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, 2012

Date of reporting period: January 31, 2012

Item 1. Reports to Stockholders.

SEI Daily Income Trust

Annual Report as of January 31, 2012

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 Duration Bond Fund

TABLE OF CONTENTS

Management’s Discussion and Analysis of Fund Performance	1
Schedule of Investments	10
Statements of Assets & Liabilities	46
Statements of Operations	48
Statements of Changes in Net Assets	50
Financial Highlights	54
Notes to Financial Statements	58
Report of Independent Registered Public Accounting Firm	67
Trustees and Officers of the Trust	68
Disclosure of Fund Expenses	71
Notice to Shareholders	73

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 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 portfolios ecurities, 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 (i) without charge, 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, 2012

Short-Duration Government Fund

I. Objective

The Short-Duration Government Fund (the “Fund”) seeks to preserve principal value and maintain a high degree of liquidity while providing current income.

II. Multi-Manager Approach

The Fund is managed by a sub-advisor under the supervision of SEI Investments Management Corporation (“SIMC”). Currently, the sub-advisor is Wellington Management Company. There were no manager changes during the period.

III. Market Commentary

For the fiscal year ended January 31, 2012, the non-Treasury sectors of the U.S. fixed-income market were mixed in terms of spread compression and risk appetite. Geopolitical concerns dominated headlines, including the political tensions in the Middle East, the earthquake and tsunami in Japan and the ongoing fiscal challenges in peripheral Europe. In the U.S., the economic recovery continued at a slower pace due to weak employment and soft consumer demand. First and second quarter U.S. gross domestic product (“GDP”) reports showed that the economy grew at 1.9% and 1.3%, respectively. These numbers were lower than consensus expectations, and the market sharply lowered GDP expectations for the rest of the year. In response, the U.S. Federal Reserve kept the federal funds rate near zero to support the economy, but allowed its $600 billion quantitative easing program to expire at the end of June.

Despite the exit, Treasuries rallied significantly in the second and third quarters of 2011 due to weaker U.S. economic data and fears regarding Europe. In mid-September, the Federal Open Market Committee announced further accommodative measures, with “Operation Twist” effectively extending the maturity of its Treasury portfolio and reinvesting the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasuries. These events caused increased market volatility, with Treasuries rallying during the period and non-Treasury sectors broadly underperforming (with the exception of commercial mortgage-backed securities and asset-backed securities).

The corporate market continued to be supported by improving corporate fundamentals. However, spreads widened — particularly in Financials — as mortgage-related liabilities and European concerns remained. During the period, agency MBS underperformed duration-neutral Treasuries as spreads widened with the rally in Treasury rates and uncertainty surrounding policy initiatives impacted the market. The year finished with U.S. economic data showing better-than-expected strength. This development supported the performance of non-government sectors, allowing corporate and mortgage securities to recover some of the lost performance that occurred in the earlier flight to quality.

IV. Return vs. Benchmark

For the fiscal year ended January 31, 2012, the Short-Duration Government Fund, Class A outperformed the BofA Merrill Lynch 1-3 Year U.S. Treasury Bond Index (the “Index”), returning 2.53% versus the Index return of 1.50%.

V. Fund Attribution

The primary driver of performance during the fiscal year was the Fund’s yield-curve position, which emphasized a flattening bias by overweighting the intermediate part of the curve. This was a function of security selection. In addition, the Fund benefited from security selection within agency MBS, particularly 20-year and multi-family agency mortgages. The Fund continues to favor agency MBS, as changes in the mortgage capital market have reduced cash-flow variability and supply/demand technicals remain supportive of the asset class. In addition, the Federal Reserve’s announcement to reinvest the proceeds of maturing agency debt and MBS back into MBS rather than Treasuries serves as a modest positive technical to the mortgage market. The Fund used Treasury futures to effectively manage duration and yield-curve exposure.

SEI Daily Income Trust / Annual Report / January 31, 2012 1

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI DAILY INCOME TRUST — JANUARY 31, 2012

Short-Duration Government Fund (Concluded)

Short-Duration Government Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3-Year Return		Annualized 5-Year Return		Annualized 10-Year Return		Annualized Inception to Date
Short-Duration Government Fund, Class A		2.53%		3.35%		4.34%		3.51%		5.32%
BofA Merrill Lynch 1-3 Year U.S. Treasury Bond Index		1.50%		1.71%		3.67%		3.25%		5.47%

Comparison of Change in the Value of a $10,000 Investment in the Short-Duration Government Fund, Class A, versus the BofA Merrill Lynch 1-3 Year U.S. Treasury Bond Index

¹  For the periods ended January 31, 2012. Past performance is no indication of future performance. Class A shares were offered beginning 2/17/87. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

2 SEI Daily Income Trust / Annual Report / January 31, 2012

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI DAILY INCOME TRUST — JANUARY 31, 2012

Intermediate-Duration Government Fund

I. Objective

The Intermediate-Duration Government Fund (the “Fund”) seeks to preserve principal value and maintain a high degree of liquidity while providing current income.

II. Multi-Manager Approach

The Fund is managed by a sub-advisor under the supervision of SEI Investments Management Corporation (“SIMC”). Currently, the sub-advisor is Wellington Management Company. There were no manager changes during the period.

III. Market Commentary

For the fiscal year ended January 31, 2012, the non-Treasury sectors of the U.S. fixed-income market were mixed in terms of spread compression and risk appetite. Geopolitical concerns dominated headlines, including the political tensions in the Middle East, the earthquake and tsunami in Japan and the ongoing fiscal challenges in peripheral Europe. In the U.S., the economic recovery continued at a slower pace due to weak employment and soft consumer demand. First and second quarter U.S. gross domestic product (“GDP”) reports showed that the economy grew at 1.9% and 1.3%, respectively. These numbers were lower than consensus expectations, and the market sharply lowered GDP expectations for the rest of the year. In response, the U.S. Federal Reserve kept the federal funds rate near zero to support the economy, but allowed its $600 billion quantitative easing program to expire at the end of June.

Despite the exit, Treasuries rallied significantly in the second and third quarters of 2011 due to weaker U.S. economic data and fears regarding Europe. In mid-September, the Federal Open Market Committee announced further accommodative measures, with “Operation Twist” effectively extending the maturity of its Treasury portfolio and reinvesting the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasuries. These events caused increased market volatility, with Treasuries rallying during the period and non-Treasury sectors broadly underperforming (with the exception of commercial mortgage-backed securities and asset-backed securities).

The corporate market continued to be supported by improving corporate fundamentals. However, spreads widened — particularly in Financials — as mortgage-related liabilities and European concerns remained. During the period, agency MBS underperformed duration-neutral Treasuries as spreads widened with the rally in Treasury rates and uncertainty surrounding policy initiatives impacted the market. The year finished with U.S. economic data showing better-than-expected strength. This development supported the performance of non-government sectors, allowing corporate and mortgage securities to recover some of the lost performance that occurred in the earlier flight to quality.

IV. Return vs. Benchmark

For the fiscal year ended January 31, 2012, the Intermediate-Duration Government Fund, Class A outperformed the BofA Merrill Lynch 3-5 Year U.S. Treasury Bond Index (the “Index”), returning 7.22% versus the Index return of 6.25%.

V. Fund Attribution

The primary driver of the Fund’s performance during the fiscal year was security selection within agency MBS, particularly 20-year and multi-family agency mortgages. The Fund continues to favor agency MBS, as changes in the mortgage capital market have reduced cash-flow variability and supply/demand technicals remain supportive of the asset class. In addition, the Federal Reserve’s announcement to reinvest the proceeds of maturing agency debt and MBS back into MBS rather than Treasuries serves as a modest positive technical to the mortgage market. The Fund used Treasury futures to effectively manage duration and yield-curve exposure.

Intermediate-Duration Government Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3-Year Return		Annualized 5-Year Return		Annualized 10-Year Return		Annualized Inception to Date
Intermediate-Duration Government Fund, Class A		7.22%		6.14%		7.43%		5.53%		6.50%
BofA Merrill Lynch 3-5 Year U.S. Treasury Bond Index		6.25%		4.32%		6.69%		5.30%		6.73%

SEI Daily Income Trust / Annual Report / January 31, 2012 3

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI DAILY INCOME TRUST — JANUARY 31, 2012

Intermediate-Duration Government Fund (Concluded)

Comparison of Change in the Value of a $10,000 Investment in the Intermediate-Duration Government Fund, Class A, versus the BofA Merrill Lynch 3-5 Year U.S. Treasury Bond Index

¹  For the periods ended January 31, 2012. Past performance is no indication 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.

4 SEI Daily Income Trust / Annual Report / January 31, 2012

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI DAILY INCOME TRUST — JANUARY 31, 2012

GNMA Fund

I. Objective

The GNMA Fund (the “Fund”) seeks to preserve principal value and maintain a high degree of liquidity while providing current income.

II. Multi-Manager Approach

The Fund is managed by a sub-advisor under the supervision of SEI Investments Management Corporation (“SIMC”). Currently, the sub-advisor is Wellington Management Company. There were no manager changes during the period.

III. Market Commentary

For the fiscal year ended January 31, 2012, the non-Treasury sectors of the U.S. fixed-income market were mixed in terms of spread compression and risk appetite. Geopolitical concerns dominated headlines, including the political tensions in the Middle East, the earthquake and tsunami in Japan and the ongoing fiscal challenges in peripheral Europe. In the U.S., the economic recovery continued at a slower pace due to weak employment and soft consumer demand. First and second quarter U.S. gross domestic product (“GDP”) reports showed that the economy grew at 1.9% and 1.3%, respectively. These numbers were lower than consensus expectations, and the market sharply lowered GDP expectations for the rest of the year. In response, the U.S. Federal Reserve kept the federal funds rate near zero to support the economy, but allowed its $600 billion quantitative easing program to expire at the end of June.

Despite the exit, Treasuries rallied significantly in the second and third quarters of 2011 due to weaker U.S. economic data and fears regarding Europe. In mid-September, the Federal Open Market Committee announced further accommodative measures, with “Operation Twist” effectively extending the maturity of its Treasury portfolio and reinvesting the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasuries. These events caused increased market volatility, with Treasuries rallying during the period and non-Treasury sectors broadly underperforming (with the exception of commercial mortgage-backed securities and asset-backed securities).

The corporate market continued to be supported by improving fundamentals. However, spreads widened — particularly in

Financials — as mortgage-related liabilities and European concerns remained. During the period, agency MBS underperformed duration-neutral Treasuries, as spreads widened with the rally in Treasury rates and uncertainty surrounding policy initiatives impacted the market. The year finished with U.S. economic data showing better-than-expected strength. This development supported the performance of non-government sectors, allowing corporate and mortgage securities to recover some of the lost performance that occurred in the earlier flight to quality.

IV. Return vs. Benchmark

For the fiscal year ended January 31, 2012, the GNMA Fund, Class A underperformed the Barclays Capital GNMA Index (the “Index”), returning 8.09% versus the Index return of 8.21%.

V. Fund Attribution

The Fund invests primarily in MBS issued by the Government National Mortgage Association (“GNMA”) and is backed by the full faith and credit of the U.S. government. Throughout the period, the portfolio maintained its large allocation to GNMA pass-through securities, which are pools of residential mortgages in which the originating banks, mortgage bankers and savings institutions pass all principal and interest payments directly to the investor. The Fund’s allocation to conventional Fannie Mae and Freddie Mac MBS detracted from performance, as these securities underperformed GNMA pass-throughs. Coupon and security selection that emphasized 30-year higher-coupon bonds contributed to performance, with the Fund taking advantage of changing prepayment expectations and optimizing its convexity characteristic. The Fund used options to more effectively hedge duration and improve portfolio convexity. In addition, Treasury futures were employed in order to effectively manage duration and yield-curve exposure.

GNMA Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3-Year Return		Annualized 5-Year Return		Annualized 10-Year Return		Annualized Inception to Date
GNMA Fund, Class A		8.09%		7.44%		7.43%		5.67%		6.86%
Barclays Capital GNMA Index		8.21%		6.77%		7.01%		5.76%		7.29%

SEI Daily Income Trust / Annual Report / January 31, 2012 5

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI DAILY INCOME TRUST — JANUARY 31, 2012

GNMA Fund (Concluded)

Comparison of Change in the Value of a $10,000 Investment in the GNMA Fund, Class A, versus the Barclays Capital GNMA Index

¹  For the periods ended January 31, 2012. Past performance is no indication 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.

6 SEI Daily Income Trust / Annual Report / January 31, 2012

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI DAILY INCOME TRUST — JANUARY 31, 2012

Ultra Short Duration Bond Fund

I. Objective

The Ultra Short Duration Bond Fund (the “Fund”) seeks to provide higher current income than what is typically offered by a money market fund while maintaining a high degree of liquidity and a correspondingly higher risk of principal volatility.

II. Multi-Manager Approach

The Fund is managed by a sub-advisor under the supervision of SEI Investments Management Corporation (“SIMC”). Currently, the sub-advisor is Wellington Management Company. There were no manager changes during the period.

III. Market Commentary

For the fiscal year ended January 31, 2012, the non-Treasury sectors of the U.S. fixed-income market were mixed in terms of spread compression and risk appetite. Geopolitical concerns dominated headlines, including the political tensions in the Middle East, the earthquake and tsunami in Japan and the ongoing fiscal challenges in peripheral Europe. In the U.S., the economic recovery continued at a slower pace due to weak employment and soft consumer demand. First and second quarter U.S. gross domestic product (“GDP”) reports showed that the economy grew at 1.9% and 1.3%, respectively. These numbers were lower than consensus expectations, and the market sharply lowered GDP expectations for the rest of the year. In response, the U.S. Federal Reserve kept the federal funds rate near zero to support the economy, but allowed its $600 billion quantitative easing program to expire at the end of June.

Despite the exit, Treasuries rallied significantly in the second and third quarters of 2011 due to weaker U.S. economic data and fears regarding Europe. In mid-September, the Federal Open Market Committee announced further accommodative measures, with “Operation Twist” effectively extending the maturity of its Treasury portfolio and reinvesting the proceeds of maturing agency debt and mortgage-backed securities (“MBS”) back into MBS rather than Treasuries. These events caused increased market volatility, with Treasuries rallying during the period and non-Treasury sectors broadly underperforming (with the exception of commercial mortgage-backed securities and asset-backed securities).

The corporate market continued to be supported by improving fundamentals. However, spreads widened — particularly in Financials — as mortgage-related liabilities and European concerns remained. During the period, agency MBS underperformed duration-neutral Treasuries as spreads widened with the rally in Treasury rates and uncertainty surrounding policy initiatives impacted the market. The year finished with U.S. economic data showing better-than-expected strength. This development supported the performance of non-government sectors, allowing corporate and mortgage securities to recover some of the lost performance that occurred in the earlier flight to quality.

IV. Return vs. Benchmark

For the fiscal year ended January 31, 2012, the Ultra Short Duration Bond Fund, Class A outperformed the Barclays Capital Short U.S. Treasury 9-12 Month Index (the “Index”), returning 0.55% versus the Index return of 0.46%.

V. Fund Attribution

The Fund invests in U.S. Treasury and U.S. agency securities, short average life MBS and short-term investment-grade securities of U.S. issuers. Its duration ranges between six and eighteen months. The primary driver of performance was the Fund’s overweight to asset-backed securities (“ABS”), Corporate bonds and agency pass-through MBS, which are pools of residential mortgages in which the originating banks, mortgage bankers and savings institutions pass all principal and interest payments directly to the investor. ABS benefited from steady demand across the buyer universe that resulted in tighter spreads for credit card and auto ABS. The Fund continues to favor agency MBS, as changes in the mortgage capital market have reduced cash-flow variability and supply/demand technicals remain supportive of the asset class. In addition, the Federal Reserve’s announcement to reinvest the proceeds of maturing agency debt and MBS back into MBS rather than Treasuries serves as a modest positive technical to the mortgage market. Non-agency MBS was the main detractor for the period due to the concern over potential supply from Europe. The Fund utilized Treasury futures to efficiently manage duration and yield-curve exposure.

SEI Daily Income Trust / Annual Report / January 31, 2012 7

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

SEI DAILY INCOME TRUST — JANUARY 31, 2012

Ultra Short Duration Bond Fund (Concluded)

Ultra Short Duration Bond Fund:

AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Annualized 3-Year Return		Annualized 5-Year Return		Annualized 10-Year Return		Annualized Inception to Date
Ultra Short Duration Bond Fund, Class A		0.55%		4.85%		1.37%		2.07%		3.71%
Barclays Capital Short U.S. Treasury 9-12 Month Index		0.46%		0.66%		2.40%		2.45%		3.91%

Comparison of Change in the Value of a $10,000 Investment in the Ultra Short Duration Bond Fund, Class A, versus the Barclays Capital Short U.S. Treasury 9-12 Month Index

¹  For the period ended January 31, 2012. 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.

8 SEI Daily Income Trust / Annual Report / January 31, 2012

Definition of Comparative Indices*

Barclays Capital GNMA Index is a widely-recognized, capitalization-weighted index of 15-30 year fixed-rate securities backed by mortgage pools of GNMA.

Barclays Capital Short U.S. Treasury 9-12 Month Index is a widely-recognized, market weighted index of U.S. Treasury Bonds with remaining maturities between nine and twelve months.

BofA Merrill Lynch 1-3 Year U.S. Treasury Bond Index is a widely-recognized, unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than 3 years.

BofA Merrill Lynch 3-5 Year U.S. Treasury Bond Index is a widely-recognized, unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least three years and less than five years.

* An Index measures the market price of a specific group of securities in a particular 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.

SEI Daily Income Trust / Annual Report / January 31, 2012 9

SCHEDULE OF INVESTMENTS

Money Market Fund

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
CERTIFICATES OF DEPOSIT — 36.6%
Bank of Nova Scotia
0.300%, 02/03/12	$	4,000	$	4,000
0.270%, 03/14/12		3,000		3,000
0.300%, 04/03/12		1,700		1,700
0.420%, 07/09/12		2,800		2,800
Bank of Tokyo-Mitsubishi UFJ NY
0.400%, 02/06/12		1,500		1,500
Barclays Bank PLC
0.390%, 03/23/12		1,700		1,700
0.380%, 03/26/12		3,000		3,000
0.360%, 03/26/12		2,000		2,000
Chase Bank USA
0.180%, 04/23/12		3,600		3,600
Credit Suisse NY
0.380%, 02/10/12		5,000		5,000
0.450%, 02/13/12		3,100		3,100
0.450%, 04/10/12		3,000		3,000
DnB Bank
0.420%, 02/17/12		3,100		3,100
0.470%, 04/23/12		3,000		3,000
National Australia Bank
0.400%, 07/16/12		1,000		1,000
0.400%, 07/18/12		4,000		4,000
0.380%, 07/18/12		1,700		1,700
Nordea Bank Finland PLC
0.385%, 02/06/12		3,000		3,000
0.380%, 02/10/12		1,000		1,000
0.430%, 02/16/12		2,765		2,765
0.500%, 03/12/12		1,000		1,000
0.480%, 03/22/12		2,795		2,795
Skandinav Enskilda Bank NY
0.350%, 02/01/12		1,315		1,315
0.460%, 03/05/12		2,500		2,500
0.580%, 03/07/12		1,450		1,450
0.840%, 03/09/12		135		135
0.470%, 03/20/12		4,000		4,000
Sumitomo Mitsui Banking
0.400%, 02/01/12		2,000		2,000
0.450%, 03/12/12		4,000		4,000
0.460%, 03/23/12		2,000		2,000
0.450%, 04/11/12		1,750		1,750
Svenska HandelsBanken
0.435%, 02/24/12		4,000		4,000
0.480%, 03/05/12		4,000		4,000

Description	Face Amount ($ Thousands)		Value ($ Thousands)
0.500%, 03/20/12	$	3,000	$	3,000
0.515%, 04/05/12		2,500		2,500
Toronto-Dominion Bank
0.320%, 02/07/12		2,532		2,532
0.380%, 04/30/12		1,500		1,500
Westpac Banking
0.360%, 02/03/12		1,729		1,729
0.250%, 03/12/12		1,000		1,000
0.500%, 06/27/12		3,600		3,600
Total Certificates of Deposit (Cost $100,771) ($ Thousands)				100,771
COMMERCIAL PAPER (B) (C) — 29.6%
American Honda Finance
0.150%, 04/18/12		500		500
Australia & New Zealand Banking Group
0.250%, 02/22/12		1,000		1,000
0.240%, 03/23/12		1,780		1,779
0.557%, 06/22/12		2,135		2,130
BHP Billiton Finance USA
0.170%, 02/21/12		5,425		5,424
0.130%, 04/23/12		1,000		1,000
BNZ International Funding
0.431%, 02/13/12 to 03/30/12		4,000		3,999
0.652%, 05/16/12		1,250		1,248
BP Capital Markets PLC
0.240%, 02/08/12		3,000		3,000
Chariot Funding LLC
0.250%, 02/13/12		1,000		1,000
Coca-Cola
0.180%, 03/07/12		2,000		2,000
0.140%, 05/04/12 to 05/15/12		1,600		1,600
0.130%, 05/17/12		2,000		1,999
Commonwealth Bank of Australia
0.250%, 03/15/12		2,080		2,079
0.602%, 06/06/12		3,000		2,994
0.491%, 07/12/12		1,000		998
DNB Bank
0.521%, 04/02/12		1,000		999
0.400%, 04/30/12		600		599
FCAR Owner Trust
0.340%, 03/01/12		1,750		1,749
0.290%, 03/01/12		1,000		1,000
0.300%, 04/02/12		3,500		3,498
0.310%, 04/02/12 to 04/03/12		1,350		1,349
0.552%, 07/02/12		5,000		4,988
General Electric Capital
0.280%, 04/06/12 to 04/11/12		6,000		5,997
HSBC Bank PLC
0.300%, 02/14/12		1,695		1,695
Jupiter Securitization LLC
0.220%, 03/09/12		1,000		1,000
Market Street Funding LLC
0.220%, 03/07/12		700		700

10 SEI Daily Income Trust / Annual Report / January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
MetLife Short Term Funding LLC
0.340%, 03/19/12 to 05/14/12	$	2,300	$	2,298
0.310%, 03/20/12		1,000		999
0.324%, 03/26/12		750		750
0.380%, 04/02/12		3,000		2,998
0.364%, 04/03/12		3,000		2,998
New York Life CAP
0.160%, 02/14/12		830		830
0.120%, 03/27/12		250		250
Old Line Funding LLC
0.210%, 04/23/12		1,670		1,669
Procter & Gamble
0.150%, 04/04/12		1,000		1,000
State Street
0.200%, 03/07/12		3,000		2,999
Straight-A Funding LLC
0.190%, 04/12/12		1,000		1,000
Toyota Credit Canada
0.200%, 03/12/12		1,500		1,500
Toyota Financial Services de Puerto Rico
0.250%, 04/13/12 to 04/20/12		2,000		1,999
Variable Funding Capital LLC
0.190%, 04/16/12		1,000		1,000
Westpac Banking
0.461%, 07/12/12		3,000		2,994
Total Commercial Paper (Cost $81,608) ($ Thousands)				81,608
MUNICIPAL BONDS (A) — 4.7%
California — 0.5%
Southern California, Metropolitan Water District, Ser B-4, RB
0.060%, 02/06/12		1,300		1,300
Colorado — 0.1%
Colorado State, Housing & Finance Authority, Ser AA1, RB
0.150%, 02/01/12		395		395
Connecticut — 0.5%
Connecticut State, Housing & Finance Authority, Ser D-3, RB
0.100%, 02/02/12		570		570
Connecticut State, Housing & Finance Authority, Sub-Ser A-5, RB
0.128%, 02/02/12		670		670
				1,240
Indiana — 0.0%
City of Rockport, Ser A, RB
0.080%, 02/01/12		150		150

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Iowa — 0.5%
Iowa State, Finance Authority, Ser C, RB
0.167%, 02/02/12	$	1,355	$	1,355
Iowa State, Finance Authority, Ser G, RB
0.170%, 02/02/12		70		70
				1,425
Kentucky — 0.8%
Kentucky State, Housing Development Authority, Ser J, RB
0.440%, 02/01/12		1,915		1,915
Kentucky State, Housing Development Authority, Ser W, RB
0.430%, 02/02/12		165		165
				2,080
Massachusetts — 0.1%
Simmons College, RB
0.170%, 02/02/12		235		235
New Hampshire — 0.1%
New Hampshire State, Health & Education Facilities Authority, Ser C, RB
0.110%, 02/01/12		190		190
New Mexico — 0.1%
New Mexico State, Finance Authority, Sub-Ser D, GO
0.167%, 02/02/12		300		300
Texas — 1.5%
JP Morgan Chase Putters, Ser 3953, RB
0.080%, 02/01/12		1,300		1,300
Texas State, GO
0.110%, 02/01/12		100		100
0.140%, 02/07/12		375		375
0.140%, 02/07/12		100		100
Texas State, Ser A, GO
0.140%, 02/07/12		485		485
Texas State, Ser A-2, GO
0.138%, 02/01/12		1,000		1,000
Texas State, Ser B, GO
0.140%, 02/07/45		375		375
Texas State, Ser B2, GO
0.108%, 02/01/12		100		100
Texas State, Ser I, GO
0.108%, 02/01/12		195		195
				4,030

SEI Daily Income Trust / Annual Report / January 31, 2012 11

SCHEDULE OF INVESTMENTS

Money Market Fund (Concluded)

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Wisconsin — 0.5%
Wisconsin State, Health & Educational Facilities Authority, RB
0.060%, 02/01/12	$	800	$	800
Wisconsin State, Housing & Economic Development Authority, Ser D, RB
1.300%, 02/01/12		600		600
				1,400
Total Municipal Bonds (Cost $12,745) ($ Thousands)				12,745
U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.4%
FFCB
0.316%, 02/10/12 (A)		1,000		1,000
FFCB DN
0.150%, 07/05/12 (B)		1,000		999
FHLB
0.130%, 02/24/12		1,100		1,100
FHLMC
0.410%, 02/01/12 (A)		2,780		2,779
FNMA
0.311%, 02/20/12 (A)		1,000		1,000
0.320%, 02/01/12 (A)		500		500
0.330%, 02/01/12 (A)		895		894
FNMA, Ser 1
0.400%, 02/01/12 (A)		1,000		1,000
Total U.S. Government Agency Obligations (Cost $9,272) ($ Thousands)				9,272
U.S. TREASURY OBLIGATIONS — 1.7%
U.S. Treasury Notes
1.375%, 01/15/13		1,500		1,518
4.625%, 07/31/12		1,685		1,722
1.000%, 04/30/12		1,500		1,503
Total U.S. Treasury Obligations (Cost $4,743) ($ Thousands)				4,743
CORPORATE OBLIGATION — 0.0%
Shell International Finance
0.920%, 06/22/12 (A)		90		90
Total Corporate Obligation (Cost $90) ($ Thousands)				90
REPURCHASE AGREEMENTS (D) — 24.4%
JPMorgan Chase 0.250%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $5,000,035 (colleaterlized by Tennessee Gas Pipeline Company, par value $4,335,000, 8.000%, 02/01/16, with total market value $5,250,065)		5,000		5,000

Description	Face Amount ($ Thousands)		Value ($ Thousands)
JPMorgan Chase 0.220%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $17,000,104 (colleaterlized by various FHLM obligations, par value $102,081,983, 2.216%-5.967%, 11/01/32-10/01/37, with total market value $17,340,111)	$	17,000	$	17,000
RBC Capital 0.200%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $3,000,017 (colleaterlized by Nat Rutal Util, par value $3,105,545, 0.000%, 03/07/12, with total market value $3,090,017)		3,000		3,000
RBC Capital 0.200%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $17,000,094 (colleaterlized by FNMA obligations, par value $16,473,842, 3.500%, 01/01/32, with total market value $17,340,097)		17,000		17,000
UBS 0.220%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $4,082,025 (colleaterlized by U.S. Treasury Bond, par value $4,026,400, 3.125%, 11/15/41, with total market value $4,163,743)		4,082		4,082
Wells Fargo 0.200%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $4,000,022 (colleaterlized by various Corporate Obligations*, par value $4,046,334, 2.500%-4.000%, 05/16/16-11/15/21, with total market value $4,200,024)		4,000		4,000
Wells Fargo 0.220%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $17,000,104 (colleaterlized by FNMA obligations, par value $16,716,038, 3.500%, 12/01/41, with total market value $17,340,106)		17,000		17,000
Total Repurchase Agreements (Cost $67,082) ($ Thousands)				67,082
Total Investments — 100.4% (Cost $276,311) ($ Thousands)			$	276,311

12 SEI Daily Income Trust / Annual Report / January 31, 2012

* A summary of the corporate obligations used to collateralize repurchase agreements entered into by the Fund at January 31, 2012, is as follows:

Counterparty	Corporate Obligation	Rate	Maturity Date	Par Amount ($ Thousands)
Wells Fargo	Phillip Morris International	2.500%	05/16/16	$	2,770
	Williams Partners LP	4.000	11/15/21		1,276

Percentages are based on Net Assets of $275,306 ($ Thousands).

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2012. 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) Securities are held in connection with a letter of credit issued by a major bank.

(D) 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

GO — General Obligation

LLC — Limited Liability Company

LP — Limited Partnership

NY — New York

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

As of January 31, 2012, all of the Fund’s investments were considered Level 2, in accordance with ASC-820. For more information on valuation inputs, see Note 2 —Significant Accounting Policies in Note to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Daily Income Trust / Annual Report / January 31, 2012 13

SCHEDULE OF INVESTMENTS

Government Fund

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 34.7%
FFCB
2.250%, 04/24/12	$	735	$	739
0.230%, 03/23/12		20,000		20,002
0.280%, 03/16/12		7,000		7,001
0.950%, 03/05/12		3,065		3,067
0.221%, 02/29/12 (A)		2,115		2,115
0.463%, 02/27/12 (A)		125		125
0.243%, 02/27/12 (A)		12,000		11,997
0.205%, 02/26/12 (A)		3,000		2,999
0.247%, 02/24/12 (A)		125		125
0.259%, 02/21/12 (A)		10,000		10,000
0.311%, 02/20/12 (A)		1,000		1,000
0.305%, 02/13/12 (A)		8,848		8,850
0.315%, 02/13/12 (A)		348		348
0.316%, 02/12/12 (A)		847		847
0.316%, 02/10/12 (A)		6,400		6,399
0.385%, 02/07/12 (A)		3,000		3,000
0.315%, 02/05/12 (A)		430		430
0.230%, 02/01/12 (A)		8,000		8,000
0.290%, 02/01/12 (A)		6,000		6,000
0.240%, 02/01/12 (A)		8,500		8,498
0.395%, 02/01/12 (A)		1,496		1,497
0.285%, 02/01/12 (A)		10,000		10,000
0.300%, 02/01/12 (A)		1,160		1,161
FFCB, Ser 1 (A)
0.505%, 04/25/12		1,470		1,470
0.480%, 03/22/12		2,000		2,000
FFCB, Ser 2
0.260%, 02/28/12 (A)		200		200
FHLB
0.200%, 11/19/12 to 11/29/12		7,600		7,604
1.625%, 11/21/12		325		329
0.150%, 04/16/12		2,065		2,065
0.120%, 03/02/12		8,000		8,000
0.225%, 02/26/12 (A)		12,500		12,498
0.130%, 02/13/12 to 02/15/12		39,000		39,000
0.300%, 02/08/12		17,000		17,001
0.260%, 02/01/12 (A)		100		100
0.350%, 02/01/12 (A)		1,000		1,000
FHLB DN (B)
0.095%, 04/09/12 to 06/22/12		11,585		11,583
0.085%, 03/23/12 to 05/09/12		2,100		2,100
0.080%, 04/02/12 to 04/27/12		6,031		6,030
0.092%, 02/10/12		24,480		24,479
FHLB, Ser 1
0.150%, 04/16/12		1,150		1,150
0.226%, 02/25/12 (A)		2,000		2,000

Description	Face Amount ($ Thousands)		Value ($ Thousands)
FNMA
6.125%, 03/15/12	$	12,000	$	12,084
5.000%, 02/16/12		1,735		1,738
FNMA DN (B)
0.085%, 05/02/12		1,500		1,500
0.140%, 02/15/12		7,960		7,960
FHLMC
2.125%, 03/23/12		8,370		8,393
0.239%, 02/21/12 (A)		4,255		4,252
0.256%, 02/10/12 (A)		4,790		4,789
0.245%, 02/03/12 to 02/04/12 (A)		14,500		14,493
0.265%, 02/03/12 (A)		5,149		5,149
0.230%, 02/01/12 (A)		723		723
FHLMC DN (B)
0.080%, 05/07/12		7,000		6,998
0.085%, 04/16/12		1,900		1,900
0.115%, 04/03/12		18,000		17,996
0.100%, 02/23/12		13,000		12,999
0.130%, 02/13/12		10,000		10,000
FHLMC MTN (A)
0.250%, 02/16/12		10,291		10,291
0.235%, 02/02/12		8,000		7,999
FNMA (A)
0.311%, 02/20/12		4,000		3,999
0.265%, 02/08/12		18,500		18,490
0.320%, 02/01/12		1,700		1,700
0.330%, 02/01/12		5,000		4,998
FNMA, Ser 1
4.750%, 11/19/12		2,708		2,807
0.290%, 02/01/12 (A)		435		435
0.400%, 02/01/12 (A)		5,850		5,848
Total U.S. Government Agency Obligations (Cost $420,350) ($ Thousands)				420,350
U.S. TREASURY OBLIGATIONS — 16.1%
U.S. Treasury Notes
1.375%, 09/15/12 to 01/15/13		25,300		25,554
1.125%, 12/15/12		6,000		6,050
4.000%, 11/15/12		13,000		13,395
0.375%, 09/30/12		10,000		10,018
4.625%, 07/31/12		6,500		6,646
0.625%, 07/31/12		19,500		19,551
1.500%, 07/15/12		31,000		31,197
4.750%, 05/31/12		14,500		14,722
1.000%, 03/31/12 to 04/30/12		60,160		60,285
4.500%, 03/31/12		7,500		7,554
Total U.S. Treasury Obligations (Cost $194,972) ($ Thousands)				194,972

14 SEI Daily Income Trust / Annual Report / January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
REPURCHASE AGREEMENTS — 49.6%
Barclays Capital 0.100%, dated 01/31/12, to be repurchased on 02/16/12, repurchase price $6,000,500 (collateralized by various FHLB obligations, ranging in par value $100,000-$6,025,000, 0.000%-0.375%, 02/22/12-11/27/13, with total market value $6,136,426) (C)	$	6,000	$	6,000
Barclays Capital 0.190%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $140,000,739 (collateralized by various FNMA/FHLB/FCSB/FAMC obligations, ranging in par value $10,000,000-$25,000,000, 0.000%-2.000%, 04/04/12-08/18/15, with total market value $142,800,157)		140,000		140,000
BNP Paribas 0.240%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $12,000,080 (collateralized by Citigroup†, par value $12,234,093, 2.125%, 04/30/12, with total market value $12,360,001)		12,000		12,000
BNP Paribas 0.210%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $140,000,817 (collateralized by various U.S. Treasury obligations, ranging in par value $89,821,000- $164,325,000, 0.000%-0.000%, 01/15/30-04/15/30, with total market value $142,800,555)		140,000		140,000
Credit Suisse 0.120%, dated 01/24/12, to be repurchased on 04/23/12, repurchase price $17,005,100 (collateralized by Resolution Funding†, ranging in par value $500,000-$31,105,000, 0.000%, 10/15/28-04/15/30, with total market value $17,342,514) (C)		17,000		17,000
Credit Suisse 0.120%, dated 01/24/12, to be repurchased on 03/23/12, repurchase price $17,003,343 (collateralized by Resolution Funding†, par value $31,605,000, 0.000%, 04/15/30, with total market value $17,340,084) (C)		17,000		17,000

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Deutsche Bank 0.220%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $150,000,917 (collateralized by various FCSB/FHLB/FMAC/FNMA/REFC obligations, ranging in par value $6,393,117-$13,330,000, 0.000%-5.625%, 12/07/12-11/17/17, with total market value $153,000,001)	$	150,000	$	150,000
UBS 0.230%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $15,000,096 (collateralized by various Corporate obligations*†, ranging in par value $363,324- $2,635,000, 0.292%-2.150%, 03/12/12-11/15/12, with total market value $15,450,001)		15,000		15,000
UBS 0.200%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $103,205,573 (collateralized by various FHLB/FNMA obligations, ranging in par value $28,792,000- $76,483,000, 0.000%-0.000%, 02/01/12-07/25/12, with total market value $105,269,242)		103,205		103,205
Total Repurchase Agreements (Cost $600,205) ($ Thousands)				600,205
Total Investments — 100.4% (Cost $1,215,527) ($ Thousands)			$	1,215,527

* A summary of the corporate obligations used to collateralize repurchase agreements entered into by the Fund at January 31, 2012, is as follows:

Counterparty	Corporate Obligation	Rate	Maturity Date	Par Amount ($ Thousands)
UBS	Bank of The West	2.150%	03/27/12	$	363
	Citibank	0.457	11/15/12		2,425
	Citibank	0.292	09/21/12		2,100
	Citigroup Funding	1.875	11/15/12		1,335
	GE Capital	2.000	09/28/12		2,385
	GE Capital	0.247	09/21/12		2,635
	GE Capital	0.450	03/12/12		1,585
	US Bancorp	1.800	05/15/12		2,500

Percentages are based on Net Assets of $1,210,485($ Thousands).

† Securities are FDIC guaranteed.

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2012. 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) Securities considered illiquid. The total value of such securities as of January 31, 2012 was $40,000 ($ Thousands) and represented 3.3% of Net Assets.

(D) Tri-Party Repurchase Agreement.

SEI Daily Income Trust / Annual Report / January 31, 2012 15

SCHEDULE OF INVESTMENTS

Government Fund (Concluded)

January 31, 2012

DN — Discount Note

FAMC — Franklin American Mortgage Company

FCSB — Federal Farm Credit Banks Consolidated Systemwide Bonds

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

REFC — Rural Electrification Financing Corporation

Ser — Series

As of January 31, 2012, all of the Fund’s investments were considered Level 2, in accordance with ASC-820. For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

16 SEI Daily Income Trust / Annual Report / January 31, 2012

SCHEDULE OF INVESTMENTS

Government II Fund

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 65.1%
FFCB
2.250%, 04/24/12	$	5,958	$	5,987
0.243%, 02/27/12 to 03/27/12 (A)		23,000		22,996
0.230%, 03/23/12		2,000		2,000
0.280%, 03/01/12 to 03/16/12		9,200		9,201
0.950%, 02/10/12 to 03/05/12		3,728		3,731
0.221%, 02/29/12 (A)		7,170		7,169
0.260%, 02/28/12 (A)		13,000		13,000
0.463%, 02/27/12 (A)		150		150
0.273%, 02/27/12 (A)		2,000		2,000
0.230%, 02/26/12 (A)		11,000		11,000
0.205%, 02/26/12 (A)		5,000		4,999
0.247%, 02/24/12 (A)		180		180
0.259%, 02/21/12 (A)		13,000		13,000
0.311%, 02/20/12 (A)		2,505		2,506
0.271%, 02/19/12 (A)		1,000		1,000
0.315%, 02/13/12 (A)		8,274		8,276
0.305%, 02/13/12 (A)		775		775
0.316%, 02/12/12 (A)		1,162		1,162
0.316%, 02/10/12 (A)		14,500		14,498
0.385%, 02/07/12 (A)		13,000		12,999
0.315%, 02/05/12 (A)		540		540
0.285%, 02/01/12 (A)		15,000		15,000
0.265%, 02/01/12 (A)		7,000		6,998
0.395%, 02/01/12 (A)		3,754		3,757
0.290%, 02/01/12 (A)		20,500		20,500
0.240%, 02/01/12 (A)		8,000		7,998
0.500%, 02/01/12 (A)		2,000		2,001
0.300%, 02/01/12 (A)		3,240		3,242
FFCB DN (B)
0.150%, 07/05/12		8,000		7,995
0.115%, 03/27/12		5,427		5,426
0.170%, 02/06/12		10,000		10,000
0.010%, 02/01/12		1,603		1,603
FFCB, Ser 1 (A)
0.505%, 04/25/12		1,848		1,848
0.480%, 03/22/12		5,000		5,000
0.203%, 02/27/12		14,000		13,998
FFCB, Ser 2
0.260%, 02/28/12 (A)		300		300
FHLB
0.200%, 11/19/12 to 11/29/12		9,000		9,004
1.625%, 11/21/12		375		379
0.150%, 04/16/12		7,760		7,760
1.050%, 03/15/12		200		200
3.250%, 03/09/12		1,200		1,204
0.120%, 03/02/12		9,000		9,000
0.225%, 02/26/12 (A)		9,000		8,998

Description	Face Amount ($ Thousands)		Value ($ Thousands)
0.229%, 02/23/12 (A)	$	2,750	$	2,750
0.130%, 02/13/12 to 02/15/12		47,000		47,000
0.245%, 02/13/12 (A)		7,000		6,999
0.324%, 02/10/12 (A)		2,500		2,500
0.320%, 02/01/12		2,000		2,000
0.260%, 02/01/12 (A)		4,700		4,700
FHLB DN (B)
0.076%, 04/27/12		1,520		1,520
0.120%, 04/23/12		750		750
0.095%, 04/09/12		14,500		14,497
0.085%, 03/23/12		1,500		1,500
0.060%, 02/10/12 to 03/12/12		91,000		90,998
0.100%, 03/02/12		4,000		4,000
0.118%, 03/01/12		21,000		20,998
0.050%, 02/24/12		18,000		17,999
0.030%, 02/17/12		9,000		9,000
0.040%, 02/08/12		160,564		160,563
0.027%, 02/03/12		126,000		126,000
FHLB, Ser 1
0.150%, 04/16/12		4,310		4,310
0.226%, 02/25/12 (A)		3,700		3,699
FHLB DN (B)
0.090%, 05/16/12		13,000		12,997
0.060%, 04/25/12		19,000		18,997
0.070%, 03/19/12		350		350
0.000%, 02/29/12 (A)		41,000		40,998
2.650%, 02/22/12		3,000		3,000
0.018%, 02/01/12		84,628		84,628
Tennessee Valley Authority
6.790%, 05/23/12		1,775		1,812
Total U.S. Government Agency Obligations (Cost $963,945) ($ Thousands)				963,945
U.S. TREASURY OBLIGATIONS — 41.5%
U.S. Treasury Bills (B)
0.000%, 03/01/12		46,535		46,533
0.019%, 02/23/12		1,900		1,900
0.028%, 02/16/12		63,000		62,999
0.029%, 02/09/12		27,000		27,000
0.024%, 02/02/12		233,660		233,660
U.S. Treasury Notes
1.375%, 04/15/12 to 01/15/13		31,200		31,470
1.125%, 12/15/12		7,000		7,059
4.000%, 11/15/12		15,500		15,970
3.875%, 10/31/12		14,750		15,163
0.375%, 09/30/12 to 10/31/12		12,200		12,223
4.125%, 08/31/12		15,000		15,349
1.750%, 08/15/12		7,000		7,061
4.625%, 07/31/12		6,000		6,135
0.625%, 07/31/12		9,000		9,024
1.500%, 07/15/12		29,000		29,185
4.750%, 05/31/12		4,000		4,061
1.000%, 03/31/12 to 04/30/12		68,575		68,717

SEI Daily Income Trust / Annual Report / January 31, 2012 17

SCHEDULE OF INVESTMENTS

Government II Fund (Concluded)

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
4.500%, 03/31/12	$	11,300	$	11,381
0.875%, 02/29/12		9,450		9,455
Total U.S. Treasury Obligations (Cost $614,345) ($ Thousands)				614,345
Total Investments — 106.6% (Cost $1,578,290) ($ Thousands)			$	1,578,290

Percentages are based on Net Assets of $1,479,907 ($ Thousands).

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2012. 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

As of January 31, 2012, all of the Fund’s investments were considered Level 2, in accordance with ASC-820. For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

18 SEI Daily Income Trust / Annual Report / January 31, 2012

SCHEDULE OF INVESTMENTS

Prime Obligation Fund

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
COMMERCIAL PAPER (B) (C) — 29.7%
American Honda Finance
0.230%, 02/03/12	$	2,650	$	2,650
0.153%, 04/18/12		14,650		14,645
Australia & New Zealand Banking Group
0.250%, 02/22/12		9,000		8,999
0.240%, 03/23/12		22,910		22,902
0.557%, 06/22/12		27,750		27,689
BHP Billiton Finance USA
0.130%, 04/23/12 to 05/01/12		20,000		19,994
BNZ International Funding
0.431%, 03/30/12		17,000		16,988
0.652%, 05/16/12		14,500		14,473
0.612%, 07/05/12		26,000		25,932
0.592%, 07/12/12		24,000		23,936
0.541%, 07/27/12		16,820		16,775
BP Capital Markets PLC
0.240%, 02/08/12		34,000		33,998
Chariot Funding LLC
0.250%, 02/13/12		8,000		7,999
0.220%, 03/08/12		5,000		4,999
0.321%, 07/05/12		8,000		7,989
Coca-Cola
0.140%, 05/04/12 to 05/15/12		23,000		22,991
0.130%, 05/16/12 to 05/17/12		70,088		70,061
0.160%, 06/04/12		10,000		9,995
Commonwealth Bank of Australia
0.250%, 03/15/12		22,395		22,388
0.602%, 06/06/12		31,000		30,935
0.491%, 07/12/12		15,000		14,967
DNB Bank
0.350%, 02/13/12		2,100		2,100
0.521%, 04/02/12		7,000		6,994
0.491%, 04/10/12		8,000		7,993
0.400%, 04/30/12		8,000		7,992
FCAR Owner Trust
0.340%, 03/01/12		28,000		27,992
0.280%, 03/05/12		9,975		9,972
0.310%, 04/02/12 to 04/03/12		11,000		10,994
0.300%, 04/02/12		38,000		37,981
0.306%, 04/04/12		49,300		49,274
0.552%, 07/02/12		39,000		38,909
General Electric Capital
0.280%, 04/06/12 to 04/11/12		32,000		31,984

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Jupiter Securitization LLC
0.220%, 03/09/12	$	11,000	$	10,998
0.321%, 07/05/12		8,000		7,989
Liberty Street Funding LLC
0.240%, 03/15/12		15,575		15,571
Market Street Funding LLC
0.220%, 03/07/12		7,100		7,098
MetLife Short Term Funding LLC
0.340%, 03/19/12 to 05/14/12		38,100		38,073
0.310%, 03/20/12		8,000		7,997
0.330%, 03/26/12 to 05/07/12		14,000		13,989
0.380%, 04/02/12		32,000		31,979
0.365%, 04/03/12		26,000		25,984
0.270%, 04/04/12		32,000		31,985
New York Life CAP
0.120%, 03/27/12		3,165		3,164
Old Line Funding LLC
0.210%, 04/23/12		24,295		24,283
0.260%, 05/14/12		45,500		45,466
0.320%, 07/17/12		5,980		5,971
Procter & Gamble
0.150%, 04/04/12		8,000		7,998
Sheffield Receivables
0.330%, 02/02/12		15,345		15,345
State Street
0.200%, 03/07/12		29,000		28,994
Straight-A Funding LLC
0.190%, 04/12/12		13,400		13,395
Toyota Credit Canada
0.200%, 03/12/12		18,000		17,996
Toyota Motor Credit
0.280%, 02/01/12		32,000		32,000
0.180%, 03/23/12		86,400		86,378
Variable Funding Capital LLC
0.180%, 03/12/12		18,500		18,496
0.190%, 04/16/12		13,400		13,395
Westpac Banking
0.240%, 03/19/12		41,145		41,132
0.491%, 07/10/12		42,000		41,909
0.481%, 07/12/12		39,000		38,916
Total Commercial Paper (Cost $1,279,991) ($ Thousands)				1,279,991
CERTIFICATES OF DEPOSIT — 25.2%
Bank of Nova Scotia
0.270%, 03/14/12		42,000		42,000
0.300%, 04/03/12		28,000		28,000
0.420%, 07/09/12		37,000		37,000
Bank of Tokyo-Mitsubishi UFJ NY
0.470%, 03/09/12		39,000		39,000
0.410%, 04/30/12		45,000		45,000
Barclays Bank PLC
0.390%, 03/23/12		48,300		48,300

SEI Daily Income Trust / Annual Report / January 31, 2012 19

SCHEDULE OF INVESTMENTS

Prime Obligation Fund (Continued)

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
0.380%, 03/26/12	$	49,000	$	49,000
0.360%, 03/26/12		25,000		25,000
Chase Bank USA
0.180%, 04/23/12		52,400		52,400
Credit Suisse NY
0.470%, 02/21/12		15,000		15,000
0.450%, 04/10/12		45,000		45,000
DnB Bank
0.456%, 02/25/12 (A)		3,770		3,771
0.470%, 04/23/12		36,000		36,003
National Australia Bank
0.400%, 07/16/12		17,000		17,000
0.400%, 07/18/12		47,000		47,000
0.380%, 07/18/12		12,300		12,300
Nordea Bank Finland PLC
0.500%, 03/12/12		11,000		11,000
0.480%, 03/22/12		36,020		36,020
0.460%, 04/09/12		2,500		2,500
0.440%, 04/10/12		21,000		21,000
Skandinav Enskilda Bank NY
0.350%, 02/01/12		17,100		17,100
0.470%, 02/28/12		6,000		6,000
0.460%, 03/05/12		40,000		40,000
0.580%, 03/07/12		16,500		16,500
0.840%, 03/09/12		1,500		1,501
0.470%, 03/20/12		55,000		55,001
Sumitomo Mitsui Banking
0.450%, 03/12/12		41,000		41,000
0.460%, 03/23/12		30,000		30,000
0.450%, 04/11/12		22,800		22,800
Svenska HandelsBanken
0.435%, 02/24/12		46,000		46,000
0.480%, 03/05/12		45,000		45,000
0.500%, 03/20/12		46,000		46,000
0.515%, 04/05/12		20,000		20,000
0.450%, 04/23/12		10,000		10,000
Toronto-Dominion Bank
0.380%, 04/30/12		20,000		20,000
Westpac Banking
0.250%, 03/12/12		8,000		8,000
0.500%, 06/27/12		49,000		49,000
Total Certificates of Deposit (Cost $1,086,196) ($ Thousands)				1,086,196
MUNICIPAL BONDS (A) — 2.9%
California — 0.3%
Southern California, Metropolitan Water District, Ser B-4, RB
0.060%, 02/06/12		13,900		13,900

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Colorado — 0.3%
Colorado State, Housing & Finance Authority, Ser A1, RB
0.250%, 02/06/12	$	100	$	100
0.210%, 02/06/12		900		900
0.150%, 02/06/12		1,825		1,825
0.120%, 02/06/12		3,050		3,050
Colorado State, Housing & Finance Authority, Ser AA1, RB
0.150%, 02/01/12		3,665		3,665
Colorado State, Housing & Finance Authority, Ser B1, RB
0.140%, 02/01/12		3,425		3,425
Colorado State, Housing & Finance Authority, Ser C1, RB
0.200%, 02/01/12		1,000		1,000
Colorado State, Housing & Finance Authority, CL1, RB
0.210%, 02/01/12		400		400
				14,365
Connecticut — 0.2%
Connecticut State, Housing & Finance Authority, Ser D-3, RB
0.100%, 02/02/12		5,550		5,550
Connecticut State, Housing & Finance Authority, Sub-Ser A-5, RB
0.128%, 02/02/12		4,330		4,330
				9,880
Indiana — 0.0%
City of Rockport, Ser A, RB
0.080%, 02/01/12		1,500		1,500
Iowa — 0.3%
Iowa State, Finance Authority, Ser B, RB
0.130%, 02/02/12		900		900
Iowa State, Finance Authority, Ser C, RB
0.167%, 02/02/12		8,710		8,710
Iowa State, Finance Authority, Ser G, RB
0.170%, 02/02/12		345		345
Iowa State, Finance Authority, Ser M, RB
0.160%, 02/02/12		750		750
				10,705
Kentucky — 0.0%
Kentucky State, Housing Development Authority, Ser J, RB
0.440%, 02/02/12		250		250
Kentucky State, Housing Development Authority, Ser W, RB
0.430%, 02/01/12		1,440		1,440
				1,690

20 SEI Daily Income Trust / Annual Report / January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Massachusetts — 0.1%
Simmons College, RB
0.170%, 02/02/12	$	2,905	$	2,905
Minnesota — 0.0%
Minnesota State, Housing Finance Agency, Ser T, RB
0.200%, 02/02/12		195		195
New Hampshire — 0.1%
New Hampshire State, Health & Education Facilities Authority, Ser C, RB
0.110%, 02/01/12		2,945		2,945
New Mexico — 0.1%
New Mexico State, Finance Authority, Sub-Ser D, GO
0.167%, 02/02/12		3,600		3,600
Texas — 1.3%
JPMorgan Chase Putters, Ser 3953, RB
0.080%, 02/01/12		19,000		19,000
Texas State, GO
0.110%, 02/01/12		1,150		1,150
0.170%, 02/07/12		4,210		4,210
0.140%, 02/07/12		3,975		3,975
0.140%, 02/07/12		3,300		3,300
Texas State, Ser A, GO
0.140%, 02/07/12		3,830		3,830
Texas State, Ser A-2, GO
0.138%, 02/01/12		400		400
Texas State, Ser B, GO
0.140%, 02/02/12		5,710		5,710
Texas State, Ser B2, GO
0.108%, 02/01/12		1,000		1,000
Texas State, Ser C, GO
0.110%, 02/01/12		9,290		9,290
Texas State, Ser I, GO
0.108%, 02/01/12		2,395		2,395
				54,260
Wisconsin — 0.2%
Wisconsin State, Health & Educational Facilities Authority, RB
0.060%, 02/01/12		8,300		8,300
Wisconsin State, Housing & Economic Development Authority, Ser B, RB
0.138%, 02/02/12		990		990
Wisconsin State, Housing & Economic Development Authority, Ser D, RB
1.300%, 02/01/12		1,050		1,050
1.279%, 02/01/12		220		220
				10,560
Total Municipal Bonds (Cost $126,505) ($ Thousands)				126,505

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 2.5%
FFCB
0.316%, 02/10/12 (A)	$	10,000	$	9,999
FFCB DN
0.150%, 07/05/12 (B)		7,000		6,995
FHLB
0.130%, 02/24/12		13,500		13,500
FHLMC
0.410%, 02/01/12 (A)		28,310		28,300
FNMA
0.311%, 02/20/12 (A)		8,000		7,998
0.320%, 02/01/12 (A)		7,000		6,999
0.330%, 02/01/12 (A)		11,000		10,996
FNMA, Ser 1
0.400%, 02/01/12 (A)		22,900		22,896
Total U.S. Government Agency Obligations (Cost $107,683) ($ Thousands)				107,683
TIME DEPOSIT — 2.3%
Toronto-Dominion Bank
0.100%, 02/01/12		100,000		100,000
Total Time Deposit (Cost $100,000) ($ Thousands)				100,000
U.S. TREASURY OBLIGATIONS — 1.4%
U.S. Treasury Notes
1.375%, 01/15/13		15,500		15,682
4.625%, 07/31/12		23,335		23,853
1.000%, 04/30/12		22,000		22,047
Total U.S. Treasury Obligations (Cost $61,582) ($ Thousands)				61,582
CORPORATE OBLIGATION — 0.0%
Shell International Finance
0.920%, 03/22/12 (A)		1,000		1,002
Total Corporate Obligation (Cost $1,002) ($ Thousands)				1,002
REPURCHASE AGREEMENTS (D) — 36.3%
Barclays Capital 0.190%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $56,675,299 (collateralized by various FCSB/FNMA obligations, ranging in par value $11,808,000-$45,625,000, 1.010%-1.750%, 02/21/13-12/05/14, with total market value $57,809,165)		56,675		56,675

SEI Daily Income Trust / Annual Report / January 31, 2012 21

SCHEDULE OF INVESTMENTS

Prime Obligation Fund (Concluded)

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Barclays Capital 0.200%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $100,000,556 (collateralized by various FNMA obligations, ranging in par value $13,664,464-$100,920,710, 3.500%-5.000%, 08/01/26-04/01/40, with total market value $102,000,001)	$	100,000	$	100,000
Barclays Capital 0.180%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $200,001,000 (collateralized by U.S. Treasury Notes, ranging in par value $59,750,000 $122,142,200, 0.125%-1.625%, 01/15/15-01/15/22, with total market value $204,000,115)		200,000		200,000
Goldman Sachs 0.210%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $137,000,799 (collateralized by FNMA obligations, par value $133,233,497, 4.000%, 11/01/41, with total market value $139,740,816)		137,000		137,000
JPMorgan Chase 0.220%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $37,000,226 (collateralized by various FHLMC obligations, ranging in par value $7,450,000-$30,086,231, 1.875%-6.202%, 01/01/23-01/01/38, with total market value $37,740,098)		37,000		37,000
JPMorgan Chase 0.250%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $69,000,479 (collateralized by various corporate obligations*†, ranging in par value $25,000-$9,700,000, 3.631%-8.000%, 10/01/13-09/01/21, with total market value $72,454,604)		69,000		69,000
RBC Capital 0.200%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $38,000,211 (collateralized by Rabobank, par value $39,140,218, 0.460%, 04/13/12, with total market value $39,140,218)		38,000		38,000

Description	Face Amount ($ Thousands)		Value ($ Thousands)
RBC Capital 0.200%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $279,001,550 (collateralized by various FNMA/FMAC obligations, ranging in par value $6,691,943- $50,339,997, 1.976%-4.500%, 06/01/26-10/01/41, with total market value $284,581,582)	$	279,000	$	279,000
UBS 0.220%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $167,154,021 (collateralized by various FHLB/FNMA obligations, ranging in par value $32,073,000- $72,767,000, 0.000%-2.500%, 02/01/12-05/15/14, with total market value $170,496,828)		167,153		167,153
UBS 0.180%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $168,734,844 (collateralized by U.S. Treasury Notes, ranging in par value 18,336,600-$85,353,400, 2.375%-3.625%, 01/15/25- 04/15/28, with total market value $172,108,786)		168,734		168,734
Wells Fargo 0.200%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $65,000,361 (collateralized by various corporate obligations*†, ranging in par value $3,596,132- $9,046,000, 2.100%-7.875%, 01/07/14-04/01/20, with total market value $68,250,380)		65,000		65,000
Wells Fargo 0.220%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $247,001,509 (collateralized by various FNMA/FMAC obligations, ranging in par value $43,738,499- $67,512,185, 3.000%-5.000%, 01/01/27-01/01/42, with total market value $251,941,540)		247,000		247,000
Total Repurchase Agreements (Cost $1,564,562) ($ Thousands)				1,564,562
Total Investments — 100.3% (Cost $4,327,521) ($ Thousands)			$	4,327,521

22 SEI Daily Income Trust / Annual Report / January 31, 2012

* A summary of the corporate obligations used to collateralize repurchase agreements entered into by the Fund at January 31, 2012, is as follows:

Counterparty	Corporate Obligation	Rate	Maturity Date		Par Amount ($ Thousands)
JPMorgan Chase	Anadarko Petroleum	5.750%		06/15/14	$	1,408
	Anadarko Petroleum	8.700		03/15/19		9,700
	Boston Scientific	5.500		11/15/15		1,500
	Boston Scientific	4.500		01/15/15		6,410
	Boston Scientific	5.450		06/15/14		327
	CC Holdings	7.750		05/01/17		530
	Discover Bank	7.000		04/15/20		99
	El Paso Natural Gas	5.950		04/15/17		3,328
	Entertainment Proper	7.750		07/15/20		400
	QVC Network	7.125		04/15/17		258
	QVC Network	7.500		10/01/19		606
	Qwest Communications	7.500		02/15/14		25
	SLM Corp.	5.000		10/01/13		143
	SLM Corp.	3.631		01/27/14		500
	SLM Corp.	5.375		05/15/14		668
	Southern Natural Gas	4.400		06/15/21		9,690
	Tennessee Gas Pipeline	7.500		04/01/17		5,354
	Tennessee Gas Pipeline	8.000		02/01/16		4,295
	The Williams Co.	7.625		07/15/19		402
	The Williams Co.	7.875		09/01/21		15,086
Wells Fargo	Bottling Group	5.125		01/15/19		6,558
	GE Capital	2.100		01/07/14		9,046
	Health Care Property	5.625		05/01/17		8,772
	Pan pac Retail	5.250		09/01/15		8,500
	Petrohawk Energy	7.875		06/01/15		9,000
	Prologis LP	7.375		10/30/19		7,878
	Scana Corp.	6.250		04/01/20		3,596
	Talisman Energy	5.125		05/15/15		8,500

Percentages are based on Net Assets of $4,315,330 ($ Thousands).

† Securities are FDIC guaranteed.

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2012. 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) Securities are held in connection with a letter of credit issued by major bank.

(D) Tri-Party Repurchase Agreement.

Cl — Class

DN — Discount Note

FCSB — Federal Farm Credit Banks Consolidated Systemwide Bonds

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

LP — Limited Partnership

NY — New York

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

As of January 31, 2012, all of the Fund’s investments were considered Level 2, in accordance with ASC-820. For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Daily Income Trust / Annual Report / January 31, 2012 23

SCHEDULE OF INVESTMENTS

Treasury Fund

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 37.2%
U.S. Treasury Bills (A)
0.120%, 02/02/12	$	15,000	$	15,000
0.070%, 03/08/12		5,000		4,999
0.100%, 05/03/12		4,330		4,329
U.S. Treasury Notes
1.375%, 02/15/12 to 01/15/13		14,165		14,249
4.500%, 03/31/12 to 04/30/12		11,585		11,684
1.000%, 03/31/12 to 04/30/12		52,315		52,426
4.750%, 05/31/12		1,500		1,523
0.750%, 05/31/12		27,180		27,238
1.500%, 07/15/12		3,300		3,321
4.625%, 07/31/12		8,500		8,690
0.625%, 07/31/12		5,000		5,013
1.750%, 08/15/12		2,500		2,522
4.125%, 08/31/12		5,000		5,116
0.375%, 09/30/12 to 10/31/12		4,400		4,408
3.875%, 10/31/12		2,300		2,364
4.000%, 11/15/12		5,000		5,152
1.125%, 12/15/12		2,500		2,521
Total U.S. Treasury Obligations (Cost $170,555) ($ Thousands)				170,555
REPURCHASE AGREEMENTS (B) — 63.3%
Barclays Capital 0.070%, dated 01/11/12, to be repurchased on 02/13/12, repurchase price $10,000,622 (collateralized by U.S. Treasury Notes, ranging in par value $253,700-$3,134,200, 1.250%- 3.625%, 04/15/14-04/15/28, with total market value $10,200,082) (C)		10,000		10,000
Barclays Capital 0.180%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $39,000,195 (collateralized by U.S. Treasury Notes, par value $38,713,300, 1.500%, 08/31/18, with total market value $39,780,043)		39,000		39,000
BNP Paribas 0.190%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $40,000,211 (collateralized by U.S. Treasury Bonds, ranging in par value $392,100-$7,952,000, 6.250%- 10.625%, 08/15/15-02/15/27, with total market value $40,800,125)		40,000		40,000

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Credit Suisse 0.100%, dated 01/24/12, to be repurchased on 04/23/12, repurchase price $2,000,500 (collateralized by U.S. Treasury Bonds, par value $1,975,000, 3.125%, 11/15/41, with total market value $2,042,368) (C)	$	2,000	$	2,000
Credit Suisse 0.100%, dated 01/24/12, to be repurchased on 03/23/12, repurchase price $2,000,328 (collateralized by U.S. Treasury Bonds, par value $1,975,000, 3.125%, 11/15/41, with total market value $2,042,368) (C)		2,000		2,000
Credit Suisse 0.180%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $40,000,200 (collateralized by U.S. Treasury Bonds, par value $31,615,000, 4.375%, 05/15/41, with total market value $40,804,367)		40,000		40,000
Deutsche Bank 0.200%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $50,000,278 (collateralized by U.S. Treasury Notes, par value $50,068,500, 2.000%, 11/15/21, with total market value $51,000,063)		50,000		50,000
JPMorgan Chase 0.150%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $40,000,167 (collateralized by U.S. Treasury Notes, par value $40,090,000, 1.000%, 10/31/16, with total market value $40,801,900)		40,000		40,000
RBC Capital 0.130%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $40,000,144 (collateralized by U.S. Treasury Notes, par value $39,706,100, 1.000%, 08/31/18, with total market value $40,800,199)		40,000		40,000
UBS 0.180%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $26,809,134 (collateralized by U.S. Treasury Notes, par value $26,350,122, 1.000%, 10/31/12, with total market value $27,345,181)		26,809		26,809
Total Repurchase Agreements (Cost $289,809) ($ Thousands)				289,809
Total Investments — 100.5% (Cost $460,364) ($ Thousands)			$	460,364

24 SEI Daily Income Trust / Annual Report / January 31, 2012

Percentages are based on Net Assets of $457,865($ Thousands).

(A) The rate reported is the effective yield at time of purchase.

(B) Tri-Party Repurchase Agreement.

(C) Securities considered illiquid. The total value of such securities as of January 31, 2012 was $14,000 ($ Thousands) and represented 3.1% of Net Assets.

As of January 31, 2012, all of the Fund’s investments were considered Level 2, in accordance with ASC-820. For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

SEI Daily Income Trust / Annual Report / January 31, 2012 25

SCHEDULE OF INVESTMENTS

Treasury II Fund

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 103.0%
U.S. Treasury Bills (A)
0.025%, 02/02/12	$	348,002	$	348,002
0.011%, 02/09/12		67,042		67,042
0.021%, 02/16/12		87,468		87,467
0.027%, 02/23/12		72,000		71,999
0.000%, 03/01/12		26,000		25,999
0.070%, 03/08/12		6,000		5,999
0.045%, 04/05/12 to 04/12/12		13,374		13,373
0.040%, 04/19/12		9,000		8,999
0.100%, 05/03/12		1,620		1,620
U.S. Treasury Notes
4.875%, 02/15/12		21,700		21,740
1.375%, 02/15/12 to 01/15/13		50,660		50,877
0.875%, 02/29/12		10,000		10,006
4.500%, 03/31/12 to 04/30/12		20,730		20,934
1.000%, 03/31/12 to 04/30/12		69,000		69,147
4.750%, 05/31/12		7,000		7,107
0.750%, 05/31/12		15,800		15,834
1.875%, 06/15/12		10,000		10,066
1.500%, 07/15/12		19,400		19,523
4.625%, 07/31/12		9,000		9,201
1.750%, 08/15/12		3,000		3,026
4.125%, 08/31/12		7,000		7,163
0.375%, 09/30/12 to 10/31/12		6,700		6,712
3.875%, 10/31/12		4,100		4,215
4.000%, 11/15/12		8,000		8,243
3.375%, 11/30/12		2,000		2,053
1.125%, 12/15/12		3,500		3,529
Total U.S. Treasury Obligations (Cost $899,876) ($ Thousands)				899,876
Total Investments — 103.0% (Cost $899,876)($ Thousands)			$	899,876

Percentages are based on Net Assets of $873,375 ($ Thousands).

(A) The rate reported is the effective yield at time of purchase.

As of January 31, 2012, all of the Fund’s investments were considered Level 2, in accordance with ASC-820. For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

The accompanying notes are an integral part of the financial statements.

26 SEI Daily Income Trust / Annual Report / January 31, 2012

SCHEDULE OF INVESTMENTS

Short-Duration Government Fund

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 60.8%
Agency Mortgage-Backed Obligations — 60.8%
FHLMC
6.000%, 06/01/21	$	814	$	880
4.500%, 07/01/23		6		6
3.500%, 01/01/41 to 10/01/41		16,482		17,109
2.629%, 06/01/24 (A)		49		49
2.565%, 06/01/24 (A)		102		104
2.500%, 01/01/18 (A)		23		24
2.460%, 06/01/17 (A)		23		23
2.451%, 04/01/22 (A)		20		20
2.435%, 04/01/19 (A)		15		16
2.427%, 07/01/20 (A)		4		4
2.406%, 07/01/24 (A)		14		15
2.381%, 03/01/19 (A)		18		18
2.376%, 12/01/23 (A)		1,831		1,930
2.375%, 09/01/20 (A)		8		9
2.371%, 05/01/24 (A)		56		56
2.347%, 05/01/19 (A)		24		24
2.332%, 02/01/19 (A)		23		23
2.330%, 09/01/18 (A)		4		4
2.321%, 04/01/29 (A)		85		88
2.257%, 12/01/23 (A)		96		97
2.250%, 07/01/18 to 11/01/20 (A)		11		11
2.184%, 04/01/29 (A)		36		38
2.174%, 03/01/19 (A)		26		26
2.125%, 02/01/16 to 11/01/18 (A)		28		30
2.071%, 01/01/17 (A)		4		4
2.000%, 02/01/17 to 07/01/18 (A)		23		23
1.750%, 04/01/16 to 03/01/17 (A)		12		12
1.625%, 02/01/16 to 12/01/16 (A)		13		13
FHLMC REMIC, Ser 2002-42, Cl A5
7.500%, 02/25/42		666		811
FHLMC REMIC, Ser 2003-2587, Cl ET
3.700%, 07/15/17		94		94
FHLMC REMIC, Ser 2004-2826, Cl BK
5.000%, 01/15/18		50		50
FHLMC REMIC, Ser 2004-2864, Cl NV
4.500%, 08/15/15		2,772		2,861
FHLMC REMIC, Ser 2005-3022, Cl MB
5.000%, 12/15/28		359		360
FHLMC REMIC, Ser 2005-3029, Cl PE
5.000%, 03/15/34		4,000		4,261
FHLMC REMIC, Ser 2006-3148, Cl CF
0.690%, 02/15/34 (A)		1,409		1,407

Description	Face Amount ($ Thousands)		Value ($ Thousands)
FHLMC REMIC, Ser 2010-3628, Cl PJ
4.500%, 01/15/40	$	12,723	$	13,925
FHLMC REMIC, Ser 3153, Cl FX
0.640%, 05/15/36 (A)		455		454
FNMA
7.000%, 06/01/37		54		62
6.657%, 04/01/14		3,672		3,843
6.500%, 05/01/26 to 09/01/36		1,183		1,334
6.000%, 02/01/23 to 09/01/24		14,026		15,103
5.500%, 06/01/16 to 12/01/25		4,104		4,480
5.300%, 07/01/19		1,292		1,455
5.140%, 11/01/15		3,208		3,538
5.090%, 11/01/15		4,087		4,504
5.000%, 03/01/19 to 04/01/41		7,239		7,831
4.974%, 12/01/13		1,393		1,470
4.959%, 02/01/13		57		58
4.835%, 11/01/12		981		990
4.830%, 02/01/13		2,155		2,195
4.771%, 09/01/15		6,970		7,695
4.767%, 04/01/13		104		106
4.500%, 04/01/26 to 10/01/31		10,372		11,112
4.100%, 07/01/13		917		944
4.000%, 05/01/26 to 08/01/26		8,272		8,791
3.580%, 10/01/16		2,401		2,589
2.990%, 10/01/17		3,432		3,641
2.630%, 09/01/17		22,730		23,755
2.405%, 12/01/29 (A)		125		126
2.381%, 08/01/29 (A)		476		504
2.245%, 09/01/25 (A)		97		102
2.195%, 02/01/27 (A)		94		97
2.138%, 09/01/24 (A)		697		727
2.097%, 05/01/28 (A)		611		636
2.011%, 08/01/27 (A)		412		417
FNMA REMIC, Ser 1992-61, Cl FA
0.931%, 10/25/22 (A)		121		121
FNMA REMIC, Ser 1993-32, Cl H
6.000%, 03/25/23		49		53
FNMA REMIC, Ser 1993-5, Cl Z
6.500%, 02/25/23		25		28
FNMA REMIC, Ser 1994-77, Cl FB
1.781%, 04/25/24 (A)		10		11
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16		105		112
FNMA REMIC, Ser 2002-3, Cl PG
5.500%, 02/25/17		573		604
FNMA REMIC, Ser 2002-53, Cl FK
0.676%, 04/25/32 (A)		202		202
FNMA REMIC, Ser 2003-76, Cl CA
3.750%, 07/25/33		554		583
FNMA REMIC, Ser 2004-15, Cl AN
4.000%, 09/25/17		1,250		1,265
FNMA REMIC, Ser 2004-75, Cl KA
4.500%, 03/25/18		16		16

SEI Daily Income Trust / Annual Report / January 31, 2012 27

SCHEDULE OF INVESTMENTS

Short-Duration Government Fund (Concluded)

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
FNMA REMIC, Ser 2006-76, Cl QF
0.676%, 08/25/36 (A)	$	2,333	$	2,329
FNMA REMIC, Ser 2006-79, Cl DF
0.626%, 08/25/36 (A)		2,036		2,032
FNMA REMIC, Ser 2007-47, Cl DA
5.600%, 05/25/37		3,562		3,992
FNMA REMIC, Ser 2010-149, Cl VA
4.500%, 02/25/22		9,463		10,388
FNMA REMIC, Ser 2010-4, Cl PL
4.500%, 02/25/40		9,543		10,313
FNMA, Ser 2010-M5, Cl A2
2.806%, 07/25/20		13,700		14,441
FNMA TBA
6.000%, 02/01/36		120,800		132,771
4.500%, 02/01/34		3,400		3,633
3.500%, 02/01/41		13,000		13,678
GNMA
6.500%, 04/15/17 to 02/20/39		2,160		2,482
6.000%, 06/15/16 to 09/15/19		384		421
5.500%, 10/15/34 to 02/15/41		25,831		28,874
GNMA REMIC, Ser 2006-38, Cl XS, IO
6.960%, 09/16/35 (A)		167		37
GNMA TBA
5.000%, 02/01/39		50,000		55,398
4.000%, 02/01/40		10,600		11,430
NCUA Guaranteed Notes, Ser 2010- R1, Cl 2A
1.840%, 10/07/20		794		802
Total Mortgage-Backed Securities (Cost $441,386) ($ Thousands)				449,000
U.S. GOVERNMENT AGENCY OBLIGATIONS — 19.5%
FHLB
3.250%, 09/12/14		9,915		10,634
2.750%, 03/13/15		4,440		4,737
FHLMC
2.500%, 04/23/14		50,024		52,272
FNMA
5.000%, 03/15/16		20,752		24,268
3.000%, 09/16/14		2,220		2,365
2.750%, 03/13/14		35,520		37,201
0.750%, 02/26/13		12,580		12,652
Total U.S. Government Agency Obligations (Cost $139,016) ($ Thousands)				144,129
U.S. TREASURY OBLIGATIONS — 13.0%
U.S. Treasury Notes
2.625%, 11/15/20		19,136		20,757
3.875%, 02/15/13		72,500		75,292
Total U.S. Treasury Obligations (Cost $93,388) ($ Thousands)				96,049

Description	Face Amount ($ Thousands)		Value ($ Thousands)
REPURCHASE AGREEMENTS (B) — 34.9%
BNP Paribas 0.240%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $140,300,935 (collateralized by FNMA/FHLMC obligations, ranging in par value $21,411,566-$33,661,447, 3.500%-6.000%, 07/01/26- 01/01/42, with total market value $143,106,000)	$	140,300	$	140,300
JPMorgan Chase 0.230%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $117,900,753 (collateralized by various FHLMC obligations, ranging in par value $2,939,893-$20,004,170, 2.241%-5.938%, 06/01/24- 09/01/41, with total market value $120,259,139)		117,900		117,900
Total Repurchase Agreements (Cost $258,200) ($ Thousands)				258,200
Total Investments — 128.2% (Cost $931,990) ($ Thousands)			$	947,378

The open futures contracts held by the Fund at January 31, 2012, is as follows (see Note 2 in Notes to Financial Statements):

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		76			Mar-2012	$	142
U.S. 2-Year Treasury Note		512			Mar-2012		143
U.S. 5-Year Treasury Note		(408	)		Mar-2012		(543	)
						$	(258	)

For the year ended January 31, 2012, the total amount of all open future contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on Net Assets of $739,126 ($ Thousands).

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2012. The date reported is the final maturity date.

(B) Tri-Party Repurchase Agreement.

Cl — Class

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

NCUA — National Credit Union Administration

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

28 SEI Daily Income Trust / Annual Report / January 31, 2012

The following is a summary of the inputs used as of January 31, 2012 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	449,000	$	—	$	449,000
U.S. Government Agency
Obligations		—		144,129		—		144,129
U.S. Treasury Obligations		—		96,049		—		96,049
Repurchase Agreements		—		258,200		—		258,200
Total Investments in Securities	$	—	$	947,378	$	—	$	947,378

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(258	)	$	—	$	—	$	(258	)

* Futures contracts are valued at the unrealized appreciation/(depreciation).

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, 2012 29

SCHEDULE OF INVESTMENTS

Intermediate-Duration Government Fund

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 87.6%
Agency Mortgage-Backed Obligations — 87.6%
FHLMC
6.500%, 01/01/18 to 12/01/32	$	212	$	241
6.000%, 09/01/24		673		742
5.500%, 06/01/19 to 12/01/20		412		449
FHLMC REMIC, Ser 1990-165, Cl K
6.500%, 09/15/21		8		9
FHLMC REMIC, Ser 1993-1599, Cl C
6.100%, 10/15/23		123		127
FHLMC REMIC, Ser 2003-2587, Cl ET
3.700%, 07/15/17		54		54
FHLMC REMIC, Ser 2003-2622, Cl PE
4.500%, 05/15/18		2,620		2,777
FHLMC REMIC, Ser 2003-2630, Cl HA
3.000%, 01/15/17		0		0
FHLMC REMIC, Ser 2004-2748, Cl LE
4.500%, 12/15/17		437		445
FHLMC REMIC, Ser 2004-2802, Cl PF
0.643%, 09/15/33 (A)		560		560
FHLMC REMIC, Ser 2005-3029, Cl PE
5.000%, 03/15/34		1,300		1,385
FHLMC REMIC, Ser 2635, Cl NJ
3.000%, 03/15/17		23		23
FNMA
6.500%, 03/01/33 to 10/01/34		136		154
6.450%, 10/01/18		495		569
6.000%, 02/01/23		430		463
5.931%, 02/01/12		213		213
5.680%, 06/01/17		530		599
5.500%, 03/01/14 to 12/01/25		2,349		2,567
5.034%, 08/01/15		369		405
5.000%, 02/01/13 to 04/01/41		2,920		3,151
4.959%, 02/01/13		149		152
4.771%, 02/01/12		1,220		1,347
4.500%, 04/01/26 to 10/01/31		895		960
4.360%, 12/01/15		974		1,048
4.000%, 05/01/26 to 08/01/26		644		684
3.790%, 07/01/13		997		1,023
2.990%, 10/01/17		3,236		3,433
FNMA REMIC, Ser 2001-51, Cl QN
6.000%, 10/25/16		148		158
FNMA REMIC, Ser 2004-15, Cl AN
4.000%, 09/25/17		312		316

Description	Face Amount ($ Thousands)		Value ($ Thousands)
FNMA REMIC, Ser 2006-79, Cl DF
0.626%, 02/25/12 (A)	$	359	$	359
FNMA REMIC, Ser 2007-47, Cl DA
5.600%, 05/25/37		619		694
FNMA REMIC, Ser 2010-149, Cl VA
4.500%, 02/25/22		968		1,063
FNMA REMIC, Ser 2010-4, Cl PL
4.500%, 02/25/40		1,104		1,193
FNMA, Ser 2010-M5, Cl A2
2.806%, 07/25/20		3,300		3,478
FNMA TBA
6.000%, 02/01/36		7,000		7,694
4.500%, 02/01/34		300		321
GNMA
8.750%, 07/20/17 to 07/20/17		7		7
8.500%, 11/20/16 to 08/20/17		31		34
7.500%, 11/15/25 to 03/15/27		27		32
6.000%, 09/15/24		589		669
5.500%, 06/15/38 to 01/15/39		3,754		4,196
GNMA TBA
5.500%, 02/15/34		400		447
5.000%, 02/01/39		8,700		9,639
4.000%, 02/01/40		7,900		8,518
NCUA Guaranteed Notes, Ser 2010-R1, Cl 2A
1.840%, 10/07/20		193		195
Total Mortgage-Backed Securities (Cost $61,086) ($ Thousands)				62,593
U.S. GOVERNMENT AGENCY OBLIGATIONS — 5.2%
FHLB
2.750%, 03/13/15		1,500		1,600
FNMA
2.750%, 03/13/14		2,050		2,147
Total U.S. Government Agency Obligations (Cost $3,605) ($ Thousands)				3,747
U.S. TREASURY OBLIGATION — 2.1%
U.S. Treasury Notes (B)
2.250%, 05/31/14		1,400		1,465
Total U.S. Treasury Obligation (Cost $1,429) ($ Thousands)				1,465
ASSET-BACKED SECURITY — 0.7%
Other — 0.7%
Small Business Administration, Ser 2005-P10B, Cl 1
4.940%, 08/10/15		462		491
Total Asset-Backed Security (Cost $462) ($ Thousands)				491

30 SEI Daily Income Trust / Annual Report / January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
REPURCHASE AGREEMENTS (C) — 40.7%
BNP Paribas 0.240%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $15,300,102 (collateralized by various FHLMC/GNMA obligations, ranging in par value $349,057-$14,548,548, 3.430%-3.500%, 02/01/42- 01/15/47, with total market value $15,606,001)	$	15,300	$	15,300
Goldman Sachs 0.220%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $13,800,084 (collateralized by GNMA, par value $13,348,435, 3.500%, 01/20/42, with total market value $14,076,000)		13,800		13,800
Total Repurchase Agreements (Cost $29,100) ($ Thousands)				29,100
Total Investments — 136.3% (Cost $95,682) ($ Thousands)			$	97,396

The open futures contracts held by the Fund at January 31, 2012, is as follows (see Note 2 in Notes to Financial Statements):

Type of Contract	Number Of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		63			Mar-2012	$	111
U.S. 2-Year Treasury Note		(7	)		Mar-2012		(2	)
U.S. 5-Year Treasury Note		215			Mar-2012		285
						$	394

For the year ended January 31, 2012, the total amount of all open future contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on Net Assets of $71,458 ($ Thousands).

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2012. The date reported is the final maturity date.

(B) Security, or portion thereof, has been pledged as collateral on open future contracts.

(C) Tri-Party Repurchase Agreement.

Cl — Class

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

NCUA — National Credit Union Administration

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

The following is a summary of the inputs used as of January 31, 2012 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	62,593	$	—	$	62,593
U.S. Government Agency
Obligations		—		3,747		—		3,747
U.S. Treasury Obligation		—		1,465		—		1,465
Asset-Backed Security		—		491		—		491
Repurchase Agreements		—		29,100		—		29,100
Total Investments in Securities	$	—	$	97,396	$	—	$	97,396

Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	394	$	—	$	—	$	394

* Futures contracts are valued at the unrealized appreciation/(depreciation).

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, 2012 31

SCHEDULE OF INVESTMENTS

GNMA Fund

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 100.1%
Agency Mortgage-Backed Obligations — 100.1%
FHLMC REMIC, Ser 2006-3175, Cl SA, IO
6.860%, 06/15/36 (A)	$	511	$	68
FHLMC REMIC, Ser 2006-3179, Cl SP, IO
6.330%, 07/15/36 (A)		1,032		149
FHLMC REMIC, Ser 2007-3279, Cl SD, IO
6.140%, 02/15/37 (A)		3,567		528
FHLMC REMIC, Ser 2007-3309, Cl SC, IO
6.160%, 04/15/37 (A)		3,321		500
FHLMC REMIC, Ser 2010-3631, Cl PS, IO
6.160%, 02/15/40 (A)		14,754		2,482
FNMA
8.000%, 09/01/14 to 09/01/28		73		81
7.000%, 08/01/29 to 09/01/32		274		321
6.500%, 09/01/32		123		141
FNMA REMIC, Ser 1990-91, Cl G
7.000%, 08/25/20		26		28
FNMA REMIC, Ser 1992-105, Cl B
7.000%, 06/25/22		52		57
FNMA REMIC, Ser 2002-42, Cl C
6.000%, 07/25/17		1,059		1,137
FNMA REMIC, Ser 2007-19, Cl SA, IO
6.134%, 03/25/37 (A)		7,898		1,168
GNMA
12.500%, 06/15/14		0		0
12.000%, 04/15/14		0		0
10.000%, 05/15/16 to 09/15/19		16		16
9.500%, 08/15/17 to 11/15/20		37		39
9.000%, 12/15/17 to 05/15/22		103		110
8.500%, 10/15/16 to 06/15/17		35		37
8.000%, 04/15/17 to 03/15/32		558		629
7.750%, 10/15/26		41		50
7.500%, 02/15/27 to 10/15/35		333		386
7.250%, 01/15/28		119		139
7.000%, 04/15/19 to 06/20/38		5,101		5,929
6.750%, 11/15/27		46		54
6.500%, 02/15/13 to 05/15/40		5,174		5,969
6.000%, 07/15/24 to 10/15/39		3,603		4,087
5.500%, 01/15/33 to 02/15/41		23,571		26,402
5.000%, 04/15/33 to 06/20/40		33,505		37,199
4.500%, 08/15/33 to 12/15/41		5,481		6,002
GNMA, Ser 2003-9, Cl Z
5.500%, 01/20/33		2,365		2,640
GNMA REMIC, Ser 2002-45, Cl QE
6.500%, 06/20/32		737		846

Description	Face Amount ($ Thousands)		Value ($ Thousands)
GNMA REMIC, Ser 2005-70, Cl AI, IO
5.000%, 10/20/33	$	3,331	$	264
GNMA REMIC, Ser 2006-38, Cl XS, IO
6.960%, 09/16/35 (A)		4,179		915
GNMA REMIC, Ser 2009-104, Cl XV
5.000%, 05/20/26		2,700		3,019
GNMA TBA
6.500%, 02/19/34		700		803
6.000%, 02/15/35		16,900		19,055
5.500%, 02/15/34		5,100		5,693
5.000%, 02/01/39 to 02/01/40		45,000		49,815
4.500%, 02/15/39		46,000		50,241
3.500%, 02/01/41		15,500		16,315
Total Mortgage-Backed Securities (Cost $234,009) ($ Thousands)				243,314
PURCHASED OPTION — 0.0%
Euro Dollar 1 Year Curve Put Option, Expires 09/17/12, Strike Price $ 98.75		487		33
Total Repurchased Option (Cost $70) ($ Thousands)				33
REPURCHASE AGREEMENTS (C) — 63.2%
BNP Paribas 0.240%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $55,700,371 (collateralized by various FNMA obligations, ranging in par value $5,788,699-$55,695,556, 3.500%-5.500%, 05/01/24-08/01/41, with total market value $56,814,000)		55,700		55,700
JPMorgan Chase 0.230%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $48,300,309 (collateralized by various FNMA obligations, ranging in par value $21,414-$1,688,375, 3.000%-5.500%, 05/01/18-01/01/42, with total market value $49,268,088)		48,300		48,300
UBS 0.240%, dated 01/31/12, to be repurchased on 02/01/12, repurchase price $49,600,331 (collateralized by FNMA, par value $48,219,870, 3.500%, 01/01/32, with total market value $50,592,000)		49,600		49,600
Total Repurchase Agreements (Cost $153,600) ($ Thousands)				153,600
Total Investments — 163.3% (Cost $387,679) ($ Thousands)			$	396,947

32 SEI Daily Income Trust / Annual Report / January 31, 2012

The open futures contracts held by the Fund at January 31, 2012, is as follows (see Note 2 in Notes to Financial Statements):

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		44			Mar-2012	$	92
U.S. 2-Year Treasury Note		(51	)		Mar-2012		(14	)
						$	78

For the year ended January 31, 2012, the total amount of all open future contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on Net Assets of $243,016 ($ Thousands).

(A) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2012. The date reported is the final maturity date.

(B) Security, or portion thereof, has been pledged as collateral on open future contracts.

(C) Tri-Party Repurchase Agreement.

Cl — Class

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

IO — Interest Only — face amount represents notional amount

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

The following is a summary of the inputs used as of January 31, 2012 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	243,314	$	—	$	243,314
Purchased Option		33		—		—		33
Repurchase Agreements		—		153,600		—		153,600
Total Investments in Securities	$	33	$	396,914	$	—	$	396,947

Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*	$	78	$	—	$	—	$	78

* Futures contracts are valued at the unrealized appreciation/(depreciation).

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, 2012 33

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
CORPORATE OBLIGATIONS — 36.8%
Banks — 7.0%
ANZ National International
2.375%, 12/21/12 (A)	$	342	$	346
Bank of America MTN
1.673%, 01/30/14 (B)		1,000		968
Bank of Montreal
2.125%, 06/28/13		504		514
Bank of Montreal MTN
0.723%, 04/29/14 (B)		500		499
Bank of Nova Scotia
1.850%, 01/12/15		1,000		1,019
Bank of Tokyo-Mitsubishi
2.600%, 01/22/13 (A)		336		341
BB&T
1.125%, 04/28/14 (B)		525		523
BB&T MTN
3.375%, 09/25/13		629		652
BNP Paribas MTN
2.125%, 12/21/12		546		546
BPCE
2.375%, 10/04/13 (A)		504		493
Canadian Imperial Bank of Commerce
1.450%, 09/13/13		703		710
Danske Bank MTN
1.451%, 04/14/14 (A) (B)		1,050		1,006
Deutsche Bank
2.375%, 01/11/13		315		317
HSBC Bank PLC
1.203%, 01/17/14 (A) (B)		923		915
ING Bank
2.650%, 01/14/13 (A)		525		524
2.000%, 10/18/13 (A)		629		619
Nordea Bank
1.750%, 10/04/13 (A)		629		624
Royal Bank of Canada MTN
0.703%, 04/17/14 (B)		1,000		995
Royal Bank of Scotland PLC
3.400%, 08/23/13		839		853
Societe Generale
2.200%, 09/14/13 (A)		525		511
Societe Generale MTN
1.441%, 04/11/14 (A) (B)		350		330

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Standard Chartered PLC
1.231%, 05/12/14 (A) (B)	$	1,000	$	992
State Street
0.683%, 03/07/14 (B)		715		708
Swedbank Hypotek
0.813%, 03/28/14 (A) (B)		1,400		1,377
Toronto-Dominion Bank
0.701%, 07/14/14 (B)		620		614
Wachovia MTN
5.500%, 05/01/13		734		775
				17,771
Consumer Products — 1.1%
Comcast Cable Holdings LLC
9.800%, 02/01/12		1,000		1,000
DIRECTV Holdings LLC
3.500%, 03/01/16		465		485
President and Fellows of Harvard College
3.700%, 04/01/13		556		575
Target
0.610%, 01/11/13 (B)		750		751
				2,811
Energy — 0.6%
BP Capital Markets PLC
5.250%, 11/07/13		525		566
0.937%, 03/11/14 (B)		1,000		1,003
				1,569
Financial Services — 11.8%
Ally Financial
0.350%, 12/19/12 (B)		734		734
American Express Credit
1.208%, 06/24/14 (B)		1,500		1,478
American Honda Finance
1.850%, 09/19/14 (A)		1,500		1,516
Caterpillar Financial Services
0.662%, 04/01/14 (B)		850		853
Caterpillar Financial Services MTN
1.900%, 12/17/12		350		354
Citigroup
5.125%, 05/05/14		839		881
1.302%, 04/01/14 (B)		1,250		1,197
Daimler Finance North America LLC
2.300%, 01/09/15 (A)		1,500		1,510
ERAC USA Finance LLC
2.750%, 07/01/13 (A)		531		540
2.250%, 01/10/14 (A)		135		135
General Electric Capital
1.234%, 01/07/14 (B)		420		420
General Electric Capital MTN
2.625%, 12/28/12		2,000		2,045
2.125%, 12/21/12		9,881		10,055
1.142%, 05/09/16 (B)		1,000		955

34 SEI Daily Income Trust / Annual Report / January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
John Deere Capital MTN
1.875%, 06/17/13	$	420	$	427
0.553%, 07/15/13 (B)		655		657
Kimco Realty
6.000%, 11/30/12		734		755
National Rural Utilities Cooperative Finance
1.125%, 11/01/13		202		204
1.000%, 02/02/15		1,300		1,300
NCUA Guaranteed Notes
0.263%, 06/12/13 (B)		530		530
Nissan Motor Acceptance
3.250%, 01/30/13 (A)		1,272		1,286
Toyota Motor Credit MTN
1.375%, 08/12/13		839		845
Ventas Realty
3.125%, 11/30/15		519		523
Volkswagen International Finance
0.984%, 04/01/14 (A) (B)		850		834
				30,034
Food, Beverage & Tobacco — 3.3%
Anheuser-Busch InBev Worldwide
0.972%, 01/27/14 (B)		986		989
0.606%, 07/14/14 (B)		1,200		1,198
Coca-Cola Enterprises
0.593%, 02/18/14 (B)		1,049		1,046
General Mills
5.250%, 08/15/13		776		828
Kraft Foods
1.456%, 07/10/13 (B)		1,500		1,505
PepsiCo
0.800%, 08/25/14		595		598
Philip Morris International
2.500%, 05/16/16		1,000		1,041
SABMiller Holdings
1.850%, 01/15/15 (A)		1,300		1,304
				8,509
Health Care — 2.0%
AmerisourceBergen
5.625%, 09/15/12		1,049		1,079
Aristotle Holding
2.750%, 11/21/14 (A)		1,000		1,021
Express Scripts
5.250%, 06/15/12		650		660
GlaxoSmithKline Capital
4.850%, 05/15/13		357		378
Mount Sinai Hospital
2.210%, 07/01/12		365		366
Quest Diagnostics
1.208%, 03/24/14 (B)		335		337

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Sanofi
0.673%, 03/28/14 (B)	$	1,000	$	1,000
Thermo Fisher Scientific
2.050%, 02/21/14		274		282
				5,123
Industrials — 0.5%
Boeing
1.875%, 11/20/12		304		307
Danaher
1.300%, 06/23/14		670		682
Textron
6.500%, 06/01/12		210		213
				1,202
Information Technology — 0.9%
eBay
0.875%, 10/15/13		290		292
Hewlett-Packard
0.719%, 05/30/14 (B)		1,000		974
Xerox
1.110%, 05/16/14 (B)		995		982
				2,248
Insurance — 3.0%
Allstate Life Global Funding Trust MTN
5.375%, 04/30/13		900		951
American International Group
4.250%, 09/15/14		650		653
Berkshire Hathaway Finance
0.721%, 01/10/14 (B)		1,049		1,050
MBIA Insurance
14.000%, 01/15/33 (A) (B)		210		127
Metropolitan Life Global Funding I
1.141%, 01/10/14 (A) (B)		839		830
Metropolitan Life Global Funding I MTN
5.125%, 04/10/13 (A)		839		879
Monumental Global Funding III
0.603%, 01/15/14 (A)(B)		378		368
New York Life Global Funding
1.300%, 01/12/15 (A)		750		753
0.634%, 04/04/14 (A) (B)		1,000		991
Prudential Financial MTN
5.100%, 09/20/14		462		501
2.750%, 01/14/13		525		532
				7,635
Investment Banker/Broker Dealer — 3.8%
BlackRock
2.250%, 12/10/12		420		426
Citigroup Funding
2.250%, 12/10/12		2,015		2,052

SEI Daily Income Trust / Annual Report / January 31, 2012 35

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Credit Agricole Home Loan
1.162%, 07/21/14 (A) (B)	$	1,000	$	958
Goldman Sachs Group
1.269%, 02/07/14 (B)		1,431		1,383
Goldman Sachs Group MTN
6.000%, 05/01/14		239		257
JPMorgan Chase
4.650%, 06/01/14		944		1,013
JPMorgan Chase MTN
1.216%, 01/24/14 (B)		839		837
Morgan Stanley
4.200%, 11/20/14		839		848
2.016%, 01/24/14 (B)		525		505
Morgan Stanley, Ser G MTN
0.691%, 01/09/14 (B)		252		237
UBS
1.875%, 01/23/15 (A)		850		847
1.425%, 01/28/14 (B)		407		399
				9,762
Materials — 0.2%
Anglo American Capital PLC
2.150%, 09/27/13 (A)		376		377
Media — 0.3%
NBCUniversal Media LLC
2.100%, 04/01/14		734		747
Security & Commodity Brokers — 0.5%
Genworth Global Funding Trusts, Ser 2007-B
0.426%, 05/15/12 (B)		504		502
MassMutual Global Funding II
0.781%, 01/14/14 (A) (B)		874		874
				1,376
Sovereign — 0.2%
Republic of Austria MTN
2.000%, 11/15/12 (A)		468		472
Telephones & Telecommunication — 0.5%
Cellco Partnership
5.250%, 02/01/12		329		329
Verizon Communications
1.250%, 11/03/14		1,000		1,009
				1,338
Utilities — 1.1%
Allegheny Energy Supply LLC
8.250%, 04/15/12 (A)		546		553
Commonwealth Edison
1.625%, 01/15/14		382		388

Description	Face Amount ($ Thousands)		Value ($ Thousands)
DTE Energy
1.031%, 06/03/13 (B)	$	430	$	430
Georgia Power
1.300%, 09/15/13		600		607
Sempra Energy
1.107%, 03/15/14 (B)		800		798
				2,776
Total Corporate Obligations (Cost $93,984) ($ Thousands)				93,750
ASSET-BACKED SECURITIES — 34.5%
Automotive — 23.9%
Ally Auto Receivables Trust, Ser 2009-A, Cl A3
2.330%, 06/17/13 (A)		719		722
Ally Auto Receivables Trust, Ser 2010-1, Cl A3
1.450%, 05/15/14		665		668
Ally Auto Receivables Trust, Ser 2010-2, Cl A3
1.380%, 07/15/14		292		294
Ally Auto Receivables Trust, Ser 2010-3, Cl A3
1.110%, 10/15/14		965		970
Ally Auto Receivables Trust, Ser 2010-4, Cl A3
0.910%, 11/17/14		428		429
Ally Auto Receivables Trust, Ser 2011-4, Cl A2
0.650%, 03/17/14		350		350
Ally Auto Receivables Trust, Ser 2012-1, Cl A2
0.710%, 09/15/14		1,100		1,101
Ally Master Owner Trust, Ser 2010-1, Cl A
1.993%, 01/15/15 (A) (B)		944		955
Ally Master Owner Trust, Ser 2010-3, Cl A
2.880%, 04/15/15 (A)		1,507		1,533
Ally Master Owner Trust, Ser 2011-1, Cl A1
1.113%, 01/15/16 (B)		642		644
AmeriCredit Automobile Receivables Trust, Ser 2010-1, Cl B
3.720%, 11/17/14		327		333
AmeriCredit Automobile Receivables Trust, Ser 2010-2, Cl A2
1.220%, 10/08/13		128		128
AmeriCredit Automobile Receivables Trust, Ser 2010-3, Cl A3
1.140%, 04/08/15		473		473
AmeriCredit Automobile Receivables Trust, Ser 2010-4, Cl B
1.990%, 10/08/15		1,111		1,122

36 SEI Daily Income Trust / Annual Report / January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
AmeriCredit Automobile Receivables Trust, Ser 2010-A, Cl A3
3.510%, 07/06/17	$	418	$	431
AmeriCredit Automobile Receivables Trust, Ser 2010-B, Cl A2
1.180%, 02/06/14		91		91
AmeriCredit Automobile Receivables Trust, Ser 2011-2, Cl A2
0.900%, 09/08/14		301		301
AmeriCredit Automobile Receivables Trust, Ser 2011-3, Cl A3
1.170%, 01/08/16		440		442
AmeriCredit Automobile Receivables Trust, Ser 2011-4, Cl A2
0.920%, 03/09/15		625		626
AmeriCredit Automobile Receivables Trust, Ser 2012-1, Cl A2
0.910%, 10/08/15		215		215
Americredit Prime Automobile Receivable, Ser 2009-1, Cl A3
2.210%, 01/15/14		252		253
Avis Budget Rental Car Funding, Ser 2009-1A, Cl A
9.310%, 10/20/13 (A)		1,506		1,561
Avis Budget Rental Car Funding, Ser 2009-2A, Cl A
5.680%, 02/20/14 (A)		813		841
Avis Budget Rental Car Funding, Ser 2010-2A, Cl A
3.630%, 08/20/14 (A)		172		177
Avis Budget Rental Car Funding, Ser 2011-1A, Cl A
1.850%, 11/20/14 (A)		560		562
Bank of America Auto Trust, Ser 2009-1A, Cl A4
3.520%, 06/15/16 (A)		1,282		1,303
Bank of America Auto Trust, Ser 2009-2A, Cl A3
2.130%, 09/15/13 (A)		158		158
Bank of America Auto Trust, Ser 2009-2A, Cl A4
3.030%, 10/15/16 (A)		462		470
Bank of America Auto Trust, Ser 2010-1A, Cl A3
1.390%, 03/15/14 (A)		453		454
Bank of America Auto Trust, Ser 2010-2, Cl A3
1.310%, 07/15/14		174		175
BMW Vehicle Lease Trust, Ser 2010-1, Cl A3
0.820%, 04/15/13		1,119		1,120
BMW Vehicle Lease Trust, Ser 2011-1, Cl A3
1.060%, 02/20/14		460		461

Description	Face Amount ($ Thousands)		Value ($ Thousands)
BMW Vehicle Owner Trust, Ser 2011-A, Cl A3
0.760%, 08/25/15	$	1,020	$	1,023
Capital Auto Receivables Asset Trust, Ser 2007-3, Cl A4
5.210%, 03/17/14		22		22
Capital Auto Receivables Asset Trust, Ser 2007-4A, Cl A4
5.300%, 05/15/14		155		157
Carmax Auto Owner Trust, Ser 2008-1, Cl A4A
4.790%, 02/15/13		111		112
CarMax Auto Owner Trust, Ser 2009-1, Cl A3
4.120%, 03/15/13		14		14
CarMax Auto Owner Trust, Ser 2009-2, Cl A4
2.820%, 12/15/14		137		141
CarMax Auto Owner Trust, Ser 2010-1, Cl A3
1.560%, 07/15/14		706		710
CarMax Auto Owner Trust, Ser 2010-1, Cl A4
2.400%, 04/15/15		655		671
CarMax Auto Owner Trust, Ser 2010-2, Cl A3
1.000%, 02/16/15		645		649
CarMax Auto Owner Trust, Ser 2010-3, Cl A3
0.990%, 02/17/15		596		598
CarMax Auto Owner Trust, Ser 2011-3, Cl A2
0.700%, 11/17/14		930		931
Chrysler Financial Auto Securitization Trust, Ser 2010-A, Cl A2
0.690%, 01/08/13		124		124
Daimler Chrysler Auto Trust, Ser 2007-A, Cl A4
5.280%, 03/08/13		40		40
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A4
1.040%, 12/15/13 (A)		955		958
Ford Credit Auto Lease Trust, Ser 2010-B, Cl A3
0.800%, 07/15/13 (A)		810		811
Ford Credit Auto Lease Trust, Ser 2011-A, Cl A2
0.740%, 09/15/13		605		605
Ford Credit Auto Lease Trust, Ser 2011-B, Cl A2
0.820%, 01/15/14		1,500		1,502
Ford Credit Auto Owner Trust, Ser 2008-A, Cl A4
4.370%, 10/15/12		6		6

SEI Daily Income Trust / Annual Report / January 31, 2012 37

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Ford Credit Auto Owner Trust, Ser 2009-A, Cl A3B
2.743%, 05/15/13 (B)	$	20	$	20
Ford Credit Auto Owner Trust, Ser 2009-B, Cl A3
2.790%, 08/15/13		166		166
Ford Credit Auto Owner Trust, Ser 2010-A, Cl A3
1.320%, 06/15/14		269		270
Ford Credit Auto Owner Trust, Ser 2010-B, Cl A3
0.980%, 10/15/14		376		377
Ford Credit Floorplan Master Owner Trust, Ser 2009-2, Cl A3
1.793%, 09/15/14 (B)		1,424		1,434
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl B
2.493%, 12/15/14 (A) (B)		1,001		1,014
Ford Credit Floorplan Master Owner Trust, Ser 2010-1, Cl A
1.893%, 12/15/14 (A)(B)		1,593		1,609
Ford Credit Floorplan Master Owner Trust, Ser 2011-1, Cl A2
0.843%, 02/15/16 (B)		208		208
GE Dealer Floorplan Master Note Trust, Ser 2009-2A, Cl A
1.793%, 10/20/14 (A) (B)		1,353		1,363
Harley-Davidson Motorcycle Trust, Ser 2007-2, Cl A4
5.120%, 08/15/13		53		53
Harley-Davidson Motorcycle Trust, Ser 2009-2, Cl A3
2.620%, 03/15/14		225		226
Harley-Davidson Motorcycle Trust, Ser 2009-4, Cl A3
1.870%, 02/15/14		232		233
Harley-Davidson Motorcycle Trust, Ser 2010-1, Cl A3
1.160%, 02/15/15		365		366
Harley-Davidson Motorcycle Trust, Ser 2011-2, Cl A2
0.710%, 05/15/15		505		505
Hertz Vehicle Financing LLC, Ser 2009-2A, Cl A1
4.260%, 03/25/14 (A)		936		960
Hertz Vehicle Financing LLC, Ser 2010-1A, Cl A1
2.600%, 02/25/15 (A)		835		849
Hertz Vehicle Financing LLC, Ser 2011-1A, Cl A1
2.200%, 03/25/16 (A)		890		897
Honda Auto Receivables Owner Trust, Ser 2010-2, Cl A3
1.340%, 03/18/14		402		404

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Honda Auto Receivables Owner Trust, Ser 2010-3, Cl A3
0.700%, 04/21/14	$	665	$	666
Honda Auto Receivables Owner Trust, Ser 2011-1, Cl A2
0.650%, 06/17/13		366		366
Honda Auto Receivables Owner Trust, Ser 2011-2, Cl A3
0.940%, 03/18/15		445		447
Huntington Auto Trust, Ser 2009-1A, Cl A4
5.730%, 01/15/14 (A)		747		758
Huntington Auto Trust, Ser 2011-1A, Cl A3
1.010%, 01/15/16 (A)		670		669
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A2
0.690%, 11/15/13 (A)		555		555
Hyundai Auto Lease Securitization Trust, Ser 2011-A, Cl A3
1.020%, 08/15/14 (A)		1,000		1,001
Hyundai Auto Receivables Trust, Ser 2009-A, Cl A3
2.030%, 08/15/13		60		61
Hyundai Auto Receivables Trust, Ser 2010-A, Cl A3
1.500%, 10/15/14		315		317
Hyundai Auto Receivables Trust, Ser 2010-B, Cl A3
0.970%, 04/15/15		567		569
Hyundai Auto Receivables Trust, Ser 2011-A, Cl A2
0.690%, 11/15/13		383		383
Hyundai Auto Receivables Trust, Ser 2011-B, Cl A2
0.590%, 03/15/14		574		574
Hyundai Auto Receivables Trust, Ser 2011-C, Cl A3
0.830%, 12/15/15		1,250		1,252
Mercedes-Benz Auto Receivables Trust, Ser 2011-1, Cl A3
0.850%, 03/16/15		350		351
MMCA Automobile Trust, Ser 2012-A, Cl A2
0.810%, 08/15/14 (A)		1,396		1,396
Navistar Financial Owner Trust, Ser 2010-A, Cl B
4.170%, 10/20/14 (A)		243		245
Navistar Financial Owner Trust, Ser 2010-A, Cl A3
1.990%, 01/21/14 (A)		1,097		1,104
Navistar Financial Owner Trust, Ser 2010-B, Cl A2
0.810%, 01/18/13 (A)		346		346

38 SEI Daily Income Trust / Annual Report / January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Nissan Auto Lease Trust, Ser 2010-B, Cl A2
0.900%, 05/15/13	$	420	$	420
Nissan Auto Lease Trust, Ser 2011-A, Cl A3
1.040%, 08/15/14		1,500		1,509
Nissan Auto Receivables Owner Trust, Ser 2011-A, Cl A2
0.650%, 12/16/13		593		594
Santander Consumer Acquired Receivables Trust, Ser 2011-WO, Cl A2
0.910%, 11/15/13 (A)		136		136
Santander Consumer Acquired Receivables Trust, Ser 2011-WO, Cl A3
1.400%, 10/15/14 (A)		1,350		1,354
Santander Drive Auto Receivables Trust, Ser 2010-2, Cl A3
1.240%, 02/17/14		659		660
Santander Drive Auto Receivables Trust, Ser 2010-3, Cl A2
0.930%, 06/17/13		170		170
Santander Drive Auto Receivables Trust, Ser 2011-1, Cl A2
0.940%, 02/18/14		732		732
Santander Drive Auto Receivables Trust, Ser 2012-1, Cl A2
1.250%, 04/15/15		975		976
Toyota Auto Receivables Owner Trust, Ser 2010-B, Cl A3
1.040%, 02/18/14		323		324
Toyota Auto Receivables Owner Trust, Ser 2010-C, Cl A3
0.770%, 04/15/14		627		628
USAA Auto Owner Trust, Ser 2009-2, Cl A4
2.530%, 07/15/15		50		51
Volkswagen Auto Loan Enhanced Trust, Ser 2010-1, Cl A3
1.310%, 01/20/14		236		236
Volkswagen Auto Loan Enhanced Trust, Ser 2012-1, Cl A2
0.610%, 10/20/14		335		335
World Omni Auto Receivables Trust, Ser 2008-A, Cl A4
4.740%, 10/15/13		414		418
World Omni Auto Receivables Trust, Ser 2010-A, Cl A3
1.340%, 12/16/13		96		96
World Omni Auto Receivables Trust, Ser 2011-A, Cl A2
0.640%, 11/15/13		399		399
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A2
0.810%, 10/15/13		730		731

Description	Face Amount ($ Thousands)		Value ($ Thousands)
World Omni Automobile Lease Securitization Trust, Ser 2011-A, Cl A4
1.780%, 09/15/16	$	570	$	578
				60,798
Credit Card — 4.1%
Cabela’s Master Credit Card Trust, Ser 2009-1A, Cl A
2.243%, 03/16/15 (A) (B)		632		633
Capital One Multi-Asset Execution Trust, Ser 2005-A7, Cl A7
4.700%, 06/15/15		850		869
Capital One Multi-Asset Execution Trust, Ser 2007-A8, Cl A8
0.647%, 10/15/15 (B)		546		547
Citibank Omni Master Trust, Ser 2009-A12, Cl A12
3.350%, 08/15/16 (A)		1,670		1,693
Citibank Omni Master Trust, Ser 2009-A8, Cl A8
2.343%, 05/16/16 (A) (B)		1,600		1,608
Discover Card Master Trust, Ser 2009-A1, Cl A1
1.543%, 12/15/14 (B)		875		879
Discover Card Master Trust, Ser 2009-A2, Cl A
1.543%, 02/17/15 (B)		1,175		1,183
Discover Card Master Trust, Ser 2011-A1, Cl A1
0.593%, 08/15/16 (B)		845		848
Discover Card Master Trust, Ser 2011-A2, Cl A2
0.453%, 11/16/15 (B)		535		536
GE Capital Credit Card Master Note Trust, Ser 2009-1, Cl A
2.343%, 04/15/15 (B)		1,120		1,125
GE Capital Credit Card Master Note Trust, Ser 2011-1, Cl A
0.793%, 01/15/17 (B)		619		624
				10,545
Miscellaneous Business Services — 6.4%
ACAS Business Loan Trust, Ser 2007-1A, Cl C
1.140%, 08/16/19 (A) (B)		298		193
Babson CLO Ltd., Ser 2007-1A, Cl A1
0.630%, 01/18/21 (A) (B)		473		436
Capital Source Commercial Loan Trust, Ser 2006-1A, Cl C
0.795%, 08/22/16 (A) (B)		56		56
CNH Equipment Trust, Ser 2009-B, Cl A3
5.170%, 10/15/14		413		422
CNH Equipment Trust, Ser 2010-C, Cl A3
1.170%, 05/15/15		521		523

SEI Daily Income Trust / Annual Report / January 31, 2012 39

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
CNH Equipment Trust, Ser 2011-A, Cl A2
0.620%, 06/16/14	$	307	$	307
CNH Equipment Trust, Ser 2011-C, Cl A2
0.900%, 04/15/15		1,350		1,353
CNH Wholesale Master Note Trust, Ser 2011-1A, Cl A
1.043%, 12/15/15 (A) (B)		647		648
Colts Trust, Ser 2006-2A, Cl A
0.631%, 12/20/18 (A) (B)		30		30
Countrywide Asset-Backed Certificates, Ser 2006-2, Cl 2A2
0.435%, 06/25/36 (B)		112		92
Dominos Pizza Master Issuer LLC, Ser 2007-1, Cl A2
5.261%, 04/25/37 (A)		1,250		1,253
GE Equipment Midticket LLC, Ser 2010-1, Cl A3
0.940%, 07/14/14 (A)		513		513
GE Equipment Midticket LLC, Ser 2010-1, Cl A4
1.470%, 07/14/15 (A)		650		655
GE Equipment Small Ticket LLC, Ser 2011-1A, Cl A2
0.880%, 08/21/13 (A)		566		567
GE Equipment Transportation LLC, Ser 2011-1, Cl A4
1.330%, 05/20/19		480		483
John Deere Owner Trust, Ser 2009-B, Cl A3
1.570%, 10/15/13		197		197
John Deere Owner Trust, Ser 2009-B, Cl A4
2.330%, 05/16/16		610		614
John Deere Owner Trust, Ser 2011-A, Cl A2
0.640%, 06/16/14		354		354
Katonah CLO, Ser 2005-7A, Cl B
0.706%, 11/15/17 (A) (B) (C)		504		391
Lambda Finance, Ser 2005-1A, Cl B3
0.656%, 11/15/29 (A) (B)		353		340
Madison Park Funding CLO, Ser 2007- 4A, Cl A1B
0.655%, 03/22/21 (A) (B)		420		350
Morgan Stanley ABS Capital I, Ser 2006-WMC1, Cl A2B
0.445%, 12/25/35 (B)		72		69
Navistar Financial Dealer Note Master Trust, Ser 2009-1, Cl A
1.695%, 10/26/15 (A) (B)		1,700		1,709
Prima Capital CDO, Ser 2006-CR1A, Cl A1
5.417%, 12/28/48 (A)		119		116
Sierra Receivables Funding LLC, Ser 2007-2A, Cl A2
1.231%, 09/20/19 (A) (B)		109		106

Description	Face Amount ($ Thousands)		Value ($ Thousands)
SLM Student Loan Trust, Ser 2005-8, Cl A2
0.508%, 07/25/22 (B)	$	547	$	545
SLM Student Loan Trust, Ser 2006-4, Cl A4
0.498%, 04/25/23 (B)		354		353
SLM Student Loan Trust, Ser 2007-2, Cl A2
0.418%, 07/25/17 (B)		349		346
SLM Student Loan Trust, Ser 2008-5, Cl A2
1.518%, 10/25/16 (B)		578		582
SLM Student Loan Trust, Ser 2011-1, Cl A1
0.765%, 03/25/26 (B)		1,840		1,836
SLM Student Loan Trust, Ser 2011-A, Cl A1
1.243%, 10/15/24 (A) (B)		210		208
SLM Student Loan Trust, Ser 2011-B, Cl A1
1.093%, 12/16/24 (A) (B)		649		642
				16,289
Mortgage Related — 0.1%
Option One Mortgage Loan Trust, Ser 2003-3, Cl A2
0.845%, 06/25/33 (B)		38		30
Option One Mortgage Loan Trust, Ser 2005-5, Cl A3
0.455%, 12/25/35 (B)		223		178
Option One Mortgage Loan Trust, Ser 2007-FXD1, Cl 3A3
5.611%, 01/25/37 (B)		128		61
				269
Total Asset-Backed Securities (Cost $88,405) ($ Thousands)				87,901
MORTGAGE-BACKED SECURITIES — 21.4%
Agency Mortgage-Backed Obligations — 12.5%
FHLMC
2.293%, 02/01/22 (B)		269		283
2.277%, 02/01/30 (B)		195		205
FHLMC REMIC, Ser 1993-1599, Cl C
6.100%, 10/15/23		33		35
FHLMC REMIC, Ser 2003-2630, Cl HA
3.000%, 01/15/17		—		—
FHLMC REMIC, Ser 2004-2791, Cl UD
5.000%, 05/15/18		180		183
FHLMC TBA
4.000%, 02/15/41		7,300		7,697
FNMA
6.000%, 01/01/27		278		306

40 SEI Daily Income Trust / Annual Report / January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
5.000%, 04/01/21 to 03/01/25	$	4,726	$	5,111
2.466%, 11/01/23 (B)		82		84
2.465%, 01/01/29 (B)		25		26
2.360%, 11/01/25 (B)		25		27
2.144%, 09/01/24 (B)		146		153
2.109%, 05/01/28 (B)		160		167
2.063%, 09/01/24 (B)		58		60
1.347%, 11/01/21 (B)		37		37
FNMA REMIC, Ser 1993-58, Cl H
5.500%, 04/25/23		44		48
FNMA REMIC, Ser 1993-220, Cl FA
0.850%, 11/25/13 (B)		10		10
FNMA REMIC, Ser 2001-33, Cl FA
0.695%, 07/25/31 (B)		52		53
FNMA REMIC, Ser 2002-64, Cl FG
0.493%, 10/18/32 (B)		36		36
FNMA REMIC, Ser 2004-21, Cl QD
4.500%, 02/25/29		311		315
FNMA TBA
4.500%, 02/18/19		2,700		2,886
4.000%, 02/01/25		900		954
3.000%, 02/01/26		8,500		8,860
NCUA Guaranteed Notes, Ser 2010-R1, Cl 1A
0.691%, 10/07/20 (B)		1,086		1,087
NCUA Guaranteed Notes, Ser 2010-R1, Cl 2A
1.840%, 10/07/20		76		77
NCUA Guaranteed Notes, Ser 2010-R2, Cl 1A
0.791%, 11/06/17 (B)		270		270
NCUA Guaranteed Notes, Ser 2011-R1, Cl 1A
0.691%, 01/08/20 (B)		225		225
NCUA Guaranteed Notes, Ser 2011-R2, Cl 1A
0.624%, 02/06/20 (B)		358		358
NCUA Guaranteed Notes, Ser 2011-R3, Cl 1A
0.643%, 03/11/20 (B)		1,091		1,091
NCUA Guaranteed Notes, Ser 2011-R4, Cl 1A
0.604%, 03/06/20 (B)		438		438
NCUA Guaranteed Notes, Ser 2011-R6, Cl 1A
0.604%, 05/07/20(B)		732		731
				31,813
Non-Agency Mortgage-Backed Obligations — 8.9%
American Tower Trust, Ser 2007-1A, Cl AFX
5.420%, 04/15/37 (A)		315		335

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Arkle Master Issuer PLC, Ser 2010-2A, Cl 1A1
2.500%, 05/17/60 (A) (B)	$	691	$	691
Banc of America Large Loan, Ser 2007-BMB1, Cl A1
0.753%, 08/15/29 (A) (B)		105		100
Banc of America Mortgage Securities, Ser 2005-A, Cl 2A2
2.873%, 02/25/35 (B)		338		292
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2
2.861%, 07/25/35 (B)		569		445
Banc of America Mortgage Securities, Ser 2005-H, Cl 2A1
2.764%, 09/25/35 (B)		180		142
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1
3.097%, 11/25/35 (B)		68		52
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-3, Cl 2A1
2.709%, 06/25/35 (B)		217		156
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-12, Cl 11A1
2.917%, 02/25/36 (B)		157		108
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-6, Cl 3A1
2.681%, 08/25/35 (B)		351		217
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW18, Cl A2
5.613%, 06/11/50		334		346
Bear Stearns Commercial Mortgage Securities, Ser 2007-T26, Cl A2
5.330%, 01/12/45		83		82
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A
2.800%, 09/25/34 (B)		106		100
Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1
2.840%, 03/25/36 (B)		294		192
Commercial Mortgage Acceptance, Ser 1998-C2, Cl F
5.440%, 09/15/30 (A) (B)		252		262
Commercial Mortgage Pass-Through Certificates, Ser 2006-FL12, Cl A2
0.343%, 12/15/20 (A) (B)		317		308
Commercial Mortgage Pass-Through Certificates, Ser 2011-STRT, Cl A
2.555%, 12/10/24 (A)		675		677
Countrywide Alternative Loan Trust, Ser 2007-HY5R, Cl 2A1A
5.544%, 03/25/47 (B)		220		207
Countrywide Home Loans, Ser 2004-29, Cl 1A1
0.785%, 02/25/35 (B)		39		30

SEI Daily Income Trust / Annual Report / January 31, 2012 41

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Continued)

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Countrywide Home Loans, Ser 2005-7, Cl 1A1
0.515%, 03/25/35 (B)	$	63	$	48
Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A
2.786%, 02/20/36 (B)		292		170
GMAC Commercial Mortgage Securities, Ser 2004-C3, Cl A4
4.547%, 12/10/41		69		69
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1
3.330%, 11/19/35 (B)		307		202
GS Mortgage Securities II, Ser 2007-EOP, Cl A1
1.142%, 03/06/20 (A) (B)		591		590
GS Mortgage Securities II, Ser 2007-EOP, Cl A3
1.535%, 03/06/20 (A) (B)		734		734
GS Mortgage Securities II, Ser 2007-GG10, Cl A2
5.778%, 08/10/45 (B)		662		672
GS Mortgage Securities II, Ser 2011-GC3, Cl A1
2.331%, 03/10/44 (A)		854		877
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1
2.783%, 07/25/35 (B)		402		279
GSR Mortgage Loan Trust, Ser 2006-AR1, Cl 2A1
2.795%, 01/25/36 (B)		497		355
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1
5.429%, 05/25/47 (B)		390		237
Impac CMB Trust, Ser 2004-9, Cl 1A1
1.005%, 01/25/35 (B)		98		71
Impac CMB Trust, Ser 2005-2, Cl 1A1
0.765%, 04/25/35 (B)		110		88
Impac CMB Trust, Ser 2005-3, Cl A1
0.725%, 08/25/35 (B)		101		63
Impac CMB Trust, Ser 2005-5, Cl A1
0.565%, 08/25/35 (B)		82		50
Impac CMB Trust, Ser 2005-8, Cl 1A
0.505%, 02/25/36 (B)		265		177
JPMorgan Chase Commercial Mortgage Securities, Ser 2005-LDP4, Cl A3A2
4.903%, 10/15/42		1,200		1,210
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C3, Cl A1
1.875%, 02/15/46 (A)		878		885
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C4, Cl A1
1.525%, 07/15/46 (A)		508		509
JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1
2.727%, 08/25/35 (B)		228		161

Description	Face Amount ($ Thousands)		Value ($ Thousands)
JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1
4.671%, 05/25/37 (B)	$	316	$	208
LB-UBS Commercial Mortgage Trust, Ser 2002-C1, Cl A4
6.462%, 03/15/31		19		19
LB-UBS Commercial Mortgage Trust, Ser 2002-C4, Cl A5
4.853%, 09/15/31		603		611
Merill Lynch Mortgage Trust, Ser 2004-BPC1, Cl A5
4.855%, 10/12/41 (B)		629		678
Merrill Lynch Mortgage Investors, Ser 2005-A2, Cl A2
2.621%, 02/25/35 (B)		608		524
Merrill Lynch Mortgage Investors, Ser 2005-A3, Cl A1
0.515%, 04/25/35 (B)		118		86
Merrill Lynch Mortgage-Backed Securities Trust, Ser 2007-3, Cl 2A1
5.072%, 06/25/37 (B)		433		275
MLCC Mortgage Investors, Ser 2004-G, Cl A1
0.805%, 01/25/30 (B)		31		26
MLCC Mortgage Investors, Ser 2005-A, Cl A1
0.475%, 03/25/30 (B)		46		41
Morgan Stanley Capital I, Ser 2004-T13, Cl A4
4.660%, 09/13/45		923		972
Morgan Stanley Capital I, Ser 2006-HQ9, Cl A2
5.618%, 07/12/44		95		95
Morgan Stanley Dean Witter Capital I, Ser 2001-TOP3, Cl A4
6.390%, 07/15/33		28		28
Morgan Stanley Dean Witter Capital I, Ser 2002-IQ2, Cl A4
5.740%, 12/15/35		75		75
MortgageIT Trust, Ser 2005-2, Cl 1A1
0.505%, 05/25/35 (B)		84		66
MortgageIT Trust, Ser 2005-3, Cl A1
0.545%, 08/25/35 (B)		296		222
MortgageIT Trust, Ser 2005-4, Cl A1
0.525%, 10/25/35 (B)		386		260
MortgageIT Trust, Ser 2005-5, Cl A1
0.505%, 12/25/35 (B)		364		232
Nomura Asset Securities, Ser 1998-D6, Cl A1C
6.690%, 03/15/30		204		208
Paragon Mortgages PLC, Ser 2006-12A, Cl A2C
0.506%, 11/15/38 (A) (B)		130		101

42 SEI Daily Income Trust / Annual Report / January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
Paragon Mortgages PLC, Ser 2007-15A, Cl A2C
0.457%, 12/15/39 (A) (B)	$	311	$	228
Permanent Master Issuer PLC, Ser 2010-1A, Cl 1A
1.553%, 07/15/42 (A) (B)		403		402
Residential Funding Mortgage Securities I, Ser 2005-SA5, Cl 2A
3.241%, 11/25/35 (B)		202		130
Residential Funding Mortgage Securities I, Ser 2007-SA3, Cl 2A1
5.685%, 07/27/37 (B)		333		216
Sequoia Mortgage Trust, Ser 2004-12, Cl A1
0.515%, 01/20/35 (B)		43		34
Sequoia Mortgage Trust, Ser 2005-1, Cl A1
0.475%, 02/20/35 (B)		43		35
TIAA Seasoned Commercial Mortgage Trust, Ser 2007-C4, Cl A2
5.666%, 08/15/39 (B)		381		386
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
2.542%, 03/25/36 (B)		414		294
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
2.729%, 01/25/35 (B)		234		199
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR1, Cl 2A1
2.735%, 02/25/35 (B)		196		163
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR4, Cl 2A2
2.741%, 04/25/35 (B)		163		144
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 3A2
2.709%, 03/25/35 (B)		320		289
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR16, Cl 6A3
2.722%, 10/25/35 (B)		506		447
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR5, Cl 2A1
2.738%, 04/25/36 (B)		288		206
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR6, Cl 2A1
2.795%, 03/25/36 (B)		354		282
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, Cl 2A1
2.734%, 07/25/36 (B)		360		228
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR12, Cl 1A1
2.806%, 09/25/36 (B)		282		194
WF-RBS Commercial Mortgage Trust, Ser 2011-C2, Cl A1
2.558%, 02/15/44 (A)		1,482		1,516

Description	Face Amount ($ Thousands)		Value ($ Thousands)
WF-RBS Commercial Mortgage Trust, Ser 2011-C3, Cl A1
1.988%, 03/15/44 (A)	$	569	$	577
				22,886
Total Mortgage-Backed Securities (Cost $57,580) ($ Thousands)				54,699
U.S. GOVERNMENT AGENCY OBLIGATIONS — 12.6%
FFCB
1.875%, 12/07/12		1,849		1,875
FHLB
0.400%, 06/19/13		2,500		2,502
0.350%, 06/07/13		1,250		1,251
FHLMC
4.500%, 01/15/13		2,000		2,083
1.625%, 04/15/13		1,888		1,919
1.000%, 08/20/14		4,000		4,046
0.625%, 12/28/12		3,000		3,012
0.515%, 11/26/12		500		501
0.375%, 11/30/12		4,795		4,806
FHLMC MTN
1.375%, 01/09/13		4,000		4,045
FNMA
0.375%, 12/28/12		4,000		4,009
1.000%, 12/27/12		2,000		2,015
Total U.S. Government Agency Obligations (Cost $31,989) ($ Thousands)				32,064
MUNICIPAL BONDS — 1.8%
California — 0.2%
University of California, Build America Bonds, RB
1.988%, 05/15/50 (B)		375		381
Louisiana — 0.2%
Louisiana State, Local Government Environmental Facilites and Community Development Authority, Ser 2010-ELL, RB
1.110%, 02/01/16		584		585
Michigan — 0.3%
Kalamazoo Hospital Finance Authority, Ser B, RB
3.125%, 05/15/41 (B)		750		753
New Jersey — 0.6%
New Jersey State, Economic Development Authority, Build America Bonds, RB
1.347%, 06/15/13 (B)		420		420
New Jersey State, Turnpike Authority, Ser B, RB
4.252%, 01/01/16		1,085		1,132
				1,552

SEI Daily Income Trust / Annual Report / January 31, 2012 43

SCHEDULE OF INVESTMENTS

Ultra Short Duration Bond Fund (Concluded)

January 31, 2012

Description	Face Amount ($ Thousands)		Value ($ Thousands)
New York — 0.2%
City of New York, Ser J, GO
4.300%, 06/01/13	$	550	$	575
Virginia — 0.3%
Louisiana State, Industrial Development Authority, Ser A, RB
2.500%, 03/01/31 (B)		630		637
West Virginia — 0.1%
West Virginia, Economic Development Authority, Ser A, RB
2.000%, 01/01/41 (B)		175		176
Total Municipal Bonds (Cost $4,636) ($ Thousands)				4,659
CERTIFICATES OF DEPOSIT — 0.9%
Bank of Nova Scotia
0.564%, 11/26/12 (B)		776		777
Canadian Imperial Bank of Commerce
0.633%, 05/04/12		839		839
Intesa Sanpaolo
2.375%, 12/21/12		629		611
Total Certificates of Deposit (Cost $2,244) ($ Thousands)				2,227
Total Investments — 108.0% (Cost $278,838) ($ Thousands)			$	275,300

The open futures contracts held by the Fund at January 31, 2012, is as follows (see Note 2 in Notes to Financial Statements):

Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 10-Year Treasury Note		(55	)		Mar-2012	$	(144	)
U.S. 2-Year Treasury Note		9			Mar-2012		3
						$	(141	)

For the year ended January 31, 2012, the total amount of all open future contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on Net Assets of $255,002 ($ Thousands).

(A) Securities sold within terms of a private placement memorandum, exempt from registration under Section 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other “accredited investors.” These securities have been determined to be liquid under guidelines established by the Board of Trustees.

(B) Floating Rate Instrument. The rate reflected on the Schedule of Investments is the rate in effect on January 31, 2012. The date reported is the final maturity date.

(C) Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of January 31, 2012 was $391 (Thousands) and represented 0.2% of Net Assets.

ABS — Asset-Based Security

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

FFCB — Federal Farm Credit Bank

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GO — General Obligation

LLC — Limited Liability Company

Ltd. — Limited

MTN — Medium Term Note

NCUA — National Credit union Administration

PLC — Public Limited Company

RB — Revenue Bond

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

The following is a summary of the inputs used as of January 31, 2012 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	93,750	$	—	$	93,750
Asset-Backed Securities		—		87,510		391		87,901
Mortgage-Backed Securities		—		54,699		—		54,699
U.S. Government Agency
Obligations		—		32,064		—		32,064
Municipal Bonds		—		4,659		—		4,659
Certificates of Deposit		—		2,227		—		2,227
Total Investments in Securities	$	—	$	274,909	$	391	$	275,300

Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*	$	(141	)	$	—	$	—	$	(141	)

* Futures Contracts are valued at the unrealized appreciation/(depreciation).

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

	Asset-Backed Securities
Beginning balance as of February 1, 2011	$	1,325
Change in unrealized appreciation/(depreciation)		194
Accrued discounts/premiums		—
Amortization sold		—
Realized gain/(loss)		(153	)
Net purchases/sales		(975	)
Ending balance as of January 31, 2012	$	391
Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	194

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

44 SEI Daily Income Trust / Annual Report / January 31, 2012

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Statements of Assets and Liabilities ($ Thousands)

For the year ended January 31, 2012

	Money Market Fund			Government Fund			Government II Fund			Prime Obligation Fund
ASSETS:
Investments, at value†	$	209,229		$	615,322		$	1,578,290		$	2,762,959
Repurchase agreements†		67,082			600,205			—			1,564,562
Cash		1			1			—			—
Receivable for investment securities sold		—			—			—			—
Interest receivable		84			1,176			1,366			608
Receivable for fund shares sold		—			—			—			—
Receivable from Administrator		—			—			—			—
Foreign tax reclaim receivable		—			—			—			—
Receivable for variation margin		—			—			—			—
Prepaid expenses		12			39			51			135
Total Assets		276,408			1,216,743			1,579,707			4,328,264
LIABILITIES:
Payable for investment securities purchased		1,012			6,070			99,636			11,864
Administration fees payable		35			65			25			522
Shareholder servicing fees payable		19			6			—			7
Investment advisory fees payable		10			37			43			134
Income distribution payable		6			10			10			118
Trustees’ fees payable		—			1			1			3
Chief Compliance Officer fees payable		—			2			2			6
Payable for fund shares redeemed		—			—			—			—
Payable for variation margin		—			—			—			—
Accrued expense payable		20			67			83			280
Total Liabilities		1,102			6,258			99,800			12,934
Net Assets	$	275,306		$	1,210,485		$	1,479,907		$	4,315,330
† Cost of investments and repurchase agreements	$	276,311		$	1,215,527		$	1,578,290		$	4,327,521
NET ASSETS:
Paid-in Capital — (unlimited authorization — no par value)	$	275,301		$	1,210,570		$	1,479,889		$	4,315,396
Undistributed (Distributions in excess of) net investment income		—			—			—			—
Accumulated net realized gain (loss) on investments		5			(85	)		18			(66	)
Net unrealized appreciation (depreciation) on investments		—			—			—			—
Net unrealized appreciation (depreciation) on futures contracts		—			—			—			—
Net Assets	$	275,306		$	1,210,485		$	1,479,907		$	4,315,330
Net Asset Value, Offering and Redemption Price Per Share — Class A		$1.00			$1.00			$1.00			$1.00
		(146,459,840 ÷ 146,490,388 shares	)		(1,054,551,064 ÷ 1,054,607,994 shares	)		(1,308,017,742 ÷ 1,308,069,442 shares	)		(4,107,484,714 ÷ 4,107,545,841 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class B		$1.00			$1.00			$1.00			$1.00
		(73,035,407 ÷ 73,042,943 shares	)		(120,664,477 ÷ 120,694,466 shares	)		(166,480,614 ÷ 166,511,055 shares	)		(135,977,996 ÷ 135,982,123 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class C		$1.00			$1.00			$1.00			$1.00
		(33,109,819 ÷ 33,122,409 shares	)		(8,036,263 ÷ 8,037,844 shares	)		(5,408,475 ÷ 5,407,631 shares	)		(42,051,461 ÷ 42,051,985 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class H		N/A			N/A			N/A			$1.00
											(25,646,363 ÷ 25,647,785 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Sweep Class		$1.00			$1.00			N/A			$1.00
		(22,701,144 ÷ 22,673,097 shares	)		(27,233,584 ÷ 27,235,761 shares	)					(4,169,961 ÷ 4,169,517 shares	)

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

46 SEI Daily Income Trust / Annual Report / January 31, 2012

Treasury Fund			Treasury II Fund			Short-Duration Government Fund			Intermediate- Duration Government Fund			GNMA Fund			Ultra Short Duration Bond Fund
	$170,555			$899,876			$689,178			$  68,296			$243,347			$275,300
	289,809			—			258,200			29,100			153,600			—
	1			1			1,567			92			398			2,446
	—			—			113,622			1,417			97,121			5
	579			1,550			3,547			174			445			682
	—			—			885			158			309			201
	—			45			—			—			14			—
	—			—			—			—			—			3
	—			—			30			34			24			—
	17			18			24			3			8			6
	460,961			901,490			1,067,053			99,274			495,266			278,643
	3,035			28,022			326,556			27,716			250,057			23,290
	5			—			225			24			55			58
	4			—			26			—			62			—
	19			43			51			6			19			15
	3			5			93			9			29			43
	—			1			—			—			—			—
	1			1			1			—			—			—
	—			—			851			54			1,986			200
	—			—			56			—			—			14
	29			43			68			7			42			21
	3,096			28,115			327,927			27,816			252,250			23,641
	$457,865			$873,375			$739,126			$  71,458			$243,016			$255,002
	$460,364			$899,876			$931,990			$  95,682			$387,679			$278,838
	$457,893			$873,365			$724,261			$  71,353			$230,962			$282,656
	—			—			10			1			(9	)		13
	(28	)		10			(275	)		(2,004	)		2,717			(23,988	)
	—			—			15,388			1,714			9,268			(3,538	)
	—			—			(258	)		394			78			(141	)
	$457,865			$873,375			$739,126			$  71,458			$243,016			$255,002
	$1.00			$1.00			$10.72			$11.91			$10.91			$9.26
	(199,519,837 ÷ 199,558,952 shares	)		(472,351,787 ÷ 472,504,032 shares	)		(739,125,548 ÷ 68,934,370 shares	)		(71,458,242 ÷ 5,997,812 shares	)		(243,016,044 ÷ 22,272,695 shares	)		(255,002,137 ÷ 27,531,459 shares	)
	$1.00			$1.00			N/A			N/A			N/A			N/A
	(114,025,619 ÷ 114,050,674 shares	)		(395,099,309 ÷ 395,082,596 shares	)
	$1.00			$1.00			N/A			N/A			N/A			N/A
	(6,983,834 ÷ 6,983,896 shares	)		(5,924,397 ÷ 5,926,966 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
	(137,336,198 ÷ 137,344,428 shares	)

SEI Daily Income Trust / Annual Report / January 31, 2012 47

Statements of Operations ($ Thousands)

For the year ended January 31, 2012

	Money Market Fund			Government Fund			Government II Fund			Prime Obligation Fund
Investment Income:
Interest Income	$	837		$	1,571		$	1,485		$	9,460
Expenses:
Administration Fees		1,158			2,701			2,738			7,707
Shareholder Servicing Fees — Class A Shares		566			1,697			3,197			9,579
Shareholder Servicing Fees — Sweep Class Shares		68			63			—			13
Distribution Fees — Sweep Class Shares		136			125			—			26
Administrative and Shareholder Servicing Fees — Class B Shares		153			1,159			462			419
Administrative and Shareholder Servicing Fees — Class C Shares		231			170			40			257
Administrative and Shareholder Servicing Fees — Class H Shares		—			—			—			109
Investment Advisory Fees		246			788			1,009			2,839
Trustees’ Fees		5			17			22			60
Chief Compliance Officer Fees		2			6			7			21
Registration Fees		20			66			77			206
Custodian/Wire Agent Fees		37			120			155			442
Pricing Fees		2			4			6			15
Other Expenses		30			108			131			405
Total Expenses		2,654			7,024			7,844			22,098
Less, Waiver/Reimbursement of:
Investment Advisory Fees		(123	)		(394	)		(504	)		(1,419	)
Administration Fees		(750	)		(2,350	)		(2,303	)		(2,351	)
Reimbursement from Administrator		—			—			—			—
Shareholder Servicing Fees — Class A Shares		(566	)		(1,697	)		(3,197	)		(9,579	)
Administrative & Shareholder Servicing Fees — Class B Shares		(129	)		(1,159	)		(462	)		(374	)
Administrative & Shareholder Servicing Fees — Class C Shares		(207	)		(170	)		(40	)		(241	)
Administrative & Shareholder Servicing Fees — Class H Shares		—			—			—			(102	)
Shareholder Servicing & Distribution Fees — Sweep Class Shares		(190	)		(188	)		—			(38	)
Net Expenses		689			1,066			1,338			7,994
Net Investment Income		148			505			147			1,466
Net Realized and Unrealized Gain (Loss) on/from:
Investments		5			4			25			36
Futures Contracts		—			—			—			—
Net Change in Unrealized Appreciation (Depreciation) on/from:
Investments		—			—			—			—
Futures Contracts		—			—			—			—
Net Increase in Net Assets Resulting from Operations	$	153		$	509		$	172		$	1,502

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

48 SEI Daily Income Trust / Annual Report / January 31, 2012

Treasury Fund			Treasury II Fund			Short-Duration Government Fund			Intermediate- Duration Government Fund			GNMA Fund			Ultra Short Duration Bond Fund
$	463		$	330		$	9,267		$	1,388		$	2,036		$	3,789
	1,219			1,407			2,469			243			767			910
	479			910			1,738			174			599			649
	351			—			—			—			—			—
	701			—			—			—			—			—
	489			645			—			—			—			—
	66			35			—			—			—			—
	—			—			—			—			—			—
	356			410			608			60			210			258
	7			8			11			2			4			5
	2			3			3			—			1			1
	28			27			39			7			15			20
	53			60			76			8			26			29
	2			2			122			16			43			48
	45			56			60			4			20			22
	3,798			3,563			5,126			514			1,685			1,942
	(178	)		(208	)		(49	)		—			—			(88	)
	(1,123	)		(1,407	)		—			(2	)		(171	)		(214	)
	—			(84	)		—			—			—			—
	(479	)		(910	)		(1,738	)		(143	)		—			(649	)
	(489	)		(645	)		—			—			—			—
	(66	)		(35	)		—			—			—			—
	—			—			—			—			—			—
	(1,051	)		—			—			—			—			—
	412			274			3,339			369			1,514			991
	51			56			5,928			1,019			522			2,798
	20			11			13,212			319			15,058			(2,333	)
	—			—			(7,279	)		647			623			(787	)
	—			—			7,694			945			1,522			2,594
	—			—			(3,136	)		508			75			(463	)
$	71		$	67		$	16,419		$	3,438		$	17,800		$	1,809

SEI Daily Income Trust / Annual Report / January 31, 2012 49

Statements of Changes in Net Assets ($ Thousands)

For the years ended January 31,

	Money Market Fund						Government Fund
	2012			2011			2012			2011
Operations:
Net Investment Income	$	148		$	359		$	505		$	645
Net Realized Gain on Investments		5			2			4			2
Net Increase in Net Assets Resulting from Operations		153			361			509			647
Dividends and Distributions to Shareholders:
Net Investment Income
Class A		(134	)		(344	)		(302	)		(427	)
Class B		(5	)		(4	)		(175	)		(176	)
Class C		(5	)		(7	)		(17	)		(31	)
Class H		—			—			—			—
Sweep Class		(3	)		(3	)		(11	)		(11	)
Net Capital Gain
Class A		—			(6	)		—			—
Class B		—			(1	)		—			—
Class C		—			(1	)		—			—
Sweep Class		—			(1	)		—			—
Total Dividends and Distributions		(147	)		(367	)		(505	)		(645	)
Capital Share Transactions (All at $1.00 per share)
Class A:
Proceeds from Shares Issued		1,640,331			1,734,955			5,212,895			5,567,117
Reinvestment of Dividends & Distributions		92			245			108			259
Cost of Shares Redeemed		(1,708,746	)		(1,748,792	)		(4,791,600	)		(5,759,559	)
Net Increase (Decrease) from Class A Transactions		(68,323	)		(13,592	)		421,403			(192,183	)
Class B:
Proceeds from Shares Issued		312,140			294,948			1,657,852			1,548,689
Reinvestment of Dividends & Distributions		2			1			148			151
Cost of Shares Redeemed		(278,460	)		(306,739	)		(1,871,535	)		(1,642,343	)
Net Increase (Decrease) from Class B Transactions		33,682			(11,790	)		(213,535	)		(93,503	)
Class C:
Proceeds from Shares Issued		252,507			396,468			331,272			590,208
Reinvestment of Dividends & Distributions		—			1			—			—
Cost of Shares Redeemed		(272,274	)		(417,638	)		(378,665	)		(594,367	)
Net Increase (Decrease) from Class C Transactions		(19,767	)		(21,169	)		(47,393	)		(4,159	)
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
Net Increase (Decrease) from Class H Transactions		N/A			N/A			N/A			N/A
Sweep Class:
Proceeds from Shares Issued		275,038			339,716			281,300			266,781
Reinvestment of Dividends & Distributions		—			—			8			6
Cost of Shares Redeemed		(278,940	)		(341,558	)		(279,235	)		(271,646	)
Net Increase (Decrease) from Sweep Class Transactions		(3,902	)		(1,842	)		2,073			(4,859	)
Net Increase (Decrease) in Net Assets from Capital Shares Transactions		(58,310	)		(48,393	)		162,548			(294,704	)
Net Increase (Decrease) in Net Assets		(58,304	)		(48,399	)		162,552			(294,702	)
Net Assets:
Beginning of Year		333,610			382,009			1,047,933			1,342,635
End of Year	$	275,306		$	333,610		$	1,210,485		$	1,047,933
Undistributed (Distributions in Excess of) Net Investment Income	$	—		$	(1	)	$	—		$	—

Amounts designated as “—” are zero or have been rounded to zero.

The accompanying notes are an integral part of the financial statements.

50 SEI Daily Income Trust / Annual Report / January 31, 2012

Government II Fund						Prime Obligation Fund						Treasury Fund						Treasury II Fund
2012			2011			2012			2011			2012			2011			2012			2011
$	147		$	132		$	1,466		$	4,070		$	51		$	65		$	56		$	51
	25			5			36			15			20			1			11			5
	172			137			1,502			4,085			71			66			67			56
	(130	)		(117	)		(1,444	)		(4,037	)		(18	)		(30	)		(34	)		(34	)
	(16	)		(15	)		(14	)		(20	)		(17	)		(19	)		(21	)		(16	)
	(1	)		—			(5	)		(9	)		(2	)		(2	)		(1	)		(1	)
	—			—			(2	)		(3	)		—			—			—			—
	—			—			(1	)		(1	)		(14	)		(14	)		—			—
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—
	(147	)		(132	)		(1,466	)		(4,070	)		(51	)		(65	)		(56	)		(51	)
	3,976,972			4,095,746			23,221,923			20,017,875			17,103,687			16,949,017			1,431,958			1,332,020
	14			15			328			1,261			8			16			14			16
	(3,902,559	)		(4,142,548	)		(22,258,952	)		(20,034,360	)		(17,079,921	)		(17,068,980	)		(1,247,451	)		(1,480,492	)
	74,427			(46,787	)		963,299			(15,224	)		23,774			(119,947	)		184,521			(148,456	)
	1,058,494			939,511			1,022,254			1,022,342			1,051,080			1,262,822			841,043			514,619
	9			9			6			8			9			8			5			4
	(1,011,890	)		(966,616	)		(1,021,603	)		(1,069,482	)		(1,115,844	)		(1,268,188	)		(623,989	)		(501,854	)
	46,613			(27,096	)		657			(47,132	)		(64,755	)		(5,358	)		217,059			12,769
	88,863			27,205			359,071			655,743			112,983			183,546			54,715			75,202
	—			—			1			1			—			—			—			—
	(92,914	)		(22,998	)		(373,058	)		(694,391	)		(116,962	)		(199,021	)		(54,974	)		(77,638	)
	(4,051	)		4,207			(13,986	)		(38,647	)		(3,979	)		(15,475	)		(259	)		(2,436	)
	N/A			N/A			43,261			47,551			N/A			N/A			N/A			N/A
	N/A			N/A			3			3			N/A			N/A			N/A			N/A
	N/A			N/A			(42,023	)		(54,905	)		N/A			N/A			N/A			N/A
	N/A			N/A			1,241			(7,351	)		N/A			N/A			N/A			N/A
	N/A			N/A			41,089			116,698			433,766			396,053			N/A			N/A
	N/A			N/A			—			1			—			—			N/A			N/A
	N/A			N/A			(41,630	)		(143,835	)		(425,941	)		(404,977	)		N/A			N/A
	N/A			N/A			(541	)		(27,136	)		7,825			(8,924	)		N/A			N/A
	116,989			(69,676	)		950,670			(135,490	)		(37,135	)		(149,704	)		401,321			(138,123	)
	117,014			(69,671	)		950,706			(135,475	)		(37,115	)		(149,703	)		401,332			(138,118	)
	1,362,893			1,432,564			3,364,624			3,500,099			494,980			644,683			472,043			610,161
$	1,479,907		$	1,362,893		$	4,315,330		$	3,364,624		$	457,865		$	494,980		$	873,375		$	472,043
$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—

SEI Daily Income Trust / Annual Report / January 31, 2012 51

Statements of Changes in Net Assets ($ Thousands)

For the years ended January 31,

	Short-Duration Government Fund
	2012			2011
Operations:
Net Investment Income	$	5,928		$	5,939
Net Realized Gain (Loss) on Investments and Futures Contracts		5,933			3,701
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures Contracts		4,558			6,328
Net Increase in Net Assets Resulting from Operations		16,419			15,968
Dividends and Distributions to Shareholders:
Net Investment Income		(8,015	)		(9,316	)
Net Capital Gains		(993	)		(4,787	)
Total Dividends and Distributions		(9,008	)		(14,103	)
Capital Share Transactions:
Class A:
Proceeds from Shares Issued		528,070			995,520
Reinvestment of Dividends & Distributions		7,755			12,578
Cost of Shares Redeemed		(671,423	)		(519,738	)
Net Increase (Decrease) from Class A Transactions		(135,598	)		488,360
Net Increase (Decrease) in Net Assets		(128,187	)		490,225
Net Assets:
Beginning of Year		867,313			377,088
End of Year	$	739,126		$	867,313
Undistributed (Distributions in Excess of) Net Investment Income	$	10		$	16
Capital Share Transactions:
Class A:
Shares Issued		49,442			93,798
Reinvestment of Distributions		726			1,184
Shares Redeemed		(63,098	)		(48,951	)
Net Increase (Decrease) in Shares Outstanding from Share Transactions		(12,930	)		46,031

Amounts designated as “—” are zero or have been rounded to zero.

The accompanying notes are an integral part of the financial statements.

52 SEI Daily Income Trust / Annual Report / January 31, 2012

Intermediate-Duration Government Fund						GNMA Fund						Ultra Short Duration Bond Fund
2012			2011			2012			2011			2012			2011
$	1,019		$	1,589		$	522		$	3,603		$	2,798		$	4,998
	966			1,690			15,681			9,292			(3,120	)		(11,033	)
	1,453			(847	)		1,597			879			2,131			15,789
	3,438			2,432			17,800			13,774			1,809			9,754
	(1,242	)		(2,015	)		(2,741	)		(3,899	)		(3,373	)		(6,166	)
	(1	)		(4,687	)		(8,838	)		(5,289	)		—			—
	(1,243	)		(6,702	)		(11,579	)		(9,188	)		(3,373	)		(6,166	)
	92,282			234,078			157,770			295,258			219,836			361,528
	1,098			6,262			9,102			7,361			2,936			5,248
	(212,061	)		(111,103	)		(264,492	)		(171,704	)		(431,818	)		(161,990	)
	(118,681	)		129,237			(97,620	)		130,915			(209,046	)		204,786
	(116,486	)		124,967			(91,399	)		135,501			(210,610	)		208,374
	187,944			62,977			334,415			198,914			465,612			257,238
$	71,458		$	187,944		$	243,016		$	334,415		$	255,002		$	465,612
$	1		$	2		$	(9	)	$	130		$	13		$	5
	7,879			20,154			14,347			27,752			23,655			38,917
	95			547			837			695			316			564
	(18,583	)		(9,696	)		(24,507	)		(16,198	)		(46,331	)		(17,431	)
	(10,609	)		11,005			(9,323	)		12,249			(22,360	)		22,050

SEI Daily Income Trust / Annual Report / January 31, 2012 53

Financial Highlights

For the years ended January 31,

For a Share Outstanding Throughout the Years

	Net Asset Value, Beginning of Year		Net Investment Income*		Net Realized and Unrealized Gains (Losses)  on Securities			Payment by Affiliate*		Total from Operations*		Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends			Net Asset Value, End of Year		Total Return†			Net Assets End of Year ($ Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets
Money Market Fund
Class A
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.06	%	$	146,460		0.18	%		0.68	%		0.06	%
2011		1.00		—		—			—		—		—	(1)		—	(1)		—	(1)		1.00		0.14			214,779		0.18			0.68			0.14
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.31			228,375		0.24	(2)		0.70			0.35
2009		1.00		0.02		(0.01	)		0.01		0.02		(0.02	)		—			(0.02	)		1.00		2.45	††		341,204		0.20	(2)		0.64			2.46
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		5.23			401,174		0.18			0.63			5.13
Class B
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.01	%	$	73,035		0.23	%(3)		0.73	%		0.01	%
2011		1.00		—		—			—		—		—	(1)		—	(1)		—	(1)		1.00		0.01			39,352		0.30			0.80			0.01
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.15			51,142		0.44	(2)(3)		0.76			0.19
2009		1.00		0.02		(0.01	)		0.01		0.02		(0.02	)		—			(0.02	)		1.00		2.15	††		120,925		0.50	(2)		0.70			2.19
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.92			166,627		0.48			0.68			4.82
Class C
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.01	%	$	33,110		0.23	%(3)		0.93	%		0.01	%
2011		1.00		—		—			—		—		—	(1)		—	(1)		—	(1)		1.00		0.01			52,876		0.30			0.80			0.01
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.08			74,047		0.49	(2)(3)		0.95			0.10
2009		1.00		0.02		(0.01	)		0.01		0.02		(0.02	)		—			(0.02	)		1.00		1.94	††		158,833		0.70	(2)		0.89			2.00
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.71			259,640		0.68			0.88			4.61
Sweep Class
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.01	%	$	22,701		0.23	%(3)		1.18	%		0.01	%
2011		1.00		—		—			—		—		—	(1)		—	(1)		—	(1)		1.00		0.01			26,603		0.31			0.81			0.01
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.07			28,445		0.52	(2)(3)		1.20			0.08
2009		1.00		0.02		(0.01	)		0.01		0.02		(0.02	)		—			(0.02	)		1.00		1.69	††		68,179		0.95	(2)		1.14			1.79
2008		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.45			133,223		0.93			1.13			4.35
Government Fund
Class A
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.05	%	$	1,054,551		0.10	%(3)		0.59	%		0.05	%
2011		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.05			633,160		0.17	(3)		0.59			0.05
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.14			825,341		0.20	(2)		0.57			0.16
2009		1.00		0.02		—			—		0.02		(0.02	)		—			(0.02	)		1.00		2.15			1,526,541		0.22	(2)		0.54			2.06
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.98			1,031,612		0.20			0.53			4.79
Class B
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.05	%	$	120,664		0.09	%(3)		0.64	%		0.05	%
2011		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.05			334,209		0.16	(3)		0.64			0.05
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.07			427,711		0.28	(2)(3)		0.62			0.07
2009		1.00		0.02		—			—		0.02		(0.02	)		—			(0.02	)		1.00		1.84			623,905		0.52	(2)		0.60			1.62
2008		1.00		0.05		—			—		0.05		(0.05	)		—			(0.05	)		1.00		4.67			197,593		0.50			0.58			4.53
Class C
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.05	%	$	8,036		0.10	%(3)		0.84	%		0.05	%
2011		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.05			55,406		0.17	(3)		0.84			0.05
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.06			59,565		0.31	(2)(3)		0.82			0.07
2009		1.00		0.02		—			—		0.02		(0.02	)		—			(0.02	)		1.00		1.64			153,015		0.71	(2)(3)		0.79			1.65
2008		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.46			154,244		0.70			0.78			4.35
Sweep Class
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—		$	—	(1)	$	1.00		0.05	%	$	27,234		0.09	%(3)		1.09	%		0.05	%
2011		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.05			25,158		0.16	(3)		1.09			0.05
2010		1.00		—		—			—		—		—	(1)		—			—	(1)		1.00		0.06			30,018		0.30	(2)(3)		1.07			0.07
2009		1.00		0.01		—			—		0.01		(0.01	)		—			(0.01	)		1.00		1.39			45,154		0.96	(2)(3)		1.04			1.34
2008		1.00		0.04		—			—		0.04		(0.04	)		—			(0.04	)		1.00		4.20			28,233		0.95			1.03			4.06

Amounts designated as “—” are zero or have been rounded to zero.

(1) Amount represents less than $0.01 per share.

(2) The expense ratio includes the Treasury Guarantee Program expense. The Fund participated in the Temporary Guarantee Program for Money Market Funds from September 18, 2008 through September 18, 2009. 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.

(3) The Distributor and/or Administrator have 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.

* Per share calculations were performed using average shares.

† 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.

54 SEI Daily Income Trust / Annual Report / January 31, 2012

	Net Asset Value, Beginning of Year		Net Investment Income*		Net Realized and Unrealized Gains (Losses)  on Securities			Payment by Affiliate*		Total from Operations*		Dividends from Net Investment Income			Total Dividends			Net Asset Value, End of Year		Total Return†			Net Assets End of Year ($ Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets
Government II Fund
Class A
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	1,308,018		0.09	%(3)		0.54	%		0.01	%
2011		1.00		—		—			—		—		—	(1)		—	(1)		1.00		0.01			1,233,569		0.16	(3)		0.54			0.01
2010		1.00		—		—			—		—		—	(1)		—	(1)		1.00		0.11			1,280,352		0.19	(2)		0.52			0.12
2009		1.00		0.02		—			—		0.02		(0.02	)		(0.02	)		1.00		2.10			2,050,235		0.21	(2)		0.50			1.99
2008		1.00		0.05		—			—		0.05		(0.05	)		(0.05	)		1.00		4.97			1,354,361		0.20			0.48			4.81
Class B
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	166,481		0.09	%(3)		0.59	%		0.01	%
2011		1.00		—		—			—		—		—	(1)		—	(1)		1.00		0.01			119,864		0.16	(3)		0.59			0.01
2010		1.00		—		—			—		—		—	(1)		—	(1)		1.00		0.06			146,960		0.25	(2)		0.56			0.06
2009		1.00		0.02		—			—		0.02		(0.02	)		(0.02	)		1.00		1.79			242,332		0.51	(2)		0.54			1.80
2008		1.00		0.05		—			—		0.05		(0.05	)		(0.05	)		1.00		4.66			150,900		0.50			0.53			4.53
Class C
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	5,408		0.10	%(3)		0.79	%		0.01	%
2011		1.00		—		—			—		—		—	(1)		—	(1)		1.00		0.01			9,460		0.16	(3)		0.79			0.01
2010		1.00		—		—			—		—		—	(1)		—	(1)		1.00		0.06			5,252		0.28	(2)(3)		0.77			0.06
2009		1.00		0.02		—			—		0.02		(0.02	)		(0.02	)		1.00		1.60			31,462		0.70	(2)(3)		0.74			1.63
2008		1.00		0.04		—			—		0.04		(0.04	)		(0.04	)		1.00		4.45			43,538		0.70			0.73			4.05
Prime Obligation Fund
Class A
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.04	%	$	4,107,485		0.20	%		0.54	%		0.04	%
2011		1.00		—		—			—		—		—	(1)		—	(1)		1.00		0.11			3,144,153		0.20			0.54			0.12
2010		1.00		—		(0.04	)		0.04		—		—	(1)		—	(1)		1.00		0.20	††		3,158,830		0.23	(2)		0.53			0.26
2009		1.00		0.02		—			—		0.02		(0.02	)		(0.02	)		1.00		2.37			3,796,102		0.22	(2)		0.50			2.42
2008		1.00		0.05		—			—		0.05		(0.05	)		(0.05	)		1.00		5.21			3,740,714		0.20			0.48			5.10
Class B
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	135,978		0.23	%(3)		0.59	%		0.01	%
2011		1.00		—		—			—		—		—	(1)		—	(1)		1.00		0.01			135,319		0.31	(3)		0.59			0.01
2010		1.00		—		(0.04	)		0.04		—		—	(1)		—	(1)		1.00		0.07	††		182,593		0.38	(2)(3)		0.58			0.15
2009		1.00		0.02		—			—		0.02		(0.02	)		(0.02	)		1.00		2.06			346,741		0.51	(2)		0.55			2.17
2008		1.00		0.05		—			—		0.05		(0.05	)		(0.05	)		1.00		4.90			475,700		0.50			0.53			4.82
Class C
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	42,051		0.23	%(3)		0.79	%		0.01	%
2011		1.00		—		—			—		—		—	(1)		—	(1)		1.00		0.01			56,037		0.30	(3)		0.79			0.01
2010		1.00		—		(0.04	)		0.04		—		—	(1)		—	(1)		1.00		0.06	††		95,092		0.39	(2)(3)		0.78			0.14
2009		1.00		0.02		—			—		0.02		(0.02	)		(0.02	)		1.00		1.86			467,782		0.71	(2)		0.75			2.04
2008		1.00		0.05		—			—		0.05		(0.05	)		(0.05	)		1.00		4.69			641,977		0.70			0.73			4.60
Class H
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	25,646		0.23	%(3)		0.72	%		0.01	%
2011		1.00		—		—			—		—		—	(1)		—	(1)		1.00		0.01			24,405		0.30	(3)		0.72			0.01
2010		1.00		—		(0.04	)		0.04		—		—	(1)		—	(1)		1.00		0.02	††		31,797		0.43	(2)(3)		0.71			0.09
2009		1.00		0.02		—			—		0.02		(0.02	)		(0.02	)		1.00		1.93			58,276		0.64	(2)		0.67			2.11
2008		1.00		0.05		—			—		0.05		(0.05	)		(0.05	)		1.00		4.76			80,958		0.63			0.66			4.65
Sweep Class
2012	$	1.00	$	—	$	—		$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	4,170		0.23	%(3)		1.04	%		0.01	%
2011		1.00		—		—			—		—		—	(1)		—	(1)		1.00		0.01			4,710		0.30	(3)		1.04			0.01
2010		1.00		—		(0.04	)		0.04		—		—	(1)		—	(1)		1.00		0.06	††		31,787		0.39	(2)(3)		1.03			0.14
2009		1.00		0.02		—			—		0.02		(0.02	)		(0.02	)		1.00		1.62			57,135		0.95	(2)(3)		1.00			1.54
2008		1.00		0.04		—			—		0.04		(0.04	)		(0.04	)		1.00		4.43			56,378		0.95			0.98			4.34

Amounts designated as “—” are zero or have been rounded to zero.

(1) Amount represents less than $0.01 per share.

(2) The expense ratio includes the Treasury Guarantee Program expense. The Fund participated in the Temporary Guarantee Program for Money Market Funds from September 18, 2008 through September 18, 2009. 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.

(3) The Distributor and/or Administrator have 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.

* Per share calculations were performed using average shares.

† 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 (3.28)%, (3.41)%, (3.42)%, (3.45)% and (3.42)% for Class A, Class B, Class C, Class H and Sweep Class, respectively. See Note 3 in Notes to Financial Statements.

SEI Daily Income Trust / Annual Report / January 31, 2012 55

Financial Highlights

For the years ended January 31,

For a Share Outstanding Throughout the Years

	Net Asset Value, Beginning of Year		Net Investment Income*		Net Realized and Unrealized Gains (Losses) on Securities		Payment by Affiliate*		Total from Operations*		Dividends from Net Investment Income			Total Dividends			Net Asset Value, End of Year		Total Return†			Net Assets End of Year ($ Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets
Treasury Fund
Class A
2012	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	199,520		0.08	%(3)		0.59	%		0.01	%
2011		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.02			175,749		0.18	(3)		0.59			0.02
2010		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.07			295,695		0.17	(2)		0.56			0.07
2009		1.00		0.01		—		—		0.01		(0.01	)		(0.01	)		1.00		1.27			572,906		0.19	(2)		0.55			1.18
2008		1.00		0.05		—		—		0.05		(0.05	)		(0.05	)		1.00		4.64			610,451		0.20			0.53			4.36
Class B
2012	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	114,026		0.08	%(3)		0.64	%		0.01	%
2011		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.01			178,769		0.19	(3)		0.64			0.01
2010		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.06			184,127		0.20	(2)(3)		0.61			0.06
2009		1.00		0.01		—		—		0.01		(0.01	)		(0.01	)		1.00		1.06			487,254		0.40	(2)(3)		0.59			1.12
2008		1.00		0.04		—		—		0.04		(0.04	)		(0.04	)		1.00		4.33			761,497		0.50			0.58			4.07
Class C
2012	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	6,984		0.08	%(3)		0.84	%		0.01	%
2011		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.01			10,948		0.18	(3)		0.84			0.01
2010		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.06			26,423		0.20	(2)(3)		0.81			0.06
2009		1.00		0.01		—		—		0.01		(0.01	)		(0.01	)		1.00		0.93			72,803		0.53	(2)(3)		0.80			0.98
2008		1.00		0.04		—		—		0.04		(0.04	)		(0.04	)		1.00		4.12			144,919		0.70			0.78			4.00
Sweep Class
2012	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	137,336		0.08	%(3)		1.09	%		0.01	%
2011		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.01			129,514		0.19	(3)		1.09			0.01
2010		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.06			138,438		0.18	(2)(3)		1.06			0.06
2009		1.00		0.01		—		—		0.01		(0.01	)		(0.01	)		1.00		0.77			206,719		0.61	(2)(3)		1.05			0.67
2008		1.00		0.04		—		—		0.04		(0.04	)		(0.04	)		1.00		3.86			111,853		0.95			1.03			3.74
Treasury II Fund
Class A
2012	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	472,352		0.05	%(3)		0.59	%		0.01	%
2011		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.01			287,823		0.12	(3)		0.59			0.01
2010		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.04			436,276		0.12	(2)		0.55			0.04
2009		1.00		0.01		—		—		0.01		(0.01	)		(0.01	)		1.00		1.05			688,813		0.20	(2)		0.54			0.87
2008		1.00		0.04		—		—		0.04		(0.04	)		(0.04	)		1.00		4.11			516,164		0.21			0.53			3.72
Class B
2012	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	395,099		0.05	%(3)		0.64	%		0.01	%
2011		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.01			178,037		0.12	(3)		0.64			0.01
2010		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.04			165,266		0.12	(2)(3)		0.60			0.04
2009		1.00		0.01		—		—		0.01		(0.01	)		(0.01	)		1.00		0.82			363,238		0.39	(2)(3)		0.59			0.58
2008		1.00		0.04		—		—		0.04		(0.04	)		(0.04	)		1.00		3.81			109,384		0.51			0.58			3.54
Class C
2012	$	1.00	$	—	$	—	$	—	$	—	$	—	(1)	$	—	(1)	$	1.00		0.01	%	$	5,924		0.05	%(3)		0.84	%		0.01	%
2011		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.01			6,183		0.12	(3)		0.84			0.01
2010		1.00		—		—		—		—		—	(1)		—	(1)		1.00		0.04			8,619		0.12	(2)(3)		0.80			0.04
2009		1.00		0.01		—		—		0.01		(0.01	)		(0.01	)		1.00		0.69			13,364		0.47	(2)(3)		0.79			0.50
2008		1.00		0.04		—		—		0.04		(0.04	)		(0.04	)		1.00		3.59			7,254		0.72			0.79			3.71

Amounts designated as “—” are zero or have been rounded to zero.

(1) Amount represents less than $0.01 per share.

(2) The expense ratio includes the Treasury Guarantee Program expense. The Fund participated in the Temporary Guarantee Program for Money Market Funds from September 18, 2008 through September 18, 2009. 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.

(3) The Distributor and/or Administrator have 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.

* Per share calculations were performed using average shares.

† 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.

56 SEI Daily Income Trust / Annual Report / January 31, 2012

	Net Asset Value, Beginning of Year		Net Investment Income*		Net Realized and Unrealized Gains (Losses)  on Securities			Total from Operations*			Dividends from Net Investment Income			Distributions from Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Year		Total Return†			Net Assets End of Year ($ Thousands)		Ratio of Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Waivers)			Ratio of Net Investment Income to Average Net Assets			Portfolio Turnover Rate
Short-Duration Government Fund
Class A
2012	$	10.59	$	0.09	$	0.17		$	0.26		$	(0.12	)	$	(0.01	)	$	(0.13	)	$	10.72		2.53	%	$	739,126		0.48	%		0.74	%		0.85	%		712	%
2011		10.52		0.09		0.18			0.27			(0.14	)		(0.06	)		(0.20	)		10.59		2.59			867,313		0.48			0.72			0.84			521
2010		10.25		0.21		0.29			0.50			(0.23	)		—			(0.23	)		10.52		4.94			377,088		0.48			0.75			2.02			347
2009		10.21		0.36		0.04			0.40			(0.36	)		—			(0.36	)		10.25		4.05			288,064		0.48			0.74			3.53			693
2008		9.95		0.46		0.28			0.74			(0.48	)		—			(0.48	)		10.21		7.65			172,892		0.45			0.76			4.63			266
Intermediate-Duration Government Fund
Class A
2012	$	11.32	$	0.17	$	0.64		$	0.81		$	(0.22	)	$	—	(1)	$	(0.22	)	$	11.91		7.22	%	$	71,458		0.53	%		0.74	%		1.47	%		726	%
2011		11.24		0.13		0.39			0.52			(0.19	)		(0.25	)		(0.44	)		11.32		4.62			187,944		0.53			0.72			1.14			590
2010		11.20		0.32		0.41			0.73			(0.32	)		(0.37	)		(0.69	)		11.24		6.61			62,977		0.53			0.76			2.82			213
2009		10.76		0.38		0.44			0.82			(0.38	)		—			(0.38	)		11.20		7.85			92,025		0.53			0.74			3.48			641
2008		10.13		0.45		0.63			1.08			(0.45	)		—			(0.45	)		10.76		10.97			50,372		0.50			0.75			4.34			234
GNMA Fund
Class A
2012	$	10.58	$	0.02	$	0.83		$	0.85		$	(0.13	)	$	(0.39	)	$	(0.52	)	$	10.91		8.09	%	$	243,016		0.63	%		0.70	%		0.22	%1,515%
2011		10.28		0.13		0.49			0.62			(0.16	)		(0.16	)		(0.32	)		10.58		6.06			334,415		0.63			0.70			1.27			1,024
2010		9.84		0.32		0.47			0.79			(0.35	)		—			(0.35	)		10.28		8.18			198,914		0.63			0.72			3.16			533
2009		9.63		0.40		0.21			0.61			(0.40	)		—			(0.40	)		9.84		6.51			160,639		0.63			0.71			4.08			474
2008		9.34		0.45		0.30			0.75			(0.46	)		—			(0.46	)		9.63		8.31			114,824		0.60			0.72			4.82			271
Ultra Short Duration Bond Fund
Class A
2012	$	9.33	$	0.10	$	(0.05	)	$	0.05		$	(0.12	)	$	—		$	(0.12	)	$	9.26		0.55	%	$	255,002		0.38	%		0.74	%		1.08	%		177	%
2011		9.24		0.13		0.12			0.25			(0.16	)		—			(0.16	)		9.33		2.74			465,612		0.38			0.74			1.37			78
2010		8.51		0.24		0.73			0.97			(0.24	)		—			(0.24	)		9.24		11.58			257,238		0.38			0.75			2.72			73
2009		9.69		0.32		(1.18	)		(0.86	)		(0.32	)		—			(0.32	)		8.51		(9.00	)		207,081		0.38			0.75			3.50			99
2008		9.97		0.48		(0.28	)		0.20			(0.48	)		—			(0.48	)		9.69		2.06			409,363		0.35			1.28			4.87			54

Amounts designated as “—” are zero or have been rounded to zero.

* Per share calculations were performed using average shares.

† 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) Amounts represents less than $0.01 per share.

SEI Daily Income Trust / Annual Report / January 31, 2012 57

Notes to Financial Statements

January 31, 2012

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 Duration Bond (each a “Fund,” collectively the “Fixed Income Funds”). The Money Market Funds, 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 Duration 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 and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation — Investment securities of the Money Market Funds are stated at amortized cost, which approximates market value. Under this valuation method, purchase discounts and premiums are accreted and amortized ratably to maturity and are included in interest income.

Investment securities of the Fixed Income Funds listed on a securities exchange, market or automated quotation system for which quotations are readily available are valued at the last quoted sale price on the primary exchange or market on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. If available, debt securities are priced based upon valuations provided by independent third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most

securities held in the Funds are provided daily by recognized independent pricing agents. If a security price cannot be obtained from an independent third-party pricing agent, the Funds seek to obtain a bid price from at least one independent broker.

Securities for which market prices are not “readily available” are valued in accordance with Fair Value Procedures established by the Trust’s Board of Trustees. The Trust’s Fair Value Procedures are implemented through a Fair Value Committee (the “Committee”) designated by the Funds’ Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. As of January 31, 2012, there were no fair valued securities in the Funds.

In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that a 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. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of 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 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 based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 1 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;

Level 2 — Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

Level 3 — Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).

Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified

58 SEI Daily Income Trust / Annual Report / January 31, 2012

within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.

For the fiscal year ended January 31, 2012, there have been no significant changes to the Trust’s fair valuation methodologies.

Security Transactions and Investment Income — Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting. Income from payment-in-kind securities is recorded daily based on the effective interest method of accrual.

Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.

For the Fixed Income Funds, amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.

For the Money Market Funds, all amortization is calculated using the straight line method over the holding period of the security. Amortization of premiums and accretion of discounts are included in interest income.

Repurchase Agreements — Securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank until the repurchase date of the repurchase agreement. 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 the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. 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 the Funds may be delayed or limited.

Futures Contracts — The Fixed Income Funds utilized futures contracts during the fiscal year ended January 31, 2012. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. The Funds may use futures contracts for tactical hedging purposes as well as to enhance the Funds’ returns. 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 gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction.

Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities.

Swap Agreements — A Fund’s investments in swap contracts is mainly used as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. 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. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty 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 recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. 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 swap. 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 or some other form of indices on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the

SEI Daily Income Trust / Annual Report / January 31, 2012 59

Notes to Financial Statements (Continued)

January 31, 2012

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. Interest rate swap contracts outstanding at period end, if any, are listed after a Fund’s portfolio. 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, to protect a Fund’s value from changes in interest rates, or to 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 an unrealized gain or loss 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 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.

This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. There were no outstanding swap agreements as of January 31, 2012.

Options Written/Purchased — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options contracts to add return or to hedge their existing portfolio securities. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from purchasing or writing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as

intended due to unanticipated developments in market conditions or other causes. Finally, the risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities.

TBA Purchase Commitments — A Fixed Income 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 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 its 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 its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

60 SEI Daily Income Trust / Annual Report / January 31, 2012

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 — Throughout the year, the Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings that could not be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption there from. In addition, the Funds had 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 those investments. These investments were valued at amortized cost as determined in accordance with the procedures approved by the Board of Trustees. At January 31, 2012, the Funds did not own any restricted securities.

Classes — Class-specific expenses are borne by that class of shares. Income, expenses, and realized and unrealized gains/losses and nonclass 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 Funds are prorated to the Funds on the basis of relative net assets.

Dividends and Distributions to Shareholders — Dividends from net investment income are declared daily and paid monthly. Any net realized capital gains on sales of securities after capital loss carryover are distributed at least annually by the Funds.

Redemption Fees — The Fixed Income Funds retained a redemption fee based on a dollar threshold for redemptions, or a series of redemptions, of capital shares held for less than thirty days, as presented below:

	Dollar Threshold ($ Thousands)		Redemption Fee
Short-Duration Government Fund	$	25,000		0.25	%
Intermediate-Duration Government Fund		10,000		0.25
GNMA Fund		10,000		0.25
Ultra Short Duration Bond Fund		10,000		0.50

For the year ended January 31, 2012, the Fixed Income Funds did not retain any redemption fees. Such fees, if any, are retained by the Fixed Income Funds for the benefit of the remaining shareholders.

3. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Administration and Transfer Agency 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	0.33	%
Government Fund	0.24
Government II Fund	0.19
Prime Obligation Fund	0.19
Treasury Fund	0.24
Treasury II Fund	0.24
Short-Duration Government Fund	0.35
Intermediate-Duration Government Fund	0.35
GNMA Fund	0.32
Ultra Short Duration Bond Fund	0.35

However, the Administrator and SEI Investments Management Corporation (the “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 Market Fund			Government Fund			Government II Fund			Prime Obligation Fund			Treasury Fund
Class A		0.18	%(1)		0.20	%(3)		0.20	%(2)		0.20	%(2)		0.20	%(2)
Class B		0.48	(1)		0.50	(3)		0.50	(2)		0.50	(2)		0.50	(2)
Class C		0.68	(1)		0.70	(3)		0.70	(2)		0.70	(2)		0.70	(2)
Class H		N/A			N/A			N/A			0.63	(1)		N/A
Sweep Class		0.93	(1)		0.95	(1)		*			0.95	(1)		0.95	(1)

Treasury II Fund

Short- Duration Government Fund

Intermediate- Duration Government Fund

GNMA Fund

Ultra Short Duration Bond Fund

Class A

0.20

%(2)

0.48

%(4)

0.53

%(4)

0.63

%(4)

0.38

%(4)

Class B

0.50

(2)

N/A

N/A

N/A

N/A

Class C

0.70

(2)

N/A

N/A

N/A

N/A

Class H

N/A

N/A

N/A

N/A

N/A

Sweep Class

*

N/A

N/A

N/A

N/A

* Class not currently operational.

(1) Represents a voluntary cap that my be discontinued at any time.

(2) Represents a contractual cap effective through January 31, 2012, 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 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 Duration Bond Funds were .45%, .50%, .60% and .35%, respectively.

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 a Distribution Agreement. The Trust also has adopted plans under which firms, including the Distributor, that provide shareholder and

SEI Daily Income Trust / Annual Report / January 31, 2012 61

Notes to Financial Statements (Continued)

January 31, 2012

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 Servicing Fees			Administrative Service Fees			Distribution Fees*
Money Market Fund
Class A		.25	%		—			—
Class B		.25			.05	%		—
Class C		.25			.25			—
Sweep Class		.25			—			.50	%
Government Fund
Class A		.25			—			—
Class B		.25			.05			—
Class C		.25			.25			—
Sweep Class		.25			—			.50
Government II Fund
Class A		.25			—			—
Class B		.25			.05			—
Class C		.25			.25			—
Prime Obligation Fund
Class A		.25			—			—
Class B		.25			.05			—
Class C		.25			.25			—
Class H		.25			.18			—
Sweep Class		.25			—			.50
Treasury Fund
Class A		.25			—			—
Class B		.25			.05			—
Class C		.25			.25			—
Sweep Class		.25			—			.50
Treasury II Fund
Class A		.25			—			—
Class B		.25			.05			—
Class C		.25			.25			—
Short-Duration Government Fund
Class A		.25			—			—
Intermediate-Duration Government Fund
Class A		.25			—			—
GNMA Fund
Class A		.25			—			—
Ultra Short Duration 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 Statements 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, 2012 ($ Thousands):

	Administrative & Shareholder Servicing Fee Waiver		Administrative Fee Waiver
Money Market Fund
Class A	$	—	$	2,408
Class B		129		503
Class C		207		532
Sweep Class		190		272
Government Fund
Class A		—		714
Class B		1,159		412
Class C		171		35
Sweep Class		188		27
Government II Fund
Class A		—		1,367
Class B		461		168
Class C		40		8
Prime Obligation Fund
Class A		—		178
Class B		374		6
Class C		241		2
Class H		102		1
Sweep Class		38		—
Treasury Fund
Class A		—		230
Class B		489		193
Class C		66		15
Sweep Class		1,051		166
Treasury II Fund
Class A		—		560
Class B		645		328
Class C		35		10

Other — Certain officers and Trustees of the Trust are also officers and/or Trustees of the Administrator, Adviser, or the distributor. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim, and committee meetings. The Administrator, Adviser, or the Distributor pays compensation of Officers and affiliated Trustees.

A portion of 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 oversidght of the Trust’s Adviser, Sub-Advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board of Trustees.

Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“The Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in The Program is voluntary for both borrowing and lending funds.

62 SEI Daily Income Trust / Annual Report / January 31, 2012

Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula approved annually by the SEI Funds Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate. For the year ended January 31, 2012, the Trust has not participated in The Program.

4. INVESTMENT ADVISORY AND CUSTODIAN AGREEMENTS

The Adviser serves as each Fund’s investment adviser and “manager of managers” under an investment advisory agreement approved by the shareholders of each Fund. Effective January 1, 2010, for its services, the Adviser receives an annual fee equal to 0.07% of each of the Money Market Funds’ net assets. Prior to January 1, 2010, for its services, the Adviser received 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 was calculated based on the combined assets of the Money Market Funds. The Adviser also received 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 was calculated based on the combined assets of these Funds. The Adviser also received 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 Duration Bond Fund. The fee was calculated based on the net assets of the Ultra Short Duration Bond Fund.

Pursuant to the “manager of managers” structure, the Board of Trustees approved BofA Advisors, LLC (formerly Columbia Management Advisors, LLC) as sub-adviser to the Money Market Funds and Wellington Management Company, LLP (“Wellington LLP”) serves as sub-adviser to the Fixed Income Funds. For its services to the Funds, the sub-advisers are entitled to receive a fee paid directly by the Adviser.

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 short-term investments, for the year ended January 31, 2012, were as follows for the Fixed Income Funds:

	Short- Duration Government Fund ($ Thousands)		Intermediate- Duration Government Fund ($ Thousands)		GMNA Fund ($ Thousands)		Ultra Short Duration Bond Fund ($ Thousands)
Purchases
U.S. Government	$	4,862,207	$	511,547	$	3,491,536	$	276,325
Other		9,514		393		—		105,436
Sales
U.S. Government		5,034,677		631,267		3,593,504		298,591
Other		15,038		589		140		211,366

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. Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage and asset-backed securities for tax purposes, distribution reclassification, and expiration of capital losses have been reclassified to/from the following accounts as of January 31, 2012:

	Paid-in- Capital ($ Thousands)			Undistributed Net Investment Income ($ Thousands)		Accumulated Net Realized Gain (Loss) ($ Thousands)
Treasury Fund		(44	)		—		44
Short-Duration Government Fund		—			2,081		(2,081	)
Intermediate-Duration Government Fund		—			222		(222	)
GNMA Fund		—			2,080		(2,080	)
Ultra Short Duration Bond Fund		(442	)		583		(141	)

These reclassifications have no impact on net assets or net asset value per share.

SEI Daily Income Trust / Annual Report / January 31, 2012 63

Notes to Financial Statements (Continued)

January 31, 2012

The tax character of dividends and distributions during the last two fiscal years was as follows:

		Ordinary Income ($ Thousands)		Long-term Capital Gain ($ Thousands)		Total ($ Thousands)
Money Market Fund	2012	$	147	$	—	$	147
	2011		367		—		367
Government Fund	2012		505		—		505
	2011		645		—		645
Government II Fund	2012		147		—		147
	2011		132		—		132
Prime Obligation Fund	2012		1,466		—		1,466
	2011		4,070		—		4,070
Treasury Fund	2012		51		—		51
	2011		65		—		65
Treasury II Fund	2012		56		—		56
	2011		51		—		51
Short-Duration Government Fund	2012		8,871		137		9,008
	2011		14,103		—		14,103
Intermediate-Duration Government Fund	2012		1,242		1		1,243
	2011		4,812		1,890		6,702
GNMA Fund	2012		10,127		1,452		11,579
	2011		7,644		1,544		9,188
Ultra Short Duration Bond Fund	2012		3,373		—		3,373
	2011		6,166		—		6,166

As of January 31, 2012, the components of Distributable Earnings/(Accumulated Losses) on a tax basis were as follows:

	Undistributed Ordinary Income ($ Thousands)		Undistributed Long-Term Capital Gain ($ Thousands)		Capital Loss Carryforwards ($ Thousands)			Post-October Losses ($ Thousands)			Other Temporary Differences ($ Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)			Total Earnings/ (Accumulated Losses) ($ Thousands)
Money Market Fund	$	22	$	—	$	—		$	—		$	(17	)	$	—		$	5
Government Fund		21		—		(85	)		—			(21	)		—			(85	)
Government II Fund		30		—		—			—			(12	)		—			18
Prime Obligation Fund		160		—		(67	)		—			(159	)		—			(66	)
Treasury Fund		4		—		(28	)		—			(4	)		—			(28	)
Treasury II Fund		16		—		—			—			(6	)		—			10
Short-Duration Government Fund		2,826		—		—			—			(3,340	)		15,379			14,865
Intermediate-Duration Government Fund		87		—		(1,558	)		—			(123	)		1,699			105
GNMA Fund		3,057		—		—			(61	)		(142	)		9,200			12,054
Ultra Short Duration Bond Fund		265		—		(23,888	)		(240	)		(252	)		(3,539	)		(27,654	)

At January 31, 2012, the following Funds had capital loss carryforwards to offset future realized capital gains:

	Amount ($ Thousands)		Expiration
Government Fund	$	49		1/31/13
		4		1/31/14
		32		1/31/16
Prime Obligation Fund		67		1/31/17
Treasury Fund		1		1/31/13
		22		1/31/14
		5		1/31/15
Ultra Short Duration Bond Fund		1,020		1/31/13
		1,045		1/31/14
		1,717		1/31/15
		296		1/31/16
		181		1/31/17
		3,642		1/31/18
		11,895		1/31/19

64 SEI Daily Income Trust / Annual Report / January 31, 2012

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 fiscal year ended January 31, 2012, the Government Fund, Government Fund II, Prime Obligation Fund, Treasury Fund, and Treasury II Fund utilized, $3,738, $7,454, $35,648, $19,583, and $891, respectively, of capital loss carryforwards to offset capital gains.

Under the recently enacted Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. Losses carried forward under these new provisions are as follows:

	Short-Term Loss		Long-Term Loss		Total*
Intermediate-
Duration Government
Fund	$	1,153	$	405	$	1,558
Ultra Short Duration
Bond Fund		—		4,092		4,092

*This table should be used in conjunction with the capital loss carryforwards table.

During the fiscal year ended January 31, 2012, the Money Market Funds’ cost of securities for Federal income tax purposes approximates the cost located in the Statements of Assets and Liabilities.

For Federal income tax purposes, the cost of securities owned at January 31, 2012, and net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Fixed Income Funds at January 31, 2012, were as follows:

	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation/ (Depreciation) ($  Thousands)
Short-Duration Government Fund	$	931,999	$	15,571	$	(192	)	$	15,379
Intermediate-Duration Government Fund		95,697		1,750		(51	)		1,699
GNMA Fund		387,747		10,121		(921	)		9,200
Ultra Short Duration Bond Fund		278,839		1,105		(4,644	)		(3,539	)

Management has analyzed the Funds’ tax positions taken on the federal tax returns for all open tax years and has concluded that as of January 31, 2012, no provision for income tax is required in the Funds’ financial statements. All uncertain tax positions, except for the accretion of market discount associated with the structured investment vehicles subject to the capital support agreement, meet the more likely than not criteria established in ASC paragraph 740. SEI Investment Company (“SEI”), which is the parent company of the Adviser, has agreed to indemnify the fund if the Internal Revenue Service (“IRS”) were to disagree with a position taken on the tax return for the fiscal year ended January 31, 2010. Accordingly, no provision for taxes is required. The Funds’ federal income and excise tax returns are subject to examination by the IRS for all open tax years under the applicable Statute 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, a Fund may enter into contracts that provide general indemnifications by a Fund to the counterparty to the contract. A Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against a Fund and, therefore, cannot be established; however, based on experience, management believes 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. NEW ACCOUNTING PRONOUNCEMENTS

In April 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-03 “Reconsideration of Effective Control of Repurchase Agreements”. ASU 2011-03 is an amendment to Topic 860 “Transfers and Servicing”. These amendments simplify the accounting for repurchase agreements by eliminating the requirement that the transferor demonstrate it has adequate collateral to fund substantially all the cost of purchasing replacement assets. As a result, more arrangements could be accounted for as secured borrowings rather than sales. The guidance applies to public and nonpublic companies and is effective for interim and annual reporting periods beginning on or after December 15, 2011. The guidance should be applied prospectively to transactions or modifications of existing transactions that occur on or

SEI Daily Income Trust / Annual Report / January 31, 2012 65

Notes to Financial Statements (Concluded)

January 31, 2012

after the effective date. Early adoption is not allowed. At this time, management is evaluating the implications of ASU 2011-03 and its impact on the financial statements.

In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”)”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.

9. SUBSEQUENT EVENTS

The Trust, on behalf of the Funds, has evaluated the need for disclosures and/or adjustments resulting from subsequent events. Based on this evaluation, no adjustments were required to the financial statements.

66 SEI Daily Income Trust / Annual Report / January 31, 2012

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees

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 Duration Bond Fund (collectively the “Funds”), as of January 31, 2012, 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 five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

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, 2012, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Daily Income Trust as of January 31, 2012, and the results of their operations for the year then ended, the changes in their net assets for the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Philadelphia, Pennsylvania

March 28, 2012

SEI Daily Income Trust / Annual Report / January 31, 2012 67

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)

The following chart lists Trustees and Officers as of January 31, 2012.

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.

Name Address, and Age	Position(s) Held with Trusts	Term of Office And Length of Time Served1	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee2	Other Directorships Held by Trustee
INTERESTED TRUSTEES
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 65 yrs. old	Chairman of the Board of Trustees*	since 1982	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	90	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of 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 Structured Credit Fund, L.P.
William M. Doran One Freedom Valley Drive Oaks, PA 19456 71 yrs. old	Trustee*	since 1982	Self-employed consultant since 2003. Partner, Morgan, Lewis & Bockius LLP (law firm) from 1976 to 2003, counsel to the Trust, SEI, SIMC, the Administrator and the Distributor. Secretary of SEI since 1978.	90	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, Director of SEI since 1974. Director of the Distributor since 2003. Director of SEI Investments — Global Fund Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia), SEI Global Nominee Ltd., Limited and SEI Asset Korea Co., Ltd.
TRUSTEES
George J. Sullivan, Jr. One Freedom Valley Drive Oaks, PA 19456 69 yrs. old	Trustee	since 1996	Retired since January 2012. Self- Employed Consultant, Newfound Consultants Inc. since April 1997- December 2011.	90	Trustee of The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, Bishop Street Funds, State Street Navigator Securities Lending Trust, and SEI Structured Credit Fund, L.P., member of the independent review committee for SEI’s Canadian-registered mutual funds.

* Messrs. Nesher and Doran are Trustees who may be deemed as “interested” persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trust’s Distributor.

¹  Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust.

²  The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust and SEI Alpha Strategy Portfolios, L.P.

68 SEI Daily Income Trust / Annual Report / January 31, 2012

Name Address, and Age	Position(s) Held with Trusts	Term of Office And Length of Time Served1	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee2	Other Directorships Held by Trustee
TRUSTEES (continued)
Rosemarie B. Greco One Freedom Valley Drive Oaks, PA 19456 65 yrs. old	Trustee	since 1999	Director, Governor’s Office of Health Care Reform, Commonwealth of Pennsylvania since 2003.	90	Director, Sunoco, Inc.; Director, Excelon Corporation; Trustee, Pennsylvania Real Estate Investment Trust.
Nina Lesavoy One Freedom Valley Drive Oaks, PA 19456 54 yrs. old	Trustee	since 2003	Founder and Managing Director, Avec Capital since 2008. Managing Director, Cue Capital from March 2002-March 2008.	90	Director of SEI Structured Credit Fund, L.P.
James M. Williams One Freedom Valley Drive Oaks, PA 19456 64 yrs. old	Trustee	since 2004	Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002.	90	Trustee/Director of Ariel Mutual Funds, and SEI Strucured Credit Fund, L.P.
Mitchell A. Johnson One Freedom Valley Drive Oaks, PA 19456 70 yrs. old	Trustee	Since 2007	Private Investor since 1994.	90	Trustee of the Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds
Hubert L. Harris, Jr. One Freedom Valley Drive Oaks, PA 19456 68 yrs. old	Trustee	since 2008	Retired since December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., 1997-December 2005. Chief Executive Officer, INVESCO North America, September 2003-December 2005.	90	Director of Colonial BancGroup, Inc. and St. Joseph’s Translational Research Institute; Chair of the Board of Trustees, Georgia Tech Foundation, Inc. (nonprofit corporation); Board of Councilors of the Carter Center.
OFFICERS
Robert A. Nesher One Freedom Valley Drive Oaks, PA 19456 65 yrs. old	President & CEO	since 2005	Currently performs various services on behalf of SEI for which Mr. Nesher is compensated.	N/A	N/A
Peter A. Rodriguez One Freedom Valley Drive Oaks, PA 19456 50 yrs. old	Controller and Chief Financial Officer	since 2011	Director, Fund Accounting, SEI Investments Global Funds Services (March 2011, September 2002 to March 2005 and 1997- 2002); Director, Mutual Fund Trading, SEI Private Trust Company (May 2099 to February 2011); Director, Asset Data Services, Global Wealth Services (June 2006 to April 2009); Director, Portfolio Accounting, SEI Investments Global Fund Services (March 2005 to June 2006)	N/A	N/A

SEI Daily Income Trust / Annual Report / January 31, 2012 69

TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)(Concluded)

Name Address, and Age	Position(s) Held with Trusts	Term of Office And Length of Time Served1	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee2	Other Directorships Held by Trustee
OFFICERS (continued)
Russell Emery One Freedom Valley Drive Oaks, PA 19456 49 yrs. old	Chief Compliance Officer	since 2006	Chief Compliance Officer of SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Institutional Investments Trust, The Advisors’ Inner Circle Fund, The Advisors’ Inner Circle Fund II, and Bishop Street Funds, since March 2006. Chief Compliance Officer of SEI Structured Credit Fund, LP and SEI Alpha Strategy Portfolio, LP since June 2007. Chief Compliance Officer of Adviser Managed Trust since December 2010.	N/A	N/A
Timothy D. Barto One Freedom Valley Drive Oaks, PA 19456 43 yrs. old	Vice President and Secretary	since 2002	General Counsel, Vice President and Secretary of SIMC and the Administrator since 2004. Vice President and Assistant Secretary of SEI since 2001. Vice President of SIMC and the Administrator since 1999.	N/A	N/A
Aaron Buser One Freedom Valley Drive Oaks, PA 19456 41 yrs. old	Vice President and Assistant Secretary	since 2008	Vice President and Assistant Secretary of SIMC since 2007. Associate at Stark & Stark (2004-2007).	N/A	N/A
David F. McCann One Freedom Valley Drive Oaks, PA 19456 36 yrs. old	Vice President and Assistant Secretary	since 2009	Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Reath, LLP (law firm), May 2005-October 2008. Attorney, Pepper Hamilton, LLP (law firm), September 2001-May 2005.	N/A	N/A
John J. McCue One Freedom Valley Drive Oaks, PA 19456 48 yrs. old	Vice President	since 2004	Director of Portfolio Implementation for SIMC since 1995. Managing Director of Money Market Investments for SIMC since 2003.	N/A	N/A
Keri E. Rohn One Freedom Valley Drive Oaks, PA 19456 31 yrs. old	Privacy Officer and Anti-Money Laundering Compliance Officer	since 2009	Compliance Officer of SEI Investments Company since June 2003.	N/A	N/A

¹  Each trustee shall hold office during the lifetime of this Trust until the election and qualification of his or her successor, or until he or she sooner dies, resigns or is removed in accordance with the Trust’s Declaration of Trust.

²  The Fund Complex includes the following Trusts: SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Investments Trust, Adviser Managed Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Liquid Asset Trust, SEI Tax Exempt Trust and SEI Alpha Strategy Portfolios, L.P.

70 SEI Daily Income Trust / Annual Report / January 31, 2012

Disclosure of Fund Expenses (Unaudited)

All mutual funds have operating expenses. As a shareholder of a mutual 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 mutual fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the mutual fund’s average net assets; this percentage is known as the mutual 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 after fee waivers 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 your Fund, to estimate the expenses you paid 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 your 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 mutual 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.

	Beginning Account Value 8/1/11		Ending Account Value 1/31/12		Annualized Expense Ratios			Expenses Paid During Period*
Money Market Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.20		0.18	%	$	0.91
Class B		1,000.00		1,000.10		0.22			1.11
Class C		1,000.00		1,000.10		0.22			1.11
Sweep Class		1,000.00		1,000.10		0.22			1.11
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.30		0.18	%	$	0.92
Class B		1,000.00		1,024.10		0.22			1.12
Class C		1,000.00		1,024.10		0.22			1.12
Sweep Class		1,000.00		1,024.10		0.22			1.12
Government Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.20		0.09	%	$	0.45
Class B		1,000.00		1,000.20		0.08			0.40
Class C		1,000.00		1,000.20		0.08			0.40
Sweep Class		1,000.00		1,000.20		0.08			0.40
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.75		0.09	%	$	0.46
Class B		1,000.00		1,024.80		0.08			0.41
Class C		1,000.00		1,024.80		0.08			0.41
Sweep Class		1,000.00		1,024.80		0.08			0.41

	Beginning Account Value 8/1/11		Ending Account Value 1/31/12		Annualized Expense Ratios			Expenses Paid During Period*
Government II Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.10		0.07	%	$	0.35
Class B		1,000.00		1,000.10		0.07			0.35
Class C		1,000.00		1,000.10		0.07			0.35
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.85		0.07	%	$	0.36
Class B		1,000.00		1,024.85		0.07			0.36
Class C		1,000.00		1,024.85		0.07			0.36
Prime Obligation Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.10		0.19	%	$	0.96
Class B		1,000.00		1,000.10		0.20			1.01
Class C		1,000.00		1,000.10		0.20			1.01
Class H		1,000.00		1,000.10		0.20			1.01
Sweep Class		1,000.00		1,000.10		0.20			1.01
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.25		0.19	%	$	0.97
Class B		1,000.00		1,024.20		0.20			1.02
Class C		1,000.00		1,024.20		0.20			1.02
Class H		1,000.00		1,024.20		0.20			1.02
Sweep Class		1,000.00		1,024.20		0.20			1.02

SEI Daily Income Trust / Annual Report / January 31, 2012 71

Disclosure of Fund Expenses (Unaudited)(Concluded)

	Beginning Account Value 8/1/11		Ending Account Value 1/31/12		Annualized Expense Ratios			Expenses Paid During Period*
Treasury Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.00		0.06	%	$	0.30
Class B		1,000.00		1,000.10		0.06			0.30
Class C		1,000.00		1,000.10		0.06			0.30
Sweep Class		1,000.00		1,000.10		0.06			0.30
Hypothetical 5% Return
Class A	$	1,000.00	$	1,024.90		0.06	%	$	0.31
Class B		1,000.00		1,024.90		0.06			0.31
Class C		1,000.00		1,024.90		0.06			0.31
Sweep Class		1,000.00		1,024.90		0.06			0.31
Treasury II Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.00		0.03	%	$	0.15
Class B		1,000.00		1,000.10		0.03			0.15
Class C		1,000.00		1,000.10		0.03			0.15
Hypothetical 5% Return
Class A	$	1,000.00	$	1,025.05		0.03	%	$	0.15
Class B		1,000.00		1,025.05		0.03			0.15
Class C		1,000.00		1,025.05		0.03			0.15

	Beginning Account Value 8/1/11		Ending Account Value 1/31/12		Annualized Expense Ratios			Expenses Paid During Period*
Short-Duration Government Fund
Actual Fund Return
Class A	$	1,000.00	$	1,009.90		0.48	%	$	2.43
Hypothetical 5% Return
Class A	$	1,000.00	$	1,022.79		0.48	%	$	2.45
Intermediate-Duration Government Fund
Actual Fund Return
Class A	$	1,000.00	$	1,029.80		0.53	%	$	2.71
Hypothetical 5% Return
Class A	$	1,000.00	$	1,022.53		0.53	%	$	2.70
GNMA Fund
Actual Fund Return
Class A	$	1,000.00	$	1,029.70		0.63	%	$	3.22
Hypothetical 5% Return
Class A	$	1,000.00	$	1,022.03		0.63	%	$	3.21
Ultra Short Duration Bond Fund
Actual Fund Return
Class A	$	1,000.00	$	1,000.00		0.38	%	$	1.92
Hypothetical 5% Return
Class A	$	1,000.00	$	1,023.29		0.38	%	$	1.94

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365.

72 SEI Daily Income Trust / Annual Report / January 31, 2012

Notice to Shareholders (Unaudited)

For shareholders that do not have a January 31, 2012, taxable year end, this notice is for information purposes only. For shareholders with a January 31, 2012, taxable year end, please consult your tax adviser as to the pertinence of this notice.

For the fiscal year ended January 31, 2012, the Funds are designating the following with regard to distributions paid during the year:

Fund	(A) Long-Term Capital Gain Distribution			(B) Ordinary Income Distributions (Tax Basis)			(C) Total Distributions (Tax Basis)			U.S. Government Interest (1)			Interest Related Dividends (2)			Short-Term Capital Gains Dividends (3)
Money Market Fund		0.00	%		100.00	%		100.00	%		1.89	%*		99.50	%		0.00	%
Government Fund		0.00	%		100.00	%		100.00	%		28.21	%*		100.00	%		0.00	%
Government II Fund		0.00	%		100.00	%		100.00	%		100.00	%*		98.92	%		0.00	%
Prime Obligation Fund		0.00	%		100.00	%		100.00	%		1.59	%*		99.86	%		0.00	%
Treasury Fund		0.00	%		100.00	%		100.00	%		49.67	%*		100.00	%		0.00	%
Treasury II Fund		0.00	%		100.00	%		100.00	%		100.00	%*		97.37	%		0.00	%
Short-Duration Government Fund		1.48	%		98.52	%		100.00	%		13.12	%*		79.26	%		100.00	%
Intermediate-Duration Government Fund		0.05	%		99.95	%		100.00	%		6.96	%*		93.27	%		0.00	%
GNMA Fund		12.43	%		87.57	%		100.00	%		0.00	%*		29.91	%		100.00	%
Ultra Short Duration Bond Fund		0.00	%		100.00	%		100.00	%		4.54	%*		83.53	%		0.00	%

Items (A), (B), (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.

(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.

Please consult your tax adviser for proper treatment of this information.

SEI Daily Income Trust / Annual Report / January 31, 2012 73

SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2012

Robert A. Nesher, Chairman

Trustees

William M. Doran

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

Peter A. Rodriguez

Controller and Chief Financial Officer

Russell Emery

Chief Compliance Officer

Timothy D. Barto

Vice President, Secretary

David McCann

Vice President, Assistant Secretary

Aaron Buser

Vice President, Assistant Secretary

John J. McCue

Vice President

Keri E. Rohn

Anti-Money Laundering Compliance Officer

Privacy 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 Investments Distribution Co.

Oaks, PA 19456    1.800.DIAL.SEI (1.800.342.5734)

SEI-F-022 (03/12)

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. Mrrs. Sullivan and 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 Registrant.

KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2012 and 2011 as follows:

		Fiscal 2012						Fiscal 2011
		All fees and services to the Registrant that were pre- approved		All fees and services to service affiliates that were pre- approved		All other fees and services to service affiliates that did not require pre-approval		All fees and services to the Registrant that were pre- approved		All fees and services to service affiliates that were pre- approved		All other fees and services to service affiliates that did not require pre-approval
(a)	Audit Fees(1)	$	183,000		N/A	$	0	$	183,000		N/A	$	0
(b)	Audit-Related Fees	$	0	$	0	$	0	$	0	$	0	$	0
(c)	Tax Fees	$	0	$	0	$	0	$	0	$	0	$	0
(d)	All Other Fees	$	0	$	261,000	$	0	$	0	$	229,500	$	0

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 Registrant’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 Registrant 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 2012			Fiscal 2011
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 2012 and 2011 were $261,000 and $229,500, respectively. Non-audit fees consist of SSAE No. 16 review of fund accounting and administration operations, compliance attestation reports, and agreed upon procedures report over certain internal controls related to compliance with federal securities laws and regulations.

(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 Registrant 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 Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18^th 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 registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report 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 1940 Act, as amended (17 CFR 270.30a-2(a)), are filed herewith.

(b) Officer certifications as required by Rule 30a-2(b) under the 1940 Act, 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.

SEI Daily Income Trust
	/s/    Robert A. Nesher
	Robert A. Nesher, CEO and President

Date: April 9, 2012

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.

/s/    Robert A. Nesher

Robert A. Nesher, CEO and President

Date: April 9, 2012

/s/    Peter A. Rodriguez

Peter A. Rodriguez, Controller & CFO

Date: April 9, 2012