SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS 38.7% |
|
|||||||
Communication Services 1.5% |
||||||||
AT&T |
||||||||
9.150%, 02/01/2023 |
$ | 600 | $ | 664 | ||||
0.689%, VAR United States Secured Overnight Financing Rate + 0.640%, 03/25/2024 |
1,470 | 1,471 | ||||||
Fox |
||||||||
3.666%, 01/25/2022 |
85 | 86 | ||||||
NTT Finance |
||||||||
0.373%, 03/03/2023 (A) |
1,900 | 1,898 | ||||||
Sky |
||||||||
3.125%, 11/26/2022 (A) |
350 | 360 | ||||||
Verizon Communications |
||||||||
0.839%, VAR United States Secured Overnight Financing Rate + 0.790%, 03/20/2026 |
500 | 509 | ||||||
0.549%, VAR United States Secured Overnight Financing Rate + 0.500%, 03/22/2024 |
500 | 502 | ||||||
|
|
| ||||||
5,490 | ||||||||
|
|
| ||||||
Consumer Discretionary 4.2% |
||||||||
7-Eleven |
||||||||
0.625%, 02/10/2023 (A) |
2,930 | 2,925 | ||||||
BMW US Capital LLC |
||||||||
0.579%, VAR United States Secured Overnight Financing Rate + 0.530%, 04/01/2024 (A) |
965 | 973 | ||||||
Daimler Finance North America LLC |
||||||||
3.750%, 11/05/2021 (A) |
475 | 475 | ||||||
2.550%, 08/15/2022 (A) |
1,960 | 1,993 | ||||||
General Motors Financial |
||||||||
4.250%, 05/15/2023 |
525 | 552 | ||||||
3.550%, 07/08/2022 |
225 | 230 | ||||||
3.450%, 04/10/2022 |
400 | 403 | ||||||
0.809%, VAR United States Secured Overnight Financing Rate + 0.760%, 03/08/2024 |
500 | 503 | ||||||
0.669%, VAR United States Secured Overnight Financing Rate + 0.620%, 10/15/2024 |
2,445 | 2,446 | ||||||
Howard University |
||||||||
2.801%, 10/01/2023 |
380 | 390 | ||||||
Hyatt Hotels |
||||||||
1.300%, 10/01/2023 |
175 | 175 | ||||||
1.099%, VAR United States Secured Overnight Financing Rate + 1.050%, 10/01/2023 |
600 | 602 | ||||||
Hyundai Capital America MTN |
||||||||
0.800%, 04/03/2023 (A) |
450 | 450 | ||||||
Lennar |
||||||||
4.750%, 11/15/2022 |
700 | 721 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
|
|||||||
Nordstrom |
||||||||
2.300%, 04/08/2024 |
$ | 210 | $ | 211 | ||||
Toyota Motor Credit MTN |
||||||||
0.379%, VAR United States Secured Overnight Financing Rate + 0.330%, 01/11/2024 |
400 | 401 | ||||||
VF |
||||||||
2.050%, 04/23/2022 |
375 | 378 | ||||||
Volkswagen Group of America Finance LLC |
||||||||
2.900%, 05/13/2022 (A) |
450 | 456 | ||||||
2.700%, 09/26/2022 (A) |
325 | 331 | ||||||
|
|
| ||||||
14,615 | ||||||||
|
|
| ||||||
Consumer Staples 1.4% |
||||||||
Campbell Soup |
||||||||
2.500%, 08/02/2022 |
874 | 887 | ||||||
Coca-Cola Europacific Partners PLC |
||||||||
0.500%, 05/05/2023 (A) |
975 | 971 | ||||||
Conagra Brands |
||||||||
0.500%, 08/11/2023 |
325 | 324 | ||||||
JDE Peets |
||||||||
0.800%, 09/24/2024 (A) |
500 | 494 | ||||||
Keurig Dr Pepper |
||||||||
0.750%, 03/15/2024 |
1,510 | 1,503 | ||||||
Mondelez International |
||||||||
0.625%, 07/01/2022 |
400 | 401 | ||||||
|
|
| ||||||
4,580 | ||||||||
|
|
| ||||||
Energy 1.9% |
||||||||
Diamondback Energy |
||||||||
0.900%, 03/24/2023 |
750 | 750 | ||||||
El Paso Natural Gas LLC |
||||||||
8.625%, 01/15/2022 |
218 | 222 | ||||||
Enbridge |
||||||||
0.449%, VAR United States Secured Overnight Financing Rate + 0.400%, 02/17/2023 |
1,020 | 1,022 | ||||||
Phillips 66 |
||||||||
3.700%, 04/06/2023 |
285 | 297 | ||||||
Pioneer Natural Resources |
||||||||
0.750%, 01/15/2024 |
1,515 | 1,506 | ||||||
0.550%, 05/15/2023 |
705 | 703 | ||||||
Saudi Arabian Oil |
||||||||
1.250%, 11/24/2023 (A) |
200 | 200 | ||||||
Saudi Arabian Oil MTN |
||||||||
2.750%, 04/16/2022 (A) |
1,580 | 1,596 | ||||||
Southern Natural Gas LLC |
||||||||
0.625%, 04/28/2023 (A) |
285 | 284 | ||||||
Valero Energy |
||||||||
2.700%, 04/15/2023 |
225 | 231 | ||||||
|
|
| ||||||
6,811 | ||||||||
|
|
|
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 1 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
|
|||||||
Financials 18.4% |
||||||||
AIG Global Funding |
||||||||
0.800%, 07/07/2023 (A) |
$ | 315 | $ | 316 | ||||
American Honda Finance MTN |
||||||||
0.875%, 07/07/2023 |
300 | 302 | ||||||
Aon |
||||||||
2.200%, 11/15/2022 |
140 | 142 | ||||||
Athene Global Funding |
||||||||
0.749%, VAR United States Secured Overnight Financing Rate + 0.700%, 05/24/2024 (A) |
825 | 829 | ||||||
Bank of America |
||||||||
0.740%, VAR United States Secured Overnight Financing Rate + 0.690%, 04/22/2025 |
650 | 655 | ||||||
Bank of America MTN |
||||||||
1.486%, VAR United States Secured Overnight Financing Rate + 1.460%, 05/19/2024 |
300 | 303 | ||||||
0.529%, VAR BSBY3M + 0.430%, 05/28/2024 |
575 | 576 | ||||||
Bank of Montreal |
||||||||
0.399%, VAR United States Secured Overnight Financing Rate + 0.350%, 12/08/2023 |
600 | 601 | ||||||
Bank of Montreal MTN |
||||||||
0.729%, VAR United States Secured Overnight Financing Rate + 0.680%, 03/10/2023 |
1,340 | 1,349 | ||||||
0.669%, VAR United States Secured Overnight Financing Rate + 0.620%, 09/15/2026 |
675 | 677 | ||||||
0.369%, VAR United States Secured Overnight Financing Rate + 0.320%, 07/09/2024 |
325 | 326 | ||||||
Bank of New York Mellon MTN |
||||||||
0.310%, VAR United States Secured Overnight Financing Rate + 0.260%, 04/26/2024 |
325 | 325 | ||||||
Bank of Nova Scotia |
||||||||
0.599%, VAR United States Secured Overnight Financing Rate + 0.550%, 09/15/2023 |
1,545 | 1,551 | ||||||
0.430%, VAR United States Secured Overnight Financing Rate + 0.380%, 07/31/2024 |
650 | 651 | ||||||
0.329%, VAR United States Secured Overnight Financing Rate + 0.280%, 06/23/2023 |
325 | 325 | ||||||
0.309%, VAR United States Secured Overnight Financing Rate + 0.260%, 09/15/2023 |
425 | 425 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
|
|||||||
Barclays Bank PLC |
||||||||
1.700%, 05/12/2022 |
$ | 225 | $ | 226 | ||||
BPCE MTN |
||||||||
3.000%, 05/22/2022 (A) |
975 | 989 | ||||||
Brighthouse Financial Global Funding MTN |
||||||||
0.809%, VAR United States Secured Overnight Financing Rate + 0.760%, 04/12/2024 (A) |
445 | 449 | ||||||
Canadian Imperial Bank of Commerce |
||||||||
0.849%, VAR United States Secured Overnight Financing Rate + 0.800%, 03/17/2023 |
500 | 503 | ||||||
0.449%, VAR United States Secured Overnight Financing Rate + 0.400%, 12/14/2023 |
2,210 | 2,216 | ||||||
Capital One |
||||||||
2.150%, 09/06/2022 |
250 | 253 | ||||||
Capital One Bank USA |
||||||||
2.014%, VAR United States Secured Overnight Financing Rate + 0.616%, 01/27/2023 |
400 | 401 | ||||||
Charles Schwab |
||||||||
0.549%, VAR United States Secured Overnight Financing Rate + 0.500%, 03/18/2024 |
400 | 402 | ||||||
Citigroup |
||||||||
4.500%, 01/14/2022 |
800 | 806 | ||||||
2.694%, VAR United States Secured Overnight Financing Rate + 0.870%, 11/04/2022 |
1,720 | 1,732 | ||||||
2.312%, VAR United States Secured Overnight Financing Rate + 0.867%, 11/04/2022 |
900 | 900 | ||||||
0.719%, VAR United States Secured Overnight Financing Rate + 0.669%, 05/01/2025 |
250 | 252 | ||||||
Citizens Bank |
||||||||
0.845%, VAR ICE LIBOR USD 3 Month + 0.720%, 02/14/2022 |
550 | 551 | ||||||
CNA Financial |
||||||||
7.250%, 11/15/2023 |
200 | 225 | ||||||
Commonwealth Bank of Australia |
||||||||
0.569%, VAR United States Secured Overnight Financing Rate + 0.520%, 06/15/2026 (A) |
425 | 428 | ||||||
0.449%, VAR United States Secured Overnight Financing Rate + 0.400%, 07/07/2025 (A) |
425 | 426 | ||||||
Credit Suisse NY |
||||||||
0.520%, 08/09/2023 |
650 | 649 |
2 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
|
|||||||
0.440%, VAR United States Secured Overnight Financing Rate + 0.390%, 02/02/2024 |
$ | 2,280 | $ | 2,276 | ||||
Danske Bank |
||||||||
5.000%, 01/12/2022 (A) |
570 | 575 | ||||||
Equitable Financial Life Global Funding |
||||||||
0.439%, VAR United States Secured Overnight Financing Rate + 0.390%, 04/06/2023 (A) |
575 | 576 | ||||||
European Investment Bank |
||||||||
0.339%, VAR United States Secured Overnight Financing Rate + 0.290%, 06/10/2022 (A) |
2,050 | 2,053 | ||||||
Fifth Third Bank MTN |
||||||||
1.800%, 01/30/2023 |
250 | 254 | ||||||
Ford Motor Credit LLC |
||||||||
1.402%, VAR ICE LIBOR USD 3 Month + 1.270%, 03/28/2022 |
350 | 350 | ||||||
GA Global Funding Trust |
||||||||
0.550%, VAR United States Secured Overnight Financing Rate + 0.500%, 09/13/2024 (A) |
1,745 | 1,753 | ||||||
Goldman Sachs Group |
||||||||
0.627%, VAR United States Secured Overnight Financing Rate + 0.538%, 11/17/2023 |
425 | 425 | ||||||
0.549%, VAR United States Secured Overnight Financing Rate + 0.500%, 09/10/2024 |
250 | 250 | ||||||
0.479%, VAR United States Secured Overnight Financing Rate + 0.430%, 03/08/2023 |
425 | 425 | ||||||
0.460%, VAR United States Secured Overnight Financing Rate + 0.410%, 01/27/2023 |
575 | 575 | ||||||
HSBC Bank Canada |
||||||||
0.950%, 05/14/2023 (A) |
1,205 | 1,212 | ||||||
ING Groep |
||||||||
1.282%, VAR ICE LIBOR USD 3 Month + 1.150%, 03/29/2022 |
400 | 402 | ||||||
Inter-American Development Bank |
||||||||
0.309%, VAR United States Secured Overnight Financing Rate + 0.260%, 09/16/2022 |
2,455 | 2,460 | ||||||
International Bank for Reconstruction & Development MTN |
||||||||
0.179%, VAR United States Secured Overnight Financing Rate + 0.130%, 01/13/2023 |
410 | 410 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
|
|||||||
JPMorgan Chase |
||||||||
0.935%, VAR United States Secured Overnight Financing Rate + 0.885%, 04/22/2027 |
$ | 650 | $ | 658 | ||||
0.629%, VAR United States Secured Overnight Financing Rate + 0.580%, 03/16/2024 |
1,990 | 1,997 | ||||||
0.629%, VAR United States Secured Overnight Financing Rate + 0.580%, 06/23/2025 |
325 | 326 | ||||||
0.584%, VAR United States Secured Overnight Financing Rate + 0.535%, 06/01/2025 |
400 | 402 | ||||||
KeyBank |
||||||||
0.792%, VAR ICE LIBOR USD 3 Month + 0.660%, 02/01/2022 |
800 | 801 | ||||||
0.390%, VAR United States Secured Overnight Financing Rate + 0.340%, 01/03/2024 |
575 | 576 | ||||||
0.370%, VAR United States Secured Overnight Financing Rate + 0.320%, 06/14/2024 |
400 | 401 | ||||||
Macquarie Bank MTN |
||||||||
0.441%, 12/16/2022 (A) |
325 | 324 | ||||||
Macquarie Group MTN |
||||||||
0.759%, VAR United States Secured Overnight Financing Rate + 0.710%, 10/14/2025 (A) |
425 | 426 | ||||||
MassMutual Global Funding II |
||||||||
0.409%, VAR United States Secured Overnight Financing Rate + 0.360%, 04/12/2024 (A) |
400 | 402 | ||||||
MassMutual Global Funding II MTN |
||||||||
0.850%, 06/09/2023 (A) |
448 | 450 | ||||||
Metropolitan Life Global Funding I MTN |
||||||||
0.619%, VAR United States Secured Overnight Financing Rate + 0.570%, 01/13/2023 (A) |
550 | 552 | ||||||
Mizuho Financial Group |
||||||||
0.759%, VAR ICE LIBOR USD 3 Month + 0.630%, 05/25/2024 |
775 | 780 | ||||||
Morgan Stanley |
||||||||
0.731%, VAR United States Secured Overnight Financing Rate + 0.616%, 04/05/2024 |
250 | 250 | ||||||
Morgan Stanley MTN |
||||||||
4.875%, 11/01/2022 |
625 | 651 | ||||||
2.750%, 05/19/2022 |
1,145 | 1,160 | ||||||
MUFG Union Bank |
||||||||
0.716%, VAR ICE LIBOR USD 3 Month + 0.600%, 03/07/2022 |
950 | 951 |
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 3 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
|
|||||||
Nasdaq |
||||||||
0.445%, 12/21/2022 |
$ | 250 | $ | 250 | ||||
National Bank of Canada |
||||||||
0.900%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.770% |
475 | 476 | ||||||
0.750%, 08/06/2024 |
325 | 323 | ||||||
Nationwide Building Society |
||||||||
2.000%, 01/27/2023 (A) |
375 | 382 | ||||||
0.550%, 01/22/2024 (A) |
400 | 396 | ||||||
NatWest Group PLC |
||||||||
6.000%, 12/19/2023 |
450 | 495 | ||||||
NatWest Markets PLC |
||||||||
0.579%, VAR United States Secured Overnight Financing Rate + 0.530%, 08/12/2024 (A) |
490 | 492 | ||||||
Nordea Bank Abp |
||||||||
1.000%, 06/09/2023 (A) |
300 | 302 | ||||||
Pacific Life Global Funding II |
||||||||
0.500%, 09/23/2023 (A) |
400 | 399 | ||||||
PNC Bank |
||||||||
1.743%, VAR ICE LIBOR USD 3 Month + 0.323%, 02/24/2023 |
550 | 552 | ||||||
0.453%, VAR ICE LIBOR USD 3 Month + 0.325%, 02/24/2023 |
1,600 | 1,601 | ||||||
Principal Life Global Funding II |
||||||||
0.499%, VAR United States Secured Overnight Financing Rate + 0.450%, 04/12/2024 (A) |
170 | 171 | ||||||
0.429%, VAR United States Secured Overnight Financing Rate + 0.380%, 08/23/2024 (A) |
665 | 666 | ||||||
Protective Life Global Funding |
||||||||
1.082%, 06/09/2023 (A) |
255 | 257 | ||||||
Royal Bank of Canada MTN |
||||||||
0.599%, VAR ICE LIBOR USD 3 Month + 0.470%, 04/29/2022 |
1,175 | 1,178 | ||||||
0.500%, VAR United States Secured Overnight Financing Rate + 0.450%, 10/26/2023 |
400 | 402 | ||||||
Skandinaviska Enskilda Banken |
||||||||
0.550%, 09/01/2023 (A) |
250 | 249 | ||||||
State Street |
||||||||
2.825%, VAR United States Secured Overnight Financing Rate + 2.690%, 03/30/2023 |
660 | 666 | ||||||
Sumitomo Mitsui Trust Bank MTN |
||||||||
0.489%, VAR United States Secured Overnight Financing Rate + 0.440%, 09/16/2024 (A) |
500 | 501 | ||||||
Toronto-Dominion Bank |
||||||||
2.100%, 07/15/2022 (A) |
850 | 861 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
|
|||||||
Toronto-Dominion Bank MTN |
||||||||
0.639%, VAR United States Secured Overnight Financing Rate + 0.590%, 09/10/2026 |
$ | 425 | $ | 428 | ||||
0.530%, VAR United States Secured Overnight Financing Rate + 0.480%, 01/27/2023 |
1,160 | 1,164 | ||||||
0.404%, VAR United States Secured Overnight Financing Rate + 0.355%, 03/04/2024 |
575 | 577 | ||||||
0.399%, VAR United States Secured Overnight Financing Rate + 0.350%, 09/10/2024 |
500 | 501 | ||||||
0.250%, 01/06/2023 |
1,210 | 1,207 | ||||||
Truist Financial MTN |
||||||||
0.449%, VAR United States Secured Overnight Financing Rate + 0.400%, 06/09/2025 |
400 | 400 | ||||||
UBS |
||||||||
1.750%, 04/21/2022 (A) |
750 | 754 | ||||||
0.700%, 08/09/2024 (A) |
400 | 397 | ||||||
0.369%, VAR United States Secured Overnight Financing Rate + 0.320%, 06/01/2023 (A) |
1,210 | 1,213 | ||||||
UBS MTN |
||||||||
0.409%, VAR United States Secured Overnight Financing Rate + 0.360%, 02/09/2024 (A) |
400 | 401 | ||||||
UniCredit MTN |
||||||||
6.572%, 01/14/2022 (A) |
350 | 354 | ||||||
USAA Capital |
||||||||
1.500%, 05/01/2023 (A) |
525 | 533 | ||||||
|
|
| ||||||
64,412 | ||||||||
|
|
| ||||||
Health Care 3.1% |
||||||||
AbbVie |
||||||||
2.150%, 11/19/2021 |
1,000 | 1,001 | ||||||
AmerisourceBergen |
||||||||
0.737%, 03/15/2023 |
450 | 450 | ||||||
Anthem |
||||||||
3.125%, 05/15/2022 |
650 | 659 | ||||||
2.950%, 12/01/2022 |
575 | 589 | ||||||
AstraZeneca PLC |
||||||||
0.300%, 05/26/2023 |
650 | 648 | ||||||
Bristol-Myers Squibb |
||||||||
3.250%, 02/20/2023 |
409 | 423 | ||||||
0.537%, 11/13/2023 |
425 | 425 | ||||||
Cigna |
||||||||
3.050%, 11/30/2022 |
350 | 359 | ||||||
0.613%, 03/15/2024 |
190 | 189 | ||||||
Humana |
||||||||
0.650%, 08/03/2023 |
1,700 | 1,698 |
4 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
|
|||||||
Illumina |
||||||||
0.550%, 03/23/2023 |
$ | 400 | $ | 399 | ||||
OhioHealth |
||||||||
1.119%, 11/15/2021 |
295 | 295 | ||||||
PerkinElmer |
||||||||
0.550%, 09/15/2023 |
600 | 598 | ||||||
Royalty Pharma PLC |
||||||||
0.750%, 09/02/2023 |
700 | 698 | ||||||
Stryker |
||||||||
0.600%, 12/01/2023 |
230 | 229 | ||||||
Thermo Fisher Scientific |
||||||||
0.579%, VAR United States Secured Overnight Financing Rate + 0.530%, 10/18/2024 |
1,710 | 1,713 | ||||||
Viatris |
||||||||
1.125%, 06/22/2022 (A) |
450 | 452 | ||||||
|
|
| ||||||
10,825 | ||||||||
|
|
| ||||||
Industrials 1.5% |
||||||||
AerCap Ireland Capital DAC |
||||||||
0.730%, VAR United States Secured Overnight Financing Rate + 0.680%, 09/29/2023 |
700 | 701 | ||||||
Air Lease MTN |
||||||||
0.466%, VAR ICE LIBOR USD 3 Month + 0.350%, 12/15/2022 |
500 | 500 | ||||||
Boeing |
||||||||
2.700%, 05/01/2022 |
325 | 328 | ||||||
1.167%, 02/04/2023 |
475 | 476 | ||||||
Cargill |
||||||||
1.375%, 07/23/2023 (A) |
300 | 304 | ||||||
Carlisle |
||||||||
0.550%, 09/01/2023 |
175 | 174 | ||||||
DAE Funding LLC MTN |
||||||||
1.550%, 08/01/2024 (A) |
450 | 444 | ||||||
Otis Worldwide |
||||||||
0.583%, VAR ICE LIBOR USD 3 Month + 0.450%, 04/05/2023 |
1,465 | 1,465 | ||||||
Roper Technologies |
||||||||
0.450%, 08/15/2022 |
150 | 150 | ||||||
Siemens Financieringsmaatschappij |
||||||||
0.479%, VAR United States Secured Overnight Financing Rate + 0.430%, 03/11/2024 (A) |
575 | 579 | ||||||
|
|
| ||||||
5,121 | ||||||||
|
|
| ||||||
Information Technology 1.9% |
||||||||
Analog Devices |
||||||||
0.299%, VAR United States Secured Overnight Financing Rate + 0.250%, 10/01/2024 |
310 | 310 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
|
|||||||
Fidelity National Information Services |
||||||||
0.375%, 03/01/2023 |
$ | 425 | $ | 424 | ||||
Hewlett Packard Enterprise |
||||||||
4.450%, 10/02/2023 |
250 | 266 | ||||||
Microchip Technology |
||||||||
0.972%, 02/15/2024 (A) |
375 | 373 | ||||||
Micron Technology |
||||||||
2.497%, 04/24/2023 |
545 | 560 | ||||||
NXP BV |
||||||||
3.875%, 09/01/2022 (A) |
364 | 374 | ||||||
Oracle |
||||||||
2.500%, 05/15/2022 |
500 | 504 | ||||||
salesforce.com |
||||||||
0.625%, 07/15/2024 |
1,460 | 1,457 | ||||||
Skyworks Solutions |
||||||||
0.900%, 06/01/2023 |
105 | 105 | ||||||
TD SYNNEX |
||||||||
1.250%, 08/09/2024 (A) |
650 | 648 | ||||||
VMware |
||||||||
1.000%, 08/15/2024 |
1,160 | 1,162 | ||||||
0.600%, 08/15/2023 |
400 | 399 | ||||||
|
|
| ||||||
6,582 | ||||||||
|
|
| ||||||
Materials 0.1% |
||||||||
International Flavors & Fragrances |
||||||||
0.697%, 09/15/2022 (A) |
215 | 215 | ||||||
Martin Marietta Materials |
||||||||
0.650%, 07/15/2023 |
230 | 230 | ||||||
|
|
| ||||||
445 | ||||||||
|
|
| ||||||
Real Estate 0.1% |
||||||||
Public Storage |
||||||||
0.520%, VAR United States Secured Overnight Financing Rate + 0.470%, 04/23/2024 |
310 | 310 | ||||||
|
|
| ||||||
Utilities 4.6% |
||||||||
American Electric Power |
||||||||
0.612%, VAR ICE LIBOR USD 3 Month + 0.480%, 11/01/2023 |
1,060 | 1,060 | ||||||
Atmos Energy |
||||||||
0.625%, 03/09/2023 |
425 | 425 | ||||||
CenterPoint Energy |
||||||||
0.699%, VAR United States Secured Overnight Financing Rate + 0.650%, 05/13/2024 |
325 | 325 | ||||||
CenterPoint Energy Resources |
||||||||
0.700%, 03/02/2023 |
1,055 | 1,052 | ||||||
0.620%, VAR ICE LIBOR USD 3 Month + 0.500%, 03/02/2023 |
650 | 650 |
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 5 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
|
|||||||
Cleco Power LLC |
||||||||
0.616%, VAR ICE LIBOR USD 3 Month + 0.500%, 06/15/2023 (A) |
$ | 650 | $ | 650 | ||||
Dominion Energy |
||||||||
2.450%, 01/15/2023 (A) |
550 | 562 | ||||||
0.646%, VAR ICE LIBOR USD 3 Month + 0.530%, 09/15/2023 |
1,445 | 1,446 | ||||||
DTE Energy |
||||||||
0.550%, 11/01/2022 |
475 | 475 | ||||||
Duke Energy |
||||||||
0.299%, VAR United States Secured Overnight Financing Rate + 0.250%, 06/10/2023 |
500 | 500 | ||||||
Mississippi Power |
||||||||
0.349%, VAR United States Secured Overnight Financing Rate + 0.300%, 06/28/2024 |
350 | 350 | ||||||
NextEra Energy Capital Holdings |
||||||||
0.589%, VAR United States Secured Overnight Financing Rate + 0.540%, 03/01/2023 |
1,350 | 1,355 | ||||||
0.450%, VAR United States Secured Overnight Financing Rate + 0.400%, 11/03/2023 |
705 | 706 | ||||||
0.401%, VAR ICE LIBOR USD 3 Month + 0.270%, 02/22/2023 |
575 | 575 | ||||||
OGE Energy |
||||||||
0.703%, 05/26/2023 |
245 | 245 | ||||||
ONE Gas |
||||||||
0.724%, VAR ICE LIBOR USD 3 Month + 0.610%, 03/11/2023 |
287 | 287 | ||||||
PPL Electric Utilities |
||||||||
0.382%, VAR ICE LIBOR USD 3 Month + 0.250%, 09/28/2023 |
875 | 875 | ||||||
0.379%, VAR United States Secured Overnight Financing Rate + 0.330%, 06/24/2024 |
465 | 465 | ||||||
Southern California Edison |
||||||||
0.879%, VAR United States Secured Overnight Financing Rate + 0.830%, 04/01/2024 |
960 | 963 | ||||||
0.389%, VAR ICE LIBOR USD 3 Month + 0.270%, 12/03/2021 |
1,485 | 1,485 | ||||||
Southern California Gas |
||||||||
0.466%, VAR ICE LIBOR USD 3 Month + 0.350%, 09/14/2023 |
970 | 970 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
CORPORATE OBLIGATIONS (continued) |
|
|||||||
Virginia Electric and Power |
||||||||
3.450%, 09/01/2022 |
$ | 750 | $ | 763 | ||||
|
|
| ||||||
16,184 | ||||||||
|
|
| ||||||
Total Corporate Obligations |
135,375 | |||||||
|
|
| ||||||
ASSET-BACKED SECURITIES 27.8% |
| |||||||
Automotive 13.3% |
| |||||||
American Credit Acceptance Receivables Trust, Ser 2018-2, Cl D |
||||||||
4.070%, 07/10/2024 (A) |
259 | 263 | ||||||
American Credit Acceptance Receivables Trust, Ser 2020-4, Cl A |
||||||||
0.530%, 03/13/2024 (A) |
134 | 134 | ||||||
American Credit Acceptance Receivables Trust, Ser 2021-1, Cl B |
||||||||
0.610%, 03/13/2025 (A) |
1,415 | 1,415 | ||||||
American Credit Acceptance Receivables Trust, Ser 2021-2, Cl B |
||||||||
0.680%, 05/13/2025 (A) |
165 | 165 | ||||||
American Credit Acceptance Receivables Trust, Ser 2021-3, Cl A |
||||||||
0.330%, 06/13/2025 (A) |
149 | 149 | ||||||
American Credit Acceptance Receivables Trust, Ser 2021-3, Cl B |
||||||||
0.660%, 02/13/2026 (A) |
280 | 279 | ||||||
American Credit Acceptance Receivables Trust, Ser 2021-4, Cl A |
||||||||
0.450%, 09/15/2025 (A) |
840 | 840 | ||||||
ARI Fleet Lease Trust, Ser 2020-A, Cl A2 |
||||||||
1.770%, 08/15/2028 (A) |
465 | 467 | ||||||
ARI Fleet Lease Trust, Ser 2020-A, Cl A3 |
||||||||
1.800%, 08/15/2028 (A) |
750 | 759 | ||||||
ARI Fleet Lease Trust, Ser 2021-A, Cl A2 |
||||||||
0.370%, 03/15/2030 (A) |
135 | 135 | ||||||
Avid Automobile Receivables Trust, Ser 2021-1, Cl A |
||||||||
0.610%, 01/15/2025 (A) |
230 | 230 | ||||||
Canadian Pacer Auto Receivables Trust, Ser 2020-1A, Cl A2A |
||||||||
1.770%, 11/21/2022 (A) |
4 | 4 | ||||||
Capital One Prime Auto Receivables Trust, Ser 2020-1, Cl A3 |
||||||||
1.600%, 11/15/2024 |
335 | 338 | ||||||
CarMax Auto Owner Trust, Ser 2017-4, Cl A4 |
||||||||
2.330%, 05/15/2023 |
206 | 206 | ||||||
CarMax Auto Owner Trust, Ser 2018-2, Cl C |
||||||||
3.570%, 12/15/2023 |
400 | 407 |
6 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
Carmax Auto Owner Trust, Ser 2019-1, Cl A3 |
||||||||
3.050%, 03/15/2024 |
$ | 563 | $ | 569 | ||||
CarMax Auto Owner Trust, Ser 2020-1, Cl A2 |
||||||||
1.870%, 04/17/2023 |
20 | 20 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N1, Cl A |
||||||||
0.700%, 01/10/2028 |
309 | 308 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N2, Cl A1 |
||||||||
0.320%, 03/10/2028 |
76 | 76 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N2, Cl B |
||||||||
0.750%, 03/10/2028 |
220 | 219 | ||||||
Carvana Auto Receivables Trust, Ser 2021-N3, Cl B |
||||||||
0.660%, 06/12/2028 |
875 | 873 | ||||||
Carvana Auto Receivables Trust, Ser 2021-P3, Cl A2 |
||||||||
0.380%, 01/10/2025 |
251 | 251 | ||||||
Chesapeake Funding II LLC, Ser 2018-3A, Cl A1 |
||||||||
3.390%, 01/15/2031 (A) |
115 | 117 | ||||||
Chesapeake Funding II LLC, Ser 2019-2A, Cl A1 |
||||||||
1.950%, 09/15/2031 (A) |
446 | 450 | ||||||
Chesapeake Funding II LLC, Ser 2021-1A, Cl A2 |
||||||||
0.320%, VAR ICE LIBOR USD 1 Month + 0.230%, 04/15/2033 (A) |
247 | 247 | ||||||
CPS Auto Receivables Trust, Ser 2020-C, Cl A |
||||||||
0.630%, 03/15/2024 (A) |
44 | 44 | ||||||
CPS Auto Receivables Trust, Ser 2021-A, Cl A |
||||||||
0.350%, 01/16/2024 (A) |
415 | 415 | ||||||
CPS Auto Receivables Trust, Ser 2021-A, Cl B |
||||||||
0.610%, 02/18/2025 (A) |
390 | 390 | ||||||
CPS Auto Receivables Trust, Ser 2021-B, Cl A |
||||||||
0.370%, 03/17/2025 (A) |
133 | 133 | ||||||
CPS Auto Receivables Trust, Ser 2021-B, Cl B |
||||||||
0.810%, 12/15/2025 (A) |
455 | 455 | ||||||
CPS Auto Receivables Trust, Ser 2021-C, Cl B |
||||||||
0.840%, 07/15/2025 (A) |
900 | 897 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2019-3A, Cl A |
||||||||
2.380%, 11/15/2028 (A) |
1,525 | 1,544 | ||||||
Credit Acceptance Auto Loan Trust, Ser 2020-1A, Cl A |
||||||||
2.010%, 02/15/2029 (A) |
900 | 911 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
Credit Acceptance Auto Loan Trust, Ser 2021-3A, Cl A |
||||||||
1.000%, 05/15/2030 (A) |
$ | 250 | $ | 249 | ||||
Donlen Fleet Lease Funding 2 LLC, Ser 2021-2, Cl A1 |
||||||||
0.414%, VAR ICE LIBOR USD 1 Month + 0.330%, 12/11/2034 (A) |
535 | 536 | ||||||
Donlen Fleet Lease Funding 2 LLC, Ser 2021-2, Cl A2 |
||||||||
0.560%, 12/11/2034 (A) |
410 | 410 | ||||||
Drive Auto Receivables Trust, Ser 2017-3, Cl D |
||||||||
3.530%, 12/15/2023 (A) |
74 | 74 | ||||||
Drive Auto Receivables Trust, Ser 2018-2, Cl D |
||||||||
4.140%, 08/15/2024 |
143 | 146 | ||||||
Drive Auto Receivables Trust, Ser 2021-1, Cl B |
||||||||
0.650%, 07/15/2025 |
160 | 160 | ||||||
DT Auto Owner Trust, Ser 2019-2A, Cl C |
||||||||
3.180%, 02/18/2025 (A) |
368 | 371 | ||||||
DT Auto Owner Trust, Ser 2019-4A, Cl B |
||||||||
2.360%, 01/16/2024 (A) |
284 | 285 | ||||||
DT Auto Owner Trust, Ser 2020-1A, Cl A |
||||||||
1.940%, 09/15/2023 (A) |
2 | 2 | ||||||
DT Auto Owner Trust, Ser 2020-2A, Cl A |
||||||||
1.140%, 01/16/2024 (A) |
103 | 103 | ||||||
DT Auto Owner Trust, Ser 2020-2A, Cl B |
||||||||
2.080%, 03/16/2026 (A) |
680 | 687 | ||||||
DT Auto Owner Trust, Ser 2020-3A, Cl B |
||||||||
0.910%, 12/16/2024 (A) |
915 | 918 | ||||||
DT Auto Owner Trust, Ser 2021-1A, Cl A |
||||||||
0.350%, 01/15/2025 (A) |
506 | 506 | ||||||
DT Auto Owner Trust, Ser 2021-1A, Cl B |
||||||||
0.620%, 09/15/2025 (A) |
460 | 460 | ||||||
DT Auto Owner Trust, Ser 2021-2A, Cl A |
||||||||
0.410%, 03/17/2025 (A) |
231 | 231 | ||||||
DT Auto Owner Trust, Ser 2021-2A, Cl B |
||||||||
0.810%, 01/15/2027 (A) |
220 | 220 | ||||||
DT Auto Owner Trust, Ser 2021-3A, Cl A |
||||||||
0.330%, 04/15/2025 (A) |
598 | 597 | ||||||
Enterprise Fleet Financing LLC, Ser 2019-1, Cl A2 |
||||||||
2.980%, 10/20/2024 (A) |
151 | 152 | ||||||
Enterprise Fleet Financing LLC, Ser 2019-2, Cl A2 |
||||||||
2.290%, 02/20/2025 (A) |
225 | 227 | ||||||
Enterprise Fleet Financing LLC, Ser 2019-3, Cl A2 |
||||||||
2.060%, 05/20/2025 (A) |
400 | 404 |
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 7 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
Enterprise Fleet Financing LLC, Ser 2020-1, Cl A2 |
||||||||
1.780%, 12/22/2025 (A) |
$ | 792 | $ | 799 | ||||
Enterprise Fleet Financing LLC, Ser 2021-2, Cl A2 |
||||||||
0.480%, 05/20/2027 (A) |
250 | 248 | ||||||
Enterprise Fleet Funding LLC, Ser 2021-1, Cl A2 |
||||||||
0.440%, 12/21/2026 (A) |
980 | 977 | ||||||
Exeter Automobile Receivables Trust, Ser 2018-1A, Cl D |
||||||||
3.530%, 11/15/2023 (A) |
411 | 418 | ||||||
Exeter Automobile Receivables Trust, Ser 2018-3A, Cl D |
||||||||
4.350%, 06/17/2024 (A) |
374 | 381 | ||||||
Exeter Automobile Receivables Trust, Ser 2021-1A, Cl B |
||||||||
0.500%, 02/18/2025 |
695 | 695 | ||||||
Exeter Automobile Receivables Trust, Ser 2021-2A, Cl B |
||||||||
0.570%, 09/15/2025 |
570 | 569 | ||||||
FHF Trust, Ser 2021-2A, Cl A |
||||||||
0.830%, 12/15/2026 (A) |
249 | 248 | ||||||
First Investors Auto Owner Trust, Ser 2019-2A, Cl A |
||||||||
2.210%, 09/16/2024 (A) |
64 | 65 | ||||||
First Investors Auto Owner Trust, Ser 2021-1A, Cl A |
||||||||
0.450%, 03/16/2026 (A) |
1,307 | 1,306 | ||||||
Flagship Credit Auto Trust, Ser 2019-2, Cl A |
||||||||
2.830%, 10/16/2023 (A) |
29 | 29 | ||||||
Flagship Credit Auto Trust, Ser 2019-3, Cl A |
||||||||
2.330%, 02/15/2024 (A) |
76 | 76 | ||||||
Flagship Credit Auto Trust, Ser 2019-4, Cl A |
||||||||
2.170%, 06/17/2024 (A) |
105 | 106 | ||||||
Flagship Credit Auto Trust, Ser 2020-1, Cl A |
||||||||
1.900%, 08/15/2024 (A) |
131 | 132 | ||||||
Flagship Credit Auto Trust, Ser 2020-3, Cl A |
||||||||
0.700%, 04/15/2025 (A) |
75 | 75 | ||||||
Flagship Credit Auto Trust, Ser 2020-4, Cl A |
||||||||
0.530%, 04/15/2025 (A) |
446 | 446 | ||||||
Flagship Credit Auto Trust, Ser 2021-1, Cl A |
||||||||
0.310%, 06/16/2025 (A) |
367 | 367 | ||||||
Flagship Credit Auto Trust, Ser 2021-2, Cl A |
||||||||
0.370%, 12/15/2026 (A) |
476 | 475 | ||||||
Flagship Credit Auto Trust, Ser 2021-2, Cl B |
||||||||
0.930%, 06/15/2027 (A) |
285 | 284 | ||||||
Flagship Credit Auto Trust, Ser 2021-3, Cl A |
||||||||
0.360%, 07/15/2027 (A) |
333 | 332 | ||||||
Ford Credit Auto Owner Trust, Ser 2017-2, Cl A |
||||||||
2.360%, 03/15/2029 (A) |
170 | 173 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
Foursight Capital Automobile Receivables Trust, Ser 2021-1, Cl A2 |
||||||||
0.400%, 08/15/2024 (A) |
$ | 424 | $ | 424 | ||||
Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl A2 |
||||||||
0.400%, 04/15/2025 (A) |
255 | 255 | ||||||
Foursight Capital Automobile Receivables Trust, Ser 2021-2, Cl A3 |
||||||||
0.810%, 05/15/2026 (A) |
130 | 129 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2019-4A, Cl A |
||||||||
2.470%, 11/15/2023 (A) |
29 | 29 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2020-1A, Cl A |
||||||||
2.170%, 02/15/2024 (A) |
64 | 64 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2020-3A, Cl A |
||||||||
0.690%, 10/16/2023 (A) |
35 | 35 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2021-1A, Cl B |
||||||||
0.820%, 04/15/2025 (A) |
515 | 516 | ||||||
GLS Auto Receivables Issuer Trust, Ser 2021-3A, Cl A |
||||||||
0.420%, 01/15/2025 (A) |
807 | 807 | ||||||
GLS Auto Receivables Trust, Ser 2021-2A, Cl A |
||||||||
0.310%, 11/15/2024 (A) |
192 | 191 | ||||||
GLS Auto Receivables Trust, Ser 2021-2A, Cl B |
||||||||
0.770%, 09/15/2025 (A) |
390 | 389 | ||||||
GM Financial Consumer Automobile Receivables Trust, Ser 2018-4, Cl A3 |
||||||||
3.210%, 10/16/2023 |
137 | 138 | ||||||
JPMorgan Chase Bank, Ser 2020-1, Cl B |
||||||||
0.991%, 01/25/2028 (A) |
477 | 478 | ||||||
JPMorgan Chase Bank, Ser 2020-2, Cl B |
||||||||
0.840%, 02/25/2028 (A) |
970 | 970 | ||||||
Lendbuzz Securitization Trust, Ser 2021-1A, Cl A |
||||||||
1.460%, 06/15/2026 (A) |
875 | 875 | ||||||
Mercedes-Benz Auto Lease Trust, Ser 2020-B, Cl A3 |
||||||||
0.400%, 11/15/2023 |
490 | 490 | ||||||
NextGear Floorplan Master Owner Trust, |
||||||||
0.890%, VAR ICE LIBOR USD 1 Month + 0.800%, 02/15/2025 (A) |
1,635 | 1,647 | ||||||
Prestige Auto Receivables Trust, Ser 2020-1A, Cl A2 |
||||||||
0.520%, 02/15/2024 (A) |
200 | 200 |
8 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
Santander Consumer Auto Receivables Trust, Ser 2020-AA, Cl A |
||||||||
1.370%, 10/15/2024 (A) |
$ | 72 | $ | 72 | ||||
Santander Drive Auto Receivables Trust, Ser 2019-3, Cl C |
||||||||
2.490%, 10/15/2025 |
260 | 261 | ||||||
Santander Drive Auto Receivables Trust, Ser 2020-2, Cl C |
||||||||
1.460%, 09/15/2025 |
100 | 101 | ||||||
Santander Drive Auto Receivables Trust, Ser 2020-3, Cl A3 |
||||||||
0.520%, 07/15/2024 |
372 | 372 | ||||||
Santander Drive Auto Receivables Trust, Ser 2020-4, Cl C |
||||||||
1.010%, 01/15/2026 |
275 | 276 | ||||||
Santander Drive Auto Receivables Trust, Ser 2021-2, Cl B |
||||||||
0.590%, 09/15/2025 |
185 | 185 | ||||||
Santander Drive Auto Receivables Trust, Ser 2021-3, Cl B |
||||||||
0.600%, 12/15/2025 |
235 | 234 | ||||||
Santander Retail Auto Lease Trust, Ser 2021-B, Cl A2 |
||||||||
0.310%, 01/22/2024 (A) |
435 | 435 | ||||||
Securitized Term Auto Receivables Trust, Ser 2019-1A, Cl A3 |
||||||||
2.986%, 02/27/2023 (A) |
85 | 85 | ||||||
Tesla Auto Lease Trust, Ser 2019-A, Cl A2 |
||||||||
2.130%, 04/20/2022 (A) |
128 | 128 | ||||||
Tesla Auto Lease Trust, Ser 2020-A, Cl A2 |
||||||||
0.550%, 05/22/2023 (A) |
283 | 283 | ||||||
Tidewater Auto Receivables Trust, Ser 2020-AA, Cl A2 |
||||||||
1.390%, 08/15/2024 (A) |
192 | 192 | ||||||
Tidewater Auto Receivables Trust, Ser 2020-AA, Cl B |
||||||||
1.610%, 03/17/2025 (A) |
1,290 | 1,299 | ||||||
Tricolor Auto Securitization Trust, Ser 2021-1A, Cl A |
||||||||
0.740%, 04/15/2024 (A) |
394 | 394 | ||||||
UNIFY Auto Receivables Trust, Ser 2021-1A, Cl A2 |
||||||||
0.390%, 02/15/2024 (A) |
400 | 400 | ||||||
United Auto Credit Securitization Trust, Ser 2021-1, Cl B |
||||||||
0.680%, 03/11/2024 (A) |
825 | 826 | ||||||
Westlake Automobile Receivables Trust, Ser 2018-3A, Cl D |
||||||||
4.000%, 10/16/2023 (A) |
570 | 575 | ||||||
Westlake Automobile Receivables Trust, Ser 2019-2A, Cl C |
||||||||
2.840%, 07/15/2024 (A) |
565 | 569 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
Westlake Automobile Receivables Trust, Ser 2019-3A, Cl B |
||||||||
2.410%, 10/15/2024 (A) |
$ | 925 | $ | 928 | ||||
Westlake Automobile Receivables Trust, Ser 2020-3A, Cl A2 |
||||||||
0.560%, 05/15/2024 (A) |
699 | 700 | ||||||
Westlake Automobile Receivables Trust, Ser 2021-1A, Cl B |
||||||||
0.640%, 03/16/2026 (A) |
400 | 400 | ||||||
Westlake Automobile Receivables Trust, Ser 2021-2A, Cl A2A |
||||||||
0.320%, 04/15/2025 (A) |
285 | 285 | ||||||
Westlake Automobile Receivables Trust, Ser 2021-2A, Cl B |
||||||||
0.620%, 07/15/2026 (A) |
220 | 219 | ||||||
Wheels SPV 2 LLC, Ser 2021-1A, Cl A |
||||||||
0.366%, VAR ICE LIBOR USD 1 Month + 0.280%, 08/20/2029 (A) |
902 | 903 | ||||||
World Omni Auto Receivables Trust, Ser 2020-B, Cl A2A |
||||||||
0.550%, 07/17/2023 |
266 | 266 | ||||||
|
|
| ||||||
46,674 | ||||||||
|
|
| ||||||
Credit Card 0.4% |
|
|||||||
Capital One Multi-Asset Execution Trust, Ser 2019-A2, Cl A2 |
||||||||
1.720%, 08/15/2024 |
136 | 137 | ||||||
Mercury Financial Credit Card Master Trust, Ser 2021-1A, Cl A |
||||||||
1.540%, 03/20/2026 |
510 | 511 | ||||||
Synchrony Card Funding LLC, Ser 2019-A1, Cl A |
||||||||
2.950%, 03/15/2025 |
670 | 677 | ||||||
|
|
| ||||||
1,325 | ||||||||
|
|
| ||||||
Miscellaneous Business Services 14.0% |
|
|||||||
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A |
||||||||
0.769%, VAR ICE LIBOR USD 1 Month + 0.680%, 01/25/2035 |
43 | 43 | ||||||
Affirm Asset Securitization Trust, Ser 2020-Z1, Cl A |
||||||||
3.460%, 10/15/2024 (A) |
95 | 96 | ||||||
Affirm Asset Securitization Trust, Ser 2020-Z2, Cl A |
||||||||
1.900%, 01/15/2025 (A) |
250 | 252 | ||||||
Affirm Asset Securitization Trust, Ser 2021-A, Cl A |
||||||||
0.880%, 08/15/2025 |
130 | 130 | ||||||
Affirm Asset Securitization Trust, Ser 2021-B, Cl A |
||||||||
1.030%, 08/17/2026 (A) |
355 | 353 |
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 9 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
Affirm Asset Securitization Trust, Ser 2021-Z1, Cl A |
||||||||
1.070%, 08/15/2025 (A) |
$ | 347 | $ | 348 | ||||
Amur Equipment Finance Receivables IX LLC, Ser 2021-1A, Cl A2 |
||||||||
0.750%, 11/20/2026 (A) |
428 | 427 | ||||||
Apidos CLO XII, Ser 2018-12A, Cl AR |
||||||||
1.204%, VAR ICE LIBOR USD 3 Month + 1.080%, 04/15/2031 (A) |
600 | 601 | ||||||
Apidos CLO XV, Ser 2018-15A, Cl A1RR |
||||||||
1.142%, VAR ICE LIBOR USD 3 Month + 1.010%, 04/20/2031 (A) |
530 | 530 | ||||||
Aqua Finance Trust, Ser 2021-A, Cl A |
||||||||
1.540%, 07/17/2046 |
280 | 279 | ||||||
Avant Loans Funding Trust, Ser 2021-REV1, Cl A |
||||||||
1.210%, 07/15/2030 (A) |
275 | 274 | ||||||
Barings CLO, Ser 2018-3A, Cl A1 |
||||||||
1.082%, VAR ICE LIBOR USD 3 Month + 0.950%, 07/20/2029 (A) |
322 | 322 | ||||||
Bayview Opportunity Master Fund IVb Trust, Ser 2017-RT6, Cl A |
||||||||
3.500%, 10/28/2057 (A)(B) |
176 | 177 | ||||||
Benefit Street Partners CLO X, Ser 2021-10A, Cl X |
||||||||
0.732%, VAR ICE LIBOR USD 3 Month + 0.600%, 04/20/2034 (A) |
206 | 206 | ||||||
Benefit Street Partners CLO XII, Ser 2021-12A, Cl A1R |
||||||||
1.074%, VAR ICE LIBOR USD 3 Month + 0.950%, 10/15/2030 (A) |
600 | 600 | ||||||
Carbone CLO, Ser 2017-1A, Cl A1 |
||||||||
1.272%, VAR ICE LIBOR USD 3 Month + 1.140%, 01/20/2031 (A) |
250 | 250 | ||||||
Carlyle Global Market Strategies CLO, Ser 2018-1A, Cl A1R2 |
||||||||
1.092%, VAR ICE LIBOR USD 3 Month + 0.970%, 04/17/2031 (A) |
648 | 648 | ||||||
Carlyle Global Market Strategies CLO, Ser 2021-1A, Cl AR3 |
||||||||
1.000%, VAR ICE LIBOR USD 3 Month + 0.980%, 07/20/2031 (A) |
775 | 775 | ||||||
CCG Receivables Trust, Ser 2021-1, Cl A2 |
||||||||
0.300%, 06/14/2027 (A) |
282 | 282 | ||||||
CIFC Funding, Ser 2017-1A, Cl ARR |
||||||||
1.238%, VAR ICE LIBOR USD 3 Month + 1.110%, 01/22/2031 (A) |
325 | 325 | ||||||
CIFC Funding, Ser 2018-2A, Cl A1 |
||||||||
1.172%, VAR ICE LIBOR USD 3 Month + 1.040%, 04/20/2031 (A) |
300 | 300 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
CIFC Funding, Ser 2018-3A, Cl AR |
||||||||
0.994%, VAR ICE LIBOR USD 3 Month + 0.870%, 04/19/2029 (A) |
$ | 372 | $ | 372 | ||||
Cloud Pass-Through Trust, Ser 2019-1A, Cl CLOU |
||||||||
3.554%, 12/05/2022 (A)(B) |
30 | 30 | ||||||
CNH Equipment Trust, Ser 2019-A, Cl A3 |
||||||||
3.010%, 04/15/2024 |
94 | 95 | ||||||
CNH Equipment Trust, Ser 2020-A, Cl A2 |
||||||||
1.080%, 07/17/2023 |
49 | 49 | ||||||
Columbia Cent CLO 27, Ser 2018-27A, Cl A1 |
||||||||
1.274%, VAR ICE LIBOR USD 3 Month + 1.150%, 10/25/2028 (A) |
465 | 465 | ||||||
Conns Receivables Funding LLC, Ser 2020-A, Cl A |
||||||||
1.710%, 06/16/2025 (A) |
69 | 70 | ||||||
Consumer Loan Underlying Bond CLUB Credit Trust, Ser 2020-P1, Cl A |
||||||||
2.260%, 03/15/2028 (A) |
28 | 28 | ||||||
Crossroads Asset Trust, Ser 2021-A, Cl A2 |
||||||||
0.820%, 03/20/2024 (A) |
336 | 336 | ||||||
Dewolf Park CLO, Ser 2021-1A, Cl AR |
||||||||
1.044%, VAR ICE LIBOR USD 3 Month + 0.920%, 10/15/2030 (A) |
600 | 600 | ||||||
DLLMT LLC, Ser 2021-1A, Cl A2 |
||||||||
0.600%, 03/20/2024 (A) |
325 | 325 | ||||||
FCI Funding LLC, Ser 2021-1A, Cl A |
||||||||
1.130%, 04/15/2033 (A) |
161 | 161 | ||||||
Ford Credit Floorplan Master Owner Trust A, Ser 2019-2, Cl B |
||||||||
3.250%, 04/15/2026 |
400 | 421 | ||||||
FREED ABS Trust, Ser 2021-3FP, Cl A |
||||||||
0.620%, 11/20/2028 (A) |
170 | 170 | ||||||
Galaxy XV CLO, Ser 2021-15A, Cl ARR |
||||||||
1.094%, VAR ICE LIBOR USD 3 Month + 0.970%, 10/15/2030 (A) |
500 | 500 | ||||||
Galaxy XXIII CLO, Ser 2021-23A, Cl AR |
||||||||
0.994%, VAR ICE LIBOR USD 3 Month + 0.870%, 04/24/2029 (A) |
619 | 620 | ||||||
Goldentree Loan Management US CLO 2, Ser 2021-2A, Cl AR |
||||||||
0.000%, (A)(C) |
400 | 400 | ||||||
GreatAmerica Leasing Receivables Funding LLC, Ser 2021-2, Cl A2 |
||||||||
0.380%, 03/15/2024 (A) |
390 | 389 | ||||||
Hilton Grand Vacations Trust, Ser 2020-AA, Cl A |
||||||||
2.740%, 02/25/2039 (A) |
137 | 141 | ||||||
Home Partners of America Trust, Ser 2017-1, Cl B |
||||||||
1.436%, VAR ICE LIBOR USD 1 Month + 1.350%, 07/17/2034 (A) |
625 | 625 |
10 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
Home Partners of America Trust, Ser 2018-1, Cl A |
||||||||
0.986%, VAR ICE LIBOR USD 1 Month + 0.900%, 07/17/2037 (A) |
$ | 479 | $ | 479 | ||||
HPEFS Equipment Trust, Ser 2020-1A, Cl A2 |
||||||||
1.730%, 02/20/2030 (A) |
26 | 26 | ||||||
HPEFS Equipment Trust, Ser 2021-2A, Cl B |
||||||||
0.610%, 09/20/2028 (A) |
225 | 223 | ||||||
HPS Loan Management, Ser 2021-19, Cl XR |
||||||||
0.724%, VAR ICE LIBOR USD 3 Month + 0.600%, 01/25/2034 (A) |
307 | 307 | ||||||
KKR CLO 11, Ser 2017-11, Cl AR |
||||||||
1.304%, VAR ICE LIBOR USD 3 Month + 1.180%, 01/15/2031 (A) |
325 | 325 | ||||||
KKR CLO 21, Ser 2018-21, Cl A |
||||||||
1.124%, VAR ICE LIBOR USD 3 Month + 1.000%, 04/15/2031 (A) |
465 | 465 | ||||||
Kubota Credit Owner Trust, Ser 2020-2A, Cl A2 |
||||||||
0.410%, 06/15/2023 (A) |
148 | 148 | ||||||
LCM XXIII, Ser 2020-23A, Cl A1R |
||||||||
1.202%, VAR ICE LIBOR USD 3 Month + 1.070%, 10/20/2029 (A) |
545 | 545 | ||||||
LCM XXIV, Ser 2021-24A, Cl AR |
||||||||
1.112%, VAR ICE LIBOR USD 3 Month + 0.980%, 03/20/2030 (A) |
540 | 541 | ||||||
Madison Park Funding XVII, Ser 2021-17A, Cl AR2 |
||||||||
1.130%, VAR ICE LIBOR USD 3 Month + 1.000%, 07/21/2030 (A) |
500 | 501 | ||||||
Madison Park Funding XXX, Ser 2018-30A, Cl A |
||||||||
0.874%, VAR ICE LIBOR USD 3 Month + 0.750%, 04/15/2029 (A) |
870 | 871 | ||||||
Magnetite VII, Ser 2018-7A, Cl A1R2 |
||||||||
0.924%, VAR ICE LIBOR USD 3 Month + 0.800%, 01/15/2028 (A) |
784 | 785 | ||||||
Magnetite VIII, Ser 2018-8A, Cl AR2 |
||||||||
1.104%, VAR ICE LIBOR USD 3 Month + 0.980%, 04/15/2031 (A) |
685 | 685 | ||||||
Marlette Funding Trust, Ser 2019-4A, Cl A |
||||||||
2.390%, 12/17/2029 (A) |
55 | 55 | ||||||
Marlette Funding Trust, Ser 2021-1A, Cl A |
||||||||
0.600%, 06/16/2031 (A) |
94 | 94 | ||||||
Marlette Funding Trust, Ser 2021-2A, Cl A |
||||||||
0.510%, 09/15/2031 (A) |
190 | 190 | ||||||
Marlette Funding Trust, Ser 2021-3A, Cl A |
||||||||
0.650%, 12/15/2031 (A) |
295 | 295 | ||||||
Metlife Securitization Trust, Ser 2017-1A, Cl A |
||||||||
3.000%, 04/25/2055 (A)(B) |
83 | 85 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
Mill City Mortgage Loan Trust, Ser 2017-3, Cl A1 |
||||||||
2.750%, 01/25/2061 (A)(B) |
$ | 156 | $ | 158 | ||||
Mill City Mortgage Loan Trust, Ser 2018-1, Cl A1 |
||||||||
3.250%, 05/25/2062 (A)(B) |
88 | 89 | ||||||
MMAF Equipment Finance LLC, Ser 2019-A, Cl A3 |
||||||||
2.840%, 11/13/2023 (A) |
99 | 100 | ||||||
MMAF Equipment Finance LLC, Ser 2019-B, Cl A2 |
||||||||
2.070%, 10/12/2022 (A) |
21 | 21 | ||||||
MMAF Equipment Finance LLC, Ser 2020-BA, Cl A2 |
||||||||
0.380%, 08/14/2023 (A) |
537 | 537 | ||||||
Navient Private Education Refi Loan Trust, Ser 2020-CA, Cl A1 |
||||||||
0.840%, VAR ICE LIBOR USD 1 Month + 0.750%, 11/15/2068 (A) |
299 | 299 | ||||||
Navient Private Education Refi Loan Trust, Ser 2020-DA, Cl A |
||||||||
1.690%, 05/15/2069 (A) |
698 | 703 | ||||||
Navient Private Education Refi Loan Trust, Ser 2021-A, Cl A |
||||||||
0.840%, 05/15/2069 (A) |
278 | 276 | ||||||
Navient Student Loan Trust, Ser 2018-1A, Cl A2 |
||||||||
0.439%, VAR ICE LIBOR USD 1 Month + 0.350%, 03/25/2067 (A) |
226 | 226 | ||||||
Neuberger Berman Loan Advisers CLO 25, Ser 2021-25A, Cl AR |
||||||||
1.052%, VAR ICE LIBOR USD 3 Month + 0.930%, 10/18/2029 (A) |
910 | 912 | ||||||
Neuberger Berman Loan Advisers CLO 26, Ser 2021-26A, Cl AR |
||||||||
1.065%, 10/18/2030 (A) |
600 | 600 | ||||||
New Residential Mortgage LLC, Ser 2018-FNT1, Cl A |
||||||||
3.610%, 05/25/2023 (A) |
164 | 164 | ||||||
New Residential Mortgage LLC, Ser 2018-FNT2, Cl A |
||||||||
3.790%, 07/25/2054 |
113 | 113 | ||||||
NextGear Floorplan Master Owner Trust, Ser 2019-1A, Cl A1 |
||||||||
0.740%, VAR ICE LIBOR USD 1 Month + 0.650%, 02/15/2024 (A) |
770 | 771 | ||||||
Nissan Master Owner Trust Receivables, Ser 2019-A, Cl A |
||||||||
0.650%, VAR ICE LIBOR USD 1 Month + 0.560%, 02/15/2024 |
1,520 | 1,522 | ||||||
NYCTL Trust, Ser 2019-A, Cl A |
||||||||
2.190%, 11/10/2032 (A) |
135 | 134 |
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
OCP CLO, Ser 2018-5A, Cl A1R |
||||||||
1.205%, VAR ICE LIBOR USD 3 Month + 1.080%, 04/26/2031 (A) |
$ | 135 | $ | 135 | ||||
Octagon Investment Partners XVI, Ser 2018-1A, Cl A1R |
||||||||
1.142%, VAR ICE LIBOR USD 3 Month + 1.020%, 07/17/2030 (A) |
250 | 250 | ||||||
Octagon Investment Partners XXI, Ser 2021- 1A, Cl XR3 |
||||||||
0.775%, VAR ICE LIBOR USD 3 Month + 0.650%, 02/14/2031 (A) |
150 | 150 | ||||||
Onemain Financial Issuance Trust, Ser 2018-1A, Cl A |
||||||||
3.300%, 03/14/2029 (A) |
109 | 109 | ||||||
OneMain Financial Issuance Trust, Ser 2019-1A, Cl A |
||||||||
3.480%, 02/14/2031 (A) |
186 | 186 | ||||||
OZLM VII, Ser 2018-7RA, Cl A1R |
||||||||
1.132%, VAR ICE LIBOR USD 3 Month + 1.010%, 07/17/2029 (A) |
535 | 535 | ||||||
OZLM VIII, Ser 2018-8A, Cl A1RR |
||||||||
1.292%, VAR ICE LIBOR USD 3 Month + 1.170%, 10/17/2029 (A) |
744 | 744 | ||||||
OZLM XII, Ser 2018-12A, Cl A1R |
||||||||
1.182%, VAR ICE LIBOR USD 3 Month + 1.050%, 04/30/2027 (A) |
122 | 122 | ||||||
Palmer Square Loan Funding, Ser 2021-3A, Cl A1 |
||||||||
0.971%, VAR ICE LIBOR USD 3 Month + 0.800%, 07/20/2029 (A) |
605 | 605 | ||||||
Palmer Square Loan Funding, Ser 2021-4A, Cl A1 |
||||||||
0.000%, 10/15/2029 (A)(C) |
850 | 850 | ||||||
PFS Financing, Ser 2020-B, Cl A |
||||||||
1.210%, 06/15/2024 (A) |
1,235 | 1,242 | ||||||
PFS Financing, Ser 2020-F, Cl A |
||||||||
0.930%, 08/15/2024 (A) |
1,375 | 1,381 | ||||||
PFS Financing, Ser 2020-G, Cl A |
||||||||
0.970%, 02/15/2026 (A) |
750 | 749 | ||||||
Regional Management Issuance Trust, Ser 2019-1, Cl A |
||||||||
3.050%, 11/15/2028 (A) |
115 | 116 | ||||||
SCF Equipment Leasing LLC, Ser 2020-1A, Cl A2 |
||||||||
0.680%, 10/20/2025 (A) |
345 | 345 | ||||||
SCF Equipment Leasing LLC, Ser 2021-1A, Cl A2 |
||||||||
0.420%, 08/20/2026 (A) |
766 | 765 | ||||||
Sequoia Infrastructure Funding I, Ser 2021- 1A, Cl A |
||||||||
1.524%, VAR ICE LIBOR USD 3 Month + 1.400%, 04/15/2031 (A) |
753 | 753 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
Shackleton, Ser 2018-6RA, Cl A |
||||||||
1.142%, VAR ICE LIBOR USD 3 Month + 1.020%, 07/17/2028 (A) |
$ | 358 | $ | 358 | ||||
Sierra Timeshare Conduit Receivables Funding LLC, Ser 2017-1A, Cl A |
||||||||
2.910%, 03/20/2034 (A) |
782 | 785 | ||||||
SMB Private Education Loan Trust, Ser 2021-A, Cl A1 |
||||||||
0.584%, VAR ICE LIBOR USD 1 Month + 0.500%, 01/15/2053 (A) |
715 | 715 | ||||||
SoFi Consumer Loan Program, Ser 2019-3, Cl A |
||||||||
2.900%, 05/25/2028 (A) |
1 | 1 | ||||||
SoFi Consumer Loan Program, Ser 2019-4, Cl A |
||||||||
2.450%, 08/25/2028 (A) |
126 | 127 | ||||||
SoFi Consumer Loan Program, Ser 2020-1, Cl A |
||||||||
2.020%, 01/25/2029 (A) |
179 | 180 | ||||||
SoFi Consumer Loan Program, Ser 2021-1, Cl A |
||||||||
0.490%, 09/25/2030 (A) |
415 | 414 | ||||||
SoFi Professional Loan Program, Ser 2020- A, Cl A1FX |
||||||||
2.060%, 05/15/2046 (A) |
91 | 91 | ||||||
Structured Asset Investment Loan Trust, Ser 2005-6, Cl M2 |
||||||||
0.869%, VAR ICE LIBOR USD 1 Month + 0.780%, 07/25/2035 |
345 | 346 | ||||||
Symphony CLO XIV, Ser 2019-14A, Cl AR |
||||||||
1.077%, VAR ICE LIBOR USD 3 Month + 0.950%, 07/14/2026 (A) |
271 | 272 | ||||||
Symphony CLO XVIII, Ser 2021-18A, Cl X |
||||||||
0.879%, 07/23/2033 (A) |
413 | 412 | ||||||
Symphony Static CLO I, Ser 2021-1A, Cl A |
||||||||
0.959%, 10/25/2029 (A) |
555 | 555 | ||||||
Towd Point Mortgage Trust, Ser 2016-3, Cl A1 |
||||||||
2.250%, 04/25/2056 (A)(B) |
15 | 15 | ||||||
Towd Point Mortgage Trust, Ser 2016-4, Cl A1 |
||||||||
2.250%, 07/25/2056 (A)(B) |
55 | 55 | ||||||
Towd Point Mortgage Trust, Ser 2017-1, Cl A1 |
||||||||
2.750%, 10/25/2056 (A)(B) |
362 | 366 | ||||||
Towd Point Mortgage Trust, Ser 2017-2, Cl A1 |
||||||||
2.750%, 04/25/2057 (A)(B) |
362 | 366 | ||||||
Towd Point Mortgage Trust, Ser 2017-4, Cl A1 |
||||||||
2.750%, 06/25/2057 (A)(B) |
244 | 248 |
12 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
Towd Point Mortgage Trust, Ser 2017-5, Cl A1 |
||||||||
0.689%, VAR ICE LIBOR USD 1 Month + 0.600%, 02/25/2057 (A) |
$ | 238 | $ | 238 | ||||
Towd Point Mortgage Trust, Ser 2017-6, Cl A1 |
||||||||
2.750%, 10/25/2057 (A)(B) |
99 | 101 | ||||||
Towd Point Mortgage Trust, Ser 2018-1, Cl A1 |
||||||||
3.000%, 01/25/2058 (A)(B) |
69 | 70 | ||||||
Towd Point Mortgage Trust, Ser 2019-HY2, Cl A1 |
||||||||
1.089%, VAR ICE LIBOR USD 1 Month + 1.000%, 05/25/2058 (A) |
356 | 359 | ||||||
Towd Point Mortgage Trust, Ser 2019-HY3, Cl A1A |
||||||||
1.089%, VAR ICE LIBOR USD 1 Month + 1.000%, 10/25/2059 (A) |
195 | 197 | ||||||
Treman Park CLO, Ser 2018-1A, Cl ARR |
||||||||
1.202%, VAR ICE LIBOR USD 3 Month + 1.070%, 10/20/2028 (A) |
322 | 322 | ||||||
Tryon Park CLO, Ser 2018-1A, Cl A1SR |
||||||||
1.014%, VAR ICE LIBOR USD 3 Month + 0.890%, 04/15/2029 (A) |
792 | 793 | ||||||
Upstart Securitization Trust, Ser 2020-3, Cl A |
||||||||
1.702%, 11/20/2030 (A) |
312 | 313 | ||||||
Upstart Securitization Trust, Ser 2021-2, Cl A |
||||||||
0.910%, 06/20/2031 (A) |
450 | 450 | ||||||
Upstart Securitization Trust, Ser 2021-4, Cl A |
||||||||
0.840%, 09/20/2031 (A) |
565 | 563 | ||||||
Verizon Owner Trust, Ser 2019-C, Cl A1A |
||||||||
1.940%, 04/22/2024 |
95 | 96 | ||||||
Verizon Owner Trust, Ser 2020-B, Cl A |
||||||||
0.470%, 02/20/2025 |
545 | 545 | ||||||
Verizon Owner Trust, Ser 2020-C, Cl A |
||||||||
0.410%, 04/21/2025 |
175 | 175 | ||||||
Vibrant CLO VI, Ser 2021-6A, Cl AR |
||||||||
1.072%, VAR ICE LIBOR USD 3 Month + 0.950%, 06/20/2029 (A) |
500 | 500 | ||||||
Voya CLO, Ser 2018-2A, Cl A1R |
||||||||
1.094%, VAR ICE LIBOR USD 3 Month + 0.970%, 04/25/2031 (A) |
475 | 476 | ||||||
Voya CLO, Ser 2018-2A, Cl AR |
||||||||
1.094%, VAR ICE LIBOR USD 3 Month + 0.970%, 07/23/2027 (A) |
547 | 546 | ||||||
Voya CLO, Ser 2020-1A, Cl AR |
||||||||
1.184%, VAR ICE LIBOR USD 3 Month + 1.060%, 04/15/2031 (A) |
575 | 576 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
ASSET-BACKED SECURITIES (continued) |
|
|||||||
Voya CLO, Ser 2020-2A, Cl A1RR |
||||||||
1.142%, VAR ICE LIBOR USD 3 Month + 1.020%, 04/17/2030 (A) |
$ | 497 | $ | 497 | ||||
Voya CLO, Ser 2021-1A, Cl A1R |
||||||||
1.072%, VAR ICE LIBOR USD 3 Month + 0.950%, 04/17/2030 (A) |
460 | 460 | ||||||
Voya CLO, Ser 2021-2A, Cl A1R |
||||||||
1.104%, VAR ICE LIBOR USD 3 Month + 0.980%, 06/07/2030 (A) |
940 | 940 | ||||||
Z Capital Credit Partners CLO, Ser 2018-1A, Cl A1R |
||||||||
1.072%, VAR ICE LIBOR USD 3 Month + 0.950%, 07/16/2027 (A) |
30 | 30 | ||||||
|
|
| ||||||
48,850 | ||||||||
|
|
| ||||||
Mortgage Related 0.1% |
| |||||||
Asset Backed Securities Home Equity Loan Trust, Ser 2006-HE1, Cl A4 |
||||||||
0.689%, VAR ICE LIBOR USD 1 Month + 0.600%, 01/25/2036 |
461 | 461 | ||||||
|
|
| ||||||
Total Asset-Backed Securities |
97,310 | |||||||
|
|
| ||||||
MORTGAGE-BACKED SECURITIES 15.6% |
|
|||||||
Agency Mortgage-Backed Obligations 1.7% |
|
|||||||
FHLMC |
||||||||
2.090%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.031% |
8 | 8 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K037, Cl A1 |
||||||||
2.592%, 04/25/2023 |
211 | 214 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KPLB, Cl A |
||||||||
2.770%, 05/25/2025 |
300 | 317 | ||||||
FHLMC REMIC, Ser 2013-4159, Cl LA |
||||||||
3.500%, 02/15/2040 |
45 | 45 | ||||||
FHLMC REMIC, Ser 2013-4272, Cl YG |
||||||||
2.000%, 11/15/2026 |
196 | 199 | ||||||
FHLMC REMIC, Ser 2014-4297, Cl CA |
||||||||
3.000%, 12/15/2030 |
100 | 100 | ||||||
FHLMC REMIC, Ser 2014-4379, Cl CB |
||||||||
2.250%, 04/15/2033 |
351 | 359 | ||||||
FHLMC REMIC, Ser 2014-4385, Cl Q |
||||||||
3.000%, 07/15/2039 |
26 | 26 | ||||||
FHLMC REMIC, Ser 2014-4387, Cl DA |
||||||||
3.000%, 01/15/2032 |
188 | 192 | ||||||
FNMA |
||||||||
6.000%, 01/01/2027 |
6 | 7 | ||||||
5.500%, 12/01/2023 to 12/01/2024 |
21 | 20 |
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
5.000%, 02/01/2023 to 03/01/2025 |
$ | 4 | $ | 4 | ||||
3.500%, 08/01/2032 |
430 | 459 | ||||||
3.000%, 10/01/2030 |
154 | 164 | ||||||
3.000%, 12/01/2030 (D) |
579 | 610 | ||||||
2.340%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.215% |
3 | 3 | ||||||
2.016%, VAR ICE LIBOR USD 6 Month + 1.775%, 09/01/2024 |
3 | 3 | ||||||
2.005%, VAR ICE LIBOR USD 6 Month + 1.824%, 09/01/2024 |
6 | 6 | ||||||
FNMA REMIC, Ser 1993-58, Cl H |
||||||||
5.500%, 04/25/2023 |
1 | 1 | ||||||
FNMA REMIC, Ser 2001-33, Cl FA |
||||||||
0.539%, VAR ICE LIBOR USD 1 Month + 0.450%, 07/25/2031 |
3 | 3 | ||||||
FNMA REMIC, Ser 2002-64, Cl FG |
||||||||
0.336%, VAR ICE LIBOR USD 1 Month + 0.250%, 10/18/2032 |
1 | 1 | ||||||
FNMA REMIC, Ser 2011-87, Cl JA |
||||||||
3.000%, 06/25/2040 |
16 | 16 | ||||||
FNMA REMIC, Ser 2012-137, Cl UE |
||||||||
1.750%, 09/25/2041 |
186 | 189 | ||||||
FNMA REMIC, Ser 2013-97, Cl KA |
||||||||
3.000%, 11/25/2031 |
42 | 44 | ||||||
FNMA REMIC, Ser 2015-46, Cl BA |
||||||||
3.000%, 05/25/2041 |
69 | 70 | ||||||
FNMA, Ser 2012-M4, Cl 1A2 |
||||||||
2.976%, 04/25/2022 (B) |
15 | 15 | ||||||
FNMA, Ser 2012-M9, Cl A2 |
||||||||
2.482%, 04/25/2022 |
44 | 45 | ||||||
FNMA, Ser 2017-M13, Cl FA |
||||||||
0.487%, VAR ICE LIBOR USD 1 Month + 0.400%, 10/25/2024 |
49 | 49 | ||||||
FREMF Mortgage Trust, Ser 2013-K32, Cl B |
||||||||
3.531%, 10/25/2046 (A)(B) |
655 | 682 | ||||||
FREMF Mortgage Trust, Ser 2013-K33, Cl B |
||||||||
3.497%, 08/25/2046 (A)(B) |
1,100 | 1,147 | ||||||
GNMA, Ser 2010-151, Cl KA |
||||||||
3.000%, 09/16/2039 |
24 | 25 | ||||||
GNMA, Ser 2013-190, Cl GA |
||||||||
2.500%, 11/20/2038 |
127 | 127 | ||||||
GNMA, Ser 2015-119, Cl TG |
||||||||
1.800%, 05/20/2041 |
176 | 176 | ||||||
GNMA, Ser 2015-56, Cl LB |
||||||||
1.500%, 04/16/2040 |
397 | 400 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Mortgage-Linked Amortizing Notes, Ser 2012-1, Cl A10 |
||||||||
2.060%, 01/15/2022 |
$ | 111 | $ | 111 | ||||
|
|
| ||||||
5,837 | ||||||||
|
|
| ||||||
Non-Agency Mortgage-Backed Obligations 13.9% |
| |||||||
Angel Oak Mortgage Trust I LLC, Ser 2019-2, Cl A1 |
||||||||
3.628%, 03/25/2049 (A)(B) |
155 | 156 | ||||||
Angel Oak Mortgage Trust I LLC, Ser 2019-4, Cl A1 |
||||||||
2.993%, 07/26/2049 (A)(B) |
126 | 127 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2018-3, Cl A1 |
||||||||
3.649%, 09/25/2048 (A)(B) |
47 | 47 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2019-1, Cl A1 |
||||||||
3.920%, 11/25/2048 (A)(B) |
122 | 123 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2020-1, Cl A1 |
||||||||
2.466%, 12/25/2059 (A)(B) |
68 | 69 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2020-2, Cl A1A |
||||||||
2.531%, 01/26/2065 (A)(B) |
286 | 290 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2020-3, Cl A1 |
||||||||
1.691%, 04/25/2065 (A)(B) |
358 | 360 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2020-4, Cl A1 |
||||||||
1.469%, 06/25/2065 (A)(B) |
235 | 236 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2020- R1, Cl A1 |
||||||||
0.990%, 04/25/2053 (A)(B) |
186 | 185 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2021-1, Cl A1 |
||||||||
0.909%, 01/25/2066 (A)(B) |
500 | 498 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2021-3, Cl A1 |
||||||||
1.068%, 05/25/2066 (A)(B) |
375 | 374 | ||||||
Angel Oak Mortgage Trust LLC, Ser 2021-5, Cl A1 |
||||||||
0.951%, 07/25/2066 (A)(B) |
654 | 651 | ||||||
Arroyo Mortgage Trust, Ser 2019-3, Cl A1 |
||||||||
2.962%, 10/25/2048 (A)(B) |
182 | 182 | ||||||
Banc of America Mortgage Securities, Ser 2005-F, Cl 2A2 |
||||||||
2.676%, 07/25/2035 (B) |
32 | 32 | ||||||
Banc of America Mortgage Securities, Ser 2005-J, Cl 2A1 |
||||||||
2.491%, 11/25/2035 (B) |
5 | 5 | ||||||
BBCMS Mortgage Trust, Ser 2020-C8, Cl A1 |
||||||||
0.601%, 10/15/2053 |
472 | 467 |
14 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Bear Stearns ARM Trust, Ser 2005-3, Cl 2A1 |
||||||||
3.044%, 06/25/2035 (B) |
$ | 19 | $ | 20 | ||||
Bear Stearns ARM Trust, Ser 2005-6, Cl 3A1 |
||||||||
2.343%, 08/25/2035 (B) |
39 | 39 | ||||||
BFLD Trust, Ser 2020-OBRK, Cl A |
||||||||
2.140%, VAR ICE LIBOR USD 1 Month + 2.050%, 11/15/2028 (A) |
325 | 325 | ||||||
BPR Trust, Ser 2021-TY, Cl A |
||||||||
1.140%, VAR ICE LIBOR USD 1 Month + 1.050%, 09/15/2038 (A) |
960 | 960 | ||||||
BRAVO Residential Funding Trust, Ser 2020-NQM1, Cl A1 |
||||||||
1.449%, 05/25/2060 (A)(B) |
214 | 215 | ||||||
BRAVO Residential Funding Trust, Ser 2021-NQM1, Cl A1 |
||||||||
0.941%, 02/25/2049 (A)(B) |
209 | 209 | ||||||
BRAVO Residential Funding Trust, Ser 2021-NQM2, Cl A1 |
||||||||
0.970%, 03/25/2060 (A)(B) |
295 | 294 | ||||||
BRAVO Residential Funding Trust, Ser 2021-NQM3, Cl A1 |
||||||||
1.699%, 04/26/2060 (A)(B) |
402 | 402 | ||||||
BSREP Commercial Mortgage Trust, Ser 2021-DC, Cl A |
||||||||
1.041%, VAR ICE LIBOR USD 1 Month + 0.950%, 08/15/2038 (A) |
890 | 890 | ||||||
Bunker Hill Loan Depositary Trust, Ser 2020-1, Cl A1 |
||||||||
1.724%, 02/25/2055 (A)(B) |
154 | 155 | ||||||
BWAY Mortgage Trust, Ser 2015-1515, Cl A1 |
||||||||
2.809%, 03/10/2033 (A) |
209 | 215 | ||||||
BX Commercial Mortgage Trust, Ser 2019-XL, Cl A |
||||||||
1.010%, VAR ICE LIBOR USD 1 Month + 0.920%, 10/15/2036 (A) |
1,436 | 1,436 | ||||||
BX Commercial Mortgage Trust, Ser 2019-XL, Cl B |
||||||||
1.170%, VAR ICE LIBOR USD 1 Month + 1.080%, 10/15/2036 (A) |
374 | 374 | ||||||
BX Commercial Mortgage Trust, Ser 2021-SOAR, Cl B |
||||||||
0.960%, VAR ICE LIBOR USD 1 Month + 0.870%, 06/15/2038 (A) |
625 | 624 | ||||||
BX Commercial Mortgage Trust, Ser 2021-VINO, Cl B |
||||||||
0.942%, VAR ICE LIBOR USD 1 Month + 0.852%, 05/15/2038 (A) |
600 | 598 | ||||||
BX Commercial Mortgage Trust, Ser 2021-VINO, Cl A |
||||||||
0.742%, VAR ICE LIBOR USD 1 Month + 0.652%, 05/15/2038 (A) |
345 | 344 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
BX Commercial Mortgage Trust, Ser 2021-VOLT, Cl A |
||||||||
0.790%, VAR ICE LIBOR USD 1 Month + 0.700%, 09/15/2036 (A) |
$ | 275 | $ | 275 | ||||
BX Trust, Ser 2021-LGCY, Cl A |
||||||||
0.606%, VAR ICE LIBOR USD 1 Month + 0.506%, 10/15/2023 (A) |
600 | 594 | ||||||
BX, Ser 2021-MFM1, Cl B |
||||||||
1.040%, VAR ICE LIBOR USD 1 Month + 0.950%, 01/15/2034 (A) |
550 | 550 | ||||||
CHC Commercial Mortgage Trust, Ser 2019-CHC, Cl A |
||||||||
1.210%, VAR ICE LIBOR USD 1 Month + 1.120%, 06/15/2034 (A) |
839 | 839 | ||||||
CIM Trust, Ser 2017-7, Cl A |
||||||||
3.000%, 04/25/2057 (A)(B) |
150 | 152 | ||||||
Citigroup Commercial Mortgage Trust, Ser 2019-SMRT, Cl A |
||||||||
4.149%, 01/10/2036 (A) |
275 | 292 | ||||||
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A |
||||||||
2.659%, 09/25/2034 (B) |
7 | 7 | ||||||
Citigroup Mortgage Loan Trust, Ser 2006-AR2, Cl 1A1 |
||||||||
2.802%, 03/25/2036 (B) |
45 | 39 | ||||||
Citigroup Mortgage Loan Trust, Ser 2018-RP2, Cl A1 |
||||||||
2.708%, 02/25/2058 (A)(B) |
177 | 182 | ||||||
Citigroup Mortgage Loan Trust, Ser 2019-IMC1, Cl A1 |
||||||||
2.720%, 07/25/2049 (A)(B) |
57 | 57 | ||||||
Cold Storage Trust, Ser 2020-ICE5, Cl A |
||||||||
0.990%, VAR ICE LIBOR USD 1 Month + 0.900%, 11/15/2037 (A) |
708 | 708 | ||||||
COLT Funding LLC, Ser 2021-3R, Cl A1 |
||||||||
1.051%, 12/25/2064 (A)(B) |
270 | 269 | ||||||
COLT Mortgage Loan Trust, Ser 2020-1, Cl A1 |
||||||||
2.488%, 02/25/2050 (B) |
123 | 123 | ||||||
COLT Mortgage Loan Trust, Ser 2020-1R, Cl A1 |
||||||||
1.255%, 09/25/2065 (A)(B) |
231 | 232 | ||||||
COLT Mortgage Loan Trust, Ser 2020-2R, Cl A1 |
||||||||
1.325%, 10/26/2065 (A)(B) |
203 | 203 | ||||||
COLT Mortgage Loan Trust, Ser 2020-3, Cl A1 |
||||||||
1.506%, 04/27/2065 (A)(B) |
111 | 112 | ||||||
COLT Mortgage Loan Trust, Ser 2021-1, Cl A1 |
||||||||
0.910%, 06/25/2066 (A)(B) |
278 | 275 |
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
|
|||||||
COLT Mortgage Loan Trust, Ser 2021-2, Cl A1 |
||||||||
0.924%, 08/25/2066 (A)(B) |
$ | 332 | $ | 330 | ||||
COLT Mortgage Loan Trust, Ser 2021-2R, Cl A1 |
||||||||
0.798%, 07/27/2054 (A) |
193 | 192 | ||||||
COLT Mortgage Loan Trust, Ser 2021-4, Cl A1 |
||||||||
1.397%, 10/25/2066 (A)(B) |
575 | 573 | ||||||
COLT Mortgage Loan Trust, Ser 2021-HX1, Cl A1 |
||||||||
1.110%, 10/25/2066 (A)(B) |
599 | 596 | ||||||
COMM Mortgage Trust, Ser 2014-UBS5, Cl A2 |
||||||||
3.031%, 09/10/2047 |
11 | 11 | ||||||
COMM Mortgage Trust, Ser 2015-CR22, Cl A2 |
||||||||
2.856%, 03/10/2048 |
165 | 165 | ||||||
COMM Mortgage Trust, Ser 2015-CR23, Cl A2 |
||||||||
2.852%, 05/10/2048 |
269 | 272 | ||||||
COMM Mortgage Trust, Ser 2021-LBA, Cl B |
||||||||
1.040%, VAR ICE LIBOR USD 1 Month + 0.950%, 03/15/2038 (A) |
1,030 | 1,018 | ||||||
CORE Mortgage Trust, Ser 2019-CORE, Cl A |
||||||||
0.970%, VAR ICE LIBOR USD 1 Month + 0.880%, 12/15/2031 (A) |
149 | 149 | ||||||
Countrywide Home Loans, Ser 2004-29, Cl 1A1 |
||||||||
0.629%, VAR ICE LIBOR USD 1 Month + 0.540%, 02/25/2035 |
9 | 8 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl A |
||||||||
1.070%, VAR ICE LIBOR USD 1 Month + 0.980%, 05/15/2036 (A) |
475 | 475 | ||||||
Credit Suisse Mortgage Capital Certificates, Ser 2019-ICE4, Cl B |
||||||||
1.320%, VAR ICE LIBOR USD 1 Month + 1.230%, 05/15/2036 (A) |
1,240 | 1,239 | ||||||
CSMC Trust, Ser 2019-AFC1, Cl A1 |
||||||||
2.573%, 07/25/2049 (A) |
629 | 634 | ||||||
CSMC Trust, Ser 2021-AFC1, Cl A1 |
||||||||
0.830%, 03/25/2056 (A)(B) |
295 | 293 | ||||||
CSMC Trust, Ser 2021-NQM3, Cl A1 |
||||||||
1.015%, 04/25/2066 (A)(B) |
527 | 524 | ||||||
CSMC Trust, Ser 2021-NQM4, Cl A1 |
||||||||
1.101%, 05/25/2066 (A)(B) |
602 | 599 | ||||||
DBCG Mortgage Trust, Ser 2017-BBG, Cl A |
||||||||
0.790%, VAR ICE LIBOR USD 1 Month + 0.700%, 06/15/2034 (A) |
200 | 199 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
|
|||||||
Deephaven Residential Mortgage Trust, Ser 2019-4A, Cl A1 |
||||||||
2.791%, 10/25/2059 (A)(B) |
$ | 228 | $ | 228 | ||||
Deephaven Residential Mortgage Trust, Ser 2020-2, Cl A1 |
||||||||
1.692%, 05/25/2065 (A) |
139 | 140 | ||||||
Deephaven Residential Mortgage Trust, Ser 2021-1, Cl A1 |
||||||||
0.715%, 05/25/2065 (A)(B) |
150 | 150 | ||||||
Deephaven Residential Mortgage Trust, Ser 2021-2, Cl A1 |
||||||||
0.899%, 04/25/2066 (A)(B) |
132 | 132 | ||||||
Ellington Financial Mortgage Trust, Ser 2019-2, Cl A1 |
||||||||
2.739%, 11/25/2059 (A)(B) |
46 | 47 | ||||||
Ellington Financial Mortgage Trust, Ser 2020-2, Cl A1 |
||||||||
1.178%, 10/25/2065 (A)(B) |
93 | 93 | ||||||
Ellington Financial Mortgage Trust, Ser 2021-1, Cl A1 |
||||||||
0.797%, 02/25/2066 (A)(B) |
92 | 91 | ||||||
Ellington Financial Mortgage Trust, Ser 2021-2, Cl A1 |
||||||||
0.931%, 06/25/2066 (A)(B) |
197 | 196 | ||||||
Extended Stay America Trust, Ser 2021-ESH, Cl B |
||||||||
1.471%, VAR ICE LIBOR USD 1 Month + 1.380%, 07/15/2038 (A) |
249 | 249 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M3 |
||||||||
4.789%, VAR ICE LIBOR USD 1 Month + 4.700%, 04/25/2028 |
581 | 602 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQ2, Cl M3 |
||||||||
3.339%, VAR ICE LIBOR USD 1 Month + 3.250%, 05/25/2025 |
207 | 210 | ||||||
FNMA Connecticut Avenue Securities, Ser 2016-C03, Cl 2M2 |
||||||||
5.989%, VAR ICE LIBOR USD 1 Month + 5.900%, 10/25/2028 |
474 | 498 | ||||||
FNMA Connecticut Avenue Securities, Ser 2017-C05, Cl 1M2A |
||||||||
2.289%, VAR ICE LIBOR USD 1 Month + 2.200%, 01/25/2030 |
269 | 270 | ||||||
FNMA Connecticut Avenue Securities, Ser 2018-C03, Cl 1EA2 |
||||||||
0.939%, VAR ICE LIBOR USD 1 Month + 0.850%, 10/25/2030 |
105 | 105 | ||||||
GCAT Trust, Ser 2020-NQM2, Cl A1 |
||||||||
1.555%, 04/25/2065 (A) |
135 | 136 | ||||||
GCAT Trust, Ser 2021-CM1, Cl A |
||||||||
1.469%, 04/25/2065 (A)(B) |
476 | 475 |
16 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GCAT Trust, Ser 2021-NQM1, Cl A1 |
||||||||
0.874%, 01/25/2066 (A)(B) |
$ | 244 | $ | 242 | ||||
GCAT Trust, Ser 2021-NQM3, Cl A1 |
||||||||
1.091%, 05/25/2066 (A)(B) |
351 | 349 | ||||||
GCAT, Ser 2021-NQM5, Cl A1 |
||||||||
1.262%, 07/25/2066 (A)(B) |
919 | 913 | ||||||
GMAC Mortgage Loan Trust, Ser 2005-AR6, Cl 2A1 |
||||||||
3.091%, 11/19/2035 (B) |
68 | 67 | ||||||
GS Mortgage Securities Trust, Ser 2012-ALOH, Cl A |
||||||||
3.551%, 04/10/2034 (A) |
500 | 503 | ||||||
GS Mortgage Securities Trust, Ser 2015-GS1, Cl AAB |
||||||||
3.553%, 11/10/2048 |
110 | 116 | ||||||
GS Mortgage Securities Trust, Ser 2016-GS4, Cl A2 |
||||||||
2.905%, 11/10/2049 |
9 | 9 | ||||||
GS Mortgage Securities Trust, Ser 2021-RENT, Cl A |
||||||||
0.786%, VAR ICE LIBOR USD 1 Month + 0.700%, 11/21/2035 (A) |
450 | 450 | ||||||
GS Mortgage-Backed Securities Trust, Ser 2019-SL1, Cl A1 |
||||||||
2.625%, 01/25/2059 (A)(B) |
222 | 224 | ||||||
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 2A1 |
||||||||
2.689%, 07/25/2035 (B) |
89 | 63 | ||||||
GSR Mortgage Loan Trust, Ser 2007-AR2, Cl 1A1 |
||||||||
2.847%, 05/25/2037 (B) |
66 | 49 | ||||||
Impac CMB Trust, Ser 2004-9, Cl 1A1 |
||||||||
0.849%, VAR ICE LIBOR USD 1 Month + 0.760%, 01/25/2035 |
18 | 18 | ||||||
Impac CMB Trust, Ser 2005-2, Cl 1A1 |
||||||||
0.609%, VAR ICE LIBOR USD 1 Month + 0.520%, 04/25/2035 |
21 | 21 | ||||||
Impac CMB Trust, Ser 2005-3, Cl A1 |
||||||||
0.569%, VAR ICE LIBOR USD 1 Month + 0.480%, 08/25/2035 |
22 | 21 | ||||||
Impac CMB Trust, Ser 2005-5, Cl A1 |
||||||||
0.729%, VAR ICE LIBOR USD 1 Month + 0.320%, 08/25/2035 |
15 | 15 | ||||||
Impac CMB Trust, Ser 2005-8, Cl 1A |
||||||||
0.609%, VAR ICE LIBOR USD 1 Month + 0.520%, 02/25/2036 |
51 | 49 | ||||||
Imperial Fund Mortgage Trust, Ser 2021- NQM1, Cl A1 |
||||||||
1.071%, 06/25/2056 (A)(B) |
485 | 480 | ||||||
Imperial Fund Mortgage Trust, Ser 2021- NQM2, Cl A1 |
||||||||
1.073%, 09/25/2056 (A)(B) |
293 | 292 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Imperial Fund Mortgage Trust, Ser 2021-NQM3, Cl A1 |
||||||||
1.595%, 11/25/2056 (A)(B) |
$ | 260 | $ | 260 | ||||
JPMorgan Chase Bank, Ser 2021-CL1, Cl M1 |
||||||||
1.349%, VAR SOFR30A + 1.300%, 03/25/2051 (A) |
517 | 517 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Ser 2021-MHC, Cl A |
||||||||
0.890%, VAR ICE LIBOR USD 1 Month + 0.800%, 04/15/2038 (A) |
482 | 482 | ||||||
JPMorgan Mortgage Trust, Ser 2005-A6, Cl 7A1 |
||||||||
2.946%, 08/25/2035 (B) |
19 | 18 | ||||||
JPMorgan Mortgage Trust, Ser 2007-A3, Cl 1A1 |
||||||||
3.051%, 05/25/2037 (B) |
41 | 39 | ||||||
JPMorgan Mortgage Trust, Ser 2014-5, Cl A1 |
||||||||
2.888%, 10/25/2029 (A)(B) |
175 | 179 | ||||||
JPMorgan Mortgage Trust, Ser 2018-7FRB, Cl A2 |
||||||||
0.839%, VAR ICE LIBOR USD 1 Month + 0.750%, 04/25/2046 (A) |
151 | 151 | ||||||
KNDL Mortgage Trust, Ser 2019-KNSQ, Cl A |
||||||||
0.890%, VAR ICE LIBOR USD 1 Month + 0.800%, 05/15/2036 (A) |
190 | 190 | ||||||
LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2 |
||||||||
2.579%, 03/10/2049 (A) |
1,337 | 1,355 | ||||||
LSTAR Securities Investment, Ser 2019-4, Cl A1 |
||||||||
2.582%, VAR ICE LIBOR USD 1 Month + 2.500%, 05/01/2024 (A) |
282 | 278 | ||||||
Mello Warehouse Securitization Trust, Ser 2021-2, Cl A |
||||||||
0.839%, VAR ICE LIBOR USD 1 Month + 0.750%, 04/25/2055 (A) |
830 | 827 | ||||||
Merit, Ser 2020-HILL, Cl A |
||||||||
1.241%, VAR ICE LIBOR USD 1 Month + 1.150%, 08/15/2037 (A) |
764 | 764 | ||||||
Merrill Lynch Mortgage Backed Securities Trust, Ser 2007-3, Cl 2A1 |
||||||||
2.927%, 06/25/2037 (B) |
45 | 37 | ||||||
MFA Trust, Ser 2020-NQM1, Cl A1 |
||||||||
1.479%, 03/25/2065 (A)(B) |
113 | 113 | ||||||
MFA Trust, Ser 2020-NQM3, Cl A1 |
||||||||
1.014%, 01/26/2065 (A)(B) |
159 | 158 | ||||||
MFA Trust, Ser 2021-INV1, Cl A1 |
||||||||
0.852%, 01/25/2056 (A)(B) |
286 | 284 | ||||||
MFA Trust, Ser 2021-NQM1, Cl A1 |
||||||||
1.153%, 04/25/2065 (A)(B) |
324 | 323 | ||||||
MFA Trust, Ser 2021-NQM2, Cl A1 |
||||||||
1.029%, 11/25/2064 (A)(B) |
315 | 314 |
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
MHC Commercial Mortgage Trust, Ser 2021-MHC, Cl B |
||||||||
1.191%, VAR ICE LIBOR USD 1 Month + 1.101%, 04/15/2038 (A) |
$ | 1,670 | $ | 1,670 | ||||
MHP, Ser 2021-STOR, Cl A |
||||||||
0.790%, VAR ICE LIBOR USD 1 Month + 0.700%, 07/15/2038 (A) |
155 | 155 | ||||||
Mill City Mortgage Loan Trust, Ser 2021-NMR1, Cl A1 |
||||||||
1.125%, 11/25/2060 (A)(B) |
222 | 221 | ||||||
Morgan Stanley Capital I Trust, Ser 2012-STAR, Cl A1 |
||||||||
2.084%, 08/05/2034 (A) |
25 | 25 | ||||||
Mortgage Repurchase Agreement Financing Trust, Ser 2021-1, Cl A1 |
||||||||
0.584%, VAR ICE LIBOR USD 1 Month + 0.500%, 03/10/2022 (A) |
300 | 300 | ||||||
MortgageIT Trust, Ser 2005-5, Cl A1 |
||||||||
0.609%, VAR ICE LIBOR USD 1 Month + 0.520%, 12/25/2035 |
46 | 47 | ||||||
MTRO Commercial Mortgage Trust, Ser 2019-TECH, Cl A |
||||||||
0.990%, VAR ICE LIBOR USD 1 Month + 0.900%, 12/15/2033 (A) |
520 | 519 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-3A, Cl A1 |
||||||||
4.000%, 04/25/2057 (A)(B) |
137 | 146 | ||||||
New Residential Mortgage Loan Trust, Ser 2017-6A, Cl A1 |
||||||||
4.000%, 08/27/2057 (A)(B) |
313 | 331 | ||||||
New Residential Mortgage Loan Trust, Ser 2018-1A, Cl A1 |
||||||||
4.000%, 09/25/2057 (A)(B) |
159 | 167 | ||||||
New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1 |
||||||||
2.492%, 09/25/2059 (A)(B) |
64 | 64 | ||||||
New Residential Mortgage Loan Trust, Ser 2020-NQM2, Cl A1 |
||||||||
1.650%, 05/24/2060 (A)(B) |
144 | 145 | ||||||
New Residential Mortgage Loan Trust, Ser 2021-NQ2R, Cl A1 |
||||||||
0.941%, 10/25/2058 (A)(B) |
166 | 166 | ||||||
New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A1 |
||||||||
1.156%, 11/27/2056 (A)(B) |
570 | 567 | ||||||
OBX Trust, Ser 2018-1, Cl A2 |
||||||||
0.739%, VAR ICE LIBOR USD 1 Month + 0.650%, 06/25/2057 (A) |
24 | 24 | ||||||
OBX Trust, Ser 2021-NQM2, Cl A1 |
||||||||
1.101%, 05/25/2061 (A)(B) |
416 | 415 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
Paragon Mortgages No. 12 PLC, Ser 2006-12A, Cl A2C |
||||||||
0.345%, VAR ICE LIBOR USD 3 Month + 0.220%, 11/15/2038 (A) |
$ | 66 | $ | 64 | ||||
PRPM LLC, Ser 2021-RPL1, Cl A1 |
||||||||
1.319%, 07/25/2051 (A)(B) |
163 | 161 | ||||||
Residential Mortgage Loan Trust, Ser 2020-1, Cl A1 |
||||||||
2.376%, 02/25/2024 (A)(B) |
96 | 97 | ||||||
RFMSI Trust, Ser 2007-SA3, Cl 2A1 |
||||||||
4.230%, 07/27/2037 (B) |
51 | 44 | ||||||
RMF Buyout Issuance Trust, Ser 2020-1, Cl A |
||||||||
2.158%, 02/25/2030 (A)(B) |
135 | 135 | ||||||
Sequoia Mortgage Trust, Ser 2004-12, Cl A1 |
||||||||
0.626%, VAR ICE LIBOR USD 1 Month + 0.540%, 01/20/2035 |
8 | 8 | ||||||
Sequoia Mortgage Trust, Ser 2018-CH3, Cl A1 |
||||||||
4.500%, 08/25/2048 (A)(B) |
44 | 44 | ||||||
SG Residential Mortgage Trust, Ser 2021-1, Cl A1 |
||||||||
1.160%, 07/25/2061 (A)(B) |
616 | 612 | ||||||
STAR Trust, Ser 2021-1, Cl A1 |
||||||||
1.219%, 05/25/2065 (A)(B) |
252 | 252 | ||||||
Starwood Mortgage Residential Trust, Ser 2020-1, Cl A1 |
||||||||
2.275%, 02/25/2050 (A)(B) |
148 | 149 | ||||||
Starwood Mortgage Residential Trust, Ser 2020-3, Cl A1 |
||||||||
1.486%, 04/25/2065 (A)(B) |
85 | 85 | ||||||
Starwood Mortgage Residential Trust, Ser 2021-2, Cl A1 |
||||||||
0.943%, 05/25/2065 (A)(B) |
119 | 119 | ||||||
Starwood Mortgage Residential Trust, Ser 2021-3, Cl A1 |
||||||||
1.127%, 06/25/2056 (A)(B) |
428 | 426 | ||||||
Toorak Mortgage Corp, Ser 2021-INV1, Cl A1 |
||||||||
1.153%, 07/25/2056 (A)(B) |
291 | 290 | ||||||
TTAN, Ser 2021-MHC, Cl B |
||||||||
1.191%, VAR ICE LIBOR USD 1 Month + 1.100%, 03/15/2038 (A) |
275 | 275 | ||||||
TTAN, Ser 2021-MHC, Cl A |
||||||||
0.941%, VAR ICE LIBOR USD 1 Month + 0.850%, 03/15/2038 (A) |
440 | 440 | ||||||
Verus Securitization Trust, Ser 2019-4, Cl A1 |
||||||||
2.642%, 11/25/2059 (A) |
91 | 92 | ||||||
Verus Securitization Trust, Ser 2019-INV3, Cl A1 |
||||||||
2.692%, 11/25/2059 (A)(B) |
125 | 127 | ||||||
Verus Securitization Trust, Ser 2020-1, Cl A1 |
||||||||
2.417%, 01/25/2060 (A) |
76 | 76 |
18 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
|
|||||||
Verus Securitization Trust, Ser 2020-4, Cl A1 |
||||||||
1.502%, 05/25/2065 (A) |
$ | 170 | $ | 171 | ||||
Verus Securitization Trust, Ser 2021-1, Cl A2 |
||||||||
1.052%, 01/25/2066 (B) |
425 | 423 | ||||||
Verus Securitization Trust, Ser 2021-1, Cl A1 |
||||||||
0.815%, 01/25/2066 (A)(B) |
212 | 212 | ||||||
Verus Securitization Trust, Ser 2021-2, Cl A1 |
||||||||
1.031%, 02/25/2066 (A)(B) |
256 | 255 | ||||||
Verus Securitization Trust, Ser 2021-R1, Cl A1 |
||||||||
0.820%, 10/25/2063 (A)(B) |
479 | 479 | ||||||
Verus Securitization Trust, Ser 2021-R2, Cl A1 |
||||||||
0.918%, 02/25/2064 (A)(B) |
382 | 381 | ||||||
Verus Securitization Trust, Ser 2021-R3, Cl A1 |
||||||||
1.020%, 04/25/2064 (A)(B) |
252 | 251 | ||||||
WaMu Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1 |
||||||||
2.951%, 03/25/2036 (B) |
69 | 69 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl AS |
||||||||
3.539%, 10/15/2045 |
450 | 458 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2015-NXS2, Cl A2 |
||||||||
3.020%, 07/15/2058 |
511 | 521 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2016-C32, Cl ASB |
||||||||
3.324%, 01/15/2059 |
214 | 223 | ||||||
Wells Fargo Commercial Mortgage Trust, Ser 2017-RC1, Cl A2 |
||||||||
3.118%, 01/15/2060 |
85 | 85 | ||||||
|
|
| ||||||
48,866 | ||||||||
|
|
| ||||||
Total Mortgage-Backed Securities |
54,703 | |||||||
|
|
| ||||||
U.S. TREASURY OBLIGATIONS 10.6% |
|
|||||||
U.S. Treasury Notes |
||||||||
1.750%, 02/28/2022 |
1,555 | 1,563 | ||||||
1.750%, 09/30/2022 |
9,540 | 9,680 | ||||||
0.500%, 03/15/2023 |
14,225 | 14,261 | ||||||
0.250%, 06/15/2024 |
4,600 | 4,547 | ||||||
0.125%, 01/31/2023 |
7,275 | 7,262 | ||||||
|
|
| ||||||
Total U.S. Treasury Obligations |
37,313 | |||||||
|
|
|
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
COMMERCIAL PAPER (E) 2.8% |
| |||||||
Arabella |
||||||||
0.300%, 01/07/2022 |
$ | 2,575 | $ | 2,573 | ||||
Brookfield |
||||||||
0.180%, 11/01/2021 |
1,325 | 1,325 | ||||||
HSBC |
||||||||
0.401%, 02/04/2022 |
2,150 | 2,149 | ||||||
0.250%, 06/10/2022 |
900 | 898 | ||||||
NatWest Marets |
||||||||
0.351%, 02/22/2022 |
2,100 | 2,099 | ||||||
Standard Chartered |
||||||||
0.240%, 03/04/2022 |
650 | 650 | ||||||
|
|
| ||||||
Total Commercial Paper |
9,694 | |||||||
|
|
| ||||||
MUNICIPAL BONDS 2.2% |
|
|||||||
California 0.9% |
|
|||||||
California State, Community College Districts, GO |
||||||||
0.250%, 12/30/2021 |
655 | 655 | ||||||
California State, GO Callable 11/26/2021 @ 100 |
||||||||
0.868%, 04/01/2047 (F) |
775 | 775 | ||||||
Golden State, Tobacco Securitization, RB |
||||||||
0.672%, 06/01/2023 |
985 | 985 | ||||||
Riverside County, Infrastructure Financing Authority, Ser B, RB |
||||||||
0.398%, 11/01/2022 |
740 | 741 | ||||||
University of California, Ser BF, RB |
||||||||
0.455%, 05/15/2022 |
130 | 130 | ||||||
|
|
| ||||||
3,286 | ||||||||
|
|
| ||||||
Illinois 0.2% |
|
|||||||
Chicago, Transit Authority, Sales Tax Receipts Fund, Ser B, RB |
||||||||
1.708%, 12/01/2022 |
135 | 137 | ||||||
State of Illinois, Sales Tax Revenue, Ser B, RB |
||||||||
1.900%, 06/15/2022 |
455 | 459 | ||||||
|
|
| ||||||
596 | ||||||||
|
|
| ||||||
New York 0.1% |
|
|||||||
New York State, Transportation Development Authority, RB |
||||||||
1.360%, 12/01/2021 |
305 | 305 | ||||||
|
|
| ||||||
Oklahoma 0.2% |
|
|||||||
Oklahoma State, Turnpike Authority, RB |
||||||||
0.491%, 01/01/2022 |
745 | 745 | ||||||
|
|
|
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MUNICIPAL BONDS (continued) |
||||||||
South Carolina 0.3% |
||||||||
South Carolina State, Public Service Authority, Ser E, RB |
||||||||
3.722%, 12/01/2023 |
$ | 1,100 | $ | 1,163 | ||||
|
|
| ||||||
Texas 0.1% |
||||||||
Central Texas, Turnpike System, Ser B, RB |
||||||||
1.980%, 08/15/2042 (F) |
245 | 248 | ||||||
Houston, Texas Airport System Revenue, Ser C, RB |
||||||||
0.883%, 07/01/2022 |
100 | 100 | ||||||
|
|
| ||||||
348 | ||||||||
|
|
| ||||||
Wisconsin 0.4% |
||||||||
Wisconsin State, Housing & Economic Development Authority, Ser B, RB Callable 11/04/2021 @ 100 |
||||||||
0.070%, 09/01/2037 (F) |
1,430 | 1,430 | ||||||
|
|
| ||||||
Total Municipal Bonds |
7,873 | |||||||
|
|
| ||||||
SOVEREIGN DEBT 0.7% |
||||||||
Province of Quebec Canada |
||||||||
2.375%, 01/31/2022 |
2,300 | 2,312 | ||||||
|
|
| ||||||
Total Sovereign Debt |
2,312 | |||||||
|
|
| ||||||
U.S. GOVERNMENT AGENCY OBLIGATION 0.6% |
| |||||||
FFCB |
||||||||
0.530%, 01/18/2022 |
2,250 | 2,252 | ||||||
|
|
| ||||||
Total U.S. Government Agency Obligation |
|
2,252 | ||||||
|
|
|
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENT 1.3% |
| |||||||
BNP Paribas |
||||||||
0.050%, dated 10/29/2021 to be repurchased on 11/01/2021, repurchase price $4,400,018 (collateralized by U.S. Government obligations, ranging in par value $100 - $2,039,242, 0.000% - 6.000%, 11/12/2021 08/15/2051; with total market value $4,488,001) (G) |
$ | 4,400 | $ | 4,400 | ||||
|
|
| ||||||
Total Repurchase Agreement |
|
4,400 | ||||||
|
|
| ||||||
Total Investments in Securities 100.3% |
|
$ | 351,232 | |||||
|
|
|
20 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Ultra Short Duration Bond Fund (Concluded)
A list of the open futures contracts held by the fund at October 31, 2021, is as follows:
Type of Contract |
Number of Contracts |
Expiration Date |
Notional Amount (Thousands) |
Value (Thousands) |
Unrealized Appreciation/ (Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
U.S. 2-Year Treasury Note |
54 | Jan-2022 | $ | 11,890 | $ | 11,840 | $ | (50) | ||||||||||||
|
|
|
|
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||||||
U.S. 5-Year Treasury Note |
(6 | ) | Jan-2022 | $ | (741) | $ | (730) | $ | 10 | |||||||||||
U.S. 10-Year Treasury Note |
(15 | ) | Dec-2021 | (2,000) | (1,961) | 39 | ||||||||||||||
U.S. Long Treasury Bond |
(1 | ) | Dec-2021 | (164) | (161) | 3 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
(2,905) | (2,852) | 52 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$ | 8,985 | $ | 8,988 | $ | 2 | |||||||||||||||
|
|
|
|
|
|
Percentages are based on Net Assets of $350,052 ($ 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 October 31, 2021, the value of these securities amounted to $168,067 ($ Thousands), representing 48.0% 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) | No interest rate available. |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(E) | Zero coupon security. The rate shown on the Schedule of Investments is the securitys effective yield at the time of purchase. |
(F) | Variable or floating rate security, the interest rate of which adjusts periodically based on prevailing interest rates. |
(G) | Tri-Party Repurchase Agreement. |
ABS Asset-Backed Security
ARM Adjustable Rate Mortgage
Cl Class
CLO Collateralized Loan Obligation
DAC Designated Activity Company
FFCB Federal Farm Credit Bank
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
FREMF Freddie Mac Multi-Family
GMAC General Motors Acceptance Corporation
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
SOFR30A Secured Overnight Financing Rate 30-day Average
USD U.S. Dollar
VAR Variable Rate
The following is a summary of the inputs used as of October 31, 2021 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 |
| 135,375 | | 135,375 | ||||||||||||
Asset-Backed Securities |
| 97,310 | | 97,310 | ||||||||||||
Mortgage-Backed Securities |
| 54,703 | | 54,703 | ||||||||||||
U.S. Treasury Obligations |
| 37,313 | | 37,313 | ||||||||||||
Commercial Paper |
| 9,694 | | 9,694 | ||||||||||||
Municipal Bonds |
| 7,873 | | 7,873 | ||||||||||||
Sovereign Debt |
| 2,312 | | 2,312 | ||||||||||||
U.S. Government Agency Obligation |
| 2,252 | | 2,252 | ||||||||||||
Repurchase Agreement |
| 4,400 | | 4,400 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
| 351,232 | | 351,232 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments |
Level 1 ($) |
Level 2 ($) |
Level 3 ($) |
Total ($) |
||||||||||||
Futures Contracts* |
||||||||||||||||
Unrealized Appreciation |
52 | | | 52 | ||||||||||||
Unrealized Depreciation |
(50) | | | (50) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Other Financial Instruments |
2 | | | 2 | ||||||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.
For the period ended October 31, 2021, there were no transfers in or out of Level 3.
Amounts designated as are $0 or have been rounded to $0.
For information regarding the Funds policy regarding valuation of investments and other accounting policies, please refer to the Funds most recent semi-annual and annual financial statements.
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Short Duration Government Fund
Description | Face Amount (Thousands) |
Market Value ($ Thousands) | ||||||
U.S. TREASURY OBLIGATIONS 43.4% |
| |||||||
U.S. Treasury Notes |
||||||||
2.625%, 06/30/2023 |
$ | 35,397 | $ | 36,699 | ||||
1.750%, 05/15/2023 (A) |
54,600 | 55,756 | ||||||
0.250%, 05/15/2024 |
75,500 | 74,707 | ||||||
0.250%, 06/15/2024 |
51,925 | 51,322 | ||||||
0.125%, 01/31/2023 |
39,750 | 39,680 | ||||||
0.125%, 02/28/2023 |
56,200 | 56,073 | ||||||
|
|
| ||||||
Total U.S. Treasury Obligations |
314,237 | |||||||
|
|
| ||||||
MORTGAGE-BACKED SECURITIES 40.0% |
| |||||||
Agency Mortgage-Backed Obligations 37.9% |
| |||||||
FHLMC |
||||||||
4.500%, 02/01/2022 to 06/01/2026 |
885 | 925 | ||||||
4.000%, 01/01/2033 |
5,562 | 6,000 | ||||||
3.000%, 11/01/2036 to 12/01/2046 |
8,634 | 9,100 | ||||||
2.500%, 02/01/2032 |
1,247 | 1,302 | ||||||
2.482%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.368% |
2 | 2 | ||||||
2.344%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.238% |
4 | 4 | ||||||
2.324%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.200% |
3 | 3 | ||||||
2.260%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.148% |
9 | 9 | ||||||
2.259%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.250% |
3 | 3 | ||||||
2.235%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.156% |
90 | 91 | ||||||
2.228%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.103% |
1 | 1 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser 2002-42, Cl A5 7.500%, 02/25/2042 |
227 | 274 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K052, Cl A1 |
||||||||
2.598%, 01/25/2025 |
6,359 | 6,551 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K066, Cl X1, IO |
||||||||
0.750%, 06/25/2027(B) |
18,064 | 675 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K107, Cl X1, IO |
||||||||
1.591%, 01/25/2030(B) |
12,409 | 1,423 |
Description | Face Amount (Thousands) |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K125, Cl X1, IO |
||||||||
0.585%, 01/25/2031(B) |
$ | 13,608 | $ | 640 | ||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K128, Cl X1, IO |
||||||||
0.529%, 03/25/2031(B) |
10,235 | 442 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K737, Cl X1, IO |
||||||||
0.637%, 10/25/2026(B) |
23,657 | 644 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K742, Cl X1, IO |
||||||||
0.779%, 03/25/2028(B) |
7,594 | 298 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF35, Cl A |
||||||||
0.430%, VAR ICE LIBOR USD 1 Month + 0.350%, 08/25/2024 |
2,121 | 2,123 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF60, Cl A |
||||||||
0.570%, VAR ICE LIBOR USD 1 Month + 0.490%, 02/25/2026 |
6,119 | 6,142 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF62, Cl A |
||||||||
0.560%, VAR ICE LIBOR USD 1 Month + 0.480%, 04/25/2026 |
9,713 | 9,761 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser KF72, Cl A |
||||||||
0.580%, VAR ICE LIBOR USD 1 Month + 0.500%, 10/25/2026 |
5,468 | 5,496 | ||||||
FHLMC REMIC, Ser 2003-2571, Cl FY |
||||||||
0.840%, VAR ICE LIBOR USD 1 Month + 0.750%, 12/15/2032 |
2,567 | 2,619 | ||||||
FHLMC REMIC, Ser 2006-3148, Cl CF |
||||||||
0.490%, VAR ICE LIBOR USD 1 Month + 0.400%, 02/15/2034 |
108 | 109 | ||||||
FHLMC REMIC, Ser 2006-3153, Cl FX |
||||||||
0.440%, VAR ICE LIBOR USD 1 Month + 0.350%, 05/15/2036 |
76 | 77 | ||||||
FHLMC REMIC, Ser 2006-3174, Cl FA |
||||||||
0.390%, VAR ICE LIBOR USD 1 Month + 0.300%, 04/15/2036 |
1,591 | 1,596 | ||||||
FHLMC REMIC, Ser 2006-3219, Cl EF |
||||||||
0.490%, VAR ICE LIBOR USD 1 Month + 0.400%, 04/15/2032 |
2,180 | 2,203 | ||||||
FHLMC REMIC, Ser 2007-3339, Cl HF |
||||||||
0.610%, VAR ICE LIBOR USD 1 Month + 0.520%, 07/15/2037 |
2,214 | 2,243 | ||||||
FHLMC REMIC, Ser 2010-3628, Cl PJ |
||||||||
4.500%, 01/15/2040 |
964 | 1,060 | ||||||
FHLMC REMIC, Ser 2011-3788, Cl FA |
||||||||
0.620%, VAR ICE LIBOR USD 1 Month + 0.530%, 01/15/2041 |
3,306 | 3,335 |
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 1 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Short Duration Government Fund (Continued)
Description | Face Amount (Thousands) |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC REMIC, Ser 2011-3795, Cl EB |
||||||||
2.500%, 10/15/2039 |
$ | 23 | $ | 23 | ||||
FHLMC REMIC, Ser 2011-3930, Cl AI, IO |
||||||||
3.500%, 09/15/2026 |
239 | 13 | ||||||
FHLMC REMIC, Ser 2012-4018, Cl AI, IO |
||||||||
3.500%, 03/15/2027 |
339 | 18 | ||||||
FHLMC REMIC, Ser 2012-4030, Cl FD |
||||||||
0.440%, VAR ICE LIBOR USD 1 Month + 0.350%, 02/15/2041 |
1,030 | 1,031 | ||||||
FHLMC REMIC, Ser 2012-4032, Cl CI, IO |
||||||||
3.500%, 06/15/2026 |
245 | 3 | ||||||
FHLMC REMIC, Ser 2012-4060, Cl TI, IO |
||||||||
2.500%, 12/15/2026 |
519 | 15 | ||||||
FHLMC REMIC, Ser 2012-4083, Cl DI, IO |
||||||||
4.000%, 07/15/2027 |
200 | 13 | ||||||
FHLMC REMIC, Ser 2012-4114, Cl MB |
||||||||
3.000%, 10/15/2032 |
3,000 | 3,185 | ||||||
FHLMC REMIC, Ser 2012-4117, Cl P |
||||||||
1.250%, 07/15/2042 |
2,323 | 2,348 | ||||||
FHLMC REMIC, Ser 2012-4142, Cl PT |
||||||||
1.250%, 12/15/2027 |
1,864 | 1,882 | ||||||
FHLMC REMIC, Ser 2012-4146, Cl AB |
||||||||
1.125%, 12/15/2027 |
2,141 | 2,153 | ||||||
FHLMC REMIC, Ser 2013-4170, Cl QI, IO |
||||||||
3.000%, 05/15/2032 |
557 | 24 | ||||||
FHLMC REMIC, Ser 2013-4176, Cl KI, IO |
||||||||
4.000%, 03/15/2028 |
583 | 31 | ||||||
FHLMC REMIC, Ser 2013-4178, Cl BI, IO |
||||||||
3.000%, 03/15/2033 |
507 | 46 | ||||||
FHLMC REMIC, Ser 2013-4178, Cl MI, IO |
||||||||
2.500%, 03/15/2028 |
342 | 17 | ||||||
FHLMC REMIC, Ser 2013-4182, Cl IE, IO |
||||||||
2.500%, 03/15/2028 |
307 | 17 | ||||||
FHLMC REMIC, Ser 2013-4195, Cl AI, IO |
||||||||
3.000%, 04/15/2028 |
856 | 54 | ||||||
FHLMC REMIC, Ser 2013-4199, Cl QI, IO |
||||||||
2.500%, 05/15/2028 |
491 | 28 | ||||||
FHLMC REMIC, Ser 2013-4220, Cl IE, IO |
||||||||
4.000%, 06/15/2028 |
326 | 20 | ||||||
FHLMC REMIC, Ser 2013-4223, Cl AL |
||||||||
3.000%, 08/15/2042 |
1,492 | 1,527 | ||||||
FHLMC REMIC, Ser 2013-4247, Cl LA |
||||||||
3.000%, 03/15/2043 |
2,566 | 2,677 | ||||||
FHLMC REMIC, Ser 2014-4314, Cl GA |
||||||||
3.000%, 12/15/2039 |
107 | 107 | ||||||
FHLMC REMIC, Ser 2014-4340, Cl MI, IO |
||||||||
4.500%, 02/15/2027 |
1,851 | 119 | ||||||
FHLMC REMIC, Ser 2014-4419, Cl CW |
||||||||
2.500%, 10/15/2037 |
4,539 | 4,682 | ||||||
FHLMC REMIC, Ser 2015-4471, Cl GA |
||||||||
3.000%, 02/15/2044 |
1,484 | 1,539 |
Description | Face Amount (Thousands) |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC REMIC, Ser 2015-4484, Cl Cl, IO |
||||||||
4.000%, 07/15/2030 |
$ | 677 | $ | 58 | ||||
FHLMC REMIC, Ser 2016-4558, Cl DC |
||||||||
3.000%, 07/15/2043 |
1,301 | 1,319 | ||||||
FHLMC REMIC, Ser 2016-4620, Cl IO, IO |
||||||||
5.000%, 09/15/2033 |
726 | 117 | ||||||
FHLMC REMIC, Ser 2017-4650, Cl LP |
||||||||
3.000%, 09/15/2045 |
737 | 763 | ||||||
FHLMC REMIC, Ser 2017-4661, Cl HA |
||||||||
3.000%, 05/15/2043 |
2,502 | 2,554 | ||||||
FHLMC REMIC, Ser 2017-4664, Cl HA |
||||||||
3.500%, 08/15/2043 |
4,906 | 5,027 | ||||||
FHLMC REMIC, Ser 2017-4666, Cl A |
||||||||
3.000%, 03/15/2040 |
133 | 133 | ||||||
FHLMC REMIC, Ser 2017-4673, Cl HA |
||||||||
3.500%, 11/15/2043 |
3,365 | 3,436 | ||||||
FHLMC REMIC, Ser 2017-4709, Cl AB |
||||||||
3.000%, 08/15/2047 |
879 | 927 | ||||||
FHLMC REMIC, Ser 2018-4820, Cl JI, IO |
||||||||
5.000%, 02/15/2048 |
897 | 177 | ||||||
FHLMC REMIC, Ser 2020-4978, Cl MI, IO |
||||||||
4.000%, 05/25/2040 |
2,942 | 404 | ||||||
FHLMC REMIC, Ser 2020-5048, Cl A |
||||||||
1.000%, 06/15/2044 |
6,187 | 6,204 | ||||||
FHLMC, Ser 2013-303, Cl C16, IO |
||||||||
3.500%, 01/15/2043 |
2,298 | 346 | ||||||
FHLMC, Ser 2013-303, Cl C2, IO |
||||||||
3.500%, 01/15/2028 |
1,241 | 79 | ||||||
FNMA |
||||||||
7.000%, 06/01/2037 |
3 | 4 | ||||||
6.500%, 05/01/2026 to 01/01/2036 |
75 | 85 | ||||||
6.000%, 02/01/2023 to 09/01/2024 |
114 | 116 | ||||||
5.500%, 09/01/2022 to 06/01/2038 |
162 | 188 | ||||||
4.500%, 04/01/2026 to 10/01/2031 |
1,117 | 1,207 | ||||||
4.000%, 05/01/2026 to 04/01/2042 |
5,657 | 6,097 | ||||||
3.890%, 10/01/2023 |
803 | 839 | ||||||
3.850%, 01/01/2024 |
531 | 557 | ||||||
3.750%, 06/01/2022 to 09/01/2023 |
3,019 | 3,103 | ||||||
3.650%, 08/01/2023 |
95 | 99 | ||||||
3.500%, 12/01/2034 to 02/01/2045 |
7,335 | 7,878 | ||||||
3.320%, 01/01/2022 (B) |
73 | 73 | ||||||
3.192%, 07/01/2022 (B) |
164 | 165 | ||||||
3.100%, 01/01/2026 |
4,000 | 4,296 | ||||||
3.070%, 06/01/2027 |
934 | 998 | ||||||
3.000%, 09/01/2027 to 11/01/2036 |
6,172 | 6,521 | ||||||
2.970%, 12/01/2022 |
3,228 | 3,288 | ||||||
2.960%, 04/01/2022 to 01/01/2027 (B) |
1,348 | 1,432 | ||||||
2.940%, 06/01/2022 |
276 | 277 | ||||||
2.830%, 06/01/2022 |
161 | 161 | ||||||
2.740%, 04/01/2022 |
113 | 113 | ||||||
2.580%, 08/01/2022 |
2,069 | 2,084 |
2 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Short Duration Government Fund (Continued)
Description | Face Amount (Thousands) |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
2.570%, 01/01/2023 |
$ | 1,787 | $ | 1,812 | ||||
2.540%, 03/01/2023 |
583 | 593 | ||||||
2.500%, 10/01/2031 |
2,770 | 2,902 | ||||||
2.450%, 11/01/2022 |
385 | 389 | ||||||
2.360%, 04/01/2022 |
4,600 | 4,600 | ||||||
2.298%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.240% |
68 | 68 | ||||||
2.280%, 11/01/2022 |
1,107 | 1,118 | ||||||
2.150%, 05/01/2022 |
4,324 | 4,330 | ||||||
2.050%, 11/01/2023 |
1,196 | 1,222 | ||||||
2.045%, 05/01/2028(B) |
2 | 2 | ||||||
2.005%, VAR ICE LIBOR USD 6 Month + 1.824%, 09/01/2024 |
60 | 60 | ||||||
1.732%, VAR ICE LIBOR USD 6 Month + 1.596%, 08/01/2027 |
29 | 29 | ||||||
1.721%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.520% |
15 | 15 | ||||||
0.430%, VAR ICE LIBOR USD 1 Month + 0.350%, 01/01/2023 |
678 | 677 | ||||||
FNMA Interest, Ser 2012-410, Cl C6, IO |
||||||||
4.000%, 05/25/2027 |
616 | 33 | ||||||
FNMA REMIC, Ser 1992-61, Cl FA |
||||||||
0.739%, VAR ICE LIBOR USD 1 Month + 0.650%, 10/25/2022 |
1 | 1 | ||||||
FNMA REMIC, Ser 1993-32, Cl H |
||||||||
6.000%, 03/25/2023 |
2 | 2 | ||||||
FNMA REMIC, Ser 1993-5, Cl Z |
||||||||
6.500%, 02/25/2023 |
1 | 1 | ||||||
FNMA REMIC, Ser 1994-77, Cl FB |
||||||||
1.589%, VAR ICE LIBOR USD 1 Month + 1.500%, 04/25/2024 |
1 | 1 | ||||||
FNMA REMIC, Ser 2002-53, Cl FK |
||||||||
0.489%, VAR ICE LIBOR USD 1 Month + 0.400%, 04/25/2032 |
52 | 53 | ||||||
FNMA REMIC, Ser 2006-76, Cl QF |
||||||||
0.489%, VAR ICE LIBOR USD 1 Month + 0.400%, 08/25/2036 |
266 | 268 | ||||||
FNMA REMIC, Ser 2006-79, Cl DF |
||||||||
0.439%, VAR ICE LIBOR USD 1 Month + 0.350%, 08/25/2036 |
207 | 208 | ||||||
FNMA REMIC, Ser 2007-47, Cl DA |
||||||||
5.600%, 05/25/2037 |
270 | 309 | ||||||
FNMA REMIC, Ser 2007-64, Cl FB |
||||||||
0.459%, VAR ICE LIBOR USD 1 Month + 0.370%, 07/25/2037 |
1,502 | 1,519 | ||||||
FNMA REMIC, Ser 2008-16, Cl FA |
||||||||
0.789%, VAR ICE LIBOR USD 1 Month + 0.700%, 03/25/2038 |
872 | 891 |
Description | Face Amount (Thousands) |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA REMIC, Ser 2009-110, Cl FD |
||||||||
0.839%, VAR ICE LIBOR USD 1 Month + 0.750%, 01/25/2040 |
$ | 3,384 | $ | 3,457 | ||||
FNMA REMIC, Ser 2009-112, Cl FM |
||||||||
0.839%, VAR ICE LIBOR USD 1 Month + 0.750%, 01/25/2040 |
2,114 | 2,163 | ||||||
FNMA REMIC, Ser 2009-82, Cl FD |
||||||||
0.939%, VAR ICE LIBOR USD 1 Month + 0.850%, 10/25/2039 |
3,255 | 3,339 | ||||||
FNMA REMIC, Ser 2009-82, Cl FC |
||||||||
1.009%, VAR ICE LIBOR USD 1 Month + 0.920%, 10/25/2039 |
2,819 | 2,899 | ||||||
FNMA REMIC, Ser 2010-4, Cl PL |
||||||||
4.500%, 02/25/2040 |
841 | 909 | ||||||
FNMA REMIC, Ser 2010-56, Cl AF |
||||||||
0.639%, VAR ICE LIBOR USD 1 Month + 0.550%, 06/25/2040 |
2,124 | 2,124 | ||||||
FNMA REMIC, Ser 2012-103, Cl HB |
||||||||
1.500%, 09/25/2027 |
2,466 | 2,500 | ||||||
FNMA REMIC, Ser 2012-111, Cl NI, IO |
||||||||
3.500%, 10/25/2027 |
773 | 55 | ||||||
FNMA REMIC, Ser 2012-140, Cl PA |
||||||||
2.000%, 12/25/2042 |
3,540 | 3,555 | ||||||
FNMA REMIC, Ser 2012-27, Cl PI, IO |
||||||||
4.500%, 02/25/2042 |
2,423 | 266 | ||||||
FNMA REMIC, Ser 2012-43, Cl AI, IO |
||||||||
3.500%, 04/25/2027 |
3,612 | 226 | ||||||
FNMA REMIC, Ser 2012-47, Cl QI, IO |
||||||||
5.496%, 05/25/2042(B) |
105 | 11 | ||||||
FNMA REMIC, Ser 2012-53, Cl BI, IO |
||||||||
3.500%, 05/25/2027 |
459 | 30 | ||||||
FNMA REMIC, Ser 2012-70, Cl IW, IO |
||||||||
3.000%, 02/25/2027 |
901 | 35 | ||||||
FNMA REMIC, Ser 2012-93, Cl IL, IO |
||||||||
3.000%, 09/25/2027 |
393 | 24 | ||||||
FNMA REMIC, Ser 2012-97, Cl JI, IO |
||||||||
3.000%, 07/25/2027 |
1,066 | 53 | ||||||
FNMA REMIC, Ser 2012-98, Cl BI, IO |
||||||||
6.000%, 01/25/2042 |
1,535 | 202 | ||||||
FNMA REMIC, Ser 2013-10, Cl YA |
||||||||
1.250%, 02/25/2028 |
3,208 | 3,242 | ||||||
FNMA REMIC, Ser 2013-12, Cl P |
||||||||
1.750%, 11/25/2041 |
678 | 687 | ||||||
FNMA REMIC, Ser 2013-121, Cl FA |
||||||||
0.489%, VAR ICE LIBOR USD 1 Month + 0.400%, 12/25/2043 |
15,685 | 15,827 | ||||||
FNMA REMIC, Ser 2013-130, Cl FQ |
||||||||
0.289%, VAR ICE LIBOR USD 1 Month + 0.200%, 06/25/2041 |
2,885 | 2,888 | ||||||
FNMA REMIC, Ser 2013-4, Cl CB |
||||||||
1.250%, 02/25/2028 |
3,276 | 3,298 |
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 3 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Short Duration Government Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA REMIC, Ser 2013-4, Cl JB |
||||||||
1.250%, 02/25/2028 |
$ | 1,917 | $ | 1,930 | ||||
FNMA REMIC, Ser 2013-41, Cl A |
||||||||
1.750%, 05/25/2040 |
1,434 | 1,443 | ||||||
FNMA REMIC, Ser 2013-9, Cl PT |
||||||||
1.250%, 02/25/2028 |
1,646 | 1,657 | ||||||
FNMA REMIC, Ser 2013-98, Cl ZA |
||||||||
4.500%, 09/25/2043 |
6,536 | 7,353 | ||||||
FNMA REMIC, Ser 2014-50, Cl SC, IO |
||||||||
1.642%, 08/25/2044(B) |
1,574 | 89 | ||||||
FNMA REMIC, Ser 2015-21, Cl WI, IO |
||||||||
1.715%, 04/25/2055(B) |
1,251 | 65 | ||||||
FNMA REMIC, Ser 2015-41, Cl AG |
||||||||
3.000%, 09/25/2034 |
1,082 | 1,119 | ||||||
FNMA REMIC, Ser 2015-42, Cl AI, IO |
||||||||
1.633%, 06/25/2055(B) |
1,470 | 83 | ||||||
FNMA REMIC, Ser 2015-5, Cl CP |
||||||||
3.000%, 06/25/2043 |
1,389 | 1,451 | ||||||
FNMA REMIC, Ser 2015-68, Cl HI, IO |
||||||||
3.500%, 09/25/2035 |
561 | 65 | ||||||
FNMA REMIC, Ser 2015-68, Cl JI, IO |
||||||||
3.500%, 08/25/2030 |
263 | 21 | ||||||
FNMA REMIC, Ser 2015-75, Cl DB |
||||||||
3.000%, 08/25/2035 |
2,418 | 2,532 | ||||||
FNMA REMIC, Ser 2016-25, Cl A |
||||||||
3.000%, 11/25/2042 |
597 | 609 | ||||||
FNMA REMIC, Ser 2016-3, Cl JI, IO |
||||||||
3.500%, 02/25/2031 |
448 | 26 | ||||||
FNMA REMIC, Ser 2016-42, Cl DA |
||||||||
3.000%, 07/25/2045 |
667 | 691 | ||||||
FNMA REMIC, Ser 2016-71, Cl IN, IO |
||||||||
3.500%, 10/25/2046 |
571 | 93 | ||||||
FNMA REMIC, Ser 2017-15, Cl BC |
||||||||
3.250%, 11/25/2043 |
3,134 | 3,224 | ||||||
FNMA REMIC, Ser 2017-34, Cl JK |
||||||||
3.000%, 05/25/2047 |
848 | 871 | ||||||
FNMA REMIC, Ser 2017-35, Cl AH |
||||||||
3.500%, 04/25/2053 |
2,827 | 2,896 | ||||||
FNMA REMIC, Ser 2017-47, Cl AB |
||||||||
2.500%, 10/25/2041 |
4,568 | 4,622 | ||||||
FNMA REMIC, Ser 2017-68, Cl BI, IO |
||||||||
6.000%, 09/25/2047 |
1,224 | 262 | ||||||
FNMA REMIC, Ser 2017-68, Cl IB, IO |
||||||||
4.500%, 09/25/2047 |
2,666 | 406 | ||||||
FNMA REMIC, Ser 2018-13, Cl MP |
||||||||
3.500%, 12/25/2057 |
3,601 | 3,818 | ||||||
FNMA REMIC, Ser 2018-77, Cl PA |
||||||||
3.500%, 02/25/2048 |
677 | 703 | ||||||
FNMA REMIC, Ser 2019-6, Cl GJ |
||||||||
3.000%, 02/25/2049 |
1,546 | 1,617 | ||||||
FNMA REMIC, Ser 2020-26, Cl AI, IO |
||||||||
3.000%, 04/25/2033 |
4,037 | 299 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA REMIC, Ser 2020-26, Cl IA, IO |
||||||||
3.500%, 11/25/2039 |
$ | 4,915 | $ | 533 | ||||
FNMA REMIC, Ser 2020-4, Cl AP |
||||||||
2.500%, 02/25/2050 |
2,577 | 2,612 | ||||||
FNMA, Ser 2009-397, Cl 6 |
||||||||
2.000%, 09/25/2039 |
1,068 | 1,078 | ||||||
FNMA, Ser 2013-418, Cl C16, IO |
||||||||
4.500%, 08/25/2043 |
2,643 | 433 | ||||||
FNMA, Ser 2017-M13, Cl FA |
||||||||
0.487%, VAR ICE LIBOR USD 1 Month + 0.400%, 10/25/2024 |
390 | 390 | ||||||
FNMA, Ser 2018-M12, Cl FA |
||||||||
0.487%, VAR ICE LIBOR USD 1 Month + 0.400%, 08/25/2025 |
324 | 324 | ||||||
FNMA, Ser 2019-M21, Cl X1, IO |
||||||||
1.439%, 05/25/2029(B) |
14,506 | 1,349 | ||||||
GNMA |
||||||||
6.500%, 12/15/2037 to 02/20/2039 |
144 | 162 | ||||||
6.000%, 01/15/2024 to 06/15/2041 |
2,693 | 3,149 | ||||||
5.500%, 10/15/2034 to 02/15/2041 |
1,245 | 1,467 | ||||||
5.000%, 09/15/2039 to 04/15/2041 |
703 | 816 | ||||||
4.500%, 09/20/2049 |
2,486 | 2,649 | ||||||
4.000%, 07/15/2041 to 08/15/2041 |
68 | 75 | ||||||
3.500%, 06/20/2046 |
2,686 | 2,841 | ||||||
GNMA, Ser 2003-86, Cl ZD |
||||||||
5.500%, 10/20/2033 |
2,687 | 2,990 | ||||||
GNMA, Ser 2010-116, Cl GW |
||||||||
3.000%, 12/20/2039 |
724 | 730 | ||||||
GNMA, Ser 2010-26, Cl JI, IO |
||||||||
5.000%, 02/16/2040 |
1,807 | 323 | ||||||
GNMA, Ser 2010-57, Cl TI, IO |
||||||||
5.000%, 05/20/2040 |
816 | 166 | ||||||
GNMA, Ser 2010-68, Cl WA |
||||||||
3.000%, 12/16/2039 |
1,439 | 1,500 | ||||||
GNMA, Ser 2011-131, Cl PC |
||||||||
3.500%, 12/20/2040 |
185 | 188 | ||||||
GNMA, Ser 2012-126, Cl IO, IO |
||||||||
3.500%, 10/20/2042 |
2,361 | 360 | ||||||
GNMA, Ser 2012-36, Cl AB |
||||||||
3.000%, 10/20/2040 |
531 | 550 | ||||||
GNMA, Ser 2012-51, Cl AB |
||||||||
1.500%, 07/20/2040 |
167 | 167 | ||||||
GNMA, Ser 2012-51, Cl GI, IO |
||||||||
3.500%, 07/20/2040 |
389 | 17 | ||||||
GNMA, Ser 2012-84, Cl TE |
||||||||
1.500%, 03/20/2042 |
1,997 | 2,016 | ||||||
GNMA, Ser 2013-129, Cl AF |
||||||||
0.486%, VAR ICE LIBOR USD 1 Month + 0.400%, 10/20/2039 |
4,111 | 4,127 | ||||||
GNMA, Ser 2013-166, Cl DA |
||||||||
3.500%, 06/20/2040 |
537 | 562 |
4 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Short Duration Government Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2013-26, Cl IK, IO |
||||||||
3.000%, 02/16/2043 |
$ | 450 | $ | 60 | ||||
GNMA, Ser 2013-47, Cl IA, IO |
||||||||
4.000%, 03/20/2043 |
445 | 72 | ||||||
GNMA, Ser 2013-51, Cl IB, IO |
||||||||
3.500%, 03/20/2027 |
502 | 31 | ||||||
GNMA, Ser 2014-4, Cl BI, IO |
||||||||
4.000%, 01/20/2044 |
190 | 31 | ||||||
GNMA, Ser 2014-46, Cl IO, IO |
||||||||
5.000%, 03/16/2044 |
770 | 118 | ||||||
GNMA, Ser 2014-55, Cl LB |
||||||||
2.500%, 10/20/2040 |
287 | 297 | ||||||
GNMA, Ser 2014-56, Cl BP |
||||||||
2.500%, 12/16/2039 |
1,412 | 1,460 | ||||||
GNMA, Ser 2015-119, Cl ND |
||||||||
2.500%, 12/20/2044 |
2,932 | 2,992 | ||||||
GNMA, Ser 2015-126, Cl GI, IO |
||||||||
3.500%, 02/16/2027 |
204 | 12 | ||||||
GNMA, Ser 2015-126, Cl HI, IO |
||||||||
4.000%, 12/16/2026 |
127 | 6 | ||||||
GNMA, Ser 2015-132, Cl EI, IO |
||||||||
6.000%, 09/20/2045 |
1,350 | 277 | ||||||
GNMA, Ser 2015-165, Cl I, IO |
||||||||
3.500%, 07/20/2043 |
1,129 | 138 | ||||||
GNMA, Ser 2015-17, Cl BI, IO |
||||||||
3.500%, 05/20/2043 |
161 | 22 | ||||||
GNMA, Ser 2015-185, Cl GI, IO |
||||||||
3.500%, 02/20/2041 |
584 | 19 | ||||||
GNMA, Ser 2015-40, Cl PA |
||||||||
2.000%, 04/20/2044 |
2,039 | 2,061 | ||||||
GNMA, Ser 2015-53, Cl IA, IO |
||||||||
4.500%, 04/20/2045 |
753 | 118 | ||||||
GNMA, Ser 2015-63, Cl PB |
||||||||
1.750%, 09/20/2043 |
248 | 251 | ||||||
GNMA, Ser 2016-126, Cl KI, IO |
||||||||
3.000%, 09/20/2028 |
484 | 29 | ||||||
GNMA, Ser 2016-167, Cl AI, IO |
||||||||
5.500%, 03/20/2039 |
1,601 | 212 | ||||||
GNMA, Ser 2016-23, Cl CI, IO |
||||||||
3.500%, 04/20/2042 |
1,216 | 72 | ||||||
GNMA, Ser 2016-42, Cl EI, IO |
||||||||
6.000%, 02/20/2046 |
1,201 | 196 | ||||||
GNMA, Ser 2016-49, Cl PI, IO |
||||||||
4.500%, 11/16/2045 |
1,689 | 272 | ||||||
GNMA, Ser 2016-99, Cl LI, IO |
||||||||
4.000%, 05/20/2029 |
2,031 | 119 | ||||||
GNMA, Ser 2017-107, Cl JI, IO |
||||||||
4.000%, 03/20/2047 |
1,464 | 172 | ||||||
GNMA, Ser 2017-134, Cl BI, IO |
||||||||
5.000%, 09/16/2047 |
293 | 56 | ||||||
GNMA, Ser 2017-2, Cl AI, IO |
||||||||
5.000%, 01/16/2047 |
390 | 75 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2017-26, Cl IA, IO |
||||||||
5.500%, 02/16/2047 |
$ | 1,326 | $ | 223 | ||||
GNMA, Ser 2017-26, Cl KI, IO |
||||||||
6.000%, 09/20/2040 |
1,553 | 305 | ||||||
GNMA, Ser 2017-26, Cl IB, IO |
||||||||
5.500%, 02/20/2047 |
822 | 146 | ||||||
GNMA, Ser 2017-95, Cl PG |
||||||||
2.500%, 12/20/2045 |
883 | 900 | ||||||
GNMA, Ser 2018-127, Cl PB |
||||||||
3.000%, 09/20/2047 |
2,696 | 2,790 | ||||||
GNMA, Ser 2018-72, Cl ID, IO |
||||||||
4.500%, 08/20/2045 |
3,542 | 561 | ||||||
GNMA, Ser 2019-43, Cl IA, IO |
||||||||
4.500%, 05/20/2048 |
2,091 | 297 | ||||||
GNMA, Ser 2019-5, Cl JI, IO |
||||||||
5.000%, 07/16/2044 |
1,705 | 298 | ||||||
GNMA, Ser 2020-17, Cl EI, IO |
||||||||
5.000%, 02/20/2050 |
2,782 | 450 | ||||||
UMBS TBA |
||||||||
4.500%, 12/01/2039-11/15/2051 |
(2,643 | ) | (2,691 | ) | ||||
2.500%-3.500%, 10/01/2027-12/15/2051 |
(9,610 | ) | (10,785 | ) | ||||
1.500%, 11/15/2036 |
(13,925 | ) | (14,015 | ) | ||||
|
|
| ||||||
273,907 | ||||||||
|
|
| ||||||
Non-Agency Mortgage-Backed Obligations 2.1% |
| |||||||
Seasoned Credit Risk Transfer Trust, Ser 2021-2, Cl TT |
||||||||
2.000%, 11/25/2060 |
12,855 | 12,961 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2021-3, Cl TT |
||||||||
2.000%, 03/25/2061 |
2,145 | 2,171 | ||||||
|
|
| ||||||
15,132 | ||||||||
|
|
| ||||||
Total Mortgage-Backed Securities |
289,039 | |||||||
|
|
| ||||||
REPURCHASE AGREEMENTS 6.6% |
| |||||||
BNP Paribas |
||||||||
0.050%, dated 10/29/2021 to be repurchased on 11/01/2021, repurchase price $34,600,144 (collateralized by U.S. Government obligations, ranging in par value $100 - $7,998,744, 0.110% - 5.000%, 2/28/2022 4/15/2052; with total market value $35,292,001) (C) |
34,600 | 34,600 |
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 5 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
Short Duration Government Fund (Concluded)
Description | Face Amount (Thousands) |
Market Value ($Thousands) | ||||||
REPURCHASE AGREEMENTS (continued) |
| |||||||
Deutsche Bank |
||||||||
0.050%, dated 10/29/2021 to be repurchased on 11/01/2021, repurchase price $13,000,054 collateralized by a U.S. Treasury obligation, par value $11,762,500 3.125%, 11/15/2028; with total market value $13,260,000) (C) |
$ | 13,000 | $ | 13,000 | ||||
|
|
| ||||||
Total Repurchase Agreements |
47,600 | |||||||
|
|
| ||||||
Total Investments in Securities 90.0% |
$ | 650,876 | ||||||
|
|
|
A list of the open futures contracts held by the Fund at October 31, 2021, is as follows:
Type of Contract | Number of Contracts |
Expiration Date |
Notional Amount (Thousands) |
Value (Thousands) |
Unrealized Appreciation/ (Depreciation) (Thousands) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
U.S. 2-Year Treasury Note |
1,105 | Jan-2022 | $ | 243,295 | $ | 242,271 | $ | (1,024) | ||||||||||||
U.S. Long Treasury Bond |
14 | Dec-2021 | 2,289 | 2,252 | (37) | |||||||||||||||
U.S. Ultra Long Treasury Bond |
6 | Dec-2021 | 1,188 | 1,179 | (10) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||
246,772 | 245,702 | (1,071) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||||||
U.S. 5-Year Treasury Note |
(13 | ) | Jan-2022 | $ | (1,583) | $ | (1,583) | $ | | |||||||||||
U.S. 10-Year Treasury Note |
(195 | ) | Dec-2021 | (25,859) | (25,487) | 372 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
(27,442) | (27,070) | 372 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$ | 219,330 | $ | 218,632 | $ | (699) | |||||||||||||||
|
|
|
|
|
|
Percentages are based on Net Assets of $723,244 ($ Thousands).
(A) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(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) | 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
UMBS Uniform Mortgage Backed Securities
USD U.S. Dollar
VAR Variable Rate
The following is a summary of the inputs used as of October 31, 2021 in valuing the Funds investments and other financial instruments carried at value ($ Thousands):
Investments in Securities |
Level 1 |
Level 2 ($) |
Level 3 ($) |
Total ($) |
||||||||||||
U.S. Treasury Obligations |
| 314,237 | | 314,237 | ||||||||||||
Mortgage-Backed Securities |
| 289,039 | | 289,039 | ||||||||||||
Repurchase Agreements |
| 47,600 | | 47,600 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities |
| 650,876 | | 650,876 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments |
Level 1 ($) |
Level 2 ($) |
Level 3 ($) |
Total ($) |
||||||||||||
Futures Contracts* |
||||||||||||||||
Unrealized Appreciation |
372 | | | 372 | ||||||||||||
Unrealized Depreciation |
(1,071) | | | (1,071) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Other Financial Instruments |
(699) | | | (699) | ||||||||||||
|
|
|
|
|
|
|
|
* Futures contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.
For the period ended October 31, 2021, there were no transfers in or out of Level 3. Amounts designated as are $0 or have been rounded to $0.
For information regarding the Funds policy regarding valuation of investments and other accounting policies, please refer to the Funds most recent semi-annual and annual financial statements.
6 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
GNMA Fund
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES 98.3% |
| |||||||
Agency Mortgage-Backed Obligations 97.5% |
| |||||||
FHLMC |
||||||||
5.000%, 09/01/2029 |
$ | 94 | $ | 103 | ||||
3.650%, 04/01/2030 |
308 | 346 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser 1520, Cl X1, IO |
||||||||
0.472%, 02/25/2036(A) |
604 | 32 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K066, Cl X1, IO |
||||||||
0.750%, 06/25/2027(A) |
1,645 | 61 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K110, Cl X1, IO |
||||||||
1.697%, 04/25/2030(A) |
1,148 | 140 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K116, Cl X1, IO |
||||||||
1.427%, 07/25/2030(A) |
1,323 | 139 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K118, Cl X1, IO |
||||||||
0.961%, 09/25/2030(A) |
1,520 | 112 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K123, Cl X1, IO |
||||||||
0.775%, 12/25/2030(A) |
2,323 | 141 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K125, Cl X1, IO |
||||||||
0.585%, 01/25/2031(A) |
2,996 | 141 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K128, Cl X1, IO |
||||||||
0.529%, 03/25/2031(A) |
1,349 | 58 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates, Ser K737, Cl X1, IO |
||||||||
0.637%, 10/25/2026(A) |
2,156 | 59 | ||||||
FHLMC REMIC, Ser 2011-3930, Cl AI, IO |
||||||||
3.500%, 09/15/2026 |
159 | 9 | ||||||
FHLMC REMIC, Ser 2012-4018, Cl AI, IO |
||||||||
3.500%, 03/15/2027 |
227 | 12 | ||||||
FHLMC REMIC, Ser 2012-4032, Cl CI, IO |
||||||||
3.500%, 06/15/2026 |
163 | 2 | ||||||
FHLMC REMIC, Ser 2012-4060, Cl TI, IO |
||||||||
2.500%, 12/15/2026 |
335 | 9 | ||||||
FHLMC REMIC, Ser 2013-4166, Cl PI, IO |
||||||||
3.500%, 03/15/2041 |
210 | 12 | ||||||
FHLMC REMIC, Ser 2013-4176, Cl KI, IO |
||||||||
4.000%, 03/15/2028 |
386 | 21 | ||||||
FHLMC REMIC, Ser 2013-4178, Cl MI, IO |
||||||||
2.500%, 03/15/2028 |
237 | 12 | ||||||
FHLMC REMIC, Ser 2013-4182, Cl IE, IO |
||||||||
2.500%, 03/15/2028 |
213 | 12 | ||||||
FHLMC REMIC, Ser 2013-4199, Cl QI, IO |
||||||||
2.500%, 05/15/2028 |
319 | 18 | ||||||
FHLMC REMIC, Ser 2013-4247, Cl LA |
||||||||
3.000%, 03/15/2043 |
336 | 351 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FHLMC REMIC, Ser 2015-4446, Cl BI, IO |
||||||||
6.500%, 04/15/2039 |
$ | 245 | $ | 54 | ||||
FHLMC REMIC, Ser 2015-4484, Cl Cl, IO |
||||||||
4.000%, 07/15/2030 |
425 | 37 | ||||||
FHLMC REMIC, Ser 2016-4624, Cl BI, IO |
||||||||
5.500%, 04/15/2036 |
163 | 30 | ||||||
FHLMC REMIC, Ser 2016-4636, Cl BI, IO |
||||||||
5.500%, 05/15/2040 |
256 | 51 | ||||||
FHLMC REMIC, Ser 2017-4731, Cl LB |
||||||||
3.000%, 11/15/2047 |
167 | 174 | ||||||
FHLMC REMIC, Ser 2018-4820, Cl JI, IO |
||||||||
5.000%, 02/15/2048 |
81 | 16 | ||||||
FHLMC REMIC, Ser 2020-4978, Cl MI, IO |
||||||||
4.000%, 05/25/2040 |
274 | 38 | ||||||
FHLMC, Ser 2014-324, Cl C18, IO |
||||||||
4.000%, 12/15/2033 |
354 | 41 | ||||||
FNMA |
||||||||
8.000%, 07/01/2025 to 09/01/2028 |
14 | 13 | ||||||
7.000%, 08/01/2029 to 09/01/2032 |
22 | 22 | ||||||
6.500%, 09/01/2032 |
24 | 27 | ||||||
5.000%, 03/01/2049 to 04/01/2049 |
200 | 221 | ||||||
3.260%, 06/01/2027 |
174 | 189 | ||||||
3.230%, 02/01/2027 |
138 | 150 | ||||||
FNMA Interest, Ser 2007-379, Cl 1, PO |
||||||||
0.000%, 05/25/2037(B)(C) |
613 | 566 | ||||||
FNMA Interest, Ser 2012-410, Cl C6, IO |
||||||||
4.000%, 05/25/2027 |
77 | 4 | ||||||
FNMA Interest, Ser 2012-410, Cl C8, IO |
||||||||
4.000%, 04/25/2032 |
418 | 45 | ||||||
FNMA REMIC, Ser 2010-126, Cl NI, IO |
||||||||
5.500%, 11/25/2040 |
212 | 34 | ||||||
FNMA REMIC, Ser 2012-53, Cl BI, IO |
||||||||
3.500%, 05/25/2027 |
56 | 4 | ||||||
FNMA REMIC, Ser 2012-93, Cl IL, IO |
||||||||
3.000%, 09/25/2027 |
279 | 17 | ||||||
FNMA REMIC, Ser 2012-98, Cl BI, IO |
||||||||
6.000%, 01/25/2042 |
150 | 20 | ||||||
FNMA REMIC, Ser 2014-68, Cl ID, IO |
||||||||
3.500%, 03/25/2034 |
492 | 32 | ||||||
FNMA REMIC, Ser 2015-21, Cl WI, IO |
||||||||
1.715%, 04/25/2055(A) |
156 | 8 | ||||||
FNMA REMIC, Ser 2016-3, Cl JI, IO |
||||||||
3.500%, 02/25/2031 |
58 | 3 | ||||||
FNMA REMIC, Ser 2016-71, Cl IN, IO |
||||||||
3.500%, 10/25/2046 |
71 | 12 | ||||||
FNMA REMIC, Ser 2017-110, Cl PB |
||||||||
3.000%, 02/25/2057 |
79 | 83 | ||||||
FNMA REMIC, Ser 2017-68, Cl IB, IO |
||||||||
4.500%, 09/25/2047 |
212 | 32 | ||||||
FNMA REMIC, Ser 2018-13, Cl MP |
||||||||
3.500%, 12/25/2057 |
367 | 389 |
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 1 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
GNMA Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
FNMA REMIC, Ser 2018-25, Cl AL |
||||||||
3.500%, 04/25/2048 |
$ | 49 | $ | 52 | ||||
FNMA REMIC, Ser 2019-31, Cl CB |
||||||||
3.000%, 07/25/2049 |
300 | 322 | ||||||
FNMA REMIC, Ser 2019-9, Cl CL |
||||||||
3.500%, 04/25/2048 |
652 | 700 | ||||||
FNMA REMIC, Ser 2020-26, Cl IA, IO |
||||||||
3.500%, 11/25/2039 |
429 | 47 | ||||||
FNMA, Ser 2019-M21, Cl X1, IO |
||||||||
1.439%, 05/25/2029(A) |
1,341 | 125 | ||||||
FNMA, Ser 2020-M2, Cl X, IO |
||||||||
0.330%, 01/25/2030(A) |
906 | 18 | ||||||
GNMA |
||||||||
8.000%, 06/15/2022 to 03/15/2032 |
66 | 69 | ||||||
7.750%, 10/15/2026 |
11 | 12 | ||||||
7.500%, 02/15/2027 to 10/15/2035 |
47 | 53 | ||||||
7.250%, 01/15/2028 |
9 | 9 | ||||||
7.000%, 11/15/2031 to 11/15/2033 |
586 | 662 | ||||||
6.500%, 10/15/2023 to 10/15/2038 |
205 | 239 | ||||||
6.000%, 12/15/2027 to 12/15/2040 |
501 | 576 | ||||||
5.500%, 01/15/2033 to 02/15/2041 |
809 | 937 | ||||||
5.000%, 06/15/2033 to 01/20/2045 |
1,890 | 2,184 | ||||||
4.500%, 08/15/2033 to 08/20/2049 |
2,387 | 2,621 | ||||||
4.000%, 03/20/2040 to 05/20/2050 |
7,567 | 8,175 | ||||||
4.000%, 01/15/2041(D) |
377 | 418 | ||||||
3.875%, 05/15/2042 to 08/15/2042 |
1,025 | 1,133 | ||||||
3.500%, 03/20/2041 to 12/20/2050 |
10,893 | 11,550 | ||||||
3.000%, 10/15/2042 to 10/20/2051 |
11,584 | 12,104 | ||||||
2.500%, 07/20/2045 to 11/20/2051 |
17,340 | 17,850 | ||||||
GNMA, Ser 2010-26, Cl JI, IO |
||||||||
5.000%, 02/16/2040 |
356 | 64 | ||||||
GNMA, Ser 2010-57, Cl TI, IO |
||||||||
5.000%, 05/20/2040 |
366 | 75 | ||||||
GNMA, Ser 2011-131, Cl PZ |
||||||||
3.500%, 12/20/2040 |
296 | 311 | ||||||
GNMA, Ser 2012-113, Cl BZ |
||||||||
3.000%, 09/16/2042 |
212 | 220 | ||||||
GNMA, Ser 2012-126, Cl IO, IO |
||||||||
3.500%, 10/20/2042 |
289 | 44 | ||||||
GNMA, Ser 2012-140, Cl LD |
||||||||
1.750%, 10/20/2042 |
437 | 445 | ||||||
GNMA, Ser 2012-51, Cl GI, IO |
||||||||
3.500%, 07/20/2040 |
259 | 11 | ||||||
GNMA, Ser 2012-69, Cl AI, IO |
||||||||
4.500%, 05/16/2027 |
88 | 4 | ||||||
GNMA, Ser 2012-91, Cl NC |
||||||||
3.000%, 05/20/2042 |
361 | 378 | ||||||
GNMA, Ser 2013-187, Cl PE |
||||||||
2.000%, 09/20/2043 |
431 | 441 | ||||||
GNMA, Ser 2013-26, Cl IK, IO |
||||||||
3.000%, 02/16/2043 |
295 | 39 |
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2013-47, Cl IA, IO |
||||||||
4.000%, 03/20/2043 |
$ | 294 | $ | 48 | ||||
GNMA, Ser 2013-79, Cl BZ |
||||||||
3.000%, 05/20/2043 |
354 | 381 | ||||||
GNMA, Ser 2013-99, Cl AX |
||||||||
3.000%, 07/20/2043 |
80 | 84 | ||||||
GNMA, Ser 2014-119, Cl ZK |
||||||||
3.500%, 08/16/2044 |
337 | 367 | ||||||
GNMA, Ser 2014-122, Cl IP, IO |
||||||||
3.500%, 08/16/2029 |
399 | 29 | ||||||
GNMA, Ser 2014-133, Cl EP |
||||||||
3.500%, 09/20/2044 |
251 | 266 | ||||||
GNMA, Ser 2014-144, Cl BI, IO |
||||||||
3.000%, 09/16/2029 |
132 | 9 | ||||||
GNMA, Ser 2014-21, Cl DI, IO |
||||||||
4.000%, 04/16/2026 |
414 | 21 | ||||||
GNMA, Ser 2014-72, Cl ML |
||||||||
3.500%, 03/20/2044 |
433 | 455 | ||||||
GNMA, Ser 2015-165, Cl I, IO |
||||||||
3.500%, 07/20/2043 |
538 | 66 | ||||||
GNMA, Ser 2015-168, Cl MI, IO |
||||||||
5.500%, 10/20/2037 |
421 | 65 | ||||||
GNMA, Ser 2015-17, Cl BI, IO |
||||||||
3.500%, 05/20/2043 |
424 | 57 | ||||||
GNMA, Ser 2015-18, Cl IC, IO |
||||||||
3.500%, 02/16/2030 |
318 | 24 | ||||||
GNMA, Ser 2015-185, Cl GI, IO |
||||||||
3.500%, 02/20/2041 |
386 | 12 | ||||||
GNMA, Ser 2015-24, Cl CI, IO |
||||||||
3.500%, 02/20/2045 |
185 | 22 | ||||||
GNMA, Ser 2015-53, Cl IA, IO |
||||||||
4.500%, 04/20/2045 |
388 | 61 | ||||||
GNMA, Ser 2015-62, Cl CI, IO |
||||||||
4.500%, 05/20/2045 |
202 | 31 | ||||||
GNMA, Ser 2015-63, Cl PB |
||||||||
1.750%, 09/20/2043 |
74 | 75 | ||||||
GNMA, Ser 2015-84, Cl IO, IO |
||||||||
3.500%, 05/16/2042 |
282 | 49 | ||||||
GNMA, Ser 2016-126, Cl KI, IO |
||||||||
3.000%, 09/20/2028 |
323 | 19 | ||||||
GNMA, Ser 2016-136, Cl A |
||||||||
3.000%, 07/20/2044 |
577 | 596 | ||||||
GNMA, Ser 2016-136, Cl PJ |
||||||||
3.500%, 01/20/2046 |
364 | 400 | ||||||
GNMA, Ser 2016-161, Cl GI, IO |
||||||||
5.000%, 11/16/2046 |
171 | 28 | ||||||
GNMA, Ser 2016-167, Cl AI, IO |
||||||||
5.500%, 03/20/2039 |
415 | 55 | ||||||
GNMA, Ser 2016-18, Cl TA |
||||||||
2.000%, 10/20/2044 |
314 | 318 | ||||||
GNMA, Ser 2016-23, Cl CI, IO |
||||||||
3.500%, 04/20/2042 |
795 | 47 |
2 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
GNMA Fund (Continued)
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
MORTGAGE-BACKED SECURITIES (continued) |
| |||||||
GNMA, Ser 2016-42, Cl EI, IO |
||||||||
6.000%, 02/20/2046 |
$ | 321 | $ | 52 | ||||
GNMA, Ser 2016-49, Cl PZ |
||||||||
3.000%, 11/16/2045 |
229 | 243 | ||||||
GNMA, Ser 2016-99, Cl LI, IO |
||||||||
4.000%, 05/20/2029 |
833 | 49 | ||||||
GNMA, Ser 2017-107, Cl JI, IO |
||||||||
4.000%, 03/20/2047 |
496 | 58 | ||||||
GNMA, Ser 2017-130, Cl IO, IO |
||||||||
4.500%, 02/20/2040 |
213 | 35 | ||||||
GNMA, Ser 2017-134, Cl BI, IO |
||||||||
5.000%, 09/16/2047 |
132 | 25 | ||||||
GNMA, Ser 2017-134, Cl CG |
||||||||
2.500%, 09/20/2047 |
80 | 80 | ||||||
GNMA, Ser 2017-182, Cl LZ |
||||||||
3.000%, 12/20/2047 |
140 | 144 | ||||||
GNMA, Ser 2017-19, Cl AY |
||||||||
3.000%, 02/20/2047 |
436 | 471 | ||||||
GNMA, Ser 2017-2, Cl AI, IO |
||||||||
5.000%, 01/16/2047 |
252 | 48 | ||||||
GNMA, Ser 2017-26, Cl IA, IO |
||||||||
5.500%, 02/16/2047 |
386 | 65 | ||||||
GNMA, Ser 2018-72, Cl ID, IO |
||||||||
4.500%, 08/20/2045 |
298 | 47 | ||||||
GNMA, Ser 2018-77, Cl JY |
||||||||
3.500%, 06/20/2048 |
246 | 262 | ||||||
GNMA, Ser 2019-43, Cl IA, IO |
||||||||
4.500%, 05/20/2048 |
179 | 25 | ||||||
GNMA, Ser 2020-17, Cl EI, IO |
||||||||
5.000%, 02/20/2050 |
227 | 37 | ||||||
GNMA, Ser 2020-74, Cl IC, IO |
||||||||
3.000%, 05/20/2035 |
823 | 57 | ||||||
UMBS TBA |
||||||||
2.000%-5.500%, 11/01/2035-12/15/2051 |
10,980 | 10,875 | ||||||
|
|
| ||||||
82,148 | ||||||||
|
|
| ||||||
Non-Agency Mortgage-Backed Obligations 0.8% |
| |||||||
Seasoned Credit Risk Transfer Trust, Ser 2018-2, Cl MA |
||||||||
3.500%, 11/25/2057 |
358 | 372 | ||||||
Seasoned Credit Risk Transfer Trust, Ser 2019-3, Cl MT |
||||||||
3.500%, 10/25/2058 |
240 | 253 | ||||||
|
|
| ||||||
625 | ||||||||
|
|
| ||||||
Total Mortgage-Backed Securities |
82,773 | |||||||
|
|
|
Description |
Face Amount |
Market Value ($ Thousands) | ||||||
REPURCHASE AGREEMENTS 20.4% |
| |||||||
BNP Paribas |
||||||||
0.050%, dated 10/29/2021 to be repurchased on 11/01/2021, repurchase price $8,800,037 (collateralized by U.S. Government obligations, ranging in par value $1,000 - $30,017,627, 1.850% - 6.000%, 01/01/2038 11/01/2050; with total market value $8,976,000) (E) |
$ | 8,800 | $ | 8,800 | ||||
Deutsche Bank |
||||||||
0.050%, dated 10/29/2021 to be repurchased on 11/01/2021, repurchase price $8,400,035 collateralized by a U.S. Treasury obligation, par value $7,953,100 2.875%, 07/31/2025; with total market value $8,568,028) (E) |
8,400 | 8,400 | ||||||
|
|
| ||||||
Total Repurchase
Agreements |
17,200 | |||||||
|
|
| ||||||
Total Investments in Securities
118.7% |
$ | 99,973 | ||||||
|
|
|
SEI Daily Income Trust / Quarterly Report / October 31, 2021 | 3 |
SCHEDULE OF INVESTMENTS (Unaudited)
October 31, 2021
GNMA Fund (Concluded)
A list of the open futures contracts held by the Fund at October 31, 2021, is as follows:
Type of Contract |
Number of Contracts |
Expiration Date |
Notional Amount (Thousands) |
Value |
Unrealized (Depreciation) |
|||||||||||||||
Long Contracts |
||||||||||||||||||||
U.S. 5-Year Treasury Note |
26 | Jan-2022 | $ | 3,171 | $ | 3,165 | $ | (6) | ||||||||||||
|
|
|
|
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||||||
U.S. 2-Year Treasury Note |
(12 | ) | Jan-2022 | $ | (2,632) | $ | (2,631) | $ | 1 | |||||||||||
U.S. 10-Year Treasury Note |
(3 | ) | Dec-2021 | (392) | (392) | | ||||||||||||||
U.S. Long Treasury Bond |
(2 | ) | Dec-2021 | (327) | (322) | 5 | ||||||||||||||
Ultra 10-Year U.S. Treasury Note |
(7 | ) | Dec-2021 | (1,023) | (1,015) | 8 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
(4,374) | (4,360) | 14 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$ | (1,203) | $ | (1,195) | $ | 8 | |||||||||||||||
|
|
|
|
|
|
Percentages are based on Net Assets of $84,220 ($ 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) | No interest rate available. |
(C) | Zero coupon security. The rate shown on the Schedule of Investments is the securitys effective yield at the time of purchase. |
(D) | Security, or a portion thereof, has been pledged as collateral on open futures contracts. |
(E) | 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
PO Principal Only
REMIC Real Estate Mortgage Investment Conduit
Ser Series
TBA To Be Announced
UMBS Uniform Mortgage Backed Securities
The following is a summary of the inputs used as of October 31, 2021 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 |
| 82,773 | | 82,773 | ||||||||||||
Repurchase Agreements |
| 17,200 | | 17,200 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Investments in Securities |
| 99,973 | | 99,973 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Other Financial Instruments | Level 1 ($) |
Level 2 ($) |
Level 3 ($) |
Total ($) | ||||||||||||
Futures Contracts* |
||||||||||||||||
Unrealized Appreciation |
14 | | | 14 | ||||||||||||
Unrealized Depreciation |
(6 | ) | | | (6 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Total Other Financial Instruments |
8 | | | 8 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* Futures contracts are valued at the net unrealized appreciation/(depreciation) on the instruments.
For the period ended October 31, 2021, there were no transfers in or out of Level 3. Amounts designated as are $0 or have been rounded to $0.
For information regarding the Funds policy regarding valuation of investments and other accounting policies, please refer to the Funds most recent semi-annual and annual financial statements.
4 | SEI Daily Income Trust / Quarterly Report / October 31, 2021 |