-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, J5UDURKRx3DX5FzD7LOsGbdifSVrSc945OdAaBb4ripXmIc3TAzXaj8+/PT1PzqX WHhu3PDWHcRIhk7tXD/Ysg== 0000935069-06-002814.txt : 20061006 0000935069-06-002814.hdr.sgml : 20061006 20061005192949 ACCESSION NUMBER: 0000935069-06-002814 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 5 CONFORMED PERIOD OF REPORT: 20060731 FILED AS OF DATE: 20061006 DATE AS OF CHANGE: 20061005 EFFECTIVENESS DATE: 20061006 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI DAILY INCOME TRUST /MA/ CENTRAL INDEX KEY: 0000701939 IRS NUMBER: 236756825 STATE OF INCORPORATION: MA FISCAL YEAR END: 0131 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-03451 FILM NUMBER: 061132253 BUSINESS ADDRESS: STREET 1: 2 OLIVER ST CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8003425734 MAIL ADDRESS: STREET 1: SEI CASH & PLUS TRUST STREET 2: ONE FREEDOM VALLEY DRIVE CITY: OAKS STATE: PA ZIP: 19456 FORMER COMPANY: FORMER CONFORMED NAME: SEI CASH & PLUS TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: TRUSTFUNDS CASH & PLUS TRUST DATE OF NAME CHANGE: 19890123 FORMER COMPANY: FORMER CONFORMED NAME: CASH PLUS TRUST DATE OF NAME CHANGE: 19860827 0000701939 S000006773 SDIT GOVERNMENT MONEY MARKET FUND C000018362 SDIT GOVERNMENT MONEY MARKET FUND - CLASS B SEVXX C000018363 SDIT GOVERNMENT MONEY MARKET FUND - CLASS C SGOXX C000018364 SDIT GOVERNMENT MONEY MARKET FUND - CLASS S SGWXX C000018365 SDIT GOVERNMENT MONEY MARKET FUND - CLASS A SEOXX 0000701939 S000006774 SDIT TREASURY II MONEY MARKET FUND C000018366 SDIT TREASURY II MONEY MARKET FUND - CLASS B STBXX C000018367 SDIT TREASURY II MONEY MARKET FUND - CLASS C STWXX C000018368 SDIT TREASURY II MONEY MARKET FUND - CLASS A SCPXX 0000701939 S000006775 SDIT MONEY MARKET FUND C000018369 SDIT MONEY MARKET FUND - CLASS B C000018370 SDIT MONEY MARKET FUND - CLASS A TCMXX C000018371 SDIT MONEY MARKET FUND - CLASS C SICXX C000018372 SDIT MONEY MARKET FUND - CLASS S SISXX 0000701939 S000006776 SDIT GOVERNMENT II MONEY MARKET FUND C000018373 SDIT GOVERNMENT II MONEY MARKET FUND - CLASS B C000018374 SDIT GOVERNMENT II MONEY MARKET FUND - CLASS A TCGXX C000018375 SDIT GOVERNMENT II MONEY MARKET FUND - CLASS C SGTXX 0000701939 S000008265 SDIT PRIME OBLIGATION MONEY MARKET FUND C000022546 SDIT PRIME OBLIGATION MONEY MARKET FUND - CLASS A TCPXX C000022547 SDIT PRIME OBLIGATION MONEY MARKET FUND - CLASS B SPBXX C000022548 SDIT PRIME OBLIGATION MONEY MARKET FUND - CLASS C SOLXX C000022549 SDIT PRIME OBLIGATION MONEY MARKET FUND - CLASS S SPWXX C000022550 SDIT PRIME OBLIGATION MONEY MARKET FUND - CLASS H SPHXX 0000701939 S000008266 SDIT ULTRA SHORT BOND FUND C000022551 SDIT ULTRA SHORT BOND FUND - CLASS A SECPX 0000701939 S000008267 SDIT SHORT DURATION GOVERNMENT BOND FUND C000022552 SDIT SHORT DURATION GOVERNMENT BOND FUND - CLASS A TCSGX 0000701939 S000008268 SDIT SHORT INTERMEDIATE DURATION GOVERNMENT BOND FUND C000022553 SDIT SHORT INTERMEDIATE DURATION GOVERNMENT BOND FUND - CLASS A TCPGX 0000701939 S000008269 SDIT GNMA BOND FUND C000022554 SDIT GNMA BOND FUND - CLASS A SEGMX 0000701939 S000008270 SDIT TREASURY MONEY MARKET FUND C000022555 SDIT TREASURY MONEY MARKET FUND - CLASS A SEPXX C000022556 SDIT TREASURY MONEY MARKET FUND - CLASS B STYXX C000022557 SDIT TREASURY MONEY MARKET FUND - CLASS C SDCXX C000022558 SDIT TREASURY MONEY MARKET FUND - SWEEP CLASS SSWXX N-CSRS 1 sditsar7_06combined.txt SEI DAILY INCOME TRUST SAR 7_06 COMBINED UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSRS -------- 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, 2007 DATE OF REPORTING PERIOD: JULY 31, 2006 ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO OMITTED] SEI New Ways. New Answers.(R) - -------------------------------------------------------------------------------- SEI DAILY INCOME TRUST - -------------------------------------------------------------------------------- Semi-Annual Report as of July 31, 2006 - -------------------------------------------------------------------------------- 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 - -------------------------------------------------------------------------------- Statements of Net Assets 1 - ------------------------------------------------------------------------------- Statements of Operations 28 - ------------------------------------------------------------------------------- Statements of Changes in Net Assets 30 - ------------------------------------------------------------------------------- Financial Highlights 34 - ------------------------------------------------------------------------------- Notes to Financial Statements 39 - ------------------------------------------------------------------------------- Disclosure of Fund Expenses 46 - ------------------------------------------------------------------------------- Board of Trustees Considerations in Approving the Continuation of the Funds' Advisory and Sub-Advisory Agreements 48 - ------------------------------------------------------------------------------- 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. STATEMENT OF NET ASSETS (Unaudited) MONEY MARKET FUND July 31, 2006 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 29.4% Commercial Paper 27.7% Certificates of Deposit 20.8% Repurchase Agreements 17.7% Corporate Bonds 3.1% Insurance Funding Agreements 1.3% Municipal Bonds * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- COMMERCIAL PAPER (A) -- 29.3% ASSET BACKED - FINANCIAL SERVICES (E) -- 29.3% Aegis Finance LLC 5.305%, 08/08/06 $ 35,000 $ 34,964 Carrera Capital Finance LLC 5.344%, 08/11/06 20,000 19,970 Crown Point Capital, Ser A 4.520%, 08/07/06 15,000 15,000 Fairway Finance 5.327%, 08/15/06 25,000 24,948 Giro Balanced Funding US 5.325%, 08/08/06 20,000 19,979 Gotham Funding 5.301%, 08/04/06 20,000 19,991 Greyhawk Funding LLC 5.379%, 12/08/06 29,500 28,946 Jupiter Securities LLC 5.302%, 08/09/06 25,000 24,971 Klio Funding 5.404%, 08/23/06 35,000 34,885 Ormond Quay Funding LLC 5.323%, 01/12/07 25,000 24,998 Sheffield Receivables 5.313%, 08/09/06 25,000 24,971 Stanfield Victoria Funding 5.393%, 12/12/06 7,500 7,355 Sunbelt Funding Corp 5.320%, 08/04/06 30,000 29,987 Surrey Funding 5.115%, 08/08/06 40,000 39,961 Versailles CDS LLC 5.338%, 08/16/06 20,000 19,956 -------------- Total Commercial Paper (Cost $370,882) ($ Thousands) 370,882 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 27.7% Bank of Tokyo - Mitsubishi NY 4.800%, 01/11/07 $ 7,000 $ 7,000 Barclays Bank PLC NY 5.500%, 06/18/07 4,000 4,000 Canadian Imperial Bank of Commerce NY 4.802%, 12/05/06 6,000 6,000 Capital One Multi-Asset 5.322%, 08/07/06 25,500 25,478 Comerica Bank (B) 5.475%, 10/20/06 21,000 20,995 Credit Agricole 5.000%, 03/09/07 9,000 9,000 5.260%, 04/05/07 2,500 2,500 5.300%, 04/18/07 5,000 5,000 5.520%, 06/18/07 4,000 4,000 Credit Suisse First Boston NY 5.473%, 10/18/06 (B) 15,000 15,000 4.750%, 11/07/06 10,000 10,000 5.250%, 04/03/07 7,500 7,500 Depfa Bank PLC NY 4.800%, 12/05/06 6,000 6,000 Deutsche Bank 4.950%, 02/06/07 9,000 9,000 4.805%, 02/21/07 8,000 8,000 Deutsche Bank NY 4.105%, 08/25/06 8,000 8,000 East-Fleet Finance LLC 5.455%, 01/12/07 50,000 49,996 Goldman Sachs 5.450%, 06/12/07 14,000 14,000 Ivory Funding 5.343%, 08/03/06 20,000 19,994 KKR Pacific Funding Trust 5.334%, 08/04/06 25,000 24,989 Natexis Banques Populaires LLC NY 5.010%, 02/12/07 9,000 9,000 Societe Generale 5.500%, 06/18/07 4,000 4,000 Svenska Handels NY (B) 5.318%, 09/20/06 25,000 24,999 Unicredito Italiano NY (B) 5.180%, 08/30/06 20,000 20,000 Variable Funding Capital 5.306%, 08/09/06 35,000 34,959 -------------- Total Certificates of Deposit (Cost $349,410) ($ Thousands) 349,410 -------------- - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 1 STATEMENT OF NET ASSETS (Unaudited) MONEY MARKET FUND (Concluded) July 31, 2006 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CORPORATE BONDS -- 17.7% ASSET BACKED - FINANCIAL SERVICES (B) (E) (F) -- 5.7% Atlas Capital Funding MTN 5.365%, 08/25/06 $ 25,000 $ 25,000 5.367%, 08/15/06 35,000 35,000 Mesa Properties LLC 5.480%, 08/01/06 2,500 2,500 Premier Asset Collateralized Entity LLC MTN 5.476%, 10/17/06 10,000 10,000 -------------- 72,500 -------------- ASSET BACKED - OTHER (B) (E) (F) -- 10.4% Cullinan Finance MTN 5.319%, 08/15/06 25,000 24,998 Harrier Finance LLC 5.130%, 08/15/06 15,000 14,999 Healthcare Property Group PLC 5.370%, 08/02/06 11,960 11,960 Links Finance LLC 5.468%, 04/02/07 10,000 10,000 Paragon Mortgages PLC, Ser 10A, Cl A1 5.368%, 08/15/06 24,090 24,090 Sigma Finance MTN, Ser 1 5.355%, 03/16/07 45,000 44,997 -------------- 131,044 -------------- BANKS -- 0.8% Northern Rock PLC (B) (F) 5.334%, 08/07/06 10,000 10,000 -------------- INVESTMENT BANKER/BROKER DEALER -- 0.8% Goldman Sachs Group (B) (C) 5.428%, 08/14/06 10,000 10,000 -------------- Total Corporate Bonds (Cost $223,544) ($ Thousands) 223,544 -------------- INSURANCE FUNDING AGREEMENTS (B) (C) (G) -- 3.1% Metropolitan Life Insurance 5.869%, 08/01/06 30,000 30,000 Monumental Life Insurance 5.390%, 09/01/06 9,500 9,500 -------------- Total Insurance Funding Agreements (Cost $39,500) ($ Thousands) 39,500 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- MUNICIPAL BONDS (B) -- 1.3% GEORGIA -- 0.6% Athens-Clarke County, Industrial Development Authority, Allen Properties, RB (E) 5.370%, 08/02/06 $ 6,990 $ 6,990 -------------- TEXAS -- 0.6% Harris County, Sports Authority, National Football League Project, Ser E, RB, MBIA 5.340%, 08/15/06 2,900 2,900 Texas State, Veterans Funding II Project, Ser D, GO 5.310%, 08/01/06 5,270 5,270 -------------- 8,170 -------------- UTAH -- 0.1% Utah State, Board of Regents, Student Loan Authority, Ser X, RB, AMBAC 5.310%, 11/01/44 1,000 1,000 -------------- Total Municipal Bonds (Cost $16,160) ($ Thousands) 16,160 -------------- REPURCHASE AGREEMENT (D) -- 20.8% Deutsche Bank 5.270%, dated 07/31/06 to be repurchased on 08/01/06, repurchase price $262,770,461 (collateralized by FNMA obligations, ranging in par value $32,338,000- $100,150,000, 0.000%-5.250%, 08/18/06-11/05/12, with total market value $267,987,271) 262,732 262,732 -------------- Total Repurchase Agreement (Cost $262,732) ($ Thousands) 262,732 -------------- Total Investments -- 99.9% (Cost $1,262,228) ($ Thousands) 1,262,228 -------------- - -------------------------------------------------------------------------------- 2 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 - -------------------------------------------------------------------------------- Value Description ($ Thousands) - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- 0.1% Income Distribution Payable $ (2,682) Shareholder Servicing Fees Payable (200) Administration Fees Payable (141) Payable for Fund Shares Redeemed (92) Investment Advisory Fees Payable (23) Other Assets and Liabilities, Net 4,196 -------------- Total Other Assets and Liabilities 1,058 -------------- Net Assets -- 100.0% $ 1,263,286 ============== NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 1,263,300 Accumulated net realized loss on investments (14) -------------- Net Assets $ 1,263,286 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($788,458,257 / 788,477,540 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class B ($132,194,088 / 132,184,591 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class C ($257,575,973 / 257,588,753 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class ($85,057,307 / 85,056,653 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 July 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 July 31, 2006, was $49,500 ($ Thousands) and represented 3.92% 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 July 31, 2006 was $213,544 ($ Thousands) and represented 16.90% of Net Assets. This security has been deemed liquid by the Board of Trustees. (G) Securities considered restricted. The total value of such securities as of July 31, 2006 was $39,500 ($ Thousands) and represented 3.13% of Net Assets. AMBAC -- American Municipal Bond Assurance Company Cl -- Class 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 Limited Company RB -- Revenue Bond Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 3 STATEMENT OF NET ASSETS (Unaudited) GOVERNMENT FUND July 31, 2006 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 61.1% U.S. Government Agency Obligations 38.9% Repurchase Agreement * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 61.0% FFCB (A) 5.250%, 09/26/06 to 09/27/06 $ 35,000 $ 34,999 5.260%, 09/08/06 50,000 50,003 5.226%, 08/01/06 10,000 10,000 FFCB, Ser 1 (A) 5.240%, 10/25/06 30,000 29,997 FHLB 4.000%, 08/11/06 to 04/25/07 20,000 19,928 3.875%, 12/20/06 8,000 7,975 FHLB, Ser 553 (A) 5.380%, 09/29/06 25,000 24,995 FHLB, Ser 636 (A) 5.020%, 08/10/06 25,000 24,990 FHLMC (A) 5.265%, 09/19/06 30,000 29,992 5.301%, 09/22/06 25,000 24,996 5.350%, 10/06/06 35,000 34,987 FHLMC MTN 2.800%, 01/26/07 6,700 6,637 4.762%, 02/09/07 7,000 6,991 FHLMC MTN (A) 5.250%, 08/27/06 25,000 24,990 FNMA 4.000%, 08/18/06 15,000 14,999 3.100%, 03/14/07 10,000 9,871 FNMA (A) 5.216%, 08/07/06 75,000 75,000 5.299%, 09/21/06 5,000 5,000 5.284%, 09/22/06 25,000 24,991 -------------- Total U.S. Government Agency Obligations (Cost $461,341) ($ Thousands) 461,341 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (B) -- 38.9% Deutsche Bank 5.270%, dated 07/31/06, to be repurchased on 08/01/06, repurchase price $144,270,116 (collateralized by various FHLB/ FHLMC/FNMA obligations, ranging in par value $18,050,000- $80,000,000, 0.000%-3.625%, 08/30/06-06/20/07, with total market value $147,137,173) $ 144,249 $ 144,249 Morgan Stanley 5.260%, dated 07/31/06, to be repurchased on 08/01/06, repurchase price $150,021,917 (collateralized by various FNMA obligations, ranging in par value $15,250,000-$50,000,000, 2.375%-4.200%, 02/15/07- 02/21/13, with total market value $153,002,591) 150,000 150,000 -------------- Total Repurchase Agreements (Cost $294,249) ($ Thousands) 294,249 -------------- Total Investments -- 99.9% (Cost $755,590) ($ Thousands) 755,590 -------------- OTHER ASSETS AND LIABILITIES -- 0.1% Income Distribution Payable (1,901) Shareholder Servicing Fees Payable (112) Administration Fees Payable (104) Investment Advisory Fees Payable (15) Other Assets and Liabilities, Net 2,620 -------------- Total Other Assets and Liabilities 488 -------------- Net Assets -- 100.0% $ 756,078 ============== NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 756,146 Accumulated net realized loss on investments (68) -------------- Net Assets $ 756,078 ============== - -------------------------------------------------------------------------------- 4 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 - -------------------------------------------------------------------------------- Description Value - -------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A ($473,600,849 / 473,633,400 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class B ($102,676,683 / 102,693,375 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class C ($150,016,140 / 150,036,746 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share-- Sweep Class ($29,783,914 / 29,787,782 shares) $ 1.00 ============== (A) Floating Rate Instrument. The rate reflected on the Statement of Net Assets is the rate in effect on July 31, 2006. The date shown is the earlier of the reset date or the demand date. (B) Tri-Party Repurchase Agreement. FFCB -- Federal Farm Credit Bank FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 5 STATEMENT OF NET ASSETS (Unaudited) GOVERNMENT II FUND July 31, 2006 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 100.0% U.S. Government Agency Obligations * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 100.1% FFCB (B) 5.250%, 09/21/06 to 09/27/06 $ 60,000 $ 59,997 5.226%, 08/01/06 10,000 10,000 5.230%, 09/10/06 30,000 29,990 5.221%, 08/13/06 10,000 9,998 FFCB DN (A) 5.300%, 08/01/06 97,623 97,623 FFCB, Ser 1 (B) 5.241%, 08/01/06 11,530 11,530 5.240%, 10/25/06 30,000 29,997 FHLB 4.000%, 08/11/06 to 04/25/07 10,000 9,929 2.625%, 10/16/06 20,000 19,900 4.875%, 11/15/06 500 500 3.875%, 12/20/06 35,000 34,854 4.500%, 04/17/07 12,250 12,160 3.250%, 04/27/07 2,000 1,971 FHLB (B) 5.038%, 08/02/06 2,545 2,545 5.347%, 10/10/06 25,000 24,986 5.366%, 10/17/06 25,000 24,989 FHLB DN (A) 5.174%, 08/01/06 50,000 50,000 5.130%, 08/03/06 70,000 69,980 5.210%, 08/11/06 75,000 74,892 5.200%, 08/18/06 50,000 49,878 FHLB, Ser 553 (B) 5.380%, 09/29/06 25,000 24,995 FHLB, Ser 559 3.750%, 01/16/07 10,000 9,953 FHLB, Ser 585 (B) 5.340%, 10/04/06 10,000 9,997 FHLB, Ser 613 (B) 5.206%, 08/02/06 75,000 74,980 FHLB, Ser 636 (B) 5.020%, 08/10/06 25,000 24,990 FHLB, Ser L907 3.010%, 02/27/07 3,000 2,963 -------------- Total U.S. Government Agency Obligations (Cost $773,597) ($ Thousands) 773,597 -------------- Total Investments -- 100.1% (Cost $773,597) ($ Thousands) 773,597 -------------- - -------------------------------------------------------------------------------- Value Description ($ Thousands) - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (0.1)% Income Distribution Payable $ (2,880) Administration Fees Payable (108) Shareholder Servicing Fees Payable (57) Investment Advisory Fees Payable (15) Other Assets and Liabilities, Net 2,361 -------------- Total Other Assets and Liabilities (699) -------------- Net Assets -- 100.0% $ 772,898 ============== NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 772,913 Accumulated net realized loss on investments (15) -------------- Net Assets $ 772,898 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($563,310,335 / 563,392,503 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class B ($203,958,525 / 203,991,229 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class C ($5,629,382 / 5,629,252 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 July 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 Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 6 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 PRIME OBLIGATION FUND July 31, 2006 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 40.9% Commercial Paper 27.4% Corporate Bonds 14.1% Certificates of Deposit 11.8% Repurchase Agreement 5.5% Insurance Funding Agreements 0.3% Municipal Bond * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- COMMERCIAL PAPER (A) -- 41.0% ASSET BACKED - FINANCIAL SERVICES (E) -- 39.5% Aegis Finance LLC 5.305%, 08/08/06 $ 140,000 $ 139,856 Carrera Capital Finance LLC 5.344%, 08/11/06 21,190 21,159 5.327%, 08/15/06 38,800 38,720 Citibank Credit Card Issue Trust 5.310%, 08/04/06 76,000 75,966 Citius I Funding LLC 5.296%, 08/08/06 127,965 127,834 Concord Minutemen Capital, Ser A 5.411%, 11/13/06 166,811 164,262 Curzon Funding LLC 4.919%, 11/03/06 97,000 95,798 Fairway Finance 5.327%, 08/15/06 98,316 98,113 Giro Balanced Funding US 5.322%, 08/07/06 25,000 24,978 Giro Funding US 5.308%, 08/09/06 117,411 117,273 Gotham Funding 5.301%, 08/04/06 85,626 85,588 Grampian Funding LLC 5.423%, 12/11/06 75,000 73,548 Greyhawk Funding LLC 5.379%, 12/08/06 63,500 62,308 Jupiter Securities LLC 5.302%, 08/09/06 61,062 60,990 Klio Funding 5.403%, 08/22/06 101,544 101,225 Lake Constance Funding LLC 5.305%, 08/07/06 59,000 58,948 Millstone Funding 5.312%, 08/07/06 66,274 66,216 Paradigm Funding LLC 5.322%, 08/07/06 46,147 46,106 Scaldis Capital LLC 5.394%, 08/25/06 200,000 199,284 Sheffield Receivables 5.313%, 08/09/06 34,022 33,982 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Solitaire Funding LLC 5.127%, 08/11/06 $ 75,500 $ 75,394 Stanfield Victoria Funding 5.393%, 12/12/06 30,500 29,908 Versailles CDS LLC 5.338%, 08/16/06 30,000 29,934 Victory Receivables 5.120%, 08/02/06 42,500 42,494 -------------- 1,869,884 -------------- INVESTMENT BANKER/BROKER DEALER -- 1.5% Lehman Brothers Holdings (A) 4.620%, 08/01/06 70,000 70,000 -------------- Total Commercial Paper (Cost $1,939,884) ($ Thousands) 1,939,884 -------------- CERTIFICATES OF DEPOSIT -- 14.1% Concord Minutemen Capital (B) 5.122%, 08/18/06 25,000 24,997 Crown Point Capital, Ser A 5.283%, 08/07/06 50,000 50,000 5.110%, 08/07/06 150,000 150,000 Monument Gardens Funding LLC 5.317%, 09/07/06 99,783 99,245 Ormond Quay Funding LLC (B) 5.323%, 08/18/06 100,000 99,993 Sigma Finance 4.850%, 02/12/07 30,000 30,000 Thornburg Mortgage Capital 5.334%, 08/04/06 100,000 99,956 Variable Funding Capital 5.300%, 08/09/06 35,000 34,959 Wells Fargo Bank NA 4.790%, 01/18/07 81,000 81,005 -------------- Total Certificates of Deposit (Cost $670,155) ($ Thousands) 670,155 -------------- CORPORATE BONDS -- 27.4% ASSET BACKED - FINANCIAL SERVICES (B) (E) (F) -- 8.7% Atlas Capital Funding MTN 5.365%, 08/25/06 48,500 48,500 5.367%, 08/15/06 140,000 140,000 CC USA MTN 5.175%, 08/25/06 75,000 74,992 K2 (USA) LLC MTN 5.170%, 08/15/06 50,000 50,003 5.485%, 10/25/06 100,000 100,018 -------------- 413,513 -------------- - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 7 STATEMENT OF NET ASSETS (Unaudited) PRIME OBLIGATION FUND (Concluded) July 31, 2006 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- ASSET BACKED - OTHER (B) (E) (F) -- 8.7% Cullinan Finance MTN 5.319%, 08/15/06 $ 100,000 $ 99,990 Cullinan Finance MTN, Ser 1 5.170%, 08/25/06 50,000 49,996 Harrier Finance Funding LLC MTN 5.328%, 08/15/06 50,000 49,994 Harrier Finance Funding LLC MTN, Ser 2 5.130%, 08/15/06 50,000 49,998 Premier Asset Collateralized Entity LLC MTN 5.476%, 10/17/06 25,000 25,000 Sigma Finance MTN, Ser 1 5.355%, 09/18/06 135,000 134,992 -------------- 409,970 -------------- BANKS -- 3.1% American Express Bank (B) 5.328%, 08/16/06 147,000 146,996 -------------- INVESTMENT BANKER/BROKER DEALER -- 6.9% Goldman Sachs Group (C) 5.428%, 08/14/06 20,000 20,000 Goldman Sachs Group MTN (B) 5.647%, 10/10/06 25,000 25,017 Links Finance LLC MTN (B) 5.323%, 08/15/06 150,000 149,995 5.317%, 08/18/06 50,000 49,998 Merrill Lynch MTN, Ser C (B) 5.586%, 09/22/06 83,210 83,265 -------------- 328,275 -------------- Total Corporate Bonds (Cost $1,298,754) ($ Thousands) 1,298,754 -------------- INSURANCE FUNDING AGREEMENTS (B) (C) (G) -- 5.5% Metropolitan Life Insurance 5.869%, 10/15/06 160,000 160,000 Monumental Life Insurance 5.390%, 08/01/06 101,500 101,500 -------------- Total Insurance Funding Agreements (Cost $261,500) ($ Thousands) 261,500 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- MUNICIPAL BOND (B) -- 0.3% Texas State, Veterans Funding I Project, Ser C, GO 5.310%, 08/01/06 $ 14,815 $ 14,815 -------------- Total Municipal Bond (Cost $14,815) ($ Thousands) 14,815 -------------- REPURCHASE AGREEMENT (D) -- 11.8% Deutsche Bank 5.270%, dated 07/31/06, to be repurchased on 08/01/06, repurchase price $559,357,872 (collateralized by various FHLB/ FHLMC/FNMA obligations, ranging in par value $3,162,000- $167,479,000, 0.000%-5.875%, 09/14/07-11/05/12, with total market value $570,463,622) 559,276 559,276 -------------- Total Repurchase Agreement (Cost $559,276) ($ Thousands) 559,276 -------------- Total Investments -- 100.1% (Cost $4,744,384) ($ Thousands) 4,744,384 -------------- OTHER ASSETS AND LIABILITIES -- (0.1)% Income Distribution Payable (14,649) Administration Fees Payable (663) Shareholder Servicing Fees Payable (573) Payable for Fund Shares Redeemed (122) Investment Advisory Fees Payable (95) Other Assets and Liabilities, Net 12,407 -------------- Total Other Assets and Liabilities (3,695) -------------- Net Assets -- 100.0% $ 4,740,689 ============== NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 4,740,793 Accumulated net realized loss on investments (104) -------------- Net Assets $ 4,740,689 ============== - -------------------------------------------------------------------------------- 8 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 - -------------------------------------------------------------------------------- Description Value - -------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A ($3,199,639,271 / 3,199,820,817 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class B ($620,340,238 / 620,325,701 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class C ($822,780,468 / 822,720,955 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class H ($53,641,195 / 53,642,454 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class ($44,288,107 / 44,284,435 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 July 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 July 31, 2006 was $281,500 ($ Thousands) and represented 5.94% 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 July 31, 2006 was $823,483 ($ Thousands) and represented 17.37% of Net Assets. This security has been deemed liquid by the Board of Trustees. (G) Securities considered restricted. The total value of such securities as of July 31, 2006 was $261,500 ($ Thousands) and represented 5.52% 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 / Semi-Annual Report / July 31, 2006 9 STATEMENT OF NET ASSETS (Unaudited) TREASURY FUND July 31, 2006 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 91.6% Repurchase Agreements 8.4% U.S. Treasury Obligations * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 8.4% U.S. Treasury Notes 2.375%, 08/31/06 $ 50,000 $ 49,906 3.125%, 01/31/07 15,000 14,836 -------------- Total U.S. Treasury Obligations (Cost $64,742) ($ Thousands) 64,742 -------------- REPURCHASE AGREEMENTS (A) -- 91.9% Barclays Capital 5.230%, dated 07/31/06, to be repurchased on 08/01/06, repurchase price $180,026,150 (collateralized by various U.S. Treasury Bills and Notes, ranging in par value $15,732,000- $92,510,000, 0.875%-2.000%, 04/15/10-01/15/26, with total market value $183,600,548) 180,000 180,000 BNP Paribas 5.240%, dated 07/31/06, to be repurchased on 08/01/06, repurchase price $180,026,200 (collateralized by various U.S. Treasury Notes, ranging in par value $549,000-$185,784,000, 2.000%, 01/15/14-01/15/16, with total market value $183,600,176) 180,000 180,000 Deutsche Bank 5.240%, dated 07/31/06, to be repurchased on 08/01/06, repurchase price $180,026,200 (collateralized by various U.S. Treasury Bills and Notes, ranging in par value $23,155,000- $101,502,000, 4.000%-7.250%, 02/15/14-05/15/30, with total market value $183,600,158) 180,000 180,000 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Morgan Stanley 5.230%, dated 07/31/06, to be repurchased on 08/01/06, repurchase price $169,047,555 (collateralized by various U.S. Treasury Notes, ranging in par value $19,000,000-$70,572,000, 0.000%-6.125%, 07/31/07- 05/15/08, with total market value $172,403,844) $ 169,023 $ 169,023 -------------- Total Repurchase Agreements (Cost $709,023) ($ Thousands) 709,023 -------------- Total Investments -- 100.3% (Cost $773,765) ($ Thousands) 773,765 -------------- OTHER ASSETS AND LIABILITIES -- (0.3)% Income Distribution Payable (2,659) Shareholder Servicing Fees Payable (190) Administration Fees Payable (114) Investment Advisory Fees Payable (15) Other Assets and Liabilities, Net 680 -------------- Total Other Assets and Liabilities (2,298) -------------- Net Assets -- 100.0% $ 771,467 ============== NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 771,561 Distribution in excess of net investment income (1) Accumulated net realized loss on investments (93) -------------- Net Assets $ 771,467 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($243,906,550 / 243,942,773 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class B ($300,248,960 / 300,289,050 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class C ($129,402,173 / 129,413,955 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class ($97,909,240 / 97,915,579 shares) $ 1.00 ============== (A) Tri-Party Repurchase Agreement. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 10 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 TREASURY II FUND July 31, 2006 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 100.0% U.S. Treasury Obligations * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 100.1% U.S. Treasury Bills (A) 4.735%, 08/03/06 $ 54,593 $ 54,579 4.752%, 08/10/06 74,497 74,409 4.917%, 08/17/06 867 865 4.898%, 08/24/06 4,631 4,617 U.S. Treasury Notes 2.500%, 10/31/06 50,000 49,679 2.625%, 11/15/06 50,000 49,640 -------------- Total U.S. Treasury Obligations (Cost $233,789) ($ Thousands) 233,789 -------------- Total Investments -- 100.1% (Cost $233,789) ($ Thousands) 233,789 -------------- OTHER ASSETS AND LIABILITIES -- (0.1)% Income Distribution Payable (700) Administration Fees Payable (53) Shareholder Servicing Fees Payable (45) Investment Advisory Fees Payable (6) Other Assets and Liabilities, Net 624 -------------- Total Other Assets and Liabilities (180) -------------- Net Assets -- 100.0% $ 233,609 ============== NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 233,742 Accumulated net realized loss on investments (133) -------------- Net Assets $ 233,609 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($146,530,228 / 146,687,624 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class B ($48,493,558 / 48,512,464 shares) $ 1.00 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class C ($38,585,382 / 38,589,308 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 / Semi-Annual Report / July 31, 2006 11 STATEMENT OF NET ASSETS (Unaudited) SHORT-DURATION GOVERNMENT FUND July 31, 2006 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 45.5% U.S. Government Agency Obligations 44.1% U.S. Government Mortgage-Backed Obligations 5.9% Repurchase Agreement 4.5% U.S. Treasury Obligations * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 46.5% FHLB 4.625%, 01/18/08 $ 36,300 $ 35,946 FHLMC 4.875%, 03/15/07 5 5 4.000%, 08/17/07 21,050 20,758 3.625%, 09/15/08 3,108 3,008 FNMA 5.000%, 03/15/16 7,917 7,682 -------------- Total U.S. Government Agency Obligations (Cost $67,459) ($ Thousands) 67,399 -------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 45.0% FHLMC 4.500%, 09/15/24 3,779 3,718 FHLMC (A) 7.089%, 06/01/24 111 112 6.885%, 06/01/17 58 59 6.846%, 06/01/24 215 222 6.799%, 07/01/20 6 6 6.625%, 01/01/18 to 06/01/18 89 91 6.560%, 04/01/19 33 34 6.459%, 07/01/24 68 69 6.365%, 02/01/19 97 99 6.318%, 05/01/19 66 67 6.280%, 12/01/23 5,703 5,849 6.250%, 06/01/16 7 7 6.230%, 04/01/29 251 258 6.221%, 05/01/24 121 123 6.218%, 04/01/22 341 345 6.214%, 03/01/19 83 85 6.170%, 09/01/25 305 309 6.135%, 12/01/23 393 401 6.125%, 02/01/16 to 02/01/17 26 27 6.092%, 04/01/29 119 121 6.048%, 03/01/19 51 51 5.875%, 04/01/16 to 11/01/20 44 46 5.750%, 09/01/18 to 11/01/18 25 26 5.625%, 12/01/16 to 09/01/18 22 22 5.564%, 02/01/27 382 383 5.500%, 07/01/18 to 09/01/20 39 40 5.375%, 02/01/16 to 07/01/18 33 34 5.250%, 07/01/18 to 08/01/18 62 62 5.125%, 09/01/16 16 17 4.875%, 07/01/16 22 22 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FHLMC REMIC, Ser 2481, Cl BC 5.250%, 08/15/30 $ 43 $ 43 FHLMC REMIC, Ser 2587, Cl ET 3.700%, 07/15/17 1,333 1,267 FHLMC REMIC, Ser 2617, Cl UN 4.500%, 08/15/12 1,981 1,963 FHLMC REMIC, Ser 2630, Cl KN 2.500%, 04/15/13 2,187 2,120 FHLMC REMIC, Ser 2684, Cl GN 3.250%, 05/15/23 1,430 1,399 FHLMC REMIC, Ser 2691, Cl OK 3.500%, 05/15/17 472 469 FHLMC REMIC, Ser 2750, Cl OA 3.500%, 10/15/11 966 960 FHLMC REMIC, Ser 2760, Cl PH 3.500%, 10/15/21 1,885 1,847 FHLMC REMIC, Ser 2760, Cl PK 4.500%, 10/15/21 2,357 2,332 FHLMC REMIC, Ser T-42, Cl A5 7.500%, 02/25/42 1,397 1,441 FNMA 6.775%, 10/01/07 533 536 6.610%, 04/01/09 156 159 6.490%, 08/01/08 539 544 6.229%, 12/01/08 1,987 2,002 6.210%, 08/01/08 1,259 1,266 6.130%, 10/01/08 143 144 6.085%, 10/01/08 362 364 6.080%, 09/01/08 893 896 6.010%, 06/01/09 338 339 5.735%, 01/01/09 1,340 1,341 5.016%, 02/01/13 95 93 4.621%, 04/01/13 196 187 FNMA (A) 6.906%, 04/25/24 30 31 6.698%, 09/01/24 1,872 1,920 6.518%, 08/01/27 936 950 6.350%, 08/01/29 1,893 1,946 6.010%, 05/01/28 2,468 2,487 5.543%, 12/01/29 478 481 FNMA REMIC, Ser 1993-32, Cl H 6.000%, 03/25/23 145 144 FNMA REMIC, Ser 1995-13, Cl C 6.500%, 10/25/08 145 146 FNMA REMIC, Ser 1997-M5, Cl B 6.650%, 08/25/07 224 225 FNMA REMIC, Ser 2001-53, Cl CA 5.750%, 06/25/31 220 219 FNMA REMIC, Ser 2002-3, Cl PG 5.500%, 02/25/17 2,000 1,990 FNMA REMIC, Ser 2002-53, Cl FK (A) 5.785%, 04/25/32 620 621 - -------------------------------------------------------------------------------- 12 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FNMA REMIC, Ser 2003-76, Cl CA 3.750%, 07/25/33 $ 1,831 $ 1,634 FNMA REMIC, Ser 2006-39, Cl PB 5.500%, 07/25/29 3,371 3,359 FNMA REMIC, Ser 2006-53, Cl PA 5.500%, 12/25/26 4,000 3,989 FNMA REMIC, Ser G92-61, Cl FA (A) 6.056%, 10/25/22 324 329 FNMA REMIC, Ser G93-5, Cl Z 6.500%, 02/25/23 63 64 FNMA TBA 6.500%, 08/14/32 6,000 6,069 GNMA 7.500%, 01/15/11 to 02/15/11 43 45 6.500%, 06/15/16 to 09/15/17 2,402 2,446 6.000%, 06/15/16 to 09/15/19 1,340 1,359 GNMA REMIC, Ser 2005-74, Cl HA 7.500%, 09/16/35 308 320 GNMA REMIC, Ser 2005-74, Cl HB 7.500%, 09/16/35 132 137 -------------- Total U.S. Government Mortgage-Backed Obligations (Cost $66,391) ($ Thousands) 65,328 -------------- U.S. TREASURY OBLIGATIONS -- 4.6% U.S. Treasury Inflation Protected Security 3.000%, 07/15/12 6,416 6,634 U.S. Treasury Notes (C) 3.000%, 11/15/07 100 98 -------------- Total U.S. Treasury Obligations (Cost $6,699) ($ Thousands) 6,732 -------------- REPURCHASE AGREEMENT (B) -- 6.0% UBS Securities LLC 5.280%, dated 07/31/06, to be repurchased on 08/01/06, repurchase price $8,701,276 (collateralized by various U.S. Government obligations, ranging in par value $919,651- $8,865,000, 5.500%, 12/01/35, with total market value $8,876,468) 8,700 8,700 -------------- Total Repurchase Agreement (Cost $8,700) ($ Thousands) 8,700 -------------- Total Investments -- 102.1% (Cost $149,249) ($ Thousands) 148,159 -------------- - -------------------------------------------------------------------------------- Value Description ($ Thousands) - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (2.1)% Payable for Investment Securities Purchased $ (6,023) Payable for Fund Shares Redeemed (240) Income Distribution Payable (108) Administration Fees Payable (39) Investment Advisory Fees Payable (10) Variation Margin Payable (10) Other Assets and Liabilities, Net 3,323 -------------- Total Other Assets and Liabilities (3,107) -------------- Net Assets -- 100.0% $ 145,052 ============== NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 153,352 Undistributed net investment income 10 Accumulated net realized loss on investments (7,114) Net unrealized depreciation on investments (1,090) Net unrealized depreciation on futures contracts (106) -------------- Net Assets $ 145,052 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($145,051,952 / 14,583,778 shares) $ 9.95 ============== Futures Contracts -- A summary of the open futures contracts held by the Fund at July 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 71 $ 14,446 September 2006 $ (2) U.S. 5 Year Treasury Note (207) (21,573) September 2006 (104) ----- $(106) ===== (A) Floating Rate Instrument. The rate reflected on the Statement of Net Assets is the rate in effect on July 31, 2006. The date shown is the earlier of the reset date or the demand date. (B) Tri-Party Repurchase Agreement. (C) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. Cl -- Class FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association LLC -- Limited Liability Company REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series TBA -- To Be Announced The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 13 STATEMENT OF NET ASSETS (Unaudited) INTERMEDIATE-DURATION GOVERNMENT FUND July 31, 2006 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 42.7% U.S. Government Agency Obligations 39.5% U.S. Government Mortgage-Backed Obligations 15.3% U.S. Treasury Obligations 2.5% Repurchase Agreement * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 44.1% FHLMC 6.000%, 06/15/11 $ 31,575 $ 32,540 FNMA 5.000%, 03/15/16 4,731 4,590 -------------- Total U.S. Government Agency Obligations (Cost $37,332) ($ Thousands) 37,130 -------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 40.8% FHLMC 8.250%, 12/01/07 to 12/01/09 22 22 6.500%, 01/01/18 88 89 6.000%, 03/01/11 to 09/01/24 4,966 4,996 5.500%, 06/01/19 to 12/01/20 1,324 1,311 FHLMC REMIC, Ser 1599, Cl C 6.100%, 10/15/23 665 668 FHLMC REMIC, Ser 165, Cl K 6.500%, 09/15/21 30 30 FHLMC REMIC, Ser 2586, Cl NK 3.500%, 08/15/16 215 205 FHLMC REMIC, Ser 2587, Cl ET 3.700%, 07/15/17 769 731 FHLMC REMIC, Ser 2630, Cl HA 3.000%, 01/15/17 1,787 1,673 FHLMC REMIC, Ser 2635, Cl NJ 3.000%, 03/15/17 480 448 FHLMC REMIC, Ser 2760, Cl PH 3.500%, 10/15/21 817 800 FNMA 9.500%, 05/01/18 71 76 8.000%, 05/01/08 to 06/01/08 23 23 7.500%, 03/01/07 3 3 7.007%, 08/01/07 192 193 6.800%, 10/01/07 10 10 6.620%, 01/01/08 192 193 6.500%, 08/14/32 1,280 1,295 6.460%, 06/01/09 549 558 6.265%, 06/01/08 223 224 6.080%, 09/01/08 893 896 6.000%, 07/01/12 to 03/01/17 184 185 5.931%, 02/01/12 750 762 5.625%, 12/01/11 1,788 1,799 5.044%, 08/01/15 681 659 4.829%, 04/01/13 6,665 6,433 4.500%, 09/01/35 4,860 4,468 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FNMA REMIC, Ser 2001-51, Cl QN 6.000%, 10/25/16 $ 748 $ 754 FNMA REMIC, Ser 2004-27, Cl HN 4.000%, 05/25/16 700 680 FNMA TBA 6.000%, 08/18/21 1,135 1,145 GNMA 8.750%, 05/20/17 to 11/20/17 43 46 8.500%, 11/20/16 to 02/20/18 109 116 8.250%, 04/15/08 to 07/15/08 29 29 6.000%, 04/15/09 to 09/15/24 1,195 1,201 Small Business Administration, Ser 2005- P10B, Cl 1 4.940%, 08/10/15 1,725 1,681 -------------- Total U.S. Government Mortgage-Backed Obligations (Cost $35,418) ($ Thousands) 34,402 -------------- U.S. TREASURY OBLIGATIONS -- 15.8% U.S. Treasury Bonds (A) 10.375%, 11/15/12 1,200 1,279 U.S. Treasury Inflation Protected Security 3.000%, 07/15/12 3,941 4,075 U.S. Treasury Notes 4.750%, 03/31/11 8,000 7,945 -------------- Total U.S. Treasury Obligations (Cost $13,267) ($ Thousands) 13,299 -------------- REPURCHASE AGREEMENT (B) -- 2.6% UBS Securities LLC 5.280%, dated 07/31/06, to be repurchased on 08/01/06, repurchase price $2,200,323 (collateralized by a U.S. Government obligation, par value $2,315,000, 5.500%,12/01/35, with total market value $2,245,355) 2,200 2,200 -------------- Total Repurchase Agreement (Cost $2,200) ($ Thousands) 2,200 -------------- Total Investments -- 103.3% (Cost $88,217) ($ Thousands) 87,031 -------------- - -------------------------------------------------------------------------------- 14 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 - -------------------------------------------------------------------------------- Value Description ($ Thousands) - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES -- (3.3)% Payable for Investment Securities Purchased $ (2,424) Payable for Fund Shares Redeemed (791) Income Distribution Payable (250) Administration Fees Payable (26) Investment Advisory Fees Payable (7) Variation Margin Payable (4) Shareholder Servicing Fees Payable (1) Other Assets and Liabilities, Net 723 -------------- Total Other Assets and Liabilities (2,780) -------------- Net Assets -- 100.0% $ 84,251 ============== NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 88,703 Undistributed net investment income 16 Accumulated net realized loss on investments (3,214) Net unrealized depreciation on investments (1,186) Net unrealized depreciation on futures contracts (68) -------------- Net Assets $ 84,251 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($84,251,270 / 8,363,658 shares) $ 10.07 ============== Futures Contracts -- A summary of the open futures contracts held by the Fund at July 31, 2006, is as follows (See Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- NUMBER OF CONTRACT UNREALIZED TYPE OF CONTRACTS VALUE EXPIRATION DEPRECIATION CONTRACT SHORT ($ THOUSANDS) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- U.S. 2 Year Treasury Note (31) $ (6,038) September 2006 $ (4) U.S. 5 Year Treasury Note (10) (1,042) September 2006 (7) U.S. 10 Year Treasury Note (76) (8,058) September 2006 (57) ----- $(68) ===== (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at time of purchase. (B) Tri-Party Repurchase Agreement Cl -- Class FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association LLC -- Limited Liability Company REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series TBA -- To Be Announced The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 15 STATEMENT OF NET ASSETS (Unaudited) GNMA FUND July 31, 2006 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 97.4% U.S. Government Mortgage-Backed Obligations 2.6% Repurchase Agreement * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 99.6% FHLMC 6.500%, 09/01/19 $ 897 $ 910 FNMA 8.000%, 09/01/14 to 09/01/28 351 371 7.000%, 08/01/29 to 09/01/32 753 773 6.500%, 09/01/32 420 427 5.890%, 10/01/11 1,325 1,340 5.780%, 11/01/11 1,202 1,211 4.621%, 04/01/13 6,378 6,096 FNMA REMIC, Ser 1990-91, Cl G 7.000%, 08/25/20 80 82 FNMA REMIC, Ser 1992-105, Cl B 7.000%, 06/25/22 155 160 FNMA REMIC, Ser 2002-42, Cl C 6.000%, 07/25/17 1,500 1,514 GNMA 12.500%, 06/15/14 -- -- 12.000%, 04/15/14 -- -- 10.000%, 05/15/16 to 04/15/20 35 39 9.500%, 06/15/09 to 11/15/20 426 446 9.000%, 12/15/17 to 05/15/22 357 388 8.500%, 08/15/08 to 06/15/17 105 109 8.000%, 04/15/17 to 03/15/32 1,513 1,602 7.750%, 10/15/26 49 52 7.500%, 12/15/27 25 26 7.250%, 01/15/28 230 238 7.000%, 04/15/19 to 11/15/33 10,955 11,304 6.750%, 11/15/27 83 85 6.500%, 11/15/07 to 07/15/35 17,133 17,471 6.000%, 02/15/09 to 12/15/35 24,865 24,961 5.500%, 10/15/32 to 11/15/35 25,918 25,399 5.000%, 04/15/33 to 03/15/36 31,686 30,283 4.500%, 08/15/33 to 09/15/34 9,268 8,621 GNMA (A) 6.000%, 02/15/17 709 719 GNMA REMIC, Ser 2002-45, Cl QE 6.500%, 06/20/32 2,177 2,239 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- GNMA REMIC, Ser 2003-63, Cl UV 3.500%, 07/20/30 $ 2,806 $ 2,641 GNMA REMIC, Ser 2005-74, Cl HA 7.500%, 09/16/35 1,406 1,463 GNMA REMIC, Ser 2005-74, Cl HB 7.500%, 09/16/35 2,410 2,489 GNMA REMIC, Ser 2005-74, Cl HC 7.500%, 09/16/35 2,047 2,130 GNMA TBA 6.500%, 08/20/33 275 280 5.000%, 08/20/33 1,500 1,432 -------------- Total U.S. Government Mortgage-Backed Obligations (Cost $150,744) ($ Thousands) 147,301 -------------- REPURCHASE AGREEMENT (B) -- 2.7% UBS Securities LLC 4.770%, dated 07/31/06, to be repurchased on 08/01/06, repurchase price $4,000,587 (collateralized by a U.S. Government obligation, par value $4,210,000, 5.500%, 12/01/35, with total market value $4,083,345) 4,000 4,000 -------------- Total Repurchase Agreement (Cost $4,000) ($ Thousands) 4,000 -------------- Total Investments -- 102.3% (Cost $154,744) ($ Thousands) 151,301 -------------- OTHER ASSETS AND LIABILITIES -- (2.3)% Payable for Investment Securities Purchased (3,637) Income Distribution Payable (392) Payable for Fund Shares Redeemed (300) Administration Fees Payable (40) Shareholder Servicing Fees Payable (20) Investment Advisory Fees Payable (13) Variation Margin Payable (5) Other Assets and Liabilities, Net 987 -------------- Total Other Assets and Liabilities (3,420) -------------- Net Assets -- 100.0% $ 147,881 ============== - -------------------------------------------------------------------------------- 16 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 - -------------------------------------------------------------------------------- Value Description ($ Thousands) - -------------------------------------------------------------------------------- NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 162,627 Distribution in excess of net investment income (3) Accumulated net realized loss on investments (11,319) Net unrealized depreciation on investments (3,443) Net unrealized appreciation on futures contracts 19 -------------- Net Assets $ 147,881 ============== Net Assets Value, Offering and Redemption Price Per Share -- Class A ($147,880,591 / 15,973,772 shares) $ 9.26 ============== Futures Contracts -- A summary of the open futures contracts held by the Fund at July 31, 2006, is as follows (See Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED NUMBER OF CONTRACT APPRECIATION TYPE OF CONTRACTS VALUE EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) ($ THOUSANDS) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- U.S. 2 Year Treasury Note (40) $ (8,139) September 2006 $(11) U.S. 5 Year Treasury Note (71) (7,400) September 2006 (18) U.S. 10 Year Treasury Note 58 6,150 September 2006 26 U.S. Treasury Long Bond 22 2,382 September 2006 22 ----- $ 19 ===== (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 $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 17 STATEMENT OF NET ASSETS (Unaudited) ULTRA SHORT BOND FUND July 31, 2006 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 79.3% Asset-Backed Securities 9.8% Corporate Bonds 7.3% U.S. Government Mortgage-Backed Obligations 1.8% Certificates of Deposit 1.6% Repurchase Agreement 0.2% Collateralized Loan Obligation * Percentages are based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- ASSET BACKED SECURITIES -- 80.4% AUTOMOTIVE -- 28.0% Aesop Funding II LLC, Ser 2003-4A, Cl A1 (A) (B) 5.608%, 08/21/06 $ 281 $ 281 Aesop Funding II LLC, Ser 2005-1A, Cl A2 (A) (B) 5.438%, 08/21/06 800 800 Americredit Automobile Receivables Trust, Ser 2004-CA, Cl A3 3.000%, 03/06/09 547 543 Americredit Automobile Receivables Trust, Ser 2004-DF, Cl A3 2.980%, 07/06/09 533 527 Americredit Automobile Receivables Trust, Ser 2005-CF, Cl A3 4.470%, 05/06/10 790 782 Americredit Automobile Receivables Trust, Ser 2005-DA, Cl A3 4.870%, 12/06/10 2,010 1,993 Americredit Automobile Receivables Trust, Ser 2006-RM, Cl A1 5.370%, 10/06/09 1,990 1,988 Americredit Automobile Receivables Trust, Ser 2005-BM, Cl A3 4.050%, 02/06/10 3,675 3,634 BMW Vehicle Owner Trust, Ser 2004-A, Cl A4 3.320%, 02/25/09 260 255 BMW Vehicle Owner Trust, Ser 2005-A, Cl A4 4.280%, 02/25/10 1,420 1,396 Bank One Auto Securitization Trust, Ser 2003-1, Cl A4 2.430%, 03/22/10 2,723 2,676 Capital Auto Receivables Asset Trust, Ser 2004-1, Cl A3 2.000%, 11/15/07 265 263 Capital Auto Receivables Asset Trust, Ser 2004-2, Cl A1A 3.120%, 03/15/07 102 102 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust, Ser 2005-1, Cl B (A) 5.744%, 08/15/06 $ 440 $ 442 Capital One Auto Finance Trust, Ser 2003-A, Cl A4A 2.470%, 01/15/10 1,447 1,428 Capital One Auto Finance Trust, Ser 2003-B, Cl A3 (A) 5.479%, 08/15/06 13 13 Capital One Auto Finance Trust, Ser 2003-B, Cl A4 3.180%, 09/15/10 2,675 2,630 Capital One Auto Finance Trust, Ser 2005-C, Cl A3 4.610%, 07/15/10 2,770 2,742 Capital One Auto Finance Trust, Ser 2006-A2 Cl A2 5.310%, 05/15/09 1,775 1,773 Capital One Prime Auto Receivable Trust, Ser 2004-1, Cl A4 (A) 5.439%, 08/15/06 1,180 1,180 Capital One Prime Auto Receivable Trust, Ser 2005-1, Cl A3 (A) 4.320%, 08/15/06 1,120 1,109 Carmax Auto Owner Trust, Ser 2004-2, Cl A4 3.460%, 09/15/11 449 435 Carmax Auto Owner Trust, Ser 2005-2, Cl A3 (A) 4.210%, 08/15/06 1,450 1,429 Chase Manhattan Auto Owner Trust, Ser 2003-A, Cl A4 2.060%, 12/15/09 1,387 1,351 Chase Manhattan Auto Owner Trust, Ser 2003-C, Cl A3 2.260%, 11/15/07 71 71 Chase Manhattan Auto Owner Trust, Ser 2004-A, Cl A4 2.830%, 09/15/10 2,059 2,004 Chase Manhattan Auto Owner Trust, Ser 2005-A, Cl A3 3.870%, 06/15/09 820 806 Chase Manhattan Auto Owner Trust, Ser 2006-A, Cl A3 5.340%, 07/15/10 1,490 1,490 DaimlerChrysler Auto Trust, Ser 2004-B, Cl A3 3.180%, 09/08/08 663 657 DaimlerChrysler Auto Trust, Ser 2005-A, Cl A3 3.490%, 12/08/08 1,285 1,273 - -------------------------------------------------------------------------------- 18 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Ser 2005-B, Cl A3 4.040%, 09/08/09 $ 610 $ 603 DaimlerChrysler Auto Trust, Ser 2006-B, Cl A2 5.300%, 10/08/08 925 924 Honda Auto Receivables Owner Trust, Ser 2003-5, Cl A3 2.300%, 10/18/07 122 121 Honda Auto Receivables Owner Trust, Ser 2005-1, Cl A3 3.530%, 10/21/08 787 778 Honda Auto Receivables Owner Trust, Ser 2005-2, Cl A2 3.650%, 08/15/07 211 211 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 3,988 Honda Auto Receivables Owner Trust, Ser 2006-1,Cl A2 5.100%, 09/18/08 3,215 3,207 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 3,210 3,167 Household Automotive Trust, Ser 2005-3, Cl A3 4.800%, 10/18/10 1,070 1,061 Hyundai Auto Receivables Trust, Ser 2003-A, Cl A3 2.330%, 11/15/07 67 67 Hyundai Auto Receivables Trust, Ser 2005-A, Cl A3 3.980%, 11/16/09 659 648 Merrill Auto Trust Securitization, Ser 2005-1, Cl B (A) 5.625%, 08/25/06 593 593 Morgan Stanley Auto Loan Trust, Ser 2004-HB1, Cl A4 3.330%, 10/15/11 600 588 Navistar Financial Corporate Owner Trust, Ser 2003-A, Cl A4 2.240%, 11/15/09 1,433 1,411 Nissan Auto Lease Trust, Ser 2005-A1, Cl A3 4.700%, 10/15/08 1,320 1,310 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Ser 2005-A, Cl A3 3.540%, 10/15/08 $ 1,590 $ 1,573 Nissan Auto Receivables Owner Trust, Ser 2005-B, Cl A2 3.750%, 09/17/07 193 193 Nissan Auto Receivables Owner Trust, Ser 2005-C, Cl A3 (A) 4.190%, 08/15/06 760 748 Nissan Auto Receivables Owner Trust, Ser 2006-A, Cl A2 4.800%, 06/16/08 500 498 Nissan Auto Receivables Owner Trust, Ser 2006-A, Cl A3 4.740%, 09/15/09 665 659 Nissan Auto Receivables Owner Trust, Ser 2006-B, Cl A3 5.160%, 02/15/10 1,035 1,032 Onyx Acceptance Owner Trust, Ser 2003-C, Cl A4 2.660%, 05/17/10 1,085 1,069 Onyx Acceptance Owner Trust, Ser 2005-B, Cl A2 4.030%, 04/15/08 1,047 1,045 Susquehanna Auto Lease Trust, Ser 2005-1A, Cl 1A (B) 4.080%, 07/16/07 1,127 1,123 USAA Auto Owner Trust, Ser 2005-2, Cl A2 3.800%, 12/17/07 688 686 USAA Auto Owner Trust, Ser 2005-3, Cl A3 4.550%, 02/16/10 1,230 1,216 USAA Auto Owner Trust, Ser 2006-2, Cl A2 5.310%, 03/16/09 2,000 1,998 WFS Financial Owner Trust, Ser 2003-2, Cl A4 2.410%, 12/20/10 1,445 1,426 WFS Financial Owner Trust, Ser 2003-3, Cl A4 3.250%, 05/20/11 2,712 2,672 WFS Financial Owner Trust, Ser 2005-2, Cl B 4.570%, 11/19/12 1,234 1,214 Wachovia Auto Owner Trust, Ser 2005-B, Cl A3 4.790%, 04/20/10 1,010 1,002 World Omni Auto Receivables Trust, Ser 2004-A, Cl B (D) 3.620%, 07/12/11 630 616 -------------- 75,709 -------------- - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 19 STATEMENT OF NET ASSETS (Unaudited) ULTRA SHORT BOND FUND (Continued) July 31, 2006 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CREDIT CARD -- 8.8% Advanta Business Card Master Trust, Ser 2005-A4, Cl A4 4.750%, 01/20/11 $ 1,000 $ 990 Advanta Business Card Master Trust, Ser 2005-C1, Cl C1 (A) 5.888%, 08/21/06 1,500 1,509 Advanta Business Card Master Trust, Ser 2006-A3, Cl A 5.300%, 05/21/12 1,250 1,249 Capital One Multi-Asset Executive Trust, Ser 2004-A6, Cl A6 (A) 5.369%, 09/15/06 1,500 1,500 Capital One Multi-Asset Executive Trust, Ser 2004-B4, Cl B4 (A) 5.669%, 08/15/06 1,550 1,553 Capital One Multi-Asset Executive Trust, Ser 2005-B2, Cl B2 (A) 5.519%, 08/15/06 1,500 1,501 Chase Credit Card Master Trust, Ser 2004-2, Cl A (A) 5.409%, 08/15/06 1,485 1,485 Discover Card Master Trust, Ser 2004-2, Cl A1 (A) 5.389%, 08/15/06 1,250 1,250 Discover Card Master Trust, Ser 2005-1, Cl B (A) 5.519%, 08/15/06 1,133 1,134 GE Capital Credit Card Master Trust, Ser 2004-1, Cl A (A) 5.419%, 08/15/06 1,785 1,786 GE Capital Credit Card Master Trust, Ser 2004-2, Cl B (A) 5.629%, 08/15/06 2,000 2,002 Metris Master Trust, Ser 2004-2, Cl C (A) (B) 6.728%, 08/21/06 1,500 1,503 Metris Master Trust, Ser 2005-1A, Cl B (A) 5.798%, 08/21/06 1,675 1,676 Providian Gateway Master Trust, Ser 2004-AA, Cl A (A) (B) 5.599%, 08/15/06 1,320 1,322 Providian Gateway Master Trust, Ser 2004-EA, Cl A (A) (B) 5.499%, 08/15/06 565 566 Providian Gateway Master Trust, Ser 2004-FA, Cl A (B) 3.650%, 11/15/11 2,750 2,692 -------------- 23,718 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- MISCELLANEOUS BUSINESS SERVICES -- 7.4% ACAS Business Loan Trust, Ser 2005-1A, Cl A1 (A) (B) 5.735%, 10/25/06 $ 1,000 $ 1,000 AICCO Premium Finance Master Trust, Ser 2005-1, Cl A (A) 5.449%, 08/15/06 1,470 1,470 CIT Equipment Collateral, Ser 2005-EF1, Cl A3 4.420%, 05/20/09 1,140 1,128 CNH Equipment Trust, Ser 2003-B, Cl A3A (A) 5.509%, 08/15/06 120 120 CNH Equipment Trust, Ser 2004-A, Cl A3B 2.940%, 10/15/08 1,120 1,106 CNH Equipment Trust, Ser 2005-A, Cl A3 4.020%, 04/15/09 800 791 CNH Wholesale Master Note Trust, Ser 2006-1A, Cl B (A) (B) 5.650%, 09/15/06 245 245 California Infrastructure SDG&E, Ser 1997-1, Cl A6 6.310%, 09/25/08 323 323 Capital Source Commercial Loan Trust, Ser 2003-2A, Cl D (A) (B) 7.878%, 08/21/06 155 156 Capital Source Commercial Loan Trust, Ser 2004-1A, Cl A2 (A) (B) 5.708%, 08/21/06 213 214 Capital Source Commercial Loan Trust, Ser 2004-2A, Cl C (A) (B) 6.228%, 08/21/06 677 677 Capital Source Commercial Loan Trust, Ser 2005-1A, Cl B (A) (B) 5.658%, 08/21/06 487 487 Capital Source Commercial Loan Trust, Ser 2006-1A, Cl C (A) (B) 5.928%, 08/21/06 890 890 Colts Trust, Ser 2005-1A, Cl A1 (A) (B) 5.634%, 09/20/06 532 532 Colts Trust, Ser 2005-2A, Cl A (A) (B) 5.694%, 09/20/06 1,950 1,951 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) 5.455%, 08/25/06 1,311 1,311 - -------------------------------------------------------------------------------- 20 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- GE Equipment Small Ticket LLC, Ser 2005-1A, Cl B (B) 4.620%, 08/22/06 $ 794 $ 782 GE Equipment Small Ticket LLC, Ser 2005-2A, Cl A4 (B) 5.010%, 06/22/15 2,226 2,200 Lambda Finance, Ser 2005-1A, Cl B3 (A) (B) 5.540%, 08/15/06 840 840 Marlin Leasing Receivables LLC, Ser 2005-1A, Cl B (B) 5.090%, 08/15/12 157 155 Merritt Funding Trust, Ser 2005-2, Cl B (A) (B) 6.207%, 10/16/06 957 957 Nelnet Student Loan Trust, Ser 2004-3, Cl A2 (A) 5.515%, 10/25/06 194 194 Nelnet Student Loan Trust, Ser 2004-4, Cl A2 (A) 5.505%, 10/25/06 183 183 PFS Financing, Ser 2006-B, Cl A (A) (B) 5.409%, 09/15/06 965 967 -------------- 19,831 -------------- MORTGAGE RELATED -- 36.2% AAA Trust, Ser 2005-2, Cl A1 (A) (B) 5.485%, 08/28/06 122 122 Ace Securities, Ser 2006-CW1, Cl A2C (A) 5.525%, 08/25/06 895 897 Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 2A1 5.729%, 03/25/36 3,393 3,380 Advanta Mortgage Trust Loan, Ser 1999-4, Cl A (A) 5.760%, 08/25/06 166 166 Asset Securitization, Ser 1996-MD6, Cl A6 (A) 7.910%, 08/11/06 860 880 Asset Securitization, Ser 1997-D5, Cl A1B 6.660%, 02/14/43 177 178 Bank of America Funding, Ser 2005-F, Cl 4A1 (A) 5.398%, 08/11/06 1,077 1,068 Bank of America Large Loan, Ser 2004-BBA4, Cl A2 (A) (B) 5.529%, 08/15/06 560 560 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Bank of America Mortgage Securities, Cl 2005-F, Ser 2A2 (A) 5.025%, 08/01/06 $ 3,144 $ 3,087 Bank of America Mortgage Securities, Ser 2005-A, Cl 2A2 (A) 4.458%, 08/01/06 2,033 1,979 Bank of America Mortgage Securities, Ser 2005-H, Cl 2A1 (A) 4.820%, 08/01/06 967 946 Bank of America Mortgage Securities, Ser 2005-J, Cl 2A1 (A) 5.107%, 08/01/06 354 348 Bear Stearns Alt-A Trust, Ser 2006-2, Cl 23A1 (A) 5.994%, 08/01/06 1,062 1,065 Bear Stearns Asset Backed Securities, Ser 2005-HE11, Cl A2 (A) 5.635%, 08/25/06 275 276 Bear Stearns Asset Backed Securities, Ser 2006-HE1, Cl 1A1 (A) 5.475%, 08/25/06 1,624 1,624 Bear Stearns Commercial Mortgage, Ser 1998-C1, Cl A1 6.340%, 06/16/30 315 316 Bear Stearns Commercial Mortgage, Ser 2004-BBA3, Cl A1B (A) (B) 5.599%, 08/15/06 40 40 Bear Stearns Commercial Mortgage, Ser 2005-12, Cl 11A1 (A) 5.430%, 08/01/06 876 873 C-Bass, Ser 16A, Cl A (A) (B) 5.350%, 09/06/06 1,500 1,500 CS First Boston Mortgage Securities, Ser 2004-TF2A, Cl A2 (A) (B) 5.569%, 08/15/06 788 788 Centex Home Equity Trust, Ser 2005-A, Cl AF1 (D) 3.700%, 06/25/22 10 10 CitiFinancial Mortgage Securities, Ser 2004-1, Cl AF1 (A) 5.475%, 08/25/06 70 70 Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A (A) 3.920%, 08/01/06 1,443 1,429 Citigroup Mortgage Loan Trust, Ser 2005-10, Cl 1A21 (A) 5.743%, 08/01/06 944 944 Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1 (A) 5.637%, 08/01/06 1,468 1,460 - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 21 STATEMENT OF NET ASSETS (Unaudited) ULTRA SHORT BOND FUND (Continued) July 31, 2006 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Ser 2006-2, Cl 2A2 (A) 5.575%, 08/25/06 $ 772 $ 773 Countrywide Home Loans, Ser 2004-29, Cl 1A1 (A) 5.655%, 08/25/06 386 386 Countrywide Home Loans, Ser 2005-7, Cl 1A1 (A) 5.655%, 08/25/06 645 646 Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A (A) 5.442%, 08/01/06 1,313 1,304 Crusade Global Trust, Ser 2003-1, Cl A (A) 5.707%, 10/17/06 814 816 First Horizon Mortgage Pass-Through Trust, Ser 2005-2, Cl 1A1 5.500%, 05/25/35 2,374 2,363 First Union-Lehman Brothers, Ser 1997-C1, Cl D 7.500%, 04/18/29 1,000 1,014 Fremont Home Loan Owner Trust, Ser 1999-1 (A) 5.985%, 08/25/06 12 12 GE Commercial Loan Trust, Ser 2006-2, Cl C 6.020%, 06/15/17 725 725 GMAC Mortgage Loan, Ser 2005-AR6, Cl 2A1 (A) 5.258%, 08/01/06 1,424 1,409 GMAC Mortgage Loan, Ser 2005-HE3, Cl A1 (A) 5.495%, 08/25/06 1,000 1,000 GSR Mortgage Loan Trust, Ser 2005-AR2, Cl 1A2 (A) 4.616%, 08/01/06 25 25 GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1 5.059%, 07/25/35 3,062 3,043 GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1 5.198%, 01/25/36 2,870 2,828 Granite Master Issuer PLC, Ser 2005-1, Cl M1 (A) 5.644%, 09/20/06 550 550 Granite Master Issuer PLC, Ser 2006-1A, Cl A5 (A) (B) 5.259%, 08/21/06 1,215 1,215 Granite Mortgages PLC, Ser 2002-2, Cl 1A2 (A) 5.680%, 10/20/06 1,135 1,136 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Impac CMB Trust, Ser 2003-12, Cl A1 (A) 6.145%, 08/25/06 $ 666 $ 666 Impac CMB Trust, Ser 2004-9, Cl 1A1 (A) 5.765%, 08/25/06 1,220 1,222 Impac CMB Trust, Ser 2005-2, Cl 1A1 (A) 5.645%, 08/25/06 942 942 Impac CMB Trust, Ser 2005-3, Cl A1 (A) 5.625%, 08/25/06 788 788 Impac CMB Trust, Ser 2005-5, Cl A1 (A) 5.705%, 08/25/06 609 610 Impac CMB Trust, Ser 2005-8, Cl 1A (A) 5.645%, 08/25/06 1,402 1,402 Indymac Indx Mortgage Loan Trust, Ser 2006-AR11, Cl 3A1 (A) 5.898%, 08/01/06 2,351 2,352 JP Morgan Mortgage Trust, Cl 2005-A6, Cl 7A1 (A) 4.987%, 08/01/06 995 975 JP Morgan Mortgage Trust, Ser 2006-A4, Cl 1A1 (A) 5.862%, 08/01/06 19 19 Long Beach Mortgage Loan Trust, Ser 2006-6, Cl 2A3 (A) 5.544%, 08/25/06 1,190 1,190 MLCC Mortgage Investors, Ser 2004-G, Cl A1 (A) 5.665%, 08/25/06 470 471 MLCC Mortgage Investors, Ser 2004-HB1, Cl A1 (A) 5.745%, 08/25/06 569 569 MLCC Mortgage Investors, Ser 2005-A, Cl A1 (A) 5.615%, 08/25/06 586 586 Master Adjustable Rate Mortgage Trust, Ser 2004-12, Cl 5A1 (A) 4.484%, 08/01/06 693 690 Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1 (A) 5.655%, 08/25/06 917 908 Merrill Lynch Mortgage Investors, Ser 2005-A8, Cl A3A1 (A) 5.495%, 08/25/06 3,019 3,020 Morgan Stanley Dean Witter Capital I, Ser 2006-WMC1, Cl A2B (A) 5.585%, 08/25/06 1,390 1,392 - -------------------------------------------------------------------------------- 22 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Morgan Stanley Home Equity Loan, Ser 2005-4, Cl A2B (A) 5.605%, 08/25/06 $ 2,000 $ 2,004 MortgageIT Trust, Ser 2005-2, Cl 1A1 (A) 5.645%, 08/25/06 537 536 MortgageIT Trust, Ser 2005-3, Cl A1 (A) 5.685%, 08/25/06 1,606 1,605 MortgageIT Trust, Ser 2005-4, Cl A1 (A) 5.665%, 08/25/06 1,974 1,974 MortgageIT Trust, Ser 2005-5, Cl A1 (A) 5.645%, 08/25/06 1,857 1,856 New Century Home Equity Loan Trust, Ser 2005-B, Cl A2A (A) 5.505%, 08/25/06 657 657 New Century Home Equity Loan Trust, Ser 2005-C, Cl A2B (A) 5.555%, 08/25/06 700 700 Nomura Asset Securities, Ser 1998-D6, Cl A1A 6.280%, 03/15/30 48 48 Option One Mortgage Loan Trust, Ser 2003-3, Cl A2 (A) 5.685%, 08/25/06 147 147 Option One Mortgage Loan Trust, Ser 2005-5, Cl A3 (A) 5.595%, 08/25/06 1,795 1,796 Option One Mortgage Loan Trust, Ser 2006-1, Cl 2A2 (A) 5.515%, 08/25/06 1,590 1,591 Paragon Mortgages PLC, Ser 12A, Cl A2C (A) (B) 5.628%, 11/15/06 505 505 Permanent Financing PLC, Ser 9A, Cl 1C (A) (B) 5.600%, 09/11/06 1,000 1,000 Puma Finance Limited, Ser S1, Cl A (A) (B) 5.366%, 08/09/06 728 729 RMAC PLC, Ser 2003-NS4A, Cl A2B (A) (B) 5.600%, 09/12/06 706 707 RMAC PLC, Ser 2005-NS1A, Cl A1 (A) (B) 5.360%, 09/12/06 195 195 RMAC PLC, Ser 2005-NS4A, Cl A1B (A) (B) 5.380%, 09/12/06 1,229 1,229 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- RMAC Securities PLC, Ser 2006-NS2A, Cl A1B (A) (B) 5.510%, 09/12/06 $ 700 $ 700 Residential Asset Mortgage Products, Ser 2005-RS6, Cl A11 (A) 5.485%, 08/25/06 584 584 Residential Asset Securities, Ser 2000-KS5, Cl AII (A) 5.865%, 08/25/06 51 51 Residential Asset Securities, Ser 2005-KS7, Cl A1 (A) 5.485%, 08/25/06 434 434 Residential Asset Securities, Ser 2006-EMX6, Cl A3 (A) 5.560%, 08/25/06 1,005 1,005 Residential Asset Securities, Ser 2006-KS1, Cl A2 (A) 5.525%, 08/25/06 800 800 Residential Mortgage Securities Trust, Ser 20A, Cl A1B (A) (B) 5.230%, 08/25/06 531 531 Residential Mortgage Securities, Ser 22A, Cl A1B (A) (B) 5.602%, 11/14/06 800 800 Sequoia Mortgage Trust, Ser 2004-12, Cl A1A (A) 5.648%, 08/20/06 300 301 Sequoia Mortgage Trust, Ser 2005-1, Cl A1 (A) 5.608%, 08/20/06 292 292 Terra, Ser 1, Cl A1 (A) (B) 5.499%, 08/15/06 1,803 1,803 Washington Mutual, Ser 2003-AR3, Cl A5 (A) 3.927%, 08/01/06 2,136 2,092 Washington Mutual, Ser 2005-AR3, Cl A2 (A) 4.647%, 08/01/06 1,064 1,040 Washington Mutual, Ser 2006-AR2, Cl 1A1 (A) 5.328%, 08/01/06 994 984 Wells Fargo Mortgage Backed Securities, Ser 2004-BB, Cl A2 (A) 4.562%, 08/01/06 970 947 Wells Fargo Mortgage Backed Securities, Ser 2005-AR1, Cl 1A1 (A) 4.547%, 08/01/06 19 19 Wells Fargo Mortgage Backed Securities, Ser 2005-AR16, Cl 3A2 (A) 4.997%, 08/01/06 1,975 1,955 - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 23 STATEMENT OF NET ASSETS (Unaudited) ULTRA SHORT BOND FUND (Continued) July 31, 2006 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Wells Fargo Mortgage Backed Securities, Ser 2005-AR4, Cl 2A2 (A) 4.531%, 08/01/06 $ 30 $ 30 Wells Fargo Mortgage Backed Securities, Ser 2006-AR5, Cl 2A1 (A) 5.550%, 08/01/06 1,682 1,674 Wells Fargo Mortgage Backed Securities, Ser 2006-AR6, Cl 2A1 (A) 5.240%, 08/01/06 1,913 1,891 Westpac Securitisation Trust, Ser 2005-1G, Cl A1 (A) 5.519%, 09/25/06 592 592 William Street Funding, Ser 2006-1, Cl A (A) (B) 5.741%, 10/23/06 960 960 -------------- 97,817 -------------- Total Asset Backed Securities (Cost $217,781) ($ Thousands) 217,075 -------------- CORPORATE BONDS -- 10.0% AUTO FINANCE -- 1.2% DaimlerChrysler MTN (A) 5.679%, 08/01/06 2,000 2,009 Ford Motor Credit MTN (A) 6.320%, 09/28/06 1,250 1,233 -------------- 3,242 -------------- BANK HOLDING COMPANY -- 0.6% Wells Fargo (A) 5.550%, 09/28/06 1,680 1,682 -------------- BANKS -- 0.9% BNP Paribas NY 7.200%, 01/15/07 1,000 1,006 Wachovia (A) 5.591%, 10/23/06 1,500 1,502 -------------- 2,508 -------------- BROADCASTING, NEWSPAPERS & ADVERTISING -- 0.9% Clear Channel Communications 6.000%, 11/01/06 1,000 1,000 Univision Communications 2.875%, 10/15/06 1,500 1,490 -------------- 2,490 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CONSUMER PRODUCTS -- 0.8% Whirlpool (A) 5.750%, 09/15/06 $ 2,000 $ 2,002 -------------- ELECTRICAL SERVICES -- 0.4% Dominion Resources, Ser G (D) 3.660%, 11/15/06 1,000 995 -------------- FINANCIAL SERVICES -- 0.7% FPL Group Capital 5.551%, 02/16/08 1,755 1,755 -------------- FOOD, BEVERAGE & TOBACCO -- 1.0% General Mills 2.625%, 10/24/06 1,000 993 Sabmiller PLC (A) (B) 5.799%, 10/01/06 1,705 1,705 -------------- 2,698 -------------- INSURANCE -- 1.6% Ace Limited 6.000%, 04/01/07 2,000 2,003 Marsh & Mclennan (A) 5.640%, 10/13/06 1,420 1,420 Travelers Property Casualty 3.750%, 03/15/08 1,000 974 -------------- 4,397 -------------- INVESTMENT BANKER/BROKER DEALER -- 1.8% Credit Suisse First Boston USA (A) 5.348%, 09/05/06 1,500 1,502 Merrill Lynch MTN, Ser C (A) 5.615%, 10/26/06 1,750 1,752 Morgan Stanley Dean Witter (A) 5.640%, 10/12/06 1,600 1,601 -------------- 4,855 -------------- PETROLEUM & FUEL PRODUCTS -- 0.1% Keyspan 4.900%, 05/16/08 360 356 -------------- Total Corporate Bonds (Cost $27,040) ($ Thousands) 26,980 -------------- - -------------------------------------------------------------------------------- 24 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT MORTGAGE-BACKED OBLIGATIONS -- 7.6% FHLMC 7.000%, 03/01/07 $ 8 $ 8 FHLMC (A) 6.233%, 08/01/06 1,402 1,425 6.113%, 08/01/06 1,964 1,991 FHLMC REMIC, Ser 1599, Cl C 6.100%, 10/15/23 432 434 FHLMC REMIC, Ser 2594, Cl QH 4.000%, 10/15/16 66 66 FHLMC REMIC, Ser 2630, Cl HA 3.000%, 01/15/17 1,904 1,782 FHLMC REMIC, Ser 2684, Cl QM 3.500%, 03/15/19 324 322 FHLMC REMIC, Ser 2691, Cl OK 3.500%, 05/15/17 472 469 FHLMC REMIC, Ser 2727, Cl PA 4.125%, 08/15/18 725 721 FHLMC REMIC, Ser 2750, Cl NA 3.500%, 03/15/15 484 481 FHLMC REMIC, Ser 2750, Cl OA 3.500%, 10/15/11 495 492 FNMA 6.340%, 02/01/08 1,304 1,308 FNMA (A) 6.890%, 08/01/06 345 349 6.698%, 08/01/06 936 960 6.514%, 08/01/06 109 111 6.420%, 08/01/06 862 876 6.279%, 08/01/06 193 197 6.010%, 08/01/06 1,542 1,554 5.828%, 08/01/06 272 273 FNMA REMIC, Ser 1993-220, Cl FA (A) 6.006%, 08/25/06 240 242 FNMA REMIC, Ser 1993-58, Cl H 5.500%, 04/25/23 324 322 FNMA REMIC, Ser 2001-33, Cl FA (A) 5.835%, 08/25/06 430 435 FNMA REMIC, Ser 2002-63, Cl QF (A) 5.685%, 08/25/06 312 314 FNMA REMIC, Ser 2002-64, Cl FG (A) 5.618%, 08/18/06 370 370 FNMA REMIC, Ser 2002-78, Cl AU 5.000%, 06/25/30 1,167 1,151 FNMA REMIC, Ser 2006-39, Cl PB 5.500%, 07/25/29 3,595 3,583 SLMA (A) 5.439%, 09/15/06 292 292 -------------- Total U.S. Government Mortgage-Backed Obligations (Cost $20,809) ($ Thousands) 20,528 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 1.8% BNP Paribas Finance 5.330%, 04/30/07 $ 1,000 $ 1,000 Barclays Bank PLC NY 5.510%, 06/18/07 3,000 3,000 Wells Fargo Bank 5.090%, 03/29/07 1,000 1,000 -------------- Total Certificates of Deposit (Cost $5,000) ($ Thousands) 5,000 -------------- COLLATERALIZED LOAN OBLIGATION -- 0.2% MISCELLANEOUS BUSINESS SERVICES -- 0.2% Franklin, Ser 4A, Cl A (A) (B) 5.964%, 09/20/06 500 502 -------------- Total Collateralized Loan Obligation (Cost $503) ($ Thousands) 502 -------------- REPURCHASE AGREEMENT (C) -- 1.6% UBS Securities LLC 5.280%, dated 07/31/06, to be repurchased on 08/01/06, repurchase price $4,300,631 (collateralized by various U.S. Government obligations, ranging in par value $2,036,791- $3,035,000, 4.500%-5.500%, 01/01/19-12/01/35, with total market value $4,388,960) 4,300 4,300 -------------- Total Repurchase Agreement (Cost $4,300) ($ Thousands) 4,300 -------------- Total Investments -- 101.6% (Cost $275,433) ($ Thousands) 274,385 -------------- OTHER ASSETS AND LIABILITIES -- (1.6)% Payable for Fund Shares Redeemed (3,176) Cash Overdraft (1,052) Payable for Investment Securities Purchased (1,007) Income Distribution Payable (187) Administration Fees Payable (94) Investment Advisory Fees Payable (23) Other Assets and Liabilities, Net 1,209 -------------- Total Other Assets and Liabilities (4,330) -------------- Net Assets -- 100.0% $ 270,055 ============== - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 25 STATEMENT OF NET ASSETS (Unaudited) ULTRA SHORT BOND FUND (Concluded) July 31, 2006 - -------------------------------------------------------------------------------- Value Description ($ Thousands) - -------------------------------------------------------------------------------- NET ASSETS: Paid-in-Capital (unlimited authorization -- no par value) $ 275,843 Distribution in excess of net investment income (10) Accumulated net realized loss on investments (4,730) Net unrealized depreciation on investments (1,048) -------------- Net Assets $ 270,055 ============== Net Asset Value, Offering and Redemption Price Per Share -- Class A ($270,055,023 / 27,154,843 shares) $ 9.95 ============== (A) Floating Rate Instrument. The rate reflected on the Statement of Net Assets is the rate in effect on July 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 July 31, 2006 was $37,242 ($ Thousands) and represented 13.79% 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 July 31, 2006. The coupon on a step bond changes on a specified date. Cl -- Class FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association LLC -- Limited Liability Company MTN -- Medium Term Note 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. - -------------------------------------------------------------------------------- 26 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 This page intentionally left blank. STATEMENTS OF OPERATIONS ($ THOUSANDS) For the six months ended July 31, 2006 (Unaudited)
- ----------------------------------------------------------------------------------------------------------------------------------- MONEY PRIME MARKET GOVERNMENT GOVERNMENT II OBLIGATION FUND FUND FUND FUND - ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest Income $ 30,297 $ 17,789 $ 18,050 $ 109,828 - ----------------------------------------------------------------------------------------------------------------------------------- EXPENSES: Administration Fees 2,038 887 710 4,251 Shareholder Servicing Fees - Class A Shares 933 552 684 3,651 Administrative & Shareholder Servicing Fees - Class B Shares 244 175 289 975 Administrative & Shareholder Servicing Fees - Class C Shares 562 374 12 1,990 Administrative & Shareholder Servicing Fees - Class H Shares -- -- -- 98 Shareholder Servicing Fees - Sweep Class Shares 120 36 -- 54 Distribution Fees - Sweep Class Shares 244 73 -- 110 Investment Advisory Fees 144 86 87 522 Trustees' Fees 3 1 1 13 Registration Fees 31 21 -- 133 Custodian/Wire Agent Fees 6 10 5 61 Pricing Fees 1 1 1 5 Other Expenses 45 37 28 154 - ----------------------------------------------------------------------------------------------------------------------------------- Total Expenses 4,371 2,253 1,817 12,017 - ----------------------------------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees -- -- -- -- Administration fees (1,157) (304) (85) (664) Shareholder Servicing Fees - Class A Shares (933) (552) (684) (3,651) - ----------------------------------------------------------------------------------------------------------------------------------- Net Expenses 2,281 1,397 1,048 7,702 - ----------------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 28,016 16,392 17,002 102,126 - ----------------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM: Investments (2) -- -- -- Futures Contracts -- -- -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON/FROM: Investments -- -- -- -- Futures Contracts -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 28,014 $ 16,392 $ 17,002 $ 102,126 - -----------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 28 SEI Daily Income Trust / Semi-Annual Report / July 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 $ 16,340 $ 6,223 $ 3,572 $ 2,086 $ 4,412 $ 10,352 - ----------------------------------------------------------------------------------------------------------------------------------- EXPENSES: Administration Fees 814 328 261 151 247 766 Shareholder Servicing Fees - Class A Shares 261 218 185 107 192 545 Administrative & Shareholder Servicing Fees - Class B Shares 389 107 -- -- -- -- Administrative & Shareholder Servicing Fees - Class C Shares 289 67 -- -- -- -- Administrative & Shareholder Servicing Fees - Class H Shares -- -- -- -- -- -- Shareholder Servicing Fees - Sweep Class Shares 115 -- -- -- -- -- Distribution Fees - Sweep Class Shares 233 -- -- -- -- -- Investment Advisory Fees 79 32 75 37 77 219 Trustees' Fees 3 1 -- -- -- 1 Registration Fees -- -- 5 -- 7 10 Custodian/Wire Agent Fees 8 -- -- -- 1 4 Pricing Fees 1 -- 2 1 1 76 Other Expenses 17 7 26 1 3 9 - ----------------------------------------------------------------------------------------------------------------------------------- Total Expenses 2,209 760 554 297 528 1,630 - ----------------------------------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees -- -- (13) -- -- (88) Administration fees (240) (26) (20) -- -- (230) Shareholder Servicing Fees - Class A Shares (261) (218) (185) (101) (75) (545) - ----------------------------------------------------------------------------------------------------------------------------------- Net Expenses 1,708 516 336 196 453 767 - ----------------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 14,632 5,707 3,236 1,890 3,959 9,585 - ----------------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM: Investments -- (5) (1,637) (1,483) (318) (1,363) Futures Contracts -- -- (145) (157) (489) -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON/FROM: Investments -- -- 623 491 (3,089) 1,156 Futures Contracts -- -- (90) (58) 6 -- - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 14,632 $ 5,702 $ 1,987 $ 683 $ 69 $ 9,378 - -----------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 29 STATEMENTS OF CHANGES IN NET ASSETS ($ THOUSANDS) For the six months ended July 31, 2006 (Unaudited) and for the year ended January 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------------ MONEY MARKET GOVERNMENT FUND FUND - ------------------------------------------------------------------------------------------------------------------------------------ 2/1/06-7/31/06 2/1/05-1/31/06 2/1/06-7/31/06 2/1/05-1/31/06 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 28,016 $ 27,013 $ 16,392 $ 19,694 Net Realized Gain (Loss) on Investments (2) (17) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 28,014 26,996 16,392 19,694 - ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (17,782) (16,207) (10,252) (11,793) Class B (3,565) (3,339) (2,505) (4,120) Class C (4,753) (5,096) (3,072) (3,066) Class H -- -- -- -- Sweep Class (1,916) (2,372) (563) (715) - ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends (28,016) (27,014) (16,392) (19,694) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 2,114,397 3,325,894 1,186,651 3,986,557 Reinvestment of Dividends & Distributions 12,573 8,412 5,150 5,484 Cost of Shares Redeemed (1,730,719) (3,466,934) (1,185,646) (3,894,032) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class A Transactions 396,251 (132,628) 6,155 98,009 - ------------------------------------------------------------------------------------------------------------------------------------ CLASS B: Proceeds from Shares Issued 473,841 821,330 618,029 1,160,464 Reinvestment of Dividends & Distributions 1,063 446 648 1,104 Cost of Shares Redeemed (466,559) (805,575) (638,025) (1,196,288) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class B Transactions 8,345 16,201 (19,348) (34,720) - ------------------------------------------------------------------------------------------------------------------------------------ CLASS C: Proceeds from Shares Issued 565,760 1,088,472 317,219 469,963 Reinvestment of Dividends & Distributions 248 302 -- -- Cost of Shares Redeemed (540,504) (1,008,759) (296,619) (426,814) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class C Transactions 25,504 80,015 20,600 43,149 - ------------------------------------------------------------------------------------------------------------------------------------ CLASS H: Proceeds from Shares Issued -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class H Transactions -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ SWEEP CLASS: Proceeds from Shares Issued 261,404 584,778 146,169 276,875 Reinvestment of Dividends & Distributions -- -- 19 23 Cost of Shares Redeemed (289,453) (540,771) (142,764) (278,378) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Sweep Class Transactions (28,049) 44,007 3,424 (1,480) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Capital Share Transactions 402,051 7,595 10,831 104,958 - ------------------------------------------------------------------------------------------------------------------------------------ Total Increase (Decrease) in Net Assets 402,049 7,577 10,831 104,958 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 861,237 853,660 745,247 640,289 - ------------------------------------------------------------------------------------------------------------------------------------ END OF PERIOD $ 1,263,286 $ 861,237 $ 756,078 $ 745,247 - ------------------------------------------------------------------------------------------------------------------------------------ Undistributed Net Investment Income/ (Distributions in Excess of Net Investment Income) $ -- $ -- $ -- $ -- - ------------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 30 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
- ------------------------------------------------------------------------------------------------------------------------------------ GOVERNMENT II PRIME OBLIGATION FUND FUND - ------------------------------------------------------------------------------------------------------------------------------------ 2/1/06-7/31/06 2/1/05-1/31/06 2/1/06-7/31/06 2/1/05-1/31/06 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 17,002 $ 22,122 $ 102,126 $ 129,960 Net Realized Gain (Loss) on Investments -- (5) -- (18) - ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 17,002 22,117 102,126 129,942 - ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (12,729) (17,432) (69,205) (88,693) Class B (4,174) (4,435) (14,321) (17,980) Class C (99) (254) (16,753) (21,185) Class H -- -- (980) (1,008) Sweep Class -- -- (867) (1,095) - ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends (17,002) (22,121) (102,126) (129,961) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 966,240 2,122,774 16,277,515 29,575,399 Reinvestment of Dividends & Distributions 1,711 2,957 14,812 17,163 Cost of Shares Redeemed (980,928) (2,064,701) (16,049,758) (29,608,316) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class A Transactions (12,977) 61,030 242,569 (15,754) - ------------------------------------------------------------------------------------------------------------------------------------ CLASS B: Proceeds from Shares Issued 317,954 738,367 2,480,052 5,636,302 Reinvestment of Dividends & Distributions 268 643 5,896 7,150 Cost of Shares Redeemed (282,842) (730,903) (2,491,438) (5,681,249) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class B Transactions 35,380 8,107 (5,490) (37,797) - ------------------------------------------------------------------------------------------------------------------------------------ CLASS C: Proceeds from Shares Issued 12,261 60,303 2,668,956 5,162,865 Reinvestment of Dividends & Distributions -- 2 4,613 6,041 Cost of Shares Redeemed (11,081) (74,485) (2,630,418) (5,119,585) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class C Transactions 1,180 (14,180) 43,151 49,321 - ------------------------------------------------------------------------------------------------------------------------------------ CLASS H: Proceeds from Shares Issued -- -- 68,842 85,991 Reinvestment of Dividends & Distributions -- -- 980 1,008 Cost of Shares Redeemed -- -- (52,187) (92,214) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class H Transactions -- -- 17,635 (5,215) - ------------------------------------------------------------------------------------------------------------------------------------ SWEEP CLASS: Proceeds from Shares Issued -- -- 253,474 407,174 Reinvestment of Dividends & Distributions -- -- 71 68 Cost of Shares Redeemed -- -- (254,387) (395,019) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Sweep Class Transactions -- -- (842) 12,223 - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Capital Share Transactions 23,583 54,957 297,023 2,778 - ------------------------------------------------------------------------------------------------------------------------------------ Total Increase (Decrease) in Net Assets 23,583 54,953 297,023 2,759 - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 749,315 694,362 4,443,666 4,440,907 - ------------------------------------------------------------------------------------------------------------------------------------ END OF PERIOD $ 772,898 $ 749,315 $ 4,740,689 $ 4,443,666 - ------------------------------------------------------------------------------------------------------------------------------------ Undistributed Net Investment Income/ (Distributions in Excess of Net Investment Income) $ -- $ -- $ -- $ -- - ------------------------------------------------------------------------------------------------------------------------------------ - ------------------------------------------------------------------------------------------------------------------------------------ TREASURY TREASURY II FUND FUND - ------------------------------------------------------------------------------------------------------------------------------------ 2/1/06-7/31/06 2/1/05-1/31/06 2/1/06-7/31/06 2/1/05-1/31/06 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 14,632 $ 18,770 $ 5,707 $ 8,452 Net Realized Gain (Loss) on Investments -- 4 (5) (11) - ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 14,632 18,774 5,702 8,441 - ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (4,860) (8,111) (3,760) (6,410) Class B (5,605) (6,067) (1,423) (1,831) Class C (2,378) (2,235) (524) (211) Class H -- -- -- -- Sweep Class (1,790) (2,357) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends (14,633) (18,770) (5,707) (8,452) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 724,562 1,804,616 533,319 1,172,871 Reinvestment of Dividends & Distributions 217 507 496 1,217 Cost of Shares Redeemed (688,969) (1,890,004) (565,793) (1,259,325) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class A Transactions 35,810 (84,881) (31,978) (85,237) - ------------------------------------------------------------------------------------------------------------------------------------ CLASS B: Proceeds from Shares Issued 696,802 1,087,690 162,224 362,752 Reinvestment of Dividends & Distributions 1,352 1,477 83 126 Cost of Shares Redeemed (637,366) (1,056,405) (184,372) (371,045) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class B Transactions 60,788 32,762 (22,065) (8,167) - ------------------------------------------------------------------------------------------------------------------------------------ CLASS C: Proceeds from Shares Issued 438,089 818,357 172,004 136,916 Reinvestment of Dividends & Distributions 41 42 467 -- Cost of Shares Redeemed (422,130) (773,928) (136,489) (165,704) - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class C Transactions 16,000 44,471 35,982 (28,788) - ------------------------------------------------------------------------------------------------------------------------------------ CLASS H: Proceeds from Shares Issued -- -- -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class H Transactions -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ SWEEP CLASS: Proceeds from Shares Issued 265,890 550,906 -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed (251,551) (562,742) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Sweep Class Transactions 14,339 (11,836) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Capital Share Transactions 126,937 (19,484) (18,061) (122,192) - ------------------------------------------------------------------------------------------------------------------------------------ Total Increase (Decrease) in Net Assets 126,936 (19,480) (18,066) (122,203) - ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF PERIOD 644,531 664,011 251,675 373,878 - ------------------------------------------------------------------------------------------------------------------------------------ END OF PERIOD $ 771,467 $ 644,531 $ 233,609 $ 251,675 - ------------------------------------------------------------------------------------------------------------------------------------ Undistributed Net Investment Income/ (Distributions in Excess of Net Investment Income) $ (1) $ -- $ -- $ -- - ------------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 31 STATEMENTS OF CHANGES IN NET ASSETS ($ THOUSANDS) For the six months ended July 31, 2006 (Unaudited) and for the year ended January 31, 2005
- ------------------------------------------------------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND - ------------------------------------------------------------------------------------------------------------------------------- 2/1/06-7/31/06 2/1/05-1/31/06 - ------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 3,236 $ 5,959 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,782) (1,844) Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 533 (681) - ------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 1,987 3,434 - ------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Net Investment Income (3,154) (6,742) - ------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (3,154) (6,742) - ------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 38,719 87,343 Reinvestment of Dividends & Distributions 2,555 5,265 Cost of Shares Redeemed (50,567) (135,823) - ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (9,293) (43,215) - ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (10,460) (46,523) - ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 155,512 202,035 - ------------------------------------------------------------------------------------------------------------------------------- END OF PERIOD $ 145,052 $ 155,512 - ------------------------------------------------------------------------------------------------------------------------------- Undistributed Net Investment Income/ (Distributions in Excess of Net Investment Income) $ 10 $ (72) - ------------------------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: CLASS A: Shares Issued 3,883 8,636 Reinvestment of Distributions 257 522 Shares Redeemed (5,077) (13,463) - ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding from Share Transactions (937) (4,305) - -------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero. + Adjusted to reflect the effect of the 5 for 1 reverse share split on May 6, 2005. See Note 8 in Notes to Financial Statements. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 32 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006
- -------------------------------------------------------------------------------------------------------------------------------- INTERMEDIATE-DURATION GOVERNMENT FUND - -------------------------------------------------------------------------------------------------------------------------------- 2/1/06-7/31/06 2/1/05-1/31/06 - -------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 1,890 $ 3,488 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,640) (830) Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 433 (1,720) - -------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 683 938 - -------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Net Investment Income (1,854) (3,755) - -------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (1,854) (3,755) - -------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 15,040 23,528 Reinvestment of Dividends & Distributions 552 1,397 Cost of Shares Redeemed (16,043) (45,629) - -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (451) (20,704) - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (1,622) (23,521) - -------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 85,873 109,394 - -------------------------------------------------------------------------------------------------------------------------------- END OF PERIOD $ 84,251 $ 85,873 - -------------------------------------------------------------------------------------------------------------------------------- Undistributed Net Investment Income/ (Distributions in Excess of Net Investment Income) $ 16 $ (20) - -------------------------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: CLASS A: Shares Issued 1,490 2,272 Reinvestment of Distributions 55 135 Shares Redeemed (1,593) (4,415) - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding from Share Transactions (48) (2,008) - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------------------- GNMA FUND - -------------------------------------------------------------------------------------------------------------------------------- 2/1/06-7/31/06 2/1/05-1/31/06 - -------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 3,959 $ 7,431 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (807) 974 Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts (3,083) (3,896) - -------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 69 4,509 - -------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Net Investment Income (3,962) (8,670) - -------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (3,962) (8,670) - -------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 10,643 51,821 Reinvestment of Dividends & Distributions 2,064 5,754 Cost of Shares Redeemed (27,257) (58,229) - -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (14,550) (654) - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (18,443) (4,815) - -------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 166,324 171,139 - -------------------------------------------------------------------------------------------------------------------------------- END OF PERIOD $ 147,881 $ 166,324 - -------------------------------------------------------------------------------------------------------------------------------- Undistributed Net Investment Income/ (Distributions in Excess of Net Investment Income) $ (3) $ -- - -------------------------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: CLASS A: Shares Issued 1,142 5,394 Reinvestment of Distributions 222 602 Shares Redeemed (2,928) (6,088) - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding from Share Transactions (1,564) (92) - -------------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------------------- ULTRA SHORT BOND FUND - -------------------------------------------------------------------------------------------------------------------------------- 2/1/06-7/31/06 2/1/05-1/31/06 - -------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 9,585 $ 11,264 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,363) (362) Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 1,156 (1,077) - -------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 9,378 9,825 - -------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Net Investment Income (9,521) (11,854) - -------------------------------------------------------------------------------------------------------------------------------- Total Dividends and Distributions (9,521) (11,854) - -------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 185,822 296,269 Reinvestment of Dividends & Distributions 7,856 10,495 Cost of Shares Redeemed (335,697) (209,900) - -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (142,019) 96,864 - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (142,162) 94,835 - -------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF PERIOD 412,217 317,382 - -------------------------------------------------------------------------------------------------------------------------------- END OF PERIOD $ 270,055 $ 412,217 - -------------------------------------------------------------------------------------------------------------------------------- Undistributed Net Investment Income/ (Distributions in Excess of Net Investment Income) $ (10) $ (74) - -------------------------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: CLASS A: Shares Issued 18,701 29,708+ Reinvestment of Distributions 790 1,052+ Shares Redeemed (33,778) (21,042)+ - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding from Share Transactions (14,287) 9,718+ - --------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 33 FINANCIAL HIGHLIGHTS For the six months ended July 31, 2006 (Unaudited) and for the periods ended January 31, For a Share Outstanding Throughout the Periods
- -------------------------------------------------------------------------------------------------------------------------------- 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 of Year Income on Securities Operations Income Distributions of Year - -------------------------------------------------------------------------------------------------------------------------------- MONEY MARKET FUND CLASS A 2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 CLASS B 2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 CLASS C 2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 SWEEP CLASS 2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 GOVERNMENT FUND CLASS A 2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 CLASS B 2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 CLASS C 2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 - ---------------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income Total End of Year to Average (Excluding to Average Return+ ($ Thousands) Net Assets Waivers) Net Assets - ---------------------------------------------------------------------------------------- MONEY MARKET FUND CLASS A 2006* 2.37% $788,458 0.18% 0.62% 4.74% 2006 3.30 392,207 0.18 0.62 3.25 2005 1.37 524,849 0.18 0.62 1.38 2004 1.04 603,798 0.18 0.62 1.05 2003 1.61 581,097 0.18 0.63 1.59 2002 3.70 419,783 0.18 0.63 3.90 CLASS B 2006* 2.22% $132,194 0.48% 0.67% 4.38% 2006 2.99 123,851 0.48 0.67 2.98 2005 1.07 107,650 0.48 0.67 1.10 2004 0.74 124,401 0.48 0.67 0.74 2003 1.31 159,389 0.48 0.68 1.30 2002 3.39 197,280 0.48 0.68 3.27 CLASS C 2006* 2.11% $257,576 0.68% 0.87% 4.23% 2006 2.78 232,072 0.68 0.87 2.83 2005 0.86 152,060 0.68 0.87 0.84 2004 0.54 200,467 0.68 0.87 0.55 2003 1.11 307,236 0.68 0.88 1.10 2002 3.19 407,312 0.68 0.88 3.02 SWEEP CLASS 2006* 1.99% $ 85,058 0.93% 1.12% 3.95% 2006 2.53 113,107 0.93 1.12 2.60 2005 0.61 69,101 0.93 1.12 0.61 2004 0.29 87,791 0.93 1.12 0.30 2003 0.85 149,729 0.93 1.13 0.85 2002 2.93 177,857 0.93 1.13 2.92 GOVERNMENT FUND CLASS A 2006* 2.31% $473,601 0.20% 0.53% 4.62% 2006 3.21 467,445 0.20 0.53 3.23 2005 1.30 369,440 0.20 0.53 1.32 2004 1.00 329,940 0.20 0.53 0.99 2003 1.53 370,142 0.20 0.53 1.51 2002 3.64 402,096 0.20 0.53 3.42 CLASS B 2006* 2.16% $102,677 0.50% 0.58% 4.29% 2006 2.90 122,025 0.50 0.58 2.84 2005 1.00 156,741 0.50 0.58 0.93 2004 0.69 240,491 0.50 0.58 0.70 2003 1.23 258,488 0.50 0.58 1.20 2002 3.33 217,957 0.50 0.58 3.00 CLASS C 2006* 2.06% $150,016 0.70% 0.78% 4.11% 2006 2.70 129,416 0.70 0.78 2.74 2005 0.80 86,267 0.70 0.78 0.77 2004 0.49 105,763 0.70 0.78 0.50 2003 1.02 138,864 0.70 0.78 1.02 2002 3.13 151,256 0.70 0.78 2.90
- -------------------------------------------------------------------------------- 34 SEI Daily Income Trust / Semi-Annual Report / July 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 of Year Income on Securities Operations Income Distributions of Year - -------------------------------------------------------------------------------------------------------------------------------- GOVERNMENT FUND (CONTINUED) SWEEP CLASS 2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00 2006 1.00 0.02(1) --(1) 0.02 (0.02) (0.02) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 GOVERNMENT II FUND CLASS A 2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 CLASS B 2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 CLASS C 2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 PRIME OBLIGATION FUND CLASS A 2006* $1.00 $0.02(1) $--(1) $0.02 $(0.02) $(0.02) $1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2003 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2002 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 - ---------------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income Total End of Year to Average (Excluding to Average Return+ ($ Thousands) Net Assets Waivers) Net Assets - ---------------------------------------------------------------------------------------- GOVERNMENT FUND (CONTINUED) SWEEP CLASS 2006* 1.93% $ 29,784 0.95% 1.03% 3.86% 2006 2.44 26,361 0.95 1.03 2.43 2005 0.55 27,841 0.95 1.03 0.51 2004 0.25 46,254 0.95 1.03 0.25 2003 0.77 52,423 0.95 1.03 0.77 2002 2.87 71,277 0.95 1.03 2.67 GOVERNMENT II FUND CLASS A 2006* 2.32% $ 563,310 0.20% 0.47% 4.63% 2006 3.18 576,242 0.20 0.48 3.18 2005 1.27 515,216 0.20 0.48 1.25 2004 0.96 568,888 0.20 0.47 0.96 2003 1.50 669,654 0.20 0.48 1.49 2002 3.63 688,112 0.20 0.48 3.63 CLASS B 2006* 2.17% $ 203,959 0.50% 0.52% 4.34% 2006 2.87 168,616 0.50 0.53 2.80 2005 0.97 160,509 0.50 0.53 0.92 2004 0.66 201,085 0.50 0.52 0.66 2003 1.20 174,496 0.50 0.53 1.19 2002 3.32 164,741 0.50 0.53 3.21 CLASS C 2006* 2.06% $ 5,629 0.70% 0.72% 4.15% 2006 2.67 4,457 0.70 0.73 2.39 2005 0.76 18,637 0.70 0.73 0.71 2004 0.46 46,853 0.70 0.72 0.46 2003 1.00 54,860 0.70 0.73 1.00 2002 3.11 80,415 0.70 0.73 2.84 PRIME OBLIGATION FUND CLASS A 2006* 2.36% $3,199,639 0.20% 0.48% 4.71% 2006 3.28 2,957,074 0.20 0.48 3.26 2005 1.34 2,972,833 0.20 0.48 1.31 2004 1.02 3,235,847 0.20 0.48 1.02 2003 1.58 3,527,722 0.20 0.48 1.56 2002 3.70 3,989,778 0.20 0.48 3.72
Amounts designated as "--" are $0 or have been rounded to $0. * For the six month period ended July 31, 2006. All ratios for the period have been annualized. + Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. (1) Per share calculations were performed using average shares. (2) Amount represents less than $0.01 per share. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 35 FINANCIAL HIGHLIGHTS For the six months ended July 31, 2006 (Unaudited) and for the period ended January 31, For a Share Outstanding Throughout the Periods
- --------------------------------------------------------------------------------------------------------- Net Realized and Net Asset Unrealized Dividends Total Value, Net Gains Total from Net Dividends Beginning Investment (Losses) from Investment and of Year Income on Securities Operations Income Distributions - --------------------------------------------------------------------------------------------------------- PRIME OBLIGATION FUND (CONTINUED) CLASS B 2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 2002 1.00 0.03 -- 0.03 (0.03) (0.03) CLASS C 2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 2002 1.00 0.03 -- 0.03 (0.03) (0.03) CLASS H 2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 2002 1.00 0.03 -- 0.03 (0.03) (0.03) SWEEP CLASS 2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2004 1.00 --(1) --(1) -- --(2) --(2) 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 2002 1.00 0.03 -- 0.03 (0.03) (0.03) TREASURY FUND CLASS A 2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2003 1.00 0.02 -- 0.02 (0.02) (0.02) 2002 1.00 0.03 -- 0.03 (0.03) (0.03) CLASS B 2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 2002 1.00 0.03 -- 0.03 (0.03) (0.03) CLASS C 2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2004 1.00 --(1) --(1) -- --(2) --(2) 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 2002 1.00 0.03 -- 0.03 (0.03) (0.03) - ------------------------------------------------------------------------------------------------ Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Asset Net Assets Expenses Net Assets Income Value, End Total End of Year to Average (Excluding to Average of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets - ------------------------------------------------------------------------------------------------ PRIME OBLIGATION FUND (CONTINUED) CLASS B 2006* $ 1.00 2.20% $ 620,340 0.50% 0.53% 4.41% 2006 1.00 2.98 625,831 0.50 0.53 2.88 2005 1.00 1.03 663,635 0.50 0.53 1.05 2004 1.00 0.72 572,097 0.50 0.53 0.72 2003 1.00 1.28 776,902 0.50 0.53 1.26 2002 1.00 3.39 676,475 0.50 0.53 3.21 CLASS C 2006* $ 1.00 2.10% $ 822,781 0.70% 0.73% 4.21% 2006 1.00 2.77 779,625 0.70 0.73 2.76 2005 1.00 0.83 730,310 0.70 0.73 0.82 2004 1.00 0.52 864,829 0.70 0.73 0.52 2003 1.00 1.07 929,285 0.70 0.73 1.07 2002 1.00 3.18 946,967 0.70 0.73 3.07 CLASS H 2006* $ 1.00 2.14% $ 53,641 0.63% 0.66% 4.31% 2006 1.00 2.84 36,006 0.63 0.66 2.81 2005 1.00 0.90 41,221 0.63 0.66 0.90 2004 1.00 0.59 36,023 0.63 0.66 0.59 2003 1.00 1.15 44,327 0.63 0.66 1.13 2002 1.00 3.25 29,412 0.63 0.65 2.89 SWEEP CLASS 2006* $ 1.00 1.98% $ 44,288 0.95% 0.98% 3.96% 2006 1.00 2.51 45,130 0.95 0.98 2.53 2005 1.00 0.58 32,908 0.95 0.98 0.58 2004 1.00 0.27 37,399 0.95 0.98 0.28 2003 1.00 0.82 56,968 0.95 0.98 0.83 2002 1.00 2.92 76,982 0.95 0.98 2.88 TREASURY FUND CLASS A 2006* $ 1.00 2.30% $ 243,907 0.20% 0.52% 4.62% 2006 1.00 3.13 208,097 0.20 0.53 3.05 2005 1.00 1.22 292,974 0.20 0.53 1.21 2004 1.00 0.96 264,544 0.20 0.53 0.92 2003 1.00 1.51 147,129 0.20 0.54 1.50 2002 1.00 3.48 221,636 0.20 0.53 3.30 CLASS B 2006* $ 1.00 2.15% $ 300,249 0.50% 0.57% 4.32% 2006 1.00 2.82 239,461 0.50 0.58 2.81 2005 1.00 0.91 206,698 0.50 0.58 0.85 2004 1.00 0.66 325,687 0.50 0.58 0.65 2003 1.00 1.21 319,991 0.50 0.59 1.19 2002 1.00 3.18 316,896 0.50 0.58 3.11 CLASS C 2006* $ 1.00 2.05% $ 129,402 0.70% 0.77% 4.11% 2006 1.00 2.62 113,403 0.70 0.78 2.70 2005 1.00 0.71 68,932 0.70 0.78 0.66 2004 1.00 0.46 109,647 0.70 0.78 0.45 2003 1.00 1.01 103,015 0.70 0.79 0.98 2002 1.00 2.97 97,755 0.70 0.78 2.86
- -------------------------------------------------------------------------------- 36 SEI Daily Income Trust / Semi-Annual Report / July 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 of Year Income on Securities Operations Income Distributions of Year - ----------------------------------------------------------------------------------------------------------------- TREASURY FUND (CONTINUED) SWEEP CLASS 2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) $ 1.00 2006 1.00 0.02(1) --(1) 0.02 (0.02) (0.02) 1.00 2005 1.00 --(1) --(1) -- --(2) --(2) 1.00 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 TREASURY II FUND CLASS A 2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) $ 1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 CLASS B 2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) $ 1.00 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 CLASS C 2006* $ 1.00 $ 0.02(1) $ --(1) $ 0.02 $ (0.02) $ (0.02) $ 1.00 2006 1.00 0.02(1) --(1) 0.02 (0.02) (0.02) 1.00 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 1.00 2004 1.00 --(1) --(1) -- --(2) --(2) 1.00 2003 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 2002 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 - ------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income Total End of Year to Average (Excluding to Average Return+ ($ Thousands) Net Assets Waivers) Net Assets - ------------------------------------------------------------------------------- TREASURY FUND (CONTINUED) SWEEP CLASS 2006* 1.93% $ 97,909 0.95% 1.02% 3.86% 2006 2.36 83,570 0.95 1.03 2.35 2005 0.49 95,407 0.93 1.03 0.49 2004 0.23 95,679 0.92 1.03 0.22 2003 0.76 102,257 0.95 1.04 0.75 2002 2.71 119,263 0.95 1.03 2.61 TREASURY II FUND CLASS A 2006* 2.15% $ 146,530 0.25% 0.51% 4.29% 2006 2.85 178,480 0.25 0.53 2.78 2005 1.09 263,727 0.25 0.53 1.08 2004 0.81 269,200 0.25 0.53 0.80 2003 1.42 410,954 0.25 0.53 1.42 2002 3.35 556,201 0.25 0.53 3.20 CLASS B 2006* 2.00% $ 48,494 0.55% 0.56% 3.99% 2006 2.54 70,593 0.55 0.58 2.50 2005 0.79 78,781 0.55 0.58 0.70 2004 0.51 160,859 0.55 0.58 0.51 2003 1.12 210,421 0.55 0.58 1.08 2002 3.05 133,310 0.55 0.58 2.94 CLASS C 2006* 1.89% $ 38,585 0.75% 0.75% 3.90% 2006 2.33 2,602 0.75 0.78 2.03 2005 0.59 31,370 0.75 0.78 0.54 2004 0.31 58,424 0.75 0.78 0.30 2003 0.91 92,554 0.75 0.78 0.90 2002 2.84 109,581 0.75 0.78 2.71
Amounts designated as "--" are $0 or have been rounded to $0. * For the six month period ended July 31, 2006. All ratios for the period have been annualized. + Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. (1) Per share calculations were performed using average shares. (2) Amount represents less than $0.01 per share. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 37 FINANCIAL HIGHLIGHTS For the six months ended July 31, 2006 (Unaudited) and for the periods 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 of Year Income on Securities Operations Income Gains Distributions of Year - ------------------------------------------------------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND CLASS A 2006* $ 10.02 $ 0.21(1) $ (0.07)(1) $ 0.14 $ (0.21) $ -- $ (0.21) $ 9.95 2006 10.19 0.32(1) (0.13)(1) 0.19 (0.36) -- (0.36) 10.02 2005 10.35 0.22(1) (0.12)(1) 0.10 (0.26) -- (0.26) 10.19 2004 10.46 0.22(1) (0.06)(1) 0.16 (0.27) -- (0.27) 10.35 2003 10.30 0.32 0.21 0.53 (0.34) (0.03) (0.37) 10.46 2002 10.15 0.47 0.16 0.63 (0.48) -- (0.48) 10.30 INTERMEDIATE-DURATION GOVERNMENT FUND CLASS A 2006* $ 10.21 $ 0.21(1) $ (0.14)(1) $ 0.07 $ (0.21) $ -- $ (0.21) $ 10.07 2006 10.50 0.36(1) (0.26)(1) 0.10 (0.39) -- (0.39) 10.21 2005 10.64 0.31(1) (0.11)(1) 0.20 (0.33) (0.01) (0.34) 10.50 2004 10.89 0.31(1) 0.01(1) 0.32 (0.33) (0.24) (0.57) 10.64 2003 10.40 0.42 0.51 0.93 (0.44) -- (0.44) 10.89 2002 10.22 0.54 0.18 0.72 (0.54) -- (0.54) 10.40 GNMA FUND CLASS A 2006* $ 9.48 $ 0.24(1) $ (0.22)(1) $ 0.02 $ (0.24) $ -- $ (0.24) $ 9.26 2006 9.71 0.41(1) (0.16)(1) 0.25 (0.48) -- (0.48) 9.48 2005 9.86 0.39(1) (0.04)(1) 0.35 (0.50) -- (0.50) 9.71 2004 10.13 0.30(1) (0.09)(1) 0.21 (0.48) -- (0.48) 9.86 2003 9.91 0.44 0.31 0.75 (0.53) -- (0.53) 10.13 2002 9.78 0.55 0.14 0.69 (0.56) -- (0.56) 9.91 ULTRA SHORT BOND FUND CLASS A 2006* $ 9.95 $ 0.21(1) $ --(1) $ 0.21 $ (0.21) $ -- $ (0.21) $ 9.95 2006++ 10.00 0.32(1) (0.04)(1) 0.28 (0.33) -- (0.33) 9.95 2005++ 10.10 0.20(1) (0.10)(1) 0.10 (0.20) -- (0.20) 10.00 2004++ 10.15 0.20(1) (0.05)(1) 0.15 (0.20) -- (0.20) 10.10 2003++ 10.15 0.30 -- 0.30 (0.30) (0.00)(2) (0.30) 10.15 2002++ 10.05 0.50 0.10 0.60 (0.50) -- (0.50) 10.15 - ------------------------------------------------------------------------------------------ Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income Portfolio Total End of Year to Average (Excluding to Average Turnover Return+ ($ Thousands) Net Assets Waivers) Net Assets Rate - ------------------------------------------------------------------------------------------ SHORT-DURATION GOVERNMENT FUND CLASS A 2006* 1.41% $ 145,052 0.45% 0.74% 4.34% 109% 2006 1.93 155,512 0.45 0.75 3.15 162 2005 0.96 202,035 0.45 0.74 2.12 66 2004 1.55 289,986 0.45 0.72 2.07 117 2003 5.29 318,046 0.45 0.73 2.92 125 2002 6.28 150,993 0.45 0.72 4.58 84 INTERMEDIATE-DURATION GOVERNMENT FUND CLASS A 2006* 0.74% $ 84,251 0.45% 0.70% 4.38% 121% 2006 0.94 85,873 0.50 0.73 3.46 151 2005 1.85 109,394 0.50 0.73 2.92 80 2004 2.98 134,615 0.50 0.72 2.89 154 2003 9.12 188,009 0.50 0.73 3.92 57 2002 7.19 119,335 0.50 0.72 5.17 50 GNMA FUND CLASS A 2006* 0.19% $ 147,881 0.60% 0.70% 5.13% 33% 2006 2.60 166,324 0.60 0.71 4.26 97 2005 3.64 171,139 0.60 0.71 3.97 85 2004 2.16 219,483 0.60 0.69 2.97 145 2003 7.73 390,393 0.60 0.70 4.12 146 2002 7.22 234,747 0.60 0.69 5.50 108 ULTRA SHORT BOND FUND CLASS A 2006* 2.07% $ 270,055 0.35% 0.75% 4.38% 18% 2006++ 2.90 412,217 0.35 0.75 3.22 67 2005++ 1.11 317,382 0.35 0.75 1.84 59 2004++ 1.61 293,816 0.35 0.73 1.84 68 2003++ 3.35 352,284 0.35 0.73 2.81 76 2002++ 6.08 167,901 0.35 0.72 4.74 75
Amounts designated as "--" are $0 or have been rounded to $0. * For the six month period ended July 31, 2006. All ratios for the period have been annualized. + Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. ++ Per share amounts have been adjusted for a 5 for 1 reverse stock split paid to shareholders of record on May 6, 2005. (1) Per share calculations were performed using average shares. (2) Amount represents less than $0.01 per share. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 38 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 NOTES TO FINANCIAL STATEMENTS NOTES TO FINANCIAL STATEMENTS (Unaudited) 1. ORGANIZATION SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business trust under a Declaration of Trust dated March 15, 1982. The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end investment company with ten operational Funds: the Money Market, Government, Government II, Prime Obligation, Treasury, Treasury II (each a "Fund," collectively the "Money Market Funds"), the Short-Duration Government, Intermediate-Duration Government, GNMA, and Ultra Short Bond (each a "Fund," collectively the "Fixed Income Funds"). The 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 July 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. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 39 NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) FUTURES CONTRACTS -- The Short-Duration Government Fund, the Intermediate-Duration Government Fund and the GNMA Fund utilized futures contracts during the six months ended July 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. 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. RESTRICTED SECURITIES -- At July 31, 2006, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Fund has generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at July 31, 2006, were as follows:
NUMBER ACQUISITION RIGHT TO COST MARKET VALUE % OF NET OF SHARES DATE ACQUIRE DATE ($THOUSANDS) ($THOUSANDS) ASSETS - --------------------------------------------------------------------------------------------------------- MONEY MARKET FUND Metropolitan Life Insurance 30,000 05/01/03 05/01/03 $ 30,000 $ 30,000 2.38% Monumental Life Insurance 9,500 03/21/03 03/21/03 9,500 9,500 0.75 ------------ ------------- ---- $ 39,500 $ 39,500 3.13% ============ ============= ==== PRIME OBLIGATION FUND Metropolitan Life Insurance 30,000 05/01/03 05/01/03 $ 160,000 $ 160,000 3.38% Monumental Life Insurance 9,500 03/21/03 03/21/03 101,500 101,500 2.14 ------------ ------------- ---- $ 261,500 $ 261,500 5.52% ============ ============= ====
- -------------------------------------------------------------------------------- 40 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 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) *
- ----------------------------------------------------------------------------------------- Short- Intermediate- Ultra Duration Duration Short Government Government GNMA Bond Fund Fund Fund Fund - ----------------------------------------------------------------------------------------- Class A .45%(1) .50%(1) .60%(1) .35%(1) - -----------------------------------------------------------------------------------------
* Class not currently operational. (1) Represents a voluntary cap that may be discontinued at any time. (2) Represents a contractual cap effective through January 31, 2007. (3) Represents a contractual cap of .25%, .55%, and .75% of Class A, B, and C, respectively, effective through January 31, 2007. 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. DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary of SEI Investments Company ("SEI"), and a registered broker-dealer, acts as the Distributor of the shares of the Trust under various Distribution Agreements. The Trust has adopted plans under which firms, including the Distributor, that provide shareholder and administrative services may receive compensation thereof. Specific classes of certain funds have also adopted distribution plans, pursuant to Rule 12b-1 under the Investment Company Act of 1940. Such plans provide fees payable to the Distributor up to the following amounts, calculated as a percentage of the average daily net assets attributable to each particular class of each respective fund. - -------------------------------------------------------------------------------- Adminis- Shareholder trative Servicing Service Distribution Fees Fees Fees* - -------------------------------------------------------------------------------- Money Market Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Sweep Class .25% -- .50% Government Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Sweep Class .25% -- .50% Government II Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Prime Obligation Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Class H .25% .18% -- Sweep Class .25% -- .50% Treasury Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Sweep Class .25% -- .50% Treasury II Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- 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. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 41 NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The Distributor has voluntarily waived all or a portion of the shareholder servicing fees for Class A of each fund since inception of the plan. Such waivers are voluntary and may be discontinued at any time. For Classes B, C, and H, the shareholder servicing fees and the administrative service fees are shown combined as "Administrative & Shareholder Servicing Fees" in the Statement of Operations. Certain officers and Trustees of the Trust are also officers and/or Trustees of the Administrator or the adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator or the adviser pays compensation of officers and affiliated Trustees. 4. INVESTMENT ADVISORY AND CUSTODIAN AGREEMENTS SEI Investments Management Corporation ("SIMC") serves as each Fund's investment adviser and "manager of managers" under an investment advisory agreement approved by the shareholders of each Fund. For its services, SIMC receives an annual fee equal to .075% on the first $500 million of net assets and .02% on the net assets in excess of $500 million for the Money Market Funds. The fee will be calculated based on the combined assets of the Money Market Funds. SIMC also receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Short-Duration Government, Intermediate-Duration Government and GNMA Funds. The fee will be calculated based on the combined assets of the Funds listed above. SIMC also receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Ultra Short Bond Fund. The fee will be calculated based on the net assets of the Ultra Short Bond Fund. Pursuant to the "manager of managers" structure, the Board of Trustees approved Columbia Management Advisors, LLC (formerly Banc of America Capital Management, LLC) as each Money Market Fund's investment sub-adviser under an investment sub-advisory agreement approved by the shareholders of each Fund. For its services to the Money Market Funds, the sub-adviser is entitled to receive a fee paid directly by SIMC. Wellington Management Company, LLP ("Wellington LLP") serves as sub-adviser to the Fixed Income Funds under an investment sub-advisory agreement approved by the shareholders of each Fund. For its services to the Funds, Wellington LLP is entitled to receive a fee paid directly by SIMC. Wachovia Bank, N.A. serves as the custodian of the Funds. The custodian plays no role in determining the investment policies of the Funds or which securities are to be purchased or sold in the Funds. 5. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale of securities, other than temporary investments in short-term securities, for the six months ended July 31, 2006, were as follows for the Fixed Income Funds: - ------------------------------------------------------------------------------- Short- Intermediate- Ultra Duration Duration Short Government Government GNMA Bond Fund Fund Fund Fund ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ------------------------------------------------------------------------------- PURCHASES U.S. Government $ 88,406 $ 104,268 $ 50,824 $ 11,089 Other 71,639 -- -- 29,379 SALES U.S. Government $ 111,429 $ 101,084 $ 66,053 $ 60,685 Other 58,188 350 1,743 93,750 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. - -------------------------------------------------------------------------------- 42 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 The tax character of dividends and distributions during the last two fiscal years was as follows:
- -------------------------------------------------------------------------------------------- Ordinary Long-term Income Capital Gain Total ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------------------- Money Market Fund 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 Distributable Undistributed Undistributed Capital Post- Other Unrealized Earnings Ordinary Long Term Loss October Temporary Appreciation (Accumulated Income Capital Gain Carryforwards Losses Differences (Depreciation) Losses) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - --------------------------------------------------------------------------------------------------------------------------------- Money Market Fund $ 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 $0. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 43 NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At January 31, 2006, the following funds had capital loss carryforwards to offset future realized capital gains: - -------------------------------------------------------------------------------- Amount Expiration ($ 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 $237,677 of capital losses, respectively, which have expired as of January 31, 2006. For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Post-October losses represent losses realized on investment transactions from November 1, 2005 through January 31, 2006 that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year. At July 31, 2006 the Money Market Funds cost of securities for Federal income tax purposes approximates the cost located in the Statement of Net Assets. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Fixed Income Funds at July 31, 2006, were as follows:
- ------------------------------------------------------------------------------------- Net Federal Appreciated Depreciated Unrealized Tax Cost Securities Securities Depreciation ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ------------------------------------------------------------------------------------- Short-Duration Government Fund $ 149,249 $ 295 $ (1,385) $ (1,090) Intermediate-Duration Government Fund 88,217 216 (1,402) (1,186) GNMA Fund 154,744 392 (3,835) (3,443) Ultra Short Bond Fund 275,433 159 (1,207) (1,048)
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. - -------------------------------------------------------------------------------- 44 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 9. NEW ACCOUNTING PRONOUNCEMENT In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB interpretation 48 ("FIN 48"), "ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES." This standard defines the threshold for recognizing the benefits of tax-return positions in the financial statements as "more-likely-than-not" to be sustained by the taxing authority and requires measurement of a tax position meeting the more-likely-than-not criterion, based on the largest benefit that is more than 50 percent likely to be realized. FIN 48 is effective as of the beginning of the first fiscal year beginning after December 15, 2006. At adoption, companies must adjust their financial statements to reflect only those tax positions that are more-likely-than-not to be sustained as of the adoption date. As of July 31, 2006, the Funds have not evaluated the impact that will result from adopting FIN 48. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 45 SEI DAILY INCOME TRUST -- JULY 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. - -------------------------------------------------------------------------------- 46 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 DISCLOSURE OF FUND EXPENSES (UNAUDITED) (CONCLUDED)
BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 2/01/06 7/31/06 RATIOS PERIOD* - --------------------------------------------------------------------------------------------- MONEY MARKET FUND - --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,023.70 0.18% $ 0.90 Class B Shares 1,000.00 1,022.20 0.48% 2.41 Class C Shares 1,000.00 1,021.10 0.68% 3.41 Sweep Class Shares 1,000.00 1,019.90 0.93% 4.66 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,023.90 0.18% $ 0.90 Class B Shares 1,000.00 1,022.41 0.48% 2.41 Class C Shares 1,000.00 1,021.42 0.68% 3.41 Sweep Class Shares 1,000.00 1,020.18 0.93% 4.66 - --------------------------------------------------------------------------------------------- GOVERNMENT FUND - --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,023.10 0.20% $ 1.00 Class B Shares 1,000.00 1,021.60 0.50% 2.51 Class C Shares 1,000.00 1,020.60 0.70% 3.51 Sweep Class Shares 1,000.00 1,019.30 0.95% 4.76 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,023.80 0.20% $ 1.00 Class B Shares 1,000.00 1,022.32 0.50% 2.51 Class C Shares 1,000.00 1,021.32 0.70% 3.51 Sweep Class Shares 1,000.00 1,020.08 0.95% 4.76 - --------------------------------------------------------------------------------------------- GOVERNMENT II FUND - --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,023.20 0.20% $ 1.00 Class B Shares 1,000.00 1,021.70 0.50% 2.51 Class C Shares 1,000.00 1,020.60 0.70% 3.51 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,023.80 0.20% $ 1.00 Class B Shares 1,000.00 1,022.32 0.50% 2.51 Class C Shares 1,000.00 1,021.32 0.70% 3.51 - --------------------------------------------------------------------------------------------- PRIME OBLIGATION FUND - --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,023.60 0.20% $ 1.00 Class B Shares 1,000.00 1,022.00 0.50% 2.51 Class C Shares 1,000.00 1,021.00 0.70% 3.51 Class H Shares 1,000.00 1,021.40 0.63% 3.16 Sweep Class Shares 1,000.00 1,019.80 0.95% 4.76 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,023.80 0.20% $ 1.00 Class B Shares 1,000.00 1,022.32 0.50% 2.51 Class C Shares 1,000.00 1,021.32 0.70% 3.51 Class H Shares 1,000.00 1,021.67 0.63% 3.16 Sweep Class Shares 1,000.00 1,020.08 0.95% 4.76 - --------------------------------------------------------------------------------------------- BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 2/01/06 7/31/06 RATIOS PERIOD* - --------------------------------------------------------------------------------------------- TREASURY FUND - --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,023.00 0.20% $ 1.00 Class B Shares 1,000.00 1,021.50 0.50% 2.51 Class C Shares 1,000.00 1,020.50 0.70% 3.51 Sweep Class Shares 1,000.00 1,019.30 0.95% 4.76 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,023.80 0.20% $ 1.00 Class B Shares 1,000.00 1,022.32 0.50% 2.51 Class C Shares 1,000.00 1,021.32 0.70% 3.51 Sweep Class Shares 1,000.00 1,020.08 0.95% 4.76 - --------------------------------------------------------------------------------------------- TREASURY II FUND - --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,021.50 0.25% $ 1.25 Class B Shares 1,000.00 1,020.00 0.55% 2.75 Class C Shares 1,000.00 1,018.90 0.75% 3.75 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,023.55 0.25% $ 1.25 Class B Shares 1,000.00 1,022.07 0.55% 2.76 Class C Shares 1,000.00 1,021.08 0.75% 3.76 - --------------------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND - --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,014.10 0.45% $ 2.25 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,022.56 0.45% $ 2.26 - --------------------------------------------------------------------------------------------- INTERMEDIATE-DURATION GOVERNMENT FUND - --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,007.40 0.45% $ 2.24 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,022.56 0.45% $ 2.26 - --------------------------------------------------------------------------------------------- GNMA FUND - --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,001.90 0.60% $ 2.98 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,021.82 0.60% $ 3.01 - --------------------------------------------------------------------------------------------- ULTRA SHORT BOND FUND - --------------------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $ 1,000.00 $ 1,020.70 0.35% $ 1.75 HYPOTHETICAL 5% RETURN Class A Shares $ 1,000.00 $ 1,023.06 0.35% $ 1.76
* Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period shown). - -------------------------------------------------------------------------------- SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 47 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 8 and March 9, 2006 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board's approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including: o the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; - -------------------------------------------------------------------------------- 48 SEI Daily Income Trust / Semi-Annual Report / July 31, 2006 o each Fund's investment performance and how it compared to that of other comparable mutual funds; 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-Advisors, the Board took into account the fact that the Sub-Advisors are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Advisor reflects an arms-length negotiation between the Sub-Advisor 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 / Semi-Annual Report / July 31, 2006 49 NOTES NOTES NOTES SEI DAILY INCOME TRUST SEMI-ANNUAL REPORT JULY 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 Russell Emery CHIEF COMPLIANCE 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) [LOGO OMITTED] SEI New Ways. New Answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-037 (7/06) ITEM 2. CODE OF ETHICS. Not applicable for semi-annual report. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable for semi-annual report. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for semi-annual report. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable 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) Not applicable for semi-annual report. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. - -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Daily Income Trust By (Signature and Title)* /s/ Robert A. Nesher --------------------------------- Robert A. Nesher, President & CEO Date: September 27, 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, President & CEO Date: September 27, 2006 By (Signature and Title)* /s/ Stephen F. Panner ----------------------------------- Stephen F. Panner, Controller & CFO Date: September 27, 2006 * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 sditsar7_06cert302rn.txt SEI DAILY INCOME TRUST 7_06 CERT 302_RN CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, ROBERT A. NESHER, certify that: 1. I have reviewed this report on Form N-CSR of SEI Daily Income Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 27, 2006 /s/ Robert A. Nesher ---------------------------------- Robert A. Nesher, President & CEO EX-99.CERT 3 sditsar7_06cert302sp.txt SEI DAILY INCOME TRUST SAR 7_06 CERT 302_SP CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, STEPHEN F. PANNER, certify that: 1. I have reviewed this report on Form N-CSR of SEI Daily Income Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: September 27, 2006 /s/ Stephen F. Panner ------------------------------------ Stephen F. Panner, Controller & CFO EX-99.906CERT 4 sditsar7_06cert906rn.txt SEI DAILY INCOME TRUST SAR 7_06 CERT 906_RN CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the President & CEO of SEI Daily Income Trust (the "Fund"), with respect to the Fund's Form N-CSR for the period ended July 31, 2006 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: September 27, 2006 /s/ Robert A. Nesher -------------------- Robert A. Nesher EX-99.906CERT 5 sditsar7_06cert906sp.txt SEI DAILY INCOME TRUST SAR 7_06 CERT 906_SP CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Controller & CFO of SEI Daily Income Trust (the "Fund"), with respect to the Fund's Form N-CSR for the period ended July 31, 2006 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: September 27, 2006 /s/ Stephen F. Panner --------------------- Stephen F. Panner -----END PRIVACY-ENHANCED MESSAGE-----