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)
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Address of principal executive offices)
CT Corporation
155 Federal Street
Boston, MA 02110
(Name and address of agent for service)
Registrants telephone number, including area code: 1-800-342-5734
Date of fiscal year end: January 31, 2018
Date of reporting period: January 31, 2018
Item 1. | Reports to Stockholders. |
January 31, 2018
ANNUAL REPORT
SEI Daily Income Trust
> Government Fund
> Government II Fund
> Treasury Fund
> Treasury II Fund
> Ultra Short Duration Bond Fund
> Short-Duration Government Fund
> GNMA Fund
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 Trusts Forms N-Q are available on the Commissions website at http://www.sec.gov, and may be reviewed and copied at the Commissions 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 portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commissions website at http://www.sec.gov.
January 31, 2018
To Our Shareholders
Financial markets completed 2017 without any enduring missteps in an environment defined by strong investor appetite for higher-risk market segments. Fixed-income performance was positive across markets but ran the gamut in terms of strengthwith emerging-market debt at the top end and U.S. Treasurys at the bottom, in keeping with the risk-on sentiment.
Looking back, the projections we shared for the Funds most recently completed fiscal year, from the start of February 2017 through the end of January 2018, mostly came to pass. The pace of interest-rate increases by the Federal Reserve (Fed) mostly followed the markets expectations.
Strength in the euro relative to the U.S. dollar through the year prevented a quick end to the European Central Banks (ECB) commitment to stimulus; the Japanese yen remained mostly range-bound while the Bank of Japan (BOJ) held monetary policy stable through the fiscal year. China continued to guide its currency lower, hitting a low near the end of the fiscal period.
We suggested that market sentiment would remain attuned to geopolitical developments; these accounted for the only significant exceptions to the global tranquility trend. Also, a fixation on tax reform and continued flattening of the yield curve drove market movements throughout the latter part of the fiscal year.
The global oil supply-demand imbalance persisted throughout the first half of the period, before a strong rebound in oil during the second half of the fiscal year, supported by rising demand, geopolitical tensions and news that Saudi Arabia and Russia would extend an agreement to curb output.
Geopolitical Events
Geopolitical threats and an assortment of other noneconomic influences continued in various regions: civil war and domestic struggle in parts of the Middle East and Africa, the suffering of refugees and migrants in bordering countries and Europe, and acts of global terror. Severe unrest continued in some regions of the Middle East, driven by the conflicting and overlapping regional interests of extremist groups, nationalist fighters and state actors.
The lasting effect of the Syrian migrant crisis on the European Union (EU) remains unknown. Immigration served as one of the critical points of contention leading up to Great Britains Brexit vote to leave the European Union before the reporting year. Prime Minister May triggered Article 50 during the fiscal period and began the formal withdrawal process.
In the U.S., President Trumps early actions following his inauguration just before the start of the fiscal year demonstrated a commitment to follow through on tighter U.S. immigration policy. President Trump stated that aggression from North Korea would be met with fire and fury while controversy over Trumps response to violent clashes between protesters in Charlottesville, Virginia briefly drove market sentiment after the president dissolved two advisory councils. Setbacks in the Trump administrations efforts to repeal and replace Obamacare initially sparked volatility, as investors assumed that tax and budget resolutions would have to wait until healthcare legislation was resolved. However, longer-term market reactions to geopolitical events were surprisingly muted.
A raft of political surprises unfolded during the fiscal period. Centrism prevailed in elections for Europes most economically significant states, although not across the continent. Brexit negotiations were less critical to investors globally than was Europes sustained economic expansion; while the euros appreciation versus sterling may offer a clue about the markets perception of post-divorce relative advantages, both currencies gained against the U.S. dollar. The U.K. Conservative party relinquished its parliamentary majority and was forced to seek a partner to form a minority government. Emmanuel Macrons early-May victory in the French presidential election amounted to a significant win for the establishment.
In the U.S., a high-profile special prosecutor was appointed to investigate the possibility of collusion between Donald Trumps presidential campaign and Russia. In Brazil, an ongoing top-level corruption scandal was blown wide open in mid-May as potential evidence emerged from a taped conversation featuring President Michel Temer approving a sizeable hush-money bribe.
SEI Daily Income Trust / Annual Report / January 31, 2018 | 1 |
LETTER TO SHAREHOLDERS (Continued)
January 31, 2018
Economic Performance
U.S. economic growth slumped early in 2017 and then rebounded solidly in the second quarter as consumer and spending boosted the economy. Fourth-quarter GDP grew at a 2.6% annual rate, following a 3.3% rise in the third quarter that was the fastest in three years, supported by a rebound in government investment and business spending on equipment. The labor market remained historically healthy throughout the year: the unemployment rate fell, finishing the period at 4.1%, while the labor-force participation rate ended at 62.9%, marginally down from a year ago. Average hourly earnings gained, bouncing around a mean of about 0.2% growth per month over the year; although a modest increase in price pressures weighed on real personal income growth as the period progressed. The Fed raised its target interest rate in March 2017, and again in both June and December, with three additional rate increases projected in 2018. The Fed also began to unwind its balance sheet starting in October, reversing some of the quantitative easing that has been so supportive of bond prices in recent years.
Market Developments
For the fiscal year ending January 31, 2018, the period started with enthusiasm for President Trumps pro-business policies. The reflation trade saw markets move in reaction to coordinated global expansion and normalizing monetary policy. However, the first few months saw setbacks for the Trump administration after Washington failed to pass a replacement for the Affordable Care Act and controversies involving Russian election meddling plagued the new administration. There was a realization that the growth expected from promised regulatory changes would take a while to play out, and markets began to unwind the reflation trade. Over the last four months of the year, the reflation trade rebounded strongly amid steady global economic growth and the prospects of U.S. tax reform.
The U.S. equity market began the fiscal year with investors focused on the newly elected Trump administration. Growth stocks in general and the technology sector, in particular, outperformed during the full fiscal period, while high-dividend-yield segments of the market, such as utilities, lagged as they were seen as less attractive in a rising interest-rate environment. Stocks rallied toward the end of the fiscal period amid signs of global economic synchronization, stable earnings and continued central-bank stimulus. The current bull market is now the second-longest on record.
The risk-on sentiment that pushed equities higher was also visible in fixed-income markets, with credit outperforming government bonds. A continuing theme for U.S. fixed-income markets was the flattening yield curve. Yields for 10-year government bonds rose and ended the period at 2.72%, while 2-year yields climbed almost 100 basis points during the year to 2.14%. The U.S. Treasury yield curve flattened to a 10-year low, with short-term yields rising more than long-term yields. The Fed hiked rates three times in 2017 and pushed short-term yields higher. Longer-term bond yields remained flat as expectations for future inflation and economic growth remained subdued.
Front-end Treasury yields moved higher as the Fed increased the fed funds target rate to 1.25%-1.50%, marking the fifth rate hike in this tightening cycle. The Feds interest-rate projections, known as the dot plot, still suggest three more rate hikes in 2018, subject to inflation moving toward the Federal Open Market Committees 2% target. Jerome Powell was nominated to succeed Janet Yellen as Fed Chair, Randal Quarles was named vice chair for bank supervision and Marvin Goodfriend, former Fed economist, was nominated to fill one of three open governor seats. President Trump signed the Tax Cuts and Jobs Act into law, introducing several new policies, including a cap on state and local tax deductions, a one-time repatriation tax on overseas cash, a move to a territorial tax system, and a permanent drop in the corporate tax rate from 35% to 21%.
Inflation-sensitive assets, such as commodities and Treasury Inflation-Protected Securities, were positive. The Bloomberg Commodity Total Return Index (which represents the broad commodity market) rose 3.6% during the period, driven by the metals sector, while the Bloomberg Barclays 1-10 Year US TIPS Index (USD) edged 0.4% higher.
The price of oil ended the year up over 24%, after entering bear-market territory in June and then rallying 35% over the last six months of the fiscal period.
Global fixed income, as measured by the Bloomberg Barclays Global Aggregate Index, climbed 7.46% in U.S. dollar terms during the reporting period, while the high-yield market was also positive, with the ICE BofAML US High Yield Constrained Index up 6.74%.
2 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
U.S. investment-grade corporate debt was higher, as the Bloomberg Barclays Investment Grade US Corporate Index returned 5.08%. U.S. asset- and mortgage-backed securities were both marginally positive during the fiscal year, despite headwinds from rising interest rates and expectations for further rate increases.
Our View
We can sum up the fiscal year gone by with the exclamation that, at long last, the global financial crisis appears to be in the rear-view mirror. In its place is synchronized expansion across most developed and emerging economies. Admittedly, developed economies continued to run at a somewhat sluggish pace of 2% to 2.5% gross domestic product (GDP) growth. This is, at best, a middling sort of performance in the context of the past five decades. Emerging-market economies, meanwhile, continued to expand at a clip well below that of the past 20 years.
Looking out over the next year or so, we think global growth can still be vibrant enough to allow risk assets to perform well.
U.S. tax legislation is hardly perfect: we believe it will not be as stimulative as advertised since tax cuts are skewed toward upper-income taxpayers who tend to have a higher saving rate than the median household. However, the permanent corporate tax changes, repatriation holiday, and the full expensing of capital equipment purchases over the next five years are positive developments for economic growth and investment.
We do not anticipate a more aggressive swing in Fed policy toward monetary tightness in the coming year. It is possible that the U.S. will see inflation pressures finally begin to build, but U.S. companies have proven able to maintain profit margins without resorting to price increases.
In our opinion, Europe has growth potential. According to the World Economic Forums annual report on global competitiveness, the high-income countries of Western Europe have made significant strides in improving labor-market efficiency over the last five years. We also would note that political concerns in the eurozone are far more muted compared with a year ago, although we have not yet seen the end of the massive anti-establishment undercurrent.
Given our view that the region is a long way from employment levels that will stir inflation pressures, we expect monetary policy to be supportive of growth throughout the coming year even as the ECB proceeds with its taper of quantitative easing. Since these asset purchases will continue at least until the end of September, it appears that policy rates will stay put until 2019.
These have not been easy days for U.K. Prime Minister Theresa May. The divorce stage of Brexit talks has finally concluded, with the U.K. mostly acceding to the EUs demands. However, Parliament has begun to flex its musclesand disapproval there would force the parties back to the negotiating table. Keep in mind that any changes to the withdrawal agreement demanded by Parliament would also entail unanimous approval of the 27 EU members on the other side of the negotiating table.
The pace of U.K. economic growth has been decelerating since 2014, although there is no indication that a recession is around the corner. The BOEs Monetary Policy Committee forecasted only two rate increases between now and the end of 2019. While time will tell whether the central banks view regarding future policy moves is accurate, policymakers in the U.K. face tremendous challenges over the next few years. We think investors should tread lightly until there are more definite signs that inflation pressures have peaked and Brexit negotiations yield a favorable economic outcome for the country.
Japan is benefiting from the global economic recovery. Exports to China are growing particularly quickly and are now about equal to the share going to the U.S. Exports to the U.S. and Europe also have accelerated but not to the same extent.
Although there have been rumblings that the BOJ would like to take a step away from the extraordinary monetary policies that have been in place since the financial crisis, the central bank may find it difficult to do so. Domestic demand remains too weak, and the population has begun contracting, a trend that will likely accelerate.
Although China continued to reduce its dependence on heavy industry and increased the value added to GDP from service-producing sectors, there was some backsliding last year. While these macro statistics need to be taken
SEI Daily Income Trust / Annual Report / January 31, 2018 | 3 |
LETTER TO SHAREHOLDERS (Concluded)
January 31, 2018
with a grain of salt, it appears that Chinas growth has accelerated significantly from two years ago and advanced at its fastest clip since the 2012 to 2013 period. If China can maintain positive momentum, commodity prices should continue to rally as well.
Many possible events and developments could have a significant adverse impact, but we believe most have a low probability of actually happening. We will, therefore, maintain our risk-on bias until we see more evidence that such a stance merits revision.
On behalf of SEI Investments, I want to thank you for your continued confidence. We are working every day to maintain that trust, and we look forward to serving your investment needs in the future.
Sincerely,
William Lawrence, CFA
Head and Chief Investment Officer of Traditional Asset Management
4 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
MANAGEMENTS DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
January 31, 2018
Ultra Short Duration Bond Fund
SEI Daily Income Trust / Annual Report / January 31, 2018 | 5 |
MANAGEMENTS DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
January 31, 2018
Ultra Short Duration Bond Fund (Concluded)
6 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
MANAGEMENTS DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
January 31, 2018
Short-Duration Government Fund
I. Objective
SEI Daily Income Trust / Annual Report / January 31, 2018 | 7 |
MANAGEMENTS DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
January 31, 2018
GNMA Fund
8 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
Definition of Comparative Indices*
Bloomberg Barclays GNMA Index is a widely-recognized, capitalization-weighted index of 15-30 year fixed-rate securities backed by mortgage pools of GNMA.
Bloomberg Barclays 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.
ICE 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.
* | 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, 2018 | 9 |
January 31, 2018
Government Fund
10 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 11 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Government Fund (Concluded)
12 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Government II Fund
SEI Daily Income Trust / Annual Report / January 31, 2018 | 13 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Government II Fund (Concluded)
14 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Treasury Fund
SEI Daily Income Trust / Annual Report / January 31, 2018 | 15 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Treasury Fund (Concluded)
16 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Treasury II Fund
SEI Daily Income Trust / Annual Report / January 31, 2018 | 17 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Ultra Short Duration Bond Fund
18 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 19 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Ultra Short Duration Bond Fund (Continued)
20 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 21 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Ultra Short Duration Bond Fund (Continued)
22 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 23 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Ultra Short Duration Bond Fund (Continued)
24 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 25 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Ultra Short Duration Bond Fund (Continued)
26 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 27 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Ultra Short Duration Bond Fund (Continued)
28 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 29 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Ultra Short Duration Bond Fund (Continued)
30 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 31 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Ultra Short Duration Bond Fund (Continued)
32 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 33 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Ultra Short Duration Bond Fund (Concluded)
A list of the open futures contracts held by the Fund at January 31, 2018, is as follows:
Type of Contract |
Number of Contracts Long/(Short) |
Expiration Date |
Notional Amount (Thousands) |
Value (Thousands) |
Unrealized Appreciation (Depreciation) (Thousands) | |||||||||||||||
U.S. 10-Year Treasury Note |
(15 | ) | Mar-2018 | $ | (1,874 | ) | $ | (1,824 | ) | $ | 50 | |||||||||
U.S. 2-Year Treasury Note |
24 | Mar-2018 | 5,145 | 5,118 | (27 | ) | ||||||||||||||
U.S. 5-Year Treasury Note |
11 | Mar-2018 | 1,285 | 1,262 | (23 | ) | ||||||||||||||
U.S. Long Treasury Bond |
(1 | ) | Mar-2018 | (153 | ) | (148 | ) | 5 | ||||||||||||
$ |
4,403 |
|
$ |
4,408 |
|
$ |
5 |
| ||||||||||||
34 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Short-Duration Government Fund
SEI Daily Income Trust / Annual Report / January 31, 2018 | 35 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Short-Duration Government Fund (Continued)
36 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 37 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Short-Duration Government Fund (Continued)
38 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
A list of the open futures contracts held by the Fund at January 31, 2018, is as follows:
Type of Contract |
Number of Contracts Long/(Short) |
Expiration Date |
Notional Amount (Thousands) |
Value (Thousands) |
Unrealized Appreciation (Depreciation) (Thousands) | |||||||||||||||
U.S. 2-Year Treasury Note |
1,426 | Mar-2018 | $ | 305,803 | $ | 304,072 | $ | (1,731 | ) | |||||||||||
U.S. 5-Year Treasury Note |
(217 | ) | Mar-2018 | (25,348 | ) | (24,892 | ) | 456 | ||||||||||||
U.S. 10-Year Treasury Note |
(567 | ) | Mar-2018 | (70,649 | ) | (68,935 | ) | 1,714 | ||||||||||||
Ultra 10-Year U.S. Treasury Note |
(268 | ) | Mar-2018 | (35,736 | ) | (34,894 | ) | 842 | ||||||||||||
|
|
| ||||||||||||||||||
$ | 174,070 | $ | 175,351 | $ | 1,281 | |||||||||||||||
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2018 | 39 |
SCHEDULE OF INVESTMENTS
January 31, 2018
Short-Duration Government Fund (Concluded)
40 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SCHEDULE OF INVESTMENTS
January 31, 2018
GNMA Fund
SEI Daily Income Trust / Annual Report / January 31, 2018 | 41 |
SCHEDULE OF INVESTMENTS
January 31, 2018
GNMA Fund (Concluded)
42 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
A list of the open futures contracts held by the Fund at January 31, 2018, is as follows:
Type of Contract |
Number of Contracts Long/(Short) |
Expiration Date |
Notional Amount (Thousands) |
Value (Thousands) |
Unrealized Appreciation (Depreciation) (Thousands) | |||||||||||||||
U.S. 10-Year Treasury Note |
20 | Mar-2018 | $ | 2,460 | $ | 2,432 | $ | (28 | ) | |||||||||||
U.S. 5-Year Treasury Note |
28 | Mar-2018 | 3,259 | 3,212 | (47 | ) | ||||||||||||||
Ultra 10-Year U.S. Treasury Note |
(12 | ) | Mar-2018 | (1,604 | ) | (1,562 | ) | 42 | ||||||||||||
$ | 4,115 | $ | 4,082 | $ | (33 | ) | ||||||||||||||
SEI Daily Income Trust / Annual Report / January 31, 2018 | 43 |
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
January 31, 2018
Government Fund | Government II Fund | |||||||
Assets: |
||||||||
Investments, at value |
$ | 5,056,378 | $ | 2,222,417 | ||||
Repurchase agreements |
2,371,000 | | ||||||
Cash |
33,697 | 1,582 | ||||||
Receivable from custodian |
| | ||||||
Interest receivable |
2,296 | 368 | ||||||
Receivable for investment securities sold |
| | ||||||
Receivable for fund shares sold |
| | ||||||
Receivable for administration fees |
| | ||||||
Receivable for variation margin |
| | ||||||
Prepaid expenses |
154 | 42 | ||||||
Total Assets |
7,463,525 | 2,224,409 | ||||||
Liabilities: |
||||||||
Payable for investment securities purchased |
148,768 | 44,630 | ||||||
Income distribution payable |
3,987 | 1,590 | ||||||
Administration fees payable |
730 | 261 | ||||||
Investment advisory fees payable |
424 | 67 | ||||||
Chief Compliance Officer fees payable |
11 | 3 | ||||||
Shareholder servicing fees payable |
| | ||||||
Trustees fees payable |
1 | | ||||||
Payable for fund shares redeemed |
| | ||||||
Payable for variation margin |
| | ||||||
Accrued expense payable |
313 | 97 | ||||||
Total Liabilities |
154,234 | 46,648 | ||||||
Net Assets |
$ | 7,309,291 | $ | 2,177,761 | ||||
Cost of investments and repurchase agreements |
$ | 7,427,378 | $ | 2,222,417 | ||||
Net Assets: |
||||||||
Paid-in Capital (unlimited authorization no par value) |
$ | 7,309,341 | $ | 2,177,743 | ||||
Undistributed (Distributions in excess of) net investment income |
(11 | ) | 18 | |||||
Accumulated net realized (loss) on investments |
(39 | ) | | |||||
Net unrealized (depreciation) on investments |
| | ||||||
Net unrealized appreciation (depreciation) on futures contracts |
| | ||||||
Net Assets |
$ | 7,309,291 | $ | 2,177,761 | ||||
Net Asset Value, Offering and Redemption Price Per Share Class F |
|
$1.00 ($7,277,765,892
÷ |
|
|
$1.00 ($2,177,761,190 ÷ 2,177,842,612 shares |
) | ||
Net Asset Value, Offering and Redemption Price Per Share Class CAA |
|
$1.00 ($31,524,776 ÷ |
|
N/A | ||||
Net Asset Value, Offering and Redemption Price Per Share Class Y |
N/A | N/A | ||||||
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, 2018 |
Treasury Fund | Treasury II Fund | Ultra Short Duration Bond Fund |
Short-Duration Government Fund |
GNMA Fund | ||||||||||||||
$ 78,056 | $ 564,624 | $ 307,986 | $ 683,772 | $ 75,131 | ||||||||||||||
33,000 | | 7,600 | 6,000 | 600 | ||||||||||||||
6,046 | 1,361 | 1,829 | 103 | 68 | ||||||||||||||
| | | | | ||||||||||||||
34 | 70 | 844 | 1,811 | 286 | ||||||||||||||
| | 620 | 64,176 | 17,925 | ||||||||||||||
| | 1,151 | 899 | 44 | ||||||||||||||
5 | | | | | ||||||||||||||
| | 1 | 117 | | ||||||||||||||
3 | 13 | 5 | 19 | 2 | ||||||||||||||
117,144 | 566,068 | 320,036 | 756,897 | 94,056 | ||||||||||||||
2,975 | 11,901 | 9,360 | 6,969 | 18,087 | ||||||||||||||
45 | 346 | 76 | 285 | 35 | ||||||||||||||
| 63 | 27 | 129 | 14 | ||||||||||||||
| 18 | 26 | 58 | 6 | ||||||||||||||
| | | 1 | | ||||||||||||||
| | 18 | 49 | 17 | ||||||||||||||
| | | | | ||||||||||||||
| | 342 | 958 | 217 | ||||||||||||||
| | 4 | 140 | 5 | ||||||||||||||
4 | 28 | 24 | 62 | 17 | ||||||||||||||
3,024 | 12,356 | 9,877 | 8,651 | 18,398 | ||||||||||||||
$114,120 | $553,712 | $310,159 | $748,246 | $75,658 | ||||||||||||||
$111,056 | $564,624 | $316,044 | $697,942 | $75,947 | ||||||||||||||
$114,120 | $553,699 | $328,334 | $766,821 | $78,319 | ||||||||||||||
1 | 18 | 7 | 610 | (13 | ) | |||||||||||||
(1 | ) | (5 | ) | (17,729 | ) | (12,296 | ) | (2,399 | ) | |||||||||
| | (458 | ) | (8,170 | ) | (216 | ) | |||||||||||
| | 5 | 1,281 | (33 | ) | |||||||||||||
$114,120 | $553,712 | $310,159 | $748,246 | $75,658 | ||||||||||||||
|
$1.00 ($114,119,876 ÷ 114,185,173 shares |
) |
|
$1.00 ($553,712,243 ÷ 553,847,166 shares |
) |
|
$9.32 ($262,023,211 ÷ 28,100,473 shares |
) |
|
$10.27 ($696,751,510 ÷ 67,835,453 shares |
) |
|
$10.24 ($75,582,370 ÷ 7,381,143 shares |
) | ||||
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
| ||||
N/A | N/A | |
$9.33 ($48,136,253 ÷ 5,159,758 shares |
) |
|
$10.27 ($51,494,897 ÷ 5,014,419 shares |
) |
|
$10.23 ($75,695 ÷ |
|
SEI Daily Income Trust / Annual Report / January 31, 2018 | 45 |
STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended January 31, 2018
Government Fund | Government II Fund | |||||||
Investment Income: |
||||||||
Interest income |
$ | 72,238 | $ | 19,410 | ||||
Total investment income |
72,238 | 19,410 | ||||||
Expenses: |
||||||||
Administration fees |
8,805 | 2,961 | ||||||
Shareholder servicing fees Class F Shares |
19,085 | 5,056 | ||||||
Shareholder servicing fees Class CAA Shares |
110 | | ||||||
Investment advisory fees |
5,375 | 1,416 | ||||||
Trustees fees |
| 31 | ||||||
Chief Compliance Officer fees |
33 | 11 | ||||||
Proxy fees |
230 | | ||||||
Custodian/Wire agent fees |
176 | 64 | ||||||
Registration fees |
87 | 36 | ||||||
Pricing fees |
18 | 6 | ||||||
Printing fees |
| | ||||||
Other expenses |
1,024 | 314 | ||||||
Total expenses |
34,943 | 9,895 | ||||||
Less, waiver of: |
||||||||
Investment advisory fees |
| (708 | ) | |||||
Administration fees |
(462 | ) | (91 | ) | ||||
Shareholder servicing fees Class F Shares |
(19,085 | ) | (5,056 | ) | ||||
Net expenses |
15,396 | 4,040 | ||||||
Net Investment Income |
56,842 | 15,370 | ||||||
Net Realized and Unrealized Gain (Loss) on/from: |
||||||||
Investments |
(11 | ) | 18 | |||||
Futures contracts |
| | ||||||
Net change in unrealized appreciation(depreciation) on/from: |
||||||||
Investments |
| | ||||||
Futures contracts |
| | ||||||
Net Increase in Net Assets Resulting from Operations |
$ | 56,831 | $ | 15,388 |
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, 2018 |
Treasury Fund | Treasury II Fund | Ultra Short Duration Bond Fund |
Short-Duration Government Fund |
GNMA Fund | ||||||||||||||
$ | 989 | $ | 5,253 | $ | 5,442 | $ | 15,185 | $ | 2,854 | |||||||||
989 | 5,253 | 5,442 | 15,185 | 2,854 | ||||||||||||||
158 | 833 | 619 | 1,600 | 192 | ||||||||||||||
263 | 1,388 | 659 | 1,876 | 244 | ||||||||||||||
| | | | | ||||||||||||||
74 | 389 | 310 | 712 | 87 | ||||||||||||||
3 | 11 | 5 | 17 | 2 | ||||||||||||||
1 | 4 | 2 | 6 | 1 | ||||||||||||||
| | | | | ||||||||||||||
6 | 24 | 10 | 33 | 4 | ||||||||||||||
2 | 13 | 6 | 23 | 3 | ||||||||||||||
1 | 2 | 54 | 137 | | ||||||||||||||
| | 23 | | | ||||||||||||||
34 | 115 | 27 | 158 | 50 | ||||||||||||||
542 | 2,779 | 1,715 | 4,562 | 583 | ||||||||||||||
(37 | ) | (194 | ) | | | | ||||||||||||
(33 | ) | (85 | ) | (122 | ) | | | |||||||||||
(263 | ) | (1,388 | ) | (448 | ) | (812 | ) | | ||||||||||
209 | 1,112 | 1,145 | 3,750 | 583 | ||||||||||||||
780 | 4,141 | 4,297 | 11,435 | 2,271 | ||||||||||||||
| 2 | 730 | (1,152 | ) | (324 | ) | ||||||||||||
| | (30 | ) | (1,863 | ) | (2 | ) | |||||||||||
| | (45 | ) | (7,905 | ) | (1,069 | ) | |||||||||||
| | (5 | ) | 996 | (29 | ) | ||||||||||||
$ | 780 | $ | 4,143 | $ | 4,947 | $ | 1,511 | $ | 847 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 47 |
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended January 31,
Government Fund | ||||||||||||
2018 | 2017 | |||||||||||
Operations: |
||||||||||||
Net investment Income |
$ | 56,842 | $ | 11,651 | ||||||||
Net realized gain (loss) on investments |
(11 | ) | 41 | |||||||||
Net increase in net assets resulting from operations |
56,831 | 11,692 | ||||||||||
Dividends and Distributions to Shareholders: |
||||||||||||
Net investment income |
||||||||||||
Class F |
(56,292 | ) | (11,802 | ) | ||||||||
Class CAA |
(334 | ) | (64 | ) | ||||||||
Net realized gains |
||||||||||||
Class F |
| (81 | ) | |||||||||
Total dividends and distributions |
(56,626 | ) | (11,947 | ) | ||||||||
Capital Share Transactions (All at $1.00 per share) |
||||||||||||
Class F: |
||||||||||||
Proceeds from shares issued |
47,958,619 | 37,455,225 | ||||||||||
Reinvestment of dividends & distributions |
23,892 | 4,482 | ||||||||||
Cost of shares redeemed |
(48,580,625 | ) | (31,493,354 | ) | ||||||||
Net increase (decrease) from Class F Transactions |
(598,114 | ) | 5,966,353 | |||||||||
Class CAA: |
||||||||||||
Proceeds from shares issued |
89,182 | 65,564 | ||||||||||
Reinvestment of dividends & distributions |
332 | 905 | ||||||||||
Cost of shares redeemed |
(84,880 | ) | (75,586 | ) | ||||||||
Net increase (decrease) from Class CAA Transactions |
4,634 | (9,117 | ) | |||||||||
Net increase (decrease) in net assets from capital shares transactions |
(593,480 | ) | 5,957,236 | |||||||||
Net increase (decrease) in net assets |
(593,275 | ) | 5,956,981 | |||||||||
Net Assets: |
||||||||||||
Beginning of year |
7,902,566 | 1,945,585 | ||||||||||
End of year |
$ | 7,309,291 | $ | 7,902,566 | ||||||||
Undistributed (distributions in excess of) Net Investment Income |
$ | (11 | ) | $ | (227 | ) |
Amounts designated as are $0 or have been rounded to $0.
N/A Not applicable.
The accompanying notes are an integral part of the financial statements.
48 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
Government II Fund | Treasury Fund | Treasury II Fund | ||||||||||||||||||||
2018 | 2017 | 2018 | 2017 | 2018 | 2017 | |||||||||||||||||
$ | 15,370 | $ | 3,067 | $ | 780 | $ | 261 | $ | 4,141 | $ | 846 | |||||||||||
18 | 35 | | 20 | 2 | 13 | |||||||||||||||||
15,388 | 3,102 | 780 | 281 | 4,143 | 859 | |||||||||||||||||
(15,370 | ) | (3,067 | ) | (780 | ) | (261 | ) | (4,142 | ) | (845 | ) | |||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
| (38 | ) | | (20 | ) | | (17 | ) | ||||||||||||||
(15,370 | ) | (3,105 | ) | (780 | ) | (281 | ) | (4,142 | ) | (862 | ) | |||||||||||
6,118,667 | 5,684,066 | 592,584 | 912,870 | 1,953,133 | 2,084,759 | |||||||||||||||||
4,599 | 882 | 490 | 201 | 1,631 | 287 | |||||||||||||||||
(5,996,921 | ) | (4,861,925 | ) | (584,003 | ) | (1,093,736 | ) | (1,924,359 | ) | (2,256,724 | ) | |||||||||||
126,345 | 823,023 | 9,071 | (180,665 | ) | 30,405 | (171,678 | ) | |||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||
126,345 | 823,023 | 9,071 | (180,665 | ) | 30,405 | (171,678 | ) | |||||||||||||||
126,363 | 823,020 | 9,071 | (180,665 | ) | 30,406 | (171,681 | ) | |||||||||||||||
2,051,398 | 1,228,378 | 105,049 | 285,714 | 523,306 | 694,987 | |||||||||||||||||
$ | 2,177,761 | $ | 2,051,398 | $ | 114,120 | $ | 105,049 | $ | 553,712 | $ | 523,306 | |||||||||||
$ | 18 | $ | | $ | 1 | $ | | $ | 18 | $ | 15 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 49 |
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the year ended January 31,
Ultra Short Duration Bond Fund | ||||||||
2018 | 2017 | |||||||
Operations: |
||||||||
Net investment income |
$ | 4,297 | $ | 2,623 | ||||
Net realized gain (loss) on investments and futures contracts |
700 | 60 | ||||||
Net change in unrealized appreciation (depreciation) on investments and futures contracts |
(50 | ) | 876 | |||||
Net increase (decrease) in net assets resulting from operations |
4,947 | 3,559 | ||||||
Dividends and Distributions to Shareholders: |
||||||||
Net investment income |
||||||||
Class F |
(3,860 | ) | (2,485 | ) | ||||
Class Y |
(710 | ) | (472 | ) | ||||
Net realized gains |
||||||||
Class F |
| | ||||||
Class Y |
| | ||||||
Total dividends and distributions |
(4,570 | ) | (2,957 | ) | ||||
Capital share transactions: |
||||||||
Class F: |
||||||||
Proceeds from shares issued |
116,899 | 204,689 | ||||||
Reinvestment of dividends & distributions |
3,032 | 1,953 | ||||||
Cost of shares redeemed |
(123,233 | ) | (139,885 | ) | ||||
Net increase (decrease) from Class F transactions |
(3,302 | ) | 66,757 | |||||
Class Y: |
||||||||
Proceeds from shares issued |
6,871 | 14,248 | ||||||
Reinvestment of dividends & distributions |
700 | 464 | ||||||
Cost of shares redeemed |
(4,532 | ) | (6,813 | ) | ||||
Net increase (decrease) from Class Y transactions |
3,039 | 7,899 | ||||||
Net Increase (Decrease) in net assets from capital share transactions |
(263 | ) | 74,656 | |||||
Net increase (decrease) in net assets |
114 | 75,258 | ||||||
Net Assets: |
||||||||
Beginning of year |
310,045 | 234,787 | ||||||
End of year |
$ | 310,159 | $ | 310,045 | ||||
Undistributed (Distributions in Excess of) net investment income |
$ | 7 | $ | (332 | ) | |||
Capital Share Transactions: |
||||||||
Class F |
||||||||
Shares issued |
12,514 | 21,974 | ||||||
Reinvestment of distributions |
325 | 210 | ||||||
Shares redeemed |
(13,193 | ) | (15,020 | ) | ||||
Net increase (decrease) in shares outstanding from Class F Share transactions |
(354 | ) | 7,164 | |||||
Class Y |
||||||||
Shares issued |
736 | 1,528 | ||||||
Reinvestment of distributions |
75 | 50 | ||||||
Shares redeemed |
(485 | ) | (732 | ) | ||||
Net increase (decrease) in shares outstanding from Class Y Share transactions |
326 | 846 | ||||||
Total increase (decrease) in shares outstanding from share transactions |
(28 | ) | 8,010 |
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, 2018 |
Short-Duration Government Fund | GNMA Fund | |||||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||||
$ | 11,435 | $ | 8,072 | $ | 2,271 | $ | 1,809 | |||||||||||
(3,015 | ) | 1,429 | (326 | ) | 485 | |||||||||||||
(6,909 | ) | (5,579 | ) | (1,098 | ) | (2,365 | ) | |||||||||||
1,511 | 3,922 | 847 | (71 | ) | ||||||||||||||
(12,542 | ) | (9,240 | ) | (2,735 | ) | (2,406 | ) | |||||||||||
(892 | ) | (605 | ) | (2 | ) | (1 | ) | |||||||||||
| | | (1,667 | ) | ||||||||||||||
| | | (1 | ) | ||||||||||||||
(13,434 | ) | (9,845 | ) | (2,737 | ) | (4,075 | ) | |||||||||||
247,453 | 308,546 | 14,363 | 56,203 | |||||||||||||||
9,210 | 7,242 | 2,127 | 3,343 | |||||||||||||||
(345,293 | ) | (312,890 | ) | (55,073 | ) | (61,383 | ) | |||||||||||
(88,630 | ) | 2,898 | (38,583 | ) | (1,837 | ) | ||||||||||||
13,751 | 15,823 | 82 | | |||||||||||||||
882 | 598 | 1 | 1 | |||||||||||||||
(11,181 | ) | (18,143 | ) | (56 | ) | (23 | ) | |||||||||||
3,452 | (1,722 | ) | 27 | (22 | ) | |||||||||||||
(85,178 | ) | 1,176 | (38,556 | ) | (1,859 | ) | ||||||||||||
(97,101 | ) | (4,747 | ) | (40,446 | ) | (6,005 | ) | |||||||||||
845,347 | 850,094 | 116,104 | 122,109 | |||||||||||||||
$ | 748,246 | $ | 845,347 | $ | 75,658 | $ | 116,104 | |||||||||||
$ | 610 | $ | 533 | $ | (13 | ) | $ | 3 | ||||||||||
23,831 | 29,362 | 1,372 | 5,189 | |||||||||||||||
887 | 690 | 204 | 313 | |||||||||||||||
(33,267 | ) | (29,835 | ) | (5,279 | ) | (5,700 | ) | |||||||||||
(8,549 | ) | 217 | (3,703 | ) | (198 | ) | ||||||||||||
1,325 | 1,506 | 8 | | |||||||||||||||
85 | 57 | | | |||||||||||||||
(1,077 | ) | (1,726 | ) | (5 | ) | (2 | ) | |||||||||||
333 | (163 | ) | 3 | (2 | ) | |||||||||||||
(8,216 | ) | 54 | (3,700 | ) | (200 | ) |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 51 |
For the years ended January 31, For a Share Outstanding Throughout the Year or Period
Net Asset Value, Beginning of Period |
Net Investment Income* |
Net Realized and Unrealized Gains (Losses) on Securities |
Total from Operations |
Dividends from Net Investment Income |
Total Dividends and Distributions |
Net Asset Value, End of Period |
Total Return |
Net Assets End of Period ($ Thousands) |
Ratio of Expenses to Average Net Assets(1) |
Ratio of Expenses to Average Net Assets (Excluding Waivers) |
Ratio of Net Investment Income to Average Net Assets |
|||||||||||||||||||||||||||||||||||||
Government Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||
Class F |
||||||||||||||||||||||||||||||||||||||||||||||||
2018 |
$ | 1.00 | $ | 0.01 | $ | | $ | 0.01 | $ | (0.01) | $ | (0.01) | $ | 1.00 | 0.74% | $ | 7,277,766 | 0.20% | 0.45% | 0.74% | ||||||||||||||||||||||||||||
2017 |
1.00 | | | | (2) | (2) | 1.00 | 0.19 | 7,875,681 | 0.20 | 0.56 | 0.21 | ||||||||||||||||||||||||||||||||||||
2016 |
1.00 | | | | (2) | (2) | 1.00 | 0.03 | 1,909,582 | 0.12 | 0.58 | 0.03 | ||||||||||||||||||||||||||||||||||||
2015 |
1.00 | | | | (2) | (2) | 1.00 | 0.02 | 1,788,290 | 0.07 | 0.58 | 0.02 | ||||||||||||||||||||||||||||||||||||
2014 |
1.00 | | | | (2) | (2) | 1.00 | 0.02 | 1,523,561 | 0.09 | 0.58 | 0.02 | ||||||||||||||||||||||||||||||||||||
Class CAA |
|
|||||||||||||||||||||||||||||||||||||||||||||||
2018 |
$ | 1.00 | $ | 0.01 | $ | | $ | 0.01 | $ | (0.01) | $ | (0.01) | $ | 1.00 | 0.74% | $ | 31,525 | 0.20% | 0.45% | 0.74% | ||||||||||||||||||||||||||||
2017 |
1.00 | | | | (2) | (2) | 1.00 | 0.19 | 26,885 | 0.20 | 0.32 | 0.18 | ||||||||||||||||||||||||||||||||||||
2016(3) |
1.00 | | | | (2) | (2) | 1.00 | 0.01 | 36,003 | 0.18 | 0.58 | 0.06 | ||||||||||||||||||||||||||||||||||||
Government II Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||
Class F |
||||||||||||||||||||||||||||||||||||||||||||||||
2018 |
$ | 1.00 | $ | 0.01 | $ | | $ | 0.01 | $ | (0.01) | $ | (0.01) | $ | 1.00 | 0.76% | $ | 2,177,761 | 0.20% | 0.49% | 0.76% | ||||||||||||||||||||||||||||
2017 |
1.00 | | | | (2) | (2) | 1.00 | 0.19 | 2,051,398 | 0.20 | 0.53 | 0.19 | ||||||||||||||||||||||||||||||||||||
2016 |
1.00 | | | | (2) | (2) | 1.00 | 0.02 | 1,228,378 | 0.11 | 0.53 | 0.02 | ||||||||||||||||||||||||||||||||||||
2015 |
1.00 | | | | (2) | (2) | 1.00 | 0.01 | 1,152,698 | 0.08 | 0.53 | 0.01 | ||||||||||||||||||||||||||||||||||||
2014 |
1.00 | | | | (2) | (2) | 1.00 | 0.01 | 1,246,262 | 0.09 | 0.53 | 0.01 | ||||||||||||||||||||||||||||||||||||
Treasury Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||
Class F |
||||||||||||||||||||||||||||||||||||||||||||||||
2018 |
$ | 1.00 | $ | 0.01 | $ | | $ | 0.01 | $ | (0.01) | $ | (0.01) | $ | 1.00 | 0.75% | $ | 114,120 | 0.20% | 0.52% | 0.74% | ||||||||||||||||||||||||||||
2017 |
1.00 | | | | (2) | (2) | 1.00 | 0.18 | 105,049 | 0.21 | 0.63 | 0.14 | ||||||||||||||||||||||||||||||||||||
2016 |
1.00 | | | | (2) | (2) | 1.00 | 0.02 | 285,714 | 0.10 | 0.59 | 0.03 | ||||||||||||||||||||||||||||||||||||
2015 |
1.00 | | | | (2) | (2) | 1.00 | 0.01 | 124,646 | 0.05 | 0.58 | 0.01 | ||||||||||||||||||||||||||||||||||||
2014 |
1.00 | | | | (2) | (2) | 1.00 | 0.01 | 46,315 | 0.08 | 0.58 | 0.01 | ||||||||||||||||||||||||||||||||||||
Treasury II Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||
Class F |
||||||||||||||||||||||||||||||||||||||||||||||||
2018 |
$ | 1.00 | $ | 0.01 | $ | | $ | 0.01 | $ | (0.01) | $ | (0.01) | $ | 1.00 | 0.74% | $ | 553,712 | 0.20% | 0.50% | 0.75% | ||||||||||||||||||||||||||||
2017 |
1.00 | | | | (2) | (2) | 1.00 | 0.15 | 523,306 | 0.20 | 0.58 | 0.14 | ||||||||||||||||||||||||||||||||||||
2016 |
1.00 | | | | (2) | (2) | 1.00 | 0.01 | 694,987 | 0.08 | 0.58 | 0.02 | ||||||||||||||||||||||||||||||||||||
2015 |
1.00 | | | | (2) | (2) | 1.00 | 0.01 | 491,209 | 0.04 | 0.58 | 0.01 | ||||||||||||||||||||||||||||||||||||
2014 |
1.00 | | | | (2) | (2) | 1.00 | 0.01 | 440,422 | 0.06 | 0.58 | 0.01 |
* | 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) | 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 Funds 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. |
(2) | Amount represents less than $0.01 per share. |
(3) | Commenced operations on November 20, 2015. All ratios for the period have been annualized. |
Amounts designated as are zero or have been rounded to zero
52 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
Net Asset of Period |
Net Investment Income* |
Net Realized |
Total from |
Dividends from Net Investment Income |
Distributions from Realized Capital Gains |
Total Dividends and Distributions |
Net Asset of Period |
Total Return |
Net Assets End of Period ($ Thousands) |
Ratio of Expenses to Average Net Assets |
Ratio of Average |
Ratio of Net to
Average |
Portfolio Turnover Rate |
|||||||||||||||||||||||||||||||||||||||||||
Ultra Short Duration Bond Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 |
$ | 9.31 | $ | 0.13 | $ | 0.02 | $ | 0.15 | $ | (0.14) | $ | | $ | (0.14) | $ | 9.32 | 1.58% | $ | 262,023 | 0.38% | 0.59% | 1.38% | 59% | |||||||||||||||||||||||||||||||||
2017 |
9.29 | 0.09 | 0.03 | 0.12 | (0.10) | | (0.10) | 9.31 | 1.33 | 264,997 | 0.38 | 0.68 | 0.99 | 89 | ||||||||||||||||||||||||||||||||||||||||||
2016 |
9.33 | 0.07 | (0.03) | 0.04 | (0.08) | | (0.08) | 9.29 | 0.45 | 197,737 | 0.38 | 0.69 | 0.71 | 115 | ||||||||||||||||||||||||||||||||||||||||||
2015 |
9.35 | 0.06 | | 0.06 | (0.08) | | (0.08) | 9.33 | 0.60 | 255,614 | 0.38 | 0.72 | 0.61 | 106 | ||||||||||||||||||||||||||||||||||||||||||
2014 |
9.37 | 0.06 | | 0.06 | (0.08) | | (0.08) | 9.35 | 0.64 | 271,221 | 0.38 | 0.73 | 0.63 | 131 | ||||||||||||||||||||||||||||||||||||||||||
Class Y |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 |
$ | 9.32 | $ | 0.14 | $ | 0.01 | $ | 0.15 | $ | (0.14) | $ | | $ | (0.14) | $ | 9.33 | 1.67% | $ | 48,136 | 0.30% | 0.34% | 1.46% | 59% | |||||||||||||||||||||||||||||||||
2017 |
9.29 | 0.10 | 0.04 | 0.14 | (0.11) | | (0.11) | 9.32 | 1.52 | 45,048 | 0.30 | 0.43 | 1.06 | 89 | ||||||||||||||||||||||||||||||||||||||||||
2016(1) |
9.31 | 0.02 | | 0.02 | (0.04) | | (0.04) | 9.29 | 0.19 | 37,050 | 0.30 | 0.44 | 0.60 | 115 | ||||||||||||||||||||||||||||||||||||||||||
Short-Duration Government Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 |
$ | 10.43 | $ | 0.15 | $ | (0.14) | $ | 0.01 | $ | (0.17) | $ | | $ | (0.17) | $ | 10.27 | 0.13% | $ | 696,751 | 0.48% | 0.59% | 1.42% | 169% | |||||||||||||||||||||||||||||||||
2017 |
10.49 | 0.10 | (0.04) | 0.06 | (0.12) | | (0.12) | 10.43 | 0.54 | 796,540 | 0.48 | 0.67 | 0.91 | 539 | ||||||||||||||||||||||||||||||||||||||||||
2016 |
10.55 | 0.07 | (0.05) | 0.02 | (0.08) | | (0.08) | 10.49 | 0.22 | 799,269 | 0.48 | 0.69 | 0.64 | 245 | ||||||||||||||||||||||||||||||||||||||||||
2015 |
10.52 | 0.09 | 0.04 | 0.13 | (0.10) | | (0.10) | 10.55 | 1.20 | 661,101 | 0.48 | 0.73 | 0.85 | 151 | ||||||||||||||||||||||||||||||||||||||||||
2014 |
10.62 | 0.06 | (0.06) | 0.00 | (0.10) | | (0.10) | 10.52 | (0.01) | 761,739 | 0.48 | 0.73 | 0.56 | 565 | ||||||||||||||||||||||||||||||||||||||||||
Class Y |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 |
$ | 10.43 | $ | 0.16 | $ | (0.13) | $ | 0.03 | $ | (0.19) | $ | | $ | (0.19) | $ | 10.27 | 0.27% | $ | 51,495 | 0.34% | 0.34% | 1.56% | 169% | |||||||||||||||||||||||||||||||||
2017 |
10.49 | 0.11 | (0.04) | 0.07 | (0.13) | | (0.13) | 10.43 | 0.64 | 48,808 | 0.38 | 0.43 | 1.02 | 539 | ||||||||||||||||||||||||||||||||||||||||||
2016 |
10.55 | 0.08 | (0.05) | 0.03 | (0.09) | | (0.09) | 10.49 | 0.32 | 50,825 | 0.38 | 0.44 | 0.74 | 245 | ||||||||||||||||||||||||||||||||||||||||||
2015(2) |
10.50 | 0.01 | 0.05 | 0.06 | (0.01) | | (0.01) | 10.55 | 0.54 | 55,017 | 0.38 | 0.46 | 0.97 | 151 | ||||||||||||||||||||||||||||||||||||||||||
GNMA Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class F |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 |
$ | 10.47 | $ | 0.24 | $ | (0.18) | $ | 0.06 | $ | (0.29) | $ | | $ | (0.29) | $ | 10.24 | 0.58% | $ | 75,582 | 0.60% | 0.60% | 2.32% | 204% | |||||||||||||||||||||||||||||||||
2017 |
10.82 | 0.16 | (0.16) | 0.00 | (0.21) | (0.14) | (0.35) | 10.47 | 0.04 | 116,057 | 0.63 | 0.67 | 1.48 | 718 | ||||||||||||||||||||||||||||||||||||||||||
2016 |
10.93 | 0.15 | 0.02 | 0.17 | (0.19) | (0.09) | (0.28) | 10.82 | 1.65 | 122,040 | 0.63 | 0.69 | 1.36 | 718 | ||||||||||||||||||||||||||||||||||||||||||
2015 |
10.50 | 0.11 | 0.49 | 0.60 | (0.17) | | (0.17) | 10.93 | 5.79 | 117,904 | 0.63 | 0.69 | 1.07 | 758 | ||||||||||||||||||||||||||||||||||||||||||
2014 |
10.70 | 0.07 | (0.09) | (0.02) | (0.18) | | (0.18) | 10.50 | (0.14) | 158,672 | 0.63 | 0.69 | 0.68 | 758 | ||||||||||||||||||||||||||||||||||||||||||
Class Y |
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||
2018 |
$ | 10.46 | $ | 0.27 | $ | (0.18) | $ | 0.09 | $ | (0.32) | $ | | $ | (0.32) | $ | 10.23 | 0.82% | $ | 76 | 0.36% | 0.36% | 2.56% | 204% | |||||||||||||||||||||||||||||||||
2017 |
10.81 | 0.18 | (0.15) | 0.03 | (0.24) | (0.14) | (0.38) | 10.46 | 0.25 | 47 | 0.42 | 0.43 | 1.69 | 718 | ||||||||||||||||||||||||||||||||||||||||||
2016(3) |
10.76 | 0.02 | 0.11 | 0.13 | (0.06) | (0.02) | (0.08) | 10.81 | 1.26 | 69 | 0.43 | 0.45 | 0.80 | 718 |
* | 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) | Commenced operations on August 25, 2015. All ratios for the period have been annualized. |
(2) | Commenced operations on December 31, 2014. All ratios for the period have been annualized. |
(3) | Commenced operations on October 30, 2015. All ratios for the period have been annualized. |
Amounts designated as are zero or have been rounded to zero.
The accompanying notes are an integral part of the financial statements.
SEI Daily Income Trust / Annual Report / January 31, 2018 | 53 |
January 31, 2018
54 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 55 |
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2018
56 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 57 |
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2018
58 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
The following is a summary of annual fees payable to the Adviser, and Distributor and the voluntary expense limitations for each fund:
Advisory Fees | Shareholder Servicing Fees | Expense Limitations | ||||||||
Government Fund |
||||||||||
Class F |
0.07% | 0.25% | 0.20% | (3) | ||||||
Class CAA |
0.07% | 0.25% | 0.25% | (2) | ||||||
Government II Fund |
||||||||||
Class F |
0.07% | 0.25% | 0.20% | (2) | ||||||
Treasury Fund |
||||||||||
Class F |
0.07% | 0.25% | 0.20% | (2) | ||||||
Treasury II Fund |
||||||||||
Class F |
0.07% | 0.25% | 0.20% | (2) | ||||||
Ultra Short Duration Bond Fund |
||||||||||
Class F |
0.10%(4) | 0.25% | 0.38% | (1) | ||||||
Class Y |
0.10%(4) | % | 0.30% | (1) | ||||||
Short-Duration Government Fund |
||||||||||
Class F |
0.09%(5) | 0.25% | 0.48% | (1) | ||||||
Class Y |
0.09%(5) | % | 0.38% | (1) | ||||||
GNMA Fund |
||||||||||
Class F |
0.09%(5) | 0.25% | 0.63% | (1) | ||||||
Class Y |
0.09%(5) | % | 0.43% | (1) |
(1) | Represents a voluntary cap that may be discontinued at any time. |
(2) | Represents a contractual cap effective through May 31, 2018, to be changed only by board approval. |
(3) | Represents a contractual cap of .25% of Class F (formerly Class A), effective through May 31, 2018 , to be changed only by Board approval. In addition, management has voluntarily waived fees to a cap of ..20 of Class F (formerly Class A) that may be discontinued at any time. |
(4) | The Adviser receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Ultra Short Duration Bond Fund. The fee is calculated based on the net assets of the Ultra Short Duration Bond Fund. |
(5) | The Adviser receives an annual fee equal to .10% on the first $500 million of net assets, .075% of net assets between $500 million and $1 billion and .05% on the net assets in excess of $1 billion for the Short-Duration Government and GNMA Funds. The fee is a blended percentage and is calculated based on the combined assets of these Funds. |
The following is a summary of annual fees payable to the Administrator:
Previous Administration Fees |
Administration Fees as of January 1, 2017 | |||||||||||||||||||||||
1/31/16-12/31/16 | First $1.5 Billion of Assets |
Next $500 Million of Assets |
Next $500 Million of Assets |
Next $500 Million of Assets |
Over $3 Billion of Assets |
|||||||||||||||||||
SDIT Government Fund |
0.240% | 0.150% | 0.1375% | 0.1250% | 0.1125% | 0.100% | ||||||||||||||||||
SDIT Government II Fund |
0.190% | 0.150% | 0.1375% | 0.1250% | 0.1125% | 0.100% | ||||||||||||||||||
SDIT Treasury Fund |
0.240% | 0.150% | 0.1375% | 0.1250% | 0.1125% | 0.100% | ||||||||||||||||||
SDIT Treasury II Fund |
0.240% | 0.150% | 0.1375% | 0.1250% | 0.1125% | 0.100% | ||||||||||||||||||
SDIT Ultra Short Duration Bond Fund |
0.300% | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% | ||||||||||||||||||
SDIT Short-Duration Government Fund |
0.300% | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% | ||||||||||||||||||
SDIT GNMA Fund |
0.300% | 0.200% | 0.1775% | 0.1550% | 0.1325% | 0.110% |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 59 |
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2018
The tax character of dividends and distributions during the last two fiscal years was as follows:
60 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
Ordinary Income ($ Thousands) |
Long-term Capital Gain ($ Thousands) |
Total ($ Thousands) |
||||||||||||||
Government Fund |
||||||||||||||||
2018 | $ | 56,626 | $ | | $ | 56,626 | ||||||||||
2017 | 11,947 | | 11,947 | |||||||||||||
Government II Fund |
||||||||||||||||
2018 | 15,370 | | 15,370 | |||||||||||||
2017 | 3,105 | | 3,105 | |||||||||||||
Treasury Fund |
||||||||||||||||
2018 | 780 | | 780 | |||||||||||||
2017 | 281 | | 281 | |||||||||||||
Treasury II Fund |
||||||||||||||||
2018 | 4,142 | | 4,142 | |||||||||||||
2017 | 862 | | 862 | |||||||||||||
Ultra Short Duration Bond Fund |
||||||||||||||||
2018 | 4,570 | | 4,570 | |||||||||||||
2017 | 2,957 | | 2,957 | |||||||||||||
Short-Duration Government Fund |
||||||||||||||||
2018 | 13,434 | | 13,434 | |||||||||||||
2017 | 9,845 | | 9,845 | |||||||||||||
GNMA Fund |
||||||||||||||||
2018 | 2,737 | | 2,737 | |||||||||||||
2017 | 3,710 | 365 | 4,075 |
As of January 31, 2018, 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) |
Late Year Ordinary Losses ($ Thousands) |
Unrealized Appreciation (Depreciation) ($ Thousands) |
Other Temporary Differences ($ Thousands) |
Total Distributable Earnings (Accumulated Losses) ($ Thousands) | |||||||||||||||||||||||
Government Fund |
$ | 6,867 | $ | | $ | (39) | $ | | $ | | $ | | $ | (6,879) | $ (51) | |||||||||||||||
Government II Fund |
2,147 | | | | | | (2,129) | 18 | ||||||||||||||||||||||
Treasury Fund |
98 | | | | | | (98) | | ||||||||||||||||||||||
Treasury II Fund |
589 | | | | | (3) | (573) | 13 | ||||||||||||||||||||||
Ultra Short Duration Bond Fund |
440 | | (17,724) | | | (458) | (437) | (18,179) | ||||||||||||||||||||||
Short-Duration Government Fund |
1,741 | | (10,734) | | | (8,449) | (1,133) | (18,575) | ||||||||||||||||||||||
GNMA Fund |
181 | | (2,430) | | | (225) | (191) | (2,665) |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 61 |
NOTES TO FINANCIAL STATEMENTS (Concluded)
January 31, 2018
62 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
REPORT OF INDEPENDENT REGISTERED ACCOUNTING FIRM
The Shareholders and Board of Trustees
SEI Daily Income Trust:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of SEI Daily Income Trust, comprised of the Government Fund, Government II Fund, Treasury Fund, Treasury II Fund, Ultra Short Duration Bond Fund, Short-Duration Government Fund, and GNMA Fund (collectively, the Funds), including the schedules of investments, as of January 31, 2018, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years in the five year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of January 31, 2018, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two year period then ended, and the financial highlights for each of the years in the five year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
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 are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of January 31, 2018, by correspondence with the custodian and brokers or by other appropriate auditing procedures when replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more SEI Funds investment companies since 2005.
Philadelphia, Pennsylvania
March 28, 2018
SEI Daily Income Trust / Annual Report / January 31, 2018 | 63 |
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of January 31, 2018.
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 positions 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 Trusts 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 70 yrs. old |
Chairman of the Board of Trustees* | since 1995 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | 104 | Vice Chairman of The Advisors Inner Circle Fund III, Winton Series Trust and Winton Diversified Opportunities Fund since 2014. Vice Chairman of Gallery Trust since 2015. President and Director of SEI Structured Credit Fund, LP. Director of SEI Global Master Fund plc, SEI Global Assets Fund plc, SEI Global Investments Fund plc, SEI InvestmentsGlobal Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe) Ltd., SEI Multi-Strategy Funds PLC, SEI Global Nominee Ltd and SEI InvestmentsUnit Trust Management (UK) Limited. Director and President of SEI Opportunity Fund, L.P. to 2010. President, Director and Chief Executive Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of The Advisors Inner Circle Fund, The Advisors Inner Circle Fund II, Bishop Street Funds, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The KP Funds and SEI Catholic Values Trust. | |||||
William M. Doran One Freedom Valley Drive Oaks, PA 19456 76 yrs. old |
Trustee* | since 1995 | 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. | 104 | Director of SEI since 1974; Secretary of SEI since 1978. Director of SEI Investments Distribution Co. since 2003. Director of SEI InvestmentsGlobal Funds Services, Limited, SEI Investments Global, Limited, SEI Investments (Europe), Limited, SEI Investments (Asia) Limited, SEI Global Nominee Ltd. and SEI InvestmentsUnit Trust Management (UK) Limited. Trustee of SEI Liquid Asset Trust from 1982 to 2016. Trustee of OConnor EQUUS from 2014 to 2016. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of The Advisors Inner Circle Fund, The Advisors Inner Circle Fund II, The Advisors Inner Circle Fund III, Winton Series Trust, Winton Diversified Opportunities Fund, Gallery Trust, Bishop Street Funds, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The KP Funds and SEI Catholic Values Trust. | |||||
TRUSTEES | ||||||||||
George J. Sullivan Jr. One Freedom Valley Drive, Oaks, PA 19456 73 yrs. old |
Trustee | since 1996 | Retired since January 2012. Self-Employed Consultant, Newfound Consultants Inc. April 1997-December 2011. | 104 | Member of the independent review committee for SEIs Canadian-registered mutual funds. Director of SEI Opportunity Fund, L.P. to 2010. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 1996 to 2016. Trustee/Director of State Street Navigator Securities Lending Trust, The Advisors Inner Circle Fund, The Advisors Inner Circle Fund II, Bishop Street Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The KP Funds and SEI Catholic Values Trust. |
* | Messrs. Nesher and Doran are Trustees who may be deemed as interested persons of the Trust as that term is defined in the 1940 Act by virtue of their affiliation with SIMC and the Trusts 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 Trusts 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, SEI Insurance Products Trust and New Covenant Funds. |
64 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
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) | ||||||||||
Nina Lesavoy One Freedom Valley Drive, Oaks, PA 19456 57 yrs. old |
Trustee | since 2003 | Founder and Managing Director, Avec Capital (strategic fundraising firm) since 2008. Managing Director, Cue Capital (strategic fundraising firm) from March 2002-March 2008. | 104 | Director of SEI Opportunity Fund, L.P. to 2010. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2003 to 2016. Trustee/Director of SEI Structured Credit Fund, L.P., SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust and SEI Catholic Values Trust. | |||||
James M. Williams One Freedom Valley Drive, Oaks, PA 19456 69 yrs. old |
Trustee | since 2004 | Vice President and Chief Investment Officer, J. Paul Getty Trust, Non-Profit Foundation for Visual Arts, since December 2002. President, Harbor Capital Advisors and Harbor Mutual Funds, 2000-2002. Director of SEI Alpha Strategy Portfolios, L.P. from 2007 to 2013. Manager, Pension Asset Management, Ford Motor Company, 1997-1999. | 104 | Director of SEI Opportunity Fund, L.P. to 2010. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013, Trustee of SEI Liquid Asset Trust from 2004 to 2016. Trustee/Director of Ariel Mutual Funds, SEI Structured Credit Fund, LP, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust and SEI Catholic Values Trust. | |||||
Mitchell A. Johnson One Freedom Valley Drive, Oaks, PA 19456 74 yrs. old |
Trustee | since 2007 | Private Investor since 1994. | 104 | Director, Federal Agricultural Mortgage Corporation (Farmer Mac) since 1997. Director of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Trustee of SEI Liquid Asset Trust from 2007 to 2016. Trustee of the Advisors Inner Circle Fund, The Advisors Inner Circle Fund II, SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust, The KP Funds and SEI Catholic Values Trust. | |||||
Hubert L. Harris, Jr. One Freedom Valley Drive, Oaks, PA 19456 73 yrs. old |
Trustee | since 2008 | Retired since December 2005. Owner of Harris Plantation, Inc. since 1995. Chief Executive Officer of Harris CAPM, a consulting asset and property management entity. Chief Executive Officer, INVESCO North America, August 2003-December 2005. Chief Executive Officer and Chair of the Board of Directors, AMVESCAP Retirement, Inc., January 1998- August 2003. | 104 | Director of AMVESCAP PLC from 1993-2004. Served as a director of a bank holding company, 2003-2009. Director, Aarons Inc., 2012-present. Chair of the Board of Trustees, Georgia Tech Foundation, Inc. (nonprofit corporation), 2007-2009, and member of the Executive Committee, 2003-2011; currently emeritus trustee. Member of the advisory board of the Georgia Tech Ivan Allen School of Liberal Arts and the Sam Nunn School of International Affairs, 2009-present. Member of the Board of Councilors of the Carter Center (nonprofit corporation). Director of SEI Alpha Strategy Portfolios, LP from 2008 to 2013. Trustee of SEI Asset Allocation Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust, Adviser Managed Trust and SEI Catholic Values Trust. | |||||
Susan C. Cote One Freedom Valley Drive Oaks, PA 19456 61 years old |
Trustee | since 2016 | Retired since July 2015. Americas Director of Asset Management, Ernst & Young LLP from 2006-2013. Global Asset Management Assurance Leader, Ernst & Young LLP from 2006-2015. Partner Ernst & Young LLP from 1997-2015. Prudential, 1983-1997. Retirement Investment Committee-Treasurer and Chair of Finance, Investment and Audit Committee of the New York Womens Foundation. Independent Consultant to SEI Liquid Asset Allocation Trust. | 104 | Trustee of SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Institutional International Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust, SEI Insurance Products Trust, Adviser Managed Trust and SEI Catholic Values Trust. | |||||
OFFICERS | ||||||||||
Robert A. Nesher One Freedom Valley Drive, Oaks, PA 19456 70 yrs. Old |
President and CEO | since 2005 | Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. | N/A | N/A | |||||
James J. Hoffmayer One Freedom Valley Drive Oaks, PA 19456 43 yrs. old |
Controller and Chief Financial Officer | since 2016 | Senior Director, Funds Accounting and Fund Administration, SEI Investments Global Funds Services (since September 2016); Senior Director of Fund Administration, SEI Investments Global Funds Services (since October 2014). Director of Financial Reporting, SEI Investments Global Funds Services (November 2004 October 2014). | 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 Trusts 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, SEI Insurance Products Trust and New Covenant Funds. |
SEI Daily Income Trust / Annual Report / January 31, 2018 | 65 |
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 53 yrs. old |
Chief Compliance Officer | since 2006 | Chief Compliance Officer of SEI Institutional Investments Trust, SEI Institutional Managed Trust, SEI Asset Allocation Trust, SEI Institutional International Trust, SEI Tax Exempt Trust, The Advisors Inner Circle Fund, The Advisors Inner Circle Fund II and Bishop Street Funds since March 2006. Chief Compliance Officer of SEI Liquid Asset Trust from 2006 to 2016. Chief Compliance Officer of SEI Structured Credit Fund, LP June 2007. Chief Compliance Officer of Adviser Managed Trust since December 2010. Chief Compliance Officer of SEI Alpha Strategy Portfolios, LP from 2007 to 2013. Chief Compliance Officer of SEI Insurance Products Trust and The KP Funds since 2013. Chief Compliance Officer of OConnor EQUUS from 2014 to 2016. Chief Compliance Officer of The Advisors Inner Circle Fund III, Winton Series Trust and Winton Diversified Opportunities Fund since 2014. Chief Compliance Officer of SEI Catholic Values Trust and Gallery Trust since 2015. | N/A | N/A | |||||
Timothy D Barto One Freedom Valley Drive Oaks, PA 19456 48 yrs. old |
Vice President and Secretary | since 2002 | Vice President and Secretary of SEI Institutional Transfer Agent, Inc. since 2009. General Counsel and Secretary of SIMC and the Administrator since 2004. Vice President of SIMC and the Administrator since 1999. Vice President and Assistant Secretary of SEI since 2001. | N/A | N/A | |||||
Aaron Buser One Freedom Valley Drive, Oaks, PA 19456 45 yrs. old |
Vice President and Assistant Secretary | since 2008 | Vice President and Assistant Secretary of SEI Institutional Transfer Agent, Inc. since 2009. Vice President and Assistant Secretary of SIMC since 2007. Attorney Stark & Stark (law firm), March 2004-July 2007. | N/A | N/A | |||||
David F. McCann One Freedom Valley Drive, Oaks, PA 19456 40 yrs. old |
Vice President and Assistant Secretary | since 2009 | Vice President and Assistant Secretary of SEI Institutional Transfer Agent, Inc. since 2009. Vice President and Assistant Secretary of SIMC since 2008. Attorney, Drinker Biddle & Heath, LLP (law firm), May 2005 - October 2008. | N/A | N/A | |||||
Stephen G. MacRae One Freedom Valley Drive, Oaks, PA 19456 47 yrs. old |
Vice President | since 2012 | Director of Global Investment Product Management January 2004 - to present. Global Funds Services, March 2005 to June 2006. | N/A | N/A | |||||
Bridget E. Sudall One Freedom Valley Drive Oaks, PA 19456 36 yrs. old |
Anti-Money Laundering Compliance Officer and Privacy Officer | since 2015 | Anti-Money Laundering Compliance Officer and Privacy Officer (since 2015), Senior Associate and AML Officer, Morgan Stanley Alternative Investment Partners, April 2011-March 2015, Investor Services Team Lead, Morgan Stanley Alternative Investment Partners, July 2007-April 2011. | 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 Trusts 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, SEI Insurance Products Trust and New Covenant Funds. |
66 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
DISCLOSURE OF FUND EXPENSES (Unaudited)
January 31, 2018
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 funds gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the mutual funds average net assets; this percentage is known as the mutual funds 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 (August 1, 2017 to January 31, 2018).
The table on the next page illustrates your Funds 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 Funds 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 Funds 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 Funds 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 Funds actual return the account values shown do not apply to your specific investment.
SEI Daily Income Trust / Annual Report / January 31, 2018 | 67 |
DISCLOSURE OF FUND EXPENSES (Unaudited) (Concluded)
January 31, 2018
68 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AGREEMENT (Unaudited)
SEI Daily Income Trust (the Trust) and SEI Investments Management Corporation (SIMC) have entered into an investment advisory agreement (the Advisory Agreement). Pursuant to the Advisory Agreement, SIMC is responsible for the investment advisory services provided to the series of the Trust (the Funds). Pursuant to separate sub-advisory agreements with SIMC (the Sub-Advisory Agreements and, together with the Advisory Agreement, the Investment Advisory Agreements), and under the supervision of SIMC and the Trusts Board of Trustees (the Board), the sub-advisers (each, a Sub-Adviser and collectively, the Sub-Advisers) provide security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to the Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers skills and investment results in managing assets for specific asset classes, investment styles and strategies.
The Investment Company Act of 1940, as amended (the 1940 Act), requires that the initial approval of, as well as the continuation of, the Funds Investment Advisory Agreements be specifically approved: (i) by the vote of the Board or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or interested persons of any party (the Independent Trustees), cast in person at a meeting called for the purpose of voting on such approval(s). In connection with their consideration of such approval(s), the Funds Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual funds fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement.
Consistent with these responsibilities, the Board calls and holds meetings each year to consider whether to approve new and/or renew existing Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMCs and the Sub-Advisers affiliates, personnel and operations and the services provided pursuant to the Investment Advisory Agreements. The Board also receives data from third parties. This information is provided in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from counsel regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trusts Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.
Specifically, during the course of the Trusts fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMCs and the Sub-Advisers investment management and other services; (ii) SIMCs and the Sub-Advisers investment management personnel; (iii) SIMCs and the Sub-Advisers operations and financial condition; (iv) SIMCs and the Sub-Advisers brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC charges the Funds and the level of the sub-advisory fees that SIMC pays the Sub-Advisers, compared with fees each charge to comparable accounts (vi) the advisory fees charged by SIMC and the Funds overall fees and operating expenses compared with peer groups of mutual funds prepared by Broadridge, an independent provider of investment company data; (vii) the level of SIMCs and the Sub-Advisers profitability from their Fund-related operations; (viii) SIMCs and the Sub-Advisers compliance program, including a description of material compliance matters and material compliance violations; (ix) SIMCs potential economies of scale; (x) SIMCs and the Sub-Advisers policies on and compliance procedures for personal securities transactions; (xi) SIMCs and the Sub-Advisers expertise and resources in domestic and/or international financial markets; and (xii) the Funds performance over various periods of time compared with peer groups of mutual funds prepared by Broadridge and the Funds benchmark indexes.
At the March 2829, 2017 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. Also, each Sub-Advisory Agreement was either initially approved or, if the Sub-Advisory Agreement was already in effect (unless operating under an initial two-year term), renewed at meetings of the Board held during the course of the Trusts fiscal year on March 2829, 2017 and September 1113, 2017. In each case, the Boards approval (or renewal) was based on its consideration and evaluation of the
SEI Daily Income Trust / Annual Report / January 31, 2018 | 69 |
BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AGREEMENT (Unaudited) (Concluded)
factors described above, as discussed at the meetings and at prior meetings. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of the Investment Advisory Agreements.
Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMCs and each Sub-Advisers personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds were sufficient to support the renewal of the Investment Advisory Agreements. In addition to advisory services, the Board considered the nature and quality of certain administrative, transfer agency and other non-investment advisory services provided to the Funds by SIMC and/or its affiliates.
Performance. In determining whether to renew SIMCs Advisory Agreement, the Trustees considered the Funds performance relative to their peer groups and appropriate indexes/benchmarks. The Trustees reviewed performance information for each Fund, noting that they receive performance reports that permit them to monitor each Funds performance at board meetings throughout the year. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In assessing Fund performance, the Trustees considered a report compiled by Broadridge, an independent third-party that was engaged to prepare an assessment of the Funds in connection with the renewal of the Advisory Agreement (the Broadridge Report). The Broadridge Report included metrics on risk analysis, volatility versus total return, net total return and performance consistency for the Funds and a universe of comparable funds. Based on the materials considered and discussed at the meetings, the Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied with the reasons provided to explain such performance. In connection with the approval or renewal of Sub-Advisory Agreements, the Board considered the performance of the Sub-Adviser relative to appropriate indexes/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds was sufficient to support renewal of SIMCs Advisory Agreement, and the performance of each Sub-Adviser was sufficient to support approval or renewal of the Sub-Advisory Agreement.
Fees. With respect to the Funds expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds net operating expense ratio in comparison to those of the Funds respective peer groups. In assessing Fund expenses, the Trustees considered the information in the Broadridge Report, which included various metrics related to fund expenses, including, but not limited to, contractual management fees at various asset levels, actual management fees (including transfer agent expenses), and actual total expenses for the Funds and a universe of comparable funds. Based on the materials considered and discussion at the meetings, the Trustees further determined that fees were either shown to be below the peer average in the comparative fee analysis, or that there was a reasonable basis for the fee level. The Trustees also considered the effects of SIMCs waiver of management and other fees to prevent total Fund operating expenses from exceeding a specified cap and concluded that SIMC, through waivers, has maintained the Funds net operating expenses at competitive levels for its distribution channels. In determining the appropriateness of fees, the Board also took into consideration the impact of fees incurred indirectly by the Funds as a result of investments into underlying funds, including funds from which SIMC or its affiliates earn fees. The Board also took into consideration compensation earned from the Funds by SIMC or its affiliates for non-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements. When considering fees paid to Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. The Board also considered whether the Sub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.
Profitability. With regard to profitability, the Trustees considered compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and
70 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
profitability were reasonable. As with the fee levels, when considering the profitability of the Sub-Advisers, the Board took into account the fact that compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. In connection with the approval or renewal of each Sub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to the Sub-Adviser have on SIMCs advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.
Economies of Scale. With respect to the Advisory Agreement, the Trustees considered whether any economies of scale were being realized by SIMC and its affiliates and, if so, whether the benefits of such economies of scale were passed along to the Funds shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on a fund-by-fund basis. Based on this evaluation, the Board determined that the fees were reasonable in light of the information that was provided by SIMC with respect to economies of scale.
Based on the Trustees deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees counsel, unanimously approved the approval or renewal, as applicable, of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.
SEI Daily Income Trust / Annual Report / January 31, 2018 | 71 |
NOTICE TO SHAREHOLDERS (Unaudited)
For shareholders that do not have a January 31, 2018, taxable year end, this notice is for information purposes only. For shareholders with a January 31, 2018, taxable year end, please consult your tax adviser as to the pertinence of this notice.
For the fiscal year ended January 31, 2018, 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 | ||||||
Government Fund |
0.00% | 100.00% | 100.00% | 68.61%* | 99.99% | 0.00% | ||||||
Government II Fund |
0.00% | 100.00% | 100.00% | 100.00%* | 99.89% | 100.00% | ||||||
Treasury Fund |
0.00% | 100.00% | 100.00% | 64.47%* | 99.77% | 100.00% | ||||||
Treasury II Fund |
0.00% | 100.00% | 100.00% | 100.00%* | 99.90% | 100.00% | ||||||
Ultra Short Duration Bond Fund |
0.00% | 100.00% | 100.00% | 4.45%* | 99.91% | 0.00% | ||||||
Short-Duration Government Fund |
0.00% | 100.00% | 100.00% | 13.11%* | 99.97% | 0.00% | ||||||
GNMA Fund |
0.00% | 100.00% | 100.00% | 0.00%* | 97.46% | 0.00% |
Items (A), (B), (C) are based on the percentage of the Funds 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.
72 | SEI Daily Income Trust / Annual Report / January 31, 2018 |
SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2018
SEI | New ways. New answers.® | |
1 Freedom Valley Drive, P.O. Box 1100, Oaks, PA 19456 |
SEI-F-022 (1/18)
Item 2. | Code of Ethics. |
The Registrant has adopted a code of ethics that applies to the Registrants 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 Registrants Board of Trustees has determined that the Registrant has at least two audit committee financial experts serving on the audit committee.
(a) (2) The audit committee financial experts are Susan Cote, George J. Sullivan, Jr. and Hubert L. Harris, Jr. Messrs. Cote, 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 last two fiscal years as follows:
Fiscal 2018 | Fiscal 2017 | |||||||||||||
All fees
and approved |
All fees and approved |
All other fees affiliates that |
All fees
and approved |
All fees and approved |
All other fees affiliates that | |||||||||
(a) |
Audit Fees(1) | $139,930 | N/A | $0 | $136,500 | 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(2) | $0 | $341,057 | $0 | $0 | $326,979 | $0 |
Notes:
(1) | Audit fees include amounts related to the audit of the Registrants annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. |
(2) | See item 4(g)(1) for a description of the services comprising the fees disclosed in this category. |
(e)(1) The Registrants 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 Registrants 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 auditors 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 SECs rules and whether the provision of such services would impair the auditors 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 auditors 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 2018 | Fiscal 2017 | |||||||
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 2018 and 2017 were $341,057 and $326,979, respectively. Non-audit fees consist of SSAE No. 16 review of fund accounting and administration operations and an attestation report in accordance with Rule 17 Ad-13.
(h) During the past fiscal year, Registrants principal accountant provided certain non-audit services to Registrants investment adviser or to entities controlling, controlled by, or under common control with Registrants 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 Registrants Board of Trustees reviewed and considered these non-audit services provided by Registrants principal accountant to Registrants affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountants 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 Registrants Board of Trustees (the Board). Pursuant to the Committees Charter, adopted on June 18th, 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Trusts office.
Item 11. | Controls and Procedures. |
(a) The Registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrants 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 (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b)) or 240.15d-15(b)) as of a date within 90 days of the filing date of this report.
(b) There were no changes in the Registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the last fiscal quarter of the
period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.
Items 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Items 13. | 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 (17 CFR 270.30a-2(a)), are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(a)) 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 | ||||||
By: | /s/ Robert A. Nesher | |||||
Robert A. Nesher | ||||||
President & CEO |
Date: April 10, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Robert A. Nesher | |||||
Robert A. Nesher | ||||||
President & CEO |
Date: April 10, 2018
By: | /s/ James J. Hoffmayer | |||||
James J. Hoffmayer | ||||||
Controller & CFO |
Date: April 10, 2018
SEI TAX EXEMPT TRUST
SEI DAILY INCOME TRUST
SEI INSTITUTIONAL MANAGED TRUST
SEI INSTITUTIONAL INTERNATIONAL TRUST
SEI ASSET ALLOCATION TRUST
SEI INSTITUTIONAL INVESTMENTS TRUST
ADVISER MANAGED TRUST
NEW COVENANT FUNDS
SEI INSURANCE PRODUCTS TRUST
SEI CATHOLIC VALUES TRUST
SEI CAYMAN FOREIGN CORPORATIONS
Financial Officer Code of Ethics
1. | Introduction |
The reputation and integrity of SEI Liquid Asset Trust, SEI Tax Exempt Trust, SEI Daily Income Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Asset Allocation Trust, SEI Institutional Investments Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust, SEI Catholic Values Trust and SEI Cayman Foreign Corporations (each a Trust and, collectively, the Trusts) are valuable assets that are vital to the each Trusts success. The Trusts senior financial officers (SFOs) are responsible for conducting the Trusts business in a manner that demonstrates a commitment to the highest standards of integrity. The Trusts SFOs include the principal executive officer, the principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function.
The Sarbanes-Oxley Act of 2002 (the Act) effected sweeping corporate disclosure and financial reporting reform on public companies, including mutual funds, to address corporate malfeasance and assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under the Act, all public companies (including the Trusts) must either have a code of ethics for their SFOs, or disclose why they do not. The Act was intended to foster corporate environments which encourage employees to question and report unethical and potentially illegal business practices. Each Trust has chosen to adopt this Financial Officer Code of Ethics (the Code) to encourage its SFOs to act in a manner consistent with the highest principles of ethical conduct.
2. | Purposes of the Code |
The purposes of this Code are:
| To promote honest and ethical conduct by each Trusts SFOs, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
| To assist each Trusts SFOs in recognizing and avoiding conflicts of interest, including disclosing to an appropriate person any material transaction or relationship that reasonably could be expected to give rise to such a conflict; |
| To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Trusts file with, or submit to, the SEC and in other public communications made by the Trusts; |
| To promote compliance with applicable laws, rules and regulations; |
| To encourage the prompt internal reporting to an appropriate person of violations of this Code; and |
| To establish accountability for adherence to this Code. |
3. | Questions about this Code |
Each Trusts compliance officer designated to oversee compliance with the Trusts Code of Ethics adopted pursuant to Rule 17j-1 shall serve as Compliance Officer for the implementation and administration of this Code. You should direct your questions about this Code to the Compliance Officer.
4. | Conduct Guidelines |
Each Trust has adopted the following guidelines under which the Trusts SFOs must perform their official duties and conduct the business affairs of the Trust.
a) | Ethical and honest conduct is of paramount importance. Each Trusts SFOs must act with honesty and integrity and avoid violations of this Code, including the avoidance of actual or apparent conflicts of interest with the Trust in personal and professional relationships. |
b) | SFOs must disclose material transactions or relationships. Each Trusts SFOs must disclose to the Compliance Officer any actual or apparent conflicts of interest the SFO may have with the Trust that reasonably could be expected to give rise to any violations of this Code. Such conflicts of interest may arise as a result of material transactions or business or personal relationships to which the SFO may be a party. If it is not possible to disclose the matter to the Compliance Officer, it should be disclosed to the Trusts Chief Financial Officer, Chief Executive Officer or another appropriate person. In addition to disclosing any actual or apparent conflicts of interest in which an SFO is personally involved, the Trusts SFOs have an obligation to report any other actual or apparent conflicts which they discover or of which they otherwise become aware. If you are unsure whether a particular fact pattern gives rise to a conflict of interest, or whether a particular transaction or relationship is material, you should bring the matter to the attention of the Compliance Officer. |
c) | Standards for quality of information shared with service providers of the Trusts. Each Trusts SFOs must at all times seek to provide information to the Trusts service providers (adviser, administrator, outside auditor, outside counsel, custodian, etc.) that is accurate, complete, objective, relevant, timely, and understandable. |
d) | Standards for quality of information included in periodic reports. Each Trusts SFOs must at all times endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Trusts periodic reports. |
e) | Compliance with laws. Each Trusts SFOs must comply with the federal securities laws and other laws and rules applicable to the Trusts, such as the Internal Revenue Code. |
f) | Standard of care. Each Trusts SFOs must at all times act in good faith and with due care, competence and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated. Each Trusts SFOs must conduct the affairs of the Trust in a responsible manner, consistent with this Code. |
g) | Confidentiality of information. Each Trusts SFOs must respect and protect the confidentiality of information acquired in the course of their professional duties, except when authorized by the Trust to disclose it or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage. |
h) | Sharing of information and educational standards. Each Trusts SFOs should share information with relevant parties to keep them informed of the business affairs of the Trust, as appropriate, and maintain skills important and relevant to the Trusts needs. |
i) | Promote ethical conduct. Each Trusts SFOs should at all times proactively promote ethical behavior among peers in your work environment. |
j) | Standards for recordkeeping. Each Trusts SFOs must at all times endeavor to ensure that the Trusts financial books and records are thoroughly and accurately maintained to the best of their knowledge in a manner consistent with applicable laws and this Code. |
5. | Waivers of this Code |
You may request a waiver of a provision of this Code by submitting your request in writing to the Compliance Officer for appropriate review. For example, if a family member works for a service provider that prepares a Trusts financial statements, you may have a potential conflict of interest in reviewing those statements and should seek a waiver of this Code to review the work. An executive officer of each Trust, or another appropriate person (such as a designated Board or Audit Committee member), will decide whether to grant a waiver. All waivers of this code must be disclosed to the applicable Trusts shareholders to the extent required by SEC rules.
6. | Affirmation of the Code |
Upon adoption of the Code, each Trusts SFOs must affirm in writing that they have received, read and understand the Code, and annually thereafter must affirm that they have complied with the requirements of the Code. To the extent necessary, each Trusts Compliance Officer will provide guidance on the conduct required by this Code and the manner in which violations or suspected violations must be reported and waivers must be requested.
7. | Reporting Violations |
In the event that an SFO discovers or, in good faith, suspects a violation of this Code, the SFO must immediately report the violation or suspected violation to the Compliance Officer. The Compliance Officer may, in his discretion, consult with another member of the Trusts senior management or the Board in determining how to address the suspected violation. For example, a Code violation may occur when a periodic report or financial statement of a Trust omits a material fact, or is technically accurate but, in the view of the SFO, is written in a way that obscures its meaning.
SFOs who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated as confidential to the extent possible.
8. | Violations of the Code |
Dishonest or unethical conduct or conduct that is illegal will constitute a violation of this Code, regardless of whether this Code specifically refers to such particular conduct. A violation of this Code may result in disciplinary action, up to and including removal as an SFO of the Trust. A variety of laws apply to the Trusts and their operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Trust officers, and criminal laws. The Trusts will report any suspected criminal violations to the appropriate authorities, and will investigate, address and report, as appropriate, non-criminal violations.
CERTIFICATION
Pursuant to Section 302
of the Sarbanes-Oxley Act of 2002
I, Robert A. Nesher, certify that:
1. I have reviewed this report on Form N-CSR of SEI Daily Income Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;
4. The Registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the Registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the Registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and
5. The Registrants other certifying officer(s) and I have disclosed to the Registrants auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrants internal control over financial reporting.
Date: April 10, 2018
/s/ Robert A. Nesher |
Robert A. Nesher |
President & CEO |
CERTIFICATION
Pursuant to Section 302
of the Sarbanes-Oxley Act of 2002
I, James J. Hoffmayer, certify that:
1. I have reviewed this report on Form N-CSR of SEI Daily Income Trust;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Registrant as of, and for, the periods presented in this report;
4. The Registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the Registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the Registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrants internal control over financial reporting; and
5. The Registrants other certifying officer(s) and I have disclosed to the Registrants auditors and the audit committee of the Registrants board of directors (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Registrants ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Registrants internal control over financial reporting.
Date: April 10, 2018
/s/ James J. Hoffmayer |
James J. Hoffmayer |
Controller & CFO |
CERTIFICATION
Pursuant to Section 906
of the Sarbanes-Oxley Act of 2002
The undersigned, the President and Chief Executive Officer of the SEI Daily Income Trust (the Fund), with respect to the Funds Form N-CSR for the year ended January 31, 2018 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge:
1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund.
Dated: April 10, 2018
/s/ Robert A. Nesher |
Robert A. Nesher |
President & CEO |
CERTIFICATION
Pursuant to Section 906
of the Sarbanes-Oxley Act of 2002
The undersigned, the Controller & CFO of the SEI Daily Income Trust (the Fund), with respect to the Funds Form N-CSR for the year ended January 31, 2018 as filed with the Securities and Exchange Commission, hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of my knowledge:
1. such Form N-CSR fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
2. the information contained in such Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Fund.
Dated: April 10, 2018
/s/ James J. Hoffmayer |
James J. Hoffmayer |
Controller & CFO |
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