N-CSR 1 sditar1_08comb.txt SEI DAILY INCOME TRUST AR 1_08 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, 2008 DATE OF REPORTING PERIOD: JANUARY 31, 2008 ITEM 1. REPORTS TO STOCKHOLDERS. [LOGO] SEI New ways. New answers.(R) -------------------------------------------------------------------------------- SEI Daily Income Trust -------------------------------------------------------------------------------- Annual Report as of January 31, 2008 -------------------------------------------------------------------------------- Money Market Fund Government Fund Government II Fund Prime Obligation Fund Treasury Fund Treasury II Fund Short-Duration Government Fund Intermediate-Duration Government Fund GNMA Fund Ultra Short Bond Fund -------------------------------------------------------------------------------- TABLE OF CONTENTS Management's Discussion and Analysis of Fund Performance 1 -------------------------------------------------------------------------------- Schedules of Investments 7 -------------------------------------------------------------------------------- Statements of Assets and Liabilities 30 -------------------------------------------------------------------------------- Statements of Operations 32 -------------------------------------------------------------------------------- Statements of Changes in Net Assets 34 -------------------------------------------------------------------------------- Financial Highlights 38 -------------------------------------------------------------------------------- Notes to Financial Statements 43 -------------------------------------------------------------------------------- Report of Independent Registered Public Accounting Firm 52 -------------------------------------------------------------------------------- Trustees and Officers of the Trust 53 -------------------------------------------------------------------------------- Disclosure of Fund Expenses 56 -------------------------------------------------------------------------------- Board of Trustees Considerations in Approving the Continuation of the Funds' Advisory and Sub-Advisory Agreements 58 -------------------------------------------------------------------------------- Notice to Shareholders 60 -------------------------------------------------------------------------------- The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q are available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Since the Funds in SEI Daily Income Trust typically hold only fixed income securities, they generally are not expected to hold securities for which they may be required to vote proxies. Regardless, in light of the possibility that a Fund could hold a security for which a proxy is voted, the Trust has adopted proxy voting policies. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available without charge (i) upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2008 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 market in fiscal year 2007 was devastated by the sub-prime/liquidity crisis that occurred in the second half of the year. Every major fixed income asset class, but especially those associated with real estate structured sectors, Mortgage-backed securities (MBS), Asset-backed securities (ABS), and Commercial Mortgage-backed securities (CMBS) were severely pummeled as investors went on a buyers strike and refused to purchase anything even remotely associated with mortgage loans. Spreads gapped to historic levels and duration adjusted performance of these sectors lagged the risk adverse Treasury sector. The housing credit crunch continued to spread to other parts of the market, leading to increased volatility and higher uncertainty surrounding the overall economy. Interest rates plunged as the Federal Reserve acknowledged the potentially destructive and contagious effects of the housing meltdown, and flooded the market with various forms of liquidity, including 225 basis points of cuts in the Fed Funds rate and 275 basis points of cuts in the discount rate. Treasury yields closed the year significantly lower and the yield curve steepened as the market priced in additional cuts in the Fed Funds rate. Agency mortgage-backed securities (GNMA, FNMA and Freddie Mac) underperformed Treasuries by nearly 200 basis points due to higher interest rate volatility. These liquid high quality (AAA rated ) securities suffered due to forced selling by levered investors as they scrambled to sell their most liquid securities to meet margin calls. Analysis For the fiscal year ended January 31, 2008, the Short-Duration Government Fund, Class A posted a 7.65% return compared to a 8.94% return for its benchmark, the Merrill Lynch 1-3 Year U.S. Treasury Bond Index. The lag was primarily due to its investment in AAA rated U.S. Agency mortgage-backed securities. The benchmark for the Fund is composed of 100% Treasuries, and any investment other than U.S. Treasuries detracted from relative performance. The Fund's interest rate strategy modestly detracted as the Fund had a larger than benchmark exposure to shorter maturities. 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 7.65% 4.45% 3.16% 4.50% 5.66% -------------------------------------------------------------------------------- Comparison of Change in the Value of a $10,000 Investment in the Short-Duration Government Fund, Class A, versus the Merrill Lynch 1-3 Year U.S. Treasury Bond Index. The chart assumes all dividends and capital gain distributions are reinvested. [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Short Duration Merrill Lynch 1-3 Year Government Fund, U.S. Treasury Class A Bond Index 1/31/98 10,000 10,000 1/31/99 10,649 10,639 1/31/00 10,885 10,918 1/31/01 11,880 11,943 1/31/02 12,626 12,800 1/31/03 13,294 13,508 1/31/04 13,500 13,795 1/31/05 13,630 13,887 1/31/06 13,893 14,147 1/31/07 14,427 14,714 1/31/08 15,530 16,029 1 For the period ended January 31, 2008. 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, 2008 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2008 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 market in fiscal year 2007 was devastated by the sub-prime/liquidity crisis that occurred in the second half of the year. Every major fixed income asset class, but especially those associated with real estate structured sectors, Mortgage-backed securities (MBS), Asset-backed securities (ABS), and Commercial Mortgage-backed securities (CMBS) were severely pummeled as investors went on a buyers strike and refused to purchase anything even remotely associated with mortgage loans. Spreads gapped to historic levels and duration adjusted performance of these sectors lagged the risk adverse Treasury sector. The housing credit crunch continued to spread to other parts of the market, leading to increased volatility and higher uncertainty surrounding the overall economy. Interest rates plunged as the Federal Reserve acknowledged the potentially destructive and contagious effects of the housing meltdown, and flooded the market with various forms of liquidity, including 225 basis points of cuts in the Fed Funds rate and 275 basis points of cuts in the discount rate. Treasury yields closed the year significantly lower and the yield curve steepened as the market priced in additional cuts in the Fed Funds rate. Agency mortgage-backed securities (GNMA, FNMA and Freddie Mac) underperformed Treasuries by nearly 200 basis points due to higher interest rate volatility. These liquid high quality (AAA rated) securities suffered due to forced selling by levered investors as they scrambled to sell their most liquid securities to meet margin calls. Analysis For the fiscal year ended January 31, 2008, the Intermediate-Duration Government Fund, Class A posted a return of 10.97% versus the 13.02% return of its benchmark, the Merrill Lynch 3-5 Year U.S. Treasury Bond Index. The lag was primarily due to its investment in AAA rated U.S. Agency mortgage-backed securities. The benchmark for the Fund is composed of 100% Treasuries, and any investment other than U.S. Treasuries detracted from relative performance. The Fund's interest rate strategy modestly detracted as the Fund had a larger than benchmark exposure to shorter maturities. 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 10.97% 5.10% 4.02% 5.50% 6.49% -------------------------------------------------------------------------------- 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, U.S. Treasury Class A Bond Index 1/31/98 $10,000 $10,000 1/31/99 10,746 10,803 1/31/00 10,663 10,687 1/31/01 11,988 12,059 1/31/02 12,850 12,976 1/31/03 14,021 14,328 1/31/04 14,439 14,833 1/31/05 14,706 15,052 1/31/06 14,845 15,180 1/31/07 15,385 15,730 1/31/08 17,073 17,778 1 For the period ended January 31, 2008. 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, 2008 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 market in fiscal year 2007 was devastated by the sub-prime/liquidity crisis that occurred in the second half of the year. Every major fixed income asset class, but especially those associated with real estate structured sectors, Mortgage-backed securities (MBS), Asset-backed securities (ABS), and Commercial Mortgage-backed securities (CMBS) were severely pummeled as investors went on a buyers strike and refused to purchase anything even remotely associated with mortgage loans. Spreads gapped to historic levels and duration adjusted performance of these sectors lagged the risk adverse Treasury sector. The housing credit crunch continued to spread to other parts of the market, leading to increased volatility and higher uncertainty surrounding the overall economy. Interest rates plunged as the Federal Reserve acknowledged the potentially destructive and contagious effects of the housing meltdown, and flooded the market with various forms of liquidity, including 225 basis points of cuts in the Fed Funds rate and 275 basis points of cuts in the discount rate. Treasury yields closed the year significantly lower and the yield curve steepened as the market priced in additional cuts in the Fed Funds rate. GNMA securities underperformed Treasuries by nearly 200 basis points due to higher interest rate volatility. These liquid high quality (AAA rated) securities suffered due to forced selling by levered investors as they scrambled to sell their most liquid securities to meet margin calls. Analysis For the fiscal year ended January 31, 2008, the GNMA Fund, Class A posted a 8.31% return versus the 8.82% return of its benchmark, the Citigroup 30 Year GNMA Index. The Fund's interest rate strategy positioning modestly added to return. Security selection, specifically the use of agency collateralized mortgage obligations, detracted from performance as the price of these securities trailed that of GNMA pass though securities. 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 8.31% 4.82% 4.05% 5.36% 6.80% -------------------------------------------------------------------------------- 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, Citigroup 30 Year Class A GNMA Index 1/31/98 $10,000 $10,000 1/31/99 10,676 10,668 1/31/00 10,550 10,720 1/31/01 11,968 12,214 1/31/02 12,832 13,150 1/31/03 13,824 14,185 1/31/04 14,123 14,628 1/31/05 14,637 15,245 1/31/06 15,017 15,709 1/31/07 15,565 16,334 1/31/08 16,859 17,775 1 For the period ended January 31, 2008. Past performance is not predictive of future performance. Class A shares were offered beginning 3/20/87. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2008 Ultra Short Bond Fund Objectives The Ultra Short Bond Fund (the "Fund") seeks to provide a higher current income than typically offered by a money market fund while maintaining a high degree of liquidity and minimal principal volatility. The Fund invests in U.S. Treasury and U.S. Agency securities, short average life mortgage-backed securities, and short-term investment grade securities of U.S. issuers. The duration of the Fund will range between six and eighteen months. Strategy The Fund seeks to provide a return in excess of the Lehman 9-12 Month U.S. Treasury Index and to manage risk through the adviser's use of sector strategies, security selection and duration management. In determining the average maturity and duration position of the Fund, the adviser considers the shape of the yield curve, the extent of yield changes and the period of time over which rates are likely to rise, fall or remain stable. Investment in short average life mortgage-backed issues and short-term investment grade securities is emphasized when relative spreads are attractive and incremental yields serve to enhance total return. Market Overview The fixed income market in fiscal year 2007 was devastated by the sub-prime/liquidity crisis that occurred in the second half of the year. Every major fixed income asset class, but especially those associated with real estate structured sectors, Mortgage-backed securities (MBS), Asset-backed securities (ABS), and Commercial Mortgage-backed securities (CMBS) were severely pummeled as investors went on a buyers strike and refused to purchase anything even remotely associated with mortgage loans. Spreads gapped to historic levels and duration adjusted performance of these sectors lagged the risk adverse Treasury sector by 8.0 to 9.0%, with some subsectors, like home equity asset backed securities underperforming by 23.0%. The rating agencies added to the negative mix by downgrading or watch-listing thousands of structured deals. Valuations plummeted regardless of quality or structure, causing severe mark to markets that forced hedge fund and other levered investors to sell high quality assets (i.e. AAA rated) to meet margin calls and enhance their liquidity. Financial institutions cautiously protected their own balance sheets and balked at providing liquidity to their peers and others. Short-term markets effectively ceased functioning causing Libor rates (the rate at which financial institutions lend to each other) to skyrocket in early September to 5.73% before gradually returning to 3.12% by fiscal year end. Market uncertainty was also fueled by an increase in downgrade risk as the rating agencies executed large scale rating revisions. Interest rates plunged as the Federal Reserve acknowledged the potentially destructive and contagious effects of the housing and liquidity crisis, flooded the market with various forms of liquidity, including 225 basis points of cuts in the Fed Funds rate and 275 basis points of cuts in the discount rate. Analysis For the fiscal year ended January 31, 2008, the Ultra Short Bond Fund, Class A returned 2.06% versus the 6.77% return of its benchmark, the Lehman Brothers 9-12 Month Treasury Index. The approximately 3.00% decline in short-term interest rates was a positive for the short end of the U.S. Treasury market. However, investors unprecedented fear of any investment that was not a Treasury security caused returns of the other sectors of the bond market (Corporates, Mortgage-backed securities, Asset-backed securities) to lag. The Fund's allocation to the non-Treasury sectors (benchmark is composed of 100% Treasuries), especially U.S. Agency and non-Agency hybrid mortgages, commercial mortgage-backed securities, corporate debt and asset-backed securities detracted from relative results. The Fund's duration and yield curve positioning had a positive impact on performance. -------------------------------------------------------------------------------- 4 SEI Daily Income Trust / Annual Report / January 31, 2008 Ultra Short Bond Fund (Concluded) 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 2.06% 3.27% 2.50% 3.96% 4.42% -------------------------------------------------------------------------------- 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 Lehman Brothers Bond Fund, 9-12 Month Class A Treasury Index 1/31/98 $10,000 $10,000 1/31/99 10,561 10,579 1/31/00 10,959 11,040 1/31/01 11,885 11,875 1/31/02 12,608 12,530 1/31/03 13,030 12,900 1/31/04 13,240 13,091 1/31/05 13,387 13,210 1/31/06 13,775 13,561 1/31/07 14,447 14,173 1/31/08 14,745 15,133 1 For the period ended January 31, 2008. 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, 2008 5 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, 2008 SCHEDULE OF INVESTMENTS Money Market Fund January 31, 2008 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 41.1% Commercial Paper 23.4% Repurchase Agreements 16.4% Corporate Obligations 10.0% Certificates of Deposit 6.7% Insurance Funding Agreements 1.8% Mortgage-Backed Security 0.6% Municipal Bond +Percentages are based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (A) (E) (F) -- 41.1% Cancara Asset Securitization LLC 4.150%, 02/20/08 $ 35,000 $ 34,923 Ciesco LLC 5.050%, 02/04/08 25,000 24,988 Corporate Asset Funding LLC 3.300%, 04/28/08 35,000 34,721 Curzon Funding LLC 4.000%, 04/15/08 37,000 36,696 FCAR Owner Trust II 4.650%, 04/15/08 15,000 14,857 Galaxy Funding 4.580%, 04/09/08 25,000 24,784 General Electric Capital 4.300%, 04/14/08 10,000 9,913 Grampian Funding LLC 4.600%, 03/31/08 10,000 9,925 Lake Constance Funding LLC 4.010%, 04/22/08 20,000 19,820 Lexington Parker Capital 4.150%, 03/14/08 35,000 34,830 4.050%, 04/22/08 10,000 9,909 New Center Asset Trust 4.300%, 04/10/08 25,000 24,794 4.050%, 04/25/08 10,000 9,905 Rams Funding II LLC (G) 4.153%, 02/11/08 20,603 20,603 Scaldis Capital LLC 4.200%, 04/11/08 25,000 24,796 Solitaire Funding LLC 4.320%, 04/11/08 15,000 14,874 Surrey Funding 3.400%, 04/25/08 35,000 34,722 Victory Receivables 3.950%, 03/18/08 10,000 9,949 ------------- Total Commercial Paper (Cost $395,009) ($ Thousands) 395,009 ------------- -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CORPORATE OBLIGATIONS -- 16.4% Asscher Finance MTN (A) (I) (J) 5.500%, 07/16/08 $ 9,507 $ 9,509 BNP Paribas MTN (B) 4.981%, 12/16/08 9,000 9,000 Banque Federative du Credit Mutuel (A) (B) 4.329%, 09/13/08 2,000 2,000 Cheyne Finance LLC MTN (A) (D) (G) (I) (J) 3.065%, 06/09/08 10,000 8,600 3.063%, 03/25/08 10,000 8,600 Cullinan Finance MTN (A) (B) (I) (J) 3.070%, 03/25/08 27,500 27,463 Irish Life & Permanent PLC (A) (B) 3.964%, 02/20/09 14,000 14,000 Natixis (A) (B) 3.086%, 09/08/08 35,000 35,000 Northern Rock PLC (A) (B) 3.179%, 09/04/08 10,000 10,000 Sigma Finance MTN (A) (B) (G) (I) (J) 3.135%, 04/10/08 8,800 8,770 Westpac Banking MTN (A) (B) 5.103%, 07/11/08 25,000 25,000 ------------- Total Corporate Obligations (Cost $160,803) ($ Thousands) 157,942 ------------- CERTIFICATES OF DEPOSIT -- 10.0% Bank of Scotland PLC 3.300%, 04/29/08 40,000 40,000 Bank of Tokyo-Mitsubishi 4.625%, 04/07/08 30,000 30,000 UBS 5.455%, 02/19/08 26,000 26,000 ------------- Total Certificates of Deposit (Cost $96,000) ($ Thousands) 96,000 ------------- INSURANCE FUNDING AGREEMENTS (B) (G) (H) -- 6.7% Metropolitan Life Insurance 4.417%, 01/15/09 30,000 30,000 Monumental Life Insurance 5.280%, 07/29/08 9,500 9,500 Morgan Stanley Asset Funding 3.575%, 12/05/08 25,000 25,000 ------------- Total Insurance Funding Agreements (Cost $64,500) ($ Thousands) 64,500 ------------- -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 7 SCHEDULE OF INVESTMENTS Money Market Fund (Concluded) January 31, 2008 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITY (A) (B) -- 1.9% Paragon Mortgages PLC, Ser 13A, Cl A1 5.101%, 11/15/39 $ 17,679 $ 17,679 ------------- Total Mortgage-Backed Security (Cost $17,679) ($ Thousands) 17,679 ------------- MUNICIPAL BOND -- 0.5% TEXAS -- 0.5% Texas State, Ser D, GO (B) 3.200%, 06/01/26 5,270 5,270 ------------- Total Municipal Bond (Cost $5,270) ($ Thousands) 5,270 ------------- CAPITAL SUPPORT AGREEMENT (J) -- 0.0% SEI Capital Support Agreement (Cost $0) -- -- ------------- REPURCHASE AGREEMENTS (C) -- 23.4% Barclays Capital 2.900%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $24,001,933 (collateralized by FNMA obligation, par value $24,798,000, 0.000%, 07/21/08, with total market value $24,480,586) 24,000 24,000 Deutsche Bank 2.850%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $176,367,961 (collateralized by various FNMA/FHLB obligations, ranging in par value $9,000- $60,855,000, 0.000%-5.925%, 03/10/08-07/15/27, with total market value $179,881,633) 176,354 176,354 Lehman Brothers 2.800%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $24,000,841 (collateralized by a U.S. Government Obligation, par value $68,900,000, 8.625%, 01/15/30, with total market value $24,480,859) 24,000 24,000 ------------- Total Repurchase Agreements (Cost $224,354) ($ Thousands) 224,354 ------------- Total Investments -- 100.0% (Cost $963,615) ($ Thousands) $ 960,754 ============= -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $960,664 ($ Thousands). (A) 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. (B) Floating Rate Instrument. The rate reflected on the Statement of Investments is the rate in effect on January 31, 2008. The demand and interest rate reset features give this security a shorter effective maturity date. (C) Tri-Party Repurchase Agreement. (D) On October 17, 2007, due to deterioration in the market value of the assets of Cheyne Finance LLC ("Cheyne"), provisions in the organizational documents of Cheyne were triggered that caused the notes issued by Cheyne to become immediately due and payable. Since no payments have been received, the Cheyne notes are in default. (E) The rate reported is the effective yield at time of purchase. (F) Securities are held in connection with a letter of credit issued by a major bank. (G) Securities considered illiquid. The total value of such securities as of January 31, 2008 was $111,072 ($ Thousands) and represented 11.56% of Net Assets. (H) Securities considered restricted. The total value of such securities as of January 31, 2008 was $64,500 ($ Thousands) and represented 6.71% of Net Assets. (I) The value shown is the fair value as of January 31, 2008. Please refer to Note 10 for the amortized cost value as of January 31, 2008. (J) The Fund has entered into a Capital Support Agreement ("agreement") with SEI Investments Company ("SEI") which provides that SEI will contribute capital to the Fund, up to a specified maximum amount, in the event that the Fund realizes a loss on any of these securities and such realized loss causes the Fund's net asset value as calculated using fair values to drop below $0.9950. As of January 31, 2008, the fair value of the agreement was $0. Cl -- Class FHLB -- Federal Home Loan Bank FNMA -- Federal National Mortgage Association GO -- General Obligation LLC -- Limited Liability Company MTN -- Medium Term Note PLC -- Public Limited Company Ser -- Series Amounts designated as "--" are $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 8 SEI Daily Income Trust / Annual Report / January 31, 2008 Government Fund January 31, 2008 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 57.5% U.S. Government Agency Obligations 42.5% Repurchase Agreements +Percentages are based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 57.4% FFCB (A) 2.970%, 11/24/08 $ 10,000 $ 9,998 3.004%, 09/03/09 55,000 55,004 FFCB, Ser 1 (A) 3.778%, 02/23/09 13,000 13,000 FHLB (A) 2.980%, 02/14/08 10,000 10,000 4.775%, 08/15/08 60,000 60,021 3.091%, 10/30/08 45,000 44,997 2.970%, 12/08/08 40,000 39,992 4.767%, 02/11/09 45,000 45,028 4.785%, 02/18/09 110,000 110,030 4.875%, 02/23/09 20,000 20,000 4.984%, 03/02/09 50,000 50,000 4.991%, 03/04/09 30,000 30,038 4.466%, 04/07/09 50,000 50,000 4.769%, 05/20/09 10,000 10,000 FHLB 3.505%, 08/14/08 1,000 991 FHLB, Ser 1 (A) 4.521%, 04/04/08 30,000 29,998 FHLB, Ser 1 5.250%, 06/19/08 15,000 14,996 FHLMC MTN 3.500%, 03/12/08 1,000 1,000 3.600%, 04/16/08 1,000 996 3.050%, 06/04/08 1,000 994 FNMA (A) 3.171%, 07/28/09 75,000 74,967 FNMA DN (C) 4.311%, 03/19/08 125,000 124,304 2.737%, 07/23/08 14,532 14,343 ------------- Total U.S. Government Agency Obligations (Cost $810,697) ($ Thousands) 810,697 ------------- -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (B) -- 42.5% Barclays Capital 2.900%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $217,017,481 (collateralized by various FNMA obligations, ranging in par value $33,093,000- $104,202,000, 4.875%-5.000%, 09/15/08-05/21/13, with total market value $221,340,249) $ 217,000 $ 217,000 Deutsche Bank 2.850%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $165,370,091 (collateralized by various FHLB/FHLMC/FNMA obligations, ranging in par value $1,242,000- $59,780,000, 0.000%-5.700%, 02/13/08-04/08/19, with total market value $168,666,737) 165,357 165,357 Lehman Brothers 2.800%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $217,000,347 (collateralized by a U.S. Government Obligation, par value $622,950,000, 8.625%, 01/15/30, with total market value $221,340,360) 217,000 217,000 ------------- Total Repurchase Agreements (Cost $599,357) ($ Thousands) 599,357 ------------- Total Investments -- 99.9% (Cost $1,410,054) ($ Thousands) $ 1,410,054 ============= Percentages are based on Net Assets of $1,411,682 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Statement of Investments is the rate in effect on January 31, 2008. The demand and interest rate reset features give this security a shorter effective maturity date. (B) Tri-Party Repurchase Agreement. (C) The rate reported is the effective yield at time of purchase. DN -- Discount Note FFCB -- Federal Farm Credit Bank FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 9 SCHEDULE OF INVESTMENTS Government II Fund January 31, 2008 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 100.0% U.S. Government Agency Obligations +Percentages are based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 103.2% FFCB (A) 2.980%, 03/10/08 $ 30,000 $ 29,999 3.809%, 03/19/08 5,000 5,000 2.960%, 04/23/08 to 02/11/09 78,000 77,996 4.184%, 06/13/08 10,000 10,000 3.151%, 06/30/08 25,000 24,999 3.849%, 07/18/08 18,050 18,048 2.970%, 11/24/08 40,000 39,994 FFCB, Ser 1 (A) 3.145%, 04/28/08 5,000 5,000 FHLB (A) 2.980%, 02/14/08 10,000 10,000 3.625%, 02/15/08 5,500 5,498 4.766%, 03/20/08 1,000 1,000 4.000%, 03/24/08 1,000 1,001 4.569%, 04/01/08 3,250 3,258 4.796%, 06/18/08 15,000 14,998 4.775%, 08/15/08 20,000 20,007 3.905%, 10/16/08 40,000 39,994 3.091%, 10/30/08 25,000 24,998 2.970%, 12/08/08 20,000 19,996 3.161%, 01/23/09 15,000 15,000 2.976%, 02/11/09 10,000 10,000 4.785%, 02/18/09 50,000 50,003 4.991%, 03/04/09 10,000 10,013 4.769%, 05/20/09 5,000 5,000 4.795%, 05/27/09 10,000 10,003 4.871%, 06/01/09 10,000 10,004 4.511%, 07/07/09 25,000 25,000 4.330%, 07/10/09 25,000 24,998 3.111%, 08/05/09 125,000 124,998 4.283%, 01/11/10 10,000 10,014 FHLB 5.125%, 02/21/08 to 04/16/08 8,565 8,572 4.125%, 04/18/08 1,000 1,002 4.000%, 05/15/08 1,250 1,253 4.650%, 11/28/08 5,000 5,000 FHLB, Ser 1 (A) 4.164%, 03/14/08 25,000 24,999 4.569%, 04/02/08 25,000 24,998 5.250%, 06/19/08 15,000 14,996 4.791%, 09/19/08 25,000 24,996 3.558%, 10/24/08 50,000 49,989 FHLB, Ser 642 5.100%, 03/06/08 18,000 18,018 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLB DN (B) 4.640%, 02/01/08 $ 246,640 $ 246,640 4.229%, 02/08/08 10,000 9,992 4.322%, 02/13/08 75,000 74,896 4.388%, 02/15/08 84,871 84,728 3.008%, 02/22/08 75,000 74,870 4.282%, 02/29/08 20,000 19,934 4.317%, 03/19/08 10,000 9,944 3.986%, 03/26/08 10,000 9,941 2.954%, 03/28/08 98,610 98,161 3.949%, 04/09/08 35,000 34,742 3.653%, 04/16/08 25,000 24,811 3.674%, 04/18/08 25,000 24,805 2.920%, 04/25/08 26,537 26,357 4.216%, 05/16/08 38,829 38,361 ------------- Total U.S. Government Agency Obligations (Cost $1,598,824) ($ Thousands) 1,598,824 ------------- Total Investments -- 103.2% (Cost $1,598,824) ($ Thousands) $ 1,598,824 ============= Percentages are based on Net Assets of $1,548,799 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Statement of Investments is the rate in effect on January 31, 2008. The demand and interest rate reset features give this security a shorter effective maturity date. (B) The rate reported is the effective yield at time of purchase. DN -- Discount Note FFCB -- Federal Farm Credit Bank FHLB -- Federal Home Loan Bank Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 10 SEI Daily Income Trust / Annual Report / January 31, 2008 Prime Obligation Fund January 31, 2008 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 65.5% Commercial Paper 14.6% Repurchase Agreements 12.3% Corporate Obligations 6.7% Insurance Funding Agreements 0.6% Capital Support Agreement 0.3% Municipal Bond +Percentages are based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- COMMERCIAL PAPER (A) (G) (H) -- 65.6% Amstel Funding 3.400%, 03/27/08 $ 4,084 $ 4,063 3.300%, 04/17/08 71,889 71,388 3.350%, 05/02/08 70,000 69,411 Atlantis One Funding 3.250%, 03/31/08 200,000 198,935 Ciesco LLC 5.050%, 02/04/08 25,000 24,988 Citigroup Funding 4.890%, 02/14/08 156,000 155,724 Clipper Receivables LLC 3.420%, 03/14/08 107,000 106,573 Concord Minutemen Capital LLC 3.500%, 04/01/08 69,500 69,095 3.450%, 04/17/08 80,087 79,504 Corporate Asset Funding LLC 3.300%, 04/28/08 200,000 198,405 Crown Point Capital LLC 3.500%, 04/01/08 69,200 68,796 Curzon Funding LLC 4.000%, 04/15/08 7,750 7,686 3.350%, 04/23/08 75,000 74,428 3.370%, 05/06/08 60,000 59,466 FCAR Owner Trust II 5.900%, 03/17/08 103,000 102,240 4.650%, 04/15/08 103,500 102,537 4.400%, 04/15/08 18,000 17,837 Galaxy Funding 4.580%, 04/09/08 122,500 121,440 Gemini Securitization LLC 5.300%, 03/06/08 75,000 74,625 General Electric Capital 4.300%, 04/14/08 100,000 99,128 Grampian Funding LLC 4.600%, 03/31/08 142,500 141,586 4.450%, 04/08/08 100,000 99,172 Lake Constance Funding LLC 4.585%, 04/10/08 75,000 74,341 4.010%, 04/22/08 145,000 143,692 Lexington Parker Capital 5.200%, 02/20/08 150,000 149,588 3.450%, 04/11/08 75,000 74,497 4.050%, 04/22/08 30,000 29,727 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Liberty Lighthouse Funding 5.650%, 04/24/08 $ 100,806 $ 99,493 Monument Gardens Funding LLC 4.600%, 04/18/08 35,000 34,656 New Center Asset Trust 4.300%, 04/10/08 109,550 108,647 3.430%, 05/02/08 30,000 29,740 Scaldis Capital LLC 4.200%, 04/11/08 147,000 145,799 3.350%, 04/15/08 18,000 17,876 Solitaire Funding LLC 4.320%, 04/11/08 45,000 44,622 3.350%, 04/23/08 60,000 59,542 Surrey Funding 3.400%, 04/25/08 144,000 142,858 Versailles LLC 4.950%, 02/04/08 150,000 149,938 Victory Receivables 3.300%, 04/17/08 24,269 24,100 ------------- Total Commercial Paper (Cost $3,276,143) ($ Thousands) 3,276,143 ------------- CORPORATE OBLIGATIONS-- 12.3% Asscher Finance MTN (A) (D) (K) 5.500%, 07/16/08 40,095 40,105 Carrera Capital Finance LLC MTN (A) (B) (D) (I) (K) 3.236%, 07/30/08 50,000 49,627 Cheyne Finance LLC MTN (A) (D) (E) (I) (K) 4.825%, 10/25/07 50,000 43,000 3.063%, 03/25/08 77,000 66,220 4.815%, 01/25/08 125,000 107,500 Cullinan Finance MTN (A) (B) (D) (K) 3.070%, 03/25/08 75,000 74,898 JPMorgan Chase MTN (B) 4.351%, 09/11/08 61,000 61,000 Kestrel Funding MTN (A) (B) (D) (I) (K) 3.070%, 03/27/08 100,000 99,953 Stanfield Victoria Funding LLC MTN (A) (D) (F) (I) (K) 3.070%, 03/20/08 80,000 71,200 ------------- Total Corporate Obligations (Cost $658,062) ($ Thousands) 613,503 ------------- INSURANCE FUNDING AGREEMENTS (B) (I) (J) -- 6.7% Metropolitan Life Insurance 4.417%, 01/15/09 160,000 160,000 Monumental Life Insurance 5.280%, 07/29/08 101,500 101,500 -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 11 SCHEDULE OF INVESTMENTS Prime Obligation Fund (Concluded) January 31, 2008 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Morgan Stanley Asset Funding 3.575%, 12/05/08 $ 75,000 $ 75,000 ------------- Total Insurance Funding Agreements (Cost $336,500) ($ Thousands) 336,500 ------------- CAPITAL SUPPORT AGREEMENT (D) -- 0.6% SEI Capital Support Agreement (Cost $0) 30,079 30,079 ------------- MUNICIPAL BOND -- 0.3% TEXAS -- 0.3% Texas State, Veterans Funding I Project, Ser C, GO (B) 3.200%, 12/01/25 12,700 12,700 ------------- Total Municipal Bond (Cost $12,700) ($ Thousands) 12,700 ------------- REPURCHASE AGREEMENTS (C) -- 14.6% Barclays Capital 2.900%, dated 01/31/08, to be repurchased on 02/01/08, (collateralized by a FNMA obligation, par value $6,570,000, 5.250%, 04/18/16, with total market value $7,140,938) 7,000 7,000 Deutsche Bank 2.850%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $716,651,730 (collateralized by various FNMA/FHLB obligations, ranging in par value $5,050,000- $319,870,000, 0.000%-7.125%, 03/28/08-01/15/30, with total market value $730,927,877) 716,595 716,595 Lehman Brothers 2.800%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $8,001,441 (collateralized by a U.S. Government Obligation, par value $22,970,000, 8.625%, 01/15/30, with total market value $8,161,471) 8,000 8,000 ------------- Total Repurchase Agreements (Cost $731,595) ($ Thousands) 731,595 ------------- Total Investments -- 100.1% (Cost $5,015,000) ($ Thousands) $ 5,000,520 ============= -------------------------------------------------------------------------------- Description -------------------------------------------------------------------------------- Percentages are based on Net Assets of $4,995,727 ($ Thousands). (A) 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. (B) Floating Rate Instrument. The rate reflected on the Statement of Investments is the rate in effect on January 31, 2008. The demand and interest rate reset features give this security a shorter effective maturity date. (C) Tri-Party Repurchase Agreement. (D) The Fund has entered into a Capital Support Agreement ("agreement") with SEI Investments Company ("SEI") which provides that SEI will contribute capital to the Fund, up to a specified maximum amount, in the event that the Fund realizes a loss on any of these securities and such realized loss causes the Fund's net asset value as calculated using fair values to drop below $0.9975. As of January 31, 2008, the fair value of the agreement was $30,079. (E) On October 17, 2007, due to deterioration in the fair value of the assets Cheyne Finance LLC ("Cheyne"), provisions in the organizational documents of Cheyne were triggered that caused the notes issued by Cheyne to become immediately due and payable. Since no payments have been received, the Cheyne notes are in default. (F) On January 18, 2008, due to deterioration in the market value of the assets Stanfield Victoria Finance, LLC ("Victoria"), provisions in the organizational documents of Victoria were triggered that caused the notes issued by Victoria to become immediately due and payable. Since no payments have been received, the Victoria notes are in default. (G) The rate reported is the effective yield at time of purchase. (H) Securities are held in connection with a letter of credit issued by a major bank. (I) Securities considered illiquid. The total value of such securities as of January 31, 2008 was $774,000 ($ Thousands) and represented 15.49% of Net Assets. (J) Securities considered restricted. The total value of such securities as of January 31, 2008 was $336,500 ($ Thousands) and represented 6.74% of Net Assets. (K) The value shown is the fair value as of January 31, 2008. Please refer to Note 10 for the amortized cost value as of January 31, 2008. FHLB -- Federal Home Loan Bank 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, 2008 Treasury Fund January 31, 2008 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 100.0% Repurchase Agreements +Percentages are based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS (A) -- 100.2% Barclays Capital 1.700%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $398,018,794 (collateralized by a U.S. Treasury Obligation, par value $350,887,000, 5.375%, 02/15/31, with total market value $405,960,154) $ 398,000 $ 398,000 BNP Paribas 1.700%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $398,018,794 (collateralized by various U.S. Treasury Obligations, ranging in par value $147,383,000- $164,290,000, 2.000%-8.125%, 01/15/14-08/15/19, with total market value $405,960,586) 398,000 398,000 Deutsche Bank 1.750%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $387,775,849 (collateralized by various U.S. Treasury Obligations, ranging in par value $8,770,000- $165,802,000, 4.500%-5.375%, 02/15/09-02/15/31, with total market value $395,512,445) 387,757 387,757 JP Morgan Chase 1.610%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $50,002,989 (collateralized by various U.S. Treasury Obligations, ranging in par value $3,967,000- $40,755,000, 0.000%-3.875%, 01/15/09-04/15/10, with total market value $51,003,052) 50,000 50,000 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Lehman Brothers 1.650%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $398,001,363 (collateralized by a U.S. Treasury Obligation, par value $409,855,000, 0.000%, 07/03/08, with total market value $405,961,391) $ 398,000 $ 398,000 ------------- Total Repurchase Agreements (Cost $1,631,757) ($ Thousands) 1,631,757 ------------- Total Investments -- 100.2% (Cost $1,631,757) ($ Thousands) $ 1,631,757 ============= Percentages are based on Net Assets of $1,628,720 ($ 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, 2008 13 SCHEDULE OF INVESTMENTS Treasury II Fund January 31, 2008 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 100.0% U.S. Treasury Obligations +Percentages are based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 99.8% U.S. Treasury Bills (A) 2.700%, 02/07/08 $ 64,450 $ 64,417 2.702%, 02/14/08 163,000 162,908 2.717%, 02/21/08 75,000 74,900 2.735%, 02/28/08 15,000 14,969 2.716%, 03/06/08 35,000 34,906 1.553%, 03/13/08 45,120 45,040 2.856%, 03/20/08 50,000 49,806 3.187%, 04/03/08 10,000 9,946 3.189%, 04/10/08 10,000 9,939 3.318%, 05/01/08 10,000 9,918 3.200%, 05/22/08 5,000 4,951 3.277%, 06/19/08 15,000 14,809 U.S. Treasury Notes 3.375%, 02/15/08 89,000 89,006 5.500%, 02/15/08 30,000 30,024 4.625%, 02/29/08 8,000 8,010 4.875%, 04/30/08 8,000 8,033 ------------- Total U.S. Treasury Obligations (Cost $631,582) ($ Thousands) 631,582 ------------- Total Investments -- 99.8% (Cost $631,582) ($ Thousands) $ 631,582 ============= Percentages are based on Net Assets of $632,802 ($ 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, 2008 Short-Duration Government Fund January 31, 2008 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 52.5% Mortgage-Backed Securities 29.1% Repurchase Agreements 18.4% U.S. Government Agency Obligations +Percentages are based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES -- 72.1% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 72.1% FHLMC (A) 7.295%, 06/01/24 $ 68 $ 69 7.259%, 06/01/24 152 156 7.250%, 09/01/20 12 12 7.174%, 07/01/24 34 35 7.125%, 09/01/18 10 11 7.119%, 06/01/17 51 52 7.094%, 07/01/20 6 6 7.045%, 04/01/22 147 149 7.000%, 07/01/18 to 09/01/18 29 30 6.946%, 03/01/19 27 28 6.925%, 12/01/23 3,631 3,763 6.875%, 07/01/18 16 17 6.854%, 04/01/29 173 177 6.848%, 12/01/23 246 250 6.750%, 02/01/17 to 07/01/18 48 49 6.600%, 04/01/29 79 82 6.564%, 05/01/24 95 97 6.500%, 04/01/16 to 03/01/17 24 24 6.378%, 03/01/19 44 45 6.375%, 06/01/16 to 07/01/16 20 20 6.308%, 05/01/19 43 44 6.250%, 02/01/16 to 11/01/20 18 18 6.166%, 02/01/19 49 50 6.125%, 11/01/18 11 11 6.000%, 01/01/18 to 06/01/21 2,359 2,436 5.935%, 04/01/19 26 26 5.750%, 12/01/16 5 5 5.500%, 01/01/17 9 10 5.250%, 01/01/17 7 8 FHLMC REMIC, Ser 2004-2780, Cl LC 5.000%, 07/15/27 2,000 2,042 FHLMC REMIC, Ser 2004-2826, Cl BK 5.000%, 01/15/18 1,256 1,279 FHLMC REMIC, Ser 2587, Cl ET 3.700%, 07/15/17 975 968 FHLMC REMIC, Ser 2617, Cl UN 4.500%, 08/15/12 314 314 FHLMC REMIC, Ser 2630, Cl KN 2.500%, 04/15/13 765 761 FHLMC REMIC, Ser 2684, Cl GN 3.250%, 05/15/23 412 411 FHLMC REMIC, Ser 2760, Cl PK 4.500%, 10/15/21 720 721 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FHLMC REMIC, Ser 2760, Cl PH 3.500%, 10/15/21 $ 576 $ 576 FHLMC REMIC, Ser 2890, Cl PJ 4.500%, 09/15/24 2,072 2,084 FHLMC REMIC, Ser 2975, Cl VT 5.000%, 02/15/11 2,300 2,346 FHLMC REMIC, Ser 3153, Cl FX (A) 4.586%, 05/15/36 837 828 FHLMC REMIC, Ser T-42, Cl A5 7.500%, 02/25/42 1,007 1,090 FNMA (A) 7.113%, 08/01/27 701 712 7.081%, 09/01/24 1,161 1,190 7.078%, 08/01/29 1,103 1,147 7.000%, 06/01/37 300 316 6.947%, 09/01/25 234 243 6.610%, 04/01/09 149 152 6.519%, 05/01/28 1,585 1,617 6.500%, 02/01/38 (TBA) 50,000 51,891 6.490%, 08/01/08 523 523 6.399%, 12/01/29 315 321 6.155%, 12/01/08 766 772 6.150%, 09/01/08 3,037 3,042 6.130%, 10/01/08 139 139 6.064%, 02/01/27 280 283 6.011%, 06/01/09 328 327 5.735%, 01/01/09 1,298 1,322 5.500%, 02/01/38 (TBA) 14,000 14,184 4.990%, 02/01/13 86 88 4.751%, 04/01/13 138 140 FNMA REMIC, Ser 1992-61, Cl FA (A) 4.025%, 10/25/22 233 236 FNMA REMIC, Ser 1993-32, Cl H 6.000%, 03/25/23 108 112 FNMA REMIC, Ser 1993-5, Cl Z 6.500%, 02/25/23 48 51 FNMA REMIC, Ser 1994-77, Cl FB (A) 4.875%, 04/25/24 23 24 FNMA REMIC, Ser 1995-13, Cl C 6.500%, 10/25/08 31 31 FNMA REMIC, Ser 2001-51, Cl QN 6.000%, 10/25/16 371 389 FNMA REMIC, Ser 2001-53, Cl CA 5.750%, 06/25/31 77 77 FNMA REMIC, Ser 2002-3, Cl PG 5.500%, 02/25/17 2,000 2,068 FNMA REMIC, Ser 2002-53, Cl FK (A) 3.776%, 04/25/32 439 439 FNMA REMIC, Ser 2003-76, Cl CA 3.750%, 07/25/33 1,456 1,368 FNMA REMIC, Ser 2005-43, Cl EN 5.000%, 05/25/19 2,000 2,032 FNMA REMIC, Ser 2006-39, Cl PB 5.500%, 07/25/29 2,386 2,452 -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 15 SCHEDULE OF INVESTMENTS Short-Duration Government Fund (Concluded) January 31, 2008 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- FNMA REMIC, Ser 2006-46, Cl PB 5.500%, 07/25/29 $ 469 $ 482 FNMA REMIC, Ser 2006-53, Cl PA 5.500%, 12/25/26 3,278 3,353 FNMA REMIC, Ser 2006-72, Cl FY (A) 3.796%, 08/25/36 4,432 4,388 FNMA REMIC, Ser 2006-76, Cl QF (A) 3.776%, 08/25/36 4,238 4,224 GNMA 7.500%, 01/15/11 to 02/15/11 23 24 6.500%, 04/15/17 to 11/15/36 1,978 2,060 6.000%, 06/15/16 to 09/15/19 1,001 1,034 GNMA REMIC, Ser 2004-41, Cl ED 3.750%, 10/20/26 204 204 GNMA REMIC, Ser 2006-38, Cl XS, IO (A) 3.169%, 09/16/35 318 35 ------------- Total Mortgage-Backed Securities (Cost $124,043) ($ Thousands) 124,592 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 25.3% FHLB 5.250%, 02/13/08 30,500 30,524 FHLMC 5.125%, 08/23/10 8,000 8,441 FNMA 5.000%, 03/15/16 4,517 4,811 ------------- Total U.S. Government Agency Obligations (Cost $43,207) ($ Thousands) 43,776 ------------- REPURCHASE AGREEMENTS (B)-- 40.0% BNP Paribas 3.000%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $38,703,225 (collateralized by various FNMA/ GNMA obligations, ranging in par value $9,100,090-$29,566,087, 5.500%, 01/01/38-01/15/38, with total market value $39,474,001) 38,700 38,700 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- UBS Securities LLC 2.950%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $30,400,695 (collateralized by various FNMA obligations, ranging in par value $3,460,000-$27,000,000, 5.500%-6.500%, 07/01/17- 06/01/37, with total market value $31,008,709) $ 30,400 $ 30,400 ------------- Total Repurchase Agreements (Cost $69,100) ($ Thousands) 69,100 ------------- Total Investments -- 137.4% (Cost $236,350) ($ Thousands) $ 237,468 ============= Futures -- a summary of the open futures contracts held by the Fund at January 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. Long Treasury Bond (46) Mar-2008 $ (94) U.S. 5-Year Treasury Note 161 Mar-2008 140 U.S. 2-Year Treasury Note 454 Mar-2008 1,323 U.S. 10-Year Treasury Note (202) Mar-2008 (114) ------ $1,255 ====== Percentages are based on Net Assets of $172,892 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Statement of Investments is the rate in effect on January 31, 2008. The demand and interest rate reset features give this security a shorter effective maturity date. (B) Tri-Party Repurchase Agreement. 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 - face amount represents notional amount 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. -------------------------------------------------------------------------------- 16 SEI Daily Income Trust / Annual Report / January 31, 2008 Intermediate-Duration Government Fund January 31, 2008 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 41.7% Mortgage-Backed Securities 28.4% Repurchase Agreements 19.0% U.S. Government Agency Obligations 8.2% U.S. Treasury Obligations 2.7% Asset-Backed Security +Percentages are based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES -- 44.9% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 44.9% FHLMC 8.250%, 01/01/09 $ 6 $ 6 6.500%, 01/01/18 57 60 6.000%, 09/01/24 1,677 1,725 5.500%, 06/01/19 to 12/01/20 1,051 1,077 FHLMC REMIC, Ser 1599, Cl C 6.100%, 10/15/23 472 491 FHLMC REMIC, Ser 165, Cl K 6.500%, 09/15/21 20 20 FHLMC REMIC, Ser 2586, Cl NK 3.500%, 08/15/16 149 148 FHLMC REMIC, Ser 2587, Cl ET 3.700%, 07/15/17 563 559 FHLMC REMIC, Ser 2630, Cl HA 3.000%, 01/15/17 1,287 1,248 FHLMC REMIC, Ser 2635, Cl NJ 3.000%, 03/15/17 356 348 FHLMC REMIC, Ser 2760, Cl PH 3.500%, 10/15/21 250 249 FNMA 9.500%, 05/01/18 55 60 6.450%, 09/01/18 697 766 6.150%, 04/01/11 146 154 6.390%, 04/01/12 243 260 5.920%, 06/01/14 497 538 5.931%, 02/01/12 617 654 5.680%, 06/01/17 601 642 5.626%, 12/01/11 1,746 1,834 5.500%, 02/01/38 (TBA) 4,000 4,052 5.034%, 08/01/15 395 404 5.016%, 02/01/13 223 230 3.790%, 07/01/13 1,064 1,042 FNMA REMIC, Ser 2001-51, Cl QN 6.000%, 10/25/16 524 550 FNMA REMIC, Ser 2004-27, Cl HN 4.000%, 05/25/16 423 424 FNMA REMIC, Ser 2006-72, Cl FY (A) 3.796%, 08/25/36 3,390 3,357 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GNMA 8.750%, 07/20/17 to 07/20/17 $ 11 $ 12 8.500%, 11/20/16 to 08/20/17 92 101 8.250%, 05/15/08 to 07/15/08 2 2 7.500%, 11/15/25 to 09/15/36 590 628 6.000%, 04/15/09 to 09/15/24 956 991 ------------- Total Mortgage-Backed Securities (Cost $22,398) ($ Thousands) 22,632 ------------- U.S. GOVERNMENT AGENCY OBLIGATION -- 20.4% FHLMC 6.000%, 06/15/11 9,400 10,281 ------------- Total U.S. Government Agency Obligation (Cost $10,029) ($ Thousands) 10,281 ------------- U.S. TREASURY OBLIGATION -- 8.9% U.S. Treasury Note 4.750%, 03/31/11 4,150 4,454 ------------- Total U.S. Treasury Obligation (Cost $4,130) ($ Thousands) 4,454 ------------- ASSET-BACKED SECURITY -- 2.9% Small Business Administration, Ser 2005-P10B, Cl 1 4.940%, 08/10/15 1,470 1,481 ------------- Total Asset-Backed Security (Cost $1,470) ($ Thousands) 1,481 ------------- REPURCHASE AGREEMENTS (B) -- 30.6% BNP Paribas 3.000%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $9,300,775 (collateralized by various FNMA/ GNMA obligations, ranging in par value $3,814,746-$5,508,825, 5.500%-6.000%, 10/15/37- 01/01/38, with total market value $9,486,001) 9,300 9,300 -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 17 SCHEDULE OF INVESTMENTS Intermediate-Duration Government Fund (Concluded) January 31, 2008 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- UBS Securities LLC 2.950%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $6,103,746 (collateralized by a FNMA obligation, par value $6,295,000, 6.000%, 06/01/37, with total market value $6,225,821) $ 6,100 $ 6,100 ------------- Total Repurchase Agreements (Cost $15,400) ($ Thousands) 15,400 ------------- Total Investments -- 107.7% (Cost $53,427) ($ Thousands) $ 54,248 ============= Futures -- a summary of the open futures contracts held by the Fund at January 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. Long Treasury Bond (13) Mar-2008 $(17) U.S. 5-Year Treasury Note 303 Mar-2008 686 U.S. 10-Year Treasury Note (70) Mar-2008 (62) ---- $607 ==== Percentages are based on Net Assets of $50,372 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2008. The demand and interest rate reset feature gives this security a shorter effective maturity date. (B) Tri-Party Repurchase Agreement. Cl -- Class FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association 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, 2008 GNMA Fund January 31, 2008 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 80.7% Mortgage-Backed Securities 19.3% Repurchase Agreement +Percentages are based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES -- 98.9% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 98.9% FHLMC REMIC, Ser 3279, IO (A) 2.194%, 02/15/37 $ 8,741 $ 514 FHLMC REMIC, Ser 3309, IO (A) 2.214%, 04/15/37 8,016 454 FNMA 8.000%, 09/01/14 to 09/01/28 270 293 7.000%, 08/01/29 to 09/01/32 495 528 6.500%, 09/01/32 318 332 5.500%, 07/01/37 1,020 1,034 5.000%, 03/01/37 (TBA) 1,500 1,491 FNMA REMIC, Ser 1990-91, Cl G 7.000%, 08/25/20 55 59 FNMA REMIC, Ser 1992-105, Cl B 7.000%, 06/25/22 106 115 FNMA REMIC, Ser 2002-42, Cl C 6.000%, 07/25/17 1,500 1,604 GNMA 10.000%, 05/15/16 to 04/15/20 30 34 9.500%, 06/15/09 to 11/15/20 234 249 9.000%, 12/15/17 to 05/15/22 261 287 8.500%, 08/15/08 to 06/15/17 77 85 8.000%, 04/15/17 to 03/15/32 1,093 1,195 7.750%, 10/15/26 47 52 7.500%, 02/15/27 to 05/15/36 1,554 1,662 7.250%, 01/15/28 187 201 7.000%, 04/15/19 to 11/15/33 8,057 8,624 6.750%, 11/15/27 52 56 6.500%, 09/15/10 to 04/15/37 10,198 10,688 6.000%, 07/15/24 to 11/15/33 3,376 3,496 5.500%, 10/15/32 to 04/15/37 16,542 16,883 5.000%, 04/15/33 to 12/15/35 49,296 49,428 4.500%, 08/15/33 to 09/15/34 8,799 8,619 GNMA REMIC, Ser 2002-45, Cl QE 6.500%, 06/20/32 1,623 1,723 GNMA REMIC, Ser 2003-63, Cl UV 3.500%, 07/20/30 2,069 2,029 GNMA REMIC, Ser 2005-70, Cl AI, IO 5.000%, 10/20/33 9,480 1,375 GNMA REMIC, Ser 2006-38, Cl XS, IO (A) 3.169%, 09/16/35 4,241 461 ------------- Total Mortgage-Backed Securities (Cost $111,444) ($ Thousands) 113,571 ------------- -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (B) -- 23.7% BNP Paribas 3.000%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $27,202,267 (collateralized by a GNMA obligation, par value $27,239,496, 6.000%, 10/15/37, with total market value $27,744,001) $ 27,200 $ 27,200 ------------- Total Repurchase Agreement (Cost $27,200) ($ Thousands) 27,200 ------------- Total Investments -- 122.6% (Cost $138,644) ($ Thousands) $ 140,771 ============= Futures -- a summary of the open futures contracts held by the Fund at January 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. Long Treasury Bond 1 Mar-2008 $ 3 U.S. 5-Year Treasury Note 7 Mar-2008 (10) U.S. 10-Year Treasury Note 5 Mar-2008 (3) ---- $(10) ==== Percentages are based on Net Assets of $114,824 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2008. The demand and interest rate reset feature gives this security a shorter effective maturity date. (B) Tri-Party Repurchase Agreement. Cl -- Class FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only - face amount represents notional amount REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series TBA -- To Be Announced The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 19 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund January 31, 2008 -------------------------------------------------------------------------------- SECTOR WEIGHTINGS (UNAUDITED)+: [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] 29.3% Repurchase Agreements 23.9% Asset-Backed Securities 22.9% Mortgage-Backed Securities 13.0% Corporate Obligations 10.9% U.S. Government Agency Obligations +Percentages are based on total investments. -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 24.1% AUTOMOTIVE -- 8.4% AESOP Funding II LLC, Ser 2005-1A, Cl A2 (A) (B) 3.994%, 04/20/09 $ 400 $ 400 AmeriCredit Automobile Receivables Trust, Ser 2005-CF, Cl A3 4.470%, 05/06/10 153 153 AmeriCredit Automobile Receivables Trust, Ser 2007-AX, Cl A2 5.290%, 11/06/10 553 552 AmeriCredit Automobile Receivables Trust, Ser 2007-AX, Cl A3 5.190%, 11/06/11 2,100 2,059 AmeriCredit Automobile Receivables Trust, Ser 2007-CM, Cl A3A 5.420%, 05/07/12 1,720 1,618 BMW Vehicle Lease Trust, Ser 2007-1, Cl A3A 4.590%, 08/15/13 655 666 BMW Vehicle Owner Trust, Ser 2005-A, Cl A4 4.280%, 02/25/10 1,677 1,684 Capital Auto Receivables Asset Trust, Ser 2005-1, Cl B (A) 4.611%, 06/15/10 440 439 Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A3A 5.020%, 09/15/11 575 588 Capital One Auto Finance Trust, Ser 2007-C, Cl A3A 5.130%, 04/16/12 1,475 1,497 Capital One Prime Auto Receivables Trust, Ser 2007-2, Cl A2 5.050%, 03/15/10 1,250 1,264 Carmax Auto Owner Trust, Ser 2004-2, Cl A4 3.460%, 09/15/11 252 252 Carmax Auto Owner Trust, Ser 2005-2, Cl A3 4.210%, 01/15/10 534 535 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Carmax Auto Owner Trust, Ser 2006-2, Cl A4 5.140%, 11/15/11 $ 1,120 $ 1,150 Carmax Auto Owner Trust, Ser 2008-1, Cl A4A 4.790%, 02/15/13 1,750 1,750 Chase Manhattan Auto Owner Trust, Ser 2004-A, Cl A4 2.830%, 09/15/10 843 842 Chase Manhattan Auto Owner Trust, Ser 2005-A, Cl A4 3.980%, 04/15/11 1,675 1,682 CPS Auto Trust, Ser 2007-C, Cl A2 (B) 5.530%, 11/15/10 600 603 Daimler Chrysler Auto Trust, Ser 2005-B, Cl A3 4.040%, 09/08/09 110 111 Ford Credit Auto Owner Trust, Ser 2007-A, Cl A2A 5.420%, 04/15/10 1,160 1,174 Ford Credit Auto Owner Trust, Ser 2007-B, Cl A3A 5.150%, 11/15/11 745 764 Ford Credit Auto Owner Trust, Ser 2008-A, Cl A3A 3.960%, 04/15/12 1,610 1,616 Harley-Davidson Motorcycle Trust, Ser 2007-1, Cl A2 5.290%, 01/18/11 328 330 Honda Auto Receivables Owner Trust, Ser 2005-1, Cl A4 3.820%, 05/21/10 804 805 Honda Auto Receivables Owner Trust, Ser 2005-3, Cl A3 3.870%, 04/20/09 178 178 Household Automotive Trust, Ser 2005-1, Cl A3 4.150%, 02/17/10 313 314 Household Automotive Trust, Ser 2005-3, Cl A3 4.800%, 10/18/10 582 583 Household Automotive Trust, Ser 2007-1, Cl A2 5.320%, 05/17/10 307 309 Hyundai Auto Receivables Trust, Ser 2005-A, Cl A3 3.980%, 11/16/09 231 232 Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3A 5.040%, 01/17/12 205 208 -------------------------------------------------------------------------------- 20 SEI Daily Income Trust / Annual Report / January 31, 2008 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Long Beach Auto Receivables Trust, Ser 2006-B, Cl A3 5.170%, 08/15/11 $ 2,075 $ 2,082 M&I Auto Loan Trust, Ser 2005-1, Cl A3 4.830%, 09/21/09 896 899 Merrill Auto Trust Securitization, Ser 2005-1, Cl B (A) 3.616%, 07/25/12 79 79 Morgan Stanley Auto Loan Trust, Ser 2004-HB1, Cl A4 3.330%, 10/15/11 207 207 Nissan Auto Receivables Owner Trust, Ser 2005-C, Cl A3 4.190%, 07/15/09 268 268 Nissan Auto Receivables Owner Trust, Ser 2006-A, Cl A3 4.740%, 09/15/09 410 412 Nissan Auto Receivables Owner Trust, Ser 2008-A, Cl A3 3.890%, 08/15/11 670 671 Santander Drive Auto Receivables Trust, Ser 2007-1, Cl A2 5.200%, 12/15/10 1,166 1,163 USAA Auto Owner Trust, Ser 2007-2, Cl A3 4.900%, 02/15/12 735 750 USAA Auto Owner Trust, Ser 2008-1, Cl A3 4.160%, 04/16/12 965 973 Volkswagen Auto Lease Trust, Ser 2006-A, Cl A3 5.500%, 09/21/09 700 708 WFS Financial Owner Trust, Ser 2005-2, Cl B 4.570%, 11/19/12 1,234 1,248 Wachovia Auto Owner Trust, Ser 2005-B, Cl A3 4.790%, 04/20/10 515 516 World Omni Auto Receivables Trust, Ser 2004-A, Cl B (C) 3.620%, 07/12/11 227 227 ------------- 34,561 ------------- CREDIT CARD -- 5.5% Advanta Business Card Master Trust, Ser 2005-B1, Cl B1 (A) 4.314%, 02/20/14 1,250 1,130 Advanta Business Card Master Trust, Ser 2005-C1, Cl C1 (A) 4.444%, 08/22/11 1,500 1,463 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Advanta Business Card Master Trust, Ser 2006-B2, Cl B2 (A) 4.184%, 06/20/14 $ 2,000 $ 1,811 American Express Issuance Trust, Ser 2007-1, Cl A (A) 4.436%, 09/15/11 715 708 Bank of America Credit Card Trust, Ser 2006-C7, Cl C7 (A) 4.466%, 03/15/12 1,000 959 Bank of America Credit Card Trust, Ser 2007-A13, Cl A13 (A) 4.456%, 04/16/12 1,500 1,492 Cabela's Master Credit Card Trust, Ser 2006-3A, Cl B (A) (B) 4.440%, 10/15/14 2,000 1,731 Capital One Multi-Asset Execution Trust, Ser 2004-C4, Cl C4 (A) 4.886%, 06/15/12 1,350 1,295 Capital One Multi-Asset Execution Trust, Ser 2005-B2, Cl B2 (A) 4.386%, 03/15/11 1,500 1,500 Capital One Multi-Asset Execution Trust, Ser 2007-C2, Cl C2 (A) 4.536%, 11/15/14 1,200 1,046 Capital One Multi-Asset Execution Trust, Ser 2007-C3, Cl C3 (A) 4.526%, 04/15/13 1,500 1,349 Chase Issuance Trust, Ser 2007-A14, Cl A14 (A) 4.486%, 09/15/11 1,000 996 Citibank Credit Card Issuance Trust, Ser 2006-A5, Cl A5 5.300%, 05/20/11 1,505 1,544 Discover Card Master Trust I, Ser 2005-1, Cl B (A) 4.386%, 09/16/10 1,133 1,133 MBNA Credit Card Master Note Trust, Ser 2005-A7, Cl A7 4.300%, 02/15/11 595 597 MBNA Credit Card Master Note Trust, Ser 2006-A1, Cl A1 4.900%, 07/15/11 1,000 1,017 Washington Mutual Master Note Trust, Ser 2006-C2A, Cl C2 (A) (B) 4.736%, 08/15/15 1,300 1,309 Washington Mutual Master Note Trust, Ser 2006-C3A, Cl C3A (A) (B) 4.620%, 10/15/13 1,490 1,347 ------------- 22,427 ------------- -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 21 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund (Continued) January 31, 2008 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MISCELLANEOUS BUSINESS SERVICES -- 5.9% ACAS Business Loan Trust, Ser 2005-1A, Cl A1 (A) (B) 3.581%, 07/25/19 $ 1,000 $ 972 ACAS Business Loan Trust, Ser 2007-1A, Cl C (A) (B) 5.728%, 08/16/19 1,585 1,460 AIG Credit Premium Finance Master Trust, Ser 2005-1, Cl A (A) 4.316%, 04/15/10 1,470 1,465 Babson CLO Ltd., Ser 2007-1A, Cl A1 (A) (B) 4.176%, 01/18/21 1,190 1,131 Capital Source Commercial Loan Trust, Ser 2006-1A, Cl C (A) (B) 4.484%, 08/22/16 494 464 Capital Source Commercial Loan Trust, Ser 2006-2A, Cl A1A (A) (B) 4.144%, 09/20/22 1,460 1,388 CIT Equipment Collateral, Ser 2005-EF1, Cl A3 4.420%, 05/20/09 147 147 CIT Equipment Collateral, Ser 2006-VT1, Cl A3 5.130%, 12/21/09 1,012 1,017 CNH Equipment Trust, Ser 2005-A, Cl A3 4.020%, 04/15/09 12 12 CNH Equipment Trust, Ser 2006-B, Cl A3 5.200%, 06/15/10 1,141 1,151 CNH Wholesale Master Note Trust, Ser 2006-1A, Cl B (A) (B) 4.516%, 07/15/12 245 226 Colts Trust, Ser 2005-1A, Cl A1 (A) (B) 5.146%, 03/20/15 6 6 Colts Trust, Ser 2006-2A, Cl A (A) (B) 5.206%, 12/20/18 1,950 1,901 Credit-Based Asset Servicing and Securitization CBO, Ser 2006-16A, Cl A (A) (B) 5.400%, 09/06/41 1,453 995 Franklin CLO Ltd., Ser 2003-4A, Cl A (A) (B) 5.477%, 09/20/15 500 496 GE Commercial Equipment Financing LLC, Ser 2005-1, Cl A3A 3.980%, 03/20/09 57 57 GE Equipment Small Ticket LLC, Ser 2005-1A, Cl B (B) 4.620%, 12/22/14 330 334 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- GE Equipment Small Ticket LLC, Ser 2005-2A, Cl A4 (B) 5.010%, 06/22/15 $ 2,226 $ 2,277 John Deere Owner Trust, Ser 2007-A, Cl A2 5.210%, 10/15/09 159 160 Katonah CLO, Ser 2005-7A, Cl B (A) (B) 5.290%, 11/15/17 1,200 1,103 Lambda Finance BV, Ser 2005-1A, Cl B3 (A) (B) 5.239%, 11/15/29 840 754 Madison Park Funding CLO, Ser 2007-4A, Cl A1B (A) (B) 5.184%, 03/22/21 1,000 887 Marlin Leasing Receivables LLC, Ser 2005-1A, Cl B (B) 5.090%, 08/15/12 66 67 Marlin Leasing Receivables LLC, Ser 2006-1A, Cl A2 (B) 5.430%, 11/17/08 317 318 Merritt Funding Trust CLO, Ser 2005-2A, Cl B (A) (B) 4.958%, 07/15/15 541 490 Morgan Stanley ABS Capital I, Ser 2006-WMC1, Cl A2B (A) 3.576%, 12/25/35 1,390 1,349 PFS Financing, Ser 2006-B, Cl A (A) (B) 5.081%, 09/15/11 965 963 Sierra Receivables Funding, Ser 2007-2A, Cl A2 (A) (B) 5.950%, 09/20/19 864 839 SLMA, Ser 2003-A, Cl A1 (A) 5.100%, 12/15/15 125 125 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl C (A) 4.836%, 01/15/12 200 191 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl B (A) 4.536%, 01/15/12 110 106 Wadsworth CDO, Ser 2006-1A, Cl B (A) (B) 5.340%, 11/05/46 315 32 William Street Funding, Ser 2006-1, Cl A (A) (B) 4.078%, 01/23/12 1,260 1,135 ------------- 24,018 ------------- MORTGAGE RELATED -- 4.3% ACE Securities, Ser 2006-CW1, Cl A2C (A) 3.516%, 07/25/36 895 795 -------------------------------------------------------------------------------- 22 SEI Daily Income Trust / Annual Report / January 31, 2008 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Asset Backed Funding Certificates, Ser 2006-OPT2, Cl A3B (A) 3.486%, 10/25/36 $ 1,900 $ 1,821 Bear Stearns Asset-Backed Securities Trust, Ser 2005-HE11, Cl A2 (A) 3.626%, 11/25/35 272 267 Bear Stearns Asset-Backed Securities Trust, Ser 2006-HE1, Cl 1A1 (A) 3.466%, 12/25/35 119 118 Citigroup Mortgage Loan Trust, Ser 2006-WFH3, Cl M1(A) 3.666%, 10/25/36 1,325 724 Countrywide Asset-Backed Certificates, Ser 2006-2, Cl 2A2 (A) 3.566%, 06/25/36 742 715 First Franklin Mortgage Loan Asset Backed Certificates, Ser 2007-FF1, Cl M2 (A) 3.636%, 01/25/38 1,250 485 GMAC Mortgage Loan Trust, Ser 2006-HE4, Cl A2 (A) 3.516%, 12/25/36 2,000 1,846 JP Morgan Mortgage Acquisition, Ser 2007-CH5, Cl M1 (A) 3.646%, 06/25/37 2,000 1,045 Long Beach Mortgage Loan Trust, Ser 2006-6, Cl 2A3 (A) 3.530%, 07/25/36 1,190 891 Morgan Stanley Home Equity Loans, Ser 2005-4, Cl A2B (A) 3.596%, 09/25/35 2,000 1,969 New Century Home Equity Loan Trust, Ser 2005-C, Cl A2B (A) 3.546%, 12/25/35 523 520 Option One Mortgage Loan Trust, Ser 2003-3, Cl A2 (A) 3.680%, 06/25/33 147 138 Option One Mortgage Loan Trust, Ser 2005-5, Cl A3 (A) 3.586%, 12/25/35 1,313 1,270 Option One Mortgage Loan Trust, Ser 2006-1, Cl 2A2 (A) 3.506%, 01/25/36 1,590 1,566 Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3 (A) 5.611%, 01/25/37 305 274 Option One Mortgage Loan Trust, Ser 2007-FXD2, Cl 2A1 (C) 5.900%, 03/25/37 1,026 1,009 Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 (A) 3.450%, 02/25/38 770 721 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Residential Asset Securities, Ser 2006-EMX6, Cl A3 (A) 3.530%, 07/25/36 $ 1,005 $ 874 Residential Asset Securities, Ser 2006-KS1, Cl A2 (A) 3.516%, 02/25/36 590 584 ------------- 17,632 ------------- Total Asset-Backed Securities (Cost $95,038) ($ Thousands) 98,638 ------------- MORTGAGE-BACKED SECURITIES -- 23.0% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 3.9% FHLMC (A) 6.810%, 02/01/30 853 862 6.797%, 02/01/22 1,321 1,339 FHLMC REMIC, Ser 1599, Cl C 6.100%, 10/15/23 306 319 FHLMC REMIC, Ser 2004-2780, Cl LC 5.000%, 07/15/27 1,000 1,021 FHLMC REMIC, Ser 2630, Cl HA 3.000%, 01/15/17 1,371 1,329 FHLMC REMIC, Ser 3153, Cl FX (A) 4.586%, 05/15/36 1,797 1,778 FNMA (A) 7.081%, 09/01/24 580 595 6.876%, 01/01/29 75 77 6.825%, 09/01/24 222 227 6.781%, 11/01/23 609 619 6.761%, 11/01/25 127 131 6.519%, 05/01/28 991 1,011 6.306%, 11/01/21 159 159 6.000%, 01/01/27 2,114 2,176 FNMA REMIC, Ser 1993-220, Cl FA (A) 3.975%, 11/25/13 160 161 FNMA REMIC, Ser 1993-58, Cl H 5.500%, 04/25/23 235 244 FNMA REMIC, Ser 2001-33, Cl FA (A) 3.826%, 07/25/31 320 320 FNMA REMIC, Ser 2002-63, Cl QF (A) 3.676%, 04/25/29 209 209 FNMA REMIC, Ser 2002-64, Cl FG (A) 4.239%, 10/18/32 204 204 FNMA REMIC, Ser 2002-78, Cl AU 5.000%, 06/25/30 722 726 FNMA REMIC, Ser 2006-39, Cl PB 5.500%, 07/25/29 2,546 2,615 ------------- 16,122 ------------- -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 23 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund (Continued) January 31, 2008 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 19.1% Arkle Master Issuer PLC, Ser 2006-1A, Cl M (A) (B) 5.095%, 02/17/52 $ 1,000 $ 953 Banc of America Funding, Ser 2005-F, Cl 4A1 (A) 5.350%, 09/20/35 902 868 Banc of America Funding, Ser 2006-D, Cl 3A1 (A) 5.574%, 05/20/36 1,152 1,168 Banc of America Large Loan, Ser 2007-BMB1 (A) (B) 4.746%, 08/15/29 596 573 Banc of America Mortgage Securities, Ser 2004-F, Cl 2A5 (A) 4.144%, 07/25/34 1,300 1,313 Banc of America Mortgage Securities, Ser 2005-A, Cl 2A2 (A) 4.463%, 02/25/35 1,665 1,676 Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2 (A) 5.012%, 07/25/35 2,664 2,700 Banc of America Mortgage Securities, Ser 2005-H, Cl 2A1 (A) 4.803%, 09/25/35 829 838 Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1 (A) 5.089%, 11/25/35 291 296 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1 (A) 5.434%, 02/25/36 599 603 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1 (A) 5.063%, 06/25/35 708 714 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1 (A) 5.268%, 08/25/35 1,390 1,417 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-9, Cl A1 (A) 4.625%, 10/25/35 1,406 1,406 Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2 6.480%, 02/15/35 1,600 1,663 Citigroup Commercial Mortgage Trust, Ser 2006-FL2, Cl D (A) (B) 4.450%, 08/15/21 510 501 Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl J (A) (B) 5.186%, 04/15/22 550 463 Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A (A) 5.745%, 09/25/34 522 527 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1 (A) 5.627%, 03/25/36 $ 1,168 $ 1,188 Countrywide Alternative Loan Trust, Ser 2007-HY5R, Cl 2A1A (A) 5.544%, 03/25/47 1,281 1,251 Countrywide Home Loans, Ser 2004-29, Cl 1A1 (A) 3.646%, 02/25/35 132 125 Countrywide Home Loans, Ser 2005-7, Cl 1A1 (A) 3.646%, 03/25/35 241 228 Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A (A) 5.377%, 02/20/36 1,039 986 Crusade Global Trust, Ser 2003-1, Cl A (A) 4.198%, 01/17/34 523 513 First Horizon Asset Securities, Ser 2005-2, Cl 1A1 5.500%, 05/25/35 1,565 1,584 Fosse Master Issuer PLC, Ser 2007-1A, Cl C2 (A) (B) 4.501%, 10/18/54 1,305 1,129 GE Commercial Loan Trust, Ser 2006-2, Cl C (A) (B) 4.444%, 10/19/16 407 357 GE Commercial Loan Trust, Ser 2006-3, Cl C (A) (B) 4.444%, 01/19/17 799 701 GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1 (A) 5.196%, 11/19/35 1,372 1,397 Granite Master Issuer PLC, Ser 2006-1A, Cl A5 (A) (B) 5.019%, 12/20/54 1,214 1,092 Granite Master Issuer PLC, Ser 2006-3, Cl M1 (A) 4.074%, 12/20/54 715 628 Granite Master Issuer PLC, Ser 2007-1, Cl 1C1 (A) 5.226%, 12/20/54 410 388 GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1 (A) 4.988%, 07/25/35 1,913 1,920 GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1 (A) 5.790%, 05/25/47 1,533 1,555 Holmes Master Issuer PLC, Ser 2007-1, Cl 1C1 (A) 4.538%, 07/15/40 410 403 -------------------------------------------------------------------------------- 24 SEI Daily Income Trust / Annual Report / January 31, 2008 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Holmes Master Issuer PLC, Ser 2007-2A, Cl 1C (A) 4.488%, 07/15/40 $ 595 $ 565 Impac CMB Trust, Ser 2004-9, Cl 1A1 (A) 4.136%, 01/25/35 426 414 Impac CMB Trust, Ser 2005-2, Cl 1A1 (A) 3.636%, 04/25/35 475 457 Impac CMB Trust, Ser 2005-3, Cl A1 (A) 3.616%, 08/25/35 405 384 Impac CMB Trust, Ser 2005-5, Cl A1 (A) 3.696%, 08/25/35 338 322 Impac CMB Trust, Ser 2005-8, Cl 1A (A) 3.636%, 02/25/36 1,021 965 JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1 (A) 4.968%, 08/25/35 806 812 JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1 (A) 5.478%, 05/25/37 1,297 1,319 Master Adjustable Rate Mortgages Trust, Ser 2004-12, Cl 5A1 (A) 6.936%, 10/25/34 257 260 Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-2, Cl 1A1 (A) 5.800%, 08/25/36 1,545 1,587 Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1 (A) 5.640%, 06/25/37 1,495 1,514 Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2 (A) 4.488%, 02/25/35 1,151 1,132 Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1 (A) 3.646%, 04/25/35 543 533 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1A (A) 5.130%, 12/25/35 933 942 MLCC Mortgage Investors, Ser 2004-G, Cl A1 (A) 3.656%, 01/25/30 157 147 MLCC Mortgage Investors, Ser 2004-HB1, Cl A1 (A) 3.736%, 04/25/29 191 190 MLCC Mortgage Investors, Ser 2005-A, Cl A1 (A) 3.606%, 03/25/30 173 170 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- MLCC Mortgage Investors, Ser 2006-1, Cl 2A1 (A) 5.386%, 02/25/36 $ 960 $ 972 Mortgage IT Trust, Ser 2005-2, Cl 1A1 (A) 3.636%, 05/25/35 378 361 Mortgage IT Trust, Ser 2005-3, Cl A1 (A) 3.676%, 08/25/35 1,177 1,136 Mortgage IT Trust, Ser 2005-4, Cl A1 (A) 3.656%, 10/25/35 1,551 1,429 Mortgage IT Trust, Ser 2005-5, Cl A1 (A) 3.636%, 12/25/35 1,455 1,373 Paragon Mortgages PLC, Ser 12A, Cl A2C (A) (B) 4.979%, 11/15/38 455 436 Paragon Mortgages PLC, Ser 15A, Cl A2C (A) (B) 5.101%, 12/15/39 912 861 Permanent Master Issuer PLC, Ser 2006-1, Cl 2C (A) 4.660%, 07/15/42 1,200 1,180 Prima, Ser 2006-1, Cl A1 5.070%, 12/28/48 850 824 Puma Finance, Ser S1, Cl A (A) (B) 5.096%, 08/09/35 380 377 Residential Funding Mortgage Securities I, Ser 2005-SA5, Cl 2A (A) 5.332%, 11/25/35 790 806 Residential Funding Mortgage Securities I, Ser 2007-SA2, Cl 2A2 (A) 5.676%, 04/25/37 1,110 1,138 Residential Funding Mortgage Securities I, Ser 2007-SA2, Cl 2A1 (A) 5.676%, 04/25/37 1,565 1,606 Residential Funding Mortgage Securities I, Ser 2007-SA3, Cl 2A1 (A) 5.783%, 07/27/37 1,423 1,454 Residential Mortgage Securities, Ser 22A, Cl A1B (A) (B) 4.940%, 11/14/31 361 360 RMAC PLC, Ser 2003-NS4A, Cl A2B (A) (B) 5.433%, 03/12/36 79 78 -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 25 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund (Continued) January 31, 2008 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- RMAC Securities PLC, Ser 2006-NS2A, Cl A1B (A) (B) 5.177%, 06/12/24 $ 344 $ 343 Sequoia Mortgage Trust, Ser 2004-12, Cl A1 (A) 4.204%, 01/20/35 157 152 Sequoia Mortgage Trust, Ser 2005-1, Cl A1 (A) 4.164%, 02/20/35 149 146 Washington Mutual Mortgage Pass-Through Certificates, Ser 2004-AR5, Cl A6 (A) 3.843%, 06/25/34 1,300 1,308 Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 (A) 5.309%, 03/25/37 1,660 1,692 Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A4 (A) 4.450%, 10/25/33 550 548 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2 (A) 4.560%, 01/25/35 1,092 1,106 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1 (A) 4.494%, 02/25/35 968 978 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2 (A) 4.997%, 10/25/35 1,559 1,579 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3 (A) 5.000%, 10/25/35 1,994 2,008 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2 (A) 4.523%, 04/25/35 890 877 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1 (A) 5.647%, 07/25/36 1,672 1,701 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1 (A) 6.024%, 09/25/36 1,380 1,407 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1 (A) 5.535%, 04/25/36 $ 1,332 $ 1,364 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 2A1 (A) 5.094%, 03/25/36 1,613 1,620 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 2A1 (A) 5.240%, 04/25/36 1,607 1,635 Westpac Securitisation Trust, Ser 2005-1G, Cl A1 (A) 4.954%, 03/23/36 351 335 ------------- 78,027 ------------- Total Mortgage-Backed Securities (Cost $104,084) ($ Thousands) 94,149 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 11.0% FHLB 3.875%, 08/22/08 175 176 FHLB DN (E) 4.264%, 02/25/08 10,000 9,897 FHLMC DN (E) 3.493%, 05/30/08 5,000 4,958 4.295%, 02/25/08 10,000 9,983 FNMA DN (E) 3.428%, 07/16/08 5,000 4,943 3.500%, 06/12/08 5,000 4,954 4.314%, 02/27/08 10,000 9,982 ------------- Total U.S. Government Agency Obligations (Cost $44,798) ($ Thousands) 44,893 ------------- CORPORATE OBLIGATIONS -- 13.1% BANKS -- 2.2% Comerica Bank (A) 5.178%, 12/12/08 1,800 1,803 3.979%, 06/19/09 1,200 1,198 3.265%, 05/10/10 1,000 995 HSBC Bank 4.230%, 04/10/08 3,500 3,505 Wachovia (A) 5.111%, 03/15/11 1,750 1,705 ------------- 9,206 ------------- -------------------------------------------------------------------------------- 26 SEI Daily Income Trust / Annual Report / January 31, 2008 -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- CONSUMER PRODUCTS -- 1.5% CVS Caremark (A) 5.441%, 06/01/10 $ 865 $ 845 Daimler Finance North America LLC, Ser E MTN (A) 3.769%, 10/31/08 2,000 1,996 President and Fellows of Harvard College 3.700%, 04/01/13 1,325 1,327 Whirlpool (A) 5.491%, 06/15/09 2,000 2,006 ------------- 6,174 ------------- FINANCIAL SERVICES -- 6.7% BNP Paribas 4.040%, 04/11/08 4,000 4,005 Calyon 4.600%, 04/04/08 3,000 3,006 4.500%, 04/08/08 4,500 4,509 4.285%, 07/07/08 4,500 4,517 Credit Suisse First Boston 4.420%, 07/03/08 3,500 3,519 General Electric Capital (A) 3.334%, 04/28/11 1,250 1,236 International Lease Finance MTN 5.300%, 05/01/12 1,500 1,539 Lloyds Bank 3.100%, 04/23/08 5,000 4,997 ------------- 27,328 ------------- FOOD, BEVERAGE & TOBACCO -- 0.8% General Mills (A) 4.024%, 01/22/10 1,500 1,460 SABMiller PLC (A) (B) (C) 5.029%, 07/01/09 1,705 1,714 ------------- 3,174 ------------- INSURANCE -- 0.9% MBIA Insurance (A) (B) 14.000%, 01/01/33 1,000 935 Monumental Global Funding III (A) (B) 4.458%, 01/15/14 1,900 1,871 Principal Life Income Funding Trusts (A) 5.029%, 11/15/10 750 724 ------------- 3,530 ------------- -------------------------------------------------------------------------------- Face Amount Value Description ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- INVESTMENT BANKER/BROKER DEALER -- 0.2% Morgan Stanley, Ser G (A) 4.843%, 01/09/14 $ 1,000 $ 936 ------------- SECURITY AND COMMODITY BROKERS -- 0.3% Genworth Global Funding Trusts (A) 5.009%, 05/15/12 1,200 1,184 ------------- TELEPHONES & TELECOMMUNICATION -- 0.2% AT&T (A) 3.195%, 02/05/10 1,000 991 ------------- UTILITIES - ELECTRIC & GAS -- 0.3% FPL Group Capital 5.551%, 02/16/08 755 755 KeySpan 4.900%, 05/16/08 360 361 ------------- 1,116 ------------- Total Corporate Obligations (Cost $53,862) ($ Thousands) 53,639 ------------- REPURCHASE AGREEMENTS (D) -- 29.5% BNP Paribas 3.000%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $38,903,242 (collateralized by a GNMA obligation, par value $38,806,813, 5.500%, 01/15/38, with total market value $39,678,000) 38,900 38,900 Merrill Lynch 2.980%, dated 01/31/08, to be repurchased on 02/01/08, repurchase price $81,904,173 (collateralized by various FNMA obligations, ranging in par value $3,140,000-$11,000,000, 5.000%- 6.500%, 11/01/17-01/01/38, with total market value $83,542,258) 81,900 81,900 ------------- Total Repurchase Agreements (Cost $120,800) ($ Thousands) 120,800 ------------- Total Investments -- 100.7% (Cost $418,582) ($ Thousands) $ 412,119 ============= -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 27 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund (Concluded) January 31, 2008 Futures -- a summary of the open futures contracts held by the Fund at January 31, 2008, is as follows (see Note 2 in Notes to Financial Statements): -------------------------------------------------------------------------------- UNREALIZED NUMBER OF APPRECIATION TYPE OF CONTRACTS EXPIRATION (DEPRECIATION) CONTRACT LONG (SHORT) DATE ($ THOUSANDS) -------------------------------------------------------------------------------- U.S. 5-Year Treasury Note (120) Mar-2008 $ (170) U.S. 2-Year Treasury Note 493 Mar-2008 1,515 U.S. 10-Year Treasury Note 33 Mar-2008 106 90-Day Euro$ 175 Mar-2008 672 90-Day Euro$ (350) Sep-2008 (2,034) 90-Day Euro$ 175 Dec-2010 683 ------- $ 772 ======= Percentages are based on Net Assets of $409,363 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Statement of Investments is the rate in effect on January 31, 2008. The demand and interest rate reset features give this security a shorter effective maturity date. (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (C) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on January 31, 2008. The coupon on a step bond changes on a specific date. (D) Tri-Party Repurchase Agreement. (E) The rate reported is the effective yield at time of purchase. CBO -- Collateralized Bond Obligation CDO -- Collateralized Debt Obligation Cl -- Class CLO -- Collateralized Loan Obligation DN -- Discount Note FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association LLC -- Limited Liability Company Ltd. -- Limited MTN -- Medium Term Note PLC -- Public Limited Company REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 28 SEI Daily Income Trust / Annual Report / January 31, 2008 This page intentionally left blank. Statements of Assets and Liabilities ($ Thousands) For the year ended January 31, 2008
------------------------------------------------------------------------------------------------------------------------------------ MONEY PRIME MARKET GOVERNMENT GOVERNMENT II OBLIGATION FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ ASSETS: Investments, at value+ $736,400 $ 810,697 $1,598,824 $4,238,846 Affiliated investment, at value -- -- -- 30,079 Repurchase agreements+ 224,354 599,357 -- 731,595 Cash 1 1 1 -- Receivable for investment securities sold -- -- -- -- Interest receivable 2,445 4,287 4,061 9,391 Receivable for fund shares sold 1 -- -- -- Receivable for variation margin -- -- -- -- Prepaid expenses 52 41 38 252 ------------------------------------------------------------------------------------------------------------------------------------ Total Assets 963,253 1,414,383 1,602,924 5,010,163 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES: Income distribution payable 2,186 2,304 3,828 12,834 Payable for fund shares redeemed -- -- -- 179 Payable for investment securities purchased -- -- 50,010 -- Payable for variation margin -- -- -- -- Shareholder servicing fees payable 234 142 56 473 Administration fees payable 110 178 162 652 Investment advisory fees payable 19 26 24 96 Chief Compliance Officer fees payable 2 2 2 8 Trustees' fees payable 1 1 1 4 Accrued expense payable 37 48 42 190 ----------------------------------------------------------------------------------------------------------------------------------- Total Liabilities 2,589 2,701 54,125 14,436 ----------------------------------------------------------------------------------------------------------------------------------- Net Assets $960,664 $1,411,682 $1,548,799 $4,995,727 ----------------------------------------------------------------------------------------------------------------------------------- + Cost of investments and repurchase agreements 963,615 1,410,054 1,598,824 5,015,000 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $963,548 $1,411,782 $1,548,830 $5,010,331 Undistributed (Distributions in excess of) net investment income -- -- -- -- Accumulated net realized loss on investments and futures contracts (23) (100) (31) (124) Net unrealized appreciation (depreciation) on investments (2,861) -- -- (44,559) Net unrealized appreciation of affiliated investment -- -- -- 30,079 Net unrealized appreciation (depreciation) on futures contracts -- -- -- -- ----------------------------------------------------------------------------------------------------------------------------------- Net Assets $960,664 $1,411,682 $1,548,799 $4,995,727 ----------------------------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $1.00 $1.00 $1.00 $1.00 ($401,173,671 / ($1,031,611,970 / ($1,354,360,935 / ($3,740,714,227 / 402,388,714 shares) 1,031,664,615 shares) 1,354,455,343 shares) 3,751,735,956 shares)(1) ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class B $1.00 $1.00 $1.00 $1.00 ($166,627,150 / ($197,592,692 / ($150,900,490 / ($475,700,151 / 167,114,937 shares) 197,614,856 shares) 150,936,620 shares) 477,075,347 shares)(1) ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class C $1.00 $1.00 $1.00 $1.00 ($259,640,383 / ($154,244,088 / ($43,537,814 / ($641,976,668 / 260,432,062 shares) 154,270,355 shares) 43,537,627 shares) 643,788,692 shares)(1) ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Class H N/A N/A N/A $1.00 ($80,957,687 / 81,193,227 shares)(1) ------------------------------------------------------------------------------------------------------------------------------------ Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class $1.00 $1.00 N/A $1.00 ($133,222,860 / ($28,233,271 / ($56,377,901 / 133,619,640 shares) 28,237,505 shares) 56,537,922 shares)(1) ------------------------------------------------------------------------------------------------------------------------------------
(1) See Note 10 in the Notes to Financial Statements. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 30 SEI Daily Income Trust / Annual Report / January 31, 2008
------------------------------------------------------------------------------------------------------------- SHORT-DURATION TREASURY TREASURY II GOVERNMENT FUND FUND FUND ------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at value+ $ -- $631,582 $168,368 Affiliated investment, at value -- -- -- Repurchase agreements+ 1,631,757 -- 69,100 Cash 1 -- 156 Receivable for investment securities sold -- -- 9,246 Interest receivable 77 2,406 1,320 Receivable for fund shares sold -- -- 211 Receivable for variation margin -- -- 256 Prepaid expenses 45 9 5 ------------------------------------------------------------------------------------------------------------- Total Assets 1,631,880 633,997 248,662 ------------------------------------------------------------------------------------------------------------- LIABILITIES: Income distribution payable 2,499 1,057 157 Payable for fund shares redeemed -- -- 462 Payable for investment securities purchased -- -- 74,886 Payable for variation margin -- -- 191 Shareholder servicing fees payable 352 31 -- Administration fees payable 214 73 47 Investment advisory fees payable 31 12 12 Chief Compliance Officer fees payable 3 1 -- Trustees' fees payable 1 -- -- Accrued expense payable 60 21 15 ------------------------------------------------------------------------------------------------------------- Total Liabilities 3,160 1,195 75,770 ------------------------------------------------------------------------------------------------------------- Net Assets $1,628,720 $632,802 $172,892 ------------------------------------------------------------------------------------------------------------- + Cost of investments and repurchase agreements 1,631,757 631,582 236,350 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $1,628,813 $632,833 $177,234 Undistributed (Distributions in excess of) net investment income -- -- 5 Accumulated net realized loss on investments and futures contracts (93) (31) (6,720) Net unrealized appreciation (depreciation) on investments -- -- 1,118 Net unrealized appreciation of affiliated investment -- -- -- Net unrealized appreciation (depreciation) on futures contracts -- -- 1,255 ------------------------------------------------------------------------------------------------------------- Net Assets $1,628,720 $632,802 $172,892 ------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $1.00 $1.00 $10.21 ($610,450,500 / ($516,164,154 / ($172,892,478 / 610,481,923 shares) 516,342,999 shares) 16,926,253 shares) ------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class B $1.00 $1.00 N/A ($761,497,432 / ($109,384,422 / 761,537,566 shares) 109,380,476 shares) ------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class C $1.00 $1.00 N/A ($144,918,823 / ($7,253,688 / 144,933,045 shares) 7,256,920 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 ($111,852,801 / 111,860,123 shares) ------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------- INTERMEDIATE-DURATION ULTRA GOVERNMENT GNMA SHORT BOND FUND FUND FUND ------------------------------------------------------------------------------------------------------------- ASSETS: Investments, at value+ $38,848 $113,571 $291,319 Affiliated investment, at value -- -- -- Repurchase agreements+ 15,400 27,200 120,800 Cash 22 17 446 Receivable for investment securities sold 3,568 -- 51 Interest receivable 227 436 907 Receivable for fund shares sold 33 28 208 Receivable for variation margin 125 32 303 Prepaid expenses 1 6 10 ------------------------------------------------------------------------------------------------------------- Total Assets 58,224 141,290 414,044 ------------------------------------------------------------------------------------------------------------- LIABILITIES: Income distribution payable 21 242 50 Payable for fund shares redeemed 159 42 4,370 Payable for investment securities purchased 7,578 26,087 -- Payable for variation margin 66 30 123 Shareholder servicing fees payable -- 12 -- Administration fees payable 17 29 85 Investment advisory fees payable 7 10 20 Chief Compliance Officer fees payable -- -- 1 Trustees' fees payable -- -- -- Accrued expense payable 4 14 32 ------------------------------------------------------------------------------------------------------------- Total Liabilities 7,852 26,466 4,681 ------------------------------------------------------------------------------------------------------------- Net Assets $50,372 $114,824 $409,363 ------------------------------------------------------------------------------------------------------------- + Cost of investments and repurchase agreements 53,427 138,644 418,582 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $51,790 $124,565 $420,903 Undistributed (Distributions in excess of) net investment income (5) (29) -- Accumulated net realized loss on investments and futures contracts (2,841) (11,829) (5,849) Net unrealized appreciation (depreciation) on investments 821 2,127 (6,463) Net unrealized appreciation of affiliated investment -- -- -- Net unrealized appreciation (depreciation) on futures contracts 607 (10) 772 ------------------------------------------------------------------------------------------------------------- Net Assets $50,372 $114,824 $409,363 ------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $10.76 $9.63 $9.69 ($50,372,428 / ($114,824,167 / ($409,363,241 / 4,681,899 shares) 11,927,381 shares) 42,255,717 shares) ------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class B N/A N/A N/A ------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class C N/A N/A N/A ------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Class H N/A N/A N/A ------------------------------------------------------------------------------------------------------------- Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class N/A N/A N/A -------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 31 Statements of Operations ($ Thousands) For the year ended January 31, 2008
------------------------------------------------------------------------------------------------------------------------- MONEY PRIME MARKET GOVERNMENT GOVERNMENT II OBLIGATION FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest Income $61,324 $52,322 $46,099 $295,450 ------------------------------------------------------------------------------------------------------------------------- EXPENSES: Administration Fees 3,816 2,509 1,749 10,591 Shareholder Servicing Fees - Class A Shares 1,477 1,761 1,896 10,003 Shareholder Servicing Fees - Sweep Class Shares 293 59 -- 159 Distribution Fees--Sweep Class Shares 587 119 -- 317 Administrative & Shareholder Servicing Fees - Class B Shares 543 485 439 1,880 Administrative & Shareholder Servicing Fees - Class C Shares 1,340 772 70 4,064 Administrative & Shareholder Servicing Fees - Class H Shares -- -- -- 295 Investment Advisory Fees 263 237 209 1,267 Trustees' Fees 16 12 12 76 Chief Compliance Officer Fees 8 6 6 37 Registration Fees 102 72 72 470 Custodian/Wire Agent Fees 36 32 29 169 Pricing Fees 2 2 2 11 Other Expenses 97 86 79 417 ------------------------------------------------------------------------------------------------------------------------- Total Expenses 8,580 6,152 4,563 29,756 ------------------------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees -- -- -- -- Administration fees (2,259) (866) (315) (1,888) Shareholder Servicing Fees - Class A Shares (1,477) (1,761) (1,896) (10,003) ------------------------------------------------------------------------------------------------------------------------- Net Expenses 4,844 3,525 2,352 17,865 ------------------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 56,480 48,797 43,747 277,585 ------------------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM: Investments 4 (21) (1) 72 Futures Contracts -- -- -- -- Swap Contracts -- -- -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON/FROM: Investments (2,861) -- -- (44,559) Affiliated investment -- -- -- 30,079 Futures Contracts -- -- -- -- ------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $53,623 $48,776 $43,746 $263,177 -------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 32 SEI Daily Income Trust / Annual Report / January 31, 2008
------------------------------------------------------------------------------------------------------------- SHORT-DURATION TREASURY TREASURY II GOVERNMENT FUND FUND FUND ------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest Income $54,036 $11,041 $6,006 ------------------------------------------------------------------------------------------------------------- EXPENSES: Administration Fees 2,819 667 414 Shareholder Servicing Fees - Class A Shares 1,022 512 296 Shareholder Servicing Fees - Sweep Class Shares 367 -- -- Distribution Fees--Sweep Class Shares 734 -- -- Administrative & Shareholder Servicing Fees - Class B Shares 1,429 201 -- Administrative & Shareholder Servicing Fees - Class C Shares 709 25 -- Administrative & Shareholder Servicing Fees - Class H Shares -- -- -- Investment Advisory Fees 267 63 118 Trustees' Fees 14 3 2 Chief Compliance Officer Fees 7 2 1 Registration Fees 72 19 10 Custodian/Wire Agent Fees 36 10 4 Pricing Fees 3 1 32 Other Expenses 98 26 19 ------------------------------------------------------------------------------------------------------------- Total Expenses 7,577 1,529 896 ------------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees -- -- (25) Administration fees (966) (210) (43) Shareholder Servicing Fees - Class A Shares (1,022) (512) (296) ------------------------------------------------------------------------------------------------------------- Net Expenses 5,589 807 532 ------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 48,447 10,234 5,474 ------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM: Investments -- (4) 897 Futures Contracts -- -- 143 Swap Contracts -- -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON/FROM: Investments -- -- 1,756 Affiliated investment -- -- -- Futures Contracts -- -- 1,113 ------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $48,447 $10,230 $9,383 ------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------- INTERMEDIATE-DURATION ULTRA GOVERNMENT GNMA SHORT BOND FUND FUND FUND ------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest Income $1,747 $ 7,382 $14,093 ------------------------------------------------------------------------------------------------------------- EXPENSES: Administration Fees 126 436 944 Shareholder Servicing Fees - Class A Shares 90 340 2,116 Shareholder Servicing Fees - Sweep Class Shares -- -- -- Distribution Fees--Sweep Class Shares -- -- -- Administrative & Shareholder Servicing Fees - Class B Shares -- -- -- Administrative & Shareholder Servicing Fees - Class C Shares -- -- -- Administrative & Shareholder Servicing Fees - Class H Shares -- -- -- Investment Advisory Fees 36 136 269 Trustees' Fees 1 2 3 Chief Compliance Officer Fees -- 1 2 Registration Fees 4 13 22 Custodian/Wire Agent Fees 1 4 10 Pricing Fees 9 42 69 Other Expenses 4 10 25 ------------------------------------------------------------------------------------------------------------- Total Expenses 271 984 3,460 ------------------------------------------------------------------------------------------------------------- Less, Waiver of: Investment Advisory Fees -- -- (111) Administration fees -- (167) (289) Shareholder Servicing Fees - Class A Shares (90) -- (2,116) ------------------------------------------------------------------------------------------------------------- Net Expenses 181 817 944 ------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 1,566 6,565 13,149 ------------------------------------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON/FROM: Investments 318 501 (607) Futures Contracts 547 (522) (174) Swap Contracts -- -- (319) NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON/FROM: Investments 1,196 3,825 (6,065) Affiliated investment -- -- -- Futures Contracts 497 (17) 772 ------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $4,124 $10,352 $ 6,756 -------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 33 Statements of Changes in Net Assets ($ Thousands) For the years ended January 31,
-------------------------------------------------------------------------------------------------------------------------------- MONEY MARKET GOVERNMENT FUND FUND -------------------------------------------------------------------------------------------------------------------------------- 2008 2007 2008 2007 -------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Net Investment Income $ 56,480 $ 60,360 $ 48,797 $ 36,530 Net Realized Gain (Loss) on Investments and Payment by Affiliate 4 (11) (21) (11) Net Change in Unrealized Depreciation on Investments and Affiliated Investment (2,861) -- -- -- -------------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations 53,623 60,349 48,776 36,519 -------------------------------------------------------------------------------------------------------------------------------- DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (30,293) (38,436) (33,800) (23,220) Class B (8,720) (7,046) (7,320) (5,642) Class C (12,366) (10,860) (6,715) (6,652) Class H -- -- -- -- Sweep Class (5,109) (4,014) (963) (1,015) -------------------------------------------------------------------------------------------------------------------------------- Total Dividends (56,488) (60,356) (48,798) (36,529) -------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 3,297,445 4,626,500 4,429,982 2,520,525 Reinvestment of Dividends & Distributions 16,793 26,248 20,018 12,365 Cost of Shares Redeemed (3,535,185) (4,421,639) (3,926,107) (2,492,596) -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class A Transactions (220,947) 231,109 523,893 40,294 -------------------------------------------------------------------------------------------------------------------------------- CLASS B: Proceeds from Shares Issued 948,867 917,031 1,511,639 1,339,355 Reinvestment of Dividends & Distributions 1,740 1,382 3,546 1,537 Cost of Shares Redeemed (931,535) (894,210) (1,440,263) (1,340,240) -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class B Transactions 19,072 24,203 74,922 652 -------------------------------------------------------------------------------------------------------------------------------- CLASS C: Proceeds from Shares Issued 1,169,740 1,084,772 765,159 653,701 Reinvestment of Dividends & Distributions 555 458 -- -- Cost of Shares Redeemed (1,153,822) (1,073,354) (748,287) (645,740) -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Class C Transactions 16,473 11,876 16,872 7,961 -------------------------------------------------------------------------------------------------------------------------------- CLASS H: Proceeds from Shares Issued N/A N/A N/A N/A Reinvestment of Dividends & Distributions N/A N/A N/A N/A Cost of Shares Redeemed N/A N/A N/A N/A -------------------------------------------------------------------------------------------------------------------------------- Increase in Net Assets from Class H Transactions N/A N/A N/A N/A -------------------------------------------------------------------------------------------------------------------------------- SWEEP CLASS: Proceeds from Shares Issued 658,307 520,457 335,540 284,713 Reinvestment of Dividends & Distributions -- -- 52 31 Cost of Shares Redeemed (615,774) (542,477) (322,436) (296,027) -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Sweep Class Transactions 42,533 (22,020) 13,156 (11,283) -------------------------------------------------------------------------------------------------------------------------------- Increase (Decrease) in Net Assets from Capital Share Transactions (142,869) 245,168 628,843 37,624 -------------------------------------------------------------------------------------------------------------------------------- Total Increase (Decrease) in Net Assets (145,734) 245,161 628,821 37,614 -------------------------------------------------------------------------------------------------------------------------------- NET ASSETS: BEGINNING OF YEAR 1,106,398 861,237 782,861 745,247 -------------------------------------------------------------------------------------------------------------------------------- END OF YEAR $ 960,664 $ 1,106,398 $ 1,411,682 $ 782,861 -------------------------------------------------------------------------------------------------------------------------------- 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. -------------------------------------------------------------------------------- 34 SEI Daily Income Trust / Annual Report / January 31, 2008
------------------------------------------------------------------------------------------------------------------------------------ GOVERNMENT II PRIME OBLIGATION FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ 2008 2007 2008 2007 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 43,747 $ 37,566 $ 277,585 $ 233,775 Net Realized Gain (Loss) on Investments and Payment by Affiliate (1) (15) 72 (92) Net Change in Unrealized Depreciation on Investments and Affiliated Investment -- -- (14,480) -- ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 43,746 37,551 263,177 233,683 ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (36,536) (28,378) (204,056) (161,020) Class B (6,641) (8,959) (30,210) (31,445) Class C (570) (229) (37,386) (37,061) Class H -- -- (3,196) (2,339) Sweep Class -- -- (2,756) (1,891) ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends (43,747) (37,566) (277,604) (233,756) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 2,877,203 2,182,858 36,454,577 34,766,540 Reinvestment of Dividends & Distributions 4,126 3,878 42,778 33,201 Cost of Shares Redeemed (2,207,185) (2,082,794) (36,127,886) (34,374,725) ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class A Transactions 674,144 103,942 369,469 425,016 ------------------------------------------------------------------------------------------------------------------------------------ CLASS B: Proceeds from Shares Issued 510,735 608,607 4,235,534 5,786,736 Reinvestment of Dividends & Distributions 665 408 12,453 12,947 Cost of Shares Redeemed (501,430) (636,659) (4,486,791) (5,709,619) ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class B Transactions 9,970 (27,644) (238,804) 90,064 ------------------------------------------------------------------------------------------------------------------------------------ CLASS C: Proceeds from Shares Issued 86,737 26,038 5,373,977 5,791,860 Reinvestment of Dividends & Distributions -- -- 9,987 9,931 Cost of Shares Redeemed (47,289) (26,398) (5,521,087) (5,800,449) ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class C Transactions 39,448 (360) (137,123) 1,342 ------------------------------------------------------------------------------------------------------------------------------------ CLASS H: Proceeds from Shares Issued N/A N/A 176,273 131,479 Reinvestment of Dividends & Distributions N/A N/A 3,196 2,339 Cost of Shares Redeemed N/A N/A (163,790) (104,311) ------------------------------------------------------------------------------------------------------------------------------------ Increase in Net Assets from Class H Transactions N/A N/A 15,679 29,507 ------------------------------------------------------------------------------------------------------------------------------------ SWEEP CLASS: Proceeds from Shares Issued N/A N/A 558,435 515,873 Reinvestment of Dividends & Distributions N/A N/A 509 186 Cost of Shares Redeemed N/A N/A (550,395) (513,197) ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Sweep Class Transactions N/A N/A 8,549 2,862 ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Capital Share Transactions 723,562 75,938 17,770 548,791 ------------------------------------------------------------------------------------------------------------------------------------ Total Increase (Decrease) in Net Assets 723,561 75,923 3,343 548,718 ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR 825,238 749,315 4,992,384 4,443,666 ------------------------------------------------------------------------------------------------------------------------------------ END OF YEAR $ 1,548,799 $ 825,238 $ 4,995,727 $ 4,992,384 ------------------------------------------------------------------------------------------------------------------------------------ Undistributed Net Investment Income $ -- $ -- $ -- $ 19 ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ TREASURY TREASURY II FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ 2008 2007 2008 2007 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 48,447 $ 33,879 $ 10,234 $ 10,686 Net Realized Gain (Loss) on Investments and Payment by Affiliate -- -- (4) 101(1) Net Change in Unrealized Depreciation on Investments and Affiliated Investment -- -- -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 48,447 33,879 10,230 10,787 ------------------------------------------------------------------------------------------------------------------------------------ DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (17,880) (11,401) (7,673) (7,210) Class B (19,393) (13,518) (2,373) (2,510) Class C (5,680) (4,869) (188) (966) Class H -- -- -- -- Sweep Class (5,494) (4,091) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Total Dividends (48,447) (33,879) (10,234) (10,686) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 4,357,178 1,592,668 2,556,258 1,014,056(1) Reinvestment of Dividends & Distributions 2,340 492 1,607 1,132 Cost of Shares Redeemed (4,036,663) (1,513,665) (2,223,661) (1,011,783) ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class A Transactions 322,855 79,495 334,204 3,405 ------------------------------------------------------------------------------------------------------------------------------------ CLASS B: Proceeds from Shares Issued 2,424,394 1,413,341 604,452 245,341(1) Reinvestment of Dividends & Distributions 6,568 3,559 239 154 Cost of Shares Redeemed (2,028,554) (1,297,271) (547,295) (264,119) ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class B Transactions 402,408 119,629 57,396 (18,624) ------------------------------------------------------------------------------------------------------------------------------------ CLASS C: Proceeds from Shares Issued 962,801 792,993 53,492 439,260(1) Reinvestment of Dividends & Distributions 94 88 39 754 Cost of Shares Redeemed (918,903) (805,554) (66,552) (422,344) ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class C Transactions 43,992 (12,473) (13,021) 17,670 ------------------------------------------------------------------------------------------------------------------------------------ CLASS H: Proceeds from Shares Issued N/A N/A N/A N/A Reinvestment of Dividends & Distributions N/A N/A N/A N/A Cost of Shares Redeemed N/A N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------------ Increase in Net Assets from Class H Transactions N/A N/A N/A N/A ------------------------------------------------------------------------------------------------------------------------------------ SWEEP CLASS: Proceeds from Shares Issued 740,584 585,519 N/A N/A Reinvestment of Dividends & Distributions -- -- N/A N/A Cost of Shares Redeemed (725,736) (572,084) N/A N/A ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Sweep Class Transactions 14,848 13,435 N/A N/A ------------------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Capital Share Transactions 784,103 200,086 378,579 2,451 ------------------------------------------------------------------------------------------------------------------------------------ Total Increase (Decrease) in Net Assets 784,103 200,086 378,575 2,552 ------------------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR 844,617 644,531 254,227 251,675 ------------------------------------------------------------------------------------------------------------------------------------ END OF YEAR $ 1,628,720 $ 844,617 $ 632,802 $ 254,227 ------------------------------------------------------------------------------------------------------------------------------------ Undistributed Net Investment Income $ -- $ -- $ -- $ -- ------------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 35 Statements of Changes in Net Assets ($ Thousands) For the years ended January 31,
------------------------------------------------------------------------------------------------------------------------ SHORT-DURATION GOVERNMENT FUND ------------------------------------------------------------------------------------------------------------------------ 2008 2007 ------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 5,474 $ 5,864 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts 1,040 (1,798) Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 2,869 1,233 ------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 9,383 5,299 ------------------------------------------------------------------------------------------------------------------------ DIVIDENDS TO SHAREHOLDERS: Net Investment Income (5,655) (6,236) ------------------------------------------------------------------------------------------------------------------------ Total Dividends (5,655) (6,236) ------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 96,648 64,641 Reinvestment of Dividends & Distributions 3,913 4,738 Cost of Shares Redeemed (46,859) (108,492) ------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class A Transactions 53,702 (39,113) ------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 57,430 (40,050) ------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR 115,462 155,512 ------------------------------------------------------------------------------------------------------------------------ END OF YEAR $172,892 $ 115,462 ------------------------------------------------------------------------------------------------------------------------ Undistributed (Distributions in Excess of) Net Investment Income $ 5 $ (17) ------------------------------------------------------------------------------------------------------------------------ SHARE TRANSACTIONS: CLASS A: Shares Issued 9,620 6,485 Reinvestment of Distributions 391 475 Shares Redeemed (4,684) (10,882) ------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Shares Outstanding from Share Transactions 5,327 (3,922) ------------------------------------------------------------------------------------------------------------------------
Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 36 SEI Daily Income Trust / Annual Report / January 31, 2008
------------------------------------------------------------------------------------------------------------------------ INTERMEDIATE-DURATION GOVERNMENT FUND ------------------------------------------------------------------------------------------------------------------------ 2008 2007 ------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 1,566 $ 3,034 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts 865 (1,960) Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 1,693 1,422 ------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 4,124 2,496 ------------------------------------------------------------------------------------------------------------------------ DIVIDENDS TO SHAREHOLDERS: Net Investment Income (1,582) (3,175) ------------------------------------------------------------------------------------------------------------------------ Total Dividends (1,582) (3,175) ------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 28,014 18,086 Reinvestment of Dividends & Distributions 1,197 1,027 Cost of Shares Redeemed (28,016) (57,672) ------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class A Transactions 1,195 (38,559) ------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 3,737 (39,238) ------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR 46,635 85,873 ------------------------------------------------------------------------------------------------------------------------ END OF YEAR $ 50,372 $ 46,635 ------------------------------------------------------------------------------------------------------------------------ Undistributed (Distributions in Excess of) Net Investment Income $ (5) $ (42) ------------------------------------------------------------------------------------------------------------------------ SHARE TRANSACTIONS: CLASS A: Shares Issued 2,704 1,790 Reinvestment of Distributions 116 101 Shares Redeemed (2,741) (5,700) ------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Shares Outstanding from Share Transactions 79 (3,809) ------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------ GNMA FUND ------------------------------------------------------------------------------------------------------------------------ 2008 2007 ------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 6,565 $ 7,135 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (21) (704) Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts 3,808 (1,350) ------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 10,352 5,081 ------------------------------------------------------------------------------------------------------------------------ DIVIDENDS TO SHAREHOLDERS: Net Investment Income (6,742) (7,688) ------------------------------------------------------------------------------------------------------------------------ Total Dividends (6,742) (7,688) ------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 23,497 21,717 Reinvestment of Dividends & Distributions 2,369 3,379 Cost of Shares Redeemed (58,363) (45,102) ------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class A Transactions (32,497) (20,006) ------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets (28,887) (22,613) ------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR 143,711 166,324 ------------------------------------------------------------------------------------------------------------------------ END OF YEAR $114,824 $143,711 ------------------------------------------------------------------------------------------------------------------------ Undistributed (Distributions in Excess of) Net Investment Income $ (29) $ (21) ------------------------------------------------------------------------------------------------------------------------ SHARE TRANSACTIONS: CLASS A: Shares Issued 2,490 2,323 Reinvestment of Distributions 252 362 Shares Redeemed (6,207) (4,831) ------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Shares Outstanding from Share Transactions (3,465) (2,146) ------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------ ULTRA SHORT BOND FUND ------------------------------------------------------------------------------------------------------------------------ 2008 2007 ------------------------------------------------------------------------------------------------------------------------ OPERATIONS: Net Investment Income $ 13,149 $ 15,365 Net Realized Gain (Loss) on Investments, Payments by Affiliate and Futures Contracts (1,100) (1,432) Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts (5,293) 1,806 ------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets Resulting from Operations 6,756 15,739 ------------------------------------------------------------------------------------------------------------------------ DIVIDENDS TO SHAREHOLDERS: Net Investment Income (13,045) (15,345) ------------------------------------------------------------------------------------------------------------------------ Total Dividends (13,045) (15,345) ------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 300,337 236,013 Reinvestment of Dividends & Distributions 11,765 12,936 Cost of Shares Redeemed (135,270) (422,740) ------------------------------------------------------------------------------------------------------------------------ Increase (Decrease) in Net Assets from Class A Transactions 176,832 (173,791) ------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets 170,543 (173,397) ------------------------------------------------------------------------------------------------------------------------ NET ASSETS: BEGINNING OF YEAR 238,820 412,217 ------------------------------------------------------------------------------------------------------------------------ END OF YEAR $ 409,363 $ 238,820 ------------------------------------------------------------------------------------------------------------------------ Undistributed (Distributions in Excess of) Net Investment Income $ -- $ (32) ------------------------------------------------------------------------------------------------------------------------ SHARE TRANSACTIONS: CLASS A: Shares Issued 30,805 23,734 Reinvestment of Distributions 1,195 1,300 Shares Redeemed (13,707) (42,512) ------------------------------------------------------------------------------------------------------------------------ Net Increase (Decrease) in Shares Outstanding from Share Transactions 18,293 (17,478) ------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 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 Net Asset Beginning Investment (Losses) from Investment and Value, End Total of Year Income(1) on Securities Operations Income Distributions of Year Return+ ----------------------------------------------------------------------------------------------------------------------------- MONEY MARKET FUND CLASS A 2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 5.23% 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 5.07 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.30 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.37 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.04 CLASS B 2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.92% 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.76 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.99 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.07 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.74 CLASS C 2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.71% 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.55 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.78 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.86 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.54 SWEEP CLASS 2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.45% 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.29 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.53 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.61 2004 1.00 -- -- -- --(2) --(2) 1.00 0.29 GOVERNMENT FUND CLASS A 2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.98% 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.97 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.21 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.30 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.00 CLASS B 2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.67% 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.66 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.90 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.00 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.69 CLASS C 2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.46% 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.45 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.70 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.80 2004 1.00 -- -- -- --(2) --(2) 1.00 0.49
-------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income End of Year to Average (Excluding to Average ($ Thousands) Net Assets Waivers) Net Assets -------------------------------------------------------------------------------- MONEY MARKET FUND CLASS A 2008 $ 401,174 0.18% 0.63% 5.13% 2007 623,314 0.18 0.63 4.97 2006 392,207 0.18 0.62 3.25 2005 524,849 0.18 0.62 1.38 2004 603,798 0.18 0.62 1.05 CLASS B 2008 $ 166,627 0.48% 0.68% 4.82% 2007 148,053 0.48 0.68 4.61 2006 123,851 0.48 0.67 2.98 2005 107,650 0.48 0.67 1.10 2004 124,401 0.48 0.67 0.74 CLASS C 2008 $ 259,640 0.68% 0.88% 4.61% 2007 243,944 0.68 0.88 4.48 2006 232,072 0.68 0.87 2.83 2005 152,060 0.68 0.87 0.84 2004 200,467 0.68 0.87 0.55 SWEEP CLASS 2008 $ 133,223 0.93% 1.13% 4.35% 2007 91,087 0.93 1.13 4.19 2006 113,107 0.93 1.12 2.60 2005 69,101 0.93 1.12 0.61 2004 87,791 0.93 1.12 0.30 GOVERNMENT FUND CLASS A 2008 $1,031,612 0.20% 0.53% 4.79% 2007 507,735 0.20 0.54 4.88 2006 467,445 0.20 0.53 3.23 2005 369,440 0.20 0.53 1.32 2004 329,940 0.20 0.53 0.99 CLASS B 2008 $ 197,593 0.50% 0.58% 4.53% 2007 122,674 0.50 0.59 4.57 2006 122,025 0.50 0.58 2.84 2005 156,741 0.50 0.58 0.93 2004 240,491 0.50 0.58 0.70 CLASS C 2008 $ 154,244 0.70% 0.78% 4.35% 2007 137,375 0.70 0.79 4.37 2006 129,416 0.70 0.78 2.74 2005 86,267 0.70 0.78 0.77 2004 105,763 0.70 0.78 0.50 -------------------------------------------------------------------------------- 38 SEI Daily Income Trust / Annual Report / January 31, 2008
----------------------------------------------------------------------------------------------------------------------------- Net Realized and Net Asset Unrealized Dividends Total Value, Net Gains Total from Net Dividends Net Asset Beginning Investment (Losses) from Investment and Value, End Total of Year Income(1) on Securities Operations Income Distributions of Year Return+ ----------------------------------------------------------------------------------------------------------------------------- GOVERNMENT FUND (CONTINUED) SWEEP CLASS 2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.20% 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.19 2006 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2.44 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.55 2004 1.00 -- -- -- --(2) --(2) 1.00 0.25 GOVERNMENT II FUND CLASS A 2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.97% 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.96 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.18 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.27 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.96 CLASS B 2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.66% 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.64 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.87 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.97 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.66 CLASS C 2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.45% 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.44 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.67 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.76 2004 1.00 -- -- -- --(2) --(2) 1.00 0.46 PRIME OBLIGATION FUND CLASS A 2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 5.21% 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 5.06 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.28 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.34 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.02
-------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income End of Year to Average (Excluding to Average ($ Thousands) Net Assets Waivers) Net Assets -------------------------------------------------------------------------------- GOVERNMENT FUND (CONTINUED) SWEEP CLASS 2008 $ 28,233 0.95% 1.03% 4.06% 2007 15,077 0.95 1.04 4.07 2006 26,361 0.95 1.03 2.43 2005 27,841 0.95 1.03 0.51 2004 46,254 0.95 1.03 0.25 GOVERNMENT II FUND CLASS A 2008 $1,354,361 0.20% 0.48% 4.81% 2007 680,219 0.20 0.49 4.86 2006 576,242 0.20 0.48 3.18 2005 515,216 0.20 0.48 1.25 2004 568,888 0.20 0.47 0.96 CLASS B 2008 $ 150,900 0.50% 0.53% 4.53% 2007 140,930 0.50 0.54 4.56 2006 168,616 0.50 0.53 2.80 2005 160,509 0.50 0.53 0.92 2004 201,085 0.50 0.52 0.66 CLASS C 2008 $ 43,538 0.70% 0.73% 4.05% 2007 4,089 0.70 0.74 4.38 2006 4,457 0.70 0.73 2.39 2005 18,637 0.70 0.73 0.71 2004 46,853 0.70 0.72 0.46 PRIME OBLIGATION FUND CLASS A 2008 $3,740,714 0.20% 0.48% 5.10% 2007 3,382,051 0.20 0.49 4.96 2006 2,957,074 0.20 0.48 3.26 2005 2,972,833 0.20 0.48 1.31 2004 3,235,847 0.20 0.48 1.02 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, 2008 39 Financial Highlights For the years ended January 31, For a Share Outstanding Throughout the Years
----------------------------------------------------------------------------------------------------------------------------------- Net Realized and Net Asset Unrealized Dividends Total Value, Net Gains Total from Net Dividends Net Asset Beginning Investment (Losses) from Investment and Value, End Total of Year Income(1) on Securities Operations Income Distributions of Year Return+ ----------------------------------------------------------------------------------------------------------------------------------- PRIME OBLIGATION FUND (CONTINUED) CLASS B 2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.90% 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.74 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.98 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.03 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.72 CLASS C 2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.69% 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.53 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.77 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.83 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.52 CLASS H 2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.76% 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.61 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.84 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.90 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.59 SWEEP CLASS 2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.43% 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.27 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.51 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.58 2004 1.00 -- -- -- --(2) --(2) 1.00 0.27 TREASURY FUND CLASS A 2008 $1.00 $0.05 $-- $0.05 $(0.05) $(0.05) $1.00 4.64% 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.95 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 3.13 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.22 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.96 CLASS B 2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.33% 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.64 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.82 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.91 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.66 CLASS C 2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.12% 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.43 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.62 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.71 2004 1.00 -- -- -- --(2) --(2) 1.00 0.46
-------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income End of Year to Average (Excluding to Average ($ Thousands) Net Assets Waivers) Net Assets -------------------------------------------------------------------------------- PRIME OBLIGATION FUND (CONTINUED) CLASS B 2008 $475,700 0.50% 0.53% 4.82% 2007 715,879 0.50 0.54 4.65 2006 625,831 0.50 0.53 2.88 2005 663,635 0.50 0.53 1.05 2004 572,097 0.50 0.53 0.72 CLASS C 2008 $641,977 0.70% 0.73% 4.60% 2007 780,951 0.70 0.74 4.45 2006 779,625 0.70 0.73 2.76 2005 730,310 0.70 0.73 0.82 2004 864,829 0.70 0.73 0.52 CLASS H 2008 $ 80,958 0.63% 0.66% 4.65% 2007 65,512 0.63 0.67 4.55 2006 36,006 0.63 0.66 2.81 2005 41,221 0.63 0.66 0.90 2004 36,023 0.63 0.66 0.59 SWEEP CLASS 2008 $ 56,378 0.95% 0.98% 4.34% 2007 47,991 0.95 0.99 4.20 2006 45,130 0.95 0.98 2.53 2005 32,908 0.95 0.98 0.58 2004 37,399 0.95 0.98 0.28 TREASURY FUND CLASS A 2008 $610,451 0.20% 0.53% 4.36% 2007 287,595 0.20 0.54 4.87 2006 208,097 0.20 0.53 3.05 2005 292,974 0.20 0.53 1.21 2004 264,544 0.20 0.53 0.92 CLASS B 2008 $761,497 0.50% 0.58% 4.07% 2007 359,090 0.50 0.59 4.58 2006 239,461 0.50 0.58 2.81 2005 206,698 0.50 0.58 0.85 2004 325,687 0.50 0.58 0.65 CLASS C 2008 $144,919 0.70% 0.78% 4.00% 2007 100,928 0.70 0.79 4.34 2006 113,403 0.70 0.78 2.70 2005 68,932 0.70 0.78 0.66 2004 109,647 0.70 0.78 0.45 -------------------------------------------------------------------------------- 40 SEI Daily Income Trust / Annual Report / January 31, 2008
----------------------------------------------------------------------------------------------------------------------------- Net Realized and Net Asset Unrealized Dividends Total Value, Net Gains Total from Net Dividends Net Asset Beginning Investment (Losses) from Investment and Value, End Total of Year Income(1) on Securities Operations Income Distributions of Year Return+ ----------------------------------------------------------------------------------------------------------------------------- TREASURY FUND (CONTINUED) SWEEP CLASS 2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 3.86% 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.17 2006 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2.36 2005 1.00 -- -- -- --(2) --(2) 1.00 0.49 2004 1.00 -- -- -- --(2) --(2) 1.00 0.23 TREASURY II FUND CLASS A 2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 4.11% 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.62 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.85 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.09 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.81 CLASS B 2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 3.81% 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.31 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.54 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.79 2004 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.51 CLASS C 2008 $1.00 $0.04 $-- $0.04 $(0.04) $(0.04) $1.00 3.59% 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.10 2006 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2.33 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.59 2004 1.00 -- -- -- --(2) --(2) 1.00 0.31
-------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income End of Year to Average (Excluding to Average ($ Thousands) Net Assets Waivers) Net Assets -------------------------------------------------------------------------------- TREASURY FUND (CONTINUED) SWEEP CLASS 2008 $111,853 0.95% 1.03% 3.74% 2007 97,004 0.95 1.04 4.11 2006 83,570 0.95 1.03 2.35 2005 95,407 0.93 1.03 0.49 2004 95,679 0.92 1.03 0.22 TREASURY II FUND CLASS A 2008 $516,164 0.21% 0.53% 3.72% 2007 181,976 0.25 0.53 4.50 2006 178,480 0.25 0.53 2.78 2005 263,727 0.25 0.53 1.08 2004 269,200 0.25 0.53 0.80 CLASS B 2008 $109,384 0.51% 0.58% 3.54% 2007 51,984 0.55 0.58 4.18 2006 70,593 0.55 0.58 2.50 2005 78,781 0.55 0.58 0.70 2004 160,859 0.55 0.58 0.51 CLASS C 2008 $ 7,254 0.72% 0.79% 3.71% 2007 20,267 0.75 0.78 4.04 2006 2,602 0.75 0.78 2.03 2005 31,370 0.75 0.78 0.54 2004 58,424 0.75 0.78 0.30 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, 2008 41 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(1) on Securities Operations Income Gains Distributions --------------------------------------------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND CLASS A 2008 $ 9.95 $0.46 $ 0.28 $0.74 $(0.48) $ -- $(0.48) 2007 10.02 0.42 (0.04) 0.38 (0.45) -- (0.45) 2006 10.19 0.32 (0.13) 0.19 (0.36) -- (0.36) 2005 10.35 0.22 (0.12) 0.10 (0.26) -- (0.26) 2004 10.46 0.22 (0.06) 0.16 (0.27) -- (0.27) INTERMEDIATE-DURATION GOVERNMENT FUND CLASS A 2008 $10.13 $0.45 $ 0.63 $1.08 $(0.45) $ -- $(0.45) 2007 10.21 0.42 (0.06) 0.36 (0.44) -- (0.44) 2006 10.50 0.36 (0.26) 0.10 (0.39) -- (0.39) 2005 10.64 0.31 (0.11) 0.20 (0.33) (0.01) (0.34) 2004 10.89 0.31 0.01 0.32 (0.33) (0.24) (0.57) GNMA FUND CLASS A 2008 $ 9.34 $0.45 $ 0.30 $0.75 $(0.46) $ -- $(0.46) 2007 9.48 0.44 (0.11) 0.33 (0.47) -- (0.47) 2006 9.71 0.41 (0.16) 0.25 (0.48) -- (0.48) 2005 9.86 0.39 (0.04) 0.35 (0.50) -- (0.50) 2004 10.13 0.30 (0.09) 0.21 (0.48) -- (0.48) ULTRA SHORT BOND FUND CLASS A 2008 $ 9.97 $0.48 $(0.28) $0.20 $(0.48) $ -- $(0.48) 2007 9.95 0.45 0.03 0.48 (0.46) -- (0.46) 2006++ 10.00 0.32 (0.04) 0.28 (0.33) -- (0.33) 2005++ 10.10 0.20 (0.10) 0.10 (0.20) -- (0.20) 2004++ 10.15 0.20 (0.05) 0.15 (0.20) -- (0.20) --------------------------------------------------------------------------------------------------------------------- Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Asset Net Assets Expenses Net Assets Income Portfolio Value, End Total End of Year to Average (Excluding to Average Turnover of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets Rate --------------------------------------------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND CLASS A 2008 $10.21 7.65% $172,892 0.45% 0.76% 4.63% 266% 2007 9.95 3.84 115,462 0.45 0.78 4.19 210 2006 10.02 1.93 155,512 0.45 0.75 3.15 162 2005 10.19 0.96 202,035 0.45 0.74 2.12 66 2004 10.35 1.55 289,986 0.45 0.72 2.07 117 INTERMEDIATE-DURATION GOVERNMENT FUND CLASS A 2008 $10.76 10.97% $ 50,372 0.50% 0.75% 4.34% 234% 2007 10.13 3.64 46,635 0.50 0.78 4.17 200 2006 10.21 0.94 85,873 0.50 0.73 3.46 151 2005 10.50 1.85 109,394 0.50 0.73 2.92 80 2004 10.64 2.98 134,615 0.50 0.72 2.89 154 GNMA FUND CLASS A 2008 $ 9.63 8.31% $114,824 0.60% 0.72% 4.82% 271% 2007 9.34 3.65 143,711 0.60 0.74 4.72 105 2006 9.48 2.60 166,324 0.60 0.71 4.26 97 2005 9.71 3.64 171,139 0.60 0.71 3.97 85 2004 9.86 2.16 219,483 0.60 0.69 2.97 145 ULTRA SHORT BOND FUND CLASS A 2008 $ 9.69 2.06% $409,363 0.35% 1.28% 4.87% 54% 2007 9.97 4.88 238,820 0.35 0.76 4.51 40 2006++ 9.95 2.90 412,217 0.35 0.75 3.22 67 2005++ 10.00 1.11 317,382 0.35 0.75 1.84 59 2004++ 10.10 1.61 293,816 0.35 0.73 1.84 68
Amounts designated as "--" are $0 or have been rounded to $0. + Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. ++ Per share amounts have been adjusted for a 5 for 1 reverse stock split paid to shareholders of record on May 6, 2005. (1) Per share calculations were performed using average shares. The accompanying notes are an integral part of the financial statements. -------------------------------------------------------------------------------- 42 SEI Daily Income Trust / Annual Report / January 31, 2008 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 U.S. generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets at the date of the financial statements, and the reported results of operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Investment securities of the Money Market Funds, except those securities which are covered by the Capital Support Agreement, are stated at amortized cost which approximates market value. Under this valuation method, purchase discounts and premiums are accreted and amortized ratably to maturity and are included in interest income. Refer to Note 10 for a discussion of the Capital Support Agreement entered into by the Money Market Fund and the Prime Obligation Fund. Investment securities of the Fixed Income Funds listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the last quoted sale price on the primary exchange or market on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Funds' Board of Trustees. The Funds' Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Funds' Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. 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, 2008 43 NOTES TO FINANCIAL STATEMENTS (CONTINUED) FUTURES CONTRACTS -- The Fixed Income Funds utilized futures contracts during the year ended January 31, 2008. The Funds' investment in these futures contracts is designed to enable the Funds to more closely approximate the performance of their benchmark indices. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are "marked-to-market" daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks related to futures contracts include the possibility that there may not be a liquid market for the contracts, that the changes in the value of the contract may not directly correlate with changes in the value of the underlying securities, and that the counterparty to a contract may default on its obligation to perform. The notional amount presented in the Schedules of Investments in the Fixed Income Funds represents the Fund's total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund's net assets. SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or "basket" of securities representing a particular index. Credit-default swaps involve the periodic payment by the Fund or counterparty of interest based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swaps. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR (London Interbank Offered Rate) or some other form of index on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage the Fund's exposure to interest rates. Payments received or made are recorded as realized gains or losses. The Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements, securities may be set aside as collateral by the Fund's custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio; protect the Fund's value from changes in interest rates; or expose a Fund to a different security or market. Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Net payments of interest are recorded as realized gains or losses. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Schedule of Investments or the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. There were no swap agreements as of January 31, 2008. TBA PURCHASE COMMITMENTS -- The Funds may engage in "to be announced" ("TBA") purchase commitments to purchase securities for a fixed price at a future date. TBA purchase commitments may be considered securities and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, which risk is in addition to the risk of decline in the value of a Fund's other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities, according to the procedures described under "Security Valuation" above. COLLATERALIZED DEBT OBLIGATIONS -- The Funds may invest in collateralized debt obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses. -------------------------------------------------------------------------------- 44 SEI Daily Income Trust / Annual Report / January 31, 2008 For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the "equity" tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of the Funds. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. RESTRICTED SECURITIES -- At January 31, 2008, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at amortized cost as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, along with their cost and values at January 31, 2008, were as follows:
NUMBER ACQUISITION COST FAIR VALUE % OF NET OF SHARES DATE ($THOUSANDS) ($THOUSANDS) ASSETS ---------------------------------------------------------------------------------------- MONEY MARKET FUND Metropolitan Life Insurance 30,000 05/01/03 $ 30,000 $ 30,000 3.12% Morgan Stanley Asset Funding 25,000 03/15/07 25,000 25,000 2.60 Monumental Life Insurance 9,500 03/21/03 9,500 9,500 0.99 -------- -------- ---- $ 64,500 $ 64,500 6.71% ======== ======== ==== PRIME OBLIGATION FUND Metropolitan Life Insurance 160,000 05/01/03 $160,000 $160,000 3.20% Morgan Stanley Asset Funding 75,000 03/15/07 75,000 75,000 1.50 Monumental Life Insurance 101,500 03/21/03 101,500 101,500 2.04 -------- -------- ---- $336,500 $336,500 6.74% ======== ======== ====
-------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 45 NOTES TO FINANCIAL STATEMENTS (CONTINUED) CLASSES -- Class-specific expenses are borne by that class of shares. Income, realized and unrealized gains/losses and non-class-specific expenses are allocated to the respective class on the basis of relative daily net assets. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Trust, which are not directly associated to a specific Fund, are prorated to the Funds on the basis of relative daily net assets. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions to shareholders, which are determined in accordance with Federal tax regulations, are recorded on the ex-dividend date. Dividends from net investment income are declared on a daily basis and are payable on the first business day of the following month. Any net realized capital gains on sales of securities for a Fund are distributed to its shareholders at least annually. 3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION AND TRANSFER AGENT AGREEMENT -- SEI Investments Global Funds Services (the "Administrator") provides administrative and transfer agency services to the Funds for annual fees, based on the average daily net assets of the respective funds, as presented below: Money Market Fund .33% Government Fund .24% Government II Fund .19% Prime Obligation Fund .19% Treasury Fund .24% Treasury II Fund .24% Short-Duration Government Fund .35% Intermediate-Duration Government Fund .35% GNMA Fund .32% Ultra Short Bond Fund .35% However, the Administrator has agreed to waive a portion or its entire fee, for various classes of shares in various funds, to limit total annual expenses up to the following amounts (expressed as a percentage of the Funds' daily net assets). The expense waivers are allocated to each share class pro-rata based on the net assets of each share class.
----------------------------------------------------------------------------------------- Money Prime Market Government Government II Obligation Treasury Treasury II Fund Fund Fund Fund Fund Fund ----------------------------------------------------------------------------------------- Class A .18%(1) .20%(3) .20%(2) .20%(2) .20%(2) .20%(4) Class B .48%(1) .50%(3) .50%(2) .50%(2) .50%(2) .50%(4) Class C .68%(1) .70%(3) .70%(2) .70%(2) .70%(2) .70%(4) Class H N/A N/A N/A .63%(1) N/A N/A Sweep Class .93%(1) .95%(1) * .95%(1) .95%(1) *
-------------------------------------------------------------------------------- Short- Intermediate- Ultra Duration Duration Short Government Government GNMA Bond Fund Fund Fund Fund -------------------------------------------------------------------------------- Class A .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. (4) Represents a contractual cap of .25%, .55%, and .75% of Class A, B, and C, respectively, effective through January 31, 2008 to be changed only by Board approval. Effective May 1, 2007 management has voluntarily waived fees to a cap of .20%, .50% and .70% of Class A, B, C, respectively, that may be discontinued at any time. 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 Changes in Net Assets, for reimbursement of investment losses incurred of $100,000. Treasury II Portfolio's Statement of Assets and Liabilities at January 31, 2008 has been adjusted to reflect the impact of this reimbursement. DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary of SEI and a registered broker-dealer, acts as the Distributor of the shares of the Trust under various Distribution Agreements. The Trust has adopted plans under which firms, including the Distributor, that provide shareholder and administrative services may receive compensation thereof. Specific classes of certain funds have also adopted distribution plans, pursuant to Rule 12b-1 under the Investment Company Act of 1940. Such plans provide fees payable to the Distributor up to the following amounts, calculated as a percentage of the average daily net assets attributable to each particular class of each respective fund. -------------------------------------------------------------------------------- Shareholder Administrative Servicing Service Distribution Fees Fees Fees* -------------------------------------------------------------------------------- Money Market Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Sweep Class .25% -- .50% Government Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Sweep Class .25% -- .50% Government II Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Prime Obligation Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Class H .25% .18% -- Sweep Class .25% -- .50% -------------------------------------------------------------------------------- 46 SEI Daily Income Trust / Annual Report / January 31, 2008 -------------------------------------------------------------------------------- Shareholder Administrative Servicing Service Distribution Fees Fees Fees* -------------------------------------------------------------------------------- Treasury Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Sweep Class .25% -- .50% Treasury II Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Short-Duration Government Fund Class A .25% -- -- Intermediate-Duration Government Fund Class A .25% -- -- GNMA Fund Class A .25% -- -- Ultra Short Bond Fund Class A .25% -- -- * These payments are characterized as "compensation" and are not directly tied to expenses incurred by the Distributor. The payments the Distributor receives during any year may therefore be higher or lower than its actual expenses. These payments may be used to compensate sweep class shareholders who provide distribution-related services to their customers. The Distributor has voluntarily waived all or a portion of the shareholder servicing fees for Class A of each fund, except for the GNMA Fund, since inception of the plan. Such waivers are voluntary and may be discontinued at any time. For Classes B, C, and H, the shareholder servicing fees and the administrative service fees are shown combined as "Administrative & Shareholder Servicing Fees" in the Statement of Operations. Certain officers and Trustees of the Trust are also officers and/or Trustees of the Administrator or the adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator or the adviser pays compensation of officers and affiliated Trustees. The services provided by the Chief Compliance Officer ("CCO") and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust's Advisors and service providers as required by SEC regulations. The CCO's services have been approved by and are reviewed by the Board. CAPITAL SUPPORT AGREEMENT -- The Money Market Fund and Prime Obligation Fund have entered into a Capital Support Agreement with SEI Investments Company ("SEI"). Please see Note 10 for more information. 4. INVESTMENT ADVISORY AND CUSTODIAN AGREEMENTS SEI Investments Management Corporation ("SIMC") serves as each Fund's investment adviser and "manager of managers" under an investment advisory agreement approved by the shareholders of each Fund. For its services, SIMC receives an annual fee equal to .075% on the first $500 million of net assets and .02% on the net assets in excess of $500 million for the Money Market Funds. The fee will be calculated based on the combined assets of the Money Market Funds. SIMC also receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Short-Duration Government, Intermediate-Duration Government and GNMA Funds. The fee will be calculated based on the combined assets of the Funds listed above. SIMC also receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Ultra Short Bond Fund. The fee will be calculated based on the net assets of the Ultra Short Bond Fund. Pursuant to the "manager of managers" structure, the Board of Trustees approved Columbia Management Advisors, LLC (formerly Banc of America Capital Management, LLC) as each Money Market Fund's investment sub-adviser under an investment sub-advisory agreement approved by the shareholders of each Fund. For its services to the Money Market Funds, the sub-adviser is entitled to receive a fee paid directly by SIMC. Wellington Management Company, LLP ("Wellington LLP") serves as sub-adviser to the Fixed Income Funds under an investment sub-advisory agreement approved by the shareholders of each Fund. For its services to the Funds, Wellington LLP is entitled to receive a fee paid directly by SIMC. U.S. Bank, N.A. serves as the custodian of the Funds. The custodian plays no role in determining the investment policies of the Funds or which securities are to be purchased or sold in the Funds. 5. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale of securities, other than temporary investments in short-term securities, for the year ended January 31, 2008, were as follows for the Fixed Income Funds: -------------------------------------------------------------------------------- Short- Intermediate- Ultra Duration Duration Short Government Government GNMA Bond Fund Fund Fund Fund ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- PURCHASES U.S. Government $354,264 $74,059 $362,724 $30,949 Other -- -- -- 61,519 SALES U.S. Government $302,940 $83,191 $395,175 $19,716 Other -- -- -- 95,239 -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 47 NOTES TO FINANCIAL STATEMENTS (CONTINUED) 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. Management has analyzed the Funds' tax position taken on federal income tax returns for all open tax years and has concluded that as of January 31, 2008, no provision for income tax would be required in the Funds' financial statements. The Funds' federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. RECLASSIFICATION OF COMPONENTS OF NET ASSETS -- The timing and characterization of certain income and capital gain distributions are determined annually in accordance with Federal tax regulations which may differ from accounting principles generally accepted in the United States. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for the reporting period may differ from distributions during such period. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to Paid-in Capital, undistributed net investment income, or accumulated net realized gain, as appropriate, in the periods that the differences arise. These reclassifications, which have no impact on net asset value of the Fund, are primarily attributable to swap income reclassification, expiration of capital loss carryovers and 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 year ended January 31, 2008: -------------------------------------------------------------------------------- Undistributed Accumulated Net Investment Net Realized Paid-in Capital Income Gain (Loss) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------- Short-Duration Government Fund $ -- $203 $(203) Intermediate-Duration Government Fund -- 53 (53) GNMA Fund (109) 169 (60) Ultra Short Bond Fund -- (72) 72 The tax character of dividends and distributions during the last two fiscal years was as follows:
--------------------------------------------------------------------------------------- Ordinary Long-term Income Capital Gain Total ($ Thousands) ($ Thousands) ($ Thousands) --------------------------------------------------------------------------------------- Money Market Fund 2008 $ 56,488 $-- $ 56,488 2007 60,356 -- 60,356 Government Fund 2008 48,798 -- 48,798 2007 36,529 -- 36,529 Government II Fund 2008 43,747 -- 43,747 2007 37,566 -- 37,566 Prime Obligation Fund 2008 277,604 -- 277,604 2007 233,756 -- 233,756 Treasury Fund 2008 48,447 -- 48,447 2007 33,879 -- 33,879 Treasury II Fund 2008 10,234 -- 10,234 2007 10,686 -- 10,686 Short-Duration Government Fund 2008 5,655 -- 5,655 2007 6,236 -- 6,236 Intermediate-Duration Government Fund 2008 1,582 -- 1,582 2007 3,175 -- 3,175 GNMA Fund 2008 6,742 -- 6,742 2007 7,688 -- 7,688 Ultra Short Bond Fund 2008 13,045 -- 13,045 2007 15,345 -- 15,345
As of January 31, 2008, the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:
-------------------------------------------------------------------------------------------------------------------------------- Undistributed Capital Post- Other Unrealized Total Ordinary Loss October Temporary Appreciation/ Accumulated Income Carryforwards Losses Differences (Depreciation) Losses ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------------------------------------------------------- Money Market Fund $ 3,501 $ (22) $ (1) $(3,501) $ (2,861) $ (2,884) Government Fund 4,645 (100) -- (4,645) -- (100) Government II Fund 4,280 (31) -- (4,280) -- (31) Prime Obligation Fund 18,324 (124) -- 18,324 (14,480) (14,604) Treasury Fund 3,904 (93) -- (3,904) -- (93) Treasury II Fund 1,374 (31) -- (1,374) -- (31) Short-Duration Government Fund 620 (4,954) (511) (615) 1,118 (4,342) Intermediate-Duration Government Fund 162 (2,056) -- (167) 643 (1,418) GNMA Fund 390 (11,665) (162) (419) 2,115 (9,741) Ultra Short Bond Fund 1,455 (5,076) -- (1,456) (6,463) (11,540)
Amounts designated as "--" are $0 or have been rounded to $0. -------------------------------------------------------------------------------- 48 SEI Daily Income Trust / Annual Report / January 31, 2008 At January 31, 2008, the following funds had capital loss carryforwards to offset future realized capital gains: -------------------------------------------------------------------------------- Amount Expiration ($ Thousands) Date -------------------------------------------------------------------------------- Money Market Fund $ 16 1/31/14 2 1/31/15 4 1/31/16 Government Fund 5 1/31/10 5 1/31/11 54 1/31/13 4 1/31/14 32 1/13/16 Government II Fund 3 1/31/12 7 1/31/13 5 1/31/14 16 1/31/16 Prime Obligation Fund 27 1/31/10 43 1/31/11 2 1/31/12 14 1/31/13 18 1/31/14 20 1/31/16 Treasury Fund 65 1/31/11 1 1/31/12 22 1/31/13 5 1/31/14 Treasury II Fund 27 1/31/14 4 1/31/16 Short-Duration Government Fund 2,169 1/31/14 2,785 1/31/15 Intermediate-Duration Government Fund 2,056 1/31/15 GNMA Fund 1,607 1/31/09 776 1/31/11 6,407 1/31/12 1,119 1/31/13 6 1/31/14 1,552 1/31/15 198 1/31/16 Ultra Short Bond Fund 557 1/31/11 442 1/31/12 1,020 1/31/13 1,045 1/31/14 1,716 1/31/15 296 1/31/16 For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. It is the Funds' intent that they will not distribute any realized gain distributions until the carryforwards have been offset or expired. During the year ended January 31, 2008, the Short-Duration Government Fund and Intermediate-Duration Government Fund utilized $2,433,815 and $1,318,946, respectively, of capital loss carryforwards, to offset capital gains. At January 31, 2008, the Money Market Funds' (excluding the Money Market Fund and Prime Obligation Fund) cost of securities for Federal income tax purposes approximates the cost located in the Statements of Assets and Liabilities. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Money Market Fund, Prime Obligation Fund and Fixed Income Funds at January 31, 2008, were as follows:
-------------------------------------------------------------------------------------- Net Unrealized Federal Appreciated Depreciated Appreciation/ Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) -------------------------------------------------------------------------------------- Money Market Fund $ 963,615 2 (2,863) (2,861) Prime Obligation Fund 5,015,000 -- (14,480) (14,480) Short-Duration Government Fund 236,350 1,472 (354) 1,118 Intermediate-Duration Government Fund 53,605 941 (298) 643 GNMA Fund 138,656 5,509 (3,394) 2,115 Ultra Short Bond Fund 418,582 1,744 (8,207) (6,463)
7. INVESTMENT RISKS In the normal course of business, the Funds enter into contracts that provide general indemnifications by the Fund to the counterparty to the contract. The Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be established; however, based on experience, the risk of loss from such claim is considered remote. Investments in structured securities (such as those issued by Structured Investment Vehicles, or "SIVs") which are collateralized by residential real estate mortgages are subject to certain credit and liquidity risks. When market conditions result in an increase in default rates of the underlying mortgages and the foreclosure values of underlying real estate properties are materially below the outstanding amount of these underlying mortgages, collection of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value of these investments resulting in a lack of correlation between their credit ratings and values. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 49 NOTES TO FINANCIAL STATEMENTS (CONCLUDED) 8. OTHER The Board approved a 5 for 1 reverse share split in the Ultra Short Bond Fund. The reverse share split occurred on May 6, 2005. This Fund is designed to be a low tracking error fund. The Fund experienced excess tracking error due to the impact of rounding on the Fund's net asset value ("NAV"). The reverse share split resulted in a higher NAV for the Fund, thus decreasing the level of tracking error resulting from NAV rounding. The per share information included in the financial highlights for all periods prior to the reverse share split have been adjusted to properly reflect the effects of the reverse share spilt on a retroactive basis. 9. NEW ACCOUNTING PRONOUNCEMENT In 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 U.S. 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, 2008, 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. 10. CAPITAL SUPPORT AGREEMENT On November 8, 2007, the Money Market and Prime Obligation Funds each entered into a Capital Support Agreement with SEI, which is the parent company of SIMC. The Capital Support Agreements require SEI to commit capital to the Funds, subject to the aggregate limit of $3 million and $126 million for the Money Market Fund and Prime Obligation Fund, respectively, if a Fund realizes payments or sales proceeds from specified securities ("Eligible Notes") held by the Funds which are less than the amortized cost of such securities and such loss causes the Fund's mark-to-market net asset value to drop below $0.9950 for the Money Market Fund or $0.9975 for the Prime Obligation Fund. The mark-to-market net asset value is calculated using the market value of all securities in the Money Market and Prime Obligation Funds. The net asset value in the financial statements is calculated using the amortized cost for all securities except the Eligible Notes. The Eligible Notes held in the Funds on January 31, 2008 are footnoted on the Schedule of Investments. On February 15, 2008, the Agreement for the Prime Obligation Fund was amended to increase the maximum contribution amount to $150 million. Upon the sale or other disposition of an Eligible Note, the amount of required capital commitment would be the least of the following amounts: (i) the amount, if any, by which the amortized cost of the Eligible Note exceeds the amount realized from the sale or other disposition of the security; (ii) the amount, if any, necessary to restore the net asset value per share of the Fund to $0.9950 for the Money Market Fund or $0.9975 for the Prime Obligation Fund, or (iii) the remaining amount of the aggregate limit of the Capital Support Agreement, taking into account all prior contributions. SEI's obligations under the Agreements are supported by a Letter of Credit issued by a bank having a First Tier credit rating and, in the case of the Prime Obligation Fund, cash held in a segregated account in the amounts of $3 million and $150 million for the Money Market and Prime Obligation Funds, respectively. The Funds will draw on the Letter of Credit or the segregated account in the event that SEI fails to make a cash contribution when due under the Agreement. The Funds will sell the Eligible Notes (i) promptly following any change in the Letter of Credit provider's short term credit ratings such that the Letter of Credit provider's obligations no longer qualify as First Tier Securities as defined in paragraph (a)(12) of Rule 2a-7, or (ii) on the business day immediately prior to the termination date of the Agreement; provided that the Funds are not required to complete any such sale if the amount the Funds expect to receive would not result in the payment of a Capital Contribution, or, with respect to an event described in (i) above, if SEI substitutes an obligation or credit support that satisfies the requirement of a First Tier Security within fifteen (15) calendar days from the occurrence of such event and, during such 15 day period, the Letter of Credit provider's obligations continue to qualify as Second Tier Securities under paragraph (a)(22) of Rule 2a-7. The termination date of the Agreement is November 6, 2008, although that date may be extended upon agreement of SEI and the Funds, subject to the prior approval of the staff of the U.S. Securities and Exchange Commission. -------------------------------------------------------------------------------- 50 SEI Daily Income Trust / Annual Report / January 31, 2008 The following table shows the Eligible Notes and their amortized cost and fair market value as of January 31, 2008. MONEY MARKET FUND
----------------------------------------------------------------------------------------------------------------- Unrealized Amortized Fair Appreciation/ Face Cost Value (Depreciation) Description Amount (000) (000) (000) ----------------------------------------------------------------------------------------------------------------- Asscher Finance MTN 5.500%, 07/16/08 9,507,000 $ 9,507 $ 9,509 $ 2 Cheyne Finance LLC MTN 3.065%, 06/09/08 10,000,000 9,999 8,600 (1,399) Cheyne Finance LLC MTN 3.063%, 03/25/08 10,000,000 9,999 8,600 (1,399) Cullinan Finance MTN 3.070%, 03/25/08 27,500,000 27,498 27,463 (35) Sigma Finance MTN 3.135%, 04/10/08 8,800,000 8,799 8,769 (30) ---------- ------- ------- ------- Totals 65,807,000 $65,802 $62,941 $(2,861) ========== ======= ======= =======
PRIME OBLIGATION FUND
----------------------------------------------------------------------------------------------------------------- Unrealized Amortized Fair Appreciation/ Face Cost Value (Depreciation) Description Amount (000) (000) (000) ----------------------------------------------------------------------------------------------------------------- Asscher Finance MTN 5.500%, 07/16/08 40,095,000 $ 40,095 $ 40,105 $ 10 Carrera Capital Finance LLC MTN 3.236%, 07/30/08 50,000,000 50,000 49,627 (373) Cheyne Finance LLC MTN 4.825%, 10/25/07 50,000,000 49,998 43,000 (6,998) Cheyne Finance LLC MTN 4.815%, 01/25/08 125,000,000 124,987 107,500 (17,487) Cheyne Finance LLC MTN 3.063%, 03/25/08 77,000,000 76,990 66,220 (10,770) Cullinan Finance MTN 3.070%, 03/25/08 75,000,000 74,997 74,898 (99) Kestrel Funding MTN 3.070% 03/27/08 100,000,000 99,997 99,953 (44) Stanfield Victoria LLC MTN 3.070%, 03/20/08 80,000,000 79,998 71,200 (8,798) ------------- -------- -------- -------- Totals 597,095,000 $597,062 $552,503 $(44,559) ============= ======== ======== ========
11. SUBSEQUENT EVENT As of March 27, 2008, the Capital Support Agreement is valued at $37,431,000 and $0 for the Prime Obligation and Money Market Funds, respectively. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 51 SEI DAILY INCOME TRUST -- JANUARY 31, 2008 Report of Independent Registered Public Accounting Firm TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF SEI DAILY INCOME TRUST: We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of SEI Daily Income Trust, comprising the Money Market Fund, Government Fund, Government II Fund, Prime Obligation Fund, Treasury Fund, Treasury II Fund, Short-Duration Government Fund, Intermediate-Duration Government Fund, GNMA Fund, and Ultra-Short Bond Fund, (collectively the "Funds"), as of January 31, 2008, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-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, 2008, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios comprising SEI Daily Income Trust as of January 31, 2008, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the three-year period then ended, in conformity with U.S. generally accepted accounting principles. /s/ KPMG LLP Philadelphia, Pennsylvania March 27, 2008 -------------------------------------------------------------------------------- 52 SEI Daily Income Trust / Annual Report / January 31, 2008 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) The following chart lists Trustees and Officers as of March 1, 2008. 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.
------------------------------------------------------------------------------------------------------------------------------------ NUMBER OF TERM OF PORTFOLIOS OFFICE IN FUND AND PRINCIPAL COMPLEX NAME POSITION(S) LENGTH OF OCCUPATION(S) OVERSEEN OTHER DIRECTORSHIPS ADDRESS, HELD WITH TIME DURING PAST BY HELD BY AND AGE TRUSTS SERVED 1 FIVE YEARS TRUSTEE 2 TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEES ------------------- Robert A. Nesher Chairman of since 1982 Currently performs various 79 Trustee of The Advisors' Inner One Freedom the Board services on behalf of SEI for Circle Fund, The Advisors' Inner Valley Drive, of Trustees* which Mr. Nesher is Circle Fund II, Bishop Street Oaks, PA 19456 compensated. Funds, Director of SEI Global 61 yrs. old Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Opportunity Fund, L.P., SEI Multi-Strategy Funds plc., and SEI Structured Credit Fund, L.P. ------------------------------------------------------------------------------------------------------------------------------------ William M. Doran Trustee* since 1982 Self-employed consultant since 79 Trustee of The Advisors' Inner 1701 Market Street 2003. Partner, Morgan, Lewis & Circle Fund, The Advisors' Inner Philadelphia, PA Bockius LLP (law firm) from Circle Fund II, Bishop Street 19103 1976 to 2003, counsel to the Funds, Director of SEI since 67 yrs. old Trust, SEI, SIMC, the 1974. Director of the Administrator and the Distributor since 2003. Director Distributor. Secretary of SEI of SEI Investments -- Global Fund since 1978. Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited, and SEI Asset Korea Co., Ltd. ------------------------------------------------------------------------------------------------------------------------------------ TRUSTEES -------- James M. Storey Trustee since 1995 Attorney, sole practitioner 79 Trustee of The Advisors' Inner One Freedom since 1994. Partner, Dechert Circle Fund, The Advisors' Inner Valley Drive, Price & Rhoads, September Circle Fund II, Bishop Street Oaks, PA 19456 1987-December 1993. Funds, Massachusetts Health and 76 yrs. old Education Tax-Exempt Trust, and U.S. Charitable Gift Trust. ------------------------------------------------------------------------------------------------------------------------------------ George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 79 Trustee of The Advisors' Inner One Freedom Newfound Consultants Inc. Circle Fund, The Advisors' Inner Valley Drive since April 1997. Circle Fund II, Bishop Street Oaks, PA 19456 Funds, State Street Navigator 65 yrs. old Securities Lending Trust, SEI Opportunity Fund, L.P., and SEI Structured Credit Fund, L.P. ------------------------------------------------------------------------------------------------------------------------------------
* MESSRS. NESHER AND DORAN ARE TRUSTEES WHO MAY BE DEEMED AS "INTERESTED" PERSONS OF THE TRUST AS THAT TERM IS DEFINED IN THE 1940 ACT BY VIRTUE OF THEIR AFFILIATION WITH SIMC AND THE TRUST'S DISTRIBUTOR. 1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2 THE FUND COMPLEX INCLUDES THE FOLLOWING: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, LP. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 53 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) (CONTINUED)
------------------------------------------------------------------------------------------------------------------------------------ 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) -------------------- Rosemarie B. Greco Trustee since 1999 Director, Governor's Office of 79 Director, Sonoco, Inc.; One Freedom Health Care Reform, Director, Exelon Corporation; Valley Drive Commonwealth of Pennsylvania Trustee, Pennsylvania Real Oaks, PA 19456 since 2003. Founder and Estate Investment Trust. 61 yrs. old Principal, Grecoventures Ltd. from 1999 to 2002. ------------------------------------------------------------------------------------------------------------------------------------ Nina Lesavoy Trustee since 2003 Managing Partner, Cue Capital 79 Director of SEI Opportunity One Freedom since March 2002, Managing Fund, L.P., and SEI Structured Valley Drive, Partner and Head of Sales, Credit Fund, L.P. Oaks, PA 19456 Investorforce, March 50 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 79 Trustee/Director of Ariel One Freedom Investment Officer, J. Paul Mutual Funds, SEI Opportunity Valley Drive, Getty Trust, Non-Profit Fund, L.P., and SEI Structured Oaks, PA 19456 Foundation for Visual Arts, Credit Fund, L.P. 60 yrs. old since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. ------------------------------------------------------------------------------------------------------------------------------------ Mitchell A. Johnson Trustee since 2007 Private Investor since 1994. 79 Trustee of the Advisors' Inner One Freedom Circle Fund, The Advisor's Valley Drive, Inner Circle Fund II, and Oaks, PA 19456 Bishop Street Funds. 65 yrs. old ------------------------------------------------------------------------------------------------------------------------------------ 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 Oaks, PA 19456 compensated. 61 yrs. old ------------------------------------------------------------------------------------------------------------------------------------ Stephen F. Panner Controller since 2005 Fund Accounting Director of N/A N/A One Freedom and Chief the Administrator since 2005. Valley Drive, Financial Fund Administration Manager, Oaks, PA 19456 Officer Old Mutual Fund Services, 37 yrs. old 2000-2005. Chief Financial Officer, Controller and Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2004-2005. Assistant Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2000-2004. Assistant Treasurer, Old Mutual Advisors Fund, 2004-2005. ------------------------------------------------------------------------------------------------------------------------------------
1 EACH TRUSTEE SHALL HOLD OFFICE DURING THE LIFETIME OF THIS TRUST UNTIL THE ELECTION AND QUALIFICATION OF HIS OR HER SUCCESSOR, OR UNTIL HE OR SHE SOONER DIES, RESIGNS OR IS REMOVED IN ACCORDANCE WITH THE TRUST'S DECLARATION OF TRUST. 2 THE FUND COMPLEX INCLUDES THE FOLLOWING: SEI ASSET ALLOCATION TRUST, SEI DAILY INCOME TRUST, SEI INSTITUTIONAL INVESTMENTS TRUST, SEI INSTITUTIONAL INTERNATIONAL TRUST, SEI INSTITUTIONAL MANAGED TRUST, SEI LIQUID ASSET TRUST, SEI TAX EXEMPT TRUST AND SEI ALPHA STRATEGY PORTFOLIOS, LP. -------------------------------------------------------------------------------- 54 SEI Daily Income Trust / Annual Report / January 31, 2008
------------------------------------------------------------------------------------------------------------------------------ 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) -------------------- Russell Emery Chief since 2006 Chief Compliance Officer of N/A N/A One Freedom Compliance SEI Opportunity Fund, L.P., Valley Drive Officer Bishop Street Funds, SEI Oaks, PA 19456 Structured Credit Fund, L.P., 44 yrs. old The Advisors' Inner Circle Fund and the Advisors' Inner Circle Fund II, since March 2006. Director of Investment Product Management and Development of SIMC, February 2003-March 2006. ------------------------------------------------------------------------------------------------------------------------------ Timothy D. Barto Vice since 2002 General Counsel, Vice N/A N/A One Freedom President President and Secretary of Valley Drive and SIMC and the Administrator Oaks, PA 19456 Secretary since 2004. Vice President and 39 yrs. old Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999. Assistant Secretary of SIMC, the Administrator and the Distributor and Vice President of the Distributor, 1999-2003. ------------------------------------------------------------------------------------------------------------------------------ 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, 34 yrs. old Secretary September 2001-2004. ------------------------------------------------------------------------------------------------------------------------------ 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). 39 yrs. old Secretary ------------------------------------------------------------------------------------------------------------------------------ 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 35 yrs. old Secretary (2004). Counsel, Permal Asset Management (2001-2004). ------------------------------------------------------------------------------------------------------------------------------ Aaron Buser Vice since 2008 Vice President and Assistant N/A N/A One Freedom President Secretary of SIMC since 2007. Valley Drive and Associate at Stark & Stark Oaks, PA 19456 Assistant (2004-2007). Associate at 37 yrs. old Secretary Flaster/Greenberg, P.C. (2000-2004). ------------------------------------------------------------------------------------------------------------------------------ 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 Oaks, PA 19456 Money Market Investments for 44 yrs. old SIMC since 2003. ------------------------------------------------------------------------------------------------------------------------------ Andrew S. Decker Anti-Money since 2008 Compliance Officer and Product N/A N/A One Freedom Laundering Manager, SEI, 2005-2008. Vice Valley Drive Compliance President, Old Mutual Capital, Oaks, PA 19456 Officer 2000-2005. 44 yrs. old ------------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 55 SEI DAILY INCOME TRUST -- JANUARY 31, 2008 Disclosure of Fund Expenses (Unaudited) All mutual funds have operating expenses. As a shareholder of a Fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. Operating expenses such as these are deducted from the Fund's gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the Fund's average net assets; this percentage is known as the Fund's expense ratio. The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table on the next page illustrates your Fund's costs in two ways: o ACTUAL FUND RETURN. This section helps you to estimate the actual expenses that your Fund incurred over the period. The "Expenses Paid During Period" column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the "Ending Account Value" number is derived from deducting that expense cost from the fund's gross investment return. You can use this information, together with the actual amount you invested in the fund, to estimate the expenses your Fund incurred over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under "Expenses Paid During Period." o HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with those of other mutual funds. It assumes that the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund's comparative cost by comparing the hypothetical result for your Fund in the "Expense Paid During Period" column with those that appear in the same charts in the shareholder reports for other funds. NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's actual return -- the account values shown do not apply to your specific investment. -------------------------------------------------------------------------------- 56 SEI Daily Income Trust / Annual Report / January 31, 2008 DISCLOSURE OF FUND EXPENSES (UNAUDITED) (CONCLUDED) BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 8/01/07 1/31/08 RATIOS PERIOD* -------------------------------------------------------------------------------- MONEY MARKET FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,025.60 0.18% $0.92 Class B Shares 1,000.00 1,024.00 0.48% 2.45 Class C Shares 1,000.00 1,023.00 0.68% 3.47 Sweep Class Shares 1,000.00 1,021.70 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 $1,023.60 0.20% $1.02 Class B Shares 1,000.00 1,022.10 0.50% 2.55 Class C Shares 1,000.00 1,021.10 0.70% 3.57 Sweep Class Shares 1,000.00 1,019.80 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 -------------------------------------------------------------------------------- GOVERNMENT II FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,023.70 0.20% $1.02 Class B Shares 1,000.00 1,022.10 0.50% 2.55 Class C Shares 1,000.00 1,021.10 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 $1,025.50 0.20% $1.02 Class B Shares 1,000.00 1,023.90 0.50% 2.55 Class C Shares 1,000.00 1,022.90 0.70% 3.57 Class H Shares 1,000.00 1,023.30 0.63% 3.21 Sweep Class Shares 1,000.00 1,021.60 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 8/01/07 1/31/08 RATIOS PERIOD* -------------------------------------------------------------------------------- TREASURY FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,020.70 0.20% $1.02 Class B Shares 1,000.00 1,019.20 0.50% 2.54 Class C Shares 1,000.00 1,018.20 0.70% 3.56 Sweep Class Shares 1,000.00 1,016.90 0.95% 4.83 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.20 0.20% $1.02 Class B Shares 1,000.00 1,022.68 0.50% 2.55 Class C Shares 1,000.00 1,021.68 0.70% 3.57 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 $1,017.30 0.20% $1.02 Class B Shares 1,000.00 1,015.80 0.50% 2.54 Class C Shares 1,000.00 1,014.70 0.70% 3.55 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 -------------------------------------------------------------------------------- SHORT-DURATION GOVERNMENT FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,051.50 0.45% $2.33 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 $1,082.40 0.50% $2.62 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.68 0.50% $2.55 -------------------------------------------------------------------------------- GNMA FUND -------------------------------------------------------------------------------- ACTUAL FUND RETURN Class A Shares $1,000.00 $1,065.40 0.60% $3.12 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 $ 998.00 0.35% $1.76 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, 2008 57 Board of Trustees Considerations in Approving the Continuation of the Funds' Advisory and Sub-Advisory Agreements (Unaudited) The SEI Daily Income Trust (the "Trust") and SEI Investments Management Corporation ("SIMC") have entered into an investment advisory agreement (the "Advisory Agreement"). Pursuant to the Advisory Agreement, SIMC oversees the investment advisory services provided to 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 session 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 14-15, 2007 meetings of the Board of Trustees, the Trustees, including a majority of the Independent Trustees, approved the Investment Advisory Agreements and approved the selection of SIMC and the Sub-Advisers to act in their respective capacities for the Funds. The Board's approval was based on its consideration and evaluation of a variety of specific factors discussed at the meetings and at prior meetings, including: o the nature, extent and quality of the services provided to the Funds under the Investment Advisory Agreements, including the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds; o the Funds' investment performance and how it compared to that of other comparable mutual funds; o the Funds' expenses under each Investment Advisory Agreement and how those expenses compared to those of other comparable mutual funds; -------------------------------------------------------------------------------- 58 SEI Daily Income Trust / Annual Report / January 31, 2008 o the profitability of SIMC and the Sub-Advisers and their affiliates with respect to the Funds, including both direct and indirect benefits accruing to SIMC and the Sub-Advisers and their affiliates; and o the extent to which economies of scale would be realized as the Funds grow and whether fee levels in the Investment Advisory Agreements reflect those economies of scale for the benefit of Fund investors. NATURE, EXTENT AND QUALITY OF SERVICES. The Board of Trustees considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC's and the Sub-Advisers' personnel, experience, track record and compliance program. The Trustees found the level of SIMC's professional staff and culture of compliance satisfactory. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds supported renewal of the Investment Advisory Agreements. FUND PERFORMANCE. The Board of Trustees considered Fund performance in determining whether to renew the Investment Advisory Agreements. Specifically, the Trustees considered the Funds' performance relative to their peer groups and appropriate indices/benchmarks, in light of total return, yield and market trends. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In evaluating performance, the Trustees considered both market risk and shareholder risk expectations for the Funds. The Trustees found Fund performance satisfactory, and where performance was below the benchmark, the Trustees were satisfied that appropriate steps were being taken. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds supported renewal of the Investment Advisory Agreements. FUND EXPENSES. With respect to the Funds' expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds' net operating expense ratio in comparison to those of other comparable mutual funds. The Trustees also considered information about average expense ratios of comparable mutual funds in the Funds' respective peer groups. The Trustees further considered the fact that the comparative fee analysis either showed that the various fees were below average or that there was a reasonable basis for the fee level. Finally, the Trustees considered the effects of SIMC's voluntary waiver of management and other fees and the Sub-Advisers' fees to prevent total Fund expenses from exceeding a specified cap and that SIMC and the Sub-Advisers, through waivers, have maintained the Funds' net operating expenses at competitive levels for their respective distribution channels. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. PROFITABILITY. With regard to profitability, the Trustees considered all compensation flowing to SIMC and the Sub-Adviser and their affiliates, directly or indirectly. The Trustees considered whether the varied levels of compensation and profitability under the Investment Advisory Agreements and other service agreements were reasonable and justified in light of the quality of all services rendered to the Funds by SIMC and the Sub-Advisers and their affiliates. The Trustees found that profitability was reasonable and that the margin was not increasing despite growth in assets. When considering the profitability of the Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC, and not by the Funds directly, and such compensation with respect to any Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of SIMC and the Sub-Advisers are reasonable and supported renewal of the Investment Advisory Agreements. ECONOMIES OF SCALE. The Trustees considered the existence of any economies of scale and whether those were passed along to the Funds' shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the Funds obtain reasonable benefit from economies of scale. Based on the Trustees' deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of their deliberations, the Trustees did not identify any particular information that was all-important or controlling. -------------------------------------------------------------------------------- SEI Daily Income Trust / Annual Report / January 31, 2008 59 Notice to Shareholders (Unaudited) FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL PURPOSES ONLY. For the fiscal year ended January 31, 2008, each Fund is designating long-term capital gains, and exempt income with regard to distributions paid during the year as follows:
(A) (B) LONG TERM ORDINARY (C) CAPITAL GAINS INCOME TOTAL U.S. INTEREST SHORT-TERM DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS GOVERNMENT RELATED CAPITAL GAINS PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) INTEREST (1) DIVIDENDS (2) DIVIDENDS (3) Money Market Fund 0% 100% 100% 0.04%* 100% 0% Government Fund 0 100 100 37.40 100 0 Government II Fund 0 100 100 99.98 100 0 Prime Obligation Fund 0 100 100 0.03* 100 0 Treasury Fund 0 100 100 0.35* 100 0 Treasury II Fund 0 100 100 100 100 0 Short-Duration Government Fund 0 100 100 27.04* 100 0 Intermediate-Duration Government Fund 0 100 100 14.27* 100 0 GNMA Fund 0 100 100 0.44* 100 0 Ultra Short Bond Fund 0 100 100 0.62* 100 0
Items (A), (B) and (C) are based on the percentage of the Fund's total distribution. (1) "U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders of the "*" funds who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. (2) The percentage in this column represents the amount of "Interest Related Dividends" 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 "Short-Term Capital Gains Dividends" as created by the American Jobs Creation Act of 2004 and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. Please consult your tax adviser for proper treatment of this information. -------------------------------------------------------------------------------- 60 SEI Daily Income Trust / Annual Report / January 31, 2008 SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2008 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco Nina Lesavoy James M. Williams Mitchell A. Johnson 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 Aaron Buser VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Andrew S. Decker ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Global Funds Services DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) [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 (1/08) 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 2008 and 2007 as follows:
------------------ ----------------------------------------------------- ----------------------------------------------------- FISCAL 2008 FISCAL 2007 ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Trust that were service service Trust that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were did not require were did not require pre-approved pre-approval pre-approved pre-approval ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (a) Audit $175,000 N/A $0 $169,000 N/A $0 Fees(1) ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (b) Audit- $0 $0 $0 $0 $0 $0 Related Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (c) Tax $0 $0 $0 $0 $0 $0 Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (d) All $5,000 $284,000 $0 $0 $227,500 $10,130 Other Fees ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes: (1) Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. (e)(1) The Trust's Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Trust may be pre-approved. The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant's Chief Financial Officer ("CFO") and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor's annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC's rules and whether the provision of such services would impair the auditor's independence. Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial expert, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting. Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval. All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services. In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor's independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence. (e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows: ---------------------------- ----------------- ---------------- FISCAL 2008 FISCAL 2007 ---------------------------- ----------------- ---------------- 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 2008 and 2007 were $289,000 and $237,630, respectively. Non-audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the registrant. (h) During the past fiscal year, Registrant's principal accountant provided certain non-audit services to Registrant's investment adviser or to entities controlling, controlled by, or under common control with Registrant's investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant's Board of Trustees reviewed and considered these non-audit services provided by Registrant's principal accountant to Registrant's affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant's independence. . ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not Applicable. ITEM 6. SCHEDULE OF INVESTMENTS Included in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not Applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not Applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not Applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18th 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Daily Income Trust By (Signature and Title)* /s/ Robert A. Nesher --------------------------- Robert A. Nesher, CEO and President Date: April 4, 2008 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Robert A. Nesher --------------------------- Robert A. Nesher, CEO and President Date: April 4, 2008 By (Signature and Title)* /s/ Stephen F. Panner --------------------------- Stephen F. Panner, Controller & CFO Date: April 4, 2008 * Print the name and title of each signing officer under his or her signature.