)% Income Distribution Payable $ (2,122) Administration Fees Payable (110) Shareholder Servicing Fees Payable (45) Investment Advisory Fees Payable (15) Other Assets and Liabilities, Net 1,427 ------------- Total Other Assets and Liabilities (865) ------------- Net Assets -- 100.0% $ 749,315 ============= NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 749,330 Accumulated net realized loss on investments (15) ------------- Total Net Assets $ 749,315 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class A ($576,241,830 / 576,370,309 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class B ($168,615,980 / 168,610,514 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class C ($4,457,539 / 4,449,150 shares) $1.00 ============= (A) The rate reported is the effective yield at time of purchase. (B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets is the rate in effect on January 31, 2006. The date shown is the earlier of the reset date or the demand date. DN -- Discount Note FFCB -- Federal Farm Credit Bank FHLB -- Federal Home Loan Bank The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 12 SEI Daily Income Trust / Annual Report / January 31, 2006 Prime Obligation Fund January 31, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [Bar Chart Omitted] [Plot Points Follow] 49.6% Commercial Paper 17.7% Certificates of Deposit 14.3% Corporate Bonds 9.2% Repurchase Agreement 7.4% Insurance Funding Agreements 1.4% Time Desposit 0.4% Municipal Bond *Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (A) -- 49.6% ASSET BACKED - FINANCIAL SERVICES (E) -- 43.6% Amstel Funding 4.505%, 04/10/06 $ 87,403 $ 86,668 4.684%, 07/11/06 75,000 73,473 Atlantis One Funding 3.999%, 02/22/06 67,826 67,671 4.051%, 03/21/06 100,000 99,471 CC USA MTN 4.010%, 03/22/06 40,000 39,786 CRC Funding LLC 4.343%, 02/09/06 40,000 39,962 Charta LLC 4.388%, 02/27/06 40,000 39,874 Dorada Finance 4.436%, 03/13/06 40,000 39,805 Eureka Securitization 4.320%, 02/21/06 50,000 49,881 Galaxy Funding 4.500%, 04/11/06 47,500 47,095 Gemini Securitization LLC 4.298%, 02/17/06 60,000 59,887 Giro Funding US 4.020%, 02/22/06 65,000 64,851 Gotham Funding 4.466%, 02/17/06 60,073 59,954 Grampian Funding LLC 4.320%, 02/21/06 50,000 49,881 Greyhawk Funding LLC 4.285%, 02/07/06 175,000 174,876 Harrier Finance Funding US LLC 4.438%, 03/06/06 36,000 35,855 Klio II Funding 4.476%, 02/17/06 63,716 63,590 New Center Asset Trust 4.285%, 02/07/06 50,000 49,965 4.296%, 02/13/06 39,000 38,945 4.297%, 02/15/06 50,000 49,917 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Paradigm Funding LLC 4.026%, 02/28/06 $ 180,000 $ 179,467 Picaros Funding LLC 4.666%, 07/10/06 88,839 87,050 Silver Tower US Funding 4.468%, 02/21/06 107,000 106,735 Solitaire Funding LLC 4.413%, 02/27/06 39,000 38,877 Surrey Funding 4.500%, 04/10/06 82,500 81,807 Sydney Capital 4.445%, 02/13/06 212,540 212,226 ------------- 1,937,569 ------------- INVESTMENT BANKER/BROKER DEALER -- 6.0% Goldman Sachs Group 4.503%, 02/01/06 200,000 200,000 Lehman Brothers Holdings 4.620%, 08/01/06 70,000 68,429 ------------- 268,429 ------------- Total Commercial Paper (Cost $2,205,998) ($ Thousands) 2,205,998 ------------- CERTIFICATES OF DEPOSIT -- 17.7% Citibank NA 4.340%, 02/17/06 50,000 50,000 Dorada Finance 3.630%, 04/28/06 25,000 24,939 Lasalle National Bank 4.070%, 07/26/06 38,250 38,250 Morgan Stanley Dean Witter (B) 4.580%, 02/01/06 175,000 175,000 Sigma Finance 4.850%, 02/12/07 30,000 30,000 Standard Federal Bank 4.140%, 07/24/06 65,500 65,500 SunTrust Bank 4.290%, 04/13/06 158,750 158,707 Thornburg Mortgage Capital (A) 4.431%, 02/03/06 70,000 69,983 4.485%, 02/14/06 75,000 74,879 Wells Fargo Bank NA 4.790%, 01/18/07 81,000 81,010 White Pine Finance LLC (B) 4.320%, 02/21/06 19,000 18,999 ------------- Total Certificates of Deposit (Cost $787,267) ($ Thousands) 787,267 ------------- -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 13 STATEMENT OF NET ASSETS Prime Obligation Fund (Concluded) January 31, 2006 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE BONDS -- 14.4% ASSET BACKED - FINANCIAL SERVICES (B) (E) (F) -- 2.2% Atlas Capital Funding MTN 4.510%, 08/25/06 $ 48,500 $ 48,499 K2 (USA) LLC MTN 4.340%, 11/15/06 50,000 50,009 ------------- 98,508 ------------- ASSET BACKED - OTHER (B) (E) (F) -- 3.4% Harrier Finance Funding LLC MTN 4.430%, 12/15/06 50,000 49,987 Premier Asset Collateralized Entity LLC MTN 4.570%, 01/16/07 25,000 25,000 Whistlejacket Capital LLC MTN 4.345%, 02/06/06 75,000 75,000 ------------- 149,987 ------------- BANKS -- 3.8% American Express Bank (B) 4.440%, 04/18/06 9,500 9,500 4.430%, 11/16/06 147,000 146,988 Banc One 6.500%, 02/01/06 10,650 10,650 ------------- 167,138 ------------- INVESTMENT BANKER/BROKER DEALER -- 5.0% Goldman Sachs Group (C) 4.501%, 09/13/07 20,000 20,000 Links Finance LLC MTN (B) 4.425%, 10/16/06 150,000 149,984 4.567%, 11/20/06 50,000 49,996 ------------- 219,980 ------------- Total Corporate Bonds (Cost $635,613) ($ Thousands) 635,613 ------------- INSURANCE FUNDING AGREEMENTS (B) (C) (G) -- 7.4% Metropolitan Life Insurance 4.330%, 05/01/06 160,000 160,000 Monumental Life Insurance 4.570%, 06/01/06 101,500 101,500 Travelers Insurance 4.480%, 05/31/06 68,000 68,000 ------------- Total Insurance Funding Agreements (Cost $329,500) ($ Thousands) 329,500 ------------- -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- TIME DEPOSIT -- 1.5% SunTrust Bank 4.480%, 02/01/06 $ 64,159 $ 64,159 ------------- Total Time Deposit (Cost $64,159) ($ Thousands) 64,159 ------------- MUNICIPAL BOND (B) -- 0.3% Texas State, Veterans Funding I Project, Ser C, GO 4.430%, 12/01/25 15,330 15,330 ------------- Total Municipal Bond (Cost $15,330) ($ Thousands) 15,330 ------------- REPURCHASE AGREEMENT (D) -- 9.2% Deutsche Bank 4.450%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $408,098,439 (collateralized by various FHLB/ FHLMC/FNMA obligations, ranging in par value $2,717,000- $113,189,000, 3.000%-6.000%, 02/28/06-12/21/15, with total market value $416,209,301) 408,048 408,048 ------------- Total Repurchase Agreement (Cost $408,048) ($ Thousands) 408,048 ------------- Total Investments -- 100.1% (Cost $4,445,915) ($ Thousands) 4,445,915 ------------- OTHER ASSETS AND LIABILITIES -- (0.1)% Income Distribution Payable (12,164) Administration Fees Payable (629) Shareholder Servicing Fees Payable (523) Payable for Fund Shares Redeemed (151) Investment Advisory Fees Payable (91) Other Assets and Liabilities, Net 11,309 ------------- Total Other Assets and Liabilities (2,249) ------------- Net Assets -- 100.0% $ 4,443,666 ============= -------------------------------------------------------------------------------- 14 SEI Daily Income Trust / Annual Report / January 31, 2006 -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 4,443,770 Accumulated net realized loss on investments (104) ------------- Net Assets $ 4,443,666 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class A ($2,957,073,279 / 2,957,252,063 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class B ($625,831,033 / 625,815,912 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class C ($779,625,236 / 779,569,663 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class H ($36,005,835 / 36,007,039 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class ($45,130,119 / 45,126,364 shares) $1.00 ============= (A) The rate reported is the effective yield at time of purchase. (B) Floating Rate Instrument. The rate reflected on the Statement of Net Assets is the rate in effect on January 31, 2006. The date shown is the earlier of the reset date or the demand date. (C) Securities considered illiquid. The total value of such securities as of January 31, 2006 was $349,500 ($ Thousands) and represented 7.87% of the Net Assets. (D) Tri-Party Repurchase Agreement. (E) Securities are held in connection with a letter of credit issued by a major bank. (F) Security sold within the terms of a private placement memorandum, exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." The total value of such securities as of January 31, 2006 was $248,495 ($ Thousands) and represented 5.59% of Net Assets. These securities have been deemed liquid by the Board of Trustees. (G) Securities are considered restricted. The total value of such securities as of January 31, 2006 was $329,500 ($ Thousands) and represented 7.42% of Net Assets. FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GO -- General Obligation LLC -- Limited Liability Company MTN -- Medium Term Note NA -- National Association Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 15 STATEMENT OF NET ASSETS Treasury Fund January 31, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [Bar Chart Omitted] [Plot Points Follow] 96.9% Repurchase Agreements 3.1% U.S. Treasury Obligation *Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATION --3.1% U.S. Treasury Notes 1.625%, 02/28/06 $ 20,000 $ 19,968 ------------- Total U.S. Treasury Obligation (Cost $19,968) ($ Thousands) 19,968 ------------- REPURCHASE AGREEMENTS (A) -- 97.2% Barclays Capital 4.390%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $153,018,658 (collateralized by various U.S. Treasury Bills and Notes, ranging in par value $25,617,000- $80,708,000, 4.250%-8.125%, 03/30/06-05/15/21, with total market value $156,060,817) 153,000 153,000 Bear Stearns 4.400%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $100,012,222 (collateralized by various U.S. Treasury Bills and Notes, ranging in par value $1,572,000- $100,000,000, 4.000%-4.240%, 03/09/06-09/30/07, with total market value $102,049,917) 100,000 100,000 BNP Paribas 4.380%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $153,018,615 (collateralized by various U.S. Treasury Bills and Notes, ranging in par value $19,854,000- $76,508,000, 2.000%-4.875%, 02/15/12-04/15/29, with total market value $156,061,611) 153,000 153,000 Lehman Brothers 4.360%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $67,324,153 (collateralized by a U.S. Treasury Bond, par value $47,950,000, 8.750%, 05/15/20, with total market value $68,664,968) 67,316 67,316 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Morgan Stanley 4.380%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $153,018,615 (collateralized by various U.S. Treasury Notes, ranging in par value $12,000-$111,156,000, 4.609%-4.850%, 11/15/24- 05/15/27, with total market value $156,060,095) $ 153,000 $ 153,000 ------------- Total Repurchase Agreements (Cost $626,316) ($ Thousands) 626,316 ------------- Total Investments -- 100.3% (Cost $646,284) ($ Thousands) 646,284 ------------- OTHER ASSETS AND LIABILITIES -- (0.3)% Income Distribution Payable (1,723) Shareholder Servicing Fees Payable (162) Administration Fees Payable (87) Investment Advisory Fees Payable (12) Other Assets and Liabilities, Net 231 ------------- Total Other Assets and Liabilities (1,753) -------------- Net Assets -- 100.0% $ 644,531 ============= NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 644,624 Accumulated net realized loss on investments (93) ------------- Net Assets $ 644,531 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class A ($208,096,449 / 208,132,245 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class B ($239,461,429 / 239,500,885 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class C ($113,402,577 / 113,414,243 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class ($83,570,342 / 83,576,471 shares) $1.00 ============= (A) Tri-Party Repurchase Agreement. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 16 SEI Daily Income Trust / Annual Report / January 31, 2006 Treasury II Fund January 31, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [Bar Chart Omitted] [Plot Points Follow] 100.0% U.S. Treasury Obligations *Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 99.8% U.S. Treasury Bills (A) 3.927%, 02/16/06 $ 77,200 $ 77,074 4.131%, 02/23/06 2,459 2,453 U.S. Treasury Notes 1.625%, 02/28/06 172,020 171,705 ------------- Total U.S. Treasury Obligations (Cost $251,232) ($ Thousands) 251,232 ------------- Total Investments -- 99.8% (Cost $251,232) ($ Thousands) 251,232 ------------- OTHER ASSETS AND LIABILITIES -- 0.2% Income Distribution Payable (665) Administration Fees Payable (49) Shareholder Servicing Fees Payable (20) Investment Advisory Fees Payable (5) Other Assets and Liabilities, Net 1,182 ------------- Total Other Assets and Liabilities 443 ------------- Net Assets -- 100.0% $ 251,675 ============= NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 251,803 Accumulated net realized loss on investments (128) ------------- Net Assets $ 251,675 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class A ($178,479,786 / 178,734,181 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class B ($70,593,299 / 70,608,524 shares) $1.00 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class C ($2,602,311 / 2,608,325 shares) $1.00 ============= (A) The rate reported is the effective yield at time of purchase. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 17 STATEMENT OF NET ASSETS Short-Duration Government Fund January 31, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [Bar Chart Omitted] [Plot Points Follow] 52.1% U.S. Government Mortgage-Backed Obligations 34.9% U.S. Government Agency Obligations 10.8% U.S. Treasury Obligations 2.2% Repurchase Agreement *Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 51.5% FHLMC 5.500%, 07/01/17 to 05/01/20 $ 7,606 $ 7,653 4.500%, 09/15/24 4,261 4,217 FHLMC (A) 5.959%, 01/01/07 84 85 5.790%, 10/01/06 459 468 5.763%, 09/01/06 6,615 6,839 5.586%, 11/01/06 142 145 5.560%, 12/01/06 85 87 5.501%, 06/01/06 117 121 5.500%, 08/01/06 28 29 5.422%, 11/01/06 104 106 5.402%, 07/01/06 110 113 5.393%, 10/01/06 139 142 5.389%, 08/01/06 286 292 5.375%, 08/01/06 29 30 5.351%, 05/01/06 257 266 5.342%, 08/01/06 412 419 5.285%, 06/01/06 347 354 5.250%, 08/01/06 54 54 5.248%, 05/01/06 60 61 5.168%, 09/01/06 411 417 5.132%, 05/01/06 6 6 5.125%, 07/01/06 17 17 4.875%, 06/01/06 to 08/01/06 26 26 4.766%, 12/01/06 60 61 4.750%, 02/01/06 76 78 4.625%, 06/01/06 12 12 4.375%, 03/01/06 to 09/01/06 57 57 4.373%, 11/01/06 52 54 4.250%, 02/01/06 to 01/01/07 36 36 4.125%, 09/01/06 to 12/01/06 42 43 4.000%, 02/01/06 to 10/01/06 27 28 3.750%, 01/01/07 9 9 3.500%, 10/01/06 to 11/01/06 25 25 FHLMC REMIC, Ser 2061, Cl TA 5.250%, 10/15/27 114 114 FHLMC REMIC, Ser 2481, Cl BC 5.250%, 08/15/30 102 102 FHLMC REMIC, Ser 2617, Cl UN 4.500%, 08/15/12 2,597 2,579 FHLMC REMIC, Ser 2630, Cl KN 2.500%, 04/15/13 2,500 2,415 FHLMC REMIC, Ser 2684, Cl GN 3.250%, 05/15/23 1,851 1,813 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC REMIC, Ser 2684, Cl QM 3.500%, 03/15/19 $ 2,069 $ 2,052 FHLMC REMIC, Ser 2689, Cl PY 4.000%, 02/15/10 1,904 1,895 FHLMC REMIC, Ser 2691, Cl OK 3.500%, 05/15/17 957 949 FHLMC REMIC, Ser 2727, Cl PA 4.125%, 08/15/18 1,648 1,636 FHLMC REMIC, Ser 2750, Cl NA 3.500%, 03/15/15 2,709 2,686 FHLMC REMIC, Ser 2750, Cl OA 3.500%, 10/15/11 1,841 1,827 FHLMC REMIC, Ser 2760, Cl PH 3.500%, 10/15/21 2,358 2,312 FHLMC REMIC, Ser 2760, Cl PK 4.500%, 10/15/21 2,947 2,927 FHLMC REMIC, Ser T-42, Cl A5 7.500%, 02/25/42 1,634 1,706 FNMA 6.775%, 10/01/07 538 547 6.610%, 04/01/09 158 163 6.490%, 08/01/08 544 556 6.270%, 11/01/07 866 875 6.229%, 12/01/08 2,428 2,475 6.210%, 08/01/08 1,279 1,300 6.130%, 10/01/08 144 147 6.085%, 10/01/08 366 372 6.080%, 09/01/08 902 915 6.010%, 06/01/09 341 346 5.735%, 01/01/09 1,354 1,371 5.016%, 02/01/13 96 95 4.621%, 04/01/13 197 192 4.500%, 07/01/19 to 03/01/20 645 627 FNMA (A) 6.031%, 02/25/06 34 36 5.768%, 05/01/06 2,141 2,215 5.592%, 07/01/06 2,658 2,737 5.551%, 04/01/06 970 989 5.250%, 09/01/06 715 726 5.244%, 07/01/06 2,751 2,802 FNMA REMIC, Ser 1993-32, Cl H 6.000%, 03/25/23 164 164 FNMA REMIC, Ser 1995-13, Cl C 6.500%, 10/25/08 202 204 FNMA REMIC, Ser 1997-M5, Cl B 6.650%, 08/25/07 275 278 FNMA REMIC, Ser 2001-53, Cl CA 5.750%, 06/25/31 306 305 FNMA REMIC, Ser 2002-3, Cl PG 5.500%, 02/25/17 2,000 2,022 FNMA REMIC, Ser 2002-34, Cl FE (A) 4.870%, 02/18/06 516 519 FNMA REMIC, Ser 2002-53, Cl FK (A) 4.930%, 02/25/06 708 710 -------------------------------------------------------------------------------- 18 SEI Daily Income Trust / Annual Report / January 31, 2006 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FNMA REMIC, Ser 2002-63, Cl QF (A) 4.830%, 02/25/06 $ 1,179 $ 1,184 FNMA REMIC, Ser 2003-57, Cl KL 3.500%, 03/25/09 339 337 FNMA REMIC, Ser 2003-76, Cl CA 3.750%, 07/25/33 1,993 1,821 FNMA REMIC, Ser G92-61, Cl FA (A) 5.181%, 02/25/06 363 367 FNMA REMIC, Ser G93-5, Cl Z 6.500%, 02/25/23 71 72 GNMA 7.500%, 01/15/11 to 02/15/11 49 52 6.500%, 06/15/16 to 09/15/17 2,587 2,667 6.000%, 06/15/16 to 09/15/19 1,457 1,500 GNMA REMIC, Ser 2002-24, Cl FA (A) 4.970%, 02/16/06 580 585 GNMA REMIC, Ser 2005-74, Cl HA 7.500%, 09/16/35 349 368 GNMA REMIC, Ser 2005-74, Cl HB 7.500%, 09/16/35 151 158 ------------- Total U.S. Government Mortgage-Backed Obligations (Cost $81,456) ($ Thousands) 80,162 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 34.5% FHLB 4.125%, 10/19/07 21,000 20,768 FHLMC 4.875%, 03/15/07 9,250 9,252 4.000%, 08/17/07 17,050 16,843 3.625%, 09/15/08 5,750 5,588 FNMA 3.000%, 08/15/07 1,300 1,265 ------------- Total U.S. Government Agency Obligations (Cost $54,157) ($ Thousands) 53,716 ------------- U.S. TREASURY OBLIGATIONS -- 10.7% U.S. Treasury Inflation Protected Security 3.625%, 01/15/08 15,921 16,465 U.S. Treasury Notes (C) 3.000%, 11/15/07 100 97 ------------- Total U.S. Treasury Obligations (Cost $16,540) ($ Thousands) 16,562 ------------- REPURCHASE AGREEMENT (B)-- 2.2% UBS Securities LLC 4.470%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $3,400,422 (collateralized by a U.S. Government obligation, par value $3,545,000, 4.500%, 07/15/13, with total market value $3,470,555) 3,400 3,400 ------------- Total Repurchase Agreement (Cost $3,400) ($ Thousands) 3,400 ------------- -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- Total Investments -- 98.9% (Cost $155,553) ($ Thousands) $ 153,840 ------------- OTHER ASSETS AND LIABILITIES -- 1.1% Receivable for Investment Securities Sold 187 Payable for Fund Shares Redeemed (283) Income Distribution Payable (112) Administration Fees Payable (43) Investment Advisory Fees Payable (11) Variation Margin Payable (4) Other Assets and Liabilities, Net 1,938 ------------- Total Other Assets and Liabilities 1,672 ------------- Net Assets -- 100.0% $ 155,512 ============= NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 162,645 Distribution in excess of net investment income (72) Accumulated net realized loss on investments (5,332) Net unrealized depreciation on investments (1,713) Net unrealized depreciation on futures contracts (16) ------------- Net Assets $ 155,512 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class A ($155,512,104 / 15,520,834 shares) $10.02 ============= Futures Contracts -- A summary of the open future contracts held by the Fund at January 31, 2006, is as follows: (See Note 2 in Notes to Financial Statements) -------------------------------------------------------------------------------- NUMBER OF CONTRACT UNREALIZED TYPE OF CONTRACTS VALUE EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) ($ THOUSANDS) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. 2 Year Treasury Note 41 $8,399 March 2006 $ (9) U.S. 5 Year Treasury Note 39 4,124 March 2006 (7) ---- $(16) ==== (A) Floating Rate Instrument. The rate reflected on the Statement of Net Assets is the rate in effect on January 31, 2006. The date shown is the earlier of the reset date or the demand date. (B) Tri-Party Repurchase Agreement (C) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. Cl -- Class FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association LLC -- Limited Liability Company REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 19 STATEMENT OF NET ASSETS Intermediate-Duration Government Fund January 31, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [Bar Chart Omitted] [Plot Points Follows] 45.7% U.S. Government Mortgage-Backed Obligations 32.9% U.S. Government Agency Obligations 17.3% U.S. Treasury Obligations 4.1% Repurchase Agreement *Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 46.3% FHLMC 8.250%, 12/01/07 to 12/01/09 $ 32 $ 32 6.500%, 08/01/14 108 110 6.000%, 10/01/09 to 09/01/24 4,783 4,867 5.500%, 06/01/19 to 12/01/20 1,422 1,431 FHLMC REMIC, Ser 1599, Cl C 6.100%, 10/15/23 745 756 FHLMC REMIC, Ser 165, Cl K 6.500%, 09/15/21 35 35 FHLMC REMIC, Ser 2630, Cl HA 3.000%, 01/15/17 1,968 1,857 FHLMC REMIC, Ser 2635, Cl NJ 3.000%, 03/15/17 525 494 FHLMC REMIC, Ser 2760, Cl PH 3.500%, 10/15/21 1,022 1,002 FHLMC TBA 6.000%, 02/18/19 680 693 FNMA 9.500%, 05/01/18 75 82 8.000%, 05/01/08 to 06/01/08 35 36 7.500%, 03/01/07 7 7 7.004%, 08/01/07 303 309 6.950%, 10/01/06 1,550 1,551 6.906%, 06/01/07 8 8 6.800%, 10/01/07 18 18 6.620%, 01/01/08 193 197 6.500%, 12/01/31 to 12/01/35 1,327 1,361 6.460%, 06/01/09 553 571 6.265%, 06/01/08 225 229 6.080%, 09/01/08 902 915 6.000%, 07/01/12 to 02/01/18 1,439 1,471 5.931%, 02/01/12 755 782 5.625%, 12/01/11 1,802 1,840 5.044%, 08/01/15 996 988 4.829%, 04/01/13 6,723 6,613 4.500%, 09/01/35 4,967 4,659 FNMA REMIC, Ser 2001-51, Cl QN 6.000%, 10/25/16 852 869 FNMA REMIC, Ser 2004-27, Cl HN 4.000%, 05/25/16 700 681 FNMA TBA 5.500%, 02/01/34 2,000 1,978 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GNMA 8.750%, 05/20/17 to 11/20/17 $ 46 $ 48 8.500%, 05/20/16 to 02/20/18 154 166 8.250%, 05/15/06 to 07/15/08 43 44 6.000%, 04/15/09 to 09/15/24 1,344 1,381 Small Business Administration, Ser 2005-P10B, Cl 1 4.940%, 08/10/15 1,745 1,720 ------------- Total U.S. Government Mortgage-Backed Obligations (Cost $40,560) ($ Thousands) 39,801 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 33.3% FHLMC 6.000%, 06/15/11 15,975 16,848 3.625%, 09/15/08 12,100 11,760 ------------- Total U.S. Government Agency Obligations (Cost $29,356) ($ Thousands) 28,608 ------------- U.S. TREASURY OBLIGATIONS -- 17.6% U.S. Treasury Bonds 12.000%, 08/15/13 6,000 7,069 U.S. Treasury Bonds (A) 10.375%, 11/15/12 3,200 3,516 U.S. Treasury Inflation Protected Security 4.250%, 01/15/10 4,116 4,489 ------------- Total U.S. Treasury Obligations (Cost $15,244) ($ Thousands) 15,074 ------------- REPURCHASE AGREEMENT (B) -- 4.2% UBS Securities LLC 4.470%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $3,600,447 (collateralized by a U.S. Government obligation, par value $3,755,000, 4.500%, 07/15/13, with total market value $3,676,145) 3,600 3,600 ------------- Total Repurchase Agreement (Cost $3,600) ($ Thousands) 3,600 ------------- Total Investments -- 101.4% (Cost $88,760) ($ Thousands) 87,083 ------------- -------------------------------------------------------------------------------- 20 SEI Daily Income Trust / Annual Report / January 31, 2006 -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (1.4)% Receivable for Investment Securities Sold $ 707 Payable for Investment Securities Purchased (2,707) Income Distribution Payable (173) Payable for Fund Shares Redeemed (74) Administration Fees Payable (26) Investment Advisory Fees Payable (7) Shareholder Servicing Fees Payable (4) Variation Margin Payable (3) Other Assets and Liabilities, Net 1,077 ------------- Total Other Assets and Liabilities (1,210) ------------- Net Assets -- 100.0% $ 85,873 ============= NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 89,154 Distribution in excess of net investment income (20) Accumulated net realized loss on investments (1,574) Net unrealized depreciation on investments (1,677) Net unrealized depreciation futures contracts (10) ------------- Net Assets $ 85,873 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class A ($85,872,504 / 8,412,118 shares) $10.21 ============= Futures Contracts -- A summary of the open future contracts held by the Fund at January 31, 2006, is as follows: (See Note 2 in Notes to Financial Statements) -------------------------------------------------------------------------------- UNREALIZED NUMBER OF CONTRACT APPRECIATION TYPE OF CONTRACT VALUE EXPIRATION (DEPRECIATION) CONTRACTS LONG (SHORT) ($ THOUSANDS) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. 5 Year Treasury Note 117 $12,371 March 2006 $(28) U.S. 10 Year Treasury Note (61) (6,615) March 2006 18 ---- $(10) ==== (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. (B) Tri-Party Repurchase Agreement. Cl -- Class FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association LLC -- Limited Liability Company REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series TBA -- To Be Announced The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 21 STATEMENT OF NET ASSETS GNMA Fund January 31, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [Bar Chart Omitted] [Plot Points Follow] 98.6% U.S. Government Mortgage-Backed Obligations 1.4% Repurchase Agreement *Percentages based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 99.8% FHLMC 6.500%, 02/01/13 to 02/01/18 $ 970 $ 995 5.000%, 12/01/35 497 480 FNMA 8.000%, 09/01/14 to 09/01/28 372 397 7.000%, 08/01/29 to 09/01/32 883 918 6.500%, 07/01/32 to 09/01/32 1,362 1,399 6.000%, 07/01/35 116 118 5.890%, 10/01/11 1,335 1,377 5.780%, 11/01/11 1,211 1,244 5.000%, 07/01/35 to 12/01/35 1,498 1,445 4.621%, 04/01/13 6,434 6,261 FNMA REMIC, Ser 1990-91, Cl G 7.000%, 08/25/20 86 87 FNMA REMIC, Ser 1992-105, Cl B 7.000%, 06/25/22 176 182 FNMA REMIC, Ser 2002-42, Cl C 6.000%, 07/25/17 1,500 1,549 GNMA 12.500%, 06/15/14 -- -- 12.000%, 04/15/14 -- -- 11.500%, 02/15/13 4 4 10.000%, 05/15/16 to 07/15/20 39 43 9.500%, 06/15/09 to 11/15/20 537 569 9.000%, 12/15/17 to 05/15/22 379 415 8.500%, 08/15/08 to 06/15/17 113 120 8.000%, 04/15/17 to 03/15/32 1,712 1,839 7.750%, 10/15/26 57 60 7.500%, 12/15/27 to 09/15/28 27 28 7.250%, 01/15/28 251 262 7.000%, 04/15/19 to 09/15/31 12,686 13,338 6.750%, 11/15/27 113 118 6.500%, 11/15/07 to 07/15/35 19,852 20,675 6.000%, 02/15/09 to 02/15/35 27,298 28,020 5.500%, 10/15/32 to 01/15/36 27,354 27,495 5.000%, 04/15/33 to 01/15/36 28,921 28,507 4.500%, 08/15/33 to 09/15/34 6,254 5,990 GNMA (A) 6.000%, 02/15/17 811 835 GNMA REMIC, Ser 2002-45, Cl QE 6.500%, 06/20/32 2,177 2,266 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GNMA REMIC, Ser 2003-58, Cl VB 5.500%, 10/17/22 $ 6,000 $ 5,975 GNMA REMIC, Ser 2003-63, Cl UV 3.500%, 07/20/30 3,073 2,922 GNMA REMIC, Ser 2005-74, Cl HA 7.500%, 09/16/35 1,596 1,682 GNMA REMIC, Ser 2005-74, Cl HB 7.500%, 09/16/35 2,754 2,881 GNMA REMIC, Ser 2005-74, Cl HC 7.500%, 09/16/35 2,417 2,547 GNMA TBA 5.500%, 02/15/34 3,000 3,012 ------------- Total U.S. Government Mortgage-Backed Obligations (Cost $166,409) ($ Thousands) 166,055 ------------- REPURCHASE AGREEMENT (B) -- 1.4% UBS Securities LLC 4.470%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $ 2,300,286 (collateralized by a U.S. Government obligation, par value $2,400,000, 4.500%, 07/15/13, with total market value $2,349,600) 2,300 2,300 ------------- Total Repurchase Agreement (Cost $2,300) ($ Thousands) 2,300 ------------- Total Investments -- 101.2% (Cost $168,709) ($ Thousands) 168,355 ------------- OTHER ASSETS AND LIABILITIES -- (1.2)% Receivable for Investment Securities Sold 6,998 Payable for Investment Securities Purchased (9,478) Income Distribution Payable (232) Payable for Fund Shares Redeemed (128) Administration Fees Payable (46) Shareholder Servicing Fees Payable (24) Investment Advisory Fees Payable (14) Variation Margin Receivable 1 Other Assets and Liabilities, Net 892 ------------- Total Other Assets and Liabilities (2,031) ------------- Net Assets -- 100.0% $ 166,324 ============= -------------------------------------------------------------------------------- 22 SEI Daily Income Trust / Annual Report / January 31, 2006 -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 177,177 Accumulated net realized loss on investments (10,512) Net unrealized depreciation on investments (354) Net unrealized appreciation on futures contracts 13 ------------- Net Assets $ 166,324 ============= Net Assets Value, Offering and Redemption Price Per Share -- Class A ($166,323,739 / 17,538,329 shares) $9.48 ============= Futures Contracts -- A summary of the open future contracts held by the Fund at January 31, 2006, is as follows: (See Note 2 in Notes to Financial Statements) ------------------------------------------------------------------------------- NUMBER OF CONTRACTS CONTRACT UNREALIZED TYPE OF LONG VALUE EXPIRATION APPRECIATION CONTRACT (SHORT) ($ THOUSANDS) DATE ($ THOUSANDS) ------------------------------------------------------------------------------- U.S. 10 Year Treasury Note (12) $(1,301) March 2006 $13 (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. (B) Tri-Party Repurchase Agreement. Cl -- Class FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association LLC -- Limited Liability Company REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series TBA -- To Be Announced Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 23 STATEMENT OF NET ASSETS Ultra Short Bond Fund January 31, 2006 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [Bar Chart Omitted] [Plot Points Follow] 65.1% Asset-Backed Securities 12.6% Corporate Bonds 8.4% U.S. Treasury Obligations 6.2% U.S. Government Mortgage-Backed Obligations 4.6% U.S. Government Agency Obligations 2.6% Certificates of Deposit 0.5% Repurchase Agreement *Percentages are based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET BACKED SECURITIES -- 64.1% AUTOMOTIVE -- 19.8% Aesop Funding II LLC, Ser 2003-4A, Cl A1 (A) (B) 4.720%, 02/20/06 $ 1,685 $ 1,686 Aesop Funding II LLC, Ser 2003-5A, Cl A1 (B) 2.780%, 12/20/07 1,000 986 Aesop Funding II LLC, Ser 2005-1A, Cl A2 (A) (B) 4.550%, 02/20/06 800 800 Amercredit Automobile Receivables Trust, Ser 2005-CF, Cl A3 4.470%, 05/06/10 790 784 Americredit Automobile Receivables Trust, Ser 2004-CA, Cl A3 3.000%, 03/06/09 975 964 Americredit Automobile Receivables Trust, Ser 2004-DF, Cl A3 2.980%, 07/06/09 640 629 Americredit Automobile Receivables Trust, Ser 2005-1, Cl B 4.480%, 11/06/09 840 831 Americredit Automobile Receivables Trust, Ser 2005-DA, Cl A3 4.870%, 12/06/10 2,010 2,006 Bank One Auto Securitization Trust, Ser 2003-1, Cl A3 1.820%, 09/20/07 310 309 Bank One Auto Securitization Trust, Ser 2003-1, Cl A4 2.430%, 03/22/10 3,000 2,927 Capital Auto Receivables Asset Trust, Ser 2004-1, Cl A3 2.000%, 11/15/07 593 586 Capital Auto Receivables Asset Trust, Ser 2004-2, Cl A1A 3.120%, 03/15/07 952 948 Capital Auto Receivables Asset Trust, Ser 2005-1, Cl B (A) 4.845%, 02/15/06 440 442 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Capital One Auto Finance Trust, Ser 2003-A, Cl A4A 2.470%, 01/15/10 $ 2,000 $ 1,965 Capital One Auto Finance Trust, Ser 2003-B, Cl A3 (A) 4.580%, 02/15/06 192 192 Capital One Auto Finance Trust, Ser 2003-B, Cl A4 3.180%, 09/15/10 2,050 2,013 Capital One Auto Finance Trust, Ser 2005-C, Cl A3 4.610%, 07/15/10 2,770 2,753 Capital One Prime Auto Receivable Trust, Ser 2004-1, Cl A4 (A) 4.540%, 02/15/06 1,250 1,251 Capital One Prime Auto Receivable Trust, Ser 2004-2, Cl A3 3.060%, 03/17/08 1,967 1,954 Capital One Prime Auto Receivable Trust, Ser 2004-3, Cl A2 3.040%, 07/15/07 195 194 Capital One Prime Auto Receivables Trust, Ser 2005-1, Cl A3 4.320%, 08/15/09 1,120 1,111 Carmax Auto Owner Trust Ser 2003-1, Cl A3 1.610%, 02/15/07 26 26 Carmax Auto Owner Trust, Ser 2004-2, Cl A4 3.460%, 09/15/11 449 436 Carmax Auto Owner Trust, Ser 2005-2, Cl A3 4.210%, 01/15/10 1,450 1,432 Chase Manhattan Auto Owner Trust, Ser 2003-A, Cl A3 1.520%, 05/15/07 20 20 Chase Manhattan Auto Owner Trust, Ser 2003-A, Cl A4 2.060%, 12/15/09 1,958 1,917 Chase Manhattan Auto Owner Trust, Ser 2003-C, Cl A3 2.260%, 11/15/07 465 462 Chase Manhattan Auto Owner Trust, Ser 2004-A, Cl A4 2.830%, 09/15/10 1,256 1,217 Chase Manhattan Auto Owner Trust, Ser 2005-A, Cl A3 3.870%, 06/15/09 820 808 Chesapeake Funding Trust Ser 2004-1A, Cl A2 (A) (B) 4.579%, 02/07/06 400 400 DaimlerChrysler Auto Trust, Ser 2004-B, Cl A3 3.180%, 09/08/08 1,131 1,120 -------------------------------------------------------------------------------- 24 SEI Daily Income Trust / Annual Report / January 31, 2006 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Ser 2005-A, Cl A3 3.490%, 12/08/08 $ 1,315 $ 1,298 DaimlerChrysler Auto Trust, Ser 2005-B, Cl A3 4.040%, 09/08/09 610 603 Ford Credit Auto Owner Trust, Ser 2005-A, Cl A3 3.480%, 11/15/08 1,140 1,125 Harley-Davidson Motorcycle Trust, Ser 2004-1, Cl A1 1.400%, 10/15/08 153 152 Hertz Vehicle Financing, Ser 2004-1A, Cl A2 (B) 2.380%, 05/25/08 1,750 1,701 Honda Auto Receivables Owner Trust, Ser 2003-2, Cl A3 1.690%, 02/21/07 36 36 Honda Auto Receivables Owner Trust, Ser 2003-5, Cl A3 2.300%, 10/18/07 415 411 Honda Auto Receivables Owner Trust, Ser 2005-1, Cl A3 3.530%, 10/21/08 865 853 Honda Auto Receivables Owner Trust, Ser 2005-2, Cl A2 3.650%, 08/15/07 848 845 Honda Auto Receivables Owner Trust, Ser 2005-3, Cl A3 3.870%, 04/20/09 848 835 Honda Auto Receivables Owner Trust, Ser 2005-5, Cl A3 4.610%, 08/17/09 4,025 4,006 Household Automotive Trust, Ser 2003-1, Cl A3 1.730%, 12/17/07 133 133 Household Automotive Trust, Ser 2005-1, Cl A3 4.150%, 02/17/10 1,371 1,354 Household Automotive Trust, Ser 2005-2, Cl A3 4.370%, 05/17/10 1,276 1,262 Household Automotive Trust, Ser 2005-3, Cl A3 4.800%, 10/18/10 1,070 1,068 Hyundai Auto Receivables Trust, Ser 2003-A, Cl A3 2.330%, 11/15/07 499 495 Hyundai Auto Receivables Trust, Ser 2004-A, Cl A2 2.360%, 09/15/07 194 194 Hyundai Auto Receivables Trust, Ser 2005-A, Cl A3 3.980%, 11/16/09 659 649 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Merrill Auto Trust Securitization, Ser 2005-1, Cl B (A) 4.770%, 02/25/06 $ 815 $ 815 Morgan Stanley Auto Loan Trust, Ser 2004-HB1, Cl A4 3.330%, 10/15/11 600 587 Morgan Stanley Auto Loan Trust, Ser 2004-HB2, Cl A2 2.400%, 07/16/07 618 616 Navistar Financial Corporate Owner Trust, Ser 2003-A, Cl A3 1.730%, 02/15/07 145 144 Navistar Financial Corporate Owner Trust, Ser 2003-A, Cl A4 2.240%, 11/15/09 1,750 1,709 Nissan Auto Lease Trust, Ser 2005-A1, Cl A3 4.700%, 10/15/08 1,970 1,963 Nissan Auto Receivables Owner Trust, Ser 2003-B, Cl A 1.510%, 08/15/07 178 178 Nissan Auto Receivables Owner Trust, Ser 2005-A, Cl A3 3.540%, 10/15/08 1,590 1,567 Nissan Auto Receivables Owner Trust, Ser 2005-B, Cl A2 3.750%, 09/17/07 600 598 Nissan Auto Receivables Owner Trust, Ser 2005-B, Cl A3 3.990%, 07/15/09 1,175 1,160 Nissan Auto Receivables Owner Trust, Ser 2005-C, Cl A3 4.190%, 07/15/09 760 751 Nissan Auto Receivables Owner Trust, Ser 2006-A, Cl A2 4.800%, 06/16/08 500 500 Nissan Auto Receivables Owner Trust, Ser 2006-A, Cl A3 4.740%, 09/15/09 665 665 Onyx Acceptance Owner Trust, Ser 2003-C, Cl A4 2.660%, 05/17/10 1,578 1,554 Onyx Acceptance Owner Trust, Ser 2005-B, Cl A2 4.030%, 04/15/08 3,461 3,449 Susquehanna Auto Lease Trust, Ser 2005-1A, Cl 1A (B) 4.080%, 07/16/07 1,750 1,743 USAA Auto Owner Trust Ser 2003-1, Cl A3 1.580%, 06/15/07 5 5 USAA Auto Owner Trust, Ser 2005-2, Cl A2 3.800%, 12/17/07 2,176 2,168 -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 25 STATEMENT OF NET ASSETS Ultra Short Bond Fund (Continued) January 31, 2006 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- USAA Auto Owner Trust, Ser 2005-3, Cl A3 4.550%, 02/16/10 $ 1,230 $ 1,223 WFS Financial Owner Trust, Ser 2003-2, Cl A3 1.760%, 01/21/08 31 31 WFS Financial Owner Trust, Ser 2003-2, Cl A4 2.410%, 12/20/10 2,000 1,971 WFS Financial Owner Trust, Ser 2003-3, Cl A4 3.250%, 05/20/11 2,880 2,832 WFS Financial Owner Trust, Ser 2004-1, Cl A3 2.190%, 06/20/08 777 772 WFS Financial Owner Trust, Ser 2005-2, Cl B 4.570%, 11/19/12 1,234 1,221 WFS Financial Owner Trust, Ser 2005-3, Cl A2 4.110%, 06/17/08 1,166 1,163 Wachovia Auto Owner Trust, Ser 2005-B, Cl A3 4.790%, 04/20/10 1,010 1,008 Whole Auto Loan Trust, Ser 2004-1, Cl A2A 2.590%, 05/15/07 196 195 World Omni Auto Receivables Trust, Ser 2003-A, Cl A3 1.980%, 05/15/07 41 41 World Omni Auto Receivables Trust, Ser 2004-A, Cl B (D) 3.620%, 07/12/11 824 809 ------------- 81,627 ------------- CREDIT CARD -- 11.2% Advanta Business Card Master Trust, Ser 2004-C1, Cl C (A) 5.540%, 02/20/06 485 492 Advanta Business Card Master Trust, Ser 2005-A4, Cl A4 4.750%, 02/20/06 1,000 995 Advanta Business Card Master Trust, Ser 2005-C1, Cl C1 (A) 5.000%, 08/22/11 1,500 1,509 American Express Credit Account Master Trust, Ser 2003-4, Cl A 1.690%, 01/15/09 695 687 American Express Credit Account Master Trust, Ser 2004-C, Cl C (A) (B) 4.970%, 02/15/06 2,256 2,260 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Bank One Issuance Trust, Ser 2003-B2, Cl B2 (A) 4.700%, 02/15/06 $ 1,750 $ 1,750 Bank One Issuance Trust, Ser 2004-B1, Cl B1 (A) 4.790%, 02/15/06 1,250 1,256 Capital One Master Trust, Ser 2001-2, Cl A (A) 4.610%, 02/15/06 1,750 1,750 Capital One Multi-Asset Executive Trust, Ser 2003-A1, Cl A1 (A) 4.860%, 02/15/06 1,465 1,466 Capital One Multi-Asset Executive Trust, Ser 2003-B1, Cl B1 (A) 5.640%, 02/15/06 1,250 1,252 Capital One Multi-Asset Executive Trust, Ser 2004, Cl 1 3.400%, 11/16/09 800 787 Capital One Multi-Asset Executive Trust, Ser 2004-A6, Cl A6 (A) 4.531%, 03/15/06 1,500 1,500 Capital One Multi-Asset Executive Trust, Ser 2004-B4, Cl B4 (A) 4.669%, 02/15/06 1,550 1,554 Capital One Multi-Asset Executive Trust, Ser 2005-B2, Cl B2 (A) 4.620%, 02/15/06 1,500 1,500 Chase Credit Card Master Trust, Ser 2004-2, Cl A (A) 4.510%, 02/15/06 1,485 1,486 Citibank Credit Card Issuance Trust, Ser 2003-A5, Cl A5 2.500%, 04/07/08 1,350 1,344 Discover Card Master Trust, Ser 2004-2, Cl A1 (A) 4.490%, 02/15/06 1,250 1,250 Discover Card Master Trust, Ser 2005-1, Cl B (A) 4.620%, 02/15/06 2,633 2,631 First USA Credit Card Master Trust, Ser 1999-2, Cl A (A) 4.673%, 02/19/06 1,000 1,000 GE Capital Credit Card Master Trust, Ser 2004-1, Cl A (A) 4.520%, 02/15/06 1,785 1,786 GE Capital Credit Card Master Trust, Ser 2004-2, Cl B (A) 4.730%, 02/15/06 2,000 2,003 Household Affinity Credit Card Trust, Ser 2003-1, Cl B (A) 5.020%, 02/15/06 1,250 1,260 MBNA Credit Card Master Note Trust, Ser 2001-B1, Cl B1 (A) 4.845%, 02/15/06 1,125 1,126 -------------------------------------------------------------------------------- 26 SEI Daily Income Trust / Annual Report / January 31, 2006 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MBNA Credit Card Master Note Trust, Ser 2002-B1, Cl B1 5.150%, 07/15/09 $ 500 $ 500 Metris Master Trust, Ser 2004-2,Cl C (A) (B) 5.840%, 02/20/06 3,000 3,021 Metris Master Trust, Ser 2005-1A, Cl B (A) 4.910%, 02/20/06 1,675 1,676 Providian Gateway Master Trust, Ser 2004-AA, Cl A (A) (B) 4.700%, 02/15/06 1,970 1,973 Providian Gateway Master Trust, Ser 2004-BA, Cl A (A) (B) 4.660%, 02/15/06 2,925 2,926 Providian Gateway Master Trust, Ser 2004-EA, Cl A (A) (B) 4.600%, 02/15/06 565 565 Providian Gateway Master Trust, Ser 2004-FA, Cl A (B) 3.650%, 11/15/11 2,750 2,690 ------------- 45,995 ------------- MISCELLANEOUS BUSINESS SERVICES -- 6.6% ACAS Business Loan Trust, Ser 2005-1A, Cl A1 (A) (B) 4.873%, 04/25/06 1,000 1,000 AICCO Premium Finance Master Trust, Ser 2004-1, Cl A (A) 4.650%, 02/15/06 671 672 AICCO Premium Finance Master Trust, Ser 2005-1, Cl A (A) 4.550%, 02/15/06 1,470 1,470 CIT Equipment Collateral, Ser 2005-EF1, Cl A3 4.420%, 05/20/09 1,140 1,130 CIT Equipment Collateral, Ser 2005-VT1, Cl A3 4.120%, 08/20/08 1,040 1,030 CNH Equipment Trust, Ser 2003-B, Cl A3A (A) 4.610%, 02/15/06 340 340 CNH Equipment Trust, Ser 2004-A, Cl A3B 2.940%, 10/15/08 1,600 1,575 CNH Equipment Trust, Ser 2005-A, Cl A3 4.020%, 04/15/09 800 790 California Infrastructure SDG&E, Ser 1997-1, Cl A6 6.310%, 09/25/08 973 978 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Capital Source Commercial Loan Trust, Ser 2003-2A, Cl D (A) (B) 6.990%, 02/20/06 $ 333 $ 333 Capital Source Commercial Loan Trust, Ser 2004-1A, Cl A2 (A) (B) 4.820%, 02/20/06 428 428 Capital Source Commercial Loan Trust, Ser 2004-2A, Cl C (A) (B) 5.340%, 02/20/06 677 678 Capital Source Commercial Loan Trust, Ser 2005-1A, Cl B (A) (B) 4.770%, 02/20/06 686 686 Colts Trust, Ser 2005-1A, Cl A1 (A) (B) 4.720%, 03/20/06 689 689 Colts Trust, Ser 2005-2A, Cl A (A) (B) 4.730%, 06/20/06 1,950 1,950 DaimlerChrysler Master Owner Trust, Ser 2003-A, Cl A (A) 4.520%, 02/15/06 1,075 1,075 GE Commercial Equipment Financing LLC, Ser 2004-1, Cl B (A) 4.690%, 02/20/06 675 675 GE Commercial Equipment Financing LLC, Ser 2005-1, Cl A3A 3.980%, 03/20/09 1,167 1,152 GE Corporate Aircraft Financing, Ser 2005-1A, Cl A1 (A) (B) 4.600%, 02/25/06 1,634 1,634 GE Equipment Small Ticket LLC, Ser 2005-1A, Cl B 4.620%, 12/22/14 815 806 GE Equipment Small Ticket LLC, Ser 2005-2A, Cl A4 5.010%, 06/22/15 2,226 2,211 Lambda Finance, Ser 2005-1A, Cl B3 (A) (B) 4.850%, 02/15/06 840 840 Marlin Leasing Receivables LLC, Ser 2005-1A, Cl B (B) 5.090%, 08/15/12 170 169 Merritt Funding Trust, Ser 2005-2, Cl B (A) (B) 5.300%, 04/15/06 1,124 1,124 Navistar Financial Dealer Owner Trust, Ser 2003-A, Cl A2 (A) 4.830%, 02/25/06 2,125 2,126 Navistar Financial Dealer Owner Trust, Ser 2004-1, Cl A (A) 4.730%, 02/25/06 650 650 Nelnet Student Loan Trust, Ser 2004-3, Cl A2 (A) 4.653%, 04/25/06 293 293 -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 27 STATEMENT OF NET ASSETS Ultra Short Bond Fund (Continued) January 31, 2006 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Nelnet Student Loan Trust, Ser 2004-4, Cl A2 (A) 4.643%, 04/25/06 $ 343 $ 343 Nelnet Student Loan, Ser 2004-2A, Cl A1 (A) 4.390%, 02/25/06 278 278 ------------- 27,125 ------------- MORTGAGE RELATED -- 26.5% AAA Trust, Ser 2005-2, Cl A1 (A) (B) 4.634%, 02/26/06 582 583 Ace Securities, Ser 2006-NC1, Cl A2B (A) 4.590%, 02/25/06 1,148 1,148 Advanta Mortgage Trust Loan, Ser 1999-4, Cl A (A) 4.905%, 02/25/06 195 195 American Home Mortgage Investment Trust, Ser 2003-1, Cl A (A) 4.930%, 02/25/06 244 244 Ameriquest Mortgage Securities, Ser 2004-R12, Cl A3 (A) 4.810%, 02/25/06 784 786 Ameriquest Mortgage Securities, Ser 2005-R1, Cl A3A (A) 4.630%, 02/25/06 22 22 Ameriquest Mortgage Securities, Ser 2005-R3, Cl A3A (A) 4.620%, 02/25/06 252 252 Asset Securitization, Ser 1996-MD6, Cl A6 7.627%, 11/13/29 860 881 Asset Securitization, Ser 1997-D5, Cl A1B 6.660%, 02/14/43 305 308 Bank of America Funding, Ser 2005-F, Cl 4A1 (A) 5.454%, 02/20/06 2,532 2,525 Bank of America Large Loan, Ser 2004-BBA4, Cl A2 (A) (B) 4.630%, 02/15/06 560 560 Bank of America Mortgage Securities, Ser 2004-J, Cl 2A1 (A) 4.800%, 02/25/06 518 512 Bank of America Mortgage Securities, Ser 2005-A, Cl 2A2 (A) 4.470%, 02/25/06 2,187 2,140 Bank of America Mortgage Securities, Ser 2005-C, Cl 2A2 (A) 4.720%, 02/25/06 1,350 1,328 Bank of America Mortgage Securities, Ser 2005-H, Cl 2A1 4.828%, 09/25/35 1,010 995 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Bear Stearns Asset Backed Securities, Ser 2005-HE11, Cl A1 (A) 4.650%, 02/25/06 $ 756 $ 756 Bear Stearns Asset Backed Securities, Ser 2005-HE11, Cl A2 (A) 4.780%, 02/25/06 275 275 Bear Stearns Asset Backed Securities, Ser 2006-HE1, Cl 1A1 (A) 4.650%, 02/25/06 2,000 2,000 Bear Stearns Commercial Mortgage, Ser 1998-C1, Cl A1 6.340%, 06/16/30 401 405 Bear Stearns Commercial Mortgage, Ser 2004-BBA3, Cl A1B (A) 4.700%, 02/15/06 520 520 Bear Stearns Commercial Mortgage, Ser 2005-12, Cl 11A1 (A) 5.477%, 02/25/06 2,502 2,504 CS First Boston Mortgage Securities, Ser 1997-C2, Cl A2 6.520%, 01/17/35 41 41 CS First Boston Mortgage Securities, Ser 2004-TF2A, Cl A2 (A) (B) 4.670%, 02/15/06 1,750 1,751 Centex Home Equity Trust, Ser 2005-A, Cl AF1 (D) 3.700%, 06/25/22 145 144 Chase Funding Mortgage Loan, Ser 2004-2, Cl 1A1 (A) 4.680%, 02/25/06 81 81 CitiFinancial Mortgage Securities, Ser 2004-1, Cl AF1 (A) 4.620%, 02/25/06 171 171 Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A (A) 3.970%, 02/25/06 2,517 2,485 Citigroup Mortgage Loan Trust, Ser 2005-OPT1, Cl A1A (A) 4.620%, 02/25/06 183 183 Countrywide Asset-Backed Certificates, Ser 2004-12, Cl AF1 (A) 4.730%, 02/25/06 46 46 Countrywide Asset-Backed Certificates, Ser 2004-15, Cl AF1 (A) 4.730%, 02/25/06 383 383 Countrywide Asset-Backed Certificates Ser 2005-13, Cl 3AV3 (A) 4.780%, 02/25/06 1,310 1,311 Countrywide Home Loans, Ser 2004-29, Cl 1A1 (A) 4.800%, 02/25/06 650 649 Countrywide Home Loans, Ser 2005-7, Cl 1A1 (A) 4.800%, 02/25/06 1,201 1,201 -------------------------------------------------------------------------------- 28 SEI Daily Income Trust / Annual Report / January 31, 2006 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A (A) 5.442%, 02/20/06 $ 2,203 $ 2,200 Countrywide Home Loans, Ser 2006-HYB1, Cl 1A1 (A) 5.424%, 02/20/06 1,500 1,497 Crusade Global Trust, Ser 2003-1, Cl A (A) 4.800%, 04/17/06 953 954 Diversified REIT Trust, Ser 1999-1A, Cl A2 (B) 6.780%, 03/18/11 1,780 1,843 Fremont Home Loan Owner Trust, Ser 1999-1 (A) 5.130%, 02/25/06 14 14 GMAC Commercial Mortgage Securities, Ser 1999-CTL1, Cl A (B) 7.151%, 12/15/16 994 1,012 GMAC Mortgage Corporation Loan, Ser 2005-HE1, Cl A1 (A) 4.590%, 02/25/06 975 975 GMAC Mortgage Corporation Loan, Ser 2005-HE3, Cl A1 (A) 4.640%, 02/25/06 1,000 1,001 GMAC Mortgage Loan, Ser 2005-AR6, Cl 2A1 (A) 5.258%, 11/19/35 2,936 2,921 GSR Mortgage Loan Trust, Ser 2005-AR2, Cl 1A2 (A) 4.630%, 02/25/06 1,191 1,180 GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1 (A) 5.059%, 02/25/06 3,351 3,340 Granite Master Issuer PLC, Ser 2005-1, Cl M1 (A) 4.730%, 03/20/06 550 550 Granite Master Issuer PLC, Ser 2006-1A, Cl A5 (A) (B) 4.726%, 05/20/06 1,215 1,215 Granite Mortgages PLC, Ser 2002-2, Cl 1A2 (A) 4.781%, 04/20/06 1,474 1,477 Impac CMB Trust, Ser 2003-12, Cl A1 (A) 4.910%, 02/25/06 977 978 Impac CMB Trust, Ser 2004-9, Cl 1A1 (A) 4.910%, 02/25/06 1,473 1,477 Impac CMB Trust, Ser 2005-1, Cl 1A1 (A) 4.790%, 02/25/06 1,033 1,035 Impac CMB Trust, Ser 2005-2, Cl 1A1 (A) 4.790%, 02/25/06 1,149 1,150 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Impac CMB Trust, Ser 2005-3, Cl A1 (A) 4.770%, 02/25/06 $ 976 $ 979 Impac CMB Trust, Ser 2005-4, Cl 1M1 (A) 4.960%, 02/25/06 1,911 1,909 Impac CMB Trust, Ser 2005-5, Cl A1 (A) 4.850%, 02/25/06 741 742 Impac CMB Trust, Ser 2005-8, Cl 1A (A) 4.790%, 02/25/06 1,590 1,593 JP Morgan Chase Commercial Mortgage Trust, Ser 2004-FL1A, Cl A1 (A) (B) 4.640%, 02/16/06 591 591 MLCC Mortgage Investors, Ser 2004-G, Cl A1 (A) 4.810%, 02/25/06 631 631 MLCC Mortgage Investors, Ser 2004-HB1, Cl A1 (A) 4.890%, 02/25/06 738 739 MLCC Mortgage Investors, Ser 2005-A, Cl A1 (A) 4.760%, 02/25/06 761 761 Master Adjustable Rate Mortgage Trust, Ser 2004-12, Cl 5A1 (A) 4.530%, 02/25/06 1,305 1,290 Mellon Bank Premium Finance Loan Trust, Ser 2004-1, Cl A (A) 4.651%, 03/15/06 810 810 Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A (A) 4.330%, 02/25/06 2,045 2,019 Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2 (A) 4.500%, 02/25/06 2,896 2,836 Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1 (A) 4.800%, 02/25/06 1,090 1,080 Merrill Lynch Mortgage Investors, Ser 2005-A8, Cl A3A1 (A) 4.640%, 02/25/06 1,275 1,276 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1E (A) 5.191%, 02/25/06 1,492 1,480 Morgan Stanley Dean Witter Capital I, Ser 2006-WMC1, Cl A2B (A) 4.734%, 02/25/06 1,390 1,389 Morgan Stanley Home Equity Loan, Ser 2005-4, Cl A2B (A) 4.750%, 02/25/06 2,000 2,001 MortgageIT Trust, Ser 2005-2, Cl 1A1 (A) 4.790%, 02/25/06 605 607 -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 29 STATEMENT OF NET ASSETS Ultra Short Bond Fund (Continued) January 31, 2006 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MortgageIT Trust, Ser 2005-3, Cl A1 (A) 4.830%, 02/25/06 $ 1,769 $ 1,772 MortgageIT Trust, Ser 2005-4, Cl A1 (A) 4.810%, 02/25/06 2,101 2,104 MortgageIT Trust, Ser 2005-5, Cl A1 (A) 4.790%, 02/25/06 1,977 1,982 New Century Home Equity Loan Trust, Ser 2004-2, Cl A3 (A) 4.780%, 02/25/06 260 260 New Century Home Equity Loan Trust, Ser 2005-1, Cl A1MZ (A) 4.820%, 02/25/06 911 912 New Century Home Equity Loan Trust, Ser 2005-B, Cl A2A (A) 4.650%, 02/25/06 1,108 1,108 New Century Home Equity Loan Trust, Ser 2005-C, Cl A2B (A) 4.700%, 02/25/06 700 700 Nomura Asset Securities Ser 1998-D6, Cl A1A 6.280%, 03/15/30 259 260 Option One Mortgage Loan Trust, Ser 2003-3, Cl A2 (A) 4.830%, 02/25/06 203 203 Option One Mortgage Loan Trust, Ser 2005-3, Cl M1 (A) 5.000%, 02/25/06 428 429 Option One Mortgage Loan Trust, Ser 2005-5, Cl A3 (A) 4.740%, 02/25/06 1,795 1,793 Option One Mortgage Loan Trust, Ser 2006-1, Cl 2A2 (A) 0.000%, 02/25/06 1,590 1,590 Permanent Financing PLC, Ser 7, Cl 1C (A) 4.760%, 03/10/06 345 345 Permanent Financing PLC, Ser 8, Cl 1B (A) 4.580%, 03/10/06 935 935 Puma Finance Limited, Ser S1, Cl A (A) 4.504%, 02/09/06 885 885 RMAC PLC, Ser 2003-NS4A, Cl A2B (A) (B) 4.780%, 03/12/06 898 900 RMAC PLC, Ser 2005-NS1A, Cl A1 (A) (B) 4.540%, 03/12/06 563 563 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- RMAC PLC, Ser 2005-NS4A, Cl A1B (A) (B) 4.450%, 03/12/06 $ 1,390 $ 1,390 Residential Asset Mortgage Products, Ser 2005-RS6, Cl A11 (A) 4.630%, 02/25/06 1,126 1,126 Residential Asset Securities Ser 2000-KS5, Cl AII (A) 5.010%, 02/25/06 66 67 Residential Asset Securities Ser 2001-KS4, Cl AIB (A) 4.850%, 02/25/06 327 327 Residential Asset Securities Ser 2005-KS1, Cl A1 (A) 4.640%, 02/25/06 214 215 Residential Asset Securities Ser 2005-KS7, Cl A1 (A) 4.630%, 02/25/06 729 729 Residential Asset Securities Ser 2006-KS1, Cl A2 (A) 4.538%, 02/25/06 800 800 Residential Mortgage Securities Trust, Ser 20A, Cl A1B (A) (B) 4.380%, 02/10/06 659 659 Sequoia Mortgage Trust, Ser 2004-10, Cl A2 (A) 4.810%, 02/20/06 859 860 Sequoia Mortgage Trust, Ser 2004-11, Cl A1 (A) 4.790%, 02/20/06 639 640 Sequoia Mortgage Trust, Ser 2004-12, Cl A1A (A) 4.760%, 02/20/06 423 423 Sequoia Mortgage Trust, Ser 2005-1, Cl A1 (A) 4.720%, 02/20/06 427 427 Sequoia Mortgage Trust, Ser 2005-2, Cl A1 (A) 4.710%, 02/20/06 406 406 Thornburg Mortgage Securities Trust, Ser 2004-2, Cl A2 (A) 4.680%, 02/25/06 368 368 Washington Mutual, Ser 2005-AR3, Cl A2 (A) 4.653%, 02/25/06 1,128 1,108 Wells Fargo Mortgage Backed Securities, Ser 2004-BB, Cl A2 (A) 4.570%, 02/25/06 2,097 2,054 -------------------------------------------------------------------------------- 30 SEI Daily Income Trust / Annual Report / January 31, 2006 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wells Fargo Mortgage Backed Securities, Ser 2004-Z, Cl 2A1 (A) 4.585%, 02/25/06 $ 901 $ 888 Wells Fargo Mortgage Backed Securities, Ser 2005-AR1, Cl 1A1 (A) 4.550%, 02/25/06 2,024 1,984 Wells Fargo Mortgage Backed Securities, Ser 2005-AR2, Cl 2A2 (A) 4.555%, 02/25/06 1,175 1,153 Wells Fargo Mortgage Backed Securities, Ser 2005-AR4, Cl 2A2 (A) 4.535%, 02/25/06 1,259 1,233 Westpac Securitisation Trust, Ser 2005-1G, Cl A1 (A) 4.574%, 03/23/06 714 716 ------------- 109,251 ------------- Total Asset Backed Securities (Cost $265,136) ($ Thousands) 263,998 ------------- CORPORATE BONDS -- 12.4% AEROSPACE & DEFENSE -- 0.3% General Dynamics 2.125%, 05/15/06 1,265 1,256 ------------- AIR TRANSPORTATION -- 0.7% American Airlines (A) 5.124%, 03/23/06 979 982 Continental Airlines 6.320%, 11/01/08 1,270 1,276 Delta Airlines (A) 4.950%, 04/25/06 505 505 ------------- 2,763 ------------- AUTO FINANCE -- 0.8% DaimlerChrysler MTN (A) 4.780%, 05/02/06 2,000 2,006 Ford Motor Credit MTN (A) 5.349%, 03/28/06 1,250 1,182 ------------- 3,188 ------------- BANK HOLDING COMPANY -- 0.4% Wells Fargo (A) 4.579%, 03/28/06 1,680 1,682 ------------- BANKS -- 1.5% Banco Santander of Chile (A) (B) 4.810%, 03/09/06 1,750 1,743 Royal Bank of Scotland 4.815%, 01/18/07 3,000 3,000 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wachovia (A) 4.694%, 04/24/06 $ 1,500 $ 1,502 ------------- 6,245 ------------- BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.8% Clear Channel Communications 6.000%, 11/01/06 1,000 1,006 Univision Communications 3.875%, 10/15/08 825 791 2.875%, 10/15/06 1,500 1,477 ------------- 3,274 ------------- ELECTRICAL SERVICES -- 1.0% Dominion Resources, Ser D (A) 4.819%, 03/28/06 1,675 1,676 Dominion Resources, Ser G 3.660%, 11/15/06 1,000 988 Nisource Finance (A) 4.950%, 02/23/06 1,500 1,505 ------------- 4,169 ------------- FINANCIAL SERVICES -- 2.0% AIG Sunamerica Global Finance IV (B) 5.850%, 02/01/06 1,000 1,000 Bae Systems Holdings (A) (B) 4.740%, 02/15/06 1,035 1,036 Doral Financial (A) 5.431%, 04/20/06 1,450 1,383 FPL Group Capital 5.551%, 02/16/08 1,755 1,768 General Motors Acceptance MTN (A) 5.243%, 02/21/06 1,000 996 National Rural Utilities 3.000%, 02/15/06 2,000 1,999 ------------- 8,182 ------------- FOOD, BEVERAGE & TOBACCO -- 0.3% General Mills 2.625%, 10/24/06 1,500 1,471 ------------- INSURANCE -- 1.6% Ace Limited 6.000%, 04/01/07 2,000 2,017 Everest Reinsurance Holdings 8.750%, 03/15/10 1,545 1,739 Marsh & Mclennan (A) 4.720%, 04/13/06 1,420 1,418 St Paul 5.750%, 03/15/07 570 571 Travelers Property Casualty 3.750%, 03/15/08 1,000 976 ------------- 6,721 ------------- -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 31 STATEMENT OF NET ASSETS Ultra Short Bond Fund (Concluded) January 31, 2006 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- INVESTMENT BANKER/BROKER DEALER -- 1.9% Credit Suisse First Boston NY 4.790%, 01/24/07 $ 3,000 $ 3,000 Credit Suisse First Boston USA (A) 4.530%, 03/02/06 1,500 1,501 Merrill Lynch MTN, Ser C (A) 4.755%, 04/26/06 1,750 1,752 Morgan Stanley Dean Witter (A) 4.709%, 04/12/06 1,600 1,602 ------------- 7,855 ------------- MACHINERY -- 0.1% Alabama Power 2.650%, 02/15/06 500 500 ------------- MEDICAL PRODUCTS & SERVICES -- 0.3% Wellpoint Health Network 6.375%, 06/15/06 1,250 1,256 ------------- PETROLEUM & FUEL PRODUCTS -- 0.1% Keyspan 4.900%, 05/16/08 360 359 ------------- RETAIL -- 0.3% CVS 5.625%, 03/15/06 1,145 1,146 ------------- TELEPHONES & TELECOMMUNICATION -- 0.3% France Telecom 7.450%, 03/01/06 1,100 1,102 ------------- Total Corporate Bonds (Cost $51,426) ($ Thousands) 51,169 ------------- U.S. TREASURY OBLIGATIONS -- 8.4% U.S. Treasury Inflation Index Note 3.375%, 01/15/07 15,798 16,022 U.S. Treasury Notes 3.875%, 07/31/07 3,500 3,466 3.625%, 04/30/07 7,500 7,414 3.375%, 02/28/07 7,500 7,404 ------------- Total U.S. Treasury Obligations (Cost $34,599) ($ Thousands) 34,306 ------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 6.1% FHLMC 7.000%, 03/01/07 12 12 FHLMC (A) 5.438%, 09/01/06 2,329 2,372 5.387%, 08/01/06 1,661 1,698 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC REMIC, Ser 1599, Cl C 6.100%, 10/15/23 $ 484 $ 491 FHLMC REMIC, Ser 1614, Cl J 6.250%, 11/15/22 69 69 FHLMC REMIC, Ser 2061, Cl TA 5.250%, 10/15/27 76 76 FHLMC REMIC, Ser 2594, Cl QH 4.000%, 10/15/16 404 402 FHLMC REMIC, Ser 2630, Cl HA 3.000%, 01/15/17 2,097 1,978 FHLMC REMIC, Ser 2684, Cl QM 3.500%, 03/15/19 708 702 FHLMC REMIC, Ser 2691, Cl OK 3.500%, 05/15/17 957 949 FHLMC REMIC, Ser 2727, Cl PA 4.125%, 08/15/18 1,312 1,303 FHLMC REMIC, Ser 2750, Cl NA 3.500%, 03/15/15 1,034 1,025 FHLMC REMIC, Ser 2750, Cl OA 3.500%, 10/15/11 944 936 FHLMC REMIC, Ser 2760, Cl LJ 4.000%, 01/15/33 311 311 FNMA 6.340%, 02/01/08 1,325 1,343 FNMA (A) 5.959%, 06/01/06 381 390 5.780%, 08/01/06 964 978 5.768%, 05/01/06 1,070 1,107 5.739%, 09/01/06 205 209 5.457%, 06/01/06 110 113 5.244%, 07/01/06 1,719 1,751 4.863%, 04/01/06 281 282 FNMA REMIC, Ser 1993-220, Cl FA (A) 5.131%, 02/25/06 274 276 FNMA REMIC, Ser 1993-58, Cl H 5.500%, 04/25/23 372 373 FNMA REMIC, Ser 2001-33, Cl FA (A) 4.980%, 02/25/06 486 490 FNMA REMIC, Ser 2002-63, Cl QF (A) 4.830%, 02/25/06 369 371 FNMA REMIC, Ser 2002-64, Cl FG (A) 4.720%, 02/18/06 447 449 FNMA REMIC, Ser 2002-78, Cl AU 5.000%, 06/25/30 1,360 1,339 FNMA REMIC, Ser 2003-57, Cl KL 3.500%, 03/25/09 277 276 FNMA REMIC, Ser 2003-8, Cl BN 4.500%, 03/25/16 2,695 2,660 SLMA (A) 4.601%, 03/15/06 411 411 ------------- Total U.S. Government Mortgage-Backed Obligations (Cost $25,466) ($ Thousands) 25,142 ------------- -------------------------------------------------------------------------------- 32 SEI Daily Income Trust / Annual Report / January 31, 2006 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 4.5% FHLB 4.015%, 08/01/06 $ 3,000 $ 2,989 3.250%, 12/17/07 7,500 7,295 FNMA 3.250%, 07/31/06 3,500 3,474 3.000%, 08/15/07 5,000 4,867 ------------- Total U.S. Government Agency Obligations (Cost $18,799) ($ Thousands) 18,625 ------------- CERTIFICATES OF DEPOSIT -- 2.5% ANZ Deleware 4.810%, 01/29/07 3,000 3,000 HBOS Treasury Services PLC 4.840%, 01/30/07 3,000 2,998 Sovereign Bank 4.000%, 02/01/08 400 393 Wells Fargo Bank 4.000%, 07/24/06 2,000 1,992 Westdeutsche Landesbank 3.970%, 07/14/06 2,000 2,000 ------------- Total Certificates of Deposit (Cost $10,400) ($ Thousands) 10,383 ------------- COLLATERALIZED LOAN OBLIGATION -- 0.1% Franklin, Ser 4A, Cl A (A) (B) 5.050%, 03/20/06 500 502 ------------- Total Collateralized Loan Obligation (Cost $503) ($ Thousands) 502 ------------- REPURCHASE AGREEMENT (C) -- 0.5% UBS Securities LLC 4.470%, dated 01/31/06, to be repurchased on 02/01/06, repurchase price $2,200,273 (collateralized by a U.S. Government obligation, par value $2,295,000, 4.500%, 07/15/13, with total market value $2,246,805) 2,200 2,200 ------------- Total Repurchase Agreement (Cost $2,200) ($ Thousands) 2,200 ------------- Total Investments -- 98.6% (Cost $408,529) ($ Thousands) 406,325 ------------- -------------------------------------------------------------------------------- Value Description ($ Thousands) -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- 1.4% Receivable for Investment Securities Sold $ 1,515 Payable for Investment Securities Purchased (1,627) Payable for Fund Shares Redeemed (288) Income Distribution Payable (148) Administration Fees Payable (85) Investment Advisory Fees Payable (21) Other Assets and Liabilities, Net 6,546 ------------- Total Other Assets and Liabilities 5,892 ------------- Net Assets -- 100.0% $ 412,217 ============= NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 417,862 Distribution in excess of net investment income (74) Accumulated net realized loss on investments (3,367) Net unrealized depreciation on investments (2,204) ------------- Net Assets $ 412,217 ============= Net Asset Value, Offering and Redemption Price Per Share -- Class A ($412,216,616 / 41,441,961 shares) $9.95 ============= (A) Floating Rate Instrument. The rate reflected on the Statement of Net Assets is the rate in effect on January 31, 2006. The date shown is the earlier of the reset date or the demand date. (B) Security sold within the terms of a private placement memorandum, exempt from registration under section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." The total value of such securities as of January 31, 2006 was $45,630 ($ Thousands) and represented 11.07% of Net Assets. These securities have been deemed liquid by the Board of Trustees. (C) Tri-Party Repurchase Agreement. (D) Step Bonds -- The rate reflected on the Statement of Net Assets is the effective yield on January 31, 2006. The coupon on a step bond changes on a specified date. Cl -- Class FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association LLC -- Limited Liability Company MTN -- Medium Term Note NY -- New York PLC -- Public Limited Company REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series SLMA -- Student Loan Marketing Association The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 33 Statements of Operations ($ Thousands) For the year ended January 31, 2006
---------------------------------------------------------------------------------------------------------- MONEY PRIME MARKET GOVERNMENT GOVERNMENT II OBLIGATION FUND FUND FUND FUND ---------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest Income $ 30,540 $ 22,231 $ 24,102 $ 144,633 ---------------------------------------------------------------------------------------------------------- EXPENSES: Administration Fees 2,909 1,564 1,362 7,959 Shareholder Servicing Fees - Class A Shares 1,245 913 1,369 6,796 Administrative & Shareholder Servicing Fees - Class B Shares 337 436 475 1,871 Administrative & Shareholder Servicing Fees - Class C Shares 900 559 53 3,839 Administrative & Shareholder Servicing Fees - Class H Shares -- -- -- 154 Shareholder Servicing Fees - Sweep Class Shares 228 74 -- 108 Distribution Fees - Sweep Class Shares 456 148 -- 216 Investment Advisory Fees 209 155 170 993 Trustees' Fees 7 5 5 33 Registration Fees 48 32 14 241 Custodian/Wire Agent Fees 30 17 24 124 Proxy Costs 20 16 17 107 Pricing Fees 1 1 1 6 Other Expenses 77 60 71 342 ---------------------------------------------------------------------------------------------------------- Total Expenses 6,467 3,980 3,561 22,789 ---------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees -- -- -- -- Administration fees (1,695) (530) (212) (1,320) Shareholder Servicing Fees - Class A Shares (1,245) (913) (1,369) (6,796) ---------------------------------------------------------------------------------------------------------- Net Expenses 3,527 2,537 1,980 14,673 ---------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 27,013 19,694 22,122 129,960 ========================================================================================================== NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM: Investments (17) -- (5) (18) Payments by Affiliate* -- -- -- -- Futures Contracts -- -- -- -- NET CHANGE IN UNREALIZED DEPRECIATION ON: Investments -- -- -- -- Futures Contracts -- -- -- -- ---------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 26,996 $ 19,694 $ 22,117 $ 129,942 ========================================================================================================== Amounts designated as "--" are either $0 or have been rounded to $0. * See Note 3 in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 34 SEI Daily Income Trust / Annual Report / January 31, 2006
--------------------------------------------------------------------------------------------------------------------------------- SHORT-DURATION INTERMEDIATE-DURATION ULTRA TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA SHORT BOND FUND FUND FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest Income $ 21,929 $ 9,521 $ 6,815 $ 3,994 $ 8,483 $ 12,493 --------------------------------------------------------------------------------------------------------------------------------- EXPENSES: Administration Fees 1,596 755 662 352 559 1,222 Shareholder Servicing Fees - Class A Shares 665 577 473 252 437 873 Administrative & Shareholder Servicing Fees - Class B Shares 648 220 -- -- -- -- Administrative & Shareholder Servicing Fees - Class C Shares 413 52 -- -- -- -- Administrative & Shareholder Servicing Fees - Class H Shares -- -- -- -- -- -- Shareholder Servicing Fees - Sweep Class Shares 251 -- -- -- -- -- Distribution Fees - Sweep Class Shares 501 -- -- -- -- -- Investment Advisory Fees 158 75 189 101 175 349 Trustees' Fees 3 1 1 1 1 3 Registration Fees 7 14 13 1 11 15 Custodian/Wire Agent Fees 15 4 5 1 3 9 Proxy Costs 16 9 5 3 4 8 Pricing Fees 1 -- 33 18 33 99 Other Expenses 71 28 37 4 11 29 --------------------------------------------------------------------------------------------------------------------------------- Total Expenses 4,345 1,735 1,418 733 1,234 2,607 --------------------------------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees -- -- (32) -- -- (131) Administration fees (521) (89) (57) -- -- (374) Shareholder Servicing Fees - Class A Shares (665) (577) (473) (227) (182) (873) --------------------------------------------------------------------------------------------------------------------------------- Net Expenses 3,159 1,069 856 506 1,052 1,229 --------------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 18,770 8,452 5,959 3,488 7,431 11,264 ================================================================================================================================= NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM: Investments 4 (11) (1,730) (938) 703 (362) Payments by Affiliate* -- -- 7 4 -- -- Futures Contracts -- -- (121) 104 271 -- NET CHANGE IN UNREALIZED DEPRECIATION ON: Investments -- -- (665) (1,710) (3,890) (1,077) Futures Contracts -- -- (16) (10) (6) -- --------------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 18,774 $ 8,441 $ 3,434 $ 938 $ 4,509 $ 9,825 =================================================================================================================================
-------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 35 Statements of Changes in Net Assets ($ Thousands) For the years ended January 31,
---------------------------------------------------------------------------------------------------------------------------------- MONEY MARKET GOVERNMENT FUND FUND ---------------------------------------------------------------------------------------------------------------------------------- 2006 2005 2006 2005 ---------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 27,013 $ 10,070 $ 19,694 $ 7,837 Net Realized Gain (Loss) on Investments (17) 10 -- (58) ---------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 26,996 10,080 19,694 7,779 ---------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (16,207) (6,774) (11,793) (5,421) Class B (3,339) (1,387) (4,120) (1,474) Class C (5,096) (1,421) (3,066) (778) Class H -- -- -- -- Sweep Class (2,372) (488) (715) (164) ---------------------------------------------------------------------------------------------------------------------------------- Total Dividends (27,014) (10,070) (19,694) (7,837) ---------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 3,325,894 4,146,390 3,986,557 3,175,417 Reinvestment of Dividends & Distributions 8,412 4,358 5,484 2,778 Cost of Shares Redeemed (3,466,934) (4,229,702) (3,894,032) (3,138,663) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (132,628) (78,954) 98,009 39,532 ---------------------------------------------------------------------------------------------------------------------------------- CLASS B: Proceeds from Shares Issued 821,330 890,581 1,160,464 1,333,648 Reinvestment of Dividends & Distributions 446 273 1,104 413 Cost of Shares Redeemed (805,575) (907,607) (1,196,288) (1,417,797) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class B Transactions 16,201 (16,753) (34,720) (83,736) ---------------------------------------------------------------------------------------------------------------------------------- CLASS C: Proceeds from Shares Issued 1,088,472 951,826 469,963 363,736 Reinvestment of Dividends & Distributions 302 83 -- -- Cost of Shares Redeemed (1,008,759) (1,000,318) (426,814) (383,222) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class C Transactions 80,015 (48,409) 43,149 (19,486) ---------------------------------------------------------------------------------------------------------------------------------- CLASS H: Proceeds from Shares Issued -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class H Transactions -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- SWEEP CLASS: Proceeds from Shares Issued 584,778 568,216 276,875 275,839 Reinvestment of Dividends & Distributions -- -- 23 4 Cost of Shares Redeemed (540,771) (586,907) (278,378) (294,254) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Sweep Class Transactions 44,007 (18,691) (1,480) (18,411) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Capital Share Transactions 7,595 (162,807) 104,958 (82,101) ---------------------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) in Net Assets 7,577 (162,797) 104,958 (82,159) ---------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 853,660 1,016,457 640,289 722,448 ---------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 861,237 $ 853,660 $ 745,247 $ 640,289 ================================================================================================================================== Undistributed Net Investment Income/ (Distributions in Excess of Net Investment Income) $ -- $ 1 $ -- $ -- ================================================================================================================================== Amounts designated as "--" are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 36 SEI Daily Income Trust / Annual Report / January 31, 2006
---------------------------------------------------------------------------------------------------------------------------------- GOVERNMENT II PRIME OBLIGATION FUND FUND ---------------------------------------------------------------------------------------------------------------------------------- 2006 2005 2006 2005 ---------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 22,122 $ 8,767 $ 129,960 $ 53,740 Net Realized Gain (Loss) on Investments (5) (7) (18) (14) ---------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 22,117 8,760 129,942 53,726 ---------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (17,432) (6,773) (88,693) (39,748) Class B (4,435) (1,710) (17,980) (6,719) Class C (254) (285) (21,185) (6,719) Class H -- -- (1,008) (336) Sweep Class -- -- (1,095) (229) ---------------------------------------------------------------------------------------------------------------------------------- Total Dividends (22,121) (8,768) (129,961) (53,751) ---------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 2,122,774 1,586,478 29,575,399 28,226,610 Reinvestment of Dividends & Distributions 2,957 991 17,163 11,613 Cost of Shares Redeemed (2,064,701) (1,641,136) (29,608,316) (28,501,217) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions 61,030 (53,667) (15,754) (262,994) ---------------------------------------------------------------------------------------------------------------------------------- CLASS B: Proceeds from Shares Issued 738,367 954,415 5,636,302 5,733,758 Reinvestment of Dividends & Distributions 643 279 7,150 2,252 Cost of Shares Redeemed (730,903) (995,268) (5,681,249) (5,644,471) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class B Transactions 8,107 (40,574) (37,797) 91,539 ---------------------------------------------------------------------------------------------------------------------------------- CLASS C: Proceeds from Shares Issued 60,303 226,759 5,162,865 5,914,517 Reinvestment of Dividends & Distributions 2 15 6,041 2,240 Cost of Shares Redeemed (74,485) (254,989) (5,119,585) (6,051,272) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class C Transactions (14,180) (28,215) 49,321 (134,515) ---------------------------------------------------------------------------------------------------------------------------------- CLASS H: Proceeds from Shares Issued -- -- 85,991 79,666 Reinvestment of Dividends & Distributions -- -- 1,008 336 Cost of Shares Redeemed -- -- (92,214) (74,804) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class H Transactions -- -- (5,215) 5,198 ---------------------------------------------------------------------------------------------------------------------------------- SWEEP CLASS: Proceeds from Shares Issued -- -- 407,174 362,421 Reinvestment of Dividends & Distributions -- -- 68 17 Cost of Shares Redeemed -- -- (395,019) (366,929) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Sweep Class Transactions -- -- 12,223 (4,491) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Capital Share Transactions 54,957 (122,456) 2,778 (305,263) ---------------------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) in Net Assets 54,953 (122,464) 2,759 (305,288) ---------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 694,362 816,826 4,440,907 4,746,195 ---------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 749,315 $ 694,362 $ 4,443,666 $ 4,440,907 ================================================================================================================================== Undistributed Net Investment Income/ (Distributions in Excess of Net Investment Income) $ -- $ (1) $ -- $ 1 ================================================================================================================================== ---------------------------------------------------------------------------------------------------------------------------------- TREASURY TREASURY II FUND FUND ---------------------------------------------------------------------------------------------------------------------------------- 2006 2005 2006 2005 ---------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 18,770 $ 6,195 $ 8,452 $ 4,400 Net Realized Gain (Loss) on Investments 4 (31) (11) (57) ---------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 18,774 6,164 8,441 4,343 ---------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (8,111) (3,211) (6,410) (3,202) Class B (6,067) (1,925) (1,831) (923) Class C (2,235) (545) (211) (319) Class H -- -- -- -- Sweep Class (2,357) (514) -- -- ---------------------------------------------------------------------------------------------------------------------------------- Total Dividends (18,770) (6,195) (8,452) (4,444) ---------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 1,804,616 2,544,088 1,172,871 1,343,161 Reinvestment of Dividends & Distributions 507 348 1,217 971 Cost of Shares Redeemed (1,890,004) (2,515,994) (1,259,325) (1,349,541) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (84,881) 28,442 (85,237) (5,409) ---------------------------------------------------------------------------------------------------------------------------------- CLASS B: Proceeds from Shares Issued 1,087,690 1,365,840 362,752 699,828 Reinvestment of Dividends & Distributions 1,477 463 126 111 Cost of Shares Redeemed (1,056,405) (1,485,282) (371,045) (781,992) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class B Transactions 32,762 (118,979) (8,167) (82,053) ---------------------------------------------------------------------------------------------------------------------------------- CLASS C: Proceeds from Shares Issued 818,357 820,022 136,916 585,363 Reinvestment of Dividends & Distributions 42 12 -- -- Cost of Shares Redeemed (773,928) (860,744) (165,704) (612,405) ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class C Transactions 44,471 (40,710) (28,788) (27,042) ---------------------------------------------------------------------------------------------------------------------------------- CLASS H: Proceeds from Shares Issued -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class H Transactions -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- SWEEP CLASS: Proceeds from Shares Issued 550,906 504,982 -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed (562,742) (505,250) -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Sweep Class Transactions (11,836) (268) -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Capital Share Transactions (19,484) (131,515) (122,192) (114,504) ---------------------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) in Net Assets (19,480) (131,546) (122,203) (114,605) ---------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 664,011 795,557 373,878 488,483 ---------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 644,531 $ 664,011 $ 251,675 $ 373,878 ================================================================================================================================== Undistributed Net Investment Income/ (Distributions in Excess of Net Investment Income) $ -- $ -- $ -- $ -- ==================================================================================================================================
-------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 37 Statements of Changes in Net Assets ($ Thousands) For the years ended January 31,
----------------------------------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND ----------------------------------------------------------------------------------------------------------- 2006 2005 ----------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 5,959 $ 5,410 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,844) (561) Net Change in Unrealized Depreciation on Investments and Futures Contracts (681) (2,245) ----------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 3,434 2,604 ----------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Net Investment Income (6,742) (6,335) Net Realized Gains -- -- ----------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (6,742) (6,335) ----------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 87,343 132,571 Reinvestment of Dividends & Distributions 5,265 4,309 Cost of Shares Redeemed (135,823) (221,100) ----------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (43,215) (84,220) ----------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (46,523) (87,951) ----------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 202,035 289,986 ----------------------------------------------------------------------------------------------------------- END OF YEAR $ 155,512 $ 202,035 =========================================================================================================== Undistributed Net Investment Income/ (Distributions in Excess of Net Investment Income) $ (72) $ 5 =========================================================================================================== SHARE TRANSACTIONS: CLASS A: Shares Issued 8,636 12,899 Reinvestment of Distributions 522 420 Shares Redeemed (13,463) (21,506) ----------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding from Share Transactions (4,305) (8,187) ----------------------------------------------------------------------------------------------------------- Amounts designated as "--" are zero or have been rounded to zero. + Adjusted to reflect the effect of the 5 for 1 reverse share split on May 6, 2005. See Note 8 in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 38 SEI Daily Income Trust / Annual Report / January 31, 2006
------------------------------------------------------------------------------------------------------------------------------------ INTERMEDIATE-DURATION GNMA ULTRA SHORT GOVERNMENT FUND FUND BOND FUND ------------------------------------------------------------------------------------------------------------------------------------ 2006 2005 2006 2005 2006 2005 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 3,488 $ 3,409 $ 7,431 $ 7,414 $ 11,264 $ 6,071 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (830) (309) 974 768 (362) (241) Net Change in Unrealized Depreciation on Investments and Futures Contracts (1,720) (908) (3,896) (1,884) (1,077) (2,114) ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 938 2,192 4,509 6,298 9,825 3,716 ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Net Investment Income (3,755) (3,597) (8,670) (9,524) (11,854) (6,945) Net Realized Gains -- (80) -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (3,755) (3,677) (8,670) (9,524) (11,854) (6,945) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 23,528 37,922 51,821 44,917 296,269 343,268 Reinvestment of Dividends & Distributions 1,397 1,591 5,754 6,188 10,495 5,389 Cost of Shares Redeemed (45,629) (63,249) (58,229) (96,223) (209,900) (321,862) ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class A Transactions (20,704) (23,736) (654) (45,118) 96,864 26,795 ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets (23,521) (25,221) (4,815) (48,344) 94,835 23,566 ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR 109,394 134,615 171,139 219,483 317,382 293,816 ------------------------------------------------------------------------------------------------------------------------------------ END OF YEAR $ 85,873 $ 109,394 $ 166,324 $ 171,139 $ 412,217 $ 317,382 ==================================================================================================================================== Undistributed Net Investment Income/ (Distributions in Excess of Net Investment Income) $ (20) $ 11 $ -- $ (7) $ (74) $ (3) ==================================================================================================================================== SHARE TRANSACTIONS: CLASS A: Shares Issued 2,272 3,596 5,394 4,613 29,708+ 34,136+ Reinvestment of Distributions 135 151 602 635 1,052+ 537+ Shares Redeemed (4,415) (5,983) (6,088) (9,876) (21,042)+ (32,032)+ ------------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Shares Outstanding from Share Transactions (2,008) (2,236) (92) (4,628) 9,718+ 2,641+ ------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 39 Financial Highlights For the years ended January 31, For a Share Outstanding Throughout the Years
---------------------------------------------------------------------------------------------------------------------------- Net Realized and Net Asset Unrealized Dividends Total Value, Net Gains Total from Net Dividends Net Asset Beginning Investment (Losses) from Investment and Value, End Total of Year Income on Securities Operations Income Distributions of Year Return ---------------------------------------------------------------------------------------------------------------------------- MONEY MARKET FUND CLASS A 2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 3.30% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.37 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.04 2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 1.61 2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.70 CLASS B 2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 2.99% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.07 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.74 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.31 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.39 CLASS C 2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 2.78% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.86 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.54 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.11 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.19 SWEEP CLASS 2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 2.53% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.61 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.29 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.85 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.93 GOVERNMENT FUND CLASS A 2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 3.21% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.30 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.00 2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 1.53 2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.64 CLASS B 2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 2.90% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.00 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.69 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.23 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.33 CLASS C 2006 $1.00 $ 0.03(1) $--(1) $ 0.03 $(0.03) $(0.03) $1.00 2.70% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.80 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.49 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.02 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.13 ------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income End of Year to Average (Excluding to Average ($ Thousands) Net Assets Waivers) Net Assets ------------------------------------------------------------------------- MONEY MARKET FUND CLASS A 2006 $392,207 0.18% 0.62% 3.25% 2005 524,849 0.18 0.62 1.38 2004 603,798 0.18 0.62 1.05 2003 581,097 0.18 0.63 1.59 2002 419,783 0.18 0.63 3.90 CLASS B 2006 $123,851 0.48% 0.67% 2.98% 2005 107,650 0.48 0.67 1.10 2004 124,401 0.48 0.67 0.74 2003 159,389 0.48 0.68 1.30 2002 197,280 0.48 0.68 3.27 CLASS C 2006 $232,072 0.68% 0.87% 2.83% 2005 152,060 0.68 0.87 0.84 2004 200,467 0.68 0.87 0.55 2003 307,236 0.68 0.88 1.10 2002 407,312 0.68 0.88 3.02 SWEEP CLASS 2006 $113,107 0.93% 1.12% 2.60% 2005 69,101 0.93 1.12 0.61 2004 87,791 0.93 1.12 0.30 2003 149,729 0.93 1.13 0.85 2002 177,857 0.93 1.13 2.92 GOVERNMENT FUND CLASS A 2006 $467,445 0.20% 0.53% 3.23% 2005 369,440 0.20 0.53 1.32 2004 329,940 0.20 0.53 0.99 2003 370,142 0.20 0.53 1.51 2002 402,096 0.20 0.53 3.42 CLASS B 2006 $122,025 0.50% 0.58% 2.84% 2005 156,741 0.50 0.58 0.93 2004 240,491 0.50 0.58 0.70 2003 258,488 0.50 0.58 1.20 2002 217,957 0.50 0.58 3.00 CLASS C 2006 $129,416 0.70% 0.78% 2.74% 2005 86,267 0.70 0.78 0.77 2004 105,763 0.70 0.78 0.50 2003 138,864 0.70 0.78 1.02 2002 151,256 0.70 0.78 2.90
-------------------------------------------------------------------------------- 40 SEI Daily Income Trust / Annual Report / January 31, 2006
---------------------------------------------------------------------------------------------------------------------------- Net Realized and Net Asset Unrealized Dividends Total Value, Net Gains Total from Net Dividends Net Asset Beginning Investment (Losses) from Investment and Value, End Total of Year Income on Securities Operations Income Distributions of Year Return ---------------------------------------------------------------------------------------------------------------------------- GOVERNMENT FUND (CONTINUED) SWEEP CLASS 2006 $1.00 $ 0.02(1) $--(1) $ 0.02 $(0.02) $(0.02) $1.00 2.44% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.55 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.25 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.77 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.87 GOVERNMENT II FUND CLASS A 2006 $1.00 $ 0.03(1) $--(1) $0.03 $(0.03) $(0.03) $1.00 3.18% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.27 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.96 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.50 2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.63 CLASS B 2006 $1.00 $ 0.03(1) $--(1) $0.03 $(0.03) $(0.03) $1.00 2.87% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.97 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.66 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.20 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.32 CLASS C 2006 $1.00 $ 0.03(1) $--(1) $0.03 $(0.03) $(0.03) $1.00 2.67% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.76 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.46 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.11 PRIME OBLIGATION FUND CLASS A 2006 $1.00 $ 0.03(1) $--(1) $0.03 $(0.03) $(0.03) $1.00 3.28% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.34 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.02 2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 1.58 2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.70 ------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income End of Year to Average (Excluding to Average ($ Thousands) Net Assets Waivers) Net Assets ------------------------------------------------------------------------- GOVERNMENT FUND (CONTINUED) SWEEP CLASS 2006 $ 26,361 0.95% 1.03% 2.43% 2005 27,841 0.95 1.03 0.51 2004 46,254 0.95 1.03 0.25 2003 52,423 0.95 1.03 0.77 2002 71,277 0.95 1.03 2.67 GOVERNMENT II FUND CLASS A 2006 $ 576,242 0.20% 0.48% 3.18% 2005 515,216 0.20 0.48 1.25 2004 568,888 0.20 0.47 0.96 2003 669,654 0.20 0.48 1.49 2002 688,112 0.20 0.48 3.63 CLASS B 2006 $ 168,616 0.50% 0.53% 2.80% 2005 160,509 0.50 0.53 0.92 2004 201,085 0.50 0.52 0.66 2003 174,496 0.50 0.53 1.19 2002 164,741 0.50 0.53 3.21 CLASS C 2006 $ 4,457 0.70% 0.73% 2.39% 2005 18,637 0.70 0.73 0.71 2004 46,853 0.70 0.72 0.46 2003 54,860 0.70 0.73 1.00 2002 80,415 0.70 0.73 2.84 PRIME OBLIGATION FUND CLASS A 2006 $2,957,074 0.20% 0.48% 3.26% 2005 2,972,833 0.20 0.48 1.31 2004 3,235,847 0.20 0.48 1.02 2003 3,527,722 0.20 0.48 1.56 2002 3,989,778 0.20 0.48 3.72 Amounts designated as "--" are $0 or have been rounded to $0. (1) Per share calculations were performed using average shares. (2) Amount represents less than $0.01 per share.
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 41 Financial Highlights For the years ended January 31, For a Share Outstanding Throughout the Years
------------------------------------------------------------------------------------------------------------------------- Net Realized and Net Asset Unrealized Dividends Total Value, Net Gains Total from Net Dividends Net Asset Beginning Investment (Losses) from Investment and Value, End Total of Year Income on Securities Operations Income Distributions of Year Return ------------------------------------------------------------------------------------------------------------------------- PRIME OBLIGATION FUND (CONTINUED) CLASS B 2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 2.98% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.03 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.72 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.28 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.39 CLASS C 2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 2.77% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.83 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.52 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.07 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.18 CLASS H 2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 2.84% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.90 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.59 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.15 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.25 SWEEP CLASS 2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 2.51% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.58 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.27 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.82 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.92 TREASURY FUND CLASS A 2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 3.13% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.22 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.96 2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 1.51 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.48 CLASS B 2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 2.82% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.91 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.66 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.21 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.18 CLASS C 2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $ (0.03) $ 1.00 2.62% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.71 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.46 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.01 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.97 ------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income End of Year to Average (Excluding to Average ($ Thousands) Net Assets Waivers) Net Assets ------------------------------------------------------------------- PRIME OBLIGATION FUND (CONTINUED) CLASS B 2006 $ 625,831 0.50% 0.53% 2.88% 2005 663,635 0.50 0.53 1.05 2004 572,097 0.50 0.53 0.72 2003 776,902 0.50 0.53 1.26 2002 676,475 0.50 0.53 3.21 CLASS C 2006 $ 779,625 0.70% 0.73% 2.76% 2005 730,310 0.70 0.73 0.82 2004 864,829 0.70 0.73 0.52 2003 929,285 0.70 0.73 1.07 2002 946,967 0.70 0.73 3.07 CLASS H 2006 $ 36,006 0.63% 0.66% 2.81% 2005 41,221 0.63 0.66 0.90 2004 36,023 0.63 0.66 0.59 2003 44,327 0.63 0.66 1.13 2002 29,412 0.63 0.65 2.89 SWEEP CLASS 2006 $ 45,130 0.95% 0.98% 2.53% 2005 32,908 0.95 0.98 0.58 2004 37,399 0.95 0.98 0.28 2003 56,968 0.95 0.98 0.83 2002 76,982 0.95 0.98 2.88 TREASURY FUND CLASS A 2006 $ 208,097 0.20% 0.53% 3.05% 2005 292,974 0.20 0.53 1.21 2004 264,544 0.20 0.53 0.92 2003 147,129 0.20 0.54 1.50 2002 221,636 0.20 0.53 3.30 CLASS B 2006 $ 239,461 0.50% 0.58% 2.81% 2005 206,698 0.50 0.58 0.85 2004 325,687 0.50 0.58 0.65 2003 319,991 0.50 0.59 1.19 2002 316,896 0.50 0.58 3.11 CLASS C 2006 $ 113,403 0.70% 0.78% 2.70% 2005 68,932 0.70 0.78 0.66 2004 109,647 0.70 0.78 0.45 2003 103,015 0.70 0.79 0.98 2002 97,755 0.70 0.78 2.86
-------------------------------------------------------------------------------- 42 SEI Daily Income Trust / Annual Report / January 31, 2006
----------------------------------------------------------------------------------------------------------------------------- Net Realized and Net Asset Unrealized Dividends Total Value, Net Gains Total from Net Dividends Net Asset Beginning Investment (Losses) from Investment and Value, End Total of Year Income on Securities Operations Income Distributions of Year Return ----------------------------------------------------------------------------------------------------------------------------- TREASURY FUND (CONTINUED) SWEEP CLASS 2006 $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $(0.02) $ 1.00 2.36% 2005 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.49 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.23 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.76 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.71 TREASURY II FUND CLASS A 2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $(0.03) $ 1.00 2.85% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 1.09 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.81 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.42 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.35 CLASS B 2006 $ 1.00 $ 0.03(1) $ --(1) $ 0.03 $ (0.03) $(0.03) $ 1.00 2.54% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.79 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.51 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.12 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.05 CLASS C 2006 $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $(0.02) $ 1.00 2.33% 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 0.59 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 0.31 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.91 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.84 --------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income End of Year to Average (Excluding to Average ($ Thousands) Net Assets Waivers) Net Assets --------------------------------------------------------------------- TREASURY FUND (CONTINUED) SWEEP CLASS 2006 $ 83,570 0.95% 1.03% 2.35% 2005 95,407 0.93 1.03 0.49 2004 95,679 0.92 1.03 0.22 2003 102,257 0.95 1.04 0.75 2002 119,263 0.95 1.03 2.61 TREASURY II FUND CLASS A 2006 $ 178,480 0.25% 0.53% 2.78% 2005 263,727 0.25 0.53 1.08 2004 269,200 0.25 0.53 0.80 2003 410,954 0.25 0.53 1.42 2002 556,201 0.25 0.53 3.20 CLASS B 2006 $ 70,593 0.55% 0.58% 2.50% 2005 78,781 0.55 0.58 0.70 2004 160,859 0.55 0.58 0.51 2003 210,421 0.55 0.58 1.08 2002 133,310 0.55 0.58 2.94 CLASS C 2006 $ 2,602 0.75% 0.78% 2.03% 2005 31,370 0.75 0.78 0.54 2004 58,424 0.75 0.78 0.30 2003 92,554 0.75 0.78 0.90 2002 109,581 0.75 0.78 2.71 Amounts designated as "--" are $0 or have been rounded to $0. (1) Per share calculations were performed using average shares. (2) Amount represents less than $0.01 per share.
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 43 Financial Highlights For the years ended January 31, For a Share Outstanding Throughout the Years
----------------------------------------------------------------------------------------------------------------------------------- Net Realized and Distributions Net Asset Unrealized Dividends from Total Value, Net Gains Total from Net Realized Dividends Net Asset Beginning Investment (Losses) from Investment Capital and Value, End Total of Year Income on Securities Operations Income Gains Distributions of Year Return+ ----------------------------------------------------------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND CLASS A 2006 $ 10.19 $ 0.32(1) $ (0.13)(1) $ 0.19 $ (0.36) $ -- $ (0.36) $ 10.02 1.93% 2005 10.35 0.22(1) (0.12)(1) 0.10 (0.26) -- (0.26) 10.19 0.96 2004 10.46 0.22(1) (0.06)(1) 0.16 (0.27) -- (0.27) 10.35 1.55 2003 10.30 0.32 0.21 0.53 (0.34) (0.03) (0.37) 10.46 5.29 2002 10.15 0.47 0.16 0.63 (0.48) -- (0.48) 10.30 6.28 INTERMEDIATE-DURATION GOVERNMENT FUND CLASS A 2006 $ 10.50 $ 0.36(1) $ (0.26)(1) $ 0.10 $ (0.39) $ -- $ (0.39) $ 10.21 0.94% 2005 10.64 0.31(1) (0.11)(1) 0.20 (0.33) (0.01) (0.34) 10.50 1.85 2004 10.89 0.31(1) 0.01 (1) 0.32 (0.33) (0.24) (0.57) 10.64 2.98 2003 10.40 0.42 0.51 0.93 (0.44) -- (0.44) 10.89 9.12 2002 10.22 0.54 0.18 0.72 (0.54) -- (0.54) 10.40 7.19 GNMA FUND CLASS A 2006 $ 9.71 $ 0.41(1) $ (0.16)(1) $ 0.25 $ (0.48) $ -- $ (0.48) $ 9.48 2.60% 2005 9.86 0.39(1) (0.04)(1) 0.35 (0.50) -- (0.50) 9.71 3.64 2004 10.13 0.30(1) (0.09)(1) 0.21 (0.48) -- (0.48) 9.86 2.16 2003 9.91 0.44 0.31 0.75 (0.53) -- (0.53) 10.13 7.73 2002 9.78 0.55 0.14 0.69 (0.56) -- (0.56) 9.91 7.22 ULTRA SHORT BOND FUND CLASS A 2006++ $ 10.00 $ 0.32(1) $ (0.04)(1) $ 0.28 $ (0.33) $ -- $ (0.33) $ 9.95 2.90% 2005++ 10.10 0.20(1) (0.10)(1) 0.10 (0.20) -- (0.20) 10.00 1.11 2004++ 10.15 0.20(1) (0.05)(1) 0.15 (0.20) -- (0.20) 10.10 1.61 2003++ 10.15 0.30 -- 0.30 (0.30) (0.00)(2) (0.30) 10.15 3.35 2002++ 10.05 0.50 0.10 0.60 (0.50) -- (0.50) 10.15 6.08 ---------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income Portfolio End of Year to Average (Excluding to Average Turnover ($ Thousands) Net Assets Waivers) Net Assets Rate ---------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND CLASS A 2006 $ 155,512 0.45% 0.75% 3.15% 162% 2005 202,035 0.45 0.74 2.12 66 2004 289,986 0.45 0.72 2.07 117 2003 318,046 0.45 0.73 2.92 125 2002 150,993 0.45 0.72 4.58 84 INTERMEDIATE - DURATION GOVERNMENT FUND CLASS A 2006 $ 85,873 0.50% 0.73% 3.46% 151% 2005 109,394 0.50 0.73 2.92 80 2004 134,615 0.50 0.72 2.89 154 2003 188,009 0.50 0.73 3.92 57 2002 119,335 0.50 0.72 5.17 50 GNMA FUND CLASS A 2006 $ 166,324 0.60% 0.71% 4.26% 97% 2005 171,139 0.60 0.71 3.97 85 2004 219,483 0.60 0.69 2.97 145 2003 390,393 0.60 0.70 4.12 146 2002 234,747 0.60 0.69 5.50 108 ULTRA SHORT BOND FUND CLASS A 2006++ $ 412,217 0.35% 0.75% 3.22% 67% 2005++ 317,382 0.35 0.75 1.84 59 2004++ 293,816 0.35 0.73 1.84 68 2003++ 352,284 0.35 0.73 2.81 76 2002++ 167,901 0.35 0.72 4.74 75 Amounts designated as "--" are $0 or have been rounded to $0. + Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. ++ Per share amounts have been adjusted for a 5 for 1 reverse stock split paid to shareholders of record on May 6, 2005. (1) Per share calculations were performed using average shares. (2) Amount represents less than $0.01 per share.
The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 44 SEI Daily Income Trust / Annual Report / January 31, 2006 NOTES TO FINANCIAL STATEMENTS Notes to Financial Statements 1. ORGANIZATION SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business trust under a Declaration of Trust dated March 15, 1982. The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end investment company with ten operational Funds: the Money Market, Government, Government II, Prime Obligation, Treasury, Treasury II (each a "Fund", collectively the "Money Market Funds"), the Short-Duration Government, Intermediate-Duration Government, GNMA, and Ultra Short Bond (each a "Fund", collectively the "Fixed Income Funds"). The Funds' prospectuses provide a description of each Fund's investment objectives, policies and strategies. The assets of each Fund are segregated, and a shareholder's interest is limited to the Fund in which shares are held. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed by the Funds. USE OF ESTIMATES -- The preparation of financial statements, in conformity with accounting principles generally accepted in the United States of America, requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets at the date of the financial statements, and the reported results of operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Investment securities of the Money Market Funds are stated at amortized cost which approximates market value. Under this valuation method, purchase discounts and premiums are accreted and amortized ratably to maturity and are included in interest income. Investment securities of the Fixed Income Funds listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the last quoted sale price on the primary exchange or market on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Funds' Board of Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Funds' Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. As of January 31, 2006, there were no fair valued securities in the Funds. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are accounted for on the trade date of the security purchase or sale. Costs used in determining net realized capital gains and losses on the sale of securities are those of the specific securities sold, adjusted for the accretion and amortization of purchase discounts and premiums during the respective holding period. Interest income is recorded on the accrual basis. Purchase discounts and premiums on securities held in the Fixed Income Funds are accreted and amortized over the life of each security. Paydown gains and losses are classified as interest income. REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase agreements are held by each Fund's custodian bank until maturity of the repurchase agreements. Provisions of the agreements and the Trust's policies ensure that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. The Funds also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker's custodian bank in a segregated account until maturity of the repurchase agreement. Provisions of the agreements ensure that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by a Fund may be delayed or limited. FUTURES CONTRACTS -- The Short-Duration Government Fund, the Intermediate-Duration Government Fund and the GNMA Fund utilized futures contracts during the year ended January 31, 2006. The Funds' investment in these futures contracts is designed to enable the Funds to more closely approximate the performance of their benchmark indices. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 45 NOTES TO FINANCIAL STATEMENTS (CONTINUED) Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are "marked-to-market" daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks related to futures contracts include the possibility that there may not be a liquid market for the contracts, that the changes in the value of the contract may not directly correlate with changes in the value of the underlying securities, and that the counterparty to a contract may default on its obligation to perform. The notional amount presented in the Statement of Net Assets in the Short-Duration Government Fund, the Intermediate-Duration Government Fund and the GNMA Fund represents the Fund's total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund's net assets. TBA PURCHASE COMMITMENTS -- The Funds may engage in "to be announced" ("TBA") purchase commitments to purchase securities for a fixed price at a future date. TBA purchase commitments may be considered securities and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, which risk is in addition to the risk of decline in the value of a Fund's other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities, according to the procedures described under "Security Valuation" above. COLLATERALIZED LOAN OBLIGATIONS -- The Funds may invest in collateralized loan obligations ("CLOs") and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. Normally, CLOs are privately offered and sold, and thus, are not registered under the securities laws. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of the Funds. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. CLASSES -- Class-specific expenses are borne by that class of shares. Income, realized and unrealized gains/losses and non-class-specific expenses are allocated to the respective class on the basis of relative daily net assets. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Trust, which are not directly associated to a specific Fund, are prorated to the Funds on the basis of relative daily net assets. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions to shareholders, which are determined in accordance with Federal tax regulations, are recorded on the ex-dividend date. Dividends from net investment income are declared on a daily basis and are payable on the first business day of the following month. Any net realized capital gains on sales of securities for a Fund are distributed to its shareholders at least annually. 3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION AND TRANSFER AGENT AGREEMENT -- SEI Investments Global Funds Services (formerly SEI Investments Fund Management) (the "Administrator") provides administrative and transfer agency services to the Funds for annual fees, based on the average daily net assets of the respective funds, as presented below: Money Market Fund .33% Government Fund .24% Government II Fund .19% Prime Obligation Fund .19% Treasury Fund .24% Treasury II Fund .24% Short-Duration Government Fund .35% Intermediate-Duration Government Fund .35% GNMA Fund .32% Ultra Short Bond Fund .35% However, the Administrator has agreed to waive a portion or its entire fee, for various classes of shares in various funds, to limit total annual expenses up to the following amounts (expressed as a percentage of the Funds' daily net assets).
---------------------------------------------------------------------------------------------------------- Money Prime Market Government Government II Obligation Treasury Treasury II Fund Fund Fund Fund Fund Fund ---------------------------------------------------------------------------------------------------------- Class A .18%(1) .20%(3) .20%(2) .20%(2) .20%(2) .25%(2) Class B .48%(1) .50%(3) .50%(2) .50%(2) .50%(2) .55%(2) Class C .68%(1) .70%(3) .70%(2) .70%(2) .70%(2) .75%(2) Class H N/A N/A N/A .63%(1) N/A N/A Sweep Class .93%(1) .95%(1) * .95%(1) .95%(1) *
-------------------------------------------------------------------------------- 46 SEI Daily Income Trust / Annual Report / January 31, 2006 -------------------------------------------------------------------------------- Short- Intermediate- Ultra Duration Duration Short Government Government GNMA Bond Fund Fund Fund Fund -------------------------------------------------------------------------------- Class A .45%(1) .50%(1) .60%(1) .35%(1) -------------------------------------------------------------------------------- * Class not currently operational. (1) Represents a voluntary cap that may be discontinued at any time. (2) Represents a contractual cap effective through May 31, 2006. (3) Represents a contractual cap of .25%, .55%, and .75% of Class A, B, and C, respectively, effective through May 31, 2006. In addition, management has voluntarily waived fees to a cap of .20%, .50%, and .70% of Class A, B, and C, respectively, that may be discontinued at any time. During the year expenses related to a proxy conducted by the Trust were charged to the Funds above the cap. During the year ended January 31, 2006, the Short-Duration Government Fund and the Intermediate-Duration Government Fund were reimbursed by the Administrator, deemed as a "Payment by Affiliate" on the Statements of Operations, for losses incurred of $7,422 and $3,906, respectively, due to the sale of shares in several option contracts that were inadvertently purchased. DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary of SEI Investments Company ("SEI Investments"), and a registered broker-dealer, acts as the Distributor of the shares of the Trust under various Distribution Agreements. The Trust has adopted plans under which firms, including the Distributor, that provide shareholder and administrative services may receive compensation thereof. Specific classes of certain funds have also adopted distribution plans, pursuant to Rule 12b-1 under the Investment Company Act of 1940. Such plans provide fees payable to the Distributor up to the following amounts, calculated as a percentage of the average daily net assets attributable to each particular class of each respective fund. ------------------------------------------------------------------------------- Adminis- Shareholder trative Servicing Service Distribution Fees Fees Fees* ------------------------------------------------------------------------------- Money Market Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Sweep Class .25% -- .50% Government Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Sweep Class .25% -- .50% Government II Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Prime Obligation Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Class H .25% .18% -- Sweep Class .25% -- .50% ------------------------------------------------------------------------------- Adminis- Shareholder trative 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 since inception of the plan. Such waivers are voluntary and may be discontinued at any time. For Classes B, C, and H, the shareholder servicing fees and the administrative service fees are shown combined as "Administrative & Shareholder Servicing Fees" in the Statement of Operations. Certain officers and Trustees of the Trust are also officers and/or Trustees of the Administrator or the adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator or the adviser pays compensation of officers and affiliated Trustees. 4. INVESTMENT ADVISORY AND CUSTODIAN AGREEMENTS SEI Investments Management Corporation ("SIMC") serves as each Fund's investment adviser and "manager of managers" under an investment advisory agreement approved by the shareholders of each Fund. For its services, SIMC receives an annual fee equal to .075% on the first $500 million of net assets and .02% on the net assets in excess of $500 million for the Money Market Funds. The fee will be calculated based on the combined assets of the Money Market Funds. SIMC also receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Short-Duration Government, Intermediate-Duration Government and GNMA Funds. The fee will be calculated based on the combined assets of the Funds listed above. SIMC also receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 47 NOTES TO FINANCIAL STATEMENTS (CONTINUED) of $1 billion for the Ultra Short Bond Fund. The fee will be calculated based on the net assets of the Ultra Short Bond Fund. Pursuant to the "manager of managers" structure, the Board of Trustees approved Columbia Management Advisors, LLC (formerly Banc of America Capital Management, LLC) as each Money Market Fund's investment sub-adviser under an investment sub-advisory agreement approved by the shareholders of each Fund. For its services to the Money Market Funds, the sub-adviser is entitled to receive a fee paid directly by SIMC. Wellington Management Company LLP, ("Wellington LLP") serves as sub-adviser to the Fixed Income Funds under an investment sub-advisory agreement approved by the shareholders of each Fund. For its services to the Funds, Wellington LLP is entitlted to receive a fee paid directly by SIMC. Wachovia Bank, N.A. serves as the custodian of the Funds. The custodian plays no role in determining the investment policies of the Funds or which securities are to be purchased or sold in the Funds. 5. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale of securities, other than temporary investments in short-term securities, for the year ended January 31, 2006, were as follows for the Fixed Income Funds: --------------------------------------------------------------------------- Short- Intermediate- Ultra Duration Duration Short Government Government GNMA Bond Fund Fund Fund Fund ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) --------------------------------------------------------------------------- PURCHASES U.S. Government $209,206 $138,607 $153,984 $ 70,195 Other 76,379 5,155 13,087 113,908 SALES U.S. Government $253,493 $161,910 $164,419 $ 35,152 Other 65,397 171 2,670 106,201 6. FEDERAL TAX INFORMATION It is each Fund's intention to continue to qualify as a regulated investment company for Federal income tax purposes and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required. Reclassification of components of net assets -- The timing and characterization of certain income and capital gain distributions are determined annually in accordance with Federal tax regulations which may differ from accounting principles generally accepted in the United States. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for the reporting period may differ from distributions during such period. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the periods that the differences arise. These reclassifications, which have no impact on net asset value of the Fund, are primarily attributable to expiration of capital loss carryforwards, and tax treatment of paydown gain (loss) on mortgage and asset-backed securities. Accordingly, the following permanent differences have been reclassified to/from the following accounts during the fiscal year ended January 31, 2006:
Undistributed Accumulated Net Investment Net Realized Paid-in Capital Income Gain (Loss) ($ Thousands) ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------------- Government Fund $ (5) $ -- $ 5 Government II Fund (38) -- 38 Treasury II Fund (148) -- 148 Short-Duration Government Fund -- 706 (706) Intermediate-Duration Government Fund -- 236 (236) GNMA Fund (237) 1,246 (1,009) Ultra Short Bond Fund -- 519 (519)
-------------------------------------------------------------------------------- 48 SEI Daily Income Trust / Annual Report / January 31, 2006 The tax character of dividends and distributions during the last two fiscal years were as follows:
------------------------------------------------------------------------------------------------ Ordinary Long-term Income Capital Gain Total ($ Thousands) ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------------------------ Money Market Fund 2006 $ 27,014 $ -- $ 27,014 2005 10,070 -- 10,070 Government Fund 2006 19,694 -- 19,694 2005 7,837 -- 7,837 Government II Fund 2006 22,121 -- 22,121 2005 8,768 -- 8,768 Prime Obligation Fund 2006 129,961 -- 129,961 2005 53,751 -- 53,751 Treasury Fund 2006 18,770 -- 18,770 2005 6,195 -- 6,195 Treasury II Fund 2006 8,452 -- 8,452 2005 4,444 -- 4,444 Short-Duration Government Fund 2006 6,742 -- 6,742 2005 6,335 -- 6,335 Intermediate-Duration Government Fund 2006 3,755 -- 3,755 2005 3,597 80 3,677 GNMA Fund 2006 8,670 -- 8,670 2005 9,524 -- 9,524 Ultra Short Bond Fund 2006 11,854 -- 11,854 2005 6,945 -- 6,945
As of January 31, 2006 the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:
----------------------------------------------------------------------------------------------------------------------------------- Total Undistributed Undistributed Capital Post- Other Unrealized Distributable Ordinary Long Term Loss October Temporary Appreciation Earnings Income Capital Gain Carryforwards Losses Differences (Depreciation) (Accumulated Losses) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ----------------------------------------------------------------------------------------------------------------------------------- Money Market Fund $ 3,049 $ -- $ (16) $ -- $ (3,045) $ -- $ (12) Government Fund 2,558 -- (68) -- (2,558) -- (68) Government II Fund 2,615 -- (15) -- (2,615) -- (15) Prime Obligation Fund 15,752 -- (104) -- (15,752) -- (104) Treasury Fund 1,955 -- (93) -- (1,955) -- (93) Treasury II Fund 741 -- (122) (6) (741) -- (128) Short-Duration Government Fund 466 -- (4,602) (713) (539) (1,745) (7,133) Intermediate-Duration Government Fund 246 -- (1,184) (371) (266) (1,706) (3,281) GNMA Fund 688 -- (10,024) (437) (688) (392) (10,853) Ultra Short Bond Fund 1,227 -- (3,064) (303) (1,301) (2,204) (5,645)
Amounts designated as "--" are $0 or have been rounded to $0. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 49 NOTES TO FINANCIAL STATEMENTS At January 31, 2006, the following funds had capital loss carryforwards to offset future realized capital gains: -------------------------------------------------------------------------------- Amount Expiration ($ Thousands) Date -------------------------------------------------------------------------------- Money Market Fund $ 16 1/31/14 Government Fund 5 1/31/10 5 1/31/11 54 1/31/13 4 1/31/14 Government II Fund 3 1/31/12 7 1/31/13 5 1/31/14 Prime Obligation Fund 27 1/31/10 43 1/31/11 2 1/31/12 14 1/31/13 18 1/31/14 Treasury Fund 65 1/31/11 1 1/31/12 22 1/31/13 5 1/31/14 Treasury II Fund 40 1/31/10 19 1/31/11 19 1/31/13 44 1/31/14 Short-Duration Government Fund 899 1/31/12 1,326 1/31/13 2,377 1/31/14 Intermediate-Duration Government Fund 301 1/31/13 883 1/31/14 GNMA Fund 109 1/31/08 1,607 1/31/09 776 1/31/11 6,407 1/31/12 1,119 1/31/13 6 1/31/14 Ultra Short Bond Fund 557 1/31/11 442 1/31/12 1,020 1/31/13 1,045 1/31/14 The Government Fund, Government II Fund, Treasury II Fund and GNMA Fund have permanent book/tax differences due to the expiration of capital loss carryforwards. The Government Fund, Government II Fund, Treasury II Fund and GNMA Fund have $5,064, $38,015, $147,748 and $237,677 of capital losses, respectively, which have expired as of January 31, 2006. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Post-October losses represent losses realized on investment transactions from November 1, 2005 through January 31, 2006 that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year. At January 31, 2006 the Money Market Funds cost of securities for Federal income tax purposes approximates the cost located in the Statement of Net Assets. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Fixed Income Funds at January 31, 2006, were as follows: ------------------------------------------------------------------------------- Net Federal Appreciated Depreciated Unrealized Tax Cost Securities Securities Depreciation ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------------------------------------------------------------------------- Short-Duration Government Fund $155,585 $ 62 $(1,807) $(1,745) Intermediate-Duration Government Fund 88,789 110 (1,816) (1,706) GNMA Fund 168,747 991 (1,383) (392) Ultra Short Bond Fund 408,529 167 (2,371) (2,204) 7. INVESTMENT RISKS In the normal course of business, the Funds enter into contracts that provide general indemnifications by the Fund to the counterparty to the contract. The Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be established; however, based on experience, the risk of loss from such claim is considered remote. 8. OTHER The Board approved a 5 for 1 reverse share split in the Ultra Short Bond Fund. The reverse share split occurred on May 6, 2005. This Fund is designed to be a low tracking error fund. The Fund experienced excess tracking error due to the impact of rounding on the Fund's net asset value ("NAV"). The reverse share split resulted in a higher NAV for the Fund, thus decreasing the level of tracking error resulting from NAV rounding. -------------------------------------------------------------------------------- 50 SEI Daily Income Trust / Annual Report / January 31, 2006 NOTES TO FINANCIAL STATEMENTS 9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (Unaudited) The Board has selected KPMG LLP (KPMG) to serve as the Trust's independent registered public accounting firm for the Trust's fiscal year ended January 31, 2006. The decision to select KPMG was recommended by the Audit Committee and was approved by the Board on September 21, 2005. During the Trust's fiscal years ended January 31, 2005 and January 31, 2004 neither the Trust, its portfolios nor anyone on their behalf consulted with KPMG on items which (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Trust's financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(iv) of said Item 304). The selection of KPMG does not reflect any disagreements with or dissatisfaction by the Trust or the Board with the performance of the Trust's prior auditor. The decision to replace Ernst & Young LLP ("E&Y"), the Trust's previous independent registered public accounting firm, and, to select KPMG was recommended by the Trust's Audit Committee and approved by the Funds' Board of Trustees. E&Y's report on the Trust's financial statements for the fiscal years ended January 31, 2005 and January 31, 2004 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principles. During the Trust's fiscal years ended January 31, 2005 and January 31, 2004 (i) there were no disagreements with E&Y on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of E&Y, would have caused it to make reference to the subject matter of the disagreements in connection with its reports on the Trust's financial statements for such years, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 51 SEI DAILY INCOME TRUST -- JANUARY 31, 2006 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 net assets of SEI Daily Income Trust, comprising the Money Market, Government, Government II, Prime Obligation, Treasury, Treasury II, Short-Duration Government, Intermediate-Duration Government, GNMA, and Ultra-Short Bond Funds, (collectively, the "Funds"), as of January 31, 2006, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The statements of changes in net assets for the year-ended January 31, 2005 and the financial highlights for the each of the years in the three-year period then ended were audited by other auditors. Those auditors expressed an unqualified opinion on those statements of changes in net assets and financial highlights in their report dated March 11, 2005. The financial highlights for the year ended January 31, 2002, were audited by other auditors who have ceased operations. Those auditors expressed an unqualified opinion on those financial highlights in their report dated March 15, 2002. 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, 2006, by correspondence with custodians and brokers. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of SEI Daily Income Trust as of January 31, 2006, and the results of its operations, the changes in its net assets, and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles. /s/ KPMG LLP Philadelphia, Pennsylvania March 29, 2006 -------------------------------------------------------------------------------- 52 SEI Daily Income Trust / Annual Report / January 31, 2006 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) The following chart lists Trustees and Officers as of March 28, 2006.
Set forth below are the names, addresses, ages, position with the Trust, term of office and length of time served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734. ----------------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) TRUSTEE ----------------------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEES ------------------- Robert A. Nesher Chairman since 1982 Currently performs various 72 Trustee of The Advisors' Inner One Freedom of the services on behalf of SEI Circle Fund, The Advisors' Valley Drive, Board of Investments for which Mr. Nesher Inner Circle Fund II, Bishop Oaks, PA 19456 Trustees* is compensated. Street Funds, Director of SEI 59 yrs. old Global Master Fund plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Absolute Return Master Fund, L.P., SEI Absolute Return Fund, L.P., SEI Opportunity Master Fund, L.P., SEI Opportunity Fund, L.P. and SEI Multi-Strategy Funds plc. ----------------------------------------------------------------------------------------------------------------------------------- William M. Doran Trustee* since 1982 Self-employed consultant since 72 Trustee of The Advisors' Inner 1701 Market Street 2003. Partner, Morgan, Lewis & Circle Fund, The Advisors' Philadelphia, PA Bockius LLP (law firm) from 1976 Inner Circle Fund II, Director 19103 to 2003, counsel to the Trust, of SEI Investments since 1974. 65 yrs. old SEI Investments, SIMC, the Director of the Distributor Administrator and the Distributor. since 2003. Director of SEI Secretary of SEI Investments since Investments -- Global Fund 1978. Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited and SEI Asset Korea Co., Ltd. ----------------------------------------------------------------------------------------------------------------------------------- TRUSTEES -------- F. Wendell Gooch Trustee since 1982 Retired 72 Trustee of STI Classic Funds One Freedom and STI Classic Variable Trust. Valley Drive, Oaks, PA 19456 73 yrs. old ----------------------------------------------------------------------------------------------------------------------------------- James M. Storey Trustee since 1995 Attorney, sole practitioner since 72 Trustee of The Advisors' Inner One Freedom 1994. Partner, Dechert Price & Circle Fund, The Advisors' Valley Drive, Rhoads, September 1987-December Inner Circle Fund II, Oaks, PA 19456 1993. Massachusetts Health and 74 yrs. old Education Tax-Exempt Trust, and U.S. Charitable Gift Trust. ----------------------------------------------------------------------------------------------------------------------------------- * MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR. (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 TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST.
-------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 53 TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
----------------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) TRUSTEE ----------------------------------------------------------------------------------------------------------------------------------- TRUSTEES (CONTINUED) -------- George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, Newfound 72 Trustee of The Advisors' Inner One Freedom Consultants Inc. since April 1997. Circle Fund, The Advisors' Valley Drive Inner Circle Fund II, State Oaks, PA 19456 Street Navigator Securities 63 yrs. old Lending Trust, SEI Absolute Return Master Fund, L.P., SEI Absolute Return Fund, L.P., SEI Opportunity Master Fund, L.P., and SEI Opportunity Fund, L.P. ----------------------------------------------------------------------------------------------------------------------------------- Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 72 Director, Sonoco, Inc.; One Freedom` Health Care Reform, Commonwealth of Director, Exelon Corporation; Valley Drive Pennsylvania since 2003. Founder and Trustee, Pennsylvania Real Oaks, PA 19456 Principal, Grecoventures Ltd. from Estate Investment Trust. 59 yrs. old 1999 to 2002. ----------------------------------------------------------------------------------------------------------------------------------- Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital since 72 SEI Absolute Return Master One Freedom March 2002, Managing Partner and Fund, L.P., SEI Absolute Valley Drive, Head of Sales, Investorforce, March Return Fund, L.P., SEI Oaks, PA 19456 2000-December 2001; Global Partner Opportunity Master Fund, L.P., 48 yrs. old working for the CEO, Invesco and SEI Opportunity Fund, L.P. 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 Investment 72 SEI Absolute Return Master One Freedom Officer, J. Paul Getty Trust, Fund, L.P., SEI Absolute Valley Drive, Non-Profit Foundation for Visual Return Fund, L.P., SEI Oaks, PA 19456 Arts, since December 2002. Opportunity Master Fund, L.P., 58 yrs. old President, Harbor Capital Advisors and SEI Opportunity Fund, L.P. and Harbor Mutual Funds, 2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS -------- Robert A. Nesher President since 2005 Currently performs various services N/A N/A One Freedom & CEO on behalf of SEI Investments for Valley Drive, which Mr. Nesher is compensated. Oaks, PA 19456 59 yrs. old ----------------------------------------------------------------------------------------------------------------------------------- Stephen F. Panner Controller since 2005 Fund Accounting Director of the N/A N/A One Freedom and Administrator since 2005. Fund Valley Drive, Chief Administration Manager, Old Mutual Oaks, PA 19456 Financial Fund Services, 2000-2005. Chief 35 yrs. old Officer 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. ----------------------------------------------------------------------------------------------------------------------------------- Timothy D. Barto Vice since 2002 General Counsel, Vice President and N/A N/A One Freedom President Secretary of SIMC and the Valley Drive and Administrator since 2004. Vice Oaks, PA 19456 Secretary President and Assistant Secretary of 38 yrs. old SEI Investments 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. -----------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 54 SEI Daily Income Trust / Annual Report / January 31, 2006
----------------------------------------------------------------------------------------------------------------------------------- TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) TRUSTEE ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS (CONTINUED) -------------------- Sofia A. Rosala Vice since 2004 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC and the Valley Drive and Administrator since 2005. Compliance Oaks, PA 19456 Assistant Officer of SEI Investments September 32 yrs. old Secretary 2001-2004. Account and Product Consultant, SEI Private Trust Company, 1998-2001. ----------------------------------------------------------------------------------------------------------------------------------- Philip T. Masterson Vice since 2004 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Valley Drive and General Counsel, Citco Mutual Fund Oaks, PA 19456 Assistant Services, 2003-2004. Vice President 42 yrs. old Secretary and Associate Counsel, OppenheimerFunds, 2001-2003. Vice President and Assistant Counsel, Oppenheimer Funds, 1997-2001. ----------------------------------------------------------------------------------------------------------------------------------- James Ndiaye Vice since 2005 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Vice Valley Drive and President, Deutsche Asset Management Oaks, PA 19456 Assistant (2003-2004). Associate, Morgan, 37 yrs. old Secretary Lewis & Bockius LLP (2000-2003). Assistant Vice President, ING Variable Annuities Group (1999-2000). ----------------------------------------------------------------------------------------------------------------------------------- Michael T. Pang Vice since 2005 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Valley Drive and Counsel, Caledonian Bank & Trust's Oaks, PA 19456 Assistant Mutual Funds Group (2004). Counsel, 33 yrs. old Secretary Permal Asset Management (2001-2004). Associate, Schulte, Roth & Zabel's Investment Management Group (2000-2001). Staff Attorney, U.S. SEC's Division of Enforcement, Northeast Regional Office (1997-2000). ----------------------------------------------------------------------------------------------------------------------------------- John J. McCue Vice since 2004 Director of Portfolio N/A N/A One Freedom President Implementations for SIMC since 1995. Valley Drive Managing Director of Money Market Oaks, PA 19456 Investments for SIMC since 2003. 42 yrs. old ----------------------------------------------------------------------------------------------------------------------------------- Nicole Welch Anti-Money since 2005 Assistant Vice President and N/A N/A One Freedom Laundering Anti-Money Laundering Compliance Valley Drive Compliance Coordinator of SEI Investments since Oaks, PA 19456 Officer 2005. Compliance Analyst, TD 28 yrs. old Waterhouse (2004). Senior Compliance Analyst, UBS Financial Services (2002-2004). Knowledge Management Analyst, PriceWaterhouseCoopers Consulting (2000-2002). ----------------------------------------------------------------------------------------------------------------------------------- (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 TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST.
-------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 55 SEI DAILY INCOME TRUST -- JANUARY 31, 2006 Disclosure of Fund Expenses (Unaudited) All mutual funds have operating expenses. As a shareholder of a Fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. Operating expenses such as these are deducted from the Fund's gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the Fund's average net assets; this percentage is known as the Fund's expense ratio. The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table on the next page illustrates your Fund's costs in two ways: o ACTUAL FUND RETURN. This section helps you to estimate the actual expenses that your Fund incurred over the period. The "Expenses Paid During Period" column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the "Ending Account Value" number is derived from deducting that expense cost from the fund's gross investment return. You can use this information, together with the actual amount you invested in the fund, to estimate the expenses your Fund incurred over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under "Expenses Paid During Period." o HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with those of other mutual funds. It assumes that the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund's comparative cost by comparing the hypothetical result for your Fund in the "Expense Paid During Period" column with those that appear in the same charts in the shareholder reports for other funds. NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's actual return -- the account values shown do not apply to your specific investment. -------------------------------------------------------------------------------- 56 SEI Daily Income Trust / Annual Report / January 31, 2006 DISCLOSURE OF FUND EXPENSES (UNAUDITED) (CONCLUDED) BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 8/01/05 1/31/06 RATIOS PERIOD* -------------------------------------------------------------------------------- MONEY MARKET FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,019.10 0.18% $0.92 Class B Shares 1,000.00 1,017.60 0.48% 2.44 Class C Shares 1,000.00 1,016.50 0.68% 3.46 Sweep Class Shares 1,000.00 1,015.30 0.93% 4.72 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.30 0.18% $0.92 Class B Shares 1,000.00 1,022.79 0.48% 2.45 Class C Shares 1,000.00 1,021.78 0.68% 3.47 Sweep Class Shares 1,000.00 1,020.52 0.93% 4.74 -------------------------------------------------------------------------------- GOVERNMENT FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,018.70 0.20% $1.02 Class B Shares 1,000.00 1,017.10 0.50% 2.54 Class C Shares 1,000.00 1,016.10 0.70% 3.56 Sweep Class Shares 1,000.00 1,014.80 0.95% 4.82 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.20 0.20% $1.02 Class B Shares 1,000.00 1,022.68 0.50% 2.55 Class C Shares 1,000.00 1,021.68 0.70% 3.57 Sweep Class Shares 1,000.00 1,020.42 0.95% 4.84 -------------------------------------------------------------------------------- GOVERNMENT II FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,018.50 0.20% $1.02 Class B Shares 1,000.00 1,016.90 0.50% 2.54 Class C Shares 1,000.00 1,015.90 0.70% 3.56 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.20 0.20% $1.02 Class B Shares 1,000.00 1,022.68 0.50% 2.55 Class C Shares 1,000.00 1,021.68 0.70% 3.57 -------------------------------------------------------------------------------- PRIME OBLIGATION FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,019.00 0.20% $1.02 Class B Shares 1,000.00 1,017.50 0.50% 2.54 Class C Shares 1,000.00 1,016.40 0.70% 3.56 Class H Shares 1,000.00 1,016.80 0.63% 3.20 Sweep Class Shares 1,000.00 1,015.20 0.95% 4.83 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.20 0.20% $1.02 Class B Shares 1,000.00 1,022.68 0.50% 2.55 Class C Shares 1,000.00 1,021.68 0.70% 3.57 Class H Shares 1,000.00 1,022.03 0.63% 3.21 Sweep Class Shares 1,000.00 1,020.42 0.95% 4.84 -------------------------------------------------------------------------------- BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 8/01/05 1/31/06 RATIOS PERIOD* -------------------------------------------------------------------------------- TREASURY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,018.40 0.20% $1.02 Class B Shares 1,000.00 1,016.80 0.50% 2.54 Class C Shares 1,000.00 1,015.80 0.70% 3.56 Sweep Class Shares 1,000.00 1,014.60 0.95% 4.82 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.20 0.20% $1.02 Class B Shares 1,000.00 1,022.68 0.50% 2.55 Class C Shares 1,000.00 1,021.68 0.70% 3.57 Sweep Class Shares 1,000.00 1,020.42 0.95% 4.84 -------------------------------------------------------------------------------- TREASURY II FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,016.50 0.25% $1.27 Class B Shares 1,000.00 1,015.00 0.55% 2.79 Class C Shares. 1,000.00 1,014.00 0.75% 3.81 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.95 0.25% $1.28 Class B Shares 1,000.00 1,022.43 0.55% 2.80 Class C Shares 1,000.00 1,021.42 0.75% 3.82 -------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,013.50 0.45% $2.28 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.94 0.45% $2.29 -------------------------------------------------------------------------------- INTERMEDIATE-DURATION GOVERNMENT FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,008.00 0.50% $2.53 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.68 0.50% $2.55 -------------------------------------------------------------------------------- GNMA FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,014.90 0.60% $3.05 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.18 0.60% $3.06 -------------------------------------------------------------------------------- ULTRA SHORT BOND FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,016.00 0.35% $1.78 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.44 0.35% $1.79 * Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period shown). -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 57 Board of Trustees Considerations in Approving the Continuation of the Funds' Advisory and Sub-Advisory Agreements (Unaudited) The SEI Daily Income Trust ("the Trust") and SEI Investments Management Corporation ("SIMC") have entered into an investment advisory agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to each series of the Trust (each, a "Fund" and, collectively, the "Funds") and may manage the cash portion of the Funds' assets. Pursuant to separate sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively each Sub-Adviser's skills and investment results in managing assets for specific asset classes, investment styles and strategies. The Investment Company Act of 1940, as amended (the "1940 Act") requires that the initial approval of, as well as the continuation of, each Fund's Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Fund; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Fund's Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission ("SEC") takes the position that, as part of their fiduciary duties with respect to a mutual fund's fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement. Consistent with these responsibilities, the Trust's Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and each of the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC's and the Sub-Advisers' affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust's Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers. Specifically, the Board requested and received written materials from SIMC and each Sub-Adviser regarding: (a) the quality of SIMC's and the Sub-Advisers' investment management and other services; (b) SIMC's and the Sub-Advisers' investment management personnel; (c) SIMC's and the Sub-Advisers' operations and financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of advisory fees that SIMC and each Sub-Adviser charges a Fund compared with the fees each charges to comparable mutual funds; (f) a Fund's overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC's and each Sub-Adviser's profitability from its Fund-related operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and the Sub-Advisers' policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and resources in domestic and/or international financial markets; and (k) each Fund's performance compared with similar mutual funds. At the March 9, 2005 meeting of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board's approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including: o the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; o each Fund's investment performance and how it compared to that of other comparable mutual funds; -------------------------------------------------------------------------------- 58 SEI Daily Income Trust / Annual Report / January 31, 2006 o each Fund's expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; o the profitability of SIMC and the Sub-Advisers and their affiliates with respect to each Fund, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and o the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC's and the Sub-Advisers' personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements. FUND PERFORMANCE. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered each Fund's performance relative to its peer group and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of the peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for a given Fund. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements. FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and each Fund's net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in each Fund's respective peer group. Finally, the Trustees considered the effects of SIMC's voluntary waiver of management and other fees and the Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds' net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements. ECONOMIES OF SCALE. The Trustees considered the existence of any economies of scale and whether those were passed along to a Fund's shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale. Based on the Trustees' deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2006 59 Notice to Shareholders (Unaudited) FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL PURPOSES ONLY. For the fiscal year ended January 31, 2006, 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 NET INVESTMENT (C) (D) (E) (F) CAPITAL GAINS INCOME TOTAL U.S. QUALIFIED QUALIFIED DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS GOVERNMENT INTEREST SHORT-TERM PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) INTEREST (1) INCOME (2) CAPITAL GAIN (3) Money Market Fund --% 100% 100% 4.10%* 94.09% --% Government Fund -- 100 100 43.86* 94.13 -- Government II Fund -- 100 100 95.72* 94.28 -- Prime Obligation Fund -- 100 100 5.45* 93.92 -- Treasury Fund -- 100 100 17.27* 94.77 -- Treasury II Fund -- 100 100 100.00 93.82 -- Short-Duration Government Fund -- 100 100 20.15* 91.88 -- Intermediate-Duration Government Fund -- 100 100 26.94* 91.31 -- GNMA Fund -- 100 100 1.01* 91.81 -- Ultra Short Bond Fund -- 100 100 8.65* 94.08 -- Items (A), (B) and (C) are based on the percentage of the Fund's total distribution. (1) "U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders of the "*" funds who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. (2) The percentage in this column represents the amount of "Qualifying Interest Income" as created by the American Jobs Creation Act of 2004 and is a percentage of net investment income that is exempt from U.S. withholding tax when paid to foreign investors. (3) The percentage in this column represents the amount of "Qualifying Short-Term Capital Gain" as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors.
Please consult your tax adviser for proper treatment of this information. -------------------------------------------------------------------------------- 60 SEI Daily Income Trust / Annual Report / January 31, 2006 SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2006 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran F. Wendell Gooch James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco Nina Lesavoy James M. Williams OFFICERS Robert A. Nesher PRESIDENT AND CHIEF EXECUTIVE OFFICER Stephen F. Panner CONTROLLER AND CHIEF FINANCIAL OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY Sofia A. Rosala VICE PRESIDENT, ASSISTANT SECRETARY Philip T. Masterson VICE PRESIDENT, ASSISTANT SECRETARY James Ndiaye VICE PRESIDENT, ASSISTANT SECRETARY Michael T. Pang VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Nicole Welch ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Global Funds Services DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) [BACKGROUND GRAPHIC OMITTED] [SEI INVESTMENTS LOGO OMITTED] SEI Investments Distribution Co. Oaks, PA 19456 1 800-DIAL-SEI (1 800 342 5734) SEI-F-022 (3/06) ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a)(1) The registrant's board of trustees has determined that the registrant has at least one audit committee financial expert serving on the audit committee. (a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr. Sullivan is an independent as defined in Form N-CSR Item 3 (a) (2). ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Fees billed by KPMG LLP ("KPMG") and Ernst & Young, LLP ("E&Y") related to the Trust. KPMG billed the Trust aggregate fees for services rendered to the Trust for the fiscal year 2006 and E&Y billed the Trust aggregate fees for services rendered to the Trust for the fiscal year 2005 as follows:
------------------ ----------------------------------------------------- ----------------------------------------------------- 2006* 2005+ ------------------ ----------------------------------------------------- ----------------------------------------------------- All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Trust that were service service Trust that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were did not require were did not require pre-approved pre-approval pre-approved pre-approval ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (a) Audit $168,700 N/A $0 $155,000 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 $0 $231,000 $0 $0 $165,000 Other Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
*KPMG +E&Y 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) Not Applicable. (e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows: ------------------------- ---------------- --------------- 2006* 2005+ ------------------------- ---------------- --------------- Audit-Related Fees 0% 0% ------------------------- ---------------- --------------- Tax Fees 0% 0% ------------------------- ---------------- --------------- All Other Fees 0% 0% ------------------------- ---------------- --------------- *KPMG +E&Y (f) Not Applicable. (g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal year 2006 were $231,000. 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. (g)(2) The aggregate non-audit fees and services billed by E&Y for the fiscal year 2005 were $165,000. (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 to open-end management investment companies. ITEM 6. SCHEDULE OF INVESTMENTS Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to open-end management investment companies. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not applicable. Effective for closed-end management investment companies for fiscal years ending on or after December 31, 2005 ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable to open-end management investment companies. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18th 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Daily Income Trust By (Signature and Title)* /s/ Robert A. Nesher -------------------------------- Robert A. Nesher, Chief Executive Officer Date: April 10, 2006 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Robert A. Nesher -------------------------------- Robert A. Nesher, Chief Executive Officer Date: April 10, 2006 By (Signature and Title)* /s/ Stephen F. Panner -------------------------------- Stephen F. Panner, Controller & CFO Date: April 10, 2006 * Print the name and title of each signing officer under his or her signature.