-----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, S/ptRSvjb4Sm9ipsx2wHQOJDGevBs6ZUPeD+e/uoqerI+5YDNVfDgPun1zeh+3xm mMkuKfdtVxlE9X0QeeMmpg== 0000935069-07-000828.txt : 20070411 0000935069-07-000828.hdr.sgml : 20070411 20070410175329 ACCESSION NUMBER: 0000935069-07-000828 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 6 CONFORMED PERIOD OF REPORT: 20070131 FILED AS OF DATE: 20070411 DATE AS OF CHANGE: 20070410 EFFECTIVENESS DATE: 20070411 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-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-03451 FILM NUMBER: 07759723 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-CSR 1 sditar1_07comb.txt SEI DAILY INCOME TRUST AR 1_07 UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSR -------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER 811-03451 SEI DAILY INCOME TRUST (Exact name of registrant as specified in charter) -------- c/o CT Corporation 101 Federal Street Boston, MA 02110 (Address of principal executive offices) (Zip code) SEI Investments One Freedom Valley Drive Oaks, PA 19456 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734 DATE OF FISCAL YEAR END: JANUARY 31, 2007 DATE OF REPORTING PERIOD: JANUARY 31, 2007 ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] SEI New ways. New answers.(R) - -------------------------------------------------------------------------------- SEI Daily Income Trust - -------------------------------------------------------------------------------- Annual Report as of January 31, 2007 - -------------------------------------------------------------------------------- Money Market Fund Government Fund Government II Fund Prime Obligation Fund Treasury Fund Treasury II Fund Short-Duration Government Fund Intermediate-Duration Government Fund GNMA Fund Ultra Short Bond Fund - -------------------------------------------------------------------------------- TABLE OF CONTENTS Letter to Shareholders 1 - -------------------------------------------------------------------------------- Management's Discussion and Analysis of Fund Performance 2 - -------------------------------------------------------------------------------- Schedules of Investments 7 - -------------------------------------------------------------------------------- Statements of Assets and Liabilities 28 - -------------------------------------------------------------------------------- Statements of Operations 30 - -------------------------------------------------------------------------------- Statements of Changes in Net Assets 32 - -------------------------------------------------------------------------------- Financial Highlights 36 - -------------------------------------------------------------------------------- Notes to Financial Statements 41 - -------------------------------------------------------------------------------- Report of Independent Registered Public Accounting Firm 48 - -------------------------------------------------------------------------------- Trustees and Officers of the Trust 49 - -------------------------------------------------------------------------------- Disclosure of Fund Expenses 52 - -------------------------------------------------------------------------------- Board of Trustees Considerations in Approving the Continuation of the Funds' Advisory and Sub-Advisory Agreements 54 - -------------------------------------------------------------------------------- Notice to Shareholders 56 - -------------------------------------------------------------------------------- The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q are available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Since the Funds in SEI Daily Income Trust typically hold only fixed income securities, they generally are not expected to hold securities for which they may be required to vote proxies. Regardless, in light of the possibility that a Fund could hold a security for which a proxy is voted, the Trust has adopted proxy voting policies. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available without charge (i) upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. SEI DAILY INCOME TRUST -- JANUARY 31, 2007 Letter to Shareholders TO OUR SHAREHOLDERS: The fixed income markets struggled early in the year as strong economic growth prodded the Federal Reserve, headed by its new chairman, Dr. Ben Bernanke, to tighten monetary policy. By June, the Fed raised its target for the Federal Funds Rate by 0.75%, to 5.25%. Yields of short-term issues closely tracked the Feds Funds Rate, while yields on longer term bonds, encouraged by quiescent inflation in the second half of the year, and strong investor demand, ended the year only slightly higher than where they began. This environment provided a positive backdrop for short-term income generating funds, especially money market funds. We'd be remiss if we didn't mention the significant decline in market volatility and risk premiums during the year. Other than a sharp but short-termed spike in May, volatility and credit spread (the difference between a risk free Treasury yield and the yield on a corporate bond), remained on a fairly steady trajectory lower, propelling equities and corporate bond returns upward. Steady market fundamentals also lent support to the markets as the corporate environment remained on solid ground with default rates at near historical lows and strong corporate earnings growth. During the fiscal year ended January 31, 2007, the SEI Daily Income Trust funds performed in line with the overall fixed income market. As always, we thank you for your continued confidence in the SEI Daily Income Trust and we look forward to serving your investment needs in the future. Sincerely, /s/ Robert A. Nesher Robert A. Nesher President - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2007 Short-Duration Government Fund Objectives The Short-Duration Government Fund (the "Fund") seeks to preserve principal value and maintain a high degree of liquidity while providing current income. The Fund invests in securities issued by the U.S. Government and backed by its full faith and credit, and securities issued by the U.S. Government agencies. The weighted average maturity of the Fund is approximately three years. The Fund seeks to provide a higher level of sustainable income and total return than money market investments, with limited principal fluctuations. Strategy The Fund's weighted average maturity will be managed to take advantage of anticipated changes in the direction of interest rates. The distribution of maturities for individual securities will also be managed to take advantage of expected changes in the shape of the yield curve. Treasury and agency securities will form the core of the Fund, and agency-backed mortgage securities will be utilized when their yields are judged to be attractive relative to those of Treasuries and agencies. Market Overview The fixed income markets generated modest positive returns for the year ended January 31, 2007. Strong economic data and soaring commodity prices pushed expectations for more restrictive Federal Reserve policy early in the year. However, a dramatically weaker housing sector mid year and slower productivity resulted in a Federal Reserve pause in the second half and a more normalized growth pace in the 2.0-2.5% range by year end. Strong sponsorship from global money managers, non traditional buyers and central banks provided strong technical support for bonds, especially structured securities, as too much capital chased too few assets. Even the decline in the U.S. dollar did little to slow foreign investment in the U.S. Ten-year U.S. Treasury rates gyrated throughout the year before climbing higher by 29 basis points to end the fiscal year at 4.81%. Short term rates, however, increased more dramatically, up 0.64% for the year, as the U.S. Federal Reserve, headed by new chairman Ben S. Bernanke, hiked rates to continue to battle the threat of rising inflation. This movement in rates produced an inverted yield curve with 3-month Treasury bills yielding 5.10% and 30-year Treasury bonds yielding 4.91%. The government sector generated a positive return for the year. The U.S. agency sector delivered higher returns than U.S. Treasuries with prices pushed higher as supply was limited due to regulatory restraints on capital at Freddie Mac and Fannie Mae. The mortgage-backed sector also posted reasonable results as low volatility and a tighter than expected trading range of interest rates provided a positive impetus for the sector. Analysis For the fiscal year ended January 31, 2007, the Short-Duration Government Fund, Class A posted a 3.84% return compared to a 4.01% return for its benchmark, the Merrill Lynch 1-3 Year U.S. Treasury Bond Index. The Fund's allocation to Treasury Inflation-Protected Securities (TIPS) detracted from performance as inflation was in line with market expectations. Exposure to U.S. agencies and mortgage-backed securities positively contributed to performance. The Fund's yield curve positioning and defensive interest rate posture relative to the benchmark was also an additive as interest rates rose and the yield curve flattened. Short-Duration Government Fund AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3-Year 5-Year 10-Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Short-Duration Government Fund, Class A 3.84% 2.24% 2.70% 4.46% 5.56% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the Short-Duration Government Fund, Class A, versus the Merrill Lynch 1-3 Year U.S. Treasury Bond Index. The chart assumes all dividends and capital gain distributions are reinvested. [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Short Duration Merrill Lynch 1-3 Year Government Fund, Class A U.S. Treasury Bond Index 1/31/97 $10,000 $10,000 1/31/98 10,723 10,719 1/31/99 11,419 11,404 1/31/00 11,672 11,703 1/31/01 12,739 12,802 1/31/02 13,539 13,721 1/31/03 14,256 14,480 1/31/04 14,476 14,786 1/31/05 14,615 14,886 1/31/06 14,898 15,164 1/31/07 15,470 15,772 1 For the period ended January 31, 2007. Past performance is not predictive of future performance. Class A shares were offered beginning 2/17/87. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. - -------------------------------------------------------------------------------- 2 SEI Daily Income Trust / Annual Report / January 31, 2007 Intermediate-Duration Government Fund Objectives The Intermediate-Duration Government Fund (the "Fund") seeks to preserve principal value and maintain a high degree of liquidity while providing current income. The Fund invests in securities issued by the U.S. Government and backed by its full faith and credit, and securities issued by the U.S. Government agencies. The weighted average maturity of the Fund is three to five years. The Fund seeks to provide a higher level of sustainable income and total return than money market investments, with limited principal fluctuations. Strategy The Fund's weighted average maturity will be managed to take advantage of anticipated changes in the direction of interest rates. The distribution of maturities for individual securities will also be managed to take advantage of expected changes in the shape of the yield curve. The Fund focuses on Treasury and agency securities, and agency mortgage-backed securities will be utilized when their prospects for enhancing income and total return are judged to be attractive. Market Overview The fixed income markets generated modest positive returns for the year ended January 31, 2007. Strong economic data and soaring commodity prices pushed expectations for more restrictive Federal Reserve policy early in the year. However, a dramatically weaker housing sector mid-year and slower productivity resulted in a Federal Reserve pause in the second half and a more normalized growth pace in the 2.0-2.5% range by year end. Strong sponsorship from global money managers, non traditional buyers and central banks provided strong technical support for bonds, especially structured securities, as too much capital chased too few assets. Even the decline in the U.S. dollar did little to slow foreign investment in the U.S. Ten-year U.S. Treasury rates gyrated throughout the year before climbing higher by 29 basis points to end the fiscal year at 4.81%. Short term rates, however, increased more dramatically, up 0.64% for the year, as the U.S. Federal Reserve, headed by new chairman Ben S. Bernanke, hiked rates to continue to battle the threat of rising inflation. This movement in rates produced an inverted yield curve with 3-month Treasury bills yielding 5.10% and 30-year Treasury bonds yielding 4.91%. The government sector generated a positive return for the year. The U.S. agency sector delivered higher returns than U.S. Treasuries with prices pushed higher as supply was limited due to regulatory restraints on capital at Freddie Mac and Fannie Mae. The mortgage-backed sector also posted reasonable results as low volatility and a tighter than expected trading range of interest rates provided a positive impetus for the sector. Analysis For the fiscal year ended January 31, 2007, the Intermediate-Duration Government Fund, Class A posted a return of 3.64% versus the 3.62% return of its benchmark, the Merrill Lynch 3-5 year U.S. Treasury Bond Index. The Fund's allocation to Treasury Inflation-Protected Securities (TIPS) detracted from performance as inflation was in line with market expectations. Yield curve positioning and defensive interest rate posture was additive to performance as interest rates rose for the year and the shape of the yield curve flattened. Exposure to U.S. agencies, select Fannie Mae securities and mortgage-backed securities was also a positive contributor to performance as spreads tightened relative to U.S. Treasuries. Intermediate-Duration Government Fund AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3-Year 5-Year 10-Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Intermediate-Duration Government Fund, Class A 3.64% 2.14% 3.67% 5.32% 6.27% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the Intermediate-Duration Government Fund, Class A, versus the Merrill Lynch 3-5 Year U.S. Treasury Bond Index. The chart assumes all dividends and capital gain distributions are reinvested. [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Intermediate-Duration Merrill Lynch 3-5 Year Government Fund, Class A U.S. Treasury Bond Index 1/31/97 $10,000 $10,000 1/31/98 10,915 10,929 1/31/99 11,729 11,807 1/31/00 11,639 11,680 1/31/01 13,085 13,179 1/31/02 14,025 14,182 1/31/03 15,304 15,659 1/31/04 15,760 16,211 1/31/05 16,052 16,451 1/31/06 16,203 16,590 1/31/07 16,793 17,191 1 For the period ended January 31, 2007. Past performance is not predictive of future performance. Class A shares were offered beginning 2/17/87. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2007 GNMA Fund Objectives The GNMA Fund (the "Fund") seeks to preserve principal value and maintain a high degree of liquidity while providing current income. The Fund invests primarily in mortgage-backed securities issued by the Government National Mortgage Association and backed by the full faith and credit of the U.S. Government. Strategy The Fund's investment strategy emphasizes the distribution of security coupon rates, the weighted average coupon rate, and the selection of appropriate underlying mortgage types. The selection of coupon rates affects the sensitivity of the Fund to changes in reinvestment risk associated with loan prepayment. The Fund will therefore tend to purchase somewhat lower coupons when interest rates are expected to fall, and somewhat higher coupons when interest rates are expected to be stable or rising. Market Overview The fixed income markets generated modest positive returns for the year ended January 31, 2007. Strong economic data and soaring commodity prices pushed expectations for more restrictive Federal Reserve policy early in the year. However, a dramatically weaker housing sector mid-year and slower productivity resulted in a Federal Reserve pause in the second half and a more normalized growth pace in the 2.0-2.5% range by year end. Strong sponsorship from global money managers, non traditional buyers and central banks provided strong technical support for bonds, especially structured securities, as too much capital chased too few assets. Even the decline in the U.S. dollar did little to slow foreign investment in the U.S. Ten-year U.S. Treasury rates gyrated throughout the year before climbing higher by 29 basis points to end the fiscal year at 4.81%. Short-term rates, however, increased more dramatically, up 0.64% for the year, as the U.S. Federal Reserve, headed by new chairman Ben S. Bernanke, hiked rates to continue to battle the threat of rising inflation. This movement in rates produced an inverted yield curve with 3-month Treasury bills yielding 5.10% and 30-year Treasury bonds yielding 4.91%. The mortgage-backed securities sector posted better performance than the overall U.S. bond market; however, Ginnie Mae securities lagged the performance of conventional mortgages (Fannie Mae and Freddie Mac). While low volatility and a tighter than expected trading range of interest rates provided positive impetus for the mortgage sector, Ginnie Maes were susceptible to vagaries of foreign participation and secondary market selling in the U.S. securities market. Analysis For the fiscal year ended January 31, 2007, the GNMA Fund, Class A posted a 3.65% return versus the 3.98% return of its benchmark, the Citigroup 30-Year GNMA Index. The Fund's shorter duration positioning, while having a positive impact early in the period, detracted from performance in the second half of the year. Additionally, allocations to 15 year securities exhibited weaker performance than 30 year securities. The Fund benefited from its allocation to higher coupon securities with prices increasing as investors sought higher yield. GNMA Fund AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3-Year 5-Year 10-Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- GNMA Fund, Class A 3.65% 3.29% 3.94% 5.48% 6.72% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the GNMA Fund, Class A, versus the Citigroup 30-Year GNMA Index. The chart assumes all dividends and capital gain distributions are reinvested. [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] GNMA Fund, Class A Citigroup 30 Year GNMA Index 1/31/97 $10,000 $10,000 1/31/98 10,952 10,932 1/31/99 11,692 11,662 1/31/00 11,554 11,719 1/31/01 13,107 13,352 1/31/02 14,054 14,376 1/31/03 15,140 15,507 1/31/04 15,467 15,991 1/31/05 16,030 16,666 1/31/06 16,447 17,173 1/31/07 17,047 17,856 1 For the period ended January 31, 2007. Past performance is not predictive of future performance. Class A shares were offered beginning 3/20/87. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. - -------------------------------------------------------------------------------- 4 SEI Daily Income Trust / Annual Report / January 31, 2007 Ultra Short Bond Fund Objectives The Ultra Short Bond Fund (the "Fund") seeks to provide a higher current income than typically offered by a money market fund while maintaining a high degree of liquidity and minimal principal volatility. The Fund invests in U.S. Treasury and U.S. Agency securities, short average life mortgage-backed securities, and short term investment grade securities of U.S. issuers. The duration of the Fund will range between six and eighteen months. Strategy The Fund seeks to provide a return in excess of the Lehman 9-12 Month Treasury Index and to manage risk through the sub-adviser's use of sector strategies, security selection and duration management. In determining the average maturity and duration position of the Fund, the sub-adviser considers the shape of the yield curve, the extent of yield changes and the period of time over which rates are likely to rise, fall or remain stable. Investment in short average life mortgage-backed issues and short-term investment grade securities is emphasized when relative spreads are attractive and incremental yields serve to enhance total return. Market Overview The fixed income markets generated modest positive returns for the year ended January 31, 2007. Strong economic data and soaring commodity prices pushed expectations for more restrictive Federal Reserve policy early in the year. However, a dramatically weaker housing sector mid-year and slower productivity resulted in a Federal Reserve pause in the second half and a more normalized growth pace in the 2.0-2.5% range by year end. Strong sponsorship from global money managers, non traditional buyers and central banks provided strong technical support for bonds, especially structured securities, as too much capital chased too few assets. Even the decline in the U.S. dollar did little to slow foreign investment in the U.S. Ten-year U.S. Treasury rates gyrated throughout the year before climbing higher by 29 basis points to end the fiscal year at 4.81%. Short-term rates, however, increased more dramatically, up 0.64% for the year, as the U.S. Federal Reserve, headed by new chairman Ben S. Bernanke, hiked rates to continue to battle the threat of rising inflation. This movement in rates produced an inverted yield curve with 3-month Treasury bills yielding 5.10% and 30-year Treasury bonds yielding 4.91%. All of the spread sectors registered positive excess returns for the year. Spread contraction added to performance as did investor demand for higher yield securities. Low volatility and a tighter than expected trading range of interest rates provided positive impetus for the mortgage sector The collateralized mortgage-backed securities also enjoyed good performance on strong fundamentals and unflagging demand from collateralized debt obligations and hedge funds as well as more traditional investors. The asset-backed securities sector lagged the other sectors of the market but still generated positive return versus U.S. Treasuries even as fourth quarter 2006 weakness in home equity spreads amid fears of a downturn in the housing market pressured spreads wider. Event risk overshadowed the credit sector throughout the year with the size and frequency of leveraged buy outs and mergers & acquisitions deals continuing to accelerate into year end. However, the sector surprisingly managed to outperform Treasuries as spreads tightened and the credit curve proved steep enough to offer incremental return. Analysis For the fiscal year ended January 31, 2007, the Ultra Short Bond Fund, Class A returned 4.88%, versus the 4.51% return of its benchmark, the Lehman Brothers 9-12 Month Treasury Index. The Fund's allocation to the spread sectors, especially mortgage and asset-backed securities was the major catalyst for return. Corporate bond holdings, both fixed and floating rate, turned in exceptional results as the Fund successfully benefited from superior security selection. Additionally, with the Federal Reserve's rate hikes widely anticipated in the first half of the year, Wellington's defensive strategy of having shorter than benchmark duration also paid off. Ultra Short Bond Fund AVERAGE ANNUAL TOTAL RETURN 1 - -------------------------------------------------------------------------------- Annualized Annualized Annualized Annualized One Year 3-Year 5-Year 10-Year Inception Return Return Return Return to Date - -------------------------------------------------------------------------------- Ultra Short Bond Fund, Class A 4.88% 2.95% 2.76% 4.38% 4.60% - -------------------------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the Ultra Short Bond Fund, Class A, versus the Lehman Brothers 9-12 Month Treasury Index. The chart assumes all dividends and capital gain distributions are reinvested. [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Ultra Short Bond Fund, Lehman Brothers 9-12 Month Class A Treasury Index 1/31/97 $10,000 $10,000 1/31/98 10,629 10,626 1/31/99 11,225 11,241 1/31/00 11,648 11,731 1/31/01 12,633 12,618 1/31/02 13,401 13,315 1/31/03 13,850 13,708 1/31/04 14,073 13,910 1/31/05 14,229 14,037 1/31/06 14,642 14,410 1/31/07 15,356 15,060 1 For the period ended January 31, 2007. Past performance is no indication of future performance. Class A shares were offered beginning 9/28/93. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2007 DEFINITION OF THE COMPARATIVE INDICES* CITIGROUP 30-YEAR GNMA INDEX is a widely-recognized, market weighted index of GNMA mortgage-backed securities with remaining maturities of 30 years or less. LEHMAN BROTHERS 9-12 MONTH TREASURY INDEX is a widely-recognized, market weighted index of U.S. Treasury Bonds with remaining maturities between nine and twelve months. MERRILL LYNCH 1-3 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market weighted index of U.S. Treasury Bonds with maturities between one and three years. MERRILL LYNCH 3-5 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market weighted index of U.S. Treasury Bonds with maturities between three and five years. * An index measures the market price of a specific group of securities in a particular market or securities in a market sector. You cannot invest directly in an index. An index does not have an investment adviser and does not pay any commissions or expenses. If an index had expenses, its performance would be lower. - -------------------------------------------------------------------------------- 6 SEI Daily Income Trust / Annual Report / January 31, 2007 SCHEDULE OF INVESTMENTS Money Market Fund January 31, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 34.7% Corporate Bonds 24.0% Commercial Paper 21.8% Certificates of Deposit 15.4% Repurchase Agreement 3.6% Insurance Funding Agreements 0.5% Municipal Bond * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CORPORATE BONDS (B) -- 34.7% ASSET BACKED - FINANCIAL SERVICES -- 6.9% Atlas Capital Funding MTN (E) 5.310%, 02/15/07 to 02/27/07 $ 55,000 $ 55,000 Irish Life & Permanent PLC (E) 5.340%, 02/22/07 14,000 14,002 K2 (USA) LLC MTN (E) 5.320%, 04/24/07 5,000 4,999 Mesa Properties LLC 5.400%, 02/01/07 2,500 2,500 -------------- 76,501 -------------- ASSET BACKED - OTHER (E) -- 19.6% Cullinan Finance MTN 5.333%, 02/15/07 25,000 24,999 Harrier Finance LLC MTN 5.333%, 02/15/07 15,000 15,000 Holmes Finance PLC, Ser 10A, Cl 1A 5.290%, 02/15/07 30,000 30,000 Links Finance LLC MTN 5.320%, 04/02/07 10,000 10,000 Paragon Mortgages PLC, Ser 10A, Cl A1 5.300%, 02/15/07 10,847 10,847 Paragon Mortgages PLC, Ser 13A, Cl A1 5.310%, 02/15/07 24,618 24,618 Sedna Finance MTN 5.325%, 03/08/07 15,000 14,999 Sigma Finance MTN, Ser 1 5.320%, 03/16/07 45,000 44,999 Tango Finance MTN 5.322%, 04/16/07 25,000 24,999 Whistlejacket Capital MTN 5.320%, 02/21/07 to 02/28/07 16,000 15,999 -------------- 216,460 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- BANKS -- 7.3% BNP Paribas MTN 5.330%, 03/16/07 $ 9,000 $ 9,000 Banque Federative du Credit Mutuel (E) 5.320%, 02/13/07 2,000 2,000 Natexis Banques Populaires LLC NY (E) 5.365%, 02/09/07 35,000 35,000 Northern Rock PLC (E) 5.320%, 02/05/07 10,000 10,000 Westpac Banking NY (E) 5.340%, 03/12/07 25,000 25,000 -------------- 81,000 -------------- INVESTMENT BANKER/BROKER DEALER -- 0.9% Goldman Sachs Group (C) 5.380%, 02/13/07 10,000 10,000 -------------- Total Corporate Bonds (Cost $383,961) ($ Thousands) 383,961 -------------- COMMERCIAL PAPER (A) -- 23.9% ASSET BACKED - FINANCIAL SERVICES --23.9% Citibank Credit Card Issue Trust 5.320%, 04/13/07 40,000 39,585 Georgetown Funding 5.317%, 02/20/07 40,000 39,888 Giro Balanced Funding 5.291%, 02/13/07 50,000 49,912 Klio II Funding 5.316%, 04/17/07 40,000 39,563 Lexington Parker Capital 5.293%, 02/16/07 40,000 39,912 Rhineland Funding Capital 5.366%, 02/06/07 30,000 29,978 Victory Receivables 5.300%, 03/16/07 26,000 25,837 -------------- Total Commercial Paper (Cost $264,675) ($ Thousands) 264,675 -------------- CERTIFICATES OF DEPOSIT -- 21.7% BNP Paribas (B) 5.305%, 03/26/07 30,000 29,995 5.306%, 03/27/07 30,000 29,995 Barclays Bank PLC NY 5.500%, 06/18/07 4,000 4,000 Comerica Bank (B) 5.335%, 04/20/07 21,000 20,998 - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 7 SCHEDULE OF INVESTMENTS Money Market Fund (Concluded) January 31, 2007 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- 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 5.250%, 04/03/07 7,500 7,500 5.420%, 01/16/08 14,000 14,000 Deutsche Bank 4.950%, 02/06/07 9,000 9,000 4.805%, 02/21/07 8,000 8,000 Deutsche Bank NY 5.400%, 11/21/07 to 12/12/07 22,000 22,000 Goldman Sachs 5.450%, 06/12/07 14,000 14,000 Natexis Banq Populair LLC NY (B) 5.410%, 08/11/07 15,000 15,000 Rhineland Funding Capital (B) 5.350%, 02/07/07 25,000 25,000 Societe Generale 5.500%, 06/18/07 4,000 4,000 Swedbank (B) 5.315%, 03/15/07 16,000 15,998 -------------- Total Certificates of Deposit (Cost $239,986) ($ Thousands) 239,986 -------------- INSURANCE FUNDING AGREEMENTS (B) (C) (F) -- 3.6% Metropolitan Life Insurance 5.440%, 04/15/07 30,000 30,000 Monumental Life Insurance 5.520%, 03/01/07 9,500 9,500 -------------- Total Insurance Funding Agreements (Cost $39,500) ($ Thousands) 39,500 -------------- MUNICIPAL BOND -- 0.5% TEXAS -- 0.5% Texas State, Veterans Funding II Project, Ser D, GO (B) 5.300%, 02/07/07 5,270 5,270 -------------- Total Municipal Bond (Cost $5,270) ($ Thousands) 5,270 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (D) -- 15.3% Deutsche Bank 5.260%. dated 01/31/07, to be repurchased on 02/01/07, repurchase price $169,999,835 (collateralized by various FHLB/ FNMA obligations, ranging in par value $21,944,000-$55,440,000, 3.750%-6.865%, 04/15/07- 08/10/09, with total market value $173,375,220) $ 169,975 $ 169,975 -------------- Total Repurchase Agreement (Cost $169,975) ($ Thousands) 169,975 -------------- Total Investments -- 99.7% (Cost $1,103,367) ($ Thousands) $ 1,103,367 ============== Percentages are based on Net Assets of $1,106,398 ($ Thousands). (A) The rate reported is the effective yield at time of purchase. (B) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2007. The date shown is the earlier of the reset date or the demand date. (C) Securities considered illiquid. The total value of such securities as of January 31, 2007 was $49,500 ($ Thousands) and represented 4.48% of Net Assets. (D) Tri-Party Repurchase Agreement. (E) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (F) This security considered restricted. The total value of such securities as of January 31, 2007 was $39,500 ($ Thousands) and represented 3.57% of Net Assets (See Note 2 in Notes to Financial Statements). Cl -- Class FHLB -- Federal Home Loan Bank FNMA -- Federal National Mortgage Association GO -- General Obligation LLC -- Limited Liability Company MTN -- Medium Term Note NY -- New York PLC -- Public Limited Company Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 8 SEI Daily Income Trust / Annual Report / January 31, 2007 Government Fund January 31, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 63.7% U.S. Government Agency Obligations 36.3% Repurchase Agreements * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 63.6% FFCB (A) 5.205%, 02/01/07 $ 10,000 $ 10,000 5.195%, 02/01/07 19,395 19,392 5.190%, 02/06/07 32,000 31,994 5.210%, 02/13/07 10,000 9,997 5.220%, 02/24/07 10,000 9,997 5.260%, 03/08/07 50,000 50,001 5.250%, 03/27/07 10,000 10,000 FFCB, Ser 1 (A) 5.170%, 02/19/07 30,000 29,990 5.240%, 04/27/07 30,000 29,999 FHLB 5.230%, 02/14/07 (A) 10,000 9,998 5.220%, 03/08/07 (A) 40,000 39,983 4.000%, 04/25/07 8,000 7,978 FHLB, Ser 1 5.200%, 04/04/07 (A) 30,000 29,985 5.350%, 12/28/07 13,000 13,000 FHLB, Ser 459 2.450%, 03/23/07 5,500 5,479 FHLB, Ser 636 (A) 5.234%, 02/10/07 25,000 24,995 FHLMC 2.375%, 02/15/07 7,000 6,992 5.235%, 03/19/07 (A) 30,000 29,997 5.230%, 03/22/07 (A) 25,000 24,998 5.225%, 04/06/07 (A) 35,000 34,994 FHLMC MTN (A) 5.172%, 02/27/07 25,000 24,994 FNMA 3.100%, 03/14/07 10,000 9,976 5.225%, 03/21/07 (A) 25,000 24,996 5.410%, 12/28/07 8,000 8,000 -------------- Total U.S. Government Agency Obligations (Cost $497,735) ($ Thousands) 497,735 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (B) -- 36.3% Deutsche Bank 5.260%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $109,181,950 (collateralized by various FHLB/FHLMC/FNMA obligations, ranging in par value $5,505,000- $50,000,000, 3.750%-5.920%, 11/21/07-01/15/37, with total market value $111,350,549) $ 109,166 $ 109,166 Goldman Sachs 5.260%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $175,025,569 (collateralized by various FHLB/FHLMC/FNMA obligations, ranging in par value $5,395,000- $17,235,000, 3.650%-6.125%, 03/10/08-10/27/25, with total market value $178,501,308) 175,000 175,000 -------------- Total Repurchase Agreements (Cost $284,166) ($ Thousands) 284,166 -------------- Total Investments -- 99.9% (Cost $781,901) ($ Thousands) $ 781,901 ============== Percentages are based on Net Assets of $782,861 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2007. 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 / Annual Report / January 31, 2007 9 SCHEDULE OF INVESTMENTS Government II Fund January 31, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [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 -- 100.0% FFCB (B) 5.205%, 02/01/07 $ 10,000 $ 10,000 5.185%, 02/13/07 10,000 9,998 5.210%, 02/13/07 to 04/20/07 53,000 52,988 5.180%, 02/18/07 to 02/28/07 23,050 23,044 5.220%, 02/24/07 40,000 39,986 5.190%, 02/28/07 25,000 24,997 5.230%, 03/10/07 30,000 29,993 5.250%, 03/21/07 to 03/27/07 35,000 35,000 FFCB DN (A) 5.130%, 02/05/07 15,000 14,991 FFCB, Ser 1 (B) 5.220%, 02/01/07 11,530 11,530 5.170%, 02/19/07 5,000 4,998 5.240%, 04/25/07 30,000 29,999 FHLB 5.230%, 02/14/07 (B) 10,000 9,998 4.360%, 02/22/07 (B) 6,005 6,002 5.220%, 03/08/07 (B) 20,000 19,992 3.140%, 03/14/07 25,000 24,942 5.200%, 04/10/07 (B) 25,000 24,991 5.200%, 04/17/07 (B) 25,000 24,993 4.000%, 04/25/07 8,000 7,978 3.250%, 04/27/07 2,000 1,991 5.125%, 05/15/07 4,175 4,172 2.650%, 07/12/07 100 99 FHLB DN (A) 4.670%, 02/01/07 37,599 37,599 5.180%, 02/21/07 60,000 59,827 5.140%, 03/07/07 49,080 48,842 5.197%, 04/18/07 28,000 27,697 FHLB, Ser 1 5.350%, 12/28/07 12,000 12,000 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FHLB, Ser 1 (B) 5.165%, 02/14/07 $ 25,000 $ 24,989 5.200%, 04/24/07 50,000 49,973 FHLB, Ser 447 2.625%, 02/16/07 500 499 FHLB, Ser 469 3.375%, 09/14/07 815 806 FHLB, Ser 585 (B) 5.220%, 04/04/07 10,000 9,999 FHLB, Ser 590 4.500%, 04/17/07 12,250 12,224 FHLB, Ser 613 (B) 5.185%, 02/02/07 75,000 74,991 FHLB, Ser 636 (B) 5.234%, 02/10/07 25,000 24,995 FHLB, Ser L907 3.010%, 02/27/07 3,000 2,995 TVA DN (A) 5.152%, 03/01/07 25,000 24,900 -------------- Total U.S. Government Agency Obligations (Cost $825,018) ($ Thousands) 825,018 -------------- Total Investments -- 100.0% (Cost $825,018) ($ Thousands) $ 825,018 ============== Percentages are based on Net Assets of $825,238 ($ Thousands). (A) The rate reported is the effective yield at time of purchase. (B) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2007. 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 TVA -- Tennessee Valley Authority The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 10 SEI Daily Income Trust / Annual Report / January 31, 2007 Prime Obligation Fund January 31, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 38.3% Commercial Paper 27.5% Corporate Bonds 16.2% Certificates of Deposit 11.6% Repurchase Agreement 5.2% Insurance Funding Agreements 0.9% Time Deposit 0.3% Municipal Bond * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- COMMERCIAL PAPER (A) -- 38.4% ASSET BACKED - FINANCIAL SERVICES -- 38.4% Carrera Capital Finance LLC 5.329%, 04/20/07 $ 37,500 $ 37,073 Citibank Credit Card Issue Trust 5.347%, 02/14/07 100,000 99,810 5.320%, 04/13/07 110,000 108,860 Citius I Funding LLC 5.298%, 02/21/07 157,900 157,437 Crown Point Capital 5.296%, 02/20/07 136,735 136,355 Curzon Funding LLC 5.320%, 04/24/07 148,000 146,230 FCAR Owner Trust I 5.339%, 07/09/07 15,000 14,658 5.350%, 07/24/07 150,000 146,244 FCAR Owner Trust II 5.359%, 07/23/07 20,500 19,989 Georgetown Funding 5.317%, 02/20/07 54,852 54,699 Giro Balanced Funding 5.291%, 02/13/07 75,000 74,868 5.280%, 02/20/07 47,447 47,315 5.318%, 04/16/07 91,853 90,862 Grampian Funding LLC 5.344%, 07/24/07 75,000 73,124 Greyhawk Funding LLC 5.320%, 04/24/07 104,740 103,487 Klio II Funding 5.306%, 03/01/07 60,000 59,754 5.316%, 04/17/07 60,000 59,344 Klio III Funding 5.299%, 02/20/07 35,517 35,418 Lexington Parker Capital 5.293%, 02/16/07 100,000 99,780 Ormond Quay Funding LLC (B) 5.280%, 02/28/07 50,000 49,991 Silver Tower US Funding 5.356%, 02/02/07 100,000 99,985 5.342%, 02/06/07 50,000 49,963 Victory Receivables 5.298%, 03/13/07 150,000 149,123 -------------- Total Commercial Paper (Cost $1,914,369) ($ Thousands) 1,914,369 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CORPORATE BONDS -- 27.6% ASSET BACKED - FINANCIAL SERVICES (B) (E) -- 8.1% Atlas Capital Funding MTN 5.310%, 02/15/07 to 02/27/07 $ 165,000 $ 165,000 CC USA MTN 5.335%, 02/25/07 75,000 74,997 K2 (USA) LLC MTN 5.320%, 04/24/07 23,000 22,996 5.360%, 04/25/07 100,000 100,005 Stanfield Victoria Funding LLC MTN 5.325%, 03/27/07 40,000 39,995 -------------- 402,993 -------------- ASSET BACKED - OTHER (B) (E) -- 17.8% Cheyne Finance MTN 5.325%, 04/25/07 50,000 49,996 5.315%, 04/25/07 125,000 124,970 Cullinan Finance MTN 5.333%, 02/15/07 100,000 99,995 5.320%, 03/03/07 50,000 49,992 Cullinan Finance MTN, Ser 1 5.330%, 02/25/07 50,000 49,998 Harrier Finance Funding LLC MTN, Ser 2 5.333%, 02/15/07 50,000 50,000 Sedna Finance MTN 5.325%, 03/08/07 to 03/29/07 125,000 125,000 Sedna Finance MTN, Ser 1 5.300%, 02/21/07 100,000 100,000 Sigma Finance MTN 5.370%, 02/21/07 5,000 5,001 Sigma Finance MTN, Ser 1 5.320%, 03/16/07 135,000 134,998 Tango Finance MTN 5.370%, 02/16/07 15,000 15,003 5.320%, 02/20/07 5,000 5,000 Whistlejacket Capital MTN 5.320%, 02/21/07 to 02/28/07 77,750 77,744 -------------- 887,697 -------------- BANKS -- 1.3% National City Bank (B) 5.315%, 03/18/07 65,500 65,494 -------------- INVESTMENT BANKER/BROKER DEALER -- 0.4% Goldman Sachs Group (B) (C) 5.380%, 02/13/07 20,000 20,000 -------------- Total Corporate Bonds (Cost $1,376,184) ($ Thousands) 1,376,184 -------------- - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 11 SCHEDULE OF INVESTMENTS Prime Obligation Fund (Concluded) January 31, 2007 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- 16.2% Capital One Multi-Asset 5.318%, 02/06/07 $ 50,000 $ 49,963 5.331%, 04/18/07 95,500 94,439 Concord Minutemen Capital 5.324%, 02/02/07 20,889 20,886 5.314%, 02/08/07 75,000 74,923 5.325%, 02/12/07 25,000 25,000 KKR Pacific Funding Trust 5.314%, 02/08/07 to 02/26/07 205,000 204,380 Monument Gardens Funding LLC 5.304%, 02/22/07 150,000 149,538 5.330%, 03/13/07 54,494 54,174 Thornburg Mortgage Capital 5.313%, 02/06/07 26,000 25,981 Versailles CDS LLC 5.317%, 03/02/07 112,000 111,523 -------------- Total Certificates of Deposit (Cost $810,807) ($ Thousands) 810,807 -------------- INSURANCE FUNDING AGREEMENTS (B) (C) (F) -- 5.2% Metropolitan Life Insurance 5.440%, 11/13/07 160,000 160,000 Monumental Life Insurance 5.520%, 02/29/08 101,500 101,500 -------------- Total Insurance Funding Agreements (Cost $261,500) ($ Thousands) 261,500 -------------- TIME DEPOSIT -- 0.9% Thornburg Mortgage Capital 5.349%, 02/06/07 44,000 43,968 -------------- Total Time Deposit (Cost $43,968) ($ Thousands) 43,968 -------------- MUNICIPAL BOND (B) -- 0.3% Texas State, Veterans Funding I Project, Ser C, GO 5.300%, 02/07/07 13,700 13,700 -------------- Total Municipal Bond (Cost $13,700) ($ Thousands) 13,700 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (D) -- 11.6% Deutsche Bank 5.260%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $581,395,936 (collateralized by various FHLB/FHLMC/FNMA obligations, ranging in par value $15,925,000- $76,650,000, 3.250%-6.625%, 03/07/07-10/18/16, with total market value $592,938,172) $ 581,311 $ 581,311 -------------- Total Repurchase Agreement (Cost $581,311) ($ Thousands) 581,311 -------------- Total Investments -- 100.2% (Cost $5,001,839) ($ Thousands) $ 5,001,839 ============== Percentages are based on Net Assets of $4,992,384 ($ Thousands). (A) The rate reported is the effective yield at time of purchase. (B) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2007. The date shown is the earlier of the reset date or the demand date. (C) Securities considered illiquid. The total value of such securities as of January 31, 2007 was $281,500 ($ Thousands) and represented 5.64% of Net Assets. (D) Tri-Party Repurchase Agreement. (E) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (F) This security considered restricted. The total value of such securities as of January 31, 2007 was $261,500 ($ Thousands) and represented 5.24% of Net Assets (See Note 2 in Notes to Financial Statements). 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 Ser -- Series The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 12 SEI Daily Income Trust / Annual Report / January 31, 2007 Treasury Fund January 31, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 100.0% Repurchase Agreements * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (A) -- 100.3% ABN Amro 5.210%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $100,014,472 (collateralized by various U.S. Treasury Notes, ranging in par value $29,668,000- $75,000,000, 2.000%-4.000%, 04/15/10-01/15/26, with total market value $102,000,199) $ 100,000 $ 100,000 Barclays Capital 5.210%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $175,025,326 (collateralized by various U.S. Treasury Notes, ranging in par value $81,606,000- $98,825,000, 2.625%-4.250%, 11/30/07-05/15/08, with total market value $178,500,238) 175,000 175,000 BNP Paribas 5.210%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $175,025,278 (collateralized by various U.S. Treasury Obligations, ranging in par value $500-$434,642,000, 3.500%-6.875%, 02/15/07- 11/15/27, with total market value $178,500,880) 175,000 175,000 Deutsche Bank 5.220%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $210,030,450 (collateralized by various U.S. Treasury Obligations, ranging in par value $1,379,780- $275,392,000, 4.875%-8.125%, 05/15/07-08/15/26, with total market value $214,200,000) 210,000 210,000 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Goldman Sachs Group 4.900%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $12,548,708 (collateralized by a U.S. Treasury Bill, par value $12,862,000, 5.516%, 03/08/07, with total market value $12,798,719) $ 12,547 $ 12,547 JPMorgan Chase 5.200%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $175,025,278 (collateralized by various U.S. Treasury Obligations, ranging in par value $15,475,000- $73,345,000, 4.000%-7.625%, 02/15/14-05/15/30, with total market value $178,505,760) 175,000 175,000 -------------- Total Repurchase Agreements (Cost $847,547) ($ Thousands) 847,547 -------------- Total Investments -- 100.3% (Cost $847,547) ($ Thousands) $ 847,547 ============== Percentages are based on Net Assets of $844,617 ($ Thousands). (A) Tri-Party Repurchase Agreement. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 13 SCHEDULE OF INVESTMENTS Treasury II Fund January 31, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [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 -- 100.0% U.S. Treasury Bills (A) 4.839%, 02/01/07 $ 4,580 $ 4,580 4.821%, 02/08/07 101,645 101,554 4.799%, 02/15/07 32,898 32,837 4.869%, 03/15/07 10,000 9,944 4.928%, 03/29/07 25,000 24,811 5.070%, 07/19/07 20,000 19,538 U.S. Treasury Notes 2.250%, 02/15/07 31,000 30,968 3.375%, 02/28/07 30,000 29,963 -------------- Total U.S. Treasury Obligations (Cost $254,195) ($ Thousands) 254,195 -------------- Total Investments -- 100.0% (Cost $254,195) ($ Thousands) $ 254,195 ============== Percentages are based on Net Assets of $254,227 ($ Thousands). (A) The rate reported is the effective yield at time of purchase. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 14 SEI Daily Income Trust / Annual Report / January 31, 2007 Short-Duration Government Fund January 31, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 59.9% U.S. Government Agency Mortgage-Backed Obligations 32.1% U.S. Government Agency Obligations 7.9% Repurchase Agreement 0.1% U.S. Treasury Obligations * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 64.6% FHLMC 7.220%, 02/01/07 (A) $ 337 $ 344 7.157%, 02/01/07 (A) 4,859 4,963 7.088%, 02/01/07 (A) 100 103 7.058%, 02/01/07 (A) 57 58 7.027%, 02/01/07 (A) 113 115 7.001%, 02/01/07 (A) 58 59 6.903%, 02/01/07 (A) 186 191 6.887%, 02/01/07 (A) 73 74 6.885%, 02/01/07 (A) 56 57 6.884%, 02/01/07 (A) 296 299 6.877%, 02/01/07 (A) 217 222 6.870%, 02/01/07 (A) 106 107 6.805%, 02/01/07 (A) 281 289 6.800%, 02/01/07 (A) 6 6 6.763%, 02/01/07 (A) 61 62 6.625%, 02/01/07 to 07/01/07 (A) 76 77 6.560%, 02/01/07 (A) 28 28 6.511%, 02/01/07 (A) 351 350 6.250%, 02/01/07 (A) 7 7 6.125%, 02/01/07 to 01/01/08 (A) 26 26 6.048%, 03/01/19 (A) 49 49 6.000%, 06/01/21 2,750 2,781 5.875%, 02/01/07 to 12/01/07 (A) 39 39 5.750%, 10/01/07 to 12/01/07 (A) 23 24 5.625%, 10/01/07 to 01/01/08 (A) 14 16 5.500%, 08/01/07 to 09/01/07 (A) 25 25 5.375%, 08/01/07 to 11/01/07 (A) 30 30 5.250%, 08/01/07 to 09/01/07 (A) 55 56 5.125%, 10/01/07 (A) 15 15 4.875%, 08/01/07 (A) 21 21 FHLMC REMIC, Ser 2481, Cl BC 5.250%, 08/15/30 -- -- FHLMC REMIC, Ser 2587, Cl ET 3.700%, 07/15/17 1,209 1,155 FHLMC REMIC, Ser 2617, Cl UN 4.500%, 08/15/12 1,410 1,400 FHLMC REMIC, Ser 2630, Cl KN 2.500%, 04/15/13 1,685 1,645 FHLMC REMIC, Ser 2684, Cl GN 3.250%, 05/15/23 1,060 1,044 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FHLMC REMIC, Ser 2691, Cl OK 3.500%, 05/15/17 $ 35 $ 35 FHLMC REMIC, Ser 2750, Cl OA 3.500%, 10/15/11 115 115 FHLMC REMIC, Ser 2760, Cl PH 3.500%, 10/15/21 1,415 1,393 FHLMC REMIC, Ser 2760, Cl PK 4.500%, 10/15/21 1,768 1,754 FHLMC REMIC, Ser 2890, Cl PJ 4.500%, 09/15/24 3,209 3,169 FHLMC REMIC, Ser 2975, Cl VT (A) 5.000%, 02/01/07 2,987 2,967 FHLMC REMIC, Ser T-42, Cl A5 7.500%, 02/25/42 1,231 1,274 FNMA 7.241%, 02/01/07 (A) 1,633 1,665 7.226%, 02/01/07 (A) 847 855 7.099%, 02/01/07 (A) 1,679 1,714 7.000%, 08/01/36 324 332 6.775%, 10/01/07 528 528 6.610%, 04/01/09 154 156 6.490%, 08/01/08 534 537 6.645%, 02/01/07 (A) 2,130 2,136 6.229%, 12/01/08 1,389 1,397 6.210%, 08/01/08 1,239 1,243 6.150%, 09/01/08 3,102 3,112 6.130%, 10/01/08 142 142 6.085%, 10/01/08 359 360 6.059%, 02/01/07 (A) 432 434 6.010%, 06/01/09 335 336 5.735%, 01/01/09 1,327 1,329 5.500%, 02/01/19 4,000 3,983 5.016%, 02/01/13 92 91 4.621%, 04/01/13 194 188 FNMA REMIC, Ser 1993-32, Cl H 6.000%, 03/25/23 131 131 FNMA REMIC, Ser 1994-77, Cl FB (A) 6.843%, 02/25/07 27 28 FNMA REMIC, Ser 1995-13, Cl C 6.500%, 10/25/08 101 101 FNMA REMIC, Ser 1997-M5, Cl B 6.650%, 08/25/07 172 171 FNMA REMIC, Ser 2001-53, Cl CA 5.750%, 06/25/31 159 159 FNMA REMIC, Ser 2002-3, Cl PG 5.500%, 02/25/17 2,000 2,001 FNMA REMIC, Ser 2002-53, Cl FK (A) 5.720%, 02/25/07 543 544 FNMA REMIC, Ser 2003-76, Cl CA 3.750%, 07/25/33 1,672 1,516 FNMA REMIC, Ser 2006-39, Cl PB 5.500%, 07/25/29 3,035 3,034 - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 15 SCHEDULE OF INVESTMENTS Short-Duration Government Fund (Concluded) January 31, 2007 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- FNMA REMIC, Ser 2006-53, Cl PA 5.500%, 12/25/26 $ 4,000 $ 3,998 FNMA REMIC, Ser 2006-76, Cl QF (A) 5.720%, 02/25/07 4,766 4,794 FNMA REMIC, Ser G92-61, Cl FA (A) 5.993%, 02/25/07 285 289 FNMA REMIC, Ser G93-5, Cl Z 6.500%, 02/25/23 59 60 FNMA TBA 4.500%, 02/18/19 7,000 6,718 GNMA 7.500%, 01/15/11 to 02/15/11 36 37 6.500%, 06/15/16 to 09/15/17 2,226 2,280 6.000%, 06/15/16 to 09/15/19 1,242 1,259 GNMA REMIC, Ser 2004-41, Cl ED 3.750%, 10/20/26 478 471 GNMA REMIC, Ser 2006-38, Cl XS, IO (A) 1.930%, 02/16/07 390 23 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $75,397) ($ Thousands) 74,596 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 34.6% FHLB (C) 5.250%, 02/13/08 30,500 30,493 FHLMC 4.875%, 03/15/07 5 5 FNMA 5.000%, 03/15/16 9,517 9,424 -------------- Total U.S. Government Agency Obligations (Cost $39,757) ($ Thousands) 39,922 -------------- U.S. TREASURY OBLIGATIONS -- 0.1% U.S. Treasury Notes (C) 3.000%, 11/15/07 100 98 -------------- Total U.S. Treasury Obligations (Cost $100) ($ Thousands) 98 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (B) -- 8.6% UBS Securities LLC 5.270%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $9,901,449 (collateralized by various U.S. Government obligations, ranging in par value $1,309,839- $11,440,000, 4.000%-11.500%, 06/01/07-10/01/36, with total market value $10,099,298) $ 9,900 $ 9,900 -------------- Total Repurchase Agreement (Cost $9,900) ($ Thousands) 9,900 -------------- Total Investments -- 107.9% (Cost $125,154) ($ Thousands) $ 124,516 ============== Futures Contracts -- a summary of the open futures contracts held by the Fund at January 31, 2007, is as follows (See Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- U.S. Long Treasury Bond (42) Mar-2007 $ 37 U.S. 5-Year Note (77) Mar-2007 37 U.S. 2-Year Note 181 Mar-2007 (38) U.S. 10-Year Note (138) Mar-2007 106 ---- $142 ==== Percentages are based on Net Assets of $115,462 ($Thousands). (A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2007. 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 the 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 IO -- Interest Only 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 $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 16 SEI Daily Income Trust / Annual Report / January 31, 2007 Intermediate-Duration Government Fund January 31, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 61.2% U.S. Government Agency Mortgage-Backed Obligations 22.0% U.S. Government Agency Obligations 13.3% U.S. Treasury Obligations 3.5% Repurchase Agreement * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 63.4% FHLMC 8.250%, 12/01/07 to 12/01/09 $ 13 $ 13 6.500%, 01/01/18 77 79 6.000%, 07/01/13 to 09/01/24 4,612 4,660 5.500%, 06/01/19 to 12/01/20 1,236 1,230 FHLMC REMIC, Ser 1599, Cl C 6.100%, 10/15/23 599 605 FHLMC REMIC, Ser 165, Cl K 6.500%, 09/15/21 27 27 FHLMC REMIC, Ser 2586, Cl NK 3.500%, 08/15/16 193 185 FHLMC REMIC, Ser 2587, Cl ET 3.700%, 07/15/17 698 667 FHLMC REMIC, Ser 2630, Cl HA 3.000%, 01/15/17 1,601 1,509 FHLMC REMIC, Ser 2635, Cl NJ 3.000%, 03/15/17 436 409 FHLMC REMIC, Ser 2760, Cl PH 3.500%, 10/15/21 613 604 FNMA 9.500%, 05/01/18 66 71 8.000%, 05/01/08 to 06/01/08 13 13 7.056%, 08/01/07 147 147 6.800%, 10/01/07 4 4 6.620%, 01/01/08 190 190 6.460%, 06/01/09 544 552 5.931%, 02/01/12 675 690 5.625%, 12/01/11 1,775 1,800 5.044%, 08/01/15 676 666 4.826%, 04/01/13 6,526 6,380 3.790%, 07/01/13 1,096 1,014 FNMA REMIC, Ser 2001-51, Cl QN 6.000%, 10/25/16 668 675 FNMA REMIC, Ser 2004-27, Cl HN 4.000%, 05/25/16 647 632 FNMA TBA 6.000%, 05/01/21 to 08/01/21 915 926 4.500%, 02/18/19 2,000 1,919 GNMA 8.750%, 07/20/17 12 13 8.500%, 11/20/16 to 08/20/17 103 109 8.250%, 04/15/08 to 07/15/08 21 21 6.000%, 04/15/09 to 09/15/24 1,048 1,059 GNMA TBA 7.500%, 11/15/25 to 09/15/36 993 1,033 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Small Business Administration, Ser 2005-P10B, Cl 1 4.940%, 08/10/15 $ 1,691 $ 1,658 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $30,155) ($ Thousands) 29,560 -------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 22.8% FHLMC 6.000%, 06/15/11 5,725 5,923 FNMA 5.000%, 03/15/16 4,731 4,685 -------------- Total U.S. Government Agency Obligations (Cost $10,419) ($ Thousands) 10,608 -------------- U.S. TREASURY OBLIGATIONS -- 13.8% U.S. Treasury Bonds (A) 10.375%, 11/15/12 200 208 U.S. Treasury Notes 4.750%, 03/31/11 6,250 6,233 -------------- Total U.S. Treasury Obligations (Cost $6,410) ($ Thousands) 6,441 -------------- REPURCHASE AGREEMENT (B) -- 3.6% UBS Securities LLC 5.270%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $1,700,249 (collateralized by various U.S. Government obligations, ranging in par value $600,000- $11,550,000, 4.000%-7.000%, 06/01/11-09/01/36, with total market value $1,736,237) 1,700 1,700 -------------- Total Repurchase Agreement (Cost $1,700) ($ Thousands) 1,700 -------------- Total Investments -- 103.6% (Cost $48,684) ($ Thousands) $ 48,309 ============== Futures Contracts -- a summary of the open futures contracts held by the Fund at January 31, 2007, is as follows (See Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- U.S. Long Treasury Bond (15) Mar-2007 $ 5 U.S. 5-Year Note 80 Mar-2007 (48) U.S. 2-Year Note (48) Mar-2007 51 U.S. 10-Year Note (61) Mar-2007 102 ---- $110 ==== - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 17 SCHEDULE OF INVESTMENTS Intermediate-Duration Government Fund (Concluded) January 31, 2007 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Percentages are based on Net Assets of $46,635 ($ Thousands). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at the 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. - -------------------------------------------------------------------------------- 18 SEI Daily Income Trust / Annual Report / January 31, 2007 GNMA Fund January 31, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 88.5% U.S. Government Agency Mortgage-Backed Obligations 11.5% Repurchase Agreement * Percentages based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 99.1% FHLMC 6.500%, 09/01/19 $ 814 $ 831 FNMA 8.000%, 09/01/14 to 09/01/28 310 330 7.000%, 08/01/29 to 09/01/32 628 645 6.500%, 09/01/32 372 380 FNMA REMIC, Ser 1990-91, Cl G 7.000%, 08/25/20 66 68 FNMA REMIC, Ser 1992-105, Cl B 7.000%, 06/25/22 132 137 FNMA REMIC, Ser 2002-42, Cl C 6.000%, 07/25/17 1,500 1,526 GNMA 12.500%, 06/15/14 -- -- 12.000%, 04/15/14 -- -- 10.000%, 05/15/16 to 04/15/20 31 37 9.500%, 06/15/09 to 11/15/20 368 388 9.000%, 12/15/17 to 05/15/22 325 344 8.500%, 08/15/08 to 06/15/17 89 97 8.000%, 04/15/17 to 03/15/32 1,309 1,381 7.750%, 10/15/26 49 51 7.500%, 02/15/27 to 05/15/36 1,922 2,004 7.250%, 01/15/28 192 199 7.000%, 04/15/19 to 07/15/36 14,091 14,557 6.750%, 11/15/27 82 84 6.500%, 11/15/07 to 07/15/35 15,128 15,520 6.000%, 02/15/17 (A) 633 641 6.000%, 02/15/09 to 08/15/36 21,210 21,440 5.500%, 10/15/32 to 11/15/35 21,651 21,447 5.000%, 04/15/33 to 12/15/36 29,050 28,060 4.500%, 08/15/33 to 01/15/36 10,811 10,140 GNMA REMIC, Ser 2002-45, Cl QE 6.500%, 06/20/32 2,016 2,075 GNMA REMIC, Ser 2003-63, Cl UV 3.500%, 07/20/30 2,547 2,422 GNMA REMIC, Ser 2006-38, Cl XS, IO 1.930%, 09/16/35 5,198 302 GNMA TBA 6.500%, 02/19/34 7,000 7,160 6.000%, 02/15/35 810 818 5.500%, 02/15/34 9,400 9,303 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $144,085) ($ Thousands) 142,387 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (B) -- 12.9% UBS Securities LLC 5.270%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $18,502,708 (collateralized by various U.S. Government obligations, ranging in par value $7,695,000- $11,700,000, 6.500%-9.500%, 12/01/08-11/01/36, with total market value $18,871,656) $ 18,500 $ 18,500 -------------- Total Repurchase Agreement (Cost $18,500) ($ Thousands) 18,500 -------------- Total Investments -- 112.0% (Cost $162,585) ($ Thousands) $ 160,887 ============== Futures Contracts -- a summary of the open futures contracts held by the Fund at January 31, 2007, is as follows (See Note 2 in Notes to Financial Statements): - -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------------------------------------------------------------------------------- U.S. Long Treasury Bond 7 Mar-2007 $(25) U.S. 5-Year Note (7) Mar-2007 4 U.S. 10-Year Note (57) Mar-2007 28 ---- $ 7 ==== Percentages are based on Net Assets of $143,711 ($ Thousands). (A) Security, or portion thereof, has been pledged as collateral on open futures contracts. The rate reported is the effective yield at the 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 IO -- Interest Only LLC -- Limited Liability Company REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series TBA -- To Be Announced Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 19 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund January 31, 2007 - -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)*: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 80.3% Asset-Backed Securities 10.7% Corporate Bonds 6.7% U.S. Government Agency Mortgage-Backed Obligations 1.7% Repurchase Agreement 0.4% Certificate of Deposit 0.2% Collateralized Loan Obligation * Percentages are based on total investments. - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- ASSET BACKED SECURITIES -- 81.0% AUTOMOTIVE -- 18.0% Aesop Funding II LLC, Ser 2005-1A, Cl A2 (A) (B) 5.380%, 02/25/07 $ 800 $ 800 Americredit Automobile Receivables Trust, Ser 2004-CA, Cl A3 3.000%, 03/06/09 184 183 Americredit Automobile Receivables Trust, Ser 2005-CF, Cl A3 4.470%, 05/06/10 678 675 Americredit Automobile Receivables Trust, Ser 2007-AX, Cl A2 (A) 5.290%, 02/06/07 1,020 1,019 BMW Vehicle Owner Trust, Ser 2004-A, Cl A4 3.320%, 02/25/09 260 258 BMW Vehicle Owner Trust, Ser 2005-A, Cl A4 4.280%, 02/25/10 1,420 1,403 Capital Auto Receivables Asset Trust, Ser 2005-1, Cl B (A) 5.695%, 02/15/07 440 442 Capital One Auto Finance Trust, Ser 2003-A, Cl A4A 2.470%, 01/15/10 963 958 Capital One Auto Finance Trust, Ser 2003-B, Cl A4 3.180%, 09/15/10 1,916 1,896 Carmax Auto Owner Trust, Ser 2004-2, Cl A4 3.460%, 09/15/11 449 439 Carmax Auto Owner Trust, Ser 2005-2, Cl A3 (A) 4.210%, 02/15/07 1,450 1,437 Carmax Auto Owner Trust, Ser 2006-2, Cl A3 5.150%, 02/15/11 1,700 1,695 Chase Manhattan Auto Owner Trust, Ser 2003-A, Cl A4 2.060%, 12/15/09 893 887 Chase Manhattan Auto Owner Trust, Ser 2004-A, Cl A4 2.830%, 09/15/10 1,924 1,889 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Ser 2006-A, Cl A3 5.340%, 07/15/10 $ 1,490 $ 1,490 DaimlerChrysler Auto Trust, Ser 2005-B, Cl A3 4.040%, 09/08/09 482 479 DaimlerChrysler Auto Trust, Ser 2006-C, Cl A2 5.250%, 05/08/09 1,750 1,749 Ford Credit Auto Owner Trust, Ser 2006-B, Cl A2A 5.420%, 07/15/09 1,500 1,500 Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl A2 5.290%, 01/15/11 500 500 Honda Auto Receivables Owner Trust, Ser 2005-3, Cl A3 3.870%, 04/20/09 768 762 Household Automotive Trust, Ser 2005-1, Cl A3 4.150%, 02/17/10 1,215 1,207 Household Automotive Trust, Ser 2005-2, Cl A3 4.370%, 05/17/10 3,051 3,027 Household Automotive Trust, Ser 2005-3, Cl A3 4.800%, 10/18/10 1,070 1,064 Household Automotive Trust, Ser 2007-1, Cl A2 5.320%, 05/17/10 600 599 Hyundai Auto Receivables Trust, Ser 2005-A, Cl A3 3.980%, 11/16/09 659 652 Long Beach Auto Receivables Trust, Ser 2006-B, Cl A3 5.170%, 08/15/11 1,150 1,147 M&I Auto Loan Trust, Ser 2005-1, Cl A3 4.830%, 09/21/09 2,500 2,489 Merrill Auto Trust Securitization, Ser 2005-1, Cl B (A) 5.560%, 02/25/07 392 392 Morgan Stanley Auto Loan Trust, Ser 2004-HB1, Cl A4 3.330%, 10/15/11 519 513 Navistar Financial Corporate Owner Trust, Ser 2003-A, Cl A4 2.240%, 11/15/09 986 978 Nissan Auto Lease Trust, Ser 2005-A1, Cl A3 4.700%, 10/15/08 1,275 1,271 Nissan Auto Receivables Owner Trust, Ser 2005-C, Cl A3 (A) 4.190%, 02/16/07 760 753 - -------------------------------------------------------------------------------- 20 SEI Daily Income Trust / Annual Report / January 31, 2007 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Ser 2006-A, Cl A2 4.800%, 06/16/08 $ 324 $ 323 Nissan Auto Receivables Owner Trust, Ser 2006-A, Cl A3 4.740%, 09/15/09 665 660 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%, 05/17/10 711 708 USAA Auto Owner Trust, Ser 2005-3, Cl A3 4.550%, 02/16/10 1,230 1,221 WFS Financial Owner Trust, Ser 2003-3, Cl A4 3.250%, 05/20/11 1,888 1,871 WFS Financial Owner Trust, Ser 2005-2, Cl B 4.570%, 11/19/12 1,234 1,219 Wachovia Auto Owner Trust, Ser 2005-B, Cl A3 4.790%, 04/20/10 1,010 1,004 World Omni Auto Receivables Trust, Ser 2004-A, Cl B (D) 3.620%, 07/12/11 473 465 -------------- 43,056 -------------- CREDIT CARD -- 12.0% Advanta Business Card Master Trust, Ser 2005-A4, Cl A4 4.750%, 01/20/11 1,000 993 Advanta Business Card Master Trust, Ser 2005-C1, Cl C1 (A) 5.830%, 02/20/07 1,500 1,507 Advanta Business Card Master Trust, Ser 2006-A3, Cl A 5.300%, 05/21/12 1,250 1,252 Advanta Business Card Master Trust, Ser 2006-B2, Cl B2 (A) 5.570%, 02/20/07 2,000 2,010 Bank of America Credit Card Trust, Ser 2006-C7, Cl C7 (A) 5.550%, 02/15/07 1,000 1,001 Bank of America Credit Card Trust, Ser 2007-C1, Cl C1 (A) 5.625%, 02/26/07 1,250 1,250 Cabela's Master Credit Card Trust, Ser 2006-3A, Cl B (A) (B) 5.520%, 02/15/07 2,000 2,000 Capital One Multi-Asset Executive Trust, Ser 2004-B4, Cl B4 (A) 5.620%, 02/15/07 1,550 1,551 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Capital One Multi-Asset Executive Trust, Ser 2005-B2, Cl B2 (A) 5.470%, 02/15/07 $ 1,500 $ 1,502 Capital One Multi-Asset Executive Trust, Ser 2007-C2, Cl C2 (A) 0.000%, 03/15/07 1,200 1,202 Chase Credit Card Master Trust, Ser 2004-2, Cl A (A) 5.360%, 02/15/07 1,010 1,010 Discover Card Master Trust, Ser 2004-2, Cl A1 (A) 5.340%, 02/18/07 1,250 1,250 Discover Card Master Trust, Ser 2005-1, Cl B (A) 5.470%, 02/18/07 1,133 1,135 GE Capital Credit Card Master Trust, Ser 2004-2, Cl B (A) 5.580%, 02/22/07 2,000 2,001 Household Credit Card Master Note Trust, Ser 2006-B, Cl A 5.100%, 06/15/12 1,600 1,594 Metris Master Trust, Ser 2005-1A, Cl B (A) 5.740%, 02/06/07 1,675 1,668 Metris Master Trust, Ser 2005-2, Cl B (A) 5.600%, 02/20/07 1,000 1,000 Providian Gateway Master Trust, Ser 2004-EA, Cl A (A) (B) 5.450%, 02/15/07 565 566 Providian Gateway Master Trust, Ser 2004-FA, Cl A (B) 3.650%, 11/15/11 2,750 2,716 Washington Mutual Master Note Trust, Ser 2006-C2A, Cl C2 (A) (B) 5.820%, 02/15/07 1,300 1,300 -------------- 28,508 -------------- MISCELLANEOUS BUSINESS SERVICES -- 9.8% ACAS Business Loan Trust, Ser 2005-1A, Cl A1 (A) (B) 5.610%, 04/25/07 1,000 1,001 AICCO Premium Finance Master Trust, Ser 2005-1, Cl A (A) 5.400%, 02/15/07 1,470 1,470 Arkle Master Issuer PLC, Ser 2006-1A, Cl M (A) (B) 5.557%, 02/20/07 1,000 1,000 CIT Equipment Collateral, Ser 2005-EF1, Cl A3 4.420%, 05/20/09 1,082 1,075 CNH Equipment Trust, Ser 2004-A, Cl A3B 2.940%, 10/15/08 561 558 - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 21 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund (Continued) January 31, 2007 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- CNH Equipment Trust, Ser 2005-A, Cl A3 4.020%, 04/15/09 $ 670 $ 665 CNH Equipment Trust, Ser 2006-B, Cl A3 5.200%, 06/15/10 1,255 1,253 CNH Wholesale Master Note Trust, Ser 2006-1A, Cl B (A) (B) 5.600%, 02/15/07 245 245 Capital Source Commercial Loan Trust, Ser 2003-2A, Cl D (A) (B) 7.820%, 02/22/07 125 125 Capital Source Commercial Loan Trust, Ser 2004-1A, Cl A2 (A) (B) 5.650%, 02/20/07 109 109 Capital Source Commercial Loan Trust, Ser 2005-1A, Cl B (A) (B) 5.600%, 02/20/07 440 440 Capital Source Commercial Loan Trust, Ser 2006-1A, Cl C (A) (B) 5.870%, 02/20/07 660 660 Capital Source Commercial Loan Trust, Ser 2006-2A, Cl A2A (A) (B) 5.530%, 02/20/07 1,460 1,460 Colts Trust, Ser 2005-1A, Cl A1 (A) (B) 5.585%, 03/20/07 290 290 Colts Trust, Ser 2005-2A, Cl A (A) (B) 5.645%, 03/20/07 1,950 1,954 GE Commercial Equipment Financing LLC, Ser 2005-1, Cl A3A 3.980%, 03/20/09 974 967 GE Commercial Loan Trust, Ser 2006-3, Cl C (A) (B) 5.910%, 04/19/07 962 962 GE Corporate Aircraft Financing, Ser 2005-1A, Cl A1 (A) (B) 5.390%, 02/25/07 469 469 GE Equipment Small Ticket LLC, Ser 2005-1A, Cl B (A) (B) 4.620%, 02/22/07 622 615 GE Equipment Small Ticket LLC, Ser 2005-2A, Cl A4 (B) 5.010%, 06/22/15 2,226 2,209 Lambda Finance, Ser 2005-1A, Cl B3 (A) (B) 5.744%, 03/08/07 840 840 Madison Park Funding, Ser 2007-1A, Cl A1B (A) (B) 0.000%, 09/24/07 1,000 1,000 Marlin Leasing Receivables LLC, Ser 2005-1A, Cl B (B) 5.090%, 08/15/12 121 119 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Marlin Leasing Receivables LLC, Ser 2006-1A, Cl A2 (B) 5.430%, 11/17/08 $ 1,200 $ 1,198 Merritt Funding Trust, Ser 2005-2, Cl B (A) (B) 6.060%, 03/28/07 805 806 PFS Financing, Ser 2006-B, Cl A (A) (B) 5.450%, 03/15/07 965 967 Prima, Ser 2006-1, Cl A1 (B) 5.650%, 12/25/40 996 992 -------------- 23,449 -------------- MORTGAGE RELATED -- 41.2% Ace Securities, Ser 2006-CW1, Cl A2C (A) 5.460%, 02/25/07 895 896 Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 2A1 (A) 5.710%, 03/25/36 3,005 3,005 Advanta Mortgage Trust Loan, Ser 1999-4, Cl A (A) 5.695%, 02/27/07 139 139 Asset Backed Funding Certificates, Ser 2006-OPT2, Cl A3B (A) 5.430%, 02/25/07 1,900 1,900 Asset Securitization, Ser 1996-MD6, Cl A6 (A) 7.673%, 02/11/07 860 873 Bank of America Funding, Ser 2005-F, Cl 4A1 (A) 5.379%, 02/01/07 968 961 Bank of America Funding, Ser 2006-D, Cl 3A1 (A) 5.585%, 02/01/07 1,270 1,267 Bank of America Large Loan, Ser 2004-BBA4, Cl A2 (A) (B) 5.480%, 02/15/07 362 362 Bank of America Mortgage Securities, Cl 2005-F, Ser 2A2 (A) 5.018%, 02/01/07 2,974 2,937 Bank of America Mortgage Securities, Ser 2005-A, Cl 2A2 (A) 4.460%, 02/01/07 1,904 1,867 Bank of America Mortgage Securities, Ser 2005-H, Cl 2A1 (A) 4.817%, 02/28/07 915 900 Bank of America Mortgage Securities, Ser 2005-J, Cl 2A1 (A) 5.096%, 02/01/07 334 330 Bear Stearns Asset Backed Securities, Ser 2005-HE11, Cl A2 (A) 5.570%, 02/25/07 275 276 - -------------------------------------------------------------------------------- 22 SEI Daily Income Trust / Annual Report / January 31, 2007 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Bear Stearns Asset Backed Securities, Ser 2006-HE1, Cl 1A1 (A) 5.410%, 02/25/07 $ 1,024 $ 1,024 Bear Stearns Commercial Mortgage, Ser 1998-C1, Cl A1 6.340%, 06/16/30 177 177 Bear Stearns Commercial Mortgage, Ser 2005-12, Cl 11A1 (A) 5.408%, 02/01/07 760 762 C-Bass, Ser 16A, Cl A (A) (B) 5.603%, 03/06/07 1,485 1,482 Citigroup Commercial Mortgage Trust, Ser 2006-FL2, Cl D (A) (B) 5.540%, 02/15/07 510 510 Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A (A) 3.933%, 02/01/07 1,231 1,236 Citigroup Mortgage Loan Trust, Ser 2005-10, Cl 1A21 (A) 5.750%, 02/01/07 753 754 Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1 (A) 5.635%, 02/01/07 1,336 1,333 Citigroup Mortgage Loan Trust, Ser 2006-WFH3, Cl M1 (A) 5.610%, 02/27/07 1,325 1,326 Countrywide Asset-Backed Certificates, Ser 2006-2, Cl 2A2 (A) 5.510%, 02/25/07 772 773 Countrywide Home Loans, Ser 2004-29, Cl 1A1 (A) 5.590%, 02/25/07 226 227 Countrywide Home Loans, Ser 2005-7, Cl 1A1 (A) 5.590%, 02/25/07 365 365 Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A (A) 5.407%, 02/01/07 1,185 1,182 Crusade Global Trust, Ser 2003-1, Cl A (A) 5.560%, 04/17/07 710 711 First Franklin Mortgage Loan, Ser 2007-FF1, Cl M2 (A) 5.580%, 02/25/07 1,250 1,250 First Horizon Mortgage Pass-Through Trust, Ser 2005-2, Cl 1A1 5.500%, 05/25/35 2,124 2,120 First Union-Lehman Brothers, Ser 1997-C1, Cl D 7.500%, 04/18/29 1,000 1,001 GE Commercial Loan Trust, Ser 2006-2, Cl C (A) (B) 5.920%, 04/19/07 602 602 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- GMAC Mortgage Loan, Ser 2005-AR6, Cl 2A1 (A) 5.230%, 02/01/07 $ 1,321 $ 1,315 GMAC Mortgage Loan, Ser 2005-HE3, Cl A1 (A) 5.430%, 02/25/07 1,000 1,000 GMAC Mortgage Loan, Ser 2006-HE4, Cl A2 (A) 5.460%, 02/25/07 2,000 2,000 GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1 (A) 5.059%, 07/25/35 2,387 2,390 GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1 (A) 5.198%, 01/25/36 2,673 2,655 Granite Master Issuer PLC, Ser 2006-1A, Cl A5 (A) (B) 5.445%, 04/25/07 1,215 1,215 Granite Master Issuer PLC, Ser 2006-3, Cl M1 (A) 5.540%, 04/22/07 715 715 Granite Master Issuer PLC, Ser 2007-1, Cl 1C1 (A) 5.660%, 03/20/07 410 410 Granite Mortgages PLC, Ser 2002-2, Cl 1A2 (A) 5.540%, 04/21/07 835 835 Impac CMB Trust, Ser 2003-12, Cl A1 (A) 6.080%, 02/25/07 408 408 Impac CMB Trust, Ser 2004-9, Cl 1A1 (A) 5.700%, 02/25/07 686 687 Impac CMB Trust, Ser 2005-2, Cl 1A1 (A) 5.580%, 02/03/07 761 762 Impac CMB Trust, Ser 2005-3, Cl A1 (A) 5.560%, 02/25/07 625 624 Impac CMB Trust, Ser 2005-5, Cl A1 (A) 5.640%, 02/25/07 494 494 Impac CMB Trust, Ser 2005-8, Cl 1A (A) 5.580%, 02/25/07 1,225 1,227 JP Morgan Mortgage Trust, Cl 2005-A6, Cl 7A1 (A) 4.979%, 02/01/07 905 893 Katonah, Ser 7A, Cl B (A) (B) 5.794%, 02/15/07 1,200 1,200 Long Beach Mortgage Loan Trust, Ser 2006-6, Cl 2A3 (A) 5.470%, 02/25/07 1,190 1,191 - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 23 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund (Continued) January 31, 2007 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- MLCC Mortgage Investors, Ser 2004-G, Cl A1 (A) 5.600%, 02/25/07 $ 288 $ 288 MLCC Mortgage Investors, Ser 2004-HB1, Cl A1 (A) 5.680%, 02/25/07 343 343 MLCC Mortgage Investors, Ser 2005-A, Cl A1 (A) 5.550%, 02/25/07 342 342 Master Adjustable Rate Mortgage Trust, Ser 2004-12, Cl 5A1 (A) 4.478%, 02/01/07 564 561 Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1 (A) 5.590%, 02/25/07 718 712 Merrill Lynch Mortgage Investors, Ser 2005-A8, Cl A3A1 (A) 5.430%, 02/25/07 1,328 1,328 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1A (A) 5.191%, 03/30/36 1,236 1,222 Merrill Lynch Mortgage Investors, Ser 2006-A1, Cl 1A1 (A) 5.895%, 02/01/07 2,131 2,142 Morgan Stanley Dean Witter Capital I, Ser 2006-WMC1, Cl A2B (A) 5.520%, 02/27/07 1,390 1,392 Morgan Stanley Home Equity Loan, Ser 2005-4, Cl A2B (A) 5.540%, 02/27/07 2,000 2,004 MortgageIT Trust, Ser 2005-2, Cl 1A1 (A) 5.580%, 02/25/07 466 466 MortgageIT Trust, Ser 2005-3, Cl A1 (A) 5.620%, 02/25/07 1,389 1,393 MortgageIT Trust, Ser 2005-4, Cl A1 (A) 5.600%, 02/25/07 1,775 1,776 MortgageIT Trust, Ser 2005-5, Cl A1 (A) 5.580%, 02/25/07 1,657 1,658 New Century Home Equity Loan Trust, Ser 2005-B, Cl A2A (A) 5.440%, 02/25/07 155 155 New Century Home Equity Loan Trust, Ser 2005-C, Cl A2B (A) 5.490%, 02/25/07 700 700 Option One Mortgage Loan Trust, Ser 2003-3, Cl A2 (A) 5.620%, 02/25/07 147 147 Option One Mortgage Loan Trust, Ser 2005-5, Cl A3 (A) 5.530%, 02/25/07 1,795 1,796 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Ser 2006-1, Cl 2A2 (A) 5.450%, 02/25/07 $ 1,590 $ 1,591 Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3 (A) 5.611%, 02/25/37 305 305 Paragon Mortgages PLC, Ser 12A, Cl A2C (A) (B) 5.484%, 02/15/07 495 495 Permanent Financing PLC, Ser 9A, Cl 1C (A) (B) 5.653%, 03/12/07 1,000 1,000 Permanent Master Issuer PLC, Ser 2006-1, Cl 2C (A) 5.760%, 04/16/07 1,200 1,200 Puma Finance Limited, Ser S1, Cl A (A) (B) 5.575%, 02/09/07 578 578 RMAC PLC, Ser 2003-NS4A, Cl A2B (A) (B) 5.656%, 03/12/07 448 449 RMAC PLC, Ser 2005-NS4A, Cl A1B (A) (B) 5.436%, 03/13/07 864 866 RMAC Securities PLC, Ser 2006-NS2A, Cl A1B (A) (B) 5.416%, 03/12/07 622 622 Residential Asset Mortgage Products, Ser 2005-RS6, Cl A11 (A) 5.420%, 02/25/07 35 35 Residential Asset Securities, Ser 2005-KS7, Cl A1 (A) 5.420%, 02/25/07 43 43 Residential Asset Securities, Ser 2006-EMX6, Cl A3 (A) 5.470%, 02/25/07 1,005 1,006 Residential Asset Securities, Ser 2006-KS1, Cl A2 (A) 5.460%, 02/25/07 800 800 Residential Funding Mortgage Securities, Ser 2005-SA5, Cl 2A (A) 5.353%, 11/25/35 895 889 Residential Mortgage Securities Trust, Ser 20A, Cl A1B (A) (B) 5.444%, 02/10/07 307 307 Residential Mortgage Securities Trust, Ser 22A, Cl A1B (A) (B) 5.444%, 02/14/07 716 716 Sequoia Mortgage Trust, Ser 2004-12, Cl A1A (A) 5.590%, 02/20/07 229 229 Sequoia Mortgage Trust, Ser 2005-1, Cl A1 (A) 5.550%, 02/20/07 226 226 - -------------------------------------------------------------------------------- 24 SEI Daily Income Trust / Annual Report / January 31, 2007 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Terra, Ser 1, Cl A1 (A) (B) 5.450%, 02/15/07 $ 1,379 $ 1,379 Wadsworth CDO, Ser 2006-1A, Cl B (A) (B) 5.876%, 02/05/07 315 314 Washington Mutual, Ser 2003-AR3, Cl A5 (A) 3.930%, 02/01/07 1,942 1,915 Washington Mutual, Ser 2005-AR3, Cl A2 (A) 4.641%, 02/23/07 994 977 Washington Mutual, Ser 2006-AR2, Cl 1A1 (A) 5.329%, 02/01/07 1,868 1,859 Wells Fargo Mortgage Backed Securities, Ser 2003-J, Cl 2A4 (A) 4.450%, 02/01/07 920 902 Wells Fargo Mortgage Backed Securities, Ser 2004-BB, Cl A2 (A) 4.556%, 02/01/07 901 884 Wells Fargo Mortgage Backed Securities, Ser 2005-AR16, Cl 3A2 (A) 4.996%, 02/01/07 1,807 1,792 Wells Fargo Mortgage Backed Securities, Ser 2005-AR4, Cl 2A2 (A) 4.525%, 02/01/07 1,020 1,001 Wells Fargo Mortgage Backed Securities, Ser 2006-AR5, Cl 2A1 (A) 5.540%, 02/01/07 1,575 1,569 Wells Fargo Mortgage Backed Securities, Ser 2006-AR6, Cl 2A1 (A) 5.240%, 02/01/07 1,791 1,775 Westpac Securitisation Trust, Ser 2005-1G, Cl A1 (A) 5.459%, 03/23/07 491 491 William Street Funding, Ser 2006-1, Cl A (A) (B) 5.604%, 04/23/07 1,260 1,260 -------------- 98,469 -------------- Total Asset Backed Securities (Cost $193,660) ($ Thousands) 193,482 -------------- CORPORATE BONDS -- 10.8% AUTO FINANCE -- 1.4% DaimlerChrysler MTN, Ser E (A) 5.901%, 02/01/07 2,000 2,009 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- Ford Motor Credit MTN (A) 6.193%, 03/28/07 $ 1,250 $ 1,250 -------------- 3,259 -------------- BANKS -- 2.0% Comerica Bank (A) 5.401%, 03/13/07 1,800 1,801 5.395%, 02/20/07 1,200 1,201 Wachovia (A) 5.480%, 03/15/07 1,750 1,752 -------------- 4,754 -------------- CONSUMER PRODUCTS -- 0.8% Whirlpool (A) 5.890%, 03/15/07 2,000 2,005 -------------- FINANCIAL SERVICES -- 1.3% FPL Group Capital 5.551%, 02/16/08 1,755 1,756 General Electric Capital (A) 5.450%, 04/28/07 1,250 1,251 -------------- 3,007 -------------- FOOD, BEVERAGE & TOBACCO -- 1.3% General Mills (A) 5.500%, 04/23/07 1,500 1,500 Sabmiller PLC (A) (B) 5.660%, 04/01/07 1,705 1,707 -------------- 3,207 -------------- INSURANCE -- 2.1% Marsh & Mclennan (A) 5.500%, 04/13/07 1,420 1,420 Monumental Global Funding (A) (B) 5.560%, 04/16/07 1,900 1,901 Principal Life (A) 5.534%, 02/15/07 750 752 Travelers Property Casualty 3.750%, 03/15/08 1,000 976 -------------- 5,049 -------------- INVESTMENT BANKER/BROKER DEALER -- 1.7% Citigroup (A) 5.393%, 03/28/07 1,610 1,610 Credit Suisse First Boston USA (A) 5.480%, 03/02/07 1,500 1,502 Morgan Stanley MTN (A) 5.660%, 04/04/07 1,000 1,001 -------------- 4,113 -------------- PETROLEUM & FUEL PRODUCTS -- 0.2% Keyspan 4.900%, 05/16/08 360 357 -------------- Total Corporate Bonds (Cost $25,751) ($ Thousands) 25,751 -------------- - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 25 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund (Concluded) January 31, 2007 - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS -- 6.7% FHLMC 7.000%, 03/01/07 $ 4 $ 5 6.929%, 02/01/07 (A) 1,717 1,723 6.892%, 02/01/07 (A) 1,102 1,101 FHLMC REMIC, Ser 1599, Cl C 6.100%, 10/15/23 389 393 FHLMC REMIC, Ser 2630, Cl HA 3.000%, 01/15/17 1,705 1,608 FHLMC REMIC, Ser 2691, Cl OK 3.500%, 05/15/17 35 35 FHLMC REMIC, Ser 2727, Cl PA 4.125%, 08/15/18 180 180 FHLMC REMIC, Ser 2750, Cl OA 3.500%, 10/15/11 59 59 FNMA 7.241%, 02/01/07 (A) 816 833 7.143%, 02/01/07 (A) 281 282 7.141%, 02/01/07 (A) 764 768 6.994%, 02/01/07 (A) 179 182 6.895%, 02/01/07 (A) 85 86 6.645%, 02/01/07 (A) 1,331 1,335 6.413%, 02/01/07 (A) 230 231 6.340%, 02/01/08 1,283 1,283 FNMA REMIC, Ser 1993-220, Cl FA (A) 5.943%, 02/25/07 213 215 FNMA REMIC, Ser 1993-58, Cl H 5.500%, 04/25/23 290 290 FNMA REMIC, Ser 2001-33, Cl FA (A) 5.770%, 02/25/07 389 393 FNMA REMIC, Ser 2002-63, Cl QF (A) 5.620%, 02/25/07 269 270 FNMA REMIC, Ser 2002-64, Cl FG (A) 5.570%, 02/18/07 309 311 FNMA REMIC, Ser 2002-78, Cl AU 5.000%, 06/25/30 1,008 998 FNMA REMIC, Ser 2006-39, Cl PB 5.500%, 07/25/29 3,238 3,236 SLMA (A) 5.470%, 03/15/07 238 238 -------------- Total U.S. Government Agency Mortgage-Backed Obligations (Cost $16,273) ($ Thousands) 16,055 -------------- CERTIFICATE OF DEPOSIT -- 0.4% Wells Fargo Bank 5.090%, 03/29/07 1,000 1,000 -------------- Total Certificate of Deposit (Cost $1,000) ($ Thousands) 1,000 -------------- - -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- COLLATERALIZED LOAN OBLIGATION -- 0.2% Franklin, Ser 4A, Cl A (A) (B) 5.915%, 03/22/07 $ 500 $ 501 -------------- Total Collateralized Loan Obligation (Cost $503) ($ Thousands) 501 -------------- REPURCHASE AGREEMENT (C) -- 1.8% UBS Securities LLC 5.270%, dated 01/31/07, to be repurchased on 02/01/07, repurchase price $4,200,615 (collateralized by various U.S. Government obligations, ranging in par value $240,000- $4,013,283, 6.000%-6.500%, 02/01/36-11/01/36, with total market value $4,286,458) 4,200 4,200 -------------- Total Repurchase Agreement (Cost $4,200) ($ Thousands) 4,200 -------------- Total Investments -- 100.9% (Cost $241,387) ($ Thousands) $ 240,989 ============== Percentages are based on Net Assets of $238,820 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2007. The date shown is the earlier of the reset date or the demand date. (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (C) Tri-Party Repurchase Agreement. (D) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on January 31, 2007. 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 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 / Annual Report / January 31, 2007 This page intentionally left blank. Statements of Assets and Liabilities ($ Thousands) January 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------ MONEY PRIME MARKET GOVERNMENT GOVERNMENT II OBLIGATION FUND FUND FUND FUND - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments at value+ $ 933,392 $497,735 $825,018 $4,420,528 Repurchase agreements+ 169,975 284,166 -- 581,311 Cash 2 1 -- 4 Receivable for investment securities sold -- -- -- -- Interest receivable 6,637 2,990 3,509 8,891 Receivable for fund shares sold 1 -- -- 31 Receivable for variation margin -- -- -- -- Receivable for administration fees -- -- -- -- Receivable for investment advisory fees -- -- -- -- Receivable for shareholder servicing fees -- -- -- -- Prepaid expenses 70 52 53 296 - ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 1,110,077 784,944 828,580 5,011,061 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Income distribution payable 3,142 1,852 3,238 17,332 Payable for fund shares redeemed 200 -- -- -- Payable for investment securities purchased -- -- -- -- Payable for variation margin -- -- -- -- Shareholder servicing fees payable 216 111 40 595 Administration fees payable 47 66 9 391 Investment advisory fees payable 22 16 16 105 Trustees' fees payable 1 1 1 5 Accrued expense payable 51 37 38 249 - ------------------------------------------------------------------------------------------------------------------------------------ Total Liabilities 3,679 2,083 3,342 18,677 - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $1,106,398 $782,861 $825,238 $4,992,384 - ------------------------------------------------------------------------------------------------------------------------------------ + Cost of investments and repurchase agreements $1,103,367 $781,901 $825,018 $5,001,839 NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) $1,106,417 $782,939 $825,268 $4,992,561 Undistributed net investment income (Distributions in excess of net investment income) 8 1 -- 19 Accumulated net realized loss on investments and futures contracts (27) (79) (30) (196) Net unrealized depreciation on investments -- -- -- -- Net unrealized appreciation on futures contracts -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net Assets $1,106,398 $782,861 $825,238 $4,992,384 - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class A $1.00 $1.00 $1.00 $1.00 ($623,314,195 / ($507,735,038 / ($680,218,423 / ($3,382,050,905 / 623,335,266 shares) 507,771,995 shares) 680,311,684 shares) 3,382,267,685 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class B $1.00 $1.00 $1.00 $1.00 ($148,052,762 / ($122,674,112 / ( $140,930,224 / ($715,878,964 / 148,043,100 shares) 122,692,632 shares) 140,966,720 shares) 715,879,749 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class C $1.00 $1.00 $1.00 $1.00 ($243,943,605 / ($137,374,518 / ($4,089,337 / ($780,950,720 / 243,959,576 shares) 137,397,769 shares) 4,089,316 shares) 780,911,846 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class H N/A N/A N/A $1.00 ($ 65,511,940 / 65,514,260 shares) - ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class $1.00 $1.00 N/A $1.00 ($91,087,407 / ($15,077,332 / ($47,991,063 / 91,086,636 shares) 15,081,455 shares) 47,988,348 shares) - ------------------------------------------------------------------------------------------------------------------------------------
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 / Annual Report / January 31, 2007
SHORT-DURATION TREASURY TREASURY II GOVERNMENT FUND FUND FUND - ----------------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments at value+ $ -- $254,195 $114,616 Repurchase agreements+ 847,547 -- 9,900 Cash 1 1 2 Receivable for investment securities sold -- -- 13,516 Interest receivable 123 753 1,275 Receivable for fund shares sold -- -- 464 Receivable for variation margin -- -- -- Receivable for administration fees -- 7 3 Receivable for investment advisory fees -- -- 2 Receivable for shareholder servicing fees -- -- -- Prepaid expenses 53 12 15 - ----------------------------------------------------------------------------------------------------------------------------------- Total Assets 847,724 254,968 139,793 - ----------------------------------------------------------------------------------------------------------------------------------- LIABILITIES: Income distribution payable 2,851 701 152 Payable for fund shares redeemed -- -- 213 Payable for investment securities purchased -- -- 23,898 Payable for variation margin -- -- 54 Shareholder servicing fees payable 190 25 -- Administration fees payable 11 -- -- Investment advisory fees payable 16 4 -- Trustees' fees payable 1 -- -- Accrued expense payable 38 11 14 - ----------------------------------------------------------------------------------------------------------------------------------- Total Liabilities 3,107 741 24,331 - ----------------------------------------------------------------------------------------------------------------------------------- Net Assets $844,617 $254,227 $115,462 - ----------------------------------------------------------------------------------------------------------------------------------- + Cost of investments and repurchase agreements $847,547 $254,195 $125,154 NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) $844,710 $254,254 $123,532 Undistributed net investment income (Distributions in excess of net investment income) -- -- (17) Accumulated net realized loss on investments and futures contracts (93) (27) (7,557) Net unrealized depreciation on investments -- -- (638) Net unrealized appreciation on futures contracts -- -- 142 - ----------------------------------------------------------------------------------------------------------------------------------- Net Assets $844,617 $254,227 $115,462 - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $1.00 $1.00 $9.95 ($287,594,474 / ($181,975,971 / ($115,461,870 / 287,627,132 shares) 182,138,739 shares) 11,599,397 shares) - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class B $1.00 $1.00 N/A ($359,089,997 / ($51,983,876 / 359,129,943 shares) 51,984,145 shares) - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class C $1.00 $1.00 N/A ($100,927,771 / ($20,267,334 / 100,940,967 shares) 20,278,539 shares) - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class H N/A N/A N/A - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class $1.00 N/A N/A ($97,004,353 / 97,011,601 shares) - ----------------------------------------------------------------------------------------------------------------------------------- INTERMEDIATE- DURATION ULTRA GOVERNMENT GNMA SHORT BOND FUND FUND FUND - ----------------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments at value+ $46,609 $142,387 $236,789 Repurchase agreements+ 1,700 18,500 4,200 Cash 90 112 1,115 Receivable for investment securities sold 8,774 6,903 73 Interest receivable 377 601 917 Receivable for fund shares sold -- 12 70 Receivable for variation margin 15 4 -- Receivable for administration fees 4 -- -- Receivable for investment advisory fees -- -- -- Receivable for shareholder servicing fees -- 55 -- Prepaid expenses 21 7 13 - ----------------------------------------------------------------------------------------------------------------------------------- Total Assets 57,590 168,581 243,177 - ----------------------------------------------------------------------------------------------------------------------------------- LIABILITIES: Income distribution payable 108 400 120 Payable for fund shares redeemed 36 102 1,978 Payable for investment securities purchased 10,746 24,283 2,200 Payable for variation margin 35 18 -- Shareholder servicing fees payable -- -- -- Administration fees payable -- 39 21 Investment advisory fees payable 4 12 5 Trustees' fees payable -- -- -- Accrued expense payable 26 16 33 - ----------------------------------------------------------------------------------------------------------------------------------- Total Liabilities 10,955 24,870 4,357 - ----------------------------------------------------------------------------------------------------------------------------------- Net Assets $46,635 $143,711 $238,820 - ----------------------------------------------------------------------------------------------------------------------------------- + Cost of investments and repurchase agreements $48,684 $162,585 $241,387 NET ASSETS: Paid-in-Capital -- (unlimited authorization -- no par value) $50,595 $157,171 $244,071 Undistributed net investment income (Distributions in excess of net investment income) (42) (21) (32) Accumulated net realized loss on investments and futures contracts (3,653) (11,748) (4,821) Net unrealized depreciation on investments (375) (1,698) (398) Net unrealized appreciation on futures contracts 110 7 -- - ----------------------------------------------------------------------------------------------------------------------------------- Net Assets $46,635 $143,711 $238,820 - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $10.13 $9.34 $9.97 ($46,634,609 / ($143,710,581 / ($238,819,820 / 4,603,067 shares) 15,392,200 shares) 23,962,823 shares) - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class B N/A N/A N/A - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class C N/A N/A N/A - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class H N/A N/A N/A - ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class N/A N/A N/A - -----------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 29 Statements of Operations ($ Thousands) For the year ended January 31, 2007
- ----------------------------------------------------------------------------------------------------------------------------------- MONEY PRIME MARKET GOVERNMENT GOVERNMENT II OBLIGATION FUND FUND FUND FUND - ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest Income $65,025 $39,402 $39,754 $250,219 - ----------------------------------------------------------------------------------------------------------------------------------- EXPENSES: Administration Fees 4,173 1,863 1,493 9,212 Shareholder Servicing Fees - Class A Shares 1,931 1,186 1,455 8,085 Shareholder Servicing Fees - Sweep Class Shares 239 62 -- 113 Administrative & Shareholder Servicing Fees - Class B Shares 458 370 590 2,028 Administrative & Shareholder Servicing Fees - Class C Shares 1,213 762 26 4,160 Administrative & Shareholder Servicing Fees - Class H Shares -- -- -- 221 Distribution Fees - Sweep Class Shares 479 125 -- 225 Investment Advisory Fees 293 180 182 1,123 Trustees' Fees 20 12 13 81 Registration Fees 89 57 57 325 Custodian/Wire Agent Fees 47 36 33 232 Pricing Fees 2 1 1 7 Other Expenses 126 84 83 489 - ----------------------------------------------------------------------------------------------------------------------------------- Total Expenses 9,070 4,738 3,933 26,301 - ----------------------------------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees -- -- -- -- Administration Fees (2,474) (680) (290) (1,772) Shareholder Servicing Fees - Class A Shares (1,931) (1,186) (1,455) (8,085) - ----------------------------------------------------------------------------------------------------------------------------------- Net Expenses 4,665 2,872 2,188 16,444 - ----------------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 60,360 36,530 37,566 233,775 - ----------------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM: Investments (11) (11) (15) (92) Futures Contracts -- -- -- -- Payment by Affiliate (1) -- -- -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON/FROM: Investments -- -- -- -- Futures Contracts -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $60,349 $36,519 $37,551 $233,683 - -----------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are either $0 or have been rounded to $0. (1) See Note 3 in the Notes to the Financial Statements. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 30 SEI Daily Income Trust / Annual Report / January 31, 2007
- ----------------------------------------------------------------------------------------------------------------------------------- SHORT-DURATION INTERMEDIATE-DURATION ULTRA TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA SHORT BOND FUND FUND FUND FUND FUND FUND - ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest Income $37,557 $11,595 $ 6,494 $ 3,398 $ 8,042 $16,558 - ----------------------------------------------------------------------------------------------------------------------------------- EXPENSES: Administration Fees 1,778 586 490 255 484 1,192 Shareholder Servicing Fees - Class A Shares 583 399 350 182 378 852 Shareholder Servicing Fees - Sweep Class Shares 249 -- -- -- -- -- Administrative & Shareholder Servicing Fees - Class B Shares 886 180 -- -- -- -- Administrative & Shareholder Servicing Fees - Class C Shares 561 119 -- -- -- -- Administrative & Shareholder Servicing Fees - Class H Shares -- -- -- -- -- -- Distribution Fees - Sweep Class Shares 498 -- -- -- -- -- Investment Advisory Fees 172 57 140 73 151 341 Trustees' Fees 15 5 3 2 3 7 Registration Fees 47 23 14 8 14 39 Custodian/Wire Agent Fees 33 8 3 2 9 16 Pricing Fees 1 -- 73 38 68 122 Other Expenses 78 15 17 5 17 27 - ----------------------------------------------------------------------------------------------------------------------------------- Total Expenses 4,901 1,392 1,090 565 1,124 2,596 - ----------------------------------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees -- -- (36) -- -- (150) Administration Fees (640) (84) (74) (19) -- (401) Shareholder Servicing Fees - Class A Shares (583) (399) (350) (182) (217) (852) - ----------------------------------------------------------------------------------------------------------------------------------- Net Expenses 3,678 909 630 364 907 1,193 - ----------------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 33,879 10,686 5,864 3,034 7,135 15,365 - ----------------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM: Investments -- 1 (1,127) (1,624) (659) (1,432) Futures Contracts -- -- (671) (336) (45) -- Payment by Affiliate (1) -- 100 -- -- -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON/FROM: Investments -- -- 1,075 1,302 (1,344) 1,806 Futures Contracts -- -- 158 120 (6) -- - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $33,879 $10,787 $ 5,299 $ 2,496 $ 5,081 $15,739 - -----------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 31 Statements of Changes in Net Assets ($ Thousands) For the years ended January 31,
- --------------------------------------------------------------------------------------------------------------------------------- MONEY MARKET GOVERNMENT FUND FUND - --------------------------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 - --------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 60,360 $ 27,013 $ 36,530 $ 19,694 Net Realized Gain (Loss) on Investments and Payment by Affiliate (11) (17) (11) -- - --------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 60,349 26,996 36,519 19,694 - --------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (38,436) (16,207) (23,220) (11,793) Class B (7,046) (3,339) (5,642) (4,120) Class C (10,860) (5,096) (6,652) (3,066) Class H -- -- -- -- Sweep Class (4,014) (2,372) (1,015) (715) - --------------------------------------------------------------------------------------------------------------------------------- Total Dividends (60,356) (27,014) (36,529) (19,694) - --------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 4,626,500 3,325,894 2,520,525 3,986,557 Reinvestment of Dividends & Distributions 26,248 8,412 12,365 5,484 Cost of Shares Redeemed (4,421,639) (3,466,934) (2,492,596) (3,894,032) - --------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions 231,109 (132,628) 40,294 98,009 - --------------------------------------------------------------------------------------------------------------------------------- CLASS B: Proceeds from Shares Issued 917,031 821,330 1,339,355 1,160,464 Reinvestment of Dividends & Distributions 1,382 446 1,537 1,104 Cost of Shares Redeemed (894,210) (805,575) (1,340,240) (1,196,288) - --------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class B Transactions 24,203 16,201 652 (34,720) - --------------------------------------------------------------------------------------------------------------------------------- CLASS C: Proceeds from Shares Issued 1,084,772 1,088,472 653,701 469,963 Reinvestment of Dividends & Distributions 458 302 -- -- Cost of Shares Redeemed (1,073,354) (1,008,759) (645,740) (426,814) - --------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class C Transactions 11,876 80,015 7,961 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 520,457 584,778 284,713 276,875 Reinvestment of Dividends & Distributions -- -- 31 23 Cost of Shares Redeemed (542,477) (540,771) (296,027) (278,378) - --------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Sweep Class Transactions (22,020) 44,007 (11,283) (1,480) - --------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Capital Share Transactions 245,168 7,595 37,624 104,958 - --------------------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) in Net Assets 245,161 7,577 37,614 104,958 - --------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 861,237 853,660 745,247 640,289 - --------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 1,106,398 $ 861,237 $ 782,861 $ 745,247 - ----------------------------------------------------------------------------------------------------------------------------------- Undistributed Net Investment Income $ 8 $ -- $ 1 $ -- - -----------------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero. (1) See Note 3 in the Notes to the Financial Statements. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 32 SEI Daily Income Trust / Annual Report / January 31, 2007
- ---------------------------------------------------------------------------------------------------------------------------------- GOVERNMENT II PRIME OBLIGATION FUND FUND - ---------------------------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 - ---------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 37,566 $ 22,122 $ 233,775 $ 129,960 Net Realized Gain (Loss) on Investments and Payment by Affiliate (15) (5) (92) (18) - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 37,551 22,117 233,683 129,942 - ---------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (28,378) (17,432) (161,020) (88,693) Class B (8,959) (4,435) (31,445) (17,980) Class C (229) (254) (37,061) (21,185) Class H -- -- (2,339) (1,008) Sweep Class -- -- (1,891) (1,095) - ---------------------------------------------------------------------------------------------------------------------------------- Total Dividends (37,566) (22,121) (233,756) (129,961) - ---------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 2,182,858 2,122,774 34,766,540 29,575,399 Reinvestment of Dividends & Distributions 3,878 2,957 33,201 17,163 Cost of Shares Redeemed (2,082,794) (2,064,701) (34,374,725) (29,608,316) - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions 103,942 61,030 425,016 (15,754) - ---------------------------------------------------------------------------------------------------------------------------------- CLASS B: Proceeds from Shares Issued 608,607 738,367 5,786,736 5,636,302 Reinvestment of Dividends & Distributions 408 643 12,947 7,150 Cost of Shares Redeemed (636,659) (730,903) (5,709,619) (5,681,249) - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class B Transactions (27,644) 8,107 90,064 (37,797) - ---------------------------------------------------------------------------------------------------------------------------------- CLASS C: Proceeds from Shares Issued 26,038 60,303 5,791,860 5,162,865 Reinvestment of Dividends & Distributions -- 2 9,931 6,041 Cost of Shares Redeemed (26,398) (74,485) (5,800,449) (5,119,585) - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class C Transactions (360) (14,180) 1,342 49,321 - ---------------------------------------------------------------------------------------------------------------------------------- CLASS H: Proceeds from Shares Issued -- -- 131,479 85,991 Reinvestment of Dividends & Distributions -- -- 2,339 1,008 Cost of Shares Redeemed -- -- (104,311) (92,214) - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class H Transactions -- -- 29,507 (5,215) - ---------------------------------------------------------------------------------------------------------------------------------- SWEEP CLASS: Proceeds from Shares Issued -- -- 515,873 407,174 Reinvestment of Dividends & Distributions -- -- 186 68 Cost of Shares Redeemed -- -- (513,197) (395,019) - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Sweep Class Transactions -- -- 2,862 12,223 - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Capital Share Transactions 75,938 54,957 548,791 2,778 - ---------------------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) in Net Assets 75,923 54,953 548,718 2,759 - ---------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 749,315 694,362 4,443,666 4,440,907 - ---------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 825,238 $ 749,315 $ 4,992,384 $ 4,443,666 - ----------------------------------------------------------------------------------------------------------------------------------- Undistributed Net Investment Income $ -- $ -- $ 19 $ -- - ----------------------------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------------------------- TREASURY TREASURY II FUND FUND - ---------------------------------------------------------------------------------------------------------------------------------- 2007 2006 2007 2006 - ---------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 33,879 $ 18,770 $ 10,686 $ 8,452 Net Realized Gain (Loss) on Investments and Payment by Affiliate -- 4 101 (11) - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 33,879 18,774 10,787 8,441 - ---------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (11,401) (8,111) (7,210) (6,410) Class B (13,518) (6,067) (2,510) (1,831) Class C (4,869) (2,235) (966) (211) Class H -- -- -- -- Sweep Class (4,091) (2,357) -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Total Dividends (33,879) (18,770) (10,686) (8,452) - ---------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 1,592,668 1,804,616 1,014,056(1) 1,172,871 Reinvestment of Dividends & Distributions 492 507 1,132 1,217 Cost of Shares Redeemed (1,513,665) (1,890,004) (1,011,783) (1,259,325) - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions 79,495 (84,881) 3,405 (85,237) - ---------------------------------------------------------------------------------------------------------------------------------- CLASS B: Proceeds from Shares Issued 1,413,341 1,087,690 245,341(1) 362,752 Reinvestment of Dividends & Distributions 3,559 1,477 154 126 Cost of Shares Redeemed (1,297,271) (1,056,405) (264,119) (371,045) - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class B Transactions 119,629 32,762 (18,624) (8,167) - ---------------------------------------------------------------------------------------------------------------------------------- CLASS C: Proceeds from Shares Issued 792,993 818,357 439,260(1) 136,916 Reinvestment of Dividends & Distributions 88 42 754 -- Cost of Shares Redeemed (805,554) (773,928) (422,344) (165,704) - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class C Transactions (12,473) 44,471 17,670 (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 585,519 550,906 -- -- Reinvestment of Dividends & Distributions -- -- -- -- Cost of Shares Redeemed (572,084) (562,742) -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Sweep Class Transactions 13,435 (11,836) -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Capital Share Transactions 200,086 (19,484) 2,451 (122,192) - ---------------------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) in Net Assets 200,086 (19,480) 2,552 (122,203) - ---------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 644,531 664,011 251,675 373,878 - ---------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 844,617 $ 644,531 $ 254,227 $ 251,675 - ----------------------------------------------------------------------------------------------------------------------------------- Undistributed Net Investment Income $ -- $ -- $ -- $ -- - -----------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 33 Statements of Changes in Net Assets ($ Thousands) For the years ended January 31,
- ------------------------------------------------------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND - ------------------------------------------------------------------------------------------------------------------------------- 2007 2006 - ------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 5,864 $ 5,959 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,798) (1,844) Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 1,233 (681) - ------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 5,299 3,434 - ------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS: Net Investment Income (6,236) (6,742) - ------------------------------------------------------------------------------------------------------------------------------- Total Dividends (6,236) (6,742) - ------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 64,641 87,343 Reinvestment of Dividends & Distributions 4,738 5,265 Cost of Shares Redeemed (108,492) (135,823) - ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (39,113) (43,215) - ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (40,050) (46,523) - ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 155,512 202,035 - ------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $115,462 $155,512 - ------------------------------------------------------------------------------------------------------------------------------- Distributions in Excess of Net Investment Income $ (17) $ (72) - ------------------------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: CLASS A: Shares Issued 6,485 8,636 Reinvestment of Distributions 475 522 Shares Redeemed (10,882) (13,463) - ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding from Share Transactions (3,922) (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. - -------------------------------------------------------------------------------- 34 SEI Daily Income Trust / Annual Report / January 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------- INTERMEDIATE-DURATION GOVERNMENT FUND - ------------------------------------------------------------------------------------------------------------------------------- 2007 2006 - ------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 3,034 $ 3,488 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,960) (830) Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 1,422 (1,720) - ------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 2,496 938 - ------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS: Net Investment Income (3,175) (3,755) - ------------------------------------------------------------------------------------------------------------------------------- Total Dividends (3,175) (3,755) - ------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 18,086 23,528 Reinvestment of Dividends & Distributions 1,027 1,397 Cost of Shares Redeemed (57,672) (45,629) - ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (38,559) (20,704) - ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (39,238) (23,521) - ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 85,873 109,394 - ------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 46,635 $ 85,873 - ------------------------------------------------------------------------------------------------------------------------------- Distributions in Excess of Net Investment Income $ (42) $ (20) - ------------------------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: CLASS A: Shares Issued 1,790 2,272 Reinvestment of Distributions 101 135 Shares Redeemed (5,700) (4,415) - ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding from Share Transactions (3,809) (2,008) - ------------------------------------------------------------------------------------------------------------------------------- - ------------------------------------------------------------------------------------------------------------------------------- GNMA FUND - ------------------------------------------------------------------------------------------------------------------------------- 2007 2006 - ------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 7,135 $ 7,431 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (704) 974 Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts (1,350) (3,896) - ------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 5,081 4,509 - ------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS: Net Investment Income (7,688) (8,670) - ------------------------------------------------------------------------------------------------------------------------------- Total Dividends (7,688) (8,670) - ------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 21,717 51,821 Reinvestment of Dividends & Distributions 3,379 5,754 Cost of Shares Redeemed (45,102) (58,229) - ------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (20,006) (654) - ------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (22,613) (4,815) - ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 166,324 171,139 - ------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 143,711 $166,324 - ------------------------------------------------------------------------------------------------------------------------------- Distributions in Excess of Net Investment Income $ (21) $ -- - ------------------------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: CLASS A: Shares Issued 2,323 5,394 Reinvestment of Distributions 362 602 Shares Redeemed (4,831) (6,088) - ------------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Shares Outstanding from Share Transactions (2,146) (92) - ------------------------------------------------------------------------------------------------------------------------------ - -------------------------------------------------------------------------------------------------------------------------------- ULTRA SHORT BOND FUND - -------------------------------------------------------------------------------------------------------------------------------- 2007 2006 - -------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 15,365 $ 11,264 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,432) (362) Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 1,806 (1,077) - -------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 15,739 9,825 - -------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS: Net Investment Income (15,345) (11,854) - -------------------------------------------------------------------------------------------------------------------------------- Total Dividends (15,345) (11,854) - -------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 236,013 296,269 Reinvestment of Dividends & Distributions 12,936 10,495 Cost of Shares Redeemed (422,740) (209,900) - -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (173,791) 96,864 - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (173,397) 94,835 - -------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 412,217 317,382 - -------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 238,820 $ 412,217 - -------------------------------------------------------------------------------------------------------------------------------- Distributions in Excess of Net Investment Income $ (32) $ (74) - -------------------------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: CLASS A: Shares Issued 23,734 29,708+ Reinvestment of Distributions 1,300 1,052+ Shares Redeemed (42,512) (21,042)+ - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Shares Outstanding from Share Transactions (17,478) 9,718+ - --------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 35 Financial Highlights For the years ended January 31, For a Share Outstanding Throughout the Years
- ------------------------------------------------------------------------------------------------------------- Net Realized and Net Asset Unrealized Dividends Total Value, Net Gains Total from Net Dividends Beginning Investment (Losses) from Investment and of Year Income on Securities Operations Income Distributions - ------------------------------------------------------------------------------------------------------------- MONEY MARKET FUND CLASS A 2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05) 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) CLASS B 2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05) 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) CLASS C 2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04) 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) SWEEP CLASS 2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04) 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) GOVERNMENT FUND CLASS A 2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05) 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) CLASS B 2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05) 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) CLASS C 2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04) 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2004 1.00 --(1) --(1) -- --(2) --(2) 2003 1.00 0.01 -- 0.01 (0.01) (0.01) - -------------------------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Asset Net Assets Expenses Net Assets Income Value, End Total End of Year to Average (Excluding to Average of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets - -------------------------------------------------------------------------------------------------- MONEY MARKET FUND CLASS A 2007 $1.00 5.07% $623,314 0.18% 0.63% 4.97% 2006 1.00 3.30 392,207 0.18 0.62 3.25 2005 1.00 1.37 524,849 0.18 0.62 1.38 2004 1.00 1.04 603,798 0.18 0.62 1.05 2003 1.00 1.61 581,097 0.18 0.63 1.59 CLASS B 2007 $1.00 4.76% $148,053 0.48% 0.68% 4.61% 2006 1.00 2.99 123,851 0.48 0.67 2.98 2005 1.00 1.07 107,650 0.48 0.67 1.10 2004 1.00 0.74 124,401 0.48 0.67 0.74 2003 1.00 1.31 159,389 0.48 0.68 1.30 CLASS C 2007 $1.00 4.55% $243,944 0.68% 0.88% 4.48% 2006 1.00 2.78 232,072 0.68 0.87 2.83 2005 1.00 0.86 152,060 0.68 0.87 0.84 2004 1.00 0.54 200,467 0.68 0.87 0.55 2003 1.00 1.11 307,236 0.68 0.88 1.10 SWEEP CLASS 2007 $1.00 4.29% $ 91,087 0.93% 1.13% 4.19% 2006 1.00 2.53 113,107 0.93 1.12 2.60 2005 1.00 0.61 69,101 0.93 1.12 0.61 2004 1.00 0.29 87,791 0.93 1.12 0.30 2003 1.00 0.85 149,729 0.93 1.13 0.85 GOVERNMENT FUND CLASS A 2007 $1.00 4.97% $507,735 0.20% 0.54% 4.88% 2006 1.00 3.21 467,445 0.20 0.53 3.23 2005 1.00 1.30 369,440 0.20 0.53 1.32 2004 1.00 1.00 329,940 0.20 0.53 0.99 2003 1.00 1.53 370,142 0.20 0.53 1.51 CLASS B 2007 $1.00 4.66% $122,674 0.50% 0.59% 4.57% 2006 1.00 2.90 122,025 0.50 0.58 2.84 2005 1.00 1.00 156,741 0.50 0.58 0.93 2004 1.00 0.69 240,491 0.50 0.58 0.70 2003 1.00 1.23 258,488 0.50 0.58 1.20 CLASS C 2007 $1.00 4.45% $137,375 0.70% 0.79% 4.37% 2006 1.00 2.70 129,416 0.70 0.78 2.74 2005 1.00 0.80 86,267 0.70 0.78 0.77 2004 1.00 0.49 105,763 0.70 0.78 0.50 2003 1.00 1.02 138,864 0.70 0.78 1.02
- -------------------------------------------------------------------------------- 36 SEI Daily Income Trust / Annual Report / January 31, 2007
- ------------------------------------------------------------------------------------------------------------- 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 - ------------------------------------------------------------------------------------------------------------- GOVERNMENT FUND (CONTINUED) SWEEP CLASS 2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04) 2006 1.00 0.02(1) --(1) 0.02 (0.02) (0.02) 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) GOVERNMENT II FUND CLASS A 2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05) 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) CLASS B 2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05) 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) CLASS C 2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04) 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) PRIME OBLIGATION FUND CLASS A 2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05) 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2004 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2003 1.00 0.02 -- 0.02 (0.02) (0.02) - -------------------------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Asset Net Assets Expenses Net Assets Income Value, End Total End of Year to Average (Excluding to Average of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets - -------------------------------------------------------------------------------------------------- GOVERNMENT FUND (CONTINUED) SWEEP CLASS 2007 $1.00 4.19% $ 15,077 0.95% 1.04% 4.07% 2006 1.00 2.44 26,361 0.95 1.03 2.43 2005 1.00 0.55 27,841 0.95 1.03 0.51 2004 1.00 0.25 46,254 0.95 1.03 0.25 2003 1.00 0.77 52,423 0.95 1.03 0.77 GOVERNMENT II FUND CLASS A 2007 $1.00 4.96% $ 680,219 0.20% 0.49% 4.86% 2006 1.00 3.18 576,242 0.20 0.48 3.18 2005 1.00 1.27 515,216 0.20 0.48 1.25 2004 1.00 0.96 568,888 0.20 0.47 0.96 2003 1.00 1.50 669,654 0.20 0.48 1.49 CLASS B 2007 $1.00 4.64% $ 140,930 0.50% 0.54% 4.56% 2006 1.00 2.87 168,616 0.50 0.53 2.80 2005 1.00 0.97 160,509 0.50 0.53 0.92 2004 1.00 0.66 201,085 0.50 0.52 0.66 2003 1.00 1.20 174,496 0.50 0.53 1.19 CLASS C 2007 $1.00 4.44% $ 4,089 0.70% 0.74% 4.38% 2006 1.00 2.67 4,457 0.70 0.73 2.39 2005 1.00 0.76 18,637 0.70 0.73 0.71 2004 1.00 0.46 46,853 0.70 0.72 0.46 2003 1.00 1.00 54,860 0.70 0.73 1.00 PRIME OBLIGATION FUND CLASS A 2007 $1.00 5.06% $3,382,051 0.20% 0.49% 4.96% 2006 1.00 3.28 2,957,074 0.20 0.48 3.26 2005 1.00 1.34 2,972,833 0.20 0.48 1.31 2004 1.00 1.02 3,235,847 0.20 0.48 1.02 2003 1.00 1.58 3,527,722 0.20 0.48 1.56
Amounts designated as "--" are $0 or have been rounded to $0. + Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. (1) Per share calculations were performed using average shares. (2) Amount represents less than $0.01 per share. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 37 Financial Highlights For the years ended January 31, For a Share Outstanding Throughout the Years
- ------------------------------------------------------------------------------------------------------------- Net Realized and Net Asset Unrealized Dividends Total Value, Net Gains Total from Net Dividends Beginning Investment (Losses) from Investment and of Year Income on Securities Operations Income Distributions - ------------------------------------------------------------------------------------------------------------- PRIME OBLIGATION FUND (CONTINUED) CLASS B 2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05) 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) CLASS C 2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04) 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) CLASS H 2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04) 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) SWEEP CLASS 2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04) 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) TREASURY FUND CLASS A 2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05) 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) CLASS B 2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05) 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) CLASS C 2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04) 2006 1.00 0.03(1) --(1) 0.03 (0.03) (0.03) 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2004 1.00 --(1) --(1) -- --(2) --(2) 2003 1.00 0.01 -- 0.01 (0.01) (0.01) - -------------------------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Asset Net Assets Expenses Net Assets Income Value, End Total End of Year to Average (Excluding to Average of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets - -------------------------------------------------------------------------------------------------- PRIME OBLIGATION FUND (CONTINUED) CLASS B 2007 $1.00 4.74% $715,879 0.50% 0.54% 4.65% 2006 1.00 2.98 625,831 0.50 0.53 2.88 2005 1.00 1.03 663,635 0.50 0.53 1.05 2004 1.00 0.72 572,097 0.50 0.53 0.72 2003 1.00 1.28 776,902 0.50 0.53 1.26 CLASS C 2007 $1.00 4.53% $780,951 0.70% 0.74% 4.45% 2006 1.00 2.77 779,625 0.70 0.73 2.76 2005 1.00 0.83 730,310 0.70 0.73 0.82 2004 1.00 0.52 864,829 0.70 0.73 0.52 2003 1.00 1.07 929,285 0.70 0.73 1.07 CLASS H 2007 $1.00 4.61% $ 65,512 0.63% 0.67% 4.55% 2006 1.00 2.84 36,006 0.63 0.66 2.81 2005 1.00 0.90 41,221 0.63 0.66 0.90 2004 1.00 0.59 36,023 0.63 0.66 0.59 2003 1.00 1.15 44,327 0.63 0.66 1.13 SWEEP CLASS 2007 $1.00 4.27% $ 47,991 0.95% 0.99% 4.20% 2006 1.00 2.51 45,130 0.95 0.98 2.53 2005 1.00 0.58 32,908 0.95 0.98 0.58 2004 1.00 0.27 37,399 0.95 0.98 0.28 2003 1.00 0.82 56,968 0.95 0.98 0.83 TREASURY FUND CLASS A 2007 $1.00 4.95% $287,595 0.20% 0.54% 4.87% 2006 1.00 3.13 208,097 0.20 0.53 3.05 2005 1.00 1.22 292,974 0.20 0.53 1.21 2004 1.00 0.96 264,544 0.20 0.53 0.92 2003 1.00 1.51 147,129 0.20 0.54 1.50 CLASS B 2007 $1.00 4.64% $359,090 0.50% 0.59% 4.58% 2006 1.00 2.82 239,461 0.50 0.58 2.81 2005 1.00 0.91 206,698 0.50 0.58 0.85 2004 1.00 0.66 325,687 0.50 0.58 0.65 2003 1.00 1.21 319,991 0.50 0.59 1.19 CLASS C 2007 $1.00 4.43% $100,928 0.70% 0.79% 4.34% 2006 1.00 2.62 113,403 0.70 0.78 2.70 2005 1.00 0.71 68,932 0.70 0.78 0.66 2004 1.00 0.46 109,647 0.70 0.78 0.45 2003 1.00 1.01 103,015 0.70 0.79 0.98
- -------------------------------------------------------------------------------- 38 SEI Daily Income Trust / Annual Report / January 31, 2007
- --------------------------------------------------------------------------------------------------------------- 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 - --------------------------------------------------------------------------------------------------------------- TREASURY FUND (CONTINUED) SWEEP CLASS 2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04) 2006 1.00 0.02(1) --(1) 0.02 (0.02) (0.02) 2005 1.00 --(1) --(1) -- --(2) --(2) 2004 1.00 --(1) --(1) -- --(2) --(2) 2003 1.00 0.01 -- 0.01 (0.01) (0.01) TREASURY II FUND CLASS A 2007 $1.00 $0.05(1) $--(1) $0.05 $(0.05) $(0.05) 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) CLASS B 2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04) 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) CLASS C 2007 $1.00 $0.04(1) $--(1) $0.04 $(0.04) $(0.04) 2006 1.00 0.02(1) --(1) 0.02 (0.02) (0.02) 2005 1.00 0.01(1) --(1) 0.01 (0.01) (0.01) 2004 1.00 --(1) --(1) -- --(2) --(2) 2003 1.00 0.01 -- 0.01 (0.01) (0.01) - -------------------------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Asset Net Assets Expenses Net Assets Income Value, End Total End of Year to Average (Excluding to Average of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets - -------------------------------------------------------------------------------------------------- TREASURY FUND (CONTINUED) SWEEP CLASS 2007 $1.00 4.17% $ 97,004 0.95% 1.04% 4.11% 2006 1.00 2.36 83,570 0.95 1.03 2.35 2005 1.00 0.49 95,407 0.93 1.03 0.49 2004 1.00 0.23 95,679 0.92 1.03 0.22 2003 1.00 0.76 102,257 0.95 1.04 0.75 TREASURY II FUND CLASS A 2007 $1.00 4.62% $181,976 0.25% 0.53% 4.50% 2006 1.00 2.85 178,480 0.25 0.53 2.78 2005 1.00 1.09 263,727 0.25 0.53 1.08 2004 1.00 0.81 269,200 0.25 0.53 0.80 2003 1.00 1.42 410,954 0.25 0.53 1.42 CLASS B 2007 $1.00 4.31% $ 51,984 0.55% 0.58% 4.18% 2006 1.00 2.54 70,593 0.55 0.58 2.50 2005 1.00 0.79 78,781 0.55 0.58 0.70 2004 1.00 0.51 160,859 0.55 0.58 0.51 2003 1.00 1.12 210,421 0.55 0.58 1.08 CLASS C 2007 $1.00 4.10% $ 20,267 0.75% 0.78% 4.04% 2006 1.00 2.33 2,602 0.75 0.78 2.03 2005 1.00 0.59 31,370 0.75 0.78 0.54 2004 1.00 0.31 58,424 0.75 0.78 0.30 2003 1.00 0.91 92,554 0.75 0.78 0.90
Amounts designated as "--" are $0 or have been rounded to $0. + Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. (1) Per share calculations were performed using average shares. (2) Amount represents less than $0.01 per share. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 39 Financial Highlights For the years ended January 31, For a Share Outstanding Throughout the Years
- ------------------------------------------------------------------------------------------------------------------------------- Net Realized and Distributions Net Asset Unrealized Dividends from Total Value, Net Gains Total from Net Realized Dividends Beginning Investment (Losses) from Investment Capital and of Year Income on Securities Operations Income Gains Distributions - ------------------------------------------------------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND CLASS A 2007 $10.02 $0.42(1) $(0.04)(1) $0.38 $(0.45) $ -- $(0.45) 2006 10.19 0.32(1) (0.13)(1) 0.19 (0.36) -- (0.36) 2005 10.35 0.22(1) (0.12)(1) 0.10 (0.26) -- (0.26) 2004 10.46 0.22(1) (0.06)(1) 0.16 (0.27) -- (0.27) 2003 10.30 0.32 0.21 0.53 (0.34) (0.03) (0.37) INTERMEDIATE-DURATION GOVERNMENT FUND CLASS A 2007 $10.21 $0.42(1) $(0.06)(1) $0.36 $(0.44) $ -- $(0.44) 2006 10.50 0.36(1) (0.26)(1) 0.10 (0.39) -- (0.39) 2005 10.64 0.31(1) (0.11)(1) 0.20 (0.33) (0.01) (0.34) 2004 10.89 0.31(1) 0.01(1) 0.32 (0.33) (0.24) (0.57) 2003 10.40 0.42 0.51 0.93 (0.44) -- (0.44) GNMA FUND CLASS A 2007 $ 9.48 $0.44(1) $(0.11)(1) $0.33 $(0.47) $ -- $(0.47) 2006 9.71 0.41(1) (0.16)(1) 0.25 (0.48) -- (0.48) 2005 9.86 0.39(1) (0.04)(1) 0.35 (0.50) -- (0.50) 2004 10.13 0.30(1) (0.09)(1) 0.21 (0.48) -- (0.48) 2003 9.91 0.44 0.31 0.75 (0.53) -- (0.53) ULTRA SHORT BOND FUND CLASS A 2007 $ 9.95 $0.45(1) $ 0.03(1) $0.48 $(0.46) $ -- $(0.46) 2006++ 10.00 0.32(1) (0.04)(1) 0.28 (0.33) -- (0.33) 2005++ 10.10 0.20(1) (0.10)(1) 0.10 (0.20) -- (0.20) 2004++ 10.15 0.20(1) (0.05)(1) 0.15 (0.20) -- (0.20) 2003++ 10.15 0.30 -- 0.30 (0.30) (0.00)(2) (0.30) - ------------------------------------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Asset Net Assets Expenses Net Assets Income Portfolio Value, End Total End of Year to Average (Excluding to Average Turnover of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets Rate - ------------------------------------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND CLASS A 2007 $ 9.95 3.84% $115,462 0.45% 0.78% 4.19% 210% 2006 10.02 1.93 155,512 0.45 0.75 3.15 162 2005 10.19 0.96 202,035 0.45 0.74 2.12 66 2004 10.35 1.55 289,986 0.45 0.72 2.07 117 2003 10.46 5.29 318,046 0.45 0.73 2.92 125 INTERMEDIATE-DURATION GOVERNMENT FUND CLASS A 2007 $10.13 3.64% $ 46,635 0.50% 0.78% 4.17% 200% 2006 10.21 0.94 85,873 0.50 0.73 3.46 151 2005 10.50 1.85 109,394 0.50 0.73 2.92 80 2004 10.64 2.98 134,615 0.50 0.72 2.89 154 2003 10.89 9.12 188,009 0.50 0.73 3.92 57 GNMA FUND CLASS A 2007 $ 9.34 3.65% $143,711 0.60% 0.74% 4.72% 105% 2006 9.48 2.60 166,324 0.60 0.71 4.26 97 2005 9.71 3.64 171,139 0.60 0.71 3.97 85 2004 9.86 2.16 219,483 0.60 0.69 2.97 145 2003 10.13 7.73 390,393 0.60 0.70 4.12 146 ULTRA SHORT BOND FUND CLASS A 2007 $ 9.97 4.88% $238,820 0.35% 0.76% 4.51% 40% 2006++ 9.95 2.90 412,217 0.35 0.75 3.22 67 2005++ 10.00 1.11 317,382 0.35 0.75 1.84 59 2004++ 10.10 1.61 293,816 0.35 0.73 1.84 68 2003++ 10.15 3.35 352,284 0.35 0.73 2.81 76
Amounts designated as "--" are $0 or have been rounded to $0. + Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. ++ Per share amounts have been adjusted for a 5 for 1 reverse stock split paid to shareholders of record on May 6, 2005. (1) Per share calculations were performed using average shares. (2) Amount represents less than $0.01 per share. The accompanying notes are an integral part of the financial statements. - -------------------------------------------------------------------------------- 40 SEI Daily Income Trust / Annual Report / January 31, 2007 NOTES TO FINANCIAL STATEMENTS Notes to Financial Statements 1. ORGANIZATION SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business trust under a Declaration of Trust dated March 15, 1982. The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end investment company with ten operational Funds: the Money Market, Government, Government II, Prime Obligation, Treasury, Treasury II (each a "Fund," collectively the "Money Market Funds"), the Short-Duration Government, Intermediate-Duration Government, GNMA, and Ultra Short Bond (each a "Fund," collectively the "Fixed Income Funds"). The Money Market, Government, Government II, Prime Obligation, Treasury, Treasury II, Short-Duration Government, Intermediate-Duration Government, and GNMA Funds seek to preserve principal value and maintain a high degree of liquidity while providing current income. The Ultra Short Bond Fund seeks to provide higher current income than that typically offered by a money market fund while maintaining a high degree of liquidity and a correspondingly higher risk of principal volatility. The assets of each Fund are segregated, and a shareholder's interest is limited to the Fund in which shares are held. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed by the Funds. USE OF ESTIMATES -- The preparation of financial statements, in conformity with accounting principles generally accepted in the United States of America, requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets at the date of the financial statements, and the reported results of operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Investment securities of the Money Market Funds are stated at amortized cost which approximates market value. Under this valuation method, purchase discounts and premiums are accreted and amortized ratably to maturity and are included in interest income. Investment securities of the Fixed Income Funds listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the last quoted sale price on the primary exchange or market on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Funds' Board of Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Funds' Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. As of January 31, 2007, 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 / Annual Report / January 31, 2007 41 NOTES TO FINANCIAL STATEMENTS (CONTINUED) FUTURES CONTRACTS -- The Short-Duration Government Fund, the Intermediate- Duration Government Fund and the GNMA Fund utilized futures contracts during the year ended January 31, 2007. The Funds' investment in these futures contracts is designed to enable the Funds to more closely approximate the performance of their benchmark indices. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are "marked-to-market" daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks related to futures contracts include the possibility that there may not be a liquid market for the contracts, that the changes in the value of the contract may not directly correlate with changes in the value of the underlying securities, and that the counterparty to a contract may default on its obligation to perform. The notional amount presented in the Schedules of Investments in the 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 January 31, 2007, 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 amortized cost as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, along with their cost and values at January 31, 2007, were as follows:
NUMBER ACQUISITION COST MARKET VALUE % OF NET OF SHARES DATE ($THOUSANDS) ($THOUSANDS) ASSETS - ---------------------------------------------------------------------------------------- MONEY MARKET FUND Metropolitan Life Insurance 30,000 05/01/03 $ 30,000 $ 30,000 2.7% Monumental Life Insurance 9,500 03/21/03 9,500 9,500 0.9 -------- -------- --- $ 39,500 $ 39,500 3.6% ======== ======== === PRIME OBLIGATION FUND Metropolitan Life Insurance 160,000 05/01/03 $160,000 $160,000 3.2% Monumental Life Insurance 101,500 03/21/03 101,500 101,500 2.0 -------- -------- --- $261,500 $261,500 5.2% ======== ======== ===
- -------------------------------------------------------------------------------- 42 SEI Daily Income Trust / Annual Report / January 31, 2007 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). The expense waivers are allocated to each share class pro-rata based on the net assets of each share class.
- ----------------------------------------------------------------------------------------- Money Prime Market Government Government II Obligation Treasury Treasury II Fund Fund Fund Fund Fund Fund - ----------------------------------------------------------------------------------------- Class A .18%(1) .20%(3) .20%(2) .20%(2) .20%(2) .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, 2008, to be changed only by Board approval. (3) Represents a contractual cap of .25%, .55%, and .75% of Class A, B, and C, respectively, effective through January 31, 2008, to be changed only by Board approval. In addition, management has voluntarily waived fees to a cap of .20%, .50%, and .70% of Class A, B, and C, respectively, that may be discontinued at any time. During the year ended January 31, 2006, the Short-Duration Government Fund and the Intermediate-Duration Government Fund were reimbursed by the Administrator, deemed as a "Payment by Affiliate" on the Statements of Changes in Net Assets, for losses incurred of $7,422 and $3,906, respectively, due to the sale of shares in several option contracts that were inadvertently purchased. During the year ended January 31, 2007, the Treasury II Portfolio was reimbursed by the advisor, deemed as a "Payment by Affiliate" in the Statement of Operations, for reimbursement of investment losses incurred of $100,000. 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% -- - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 43 NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- Adminis- Shareholder trative Servicing Service Distribution Fees Fees Fees* - -------------------------------------------------------------------------------- Short-Duration Government Fund -- Class A .25% -- -- Intermediate-Duration Government Fund -- Class A .25% -- -- GNMA Fund -- Class A .25% -- -- Ultra Short Bond Fund -- Class A .25% -- -- * These payments are characterized as "compensation" and are not directly tied to expenses incurred by the Distributor. The payments the Distributor receives during any year may therefore be higher or lower than its actual expenses. These payments may be used to compensate sweep class shareholders who provide distribution-related services to their customers. The Distributor has voluntarily waived all or a portion of the shareholder servicing fees for Class A of each fund since inception of the plan. Such waivers are voluntary and may be discontinued at any time. For Classes B, C, and H, the shareholder servicing fees and the administrative service fees are shown combined as "Administrative & Shareholder Servicing Fees" in the Statement of Operations. Certain officers and Trustees of the Trust are also officers and/or Trustees of the Administrator or the adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator or the adviser pays compensation of officers and affiliated Trustees. 4. INVESTMENT ADVISORY AND CUSTODIAN AGREEMENTS SEI Investments Management Corporation ("SIMC") serves as each Fund's investment adviser and "manager of managers" under an investment advisory agreement approved by the shareholders of each Fund. For its services, SIMC receives an annual fee equal to .075% on the first $500 million of net assets and .02% on the net assets in excess of $500 million for the Money Market Funds. The fee will be calculated based on the combined assets of the Money Market Funds. SIMC also receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Short-Duration Government, Intermediate-Duration Government and GNMA Funds. The fee will be calculated based on the combined assets of the Funds listed above. SIMC also receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Ultra Short Bond Fund. The fee will be calculated based on the net assets of the Ultra Short Bond Fund. Pursuant to the "manager of managers" structure, the Board of Trustees approved Columbia Management Advisors, LLC (formerly Banc of America Capital Management, LLC) as each Money Market Fund's investment sub-adviser under an investment sub-advisory agreement approved by the shareholders of each Fund. For its services to the Money Market Funds, the sub-adviser is entitled to receive a fee paid directly by SIMC. Wellington Management Company, LLP ("Wellington LLP") serves as sub-adviser to the Fixed Income Funds under an investment sub-advisory agreement approved by the shareholders of each Fund. For its services to the Funds, Wellington LLP is entitled to receive a fee paid directly by SIMC. U.S. Bank, N.A. serves as the custodian of the Funds. The custodian plays no role in determining the investment policies of the Funds or which securities are to be purchased or sold in the Funds. 5. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale of securities, other than temporary investments in short-term securities, for the year ended January 31, 2007, were as follows for the Fixed Income Funds: - -------------------------------------------------------------------------------- Short- Intermediate- Ultra Duration Duration Short Government Government GNMA Bond Fund Fund Fund Fund ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - -------------------------------------------------------------------------------- PURCHASES U.S. Government $143,187 $135,410 $142,716 $ 13,345 Other 137,639 5,000 14,547 86,708 SALES U.S. Government $192,829 $170,694 $155,708 $ 66,057 Other 130,427 5,696 22,613 192,686 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 - -------------------------------------------------------------------------------- 44 SEI Daily Income Trust / Annual Report / January 31, 2007 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 reclass of distributions and tax treatment of paydown gain (loss) on mortgage and asset-backed securities. Accordingly, the following permanent differences have been reclassified to/from the following accounts during the fiscal year ended January 31, 2007:
- ------------------------------------------------------------------------------------------ Undistributed Accumulated Net Investment Net Realized Paid-in Capital Income Gain (Loss) ($ Thousands) ($ Thousands) ($ Thousands) - ------------------------------------------------------------------------------------------ Money Market Fund $-- $ 4 $ (4) Short-Duration Government Fund -- 427 (427) Intermediate-Duration Government Fund -- 119 (119) GNMA Fund -- 532 (532) Ultra Short Bond Fund -- 22 (22)
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 2007 $ 60,356 $-- $ 60,356 2006 27,014 -- 27,014 Government Fund 2007 36,529 -- 36,529 2006 19,694 -- 19,694 Government II Fund 2007 37,566 -- 37,566 2006 22,121 -- 22,121 Prime Obligation Fund 2007 233,756 -- 233,756 2006 129,961 -- 129,961 Treasury Fund 2007 33,879 -- 33,879 2006 18,770 -- 18,770 Treasury II Fund 2007 10,686 -- 10,686 2006 8,452 -- 8,452 Short-Duration Government Fund 2007 6,236 -- 6,236 2006 6,742 -- 6,742 Intermediate-Duration Government Fund 2007 3,175 -- 3,175 2006 3,755 -- 3,755 GNMA Fund 2007 7,688 -- 7,688 2006 8,670 -- 8,670 Ultra Short Bond Fund 2007 15,345 -- 15,345 2006 11,854 -- 11,854
As of January 31, 2007, the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:
- ----------------------------------------------------------------------------------------------------------------- Undistributed Capital Post- Other Total Ordinary Loss October Temporary Unrealized Accumulated Income Carryforwards Losses Differences Depreciation Losses ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ----------------------------------------------------------------------------------------------------------------- Money Market Fund $ 4,873 $ (18) $ (9) $ (4,865) $ -- $ (19) Government Fund 3,446 (68) (11) (3,445) -- (78) Government II Fund 3,594 (15) (15) (3,594) -- (30) Prime Obligation Fund 23,218 (104) (92) (23,199) -- (177) Treasury Fund 3,258 (93) -- (3,258) -- (93) Treasury II Fund 845 (27) -- (845) -- (27) Short-Duration Government Fund 456 (7,387) (28) (473) (638) (8,070) Intermediate-Duration Government Fund 137 (3,375) (3) (179) (540) (3,960) GNMA Fund 588 (11,576) (105) (609) (1,758) (13,460) Ultra Short Bond Fund 935 (4,780) (41) (967) (398) (5,251)
Amounts designated as "--" are $0 or have been rounded to $0. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 45 NOTES TO FINANCIAL STATEMENTS (CONTINUED) At January 31, 2007, the following funds had capital loss carryforwards to offset future realized capital gains: - -------------------------------------------------------------------------------- Amount Expiration ($ Thousands) Date - -------------------------------------------------------------------------------- Money Market Fund $ 16 1/31/14 2 1/31/15 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 22 1/31/14 5 1/31/15 Short-Duration Government Fund 899 1/31/12 1,326 1/31/13 2,377 1/31/14 2,785 1/31/15 Intermediate-Duration Government Fund 301 1/31/13 883 1/31/14 2,191 1/31/15 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 1,552 1/31/15 Ultra Short Bond Fund 557 1/31/11 442 1/31/12 1,020 1/31/13 1,045 1/31/14 1,716 1/31/15 For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. It is the Funds' intent that they will not distribute any realized gain distributions until the carryforwards have been offset or expired. During the year ended January 31, 2007, the Government II Fund utilized $165 of capital loss carryforwards to offset capital gains. Post-October losses represent losses realized on investment transactions from November 1, 2006 through January 31, 2007 that, in accordance with Federal income tax regulations, the Funds may elect to defer and treat as having arisen in the following fiscal year. At January 31, 2007, the Money Market Funds' cost of securities for Federal income tax purposes approximates the cost located in the Statements of Assets and Liabilities. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Fixed Income Funds at January 31, 2007, were as follows:
- ------------------------------------------------------------------------------------- Net Federal Appreciated Depreciated Unrealized Tax Cost Securities Securities Depreciation ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) - ------------------------------------------------------------------------------------- Short-Duration Government Fund $125,154 $241 $ (879) $ (638) Intermediate-Duration Government Fund 48,849 258 (798) (540) GNMA Fund 162,645 386 (2,144) (1,758) Ultra Short Bond Fund 241,387 252 (650) (398)
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. - -------------------------------------------------------------------------------- 46 SEI Daily Income Trust / Annual Report / January 31, 2007 9. NEW ACCOUNTING PRONOUNCEMENTS 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. The Funds will not be required to adopt FIN 48 until July 31, 2007. As of January 31, 2007, the Funds have not evaluated the impact that will result from adopting FIN 48. In September 2006, the FASB issued Statement on Financial Accounting Standards ("SFAS") No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of January 31, 2007, the Funds do not believe the adoption of SFAS No. 157 will impact the amounts reported in the financial statements, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain measurements reported in the financial statements for a fiscal period. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 47 SEI DAILY INCOME TRUST -- JANUARY 31, 2007 Report of Independent Registered Public Accounting Firm TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF SEI DAILY INCOME TRUST: We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of SEI Daily Income Trust, comprising the Money Market, Government, Government II, Prime Obligation, Treasury, Treasury II, Short-Duration Government, Intermediate-Duration Government, GNMA, and Ultra-Short Bond Funds, (collectively the "Funds"), as of January 31, 2007, and the related statements of operations for the year then ended, and the statements of changes in net assets and the financial highlights for each of the years in the two-year period then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the periods presented through January 31, 2005, were audited by other auditors, whose report dated March 11, 2005, expressed an unqualified opinion thereon. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of January 31, 2007, by correspondence with the custodian and brokers. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios comprising SEI Daily Income Trust as of January 31, 2007, and the results of their operations for the year then ended, and the changes in their net assets and the financial highlights for each of the years in the two-year period then ended, in conformity with U.S. generally accepted accounting principles. /s/ KPMG LLP Philadelphia, Pennsylvania March 28, 2007 - -------------------------------------------------------------------------------- 48 SEI Daily Income Trust / Annual Report / January 31, 2007 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) The following chart lists Trustees and Officers as of March 15, 2007. Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
- ------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEES - ------------------- Robert A. Nesher Chairman since 1982 Currently performs various 75 Trustee of The Advisors' Inner One Freedom of the services on behalf of SEI Circle Fund, The Advisors' Valley Drive, Board of Investments for which Mr. Nesher Inner Circle Fund II, Bishop Oaks, PA 19456 Trustees* is compensated. Street Funds, Director of SEI 60 yrs. old Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Opportunity Master Fund, L.P., SEI Opportunity Fund, L.P. and SEI Multi-Strategy Funds plc. - ------------------------------------------------------------------------------------------------------------------------------------ William M. Doran Trustee* since 1982 Self-employed consultant since 75 Trustee of The Advisors' Inner 1701 Market Street 2003. Partner, Morgan, Lewis & Circle Fund, The Advisors' Philadelphia, PA Bockius LLP (law firm) from 1976 Inner Circle Fund II, Director 19103 to 2003, counsel to the Trust, of SEI since 1974. Director of 66 yrs. old SEI, SIMC, the Administrator and the Distributor since 2003. the Distributor. Secretary of Director of SEI Investments -- SEI since 1978. Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited and SEI Asset Korea Co., Ltd. - ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES - -------- F. Wendell Gooch Trustee since 1982 Retired 75 Trustee of STI Classic Funds One Freedom and STI Classic Variable Trust. Valley Drive, Oaks, PA 19456 74 yrs. old - ------------------------------------------------------------------------------------------------------------------------------------ James M. Storey Trustee since 1995 Attorney, sole practitioner 75 Trustee of The Advisors' Inner One Freedom since 1994. Partner, Dechert Circle Fund, The Advisors' Valley Drive, Price & Rhoads, September 1987- Inner Circle Fund II, Oaks, PA 19456 December 1993. Massachusetts Health and 75 yrs. old Education Tax-Exempt Trust, and U.S. Charitable Gift Trust. - ------------------------------------------------------------------------------------------------------------------------------------
*MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR. 1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 49 TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
- ------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES (CONTINUED) - -------- George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 75 Trustee of The Advisors' Inner One Freedom Newfound Consultants Inc. since Circle Fund, The Advisors' Valley Drive April 1997. Inner Circle Fund II, State Oaks, PA 19456 Street Navigator Securities 64 yrs. old Lending Trust, SEI Opportunity Master Fund, L.P., and SEI Opportunity Fund, L.P. - ------------------------------------------------------------------------------------------------------------------------------------ Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 75 Director, Sonoco, Inc.; One Freedom Health Care Reform, Commonwealth Director, Exelon Corporation; Valley Drive of Pennsylvania since 2003. Trustee, Pennsylvania Real Oaks, PA 19456 Founder and Principal, Estate Investment Trust. 60 yrs. old Grecoventures Ltd. from 1999 to 2002. - ------------------------------------------------------------------------------------------------------------------------------------ Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital 75 Director of SEI Opportunity One Freedom since March 2002, Managing Master Fund, L.P., and SEI Valley Drive, Partner and Head of Sales, Opportunity Fund, L.P. Oaks, PA 19456 Investorforce, March 49 yrs. old 2000-December 2001; Global Partner working for the CEO, Invesco Capital, January 1998-January 2000. Head of Sales and Client Services, Chancellor Capital and later LGT Asset Management, 1986-2000. - ------------------------------------------------------------------------------------------------------------------------------------ James M. Williams Trustee since 2004 Vice President and Chief 75 Trustee/Director of Ariel One Freedom Investment Officer, J. Paul Mutual Funds, SEI Opportunity Valley Drive, Getty Trust, Non-Profit Master Fund, L.P., and SEI Oaks, PA 19456 Foundation for Visual Arts, Opportunity Fund, L.P. 59 yrs. old since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS - -------- Robert A. Nesher President since 2005 Currently performs various N/A N/A One Freedom & CEO services on behalf of SEI for Valley Drive, which Mr. Nesher is compensated. Oaks, PA 19456 60 yrs. old - ------------------------------------------------------------------------------------------------------------------------------------ Stephen F. Panner Controller since 2005 Fund Accounting Director of the N/A N/A One Freedom and Administrator since 2005. Fund Valley Drive, Chief Administration Manager, Old Oaks, PA 19456 Financial Mutual Fund Services, 2000-2005. 36 yrs. old Officer Chief Financial Officer, Controller and Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2004-2005. Assistant Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2000-2004. Assistant Treasurer, Old Mutual Advisors Fund, 2004-2005. - ------------------------------------------------------------------------------------------------------------------------------------ Russell Emery Chief since 2006 Chief Compliance Officer of SEI N/A N/A One Freedom Compliance Opportunity Master Fund, L.P., Valley Drive Officer SEI Opportunity Fund, L.P., Oaks, PA 19456 Bishop Street Funds, SEI 44 yrs. old Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Index Funds, SEI Liquid Asset Trust, SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors' Inner Circle Fund and the Advisors' Inner Circle Fund II, since March 2006. Director of Investment Product Management and Development of SIMC, February 2003-March 2006. Senior Investment Analyst--Equity Team of SEI, March 2000-February 2003.
- -------------------------------------------------------------------------------- 50 SEI Daily Income Trust / Annual Report / January 31, 2007
- ------------------------------------------------------------------------------------------------------------------------------------ TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST OVERSEEN HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS BY TRUSTEE 2 TRUSTEE - ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS (CONTINUED) - -------- Timothy D. Barto Vice since 2002 General Counsel, Vice President N/A N/A One Freedom President and Secretary of SIMC and the Valley Drive and Administrator since 2004. Vice Oaks, PA 19456 Secretary President and Assistant 38 yrs. old Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999. Assistant Secretary of SIMC, the Administrator and the Distributor and Vice President of the Distributor, 1999-2003. - ------------------------------------------------------------------------------------------------------------------------------------ Sofia A. Rosala Vice since 2004 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC and the Valley Drive and Administrator since 2005. Oaks, PA 19456 Assistant Compliance Officer of SEI, 33 yrs. old Secretary September 2001-2004. Account and Product Consultant, SEI Private Trust Company, 1998-2001. - ------------------------------------------------------------------------------------------------------------------------------------ James Ndiaye Vice since 2005 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Valley Drive and Vice President, Deutsche Asset Oaks, PA 19456 Assistant Management (2003-2004). 38 yrs. old Secretary Associate, Morgan, Lewis & Bockius LLP (2000-2003). Assistant Vice President, ING Variable Annuities Group (1999-2000). - ------------------------------------------------------------------------------------------------------------------------------------ Michael T. Pang Vice since 2005 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2005. Valley Drive and Counsel, Caledonian Bank & Oaks, PA 19456 Assistant Trust's Mutual Funds Group 34 yrs. old Secretary (2004). Counsel, Permal Asset Management (2001-2004). Associate, Schulte, Roth & Zabel's Investment Management Group (2000-2001). Staff Attorney, U.S. SEC's Division of Enforcement, Northeast Regional Office (1997-2000). - ------------------------------------------------------------------------------------------------------------------------------------ John J. McCue Vice since 2004 Director of Portfolio N/A N/A One Freedom President Implementations for SIMC since Valley Drive 1995. Managing Director of Money Oaks, PA 19456 Market Investments for SIMC 43 yrs. old since 2003. - ------------------------------------------------------------------------------------------------------------------------------------ Nicole Welch Anti-Money since 2005 Assistant Vice President and N/A N/A One Freedom Laundering Anti-Money Laundering Compliance Valley Drive Compliance Coordinator of SEI since 2005. Oaks, PA 19456 Officer Compliance Analyst, TD 29 yrs. old Waterhouse (2004). Senior Compliance Analyst, UBS Financial Services (2002-2004). Knowledge Management Analyst, PriceWaterhouseCoopers Consulting (2000-2002). - ------------------------------------------------------------------------------------------------------------------------------------
1EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2THE FUND COMPLEX INCLUDES THE FOLLOWING TRUSTS: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INDEX FUNDS, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST AND SEI TAX EXEMPT TRUST. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 51 SEI DAILY INCOME TRUST -- JANUARY 31, 2007 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. - -------------------------------------------------------------------------------- 52 SEI Daily Income Trust / Annual Report / January 31, 2007 DISCLOSURE OF FUND EXPENSES (UNAUDITED) (CONCLUDED) BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 8/01/06 1/31/07 RATIOS PERIOD* - -------------------------------------------------------------------------------- MONEY MARKET FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,026.40 0.18% $0.92 Class B Shares 1,000.00 1,024.90 0.48% 2.45 Class C Shares 1,000.00 1,023.90 0.68% 3.47 Sweep Class Shares 1,000.00 1,022.60 0.93% 4.74 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.30 0.18% $0.92 Class B Shares 1,000.00 1,022.79 0.48% 2.45 Class C Shares 1,000.00 1,021.78 0.68% 3.47 Sweep Class Shares 1,000.00 1,020.52 0.93% 4.74 - -------------------------------------------------------------------------------- GOVERNMENT FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,026.10 0.20% $1.02 Class B Shares 1,000.00 1,024.50 0.50% 2.55 Class C Shares 1,000.00 1,023.50 0.70% 3.57 Sweep Class Shares 1,000.00 1,022.20 0.95% 4.82 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.20 0.20% $1.02 Class B Shares 1,000.00 1,022.68 0.50% 2.55 Class C Shares 1,000.00 1,021.68 0.70% 3.57 Sweep Class Shares 1,000.00 1,020.42 0.95% 4.84 - -------------------------------------------------------------------------------- GOVERNMENT II FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,025.80 0.20% $1.02 Class B Shares 1,000.00 1,024.30 0.50% 2.55 Class C Shares 1,000.00 1,023.20 0.70% 3.57 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.20 0.20% $1.02 Class B Shares 1,000.00 1,022.68 0.50% 2.55 Class C Shares 1,000.00 1,021.68 0.70% 3.57 - -------------------------------------------------------------------------------- PRIME OBLIGATION FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,026.40 0.20% $1.02 Class B Shares 1,000.00 1,024.80 0.50% 2.55 Class C Shares 1,000.00 1,023.80 0.70% 3.57 Class H Shares 1,000.00 1,024.20 0.63% 3.21 Sweep Class Shares 1,000.00 1,022.50 0.95% 4.84 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.20 0.20% $1.02 Class B Shares 1,000.00 1,022.68 0.50% 2.55 Class C Shares 1,000.00 1,021.68 0.70% 3.57 Class H Shares 1,000.00 1,022.03 0.63% 3.21 Sweep Class Shares 1,000.00 1,020.42 0.95% 4.84 - -------------------------------------------------------------------------------- BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 8/01/06 1/31/07 RATIOS PERIOD* - -------------------------------------------------------------------------------- TREASURY FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,025.90 0.20% $1.02 Class B Shares 1,000.00 1,024.30 0.50% 2.55 Class C Shares 1,000.00 1,023.30 0.70% 3.57 Sweep Class Shares 1,000.00 1,022.00 0.95% 4.84 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.20 0.20% $1.02 Class B Shares 1,000.00 1,022.68 0.50% 2.55 Class C Shares 1,000.00 1,021.68 0.70% 3.57 Sweep Class Shares 1,000.00 1,020.42 0.95% 4.84 - -------------------------------------------------------------------------------- TREASURY II FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,024.20 0.25% $1.28 Class B Shares 1,000.00 1,022.70 0.55% 2.80 Class C Shares. 1,000.00 1,021.70 0.75% 3.82 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.95 0.25% $1.28 Class B Shares 1,000.00 1,022.43 0.55% 2.80 Class C Shares 1,000.00 1,021.42 0.75% 3.82 - -------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,023.00 0.45% $2.29 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.94 0.45% $2.29 - -------------------------------------------------------------------------------- INTERMEDIATE-DURATION GOVERNMENT FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,028.70 0.57% $2.91 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.33 0.57% $2.91 - -------------------------------------------------------------------------------- GNMA FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,034.50 0.60% $3.08 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.18 0.60% $3.06 - -------------------------------------------------------------------------------- ULTRA SHORT BOND FUND - -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,026.50 0.35% $1.79 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.44 0.35% $1.79 *Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period shown). - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 53 Board of Trustees Considerations in Approving the Continuation of the Funds' Advisory and Sub-Advisory Agreements (Unaudited) The SEI Daily Income Trust (the "Trust") and SEI Investments Management Corporation ("SIMC") have entered into an investment advisory agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to the series of the Trust (the "Funds") and may manage the cash portion of the Funds' assets. Pursuant to separate sub-advisory agreements (the "Sub-Advisory Agreements" and, together with the Advisory Agreement, the "Investment Advisory Agreements") with SIMC, and under the supervision of SIMC and the Trust's Board of Trustees (the "Board"), the Sub-Advisers are responsible for the day-to-day investment management of all or a discrete portion of the assets of the Funds. The Sub-Advisers also are responsible for managing their employees who provide services to these Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers' skills and investment results in managing assets for specific asset classes, investment styles and strategies. The Investment Company Act of 1940, as amended (the "1940 Act") requires that the initial approval of, as well as the continuation of, the Funds' Investment Advisory Agreements must be specifically approved: (i) by the vote of the Board of Trustees or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of such approvals, the Funds' Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission ("SEC") takes the position that, as part of their fiduciary duties with respect to a mutual fund's fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement. Consistent with these responsibilities, the Trust's Board of Trustees calls and holds meetings each year that are dedicated to considering whether to renew the Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC's and the Sub-Advisers' affiliates, personnel and operations. The Board also receives extensive data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from Fund counsel and independent counsel to the Independent Trustees regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust's Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers. Specifically, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (a) the quality of SIMC's and the Sub-Advisers' investment management and other services; (b) SIMC's and the Sub-Advisers' investment management personnel; (c) SIMC's and the Sub-Advisers' operations and financial condition; (d) SIMC's and the Sub-Advisers' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that SIMC and the Sub-Advisers charge the Funds compared with the fees each charge to comparable mutual funds; (f) the Funds' overall fees and operating expenses compared with similar mutual funds; (g) the level of SIMC's and the Sub-Advisers' profitability from their Fund-related operations; (h) SIMC's and the Sub-Advisers' compliance systems; (i) SIMC's and the Sub-Advisers' policies on and compliance procedures for personal securities transactions; (j) SIMC's and the Sub-Advisers' reputation, expertise and resources in domestic and/or international financial markets; and (k) the Funds' performance compared with similar mutual funds. At the March 9, 2006 meeting of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board's approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including: othe 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; othe Funds' investment performance and how it compared to that of other comparable mutual funds; othe Funds' expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; - -------------------------------------------------------------------------------- 54 SEI Daily Income Trust / Annual Report / January 31, 2007 othe profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and othe 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 the Funds' performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements. FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds' net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds' respective peer groups. Finally, the Trustees considered the effects of SIMC's voluntary waiver of management and other fees and the Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds' net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Adviser and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and supported renewal of the Investment Advisory Agreements. ECONOMIES OF SCALE. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds' shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale. Based on the Trustees' deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling. - -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2007 55 Notice to Shareholders (Unaudited) FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL PURPOSES ONLY. For the fiscal year ended January 31, 2007, each Fund is designating long-term capital gains, and exempt income with regard to distributions paid during the year as follows:
(A) (B) LONG TERM ORDINARY (C) CAPITAL GAINS INCOME TOTAL U.S. QUALIFIED QUALIFIED DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS GOVERNMENT INTEREST SHORT-TERM PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) INTEREST (1) INCOME (2) CAPITAL GAINS (3) Money Market Fund 0% 100% 100% 1.37%* 100% 0% Government Fund 0 100 100 33.51 100 0 Government II Fund 0 100 100 93.10 100 0 Prime Obligation Fund 0 100 100 0.82* 100 0 Treasury Fund 0 100 100 6.61* 100 0 Treasury II Fund 0 100 100 100 100 0 Short-Duration Government Fund 0 100 100 34.16* 99.83 0 Intermediate-Duration Government Fund 0 100 100 15.67* 96.67 0 GNMA Fund 0 100 100 0 98.71 0 Ultra Short Bond Fund 0 100 100 6.11* 98.14 0
Items (A), (B) and (C) are based on the percentage of the Fund's total distribution. (1) "U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders of the "*" funds who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. (2) The percentage in this column represents the amount of "Qualifying Interest Income" as created by the American Jobs Creation Act of 2004 and is a percentage of ordinary distributions that is exempt from U.S. withholding tax when paid to foreign investors. (3) The percentage in this column represents the amount of "Qualifying Short-Term Capital Gain" as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. Please consult your tax adviser for proper treatment of this information. - -------------------------------------------------------------------------------- 56 SEI Daily Income Trust / Annual Report / January 31, 2007 Notes Notes Notes Notes SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2007 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 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] SEI New ways. New answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-022 (1/07) ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a)(1) The registrant's board of trustees has determined that the registrant has at least one audit committee financial expert serving on the audit committee. (a) (2) The audit committee financial expert is George J. Sullivan, Jr. Mr. Sullivan is an independent as defined in Form N-CSR Item 3 (a) (2). ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Fees billed by KPMG LLP ("KPMG") related to the Trust. KPMG billed the Trust aggregate fees for services rendered to the Trust for the fiscal years 2007 and 2006 as follows:
- ------------------------------------------------------------------------------------------------------------------------------ FISCAL 2007 FISCAL 2006 - ------------------------------------------------------------------------------------------------------------------------------ All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Trust that were service service Trust that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were pre- did not require were pre- did not require approved pre-approval approved pre-approval - ------------------------------------------------------------------------------------------------------------------------------ (a) Audit $169,000 N/A $0 $168,700 N/A $0 Fees(1) - ------------------------------------------------------------------------------------------------------------------------------ (b) Audit- $0 $0 $0 $0 $0 $0 Related Fees - ------------------------------------------------------------------------------------------------------------------------------ (c) Tax $0 $0 $0 $0 $0 $0 Fees - ------------------------------------------------------------------------------------------------------------------------------ (d) All $0 $227,500 $10,130 $0 $0 $231,000 Other Fees - ------------------------------------------------------------------------------------------------------------------------------
Notes: (1) Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. (e)(1) The trust's Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Funds may be pre-approved. The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant's Chief Financial Officer ("CFO") and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor's annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC's rules and whether the provision of such services would impair the auditor's independence. Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial expert, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting. Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval. All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services. In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor's independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence. (e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows: ------------------------------------------------------------ FISCAL 2007 FISCAL 2006 ------------------------------------------------------------ Audit-Related Fees 0% 0% ------------------------------------------------------------ Tax Fees 0% 0% ------------------------------------------------------------ All Other Fees 0% 0% ------------------------------------------------------------ (f) Not Applicable. (g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2007 and 2006 were $237,630 and $231,000, respectively. Non-audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the registrant. (h) During the past fiscal year, Registrant's principal accountant provided certain non-audit services to Registrant's investment adviser or to entities controlling, controlled by, or under common control with Registrant's investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The audit committee of Registrant's Board of Trustees reviewed and considered these non-audit services provided by Registrant's principal accountant to Registrant's affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not Applicable. ITEM 6. SCHEDULE OF INVESTMENTS Included in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not Applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not Applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not Applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18th 2004, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. - -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Daily Income Trust By (Signature and Title)* /s/ Robert A. Nesher --------------------------------- Robert A. Nesher, Chief Executive Officer Date: April 9, 2007 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Robert A. Nesher --------------------------------- Robert A. Nesher, Chief Executive Officer Date: April 9, 2007 By (Signature and Title)* /s/ Stephen F. Panner --------------------------------- Stephen F. Panner, Controller & CFO Date: April 9, 2007 * Print the name and title of each signing officer under his or her signature. EX-99.CODE ETH 2 sditarcoe1_07.txt SEI DAILY INCOME TRUST AR 1_07 COE SEI LIQUID ASSET TRUST SEI TAX EXEMPT TRUST SEI DAILY INCOME TRUST SEI INDEX FUNDS SEI INSTITUTIONAL MANAGED TRUST SEI INSTITUTIONAL INTERNATIONAL TRUST SEI ASSET ALLOCATION TRUST SEI INSTITUTIONAL INVESTMENTS TRUST SEI INSURANCE PRODUCTS TRUST FINANCIAL OFFICER CODE OF ETHICS I. INTRODUCTION The reputation and integrity of SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Index Funds, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust and SEI Insurance Products Trust (each a "Trust" and, collectively, the "Trusts") are valuable assets that are vital to the each Trust's success. The Trusts' senior financial officers ("SFOs") are responsible for conducting the Trusts' business in a manner that demonstrates a commitment to the highest standards of integrity. The Trusts' SFOs include the principal executive officer, the principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function. The Sarbanes-Oxley Act of 2002 (the "Act") effected sweeping corporate disclosure and financial reporting reform on public companies, including mutual funds, to address corporate malfeasance and assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under the Act, all public companies (including the Trusts) must either have a code of ethics for their SFOs, or disclose why they do not. The Act was intended to foster corporate environments which encourage employees to question and report unethical and potentially illegal business practices. Each Trust has chosen to adopt this Financial Officer Code of Ethics (the "Code") to encourage its SFOs to act in a manner consistent with the highest principles of ethical conduct. II. PURPOSES OF THE CODE The purposes of this Code are: o To promote honest and ethical conduct by each Trust's SFOs, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; o To assist each Trust's SFOs in recognizing and avoiding conflicts of interest, including disclosing to an appropriate person any material transaction or relationship that reasonably could be expected to give rise to such a conflict; 1 o To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Trusts file with, or submit to, the SEC and in other public communications made by the Trusts; o To promote compliance with applicable laws, rules and regulations; o To encourage the prompt internal reporting to an appropriate person of violations of this Code; and o To establish accountability for adherence to this Code. III. QUESTIONS ABOUT THIS CODE Each Trust's compliance officer designated to oversee compliance with the Trust's Code of Ethics adopted pursuant to Rule 17j-1 shall serve as Compliance Officer for the implementation and administration of this Code. You should direct your questions about this Code to the Compliance Officer. IV. CONDUCT GUIDELINES Each Trust has adopted the following guidelines under which the Trust's SFOs must perform their official duties and conduct the business affairs of the Trust. 1. ETHICAL AND HONEST CONDUCT IS OF PARAMOUNT IMPORTANCE. Each Trust's SFOs must act with honesty and integrity and avoid violations of this Code, including the avoidance of actual or apparent conflicts of interest with the Trust in personal and professional relationships. 2. SFOS MUST DISCLOSE MATERIAL TRANSACTIONS OR RELATIONSHIPS. Each Trust's SFOs must disclose to the Compliance Officer any actual or apparent conflicts of interest the SFO may have with the Trust that reasonably could be expected to give rise to any violations of this Code. Such conflicts of interest may arise as a result of material transactions or business or personal relationships to which the SFO may be a party. If it is not possible to disclose the matter to the Compliance Officer, it should be disclosed to the Trust's Chief Financial Officer, Chief Executive Officer or another appropriate person. In addition to disclosing any actual or apparent conflicts of interest in which an SFO is personally involved, the Trusts' SFOs have an obligation to report any other actual or apparent conflicts which they discover or of which they otherwise become aware. If you are unsure whether a particular fact pattern gives rise to a conflict of interest, or whether a particular transaction or relationship is "material," you should bring the matter to the attention of the Compliance Officer. 3. STANDARDS FOR QUALITY OF INFORMATION SHARED WITH SERVICE PROVIDERS OF THE TRUSTS. Each Trust's SFOs must at all times seek to provide information to the Trust's service providers (adviser, administrator, outside auditor, outside counsel, 2 custodian, ETC.) that is accurate, complete, objective, relevant, timely, and understandable. 4. STANDARDS FOR QUALITY OF INFORMATION INCLUDED IN PERIODIC REPORTS. Each Trust's SFOs must at all times endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Trust's periodic reports. 5. COMPLIANCE WITH LAWS. Each Trust's SFOs must comply with the federal securities laws and other laws and rules applicable to the Trusts, such as the Internal Revenue Code. 6. STANDARD OF CARE. Each Trust's SFOs must at all times act in good faith and with due care, competence and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated. Each Trust's SFOs must conduct the affairs of the Trust in a responsible manner, consistent with this Code. 7. CONFIDENTIALITY OF INFORMATION. Each Trust's SFOs must respect and protect the confidentiality of information acquired in the course of their professional duties, except when authorized by the Trust to disclose it or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage. 8. SHARING OF INFORMATION AND EDUCATIONAL STANDARDS. Each Trust's SFOs should share information with relevant parties to keep them informed of the business affairs of the Trust, as appropriate, and maintain skills important and relevant to the Trust's needs. 9. PROMOTE ETHICAL CONDUCT. Each Trust's SFOs should at all times proactively promote ethical behavior among peers in your work environment. 10. STANDARDS FOR RECORDKEEPING. Each Trust's SFOs must at all times endeavor to ensure that the Trust's financial books and records are thoroughly and accurately maintained to the best of their knowledge in a manner consistent with applicable laws and this Code. V. WAIVERS OF THIS CODE You may request a waiver of a provision of this Code by submitting your request in writing to the Compliance Officer for appropriate review. For example, if a family member works for a service provider that prepares a Trust's financial statements, you may have a potential conflict of interest in reviewing those statements and should seek a waiver of this Code to review the work. An executive officer of each Trust, or another appropriate person (such as a designated Board or Audit Committee member), will decide whether to grant a waiver. All waivers of this code must be disclosed to the applicable Trust's shareholders to the extent required by SEC rules. 3 VI. AFFIRMATION OF THE CODE Upon adoption of the Code, each Trust's SFOs must affirm in writing that they have received, read and understand the Code, and annually thereafter must affirm that they have complied with the requirements of the Code. To the extent necessary, each Trust's Compliance Officer will provide guidance on the conduct required by this Code and the manner in which violations or suspected violations must be reported and waivers must be requested. VII. REPORTING VIOLATIONS In the event that an SFO discovers or, in good faith, suspects a violation of this Code, the SFO MUST immediately report the violation or suspected violation to the Compliance Officer. The Compliance Officer may, in his or her discretion, consult with another member of the Trust's senior management or the Board in determining how to address the suspected violation. For example, a Code violation may occur when a periodic report or financial statement of a Trust omits a material fact, or is technically accurate but, in the view of the SFO, is written in a way that obscures its meaning. SFOs who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated as confidential to the extent possible. VIII. VIOLATIONS OF THE CODE Dishonest or unethical conduct or conduct that is illegal will constitute a violation of this Code, regardless of whether this Code specifically refers to such particular conduct. A violation of this Code may result in disciplinary action, up to and including removal as an SFO of the Trust. A variety of laws apply to the Trusts and their operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Trust officers, and criminal laws. The Trusts will report any suspected criminal violations to the appropriate authorities, and will investigate, address and report, as appropriate, non-criminal violations. ADOPTED: JUNE 30, 2003 4 EX-99.CERT 3 sditar302cert_rn.txt SEI DAILY INCOME TRUST 302 CERT_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: April 9, 2007 /s/ Robert A. Nesher - ------------------------------ Robert A. Nesher Chief Executive Officer EX-99.CERT 4 sditar302cert_sp.txt SEI DAILY INCOME TRUST 302 CERT_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: April 9, 2007 /s/ Stephen F. Panner - ------------------------------ Stephen F. Panner Controller & CFO EX-99.906CERT 5 sditar906cert_rn.txt SEI DAILY INCOME TRUST 906 CERT_RN CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Chief Executive Officer of the SEI Daily Income Trust (the "Fund"), with respect to the Fund's Form N-CSR for the year ended January 31, 2007 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: April 9, 2007 /s/ Robert A. Nesher ------------------------------- Robert A. Nesher Chief Executive Officer EX-99.906CERT 6 sditar906cert_sp.txt SEI DAILY INCOME TRUST 906 CERT_SP CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Controller & CFO of the SEI Daily Income Trust (the "Fund"), with respect to the Fund's Form N-CSR for the year ended January 31, 2007 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: April 9, 2007 /s/ Stephen F. Panner ------------------------------- Stephen F. Panner Controller & CFO -----END PRIVACY-ENHANCED MESSAGE-----