SEI Daily Income Trust
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)
Timothy D. Barto, Esq.
SEI Investments
One Freedom Valley Drive
Oaks, PA 19456
(Name and address of agent for service)
Registrants
telephone number, including area code: 1-610-676-1000
Date of fiscal year end: January 31, 2019
Date of reporting period: January 31, 2019
Item 1. |
Reports to Stockholders. |
January 31, 2019
ANNUAL REPORT
SEI Daily Income Trust
> Government Fund
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Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds
shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made
available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you
already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by
contacting your financial intermediary.
You may elect to receive all future reports in paper free of charge. If you invest through a financial
intermediary, you can follow the instructions included with this disclosure, if applicable, or you can contact your financial intermediary to inform it that you wish to continue receiving paper copies of your shareholder reports. If you invest
directly with the Funds, you can inform the Funds that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-DIAL-SEI. Your election to receive reports in paper will apply to all funds held with the SEI Funds or
your financial intermediary.
TABLE OF CONTENTS
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.
LETTER TO SHAREHOLDERS
January 31, 2019
To Our Shareholders
After an extended period of historical calm and steady gains, volatility returned to financial markets during the fiscal year ending January 31, 2019, with a
selloff toward the end of the reporting period that sent most global indexes into or near bear market territory. Trade war fears, Italian budget negotiations, ongoing Brexit discussions, and a flattening U.S. yield curve all weighed on investor
expectations. The ongoing U.S. and China trade dispute hit a boiling point in the second half of 2018, resulting in a tit-for-tat strategy that saw various threats of tariffs from both parties.
Many of the expectations we had at the start of the Funds most recently completed fiscal year, from the start of January 2018 through the end of December 2018,
were actualized. The pace of interest-rate increases by the Federal Reserve (Fed) largely followed the markets projections. Short-term rates rose by a greater magnitude than long-term rates after the Federal Reserve raised rates
four times during the reporting period, and the yield-curve flattened to a post-recession low.
The European Central Bank ended its bond-buying program at the end
of 2018 but made assurances that it would reinvest maturing securities for some time to help keep rates low. The Japanese yen finished the period slightly higher against the U.S. dollar as the Bank of Japan (BOJ) held monetary policy
stable through the fiscal year; the currency was also viewed as a safe-haven asset during equity market selloffs both early and late in the year. Driven by trade-related tensions, Chinas currency slid to a 10-year low against the U.S. dollar
toward the end of the fiscal period before a slight recovery late in the year.
Oil prices rose for much of the fiscal year to a four-year high, supported by
geopolitical tensions and news that Saudi Arabia and Russia would extend an agreement to curb output. However, growing concerns over falling demand and increasing global supply, along with a broad selloff in risk assets, helped drive a correction
that sent the commodity down as much as 40% from its earlier highs during the last three months of the year.
Geopolitical Events
U.S. elections in early November 2018 produced a partial shift in power away from Republicans and toward Democrats in Congress and statehouses across the country. The
new balance of authority in Congress should substantially limit the ability of President Donald Trump and Republicans to pass meaningful legislation; it also enhances the investigatory powers available to Democrats, thereby adding to political risk
for the Trump administration.
The partial shutdown of the U.S. government lasted over a month due to an impasse between Congress and President Trumps
administration about whether to fund a multi-billion dollar wall on the U.S.-Mexico border championed by the president. Trump ultimately relented just before the end of the fiscal period, enabling federal workers to receive pay again and setting up
a three-week negotiation window.
A meeting between Trump and North Korean Supreme Leader Kim Jong-Un garnered headlines but ended with vague commitments. President
Trump backed out of a multi-party nuclear disarmament agreement with the Iranian Republic and re-imposed sanctions on Iran despite the International Atomic Energy Agencys assurance that Iran remained compliant with the terms of the accord; all
other original signatories to the deal remained committed.
The U.S. escalated its trade fight with China during the fiscal year, enacting tariffs of 10% on $200
billion of Chinese products and promising to increase them to 25% in the New Year. President Trump pointed to an additional prospective $267 billion in Chinese products that could also be subjected to tariffs if China were to retaliatewhich it
did, although on a significantly smaller scale (applying duties of 5% to 10% on $60 billion of U.S. exports to China). China asked the World Trade Organization to impose sanctions on the U.S. during the reporting period in response to disputes
dating back several years. The situation improved after the countries leaders conducted a trade-focused meeting on the sidelines of the early-December G20 summit, agreeing to delay punitive actions and producing a three-month roadmap toward
more substantive progress.
NAFTAs successor came into focus during the yearfirst when the U.S. and Mexico came to an agreement in August, and then when
the U.S. and Canada finally ironed out their differences in the last few hours of September. Now called the United States-Mexico-Canada Agreement, the revised deal is expected to strengthen its
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LETTER TO SHAREHOLDERS (Continued)
January 31, 2019
predecessors provisions and improve labor standards. The U.S. is projected to offer Canada and Mexico relief from
automobile-related trade barriers as a result of the new agreement, although aluminum and steel tariffs will remain.
A raft of overseas political surprises
unfolded during the reporting period. The anti-EU implications of a new Italian government taking shape rattled financial markets in May, then again as a rejection of the coalitions first choice for economy minister seemed to set the stage for
another round of elections and associated delays. Spains government also experienced turnover as center-right Prime Minister Mariano Rajoy suffered a no-confidence vote and was replaced by socialist leader Pedro Sanchez at the beginning of
June. U.K. Prime Minister Theresa May declared that Brexit negotiations had reached an impasse after EU leaders rejected her so-called Chequers plan, which had become a rallying point for cabinet officials. The U.K. Parliament also rejected
Mays deal, with the vote coming only 10 weeks before Britain was scheduled to leave the EU.
Economic Performance
U.S. economic growth slowed to 2.0% annualized at the start of the fiscal periodin line with the typically mild pace of the three-month period ending March, yet
slower than the rate of expansion recorded in the fourth quarter. Second-quarter GDP grew 4.2%, its highest annualized growth rate since 2014, primarily on strong business expenditures and a jump in exports ahead of expected retaliatory tariffs.
Consumer spending also accelerated, by 4.0%, after growing by the slowest rate in five years during the previous quarter. Third-quarter GDP was a still-solid 3.4%, pointing to a slight drop in consumer spending and a broader decline in exports.
The labor market remained robust throughout the year: the unemployment rate fell, finishing the period at 4.0%, after touching 3.7% earlier in the year, a 49-year low;
the labor-force participation rate ended at 63.2%, up slightly from a year ago. Average hourly earnings gained 3.2% over the year, although a modest increase in price pressures weighed on real personal income growth as the period progressed. The
historically strong labor market and improving wage growth helped boost the debt profile of the U.S. consumer. The Fed raised its target interest rate four times during the period and continued to unwind its balance sheet, with the pace accelerating
to $40 billion per month by the end of the year, a reversal of the quantitative easing that has been supportive of bond prices in recent years.
Market Developments
For the fiscal year ending January 31, 2019, growth stocks, in general, outperformed value stocks. The U.S. equity market experienced a significant decline
during the second half of the fiscal year as concerns about rising interest rates, trade issues, and softening global economic growth weighed on investor sentiment. The highly-cyclical materials and energy sectors experienced significant selloffs,
while the healthcare and utilities sectors, in particular, outperformed and helped mitigate some damage in the falling market. However, the fiscal year closed on a strong note, as the final month was the best January for equities in thirty years.
The final quarter of the fiscal period erased most major index gains for the year; the Russell 1000 Growth Index finished up just 0.24%, while the Russell 1000
Value Index declined 4.81% over the same period.
Large-cap stocks outperformed, with U.S. large caps (Russell 1000 Index) outpacing small caps (Russell 2000
Index), falling 2.17% and 3.52%, respectively.
The risk-off sentiment that pushed global equities lower overall was also visible in fixed-income markets, with
high-yield underperforming government bonds. A continuing theme for U.S. fixed-income markets was the flattening yield curve, as short-term yields rose more than long-term yields. In early December, the spread between 2-year and 10-year Treasury
bonds compressed to 11 basis points, its narrowest point in more than 11 years. At the same time, the spread between 2-year and 5-year Treasurys inverted, as did the spread between 3-year and 5-year Treasurys. The Federal Open Market Committee
increased the federal-funds rate in mid-Decemberthe fourth time in 2018while softening its projections for future rate increases. The rate hike pushed short-term yields higher, while increases in longer-term bond yields were more muted
as inflation and long-term economic growth expectations remained subdued. Yields for 10-year government bonds declined and ended the period nine basis points lower at 2.63%, while 2-year yields climbed 31 basis points during the year, to 2.45%.
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
Front-end Treasury yields moved higher in response to the Fed increasing the fed-funds target rate to 2.25%-2.50%, marking
the fourth rate hike during the reporting period and ninth during this tightening cycle. Jerome Powell succeeded Janet Yellen as Fed Chair, and Randal Quarles was named vice chair for bank supervision. Marvin Goodfriend, a former Fed economist, was
chosen to fill one of three open governor seats just before the start of the fiscal period; however, his nomination appeared in limbo after the year ended without a Senate confirmation or re-nomination with the current Congress. President Trump
signed the Tax Cuts and Jobs Act into law just prior to the start of the reporting period, 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 mixed. The Bloomberg Commodity Total Return Index (which represents the broad commodity market) sunk 8.23% during the period, driven by declines in oil prices and trade concerns in the metals sector; the Bloomberg Barclays US TIPS Index (USD)
edged 0.93% higher.
Global fixed income, as measured by the Bloomberg Barclays Global Aggregate Index, slipped 0.88% in U.S. dollar terms during the reporting
period; the high-yield market did better, with the ICE BofAML US High Yield Constrained Index up 1.57%.
U.S. investment-grade corporate debt was slightly higher,
as the Bloomberg Barclays Investment Grade US Corporate Index returned 0.75%. Despite headwinds from rising interest rates, both U.S. asset-backed securities and mortgage-backed securities also managed gains during the fiscal year.
Our View
As painful as 2018 was for risk assets, their gyrations were not outside
the norm. Instead, given our views that the global economy will continue to grow and that market participants are overreacting to the concerns of the day, we see another critical risk-on opportunity developing in equities and other risk assets. We
believe a rebalancing of assets back toward undervalued equity classes is an appropriate and timely response.
We still view the U.S. economic position as
reasonably solid. Points of strength include the improving economic status of U.S. households as labor markets tighten and real wage growth accelerates, while increased government spending has also helped. With Democrats controlling the House of
Representatives and Republicans holding power in the Senate, any fiscal-policy agreement made during a period of political gridlock will likely mean slightly more federal-government spendingnot less.
The decline in energy prices is especially good news for the broader economy since it reduces concerns about inflation accelerating beyond the Feds comfort zone
anytime soon. It also lowers costs for consumers and businesses on a broad range of petroleum-based products.
Some Fed officials, including Chairman Powell
himself, explicitly acknowledge that the federal-funds rate now is near a level that can be considered neither stimulative nor deflationary. We are penciling in just one rate increase in 2019, and perhaps one in 2020but these are just guesses.
The critical thing to remember is that the central bank is adopting a wait-and-see approach to monetary policy and has ended the nearly automatic quarterly rate increases of 2017 and 2018.
We think the odds favor a rebound in U.S. equity prices for the following reasons:
The U.S. economy should continue to grow, and corporate earnings per share are expected to post a
mid-to-high single-digit gain in 2019.
Valuations for the S&P 500 Index have declined from
almost 19 times one-year forward earnings per share to an attractive level of nearly 14 times following the decline in share prices.
U.S. bond yields remain rather low and have moved down again in late 2018, bolstering the case for
riskier assets.
Investor risk aversion has increased, and we think much of the bad news of recent
months is reflected in current stock pricescreating space for potential upside surprises on trade wars, the Feds policy path, Brexit, corporate profits and elsewhere.
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
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LETTER TO SHAREHOLDERS (Concluded)
January 31, 2019
Fiscal policy will not be the active catalyst for
growth in the U.S. that it was in 2018, but the impact of political gridlock should still be mildly expansionary.
As for Brexit, we believe its unlikely that
the U.K. will fall out of the EU without some deal in place. A no-deal divorce would deliver a mighty blow to the economy. In our view, the real choice now is between Prime Minister Mays Brexit deal or no Brexit at all. A no-Brexit-at-all
scenario could take one of two forms. The U.K. government could unilaterally revoke Article 50, basically calling off the divorce from the EU. The second alternative is to go back to voters and hold a second referendum. Although the legality would
be disputed, we think this is the far more likely scenario. The financial markets probably would respond quite positively to this decision, yet the next few months could still be volatile as the late-March Brexit date nears.
Although the European banking system is in better shape than it was in the immediate aftermath of the global financial crisis, it is still vulnerable at a time when the
ECB is in a holding pattern, policy-wise, and possesses only a few options in the event of a financial emergency. Equity-market valuations reflect a lack of enthusiasm for Europes economic prospects: the MSCI European Economic and Monetary
Union (EMU) Index price-to-earnings ratio has sunk to less than 12 times from nearly 15 times at the start of the year. Note that European equities outperformed U.S. equities in the fourth quarter of 2018.
We are leaning on the optimistic side for emerging markets in 2019. The valuation piece is already in place, in our opinion, with the price-to-forward-earnings ratio
collapsing from 13 times at the end of January to 10.5 by year-end. But what could be the catalyst for a turnaround? Significant debt expansions in China typically lead to big gains in emerging-market equities. The question is whether the Chinese
government has the will to go back to the debt well one more time.
It surely would be a big positive for the country if the threat of tariffs was negotiated away,
but were not holding our breath. On the contrary, the U.S.-China economic relationship will likely continue to deteriorate as the Trump administration seeks to level the playing fieldeven if it means a less efficient global trading
system. When push comes to shove, the Chinese government will probably get even more aggressive in easing lending constraints if the situation warrants.
Commodity
prices and the earnings of emerging-market companies are closely correlated inversely with the movements of the U.S. dollar. For most of 2018, the dollar gained against other currencies, putting downward pressure on commodity prices and the earnings
of energy and materials companies that are a large part of the MSCI Emerging Markets Index. In 2017, the opposite conditions held.
We are looking for another
change in the dollars trend in 2019. In our view, U.S. economic and corporate-earnings performance will move toward that of other developed countries. If there are positive developments in some of the pressure-point issues that have roiled
markets, investment capital could flow away from the U.S. and back into the worldthereby removing an important source of support for the U.S. currency and a significant headwind from the rest of the world. This potential for a reversal in
investment flows could accelerate if Fed policy becomes more dovish than currently projected by the central bank.
The awful performance of risk assets in the
fourth quarter can certainly prey on investors emotions. But the global economy is not exactly in dire straits. Yes, there are an unusually large number of uncertainties and concerns, some of which could have a material impact on growth if the
worst comes to pass. However, even in an extraordinarily unfavorable economic scenario in which the tariff wars with China and other countries deepen and the Fed raises interest rates too far and too fast, we doubt that the U.S. economy would
experience anything worse than a garden-variety recession by 2021. The economic and credit excesses that usually precede a deeper recession arent to be found.
During periods of market volatility like the one weve been going through, we make sure to remind investors about the importance of sticking with a strategic and
disciplined approach to investing that is consistent with personal goals and risk tolerances. Diversification is the key to that approach, and the construction of portfolios is consistent with our long-term capital market assumptions.
Ultimately, the value of our assumptions is not in their accuracy as point estimates, but in their ability to capture relevant relationshipsas well as changes in
those relationships as a function of economic and market influences.
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
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
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
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MANAGEMENTS DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
January 31, 2019
Ultra Short Duration Bond Fund
I. Objective
The Ultra Short Bond
Duration Fund (the Fund) seeks to provide a higher current income than typically offered by a money-market fund while maintaining a high degree of liquidity and a correspondingly higher risk of principal volatility.
II. Investment Approach
The Fund uses a multi-manager approach, relying on a number
of sub-advisors with differing investment approaches to manage portions of the Funds portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). For the one-year period ending January 31, 2019,
the sub-advisors were Wellington Management Company, LLP (Wellington) and Logan Circle Partners, L.P. (Logan Circle). There were no manager changes during the period.
III. Return
For the full year ended January 31, 2019, the Ultra Short Duration
Bond Fund, Class F, returned 2.13%. The Funds benchmarkBloomberg Barclays Short U.S. Treasury 9-12 Month Indexreturned 2.10%.
IV. Performance
Discussion
As noted in the shareholder letter, the Federal Reserve raised rates four times during the fiscal year ending January 31, 2019; shorter-term
interest rates increased and benefited the Funds short duration posture. Additionally, the Funds barbell yield-curve positionan underweight to the one-year part of the curve and an overweight to longer-duration securities between
two and five years (which helped to hedge the Funds credit exposure)was additive as rates rose and that part of the curve inverted, resulting in one-year U.S. Treasury yields higher than 5-year yields.
The Funds return was driven by strong performance across a number of investment-grade credit sectorsparticularly financials and industrialsas well as
allocations to several asset-backed securities (ABS) sectors and non-agency mortgage-backed securities (MBS).
The Funds overweight to
financials, specifically banking, contributed to outperformance, as banks performed well on a relative basis due to attractive fundamentals. The Funds overweight to industrials also added as the spread sector outperformed the short Treasury
benchmark.
A significant allocation to specific ABS sectors contributed to outperformance. Consumer-related ABS sub-sectors, such as
auto securitizations and credit cards, performed well; the U.S. consumer remained resilient, and advancing wages supported sector fundamentals. Moreover, higher wages and low unemployment levels continued to provide support to the Funds
allocation to non-agency mortgage bonds; however, as mortgage rates have increased, the growth rate in house price appreciation has begun to slow and is starting to show declines on a month-to-month basis.
Both sub-advisors, Logan Circle and Wellington, contributed to Fund outperformance. Both benefited from similar exposures that contributed to outperformance, including
financials, industrials, consumer-related ABS and non-agency MBS. The Funds short duration positioning and yield-curve posture were also additive for both sub-advisors. An allocation to cash detracted.
The Fund used Treasury futures to efficiently manage duration and yield-curve exposures. Additionally, the Fund used to-be-announced (TBA) forward contracts
(TBA contracts confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies that issue or guarantee MBSFannie Mae, Freddie Mac and GNMA) to manage market exposures. None of these had a meaningful
impact on the Funds performance.
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
Ultra Short Duration Bond Fund:
AVERAGE ANNUAL TOTAL RETURN1
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One Year Return |
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Annualized 3-Year Return |
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Annualized
5-Year Return |
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Annualized 10-Year Return |
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Annualized Inception to Date |
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Class F |
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2.13% |
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1.68% |
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1.22% |
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2.35% |
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3.04% |
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Class Y |
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2.11% |
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1.76% |
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N/A |
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N/A |
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1.60% |
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Bloomberg Barclays Short U.S. Treasury 9-12 Month Index |
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2.10% |
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1.16% |
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0.80% |
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0.65% |
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2.99% |
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Comparison of Change in the Value of a $10,000 Investment in the Ultra Short Duration Bond Fund, Class F and Class Y, versus the
Bloomberg Barclays Short U.S. Treasury 9-12 Month Index.
1 |
For the periods ended January 31, 2019. Past performance is no indication of future performance. Class F Shares were
offered beginning 9/28/93. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
N/A Not Available.
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
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MANAGEMENTS DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
January 31, 2019
Short-Duration Government Fund
I. Objective
The Short-Duration
Government Fund (the Fund) seeks to preserve principal value and maintain a high degree of liquidity while providing current income.
II. Investment
Approach
The Fund uses a sub-advisor to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). For the one-year period
ending January 31, 2019, the sub-advisor was Wellington Management Company, LLP (Wellington). No manager changes were made during the period.
III.
Returns
For the full year ended January 31, 2019, the Short-Duration Government Fund, Class F, returned 1.48%. The Funds benchmarkBofA Merrill
Lynch 1-3 Year U.S. Treasury Bond Indexreturned 2.15%.
IV. Performance Discussion
As noted in the shareholder letter, the Federal Reserve raised rates four times during the fiscal year ending January 31, 2019; however, despite this overall
headwind, the Fund generated positive absolute returns over the reporting period.
The Funds allocation to agency mortgage-backed securities (MBS)
added to relative performance. MBS generated slightly negative excess returns over the period, but the Funds allocation to securities with positive excess returns, such as higher-coupon Government National Mortgage Association bonds and
multi-family conventional MBS with stable cash flows, contributed; this positioning offset the headwinds from the Funds overweight to agency MBS. The Funds long duration position detracted from performance in the rising-rate environment;
however, this was mitigated by a yield-curve-flattening posture. Given that short-term U.S. Treasury yields rose more than longer-term rates, an overweight to the yield curve above ten years, along with an underweight to the curve below two years,
helped. An allocation to U.S. Treasury inflation-protected securities also detracted.
The Fund used derivatives on a limited basis. U.S. Treasury futures were used
to manage yield-curve exposure and overall portfolio duration. The Fund used Treasury futures and to-be-announced (TBA) forward contracts to manage duration, yield-curve and market exposures (TBA contracts confer the obligation to buy or
sell future debt obligations of the three U.S. government-sponsored agencies that issue or guarantee MBS
Fannie Mae, Freddie Mac and GNMA). Treasury futures detracted from Fund performance.
Short-Duration Government Fund:
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AVERAGE ANNUAL TOTAL RETURN1 |
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Annualized |
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Annualized |
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Annualized |
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Annualized |
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One Year |
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3-Year |
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5-Year |
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10-Year |
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Inception |
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Return |
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Return |
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Return |
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Return |
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to Date |
Class F |
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1.48% |
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0.71% |
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0.71% |
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1.44% |
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4.27% |
Class Y |
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1.63% |
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0.84% |
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N/A |
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N/A |
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0.83% |
BofA Merrill Lynch 1-3 Year U.S. Treasury Bond Index |
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2.15% |
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0.85% |
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0.83% |
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1.01% |
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4.40% |
Comparison of Change in the Value of a $10,000 Investment in the Short-Duration Government Fund, Class F and Class Y, versus the BofA
Merrill Lynch 1-3 Year U.S. Treasury Bond Index.
1 |
For the periods ended January 31, 2019. Past performance is no indication of future performance. Class F Shares were
offered beginning 2/17/87. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
N/A Not Available
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
MANAGEMENTS DISCUSSION AND ANALYSIS OF FUND PERFORMANCE
January 31, 2019
GNMA Fund
I. Objective
The GNMA Fund (the
Fund) seeks to preserve principal value and maintain a high degree of liquidity while providing current income.
II. Investment Approach
The Fund uses a sub-advisor to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). For the one-year period ending
January 31, 2019, the sub-advisor was Wellington Management Company, LLP (Wellington). No manager changes were made during the period.
III. Returns
For the full year ended January 31, 2019, the GNMA Fund, Class F, returned 2.54%. The Funds benchmarkBloomberg Barclays GNMA Indexreturned
2.97%.
IV. Performance Discussion
As noted in the shareholder letter, the
Federal Reserve raised rates four times during the fiscal year ending January 31, 2019; however, despite this overall headwind, the Fund generated positive absolute returns over the reporting period.
The Funds overweight to higher-coupon Government National Mortgage Association (GNMA) bonds contributed; the higher end of the coupon stack provided
more of a cushion in the rising-rate environment and generated stronger excess returns over the reporting period. An underweight to and selection within 30-year GNMA mortgage-backed securities (MBS) also helped drive positive Fund
performance. The Funds off-benchmark allocation to residential and multi-family conventional MBS securities generated positive excess returns and contributed to Fund performance.
The Funds modestly long duration position detracted during the fiscal year as rates generally rose.
The Fund used derivatives on a limited basis. U.S. Treasury futures were used to manage yield-curve exposure and overall portfolio duration. The Fund used Treasury
futures and to-be-announced (TBA) forward contracts to manage duration, yield-curve and market exposures (TBA contracts confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies that
issue or guarantee MBSFannie Mae, Freddie Mac and GNMA). Treasury futures detracted from the Funds performance. The Fund made selective use of mortgage derivatives, such as interest-only strip securities, principal-only strip securities
and
inverse floaters. The yields on these securities are sensitive to the expected or anticipated rate of principal payments
on the underlying assets, and principal payments may have a material effect on their yields. These instruments are purchased only when rigorous stress testing and analysis suggest that a higher return can be earned at similar or lower risk compared
to non-derivative securities.
GNMA Fund:
|
|
|
|
|
|
|
|
|
|
|
AVERAGE ANNUAL TOTAL RETURN1 |
|
|
|
|
|
|
Annualized |
|
Annualized |
|
Annualized |
|
Annualized |
|
|
One Year |
|
3-Year |
|
5-Year |
|
10-Year |
|
Inception |
|
|
Return |
|
Return |
|
Return |
|
Return |
|
to Date |
Class F |
|
2.54% |
|
1.05% |
|
2.10% |
|
3.43% |
|
5.72% |
Class Y |
|
2.88% |
|
1.31% |
|
N/A |
|
N/A |
|
1.60% |
Bloomberg Barclays GNMA Index |
|
2.97% |
|
1.37% |
|
2.14% |
|
3.25% |
|
6.05% |
Comparison of Change in the Value of a $10,000 Investment in the GNMA Fund, Class F and Class Y, versus the Bloomberg Barclays GNMA
Index.
1 |
For the periods ended January 31, 2019. Past performance is no indication of future performance. Class F Shares) were
offered beginning 3/20/87. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
N/A Not Available
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
9 |
|
Definition of Comparative Indices*
Bloomberg Barclays GNMA Index is a widely-recognized, capitalization-weighted index of 15-30 year fixed-rate securities backed by mortgage pools of GNMA.
Bloomberg Barclays Short U.S. Treasury 9-12 Month Index is a widely-recognized, market weighted index of U.S. Treasury Bonds with remaining maturities
between nine and twelve months.
BofA Merrill Lynch 1-3 Year U.S. Treasury Bond Index is a widely-recognized, unmanaged index that tracks the performance
of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than 3 years.
|
* |
An Index measures the market price of a specific group of securities in a particular market sector. You cannot invest
directly in an index. An index does not have an investment adviser and does not pay any commissions or expenses. If an index had expenses, its performance would be lower. |
|
|
|
10 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
SCHEDULE OF INVESTMENTS
January 31, 2019
Government Fund
Percentages are based
on total investments.
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
U.S. GOVERNMENT AGENCY OBLIGATIONS 48.1% |
|
FFCB |
|
|
|
|
|
|
|
|
2.412%, VAR ICE LIBOR USD 1 Month+-0.101%, 09/05/2019 |
|
$ |
16,760 |
|
|
$ |
16,760 |
|
2.463%, VAR ICE LIBOR USD 1 Month+-0.050%, 02/07/2020 |
|
|
79,365 |
|
|
|
79,364 |
|
2.458%, VAR ICE LIBOR USD 1 Month+-0.050%, 08/17/2020 |
|
|
25,255 |
|
|
|
25,255 |
|
2.479%, VAR ICE LIBOR USD 1 Month+-0.040%, 09/11/2020 |
|
|
33,895 |
|
|
|
33,894 |
|
2.539%, VAR ICE LIBOR USD 1 Month+0.025%, 12/14/2020 |
|
|
37,000 |
|
|
|
36,997 |
|
FFCB DN |
|
|
|
|
|
|
|
|
2.555%, 07/23/2019 (A) |
|
|
23,485 |
|
|
|
23,204 |
|
FHLB |
|
|
|
|
|
|
|
|
2.390%, VAR ICE LIBOR USD 1 Month+-0.130%, 02/01/2019 |
|
|
49,095 |
|
|
|
49,095 |
|
2.427%, VAR ICE LIBOR USD 1 Month+-0.080%, 02/04/2019 |
|
|
135,000 |
|
|
|
135,000 |
|
2.393%, VAR ICE LIBOR USD 1 Month+-0.110%, 02/22/2019 |
|
|
71,405 |
|
|
|
71,403 |
|
2.395%, VAR ICE LIBOR USD 1 Month+-0.115%, 02/25/2019 |
|
|
42,730 |
|
|
|
42,730 |
|
2.380%, VAR ICE LIBOR USD 1 Month+-0.130%, 02/25/2019 |
|
|
10,000 |
|
|
|
10,000 |
|
2.421%, VAR ICE LIBOR USD 1 Month+-0.100%, 03/08/2019 |
|
|
100,000 |
|
|
|
100,000 |
|
2.390%, VAR ICE LIBOR USD 1 Month+-0.120%, 03/25/2019 |
|
|
87,345 |
|
|
|
87,345 |
|
2.502%, VAR ICE LIBOR USD 3 Month+-0.320%, 03/27/2019 |
|
|
59,970 |
|
|
|
59,970 |
|
2.477%, VAR ICE LIBOR USD 3 Month+-0.320%, 04/09/2019 |
|
|
36,140 |
|
|
|
36,129 |
|
2.450%, 05/23/2019 |
|
|
49,870 |
|
|
|
49,870 |
|
2.392%, VAR ICE LIBOR USD 1 Month+-0.115%, 06/04/2019 |
|
|
58,135 |
|
|
|
58,135 |
|
2.616%, VAR ICE LIBOR USD 3 Month+-0.160%, 06/12/2019 |
|
|
23,955 |
|
|
|
23,953 |
|
2.424%, VAR ICE LIBOR USD 1 Month+-0.090%, 06/14/2019 |
|
|
108,320 |
|
|
|
108,320 |
|
2.632%, VAR ICE LIBOR USD 3 Month+-0.160%, 06/20/2019 |
|
|
55,365 |
|
|
|
55,365 |
|
2.458%, VAR ICE LIBOR USD 1 Month+-0.045%, 06/20/2019 |
|
|
10,430 |
|
|
|
10,430 |
|
2.430%, VAR United States Secured Overnight Financing Rate+0.040%, 06/21/2019 |
|
|
12,920 |
|
|
|
12,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
2.474%, VAR ICE LIBOR USD 1 Month+-0.045%, 06/24/2019 |
|
$ |
62,575 |
|
|
$ |
62,575 |
|
2.457%, VAR ICE LIBOR USD 1 Month+-0.045%, 06/28/2019 |
|
|
10,430 |
|
|
|
10,430 |
|
2.433%, VAR ICE LIBOR USD 1 Month+-0.080%, 07/05/2019 |
|
|
75,000 |
|
|
|
75,000 |
|
2.439%, VAR ICE LIBOR USD 1 Month+-0.080%, 07/11/2019 |
|
|
93,315 |
|
|
|
93,315 |
|
2.410%, VAR United States Secured Overnight Financing Rate+0.020%, 07/17/2019 |
|
|
14,840 |
|
|
|
14,840 |
|
2.398%, VAR ICE LIBOR USD 1 Month+-0.105%, 07/19/2019 |
|
|
118,295 |
|
|
|
118,295 |
|
2.422%, VAR ICE LIBOR USD 1 Month+-0.080%, 08/27/2019 |
|
|
51,990 |
|
|
|
51,990 |
|
2.426%, VAR ICE LIBOR USD 1 Month+-0.085%, 09/09/2019 |
|
|
92,435 |
|
|
|
92,435 |
|
2.444%, VAR ICE LIBOR USD 1 Month+-0.065%, 09/17/2019 |
|
|
35,665 |
|
|
|
35,665 |
|
2.592%, VAR ICE LIBOR USD 3 Month+-0.160%, 10/29/2019 |
|
|
25,000 |
|
|
|
25,000 |
|
2.664%, VAR ICE LIBOR USD 3 Month+-0.140%, 12/19/2019 |
|
|
29,005 |
|
|
|
29,005 |
|
2.479%, VAR ICE LIBOR USD 1 Month+-0.035%, 01/14/2020 |
|
|
26,280 |
|
|
|
26,280 |
|
2.440%, VAR United States Secured Overnight Financing Rate+0.050%, 01/17/2020 |
|
|
4,945 |
|
|
|
4,945 |
|
2.459%, VAR ICE LIBOR USD 1 Month+-0.060%, 02/24/2020 |
|
|
62,770 |
|
|
|
62,770 |
|
2.468%, VAR ICE LIBOR USD 1 Month+-0.040%, 04/17/2020 |
|
|
41,910 |
|
|
|
41,910 |
|
2.636%, VAR ICE LIBOR USD 3 Month+-0.140%, 04/20/2020 |
|
|
46,785 |
|
|
|
46,785 |
|
2.465%, VAR United States Secured Overnight Financing Rate+0.075%, 07/24/2020 |
|
|
13,635 |
|
|
|
13,635 |
|
2.484%, VAR ICE LIBOR USD 1 Month+-0.030%, 08/04/2020 |
|
|
28,850 |
|
|
|
28,850 |
|
2.665%, VAR ICE LIBOR USD 3 Month+-0.125%, 12/21/2020 |
|
|
51,040 |
|
|
|
51,040 |
|
FHLB DN (A) |
|
|
|
|
|
|
|
|
2.372%, 02/04/2019 |
|
|
200,000 |
|
|
|
199,961 |
|
2.358%, 02/05/2019 |
|
|
24,490 |
|
|
|
24,484 |
|
2.377%, 02/06/2019 |
|
|
230,235 |
|
|
|
230,159 |
|
2.376%, 02/08/2019 |
|
|
120,003 |
|
|
|
119,948 |
|
2.316%, 02/11/2019 |
|
|
174,320 |
|
|
|
174,209 |
|
2.400%, 02/12/2019 |
|
|
17,700 |
|
|
|
17,687 |
|
2.393%, 02/13/2019 |
|
|
320,525 |
|
|
|
320,270 |
|
2.320%, 02/14/2019 |
|
|
73,055 |
|
|
|
72,994 |
|
2.391%, 02/15/2019 |
|
|
68,100 |
|
|
|
68,037 |
|
2.390%, 02/20/2019 |
|
|
20,615 |
|
|
|
20,589 |
|
2.404%, 03/04/2019 |
|
|
45,080 |
|
|
|
44,987 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
11 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Government Fund (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
2.274%, 03/06/2019 |
|
$ |
10,190 |
|
|
$ |
10,169 |
|
2.404%, 03/13/2019 |
|
|
85,705 |
|
|
|
85,477 |
|
2.352%, 03/20/2019 |
|
|
55,580 |
|
|
|
55,411 |
|
2.353%, 03/22/2019 |
|
|
35,985 |
|
|
|
35,871 |
|
2.454%, 04/01/2019 |
|
|
9,310 |
|
|
|
9,273 |
|
2.456%, 04/09/2019 |
|
|
90,110 |
|
|
|
89,701 |
|
2.437%, 04/10/2019 |
|
|
35,830 |
|
|
|
35,666 |
|
2.462%, 04/15/2019 |
|
|
16,785 |
|
|
|
16,702 |
|
2.419%, 04/24/2019 |
|
|
131,195 |
|
|
|
130,477 |
|
2.421%, 04/26/2019 |
|
|
59,870 |
|
|
|
59,534 |
|
2.477%, 04/29/2019 |
|
|
150,000 |
|
|
|
149,110 |
|
2.445%, 05/01/2019 |
|
|
104,705 |
|
|
|
104,078 |
|
2.481%, 05/03/2019 |
|
|
46,800 |
|
|
|
46,510 |
|
2.427%, 05/08/2019 |
|
|
135,195 |
|
|
|
134,326 |
|
0.967%, 05/13/2019 |
|
|
48,075 |
|
|
|
47,751 |
|
2.498%, 05/14/2019 |
|
|
110,825 |
|
|
|
110,048 |
|
2.417%, 05/15/2019 |
|
|
19,230 |
|
|
|
19,098 |
|
2.522%, 05/22/2019 |
|
|
35,845 |
|
|
|
35,572 |
|
2.527%, 05/24/2019 |
|
|
80,040 |
|
|
|
79,419 |
|
2.527%, 05/31/2019 |
|
|
91,560 |
|
|
|
90,805 |
|
2.542%, 06/05/2019 |
|
|
40,000 |
|
|
|
39,654 |
|
2.524%, 06/21/2019 |
|
|
86,835 |
|
|
|
85,993 |
|
2.509%, 07/10/2019 |
|
|
9,275 |
|
|
|
9,173 |
|
FHLMC MTN |
|
|
|
|
|
|
|
|
2.380%, VAR United States Secured Overnight Financing Rate+-0.010%, 04/17/2019 |
|
|
22,490 |
|
|
|
22,490 |
|
FNMA |
|
|
|
|
|
|
|
|
0.875%, 08/02/2019 |
|
|
52,188 |
|
|
|
51,737 |
|
|
|
|
Total U.S. Government Agency Obligations (Cost $4,858,274) ($ Thousands) |
|
|
|
|
|
|
4,858,274 |
|
|
U.S. TREASURY OBLIGATIONS 10.4% |
|
U.S. Treasury Bills (A) |
|
|
|
|
|
|
|
|
2.303%, 02/07/2019 |
|
|
58,500 |
|
|
|
58,479 |
|
2.209%, 02/21/2019 |
|
|
60,000 |
|
|
|
59,927 |
|
2.380%, 03/05/2019 |
|
|
200,000 |
|
|
|
199,578 |
|
2.455%, 05/02/2019 |
|
|
210,975 |
|
|
|
209,693 |
|
2.509%, 05/30/2019 |
|
|
23,625 |
|
|
|
23,433 |
|
2.473%, 07/25/2019 |
|
|
78,060 |
|
|
|
77,139 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
1.500%, 03/31/2019 |
|
|
65,000 |
|
|
|
64,920 |
|
3.125%, 05/15/2019 |
|
|
8,565 |
|
|
|
8,581 |
|
0.875%, 05/15/2019 |
|
|
4,410 |
|
|
|
4,390 |
|
2.434%, VAR US Treasury 3 Month Bill Money Market Yield+0.045%, 10/31/2020 |
|
|
240,000 |
|
|
|
239,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
U.S. TREASURY OBLIGATIONS (continued) |
|
2.504%, VAR US Treasury 3 Month Bill Money Market Yield+0.115%, 01/31/2021
|
|
$ |
100,000 |
|
|
$ |
100,000 |
|
|
|
|
Total U.S. Treasury Obligations
(Cost $1,045,703) ($ Thousands) |
|
|
|
|
|
|
1,045,703 |
|
|
REPURCHASE AGREEMENTS(B) 40.5% |
|
Barclays Bank 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $350,024,792
(collateralized by U.S. Treasury obligation, par value $356,839,800, 2.500%, 01/31/2021; with total market value $357,000,021) |
|
|
350,000 |
|
|
|
350,000 |
|
BNP Paribas 2.580%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $250,017,917
(collateralized by various U.S. Treasury obligations, ranging in par value $9 - $58,605,200, 0.000% - 3.875%, 05/15/2019 - 11/15/2048; with total market value $255,000,000) |
|
|
250,000 |
|
|
|
250,000 |
|
Citigroup Global 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $220,015,583
(collateralized by various U.S. Treasury obligations, ranging in par value $100 - $220,088,000, 1.625% - 6.375%, 01/31/2021 - 02/15/2037; with total market value $224,400,006) |
|
|
220,000 |
|
|
|
220,000 |
|
Citigroup Global 2.570%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $9,000,643
(collateralized by FNMA, FHLB, FHLMC, GNMA, ranging in par value $1,000 - $12,476,189, 0.000% - 6.000%, 10/26/2020 - 01/01/2049; with total market value $9,180,815) |
|
|
9,000 |
|
|
|
9,000 |
|
Credit Agricole 2.560%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $394,028,018
(collateralized by U.S. Treasury obligation, par value $401,949,900, 0.125%, 07/15/2026; with total market value $401,880,029) |
|
|
394,000 |
|
|
|
394,000 |
|
|
|
|
12 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
REPURCHASE AGREEMENTS(B) (continued) |
|
Goldman Sachs 2.530%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $6,00,422
(collateralized by U.S. Treasury obligation, par value $9,956,238, 0.000%, 08/15/2035; with total market value $6,120,000) |
|
$ |
6,000 |
|
|
$ |
6,000 |
|
Goldman Sachs 2.540%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $350,024,694
(collateralized by FNMA, FFCB, FHLB, FHLMC, various U.S. Treasury obligations, ranging in par value $20,000 - $100,000,000, 0.000% - 6.250%, 02/07/2019 - 08/15/2045; with total market value $357,000,000) |
|
|
350,000 |
|
|
|
350,000 |
|
J.P. Morgan 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $531,037,613
(collateralized by various U.S. Treasury obligations, ranging in par value $19,260,518 - $371,647,200, 0.000% - 3.625%, 10/31/2020 - 02/15/2042; with total market value $541,620,012) |
|
|
531,000 |
|
|
|
531,000 |
|
Merrill Lynch 2.570%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $347,024,772
(collateralized by FNMA, FHLMC, GNMA, ranging in par value $4,757,083 - $44,533,829, 2.500% - 4.500%, 10/15/2029 - 01/20/2049; with total market value $364,350,001) |
|
|
347,000 |
|
|
|
347,000 |
|
Mizuho Securities 2.570%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $135,009,638
(collateralized by various U.S. Treasury obligations, ranging in par value $10,737,900 - $90,130,800, 2.125% - 2.625%, 08/15/2020 - 07/31/2024; with total market value $137,700,001) |
|
|
135,000 |
|
|
|
135,000 |
|
MUFG Securities 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $280,019,833
(collateralized by various U.S. Treasury obligations, ranging in par value $1,261,600 - $97,736,600, 0.625% - 3.375%, 04/30/2021 - 05/15/2044; with total market value $285,600,069) |
|
|
280,000 |
|
|
|
280,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
REPURCHASE AGREEMENTS(B) (continued) |
|
Natixis 2.570%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $65,004,640
(collateralized by FNMA, FFCB, FHLB, FHLMC, various U.S. Treasury obligations, ranging in par value $100 - $44,413,600 0.000% - 7.625%, 06/30/2020 - 06/01/2048; with total market value $66,339,077) |
|
$ |
65,000 |
|
|
$ |
65,000 |
|
Natixis 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $23,001,629
(collateralized by various U.S. Treasury obligation, ranging in par value $100 - $17,977,100, 1.375% - 2.500%, 6/30/2020 - 11/30/2024; with total market value $23,460,055) |
|
|
23,000 |
|
|
|
23,000 |
|
TD Securities 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $250,017,708
(collateralized by various U.S. Treasury obligations, ranging in par value $622,400 - $92,843,000, 0.000% - 4.250%, 07/11/2019 - 02/15/2045; with total market value $255,000,060) |
|
|
250,000 |
|
|
|
250,000 |
|
TD Securities 2.570%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $250,017,847
(collateralized by GNMA, FNMA, ranging in par value $16,795,239 - $300,000,000, 3.500% - 4.500%, 12/20/2040 - 11/01/2048; with total market value $256,199,621) |
|
|
250,000 |
|
|
|
250,000 |
|
The Bank of Nova Scotia 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price
$127,008,996 (collateralized by various U.S. Treasury obligations, ranging in par value $650,400 - $53,057,800, 1.500% - 3.750%, 08/31/2021 - 08/15/2041; with total market value $129,549,194) |
|
|
127,000 |
|
|
|
127,000 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
13 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Government Fund (Concluded)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
REPURCHASE AGREEMENTS(B) (continued) |
|
Wells Fargo 2.580%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $500,035,833
(collateralized by various U.S. Treasury obligations, ranging in par value $6,000 - $286,163,200, 0.000% - 2.875%, 05/31/2019 - 05/15/2043; with total market value $510,000,047) |
|
$ |
500,000 |
|
|
$ |
500,000 |
|
|
|
|
Total Repurchase Agreements (Cost $4,087,000) ($ Thousands) |
|
|
|
|
|
|
4,087,000 |
|
|
|
|
Total Investments 99.0% (Cost $9,990,977) ($ Thousands) |
|
|
|
|
|
$ |
9,990,977 |
|
|
|
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $10,090,351 ($ Thousands). |
(A) |
Zero coupon security. The rate shown on the Schedule of Investments is the securitys effective yield at the time of
purchase. |
(B) |
Tri-Party Repurchase Agreement. |
DN Discount Note
FFCB Federal Farm Credit Bank
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GNMA Government National
Mortgage Association
ICE Intercontinental Exchange
LIBOR London
Interbank Offered Rate
MTN Medium Term Note
USD U.S. Dollar
VAR Variable Rate
As of January 31, 2019, all of the Funds
investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended
January 31, 2019, there were no transfers between Level 1, Level 2 and/or Level 3 assets and liabilities.
For more information on valuation inputs, see Note
2Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
|
|
|
14 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
SCHEDULE OF INVESTMENTS
January 31, 2019
Government II Fund
Percentages are based
on total investments.
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
U.S. GOVERNMENT AGENCY OBLIGATIONS 73.5% |
|
FFCB |
|
|
|
|
|
|
|
|
2.407%, VAR ICE LIBOR USD 1 Month+-0.100%, 04/04/2019 |
|
$ |
6,840 |
|
|
$ |
6,840 |
|
2.428%, VAR ICE LIBOR USD 1 Month+-0.085%, 05/07/2019 |
|
|
29,000 |
|
|
|
29,000 |
|
2.463%, VAR ICE LIBOR USD 1 Month+-0.050%, 02/07/2020 |
|
|
20,870 |
|
|
|
20,870 |
|
2.503%, VAR ICE LIBOR USD 1 Month+0.000%, 06/19/2020 |
|
|
16,500 |
|
|
|
16,511 |
|
2.458%, VAR ICE LIBOR USD 1 Month+-0.050%, 08/17/2020 |
|
|
6,265 |
|
|
|
6,265 |
|
2.479%, VAR ICE LIBOR USD 1 Month+-0.040%, 09/11/2020 |
|
|
8,630 |
|
|
|
8,629 |
|
2.539%, VAR ICE LIBOR USD 1 Month+0.025%, 12/14/2020 |
|
|
7,925 |
|
|
|
7,924 |
|
FFCB DN(A) |
|
|
|
|
|
|
|
|
2.446%, 06/17/2019 |
|
|
10,885 |
|
|
|
10,786 |
|
2.458%, 06/28/2019 |
|
|
7,535 |
|
|
|
7,461 |
|
2.574%, 07/22/2019 |
|
|
9,845 |
|
|
|
9,727 |
|
2.555%, 07/23/2019 |
|
|
6,080 |
|
|
|
6,007 |
|
2.458%, 08/15/2019 |
|
|
10,695 |
|
|
|
10,556 |
|
FHLB |
|
|
|
|
|
|
|
|
2.427%, VAR ICE LIBOR USD 1 Month+-0.080%, 02/04/2019 |
|
|
15,000 |
|
|
|
15,000 |
|
2.395%, VAR ICE LIBOR USD 1 Month+-0.115%, 02/25/2019 |
|
|
11,135 |
|
|
|
11,135 |
|
2.390%, VAR ICE LIBOR USD 1 Month+-0.120%, 03/25/2019 |
|
|
17,000 |
|
|
|
17,000 |
|
2.502%, VAR ICE LIBOR USD 3 Month+-0.320%, 03/27/2019 |
|
|
14,910 |
|
|
|
14,910 |
|
2.477%, VAR ICE LIBOR USD 3 Month+-0.320%, 04/09/2019 |
|
|
7,135 |
|
|
|
7,133 |
|
2.450%, 05/23/2019 |
|
|
9,485 |
|
|
|
9,485 |
|
2.616%, VAR ICE LIBOR USD 3 Month+-0.160%, 06/12/2019 |
|
|
6,510 |
|
|
|
6,509 |
|
2.424%, VAR ICE LIBOR USD 1 Month+-0.090%, 06/14/2019 |
|
|
23,120 |
|
|
|
23,120 |
|
2.632%, VAR ICE LIBOR USD 3 Month+-0.160%, 06/20/2019 to 06/20/2019 |
|
|
16,565 |
|
|
|
16,565 |
|
2.430%, VAR United States Secured Overnight Financing Rate+0.040%, 06/21/2019 |
|
|
2,930 |
|
|
|
2,930 |
|
2.474%, VAR ICE LIBOR USD 1 Month+-0.045%, 06/24/2019 to 06/24/2019 |
|
|
11,715 |
|
|
|
11,715 |
|
2.457%, VAR ICE LIBOR USD 1 Month+-0.045%, 06/28/2019 |
|
|
1,950 |
|
|
|
1,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
2.433%, VAR ICE LIBOR USD 1 Month+-0.080%, 07/05/2019 |
|
$ |
17,000 |
|
|
$ |
17,000 |
|
2.410%, VAR United States Secured Overnight Financing Rate+0.020%, 07/17/2019 |
|
|
2,740 |
|
|
|
2,740 |
|
2.398%, VAR ICE LIBOR USD 1 Month+-0.105%, 07/19/2019 |
|
|
30,645 |
|
|
|
30,645 |
|
2.423%, VAR ICE LIBOR USD 1 Month+-0.080%, 08/22/2019 |
|
|
8,130 |
|
|
|
8,130 |
|
2.422%, VAR ICE LIBOR USD 1 Month+-0.080%, 08/27/2019 |
|
|
14,270 |
|
|
|
14,270 |
|
2.426%, VAR ICE LIBOR USD 1 Month+-0.085%, 09/09/2019 |
|
|
23,785 |
|
|
|
23,785 |
|
2.664%, VAR ICE LIBOR USD 3 Month+-0.140%, 12/19/2019 |
|
|
8,040 |
|
|
|
8,040 |
|
2.479%, VAR ICE LIBOR USD 1 Month+-0.035%, 01/14/2020 |
|
|
4,970 |
|
|
|
4,970 |
|
2.440%, VAR United States Secured Overnight Financing Rate+0.050%, 01/17/2020 |
|
|
915 |
|
|
|
915 |
|
2.468%, VAR ICE LIBOR USD 1 Month+-0.040%, 04/17/2020 |
|
|
10,850 |
|
|
|
10,850 |
|
2.465%, VAR United States Secured Overnight Financing Rate+0.075%, 07/24/2020 |
|
|
2,595 |
|
|
|
2,595 |
|
2.665%, VAR ICE LIBOR USD 3 Month+-0.125%, 12/21/2020 |
|
|
11,445 |
|
|
|
11,445 |
|
FHLB DN(A) |
|
|
|
|
|
|
|
|
2.260%, 02/01/2019 |
|
|
87,895 |
|
|
|
87,895 |
|
2.377%, 02/06/2019 |
|
|
55,665 |
|
|
|
55,647 |
|
2.376%, 02/08/2019 |
|
|
76,220 |
|
|
|
76,185 |
|
2.316%, 02/11/2019 |
|
|
30,560 |
|
|
|
30,541 |
|
2.393%, 02/13/2019 |
|
|
23,940 |
|
|
|
23,921 |
|
2.320%, 02/14/2019 |
|
|
17,200 |
|
|
|
17,186 |
|
2.391%, 02/15/2019 |
|
|
13,175 |
|
|
|
13,163 |
|
2.390%, 02/20/2019 |
|
|
120,180 |
|
|
|
120,030 |
|
2.374%, 02/22/2019 |
|
|
38,675 |
|
|
|
38,621 |
|
2.366%, 02/27/2019 |
|
|
40,000 |
|
|
|
39,932 |
|
2.404%, 03/04/2019 |
|
|
9,650 |
|
|
|
9,630 |
|
2.404%, 03/13/2019 |
|
|
15,820 |
|
|
|
15,778 |
|
2.395%, 03/15/2019 |
|
|
10,000 |
|
|
|
9,972 |
|
2.352%, 03/20/2019 |
|
|
13,370 |
|
|
|
13,329 |
|
2.387%, 03/21/2019 |
|
|
3,970 |
|
|
|
3,957 |
|
2.353%, 03/22/2019 |
|
|
29,015 |
|
|
|
28,922 |
|
2.450%, 04/05/2019 |
|
|
49,150 |
|
|
|
48,941 |
|
2.437%, 04/10/2019 |
|
|
43,300 |
|
|
|
43,102 |
|
2.462%, 04/15/2019 |
|
|
3,215 |
|
|
|
3,199 |
|
2.423%, 04/22/2019 |
|
|
36,565 |
|
|
|
36,369 |
|
2.419%, 04/24/2019 |
|
|
24,625 |
|
|
|
24,490 |
|
2.421%, 04/26/2019 |
|
|
11,000 |
|
|
|
10,938 |
|
2.445%, 05/01/2019 |
|
|
19,570 |
|
|
|
19,453 |
|
2.481%, 05/03/2019 |
|
|
9,640 |
|
|
|
9,580 |
|
2.454%, 05/07/2019 |
|
|
8,935 |
|
|
|
8,878 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
15 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Government II Fund (Concluded)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) |
|
2.522%, 05/22/2019 |
|
$ |
7,205 |
|
|
$ |
7,150 |
|
2.527%, 05/24/2019 |
|
|
18,190 |
|
|
|
18,049 |
|
2.472%, 05/29/2019 |
|
|
25,280 |
|
|
|
25,079 |
|
2.527%, 05/31/2019 |
|
|
19,435 |
|
|
|
19,275 |
|
2.542%, 06/05/2019 |
|
|
10,000 |
|
|
|
9,913 |
|
2.524%, 06/21/2019 |
|
|
15,875 |
|
|
|
15,721 |
|
2.509%, 07/10/2019 |
|
|
31,070 |
|
|
|
30,730 |
|
|
|
|
Total U.S. Government Agency Obligations (Cost $1,328,989) ($ Thousands) |
|
|
|
|
|
|
1,328,989 |
|
|
|
|
U.S. TREASURY OBLIGATIONS 35.1% |
|
|
|
|
|
|
|
|
U.S. Treasury Bills (A) |
|
|
|
|
|
|
|
|
2.301%, 02/05/2019 |
|
|
119,975 |
|
|
|
119,943 |
|
2.303%, 02/07/2019 |
|
|
14,405 |
|
|
|
14,400 |
|
2.382%, 02/12/2019 |
|
|
7,000 |
|
|
|
6,995 |
|
2.354%, 02/14/2019 |
|
|
50,000 |
|
|
|
49,958 |
|
2.209%, 02/21/2019 |
|
|
14,535 |
|
|
|
14,517 |
|
2.396%, 03/05/2019 |
|
|
216,385 |
|
|
|
215,968 |
|
2.374%, 03/19/2019 |
|
|
95,000 |
|
|
|
94,713 |
|
2.378%, 03/26/2019 |
|
|
61,525 |
|
|
|
61,313 |
|
2.473%, 07/25/2019 |
|
|
14,475 |
|
|
|
14,304 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
0.875%, 05/15/2019 |
|
|
810 |
|
|
|
806 |
|
3.125%, 05/15/2019 |
|
|
1,570 |
|
|
|
1,573 |
|
2.434%, VAR US Treasury 3 Month Bill Money Market Yield+0.045%, 10/31/2020 |
|
|
30,000 |
|
|
|
29,946 |
|
2.504%, VAR US Treasury 3 Month Bill Money Market Yield+0.115%, 01/31/2021 |
|
|
11,750 |
|
|
|
11,750 |
|
|
|
|
Total U.S. Treasury Obligations
(Cost $636,186) ($ Thousands) |
|
|
|
|
|
|
636,186 |
|
|
|
|
Total Investments in Securities 108.6% (Cost $1,965,175) ($ Thousands) |
|
|
|
|
|
$ |
1,965,175 |
|
|
|
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $1,808,839 ($ Thousands). |
(A) |
Zero coupon security. The rate shown on the Schedule of Investments is the securitys effective yield at the time of
purchase. |
DN Discount Note
FFCB Federal Farm
Credit Bank
FHLB Federal Home Loan Bank
ICE Intercontinental
Exchange
LIBOR London Interbank Offered Rate
USD U.S. Dollar
VAR Variable Rate
As of January 31, 2019, all of the Funds investments were considered Level 2, in accordance with the
authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended January 31, 2019, there were no transfers between Level 1,
Level 2 and/or Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2Significant Accounting Policies in Notes to Financial
Statements.
The accompanying notes are an integral part of the financial statements.
|
|
|
16 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
SCHEDULE OF INVESTMENTS
January 31, 2019
Treasury Fund
Percentages are based
on total investments.
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
U.S. TREASURY OBLIGATIONS 60.8% |
|
U.S. Treasury Bills (A)
2.303%, 02/07/2019 |
|
$ |
1,795 |
|
|
$ |
1,794 |
|
2.382%, 02/12/2019 |
|
|
450 |
|
|
|
449 |
|
2.384%, 02/19/2019 |
|
|
5,000 |
|
|
|
4,994 |
|
2.396%, 03/05/2019 |
|
|
7,690 |
|
|
|
7,676 |
|
2.335%, 03/21/2019 |
|
|
4,000 |
|
|
|
3,987 |
|
2.378%, 03/26/2019 |
|
|
7,000 |
|
|
|
6,976 |
|
2.455%, 05/02/2019 |
|
|
3,000 |
|
|
|
2,982 |
|
2.479%, 05/09/2019 |
|
|
2,000 |
|
|
|
1,987 |
|
2.473%, 07/25/2019 |
|
|
4,170 |
|
|
|
4,121 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
2.750%, 02/15/2019 |
|
|
3,000 |
|
|
|
3,001 |
|
1.125%, 02/28/2019 |
|
|
280 |
|
|
|
280 |
|
2.459%, VAR US Treasury 3 Month Bill Money Market Yield+0.070%, 04/30/2019 |
|
|
1,975 |
|
|
|
1,975 |
|
3.125%, 05/15/2019 |
|
|
75 |
|
|
|
75 |
|
1.250%, 06/30/2019 |
|
|
265 |
|
|
|
264 |
|
0.750%, 07/15/2019 |
|
|
2,045 |
|
|
|
2,029 |
|
1.375%, 07/31/2019 |
|
|
1,075 |
|
|
|
1,069 |
|
2.389%, VAR US Treasury 3 Month Bill Money Market Yield+0.000%, 01/31/2020 |
|
|
5,165 |
|
|
|
5,164 |
|
2.422%, VAR US Treasury 3 Month Bill Money Market Yield+0.033%, 04/30/2020 |
|
|
3,295 |
|
|
|
3,295 |
|
2.432%, VAR US Treasury 3 Month Bill Money Market Yield+0.043%, 07/31/2020 |
|
|
1,500 |
|
|
|
1,500 |
|
2.434%, VAR US Treasury 3 Month Bill Money Market Yield+0.045%, 10/31/2020 |
|
|
2,000 |
|
|
|
1,996 |
|
2.504%, VAR US Treasury 3 Month Bill Money Market Yield+0.115%, 01/31/2021
|
|
|
615 |
|
|
|
615 |
|
|
|
|
Total U.S. Treasury Obligations (Cost $56,229) ($ Thousands) |
|
|
|
|
|
|
56,229 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
REPURCHASE AGREEMENTS(B) 75.6% |
|
Bank of Montreal 2.530%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $6,000,422
(collateralized by various U.S. Treasury obligations, ranging in par value $100 - $1,733,500, 0.000% - 3.625%, 03/28/2019 - 02/15/2047; with total market value $6,120,013) |
|
$ |
6,000 |
|
|
$ |
6,000 |
|
Barclays Bank 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $5,000,354
(collateralized by U.S. Treasury obligation, par value $5,088,300, 2.500%, 01/31/2024; with total market value $5,100,029) |
|
|
5,000 |
|
|
|
5,000 |
|
BNP Paribas 2.580%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $6,000,430
(collateralized by various U.S. Treasury obligations, ranging in par value $900 - $3,972,000, 0.000% - 3.625%, 01/02/2020 - 11/15/2021; with total market value $6,120,062) |
|
|
6,000 |
|
|
|
6,000 |
|
Citigroup Global 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $5,000,354
(collateralized by various U.S. Treasury obligations, ranging in par value $100 - $4,895,600, 0.750% - 2.875%, 07/31/2020 - 07/15/2028; with total market value $5,100,081) |
|
|
5,000 |
|
|
|
5,000 |
|
Credit Agricole 2.560%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $5,000,356
(collateralized by U.S. Treasury obligation, par value $5,159,800, 2.25%, 11/15/2024; with total market value $5,100,028) |
|
|
5,000 |
|
|
|
5,000 |
|
Goldman Sachs 2.530%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $5,000,351
(collateralized by U.S. Treasury obligation, par value $10,882,693, 0.000%, 5/15/2043; with total market value $5,100,000) |
|
|
5,000 |
|
|
|
5,000 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
17 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Treasury Fund (Concluded)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
REPURCHASE AGREEMENTS(B) (continued) |
|
J.P. Morgan 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $6,000,425
(collateralized by various U.S. Treasury obligations, ranging in par value $500 - $6,069,000, 0.000% - 3.000%, 03/28/2019 - 11/15/2045; with total market value $6,120,085) |
|
$ |
6,000 |
|
|
$ |
6,000 |
|
Merrill Lynch 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $5,000,354
(collateralized by U.S. Treasury obligation, par value $12,103,100, 0.000%, 02/15/2047; with total market value $5,100,004) |
|
|
5,000 |
|
|
|
5,000 |
|
MUFG Securities 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $4,000,283
(collateralized by various U.S. Treasury obligation, ranging in par value $100 - $4,084,800, 0.000% - 3.000%, 01/02/2020 - 11/15/2045; with total market value $4,080,001) |
|
|
4,000 |
|
|
|
4,000 |
|
Natixis 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $5,000,354 (collateralized
by various U.S. Treasury obligations, ranging in par value $400 - $2,786,600, 0.000% - 7.625%, 06/13/2019 - 05/15/2048; with total market value $5,100,060) |
|
|
5,000 |
|
|
|
5,000 |
|
TD Securities 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $6,000,425
(collateralized by various U.S. Treasury obligations, ranging in par value $1,098,500 - $5,010,400, 1.625% - 1.875%, 03/31/2019 - 06/30/2020; with total market value $6,120,085) |
|
|
6,000 |
|
|
|
6,000 |
|
The Bank of Nova Scotia 2.550%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $6,000,425
(collateralized by U.S. Treasury obligations, par value $6,249,600, 2.000%, 04/30/2024; with total market value $6,120,501) |
|
|
6,000 |
|
|
|
6,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
REPURCHASE AGREEMENTS(B) (continued) |
|
Wells Fargo 2.580%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $6,000,430
(collateralized by various U.S. Treasury obligations, ranging in par value $9,000 - $6,461,200, 2.250% - 2.750%, 08/15/2046 -11/15/2047; with total market value $6,120,094) |
|
$ |
6,000 |
|
|
$ |
6,000 |
|
|
|
|
Total Repurchase Agreements (Cost $70,000) ($ Thousands) |
|
|
|
|
|
|
70,000 |
|
|
|
|
Total Investments 136.4% (Cost $126,229) ($ Thousands) |
|
|
|
|
|
$ |
126,229 |
|
|
|
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $92,535 ($ Thousands). |
(A) |
Zero coupon security. The rate shown on the Schedule of Investments is the securitys effective yield at the time of
purchase. |
(B) |
Tri-Party Repurchase Agreement. |
VAR Variable Rate
As of January 31, 2019, all of the Funds
investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended
January 31, 2019, there were no transfers between Level 1, Level 2 and/or Level 3 assets and liabilities.
For more information on valuation inputs, see Note
2Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
|
|
|
18 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
SCHEDULE OF INVESTMENTS
January 31, 2019
Treasury II Fund
Percentages are based
on total investments.
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
U.S. TREASURY OBLIGATIONS 103.5% |
|
U.S. Treasury Bills (A)
|
|
|
|
|
|
|
|
|
2.301%, 02/05/2019 |
|
$ |
16,000 |
|
|
$ |
15,996 |
|
2.303%, 02/07/2019 |
|
|
27,445 |
|
|
|
27,434 |
|
2.382%, 02/12/2019 |
|
|
53,050 |
|
|
|
53,011 |
|
2.354%, 02/14/2019 |
|
|
51,000 |
|
|
|
50,957 |
|
2.384%, 02/19/2019 |
|
|
60,000 |
|
|
|
59,929 |
|
2.369%, 02/26/2019 |
|
|
31,840 |
|
|
|
31,788 |
|
2.396%, 03/05/2019 |
|
|
24,580 |
|
|
|
24,534 |
|
2.374%, 03/19/2019 |
|
|
106,000 |
|
|
|
105,680 |
|
2.335%, 03/21/2019 |
|
|
17,000 |
|
|
|
16,948 |
|
2.378%, 03/26/2019 |
|
|
69,000 |
|
|
|
68,759 |
|
2.455%, 05/02/2019 |
|
|
32,000 |
|
|
|
31,806 |
|
2.496%, 05/16/2019 |
|
|
6,000 |
|
|
|
5,957 |
|
2.473%, 07/25/2019 |
|
|
25,830 |
|
|
|
25,525 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
2.459%, VAR US Treasury 3 Month Bill Money Market Yield+0.070%, 04/30/2019 |
|
|
8,140 |
|
|
|
8,140 |
|
3.125%, 05/15/2019 |
|
|
485 |
|
|
|
486 |
|
0.875%, 05/15/2019 |
|
|
250 |
|
|
|
249 |
|
2.449%, VAR US Treasury 3 Month Bill Money Market Yield+0.060%, 07/31/2019 |
|
|
5,645 |
|
|
|
5,648 |
|
1.375%, 07/31/2019 |
|
|
3,465 |
|
|
|
3,446 |
|
2.437%, VAR US Treasury 3 Month Bill Money Market Yield+0.048%, 10/31/2019 |
|
|
12,000 |
|
|
|
12,001 |
|
2.389%, VAR US Treasury 3 Month Bill Money Market Yield+0.000%, 01/31/2020 |
|
|
22,750 |
|
|
|
22,743 |
|
2.422%, VAR US Treasury 3 Month Bill Money Market Yield+0.033%, 04/30/2020 |
|
|
25,875 |
|
|
|
25,876 |
|
2.432%, VAR US Treasury 3 Month Bill Money Market Yield+0.043%, 07/31/2020 |
|
|
6,000 |
|
|
|
6,000 |
|
2.434%, VAR US Treasury 3 Month Bill Money Market Yield+0.045%, 10/31/2020 |
|
|
9,000 |
|
|
|
8,984 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Value
($ Thousands) |
|
U.S. TREASURY OBLIGATIONS (continued) |
|
2.504%, VAR US Treasury 3 Month Bill Money Market Yield+0.115%, 01/31/2021 |
|
$ |
3,620 |
|
|
$ |
3,620 |
|
|
|
|
Total U.S. Treasury Obligations (Cost $615,517) ($ Thousands) |
|
|
|
|
|
|
615,517 |
|
|
|
|
Total Investments 103.5% (Cost $615,517) ($ Thousands) |
|
|
|
|
|
$ |
615,517 |
|
|
|
|
|
|
|
|
|
|
|
Percentages are based on Net Assets of $594,915 ($ Thousands). |
(A) |
Zero coupon security. The rate shown on the Schedule of Investments is the securitys effective yield at the time of
purchase. |
VAR Variable Rate
As of January 31,
2019, all of the Funds investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.
For the year ended January 31, 2019, there were no transfers between Level 1, Level 2 and/or Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 Significant Accounting Policies in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
19 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Ultra Short Duration Bond Fund
Percentages are based
on total investments.
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
CORPORATE OBLIGATIONS 50.9% |
|
|
|
|
Automotive 1.7% |
|
|
|
|
|
|
|
|
BMW US Capital LLC |
|
|
|
|
|
|
|
|
3.207%, VAR ICE LIBOR USD 3 Month+0.410%, 04/12/2021 (A) |
|
$ |
1,390 |
|
|
$ |
1,382 |
|
Daimler Finance North America LLC |
|
|
|
|
|
|
|
|
3.535%, VAR ICE LIBOR USD 3 Month+0.740%, 07/05/2019 (A) |
|
|
1,345 |
|
|
|
1,347 |
|
1.500%, 07/05/2019 (A) |
|
|
750 |
|
|
|
746 |
|
General Motors Financial |
|
|
|
|
|
|
|
|
3.727%, VAR ICE LIBOR USD 3 Month+0.930%, 04/13/2020 |
|
|
450 |
|
|
|
448 |
|
3.647%, VAR ICE LIBOR USD 3 Month+0.850%, 04/09/2021 |
|
|
525 |
|
|
|
518 |
|
3.389%, VAR ICE LIBOR USD 3 Month+0.800%, 08/07/2020 |
|
|
600 |
|
|
|
596 |
|
|
|
|
|
|
|
|
5,037 |
|
|
|
|
Communication Services 2.4% |
|
|
|
|
|
|
|
|
AT&T |
|
|
|
|
|
|
|
|
5.200%, 03/15/2020 |
|
|
1,085 |
|
|
|
1,111 |
|
3.733%, VAR ICE LIBOR USD 3 Month+0.930%, 06/30/2020 |
|
|
700 |
|
|
|
706 |
|
CBS |
|
|
|
|
|
|
|
|
2.300%, 08/15/2019 |
|
|
560 |
|
|
|
558 |
|
Comcast |
|
|
|
|
|
|
|
|
3.300%, 10/01/2020 |
|
|
1,730 |
|
|
|
1,741 |
|
3.127%, VAR ICE LIBOR USD 3 Month+0.330%, 10/01/2020 |
|
|
600 |
|
|
|
601 |
|
Discovery Communications LLC |
|
|
|
|
|
|
|
|
3.502%, VAR ICE LIBOR USD 3 Month+0.710%, 09/20/2019 |
|
|
490 |
|
|
|
490 |
|
2.200%, 09/20/2019 |
|
|
150 |
|
|
|
149 |
|
Fox |
|
|
|
|
|
|
|
|
3.666%, 01/25/2022 (A) |
|
|
85 |
|
|
|
86 |
|
Verizon Communications |
|
|
|
|
|
|
|
|
2.986%, VAR ICE LIBOR USD 3 Month+0.370%, 08/15/2019 |
|
|
1,820 |
|
|
|
1,821 |
|
|
|
|
|
|
|
|
7,263 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
CORPORATE OBLIGATIONS (continued) |
|
|
|
|
Consumer Discretionary 1.7% |
|
|
|
|
|
|
|
|
Anheuser-Busch InBev Finance |
|
|
|
|
|
|
|
|
3.996%, VAR ICE LIBOR USD 3 Month+1.260%, 02/01/2021 |
|
$ |
1,650 |
|
|
$ |
1,658 |
|
AutoZone |
|
|
|
|
|
|
|
|
1.625%, 04/21/2019 |
|
|
465 |
|
|
|
464 |
|
Dollar Tree |
|
|
|
|
|
|
|
|
3.473%, VAR ICE LIBOR USD 3 Month+0.700%, 04/17/2020 |
|
|
660 |
|
|
|
657 |
|
eBay |
|
|
|
|
|
|
|
|
3.621%, VAR ICE LIBOR USD 3 Month+0.870%, 01/30/2023 |
|
|
800 |
|
|
|
794 |
|
Hyundai Capital America |
|
|
|
|
|
|
|
|
3.744%, VAR ICE LIBOR USD 3 Month+0.940%, 07/08/2021 (A) |
|
|
450 |
|
|
|
447 |
|
Hyundai Capital America MTN |
|
|
|
|
|
|
|
|
2.000%, 07/01/2019 (A) |
|
|
300 |
|
|
|
298 |
|
Marriott International |
|
|
|
|
|
|
|
|
3.229%, VAR ICE LIBOR USD 3 Month+0.600%, 12/01/2020 |
|
|
525 |
|
|
|
524 |
|
Nissan Motor Acceptance MTN |
|
|
|
|
|
|
|
|
3.203%, VAR ICE LIBOR USD 3 Month+0.390%, 09/28/2020 (A) |
|
|
500 |
|
|
|
497 |
|
|
|
|
|
|
|
|
5,339 |
|
|
|
|
Consumer Staples 2.5% |
|
|
|
|
|
|
|
|
Conagra Brands |
|
|
|
|
|
|
|
|
3.800%, 10/22/2021 |
|
|
325 |
|
|
|
326 |
|
3.511%, VAR ICE LIBOR USD 3 Month+0.750%, 10/22/2020 |
|
|
750 |
|
|
|
746 |
|
Constellation Brands |
|
|
|
|
|
|
|
|
2.000%, 11/07/2019 |
|
|
525 |
|
|
|
521 |
|
Kraft Heinz Foods |
|
|
|
|
|
|
|
|
3.438%, VAR ICE LIBOR USD 3 Month+0.820%, 08/10/2022 |
|
|
550 |
|
|
|
541 |
|
Kroger MTN |
|
|
|
|
|
|
|
|
1.500%, 09/30/2019 |
|
|
800 |
|
|
|
793 |
|
Molson Coors Brewing |
|
|
|
|
|
|
|
|
1.450%, 07/15/2019 |
|
|
775 |
|
|
|
770 |
|
Mondelez International |
|
|
|
|
|
|
|
|
3.375%, VAR ICE LIBOR USD 3 Month+0.610%, 10/28/2019 (A) |
|
|
1,905 |
|
|
|
1,907 |
|
3.061%, VAR ICE LIBOR USD 3 Month+0.520%, 02/01/2019 |
|
|
450 |
|
|
|
450 |
|
Philip Morris International |
|
|
|
|
|
|
|
|
3.066%, VAR ICE LIBOR USD 3 Month+0.420%, 02/21/2020 |
|
|
1,655 |
|
|
|
1,655 |
|
|
|
|
|
|
|
|
7,709 |
|
|
|
|
Energy 1.4% |
|
|
|
|
|
|
|
|
Anadarko Petroleum |
|
|
|
|
|
|
|
|
8.700%, 03/15/2019 |
|
|
350 |
|
|
|
353 |
|
|
|
|
20 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
CORPORATE OBLIGATIONS (continued) |
|
6.950%, 06/15/2019 |
|
$ |
235 |
|
|
$ |
238 |
|
Andeavor Logistics |
|
|
|
|
|
|
|
|
5.500%, 10/15/2019 |
|
|
250 |
|
|
|
252 |
|
Petroleos Mexicanos |
|
|
|
|
|
|
|
|
6.375%, 02/04/2021 |
|
|
550 |
|
|
|
557 |
|
Phillips 66 |
|
|
|
|
|
|
|
|
3.537%, VAR ICE LIBOR USD 3 Month+0.750%, 04/15/2020 (A) |
|
|
620 |
|
|
|
620 |
|
Schlumberger Finance Canada |
|
|
|
|
|
|
|
|
2.200%, 11/20/2020 (A) |
|
|
375 |
|
|
|
368 |
|
Shell International Finance BV |
|
|
|
|
|
|
|
|
3.126%, VAR ICE LIBOR USD 3 Month+0.350%, 09/12/2019 |
|
|
1,170 |
|
|
|
1,172 |
|
1.375%, 05/10/2019 |
|
|
800 |
|
|
|
798 |
|
|
|
|
|
|
|
|
4,358 |
|
|
|
|
Financials 30.9% |
|
|
|
|
|
|
|
|
ABN AMRO Bank MTN |
|
|
|
|
|
|
|
|
3.261%, VAR ICE LIBOR USD 3 Month+0.570%, 08/27/2021 (A) |
|
|
750 |
|
|
|
748 |
|
AIG Global Funding |
|
|
|
|
|
|
|
|
3.277%, VAR ICE LIBOR USD 3 Month+0.480%, 07/02/2020 (A) |
|
|
775 |
|
|
|
776 |
|
AIG Global Funding MTN |
|
|
|
|
|
|
|
|
1.950%, 10/18/2019 (A) |
|
|
1,285 |
|
|
|
1,279 |
|
Alimentation Couche-Tard |
|
|
|
|
|
|
|
|
3.279%, VAR ICE LIBOR USD 3 Month+0.500%, 12/13/2019 (A) |
|
|
1,070 |
|
|
|
1,070 |
|
American Express |
|
|
|
|
|
|
|
|
3.165%, VAR ICE LIBOR USD 3 Month+0.525%, 05/17/2021 |
|
|
450 |
|
|
|
450 |
|
American Express Credit |
|
|
|
|
|
|
|
|
3.351%, VAR ICE LIBOR USD 3 Month+0.550%, 03/18/2019 |
|
|
300 |
|
|
|
300 |
|
American Express Credit MTN |
|
|
|
|
|
|
|
|
2.200%, 03/03/2020 |
|
|
1,560 |
|
|
|
1,550 |
|
American Honda Finance MTN |
|
|
|
|
|
|
|
|
3.502%, VAR ICE LIBOR USD 3 Month+0.825%, 02/22/2019 |
|
|
1,290 |
|
|
|
1,290 |
|
1.700%, 02/22/2019 |
|
|
650 |
|
|
|
650 |
|
Assurant |
|
|
|
|
|
|
|
|
4.072%, VAR ICE LIBOR USD 3 Month+1.250%, 03/26/2021 |
|
|
465 |
|
|
|
465 |
|
Athene Global Funding |
|
|
|
|
|
|
|
|
3.901%, VAR ICE LIBOR USD 3 Month+1.140%, 04/20/2020 (A) |
|
|
650 |
|
|
|
654 |
|
Bank of America MTN |
|
|
|
|
|
|
|
|
5.625%, 07/01/2020 |
|
|
2,065 |
|
|
|
2,145 |
|
3.941%, VAR ICE LIBOR USD 3 Month+1.180%, 10/21/2022 |
|
|
625 |
|
|
|
632 |
|
3.921%, VAR ICE LIBOR USD 3 Month+1.160%, 01/20/2023 |
|
|
400 |
|
|
|
403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
CORPORATE OBLIGATIONS (continued) |
|
Bank of Montreal MTN |
|
|
|
|
|
|
|
|
3.228%, VAR ICE LIBOR USD 3 Month+0.440%, 06/15/2020 |
|
$ |
1,535 |
|
|
$ |
1,539 |
|
Bank of Nova Scotia |
|
|
|
|
|
|
|
|
3.406%, VAR ICE LIBOR USD 3 Month+0.640%, 03/07/2022 |
|
|
375 |
|
|
|
375 |
|
2.125%, 09/11/2019 |
|
|
1,065 |
|
|
|
1,061 |
|
BAT Capital |
|
|
|
|
|
|
|
|
3.204%, VAR ICE LIBOR USD 3 Month+0.590%, 08/14/2020 |
|
|
1,600 |
|
|
|
1,585 |
|
BB&T MTN |
|
|
|
|
|
|
|
|
3.358%, VAR ICE LIBOR USD 3 Month+0.570%, 06/15/2020 |
|
|
400 |
|
|
|
401 |
|
BPCE MTN |
|
|
|
|
|
|
|
|
3.897%, VAR ICE LIBOR USD 3 Month+1.220%, 05/22/2022 (A) |
|
|
250 |
|
|
|
250 |
|
Branch Banking & Trust |
|
|
|
|
|
|
|
|
3.237%, VAR ICE LIBOR USD 3 Month+0.450%, 01/15/2020 |
|
|
855 |
|
|
|
857 |
|
1.450%, 05/10/2019 |
|
|
590 |
|
|
|
588 |
|
Canadian Imperial Bank of Commerce |
|
|
|
|
|
|
|
|
3.259%, VAR ICE LIBOR USD 3 Month+0.520%, 09/06/2019 |
|
|
980 |
|
|
|
982 |
|
3.053%, VAR ICE LIBOR USD 3 Month+0.315%, 02/02/2021 |
|
|
1,500 |
|
|
|
1,497 |
|
2.100%, 10/05/2020 |
|
|
1,075 |
|
|
|
1,059 |
|
Capital One |
|
|
|
|
|
|
|
|
3.901%, VAR ICE LIBOR USD 3 Month+1.150%, 01/30/2023 |
|
|
500 |
|
|
|
499 |
|
3.544%, VAR ICE LIBOR USD 3 Month+0.765%, 09/13/2019 |
|
|
500 |
|
|
|
501 |
|
3.378%, VAR ICE LIBOR USD 3 Month+0.760%, 05/12/2020 |
|
|
1,770 |
|
|
|
1,776 |
|
Charles Schwab |
|
|
|
|
|
|
|
|
2.966%, VAR ICE LIBOR USD 3 Month+0.320%, 05/21/2021 |
|
|
360 |
|
|
|
359 |
|
Citibank |
|
|
|
|
|
|
|
|
3.276%, VAR ICE LIBOR USD 3 Month+0.500%, 06/12/2020 |
|
|
375 |
|
|
|
375 |
|
2.968%, VAR ICE LIBOR USD 3 Month+0.350%, 02/12/2021 |
|
|
2,200 |
|
|
|
2,199 |
|
Citigroup |
|
|
|
|
|
|
|
|
3.574%, VAR ICE LIBOR USD 3 Month+0.770%, 04/08/2019 |
|
|
700 |
|
|
|
701 |
|
2.650%, 10/26/2020 |
|
|
385 |
|
|
|
382 |
|
Citizens Bank |
|
|
|
|
|
|
|
|
3.499%, VAR ICE LIBOR USD 3 Month+0.810%, 05/26/2022 |
|
|
550 |
|
|
|
547 |
|
3.278%, VAR ICE LIBOR USD 3 Month+0.540%, 03/02/2020 |
|
|
550 |
|
|
|
550 |
|
3.259%, VAR ICE LIBOR USD 3 Month+0.570%, 05/26/2020 |
|
|
700 |
|
|
|
701 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
21 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Ultra Short Duration Bond Fund (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
CORPORATE OBLIGATIONS (continued) |
|
Commonwealth Bank of Australia |
|
|
|
|
|
|
|
|
3.229%, VAR ICE LIBOR USD 3 Month+0.640%, 11/07/2019 (A) |
|
$ |
750 |
|
|
$ |
752 |
|
Compass Bank |
|
|
|
|
|
|
|
|
3.501%, VAR ICE LIBOR USD 3 Month+0.730%, 06/11/2021 |
|
|
500 |
|
|
|
495 |
|
Cooperatieve Rabobank |
|
|
|
|
|
|
|
|
3.613%, VAR ICE LIBOR USD 3 Month+0.830%, 01/10/2022 |
|
|
800 |
|
|
|
805 |
|
3.195%, VAR ICE LIBOR USD 3 Month+0.430%, 04/26/2021 |
|
|
750 |
|
|
|
751 |
|
Credit Agricole MTN |
|
|
|
|
|
|
|
|
3.737%, VAR ICE LIBOR USD 3 Month+0.970%, 06/10/2020 (A) |
|
|
950 |
|
|
|
957 |
|
Danske Bank |
|
|
|
|
|
|
|
|
5.000%, 01/12/2022 (A) |
|
|
570 |
|
|
|
578 |
|
3.319%, VAR ICE LIBOR USD 3 Month+0.580%, 09/06/2019 (A) |
|
|
600 |
|
|
|
599 |
|
Danske Bank MTN |
|
|
|
|
|
|
|
|
3.248%, VAR ICE LIBOR USD 3 Month+0.510%, 03/02/2020 (A) |
|
|
500 |
|
|
|
496 |
|
Deutsche Bank NY |
|
|
|
|
|
|
|
|
3.767%, VAR ICE LIBOR USD 3 Month+0.970%, 07/13/2020 |
|
|
550 |
|
|
|
541 |
|
DNB Bank |
|
|
|
|
|
|
|
|
3.167%, VAR ICE LIBOR USD 3 Month+0.370%, 10/02/2020 (A) |
|
|
550 |
|
|
|
550 |
|
European Investment Bank |
|
|
|
|
|
|
|
|
2.731%, VAR United States Secured Overnight Financing Rate+0.320%, 10/08/2021 |
|
|
1,980 |
|
|
|
1,978 |
|
Fifth Third Bank |
|
|
|
|
|
|
|
|
3.412%, VAR ICE LIBOR USD 3 Month+0.590%, 09/27/2019 |
|
|
1,625 |
|
|
|
1,630 |
|
3.001%, VAR ICE LIBOR USD 3 Month+0.250%, 10/30/2020 |
|
|
400 |
|
|
|
398 |
|
Ford Motor Credit LLC |
|
|
|
|
|
|
|
|
4.083%, VAR ICE LIBOR USD 3 Month+1.270%, 03/28/2022 |
|
|
350 |
|
|
|
334 |
|
3.606%, VAR ICE LIBOR USD 3 Month+0.830%, 03/12/2019 |
|
|
500 |
|
|
|
500 |
|
1.897%, 08/12/2019 |
|
|
350 |
|
|
|
347 |
|
Goldman Sachs Bank USA NY |
|
|
|
|
|
|
|
|
3.200%, 06/05/2020 |
|
|
1,450 |
|
|
|
1,455 |
|
Goldman Sachs Group |
|
|
|
|
|
|
|
|
3.875%, VAR ICE LIBOR USD 3 Month+1.110%, 04/26/2022 |
|
|
750 |
|
|
|
753 |
|
3.786%, VAR ICE LIBOR USD 3 Month+1.170%, 11/15/2021 |
|
|
525 |
|
|
|
528 |
|
HSBC Bank PLC |
|
|
|
|
|
|
|
|
4.125%, 08/12/2020 (A) |
|
|
1,445 |
|
|
|
1,466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
CORPORATE OBLIGATIONS (continued) |
|
HSBC Holdings PLC |
|
|
|
|
|
|
|
|
3.426%, VAR ICE LIBOR USD 3 Month+0.650%, 09/11/2021 |
|
$ |
450 |
|
|
$ |
450 |
|
3.240%, VAR ICE LIBOR USD 3 Month+0.600%, 05/18/2021 |
|
|
640 |
|
|
|
638 |
|
Huntington National Bank |
|
|
|
|
|
|
|
|
3.277%, VAR ICE LIBOR USD 3 Month+0.510%, 03/10/2020 |
|
|
650 |
|
|
|
652 |
|
ING Bank |
|
|
|
|
|
|
|
|
3.953%, VAR ICE LIBOR USD 3 Month+1.150%, 03/29/2022 |
|
|
400 |
|
|
|
401 |
|
3.487%, VAR ICE LIBOR USD 3 Month+0.690%, 10/01/2019 (A) |
|
|
300 |
|
|
|
301 |
|
Inter-American Development Bank MTN |
|
|
|
|
|
|
|
|
2.987%, VAR ICE LIBOR USD 3 Month+0.200%, 07/15/2021 |
|
|
1,685 |
|
|
|
1,692 |
|
International Bank |
|
|
|
|
|
|
|
|
3.000%, 12/28/2020 |
|
|
2,040 |
|
|
|
2,042 |
|
2.620%, VAR United States Secured Overnight Financing Rate+0.220%, 08/21/2020 |
|
|
2,675 |
|
|
|
2,675 |
|
Intesa Sanpaolo NY |
|
|
|
|
|
|
|
|
3.403%, VAR ICE LIBOR USD 3 Month+0.630%, 07/17/2019 |
|
|
300 |
|
|
|
300 |
|
Jackson National Life Global Funding |
|
|
|
|
|
|
|
|
3.552%, VAR ICE LIBOR USD 3 Month+0.730%, 06/27/2022 (A) |
|
|
375 |
|
|
|
376 |
|
3.251%, VAR ICE LIBOR USD 3 Month+0.480%, 06/11/2021 (A) |
|
|
1,745 |
|
|
|
1,739 |
|
JPMorgan Chase |
|
|
|
|
|
|
|
|
4.400%, 07/22/2020 |
|
|
1,370 |
|
|
|
1,397 |
|
3.727%, VAR ICE LIBOR USD 3 Month+0.955%, 01/23/2020 |
|
|
500 |
|
|
|
504 |
|
3.317%, VAR ICE LIBOR USD 3 Month+0.550%, 03/09/2021 |
|
|
550 |
|
|
|
551 |
|
KeyBank |
|
|
|
|
|
|
|
|
3.463%, VAR ICE LIBOR USD 3 Month+0.810%, 11/22/2021 |
|
|
750 |
|
|
|
754 |
|
3.396%, VAR ICE LIBOR USD 3 Month+0.660%, 02/01/2022 |
|
|
1,550 |
|
|
|
1,552 |
|
2.350%, 03/08/2019 |
|
|
250 |
|
|
|
250 |
|
KeyCorp MTN |
|
|
|
|
|
|
|
|
2.900%, 09/15/2020 |
|
|
690 |
|
|
|
688 |
|
Manufacturers & Traders Trust |
|
|
|
|
|
|
|
|
3.250%, VAR ICE LIBOR USD 3 Month+0.610%, 05/18/2022 |
|
|
450 |
|
|
|
447 |
|
3.041%, VAR ICE LIBOR USD 3 Month+0.270%, 01/25/2021 |
|
|
1,000 |
|
|
|
995 |
|
Marsh & McLennan |
|
|
|
|
|
|
|
|
3.500%, 12/29/2020 |
|
|
115 |
|
|
|
116 |
|
MassMutual Global Funding II |
|
|
|
|
|
|
|
|
1.550%, 10/11/2019 (A) |
|
|
500 |
|
|
|
496 |
|
|
|
|
22 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
CORPORATE OBLIGATIONS (continued) |
|
Metropolitan Life Global Funding |
|
|
|
|
|
|
|
|
2.400%, 01/08/2021 (A) |
|
$ |
795 |
|
|
$ |
788 |
|
Morgan Stanley |
|
|
|
|
|
|
|
|
3.941%, VAR ICE LIBOR USD 3 Month+1.180%, 01/20/2022 |
|
|
475 |
|
|
|
479 |
|
3.414%, VAR ICE LIBOR USD 3 Month+0.800%, 02/14/2020 |
|
|
1,210 |
|
|
|
1,210 |
|
National Bank of Canada MTN |
|
|
|
|
|
|
|
|
3.336%, VAR ICE LIBOR USD 3 Month+0.560%, 06/12/2020 |
|
|
1,875 |
|
|
|
1,879 |
|
New York Life Global Funding |
|
|
|
|
|
|
|
|
3.169%, VAR ICE LIBOR USD 3 Month+0.390%, 10/24/2019 (A) |
|
|
600 |
|
|
|
602 |
|
2.957%, VAR ICE LIBOR USD 3 Month+0.160%, 10/01/2020 (A) |
|
|
600 |
|
|
|
600 |
|
2.861%, VAR ICE LIBOR USD 3 Month+0.100%, 01/21/2020 (A) |
|
|
665 |
|
|
|
665 |
|
Penske Truck Leasing Lp |
|
|
|
|
|
|
|
|
3.650%, 07/29/2021 (A) |
|
|
400 |
|
|
|
402 |
|
PNC Bank |
|
|
|
|
|
|
|
|
3.011%, VAR ICE LIBOR USD 3 Month+0.250%, 01/22/2021 |
|
|
1,050 |
|
|
|
1,045 |
|
3.000%, VAR ICE LIBOR USD 3 Month+0.360%, 05/19/2020 |
|
|
500 |
|
|
|
501 |
|
1.450%, 07/29/2019 |
|
|
350 |
|
|
|
348 |
|
Protective Life Global Funding |
|
|
|
|
|
|
|
|
1.722%, 04/15/2019 (A) |
|
|
355 |
|
|
|
354 |
|
Reckitt Benckiser Treasury Services PLC |
|
|
|
|
|
|
|
|
3.384%, VAR ICE LIBOR USD 3 Month+0.560%, 06/24/2022 (A) |
|
|
550 |
|
|
|
543 |
|
Regions Bank |
|
|
|
|
|
|
|
|
3.118%, VAR ICE LIBOR USD 3 Month+0.500%, 08/13/2021 |
|
|
450 |
|
|
|
446 |
|
Royal Bank of Canada |
|
|
|
|
|
|
|
|
2.100%, 10/14/2020 |
|
|
985 |
|
|
|
973 |
|
Royal Bank of Canada MTN |
|
|
|
|
|
|
|
|
3.141%, VAR ICE LIBOR USD 3 Month+0.390%, 04/30/2021 |
|
|
580 |
|
|
|
580 |
|
Santander UK PLC |
|
|
|
|
|
|
|
|
3.358%, VAR ICE LIBOR USD 3 Month+0.620%, 06/01/2021 |
|
|
525 |
|
|
|
523 |
|
Standard Chartered PLC |
|
|
|
|
|
|
|
|
3.911%, VAR ICE LIBOR USD 3 Month+1.150%, 01/20/2023 (A) |
|
|
525 |
|
|
|
518 |
|
Sumitomo Mitsui Banking |
|
|
|
|
|
|
|
|
3.123%, VAR ICE LIBOR USD 3 Month+0.350%, 01/17/2020 |
|
|
250 |
|
|
|
250 |
|
SunTrust Bank |
|
|
|
|
|
|
|
|
3.274%, VAR ICE LIBOR USD 3 Month+0.530%, 01/31/2020 |
|
|
1,835 |
|
|
|
1,838 |
|
2.590%, VAR ICE LIBOR USD 3 Month+0.298%, 01/29/2021 |
|
|
450 |
|
|
|
448 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
CORPORATE OBLIGATIONS (continued) |
|
Svenska Handelsbanken MTN |
|
|
|
|
|
|
|
|
3.229%, VAR ICE LIBOR USD 3 Month+0.490%, 09/06/2019 |
|
$ |
400 |
|
|
$ |
401 |
|
3.159%, VAR ICE LIBOR USD 3 Month+0.470%, 05/24/2021 |
|
|
525 |
|
|
|
526 |
|
Synchrony Financial |
|
|
|
|
|
|
|
|
3.968%, VAR ICE LIBOR USD 3 Month+1.230%, 02/03/2020 |
|
|
600 |
|
|
|
600 |
|
Toronto-Dominion Bank MTN |
|
|
|
|
|
|
|
|
3.201%, VAR ICE LIBOR USD 3 Month+0.430%, 06/11/2021 |
|
|
1,600 |
|
|
|
1,602 |
|
1.450%, 08/13/2019 |
|
|
550 |
|
|
|
546 |
|
Toyota Motor Credit MTN |
|
|
|
|
|
|
|
|
3.220%, VAR ICE LIBOR USD 3 Month+0.440%, 10/18/2019 |
|
|
400 |
|
|
|
401 |
|
UBS MTN |
|
|
|
|
|
|
|
|
3.254%, VAR ICE LIBOR USD 3 Month+0.640%, 08/14/2019 |
|
|
450 |
|
|
|
451 |
|
2.200%, 06/08/2020 (A) |
|
|
1,465 |
|
|
|
1,446 |
|
UniCredit MTN |
|
|
|
|
|
|
|
|
6.572%, 01/14/2022 (A) |
|
|
350 |
|
|
|
358 |
|
US Bancorp MTN |
|
|
|
|
|
|
|
|
3.171%, VAR ICE LIBOR USD 3 Month+0.400%, 04/25/2019 |
|
|
400 |
|
|
|
400 |
|
US Bank |
|
|
|
|
|
|
|
|
3.048%, VAR ICE LIBOR USD 3 Month+0.310%, 02/04/2021 |
|
|
1,250 |
|
|
|
1,250 |
|
1.400%, 04/26/2019 |
|
|
350 |
|
|
|
349 |
|
Volkswagen Group of America Finance LLC |
|
|
|
|
|
|
|
|
3.875%, 11/13/2020 (A) |
|
|
820 |
|
|
|
829 |
|
3.558%, VAR ICE LIBOR USD 3 Month+0.940%, 11/12/2021 (A) |
|
|
750 |
|
|
|
749 |
|
Wells Fargo |
|
|
|
|
|
|
|
|
3.889%, VAR ICE LIBOR USD 3 Month+1.110%, 01/24/2023 |
|
|
400 |
|
|
|
402 |
|
Wells Fargo MTN |
|
|
|
|
|
|
|
|
3.389%, VAR ICE LIBOR USD 3 Month+0.650%, 12/06/2019 |
|
|
650 |
|
|
|
654 |
|
2.600%, 07/22/2020 |
|
|
1,715 |
|
|
|
1,709 |
|
Wells Fargo Bank MTN |
|
|
|
|
|
|
|
|
2.870%, VAR United States Secured Overnight Financing Rate+0.480%, 03/25/2020 |
|
|
720 |
|
|
|
719 |
|
|
|
|
|
|
|
|
94,509 |
|
|
|
|
Health Care 3.9% |
|
|
|
|
|
|
|
|
Amgen |
|
|
|
|
|
|
|
|
3.065%, VAR ICE LIBOR USD 3 Month+0.450%, 05/11/2020 |
|
|
450 |
|
|
|
451 |
|
2.935%, VAR ICE LIBOR USD 3 Month+0.320%, 05/10/2019 |
|
|
1,035 |
|
|
|
1,036 |
|
Bayer US Finance II LLC |
|
|
|
|
|
|
|
|
3.500%, 06/25/2021 (A) |
|
|
425 |
|
|
|
424 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
23 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Ultra Short Duration Bond Fund (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
CORPORATE OBLIGATIONS (continued) |
|
3.452%, VAR ICE LIBOR USD 3 Month+0.630%, 06/25/2021 (A) |
|
$ |
775 |
|
|
$ |
767 |
|
Becton Dickinson |
|
|
|
|
|
|
|
|
3.678%, VAR ICE LIBOR USD 3 Month+0.875%, 12/29/2020 |
|
|
375 |
|
|
|
373 |
|
Cardinal Health |
|
|
|
|
|
|
|
|
3.558%, VAR ICE LIBOR USD 3
Month+0.770%, 06/15/2022 |
|
|
775 |
|
|
|
769 |
|
Cigna |
|
|
|
|
|
|
|
|
3.438%, VAR ICE LIBOR USD 3 Month+0.650%, 09/17/2021 (A) |
|
|
375 |
|
|
|
373 |
|
3.200%, 09/17/2020 (A) |
|
|
1,965 |
|
|
|
1,967 |
|
CVS Health |
|
|
|
|
|
|
|
|
3.487%, VAR ICE LIBOR USD 3 Month+0.720%, 03/09/2021 |
|
|
435 |
|
|
|
436 |
|
3.397%, VAR ICE LIBOR USD 3 Month+0.630%, 03/09/2020 |
|
|
1,620 |
|
|
|
1,623 |
|
Dignity Health |
|
|
|
|
|
|
|
|
2.637%, 11/01/2019 |
|
|
1,260 |
|
|
|
1,257 |
|
Gilead Sciences |
|
|
|
|
|
|
|
|
3.042%, VAR ICE LIBOR USD 3 Month+0.250%, 09/20/2019 |
|
|
1,535 |
|
|
|
1,535 |
|
McKesson |
|
|
|
|
|
|
|
|
3.650%, 11/30/2020 |
|
|
300 |
|
|
|
302 |
|
UnitedHealth Group |
|
|
|
|
|
|
|
|
2.857%, VAR ICE LIBOR USD 3 Month+0.070%, 10/15/2020 |
|
|
500 |
|
|
|
499 |
|
|
|
|
|
|
|
|
11,812 |
|
|
|
|
Industrials 2.9% |
|
|
|
|
|
|
|
|
Air Lease |
|
|
|
|
|
|
|
|
2.125%, 01/15/2020 |
|
|
300 |
|
|
|
297 |
|
Aviation Capital Group LLC |
|
|
|
|
|
|
|
|
3.421%, VAR ICE LIBOR USD 3 Month+0.670%, 07/30/2021 (A) |
|
|
570 |
|
|
|
566 |
|
Caterpillar Financial Services MTN |
|
|
|
|
|
|
|
|
3.104%, VAR ICE LIBOR USD 3 Month+0.280%, 03/22/2019 |
|
|
375 |
|
|
|
375 |
|
3.046%, VAR ICE LIBOR USD 3 Month+0.280%, 09/07/2021 |
|
|
1,600 |
|
|
|
1,590 |
|
Equifax |
|
|
|
|
|
|
|
|
3.486%, VAR ICE LIBOR USD 3 Month+0.870%, 08/15/2021 |
|
|
765 |
|
|
|
761 |
|
Fortive |
|
|
|
|
|
|
|
|
1.800%, 06/15/2019 |
|
|
31 |
|
|
|
31 |
|
GE Capital International Funding |
|
|
|
|
|
|
|
|
2.342%, 11/15/2020 |
|
|
1,215 |
|
|
|
1,186 |
|
General Dynamics |
|
|
|
|
|
|
|
|
2.875%, 05/11/2020 |
|
|
1,555 |
|
|
|
1,559 |
|
Honeywell International |
|
|
|
|
|
|
|
|
3.031%, VAR ICE LIBOR USD 3 Month+0.280%, 10/30/2019 |
|
|
800 |
|
|
|
801 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
CORPORATE OBLIGATIONS (continued) |
|
John Deere Capital MTN |
|
|
|
|
|
|
|
|
2.350%, 01/08/2021 |
|
$ |
445 |
|
|
$ |
441 |
|
PACCAR Financial MTN |
|
|
|
|
|
|
|
|
1.300%, 05/10/2019 |
|
|
160 |
|
|
|
159 |
|
United Technologies |
|
|
|
|
|
|
|
|
3.279%, VAR ICE LIBOR USD 3 Month+0.650%, 08/16/2021 |
|
|
375 |
|
|
|
375 |
|
3.086%, VAR ICE LIBOR USD 3 Month+0.350%, 11/01/2019 |
|
|
600 |
|
|
|
601 |
|
|
|
|
|
|
|
|
8,742 |
|
|
|
|
Information Technology 1.1% |
|
|
|
|
|
|
|
|
Broadcom |
|
|
|
|
|
|
|
|
2.375%, 01/15/2020 |
|
|
800 |
|
|
|
794 |
|
DXC Technology |
|
|
|
|
|
|
|
|
2.875%, 03/27/2020 |
|
|
400 |
|
|
|
398 |
|
Hewlett Packard Enterprise |
|
|
|
|
|
|
|
|
3.515%, VAR ICE LIBOR USD 3 Month+0.720%, 10/05/2021 |
|
|
375 |
|
|
|
372 |
|
2.100%, 10/04/2019 (A) |
|
|
800 |
|
|
|
795 |
|
IBM Credit LLC |
|
|
|
|
|
|
|
|
3.177%, VAR ICE LIBOR USD 3 Month+0.470%, 11/30/2020 |
|
|
1,140 |
|
|
|
1,143 |
|
|
|
|
|
|
|
|
3,502 |
|
|
|
|
Materials 0.5% |
|
|
|
|
|
|
|
|
Air Liquide Finance |
|
|
|
|
|
|
|
|
1.375%, 09/27/2019 (A) |
|
|
400 |
|
|
|
396 |
|
DowDuPont |
|
|
|
|
|
|
|
|
3.766%, 11/15/2020 |
|
|
455 |
|
|
|
461 |
|
International Flavors & Fragrances |
|
|
|
|
|
|
|
|
3.400%, 09/25/2020 |
|
|
245 |
|
|
|
246 |
|
Syngenta Finance |
|
|
|
|
|
|
|
|
3.698%, 04/24/2020 (A) |
|
|
450 |
|
|
|
449 |
|
|
|
|
|
|
|
|
1,552 |
|
|
|
|
Utilities 1.9% |
|
|
|
|
|
|
|
|
American Electric Power |
|
|
|
|
|
|
|
|
2.150%, 11/13/2020 |
|
|
450 |
|
|
|
443 |
|
Consolidated Edison of New York |
|
|
|
|
|
|
|
|
3.222%, VAR ICE LIBOR USD 3 Month+0.400%, 06/25/2021 |
|
|
1,730 |
|
|
|
1,727 |
|
DTE Energy |
|
|
|
|
|
|
|
|
1.500%, 10/01/2019 |
|
|
435 |
|
|
|
430 |
|
Duke Energy Progress LLC |
|
|
|
|
|
|
|
|
2.947%, VAR ICE LIBOR USD 3 Month+0.180%, 09/08/2020 |
|
|
540 |
|
|
|
539 |
|
Emera US Finance |
|
|
|
|
|
|
|
|
2.150%, 06/15/2019 |
|
|
165 |
|
|
|
164 |
|
Sempra Energy |
|
|
|
|
|
|
|
|
3.037%, VAR ICE LIBOR USD 3 Month+0.250%, 07/15/2019 |
|
|
1,705 |
|
|
|
1,699 |
|
|
|
|
24 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
CORPORATE OBLIGATIONS (continued) |
|
1.625%, 10/07/2019 |
|
$ |
850 |
|
|
$ |
842 |
|
|
|
|
|
|
|
|
5,844 |
|
|
|
|
Total Corporate Obligations (Cost $155,775) ($ Thousands) |
|
|
|
|
|
|
155,667 |
|
|
ASSET-BACKED SECURITIES 28.8% |
|
|
|
|
Automotive 10.7% |
|
|
|
|
|
|
|
|
American Credit Acceptance Receivables Trust, Ser 2016-3, Cl B |
|
|
|
|
|
|
|
|
2.870%, 08/12/2022 (A) |
|
|
190 |
|
|
|
190 |
|
American Credit Acceptance Receivables Trust, Ser 2018-1, CI A |
|
|
|
|
|
|
|
|
2.720%, 03/10/2021 (A) |
|
|
118 |
|
|
|
118 |
|
American Credit Acceptance Receivables Trust, Ser 2018-3, Cl A |
|
|
|
|
|
|
|
|
2.920%, 08/12/2021 (A) |
|
|
230 |
|
|
|
230 |
|
American Credit Acceptance Receivables Trust, Ser 2018-4, Cl A |
|
|
|
|
|
|
|
|
3.380%, 12/13/2021 (A) |
|
|
747 |
|
|
|
747 |
|
AmeriCredit Automobile Receivables Trust, Ser 2014-3, Cl D |
|
|
|
|
|
|
|
|
3.130%, 10/08/2020 |
|
|
775 |
|
|
|
775 |
|
AmeriCredit Automobile Receivables Trust, Ser 2016-2, Cl A3 |
|
|
|
|
|
|
|
|
1.600%, 11/09/2020 |
|
|
11 |
|
|
|
11 |
|
AmeriCredit Automobile Receivables Trust, Ser 2016-3, Cl A3 |
|
|
|
|
|
|
|
|
1.460%, 05/10/2021 |
|
|
31 |
|
|
|
31 |
|
Americredit Automobile Receivables Trust, Ser 2018-1, Cl A2A |
|
|
|
|
|
|
|
|
2.710%, 07/19/2021 |
|
|
251 |
|
|
|
250 |
|
Americredit Automobile Receivables Trust, Ser 2018-2, Cl A2A |
|
|
|
|
|
|
|
|
2.860%, 11/18/2021 |
|
|
460 |
|
|
|
459 |
|
ARI Fleet Lease Trust, Ser 2017-A, Cl A2 |
|
|
|
|
|
|
|
|
1.910%, 04/15/2026 (A) |
|
|
217 |
|
|
|
216 |
|
Canadian Pacer Auto Receivables Trust, Ser 2017-1A, Cl A2A |
|
|
|
|
|
|
|
|
1.772%, 12/19/2019 (A) |
|
|
124 |
|
|
|
124 |
|
CarMax Auto Owner Trust, Ser 2015-4, Cl A3 |
|
|
|
|
|
|
|
|
1.560%, 11/16/2020 |
|
|
145 |
|
|
|
145 |
|
Chesapeake Funding II LLC, Ser 2016-2A, CI A2 |
|
|
|
|
|
|
|
|
3.509%, VAR ICE LIBOR USD 1 Month+1.000%, 06/15/2028 (A) |
|
|
255 |
|
|
|
256 |
|
Chesapeake Funding II LLC, Ser 2017-2A, CI A1 |
|
|
|
|
|
|
|
|
1.990%, 05/15/2029 (A) |
|
|
200 |
|
|
|
198 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
ASSET-BACKED SECURITIES (continued) |
|
Chesapeake Funding II LLC, Ser 2017-3A, CI A1 |
|
|
|
|
|
|
|
|
1.910%, 08/15/2029 (A) |
|
$ |
246 |
|
|
$ |
243 |
|
Chesapeake Funding II LLC, Ser 2017-3A, CI A2 |
|
|
|
|
|
|
|
|
2.849%, VAR ICE LIBOR USD 1 Month+0.340%, 08/15/2029 (A) |
|
|
652 |
|
|
|
651 |
|
Chesapeake Funding II LLC, Ser 2017-4A, CI A1 |
|
|
|
|
|
|
|
|
2.120%, 11/15/2029 (A) |
|
|
299 |
|
|
|
294 |
|
Chesapeake Funding II LLC, Ser 2017-4A, CI A2 |
|
|
|
|
|
|
|
|
2.849%, VAR ICE LIBOR USD 1 Month+0.340%, 11/15/2029 (A) |
|
|
1,186 |
|
|
|
1,180 |
|
Chesapeake Funding II LLC, Ser 2018-1A, CI A1 |
|
|
|
|
|
|
|
|
3.040%, 04/15/2030 (A) |
|
|
306 |
|
|
|
306 |
|
Chesapeake Funding II LLC, Ser 2018-2A, CI A2 |
|
|
|
|
|
|
|
|
2.879%, VAR ICE LIBOR USD 1 Month+0.370%, 08/15/2030 (A) |
|
|
525 |
|
|
|
524 |
|
Chesapeake Funding II LLC, Ser 2018-3A, CI A1 |
|
|
|
|
|
|
|
|
3.390%, 01/15/2031 (A) |
|
|
360 |
|
|
|
362 |
|
Chrysler Capital Auto Receivables Trust, Ser 2016-BA, CI A3 |
|
|
|
|
|
|
|
|
1.640%, 07/15/2021 (A) |
|
|
351 |
|
|
|
350 |
|
CIG Auto Receivables Trust, Ser 2017-1A, Cl A |
|
|
|
|
|
|
|
|
2.710%, 05/15/2023 (A) |
|
|
74 |
|
|
|
74 |
|
CPS Auto Trust, Ser 2017-C, CI A |
|
|
|
|
|
|
|
|
1.780%, 09/15/2020 (A) |
|
|
10 |
|
|
|
10 |
|
CPS Auto Trust, Ser 2017-D, CI A |
|
|
|
|
|
|
|
|
1.870%, 03/15/2021 (A) |
|
|
47 |
|
|
|
47 |
|
CPS Auto Trust, Ser 2018-A, CI A |
|
|
|
|
|
|
|
|
2.160%, 05/17/2021 (A) |
|
|
58 |
|
|
|
58 |
|
CPS Auto Trust, Ser 2018-C, CI A |
|
|
|
|
|
|
|
|
2.870%, 09/15/2021 (A) |
|
|
219 |
|
|
|
219 |
|
CPS Auto Trust, Ser 2018-D, CI A |
|
|
|
|
|
|
|
|
3.060%, 01/18/2022 (A) |
|
|
356 |
|
|
|
355 |
|
CPS Auto Trust, Ser 2019-A, CI A |
|
|
|
|
|
|
|
|
3.180%, 06/15/2022 (A) |
|
|
410 |
|
|
|
410 |
|
Credit Acceptance Auto Loan Trust, Ser 2017-2A, CI A |
|
|
|
|
|
|
|
|
2.550%, 02/17/2026 (A) |
|
|
500 |
|
|
|
496 |
|
Credit Acceptance Auto Loan Trust, Ser 2017-3A, CI A |
|
|
|
|
|
|
|
|
2.650%, 06/15/2026 (A) |
|
|
250 |
|
|
|
248 |
|
Drive Auto Receivables Trust, Ser 2015-DA, CI D |
|
|
|
|
|
|
|
|
4.590%, 01/17/2023 (A) |
|
|
405 |
|
|
|
407 |
|
Drive Auto Receivables Trust, Ser 2018-3, Cl A3 |
|
|
|
|
|
|
|
|
3.010%, 11/15/2021 |
|
|
790 |
|
|
|
790 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
25 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Ultra Short Duration Bond Fund (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
ASSET-BACKED SECURITIES (continued) |
|
Drive Auto Receivables Trust, Ser 2018-4, Cl A3 |
|
|
|
|
|
|
|
|
3.040%, 11/15/2021 |
|
$ |
220 |
|
|
$ |
220 |
|
Drive Auto Receivables Trust, Ser 2018-4, CI B |
|
|
|
|
|
|
|
|
3.360%, 10/17/2022 |
|
|
855 |
|
|
|
856 |
|
Drive Auto Receivables Trust, Ser 2018-5, CI A2B |
|
|
|
|
|
|
|
|
2.829%, VAR ICE LIBOR USD 1 Month+0.320%, 07/15/2021 |
|
|
410 |
|
|
|
410 |
|
Drive Auto Receivables Trust, Ser 2019-1, Cl A3 |
|
|
|
|
|
|
|
|
3.180%, 10/17/2022 |
|
|
405 |
|
|
|
405 |
|
DT Auto Owner Trust, Ser 2017-4A, Cl B |
|
|
|
|
|
|
|
|
2.440%, 01/15/2021 (A) |
|
|
423 |
|
|
|
423 |
|
DT Auto Owner Trust, Ser 2018-1A, Cl A |
|
|
|
|
|
|
|
|
2.590%, 05/17/2021 (A) |
|
|
169 |
|
|
|
168 |
|
DT Auto Owner Trust, Ser 2018-3A, Cl A |
|
|
|
|
|
|
|
|
3.020%, 02/15/2022 (A) |
|
|
1,429 |
|
|
|
1,427 |
|
DT Auto Owner Trust, Ser 2018-3A, Cl B |
|
|
|
|
|
|
|
|
3.560%, 09/15/2022 (A) |
|
|
665 |
|
|
|
669 |
|
Enterprise Fleet Financing LLC, Ser 2017-2, CI A2 |
|
|
|
|
|
|
|
|
1.970%, 01/20/2023 (A) |
|
|
150 |
|
|
|
149 |
|
Enterprise Fleet Financing LLC, Ser 2018-2, CI A2 |
|
|
|
|
|
|
|
|
3.140%, 02/20/2024 (A) |
|
|
290 |
|
|
|
290 |
|
Exeter Automobile Receivables Trust, Ser 2018-1A, Cl A |
|
|
|
|
|
|
|
|
2.210%, 05/17/2021 (A) |
|
|
77 |
|
|
|
76 |
|
Exeter Automobile Receivables Trust, Ser 2018-3A, CI A |
|
|
|
|
|
|
|
|
2.900%, 01/18/2022 (A) |
|
|
363 |
|
|
|
363 |
|
Exeter Automobile Receivables Trust, Ser 2019-1A, Cl A |
|
|
|
|
|
|
|
|
3.200%, 04/15/2022 (A) |
|
|
775 |
|
|
|
775 |
|
First Investors Auto Owner Trust, Ser 2017-1A, CI A1 |
|
|
|
|
|
|
|
|
1.690%, 04/15/2021 (A) |
|
|
13 |
|
|
|
12 |
|
First Investors Auto Owner Trust, Ser 2017-2A, CI A1 |
|
|
|
|
|
|
|
|
1.860%, 10/15/2021 (A) |
|
|
41 |
|
|
|
41 |
|
First Investors Auto Owner Trust, Ser 2018-1A, CI A1 |
|
|
|
|
|
|
|
|
2.840%, 05/16/2022 (A) |
|
|
140 |
|
|
|
140 |
|
Flagship Credit Auto Trust, Ser 2017-2, Cl A |
|
|
|
|
|
|
|
|
1.850%, 07/15/2021 (A) |
|
|
44 |
|
|
|
44 |
|
Flagship Credit Auto Trust, Ser 2017-3, Cl A |
|
|
|
|
|
|
|
|
1.880%, 10/15/2021 (A) |
|
|
176 |
|
|
|
175 |
|
Flagship Credit Auto Trust, Ser 2018-3, Cl A |
|
|
|
|
|
|
|
|
3.070%, 02/15/2023 (A) |
|
|
355 |
|
|
|
355 |
|
Flagship Credit Auto Trust, Ser 2018-4, Cl A |
|
|
|
|
|
|
|
|
3.410%, 05/15/2023 (A) |
|
|
543 |
|
|
|
544 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
ASSET-BACKED SECURITIES (continued) |
|
Ford Credit Auto Owner Trust, Ser 2014-1, CI A |
|
|
|
|
|
|
|
|
2.260%, 11/15/2025 (A) |
|
$ |
930 |
|
|
$ |
928 |
|
Ford Credit Auto Owner Trust, Ser 2015-2, CI A |
|
|
|
|
|
|
|
|
2.440%, 01/15/2027 (A) |
|
|
695 |
|
|
|
689 |
|
Ford Credit Floorplan Master Owner Trust, Ser 2016-5, CI A1 |
|
|
|
|
|
|
|
|
1.950%, 11/15/2021 |
|
|
450 |
|
|
|
446 |
|
GLS Auto Receivables Trust, Ser 2017-1A, CI A2 |
|
|
|
|
|
|
|
|
2.670%, 04/15/2021 (A) |
|
|
166 |
|
|
|
166 |
|
GLS Auto Receivables Trust, Ser 2018-1A, Cl A |
|
|
|
|
|
|
|
|
2.820%, 07/15/2022 (A) |
|
|
372 |
|
|
|
371 |
|
GLS Auto Receivables Trust, Ser 2018-3A, Cl A |
|
|
|
|
|
|
|
|
3.350%, 08/15/2022 (A) |
|
|
347 |
|
|
|
347 |
|
GM Financial Automobile Leasing Trust, Ser 2016-3, Cl A3 |
|
|
|
|
|
|
|
|
1.610%, 12/20/2019 |
|
|
69 |
|
|
|
69 |
|
Mercedes-Benz Auto Trust, Ser 2016-1, Cl A4 |
|
|
|
|
|
|
|
|
1.460%, 12/15/2022 |
|
|
1,465 |
|
|
|
1,439 |
|
Mercedes-Benz Auto Trust, Ser 2019-A, Cl A3 |
|
|
|
|
|
|
|
|
3.100%, 11/15/2021 |
|
|
310 |
|
|
|
311 |
|
Nissan Master Owner Trust Receivables, Ser 2016-A, CI A2 |
|
|
|
|
|
|
|
|
1.540%, 06/15/2021 |
|
|
395 |
|
|
|
393 |
|
Nissan Master Owner Trust Receivables, Ser 2017-C, CI A |
|
|
|
|
|
|
|
|
2.829%, VAR ICE LIBOR USD 1 Month+0.320%, 10/17/2022 |
|
|
1,225 |
|
|
|
1,225 |
|
Prestige Auto Receivables Trust, Ser 2017-1A, Cl A3 |
|
|
|
|
|
|
|
|
2.050%, 10/15/2021 (A) |
|
|
925 |
|
|
|
921 |
|
Prestige Auto Receivables Trust, Ser 2018-1A, CI A2 |
|
|
|
|
|
|
|
|
2.970%, 12/15/2021 (A) |
|
|
695 |
|
|
|
694 |
|
Santander Drive Auto Receivables Trust, Ser 2014-4, Cl D |
|
|
|
|
|
|
|
|
3.100%, 11/16/2020 |
|
|
1,065 |
|
|
|
1,065 |
|
Santander Drive Auto Receivables Trust, Ser 2015-4, Cl C |
|
|
|
|
|
|
|
|
2.970%, 03/15/2021 |
|
|
297 |
|
|
|
297 |
|
Santander Drive Auto Receivables Trust, Ser 2016-3, Cl C |
|
|
|
|
|
|
|
|
2.460%, 03/15/2022 |
|
|
450 |
|
|
|
448 |
|
Santander Drive Auto Receivables Trust, Ser 2017-A, CI A3 |
|
|
|
|
|
|
|
|
2.220%, 01/20/2021 (A) |
|
|
1,325 |
|
|
|
1,316 |
|
Santander Drive Auto Receivables Trust, Ser 2018-3, Cl A3 |
|
|
|
|
|
|
|
|
3.030%, 02/15/2022 |
|
|
220 |
|
|
|
220 |
|
|
|
|
26 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
ASSET-BACKED SECURITIES (continued) |
|
Securitized Term Auto Receivables Trust, Ser 2017-2A, Cl A2A |
|
|
|
|
|
|
|
|
1.775%, 01/27/2020 (A) |
|
$ |
39 |
|
|
$ |
39 |
|
Skopos Auto Receivables Trust, Ser 2018-1A, CI A |
|
|
|
|
|
|
|
|
3.190%, 09/15/2021 (A) |
|
|
211 |
|
|
|
211 |
|
Tesla Auto Lease Trust, Ser 2018-A, Cl A |
|
|
|
|
|
|
|
|
2.320%, 12/20/2019 (A) |
|
|
281 |
|
|
|
280 |
|
Tesla Auto Lease Trust, Ser 2018-B, Cl A |
|
|
|
|
|
|
|
|
3.710%, 08/20/2021 (A) |
|
|
815 |
|
|
|
821 |
|
United Auto Credit Securitization Trust, Ser 2018-1, Cl A |
|
|
|
|
|
|
|
|
2.260%, 04/10/2020 (A) |
|
|
47 |
|
|
|
47 |
|
United Auto Credit Securitization Trust, Ser 2018-1, Cl B |
|
|
|
|
|
|
|
|
2.760%, 10/13/2020 (A) |
|
|
300 |
|
|
|
299 |
|
Westlake Automobile Receivables Trust, Ser 2017-2A, Cl A2A |
|
|
|
|
|
|
|
|
1.800%, 07/15/2020 (A) |
|
|
54 |
|
|
|
54 |
|
Westlake Automobile Receivables Trust, Ser 2018-2A, Cl A2A |
|
|
|
|
|
|
|
|
2.840%, 09/15/2021 (A) |
|
|
290 |
|
|
|
290 |
|
World Omni Auto Receivables Trust, Ser 2019-A, CI A2 |
|
|
|
|
|
|
|
|
3.020%, 04/15/2022 |
|
|
645 |
|
|
|
646 |
|
World Omni Select Auto Trust, Ser 2018-1A, CI B |
|
|
|
|
|
|
|
|
3.680%, 07/15/2023 (A) |
|
|
320 |
|
|
|
324 |
|
|
|
|
|
|
|
|
32,672 |
|
|
|
|
Financials 5.0% |
|
|
|
|
|
|
|
|
|
|
|
American Express Credit, Ser 2014-1, Cl A |
|
|
|
|
|
|
|
|
2.879%, VAR ICE LIBOR USD 1 Month+0.370%, 12/15/2021 |
|
|
1,000 |
|
|
|
1,001 |
|
Capital One Multi-Asset Execution Trust, Ser 2014-A1, CI A1 |
|
|
|
|
|
|
|
|
2.959%, VAR ICE LIBOR USD 1 Month+0.450%, 02/15/2022 |
|
|
800 |
|
|
|
800 |
|
Capital One Multi-Asset Execution Trust, Ser 2015-A3, Cl A3 |
|
|
|
|
|
|
|
|
2.909%, VAR ICE LIBOR USD 1 Month+0.400%, 03/15/2023 |
|
|
735 |
|
|
|
737 |
|
Capital One Multi-Asset Execution Trust, Ser 2016-A3, Cl A3 |
|
|
|
|
|
|
|
|
1.340%, 04/15/2022 |
|
|
1,700 |
|
|
|
1,691 |
|
Capital One Multi-Asset Execution Trust, Ser 2016-A6, CI A6 |
|
|
|
|
|
|
|
|
1.820%, 09/15/2022 |
|
|
1,395 |
|
|
|
1,385 |
|
CARDS II Trust, Ser 2017-1A, CI A |
|
|
|
|
|
|
|
|
2.879%, VAR ICE LIBOR USD 1 Month+0.370%, 04/18/2022 (A) |
|
|
865 |
|
|
|
865 |
|
Chase Issuance Trust, Ser 2016-A5, CI A5 |
|
|
|
|
|
|
|
|
1.270%, 07/15/2021 |
|
|
500 |
|
|
|
497 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
ASSET-BACKED SECURITIES (continued) |
|
Credit Suisse, Ser 2018-LD1 3.420%, 07/25/2024 |
|
$ |
163 |
|
|
$ |
163 |
|
Discover Card Execution Note Trust, Ser 2015-A2, Cl A |
|
|
|
|
|
|
|
|
1.900%, 10/17/2022 |
|
|
2,205 |
|
|
|
2,182 |
|
Evergreen Credit Card Trust, Ser 2019-1, Cl A |
|
|
|
|
|
|
|
|
3.056%, VAR ICE LIBOR USD 1 Month+0.480%, 01/15/2023 (A) |
|
|
650 |
|
|
|
650 |
|
GE Capital Credit Card Master Note Trust, Ser 2012-7, Cl A |
|
|
|
|
|
|
|
|
1.760%, 09/15/2022 |
|
|
650 |
|
|
|
646 |
|
Golden Credit Card Trust, Ser 2016-5A, Cl A |
|
|
|
|
|
|
|
|
1.600%, 09/15/2021 (A) |
|
|
335 |
|
|
|
332 |
|
Golden Credit Card Trust, Ser 2019-1A, Cl A |
|
|
|
|
|
|
|
|
2.950%, VAR ICE LIBOR USD 1 Month+0.450%, 12/15/2022 (A) |
|
|
685 |
|
|
|
686 |
|
KKR, Ser 2018-21, CI A |
|
|
|
|
|
|
|
|
3.787%, VAR ICE LIBOR USD 3 Month+1.000%, 04/15/2031 (A) |
|
|
465 |
|
|
|
456 |
|
Master Credit Card Trust, Ser 2019-1A, Cl A |
|
|
|
|
|
|
|
|
3.104%, VAR ICE LIBOR USD 1 Month+0.480%, 07/21/2022 (A) |
|
|
350 |
|
|
|
350 |
|
Synchrony Credit Card Master Note Trust, Ser 2015-4, Cl A |
|
|
|
|
|
|
|
|
2.380%, 09/15/2023 |
|
|
525 |
|
|
|
521 |
|
Synchrony Credit Card Master Note Trust, Ser 2016-3, Cl B |
|
|
|
|
|
|
|
|
1.910%, 09/15/2022 |
|
|
772 |
|
|
|
767 |
|
Trillium Credit Card Trust, Ser 19-1A |
|
|
|
|
|
|
|
|
2.512%, 01/26/2024 |
|
|
1,500 |
|
|
|
1,500 |
|
|
|
|
|
|
|
|
15,229 |
|
|
Miscellaneous Business Services 12.9% |
|
|
|
|
Ajax Mortgage Loan Trust, Ser 2017-B, Cl A |
|
|
|
|
|
|
|
|
3.163%, 09/25/2056 (A)(B) |
|
|
455 |
|
|
|
449 |
|
Ally Master Owner Trust, Ser 2017-1, Cl A |
|
|
|
|
|
|
|
|
2.909%, VAR ICE LIBOR USD 1 Month+0.400%, 02/15/2021 |
|
|
1,407 |
|
|
|
1,407 |
|
Ally Master Owner Trust, Ser 2018-3, Cl A |
|
|
|
|
|
|
|
|
2.829%, VAR ICE LIBOR USD 1 Month+0.320%, 07/15/2022 |
|
|
955 |
|
|
|
955 |
|
ALM VI, Ser 2018-6A, CI A1B3 |
|
|
|
|
|
|
|
|
3.987%, VAR ICE LIBOR USD 3 Month+1.200%, 07/15/2026 (A) |
|
|
600 |
|
|
|
599 |
|
ALM XVII, Ser 2018-17A, CI A1AR |
|
|
|
|
|
|
|
|
3.717%, VAR ICE LIBOR USD 3 Month+0.930%, 01/15/2028 (A) |
|
|
725 |
|
|
|
718 |
|
Apidos CLO XII, Ser 2018-12A, CI AR |
|
|
|
|
|
|
|
|
3.867%, VAR ICE LIBOR USD 3 Month+1.080%, 04/15/2031 (A) |
|
|
600 |
|
|
|
594 |
|
Barings CLO, Ser 2018-3A, CI A1 |
|
|
|
|
|
|
|
|
3.711%, VAR ICE LIBOR USD 3 Month+0.950%, 07/20/2029 (A) |
|
|
372 |
|
|
|
368 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
27 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Ultra Short Duration Bond Fund (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
ASSET-BACKED SECURITIES (continued) |
|
Bayview Opportunity Master Fund IIIa Trust, Ser 2017-RN8, CI A1 |
|
|
|
|
|
|
|
|
3.352%, 11/28/2032 (A) |
|
$ |
81 |
|
|
$ |
81 |
|
Bayview Opportunity Master Fund IVb Trust, Ser 2017-RT6, CI A |
|
|
|
|
|
|
|
|
3.500%, 10/28/2057 (A)(B) |
|
|
383 |
|
|
|
380 |
|
Bayview Opportunity Master Fund Trust IIb, Ser 2018-RN5, CI A1 |
|
|
|
|
|
|
|
|
3.820%, 04/28/2033 (A) |
|
|
110 |
|
|
|
110 |
|
Carlyle Global Market Strategies, Ser 2018-1A, CI A1R2 |
|
|
|
|
|
|
|
|
3.743%, VAR ICE LIBOR USD 3 Month+0.970%, 04/17/2031 (A) |
|
|
650 |
|
|
|
640 |
|
Carlyle Global Market Strategies, Ser 2018-2A, CI A1R |
|
|
|
|
|
|
|
|
3.545%, VAR ICE LIBOR USD 3 Month+0.780%, 04/27/2027 (A) |
|
|
750 |
|
|
|
746 |
|
CIFC Funding, Ser 2017-1A, CI A1R |
|
|
|
|
|
|
|
|
4.029%, VAR ICE LIBOR USD 3 Month+1.250%, 07/16/2030 (A) |
|
|
485 |
|
|
|
485 |
|
CLUB Credit Trust, Ser 2017-P2, Cl A |
|
|
|
|
|
|
|
|
2.610%, 01/15/2024 (A) |
|
|
187 |
|
|
|
187 |
|
CNH Equipment Trust, Ser 2017-C, Cl A2 |
|
|
|
|
|
|
|
|
1.840%, 03/15/2021 |
|
|
627 |
|
|
|
625 |
|
Cole Park CLO, Ser 2018-1A, CI AR |
|
|
|
|
|
|
|
|
3.811%, VAR ICE LIBOR USD 3 Month+1.050%, 10/20/2028 (A) |
|
|
750 |
|
|
|
746 |
|
Credit-Based Asset Servicing LLC, Ser 2005-CB3, Cl M2 |
|
|
|
|
|
|
|
|
3.440%, VAR ICE LIBOR USD 1 Month+0.930%, 05/25/2035 |
|
|
253 |
|
|
|
253 |
|
Dell Equipment Finance Trust, Ser 2018-1, Cl A2A |
|
|
|
|
|
|
|
|
2.970%, 10/22/2020 (A) |
|
|
375 |
|
|
|
375 |
|
DLL LLC, Ser 2017-A, CI A2 |
|
|
|
|
|
|
|
|
1.890%, 07/15/2020 (A) |
|
|
84 |
|
|
|
84 |
|
DLL LLC, Ser 2018-1, Cl A2 |
|
|
|
|
|
|
|
|
2.810%, 11/17/2020 (A) |
|
|
655 |
|
|
|
655 |
|
Engs Commercial Finance Trust, Ser 2018-1A, CI A1 |
|
|
|
|
|
|
|
|
2.970%, 02/22/2021 |
|
|
153 |
|
|
|
153 |
|
Finance of America Structured Securities Trust, Ser 2017-HB1, CI A |
|
|
|
|
|
|
|
|
2.321%, 11/25/2027 (A)(B) |
|
|
115 |
|
|
|
115 |
|
Finance of America Structured Securities Trust, Ser 2018-HB1, CI A |
|
|
|
|
|
|
|
|
3.375%, 09/25/2028 (A)(B) |
|
|
292 |
|
|
|
292 |
|
GSAMP Trust, Ser 2006-HE1, CI A2D |
|
|
|
|
|
|
|
|
2.820%, VAR ICE LIBOR USD 1 Month+0.310%, 01/25/2036 |
|
|
200 |
|
|
|
200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
ASSET-BACKED SECURITIES (continued) |
|
Madison Park Funding XII, Ser 2017-12A, CI AR |
|
|
|
|
|
|
|
|
4.021%, VAR ICE LIBOR USD 3 Month+1.260%, 07/20/2026 (A) |
|
$ |
240 |
|
|
$ |
240 |
|
Magnetite VII, Ser 2018-7A, CI A1R2 |
|
|
|
|
|
|
|
|
3.587%, VAR ICE LIBOR USD 3 Month+0.800%, 01/15/2028 (A) |
|
|
800 |
|
|
|
786 |
|
Magnetite VIII, Ser 2018-8A, CI AR2 |
|
|
|
|
|
|
|
|
3.767%, VAR ICE LIBOR USD 3 Month+0.980%, 04/15/2031 (A) |
|
|
685 |
|
|
|
680 |
|
Marlette Funding Trust, Ser 2017-3A, Cl A |
|
|
|
|
|
|
|
|
2.360%, 12/15/2024 (A) |
|
|
71 |
|
|
|
71 |
|
Marlette Funding Trust, Ser 2018-1A, Cl A |
|
|
|
|
|
|
|
|
2.610%, 03/15/2028 (A) |
|
|
143 |
|
|
|
143 |
|
Marlette Funding Trust, Ser 2018-2A, Cl A |
|
|
|
|
|
|
|
|
3.060%, 07/17/2028 |
|
|
170 |
|
|
|
170 |
|
Marlette Funding Trust, Ser 2018-4A, Cl A |
|
|
|
|
|
|
|
|
3.710%, 12/15/2028 (A) |
|
|
355 |
|
|
|
357 |
|
Mill City Mortgage Loan Trust, Ser 2017-3, CI A1 |
|
|
|
|
|
|
|
|
2.750%, 01/25/2061 (A)(B) |
|
|
433 |
|
|
|
422 |
|
Mill City Mortgage Loan Trust, Ser 2018-1, CI A1 |
|
|
|
|
|
|
|
|
3.250%, 05/25/2062 (A)(B) |
|
|
212 |
|
|
|
209 |
|
MMAF Equipment Finance LLC, Ser 2017-AA, CI A2 |
|
|
|
|
|
|
|
|
1.730%, 05/18/2020 (A) |
|
|
7 |
|
|
|
7 |
|
MMAF Equipment Finance LLC, Ser 2017-AA, Cl A3 |
|
|
|
|
|
|
|
|
2.040%, 02/16/2022 (A) |
|
|
350 |
|
|
|
347 |
|
Nationstar HECM Loan Trust, Ser 2017-2A, CI A1 |
|
|
|
|
|
|
|
|
2.038%, 09/25/2027 (A)(B) |
|
|
96 |
|
|
|
95 |
|
Nationstar HECM Loan Trust, Ser 2018-1A, CI A |
|
|
|
|
|
|
|
|
2.760%, 02/25/2028 (A)(B) |
|
|
117 |
|
|
|
117 |
|
Nationstar HECM Loan Trust, Ser 2018-2A, CI A |
|
|
|
|
|
|
|
|
3.188%, 07/25/2028 (A)(B) |
|
|
167 |
|
|
|
167 |
|
Navient Student Loan Trust, Ser 2016-6A, CI A1 |
|
|
|
|
|
|
|
|
2.990%, VAR ICE LIBOR USD 1 Month+0.480%, 03/25/2066 (A) |
|
|
|
|
|
|
|
|
Navient Student Loan Trust, Ser 2017-3A, CI A1 |
|
|
|
|
|
|
|
|
2.810%, VAR ICE LIBOR USD 1 Month+0.300%, 07/26/2066 (A) |
|
|
173 |
|
|
|
173 |
|
Navient Student Loan Trust, Ser 2018-1A |
|
|
|
|
|
|
|
|
2.860%, 03/25/2067 |
|
|
590 |
|
|
|
588 |
|
New Residential Mortgage LLC, Ser 2016-T2, CI AT2 |
|
|
|
|
|
|
|
|
2.575%, 10/15/2049 (A) |
|
|
300 |
|
|
|
298 |
|
|
|
|
28 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
ASSET-BACKED SECURITIES (continued) |
|
New Residential Mortgage LLC, Ser 2018-FNT1, CI A |
|
|
|
|
|
|
|
|
3.610%, 05/25/2023 (A) |
|
$ |
564 |
|
|
$ |
567 |
|
New Residential Mortgage LLC, Ser 2018-FNT2, CI A |
|
|
|
|
|
|
|
|
3.790%, 07/25/2054 (A) |
|
|
336 |
|
|
|
339 |
|
NextGear Floorplan Master Owner Trust, Ser 2017-2A, CI A1 |
|
|
|
|
|
|
|
|
3.189%, VAR ICE LIBOR USD 1 Month+0.680%, 10/17/2022 (A) |
|
|
935 |
|
|
|
937 |
|
NRZ Excess Spread-Collateralized Notes, Ser 2018-PLS1, CI A |
|
|
|
|
|
|
|
|
3.193%, 01/25/2023 (A) |
|
|
279 |
|
|
|
278 |
|
NRZ Excess Spread-Collateralized Notes, Ser 2018-PLS2, CI A |
|
|
|
|
|
|
|
|
3.265%, 02/25/2023 (A) |
|
|
134 |
|
|
|
134 |
|
NYCTL Trust, Ser 2017-A, CI A |
|
|
|
|
|
|
|
|
1.870%, 11/10/2030 (A) |
|
|
155 |
|
|
|
153 |
|
NYCTL Trust, Ser 2018-A, CI A |
|
|
|
|
|
|
|
|
3.220%, 11/10/2031 (A) |
|
|
990 |
|
|
|
987 |
|
OCP CLO, Ser 2017-8A, CI A1R |
|
|
|
|
|
|
|
|
3.623%, VAR ICE LIBOR USD 3 Month+0.850%, 04/17/2027 (A) |
|
|
500 |
|
|
|
497 |
|
Octagon Investment Partners, Ser 2017-1A, CI A1R |
|
|
|
|
|
|
|
|
3.546%, VAR ICE LIBOR USD 3 Month+0.900%, 05/21/2027 (A) |
|
|
725 |
|
|
|
722 |
|
Octagon Investment Partners, Ser 2017-1A, CI AR |
|
|
|
|
|
|
|
|
3.748%, VAR ICE LIBOR USD 3 Month+1.130%, 08/12/2026 (A) |
|
|
620 |
|
|
|
620 |
|
OneMain Financial Issuance Trust, Ser 2016-1A, Cl B |
|
|
|
|
|
|
|
|
4.570%, 02/20/2029 (A) |
|
|
185 |
|
|
|
187 |
|
OneMain Financial Issuance Trust, Ser 2019-1A, CI A |
|
|
|
|
|
|
|
|
3.480%, 02/14/2031 (A) |
|
|
550 |
|
|
|
550 |
|
OZLM VII, Ser 2018-7RA, CI A1R |
|
|
|
|
|
|
|
|
3.783%, VAR ICE LIBOR USD 3 Month+1.010%, 07/17/2029 (A) |
|
|
590 |
|
|
|
583 |
|
OZLM XII, Ser 2018-12A, Cl A1R |
|
|
|
|
|
|
|
|
3.801%, VAR ICE LIBOR USD 3 Month+1.050%, 04/30/2027 (A) |
|
|
400 |
|
|
|
397 |
|
PFS Financing, Ser 2016-BA, Cl A |
|
|
|
|
|
|
|
|
1.870%, 10/15/2021 (A) |
|
|
374 |
|
|
|
371 |
|
PFS Financing, Ser 2017-AA, Cl A |
|
|
|
|
|
|
|
|
3.089%, VAR ICE LIBOR USD 1 Month+0.580%, 03/15/2021 (A) |
|
|
515 |
|
|
|
515 |
|
Pretium Mortgage Credit Partners, Ser 2017-NPL5, CI A1 |
|
|
|
|
|
|
|
|
3.327%, 12/30/2032 (A)(B) |
|
|
160 |
|
|
|
157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
ASSET-BACKED SECURITIES (continued) |
|
Pretium Mortgage Credit Partners, Ser 2018-NPL2, Cl A1 |
|
|
|
|
|
|
|
|
3.700%, 03/27/2033 (A) |
|
$ |
365 |
|
|
$ |
361 |
|
Prosper Marketplace Issuance Trust, Ser 2017-3A, CI A |
|
|
|
|
|
|
|
|
2.360%, 11/15/2023 (A) |
|
|
50 |
|
|
|
50 |
|
Prosper Marketplace Issuance Trust, Ser 2018-1A, Cl A |
|
|
|
|
|
|
|
|
3.110%, 06/17/2024 (A) |
|
|
206 |
|
|
|
206 |
|
PRPM, Ser 2018-1A, CI A1 |
|
|
|
|
|
|
|
|
3.750%, 04/25/2023 (A)(B) |
|
|
272 |
|
|
|
271 |
|
Regional Management Issuance, Ser 2018-1, CI A |
|
|
|
|
|
|
|
|
3.830%, 07/15/2027 (A) |
|
|
290 |
|
|
|
291 |
|
Shackleton, Ser 2018-6RA, Cl A |
|
|
|
|
|
|
|
|
3.793%, VAR ICE LIBOR USD 3 Month+1.020%, 07/17/2028 (A) |
|
|
500 |
|
|
|
497 |
|
SLM Student Loan Trust, Ser 2004-3, Cl A5 |
|
|
|
|
|
|
|
|
2.941%, VAR ICE LIBOR USD 3 Month+0.170%, 07/25/2023 |
|
|
96 |
|
|
|
96 |
|
SLM Student Loan Trust, Ser 2004-8A, Cl A5 |
|
|
|
|
|
|
|
|
3.271%, VAR ICE LIBOR USD 3 Month+0.500%, 04/25/2024 (A) |
|
|
113 |
|
|
|
113 |
|
SLM Student Loan Trust, Ser 2005-3, Cl A5 |
|
|
|
|
|
|
|
|
2.861%, VAR ICE LIBOR USD 3 Month+0.090%, 10/25/2024 |
|
|
228 |
|
|
|
228 |
|
SLM Student Loan Trust, Ser 2005-4, Cl A3 |
|
|
|
|
|
|
|
|
2.891%, VAR ICE LIBOR USD 3 Month+0.120%, 01/25/2027 |
|
|
253 |
|
|
|
251 |
|
SLM Student Loan Trust, Ser 2006-5, Cl A5 |
|
|
|
|
|
|
|
|
2.881%, VAR ICE LIBOR USD 3 Month+0.110%, 01/25/2027 |
|
|
418 |
|
|
|
417 |
|
SLM Student Loan Trust, Ser 2007-6, Cl A4 |
|
|
|
|
|
|
|
|
3.151%, VAR ICE LIBOR USD 3 Month+0.380%, 10/25/2024 |
|
|
882 |
|
|
|
883 |
|
SLM Student Loan Trust, Ser 2008-5, Cl A4 |
|
|
|
|
|
|
|
|
4.471%, VAR ICE LIBOR USD 3 Month+1.700%, 07/25/2023 |
|
|
390 |
|
|
|
397 |
|
SLM Student Loan Trust, Ser 2008-9, Cl A |
|
|
|
|
|
|
|
|
4.271%, VAR ICE LIBOR USD 3 Month+1.500%, 04/25/2023 |
|
|
401 |
|
|
|
405 |
|
Sofi Consumer Loan Program, Ser 2016-2, CI A |
|
|
|
|
|
|
|
|
3.090%, 10/27/2025 (A) |
|
|
386 |
|
|
|
385 |
|
Sofi Consumer Loan Program, Ser 2016-3, CI A |
|
|
|
|
|
|
|
|
3.050%, 12/26/2025 (A) |
|
|
409 |
|
|
|
407 |
|
Sofi Consumer Loan Program, Ser 2017-1, CI A |
|
|
|
|
|
|
|
|
3.280%, 01/26/2026 (A) |
|
|
420 |
|
|
|
420 |
|
Sofi Consumer Loan Program, Ser 2017-6, CI A1 |
|
|
|
|
|
|
|
|
2.200%, 11/25/2026 |
|
|
95 |
|
|
|
94 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
29 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Ultra Short Duration Bond Fund (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
ASSET-BACKED SECURITIES (continued) |
|
Sofi Consumer Loan Program, Ser 2018-1, CI A1 |
|
|
|
|
2.550%, 02/25/2027 (A) |
|
$ |
172 |
|
|
$ |
171 |
|
Sofi Consumer Loan Program, Ser 2018-2, CI A1 |
|
|
|
|
2.930%, 04/26/2027 (A) |
|
|
214 |
|
|
|
213 |
|
Sofi Consumer Loan Program, Ser 2018-3, CI A1 |
|
|
|
|
3.200%, 08/25/2027 (A) |
|
|
179 |
|
|
|
179 |
|
Sofi Professional Loan Program, Ser 2017-A, CI A1 |
|
|
|
|
3.210%, VAR ICE LIBOR USD 1 Month+0.700%, 03/26/2040 (A) |
|
|
136 |
|
|
|
136 |
|
Springleaf Funding Trust, Ser 2016-AA, Cl A |
|
|
|
|
2.900%, 11/15/2029 (A) |
|
|
1,030 |
|
|
|
1,025 |
|
SPS Servicer Advance, Ser 2016-T2, Cl AT2 |
|
|
|
|
2.750%, 11/15/2049 (A) |
|
|
420 |
|
|
|
419 |
|
Stanwich Mortgage Loan Trust, Ser 2018-NPB1, Cl A1 |
|
|
|
|
4.016%, 05/16/2023 (A) |
|
|
642 |
|
|
|
639 |
|
Symphony CLO XIV, Ser 2017-14A, CI A1R |
|
|
|
|
4.077%, VAR ICE LIBOR USD 3 Month+1.280%, 07/14/2026 (A) |
|
|
749 |
|
|
|
751 |
|
Towd Point Mortgage Trust, Ser 2015-4, CI A1B |
|
|
|
|
2.750%, 04/25/2055 (A)(B) |
|
|
73 |
|
|
|
73 |
|
Towd Point Mortgage Trust, Ser 2015-5, CI A1B |
|
|
|
|
2.750%, 05/25/2055 (A)(B) |
|
|
76 |
|
|
|
75 |
|
Towd Point Mortgage Trust, Ser 2016-1, CI A1B |
|
|
|
|
2.750%, 02/25/2055 (A)(B) |
|
|
63 |
|
|
|
62 |
|
Towd Point Mortgage Trust, Ser 2016-3, Cl A1 |
|
|
|
|
2.250%, 04/25/2056 (A)(B) |
|
|
160 |
|
|
|
156 |
|
Towd Point Mortgage Trust, Ser 2016-4, Cl A1 |
|
|
|
|
2.250%, 07/25/2056 (A)(B) |
|
|
256 |
|
|
|
250 |
|
Towd Point Mortgage Trust, Ser 2017-1, Cl A1 |
|
|
|
|
2.750%, 10/25/2056 (A)(B) |
|
|
545 |
|
|
|
533 |
|
Towd Point Mortgage Trust, Ser 2017-2, Cl A1 |
|
|
|
|
2.750%, 04/25/2057 (A)(B) |
|
|
308 |
|
|
|
302 |
|
Towd Point Mortgage Trust, Ser 2017-4, Cl A1 |
|
|
|
|
2.750%, 06/25/2057 (A)(B) |
|
|
242 |
|
|
|
236 |
|
Towd Point Mortgage Trust, Ser 2017-5, Cl A1 |
|
|
|
|
3.110%, VAR ICE LIBOR USD 1 Month+0.600%, 02/25/2057 (A) |
|
|
471 |
|
|
|
469 |
|
Towd Point Mortgage Trust, Ser 2017-6, Cl A1 |
|
|
|
|
2.750%, 10/25/2057 (A)(B) |
|
|
221 |
|
|
|
215 |
|
Towd Point Mortgage Trust, Ser 2018-1, Cl A1 |
|
|
|
|
3.000%, 01/25/2058 (A)(B) |
|
|
157 |
|
|
|
154 |
|
Treman Park CLO, Ser 2018-1A, Cl ARR |
|
|
|
|
3.831%, VAR ICE LIBOR USD 3 Month+1.070%, 10/20/2028 (A) |
|
|
550 |
|
|
|
548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
ASSET-BACKED SECURITIES (continued) |
|
Tryon Park CLO, Ser 2018-1A, CI A1SR |
|
|
|
|
|
|
|
|
3.677%, VAR ICE LIBOR USD 3 Month+0.890%, 04/15/2029 (A) |
|
$ |
360 |
|
|
$ |
356 |
|
Verizon Owner Trust, Ser 2016-1A, Cl A |
|
|
|
|
|
|
|
|
1.420%, 01/20/2021 (A) |
|
|
342 |
|
|
|
341 |
|
Verizon Owner Trust, Ser 2016-2A, Cl A |
|
|
|
|
|
|
|
|
1.680%, 05/20/2021 (A) |
|
|
288 |
|
|
|
287 |
|
Verizon Owner Trust, Ser 2017-2A, Cl B |
|
|
|
|
|
|
|
|
2.220%, 12/20/2021 (A) |
|
|
190 |
|
|
|
188 |
|
VOLT LXIV LLC, Ser 2017-NP11, CI A1 |
|
|
|
|
|
|
|
|
3.375%, 10/25/2047 (A) |
|
|
363 |
|
|
|
362 |
|
VOLT LXX LLC, Ser 2018-NPL6, CI A1A |
|
|
|
|
|
|
|
|
4.115%, 09/25/2048 (A) |
|
|
343 |
|
|
|
342 |
|
Voya CLO, Ser 2017-3A, CI A1R |
|
|
|
|
|
|
|
|
3.491%, VAR ICE LIBOR USD 3 Month+0.720%, 07/25/2026 (A) |
|
|
485 |
|
|
|
483 |
|
Z Capital Credit Partners CLO, Ser 2018-1A, CI A1R |
|
|
|
|
|
|
|
|
3.729%, VAR ICE LIBOR USD 3 Month+0.950%, 07/16/2027 (A) |
|
|
600 |
|
|
|
597 |
|
|
|
|
|
|
|
|
39,415 |
|
|
|
|
Mortgage Related 0.0% |
|
|
|
|
|
|
|
|
Accredited Mortgage Loan Trust, Ser 2004-4, CI A1A |
|
|
|
|
|
|
|
|
3.190%, VAR ICE LIBOR USD 1 Month+0.680%, 01/25/2035 |
|
|
94 |
|
|
|
94 |
|
Aegis, Ser 2004-4, CI A1 |
|
|
|
|
|
|
|
|
3.230%, VAR ICE LIBOR USD 1 Month+0.720%, 10/25/2034 |
|
|
93 |
|
|
|
93 |
|
|
|
|
|
|
|
|
187 |
|
Non-Agency Mortgage-Backed Obligations 0.2% |
|
Bear Stearns Asset Trust, Ser 2005-HE3, Cl M2 |
|
|
|
|
|
|
|
|
3.530%, VAR ICE LIBOR USD 1 Month+1.020%, 03/25/2035 |
|
|
51 |
|
|
|
51 |
|
New Residential Mortgage Loan Trust, Ser 2017-6A, CI A1 |
|
|
|
|
|
|
|
|
4.000%, 08/27/2057 (A)(B) |
|
|
585 |
|
|
|
588 |
|
|
|
|
|
|
|
|
639 |
|
|
|
|
Total Asset-Backed Securities (Cost $88,375) ($ Thousands) |
|
|
|
|
|
|
88,142 |
|
|
MORTGAGE-BACKED SECURITIES 13.6% |
|
|
Agency Mortgage-Backed Obligations 5.3% |
|
FHLMC |
|
|
|
|
|
|
|
|
5.000%, 06/01/2026 |
|
|
97 |
|
|
|
99 |
|
4.248%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.081%, 02/01/2030 |
|
|
37 |
|
|
|
38 |
|
|
|
|
30 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
4.228%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.995%, 02/01/2022 |
|
$ |
11 |
|
|
$ |
11 |
|
FHLMC Multifamily Structured Pass-Through Certificates, Cl A |
|
|
|
|
2.753%, VAR LIBOR USD 1 Month+0.250%, 02/25/2023 |
|
|
1,115 |
|
|
|
1,114 |
|
FHLMC Multifamily Structured Pass-Through Certificates, Cl A1 |
|
|
|
|
2.746%, 12/25/2019 |
|
|
51 |
|
|
|
51 |
|
1.573%, 01/25/2022 |
|
|
214 |
|
|
|
210 |
|
FHLMC REMIC, Ser 2010-3745, Cl GP |
|
|
|
|
4.000%, 06/15/2039 |
|
|
721 |
|
|
|
736 |
|
FHLMC REMIC, Ser 2013-4206, Cl CA |
|
|
|
|
3.000%, 05/15/2037 |
|
|
905 |
|
|
|
907 |
|
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M2 |
|
|
|
|
4.160%, VAR ICE LIBOR USD 1 Month+1.650%, 04/25/2024 |
|
|
90 |
|
|
|
91 |
|
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQ1 |
|
|
|
|
6.310%, VAR ICE LIBOR USD 1 Month+3.800%, 03/25/2025 |
|
|
575 |
|
|
|
609 |
|
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-HQA1, CI M1 |
|
|
|
|
3.710%, VAR ICE LIBOR USD 1 Month+1.200%, 08/25/2029 |
|
|
1,295 |
|
|
|
1,298 |
|
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2018-SPI2, Cl M1 |
|
|
|
|
3.819%, 05/25/2048 (A)(B) |
|
|
388 |
|
|
|
388 |
|
FHLMC, Ser 2017-KT01, Cl A |
|
|
|
|
2.839%, VAR LIBOR USD 1 Month+0.320%, 02/25/2020 |
|
|
350 |
|
|
|
350 |
|
FNMA |
|
|
|
|
6.000%, 01/01/2027 |
|
|
14 |
|
|
|
16 |
|
5.000%, 03/01/2025 (C) |
|
|
208 |
|
|
|
212 |
|
5.000%, 05/01/2019 to 03/01/2025 |
|
|
106 |
|
|
|
108 |
|
4.672%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.120%, 11/01/2025 |
|
|
3 |
|
|
|
3 |
|
4.658%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.196%, 11/01/2023 |
|
|
4 |
|
|
|
4 |
|
4.358%, VAR ICE LIBOR USD 6 Month+1.841%, 09/01/2024 |
|
|
40 |
|
|
|
41 |
|
4.276%, VAR ICE LIBOR USD 6 Month+1.767%, 09/01/2024 |
|
|
16 |
|
|
|
16 |
|
4.236%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.087%, 05/01/2028 |
|
|
2 |
|
|
|
2 |
|
3.965%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.215%, 01/01/2029 |
|
|
9 |
|
|
|
9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
3.557%, VAR ICE LIBOR USD 6 Month+1.000%, 11/01/2021 |
|
$ |
3 |
|
|
$ |
3 |
|
3.000%, 12/01/2030 |
|
|
1,245 |
|
|
|
1,247 |
|
1.900%, 10/01/2019 |
|
|
350 |
|
|
|
349 |
|
FNMA Connecticut Avenue Securities, Ser 2014-C02, CI 1M1 |
|
|
|
|
3.460%, VAR ICE LIBOR USD 1 Month+0.950%, 05/25/2024 |
|
|
16 |
|
|
|
16 |
|
FNMA Connecticut Avenue Securities, Ser 2017-C02, CI 2M1 |
|
|
|
|
3.660%, VAR ICE LIBOR USD 1 Month+1.150%, 09/25/2029 |
|
|
250 |
|
|
|
250 |
|
FNMA Connecticut Avenue Securities, Ser 2018-C06, CI 1M1 |
|
|
|
|
3.060%, VAR ICE LIBOR USD 1 Month+0.550%, 03/25/2031 |
|
|
452 |
|
|
|
451 |
|
FNMA REMIC, Ser 1993-58, CI H |
|
|
|
|
5.500%, 04/25/2023 |
|
|
10 |
|
|
|
10 |
|
FNMA REMIC, Ser 2001-33, Cl FA |
|
|
|
|
2.960%, VAR LIBOR USD 1 Month+0.450%, 07/25/2031 |
|
|
10 |
|
|
|
10 |
|
FNMA REMIC, Ser 2002-64, Cl FG |
|
|
|
|
2.763%, VAR LIBOR USD 1 Month+0.250%, 10/18/2032 |
|
|
7 |
|
|
|
7 |
|
FNMA REMIC, Ser 2011-24 |
|
|
|
|
4.000%, 10/25/2039 |
|
|
488 |
|
|
|
493 |
|
FNMA REMIC, Ser 2011-38 |
|
|
|
|
4.000%, 02/25/2035 |
|
|
1,076 |
|
|
|
1,078 |
|
FNMA REMIC, Ser 2012-63, Cl FE |
|
|
|
|
2.910%, VAR LIBOR USD 1 Month+0.400%, 06/25/2038 |
|
|
449 |
|
|
|
450 |
|
FNMA, Ser 2017-M13, Cl FA |
|
|
|
|
2.870%, VAR LIBOR USD 1
Month+0.400%, 10/25/2024 |
|
|
333 |
|
|
|
332 |
|
FREMF Mortgage Trust, Ser 2011-K12, Cl B |
|
|
|
|
4.345%, 01/25/2046 (A)(B) |
|
|
920 |
|
|
|
938 |
|
FREMF Mortgage Trust, Ser 2012-K712, Cl B |
|
|
|
|
3.358%, 05/25/2045 (A)(B) |
|
|
120 |
|
|
|
120 |
|
FREMF Mortgage Trust, Ser 2013-K712, Cl C |
|
|
|
|
3.358%, 05/25/2045 (A)(B) |
|
|
840 |
|
|
|
838 |
|
FREMF Mortgage Trust, Ser 2014-K503, Cl C |
|
|
|
|
3.044%, 10/25/2047 (A)(B) |
|
|
210 |
|
|
|
208 |
|
GMAC Mortgage Loan Trust, Ser 2005-AR6, CI 2A1 |
|
|
|
|
4.055%, 11/19/2035 (B) |
|
|
110 |
|
|
|
105 |
|
GNMA, Ser 2010-81 |
|
|
|
|
|
|
|
|
3.750%, 04/20/2039 |
|
|
633 |
|
|
|
638 |
|
GNMA, Ser 2012-31, Cl KA |
|
|
|
|
|
|
|
|
1.500%, 12/20/2038 |
|
|
940 |
|
|
|
935 |
|
NCUA Guaranteed Notes, Ser 2010-R1, Cl 1A |
|
|
|
|
|
|
|
|
2.971%, VAR ICE LIBOR USD 1 Month+0.450%, 10/07/2020 |
|
|
1,246 |
|
|
|
1,247 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
31 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Ultra Short Duration Bond Fund (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
NCUA Guaranteed Notes, Ser 2011-R1, Cl 1A |
|
|
|
|
2.971%, VAR ICE LIBOR USD 1 Month+0.450%, 01/08/2020 |
|
$ |
166 |
|
|
$ |
166 |
|
NCUA Guaranteed Notes, Ser 2011-R2, Cl 1A |
|
|
|
|
2.921%, VAR ICE LIBOR USD 1 Month+0.400%, 02/06/2020 |
|
|
47 |
|
|
|
47 |
|
NCUA Guaranteed Notes, Ser 2011-R3, Cl 1A |
|
|
|
|
2.919%, VAR ICE LIBOR USD 1 Month+0.400%, 03/11/2020 |
|
|
99 |
|
|
|
99 |
|
|
|
|
|
|
|
16,350 |
|
|
Automotive 0.1% |
|
Enterprise Fleet Financing LLC, Ser 2016-2, CI A2 |
|
|
|
|
1.740%, 02/22/2022 (A) |
|
|
156 |
|
|
|
155 |
|
Toyota Auto Receivables Owner Trust, Ser 2016-B, Cl A3 |
|
|
|
|
1.300%, 04/15/2020 |
|
|
21 |
|
|
|
21 |
|
|
|
|
|
|
|
176 |
|
|
Credit Card 0.1% |
|
Cabelas Credit Card Master Note Trust, Ser 2016-1, Cl A1 |
|
|
|
|
1.780%, 06/15/2022 |
|
|
305 |
|
|
|
304 |
|
|
Financials 0.6% |
|
Discover Card Execution Note Trust, Ser 2016-A2, CI A2 |
|
|
|
|
3.049%, VAR ICE LIBOR USD 1 Month+0.540%, 09/15/2021 |
|
|
1,850 |
|
|
|
1,851 |
|
|
Miscellaneous Business Services 0.3% |
|
Colombia Cent CLO, Ser 2018-27A, CI A1 |
|
|
|
|
3.640%, VAR ICE LIBOR USD 3 Month+1.150%, 10/25/2028 (A) |
|
|
480 |
|
|
|
478 |
|
SPS Servicer Advance Receivables Trust, Ser 2018-T1 |
|
|
|
|
3.620%, 10/17/2050 |
|
|
600 |
|
|
|
602 |
|
|
|
|
|
|
|
1,080 |
|
|
|
|
Non-Agency Mortgage-Backed Obligations 7.2% |
|
|
|
|
|
|
|
|
Angel Oak Mortgage Trust LLC, Ser 2017-1, CI A1 |
|
|
|
|
2.810%, 01/25/2047 (A)(B) |
|
|
34 |
|
|
|
34 |
|
Angel Oak Mortgage Trust LLC, Ser 2017-2, CI A1 |
|
|
|
|
2.478%, 07/25/2047 (A)(B) |
|
|
167 |
|
|
|
165 |
|
Angel Oak Mortgage Trust LLC, Ser 2017-3, CI A1 |
|
|
|
|
2.708%, 11/25/2047 (A)(B) |
|
|
125 |
|
|
|
124 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
Angel Oak Mortgage Trust LLC, Ser 2018-3, CI A1 |
|
|
|
|
3.649%, 09/25/2048 (A)(B) |
|
$ |
342 |
|
|
$ |
342 |
|
Angel Oak Mortgage Trust LLC, Ser 2019-1, CI A1 |
|
|
|
|
3.920%, 11/25/2048 (A)(B) |
|
|
750 |
|
|
|
753 |
|
BAMLL Commercial Mortgage
Securities Trust, Ser 2018-DSNY, CI A |
|
|
|
|
3.359%, VAR LIBOR USD 1 Month+0.850%, 09/15/2034 (A) |
|
|
750 |
|
|
|
742 |
|
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2 |
|
|
|
|
4.235%, 07/25/2035 (B) |
|
|
88 |
|
|
|
81 |
|
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1 |
|
|
|
|
4.517%, 11/25/2035 (B) |
|
|
10 |
|
|
|
10 |
|
BBCMS Mortgage Trust, Ser 2017-DELC, Cl A |
|
|
|
|
3.359%, VAR LIBOR USD 1 Month+0.850%, 08/15/2036 (A) |
|
|
800 |
|
|
|
793 |
|
Bear Stearns Mortgage Trust, Ser 2005-3, CI 2A1 |
|
|
|
|
4.215%, 06/25/2035 (B) |
|
|
49 |
|
|
|
50 |
|
Bear Stearns Mortgage Trust, Ser 2005-6, CI 3A1 |
|
|
|
|
4.417%, 08/25/2035 (B) |
|
|
106 |
|
|
|
105 |
|
BX Trust, Ser 2018-IND, CI A |
|
|
|
|
3.259%, VAR LIBOR USD 1 Month+0.750%, 11/15/2035 (A) |
|
|
339 |
|
|
|
338 |
|
BX Trust, Ser 2018-MCSF, CI A |
|
|
|
|
3.086%, VAR LIBOR USD 1 Month+0.577%, 04/15/2035 (A) |
|
|
470 |
|
|
|
459 |
|
CGDBB Commercial Mortgage Trust, Ser 2017-BIOC, CI A |
|
|
|
|
3.299%, VAR LIBOR USD 1 Month+0.790%, 07/15/2032 (A) |
|
|
450 |
|
|
|
447 |
|
CIM Trust, Ser 2017-7, CI A |
|
|
|
|
3.000%, 04/25/2057 (A)(B) |
|
|
551 |
|
|
|
547 |
|
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, CI 1A |
|
|
|
|
4.497%, 09/25/2034 (B) |
|
|
17 |
|
|
|
18 |
|
Citigroup Mortgage Loan Trust, Ser 2006-AR2, CI 1A1 |
|
|
|
|
4.250%, 03/25/2036 (B) |
|
|
84 |
|
|
|
80 |
|
Citigroup Mortgage Loan Trust, Ser 2018-RP2, CI A1 |
|
|
|
|
3.500%, 02/25/2058 (B) |
|
|
333 |
|
|
|
335 |
|
COLT Mortgage Loan Trust, Ser 2016-3, Cl A3 |
|
|
|
|
3.750%, 12/26/2046 (A)(B) |
|
|
138 |
|
|
|
137 |
|
COLT Mortgage Loan Trust, Ser 2016-3, Cl A1 |
|
|
|
|
2.800%, 12/26/2046 (A)(B) |
|
|
49 |
|
|
|
49 |
|
COLT Mortgage Loan Trust, Ser 2017-1, Cl A1 |
|
|
|
|
2.614%, 05/27/2047 (B) |
|
|
127 |
|
|
|
126 |
|
|
|
|
32 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
COLT Mortgage Loan Trust, Ser 2018-1, Cl A1 |
|
|
|
|
2.930%, 02/25/2048 (A)(B) |
|
$ |
156 |
|
|
$ |
155 |
|
COLT Mortgage Loan Trust, Ser 2018-2, Cl A1 |
|
|
|
|
3.470%, 07/27/2048 (A)(B) |
|
|
445 |
|
|
|
444 |
|
COLT Mortgage Loan Trust, Ser 2018-3, Cl A1 |
|
|
|
|
3.692%, 10/26/2048 (A)(B) |
|
|
110 |
|
|
|
110 |
|
COLT Mortgage Loan Trust, Ser 2018-4, Cl A1 |
|
|
|
|
4.006%, 12/28/2048 (A)(B) |
|
|
507 |
|
|
|
509 |
|
COLT Mortgage Loan Trust, Ser 2019-1, Cl A1 |
|
|
|
|
3.705%, 03/25/2049 (A)(B) |
|
|
250 |
|
|
|
250 |
|
COMM Mortgage Trust, Ser 2014-CR17, Cl A2 |
|
|
|
|
3.012%, 05/10/2047 |
|
|
338 |
|
|
|
338 |
|
COMM Mortgage Trust, Ser 2014-UBS5, Cl A2 |
|
|
|
|
3.031%, 09/10/2047 |
|
|
140 |
|
|
|
140 |
|
COMM Mortgage Trust, Ser 2015-CR23, Cl A2 |
|
|
|
|
2.852%, 05/10/2048 |
|
|
423 |
|
|
|
421 |
|
Countrywide Home Loans, Ser 2004-29, CI 1A1 |
|
|
|
|
3.050%, VAR ICE LIBOR USD 1 Month+0.540%, 02/25/2035 |
|
|
13 |
|
|
|
13 |
|
Countrywide Home Loans, Ser 2005-HY10, Cl 3A1A |
|
|
|
|
4.261%, 02/20/2036 (B) |
|
|
75 |
|
|
|
68 |
|
Deephaven Residential Mortgage Trust, Ser 2017-1A, CI A1 |
|
|
|
|
2.725%, 12/26/2046 (A)(B) |
|
|
50 |
|
|
|
49 |
|
Deephaven Residential Mortgage Trust, Ser 2017-2A, CI A1 |
|
|
|
|
2.453%, 06/25/2047 (A)(B) |
|
|
120 |
|
|
|
118 |
|
Deephaven Residential Mortgage Trust, Ser 2017-3A, CI A1 |
|
|
|
|
2.577%, 10/25/2047 (A)(B) |
|
|
136 |
|
|
|
135 |
|
Deephaven Residential Mortgage Trust, Ser 2018-1A, CI A1 |
|
|
|
|
2.976%, 12/25/2057 (A)(B) |
|
|
167 |
|
|
|
165 |
|
Deephaven Residential Mortgage Trust, Ser 2018-2A, CI A1 |
|
|
|
|
|
|
|
|
3.479%, 04/25/2058 (A)(B) |
|
|
422 |
|
|
|
422 |
|
Deephaven Residential Mortgage Trust, Ser 2018-3A, CI A1 |
|
|
|
|
3.789%, 08/25/2058 (A)(B) |
|
|
601 |
|
|
|
603 |
|
FDIC Guaranteed Notes Trust, Ser 2010-S4, CI A |
|
|
|
|
3.067%, VAR ICE LIBOR USD 1 Month+0.720%, 12/04/2020 (A) |
|
|
649 |
|
|
|
636 |
|
Flagstar Mortgage Trust, Ser 2018-5, Cl A7 |
|
|
|
|
4.000%, 09/25/2048 (A)(B) |
|
|
365 |
|
|
|
368 |
|
GS Mortgage Securities Trust, Ser 2010-C2, CI A1 |
|
|
|
|
3.849%, 12/10/2043 |
|
|
45 |
|
|
|
45 |
|
GS Mortgage Securities Trust, Ser 2015-GC28, CI A2 |
|
|
|
|
2.898%, 02/10/2048 |
|
|
210 |
|
|
|
210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
GS Mortgage Securities Trust, Ser 2015-GC30, CI A2 |
|
|
|
|
2.726%, 05/10/2050 |
|
$ |
275 |
|
|
$ |
274 |
|
GS Mortgage Securities Trust, Ser 2017-500K, CI A |
|
|
|
|
3.209%, VAR LIBOR USD 1 Month+0.700%, 07/15/2032 (A) |
|
|
415 |
|
|
|
410 |
|
GS Mortgage Securities Trust, Ser 2018-FBLU, Cl B |
|
|
|
|
3.709%, VAR LIBOR USD 1 Month+1.200%, 11/15/2035 (A) |
|
|
1,280 |
|
|
|
1,274 |
|
GSR Mortgage Loan Trust, Ser 2005-AR4, CI 2A1 |
|
|
|
|
4.328%, 07/25/2035 (B) |
|
|
127 |
|
|
|
111 |
|
GSR Mortgage Loan Trust, Ser 2007-AR2, CI 1A1 |
|
|
|
|
3.841%, 05/25/2037 (B) |
|
|
117 |
|
|
|
102 |
|
Impac CMB Trust, Ser 2004-9, Cl 1A1 |
|
|
|
|
3.270%, VAR ICE LIBOR USD 1 Month+0.760%, 01/25/2035 |
|
|
40 |
|
|
|
39 |
|
Impac CMB Trust, Ser 2005-2, Cl 1A1 |
|
|
|
|
3.030%, VAR ICE LIBOR USD 1 Month+0.520%, 04/25/2035 |
|
|
43 |
|
|
|
43 |
|
Impac CMB Trust, Ser 2005-3, Cl A1 |
|
|
|
|
2.990%, VAR ICE LIBOR USD 1 Month+0.480%, 08/25/2035 |
|
|
40 |
|
|
|
38 |
|
Impac CMB Trust, Ser 2005-5, Cl A1 |
|
|
|
|
3.150%, VAR ICE LIBOR USD 1 Month+0.640%, 08/25/2035 |
|
|
31 |
|
|
|
31 |
|
Impac CMB Trust, Ser 2005-8, Cl 1A |
|
|
|
|
3.030%, VAR ICE LIBOR USD 1 Month+0.520%, 02/25/2036 |
|
|
104 |
|
|
|
100 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C14, CI A2 |
|
|
|
|
3.019%, 08/15/2046 |
|
|
200 |
|
|
|
200 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C23, CI A2 |
|
|
|
|
3.181%, 09/15/2047 |
|
|
188 |
|
|
|
188 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C25, CI A2 |
|
|
|
|
2.949%, 11/15/2047 |
|
|
530 |
|
|
|
529 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, CI A2 |
|
|
|
|
2.773%, 10/15/2048 |
|
|
611 |
|
|
|
608 |
|
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C29, CI A2 |
|
|
|
|
2.921%, 05/15/2048 |
|
|
1,522 |
|
|
|
1,518 |
|
JPMorgan Mortgage Trust, Ser 2005-A6, CI 7A1 |
|
|
|
|
4.351%, 08/25/2035 (B) |
|
|
51 |
|
|
|
50 |
|
JPMorgan Mortgage Trust, Ser 2007-A3, CI 1A1 |
|
|
|
|
3.994%, 05/25/2037 (B) |
|
|
76 |
|
|
|
68 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
33 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Ultra Short Duration Bond Fund (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
JPMorgan Mortgage Trust, Ser 2013-C13, CI A2 |
|
|
|
|
2.665%, 01/15/2046 |
|
$ |
3 |
|
|
$ |
3 |
|
JPMorgan Mortgage Trust, Ser 2018-7FRB, CI A2 |
|
|
|
|
3.256%, VAR ICE LIBOR USD 1 Month+0.750%, 04/25/2046 (A) |
|
|
402 |
|
|
|
401 |
|
LSTAR Securities Investment, Ser 2017-7, Cl A |
|
|
|
|
4.270%, VAR ICE LIBOR USD 1 Month+1.750%, 10/01/2022 (A) |
|
|
65 |
|
|
|
64 |
|
LSTAR Securities Investment, Ser 2017-8, Cl A |
|
|
|
|
4.170%, VAR ICE LIBOR USD 1 Month+1.650%, 11/01/2022 (A) |
|
|
148 |
|
|
|
148 |
|
Merrill Lynch Mortgage Trust, Ser 2005-A3, CI A1 |
|
|
|
|
2.780%, VAR ICE LIBOR USD 1 Month+0.270%, 04/25/2035 |
|
|
16 |
|
|
|
16 |
|
Merrill Lynch Mortgage Trust, Ser 2007-3, CI 2A1 |
|
|
|
|
4.037%, 06/25/2037 (B) |
|
|
102 |
|
|
|
82 |
|
Metlife Securitization Trust, Ser 2017-1A, Cl A |
|
|
|
|
3.000%, 04/25/2055 (A)(B) |
|
|
187 |
|
|
|
184 |
|
MFRA Trust, Ser 2017-RPL1, CI A1 |
|
|
|
|
2.588%, 02/25/2057 (A)(B) |
|
|
131 |
|
|
|
129 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2014-C14, CI A3 |
|
|
|
|
3.669%, 02/15/2047 |
|
|
308 |
|
|
|
311 |
|
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2014-C16, CI A2 |
|
|
|
|
2.849%, 06/15/2047 |
|
|
509 |
|
|
|
508 |
|
Morgan Stanley Capital I Trust, Ser 2012-STAR, CI A1 |
|
|
|
|
2.084%, 08/05/2034 (A) |
|
|
101 |
|
|
|
99 |
|
MortgageIT Trust, Ser 2005-5, Cl A1 |
|
|
|
|
2.770%, VAR ICE LIBOR USD 1 Month+0.260%, 12/25/2035 |
|
|
118 |
|
|
|
117 |
|
Mortgage-Linked Amortizing Notes, Ser 2012-1, CI A10 |
|
|
|
|
2.060%, 01/15/2022 |
|
|
65 |
|
|
|
64 |
|
New Residential Mortgage Loan Trust, Ser 2017-3A, CI A1 |
|
|
|
|
4.000%, 04/25/2057 (A)(B) |
|
|
274 |
|
|
|
279 |
|
New Residential Mortgage Loan Trust, Ser 2018-1A, CI A1 |
|
|
|
|
4.000%, 09/25/2057 (A)(B) |
|
|
290 |
|
|
|
292 |
|
OBX Trust, Ser 2018-1, Cl A2 |
|
|
|
|
3.160%, VAR ICE LIBOR USD 1 Month+0.650%, 06/25/2057 (A) |
|
|
77 |
|
|
|
76 |
|
OBX Trust, Ser 2019-INV1, CI A8 |
|
|
|
|
4.000%, 11/25/2048 (A)(B) |
|
|
511 |
|
|
|
513 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
Paragon Mortgages No. 12, Ser 2006-12A, CI A2C |
|
|
|
|
|
|
|
|
2.836%, VAR ICE LIBOR USD 3 Month+0.220%, 11/15/2038 (A) |
|
$ |
85 |
|
|
$ |
79 |
|
Paragon Mortgages No. 15, Ser 2007-15A, CI A2C |
|
|
|
|
|
|
|
|
3.008%, VAR ICE LIBOR USD 3 Month+0.220%, 12/15/2039 (A) |
|
|
202 |
|
|
|
188 |
|
RFMSI Trust, Ser 2007-SA3, CI 2A1 |
|
|
|
|
|
|
|
|
5.033%, 07/27/2037 (B) |
|
|
95 |
|
|
|
84 |
|
Sequoia Mortgage Trust, Ser 2004-12, Cl A1 |
|
|
|
|
|
|
|
|
3.043%, VAR ICE LIBOR USD 1 Month+0.540%, 01/20/2035 |
|
|
12 |
|
|
|
11 |
|
Sequoia Mortgage Trust, Ser 2018-CH3, Cl A1 |
|
|
|
|
|
|
|
|
4.500%, 08/25/2048 (B) |
|
|
431 |
|
|
|
440 |
|
SG Residential Mortgage Trust, Ser 2018-1, CI A1 |
|
|
|
|
|
|
|
|
3.425%, 04/27/2048 (A)(B) |
|
|
394 |
|
|
|
394 |
|
Verus Securitization Trust, Ser 2018-1, Cl A1 |
|
|
|
|
|
|
|
|
2.929%, 02/25/2048 (A)(B) |
|
|
146 |
|
|
|
144 |
|
Verus Securitization Trust, Ser 2018-2, Cl A1 |
|
|
|
|
|
|
|
|
3.677%, 06/01/2058 (A)(B) |
|
|
471 |
|
|
|
470 |
|
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 |
|
|
|
|
|
|
|
|
3.982%, 03/25/2036 (B) |
|
|
156 |
|
|
|
151 |
|
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, CI A2 |
|
|
|
|
|
|
|
|
4.943%, 01/25/2035 (B) |
|
|
38 |
|
|
|
39 |
|
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR10, CI 2A1 |
|
|
|
|
|
|
|
|
4.443%, 07/25/2036 (B) |
|
|
81 |
|
|
|
81 |
|
WFRBS Commercial Mortgage Trust, Ser 2013-UBS1, CI A2 |
|
|
|
|
|
|
|
|
2.927%, 03/15/2046 |
|
|
15 |
|
|
|
15 |
|
WFRBS Commercial Mortgage Trust, Ser 2014-LC14, CI A2 |
|
|
|
|
|
|
|
|
2.862%, 03/15/2047 |
|
|
130 |
|
|
|
130 |
|
|
|
|
|
|
|
|
|
|
|
22,029 |
|
|
|
Total Mortgage-Backed Securities (Cost $42,018) ($ Thousands) |
|
|
|
41,790 |
|
|
U.S. TREASURY OBLIGATIONS 2.9% |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
1.500%, 10/31/2019 |
|
|
5,845 |
|
|
|
5,800 |
|
1.500%, 11/30/2019 |
|
|
3,000 |
|
|
|
2,974 |
|
|
|
Total U.S. Treasury Obligations (Cost $8,798) ($ Thousands) |
|
|
|
8,774 |
|
|
|
|
34 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
|
MUNICIPAL BONDS 1.8% |
|
|
|
|
|
|
California 0.3% |
|
|
|
|
California State, GO |
|
|
|
|
Callable 10/01/2021 @ 100 |
|
|
|
|
3.283%, 04/01/2047 (D) |
|
$ |
775 |
|
|
$ |
780 |
|
|
|
Florida 0.1% |
|
|
|
|
Florida State, Board of Administration Finance, Ser A, RB |
|
|
|
|
2.163%, 07/01/2019 |
|
|
400 |
|
|
|
399 |
|
|
|
Idaho 0.2% |
|
|
|
|
Idaho State, Housing & Finance Association, Ser A, RB |
|
|
|
|
Callable 02/06/2019 @ 100 |
|
|
|
|
2.450%, 07/01/2041 (D) |
|
|
615 |
|
|
|
615 |
|
|
|
Illinois 0.1% |
|
|
|
|
Illinois State, GO |
|
|
|
|
5.363%, 02/01/2019 |
|
|
330 |
|
|
|
330 |
|
|
|
Michigan 0.1% |
|
|
|
|
Genesee County, GO |
|
|
|
|
Callable 02/11/2019 @ 100 |
|
|
|
|
3.120%, 10/01/2019 (D) |
|
|
174 |
|
|
|
174 |
|
|
|
New Jersey 0.2% |
|
|
|
|
Monmouth County, Improvement Authority, RB |
|
|
|
|
2.500%, 11/14/2019 |
|
|
715 |
|
|
|
712 |
|
|
|
New York 0.4% |
|
|
|
|
New York State, Housing Finance Agency, Ser B, RB |
|
|
|
|
Callable 01/31/2019 @ 100 |
|
|
|
|
2.500%, 11/01/2048 (D)(E) |
|
|
1,100 |
|
|
|
1,100 |
|
|
|
Pennsylvania 0.1% |
|
|
|
|
Pennsylvania State, Turnpike Commission, RB |
|
|
|
|
1.760%, 12/01/2019 |
|
|
370 |
|
|
|
366 |
|
|
|
Utah 0.1% |
|
|
|
|
Utah State, Board of Regents, Ser 2016-1, CI A, RB |
|
|
|
|
3.260%, VAR ICE LIBOR USD 1 Month+0.750%, 09/25/2056 |
|
|
300 |
|
|
|
299 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
|
MUNICIPAL BONDS (continued) |
|
|
|
|
Wisconsin 0.2% |
|
|
|
|
City of Franklin, GO |
|
|
|
|
2.500%, 03/01/2019 |
|
$ |
675 |
|
|
$ |
675 |
|
|
|
|
Total Municipal Bonds (Cost $5,455) ($ Thousands) |
|
|
|
|
|
|
5,450 |
|
|
U.S. GOVERNMENT AGENCY OBLIGATIONS 0.9% |
|
FHLMC MTN |
|
|
|
|
1.500%, 01/17/2020 |
|
|
1,250 |
|
|
|
1,238 |
|
FNMA |
|
|
|
|
2.550%, VAR United States Secured Overnight Financing Rate+0.160%, 01/30/2020 |
|
|
775 |
|
|
|
776 |
|
2.460%, VAR United States Secured Overnight Financing Rate+0.070%, 10/30/2019 |
|
|
775 |
|
|
|
775 |
|
|
|
|
Total U.S. Government Agency Obligations (Cost $2,788) ($ Thousands) |
|
|
|
|
|
|
2,789 |
|
|
REPURCHASE AGREEMENT 1.4% (F) |
|
BNP Paribas 2.600%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $4,300,311
(collateralized by U.S. Government obligations, par value $1,000 - 123,081,689, 2.500% - 7.000%, 06/01/19 - 12/01/48; total market value $4,386,000) |
|
|
4,300 |
|
|
|
4,300 |
|
|
|
|
Total Repurchase Agreement (Cost $4,300) ($ Thousands) |
|
|
|
|
|
|
4,300 |
|
|
|
|
Total Investments in Securities 100.3% (Cost $307,509) ($ Thousands) |
|
|
|
|
|
$ |
306,912 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
35 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Ultra Short Duration Bond Fund (Concluded)
A list of the open futures contracts held by the Fund at January 31, 2019, 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 Notes |
|
|
(15 |
) |
|
|
Mar-2019 |
|
|
$ |
(1,787 |
) |
|
$ |
(1,837 |
) |
|
$ |
(50 |
) |
U.S. 2-Year Treasury Notes |
|
|
23 |
|
|
|
Mar-2019 |
|
|
|
4,849 |
|
|
|
4,884 |
|
|
|
35 |
|
U.S. 5-Year Treasury Notes |
|
|
(1 |
) |
|
|
Mar-2019 |
|
|
|
(113 |
) |
|
|
(115 |
) |
|
|
(2 |
) |
U.S. Long Treasury Bond |
|
|
(1 |
) |
|
|
Mar-2019 |
|
|
|
(139 |
) |
|
|
(147 |
) |
|
|
(8 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,810 |
|
|
$ |
2,785 |
|
|
$ |
(25 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended January 31, 2019, the total amount of all open futures contracts, as presented in the table above, are
representative of the volume of activity for this derivative type during the period.
|
Percentages are based on Net Assets of $305,943 ($ Thousands). |
(A) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in
transactions exempt from registration normally to qualified institutions. On January 31, 2019, the value of these securities amounted to $109,520 ($ Thousands), representing 35.8% of the Net Assets of the Fund. |
(B) |
Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest
rates and prepayments on the underlying pool of assets. |
(C) |
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(D) |
Variable or floating rate security, the interest rate of which adjusts periodically based on prevailing interest rates.
|
(E) |
Securities are held in connection with a letter of credit issued by a major bank. |
(F) |
Tri-Party Repurchase Agreement. |
Cl Class
CLO Collateralized Loan Obligation
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National
Mortgage Association
GNMA Government National Mortgage Association
GO
General Obligation
ICE Intercontinental Exchange
LIBOR
London Interbank Offered Rate
LLC Limited Liability Company
MTN
Medium Term Note
PLC Public Limited Company
RB Revenue Bond
REMIC Real Estate Mortgage Investment Conduit
Ser Series
USD U.S. Dollar
VAR Variable Rate
The following is a summary of the inputs used as of January 31, 2019 in valuing the Funds investments and other
financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Corporate Obligations |
|
$ |
|
|
|
$ |
155,667 |
|
|
$ |
|
|
|
$ |
155,667 |
|
Asset-Backed Securities |
|
|
|
|
|
|
88,142 |
|
|
|
|
|
|
|
88,142 |
|
Mortgage-Backed Securities |
|
|
|
|
|
|
41,790 |
|
|
|
|
|
|
|
41,790 |
|
U.S. Treasury Obligations |
|
|
|
|
|
|
8,774 |
|
|
|
|
|
|
|
8,774 |
|
Municipal Bonds |
|
|
|
|
|
|
5,450 |
|
|
|
|
|
|
|
5,450 |
|
U.S. Government Agency Obligations |
|
|
|
|
|
|
2,789 |
|
|
|
|
|
|
|
2,789 |
|
Repurchase Agreement |
|
|
|
|
|
|
4,300 |
|
|
|
|
|
|
|
4,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
|
|
|
$ |
306,912 |
|
|
$ |
|
|
|
$ |
306,912 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation |
|
$ |
35 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
35 |
|
Unrealized Depreciation |
|
|
(60) |
|
|
|
|
|
|
|
|
|
|
|
(60) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Other Financial Instruments |
|
$ |
(25) |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
(25) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Futures Contracts are valued at the net unrealized appreciation (depreciation) on the instruments.
For the year ended January 31, 2019, there were no transfers between Level 1, Level 2 and/or Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as are $0 or have been rounded to $0.
The
accompanying notes are an integral part of the financial statements
|
|
|
36 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
SCHEDULE OF INVESTMENTS
January 31, 2019
Short-Duration Government Fund
Percentages are based
on total investments.
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES 61.6% |
|
|
Agency Mortgage-Backed Obligations 61.6% |
|
FHLMC |
|
|
|
|
|
|
|
|
4.625%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.125%, 11/01/2020 |
|
$ |
1 |
|
|
$ |
1 |
|
4.585%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.137%, 12/01/2023 |
|
|
24 |
|
|
|
25 |
|
4.500%, 09/01/2020 to 12/01/2039 |
|
|
5,622 |
|
|
|
5,848 |
|
4.483%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.177%, 12/01/2023 |
|
|
353 |
|
|
|
365 |
|
4.458%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.256%, 07/01/2024 |
|
|
7 |
|
|
|
7 |
|
4.362%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.254%, 04/01/2029 |
|
|
12 |
|
|
|
12 |
|
4.309%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.204%, 05/01/2024 |
|
|
8 |
|
|
|
9 |
|
4.261%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.364%, 06/01/2024 |
|
|
6 |
|
|
|
6 |
|
4.231%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.214%, 06/01/2024 |
|
|
9 |
|
|
|
9 |
|
4.000%, 06/01/2044 |
|
|
409 |
|
|
|
420 |
|
FHLMC REMIC, Ser 2002-42, CI A5 |
|
|
|
|
|
|
|
|
7.500%, 02/25/2042 |
|
|
302 |
|
|
|
353 |
|
FHLMC REMIC, Ser 2003-2571, Cl FY |
|
|
|
|
|
|
|
|
3.259%, VAR LIBOR USD 1 Month+0.750%, 12/15/2032 |
|
|
4,356 |
|
|
|
4,436 |
|
FHLMC REMIC, Ser 2006-3148, Cl CF |
|
|
|
|
|
|
|
|
2.909%, VAR LIBOR USD 1 Month+0.400%, 02/15/2034 |
|
|
197 |
|
|
|
197 |
|
FHLMC REMIC, Ser 2006-3174, Cl FA |
|
|
|
|
|
|
|
|
2.809%, VAR LIBOR USD 1 Month+0.300%, 04/15/2036 |
|
|
1,251 |
|
|
|
1,250 |
|
FHLMC REMIC, Ser 2006-3219, Cl EF |
|
|
|
|
|
|
|
|
2.909%, VAR LIBOR USD 1 Month+0.400%, 04/15/2032 |
|
|
3,030 |
|
|
|
3,025 |
|
FHLMC REMIC, Ser 2007-3339, Cl HF |
|
|
|
|
|
|
|
|
3.029%, VAR LIBOR USD 1 Month+0.520%, 07/15/2037 |
|
|
3,516 |
|
|
|
3,539 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
FHLMC REMIC, Ser 2010-3628, Cl PJ |
|
|
|
|
|
|
|
|
4.500%, 01/15/2040 |
|
$ |
1,644 |
|
|
$ |
1,723 |
|
FHLMC REMIC, Ser 2011-3795, Cl EB |
|
|
|
|
|
|
|
|
2.500%, 10/15/2039 |
|
|
94 |
|
|
|
93 |
|
FHLMC REMIC, Ser 2011-3930, CI AI, IO |
|
|
|
|
|
|
|
|
3.500%, 09/15/2026 |
|
|
587 |
|
|
|
51 |
|
FHLMC REMIC, Ser 2012-4018, Cl AI, IO |
|
|
|
|
|
|
|
|
3.500%, 03/15/2027 |
|
|
1,002 |
|
|
|
83 |
|
FHLMC REMIC, Ser 2012-4030, Cl FD |
|
|
|
|
|
|
|
|
2.859%, VAR LIBOR USD 1
Month+0.350%, 02/15/2041 |
|
|
10,541 |
|
|
|
10,535 |
|
FHLMC REMIC, Ser 2012-4032, Cl Cl, IO |
|
|
|
|
|
|
|
|
3.500%, 06/15/2026 |
|
|
1,624 |
|
|
|
97 |
|
FHLMC REMIC, Ser 2012-4060, Cl TI, IO |
|
|
|
|
|
|
|
|
2.500%, 12/15/2026 |
|
|
1,488 |
|
|
|
75 |
|
FHLMC REMIC, Ser 2013-4170, CI QI, IO |
|
|
|
|
|
|
|
|
3.000%, 05/15/2032 |
|
|
1,425 |
|
|
|
97 |
|
FHLMC REMIC, Ser 2013-4176, Cl KI, IO |
|
|
|
|
|
|
|
|
4.000%, 03/15/2028 |
|
|
1,663 |
|
|
|
145 |
|
FHLMC REMIC, Ser 2013-4178, Cl Bl, IO |
|
|
|
|
|
|
|
|
3.000%, 03/15/2033 |
|
|
946 |
|
|
|
112 |
|
FHLMC REMIC, Ser 2013-4178, Cl Ml, IO |
|
|
|
|
|
|
|
|
2.500%, 03/15/2028 |
|
|
779 |
|
|
|
54 |
|
FHLMC REMIC, Ser 2013-4182, Cl IE, IO |
|
|
|
|
|
|
|
|
2.500%, 03/15/2028 |
|
|
618 |
|
|
|
45 |
|
FHLMC REMIC, Ser 2013-4195, CI AI, IO |
|
|
|
|
|
|
|
|
3.000%, 04/15/2028 |
|
|
1,798 |
|
|
|
154 |
|
FHLMC REMIC, Ser 2013-4199, Cl QI, IO |
|
|
|
|
|
|
|
|
2.500%, 05/15/2028 |
|
|
1,032 |
|
|
|
78 |
|
FHLMC REMIC, Ser 2013-4220, Cl IE, IO |
|
|
|
|
|
|
|
|
4.000%, 06/15/2028 |
|
|
903 |
|
|
|
81 |
|
FHLMC REMIC, Ser 2013-4223, Cl AL |
|
|
|
|
|
|
|
|
3.000%, 08/15/2042 |
|
|
3,547 |
|
|
|
3,553 |
|
FHLMC REMIC, Ser 2014-4340, Cl Ml, IO |
|
|
|
|
|
|
|
|
4.500%, 02/15/2027 |
|
|
3,298 |
|
|
|
335 |
|
FHLMC REMIC, Ser 2014-4419, Cl CW |
|
|
|
|
|
|
|
|
2.500%, 10/15/2037 |
|
|
10,984 |
|
|
|
10,844 |
|
FHLMC REMIC, Ser 2015-4484, Cl Cl, IO |
|
|
|
|
|
|
|
|
4.000%, 07/15/2030 |
|
|
2,113 |
|
|
|
221 |
|
FHLMC REMIC, Ser 2016-4620, Cl IO, IO |
|
|
|
|
|
|
|
|
5.000%, 09/15/2033 |
|
|
1,392 |
|
|
|
260 |
|
FHLMC REMIC, Ser 2017-4709, CI AB |
|
|
|
|
|
|
|
|
3.000%, 08/15/2047 |
|
|
1,659 |
|
|
|
1,665 |
|
FHLMC REMIC, Ser 3153, CI FX |
|
|
|
|
|
|
|
|
2.859%, VAR LIBOR USD 1 Month+0.350%, 05/15/2036 |
|
|
73 |
|
|
|
74 |
|
FHLMC TBA |
|
|
|
|
|
|
|
|
3.000%, 02/15/2042 |
|
|
8,365 |
|
|
|
8,331 |
|
FHLMC, Ser 2013-303, Cl C2, IO |
|
|
|
|
|
|
|
|
3.500%, 01/15/2028 |
|
|
3,164 |
|
|
|
282 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
37 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Short-Duration Government Fund (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
|
MORTGAGE-BACKED SECURITIES (continued) |
|
|
|
|
|
FHLMC, Ser 2017-KT01, CI A |
|
|
|
|
|
|
|
|
2.839%, VAR LIBOR USD 1 Month+0.320%, 02/25/2020 |
|
$ |
11,090 |
|
|
$ |
11,084 |
|
FHLMC, Ser K710, CI A2 |
|
|
|
|
|
|
|
|
1.883%, 05/25/2019 |
|
|
4,639 |
|
|
|
4,625 |
|
FHLMC, Ser KGRP, CI A |
|
|
|
|
|
|
|
|
2.883%, VAR LIBOR USD 1 Month+0.380%, 04/25/2020 |
|
|
267 |
|
|
|
266 |
|
FNMA |
|
|
|
|
|
|
|
|
7.000%, 06/01/2037 |
|
|
5 |
|
|
|
6 |
|
6.500%, 05/01/2026 to 01/01/2036 |
|
|
154 |
|
|
|
169 |
|
6.000%, 02/01/2023 to 09/01/2024 |
|
|
1,095 |
|
|
|
1,132 |
|
5.500%, 12/01/2020 to 06/01/2038 |
|
|
345 |
|
|
|
372 |
|
5.300%, 07/01/2019 |
|
|
107 |
|
|
|
107 |
|
5.000%, 03/01/2019 to 08/01/2019 |
|
|
2 |
|
|
|
2 |
|
4.580%, 01/01/2021 |
|
|
1,982 |
|
|
|
2,013 |
|
4.545%, 02/01/2020 |
|
|
236 |
|
|
|
238 |
|
4.500%, 04/01/2026 to 09/01/2043 |
|
|
2,575 |
|
|
|
2,686 |
|
4.428%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.246%, 08/01/2029 |
|
|
134 |
|
|
|
138 |
|
4.380%, 04/01/2021 |
|
|
4,228 |
|
|
|
4,368 |
|
4.358%, VAR ICE LIBOR USD 6 Month+1.841%, 09/01/2024 |
|
|
191 |
|
|
|
195 |
|
4.330%, 04/01/2021 to 07/01/2021 |
|
|
3,715 |
|
|
|
3,838 |
|
4.302%, 07/01/2021 |
|
|
351 |
|
|
|
363 |
|
4.295%, 06/01/2021 |
|
|
3,486 |
|
|
|
3,588 |
|
4.236%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.087%, 05/01/2028 |
|
|
9 |
|
|
|
9 |
|
4.230%, 01/01/2021 |
|
|
4,406 |
|
|
|
4,521 |
|
4.210%, 07/01/2020 |
|
|
651 |
|
|
|
663 |
|
4.107%, VAR ICE LIBOR USD 6 Month+1.598%, 08/01/2027 |
|
|
68 |
|
|
|
69 |
|
4.066%, 07/01/2020 |
|
|
2,462 |
|
|
|
2,502 |
|
4.050%, 01/01/2021 |
|
|
1,000 |
|
|
|
1,024 |
|
4.040%, 06/01/2021 |
|
|
10,899 |
|
|
|
11,187 |
|
4.000%, 05/01/2026 to 04/01/2042 |
|
|
2,332 |
|
|
|
2,402 |
|
3.990%, 07/01/2021 |
|
|
219 |
|
|
|
225 |
|
3.980%, 07/01/2021 to 08/01/2021 |
|
|
8,864 |
|
|
|
9,104 |
|
3.970%, 06/01/2021 |
|
|
1,881 |
|
|
|
1,928 |
|
3.930%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.881%, 12/01/2029 |
|
|
56 |
|
|
|
57 |
|
3.890%, 10/01/2023 |
|
|
842 |
|
|
|
874 |
|
3.850%, 01/01/2024 |
|
|
559 |
|
|
|
583 |
|
3.840%, 08/01/2021 |
|
|
6,498 |
|
|
|
6,622 |
|
3.810%, 11/01/2023 |
|
|
92 |
|
|
|
96 |
|
3.794%, 12/01/2020 |
|
|
5,164 |
|
|
|
5,251 |
|
3.770%, 09/01/2021 |
|
|
100 |
|
|
|
102 |
|
3.765%, 12/01/2025 |
|
|
7,791 |
|
|
|
8,132 |
|
3.750%, 06/01/2022 to 09/01/2023 |
|
|
3,198 |
|
|
|
3,318 |
|
3.730%, 07/01/2022 |
|
|
2,181 |
|
|
|
2,229 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
3.700%, 11/01/2020 |
|
$ |
803 |
|
|
$ |
815 |
|
3.650%, 11/01/2021 to 01/01/2029 |
|
|
11,309 |
|
|
|
11,620 |
|
3.620%, 09/01/2020 |
|
|
6,671 |
|
|
|
6,750 |
|
3.590%, 10/01/2020 |
|
|
178 |
|
|
|
179 |
|
3.510%, 11/01/2021 |
|
|
1,046 |
|
|
|
1,068 |
|
3.500%, 02/01/2045 |
|
|
2,730 |
|
|
|
2,759 |
|
3.490%, 12/01/2020 |
|
|
6,146 |
|
|
|
6,217 |
|
3.470%, 11/01/2020 |
|
|
154 |
|
|
|
156 |
|
3.400%, 03/01/2022 |
|
|
3,508 |
|
|
|
3,565 |
|
3.330%, 10/01/2020 |
|
|
1,714 |
|
|
|
1,727 |
|
3.265%, 01/01/2022 |
|
|
841 |
|
|
|
855 |
|
3.250%, 12/01/2021 |
|
|
1,225 |
|
|
|
1,241 |
|
3.230%, 11/01/2020 |
|
|
3,053 |
|
|
|
3,074 |
|
3.150%, 01/01/2027 |
|
|
1,495 |
|
|
|
1,500 |
|
3.017%, 04/01/2022 |
|
|
266 |
|
|
|
268 |
|
3.000%, 09/01/2027 to 02/01/2031 |
|
|
1,405 |
|
|
|
1,408 |
|
2.960%, 01/01/2027 |
|
|
1,257 |
|
|
|
1,249 |
|
2.940%, 06/01/2022 |
|
|
681 |
|
|
|
685 |
|
2.930%, 05/01/2022 to 01/01/2027 |
|
|
6,289 |
|
|
|
6,244 |
|
2.830%, 06/01/2022 |
|
|
174 |
|
|
|
174 |
|
2.740%, 04/01/2022 |
|
|
161 |
|
|
|
161 |
|
2.697%, VAR LIBOR USD 1 Month+0.350%, 01/01/2023 |
|
|
1,463 |
|
|
|
1,462 |
|
2.580%, 08/01/2022 |
|
|
2,184 |
|
|
|
2,175 |
|
2.540%, 03/01/2023 |
|
|
625 |
|
|
|
621 |
|
2.450%, 11/01/2022 |
|
|
400 |
|
|
|
397 |
|
2.410%, 07/01/2021 |
|
|
140 |
|
|
|
138 |
|
2.360%, 04/01/2022 |
|
|
4,600 |
|
|
|
4,523 |
|
2.230%, 11/01/2023 |
|
|
4,486 |
|
|
|
4,359 |
|
2.220%, 10/01/2022 |
|
|
2,161 |
|
|
|
2,123 |
|
2.150%, 05/01/2022 |
|
|
4,598 |
|
|
|
4,492 |
|
2.110%, 01/01/2020 |
|
|
3,677 |
|
|
|
3,658 |
|
2.050%, 11/01/2023 |
|
|
1,270 |
|
|
|
1,226 |
|
1.970%, 11/01/2023 |
|
|
12,695 |
|
|
|
12,196 |
|
1.750%, 06/01/2020 |
|
|
7,138 |
|
|
|
7,028 |
|
FNMA Interest, Ser 2009-397, CI 6 |
|
|
|
|
|
|
|
|
2.000%, 09/25/2039 |
|
|
2,295 |
|
|
|
2,163 |
|
FNMA Interest, Ser 2012-410, Cl C6, IO |
|
|
|
|
|
|
|
|
4.000%, 05/25/2027 |
|
|
1,724 |
|
|
|
152 |
|
FNMA REMIC, Ser 1992-61, CI FA |
|
|
|
|
|
|
|
|
3.160%, VAR LIBOR USD 1 Month+0.650%, 10/25/2022 |
|
|
19 |
|
|
|
19 |
|
FNMA REMIC, Ser 1993-32, CI H |
|
|
|
|
|
|
|
|
6.000%, 03/25/2023 |
|
|
9 |
|
|
|
9 |
|
FNMA REMIC, Ser 1994-77, Cl FB |
|
|
|
|
|
|
|
|
4.010%, VAR LIBOR USD 1 Month+1.500%, 04/25/2024 |
|
|
2 |
|
|
|
2 |
|
FNMA REMIC, Ser 2002-53, Cl FK |
|
|
|
|
|
|
|
|
2.910%, VAR LIBOR USD 1 Month+0.400%, 04/25/2032 |
|
|
48 |
|
|
|
48 |
|
FNMA REMIC, Ser 2003-76, Cl CA |
|
|
|
|
|
|
|
|
3.750%, 07/25/2033 |
|
|
26 |
|
|
|
26 |
|
|
|
|
38 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
FNMA REMIC, Ser 2006-76, Cl QF |
|
|
|
|
|
|
|
|
2.910%, VAR LIBOR USD 1 Month+0.400%, 08/25/2036 |
|
$ |
370 |
|
|
$ |
370 |
|
FNMA REMIC, Ser 2006-79, Cl DF |
|
|
|
|
|
|
|
|
2.860%, VAR LIBOR USD 1 Month+0.350%, 08/25/2036 |
|
|
314 |
|
|
|
315 |
|
FNMA REMIC, Ser 2007-47, Cl DA |
|
|
|
|
|
|
|
|
5.600%, 05/25/2037 |
|
|
417 |
|
|
|
453 |
|
FNMA REMIC, Ser 2007-64, Cl FB |
|
|
|
|
|
|
|
|
2.880%, VAR LIBOR USD 1 Month+0.370%, 07/25/2037 |
|
|
2,364 |
|
|
|
2,367 |
|
FNMA REMIC, Ser 2008-16, Cl FA |
|
|
|
|
|
|
|
|
3.210%, VAR LIBOR USD 1 Month+0.700%, 03/25/2038 |
|
|
2,062 |
|
|
|
2,091 |
|
FNMA REMIC, Ser 2009-110, Cl FD |
|
|
|
|
|
|
|
|
3.260%, VAR LIBOR USD 1 Month+0.750%, 01/25/2040 |
|
|
6,470 |
|
|
|
6,574 |
|
FNMA REMIC, Ser 2009-112, Cl FM |
|
|
|
|
|
|
|
|
3.260%, VAR LIBOR USD 1 Month+0.750%, 01/25/2040 |
|
|
3,982 |
|
|
|
4,036 |
|
FNMA REMIC, Ser 2010-4, Cl PL |
|
|
|
|
|
|
|
|
4.500%, 02/25/2040 |
|
|
1,617 |
|
|
|
1,693 |
|
FNMA REMIC, Ser 2010-56, Cl AF |
|
|
|
|
|
|
|
|
3.056%, VAR LIBOR USD 1 Month+0.550%, 06/25/2040 |
|
|
4,527 |
|
|
|
4,568 |
|
FNMA REMIC, Ser 2012-111, Cl Nl, IO |
|
|
|
|
|
|
|
|
3.500%, 10/25/2027 |
|
|
1,771 |
|
|
|
163 |
|
FNMA REMIC, Ser 2012-4083, Cl Dl, IO |
|
|
|
|
|
|
|
|
4.000%, 07/15/2027 |
|
|
526 |
|
|
|
49 |
|
FNMA REMIC, Ser 2012-43, Cl AI, IO |
|
|
|
|
|
|
|
|
3.500%, 04/25/2027 |
|
|
5,960 |
|
|
|
508 |
|
FNMA REMIC, Ser 2012-47, Cl Q1, IO |
|
|
|
|
|
|
|
|
5.465%, 05/25/2042 (A) |
|
|
397 |
|
|
|
42 |
|
FNMA REMIC, Ser 2012-53, Cl BI, IO |
|
|
|
|
|
|
|
|
3.500%, 05/25/2027 |
|
|
1,107 |
|
|
|
105 |
|
FNMA REMIC, Ser 2012-70, Cl IW, IO |
|
|
|
|
|
|
|
|
3.000%, 02/25/2027 |
|
|
2,525 |
|
|
|
178 |
|
FNMA REMIC, Ser 2012-93, Cl IL, IO |
|
|
|
|
|
|
|
|
3.000%, 09/25/2027 |
|
|
962 |
|
|
|
81 |
|
FNMA REMIC, Ser 2012-97, CI JI, IO |
|
|
|
|
|
|
|
|
3.000%, 07/25/2027 |
|
|
2,802 |
|
|
|
220 |
|
FNMA REMIC, Ser 2012-98, Cl BI, IO |
|
|
|
|
|
|
|
|
6.000%, 01/25/2042 |
|
|
2,971 |
|
|
|
530 |
|
FNMA REMIC, Ser 2013-121, Cl FA |
|
|
|
|
|
|
|
|
2.910%, VAR LIBOR USD 1 Month+0.400%, 12/25/2043 |
|
|
29,933 |
|
|
|
30,009 |
|
FNMA REMIC, Ser 2013-130, Cl FQ |
|
|
|
|
|
|
|
|
2.710%, VAR LIBOR USD 1 Month+0.200%, 06/25/2041 |
|
|
5,595 |
|
|
|
5,555 |
|
FNMA REMIC, Ser 2014-50, CI SC, IO |
|
|
|
|
|
|
|
|
1.458%, 08/25/2044 (A) |
|
|
4,011 |
|
|
|
204 |
|
FNMA REMIC, Ser 2015-21, CI WI, IO |
|
|
|
|
|
|
|
|
1.601%, 04/25/2055 (A) |
|
|
2,553 |
|
|
|
127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
FNMA REMIC, Ser 2015-42, CI AI, IO |
|
|
|
|
|
|
|
|
1.641%, 06/25/2055 (A) |
|
$ |
3,151 |
|
|
$ |
163 |
|
FNMA REMIC, Ser 2015-5, Cl CP |
|
|
|
|
|
|
|
|
3.000%, 06/25/2043 |
|
|
2,496 |
|
|
|
2,503 |
|
FNMA REMIC, Ser 2015-68, CI JI, IO |
|
|
|
|
|
|
|
|
3.500%, 08/25/2030 |
|
|
570 |
|
|
|
55 |
|
FNMA REMIC, Ser 2015-68, Cl HI, IO |
|
|
|
|
|
|
|
|
3.500%, 09/25/2035 |
|
|
1,116 |
|
|
|
162 |
|
FNMA REMIC, Ser 2016-3, CI JI, IO |
|
|
|
|
|
|
|
|
3.500%, 02/25/2031 |
|
|
1,235 |
|
|
|
103 |
|
FNMA REMIC, Ser 2016-71, Cl IN, IO |
|
|
|
|
|
|
|
|
3.500%, 10/25/2046 |
|
|
990 |
|
|
|
250 |
|
FNMA REMIC, Ser 2017-68, Cl Bl, IO |
|
|
|
|
|
|
|
|
6.000%, 09/25/2047 |
|
|
2,065 |
|
|
|
488 |
|
FNMA REMIC, Ser 2018-13, Cl MP |
|
|
|
|
|
|
|
|
3.500%, 12/25/2057 |
|
|
6,277 |
|
|
|
6,403 |
|
FNMA REMIC, Ser 2018-38, Cl PC |
|
|
|
|
|
|
|
|
3.500%, 03/25/2045 |
|
|
6,541 |
|
|
|
6,641 |
|
FNMA REMIC, Ser 2018-55, Cl PA |
|
|
|
|
|
|
|
|
3.500%, 01/25/2047 |
|
|
6,686 |
|
|
|
6,791 |
|
FNMA REMIC, Ser 2018-70, Cl HA |
|
|
|
|
|
|
|
|
3.500%, 10/25/2056 |
|
|
4,897 |
|
|
|
4,984 |
|
FNMA REMIC, Ser G93-5, CI Z |
|
|
|
|
|
|
|
|
6.500%, 02/25/2023 |
|
|
5 |
|
|
|
5 |
|
FNMA TBA |
|
|
|
|
|
|
|
|
6.000%, 02/15/2045 |
|
|
2,200 |
|
|
|
2,374 |
|
4.500%, 02/01/2034 |
|
|
213 |
|
|
|
322 |
|
4.000%, 02/01/2039 to 03/01/2039 |
|
|
9,850 |
|
|
|
10,079 |
|
3.500%, 02/25/2041 |
|
|
7,173 |
|
|
|
7,209 |
|
3.000%, 02/15/2030 |
|
|
70 |
|
|
|
58 |
|
FNMA, Ser 2017-M13, Cl FA |
|
|
|
|
|
|
|
|
2.870%, VAR LIBOR USD 1 Month+0.400%, 10/25/2024 |
|
|
2,635 |
|
|
|
2,631 |
|
FNMA, Ser 2017-M5, Cl FA |
|
|
|
|
|
|
|
|
2.960%, VAR LIBOR USD 1 Month+0.490%, 04/25/2024 |
|
|
2,616 |
|
|
|
2,603 |
|
FNMA, Ser 2018-M12, CI FA |
|
|
|
|
|
|
|
|
2.870%, VAR LIBOR USD 1 Month+0.400%, 08/25/2025 |
|
|
2,135 |
|
|
|
2,132 |
|
FNMA, Ser 2018-M5, CI A2 |
|
|
|
|
|
|
|
|
3.560%, 09/25/2021 (A) |
|
|
7,165 |
|
|
|
7,249 |
|
GNMA |
|
|
|
|
|
|
|
|
6.500%, 08/15/2037 to 02/20/2039 |
|
|
262 |
|
|
|
288 |
|
6.000%, 09/15/2019 to 06/15/2041 |
|
|
5,566 |
|
|
|
6,111 |
|
5.500%, 10/15/2034 to 02/15/2041 |
|
|
2,231 |
|
|
|
2,436 |
|
5.000%, 09/15/2039 to 04/15/2041 |
|
|
1,355 |
|
|
|
1,452 |
|
4.000%, 07/15/2041 to 08/15/2041 |
|
|
139 |
|
|
|
144 |
|
GNMA TBA |
|
|
|
|
|
|
|
|
6.000%, 02/15/2045 |
|
|
1,600 |
|
|
|
1,718 |
|
GNMA, Ser 2010-26, CI JI, IO |
|
|
|
|
|
|
|
|
5.000%, 02/16/2040 |
|
|
3,416 |
|
|
|
802 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
39 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Short-Duration Government Fund (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
GNMA, Ser 2010-57, Cl Tl, IO |
|
|
|
|
|
|
|
|
5.000%, 05/20/2040 |
|
$ |
1,353 |
|
|
$ |
303 |
|
GNMA, Ser 2010-68, Cl WA |
|
|
|
|
|
|
|
|
3.000%, 12/16/2039 |
|
|
2,810 |
|
|
|
2,817 |
|
GNMA, Ser 2011-131, Cl PC |
|
|
|
|
|
|
|
|
3.500%, 12/20/2040 |
|
|
1,080 |
|
|
|
1,089 |
|
GNMA, Ser 2012-126, Cl IO, IO |
|
|
|
|
|
|
|
|
3.500%, 10/20/2042 |
|
|
4,269 |
|
|
|
764 |
|
GNMA, Ser 2012-27, IO |
|
|
|
|
|
|
|
|
4.500%, 02/25/2042 |
|
|
5,581 |
|
|
|
672 |
|
GNMA, Ser 2012-51, Cl Gl, IO |
|
|
|
|
|
|
|
|
3.500%, 07/20/2040 |
|
|
1,117 |
|
|
|
115 |
|
GNMA, Ser 2012-84, CI TE |
|
|
|
|
|
|
|
|
1.500%, 03/20/2042 |
|
|
4,006 |
|
|
|
3,801 |
|
GNMA, Ser 2013-26, Cl IK, IO |
|
|
|
|
|
|
|
|
3.000%, 02/16/2043 |
|
|
737 |
|
|
|
115 |
|
GNMA, Ser 2013-47, Cl IA, IO |
|
|
|
|
|
|
|
|
4.000%, 03/20/2043 |
|
|
821 |
|
|
|
172 |
|
GNMA, Ser 2013-51, Cl IB, IO |
|
|
|
|
|
|
|
|
3.500%, 03/20/2027 |
|
|
1,266 |
|
|
|
119 |
|
GNMA, Ser 2014-4, Cl BI, IO |
|
|
|
|
|
|
|
|
4.000%, 01/20/2044 |
|
|
341 |
|
|
|
76 |
|
GNMA, Ser 2014-46, Cl IO, IO |
|
|
|
|
|
|
|
|
5.000%, 03/16/2044 |
|
|
1,467 |
|
|
|
294 |
|
GNMA, Ser 2014-56, Cl BP |
|
|
|
|
|
|
|
|
2.500%, 12/16/2039 |
|
|
3,715 |
|
|
|
3,663 |
|
GNMA, Ser 2015-126, CI GI, IO |
|
|
|
|
|
|
|
|
3.500%, 02/16/2027 |
|
|
543 |
|
|
|
47 |
|
GNMA, Ser 2015-126, Cl HI, IO |
|
|
|
|
|
|
|
|
4.000%, 12/16/2026 |
|
|
369 |
|
|
|
33 |
|
GNMA, Ser 2015-132, Cl El, IO |
|
|
|
|
|
|
|
|
6.000%, 09/20/2045 |
|
|
2,677 |
|
|
|
662 |
|
GNMA, Ser 2015-165, Cl I, IO |
|
|
|
|
|
|
|
|
3.500%, 07/20/2043 |
|
|
2,602 |
|
|
|
381 |
|
GNMA, Ser 2015-17, CI BI, IO |
|
|
|
|
|
|
|
|
3.500%, 05/20/2043 |
|
|
326 |
|
|
|
54 |
|
GNMA, Ser 2015-185, CI GI, IO |
|
|
|
|
|
|
|
|
3.500%, 02/20/2041 |
|
|
1,696 |
|
|
|
187 |
|
GNMA, Ser 2015-40, Cl PA |
|
|
|
|
|
|
|
|
2.000%, 04/20/2044 |
|
|
7,274 |
|
|
|
7,078 |
|
GNMA, Ser 2015-53, Cl IA, IO |
|
|
|
|
|
|
|
|
4.500%, 04/20/2045 |
|
|
1,435 |
|
|
|
344 |
|
GNMA, Ser 2015-63, Cl PB |
|
|
|
|
|
|
|
|
1.750%, 09/20/2043 |
|
|
530 |
|
|
|
511 |
|
GNMA, Ser 2016-126, Cl Kl, IO |
|
|
|
|
|
|
|
|
3.000%, 09/20/2028 |
|
|
1,243 |
|
|
|
103 |
|
GNMA, Ser 2016-167, Cl AI, IO |
|
|
|
|
|
|
|
|
5.500%, 03/20/2039 |
|
|
2,925 |
|
|
|
652 |
|
GNMA, Ser 2016-23, Cl Cl, IO |
|
|
|
|
|
|
|
|
3.500%, 04/20/2042 |
|
|
2,918 |
|
|
|
332 |
|
GNMA, Ser 2016-42, Cl El, IO |
|
|
|
|
|
|
|
|
6.000%, 02/20/2046 |
|
|
2,214 |
|
|
|
507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
GNMA, Ser 2016-49, Cl PI, IO |
|
|
|
|
|
|
|
|
4.500%, 11/16/2045 |
|
$ |
3,522 |
|
|
$ |
718 |
|
GNMA, Ser 2016-99, Cl LI, IO |
|
|
|
|
|
|
|
|
4.000%, 05/20/2029 |
|
|
5,404 |
|
|
|
525 |
|
GNMA, Ser 2017-107, IO |
|
|
|
|
|
|
|
|
4.000%, 03/20/2047 |
|
|
2,861 |
|
|
|
499 |
|
GNMA, Ser 2017-134, Cl Bl, IO |
|
|
|
|
|
|
|
|
5.000%, 09/16/2047 |
|
|
627 |
|
|
|
141 |
|
GNMA, Ser 2017-2, CI AI, IO |
|
|
|
|
|
|
|
|
5.000%, 01/16/2047 |
|
|
811 |
|
|
|
179 |
|
GNMA, Ser 2017-26, Cl IA, IO |
|
|
|
|
|
|
|
|
5.500%, 02/16/2047 |
|
|
2,516 |
|
|
|
563 |
|
GNMA, Ser 2017-26, Cl IB, IO |
|
|
|
|
|
|
|
|
5.500%, 02/20/2047 |
|
|
1,530 |
|
|
|
333 |
|
GNMA, Ser 2017-26, Cl Kl, IO |
|
|
|
|
|
|
|
|
6.000%, 09/20/2040 |
|
|
2,712 |
|
|
|
645 |
|
GNMA, Ser 2017-99, Cl IO, IO |
|
|
|
|
|
|
|
|
4.000%, 07/20/2047 |
|
|
4,373 |
|
|
|
760 |
|
GNMA, Ser 2018-38, CI AB |
|
|
|
|
|
|
|
|
3.500%, 01/20/2048 |
|
|
7,271 |
|
|
|
7,440 |
|
|
|
|
Total Mortgage-Backed Securities (Cost $428,825) ($ Thousands) |
|
|
|
|
|
|
426,198 |
|
|
U.S. TREASURY OBLIGATIONS 16.9% |
|
U.S. Treasury lnflation Indexed Bonds |
|
|
|
|
|
|
|
|
0.875%, 01/15/2029 |
|
|
7,392 |
|
|
|
7,437 |
|
0.750%, 07/15/2028 |
|
|
24,047 |
|
|
|
24,145 |
|
U.S. Treasury Notes |
|
|
|
|
|
|
|
|
2.000%, 10/31/2021 |
|
|
9,600 |
|
|
|
9,486 |
|
1.625%, 07/31/2020 (B) |
|
|
30,005 |
|
|
|
29,615 |
|
1.500%, 07/15/2020 |
|
|
47,246 |
|
|
|
46,571 |
|
|
|
|
Total U.S. Treasury Obligations (Cost $117,565) ($ Thousands) |
|
|
|
|
|
|
117,254 |
|
|
U.S. GOVERNMENT AGENCY OBLIGATIONS 11.6% |
|
FHLMC |
|
|
|
|
|
|
|
|
1.375%, 05/01/2020 |
|
|
48,663 |
|
|
|
47,956 |
|
FNMA |
|
|
|
|
|
|
|
|
1.500%, 07/30/2020 |
|
|
32,700 |
|
|
|
32,226 |
|
Total U.S. Government Agency Obligations (Cost $81,246) ($ Thousands) |
|
|
|
|
|
|
80,182 |
|
|
|
|
|
|
|
|
|
|
|
|
|
40 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount (Thousands) |
|
|
Market Value ($ Thousands) |
|
REPURCHASE AGREEMENTS 8.0% (C) |
|
BNP Paribas |
|
|
|
|
|
|
|
|
2.600%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $38,002,744 (collateralized by U.S. Treasury obligation,
par value $1,000 - 25,393,438, 0.00% - 5.00%, 03/05/19 - 01/01/49; total market value $38,760,089) |
|
$ |
38,000 |
|
|
$ |
38,000 |
|
Deutsche Bank |
|
|
|
|
|
|
|
|
2.580%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $17,601,261 (collateralized by U.S. Treasury obligation,
par value $17,390,000, 4.125%, 03/13/20; total market value $17,953,921) |
|
|
17,600 |
|
|
|
17,600 |
|
|
|
|
|
|
|
|
|
|
Total Repurchase Agreements (Cost $55,600) ($ Thousands) |
|
|
|
55,600 |
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities 98.1% (Cost $683,236) ($ Thousands) |
|
|
$ |
679,234 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund
at January 31, 2019, 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 Notes |
|
|
(1,303 |
) |
|
|
Mar-2019 |
|
|
$ |
(156,120 |
) |
|
$ |
(159,577 |
) |
|
$ |
(3,457 |
) |
U.S. 2-Year Treasury Notes |
|
|
1,088 |
|
|
|
Mar-2019 |
|
|
|
229,934 |
|
|
|
231,013 |
|
|
|
1,079 |
|
U.S. 5-Year Treasury Notes |
|
|
952 |
|
|
|
Mar-2019 |
|
|
|
107,758 |
|
|
|
109,346 |
|
|
|
1,588 |
|
U.S. Long Treasury Bond |
|
|
22 |
|
|
|
Mar-2019 |
|
|
|
3,062 |
|
|
|
3,227 |
|
|
|
165 |
|
Ultra 10-Year U.S. Treasury Notes |
|
|
(111 |
) |
|
|
Mar-2019 |
|
|
|
(13,988 |
) |
|
|
(14,507 |
) |
|
|
(519 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
170,646 |
|
|
$ |
169,502 |
|
|
$ |
(1,144 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended January 31, 2019, the total amount of all open futures contracts, as presented in the table above, are
representative of the volume of activity for this derivative type during the period.
|
Percentages are based on Net Assets of $692,279 ($ Thousands). |
(A) |
Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest
rates and prepayments on the underlying pool of assets. |
(B) |
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(C) |
Tri-Party Repurchase Agreement. |
Cl Class
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GNMA Government National
Mortgage Association
ICE Intercontinental Exchange
IO Interest Only
- face amount represents notional amount
LIBOR London Interbank Offered Rate
REMIC Real Estate Mortgage Investment Conduit
Ser Series
TBA To Be Announced
USD U.S. Dollar
VAR Variable Rate
The following is a summary of the inputs used as of January 31, 2019 in valuing the Funds investments and other
financial instruments carried at value ($ Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in
Securities |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Mortgage-Backed Securities |
|
$ |
|
|
|
$ |
426,198 |
|
|
$ |
|
|
|
$ |
426,198 |
|
U.S. Treasury Obligations |
|
|
|
|
|
|
117,254 |
|
|
|
|
|
|
|
117,254 |
|
U.S. Government Agency Obligations |
|
|
|
|
|
|
80,182 |
|
|
|
|
|
|
|
80,182 |
|
Repurchase Agreements |
|
|
|
|
|
|
55,600 |
|
|
|
|
|
|
|
55,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
|
|
|
$ |
679,234 |
|
|
$ |
|
|
|
$ |
679,234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial In
struments |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation |
|
$ |
2,832 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
2,832 |
|
Unrealized Depreciation |
|
|
(3,976) |
|
|
|
|
|
|
|
|
|
|
|
(3,976) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Other Financial Instruments |
|
$ |
(1,144) |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
(1,144) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
Futures Contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
41 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
Short-Duration Government Fund (Concluded)
For the year ended January 31, 2019, there were no transfers between Level 1, Level 2 and/or Level 3 assets and
liabilities.
For more information on valuation inputs, see Note 2 Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as are $0 or have been rounded to $0.
The
accompanying notes are an integral part of the financial statements.
|
|
|
42 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
SCHEDULE OF INVESTMENTS
January 31, 2019
GNMA Fund
Percentages are based
on total investments.
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES 98.8% |
|
|
Agency Mortgage-Backed Obligations 98.8% |
|
FHLMC |
|
|
|
|
|
|
|
|
3.650%, 04/01/2030 |
|
$ |
589 |
|
|
$ |
607 |
|
FHLMC REMIC, Ser 2011-3930, CI AI, IO |
|
|
|
|
|
|
|
|
3.500%, 09/15/2026 |
|
|
80 |
|
|
|
7 |
|
FHLMC REMIC, Ser 2012-4018, Cl AI, IO |
|
|
|
|
|
|
|
|
3.500%, 03/15/2027 |
|
|
140 |
|
|
|
12 |
|
FHLMC REMIC, Ser 2012-4032, Cl Cl, IO |
|
|
|
|
|
|
|
|
3.500%, 06/15/2026 |
|
|
222 |
|
|
|
13 |
|
FHLMC REMIC, Ser 2012-4060, Cl TI, IO |
|
|
|
|
|
|
|
|
2.500%, 12/15/2026 |
|
|
199 |
|
|
|
10 |
|
FHLMC REMIC, Ser 2013-4166, Cl PI, IO |
|
|
|
|
|
|
|
|
3.500%, 03/15/2041 |
|
|
603 |
|
|
|
71 |
|
FHLMC REMIC, Ser 2013-4176, Cl KI, IO |
|
|
|
|
|
|
|
|
4.000%, 03/15/2028 |
|
|
204 |
|
|
|
18 |
|
FHLMC REMIC, Ser 2013-4178, Cl Ml, IO |
|
|
|
|
|
|
|
|
2.500%, 03/15/2028 |
|
|
108 |
|
|
|
7 |
|
FHLMC REMIC, Ser 2013-4182, Cl IE, IO |
|
|
|
|
|
|
|
|
2.500%, 03/15/2028 |
|
|
91 |
|
|
|
7 |
|
FHLMC REMIC, Ser 2013-4199, Cl QI, IO |
|
|
|
|
|
|
|
|
2.500%, 05/15/2028 |
|
|
127 |
|
|
|
10 |
|
FHLMC REMIC, Ser 2015-4484, Cl Cl, IO |
|
|
|
|
|
|
|
|
4.000%, 07/15/2030 |
|
|
213 |
|
|
|
22 |
|
FHLMC REMIC, Ser 2016-4624, Cl BI, IO |
|
|
|
|
|
|
|
|
5.500%, 04/15/2036 |
|
|
268 |
|
|
|
57 |
|
FHLMC REMIC, Ser 2017-4654, Cl KY |
|
|
|
|
|
|
|
|
3.000%, 02/15/2047 |
|
|
650 |
|
|
|
616 |
|
FHLMC REMIC, Ser 2017-4656, Cl KB |
|
|
|
|
|
|
|
|
3.000%, 02/15/2047 |
|
|
275 |
|
|
|
262 |
|
FNMA |
|
|
|
|
|
|
|
|
8.000%, 07/01/2025 to 09/01/2028 |
|
|
24 |
|
|
|
25 |
|
7.000%, 08/01/2029 to 09/01/2032 |
|
|
49 |
|
|
|
51 |
|
6.500%, 09/01/2032 |
|
|
51 |
|
|
|
56 |
|
4.180%, 11/01/2028 |
|
|
1,616 |
|
|
|
1,733 |
|
3.660%, 07/01/2030 |
|
|
125 |
|
|
|
128 |
|
3.590%, 09/01/2030 |
|
|
210 |
|
|
|
213 |
|
3.460%, 09/01/2037 |
|
|
425 |
|
|
|
415 |
|
3.260%, 06/01/2027 |
|
|
185 |
|
|
|
186 |
|
3.230%, 02/01/2027 |
|
|
145 |
|
|
|
147 |
|
2.970%, 06/01/2027 |
|
|
194 |
|
|
|
192 |
|
2.960%, 01/01/2028 |
|
|
190 |
|
|
|
186 |
|
FNMA Interest, Ser 2012-410, Cl C6, IO |
|
|
|
|
|
|
|
|
4.000%, 05/25/2027 |
|
|
214 |
|
|
|
19 |
|
FNMA REMIC, Ser 1990-91, CI G |
|
|
|
|
|
|
|
|
7.000%, 08/25/2020 |
|
|
2 |
|
|
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
FNMA REMIC, Ser 1992-105, CI B |
|
|
|
|
|
|
|
|
7.000%, 06/25/2022 |
|
$ |
6 |
|
|
$ |
6 |
|
FNMA REMIC, Ser 2012-53, Cl BI, IO |
|
|
|
|
|
|
|
|
3.500%, 05/25/2027 |
|
|
135 |
|
|
|
13 |
|
FNMA REMIC, Ser 2012-93, Cl IL, IO |
|
|
|
|
|
|
|
|
3.000%, 09/25/2027 |
|
|
135 |
|
|
|
11 |
|
FNMA REMIC, Ser 2012-98, Cl BI, IO |
|
|
|
|
|
|
|
|
6.000%, 01/25/2042 |
|
|
290 |
|
|
|
52 |
|
FNMA REMIC, Ser 2015-21, CI WI, IO |
|
|
|
|
|
|
|
|
1.601%, 04/25/2055 (A) |
|
|
319 |
|
|
|
16 |
|
FNMA REMIC, Ser 2016-3, CI JI, IO |
|
|
|
|
|
|
|
|
3.500%, 02/25/2031 |
|
|
159 |
|
|
|
13 |
|
FNMA REMIC, Ser 2016-71, Cl IN, IO |
|
|
|
|
|
|
|
|
3.500%, 10/25/2046 |
|
|
124 |
|
|
|
31 |
|
FNMA REMIC, Ser 2017-42, CI HL |
|
|
|
|
|
|
|
|
3.000%, 06/25/2047 |
|
|
875 |
|
|
|
836 |
|
FNMA REMIC, Ser 2018-13, Cl MP |
|
|
|
|
|
|
|
|
3.500%, 12/25/2057 |
|
|
639 |
|
|
|
652 |
|
FNMA REMIC, Ser 2018-45, CI AB |
|
|
|
|
|
|
|
|
3.000%, 06/25/2048 |
|
|
245 |
|
|
|
242 |
|
GNMA |
|
|
|
|
|
|
|
|
9.500%, 09/15/2020 to 10/15/2020 |
|
|
3 |
|
|
|
3 |
|
9.000%, 10/15/2019 to 05/15/2022 |
|
|
15 |
|
|
|
15 |
|
8.000%, 01/15/2022 to 03/15/2032 |
|
|
140 |
|
|
|
151 |
|
7.750%, 10/15/2026 |
|
|
19 |
|
|
|
21 |
|
7.500%, 02/15/2027 to 10/15/2035 |
|
|
140 |
|
|
|
156 |
|
7.250%, 01/15/2028 |
|
|
17 |
|
|
|
17 |
|
7.000%, 04/15/2019 to 11/15/2033 |
|
|
1,243 |
|
|
|
1,393 |
|
6.750%, 11/15/2027 |
|
|
8 |
|
|
|
8 |
|
6.500%, 10/15/2023 to 10/15/2038 |
|
|
387 |
|
|
|
441 |
|
6.000%, 12/15/2027 to 12/15/2040 |
|
|
920 |
|
|
|
1,004 |
|
5.500%, 01/15/2033 to 02/15/2041 |
|
|
1,683 |
|
|
|
1,836 |
|
5.000%, 06/15/2033 to 01/20/2045 |
|
|
3,577 |
|
|
|
3,814 |
|
4.500%, 08/15/2033 to 09/20/2048 |
|
|
3,675 |
|
|
|
3,862 |
|
4.000%, 03/20/2040 to 03/20/2048(B) |
|
|
7,013 |
|
|
|
7,264 |
|
3.875%, 05/15/2042 |
|
|
1,072 |
|
|
|
1,104 |
|
3.500%, 03/20/2041 to 10/20/2048 |
|
|
18,671 |
|
|
|
18,925 |
|
3.000%, 10/15/2042 to 05/20/2046 |
|
|
5,800 |
|
|
|
5,765 |
|
2.500%, 07/20/2045 to 12/20/2046 |
|
|
1,882 |
|
|
|
1,819 |
|
GNMA REMIC, Ser 2002-45, Cl QE |
|
|
|
|
|
|
|
|
6.500%, 06/20/2032 |
|
|
199 |
|
|
|
199 |
|
GNMA TBA |
|
|
|
|
|
|
|
|
4.500%, 02/15/2045 |
|
|
105 |
|
|
|
104 |
|
4.000%, 02/15/2045 to 03/15/2045 |
|
|
2,300 |
|
|
|
2,345 |
|
3.000%, 02/01/2045 |
|
|
1,231 |
|
|
|
1,144 |
|
GNMA, Ser 2010-26, CI JI, IO |
|
|
|
|
|
|
|
|
5.000%, 02/16/2040 |
|
|
416 |
|
|
|
98 |
|
GNMA, Ser 2010-57, CI TI, IO |
|
|
|
|
|
|
|
|
5.000%, 05/20/2040 |
|
|
336 |
|
|
|
75 |
|
GNMA, Ser 2011-131, Cl PZ |
|
|
|
|
|
|
|
|
3.500%, 12/20/2040 |
|
|
204 |
|
|
|
207 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
43 |
|
SCHEDULE OF INVESTMENTS
January 31, 2019
GNMA Fund
(Concluded)
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
GNMA, Ser 2012-113, Cl BZ |
|
|
|
|
|
|
|
|
3.000%, 09/16/2042 |
|
$ |
195 |
|
|
$ |
181 |
|
GNMA, Ser 2012-126, Cl IO, IO |
|
|
|
|
|
|
|
|
3.500%, 10/20/2042 |
|
|
522 |
|
|
|
93 |
|
GNMA, Ser 2012-140, Cl LD |
|
|
|
|
|
|
|
|
1.750%, 10/20/2042 |
|
|
687 |
|
|
|
648 |
|
GNMA, Ser 2012-51, Cl Gl, IO |
|
|
|
|
|
|
|
|
3.500%, 07/20/2040 |
|
|
139 |
|
|
|
14 |
|
GNMA, Ser 2012-69, Cl AI, IO |
|
|
|
|
|
|
|
|
4.500%, 05/16/2027 |
|
|
284 |
|
|
|
25 |
|
GNMA, Ser 2012-84, Cl QN |
|
|
|
|
|
|
|
|
2.500%, 07/16/2042 |
|
|
575 |
|
|
|
509 |
|
GNMA, Ser 2012-91, Cl NC |
|
|
|
|
|
|
|
|
3.000%, 05/20/2042 |
|
|
607 |
|
|
|
601 |
|
GNMA, Ser 2013-187, Cl PE |
|
|
|
|
|
|
|
|
2.000%, 09/20/2043 |
|
|
244 |
|
|
|
235 |
|
GNMA, Ser 2013-26, Cl IK, IO |
|
|
|
|
|
|
|
|
3.000%, 02/16/2043 |
|
|
89 |
|
|
|
14 |
|
GNMA, Ser 2013-47, Cl IA, IO |
|
|
|
|
|
|
|
|
4.000%, 03/20/2043 |
|
|
109 |
|
|
|
23 |
|
GNMA, Ser 2013-99, Cl AX |
|
|
|
|
|
|
|
|
3.000%, 07/20/2043 |
|
|
176 |
|
|
|
174 |
|
GNMA, Ser 2014-115, Cl KZ |
|
|
|
|
|
|
|
|
3.000%, 08/20/2044 |
|
|
200 |
|
|
|
193 |
|
GNMA, Ser 2014-119, Cl ZK |
|
|
|
|
|
|
|
|
3.500%, 08/16/2044 |
|
|
15 |
|
|
|
15 |
|
GNMA, Ser 2014-122, Cl IP, IO |
|
|
|
|
|
|
|
|
3.500%, 08/16/2029 |
|
|
849 |
|
|
|
80 |
|
GNMA, Ser 2014-144, Cl Bl, IO |
|
|
|
|
|
|
|
|
3.000%, 09/16/2029 |
|
|
280 |
|
|
|
25 |
|
GNMA, Ser 2014-21, Cl Dl, IO |
|
|
|
|
|
|
|
|
4.000%, 04/16/2026 |
|
|
1,207 |
|
|
|
112 |
|
GNMA, Ser 2015-165, Cl I, IO |
|
|
|
|
|
|
|
|
3.500%, 07/20/2043 |
|
|
634 |
|
|
|
93 |
|
GNMA, Ser 2015-168, Cl Ml, IO |
|
|
|
|
|
|
|
|
5.500%, 10/20/2037 |
|
|
663 |
|
|
|
141 |
|
GNMA, Ser 2015-17, CI BI, IO |
|
|
|
|
|
|
|
|
3.500%, 05/20/2043 |
|
|
679 |
|
|
|
113 |
|
GNMA, Ser 2015-18, Cl IC, IO |
|
|
|
|
|
|
|
|
3.500%, 02/16/2030 |
|
|
689 |
|
|
|
69 |
|
GNMA, Ser 2015-185, CI GI, IO |
|
|
|
|
|
|
|
|
3.500%, 02/20/2041 |
|
|
214 |
|
|
|
24 |
|
GNMA, Ser 2015-24, Cl Cl, IO |
|
|
|
|
|
|
|
|
3.500%, 02/20/2045 |
|
|
329 |
|
|
|
56 |
|
GNMA, Ser 2015-53, Cl IA, IO |
|
|
|
|
|
|
|
|
4.500%, 04/20/2045 |
|
|
205 |
|
|
|
49 |
|
GNMA, Ser 2015-63, Cl PB |
|
|
|
|
|
|
|
|
1.750%, 09/20/2043 |
|
|
55 |
|
|
|
53 |
|
GNMA, Ser 2015-84, Cl IO, IO |
|
|
|
|
|
|
|
|
3.500%, 05/16/2042 |
|
|
510 |
|
|
|
102 |
|
GNMA, Ser 2016-123, Cl LM |
|
|
|
|
|
|
|
|
3.000%, 09/20/2046 |
|
|
375 |
|
|
|
361 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
MORTGAGE-BACKED SECURITIES (continued) |
|
GNMA, Ser 2016-126, Cl Kl, IO |
|
|
|
|
|
|
|
|
3.000%, 09/20/2028 |
|
$ |
171 |
|
|
$ |
14 |
|
GNMA, Ser 2016-136, CI A |
|
|
|
|
|
|
|
|
3.000%, 07/20/2044 |
|
|
791 |
|
|
|
782 |
|
GNMA, Ser 2016-161, Cl Gl, IO |
|
|
|
|
|
|
|
|
5.000%, 11/16/2046 |
|
|
327 |
|
|
|
65 |
|
GNMA, Ser 2016-167, Cl AI, IO |
|
|
|
|
|
|
|
|
5.500%, 03/20/2039 |
|
|
539 |
|
|
|
120 |
|
GNMA, Ser 2016-18, Cl TA |
|
|
|
|
|
|
|
|
2.000%, 10/20/2044 |
|
|
663 |
|
|
|
636 |
|
GNMA, Ser 2016-19, Cl AC |
|
|
|
|
|
|
|
|
3.000%, 02/20/2046 |
|
|
152 |
|
|
|
145 |
|
GNMA, Ser 2016-23, Cl Cl, IO |
|
|
|
|
|
|
|
|
3.500%, 04/20/2042 |
|
|
357 |
|
|
|
41 |
|
GNMA, Ser 2016-42, Cl El, IO |
|
|
|
|
|
|
|
|
6.000%, 02/20/2046 |
|
|
275 |
|
|
|
63 |
|
GNMA, Ser 2016-99, Cl LI, IO |
|
|
|
|
|
|
|
|
4.000%, 05/20/2029 |
|
|
752 |
|
|
|
73 |
|
GNMA, Ser 2017-107, IO |
|
|
|
|
|
|
|
|
4.000%, 03/20/2047 |
|
|
374 |
|
|
|
65 |
|
GNMA, Ser 2017-134, Cl Bl, IO |
|
|
|
|
|
|
|
|
5.000%, 09/16/2047 |
|
|
282 |
|
|
|
63 |
|
GNMA, Ser 2017-176, Cl CM |
|
|
|
|
|
|
|
|
2.500%, 11/20/2047 |
|
|
141 |
|
|
|
116 |
|
GNMA, Ser 2017-182, Cl LZ |
|
|
|
|
|
|
|
|
3.000%, 12/20/2047 |
|
|
103 |
|
|
|
88 |
|
GNMA, Ser 2017-2, CI AI, IO |
|
|
|
|
|
|
|
|
5.000%, 01/16/2047 |
|
|
101 |
|
|
|
22 |
|
GNMA, Ser 2017-26, Cl IA, IO |
|
|
|
|
|
|
|
|
5.500%, 02/16/2047 |
|
|
347 |
|
|
|
78 |
|
GNMA, Ser 2017-78, Cl AZ |
|
|
|
|
|
|
|
|
3.000%, 05/20/2047 |
|
|
210 |
|
|
|
192 |
|
GNMA, Ser 2017-99, Cl IO, IO |
|
|
|
|
|
|
|
|
4.000%, 07/20/2047 |
|
|
533 |
|
|
|
93 |
|
GNMA, Ser 2018-13, Cl DB |
|
|
|
|
|
|
|
|
3.000%, 01/20/2048 |
|
|
523 |
|
|
|
525 |
|
|
|
|
Total Mortgage-Backed Securities (Cost $65,865) ($ Thousands) |
|
|
|
|
|
|
65,898 |
|
|
|
|
U.S. TREASURY OBLIGATION 0.5% |
|
|
|
|
|
|
|
|
U.S. Treasury Inflation Indexed Bonds |
|
|
|
|
|
|
|
|
0.750%, 07/15/2028 |
|
|
330 |
|
|
|
330 |
|
|
|
|
Total U.S. Treasury Obligation (Cost $321) ($ Thousands) |
|
|
|
|
|
|
330 |
|
|
|
|
44 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Face Amount
(Thousands) |
|
Market Value
($ Thousands) |
|
REPURCHASE AGREEMENT 5.8% (C) |
|
Deutsche Bank 2.580%, dated 01/31/19, to be repurchased on 02/01/19, repurchase price $3,900,280
(collateralized by U.S. Treasury obligation, par value $3,978,014, 2.500%, 01/15/22; total market value $3,978,014) |
|
$ |
3,900 |
|
|
$ |
3,900 |
|
|
|
|
Total Repurchase Agreement (Cost $3,900) ($ Thousands) |
|
|
|
|
|
|
3,900 |
|
|
|
|
Total Investments in Securities 105.1% (Cost $70,086) ($ Thousands) |
|
|
|
|
|
$ |
70,128 |
|
|
|
|
|
|
|
|
|
|
A list of the open futures contracts held by the Fund
at January 31, 2019, 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 Notes |
|
|
(43) |
|
|
|
Mar-2019 |
|
|
$ |
(5,250 |
) |
|
$ |
(5,266 |
) |
|
$ |
(16 |
) |
U.S. 2-Year Treasury Notes |
|
|
11 |
|
|
|
Mar-2019 |
|
|
|
2,333 |
|
|
|
2,335 |
|
|
|
2 |
|
U.S. 5-Year Treasury Notes |
|
|
20 |
|
|
|
Mar-2019 |
|
|
|
2,278 |
|
|
|
2,297 |
|
|
|
19 |
|
U.S. Long Treasury Bond |
|
|
2 |
|
|
|
Mar-2019 |
|
|
|
278 |
|
|
|
293 |
|
|
|
15 |
|
Ultra 10-Year U.S. Treasury Notes |
|
|
(9) |
|
|
|
Mar-2019 |
|
|
|
(1,134 |
) |
|
|
(1,176 |
) |
|
|
(42 |
) |
|
|
|
|
|
|
|
|
|
|
$ |
(1,495 |
) |
|
$ |
(1,517 |
) |
|
$ |
(22 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the year ended January 31, 2019, the total amount of all open futures contracts, as presented in the table above, are
representative of the volume of activity for this derivative type during the period.
|
Percentages are based on Net Assets of $66,735 ($ Thousands). |
(A) |
Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest
rates and prepayments on the underlying pool of assets. |
(B) |
Security, or portion thereof, has been pledged as collateral on open futures contracts. |
(C) |
Tri-Party Repurchase Agreement. |
Cl Class
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GNMA Government National
Mortgage Association
IO Interest Only - face amount represents notional amount
REMIC Real Estate Mortgage Investment Conduit
Ser Series
TBA To Be Announced
USD U.S. Dollar
VAR Variable Rate
The following is a summary of the inputs used as of January 31, 2019 in valuing the Funds investments and other
financial instruments carried at value ($Thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Mortgage-Backed Securities |
|
$ |
|
|
|
$ |
65,898 |
|
|
$ |
|
|
|
$ |
65,898 |
|
U.S. Treasury Obligation |
|
|
|
|
|
|
330 |
|
|
|
|
|
|
|
330 |
|
Repurchase Agreement |
|
|
|
|
|
|
3,900 |
|
|
|
|
|
|
|
3,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities |
|
$ |
|
|
|
$ |
70,128 |
|
|
$ |
|
|
|
$ |
70,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Financial Instruments |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Futures Contracts* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized Appreciation |
|
$ |
36 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
36 |
|
Unrealized Depreciation |
|
|
(58) |
|
|
|
|
|
|
|
|
|
|
|
(58) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Other Financial Instruments |
|
$ |
(22) |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
(22) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Futures Contracts are valued at the net unrealized appreciation (depreciation) on the instruments.
For the year ended January 31, 2019, there were no transfers between Level 1, Level 2 and/or Level 3 assets and liabilities.
For more information on valuation inputs, see Note 2 Significant Accounting Policies in Notes to Financial Statements.
Amounts designated as are $0 or have been rounded to $0.
The
accompanying notes are an integral part of the financial statements.
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
45 |
|
STATEMENTS OF ASSETS AND LIABILITIES ($ Thousands)
January 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government Fund |
|
|
Government II Fund |
|
Assets: |
|
|
|
|
|
|
|
|
Investments, at
value |
|
$ |
5,903,977 |
|
|
$ |
1,965,175 |
|
Repurchase
agreements |
|
|
4,087,000 |
|
|
|
|
|
Cash |
|
|
180,292 |
|
|
|
2,019 |
|
Interest receivable |
|
|
3,709 |
|
|
|
556 |
|
Receivable for investment securities sold |
|
|
|
|
|
|
|
|
Receivable for fund shares sold |
|
|
|
|
|
|
|
|
Tax reclaim receivable |
|
|
|
|
|
|
|
|
Receivable for administration fees |
|
|
|
|
|
|
|
|
Receivable for variation margin |
|
|
|
|
|
|
|
|
Prepaid expenses |
|
|
211 |
|
|
|
50 |
|
Total Assets |
|
|
10,175,189 |
|
|
|
1,967,800 |
|
Liabilities: |
|
|
|
|
|
|
|
|
Payable for investment securities purchased |
|
|
76,599 |
|
|
|
156,094 |
|
Income distribution payable |
|
|
6,253 |
|
|
|
2,491 |
|
Administration fees payable |
|
|
928 |
|
|
|
222 |
|
Investment advisory fees payable |
|
|
600 |
|
|
|
71 |
|
Chief Compliance Officer fees payable |
|
|
13 |
|
|
|
3 |
|
Trustees fees payable |
|
|
1 |
|
|
|
|
|
Shareholder servicing fees payable |
|
|
|
|
|
|
|
|
Cash overdraft |
|
|
|
|
|
|
|
|
Payable for fund shares redeemed |
|
|
|
|
|
|
|
|
Payable for variation margin |
|
|
|
|
|
|
|
|
Accrued expense payable |
|
|
444 |
|
|
|
80 |
|
Total Liabilities |
|
|
84,838 |
|
|
|
158,961 |
|
Net Assets |
|
|
$10,090,351 |
|
|
|
$1,808,839 |
|
Cost of
investments and repurchase agreements |
|
|
$9,990,977 |
|
|
|
$1,965,175 |
|
Net Assets: |
|
|
|
|
|
|
|
|
Paid-in Capital (unlimited authorization no par value) |
|
|
$10,090,349 |
|
|
|
$1,808,845 |
|
Total Distributable Earnings/(loss) |
|
|
2 |
|
|
|
(6 |
) |
Net Assets |
|
|
$10,090,351 |
|
|
|
$1,808,839 |
|
Net Asset Value, Offering and Redemption Price Per Share
Class F |
|
|
$1.00 ($10,068,738,970 ÷ 10,068,832,378 shares) |
|
|
|
$1.00 ($1,808,838,836 ÷ 1,808,944,822 shares) |
|
Net Asset Value, Offering and Redemption Price Per Share
Class CAA |
|
|
$1.00 ($21,612,492 ÷
21,606,427 shares) |
|
|
|
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.
|
|
|
46 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury Fund |
|
|
Treasury II Fund |
|
|
Ultra Short Duration Bond Fund |
|
|
Short-Duration Government Fund |
|
|
GNMA Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 56,229 |
|
|
|
$ 615,517 |
|
|
|
$ 302,612 |
|
|
|
$ 623,634 |
|
|
|
$ 66,228 |
|
|
70,000 |
|
|
|
|
|
|
|
4,300 |
|
|
|
55,600 |
|
|
|
3,900 |
|
|
|
|
|
|
2,727 |
|
|
|
5,126 |
|
|
|
42 |
|
|
|
39 |
|
|
47 |
|
|
|
10 |
|
|
|
1,053 |
|
|
|
1,681 |
|
|
|
239 |
|
|
|
|
|
|
|
|
|
|
595 |
|
|
|
54,194 |
|
|
|
7,893 |
|
|
|
|
|
|
|
|
|
|
238 |
|
|
|
1,238 |
|
|
|
16 |
|
|
|
|
|
|
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 |
|
|
|
516 |
|
|
|
10 |
|
|
3 |
|
|
|
13 |
|
|
|
4 |
|
|
|
18 |
|
|
|
2 |
|
|
126,285 |
|
|
|
618,267 |
|
|
|
313,934 |
|
|
|
736,923 |
|
|
|
78,327 |
|
|
|
|
|
|
|
7,676 |
|
|
|
22,663 |
|
|
|
7,586 |
|
|
|
42,526 |
|
|
|
11,460 |
|
|
123 |
|
|
|
574 |
|
|
|
117 |
|
|
|
229 |
|
|
|
18 |
|
|
|
|
|
|
67 |
|
|
|
58 |
|
|
|
117 |
|
|
|
11 |
|
|
3 |
|
|
|
22 |
|
|
|
27 |
|
|
|
54 |
|
|
|
5 |
|
|
|
|
|
|
1 |
|
|
|
|
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18 |
|
|
|
94 |
|
|
|
14 |
|
|
25,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
|
|
|
889 |
|
|
|
42 |
|
|
|
|
|
|
|
|
|
|
8 |
|
|
|
685 |
|
|
|
26 |
|
|
3 |
|
|
|
25 |
|
|
|
17 |
|
|
|
49 |
|
|
|
16 |
|
|
33,750 |
|
|
|
23,352 |
|
|
|
7,991 |
|
|
|
44,644 |
|
|
|
11,592 |
|
|
$92,535 |
|
|
|
$594,915 |
|
|
|
$305,943 |
|
|
|
$692,279 |
|
|
|
$66,735 |
|
|
$126,229 |
|
|
|
$615,517 |
|
|
|
$307,509 |
|
|
|
$683,236 |
|
|
|
$70,086 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$92,531 |
|
|
|
$594,903 |
|
|
|
$312,820 |
|
|
|
$714,225 |
|
|
|
$69,877 |
|
|
4 |
|
|
|
12 |
|
|
|
(6,877 |
) |
|
|
(21,946 |
) |
|
|
(3,142 |
) |
|
$92,535 |
|
|
|
$594,915 |
|
|
|
$305,943 |
|
|
|
$692,279 |
|
|
|
$66,735 |
|
|
$1.00
($92,534,697 ÷ 92,595,665 shares |
) |
|
|
$1.00 ($594,915,182 ÷ 595,051,077 shares |
) |
|
|
$9.31 ($256,372,049 ÷ 27,548,224 shares |
) |
|
|
$10.22 ($642,331,087 ÷62,822,101 shares |
) |
|
|
$10.20 ($65,412,049 ÷ 6,412,393 shares |
) |
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
N/A |
|
|
|
N/A |
|
|
|
$9.31
($49,570,867 ÷ 5,323,817 shares |
) |
|
|
$10.22 ($49,947,490 ÷ 4,885,668 shares |
) |
|
|
$10.20
($1,323,130 ÷ 129,776 shares |
) |
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
47 |
|
STATEMENTS OF OPERATIONS ($ Thousands)
For the year ended January 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government Fund |
|
|
Government II Fund |
|
Investment Income: |
|
|
|
|
|
|
|
|
Interest income |
|
$ |
145,510 |
|
|
$ |
34,970 |
|
Total investment income |
|
|
145,510 |
|
|
|
34,970 |
|
Expenses: |
|
|
|
|
|
|
|
|
Administration fees |
|
|
8,715 |
|
|
|
2,676 |
|
Shareholder servicing fees Class F Shares |
|
|
18,912 |
|
|
|
4,527 |
|
Shareholder servicing fees Class CAA Shares |
|
|
63 |
|
|
|
|
|
Investment advisory fees |
|
|
5,318 |
|
|
|
1,267 |
|
Trustees fees |
|
|
126 |
|
|
|
32 |
|
Chief Compliance Officer fees |
|
|
37 |
|
|
|
8 |
|
Printing fees |
|
|
579 |
|
|
|
121 |
|
Custodian/Wire agent fees |
|
|
268 |
|
|
|
63 |
|
Registration fees |
|
|
169 |
|
|
|
39 |
|
Pricing fees |
|
|
43 |
|
|
|
9 |
|
Other expenses |
|
|
450 |
|
|
|
107 |
|
Total expenses |
|
|
34,680 |
|
|
|
8,849 |
|
Less, waiver of: |
|
|
|
|
|
|
|
|
Investment advisory fees |
|
|
|
|
|
|
(590 |
) |
Administration fees |
|
|
(503 |
) |
|
|
(110 |
) |
Shareholder servicing fees |
|
|
(18,975 |
) |
|
|
(4,527 |
) |
Net expenses |
|
|
15,202 |
|
|
|
3,622 |
|
Net Investment Income |
|
|
130,308 |
|
|
|
31,348 |
|
Net Realized Gain (Loss) on/from: |
|
|
|
|
|
|
|
|
Investments |
|
|
53 |
|
|
|
(29 |
) |
Futures contracts |
|
|
|
|
|
|
|
|
Options contracts |
|
|
|
|
|
|
|
|
Net change in unrealized appreciation(depreciation) on/from: |
|
|
|
|
|
|
|
|
Investments |
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
Net Increase in Net Assets Resulting
from Operations |
|
$ |
130,361 |
|
|
$ |
31,319 |
|
Amounts designated as are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
|
|
|
48 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury Fund |
|
|
Treasury II Fund |
|
|
Ultra Short Duration Bond Fund |
|
|
Short-Duration Government Fund |
|
|
GNMA Fund |
|
|
|
|
|
|
$ |
2,021 |
|
|
$ |
10,710 |
|
|
$ |
7,704 |
|
|
$ |
15,755 |
|
|
$ |
2,030 |
|
|
2,021 |
|
|
|
10,710 |
|
|
|
7,704 |
|
|
|
15,755 |
|
|
|
2,030 |
|
|
|
|
|
|
|
163 |
|
|
|
832 |
|
|
|
609 |
|
|
|
1,409 |
|
|
|
133 |
|
|
272 |
|
|
|
1,387 |
|
|
|
641 |
|
|
|
1,642 |
|
|
|
166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76 |
|
|
|
389 |
|
|
|
304 |
|
|
|
643 |
|
|
|
60 |
|
|
2 |
|
|
|
9 |
|
|
|
5 |
|
|
|
12 |
|
|
|
1 |
|
|
|
|
|
|
3 |
|
|
|
1 |
|
|
|
3 |
|
|
|
|
|
|
6 |
|
|
|
37 |
|
|
|
20 |
|
|
|
47 |
|
|
|
3 |
|
|
4 |
|
|
|
20 |
|
|
|
11 |
|
|
|
25 |
|
|
|
2 |
|
|
2 |
|
|
|
12 |
|
|
|
6 |
|
|
|
17 |
|
|
|
2 |
|
|
1 |
|
|
|
3 |
|
|
|
48 |
|
|
|
112 |
|
|
|
|
|
|
8 |
|
|
|
34 |
|
|
|
20 |
|
|
|
44 |
|
|
|
17 |
|
|
534 |
|
|
|
2,726 |
|
|
|
1,665 |
|
|
|
3,954 |
|
|
|
384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(36 |
) |
|
|
(180 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(7 |
) |
|
|
(47 |
) |
|
|
(104 |
) |
|
|
|
|
|
|
|
|
|
(272 |
) |
|
|
(1,387 |
) |
|
|
(436 |
) |
|
|
(625 |
) |
|
|
|
|
|
219 |
|
|
|
1,112 |
|
|
|
1,125 |
|
|
|
3,329 |
|
|
|
384 |
|
|
1,802 |
|
|
|
9,598 |
|
|
|
6,579 |
|
|
|
12,426 |
|
|
|
1,646 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
|
|
|
(3 |
) |
|
|
(201 |
) |
|
|
(3,123 |
) |
|
|
(399 |
) |
|
|
|
|
|
|
|
|
|
(3 |
) |
|
|
(504 |
) |
|
|
(61 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
(74 |
) |
|
|
(9 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(139 |
) |
|
|
4,168 |
|
|
|
258 |
|
|
|
|
|
|
|
|
|
|
(30 |
) |
|
|
(2,425 |
) |
|
|
11 |
|
|
|
|
|
|
$ |
1,806 |
|
|
$ |
9,595 |
|
|
$ |
6,206 |
|
|
$ |
10,468 |
|
|
$ |
1,446 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
49 |
|
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended January 31,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government Fund |
|
|
|
2019 |
|
|
|
|
|
2018 |
Operations: |
|
|
|
|
|
|
|
|
|
|
|
|
Net investment Income |
|
$ |
130,308 |
|
|
|
|
|
|
$ |
56,842 |
|
Net realized gain (loss) on investments |
|
|
53 |
|
|
|
|
|
|
|
(11 |
) |
Net increase in net assets resulting from operations |
|
|
130,361 |
|
|
|
|
|
|
|
56,831 |
|
Distributions:(A) |
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
|
|
|
|
|
|
|
|
|
|
Class F |
|
|
(129,893 |
) |
|
|
|
|
|
|
(56,292 |
) |
Class CAA |
|
|
(416 |
) |
|
|
|
|
|
|
(334 |
) |
Total distributions |
|
|
(130,309 |
) |
|
|
|
|
|
|
(56,626 |
) |
Capital Share Transactions (All at $1.00 per share) |
|
|
|
|
|
|
|
|
|
|
|
|
Class F: |
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from shares issued |
|
|
56,197,301 |
|
|
|
|
|
|
|
47,958,619 |
|
Reinvestment of dividends & distributions |
|
|
69,715 |
|
|
|
|
|
|
|
23,892 |
|
Cost of shares redeemed |
|
|
(53,476,095 |
) |
|
|
|
|
|
|
(48,580,625 |
) |
Net increase (decrease) from Class F
Transactions |
|
|
2,790,921 |
|
|
|
|
|
|
|
(598,114 |
) |
Class CAA: |
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from shares issued |
|
|
44,873 |
|
|
|
|
|
|
|
89,182 |
|
Reinvestment of dividends & distributions |
|
|
416 |
|
|
|
|
|
|
|
332 |
|
Cost of shares redeemed |
|
|
(55,202 |
) |
|
|
|
|
|
|
(84,880 |
) |
Net increase (decrease) from Class CAA Transactions |
|
|
(9,913 |
) |
|
|
|
|
|
|
4,634 |
|
Net increase (decrease) in net assets from capital shares
transactions |
|
|
2,781,008 |
|
|
|
|
|
|
|
(593,480 |
) |
Net increase (decrease) in net assets |
|
|
2,781,060 |
|
|
|
|
|
|
|
(593,275 |
) |
Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Beginning of year |
|
|
7,309,291 |
|
|
|
|
|
|
|
7,902,566 |
|
End of year(B) |
|
$ |
10,090,351 |
|
|
|
|
|
|
$ |
7,309,291 |
|
Amounts designated as are $0 or have been rounded to $0.
N/A Not applicable.
(A) |
Current year presentation of distributions conform with S-X Disclosure Simplification. Prior year distributions have been
consolidated to conform with S-X Disclosure Simplification (see Note 8). |
|
(B) |
Includes undistributed (distributed in excess of) net investment income of $(11), $18, $1, and $18, respectively, in 2018.
The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
|
The accompanying notes are an integral part of the financial statements.
|
|
|
50 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government
II Fund |
|
|
Treasury Fund |
|
|
Treasury II Fund |
|
2019 |
|
|
2018 |
|
|
2019 |
|
|
2018 |
|
|
2019 |
|
|
2018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
31,348 |
|
|
$ |
15,370 |
|
|
$ |
1,802 |
|
|
$ |
780 |
|
|
$ |
9,598 |
|
|
$ |
4,141 |
|
|
(29 |
) |
|
|
18 |
|
|
|
4 |
|
|
|
|
|
|
|
(3 |
) |
|
|
2 |
|
|
31,319 |
|
|
|
15,388 |
|
|
|
1,806 |
|
|
|
780 |
|
|
|
9,595 |
|
|
|
4,143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(31,343 |
) |
|
|
(15,370 |
) |
|
|
(1,802 |
) |
|
|
(780 |
) |
|
|
(9,596 |
) |
|
|
(4,142 |
) |
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
(31,343 |
) |
|
|
(15,370 |
) |
|
|
(1,802 |
) |
|
|
(780 |
) |
|
|
(9,596 |
) |
|
|
(4,142 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,060,650 |
|
|
|
6,118,667 |
|
|
|
636,458 |
|
|
|
592,584 |
|
|
|
1,643,367 |
|
|
|
1,953,133 |
|
|
9,854 |
|
|
|
4,599 |
|
|
|
707 |
|
|
|
490 |
|
|
|
4,071 |
|
|
|
1,631 |
|
|
(6,439,402 |
) |
|
|
(5,996,921 |
) |
|
|
(658,754 |
) |
|
|
(584,003 |
) |
|
|
(1,606,234 |
) |
|
|
(1,924,359 |
) |
|
(368,898 |
) |
|
|
126,345 |
|
|
|
(21,589 |
) |
|
|
9,071 |
|
|
|
41,204 |
|
|
|
30,405 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
(368,898 |
) |
|
|
126,345 |
|
|
|
(21,589 |
) |
|
|
9,071 |
|
|
|
41,204 |
|
|
|
30,405 |
|
|
(368,922 |
) |
|
|
126,363 |
|
|
|
(21,585 |
) |
|
|
9,071 |
|
|
|
41,203 |
|
|
|
30,406 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,177,761 |
|
|
|
2,051,398 |
|
|
|
114,120 |
|
|
|
105,049 |
|
|
|
553,712 |
|
|
|
523,306 |
|
$ |
1,808,839 |
|
|
$ |
2,177,761 |
|
|
$ |
92,535 |
|
|
$ |
114,120 |
|
|
$ |
594,915 |
|
|
$ |
553,712 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
51 |
|
STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)
For the years ended January 31,
|
|
|
|
|
|
|
|
|
|
|
Ultra Short Duration Bond Fund
|
|
|
|
2019 |
|
|
2018 |
Operations: |
|
|
|
|
|
|
|
|
Net investment income |
|
$ |
6,579 |
|
|
$ |
4,297 |
|
Net realized gain (loss) on investments, futures contracts, and options contracts |
|
|
(204 |
) |
|
|
700 |
|
Net change in unrealized appreciation (depreciation) on investments
and futures contracts |
|
|
(169 |
) |
|
|
(50 |
) |
Net increase in net assets resulting from operations |
|
|
6,206 |
|
|
|
4,947 |
|
Distributions:(A) |
|
|
|
|
|
|
|
|
Net investment income |
|
|
|
|
|
|
|
|
Class F |
|
|
(5,697 |
) |
|
|
(3,860 |
) |
Class Y |
|
|
(1,106 |
) |
|
|
(710 |
) |
Total distributions |
|
|
(6,803 |
) |
|
|
(4,570 |
) |
Capital share transactions: |
|
|
|
|
|
|
|
|
Class F: |
|
|
|
|
|
|
|
|
Proceeds from shares issued |
|
|
104,875 |
|
|
|
116,899 |
|
Reinvestment of dividends & distributions |
|
|
4,651 |
|
|
|
3,032 |
|
Cost of shares redeemed |
|
|
(114,672 |
) |
|
|
(123,233 |
) |
Net increase (decrease) from Class F transactions |
|
|
(5,146 |
) |
|
|
(3,302 |
) |
Class Y: |
|
|
|
|
|
|
|
|
Proceeds from shares issued |
|
|
7,750 |
|
|
|
6,871 |
|
Reinvestment of dividends & distributions |
|
|
1,091 |
|
|
|
700 |
|
Cost of shares redeemed |
|
|
(7,314 |
) |
|
|
(4,532 |
) |
Net increase (decrease) from Class Y transactions |
|
|
1,527 |
|
|
|
3,039 |
|
Net Decrease in net assets from capital share transactions |
|
|
(3,619 |
) |
|
|
(263 |
) |
Net increase (decrease) in net assets |
|
|
(4,216 |
) |
|
|
114 |
|
Net Assets: |
|
|
|
|
|
|
|
|
Beginning of year |
|
|
310,159 |
|
|
|
310,045 |
|
End of year(B) |
|
$ |
305,943 |
|
|
$ |
310,159 |
|
Capital Share Transactions: |
|
|
|
|
|
|
|
|
Class F |
|
|
|
|
|
|
|
|
Shares issued |
|
|
11,275 |
|
|
|
12,514 |
|
Reinvestment of distributions |
|
|
500 |
|
|
|
325 |
|
Shares redeemed |
|
|
(12,327 |
) |
|
|
(13,193 |
) |
Net decrease in shares outstanding from Class F Share
transactions |
|
|
(552 |
) |
|
|
(354 |
) |
Class Y |
|
|
|
|
|
|
|
|
Shares issued |
|
|
833 |
|
|
|
736 |
|
Reinvestment of distributions |
|
|
117 |
|
|
|
75 |
|
Shares redeemed |
|
|
(786 |
) |
|
|
(485 |
) |
Net increase (decrease) in shares outstanding from Class Y Share
transactions |
|
|
164 |
|
|
|
326 |
|
Total decrease in shares outstanding from share
transactions |
|
|
(388 |
) |
|
|
(28 |
) |
Amounts designated as are zero or have been rounded to zero.
(A) |
Current year presentation of distributions conform with S-X Disclosure Simplification. Prior year distributions have been
consolidated to conform with S-X Disclosure Simplification (see Note 8). |
(B) |
Includes undistributed (distributed in excess of) net investment income of $7, $(354), $610, and $(13), respectively, in
2018. The SEC eliminated the requirement to disclose undistributed net investment income in 2018. |
The accompanying notes are an integral part of
the financial statements.
|
|
|
52 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Duration
Government Fund |
|
GNMA Fund |
|
|
|
|
2019 |
|
2018 |
|
|
2019 |
|
|
2018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
12,426 |
|
|
$ |
11,435 |
|
|
$ |
1,646 |
|
|
$ |
2,271 |
|
|
|
|
|
|
(3,701 |
) |
|
|
(3,015 |
) |
|
|
(469 |
) |
|
|
(326 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,743 |
|
|
|
(6,909 |
) |
|
|
269 |
|
|
|
(1,098 |
) |
|
|
|
|
|
10,468 |
|
|
|
1,511 |
|
|
|
1,446 |
|
|
|
847 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(12,830 |
) |
|
|
(12,542 |
) |
|
|
(1,924 |
) |
|
|
(2,735 |
) |
|
|
|
|
|
(1,009 |
) |
|
|
(892 |
) |
|
|
(3 |
) |
|
|
(2 |
) |
|
|
|
|
|
(13,839 |
) |
|
|
(13,434 |
) |
|
|
(1,927 |
) |
|
|
(2,737 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
178,593 |
|
|
|
247,453 |
|
|
|
21,857 |
|
|
|
14,363 |
|
|
|
|
|
|
9,611 |
|
|
|
9,210 |
|
|
|
1,654 |
|
|
|
2,127 |
|
|
|
|
|
|
(239,485 |
) |
|
|
(345,293 |
) |
|
|
(33,197 |
) |
|
|
(55,073 |
) |
|
|
|
|
|
(51,281 |
) |
|
|
(88,630 |
) |
|
|
(9,686 |
) |
|
|
(38,583 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,419 |
|
|
|
13,751 |
|
|
|
1,260 |
|
|
|
82 |
|
|
|
|
|
|
996 |
|
|
|
882 |
|
|
|
3 |
|
|
|
1 |
|
|
|
|
|
|
(14,730 |
) |
|
|
(11,181 |
) |
|
|
(19 |
) |
|
|
(56 |
) |
|
|
|
|
|
(1,315 |
) |
|
|
3,452 |
|
|
|
1,244 |
|
|
|
27 |
|
|
|
|
|
|
(52,596 |
) |
|
|
(85,178 |
) |
|
|
(8,442 |
) |
|
|
(38,556 |
) |
|
|
|
|
|
(55,967 |
) |
|
|
(97,101 |
) |
|
|
(8,923 |
) |
|
|
(40,446 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
748,246 |
|
|
|
845,347 |
|
|
|
75,658 |
|
|
|
116,104 |
|
|
|
|
|
$ |
692,279 |
|
|
$ |
748,246 |
|
|
$ |
66,735 |
|
|
$ |
75,658 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,489 |
|
|
|
23,831 |
|
|
|
2,156 |
|
|
|
1,372 |
|
|
|
|
|
|
941 |
|
|
|
887 |
|
|
|
164 |
|
|
|
204 |
|
|
|
|
|
|
(23,443 |
) |
|
|
(33,267 |
) |
|
|
(3,287 |
) |
|
|
(5,279 |
) |
|
|
|
|
|
(5,013 |
) |
|
|
(8,549 |
) |
|
|
(967 |
) |
|
|
(3,703 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,217 |
|
|
|
1,325 |
|
|
|
124 |
|
|
|
8 |
|
|
|
|
|
|
98 |
|
|
|
85 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,443 |
) |
|
|
(1,077 |
) |
|
|
(2 |
) |
|
|
(5 |
) |
|
|
|
|
|
(128 |
) |
|
|
333 |
|
|
|
122 |
|
|
|
3 |
|
|
|
|
|
|
(5,141 |
) |
|
|
(8,216 |
) |
|
|
(845 |
) |
|
|
(3,700 |
) |
|
|
|
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
53 |
|
FINANCIAL HIGHLIGHTS
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
$ |
1.00 |
|
|
$ |
0.02 |
|
|
$ |
|
|
|
$ |
0.02 |
|
|
$ |
(0.02) |
|
|
$ |
(0.02) |
|
|
$ |
1.00 |
|
|
|
1.70 |
% |
|
$ |
10,068,739 |
|
|
|
0.20 |
% |
|
|
0.46 |
% |
|
|
1.72 |
% |
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 |
|
Class CAA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
$ |
1.00 |
|
|
$ |
0.02 |
|
|
$ |
|
|
|
$ |
0.02 |
|
|
$ |
(0.02) |
|
|
$ |
(0.02) |
|
|
$ |
1.00 |
|
|
|
1.70 |
% |
|
$ |
21,612 |
|
|
|
0.20 |
% |
|
|
0.46 |
% |
|
|
1.65 |
% |
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
$ |
1.00 |
|
|
$ |
0.02 |
|
|
$ |
|
|
|
$ |
0.02 |
|
|
$ |
(0.02) |
|
|
$ |
(0.02) |
|
|
$ |
1.00 |
|
|
|
1.76 |
% |
|
$ |
1,808,839 |
|
|
|
0.20 |
% |
|
|
0.49 |
% |
|
|
1.73 |
% |
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 |
|
Treasury Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class F |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
$ |
1.00 |
|
|
$ |
0.02 |
|
|
$ |
|
|
|
$ |
0.02 |
|
|
$ |
(0.02) |
|
|
$ |
(0.02) |
|
|
$ |
1.00 |
|
|
|
1.70 |
% |
|
$ |
92,535 |
|
|
|
0.20 |
% |
|
|
0.49 |
% |
|
|
1.66 |
% |
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 |
|
Treasury II Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class F |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
$ |
1.00 |
|
|
$ |
0.02 |
|
|
$ |
|
|
|
$ |
0.02 |
|
|
$ |
(0.02) |
|
|
$ |
(0.02) |
|
|
$ |
1.00 |
|
|
|
1.75 |
% |
|
$ |
594,915 |
|
|
|
0.20 |
% |
|
|
0.49 |
% |
|
|
1.73 |
% |
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 |
|
* |
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 been excluded the ratio would have been at the expense ratio cap figure.
See Note 3 for expense limitation figures. |
(2) |
Amount represents less than $0.01 per share. |
(3) |
Commenced operations on November 20, 2015. All ratios for the period have been annualized. |
Amounts designated as are zero or have been rounded to zero
|
|
|
54 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
FINANCIAL HIGHLIGHTS
For the
years ended January 31,
For a Share Outstanding Throughout the Year or Period
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value, Beginning
of Period |
|
|
Net Investment Income* |
|
|
Net
Realized and Unrealized Gains (Losses) on Securities |
|
|
Total
from Operations |
|
|
Dividends from Net Investment Income |
|
|
Distributions from Realized Capital Gains |
|
|
Total Dividends and Distributions |
|
|
Net Asset Value, End
of Period |
|
|
Total Return |
|
|
Net Assets End of Period ($ Thousands) |
|
|
Ratio of
Expenses to Average
Net Assets |
|
|
Ratio of Expenses to
Average Net Assets (Excluding Waivers) |
|
|
Ratio of Net Investment Income to
Average Net Assets |
|
|
Portfolio Turnover Rate |
|
Ultra Short Duration Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class F |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
$ |
9.32 |
|
|
$ |
0.20 |
|
|
$ |
|
|
|
$ |
0.20 |
|
|
$ |
(0.21) |
|
|
$ |
|
|
|
$ |
(0.21) |
|
|
$ |
9.31 |
|
|
|
2.13% |
|
|
$ |
256,372 |
|
|
|
0.38 |
% |
|
|
0.59 |
% |
|
|
2.15 |
% |
|
|
71 |
% |
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 |
|
Class Y |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
$ |
9.33 |
|
|
$ |
0.21 |
|
|
$ |
(0.02) |
|
|
$ |
0.19 |
|
|
$ |
(0.21) |
|
|
$ |
|
|
|
$ |
(0.21) |
|
|
$ |
9.31 |
|
|
|
2.11% |
|
|
$ |
49,571 |
|
|
|
0.30 |
% |
|
|
0.34 |
% |
|
|
2.23 |
% |
|
|
71 |
% |
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
$ |
10.27 |
|
|
$ |
0.18 |
|
|
$ |
(0.03) |
|
|
$ |
0.15 |
|
|
$ |
(0.20) |
|
|
$ |
|
|
|
$ |
(0.20) |
|
|
$ |
10.22 |
|
|
|
1.48% |
|
|
$ |
642,331 |
|
|
|
0.48 |
% |
|
|
0.58 |
% |
|
|
1.75 |
% |
|
|
86 |
% |
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 |
|
Class Y |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
$ |
10.27 |
|
|
$ |
0.19 |
|
|
$ |
(0.03) |
|
|
$ |
0.16 |
|
|
$ |
(0.21) |
|
|
$ |
|
|
|
$ |
(0.21) |
|
|
$ |
10.22 |
|
|
|
1.63% |
|
|
$ |
49,948 |
|
|
|
0.33 |
% |
|
|
0.33 |
% |
|
|
1.91 |
% |
|
|
86 |
% |
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
$ |
10.24 |
|
|
$ |
0.25 |
|
|
$ |
|
|
|
$ |
0.25 |
|
|
$ |
(0.29) |
|
|
$ |
|
|
|
$ |
(0.29) |
|
|
$ |
10.20 |
|
|
|
2.54% |
|
|
$ |
65,412 |
|
|
|
0.58 |
% |
|
|
0.58 |
% |
|
|
2.48 |
% |
|
|
134 |
% |
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 |
|
Class Y |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
$ |
10.23 |
|
|
$ |
0.29 |
|
|
$ |
|
|
|
$ |
0.29 |
|
|
$ |
(0.32) |
|
|
$ |
|
|
|
$ |
(0.32) |
|
|
$ |
10.20 |
|
|
|
2.88% |
|
|
$ |
1,323 |
|
|
|
0.32 |
% |
|
|
0.32 |
% |
|
|
2.84 |
% |
|
|
134 |
% |
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.
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
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55 |
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NOTES TO FINANCIAL STATEMENTS
January 31, 2019
1. ORGANIZATION
SEI Daily Income
Trust (the Trust) was organized as a Massachusetts business trust under a Declaration of Trust dated March 15, 1982.
The Trust is registered under
the Investment Company Act of 1940, as amended, as a diversified, open-end investment company with seven operational Funds: the Government, Government II, Treasury and Treasury II (each a Fund, collectively, the Money Market
Funds), the Ultra Short Duration Bond, Short-Duration Government and GNMA (each a Fund, collectively, the Fixed Income Funds). The Trust is registered to offer: Class F shares of the Funds; and Class CAA shares of the
Government Fund and Class Y shares of the Fixed Income Funds. The assets of each Fund are segregated, and a shareholders interest is limited to the Fund in which shares are held. The Funds prospectuses provide a description of each
Funds investment objective and strategies.
2. SIGNIFICANT ACCOUNTING POLICIES
The following are significant accounting policies, which are consistently followed in the preparation of its financial statements by the Funds. The Funds are investment
companies that apply the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (FASB).
Use of
Estimates The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (U.S. GAAP), requires management to make estimates and assumptions that affect the reported amount of assets
and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ
from those estimates.
Security Valuation Investment securities of the Money Market Funds are stated at amortized cost, which approximates market
value. Under this valuation method, purchase discounts and premiums are accreted and amortized ratably to maturity and are included in interest income. The Money Market Funds use of amortized cost is subject to its compliance with certain
conditions as specified by Rule 2a-7 of the 1940 Act.
Investment securities of the Fixed Income Funds listed on a securities exchange, market or automated quotation
system for which quotations are readily available are valued at the last quoted sale price on an exchange or market on which they are traded, or, if there is no such reported sale, at the most recent quoted bid price. If available, debt securities
are priced based upon
valuations provided by independent third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third party pricing agents may
also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities. Debt obligations
with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. Prices for most securities held in the Funds are provided daily by recognized independent pricing agents. If a security price
cannot be obtained from an independent third-party pricing agent, the Fixed Income Funds seek to obtain a bid price from at least one independent broker.
Securities
for which market prices are not readily available are valued in accordance with Fair Value Procedures established by the Trusts Board of Trustees. The Trusts Fair Value Procedures are implemented through a Fair Value
Committee (the Committee) designated by the Funds Board of Trustees. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: the securitys trading has been halted or
suspended; the security has been de-listed from a national exchange; the securitys primary trading market is temporarily closed at a time when under normal conditions it would be open; or the securitys primary pricing source is not able
or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. As of
January 31, 2019, there were no fair valued securities held by the Funds.
In accordance with U.S. GAAP, fair value is defined as the price that a Fund would
receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use
of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable.
Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the
reporting entitys own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:
Level 1 Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement
date;
Level 2 Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset
or liability; and
Level 3 Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported
by little or no market activity).
Investments are classified within the level of the lowest significant input considered in determining fair value. Investments
classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.
For the fiscal year ended January 31, 2019, there have been no significant changes to the Trusts fair valuation methodologies.
Security Transactions and Investment Income Security transactions are recorded on the trade date. Costs used in determining net realized capital gains and
losses on the sale of securities are on the basis of specific identification. Dividend income is recognized on the ex-dividend date, and interest income is recognized using the accrual basis of accounting.
Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/ or as a realized gain.
The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.
For the Fixed Income
Funds, amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.
For the Money Market Funds, all amortization is calculated using the straight line method over the holding period of the security. Amortization of premiums and
accretion of discounts are included in interest income.
Repurchase Agreements To the extent consistent with its investment objective and strategies,
securities pledged as collateral for repurchase agreements are held by each Funds custodian bank until the repurchase date of the repurchase agreement. The Funds also invest in tri-party repurchase agreements. Securities
held as collateral for tri-party repurchase agreements are maintained by the brokers custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions
of the repurchase agreements and the Trusts policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of
the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited.
It is
the Funds policy to present the repurchase agreements contracts separately on the Statements of Assets and Liabilities, as the Funds do not have a master netting agreement with the counterparty to the repurchase agreements contracts. Refer to
each Funds Schedule of Investments for details regarding repurchase agreements contracts as of January 31, 2019, if applicable.
Futures Contracts
To the extent consistent with its investment objective and strategies, the Fixed Income Funds utilized futures contracts during the fiscal year ended January 31, 2019. These Funds investments in futures contracts are designed to
enable the Funds to more closely approximate the performance of their benchmark indices. The Funds chose to invest in futures contracts for tactical hedging purposes as well as to enhance the Funds returns. Initial margin deposits of cash or
securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon
whether unrealized gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.
Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying
securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the
Funds could lose more than the original margin deposit required to initiate a futures transaction.
Finally, the risk exists that losses could exceed amounts
disclosed on the Statements of Assets and Liabilities.
It is the Funds policy to present the gross variation margin payable and the gross variation margin
receivable of the future contracts separately on the
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
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57 |
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NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2019
Statements of Assets and Liabilities, as the Funds do not have a master netting agreement with the counterparty to the
futures contracts. Refer to each Funds Schedule of Investments for details regarding open future contracts as of January 31, 2019, if applicable. The fair value of interest rate futures contracts held in the Fixed Income Funds can be
found on the Statements of Assets and Liabilities under the captions Receivable for Variation Margin and Payable for Variation Margin. Only current days variation margin is reported within the Statements of Assets and Liabilities. Cumulative
appreciation/ depreciation of futures contracts are reported in the respective Fixed Income Funds Schedule of Investments. Realized gains or losses on interest rate futures contracts related to the Fixed Income Funds are recognized on the
Statements of Operations as part of Net Realized Gain (Loss) on Futures Contracts and any change in unrealized appreciation or depreciation is recognized on the Statements of Operations as Net Unrealized Gain (Loss) on Futures Contracts.
Swap Agreements To the extent consistent with its investment objective and strategies, a Funds investment in swap contracts is mainly used as an
efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined
investments or instruments, including a particular interest rate, foreign currency, or basket of securities representing a particular index. Interest rate swaps involve the exchange by a Fund with another party of their respective
commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty based on a
specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a
credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many
credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the
underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is
no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and
corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices on the notional amount. Interest rate swaps
involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Funds
exposure to interest rates. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the Counterparty defaults on its
obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after a Funds portfolio. In connection with swap
agreements securities may be set aside as collateral by a Funds custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio, to protect a Funds value from
changes in interest rates, or to expose a Fund to a different security or market.
Swaps are marked-to-market daily based upon quotations from market makers and the
resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations. Net payments of interest are recorded as realized gains or losses.
Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and
Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of
interest rates. Risks also arise from potential losses from adverse market movements.
This risk is mitigated by having a master netting arrangement between a Fund
and the counterparty and by having the counterparty post collateral to cover a Funds exposure to the counterparty. There were no outstanding swap agreements as of January 31, 2019.
Options Written/Purchased To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options contracts to add
return or to hedge their existing portfolio securities. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased.
Premiums received or paid from purchasing or writing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a
closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining
whether the Fund has realized a gain or a loss. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Fund may incur a loss
if the market price of the security decreases and the option is exercised. The risk in purchasing an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk of being unable to enter into a
closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes. Finally, the
risk exists that losses could exceed amounts disclosed on the Statement of Assets and Liabilities. There were no outstanding options contracts as of January 31, 2019.
TBA Purchase Commitments To the extent consistent with its Investment Objective and Strategies, a Fixed Income Fund may engage in to be
announced (TBA) purchase commitments to purchase securities for a fixed price at a future date. TBA purchase commitments may be considered securities and involve a risk of loss if the value of the security to be purchased declines
prior to settlement date, which risk is in addition to the risk of decline in the value of a Funds other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities, according to the
procedures described under Security Valuation above.
Collateralized Debt Obligations To the extent consistent with its Investment
Objective and Strategies, a Fund may invest in collateralized debt obligations (CDOs), which include collateralized loan obligations (CLOs) and other similarly structured securities. CLOs are a type of asset-backed
securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below
investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.
For CDOs and CLOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and
yield. The riskiest portion is the equity tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it
is partially protected from defaults, a senior tranche from a CDO and CLO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO and
CLO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO and CLO
securities as a class.
The risks of an investment in a CDO and CLO depend largely on its class and its collateral securities. Normally, CLOs and other CDOs are
privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs and CLOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs and CLOs,
allowing a CDO and CLO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs and CLOs carry additional risks including, but not limited to:
(i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs and CLOs that
are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.
Illiquid Securities A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for
its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.
Restricted Securities Throughout the year, the Funds owned private placement investments that were purchased through private offerings or acquired through
initial public offerings that could not be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption there from. In addition, the Funds had generally agreed to further restrictions on the disposition of certain
holdings as set forth in various agreements entered into in connection with the purchase of those investments. These investments
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
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59 |
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NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2019
were valued at amortized cost, which approximates fair value, as determined in accordance with the procedures approved by
the Board of Trustees. At January 31, 2019, the Funds did not own any restricted securities except for those designated as 144A on the schedules of investments.
Classes Class-specific expenses are borne by that class of shares. Income, non-class specific expenses, and realized and unrealized gains/losses are
allocated to the respective class on the basis of relative daily net assets.
Expenses Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative net assets.
Dividends and Distributions
to Shareholders Dividends from net investment income are declared daily and paid monthly. Any net realized capital gains on sales of securities after capital loss carryover are distributed at least annually by the Funds.
3. INVESTMENT ADVISORY, ADMINISTRATION, DISTRIBUTION AND CUSTODIAN AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory, Administration, Distribution and Custodian Agreements SEI Investments Management Corporation (SIMC) serves as each
Funds investment adviser (the Adviser) and manager of managers under an investment advisory agreement approved by the shareholders of each Fund. In connection with serving as Adviser, SIMC is entitled to a fee,
which is calculated daily and paid monthly, based on the average daily net assets of each Fund. SEI Investments Global Funds Services (the Administrator) provides the Trust with administrative and transfer agency services. For its
services, the Administrator is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund.
SEI Investments
Distribution Co. (the Distributor), a wholly owned subsidiary of SEI Investments Company (SEI) and a registered broker-dealer, acts as the Distributor of the shares of the Trust under a Distribution Agreement. The Trust also
has adopted plans under which firms, including the Distributor, that provide shareholder services may receive compensation thereof.
Such plans provide fees payable
to the Distributor up to the amounts, calculated as a percentage of the average daily net assets attributable to each particular class of each respective fund.
The
Money Market Funds Administrator and/or the Distributor have contractually agreed to waive fees or reimburse expenses for each Money Market Fund
until May 31, 2019, in order to keep total fund operating expenses (exclusive of interest from borrowings, brokerage
commissions, trustees fees, taxes and other extraordinary expenses not incurred in the ordinary course of the Funds business) from exceeding the levels specified in the table below. These contractual waivers and reimbursements will only
apply if a Money Market Funds total operating costs exceed the applicable thresholds and will not affect the Money Market Funds total operating costs if they are less than the applicable thresholds. In other words, shareholders will pay
the lower of a Money Market Funds actual total fund operating expenses or total fund operating expenses after contractual waivers and expense reimbursements. The contractual waiver and expense reimbursement are limited to the Money Market
Funds direct operating expenses and, therefore, do not apply to indirect expenses incurred by a fund, such as acquired fund fees and expenses (AFFE). The agreement may be amended or terminated only with the consent of the Board of
Trustees.
The Adviser, Administrator and/or Distributor have voluntarily agreed to waive a portion of their fees in order to keep total direct operating expenses
(exclusive of interest from borrowings, brokerage commissions, taxes, Trustee fees, prime broker fees, interest and dividend expenses related to short sales and extraordinary expenses not incurred in the ordinary course of the Funds business)
at a specified level.
The waivers by the Fixed Income Funds Adviser, Administrator and/or Distributor are limited to the Fixed Income Funds direct
operating expenses and, therefore, do not apply to indirect expenses incurred by the Funds, such as acquired fund fees and expenses. The waivers are voluntary and the Fixed Income Funds Adviser, Administrator and/or Distributor may discontinue
all or part of any of these waivers at any time. In addition, some Funds may participate in a commission recapture program where the Funds trades may be executed through the Funds distributor, and a portion of the commissions paid on
those trades are then used to pay the Funds expenses.
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The following is a summary of annual fees payable to the Adviser, and Distributor and the expense limitations for each
fund:
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Advisory Fees |
|
Shareholder Servicing Fees |
|
|
Expense Limitations |
|
Government Fund |
|
|
|
|
|
|
|
|
|
|
Class F |
|
0.07% |
|
|
0.25% |
|
|
|
0.20% |
(3) |
Class CAA |
|
0.07% |
|
|
0.25% |
|
|
|
0.20% |
(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) |
|
|
% |
|
|
|
0.34% |
(1) |
GNMA Fund |
|
|
|
|
|
|
|
|
|
|
Class F |
|
0.09%(5) |
|
|
0.25% |
|
|
|
0.60% |
(1) |
Class Y |
|
0.09%(5) |
|
|
% |
|
|
|
0.36% |
(1) |
(1) |
Represents a voluntary cap that may be discontinued at any time. |
(2) |
Represents a contractual cap effective through May 31, 2019, to be changed only by board approval.
|
(3) |
Represents a contractual cap of .25% of Class F, effective through May 31, 2019, to be changed only by Board
approval. In addition, management has voluntarily waived fees to a cap of .20% of Class F 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:
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|
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|
|
|
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|
Administration Fees |
|
|
|
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 |
|
Government Fund |
|
|
0.150% |
|
|
|
0.1375% |
|
|
|
0.1250% |
|
|
|
0.1125% |
|
|
|
0.100% |
|
Government II Fund |
|
|
0.150% |
|
|
|
0.1375% |
|
|
|
0.1250% |
|
|
|
0.1125% |
|
|
|
0.100% |
|
Treasury Fund |
|
|
0.150% |
|
|
|
0.1375% |
|
|
|
0.1250% |
|
|
|
0.1125% |
|
|
|
0.100% |
|
Treasury II Fund |
|
|
0.150% |
|
|
|
0.1375% |
|
|
|
0.1250% |
|
|
|
0.1125% |
|
|
|
0.100% |
|
Ultra Short Duration Bond Fund |
|
|
0.200% |
|
|
|
0.1775% |
|
|
|
0.1550% |
|
|
|
0.1325% |
|
|
|
0.110% |
|
Short-Duration Government Fund |
|
|
0.200% |
|
|
|
0.1775% |
|
|
|
0.1550% |
|
|
|
0.1325% |
|
|
|
0.110% |
|
GNMA Fund |
|
|
0.200% |
|
|
|
0.1775% |
|
|
|
0.1550% |
|
|
|
0.1325% |
|
|
|
0.110% |
|
The Distributor has voluntarily waived all or a portion of the shareholder servicing fees for Class F of each fund, except
for the GNMA Fund, since inception of the plan. Such waivers are voluntary and may be discontinued at any time.
The Administrator and Distributor have voluntarily
agreed to waive and reduce their fee and/or reimburse certain expenses of the Money Market Funds in order to limit the one-day net income yield of the Funds to not less than 0.01% of the Funds average daily net assets. The Funds did not have
any such waivers by class for the year ended January 31, 2019.
Pursuant to the manager of managers structure, the Board of Trustees approved
BlackRock Advisors, LLC
as sub-adviser to the Money Market Funds, Logan Circle Partners, L.P. serves as a sub-adviser to the Ultra Short Duration
Bond Fund and Wellington Management Company, LLP (Wellington LLP) serves as sub-adviser to the Fixed Income Funds. Each sub-adviser is party to an investment sub-advisory agreement with the Advisor. For its services to the Funds, the
sub-advisers are entitled to receive a fee paid directly by the Adviser.
U.S. Bank, N.A. serves as the custodian of the Funds. The custodian plays no role in
determining the investment policies of the Funds or which securities are to be purchased or sold in the Funds.
Other Certain officers and Trustees of
the Trust are also officers and/or Trustees of the Administrator,
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|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
61 |
|
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2019
Adviser, or the Distributor. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim,
and committee meetings. The Administrator, Adviser and/or the Distributor pays compensation of Officers and affiliated Trustees.
A portion of the services provided
by the Chief Compliance Officer (CCO) and his staff, whom are employees of the administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trusts Adviser, Sub-Advisers and service
providers as required by SEC regulations.
Interfund Lending The SEC has granted an exemption that permits the Trust to participate in an inter-fund
lending program (the Program) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the SEI Funds). The Program allows the SEI Funds to lend money to and borrow money from each
other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds. Inter-fund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an
investment in overnight repurchase agreements (Repo Rate), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (Bank Loan Rate). The Bank Loan Rate will
be determined using a formula reviewed annually by the SEI Funds Board of Trustees. The interest rate imposed on inter-fund loans is the average of the Repo Rate and the Bank Loan Rate. For the year ended January 31, 2019, the Trust has not
participated in the Program.
4. INVESTMENT TRANSACTIONS
The cost of security
purchases and the proceeds from the sale of securities, other than short-term investments, for the year ended January 31, 2019, were as follows for the Fixed Income Funds:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Govt
($ Thousands) |
|
|
Other
($ Thousands) |
|
|
Total
($ Thousands) |
|
Ultra Short Duration Bond Fund |
|
Purchases |
|
$ |
22,241 |
|
|
$ |
97,067 |
|
|
$ |
119,308 |
|
Sales |
|
|
39,841 |
|
|
|
85,109 |
|
|
|
124,950 |
|
GNMA Fund |
|
|
|
|
|
|
|
|
|
Purchases |
|
|
573,381 |
|
|
|
|
|
|
|
573,381 |
|
Sales |
|
|
597,858 |
|
|
|
30,024 |
|
|
|
627,882 |
|
Short-Duration Government Fund |
|
Purchases |
|
|
88,714 |
|
|
|
313 |
|
|
|
89,027 |
|
Sales |
|
|
96,045 |
|
|
|
763 |
|
|
|
96,808 |
|
5. FEDERAL TAX INFORMATION
It is each Funds
intention to continue to qualify as a regulated investment company for Federal income tax purposes and distribute all of its taxable income
(including net capital gains). Accordingly, no provision for Federal income taxes is required.
Reclassification of Components of Net Assets The timing and characterization of certain income and capital gain distributions are determined annually in
accordance with Federal tax regulations which may differ from accounting principles generally accepted in the United States. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for the reporting period
may differ from distributions during such period. These book/tax differences may be temporary or permanent in nature.
To the extent these differences are permanent,
they are charged or credited to Paid-in Capital, undistributed net investment income, or accumulated net realized gain, as appropriate, in the periods that the differences arise.
Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on expiration of capital losses have been
reclassified to/from the following accounts as of January 31, 2019:
|
|
|
|
|
|
|
|
|
|
|
Paid-in Capital ($ Thousands) |
|
|
Distributable Earnings ($Thousands) |
|
Ultra Short Duration Bond Fund |
|
$ |
(11,895 |
) |
|
$ |
11,895 |
|
These reclassifications have no impact on net assets or net asset value
per share.
|
|
|
62 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
The tax character of dividends and distributions during the last two fiscal years was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ordinary
Income ($ Thousands) |
|
|
Total
($ Thousands) |
|
Government Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
|
$ |
130,309 |
|
|
$ |
130,309 |
|
|
|
|
2018 |
|
|
|
56,626 |
|
|
|
56,626 |
|
Government II Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
|
|
31,343 |
|
|
|
31,343 |
|
|
|
|
2018 |
|
|
|
15,370 |
|
|
|
15,370 |
|
Treasury Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
|
|
1,802 |
|
|
|
1,802 |
|
|
|
|
2018 |
|
|
|
780 |
|
|
|
780 |
|
Treasury II Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
|
|
9,596 |
|
|
|
9,596 |
|
|
|
|
2018 |
|
|
|
4,142 |
|
|
|
4,142 |
|
Ultra Short Duration Bond Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
|
|
6,803 |
|
|
|
6,803 |
|
|
|
|
2018 |
|
|
|
4,570 |
|
|
|
4,570 |
|
Short-Duration Government Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
|
|
13,839 |
|
|
|
13,839 |
|
|
|
|
2018 |
|
|
|
13,434 |
|
|
|
13,434 |
|
GNMA Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2019 |
|
|
|
1,927 |
|
|
|
1,927 |
|
|
|
|
2018 |
|
|
|
2,737 |
|
|
|
2,737 |
|
As of January 31, 2019, 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 |
|
$ |
18,598 |
|
|
$ |
|
|
|
$ |
|
|
|
$ |
|
|
|
$ |
|
|
|
$ |
|
|
|
$ |
(18,596 |
) |
|
$ |
2 |
|
Government II Fund |
|
|
3,491 |
|
|
|
|
|
|
|
(29 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(3,468 |
) |
|
|
(6 |
) |
Treasury Fund |
|
|
162 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(158 |
) |
|
|
4 |
|
Treasury II Fund |
|
|
1,089 |
|
|
|
|
|
|
|
(6 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,071 |
) |
|
|
12 |
|
Ultra Short Duration Bond Fund |
|
|
699 |
|
|
|
|
|
|
|
(6,251 |
) |
|
|
|
|
|
|
|
|
|
|
(629 |
) |
|
|
(696 |
) |
|
|
(6,877 |
) |
Short-Duration Government Fund |
|
|
1,623 |
|
|
|
|
|
|
|
(17,336 |
) |
|
|
|
|
|
|
|
|
|
|
(5,207 |
) |
|
|
(1,026 |
) |
|
|
(21,946 |
) |
GNMA Fund |
|
|
159 |
|
|
|
|
|
|
|
(3,171 |
) |
|
|
|
|
|
|
|
|
|
|
24 |
|
|
|
(154 |
) |
|
|
(3,142 |
) |
For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital
gains. It is the Funds intent that they will not distribute any realized gain distributions until the carryforwards have been offset or expired.
During the
fiscal year ended January 31, 2019, the Government Fund utilized $38,668 of capital loss carryforwards to offset capital gains.
At January 31, 2019, the following Funds had capital loss carryforwards to offset future realized capital gains:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term
Loss ($ Thousands) |
|
|
Long-Term
Loss ($ Thousands) |
|
|
Total
($ Thousands) |
|
Government II Fund |
|
$ |
29 |
|
|
$ |
|
|
|
$ |
29 |
|
Treasury II Fund |
|
|
6 |
|
|
|
|
|
|
|
6 |
|
Ultra Short Duration Bond Fund |
|
|
120 |
|
|
|
6,131 |
|
|
|
6,251 |
|
Short-Duration Government Fund |
|
|
4,061 |
|
|
|
13,275 |
|
|
|
17,336 |
|
GNMA Fund |
|
|
2,521 |
|
|
|
650 |
|
|
|
3,171 |
|
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
63 |
|
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2019
Post October losses represent losses realized on investment transactions from November 1, 2018 through
December 31, 2018 that, in accordance with Federal income tax regulations, the Funds may defer and treat as having arisen in the following fiscal year.
During
the fiscal year ended January 31, 2019, the Money Market Funds cost of securities for Federal income tax purposes approximates the cost located in the Statements of Assets and Liabilities.
For Federal income tax purposes, the cost of securities owned at January 31, 2019, and net realized gains or losses on securities sold for the year, were different
from amounts reported for financial reporting purposes, primarily due to wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross
unrealized appreciation and depreciation on investments (including foreign currency and derivatives, if applicable) held by the Fixed Income Funds at January 31, 2019, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal Tax Cost
($ Thousands) |
|
|
Appreciated
Securities ($ Thousands) |
|
|
Depreciated Securities ($ Thousands) |
|
|
Net Unrealized
Appreciation (Depreciation)
($ Thousands) |
|
Ultra Short Duration |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bond Fund |
|
$ |
307,541 |
|
|
$ |
423 |
|
|
$ |
(1,052) |
|
|
$ |
(629) |
|
Short-Duration |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government Fund |
|
|
684,442 |
|
|
|
3,100 |
|
|
|
(8,307) |
|
|
|
(5,207) |
|
GNMA Fund |
|
|
70,103 |
|
|
|
969 |
|
|
|
(945) |
|
|
|
24 |
|
Management has analyzed the Funds tax positions taken on the federal tax returns for all open tax years and has concluded that as
of January 31, 2019, no provision for income tax is required in the Funds financial statements. The Funds federal income and excise tax returns are subject to examination by the IRS for all open tax years under the applicable
Statute of Limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
6. CONCENTRATION/RISKS
In the normal course of business, a Fund may enter into contracts that provide general indemnifications by a Fund to the counterparty to the contract. A Funds
maximum exposure under these arrangements is dependent on future claims that may be made against a Fund and, therefore, cannot be established; however, based on experience, management believes the risk of loss from such claim is considered remote.
The following is not intended to be a complete discussion of the risks associated with investing in a fund. Please review each Funds prospectus for additional
disclosures regarding principal risks associated with investing in a fund.
Asset-Backed Securities Risk The Ultra Short Duration Bond Fund is subject to asset-backed securities risk,
whereas payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities. Securitization trusts generally do not have any assets or sources of funds other than the
receivables and related property they own, and asset-backed securities are generally not insured or guaranteed by the related sponsor or any other entity. Asset-backed securities may be more illiquid than more conventional types of fixed income
securities that the Fund may acquire.
Commercial Paper Risk The Ultra Short Duration Bond Fund is subject to commercial paper risk. Commercial paper
is a short-term obligation with a maturity generally ranging from one to 270 days and is issued by U.S. or foreign companies or other entities in order to finance their current operations. Such investments are unsecured and usually discounted from
their value at maturity. The value of commercial paper may be affected by changes in the credit rating or financial condition of the issuing entities and will tend to fall when interest rates rise and rise when interest rates fall. Asset-backed
commercial paper may be issued by structured investment vehicles or other conduits that are organized to issue the commercial paper and to purchase trade receivables or other financial assets. The repayment of asset-backed commercial paper depends
primarily on the cash collections received from such an issuers underlying asset portfolio and the issuers ability to issue new asset-backed commercial paper.
Corporate Fixed Income Risk The Ultra Short Duration Bond Fund is subject to corporate fixed income risk. Corporate fixed income securities respond to
economic developments, especially changes in interest rates, as well as to perceptions of the creditworthiness and business prospects of individual issuers.
Credit Risk The Funds are all subject to the risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable
to honor a financial obligation.
Derivatives Risk The Fixed Income Funds use of futures contracts and forward contracts is subject to market
risk, leverage risk, correlation risk and liquidity risk. Leverage risk, liquidity risk and market risk are described below. Many over-the-counter (OTC) derivative instruments will not have liquidity beyond the counterparty to the
instrument. Correlation risk is the risk that changes in the value of the derivative instrument may not correlate perfectly with the underlying asset, rate or index. The Funds use of forward contracts is also subject to credit risk and
valuation risk. Valuation risk is the risk that the derivative may be difficult to
|
|
|
64 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
value and/or valued incorrectly. Credit risk is described above. Each of these risks could cause the Fund to lose more
than the principal amount invested in a derivative instrument. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds initial investment. The other parties to certain derivative contracts present the same
types of credit risk as issuers of fixed income securities. The Fixed Income Funds use of derivatives may also increase the amount of taxes payable by shareholders. Both U.S. and non-U.S. regulators are in the process of adopting and
implementing regulations governing derivatives markets, the ultimate impact of which remains unclear.
Duration Risk The longer-term securities in
which the Fixed Income Funds may invest tend to be more volatile than shorter-term securities. A portfolio with a longer average portfolio duration is more sensitive to changes in interest rates than a portfolio with a shorter average portfolio
duration.
Extension Risk The Funds are subject to the risk that rising interest rates may extend the duration of a fixed income security, typically
reducing the securitys value.
Fixed Income Market Risk The prices of the Funds fixed income securities respond to economic developments,
particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, the Funds fixed income securities will decrease in value if interest rates
rise and vice versa. In a low interest rate environment, risks associated with rising rates are heightened. Declines in dealer market-making capacity as a result of structural or regulatory changes could decrease liquidity and/or increase volatility
in the fixed income markets. In the case of foreign securities, price fluctuations will reflect international economic and political events, as well as changes in currency valuations relative to the U.S. dollar. In response to these events, the
Funds value may fluctuate and/or the Funds may experience increased redemptions from shareholders, which may impact the Funds liquidity or force the Funds to sell securities into a declining or illiquid market.
Foreign Issuer Risk The Ultra Short Duration Bond Fund is subject to the risk that issuers in foreign countries face political and economic events unique
to such countries. These events will not necessarily affect the U.S. economy or similar issuers located in the U.S.
Interest Rate Risk The Funds are
subject to the risk that a rise in interest rates will cause a fall in the value of fixed income securities, including U.S. Government securities, in which the Funds invest. Although U.S. Government securities are considered to be among the
safest investments, they are not guaranteed against price movements due to changing interest rates. A low interest rate
environment may present greater interest rate risk, because there may be a greater likelihood of rates increasing and rates may increase more rapidly.
Investment
Style Risk The Fixed Income Funds are subject to the risk that a Funds investments in certain securities in a particular market segment pursuant to its particular investment strategy may underperform other market segments or the
market as a whole.
Leverage Risk The Fixed Income Funds use of derivatives or investments in repurchase agreements may result in the Funds
total investment exposure substantially exceeding the value of its portfolio securities and the Funds investment returns depending substantially on the performance of securities that the Funds may not directly own. The use of leverage can
amplify the effects of market volatility on the Funds share price and may also cause the Funds to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations. The Funds use of leverage may
result in a heightened risk of investment loss.
Liquidity Risk The Funds are subject to the risk that certain securities may be difficult or
impossible to sell at the time and the price that the seller would like. The seller may have to lower the price of the security, sell other securities instead or forego an investment opportunity, any of which could have a negative effect on Fund
management or performance.
Market Risk The Funds are subject to the risk that the market value of a security may move up and down, sometimes rapidly
and unpredictably. Market risk may affect a single issuer, an industry, a sector or the bond market as a whole.
Mortgage-Backed Securities Risk The
Fixed Income Funds are subject to mortgage-backed securities risk. Mortgage-backed securities are affected significantly by the rate of prepayments and modifications of the mortgage loans backing those securities, as well as by other factors such as
borrower defaults, delinquencies, realized or liquidation losses and other shortfalls. Mortgage-backed securities are particularly sensitive to prepayment risk, which is described below, given that the term to maturity for mortgage loans is
generally substantially longer than the expected lives of those securities; however, the timing and amount of prepayments cannot be accurately predicted. The timing of changes in the rate of prepayments of the mortgage loans may significantly affect
the Funds actual yield to maturity on any mortgage-backed securities, even if the average rate of principal payments is consistent with
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
65 |
|
NOTES TO FINANCIAL STATEMENTS (Continued)
January 31, 2019
the Funds expectations. Along with prepayment risk, mortgage-backed securities are significantly affected by
interest rate risk, which is described above. In a low interest rate environment, mortgage loan prepayments would generally be expected to increase due to factors such as refinancings and loan modifications at lower interest rates. In contrast, if
prevailing interest rates rise, prepayments of mortgage loans would generally be expected to decline and therefore extend the weighted average lives of mortgage-backed securities held or acquired by a fund.
Opportunity Risk The Funds are subject to the risk of missing out on an investment opportunity because the assets necessary to take advantage of it are
tied up in other investments.
Prepayment Risk The Funds (excluding the Treasury Fund and Treasury II Fund) are subject to the risk that, in a
declining interest rate environment, fixed income securities with stated interest rates may have the principal paid earlier than expected, requiring the Funds to invest the proceeds at generally lower interest rates.
Portfolio Turnover Risk Due to their investment strategies, the Short-Duration Government Fund and GNMA Fund may buy and sell securities frequently. This
may result in higher transaction costs and additional capital gains tax liabilities, which may affect the Funds performance.
Redemption Risk The
Money Market Funds may experience periods of heavy redemptions that could cause the Funds to liquidate its assets at inopportune times or at a loss or depressed value, particularly during periods of declining or illiquid markets. This could have a
significant adverse effect on the Funds ability to maintain a stable $1.00 share price, and, in extreme circumstances, could cause the Funds to suspend redemptions and liquidate completely.
Repurchase Agreement Risk The Funds (excluding the Government Fund and Treasury Fund) are subject to repurchase agreement risk. Although repurchase
agreement transactions must be fully collateralized at all times, they generally create leverage and involve some counterparty risk to the Fund whereby a defaulting counterparty could delay or prevent the Funds recovery of collateral.
U.S. Government Securities Risk The Funds are subject to U.S. Government securities risk. Although U.S. Government securities are considered to be among
the safest investments, they are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. Government agencies are
backed by the U.S. Treasury, while others are backed solely by the ability of the agency to borrow from the U.S. Treasury or by the agencys own resources.
7. CONCENTRATION OF SHAREHOLDERS
SEI Private Trust Company (SPTC) and
SIMC are subsidiaries of SEI Investments Company. As of January 31, 2019, SPTC held of record the following:
|
|
|
Government Fund, Cl CAA |
|
100.00% |
Government Fund, Cl Y |
|
71.22% |
Government II Fund |
|
60.60% |
Treasury Fund |
|
88.40% |
Treasury II Fund |
|
72.76% |
Ultra Short Duration Bond Fund, Cl F |
|
93.67% |
Ultra Short Duration Bond Fund, Cl Y |
|
80.15% |
Short-Duration Government Fund, Cl F |
|
97.43% |
Short-Duration Government Fund, Cl Y |
|
17.70% |
GNMA Fund, Cl F |
|
79.60% |
GNMA Fund, Cl Y |
|
97.02% |
SPTC is not a direct service provider to the Funds. However, SPTC performs a key role in the comprehensive investment solution that SEI
provides to investors. SPTC holds the vast majority of shares in the Funds as custodian for shareholders that are clients of the advisors and financial planners. SPTC maintains accounts at SEI Institutional Transfer Agency (SITA), and
operates in an omnibus fund account environment.
8. REGULATORY MATTERS
On
August 17, 2018, the SEC adopted amendments to Regulation S-X. These changes are effective for periods after November 5, 2018. The updates to Registered Investment Companies were mainly focused on simplifying the presentation of
distributable earnings by eliminating the need to present the components of distributable earnings on a book basis in the Statements of Assets and Liabilities. The update also impacted the presentation of undistributed net investment income and
distribution to shareholders on the Statements of Changes in Net Assets. The amounts presented in the current Statements of Changes in Net Assets represent the aggregated total distributions of net investment income and realized capital gains,
except for distributions classified as return of capital which are still presented separately. The disaggregated amounts from the prior fiscal year are broken out below if there were both distributions from net investment income and realized capital
gains. Otherwise, the amount on the current Statement of Changes for the prior fiscal year end represents distributions of net investment income.
9. NEW ACCOUNTING
PRONOUNCEMENT
In August 2018, The FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820). The new guidance includes additions and
modifications to disclosures requirements for fair value measurements.
|
|
|
66 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
For public entities, the amendments are effective for financial statements issued for fiscal years beginning after
December 15, 2019, and interim periods within those fiscal years. At this time, management is currently evaluating the impact of this new guidance on the financial statements and disclosures.
10. SUBSEQUENT EVENTS
Management has evaluated the need for disclosures and/or
adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosures and/or adjustments were required to the financial statements as of the date of the report. However, the
following are details relating to subsequent events that have occurred since January 31, 2019.
On March 8, 2019, the Adviser made a capital contribution
to the Treasury Fund (the Fund) related to the Funds historical losses. The amount of the capital contribution was $56,455.
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
67 |
|
REPORT OF INDEPENDENT REGISTERED ACCOUNTING FIRM
To the Shareholders of the Funds 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 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, 2019, 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 or periods 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, 2019, 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 or periods 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 Fund 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 audit 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, 2019, by correspondence with the custodians, transfer agents 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, 2019
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68 |
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited)
The following chart lists Trustees and Officers as of January 31, 2019.
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.
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Name,
Address, and Age |
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Position(s)
Held with Trusts |
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Term of
Office and Length of
Time Served1 |
|
Principal Occupation(s)
During Past Five Years |
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Number of
Portfolios in Fund
Complex Overseen by Trustee2 |
|
Other Directorships
Held by Trustee |
INTERESTED TRUSTEES |
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Robert A. Nesher One Freedom
Valley Drive Oaks, PA 19456
72 yrs. old |
|
Chairman of the Board of Trustees* |
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since 1995 |
|
Currently performs various services on behalf of SEI for which Mr. Nesher is compensated. |
|
101 |
|
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 SEI Liquid Asset Trust from 1989 to 2016. Vice Chairman of OConnor EQUUS (closed-end investment company) from 2014 to 2016. Vice Chairman of The Advisors Inner Circle Fund III, Winton Series Trust, Winton Diversified
Opportunities Fund (closed-end investment company) and Gallery Trust. Trustee of The Advisors Inner Circle Fund, The Advisors Inner Circle Fund ll, Bishop Street Funds, and the KP Funds. President, Chief Executive Officer and 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, The New
Covenant Funds and SEI Catholic Values Trust. |
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William M. Doran One
Freedom Valley Drive Oaks, PA 19456
78 yrs. old |
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Trustee* |
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since 1995 |
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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. |
|
101 |
|
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, New Covenant Funds, The KP Funds and SEI Catholic Values Trust. |
TRUSTEES |
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George J. Sullivan Jr. One
Freedom Valley Drive, Oaks, PA 19456
76 yrs. old |
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Trustee |
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since 1996 |
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Retired since January 2012. Self-Employed Consultant, Newfound Consultants Inc. April 1997-December 2011. |
|
101 |
|
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, New Covenant Funds, 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 Catholic Values Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust and New Covenant Funds. |
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SEI Daily Income Trust / Annual Report / January 31, 2019 |
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69 |
|
TRUSTEES AND OFFICERS OF THE TRUST (Unaudited) (Concluded)
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Name
Address, and Age |
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Position(s)
Held with Trusts |
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Term of Office and Length of Time Served1 |
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Principal Occupation(s)
During Past Five Years |
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Number of Portfolios in Fund Complex Overseen by Trustee2 |
|
Other Directorships
Held by Trustee |
TRUSTEES (continued) |
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Nina Lesavoy One Freedom
Valley Drive, Oaks, PA 19456
61 yrs. old |
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Trustee |
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since 2003 |
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Founder and Managing Director, Avec Capital (strategic fundraising firm} since 2008. Managing Director, Cue Capital (strategic fundraising firm) from March 2002-March 2008. |
|
101 |
|
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, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust. |
James M. Williams One
Freedom Valley Drive, Oaks, PA 19456
71 yrs. old |
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Trustee |
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since 2004 |
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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. |
|
101 |
|
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, New Covenant Funds, SEI Insurance Products Trust, Adviser Managed
Trust and SEI Catholic Values Trust. |
Mitchell A. Johnson One
Freedom Valley Drive, Oaks, PA 19456
76 yrs. old |
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Trustee |
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since 2007 |
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Retired Private Investor since 1994. |
|
101 |
|
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, 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, New Covenant Funds, 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
75 yrs. old |
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Trustee |
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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. |
|
101 |
|
Director of AMVESCAP PLC from 1993-2004. Served as a director of a bank holding company, 2003-2009. Director, Aarons Inc., 2012-present. President and CEO of Oasis Ornamentals LLC since
2011. Member of the Board of Councilors of the Carter Center (nonprofit corporation) and served on the board of other non-profit organizations. Director of SEI Alpha Strategy Portfolios, LP from 2008 to 2013. Trustee of Liquid Asset Trust from 2008
to 2016. 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, New Covenant
Funds, Adviser Managed Trust and SEI Catholic Values Trust. |
Susan C. Cote One Freedom
Valley Drive Oaks, PA 19456
64 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, Ernest & Young LLP from 2006-2015. Partner
Ernest & Young LLP from 1997-2015. Prudential, 1983-1997. Member of the Ernst & Young LLP Retirement Investment Committee, Treasurer and Chair of Finance, Investment and Audit Committee of the New York Womens Foundation. |
|
101 |
|
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, New Covenant Funds, Adviser Managed Trust and SEI Catholic Values Trust. |
James B. Taylor
One Freedom Valley Drive
Oaks, PA 19456 68 years old |
|
Trustee |
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since 2018 |
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Retired since December 2017. Chief Investment Officer at Georgia Teach Foundation from 2008 to 2017. Chief Investment Officer at Delta Air Lines from 1983 to
2007. Member of the Investment Committee at the Institute of Electrical and Electronic Engineers from 1999 to 2004. President, Vice President and Treasurer at Southern Benefits Conference from 1998 to 2000. |
|
101 |
|
Trustee of SEI Daily Income Trust, SEI Tax Exempt Trust, SEI Institutional Managed Trust, SEI Institutional International Trust, SEI Institutional Investments
Trust, SEI Asset Allocation Trust, Adviser Managed Trust, New Covenant Funds, SEI Insurance Products Trust and SEI Catholic Values Trust. |
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 Catholic Values Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust and New Covenant Funds. |
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70 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
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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 |
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Robert A. Nesher One Freedom
Valley Drive, Oaks, PA 19456
72 yrs. Old |
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President and CEO |
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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 45 yrs. old |
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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). |
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N/A |
|
N/A |
Glenn R. Kurdziel
One Freedom Valley Drive
Oaks, PA 19456 44 yrs. old |
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Assistant Controller |
|
since 2017 |
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Assistant Controller, Funds Accounting, SEI Investments Global Funds Services (March 2017); Senior Manager, Funds Accounting, SEI Investments Global Funds
Services since 2005. |
|
N/A |
|
N/A |
Russell Emery
One Freedom Valley Drive
Oaks, PA 19456 56 yrs. old |
|
Chief Compliance Officer |
|
since 2006 |
|
Chief Compliance Officer of SEI Daily Income Trust, 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 since 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 New
Covenant Funds since February 2012. 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 lll and Winton Diversified Opportunities Fund since 2014. Chief Compliance Officer of Winton Series Trust from 2014 to 2017. Chief Compliance Officer of SEI Catholic Values Trust and Gallery Trust since 2015. Chief Compliance Officer of
Schroder Series Trust and Schroder Global Series Trust since 2017. |
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N/A |
|
N/A |
Timothy D Barto
One Freedom Valley Drive
Oaks, PA 19456 50 yrs. old |
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Vice President and Secretary |
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since 2002 |
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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. |
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N/A |
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N/A |
Aaron Buser
One Freedom Valley Drive,
Oaks, PA 19456 48 yrs. old |
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Vice President and Assistant Secretary |
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since 2008 |
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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. |
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N/A |
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N/A |
David F. McCann
One Freedom Valley Drive,
Oaks, PA 19456 42 yrs. old |
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Vice
President and
Assistant Secretary |
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since 2009 |
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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 & Reath, LLP (law firm), May 2005-October 2008. |
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N/A |
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N/A |
Stephen G. MacRae
One Freedom Valley Drive,
Oaks, PA 19456 51 yrs. old |
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Vice
President |
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since 2012 |
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Director of Global Investment Product Management, January 2004to present. |
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N/A |
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N/A |
Bridget E. Sudall
One Freedom Valley Drive
Oaks, PA 19456 38 yrs. old |
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Anti-Money Laundering Compliance Officer and Privacy Officer |
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since 2015 |
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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. |
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N/A |
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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 Catholic Values Trust, SEI Tax Exempt Trust, SEI Insurance Products Trust and New Covenant Funds. |
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|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
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|
71 |
|
DISCLOSURE OF FUND EXPENSES (Unaudited)
January 31, 2019
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, 2018 to January 31, 2019).
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.
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Beginning Account Value 8/1/18 |
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Ending Account Value 1/31/19 |
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Annualized Expense Ratios |
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|
Expenses Paid During Period * |
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Government Fund |
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Actual Fund Return |
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Class F |
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$1,000.00 |
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$1,009.80 |
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|
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0.20 |
% |
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|
$1.01 |
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Class CAA |
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1,000.00 |
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|
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1,009.80 |
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0.20 |
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|
1.01 |
|
Hypothetical 5% Return |
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|
$1,000.00 |
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$1,024.20 |
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0.20 |
% |
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$1.02 |
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Class F |
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Class CAA |
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1,000.00 |
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1,024.20 |
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0.20 |
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1.02 |
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Government II Fund |
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Actual Fund Return |
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Class F |
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|
$1,000.00 |
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|
$1,010.10 |
|
|
|
0.20 |
% |
|
|
$1.01 |
|
Hypothetical 5% Return |
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Class F |
|
|
$1,000.00 |
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|
|
$1,024.20 |
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|
|
0.20 |
% |
|
|
$1.02 |
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|
Beginning Account Value 8/1/18 |
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|
Ending Account Value 1/31/19 |
|
|
Annualized Expense Ratios |
|
|
Expenses Paid During Period * |
|
Treasury Fund |
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|
Actual Fund Return |
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|
Class F |
|
|
$1,000.00 |
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|
|
$1,009.80 |
|
|
|
0.20 |
% |
|
|
$1.01 |
|
Hypothetical 5% Return |
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Class F |
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|
$1,000.00 |
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|
$1,024.20 |
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|
|
0.20 |
% |
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|
$1.02 |
|
Treasury II Fund |
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|
Actual Fund Return |
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Class F |
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$1,000.00 |
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|
$1,010.10 |
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|
|
0.20 |
% |
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|
$1.01 |
|
Hypothetical 5% Return |
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|
Class F |
|
|
$1,000.00 |
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|
|
$1,024.20 |
|
|
|
0.20 |
% |
|
|
$1.02 |
|
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72 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
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Beginning
Account Value
8/1/18 |
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Ending
Account Value
1/31/19 |
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Annualized
Expense Ratios |
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|
Expenses Paid During Period * |
|
Ultra Short Duration Bond
Fund |
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|
Actual Fund Return |
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|
Class F |
|
$ |
1,000.00 |
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|
$ |
1,012.10 |
|
|
|
0.38 |
% |
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|
$1.93 |
|
Class Y |
|
|
1,000.00 |
|
|
|
1,012.50 |
|
|
|
0.30 |
|
|
|
1.52 |
|
Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class F |
|
$ |
1,000.00 |
|
|
$ |
1,023.30 |
|
|
|
0.38 |
% |
|
|
$1.94 |
|
Class Y |
|
|
1,000.00 |
|
|
|
1,023.70 |
|
|
|
0.30 |
|
|
|
1.53 |
|
Short-Duration Government
Fund |
|
|
|
|
|
Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class F |
|
$ |
1,000.00 |
|
|
$ |
1,011.60 |
|
|
|
0.48 |
% |
|
|
$2.43 |
|
Class Y |
|
|
1,000.00 |
|
|
|
1,012.40 |
|
|
|
0.32 |
|
|
|
1.62 |
|
Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class F |
|
$ |
1,000.00 |
|
|
$ |
1,022.80 |
|
|
|
0.48 |
% |
|
|
$2.45 |
|
Class Y |
|
|
1,000.00 |
|
|
|
1,023.60 |
|
|
|
0.32 |
|
|
|
1.63 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beginning
Account Value
8/1/18 |
|
|
Ending
Account Value
1/31/19 |
|
|
Annualized
Expense Ratios |
|
|
Expenses Paid During Period * |
|
GNMA Fund |
|
|
|
|
|
|
|
|
|
Actual Fund Return |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class F |
|
$ |
1,000.00 |
|
|
$ |
1,025.80 |
|
|
|
0.57 |
% |
|
|
$2.91 |
|
Class Y |
|
|
1,000.00 |
|
|
|
1,027.90 |
|
|
|
0.31 |
|
|
|
1.58 |
|
Hypothetical 5% Return |
|
|
|
|
|
|
|
|
|
Class F |
|
$ |
1,000.00 |
|
|
$ |
1,022.30 |
|
|
|
0.57 |
% |
|
|
$2.91 |
|
Class Y |
|
|
1,000.00 |
|
|
|
1,023.60 |
|
|
|
0.31 |
|
|
|
1.58 |
|
* |
Expenses are equal to the Funds annualized expense ratio multiplied by the average account value over the period,
multiplied by 184/365. |
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
73 |
|
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 2728, 2018 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 2728, 2018 and September 10-12, 2018. In each case, the Boards approval (or renewal) was based on its
consideration and evaluation of the
|
|
|
74 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
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
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
75 |
|
BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AGREEMENT (Unaudited) (Concluded)
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.
|
|
|
76 |
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
NOTICE TO SHAREHOLDERS (Unaudited)
For shareholders that do not have a January 31, 2019, taxable year end, this notice is for information purposes only. For shareholders with a January 31,
2019, taxable year end, please consult your tax adviser as to the pertinence of this notice. For the fiscal year ended January 31, 2019, the Funds are designating the following with regard to distributions paid during the year:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund |
|
(A)
Long-Term Capital Gain Distribution |
|
|
(B)
Ordinary Income Distributions (Tax Basis) |
|
|
(C)
Total Distributions (Tax Basis) |
|
|
U.S. Government Interest (1) |
|
|
Interest Related Dividends (2) |
|
|
Short-Term Capital Gains Dividends (3) |
|
Government Fund |
|
|
0.00 |
% |
|
|
100.00 |
% |
|
|
100.00 |
% |
|
|
74.05 |
% |
|
|
99.99 |
% |
|
|
100.00 |
% |
Government II Fund |
|
|
0.00 |
% |
|
|
100.00 |
% |
|
|
100.00 |
% |
|
|
100.00 |
% |
|
|
99.99 |
% |
|
|
0.00 |
% |
Treasury Fund* |
|
|
0.00 |
% |
|
|
100.00 |
% |
|
|
100.00 |
% |
|
|
60.02 |
% |
|
|
99.81 |
% |
|
|
100.00 |
% |
Treasury II Fund |
|
|
0.00 |
% |
|
|
100.00 |
% |
|
|
100.00 |
% |
|
|
100.00 |
% |
|
|
99.99 |
% |
|
|
0.00 |
% |
Ultra Short Duration Bond Fund* |
|
|
0.00 |
% |
|
|
100.00 |
% |
|
|
100.00 |
% |
|
|
6.38 |
% |
|
|
6.73 |
% |
|
|
0.00 |
% |
Short-Duration Government Fund* |
|
|
0.00 |
% |
|
|
100.00 |
% |
|
|
100.00 |
% |
|
|
16.24 |
% |
|
|
100.00 |
% |
|
|
0.00 |
% |
GNMA Fund* |
|
|
0.00 |
% |
|
|
100.00 |
% |
|
|
100.00 |
% |
|
|
0.46 |
% |
|
|
99.77 |
% |
|
|
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. Generally, interest from direct U.S. Government obligations is exempt from state income tax. |
(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. |
* Shareholders who
are residents of California, Connecticut and New York, these funds have not met the statutory threshold requirements to permit exemption of these amounts from state income tax.
Please consult your tax adviser for proper treatment of this information.
|
|
|
|
|
SEI Daily Income Trust / Annual Report / January 31, 2019 |
|
|
77 |
|
SEI DAILY INCOME TRUST ANNUAL REPORT JANUARY 31, 2019
Robert A. Nesher, Chairman
Trustees
William M. Doran
George J. Sullivan, Jr.
Nina Lesavoy
James M. Williams
Mitchell A. Johnson
Hubert L. Harris, Jr.
Susan C. Cote
James B. Taylor
Officers
Robert A. Nesher
President and Chief Executive Officer
James J. Hoffmayer
Controller and Chief Financial Officer
Glenn Kurdziel
Assistant Controller
Russell Emery
Chief Compliance Officer
Timothy D. Barto
Vice President, Secretary
Aaron Buser
Vice President, Assistant Secretary
David McCann
Vice President, Assistant Secretary
Stephen G. MacRae
Vice President
Bridget E. Sudall
Anti-Money Laundering Compliance Officer
Privacy Officer
Investment Adviser
SEI
Investments Management Corporation
Administrator
SEI Investments Global
Funds Services
Distributor
SEI Investments Distribution Co.
Legal Counsel
Morgan, Lewis & Bockius LLP
Independent Registered Public Accounting Firm
KPMG LLP
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied
by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any
other government agency. Investment in the shares involves risk, including the possible loss of principal.
For more information call
1 800 DIAL SEI
(1 800 342 5734)
1 Freedom Valley Drive, P.O. Box 1100, Oaks, PA 19456
SEI-F-022 (1/19)
The Registrant has adopted a code of ethics that applies to the Registrants principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions.
Item 3. |
Audit Committee Financial Expert. |
(a) (1) The Registrants Board of Trustees has determined that the Registrant has three audit committee financial experts serving on its audit committee.
(a) (2) The audit committee financial experts are Susan C. Cote, George J. Sullivan, Jr. and Hubert L. Harris, Jr. Ms. Cote and Messrs. Sullivan
and Harris are independent as defined in Form N-CSR Item 3 (a) (2).
Item 4. |
Principal Accountant Fees and Services. |
Fees billed by KPMG LLP (KPMG) related to the Registrant.
KPMG billed the Registrant
aggregate fees for services rendered to the Registrant for the fiscal years 2019 and 2018 as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fiscal Year 2019 |
|
Fiscal Year
2018 |
|
|
|
|
All fees
and services to the Registrant that were pre-
approved |
|
All fees and services
to service affiliates that were pre- approved
|
|
All other fees and services to service affiliates that did not
require pre-approval |
|
All fees and services to the Registrant that were pre-
approved |
|
All fees and services
to service affiliates that were pre- approved
|
|
All other fees and services to service affiliates that did not
require pre-approval |
(a) |
|
Audit Fees(1)
|
|
$141,330 |
|
N/A |
|
$0 |
|
$139,930 |
|
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 |
|
$342,371 |
|
$0 |
|
$0 |
|
$341,057 |
|
$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) for a description of the services comprising the fees disclosed under 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. In any instance where services require pre approval, the Audit Committee will consider whether such services are consistent with SEC rules on auditor
independence and whether the provision of such services would compromise the auditors independence.
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.
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 has delegated specific pre approval authority to either the Audit Committee Chair or financial experts,
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. The Audit
Committee will annually review and pre-approve the services that may be provided by the independent auditor during the following twelve months without obtaining specific
pre-approval from the Audit Committee.
The Audit Committee will be informed by the CFO on a quarterly
basis of all services rendered by the independent auditor.
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 (or the manner of their determination) 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 2019 |
|
Fiscal 2018 |
Audit-Related Fees
|
|
0% |
|
0% |
Tax Fees
|
|
0% |
|
0% |
All Other Fees
|
|
0% |
|
0% |
(f) Not Applicable.
(g)(1) The aggregate non-audit fees billed by KPMG for the fiscal years 2019 and 2018 were $342,371 and $341,057, respectively.
Non-audit fees consist of a service organization controls report 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. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrants Board of Trustees (the Board). The Registrant has a standing Governance
Committee (the Committee) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Board. Pursuant to the Committees Charter, adopted on
June 18, 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 Registrants 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 and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of
the filing date of this report.
(b) There were no changes in the Registrants internal control over financial reporting (as defined in Rule
30a-3(d) under the 1940 Act) 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.
Item 12. |
Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
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Not applicable.
(a)(1)
Code of Ethics attached hereto.
(a)(2) A separate certification for the principal executive officer and the principal financial officer of the
Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, are filed herewith.
(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, also
accompany this filing as exhibits.
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.
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SEI Daily Income Trust |
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By: |
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/s/ Robert A. Nesher |
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Robert A. Nesher, President and
CEO |
Date: April 8, 2019
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.
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By: |
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/s/ Robert A. Nesher |
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Robert A. Nesher, President and
CEO |
Date: April 8, 2019
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By: |
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/s/ James J. Hoffmayer |
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James J. Hoffmayer,
Controller & CFO |
Date: April 8, 2019