-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, F+NG1ZBA0xWH2hrpPz/wqxIkPyrHx7Q8WvDa9ZGK5Oz+TlOA6mYeVZvWm+trGIZb tZZ/OOp+XtN1s0/C7LlMCg== 0000935069-09-000984.txt : 20090408 0000935069-09-000984.hdr.sgml : 20090408 20090408161856 ACCESSION NUMBER: 0000935069-09-000984 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 6 CONFORMED PERIOD OF REPORT: 20090131 FILED AS OF DATE: 20090408 DATE AS OF CHANGE: 20090408 EFFECTIVENESS DATE: 20090408 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SEI DAILY INCOME TRUST /MA/ CENTRAL INDEX KEY: 0000701939 IRS NUMBER: 236756825 STATE OF INCORPORATION: MA FISCAL YEAR END: 0131 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-03451 FILM NUMBER: 09740101 BUSINESS ADDRESS: STREET 1: 2 OLIVER ST CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8003425734 MAIL ADDRESS: STREET 1: SEI CASH & PLUS TRUST STREET 2: ONE FREEDOM VALLEY DRIVE CITY: OAKS STATE: PA ZIP: 19456 FORMER COMPANY: FORMER CONFORMED NAME: SEI CASH & PLUS TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: TRUSTFUNDS CASH & PLUS TRUST DATE OF NAME CHANGE: 19890123 FORMER COMPANY: FORMER CONFORMED NAME: CASH PLUS TRUST DATE OF NAME CHANGE: 19860827 0000701939 S000006773 SDIT GOVERNMENT FUND C000018362 SDIT GOVERNMENT FUND - CLASS B SEVXX C000018363 SDIT GOVERNMENT FUND - CLASS C SGOXX C000018364 SDIT GOVERNMENT FUND - CLASS S SGWXX C000018365 SDIT GOVERNMENT FUND - CLASS A SEOXX 0000701939 S000006774 SDIT TREASURY II FUND C000018366 SDIT TREASURY II FUND - CLASS B STBXX C000018367 SDIT TREASURY II FUND - CLASS C STWXX C000018368 SDIT TREASURY II FUND - CLASS A SCPXX C000062069 SDIT Treasury II Fund - Sweep Class 0000701939 S000006775 SDIT MONEY MARKET FUND C000018369 SDIT MONEY MARKET FUND - CLASS B C000018370 SDIT MONEY MARKET FUND - CLASS A TCMXX C000018371 SDIT MONEY MARKET FUND - CLASS C SICXX C000018372 SDIT MONEY MARKET FUND - CLASS S SISXX 0000701939 S000006776 SDIT GOVERNMENT II FUND C000018373 SDIT GOVERNMENT II FUND - CLASS B C000018374 SDIT GOVERNMENT II FUND - CLASS A TCGXX C000018375 SDIT GOVERNMENT II FUND - CLASS C SGTXX C000062070 SDIT Government II Fund - Sweep Class 0000701939 S000008265 SDIT PRIME OBLIGATION FUND C000022546 SDIT PRIME OBLIGATION FUND - CLASS A TCPXX C000022547 SDIT PRIME OBLIGATION FUND - CLASS B SPBXX C000022548 SDIT PRIME OBLIGATION FUND - CLASS C SOLXX C000022549 SDIT PRIME OBLIGATION FUND - CLASS S SPWXX C000022550 SDIT PRIME OBLIGATION FUND - CLASS H SPHXX 0000701939 S000008266 SDIT ULTRA SHORT BOND FUND C000022551 SDIT ULTRA SHORT BOND FUND - CLASS A SECPX C000062071 SDIT Ultra Short Bond Fund - Class B C000062072 SDIT Ultra Short Bond Fund - Class C C000073410 SDIT Ultra Short Bond Fund - Class G 0000701939 S000008267 SDIT SHORT DURATION GOVERNMENT FUND C000022552 SDIT SHORT DURATION GOVERNMENT FUND - CLASS A TCSGX C000062073 SDIT Short Duration Government Fund - Class C 0000701939 S000008268 SDIT INTERMEDIATE DURATION GOVERNMENT FUND C000022553 SDIT INTERMEDIATE DURATION GOVERNMENT FUND - CLASS A TCPGX 0000701939 S000008269 SDIT GNMA FUND C000022554 SDIT GNMA FUND - CLASS A SEGMX 0000701939 S000008270 SDIT TREASURY FUND C000022555 SDIT TREASURY FUND - CLASS A SEPXX C000022556 SDIT TREASURY FUND - CLASS B STYXX C000022557 SDIT TREASURY FUND - CLASS C SDCXX C000022558 SDIT TREASURY FUND - SWEEP CLASS SSWXX N-CSR 1 sditar1_09comb.txt SEI DAILY INCOME TRUST AR 1_09 COMBINED UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 -------- FORM N-CSR -------- CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES INVESTMENT COMPANY ACT FILE NUMBER 811-03451 SEI DAILY INCOME TRUST (Exact name of registrant as specified in charter) -------- c/o CT Corporation 101 Federal Street Boston, MA 02110 (Address of principal executive offices) (Zip code) SEI Investments One Freedom Valley Drive Oaks, PA 19456 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-342-5734 DATE OF FISCAL YEAR END: JANUARY 31, 2009 DATE OF REPORTING PERIOD: JANUARY 31, 2009 ITEM 1. REPORTS TO STOCKHOLDERS. SEI New ways. New answers.(R) SEI Daily Income Trust Annual Report as of January 31, 2009 Money Market Fund Government Fund Government II Fund Prime Obligation Fund Treasury Fund Treasury II Fund Short-Duration Government Fund Intermediate-Duration Government Fund GNMA Fund Ultra Short Bond Fund TABLE OF CONTENTS Management's Discussion and Analysis of Fund Performance 1 Schedules of Investments 10 Statements of Assets and Liabilities 32 Statements of Operations 34 Statements of Changes in Net Assets 36 Financial Highlights 40 Notes to Financial Statements 45 Report of Independent Registered Public Accounting Firm 55 Trustees and Officers of the Trust 56 Disclosure of Fund Expenses 59 Notice to Shareholders 61
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust's Forms N-Q are available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Since the Funds in SEI Daily Income Trust typically hold only fixed income securities, they generally are not expected to hold securities for which they may be required to vote proxies. Regardless, in light of the possibility that a Fund could hold a security for which a proxy is voted, the Trust has adopted proxy voting policies. A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available without charge (i) upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission's website at http://www.sec.gov. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2009 Short-Duration Government Fund Objectives The Short-Duration Government Fund (the "Fund") seeks to preserve principal value and maintain a high degree of liquidity while providing current income. The Fund invests in securities issued by the U.S. Government and backed by its full faith and credit, and securities issued by the U.S. Government agencies. The weighted average maturity of the Fund is approximately three years. The Fund seeks to provide a higher level of sustainable income and total return than money market investments, with limited principal fluctuations. Strategy The Fund's weighted average maturity will be managed to take advantage of anticipated changes in the direction of interest rates. The distribution of maturities for individual securities will also be managed to take advantage of expected changes in the shape of the yield curve. Treasury and agency securities will form the core of the Fund, and agency-backed mortgage securities will be utilized when their yields are judged to be attractive relative to those of Treasuries and agencies. Market Overview The fixed income markets experienced perhaps their most turbulent year on record in 2008, as illiquidity and stress in the financial system created a dysfunctional bond market. Economic conditions continued to deteriorate as further declines in housing prices and equity markets eroded consumer confidence and brought retail spending to a near standstill. The year experienced such unthinkable events as the nationalization of Fannie Mae and Freddie Mac, the takeovers under duress of Bear Stearns, Merrill Lynch, Wachovia Bank, Washington Mutual and Countrywide Savings & Loan, the cataclysmic bankruptcy of Lehman Brothers, and the collapse of one of the nation's largest money market funds. The Lehman Brothers default in mid-September triggered an additional flight to safety into U.S. Treasury ("Treasury") securities and a further decline in equity markets. Treasury yields fell across the maturity spectrum, with shorter-dated yields falling more than intermediate and long maturities, as the U.S. Federal Reserve ("the Fed") lowered the Fed Funds rate to near zero. Three-month T-bill yields fell roughly 170 basis points to 0.23% during the period, while ten-year Treasury yields fell roughly 75 basis points to 2.84%. While all non-Treasury sectors of the market underperformed, the most seriously impacted sectors were the non-agency mortgage-backed securities market and the commercial mortgage-backed securities market, which were hit particularly hard as residential and commercial property prices eroded and liquidity in the sectors suffered. The calamity in the markets inspired a series of policy initiatives designed to restore market confidence and liquidity and to stem the economic slide. The government's efforts, while inconsistent and confusing to the market, did serve to restore some modest improvement in market liquidity late in 2008 and early in 2009. This was evidenced by an increase in corporate bond issuance, a narrowing of yield spreads in the agency mortgage sector and a reduction in interbank lending rates. Analysis For the fiscal year ended January 31, 2009, the Short-Duration Government Fund, Class A, returned 4.05% compared to 4.43% for the Merrill Lynch 1-3 Year U.S. Treasury Bond Index ("Index"). The Fund performed in line with the Index. Throughout the period, the Fund maintained a significant overweight to the agency mortgage-backed securities ("MBS") sector. This detracted from the return for the first nine months of the year, as the sector underperformed with increasing concern over the financial stability of Fannie Mae and Freddie Mac. The sector began to stabilize upon the nationalization of both companies and improved dramatically late in the year when the Fed announced its intent to purchase $500 billion of agency MBS for its own balance sheet. The Fund maintained a modestly long interest rate position for most of the year, which added to return as interest rates fell. As we enter the new fiscal year, yield spreads in most non-Treasury sectors remain wide and volatility remains high. The Fund has retained its overweight to agency MBS, which is providing a significant yield advantage. The prospects for outperformance in this sector appear bright as the Fed's continued purchases should provide a favorable technical backdrop for the sector. The U.S. Treasury Department's SEI Daily Income Trust / Annual Report / January 31, 2009 1 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2009 Short-Duration Government Fund(Concluded) need to issue record amounts of new Treasuries may create a glut of supply in this sector, enhancing the opportunity for performance in the non-Treasury sectors. Given the lack of economic momentum and inflationary pressure, the Fed is unlikely to change the Fed Funds rate from its historically low levels. The Fund is therefore positioned with a modestly long duration, which should also serve to enhance yield and provide a source of excess return should another flight to safety occur. Short-Duration Government Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized One Year 3-Year 5-Year 10-Year Inception Return Return Return Return to Date -------- ---------- ---------- ---------- ---------- Short-Duration Government Fund, Class A 4.05% 5.17% 3.66% 4.26% 5.59%
Comparison of Change in the Value of a $10,000 Investment in the Short-Duration Government Fund, Class A, versus the Merrill Lynch 1-3 Year U.S. Treasury Bond Index. The chart assumes all dividends and capital gain distributions are reinvested. (PERFORMANCE GRAPH)
Merrill Lynch Short-Duration 1-3 Year U.S. Government Treasury Bond Fund, Class A Index -------------- ------------- 1/31/99 $10,000 $10,000 1/31/00 10,222 10,262 1/31/01 11,157 11,225 1/31/02 11,857 12,031 1/31/03 12,484 12,696 1/31/04 12,677 12,965 1/31/05 12,798 13,052 1/31/06 13,045 13,296 1/31/07 13,547 13,830 1/31/08 14,583 15,067 1/31/09 15,174 15,734
(1) For the period ended January 31, 2009. Past performance is not predictive of future performance. Class A shares were offered beginning 2/17/87. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. SEI Daily Income Trust / Annual Report / January 31, 2009 2 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2009 Intermediate-Duration Government Fund Objectives The Intermediate-Duration Government Fund (the "Fund) seeks to preserve principal value and maintain a high degree of liquidity while providing current income. The Fund invests in securities issued by the U.S. Government and backed by its full faith and credit and securities issued by the U.S. Government agencies. The weighted average maturity of the Fund is three to five years. The Fund seeks to provide a higher level of sustainable income and total return than money market investments, with limited principal fluctuations. Strategy The Fund's weighted average maturity will be managed to take advantage of anticipated changes in the direction of interest rates. The distribution of maturities for individual securities will also be managed to take advantage of expected changes in the shape of the yield curve. The Fund focuses on Treasury and agency securities, and agency mortgage-backed securities will be utilized when their prospects for enhancing income and total return are judged to be attractive. Market Overview The fixed income markets experienced perhaps their most turbulent year on record in 2008, as illiquidity and stress in the financial system created a dysfunctional bond market. Economic conditions continued to deteriorate as further declines in housing prices and equity markets eroded consumer confidence and brought retail spending to a near standstill. The year experienced such unthinkable events as the nationalization of Fannie Mae and Freddie Mac, the takeovers under duress of Bear Stearns, Merrill Lynch, Wachovia Bank, Washington Mutual and Countrywide Savings & Loan, the cataclysmic bankruptcy of Lehman Brothers, and the collapse of one of the nation's largest money market funds. The Lehman Brothers default in mid-September triggered an additional flight to safety into U.S. Treasury ("Treasury") securities and a further decline in equity markets. Treasury yields fell across the maturity spectrum, with shorter-dated yields falling more than intermediate and long maturities, as the U.S. Federal Reserve ("the Fed") lowered the Fed Funds rate to near zero. Three-month T-bill yields fell roughly 170 basis points to 0.23% during the period, while ten-year Treasury yields fell roughly 75 basis points to 2.84%. While all non-Treasury sectors of the market underperformed, the most seriously impacted sectors were the non-agency mortgage-backed securities market and the commercial mortgage-backed securities market, which were hit particularly hard as residential and commercial property prices eroded and liquidity in the sectors suffered. The calamity in the markets inspired a series of policy initiatives designed to restore market confidence and liquidity and to stem the economic slide. The government's efforts, while inconsistent and confusing to the market, did serve to restore some modest improvement in market liquidity late in 2008 and early in 2009. This was evidenced by an increase in corporate bond issuance, a narrowing of yield spreads in the agency mortgage sector and a reduction in interbank lending rates. Analysis For the fiscal year ended January 31, 2009, the Intermediate-Duration Government Fund, Class A, returned 7.85% compared to 7.74% for the Merrill Lynch 3-5 Year U.S. Treasury Bond Index. Throughout the period, the Fund maintained a significant overweight to the agency mortgage-backed securities ("MBS") sector. This detracted from the return for the first nine months of the year, as the sector underper-formed with increasing concern over the financial stability of Fannie Mae and Freddie Mac. The sector began to stabilize upon the nationalization of both companies and improved dramatically late in the year when the Fed announced its intent to purchase $500 billion of agency MBS for its own balance sheet. The Fund increased its agency MBS exposure while reducing its Treasury holdings in the second half of the year, which contributed favorably to results as yield spreads narrowed in the sector. The Fund maintained a long interest rate position for most of the year, which added to return as interest rates fell. As we enter the new fiscal year, yield spreads in most non-Treasury sectors remain wide and volatility remains high. The Fund has retained its overweight to agency MBS, which is providing a significant yield advantage. The prospects for outperformance in this sector appear bright as the Fed's continued purchases should provide a favorable technical backdrop for the sector. The U.S. Treasury Department's SEI Daily Income Trust / Annual Report / January 31, 2009 3 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2009 Intermediate-Duration Government Fund(Concluded) need to issue record amounts of new Treasuries may create a glut of excess supply in this sector, enhancing the opportunity for performance in the non-Treasury sectors. Given the lack of economic momentum and inflationary pressure, the Fed is unlikely to change the Fed Funds rate from its historically low levels. The Fund is therefore positioned with a modestly long duration, which should also serve to enhance yield and provide a source of excess return should another flight to safety occur. Intermediate-Duration Government Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized One Year 3-Year 5-Year 10-Year Inception Return Return Return Return to Date -------- ---------- ---------- ---------- ---------- Intermediate-Duration Government Fund, Class A 7.85% 7.44% 4.98% 5.53% 6.55%
Comparison of Change in the Value of a $10,000 Investment in the Intermediate-Duration Government Fund, Class A, versus the Merrill Lynch 3-5 Year U.S. Treasury Bond Index. The chart assumes all dividends and capital gain distributions are reinvested. (PERFORMANCE GRAPH)
Intermediate- Merrill Lynch 3-5 Duration Year U.S. Government Treasury Bond Fund, Class A Index ------------- ----------------- 1/31/99 $10,000 $10,000 1/31/00 9,923 9,893 1/31/01 11,156 11,162 1/31/02 11,958 12,011 1/31/03 13,049 13,262 1/31/04 13,437 13,728 1/31/05 13,686 13,931 1/31/06 13,815 14,049 1/31/07 14,317 14,557 1/31/08 15,888 16,453 1/31/09 17,135 17,726
(1) For the period ended January 31, 2009. Past performance is not predictive of future performance. Class A shares were offered beginning 2/17/87. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. SEI Daily Income Trust / Annual Report / January 31, 2009 4 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2009 GNMA Fund Objectives The GNMA Fund (the "Fund") seeks to preserve principal value and maintain a high degree of liquidity while providing current income. The Fund invests primarily in mortgage-backed securities issued by the Government National Mortgage Association and backed by the full faith and credit of the U.S. Government. Strategy The Fund's investment strategy emphasizes the distribution of security coupon rates, the weighted average coupon rate, and the selection of appropriate underlying mortgage types. The selection of coupon rates affects the sensitivity of the Fund to changes in reinvestment risk associated with loan prepayment. The Fund will therefore tend to purchase somewhat lower coupons when interest rates are expected to fall, and somewhat higher coupons when interest rates are expected to be stable or rising. Market Overview The fixed income markets experienced perhaps their most turbulent year on record in 2008, as illiquidity and stress in the financial system created a dysfunctional bond market. Economic conditions continued to deteriorate as further declines in housing prices and equity markets eroded consumer confidence and brought retail spending to a near standstill. The year experienced such unthinkable events as the nationalization of Fannie Mae and Freddie Mac, the takeovers under duress of Bear Stearns, Merrill Lynch, Wachovia Bank, Washington Mutual and Countrywide Savings & Loan, the cataclysmic bankruptcy of Lehman Brothers, and the collapse of one of the nation's largest money market funds. The Lehman Brothers default in mid-September triggered an additional flight to safety into U.S. Treasury ("Treasury") securities and a further decline in equity markets. Treasury yields fell across the maturity spectrum, with shorter-dated yields falling more than intermediate and long maturities, as the U.S. Federal Reserve ("the Fed") lowered the Fed Funds rate to near zero. Three-month T-bill yields fell roughly 170 basis points to 0.23% during the period, while ten-year Treasury yields fell roughly 75 basis points to 2.84%. While all non-Treasury sectors of the market underperformed, the most seriously impacted sectors were the non-agency mortgage-backed securities ("MBS") market and the commercial mortgage-backed securities market, which were hit particularly hard as residential and commercial property prices eroded and liquidity in the sectors suffered. The calamity in the markets inspired a series of policy initiatives designed to restore market confidence and liquidity and to stem the economic slide. The government's efforts, while inconsistent and confusing to the market, did serve to restore some modest improvement in market liquidity late in 2008 and early in 2009. This was evidenced by an increase in corporate bond issuance, a narrowing of yield spreads in the agency mortgage sector and a reduction in interbank lending rates. Analysis For the fiscal year ended January 31, 2009, the GNMA Fund, Class A, returned 6.51% compared to 5.93% for the Citigroup 30-Year GNMA Index. Throughout the year, the Fund maintained its large allocation to GNMA pass-through securities. The Fund added value by allocating to conventional Fannie Mae and Freddie Mac MBS securities as this represented better relative value and added to performance following the nationalization of these companies at mid-year. The Fund's coupon and security selection also benefitted performance as it took advantage of changing prepayment expectations and optimized the convexity characteristic of the Fund. The Fund maintained a modestly long interest rate position for most of the year, given the expectation of a steeper yield curve and weakening economy. This added to return as interest rates fell. Going forward the Fund will continue to favor conventional mortgages over GNMA pass-through securities as net supply is expected to increase. In addition, relative valuations are better among conventional MBS, such as specific collateralized mortgage obligations, whose cash flows are more stable and less susceptible to prepayment risk. SEI Daily Income Trust / Annual Report / January 31, 2009 5 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2009 GNMA Fund (Concluded) GNMA Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized One Year 3-Year 5-Year 10-Year Inception Return Return Return Return to Date -------- ---------- ---------- ---------- ---------- GNMA Fund, Class A 6.51% 6.14% 4.92% 5.34% 6.78%
Comparison of Change in the Value of a $10,000 Investment in the GNMA Fund, Class A, versus the Citigroup 30-Year GNMA Index. The chart assumes all dividends and capital gain distributions are reinvested. (PERFORMANCE GRAPH)
Citigroup 30-Year GNMA Fund, GNMA Class A Index ---------- ---------------- 1/31/99 $10,000 $10,000 1/31/00 9,882 10,049 1/31/01 11,211 11,449 1/31/02 12,020 12,327 1/31/03 12,948 13,298 1/31/04 13,228 13,712 1/31/05 13,710 14,291 1/31/06 14,066 14,725 1/31/07 14,579 15,311 1/31/08 15,790 16,662 1/31/09 16,818 17,649
(1) For the period ended January 31, 2009. Past performance is not predictive of future performance. Class A shares were offered beginning 3/20/87. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. SEI Daily Income Trust / Annual Report / January 31, 2009 6 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2009 Ultra Short Bond Fund Objectives The Ultra Short Bond Fund (the "Fund") seeks to provide a higher current income than typically offered by a money market fund while maintaining a high degree of liquidity and minimal principal volatility. The Fund invests in U.S. Treasury and U.S. Agency securities, short average life mortgage-backed securities, and short-term investment grade securities of U.S. issuers. The duration of the Fund will range between six and eighteen months. Strategy The Fund seeks to provide a return in excess of the Lehman 9-12 Month U.S. Treasury Index and to manage risk through the adviser's use of sector strategies, security selection and duration management. In determining the average maturity and duration position of the Fund, the adviser considers the shape of the yield curve, the extent of yield changes and the period of time over which rates are likely to rise, fall or remain stable. Investment in short average life mortgage-backed issues and short-term investment grade securities is emphasized when relative spreads are attractive and incremental yields serve to enhance total return. Market Overview The fixed income markets experienced perhaps their most turbulent year on record in 2008, as illiquidity and stress in the financial system created a dysfunctional bond market. Economic conditions continued to deteriorate as further declines in housing prices and equity markets eroded consumer confidence and brought retail spending to a near standstill. The year experienced such unthinkable events as the nationalization of Fannie Mae and Freddie Mac, the takeovers under duress of Bear Stearns, Merrill Lynch, Wachovia Bank, Washington Mutual and Countrywide Savings & Loan, the cataclysmic bankruptcy of Lehman Brothers, and the collapse of one of the nation's largest money market funds. The Lehman Brothers default in mid-September triggered an additional flight to safety into U.S. Treasury ("Treasury") securities and a further decline in equity markets. Treasury yields fell across the maturity spectrum, with shorter-dated yields falling more than intermediate and long maturities, as the U.S. Federal Reserve ("the Fed") lowered the Fed Funds rate to near zero. Three-month T-bill yields fell roughly 170 basis points to 0.23% during the period, while ten-year Treasury yields fell roughly 75 basis points to 2.84%. While all non-Treasury sectors of the market underperformed, the most seriously impacted sectors were the non-agency mortgage-backed securities market and the commercial mortgage-backed securities market, which were hit particularly hard as residential and commercial property prices eroded and liquidity in the sectors suffered. The calamity in the markets inspired a series of policy initiatives designed to restore market confidence and liquidity and to stem the economic slide. The government's efforts, while inconsistent and confusing to the market, did serve to restore some modest improvement in market liquidity late in 2008 and early in 2009. This was evidenced by an increase in corporate bond issuance, a narrowing of yield spreads in the agency mortgage sector and a reduction in interbank lending rates. Analysis For the fiscal year ended January 31, 2009, the Ultra Short Bond Fund, Class A, returned (9.00)% compared to 3.40% for the Barclays 9-12 Month Treasury Index ("Index") (formerly, Lehman Brothers 9-12 Month Treasury Index). Due to the huge flight to safety, investors shied away from any investment other than Treasury securities, causing all spread sectors to underperform. The Fund's allocation to the non-Treasury sectors (the Index is composed of 100% Treasuries), especially U.S. agency and non-agency hybrid mortgages, commercial mortgage-backed securities, corporate debt, and asset-backed securities, detracted from relative performance. The Fund's heavy exposure to non-agency mortgage-backed securities was the largest detractor from performance. Continued weakness in the housing sector weighed on the performance of these securities. The Fund maintained a modestly long duration position for most of the year, which added to relative performance as interest rates fell. SEI Daily Income Trust / Annual Report / January 31, 2009 7 MANAGEMENT'S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE SEI DAILY INCOME TRUST -- JANUARY 31, 2009 Ultra Short Bond Fund (Concluded) As we enter the new fiscal year, yield spreads in most non-Treasury sectors remain wide and volatility remains high. The Fund has retained its overweight to spread sectors, which is providing a significant yield advantage. The Fund has added significantly to its corporate exposure in recent months by buying Federal Deposit Insurance Corporation ("FDIC")-backed financial obligations. These securities offer FDIC backing at very attractive yield levels. The U.S. Treasury Department's need to issue record amounts of new Treasuries may create a glut of supply in this sector, enhancing the opportunity for performance in the non-Treasury sectors. Given the lack of economic momentum and inflationary pressure, the Fed is unlikely to raise the Fed Funds rate from its historically low levels. The Fund is therefore positioned with a modestly long duration, which should also serve to enhance yield and provide a source of excess return should another flight to safety occur. Ultra Short Bond Fund AVERAGE ANNUAL TOTAL RETURN(1)
Annualized Annualized Annualized Annualized One Year 3-Year 5-Year 10-Year Inception Return Return Return Return to Date -------- ---------- ---------- ---------- ---------- Ultra Short Bond Fund, Class A (9.00)% (0.87)% 0.27% 2.42% 3.49%
Comparison of Change in the Value of a $10,000 Investment in the Ultra Short Bond Fund, Class A, versus the Barclays 9-12 Month Treasury Index+. The chart assumes all dividends and capital gain distributions are reinvested. (PERFORMANCE GRAPH)
Barclays 9-12 Ultra Short Bond Month Treasury Fund, Class A Index+ ---------------- -------------- 1/31/99 $10,000 $10,000 1/31/00 10,377 10,436 1/31/01 11,253 11,224 1/31/02 11,938 11,844 1/31/03 12,338 12,193 1/31/04 12,537 12,373 1/31/05 12,677 12,486 1/31/06 13,044 12,818 1/31/07 13,681 13,396 1/31/08 13,963 14,302 1/31/09 12,706 14,788
(1)For the period ended January 31, 2009. Past performance is no indication of future performance. Class A shares were offered beginning 9/28/93. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. +Formerly, Lehman Brothers 9-12 Month Treasury Index. SEI Daily Income Trust / Annual Report / January 31, 2009 8 DEFINITION OF THE COMPARATIVE INDICES* CITIGROUP 30-YEAR GNMA INDEX is a widely-recognized, market weighted index of GNMA mortgage-backed securities with remaining maturities of 30 years or less. BARCLAYS 9-12 MONTH TREASURY INDEX+ is a widely-recognized, market weighted index of U.S. Treasury Bonds with remaining maturities between nine and twelve months. MERRILL LYNCH 1-3 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market weighted index of U.S. Treasury Bonds with maturities between one and three years. MERRILL LYNCH 3-5 YEAR U.S. TREASURY BOND INDEX is a widely-recognized, market weighted index of U.S. Treasury Bonds with maturities between three and five years. *An index measures the market price of a specific group of securities in a particular market or securities in a market sector. You cannot invest directly in an index. An index does not have an investment adviser and does not pay any commissions or expenses. If an index had expenses, its performance would be lower. +Formerly, Lehman Brothers 9-12 Month Treasury Index. SEI Daily Income Trust / Annual Report / January 31, 2009 9 SCHEDULE OF INVESTMENTS Money Market Fund January 31, 2009 SECTOR WEIGHTINGS (UNAUDITED)+: (BAR CHART) Commercial Paper 50.8% Certificates of Deposit 34.3% Repurchase Agreement 14.2% U.S. Government Agency Obligations 0.7%
+Percentages are based on total investments.
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- COMMERCIAL PAPER (A) (B) -- 51.0% Barton Capital (E) 0.470%, 04/06/09 $ 11,000 $ 10,991 Cancara Asset Securitisation LLC (E) 0.651%, 03/18/09 25,000 24,980 0.751%, 04/16/09 6,000 5,991 CBA Delaware Finance 2.030%, 03/05/09 10,000 9,982 Chariot Funding LLC (E) 0.400%, 03/16/09 10,000 9,995 Danske (E) 2.091%, 02/17/09 5,000 4,995 Edison Asset Securitization LLC (E) 0.571%, 05/01/09 19,000 18,973 Fairway Finance LLC (E) 0.430%, 03/11/09 15,938 15,931 Falcon Asset Securitization LLC (E) 1.405%, 02/11/09 5,000 4,998 Gemini Securitization LLC (E) 2.010%, 02/11/09 33,000 32,982 General Electric Capital 1.758%, 02/17/09 35,000 34,973 Gotham Funding (E) 1.102%, 02/10/09 10,000 9,997 National Australia Funding Delaware 1.859%, 02/24/09 20,000 19,976 Nordea North America 2.162%, 02/25/09 6,000 5,991 2.111%, 03/05/09 10,000 9,981 Old Line Funding LLC (E) 1.506%, 02/12/09 32,000 31,985 Park Avenue Receivables (E) 1.405%, 02/17/09 to 02/20/09 17,000 16,989 Sheffield Receivables (E) 1.606%, 02/11/09 17,000 16,992 0.300%, 02/17/09 4,000 4,000 Thames Asset Global Securitization (E) 0.802%, 03/16/09 28,000 27,973 Victory Receivables (E) 0.450%, 04/07/09 3,000 2,998 Westpac Banking (E) 0.501%, 04/14/09 30,000 29,970 ------------- Total Commercial Paper (Cost $351,643) ($ Thousands) 351,643 -------------
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- CERTIFICATES OF DEPOSIT -- 34.6% Allied Irish Banks 2.410%, 02/05/09 $ 2,000 $ 2,000 1.860%, 03/16/09 3,000 3,000 Australia & New Zealand Banking Group 0.650%, 04/16/09 10,000 10,000 Banco Bilbao Vizcaya Argentina 2.230%, 02/12/09 30,000 30,000 Banco Santander 2.500%, 03/09/09 20,000 20,000 Bank of Ireland 2.380%, 02/06/09 7,000 7,000 2.240%, 03/05/09 15,000 15,000 Bank of Nova Scotia 0.450%, 03/20/09 20,000 20,000 Bank of Tokyo-Mitsubishi 1.050%, 05/05/09 17,000 17,000 1.050%, 05/05/09 4,000 4,000 Barclays Bank PLC 2.100%, 03/05/09 30,000 30,000 BNP Paribas 1.830%, 03/10/09 23,000 23,000 Chase Bank 1.750%, 02/17/09 10,000 10,000 National Australia Bank 0.650%, 04/21/09 10,000 10,000 Societe Generale 2.050%, 02/02/09 7,000 7,000 2.050%, 03/10/09 15,000 15,000 Toronto Dominion Bank 2.000%, 04/07/09 15,000 15,000 ------------- Total Certificates of Deposit (Cost $238,000) ($ Thousands) 238,000 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS (C) -- 0.7% FHLB DN 0.451%, 07/13/09 2,000 1,996 FNMA DN 0.411%, 07/08/09 2,000 1,997 0.371%, 07/15/09 1,000 998 ------------- Total U.S. Government Agency Obligations (Cost $4,991) ($ Thousands) 4,991 -------------
SEI Daily Income Trust / Annual Report / January 31, 2009 10
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- REPURCHASE AGREEMENT (D) -- 14.3% Barclays 0.270%, dated 01/30/09, to be repurchased on 02/02/09, repurchase price $98,312,212 (collateralized by a U.S. Treasury Note, par value $89,728,700, 4.625%, 02/29/12, with a total market value $100,276,299) $ 98,310 $ 98,310 ------------- Total Repurchase Agreement (Cost $98,310) ($ Thousands) 98,310 ------------- Total Investments -- 100.6% (Cost $692,944) ($ Thousands) $ 692,944 =============
Percentages are based on Net Assets of $689,141 ($ Thousands). (A) Securities are held in connection with a letter of credit issued by a major bank. (B) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date. (C) The rate reported is the effective yield at time of purchase. (D) Tri-Party Repurchase Agreement (E) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." DN -- Discount Note FHLB -- Federal Home Loan Bank FNMA -- Federal National Mortgage Association LLC -- Limited Liability Company PLC -- Public Limited Company The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 11 SCHEDULE OF INVESTMENTS Government Fund January 31, 2009 SECTOR WEIGHTINGS (UNAUDITED)+: (BAR CHART) Repurchase Agreement 85.6% U.S. Government Agency Obligations 14.4%
+Percentages are based on total investments.
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 88.4% FFCB (A) 0.296%, 09/03/09 $ 55,000 $ 55,001 FFCB, Ser 1 (A) 0.231%, 02/23/09 13,000 13,000 FHLB 2.170%, 02/11/09 (A) 45,000 45,001 2.116%, 02/18/09 (A) 110,000 110,001 2.013%, 02/23/09 (A) 20,000 20,000 2.077%, 03/02/09 (A) 50,000 50,000 2.070%, 03/04/09 (A) 30,000 30,003 2.830%, 03/23/09 10,000 10,000 1.241%, 04/07/09 (A) 50,000 50,000 0.994%, 04/30/09 (A) 50,000 49,999 2.625%, 05/05/09 15,180 15,180 2.038%, 05/20/09 (A) 10,000 10,000 2.719%, 08/05/09 (A) 25,000 25,000 FHLB, Ser 3 2.400%, 04/21/09 16,000 15,999 FHLB DN (B) 0.080%, 02/05/09 50,000 50,000 2.622%, 02/17/09 50,000 49,942 0.429%, 02/23/09 70,000 69,982 3.043%, 03/11/09 17,147 17,093 0.310%, 03/27/09 50,000 49,977 0.350%, 04/13/09 50,000 49,965 0.230%, 04/20/09 40,000 39,980 0.390%, 05/13/09 40,000 39,956 0.572%, 07/20/09 50,000 49,866 FHLB, Ser 1 (A) 1.385%, 10/05/09 30,000 30,000 FHLB, Ser 2 (A) 1.466%, 03/27/09 21,000 21,000 FHLMC (A) 0.346%, 10/08/09 80,000 79,994 FHLMC DN (B) 0.902%, 02/09/09 23,050 23,045 1.059%, 02/17/09 55,492 55,466 0.651%, 02/19/09 17,600 17,594 2.624%, 03/02/09 25,000 24,948 1.154%, 03/13/09 6,487 6,479 1.155%, 03/24/09 10,000 9,984 0.250%, 04/06/09 50,000 49,978 0.200%, 04/13/09 50,000 49,980 1.004%, 04/15/09 50,000 49,899 0.360%, 04/20/09 50,000 49,961 0.340%, 04/22/09 34,230 34,204 0.310%, 05/22/09 50,000 49,953
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- 0.474%, 06/25/09 $ 76,870 $ 76,724 0.381%, 07/13/09 50,000 49,914 FHLMC, Ser 1 (A) 0.339%, 09/28/09 30,000 29,994 FHLMC, Ser 2 MTN (A) 0.335%, 09/21/09 20,000 20,009 FNMA (A) 1.024%, 07/28/09 75,000 74,989 1.082%, 01/21/10 35,000 35,000 FNMA DN (B) 1.052%, 02/02/09 25,000 24,999 1.058%, 02/03/09 9,400 9,400 0.852%, 02/17/09 50,000 49,981 0.701%, 02/25/09 3,536 3,534 0.200%, 03/04/09 13,422 13,420 1.003%, 03/16/09 50,000 49,940 0.290%, 03/23/09 50,000 49,980 0.520%, 04/01/09 70,000 69,941 0.250%, 05/18/09 50,000 49,963 ------------- Total U.S. Government Agency Obligations (Cost $2,076,218) ($ Thousands) 2,076,218 ------------- REPURCHASE AGREEMENT (C) -- 14.8% Deutsche Bank 0.270%, dated 01/30/09, to be repurchased on 02/02/09, repurchase price $348,341,838 (collateralized by various FHLB/FHLMC/FNMA obligations, ranging in par value $2,000,000-$50,000,000, 2.375%-6.750%, 03/11/09-06/05/36 with total market value $355,300,714) 348,334 348,334 ------------- Total Repurchase Agreement (Cost $348,334) ($ Thousands) 348,334 ------------- Total Investments -- 103.2% (Cost $2,424,552) ($ Thousands) $ 2,424,552 =============
Percentages are based on Net Assets of $2,348,615 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date. (B) The rate reported is the effective yield at time of purchase. (C) Tri-Party Repurchase Agreement DN -- Discount Note FFCB -- Federal Farm Credit Bank FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association MTN -- Medium Term Note Ser -- Series The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 12 Government II Fund January 31, 2009 SECTOR WEIGHTINGS (UNAUDITED)+: (BAR CHART) U.S. Government Agency Obligations 100.0%
+Percentages are based on total investments.
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 99.9% FFCB (A) 0.960%, 02/11/09 $ 25,000 $ 25,000 0.606%, 02/11/10 500 500 FHLB 2.760%, 02/11/09 20,000 20,001 2.850%, 03/04/09 20,000 19,999 2.830%, 03/23/09 20,000 20,000 3.580%, 03/30/09 14,375 14,450 3.240%, 04/03/09 20,000 20,097 2.520%, 05/28/09 20,000 20,139 FHLB (A) 2.170%, 02/11/09 10,000 10,000 2.116%, 02/18/09 50,000 50,000 2.070%, 03/04/09 23,000 23,021 2.038%, 05/20/09 5,000 5,000 1.991%, 05/27/09 10,000 10,001 1.251%, 07/07/09 25,000 25,000 1.179%, 07/10/09 25,000 24,999 2.366%, 08/07/09 25,000 25,001 0.329%, 12/28/09 35,000 34,986 1.194%, 01/11/10 10,000 10,007 FHLB, Ser 1 (A) 1.993%, 06/01/09 10,000 10,001 2.719%, 08/05/09 125,000 125,000 1.385%, 10/05/09 40,000 40,000 FHLB, Ser 2 (A) 1.466%, 03/27/09 20,000 20,000 0.380%, 09/04/09 30,000 30,000 FHLB, Ser 3 2.400%, 04/21/09 16,000 15,999 FHLB DN (B) 0.257%, 02/02/09 228,374 228,372 0.120%, 02/03/09 65,000 65,000 0.150%, 02/04/09 80,000 79,999 0.080%, 02/05/09 25,000 25,000 0.090%, 02/06/09 25,000 25,000 0.140%, 02/09/09 82,730 82,727 0.551%, 02/12/09 40,000 39,993 0.163%, 02/18/09 118,700 118,691 0.205%, 02/20/09 15,310 15,308 0.581%, 02/25/09 20,000 19,992 1.504%, 03/06/09 50,000 49,931 0.200%, 03/09/09 to 04/07/09 140,641 140,604 0.160%, 03/11/09 40,000 39,993 0.508%, 03/13/09 70,000 69,961 0.150%, 03/18/09 46,215 46,206 0.170%, 03/20/09 50,000 49,989 0.189%, 03/24/09 70,000 69,981 1.369%, 03/25/09 65,000 64,872
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- 0.310%, 03/27/09 $ 16,000 $ 15,993 0.250%, 03/31/09 to 04/16/09 40,000 39,982 0.230%, 04/13/09 60,000 59,973 1.105%, 04/14/09 9,075 9,055 0.565%, 04/22/09 127,000 126,903 0.380%, 04/28/09 50,000 49,955 0.350%, 04/29/09 50,000 49,958 0.682%, 05/18/09 30,000 29,940 0.371%, 06/22/09 10,000 9,985 0.451%, 07/13/09 50,000 49,899 0.572%, 07/20/09 50,000 49,866 ------------- Total U.S. Government Agency Obligations (Cost $2,322,329) ($ Thousands) 2,322,329 ------------- Total Investments -- 99.9% (Cost $2,322,329) ($ Thousands) $ 2,322,329 =============
Percentages are based on Net Assets of $2,324,029 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date. (B) The rate reported is the effective yield at time of purchase. DN -- Discount Note FFCB -- Federal Farm Credit Bank FHLB -- Federal Home Loan Bank Ser -- Series The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 13 SCHEDULE OF INVESTMENTS Prime Obligation Fund January 31, 2009 SECTOR WEIGHTINGS (UNAUDITED)+: (BAR CHART) Commercial Paper 50.3% U.S. Government Agency Obligations 23.2% Repurchase Agreements 11.3% Certificates of Deposit 9.7% Capital Support Agreement 3.2% Corporate Obligations 2.3%
+Percentages are based on total investments.
Face Amount Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- COMMERCIAL PAPER (A) (L) -- 50.3% Barton Capital (C) 0.350%, 02/03/09 $ 51,543 $ 51,542 1.525%, 02/24/09 80,000 79,922 0.300%, 03/11/09 51,000 50,984 0.340%, 04/03/09 39,000 38,977 Cancara Asset Securitisation LLC (C) 2.668%, 02/05/09 200,000 199,941 0.651%, 03/18/09 53,000 52,957 Citigroup Funding 0.200%, 02/13/09 40,000 39,997 Edison Asset Securitization LLC (C) 2.182%, 02/04/09 100,000 99,982 Fairway Finance LLC (C) 1.454%, 02/06/09 59,000 58,988 1.202%, 02/10/09 55,000 54,983 1.707%, 02/12/09 15,000 14,992 0.350%, 03/12/09 109,000 108,959 Falcon Asset Securitization LLC (C) 1.405%, 02/11/09 60,000 59,977 Gemini Securitization LLC (C) 2.263%, 02/05/09 130,000 129,967 2.010%, 02/11/09 to 02/12/09 101,000 100,941 General Electric Capital 1.758%, 02/17/09 40,000 39,969 1.657%, 02/24/09 100,000 99,895 1.356%, 04/06/09 115,000 114,724 Gotham Funding (C) 1.102%, 02/10/09 23,000 22,994 1.253%, 02/12/09 to 02/17/09 52,641 52,616 1.254%, 03/09/09 147,250 147,066 1.556%, 03/12/09 37,000 36,938 Old Line Funding LLC (C) 1.506%, 02/12/09 to 02/13/09 153,000 152,927 0.300%, 02/20/09 50,000 49,992 Park Avenue Receivables (C) 1.405%, 02/17/09 114,000 113,929 1.053%, 03/09/09 77,000 76,919 PNC Funding 3.029%, 03/12/09 21,700 21,629 Sheffield Receivables (C) 1.606%, 02/11/09 100,000 99,956 Thames Asset Global Securitization (C) 0.601%, 02/25/09 20,800 20,792 0.701%, 03/18/09 38,000 37,967
Face Amount Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- Coca-Cola 0.200%, 02/23/09 $ 28,185 $ 28,182 0.250%, 03/10/09 116,000 115,970 ------------- Total Commercial Paper (Cost $2,375,574) ($ Thousands) 2,375,574 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 23.2% FHLB 2.620%, 04/28/09 80,000 80,429 FHLB DN (B) 0.220%, 04/20/09 93,000 92,955 0.320%, 04/21/09 100,000 99,930 0.370%, 05/20/09 35,200 35,161 0.521%, 06/15/09 64,150 64,026 FHLMC 5.250%, 05/21/09 9,000 9,133 FHLMC DN (B) 0.328%, 04/01/09 50,000 49,973 1.176%, 04/21/09 50,000 49,872 1.156%, 05/06/09 76,500 76,270 0.310%, 05/22/09 to 06/24/09 268,000 267,697 FNMA DN (B) 1.150%, 02/03/09 157,000 156,999 0.370%, 05/20/09 9,000 8,990 0.542%, 06/22/09 13,000 12,972 0.411%, 07/08/09 93,000 92,834 ------------- Total U.S. Government Agency Obligations (Cost $1,097,241) ($ Thousands) 1,097,241 ------------- CERTIFICATES OF DEPOSIT -- 9.7% Branch Banking & Trust 3.130%, 02/20/09 19,000 19,019 Chase Bank USA 1.750%, 02/17/09 40,000 40,000 1.750%, 02/18/09 50,000 50,000 0.250%, 02/27/09 100,000 100,000 Union Bank 2.350%, 02/04/09 67,000 67,000 US Bank 0.450%, 04/21/09 54,000 54,000 0.500%, 05/21/09 127,000 127,000 ------------- Total Certificates of Deposit (Cost $457,019) ($ Thousands) 457,019 ------------- CAPITAL SUPPORT AGREEMENT (F) -- 3.2% SEI Capital Support Agreement 150,858 150,858 ------------- Total Capital Support Agreement (Cost $0) ($ Thousands) 150,858 -------------
SEI Daily Income Trust / Annual Report / January 31, 2009 14
Face Amount Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- CORPORATE OBLIGATIONS -- 2.3% Cheyne Finance LLC MTN* (C) (D) (E) (F) (H) (I) 2.063%, 10/25/07 $ 40,762 $ -- 2.065%, 01/25/08 101,894 -- 2.075%, 03/25/08 62,896 -- Gryphon Funding (E) (F) (G) (H) (I) (K) 1.477%, 10/07/14 189,916 68,369 Stanfield Victoria Funding LLC MTN (C) (F) (H) (I) (J) (K) 1.070%, 03/14/10 66,618 37,306 Wachovia Bank 1.537%, 03/23/09 (L) 2,250 2,252 ------------- Total Corporate Obligations (Cost $200,421) ($ Thousands) 107,927 ------------- REPURCHASE AGREEMENTS (M) -- 11.3% Barclays Capital 0.270%, dated 01/30/09, to be repurchased on 02/02/09, repurchase price $300,858,769 (collateralized by a U.S. Treasury Note, par value $221,362,000, 7.125%, 02/15/23, with a total market value $306,869,088) 300,852 300,852 Deutsche Bank 0.270%, dated 01/30/09, to be repurchased on 02/02/09, repurchase price $235,251,293 (collateralized by various U.S. Government obligations, ranging in par value $1,000,000- $50,000,000, 0.000%-8.750%, 04/15/09-02/13/23, with a total market value $239,951,006) 235,246 235,246 ------------- Total Repurchase Agreements (Cost $536,098) ($ Thousands) 536,098 ------------- Total Investments -- 100.0% (Cost $4,666,353) ($ Thousands) $ 4,724,717 =============
Percentages are based on Net Assets of $4,726,036 ($ Thousands). Description - ------------------------------------------------ * Non-income producing security. (A) Securities are held in connection with a letter of credit issued by a major bank. (B) The rate reported is the effective yield at time of purchase. (C) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." (D) On October 17, 2007, due to deterioration in the market value of the assets of Cheyne Finance LLC ("Cheyne"), provisions in the organizational documents of Cheyne were triggered that caused the notes issued by Cheyne to become immediately due and payable. Since no payments have been received, the Cheyne notes are in default. (E) Cheyne Finance LLC ("Cheyne") was a structured investment vehicle that defaulted on its notes in October, 2007. Receivers were appointed with the responsibility to liquidate the assets of the structure and deliver the proceeds to the noteholders. As an alternative to accepting the proceeds from the auction of the underlying collateral, senior noteholders of Cheyne, including the Fund, were given the opportunity to exchange all of their existing senior notes for certain notes issued by a newly formed entity, Gryphon Funding Limited ("Gryphon"). The Fund elected to exchange its Cheyne senior notes for Gryphon notes. As part of the restructuring transaction, Gryphon, in its capacity as the holder of the senior notes in Cheyne following its formation, was deemed to receive a cash distribution from Cheyne following the auction. Gryphon then used this cash to purchase from a third party a significant portion of the assets formerly held by Cheyne. Following this transaction, Gryphon distributed the senior notes in Cheyne back to the original senior noteholders, which included the Fund. The Cheyne entity continues to exist following the restructuring, holding a small residual amount of cash to satisfy known and unknown liabilities. As a result, the Fund continues to hold its original senior notes in Cheyne as well as the newly issued Gryphon notes. This restructuring transaction was effected during July 2008. (F) The Fund has entered into a Capital Support Agreement ("agreement") with SEI Investments Company ("SEI") which provides that SEI will contribute capital to the Fund, up to a specified maximum amount, in the event that the Fund realizes a loss on any of these securities. As of January 31, 2009, the fair value of the agreement was $150,858. (G) Notes issued by Gryphon Funding LLC were received by the Fund in connection with a restructuring of Cheyne Finance LLC (Cheyne) on July 23, 2008. As of the time of this filing, the amortized cost did not approximate fair value. (H) Securities considered illiquid. The total value of such securities as of January 31, 2009 was $105,675 ($ Thousands) and represented 2.24% of Net Assets. (I) Securities considered restricted. The total value of such securities as of January 31, 2009 was $105,675 ($ Thousands) and represented 2.24% of Net Assets. (J) On January 18, 2008, due to deterioration in the market value of the assets of Stanfield Victoria Finance, LLC ("Victoria"), provisions in the organizational documents of Victoria were triggered that caused the notes issued by Victoria to become immediately due and payable. Since no payments have been received, the Victoria notes are in default. Since that time, this security's valuation has been determined in accordance with fair value for purposes of calculating the Fund's "mark-to-market" net asset value. As of the time of this filing, the amortized cost did not approximate fair value. (K) The value shown is the fair value as of January 31, 2009. Please refer to Note 10 for the amortized cost value as of January 31, 2009. (L) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date. (M) Tri-Party Repurchase Agreement DN -- Discount Note FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association LLC -- Limited Liability Company MTN -- Medium Term Note Amounts designated as "--" are $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 15 SCHEDULE OF INVESTMENTS Treasury Fund January 31, 2009 SECTOR WEIGHTINGS (UNAUDITED)+: (BAR CHART) Repurchase Agreements 73.2% U.S. Treasury Obligations 26.8%
+Percentages are based on total investments.
Face Amount Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- U.S. TREASURY OBLIGATIONS (A) -- 26.8% U.S. Cash Management Bills 1.239%, 04/29/09 $ 50,000 $ 49,851 0.306%, 09/15/09 50,000 49,904 U.S. Treasury Bills 0.190%, 04/09/09 50,000 49,982 1.148%, 07/02/09 50,000 49,761 0.625%, 07/30/09 120,000 119,629 0.376%, 10/22/09 40,000 39,891 ------------- Total U.S. Treasury Obligations (Cost $359,018) ($ Thousands) 359,018 ------------- REPURCHASE AGREEMENTS (B) -- 73.2% Barclays Capital 0.110%, dated 01/09/09, to be repurchased on 02/09/09, repurchase price $15,001,421 (collateralized by a U.S. Treasury Obligation, par value $24,780,940, 0.000%, 02/15/21, with total market value $15,300,000) 15,000 15,000 Barclays Capital 0.130%, dated 01/08/09, to be repurchased on 03/09/09, repurchase price $15,003,250 (collateralized by a U.S. Treasury Obligation, par value $10,046,400, 3.625%, 04/15/28, with total market value $15,300,111) 15,000 15,000 Barclays Capital 0.150%, dated 01/20/09, to be repurchased on 04/08/09, repurchase price $40,013,000 (collateralized by a U.S. Treasury Obligation, par value $51,425,547, 0.00%, 02/15/16, with total market value $40,800,000) 40,000 40,000 BNP Paribas 0.260%, dated 01/30/09, to be repurchased on 02/02/09, repurchase price $340,007,367 (collateralized by various U.S. Treasury Obligations, ranging in par value $172,032,300- $179,930,700, 1.750%-2.500%, 07/15/16-01/15/28, with total market value $346,800,041) 340,000 340,000
Face Amount Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- Deutsche Bank 0.250%, dated 01/30/09, to be repurchased on 02/02/09, repurchase price $230,697,806 (collateralized by a U.S. Treasury Obligation, par value $231,680,900, 1.500%, 10/31/10, with total market value $235,306,872) $ 230,693 $ 230,693 JPMorgan Chase 0.240%, dated 01/30/09, to be repurchased on 02/02/09, repurchase price $340,006,800 (collateralized by a U.S. Treasury Obligation, par value $338,400,000, 2.125%, 04/30/10, with total market value $346,803,112) 340,000 340,000 ------------- Total Repurchase Agreements (Cost $980,693) ($ Thousands) 980,693 ------------- Total Investments -- 100.0% (Cost $1,339,711) ($ Thousands) $ 1,339,711 =============
Percentages are based on Net Assets of $1,339,682 ($ Thousands). (A) The rate reported is the effective yield at time of purchase. (B) Tri-Party Repurchase Agreement The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 16 Treasury II Fund January 31, 2009 SECTOR WEIGHTINGS (UNAUDITED)+: (BAR CHART) U.S. Treasury Obligations 100.0%
+Percentages are based on total investments.
Face Amount Value Description ($ Thousands) ($ Thousands) - ------------------------------------------------ ------------- ------------- U.S. TREASURY OBLIGATIONS (A) -- 100.0% U.S. Cash Management Bills 0.387%, 04/29/09 $ 52,718 $ 52,669 0.451%, 05/15/09 10,000 9,987 0.607%, 06/24/09 20,000 19,952 U.S. Treasury Bills 0.021%, 02/05/09 168,953 168,953 0.016%, 02/12/09 125,000 124,999 0.220%, 02/19/09 95,000 94,990 0.124%, 02/26/09 115,290 115,280 0.065%, 03/05/09 25,000 24,999 0.078%, 03/12/09 90,217 90,209 1.055%, 03/19/09 24,694 24,661 0.049%, 04/02/09 152,914 152,901 0.141%, 04/09/09 63,000 62,984 0.280%, 04/23/09 50,000 49,968 0.300%, 04/30/09 13,000 12,990 0.341%, 05/07/09 20,000 19,982 0.451%, 05/14/09 20,000 19,974 0.562%, 06/04/09 20,000 19,962 ------------- Total U.S. Treasury Obligations (Cost $1,065,460) ($ Thousands) 1,065,460 ------------- Total Investments -- 100.0% (Cost $1,065,460) ($ Thousands) $ 1,065,460 =============
Percentages are based on Net Assets of $1,065,415 ($ Thousands). (A) The rate reported is the effective yield at time of purchase. The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 17 SCHEDULE OF INVESTMENTS Short-Duration Government Fund January 31, 2009 SECTOR WEIGHTINGS (UNAUDITED)+: (BAR CHART) Mortgage-Backed Securities 77.8% U.S. Government Agency Obligations 20.9% Repurchase Agreement 1.3%
+Percentages are based on total investments.
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- MORTGAGE-BACKED SECURITIES -- 77.0% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 77.0% FHLMC 6.000%, 06/01/21 $ 1,971 $ 2,053 5.310%, 06/01/24 (A) 63 63 5.277%, 06/01/24 (A) 140 141 5.250%, 09/01/20 (A) 11 11 5.196%, 12/01/23 (A) 2,995 2,957 5.195%, 07/01/24 (A) 25 25 5.178%, 07/01/20 to 04/01/22 (A) 116 116 5.158%, 06/01/17 (A) 43 43 5.125%, 09/01/18 (A) 9 9 5.000%, 02/01/17 to 11/01/35 (A) 4,791 4,873 4.946%, 03/01/19 (A) 25 25 4.889%, 04/01/29 (A) 138 137 4.875%, 07/01/18 (A) 15 15 4.785%, 12/01/23 (A) 187 188 4.750%, 06/01/18 to 07/01/18 (A) 38 37 4.602%, 05/01/24 (A) 80 80 4.586%, 04/01/29 (A) 65 64 4.500%, 04/01/16 to 02/01/39 (A) 40,872 41,102 4.458%, 03/01/19 (A) 37 38 4.375%, 06/01/16 to 07/01/16 (A) 15 16 4.306%, 05/01/19 (A) 40 40 4.250%, 02/01/16 to 11/01/20 (A) 16 16 4.163%, 02/01/19 (A) 45 45 4.125%, 11/01/18 (A) 10 10 4.000%, 01/01/18 (A) 39 39 3.935%, 04/01/19 (A) 24 24 3.750%, 12/01/16 (A) 4 4 3.500%, 01/01/17 (A) 8 8 3.250%, 01/01/17 (A) 6 6 FHLMC REMIC, Cl PE 5.000%, 03/15/34 4,000 4,079 FHLMC REMIC, Cl DG 4.500%, 04/15/17 795 809 FHLMC REMIC, Cl MB 5.000%, 12/15/28 1,500 1,545 FHLMC REMIC, Cl MA 5.500%, 11/15/29 3,243 3,271 FHLMC REMIC, Ser 2004-2780, Cl LC 5.000%, 07/15/27 2,000 2,042 FHLMC REMIC, Ser 2004-2826, Cl BK 5.000%, 01/15/18 960 985 FHLMC REMIC, Ser 2587, Cl ET 3.700%, 07/15/17 756 761 FHLMC REMIC, Ser 2890, Cl PJ 4.500%, 09/15/24 1,019 1,025
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- FHLMC REMIC, Ser 2975, Cl VT 5.000%, 02/15/11 $ 1,579 $ 1,613 FHLMC REMIC, Ser 3153, Cl FX 0.805%, 05/15/36 (A) 738 706 FHLMC REMIC, Ser T-42, Cl A5 7.500%, 02/25/42 871 917 FNMA 7.000%, 06/01/37 239 251 6.610%, 04/01/09 144 144 6.500%, 05/01/26 to 01/01/39 99,198 103,468 5.942%, 11/01/11 348 363 5.470%, 09/01/24 (A) 1,080 1,092 5.333%, 12/01/29 (A) 249 251 5.190%, 08/01/27 (A) 648 657 5.071%, 08/01/29 (A) 847 844 5.000%, 02/01/38 1,725 1,756 4.959%, 02/01/13 77 79 4.940%, 09/01/25 (A) 194 193 4.751%, 04/01/13 135 137 4.578%, 05/01/28 (A) 1,260 1,249 4.096%, 02/01/27 (A) 209 204 FNMA REMIC, Cl EZ 5.500%, 01/25/36 2,810 2,689 FNMA REMIC, Cl KA 4.500%, 03/25/18 591 601 FNMA REMIC, Cl AN 4.000%, 09/15/17 4,000 4,020 FNMA REMIC, Ser 1992-61, Cl FA 1.056%, 10/25/22 (A) 197 196 FNMA REMIC, Ser 1993-32, Cl H 6.000%, 03/25/23 89 93 FNMA REMIC, Ser 1993-5, Cl Z 6.500%, 02/25/23 40 42 FNMA REMIC, Ser 1994-77, Cl FB 1.906%, 04/25/24 (A) 19 19 FNMA REMIC, Ser 2001-51, Cl QN 6.000%, 10/25/16 290 306 FNMA REMIC, Ser 2001-53, Cl CA 5.750%, 06/25/31 13 13 FNMA REMIC, Ser 2002-3, Cl PG 5.500%, 02/25/17 1,671 1,744 FNMA REMIC, Ser 2002-53, Cl FK 0.789%, 04/25/32 (A) 375 372 FNMA REMIC, Ser 2003-76, Cl CA 3.750%, 07/25/33 1,282 1,252 FNMA REMIC, Ser 2005-43, Cl EN 5.000%, 05/25/19 1,603 1,639 FNMA REMIC, Ser 2006-39, Cl PB 5.500%, 07/25/29 1,795 1,845 FNMA REMIC, Ser 2006-46, Cl PB 5.500%, 07/25/29 357 366 FNMA REMIC, Ser 2006-53, Cl PA 5.500%, 12/25/26 2,272 2,321
SEI Daily Income Trust / Annual Report / January 31, 2009 18
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- FNMA REMIC, Ser 2006-72, Cl FY 0.809%, 08/25/36 (A) $ 3,847 $ 3,713 FNMA REMIC, Ser 2006-76, Cl QF 0.789%, 08/25/36 (A) 3,760 3,646 GNMA 7.500%, 01/15/11 to 02/15/11 15 17 6.500%, 04/15/17 to 10/15/38 14,766 15,348 6.000%, 06/15/16 to 09/15/19 826 868 GNMA REMIC, Ser 2006-38, Cl XS, IO 6.795%, 09/16/35 (A) 272 25 ------------- Total Mortgage-Backed Securities (Cost $219,513) ($ Thousands) 221,761 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 20.6% FHLMC 5.125%, 08/23/10 3,500 3,705 1.500%, 01/07/11 34,500 34,496 5.750%, 01/15/12 17,400 19,158 FNMA 5.000%, 03/15/16 2,000 2,216 ------------- Total U.S. Government Agency Obligations (Cost $59,320) ($ Thousands) 59,575 ------------- REPURCHASE AGREEMENT (B) -- 1.3% BNP Paribas 0.290%, dated 01/30/09, to be repurchased on 02/02/09, repurchase price $3,700,089 (collateralized by a FHLMC obligation, par value $4,974,059, 4.000%, 10/01/21, with total market value $3,774,000) 3,700 3,700 ------------- Total Repurchase Agreement (Cost $3,700) ($ Thousands) 3,700 ------------- Total Investments -- 98.9% (Cost $282,533) ($Thousands) $ 285,036 =============
Futures -- a summary of the open futures contracts held by the Fund at January 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG DATE ($ THOUSANDS) - -------- --------- ---------- ------------- U.S. 5-Year Treasury Note 153 Mar-2009 $(175) =====
Percentages are based on Net Assets of $288,064 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date. (B) Tri-Party Repurchase Agreement Cl -- Class FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only - face amount represents notional amount REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 19 SCHEDULE OF INVESTMENTS Intermediate-Duration Government Fund January 31, 2009 SECTOR WEIGHTINGS (UNAUDITED)+: (BAR CHART) Mortgage-Backed Securities 79.8% U.S. Government Agency Obligations 11.1% Repurchase Agreement 4.8% U.S. Treasury Obligation 3.0% Asset-Backed Security 1.3%
+Percentages are based on total investments.
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- MORTGAGE-BACKED SECURITIES -- 83.5% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 83.5% FHLMC 6.500%, 01/01/18 to 12/01/32 $ 475 $ 499 6.000%, 09/01/24 1,429 1,479 5.500%, 06/01/19 to 12/01/20 904 934 5.000%, 12/01/35 to 04/01/38 14,131 14,372 4.500%, 02/01/36 to 09/01/38 9,966 10,019 FHLMC REMIC, Cl PE 5.000%, 03/15/34 1,300 1,326 4.500%, 05/15/18 2,780 2,842 FHLMC REMIC, Ser 1599, Cl C 6.100%, 10/15/23 390 408 FHLMC REMIC, Ser 165, Cl K 6.500%, 09/15/21 16 16 FHLMC REMIC, Ser 2586, Cl NK 3.500%, 08/15/16 111 111 FHLMC REMIC, Ser 2587, Cl ET 3.700%, 07/15/17 437 439 FHLMC REMIC, Ser 2630, Cl HA 3.000%, 01/15/17 990 976 FHLMC REMIC, Ser 2635, Cl NJ 3.000%, 03/15/17 278 276 FNMA 9.500%, 05/01/18 43 47 6.500%, 03/01/33 to 12/01/38 21,721 22,658 6.450%, 10/01/18 652 705 6.150%, 04/01/11 144 149 5.920%, 06/01/14 492 522 5.914%, 02/01/12 577 604 5.680%, 06/01/17 585 613 5.626%, 12/01/11 1,604 1,668 5.500%, 05/01/35 to 08/01/38 3,905 4,000 5.000%, 04/01/37 51 51 4.997%, 08/01/15 389 396 4.959%, 02/01/13 199 204 4.500%, 03/01/38 to 06/01/38 3,936 3,969 3.790%, 07/01/13 1,030 1,014 FNMA REMIC, Cl AN 4.000%, 09/15/17 1,000 1,005
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- FNMA REMIC, Cl EZ 5.500%, 01/25/36 $ 884 $ 846 FNMA REMIC, Ser 2001-51, Cl QN 6.000%, 10/25/16 409 431 FNMA REMIC, Ser 2004-27, Cl HN 4.000%, 05/25/16 238 239 FNMA REMIC, Ser 2006-72, Cl FY 0.809%, 08/25/36 (A) 2,943 2,840 GNMA 8.750%, 07/20/17 to 07/20/17 10 11 8.500%, 11/20/16 to 08/20/17 71 75 7.500%, 11/15/25 to 09/15/36 241 254 6.000%, 04/15/09 to 09/15/24 798 827 ------------- Total Mortgage-Backed Securities (Cost $75,817) ($ Thousands) 76,825 ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 11.6% FHLMC 1.500%, 01/07/11 6,300 6,299 5.750%, 01/15/12 4,000 4,404 ------------- Total U.S. Government Agency Obligations (Cost $10,735) ($ Thousands) 10,703 ------------- U.S. TREASURY OBLIGATION -- 3.1% U.S. Treasury Note 4.750%, 03/31/11 2,650 2,868 ------------- Total U.S. Treasury Obligation (Cost $2,639) ($ Thousands) 2,868 ------------- ASSET-BACKED SECURITY -- 1.3% Small Business Administration, Ser 2005-P10B, Cl 1 4.940%, 08/10/15 1,204 1,215 ------------- Total Asset-Backed Security (Cost $1,204) ($ Thousands) 1,215 -------------
SEI Daily Income Trust / Annual Report / January 31, 2009 20
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- REPURCHASE AGREEMENT (B) -- 5.0% BNP Paribas 0.250%, dated 01/30/09, to be repurchased on 02/02/09, repurchase price $4,600,111 (collateralized by various FHLMC/ FNMA obligations, ranging in par value $577,706- $4,719,685, 4.000%-5.500%, 10/01/21- 01/01/23, with total market value $4,692,000) $ 4,600 $ 4,600 ------------- Total Repurchase Agreement (Cost $4,600) ($ Thousands) 4,600 ------------- Total Investments -- 104.5% (Cost $94,995) ($ Thousands) $ 96,211 =============
Futures -- a summary of the open futures contracts held by the Fund at January 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG DATE ($ THOUSANDS) - -------- --------- ---------- ------------- U.S. 10-Year Treasury Note 88 Mar-2009 $280 U.S. 5-Year Treasury Note 228 Mar-2009 123 ---- $403 ====
Percentages are based on Net Assets of $92,025 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date. (B) Tri-Party Repurchase Agreement Cl -- Class FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 21 SCHEDULE OF INVESTMENTS GNMA Fund January 31, 2009 SECTOR WEIGHTINGS (UNAUDITED)+: (BAR CHART) Mortgage-Backed Securities 80.3% Repurchase Agreement 19.7%
+Percentages are based on total investments.
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- MORTGAGE-BACKED SECURITIES -- 98.2% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 98.2% FHLMC 4.500%, 05/01/37 $ 300 $ 302 FHLMC REMIC, Ser 3279, IO 5.975%, 02/15/37 (A) 8,011 601 FHLMC REMIC, Ser 3309, IO 5.995%, 04/15/37 (A) 6,988 506 FNMA 8.000%, 09/01/14 to 09/01/28 236 251 7.000%, 08/01/29 to 09/01/32 430 456 6.500%, 09/01/32 265 278 FNMA REMIC, Ser 1990-91, Cl G 7.000%, 08/25/20 48 50 FNMA REMIC, Ser 1992-105, Cl B 7.000%, 06/25/22 84 90 FNMA REMIC, Ser 2002-42, Cl C 6.000%, 07/25/17 1,500 1,602 GNMA 10.000%, 05/15/16 to 04/15/20 28 29 9.500%, 06/15/09 to 11/15/20 124 133 9.000%, 12/15/17 to 05/15/22 222 236 8.500%, 10/15/16 to 06/15/17 65 70 8.000%, 04/15/17 to 03/15/32 929 991 7.750%, 10/15/26 46 49 7.500%, 02/15/27 to 05/15/36 1,041 1,097 7.250%, 01/15/28 183 194 7.000%, 04/15/19 to 06/20/38 8,627 9,162 6.750%, 11/15/27 51 54 6.500%, 09/15/10 to 09/20/38 11,749 12,249 6.000%, 07/15/24 to 11/15/38 7,354 7,583 5.500%, 10/15/32 to 01/15/39 25,265 25,943 5.000%, 04/15/33 to 10/15/38 43,231 44,186 4.500%, 08/15/33 to 03/01/39 47,313 47,536 GNMA REMIC, Ser 2002-45, Cl QE 6.500%, 06/20/32 1,370 1,459 GNMA REMIC, Ser 2003-63, Cl UV 3.500%, 07/20/30 1,651 1,638 GNMA REMIC, Ser 2005-70, Cl AI, IO 5.000%, 10/20/33 8,224 666 GNMA REMIC, Ser 2006-38, Cl XS, IO 6.795%, 09/16/35 (A) 3,626 327 ------------- Total Mortgage-Backed Securities (Cost $154,732) ($ Thousands) 157,738 -------------
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- REPURCHASE AGREEMENT (B) -- 24.1% BNP Paribas 0.290%, dated 01/30/09, to be repurchased on 02/02/09, repurchase price $38,800,938 (collateralized by various FHLMC/ FNMA obligations, ranging in par value $738,790-$10,510,000, 5.000%-7.000%, 01/01/23- 02/01/39, with total market value $39,576,001) $ 38,800 $ 38,800 ------------- Total Repurchase Agreement (Cost $38,800) ($ Thousands) 38,800 ------------- Total Investments -- 122.3% (Cost $193,532) ($ Thousands) $ 196,538 =============
Futures -- a summary of the open futures contracts held by the Fund at January 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION DEPRECIATION CONTRACT LONG (SHORT) DATE ($THOUSANDS) - -------- ------------ ---------- ------------ U.S. 10-Year Treasury Note 106 Mar-2009 $(16) U.S. 2-Year Treasury Note (175) Mar-2009 (63) ---- $(79) ====
Percentages are based on Net Assets of $160,639 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date. (B) Tri-Party Repurchase Agreement Cl -- Class FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association GNMA -- Government National Mortgage Association IO -- Interest Only -- face amount represents notional amount REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 22 Ultra Short Bond Fund January 31, 2009 SECTOR WEIGHTINGS (UNAUDITED)+: (BAR CHART) Asset-Backed Securities 33.0% Mortgage-Backed Securities 28.3% Corporate Obligations 22.4% U.S. Government Agency Obligations 13.4% Repurchase Agreement 1.5% Certificate of Deposit 1.4%
+Percentages are based on total investments.
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- ASSET-BACKED SECURITIES -- 33.5% AUTOMOTIVE -- 15.4% AmeriCredit Automobile Receivables Trust, Ser 2007-CM, Cl A3A 5.420%, 05/07/12 $ 1,720 $ 1,622 AmeriCredit Automobile Receivables Trust, Ser 2007-AX, Cl A3 5.190%, 11/06/11 1,252 1,229 BMW Vehicle Lease Trust, Ser 2007-1, Cl A3A 4.590%, 08/15/13 655 636 Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A3A 5.020%, 09/15/11 575 558 Capital Auto Receivables Asset Trust, Ser 2005-1, Cl B 0.708%, 06/15/10 (A) 369 363 Capital One Auto Finance Trust, Ser 2007-C, Cl A3A 5.130%, 04/16/12 1,670 1,538 Capital One Auto Finance Trust, Ser 2006-A, Cl A4 0.343%, 12/15/12 (A) 2,350 1,993 Capital One Prime Auto Receivables Trust, Ser 2007-2, Cl A2 5.050%, 03/15/10 169 169 Carmax Auto Owner Trust, Ser 2008-2, Cl A2A 4.060%, 09/15/11 1,750 1,710 Carmax Auto Owner Trust, Ser 2006-2, Cl A4 5.140%, 11/15/11 1,120 1,067 Carmax Auto Owner Trust, Ser 2008-1, Cl A4A 4.790%, 02/15/13 1,750 1,526 CPS Auto Trust, Ser 2007-C, Cl A2 5.440%, 11/15/10 (B) 218 218 Ford Credit Auto Owner Trust, Ser 2008-B, Cl A2 1.533%, 12/15/10 (A) 1,917 1,857 Ford Credit Auto Owner Trust, Ser 2007-A, Cl A2A 5.420%, 04/15/10 248 247
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Ford Credit Auto Owner Trust, Ser 2008-A, Cl A3A 3.960%, 01/15/12 $ 1,610 $ 1,497 Ford Credit Auto Owner Trust, Ser 2007-B, Cl A3A 5.150%, 11/15/11 745 711 Household Automotive Trust, Ser 2005-3, Cl A3 4.800%, 10/18/10 125 124 Hyundai Auto Receivables Trust, Ser 2008-A, Cl A2 4.160%, 05/16/11 2,710 2,701 Hyundai Auto Receivables Trust, Ser 2007-A, Cl A3A 5.040%, 01/17/12 1,570 1,574 Hyundai Auto Receivables Trust, Ser 2006-A, Cl A4 5.260%, 11/15/12 1,365 1,370 Long Beach Auto Receivables Trust, Ser 2006-B, Cl A3 5.170%, 08/15/11 940 921 Nissan Auto Receivables Owner Trust, Ser 2006-A, Cl A3 4.740%, 12/15/09 2 2 4.460%, 04/16/12 925 921 Nissan Auto Receivables Owner Trust, Ser 2008-A, Cl A3 3.890%, 08/15/11 670 665 USAA Auto Owner Trust, Ser 2007-2, Cl A3 4.900%, 02/15/12 843 846 USAA Auto Owner Trust, Ser 2008-1, Cl A3 4.160%, 04/16/12 965 961 USAA Auto Owner Trust, Ser 2008-2, Cl A2 3.910%, 01/18/11 2,073 2,070 Volkswagen Auto Lease Trust, Ser 2006-A, Cl A3 5.500%, 09/21/09 6 6 Wachovia Auto Owner Trust, Ser 2008-A, Cl A2A 4.090%, 05/20/11 1,595 1,580 WFS Financial Owner Trust, Ser 2005-2, Cl B 4.570%, 11/19/12 1,234 1,223 ------------- 31,905 ------------- CREDIT CARD -- 8.1% Advanta Business Card Master Trust, Ser 2006-B2, Cl B2 0.609%, 06/20/14 (A) 2,000 1,125
SEI Daily Income Trust / Annual Report / January 31, 2009 23 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund (Continued) January 31, 2009
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Advanta Business Card Master Trust, Ser 2005-B1, Cl B1 0.739%, 02/20/14 (A) $ 1,250 $ 1,000 American Express Issuance Trust, Ser 2007-1, Cl A 0.533%, 09/15/11 (A) 715 669 American Express Issuance Trust 0.363%, 08/15/11 (A) 1,200 1,107 Bank of America Credit Card Trust, Ser 2007-A13, Cl A13 0.553%, 04/16/12 (A) 1,500 1,459 Bank of America Credit Card Trust, Ser 2006-C7, Cl C7 0.563%, 03/15/12 (A) 1,000 794 Cabela's Master Credit Card Trust, Ser 2006-3A, Cl B 0.533%, 10/15/14 (A) (B) 2,000 815 Capital One Multi-Asset Execution Trust, Ser 2007-C3, Cl C3 0.623%, 04/15/13 (A) 1,500 871 Capital One Multi-Asset Execution Trust, Ser 2007-C2, Cl C2 0.633%, 11/15/14 (A) 1,200 422 Capital One Multi-Asset Execution Trust, Ser 2004-C4, Cl C4 0.983%, 06/15/12 (A) 1,350 1,085 Chase Issuance Trust, Ser 2007-A14, Cl A14 0.583%, 09/15/11 (A) 1,000 990 Citibank Credit Card Issuance Trust, Ser 2008-A3, Cl A3 1.239%, 05/18/11 (A) 2,000 1,987 Citibank Credit Card Issuance Trust, Ser 2006-A5, Cl A5 5.300%, 05/20/11 1,505 1,511 MBNA Credit Card Master Note Trust, Ser 2006-A1, Cl A1 4.900%, 07/15/11 1,000 1,000 Washington Mutual Master Note Trust, Ser 2006-C3A, Cl C3A 0.713%, 10/15/13 (A) (B) 1,490 1,253 Washington Mutual Master Note Trust, Ser 2006-C2A, Cl C2 0.833%, 08/15/15 (A) (B) 1,300 737 ------------- 16,825 ------------- MISCELLANEOUS BUSINESS SERVICES -- 7.1% ACAS Business Loan Trust, Ser 2007-1A, Cl C 2.999%, 08/16/19 (A) (B) 1,271 64 ACAS Business Loan Trust, Ser 2005-1A, Cl A1 1.409%, 07/25/19 (A) (B) 949 674
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Babson CLO Ltd., Ser 2007-1A, Cl A1 1.367%, 01/18/21 (A) (B) $ 1,190 $ 821 Capital Source Commercial Loan Trust, Ser 2006-1A, Cl C 0.909%, 08/22/16 (A) (B) 494 300 Capital Source Commercial Loan Trust, Ser 2006-2A, Cl A1A 0.569%, 09/20/22 (A) (B) 1,334 1,020 Caterpillar Financial Asset Trust, Ser 2008-A, Cl A2A 4.090%, 12/27/10 784 782 CIT Equipment Collateral, Ser 2006-VT1, Cl A3 5.130%, 12/21/09 35 35 Citigroup Mortgage Loan Trust, Ser 2006-WFH3, Cl M1 0.679%, 10/25/36 (A) 1,325 282 CNH Equipment Trust, Ser 2006-B, Cl A3 5.200%, 06/15/10 88 88 CNH Wholesale Master Note Trust, Ser 2006-1A, Cl B 0.613%, 07/15/12 (A) (B) 245 228 Colts Trust, Ser 2006-2A, Cl A 1.805%, 12/20/18 (A) (B) 1,950 1,338 Countrywide Asset-Backed Certificates, Ser 2006-2, Cl 2A2 0.579%, 06/25/36 (A) 500 407 Credit-Based Asset Servicing and Securitization CBO, Ser 2006-16A, Cl A 2.442%, 09/06/41 (A) (B) 1,419 213 First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2007-FF1, Cl M2 0.649%, 01/25/38 (A) 1,250 20 Franklin CLO, Ser 2003-4A, Cl A 2.075%, 09/20/15 (A) (B) 460 403 GE Commercial Loan Trust, Ser 2006-3, Cl C 0.909%, 01/19/17 (A) (B) 642 13 GE Equipment Small Ticket LLC, Ser 2005-2A, Cl A4 5.010%, 06/22/15 (B) 1,998 1,911 GE Equipment Small Ticket LLC, Ser 2005-1A, Cl B 4.620%, 12/22/14 (B) 142 139 GMAC Mortgage Loan Trust, Ser 2006-HE4, Cl A2 0.529%, 12/25/36 (A) 1,709 623 JPMorgan Mortgage Acquisition, Ser 2007-CH5, Cl M1 0.659%, 06/25/37 (A) 2,000 267
SEI Daily Income Trust / Annual Report / January 31, 2009 24
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Katonah CLO, Ser 2005-7A, Cl B 2.569%, 11/15/17 (A) (B) $ 1,200 $ 523 Lambda Finance, Ser 2005-1A, Cl B3 2.519%, 11/15/29 (A) (B) 840 578 Long Beach Mortgage Loan Trust, Ser 2006-6, Cl 2A3 0.539%, 07/25/36 (A) 1,190 333 Madison Park Funding CLO, Ser 2007-4A, Cl A1B 1.825%, 03/22/21 (A) (B) 1,000 400 Marlin Leasing Receivables LLC, Ser 2005-1A, Cl B 5.090%, 08/15/12 (B) 66 66 Merritt Funding Trust CLO, Ser 2005-2A, Cl B 1.794%, 07/15/15 (A) (B) 541 60 Morgan Stanley ABS Capital I, Ser 2006-WMC1, Cl A2B 0.589%, 12/25/35 (A) 873 738 New Century Home Equity Loan Trust, Ser 2005-C, Cl A2B 0.559%, 12/25/35 (A) 74 73 PFS Financing, Ser 2006-B, Cl A 2.909%, 09/15/11 (A) (B) 965 957 Sierra Receivables Funding, Ser 2007-2A, Cl A2 1.508%, 09/20/19 (A) (B) 506 327 SLM Student Loan Trust, Ser 2003-A, Cl A1 2.929%, 12/15/15 (A) 55 52 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl C 0.933%, 01/15/12 (A) 200 37 Superior Wholesale Inventory Financing Trust, Ser 2007-AE1, Cl B 0.633%, 01/15/12 (A) 110 55 William Street Funding, Ser 2006-1, Cl A 1.355%, 01/23/12 (A) (B) 1,260 907 ------------- 14,734 ------------- MORTGAGE RELATED -- 2.9% ACE Securities, Ser 2006-CW1, Cl A2C 0.529%, 07/25/36 (A) 895 429 Asset-Backed Funding Certificates, Ser 2006-OPT2, Cl A3B 0.499%, 10/25/36 (A) 1,900 1,720 Bear Stearns Asset-Backed Securities Trust, Ser 2005-HE11, Cl A2 0.639%, 11/25/35 (A) 156 135 Morgan Stanley Home Equity Loans, Ser 2005-4, Cl A2B 0.609%, 09/25/35 (A) 621 581
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Option One Mortgage Loan Trust, Ser 2007-HL1, Cl 2A1 0.591%, 02/26/09 (A) $ 436 $ 370 Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3 5.611%, 01/25/37 (A) 305 172 Option One Mortgage Loan Trust, Ser 2007-FXD2, Cl 2A1 5.900%, 03/25/37 (C) 704 636 Option One Mortgage Loan Trust, Ser 2005-5, Cl A3 0.599%, 12/25/35 (A) 929 724 Option One Mortgage Loan Trust, Ser 2006-1, Cl 2A2 0.519%, 01/25/36 (A) 632 600 Option One Mortgage Loan Trust, Ser 2003-3, Cl A2 0.989%, 06/25/33 (A) 142 79 Residential Asset Securities, Ser 2006-EMX6, Cl A3 0.539%, 07/25/36 (A) 1,005 522 ------------- 5,968 ------------- Total Asset-Backed Securities (Cost $91,253) ($ Thousands) 69,432 ------------- MORTGAGE-BACKED SECURITIES -- 28.8% AGENCY MORTGAGE-BACKED OBLIGATIONS -- 5.6% FHLMC 5.179%, 02/01/22 (A) 1,136 1,125 5.174%, 02/01/30 (A) 713 700 FHLMC REMIC, Ser 1599, Cl C 6.100%, 10/15/23 253 265 FHLMC REMIC, Ser 2004-2780, Cl LC 5.000%, 07/15/27 1,000 1,021 FHLMC REMIC, Ser 2630, Cl HA 3.000%, 01/15/17 1,055 1,040 FNMA 6.000%, 01/01/27 1,729 1,786 5.629%, 09/01/24 (A) 210 210 5.532%, 09/01/24 (A) 540 546 5.478%, 11/01/25 (A) 112 111 5.086%, 11/01/23 (A) 495 492 5.008%, 05/01/28 (A) 787 781 4.975%, 01/01/29 (A) 67 67 4.605%, 11/01/21 (A) 121 119 FNMA REMIC, Ser 1993-220, Cl FA 1.006%, 11/25/13 (A) 118 117 FNMA REMIC, Ser 1993-58, Cl H 5.500%, 04/25/23 193 202 FNMA REMIC, Ser 2001-33, Cl FA 0.839%, 07/25/31 (A) 269 264
SEI Daily Income Trust / Annual Report / January 31, 2009 25 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund (Continued) January 31, 2009
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- FNMA REMIC, Ser 2002-63, Cl QF 0.689%, 04/25/29 (A) $ 139 $ 138 FNMA REMIC, Ser 2002-64, Cl FG 0.584%, 10/18/32 (A) 145 140 FNMA REMIC, Ser 2002-78, Cl AU 5.000%, 06/25/30 481 484 FNMA REMIC, Ser 2006-39, Cl PB 5.500%, 07/25/29 1,915 1,968 ------------- 11,576 ------------- NON-AGENCY MORTGAGE-BACKED OBLIGATIONS -- 23.2% Arkle Master Issuer PLC, Ser 2006-1A, Cl M 2.339%, 02/17/52 (A) (B) 1,000 901 Banc of America Funding, Ser 2005-F, Cl 4A1 5.334%, 09/20/35 (A) 806 488 Banc of America Funding, Ser 2006-D, Cl 3A1 5.583%, 05/20/36 (A) 973 699 Banc of America Large Loan, Ser 2007-BMB1 0.843%, 08/15/29 (A) (B) 589 401 Banc of America Mortgage Securities, Ser 2004-F, Cl 2A5 4.148%, 07/25/34 (A) 1,300 1,262 Banc of America Mortgage Securities, Ser 2005-A, Cl 2A2 4.443%, 02/25/35 (A) 1,426 1,179 Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2 5.009%, 07/25/35 (A) 2,374 1,837 Banc of America Mortgage Securities, Ser 2005-H, Cl 2A1 4.805%, 09/25/35 (A) 746 583 Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1 5.087%, 11/25/35 (A) 258 159 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1 5.268%, 02/25/36 (A) 495 271 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1 5.076%, 06/25/35 (A) 778 450 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1 5.276%, 08/25/35 (A) 1,184 941 Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-9, Cl A1 4.625%, 10/25/35 (A) 1,508 1,218 Bear Stearns Commercial Mortgage Securities, Ser 2001-TOP2, Cl A2 6.480%, 02/15/35 1,600 1,588
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Citigroup Commercial Mortgage Trust, Ser 2006-FL2, Cl D 0.543%, 08/15/21 (A) (B) $ 510 $ 304 Citigroup Commercial Mortgage Trust, Ser 2007-FL3A, Cl J 1.283%, 04/15/22 (A) (B) 550 155 Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A 4.456%, 09/25/34 (A) 372 237 Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1 5.622%, 03/25/36 (A) 1,012 583 Countrywide Alternative Loan Trust, Ser 2007-HY5R, Cl 2A1A 5.544%, 03/25/47 (A) 1,214 789 Countrywide Home Loans, Ser 2004-29, Cl 1A1 0.659%, 02/25/09 (A) 115 58 Countrywide Home Loans, Ser 2005-7, Cl 1A1 0.659%, 03/25/35 (A) 202 76 Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A 5.381%, 02/20/36 (A) 929 518 Crusade Global Trust, Ser 2003-1, Cl A 1.343%, 01/17/34 (A) 398 387 Crusade Global Trust, Ser 2004-1, Cl A1 1.232%, 01/16/35 (A) 111 106 First Horizon Asset Securities, Ser 2005-2, Cl 1A1 5.500%, 05/25/35 1,012 998 Fosse Master Issuer PLC, Ser 2007-1A, Cl C2 1.693%, 10/18/54 (A) (B) 1,305 927 GE Commercial Loan Trust CLO, Ser 2006-2, Cl C 0.909%, 10/19/16 (A) (B) 334 17 GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1 5.207%, 11/19/35 (A) 1,193 844 Granite Master Issuer PLC, Ser 2007-1, Cl 1C1 0.659%, 12/20/54 (A) 410 25 GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1 4.988%, 07/25/35 (A) 1,391 916 GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1 5.181%, 01/25/36 (A) 1,845 1,087 GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1 5.777%, 05/25/37 (A) 1,410 830
SEI Daily Income Trust / Annual Report / January 31, 2009 26
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Impac CMB Trust, Ser 2004-9, Cl 1A1 1.149%, 01/25/35 (A) $ 343 $ 179 Impac CMB Trust, Ser 2005-2, Cl 1A1 0.649%, 04/25/35 (A) 385 152 Impac CMB Trust, Ser 2005-3, Cl A1 0.629%, 08/25/35 (A) 337 158 Impac CMB Trust, Ser 2005-5, Cl A1 0.709%, 08/25/35 (A) 282 110 Impac CMB Trust, Ser 2005-8, Cl 1A 0.649%, 02/25/36 (A) 908 387 Interstar Millennium Trust, Ser 2004-2G, Cl A 2.196%, 03/14/36 (A) 233 224 JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1 4.963%, 08/25/35 (A) 972 628 JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1 5.441%, 05/25/37 (A) 1,167 707 Master Adjustable Rate Mortgages Trust, Ser 2004-12, Cl 5A1 5.721%, 10/25/34 (A) 192 128 Medallion Trust, Ser 2004-1G, Cl A1 2.288%, 05/25/35 (A) 168 136 Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2 4.487%, 02/25/35 (A) 2,519 2,066 Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1 0.659%, 04/25/35 (A) 407 157 Merrill Lynch Mortgage Investors, Ser 2005-A9, Cl 2A1A 5.149%, 12/25/35 (A) 703 533 Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-2, Cl 1A1 5.800%, 08/25/36 (A) 1,544 854 Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1 5.651%, 06/25/37 (A) 1,364 933 MLCC Mortgage Investors, Ser 2004-G, Cl A1 0.669%, 01/25/30 (A) 108 79 MLCC Mortgage Investors, Ser 2004-HB1, Cl A1 0.749%, 04/25/29 (A) 158 102 MLCC Mortgage Investors, Ser 2005-A, Cl A1 0.619%, 03/25/30 (A) 131 94 MLCC Mortgage Investors, Ser 2006-1, Cl 2A1 5.377%, 02/25/36 (A) 779 542 MortgageIT Trust, Ser 2005-2, Cl 1A1 0.649%, 05/25/35 (A) 314 147
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- MortgageIT Trust, Ser 2005-3, Cl A1 0.689%, 08/25/35 (A) $ 995 $ 504 MortgageIT Trust, Ser 2005-4, Cl A1 0.669%, 10/25/35 (A) 1,332 601 MortgageIT Trust, Ser 2005-5, Cl A1 0.649%, 12/25/35 (A) 1,275 597 Paragon Mortgages PLC, Ser 12A, Cl A2C 2.259%, 11/15/38 (A) (B) 348 216 Paragon Mortgages PLC, Ser 15A, Cl A2C 2.106%, 12/15/39 (A) (B) 820 511 Permanent Master Issuer PLC, Ser 2006-1, Cl 2C 1.494%, 07/15/42 (A) 1,200 1,058 Prima, Ser 2006-1, Cl A1 5.417%, 12/28/48 829 448 Puma Finance, Ser S1, Cl A 2.588%, 08/09/35 (A) (B) 216 187 Residential Funding Mortgage Securities I, Ser 2005-SA5, Cl 2A 5.330%, 11/25/35 (A) 725 569 Residential Funding Mortgage Securities I, Ser 2007-SA2, Cl 2A2 5.663%, 04/25/37 (A) 995 605 Residential Funding Mortgage Securities I, Ser 2007-SA2, Cl 2A1 5.678%, 04/25/37 (A) 1,404 784 Residential Funding Mortgage Securities I, Ser 2007-SA3, Cl 2A1 5.764%, 07/27/37 (A) 1,285 710 RMAC PLC, Ser 2003-NS4A, Cl A2B 2.398%, 03/12/36 (A) (B) 1 1 Sequoia Mortgage Trust, Ser 2004-12, Cl A1 0.629%, 01/20/35 (A) 130 78 Sequoia Mortgage Trust, Ser 2005-1, Cl A1 0.589%, 02/20/35 (A) 129 74 WaMu Mortgage Pass-Through Certificates, Ser 2004-AR5, Cl A6 3.837%, 06/25/34 (A) 1,300 1,288 WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 5.297%, 03/25/37 (A) 1,748 1,216 Wells Fargo Mortgage-Backed Securities Trust, Ser 2003-J, Cl 2A4 4.451%, 10/25/33 (A) 168 165 Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2 4.558%, 01/25/35 (A) 941 747
SEI Daily Income Trust / Annual Report / January 31, 2009 27 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund (Continued) January 31, 2009
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1 4.489%, 02/25/35 (A) $ 842 $ 689 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3 5.001%, 10/25/35 (A) 2,027 1,550 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2 4.997%, 10/25/35 (A) 1,303 991 Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2 4.537%, 04/25/35 (A) 752 624 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1 5.628%, 07/25/36 (A) 1,526 970 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1 6.025%, 09/25/36 (A) 1,168 718 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1 5.545%, 04/25/36 (A) 1,150 690 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 2A1 5.092%, 03/25/36 (A) 1,420 1,049 Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 2A1 5.240%, 04/25/36 (A) 1,440 1,037 Westpac Securitisation Trust, Ser 2005-1G, Cl A1 1.568%, 03/23/36 (A) 260 249 ------------- 48,076 ------------- Total Mortgage-Backed Securities (Cost $81,202) ($ Thousands) 59,652 ------------- CORPORATE OBLIGATIONS -- 22.7% BANKS (A) -- 3.2% Comerica Bank 0.404%, 06/19/09 1,200 1,156 0.486%, 05/10/10 1,000 847 PNC Funding 1.805%, 06/22/11 1,180 1,179
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- Wachovia 2.116%, 03/15/11 $ 1,750 $ 1,646 Wachovia Bank 1.537%, 03/23/09 1,000 996 Wells Fargo 4.200%, 01/15/10 800 802 ------------- 6,626 ------------- CONSUMER PRODUCTS -- 2.3% CVS Caremark 2.503%, 06/01/10 (A) 865 825 President and Fellows of Harvard College 3.700%, 04/01/13 1,325 1,284 Procter & Gamble MTN 2.366%, 03/09/09 (A) 685 684 Whirlpool 2.496%, 06/15/09 (A) 2,000 1,913 ------------- 4,706 ------------- FINANCIAL SERVICES -- 6.7% American Express Credit MTN 1.801%, 05/27/10 (A) 1,750 1,637 Bank of America 7.800%, 02/15/10 594 610 2.100%, 04/30/12 1,500 1,485 Citigroup 2.125%, 04/30/12 600 594 General Electric Capital 1.625%, 01/07/11 1,000 1,001 1.274%, 04/28/11 (A) 1,250 1,146 3.116%, 12/09/11 (A) 2,250 2,302 1.711%, 06/08/12 (A) 1,000 1,000 Metropolitan Life Global Funding I MTN 2.216%, 06/25/10 (A) (B) 2,225 2,011 Pitney Bowes Global Financial Services LLC 8.550%, 09/15/09 425 439 Principal Life Income Funding Trusts 2.309%, 11/15/10 (A) 750 680 Toyota Motor Credit MTN 2.434%, 01/29/10 (A) 967 967 ------------- 13,872 ------------- FOOD, BEVERAGE & TOBACCO -- 1.5% General Mills 1.253%, 01/22/10 (A) 1,500 1,472 SABMiller PLC 1.735%, 07/01/09 (A) (B) 1,705 1,701 ------------- 3,173 -------------
SEI Daily Income Trust / Annual Report / January 31, 2009 28
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- INDUSTRIALS -- 0.2% Continental Airlines 2.567%, 06/02/13 (A) $ 750 $ 472 ------------- INSURANCE -- 0.9% MBIA Insurance 14.000%, 01/15/33 (A) (B) 1,000 580 Monumental Global Funding III 1.294%, 01/15/14 (A) (B) 1,900 1,262 ------------- 1,842 ------------- INVESTMENT BANKER/BROKER DEALER -- 5.0% Goldman Sachs Group 1.587%, 06/23/09 (A) 650 643 1.625%, 07/15/11 600 595 3.250%, 06/15/12 2,500 2,566 JPMorgan Chase 2.625%, 12/01/10 1,000 1,020 3.125%, 12/01/11 1,250 1,286 Morgan Stanley 2.900%, 12/01/10 1,200 1,229 2.000%, 09/22/11 1,000 997 3.250%, 12/01/11 1,200 1,238 Morgan Stanley, Ser G 1.698%, 01/09/14 (A) 1,000 726 ------------- 10,300 ------------- SECURITY AND COMMODITY BROKERS -- 0.4% Genworth Global Funding Trusts 2.289%, 05/15/12 (A) 1,200 813 ------------- TELEPHONES & TELECOMMUNICATION -- 1.8% AT&T 2.959%, 02/05/10 (A) 1,000 980 BellSouth 4.200%, 09/15/09 340 345 Deutsche Telekom International Finance 8.500%, 06/15/10 1,500 1,588 Verizon Wireless Capital LLC 5.250%, 02/01/12 (B) 785 782 ------------- 3,695 ------------- UTILITIES (A) -- 0.7% Dominion Resources 2.921%, 06/17/10 1,640 1,588 ------------- Total Corporate Obligations (Cost $49,864) ($ Thousands) 47,087 -------------
Face Amount Value Description ($ Thousands) ($ Thousands) - ----------- ------------- ------------- U.S. GOVERNMENT AGENCY OBLIGATIONS -- 13.6% FHLB 4.500%, 10/09/09 $ 1,100 $ 1,128 FHLB DN (D) 0.878%, 01/21/10 10,000 9,914 FNMA 2.500%, 04/09/10 10,000 10,135 FNMA DN (D) 0.645%, 10/01/09 7,000 6,951 ------------- Total U.S. Government Agency Obligations (Cost $27,968) ($ Thousands) 28,128 ------------- CERTIFICATE OF DEPOSIT -- 1.5% DnB Bank 3.060%, 03/05/09 3,000 3,000 ------------- Total Certificate of Deposit (Cost $3,000) ($ Thousands) 3,000 ------------- REPURCHASE AGREEMENT (E) -- 1.5% BNP Paribas 0.290%, dated 01/30/09, to be repurchased on 02/02/09, repurchase price $ 3,100,075 (collateralized by various FHLMC/FNMA obligations, ranging in par value $1,153,284- $2,274,671, 4.000%-5.500%, 10/01/21-05/01/38, with total market value $3,162,000) 3,100 3,100 ------------- Total Repurchase Agreement (Cost $3,100) ($ Thousands) 3,100 ------------- Total Investments -- 101.6% (Cost $256,387) ($ Thousands) $ 210,399 =============
Futures -- a summary of the open futures contracts held by the Fund at January 31, 2009, is as follows (see Note 2 in Notes to Financial Statements):
NUMBER OF UNREALIZED TYPE OF CONTRACTS EXPIRATION APPRECIATION CONTRACT LONG (SHORT) DATE ($ THOUSANDS) - -------- ------------ ---------- ------------- U.S. 10-Year Treasury Note (17) Mar-2009 $ 46 U.S. 2-Year Treasury Note 120 Mar-2009 187 U.S. 5-Year Treasury Note (69) Mar-2009 71 U.S. Long Treasury Bond (20) Mar-2009 198 ---- $502 ====
SEI Daily Income Trust / Annual Report / January 31, 2009 29 SCHEDULE OF INVESTMENTS Ultra Short Bond Fund (Concluded) January 31, 2009 Description - ----------- Percentages are based on Net Assets of $207,081 ($ Thousands). (A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2009. The demand and interest rate reset features give this security a shorter effective maturity date. (B) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "accredited investors." These securities have been determined to be liquid under guidelines established by the Board of Trustees. (C) Step Bonds -- The rate reflected on the Schedule of Investments is the effective yield on January 31, 2009. The coupon on a step bond changes on a specific date. (D) Zero coupon security. The rate reported is the effective yield at time of purchase. (E) Tri-Party Repurchase Agreement Cl -- Class CLO -- Collateralized Loan Obligation DN -- Discount Note FHLB -- Federal Home Loan Bank FHLMC -- Federal Home Loan Mortgage Corporation FNMA -- Federal National Mortgage Association LLC -- Limited Liability Company Ltd. -- Limited MTN -- Medium Term Note PLC -- Public Limited Company REMIC -- Real Estate Mortgage Investment Conduit Ser -- Series The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 30 This page intentionally left blank. Statements of Assets and Liabilities ($ Thousands) For the year ended January 31, 2009
MONEY PRIME MARKET GOVERNMENT GOVERNMENT II OBLIGATION FUND FUND FUND FUND --------------- ----------------- ----------------- ---------------- ASSETS: Investments, at value+ $ 594,634 $ 2,076,218 $ 2,322,329 $ 4,037,761 Affiliated Investments, at value+ -- -- -- 150,858 Repurchase agreements+ 98,310 348,334 -- 536,098 Cash 24 1 -- -- Receivable for investment securities sold -- -- -- -- Interest receivable 712 1,745 2,883 3,848 Receivable for fund shares sold -- -- -- -- Receivable for variation margin -- -- -- -- Prepaid expenses 112 231 197 676 -------------- ---------------- ---------------- ---------------- Total Assets 693,792 2,426,529 2,325,409 4,729,241 -------------- ---------------- ---------------- ---------------- LIABILITIES: Payable for investment securities purchased 4,000 76,723 -- -- Income distribution payable 368 487 902 1,866 Payable for fund shares redeemed -- -- -- -- Payable for variation margin -- -- -- -- Shareholder servicing fees payable 153 253 70 330 Administration fees payable 89 310 278 708 Investment advisory fees payable 13 44 42 95 Chief Compliance Officer fees payable 1 2 2 6 Trustees' fees payable -- 1 1 4 Accrued expense payable 27 94 85 196 -------------- ---------------- ---------------- ---------------- Total Liabilities 4,651 77,914 1,380 3,205 -------------- ---------------- ---------------- ---------------- Net Assets $ 689,141 $ 2,348,615 $ 2,324,029 $ 4,726,036 -------------- ---------------- ---------------- ---------------- + Cost of investments and repurchase agreements 692,944 2,424,552 2,322,329 4,666,353 NET ASSETS: Paid-in Capital -- (unlimited authorization -- no par value) $ 689,210 $ 2,348,706 $ 2,324,044 $ 4,727,291 Distributions in excess of net investment income (46) -- -- (902) Accumulated net realized gain (loss) on investments and futures contracts (23) (91) (15) (58,717) Net unrealized appreciation (depreciation) on investments -- -- -- (92,494) Net unrealized appreciation on affiliated investment -- -- -- 150,858 Net unrealized appreciation (depreciation) on futures contracts -- -- -- -- -------------- ---------------- ---------------- ---------------- Net Assets $ 689,141 $ 2,348,615 $ 2,324,029 $ 4,726,036 -------------- ---------------- ---------------- ---------------- Net Asset Value, Offering and Redemption Price Per Share -- Class A $1.00 $1.00 $1.00 $1.00 ($341,204,415/ ($1,526,541,443/ ($2,050,235,159/ ($3,796,101,512/ 341,272,737 1,526,587,739 2,050,315,943 3,797,580,329 shares) shares) shares) shares)(1) -------------- ---------------- ---------------- ---------------- Net Asset Value, Offering and Redemption Price Per Share -- Class B $1.00 $1.00 $1.00 $1.00 ($120,924,545/ ($623,905,451/ ($242,332,025/ ($346,741,398/ 120,941,510 623,926,476 242,366,274 346,736,217 shares) shares) shares) shares)(1) -------------- ---------------- ---------------- ---------------- Net Asset Value, Offering and Redemption Price Per Share -- Class C $1.00 $1.00 $1.00 $1.00 ($158,833,285/ ($153,014,750/ ($31,461,497/ ($467,782,045/ 158,860,600 153,040,075 31,460,867 467,534,206 shares) shares) shares) shares)(1) -------------- ---------------- ---------------- ---------------- Net Asset Value, Offering and Redemption Price Per Share -- Class H N/A N/A N/A $1.00 ($58,275,444/ 58,267,293 shares)(1) -------------- ---------------- ---------------- ---------------- Net Asset Value, Offering and Redemption Price Per Share -- Sweep Class $1.00 $1.00 N/A $1.00 ($68,178,592/ ($45,153,519/ -- ($57,135,414/ 68,156,435 45,157,516 -- 57,173,124 shares) shares) shares)(1) -------------- ---------------- ---------------- ----------------
(1) See Note 10 in the Notes to Financial Statements. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 32
INTERMEDIATE- SHORT-DURATION DURATION ULTRA TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA SHORT BOND FUND FUND FUND FUND FUND FUND - --------------- --------------- --------------- -------------- --------------- --------------- $ 359,018 $ 1,065,460 $ 281,336 $ 91,611 $ 157,738 $ 207,299 -- -- -- -- -- -- 980,693 -- 3,700 4,600 38,800 3,100 -- -- 2,105 520 738 429 -- -- 25,030 11,405 55,719 14 19 -- 1,216 383 611 732 -- -- 522 126 1,399 488 -- -- 13 3 15 16 198 90 4 2 3 10 - -------------- -------------- -------------- ------------- -------------- -------------- 1,339,928 1,065,550 313,926 108,650 255,023 212,088 - -------------- -------------- -------------- ------------- -------------- -------------- -- -- 24,968 16,279 93,956 4,260 67 22 110 75 172 49 -- -- 647 194 145 609 -- -- 13 34 17 8 -- -- -- -- 33 -- 101 49 80 27 31 39 26 20 20 8 13 9 2 1 -- -- -- -- 1 1 -- -- -- -- 49 42 24 8 17 33 - -------------- -------------- -------------- ------------- -------------- -------------- 246 135 25,862 16,625 94,384 5,007 - -------------- -------------- -------------- ------------- -------------- -------------- $ 1,339,682 $ 1,065,415 $ 288,064 $ 92,025 $ 160,639 $ 207,081 - -------------- -------------- -------------- ------------- -------------- -------------- 1,339,711 1,065,460 282,533 94,995 193,532 256,387 $ 1,339,775 $ 1,065,432 $ 289,508 $ 90,404 $ 167,708 $ 259,266 -- -- -- (2) (9) (4) (93) (17) (3,772) 4 (9,987) (6,695) -- -- 2,503 1,216 3,006 (45,988) -- -- -- -- -- -- -- -- (175) 403 (79) 502 - -------------- -------------- -------------- ------------- -------------- -------------- $ 1,339,682 $ 1,065,415 $ 288,064 $ 92,025 $ 160,639 $ 207,081 - -------------- -------------- -------------- ------------- -------------- -------------- $1.00 $1.00 $10.25 $11.20 $9.84 $8.51 ($572,906,502/ ($688,813,304/ ($288,064,481/ ($92,025,413/ ($160,639,443/ ($207,080,840/ 572,943,589 688,982,723 28,098,855 8,215,618 16,332,047 24,346,980 shares) shares) shares) shares) shares) shares) - -------------- -------------- -------------- ------------- -------------- -------------- $1.00 $1.00 N/A N/A N/A N/A ($487,253,553/ ($363,237,583/ 487,289,489 363,229,555 shares) shares) - -------------- -------------- -------------- ------------- -------------- -------------- $1.00 $1.00 N/A N/A N/A N/A ($72,803,319/ ($13,363,759/ 72,817,252 13,366,705 shares) shares) - -------------- -------------- -------------- ------------- -------------- -------------- N/A N/A N/A N/A N/A N/A - -------------- -------------- -------------- ------------- -------------- -------------- $1.00 N/A N/A N/A N/A N/A ($206,718,629/ 206,724,623 shares) - -------------- -------------- -------------- ------------- -------------- --------------
SEI Daily Income Trust / Annual Report / January 31, 2009 33 Statements of Operations ($ Thousands) For the year ended January 31, 2009
MONEY PRIME MARKET GOVERNMENT GOVERNMENT II OBLIGATION FUND FUND FUND FUND -------- ---------- ------------- ---------- INVESTMENT INCOME: Interest Income $22,630 $40,690 $36,874 $137,207 ------- ------- ------- -------- EXPENSES: Administration Fees 2,777 4,335 3,151 9,822 Shareholder Servicing Fees -- Class A Shares 932 3,015 3,511 10,380 Shareholder Servicing Fees -- Sweep Class Shares 278 179 -- 49 Distribution Fees -- Sweep Class Shares 555 90 -- 261 Administrative & Shareholder Servicing Fees -- Class B Shares 421 1,228 635 1,066 Administrative & Shareholder Servicing Fees -- Class C Shares 1,088 769 203 2,688 Administrative & Shareholder Servicing Fees -- Class H Shares -- -- -- 391 Investment Advisory Fees 189 404 372 1,158 Trustees' Fees 13 24 23 74 Chief Compliance Officer Fees 3 8 8 22 Treasury Expense 177 281 230 809 Registration Fees 60 89 82 305 Custodian/Wire Agent Fees 23 52 55 144 Pricing Fees -- 2 2 -- Other Expenses 70 130 133 416 ------- ------- ------- -------- Total Expenses 6,586 10,606 8,405 27,585 ------- ------- ------- -------- Less, Waiver of: Investment Advisory Fees -- -- -- -- Administration fees (1,621) (1,432) (509) (1,612) Shareholder Servicing Fees -- Class A Shares (932) (3,015) (3,511) (10,380) Administrative & Shareholder Servicing Fees -- Class B Shares -- -- -- -- Administrative & Shareholder Servicing Fees -- Class C Shares -- -- (3) -- Distribution Fees -- Sweep Class Shares -- (3) -- (6) ------- ------- ------- -------- Net Expenses 4,033 6,156 4,382 15,587 ------- ------- ------- -------- NET INVESTMENT INCOME 18,597 34,534 32,492 121,620 ------- ------- ------- -------- NET REALIZED GAIN (LOSS) ON/FROM: Investments (6,625) 9 16 (64,872) Payment by Affiliate* 6,574 -- -- -- Futures Contracts -- -- -- -- Swap Contracts -- -- -- -- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON/FROM: Investments 2,861 -- -- (47,935) Affiliated investment -- -- -- 120,779 Futures Contracts -- -- -- -- ------- ------- ------- -------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $21,407 $34,543 $32,508 $129,592 ------- ------- ------- --------
*See Note 3 in Notes to Financial Statements. Amounts designated as "--" are either $0 or have been rounded to $0. The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 34
SHORT-DURATION INTERMEDIATE-DURATION ULTRA TREASURY TREASURY II GOVERNMENT GOVERNMENT GNMA SHORT BOND FUND FUND FUND FUND FUND FUND - -------- ----------- -------------- --------------------- ------ ---------- $20,172 $ 8,869 $ 7,630 $2,713 $6,265 $ 13,222 - ------- ------- ------- ------ ------ -------- 3,394 2,047 667 237 425 1,195 1,578 1,521 476 169 332 853 383 -- -- -- -- -- 765 -- -- -- -- -- 1,596 695 -- -- -- -- 490 60 -- -- -- -- -- -- -- -- -- -- 317 191 190 68 133 341 21 10 2 1 2 6 6 4 1 -- 1 1 239 106 -- -- -- -- 79 33 9 3 8 21 39 24 6 2 4 10 1 1 45 17 32 109 101 55 14 5 12 22 - ------- ------- ------- ------ ------ -------- 9,009 4,747 1,410 502 949 2,558 - ------- ------- ------- ------ ------ -------- -- -- (21) -- -- (120) (1,534) (765) (3) -- (113) (295) (1,578) (1,521) (476) (145) -- (853) (483) (248) -- -- -- -- (154) (27) -- -- -- -- (496) -- -- -- -- -- - ------- ------- ------- ------ ------ -------- 4,764 2,186 910 357 836 1,290 - ------- ------- ------- ------ ------ -------- 15,408 6,683 6,720 2,356 5,429 11,932 - ------- ------- ------- ------ ------ -------- -- 14 7,319 2,085 1,510 (1,252) -- -- -- -- -- -- -- -- (4,228) 796 191 (495) -- -- -- -- -- 760 -- -- 1,385 395 879 (39,525) -- -- -- -- -- -- -- -- (1,430) (204) (69) (270) - ------- ------- ------- ------ ------ -------- $15,408 $ 6,697 $ 9,766 $5,428 $7,940 $(28,850) - ------- ------- ------- ------ ------ --------
SEI Daily Income Trust / Annual Report / January 31, 2009 35 Statements of Changes in Net Assets ($ Thousands) For the years ended January 31,
MONEY MARKET GOVERNMENT FUND FUND ------------------------- ------------------------- 2009 2008 2009 2008 ----------- ----------- ----------- ----------- OPERATIONS: Net Investment Income $ 18,597 $ 56,480 $ 34,534 $ 48,797 Net Realized Gain (Loss) on Investments (6,625) 4 9 (21) Payment by Affiliate* 6,574 -- -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments and Affiliated Investment 2,861 (2,861) -- -- ----------- ----------- ----------- ----------- Net Increase in Net Assets Resulting from Operations 21,407 53,623 34,543 48,776 ----------- ----------- ----------- ----------- DIVIDENDS TO SHAREHOLDERS: NET INVESTMENT INCOME Class A (9,185) (30,293) (24,900) (33,800) Class B (3,068) (8,720) (6,616) (7,320) Class C (4,369) (12,366) (2,538) (6,715) Class H -- -- -- -- Sweep Class (1,984) (5,109) (480) (963) ----------- ----------- ----------- ----------- Total Dividends (18,606) (56,488) (34,534) (48,798) ----------- ----------- ----------- ----------- CAPITAL SHARE TRANSACTIONS (ALL AT $1.00 PER SHARE): CLASS A: Proceeds from Shares Issued 1,901,662 3,297,445 5,981,532 4,429,982 Reinvestment of Dividends & Distributions 5,470 16,793 16,138 20,018 Cost of Shares Redeemed (1,968,247) (3,535,185) (5,502,747) (3,926,107) ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets from Class A Transactions (61,115) (220,947) 494,923 523,893 ----------- ----------- ----------- ----------- CLASS B: Proceeds from Shares Issued 674,343 948,867 1,940,587 1,511,639 Reinvestment of Dividends & Distributions 315 1,740 4,761 3,546 Cost of Shares Redeemed (720,832) (931,535) (1,519,037) (1,440,263) ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets from Class B Transactions (46,174) 19,072 426,311 74,922 ----------- ----------- ----------- ----------- CLASS C: Proceeds from Shares Issued 960,510 1,169,740 559,348 765,159 Reinvestment of Dividends & Distributions 166 555 -- -- Cost of Shares Redeemed (1,062,248) (1,153,822) (560,578) (748,287) ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets from Class C Transactions (101,572) 16,473 (1,230) 16,872 ----------- ----------- ----------- ----------- CLASS H: Proceeds from Shares Issued N/A N/A N/A N/A Reinvestment of Dividends & Distributions N/A N/A N/A N/A Cost of Shares Redeemed N/A N/A N/A N/A ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets from Class H Transactions N/A N/A N/A N/A ----------- ----------- ----------- ----------- SWEEP CLASS: Proceeds from Shares Issued 533,994 658,307 429,120 335,540 Reinvestment of Dividends & Distributions -- -- 43 52 Cost of Shares Redeemed (599,457) (615,774) (412,243) (322,436) ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets from Sweep Class Transactions (65,463) 42,533 16,920 13,156 ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets from Capital Share Transactions (274,324) (142,869) 936,924 628,843 ----------- ----------- ----------- ----------- Total Increase (Decrease) in Net Assets (271,523) (145,734) 936,933 628,821 ----------- ----------- ----------- ----------- NET ASSETS: BEGINNING OF YEAR 960,664 1,106,398 1,411,682 782,861 ----------- ----------- ----------- ----------- END OF YEAR $ 689,141 $ 960,664 $ 2,348,615 $ 1,411,682 ----------- ----------- ----------- ----------- Distributions in Excess of Net Investment Income $ (46) $ -- $ -- $ -- ----------- ----------- ----------- -----------
*See Note 3 in Notes to Financial Statements. Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 36
GOVERNMENT II PRIME OBLIGATION TREASURY TREASURY II FUND FUND FUND FUND - ------------------------- --------------------------- -------------------------- ------------------------- 2009 2008 2009 2008 2009 2008 2009 2008 - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- $ 32,492 $ 43,747 $ 121,620 $ 277,585 $ 15,408 $ 48,447 $ 6,683 $ 10,234 16 (1) (64,872) 72 -- -- 14 (4) -- -- -- -- -- -- -- -- -- -- 72,844 (14,480) -- -- -- -- - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- 32,508 43,746 129,592 263,177 15,408 48,447 6,697 10,230 - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- (28,023) (36,536) (96,337) (204,056) (7,469) (17,880) (5,274) (7,673) (3,807) (6,641) (7,370) (30,210) (5,961) (19,393) (1,349) (2,373) (662) (570) (10,268) (37,386) (960) (5,680) (60) (188) -- -- (1,431) (3,196) -- -- -- -- -- -- (837) (2,756) (1,018) (5,494) -- -- - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- (32,492) (43,747) (116,243) (277,604) (15,408) (48,447) (6,683) (10,234) - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- 4,216,167 2,877,203 20,904,381 36,454,577 19,984,359 4,357,178 2,788,233 2,556,258 2,310 4,126 23,064 42,778 2,558 2,340 1,600 1,607 (3,522,616) (2,207,185) (20,881,600) (36,127,886) (20,024,455) (4,036,663) (2,617,194) (2,223,661) - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- 695,861 674,144 45,845 369,469 (37,538) 322,855 172,639 334,204 - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- 889,367 510,735 2,111,294 4,235,534 2,538,926 2,424,394 1,055,747 604,452 1,367 665 2,778 12,453 2,858 6,568 471 239 (799,304) (501,430) (2,244,412) (4,486,791) (2,816,033) (2,028,554) (802,368) (547,295) - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- 91,430 9,970 (130,340) (238,804) (274,249) 402,408 253,850 57,396 - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- 121,329 86,737 3,319,590 5,373,977 977,573 962,801 161,148 53,492 -- -- 3,901 9,987 24 94 4 39 (133,406) (47,289) (3,499,746) (5,521,087) (1,049,713) (918,903) (155,042) (66,552) - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- (12,077) 39,448 (176,255) (137,123) (72,116) 43,992 6,110 (13,021) - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- N/A N/A 143,780 176,273 N/A N/A N/A N/A N/A N/A 1,431 3,196 N/A N/A N/A N/A N/A N/A (168,137) (163,790) N/A N/A N/A N/A - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- N/A N/A (22,926) 15,679 N/A N/A N/A N/A - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- N/A N/A 412,431 558,435 811,013 740,584 N/A N/A N/A N/A 214 509 -- -- N/A N/A N/A N/A (412,009) (550,395) (716,148) (725,736) N/A N/A - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- N/A N/A 636 8,549 94,865 14,848 N/A N/A - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- 775,214 723,562 (283,040) 17,770 (289,038) 784,103 432,599 378,579 - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- 775,230 723,561 (269,691) 3,343 (289,038) 784,103 432,613 378,575 - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- 1,548,799 825,238 4,995,727 4,992,384 1,628,720 844,617 632,802 254,227 - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- $ 2,324,029 $ 1,548,799 $ 4,726,036 $ 4,995,727 $ 1,339,682 $ 1,628,720 $ 1,065,415 $ 632,802 - ----------- ----------- ------------ ------------ ------------ ----------- ----------- ----------- $ -- $ -- $ (902) $ -- $ -- $ -- $ -- $ -- - ----------- ----------- ------------ ------------ ------------ ----------- ----------- -----------
SEI Daily Income Trust / Annual Report / January 31, 2009 37 Statements of Changes in Net Assets ($ Thousands) For the years ended January 31,
SHORT-DURATION GOVERNMENT FUND -------------------- 2009 2008 --------- -------- OPERATIONS: Net Investment Income $ 6,720 $ 5,474 Net Realized Gain (Loss) on Investments and Futures Contracts 3,091 1,040 Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts (45) 2,869 --------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations 9,766 9,383 --------- -------- DIVIDENDS TO SHAREHOLDERS: Net Investment Income (6,868) (5,655) --------- -------- Total Dividends (6,868) (5,655) --------- -------- CAPITAL SHARE TRANSACTIONS: CLASS A: Proceeds from Shares Issued 314,910 96,648 Reinvestment of Dividends & Distributions 5,581 3,913 Cost of Shares Redeemed (208,217) (46,859) --------- -------- Increase (Decrease) in Net Assets from Class A Transactions 112,274 53,702 --------- -------- Net Increase (Decrease) in Net Assets 115,172 57,430 --------- -------- NET ASSETS: BEGINNING OF YEAR 172,892 115,462 --------- -------- END OF YEAR $ 288,064 $172,892 --------- -------- Undistributed (Distributions in Excess of) Net Investment Income $ -- $ 5 --------- -------- SHARE TRANSACTIONS: CLASS A: Shares Issued 31,072 9,620 Reinvestment of Distributions 548 391 Shares Redeemed (20,447) (4,684) --------- -------- Net Increase (Decrease) in Shares Outstanding from Share Transactions 11,173 5,327 --------- --------
Amounts designated as "--" are zero or have been rounded to zero. The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 38
INTERMEDIATE-DURATION GNMA ULTRA SHORT GOVERNMENT FUND FUND BOND FUND - --------------------- --------------------- --------------------- 2009 2008 2009 2008 2009 2008 - -------- ---------- --------- --------- --------- --------- $ 2,356 $ 1,566 $ 5,429 $ 6,565 $ 11,932 $ 13,149 2,881 865 1,701 (21) (987) (1,100) 191 1,693 810 3,808 (39,795) (5,293) - -------- ---------- --------- --------- --------- --------- 5,428 4,124 7,940 10,352 (28,850) 6,756 - -------- ---------- --------- --------- --------- --------- (2,389) (1,582) (5,478) (6,742) (11,795) (13,045) - -------- ---------- --------- --------- --------- --------- (2,389) (1,582) (5,478) (6,742) (11,795) (13,045) - -------- ---------- --------- --------- --------- --------- 108,145 28,014 181,448 23,497 304,138 300,337 2,060 1,197 3,048 2,369 11,302 11,765 (71,591) (28,016) (141,143) (58,363) (477,077) (135,270) - -------- ---------- --------- --------- --------- --------- 38,614 1,195 43,353 (32,497) (161,637) 176,832 - -------- ---------- --------- --------- --------- --------- 41,653 3,737 45,815 (28,887) (202,282) 170,543 - -------- ---------- --------- --------- --------- --------- 50,372 46,635 114,824 143,711 409,363 238,820 - -------- ---------- --------- --------- --------- --------- $ 92,025 $ 50,372 $ 160,639 $114,824 $ 207,081 $ 409,363 - -------- ---------- --------- --------- --------- --------- $ (2) $ (5) $ (9) $ (29) $ (4) $ -- - -------- ---------- --------- --------- --------- --------- 9,983 2,704 18,854 2,490 32,955 30,805 190 116 317 252 1,227 1,195 (6,640) (2,741) (14,766) (6,207) (52,091) (13,707) - -------- ---------- --------- --------- --------- --------- 3,533 79 4,405 (3,465) (17,909) 18,293 - -------- ---------- --------- --------- --------- ---------
SEI Daily Income Trust / Annual Report / January 31, 2009 39 Financial Highlights For the years ended January 31, For a Share Outstanding Throughout the Years
Net Realized and Unrealized Net Asset Gains Dividends Total Value, Net (Losses) Payment Total from Net Dividends Beginning Investment on by from Investment and of Year Income(1) Securities Affiliate Operations Income Distributions --------- ---------- ---------- --------- ---------- ---------- ------------- MONEY MARKET FUND CLASS A 2009 $1.00 $0.02 $(0.01) $0.01 $0.02 $(0.02) $(0.02) 2008 1.00 0.05 -- -- 0.05 (0.05) (0.05) 2007 1.00 0.05 -- -- 0.05 (0.05) (0.05) 2006 1.00 0.03 -- -- 0.03 (0.03) (0.03) 2005 1.00 0.01 -- -- 0.01 (0.01) (0.01) CLASS B 2009 $1.00 $0.02 $(0.01) $0.01 $0.02 $(0.02) $(0.02) 2008 1.00 0.05 -- -- 0.05 (0.05) (0.05) 2007 1.00 0.05 -- -- 0.05 (0.05) (0.05) 2006 1.00 0.03 -- -- 0.03 (0.03) (0.03) 2005 1.00 0.01 -- -- 0.01 (0.01) (0.01) CLASS C 2009 $1.00 $0.02 $(0.01) $0.01 $0.02 $(0.02) $(0.02) 2008 1.00 0.05 -- -- 0.05 (0.05) (0.05) 2007 1.00 0.04 -- -- 0.04 (0.04) (0.04) 2006 1.00 0.03 -- -- 0.03 (0.03) (0.03) 2005 1.00 0.01 -- -- 0.01 (0.01) (0.01) SWEEP CLASS 2009 $1.00 $0.02 $(0.01) $0.01 $0.02 $(0.02) $(0.02) 2008 1.00 0.04 -- -- 0.04 (0.04) (0.04) 2007 1.00 0.04 -- -- 0.04 (0.04) (0.04) 2006 1.00 0.03 -- -- 0.03 (0.03) (0.03) 2005 1.00 0.01 -- -- 0.01 (0.01) (0.01) GOVERNMENT FUND CLASS A 2009 $1.00 $0.02 $ -- $ -- $0.02 $(0.02) $(0.02) 2008 1.00 0.05 -- -- 0.05 (0.05) (0.05) 2007 1.00 0.05 -- -- 0.05 (0.05) (0.05) 2006 1.00 0.03 -- -- 0.03 (0.03) (0.03) 2005 1.00 0.01 -- -- 0.01 (0.01) (0.01) CLASS B 2009 $1.00 $0.02 $ -- $ -- $0.02 $(0.02) $(0.02) 2008 1.00 0.05 -- -- 0.05 (0.05) (0.05) 2007 1.00 0.05 -- -- 0.05 (0.05) (0.05) 2006 1.00 0.03 -- -- 0.03 (0.03) (0.03) 2005 1.00 0.01 -- -- 0.01 (0.01) (0.01) CLASS C 2009 $1.00 $0.02 $ -- $ -- $0.02 $(0.02) $(0.02) 2008 1.00 0.04 -- -- 0.04 (0.04) (0.04) 2007 1.00 0.04 -- -- 0.04 (0.04) (0.04) 2006 1.00 0.03 -- -- 0.03 (0.03) (0.03) 2005 1.00 0.01 -- -- 0.01 (0.01) (0.01) Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Asset Net Assets Expenses Net Assets Income Value, End Total End of Year to Average (Excluding to Average of Year Return+ ($ Thousands) Net Assets Waivers) Net Assets ---------- ------- ------------- ---------- ----------- ------------ MONEY MARKET FUND CLASS A 2009 $1.00 2.45%++ $ 341,204 0.20%* 0.64% 2.46% 2008 1.00 5.23 401,174 0.18 0.63 5.13 2007 1.00 5.07 623,314 0.18 0.63 4.97 2006 1.00 3.30 392,207 0.18 0.62 3.25 2005 1.00 1.37 524,849 0.18 0.62 1.38 CLASS B 2009 $1.00 2.15%++ $ 120,925 0.50%* 0.70% 2.19% 2008 1.00 4.92 166,627 0.48 0.68 4.82 2007 1.00 4.76 148,053 0.48 0.68 4.61 2006 1.00 2.99 123,851 0.48 0.67 2.98 2005 1.00 1.07 107,650 0.48 0.67 1.10 CLASS C 2009 $1.00 1.94%++ $ 158,833 0.70%* 0.89% 2.00% 2008 1.00 4.71 259,640 0.68 0.88 4.61 2007 1.00 4.55 243,944 0.68 0.88 4.48 2006 1.00 2.78 232,072 0.68 0.87 2.83 2005 1.00 0.86 152,060 0.68 0.87 0.84 SWEEP CLASS 2009 $1.00 1.69%++ $ 68,179 0.95%* 1.14% 1.79% 2008 1.00 4.45 133,223 0.93 1.13 4.35 2007 1.00 4.29 91,087 0.93 1.13 4.19 2006 1.00 2.53 113,107 0.93 1.12 2.60 2005 1.00 0.61 69,101 0.93 1.12 0.61 GOVERNMENT FUND CLASS A 2009 $1.00 2.15% $1,526,541 0.22%* 0.54% 2.06% 2008 1.00 4.98 1,031,612 0.20 0.53 4.79 2007 1.00 4.97 507,735 0.20 0.54 4.88 2006 1.00 3.21 467,445 0.20 0.53 3.23 2005 1.00 1.30 369,440 0.20 0.53 1.32 CLASS B 2009 $1.00 1.84% $ 623,905 0.52%* 0.60% 1.62% 2008 1.00 4.67 197,593 0.50 0.58 4.53 2007 1.00 4.66 122,674 0.50 0.59 4.57 2006 1.00 2.90 122,025 0.50 0.58 2.84 2005 1.00 1.00 156,741 0.50 0.58 0.93 CLASS C 2009 $1.00 1.64% $ 153,015 0.71%*(2) 0.79% 1.65% 2008 1.00 4.46 154,244 0.70 0.78 4.35 2007 1.00 4.45 137,375 0.70 0.79 4.37 2006 1.00 2.70 129,416 0.70 0.78 2.74 2005 1.00 0.80 86,267 0.70 0.78 0.77
SEI Daily Income Trust / Annual Report / January 31, 2009 40
Net Realized and Unrealized Net Asset Gains Dividends Total Value, Net (Losses) Total from Net Dividends Net Asset Beginning Investment on from Investment and Value, End of Year Income(1) Securities Operations Income Distributions of Year --------- ---------- ---------- ---------- ---------- ------------- ---------- GOVERNMENT FUND (CONTINUED) SWEEP CLASS 2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00 2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 2006 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 GOVERNMENT II FUND CLASS A 2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00 2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 CLASS B 2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00 2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 CLASS C 2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00 2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 PRIME OBLIGATION FUND CLASS A 2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00 2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income Total End of Year to Average (Excluding to Average Return+ ($ Thousands) Net Assets Waivers) Net Assets ------- ------------- ---------- ----------- ------------ GOVERNMENT FUND (CONTINUED) SWEEP CLASS 2009 1.39% $ 45,154 0.96%*(2) 1.04% 1.34% 2008 4.20 28,233 0.95 1.03 4.06 2007 4.19 15,077 0.95 1.04 4.07 2006 2.44 26,361 0.95 1.03 2.43 2005 0.55 27,841 0.95 1.03 0.51 GOVERNMENT II FUND CLASS A 2009 2.10% $2,050,235 0.21%* 0.50% 1.99% 2008 4.97 1,354,361 0.20 0.48 4.81 2007 4.96 680,219 0.20 0.49 4.86 2006 3.18 576,242 0.20 0.48 3.18 2005 1.27 515,216 0.20 0.48 1.25 CLASS B 2009 1.79% $ 242,332 0.51%* 0.54% 1.80% 2008 4.66 150,900 0.50 0.53 4.53 2007 4.64 140,930 0.50 0.54 4.56 2006 2.87 168,616 0.50 0.53 2.80 2005 0.97 160,509 0.50 0.53 0.92 CLASS C 2009 1.60% $ 31,462 0.70%*(2) 0.74% 1.63% 2008 4.45 43,538 0.70 0.73 4.05 2007 4.44 4,089 0.70 0.74 4.38 2006 2.67 4,457 0.70 0.73 2.39 2005 0.76 18,637 0.70 0.73 0.71 PRIME OBLIGATION FUND CLASS A 2009 2.37% $3,796,102 0.22%* 0.50% 2.42% 2008 5.21 3,740,714 0.20 0.48 5.10 2007 5.06 3,382,051 0.20 0.49 4.96 2006 3.28 2,957,074 0.20 0.48 3.26 2005 1.34 2,972,833 0.20 0.48 1.31
Amounts designated as "--" are $0 or have been rounded to $0. * The expense ratio includes the Treasury Guarantee Program expense. Had the expense been excluded, the expense ratio would have been equal to, or less than, the expense ratio cap figure. See Note 3 for expense ratio cap figure. + Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. ++ The total return includes payment by affiliate. Had the payment been excluded the total return would have been 1.61%, 1.31%, 1.11% and 0.86% for Class A, Class B, Class C and Sweep Class, respectively. See Note 3 in Notes to Financial Statements. (1) Per share calculations were performed using average shares. (2) The Distributor has voluntarily agreed to waive and reduce its fee and/or reimburse certain expenses of the Fund in order to limit the one-day net income yield of the Fund to not less than 0.01% of the Fund's average daily net assets of the share class. Had these waivers and the Treasury Guarantee Program expense been excluded the ratio would have been at the expense ratio cap figure. See Note 3 for expense ratio cap figure. The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 41 Financial Highlights For the years ended January 31, For a Share Outstanding Throughout the Years
Net Realized and Unrealized Net Asset Gains Dividends Total Value, Net (Losses) Total from Net Dividends Net Asset Beginning Investment on from Investment and Value, End of Year Income(1) Securities Operations Income Distributions of Year --------- ---------- ---------- ---------- ---------- ------------- ---------- PRIME OBLIGATION FUND (CONTINUED) CLASS B 2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00 2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 CLASS C 2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00 2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 CLASS H 2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00 2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 SWEEP CLASS 2009 $1.00 $0.02 $-- $0.02 $(0.02) $(0.02) $1.00 2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 TREASURY FUND CLASS A 2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00 2008 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 CLASS B 2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00 2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 CLASS C 2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00 2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 Ratio of Expenses Ratio of Net Ratio of to Average Investment Net Assets Expenses Net Assets Income Total End of Year to Average (Excluding to Average Return+ ($ Thousands) Net Assets Waivers) Net Assets ------- ------------- ---------- ----------- ------------ PRIME OBLIGATION FUND (CONTINUED) CLASS B 2009 2.06% $346,741 0.51%* 0.55% 2.17% 2008 4.90 475,700 0.50 0.53 4.82 2007 4.74 715,879 0.50 0.54 4.65 2006 2.98 625,831 0.50 0.53 2.88 2005 1.03 663,635 0.50 0.53 1.05 CLASS C 2009 1.86% $467,782 0.71%* 0.75% 2.04% 2008 4.69 641,977 0.70 0.73 4.60 2007 4.53 780,951 0.70 0.74 4.45 2006 2.77 779,625 0.70 0.73 2.76 2005 0.83 730,310 0.70 0.73 0.82 CLASS H 2009 1.93% $ 58,276 0.64%* 0.67% 2.11% 2008 4.76 80,958 0.63 0.66 4.65 2007 4.61 65,512 0.63 0.67 4.55 2006 2.84 36,006 0.63 0.66 2.81 2005 0.90 41,221 0.63 0.66 0.90 SWEEP CLASS 2009 1.62% $ 57,135 0.95%*(3) 1.00% 1.54% 2008 4.43 56,378 0.95 0.98 4.34 2007 4.27 47,991 0.95 0.99 4.20 2006 2.51 45,130 0.95 0.98 2.53 2005 0.58 32,908 0.95 0.98 0.58 TREASURY FUND CLASS A 2009 1.27% $572,906 0.19%* 0.55% 1.18% 2008 4.64 610,451 0.20 0.53 4.36 2007 4.95 287,595 0.20 0.54 4.87 2006 3.13 208,097 0.20 0.53 3.05 2005 1.22 292,974 0.20 0.53 1.21 CLASS B 2009 1.06% $487,254 0.40%*(3) 0.59% 1.12% 2008 4.33 761,497 0.50 0.58 4.07 2007 4.64 359,090 0.50 0.59 4.58 2006 2.82 239,461 0.50 0.58 2.81 2005 0.91 206,698 0.50 0.58 0.85 CLASS C 2009 0.93% $ 72,803 0.53%*(3) 0.80% 0.98% 2008 4.12 144,919 0.70 0.78 4.00 2007 4.43 100,928 0.70 0.79 4.34 2006 2.62 113,403 0.70 0.78 2.70 2005 0.71 68,932 0.70 0.78 0.66
SEI Daily Income Trust / Annual Report / January 31, 2009 42
Net Realized and Net Net Asset Unrealized Dividends Total Asset Value, Net Gains Total from Net Dividends Value, Net Assets Beginning Investment (Losses) on from Investment and End of Total End of Year of Year Income(1) Securities Operations Income Distributions Year Return+ ($ Thousands) --------- ---------- ----------- ---------- ---------- ------------- ------ ------- ------------- TREASURY FUND (CONTINUED) SWEEP CLASS 2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00 0.77% $206,719 2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.86 111,853 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.17 97,004 2006 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2.36 83,570 2005 1.00 -- -- -- --(2) --(2) 1.00 0.49 95,407 TREASURY II FUND CLASS A 2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00 1.05% $688,813 2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.11 516,164 2007 1.00 0.05 -- 0.05 (0.05) (0.05) 1.00 4.62 181,976 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.85 178,480 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 1.09 263,727 CLASS B 2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00 0.82% $363,238 2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.81 109,384 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.31 51,984 2006 1.00 0.03 -- 0.03 (0.03) (0.03) 1.00 2.54 70,593 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.79 78,781 CLASS C 2009 $1.00 $0.01 $-- $0.01 $(0.01) $(0.01) $1.00 0.69% $ 13,364 2008 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 3.59 7,254 2007 1.00 0.04 -- 0.04 (0.04) (0.04) 1.00 4.10 20,267 2006 1.00 0.02 -- 0.02 (0.02) (0.02) 1.00 2.33 2,602 2005 1.00 0.01 -- 0.01 (0.01) (0.01) 1.00 0.59 31,370 Ratio of Ratio of Expenses Net Ratio of to Average Investment Expenses Net Assets Income to to Average (Excluding Average Net Net Assets Waivers) Assets ---------- ---------- ----------- TREASURY FUND (CONTINUED) SWEEP CLASS 2009 0.61%*(3) 1.05% 0.67% 2008 0.95 1.03 3.74 2007 0.95 1.04 4.11 2006 0.95 1.03 2.35 2005 0.93 1.03 0.49 TREASURY II FUND CLASS A 2009 0.20%* 0.54% 0.87% 2008 0.21 0.53 3.72 2007 0.25 0.53 4.50 2006 0.25 0.53 2.78 2005 0.25 0.53 1.08 CLASS B 2009 0.39%*(3) 0.59% 0.58% 2008 0.51 0.58 3.54 2007 0.55 0.58 4.18 2006 0.55 0.58 2.50 2005 0.55 0.58 0.70 CLASS C 2009 0.47%*(3) 0.79% 0.50% 2008 0.72 0.79 3.71 2007 0.75 0.78 4.04 2006 0.75 0.78 2.03 2005 0.75 0.78 0.54
Amounts designated as "--" are $0 or have been rounded to $0. * The expense ratio includes the Treasury Guarantee Program expense. Had the expense been excluded, the expense ratio would have been equal to, or less than, the expense ratio cap figure. See Note 3 for expense ratio cap figure. + Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. (1) Per share calculations were performed using average shares. (2) Amount represents less than $0.01 per share. (3) The Distributor has voluntarily agreed to waive and reduce its fee and/or reimburse certain expenses of the Fund in order to limit the one-day net income yield of the Fund to not less than 0.01% of the Fund's average daily net assets of the share class. Had these waivers and the Treasury Guarantee Program expense been excluded the ratio would have been at the expense ratio cap figure. See Note 3 for expense ratio cap figure. The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 43 Financial Highlights For the years ended January 31, For a Share Outstanding Throughout the Years
Net Realized and Distributions Net Net Asset Unrealized Dividends from Total Asset Value, Net Gains Total from Net Realized Dividends Value, Beginning Investment (Losses) on from Investment Capital and End of Year Income(1) Securities Operations Income Gains Distributions of Year --------- ---------- ----------- ---------- ---------- ------------- ------------- ------- SHORT-DURATION GOVERNMENT FUND CLASS A 2009 $10.21 $0.36 $ 0.04 $ 0.40 $(0.36) $ -- $(0.36) $10.25 2008 9.95 0.46 0.28 0.74 (0.48) -- (0.48) 10.21 2007 10.02 0.42 (0.04) 0.38 (0.45) -- (0.45) 9.95 2006 10.19 0.32 (0.13) 0.19 (0.36) -- (0.36) 10.02 2005 10.35 0.22 (0.12) 0.10 (0.26) -- (0.26) 10.19 INTERMEDIATE-DURATION GOVERNMENT FUND CLASS A 2009 $10.76 $0.38 $ 0.44 $ 0.82 $(0.38) $ -- $(0.38) $11.20 2008 10.13 0.45 0.63 1.08 (0.45) -- (0.45) 10.76 2007 10.21 0.42 (0.06) 0.36 (0.44) -- (0.44) 10.13 2006 10.50 0.36 (0.26) 0.10 (0.39) -- (0.39) 10.21 2005 10.64 0.31 (0.11) 0.20 (0.33) (0.01) (0.34) 10.50 GNMA FUND CLASS A 2009 $ 9.63 $0.40 $ 0.21 $ 0.61 $(0.40) $ -- $(0.40) $ 9.84 2008 9.34 0.45 0.30 0.75 (0.46) -- (0.46) 9.63 2007 9.48 0.44 (0.11) 0.33 (0.47) -- (0.47) 9.34 2006 9.71 0.41 (0.16) 0.25 (0.48) -- (0.48) 9.48 2005 9.86 0.39 (0.04) 0.35 (0.50) -- (0.50) 9.71 ULTRA SHORT BOND FUND CLASS A 2009 $ 9.69 $0.32 $(1.18) $(0.86) $(0.32) $ -- $(0.32) $ 8.51 2008 9.97 0.48 (0.28) 0.20 (0.48) -- (0.48) 9.69 2007 9.95 0.45 0.03 0.48 (0.46) -- (0.46) 9.97 2006++ 10.00 0.32 (0.04) 0.28 (0.33) -- (0.33) 9.95 2005++ 10.10 0.20 (0.10) 0.10 (0.20) -- (0.20) 10.00 Ratio of Ratio of Expenses Net Ratio of to Average Investment Net Assets Expenses Net Assets Income Portfolio Total End of Year to Average (Excluding to Average Turnover Return+ ($ Thousands) Net Assets Waivers) Net Assets Rate ------- ------------- ---------- ---------- ---------- --------- SHORT-DURATION GOVERNMENT FUND CLASS A 2009 4.05% $288,064 0.48% 0.74% 3.53% 693% 2008 7.65 172,892 0.45 0.76 4.63 266 2007 3.84 115,462 0.45 0.78 4.19 210 2006 1.93 155,512 0.45 0.75 3.15 162 2005 0.96 202,035 0.45 0.74 2.12 66 INTERMEDIATE-DURATION GOVERNMENT FUND CLASS A 2009 7.85% $ 92,025 0.53% 0.74% 3.48% 641% 2008 10.97 50,372 0.50 0.75 4.34 234 2007 3.64 46,635 0.50 0.78 4.17 200 2006 0.94 85,873 0.50 0.73 3.46 151 2005 1.85 109,394 0.50 0.73 2.92 80 GNMA FUND CLASS A 2009 6.51% $160,639 0.63% 0.71% 4.08% 474% 2008 8.31 114,824 0.60 0.72 4.82 271 2007 3.65 143,711 0.60 0.74 4.72 105 2006 2.60 166,324 0.60 0.71 4.26 97 2005 3.64 171,139 0.60 0.71 3.97 85 ULTRA SHORT BOND FUND CLASS A 2009 (9.00)% $207,081 0.38% 0.75% 3.50% 99% 2008 2.06 409,363 0.35 1.28 4.87 54 2007 4.88 238,820 0.35 0.76 4.51 40 2006++ 2.90 412,217 0.35 0.75 3.22 67 2005++ 1.11 317,382 0.35 0.75 1.84 59
Amounts designated as "--" are $0 or have been rounded to $0. + Returns are for the period indicated and have not been annualized. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. ++ Per share amounts have been adjusted for a 5 for 1 reverse stock split paid to shareholders of record on May 6, 2005. (1) Per share calculations were performed using average shares. The accompanying notes are an integral part of the financial statements. SEI Daily Income Trust / Annual Report / January 31, 2009 44 NOTES TO FINANCIAL STATEMENTS Notes to Financial Statements 1. ORGANIZATION SEI Daily Income Trust (the "Trust") was organized as a Massachusetts business trust under a Declaration of Trust dated March 15, 1982. The Trust is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end investment company with ten operational Funds: the Money Market, Government, Government II, Prime Obligation, Treasury and Treasury II (each a "Fund," collectively the "Money Market Funds"), the Short-Duration Government, Intermediate-Duration Government, GNMA and Ultra Short Bond (each a "Fund," collectively the "Fixed Income Funds"). The Money Market, Government, Government II, Prime Obligation, Treasury, Treasury II, Short-Duration Government, Intermediate-Duration Government, and GNMA Funds seek to preserve principal value and maintain a high degree of liquidity while providing current income. The Ultra Short Bond Fund seeks to provide higher current income than typically offered by a money market fund while maintaining a high degree of liquidity and a correspondingly higher risk of principal volatility. The assets of each Fund are segregated, and a shareholder's interest is limited to the Fund in which shares are held. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed by the Funds. USE OF ESTIMATES -- The preparation of financial statements, in conformity with U.S. generally accepted accounting principles, requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets at the date of the financial statements, and the reported results of operations during the reporting period. Actual results could differ from those estimates. SECURITY VALUATION -- Investment securities of the Money Market Funds, except those securities which are covered by the Capital Support Agreement, are stated at amortized cost which approximates market value. Under this valuation method, purchase discounts and premiums are accreted and amortized ratably to maturity and are included in interest income. The Funds' use of amortized cost is subject to their compliance with certain conditions as specified by rule 2a-7 of the 1940 act. Refer to Note 10 for a discussion of the Capital Support Agreement entered into by the Money Market Fund and the Prime Obligation Fund. Investment securities of the Fixed Income Funds listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the last quoted sale price on the primary exchange or market on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent, third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker. Securities for which market prices are not "readily available" are valued in accordance with Fair Value Procedures established by the Trust's Board of Trustees. The Trust's Fair Value Procedures are implemented through a Fair Value Committee (the "Committee") designated by the Trust's Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security's trading has been halted or suspended; the security has been de-listed from a national exchange; the security's primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security's primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"), was adopted by the Trust effective February 1, 2008. In accordance with FAS 157, fair value is defined as the price that the Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. FAS 157 established a three-tier hierarchy to maximize the use of the observable market data and minimize the use of unobservable inputs and to establish classification of the fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. SEI Daily Income Trust / Annual Report / January 31, 2009 45 NOTES TO FINANCIAL STATEMENTS (CONTINUED) The three-tier hierarchy of inputs is summarized in the three broad Levels listed below: Level 1 - quoted prices in active markets for identical investments Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.) Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) The valuation techniques used by the Trust to measure fair value in accordance with FAS 157 during the year ended January 31, 2009 maximized the use of observable inputs and minimized the use of unobservable inputs. The following is a summary of the inputs used as of January 31, 2009 in valuing the Trust's investments in accordance with FAS 157 carried at value ($ Thousands):
INVESTMENTS IN SECURITIES LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ------------------------------------- ------- ---------- -------- ---------- Money Market Fund $-- $ 692,944 $ -- $ 692,944 Government Fund -- 2,424,552 -- 2,424,552 Government II Fund -- 2,322,329 -- 2,322,329 Prime Obligation Fund -- 4,468,184 256,533 4,724,717 Treasury Fund -- 1,339,711 -- 1,339,711 Treasury II Fund -- 1,065,460 -- 1,065,460 Short-Duration Government Fund -- 285,036 -- 285,036 Intermediate-Duration Government Fund -- 96,211 -- 96,211 GNMA Fund -- 196,538 -- 196,538 Ultra Short Bond Fund -- 209,260 1,139 210,399
OTHER FINANCIAL INSTRUMENTS* LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - --------------------------- ------- ---------- -------- ---------- Money Market Fund $ -- $-- $-- $ -- Government Fund -- -- -- -- Government II Fund -- -- -- -- Prime Obligation Fund -- -- -- -- Treasury Fund -- -- -- -- Treasury II Fund -- -- -- -- Short-Duration Government Fund (175) -- -- (175) Intermediate-Duration Government Fund 403 -- -- 403 GNMA Fund (79) -- -- (79) Ultra Short Bond Fund 502 -- -- 502
*Other financial instruments are futures which are valued at the unrealized appreciation/depreciation on the instrument. The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
MONEY MARKET PRIME OBLIGATION ULTRA SHORT FUND FUND BOND FUND INVESTMENT IN SECURITIES ($ THOUSANDS) ($ THOUSANDS) ($ THOUSANDS) - ------------------------ ------------ ---------------- ------------ Beginning balance as of February 1, 2008 $ 17,200 $317,999 $ -- Accrued discounts/premiums -- -- -- Realized gain/(loss) (5,715) (64,975) -- Change in Accrued Amortization (3) 5,399 -- Change in unrealized appreciation/(depreciation) 2,797 72,338 (1,198) Net purchase/sales (14,283) (216,672) (54) Amortization Sold 4 895 -- Purchases & Issuances & Settlements -- 141,549 -- Net transfer in and/or out Level 3 -- -- 2,391 -------- -------- ------ Ending balance as of January 31, 2009 $ -- $256,533 $1,139 ======== ======== ======
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are accounted for on the trade date of the security purchase or sale. Costs used in determining net realized capital gains and losses on the sale of securities are those of the specific securities sold, adjusted for the accretion and amortization of purchase discounts and premiums during the respective holding period. Interest income is recorded on the accrual basis. Purchase discounts and premiums on securities held in the Fixed Income Funds are accreted and amortized over the life of each security. Paydown gains and losses are classified as interest income. REPURCHASE AGREEMENTS -- Securities pledged as collateral for repurchase agreements are held by each Fund's custodian bank until maturity of the repurchase agreements. Provisions of the agreements and the Trust's policies ensure that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. The Funds also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker's custodian bank in a segregated account until maturity of the repurchase agreement. Provisions of the agreements ensure that the market value of the collateral, including accrued interest thereon, is sufficient in the SEI Daily Income Trust / Annual Report / January 31, 2009 46 event of default. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by a Fund may be delayed or limited. FUTURES CONTRACTS -- The Fixed Income Funds' utilized futures contracts during the year ended January 31, 2009. The Fixed Income Funds' investment in these futures contracts is designed to enable the Fixed Income Funds to more closely approximate the performance of their benchmark indices. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are "marked-to-market" daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Fixed Income Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract. Risks related to futures contracts include the possibility that there may not be a liquid market for the contracts, that the changes in the value of the contract may not directly correlate with changes in the value of the underlying securities, and that the counterparty to a contract may default on its obligation to perform. The notional amount presented in the Schedules of Investments in the Fixed Income Funds represents each Fixed Income Fund's total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in each Fixed Income Fund's net assets. SWAP AGREEMENTS -- A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or "basket" of securities representing a particular index. Credit-default swaps involve the periodic payment by the Fixed Income Fund or counterparty of interest based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swaps. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR (London Interbank Offered Rate) or some other form of index on the notional amount. Interest rate swaps involve the exchange by a Fixed Income Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage the Fixed Income Fund's exposure to interest rates. Payments received or made are recorded as realized gains or losses. The Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements, securities may be set aside as collateral by a Fund's custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio; protect a Fund's value from changes in interest rates; or expose a Fund to a different security or market. Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Net payments of interest are recorded as realized gains or losses. Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Schedule of Investments or the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. There were no swap agreements as of January 31, 2009. TBA PURCHASE COMMITMENTS -- A Fund may engage in "to be announced" ("TBA") purchase commitments to purchase securities for a fixed price at a future date. TBA purchase commitments may be considered securities and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, which risk is in addition to the risk of decline in the value of a Fund's other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities, according to the procedures described under "Security Valuation" above. COLLATERALIZED DEBT OBLIGATIONS -- A Fund may invest in collateralized debt obligations ("CDOs"), which include collateralized loan obligations ("CLOs") and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated SEI Daily Income Trust / Annual Report / January 31, 2009 47 NOTES TO FINANCIAL STATEMENTS (CONTINUED) below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses. For CDOs, the cashflows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the "equity" tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than their underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class. The risks of an investment in a CDO depend largely on the type of the collateral securities and the class of the CDO in which a Fund invests. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by a Fund as illiquid securities; however, an active dealer market may exist for CDOs allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results. ILLIQUID SECURITIES -- A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed. RESTRICTED SECURITIES -- At January 31, 2009, the Prime Obligation Fund owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Fund has generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at amortized cost as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, along with their cost and values at January 31, 2009, were as follows:
FACE AMOUNT ACQUISITION COST FAIR VALUE % OF NET ($ THOUSANDS) DATE ($ THOUSANDS) ($ THOUSANDS) ASSETS ------------- ----------- ------------- ------------- -------- PRIME OBLIGATION FUND Cheyne Finance LLC MTN 2.075%, 03/25/08 $ 62,896 10/18/06 $ -- $ -- --% Cheyne Finance LLC MTN 2.065%, 01/25/08 101,894 01/19/07 -- -- -- Cheyne Finance LLC MTN 2.063%, 10/25/07 40,762 03/19/07 -- -- -- Gryphon Funding 1.477%, 10/07/14 189,916 07/23/08 131,551(1) 68,369 1.45 Stanfield Victoria Funding LLC MTN 1.070%, 03/14/10 66,618 03/06/07 66,617 37,306 0.79 -------- -------- ---- $198,168 $105,675 2.24% ======== ======== ====
(1) The cost basis of Gryphon Funding approximated the fair value of Cheyne Finance LLC as of the restructuring date. CLASSES -- Class-specific expenses are borne by that class of shares. Income, realized and unrealized gains/losses and non-class-specific expenses are allocated to the respective class on the basis of relative daily net assets. EXPENSES -- Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses of the Trust, which are not directly associated to a specific Fund, are prorated to each Fund on the basis of relative daily net assets. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions to shareholders, which are determined in accordance with Federal tax regulations, are recorded on the ex-dividend date. Dividends from net investment income are declared on a daily basis SEI Daily Income Trust / Annual Report / January 31, 2009 48 and are payable on the first business day of the following month. Any net realized capital gains on sales of securities for a Fund are distributed to its shareholders at least annually. 3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES ADMINISTRATION AND TRANSFER AGENT AGREEMENT -- SEI Investments Global Funds Services (the "Administrator") provides administrative and transfer agency services to the Funds for annual fees, based on the average daily net assets of the respective funds, as presented below: Money Market Fund .33% Government Fund .24% Government II Fund .19% Prime Obligation Fund .19% Treasury Fund .24% Treasury II Fund .24% Short-Duration Government Fund .35% Intermediate-Duration Government Fund .35% GNMA Fund .32% Ultra Short Bond Fund .35%
However, the Administrator and Adviser have agreed to waive a portion or their entire fee, for various classes of shares in various funds, to limit total annual expenses up to the following amounts (expressed as a percentage of the Funds' daily net assets). The expense waivers are allocated to each share class pro-rata based on the net assets of each share class.
Money Prime Market Government Government II Obligation Treasury Treasury II Fund Fund Fund Fund Fund Fund ------ ---------- ------------- ---------- -------- ----------- Class A .18%(1) .20%(3) .20%(2) .20%(2) .20%(2) .20%(4) Class B .48%(1) .50%(3) .50%(2) .50%(2) .50%(2) .50%(4) Class C .68%(1) .70%(3) .70%(2) .70%(2) .70%(2) .70%(4) Class H N/A N/A N/A .63%(1) N/A N/A Sweep Class .93%(1) .95%(1) * .95%(1) .95%(1) *
Short- Intermediate- Ultra Duration Duration Short Government Government GNMA Bond Fund Fund Fund Fund ---------- ------------- ------ ------ Class A .48%(5) .53%(5) .63%(5) .38%(5)
*Class not currently operational. (1) Represents a voluntary cap that may be discontinued at any time. (2) Represents a contractual cap effective through January 31, 2009, to be changed only by Board approval. (3) Represents a contractual cap of .25%, .55%, and .75% of Class A, B, and C, respectively, effective through January 31, 2010, to be changed only by Board approval. In addition, management has voluntarily waived fees to a cap of .20%, .50%, and .70% of Class A, B, and C, respectively, that may be discontinued at any time. (4) Represents a contractual cap of .25%, .55%, and .75% of Class A, B, and C, respectively, effective through January 31, 2010 to be changed only by Board approval. Effective May 1, 2007 management has voluntarily waived fees to a cap of .20%, .50% and .70% of Class A, B, C, respectively, that may be discontinued at any time. (5) Represents a voluntary cap that may be discontinued at anytime. Prior to March 1, 2008, the cap for the Short-Duration Government, Intermediate-Duration Government, GNMA and Ultra Short Bond Funds were .45%, .50%, .60% and .35%, respectively. The Money Market Fund's Board of Trustees approved the participation in the U.S. Department of the Treasury's Temporary Guarantee Program for Money Market Funds (the "Program"). The Program insured shares held by money market fund investors as of the close of business on September 19, 2008 against loss in the event that a money market fund liquidates its holdings and shareholders receive less than $1.00 per share. The Program is designed to address temporary dislocations in the credit markets. The Program will operate through April 30, 2009. Participation in the Program requires a payment to the U.S. Department of the Treasury ranging from 0.010% to 0.015% of the net asset value of the Fund as of September 19, 2008. These expenses were borne by the Money Market Funds, and are amortized over the guarantee period for accounting purposes, without regard to any expense limitation currently in effect. DISTRIBUTION AGREEMENT -- SEI Investments Distribution Co. (the "Distributor"), a wholly owned subsidiary of SEI and a registered broker-dealer, acts as the Distributor of the shares of the Trust under various Distribution Agreements. The Trust has adopted plans under which firms, including the Distributor, that provide shareholder and administrative services may receive compensation thereof. Specific classes of certain funds have also adopted distribution plans, pursuant to Rule 12b-1 under the Investment Company Act of 1940. Such plans provide fees payable to the Distributor up to the following amounts, calculated as a percentage of the average daily net assets attributable to each particular class of each respective fund.
Shareholder Administrative Servicing Service Distribution Fees Fees Fees* ----------- -------------- ------------ Money Market Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Sweep Class .25% -- .50% Government Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Sweep Class .25% -- .50% Government II Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Prime Obligation Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Class H .25% .18% -- Sweep Class .25% -- .50%
SEI Daily Income Trust / Annual Report / January 31, 2009 49 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Shareholder Administrative Servicing Service Distribution Fees Fees Fees* ----------- -------------- ------------ Treasury Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Sweep Class .25% -- .50% Treasury II Fund Class A .25% -- -- Class B .25% .05% -- Class C .25% .25% -- Short-Duration Government Fund Class A .25% -- -- Intermediate-Duration Government Fund Class A .25% -- -- GNMA Fund Class A .25% -- -- Ultra Short Bond Fund Class A .25% -- --
* These payments are characterized as "compensation" and are not directly tied to expenses incurred by the Distributor. The payments the Distributor receives during any year may therefore be higher or lower than its actual expenses. These payments may be used to compensate sweep class shareholders who provide distribution-related services to their customers. The Distributor has voluntarily waived all or a portion of the shareholder servicing fees for Class A of each fund, except for the GNMA Fund, since inception of the plan. Such waivers are voluntary and may be discontinued at any time. For Classes B, C, and H, the shareholder servicing fees and the administrative service fees are shown combined as "Administrative & Shareholder Servicing Fees" in the Statement of Operations. The Administrator and Distributor have voluntarily agreed to waive and reduce their fee and/or reimburse certain expenses of the Money Market Funds in order to limit the one-day net income yield of the Funds to not less than 0.01% of the Funds' average daily net assets. The following table shows the waivers by class for the year ended January 31, 2009:
Shareholder Administrative Servicing Fee Fee Waiver Waiver ------------- -------------- Government Fund Class C $ 193 $ -- Sweep Class 3,245 -- Government II Fund Class C 2,882 -- Prime Obligation Fund Sweep Class 5,977 -- Treasury Fund Class A -- 204,375 Class B 483,308 142,069 Class C 153,907 26,921 Sweep Class 496,025 54,700 Treasury II Fund Class A -- 73,155 Class B 248,168 35,124 Class C 27,377 1,371
Certain officers and Trustees of the Trust are also officers and/or Trustees of the Administrator or the adviser. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator or the adviser pays compensation of officers and affiliated Trustees. The services provided by the Chief Compliance Officer ("CCO") and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust's Advisers, Sub-Advisers and service providers as required by SEC regulations. The CCO's services have been approved by and are reviewed by the Board of Trustees. CAPITAL SUPPORT AGREEMENT -- The Prime Obligation Fund has entered into a Capital Support Agreement with SEI Investments Company ("SEI"). Please see Note 10 for more information. OTHER AFFILIATED TRANSACTIONS -- For the year ended January 31, 2009, an affiliate of SIMC purchased from the Money Market Fund all of the notes issued by Cheyne Finance, LLC and Gryphon Funding Limited that were held by the Fund. This transaction was effected pursuant to Rule 17a-9 under the Investment Company Act of 1940 (the "Act"), which permits an affiliate to purchase a security from a money market fund if that security is no longer an Eligible Security pursuant to Rule 2a-7 under the Act. Cheyne and Gryphon were not Eligible Securities at the time of the transaction. The transaction is deemed as "Payment by Affiliate" on the Statement of Operations, in the amount of $6,574 ($ Thousands). 4. INVESTMENT ADVISORY AND CUSTODIAN AGREEMENTS SEI Investments Management Corporation ("SIMC") serves as each Fund's investment adviser and "manager of managers" under an investment advisory agreement approved by the shareholders of each Fund. For its services, SIMC receives an annual fee equal to .075% on the first $500 million of net assets and .02% on the net assets in excess of $500 million for the Money Market Funds. The fee will be calculated based on the combined assets of the Money Market Funds. SIMC also receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Short-Duration Government, Intermediate-Duration Government and GNMA Funds. The fee will be calculated based on the combined assets of these Funds. SIMC also receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Ultra Short Bond Fund. The fee will be calculated based on the net assets of the Ultra Short Bond Fund. SEI Daily Income Trust / Annual Report / January 31, 2009 50 Pursuant to the "manager of managers" structure, the Board of Trustees approved Columbia Management Advisors, LLC (formerly Banc of America Capital Management, LLC) as each Money Market Fund's investment sub-adviser under an investment sub-advisory agreement approved by the shareholders of each Fund. For its services to the Money Market Funds, the sub-adviser is entitled to receive a fee paid directly by SIMC. Wellington Management Company, LLP ("Wellington LLP") serves as sub-adviser to the Fixed Income Funds under an investment sub-advisory agreement approved by the shareholders of each Fund. For its services to the Funds, Wellington LLP is entitled to receive a fee paid directly by SIMC. U.S. Bank, N.A. serves as the custodian of the Funds. The custodian plays no role in determining the investment policies of the Funds or which securities are to be purchased or sold in the Funds. 5. INVESTMENT TRANSACTIONS The cost of security purchases and the proceeds from the sale of securities, other than temporary investments in short-term securities, for the year ended January 31, 2009, were as follows for the Fixed Income Funds:
Short- Intermediate- Duration Duration Government Government Ultra Short Fund Fund GNMA Fund Bond Fund ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- PURCHASES U.S. Government $1,322,632 $447,908 $657,051 $102,039 Other 35,963 6,292 18 57,067 SALES U.S. Government $1,259,529 $404,347 $613,888 $ 96,862 Other 585 447 271 64,228
6. FEDERAL TAX INFORMATION It is each Fund's intention to continue to qualify as a regulated investment company for Federal income tax purposes and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required. RECLASSIFICATION OF COMPONENTS OF NET ASSETS -- The timing and characterization of certain income and capital gain distributions are determined annually in accordance with Federal tax regulations which may differ from accounting principles generally accepted in the United States. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for the reporting period may differ from distributions during such period. These book/tax differences may be temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to Paid-in Capital, undistributed net investment income, or accumulated net realized gain, as appropriate, in the periods that the differences arise. These reclassifications, which have no impact on net asset value of the Fund, are primarily attributable to swap income reclassification, expiration of capital loss carryovers, reclass of distributions, tax treatment of paydown gain (loss) on mortgage and asset-backed securities, and the difference between the book and tax treatment of certain SIV restructuring and the resulting gain (loss) and market discount accretion. Accordingly, the following permanent differences have been reclassified to/from the following accounts during the year ended January 31, 2009:
Undistributed Accumulated Net Investment Net Realized Paid-in Capital Income Gain (Loss) ($ Thousands) ($ Thousands) ($ Thousands) --------------- -------------- ------------- Money Market Fund $ (14) $ (37) $ 51 Prime Obligation Fund -- (6,279) 6,279 Short-Duration Government Fund -- 143 (143) Intermediate-Duration Government Fund -- 36 (36) GNMA Fund (210) 69 141 Ultra Short Bond Fund -- (141) 141
The tax character of dividends and distributions during the last two fiscal years was as follows:
Ordinary Long-term Income Capital Gain Total ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- Money Market Fund 2009 $ 18,606 -- $ 18,606 2008 56,488 -- 56,488 Government Fund 2009 34,534 -- 34,534 2008 48,798 -- 48,798 Government II Fund 2009 32,492 -- 32,492 2008 43,747 -- 43,747 Prime Obligation Fund 2009 116,243 -- 116,243 2008 277,604 -- 277,604 Treasury Fund 2009 15,408 -- 15,408 2008 48,447 -- 48,447 Treasury II Fund 2009 6,683 -- 6,683 2008 10,234 -- 10,234 Short-Duration Government Fund 2009 6,868 -- 6,868 2008 5,655 -- 5,655 Intermediate-Duration Government Fund 2009 2,389 -- 2,389 2008 1,582 -- 1,582 GNMA Fund 2009 5,478 -- 5,478 2008 6,742 -- 6,742 Ultra Short Bond Fund 2009 11,795 -- 11,795 2008 13,045 -- 13,045
SEI Daily Income Trust / Annual Report / January 31, 2009 51 NOTES TO FINANCIAL STATEMENTS (CONTINUED) As of January 31, 2009, the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:
Undistributed Undistributed Capital Post- Other Unrealized Total Ordinary Long-Term Loss October Temporary Appreciation/ Accumulated Income Capital Gain Carryforwards Losses Differences (Depreciation) Losses ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- ------------- ------------- -------------- ------------- Money Market Fund $ 520 $ -- $ (23) $ -- $ (566) $ -- $ (69) Government Fund 1,415 -- (91) -- (1,415) -- (91) Government II Fund 1,001 -- (15) -- (1,001) -- (15) Prime Obligation Fund 2,133 -- (21) -- (3,036) (331) (1,255) Treasury Fund 105 -- (93) -- (105) -- (93) Treasury II Fund 52 -- (17) -- (52) -- (17) Short-Duration Government Fund 930 -- (2,812) (1,135) (930) 2,503 (1,444) Intermediate-Duration Government Fund 341 347 -- -- (278) 1,211 1,621 GNMA Fund 491 -- (10,058) -- (500) 2,998 (7,069) Ultra Short Bond Fund 616 -- (5,257) (935) (621) (45,988) (52,185)
Amounts designated as "--" are $0 or have been rounded to $0 At January 31, 2009, the following Funds had capital loss carry-forwards to offset future realized capital gains:
Amount Expiration ($ Thousands) Date ------------- ---------- Money Market Fund $ 16 1/31/14 2 1/31/15 4 1/31/16 1 1/31/17 Government Fund 1 1/31/11 54 1/31/13 4 1/31/14 32 1/13/16 Government II Fund 15 1/31/16 Prime Obligation Fund 1 1/31/14 20 1/31/16 Treasury Fund 65 1/31/12 1 1/31/13 22 1/31/14 5 1/31/15 Treasury II Fund 13 1/31/14 4 1/31/16 Short-Duration Government Fund 27 1/31/14 2,785 1/31/15 GNMA Fund 776 1/31/11 6,407 1/31/12 1,119 1/31/13 6 1/31/14 1,552 1/31/15 198 1/31/16 Ultra Short Bond Fund 557 1/31/11 442 1/31/12 1,020 1/31/13 1,045 1/31/14 1,716 1/31/15 296 1/31/16 181 1/31/17
For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. It is the Funds' intent that they will not distribute any realized gain distributions until the carryforwards have been offset or expired. During the year ended January 31, 2009, the Government Fund, Government II Fund, Prime Obligation Fund, Treasury II Fund, Short-Duration Government Fund, Intermediate-Duration Government Fund and GNMA Fund utilized $8,658, $15,904, $103,274, $13,770, $2,141,251, $2,055,699 and $1,396,975, respectively, of capital loss carryforwards, to offset capital gains. At January 31, 2009, the Money Market Funds' (excluding the Money Market Fund and Prime Obligation Fund) cost of securities for Federal income tax purposes approximates the cost located in the Statements of Assets and Liabilities. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Prime Obligation Fund and Fixed Income Funds at January 31, 2009, were as follows:
Net Unrealized Federal Appreciated Depreciated Appreciation/ Tax Cost Securities Securities (Depreciation) ($ Thousands) ($ Thousands) ($ Thousands) ($ Thousands) ------------- ------------- ------------- -------------- Prime Obligation Fund $4,725,048 $92,162 $(92,493) $ (331) Short-Duration Government Fund 282,533 3,440 (937) 2,503 Intermediate-Duration Government Fund 95,000 1,548 (337) 1,211 GNMA Fund 193,540 4,164 (1,166) 2,998 Ultra Short Bond Fund 256,387 1,144 (47,132) (45,988)
SEI Daily Income Trust / Annual Report / January 31, 2009 52 Management has analyzed the Fund's tax position taken on federal income tax returns for all open tax years and has concluded that as of January 31, 2009, no provision for income tax would be required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. 7. INVESTMENT RISKS In the normal course of business, the Money Market and Fixed Income Funds enter into contracts that provide general indemnifications by a Fund to the counterparty to the contract. The Money Market and Fixed Income Funds' maximum exposure under these arrangements is dependent on future claims that may be made against the Money Market and Fixed Income Funds and, therefore, cannot be established; however, based on experience, the risk of loss from such claim is considered remote. Investments in structured securities (such as those issued by Structured Investment Vehicles, or "SIVs") which are collateralized by residential real estate mortgages are subject to certain credit and liquidity risks. When market conditions result in an increase in default rates of the underlying mortgages and the foreclosure values of underlying real estate properties are materially below the outstanding amount of these underlying mortgages, collection of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value of these investments resulting in a lack of correlation between their credit ratings and values. 8. OTHER The Board approved a 5 for 1 reverse share split in the Ultra Short Bond Fund. The reverse share split occurred on May 6, 2005. This Fund is designed to be a low tracking error fund. The Fund experienced excess tracking error due to the impact of rounding on the Fund's net asset value ("NAV"). The reverse share split resulted in a higher NAV for the Fund, thus decreasing the level of tracking error resulting from NAV rounding. The per share information included in the financial highlights for all periods prior to the reverse share split have been adjusted to properly reflect the effects of the reverse share spilt on a retroactive basis. 9. NEW ACCOUNTING PRONOUNCEMENT In March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (SFAS) No. 161, DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES. SFAS No. 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS No. 161 requires enhanced disclosures about the Funds' derivative and hedging activities, including how such activities are accounted for and their effect on the Funds' financial position, performance, and cash flows. Management is currently evaluating the impact of the adoption of SFAS No. 161 will have on the Fund's financial statements and related disclosures. 10. CAPITAL SUPPORT AGREEMENT The Prime Obligation and Money Market Funds each originally entered into a Capital Support Agreement with SEI, which is the parent company of SIMC, on November 8, 2007. As of September 30, 2008, the Money Market Fund no longer held any structured investment vehicle ("SIV") securities and the Capital Support Agreement with the Money Market Fund lapsed. On November 5, 2008, the Prime Obligation Fund (the "Fund") entered into an Amended and Restated Capital Support Agreement (the "Amended CSA") with SEI which extended the termination date under the original Capital Support Agreement with the Fund to November 6, 2009. The Amended CSA provides that if the Fund realizes payments or sales proceeds from the ultimate disposition of any of the specified SIV securities which are less than its amortized cost, SEI will be required to provide capital to the Fund equal to the amount by which the amortized cost of the specified SIV security exceeds the amount realized from the sale or other disposition of such security. The specified SIV securities in the Fund as of January 31, 2009 are footnoted on the Schedule of Investments. The specified SIV securities in the Fund had an aggregate par value of $256,533,510 on January 31, 2009. Under the Amended CSA, SEI must maintain collateral in the form of a letter of credit and/or a segregated cash account equal to the difference between the amortized cost value and the market value of the specified SIV securities plus an amount equal to ten percent of the market value of the specified SIV securities. As of January 31, 2009, SEI's obligations under the Amended CSA were supported by Letters of Credit in the amount of $165 million issued by a bank having a First Tier credit rating. The Fund will draw on the Letters of Credit or the segregated account in the event that SEI fails to make a cash contribution when due under the Amended CSA. The Fund will sell the specified SIV securities (i) promptly following any change in the Letter of Credit provider's short term credit ratings such that the Letter of Credit provider's obligations no longer qualify as First Tier Securities as defined in paragraph (a)(12) of Rule 2a-7, or (ii) on the business day immediately prior to the termination date of the Amended CSA. SEI Daily Income Trust / Annual Report / January 31, 2009 53 NOTES TO FINANCIAL STATEMENTS (CONCLUDED) The following table shows the Eligible Notes and their amortized cost and fair market value as of January 31, 2009. PRIME OBLIGATION FUND
Amortized Fair Unrealized Cost Value Depreciation Description Face Amount (000) (000) (000) - ----------- ------------ --------- -------- ------------ Gryphon Funding 1.477%, 10/07/14 $189,915,789 $131,551 $ 68,369 $(63,182) Stanfield Victoria LLC MTN 1.070%, 03/14/10 66,617,720 66,617 37,306 (29,311) ------------ -------- -------- -------- Totals $256,533,509 $198,168 $105,675 $(92,493) ============ ======== ======== ========
The value of the Capital Support Agreement is made up of the unrealized depreciation above, as well as the $58 million in realized loss associated with the exchange of Cheyne notes for Gryphon notes as further discussed in the Schedule of Investments. 11. SUBSEQUENT EVENT As of March 27, 2009, the Capital Support Agreement is valued at $32,380,854 for the Prime Obligation Fund. Subsequent to January 31, 2009, an affiliate of SIMC purchased from the Prime Obligation Fund all of the notes issued by Cheyne Finance, LLC and Gryphon Funding Limited that were held by the Fund. As a result of SEI's purchase, there was no loss incurred by the Prime Obligation Fund on this transaction. This transaction was effected pursuant to Rule 17a-9 under the Investment Company Act of 1940 (the "Act"), which permits an affiliate to purchase a security from a money market fund if that security is no longer an Eligible Security pursuant to Rule 2a-7 under the Act. Cheyne and Gryphon were not Eligible Securities at the time of the transaction. SEI Daily Income Trust / Annual Report / January 31, 2009 54 SEI DAILY INCOME TRUST -- JANUARY 31, 2009 Report of Independent Registered Public Accounting Firm TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF SEI DAILY INCOME TRUST: We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of SEI Daily Income Trust, comprising the Money Market Fund, Government Fund, Government II Fund, Prime Obligation Fund, Treasury Fund, Treasury II Fund, Short Duration Government Fund, Intermediate Duration Government Fund, GNMA Fund, and Ultra Short Bond Fund, (collectively the "Funds"), as of January 31, 2009, and the related statements of operations for the year then ended, changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the four-year period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the periods presented through January 31, 2005, were audited by other auditors, whose report dated March 11, 2005, expressed an unqualified opinion thereon. We conducted our audits in accordance with the Standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of January 31, 2009, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the finan-cial position of each of the funds comprising SEI Daily Income Trust as of January 31, 2009, and the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the four-year period then ended, in conformity with U.S. generally accepted accounting principles. (KPMG LLP LOGO) Philadelphia, Pennsylvania March 31, 2009 SEI Daily Income Trust / Annual Report / January 31, 2009 55 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED) The following chart lists Trustees and Officers as of February 28, 2009. Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of portfolios in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust's Statement of Additional Information ("SAI") includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.
TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX ADDRESS, HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE - ----------------------- --------------- ---------- --------------------------- ------------- ------------------------------- INTERESTED TRUSTEES - ------------------- Robert A. Nesher Chairman since 1982 Currently performs various 80 Trustee of The Advisors' Inner One Freedom of the services on behalf of SEI Circle Fund, The Advisors' Valley Drive, Board of for which Mr. Nesher is Inner Circle Fund II, Bishop Oaks, PA 19456 Trustees* compensated. Street Funds, Director of 62 yrs. old SEI Global Master Fund, plc, SEI Global Assets Fund, plc, SEI Global Investments Fund, plc, SEI Investments Global, Limited, SEI Investments -- Global Fund Services, Limited, SEI Investments (Europe), Limited, SEI Investments -- Unit Trust Management (UK), Limited, SEI Global Nominee Ltd., SEI Opportunity Fund, L.P., SEI Multi-Strategy Funds plc., and SEI Structured Credit Fund, L.P. William M. Doran Trustee* since 1982 Self-employed consultant 80 Trustee of The Advisors' Inner 1701 Market Street since 2003. Partner, Morgan, Circle Fund, The Advisors' Philadelphia, PA Lewis & Bockius LLP (law Inner Circle Fund II, Bishop 19103 from 1976 to 2003, counsel Street Funds, Director 68 yrs. old to the Trust, SEI, SIMC, of SEI since 1974. Director the Administrator and the of the Distributor since 2003. Distributor. Secretary of Director of SEI Investments -- SEI since 1978. Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), Limited, and SEI Asset Korea Co., Ltd. TRUSTEES - -------- James M. Storey Trustee since 1995 Attorney, sole 80 Trustee of The Advisors' Inner One Freedom practitioner since Circle Fund, The Advisors' Valley Drive, 1994. Partner, Dechert Inner Circle Fund II, Bishop Oaks, PA 19456 Price & Rhoads, September Street Funds and U.S. 77 yrs. old 1987-December 1993. Charitable Gift Trust. George J. Sullivan, Jr. Trustee since 1996 Self-Employed Consultant, 80 Trustee of The Advisors' Inner One Freedom Newfound Consultants Inc. Circle Fund, The Advisors' Valley Drive since April 1997. Inner Circle Fund II, Bishop Oaks, PA 19456 Street Funds, State Street 66 yrs. old Navigator Securities Lending Trust, SEI Opportunity Fund, L.P., and SEI Structured Credit Fund, L.P.
* Messrs. Nesher and Doran are Trustees who may be deemed as "interested" persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust's Distributor. (1) Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust's Declaration of Trust. (2) The Fund Complex includes the following: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust and SEI Alpha Strategy Portfolios, LP. SEI Daily Income Trust / Annual Report / January 31, 2009 56
Term of Number of Office Portfolios and Principal in Fund Name Position(s) Length of Occupation(s) Complex Address, Held with Time During Past Overseen Other Directorships and Age Trusts Served(1) Five Years by Trustee(2) Held by Trustee - ----------------------- --------------- ---------- --------------------------- ------------- ------------------------------- TRUSTEES (continued) - -------------------- Rosemarie B. Greco Trustee since 1999 Director, Governor's 80 Director, Sonoco, Inc.; One Freedom` Office of Health Director, Valley Drive Care Reform, Commonwealth Exelon Corporation; Trustee, Oaks, PA 19456 of Pennsylvania since 2003. Pennsylvania Real Estate 62 yrs. old Founder and Principal, Investment Trust. Grecoventures Ltd. from 1999 to 2002. Nina Lesavoy Trustee since 2003 Managing Partner, Cue 80 Director of SEI Opportunity One Freedom Capital since March 2002, Fund, L.P., and SEI Structured Valley Drive, Managing Partner and Head Credit Fund, L.P. Oaks, PA 19456 of Sales, Investorforce, 51 yrs. old March 2000-December 2001; Global Partner working for the CEO, Invesco Capital, January 1998-January 2000. Head of Sales and Client Services, Chancellor Capital and later LGT Asset Management, 1986-2000. James M. Williams Trustee since 2004 Vice President and Chief 80 Trustee/Director of Ariel One Freedom Investment Officer, J. Mutual Funds, SEI Opportunity Valley Drive, Paul Getty Trust, Fund, L.P., and SEI Structured Oaks, PA 19456 Non-Profit Foundation for Credit Fund, L.P. 61 yrs. old Visual Arts, since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. Mitchell A. Johnson Trustee since 2007 Private Investor since 80 Trustee of the Advisors' Inner One Freedom 1994. Circle Fund, The Advisor's Valley Drive, Inner Circle Fund II, and Oaks, PA 19456 Bishop Street Funds. 66 yrs. old Hubert L. Harris, Jr. Trustee since 2008 Retired since December 80 Director of Colonial One Freedom 2005. Chief Executive BancGroup, Inc. and Chair of Valley Drive, Officer and Chair of the the Board of Trustees, Georgia Oaks, PA 19456 Board of Directors, Tech Foundation, Inc. 65 yrs. old AMVESCAP Retirement, Inc., (nonprofit corporation). 1997-December 2005. Chief Executive Officer, INVESCO North America, September 2003-December 2005. OFFICERS - -------- Robert A. Nesher President & CEO since 2005 Currently performs various N/A N/A One Freedom services on behalf of SEI Valley Drive, for which Mr. Nesher is Oaks, PA 19456 compensated. 62 yrs. old Stephen F. Panner Controller and since 2005 Fund Accounting Director N/A N/A One Freedom Chief of the Administrator since Valley Drive, Financial 2005. Fund Administration Oaks, PA 19456 Officer Manager, Old Mutual Fund 38 yrs. old Services, 2000-2005. Chief Financial Officer, Controller and Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2004-2005. Assistant Treasurer, PBHG Funds and PBHG Insurance Series Fund, 2000-2004. Assistant Treasurer, Old Mutual Advisors Fund, 2004-2005.
(1) Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust's Declaration of Trust. (2) The Fund Complex includes the following: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust and SEI Alpha Strategy Portfolios, LP. SEI Daily Income Trust / Annual Report / January 31, 2009 57 TRUSTEES AND OFFICERS OF THE TRUST (UNAUDITED)(CONCLUDED)
TERM OF NUMBER OF OFFICE PORTFOLIOS AND PRINCIPAL IN FUND NAME POSITION(S) LENGTH OF OCCUPATION(S) COMPLEX ADDRESS, HELD WITH TIME DURING PAST OVERSEEN OTHER DIRECTORSHIPS AND AGE TRUSTS SERVED(1) FIVE YEARS BY TRUSTEE(2) HELD BY TRUSTEE - ----------------------- --------------- ---------- --------------------------- ------------- ------------------------------- OFFICERS (continued) - -------------------- Russell Emery Chief since 2006 Chief Compliance Officer N/A N/A One Freedom` Compliance of SEI Structured Credit Valley Drive Officer Fund, L.P., since June Oaks, PA 19456 2007. Chief Compliance 45 yrs. old Officer of SEI Opportunity Fund, L.P., Bishop Street Funds, The Advisors' Inner Circle Fund and the Advisors' Inner Circle Fund II, since March 2006. Director of Investment Product Management and Development of SIMC, February 2003-March 2006. Timothy D. Barto Vice since 2002 General Counsel, Vice N/A N/A One Freedom President and President and Secretary of Valley Drive Oaks, Secretary SIMC and the Administrator PA 19456 since 2004. Vice President 40 yrs. old and Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999. Assistant Secretary of SIMC, the Administrator and the Distributor and Vice President of the Distributor, 1999-2003. David McCann Vice since 2009 Vice President and N/A N/A One Freedom President and Assistant Secretary of Valley Drive Assistant SIMC since 2009. Associate Oaks, PA 19456 Secretary at Drinker Biddle & Reath 32 yrs. old LLP, May 2005-October 2008. Associate at Pepper Hamilton, LLP, September 2001-May 2005. James Ndiaye Vice since 2005 Vice President and N/A N/A One Freedom President and Assistant Secretary of Valley Drive Assistant SIMC since 2005. Vice Oaks, PA 19456 Secretary President, Deutsche Asset 41 yrs. old Management (2003-2004). Michael T. Pang Vice since 2005 Vice President and N/A N/A One Freedom President and Assistant Secretary of Valley Drive Assistant SIMC since 2005. Counsel, Oaks, PA 19456 Secretary Caledonian Bank & Trust's 36 yrs. old Mutual Funds Group (2004). Counsel, Permal Asset Management (2001-2004). Aaron Buser Vice since 2008 Vice President and N/A N/A One Freedom President and Assistant Secretary of Valley Drive Assistant SIMC since 2007. Associate Oaks, PA 19456 Secretary at Stark & Stark 38 yrs. old (2004-2007). Associate at Flaster/Greenberg, P.C. (2000-2004). John J. McCue Vice President since 2004 Director of Portfolio N/A N/A One Freedom Implementations for SIMC Valley Drive since 1995. Managing Oaks, PA 19456 Director of Money Market 45 yrs. old Investments for SIMC since 2003. Andrew S. Decker Anti-Money since 2008 Compliance Officer and N/A N/A One Freedom Laundering Product Manager, SEI, Valley Drive Compliance 2005-2008. Vice President, Oaks, PA 19456 Officer Old Mutual Capital, 45 yrs. old 2000-2005.
SEI Daily Income Trust / Annual Report / January 31, 2009 58 SEI DAILY INCOME TRUST -- JANUARY 31, 2009 Disclosure of Fund Expenses (Unaudited) All mutual funds have operating expenses. As a shareholder of a Fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns. Operating expenses such as these are deducted from the Fund's gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the Fund's average net assets; this percentage is known as the Fund's expense ratio. The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period. The table on the next page illustrates your Fund's costs in two ways: - - ACTUAL FUND RETURN. This section helps you to estimate the actual expenses that your Fund incurred over the period. The "Expenses Paid During Period" column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the "Ending Account Value" number is derived from deducting that expense cost from the fund's gross investment return. You can use this information, together with the actual amount you invested in the fund, to estimate the expenses your Fund incurred over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under "Expenses Paid During Period." - - HYPOTHETICAL 5% RETURN. This section helps you compare your Fund's costs with those of other mutual funds. It assumes that the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund's comparative cost by comparing the hypothetical result for your Fund in the "Expense Paid During Period" column with those that appear in the same charts in the shareholder reports for other funds. NOTE: Because the return is set at 5% for comparison purposes -- NOT your Fund's actual return -- the account values shown do not apply to your specific investment. SEI Daily Income Trust / Annual Report / January 31, 2009 59 DISCLOSURE OF FUND EXPENSES (UNAUDITED) (CONCLUDED)
BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 8/01/08 1/31/09 RATIOS PERIOD* --------- --------- ---------- ------- MONEY MARKET FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,010.00 0.23% $1.16 Class B Shares 1,000.00 1,008.50 0.53 2.68 Class C Shares 1,000.00 1,007.50 0.73 3.68 Sweep Class Shares 1,000.00 1,006.20 0.97 4.89 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.98 0.23% $1.17 Class B Shares 1,000.00 1,022.47 0.53 2.69 Class C Shares 1,000.00 1,021.47 0.73 3.71 Sweep Class Share 1,000.00 1,020.26 0.97 4.93 GOVERNMENT FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,008.70 0.23% $1.16 Class B Shares 1,000.00 1,007.10 0.53 2.67 Class C Shares 1,000.00 1,006.10 0.73 3.68 Sweep Class Shares 1,000.00 1,004.90 0.96 4.84 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.98 0.23% $1.17 Class B Shares 1,000.00 1,022.47 0.53 2.69 Class C Shares 1,000.00 1,021.47 0.73 3.71 Sweep Class Shares 1,000.00 1,020.31 0.96 4.88 GOVERNMENT II FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,008.30 0.23% $1.16 Class B Shares 1,000.00 1,006.80 0.53 2.67 Class C Shares 1,000.00 1,005.80 0.71 3.58 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.98 0.23% $1.17 Class B Shares 1,000.00 1,022.47 0.53 2.69 Class C Shares 1,000.00 1,021.57 0.71 3.61 PRIME OBLIGATION FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,009.30 0.23% $1.16 Class B Shares 1,000.00 1,007.80 0.53 2.67 Class C Shares 1,000.00 1,006.80 0.73 3.68 Class H Shares 1,000.00 1,007.20 0.66 3.33 Sweep Class Shares 1,000.00 1,005.60 0.96 4.84 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.98 0.23% $1.17 Class B Shares 1,000.00 1,022.47 0.53 2.69 Class C Shares 1,000.00 1,021.47 0.73 3.71 Class H Shares 1,000.00 1,021.82 0.66 3.35 Sweep Class Shares 1,000.00 1,020.31 0.96 4.88
BEGINNING ENDING EXPENSE ACCOUNT ACCOUNT ANNUALIZED PAID VALUE VALUE EXPENSE DURING 8/01/08 1/31/09 RATIOS PERIOD* --------- --------- ---------- ------- TREASURY FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,003.10 0.18% $0.91 Class B Shares 1,000.00 1,002.50 0.28 1.41 Class C Shares 1,000.00 1,002.20 0.36 1.81 Sweep Class Shares 1,000.00 1,001.80 0.44 2.21 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.23 0.18% $0.92 Class B Shares 1,000.00 1,023.73 0.28 1.42 Class C Shares 1,000.00 1,023.33 0.36 1.83 Sweep Class Shares 1,000.00 1,022.92 0.44 2.24 TREASURY II FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,002.90 0.20% $1.01 Class B Shares 1,000.00 1,002.10 0.34 1.71 Class C Shares 1,000.00 1,001.70 0.36 1.81 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,024.13 0.20% $1.02 Class B Shares 1,000.00 1,023.43 0.34 1.73 Class C Shares 1,000.00 1,023.33 0.36 1.83 SHORT-DURATION GOVERNMENT FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,035.50 0.48% $2.46 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.72 0.48% $2.44 INTERMEDIATE-DURATION GOVERNMENT FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,080.70 0.53% $2.77 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,022.47 0.53% $2.69 GNMA FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $1,061.00 0.63% $3.26 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,021.97 0.63% $3.20 ULTRA SHORT BOND FUND ACTUAL FUND RETURN Class A Shares $1,000.00 $ 927.80 0.38% $1.84 HYPOTHETICAL 5% RETURN Class A Shares $1,000.00 $1,023.23 0.38% $1.93
*Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 184/366 (to reflect one-half year period shown). SEI Daily Income Trust / Annual Report / January 31, 2009 60 Notice to Shareholders (Unaudited) FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL PURPOSES ONLY. For the fiscal year ended January 31, 2009, each Fund is designating long-term capital gains, and exempt income with regard to distributions paid during the year as follows:
(A) (B) LONG TERM ORDINARY (C) CAPITAL GAINS INCOME TOTAL U.S. INTEREST SHORT-TERM DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS GOVERNMENT RELATED CAPITAL GAINS PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS) INTEREST (1) DIVIDENDS (2) DIVIDENDS (3) - --------- ------------- ------------- ------------- ------------ ------------- ------------- Money Market Fund 0% 100% 100% 0.00%* 100% 0% Government Fund 0 100 100 63.02 100 0 Government II Fund 0 100 100 99.98 100 0 Prime Obligation Fund 0 100 100 0.86* 100 0 Treasury Fund 0 100 100 2.85* 100 0 Treasury II Fund 0 100 100 100.00 100 0 Short-Duration Government Fund 0 100 100 4.26* 100 0 Intermediate-Duration Government Fund 0 100 100 9.26* 98 0 GNMA Fund 0 100 100 0.00* 100 0 Ultra Short Bond Fund 0 100 100 0.74* 100 0
Items (A), (B) and (C) are based on the percentage of the Fund's total distribution. (1) "U.S. Government Interest" represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for shareholders of the "*" funds who are residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income. (2) The percentage in this column represents the amount of "Interest Related Dividends" and is reflected as a percentage of net investment income distributions that is exempt from U.S. withholding tax when paid to foreign investors. This provision of the IRC will be expiring for years beginning after January 1, 2010. (3) The percentage in this column represents the amount of "Short-Term Capital Gains Dividends" and is reflected as a percentage of short-term capital gain distributions that is exempt from U.S. withholding tax when paid to foreign investors. This provision of the IRC will be expiring for years beginning after January 1, 2010. Please consult your tax adviser for proper treatment of this information. SEI Daily Income Trust / Annual Report / January 31, 2009 61 Notes Notes Notes Notes Notes Notes Notes SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2009 Robert A. Nesher, CHAIRMAN TRUSTEES William M. Doran James M. Storey George J. Sullivan, Jr. Rosemarie B. Greco Nina Lesavoy James M. Williams Mitchell A. Johnson Hubert L. Harris, Jr. OFFICERS Robert A. Nesher PRESIDENT AND CHIEF EXECUTIVE OFFICER Stephen F. Panner CONTROLLER AND CHIEF FINANCIAL OFFICER Russell Emery CHIEF COMPLIANCE OFFICER Timothy D. Barto VICE PRESIDENT, SECRETARY David McCann VICE PRESIDENT, ASSISTANT SECRETARY James Ndiaye VICE PRESIDENT, ASSISTANT SECRETARY Michael T. Pang VICE PRESIDENT, ASSISTANT SECRETARY Aaron Buser VICE PRESIDENT, ASSISTANT SECRETARY John J. McCue VICE PRESIDENT Andrew S. Decker ANTI-MONEY LAUNDERING COMPLIANCE OFFICER INVESTMENT ADVISER SEI Investments Management Corporation ADMINISTRATOR SEI Investments Global Funds Services DISTRIBUTOR SEI Investments Distribution Co. LEGAL COUNSEL Morgan, Lewis & Bockius LLP INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM KPMG LLP This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal. FOR MORE INFORMATION CALL 1 800 DIAL SEI (1 800 342 5734) SEI New ways. New answers.(R) SEI Investments Distribution Co. Oaks, PA 19456 1.800.DIAL.SEI (1.800.342.5734) SEI-F-022 (1/09) ITEM 2. CODE OF ETHICS. The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a)(1) The Registrant's Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on the audit committee. (a)(2) The audit committee financial expert are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Mr. Sullivan and Mr. Harris are independent as defined in Form N-CSR Item 3 (a) (2). ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Fees billed by KPMG LLP ("KPMG") related to the Trust. KPMG billed the Trust aggregate fees for services rendered to the Trust for the fiscal years 2009 and 2008 as follows:
- ------------------ ----------------------------------------------------- ----------------------------------------------------- FISCAL 2009 FISCAL 2008 - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- All fees and All fees and All other fees All fees and All fees and All other fees services to the services to and services to services to the services to and services to Trust that were service service Trust that were service service pre-approved affiliates that affiliates that pre-approved affiliates that affiliates that were pre- did not require were pre- did not require approved pre-approval approved pre-approval - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (a) Audit $174,500 N/A $0 $175,000 N/A $0 Fees(1) - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (b) Audit- $0 $0 $0 $0 $0 $0 Related Fees - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (c) Tax $0 $0 $0 $0 $0 $0 Fees - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (d) All $0 $234,500 $0 $5,000 $284,000 $0 Other Fees - ------- ---------- ----------------- ----------------- ----------------- ----------------- ----------------- -----------------
Notes: (1) Audit fees include amounts related to the audit of the Registrant's annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. (e)(1) The Trust's Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Trust may be pre-approved. The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant's Chief Financial Officer ("CFO") and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor's annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC's rules and whether the provision of such services would impair the auditor's independence. Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial expert, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting. Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval. All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services. In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor's independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence. (e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
-------------------------- ----------------- ---------------- FISCAL 2009 FISCAL 2008 -------------------------- ----------------- ---------------- Audit-Related Fees 0% 0% -------------------------- ----------------- ---------------- Tax Fees 0% 0% -------------------------- ----------------- ---------------- All Other Fees 0% 0% -------------------------- ----------------- ----------------
(f) Not Applicable. (g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2009 and 2008 were $234,500 and $289,000, respectively. Non-audit fees consist of SAS No. 70 review of fund accounting and administration operations, attestation report in accordance with Rule 17Ad-13, agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations and tax consulting services for various service affiliates of the Registrant. (h) During the past fiscal year, Registrant's principal accountant provided certain non-audit services to Registrant's investment adviser or to entities controlling, controlled by, or under common control with Registrant's investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant's Board of Trustees reviewed and considered these non-audit services provided by Registrant's principal accountant to Registrant's affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant's independence. .. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not Applicable. ITEM 6. SCHEDULE OF INVESTMENTS Included in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not Applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES Not Applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not Applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. The Trust has a standing Nominating Committee (the "Committee") currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Trust's Board of Trustees (the "Board"). Pursuant to the Committee's Charter, adopted on June 18th 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trust's office. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. Based on their evaluation, the certifying officers have concluded that the Registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the Registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no significant changes in the Registrant's internal control over financial reporting that occurred during the Registrant's last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. - -------------------------------------------------------------------------------- SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) SEI Daily Income Trust By (Signature and Title) /s/ Robert A. Nesher ----------------------------------- Robert A. Nesher, CEO and President Date: March 31, 2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ Robert A. Nesher ----------------------------------- Robert A. Nesher, CEO and President Date: March 31, 2009 By (Signature and Title) /s/ Stephen F. Panner ----------------------------------- Stephen F. Panner, Controller & CFO Date: March 31, 2009 EX-99.CODE ETH 2 sditar1_09coe.txt SEI DAILY INCOME TRUST AR 1_09 CODE OF ETHICS SEI LIQUID ASSET TRUST SEI TAX EXEMPT TRUST SEI DAILY INCOME TRUST SEI ASSET ALLOCATION TRUST SEI INSTITUTIONAL MANAGED TRUST SEI INSTITUTIONAL INTERNATIONAL TRUST SEI INSTITUTIONAL INVESTMENTS TRUST SEI ALPHA STRATEGY PORTFOLIOS, LP CODE OF ETHICS ADOPTED UNDER RULE 17J-1 While affirming its confidence in the integrity and good faith of all of its officers and trustees, each of SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Asset Allocation Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, and SEI Alpha Strategy Portfolios, LP (the "Trusts"), recognize that the knowledge of present or future portfolio transactions and, in certain instances, the power to influence portfolio transactions which may be possessed by certain of officers, employees and trustees could place such individuals, if they engage in personal transactions in securities which are eligible for investment by the Trust, in a position where their personal interest may conflict with that of the Trust. In view of the foregoing and of the provisions of Rule 17j-1(b)(1) under the Investment Company Act of 1940 (the "1940 Act"), each Trust has determined to adopt this Code of Ethics to specify and prohibit certain types of transactions deemed to create conflicts of interest (or at least the potential for or the appearance of such a conflict), and to establish reporting requirements and enforcement procedures. I. STATEMENT OF GENERAL PRINCIPLES. In recognition of the trust and confidence placed in each Trust by its shareholders, and to give effect to each Trust's belief that its operations should be directed to the benefit of its shareholders, each Trust hereby adopts the following general principles to guide the actions of its trustees, officers and employees: (1) The interests of the Trusts' shareholders are paramount, and all of the Trusts' personnel must conduct themselves and their operations to give maximum effect to this tenet by assiduously placing the interests of the shareholders before their own. (2) All personal transactions in securities by the Trusts' personnel must be accomplished so as to avoid even the appearance of a conflict of interest on the part of such personnel with the interests of the Trusts and their shareholders. (3) All of the Trusts' personnel must avoid actions or activities that allow (or appear to allow) a person to profit or benefit from his or her position with respect to the Trusts, or that otherwise bring into question the person's independence or judgment. (4) All of the Trusts' personnel are prohibited from disclosing material nonpublic information to others or engaging in the purchase or sale (or recommending or suggesting that any person engage in the purchase or sale) of any security to which such information relates. II. DEFINITIONS. (1) "Access Person" shall mean (i) each director/trustee or officer of a Trust, (ii) each director/trustee, officer or employee of a Trust or any of a Trust's advisers or sub-advisers (or of any company in a Control relationship to the Trust or such advisers or sub-advisers) who, in connection with his or her regular functions or duties, makes, participates in, or obtains information regarding, the purchase or sale of a Security by each Trust or any series thereof (each a "Fund"), or whose functions relate to the making of any recommendations with respect to such purchases or sales, (iii) any natural person in a Control relationship to a Trust or any of a Trust's advisers or sub-advisers who obtains information concerning recommendations made to the Trust with respect to the purchase or sale of a Security by any Fund; and (iv) each director, officer or general partner of any principal underwriter for a Trust, but only where such person, in the ordinary course of business, either makes, participates in, or obtains information regarding the purchase or sale of Securities by the Fund(s), or whose functions relate to the making of recommendations regarding Securities to the Fund(s). (2) "Automatic Investment Plan" shall mean a program in which regular periodic purchases (or withdrawals) are made automatically in (or from) investment accounts in accordance with a predetermined schedule and allocation. An Automatic Investment Plan includes a dividend reinvestment plan. (3) "Beneficial Ownership" of a security is to be determined in the same manner as it is for purposes of Section 16 of the Securities Exchange Act of 1934. This means that a person should generally consider himself the beneficial owner of any securities in which he has a direct or indirect pecuniary interest. In addition, a person should consider himself the beneficial owner of securities held by his spouse, his minor children, a relative who shares his home, or other persons by reason of any contract, arrangement, understanding or relationship that provides him with sole or shared voting or investment power. (4) "Control" shall have the same meaning as that set forth in Section 2(a)(9) of the 1940 Act. Section 2(a)(9) provides that "control" means the power to exercise a controlling influence over the management or policies of a company, unless such power is solely the result of an official position with such company. Ownership of 25% or more of a company's outstanding voting security is presumed to give the holder thereof control over the company. Such presumption may be countered by the facts and circumstances of a given situation. (5) "Independent Trustee" means a Trustee of a Trust who is not an "interested person" of that Trust within the meaning of Section 2(a)(19) of the 1940 Act. (6) "Initial Public Offering" ("IPO") means an offering of Securities registered under the Securities Act of 1933, the issuer of which, immediately before registration, was not subject to the reporting requirements of Section 13 or Section 15(d) of the Securities Exchange Act of 1934. (7) "Private Placement" means an offering that is exempt from registration under the Securities Act of 1933 pursuant to Section 4(2) or Section 4(6) in the Securities Act of 1933. (8) "Purchase or sale of a Security" includes, among other things, the writing of an option to purchase or sell a Security. (9) "Security" shall have the same meaning as that set forth in Section 2(a)(36) of the 1940 Act, except that it shall not include securities issued by the Government of the United States or an agency thereof, bankers' acceptances, bank certificates of deposit, commercial paper and high quality short-term debt instruments (including repurchase agreements), and shares of registered open-end mutual funds not organized as unit investment trusts, unless advised by SIMC. (Please note that transactions in Exchange Traded Funds that are organized as unit investment trusts and mutual funds advised by SIMC are subject to the reporting and holding period requirements of this Code of Ethics). (10) A Security "held or to be acquired" by a Trust or any Fund means (A) any Security which, within the most recent fifteen days, (i) is or has been held by a Trust or any Fund thereof, or (ii) is being or has been considered by a Fund's investment adviser or sub-adviser for purchase by the Fund; (B) and any option to purchase or sell and any Security convertible into or exchangeable for any Security described in (A) above. (11) A Security is "being purchased or sold" by a Trust from the time when a purchase or sale program has been communicated to the person who places the buy and sell orders for the Trust until the time when such program has been fully completed or terminated. (12) "SEI Access Person" means any Access Person as defined in (1) above, except directors/trustees, officers, or employees of any of the Trusts' Sub-advisers. (13) "Special Purpose Investment Personnel" means each SEI Access Person who, in connection with his or her regular functions (including, where appropriate, attendance at Board meetings and other meetings at which the official business of a Trust or any Fund thereof is discussed or carried on), obtains contemporaneous information regarding the purchase or sale of a Security by a Fund. Special Purpose Investment Personnel shall occupy this status only with respect to those Securities as to which he or she obtains such contemporaneous information. III. PROHIBITED PURCHASES AND SALES OF SECURITIES. (1) No Access Person shall, in connection with the purchase or sale, directly or indirectly, by such person of a Security held or to be acquired by a Trust or any Fund: (A) Employ any device, scheme or artifice to defraud such Fund; (B) Make to such Fund any untrue statement of a material fact or omit to state to such Fund a material fact necessary in order to make the statements made, in light of the circumstances under which they are made, not misleading; (C) Engage in any act, practice or course of business which would operate as a fraud or deceit upon such Fund; or (D) Engage in any manipulative practice with respect to a Fund. (2) No Special Purpose Investment Personnel may purchase or sell, directly or indirectly, any Security as to which such person is a Special Purpose Investment Personnel in which he had (or by reason of such transaction acquires) any Beneficial Ownership at any time within seven calendar days before or after the time that the same (or a related) Security is being purchased or sold by any Fund. (3) No SEI Access Person may sell a Security within 60 days of acquiring beneficial ownership of that Security. IV. ADDITIONAL RESTRICTIONS AND REQUIREMENTS. (1) Each SEI Access Person must obtain approval from the Review Officer before acquiring Beneficial Ownership of any securities offered in connection with an IPO or a Private Placement. (2) No SEI Access Person shall accept or receive any gift of more than DE MINIMIS value from any person or entity that does business with or on behalf of a Trust. (3) Each Access Person (other than a Trust's Independent Trustees) who is not required to provide such information under the terms of a code of ethics described in Section VII hereof must provide to the Review Officer, no later than ten days after he or she becomes an Access Person, an initial holdings report, and, within forty-five days after the end of each calendar year, an annual holdings report. The initial and annual holding reports shall disclose: (A) The title, number of shares and principal of amount of each Security in which such Access Person had any direct or indirect Beneficial Ownership; (B) The name of any broker, dealer or bank with whom the Access Person maintained an account in which any securities were held for the direct or indirect benefit of the Access Person; and (C) The date that the report was submitted by the Access Person. The information included in the initial holdings report must be current as of a date no more than 45 days prior to the date such person becomes an Access Person. The information included in the annual holdings report must be as of each calendar year-end. The Initial Holdings Report and Annual Holdings Report are attached as APPENDIX II and APPENDIX III, respectively. (4) Access Persons are not required to submit an initial or annual holdings report with respect to transactions effected for, and Securities held in, any account over which the Access Person has no direct or indirect influence or Control. V. REPORTING OBLIGATIONS. (1) Except as discussed below, each SEI Access Person (other than a Trust's Independent Trustees) shall report all transactions in Securities in which the person has, or by reason of such transaction acquires, any direct or indirect Beneficial Ownership. Reports shall be filed with the Review Officer quarterly. The Review Officer shall submit confidential quarterly reports with respect to his or her own personal securities transactions to an officer designated to receive his or her reports ("Alternate Review Officer"), who shall act in all respects in the manner prescribed herein for the Review Officer. (2) Every report shall be made not later than 30 days after the end of the calendar quarter in which the transaction to which the report relates was effected, and shall contain the following information: (A) The date of the transaction, the title, the interest rate and maturity date (if applicable), the number of shares and the principal amount of each Security involved; (B) The nature of the transaction (I.E., purchase, sale or any other type of acquisition or disposition); (C) The price of the Security at which the transaction was effected; (D) The name of the broker, dealer or bank with or through whom the transaction was effected; (E) The date the report was submitted by the Access Person; and (F) With respect to any account established by the Access Person in which any securities were held during the quarter for the direct or indirect benefit of the Access Person: (i) The name of the broker, dealer or bank with whom the Access Person established the account; (ii) The date the account was established; and (iii) The date the report was submitted by the Access Person. The Quarterly Transaction Report is attached as APPENDIX I. (3) Any such report may contain a statement that the report shall not be construed as an admission by the person making such report that he or she has any direct or indirect Beneficial Ownership in the Securities to which the report relates. (4) An SEI Access Person need not make a quarterly transaction report with respect to transactions effected pursuant to an Automatic Investment Plan. In addition, SEI Access Persons are not required to submit a quarterly transaction report with respect to transactions effected for, and Securities held in, any account over which the SEI Access Person has no direct or indirect influence or Control. (5) In the event no reportable transactions occurred during the quarter, the report should be so noted and returned signed and dated. (6) An Access Person who would otherwise be required to report his or her transactions under this Code shall not be required to file reports pursuant to this Section V where such person is required to file reports pursuant to a code of ethics described in Section VII, hereof. (7) An Independent Trustee shall report transactions in Securities only if the Trustee knew at the time of the transaction or, in the ordinary course of fulfilling his or her official duties as a trustee, should have known, that during the 15 day period immediately preceding or following the date of the trustee's transaction, such Security was purchased or sold, or was being considered for purchase or sale, by a Trust. (The "should have known" standard implies no duty of inquiry, does not presume there should have been any deduction or extrapolation from discussions or memoranda dealing with tactics to be employed meeting a Funds' investment objectives, or that any knowledge is to be imputed because of prior knowledge of the Fund's portfolio holdings, market considerations, or the Fund's investment policies, objectives and restrictions.) (8) An SEI Access Person need not submit a quarterly report if the report would duplicate information contained in broker trade confirmations or account statements received by the Review Officer, provided that all required information is contained in the broker trade confirmations or account statements and is received by the Review Officer NO LATER THAN 30 days after the end of the calendar quarter. (9) Each Independent Trustee shall report the name of any publicly-owned company (or any company anticipating a public offering of its equity securities) and the total number of its shares beneficially owned by him or her if such total ownership is more than 1/2 of 1% of the company's outstanding shares. Such report shall be made promptly after the date on which the Trustee's ownership interest equaled or exceeded 1/2 of 1%. VI. REVIEW AND ENFORCEMENT. (1) The Review Officer is responsible for identifying each person who is (a) an Access Person of a Trust; and (b) required to report his or her transactions under this Code and shall inform such Access Persons of their reporting obligation under the Code. Such Access Persons shall execute the Compliance Certification attached hereto as APPENDIX IV. (2) The Review Officer shall compare all reported personal securities transactions with completed portfolio transactions of a Trust to determine whether a violation of this Code may have occurred. Before making any determination that a violation has been committed by any person, the Review Officer shall give such person an opportunity to supply additional explanatory material. (3) If the Review Officer determines that a violation of this Code may have occurred, he shall submit his written determination, together with the confidential monthly report and any additional explanatory material provided by the individual, to the Chief Compliance Officer of such Trust, who shall make an independent determination as to whether a violation has occurred. (4) If the Chief Compliance Officer finds that a violation has occurred, he shall impose upon the individual such sanctions as he deems appropriate and shall report the violation and the sanction imposed to the Board of Trustees of such Trust. (5) No person shall participate in a determination of whether he has committed a violation of the Code or of the imposition of any sanction against himself. If a securities transaction of the Chief Compliance Officer is under consideration, any Compliance Officer shall act in all respects in the manner prescribed herein for the Chief Compliance Officer. VII. INVESTMENT ADVISER'S AND PRINCIPAL UNDERWRITER'S CODE OF ETHICS. Each investment adviser (including, where applicable, any sub-adviser) and principal underwriter of a Trust shall: (1) Submit to the Board of Trustees of such Trust a copy of its code of ethics adopted pursuant to or in compliance with Rule 17j-1; (2) Promptly report to the appropriate Trust in writing any material amendments to such code of ethics; (3) Promptly furnish to such Trust, upon request, copies of any reports made pursuant to such code of ethics by any person who is an Access Person as to the Trust; (4) Shall immediately furnish to such Trust, upon request, all material information regarding any violation of such code of ethics by any person who is an Access Person as to the Trust; and (5) At least once a year, provide such Trust a WRITTEN report that describes any issue(s) that arose during the previous year under its code of ethics, including any material code violations and any resulting sanction(s), and a certification that it has adopted measures reasonably necessary to prevent its personnel from violating its code of ethics. VIII. ANNUAL WRITTEN REPORT TO THE BOARD. At least once a year, the Chief Compliance Officer for each Trust will provide the Board of Trustees a WRITTEN report that includes: (1) ISSUES ARISING UNDER THE CODE. The Report will describe any issue(s) that arose during the previous year under the Code, including any material Code violations, and any resulting sanction(s). (2) CERTIFICATION. The Report will certify to the Board of Trustees that each Trust has adopted measures reasonably necessary to prevent its personnel from violating the Code. IX. RECORDS. Each Trust shall maintain records in the manner and to the extent set forth below, which records may be maintained under the conditions described in Rule 31a-2 under the Investment Company Act and shall be available for examination by representatives of the Securities and Exchange Commission. (1) A copy of this Code and any other code which is, or at any time within the past five years has been, in effect shall be preserved in an easily accessible place; (2) A record of any violation of this Code and of any action taken as a result of such violation shall be preserved in an easily accessible place for a period of not less than five years following the end of the fiscal year in which the violation occurs; (3) A copy of each report submitted by an Access Person who is required to report under this Code, including any information provided in lieu of any such reports, shall be preserved for a period of not less than five years from the end of the fiscal year in which it is made or the information is provided, the first two years in an easily accessible place; (4) A list of all persons who are, or within the past five years have been, required to submit their reports pursuant to this Code, or who are or were responsible for reviewing these reports, shall be maintained in an easily accessible place; (5) A copy of each annual report to the Board of Trustees will be maintained for at least five years from the end of the fiscal year in which it is made, the first two years in an easily accessible place; and (6) A record of any decision, and the reasons supporting the decision, to approve the acquisition of Securities in an IPO or a Private Placement, shall be preserved for at least five years after the end of the fiscal year in which the approval is granted. X. MISCELLANEOUS. (1) CONFIDENTIALITY. All reports of securities transactions and any other information filed with a Trust pursuant to this Code shall be treated as confidential. (2) INTERPRETATION OF PROVISIONS. The Board of Trustees may from time to time adopt such interpretations of this Code as it deems appropriate. (3) PERIODIC REVIEW AND REPORTING. The Chief Compliance Officer of each Trust shall report to the Board of Trustees at least annually as to the operation of this Code and shall address in any such report the need (if any) for further changes or modifications to this Code. Adopted March 6, 1995. Revised December 7, 2005 Revised June 9, 2008 APPENDIX I QUARTERLY PERSONAL SECURITIES TRANSACTIONS REPORT Name of Reporting Person: __________________________ Calendar Quarter Ended: __________________________ Date Report Due: __________________________ Date Report Submitted: __________________________ SECURITIES TRANSACTIONS
Principal Name of Issuer No. of Amount, Maturity Name of Broker, and Shares Date and Dealer or Bank Date of Title of (if Interest Rate Type of Effecting Transaction Security applicable) (if applicable) Transaction Price Transaction - ----------- -------------- ----------- ---------------- ----------- ----- ---------------
If you have no securities transactions to report for the quarter, please check here. [ ] If you do not want this report to be construed as an admission that you have beneficial ownership of one or more securities reported above, please describe below and indicate which securities are at issue. SECURITIES ACCOUNTS If you established a securities account during the quarter, please provide the following information:
Name of Broker, Dealer or Bank Date Account was Established Name(s) on and Type of Account - ------------------------------ ---------------------------- ------------------------------
If you did not establish a securities account during the quarter, please check here. [ ] I CERTIFY THAT I HAVE INCLUDED ON THIS REPORT ALL SECURITIES TRANSACTIONS AND ACCOUNTS REQUIRED TO BE REPORTED PURSUANT TO THE CODE OF ETHICS. - ------------------------------------ ------------------ Signature Date APPENDIX II INITIAL HOLDINGS REPORT Name of Reporting Person: ____________________________ Date Person Became Subject to the Code's Reporting Requirements: ____________________________ Information in Report Dated as of: ____________________________ Date Report Submitted: ____________________________ SECURITIES HOLDINGS
Name of Issuer and No. of Shares Principal Amount Title of Security (if applicable) (if applicable) - ------------------ --------------- ----------------
If you have no securities holdings to report, please check here. [ ] If you do not want this report to be construed as an admission that you have beneficial ownership of one or more securities reported above, please describe below and indicate which securities are at issue. SECURITIES ACCOUNTS If you maintain an account in which any securities are held for your direct or indirect benefit, please provide the following information:
Name of Broker, Dealer or Bank Name(s) on and Type of Account - ------------------------------ ------------------------------
If you have no securities accounts to report, please check here. [ ] I CERTIFY THAT I HAVE INCLUDED ON THIS REPORT ALL SECURITIES HOLDINGS AND ACCOUNTS REQUIRED TO BE REPORTED PURSUANT TO THE CODE OF ETHICS. - ------------------------------------ ----------------------- Signature Date APPENDIX III ANNUAL HOLDINGS REPORT Name of Reporting Person: ________________________ Information in Report Dated as of: ________________________ Date Report Submitted: ________________________ Calendar Year Ended: December 31, ____ SECURITIES HOLDINGS
Name of Issuer and No. of Shares Principal Amount Title of Security (if applicable) (if applicable) - ------------------ --------------- ----------------
If you have no securities holdings to report, please check here. [ ] If you do not want this report to be construed as an admission that you have beneficial ownership of one or more securities reported above, please describe below and indicate which securities are at issue. SECURITIES ACCOUNTS If you maintain an account in which any securities are held for your direct or indirect benefit, please provide the following information:
Name of Broker, Dealer or Bank Name(s) on and Type of Account - ------------------------------ ------------------------------
If you have no securities accounts to report, please check here. [ ] I CERTIFY THAT I HAVE INCLUDED ON THIS REPORT ALL SECURITIES HOLDINGS AND ACCOUNTS REQUIRED TO BE REPORTED PURSUANT TO THE CODE OF ETHICS. - ------------------------------------ ----------------------- Signature Date APPENDIX IV COMPLIANCE CERTIFICATION INITIAL CERTIFICATION I CERTIFY THAT I: (I) HAVE RECEIVED, READ AND REVIEWED THE TRUSTS' CODE OF ETHICS; (II) UNDERSTAND THE POLICIES AND PROCEDURES IN THE CODE; (III) RECOGNIZE THAT I AM SUBJECT TO SUCH POLICIES AND PROCEDURES; (IV) UNDERSTAND THE PENALTIES FOR NON-COMPLIANCE; (V) WILL FULLY COMPLY WITH THE TRUSTS' CODE OF ETHICS; AND (VI) HAVE FULLY AND ACCURATELY COMPLETED THIS CERTIFICATE. Signature: --------------------------------------- Name: (Please print) --------------------------------------- Date Submitted: --------------------------------------- EX-99.CERT 3 sdit302cert1_09rn.txt SEI DAILY INCOME TRUST AR 1_09 CERT 302_RN CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Robert A. Nesher, certify that: 1. I have reviewed this report on Form N-CSR of SEI Daily Income Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: March 31, 2009 /s/ Robert A. Nesher - --------------------------- Robert A. Nesher Chief Executive Officer EX-99.CERT 4 sdit302cert1_09sp.txt SEI DAILY INCOME TRUST AR 1_09 CERT 302_SP CERTIFICATION Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 I, Stephen F. Panner, certify that: 1. I have reviewed this report on Form N-CSR of SEI Daily Income Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: March 31, 2009 /s/ Stephen F. Panner - --------------------------- Stephen F. Panner Controller & CFO EX-99.906CERT 5 sdit906cert1_09rn.txt SEI DAILY INCOME TRUST AR 1_09 CERT 906_RN CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Chief Executive Officer of the SEI Daily Income Trust (the "Fund"), with respect to the Fund's Form N-CSR for the year ended January 31, 2009 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: March 31, 2009 /s/ Robert A. Nesher --------------------------- Robert A. Nesher Chief Executive Officer EX-99.906CERT 6 sdit906cert1_09sp.txt SEI DAILY INCOME TRUST AR 1_09 CERT 906_SP CERTIFICATION Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 The undersigned, the Controller & CFO of the SEI Daily Income Trust (the "Fund"), with respect to the Fund's Form N-CSR for the year ended January 31, 2009 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge: 1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund. Dated: March 31, 2009 /s/ Stephen F. Panner --------------------------- Stephen F. Panner Controller & CFO -----END PRIVACY-ENHANCED MESSAGE-----